Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on November 3, 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, with a pricing date of November 24, 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.
  • Stated principal: $1,000 per security, with a maturity date of November 28, 2031.
  • Autocall barrier: Set at 90.00% of the initial underlying value, with monthly valuation dates beginning approximately one year after issuance.
  • Premium rate: 16.00% per annum, accruing on a pro-rata basis if the autocall barrier is triggered at an interim valuation date.
  • Buffer percentage: 15.00%, with the final buffer value set at 85.00% of the initial underlying value.
  • Principal at risk: If the final underlying value is less than the final buffer value, investors lose 1% of stated principal for every 1% by which depreciation exceeds the buffer percentage.
  • CUSIP / ISIN: 17334DW99 / US17334DW994; the securities will not be listed on any securities exchange.

Structure and Payment Terms of the SPXI4EV6-Linked Securities

According to the filing, Citigroup Global Markets Holdings Inc. is the issuer of these securities, with Citigroup Inc. acting as guarantor. The preliminary pricing supplement is dated November 2, 2026, and the pricing date is scheduled for November 24, 2026. The final valuation date and maturity date are November 24, 2031, and November 28, 2031, respectively. All payments are subject to the credit risk of both the issuer and the guarantor, as the filing explicitly states.

The filing describes three possible payment outcomes at maturity, assuming no prior autocall. If the final underlying value is greater than or equal to the autocall barrier value of 90.00% of the initial underlying value, the holder receives $1,000 plus the premium applicable to the final valuation date. If the final underlying value falls below the autocall barrier but remains at or above the final buffer value of 85.00% of the initial underlying value, the holder receives $1,000 with no premium. If the final underlying value falls below the final buffer value, the holder receives $1,000 plus the product of $1,000 multiplied by the sum of the underlying return and the 15.00% buffer percentage, meaning principal loss occurs beyond the buffer. Hypothetical payment examples in the filing show a payment of $650.00 for a -50.00% underlying return and $400.00 for a -75.00% return.

The filing identifies several risk factors specific to this structure. The underlying is described as "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 filing also notes that the estimated value of the securities on the pricing date will be less than the issue price, and that the securities do not pay interest and will not be listed on any exchange, which may limit secondary-market liquidity.

What Was Disclosed

The filing sets out preliminary terms for 5-year buffered autocallable securities linked to SPXI4EV6, including a 15.00% buffer, a 90.00% autocall barrier, a 16.00% per annum premium, and detailed hypothetical payment schedules, along with extensive risk disclosures.