Obligation Citi Global Markets 0% ( US17324XYE48 ) en USD

Citi Global Markets

100 % ▼

Etas-Unis

US17324XYE48 ( en USD )

03/03/2025 - Obligation échue

Prospectus brochure de l'obligation Citigroup Global Markets Holdings US17324XYE48 en USD 0%, échue

1 000 USD

1 612 000 USD

17324XYE4

N/A

Citigroup Global Markets Holdings est une filiale de Citigroup Inc. qui offre une gamme complète de services de marchés financiers, notamment des services de banque d'investissement, de courtage, de négociation de titres et de gestion des risques.

L'Obligation émise par Citi Global Markets ( Etas-Unis ) , en USD, avec le code ISIN US17324XYE48, paye un coupon de 0% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 03/03/2025

L'Obligation émise par Citi Global Markets ( Etas-Unis ) , en USD, avec le code ISIN US17324XYE48, a été notée NR par l'agence de notation Moody's.

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424B2 1 dp122490_424b2-us2089125.htm PRICING SUPPLEMENT

Citigroup Global Markets Holdings Inc.
February 26, 2020
Medium-Term Senior Notes, Series N
Pricing Supplement No. 2020-USNCH3570
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-224495 and 333-224495-03
Buffer Securities Linked to the SPDR® Dow Jones® Industrial AverageSM ETF Trust Due March 3, 2025

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

The securities offer modified exposure to the performance of the underlying, with (i) the opportunity to participate in a limited
range of potential appreciation of the underlying at the upside participation rate specified below and (i ) a limited buffer against
any depreciation of the underlying as described below. In exchange for these features, investors in the securities must be wil ing
to forgo any appreciation of the underlying in excess of the maximum return at maturity specified below and must be wil ing to
forgo any dividends with respect to the underlying. In addition, investors in the securities must be wil ing to accept downside
exposure to any depreciation of the underlying in excess of the buffer percentage specified below. If the underlying
depreciates by more than the buffer percentage from the initial underlying value to the final underlying value, you will
not be repaid the stated principal amount of your securities at maturity and, instead, will receive underlying shares of
the underlying (or, in our sole discretion, cash based on the value thereof) and a cash buffer that together will be
worth less than your initial investment.

In order to obtain the modified exposure to the underlying that the securities provide, investors must be wil ing to accept (i) an
investment that may have limited or no liquidity and (i ) the risk of not receiving any amount due under the securities if we and
Citigroup Inc. default on our obligations. All payments on the securities are subject to the credit risk of Citigroup Global
Markets Holdings Inc. and Citigroup Inc.
KEY TERMS
Issuer:
Citigroup Global Markets Holdings Inc., a whol y owned subsidiary of Citigroup Inc.
Guarantee:
Al payments due on the securities are ful y and unconditional y guaranteed by Citigroup Inc.
Underlying:
The SPDR® Dow Jones® Industrial AverageSM ETF Trust
Stated principal
$1,000 per security
amount:
Pricing date:
February 26, 2020
Issue date:
March 2, 2020
Valuation date:
February 26, 2025, subject to postponement if such date is not a scheduled trading day or certain
market disruption events occur
Maturity date:
March 3, 2025
Payment at maturity:
You wil receive at maturity for each security you then hold:
§ If the final underlying value is greater than the initial underlying value:
$1,000 + the return amount, subject to the maximum return at maturity
§ If the final underlying value is less than or equal to the initial underlying value but greater
than or equal to the final buffer value:
$1,000
§ If the final underlying value is less than the final buffer value:
a fixed number of underlying shares of the underlying equal to the equity ratio (or, if we elect,
the cash value of those shares based on the final underlying value) + the cash buffer
If the final underlying value is less than the final buffer value, which means that the underlying
has depreciated from the initial underlying value by more than the buffer percentage, you will
receive underlying shares (or, in our sole discretion, cash) and a cash buffer at maturity that
together will be worth less than the stated principal amount of your securities.
Initial underlying value:
$269.74, the closing value of the underlying on the pricing date
Final underlying value:
The closing value of the underlying on the valuation date
Equity ratio:
3.70727, the stated principal amount divided by the initial underlying value
Return amount:
$1,000 × the underlying return × the upside participation rate
Upside participation
100.00%
rate:
Underlying return:
(i) The final underlying value minus the initial underlying value, divided by (i ) the initial underlying
value
Maximum return at
$500.00 per security (50.00% of the stated principal amount). The payment at maturity per security
maturity:
wil not exceed the stated principal amount plus the maximum return at maturity.
Final buffer value:
$229.279, 85.00% of the initial underlying value
Buffer percentage:
15.00%
Cash buffer:
$150.00 in cash per security (equal to the stated principal amount multiplied by the buffer percentage)
Listing:
The securities wil not be listed on any securities exchange
CUSIP / ISIN:
17324XYE4 / US17324XYE48
Underwriter:
Citigroup Global Markets Inc. ("CGMI"), an affiliate of the issuer, acting as principal
Underwriting fee and
Issue price(1)
Underwriting fee(2)
Proceeds to issuer
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issue price:
Per security:
$1,000.00
$30.00
$970.00
Total:
$1,612,000.00
$48,360.00
$1,563,640.00
(1) On the date of this pricing supplement, the estimated value of the securities is $930.70 per security, which is less than the issue
price. The estimated value of the securities is based on CGMI's proprietary pricing models and our internal funding rate. It is not an
indication of actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if any, at which CGMI or any other
person may be wil ing to buy the securities from you at any time after issuance. See "Valuation of the Securities" in this pricing
supplement.
(2) 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.
Investing in the securities involves risks not associated with an investment in conventional debt
securities. See "Summary Risk Factors" beginning on page PS-4.
Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of
the securities or determined that this pricing supplement and the accompanying product supplement, prospectus
supplement and prospectus are truthful or complete. Any representation to the contrary is a criminal offense.
You should read this pricing supplement together with the accompanying product supplement, prospectus supplement
and prospectus, which can be accessed via the hyperlinks below:
Product Supplement No. EA-02-08 dated February 15, 2019 Prospectus Supplement and Prospectus each dated May 14,
2018
The securities are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or
any other governmental agency, nor are they obligations of, or guaranteed by, a bank.

