Citigroup Global Markets Holdings Inc.
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July
24, 2020
Medium-Term
Senior Notes, Series N
Pricing
Supplement No. 2020-USNCH4895
Filed
Pursuant to Rule 424(b)(2)
Registration
Statement Nos. 333-224495 and 333-224495-03
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3,452 Contingent
Income Callable Securities Due July 27, 2023
Based on the Worst Performing of the Russell
2000® Index, the S&P 500® Index and the Dow Jones Industrial AverageTM
Principal at Risk
Securities
Overview
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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. The securities
offer the potential for quarterly contingent coupon payments at an annualized rate that,
if all are paid, would produce a yield that is generally higher than the yield on our
conventional debt securities of the same maturity. In exchange for this higher potential
yield, you must be willing to accept the risks that (i) your actual yield may be lower
than the yield on our conventional debt securities of the same maturity because you may
not receive one or more, or any, contingent coupon payments and (ii) your actual yield
may be negative because your payment at maturity may be significantly less than the stated
principal amount of your securities and possibly zero. These risks will depend on the
performance of the worst performing of the Russell 2000® Index, the S&P
500® Index and the Dow Jones Industrial AverageTM (each, an
“underlying index”), as described below. You will be subject to risks associated
with each of the underlying indices and will be negatively affected by adverse movements
in any one of the underlying indices regardless of the performance of the others. Although
you will be exposed to downside risk with respect to the worst performing underlying
index, you will not participate in any appreciation of any underlying index or receive
any dividends paid on the stocks included in any underlying index.
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▪
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We
have the right to call the securities for mandatory redemption on any potential redemption
date prior to the maturity date.
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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
indices:
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Underlying
indices
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Initial
index level*
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Downside
threshold level**
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Coupon
barrier level**
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Russell
2000® Index
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1,467.555
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1,027.289
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1,027.289
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S&P
500® Index
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3,215.63
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2,250.941
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2,250.941
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Dow
Jones Industrial AverageTM
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26,469.89
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18,528.923
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18,528.923
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* For each underlying index,
its closing level on the pricing date
** For each underlying
index, 70% of its initial index level
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Aggregate stated principal amount:
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$3,452,000
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Stated principal amount:
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$1,000 per security
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Pricing date:
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July 24, 2020
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Issue date:
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July 29, 2020
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Final valuation date:
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July 24, 2023, subject to postponement if such date is not a scheduled trading
day for any underlying index or if certain market disruption events occur with respect to any underlying index.
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Maturity date:
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Unless earlier redeemed by us, July 27, 2023
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Contingent coupon payment dates:
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For each observation period, the third business day after the observation period
end-date for such observation period, except that the contingent coupon payment date for the final observation period will
be the maturity date.
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Contingent coupon:
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On each quarterly contingent coupon payment date, unless previously redeemed
by us, the securities will pay a contingent coupon equal to 2.625% of the stated principal amount of the securities (10.50%
per annum) if and only if a coupon barrier event has not occurred during the related observation period. If
a coupon barrier event occurs during an observation period, you will not receive any contingent coupon payment on the related
contingent coupon payment date. A coupon barrier event will occur if the closing level of any underlying
index is less than its coupon barrier level on any trading day for that underlying index during an observation period.
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Payment at maturity:
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Unless earlier redeemed
by us, for each $1,000 stated principal amount security you hold at maturity, you will receive cash in an amount determined
as follows (in addition to the final contingent coupon payment, if any):
▪ If
the final index level of the worst performing underlying index is greater than or equal to its downside threshold level:
$1,000
▪ If
the final index level of the worst performing underlying index is less than its downside threshold level:
$1,000
+ ($1,000 × the index return of the worst performing underlying index)
If the final index level
of the worst performing underlying index is less than its downside threshold level, you will receive less, and possibly
significantly less, than 70% of the stated principal amount of your securities at maturity.
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Listing:
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The securities will not be listed on any securities exchange
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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
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Proceeds to issuer
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Per security:
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$1,000
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$20(2)
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$975
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$5(3)
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Total:
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$3,452,000
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$86,300
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$3,365,700
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(Key Terms
continued on next page)
(1) On the date of this pricing
supplement, the estimated value of the securities is $955.20 per security, which is less than the issue price. The estimated value
of the securities is based on CGMI’s proprietary pricing models and our internal funding rate. It is not an indication of
actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if any, at which CGMI or any other person
may be willing to buy the securities from you at any time after issuance. See “Valuation of the Securities” in this
pricing supplement.
(2) CGMI, 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 $25 for each $1,000 security sold in this offering. Certain selected dealers, including Morgan Stanley Wealth Management,
and their financial advisors will collectively receive from CGMI a fixed selling concession of $20 for each $1,000 security they
sell. Additionally, it is possible that CGMI and its affiliates may profit from hedging activity related to this offering, even
if the value of the securities declines. See “Use of Proceeds and Hedging” in the accompanying prospectus.
(3) Reflects a structuring fee
payable to Morgan Stanley Wealth Management by CGMI of $5 for each security.
Investing in the securities
involves risks not associated with an investment in conventional debt securities. See “Summary Risk Factors” beginning
on page PS-8.
Neither
the Securities and Exchange Commission (the “SEC”) 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, each of which can be accessed via the following hyperlinks:
Product
Supplement No. EA-04-08 dated February 15, 2019 Underlying
Supplement No. 8 dated February 21, 2019
Prospectus and Prospectus Supplement 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.
|
3,452 Contingent Income Callable Securities Due July 27, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Dow Jones Industrial AverageTM
Principal at Risk Securities
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KEY TERMS (continued)
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Coupon barrier event:
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A coupon barrier event will occur with respect to an observation period if the closing level
of any underlying index is less than its coupon barrier level on any trading day for that underlying
index during that observation period.
