Bond Citi Global Markets 9.35% ( US17327TH904 ) in USD

Citi Global Markets

100 % ▲

United States

US17327TH904 ( in USD )

9.35% per year ( payment 2 times a year)

28/02/2035

Prospectus brochure of the bond Citigroup Global Markets Holdings US17327TH904 en USD 9.35%, maturity 28/02/2035

1 000 USD

2 625 000 USD

17327TH90

N/A

28/08/2025 ( In 108 days )

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 US17327TH904, pays a coupon of 9.35% per year.
The coupons are paid 2 times per year and the Bond maturity is 28/02/2035

The Bond issued by Citi Global Markets ( United States ) , in USD, with the ISIN code US17327TH904, was rated NR by Moody's credit rating agency.

424B8 1 dp122409_424b8-us2089105.htm PRICING SUPPLEMENT
Fe brua ry 2 5 , 2 0 2 0
M e dium -T e rm Se nior N ot e s,
Se rie s N
Citigroup Global Markets Holdings Inc.
Pric ing Supple m e nt N o. 2 0 2 0 --
U SN CH 3 5 6 4
File d Pursua nt t o Rule 4 2 4 (b)(8 )
Re gist ra t ion St a t e m e nt N os.
3 3 3 -2 2 4 4 9 5 a nd 3 3 3 -2 2 4 4 9 5 -0 3
Callable Fixed to Float Range Accrual Securities Contingent on the CMS Spread and the Worst Performing
of the Dow Jones Industrial AverageTM, the EURO STOXX 50® Index and the S&P 500® Index Due
February 28, 2035

V a ria ble c oupon. The securities will pay interest at a fixed rate of 9.35% per annum for the first year following issuance.
After the first year, contingent interest will accrue on the securities during each accrual period at the contingent rate specified
below only for each elapsed day during that accrual period on which the accrual condition is satisfied. The accrual condition
will be satisfied on an elapsed day only if (i) the CMS spread is greater than the CMS spread barrier (meaning that CMS30 is
greater than CMS2) on that day a nd (ii) the closing level of e a c h underlying index on that day is greater than or equal to its
accrual barrier level. Accordingly, the accrual of interest during each accrual period will be contingent on the CMS spread and
the level of each underlying index. The amount of interest payable on the securities may be adversely affected by adverse
movements in a ny one of these variables, regardless of the performance of the others. The securities may pay low or no
interest for extended periods of time or even throughout the entire term after the first year.

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

Cont inge nt re pa ym e nt of princ ipa l a t m a t urit y. If we do not redeem the securities prior to maturity, your payment at
maturity will depend on the closing level of the w orst pe rform ing underlying index on the final valuation date. If the closing
level of the worst performing underlying index on the final valuation date is greater than or equal to its final barrier level, you
will be repaid the stated principal amount of your securities at maturity. However, if the closing level of the worst performing
underlying index on the final valuation date is less than its final barrier level, you will lose 1% of the stated principal amount of
your securities for every 1% by which the worst performing underlying index has depreciated from its initial index level. There is
no minimum payment at maturity.

The securities offered by this pricing supplement are unsecured debt securities issued by Citigroup Global Markets Holdings
Inc. and guaranteed by Citigroup Inc. Investors must be willing to accept (i) an investment that may have limited or no liquidity
and (ii) the risk of not receiving any amount due under the securities if we and Citigroup Inc. default on our obligations. All
pa ym e nt s on t he se c urit ie s a re subje c t t o t he c re dit risk of Cit igroup Globa l M a rk e t s H oldings I nc . a nd
Cit igroup I nc .
K EY T ERM S