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Citigroup Global Markets Holdings Inc.

Additional Information

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

Closing Value. The "closing value" of the underlying on any date is the closing price of its underlying shares on such date, as
provided in the accompanying product supplement. The "underlying shares" of the underlying are its shares that are traded on a
U.S. national securities exchange. Please see the accompanying product supplement for more information.

Prospectus. In addition to this pricing supplement and the accompanying product supplement, prospectus supplement and
prospectus, you should read the prospectus for the underlying on file at the SEC website, which can be accessed via the hyperlink
below. The contents of that prospectus and any documents incorporated by reference therein are not incorporated by reference
herein or in any way made a part hereof.

Prospectus for SPDR® Dow Jones® Industrial AverageSM ETF Trust dated February 12, 2019:
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Payout Diagram

The diagram below il ustrates the value of what you would receive at maturity for a range of hypothetical underlying returns. For
purposes of the diagram, the value of any underlying shares you receive at maturity, is based on the final underlying value, which is
the closing value of the underlying on the valuation date. On the maturity date, the value of any underlying shares you receive may
differ from their value on the valuation date.

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

Payout Diagram

PS-2
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Citigroup Global Markets Holdings Inc.

Hypothetical Examples

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

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

Hypothetical initial underlying value: $100.00
Hypothetical final buffer value:
$85.00 (85.00% of the hypothetical initial underlying value)
Hypothetical equity ratio:
10.00000 (the stated principal amount divided by the hypothetical initial underlying value)

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

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

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

= $1,000 + ($1,000 × 5.00% × 100.00%), subject to the maximum return at maturity

= $1,000 + $50.00, subject to the maximum return at maturity

= $1,050.00

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

Example 2--Upside Scenario B. The final underlying value is $160.00, resulting in a 60.00% underlying return. In this example,
the final underlying value is greater than the initial underlying value.

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

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

= $1,000 + ($1,000 × 60.00% × 100.00%), subject to the maximum return at maturity

= $1,000 + $600.00, subject to the maximum return at maturity

= $1,500.00

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

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

Payment at maturity per security = $1,000

In this scenario, the underlying has depreciated from the initial underlying value to the final underlying value, but not by more than
the buffer percentage. As a result, you would be repaid the stated principal amount of your securities at maturity but would not
receive any positive return on your investment.

Example 4--Downside Scenario. The final underlying value is $30.00, resulting in a -70.00% underlying return. In this example,
the final underlying value is less than the final buffer value.

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What you would receive at maturity per security = A number of underlying shares of the underlying equal to the equity ratio (or, in
our sole discretion, cash in an amount equal to the equity ratio × the final underlying value) + the cash buffer of $150.00

= 10.00000 underlying shares of the underlying, with an aggregate cash value (based on the final underlying value) of $300.00 +
$150.00

In this scenario, the underlying has depreciated from the initial underlying value to the final underlying value by more than the buffer
percentage. As a result, you would not be repaid the stated principal amount of your securities at maturity but, instead, would
receive a number of underlying shares of the underlying (or, in our sole discretion, cash based on the value thereof) and a cash
buffer that together are worth significantly less than your initial investment.

PS-3
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Citigroup Global Markets Holdings Inc.

