Obbligazione Citi Global Markets 5.15% ( US17327TK544 ) in USD

Citi Global Markets

100 USD ⇌

Stati Uniti

US17327TK544 ( in USD )

5.15% per anno ( pagato 2 volte l'anno)

27/02/2040

Prospetto opuscolo dell'obbligazione Citigroup Global Markets Holdings US17327TK544 en USD 5.15%, scadenza 27/02/2040

1 000 USD

600 000 USD

17327TK54

N/A

A2 ( Upper medium grade - Investment-grade )

27/08/2025 ( In 108 giorni )

Citigroup Global Markets Holdings è una sussidiaria di Citigroup Inc. che opera nel settore dei mercati finanziari globali, offrendo servizi di trading, intermediazione e gestione degli investimenti a clienti istituzionali e investitori privati.

The Obbligazione issued by Citi Global Markets ( United States ) , in USD, with the ISIN code US17327TK544, pays a coupon of 5.15% per year.
The coupons are paid 2 times per year and the Obbligazione maturity is 27/02/2040

The Obbligazione issued by Citi Global Markets ( United States ) , in USD, with the ISIN code US17327TK544, was rated A2 ( Upper medium grade - Investment-grade ) by Moody's credit rating agency.

424B8 1 dp122075_424b8-us2090091.htm PRICING SUPPLEMENT

Citigroup Global Markets Holdings Inc.
Fe brua ry 2 4 , 2 0 2 0
M e dium -T e rm Se nior N ot e s, Se rie s N
Pric ing Supple m e nt N o. 2 0 2 0 --U SN CH 3 6 2 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 CMS Spread Range Accrual Notes Contingent on the Worst Performing of the S&P 500® Index
and the Russell 2000® Index Due February 27, 2040

V a ria ble c oupon. The notes will pay interest at a fixed rate specified below for first year following issuance. After the first year,
contingent interest will accrue on the notes during each accrual period at a rate based on the CMS spread described below, but 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 the closing level of e a c h underlying index on that day is greater than or equal to its accrual barrier level. Accordingly,
contingent interest during each accrual period, if any, will depend on the CMS spread and the level of each underlying index. The amount
of interest payable on the notes may be adversely affected by adverse movements in a ny one of these variables, regardless of the
performance of the others. The notes 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 notes for mandatory redemption on any coupon payment date beginning approximately one year
after the issue date.

The notes 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 notes if we and Citigroup Inc. default on our obligations. All pa ym e nt s on t he not e 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 notes are fully and unconditionally guaranteed by Citigroup Inc.
St a t e d princ ipa l
$1,000 per note
a m ount :
U nde rlying indic e s:
U nde rlying indic e s
I nit ia l inde x le ve l*
Ac c rua l ba rrie r le ve l* *

S&P 500® Index
3,225.89
2,258.123

Russell 2000® Index
1,628.104
1,139.673

* For each underlying index, its closing level on the pricing date
** For each underlying index, 70% of its initial index level
CM S spre a d:
On any CMS spread determination date, the 30-year constant maturity swap rate ("CMS30") minus the 2-year
constant maturity swap rate ("CMS2") on that day. See "Information About the CMS Spread" in this pricing
supplement.
CM S spre a d
For any accrual period commencing on or after February 27, 2021, the second U.S. government securities
de t e rm ina t ion da t e :
business day prior to the first day of that accrual period
Pric ing da t e :
February 24, 2020
I ssue da t e :
February 27, 2020
M a t urit y da t e :
Unless earlier redeemed, February 27, 2040
Pa ym e nt a t m a t urit y: Unless earlier redeemed, $1,000 per note plus the coupon payment due at maturity, if any
Coupon pa ym e nt s:
On each coupon payment date occurring during the first year following issuance of the notes, the notes will pay a
fixed coupon of 5.15% per annum, regardless of the CMS spread or the levels 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:

relevant contingent rate
number of accrual days during the related accrual period

per annum ×
number of elapsed days during the related accrual period

Each coupon payment per note 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 re le va nt 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 % .
Re le va nt c ont inge nt
The relevant contingent rate for any coupon payment date after the first year following issuance of the notes
ra t e :
means:
50.00 × the CMS spread (as of the CMS spread determination date for the related accrual period), subject to a
minimum relevant contingent rate of 0.00% per annum and a maximum relevant contingent rate of 5.15% per
annum.
I f t he CM S spre a d for a ny CM S spre a d de t e rm ina t ion da t e is le ss t ha n or e qua l t o 0 .0 0 % , t he
re le va nt c ont inge nt ra t e for t ha t a c c rua l pe riod w ill be 0 .0 0 % a nd you w ill not re c e ive a ny
c oupon pa ym e nt on t he re la t e d c oupon pa ym e nt da t e . T he re le va nt c ont inge nt ra t e w ill in no
e ve nt e x c e e d t he m a x im um re le va nt c ont inge nt ra t e .
https://www.sec.gov/Archives/edgar/data/200245/000095010320003439/dp122075_424b8-us2090091.htm[2/27/2020 9:10:02 AM]