I ssue r:
Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
Gua ra nt e e :
All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
St a t e d princ ipa l
$1,000 per security
a m ount :
U nde rlying
U nde rlying indic e s
I nit ia l inde x le ve l*
Ac c rua l ba rrie r
Fina l ba rrie r le ve l* *
indic e s:
le ve l* *
Dow Jones Industrial
27,081.36
17,602.884
17,602.884
AverageTM
EURO STOXX 50®
3,572.51
2,322.132
2,322.132
Index
S&P 500® Index
3,128.21
2,033.337
2,033.337
* For each underlying index, its closing level on the pricing date
** For each underlying index, 65% of its initial index level
On any day, the 30-year constant maturity swap rate ("CMS30") minus the 2-year constant maturity
CMS spread:
swap rate ("CMS2") on that day. See "Information About the CMS Spread" in this pricing supplement.
Pricing date:
February 25, 2020
Issue date:
February 28, 2020
Final valuation date:
February 23, 2035, 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, 2035
Payment at maturity:
Unless earlier redeemed, at maturity you will receive, for each security you then hold (in addition to
the final coupon payment, if any):
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· If the final index level of the worst performing underlying index is greater than or equal to its
final barrier level: $1,000
·If the final index level of the worst performing underlying index is less than its final barrier level:
$1,000 + ($1,000 × the index return of the worst performing underlying index)
I f t he fina l inde x le ve l of t he w orst pe rform ing unde rlying inde x is le ss t ha n it s fina l
ba rrie r le ve l, you w ill ha ve full dow nside e x posure t o t he ne ga t ive inde x re t urn of
t he w orst pe rform ing unde rlying inde x a nd w ill re c e ive signific a nt ly le ss t ha n t he
st a t e d princ ipa l a m ount of your se c urit ie s a t m a t urit y. Y ou m a y lose a signific a nt
port ion, a nd up t o a ll, of your inve st m e nt .
Coupon payments:
On each coupon payment date occurring during the first year following issuance of the securities, the
securities will pay a fixed coupon of 9.35% per annum, regardless of the CMS spread or the level of
the underlying indices.
On each coupon payment date after the first year (beginning in May 2021), you will receive a coupon
payment at an annual rate equal to the variable coupon rate for that coupon payment date. The
variable coupon rate for any coupon payment date after the first year will be determined as follows:
contingent rate per number of accrual days during the related accrual period
annum × number of elapsed days during the related accrual period
Each coupon payment per security will be equal to (i) $1,000 multiplied by the applicable coupon rate
per annum divided by (ii) 4.
I f t he num be r of a c c rua l da ys in a give n a c c rua l pe riod is le ss t ha n t he num be r of
e la pse d da ys in t ha t a c c rua l pe riod, t he va ria ble c oupon ra t e for t he re la t e d c oupon
pa ym e nt da t e w ill be le ss t ha n t he full c ont inge nt ra t e , a nd if t he re a re no a c c rua l
da ys in a give n a c c rua l pe riod, t he va ria ble c oupon ra t e for t he re la t e d c oupon
pa ym e nt da t e w ill be 0 % .
Contingent rate:
9.35% per annum
CMS spread barrier:
0.00%
List ing:
The securities will not be listed on any securities exchange
U nde rw rit e r:
Citigroup Global Markets Inc. ("CGMI"), an affiliate of the issuer, acting as principal
U nde rw rit ing fe e a nd issue
I ssue pric e (1)
U nde rw rit ing fe e (2)
Proc e e ds t o issue r
pric e :
Pe r se c urit y:
$1,000
$13.857
$986.143
T ot a l:
$2,625,000
$36,374.625
$2,588,625.375

(Key Terms continued on next page)
(1) On the date of this pricing supplement, the estimated value of the securities is $912.30 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 willing to buy the
securities from you at any time after issuance. See "Valuation of the Securities" in this pricing supplement.
(2) 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.
I nve st ing in t he se c urit ie s involve s risk s not a ssoc ia t e d w it h a n inve st m e nt in
c onve nt iona l de bt se c urit ie s. Se e "Sum m a ry Risk Fa c t ors" be ginning on pa ge PS -6 .
N e it he r t he Se c urit ie s a nd Ex c ha nge Com m ission (t he "SEC") nor a ny st a t e se c urit ie s c om m ission ha s
a pprove d or disa pprove d of t he se c urit ie s or de t e rm ine d t ha t t his pric ing supple m e nt a nd t he
a c c om pa nying produc t supple m e nt , unde rlying supple m e nt , prospe c t us supple m e nt a nd prospe c t us a re
t rut hful or c om ple t e . Any re pre se nt a t ion t o t he c ont ra ry is a c rim ina l offe nse . You should read this pricing
supplement together with the accompanying product supplement, underlying supplement, prospectus supplement and
prospectus, each of which can be accessed via the following hyperlinks:
Produc t Supple m e nt N o. I E -0 5 -0 6 da t e d M a rc h 7 , 2 0 1 9 U nde rlying Supple m e nt N o. 8 da t e d Fe brua ry 2 1 ,
2 0 1 9
Prospe c t us Supple m e nt a nd Prospe c t us e a c h da t e d M a y 1 4 , 2 0 1 8
T he se c urit ie s a re not ba nk de posit s a nd a re not insure d or gua ra nt e e d by t he Fe de ra l De posit I nsura nc e
Corpora t ion or a ny ot he r gove rnm e nt a l a ge nc y, nor a re t he y obliga t ions of, or gua ra nt e e d by, a ba nk .

