Obligation Citi Global Markets 10.75% ( US17327TX505 ) en USD

Citi Global Markets

100 % ▲

Etas-Unis

US17327TX505 ( en USD )

10.75% par an ( paiement semestriel )

31/01/2030

Prospectus brochure de l'obligation Citigroup Global Markets Holdings US17327TX505 en USD 10.75%, échéance 31/01/2030

1 000 USD

2 000 000 USD

17327TX50

N/A

31/07/2025 ( Dans 82 jours )

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 US17327TX505, paye un coupon de 10.75% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 31/01/2030

L'Obligation émise par Citi Global Markets ( Etas-Unis ) , en USD, avec le code ISIN US17327TX505, a été notée NR par l'agence de notation Moody's.

424B8 1 dp120066_424b8-us2087764.htm PRICING SUPPLEMENT
Citigroup Global Markets Holdings Inc.
J a nua ry 2 8 , 2 0 2 0
M e dium -T e rm Se nior N ot e s,
Se rie s N
Pric ing Supple m e nt N o. 2 0 2 0 --
U SN CH 3 4 7 0
File d Pursua nt t o Rule 4 2 4 (b)(8 )
Re gist ra t ion St a t e m e nt N os.
3 3 3 - 2 2 4 4 9 5 a nd 3 3 3 - 2 2 4 4 9 5 -
0 3
Callable Fixed to Float CMS Spread Range Accrual Securities Contingent on the Worst Performing of the
Dow Jones Industrial AverageTM and the EURO STOXX® Banks Index Due January 31, 2030

V a ria ble c oupon. The securities will pay interest at a fixed rate specified below for one year following issuance. After the
first year, contingent interest will accrue on the securities during each accrual period at the relevant contingent rate for that
accrual period based on the CMS spread described below, but only for each elapsed day during that accrual period on which
the accrual condition is satisfied. The accrual condition will be satisfied on an elapsed day only if the closing level of e a c h
underlying index on that day is greater than or equal to its accrual barrier level. Accordingly, contingent interest during each
accrual period, if any, will depend on the CMS spread and the level of each underlying index. The amount of interest payable
on the securities may be adversely affected by adverse movements in a ny one of these variables, regardless of the
performance of the others. The securities may pay low or no interest for extended periods of time or even throughout the entire
term after the first year.

Ca ll right . We have the right to call the securities for mandatory redemption on any coupon payment date beginning
approximately one year after the issue date.

Cont inge nt re pa ym e nt of princ ipa l a t m a t urit y. If we do not redeem the securities prior to maturity, your payment at
maturity will depend on the closing level of the w orst pe rform ing underlying index on the final valuation date. If the closing
level of the worst performing underlying index on the final valuation date is greater than or equal to its final barrier level, you
will be repaid the stated principal amount of your securities at maturity. However, if the closing level of the worst performing
underlying index on the final valuation date is less than its final barrier level, you will lose 1% of the stated principal amount of
your securities for every 1% by which the worst performing underlying index has depreciated from its initial index level. There is
no minimum payment at maturity.

The securities offered by this pricing supplement are unsecured debt securities issued by Citigroup Global Markets Holdings
Inc. and guaranteed by Citigroup Inc. Investors must be willing to accept (i) an investment that may have limited or no liquidity
and (ii) the risk of not receiving any amount due under the securities if we and Citigroup Inc. default on our obligations. All
pa ym e nt s on t he se c urit ie 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 securities are fully and unconditionally guaranteed by Citigroup Inc.
St a t e d princ ipa l
$1,000 per security
a m ount :
U nde rlying
U nde rlying indic e s
I nit ia l inde x le ve l*
Ac c rua l ba rrie r
Fina l ba rrie r le ve l* *
indic e s:
le ve l* *

