Obligation Citi Global Markets 0% ( US17328V2U39 ) en USD

Citi Global Markets

100 % ▼

Etas-Unis

US17328V2U39 ( en USD )

19/01/2022 - Obligation échue

Prospectus brochure de l'obligation Citigroup Global Markets Holdings US17328V2U39 en USD 0%, échue

1 000 USD

30 233 000 USD

17328V2U3

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 US17328V2U39, paye un coupon de 0% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 19/01/2022

424B2 1 dp126303_424b2-us2096070.htm PRICING SUPPLEMENT

File d Pursua nt t o Rule 4 2 4 (b)(2 )
Re gist ra t ion St a t e m e nt N os. 3 3 3 -2 2 4 4 9 5 a nd 3 3 3 -2 2 4 4 9 5 -0 3
Cit igroup Globa l M a rk e t s H oldings I nc .
$30,233,000
MSCI EAFE® Index-Linked Notes due January 19, 2022
All Pa ym e nt s Due from Cit igroup Globa l M a rk e t s H oldings I nc .
Fully a nd U nc ondit iona lly Gua ra nt e e d by Cit igroup I nc .
U nlik e c onve nt iona l de bt se c urit ie s, t he not e s offe re d by t his pric ing supple m e nt do not pa y int e re st a nd do
not re pa y a fix e d a m ount of princ ipa l a t m a t urit y. The amount that you will be paid on your notes on the maturity date
(January 19, 2022) is based on the performance of the MSCI EAFE® Index (the "underlier") as measured from the trade date to
and including the determination date (January 17, 2022). If the final underlier level on the determination date is greater than the
initial underlier level of 1,582.04, the return on your notes will be positive, subject to the maximum settlement amount of $1,222.00
for each $1,000 stated principal amount of your notes. H ow e ve r, if t he fina l unde rlie r le ve l de c line s from t he init ia l
unde rlie r le ve l, t he re t urn on your not e s w ill be ne ga t ive a nd you w ill lose 1 % of t he st a t e d princ ipa l
a m ount of your not e s for e ve ry 1 % of t ha t de c line . Y ou c ould lose your e nt ire inve st m e nt in t he not e s. In
exchange for the upside participation feature of the notes, you must be willing to forgo (i) any return in excess of the maximum
return at maturity of 22.20% (which results from the maximum settlement amount of $1,222.00 for each $1,000 stated principal
amount of your notes), (ii) any dividends paid on the stocks included in the underlier and (iii) interest on the notes.
To determine your payment at maturity, we will calculate the underlier return, which is the percentage increase or decrease in the
level of the underlier from the initial underlier level (set on the trade date) to the final underlier level on the determination date. On
the maturity date, for each $1,000 stated principal amount note you then hold, you will receive an amount in cash equal to:
·
if the underlier return is zero or positive (the final underlier level is equal to or greater than the initial underlier level), the
sum of (i) $1,000 plus (ii) the product of (a) $1,000 times (b) the upside participation rate of 300% times (c) the underlier
return, subject to the maximum settlement amount; or
·
if the underlier return is negative (the final underlier level is less than the initial underlier level), the sum of (i) $1,000 plus
(ii) the product of (a) the underlier return times (b) $1,000. T his a m ount w ill be le ss t ha n $ 1 ,0 0 0 a nd m a y be
ze ro.
The notes are unsecured senior debt securities issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc.
All payments on the notes are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. If Citigroup
Global Markets Holdings Inc. and Citigroup Inc. default on their obligations, you may not receive any amount due under the notes.
The notes will not be listed on any securities exchange and may have limited or no liquidity.
I nve st ing in t he not e s involve s risk s not a ssoc ia t e d w it h a n inve st m e nt in c onve nt iona l de bt se c urit ie s. Se e
"Sum m a ry Risk Fa c t ors" be ginning on pa ge PS-7 .

