Citigroup Global Markets Holdings Inc. filed a free writing prospectus on October 30, 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 5, 2026, and a maturity date of November 10, 2036.

Key Highlights

  • Issuer and guarantor: Citigroup Global Markets Holdings Inc. is the issuer; Citigroup Inc. guarantees all payments on the securities.
  • Contingent coupon rate: 13.60% per annum, paid quarterly only if the underlying closes at or above 60.00% of its initial value on the related valuation date.
  • Automatic early redemption: Securities are called at principal plus the related contingent coupon if the underlying closes at or above the initial underlying value on any quarterly autocall date beginning after six months.
  • Principal protection barrier: The final barrier value is set at 60.00% of the initial underlying value; a breach results in a loss of 1% of principal for every 1% decline from the initial underlying value.
  • CUSIP / ISIN: 17334D3G5 / US17334D3G57, with a stated principal amount of $1,000 per security.
  • No exchange listing: According to the filing, "the securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity."
  • Decrement feature: The underlying index applies a fixed decrement of 6% per annum, which the filing states "will reduce the performance of the underlying."

Structure and Payment Terms of the October 30 Preliminary Supplement

The securities are structured notes issued by Citigroup Global Markets Holdings Inc. (NYSE:C), a subsidiary that regularly issues market-linked notes as part of Citigroup Inc.'s broader structured products business. The preliminary pricing supplement, dated October 30, 2026, sets the pricing date as November 5, 2026, with quarterly valuation dates throughout a 10-year term ending November 10, 2036. All payments are subject to the credit risk of both the issuer and Citigroup Inc. as guarantor.

According to the filing, if the securities are not automatically redeemed early and the final underlying value is greater than or equal to the final barrier value of 60.00% of the initial underlying value, investors receive $1,000 per security at maturity. If the final underlying value falls below that barrier, the payment equals $1,000 plus $1,000 multiplied by the underlying return, which the filing notes could result in receiving "possibly nothing" at maturity. The hypothetical payment table in the filing illustrates that a -50.00% underlying return produces a $500.00 payment, while a -100.00% return produces $0.00.

The filing identifies several risks specific to the underlying index, the S&P 500 Futures 35% Edge Volatility 6% Decrement Index. The index uses implied volatility rather than realized volatility in its targeting mechanism, carries a 6% annual decrement, and may reflect highly leveraged exposure to the underlying futures index. The filing also discloses that an affiliate of Citigroup participated in the development of the underlying index, and that the Underlying Futures Index is expected to underperform the S&P 500 Index because of an implicit financing cost.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed preliminary terms for 10-year autocallable contingent coupon securities linked to SPXF3EV6, with a 13.60% per annum coupon, a 60.00% barrier, quarterly autocall provisions, and a $1,000 stated principal amount per security, priced on November 5, 2026.