Citigroup Global Markets Holdings Inc.

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K EY T ERM S

(CON T I N U ED)
Coupon pa ym e nt da t e s:
The 28th day of each February, May, August, and November beginning in May 2020, except that
the final coupon payment date will be the maturity date (or the earlier date on which we redeem
the securities, if applicable)
Ac c rua l pe riod:
For each coupon payment date after the first year following issuance of the securities, the period
from and including the immediately preceding coupon payment date to but excluding such coupon
payment date
Ac c rua l da y:
An elapsed day on which the accrual condition is satisfied
Ela pse d da y:
Calendar day
Ac c rua l c ondit ion:
The accrual condition will be satisfied on an elapsed day if, and only if, (i) the CMS spread is
greater than the CMS spread barrier on that elapsed day a nd (ii) the closing level of e a c h
underlying index is greater than or equal to its accrual barrier level on that elapsed day. For
purposes of determining whether the accrual condition is satisfied on any elapsed day, if CMS30 or
CMS2 (each, a "CMS rate") or the closing level of any underlying index is not available for any
reason on that day (including weekends and holidays), the applicable CMS rate or the closing level
of such underlying index, as applicable, will be assumed to be the same as on the immediately
preceding elapsed day (subject to the discussion in the section "Information About the CMS Spread
--Discontinuance of a CMS Rate" in this pricing supplement and in the section "Description of the
Securities--Terms Related to the Underlying Index--Discontinuance or Material Modification of the
Underlying Index" in the accompanying product supplement). In addition, for all elapsed days from
and including the fourth-to-last day that is a scheduled trading day for each underlying index in an
accrual period to and including the last elapsed day of that accrual period, the CMS rates and the
closing levels of the underlying indices will not be observed and will be assumed to be the same as
on the elapsed day immediately preceding such unobserved days.
Worst pe rform ing
The underlying index with the lowest index return
unde rlying inde x :
Fina l inde x le ve l:
For each underlying index, its closing level on the final valuation date
I nde x re t urn:
For each underlying index, (i) its final index level minus its initial index level, divided by (ii) its initial
index level.
Ea rly re de m pt ion:
We have the right to redeem the securities, in whole and not in part, on any potential redemption
date upon not less than five business days' notice for an amount in cash equal to 100% of the
stated principal amount of your securities plus the coupon payment due on the date of redemption,
if any.
Pot e nt ia l re de m pt ion
The coupon payment dates occurring in February, May, August and November of each year,
da t e s:
beginning in February 2021 and ending in November 2034
CU SI P / I SI N :
17327TH90 / US17327TH904

Additional Information

Ge ne ra l. 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, certain events may occur
that could affect the amount of any variable coupon payment you receive and your payment at maturity. These events and their
consequences are described in the accompanying product supplement in the sections "Description of the Securities--Terms
Related to the Underlying Index--Discontinuance or Material Modification of the Underlying Index" and "Description of the
Securities--Terms Related to the Underlying Index--Consequences of a Market Disruption Event; Postponement of the Final
Valuation Date," and not in this pricing supplement. In addition, the accompanying underlying supplement contains important
disclosures regarding the underlying indices that are 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 connection with your investment in the securities. Certain terms used but not defined in this pricing supplement are
defined in the accompanying product supplement.

Although the accompanying product supplement contemplates only a single underlying index, the securities are linked to three
underlying indices. Each of the provisions in the accompanying product supplement referring to the underlying index shall apply
separately to each of the underlying indices to which the securities are linked.

Post pone m e nt of t he fina l va lua t ion da t e . If the scheduled final valuation date is not a scheduled trading day for any
underlying index or if a market disruption event occurs with respect to any underlying index on the scheduled final valuation date,
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the final valuation date will be subject to postponement as described in the accompanying product supplement in the section
"Description of the Securities--Terms Related to the Underlying Index--Consequences of a Market Disruption Event; Postponement
of the Final Valuation Date." If the scheduled final valuation date is postponed, the closing level of each underlying index in respect
of the final valuation date will be determined based on (i) for any underlying index for which the originally scheduled final valuation
date is a scheduled trading day and as to which a market disruption event does not occur on the originally scheduled final
valuation date, the closing level of such underlying index on the originally scheduled final valuation date and (ii) for any other
underlying index, the closing level of such underlying index on the final valuation date as postponed (or, if earlier, the first
scheduled trading day for such underlying index following the originally scheduled final valuation date on which a market disruption
event did not occur with respect to such underlying index).

PS-2
Citigroup Global Markets Holdings Inc.