I ssue Pric e (1)
U nde rw rit ing Disc ount (2)
N e t Proc e e ds t o I ssue r
Pe r N ot e :
$1,000.00*
$16.70
$983.30
T ot a l:
$30,233,000.00
$504,891.10
$29,728,108.90
(1) On the date of this pricing supplement, the estimated value of the notes is $972.50 per note, which is less than the issue price. The
estimated value of the notes is based on proprietary pricing models of Citigroup Global Markets Inc. ("CGMI") and our internal funding rate. It is
not an indication of actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if any, at which CGMI or any other person
may be willing to buy the notes from you at any time after issuance. See "Valuation of the Notes" in this pricing supplement.
(2) CGMI, an affiliate of the issuer, is the underwriter for the offering of the notes and is acting as principal. The total underwriting discount in the
table above assumes that the underwriter receives an underwriting discount for each note sold in this offering. For more information on the
distribution of the notes, see "Summary Information--Key Terms--Supplemental Plan of Distribution" in this pricing supplement. In addition to
the underwriting discount, CGMI and its affiliates may profit from hedging activity related to this offering, even if the value of the notes declines.
See "Use of Proceeds and Hedging" in the accompanying prospectus.
* The issue price will be $983.30 for investors in certain fee-based advisory accounts, reflecting a foregone underwriting discount with respect to
such notes. Please see "Supplemental plan of distribution" on page PS-4 of this pricing supplement.
N e it he r t he Se c urit ie s a nd Ex c ha nge Com m ission nor a ny st a t e se c urit ie s c om m ission ha s a pprove d or
disa pprove d of t he not e s or de t e rm ine d t ha t t his pric ing supple m e nt a nd t he a c c om pa nying 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 .
T he not e s a re not ba nk de posit s a nd a re not insure d or gua ra nt e e d by t he Fe de ra l De posit I nsura nc e
https://www.sec.gov/Archives/edgar/data/200245/000095010320007736/dp126303_424b2-us2096070.htm[4/20/2020 3:59:55 PM]

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 .
The notes are part of the Medium-Term Senior Notes, Series N of Citigroup Global Markets Holdings Inc. This pricing supplement
is a supplement to the documents listed below and should be read together with such documents, which are available at the
following hyperlinks:
·
Produc t Supple m e nt N o. EA-0 2 -0 8 da t e d Fe brua ry 1 5 , 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
Cit igroup Globa l M a rk e t s I nc .
Pricing Supplement No. 2020--USNCH4109 dated April 16, 2020
The issue price, underwriting discount and net proceeds listed above relate to the notes we sell initially. We may decide to sell additional notes
after the date of this pricing supplement, at issue prices and with underwriting discounts and net proceeds that differ from the amounts set forth
above. The return (whether positive or negative) on your investment in notes will depend in part on the issue price you pay for such notes.
CGMI may use this pricing supplement in the initial sale of the notes. In addition, CGMI or any other affiliate of Citigroup Inc. may use this
pricing supplement in a market-making transaction in a note after its initial sale.
M SCI EAFE® I nde x -Link e d N ot e s due J a nua ry 1 9 , 2 0 2 2

I N V EST M EN T T H ESI S
· For investors who seek modified exposure to the performance of the underlier, with the opportunity to participate on a
leveraged basis in a limited range of potential appreciation of the underlier.
· In exchange for the leveraged upside exposure, investors must be willing to forgo (i) participation in any appreciation of the
underlier beyond the cap level, (ii) any dividends that may be paid on the stocks included in the underlier and (iii) interest on
the notes. Investors must also be willing to lose some, and up to all, of their investment in the notes if the underlier
depreciates from the initial underlier level.
· Investors must be willing to accept the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. and an
investment that may have limited or no liquidity.
DET ERM I N I N G T H E CASH SET T LEM EN T AM OU N T
At maturity, for each $1,000 stated principal amount note you then hold, you will receive (as a percentage of the stated principal
amount):
· If the final underlier level is equal to or above 100.00% of the initial underlier level: 100.00% plus the product of the upside
participation rate of 300% times the underlier return, subject to a maximum settlement amount of 122.20% of the stated
principal amount
· If the final underlier level is below 100.00% of the initial underlier level: 100.00% minus 1.00% for every 1.00% that the
underlier has declined below the initial underlier level
I f t he fina l unde rlie r le ve l de c line s from t he init ia l unde rlie r le ve l, t he re t urn on t he not e s w ill be ne ga t ive
a nd you c ould lose your e nt ire inve st m e nt in t he not e s.
K EY T ERM S

I ssue r:
Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
Gua ra nt e e :
All payments due on the notes are fully and unconditionally guaranteed by Citigroup Inc.
U nde rlie r:
The MSCI EAFE® Index (ticker symbol: "MXEA")
St a t e d Princ ipa l
$30,233,000 in the aggregate; each note will have a stated principal amount equal to $1,000
Am ount :
T ra de Da t e :
April 16, 2020
Se t t le m e nt Da t e :
April 23, 2020. See "Supplemental plan of distribution" on page PS-4 in this pricing supplement for
additional information.
De t e rm ina t ion Da t e :
January 17, 2022. The determination date is subject to postponement if such date is not a scheduled
trading day or if certain market disruption events occur.
https://www.sec.gov/Archives/edgar/data/200245/000095010320007736/dp126303_424b2-us2096070.htm[4/20/2020 3:59:55 PM]

