Obligation Citi Global Markets 0% ( US17327U8302 ) en USD

Citi Global Markets

100 % ▲

Etas-Unis

US17327U8302 ( en USD )

05/05/2021 - Obligation échue

Prospectus brochure de l'obligation Citigroup Global Markets Holdings US17327U8302 en USD 0%, échue

1 000 USD

9 127 000 USD

17327U830

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 US17327U8302, paye un coupon de 0% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 05/05/2021

4/3/2020
https://www.sec.gov/Archives/edgar/data/200245/000095010320006893/dp125485_424b2-us2094968.htm
424B2 1 dp125485_424b2-us2094968.htm PRICING SUPPLEMENT
Citigroup Global Markets Holdings Inc.
March 31, 2020
Medium-Term Senior Notes, Series N
Pricing Supplement No. 2020-
USNCH3949
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-224495 and 333-224495-03
912,678 Dual Directional Trigger Participation Securities Based on the S&P 500® Index Due May 5,
2021
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 S&P 500® Index
(the "underlying index") from the initial index level to the final index level.
The securities offer exposure to a limited range of potential appreciation of the underlying index, subject to the maximum
upside return specified below. In addition, if the underlying index depreciates within a limited range (not more than
10.00%), 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) any appreciation of the
underlying index in excess of the maximum upside return specified below, (i ) positive participation in the absolute value
of any depreciation in excess of 10.00% and (i 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 10.00%. If the underlying index depreciates by
more than 10.00% 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 S&P 500® Index (ticker symbol: "SPX")
Aggregate stated principal
$9,126,780
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:
April 30, 2021, subject to postponement if such date is not a scheduled trading day or if
certain market disruption events occur
Maturity date:
May 5, 2021
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 + ($10 × the index return), subject to the maximum upside return
§ 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 $9.00 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:
2,584.59, 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
Maximum upside return:
The maximum upside return wil be $2.30 per security (23% of the stated principal
amount). If the underlying index appreciates, the payment at maturity per security wil
https://www.sec.gov/Archives/edgar/data/200245/000095010320006893/dp125485_424b2-us2094968.htm
1/19

4/3/2020
https://www.sec.gov/Archives/edgar/data/200245/000095010320006893/dp125485_424b2-us2094968.htm
not exceed $10.00 plus the maximum upside return.
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:
2,326.131, 90.00% of the initial index level
Listing:
The securities wil not be listed on any securities exchange
CUSIP / ISIN:
17327U830 / US17327U8302
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
$0.175(2)
$9.775

$0.05(3)

Total:
$9,126,780.00
$205,352.55
$8,921,427.45
(1) On the date of this pricing supplement, the estimated value of the securities is $9.418 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 $0.225 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 $0.175 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.

https://www.sec.gov/Archives/edgar/data/200245/000095010320006893/dp125485_424b2-us2094968.htm
2/19

4/3/2020
https://www.sec.gov/Archives/edgar/data/200245/000095010320006893/dp125485_424b2-us2094968.htm
Citigroup Global Markets Holdings Inc.
912,678 Dual Directional Trigger Participation Securities Based on the S&P 500® Index Due May 5, 2021
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 provides positive returns, subject to the maximum
upside return, for a limited range of potential appreciation of the underlying index;
§
To obtain a positive return for a limited range of negative performance of the underlying index; and
§
To potential y outperform the underlying index in a moderately bearish scenario, without taking into account lost
dividend yield.

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:
Approximately 13 months
Maximum upside return:
$2.30 per security (23% of the stated principal amount)
Trigger level:
90% of the initial index level
Minimum payment at maturity:
None. Investors may lose their entire initial investment in
the securities.
Interest:
None

Key Investment Rationale
The securities offer the potential for (i) exposure to the performance of the underlying index if the underlying index
appreciates, subject to the maximum upside return, which wil be $2.30 per security, 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 10.00%. 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 upside performance of the underlying index, subject to the maximum upside return. If the
underlying index has depreciated, but not by more than 10.00%, 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 10.00%. However, if the underlying index has depreciated by more than 10.00% 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.
Upside
The securities offer 1-to-1 upside exposure to any appreciation of the underlying index within a
Participation:
limited range of positive performance.
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 10.00%, so that the final index level is greater than or equal to the
trigger level (90.00% of the initial index level)
Upside Scenario
If the final index level is greater than the initial index level, the payment at maturity for each security
https://www.sec.gov/Archives/edgar/data/200245/000095010320006893/dp125485_424b2-us2094968.htm
3/19

4/3/2020
https://www.sec.gov/Archives/edgar/data/200245/000095010320006893/dp125485_424b2-us2094968.htm
if the Underlying
wil be equal to the $10.00 stated principal amount plus the product of (i) the stated principal amount
Index
and (i ) the index return, subject to the maximum upside return of $2.30 per security (23% of the
Appreciates:
stated principal amount).