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Observation periods:
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Each observation period will consist of each day from but excluding an observation period
end-date to and including the following observation period end-date, provided that the first observation period will consist
of each day from but excluding the pricing date to and including the first observation period end-date.
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Observation period end-dates:
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October 26, 2020, January 25, 2021, April 26, 2021, July 26, 2021, October 25, 2021, January
24, 2022, April 25, 2022, July 25, 2022, October 24, 2022, January 24, 2023, April 24, 2023 and July 24, 2023
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Trading day:
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For any underlying index, a scheduled trading day for that underlying index on which a market
disruption event has not occurred with respect to that underlying index.
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Redemption:
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We may call the securities, in whole and not in part, for mandatory redemption on any potential
redemption date upon not less than three business days’ notice. Following an exercise of our call right,
you will receive for each security you then hold an amount in cash equal to the early redemption payment. If the
securities are redeemed, no further payments will be made.
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Potential redemption dates:
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The contingent coupon payment dates related to the observation period end-dates beginning
in October 2020 and ending in April 2023
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Early redemption payment:
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The stated principal amount of $1,000 per security plus the related contingent coupon
payment, if any
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Final index level:
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For each underlying index, its closing level on the final valuation date
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Index return:
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For each underlying index, (i) its final index level minus its initial index level,
divided by (ii) its initial index level
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Worst performing underlying index:
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The underlying index with the lowest index return
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CUSIP / ISIN:
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17328W4L9 / US17328W4L93
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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, certain events may occur that could affect your payment at maturity. These events and their consequences are described
in the accompanying product supplement in the sections “Description of the Securities—Consequences of a Market Disruption
Event; Postponement of a Valuation Date” and “Description of the Securities—Certain Additional Terms for Securities
Linked to an Underlying Index—Discontinuance or Material Modification of an Underlying Index,” and not in this pricing
supplement. The accompanying underlying supplement contains important disclosures regarding each underlying index that are 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 connection with your investment in the securities.
Certain terms used but not defined in this pricing supplement are defined in the accompanying product supplement.
Prospectus. The first sentence of “Description of
Debt Securities— Events of Default and Defaults” in the accompanying prospectus shall be amended to read in its entirety
as follows:
Events of default under the indenture are:
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•
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failure of Citigroup Global Markets Holdings or Citigroup to pay required interest on any debt security of such series for 30 days;
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failure of Citigroup Global Markets Holdings or Citigroup to pay principal, other than a scheduled installment payment to a sinking fund, on any debt security of such series for 30 days;
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•
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failure of Citigroup Global Markets Holdings or Citigroup to make any required scheduled installment payment to a sinking fund for 30 days on debt securities of such series;
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•
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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
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•
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certain events of bankruptcy or insolvency of Citigroup Global Markets Holdings, whether voluntary or not (Section 6.01).
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Citigroup Global Markets Holdings Inc.
|
3,452 Contingent Income Callable Securities Due July 27, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Dow Jones Industrial AverageTM
Principal at Risk Securities
|
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Investment
Summary
The securities provide an opportunity for investors to earn a
quarterly contingent coupon payment, which is an amount equal to $26.25 (2.625% of
the stated principal amount) per security, with respect to each quarterly observation period during which a coupon barrier event
does not occur. A coupon barrier event will occur during an observation period if the closing level of any underlying
index is less than its coupon barrier level on any trading day for that underlying index during that observation
period. The quarterly contingent coupon payment, if any, will be payable quarterly on the relevant contingent coupon payment date,
which is the third business day after the related observation period end-date or, in the case of the quarterly contingent coupon
payment, if any, with respect to the final observation period, the maturity date. If a coupon barrier event occurs during an observation
period, investors will receive no quarterly contingent coupon payment on the related contingent coupon payment date. It is possible
that a coupon barrier event will occur with respect to some or all of the observation periods during the term of the securities
so that you will receive few or no quarterly contingent coupon payments. We refer to these payments as contingent because there
is no guarantee that you will receive a payment on any contingent coupon payment date.
We may call the securities, in whole and not in part, for mandatory
redemption on any potential redemption date upon not less than three business days’ notice for an early redemption payment
equal to the stated principal amount plus the quarterly contingent coupon payment, if any, due on that contingent coupon
payment date. Thus, the term of the securities may be limited to three months. If we redeem the securities prior to maturity, you
will not receive any additional contingent coupon payments. Moreover, you may not be able to reinvest your funds in another investment
that provides a similar yield with a similar level of risk. If we redeem the securities prior to maturity, it is likely to be at
a time when the underlying indices are performing in a manner that would otherwise have been favorable to you. On the other hand,
we will be less likely to redeem the securities when the underlying indices are performing unfavorably from your perspective, including
when the closing level of any underlying index is below its respective coupon barrier level and/or when the final index level of
any underlying index is expected to be below its respective downside threshold level, such that you will receive no quarterly contingent
coupon payments and/or that you will suffer a significant loss on your initial investment in the securities at maturity. Thus,
if we do not redeem the securities prior to maturity, it is more likely that you will receive few or no quarterly contingent coupon
payments and suffer a significant loss at maturity.
