Obligation Citi Global Markets 0% ( US17328VYX27 ) en USD

Citi Global Markets

98.41 % ▲

Etas-Unis

US17328VYX27 ( en USD )

30/06/2027

Prospectus brochure de l'obligation Citigroup Global Markets Holdings US17328VYX27 en USD 0%, échéance 30/06/2027

1 000 USD

72 450 000 USD

17328VYX2

N/A

A2 ( Qualité moyenne supérieure )

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 US17328VYX27, paye un coupon de 0% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 30/06/2027

L'Obligation émise par Citi Global Markets ( Etas-Unis ) , en USD, avec le code ISIN US17328VYX27, a été notée A2 ( Qualité moyenne supérieure ) par l'agence de notation Moody's.

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424B2 1 dp131032_424b2-us2003941.htm PRICING SUPPLEMENT

Citigroup Global Markets
June 23, 2020
Medium-Term Senior Notes, Series N
Holdings Inc.
Pricing Supplement No. 2020-USNCH4690
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-224495 and 333-224495-
03
Equity Linked Notes Linked to the Shares of Common Stock of Johnson & Johnson Due June 30, 2027
The notes offered by this pricing supplement are unsecured debt securities issued by Citigroup Global Markets Holdings
Inc. and guaranteed by Citigroup Inc. The notes offer the potential for a positive return at maturity based on the
performance of the shares of common stock of Johnson & Johnson (the "underlying shares") from the initial share price
to the final share price.
The notes offer the potential for a positive return at maturity if, and only if, the final share price exceeds the threshold
price specified below. If the final share price is less than or equal to the threshold price, you wil be repaid the stated
principal amount of your notes at maturity. The threshold price is significantly greater than the initial share price. As a
result, you wil not receive any return on your investment in the notes unless the underlying shares appreciate
significantly from the initial share price. Even if the final share price exceeds the threshold price so that you do receive a
positive return at maturity, there is no assurance that your total return at maturity on the notes wil compensate you for
the effects of inflation or be as great as the yield you could have achieved on a conventional debt security of ours of
comparable maturity.
To obtain the exposure to the underlying shares that the notes 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 notes if we
and Citigroup Inc. default on our obligations. All payments on the notes 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 notes are ful y and unconditional y guaranteed by Citigroup Inc.
Underlying shares:
Shares of common stock of Johnson & Johnson (the "underlying share issuer")
Stated principal amount: $1,000 per note
Pricing date:
June 23, 2020
Issue date:
June 30, 2020
Valuation date:
June 23, 2027, subject to postponement if such date is not a scheduled trading day or certain
market disruption events occur
Maturity date:
June 30, 2027
Payment at maturity:
For each note you hold at maturity, you wil receive the greater of (i) $1,000 and (i ) the
alternative settlement amount
Alternative settlement
(i) $1,000 multiplied by (i ) (a) the final share price divided by (b) the threshold price
amount:
Initial share price:
$143.4679, which is a price of one underlying share determined on the pricing date in the sole
discretion of the calculation agent. The initial share price is not the VWAP or the closing price
of the underlying shares on the pricing date. The calculation agent is under no obligation to
consider your interests as a holder of the notes in taking any actions, including the
determination of the initial share price, that might affect the value of your notes.
Final share price:
The VWAP of the underlying shares on the valuation date multiplied by the share adjustment
factor as in effect on the valuation date, except as otherwise provided under "Additional Terms
of the Notes--Dilution and Reorganization Adjustments" in this pricing supplement. The "share
adjustment factor" is initial y 1 and is subject to adjustment upon the occurrence of certain
events, including in connection with any ordinary dividend that is greater than or less than its
corresponding base dividend, as described under "Additional Terms of the Notes--Dilution and
Reorganization Adjustments" in this pricing supplement.
Threshold price:
$170.5833, which is 118.90% of the initial share price.
Relevant Bloomberg
Under the heading "Bloomberg VWAP" on Bloomberg page JNJ <equity> AQR. See
page:
"Additional Terms of the Notes--Definition of VWAP" in this pricing supplement.
Listing:
The notes wil not be listed on any securities exchange
CUSIP / ISIN:
17328VYX2 / US17328VYX27
Underwriter:
Citigroup Global Markets Inc. ("CGMI"), an affiliate of the issuer, acting as principal
Underwriting fee and issue
Issue price(1)
Underwriting fee(2)
Proceeds to issuer
price:
Per note:
$1,000.00
--
$1,000.00
Total:
$72,450,000.00
--
$72,450,000.00
(1) On the date of this pricing supplement, the estimated value of the notes on the pricing date is $969.40 per note, which
is less than the issue price. The estimated value of the notes 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
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price, if any, at which CGMI or any other person may be wil ing to buy the notes from you at any time after issuance. See
"Valuation of the Notes" in this pricing supplement.
(2) For more information on the distribution of the notes, see "Supplemental Plan of Distribution" in this pricing supplement.
CGMI and its affiliates may profit from hedging activity related to this offering, even if the value of the notes declines. See
"Use of Proceeds and Hedging" in the accompanying prospectus.
Investing in the notes involves risks not associated with an investment in conventional debt securities.
See "Summary Risk Factors" beginning on page PS-5.
Neither the Securities and Exchange Commission (the "SEC") nor any state securities commission has approved
or disapproved of the notes or determined that this pricing supplement and the accompanying product
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, prospectus
supplement and prospectus, each of which can be accessed via the hyperlinks below:
Product Supplement No. EA-03-07 dated March 7, 2019 Prospectus Supplement and Prospectus each dated May
14, 2018
The notes 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 notes are set forth in the accompanying product supplement, prospectus supplement and
prospectus, as supplemented and modified by this pricing supplement. The accompanying product supplement,
prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing supplement. For
example, certain events may occur that could affect your payment at maturity, such as market disruption events and other
events affecting the underlying shares. These events and their consequences are described in the accompanying product
supplement in the section "Description of the Notes" and not in this pricing supplement, except to the extent set forth in
"Additional Terms of the Notes" in this pricing supplement. It is important that you read the accompanying product
supplement, prospectus supplement and prospectus together with this pricing supplement in connection with your
investment in the notes. Certain terms used but not defined in this pricing supplement are defined in the accompanying
product supplement.

