Obligation Citi Global Markets 0% ( US17328VPB08 ) en USD

Société émettrice Citi Global Markets
Prix sur le marché 100 %  ▼ 
Pays  Etas-Unis
Code ISIN  US17328VPB08 ( en USD )
Coupon 0%
Echéance 04/11/2022 - Obligation échue



Prospectus brochure de l'obligation Citigroup Global Markets Holdings US17328VPB08 en USD 0%, échue


Montant Minimal 1 000 USD
Montant de l'émission 500 000 USD
Cusip 17328VPB0
Notation Standard & Poor's ( S&P ) N/A
Notation Moody's NR
Description détaillée Citigroup Global Markets Holdings est une filiale de Citigroup Inc. qui offre une gamme complète de services de marchés financiers, notamment des services de banque d'investissement, de courtage, de négociation de titres et de gestion des risques.

Cet article présente une analyse rétrospective d'une obligation émise par Citigroup Global Markets Holdings, identifiée par le code ISIN US17328VPB08 et le code CUSIP 17328VPB0, un instrument de dette qui est arrivé à maturité et a été entièrement remboursé. L'émetteur, Citigroup Global Markets Holdings (CGMH), est une filiale à part entière de Citigroup Inc., l'une des plus grandes institutions financières mondiales et une composante majeure de l'économie américaine, dont le siège social est aux États-Unis; CGMH opère principalement comme un véhicule pour les activités de banque d'investissement, de courtage et de trading de Citigroup, gérant un large éventail d'instruments financiers et facilitant les transactions sur les marchés de capitaux pour ses clients institutionnels et corporatifs, ce qui inclut l'émission de divers titres de créance. Cette obligation particulière, libellée en dollars américains (USD), se distinguait par un taux d'intérêt nominal de 0%, la classifiant de fait comme une obligation à coupon zéro où le rendement pour l'investisseur est généré par la différence entre le prix d'achat initial (généralement inférieur au pair) et son prix de remboursement à maturité, plutôt que par des paiements d'intérêts périodiques. Le montant total de cette émission s'élevait à 500 000 USD, avec une taille minimale d'achat fixée à 1 000 USD par unité. La date de maturité de cette obligation était fixée au 4 novembre 2022, et les informations disponibles confirment qu'elle est bien arrivée à échéance et a été remboursée à 100% de sa valeur nominale sur le marché, attestant ainsi de la bonne exécution de ses engagements par l'émetteur. En ce qui concerne sa notation de crédit, l'obligation portait une désignation "NR" (Not Rated) de la part de l'agence de notation Moody's, ce qui signifie qu'elle n'avait pas fait l'objet d'une évaluation formelle de sa solvabilité par cette agence à des fins de classification publique.







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424B2 1 dp127688_424b2-us2097715.htm PRICING SUPPLEMENT

Citigroup Global Markets Holdings Inc.
May 1, 2020
Medium-Term Senior Notes, Series N
Pricing Supplement No. 2020-USNCH4290
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-224495 and 333-224495-03
Barrier Securities Linked to the Worst Performing of Diamondback Energy, Inc. and Marathon Oil Corporation
Due November 4, 2022

The securities offered by this pricing supplement are unsecured debt securities issued by Citigroup Global Markets Holdings
Inc. and guaranteed by Citigroup Inc. Unlike conventional debt securities, the securities do not pay interest and do not repay a
fixed amount of principal at maturity. Instead, the securities offer a payment at maturity that may be greater than, equal to or
less than the stated principal amount, depending on the performance of the worst performing of the underlyings specified
below from its initial underlying value to its final underlying value.

