Obligation Citi Global Markets 0% ( US17328VPA25 ) en USD

Citi Global Markets

100 % ▲

Etas-Unis

US17328VPA25 ( en USD )

29/12/2023 - Obligation échue

Prospectus brochure de l'obligation Citigroup Global Markets Holdings US17328VPA25 en USD 0%, échue

1 000 USD

30 000 USD

17328VPA2

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 US17328VPA25, paye un coupon de 0% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 29/12/2023

L'Obligation émise par Citi Global Markets ( Etas-Unis ) , en USD, avec le code ISIN US17328VPA25, a été notée NR par l'agence de notation Moody's.

424B2 1 dp131122_424b2-us2002270.htm PRICING SUPPLEMENT
Citigroup Global Markets Holdings
J une 2 5 , 2 0 2 0
M e dium -T e rm Se nior N ot e s, Se rie s N
Inc.
Pric ing Supple m e nt N o. 2 0 2 0 -U SN CH 4 5 9 2
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
Buffer Securities Linked to the Russell 2000® Index Due December 29, 2023
?
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 underlying specified below from the initial underlying value to the final underlying value.
?
The securities offer modified exposure to the performance of the underlying, with (i) the opportunity to participate in a limited range of potential
appreciation of the underlying at the upside participation rate specified below and (ii) a limited buffer against any depreciation of the underlying as
described below. In exchange for these features, investors in the securities must be willing to forgo any appreciation of the underlying in excess of the
maximum return at maturity specified below and must be willing to forgo any dividends with respect to the underlying. In addition, investors in the
securities must be willing to accept downside exposure to any depreciation of the underlying in excess of the buffer percentage specified below. I f t he
unde rlying de pre c ia t e s by m ore t ha n t he buffe r pe rc e nt a ge from t he init ia l unde rlying va lue t o t he fina l unde rlying va lue ,
you w ill lose 1 % of t he st a t e d princ ipa l a m ount of your se c urit ie s for e ve ry 1 % by w hic h t ha t de pre c ia t ion e x c e e ds t he
buffe r pe rc e nt a ge .
?
In order to obtain the modified exposure to the underlying that the securities provide, investors must be willing to accept (i) an investment that may
have limited or no liquidity and (ii) the risk of not receiving any amount due under the securities if we and Citigroup Inc. default on our obligations. All
pa ym e nt s on t he se c urit ie s a re subje c t t o t he c re dit risk of Cit igroup Globa l M a rk e t s H oldings I nc . a nd Cit igroup I nc .
K EY T ERM S
I ssue r:
Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
Gua ra nt e e :
All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
U nde rlying:
The Russell 2000® Index
St a t e d princ ipa l a m ount : $1,000 per security
Pric ing da t e :
June 25, 2020
I ssue da t e :
June 30, 2020
V a lua t ion da t e :
December 26, 2023, subject to postponement if such date is not a scheduled trading day or certain market disruption events
occur
M a t urit y da t e :
December 29, 2023
Pa ym e nt a t m a t urit y:
You will receive at maturity for each security you then hold:
If the final underlying value is greater than the initial underlying value:
$1,000 + the return amount, subject to the maximum return at maturity
If the final underlying value is less than or equal to the initial underlying value but greater than or equal to
the final buffer value:
$1,000
If the final underlying value is less than the final buffer value:
$1,000 + [$1,000 × (the underlying return + the buffer percentage)]
I f t he fina l unde rlying va lue is le ss t ha n t he fina l buffe r va lue , w hic h m e a ns t ha t t he unde rlying ha s
de pre c ia t e d from t he init ia l unde rlying va lue by m ore t ha n t he buffe r pe rc e nt a ge , you w ill lose 1 %
of t he st a t e d princ ipa l a m ount of your se c urit ie s a t m a t urit y for e ve ry 1 % by w hic h t ha t
de pre c ia t ion e x c e e ds t he buffe r pe rc e nt a ge .
I nit ia l unde rlying va lue :
1,413.315, the closing value of the underlying on the pricing date
Fina l unde rlying va lue :
The closing value of the underlying on the valuation date
Re t urn a m ount :
$1,000 × the underlying return × the upside participation rate
U pside pa rt ic ipa t ion
100.00%
ra t e :
U nde rlying re t urn:
(i) The final underlying value minus the initial underlying value, divided by (ii) the initial underlying value
M a x im um re t urn a t
$200.00 per security (20.00% of the stated principal amount). The payment at maturity per security will not exceed the stated
m a t urit y:
principal amount plus the maximum return at maturity.
Fina l buffe r va lue :
1,201.31775, 85.00% of the initial underlying value
Buffe r pe rc e nt a ge :
15.00%
List ing:
The securities will not be listed on any securities exchange
CU SI P / I SI N :
17328VPA2 / US17328VPA25
U nde rw rit e r:
Citigroup Global Markets Inc. ("CGMI"), an affiliate of the issuer, acting as principal
U nde rw rit ing fe e a nd
I ssue pric e (1)
U nde rw rit ing fe e (2)
Proc e e ds t o issue r(3)
issue pric e :
Pe r se c urit y:
$1,000.00
$30.00
$970.00
https://www.sec.gov/Archives/edgar/data/200245/000095010320012629/dp131122_424b2-us2002270.htm[6/29/2020 2:54:38 PM]