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).

PS-2
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Citigroup Global Markets Holdings Inc.

Payout Diagram

The diagram below il ustrates your payment at maturity for a range of hypothetical percentage changes from the initial
share price to the final share price.

Investors in the notes will not receive any dividends that may be paid on the underlying shares. The diagram and
examples below do not show any effect of lost dividend yield over the term of the notes. See "Summary Risk
Factors--You wil not receive dividends or have any other rights with respect to the underlying shares" below.

Market-Linked Notes
Payment at Maturity Diagram
n The Notesn The Underlying Shares

Hypothetical Examples

The examples below il ustrate how to determine the payment at maturity on the notes, assuming the various hypothetical
final share prices 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 notes wil be. The actual payment at maturity wil
depend on the actual final share price.

The examples below are based on the fol owing hypothetical prices and do not reflect the actual initial share price or
threshold price. For the actual initial share price and threshold price, see the cover page of this pricing supplement. We
have used these hypothetical prices, rather than the actual prices, to simplify the calculations and aid understanding of
how the notes work. However, you should understand that the actual payment at maturity on the notes wil be calculated
based on the actual initial share price and threshold price, and not the hypothetical prices indicated below. For ease of
analysis, figures below have been rounded.

PS-3
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Citigroup Global Markets Holdings Inc.

Hypothetical initial share price:
$100.00
Hypothetical threshold price:
$118.90 (118.90% of the hypothetical initial share price)

Example 1--Upside Scenario. The final share price is $130.79, which is greater than the threshold price.

