Obligation Citi Global Markets 0% ( US17328VS434 ) en USD

Citi Global Markets

100 % ▼

Etas-Unis

US17328VS434 ( en USD )

20/04/2023 - Obligation échue

Prospectus brochure de l'obligation Citigroup Global Markets Holdings US17328VS434 en USD 0%, échue

1 000 USD

2 265 000 USD

17328VS43

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 US17328VS434, paye un coupon de 0% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 20/04/2023

L'Obligation émise par Citi Global Markets ( Etas-Unis ) , en USD, avec le code ISIN US17328VS434, a été notée NR par l'agence de notation Moody's.

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424B2 1 dp126433_424b2-us2096307.htm PRICING SUPPLEMENT
Citigroup Global Markets Holdings
April 16, 2020
Medium-Term Senior Notes, Series N
Inc.
Pricing Supplement No. 2020-USNCH4121
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-224495 and 333-
224495-03
Barrier Securities Linked to the Worst Performing of the Dow Jones Industrial AverageTM , the Russell
2000® Index and the S&P 500® Index Due April 20, 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 worst
performing of the underlyings specified below from its initial underlying value to its final underlying value.

The securities offer modified exposure to the performance of the worst performing underlying, with (i) the opportunity to
participate in any appreciation of the worst performing underlying at the upside participation rate specified below and
(i ) contingent repayment of the stated principal amount at maturity if the worst performing underlying depreciates, but
only so long as its final underlying value is greater than or equal to its final barrier value specified below. In exchange
for these features, investors in the securities must be wil ing to forgo any dividends with respect to any underlying. In
addition, investors in the securities must be wil ing to accept ful downside exposure to the depreciation of the worst
performing underlying if its final underlying value is less than its final barrier value. If the final underlying value of the
worst performing underlying is less than its final barrier value, you will lose 1% of the stated principal amount
of your securities for every 1% by which its final underlying value is less than its initial underlying value. You
may lose your entire investment in the securities.

You wil be subject to risks associated with each of the underlyings and wil be negatively affected by adverse
movements in any one of the underlyings.

In order to obtain the modified exposure to the worst performing underlying 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.
Underlyings:
Underlying
Initial underlying value*
Final barrier value**
Dow Jones Industrial AverageTM
23,537.68
16,476.376
Russel 2000® Index
1,178.089
824.662
S&P 500® Index
2,799.55
1,959.685

*For each underlying, its closing value on the pricing date
**For each underlying, 70.00% of its initial underlying value
Stated principal
$1,000 per security
amount:
Pricing date:
April 16, 2020
Issue date:
April 21, 2020
Valuation date:
April 17, 2023, subject to postponement if such date is not a scheduled trading day or certain
market disruption events occur
Maturity date:
April 20, 2023
Payment at maturity: You wil receive at maturity for each security you then hold:
§ If the final underlying value of the worst performing underlying is greater than its initial
underlying value:
$1,000 + the return amount
§ If the final underlying value of the worst performing underlying is less than or equal to its
initial underlying value but greater than or equal to its final barrier value:
$1,000
§ If the final underlying value of the worst performing underlying is less than its final barrier
value:
$1,000 + ($1,000 × the underlying return of the worst performing underlying)
If the final underlying value of the worst performing underlying is less than its final barrier
value, you will receive significantly less than the stated principal amount of your
securities, and possibly nothing, at maturity.
Final underlying
For each underlying, its closing value on the valuation date
value:
Return amount:
$1,000 × the underlying return of the worst performing underlying × the upside participation rate
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Upside participation
163.00%
rate:
Worst performing
The underlying with the lowest underlying return
underlying:
Underlying return:
For each underlying, (i) its final underlying value minus its initial underlying value, divided by (i ) its
initial underlying value
Listing:
The securities wil not be listed on any securities exchange
CUSIP / ISIN:
17328VS43 / US17328VS434
Underwriter:
Citigroup Global Markets Inc. ("CGMI"), an affiliate of the issuer, acting as principal
Underwriting fee and
Issue price(1)
Underwriting fee(2)
Proceeds to issuer
issue price:
Per security:
$1,000.00
$10.00
$990.00
Total:
$2,265,000.00
$13,590.00
$2,251,410.00
(1) On the date of this pricing supplement, the estimated value of the securities is $941.60 per security, which is less than the issue
price. The estimated value of the securities is based on CGMI's proprietary pricing models and our internal funding rate. It is not an
indication of actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if any, at which CGMI or any other person
may be willing to buy the securities from you at any time after issuance. See "Valuation of the Securities" in this pricing supplement.
(2) For more information on the distribution of the securities, see "Supplemental Plan of Distribution" in this pricing supplement. In
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.
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 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, which can be accessed via the hyperlinks below:
Product Supplement No. EA-02-08 dated February 15, 2019 Underlying Supplement No. 8 dated February 21,
2019
Prospectus Supplement and Prospectus each dated May 14, 2018
The securities are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance
Corporation or any other governmental agency, nor are they obligations of, or guaranteed by, a bank.

