Obligation Citi Global Markets 0% ( US17327TMF02 ) en USD

Citi Global Markets

100 % ▼

Etas-Unis

US17327TMF02 ( en USD )

22/12/2022 - Obligation échue

Prospectus brochure de l'obligation Citigroup Global Markets Holdings US17327TMF02 en USD 0%, échue

1 000 USD

433 000 USD

17327TMF0

N/A

A2 ( Qualité moyenne supérieure )

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 US17327TMF02, paye un coupon de 0% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 22/12/2022

L'Obligation émise par Citi Global Markets ( Etas-Unis ) , en USD, avec le code ISIN US17327TMF02, a été notée A2 ( Qualité moyenne supérieure ) par l'agence de notation Moody's.

424B2 1 dp118043_424b2-us1984389.htm PRICING SUPPLEMENT
Citigroup Global Markets Holdings Inc.
De c e m be r 1 9 , 2 0 1 9
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 1 9 -U SN CH 3 2 2 4
File d Pursua nt t o Rule 4 2 4 (b)(2 )
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
Market-Linked Notes Based on the Citi Dynamic Asset Selector 5 Excess Return Index Due December 22,
2022
Ove rvie w
? The notes offered by this pricing supplement are unsecured senior debt securities issued by Citigroup Global Markets Holdings
Inc. and guaranteed by Citigroup Inc. Unlike conventional debt securities, the notes do not pay interest. Instead, the notes offer
the potential for a positive return at maturity based on the performance of the Citi Dynamic Asset Selector 5 Excess Return Index
(the "Index") from the initial index level to the final index level.
? If the Index appreciates from the initial index level to the final index level, you will receive a positive return at maturity equal to
that appreciation multiplied by the upside participation rate specified below. However, if the Index remains the same or
depreciates, you will be repaid the stated principal amount of your notes at maturity but will not receive any return on your
investment. The notes are designed for investors who are willing to forgo interest on the notes and accept the risk of not
receiving any return on the notes in exchange for the possibility of a positive return at maturity based on the performance of the
Index. Even if the Index appreciates from the initial index level to the final index level, so that you do receive a positive return at
maturity, there is no assurance that your total return at maturity on the notes will compensate you for the effects of inflation or be
as great as the yield you could have achieved on a conventional debt security of ours of comparable maturity.
? In order to obtain the exposure to the Index that the notes provide, 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.
I nde x :
The Citi Dynamic Asset Selector 5 Excess Return Index (ticker symbol: "CIISDA5N")
Aggre ga t e st a t e d princ ipa l
$433,000
a m ount :
St a t e d princ ipa l a m ount :
$1,000 per note
Pric ing da t e :
December 19, 2019
I ssue da t e :
December 24, 2019. See "Supplemental Plan of Distribution" in this pricing supplement for
more additional information.
V a lua t ion da t e :
December 19, 2022, subject to postponement if such date is not an index scheduled trading
day
M a t urit y da t e :
December 22, 2022
Pa ym e nt a t m a t urit y:
For each note you hold at maturity, the $1,000 stated principal amount plus the note return
amount, which will be either zero or positive
N ot e re t urn a m ount :
? If the final index level is gre a t e r t ha n the initial index level:
$1,000 × the index return × upside participation rate
? If the final index level is le ss t ha n or e qua l t o the initial index level:
$0
I nit ia l inde x le ve l:
222.42, the closing level of the Index on the pricing date
Fina l inde x le ve l:
The closing level of the Index on the valuation date
I nde x re t urn:
The percentage change in the closing level of the Index from the pricing date to the valuation
date, calculated as follows: (i) final index level minus initial index level, divided by (ii) initial
index level
U pside pa rt ic ipa t ion ra t e :
100%
List ing:
The notes will not be listed on any securities exchange
CU SI P / I SI N :
17327TMF0 / US17327TMF02
U nde rw rit e r:
Citigroup Global Markets Inc. ("CGMI"), an affiliate of the issuer, acting as principal
U nde rw rit ing fe e a nd issue
I ssue pric e (1)
U nde rw rit ing fe e (2)
Proc e e ds t o issue r
pric e :
Pe r not e :
$1,000
$25
$975
T ot a l:
$433,000
$10,825
$422,175
(1) On the date of this pricing supplement, the estimated value of the notes is $955.40 per note, which is less than the issue price. The
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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 -6 .
N e it he r t he Se c urit ie s a nd Ex c ha nge Com m ission (t he "SEC") nor a ny st a t e se c urit ie s c om m ission ha s
a pprove d or disa pprove d of t he 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
inde x supple m e nt , prospe c t us supple m e nt a nd prospe c t us is 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 index supplement, prospectus supplement and
prospectus, each of which can be accessed via the hyperlinks below:
I nde x Supple m e nt N o. I S -0 2 -0 2 da t e d April 3 , 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.