Dow Jones Industrial AverageTM
28,722.85
18,669.853
18,669.853

The EURO STOXX® Banks Index
92.97
60.431
60.431

* For each underlying index, its closing level on the pricing date
** For each underlying index, 65% of its initial index level
CM S spre a d:
On any CMS spread determination date, the 30-year constant maturity swap rate ("CMS30") minus
the 2-year constant maturity swap rate ("CMS2") on that day. See "Information About the CMS
Spread" in this pricing supplement.
CM S spre a d
For any accrual period commencing on or after January 31, 2021, the second U.S. government
de t e rm ina t ion da t e :
securities business day prior to the first day of that accrual period
Pric ing da t e :
January 28, 2020
I ssue da t e :
January 31, 2020
Fina l va lua t ion da t e :
January 28, 2030, subject to postponement if such date is not a scheduled trading day or certain
market disruption events occur
M a t urit y da t e :
Unless earlier redeemed, January 31, 2030
Pa ym e nt a t m a t urit y:
Unless earlier redeemed, at maturity you will receive, for each security you then hold (in addition to
the final coupon payment, if any):
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·If the final index level of the worst performing underlying index is greater than or equal to its
final barrier level: $1,000
·If the final index level of the worst performing underlying index is less than its final barrier level:
$1,000 + ($1,000 × the index return of the worst performing underlying index)
I f t he fina l inde x le ve l of t he w orst pe rform ing unde rlying inde x is le ss t ha n it s
fina l ba rrie r le ve l, you w ill ha ve full dow nside e x posure t o t he ne ga t ive inde x
re t urn of t he w orst pe rform ing unde rlying inde x a nd w ill re c e ive signific a nt ly le ss
t ha n t he st a t e d princ ipa l a m ount of your se c urit ie s a t m a t urit y. Y ou m a y lose a
signific a nt port ion, a nd up t o a ll, of your inve st m e nt .
Coupon pa ym e nt s:
On each coupon payment date occurring during the first year following issuance of the securities, the
securities will pay a fixed coupon of 10.75% per annum, regardless of the CMS spread or the levels
of the underlying indices.
On each coupon payment date after the first year (beginning in April 2021), you will receive a coupon
payment at an annual rate equal to the variable coupon rate for that coupon payment date. The
variable coupon rate for any coupon payment date after the first year will be determined as follows:
relevant contingent ratenumber of accrual days during the related accrual period
per annum × number of elapsed days during the related accrual period
Each coupon payment per security will be equal to (i) $1,000 multiplied by the applicable coupon rate
per annum divided by (ii) 4.
I f t he num be r of a c c rua l da ys in a give n a c c rua l pe riod is le ss t ha n t he num be r of
e la pse d da ys in t ha t a c c rua l pe riod, t he va ria ble c oupon ra t e for t he re la t e d
c oupon pa ym e nt da t e w ill be le ss t ha n t he full re le va nt c ont inge nt ra t e , a nd if
t he re a re no a c c rua l da ys in a give n a c c rua l pe riod, t he va ria ble c oupon ra t e for
t he re la t e d c oupon pa ym e nt da t e w ill be 0 % .
Re le va nt c ont inge nt
The relevant contingent rate for any coupon payment date after the first year following issuance of
ra t e :
the securities means:
·From the second year through the fifth year (beginning with the coupon payment date in April
2021 and ending on the coupon payment date in January 2025):
50.00 × the CMS spread (as of the CMS spread determination date for the related accrual
period), subject to a minimum relevant contingent rate of 0.00% per annum and a maximum
relevant contingent rate of 10.75% per annum.
·From the sixth year through the eighth year (beginning with the coupon payment date in April
2025 and ending on the coupon payment date in January 2028):
40.00 × the CMS spread (as of the CMS spread determination date for the related accrual
period), subject to a minimum relevant contingent rate of 0.00% per annum and a maximum
relevant contingent rate of 10.75% per annum.
·From the ninth year through maturity (beginning with the coupon payment date in April 2028):
30.00 × the CMS spread (as of the CMS spread determination date for the related accrual
period), subject to a minimum relevant contingent rate of 0.00% per annum and a maximum
relevant contingent rate of 10.75% per annum.
I f t he CM S spre a d for a ny CM S spre a d de t e rm ina t ion da t e is le ss t ha n or e qua l t o
0 .0 0 % , t he re le va nt c ont inge nt ra t e for t ha t a c c rua l pe riod w ill be 0 .0 0 % a nd you
w ill not re c e ive a ny c oupon pa ym e nt on t he re la t e d c oupon pa ym e nt da t e . T he
re le va nt c ont inge nt ra t e w ill in no e ve nt e x c e e d t he m a x im um re le va nt c ont inge nt
ra t e .