If the securities have not previously been redeemed by us and
the final index level of the worst performing underlying index is greater than or equal to its downside threshold level, you will
be repaid the stated principal amount of your securities at maturity. However, if the securities have not previously been redeemed
by us and the final index level of the worst performing underlying index is less than its downside threshold level, investors will
be exposed to the decline in the closing level of the worst performing underlying index, as compared to its initial index level,
on a 1-to-1 basis. Under these circumstances, the payment at maturity will be (i) the stated principal amount plus (ii)
(a) the stated principal amount times (b) the index return of the worst performing underlying index, which means that the
payment at maturity will be less than 70% of the stated principal amount of the securities and could be zero.
Investors in the securities must be willing to accept the risk
of losing their entire principal and also the risk of receiving few or no quarterly contingent coupon payments over the term of
the securities. The stated payments on the securities are based solely on the performance of the worst performing
of the three underlying indices. As a result, investors will be negatively affected by adverse movements in any one
of the underlying indices, regardless of the performance of the others. In addition, investors will not participate in any appreciation
of any of the underlying indices.
Key Investment
Rationale
The securities offer investors an opportunity to earn a quarterly
contingent coupon payment equal to 2.625% of the stated principal amount with respect to each quarterly observation period during
which a coupon barrier event does not occur. The securities may be redeemed by us prior to maturity for the stated principal amount
per security plus the applicable quarterly contingent coupon payment, if any, and the payment at maturity will vary depending
on the final index level of the worst performing underlying index, as follows:
Scenario 1
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On any potential redemption date (beginning
approximately three months after the issue date), we exercise our right to call the securities.
■ The
securities will be redeemed for (i) the stated principal amount plus (ii) the quarterly contingent coupon payment with respect
to the related observation period, if any.
■ Investors
will not participate in any appreciation of any of the underlying indices from their applicable initial index levels.
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Scenario 2
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The securities are not redeemed prior to maturity,
and the final index level of the worst performing
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Citigroup Global Markets Holdings Inc.
|
3,452 Contingent Income Callable Securities Due July 27, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Dow Jones Industrial AverageTM
Principal at Risk Securities
|
|
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underlying index is greater than or equal
to its downside threshold level.
■ You
will be repaid the stated principal amount of your securities at maturity plus the quarterly contingent coupon payment,
if any.
■ Investors will
not participate in any appreciation of any of the underlying indices from their applicable initial index levels.
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Scenario 3
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The securities are not redeemed prior to maturity,
and the final index level of the worst performing underlying index is less than its downside threshold level.
■ The
payment due at maturity will be (i) the stated principal amount plus (ii) (a) the stated principal amount times (b)
the index return of the worst performing underlying index on the final valuation date.
■ Investors
will lose a significant portion, and may lose all, of their principal in this scenario.
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Citigroup Global Markets Holdings Inc.
|
3,452 Contingent Income Callable Securities Due July 27, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Dow Jones Industrial AverageTM
Principal at Risk Securities
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How the Securities
Work
The following diagrams illustrate potential payments on the securities.
The first diagram illustrates how to determine whether a contingent coupon payment will be paid with respect to a quarterly observation
period. The second diagram illustrates how to determine the payment at maturity if the securities are not redeemed by us prior
to maturity.
Diagram #1: Quarterly Contingent Coupon
Payments
Diagram #2: Payment at Maturity if No Early
Redemption Occurs
For more information about contingent coupon payments
and the payment at maturity in different hypothetical scenarios, see “Hypothetical Examples” starting on page PS-6.
Citigroup Global Markets Holdings Inc.
|
3,452 Contingent Income Callable Securities Due July 27, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Dow Jones Industrial AverageTM
Principal at Risk Securities
|
|
Hypothetical Examples
The examples below illustrate how to determine whether a contingent
coupon will be paid with respect to a quarterly observation period and how to calculate the payment at maturity on the securities
if we do not redeem the securities prior to maturity. You should understand that the term of the securities, and your opportunity
to receive the contingent coupon payments on the securities, may be limited to as short as three months if we elect to redeem the
securities prior to the maturity date, which is not reflected in the examples below. For ease of analysis, figures in the examples
below may have been rounded.
The examples below are based on the following hypothetical values
and assumptions in order to illustrate how the securities work and do not reflect the actual initial index levels of any of the
underlying indices or their applicable coupon barrier levels and downside threshold levels, each of which are listed on the cover
page of this pricing supplement.
Quarterly contingent coupon payment:
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$26.25 (2.625% of the stated principal amount) per security
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Hypothetical initial index level:
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With respect to the Russell 2000® Index,
1,500.000
With respect to the S&P 500® Index,
3,200.000
With respect to the Dow Jones Industrial AverageTM,
27,000.00
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Hypothetical coupon barrier level:
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With respect to the Russell 2000® Index,
1,050.000, which is 70% of its hypothetical initial index level
With respect to the S&P 500® Index,
2,240.000, which is 70% of its hypothetical initial index level
With respect to the Dow Jones Industrial AverageTM,
18,900.000, which is 70% of its hypothetical initial index level
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Hypothetical downside threshold level:
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With respect to the Russell 2000® Index,
1,050.000, which is 70% of its hypothetical initial index level
With respect to the S&P 500® Index,
2,240.000, which is 70% of its hypothetical initial index level
With respect to the Dow Jones Industrial AverageTM,
18,900.000, which is 70% of its hypothetical initial index level
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How to determine whether a contingent coupon
is payable with respect to a quarterly observation period:
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Hypothetical
lowest closing level of each underlying index on any trading day during an observation period
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Hypothetical
contingent coupon payment per security
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Russell
2000® Index
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S&P
500® Index
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Dow
Jones Industrial AverageTM
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Example 1
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1,100.00 (greater than or equal to coupon barrier level)
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2,700.00 (greater than or equal to coupon barrier level)
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19,975.00 (greater than or equal to coupon barrier level)
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$26.25
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Example 2
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1,210.000 (greater than or equal to coupon barrier level)
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3,150.00 (greater than or equal to coupon barrier level)
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11,750.00 (less than coupon barrier level)
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$0
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Example 3
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550.000 (less than coupon barrier level)
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1,650.00 (less than coupon barrier level)
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19,000.00 (greater than or equal to coupon barrier level)
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$0
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Example 4
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440.000 (less than coupon barrier level)
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1,500.00 (less than coupon barrier level)
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7,050.00 (less than coupon barrier level)
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$0
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Example 1: In this
example, the closing levels of each underlying index are greater than or equal to their respective coupon barrier levels on each
trading day during an observation period. As a result, a coupon barrier event does not occur and investors in the securities would
receive the contingent coupon payment of $26.25 per security on the related contingent coupon payment date.
