Obligation Citi Global Markets 0% ( US17327TNB88 ) en USD

Citi Global Markets

100 % ⇌

Etas-Unis

US17327TNB88 ( en USD )

21/09/2022 - Obligation échue

Prospectus brochure de l'obligation Citigroup Global Markets Holdings US17327TNB88 en USD 0%, échue

1 000 USD

1 050 000 USD

17327TNB8

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 US17327TNB88, paye un coupon de 0% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 21/09/2022

L'Obligation émise par Citi Global Markets ( Etas-Unis ) , en USD, avec le code ISIN US17327TNB88, a été notée NR par l'agence de notation Moody's.

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424B2 1 dp112915_424b2-us1977996.htm PRICING SUPPLEMENT
Citigroup Global Markets Holdings Inc.
September 16, 2019
Medium-Term Senior Notes, Series N
Pricing Supplement No. 2019-USNCH2809
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-224495 and 333-
224495-03
Market-Linked Notes Linked to the Worst Performing of the S&P 500® Index and the Russel 2000® Index Due
September 21, 2022
Overview
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 and do not guarantee the full
repayment of principal at maturity. Instead, the notes offer the potential for a return at maturity based on the performance of the worst
performing of the underlying indices specified below from its initial index level to its final index level.
If the worst performing underlying index appreciates from its initial index level to its final index level, you will receive a positive return
at maturity equal to that appreciation multiplied by the upside participation rate, subject to the maximum return at maturity specified
below. However, if the worst performing underlying index depreciates from its initial index level to its final index level, you will incur a
loss at maturity equal to that depreciation, subject to a maximum loss of 5% of the stated principal amount. Even if the worst
performing underlying index appreciates from its initial index level to its 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 exchange for the capped loss potential if the worst performing underlying index depreciates, investors in the notes must be willing
to forgo (i) any return on the notes in excess of the maximum return at maturity and (ii) any dividends that may be paid on the stocks
that constitute either underlying index during the term of the notes. If the worst performing underlying index does not appreciate
from its initial index level to its final index level, you will not receive any return on your investment in the notes, and you
may lose up to 5% of your investment.
Your return on the notes will depend solely on the performance of the worst performing underlying index. You will not benefit in any
way from the performance of the better performing underlying index. You may incur a loss on your investment in the notes if either
underlying index performs poorly, even if the other performs favorably.
In order to obtain the modified exposure to the worst performing underlying 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 payments on the notes are subject 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 notes are fully and unconditionally guaranteed by Citigroup Inc.
Underlying indices:
Underlying index
Initial index level*

S&P 500® Index (ticker symbol: "SPX")
2,997.96

Russell 2000® Index (ticker symbol: "RTY")
1,584.597

* For each underlying, its closing level on the pricing date
Aggregate stated principal
$1,050,000
amount:
Stated principal amount:
$1,000 per note
Pricing date:
September 16, 2019
Issue date:
September 19, 2019
Valuation date:
September 16, 2022, subject to postponement if such date is not a scheduled trading day or if
certain market disruption events occur
Maturity date:
September 21, 2022
Payment at maturity:
For each $1,000 stated principal amount note you hold at maturity, you will receive an amount in
cash determined as follows:
If the final index level of the worst performing underlying index is greater than its initial index
level:
$1,000 + ($1,000 × the index return of the worst performing underlying index × the upside
participation rate), subject to the maximum return at maturity
If the final index level of the worst performing underlying index is less than or equal to its initial
index level:
$1,000 + ($1,000 × the index return of the worst performing underlying index), subject to the
minimum payment at maturity
If the final index level of the worst performing underlying index depreciates from its initial
index level, you will be exposed to the first 5% of that depreciation and your payment at
maturity will be less than the stated principal amount per note. You should not invest in the
notes unless you are willing and able to bear the risk of losing up to $50 per note.
Final index level:
For each underlying index, its closing level on the valuation date
Worst performing underlying
The underlying index with the lowest index return
index:
Maximum return at maturity:
$216 per note (21.60% of the stated principal amount). The payment at maturity per note will not
exceed the stated principal amount plus the maximum return at maturity.
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Minimum payment at maturity: $950.00 per note (95.00% of the stated principal amount)
Index return:
For each underlying index, (i) its final index level minus its initial index level, divided by (ii) its initial
index level
Upside participation rate:
100%
Listing:
The notes will not be listed on any securities exchange
CUSIP / ISIN:
17327TNB8 / US17327TNB88
Underwriter:
Citigroup Global Markets Inc. ("CGMI"), an affiliate of the issuer, acting as principal
Underwriting fee and issue
Issue price(1)
Underwriting fee(2)
Proceeds to issuer(3)
price:
Per note:
$1,000.00
$9.50
$990.50
Total:
$1,050,000.00
$2,625.00
$1,047,375.00
(1) On the date of this pricing supplement, the estimated value of the notes is $973.40 per note, which is less than the issue price. The estimated value of
the notes is based on CGMI's proprietary pricing models and our internal funding rate. It is not an indication of actual profit to CGMI or other of our
affiliates, nor is it an indication of the price, if any, at which CGMI or any other person may be wil ing to buy the notes from you at any time after issuance.
See "Valuation of the Notes" in this pricing supplement.
(2) CGMI wil receive an underwriting fee of up to $9.50 for each note sold in this offering. The total underwriting fee and proceeds to issuer in the table
above give effect to the actual total underwriting fee. 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.
(3) The per note proceeds to issuer indicated above represent the minimum per note proceeds to issuer for any note, assuming the maximum per note
underwriting fee. As noted above, the underwriting fee is variable.
Investing in the notes involves risks not associated with an investment in conventional debt
securities. See "Summary Risk Factors" beginning on page PS-5.
Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the
notes 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, each of which can be accessed via the hyperlinks below:
Product Supplement No. EA-02-08 dated February 15, 2019 Underlying Supplement No. 8 dated February 21, 2019
Prospectus Supplement and Prospectus each dated May 14, 2018
The notes 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

