Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc. (NYSE:C), filed a free writing prospectus on November 3, 2026, disclosing preliminary terms for 10-Year Autocallable Contingent Coupon Securities linked to the S&P 500 Futures 35% Edge Volatility 6% Decrement Index (USD) ER, with a pricing date of November 24, 2026 and a maturity date of November 28, 2036.

Key Highlights

  • Underlying index: The S&P 500 Futures 35% Edge Volatility 6% Decrement Index (USD) ER, ticker SPXF3EV6, serves as the reference for all payments.
  • Contingent coupon rate: 12.50% per annum, paid quarterly, only if the closing value of the underlying is greater than or equal to the coupon barrier value of 50.00% of the initial underlying value on the relevant valuation date.
  • Automatic early redemption: Securities are called quarterly (beginning after one year) at principal plus the related contingent coupon if the closing value of the underlying is greater than or equal to the initial underlying value on any autocall date.
  • Final barrier value: Set at 50.00% of the initial underlying value; if breached at maturity, investors lose 1% of principal for every 1% decline in the underlying from its initial value, with no minimum payment.
  • Stated principal amount: $1,000 per security, with CUSIP 17334D5B4 and ISIN US17334D5B43.
  • Credit risk: All payments are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and its guarantor, 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 Securities

According to the filing, Citigroup Global Markets Holdings Inc. is the issuer of these structured notes, with Citigroup Inc. acting as guarantor. The securities are described as autocallable contingent coupon instruments with a 10-year tenor, priced on November 24, 2026 and maturing on November 28, 2036. The stated principal amount is $1,000 per security. Valuation dates occur quarterly, and coupon payments of 12.50% per annum are contingent on the underlying closing at or above the coupon barrier of 50.00% of the initial underlying value on each such date.

The filing details two maturity scenarios for investors who hold the securities to term without an autocall event. If the final underlying value is greater than or equal to 50.00% of the initial underlying value, the payment at maturity is $1,000. If the final underlying value is below that barrier, the payment equals $1,000 plus ($1,000 multiplied by the underlying return), which can result in a loss of up to the full principal amount. The hypothetical table in the filing illustrates that a -75.00% underlying return at maturity would produce a $250.00 payment, while a -100.00% return would produce $0.00.

The filing also discloses several risks specific to the SPXF3EV6 index itself. The underlying applies a 6% per annum decrement, which the filing states will reduce its performance. The index incorporates a volatility targeting mechanism based on implied volatility, and the filing notes the underlying "may be adversely affected by a time lag in its volatility targeting mechanism" and may realize a "decay" effect. Additionally, the filing states that an affiliate of the issuer participated in the development of the underlying index, which the filing identifies as a potential conflict of interest. The estimated value of the securities on the pricing date will be less than the issue price, according to the filing.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed preliminary terms for 10-year structured notes linked to the SPXF3EV6 index, disclosing a 12.50% per annum contingent coupon, a 50.00% barrier level, quarterly autocall provisions, and principal-at-risk conditions if the underlying falls below the final barrier at maturity.