The securities offer modified exposure to the performance of the worst performing underlying, with (i) the opportunity to
participate in a limited range of potential appreciation of the worst performing underlying at the upside participation rate
specified below and (i ) contingent repayment of the stated principal amount at maturity if the worst performing underlying
depreciates, but only so long as its final underlying value is greater than or equal to its final barrier value specified below. In
exchange for these features, investors in the securities must be wil ing to forgo any appreciation of the worst performing
underlying in excess of the maximum return at maturity specified below and must be wil ing to forgo any dividends with respect
to any underlying. In addition, investors in the securities must be wil ing to accept ful downside exposure to the depreciation of
the worst performing underlying if its final underlying value is less than its final barrier value. If the final underlying value of
the worst performing underlying is less than its final barrier value, you will lose 1% of the stated principal amount of
your securities for every 1% by which its final underlying value is less than its initial underlying value. You may lose
your entire investment in the securities.

You wil be subject to risks associated with each of the underlyings and wil be negatively affected by adverse movements in
any one of the underlyings.

In order to obtain the modified exposure to the worst performing underlying that the securities provide, investors must be wil ing
to accept (i) an investment that may have limited or no liquidity and (i ) the risk of not receiving any amount due under the
securities if we and Citigroup Inc. default on our obligations. All payments on the securities are subject to the credit risk of
Citigroup Global Markets Holdings Inc. and Citigroup Inc.
KEY TERMS
Issuer:
Citigroup Global Markets Holdings Inc., a whol y owned subsidiary of Citigroup Inc.
Guarantee:
Al payments due on the securities are ful y and unconditional y guaranteed by Citigroup Inc.
Underlyings:
Underlying
Initial underlying value*
Final barrier value**

Diamondback Energy, Inc.
$42.935
$36.495

Marathon Oil Corporation
$5.994
$5.095

*For each underlying, an intraday value on the strike date
**For each underlying, 85.00% of its initial underlying value
Stated principal
$1,000 per security
amount:
Strike date:
April 30, 2020
Pricing date:
May 1, 2020
Issue date:
May 6, 2020
Valuation date:
November 1, 2022, subject to postponement if such date is not a scheduled trading day or certain
market disruption events occur
Maturity date:
November 4, 2022
Payment at maturity:
You wil receive at maturity for each security you then hold:
§ If the final underlying value of the worst performing underlying is greater than its initial
underlying value:
$1,000 + the return amount, subject to the maximum return at maturity
§ If the final underlying value of the worst performing underlying is less than or equal to its initial
underlying value but greater than or equal to its final barrier value:
$1,000
§ If the final underlying value of the worst performing underlying is less than its final barrier
value:
$1,000 + ($1,000 × the underlying return of the worst performing underlying)
If the final underlying value of the worst performing underlying is less than its final barrier
value, you will receive significantly less than the stated principal amount of your securities,
and possibly nothing, at maturity.
Final underlying value:
For each underlying, its closing value on the valuation date
Return amount:
$1,000 × the underlying return of the worst performing underlying × the upside participation rate
Upside participation
300.00%
rate:
Worst performing
The underlying with the lowest underlying return
underlying:
Underlying return:
For each underlying, (i) its final underlying value minus its initial underlying value, divided by (i ) its
initial underlying value
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Maximum return at
$3,250.00 per security (325.00% of the stated principal amount). The payment at maturity per security
maturity:
wil not exceed the stated principal amount plus the maximum return at maturity.
Listing:
The securities wil not be listed on any securities exchange
CUSIP / ISIN:
17328VPB0 / US17328VPB08
Underwriter:
Citigroup Global Markets Inc. ("CGMI"), an affiliate of the issuer, acting as principal
Underwriting fee and
Issue price(1)
Underwriting fee(2)
Proceeds to issuer(3)
issue price:
Per security:
$1,000.00
$5.00
$995.00
Total:
$500,000.00
$2,500.00
$497,500.00
(1) On the date of this pricing supplement, the estimated value of the securities is $858.82 per security, which is less than the issue
price. The estimated value of the securities is based on CGMI's proprietary pricing models and our internal funding rate. It is not an
indication of actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if any, at which CGMI or any other
person may be wil ing to buy the securities from you at any time after issuance. See "Valuation of the Securities" in this pricing
supplement.
(2) CGMI wil receive an underwriting fee of up to $5.00 for each security sold in this offering. The total underwriting fee and
proceeds to issuer in the table above give effect to the actual total underwriting fee. For more information on the distribution of the
securities, see "Supplemental Plan of Distribution" in this pricing supplement. In addition to the underwriting fee, CGMI and its
affiliates may profit from hedging activity related to this offering, even if the value of the securities declines. See "Use of Proceeds
and Hedging" in the accompanying prospectus.
(3) The per security proceeds to issuer indicated above represent the minimum per security proceeds to issuer for any security,
assuming the maximum per security underwriting fee. As noted above, the underwriting fee is variable.
Investing in the securities involves risks not associated with an investment in conventional debt
securities. See "Summary Risk Factors" beginning on page PS-5.
Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of
the securities or determined that this pricing supplement and the accompanying product supplement, prospectus
supplement and prospectus are truthful or complete. Any representation to the contrary is a criminal offense.
You should read this pricing supplement together with the accompanying product supplement, prospectus supplement
and prospectus, which can be accessed via the hyperlinks below:
Product Supplement No. EA-02-08 dated February 15, 2019 Prospectus Supplement and Prospectus each dated May 14,
2018
The securities are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or
any other governmental agency, nor are they obligations of, or guaranteed by, a bank.