T ot a l:
$30,000.00
$900.00
$29,100.00
(1) On the date of this pricing supplement, the estimated value of the securities is $927.80 per security, which is less than the issue price. The estimated
value of the securities is based on CGMI's proprietary pricing models and our internal funding rate. It is not an indication of actual profit to CGMI or other of
our affiliates, nor is it an indication of the price, if any, at which CGMI or any other person may be willing to buy the securities from you at any time after
issuance. See "Valuation of the Securities" in this pricing supplement.
(2) CGMI will receive an underwriting fee of up to $30.00 for each security sold in this offering. The total underwriting fee and proceeds to issuer in the table
above give effect to the actual total underwriting fee. For more information on the distribution of the securities, see "Supplemental Plan of Distribution" in this
pricing supplement. In addition to the underwriting fee, CGMI and its affiliates may profit from hedging activity related to this offering, even if the value of the
securities declines. See "Use of Proceeds and Hedging" in the accompanying prospectus.
(3) The per security proceeds to issuer indicated above represent the minimum per security proceeds to issuer for any security, assuming the maximum per
security underwriting fee. As noted above, the underwriting fee is variable.
I nve st ing in t he se c urit ie s involve s risk s not a ssoc ia t e d w it h a n inve st m e nt in c onve nt iona l de bt se c urit ie s.
Se e "Sum m a ry Risk Fa c t ors" be ginning on pa ge PS-4 .
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
se c urit ie s or de t e rm ine d t ha t t his pric ing supple m e nt a nd t he a c c om pa nying produc t supple m e nt , unde rlying supple m e nt ,
prospe c t us supple m e nt a nd prospe c t us a re t rut hful or c om ple t e . Any re pre se nt a t ion t o t he c ont ra ry is a c rim ina l offe nse .
You should read this pricing supplement together with the accompanying product supplement, underlying supplement, prospectus supplement
and prospectus, which can be accessed via the hyperlinks below:
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
T he se c urit ie s a re not ba nk de posit s a nd a re not insure d or gua ra nt e e d by t he Fe de ra l De posit I nsura nc e Corpora t ion or a ny
ot he r gove rnm e nt a l a ge nc y, nor a re t he y obliga t ions of, or gua ra nt e e d by, a ba nk .

Citigroup Global Markets Holdings Inc.

Additional Information

Ge ne ra l. 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, the accompanying product
supplement contains important information about how the closing value of the underlying will be determined and about adjustments
that may be made to the terms of the securities upon the occurrence of market disruption events and other specified events with
respect to the underlying. The accompanying underlying supplement contains information about the underlying that is 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 deciding whether to invest in the securities. Certain terms used
but not defined in this pricing supplement are defined in the accompanying product supplement.

