Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on November 2, 2026 for 5-Year Autocallable Contingent Coupon Securities linked to the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER (ticker: SPXI4EV6), with a pricing date of November 13, 2026 and a maturity date of November 18, 2031.

Key Highlights

  • Contingent coupon rate: At least 13.00% 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 value: 70.00% of the initial underlying value; the final buffer value is set at 85.00% of the initial underlying value (a 15.00% buffer percentage).
  • Automatic early redemption: Securities are called monthly (beginning after one year) at principal plus the contingent coupon if the underlying's closing value is at or above the initial underlying value on an autocall date.
  • Principal at risk: If the final underlying value is below the final buffer value at maturity, investors lose 1% of stated principal for every 1% by which depreciation exceeds the buffer percentage.
  • Stated principal amount: $1,000 per security; CUSIP 17334D4E9 / ISIN US17334D4E90.
  • No exchange listing: According to the filing, "the securities will not be listed on any securities exchange," and sale prior to maturity may result in a loss of principal.
  • Credit risk: All payments are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc.

Structure and Payment Terms of the SPXI4EV6-Linked Securities

According to the filing, the securities are issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. The underlying index is the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER (SPXI4EV6). Valuation dates occur monthly, and the contingent coupon of at least 13.00% per annum is paid monthly only when the underlying's closing value on the relevant valuation date is greater than or equal to 70.00% of the initial underlying value. If a coupon is missed on one date but the underlying meets the barrier on a later date, the filing states that "your contingent coupon payment for that subsequent valuation date will include all previously unpaid contingent coupon payments."

The filing describes two distinct maturity scenarios for securities that are not automatically redeemed. If the final underlying value is at or above 85.00% of the initial underlying value, investors receive $1,000 per security. If it falls below that threshold, the payment is calculated as $1,000 plus [$1,000 multiplied by (the underlying return plus the buffer percentage of 15.00%)], meaning losses accrue at a 1-for-1 rate beyond the buffer. Hypothetical examples in the filing show a $650 payment at a negative 50% underlying return and a $150 payment at a negative 100% underlying return.

The filing identifies several specific risks, including that "the underlying is highly risky because it may reflect highly leveraged exposure to the Underlying Futures Index," that "the performance of the underlying will be reduced by notional costs and by a decrement of 6% per annum," and that the estimated value of the securities on the pricing date will be less than the issue price. The filing was made pursuant to Rule 433, with registration file numbers 333-293732 and 333-293732-02.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed a free writing prospectus for 5-year autocallable contingent coupon securities linked to SPXI4EV6, detailing coupon terms, autocall mechanics, buffer provisions, principal-at-risk scenarios, and a range of product and index-specific risk factors.