List ing:
The securities will not be listed on any securities exchange
U nde rw rit e r:
Citigroup Global Markets Inc. ("CGMI"), an affiliate of the issuer, acting as principal
U nde rw rit ing fe e a nd issue
Issue price(1)
Underwriting fee(2)
Proceeds to issuer
pric e :
Pe r se c urit y:
$1,000
$48.50
$951.50
T ot a l:
$2,000,000
$97,000
$1,903,000

(Key Terms continued on next page)
(1) On the date of this pricing supplement, the estimated value of the securities is $864.70 per security, which is less than the
issue price. The estimated value of the securities is based on CGMI's proprietary pricing models and our internal funding rate. It is
not an indication of actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if any, at which CGMI or any
other person may be 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. In
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addition to the underwriting fee, CGMI and its affiliates may profit from hedging activity related to this offering, even if the value of
the securities declines. See "Use of Proceeds and Hedging" in the accompanying prospectus.
I nve st ing in t he se c urit ie 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 -7 .
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 se c urit ie s or de t e rm ine d t ha t t his pric ing supple m e nt a nd t he
a c c om pa nying produc t supple m e nt , unde rlying supple m e nt , prospe c t us supple m e nt a nd prospe c t us a re
t rut hful or c om ple t e . Any re pre se nt a t ion t o t he c ont ra ry is a c rim ina l offe nse . You should read this pricing
supplement together with the accompanying product supplement, underlying supplement, prospectus supplement and
prospectus, which can be accessed via the following hyperlinks:
Produc t Supple m e nt N o. I E -0 5 -0 6 da t e d M a rc h 7 , 2 0 1 9 U nde rlying Supple m e nt N o. 8 da t e d Fe brua ry 2 1 ,
2 0 1 9
Prospe c t us Supple m e nt a nd Prospe c t us e a c h da t e d M a y 1 4 , 2 0 1 8
T he se c urit ie s a re not ba nk de posit s a nd a re not insure d or gua ra nt e e d by t he Fe de ra l De posit I nsura nc e
Corpora t ion or a ny ot he r gove rnm e nt a l a ge nc y, nor a re t he y obliga t ions of, or gua ra nt e e d by, a ba nk .

Citigroup Global Markets Holdings Inc.

K EY T ERM S

(CON T I N U ED)
Coupon pa ym e nt da t e s:
The last day of each January, April, July and October beginning on April 30, 2020, except that the
final coupon payment date will be the maturity date (or the earlier date on which we redeem the
securities, if applicable)
Ac c rua l pe riod:
For each coupon payment date after the first year following issuance of the securities, the period
from and including the immediately preceding coupon payment date to but excluding such coupon
payment date
Ac c rua l da y:
An elapsed day on which the accrual condition is satisfied
Ela pse d da y:
Calendar day
Ac c rua l c ondit ion:
The accrual condition will be satisfied on an elapsed day if, and only if, the closing level of e a c h
underlying index is greater than or equal to its accrual barrier level on that elapsed day. For
purposes of determining whether the accrual condition is satisfied on any elapsed day, if the closing
level of any underlying index is not available for any reason on that day (including weekends and
holidays), the closing level of such underlying index will be assumed to be the same as on the
immediately preceding elapsed day (subject to the discussion in the section "Description of the
Securities--Terms Related to the Underlying Index--Discontinuance or Material Modification of the
Underlying Index" in the accompanying product supplement). In addition, for all elapsed days from
and including the fourth-to-last day that is a scheduled trading day for each underlying index in an
accrual period to and including the last elapsed day of that accrual period, the closing levels of the
underlying indices will not be observed and will be assumed to be the same as on the elapsed day
immediately preceding such unobserved days.
Worst pe rform ing
The underlying index with the lowest index return
unde rlying inde x :
Fina l inde x le ve l:
For each underlying index, its closing level on the final valuation date
I nde x re t urn:
For each underlying index, (i) its final index level minus its initial index level, divided by (ii) its initial
index level
Ea rly re de m pt ion:
We have the right to redeem the securities, in whole and not in part, on any coupon payment date
on or after January 31, 2021 upon not less than five business days' notice for an amount in cash
equal to 100% of the stated principal amount of your securities plus the coupon payment due on
the date of redemption, if any.
CU SI P / I SI N :
17327TX50 / US17327TX505

