Obligation Citi Global Markets 0% ( US17328VWX45 ) en USD

Citi Global Markets

100 % ⇌

Etas-Unis

US17328VWX45 ( en USD )

12/08/2021 - Obligation échue

Prospectus brochure de l'obligation Citigroup Global Markets Holdings US17328VWX45 en USD 0%, échue

1 000 USD

3 500 000 USD

17328VWX4

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 US17328VWX45, paye un coupon de 0% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 12/08/2021

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424B2 1 dp128908_424b2-us2000464.htm PRICING SUPPLEMENT
Citigroup Global Markets Holdings
May 26, 2020
Medium-Term Senior Notes, Series N
Inc.
Pricing Supplement No. 2020-USNCH4472
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-224495 and 333-224495-03
Buffer Securities Linked to the S&P 500® Index Due August 12, 2021

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 (i ) a limited buffer against any depreciation of the underlying as
described below. In exchange for these features, investors in the securities must be wil ing to forgo any appreciation of the underlying in excess of
the maximum return at maturity specified below and must be wil ing to forgo any dividends with respect to the underlying. In addition, investors in the
securities must be wil ing to accept downside exposure to any depreciation of the underlying in excess of the buffer percentage specified below. 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.

In order to obtain the modified exposure to the 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.
Underlying:
The S&P 500® Index
Stated principal amount:
$1,000 per security
Strike date:
May 22, 2020
Pricing date:
May 26, 2020
Issue date:
May 29, 2020
Valuation date:
August 10, 2021, subject to postponement if such date is not a scheduled trading day or certain market disruption events
occur
Maturity date:
August 12, 2021
Payment at maturity:
You wil 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)]
If the final underlying value is less than the final buffer value, which means that the underlying has depreciated
from the initial underlying value by more than the buffer percentage, you will lose 1% of the stated principal
amount of your securities at maturity for every 1% by which that depreciation exceeds the buffer percentage.
Initial underlying value:
2,955.45, the closing value of the underlying on the strike date
Final underlying value:
The closing value of the underlying on the valuation date
Return amount:
$1,000 × the underlying return × the upside participation rate
Upside participation rate:
150.00%
Underlying return:
(i) The final underlying value minus the initial underlying value, divided by (i ) the initial underlying value
Maximum return at
$160.00 per security (16.00% of the stated principal amount). The payment at maturity per security wil not exceed the
maturity:
stated principal amount plus the maximum return at maturity.
Final buffer value:
2,659.905, 90.00% of the initial underlying value
Buffer percentage:
10.00%
Listing:
The securities wil not be listed on any securities exchange
CUSIP / ISIN:
17328VWX4 / US17328VWX45
Underwriter:
Citigroup Global Markets Inc. ("CGMI"), an affiliate of the issuer, acting as principal
Underwriting fee and issue
Issue price(1)(2)
Underwriting fee(3)
Proceeds to issuer
price:
Per security:
$1,000.00
$1.00
$999.00
Total:
$3,500,000.00
$3,500.00
$3,496,500.00
(1) On the date of this pricing supplement, the estimated value of the securities is $1,005.50 per security, which is less than the issue price. The
estimated value of the securities is based on CGMI's proprietary pricing models and our internal funding rate. It is not an indication of actual profit to
CGMI or other of our affiliates, nor is it an indication of the price, if any, at which CGMI or any other person may be wil ing to buy the securities from you
at any time after issuance. See "Valuation of the Securities" in this pricing supplement.
(2) The issue price for investors purchasing the securities in fee-based advisory accounts wil be $999.00 per security, assuming no custodial fee is
charged by a selected dealer, and up to $1,000.00 per security, assuming the maximum custodial fee is charged by a selected dealer. See "Supplemental
Plan of Distribution" in this pricing supplement.
(3) 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.
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Investing in the securities involves risks not associated with an investment in conventional debt securities. See
"Summary Risk Factors" beginning on page PS-4.
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
General. 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 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 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.

Prospectus. The first sentence of "Description of Debt Securities-- Events of Default and Defaults" in the accompanying
prospectus shal be amended to read in its entirety as fol ows:

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

Investors in the securities will not receive any dividends with respect to the underlying. 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 underlying" below.

Payout Diagram
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n The Securities n The Underlying

PS-2
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Citigroup Global Markets Holdings Inc.

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.

The examples below are based on the fol owing 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 wil 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.

Hypothetical initial underlying
100.00
value:
Hypothetical final buffer value:
90.00 (90.00% of the hypothetical initial underlying value)

Example 1--Upside Scenario A. The final underlying value is 105.00, resulting in a 5.00% underlying return. In this
example, the final underlying value is greater than 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% × 150.00%), subject to the maximum return at maturity

= $1,000 + $75.00, subject to the maximum return at maturity

= $1,075.00

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.

Example 2--Upside Scenario B. The final underlying value is 150.00, resulting in a 50.00% underlying return. In this
example, the final underlying value is greater than 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% × 150.00%), subject to the maximum return at maturity

= $1,000 + $750.00, subject to the maximum return at maturity

= $1,160.00

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.

Example 3--Par Scenario. The final underlying value is 95.00, resulting in a -5.00% underlying return. In this example,
the final underlying value is less than the initial underlying value but greater than 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.
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Example 4--Downside Scenario. The final underlying value is 30.00, resulting in a -70.00% underlying return. In this
example, the final underlying value is less than 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% + 10.00%)]

= $1,000 + [$1,000 × -60.00%]

= $1,000 + -$600.00

= $400.00

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
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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 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 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 of your investment. Unlike conventional debt securities, the securities do
not repay a fixed amount of principal at maturity. Instead, your payment at maturity wil depend on the performance
of the underlying. If the underlying depreciates by more than the buffer percentage from the initial underlying value
to the final underlying value, you wil lose 1% of the stated principal amount of your securities for every 1% by
which that depreciation exceeds the buffer percentage.

§
The initial underlying value, which was set on the strike date, may be higher than the closing value of the
underlying on the pricing date. If the closing value of the underlying on the pricing date is less than the initial
underlying value that was set on the strike date, the terms of the securities may be less favorable to you than the
terms of an alternative investment that may be available to you that offers a similar payout as the securities but
with the initial underlying value set on the pricing date.

§
Your potential return on the securities is limited. 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 wil 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 al 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.

§
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.

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

§
Your payment at maturity depends on the closing value of the underlying on a single day. 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 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 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
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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.

§
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.

PS-4
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Citigroup Global Markets Holdings Inc.

§
The estimated value of the securities was determined for us by our affiliate using proprietary pricing
models. CGMI derived the estimated value disclosed on the cover page of this pricing supplement from its
proprietary pricing models. In doing so, it may have made discretionary judgments about the inputs to its models,
such as the volatility of the 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 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 value of the underlying, the volatility of the
closing value of the underlying, the dividend yield on the underlying, 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 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.

§
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.

§
Our offering of the securities is not a recommendation of the underlying. 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
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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.

§
The closing value of the underlying may be adversely affected by our or our affiliates' hedging and other
trading activities. 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 and our affiliates may have economic interests that are adverse to yours as a result of our affiliates'
business activities. 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 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 wil not be disclosed to you.

PS-5
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