Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on October 30, 2026 disclosing preliminary terms for 10-year autocallable securities linked to the S&P 500 Futures 35% Edge Volatility 6% Decrement Index (USD) ER, with a pricing date of November 20, 2026.

Key Highlights

  • Stated principal amount: $1,000 per security, with a final maturity date of November 28, 2036.
  • Autocall premium: According to the filing, securities are automatically called at 16.75% per annum if the underlying closes at or above the initial underlying value on any quarterly valuation date prior to the final valuation date.
  • Buffer protection: The filing states a buffer percentage of 40.00%, with a final buffer value set at 60.00% of the initial underlying value.
  • Principal risk below buffer: The filing discloses that holders lose 1% of stated principal for every 1% by which the underlying's depreciation exceeds the 40% buffer percentage.
  • No interest or dividends: As stated in the filing's risk considerations, "the securities do not pay interest" and holders "will not receive dividends or have any other rights with respect to the underlying."
  • Credit risk: All payments are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc., according to the filing.
  • No exchange listing: The filing discloses that the securities will not be listed on any securities exchange and may not be saleable prior to maturity.

Terms and Structure of the Citigroup Autocallable Securities

According to the preliminary pricing supplement dated October 30, 2026, the securities are issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. The underlying index is the S&P 500 Futures 35% Edge Volatility 6% Decrement Index (USD) ER, ticker SPXF3EV6. Valuation dates occur quarterly beginning approximately one year after issuance, with the final valuation date set for November 24, 2036. The CUSIP is 17334D2F8 and the ISIN is US17334D2F83.

The filing sets out three payment scenarios at maturity, assuming no prior autocall. If the final underlying value is greater than or equal to the initial underlying value, the holder receives $1,000 plus the premium applicable to the final valuation date. If the final underlying value is below the initial value but at or above the final buffer value of 60.00% of the initial underlying value, the holder receives $1,000. If the final underlying value falls below the final buffer value, the payment is $1,000 plus $1,000 multiplied by the sum of the underlying return and the buffer percentage, resulting in principal loss beyond the 40% buffer. The filing's hypothetical payment table illustrates this: a -50.00% underlying return at maturity produces a hypothetical payment of $900.00, and a -75.00% return produces $650.00, per the filing's own disclosures.

The filing also discloses several risks specific to the underlying index. The index applies a 6% per annum decrement to its performance and may reflect highly leveraged exposure to the Underlying Futures Index, which, according to the filing, means it "may experience a decline that is many multiples of any decline in the Underlying Futures Index." The filing further notes that the index has limited actual performance history and that an affiliate of the issuer participated in its development, which the filing identifies as a potential source of conflicts of interest.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed preliminary terms for 10-year autocallable securities linked to the SPXF3EV6 index, with a 40% buffer, a 16.75% per annum autocall premium, a stated principal of $1,000 per security, and a maturity date of November 28, 2036. All payments are subject to issuer and guarantor credit risk.