Obligation Citi Global Markets 13.827% ( US17326YNN21 ) en USD

Citi Global Markets

100 % ▲

Etas-Unis

US17326YNN21 ( en USD )

13.827% par an ( paiement semestriel )

20/03/2024 - Obligation échue

Prospectus brochure de l'obligation Citigroup Global Markets Holdings US17326YNN21 en USD 13.827%, échue

1 000 USD

3 565 000 USD

17326YNN2

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 US17326YNN21, paye un coupon de 13.827% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 20/03/2024

L'Obligation émise par Citi Global Markets ( Etas-Unis ) , en USD, avec le code ISIN US17326YNN21, a été notée NR par l'agence de notation Moody's.

https://www.sec.gov/Archives/edgar/data/200245/000095010319003524...
424B2 1 dp103845_424b2-us1965845.htm PRICING SUPPLEMENT
Citigroup Global Markets Holdings Inc.
March 15, 2019
Medium-Term Senior Notes, Series N
Pricing Supplement No. 2019-USNCH2088
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-216372 and 333-216372-01
Autocallable Contingent Coupon Equity Linked Securities Linked to the SPDR® S&P® Oil & Gas Exploration &
Production ETF Due March 20, 2024

The securities offered by this pricing supplement are unsecured debt securities issued by Citigroup Global Markets Holdings
Inc. and guaranteed by Citigroup Inc. The securities offer the potential for periodic contingent coupon payments at an
annualized rate that, if all are paid, would produce a yield that is generally higher than the yield on our conventional debt
securities of the same maturity. In exchange for this higher potential yield, you must be willing to accept the risks that (i)
your actual yield may be lower than the yield on our conventional debt securities of the same maturity because you may
not receive one or more, or any, contingent coupon payments, (ii) your actual yield may be negative because the value of
what you receive at maturity may be significantly less than the stated principal amount of your securities, and may be zero,
and (iii) the securities may be automatically called for redemption prior to maturity beginning on the first potential autocall
date specified below. Each of these risks will depend on the performance of the underlying specified below. Although you
will have downside exposure to the underlying, you will not receive dividends with respect to the underlying or participate
in any appreciation of the underlying.