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Citigroup Global Markets Holdings Inc.

Additional Information

General. The terms of the securities are set forth in the accompanying product supplement, prospectus supplement and
prospectus, as supplemented by this pricing supplement. The accompanying product supplement, prospectus supplement and
prospectus contain important disclosures that are not repeated in this pricing supplement. For example, the accompanying product
supplement contains important information about how the closing value of each underlying wil be determined and about
adjustments that may be made to the terms of the securities upon the occurrence of market disruption events and other specified
events with respect to each underlying. It is important that you read the accompanying product supplement, prospectus supplement
and prospectus together with this pricing supplement in deciding whether to invest in the securities. Certain terms used but not
defined in this pricing supplement are defined in the accompanying product supplement.

Closing Value. The "closing value" of each underlying on any date is the closing price of its underlying shares on such date, as
provided in the accompanying product supplement. The "underlying shares" of the underlyings are their respective shares of
common stock. Please see the accompanying product supplement for more information.

Prospectus. The first sentence of "Description of Debt Securities-- Events of Default and Defaults" in the accompanying
prospectus shal be amended to read in its entirety as fol ows:

Events of default under the indenture are:

·
failure of Citigroup Global Markets Holdings or Citigroup to pay required interest on any debt security of such series for 30
days;

·
failure of Citigroup Global Markets Holdings or Citigroup to pay principal, other than a scheduled instal ment payment to a
sinking fund, on any debt security of such series for 30 days;

·
failure of Citigroup Global Markets Holdings or Citigroup to make any required scheduled instal ment payment to a sinking
fund for 30 days on debt securities of such series;

·
failure of Citigroup Global Markets Holdings to perform for 90 days after notice any other covenant in the indenture
applicable to it other than a covenant included in the indenture solely for the benefit of a series of debt securities other than
such series; and

·
certain events of bankruptcy or insolvency of Citigroup Global Markets Holdings, whether voluntary or not (Section 6.01).

Payout Diagram

The diagram below il ustrates your payment at maturity for a range of hypothetical underlying returns of the worst performing
underlying.

Investors in the securities will not receive any dividends with respect to the underlyings. The diagram and examples
below do not show any effect of lost dividend yield over the term of the securities. See "Summary Risk Factors--You wil not
receive dividends or have any other rights with respect to the underlyings" below.

Payout Diagram
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n The Securities n The Worst Performing Underlying


PS-2
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Citigroup Global Markets Holdings Inc.

