Obligation Citi Global Markets 0% ( US17327U5415 ) en USD

Citi Global Markets

100 % ▲

Etas-Unis

US17327U5415 ( en USD )

03/10/2025

Prospectus brochure de l'obligation Citigroup Global Markets Holdings US17327U5415 en USD 0%, échéance 03/10/2025

1 000 USD

3 185 000 USD

17327U541

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 US17327U5415, paye un coupon de 0% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 03/10/2025

L'Obligation émise par Citi Global Markets ( Etas-Unis ) , en USD, avec le code ISIN US17327U5415, a été notée NR par l'agence de notation Moody's.

4/3/2020
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424B2 1 dp125414_424b2-us2092499.htm PRICING SUPPLEMENT

Citigroup Global Markets Holdings Inc.
March 31, 2020
Medium-Term Senior Notes, Series N
Pricing Supplement No. 2020-USNCH3834
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-224495 and 333-224495-03
318,503 Dual Directional Trigger PLUS Based on the EURO STOXX 50® Index Due October 3, 2025
Dual Directional Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Overview

The securities offered by this pricing supplement are unsecured debt securities issued by Citigroup Global Markets Holdings
Inc. and guaranteed by Citigroup Inc. Unlike conventional debt securities, the securities do not pay interest and do not repay a
fixed amount of principal at maturity. Instead, the securities offer a payment at maturity that may be greater than, equal to or
less than the stated principal amount, depending on the performance of the EURO STOXX 50® Index (the "underlying index")
from the initial index level to the final index level.

The securities offer leveraged exposure to the potential appreciation of the underlying index. In addition, if the underlying index
depreciates within a limited range (not more than 35.00%), the securities provide for an unleveraged positive return at maturity
based on the absolute value of that depreciation. In exchange for these features, investors in the securities must be wil ing to
forgo (i) positive participation in the absolute value of any depreciation in excess of 35.00% and (i ) any dividends that may be
paid on the stocks that constitute the underlying index. In addition, investors in the securities must be wil ing to accept ful
downside exposure to the underlying index if the underlying index depreciates by more than 35.00%. If the underlying index
depreciates by more than 35.00% from the pricing date to the valuation date, you will lose 1% of the stated principal
amount of your securities for every 1% by which the final index level is less than the initial index level. There is no
minimum payment at maturity.

In order to obtain the modified exposure to the underlying index that the securities provide, investors must be wil ing to accept
(i) an investment that may have limited or no liquidity and (i ) the risk of not receiving any amount due under the securities if we
and Citigroup Inc. default on our obligations. All payments on the securities are subject to the credit risk of Citigroup
Global Markets Holdings Inc. and Citigroup Inc.
KEY TERMS
Issuer:
Citigroup Global Markets Holdings Inc., a whol y owned subsidiary of Citigroup Inc.
Guarantee:
Al payments due on the securities are ful y and unconditional y guaranteed by Citigroup Inc.
Underlying index:
The EURO STOXX 50® Index (ticker symbol: "SX5E")
Aggregate stated principal
$3,185,030
amount:
Stated principal amount:
$10 per security
Pricing date:
March 31, 2020
Issue date:
April 3, 2020. See "Supplemental Plan of Distribution" in this pricing supplement.
Valuation date:
September 30, 2025, subject to postponement if such date is not a scheduled trading day or if
certain market disruption events occur
Maturity date:
October 3, 2025
Payment at maturity:
For each $10 stated principal amount security you hold at maturity:
§
If the final index level is greater than the initial index level:
$10 + the leveraged return amount
§
If the final index level is less than or equal to the initial index level but greater than or
equal to the trigger level:
$10 + ($10 × the absolute index return)
§
If the final index level is less than the trigger level:
$10 + ($10 × the index return)
If the final index level is less than the trigger level, your payment at maturity will be less,
and possibly significantly less, than $6.50 per security. You should not invest in the
securities unless you are willing and able to bear the risk of losing a significant portion
of your investment.
Initial index level:
2,786.90, the closing level of the underlying index on the pricing date
Final index level:
The closing level of the underlying index on the valuation date
Leveraged return amount:
$10 × the index return × the upside leverage factor
Upside leverage factor:
130.00 %
Absolute index return:
The absolute value of the index return
Index return:
(i) The final index level minus the initial index level, divided by (i ) the initial index level
Trigger level:
1,811.485, 65.00% of the initial index level
Listing:
The securities wil not be listed on any securities exchange
CUSIP / ISIN:
17327U541 / US17327U5415
Underwriter:
Citigroup Global Markets Inc. ("CGMI"), an affiliate of the issuer, acting as principal
Underwriting fee and issue
Issue price(1)(2)
Underwriting fee
Proceeds to issuer
price:
Per security:
$10.00
$0.30 (2)
$9.65