March 2020
PS-2
https://www.sec.gov/Archives/edgar/data/200245/000095010320006893/dp125485_424b2-us2094968.htm
4/19

4/3/2020
https://www.sec.gov/Archives/edgar/data/200245/000095010320006893/dp125485_424b2-us2094968.htm
Citigroup Global Markets Holdings Inc.
912,678 Dual Directional Trigger Participation Securities Based on the S&P 500® Index Due May 5, 2021
Principal at Risk Securities

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 10.00% from
Absolute Return
the initial index level, you wil receive a 1.00% positive return on the securities for each 1.00%
Scenario:
negative return 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 10.00% return at maturity.
If the final index level is less than the trigger level, which means that the underlying index has
Downside
depreciated by more than 10.00% from the initial index level, you wil lose 1.00% for every 1.00%
Scenario:
decline in the value 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 Participation Securities
Payment at Maturity Diagram
n The Securities n The Underlying Index

Your actual payment at maturity per security wil depend on the actual initial index level, the actual trigger level and 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
https://www.sec.gov/Archives/edgar/data/200245/000095010320006893/dp125485_424b2-us2094968.htm
5/19

4/3/2020
https://www.sec.gov/Archives/edgar/data/200245/000095010320006893/dp125485_424b2-us2094968.htm
March 2020
PS-3
https://www.sec.gov/Archives/edgar/data/200245/000095010320006893/dp125485_424b2-us2094968.htm
6/19

4/3/2020
https://www.sec.gov/Archives/edgar/data/200245/000095010320006893/dp125485_424b2-us2094968.htm
Citigroup Global Markets Holdings Inc.
912,678 Dual Directional Trigger Participation Securities Based on the S&P 500® Index Due May 5, 2021
Principal at Risk Securities

greater than or less than the initial index level and by how much. The examples are based on a hypothetical initial index
level of 2,700.00 and a hypothetical trigger level of 2,430.000.
Example 1--Upside Scenario A. The hypothetical final index level is 2,835.000 (a 5.00% increase from the hypothetical
initial index level), which is greater than the hypothetical initial index level.
Payment at maturity per security = $10 + ($10 × the index return), subject to the maximum upside return of $2.30 per
security
= $10 + ($10 × 5.00%), subject to the maximum upside return of $2.30 per security
= $10 + $0.50, subject to the maximum upside return of $2.30 per security
= $10.50
Because the underlying index appreciated from the hypothetical initial index level to the hypothetical final index level and
the index return is less than the maximum upside return of 23.00%, your payment at maturity in this scenario would be
equal to the $10 stated principal amount per security plus the product of (i) the stated principal amount and (i ) the index
return, or $10.50 per security.
Example 2--Upside Scenario B. The hypothetical final index level is 4,050.000 (a 50.00% increase from the hypothetical
initial index level), which is greater than the hypothetical initial index level.
Payment at maturity per security = $10 + ($10 × the index return), subject to the maximum upside return of $2.30 per
security
= $10 + ($10 × 50.00%), subject to the maximum upside return of $2.30 per security
= $10 + $5.00, subject to the maximum upside return of $2.30 per security
= $12.30
Because the underlying index appreciated from the hypothetical initial index level to the hypothetical final index level and
the index return is greater than the maximum upside return of 23.00%, your payment at maturity in this scenario would
equal the hypothetical maximum payment at maturity of $12.30 per security. In this scenario, an investment in the
securities would underperform a direct investment in the underlying index.
Example 3--Upside Scenario C. The hypothetical final index level is 2,565.000 (a 5.00% 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 × |-5.00%|)
=$10 + $0.50
= $10.50
Because the hypothetical final index level is less than the hypothetical initial index level, but not by more than 10.00%, your
payment at maturity in this scenario would reflect 1-to-1 positive exposure to the absolute value of the negative
performance of the underlying index.
Example 4--Downside Scenario. The hypothetical final index level is 810.000 (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
https://www.sec.gov/Archives/edgar/data/200245/000095010320006893/dp125485_424b2-us2094968.htm
7/19

4/3/2020
https://www.sec.gov/Archives/edgar/data/200245/000095010320006893/dp125485_424b2-us2094968.htm
Because the underlying index depreciated from the hypothetical initial index level to the hypothetical final index level by
more than 10.00%, your payment at maturity in this scenario would reflect 1-to-1 downside exposure to the negative
performance of the underlying index.
March 2020
PS-4
https://www.sec.gov/Archives/edgar/data/200245/000095010320006893/dp125485_424b2-us2094968.htm
8/19

4/3/2020
https://www.sec.gov/Archives/edgar/data/200245/000095010320006893/dp125485_424b2-us2094968.htm
Citigroup Global Markets Holdings Inc.
912,678 Dual Directional Trigger Participation Securities Based on the S&P 500® Index Due May 5, 2021
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 10% 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 return on the securities is limited. If the final index level is greater than the initial index level, your
potential total return on the securities at maturity is limited to the maximum upside return set forth on the cover page of
this pricing supplement. The return on the underlying index from the initial index level to the final index level may
significantly exceed the maximum upside return. Therefore, your return on the securities may be significantly less than
the return you could have achieved on an alternative investment providing 1-to-1 exposure to the appreciation of the
underlying index without a maximum upside return. In addition, 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 90.00% of the initial
index level, the return potential of the securities in the event that the underlying index depreciates is limited to 10.00%.
Any depreciation of the underlying index in excess of 10.00% 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 2.34% 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 2.55% (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
https://www.sec.gov/Archives/edgar/data/200245/000095010320006893/dp125485_424b2-us2094968.htm
9/19

4/3/2020
https://www.sec.gov/Archives/edgar/data/200245/000095010320006893/dp125485_424b2-us2094968.htm
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.
March 2020
PS-5
https://www.sec.gov/Archives/edgar/data/200245/000095010320006893/dp125485_424b2-us2094968.htm
10/19