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 and a maturity date of November 28, 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: 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.
  • 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 buffer: A 15.00% buffer applies at maturity; if the final underlying value is below 85.00% of the initial underlying value, investors lose 1% of stated principal for every 1% of depreciation beyond the buffer.
  • Stated principal amount: $1,000 per security, with CUSIP 17334DW57 and ISIN US17334DW572.
  • 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.

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 preliminary pricing supplement is dated October 30, 2026, with a pricing date of November 24, 2026 and monthly valuation dates running through a maturity date of November 28, 2031. The contingent coupon of 12.00% per annum is paid monthly only when the underlying's closing value meets or exceeds the coupon barrier value, set at 75.00% of the initial underlying value. The filing notes that if a coupon is missed because the underlying falls below the barrier, it may be recovered on a later date if the underlying subsequently meets the barrier, a feature described as a "catch-up" mechanism.

The filing discloses an autocall feature that activates monthly beginning after one year. If the underlying closes at or above 90.00% of the initial underlying value on any autocall date, the securities are redeemed at the stated principal amount plus the related contingent coupon. The hypothetical tables in the filing illustrate that an interim underlying return as low as negative 10.00% would still result in redemption at $1,010.00 per security on an autocall date, while a return of negative 10.01% would result in a payment of $10.00 with no redemption. If not redeemed early, the payment at maturity depends on whether the final underlying value is at or above the final buffer value of 85.00% of the initial underlying value; if above, investors receive $1,000. If below, the formula is: $1,000 plus [$1,000 multiplied by (the underlying return plus the buffer percentage of 15.00%)].

The filing identifies numerous risk factors specific to this product, including the underlying's 6% per annum decrement, leveraged exposure to an Underlying Futures Index, potential "decay" effects, and the possibility that the estimated value on the pricing date will be less than the issue price. The filing also states that U.S. federal tax consequences of an investment are unclear, and that the calculation agent, an affiliate of the issuer, will make important determinations regarding the securities.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed a free writing prospectus disclosing preliminary terms for autocallable contingent coupon securities linked to SPXI4EV6, including coupon, buffer, and autocall levels, hypothetical payment tables, and an extensive list of risk factors, under registration file numbers 333-293732 and 333-293732-02.