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 securities linked to the S&P 500 Futures 40% Edge Volatility 6% Decrement Index (USD) ER, with a pricing date of November 30, 2026.

Key Highlights

  • Underlying index: The securities are linked to the S&P 500 Futures 40% Edge Volatility 6% Decrement Index (USD) ER, ticker SPXF4EV6.
  • Stated principal: $1,000 per security, with a maturity date of December 4, 2031.
  • Autocall premium: At least 32.00% per annum, with the actual premium to be determined on the pricing date of November 30, 2026.
  • Final barrier value: Set at 50.00% of the initial underlying value; if breached at maturity, investors lose 1% of principal for every 1% decline from the initial underlying value, with no minimum payment.
  • CUSIP / ISIN: 17334DZ39 / US17334DZ393.
  • 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 of the SPXF4EV6-Linked Autocallable Offering

According to the filing, Citigroup Global Markets Holdings Inc. is offering 5-year autocallable securities guaranteed by Citigroup Inc. The securities are linked to the S&P 500 Futures 40% Edge Volatility 6% Decrement Index (USD) ER (ticker: SPXF4EV6). The stated principal amount is $1,000 per security, and the pricing date is November 30, 2026. Valuation dates occur annually beginning approximately one year after issuance, with the final valuation date on December 1, 2031, and maturity on December 4, 2031.

The filing discloses that if, on any interim valuation date, the closing value of the underlying is greater than or equal to its initial value, the securities are automatically redeemed at principal plus the applicable premium of at least 32.00% per annum. Hypothetical redemption amounts in the filing show payments of $1,320.00 at December 1, 2027, $1,640.00 at November 30, 2028, $1,960.00 at November 30, 2029, and $2,280.00 at December 2, 2030, all based on the lowest indicated premium value. If the underlying does not meet or exceed its initial value on an interim valuation date, no automatic redemption or premium payment occurs for that date.

At maturity, if not previously autocalled, the payment depends on the final underlying return. The filing states that if the final underlying value equals or exceeds the initial value, investors receive $1,000 plus the applicable premium. If the final underlying value is below the initial value but at or above the 50.00% barrier, investors receive $1,000. If the final underlying value falls below the barrier, investors receive $1,000 plus $1,000 multiplied by the underlying return, with no minimum payment. The filing also notes that the underlying carries a 6% per annum decrement, that an affiliate of the issuer participated in developing the underlying, and that the U.S. federal tax consequences of an investment are described as unclear.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed a free writing prospectus detailing preliminary terms for autocallable securities linked to SPXF4EV6, with a $1,000 principal, at least 32.00% annual premium, a 50.00% final barrier, and a December 4, 2031 maturity date. The filing was made pursuant to Rule 433.