Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on November 2, 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.

Key Highlights

  • Underlying index: The securities are linked to the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER, ticker SPXI4EV6.
  • Contingent coupon rate: 14.50% per annum, paid monthly only if the underlying's closing value is at or above the coupon barrier value on the relevant valuation date.
  • Coupon barrier: 70.00% of the initial underlying value; the final buffer value is set at 85.00% of the initial underlying value, representing a 15.00% buffer percentage.
  • Automatic early redemption: Securities will be called monthly beginning after six months if the underlying's closing value is greater than or equal to the initial underlying value, at principal plus the related contingent coupon.
  • Maturity date: November 18, 2031; stated principal amount is $1,000 per security; CUSIP 17334DU34 / ISIN US17334DU345.
  • Principal at risk: If the final underlying value is below the final buffer value, the filing states 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."
  • 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."

Terms and Risk Profile of the SPXI4EV6-Linked Securities

According to the filing, Citigroup Global Markets Holdings Inc. is the issuer of these structured securities, with Citigroup Inc. acting as guarantor. The securities carry a stated principal amount of $1,000 per security and are tied to a monthly valuation schedule, with a pricing date of November 13, 2026, and a maturity date of November 18, 2031. All payments are described as subject to the credit risk of both the issuer and the guarantor.

The contingent coupon of 14.50% per annum is not guaranteed. The filing specifies that no coupon is paid following any valuation date on which the underlying closes below the 70.00% coupon barrier value. A catch-up mechanism applies: if a coupon is missed, it may be recovered on a later payment date, but only if the underlying then meets or exceeds the coupon barrier on that subsequent valuation date. The hypothetical payment scenarios in the filing show that if the underlying declines by more than 0.01% on an interim valuation date that is also an autocall date, the interim payment per security is $12.083 plus any previously paid contingent coupons, with no automatic redemption triggered.

The filing identifies several risk factors specific to the underlying index. It states that "the underlying is highly risky because it 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." Additionally, the filing notes that "the performance of the underlying will be reduced by notional costs and by a decrement of 6% per annum," and that this decrement "may reduce the annual return of the underlying by more (and possibly significantly more) than 6%." The estimated value of the securities on the pricing date is disclosed to be less than the issue price.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed a free writing prospectus under Rule 433 disclosing preliminary terms for 5-year autocallable notes linked to the SPXI4EV6 index, including a 14.50% per annum contingent coupon, a 15.00% principal buffer, monthly autocall provisions, and a November 18, 2031 maturity date.