Bond Citi Global Markets 5.75% ( US17327TE364 ) in USD

Citi Global Markets

98.84 % ⇌

United States

US17327TE364 ( in USD )

5.75% per year ( payment 2 times a year)

28/02/2025 - Bond has expired

Prospectus brochure of the bond Citigroup Global Markets Holdings US17327TE364 in USD 5.75%, expired

1 000 USD

2 115 000 USD

17327TE36

N/A

Citigroup Global Markets Holdings Inc. is a subsidiary of Citigroup Inc. providing a wide range of financial services, including securities brokerage, investment banking, and trading across various asset classes globally.

The Bond issued by Citi Global Markets ( United States ) , in USD, with the ISIN code US17327TE364, pays a coupon of 5.75% per year.
The coupons are paid 2 times per year and the Bond maturity is 28/02/2025

The Bond issued by Citi Global Markets ( United States ) , in USD, with the ISIN code US17327TE364, was rated NR by Moody's credit rating agency.

2/28/2020
https://www.sec.gov/Archives/edgar/data/200245/000095010320003594/dp122171_424b2-us2088834.htm
424B2 1 dp122171_424b2-us2088834.htm PRICING SUPPLEMENT
Citigroup Global Markets Holdings
February 25, 2020
Medium-Term Senior Notes, Series N
Inc.
Pricing Supplement No. 2020-USNCH3520
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-224495 and 333-
224495-03
Cal able Contingent Coupon Equity Linked Securities Linked to the Worst Performing of the Dow Jones Industrial
AverageTM, the Nasdaq-100 Index® and the Russel 2000® Index Due February 28, 2025

The securities offered by this pricing supplement are unsecured debt securities issued by Citigroup Global Markets
Holdings Inc. and guaranteed by Citigroup Inc. The securities offer the potential for periodic contingent coupon
payments at an annualized rate that, if al are paid, would produce a yield that is general y higher than the yield on our
conventional debt securities of the same maturity. In exchange for this higher potential yield, you must be wil ing to
accept the risks that (i) your actual yield may be lower than the yield on our conventional debt securities of the same
maturity because you may not receive one or more, or any, contingent coupon payments, and (i ) the value of what you
receive at maturity may be significantly less than the stated principal amount of your securities, and may be zero. Each
of these risks wil depend solely on the performance of the worst performing of the underlyings specified below.

We have the right to cal the securities for mandatory redemption on any potential redemption date specified below.

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. Although you wil have downside exposure to the worst performing
underlying, you wil not receive dividends with respect to any underlying or participate in any appreciation of any
underlying.

Investors in the securities must be wil ing to accept (i) an investment that may have limited or no liquidity and (i ) the
risk of not receiving any payments 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.
Initial underlying
Coupon barrier
Final barrier
Underlyings:
Underlying
value*
value**
value**

