Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on November 3, 2026, setting out preliminary terms for 5-year buffered autocallable 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.

Key Highlights

  • Stated principal: $1,000 per security, with a maturity date of November 18, 2031.
  • Autocall feature: Securities are automatically redeemed if the underlying closes at or above its initial value on any monthly valuation date beginning approximately one year after issuance, paying principal plus the applicable premium.
  • Minimum premium: At least 21.00% per annum; the actual premium will be determined on the pricing date.
  • Buffer protection: A 15.00% buffer applies at maturity, with the final buffer value set at 85.00% of the initial underlying value.
  • Loss below buffer: If the final underlying value falls below the final buffer value, investors lose 1% of stated principal for every 1% by which depreciation exceeds the buffer percentage.
  • No interest or dividends: According to the filing, "the securities do not pay interest" and holders "will not receive dividends or have any other rights with respect to the underlying."
  • CUSIP / ISIN: 17334DW32 / US17334DW325; the securities will not be listed on any securities exchange.

Structure and Payment Terms of the SPXI4EV6-Linked Securities

According to the preliminary terms filed by Citigroup Global Markets Holdings Inc., the securities are linked to the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER (SPXI4EV6). The pricing date is November 13, 2026, with monthly valuation dates beginning approximately one year after issuance and a final valuation date of November 13, 2031. All payments are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc., its guarantor.

The filing describes three possible outcomes at maturity if the securities are not autocalled. If the final underlying value is greater than or equal to the initial underlying value, the holder receives $1,000 plus the premium applicable to the final valuation date. If the final underlying value is below the initial value but at or above the final buffer value (85.00% of the initial underlying value), the holder receives $1,000. If the final underlying value is below the final buffer value, the holder loses 1% of stated principal for each 1% by which the decline exceeds the 15.00% buffer. The filing's hypothetical table illustrates that a -50.00% underlying return would produce a payment of $650.00, and a -100.00% return would produce a payment of $150.00.

The filing identifies several risk considerations. Among them, the filing 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." The filing also notes that the estimated value of the securities on the pricing date will be less than the issue price, that sale prior to maturity may result in a loss of principal, and that the calculation agent, described as an affiliate of the issuer, will make important determinations regarding the securities. The filing was made pursuant to Rule 433 and references registration statement File Nos. 333-293732 and 333-293732-02.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed preliminary terms for 5-year buffered autocallable securities linked to the SPXI4EV6 index, with a $1,000 stated principal, a 15.00% buffer, a minimum 21.00% per annum premium, and a maturity date of November 18, 2031. All payments are subject to issuer and guarantor credit risk.