Prospe c t us. The first sentence of "Description of Debt Securities-- Events of Default and Defaults" in the accompanying
prospectus shall be amended to read in its entirety as follows:

Events of default under the indenture are:

·
failure of Citigroup Global Markets Holdings or Citigroup to pay required interest on any debt security of such series for 30
days;

·
failure of Citigroup Global Markets Holdings or Citigroup to pay principal, other than a scheduled installment payment to a
sinking fund, on any debt security of such series for 30 days;

·
failure of Citigroup Global Markets Holdings or Citigroup to make any required scheduled installment payment to a sinking
fund for 30 days on debt securities of such series;

·
failure of Citigroup Global Markets Holdings to perform for 90 days after notice any other covenant in the indenture
applicable to it other than a covenant included in the indenture solely for the benefit of a series of debt securities other
than such series; and

·
certain events of bankruptcy or insolvency of Citigroup Global Markets Holdings, whether voluntary or not (Section 6.01).

Payout Diagram

https://www.sec.gov/Archives/edgar/data/200245/000095010320012629/dp131122_424b2-us2002270.htm[6/29/2020 2:54:38 PM]

The diagram below illustrates your payment at maturity for a range of hypothetical underlying returns.

I nve st ors in t he se c urit ie s w ill not re c e ive a ny divide nds w it h re spe c t t o t he unde rlying. T he dia gra m a nd
e x a m ple s be low do not show a ny e ffe c t of lost divide nd yie ld ove r t he t e rm of t he se c urit ie s. See "Summary
Risk Factors--You will not receive dividends or have any other rights with respect to the underlying" below.

Pa yout Dia gra m
The Securities The Underlying

PS-2
Citigroup Global Markets Holdings Inc.

Hypothetical Examples

The examples below illustrate how to determine the payment at maturity on the securities, assuming the various hypothetical final
underlying values indicated below. The examples are solely for illustrative purposes, do not show all possible outcomes and are not
a prediction of what the actual payment at maturity on the securities will be. The actual payment at maturity will depend on the
actual final underlying value.

The examples below are based on the following hypothetical values and do not reflect the actual initial underlying value or final
buffer value. For the actual initial underlying value and final buffer value, see the cover page of this pricing supplement. We have
used these hypothetical values, rather than the actual values, to simplify the calculations and aid understanding of how the
securities work. However, you should understand that the actual payment at maturity on the securities will be calculated based on
the actual initial underlying value and final buffer value, and not the hypothetical values indicated below. For ease of analysis,
figures below have been rounded.

H ypot he t ic a l init ia l unde rlying
100.00
va lue :
H ypot he t ic a l fina l buffe r va lue :
85.00 (85.00% of the hypothetical initial underlying value)

Ex a m ple 1 --U pside Sc e na rio A. The final underlying value is 105.00, resulting in a 5.00% underlying return. In this example,
the final underlying value is gre a t e r t ha n the initial underlying value.

Payment at maturity per security = $1,000 + the return amount, subject to the maximum return at maturity

= $1,000 + ($1,000 × the underlying return × the upside participation rate), subject to the maximum return at maturity

= $1,000 + ($1,000 × 5.00% × 100.00%), subject to the maximum return at maturity

https://www.sec.gov/Archives/edgar/data/200245/000095010320012629/dp131122_424b2-us2002270.htm[6/29/2020 2:54:38 PM]

= $1,000 + $50.00, subject to the maximum return at maturity

= $1,050.00

In this scenario, the underlying has appreciated from the initial underlying value to the final underlying value, and your total return at
maturity would equal the underlying return multiplied by the upside participation rate.

Ex a m ple 2 --U pside Sc e na rio B. The final underlying value is 150.00, resulting in a 50.00% underlying return. In this
example, the final underlying value is gre a t e r t ha n the initial underlying value.

Payment at maturity per security = $1,000 + the return amount, subject to the maximum return at maturity

= $1,000 + ($1,000 × the underlying return × the upside participation rate), subject to the maximum return at maturity

= $1,000 + ($1,000 × 50.00% × 100.00%), subject to the maximum return at maturity

= $1,000 + $500.00, subject to the maximum return at maturity

= $1,200.00

In this scenario, the underlying has appreciated from the initial underlying value to the final underlying value, but the underlying
return multiplied by the upside participation rate would exceed the maximum return at maturity. As a result, your total return at
maturity in this scenario would be limited to the maximum return at maturity, and an investment in the securities would
underperform a hypothetical alternative investment providing 1-to-1 exposure to the appreciation of the underlying without a
maximum return.