Dow Jones Industrial AverageTM
27,081.36
18,956.952
18,956.952

Nasdaq-100 Index®
8,834.865
6,184.406
6,184.406

Russel 2000® Index
1,571.897
1,100.328
1,100.328
*For each underlying, its closing value on the pricing date
**For each underlying, 70.00% of its initial underlying value
Stated principal
$1,000 per security
amount:
Pricing date:
February 25, 2020
Issue date:
February 28, 2020
Valuation dates:
May 26, 2020, August 25, 2020, November 25, 2020, February 25, 2021, May 25, 2021, August
25, 2021, November 26, 2021, February 25, 2022, May 25, 2022, August 25, 2022, November 25,
2022, February 27, 2023, May 25, 2023, August 25, 2023, November 27, 2023, February 26,
2024, May 28, 2024, August 26, 2024, November 25, 2024 and February 25, 2025 (the "final
valuation date"), each subject to postponement if such date is not a scheduled trading day or
certain market disruption events occur
Maturity date:
Unless earlier redeemed, February 28, 2025
Contingent coupon
The third business day after each valuation date, except that the contingent coupon payment date
payment dates:
fol owing the final valuation date wil be the maturity date
Contingent coupon:
On each contingent coupon payment date, unless previously redeemed, the securities wil pay a
contingent coupon equal to 1.4375% of the stated principal amount of the securities (equivalent to
a contingent coupon rate of 5.75% per annum) if and only if the closing value of the worst
performing underlying on the immediately preceding valuation date is greater than or equal to its
coupon barrier value. If the closing value of the worst performing underlying on any
valuation date is less than its coupon barrier value, you will not receive any contingent
coupon payment on the immediately following contingent coupon payment date.
Payment at
If the securities are not redeemed prior to maturity, you wil receive at maturity for each security
maturity:
you then hold (in addition to the final contingent coupon payment, if applicable):
§ If the final underlying value of the worst performing underlying on the final valuation date is
greater than or equal to its final barrier value: $1,000
§ If the final underlying value of the worst performing underlying on the final valuation date is
less than its final barrier value:
https://www.sec.gov/Archives/edgar/data/200245/000095010320003594/dp122171_424b2-us2088834.htm
1/23

2/28/2020
https://www.sec.gov/Archives/edgar/data/200245/000095010320003594/dp122171_424b2-us2088834.htm
$1,000 + ($1,000 × the underlying return of the worst performing underlying on the final
valuation date)
If the securities are not redeemed prior to maturity and the final underlying value of the
worst performing underlying on the final valuation date 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, and you will not receive any contingent coupon payment at
maturity.
Listing:
The securities wil not be listed on any securities exchange
Underwriter:
Citigroup Global Markets Inc. ("CGMI"), an affiliate of the issuer, acting as principal
Underwriting fee
Issue price(1)(2)
Underwriting fee(3)
Proceeds to issuer(4)
and issue price:
Per security:
$1,000.00
$41.25
$958.75
Total:
$2,115,000.00
$85,742.10
$2,029,257.90
(Key Terms continued on next page)
(1) On the date of this pricing supplement, the estimated value of the securities is $925.00 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) The issue price for investors purchasing the securities in fee-based advisory accounts wil be $965.00 per security,
assuming no custodial fee is charged by a selected dealer, and up to $970.00 per security, assuming the maximum
custodial fee is charged by a selected dealer. See "Supplemental Plan of Distribution" in this pricing supplement.
(3) CGMI wil receive an underwriting fee of up to $41.25 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.
(4) 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, underlying 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, underlying
supplement, prospectus supplement and prospectus, which can be accessed via the hyperlinks below:
Product Supplement No. EA-04-08 dated February 15, 2019 Underlying Supplement No. 8 dated February 21,
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.

https://www.sec.gov/Archives/edgar/data/200245/000095010320003594/dp122171_424b2-us2088834.htm
2/23

2/28/2020
https://www.sec.gov/Archives/edgar/data/200245/000095010320003594/dp122171_424b2-us2088834.htm

Citigroup Global Markets Holdings Inc.

KEY TERMS (continued)
Redemption:
We may cal the securities, in whole and not in part, for mandatory redemption on any
potential redemption date upon not less than three business days' notice. Fol owing an
exercise of our cal right, you wil receive for each security you then hold an amount in cash
equal to $1,000.00 plus the related contingent coupon payment, if any.
Potential redemption
The contingent coupon payment dates related to the valuation dates scheduled to occur on
dates:
February 25, 2021, May 25, 2021, August 25, 2021, November 26, 2021, February 25, 2022,
May 25, 2022, August 25, 2022, November 25, 2022, February 27, 2023, May 25, 2023,
August 25, 2023, November 27, 2023, February 26, 2024, May 28, 2024, August 26, 2024
and November 25, 2024
Final underlying value:
For each underlying, its closing value on the final valuation date
Worst performing
For any valuation date, the underlying with the lowest underlying return determined as of that
underlying:
valuation date
Underlying return:
For each underlying on any valuation date, (i) its closing value on that valuation date minus
its initial underlying value, divided by (i ) its initial underlying value
CUSIP / ISIN:
17327TE36 / US17327TE364

Additional Information

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. The accompanying underlying supplement contains information
about each underlying that is not repeated in this pricing supplement. It is important that you read the accompanying
product supplement, underlying 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.