Investors in the securities must be willing to accept (i) an investment that may have limited or no liquidity and (ii) the risk of
not receiving any payments due under the securities if we and Citigroup Inc. default on our obligations. All payments on
the securities are subj ect to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
KEY TERMS
Issuer:
Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
Guarantee:
All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
Underlying:
SPDR® S&P® Oil & Gas Exploration & Production ETF
Stated principal
$1,000 per security
amount:
Pricing date:
March 15, 2019
Issue date:
March 20, 2019
Valuation dates:
June 17, 2019, September 16, 2019, December 16, 2019, March 16, 2020, June 15, 2020,
September 15, 2020 , December 15, 2020, March 15, 2021, June 15, 2021, September 15, 2021,
December 15, 2021, March 15, 2022, June 15, 2022, September 15, 2022, December 15, 2022,
March 15, 2023, June 15, 2023, September 15, 2023, December 15, 2023 and March 15, 2024 (the
"final valuation date"), each subject to postponement if such date is not a scheduled trading day or
certain market disruption events occur
Maturity date:
Unless earlier redeemed, March 20, 2024
Contingent coupon
The fifth business day after each valuation date, except that the contingent coupon payment date
payment dates:
following the final valuation date will be the maturity date
Contingent coupon:
On each contingent coupon payment date, unless previously redeemed, the securities will pay a
contingent coupon equal to 3.45675% of the stated principal amount of the securities (equivalent to a
contingent coupon rate of at 13.827% per annum) if and only if the closing value of the underlying on
the immediately preceding valuation date is greater than or equal to the coupon barrier value. If the
closing v alue of the underlying on any v aluation date is less than the coupon barrier v alue, you
w ill not receiv e any contingent coupon payment on the immediately follow ing contingent coupon
payment date.
Payment at
If the securities are not automatically redeemed prior to maturity, you will receive at maturity for each
maturity:
security you then hold:
If the final underlying value is greater than or equal to the final barrier value:
$1,000 + the contingent coupon payment due at maturity
If the final underlying value is less than the final barrier value:
$1,000 + ($1,000 x the underlying return)
If the securities are not automatically redeemed prior to maturity and the final underlying v alue is
less than the final barrier v alue, you w ill receiv e significantly less than the stated principal
amount of your securities, and possibly nothing, at maturity, and you w ill not receiv e any
contingent coupon payment at maturity.
Initial underlying
$29.77, the closing value of the underlying on the pricing date
v alue:
Final underlying
The closing value of the underlying on the final valuation date
v alue:
Coupon barrier
$22.328, 75% of the initial underlying value
v alue:
Final barrier v alue:
$22.328, 75% of the initial underlying value
Listing:
The securities will not be listed on any securities exchange
Underw riter:
Citigroup Global Markets Inc. ("CGMI"), an affiliate of the issuer, acting as principal
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Underw riting fee and
Issue price(1)
Underw riting fee(2)
Proceeds to issuer
issue price:
Per security:
$1,000
--
$1,000
Total:
$3,565,000
--
$3,565,000
(Key Terms continued on next page)
(1) On the date of this pricing supplement, the estimated value of the securities is $988.90 per security, which is less than the
issue price. The estimated value of the securities is based on CGMI's proprietary pricing models and our internal funding rate.
It is not an indication of actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if any, at which CGMI
or any other person may be willing to buy the securities from you at any time after issuance. See "Valuation of the Securities" in
this pricing supplement.
(2) For more information on the distribution of the securities, see "Supplemental Plan of Distribution" in this pricing
supplement. 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 approv ed or disapprov ed of
the securities or determined that this pricing supplement and the accompanying product supplement, underlying
supplement, prospectus supplement and prospectus are truthful or complete. Any representation to the contrary is a
criminal offense.
You should read this pricing supplement together with the accompanying product supplement, underlying supplement,
prospectus supplement and prospectus, which can be accessed via the hyperlinks below:
Product Supplement No. EA-04-07 dated June 15, 2018
Underlying Supplement No. 7 dated July 16, 2018
Prospectus Supplement and Prospectus each dated April 7, 2017
The securities are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or
any other gov ernmental agency, nor are they obligations of, or guaranteed by, a bank.
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Citigroup Global Markets Holdings Inc.
KEY TERMS (continued)
Automatic early redemption:
If, on any potential autocall date, the closing value of the underlying is greater than or equal
to the initial underlying value, each security you then hold will be automatically called on
that potential autocall date for redemption on the immediately following contingent coupon
payment date for an amount in cash equal to $1,000 plus the related contingent coupon
payment. The automatic early redemption feature may significantly limit your potential
return on the securities. If the underlying performs in a w ay that w ould otherw ise be
fav orable, the securities are likely to be automatically called for redemption prior to
maturity, cutting short your opportunity to receiv e contingent coupon payments. The
securities may be automatically called for redemption as early as the first potential
autocall date specified below .
Potential autocall dates:
Each valuation date beginning in March 2020 and ending in December 2023
Underlying return:
(i) The final underlying value minus the initial underlying value, divided by (ii) the initial
underlying value
CUSIP / ISIN:
17326YNN2 / US17326YNN21
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 will 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. The accompanying underlying supplement contains information about the
underlying that is not repeated in this pricing supplement. It is important that you read the accompanying product supplement,
underlying supplement, prospectus supplement and prospectus together with this pricing supplement in deciding whether to
invest in the securities. Certain terms used but not defined in this pricing supplement are defined in the accompanying product
