Citigroup Global Markets Holdings Inc.
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October
30, 2019
Medium-Term
Senior Notes, Series N
Pricing
Supplement No. 2019-USNCH3130
Filed Pursuant
to Rule 424(b)(2)
Registration
Statement Nos. 333-224495 and 333-224495-03
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Autocallable Securities Linked to the Financial
Select Sector SPDR® Fund Due November 2, 2029
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▪
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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, do not guarantee the repayment of principal at maturity and are subject to
potential automatic early redemption on a periodic basis on the terms described below. Your return on the securities will depend
on the performance of the underlying specified below.
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▪
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The securities offer the potential for automatic early
redemption at a premium following the first valuation date (other than the final valuation date) on which the closing value of
the underlying is greater than or equal to the initial underlying value. If the securities are not automatically redeemed prior
to maturity, the securities will provide for a return of the principal amount plus a premium if the final underlying value
is greater than or equal to the initial underlying value. However, if the securities are not automatically redeemed prior to
maturity and the underlying depreciates 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% of that depreciation. You may lose a significant portion, and up to all,
of your investment.
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▪
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Investors in the securities must be willing to accept
(i) an investment that may have limited or no liquidity and (ii) the risk of not receiving any payments 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.
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KEY TERMS
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Issuer:
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Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
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Guarantee:
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All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
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Underlying:
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Financial Select Sector SPDR® Fund
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Stated principal amount:
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$1,000 per security
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Strike date:
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October 29, 2019
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Pricing date:
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October 30, 2019
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Issue date:
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November 4, 2019
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Valuation dates:
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November 6, 2020, November 1, 2021, October 31, 2022, October 30, 2023, October 30, 2024, October 30, 2025, October 30, 2026, November 1, 2027, October 30, 2028 and October 30, 2029 (the “final valuation date”), each subject to postponement if such date is not a scheduled trading day or certain market disruption events occur
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Maturity date:
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Unless earlier redeemed, November 2, 2029
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Automatic early redemption:
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If, on any valuation date prior to the final valuation date, the closing value of the underlying is greater than or equal to the initial underlying value, the securities will be automatically redeemed on the fifth business day immediately following that valuation date for an amount in cash per security equal to $1,000 plus the premium applicable to that valuation date. If the securities are automatically redeemed following any valuation date prior to the final valuation date, they will cease to be outstanding and you will not receive the premium applicable to any later valuation date.
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Premium:
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The premium applicable to each valuation date is set forth below.
The premium may be significantly less than the appreciation of the underlying from the pricing date to the applicable valuation
date.
· November
6, 2020:
11% of the stated principal
amount
· November
1, 2021:
22% of the stated principal
amount
· October
31, 2022:
33% of the stated principal
amount
· October
30, 2023:
44% of the stated principal
amount
· October
30, 2024:
55% of the stated principal
amount
· October
30, 2025:
66% of the stated principal
amount
· October
30, 2026:
77% of the stated principal
amount
· November
1, 2027:
88% of the stated principal
amount
· October
30, 2028:
99% of the stated principal
amount
· October
30, 2029:
110% of the stated principal
amount
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Payment at maturity:
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If the securities are not automatically redeemed prior to maturity,
you will receive at maturity, for each security you then hold, an amount in cash equal to:
§
If the final underlying value is greater
than or equal to the initial underlying value:
$1,000 + the premium applicable to the final valuation
date
§
If the final underlying value is less than
the initial underlying value:
$1,000 + ($1,000 × the underlying return)
If the securities are not automatically redeemed prior to
maturity and the underlying depreciates from the initial underlying value to the final underlying value, your payment at maturity
will be less, and possibly significantly less, than the stated principal amount of your securities. You should not invest in the
securities unless you are willing and able to bear the risk of losing a significant portion, and up to all, of your investment.
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Initial underlying value:
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$28.86, the closing value of the underlying on the strike date
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Final underlying value:
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The closing value of the underlying on the final valuation date
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Underlying return:
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(i) The final underlying value minus the initial underlying value, divided by (ii) the initial underlying value
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Listing:
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The securities will not be listed on any securities exchange
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CUSIP / ISIN:
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17324XUG3 / US17324XUG32
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Underwriter:
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Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
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Underwriting fee and issue price:
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Issue price(1)
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Underwriting fee(2)
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Proceeds to issuer
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Per security:
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$1,000.00
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$2.50
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$997.50
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Total:
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$10,000,000.00
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$25,000.00
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$9,975,000.00
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(1) On the date of this pricing supplement, the estimated value
of the securities is $968.30 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:
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.
Citigroup Global Markets Holdings Inc.
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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 will
be determined and about adjustments that may be made to the terms of the securities upon the occurrence of market disruption events
and other specified events with respect to the underlying. The accompanying underlying supplement contains information about the
underlying that is not repeated in this pricing supplement. It is important that you read the accompanying product supplement,
underlying supplement, prospectus supplement and prospectus together with this pricing supplement in deciding whether to invest
in the securities. Certain terms used but not defined in this pricing supplement are defined in the accompanying product supplement.
Closing Value. The “closing value” of the
underlying on any date is the closing price of its underlying shares on such date, as provided in the accompanying product supplement.
The “underlying shares” of the underlying are its shares that are traded on a U.S. national securities exchange. Please
see the accompanying product supplement for more information.
Citigroup Global Markets Holdings Inc.
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Payout Table and Diagram
The table below illustrates how the amount payable per security
will be calculated if the closing value of the underlying on any valuation date is greater than or equal to the initial underlying
value.
If the first valuation date on which the closing value of the underlying is greater than or equal to the initial underlying value is . . .