Additional Information

Ge ne ra l. The terms of the securities are set forth in the accompanying product supplement, prospectus supplement and
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prospectus, as supplemented by this pricing supplement. The accompanying product supplement, prospectus supplement and
prospectus contain important disclosures that are not repeated in this pricing supplement. For example, certain events may occur
that could affect the amount of any variable coupon payment you receive and your payment at maturity. These events and their
consequences are described in the accompanying product supplement in the sections "Description of the Securities--Terms
Related to the Underlying Index--Discontinuance or Material Modification of the Underlying Index" and "Description of the
Securities--Terms Related to the Underlying Index--Consequences of a Market Disruption Event; Postponement of the Final
Valuation Date," and not in this pricing supplement. In addition, the accompanying underlying supplement contains important
disclosures regarding the underlying indices that are not repeated in this pricing supplement. It is important that you read the
accompanying product supplement, underlying supplement, prospectus supplement and prospectus together with this pricing
supplement in connection with your investment in the securities. Certain terms used but not defined in this pricing supplement are
defined in the accompanying product supplement.

Although the accompanying product supplement contemplates only a single underlying index, the securities are linked to two
underlying indices. Each of the provisions in the accompanying product supplement referring to the underlying index shall apply
separately to each of the underlying indices to which the securities are linked.

Post pone m e nt of t he fina l va lua t ion da t e . If the scheduled final valuation date is not a scheduled trading day for any
underlying index or if a market disruption event occurs with respect to any underlying index on the scheduled final valuation date,
the final valuation date will be subject to postponement as described in the accompanying product supplement in the section
"Description of the Securities--Terms Related to the Underlying Index--Consequences of a Market Disruption Event; Postponement
of the Final Valuation Date." If the scheduled final valuation date is postponed, the closing level of each underlying index in respect
of the final valuation date will be determined based on (i) for any underlying index for which the originally scheduled final valuation
date is a scheduled trading day and as to which a market disruption event does not occur on the originally scheduled final
valuation date, the closing level of such underlying index on the originally scheduled final valuation date and (ii) for any other
underlying index, the closing level of such underlying index on the final valuation date as postponed (or, if earlier, the first
scheduled trading day for such underlying index following the originally scheduled final valuation date on which a market disruption
event did not occur with respect to such underlying index).

PS-2
Citigroup Global Markets Holdings Inc.

Hypothetical Examples

Variable Coupon Payments

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

Determining the Hypothetical Relevant Contingent Rate

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

Ex a m ple
H ypot he t ic a l
H ypot he t ic a l Re le va nt
H ypot he t ic a l Re le va nt
H ypot he t ic a l Re le va nt
CM S
Cont inge nt Ra t e pe r
Cont inge nt Ra t e pe r
Cont inge nt Ra t e pe r
Spre a d*
Annum From t he Se c ond
Annum From t he Six t h
Annum From t he N int h
Y e a r T hrough t he Fift h
Y e a r T hrough t he Eight h
Y e a r T hrough
Y e a r* *
Y e a r* * *
M a t urit y* * * *
1
-1.00%
0.00%
0.00%
0.00%
2
-0.80%
0.00%
0.00%
0.00%
3
-0.60%
0.00%
0.00%
0.00%
4
-0.40%
0.00%
0.00%
0.00%
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5
-0.20%
0.00%
0.00%
0.00%
6
0.00%
0.00%
0.00%
0.00%
7
0.10%
5.00%
4.00%
3.00%
8
0.20%
10.00%
8.00%
6.00%
9
0.30%
10.75%
10.75%
9.00%
10
0.40%
10.75%
10.75%
10.75%
11
0.50%
10.75%
10.75%
10.75%
12
0.60%
10.75%
10.75%
10.75%
13
0.80%
10.75%
10.75%
10.75%
14
1.00%
10.75%
10.75%
10.75%
15
1.20%
10.75%
10.75%
10.75%
16
1.40%
10.75%
10.75%
10.75%
17
1.60%
10.75%
10.75%
10.75%
18
1.80%
10.75%
10.75%
10.75%
19
2.00%
10.75%
10.75%
10.75%
20
2.20%
10.75%
10.75%
10.75%
21
2.40%
10.75%
10.75%
10.75%
22
2.60%
10.75%
10.75%
10.75%
_______________________________

* Hypothetical CMS spread = (CMS30 CMS2), where CMS30 and CMS2 are determined on the second
U.S. government securities business day prior to the beginning of the applicable accrual period.