M a t urit y Da t e :
January 19, 2022
I nit ia l U nde rlie r
1,582.04
Le ve l:
Fina l U nde rlie r Le ve l: The closing level of the underlier on the determination date
U nde rlie r Re t urn:
The quotient of (i) the final underlier level minus the initial underlier level divided by (ii) the initial
underlier level, expressed as a positive or negative percentage
U pside Pa rt ic ipa t ion
300.00%
Ra t e :
M a x im um Se t t le m e nt $1,222.00 per $1,000 stated principal amount note
Am ount :
Ca p Le ve l:
107.40% of the initial underlier level
CU SI P/I SI N :
17328V2U3 / US17328V2U39
H Y POT H ET I CAL PAY M EN T AT M AT U RI T Y
H ypot he t ic a l Fina l
H ypot he t ic a l Ca sh
U nde rlie r Le ve l
Se t t le m e nt Am ount
(a s % of I nit ia l
(a s % of St a t e d
U nde rlie r Le ve l)
Princ ipa l Am ount )
200.000%
122.200%
175.000%
122.200%
150.000%
122.200%
1 0 7 .4 0 0 %
1 2 2 .2 0 0 %
102.500%
107.500%
1 0 0 .0 0 0 %
1 0 0 .0 0 0 %
75.000%
75.000%
50.000%
50.000%
25.000%
25.000%
0 .0 0 0 %
0 .0 0 0 %
RI SK S
Please read the section titled "Summary Risk Factors" in this pricing supplement as well as the more detailed description of risks
relating to an investment in the notes contained in the section "Risk Factors Relating to the Securities" beginning on page EA-7 in
the accompanying product supplement. You should also 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.

PS-2
SU M M ARY I N FORM AT I ON
The terms of the notes are set forth in the accompanying product supplement, prospectus supplement and prospectus, as
supplemented by this pricing supplement. The accompanying product supplement, prospectus supplement and prospectus contain
https://www.sec.gov/Archives/edgar/data/200245/000095010320007736/dp126303_424b2-us2096070.htm[4/20/2020 3:59:55 PM]

important disclosures that are not repeated in this pricing supplement. For example, certain events may occur that could affect
your payment at maturity, such as market disruption events and other events affecting the underlier. 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
underlier that are not repeated in this pricing supplement. It is important that you read the accompanying product supplement,
underlying supplement, prospectus supplement and prospectus together with this pricing supplement in connection with your
investment in the notes. Certain terms used but not defined in this pricing supplement are defined in the accompanying product
supplement. References to "securities" in the accompanying product supplement include the notes.

K e y T e rm s

I ssue r: Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.

Gua ra nt e e : all payments due on the notes are fully and unconditionally guaranteed by Citigroup Inc.

U nde rlie r: the MSCI EAFE® Index (ticker symbol: "MXEA"), as maintained by MSCI Inc. (the "underlier sponsor"). The underlier is
referred to as the "underlying index" and the underlier sponsor is referred to as the "underlying index publisher" in the
accompanying product supplement.

St a t e d princ ipa l a m ount : each note will have a stated principal amount of $1,000; $30,233,000 in the aggregate for all the
offered notes

Purc ha se a t a m ount ot he r t ha n t he st a t e d princ ipa l a m ount : the amount we will pay you at the stated maturity date for
your notes will not be adjusted based on the issue price you pay for your notes, so if you acquire notes at a premium (or discount)
to the stated principal amount and hold them to the stated maturity date, it could affect your investment in a number of ways. The
return on your investment in such notes will be lower (or higher) than it would have been had you purchased the notes at the
stated principal amount. Additionally, the cap level would be triggered at a lower (or higher) percentage return than indicated below,
relative to your initial investment. See "Summary Risk Factors -- If You Purchase Your Notes at a Premium to the Stated Principal
Amount, the Return on Your Investment Will Be Lower Than the Return on Notes Purchased at the Stated Principal Amount and
the Impact of Certain Key Terms of the Notes Will be Negatively Affected" on page PS-10 of this pricing supplement.

Ca sh se t t le m e nt a m ount (pa id on t he m a t urit y da t e ): on the maturity date, for each $1,000 stated principal amount of
notes you then hold, we will pay you an amount in cash equal to:

·
if the final underlier level is greater than or equal to the cap level, the maximum settlement amount;

·
if the final underlier level is greater than or equal to the initial underlier level but less than the cap level, the sum of (i)
$1,000 plus (ii) the product of (a) $1,000 times (b) the upside participation rate times (c) the underlier return; or

·
if the final underlier level is less than the initial underlier level, the sum of (i) $1,000 plus (ii) the product of (a) the underlier
return times (b) $1,000.

