Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc., filed a free writing prospectus on November 4, 2026, disclosing preliminary terms for 5-Year Autocallable Contingent Coupon Equity Linked Securities linked to the S&P 500 Futures 35% Intraday Edge Volatility TCA 6% Decrement Index (USD) ER (ticker: SPXI3EV6).

Key Highlights

  • Contingent coupon rate: 14.85% per annum, paid monthly only if the underlying's closing value is greater than or equal to its coupon barrier value on the related valuation date.
  • Coupon and final barrier values: Both set at 60% of the initial underlying value.
  • Automatic early redemption: Securities are called at $1,000 stated principal plus the related contingent coupon if, on any potential autocall date, the underlying closes at or above its initial underlying value; potential autocall dates begin monthly after one year.
  • Pricing and maturity dates: Pricing date is November 24, 2026; maturity date is November 28, 2031.
  • CUSIP / ISIN: 17334D4P4 / US17334D4P48.
  • Principal at risk: If not autocalled and the final underlying value is below the final barrier value, investors may receive significantly less than $1,000 per security, and possibly nothing.
  • Listing status: The securities will not be listed on any securities exchange.

Terms and Risk Profile of the SPXI3EV6-Linked Securities

According to the filing, Citigroup Global Markets Holdings Inc. is the issuer of these securities, with Citigroup Inc. serving as guarantor. The stated principal amount is $1,000 per security. The underlying index, SPXI3EV6, incorporates an intraday trend-following mechanism, an overnight mean-reversion mechanism, and a 6% per annum decrement. The filing notes that "the performance of the underlying will be reduced by notional costs and by a decrement of 6% per annum" and that this decrement "may reduce the annual return of the underlying by more (and possibly significantly more) than 6%."

The filing's hypothetical payment table illustrates that if the final underlying value declines by 40% or less from the initial underlying value, investors receive $1,000 at maturity. If it declines by exactly 40.01%, the hypothetical payment falls to $599.90, and a 100% decline produces a $0.00 payment. For valuation dates prior to final maturity, an autocall event at any percentage change at or above 0% results in a hypothetical payment of $1,012.375 per security, reflecting one monthly coupon of approximately $12.375 on a $1,000 principal.

The filing identifies multiple risk factors specific to this structure. It states that the securities "offer downside exposure, but no upside exposure, to the underlying" and that the underlying "has limited actual performance information." The filing also discloses that "the estimated value of the securities on the pricing date is less than the issue price" and that the securities are unsecured debt obligations subject to the credit risk of both the issuer and the guarantor. An affiliate of the issuer participated in the development of the underlying index, which the filing identifies as a potential conflict of interest.

What Was Disclosed

Citigroup Global Markets Holdings Inc. disclosed preliminary terms for structured notes linked to SPXI3EV6, carrying a 14.85% per annum contingent coupon, a 60% barrier, a 5-year term ending November 28, 2031, and CUSIP 17334D4P4, with principal fully at risk below the barrier.