Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on November 2, 2026, outlining 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 (ticker: SPXI4EV6), with a pricing date of November 24, 2026, and a maturity date of November 28, 2031.

Key Highlights

  • Underlying index: The securities are linked to the SPXI4EV6 index, which carries a 6% per annum decrement and a volatility target mechanism, according to the filing.
  • Contingent coupon rate: 12.50% per annum, paid monthly, only if the closing value of the underlying is at or above 75.00% of the initial underlying value on the related valuation date.
  • Buffer protection: A 20.00% buffer applies at maturity; if the final underlying value falls below 80.00% of the initial value, investors lose 1% of stated principal for every 1% of depreciation beyond that buffer.
  • Automatic early redemption: Securities are called monthly (beginning after one year) at principal plus the related contingent coupon if the underlying closes at or above the initial underlying value on an autocall date.
  • Stated principal amount: $1,000 per security; CUSIP 17334DW24 / ISIN US17334DW242.
  • No exchange listing: The filing states the securities will not be listed on any securities exchange, and sale prior to maturity may result in a loss of principal.
  • Credit risk: All payments are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc.

Structure and Payment Terms of the SPXI4EV6-Linked Securities

According to the preliminary pricing supplement dated November 2, 2026, the securities are issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. The underlying, SPXI4EV6, is described in the filing as carrying leveraged intraday exposure to S&P 500 futures alongside a 6% per annum decrement, which the filing notes "may reduce the annual return of the underlying by more (and possibly significantly more) than 6%." The filing also discloses that the underlying may significantly underperform the S&P 500 Index and may experience greater volatility than its volatility target.

The contingent coupon of 12.50% per annum is paid monthly but only when the underlying's closing value meets or exceeds the coupon barrier value of 75.00% of the initial underlying value. The filing includes a "memory" feature: if coupon payments are missed on prior valuation dates, they are recovered on the next date the barrier condition is satisfied. The autocall feature triggers monthly after the first year when the underlying closes at or above its initial value, returning principal plus the related contingent coupon but capping further coupon participation.

At maturity, if the securities have not been redeemed and the final underlying value is at or above 80.00% of the initial value, the holder receives $1,000 per security. If the final underlying value falls below that threshold, the payment is reduced dollar-for-dollar beyond the buffer, as illustrated in the filing's hypothetical table, where a -50.00% underlying return produces a $700.00 payment and a -100.00% return produces a $200.00 payment per security. The filing states that the estimated value on the pricing date will be less than the $1,000 issue price.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed a free writing prospectus disclosing preliminary terms for autocallable contingent coupon securities linked to SPXI4EV6, including coupon mechanics, buffer terms, autocall conditions, hypothetical payment scenarios, and an extensive list of risk considerations tied to the underlying index and issuer credit.