The terms of the notes are set forth in the accompanying product supplement, prospectus supplement and prospectus, as
supplemented by this pricing supplement. The accompanying product supplement, prospectus supplement and prospectus
contain important disclosures that are not repeated in this pricing supplement. For example, certain events may occur that
could affect your payment at maturity. These events and their consequences are described in the accompanying product
supplement in the sections "Description of the Securities--Consequences of a Market Disruption Event; Postponement of
a Valuation Date" and "Description of the Securities--Certain Additional Terms for Securities Linked to an Underlying Index
--Discontinuance or Material Modification of an Underlying Index," and not in this pricing supplement. The accompanying
underlying supplement contains important disclosures regarding each underlying index that are not repeated in this pricing
supplement. It is important that you read the accompanying product supplement, underlying supplement, prospectus
supplement and prospectus together with this pricing supplement in connection with your investment in the notes. Certain
terms used but not defined in this pricing supplement are defined in the accompanying product supplement.

Payout Diagram

The diagram below il ustrates your payment at maturity for a range of hypothetical index returns of the worst performing
underlying index.

Investors in the notes will not receive any dividends that may be paid on the stocks that constitute the underlying
indices. The diagram and examples below do not show any effect of lost dividend yield over the term of the notes.
See "Summary Risk Factors--Investing in the notes is not equivalent to investing in the underlying indices or the stocks
that constitute the underlying indices" below.

Market-Linked Notes
Payment at Maturity Diagram

n The Notes
n The Worst Performing Underlying Index

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Hypothetical Examples

The examples below il ustrate how to determine the payment at maturity on the notes. The examples below are for
il ustrative purposes, do not show al possible outcomes and are not a prediction of any payment that may be made on the
notes. The examples below are based on the fol owing hypothetical initial index levels and do not reflect the actual initial
index levels of the underlying indices. For the actual initial index level of each underlying index, see the cover page of this
pricing supplement. We have used these hypothetical levels, rather than the actual initial index levels, to simplify the
calculations and aid understanding of how the notes work. However, you should understand that the actual payment on the
notes wil be calculated based on the actual initial index level of each underlying index, and not the hypothetical initial
index levels indicated below.

Underlying index
Hypothetical initial index level
S&P 500® Index
100
Russel 2000® Index
100

The examples below are intended to il ustrate how your payment at maturity wil depend on the final index level of the
worst performing underlying index. Your actual payment at maturity per note wil depend on the actual final index level of
the worst performing underlying index.

Example 1--Upside Scenario A. The final index level of the worst performing underlying index is 110, resulting in a 10%
index return for the worst performing underlying index.