I nit ia l unde rlie r le ve l: 1,582.04

Fina l unde rlie r le ve l: the closing level of the underlier on the determination date, except in the limited circumstances described
under "Description of the Securities -- Certain Additional Terms for Securities Linked to an Underlying Index -- Discontinuance or
Material Modification of an Underlying Index" on page EA-39 of the accompanying product supplement and subject to adjustment
as provided under "Description of the Securities -- Certain Additional Terms for Securities Linked to an Underlying Index --
Determining the Closing Level" on page EA-36 of the accompanying product supplement and "Description of the Securities --
Consequences of a Market Disruption Event; Postponement of a Valuation Date" on pages EA-21 and EA-22 of the accompanying
product supplement.

U nde rlie r re t urn: the quotient of (i) the final underlier level minus the initial underlier level divided by (ii) the initial underlier level,
expressed as a positive or negative percentage

U pside pa rt ic ipa t ion ra t e : 300.00%

Ca p le ve l: 107.40% of the initial underlier level
https://www.sec.gov/Archives/edgar/data/200245/000095010320007736/dp126303_424b2-us2096070.htm[4/20/2020 3:59:55 PM]

M a x im um se t t le m e nt a m ount : $1,222.00 per $1,000 stated principal amount note

T ra de da t e : April 16, 2020. The trade date is referred to as the "pricing date" in the accompanying product supplement.

Origina l issue da t e (se t t le m e nt da t e ): April 23, 2020. See "Supplemental plan of distribution" below for additional
information.

PS-3
De t e rm ina t ion da t e : January 17, 2022. The determination date is referred to as the "valuation date" in the accompanying
product supplement and is subject to postponement if such date is not a scheduled trading day or if certain market disruption
events occur, as described under "Description of the Securities -- Consequences of a Market Disruption Event; Postponement of a
Valuation Date" on pages EA-21 and EA-22 of the accompanying product supplement.

M a t urit y da t e : January 19, 2022

N o int e re st : the notes will not bear interest

N o list ing: the notes will not be listed on any securities exchange or interdealer quotation system

N o re de m pt ion: the notes will not be subject to redemption before maturity

Busine ss da y: as described under "Description of the Securities -- General" on page EA-20 in the accompanying product
supplement

Sc he dule d t ra ding da y: as described under "Description of the Securities -- Certain Additional Terms for Securities Linked to
an Underlying Index -- Definitions of Market Disruption Event and Scheduled Trading Day and Related Definitions" on page EA-37
of the accompanying product supplement

Supple m e nt a l pla n of dist ribut ion: Citigroup Global Markets Holdings Inc. expects to sell to CGMI, and CGMI expects to
purchase from Citigroup Global Markets Holdings Inc., the aggregate stated principal amount of the offered notes specified on the
front cover of this pricing supplement. CGMI proposes initially to offer the notes to the public at the issue price set forth on the
cover page of this pricing supplement, and to certain unaffiliated securities dealers at such price less a concession not in excess of
1.67% of the stated principal amount. The issue price for notes purchased by certain fee-based advisory accounts will be 98.33%
of the stated principal amount, which reflects a foregone underwriting discount with respect to such notes (i.e., the underwriting
discount specified on the cover of this pricing supplement with respect to such notes is 0.00%). In addition to the underwriting
discount, CGMI and its affiliates may profit from hedging activity related to this offering, even if the value of the notes declines. See
"Use of Proceeds and Hedging" in the accompanying prospectus.

CGMI is an affiliate of ours. Accordingly, this offering will conform with the requirements addressing conflicts of interest when
distributing the securities of an affiliate set forth in Rule 5121 of the Financial Industry Regulatory Authority. Client accounts over
which Citigroup Inc. or its subsidiaries have investment discretion will not be permitted to purchase the notes, either directly or
indirectly, without the prior written consent of the client.

Secondary market sales of securities typically settle two business days after the date on which the parties agree to the sale.
Because the settlement date for the notes is more than two business days after the trade date, investors who wish to sell the notes
at any time prior to the second business day preceding the original issue date will be required to specify an alternative settlement
date for the secondary market sale to prevent a failed settlement. Investors should consult their own investment advisors in this
regard.

See "Plan of Distribution; Conflicts of Interest" in the accompanying product supplement and "Plan of Distribution" in each of the
accompanying prospectus supplement and prospectus for additional information.

