Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on October 30, 2026, for 5-year barrier 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 S&P 500 Futures 35% Edge Volatility 6% Decrement Index (USD) ER, ticker SPXF3EV6, carries a 6% per annum decrement applied to performance.
  • Upside participation rate: 300.00% of the underlying return if the final underlying value exceeds the initial underlying value.
  • Final barrier value: Set at 50.00% of the initial underlying value; principal of $1,000 per security is preserved only if the final value stays at or above this level.
  • Stated principal amount: $1,000 per security, with no minimum payment at maturity if the barrier is breached.
  • Maturity and valuation dates: Valuation date is November 5, 2031; maturity date is November 10, 2031.
  • CUSIP / ISIN: 17334D3H3 / US17334D3H31.
  • Listing status: 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, Payment Terms, and Risk Factors for the SPXF3EV6-Linked Securities

According to the filing, Citigroup Global Markets Holdings Inc. is offering 5-year barrier securities linked to SPXF3EV6, with Citigroup Inc. acting as guarantor. The securities carry a stated principal amount of $1,000 per security and a pricing date of November 5, 2026. The underlying return is calculated as the difference between the final underlying value and the initial underlying value, divided by the initial underlying value, where both values are determined by the closing level of SPXF3EV6 on the relevant dates.

The filing describes three payment scenarios at maturity. If the final underlying value is greater than the initial underlying value, the investor receives $1,000 plus $1,000 multiplied by the underlying return multiplied by the upside participation rate of 300.00%. 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 value, the investor receives $1,000 plus $1,000 multiplied by the underlying return, meaning losses are proportional to the full decline from the initial underlying value. The filing states there is "no minimum payment at maturity on the securities, and you may lose up to all of your investment."

The filing lists several risk considerations specific to this structure and underlying. It notes that the underlying's performance "will be reduced by a decrement of 6% per annum," that "the Underlying Futures Index is expected to underperform the S&P 500 Index because of an implicit financing cost," and that the underlying "has limited actual performance information." The filing also discloses that "an affiliate of ours participated in the development of the underlying" and that "the estimated value of the securities on the pricing date will be less than the issue price." All payments are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed preliminary terms for 5-year barrier securities linked to SPXF3EV6, disclosing payment mechanics, a 300.00% upside participation rate, a 50.00% final barrier value, a November 5, 2031 valuation date, and multiple risk factors including full principal loss risk below the barrier.