supplement.
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.
Hypothetical Examples
The examples in the first section below illustrate how to determine whether a contingent coupon will be paid and whether the
securities will be automatically called for redemption following a valuation date that is also a potential autocall date. The
examples in the second section below illustrate how to determine the payment at maturity on the securities, assuming the
securities are not automatically redeemed prior to maturity. The examples are solely for illustrative purposes, do not show all
possible outcomes and are not a prediction of any payment that may be made on the securities.
The examples below are based on the following hypothetical values and do not reflect the actual initial underlying value,
coupon barrier value or final barrier value. For the actual initial underlying value, coupon barrier value and final barrier value,
see the cover page of this pricing supplement. We have used these hypothetical values, rather than the actual values, to
simplify the calculations and aid understanding of how the securities work. However, you should understand that the actual
payments on the securities will be calculated based on the actual initial underlying value, coupon barrier value and final
barrier value, and not the hypothetical values indicated below.
Hypothetical initial underlying v alue:
$100
Hypothetical coupon barrier v alue:
$75 (75% of the hypothetical initial underlying value)
Hypothetical final barrier v alue:
$75 (75% of the hypothetical initial underlying value)
Hypothetical Examples of Contingent Coupon Payments and any Payment upon Automatic Early Redemption Following a
Valuation Date that is also a Potential Autocall Date
The hypothetical examples below illustrate how to determine whether a contingent coupon will be paid and whether the
securities will be automatically redeemed following a hypothetical valuation date that is also a potential autocall date,
assuming that the closing value of the underlying on the hypothetical valuation date is as indicated below.
PS-2
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Hypothetical closing v alue of underlying on hypothetical
Hypothetical payment per $1,000 security on
v aluation date
related contingent coupon payment date
$85
$34.5675
Example 1
(greater than coupon barrier value; less than initial
(contingent coupon is paid; securities not
underlying value)
redeemed)
$45
$0
Example 2
(less than coupon barrier value)
(no contingent coupon; securities not redeemed)
$110
$1,034.5675
Example 3
(greater than coupon barrier value and initial underlying
(contingent coupon is paid; securities redeemed)
value)
Example 1: On the hypothetical valuation date, the closing value of the underlying is greater than the coupon barrier value
but less than the initial underlying value. As a result, investors in the securities would receive the contingent coupon payment
on the related contingent coupon payment date and the securities would not be automatically redeemed.
Example 2: On the hypothetical valuation date, the closing value of the underlying is less than the coupon barrier value. As a
result, investors would not receive any payment on the related contingent coupon payment date and the securities would not
be automatically redeemed.
Inv estors in the securities w ill not receiv e a contingent coupon on the contingent coupon payment date follow ing a
v aluation date if the closing v alue of the underlying on that v aluation date is less than the coupon barrier v alue.
Example 3: On the hypothetical valuation date, the closing value of the underlying is greater than both the coupon barrier
value and the initial underlying value. As a result, the securities would be automatically redeemed on the related contingent
coupon payment date for an amount in cash equal to $1,000 plus the related contingent coupon payment.
If the valuation date were not also a potential autocall date, the securities would not be automatically redeemed on the
related contingent coupon payment date.
Hypothetical Examples of the Payment at Maturity on the Securities
The next hypothetical examples illustrate the calculation of the payment at maturity on the securities, assuming that the
securities have not been earlier automatically redeemed and that the final underlying value is as indicated below.
Hypothetical payment at maturity per $1,000
Hypothetical final underlying v alue
security
$130
Example 4
$1,034.5675
(greater than final barrier value)
$30
Example 5
$300
(less than final barrier value)
Example 4: The final underlying value is greater than the final barrier value. Accordingly, at maturity, you would receive the
stated principal amount of the securities plus the contingent coupon payment due at maturity, but you would not participate in
the appreciation of the underlying.
Example 5: The final underlying value is less than the final barrier value. Accordingly, at maturity, you would receive a
payment per security calculated as follows:
Payment at maturity = $1,000 + ($1,000 × the underlying return)
= $1,000 + ($1,000 × -70%)
= $1,000 + -$700
= $300
In this scenario, because the final underlying value is less than the final barrier value, you would lose a significant portion of
your investment in the securities. In addition, because the final underlying value is below the coupon barrier value, you would
not receive any contingent coupon payment at maturity.
It is possible that the closing v alue of the underlying w ill be less than the coupon barrier v alue on each v aluation date
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and less than the final barrier v alue on the final v aluation date, such that you w ill not receiv e any contingent coupon
payments ov er the term of the securities and w ill receiv e significantly less than the stated principal amount of your
securities, and possibly nothing, at maturity.
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 all of the risks associated with an investment in our conventional debt securities (guaranteed by Citigroup Inc.),
including the risk that we and Citigroup Inc. may default on our obligations under the securities, and are also subject to risks
associated with 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 following is a summary of certain key risk factors for investors in the securities. You should read this summary together with
the more detailed description of risks relating to an investment in the securities contained in the section "Risk Factors Relating
to the Securities" beginning on page EA-7 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.