Hypothetical Examples

Variable Coupon Payments

The following table presents examples of hypothetical variable coupon payments after the first year following issuance of the
securities based on the number of accrual days in a particular accrual period. For illustrative purposes only, the table assumes an
accrual period that contains 90 elapsed days. Your actual coupon payments for any coupon payment date after the first year will
depend on the actual number of elapsed days during the relevant accrual period and the actual CMS spread and closing levels of
the underlying indices on each elapsed day. The applicable variable coupon rate for each accrual period will be determined on a
per annum basis but will apply only to that accrual period.

H ypot he t ic a l N um be r of Ac c rua l H ypot he t ic a l V a ria ble Coupon Ra t e
H ypot he t ic a l V a ria ble Coupon
Da ys in Ac c rua l Pe riod*
(pe r Annum )* *
Pa ym e nt pe r Se c urit y* * *
0
0.000%
$0.000
1
0.104%
$0.260
10
1.039%
$2.597
15
1.558%
$3.896
20
2.078%
$5.194
25
2.597%
$6.493
30
3.117%
$7.792
35
3.636%
$9.090
40
4.156%
$10.389
45
4.675%
$11.688
50
5.194%
$12.986
55
5.714%
$14.285
60
6.233%
$15.583
65
6.753%
$16.882
70
7.272%
$18.181
75
7.792%
$19.479
80
8.311%
$20.778
85
8.831%
$22.076
90
9.350%
$23.375
_______________________________

* An accrual day is an elapsed day on which the accrual condition is satisfied (i.e., on which the CMS spread is greater than
the CMS spread barrier and the closing level of each underlying index is greater than or equal to its accrual barrier level)

** The hypothetical variable coupon rate per annum is equal to (i) the contingent rate of 9.35% per annum multiplied by (ii) (a)
the hypothetical number of accrual days in the related accrual period, divided by (b) 90

*** The hypothetical variable coupon payment per security is equal to (i) $1,000 multiplied by the hypothetical variable coupon
rate per annum, divided by (ii) 4

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The following four examples illustrate the calculation of the variable coupon rate for a given accrual period based on different
hypothetical CMS spread values and underlying index levels. For illustrative purposes only, the examples assume an accrual
period that contains 90 elapsed days. Your actual variable coupon payments will depend on the actual number of elapsed days
during the relevant accrual period and the actual CMS spread and closing levels of the underlying indices on each elapsed day.
The applicable variable coupon rate for each accrual period will be determined on a per annum basis but will apply only to that
accrual period.

Example 1

The CMS spread is greater than the CMS spread barrier a nd the closing level of e a c h underlying index is greater than its
accrual barrier level for each elapsed day during the entire accrual period. Because the accrual condition is therefore satisfied for
each elapsed day during the entire accrual period, the hypothetical variable coupon rate would be 9.35% per annum for that
accrual period.

Example 2

The closing level of one of the underlying indices is less than its accrual barrier level for each elapsed day during the entire
accrual period and the CMS spread is greater than the CMS spread barrier for each elapsed day during the entire accrual period.
Because the accrual

PS-3
Citigroup Global Markets Holdings Inc.

condition is not satisfied on any elapsed day during the accrual period, the hypothetical variable coupon rate would be 0.00% per
annum for that accrual period.

Example 3

The closing level of each underlying index is greater than its accrual barrier level for each elapsed day during the entire accrual
period but the CMS spread is less than the CMS spread barrier for each elapsed day during the entire accrual period. Because
the accrual condition is not satisfied on any elapsed day during the accrual period, the hypothetical variable coupon rate would be
0.00% per annum for that accrual period.

Example 4

The closing level of each underlying index is greater than its accrual barrier level for 45 elapsed days during the hypothetical 90-
day accrual period a nd the CMS spread is greater than the CMS spread barrier for each elapsed day during the entire accrual
period. Because the accrual condition is only satisfied for half of the accrual period, the hypothetical variable coupon rate for that
accrual period would be 4.675% per annum.

Payment at Maturity

The diagram below illustrates your payment at maturity for a range of hypothetical index returns of the worst performing underlying
index (excluding the final coupon payment, if any, and assuming we do not redeem the securities prior to maturity).

Ca lla ble Ra nge Ac c rua l Se c urit ie s
Pa ym e nt a t M a t urit y Dia gra m
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Your actual payment at maturity per security, excluding the final coupon payment, if any, will depend on the actual initial index
level, the actual final barrier level and the actual final index level of the worst performing underlying index. The examples below are
intended to illustrate how your payment at maturity will depend on whether the final index level of the worst performing underlying
index is greater than or less than its final barrier level and, if less, how much less. The examples are solely for illustrative purposes,
do not show all possible outcomes and are not a prediction of what the actual payment at maturity on the securities will be.