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. . . then you will receive the following payment per $1,000 security upon automatic early redemption or at maturity, as applicable:
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November 6, 2020
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$1,000 + applicable premium = $1,000 + $110.00 = $1,110.00
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November 1, 2021
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$1,000 + applicable premium = $1,000 + $220.00 = $1,220.00
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October 31, 2022
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$1,000 + applicable premium = $1,000 + $330.00 = $1,330.00
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October 30, 2023
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$1,000 + applicable premium = $1,000 + $440.00 = $1,440.00
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October 30, 2024
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$1,000 + applicable premium = $1,000 + $550.00 = $1,550.00
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October 30, 2025
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$1,000 + applicable premium = $1,000 + $660.00 = $1,660.00
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October 30, 2026
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$1,000 + applicable premium = $1,000 + $770.00 = $1,770.00
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November 1, 2027
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$1,000 + applicable premium = $1,000 + $880.00 = $1,880.00
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October 30, 2028
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$1,000 + applicable premium = $1,000 + $990.00 = $1,990.00
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October 30, 2029
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$1,000 + applicable premium = $1,000 + $1,100.00 = $2,100.00
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If, on any valuation date, the closing value of the underlying
is less than the initial underlying value, you will not receive the premium indicated above following that valuation date. In order
to receive the premium indicated above, the closing value of the underlying on the applicable valuation date must be greater than
or equal to the initial underlying value.
The diagram below illustrates the payment at maturity of the
securities, assuming the securities have not previously been automatically redeemed, for a range of hypothetical underlying returns.
Investors in the securities will not receive any dividends
with respect to the underlying. The diagram and example below do not show any effect of lost dividend yield over the term of the
securities. See “Summary Risk Factors—You will not receive dividends or have any other rights with respect to the
underlying” below.
Citigroup Global Markets Holdings Inc.
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Payment at Maturity
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Hypothetical Example of the Payment at Maturity
The example below illustrates how to determine the payment at
maturity on the securities, assuming the securities are not automatically redeemed prior to maturity and the final underlying value
is less than the initial underlying value. The example is solely for illustrative purposes, does not show all possible outcomes
and is not a prediction of any payment that may be made on the securities.
The example below is based a hypothetical initial
underlying value of $100 and does not reflect the actual initial underlying value. For the actual initial underlying value,
see the cover page of this pricing supplement. We have used this hypothetical value, rather than the actual value, to simplify
the calculations and aid understanding of how the securities work. However, you should understand that the actual payments on the
securities will be calculated based on the actual initial underlying value, and not the hypothetical value indicated below.
The example below is intended to illustrate how, if the securities
are not automatically redeemed prior to maturity, your payment at maturity will depend on the final underlying value. Your actual
payment at maturity per security will depend on the actual initial underlying value and the actual final underlying value.
Example 1—Downside Scenario. The final underlying
value is $30 (a 70% decrease from the initial underlying value), which is less than the initial underlying value.
Because the final underlying value is less than the initial underlying
value, you would receive a payment at maturity per security that is less than the stated principal amount, calculated as follows:
Payment at maturity per security = $1,000 + ($1,000 × the
underlying return)
= $1,000 + ($1,000 × -70%)
= $1,000 + -$700
= $300
Because the underlying depreciated from the initial underlying
value to the final underlying value, your payment at maturity in this scenario would reflect 1-to-1 exposure to the negative performance
of the underlying.
Citigroup Global Markets Holdings Inc.
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Summary Risk Factors
An investment in the securities is significantly riskier than
an investment in conventional debt securities. The securities are subject to all of the risks associated with an investment in
our conventional debt securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our
obligations under the securities, and are also subject to risks associated with the underlying. Accordingly, the securities are
suitable only for investors who are capable of understanding the complexities and risks of the securities. You should consult your
own financial, tax and legal advisors as to the risks of an investment in the securities and the suitability of the securities
in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment
in the securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-7 in the
accompanying product supplement. You should also carefully read the risk factors included in the accompanying prospectus supplement
and in the documents incorporated by reference in the accompanying prospectus, including Citigroup Inc.’s most recent Annual
Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup
Inc. more generally.
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§
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You may lose some or all of your investment. Unlike conventional
debt securities, the securities do not provide for the repayment of the stated principal amount at maturity in all circumstances.
If the securities are not automatically redeemed prior to maturity, your payment at maturity will depend on the final underlying
value. If the final underlying value is less than the initial underlying value, you will lose 1% of the stated principal amount
of the securities for every 1% by which the underlying has declined from the initial underlying value. There is no minimum payment
at maturity on the securities, and you may lose up to all of your investment.
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§
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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.
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§
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Your potential return on the securities is limited. Your potential
return on the securities is limited to the applicable premium payable upon automatic early redemption or at maturity, as described
on the cover page of this pricing supplement. If the closing value of the underlying on one of the valuation dates is greater than
or equal to the initial underlying value, you will be repaid the stated principal amount of your securities and will receive the
fixed premium applicable to that valuation date, regardless of how significantly the closing value of the underlying on that valuation
date may exceed the initial underlying value. Accordingly, any premium may result in a return on the securities that is significantly
less than the return you could have achieved on a direct investment in the underlying.
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§
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The securities do not pay interest. You should not invest in
the securities if you seek current income during the term of the securities.
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§
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The securities may be automatically redeemed prior to maturity,
limiting the term of the securities. If the closing value of the underlying on any valuation date (other than the final valuation
date) is greater than or equal to the initial underlying value, the securities will be automatically redeemed. If the securities
are automatically redeemed following any valuation date (other than the final valuation date), they will cease to be outstanding
and you will not receive the premium applicable to any later valuation date. Moreover, you may not be able to reinvest your funds
in another investment that provides a similar yield with a similar level of risk.
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§
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The securities offer downside exposure to the underlying, but no
upside exposure to the underlying. You will not participate in any appreciation in the value of the underlying over the term
of the securities. Consequently, your return on the securities will be limited to the applicable premium payable upon an automatic
early redemption or at maturity and may be significantly less than the return on the underlying over the term of the securities.
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§
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You will not receive dividends or have any other rights with respect
to the underlying. You will not receive any dividends with respect to the underlying. This lost dividend yield may be significant
over the term of the securities. The payment scenarios described in this pricing supplement do not show any effect of such lost
dividend yield over the term of the securities. In addition, you will not have voting rights or any other rights with respect to
the underlying or the stocks included in the underlying.