Additional Information

This pricing supplement is intended to be read together with the accompanying index supplement, prospectus supplement and
prospectus, which are available via the hyperlinks on the cover page of this pricing supplement. The accompanying index
supplement, prospectus supplement and prospectus contain important information that is not included in this pricing supplement,
including:

·
a more detailed description of the Index, beginning on page IS-24 of the accompanying index supplement;

·
more detailed risk factors relating to the Index, beginning on page IS-8 of the accompanying index supplement;

·
the Index rules that govern the calculation of the Index, beginning on page IS-58 of the accompanying index supplement;

·
general terms of the notes, including terms relating to the potential postponement of the valuation date and the maturity
date upon the occurrence of a market disruption event and terms specifying the consequences of the discontinuance of the
Index, beginning on page IS-19 of the accompanying index supplement;

·
considerations for certain employee benefit plans or investors that are investing with assets of such plans, beginning on
page IS-41 of the accompanying index supplement; and

·
descriptions of the constituents of the Index, beginning on page IS-50 of the accompanying index supplement.

Certain terms used but not defined in this pricing supplement are defined in the accompanying index supplement.

Summary Index Description

The Index is published by Citigroup Global Markets Limited (the "I nde x Adm inist ra t or"), which is an affiliate of ours. The Index
tracks the hypothetical performance of a rules-based investment methodology that, on each Index Business Day, seeks to identify
current U.S. equity market conditions as falling within one of four possible "M a rk e t Re gim e s " based on trend and volatility
signals (the "Signa ls"). Depending on the identified Market Regime, Index exposure is allocated to one of three possible
hypothetical investment "Port folios", each consisting of varying degrees of exposure to the following two "Const it ue nt s":

Asse t
Const it ue nt
T ic k e r
U nde rlying Re fe re nc e M a rk e t
Cla ss
Fut ure s
Asse t
Se c t or
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Cont ra c t
Equit y
S&P 500 Futures Excess Return Index (the "U .S. Equit y
SPXFP<Index>
E-mini S&P
S&P 500®
U.S.
fut ure s
Fut ure s Const it ue nt ")
500 Futures
Index
large-cap
equities
Fix e d
S&P 10-Year U.S. Treasury Note Futures Excess Return SPUSTTP<Index> 10-Year U.S.
10-Year
U.S. 10-
inc om e
Index (the "U .S. T re a sury Fut ure s Const it ue nt ")
Treasury Note
U.S.
year
fut ure s
Futures
Treasury
treasuries
Notes

The U.S. Equity Futures Constituent tracks the performance of a hypothetical investment, rolled quarterly, in the nearest-to-
expiration E-mini S&P 500 futures contract, which provides exposure to U.S. large-cap equities. The U.S. Treasury Futures
Constituent tracks the performance of a hypothetical investment, rolled quarterly, in the nearest-to-expiration 10-Year U.S.
Treasury Note futures contract, which provides exposure to U.S. Treasury notes with a remaining maturity of at least 6.5 years and
an original maturity not exceeding 10 years (all of which are referred to collectively as "1 0 -Y e a r U .S. T re a sury N ot e s").
Because each Constituent is a futures-based index, the performance of each Constituent is expected to reflect not only the
performance of its underlying Reference Asset (as indicated in the table above), but also the implicit cost of a financed position in
that Reference Asset, which will reduce the performance of each Constituent. See "Descriptions of the Constituents" in the
accompanying Index Supplement for more information.