PS-2
https://www.sec.gov/Archives/edgar/data/200245/000095010320003594/dp122171_424b2-us2088834.htm
3/23

2/28/2020
https://www.sec.gov/Archives/edgar/data/200245/000095010320003594/dp122171_424b2-us2088834.htm
Citigroup Global Markets Holdings Inc.

Hypothetical Examples

The examples in the first section below il ustrate how to determine whether a contingent coupon wil be paid fol owing a
valuation date. The examples in the second section below il ustrate how to determine the payment at maturity on the
securities, assuming the securities are not redeemed prior to maturity. The examples are solely for il ustrative purposes, do
not show al possible outcomes and are not a prediction of any payment that may be made on the securities.

The examples below are based on the fol owing hypothetical values and do not reflect the actual initial underlying values,
coupon barrier values or final barrier values of the underlyings. For the actual initial underlying value, coupon barrier 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 payments on the securities wil be calculated based on the actual initial
underlying value, coupon barrier value and final barrier value of each underlying, and not the hypothetical values indicated
below. For ease of analysis, figures below have been rounded.

Hypothetical initial
Hypothetical coupon
Hypothetical final barrier
Underlying
underlying value
barrier value
value
70.00 (70.00% of its
70.00 (70.00% of its
Dow Jones Industrial
hypothetical initial underlying hypothetical initial underlying
AverageTM
100.00
value)
value)
70.00 (70.00% of its
70.00 (70.00% of its
hypothetical initial underlying hypothetical initial underlying
Nasdaq-100 Index®
100.00
value)
value)
70.00 (70.00% of its
70.00 (70.00% of its
hypothetical initial underlying hypothetical initial underlying
Russel 2000® Index
100.00
value)
value)

Hypothetical Examples of Contingent Coupon Payments Following a Valuation Date

The three hypothetical examples below il ustrate how to determine whether a contingent coupon wil be paid fol owing a
hypothetical valuation date, assuming that the closing values of the underlyings on the hypothetical valuation date are as
indicated below.

Hypothetical
Hypothetical closing
Hypothetical closing Hypothetical closing
payment per
value of the Dow Jones value of the Nasdaq-
value of the Russell $1,000.00 security on
Industrial AverageTM
100 Index® on
2000® Index on
related contingent
on hypothetical
hypothetical
hypothetical
coupon payment

valuation date
valuation date
valuation date
date
85
140
120
(underlying return =
(underlying return =
$14.375
(underlying return =
(85 - 100) / 100 =
(140 - 100) / 100 =
(contingent coupon is
Example 1
(120 - 100) / 100 = 20%)
-15%)
40%)
paid)
120
160
45
(underlying return =
(underlying return =
$0.00
(underlying return =
(120 - 100) / 100 =
(160 - 100) / 100 =
(no contingent
Example 2
(45 - 100) / 100 = -55%)
20%)
60%)
coupon)
40
10
20
(underlying return =
(underlying return =
$0.00
(underlying return =
(40 - 100) / 100 =
(10 - 100) / 100 =
(no contingent
Example 3
(20 - 100) / 100 = -80%)
-60%)
-90%)
coupon)

Example 1: On the hypothetical valuation date, the Nasdaq-100 Index® has the lowest underlying return and, therefore, is
the worst performing underlying on the hypothetical valuation date. In this scenario, the closing value of the worst
https://www.sec.gov/Archives/edgar/data/200245/000095010320003594/dp122171_424b2-us2088834.htm
4/23

2/28/2020
https://www.sec.gov/Archives/edgar/data/200245/000095010320003594/dp122171_424b2-us2088834.htm
performing underlying on the hypothetical valuation date is greater than its coupon barrier value. As a result, investors in
the securities would receive the contingent coupon payment on the related contingent coupon payment date.

