Citigroup Global Markets Holdings Inc. filed a free writing prospectus on November 3, 2026, disclosing preliminary terms for 5-Year Autocallable Contingent Coupon Securities linked to the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER, with a pricing date of November 13, 2026, and maturity on November 18, 2031.

Key Highlights

  • Issuer and guarantor: Citigroup Global Markets Holdings Inc. is the issuer, with Citigroup Inc. (NYSE:C) serving as guarantor of all payments.
  • Contingent coupon: At least 12.00% per annum, paid monthly, only if the underlying's closing value is at or above 75.00% of the initial underlying value on the related valuation date.
  • Buffer protection: A 15.00% buffer applies at maturity, with the final buffer value set at 85.00% of the initial underlying value.
  • Autocall feature: Securities may be automatically redeemed monthly beginning after one year if the underlying closes at or above 90.00% of the initial underlying value on an autocall date.
  • Principal at risk: If the final underlying value is below the final buffer value, investors lose 1% of stated principal for every 1% depreciation exceeding the buffer percentage.
  • CUSIP / ISIN: 17334DU83 / US17334DU832; stated principal amount is $1,000 per security.
  • No exchange listing: According to the filing, "the securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity."

Structure and Payment Terms of the November 2026 Offering

According to the filing, the securities are linked to the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER, ticker SPXI4EV6. This underlying index incorporates an intraday trend-following mechanism, an overnight mean-reversion mechanism, and a fixed 6% per annum decrement, which the filing discloses will reduce the performance of the underlying. The filing also notes that the underlying "may reflect highly leveraged exposure to the Underlying Futures Index and may therefore experience a decline that is many multiples of any decline in the Underlying Futures Index."

The contingent coupon of at least 12.00% per annum is subject to a memory feature: if the underlying closes below the coupon barrier on one or more valuation dates, any unpaid coupons may be recovered on a later valuation date when the closing value meets or exceeds the coupon barrier value of 75.00% of the initial underlying value, the filing discloses. Valuation dates occur monthly, and the actual coupon rate will be set on the November 13, 2026, pricing date. The filing states that the estimated value of the securities on the pricing date will be less than the issue price, and that all payments are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc.

At maturity, if the securities have not been automatically redeemed and the final underlying value is at or above 85.00% of the initial underlying value, holders receive $1,000 per security. If the final underlying value falls below that threshold, the payment is calculated as $1,000 plus [$1,000 multiplied by (the underlying return plus the buffer percentage)], according to the filing. The hypothetical payment table in the filing illustrates that a -50.00% underlying return at maturity would produce a payment of $650.00, while a -100.00% return would produce a payment of $150.00 per security.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed preliminary terms for a five-year autocallable structured note linked to a volatility-targeting, decrement-bearing S&P 500 futures index, with monthly coupon observations, a 15.00% principal buffer, and a pricing date of November 13, 2026.