Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on October 30, 2026, disclosing preliminary terms for 10-year autocallable securities linked to the S&P 500 Futures 35% Edge Volatility 6% Decrement Index (USD) ER (ticker: SPXF3EV6), with a pricing date of November 5, 2026.

Key Highlights

  • Underlying index: The securities are linked to the S&P 500 Futures 35% Edge Volatility 6% Decrement Index (USD) ER, ticker SPXF3EV6.
  • Maturity: The final valuation date is November 5, 2036, with a maturity date of November 10, 2036, giving the securities a 10-year term.
  • Autocall premium: If automatically called on any quarterly valuation date, holders receive principal plus a premium of 22.00% per annum, accruing from issuance.
  • Final barrier value: Set at 60.00% of the initial underlying value; if the underlying falls below this level at maturity, investors lose 1% of principal for every 1% decline from the initial underlying value.
  • Stated principal amount: $1,000 per security; the securities do not pay interest.
  • Credit risk: All payments are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc.
  • 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 SPXF3EV6-Linked Autocallable Securities

According to the preliminary terms filed by Citigroup Global Markets Holdings Inc. (guaranteed by Citigroup Inc.), the securities feature a quarterly autocall mechanism beginning approximately six months after issuance. If, on any valuation date prior to the final valuation date, the closing value of the underlying equals or exceeds the initial underlying value, the securities are automatically redeemed at $1,000 plus the premium applicable to that date. The premium accrues at 22.00% per annum; for example, the filing shows a hypothetical redemption of $1,110.00 at the first eligible valuation date of May 5, 2027, rising to $3,145.00 at the last interim valuation date of August 5, 2036.

If the securities are not autocalled and reach final maturity, the payment structure depends on the final underlying value relative to two thresholds. If the final underlying value is at or above the initial underlying value, holders receive $1,000 plus the full 10-year premium of 220.00%, equaling $3,200.00 per the filing's hypothetical table. If the final underlying value is below the initial value but at or above the 60.00% barrier, holders receive exactly $1,000. If the final underlying value falls below the barrier, the filing states investors receive "$1,000 + ($1,000 x the underlying return)," meaning losses are proportional to the full decline from the initial value, with no minimum payment at maturity.

The filing identifies several risk factors specific to the underlying index. It notes the index carries a 6% per annum decrement, that an affiliate of the issuer participated in the index's development, and that "the underlying is highly risky because it may reflect highly leveraged exposure to the Underlying Futures Index." The filing also states the estimated value of the securities on the pricing date will be less than the issue price, and that U.S. federal tax consequences of an investment are unclear. Registration statements are on file with the SEC under File Nos. 333-293732 and 333-293732-02.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed preliminary terms for 10-year autocallable securities linked to SPXF3EV6, disclosing the autocall premium rate of 22.00% per annum, a 60.00% final barrier value, a $1,000 stated principal amount, and key risk factors including potential total loss of principal.