List ing:
The notes 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
I ssue pric e (1)
U nde rw rit ing fe e (2)
Proc e e ds t o issue r
issue pric e :
Pe r not e :
$1,000
$25
$975
T ot a l:
$600,000
$15,000
$585,000
(Key Terms continued on next page)
(1) On the date of this pricing supplement, the estimated value of the notes is $929.20 per note, which is less than the issue price. The
estimated value of the notes 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 notes from
you at any time after issuance. See "Valuation of the Notes" in this pricing supplement.
(2) For more information on the distribution of the notes, 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 notes declines. See "Use
of Proceeds and Hedging" in the accompanying prospectus.
I nve st ing in t he not e 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 -5 .
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 not e 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, which can be accessed via the following hyperlinks:
Produc t Supple m e nt N o. I E -0 6 -0 6 da t e d J une 4 , 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 not e 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.

K EY T ERM S (CON T I N U ED)

Coupon pa ym e nt da t e s:
The 27th day of each February, May, August and November beginning on May 27, 2020, except that the
final coupon payment date will be the maturity date (or the earlier date on which we redeem the notes, if
applicable)
Ac c rua l pe riod:
For each coupon payment date after the first year following issuance of the notes, 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, 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 the closing level of any
underlying index is not available for any reason on that day (including weekends and holidays), the closing
level of such underlying index will be assumed to be the same as on the immediately preceding elapsed
day (subject to the discussion in the section "Description of the Notes--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 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.
Ea rly re de m pt ion:
We have the right to redeem the notes, in whole and not in part, on any coupon payment date on or after
February 27, 2021 upon not less than five business days' notice for an amount in cash equal to 100% of
the stated principal amount of your notes plus the coupon payment due on the date of redemption, if any.
CU SI P / I SI N :
17327TK54 / US17327TK544
Additional Information

Ge ne ra l. The terms of the notes 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. These events and their consequences are described in the accompanying product supplement in the sections
"Description of the Notes--Terms Related to the Underlying Index--Discontinuance or Material Modification of the Underlying Index" 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,
https://www.sec.gov/Archives/edgar/data/200245/000095010320003439/dp122075_424b8-us2090091.htm[2/27/2020 9:10:02 AM]

prospectus supplement and prospectus together with this pricing supplement in connection with your investment in the notes. 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 notes are linked to two 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 notes are linked.

PS-2
Citigroup Global Markets Holdings Inc.

Hypothetical Examples

Variable Coupon Payments

The sections below provide examples of how the variable coupon payments on the notes will be determined. The first section, "--Determining
the Hypothetical Relevant Contingent Rate," provides a limited number of hypothetical examples of how the relevant contingent rate for any
accrual period will be determined based on hypothetical CMS spread values, as determined on the second U.S. government securities business
day prior to the beginning of the applicable accrual period. The second section, "--Determining the Hypothetical Variable Coupon Rates and
Variable Coupon Payments," provides a limited number of hypothetical examples of how the coupon payments on the notes will be determined
based on a limited number of hypothetical relevant contingent interest rates and a limited number of hypothetical accrual days during a
hypothetical accrual period. The figures below have been rounded for ease of analysis.

Determining the Hypothetical Relevant Contingent Rate

The table below presents examples of hypothetical relevant contingent rates based on various hypothetical CMS spread values.

Ex a m ple
H ypot he t ic a l CM S Spre a d*
H ypot he t ic a l Re le va nt Cont inge nt Ra t e pe r
Annum * *
1
-1.00%
0.00%
2
-0.80%
0.00%
3
-0.60%
0.00%
4
-0.40%
0.00%
5
-0.20%
0.00%
6
0.00%
0.00%
7
0.10%
5.00%
8
0.20%
5.15%
9
0.30%
5.15%
10
0.40%
5.15%
11
0.50%
5.15%
12
0.60%
5.15%
13
0.80%
5.15%
14
1.00%
5.15%
15
1.20%
5.15%
16
1.40%
5.15%
17
1.60%
5.15%
18
1.80%
5.15%
19
2.00%
5.15%
20
2.20%
5.15%
21
2.40%
5.15%
22
2.60%
5.15%
_______________________________
* Hypothetical CMS spread = (CMS30 CMS2), where CMS30 and CMS2 are determined on the second U.S. government securities
business day prior to the beginning of the applicable accrual period.
** Hypothetical relevant contingent rate per annum for the accrual period = 50.00 × hypothetical CMS spread, subject to a minimum of
0.00% and a maximum of 5.15% per annum.