Example 2: On the hypothetical valuation date, the Dow Jones Industrial AverageTM has the lowest underlying return and,
therefore, is the worst performing underlying on the hypothetical valuation date. In this scenario, the closing value of the
worst performing underlying on the hypothetical valuation date is less than its coupon barrier value. As a result, investors
would not receive any payment on the related contingent coupon payment date.

Investors in the securities will not receive a contingent coupon on the contingent coupon payment date following
a valuation date if the closing value of the worst performing underlying on that valuation date is less than its
coupon barrier value. Whether a contingent coupon is paid following a valuation date depends solely on the
closing value of the worst performing underlying on that valuation date.

Example 3: On the hypothetical valuation date, the Russel 2000® Index has the lowest underlying return and, therefore, is
the worst performing underlying on the hypothetical valuation date. In this scenario, the closing value of the worst
performing underlying on the hypothetical valuation date is less than its coupon barrier value. As a result, investors would
not receive any payment on the related contingent coupon payment date.

Hypothetical Examples of the Payment at Maturity on the Securities

The next three hypothetical examples il ustrate the calculation of the payment at maturity on the securities, assuming that
the securities have not been earlier redeemed and that the final underlying values of the underlyings are as indicated
below.

Hypothetical final
Hypothetical final
Hypothetical final
Hypothetical
underlying value of the
underlying value of
underlying value of
payment at maturity
Dow Jones Industrial
the Nasdaq-100
the Russell 2000®
per $1,000.00

AverageTM
Index®
Index
security
120
130
110
(underlying return =
(underlying return =
$1,014.375
(underlying return =
(120 - 100) / 100 =
(130 - 100) / 100 =
(contingent coupon is
Example 4
(110 - 100) / 100 = 10%)
20%)
30%)
paid)
110
30
110
(underlying return =
(underlying return =
(underlying return =
(110 - 100) / 100 =
(30 - 100) / 100 =
Example 5
(110 - 100) / 100 = 10%)
10%)
-70%)
$300.00

PS-3
https://www.sec.gov/Archives/edgar/data/200245/000095010320003594/dp122171_424b2-us2088834.htm
5/23

2/28/2020
https://www.sec.gov/Archives/edgar/data/200245/000095010320003594/dp122171_424b2-us2088834.htm
Citigroup Global Markets Holdings Inc.

70
85
20
(underlying return =
(underlying return =
(underlying return =
(70 - 100) / 100 =
(85 - 100) / 100 =
Example 6
(20 - 100) / 100 = -80%)
-30%)
-15%)
$200.00

Example 4: On the final valuation date, the Dow Jones Industrial AverageTM has the lowest underlying return and,
therefore, is the worst performing underlying on the final valuation date. In this scenario, the final underlying value of the
worst performing underlying on the final valuation date is greater than its final barrier value. Accordingly, at maturity, you
would receive the stated principal amount of the securities plus the contingent coupon payment due at maturity, but you
would not participate in the appreciation of any of the underlyings.

Example 5: On the final valuation date, the Russel 2000® Index has the lowest underlying return and, therefore, is the
worst performing underlying on the final valuation date. In this scenario, the final underlying value of the worst performing
underlying on the final valuation date is less than its final barrier value. Accordingly, at maturity, you would receive a
payment per security calculated as fol ows:

Payment at maturity = $1,000.00 + ($1,000.00 × the underlying return of the worst performing underlying on the final
valuation date)

= $1,000.00 + ($1,000.00 × -70.00%)

= $1,000.00 + -$700.00

= $300.00

In this scenario, because the final underlying value of the worst performing underlying on the final valuation date is less
than its final barrier value, you would lose a significant portion of your investment in the securities. In addition, because the
final underlying value of the worst performing underlying on the final valuation date is below its coupon barrier value, you
would not receive any contingent coupon payment at maturity.

