Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on November 4, 2026, disclosing preliminary terms for 3-year autocallable securities linked to the S&P 500 Futures 40% Edge Volatility 6% Decrement Index (USD) ER (ticker: SPXF4EV6), with a pricing date of November 24, 2026, and a maturity date of November 29, 2029.

Key Highlights

  • Underlying index: The S&P 500 Futures 40% Edge Volatility 6% Decrement Index (USD) ER, ticker SPXF4EV6.
  • Automatic early redemption premium: 22.75% per annum if the underlying's closing value equals or exceeds the initial underlying value on any monthly valuation date prior to maturity.
  • Final barrier value: 75.00% of the initial underlying value; losses below this threshold are dollar-for-dollar with the underlying's decline, with no minimum payment.
  • Stated principal amount: $1,000 per security; the securities do not pay interest.
  • CUSIP / ISIN: 17334D3E0 / US17334D3E00.
  • Final valuation date and maturity: November 26, 2029, and November 29, 2029, respectively.
  • Credit risk: All payments are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc.

Preliminary Terms of the SPXF4EV6-Linked Autocallable Securities

According to the filing, Citigroup Global Markets Holdings Inc. is offering 3-year autocallable securities linked to the SPXF4EV6 index, with a stated principal amount of $1,000 per security and a pricing date of November 24, 2026. The securities carry a preliminary pricing supplement dated November 4, 2026, and are filed pursuant to Rule 433. Citigroup Inc. serves as guarantor. The securities will not be listed on any securities exchange, and the filing states that investors "may not be able to sell them prior to maturity."

The autocall feature operates on a monthly basis beginning approximately one year after issuance. If the closing value of the underlying on any interim valuation date equals or exceeds the initial underlying value, the securities are automatically redeemed for $1,000 plus the applicable annualized premium of 22.75%. The hypothetical redemption amounts in the filing range from $1,227.50 at the first eligible valuation date (November 26, 2027) to $1,663.542 at the last interim valuation date (October 24, 2029).

If the securities are not autocalled and reach final maturity, payment depends on the final underlying value relative to the final barrier value of 75.00% of the initial underlying value. The filing states that if the final underlying value is at or above the barrier, investors receive $1,000 plus the premium applicable to the final valuation date, shown hypothetically as $1,682.50. If the final underlying value is below the barrier, investors receive $1,000 plus the product of $1,000 and the underlying return, which the filing illustrates could be as low as $0.00 at a -100.00% underlying return. The filing also discloses that the underlying applies a 6% per annum decrement and that "an affiliate of ours participated in the development of the underlying."

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed preliminary terms for autocallable securities linked to SPXF4EV6, with a 22.75% per annum premium, a 75% final barrier, a November 29, 2029 maturity, and principal at risk if the underlying falls below the barrier at maturity.