Example 2, 3 and 4:
In these examples, one or more underlying indices close below their respective coupon barrier levels on at least one trading
day during an observation period. As a result, investors would not receive any contingent coupon payment on the related contingent
coupon payment date.
Citigroup Global Markets Holdings Inc.
|
3,452 Contingent Income Callable Securities Due July 27, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Dow Jones Industrial AverageTM
Principal at Risk Securities
|
|
Investors in the securities will not receive a contingent
coupon payment with respect to an observation period if the closing level of any underlying index is less than its coupon
barrier level on any trading day for that underlying index during that observation period, even if the closing level of
that underlying index is greater than its coupon barrier level on some or all other trading days during that observation period,
and even if the closing levels of the other underlying indices are greater than their respective coupon barrier levels on each
trading day during that observation period.
How to determine the payment at maturity
on the securities if we do not elect to redeem the securities prior to maturity:
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Hypothetical final index level of the Russell 2000® Index
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Hypothetical final index level of the S&P 500® Index
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Hypothetical final index level of the Dow Jones Industrial AverageTM
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Hypothetical payment at maturity per security
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Example 5
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1,650.000 (index return =
10%)
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3,840.00 (index return =
20%)
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31,050.00
(index return =
15%)
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$1,000.00, plus the quarterly contingent coupon payment, if any
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Example 6
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1,575.000
(index return =
5%)
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1,280.00 (index return =
-60%)
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27,000.00 (index return =
0%)
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$400.00
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Example 7
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1,275.000 (index return =
-15%)
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2,880.00 (index return =
-10%)
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5,400.00 (index return =
-80%)
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$200.00
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Example 5: In this
example, the Russell 2000® Index is the worst performing underlying index. In this scenario, the final index level
of the worst performing underlying index is greater than its downside threshold level. Accordingly, at maturity, you would
be repaid the stated principal amount of the securities plus the quarterly contingent coupon payment, if any, but you would not
participate in the appreciation of any of the underlying indices even though all of the underlying indices have appreciated from
their respective initial index levels.
Example 6: In this
example, the S&P 500® Index is the worst performing underlying index. In this scenario, the final index level
of the worst performing underlying index is less than its downside threshold level. Accordingly, at maturity, you would receive
a payment per security calculated as follows:
Payment at maturity =
$1,000 + ($1,000 × the index return of the S&P 500® Index)
= $1,000 + ($1,000 ×
-60%)
= $1,000 + -$600
= $400
In this scenario, you
would receive significantly less than the stated principal amount of your securities and you will not receive a quarterly contingent
coupon payment at maturity. You would incur a loss based on the performance of the worst performing underlying index, even though
the final index levels of the other underlying indices are greater than their respective downside threshold levels.
Example 7: In this
example, the Dow Jones Industrial AverageTM is the worst performing underlying index and its final index level is less
than its downside threshold level. Accordingly, at maturity, you would receive a payment per security calculated as follows:
Payment at maturity =
$1,000 + ($1,000 × the index return of the Dow Jones Industrial AverageTM)
= $1,000 + ($1,000 ×
-80%)
= $1,000 + -$800
= $200
In this scenario, because the final index level of the worst
performing underlying index is less than its downside threshold level, you would lose a significant portion of your investment
in the securities and you will not receive a quarterly contingent coupon payment at maturity, even though the final index levels
of the other underlying indices are greater than their respective downside threshold levels.
Citigroup Global Markets Holdings Inc.
|
3,452 Contingent Income Callable Securities Due July 27, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Dow Jones Industrial AverageTM
Principal at Risk Securities
|
|
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 that are guaranteed by Citigroup Inc., including the risk that we and Citigroup Inc. may default
on our obligations under the securities, and are also subject to risks associated with each of the underlying indices. Accordingly,
the securities are appropriate 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 appropriateness
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 a significant portion 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 we do not redeem the securities
prior to maturity and the final index level of the worst performing underlying index is less than its downside threshold level,
you will lose a significant portion or all of your investment, based on a loss of 1% of the stated principal amount of the securities
for every 1% by which the final index level of the worst performing underlying index is less than its initial index level, regardless
of the performance of the other underlying indices. There is no minimum payment at maturity on the securities, and you may lose
up to all of your investment. If the final index level of any underlying index is less than its downside threshold level, you
will be fully exposed to any depreciation of the worst performing underlying index from its initial index level to its final index
level.