** Hypothetical relevant contingent rate per annum for the accrual period = 50.00 × hypothetical CMS
spread, subject to a minimum of 0.00% and a maximum of 10.75% per annum.

*** Hypothetical relevant contingent rate per annum for the accrual period = 40.00 × hypothetical CMS
spread, subject to a minimum of 0.00% and a maximum of 10.75% per annum.

**** Hypothetical relevant contingent rate per annum for the accrual period = 30.00 × hypothetical CMS
spread, subject to a minimum of 0.00% and a maximum of 10.75% per annum.

Determining the Hypothetical Variable Coupon Rates and Variable Coupon Payments

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

PS-3
Citigroup Global Markets Holdings Inc.

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

H ypot he t ic a l N um be r of H ypot he t ic a l Re le va nt
H ypot he t ic a l V a ria ble Coupon
H ypot he t ic a l V a ria ble
Ac c rua l Da ys in Ac c rua l
Cont inge nt Ra t e pe r
Ra t e pe r Annum * * *
Coupon Pa ym e nt pe r
Pe riod*
Annum * *
Se c urit y* * * *
0
3.000%
0.000%
$0.00
15
3.000%
0.500%
$1.25
30
3.000%
1.000%
$2.50
45
3.000%
1.500%
$3.75
60
3.000%
2.000%
$5.00
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75
3.000%
2.500%
$6.25
90
3.000%
3.000%
$7.50

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

H ypot he t ic a l N um be r of
H ypot he t ic a l Re le va nt H ypot he t ic a l V a ria ble Coupon
H ypot he t ic a l V a ria ble
Ac c rua l Da ys in Ac c rua l
Cont inge nt Ra t e pe r
Ra t e pe r Annum * * *
Coupon Pa ym e nt pe r
Pe riod*
Annum * *
Se c urit y* * * *
0
10.75%
0.000%
$0.00
15
10.75%
1.792%
$4.48
30
10.75%
3.583%
$8.96
45
10.75%
5.375%
$13.44
60
10.75%
7.167%
$17.92
75
10.75%
8.958%
$22.40
90
10.75%
10.750%
$26.88

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

H ypot he t ic a l N um be r of
H ypot he t ic a l Re le va nt H ypot he t ic a l V a ria ble Coupon
H ypot he t ic a l V a ria ble
Ac c rua l Da ys in Ac c rua l
Cont inge nt Ra t e pe r
Ra t e pe r Annum * * *
Coupon Pa ym e nt pe r
Pe riod*
Annum * *
Se c urit y* * * *
0
0.00%
0.000%
$0.00
15
0.00%
0.000%
$0.00
30
0.00%
0.000%
$0.00
45
0.00%
0.000%
$0.00
60
0.00%
0.000%
$0.00
75
0.00%
0.000%
$0.00
90
0.00%
0.000%
$0.00
_______________________________

* An accrual day is an elapsed day on which the accrual condition is satisfied (i.e., on which the closing level of each underlying
index is greater than or equal to its accrual barrier level)

** The hypothetical relevant contingent rate is equal to 30.00 × CMS spread (as of the CMS spread determination date for the
related accrual period), subject to a minimum of 0.00% and a maximum of 10.75% per annum

*** The hypothetical variable coupon rate per annum is equal to (i) the hypothetical relevant contingent rate per annum multiplied
by (ii) (a) the hypothetical number of accrual days in the related accrual period, divided by (b) 90

**** The hypothetical variable coupon payment per security is equal to (i) $1,000 multiplied by the hypothetical variable coupon
rate per annum, divided by (ii) 4

PS-4
Citigroup Global Markets Holdings Inc.

Payment at Maturity

The diagram below illustrates your payment at maturity for a range of hypothetical index returns of the worst performing underlying
index (excluding the final coupon payment, if any, and assuming we do not redeem the securities prior to maturity).

Ca lla ble Fix e d t o Floa t Ra nge Ac c rua l Se c urit ie s
Pa ym e nt a t M a t urit y Dia gra m
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Your actual payment at maturity per security, excluding the final coupon payment, if any, will depend on the actual initial index
level, the actual final barrier level and the actual final index level of the worst performing underlying index. The examples below are
intended to illustrate how your payment at maturity will depend on whether the final index level of the worst performing underlying
index is greater than or less than its final barrier level and, if less, how much less. 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 securities will be.

