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 Contingent Coupon Securities linked to the S&P 500 Futures 35% Edge Volatility 6% Decrement Index (USD) ER, with a pricing date of November 20, 2026, and a maturity date of November 28, 2036.

Key Highlights

  • Issuer and guarantor: Citigroup Global Markets Holdings Inc. is the issuer; Citigroup Inc. serves as guarantor, with all payments subject to the credit risk of both entities.
  • Contingent coupon rate: 13.00% per annum, paid quarterly, only when the closing value of the underlying is at or above 50.00% of the initial underlying value on the relevant valuation date.
  • Principal at risk: If not autocalled and the final underlying value falls below the 50.00% final barrier value, investors lose 1% of stated principal for every 1% decline, with no minimum payment at maturity.
  • Autocall feature: Securities are automatically redeemed quarterly beginning after one year if the underlying closes at or above its initial value, returning principal plus the contingent coupon.
  • Stated principal: $1,000 per security, with CUSIP 17334D2H4 and ISIN US17334D2H40.
  • No exchange listing: According to the filing, the securities will not be listed on any securities exchange, which may limit the ability to sell them prior to maturity.
  • Estimated value disclosure: The filing states that the estimated value of the securities on the pricing date will be less than the issue price.

Structure and Underlying Index Details for the November 2026 Offering

According to the filing, the securities are linked to the S&P 500 Futures 35% Edge Volatility 6% Decrement Index (USD) ER, ticker SPXF3EV6. The filing discloses that this underlying applies a volatility targeting mechanism based on implied volatility and carries a 6% per annum decrement that continuously reduces its performance relative to the referenced futures index. The filing further 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.

Citigroup Global Markets Holdings Inc., a subsidiary of Citigroup Inc. (NYSE:C), issues structured notes as part of its broader capital markets and investment products business. The filing describes the payment structure in two scenarios: if the final underlying value is at or above the 50.00% final barrier value, investors receive $1,000 per security; if below that barrier, the payment equals $1,000 plus $1,000 multiplied by the underlying return, which would represent a loss. Hypothetical examples in the filing show that a -75.00% underlying return at maturity would yield $250.00 per security, while a -100.00% return would yield $0.00.

The filing also discloses that the underlying "may reflect highly leveraged exposure to the Underlying Futures Index and may therefore experience a decline that is many multiples of any decline in the Underlying Futures Index." The Underlying Futures Index is separately noted as expected to underperform the S&P 500 Index due to an implicit financing cost. Valuation dates are quarterly, and the preliminary pricing supplement is dated October 30, 2026, with registration statement file numbers 333-293732 and 333-293732-02 on file with the SEC.

What Was Disclosed

Citigroup Global Markets Holdings Inc. filed a free writing prospectus outlining preliminary terms for a 10-year autocallable structured note linked to SPXF3EV6, offering a 13.00% per annum contingent coupon subject to a 50.00% coupon barrier, with full principal loss possible at maturity if the barrier is breached and the note is not previously called.