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|
▪
|
You will not receive any contingent coupon payment for any quarterly observation period during which a coupon barrier event
occurs. A contingent coupon payment will be made on a contingent coupon payment date if and only if a coupon barrier event
does not occur during the related observation period. A coupon barrier event will occur with respect to an observation period if
the closing level of any underlying index is less than its coupon barrier level on any trading day
for that underlying index during that observation period. If a coupon barrier event occurs during any observation period, you will
not receive any contingent coupon payment on the related contingent coupon payment date, and if a coupon barrier event occurs during
every observation period, you will not receive any contingent coupon payments over the term of the securities.
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|
▪
|
The quarterly contingent coupon payment is contingent on the closing level of each underlying index on each
trading day throughout the observation periods. Whether the quarterly contingent coupon payment will be made with respect to
an observation period will be based on the closing level of each underlying index on each trading day during that
observation period. If the closing level of any underlying index is less than its coupon barrier level on any trading
day during an observation period, you will not receive a contingent coupon payment on the related contingent coupon payment date,
even if the closing level of that underlying index is greater than its coupon barrier level on all other trading days during that
observation period, and even if the closing levels of the other underlying indices are greater than their respective coupon barrier
levels on each trading day during that observation period. As a result, the potential to receive a contingent coupon payment with
respect to an observation period can be knocked out by a temporary event that affects only one underlying index on only one day
during that observation period.
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The securities are subject to the risks of all of the underlying indices and will be negatively affected if any one of the
underlying indices performs poorly, even if the others perform well. You are subject to risks associated with all of the underlying
indices. If any one of the underlying indices performs poorly, you will be negatively affected, even if the other underlying indices
perform well. The securities are not linked to a basket composed of the underlying indices, where the better performance of one
or two could ameliorate the poor performance of the others. Instead, you are subject to the full risks of whichever of the underlying
indices is the worst performing.
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You will not benefit in any way from the performance of the better performing underlying indices. The return on the
securities depends solely on the performance of the worst performing of the three underlying indices, and you will not benefit
in any way from the performance of the better performing underlying indices. The securities may underperform a similar alternative
investment linked to a basket composed of the underlying indices, since in such case the performance of the better performing underlying
indices would be blended with the performance of the worst performing of the three underlying indices, resulting in a better return
than the return of the worst performing of the three underlying indices.
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You will be subject to risks relating to the relationship among the underlying indices. It is preferable from your perspective
for the underlying indices to be correlated with each other, in the sense that they tend to increase or decrease at similar times
and by similar magnitudes. By investing in the securities, you assume the risk that the underlying indices will not exhibit this
relationship. The less correlated the underlying indices, the more likely it is that any one of the underlying indices will perform
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Citigroup Global Markets Holdings Inc.
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3,452 Contingent Income Callable Securities Due July 27, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Dow Jones Industrial AverageTM
Principal at Risk Securities
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poorly over the term of the securities.
All that is necessary for the securities to perform poorly is for one of the underlying indices to perform poorly; the performance
of any underlying index that is not the worst performing of the three underlying indices is not relevant to your return on the
securities. It is impossible to predict what the relationship among the underlying indices will be over the term of the securities.
The S&P 500® Index represents large capitalization stocks in the United
States, the Russell 2000® Index represents small capitalization stocks in the United States and the Dow Jones Industrial
AverageTM represents 30 common stocks chosen as representative of the broad market of U.S. industry. Accordingly, the
underlying indices represent markets that differ in significant ways and, therefore, may not be correlated with each other.
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Higher contingent coupon rates are associated with greater risk. The securities offer contingent coupon payments at
an annualized rate that, if all are paid, would produce a yield that is generally higher than the yield on our conventional debt
securities of the same maturity. This higher potential yield is associated with greater levels of expected risk as of the pricing
date for the securities, including the risk that you may not receive a contingent coupon payment on one or more, or any, contingent
coupon payment dates and the risk that the amount you receive at maturity may be significantly less than the stated principal amount
of your securities and may be zero. The volatility of and the correlation among the underlying indices are important factors affecting
these risks. Greater expected volatility of, and lower expected correlation among, the underlying indices as of the pricing date
may result in a higher contingent coupon rate, but would also represent a greater expected likelihood as of the pricing date that
a coupon barrier event will occur during one or more observation periods, such that you will not receive one or more, or any, contingent
coupon payments during the term of the securities and that the final index level of the worst performing underlying index will
be less than its downside threshold level, such that you will suffer a substantial loss of principal at maturity.
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You may not be adequately compensated for assuming the downside risk of the worst performing underlying index. The potential
contingent coupon payments on the securities are the compensation you receive for assuming the downside risk of the worst performing
underlying index, as well as all the other risks of the securities. That compensation is effectively “at risk” and
may, therefore, be less than you currently anticipate. First, the actual yield you realize on the securities could be lower than
you anticipate because the coupon is “contingent” and you may not receive a contingent coupon payment on one or more,
or any, of the contingent coupon payment dates. Second, the contingent coupon payments are the compensation you receive not only
for the downside risk of the worst performing underlying index, but also for all of the other risks of the securities, including
the risk that the securities may be redeemed by us beginning approximately three months after the issue date, interest rate risk
and our and/or Citigroup Inc.’s credit risk. If those other risks increase or are otherwise greater than you currently anticipate,
the contingent coupon payments may turn out to be inadequate to compensate you for all the risks of the securities, including the
downside risk of the worst performing underlying index.
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We may redeem the securities at our option, which will limit your ability to receive the contingent coupon payments.