The examples below are based on hypothetical initial index levels of 100 and hypothetical final barrier levels of 65 and do not
reflect the actual initial index levels or final barrier levels. For the actual initial index levels and final barrier levels, see the cover
page of this pricing supplement. We have used these hypothetical levels, rather than the actual levels, 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 will be calculated based on the actual initial index levels and final barrier levels, and not these hypothetical levels.

PS-4
Citigroup Global Markets Holdings Inc.

Ex a m ple 1 --Pa r Sc e na rio A.

U nde rlying I nde x
H ypot he t ic a l I nit ia l
H ypot he t ic a l Fina l
H ypot he t ic a l Fina l
H ypot he t ic a l I nde x
I nde x Le ve l
Ba rrie r Le ve l
I nde x Le ve l
Re t urn
Dow Jones Industrial
100
65
110
10%
AverageTM
EURO STOXX 50®
100
65
120
20%
Index
S&P 500® Index
100
65
130
30%

In this example, the Dow Jones Industrial AverageTM is the worst performing underlying index. Its hypothetical final index level is
110 (a 10% increase from its hypothetical initial index level), which is greater than its hypothetical final barrier level.

Payment at maturity per security = $1,000 (excluding the final coupon payment, if any)

Because the final index level of the worst performing underlying index is greater than its final barrier level, you would be repaid the
stated principal amount of your securities in this example. Even though all of the underlying indices have appreciated from their
respective initial index levels in this example, you would not participate in the appreciation of either underlying index.
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Ex a m ple 2 --Pa r Sc e na rio B.

U nde rlying I nde x
H ypot he t ic a l I nit ia l
H ypot he t ic a l Fina l
H ypot he t ic a l Fina l
H ypot he t ic a l I nde x
I nde x Le ve l
Ba rrie r Le ve l
I nde x Le ve l
Re t urn
Dow Jones Industrial
100
65
90
-10%
AverageTM
EURO STOXX 50®
100
65
120
20%
Index
S&P 500® Index
100
65
80
-20%

In this example, the S&P 500® Index is the worst performing underlying index. Its hypothetical final index level is 80 (a 20%
decrease from its hypothetical initial index level), which is greater than its hypothetical final barrier level.

Payment at maturity per security = $1,000 (excluding the final coupon payment, if any)

Because the worst performing underlying index did not depreciate from its hypothetical initial index level to its hypothetical final
index level by more than 35% (that is, it did not depreciate below its hypothetical final barrier level), your payment at maturity in this
scenario would be equal to the $1,000 stated principal amount per security (excluding the final coupon payment, if any).

Ex a m ple 3 --Dow nside Sc e na rio.

U nde rlying I nde x
H ypot he t ic a l I nit ia l
H ypot he t ic a l Fina l
H ypot he t ic a l Fina l
H ypot he t ic a l I nde x
I nde x Le ve l
Ba rrie r Le ve l
I nde x Le ve l
Re t urn
Dow Jones Industrial
100
65
50
-50%
AverageTM
EURO STOXX 50®
100
65
30
-70%
Index
S&P 500® Index
100
65
60
-40%

In this example, the EURO STOXX 50® Index is the worst performing underlying index. Its hypothetical final index level is 30 (an
approximately 70% decrease from its hypothetical initial index level), which is less than its hypothetical final barrier level. As a
result, your payment at maturity (excluding the final coupon payment, if any) would be calculated as follows:

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

= $1,000 + ($1,000 × -70%)

= $1,000 + -$700

= $300

Because the worst performing underlying index depreciated from its hypothetical initial index level to its hypothetical final index level
by more than 35% (that is, it depreciated below its hypothetical final barrier level), your payment at maturity in this scenario would
reflect 1-to-1 exposure to the negative performance of the worst performing underlying index from its initial index level to its final
index level.

PS-5
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 all 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 CMS30,
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CMS2 and each of the underlying indices. 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 following 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 IE-6 in the accompanying product supplement. You should also carefully 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 generally.

Y ou m a y lose som e or a ll of your inve st m e nt . Unlike conventional debt securities, the securities do not repay a fixed
amount of principal at maturity. Instead, your payment at maturity will depend on the performance of the worst performing
underlying index. If we do not redeem the securities prior to maturity, you may receive significantly less than the stated
principal amount of the securities at maturity, but in no circumstance will you receive more than the stated principal amount of
the securities (excluding the final coupon payment, if any). If the final index level of the worst performing underlying index is
less than its final barrier level, you will lose 1% of the stated principal amount of the securities for every 1% by which the final
index level of the worst performing underlying index is less than its initial index level. There is no minimum payment at maturity
on the securities, and you may lose up to all of your investment.