Payment at maturity per note = the greater of (i) $1,000 and (i ) the alternative settlement amount

= the greater of (i) $1,000 and (i ) $1,000 × (final share price / threshold price)

= the greater of (i) $1,000 and (i ) $1,000 × ($130.79 / $118.90)

= the greater of (i) $1,000 and (i ) $1,000 × 110%

= the greater of (i) $1,000 and (i ) $1,100

= $1,100

In this scenario, the final share price is greater than the threshold price, and as a result you would receive a positive return
at maturity equal to the percentage by which the final share price exceeds the threshold price (as a percentage of the
threshold price).

Example 2--Par Scenario A. The final share price is $107.01, which is greater than the initial share price but less than
the threshold price.

Payment at maturity per note = the greater of (i) $1,000 and (i ) the alternative settlement amount

= the greater of (i) $1,000 and (i ) $1,000 × (final share price / threshold price)

= the greater of (i) $1,000 and (i ) $1,000 × ($107.01 / $118.90)

= the greater of (i) $1,000 and (i ) $1,000 × 90%

= the greater of (i) $1,000 and (i ) $900

= $1,000

In this scenario, the underlying shares have appreciated over the term of the notes so that the final share price is greater
than the initial share price. However, because the final share price does not exceed the threshold price, you would be
repaid the stated principal amount of your notes at maturity but would not receive any positive return on your investment.

Example 3--Par Scenario B. The final share price is $59.45, which is less than the initial share price and less than the
threshold price.

Payment at maturity per note = the greater of (i) $1,000 and (i ) the alternative settlement amount

= the greater of (i) $1,000 and (i ) $1,000 × (final share price / threshold price)

= the greater of (i) $1,000 and (i ) $1,000 × ($59.45 / $118.90)

= the greater of (i) $1,000 and (i ) $1,000 × 50%

= the greater of (i) $1,000 and (i ) $500

= $1,000

In this scenario, the underlying shares have depreciated over the term of the notes and the final share price is less than
the initial share price. You would be repaid the stated principal amount of your notes at maturity but would not receive any
positive return on your investment.

PS-4
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Citigroup Global Markets Holdings Inc.

Summary Risk Factors

An investment in the notes is significantly riskier than an investment in conventional debt securities. The notes 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 notes, and are also subject to risks associated
with the underlying shares. Accordingly, the notes are suitable only for investors who are capable of understanding the
complexities and risks of the notes. You should consult your own financial, tax and legal advisors as to the risks of an
investment in the notes and the suitability of the notes in light of your particular circumstances.

The fol owing is a summary of certain key risk factors for investors in the notes. You should read this summary together
with the more detailed description of risks relating to an investment in the notes contained in the section "Risk Factors
Relating to the Notes" beginning on page EA-6 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 not receive any return on your investment in the notes. You wil receive a positive return on your
investment in the notes only if the final share price exceeds the threshold price. If the final share price is less than or
equal to the threshold price, you wil receive at maturity only the stated principal amount for each note you hold. The
threshold price is significantly greater than the initial share price. As a result, you wil not receive any return on your
investment in the notes unless the underlying shares appreciate significantly from the initial share price. Even if the
final share price is greater than the threshold price, there is no assurance that your total return at maturity on the notes
wil be as great as could have been achieved on conventional debt securities of ours of comparable maturity.

Although the notes provide for the repayment of the stated principal amount at maturity, you may
nevertheless suffer a loss on your investment in real value terms if the underlying shares do not appreciate
sufficiently from the initial share price to the final share price. This is because inflation may cause the real value
of the stated principal amount to be less at maturity than it is at the time you invest, and because an investment in the
notes represents a forgone opportunity to invest in an alternative asset that does generate a positive real return. This
potential loss in real value terms is significant given the term of the notes. You should careful y consider whether an
investment that may not provide for any return on your investment, or may provide a return that is lower than the return
on alternative investments, is appropriate for you.