Underlying index
Hypothetical final index level
Hypothetical index return
S&P 500® Index
150
50%
Russel 2000® Index*
110
10%
* Worst performing underlying index

Payment at maturity per note = $1,000 + ($1,000 × the index return of the worst performing underlying index × the upside
participation rate), subject to the maximum return at maturity

= $1,000 + ($1,000 × 10% × 100%), subject to the maximum return at maturity

= $1,000 + $100, subject to the maximum return at maturity

= $1,100

In this scenario, the worst performing underlying index has appreciated from its initial index level to its final index level, and
your total return at maturity would equal the index return of the worst performing underlying index multiplied by the upside
participation rate.

Example 2--Upside Scenario B. The final index level of the worst performing underlying index is 150, resulting in a 50%
index return for the worst performing underlying index.

Underlying index
Hypothetical final index level
Hypothetical index return
S&P 500® Index*
150
50%
Russel 2000® Index
170
70%
* Worst performing underlying index

Payment at maturity per note = $1,000 + ($1,000 × the index return of the worst performing underlying index × the upside
participation rate), subject to the maximum return at maturity

= $1,000 + ($1,000 × 50% × 100%), subject to the maximum return at maturity

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= $1,000 + $500, subject to the maximum return at maturity

= $1,216

In this scenario, the worst performing underlying index has appreciated from its initial index level to its final index level but
the index return of the worst performing underlying index 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. An investment in the notes would underperform a hypothetical alternative investment providing 1-to-1
exposure to the appreciation of the underlying index without a maximum return at maturity.

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Citigroup Global Markets Holdings Inc.

Example 3--Downside Scenario A. The final index level of the worst performing underlying index is 98, resulting in a -2%
index return for the worst performing underlying index.

Underlying index
Hypothetical final index level
Hypothetical index return
S&P 500® Index*
98
-2%
Russel 2000® Index
115
15%
* Worst performing underlying index

Payment at maturity per note = $1,000 + ($1,000 × the index return of the worst performing underlying index), subject to
the minimum payment at maturity

= $1,000 + ($1,000 × -2%), subject to the minimum payment at maturity

= $1,000 + -$20, subject to the minimum payment at maturity

= $980, subject to the minimum payment at maturity

= $980

In this scenario, the worst performing underlying index has depreciated from its initial index level to its final index level, but
not by more than 5%. As a result, your payment at maturity would reflect 1-to-1 exposure to the negative performance of
the worst performing underlying index and you would incur a loss at maturity equal to the depreciation of the worst
performing underlying index.

Example 4--Downside Scenario B. The final index level of the worst performing underlying index is 80, resulting in a
-20% index return for the worst performing underlying index.

Underlying index
Hypothetical final index level
Hypothetical index return
S&P 500® Index*
80
-20%
Russel 2000® Index
90
-10%
* Worst performing underlying index

Payment at maturity per note = $1,000 + ($1,000 × the index return of the worst performing underlying index), subject to
the minimum payment at maturity

= $1,000 + ($1,000 × -20%), subject to the minimum payment at maturity

= $1,000 + -$200, subject to the minimum payment at maturity

= $800, subject to the minimum payment at maturity

= $950

In this scenario, the worst performing underlying index has depreciated from its initial index level to its final index level by
more than 5%. As a result, you would incur a loss at maturity equal to the maximum loss of 5%.

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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 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 notes, and are also subject to risks associated
with the worst performing underlying 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 fol owing 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 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 not receive any return on your investment in the notes and may lose up to 5% of your investment.
You wil receive a positive return on your investment in the notes only if the worst performing underlying index
appreciates from its initial index level to its final index level. If the final index level of the worst performing underlying
index is less than its initial index level, you wil lose 1% of the stated principal amount of the notes for every 1% by
which its final index level is less than its initial index level, subject to a maximum loss of 5% of your investment. As the
notes do not pay any interest, if the worst performing underlying index does not appreciate sufficiently from its initial
index level to its final index level over the term of the notes or if the worst performing underlying index depreciates
from its initial index level to its final index level, the overal return on the notes may be less than the amount that would
be paid on our conventional debt securities of comparable maturity.

The notes do not pay interest. 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.

Your potential return on the notes is limited. Your potential total return on the notes at maturity is limited to the
maximum return at maturity, even if the worst performing underlying index appreciates by significantly more than the
maximum return at maturity. If the worst performing underlying index appreciates by more than the maximum return at
maturity, the notes wil underperform an alternative investment providing 1-to-1 exposure to the performance of the
worst performing underlying index. When lost dividends are taken into account, the notes may underperform an
alternative investment providing 1-to-1 exposure to the performance of the worst performing underlying index even if
the worst performing underlying index appreciates by less than the maximum return at maturity.