The Index relies on backward-looking trend and volatility Signals to determine which Market Regime is currently in effect and, in
turn, which Portfolio to track until there is a change in the Market Regime (the Portfolio tracked at any time being referred to as the
"Se le c t e d Port folio" at that time). On each Index Business Day, the Index calculates:

·
The trend of the performance of the U.S. Equity Futures Constituent over a look-back period of 21 Index Business Days,
measured by the linear regression methodology described in the accompanying Index Supplement (the "T re nd Signa l").
The Trend Signal will be either "upward" or "downward".

·
The realized volatility of the U.S. Equity Futures Constituent over a look-back period of 63 Index Business Days (the
"V ola t ilit y Signa l ").

PS-2
Citigroup Global Markets Holdings Inc.

The following table indicates the Market Regime that will be identified for each possible combination of the Signals and, for each
Market Regime, the corresponding Portfolio that will be selected as the Selected Portfolio to be tracked by the Index until there is a
change in the Market Regime.

Signa ls
M a rk e t Re gim e
Se le c t e d Port folio (c onsist ing of t he
Const it ue nt s w it h t he pe rc e nt a ge w e ight s
indic a t e d be low )
Trend Signal: Upw ard
Equit y-Foc use d Port folio
Volatility Signal: Less than or equal to
St a ble -T re nding U p
U.S. Equity Futures Constituent: 66.66%
1 5 %
U.S. Treasury Futures Constituent: 33.33%
Trend Signal: Upw ard
U nst a ble -T re nding U p
Volatility Signal: Greater than 15%
I nt e rm e dia t e Port folio
U.S. Equity Futures Constituent: 33.33%
Trend Signal: Dow nw ard
U.S. Treasury Futures Constituent: 66.66%
St a ble -T re nding
Volatility Signal: Less than or equal to
Dow n
1 5 %
Trend Signal: Dow nw ard
T re a sury Port folio
U nst a ble -T re nding
U.S. Equity Futures Constituent: 0.00%
Volatility Signal: Greater than 15%
Dow n
U.S. Treasury Futures Constituent: 100.00%
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Once a Selected Portfolio has been selected, the Index will continue to have exposure to that Selected Portfolio until the Signals
indicate that there has been a change in the Market Regime, at which point the Index exposure will be allocated to a different
Selected Portfolio. However, if the Trend Signal fails to meet a test of statistical significance, then a change in the Market Regime
will not occur and the Selected Portfolio will not change even if the Signals would otherwise call for a change. This test of statistical
significance is described in more detail in the accompanying Index Supplement.

The Index includes a volatility-targeting feature, pursuant to which the Index may reduce its exposure to the Selected Portfolio if
necessary in an attempt to maintain a volatility target of 5%. On any Index Business Day, if the realized volatility of the current
Selected Portfolio was greater than 5% over a look-back period of 21 Index Business Days, the Index will have less than 100%
exposure to the Selected Portfolio. The difference between 100% and the exposure that the Index has to the Selected Portfolio will
be hypothetically allocated to cash and will accrue no interest or other return.

The performance of the Index will be reduced by an index fee of 0.85% per annum.

This section contains only a summary description of the Index and does not describe all of its important features in detail. Before
investing in the notes, you should carefully review the more detailed description of the Index contained in the section "Description
of the Citi Dynamic Asset Selector 5 Excess Return Index" in the accompanying Index Supplement.

The Index is subject to important risks, including the following:

·
The Index is a trend-following index and is subject to the limitations inherent in all trend-following methodologies, including
the fact that past performance is no guarantee of future performance. Furthermore, the Index's trend-following methodology
may be unsuccessful even if past trends do prove to be indicative of future performance, because the Trend Signal may
not accurately capture the trend or the Index may not change its Selected Portfolio quickly enough in response to changes
in the Market Regime.

·
Each Constituent is a futures-based index and is therefore expected to reflect the implicit cost of a financed position in its
Reference Asset. This implicit financing cost will adversely affect the level of each Constituent and cause each Constituent
to underperform its Reference Asset. Any increase in market interest rates will be expected to increase this implicit
financing cost and will further adversely affect the performance of the Constituents and, therefore, the performance of the
Index.