An investment in the notes will significantly underperform a direct investment in the underlying shares if the
underlying shares appreciate over the term of the notes. If the underlying shares appreciate over the term of the
notes, you wil participate in that appreciation as an investor in the notes only if, and then only to the extent that, the
final share price exceeds the threshold price. If the final share price is greater than the initial share price but less than
the threshold price, you wil not receive any positive return on your investment in the notes even though the underlying
shares have appreciated, perhaps even significantly, from the initial share price. Moreover, for purposes of determining
your return on the notes in the event that the final share price exceeds the threshold price, the appreciation of the
underlying shares beyond the threshold price wil be measured as a percentage of the threshold price, which wil result
in a lower return on the notes than you would receive if it were measured as a percentage of the initial share price. For
these reasons, an investment in the notes wil significantly underperform a direct investment in the underlying shares if
the underlying shares appreciate over the term of the notes. This is an important trade-off that investors in the notes
must be wil ing to make in exchange for the repayment of the stated principal amount at maturity if the underlying
shares depreciate.

You will not receive dividends or have any other rights with respect to the underlying shares. You wil not
receive any dividends with respect to the underlying shares. This lost dividend yield may be significant over the term of
the notes. The payment scenarios described in this pricing supplement do not show any effect of lost dividend yield
over the term of the notes. In addition, you wil not have voting rights or any other rights with respect to the underlying
shares. If any change to the underlying shares is proposed, such as an amendment to the underlying share issuer's
organizational documents, you wil not have the right to vote on such change. Any such change may adversely affect
the value of the underlying shares.

Your payment at maturity depends on the VWAP of the underlying shares on a single day. Because your
payment at maturity depends on the VWAP of the underlying shares solely on the valuation date, you are subject to
the risk that the VWAP of the underlying shares on that day may be lower, and possibly significantly lower, than on one
or more other dates during the term of the notes. If you had invested directly in the underlying shares or in another
instrument linked to the underlying shares that you could sel for ful value at a time selected by you, or if the payment
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at maturity were based on an average of the VWAPs of the underlying shares throughout the term of the notes, you
might have achieved better returns.

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

PS-5
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Citigroup Global Markets Holdings Inc.

The notes are riskier than securities with a shorter term. The notes are relatively long-dated. Because the notes
are relatively long-dated, many of the risks of the notes are heightened as compared to securities with a shorter term,
because you wil be subject to those risks for a longer period of time. In addition, the value of a longer-dated security is
typical y less than the value of an otherwise comparable security with a shorter term.

The notes will not be listed on any securities exchange and you may not be able to sell them prior to maturity.
The notes wil not be listed on any securities exchange. Therefore, there may be little or no secondary market for the
notes. CGMI currently intends to make a secondary market in relation to the notes and to provide an indicative bid
price for the notes on a daily basis. Any indicative bid price for the notes provided by CGMI 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 notes 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 notes because it is likely that CGMI wil
be the only broker-dealer that is wil ing to buy your notes prior to maturity. Accordingly, an investor must be prepared to
hold the notes until maturity.

Sale of the notes prior to maturity may result in a loss of principal. You wil be entitled to receive at least the ful
stated principal amount of your notes, subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup
Inc., only if you hold the notes to maturity. The value of the notes may fluctuate during the term of the notes, and if you
are able to sel your notes prior to maturity, you may receive less than the ful stated principal amount of your notes.

The estimated value of the notes 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 notes that are included in the issue price. These costs include (i) any fees and
sel ing concessions paid in connection with the offering of the notes, (i ) hedging and other costs incurred by us and
our affiliates in connection with the offering of the notes 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 notes. These costs
adversely affect the economic terms of the notes because, if they were lower, the economic terms of the notes would
be more favorable to you. The economic terms of the notes are also likely to be adversely affected by the use of our
internal funding rate, rather than our secondary market rate, to price the notes. See "The estimated value of the notes
would be lower if it were calculated based on our secondary market rate" below.

The estimated value of the notes 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 underlying shares, the dividend yield on the underlying shares and interest rates. CGMI's views on these inputs
may differ from your or others' views, and as an underwriter in this offering, CGMI's interests may conflict with yours.
Both the models and the inputs to the models may prove to be wrong and therefore not an accurate reflection of the
value of the notes. Moreover, the estimated value of the notes set forth on the cover page of this pricing supplement
may differ from the value that we or our affiliates may determine for the notes for other purposes, including for
accounting purposes. You should not invest in the notes because of the estimated value of the notes. Instead, you
should be wil ing to hold the notes to maturity irrespective of the initial estimated value.