The examples below are based on hypothetical initial index levels of 100 and hypothetical final barrier levels of 60 and do not
reflect the actual initial index levels or final barrier levels. For the actual initial index levels and final barrier levels, see the cover
page of this pricing supplement. We have used these hypothetical levels, rather than the actual levels, to simplify the calculations
and aid understanding of how the securities work. However, you should understand that the actual payment at maturity on the
securities will be calculated based on the actual initial index levels and final barrier levels, and not these hypothetical levels.

Ex a m ple 1 --Pa r Sc e na rio A.

U nde rlying I nde x
H ypot he t ic a l I nit ia l
H ypot he t ic a l Fina l
H ypot he t ic a l Fina l
H ypot he t ic a l I nde x
I nde x Le ve l
Ba rrie r Le ve l
I nde x Le ve l
Re t urn
The Dow Jones
100
65
150
50%
Industrial AverageTM
The EURO STOXX®
100
65
110
10%
Banks Index

In this example, the EURO STOXX® Banks Index is the worst performing underlying index. Its hypothetical final index level is 110
(a 10% increase from its hypothetical initial index level), which is greater than its hypothetical final barrier level.

PS-5
Citigroup Global Markets Holdings Inc.

Payment at maturity per security = $1,000 (excluding the final coupon payment, if any)
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Because the final index level of the worst performing underlying index is greater than its final barrier level, you would be repaid the
stated principal amount of your securities in this example. Even though each of the underlying indices have appreciated from their
respective initial index levels in this example, you would not participate in the appreciation of any underlying index.

Ex a m ple 2 --Pa r Sc e na rio B.

U nde rlying I nde x
H ypot he t ic a l I nit ia l
H ypot he t ic a l Fina l
H ypot he t ic a l Fina l
H ypot he t ic a l
I nde x Le ve l
Ba rrie r Le ve l
I nde x Le ve l
I nde x Re t urn
The Dow Jones Industrial
100
65
90
-10%
AverageTM
EURO STOXX® Banks
100
65
120
20%
Index

In this example, the Dow Jones Industrial AverageTM is the worst performing underlying index. Its hypothetical final index level is
90 (a 10% decrease from its hypothetical initial index level), which is greater than its hypothetical final barrier level.

Payment at maturity per security = $1,000 (excluding the final coupon payment, if any)

Because the worst performing underlying index did not depreciate from its hypothetical initial index level to its hypothetical final
index level by more than 40% (that is, it did not depreciate below its hypothetical final barrier level), your payment at maturity in this
scenario would be equal to the $1,000 stated principal amount per security (excluding the final coupon payment, if any).

Ex a m ple 3 --Dow nside Sc e na rio.

U nde rlying I nde x
H ypot he t ic a l I nit ia l
H ypot he t ic a l Fina l
H ypot he t ic a l Fina l
H ypot he t ic a l I nde x
I nde x Le ve l
Ba rrie r Le ve l
I nde x Le ve l
Re t urn
The Dow Jones Industrial
100
65
30
-70%
AverageTM
EURO STOXX® Banks
100
65
80
-20%
Index

In this example, the Dow Jones Industrial AverageTM is the worst performing underlying index. Its hypothetical final index level is
30 (an approximately 70% decrease from its hypothetical initial index level), which is less than its hypothetical final barrier level. As
a result, your payment at maturity (excluding the final coupon payment, if any) would be calculated as follows:

Payment at maturity per security = $1,000 + ($1,000 × the index return of the worst performing underlying index)

= $1,000 + ($1,000 × -70%)

= $1,000 + -$700

= $300

Because the worst performing underlying index depreciated from its hypothetical initial index level to its hypothetical final index level
by more than 40% (that is, it depreciated below its hypothetical final barrier level), your payment at maturity in this scenario would
reflect 1-to-1 exposure to the negative performance of the worst performing underlying index from its initial index level to its final
index level.

PS-6
Citigroup Global Markets Holdings Inc.

Summary Risk Factors
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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 CMS30,
CMS2 and each of the underlying indices. 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-6 in the accompanying product supplement. You should also carefully read the risk factors
included in the accompanying prospectus supplement and in the documents incorporated by reference in the accompanying
prospectus, including Citigroup Inc.'s most recent Annual Report on Form 10-K and any subsequent Quarterly Reports on Form
10-Q, which describe risks relating to the business of Citigroup Inc. more generally.