Hypothetical Examples

The examples below il ustrate how to determine the payment at maturity on the securities, assuming the various hypothetical final
underlying values indicated below. The examples are solely for il ustrative purposes, do not show al possible outcomes and are not
a prediction of what the actual payment at maturity on the securities wil be. The actual payment at maturity wil depend on the
actual final underlying value of the worst performing underlying.

The examples below are based on the fol owing hypothetical values and do not reflect the actual initial underlying values or final
barrier values of the underlyings. For the actual initial underlying value and final barrier value of each underlying, see the cover
page of this pricing supplement. We have used these hypothetical values, rather than the actual values, to simplify the calculations
and aid understanding of how the securities work. However, you should understand that the actual payment at maturity on the
securities wil be calculated based on the actual initial underlying value and final barrier value of each underlying, and not the
hypothetical values indicated below. For ease of analysis, figures below have been rounded.

Underlying
Hypothetical initial underlying
Hypothetical final barrier value
value
$85.00 (85.00% of its hypothetical
Diamondback Energy, Inc.
$100.00
initial underlying value)
$85.00 (85.00% of its hypothetical
Marathon Oil Corporation
$100.00
initial underlying value)

Example 1--Upside Scenario A. The final underlying value of the worst performing underlying is $105.00, resulting in a 5.00%
underlying return for the worst performing underlying. In this example, the final underlying value of the worst performing underlying
is greater than its initial underlying value.

Underlying
Hypothetical final underlying
Hypothetical underlying return
value
Diamondback Energy, Inc.*
$105.00
5.00%
Marathon Oil Corporation
$130.00
30.00%

* Worst performing underlying

Payment at maturity per security = $1,000 + the return amount, subject to the maximum return at maturity

= $1,000 + ($1,000 × the underlying return of the worst performing underlying × the upside participation rate), subject to the
maximum return at maturity

= $1,000 + ($1,000 × 5.00% × 300.00%), subject to the maximum return at maturity

= $1,000 + $150.00, subject to the maximum return at maturity

= $1,150.00

In this scenario, the worst performing underlying has appreciated from its initial underlying value to its final underlying value, and
your total return at maturity would equal the underlying return of the worst performing underlying multiplied by the upside
participation rate.

Example 2--Upside Scenario B. The final underlying value of the worst performing underlying is $480.00, resulting in a 380.00%
underlying return for the worst performing underlying. In this example, the final underlying value of the worst performing underlying
is greater than its initial underlying value.

Underlying
Hypothetical final underlying
Hypothetical underlying return
value
Diamondback Energy, Inc.
$490.00
390.00%
Marathon Oil Corporation*
$480.00
380.00%

* Worst performing underlying

Payment at maturity per security = $1,000 + the return amount, subject to the maximum return at maturity
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= $1,000 + ($1,000 × the underlying return of the worst performing underlying × the upside participation rate), subject to the
maximum return at maturity

= $1,000 + ($1,000 × 380.00% × 300.00%), subject to the maximum return at maturity

= $1,000 + $11,400.00, subject to the maximum return at maturity

= $4,250.00

In this scenario, the worst performing underlying has appreciated from its initial underlying value to its final underlying value, but the
underlying return of the worst performing underlying multiplied by the upside participation rate would exceed the maximum return at
maturity. As a result, your total return at maturity in this scenario would be limited to the maximum return at maturity, and an
investment in the securities would underperform a hypothetical alternative investment providing 1-to-1 exposure to the appreciation
of the worst performing underlying without a maximum return.

Example 3--Par Scenario. The final underlying value of the worst performing underlying is $95.00, resulting in a -5.00%
underlying return for the worst performing underlying. In this example, the final underlying value of the worst performing underlying
is less than its initial underlying value but greater than its final barrier value.

Underlying
Hypothetical final underlying
Hypothetical underlying return
value
Diamondback Energy, Inc.*
$95.00
-5.00%
Marathon Oil Corporation
$105.00
5.00%

* Worst performing underlying


PS-3
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Citigroup Global Markets Holdings Inc.