Ex a m ple 3 --Pa r Sc e na rio. The final underlying value is 95.00, resulting in a -5.00% underlying return. In this example, the
final underlying value is le ss t ha n the initial underlying value but gre a t e r t ha n the final buffer value.

Payment at maturity per security = $1,000

In this scenario, the underlying has depreciated from the initial underlying value to the final underlying value, but not by more than
the buffer percentage. As a result, you would be repaid the stated principal amount of your securities at maturity but would not
receive any positive return on your investment.

Ex a m ple 4 --Dow nside Sc e na rio. The final underlying value is 30.00, resulting in a -70.00% underlying return. In this
example, the final underlying value is le ss t ha n the final buffer value.

Payment at maturity per security = $1,000 + [$1,000 × (the underlying return + the buffer percentage)]

= $1,000 + [$1,000 × (-70.00% + 15.00%)]

= $1,000 + [$1,000 × -55.00%]

= $1,000 + -$550.00

= $450.00

In this scenario, the underlying has depreciated from the initial underlying value to the final underlying value by more than the buffer
percentage. As a result, your total return at maturity in this scenario would be negative and would reflect 1-to-1 exposure to the
negative performance of the underlying beyond the buffer percentage.

PS-3
Citigroup Global Markets Holdings Inc.

Summary Risk Factors

An investment in the securities is significantly riskier than an investment in conventional debt securities. The securities are subject
https://www.sec.gov/Archives/edgar/data/200245/000095010320012629/dp131122_424b2-us2002270.htm[6/29/2020 2:54:38 PM]

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

The following is a summary of certain key risk factors for investors in the securities. You should read this summary together with
the more detailed description of risks relating to an investment in the securities contained in the section "Risk Factors Relating to
the Securities" beginning on page EA-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.

Y ou m a y lose a signific a nt port ion of your inve st m e nt . Unlike conventional debt securities, the securities do not
repay a fixed amount of principal at maturity. Instead, your payment at maturity will depend on the performance of the
underlying. If the underlying depreciates by more than the buffer percentage from the initial underlying value to the final
underlying value, you will lose 1% of the stated principal amount of your securities for every 1% by which that depreciation
exceeds the buffer percentage.

Y our pot e nt ia l re t urn on t he se c urit ie s is lim it e d. Your potential total return on the securities at maturity is
limited to the maximum return at maturity, even if the underlying appreciates by significantly more than the maximum return
at maturity. If the underlying appreciates by more than the maximum return at maturity, the securities will underperform an
alternative investment providing 1-to-1 exposure to the performance of the underlying. When lost dividends are taken into
account, the securities may underperform an alternative investment providing 1-to-1 exposure to the performance of the
underlying even if the underlying appreciates by less than the maximum return at maturity. In addition, the maximum return
at maturity reduces the effect of the upside participation rate for all final underlying values exceeding the final underlying
value at which, by multiplying the corresponding underlying return by the upside participation rate, the maximum return at
maturity is reached.

T he se c urit ie s do not pa y int e re st . 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.

Y ou w ill not re c e ive divide nds or ha ve a ny ot he r right s w it h re spe c t t o t he unde rlying. You will not
receive any dividends with respect to the underlying. This lost dividend yield may be significant over the term of the
securities. The payment scenarios described in this pricing supplement do not show any effect of lost dividend yield over
the term of the securities. In addition, you will not have voting rights or any other rights with respect to the underlying or the
stocks included in the underlying.

Y our pa ym e nt a t m a t urit y de pe nds on t he c losing va lue of t he unde rlying on a single da y. Because your
payment at maturity depends on the closing value of the underlying solely on the valuation date, you are subject to the risk
that the closing value of the underlying 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 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 values
of the underlying, you might have achieved better returns.

T he se c urit ie s a re subje c t t o t he c re dit risk of Cit igroup Globa l M a rk e t s H oldings I nc . a nd Cit igroup
I nc . 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.