Although the notes limit your loss at maturity to 5%, you may nevertheless suffer additional losses on your
investment in real value terms if the worst performing underlying index declines or does not appreciate
sufficiently from its initial index level to its final index level. 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 careful y 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.

The notes are subject to the risks of both of the underlying indices and will be negatively affected if either of
the underlying indices performs poorly, even if the other underlying index performs well. You are subject to
risks associated with both of the underlying indices. If either of the underlying indices performs poorly, you wil be
negatively affected, even if the other underlying index performs wel . The notes are not linked to a basket composed of
the underlying indices, where the better performance of one could ameliorate the poor performance of the other.
Instead, you are subject to the ful risks of whichever of the underlying indices is the worst performing underlying index.

You will not benefit in any way from the performance of the better performing index. The return on the notes
depends solely on the performance of the worst performing underlying index, and you wil not benefit in any way from
the performance of the better performing index. The notes may underperform a similar investment in both of the
underlying indices or a similar alternative investment linked to a basket composed of the underlying indices, since in
either such case the performance of the better performing index would be blended with the performance of the worst
performing underlying index, resulting in a better return than the return of the worst performing underlying index.

You will be subject to risks relating to the relationship between the underlying indices. It is preferable from your
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perspective for the underlying indices to be correlated with each other, in the sense that they tend to increase or
decrease at similar times and by similar magnitudes. By investing in the notes, you assume the risk that the underlying
indices wil not exhibit this relationship. The less correlated the underlying indices, the more likely it is that either one of
the underlying indices wil perform poorly over the term of the notes. Al that is necessary for the notes to perform
poorly is for one of the underlying indices to perform poorly; the performance of the underlying index that is not the
worst performing underlying index is not relevant to your return on the notes at maturity. It is impossible to predict what
the relationship between the underlying indices wil be over the term of the notes. The

PS-5
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Citigroup Global Markets Holdings Inc.

S&P 500® Index represents large capitalization stocks in the United States and the Russell 2000® Index
represents small capitalization stocks in the United States. Accordingly, the underlying indices represent
markets that differ in significant ways and, therefore, may not be correlated with each other.

Investing in the notes is not equivalent to investing in the underlying indices or the stocks that constitute the
underlying indices. You wil not have voting rights, rights to receive dividends or other distributions or any other rights
with respect to the stocks that constitute the underlying indices. The payment scenarios described in this pricing
supplement do not show any effect of lost dividend yield over the term of the notes. If the worst performing underlying
index appreciates, or if it depreciates by up to the dividend yield, this lost dividend yield may cause the notes to
underperform an alternative investment providing for a pass-through of dividends and 1-to-1 exposure to the
performance of the worst performing underlying index or its component companies.

Your payment at maturity depends on the closing level of the worst performing underlying index on a single
day. Because your payment at maturity depends on the closing level of the worst performing underlying index solely
on the valuation date, you are subject to the risk that the closing level of the worst performing underlying index on that
day may be lower, and possibly significantly lower, than on one or more other dates during the term of the notes. If you
had invested in another instrument linked to the worst performing underlying index 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 levels of the worst performing
underlying index, you might have achieved better returns.

The notes are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. 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.

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

The estimated value of the notes 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 notes 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 notes, (i ) hedging and other costs incurred by us
and our affiliates in connection with the offering of the notes 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 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.

The estimated value of the notes 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,
and correlation between, the closing levels of the underlying indices, dividend yields on the stocks that constitute the
underlying indices and interest rates. CGMI's views on these inputs may differ from your or others' views, and as an
underwriter in this offering, CGMI's interests may conflict with yours. Both the models and the inputs to the models
may prove to be wrong and therefore not an accurate 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 wil ing to hold the notes to maturity
irrespective of the initial estimated value.

The estimated value of the notes would be lower if it were calculated based on our secondary market rate. 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 wil ing to borrow funds through the issuance of the notes. Our internal funding rate is
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general y lower than our secondary market rate, which is the rate that CGMI wil 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 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 notes.
Because there is not an active market for traded instruments referencing our outstanding debt obligations, CGMI
determines our

PS-6
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