$0.05(3)

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Total:
$3,185,030.00
$111,476.05
$3,073,553.95
(1) On the date of this pricing supplement, the estimated value of the securities is $9.481 per security, which is less than the issue
price. The estimated value of the securities is based on CGMI's proprietary pricing models and our internal funding rate. It is not an
indication of actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if any, at which CGMI or any other
person may be wil ing to buy the securities from you at any time after issuance. See "Valuation of the Securities" in this pricing
supplement.
(2) CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and the underwriter of the sale of the securities, is acting as principal
and wil receive an underwriting fee of $0.35 for each $10.00 security sold in this offering. Certain selected dealers, including
Morgan Stanley Wealth Management, and their financial advisors wil col ectively receive from CGMI a fixed sel ing concession of
$0.30 for each $10.00 security they sel . Additional y, it is possible that 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.
(3) Reflects a structuring fee payable to Morgan Stanley Wealth Management by CGMI of $0.05 for each security.
Investing in the securities 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 (the "SEC") nor any state securities commission has approved or
disapproved of the securities or determined that this pricing supplement and the accompanying product supplement,
underlying supplement, prospectus supplement and prospectus are truthful or complete. Any representation to the
contrary is a criminal offense.
You should read this pricing supplement together with the accompanying product supplement, underlying supplement,
prospectus supplement and prospectus, 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 securities are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or
any other governmental agency, nor are they obligations of, or guaranteed by, a bank.

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Citigroup Global Markets Holdings Inc.
318,503 Dual Directional Trigger PLUS Based on the EURO STOXX 50® Index Due October 3, 2025
Dual Directional Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities

Additional Information

The terms of the securities are set forth in the accompanying product supplement, prospectus supplement and prospectus, as
supplemented by this pricing supplement. The accompanying product supplement, prospectus supplement and prospectus contain
important disclosures that are not repeated in this pricing supplement. For example, 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 the 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 securities. Certain terms used but not defined in this pricing supplement are defined in the
accompanying product supplement.

Investment Summary

The securities can be used:

§ As an alternative to direct exposure to the underlying index that enhances returns for the potential appreciation of the
underlying index;

§ To obtain a positive return for a limited range of negative performance of the underlying index;

§ To enhance returns and potential y outperform the underlying index in a bul ish or moderately bearish scenario, without
taking into account lost dividend yield; and

§ To achieve similar levels of upside exposure to the underlying index as a direct investment while using fewer dol ars by
taking advantage of the upside leverage factor.

If the final index level is less than the trigger level, the securities are exposed on a 1-to-1 basis to the percentage decline of the final
index level from the initial index level. Accordingly, investors may lose their entire initial investment in the securities.