·
The Index rules limit the exposure the Index may have to the U.S. Equity Futures Constituent and, as a result, the Index is
likely to significantly underperform equities in rising equity markets.

·
The Index will have significant exposure to the U.S. Treasury Futures Constituent, which has limited return potential and
significant downside potential, particularly in times of rising interest rates.

PS-3
Citigroup Global Markets Holdings Inc.

·
The volatility-targeting feature significantly reduces the potential for Index gains. At any time when the Index has less than
100% exposure to the Selected Portfolio, the Index will participate in only a limited degree of the performance of the
Selected Portfolio.

·
The performance of the Index will be reduced by an index fee. The index fee will place a drag on the performance of the
Index, offsetting any appreciation of the Selected Portfolio, exacerbating any depreciation of the Selected Portfolio and
causing the level of the Index to decline steadily if the value of the Selected Portfolio remains relatively constant.

·
The Index was launched on June 13, 2016 and, therefore, has a limited performance history.

For more information about the important risks affecting the Index, you should carefully read the section "Summary Risk Factors--
Key Risks Relating to the Index" in this pricing supplement and "Key Risks Relating to the Index" in the accompanying Index
Supplement.

The Selected Portfolio is a hypothetical investment portfolio. There is no actual portfolio of assets to which any investor is entitled or
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in which any investor has any ownership or other interest. The Index is merely a mathematical calculation that is performed by
reference to hypothetical positions in the Constituents.

PS-4
Citigroup Global Markets Holdings Inc.

Payout Diagram

The diagram below illustrates your payment at maturity for a range of hypothetical index returns.

M a rk e t -Link e d N ot e s
Pa ym e nt a t M a t urit y Dia gra m

Hypothetical Examples

The examples below illustrate how to determine the payment at maturity on the notes, assuming the various hypothetical final index
levels indicated below. The examples are solely for illustrative purposes, do not show all possible outcomes and are not a
prediction of what the actual payment at maturity on the notes will be. The actual payment at maturity will depend on the actual
final index level.

The examples below are based on a hypothetical initial index level of 100 and do not reflect the actual initial index level. For the
actual initial index level, see the cover page of this pricing supplement. We have used this hypothetical level, rather than the actual
level, to simplify the calculations and aid understanding of how the notes work. However, you should understand that the actual
payment at maturity on the notes will be calculated based on the actual initial index level, and not the hypothetical level indicated
below.

Ex a m ple 1 --U pside Sc e na rio. The final index level is 110 (a 10% increase from the initial index level), which is gre a t e r
t ha n the initial index level.

Payment at maturity per note = $1,000 + the note return amount
= $1,000 + ($1,000 × the index return × the upside participation rate)
= $1,000 + ($1,000 × 10% × 100%)
= $1,000 + $100
= $1,100

Because the Index appreciated by 10% from the initial index level to the final index level, your total return at maturity in this
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scenario would be 10%.

Ex a m ple 2 --Pa r Sc e na rio. The final index level is 90 (a 10% decrease from the initial index level), which is le ss t ha n the
initial index level.

Payment at maturity per note = $1,000 + the note return amount
= $1,000 + $0
= $1,000

Because the Index depreciated from the initial index level to the final index level, the payment at maturity per note would equal the
$1,000 stated principal amount per note and you would not receive any positive return on your investment.

PS-5
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 the Index.
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 IS-8 in the accompanying index 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.

K e y Risk s Re la t ing t o t he N ot e s

?
Y ou m a y not re c e ive a ny re t urn on your inve st m e nt in t he not e s. You will receive a positive return on your
investment in the notes only if the Index appreciates from the initial index level to the final index level. If the final index level is
equal to or less than the initial index level, you will receive only the stated principal amount of $1,000 for each note you hold at
maturity. As the notes do not pay any interest, even if the Index appreciates from the initial index level to the final index level,
there is no assurance that your total return at maturity on the notes will be as great as could have been achieved on
conventional debt securities of ours of comparable maturity.

