Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on October 30, 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 24, 2026.

Key Highlights

  • Underlying index: The S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER, ticker SPXI4EV6.
  • Contingent coupon rate: 12.50% per annum, paid monthly, only if the underlying closes at or above 70.00% of its initial value on the related valuation date.
  • Buffer protection: A 15.00% buffer applies at maturity, with a final buffer value set at 85.00% of the initial underlying value.
  • Automatic early redemption: Securities are called monthly (beginning after one year) at principal plus accrued contingent coupon if the underlying closes at or above its initial value on an autocall date.
  • Maturity date: November 28, 2031, with a stated principal amount of $1,000 per security.
  • CUSIP / ISIN: 17334DV58 / US17334DV582.
  • Credit exposure: All payments are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc., as disclosed in the filing.

Preliminary Terms for Citigroup's SPXI4EV6-Linked Autocallable Securities

According to the filing, Citigroup Global Markets Holdings Inc. is offering 5-Year Autocallable Contingent Coupon Securities linked to the SPXI4EV6 index, with the pricing date set for November 24, 2026 and maturity on November 28, 2031. The securities carry a contingent coupon of 12.50% per annum, paid monthly, but only when the closing value of the underlying on the relevant monthly valuation date is greater than or equal to the coupon barrier value, defined as 70.00% of the initial underlying value. The filing notes that unpaid coupons from prior valuation dates may be recovered on a later date if the underlying subsequently meets the barrier condition.

The filing discloses that if the securities are not automatically redeemed before maturity and the final underlying value falls below the final buffer value of 85.00% of the initial underlying value, investors "will lose 1% of the stated principal amount of your securities at maturity for every 1% by which that depreciation exceeds the buffer percentage." At the same time, the securities offer "no upside exposure" to the underlying, as the filing explicitly states. Hypothetical payment-at-maturity scenarios provided in the filing show that a -50.00% underlying return would result in a $650.00 payment per $1,000 security, and a -100.00% return would result in $150.00.

The filing identifies several risk factors, including that the securities will not be listed on any securities exchange, that the estimated value on the pricing date will be less than the issue price, and that the underlying index "may reflect highly leveraged exposure to the Underlying Futures Index." The filing also notes that a 6% per annum decrement reduces the underlying's performance and that "the decrement of 6% per annum may reduce the annual return of the underlying by more (and possibly significantly more) than 6%." The offering was filed pursuant to Rule 433 under registration file numbers 333-293732 and 333-293732-02.

What Was Disclosed

Citigroup Global Markets Holdings Inc. disclosed preliminary terms for structured securities linked to SPXI4EV6, including a 12.50% per annum contingent coupon, a 15.00% principal buffer at maturity, monthly autocall provisions beginning after one year, and multiple risk considerations concerning principal loss and credit exposure.