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Citigroup Global Markets Holdings Inc.

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, the accompanying
product supplement contains important information about how the closing value of each underlying wil 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 each underlying. The accompanying underlying supplement contains information
about each 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.

Payout Diagram

The diagram below il ustrates your payment at maturity for a range of hypothetical underlying returns of the worst
performing underlying.

Investors in the securities will not receive any dividends with respect to the underlyings. The diagram and
examples below do not show any effect of lost dividend yield over the term of the securities. See "Summary Risk
Factors--You wil not receive dividends or have any other rights with respect to the underlyings" below.

Payout Diagram
n The Securities
n The Worst Performing Underlying

PS-2
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Hypothetical Examples

The examples below il ustrate how to determine the payment at maturity on the securities, assuming the various
hypothetical final underlying values indicated below. The examples are solely for il ustrative purposes, do not show al
possible outcomes and are not a prediction of what the actual payment at maturity on the securities wil be. The actual
payment at maturity wil depend on the actual final underlying value of the worst performing underlying.

The examples below are based on the fol owing hypothetical values and do not reflect the actual initial underlying values or
final barrier values of the underlyings. For the actual initial underlying value and final barrier value of each underlying, 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 wil be calculated based on the actual initial underlying value and final barrier value of
each underlying, and not the hypothetical values indicated below. For ease of analysis, figures below have been rounded.

Underlying
Hypothetical initial underlying value
Hypothetical final barrier value
70.00 (70.00% of its hypothetical initial
Dow Jones Industrial AverageTM
100.00
underlying value)
70.00 (70.00% of its hypothetical initial
Russel 2000® Index
100.00
underlying value)
70.00 (70.00% of its hypothetical initial
S&P 500® Index
100.00
underlying value)

Example 1--Upside Scenario. The final underlying value of the worst performing underlying is 105.00, resulting in a
5.00% underlying return for the worst performing underlying. In this example, the final underlying value of the worst
performing underlying is greater than its initial underlying value.

Underlying
Hypothetical final underlying value
Hypothetical underlying return
Dow Jones Industrial AverageTM *
105.00
5.00%
Russel 2000® Index
140.00
40.00%
S&P 500® Index
130.00
30.00%
* Worst performing underlying

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

= $1,000 + ($1,000 × the underlying return of the worst performing underlying × the upside participation rate)

= $1,000 + ($1,000 × 5.00% × 163.00%)

= $1,000 + $81.50

= $1,081.50

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

Example 2--Par Scenario. The final underlying value of the worst performing underlying is 95.00, resulting in a -5.00%
underlying return for the worst performing underlying. In this example, the final underlying value of the worst performing
underlying is less than its initial underlying value but greater than its final barrier value.

Underlying
Hypothetical final underlying value
Hypothetical underlying return
Dow Jones Industrial AverageTM
100.00
0.00%
Russel 2000® Index*
95.00
-5.00%
S&P 500® Index
110.00
10.00%
* Worst performing underlying

Payment at maturity per security = $1,000

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In this scenario, the worst performing underlying has depreciated from its initial underlying value to its final underlying
value but not below its final barrier value. 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.

Example 3--Downside Scenario. The final underlying value of the worst performing underlying is 30.00, resulting in a
-70.00% underlying return for the worst performing underlying. In this example, the final underlying value of the worst
performing underlying is less than its final barrier value.

Underlying
Hypothetical final underlying value
Hypothetical underlying return
Dow Jones Industrial AverageTM
120.00
20.00%
Russel 2000® Index
105.00
5.00%
S&P 500® Index*
30.00
-70.00%
* Worst performing underlying

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

= $1,000 + ($1,000 × -70.00%)

= $1,000 + -$700.00

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= $300.00

In this scenario, the worst performing underlying has depreciated from its initial underlying value to its final underlying
value and its final underlying value is less than its final barrier value. 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 worst performing
underlying.

PS-4
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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 to al 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 each 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 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 a significant portion 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 worst performing underlying. If the final underlying value of the worst performing underlying is
less than its final barrier value, you wil lose 1% of the stated principal amount of your securities for every 1% by
which the worst performing underlying has depreciated from its initial underlying value to its final underlying value.
There is no minimum payment at maturity on the securities, and you may lose up to al of your 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.