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§
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The performance of the securities will depend on the closing values
of the underlying solely on the valuation dates, which makes the securities particularly sensitive to volatility in the closing
values of the underlying on or near the valuation dates. Whether the securities will be automatically redeemed prior to maturity
will depend on the closing values of the underlying solely on the valuation dates (other than the final valuation date), regardless
of the closing value of the underlying on other days during the term of the securities. If the securities are not automatically
redeemed prior to maturity, what you receive at maturity will depend solely on the closing value of the underlying on the final
valuation date, and not on any other day during the term of the securities. Because the performance of the securities depends on
the closing values of the underlying on a limited number of dates, the securities will be particularly sensitive to volatility
in the closing values of the underlying. You should understand that the closing value of the underlying has historically been highly
volatile.
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Citigroup Global Markets Holdings Inc.
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§
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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.
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§
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The securities are riskier than securities with a shorter term.
The securities are relatively long-dated. Because the securities are relatively long-dated, many of the risks of the securities
are heightened as compared to securities with a shorter term, because you will be subject to those risks for a longer period of
time. In addition, the value of a longer-dated security is typically less than the value of an otherwise comparable security with
a shorter term.
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§
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The securities will not be listed on any securities exchange and
you may not be able to sell them prior to maturity. The securities will not be listed on any securities exchange. Therefore,
there may be little or no secondary market for the securities. CGMI currently intends to make a secondary market in relation to
the securities and to provide an indicative bid price for the securities on a daily basis. Any indicative bid price for the securities
provided by CGMI will be determined in CGMI’s sole discretion, taking into account prevailing market conditions and other
relevant factors, and will not be a representation by CGMI that the securities can be sold at that price, or at all. CGMI may suspend
or terminate making a market and providing indicative bid prices without notice, at any time and for any reason. If CGMI suspends
or terminates making a market, there may be no secondary market at all for the securities because it is likely that CGMI will be
the only broker-dealer that is willing to buy your securities prior to maturity. Accordingly, an investor must be prepared to hold
the securities until maturity.
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§
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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 selling, structuring and hedging the securities that are included in the issue price. These costs
include (i) any selling concessions or other fees paid in connection with the offering of the securities, (ii) hedging and other
costs incurred by us and our affiliates in connection with the offering of the securities and (iii) the expected profit (which
may be more or less than actual profit) to CGMI or other of our affiliates in connection with hedging our obligations under the
securities. These costs adversely affect the economic terms of the securities because, if they were lower, the economic terms of
the securities would be more favorable to you. The economic terms of the securities are also likely to be adversely affected by
the use of our internal funding rate, rather than our secondary market rate, to price the securities. See “The estimated
value of the securities would be lower if it were calculated based on our secondary market rate” below.
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§
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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 in the closing value of the underlying, dividend yields 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 willing
to hold the securities to maturity irrespective of the initial estimated value.
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§
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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 willing to borrow funds through the issuance of
the securities. Our internal funding rate is generally lower than our secondary market rate, which is the rate that CGMI will use
in determining the value of the securities for purposes of any purchases of the securities from you in the secondary market. If
the estimated value included in this pricing supplement were based on our secondary market rate, rather than our internal funding
rate, it would likely be lower. We determine our internal funding rate based on factors such as the costs associated with the securities,
which are generally higher than the costs associated with conventional debt securities, and our liquidity needs and preferences.
Our internal funding rate is not an interest rate that is payable on the securities.
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Because there is not an active market for traded instruments
referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market price of traded instruments
referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments due on the securities,
but subject to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate is not a market-determined
measure of our creditworthiness, but rather reflects the market’s perception of our parent company’s creditworthiness
as adjusted for discretionary factors such as CGMI’s preferences with respect to purchasing the securities prior to maturity.
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§
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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 will fluctuate over the term of the securities based on the market and other factors described in the
next risk factor. Moreover, unlike the estimated value included in this pricing supplement, any value of the securities determined
for purposes of a secondary market transaction will be based on our secondary market rate, which will likely result in a lower
value for the securities than if our internal funding rate were used. In addition, any secondary market price for the securities
will be reduced by a bid-ask spread, which may vary depending on the aggregate stated principal amount of the securities to be
purchased in the secondary market transaction, and the expected cost
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Citigroup Global Markets Holdings Inc.
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of unwinding related hedging transactions. As a result,
it is likely that any secondary market price for the securities will be less than the issue price.
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§
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The value of the securities prior to maturity will fluctuate based
on many unpredictable factors. The value of your securities prior to maturity will fluctuate based on the closing value of
the underlying, the volatility of the closing value of the underlying, dividend yields on the underlying, interest rates generally,
the time remaining to maturity and our and Citigroup Inc.’s creditworthiness, as reflected in our secondary market rate,
among other factors described under “Risk Factors Relating to the Securities—Risk Factors Relating to All Securities—The
value of your securities prior to maturity will fluctuate based on many unpredictable factors” in the accompanying product
supplement. Changes in the closing value of the underlying may not result in a comparable change in the value of your securities.
You should understand that the value of your securities at any time prior to maturity may be significantly less than the issue
price.
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§
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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 will steadily decline to zero over the temporary
adjustment period. See “Valuation of the Securities” in this pricing supplement.
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·
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The index tracked by the Financial Select Sector SPDR®
Fund underwent a significant change on September 16, 2016 and, as a result, the index tracked by the Financial Select Sector SPDR®
Fund will differ in important ways from the index tracked by the Financial Select Sector SPDR® Fund in the past.
