Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on November 4, 2026, for a 10-year autocallable contingent coupon equity-linked security tied to the Nasdaq-100 Futures 35% Edge Volatility 6% Decrement Index ER (ticker: N3V6EDGE), with a pricing date of November 24, 2026, and a maturity date of November 28, 2036.

Key Highlights

  • Contingent coupon rate: Approximately 14.20% per annum, paid monthly, only if the underlying's closing value is at or above 60% of its initial value on each valuation date.
  • Final barrier: 50% of the initial underlying value; if breached at maturity, investors lose 1% of principal for every 1% decline from the initial value, with no minimum payment.
  • Autocall period: From November 24, 2027 to but excluding the final valuation date of November 24, 2036; early redemption is triggered if the underlying closes at or above its initial value on any trading day in that period.
  • Stated principal amount: $1,000 per security.
  • CUSIP / ISIN: 17334D4T6 / US17334D4T69.
  • Listing status: The securities will not be listed on any securities exchange, according to the filing.
  • Estimated value: The filing states the estimated value of the securities on the pricing date is less than the issue price.

Structure and Key Terms of the N3V6EDGE-Linked Security

According to the preliminary offering summary, the issuer is Citigroup Global Markets Holdings Inc., with Citigroup Inc. serving as guarantor. The underlying index, the Nasdaq-100 Futures 35% Edge Volatility 6% Decrement Index ER (N3V6EDGE), applies a 6% per annum decrement to its return and targets volatility using implied volatility measures. The filing cautions that the underlying "may reflect highly leveraged exposure to the underlying futures index and may therefore experience a decline that is many multiples of any decline in the underlying futures index."

The securities pay a monthly contingent coupon of approximately 14.20% per annum, but only when the underlying closes at or above the coupon barrier, which is set at 60% of the initial underlying value on the relevant valuation date. If the underlying closes below that threshold on any valuation date, no coupon is paid for that period. If the securities are not called early and the final underlying value falls below the final barrier of 50% of the initial value, investors receive $1,000 plus the product of $1,000 and the underlying return, which the filing illustrates could reach $0.00 at a negative 100% return.

The autocall feature allows early redemption at $1,000 stated principal if the underlying closes at or above its initial value on any trading day during the autocall period. The filing notes that if an automatic early redemption occurs on a day that is not a scheduled valuation date, no contingent coupon is paid for the period ending on that date. The filing identifies credit risk as a factor, stating that if both Citigroup Global Markets Holdings Inc. and Citigroup Inc. default on their obligations, investors "may not receive anything owed" under the securities.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed a free writing prospectus describing the preliminary terms of 10-year autocallable contingent coupon securities linked to N3V6EDGE, with a $1,000 principal, approximately 14.20% per annum contingent coupon, a 50% final barrier, and a November 28, 2036 maturity date.