Y ou m a y lose som e or a ll of your inve st m e nt . Unlike conventional debt securities, the securities do not repay a fixed
amount of principal at maturity. Instead, your payment at maturity will depend on the performance of the worst performing
underlying index. If we do not redeem the securities prior to maturity, you may receive significantly less than the stated
principal amount of the securities at maturity, but in no circumstance will you receive more than the stated principal amount of
the securities (excluding the final coupon payment, if any). If the final index level of the worst performing underlying index is
less than its final barrier level, you will lose 1% of the stated principal amount of the securities for every 1% by which the final
index level of the worst performing underlying index is less than its initial index level. There is no minimum payment at maturity
on the securities, and you may lose up to all of your investment.

T he ba rrie r fe a t ure of t he se c urit ie s e x pose s you t o pa rt ic ula r risk s. If the final index level of the worst
performing underlying index is less than its final barrier level, you will not be repaid the stated principal amount of your
securities at maturity and instead will lose 1% of the stated principal amount of the securities for every 1% by which the final
index level of the worst performing underlying index is less than its initial index level. Therefore, the securities offer no
protection at all if the worst performing underlying index depreciates by more than 40% from its initial index level to its final
index level. As a result, you may lose your entire investment in the securities.

T he se c urit ie s offe r a va ria ble c oupon ra t e a ft e r t he first ye a r follow ing issua nc e , a nd you m a y not
re c e ive a ny c oupon pa ym e nt on one or m ore c oupon pa ym e nt da t e s. Any variable coupon payment you receive
will be paid at a per annum rate equal to the relevant contingent rate for the applicable coupon payment date only if the accrual
condition is satisfied on each elapsed day during the related accrual period. The accrual condition will be satisfied on any
elapsed day only if the closing level of each underlying index on that elapsed day is greater than or equal to its respective
accrual barrier level. If, on any elapsed day during an accrual period, the accrual condition is not satisfied, the applicable
variable coupon payment will be paid at a rate that is less, and possibly significantly less, than the relevant contingent rate. If,
on each elapsed day during an accrual period, the accrual condition is not satisfied, no variable coupon payment will be made
on the related coupon payment date. Accordingly, there can be no assurance that you will receive a variable coupon payment
on any coupon payment date or that any variable coupon payment you do receive will be calculated at the full relevant
contingent rate. Furthermore, because the relevant contingent rate is a floating rate determined by reference to the CMS
spread, the securities are subject to a contingency associated with the CMS spread. The relevant contingent rate will vary
based on fluctuations in the CMS spread. If the CMS spread narrows, the relevant contingent rate will be reduced. The
relevant contingent rate may be as low as zero for any coupon payment date. If the relevant contingent rate is zero for any
coupon payment date, you will not receive any variable coupon payment on that coupon payment date even if the accrual
condition is satisfied on each elapsed day in the related accrual period. Thus, the securities are not a suitable investment for
investors who require regular fixed income payments.

T he re le va nt c ont inge nt ra t e m a y de c line , possibly t o 0 .0 0 % , if short -t e rm int e re st ra t e s rise . Although
there is no single factor that determines CMS spreads, CMS spreads have historically tended to fall when short-term interest
rates rise. Short-term interest rates have historically been highly sensitive to the monetary policy of the Federal Reserve Board.
Accordingly, one significant risk assumed by investors in the securities is that the Federal Reserve Board may pursue a policy
of raising short-term interest rates, which, if historical patterns hold, would lead to a decrease in the CMS spread. In that event,
the relevant contingent rate would be reduced, and may be 0.00%, and the floating rate payable on the securities would also
decline significantly, possibly to 0.00%. It is important to understand, however, that short-term interest rates are affected by
many factors and may increase even in the absence of a Federal Reserve Board policy to increase short-term interest rates.
Furthermore, it is important to understand that the CMS spread may decrease even in the absence of an increase in short-
term interest rates because it, too, is influenced by many complex factors.