Determining the Hypothetical Variable Coupon Rates and Variable Coupon Payments

The tables below present examples of the hypothetical variable coupon rate and hypothetical variable coupon payments after the first year
https://www.sec.gov/Archives/edgar/data/200245/000095010320003439/dp122075_424b8-us2090091.htm[2/27/2020 9:10:02 AM]

following issuance of the notes based on the number of accrual days in a particular accrual period and different assumptions about the CMS
spread. For illustrative purposes only, the tables assume an accrual period that contains 90 elapsed days and that the notes have not
previously been redeemed. The actual coupon payment for any coupon payment date after the first year will depend on the actual number of
accrual days and elapsed days during the related accrual period and the actual CMS spread on the CMS spread determination date for that
accrual period. The variable coupon rate for each accrual period will apply only to that accrual period.

PS-3
Citigroup Global Markets Holdings Inc.

Assum ing t he CM S spre a d is 0 .1 0 % on t he a pplic a ble CM S spre a d de t e rm ina t ion da t e :

H ypot he t ic a l N um be r of
H ypot he t ic a l Re le va nt
H ypot he t ic a l V a ria ble Coupon
H ypot he t ic a l V a ria ble
Ac c rua l Da ys in Ac c rua l
Cont inge nt Ra t e pe r
Ra t e pe r Annum * * *
Coupon Pa ym e nt pe r
Pe riod*
Annum * *
N ot e * * * *
0
5.000%
0.000%
$0.00
15
5.000%
0.833%
$2.08
30
5.000%
1.667%
$4.17
45
5.000%
2.500%
$6.25
60
5.000%
3.333%
$8.33
75
5.000%
4.167%
$10.42
90
5.000%
5.000%
$12.50

Assum ing t he CM S spre a d is 2 .0 0 % on t he a pplic a ble CM S spre a d de t e rm ina t ion da t e :

H ypot he t ic a l N um be r of
H ypot he t ic a l Re le va nt
H ypot he t ic a l V a ria ble Coupon
H ypot he t ic a l V a ria ble
Ac c rua l Da ys in Ac c rua l
Cont inge nt Ra t e pe r
Ra t e pe r Annum * * *
Coupon Pa ym e nt pe r
Pe riod*
Annum * *
N ot e * * * *
0
5.15%
0.000%
$0.00
15
5.15%
0.858%
$2.15
30
5.15%
1.717%
$4.29
45
5.15%
2.575%
$6.44
60
5.15%
3.433%
$8.58
75
5.15%
4.292%
$10.73
90
5.15%
5.150%
$12.88

Assum ing t he CM S spre a d is 0 .0 0 % on t he a pplic a ble CM S spre a d de t e rm ina t ion da t e :

H ypot he t ic a l N um be r of
H ypot he t ic a l Re le va nt
H ypot he t ic a l V a ria ble Coupon
H ypot he t ic a l V a ria ble
Ac c rua l Da ys in Ac c rua l
Cont inge nt Ra t e pe r
Ra t e pe r Annum * * *
Coupon Pa ym e nt pe r
Pe riod*
Annum * *
N ot e * * * *
0
0.00%
0.000%
$0.00
15
0.00%
0.000%
$0.00
30
0.00%
0.000%
$0.00
45
0.00%
0.000%
$0.00
60
0.00%
0.000%
$0.00
75
0.00%
0.000%
$0.00
90
0.00%
0.000%
$0.00
_______________________________
* An accrual day is an elapsed day on which the accrual condition is satisfied (i.e., on which the closing level of each underlying index is
greater than or equal to its accrual barrier level)
** The hypothetical relevant contingent rate is equal to 50.00 × CMS spread (as of the CMS spread determination date for the related accrual
period), subject to a minimum of 0.00% and a maximum of 5.15% per annum
*** The hypothetical variable coupon rate per annum is equal to (i) the hypothetical relevant contingent rate 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 note is equal to (i) $1,000 multiplied by the hypothetical variable coupon rate per annum,
divided by (ii) 4
https://www.sec.gov/Archives/edgar/data/200245/000095010320003439/dp122075_424b8-us2090091.htm[2/27/2020 9:10:02 AM]

PS-4
Citigroup Global Markets Holdings Inc.