?
T he not e s do not pa y int e re st . Unlike conventional debt securities, the notes do not pay interest or any other amounts
prior to maturity. You should not invest in the notes if you seek current income during the term of the notes.

?
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 re a l va lue t e rm s if t he I nde x de c line s or doe s not
a ppre c ia t e suffic ie nt ly from t he init ia l inde x le ve l t o t he fina l inde x le ve l. 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. This
potential loss in real value terms is significant given the term of the notes. 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.

?
Y our pa ym e nt a t m a t urit y de pe nds on t he c losing le ve l of t he I nde x on a single da y. Because your payment
at maturity depends on the closing level of the Index solely on the valuation date, you are subject to the risk that the closing
level of the Index on that day may be lower, and possibly significantly lower, than on one or more other dates during the term
of the notes. If you had invested in another instrument linked to the Index that you could sell for full value at a time selected by
you, or if the payment at maturity were based on an average of closing levels of the Index, you might have achieved better
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returns.

?
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.

?
Be c a use t he not e s provide for re pa ym e nt of t he princ ipa l a m ount a t m a t urit y re ga rdle ss of t he
pe rform a nc e of t he I nde x , you m a y not re c e ive a m e a ningful inc re m e nt a l be ne fit from t he I nde x 's
vola t ilit y -t a rge t ing fe a t ure e ve n t hough you w ill be subje c t t o it s signific a nt dra w ba c k s. One potential
benefit of the Index's volatility-targeting feature is that it may reduce the potential for large Index declines in volatile equity
markets. However, that reduced potential for large Index declines comes at a price: as discussed in more detail below, the
volatility-targeting feature is likely to significantly reduce the potential for Index gains

PS-6
Citigroup Global Markets Holdings Inc.

in rising equity markets. Because the notes provide for repayment of the principal amount at maturity even if the Index
experiences a large decline, any reduced potential for large Index declines resulting from the volatility-targeting feature may not
provide a meaningful incremental benefit to an investor in the notes. Investors in the notes will, however, be fully subject to the
drawbacks of the volatility-targeting feature, in the form of the reduced participation in rising equity markets and the other risks
described below under "--Key Risks Relating to the Index". As a result, you should understand that any benefit you receive
from the Index's volatility-targeting feature may be outweighed by its drawbacks.

?
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) any selling concessions or
other fees 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 Index 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 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.
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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 an interest rate that we will pay to investors in the notes, which do not bear interest.

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.

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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.

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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 Index and a number of other factors, including
general market interest rates, 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 level of the Index 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.

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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.

PS-7
Citigroup Global Markets Holdings Inc.

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Our a ffilia t e s m a y ha ve publishe d re se a rc h, e x pre sse d opinions or provide d re c om m e nda t ions t ha t a re
inc onsist e nt w it h inve st ing in t he not e s a nd m a y do so in t he fut ure , a nd a ny suc h re se a rc h, opinions or
re c om m e nda t ions c ould a dve rse ly a ffe c t t he le ve l of t he I nde x . CGMI and other of our affiliates may publish
research from time to time relating to the financial markets, any of the Constituents of the Index or the hypothetical investment
methodology of the Index. Any research, opinions or recommendations provided by CGMI may influence the level of any
Constituent, and they may be inconsistent with purchasing or holding the notes. CGMI and other of our affiliates may have
published or may publish research or other opinions that call into question the investment view implicit in an investment in the
notes. Any research, opinions or recommendations expressed by such affiliates of ours may not be consistent with each other
and may be modified from time to time without notice. Investors should make their own independent investigation of the
constituents of the Index, the Index itself and the merits of investing in the notes.