Summary Risk Factors

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

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

§
You may lose a significant portion of your investment. Unlike conventional debt securities, the securities do not repay a
fixed amount of principal at maturity. Instead, the value of what you receive at maturity wil depend on the performance of
the underlying. If the underlying depreciates by more than the buffer percentage from the initial underlying value to the final
underlying value, you wil not be repaid the stated principal amount of your securities at maturity but, instead, wil receive
underlying shares of the underlying (or, in our sole discretion, cash based on the value thereof) and a cash buffer that
together wil be worth less than your initial investment.

We may elect, in our sole discretion, to pay you cash at maturity in lieu of delivering any underlying shares of the
underlying. If we elect to pay you cash at maturity in lieu of delivering any underlying shares of the underlying, the amount
of that cash may be less than the market value of the underlying shares on the maturity date because the market value wil
likely fluctuate between the valuation date and the maturity date. Conversely, if we do not exercise our cash election right
and instead deliver underlying shares of the underlying to you on the maturity date, the market value of such underlying
shares may be less than the cash amount you would have received if we had exercised our cash election right. We wil
have no obligation to take your interests into account when deciding whether to exercise our cash election right.

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

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

§
You will not receive dividends or have any other rights with respect to the underlying unless and until you receive
underlying shares of the underlying at maturity. You wil not receive any dividends with respect to the underlying unless
and until you receive underlying shares of the underlying at maturity. This lost dividend yield may be significant over the
term of the securities. The payment scenarios described in this pricing supplement do not show any effect of lost dividend
yield over the term of the securities. In addition, you wil not have voting rights or any other rights with respect to the
underlying or the stocks included in the underlying. If any change to the underlying shares of the underlying is proposed,
such as an amendment to the underlying's organizational documents, you wil not have the right to vote on such change,
but you wil be subject to such change in the event you receive underlying shares of the underlying at maturity. Any such
change may adversely affect the market value of the underlying shares of the underlying.

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

§
The securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. If we
default on our obligations under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive
anything owed to you under the securities.
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§
The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity.
The securities wil not be listed on any securities exchange. Therefore, there may be little or no secondary market for the
securities. CGMI currently intends to make a secondary market in relation to the securities and to provide an indicative bid
price for the securities on a daily basis. Any indicative bid price for the securities provided by CGMI wil be determined in
CGMI's sole discretion, taking into account prevailing market conditions and other relevant factors, and wil not be a
representation by CGMI that the securities can be sold at that price, or at al . CGMI may suspend or terminate making a
market and providing indicative bid prices without notice, at any time and for any reason. If CGMI suspends or terminates
making a market, there may be no secondary market at al for the securities

PS-4
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Citigroup Global Markets Holdings Inc.

because it is likely that CGMI wil be the only broker-dealer that is wil ing to buy your securities prior to maturity.
Accordingly, an investor must be prepared to hold the securities until maturity.

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

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

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

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

§
The estimated value of the securities is not an indication of the price, if any, at which CGMI or any other person
may be willing to buy the securities from you in the secondary market. Any such secondary market price wil fluctuate
over the term of the securities 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 securities determined for purposes of a secondary
market transaction wil be based on our secondary market rate, which wil likely result in a lower value for the securities
than if our internal funding rate were used. In addition, any secondary market price for the securities wil be reduced by a
bid-ask spread, which may vary depending on the aggregate stated principal amount of the securities 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 securities wil be less than the issue price.

§
The value of the securities prior to maturity will fluctuate based on many unpredictable factors. The value of your
securities prior to maturity wil fluctuate based on the closing value of the underlying, the volatility of the closing value of the
underlying, the dividend yield on the underlying, interest rates general y, the time remaining to maturity and our and
Citigroup Inc.'s creditworthiness, as reflected in our secondary market rate, among other factors described under "Risk
Factors Relating to the Securities--Risk Factors Relating to Al Securities--The value of your securities prior to maturity wil
fluctuate based on many unpredictable factors" in the accompanying product supplement. Changes in the closing value of
the underlying may not result in a comparable change in the value of your securities. You should understand that the value
of your securities at any time prior to maturity may be significantly less than the issue price.

§
Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be
indicated on any brokerage account statements prepared by CGMI or its affiliates, will reflect a temporary upward
adjustment. The amount of this temporary upward adjustment wil steadily decline to zero over the temporary adjustment
period. See "Valuation of the Securities" in this pricing supplement.

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§
Our offering of the securities is not a recommendation of the underlying. The fact that we are offering the securities
does not mean that we believe that investing in an instrument linked to the underlying 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
underlying or in instruments related to the underlying, and may publish research or express opinions, that in each case are
inconsistent with an investment linked to the underlying. These and other activities of our affiliates may affect the closing
value of the underlying in a way that negatively affects the value of and your return on the securities.

