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 a maturity date of December 4, 2031.

Key Highlights

  • Issuer and guarantor: Citigroup Global Markets Holdings Inc. is the issuer; Citigroup Inc. (NYSE:C) serves as guarantor of all payments.
  • Contingent coupon rate: At least 15.65% per annum, paid monthly, only when the underlying closes at or above 75.00% of the initial underlying value on the related valuation date.
  • Automatic early redemption: Securities are called monthly, beginning after one year, if the underlying closes at or above the initial underlying value on an autocall date.
  • Final barrier value: Set at 60.00% of the initial underlying value; principal repayment of $1,000 applies only if the final underlying value is at or above this level.
  • Principal at risk: If the final underlying value is below the final barrier value, investors lose 1% of the $1,000 stated principal for every 1% decline from the initial underlying value, with no minimum payment.
  • CUSIP / ISIN: 17334D4L3 / US17334D4L34, with securities not listed on any securities exchange.
  • Estimated value: According to the filing, the estimated value of the securities on the pricing date will be less than the issue price.

Structure and Payment Terms of the Autocallable Securities

According to the filing, the securities are linked to the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER, ticker SPXI4EV6, an index that incorporates an intraday trend-following mechanism, an overnight mean-reversion mechanism, a volatility target, and a fixed decrement of 6% per annum. The filing notes that this decrement, along with notional costs, will reduce the annual return of the underlying, and that the decrement "may reduce the annual return of the underlying by more (and possibly significantly more) than 6%."

The contingent coupon of at least 15.65% per annum is paid monthly only on valuation dates when the underlying's closing value is greater than or equal to the coupon barrier value of 75.00% of the initial underlying value. If the coupon barrier is not met on a given valuation date, that coupon is not paid, though it may be recovered on a future valuation date if the closing value subsequently meets or exceeds the barrier. The filing states that the actual contingent coupon rate will be determined on the pricing date of November 30, 2026, and that 15.65% per annum represents the minimum indicated in the offering summary.

The filing's hypothetical payment tables illustrate the range of outcomes. At an interim valuation date, a hypothetical underlying return of 0.00% or above results in an interim payment of $1,013.042 and automatic redemption if the date is also an autocall date. At final maturity, assuming no prior autocall, a hypothetical underlying return of -40.00% still returns $1,000.00, while a return of -40.01% produces a payment of $599.90 and a return of -100.00% results in $0.00. All payments are stated to be subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc.

What Was Disclosed

The filing discloses preliminary terms for a structured note with a $1,000 stated principal, a November 30, 2026, pricing date, monthly autocall and coupon valuation, a 60% final barrier, a 75% coupon barrier, and a maturity of December 4, 2031, with no exchange listing and no guaranteed minimum payment at maturity.