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T he le ve l of a Const it ue nt or of t he I nde x m a y be 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. In connection with the sale of the notes, we have hedged our obligations under the notes directly or
through one of our affiliates, which involves taking positions directly in the futures contracts underlying the Constituents of the
Index or other instruments that may affect the levels of the Constituents. We or our counterparties may also adjust this hedge
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during the term of the notes and close out or unwind this hedge on or before the valuation date, which may involve, among
other things, us or our counterparties purchasing or selling such futures contracts or other instruments. This hedging activity on
or prior to the pricing date could potentially affect the levels of the Constituents on the pricing date and, accordingly, potentially
increase the initial index level, which may adversely affect your return on the notes. Additionally, this hedging activity during
the term of the notes, including on or near the valuation date, could negatively affect the level of the Index and, therefore,
adversely affect your payment at maturity on the notes. This hedging activity may present a conflict of interest between your
interests as a holder of the notes and the interests we and/or our counterparties, which may be our affiliates, have in
executing, maintaining and adjusting hedging transactions. These hedging activities could also affect the price, if any, at which
CGMI or, if applicable, any other entity may be willing to purchase your notes in a secondary market transaction.
We and our affiliates may also trade the futures contracts underlying the Constituents and/or other instruments that may affect
the levels of the Constituents on a regular basis (taking long or short positions or both), for our or their accounts, for other
accounts under management or to facilitate transactions, including block transactions, on behalf of customers. As with our or
our affiliates' hedging activity, this trading activity could affect the levels of the Constituents on the valuation date and,
therefore, adversely affect the performance of the Index and the notes.
It is possible that these hedging or trading activities could result in substantial returns for us or our affiliates while the value of
the notes declines.

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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 t hose of t he holde rs of t he not e s
a s a re sult of our or our a ffilia t e s' busine ss a c t ivit ie s. We or our affiliates may currently or from time to time engage
in business with the issuers of the stocks that constitute the Reference Asset of the U.S. Equity Futures Constituent, 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. We do not make
any representation or warranty to any purchaser of the notes with respect to any matters whatsoever relating to our or our
affiliates' business with any such issuer. Moreover, if we or any of our affiliates are or become a creditor of any such issuer or
otherwise enter into any transaction with any such issuer in the regular course of business, we or such affiliate may exercise
any remedies against such issuer that are available to them without regard to the impact on your interests as a holder of the
notes.

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T he not e s 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, CGMI, as notes calculation agent, will be required to make discretionary
judgments that could significantly affect your payment at maturity. In making these judgments, the notes calculation agent's
interests as an affiliate of ours could be adverse to your interests as a holder of the notes. Such judgments could include,
among other things:

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determining whether a market disruption event exists on the valuation date with respect to any Constituent then included in
the Index;

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if the Index Level is not published by the Index Calculation Agent or if a market disruption event exists with respect to any
Constituent then included in the Index on the valuation date, determining the closing level of the Index with respect to that
date, which may require us to make a good faith estimate of the closing level of one or both Constituents if the market
disruption event is continuing on the Backstop Date; and

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selecting a Successor Index or performing an alternative calculation of the closing level of the Index if the Index is
discontinued.

Any of these determinations made by our affiliate, in its capacity as notes calculation agent, may adversely affect any payment
owed to you under the notes.

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Disc ont inua nc e of t he I nde x c ould a dve rse ly a ffe c t t he va lue of t he not e s. T he I nde x Adm inist ra t or is
not re quire d t o publish t he I nde x t hroughout t he t e rm of t he not e s. The Index Administrator may determine to
discontinue the Index, among

PS-8
Citigroup Global Markets Holdings Inc.

other reasons, as a result of the occurrence of a material Regulatory Event. See "Description of the Citi Dynamic Asset
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Selector 5 Excess Return Index" in the accompanying index supplement for more information. If the Index is discontinued, the
notes calculation agent will have the sole discretion to substitute a successor index that is comparable to the discontinued
Index and is not precluded from considering other indices that are calculated and published by the notes calculation agent or
any of its affiliates. Any such successor index may not perform favorably.