The Financial Select Sector SPDR® Fund seeks to track the S&P Financial Select Sector Index. S&P Dow
Jones Indices LLC announced that, on September 16, 2016 (the “rebalance date”), the S&P Financial Select Sector
Index would be reconstituted by eliminating the stocks of real estate management and development companies and real estate investment
trusts (“REITs”) (other than mortgage REITs) (“real estate stocks”). In connection with this change,
the Financial Select Sector SPDR® Fund contributed all of its real estate stocks to the Real Estate Select Sector
SPDR Fund (“XLRE”) in exchange for shares of XLRE and, on September 19, 2016, the Financial Select Sector SPDR®
Fund made an in-kind distribution of the XLRE shares to its shareholders. As a result of this distribution, the Financial
Select Sector SPDR® Fund no longer holds real estate stocks and tracks the performance of only those financial services
company stocks (which exclude real estate stocks) that remain in the S&P Financial Select Sector Index.
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As of September 16, 2016, according to information
published by the Financial Select Sector SPDR® Fund, the XLRE shares held by the Financial Select Sector SPDR®
Fund represented approximately 18.8% of its total assets. Accordingly, prior to the rebalance date, real estate stocks accounted
for a significant percentage of the Financial Select Sector SPDR® Fund’s holdings and, therefore, after the
rebalance date, the Financial Select Sector SPDR® Fund tracks a portfolio of stocks that differs meaningfully from
the portfolio that it tracked prior to the rebalance date. When evaluating the historical performance of the Financial Select
Sector SPDR® Fund contained in this pricing supplement, you should bear in mind that the index tracked by the Financial
Select Sector SPDR® Fund included a different composition of stocks during the historical period shown than it will
include going forward. The historical performance of the Financial Select Sector SPDR® Fund might have been
meaningfully different had the index tracked by the Financial Select Sector SPDR® Fund included during the historical
period the same composition of stocks as it includes after the rebalance date.
The changes to the Financial Select Sector SPDR®
Fund described above represent a significant change in the nature of the Financial Select Sector SPDR® Fund.
We cannot predict what effect these changes may have on the performance of the Financial Select Sector SPDR® Fund.
It is possible that these changes could adversely affect the performance of the Financial Select Sector SPDR® Fund
and, in turn, your return on the securities.
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·
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The Financial Select Sector SPDR® Fund is subject
to risks associated with the financial services sector. All or substantially all of the securities held by the Financial Select
Sector SPDR® Fund are issued by companies whose primary line of business is directly associated with the financial
services sector, including companies from the following sub-industries: banks, thrifts and mortgage finance, diversified financial
services, consumer finance, capital markets, mortgage REITs and insurance. Because the value of the securities is linked to the
performance of the Financial Select Sector SPDR® Fund, an investment in the securities will be subject to concentrated
risks relating to the financial services sector. Financial services companies are subject to extensive government regulation, which
may limit both the amounts and types of loans and other financial commitments they can make, and the interest rates and fees they
can charge. Profitability is largely dependent on the availability and cost of capital funds, and can fluctuate significantly when
interest rates change or due to increased competition. Credit losses resulting from financial difficulties of borrowers and financial
losses associated with investment activities can have, and in recent years have had, a negative impact on the sector. Insurance
companies may be subject to severe price competition. Because the securities are subject to the concentrated risks affecting financial
services companies, the value of the securities may be subject to greater volatility and be more adversely affected by a single
economic, political or regulatory occurrence affecting the financial services sector than a more diversified investment.
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·
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The Financial Select Sector SPDR®
Fund may be disproportionately affected by the performance of a small number of stocks. Approximately 44% of the Financial
Select Sector SPDR® Fund is invested in just five stocks – JPMorgan Chase & Co., Berkshire Hathaway Inc.
Class B, Bank of America Corporation, Wells Fargo & Company and Citigroup Inc. As a result, a decline in the prices of one
or more of these stocks, including as a result of events negatively affecting one or more of these companies, may have the effect
of significantly lowering the price of the Financial Select Sector SPDR® Fund even if none of the other securities
held by the Financial Select Sector SPDR® Fund are affected by such events. Because of the weighting of the holdings
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Citigroup Global Markets Holdings Inc.
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of the Financial
Select Sector SPDR® Fund, the amount you receive at maturity could be less than the cash settlement amount you would
have received if you had invested in a product linked to an exchange-traded fund that capped the maximum weight of any one stock
to a low amount or that equally weighted all stocks held by such exchange-traded fund.
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·
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Citigroup Inc. is an issuer of equity securities held by the Financial
Select Sector SPDR® Fund. Citigroup Inc. is currently an issuer of equity securities held by the Financial Select
Sector SPDR® Fund, but, to our knowledge, neither we nor Citigroup are currently affiliated with any other company
the equity securities of which are held by the Financial Select Sector SPDR® Fund. Neither we nor Citigroup Inc.
have any ability to control the actions of the other issuers of such equity securities. None of the proceeds of this offering will
go to the Financial Select Sector SPDR® Fund or the other issuers of equity securities held by the Financial Select
Sector SPDR® Fund, and none of those issuers are involved in the offering of the securities in any way. Neither
those issuers nor Citigroup Inc. have any obligation to consider your interests as a holder of the securities in taking any corporate
actions that might affect the value of your securities.
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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
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.
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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.
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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 will not be disclosed to you.
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The calculation agent, which is an affiliate of ours, will make
important determinations with respect to the securities. If certain events occur during the term of the securities, such
as market disruption events and other events with respect to the underlying, CGMI, as calculation agent, will be required to make
discretionary judgments that could significantly affect your return on the securities. In making these judgments, the calculation
agent’s interests as an affiliate of ours could be adverse to your interests as a holder of the securities. See “Risk
Factors Relating to the Securities—Risk Factors Relating to All Securities—The calculation agent, which is an affiliate
of ours, will make important determinations with respect to the securities” in the accompanying product supplement.
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Even if the underlying pays a dividend that it identifies as special
or extraordinary, no adjustment will be required under the securities for that dividend unless it meets the criteria specified
in the accompanying product supplement. In general, an adjustment will not be made under the terms of the securities for any
cash dividend paid by the underlying unless the amount of the dividend per share, together with any other dividends paid in the
same quarter, exceeds the dividend paid per share in the most recent quarter by an amount equal to at least 10% of the closing
value of the underlying on the date of declaration of the dividend. Any dividend will reduce the closing value of the underlying
by the amount of the dividend per share. If the underlying pays any dividend for which an adjustment is not made under the terms
of the securities, holders of the securities will be adversely affected. See “Description of the Securities—Certain
Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF—Dilution and Reorganization Adjustments—Certain
Extraordinary Cash Dividends” in the accompanying product supplement.