You may lose a significant portion or all of your inv estment. Unlike conventional debt securities, the securities do not
provide for the repayment of the stated principal amount at maturity in all circumstances. If the securities are not
automatically redeemed prior to maturity, your payment at maturity will depend on the final underlying value of the
underlying. If the final underlying value is less than the final barrier value, you will lose 1% of the stated principal amount
of the securities for every 1% by which the underlying has declined from the initial underlying value. There is no
minimum payment at maturity on the securities, and you may lose up to all of your investment.

You w ill not receiv e any contingent coupon on the contingent coupon payment date follow ing any v aluation date on
w hich the closing v alue of the underlying is less than the coupon barrier v alue. A contingent coupon payment will be
made on a contingent coupon payment date if and only if the closing value of the underlying on the immediately
preceding valuation date is greater than or equal to the coupon barrier value. If the closing value of the underlying on any
valuation date is less than the coupon barrier value, you will not receive any contingent coupon payment on the
immediately following contingent coupon payment date. If the closing value of the underlying on each valuation date is
below the coupon barrier value, you will not receive any contingent coupon payments over the term of the securities.

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

You may not be adequately compensated for assuming the dow nside risk of the underlying. The potential contingent
coupon payments on the securities are the compensation you receive for assuming the downside risk of the underlying, as
well as all the other risks of the securities. That compensation is effectively "at risk" and may, therefore, be less than you
currently anticipate. First, the actual yield you realize on the securities could be lower than you anticipate because the
coupon is "contingent" and you may not receive a contingent coupon payment on one or more, or any, of the contingent
coupon payment dates. Second, the contingent coupon payments are the compensation you receive not only for the
downside risk of the underlying, but also for all of the other risks of the securities, including the risk that the securities may
be automatically redeemed prior to maturity, interest rate risk and our and Citigroup Inc.'s credit risk. If those other risks
increase or are otherwise greater than you currently anticipate, the contingent coupon payments may turn out to be
inadequate to compensate you for all the risks of the securities, including the downside risk of the underlying.

The securities may be automatically redeemed prior to maturity, limiting your opportunity to receiv e contingent
coupon payments. On any potential autocall date, the securities will be automatically called for redemption if the closing
value of the underlying on that potential autocall date is greater than or equal to the initial underlying value. As a result,
if the underlying performs in a way that would otherwise be favorable, the securities are likely to be automatically
redeemed, cutting short your opportunity to receive contingent coupon payments. If the securities are automatically
redeemed 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.
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The securities offer dow nside exposure to the underlying, but no upside exposure to the underlying. You will not
participate in any appreciation in the value of the underlying over the term of the securities. Consequently, your return on
the securities will be limited to the contingent coupon payments you receive, if any, and may be significantly less than the
return on the underlying over the term of the securities.
PS-4
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You w ill not receiv e div idends or hav e any other rights w ith respect to the underlying. You will not receive any
dividends with respect to the underlying. 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 such lost dividend yield over the term of
the securities. In addition, you will not have voting rights or any other rights with respect to the underlying or the stocks
included in the underlying.