Summary Risk Factors

An investment in the notes is significantly riskier than an investment in conventional debt securities. The notes 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 notes, and are also subject to risks associated with CMS30, CMS2 and each of the underlying
indices. Accordingly, the notes are suitable only for investors who are capable of understanding the complexities and risks of the notes. You
should consult your own financial, tax and legal advisors as to the risks of an investment in the notes and the suitability of the notes in light of
your particular circumstances.

The following is a summary of certain key risk factors for investors in the notes. You should read this summary together with the more detailed
description of risks relating to an investment in the notes contained in the section "Risk Factors Relating to the Notes" beginning on page EA-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.

T he not e 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 relevant 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 the closing level of each underlying
index on that elapsed day is greater than or equal to its respective 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 relevant 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 relevant
contingent rate. Furthermore, because the relevant contingent rate is a floating rate determined by reference to the CMS spread, the notes
are subject to a contingency associated with the CMS spread. The relevant contingent rate will vary based on fluctuations in the CMS
spread. If the CMS spread narrows, the relevant contingent rate will be reduced. The relevant contingent rate may be as low as zero for
any coupon payment date. If the relevant contingent rate is zero for any coupon payment date, you will not receive any variable coupon
payment on that coupon payment date even if the accrual condition is satisfied on each elapsed day in the related accrual period. Thus,
the notes are not a suitable investment for investors who require regular fixed income payments.

Alt hough t he not e s provide for t he re pa ym e nt of t he st a t e d princ ipa l a m ount a t m a t urit y, you m a y ne ve rt he le ss
suffe r a loss on your inve st m e nt in t he not e s, in re a l va lue t e rm s, if you re c e ive be low -m a rk e t or no va ria ble
c oupon pa ym e nt s a ft e r t he first ye a r of t he t e rm of t he not e s. This is because inflation may cause the real value of the stated
principal amount to be less at maturity than it is at the time you invest, and because an investment in the notes represents a forgone
opportunity to invest in an alternative asset that does generate a positive real return. You should carefully consider whether an investment
that may not provide for any return on your investment, or may provide a return that is lower than the return on alternative investments, is
appropriate for you.

T he re le va nt c ont inge nt ra t e m a y de c line , possibly t o 0 .0 0 % , if short -t e rm int e re st ra t e s rise . Although there is no
single factor that determines CMS spreads, CMS spreads have historically tended to fall when short-term interest rates rise. Short-term
interest rates have historically been highly sensitive to the monetary policy of the Federal Reserve Board. Accordingly, one significant risk
assumed by investors in the notes 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. In that event, the relevant contingent rate would be reduced, and
may be 0.00%, and the floating rate payable on the notes would also decline significantly, possibly to 0.00%. It is important to understand,
however, that 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. 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.

T he re le va nt c ont inge nt ra t e on t he not e s m a y be low e r t ha n ot he r m a rk e t int e re st ra t e s. The relevant contingent rate
on the notes will not necessarily move in line with general U.S. market interest rates or even CMS rates and, in fact, may move inversely
with general U.S. market interest rates. For example, if there is a general increase in CMS rates but shorter-term rates rise more than
longer-term rates, the CMS spread will decrease, as will the relevant contingent rate. Accordingly, the notes are not appropriate for
investors who seek floating interest payments based on general market interest rates.

T he re le va nt c ont inge nt ra t e on t he not e s is subje c t t o a c a p. As a result, the notes may pay interest at a lower rate than an
alternative instrument that is not so capped.

T he highe r pot e nt ia l yie ld offe re d by t he not e s is a ssoc ia t e d w it h gre a t e r risk t ha t t he not e s w ill pa y a low or no
https://www.sec.gov/Archives/edgar/data/200245/000095010320003439/dp122075_424b8-us2090091.htm[2/27/2020 9:10:02 AM]

c oupon on one or m ore c oupon pa ym e nt da t e s. The notes 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 notes 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. 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

PS-5
Citigroup Global Markets Holdings Inc.

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 not e s.

T he not e 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 low or zero, causing the relevant contingent rate to be low or zero, the notes will pay a low or 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 high, causing the relevant contingent rate to be high, the notes will pay no coupon if the closing level of any of
the underlying indices is consistently less than its respective accrual barrier level. Moreover, if the closing level of any one of the underlying
indices is less than its respective accrual barrier level, the accrual condition will not be satisfied, and no interest will accrue on the notes,
even if the closing levels of the other underlying indices are significantly greater than their accrual barrier levels. Accordingly, you will be
subject to risks associated with the CMS spread and each of the underlying indices, and your return on the notes will depend significantly
on the relationship between such risks over the term of the notes. 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
notes, even if the others perform favorably.

T he va ria ble c oupon pa ym e nt s 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 t ha n if t he not e 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 is greater if you invest in
the notes 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 notes will accrue low or no interest during an accrual period than if payments on the notes were contingent on only one
variable.