Example 6: On the final valuation date, the Dow Jones Industrial AverageTM has the lowest underlying return and,
therefore, is the worst performing underlying on the final valuation date. In this scenario, the final underlying value of the
worst performing underlying on the final valuation date is less than its final barrier value. Accordingly, at maturity, you
would receive a payment per security calculated as fol ows:

Payment at maturity = $1,000.00 + ($1,000.00 × the underlying return of the worst performing underlying on the final
valuation date)

= $1,000.00 + ($1,000.00 × -80.00%)

= $1,000.00 + -$800.00

= $200.00

In this scenario, because the final underlying value of the worst performing underlying on the final valuation date is less
than its final barrier value, you would lose a significant portion of your investment in the securities. In addition, because the
final underlying value of the worst performing underlying on the final valuation date is below its coupon barrier value, you
would not receive any contingent coupon payment at maturity.

It is possible that the closing value of the worst performing underlying will be less than its coupon barrier value
on each valuation date and less than its final barrier value on the final valuation date, such that you will not
receive any contingent coupon payments over the term of the securities and will receive significantly less than
the stated principal amount of your securities, and possibly nothing, at maturity.

PS-4
https://www.sec.gov/Archives/edgar/data/200245/000095010320003594/dp122171_424b2-us2088834.htm
6/23

2/28/2020
https://www.sec.gov/Archives/edgar/data/200245/000095010320003594/dp122171_424b2-us2088834.htm
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 provide for the repayment of the stated principal amount at maturity in al circumstances. If the securities
are not redeemed prior to maturity, your payment at maturity wil depend on the final underlying value of the worst
performing underlying on the final valuation date. If the final underlying value of the worst performing underlying on
the final valuation date 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 on the final valuation date has declined from its
initial underlying value. There is no minimum payment at maturity on the securities, and you may lose up to al of
your investment.

§
You will not receive any contingent coupon on the contingent coupon payment date following any
valuation date on which the closing value of the worst performing underlying on that valuation date is less
than its coupon barrier value. A contingent coupon payment wil be made on a contingent coupon payment date
if and only if the closing value of the worst performing underlying on the immediately preceding valuation date is
greater than or equal to its coupon barrier value. If the closing value of the worst performing underlying on any
valuation date is less than its coupon barrier value, you wil not receive any contingent coupon payment on the
immediately fol owing contingent coupon payment date. If the closing value of the worst performing underlying on
each valuation date is below its coupon barrier value, you wil not receive any contingent coupon payments over
the term of the securities.

§
Higher contingent coupon rates are associated with greater risk. The securities offer contingent coupon
payments at an annualized rate that, if al are paid, would produce a yield that is general y higher than the yield on
our conventional debt securities of the same maturity. This higher potential yield is associated with greater levels
of expected risk as of the pricing date for the securities, including the risk that you may not receive a contingent
coupon payment on one or more, or any, contingent coupon payment dates and the risk that the value of what you
receive at maturity may be significantly less than the stated principal amount of your securities and may be zero.
The volatility of, and correlation between, the closing values of the underlyings are important factors affecting
these risks. Greater expected volatility of, and lower expected correlation between, the closing values of the
underlyings as of the pricing date may result in a higher contingent coupon rate, but would also represent a greater
expected likelihood as of the pricing date that the closing value of the worst performing underlying on one or more
valuation dates wil be less than its coupon barrier value, such that you wil not receive one or more, or any,
contingent coupon payments during the term of the securities and that the final underlying value of the worst
performing underlying on the final valuation date wil be less than its final barrier value, such that you wil not be
repaid the stated principal amount of your securities at maturity.