Payment at maturity per security = $1,000

In this scenario, the worst performing underlying has depreciated from its initial underlying value to its final underlying value but not
below its final barrier value. As a result, you would be repaid the stated principal amount of your securities at maturity but would not
receive any positive return on your investment.

Example 4--Downside Scenario. The final underlying value of the worst performing underlying is $30.00, resulting in a -70.00%
underlying return for the worst performing underlying. In this example, the final underlying value of the worst performing underlying
is less than its final barrier value.

Underlying
Hypothetical final underlying
Hypothetical underlying return
value
Diamondback Energy, Inc.
$120.00
20.00%
Marathon Oil Corporation*
$30.00
-70.00%

* Worst performing underlying

Payment at maturity per security = $1,000 + ($1,000 × the underlying return of the worst performing underlying)

= $1,000 + ($1,000 × -70.00%)

= $1,000 + -$700.00

= $300.00

In this scenario, the worst performing underlying has depreciated from its initial underlying value to its final underlying value and its
final underlying value is less than its final barrier value. As a result, your total return at maturity in this scenario would be negative
and would reflect 1-to-1 exposure to the negative performance of the worst performing underlying.


PS-4
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Citigroup Global Markets Holdings Inc.

Summary Risk Factors

An investment in the securities is significantly riskier than an investment in conventional debt securities. The securities are subject
to al of the risks associated with an investment in our conventional debt securities (guaranteed by Citigroup Inc.), including the risk
that we and Citigroup Inc. may default on our obligations under the securities, and are also subject to risks associated with each
underlying. Accordingly, the securities are suitable only for investors who are capable of understanding the complexities and risks of
the securities. You should consult your own financial, tax and legal advisors as to the risks of an investment in the securities and the
suitability of the securities in light of your particular circumstances.

The fol owing is a summary of certain key risk factors for investors in the securities. You should read this summary together with the
more detailed description of risks relating to an investment in the securities contained in the section "Risk Factors Relating to the
Securities" beginning on page EA-7 in the accompanying product supplement. You should also careful y read the risk factors
included in the accompanying prospectus supplement and in the documents incorporated by reference in the accompanying
prospectus, including Citigroup Inc.'s most recent Annual Report on Form 10-K and any subsequent Quarterly Reports on Form 10-
Q, which describe risks relating to the business of Citigroup Inc. more general y.

§
You may lose a significant portion or all of your investment. Unlike conventional debt securities, the securities do not
repay a fixed amount of principal at maturity. Instead, your payment at maturity wil depend on the performance of the worst
performing underlying. If the final underlying value of the worst performing underlying is less than its final barrier value, you
wil lose 1% of the stated principal amount of your securities for every 1% by which the worst performing underlying has
depreciated from its initial underlying value to its final underlying value. There is no minimum payment at maturity on the
securities, and you may lose up to al of your investment.

§
The initial underlying values, which are intraday values of the underlyings on the strike date, may be higher than
the closing values of the underlyings on the pricing date. If the closing values of the underlyings on the pricing date are
less than the initial underlying values, which are intraday values of the underlyings on the strike date, the terms of the
securities may be less favorable to you than the terms of an alternative investment that may be available to you that offers a
similar payout as the securities but with the initial underlying values set as the closing values of the underlyings on the
pricing date.

§
The initial underlying values have been determined at the discretion of CGMI, as the calculation agent. The initial
underlying values are intraday values of the underlyings on the strike date, as determined by the calculation agent in its
sole discretion, and are not based on the closing values of the underlyings on the pricing date. The initial underlying values
may be higher or lower than the actual closing values of the underlyings on the pricing date. Although the calculation agent
has determined the initial underlying values in good faith, the discretion exercised by the calculation agent in determining
the initial underlying values could have an impact (positive or negative) on the value of your securities. The calculation
agent is under no obligation to consider your interests as a holder of the securities in taking any actions that might affect the
value of your securities, including the determination of the initial underlying values.