We may redeem the securities on any potential redemption date upon not less than three business days’ notice. In the event
that we redeem the securities, you will receive the stated principal amount of your securities and the related contingent coupon
payment, if any. Thus, the term of the securities may be limited to as short as three months. If we redeem the securities prior
to maturity, you will not receive any additional contingent coupon payments. Moreover, you may not be able to reinvest your funds
in another investment that provides a similar yield with a similar level of risk. If we redeem the securities prior to maturity,
it is likely to be at a time when the underlying indices are performing in a manner that would otherwise have been favorable to
you. By contrast, if the underlying indices are performing unfavorably from your perspective, we are less likely to redeem the
securities. If we redeem the securities, we will do so at a time that is advantageous to us and without regard to your interests.
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The securities offer downside exposure to the worst performing underlying index, but no upside exposure to the underlying
indices. You will not participate in any appreciation in the level of any of the underlying indices over the term of the securities.
Consequently, your return on the securities will be limited to the contingent coupon payments you receive, if any, and may be significantly
less than the return on the underlying indices over the term of the securities. In addition, you will not receive any dividends
or other distributions or have any other rights with respect to the underlying indices or the stocks included in the underlying
indices over the term of the securities.
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The payment at maturity depends on the closing level of the worst performing underlying index on a single day. If the
closing level of the worst performing underlying index on the final valuation date is less than its downside threshold level, you
will not receive the full stated principal amount of your securities at maturity, even if the closing level of the worst performing
underlying index is greater than its downside threshold level on other dates during the term of the securities.
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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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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.
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Citigroup Global Markets Holdings Inc.
|
3,452 Contingent Income Callable Securities Due July 27, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Dow Jones Industrial AverageTM
Principal at Risk Securities
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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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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) the selling concessions and structuring
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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The estimated value of the securities was determined for us by our affiliate using proprietary pricing models. CGMI
derived the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing
so, it may have made discretionary judgments about the inputs to its models, such as the volatility of and correlation among the
underlying indices, dividend yields on the stocks included in the underlying indices 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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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 the same as the coupon
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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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 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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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 level and volatility of the underlying indices and a number of other factors,
including the price and volatility of the stocks included in the underlying indices, the correlation among the underlying indices,
dividend yields on
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Citigroup Global Markets Holdings Inc.
|
3,452 Contingent Income Callable Securities Due July 27, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Dow Jones Industrial AverageTM
Principal at Risk Securities
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the stocks included in the underlying
indices, interest rates generally, the time remaining to maturity and our and/or Citigroup Inc.’s creditworthiness, as reflected
in our secondary market rate. Changes in the levels of the underlying indices 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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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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The securities are linked to the Russell 2000® Index and will be subject to risks associated with small capitalization
stocks. The stocks that constitute the Russell 2000® Index are issued by companies with relatively small market
capitalization. The stock prices of smaller companies may be more volatile than stock prices of large capitalization companies.
These companies tend to be less well-established than large market capitalization companies. Small capitalization companies may
be less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization
companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits
downward stock price pressure under adverse market conditions.
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Changes that affect the underlying indices may affect the value of your securities. The sponsors of the Russell 2000®
Index, the S&P 500® Index and the Dow Jones Industrial AverageTM may add, delete or substitute the
stocks that constitute those indices or make other methodological changes that could affect the levels of those indices. We are
not affiliated with any such index sponsor and, accordingly, we have no control over any changes any such index sponsor may make.
Such changes could be made at any time and could adversely affect the performance of the underlying indices and the value of and
your payment at maturity on the securities.
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Our offering of the securities does not constitute a recommendation of any underlying index. The fact that we are offering
the securities does not mean that we believe that investing in an instrument linked to the underlying indices 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 stocks that constitute the underlying indices or in instruments related to the underlying indices, and may publish
research or express opinions, that in each case are inconsistent with an investment linked to the underlying indices. These and
other activities of our affiliates’ may affect the levels of the underlying indices in a way that has a negative impact on
your interests as a holder of the securities.
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The level of an underlying index may be adversely affected by our or our affiliates’ hedging and other trading activities.
We have hedged our obligations under the securities through CGMI or other of our affiliates, who have taken positions directly
in the stocks included in the underlying indices and other financial instruments related to the underlying indices or the stocks
included in the underlying indices and may adjust such positions during the term of the securities. Our affiliates also trade the
stocks included in the underlying indices and other related financial instruments 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 levels of the underlying indices in a way that negatively affects the value of 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 may currently or from time to time engage in business with the issuers of the stocks included in
the underlying indices, including extending loans to, making equity investments in or providing advisory services to such companies.
In the course of this business, we or our affiliates may acquire non-public information which we will not disclose to you. Moreover,
if any of our affiliates is or becomes a creditor of any such company, they may exercise any remedies against such company that
are available to them without regard to your interests.
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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, such as market disruption events or the discontinuance of an underlying index, CGMI, as calculation agent,
will be required to make discretionary judgments that could significantly affect your payment at maturity. 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.
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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 described in “United States Federal Tax Considerations”
below. If the IRS were successful in asserting an alternative treatment of the securities, the tax consequences of the ownership
and disposition of the
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Citigroup Global Markets Holdings Inc.
|
3,452 Contingent Income Callable Securities Due July 27, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Dow Jones Industrial AverageTM
Principal at Risk Securities
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securities might be materially and
adversely affected. Moreover, future legislation, Treasury regulations or IRS guidance could adversely affect the U.S. federal
tax treatment of the securities, possibly retroactively.
Non-U.S. investors should note that
persons having withholding responsibility in respect of the securities may withhold on any coupon payment paid to a non-U.S. investor,
generally at a rate of 30%. To the extent that we have withholding responsibility in respect of the securities, we intend to so
withhold.
