Citigroup Global Markets Holdings Inc. filed a free writing prospectus on November 3, 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 maturity on December 4, 2031.

Key Highlights

  • Issuer and guarantor: The securities are issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. (NYSE:C), with all payments subject to the credit risk of both entities.
  • Contingent coupon rate: The securities carry a contingent coupon of 14.00% per annum, paid monthly only if the underlying's closing value equals or exceeds the coupon barrier value on the relevant valuation date.
  • Coupon barrier and buffer: The coupon barrier value is set at 70.00% of the initial underlying value; the final buffer value is 85.00% of the initial underlying value, representing a 15.00% buffer percentage.
  • Autocall feature: Beginning after six months, the securities may be automatically redeemed monthly if the underlying closes at or above the initial underlying value, returning principal plus the related contingent coupon.
  • Principal at risk: According to the filing, if the final underlying value is below the final buffer value, investors lose 1% of stated principal for every 1% by which depreciation exceeds the buffer percentage.
  • CUSIP / ISIN: The securities carry CUSIP 17334D5R9 and ISIN US17334D5R94, with a stated principal amount of $1,000 per security.
  • No exchange listing: The filing states the securities will not be listed on any securities exchange, and investors may not be able to sell them prior to maturity.

Structure and Terms of the SPXI4EV6-Linked Securities

According to the filing, the underlying index is the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER, ticker SPXI4EV6. The filing notes that this index applies both an intraday trend-following mechanism and an overnight mean-reversion mechanism, and that its performance is reduced by a decrement of 6% per annum. The filing cautions that this decrement "may reduce the annual return of the underlying by more (and possibly significantly more) than 6%," and that the underlying may reflect "highly leveraged exposure to the Underlying Futures Index."

Valuation dates are monthly, and the preliminary pricing supplement referenced in the filing is dated November 2, 2026. The filing discloses that the estimated value of the securities on the pricing date will be less than the issue price, and that the calculation agent, described as an affiliate of the issuer, will make important determinations with respect to the securities. The filing also identifies a material modification event provision under which the issuer may redeem the securities early for an amount that, according to the filing, "may result in a significant loss on your investment."

Hypothetical payment scenarios included in the filing illustrate that, at maturity without prior autocall, a final underlying return of -15.00% still produces a $1,000.00 payment per security, while a return of -50.00% produces $650.00 and a return of -100.00% produces $150.00. During interim periods on autocall dates, the filing shows a contingent payment of $1,011.667 per security for any scenario where the underlying return is at or above -0.01%, but notes that returns below -30.00% result in a $0.00 interim payment.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed a free writing prospectus disclosing preliminary terms for 5-year autocallable securities linked to the SPXI4EV6 index, covering the contingent coupon rate, barrier levels, autocall conditions, principal-at-risk mechanics, and a summary of key risk considerations associated with the offering.