Maturity:
5.5 years
Upside leverage factor:
130.00%. The upside leverage factor applies only if the final index level is
greater than the initial index level.
Trigger level:
65% of the initial index level
Minimum payment at
None. Investors may lose their entire initial investment in the securities.
maturity:
Interest:
None

Key Investment Rationale

The securities offer the potential for (i) a leveraged return at maturity if the underlying index appreciates and (i ) if the underlying
index depreciates, an unleveraged positive return at maturity equal to the absolute value of the depreciation of the underlying index,
but only so long as the underlying index does not depreciate by more than 35.00%. At maturity, if the underlying index has
appreciated from the initial index level to the final index level, investors wil receive the stated principal amount of their investment
plus the leveraged upside performance of the underlying index. If the underlying index has depreciated, but not by more than
35.00%, investors wil receive the stated principal amount of their investment plus a positive return equal to the absolute value of
the percentage decline, which wil effectively be limited to a positive return of 35.00%. However, if the underlying index has
depreciated by more than 35.00% from the initial index level to the final index level, investors wil be negatively exposed to the ful
amount of the percentage decline in the underlying index from the initial index level to the final index level and wil lose 1% of the
stated principal amount for every 1% of that decline. Investors may lose their entire initial investment in the securities. Al
payments on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.

Leveraged
The securities offer investors an opportunity to capture enhanced returns relative to a direct investment in
Upside
the underlying index if the underlying index appreciates.
Performance:
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Absolute Return
The securities offer the potential for an unleveraged positive return at maturity if the underlying index
Feature:
depreciates, but not by more than 35.00%, so that the final index level is greater than or equal to the
trigger level (65.00% of the initial index level)
March 2020
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Citigroup Global Markets Holdings Inc.
318,503 Dual Directional Trigger PLUS Based on the EURO STOXX 50® Index Due October 3, 2025
Dual Directional Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities

Upside Scenario
if the Underlying
If the final index level is greater than the initial index level, the payment at maturity for each security wil
Index
be equal to the $10.00 stated principal amount plus the leveraged return amount.
Appreciates:
If the final index level is less than or equal to the initial index level but greater than or equal to the
trigger level, which means that the underlying index has depreciated by no more than 35.00% from the
Absolute Return
initial index level, you wil receive a 1.00% positive return on the securities for each 1.00% negative return
Scenario:
on the underlying index. For example, if the final index level is 5.00% less than the initial index level, the
securities wil provide a positive return of 5.00% at maturity. The maximum return you may receive in this
scenario is a positive 35.00% return at maturity.
If the final index level is less than the trigger level, which means that the underlying index has depreciated
Downside
by more than 35.00% from the initial index level, you wil lose 1.00% for every 1.00% decline in the value
Scenario:
of the underlying index from the initial index level (e.g., a 50.00% depreciation in the underlying index wil
result in a payment at maturity of $5.00 per security). There is no minimum payment at maturity on the
securities, and investors may lose their entire initial investment.

Hypothetical Examples

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

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

Dual Directional Trigger PLUS
Payment at Maturity Diagram

Your actual payment at maturity per security wil depend on the actual final index level. The examples below are intended to
il ustrate how your payment at maturity wil depend on whether the final index level is greater than or less than the initial index level
and by how much. The examples are based on a hypothetical initial index level of 3,500.000 and a hypothetical trigger level of
2,275.000.
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Example 1--Upside Scenario A. The hypothetical final index level is 3,675.000 (a 5.00% increase from the hypothetical initial
index level), which is greater than the hypothetical initial index level.

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Citigroup Global Markets Holdings Inc.
318,503 Dual Directional Trigger PLUS Based on the EURO STOXX 50® Index Due October 3, 2025
Dual Directional Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities

Payment at maturity per security = $10 + the leveraged return amount

= $10 + ($10 × the index return × the upside leverage factor)

= $10 + ($10 × 5.00% × 130.00%)

= $10 + $0.65

= $10.65

Because the underlying index appreciated from the hypothetical initial index level to the hypothetical final index level and the
leveraged return amount of $0.65 per security results in a total return at maturity of 6.50%, your payment at maturity in this scenario
would be equal to the $10 stated principal amount per security plus the leveraged return amount, or $10.65 per security.

Example 2--Upside Scenario B. The hypothetical final index level is 3,150.000 (a 10.00% decrease from the hypothetical initial
index level), which is less than the hypothetical initial index level but greater than the hypothetical trigger level.

