Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on November 4, 2026 outlining preliminary terms for 10-year autocallable contingent coupon market-linked notes based on 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 December 1, 2036.

Key Highlights

  • Contingent coupon rate: Approximately 10.60% per annum, paid monthly, only if the closing value of the underlying is greater than or equal to the coupon barrier on the related valuation date.
  • Coupon barrier: 75% of the initial underlying value.
  • Automatic early redemption: Notes may be called monthly beginning after two years if the underlying closes at or above its initial value on an autocall date, paying principal plus the related contingent coupon ($1,008.833 per note in the hypothetical examples provided).
  • Stated principal amount: $1,000 per note, repaid at maturity if the notes are not autocalled.
  • Underlying index: The N3V6EDGE index carries a 6% per annum decrement and uses a volatility targeting mechanism based on implied volatility.
  • CUSIP / ISIN: 17334D4S8 / US17334D4S86.
  • No exchange listing: The notes will not be listed on any securities exchange, and secondary market sales prior to maturity may not be possible.

Structure and Terms of the N3V6EDGE-Linked Notes

According to the filing, the notes are issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. The underlying is the Nasdaq-100 Futures 35% Edge Volatility 6% Decrement Index ER (N3V6EDGE). The contingent coupon of approximately 10.60% per annum is paid monthly only on valuation dates when the underlying's closing value is at or above the coupon barrier of 75% of the initial underlying value. The filing states that investors "are not assured of receiving any contingent coupon."

The filing discloses that automatic early redemption may occur monthly on autocall dates beginning after two years, provided the underlying closes at or above its initial value. If called, investors receive the stated principal amount plus the applicable contingent coupon. Hypothetical examples in the filing show a redemption payment of $1,008.833 per note across underlying returns ranging from -5% to +100%. If the underlying return falls to -25.10% or below on a non-autocall valuation date, the contingent coupon payment is $0.00, though the stated principal remains due at final maturity if the notes are not redeemed early.

The filing enumerates several risk considerations. Among them, it states that "the estimated value of the notes on the pricing date is less than the issue price," that the notes are unsecured debt obligations subject to the credit risk of both the issuer and guarantor, and that the underlying "is highly risky because it may reflect highly leveraged exposure to the underlying futures index." The filing further notes that the 6% per annum decrement "may reduce the annual return of the underlying by more (and possibly significantly more) than 6%." The notes offer no upside exposure to the underlying index.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed a free writing prospectus presenting preliminary terms for 10-year autocallable contingent coupon notes linked to the N3V6EDGE index, priced at $1,000 per note, with a potential coupon of approximately 10.60% per annum subject to a 75% coupon barrier, and a final maturity date of December 1, 2036.