T he ba rrie r fe a t ure of t he se c urit ie s e x pose s you t o pa rt ic ula r risk s. If the final index level of the worst
performing underlying index is less than its final barrier level, you will not be repaid the stated principal amount of your
securities at maturity and instead will lose 1% of the stated principal amount of the securities for every 1% by which the final
index level of the worst performing underlying index is less than its initial index level. Therefore, the securities offer no
protection at all if the worst performing underlying index depreciates by more than 35% from its initial index level to its final
index level. As a result, you may lose your entire investment in the securities.

T he se c urit ie s offe r a va ria ble c oupon ra t e a ft e r t he first ye a r follow ing issua nc e , a nd you m a y not
re c e ive a ny c oupon pa ym e nt on one or m ore c oupon pa ym e nt da t e s. Any variable coupon payment you receive
will be paid at a per annum rate equal to the contingent rate for the applicable coupon payment date only if the accrual
condition is satisfied on each elapsed day during the related accrual period. The accrual condition will be satisfied on any
elapsed day only if (i) the CMS spread is greater than the CMS spread barrier on that elapsed day a nd (ii) the closing level of
each underlying index on that elapsed day is greater than or equal to its accrual barrier level. If, on any elapsed day during an
accrual period, the accrual condition is not satisfied, the applicable variable coupon payment will be paid at a rate that is less,
and possibly significantly less, than the contingent rate. If, on each elapsed day during an accrual period, the accrual condition
is not satisfied, no variable coupon payment will be made on the related coupon payment date. Accordingly, there can be no
assurance that you will receive a variable coupon payment on any coupon payment date or that any variable coupon payment
you do receive will be calculated at the full contingent rate. Thus, the securities are not a suitable investment for investors who
require regular fixed income payments.

T he highe r pot e nt ia l yie ld offe re d by t he se c urit ie s is a ssoc ia t e d w it h gre a t e r risk t ha n c onve nt iona l
de bt se c urit ie s. The securities offer coupon payments with the potential to result in a higher yield than the yield on our
conventional debt securities of the same maturity. You should understand that, in exchange for this potentially higher yield, you
will be exposed to significantly greater risks than investors in our conventional debt securities (guaranteed by Citigroup Inc.).
These risks include the risk that the variable coupon payments you receive, if any, will result in a yield on the securities that is
lower, and perhaps significantly lower, than the yield on our conventional debt securities of the same maturity that are
guaranteed by Citigroup Inc., and the risk that you will incur a significant loss on the securities at maturity. T he vola t ilit y of
t he CM S spre a d a nd e a c h of t he unde rlying indic e s, a nd t he c orre la t ion be t w e e n t he unde rlying indic e s
a nd be t w e e n t he CM S spre a d a nd e a c h unde rlying inde x , a re im port a nt fa c t ors a ffe c t ing t his risk .
Gre a t e r e x pe c t e d vola t ilit y a nd/or low e r e x pe c t e d c orre la t ion a s of t he pric ing da t e m a y c ont ribut e t o
t he highe r yie ld pot e nt ia l, but w ould a lso re pre se nt a gre a t e r e x pe c t e d lik e lihood a s of t he pric ing da t e
t ha t , a ft e r t he first ye a r, you w ill re c e ive low or no c oupon pa ym e nt s on t he se c urit ie s a nd t ha t you
w ould inc ur a signific a nt loss on t he se c urit ie s a t m a t urit y.

T he se c urit ie s a re subje c t t o risk s a ssoc ia t e d w it h t he CM S spre a d a nd e a c h of t he unde rlying indic e s
a nd m a y be ne ga t ive ly a ffe c t e d by a dve rse m ove m e nt s in any one of t he se va ria ble s, re ga rdle ss of t he
pe rform a nc e of t he ot he rs. The amount of any variable coupon payments you receive will depend on the performance of
the CMS spread and each of the underlying indices. If the CMS spread is less than or equal to the CMS spread barrier, the
securities will pay no coupon even if the closing levels of the underlying indices are consistently greater than their respective
accrual barrier levels. Conversely, even if the CMS spread is consistently greater than the CMS spread barrier, the securities
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will pay no coupon if the closing level of any of the underlying indices is less than its accrual barrier level. Moreover, if the
closing level of any one of the underlying indices is less than its accrual barrier level, the accrual condition will not be satisfied,
and no interest will accrue on the securities, even if the closing level of the other underlying index is significantly greater than
its accrual barrier level. Accordingly, you will be subject to risks associated with the CMS spread and each of the underlying
indices, and your return on the securities will depend significantly on the relationship between such risks over the term of the
securities. If any one performs sufficiently poorly, you may receive low or no variable coupon payments for an extended period
of time, or even throughout the entire period following the first year of the term of the securities, even if the others