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The securities will not be adjusted for all events that may have
a dilutive effect on or otherwise adversely affect the closing value of the underlying. For example, we will not make any adjustment
for ordinary dividends or 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 fully offset the dilutive or adverse effect of the particular
event. Investors in the securities may be adversely affected by such an event in a circumstance in which a direct holder of the
underlying shares would not.
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The securities may become linked to an underlying other than the
original underlying upon the occurrence of a reorganization event or upon the delisting of the underlying shares. For example,
if the underlying enters into a merger agreement that provides for holders of the underlying shares to receive shares of another
entity and such shares are marketable securities, the closing value of the underlying following consummation of the merger will
be based on the value of such other shares. Additionally, if the underlying shares are delisted, the calculation agent may select
a successor underlying. See
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Citigroup Global Markets Holdings Inc.
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“Description of the Securities—Certain
Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF” in the accompanying product supplement.
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The value and performance of the underlying shares may not completely
track the performance of the underlying index that the underlying seeks to track or the net asset value per share of the underlying.
The underlying does not fully replicate the underlying index that it seeks to track and may hold securities different from those
included in its underlying index. In addition, the performance of the underlying will reflect additional transaction costs and
fees that are not included in the calculation of its underlying index. All of these factors may lead to a lack of correlation between
the performance of the underlying and its underlying index. In addition, corporate actions with respect to the equity securities
held by the underlying (such as mergers and spin-offs) may impact the variance between the performance of the underlying and its
underlying index. Finally, because the underlying shares are traded on an exchange and are subject to market supply and investor
demand, the closing value of the underlying may differ from the net asset value per share of the underlying.
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During periods of market volatility, securities included
in the underlying’s underlying index may be unavailable in the secondary market, market participants may be unable to calculate
accurately the net asset value per share of the underlying and the liquidity of the underlying may be adversely affected. This
kind of market volatility may also disrupt the ability of market participants to create and redeem shares of the underlying. Further,
market volatility may adversely affect, sometimes materially, the price at which market participants are willing to buy and sell
the underlying shares. As a result, under these circumstances, the closing value of the underlying may vary substantially from
the net asset value per share of the underlying. For all of the foregoing reasons, the performance of the underlying may not correlate
with the performance of its underlying index and/or its net asset value per share, which could materially and adversely affect
the value of the securities and/or reduce your return on the securities.
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Changes that affect the underlying may affect the value of your
securities. The sponsor of the underlying may at any time make methodological changes or other changes in the manner in which
it operates that could affect the value of the underlying. We are not affiliated with the underlying sponsor and, accordingly,
we have no control over any changes such sponsor may make. Such changes could adversely affect the performance of the underlying
and the value of and your return on the securities.
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The U.S. federal tax consequences of an investment in the securities
are unclear. There is no direct legal authority regarding the proper U.S. federal tax treatment of the securities, and we
do not plan to request a ruling from the Internal Revenue Service (the “IRS”). Consequently, significant aspects of
the tax treatment of the securities are uncertain, and the IRS or a court might not agree with the treatment of the securities
as prepaid forward contracts. If the IRS were successful in asserting an alternative treatment of the securities, the tax consequences
of the ownership and disposition of the securities might be materially and adversely affected. Even if the treatment of the securities
as prepaid forward contracts is respected, a security may be treated as a “constructive ownership transaction,” with
potentially adverse consequences described below under “United States Federal Tax Considerations.” Moreover, future
legislation, Treasury regulations or IRS guidance could adversely affect the U.S. federal tax treatment of the securities, possibly
retroactively.
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If you are a non-U.S. investor, you should review
the discussion of withholding tax issues in “United States Federal Tax Considerations—Non-U.S. Holders” below.
You should read carefully the
discussion under “United States Federal Tax Considerations” and “Risk Factors Relating to the Securities”
in the accompanying product supplement and “United States Federal Tax Considerations” in this pricing supplement. You
should also consult your tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as well as
tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
Citigroup Global Markets Holdings Inc.
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Information About the Financial Select Sector
SPDR® Fund
The Financial Select Sector SPDR® Fund is an exchange-traded
fund that seeks to provide investment results that, before expenses, correspond generally to the performance of publicly traded
equity securities of companies in the S&P Financial Select Sector Index. The S&P Financial Select Sector Index is intended
to provide an indication of the pattern of common stock price movements of companies that are components of the S&P 500®
Index and whose primary line of business is directly associated with the financial sector, including companies from the following
sub-industries: banks, thrifts and mortgage finance, diversified financial services, consumer finance, capital markets, mortgage
REITs and insurance.
The Financial Select Sector SPDR® Fund is managed
by the Select Sector SPDR® Trust, a registered investment company. The Select Sector SPDR® Trust
consists of nine separate investment portfolios, including the Financial Select Sector SPDR® Fund. Information provided
to or filed with the SEC by The Select Sector SPDR® Trust pursuant to the Securities Act of 1933, as amended, and
the Investment Company Act of 1940, as amended, can be located by reference to SEC file numbers 333-57791 and 811-08837, respectively,
through the SEC’s website at http://www.sec.gov. In addition, information may be obtained from other sources including, but
not limited to, press releases, newspaper articles and other publicly disseminated documents. The shares of the Financial Select
Sector SPDR® Fund trade on the NYSE Arca, Inc. under the ticker symbol “XLF.”
Please refer to the section
“Fund Descriptions—The Select Sector SPDR® Funds” in the accompanying underlying supplement for
additional information.
