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 30, 2026, and a maturity date of December 4, 2031.

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: 17.20% per annum, paid monthly, only if the closing value of the underlying is greater than or equal to 75.00% of the initial underlying value on the related valuation date.
  • Principal at risk: If the final underlying value is less than 60.00% of the initial underlying value at maturity, investors lose 1% of stated principal for every 1% decline from the initial underlying value, with no minimum payment.
  • Automatic early redemption: Securities are automatically called at principal plus the related contingent coupon if the underlying closes at or above the initial underlying value on any monthly autocall date, beginning after six months.
  • Stated principal amount: $1,000 per security, with CUSIP 17334D4W9 and ISIN US17334D4W98.
  • 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."
  • Credit risk: All payments are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc.

Preliminary Terms for SPXI4EV6-Linked Autocallable Securities

According to the filing, Citigroup Global Markets Holdings Inc. is the issuer of these structured securities, with Citigroup Inc. acting as guarantor. The underlying index, SPXI4EV6, incorporates a 6% per annum decrement and an intraday trend-following mechanism. The filing discloses that the underlying's performance will be reduced by notional costs and by this decrement, and notes that "the decrement of 6% per annum may reduce the annual return of the underlying by more (and possibly significantly more) than 6%." The filing also states that the underlying "has limited actual performance information" and that an affiliate of the issuer participated in its development.

The contingent coupon of 17.20% per annum is paid monthly only when the underlying's closing value meets or exceeds the coupon barrier of 75.00% of the initial underlying value. The filing notes a memory feature: if coupon payments are missed on one or more valuation dates, all previously unpaid contingent coupons will be paid on the next valuation date at which the closing value meets or exceeds the coupon barrier value. No contingent coupon is paid at maturity, including any previously unpaid amounts, if the securities are not redeemed early and the final underlying value is below the final barrier value of 60.00% of the initial underlying value.

The filing provides hypothetical payment scenarios. At an interim valuation date that is also an autocall date, a closing value at or above the initial underlying value would result in redemption at $1,014.333 per security plus any previously paid contingent coupons. At maturity, if not previously redeemed, investors receive $1,000 if the final underlying return is at or above negative 40.00%; below that level, repayment is reduced proportionally, falling to $500.00 at a negative 50.00% return and $0.00 at a negative 100.00% return. The filing states the estimated value of the securities on the pricing date will be less than the issue price.

What Was Disclosed

This free writing prospectus sets out preliminary terms for a five-year structured note linked to SPXI4EV6, offering a monthly contingent coupon of 17.20% per annum, subject to a 75.00% coupon barrier, a 60.00% final barrier for principal protection, and monthly autocall provisions beginning after six months.