PS-6
Citigroup Global Markets Holdings Inc.

perform favorably. Furthermore, if the final index level of one underlying index is less than its final barrier level, you will incur a
significant loss at maturity, even if the final index level of the other underlying index is greater than its final barrier level.

T he a c c rua l c ondit ion a nd t he pa ym e nt a t m a t urit y de pe nd on m ult iple va ria ble s, a nd you a re t he re fore
e x pose d t o gre a t e r risk s of re c e iving no va ria ble c oupon pa ym e nt s a ft e r t he first ye a r, a nd t o a gre a t e r
risk of loss a t m a t urit y, t ha n if t he se c urit ie s w e re link e d t o just one va ria ble . The risk that you will receive no
variable coupon payment on one or more coupon payment dates after the first year, and the risk that you will incur a significant
loss at maturity, is greater if you invest in the securities as opposed to substantially similar securities that are linked to the
performance of just one variable. With multiple variables, it is more likely that the accrual condition will not be satisfied on any
day during an accrual period, or that you will not be repaid the stated principal amount of your securities at maturity, than if
payments on the securities were contingent on only one variable.

T he se c urit ie s w ill be subje c t t o risk s a ssoc ia t e d w it h t he CM S spre a d. If the CMS spread is less than or equal
to the CMS spread barrier on any elapsed day, no interest will accrue on the notes on that elapsed day. If the CMS spread is
less than or equal to the CMS spread barrier on each elapsed day during an accrual period, the accrual condition will not be
satisfied on any elapsed day during that accrual period, and you will receive no coupon payment on the related coupon
payment date.

The accrual condition will not depend in part on the absolute level of either CMS30 or CMS2, but rather on the relationship
between CMS30 and CMS2--specifically, whether CMS30 is greater than CMS2. Many factors affect CMS30 and CMS2, such
that future values of CMS30 and CMS2 and their relationship are impossible to predict. If CMS30 is consistently less than or
equal to CMS2, the CMS spread will be less than or equal to the CMS spread barrier and no interest will accrue on the
securities.

Although there is no single factor that determines the CMS spread, the CMS spread has historically tended to fall when short-
term interest rates rise. As with CMS rates, short-term interest rates are influenced by many complex factors, and it is
impossible to predict their future performance. However, historically short-term interest rates have been highly sensitive to the
monetary policy of the Federal Reserve Board. Accordingly, one significant risk assumed by investors in the securities is that
the Federal Reserve Board may pursue a policy of raising short-term interest rates, which, if historical patterns hold, would lead
to a decrease in the CMS spread, possibly to a level that is below the CMS spread barrier. It is important to understand that,
although the policies of the Federal Reserve Board have historically had a significant influence on short-term interest rates,
short-term interest rates are affected by many factors and may increase even in the absence of a Federal Reserve Board
policy to increase short-term interest rates. For example, short-term interest rates tend to rise when there is a worsening of the
perceived creditworthiness of the banks that participate in the interest rate swap and London interbank markets and when there
is a worsening of general economic and credit conditions. Furthermore, it is important to understand that the CMS spread may
decrease even in the absence of an increase in short-term interest rates because it, too, is influenced by many complex
factors. Another circumstance when the CMS spread has historically tended to fall and become negative is when the market
expects an economic recession. Accordingly, another significant risk assumed by investors in the securities is that the market
may anticipate a recession or that there may be a recession.

T he se c urit ie s m a y be c a lle d for m a nda t ory re de m pt ion a t our opt ion a ft e r t he first ye a r of t he ir t e rm ,
w hic h lim it s your a bilit y t o re c e ive c oupon pa ym e nt s. In determining whether to redeem the securities, we will
consider various factors, including then current market interest rates and our expectations about payments we will be required
to make on the securities in the future. If we call the securities for mandatory redemption, we will do so at a time that is
advantageous to us and without regard to your interests. We are more likely to redeem the securities at a time when the CMS
spread and underlying indices are performing favorably from your perspective and when we expect them to continue to do so.
Therefore, although the securities offer coupon payments with the potential to result in a higher yield than the yield on our
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conventional debt securities of the same maturity, if the securities are paying that higher yield and we expect them to continue
to do so, it is more likely that we would redeem the securities. Accordingly, the redemption feature of the securities is likely to
limit the benefits you receive from the coupon payments. If we exercise our redemption right prior to maturity, you may not be
able to reinvest your funds in another investment that provides a similar yield with a similar level of risk. Alternatively, if the
CMS spread and/or either underlying index is performing unfavorably from your perspective or when we expect it to do so in
the future, we are less likely to call the securities, so that you may continue to hold securities paying below-market or no
interest for an extended period of time.