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

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

T he highe r pot e nt ia l yie ld offe re d by t he se c urit ie s is a ssoc ia t e d w it h gre a t e r risk t ha n c onve nt iona l
de bt se c urit ie s. The securities offer coupon payments with the potential to result in a higher yield than the yield on our
conventional debt securities of the

PS-7
Citigroup Global Markets Holdings Inc.

same maturity. You should understand that, in exchange for this potentially higher yield, you will be exposed to significantly
greater risks than investors in our conventional debt securities (guaranteed by Citigroup Inc.). These risks include the risk that
the variable coupon payments you receive, if any, will result in a yield on the securities that is lower, and perhaps significantly
lower, than the yield on our conventional debt securities of the same maturity that are guaranteed by Citigroup Inc., and the risk
that you will incur a significant loss on the securities at maturity. T he vola t ilit y of t he CM S spre a d a nd e a c h of t he
unde rlying indic e s, a nd t he c orre la t ion be t w e e n t he unde rlying indic e s a nd be t w e e n t he CM S spre a d
a nd e a c h unde rlying inde x , a re im port a nt fa c t ors a ffe c t ing t his risk . Gre a t e r e x pe c t e d vola t ilit y a nd/or
low e r e x pe c t e d c orre la t ion a s of t he pric ing da t e m a y c ont ribut e t o t he highe r yie ld pot e nt ia l, but w ould
a lso re pre se nt a gre a t e r e x pe c t e d lik e lihood a s of t he pric ing da t e t ha t , a ft e r t he first ye a r, you w ill
re c e ive low or no c oupon pa ym e nt s on t he se c urit ie s a nd t ha t you w ould inc ur a signific a nt loss on t he
se c urit ie s a t m a t urit y.

T he se c urit ie s a re subje c t t o risk s a ssoc ia t e d w it h t he CM S spre a d a nd e a c h of t he unde rlying indic e s
a nd m a y be ne ga t ive ly a ffe c t e d by a dve rse m ove m e nt s in any one of t he se va ria ble s, re ga rdle ss of t he
pe rform a nc e of t he ot he rs. The amount of any variable coupon payments you receive will depend on the performance of
the CMS spread and each of the underlying indices. If the CMS spread is low or zero, causing the relevant contingent rate to
be low or zero, the securities will pay a low or no coupon even if the closing levels of the underlying indices are consistently
greater than their respective accrual barrier levels. Conversely, even if the CMS spread is high, causing the relevant contingent
rate to be high, the securities will pay no coupon if the closing level of any of the underlying indices is consistently less than its
respective accrual barrier level. Moreover, if the closing level of any one of the underlying indices is less than its respective
accrual barrier level, the accrual condition will not be satisfied, and no interest will accrue on the securities, even if the closing
levels of the other underlying indices are significantly greater than their accrual barrier levels. Accordingly, you will be subject to
risks associated with the CMS spread and each of the underlying indices, and your return on the securities will depend
significantly on the relationship between such risks over the term of the securities. If any one performs sufficiently poorly, you
may receive low or no variable coupon payments for an extended period of time, or even throughout the entire period following
the first year of the term of the securities, even if the others perform favorably. Furthermore, if the final index level of one
underlying index is less than its final barrier level, you will incur a significant loss at maturity, even if the final index levels of the
other underlying indices are greater than their respective final barrier levels.

T he va ria ble c oupon pa ym e nt s a nd t he pa ym e nt a t m a t urit y de pe nd on m ult iple va ria ble s, a nd you a re
t he re fore e x pose d t o gre a t e r risk s of re c e iving no va ria ble c oupon pa ym e nt s a ft e r t he first ye a r, a nd t o a
gre a t e r risk of loss a t m a t urit y, t ha n if t he se c urit ie s w e re link e d t o just one va ria ble . The risk that you will
receive no variable coupon payment on one or more coupon payment dates after the first year, and the risk that you will incur a
significant loss at maturity, is greater if you invest in the securities as opposed to substantially similar securities that are linked
to the performance of just one variable. With multiple variables, it is more likely that the securities will accrue low or no interest
during an accrual period, or that you will not be repaid the stated principal amount of your securities at maturity, than if
payments on the securities were contingent on only one variable.

T he se c urit ie s w ill be subje c t t o risk s a ssoc ia t e d w it h t he CM S spre a d. The relevant contingent rate for any
coupon payment date after the first year following issuance of the securities will depend on the CMS spread as of the CMS
spread determination date for the related accrual period.
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