We have derived all information regarding the Financial Select
Sector SPDR® Fund from publicly available information and have not independently verified any information regarding
the Financial Select Sector SPDR® Fund. This pricing supplement relates only to the securities and not to the Financial
Select Sector SPDR® Fund. We make no representation as to the performance of the Financial Select Sector SPDR®
Fund over the term of the securities.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the Financial Select Sector SPDR® Fund is not
involved in any way in this offering and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing value of the Financial Select Sector SPDR®
Fund on October 30, 2019 was $28.84.
The graph below shows the closing value of the Financial Select
Sector SPDR® Fund for each day such value was available from January 2, 2009 to October 30, 2019. We obtained the
closing values from Bloomberg L.P., without independent verification. You should not take the historical closing values as an indication
of future performance.
When evaluating the historical performance of the shares of the
Financial Select Sector SPDR® Fund contained below, you should bear in mind that the index tracked by the Financial
Select Sector SPDR® Fund included a different composition of stocks prior to September 16, 2016 than it includes
after that date, as described under “Summary Risk Factors—The index tracked by the Financial Select Sector SPDR®
Fund underwent a significant change on September 16, 2016 and, as a result, the index tracked by the Financial Select Sector SPDR®
Fund will differ in important ways from the index tracked by the Financial Select Sector SPDR® Fund in the past.”
The historical performance of the shares of the Financial Select Sector SPDR® Fund might have been meaningfully
different had the index included during the period prior to September 16, 2016 had the same composition of stocks as it includes
after that date.
Financial Select Sector SPDR® Fund – Historical Closing Values
January 2, 2009 to October 30, 2019
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United States Federal Tax Considerations
You should read carefully the discussion under “United
States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product
supplement and “Summary Risk Factors” in this pricing supplement.
In the opinion of our counsel, Davis Polk & Wardwell LLP,
which is based on current market conditions, a security should be treated as a prepaid forward contract for U.S. federal income
tax purposes. By purchasing a security, you agree (in the absence of an administrative determination or judicial ruling to the
contrary) to this treatment. There is uncertainty regarding this treatment, and the IRS or a court might not agree with it.
Assuming this treatment of the securities is respected and subject
to the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following
U.S. federal income tax consequences should result under current law:
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You should not recognize taxable income over the term of the securities
prior to maturity, other than pursuant to a sale or exchange.
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Upon a sale or exchange of a security (including retirement at maturity),
you should recognize gain or loss equal to the difference between the amount realized and your tax basis in the security. Subject
to the discussion below concerning the potential application of the “constructive ownership” rules under Section 1260
of the Code, any gain or loss recognized upon a sale, exchange or retirement of a security should be long-term capital gain or
loss if you held the security for more than one year.
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Even if the treatment of the securities as prepaid forward contracts
is respected, your purchase of a security may be treated as entry into a “constructive ownership transaction,” within
the meaning of Section 1260 of the Code. In that case, all or a portion of any long-term capital gain you would otherwise recognize
in respect of your securities would be recharacterized as ordinary income to the extent such gain exceeded the “net underlying
long-term capital gain.” Any long-term capital gain recharacterized as ordinary income under Section 1260 would be treated
as accruing at a constant rate over the period you held your securities, and you would be subject to an interest charge in respect
of the deemed tax liability on the income treated as accruing in prior tax years. Due to the lack of governing authority under
Section 1260, our counsel is not able to opine as to whether or how Section 1260 applies to the securities. You should read the
section entitled “United States Federal Tax Considerations—Tax Consequences to U.S. Holders—Potential Application
of Section 1260 of the Code” in the accompanying product supplement for additional information and consult your tax adviser
regarding the potential application of the “constructive ownership” rule.
We do not plan to request a ruling from the IRS regarding the
treatment of the securities. An alternative characterization of the securities could materially and adversely affect the tax consequences
of ownership and disposition of the securities, including the timing and character of income recognized. In addition, the U.S.
Treasury Department and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid
forward contracts” and similar financial instruments and have indicated that such transactions may be the subject of future
regulations or other guidance. Furthermore, members of Congress have proposed legislative changes to the tax treatment of derivative
contracts. Any legislation, Treasury regulations or other guidance promulgated after consideration of these issues could materially
and adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect. You should consult
your tax adviser regarding possible alternative tax treatments of the securities and potential changes in applicable law.
Non-U.S. Holders. Subject to the discussions below and
in “United States Federal Tax Considerations” in the accompanying product supplement, if you are a Non-U.S. Holder
(as defined in the accompanying product supplement) of the securities, you generally should not be subject to U.S. federal withholding
or income tax in respect of any amount paid to you with respect to the securities, provided that (i) income in respect of the securities
is not effectively connected with your conduct of a trade or business in the United States, and (ii) you comply with the applicable
certification requirements.
As discussed under “United States Federal Tax Considerations—Tax
Consequences to Non-U.S. Holders” in the accompanying product supplement, Section 871(m) of the Code and Treasury regulations
promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax on dividend equivalents paid or deemed
paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities (“U.S. Underlying Equities”)
or indices that include U.S. Underlying Equities. Section 871(m) generally applies to instruments that substantially replicate
the economic performance of one or more U.S. Underlying Equities, as determined based on tests set forth in the applicable Treasury
regulations. However, the regulations, as modified by an IRS notice, exempt financial instruments issued prior to January 1, 2021
that do not have a “delta” of one. Based on the terms of the securities and representations provided by us, our counsel
is of the opinion that the securities should not be treated as transactions that have a “delta” of one within the meaning
of the regulations with respect to any U.S. Underlying Equity and, therefore, should not be subject to withholding tax under Section
871(m).
A determination that the securities are not subject to Section
871(m) is not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m) is complex and its application
may depend on your particular circumstances, including your other transactions. You should consult your tax adviser regarding the
potential application of Section 871(m) to the securities.
If withholding tax applies to the securities, we will not be
required to pay any additional amounts with respect to amounts withheld.
You should read the section entitled “United States
Federal Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with
that section, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences
of owning and disposing of the securities.
Citigroup Global Markets Holdings Inc.
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You should also consult your tax adviser regarding all aspects
of the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under
the laws of any state, local or non-U.S. taxing jurisdiction.