T he se c urit ie s w ill not be list e d on a ny se c urit ie s e x c ha nge a nd you m a y not be a ble t o se ll t he m
prior t o m a t urit y. The securities will 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 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 securities 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 securities because it is likely that
CGMI will be the only broker-dealer that is willing to buy your securities prior to maturity. Accordingly, an investor must be
prepared to hold the securities until maturity.
https://www.sec.gov/Archives/edgar/data/200245/000095010320012629/dp131122_424b2-us2002270.htm[6/29/2020 2:54:38 PM]

T he e st im a t e d va lue of t he se c urit ie s on t he pric ing da t e , ba se d on CGM I 's proprie t a ry pric ing
m ode ls a nd our int e rna l funding ra t e , is le ss t ha n t he issue pric e . The difference is attributable to certain
costs associated with selling, structuring and hedging the securities that are included in the issue price. These costs
include (i) any selling concessions or other fees paid in connection with the offering of the securities, (ii) hedging and other
costs incurred by us and our affiliates in connection with the offering of the securities 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 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.

T he e st im a t e d va lue of t he se c urit ie s w a s de t e rm ine d for us by our a ffilia t e using 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 closing value of the underlying, the dividend yield on the underlying and interest rates. CGMI's views on these inputs
may differ from your or others' views, and as an underwriter in this

PS-4
Citigroup Global Markets Holdings Inc.

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 willing to hold the securities to maturity irrespective of the initial
estimated value.

T he e st im a t e d va lue of t he se c urit ie s w ould be low e r if it w e re c a 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 securities 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 securities. 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 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 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 is payable on the securities.

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 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.

T he e st im a t e d va lue of t he se c urit ie s is not a n indic a t ion of t he pric e , if a ny, a t w hic h CGM I or a ny
ot he r pe rson m a y be w illing t o buy t he se c urit ie s from you in t he se c onda ry m a rk e t . Any such secondary
market price will 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 will be based on our secondary market rate, which will 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
will 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 will be less than the issue price.

T he va lue of t he se c urit ie s prior t o m a t urit y w ill fluc t ua t e ba se d on m a ny unpre dic t a ble fa c t ors. The
value of your securities prior to maturity will fluctuate based on the closing value of the underlying, the volatility of the
closing value of the underlying, the dividend yield on the underlying, interest rates generally, the time remaining to maturity
and our and Citigroup Inc.'s creditworthiness, as reflected in our secondary market rate, among other factors described
https://www.sec.gov/Archives/edgar/data/200245/000095010320012629/dp131122_424b2-us2002270.htm[6/29/2020 2:54:38 PM]

under "Risk Factors Relating to the Securities--Risk Factors Relating to All Securities--The value of your securities prior to
maturity will fluctuate based on many unpredictable factors" in the accompanying product supplement. Changes in the
closing value of the underlying 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.

I m m e dia t e ly follow ing issua nc e , a ny se c onda ry m a rk e t bid pric e provide d by CGM I , a nd t he va lue
t ha t w ill be indic a t e d on a ny brok e ra ge a c c ount st a t e m e nt s pre pa re d by CGM I or it s a ffilia t e s, w ill
re fle c t a t e m pora ry upw a rd a djust m e nt . The amount of this temporary upward adjustment will steadily decline to
zero over the temporary adjustment period. See "Valuation of the Securities" in this pricing supplement.

T he Russe ll 2 0 0 0 ® I nde x is subje c t t o risk s a ssoc ia t e d w it h sm a ll c a pit a liza t ion st oc k s. The stocks that
constitute the Russell 2000® Index are issued by companies with relatively small market capitalization. The stock prices of
smaller companies may be more volatile than stock prices of large capitalization companies. These companies tend to be
less well-established than large market capitalization companies. Small capitalization companies may be less able to
withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization
companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that
limits downward stock price pressure under adverse market conditions.