Payment at maturity per security = $10 + ($10 × the absolute index return)

= $10 + ($10 × |-10.00%|)

=$10 + $1.00

= $11.00

Because the hypothetical final index level is less than the initial index level, but not by more than 35.00%, your payment at maturity
in this scenario would reflect 1-to-1 exposure to the absolute value of the negative performance of the underlying index.

Example 3--Downside Scenario. The hypothetical final index level is 1,050.000 (a 70.00% decrease from the hypothetical initial
index level), which is less than the hypothetical trigger level.

Payment at maturity per security = $10 + ($10 × the index return)

= $10 + ($10 × -70.00%)

= $10 + -$7.00

= $3.00

Because the underlying index depreciated from the hypothetical initial index level to the hypothetical final index level by more than
35.00%, your payment at maturity in this scenario would reflect 1-to-1 downside exposure to the negative performance of the
underlying index.

March 2020
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Citigroup Global Markets Holdings Inc.
318,503 Dual Directional Trigger PLUS Based on the EURO STOXX 50® Index Due October 3, 2025
Dual Directional Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities

Summary Risk Factors

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

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

§
You may lose some or all of your investment. Unlike conventional debt securities, the securities do not repay a fixed amount
of principal at maturity. Instead, your payment at maturity wil depend on the performance of the underlying index. If the final
index level is less than the trigger level, the absolute return feature wil not apply and the payout at maturity wil be at least 35%
less than the stated principal amount of the securities, and you wil lose 1% of the stated principal amount of the securities for
every 1% by which the final index level is less than the initial index level. There is no minimum payment at maturity on the
securities, and you could lose your entire investment.

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

§
Your potential for positive participation in the absolute value of any depreciation of the underlying index is limited.
Because the trigger level is equal to 65.00% of the initial index level, the return potential of the securities in the event that the
underlying index depreciates is limited to 35.00%. Any depreciation of the underlying index in excess of 35.00% wil result in a
loss, rather than a positive return, on the securities.

§
Investing in the securities is not equivalent to investing in the underlying index or the stocks that constitute the
underlying index. 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 index. As of March 31, 2020, the average dividend yield of the underlying
index was approximately 4.417% per year. While it is impossible to know the future dividend yield of the underlying index, if this
average dividend yield were to remain constant for the term of the securities, you would be forgoing an aggregate yield of
approximately 24.29% (assuming no reinvestment of dividends) by investing in the securities instead of investing directly in the
stocks that constitute the underlying index or in another investment linked to the underlying index that provides for a pass-
through of dividends. The payment scenarios described in this pricing supplement do not show any effect of lost dividend yield
over the term of the securities.

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

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

§
The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity. The
securities wil not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities.
CGMI currently intends to make a secondary market in relation to the securities and to provide an indicative bid price for the
securities on a daily basis. Any indicative bid price for the securities provided by CGMI wil be determined in CGMI's sole
discretion, taking into account prevailing market conditions and other relevant factors, and wil not be a representation by CGMI
that the securities can be sold at that price, or at al . CGMI may suspend or terminate making a market and providing indicative
bid prices without notice, at any time and for any reason. If CGMI suspends or terminates making a market, there may be no
secondary market at al for the securities because it is likely that CGMI wil be the only broker-dealer that is wil ing to buy your
securities prior to maturity. Accordingly, an investor must be prepared to hold the securities until maturity.
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§
The estimated value of the securities on the pricing date, based on CGMI's proprietary pricing models and our internal
funding rate, is less than the issue price. The difference is attributable to certain costs associated with sel ing, structuring
and hedging the securities that are included in the issue price. These costs include (i) the sel ing concessions and structuring
fees paid in connection with the offering of the securities, (i ) hedging and other costs incurred by us and our affiliates in
connection with the offering of the securities and (i i) the expected profit (which may be more or less than actual profit) to CGMI
or other of our affiliates

March 2020
PS-5
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Citigroup Global Markets Holdings Inc.
318,503 Dual Directional Trigger PLUS Based on the EURO STOXX 50® Index Due October 3, 2025
Dual Directional Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities

in connection with hedging our obligations under the securities. These costs adversely affect the economic terms of the
securities because, if they were lower, the economic terms of the securities would be more favorable to you. The economic
terms of the securities are also likely to be adversely affected by the use of our internal funding rate, rather than our secondary
market rate, to price the securities. See "The estimated value of the securities would be lower if it were calculated based on our
secondary market rate" below.

