Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc. (NYSE:C), filed a free writing prospectus on November 4, 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 24, 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), which carries a 6% per annum decrement against performance.
  • Autocall premium: If automatically redeemed early, investors receive $1,000 plus a premium accruing at 22.50% per annum, reaching a hypothetical $3,193.75 per security if redeemed on August 25, 2036.
  • Final barrier value: Set at 60.00% of the initial underlying value; if the index finishes below this level at maturity, holders lose 1% of principal for every 1% decline from the initial value, with no minimum payment.
  • Maturity date: November 28, 2036, with a final valuation date of November 24, 2036, giving the securities a 10-year term.
  • No interest or dividends: According to the filing, the securities do not pay interest and holders have no dividend rights with respect to the underlying.
  • Credit risk: All payments depend on the creditworthiness of both Citigroup Global Markets Holdings Inc. and its guarantor, Citigroup Inc.
  • No exchange listing: The filing states the securities will not be listed on any securities exchange, which may limit the ability to sell them before maturity.

Structure, Payoff Mechanics, and Key Risks of the November 2026 Offering

According to the preliminary terms filed on November 4, 2026, each security carries a stated principal amount of $1,000 and is subject to quarterly autocall observations beginning approximately one year after issuance. If, on any interim valuation date, the closing value of SPXF3EV6 equals or exceeds the initial underlying value recorded on November 24, 2026, the securities are automatically redeemed at $1,000 plus the premium accumulated to that date at 22.50% per annum. The CUSIP is 17334D5L2 and the ISIN is US17334D5L25.

If the securities are not redeemed early and the final underlying value on November 24, 2036 is at or above 60.00% of the initial underlying value, the filing states holders receive $1,000 plus the premium applicable to the final valuation date, totaling a hypothetical $3,250.00 per security. However, if the final underlying value falls below the 60.00% barrier, the payment at maturity equals $1,000 plus $1,000 multiplied by the underlying return, meaning principal loss is directly proportional to the index decline. The filing notes there is no minimum payment, so investors could receive nothing at maturity.

The filing identifies several characteristics of the SPXF3EV6 index that the company discloses as sources of risk. The index applies a 6% per annum decrement that continuously reduces performance, and an affiliate of the issuer participated in its development, creating a potential conflict of interest. The index may also experience losses from a "decay" effect, a time lag in its volatility targeting mechanism, and an implicit financing cost that the filing states is expected to cause the Underlying Futures Index to underperform the S&P 500 Index. The filing also cautions that the estimated value of the securities on the pricing date will be less than the issue price.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed preliminary terms for 10-year autocallable securities linked to SPXF3EV6, with a November 24, 2026 pricing date, a 60.00% final barrier, a 22.50% per annum autocall premium, and a maturity date of November 28, 2036. The filing highlights principal loss risk and credit risk from both the issuer and guarantor.