Our offe ring of t he se c urit ie s is not a re c om m e nda t ion of t he unde rlying. The fact that we are offering the
securities does not mean that we believe that investing in an instrument linked to the underlying is likely to achieve
favorable returns. In fact, as we are part of a global financial institution, our affiliates may have positions (including short
positions) in the underlying or in instruments related to the underlying, and may publish research or express opinions, that
in each case are inconsistent with an investment linked to the underlying. These and other activities of our affiliates may
affect the closing value of the underlying in a way that negatively affects the value of and your return on the securities.

T he c losing va lue of t he unde rlying m a y be a dve rse ly a ffe c t e d by our or our a ffilia t e s' he dging a nd
ot he r t ra ding a c t ivit ie s. We expect to hedge our obligations under the securities through CGMI or other of our
affiliates, who may take positions in the underlying or in financial instruments related to the underlying and may adjust such
positions during the term of the securities. Our affiliates also take positions in the underlying or in financial instruments
related to the underlying on a regular basis (taking long or short positions or both), for their accounts, for other accounts
under their management or to facilitate transactions on behalf of customers. These activities could affect the closing value
of the underlying in a way that negatively affects the value of and your return on the securities. They could also result in
substantial returns for us or our affiliates while the value of the securities declines.

We a nd our a ffilia t e s m a y ha ve e c onom ic int e re st s t ha t a re a dve rse t o yours a s a re sult of our
a ffilia t e s' busine ss a c t ivit ie s. Our affiliates engage in business activities with a wide range of companies. These
activities include extending loans, making and facilitating investments, underwriting securities offerings and providing
advisory services. These activities could involve or affect the underlying in a way that negatively affects the value of and
your return on the securities. They could also result in substantial returns for us or our

PS-5
Citigroup Global Markets Holdings Inc.

affiliates while the value of the securities declines. In addition, in the course of this business, we or our affiliates may
acquire non-public information, which will not be disclosed to you.

T he c a lc ula t ion a ge nt , w hic h is a n a ffilia t e of ours, w ill m a k e im port a nt de t e rm ina t ions w it h re spe c t
t o t he se c urit ie s. If certain events occur during the term of the securities, such as market disruption events and other
events with respect to the underlying, CGMI, as calculation agent, will be required to make discretionary judgments that
could significantly affect your return on the securities. In making these judgments, the calculation agent's interests as an
affiliate of ours could be adverse to your interests as a holder of the securities. See "Risk Factors Relating to the
Securities--Risk Factors Relating to All Securities--The calculation agent, which is an affiliate of ours, will make important
determinations with respect to the securities" in the accompanying product supplement.

Cha nge s t ha t a ffe c t t he unde rlying m a y a ffe c t t he va lue of your se c urit ie s. The sponsor of the underlying
may at any time make methodological changes or other changes in the manner in which it operates that could affect the
value of the underlying. We are not affiliated with the underlying sponsor and, accordingly, we have no control over any
changes such sponsor may make. Such changes could adversely affect the performance of the underlying and the value of
https://www.sec.gov/Archives/edgar/data/200245/000095010320012629/dp131122_424b2-us2002270.htm[6/29/2020 2:54:38 PM]

and your return on the securities.

T he U .S. fe de ra l t a x c onse que nc e s of a n inve st m e nt in t he se c urit ie s a re unc le a r. There is no direct legal
authority regarding the proper U.S. federal tax treatment of the securities, and we do not plan to request a ruling from the
Internal Revenue Service (the "IRS"). Consequently, significant aspects of the tax treatment of the securities are uncertain,
and the IRS or a court might not agree with the treatment of the securities as prepaid forward contracts. If the IRS were
successful in asserting an alternative treatment of the securities, the tax consequences of the ownership and disposition of
the securities might be materially and adversely affected. Moreover, future legislation, Treasury regulations or IRS guidance
could adversely affect the U.S. federal tax treatment of the securities, possibly retroactively.

If you are a non-U.S. investor, you should review the discussion of withholding tax issues in "United States Federal Tax
Considerations--Non-U.S. Holders" below.

You should read carefully the discussion under "United States Federal Tax Considerations" and "Risk Factors Relating to
the Securities" in the accompanying product supplement and "United States Federal Tax Considerations" in this pricing
supplement. You should also consult your tax adviser regarding the U.S. federal tax consequences of an investment in the
securities, as well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.