The performance of the securities w ill depend on the closing v alue of the underlying solely on the v aluation dates,
w hich makes the securities particularly sensitiv e to v olatility of the closing v alue of the underlying. Whether the
contingent coupon will be paid on any given contingent coupon payment date and whether the securities will be
automatically redeemed prior to maturity will depend on the closing value of the underlying solely on the applicable
valuation dates, regardless of the closing value of the underlying on other days during the term of the securities. If the
securities are not automatically redeemed prior to maturity, what you receive at maturity will depend solely on the closing
value of the underlying on the final valuation date, and not on any other day during the term of the securities. Because
the performance of the securities depends on the closing value of the underlying on a limited number of dates, the
securities will be particularly sensitive to volatility of the closing value of the underlying. You should understand that the
closing value of the underlying has historically been highly volatile.

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

The securities w ill not be listed on any securities exchange and you may not be able to sell them prior to maturity.
The securities will 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 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 securities 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 securities because it is likely that CGMI will be the only
broker-dealer that is willing to buy your securities prior to maturity. Accordingly, an investor must be prepared to hold the
securities until maturity.

The estimated v alue 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 selling,
structuring and hedging the securities that are included in the issue price. These costs include (i) any selling concessions or
other fees paid in connection with the offering of the securities, (ii) hedging and other costs incurred by us and our
affiliates in connection with the offering of the securities 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 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 v alue of the securities w as 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 willing to hold
the securities to maturity irrespective of the initial estimated value.

The estimated v alue of the securities w ould be low er if it w ere 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 willing to borrow funds through the issuance of the securities. 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
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
generally 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.
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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 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
PS-5
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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 v alue of the securities is not an indication of the price, if any, at w hich CGMI or any other person may
be w illing to buy the securities from you in the secondary market. Any such secondary market price will 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 will be based on our secondary market rate, which will 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 will 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 will be less than the issue price.

The v alue of the securities prior to maturity w ill fluctuate based on many unpredictable factors. The value of your
securities prior to maturity will 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 generally, 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 All Securities--The value of your securities prior to maturity will
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 follow ing issuance, any secondary market bid price prov ided by CGMI, and the v alue that w ill be
indicated on any brokerage account statements prepared by CGMI or its affiliates, w ill reflect a temporary upw ard
adj ustment. The amount of this temporary upward adjustment will steadily decline to zero over the temporary adjustment
period. See "Valuation of the Securities" in this pricing supplement.

The SPDR® S&P® Oil & Gas Exploration & Production ETF is subj ect to concentrated risks associated w ith the oil and
gas exploration and production industry. The stocks included in the index underlying the SPDR® S&P® Oil & Gas
Exploration & Production ETF and that are generally tracked by the SPDR® S&P® Oil & Gas Exploration & Production
ETF are stocks of companies whose primary business is associated with the exploration and production of oil and gas. The
oil and gas industry is significantly affected by a number of factors that influence worldwide economic conditions and oil
prices, such as natural disasters, supply disruptions, geopolitical events and other factors that may offset or magnify each
other, including:
o
employment levels and job growth;
o
worldwide and domestic supplies of, and demand for, oil and gas;
o
the cost of exploring for, developing, producing, refining and marketing oil and gas;
o
consumer confidence;
o
changes in weather patterns and climatic changes;
o
the ability of the members of Organization of Petroleum Exporting Countries and other oil and gas producing
nations to agree to and maintain production levels;
o
the price and availability of alternative and competing fuels;
o
domestic and foreign governmental regulations and taxes;
o
the worldwide military and political environment, uncertainty or instability resulting from an escalation or
additional outbreak of armed hostilities or further acts of terrorism in the United States, or elsewhere; and
o
general economic conditions worldwide.
These or other factors or the absence of such factors could cause a downturn in the oil and natural gas industries generally
or regionally and could cause the value of the underlying shares of the SPDR® S&P® Oil & Gas Exploration & Production
ETF to decline during the term of the securities.

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
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