§
Your potential return on the securities is limited. Your potential total return on the securities at maturity is limited to the
maximum return at maturity, even if the worst performing underlying appreciates by significantly more than the maximum
return at maturity. If the worst performing underlying appreciates by more than the maximum return at maturity, the
securities wil underperform an alternative investment providing 1-to-1 exposure to the performance of the worst performing
underlying. When lost dividends are taken into account, the securities may underperform an alternative investment
providing 1-to-1 exposure to the performance of the worst performing underlying even if the worst performing underlying
appreciates by less than the maximum return at maturity. In addition, the maximum return at maturity reduces the effect of
the upside participation rate for al final underlying values of the worst performing underlying exceeding the final underlying
value of the worst performing underlying at which, by multiplying the corresponding underlying return by the upside
participation rate, the maximum return at maturity is reached.

§
The securities do not pay interest. Unlike conventional debt securities, the securities do not pay interest or any other
amounts prior to maturity. You should not invest in the securities if you seek current income during the term of the
securities.

§
The securities are subject to heightened risk because they have multiple underlyings. The securities are more risky
than similar investments that may be available with only one underlying. With multiple underlyings, there is a greater
chance that any one underlying wil perform poorly, adversely affecting your return on the securities.

§
The securities are subject to the risks of each of the underlyings and will be negatively affected if any one
underlying performs poorly. You are subject to risks associated with each of the underlyings. If any one underlying
performs poorly, you wil be negatively affected. The securities are not linked to a basket composed of the underlyings,
where the blended performance of the underlyings would be better than the performance of the worst performing underlying
alone. Instead, you are subject to the ful risks of whichever of the underlyings is the worst performing underlying.

§
You will not benefit in any way from the performance of any better performing underlying. The return on the
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securities depends solely on the performance of the worst performing underlying, and you wil not benefit in any way from
the performance of any better performing underlying.

§
You will be subject to risks relating to the relationship between the underlyings. It is preferable from your perspective
for the underlyings to be correlated with each other, in the sense that their closing values tend to increase or decrease at
similar times and by similar magnitudes. By investing in the securities, you assume the risk that the underlyings wil not
exhibit this relationship. The less correlated the underlyings, the more likely it is that any one of the underlyings wil perform
poorly over the term of the securities. Al that is necessary for the securities to perform poorly is for one of the underlyings
to perform poorly. It is impossible to predict what the relationship between the underlyings wil be over the term of the
securities. The underlyings differ in significant ways and, therefore, may not be correlated with each other.

§
You will not receive dividends or have any other rights with respect to the underlyings. You wil not receive any
dividends with respect to the underlyings. This lost dividend yield may be significant over the term of the securities. The
payment scenarios described in


PS-5
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Citigroup Global Markets Holdings Inc.

this pricing supplement do not show any effect of lost dividend yield over the term of the securities. In addition, you wil not
have voting rights or any other rights with respect to the underlyings. If any change to the underlying shares is proposed,
such as an amendment to the underlying's organizational documents, you wil not have the right to vote on such change.
Any such change may adversely affect the market value of the underlyings.

§
Your payment at maturity depends on the closing value of the worst performing underlying on a single day.
Because your payment at maturity depends on the closing value of the worst performing underlying solely on the valuation
date, you are subject to the risk that the closing value of the worst performing underlying on that day may be lower, and
possibly significantly lower, than on one or more other dates during the term of the securities. If you had invested directly in
the underlyings or in another instrument linked to the worst performing underlying that you could sel for ful value at a time
selected by you, or if the payment at maturity were based on an average of closing values of the worst performing
underlying, you might have achieved better returns.

§
The securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. If we
default on our obligations under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive
anything owed to you under the securities.