PS-6
Citigroup Global Markets Holdings Inc.

Information About the Russell 2000® Index

The Russell 2000® Index is designed to track the performance of the small capitalization segment of the U.S. equity market. All
stocks included in the Russell 2000® Index are traded on a major U.S. exchange. It is calculated and maintained by FTSE Russell.

Please refer to the section "Equity Index Descriptions-- The Russell Indices" in the accompanying underlying supplement for
additional information.

We have derived all information regarding the Russell 2000® Index from publicly available information and have not independently
verified any information regarding the Russell 2000® Index. This pricing supplement relates only to the securities and not to the
Russell 2000® Index. We make no representation as to the performance of the Russell 2000® Index over the term of the securities.

The securities represent obligations of Citigroup Global Markets Holdings Inc. (guaranteed by Citigroup Inc.) only. The sponsor of
the Russell 2000® Index is not involved in any way in this offering and has no obligation relating to the securities or to holders of
the securities.

Historical Information

The closing value of the Russell 2000® Index on June 25, 2020 was 1,413.315.

The graph below shows the closing value of the Russell 2000® Index for each day such value was available from January 4, 2010
to June 25, 2020. We obtained the closing values from Bloomberg L.P., without independent verification. You should not take
historical closing values as an indication of future performance.

Russe ll 2 0 0 0 ® I nde x H ist oric a l Closing V a lue s
J a nua ry 4 , 2 0 1 0 t o J une 2 5 , 2 0 2 0
https://www.sec.gov/Archives/edgar/data/200245/000095010320012629/dp131122_424b2-us2002270.htm[6/29/2020 2:54:38 PM]

PS-7
Citigroup Global Markets Holdings Inc.

United States Federal Tax Considerations

You should read carefully the discussion under "United States Federal Tax Considerations" and "Risk Factors Relating to the
Securities" in the accompanying product supplement and "Summary Risk Factors" in this pricing supplement.

In the opinion of our counsel, Davis Polk & Wardwell LLP, which is based on current market conditions, a security should be
treated as a prepaid forward contract for U.S. federal income tax purposes. By purchasing a security, you agree (in the absence of
an administrative determination or judicial ruling to the contrary) to this treatment. There is uncertainty regarding this treatment, and
the IRS or a court might not agree with it.

Assuming this treatment of the securities is respected and subject to the discussion in "United States Federal Tax Considerations"
in the accompanying product supplement, the following U.S. federal income tax consequences should result under current law:

·
You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or
exchange.

·
Upon a sale or exchange of a security (including retirement at maturity), you should recognize capital gain or loss equal to
the difference between the amount realized and your tax basis in the security. Such gain or loss should be long-term
capital gain or loss if you held the security for more than one year.

We do not plan to request a ruling from the IRS regarding the treatment of the securities. An alternative characterization of the
securities could materially and adversely affect the tax consequences of ownership and disposition of the securities, including the
timing and character of income recognized. In addition, the U.S. Treasury Department and the IRS have requested comments on
various issues regarding the U.S. federal income tax treatment of "prepaid forward contracts" and similar financial instruments and
have indicated that such transactions may be the subject of future regulations or other guidance. Furthermore, members of
Congress have proposed legislative changes to the tax treatment of derivative contracts. Any legislation, Treasury regulations or
other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an
investment in the securities, possibly with retroactive effect. You should consult your tax adviser regarding possible alternative tax
treatments of the securities and potential changes in applicable law.

N on -U .S. H olde rs. Subject to the discussions below and in "United States Federal Tax Considerations" in the accompanying
product supplement, if you are a Non-U.S. Holder (as defined in the accompanying product supplement) of the securities, you
generally should not be subject to U.S. federal withholding or income tax in respect of any amount paid to you with respect to the
securities, provided that (i) income in respect of the securities is not effectively connected with your conduct of a trade or business
in the United States, and (ii) you comply with the applicable certification requirements.
https://www.sec.gov/Archives/edgar/data/200245/000095010320012629/dp131122_424b2-us2002270.htm[6/29/2020 2:54:38 PM]

