Citigroup Global Markets Holdings Inc. filed a free writing prospectus on November 2, 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.

Key Highlights

  • Underlying index: The S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER, ticker SPXI4EV6.
  • Contingent coupon rate: 14.00% per annum, paid monthly only if the underlying closes at or above 75.00% of the initial underlying value on the related valuation date.
  • Buffer percentage: 20.00%, with a final buffer value set at 80.00% of the initial underlying value; principal loss begins only when depreciation exceeds 20%.
  • Automatic early redemption: Securities are called monthly beginning after six months if the underlying closes at or above the initial underlying value, returning principal plus the related contingent coupon.
  • Maturity date: December 4, 2031, with a stated principal amount of $1,000 per security.
  • CUSIP / ISIN: 17334D5H1 / US17334D5H13.
  • Credit exposure: All payments are subject to the credit risk of Citigroup Global Markets Holdings Inc. and its guarantor, Citigroup Inc.

Preliminary Terms of the SPXI4EV6-Linked Autocallable Securities

According to the filing, Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., is offering 5-year autocallable contingent coupon securities linked to the SPXI4EV6 index. The pricing date is set for November 30, 2026, and the securities mature on December 4, 2031. The stated principal amount is $1,000 per security. Valuation dates occur monthly, and autocall dates begin monthly after six months from pricing.

The filing discloses that a contingent coupon of 14.00% per annum is payable monthly, but only when the closing value of the underlying on the relevant valuation date is greater than or equal to the coupon barrier value, defined as 75.00% of the initial underlying value. The filing notes that missed coupon payments may be recovered: "if the closing value of the underlying on that subsequent valuation date is greater than or equal to its coupon barrier value, your contingent coupon payment for that subsequent valuation date will include all previously unpaid contingent coupon payments." Investors are not assured of receiving any contingent coupon.

At maturity, if the securities have not been automatically redeemed and the final underlying value is at or above the final buffer value of 80.00% of the initial underlying value, the payment is $1,000 per security. If the final underlying value falls below that buffer, the filing states investors "will lose 1% of the stated principal amount of your securities at maturity for every 1% by which that depreciation exceeds the buffer percentage." The filing also discloses that the securities will not be listed on any securities exchange, that the estimated value on the pricing date will be less than the issue price, and that the underlying carries a 6% per annum decrement that reduces performance.

What Was Disclosed

The free writing prospectus sets out preliminary terms for a structured note offering by Citigroup Global Markets Holdings Inc., including coupon mechanics, autocall conditions, buffer terms, hypothetical payment scenarios, and a list of risk considerations specific to the SPXI4EV6 underlying.