Citigroup Global Markets Holdings Inc. filed a free writing prospectus on November 3, 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 30, 2026, and a maturity date of December 4, 2031.

Key Highlights

  • Issuer and guarantor: Citigroup Global Markets Holdings Inc. is the issuer, with all payments guaranteed by Citigroup Inc. (NYSE:C), subject to each entity's credit risk.
  • Contingent coupon rate: At least 17.00% per annum, paid monthly, only when the underlying closes at or above 60.00% of the initial underlying value on the related valuation date.
  • Barrier level: Both the coupon barrier value and the final barrier value are set at 60.00% of the initial underlying value.
  • Automatic early redemption: Securities are called monthly (beginning after six months) at principal plus the related contingent coupon if the underlying closes at or above the initial underlying value on an autocall date.
  • Principal at risk: If not autocalled and the final underlying value falls below the 60.00% final barrier value, investors lose 1% of principal for every 1% decline, with no minimum payment at maturity.
  • CUSIP / ISIN: 17334DY48 / US17334DY487; stated principal amount is $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."

Structure and Payment Terms of the SPXF4EV6-Linked Securities

According to the filing, Citigroup Global Markets Holdings Inc. is offering 5-Year Autocallable Contingent Coupon Securities with a stated principal amount of $1,000 per security. The underlying index is the S&P 500 Futures 40% Edge Volatility 6% Decrement Index (USD) ER, ticker SPXF4EV6. The pricing date is set for November 30, 2026, with valuation dates occurring monthly through the maturity date of December 4, 2031. The actual contingent coupon rate, which the filing states will be at least 17.00% per annum, will be determined on the pricing date.

The filing discloses that investors receive the monthly contingent coupon only when the closing value of the underlying on a given valuation date is greater than or equal to 60.00% of the initial underlying value. If the securities are not autocalled before maturity, the payment at maturity depends entirely on where the underlying closes on the final valuation date. The filing provides hypothetical examples: at a 0.00% underlying return, the payment at maturity is $1,000.00; at a -40.01% return, the hypothetical payment falls to $599.90; at -50.00%, it falls to $500.00; and at -100.00%, it reaches $0.00.

The filing identifies several risks specific to the structure of this security and its underlying index. It notes that the underlying applies a decrement of 6% per annum, which reduces performance, and that an affiliate of the issuer participated in the development of the underlying. The filing also discloses that the estimated value of the securities on the pricing date will be less than the issue price, and that the U.S. federal tax consequences of an investment in the securities are described as unclear. These disclosures are contained in the preliminary pricing supplement referenced by the filing under registration file numbers 333-293732 and 333-293732-02.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed preliminary terms for autocallable contingent coupon securities linked to SPXF4EV6, maturing December 4, 2031, with a contingent coupon of at least 17.00% per annum, a 60.00% barrier level, and full principal at risk if the underlying declines beyond that barrier at maturity.