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

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

PS-6
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Citigroup Global Markets Holdings Inc.

principal amount of the notes to be purchased in the secondary market transaction, and the expected cost of
unwinding related hedging transactions. As a result, it is likely that any secondary market price for the notes wil be
less than the issue price.

The value of the notes prior to maturity will fluctuate based on many unpredictable factors. The value of your
notes prior to maturity wil fluctuate based on the price and volatility of the underlying shares and a number of other
factors, including the dividend yield on the underlying shares, interest rates general y, the time remaining to maturity
and our and Citigroup Inc.'s creditworthiness, as reflected in our secondary market rate. Changes in the price of the
underlying shares may not result in a comparable change in the value of your notes. You should understand that the
value of your notes at any time prior to maturity may be significantly less than the issue price.

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 Notes" in this pricing supplement.

Our offering of the notes does not constitute a recommendation of the underlying shares. The fact that we are
offering the notes does not mean that we believe that investing in an instrument linked to the underlying shares 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 shares or in instruments related to the underlying shares, and may publish
research or express opinions, that in each case are inconsistent with an investment linked to the underlying shares.
These and other activities of our affiliates may affect the price of the underlying shares in a way that has a negative
impact on your interests as a holder of the notes.

The price of the underlying shares may be adversely affected by our or our affiliates' hedging and other
trading activities. We have hedged our obligations under the notes through CGMI or other of our affiliates, who have
taken positions directly in the underlying shares and other financial instruments related to the underlying shares and
may adjust such positions during the term of the notes. Our affiliates also trade the underlying shares and other
financial instruments related to the underlying shares 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 price of the underlying shares in a way that negatively affects the value of the notes. They
could also result in substantial returns for us or our affiliates while the value of the notes declines.

We and our affiliates may have economic interests that are adverse to yours as a result of our affiliates'
business activities. Our affiliates may currently or from time to time engage in business with the underlying share
issuer, including extending loans to, making equity investments in or providing advisory services to the underlying
share issuer. In the course of this business, we or our affiliates may acquire non-public information about the
underlying share issuer, which we wil not disclose to you. Moreover, if any of our affiliates is or becomes a creditor of
the underlying share issuer, they may exercise any remedies against the underlying share issuer that are available to
them without regard to your interests.

Even if the underlying share issuer pays a dividend that it identifies as special or extraordinary, no adjustment
will be required under the notes for that dividend unless it meets the criteria specified in this pricing
supplement. In general, an adjustment wil not be made under the terms of the notes for any extraordinary cash
dividend paid on the underlying shares unless the amount of the dividend per underlying share, together with any other
dividends paid in the same fiscal quarter, exceeds the dividend paid per underlying share in the most recent fiscal
quarter by an amount equal to at least 10% of the closing price of the underlying shares on the date of declaration of
the dividend. Any dividend wil reduce the value of the underlying shares by the amount of the dividend per underlying
share. If the underlying share issuer pays any dividend for which an adjustment is not made under the terms of the
notes, holders of the notes wil be adversely affected. See "Additional Terms of the Notes--Dilution and Reorganization
Adjustments--Certain Extraordinary Cash Dividends" in this pricing supplement.

The notes will not be adjusted for all events that could affect the price of the underlying shares. For example,
we wil not make any adjustment for extraordinary dividends that do not meet the criteria described above, partial
tender offers or additional underlying share issuances. Moreover, the adjustments we do make may not ful y offset the
dilutive or adverse effect of the particular event. Investors in the notes may be adversely affected by such an event in a
circumstance in which a direct holder of the underlying shares would not.

The notes may become linked to an underlying share issuer other than the original underlying share issuer
upon the occurrence of a reorganization event or upon the delisting of the underlying shares. For example, if
the underlying share issuer enters into a merger agreement that provides for holders of the underlying shares to
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