A portion of the net proceeds from the sale of the notes will be used to hedge our obligations under the notes. We have hedged
our obligations under the notes through CGMI or other of our affiliates, or through a dealer participating in this offering or its
affiliates. CGMI or such other of our affiliates or such dealer or its affiliates may profit from this hedging activity even if the value of
the notes declines. This hedging activity could affect the closing level of the underlier and, therefore, the value of and your return
on the notes. For additional information on the ways in which our counterparties may hedge our obligations under the notes, see
"Use of Proceeds and Hedging" in the accompanying prospectus.

https://www.sec.gov/Archives/edgar/data/200245/000095010320007736/dp126303_424b2-us2096070.htm[4/20/2020 3:59:55 PM]

Prohibit ion of Sa le s t o EEA Re t a il I nve st ors

The notes may not be offered, sold or otherwise made available to any retail investor in the European Economic Area. For the
purposes of this provision:

(a) the expression "retail investor" means a person who is one (or more) of the following:

(i) a retail client as defined in point (11) of Article 4(1) of Directive 2014/65/EU (as amended, "MiFID II"); or

(ii) a customer within the meaning of Directive 2002/92/EC, where that customer would not qualify as a professional
client as defined in point (10) of Article 4(1) of MiFID II; or

(iii) not a qualified investor as defined in Directive 2003/71/EC; and

(b) the expression "offer" includes the communication in any form and by any means of sufficient information on the terms of
the offer and the notes offered so as to enable an investor to decide to purchase or subscribe the notes.

ERI SA: as described under "Benefit Plan Investor Considerations" on pages EA-52 and EA-53 in the accompanying product
supplement

Ca lc ula t ion Age nt : CGMI

CU SI P: 17328V2U3

I SI N : US17328V2U39

PS-4
H Y POT H ET I CAL EX AM PLES

The table and chart below are provided for purposes of illustration only. They should not be taken as an indication or prediction of
future investment results and are intended merely to illustrate the impact that various hypothetical underlier levels on the
determination date could have on the cash settlement amount at maturity.

The table and chart below are based on a range of final underlier levels that are entirely hypothetical; no one can predict what the
underlier level will be on any day throughout the life of your notes, and no one can predict what the final underlier level will be on
the determination date. The underlier has been highly volatile in the past -- meaning that the underlier level has changed
considerably in relatively short periods -- and its performance cannot be predicted for any future period. Investors in the notes will
not receive any dividends on the stocks that constitute the underlier. The table and chart below do not show any effect of lost
dividend yield over the term of the notes. See "Summary Risk Factors--Investing in the Notes Is Not Equivalent to Investing in the
Underlier or the Stocks that Constitute the Underlier" below.

The information in the table and chart below reflects hypothetical returns on the notes assuming that they are purchased on the
original issue date at the stated principal amount and held to the maturity date. If you sell your notes in a secondary market prior to
the maturity date, your return will depend upon the value of your notes at the time of sale, which may be affected by a number of
factors that are not reflected in the table or chart below such as interest rates, the volatility of the underlier and our and Citigroup
Inc.'s creditworthiness. Please read "Summary Risk Factors--The Value of the Notes Prior to Maturity Will Fluctuate Based on
Many Unpredictable Factors" in this pricing supplement. It is likely that any secondary market price for the notes will be less than
the issue price.

The information in the table and chart also reflects the key terms and assumptions in the box below.

K e y T e rm s a nd Assum pt ions
Stated principal amount
$1,000
Cap level
107.40% of the initial underlier level
Maximum settlement amount
$1,222.00 per $1,000 stated principal amount note
Neither a market disruption event nor a non-scheduled trading day occurs on the originally scheduled determination date
No change in or affecting any of the stocks comprising the underlier or the method by which the underlier sponsor calculates the
underlier
https://www.sec.gov/Archives/edgar/data/200245/000095010320007736/dp126303_424b2-us2096070.htm[4/20/2020 3:59:55 PM]

Notes purchased on original issue date at the stated principal amount and held to the stated maturity date

The actual performance of the underlier over the life of your notes, as well as the amount payable at maturity, if any, may bear little
relation to the hypothetical examples shown below or to the historical underlier levels shown elsewhere in this pricing supplement.
For information about the historical levels of the underlier during recent periods, see "The Underlier -- Historical Closing Levels of
the Underlier" below.

The levels in the left column of the table below represent hypothetical final underlier levels and are expressed as percentages of
the initial underlier level. The amounts in the right column represent the hypothetical cash settlement amounts, based on the
corresponding hypothetical final underlier level (expressed as a percentage of the initial underlier level), and are expressed as
percentages of the stated principal amount of a note (rounded to the nearest one-thousandth of a percent). Thus, a hypothetical
cash settlement amount of 100.000% means that the value of the cash payment that we would deliver for each $1,000 of the
outstanding stated principal amount of the notes on the maturity date would equal 100.000% of the stated principal amount of a
note, based on the corresponding hypothetical final underlier level (expressed as a percentage of the initial underlier level) and the
assumptions noted above.