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.
|
3,452 Contingent Income Callable Securities Due July 27, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Dow Jones Industrial AverageTM
Principal at Risk Securities
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Information
About the Russell 2000® Index
The Russell 2000® Index is designed to track the
performance of the small capitalization segment of the U.S. equity market. All stocks included in the Russell 2000®
Index are traded on a major U.S. exchange. It is calculated and maintained by Russell Investments, a subsidiary of Russell Investment
Group. The Russell 2000® Index is reported by Bloomberg L.P. under the ticker symbol “RTY.”
“Russell 2000® Index” is a trademark
of Russell Investment Group and has been licensed for use by Citigroup Inc. and its affiliates. For more information, see “Equity
Index Descriptions—The Russell Indices—License Agreement” in the accompanying underlying supplement.
Please refer to the section “Equity Index Descriptions—The
Russell Indices—The Russell 2000® Index” in the accompanying underlying supplement for important disclosures
regarding the Russell 2000® Index.
Historical Information
The closing level of the Russell 2000® Index on
July 24, 2020 was 1,467.555.
The graph below shows the closing levels of the Russell 2000®
Index for each day such level was available from January 4, 2010 to July 24, 2020. We obtained the closing levels from Bloomberg
L.P., without independent verification. You should not take the historical levels of the Russell 2000® Index as
an indication of future performance.
Russell 2000®
Index – Historical Closing Levels
January 4, 2010 to July
24, 2020
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* The red line indicates the downside threshold level with respect
to the Russell 2000® Index of 1,027.289, equal to 70% of the closing level of the Russell 2000® Index
on July 24, 2020.
Citigroup Global Markets Holdings Inc.
|
3,452 Contingent Income Callable Securities Due July 27, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Dow Jones Industrial AverageTM
Principal at Risk Securities
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Information
About the S&P 500® Index
The S&P 500® Index consists of 500 common
stocks selected to provide a performance benchmark for the large capitalization segment of the U.S. equity markets. It is calculated
and maintained by S&P Dow Jones Indices LLC. The S&P 500® Index is reported by Bloomberg L.P. under the
ticker symbol “SPX.”
“Standard & Poor’s,” “S&P”
and “S&P 500®” are trademarks of Standard & Poor’s Financial Services LLC and have been
licensed for use by Citigroup Inc. and its affiliates. As of July 31, 2017, the securities of companies
with multiple share class structures are no longer eligible to be added to the S&P 500® Index, but securities
already included in the S&P 500® Index have been grandfathered and are not affected by this change. For
more information, see “Equity Index Descriptions—The S&P U.S. Indices—License Agreement” in the accompanying
underlying supplement.
Please refer to the section “Equity Index Descriptions—The
S&P U.S. Indices—The S&P 500® Index” in the accompanying underlying supplement for important
disclosures regarding the S&P 500® Index.
Historical Information
The closing level of the S&P 500® Index on
July 24, 2020 was 3,215.63.
The graph below shows the closing levels of the S&P 500®
Index for each day such level was available from January 4, 2010 to July 24, 2020. We obtained the closing levels from Bloomberg
L.P., without independent verification. You should not take the historical levels of the S&P 500® Index as an
indication of future performance.
S&P 500®
Index – Historical Closing Levels
January 4, 2010
to July 24, 2020
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* The red line indicates the downside threshold level with respect
to the S&P 500® Index of 2,250.941, equal to 70% of the closing level of the S&P 500® Index
on July 24, 2020.
Citigroup Global Markets Holdings Inc.
|
3,452 Contingent Income Callable Securities Due July 27, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Dow Jones Industrial AverageTM
Principal at Risk Securities
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Information
About the Dow Jones Industrial AverageTM
The Dow Jones Industrial
AverageTM is a price-weighted index rather than a market capitalization-weighted index. The Dow Jones Industrial AverageTM
consists of 30 common stocks chosen as representative of the broad market of U.S. industry. It is calculated and maintained
by S&P Dow Jones Indices LLC. The Dow Jones Industrial AverageTM is reported by Bloomberg L.P. under the ticker
symbol “INDU.”
“Dow Jones,”
“Dow Jones Industrial Average,” “Dow Jones Indexes” and “DJIA” are service marks
of Dow Jones Trademark Holdings LLC. For more information, see “Equity Index Descriptions—The Dow Jones Industrial
AverageTM—License Agreement” in the accompanying underlying supplement.
Please refer to the section
“Equity Index Descriptions—The Dow Jones Industrial AverageTM” in the accompanying underlying supplement
for important disclosures regarding the Dow Jones Industrial AverageTM.
Historical
Information
The closing level of the
Dow Jones Industrial AverageTM on July 24, 2020 was 26,469.89.
The graph below shows the
closing levels of the Dow Jones Industrial AverageTM for each day such level was available from January 4, 2010 to July
24, 2020. We obtained the closing levels from Bloomberg L.P., without independent verification. You should not take the historical
levels of the Dow Jones Industrial AverageTM as an indication of future performance.
Dow Jones Industrial AverageTM
– Historical Closing Levels
January 4, 2010 to July
24, 2020
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* The red line indicates the downside threshold level with respect
to the Dow Jones Industrial AverageTM of 18,528.923, equal to 70% of the closing level of the Dow Jones Industrial AverageTM
on July 24, 2020.
Citigroup Global Markets Holdings Inc.
|
3,452 Contingent Income Callable Securities Due July 27, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Dow Jones Industrial AverageTM
Principal at Risk Securities
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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.