T he CM S ra t e s a nd t he c losing le ve ls of t he unde rlying indic e s w ill not be obse rve d on c e rt a in da ys a nd
w ill be a ssum e d t o be t he sa m e a s on e a rlie r da ys, w hic h w ill c a use c e rt a in da ys t o ha ve a gre a t e r
w e ight in de t e rm ining t he va ria ble c oupon ra t e . With respect to an elapsed day on which a CMS rate or the closing
level of either underlying index is not available, the applicable CMS rate or closing level of the underlying indices for that day,
as applicable, will be deemed to be the same as on the immediately preceding elapsed day on which the rate or level, as
applicable, is available. In addition, for all elapsed days from and including the fourth-to-last day that is a scheduled trading
day for each underlying index in an accrual period to and including the last elapsed day of that accrual period, the CMS rates
and the closing levels of the underlying indices will not be observed and will be assumed to be the same as on the elapsed
day immediately preceding such unobserved days. The relative weighting of the applicable preceding elapsed day will be
magnified for purposes of determining whether such elapsed day qualifies as an accrual day. Under these circumstances, if the
applicable preceding elapsed day is not an accrual day, each successive day on which the CMS rates or the closing level of
that underlying index, as applicable, is not observed will also not qualify as an accrual day. As a result, to the extent that such
preceding elapsed day is not an accrual day, such preceding elapsed day will have a greater weight in determining the number
of accrual days during an accrual period. This could adversely affect the amount of any variable coupon payment.

T he re t urn on t he se c urit ie s w ill be lim it e d. The return on the securities will be limited to the sum of your coupon
payments, even if the closing level of either underlying index greatly exceeds its initial index level at one or more times during
the term of the securities. The maximum possible return on the securities after the first year is equal to the contingent rate per
annum, which would be achieved only if (i) the CMS spread is greater than the CMS spread barrier on each elapsed day
during the term of the securities, (ii) the closing level of each underlying index is greater than or equal to its accrual barrier
level on each elapsed day during the term of the securities

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Citigroup Global Markets Holdings Inc.

after the first year and (iii) the final index level of the worst performing underlying index is greater than or equal to its final
barrier level. Although you will bear the downside risk relating to the worst performing underlying index if the worst performing
underlying index depreciates below its final barrier level on the final valuation date, you will not receive the dividend yield on, or
share in any appreciation of, either underlying index over the term of the securities.

Y ou m a y not be a de qua t e ly c om pe nsa t e d for a ssum ing t he dow nside risk s of t he unde rlying indic e s. The
fixed coupon payments during the first year following issuance of the securities and the variable coupon payments you receive
on the securities, if any, after the first year are the compensation you receive for assuming the downside risks of the underlying
indices, as well as all the other risks of the securities. That compensation is effectively "at risk" and may, therefore, be less
than you currently anticipate. First, the actual yield you realize on the securities could be lower than you anticipate because the
coupon payments after the first year are variable and you may not receive any variable coupon payment after the first year.
Second, the fixed coupon payments during the first year following issuance of the securities and the variable coupon payments,
if any, after the first year are the compensation you receive not only for assuming the downside risk of the underlying indices,
but also for all of the other risks of the securities, including interest rate risk, the risk that we may call the securities and our
and Citigroup Inc.'s credit risk. If those other risks increase or are otherwise greater than you currently anticipate, the coupon
payments may turn out to be inadequate to compensate you for all the risks of the securities, including the downside risk of the
underlying indices.

Y our pa ym e nt a t m a t urit y de pe nds on t he c losing le ve l of t he w orst pe rform ing unde rlying inde x on a
single da y. Because your payment at maturity (assuming we do not redeem the securities prior to maturity) depends on the
closing level of the worst performing underlying index solely on the final valuation date, you are subject to the risk that the
closing level of the worst performing underlying index 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 in another instrument linked to the worst performing
underlying index that you could sell for full value at a time selected by you, or if the payment at maturity were based on an
average of closing levels of the worst performing underlying index, you might have achieved better returns.
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