If the notes calculation agent does not select a successor index, then the closing level of the Index will be calculated from and
after the time of discontinuance based solely on the Selected Portfolio tracked by the Index at the time of discontinuance,
without any rebalancing after such discontinuance even if there is a change in the Market Regime. In such an event, the
substitute level that is used as the closing level of the Index will cease to reflect the Index's portfolio selection methodology and
instead will track the performance of a fixed portfolio of notional assets, which will consist of the Selected Portfolio tracked by
the Index (or the Selected Portfolio that would have been tracked by the Index but for the event that resulted in such
discontinuance of the Index) immediately prior to such discontinuance. That level may perform unfavorably after the
discontinuance. For example, if the Selected Portfolio at the time of discontinuance is the Treasury Portfolio, the substitute
closing level of the Index will reflect only the performance of the treasury portfolio thereafter and will not reflect any exposure to
the U.S. Equity Futures Constituent even if there is a bull market in equities. Alternatively, if the Selected Portfolio at the time
of discontinuance is the Equity-Focused Portfolio, the substitute closing level of the Index will reflect significant exposure to
equities thereafter even if there is a significant equity market decline. In such an event, even though the Index will no longer
apply its portfolio selection methodology, the index fee will continue to be deducted.

K e y Risk s Re la t ing t o t he I nde x

The following is a summary of key risks relating to the Index. The summary below should be read together with the more detailed
risk factors relating to the Index described in "Risk Factors Relating to the Notes" in the accompanying index supplement. The
following discussion of risks should also be read together with the section "Description of the Citi Dynamic Asset Selector 5 Excess
Return Index" in the accompanying index supplement, which defines and further describes a number of the terms and concepts
referred to below.

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T he I nde x m a y not be suc c e ssful a nd m a y unde rpe rform a lt e rna t ive inve st m e nt st ra t e gie s. There can be
no assurance that the Index will achieve positive returns. The Index tracks the hypothetical performance of a rules-based
investment methodology that, based on signals, selects a hypothetical investment Portfolio (the Selected Portfolio) to track until
the signals determine that a change in U.S. equity market conditions (or Market Regimes) has occurred. The performance of
the Index over that period will depend on the performance of the Selected Portfolio over that time period, minus the index fee
and subject to the Index's volatility-targeting feature, all as more fully described in the accompanying index supplement. In
general, if the Selected Portfolio appreciates over that period by more than the index fee, the level of the Index will increase,
and if the Selected Portfolio depreciates over that period or appreciates by less than the index fee, the level of the Index will
decrease. The performance of the Index may be less favorable than alternative investment strategies that could have been
implemented, including an investment in a passive index fund.

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T he I nde x 's Signa l -ba se d a lloc a t ion m e t hodology ha s signific a nt lim it a t ions. The Index will allocate exposure
to the U.S. Equity Futures Constituent and/or the U.S. Treasury Futures Constituent based on two backward-looking Signals
measured on each Index Business Day: one based on the trend of the performance of the U.S. Equity Futures Constituent,
measured by the linear regression methodology described in the accompanying index supplement, over a look-back period of
21 Index Business Days (the Trend Signal) and one based on the realized volatility of the U.S. Equity Futures Constituent over
a look-back period of 63 Index Business Days (the Volatility Signal). Based on these Signals, the Portfolio tracked by the Index
during any given period (the Selected Portfolio for that period) will be the Equity-Focused Portfolio, the Treasury Portfolio or
the Intermediate Portfolio, each of which has a predetermined degree of exposure to the U.S. Treasury Futures Constituent
and/or the U.S. Equity Futures Constituent.

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Lim it a t ions of t he T re nd Signa l. The Index's allocation methodology is premised on the assumption that, on an Index
Business Day, the Trend Signal may provide an accurate indicator of the performance of the U.S. Equity Futures Constituent
until the next Change in Market Regime (i.e., when the Signals indicate that another Selected Portfolio should be selected). In
other words, the methodology assumes that the U.S. Equity Futures Constituent is likely to appreciate until the next Change in
Market Regime if there is an upward Trend Signal. There is no guarantee that this will be the case, however. The Trend Signal
is subject to a number of important limitations, including the following:

Pa st pe rform a nc e m a y not pre dic t fut ure pe rform a nc e . On any given Index Business Day, the fact that the
U.S. Equity Futures Constituent may have performed favorably over the prior 21 Index Business Days (approximately
one month) does not necessarily mean that it will continue to perform favorably going forward. Future market conditions
may differ from past market conditions, and the conditions that may have caused the favorable performance over the
prior month may no longer exist.
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