§
The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity.
The securities wil not be listed on any securities exchange. Therefore, there may be little or no secondary market for the
securities. CGMI currently intends to make a secondary market in relation to the securities and to provide an indicative bid
price for the securities on a daily basis. Any indicative bid price for the securities provided by CGMI wil be determined in
CGMI's sole discretion, taking into account prevailing market conditions and other relevant factors, and wil not be a
representation by CGMI that the securities can be sold at that price, or at al . CGMI may suspend or terminate making a
market and providing indicative bid prices without notice, at any time and for any reason. If CGMI suspends or terminates
making a market, there may be no secondary market at al for the securities because it is likely that CGMI wil be the only
broker-dealer that is wil ing to buy your securities prior to maturity. Accordingly, an investor must be prepared to hold the
securities until maturity.

§
The estimated value of the securities on the pricing date, based on CGMI's proprietary pricing models and our
internal funding rate, is less than the issue price. The difference is attributable to certain costs associated with sel ing,
structuring and hedging the securities that are included in the issue price. These costs include (i) any sel ing concessions or
other fees paid in connection with the offering of the securities, (i ) hedging and other costs incurred by us and our affiliates
in connection with the offering of the securities and (i i) the expected profit (which may be more or less than actual profit) to
CGMI or other of our affiliates in connection with hedging our obligations under the securities. These costs adversely affect
the economic terms of the securities because, if they were lower, the economic terms of the securities would be more
favorable to you. The economic terms of the securities are also likely to be adversely affected by the use of our internal
funding rate, rather than our secondary market rate, to price the securities. See "The estimated value of the securities
would be lower if it were calculated based on our secondary market rate" below.

§
The estimated value of the securities was determined for us by our affiliate using proprietary pricing models. CGMI
derived the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In
doing so, it may have made discretionary judgments about the inputs to its models, such as the volatility of, and correlation
between, the closing values of the underlyings, dividend yields on the underlyings and interest rates. CGMI's views on
these inputs may differ from your or others' views, and as an underwriter in this offering, CGMI's interests may conflict with
yours. Both the models and the inputs to the models may prove to be wrong and therefore not an accurate reflection of the
value of the securities. Moreover, the estimated value of the securities set forth on the cover page of this pricing
supplement may differ from the value that we or our affiliates may determine for the securities for other purposes, including
for accounting purposes. You should not invest in the securities because of the estimated value of the securities. Instead,
you should be wil ing to hold the securities to maturity irrespective of the initial estimated value.

§
The estimated value of the securities would be lower if it were calculated based on our secondary market rate. The
estimated value of the securities included in this pricing supplement is calculated based on our internal funding rate, which
is the rate at which we are wil ing to borrow funds through the issuance of the securities. Our internal funding rate is
general y lower than our secondary market rate, which is the rate that CGMI wil use in determining the value of the
securities for purposes of any purchases of the securities from you in the secondary market. If the estimated value included
in this pricing supplement were based on our secondary market rate, rather than our internal funding rate, it would likely be
lower. We determine our internal funding rate based on factors such as the costs associated with the securities, which are
general y higher than the costs associated with conventional debt securities, and our liquidity needs and preferences. Our
internal funding rate is not an interest rate that is payable on the securities.

Because there is not an active market for traded instruments referencing our outstanding debt obligations, CGMI
determines our secondary market rate based on the market price of traded instruments referencing the debt obligations of
Citigroup Inc., our parent company and the guarantor of al payments due on the securities, but subject to adjustments that
CGMI makes in its sole discretion. As a result, our secondary market rate is not a market-determined measure of our
creditworthiness, but rather reflects the market's perception of our parent company's creditworthiness as adjusted for
discretionary factors such as CGMI's preferences with respect to purchasing the securities prior to maturity.
https://www.sec.gov/Archives/edgar/data/200245/000095010320009103/dp127688_424b2-us2097715.htm
10/23