T he not e 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. The relevant contingent rate for any coupon payment
date after the first year following issuance of the notes will depend on the CMS spread as of the CMS spread determination date for the
related accrual period.

The relevant contingent rate will not depend 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 the CMS spread for any CMS spread determination date is less than or equal
to 0.00%, the relevant contingent rate for that accrual period will be 0.00% and you will not receive any coupon payment on the related
coupon payment date.

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 notes 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 0.00%. 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 notes is that the market may anticipate a recession or that there may be a recession.

T he not e 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 va ria ble c oupon pa ym e nt s if t he CM S spre a d a nd t he unde rlying indic e s pe rform fa vora bly. In
determining whether to redeem the notes, we will consider various factors, including then current market interest rates and our expectations
https://www.sec.gov/Archives/edgar/data/200245/000095010320003439/dp122075_424b8-us2090091.htm[2/27/2020 9:10:02 AM]

about payments we will be required to make on the notes in the future. If we call the notes 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 notes at a time when the CMS
spread and the underlying indices are performing favorably from your perspective and when we expect them to continue to do so.
Therefore, although the notes offer variable coupon payments after the first year following issuance of the notes with the potential to result
in a higher yield than the yield on our conventional debt securities of the same maturity, if the notes are paying that higher yield and we
expect them to continue to do so, it is more likely that we would redeem the notes. Accordingly, the redemption feature of the notes is likely
to limit the benefits you receive from the variable 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 an 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 notes, so that you may continue to hold notes paying below-market or no interest for an extended period of time.

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 the closing level of an underlying index is not available, the closing level of such
underlying index for that day will be deemed to be the same as on the immediately preceding elapsed day on which the level is
available. In addition, for purposes of determining whether the accrual condition is satisfied, 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

PS-6
Citigroup Global Markets Holdings Inc.

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 closing level of that underlying index 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 not e s w ill be lim it e d. The return on the notes will be limited to the sum of your coupon payments, even if the
closing level of an underlying index greatly exceeds its initial index level at one or more times during the term of the notes. The maximum
possible return on the notes after the first year is the maximum relevant contingent rate indicated on the cover of this pricing supplement,
which would be achieved only if (i) the relevant contingent rate is the maximum relevant contingent rate for each accrual period and (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 notes
after the first year. You will not receive the dividend yield on, or share in any appreciation of, any underlying index over the term of the
notes.

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 risk s of t he not e s. The fixed coupon payments during the first
year following issuance of the notes and the variable coupon payments you receive on the notes, if any, after the first year are the
compensation you receive for assuming the risks of the notes, including interest rate risk, the risk that we may call the notes and our and
Citigroup Inc.'s credit risk. That compensation is effectively "at risk" and may, therefore, be less than you currently anticipate. The actual
yield you realize on the notes 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. If the risks of the notes 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 notes.

T he not e 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 . If we default on
our obligations under the notes and Citigroup Inc. defaults on its guarantee obligations, you may not receive anything owed to you under
the notes.

T he not e s w ill not be list e d on a ny se c urit ie s e x c ha nge a nd you m a y not be a ble t o se ll t he m prior t o m a t urit y. The
notes will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the notes. CGMI currently
intends to make a secondary market in relation to the notes and to provide an indicative bid price for the notes on a daily basis. Any
indicative bid price for the notes provided by CGMI will be determined in CGMI's sole discretion, taking into account prevailing market
conditions and other relevant factors, and will not be a representation by CGMI that the notes can be sold at that price, or at all. 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 all for the notes because it is likely that CGMI will be the only broker-
dealer that is willing to buy your notes prior to maturity. Accordingly, an investor must be prepared to hold the notes until maturity.

Sa le of t he not e s prior t o m a t urit y m a y re sult in a loss of princ ipa l. You will be entitled to receive at least the full stated
principal amount of your notes, subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc., only if you hold the
notes to maturity. The value of the notes may fluctuate during the term of the notes, and if you are able to sell your notes prior to maturity,
you may receive less than the full stated principal amount of your notes.

https://www.sec.gov/Archives/edgar/data/200245/000095010320003439/dp122075_424b8-us2090091.htm[2/27/2020 9:10:02 AM]

T he not e s m a y be risk ie r t ha n not e s w it h a short e r t e rm . The notes have a relatively long term to maturity, subject to our right
to call the notes for mandatory redemption prior to maturity. By purchasing notes with a longer term, you are more exposed to fluctuations
in market interest rates and equity markets than if you purchased notes with a shorter term. Specifically, you will be negatively affected if
the CMS spread decreases or if the closing levels of the underlying indices fall below their respective accrual barrier levels. If either (i) the
CMS spread decreases to a value that is equal to or less than 0.00% per annum or (ii) the closing level of any of the underlying indices is
less than its accrual barrier level on each day during an entire accrual period, you will be holding a long-dated note that does not pay any
coupon.

