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 24, 2026, and maturity on November 28, 2031.

Key Highlights

  • Issuer and guarantor: Citigroup Global Markets Holdings Inc. is the issuer, with Citigroup Inc. (NYSE:C) serving as guarantor for all payments on the securities.
  • Contingent coupon rate: The securities offer a contingent coupon of 14.50% per annum, paid monthly, only when the underlying closes at or above 80.00% of its initial value on the relevant valuation date.
  • Autocall feature: Beginning one year after issuance, the securities are automatically redeemed monthly if the underlying closes at or above its initial value, returning principal plus the related contingent coupon.
  • Buffer protection: At maturity, principal is protected in full if the final underlying value is at least 85.00% of the initial value; losses begin dollar-for-dollar beyond that 15.00% buffer.
  • CUSIP / ISIN: 17334DV74 / US17334DV749, with a stated principal amount of $1,000 per security.
  • No exchange listing: According to the filing, "the securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity."

Structure and Payment Terms of the SPXI4EV6-Linked Securities

According to the preliminary pricing supplement dated November 2, 2026, the underlying index is the S&P 500 Futures 40% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER, ticker SPXI4EV6. The filing discloses that this index applies both an intraday trend-following mechanism and an overnight mean-reversion mechanism, and that its performance is reduced by notional costs and a decrement of 6% per annum. The filing cautions that "the decrement of 6% per annum may reduce the annual return of the underlying by more (and possibly significantly more) than 6%."

The monthly contingent coupon of 14.50% per annum is subject to a catch-up feature: if the underlying falls below the coupon barrier on one or more valuation dates, any missed coupon payments accumulate and are paid on a later date when the underlying closes at or above the 80.00% coupon barrier value, according to the filing. Hypothetical payment scenarios in the filing show that an underlying return as low as negative 0.01% on an interim valuation date that is also an autocall date would still result in a payment of $12.083 per security (plus previously paid contingent coupon payments), while a return of negative 20.01% or worse would yield $0.00 on that interim date.

At maturity, the filing states that if the final underlying value is less than the final buffer value of 85.00% of the initial underlying value, 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." A hypothetical final underlying return of negative 50.00% would produce a payment of $650.00 per security, while a return of negative 100.00% would produce $150.00, according to the filing's scenario table. The filing also notes that all payments are subject to the credit risk of both the issuer and guarantor.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed a free writing prospectus disclosing preliminary terms for 5-year autocallable securities linked to the SPXI4EV6 index, including a 14.50% per annum contingent coupon, a 15.00% principal buffer at maturity, monthly autocall dates beginning after one year, and a pricing date of November 24, 2026.