H ypot he t ic a l Fina l U nde rlie r Le ve l (a s
H ypot he t ic a l Ca sh Se t t le m e nt Am ount (a s
Pe rc e nt a ge of I nit ia l U nde rlie r Le ve l)
Pe rc e nt a ge of St a t e d Princ ipa l Am ount )
200.000%
122.200%
175.000%
122.200%
150.000%
122.200%
1 0 7 .4 0 0 %
1 2 2 .2 0 0 %
102.500%
107.500%
1 0 0 .0 0 0 %
1 0 0 .0 0 0 %
75.000%
75.000%
50.000%
50.000%
25.000%
25.000%
0 .0 0 0 %
0 .0 0 0 %

If, for example, the final underlier level were determined to be 25.000% of the initial underlier level, the cash settlement amount that
we would deliver on your notes at maturity would be 25.000% of the stated principal amount of your notes, as shown in the table
above. As a result, if you purchased your notes on the original issue date at the stated principal amount and held them to the
maturity date, you would lose 75.000% of your investment. In addition, if the final underlier level were determined to be 150.000%
of the initial underlier level, the cash settlement amount that we would deliver on your notes at maturity would be capped at the
maximum settlement amount (expressed as a

PS-5
percentage of the stated principal amount), or 122.200% of each $1,000 stated principal amount of your notes, as shown in the
table above. As a result, you would not benefit from any increase in the final underlier level over 107.400% of the initial underlier
level.

The following chart also shows a graphical illustration of the hypothetical cash settlement amounts that we would pay on your notes
on the maturity date, if the final underlier level (expressed as a percentage of the initial underlier level) were any of the hypothetical
levels shown on the horizontal axis. The chart shows that any hypothetical final underlier level (expressed as a percentage of the
initial underlier level) of less than 100.000% would result in a hypothetical cash settlement amount of less than 100.000% of the
stated principal amount of your notes (the section below the 100.000% marker on the vertical axis) and, accordingly, in a loss of
principal to the holder of the notes. The chart also shows that any hypothetical final underlier level (expressed as a percentage of
the initial underlier level) of greater than or equal to 107.400% (the section right of the 107.400% marker on the horizontal axis)
would result in a capped return on your investment.

https://www.sec.gov/Archives/edgar/data/200245/000095010320007736/dp126303_424b2-us2096070.htm[4/20/2020 3:59:55 PM]

The cash settlement amounts shown above are entirely hypothetical; they are based on levels of the underlier that may not be
achieved on the determination date. The actual cash settlement amount you receive on the maturity date may bear little relation to
the hypothetical cash settlement amounts shown above, and these amounts should not be viewed as an indication of the financial
return on an investment in the notes. The actual market value of your notes on the stated maturity date or at any other time,
including any time you may wish to sell your notes, may bear little relation to the hypothetical cash settlement amounts shown
above, and these amounts should not be viewed as an indication of the financial return on an investment in the offered notes. The
hypothetical cash settlement amounts on notes held to the stated maturity date in the examples above assume you purchased your
notes at their stated principal amount and have not been adjusted to reflect the actual issue price you pay for your notes. The
return on your investment (whether positive or negative) in your notes will be affected by the amount you pay for your notes. If you
purchase your notes for a price other than the stated principal amount, the return on your investment will differ from, and may be
significantly lower than, the hypothetical returns suggested by the above examples. Please read "Summary Risk Factors -- The
Value of the Notes Prior to Maturity Will Fluctuate Based on Many Unpredictable Factors" on page PS-8 of this pricing supplement.

We cannot predict the actual final underlier level or what the value of your notes will be on any particular day, nor can we predict
the relationship between the underlier level and the value of your notes at any time prior to the maturity date. The actual amount
that you will receive, if any, at maturity and the return on the notes will depend on the actual final underlier level determined by
the calculation agent as described above. Moreover, the assumptions on which the hypothetical returns are based may turn out
to be inaccurate. Consequently, the amount of cash to be paid in respect of your notes, if any, on the maturity date may be very
different from the information reflected in the table and chart above.