T he e st im a t e d va lue of t he not e s on t he pric ing da t e , ba se d on CGM I 's proprie t a ry pric ing m ode ls a nd our int e rna l
funding ra t e , is le ss t ha n t he issue pric e . The difference is attributable to certain costs associated with selling, structuring and
hedging the notes that are included in the issue price. These costs include (i) the selling concessions paid in connection with the offering of
the notes, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering of the notes and (iii) 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
notes. These costs adversely affect the economic terms of the notes because, if they were lower, the economic terms of the notes would be
more favorable to you. The economic terms of the notes are also likely to be adversely affected by the use of our internal funding rate,
rather than our secondary market rate, to price the notes. See "The estimated value of the notes would be lower if it were calculated based
on our secondary market rate" below.

T he e st im a t e d va lue of t he not e s w a s de t e rm ine d for us by our a ffilia t e using proprie t a ry pric ing m ode ls. 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 the underlying indices and the CMS spread, the
correlation among the underlying indices and the CMS spread, dividend yields on the stocks that constitute the underlying indices 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

PS-7
Citigroup Global Markets Holdings Inc.

reflection of the value of the notes. Moreover, the estimated value of the notes set forth on the cover page of this pricing supplement may
differ from the value that we or our affiliates may determine for the notes for other purposes, including for accounting purposes. You should
not invest in the notes because of the estimated value of the notes. Instead, you should be willing to hold the notes to maturity irrespective
of the initial estimated value.

T he e st im a t e d va lue of t he not e s w ould be low e r if it w e re c a lc ula t e d ba se d on our se c onda ry m a rk e t ra t e . The
estimated value of the notes included in this pricing supplement is calculated based on our internal funding rate, which is the rate at which
we are willing to borrow funds through the issuance of the notes. Our internal funding rate is generally lower than our secondary market
rate, which is the rate that CGMI will use in determining the value of the notes for purposes of any purchases of the notes 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
notes, which are generally higher than the costs associated with conventional debt securities, and our liquidity needs and preferences. Our
internal funding rate is not the same as the coupon that is payable on the notes.

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 all payments due on the notes, 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 notes prior to maturity.

T he e st im a t e d va lue of t he not e s is not a n indic a t ion of t he pric e , if a ny, a t w hic h CGM I or a ny ot he r pe rson m a y
be w illing t o buy t he not e s from you in t he se c onda ry m a rk e t . Any such secondary market price will fluctuate over the term of
the notes based on the market and other factors described in the next risk factor. Moreover, unlike the estimated value included in this
pricing supplement, any value of the notes determined for purposes of a secondary market transaction will be based on our secondary
market rate, which will likely result in a lower value for the notes than if our internal funding rate were used. In addition, any secondary
market price for the notes will be reduced by a bid-ask spread, which may vary depending on the aggregate stated principal amount of the
notes to be purchased in the secondary market transaction, and the expected cost of unwinding related hedging transactions. As a result, it
is likely that any secondary market price for the notes will be less than the issue price.

T he va lue of t he not e s prior t o m a t urit y w ill fluc t ua t e ba se d on m a ny unpre dic t a ble fa c t ors. The value of your notes
prior to maturity will fluctuate based on the level and volatility of the underlying indices and the CMS spread and a number of other factors,
including the dividend yields on the stocks that constitute the underlying indices, expectations of future values of the CMS spread, interest
rates generally, the positive or negative correlation among the CMS spread and the underlying indices, the time remaining to maturity of the
notes and our and Citigroup Inc.'s creditworthiness, as reflected in our secondary market rate. Changes in the levels of the CMS spread
and/or the underlying indices may not result in a comparable change in the value of your notes. You should understand that the value of
your notes at any time prior to maturity may be significantly less than the issue price.
https://www.sec.gov/Archives/edgar/data/200245/000095010320003439/dp122075_424b8-us2090091.htm[2/27/2020 9:10:02 AM]

I m m e dia t e ly follow ing issua nc e , a ny se c onda ry m a rk e t bid pric e provide d by CGM I , a nd t he va lue t ha t w ill be
indic a t e d on a ny brok e ra ge a c c ount st a t e m e nt s pre pa re d by CGM I or it s a ffilia t e s, w ill re fle c t a t e m pora ry upw a rd
a djust m e nt . The amount of this temporary upward adjustment will steadily decline to zero over the temporary adjustment period. See
"Valuation of the Notes" in this pricing supplement.