Supplemental Plan of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc.
and the underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of $2.50 for each
security sold in this offering. Broker-dealers affiliated with CGMI, including Citi International Financial Services, Citigroup
Global Markets Singapore Pte. Ltd. and Citigroup Global Markets Asia Limited, and financial advisors employed by such affiliated
broker-dealers will collectively receive a fixed selling concession of $2.50 for each security they sell. For the avoidance of
doubt, the fees and selling concessions described in this pricing supplement will not be rebated if the securities are automatically
redeemed prior to maturity.
See “Plan of Distribution; Conflicts of Interest”
in the accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement
and prospectus for additional information.
Valuation of the Securities
CGMI calculated the estimated value of the securities set forth
on the cover page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary pricing models generated
an estimated value for the securities by estimating the value of a hypothetical package of financial instruments that would replicate
the payout on the securities, which consists of a fixed-income bond (the “bond component”) and one or more derivative
instruments underlying the economic terms of the securities (the “derivative component”). CGMI calculated the estimated
value of the bond component using a discount rate based on our internal funding rate. CGMI calculated the estimated value of the
derivative component based on a proprietary derivative-pricing model, which generated a theoretical price for the instruments that
constitute the derivative component based on various inputs, including the factors described under “Summary Risk Factors—The
value of the securities prior to maturity will fluctuate based on many unpredictable factors” in this pricing supplement,
but not including our or Citigroup Inc.’s creditworthiness. These inputs may be market-observable or may be based on assumptions
made by CGMI in its discretionary judgment.
For a period of approximately six months following issuance of
the securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will
be indicated for the securities on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also
publish through one or more financial information vendors), will reflect a temporary upward adjustment from the price or value
that would otherwise be determined. This temporary upward adjustment represents a portion of the hedging profit expected to be
realized by CGMI or its affiliates over the term of the securities. The amount of this temporary upward adjustment will decline
to zero on a straight-line basis over the six-month temporary adjustment period. However, CGMI is not obligated to buy the securities
from investors at any time. See “Summary Risk Factors—The securities will not be listed on any securities exchange
and you may not be able to sell them prior to maturity.”
Certain Selling Restrictions
Hong Kong Special Administrative Region
The contents of this pricing supplement and the accompanying
product supplement, underlying supplement, prospectus supplement and prospectus have not been reviewed by any regulatory authority
in the Hong Kong Special Administrative Region of the People’s Republic of China (“Hong Kong”). Investors are
advised to exercise caution in relation to the offer. If investors are in any doubt about any of the contents of this pricing supplement
and the accompanying product supplement, underlying supplement, prospectus supplement and prospectus, they should obtain independent
professional advice.
The securities have not been offered or sold and will not be
offered or sold in Hong Kong by means of any document, other than
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(i)
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to persons whose ordinary business is to buy or sell shares or debentures (whether as principal or agent); or
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(ii)
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to “professional investors” as defined in the Securities and Futures Ordinance (Cap. 571) of Hong Kong (the “Securities
and Futures Ordinance”) and any rules made under that Ordinance; or
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(iii)
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in other circumstances which do not result in the document being a “prospectus” as defined in the Companies Ordinance
(Cap. 32) of Hong Kong or which do not constitute an offer to the public within the meaning of that Ordinance; and
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There is no advertisement, invitation or document relating to
the securities which is directed at, or the contents of which are likely to be accessed or read by, the public of Hong Kong (except
if permitted to do so under the securities laws of Hong Kong) other than with respect to securities which are or are intended to
be disposed of only to persons outside Hong Kong or only to “professional investors” as defined in the Securities and
Futures Ordinance and any rules made under that Ordinance.
Non-insured Product: These securities are not insured by any
governmental agency. These securities are not bank deposits and are not covered by the Hong Kong Deposit Protection Scheme.
Citigroup Global Markets Holdings Inc.
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Singapore
This pricing supplement and the accompanying product supplement,
underlying supplement, prospectus supplement and prospectus have not been registered as a prospectus with the Monetary Authority
of Singapore, and the securities will be offered pursuant to exemptions under the Securities and Futures Act, Chapter 289 of Singapore
(the “Securities and Futures Act”). Accordingly, the securities may not be offered or sold or made the subject of an
invitation for subscription or purchase nor may this pricing supplement or any other document or material in connection with the
offer or sale or invitation for subscription or purchase of any securities be circulated or distributed, whether directly or indirectly,
to any person in Singapore other than (a) to an institutional investor pursuant to Section 274 of the Securities and Futures Act,
(b) to a relevant person under Section 275(1) of the Securities and Futures Act or to any person pursuant to Section 275(1A) of
the Securities and Futures Act and in accordance with the conditions specified in Section 275 of the Securities and Futures Act,
or (c) otherwise pursuant to, and in accordance with the conditions of, any other applicable provision of the Securities and Futures
Act. Where the securities are subscribed or purchased under Section 275 of the Securities and Futures Act by a relevant person
which is:
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(a)
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a corporation (which is not an accredited investor (as defined in Section 4A of the Securities and Futures Act)) the sole business
of which is to hold investments and the entire share capital of which is owned by one or more individuals, each of whom is an accredited
investor; or
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(b)
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a trust (where the trustee is not an accredited investor) whose sole purpose is to hold investments and each beneficiary is
an individual who is an accredited investor, securities (as defined in Section 239(1) of the Securities and Futures Act) of that
corporation or the beneficiaries’ rights and interests (howsoever described) in that trust shall not be transferable for
6 months after that corporation or that trust has acquired the relevant securities pursuant to an offer under Section 275 of the
Securities and Futures Act except:
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(i)
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to an institutional investor or to a relevant person defined in Section 275(2) of the Securities and Futures Act or to any
person arising from an offer referred to in Section 275(1A) or Section 276(4)(i)(B) of the Securities and Futures Act; or
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(ii)
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where no consideration is or will be given for the transfer; or
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(iii)
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where the transfer is by operation of law; or
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(iv)
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pursuant to Section 276(7) of the Securities and Futures Act; or
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(v)
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as specified in Regulation 32 of the Securities and Futures (Offers of Investments) (Shares and Debentures) Regulations 2005
of Singapore.