PS-6
SU M M ARY RI SK FACT ORS
An investment in the notes is significantly riskier than an investment in conventional debt securities. The notes are subject to all
of the risks associated with an investment in our conventional debt securities (guaranteed by Citigroup Inc.), including the risk
that we and Citigroup Inc. may default on our obligations under the notes, and are also subject to risks associated with the
underlier. Accordingly, the notes are suitable only for investors who are capable of understanding the complexities and risks of
the notes. You should consult your own financial, tax and legal advisors as to the risks of an investment in the notes and the
suitability of the notes in light of your particular circumstances.
The following is a summary of certain key risk factors for investors in the notes. You should read this summary together with the
more detailed description of risks relating to an investment in the notes contained in the section "Risk Factors Relating to the
Securities" beginning on page EA-7 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.
https://www.sec.gov/Archives/edgar/data/200245/000095010320007736/dp126303_424b2-us2096070.htm[4/20/2020 3:59:55 PM]

Y ou M a y Lose Som e or All of Y our I nve st m e nt

Unlike conventional debt securities, the notes do not repay a fixed amount of principal at maturity. Instead, your payment at
maturity will depend on the performance of the underlier. If the underlier depreciates below the initial underlier level, you will
receive less than the stated principal amount of your notes at maturity. You should understand that any depreciation of the
underlier will result in a loss of 1% of the stated principal amount for each 1% by which the underlier depreciates below the initial
underlier level. There is no minimum payment at maturity, and you may lose up to all of your investment.

T he N ot e s Do N ot Pa y I nt e re st

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

Y our Pot e nt ia l Re t urn On t he N ot e s I s Lim it e d

Your potential total return on the notes at maturity is limited by the maximum settlement amount. Any increase in the final underlier
level over the cap level will not increase your return on the notes and will progressively reduce the effective degree of your
participation in the appreciation of the underlier.

I nve st ing in t he N ot e s I s N ot Equiva le nt t o I nve st ing in t he U nde rlie r or t he St oc k s t ha t Const it ut e t he
U nde rlie r

You will not have voting rights, rights to receive dividends or other distributions or any other rights with respect to the stocks that
constitute the underlier. As of April 16, 2020, the average dividend yield of the stocks that constitute the underlier was
approximately 3.921% per year. While it is impossible to know the future dividend yield of the stocks that constitute the underlier, if
this average dividend yield were to remain constant for the term of the notes, you would be forgoing an aggregate yield of
approximately 6.86% (assuming no reinvestment of dividends) by investing in the notes instead of investing directly in the stocks
that constitute the underlier or in another investment linked to the underlier 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 notes.

Y our Pa ym e nt a t M a t urit y De pe nds on t he Closing Le ve l of t he U nde rlie r on a Single Da y

Because your payment at maturity depends on the closing level of the underlier solely on the determination date, you are subject to
the risk that the closing level of the underlier on that day may be lower, and possibly significantly lower, than on one or more other
dates during the term of the notes. If you had invested in another instrument linked to the underlier that you could sell for full value
at a time selected by you, or if the payment at maturity were based on an average of closing levels of the underlier, you might have
achieved better returns.

T he N ot e s Are Subje c t t o t he Cre dit Risk of Cit igroup Globa l M a rk e t s H oldings I nc . a nd Cit igroup I nc .

If we default on our obligations under the notes and Citigroup Inc. defaults on its guarantee obligations, you may not receive
anything owed to you under the notes.

T he N ot e s Will N ot Be List e d on Any Se c urit ie s Ex c ha nge a nd Y ou M a y N ot Be Able t o Se ll T he m Prior t o
M a t urit y

The notes will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the notes. CGMI
currently intends to make a secondary market in relation to the notes and to provide an indicative bid price for the notes on a daily
basis. Any indicative bid price for the notes provided by CGMI will be determined in CGMI's sole discretion, taking into account
prevailing market conditions and other relevant factors, and will not be a representation by CGMI that the notes can be sold at that
price, or at all. CGMI may suspend or terminate making a market and providing indicative bid prices without notice, at any time and
for any reason. If CGMI suspends or terminates making a market, there may be no secondary market at all for the notes because it
is likely that CGMI will be the only broker-dealer that is willing to buy your notes prior to maturity. Accordingly, an investor must be
prepared to hold the notes until maturity.

T he Est im a t e d V a lue of t he N ot e s on t he T ra de Da t e , Ba se d on CGM I 's Proprie t a ry Pric ing M ode ls a nd Our
I nt e rna l Funding Ra t e , I s Le ss t ha n t he I ssue Pric e

The difference is attributable to certain costs associated with selling, structuring and hedging the notes that are included in the
https://www.sec.gov/Archives/edgar/data/200245/000095010320007736/dp126303_424b2-us2096070.htm[4/20/2020 3:59:55 PM]

issue price. These costs include (i) the selling concessions paid in connection with the offering of the

PS-7
notes, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering of the notes and (iii) the expected
profit (which may be more or less than actual profit) to CGMI or other of our affiliates in connection with hedging our obligations
under the notes. These costs adversely affect the economic terms of the notes because, if they were lower, the economic terms of
the notes would be more favorable to you. The economic terms of the notes are also likely to be adversely affected by the use of
our internal funding rate, rather than our secondary market rate, to price the notes. See "The Estimated Value of the Notes Would
Be Lower if It Were Calculated Based on Our Secondary Market Rate" below.

