Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on November 3, 2026, disclosing preliminary terms for 5-Year Autocallable Securities linked to the S&P 500 Futures 40% Edge Volatility 6% Decrement Index (USD) ER, with a scheduled 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.
  • Annual premium rate: 21.75% per annum, with the first possible autocall redemption hypothetically yielding $1,217.50 per $1,000 security on November 26, 2027.
  • Final barrier value: Set at 50.00% of the initial underlying value; principal loss begins only if the underlying falls below that threshold at maturity.
  • Maturity date: November 28, 2031, with a final valuation date of November 24, 2031.
  • No interest payments: According to the filing, "the securities do not pay interest."
  • Principal at risk: The filing states there is no minimum payment at maturity, and investors "may lose up to all of your investment" if the final underlying value is below the barrier.
  • CUSIP / ISIN: 17334D6P2 / US17334D6P20, filed under SEC registration file numbers 333-293732 and 333-293732-02.

Structure and Payment Terms of the November 2026 Autocallable Offering

According to the filing, the securities carry a stated principal amount of $1,000 per security and are subject to monthly valuation beginning approximately one year after issuance. If, on any interim valuation date prior to the final valuation date, the closing value of SPXF4EV6 equals or exceeds its initial underlying value, the securities are automatically called at principal plus the applicable premium accrued to that date. The hypothetical redemption table in the filing shows that an autocall triggered on the final interim valuation date of October 24, 2031 would return $2,069.375 per security, reflecting a 106.9375% premium.

If not autocalled, the payment at maturity depends on where SPXF4EV6 closes on November 24, 2031. The filing describes three outcomes: if the final underlying value is at or above the initial value, the investor receives $1,000 plus the full 5-year premium of 108.75% (totaling $2,087.50 per the hypothetical table); if below the initial value but at or above the 50% barrier, the investor receives $1,000; and if below the barrier, the investor receives $1,000 plus $1,000 multiplied by the underlying return, which the filing notes can result in a loss of 1% of principal for every 1% decline from the initial value, with no floor. The filing explicitly warns that "there is no minimum payment at maturity on the securities."

Citigroup Global Markets Holdings Inc. serves as the issuer of these structured notes, with Citigroup Inc. acting as guarantor. All payments are subject to the credit risk of both entities. The filing also discloses that the underlying index incorporates a 6% per annum decrement and uses an implied-volatility-based targeting mechanism, and that an affiliate of the issuer participated in developing the index. The securities will not be listed on any securities exchange, and the filing states that the estimated value on the pricing date will be less than the issue price.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed a free writing prospectus setting out preliminary terms for 5-Year Autocallable Securities linked to SPXF4EV6, including a 21.75% annual premium, a 50% final barrier value, a November 28, 2031 maturity date, and detailed risk disclosures covering potential total loss of principal.