Citigroup Global Markets Holdings Inc. filed a free writing prospectus on November 5, 2026, disclosing preliminary terms for 7-Year Autocallable Contingent Coupon Equity Linked Securities linked 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 30, 2033.

Key Highlights

  • Issuer and guarantor: Citigroup Global Markets Holdings Inc. is the issuer; Citigroup Inc. (NYSE:C) serves as guarantor of the securities.
  • Contingent coupon rate: Approximately 16.40% per annum, paid monthly only if the underlying's closing value is at or above 70% of its initial value on each valuation date.
  • Final barrier value: 60% of the initial underlying value, below which investors at maturity lose principal on a 1-for-1 basis with the underlying's decline.
  • Autocall period: From November 24, 2027 to but excluding the final valuation date; securities are redeemed early at $1,000 if the underlying closes at or above its initial value on any trading day in that window.
  • CUSIP / ISIN: 17334D5T5 / US17334D5T50.
  • No exchange listing: According to the filing, the securities will not be listed on any securities exchange, and secondary market sales prior to maturity may not be possible.
  • Estimated value below issue price: The filing states that the estimated value of the securities on the pricing date is less than the issue price.

Structure and Key Terms of the N3V6EDGE-Linked Securities

According to the filing, the securities carry a stated principal amount of $1,000 per security. The contingent coupon of approximately 16.40% per annum is paid monthly, but only on valuation dates when the closing value of the N3V6EDGE index meets or exceeds its coupon barrier value, set at 70% of the initial underlying value. If the underlying closes below that threshold on a given valuation date, no coupon is paid for that period.

The autocall feature, the filing discloses, becomes active from November 24, 2027 onward. On any trading day during the autocall period when the underlying's closing value is at or above its initial value, each security is automatically redeemed for $1,000 in cash on the third following business day. The filing notes that if an automatic early redemption occurs on a day that is not a scheduled valuation date, holders will not receive a contingent coupon for the period from the preceding coupon payment date up to but excluding the redemption date.

At maturity, if the securities have not been autocalled and the final underlying value equals or exceeds the final barrier value of 60% of the initial underlying value, the holder receives $1,000. If the final underlying value falls below that barrier, the payment equals $1,000 plus $1,000 multiplied by the underlying return, meaning investors lose 1% of principal for every 1% decline in the index from its initial value. The filing states there is no minimum payment at maturity and investors may receive nothing.

The underlying index, N3V6EDGE, applies a volatility-targeting mechanism based on implied volatility and imposes a fixed decrement of 6% per annum. The filing cautions that this decrement "may reduce the annual return of the underlying by more (and possibly significantly more) than 6%," and that the index may reflect highly leveraged exposure to the underlying Nasdaq-100 futures index, amplifying potential losses relative to the futures index itself.

What Was Disclosed

Citigroup Global Markets Holdings Inc. disclosed preliminary terms for 7-year structured notes linked to the N3V6EDGE index, including coupon conditions, autocall mechanics, barrier levels, CUSIP identifiers, and an extensive set of risk factors covering principal loss, credit risk, liquidity, and index-specific concerns.