T he Est im a t e d V a lue of t he N ot e s Wa s De t e rm ine d for U s by Our Affilia t e U sing Proprie t a ry Pric ing M ode ls

CGMI derived the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In
doing so, it may have made discretionary judgments about the inputs to its models, such as the volatility of the underlier, dividend
yields on the stocks that constitute the underlier and interest rates. CGMI's views on these inputs may differ from your or others'
views, and as an underwriter in this offering, CGMI's interests may conflict with yours. Both the models and the inputs to the
models may prove to be wrong and therefore not an accurate reflection of the value of the notes. Moreover, the estimated value of
the notes set forth on the cover page of this pricing supplement may differ from the value that we or our affiliates may determine
for the notes for other purposes, including for accounting purposes. You should not invest in the notes because of the estimated
value of the notes. Instead, you should be willing to hold the notes to maturity irrespective of the initial estimated value.

T he Est im a t e d V a lue of t he N ot e s Would Be Low e r if I t We re Ca lc ula t e d Ba se d on Our Se c onda ry M a rk e t
Ra t e

The estimated value of the notes included in this pricing supplement is calculated based on our internal funding rate, which is the
rate at which we are willing to borrow funds through the issuance of the notes. Our internal funding rate is generally lower than our
secondary market rate, which is the rate that CGMI will use in determining the value of the notes for purposes of any purchases of
the notes from you in the secondary market. If the estimated value included in this pricing supplement were based on our
secondary market rate, rather than our internal funding rate, it would likely be lower. We determine our internal funding rate based
on factors such as the costs associated with the notes, which are generally higher than the costs associated with conventional
debt securities, and our liquidity needs and preferences. Our internal funding rate is not an interest rate that we will pay to investors
in the notes, which do not bear interest.

Because there is not an active market for traded instruments referencing our outstanding debt obligations, CGMI determines our
secondary market rate based on the market price of traded instruments referencing the debt obligations of Citigroup Inc., our parent
company and the guarantor of all payments due on the notes, but subject to adjustments that CGMI makes in its sole discretion.
As a result, our secondary market rate is not a market-determined measure of our creditworthiness, but rather reflects the market's
perception of our parent company's creditworthiness as adjusted for discretionary factors such as CGMI's preferences with respect
to purchasing the notes prior to maturity.

T he Est im a t e d V a lue of t he N ot e s I s N ot a n I ndic a t ion of t he Pric e , if Any, a t Whic h CGM I or Any Ot he r
Pe rson M a y Be Willing t o Buy t he N ot e s From Y ou in t he Se c onda ry M a rk e t

Any such secondary market price will fluctuate over the term of the notes based on the market and other factors described in the
next risk factor. Moreover, unlike the estimated value included in this pricing supplement, any value of the notes determined for
purposes of a secondary market transaction will be based on our secondary market rate, which will likely result in a lower value for
the notes than if our internal funding rate were used. In addition, any secondary market price for the notes will be reduced by a bid-
ask spread, which may vary depending on the aggregate stated principal amount of the notes to be purchased in the secondary
market transaction, and the expected cost of unwinding related hedging transactions. As a result, it is likely that any secondary
market price for the notes will be less than the issue price.

T he V a lue of t he N ot e s Prior t o M a t urit y Will Fluc t ua t e Ba se d on M a ny U npre dic t a ble Fa c t ors

The value of your notes prior to maturity will fluctuate based on the level and volatility of the underlier and a number of other
factors, including the price and volatility of the stocks that constitute the underlier, the dividend yields on the stocks that constitute
the underlier, the volatility of the exchange rate between the U.S. dollar and each of the currencies in which the stocks that
constitute the underlier trade, the correlation between those exchange rates and the level of the underlier, interest rates generally,
the time remaining to maturity and our and Citigroup Inc.'s creditworthiness, as reflected in our secondary market rate. Changes in
the level of the underlier may not result in a comparable change in the value of your notes. You should understand that the value
of your notes at any time prior to maturity may be significantly less than the issue price.
https://www.sec.gov/Archives/edgar/data/200245/000095010320007736/dp126303_424b2-us2096070.htm[4/20/2020 3:59:55 PM]

Document Outline

#1">
- #1">