Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on October 30, 2026, disclosing preliminary terms for 5-year autocallable barrier securities linked to the S&P 500 Futures 40% Edge Volatility 6% Decrement Index (USD) ER (ticker: SPXF4EV6), with a pricing date of November 24, 2026.

Key Highlights

  • Underlying index: The securities are linked to the S&P 500 Futures 40% Edge Volatility 6% Decrement Index (USD) ER, ticker SPXF4EV6, which carries a 6% per annum decrement.
  • Stated principal: $1,000 per security, with a maturity date of November 28, 2031.
  • Upside participation rate: 300.00% of the underlying return if the final underlying value exceeds the initial underlying value at maturity.
  • Autocall premium: 21.00% per annum, accruing monthly; the first eligible call date is November 26, 2027, at a hypothetical redemption of $1,210.00 per security.
  • Final barrier value: 50.00% of the initial underlying value; if the final underlying value falls below this level, investors lose 1% of principal for every 1% decline from the initial underlying value, with no minimum payment.
  • 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."
  • CUSIP / ISIN: 17334DR87 / US17334DR879.

Structure and Payment Terms of the SPXF4EV6-Linked Securities

According to the preliminary terms, Citigroup Global Markets Holdings Inc. is offering 5-year autocallable barrier securities with a stated principal of $1,000 per security. The securities are linked to SPXF4EV6, an index that the filing notes is subject to a 6% per annum decrement and employs a volatility-targeting mechanism based on implied volatility. The pricing date is set for November 24, 2026, with the final valuation date and maturity date on November 24, 2031, and November 28, 2031, respectively.

The filing describes three payment outcomes at maturity if the securities have not been automatically redeemed. If the final underlying value is greater than the initial underlying value, the investor receives $1,000 plus the return amount, calculated as $1,000 multiplied by the underlying return multiplied by the 300.00% upside participation rate. If the final underlying value is at or below the initial underlying value but at or above the final barrier value of 50.00% of the initial underlying value, the investor receives $1,000. If the final underlying value falls below the final barrier, the investor receives $1,000 plus $1,000 multiplied by the underlying return, meaning losses are fully proportional to the index decline with no floor. The filing states: "There is no minimum payment at maturity on the securities, and you may lose up to all of your investment."

The autocall mechanism activates monthly beginning approximately one year after issuance. If the underlying's closing value equals or exceeds the initial underlying value on any interim valuation date, the securities are redeemed at principal plus a premium of 21.00% per annum, accruing ratably each month. The hypothetical table in the filing shows the final interim call on October 24, 2031, carrying a premium of 103.25% and a hypothetical redemption of $2,032.50. The filing also discloses that all payments are subject to the credit risk of both the issuer and the guarantor, Citigroup Inc.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed a free writing prospectus setting out preliminary terms for 5-year autocallable barrier securities linked to SPXF4EV6, including a 300.00% upside participation rate, a 21.00% per annum autocall premium, a 50.00% final barrier, and disclosure that principal is not guaranteed if the barrier is breached.