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Any securities referred to herein may not be registered with
any regulator, regulatory body or similar organization or institution in any jurisdiction.
The securities are Specified Investment Products (as defined
in the Notice on Recommendations on Investment Products and Notice on the Sale of Investment Product issued by the Monetary Authority
of Singapore on 28 July 2011) that is neither listed nor quoted on a securities market or a futures market.
Non-insured Product: These securities are not insured by any
governmental agency. These securities are not bank deposits. These securities are not insured products subject to the provisions
of the Deposit Insurance and Policy Owners’ Protection Schemes Act 2011 of Singapore and are not eligible for deposit insurance
coverage under the Deposit Insurance Scheme.
Validity
of the Securities
In the opinion of Davis
Polk & Wardwell LLP, as special products counsel to Citigroup Global Markets Holdings Inc., when the securities offered by
this pricing supplement have been executed and issued by Citigroup Global Markets Holdings Inc. and authenticated by the trustee
pursuant to the indenture, and delivered against payment therefor, such securities and the related guarantee of Citigroup Inc.
will be valid and binding obligations of Citigroup Global Markets Holdings Inc. and Citigroup Inc., respectively, enforceable in
accordance with their respective terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’
rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation,
concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion as to the effect
of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above. This opinion
is given as of the date of this pricing supplement and is limited to the laws of the State of New York, except that such counsel
expresses no opinion as to the application of state securities or Blue Sky laws to the securities.
In giving this opinion,
Davis Polk & Wardwell LLP has assumed the legal conclusions expressed in the opinions set forth below of Scott L. Flood, General
Counsel and Secretary of Citigroup Global Markets Holdings Inc., and Barbara Politi, Assistant General Counsel—Capital Markets
of Citigroup Inc. In addition, this opinion is subject to the assumptions set forth in the letter of Davis Polk & Wardwell
LLP dated May 17, 2018, which has been filed as an exhibit to a Current Report on Form 8-K filed by Citigroup Inc. on May 17, 2018,
that the indenture has been duly authorized, executed and delivered by, and is a valid, binding and enforceable agreement of, the
trustee and that none of the terms of the securities nor the issuance and delivery of the securities and the related guarantee,
nor the
Citigroup Global Markets Holdings Inc.
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compliance by Citigroup
Global Markets Holdings Inc. and Citigroup Inc. with the terms of the securities and the related guarantee respectively, will result
in a violation of any provision of any instrument or agreement then binding upon Citigroup Global Markets Holdings Inc. or Citigroup
Inc., as applicable, or any restriction imposed by any court or governmental body having jurisdiction over Citigroup Global Markets
Holdings Inc. or Citigroup Inc., as applicable.
In the opinion of Scott
L. Flood, Secretary and General Counsel of Citigroup Global Markets Holdings Inc., (i) the terms of the securities offered by this
pricing supplement have been duly established under the indenture and the Board of Directors (or a duly authorized committee thereof)
of Citigroup Global Markets Holdings Inc. has duly authorized the issuance and sale of such securities and such authorization has
not been modified or rescinded; (ii) Citigroup Global Markets Holdings Inc. is validly existing and in good standing under the
laws of the State of New York; (iii) the indenture has been duly authorized, executed and delivered by Citigroup Global Markets
Holdings Inc.; and (iv) the execution and delivery of such indenture and of the securities offered by this pricing supplement by
Citigroup Global Markets Holdings Inc., and the performance by Citigroup Global Markets Holdings Inc. of its obligations thereunder,
are within its corporate powers and do not contravene its certificate of incorporation or bylaws or other constitutive documents.
This opinion is given as of the date of this pricing supplement and is limited to the laws of the State of New York.
Scott L. Flood, or other
internal attorneys with whom he has consulted, has examined and is familiar with originals, or copies certified or otherwise identified
to his satisfaction, of such corporate records of Citigroup Global Markets Holdings Inc., certificates or documents as he has deemed
appropriate as a basis for the opinions expressed above. In such examination, he or such persons has assumed the legal capacity
of all natural persons, the genuineness of all signatures (other than those of officers of Citigroup Global Markets Holdings Inc.),
the authenticity of all documents submitted to him or such persons as originals, the conformity to original documents of all documents
submitted to him or such persons as certified or photostatic copies and the authenticity of the originals of such copies.
In the opinion of Barbara
Politi, Assistant General Counsel—Capital Markets of Citigroup Inc., (i) the Board of Directors (or a duly authorized committee
thereof) of Citigroup Inc. has duly authorized the guarantee of such securities by Citigroup Inc. and such authorization has not
been modified or rescinded; (ii) Citigroup Inc. is validly existing and in good standing under the laws of the State of Delaware;
(iii) the indenture has been duly authorized, executed and delivered by Citigroup Inc.; and (iv) the execution and delivery of
such indenture, and the performance by Citigroup Inc. of its obligations thereunder, are within its corporate powers and do not
contravene its certificate of incorporation or bylaws or other constitutive documents. This opinion is given as of the date of
this pricing supplement and is limited to the General Corporation Law of the State of Delaware.
Barbara Politi, or other
internal attorneys with whom she has consulted, has examined and is familiar with originals, or copies certified or otherwise identified
to her satisfaction, of such corporate records of Citigroup Inc., certificates or documents as she has deemed appropriate as a
basis for the opinions expressed above. In such examination, she or such persons has assumed the legal capacity of all natural
persons, the genuineness of all signatures (other than those of officers of Citigroup Inc.), the authenticity of all documents
submitted to her or such persons as originals, the conformity to original documents of all documents submitted to her or such persons
as certified or photostatic copies and the authenticity of the originals of such copies.
Contact
Clients may contact their local brokerage representative. Third-party
distributors may contact Citi Structured Investment Sales at (212) 723-7005.
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