T he re la t ionship be t w e e n CM S3 0 a nd CM S2 m a y be diffe re nt t ha n t he re la t ionship be t w e e n CM S ra t e s of diffe re nt
m a t urit ie s. The relevant contingent rate may be lower than it would be if it were based on a CMS rate with a longer maturity than 30
years or a shorter maturity than 2 years.

CM S3 0 a nd CM S2 w ill be a ffe c t e d by a num be r of fa c t ors a nd m a y be highly vola t ile . CMS30 and CMS2 are influenced by
many factors, including:

·
the monetary policies of the Federal Reserve Board;

·
current market expectations about future interest rates;

·
current market expectations about inflation;

·
the volatility of the foreign exchange markets;

·
the availability of relevant hedging instruments;

·
the perceived general creditworthiness of the banks that participate in the interest rate swap market and the London interbank
loan market; and

·
general credit and economic conditions in global markets, and particularly in the United States.

As a result of these factors, CMS30 and CMS2 may be highly volatile. Because CMS30 and CMS2 are market rates and are influenced by
many factors, it is impossible to predict the future values of CMS30 and CMS2.

PS-8
Citigroup Global Markets Holdings Inc.

The CMS spread will be influenced by a number of complex economic factors, including those that affect CMS rates generally. However, the
CMS spread depends not on how the relevant economic factors affect any one CMS rate or even CMS rates generally, but rather on how
those factors affect CMS rates of different maturities (i.e., CMS30 and CMS2) differently.

T he m a nne r in w hic h CM S ra t e s a re c a lc ula t e d m a y c ha nge in t he fut ure . The method by which CMS rates are calculated
may change in the future, as a result of governmental actions, actions by the publisher of CMS rates or otherwise. We cannot predict
whether the method by which CMS rates are calculated will change or what the impact of any such change might be. Any such change
could affect CMS rates in a way that has a significant adverse effect on the notes.

T he Russe ll 2 0 0 0 ® I nde x is subje c t t o risk s a ssoc ia t e d w it h sm a ll c a pit a liza t ion st oc k s. The stocks that constitute the
Russell 2000® Index are issued by companies with relatively small market capitalization. The stock prices of smaller companies may be
more volatile than stock prices of large capitalization companies. These companies tend to be less well-established than large market
capitalization companies. Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive
conditions relative to larger companies. Small capitalization companies are less likely to pay dividends on their stocks, and the presence of
a dividend payment could be a factor that limits downward stock price pressure under adverse market conditions.

Our offe ring of t he not e s is not a re c om m e nda t ion of t he CM S spre a d or t he unde rlying indic e s. The fact that we are
offering the notes does not mean that we believe that investing in an instrument linked to the CMS spread and the underlying indices is
likely to achieve favorable returns. In fact, as we are part of a global financial institution, our affiliates may have positions (including short
positions) in the stocks that constitute the underlying indices or in instruments related to the CMS spread or the underlying indices or such
stocks, and may publish research or express opinions, that in each case are inconsistent with an investment linked to the CMS spread and
the underlying indices. These and other activities of our affiliates may affect the CMS spread or the levels of the underlying indices in a
way that has a negative impact on your interests as a holder of the notes.

I nve st ing in t he not e s is not e quiva le nt t o inve st ing in a ny of t he unde rlying indic e s or t he st oc k s t ha t c onst it ut e
a ny of t he unde rlying indic e s. You will not have voting rights, rights to receive dividends or other distributions or any other rights with
respect to the stocks that constitute any of the underlying indices. You will not participate in any appreciation of any of the underlying
indices over the term of the notes.
https://www.sec.gov/Archives/edgar/data/200245/000095010320003439/dp122075_424b8-us2090091.htm[2/27/2020 9:10:02 AM]

Adjust m e nt s t o a ny unde rlying inde x m a y a ffe c t t he va lue of your not e s. The sponsors of the underlying indices may add,
delete or substitute the stocks that constitute the underlying indices or make other methodological changes that could affect the levels of the
underlying indices. The sponsors of the underlying indices may discontinue or suspend calculation or publication of the underlying indices at
any time without regard to your interests as a holder of the notes.

