Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on November 2, 2026, disclosing 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

  • Underlying index: The securities are linked to the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER, ticker SPXI4EV6.
  • Premium rate: 18.50% per annum, applied if the autocall condition is met on any monthly valuation date.
  • Autocall barrier: Set at 90.00% of the initial underlying value; if the closing value meets or exceeds this level on any interim valuation date, the securities are called at $1,000 plus the applicable premium.
  • Buffer percentage: 15.00%, with a final buffer value of 85.00% of the initial underlying value; losses only occur at maturity if the underlying depreciates by more than 15%.
  • Maturity date: November 18, 2031, with a final valuation date of November 13, 2031.
  • Stated principal: $1,000 per security; the securities will not be listed on any securities exchange, according to the filing.
  • Credit risk: All payments are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc., as disclosed in the filing.

Structure, Payment Terms, and Risk Factors for the SPXI4EV6-Linked Securities

According to the preliminary terms filed on November 2, 2026, Citigroup Global Markets Holdings Inc. is offering 5-year buffered autocallable securities with a stated principal amount of $1,000 per security. The securities carry a CUSIP of 17334DX49 and ISIN US17334DX497. Monthly valuation dates begin approximately one year after issuance, with the first autocall opportunity on November 16, 2027. If the closing value of SPXI4EV6 equals or exceeds 90.00% of the initial underlying value on that date, the filing discloses a hypothetical redemption amount of $1,185.00, reflecting the 18.50% first-year premium.

The filing sets out three payment scenarios at maturity if the securities are not called early. If the final underlying value is at or above the autocall barrier value of 90.00% of the initial underlying value, investors receive $1,000 plus the applicable premium, which the filing's hypothetical table shows as $1,925.00 at the final valuation date. If the final underlying value is below the autocall barrier but at or above the final buffer value of 85.00% of initial, investors receive $1,000. If the final underlying value falls below the final buffer value, investors lose "1% of the stated principal amount of your securities at maturity for every 1% by which that depreciation exceeds the buffer percentage," as quoted directly in the filing. The hypothetical table illustrates that a -50.00% underlying return would result in a $650.00 payment, and a -100.00% return would result in $150.00.

The filing lists several risk considerations, including that the securities do not pay interest, carry no exchange listing, and that their estimated value on the pricing date will be less than the issue price. The filing also notes 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 calculation agent is identified as an affiliate of the issuer, and the filing states the U.S. federal tax consequences "are unclear." Registration statements were filed under 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 SPXI4EV6, priced at $1,000 per security, with an 18.50% per annum premium, a 15.00% buffer, a 90.00% autocall barrier, and a maturity date of November 18, 2031.