§
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
https://www.sec.gov/Archives/edgar/data/200245/000095010320003594/dp122171_424b2-us2088834.htm
7/23

2/28/2020
https://www.sec.gov/Archives/edgar/data/200245/000095010320003594/dp122171_424b2-us2088834.htm
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
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 may not be adequately compensated for assuming the downside risk of the worst performing
underlying. The potential contingent coupon payments on the securities are the compensation you receive for
assuming the downside risk of the worst performing underlying, as wel as al the other risks of the securities. That
compensation is effectively "at risk" and may, therefore, be

PS-5
https://www.sec.gov/Archives/edgar/data/200245/000095010320003594/dp122171_424b2-us2088834.htm
8/23

2/28/2020
https://www.sec.gov/Archives/edgar/data/200245/000095010320003594/dp122171_424b2-us2088834.htm
Citigroup Global Markets Holdings Inc.

less than you currently anticipate. First, the actual yield you realize on the securities could be lower than you
anticipate because the coupon is "contingent" and you may not receive a contingent coupon payment on one or
more, or any, of the contingent coupon payment dates. Second, the contingent coupon payments are the
compensation you receive not only for the downside risk of the worst performing underlying, but also for al of the
other risks of the securities, including the risk that the securities may be redeemed prior to maturity, interest rate
risk and our and Citigroup Inc.'s credit risk. If those other risks increase or are otherwise greater than you currently
anticipate, the contingent coupon payments may turn out to be inadequate to compensate you for al the risks of
the securities, including the downside risk of the worst performing underlying.

§
We may redeem the securities at our option, which will limit your ability to receive the contingent coupon
payments. We may redeem the securities on any potential redemption date. In the event that we redeem the
securities, you wil receive the stated principal amount of your securities and the related contingent coupon
payment, if any. Thus, the term of the securities may be limited. If we redeem the securities prior to maturity, you
wil not receive any additional contingent coupon payments. Moreover, you may not be able to reinvest your funds
in another investment that provides a similar yield with a similar level of risk. If we redeem the securities prior to
maturity, it is likely to be at a time when the underlyings are performing in a manner that would otherwise have
been favorable to you. By contrast, if the underlyings are performing unfavorably from your perspective, we are
less likely to redeem the securities. If we redeem the securities, we wil do so at a time that is advantageous to us
and without regard to your interests.

§
The securities offer downside exposure to the worst performing underlying, but no upside exposure to
any underlying. You wil not participate in any appreciation in the value of any underlying over the term of the
securities. Consequently, your return on the securities wil be limited to the contingent coupon payments you
receive, if any, and may be significantly less than the return on any underlying over the term of the securities. In
addition, as an investor in the securities, you wil not receive any dividends or other distributions or have any other
rights with respect to any of the underlyings.

§
The performance of the securities will depend on the closing values of the underlyings solely on the
valuation dates, which makes the securities particularly sensitive to volatility in the closing values of the
underlyings on or near the valuation dates. Whether the contingent coupon wil be paid on any given contingent
coupon payment date wil depend on the closing values of the underlyings solely on the applicable valuation dates,
regardless of the closing values of the underlyings on other days during the term of the securities. If the securities
are not redeemed prior to maturity, what you receive at maturity wil depend solely on the closing value of the
worst performing underlying on the final valuation date, and not on any other day during the term of the securities.
Because the performance of the securities depends on the closing values of the underlyings on a limited number
of dates, the securities wil be particularly sensitive to volatility in the closing values of the underlyings on or near
the valuation dates. You should understand that the closing value of each underlying has historical y been highly
volatile.

§
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
https://www.sec.gov/Archives/edgar/data/200245/000095010320003594/dp122171_424b2-us2088834.htm
9/23

2/28/2020
https://www.sec.gov/Archives/edgar/data/200245/000095010320003594/dp122171_424b2-us2088834.htm
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

PS-6
https://www.sec.gov/Archives/edgar/data/200245/000095010320003594/dp122171_424b2-us2088834.htm
10/23