U nc e rt a int y a bout t he fut ure of LI BOR m a y a ffe c t CM S ra t e s in a w a y t ha t a dve rse ly a ffe c t s t he re t urn on a nd t he
va lue of t he not e s. A CMS rate is a market rate for the fixed leg of a fixed-for-floating interest rate swap, where the floating leg is
based on 3-month U.S. dollar LIBOR. As a result, CMS rates are significantly influenced by 3-month U.S. dollar LIBOR and expectations
about future levels of 3-month U.S. dollar LIBOR. On July 27, 2017, the Chief Executive of the U.K. Financial Conduct Authority (the
"FCA"), which regulates LIBOR, announced that the FCA intends to stop persuading or compelling banks to submit rates for the calculation
of LIBOR to the LIBOR administrator. The announcement indicates that the continuation of LIBOR on the current basis cannot and will not
be guaranteed after 2021. It is impossible to predict whether and to what extent banks will continue to provide LIBOR submissions to the
administrator of LIBOR, whether LIBOR rates will cease to be published or supported before or after 2021 or whether any additional reforms
to LIBOR may be enacted in the United Kingdom or elsewhere. It is also impossible to predict the impact of any LIBOR-related
developments on the method of calculation or the values of CMS rates. At this time, no consensus exists as to what rate or rates may
become accepted alternatives to LIBOR, including for purposes of the interest rate swaps underlying CMS rates, and it is impossible to
predict the effect of any such alternatives on the value of securities, such as the notes, that are linked to CMS rates. Any changes to 3-
month U.S. dollar LIBOR or the calculation of CMS rates, and any uncertainty at what these changes may be, may affect CMS rates in a
way that adversely affects your return on and value of the notes.

CM S ra t e s a nd t he le ve ls of t he unde rlying indic e s m a y be a dve rse ly a ffe c t e d by our or our a ffilia t e s' he dging a nd
ot he r t ra ding a c t ivit ie s. We have hedged our obligations under the notes through CGMI or other of our affiliates, who have taken
positions directly in the interest rate swaps that are used to determine CMS rates and/or in stocks that constitute the underlying indices and
other financial instruments related to such interest rate swaps, the underlying indices or such stocks and may adjust such positions during
the term of the notes. Our affiliates also trade the interest rate swaps that are used to determine CMS rates and the stocks that constitute
the underlying indices and other financial instruments related to such interest rate swaps, the underlying indices or such stocks on a regular
basis (taking long or short positions or both), for their accounts, for other accounts under their management or to facilitate transactions on
behalf of customers. These activities could affect CMS rates and/or the levels of the underlying indices in a way that negatively affects the
value of the notes. They could also result in substantial returns for us or our affiliates while the value of the notes declines.

We a nd our a ffilia t e s m a y ha ve e c onom ic int e re st s t ha t a re a dve rse t o yours a s a re sult of our a ffilia t e s' busine ss
a c t ivit ie s. Our affiliates may currently or from time to time engage in business with the issuers of the stocks that constitute the underlying
indices, including extending loans to, making equity investments in or providing advisory services to such issuers. In the course of this
business, we or our affiliates may acquire non-public information about such issuers, which we will not disclose to you. Moreover, if any of
our affiliates is or becomes a creditor of any such issuer, they may exercise any remedies against such issuer that are available to them
without regard to your interests.

T he c a lc ula t ion a ge nt , w hic h is a n a ffilia t e of ours, w ill m a k e im port a nt de t e rm ina t ions w it h re spe c t t o t he
not e s. If certain events occur, such as market disruption events or the discontinuance of an underlying index or a CMS rate, CGMI, as
calculation agent, will be required to make discretionary judgments that could significantly affect your return on the notes. Any of these

PS-9
Citigroup Global Markets Holdings Inc.

determinations made by Citibank, N.A. in its capacity as calculation agent may adversely affect any variable interest payment owed to you
under the notes or the amount paid to you at maturity.

PS-10
Citigroup Global Markets Holdings Inc.

Information About the CMS Spread

The "CMS spread" on any day is equal to the 30-year constant maturity swap rate ("CMS30") minus the 2-year constant maturity swap rate
("CMS2") on that day. We refer to each of CMS30 and CMS2 as a "CMS rate".

At any time, each CMS rate is a market rate for the fixed leg of a conventional fixed-for-floating U.S. dollar interest rate swap entered into at
that time with the relevant maturity (30 years for CMS30 and 2 years for CMS2). A conventional fixed-for-floating U.S. dollar interest rate swap
is an agreement between two parties to exchange payment streams in U.S. dollars over a given period of time, where one party pays a fixed
rate (the "fixed leg") and the other party pays a floating rate that is reset periodically based on 3-month U.S. dollar LIBOR (the "floating leg").
For example, CMS30 at any given time is a market rate for the fixed leg of a fixed-for-floating U.S. dollar interest rate swap with a maturity of
https://www.sec.gov/Archives/edgar/data/200245/000095010320003439/dp122075_424b8-us2090091.htm[2/27/2020 9:10:02 AM]

Document Outline

#1">
- #1">