§
The estimated value of the securities was determined for us by our affiliate using proprietary pricing models. CGMI
derived the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing
so, it may have made discretionary judgments about the inputs to its models, such as the volatility of the underlying index,
dividend yields on the stocks that constitute the underlying 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 securities.
Moreover, the estimated value of the securities set forth on the cover page of this pricing supplement may differ from the value
that we or our affiliates may determine for the securities for other purposes, including for accounting purposes. You should not
invest in the securities because of the estimated value of the securities. Instead, you should be wil ing to hold the securities to
maturity irrespective of the initial estimated value.

§
The estimated value of the securities would be lower if it were calculated based on our secondary market rate. The
estimated value of the securities included in this pricing supplement is calculated based on our internal funding rate, which is
the rate at which we are wil ing to borrow funds through the issuance of the securities. Our internal funding rate is general y
lower than our secondary market rate, which is the rate that CGMI wil use in determining the value of the securities for
purposes of any purchases of the securities from you in the secondary market. If the estimated value included in this pricing
supplement were based on our secondary market rate, rather than our internal funding rate, it would likely be lower. We
determine our internal funding rate based on factors such as the costs associated with the securities, which are general y higher
than the costs associated with conventional debt securities, and our liquidity needs and preferences. Our internal funding rate is
not an interest rate that we wil pay to investors in the securities, 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 al payments due on the securities, but subject to adjustments that CGMI makes in its
sole discretion. As a result, our secondary market rate is not a market-determined measure of our creditworthiness, but rather
reflects the market's perception of our parent company's creditworthiness as adjusted for discretionary factors such as CGMI's
preferences with respect to purchasing the securities prior to maturity.

§
The estimated value of the securities is not an indication of the price, if any, at which CGMI or any other person may
be willing to buy the securities from you in the secondary market. Any such secondary market price wil fluctuate over the
term of the securities based on the market and other factors described in the next risk factor. Moreover, unlike the estimated
value included in this pricing supplement, any value of the securities determined for purposes of a secondary market
transaction wil be based on our secondary market rate, which wil likely result in a lower value for the securities than if our
internal funding rate were used. In addition, any secondary market price for the securities wil be reduced by a bid-ask spread,
which may vary depending on the aggregate stated principal amount of the securities to be purchased in the secondary market
transaction, and the expected cost of unwinding related hedging transactions. As a result, it is likely that any secondary market
price for the securities wil be less than the issue price.

§
The value of the securities prior to maturity will fluctuate based on many unpredictable factors. The value of your
securities prior to maturity wil fluctuate based on the level and volatility of the underlying index and a number of other factors,
including the price and volatility of the stocks that constitute the underlying index, the dividend yields on the stocks that
constitute the underlying index, interest rates general y, the volatility of the exchange rate between the U.S. dol ar and the euro,
the correlation between that exchange rate and the level of the EURO STOXX 50® Index, the time remaining to maturity and
our and/or Citigroup Inc.'s creditworthiness, as reflected in our secondary market rate. Changes in the level of the underlying
index may not result in a comparable change in the value of your securities. You should understand that the value of your
securities at any time prior to maturity may be significantly less than the issue price.

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

§
The EURO STOXX 50® Index is subject to risks associated with non-U.S. markets. Investments in securities linked to the
value of non-U.S. stocks involve risks associated with the securities markets in those countries, including risks of volatility in
those markets, governmental intervention in those markets and cross shareholdings in companies in certain countries. Also,
https://www.sec.gov/Archives/edgar/data/200245/000095010320006897/dp125414_424b2-us2092499.htm
10/19