§
The securities are subject to heightened risk because they have multiple underlyings. The securities are
more risky than similar investments that may be available with only one underlying. With multiple underlyings,
there is a greater chance that any one underlying wil perform poorly, adversely affecting your return on the
securities.

§
The securities are subject to the risks of each of the underlyings and will be negatively affected if any one
underlying performs poorly. You are subject to risks associated with each of the underlyings. If any one
underlying performs poorly, you wil be negatively affected. The securities are not linked to a basket composed of
the underlyings, where the blended performance of the underlyings would be better than the performance of the
worst performing underlying alone. Instead, you are subject to the ful risks of whichever of the underlyings is the
worst performing underlying.

§
You will not benefit in any way from the performance of any better performing underlying. The return on the
securities depends solely on the performance of the worst performing underlying, and you wil not benefit in any
way from the performance of any better performing underlying.

§
You will be subject to risks relating to the relationship between the underlyings. It is preferable from your
perspective for the underlyings to be correlated with each other, in the sense that their closing values tend to
increase or decrease at similar times and by similar magnitudes. By investing in the securities, you assume the
risk that the underlyings wil not exhibit this relationship. The less correlated the underlyings, the more likely it is
that any one of the underlyings wil perform poorly over the term of the securities. Al that is necessary for the
securities to perform poorly is for one of the underlyings to perform poorly. It is impossible to predict what the
relationship between the underlyings wil be over the term of the securities. The underlyings differ in significant
ways and, therefore, may not be correlated with each other.

§
You will not receive dividends or have any other rights with respect to the underlyings. You wil not receive
any dividends with respect to the underlyings. 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 wil not have voting rights or any other rights with respect to
the underlyings or the stocks included in the underlyings.

§
Your payment at maturity depends on the closing value of the worst performing underlying on a single
day. Because your payment at maturity depends on the closing value of the worst performing underlying solely on
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the valuation date, you are subject to the risk that the closing value of the worst performing 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 worst performing underlying 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 values of the worst
performing underlying, you might have achieved better returns.

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

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

PS-5
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Citigroup Global Markets Holdings Inc.

§
The estimated value of the securities on the pricing date, based on CGMI's proprietary pricing models and
our internal funding rate, is less than the issue price. The difference is attributable to certain costs associated
with sel ing, structuring and hedging the securities that are included in the issue price. These costs include (i) any
sel ing concessions or other fees paid in connection with the offering of the securities, (i ) hedging and other costs
incurred by us and our affiliates in connection with the offering of the securities and (i i) the expected profit (which
may be more or less than actual profit) to CGMI or other of our affiliates in connection with hedging our obligations
under the securities. These costs adversely affect the economic terms of the securities because, if they were
lower, the economic terms of the securities would be more favorable to you. The economic terms of the securities
are also likely to be adversely affected by the use of our internal funding rate, rather than our secondary market
rate, to price the securities. See "The estimated value of the securities would be lower if it were calculated based
on our secondary market rate" below.

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

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

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

§
The value of the securities prior to maturity will fluctuate based on many unpredictable factors. The value
of your securities prior to maturity wil fluctuate based on the closing values of the underlyings, the volatility of, and
correlation between, the closing values of the underlyings, dividend yields on the underlyings, interest rates
general y, the time remaining to maturity and our and Citigroup Inc.'s creditworthiness, as reflected in our
secondary market rate, among other factors described under "Risk Factors Relating to the Securities--Risk
Factors Relating to Al Securities--The value of your securities prior to maturity wil fluctuate based on many
unpredictable factors" in the accompanying product supplement. Changes in the closing values of the underlyings
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may not result in a comparable change in the value of your securities. You should understand that the value of
your securities at any time prior to maturity may be significantly less than the issue price.

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

§
The Russell 2000® Index is subject to risks associated with small capitalization stocks. The stocks that
constitute the Russel 2000® Index are issued by companies with relatively smal market capitalization. The stock
prices of smal er companies may be more volatile than stock prices of large capitalization companies. These
companies tend to be less wel -established than large market capitalization companies. Smal capitalization
companies may be less able to withstand adverse economic, market, trade and competitive conditions relative to
larger companies. Smal 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 offering of the securities is not a recommendation of any underlying. The fact that we are offering the
securities does not mean that we believe that investing in an instrument linked to the underlyings 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 underlyings or in instruments related to the underlyings, and may publish research
or express opinions, that in each case are inconsistent with an investment linked to the

PS-6
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