Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc. (NYSE:C), filed a free writing prospectus on November 4, 2026, disclosing preliminary terms for 5-Year Autocallable Contingent Coupon Securities linked to the S&P 500 Futures 40% Edge Volatility 6% Decrement Index (USD) ER, with a pricing date of November 24, 2026.

Key Highlights

  • Underlying index: The securities are linked to the S&P 500 Futures 40% Edge Volatility 6% Decrement Index (USD) ER, ticker SPXF4EV6.
  • Contingent coupon rate: 13.00% per annum, paid monthly, only if the underlying closes at or above the coupon barrier value on the relevant valuation date.
  • Coupon and final barrier: Both are set at 60.00% of the initial underlying value.
  • Automatic early redemption: Securities may be called monthly beginning after six months if the closing value equals or exceeds the initial underlying value, with principal plus the related contingent coupon returned.
  • Maturity date: November 28, 2031, with a stated principal amount of $1,000 per security.
  • Principal at risk: If not autocalled and the final underlying value falls below the final barrier value, investors receive $1,000 plus $1,000 multiplied by the underlying return, with no minimum payment and potential total loss.
  • CUSIP / ISIN: 17334D5V0 / US17334D5V07.

Structure and Payout Terms of the Citigroup SPXF4EV6-Linked Securities

According to the filing, the securities are issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. The underlying, SPXF4EV6, incorporates a volatility targeting mechanism based on implied volatility and applies a fixed decrement of 6% per annum, which the filing states will reduce the performance of the underlying. The filing also notes that an affiliate of the issuer participated in the development of the underlying index, which the filing identifies as a potential conflict of interest.

The contingent coupon of 13.00% per annum is not guaranteed. The filing states that investors will not receive any coupon payment following a valuation date on which the underlying closes below the coupon barrier value, which is 60.00% of the initial underlying value. Monthly autocall dates begin after six months from pricing. If the securities are automatically redeemed early, investors receive the stated principal plus the applicable contingent coupon but forgo any further coupon payments they might otherwise have received.

At maturity, if the securities have not been autocalled and the final underlying value is at or above the final barrier value of 60.00% of the initial underlying value, the filing indicates investors receive $1,000 per security. If the final underlying value falls below that barrier, investors bear full downside exposure on a 1-for-1 basis from the initial underlying value, with no floor. The filing states the securities will not be listed on any securities exchange, potentially limiting liquidity before maturity. All payments are subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed preliminary terms for autocallable contingent coupon securities linked to the SPXF4EV6 index, maturing November 28, 2031, with a 13.00% per annum contingent coupon, dual 60% barriers, monthly autocall provisions, and full principal-at-risk below the final barrier.