As discussed under "United States Federal Tax Considerations--Tax Consequences to Non-U.S. Holders" in the accompanying
product supplement, Section 871(m) of the Code and Treasury regulations promulgated thereunder ("Section 871(m)") generally
impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial
instruments linked to U.S. equities ("U.S. Underlying Equities") or indices that include U.S. Underlying Equities. Section 871(m)
generally applies to instruments that substantially replicate the economic performance of one or more U.S. Underlying Equities, as
determined based on tests set forth in the applicable Treasury regulations. However, the regulations, as modified by an IRS notice,
exempt financial instruments issued prior to January 1, 2023 that do not have a "delta" of one. Based on the terms of the securities
and representations provided by us, our counsel is of the opinion that the securities should not be treated as transactions that have
a "delta" of one within the meaning of the regulations with respect to any U.S. Underlying Equity and, therefore, should not be
subject to withholding tax under Section 871(m).

A determination that the securities are not subject to Section 871(m) is not binding on the IRS, and the IRS may disagree with this
treatment. Moreover, Section 871(m) is complex and its application may depend on your particular circumstances, including your
other transactions. You should consult your tax adviser regarding the potential application of Section 871(m) to the securities.

If withholding tax applies to the securities, we will not be required to pay any additional amounts with respect to amounts withheld.

Y ou should re a d t he se c t ion e nt it le d "U nit e d St a t e s Fe de ra l T a x Conside ra t ions" in t he a c c om pa nying
produc t supple m e nt . T he pre c e ding disc ussion, w he n re a d in c om bina t ion w it h t ha t se c t ion, c onst it ut e s t he
full opinion of Da vis Polk & Wa rdw e ll LLP re ga rding t he m a t e ria l U .S. fe de ra l t a x c onse que nc e s of ow ning
a nd disposing of t he se c urit ie s.

Y ou should a lso c onsult your t a x a dvise r re ga rding a ll a spe c t s of t he U .S. fe de ra l inc om e a nd e st a t e t a x
c onse que nc e s of a n inve st m e nt in t he se c urit ie s a nd a ny t a x c onse que nc e s a rising unde r t he la w s of a ny
st a t e , loc a l or non -U .S. t a x ing jurisdic t ion.

Supplemental Plan of Distribution

CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and the underwriter of the sale of the securities, is acting as principal
and will receive an underwriting fee of up to $30.00 for each security sold in this offering. The actual underwriting fee will be equal
to the selling concession provided to selected dealers, as described in this paragraph. From this underwriting fee, CGMI will pay
selected dealers not affiliated with CGMI a variable selling concession of up to $30.00 for each security they sell.

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.

Valuation of the Securities

CGMI calculated the estimated value of the securities set forth on the cover page of this pricing supplement based on proprietary
pricing models. CGMI's proprietary pricing models generated an estimated value for the securities by estimating the value of a
hypothetical package of financial instruments that would replicate the payout on the securities, which consists of a fixed-income
bond (the "bond component") and one or more derivative instruments underlying the economic terms of the securities (the
"derivative component"). CGMI calculated the estimated value of the

PS-8
Citigroup Global Markets Holdings Inc.

bond component using a discount rate based on our internal funding rate. CGMI calculated the estimated value of the derivative
component based on a proprietary derivative-pricing model, which generated a theoretical price for the instruments that constitute
the derivative component based on various inputs, including the factors described under "Summary Risk Factors--The value of the
securities prior to maturity will fluctuate based on many unpredictable factors" in this pricing supplement, but not including our or
Citigroup Inc.'s creditworthiness. These inputs may be market-observable or may be based on assumptions made by CGMI in its
discretionary judgment.

For a period of approximately three months following issuance of the securities, the price, if any, at which CGMI would be willing to
buy the securities from investors, and the value that will be indicated for the securities on any brokerage account statements
prepared by CGMI or its affiliates (which value CGMI may also publish through one or more financial information vendors), will
https://www.sec.gov/Archives/edgar/data/200245/000095010320012629/dp131122_424b2-us2002270.htm[6/29/2020 2:54:38 PM]

Document Outline

#1">
- #1">