PS-5
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Citigroup Global Markets Holdings Inc.

§
The closing value of the underlying may be adversely affected by our or our affiliates' hedging and other trading
activities. We expect to hedge our obligations under the securities through CGMI or other of our affiliates, who may take
positions in the underlying or in financial instruments related to the underlying and may adjust such positions during the
term of the securities. Our affiliates also take positions in the underlying or in financial instruments related to the underlying
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 the closing value of the underlying in a way
that negatively affects the value of and your return on the securities. They could also result in substantial returns for us or
our affiliates while the value of the securities declines.

§
We and our affiliates may have economic interests that are adverse to yours as a result of our affiliates' business
activities. Our affiliates engage in business activities with a wide range of companies. These activities include extending
loans, making and facilitating investments, underwriting securities offerings and providing advisory services. These
activities could involve or affect the underlying in a way that negatively affects the value of and your return on the securities.
They could also result in substantial returns for us or our affiliates while the value of the securities declines. In addition, in
the course of this business, we or our affiliates may acquire non-public information, which wil not be disclosed to you.

§
The calculation agent, which is an affiliate of ours, will make important determinations with respect to the
securities. If certain events occur during the term of the securities, such as market disruption events and other events with
respect to the underlying, CGMI, as calculation agent, wil be required to make discretionary judgments that could
significantly affect your return on the securities. In making these judgments, the calculation agent's interests as an affiliate
of ours could be adverse to your interests as a holder of the securities. See "Risk Factors Relating to the Securities--Risk
Factors Relating to Al Securities--The calculation agent, which is an affiliate of ours, wil make important determinations
with respect to the securities" in the accompanying product supplement.

§
Even if the underlying pays a dividend that it identifies as special or extraordinary, no adjustment will be required
under the securities for that dividend unless it meets the criteria specified in the accompanying product
supplement. In general, an adjustment wil not be made under the terms of the securities for any cash dividend paid by the
underlying unless the amount of the dividend per share, together with any other dividends paid in the same quarter,
exceeds the dividend paid per share in the most recent quarter by an amount equal to at least 10% of the closing value of
the underlying on the date of declaration of the dividend. Any dividend wil reduce the closing value of the underlying by the
amount of the dividend per share. If the underlying pays any dividend for which an adjustment is not made under the terms
of the securities, holders of the securities wil be adversely affected. See "Description of the Securities--Certain Additional
Terms for Securities Linked to an Underlying Company or an Underlying ETF--Dilution and Reorganization Adjustments--
Certain Extraordinary Cash Dividends" in the accompanying product supplement.

§
The securities will not be adjusted for all events that may have a dilutive effect on or otherwise adversely affect the
closing value of the underlying. For example, we wil not make any adjustment for ordinary dividends or extraordinary
dividends that do not meet the criteria described above, partial tender offers or additional underlying share issuances.
Moreover, the adjustments we do make may not ful y offset the dilutive or adverse effect of the particular event. Investors in
the securities may be adversely affected by such an event in a circumstance in which a direct holder of the underlying
shares would not.

§
The securities may become linked to an underlying other than the original underlying upon the occurrence of a
reorganization event or upon the delisting of the underlying shares. For example, if the underlying enters into a
merger agreement that provides for holders of the underlying shares to receive shares of another entity and such shares
are marketable securities, the closing value of the underlying fol owing consummation of the merger wil be based on the
value of such other shares. Additional y, if the underlying shares are delisted, the calculation agent may select a successor
underlying. See "Description of the Securities--Certain Additional Terms for Securities Linked to an Underlying Company or
an Underlying ETF" in the accompanying product supplement.

§
The value and performance of the underlying shares may not completely track the performance of the underlying
index that the underlying seeks to track or the net asset value per share of the underlying. The underlying does not
ful y replicate the underlying index that it seeks to track and may hold securities different from those included in its
underlying index. In addition, the performance of the underlying wil reflect additional transaction costs and fees that are not
included in the calculation of its underlying index. Al of these factors may lead to a lack of correlation between the
performance of the underlying and its underlying index. In addition, corporate actions with respect to the equity securities
held by the underlying (such as mergers and spin-offs) may impact the variance between the performance of the underlying
and its underlying index. Final y, because the underlying shares are traded on an exchange and are subject to market
supply and investor demand, the closing value of the underlying may differ from the net asset value per share of the
underlying.

During periods of market volatility, securities included in the underlying's underlying index may be unavailable in the
secondary market, market participants may be unable to calculate accurately the net asset value per share of the
underlying and the liquidity of the underlying may be adversely affected. This kind of market volatility may also disrupt the
ability of market participants to create and redeem shares of the underlying. Further, market volatility may adversely affect,
sometimes material y, the price at which market participants are wil ing to buy and sel the underlying shares. As a result,
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