Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc. (NYSE:C), filed a free writing prospectus on October 29, 2026, disclosing preliminary terms for 10-Year Autocallable Contingent Coupon Securities linked to the S&P 500 Futures 35% Edge Volatility 6% Decrement Index (USD) ER, with a pricing date of November 20, 2026, and a maturity date of November 28, 2036.

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 against its performance.
  • Contingent coupon rate: 10.40% per annum, paid quarterly, only if the closing value of the underlying is greater than or equal to 60.00% of the initial underlying value on the related valuation date.
  • Buffer protection: A 40.00% buffer applies at maturity; losses only occur if the underlying depreciates by more than 40.00% from its initial value.
  • Automatic early redemption: Securities are called quarterly beginning after one year if the underlying closes at or above its initial value, returning principal plus the related contingent coupon.
  • Principal at risk: According to the filing, investors "will lose 1% of the stated principal amount of your securities at maturity for every 1% by which that depreciation exceeds the buffer percentage."
  • CUSIP / ISIN: 17334D2X9 / US17334D2X99, with a stated principal amount of $1,000 per security.
  • No exchange listing: The filing states "the securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity."

Preliminary Terms for Citigroup's Quarterly Autocallable Notes Tied to SPXF3EV6

Citigroup Global Markets Holdings Inc., a structured-note issuing subsidiary of Citigroup Inc., disclosed preliminary terms for a new series of contingent coupon securities in a free writing prospectus filed October 29, 2026. The notes are linked to the S&P 500 Futures 35% Edge Volatility 6% Decrement Index (USD) ER, a strategy index that, according to the filing, targets volatility using implied volatility measures and applies a fixed annual decrement of 6% to its returns. The filing notes that an affiliate of Citigroup participated in the development of the underlying index, which represents a potential conflict of interest disclosed in the risk considerations.

Valuation dates occur quarterly over the 10-year term. On each quarterly autocall date beginning after one year, if the underlying's closing value is at or above its initial level, the securities are automatically redeemed at $1,000 plus the contingent coupon for that period. If not redeemed early and the final underlying value at the November 28, 2036 maturity remains at or above 60.00% of the initial value, investors receive $1,000 per security. If the final underlying value falls below that 60.00% threshold (the final buffer value), the repayment is reduced by 1% for every 1% the depreciation exceeds the 40.00% buffer, and the filing's hypothetical scenarios show a payment as low as $400 in a -100.00% return scenario.

The filing lists several material risk factors specific to the structure and the underlying. It states that "the underlying is highly risky because it 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." Additionally, the filing warns that the estimated value on the pricing date will be less than the $1,000 issue price, and that all payments are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc. as guarantor. The preliminary pricing supplement is dated October 29, 2026, with the final pricing date set for November 20, 2026, and the registration statement file numbers cited are 333-293732 and 333-293732-02.

What Was Disclosed

The filing disclosed preliminary terms for 10-year autocallable contingent coupon securities issued by Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., linked to the SPXF3EV6 index, with a 10.40% per annum coupon rate, a 40.00% buffer, quarterly autocall dates, and a November 28, 2036 maturity.