Due to the lack of any controlling legal authority, there is
substantial uncertainty regarding the U.S. federal tax consequences of an investment in the securities. In connection with any
information reporting requirements we may have in respect of the securities under applicable law, we intend (in the absence of
an administrative determination or judicial ruling to the contrary) to treat the securities for U.S. federal income tax purposes
as prepaid forward contracts with associated coupon payments that will be treated as gross income to you at the time received or
accrued in accordance with your regular method of tax accounting. In the opinion of our counsel, Davis Polk & Wardwell LLP,
which is based on current market conditions, this treatment of the securities is reasonable under current law; however, our counsel
has advised us that it is unable to conclude affirmatively that this treatment is more likely than not to be upheld, and that alternative
treatments are possible.
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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Any coupon payments on the securities should be taxable as ordinary income to you at the time received or accrued in accordance
with your regular method of accounting for U.S. federal income tax purposes.
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Upon a sale or exchange of a security (including retirement at maturity), you should recognize capital gain or loss equal to
the difference between the amount realized and your tax basis in the security. For this purpose, the amount realized does not include
any coupon paid on retirement and may not include sale proceeds attributable to an accrued coupon, which may be treated as a coupon
payment. Such gain or loss should be long-term capital gain or loss if you held the security for more than one year.
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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.
Withholding Tax on Non-U.S. Holders. Because significant
aspects of the tax treatment of the securities are uncertain, persons having withholding responsibility in respect of the securities
may withhold on any coupon payment paid to Non-U.S. Holders (as defined in the accompanying product supplement), generally at a
rate of 30%. To the extent that we have (or an affiliate of ours has) withholding responsibility in respect of the securities,
we intend to so withhold. In order to claim an exemption from, or a reduction in, the 30% withholding, you may need to comply with
certification requirements to establish that you are not a U.S. person and are eligible for such an exemption or reduction under
an applicable tax treaty. You should consult your tax adviser regarding the tax treatment of the securities, including the possibility
of obtaining a refund of any amounts withheld and the certification requirement described above.
As discussed under “United
States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders” in the accompanying product supplement, Section
871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding
tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S.
equities (“U.S. Underlying Equities”) or indices that include U.S. Underlying Equities. Section 871(m) generally applies
to instruments that substantially replicate the economic performance of one or more U.S. Underlying Equities, as determined based
on tests set forth in the applicable Treasury regulations. However, the regulations, as modified by an IRS notice, exempt financial
instruments issued prior to January 1, 2023 that do not have a “delta” of one. Based on the terms of the securities
and representations provided by us, our counsel is of the opinion that the securities should not be treated as transactions that
have a “delta” of one within the meaning of the regulations with respect to any U.S. Underlying Equity and, therefore,
should not be subject to withholding tax under Section 871(m).
A determination that the
securities are not subject to Section 871(m) is not binding on the IRS, and the IRS may disagree with this treatment. Moreover,
Section 871(m) is complex and its application may depend on your particular circumstances, including your other transactions. You
should consult your tax adviser regarding the potential application of Section 871(m) to the securities.
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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3,452 Contingent Income Callable Securities Due July 27, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Dow Jones Industrial AverageTM
Principal at Risk Securities
|
|
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 $25 for each
$1,000 security sold in this offering. From this underwriting fee, CGMI will pay selected dealers not affiliated with CGMI, including
Morgan Stanley Wealth Management, and their financial advisors collectively a fixed selling concession of $20 for each $1,000 security
they sell. In addition, Morgan Stanley Wealth Management will receive a structuring fee of $5 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 redeemed prior to maturity.
CGMI is an affiliate of ours. Accordingly, this offering will
conform with the requirements addressing conflicts of interest when distributing the securities of an affiliate set forth in Rule
5121 of the Financial Industry Regulatory Authority. Client accounts over which Citigroup Inc. or its subsidiaries have investment
discretion will not be permitted to purchase the securities, either directly or indirectly, without the prior written consent of
the client.
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.
A portion of the net proceeds from the sale of the securities
will be used to hedge our obligations under the securities. We have hedged our obligations under the securities through CGMI or
other of our affiliates. CGMI or such other of our affiliates may profit from this hedging activity even if the value of the securities
declines. This hedging activity could affect the closing levels of the underlying indices and, therefore, the value of and your
return on the securities. For additional information on the ways in which our counterparties may hedge our obligations under the
securities, see “Use of Proceeds and Hedging” in the accompanying prospectus.
Prohibition of Sales to EEA Retail Investors
The securities may not be offered, sold or otherwise made available
to any retail investor in the European Economic Area. For the purposes of this provision:
|
(a)
|
the expression “retail investor” means a person who is one (or more) of the following:
|
|
(i)
|
a retail client as defined in point (11) of Article 4(1) of Directive 2014/65/EU (as amended, “MiFID II”); or
|
|
(ii)
|
a customer within the meaning of Directive 2002/92/EC, where that customer would not qualify as a professional client as defined
in point (10) of Article 4(1) of MiFID II; or
|
|
(iii)
|
not a qualified investor as defined in Directive 2003/71/EC; and
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(b)
|
the expression “offer” includes the communication in any form and by any means of sufficient information on the
terms of the offer and the securities offered so as to enable an investor to decide to purchase or subscribe the securities.
|
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 three months following issuance
of the securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will
be indicated for the securities on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also
publish through one or more financial information vendors), will 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 three-month temporary adjustment period. However, CGMI is
Citigroup Global Markets Holdings Inc.
|
3,452 Contingent Income Callable Securities Due July 27, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Dow Jones Industrial AverageTM
Principal at Risk Securities
|
|
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.”
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 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.
© 2020 Citigroup Global Markets Inc. All rights reserved.
Citi and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout
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