Citigroup Global Markets Holdings Inc.
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November 1, 2019
Medium-Term Senior
Notes, Series N
Pricing Supplement
No. 2019-USNCH3131
Filed Pursuant
to Rule 424(b)(2)
Registration Statement
Nos. 333-224495 and 333-224495-03
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445,100 Contingent Income Auto-Callable Securities
Due November 4, 2022
Based on the Performance of the Common Stock
of CVS Health Corporation
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; (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; and (iii) the securities may be automatically redeemed
prior to maturity beginning approximately six months after the issue date. Each of these risks will depend on the performance of
the common stock of CVS Health Corporation (the “underlying shares”), as described below. Although you will be exposed
to downside risk with respect to the underlying shares, you will not participate in any appreciation of the underlying shares or
receive any dividends paid on the underlying shares.
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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 shares:
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Common stock of CVS Health Corporation (ticker symbol: “CVS”) (the “underlying share issuer”)
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Aggregate stated principal amount:
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$4,451,000
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Stated principal amount:
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$10 per security
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Pricing date:
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November 1, 2019
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Issue date:
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November 6, 2019
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Valuation dates:
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February 3, 2020, May 1, 2020, August 3, 2020, November 2, 2020, February 1, 2021, May 3, 2021, August 2, 2021, November 1, 2021, February 1, 2022, May 2, 2022, August 1, 2022 and November 1, 2022 (the “final valuation date”), each subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur.
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Maturity date:
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Unless earlier redeemed, November 4, 2022
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Contingent coupon payment dates:
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For each valuation date, the third business day after such valuation date, except that the contingent coupon payment date for the final valuation date 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, the securities will pay a contingent coupon equal to 2.10% of the stated principal amount of the securities (8.40% per annum) if and only if the closing price of the underlying shares on the related valuation date is greater than or equal to the downside threshold price. If the closing price of the underlying shares on any quarterly valuation date is less than the downside threshold price, you will not receive any contingent coupon payment on the related contingent coupon payment date.
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Automatic early redemption:
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If, on any potential redemption date, the closing price of the underlying shares is greater than or equal to the initial share price, each security you then hold will be automatically redeemed on the related contingent coupon payment date for 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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Early redemption payment:
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The stated principal amount of $10 per security plus the related contingent coupon payment
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Potential redemption dates:
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Each quarterly valuation date beginning in May 2020 and ending in August 2022
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Payment at maturity:
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If the securities are not automatically redeemed prior to maturity,
for each $10 stated principal amount security you hold at maturity, you will receive cash in an amount determined as follows:
▪ If
the final share price is greater than or equal to the downside threshold price: $10 + the contingent coupon payment due
at maturity
▪ If
the final share price is less than the downside threshold price: $10 + ($10 × the share return)
If the final share price is less than the downside threshold
price, you will receive less, and possibly significantly less, than 65.00% of the stated principal amount of your securities at
maturity, and you will not receive any contingent coupon payment at maturity.
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Initial share price:
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$67.24, the closing price of the underlying shares on the pricing date
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Final share price:
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The closing price of the underlying shares on the final valuation date
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Downside threshold price:
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$43.706, 65.00% of the initial share price
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Share return:
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(i) The final share price minus the initial share price, divided by (ii) the initial share price
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Listing:
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The securities will not be listed on any securities exchange
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CUSIP / ISIN:
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17327P674 / US17327P6741
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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)(2)
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Underwriting fee
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Proceeds to issuer
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Per security:
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$10.00
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$0.20(2)
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$9.75
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$0.05(3)
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Total:
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$4,451,000.00
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$111,275.00
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$4,339,725.00
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(1) On the date of this pricing supplement, the estimated value
of the securities is $9.709 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 $0.25 for each
$10 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 $0.20 for each $10 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 $0.05 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-9.
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, prospectus supplement and prospectus are truthful or complete. Any
representation to the contrary is a criminal offense.
You should read this pricing supplement
together with the accompanying product supplement, prospectus supplement and prospectus, each of whicsh can be accessed via the
hyperlinks below:
Product
Supplement No. EA-04-08 dated February 15, 2019 Prospectus
Supplement and Prospectus each dated May 14, 2018
The securities are not bank deposits and
are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations
of, or guaranteed by, a bank.
Citigroup Global Markets Holdings Inc.
|
445,100 Contingent Income Auto-Callable Securities Due November 4, 2022
Based on the Performance of the Common Stock of CVS Health Corporation
Principal at Risk Securities
|
|
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 whether you receive a contingent coupon payment on a contingent coupon
payment date as well as your payment at maturity or, in the case of a delisting of the underlying shares, could give us the right
to call the securities prior to maturity for an amount that may be less than the stated principal amount. These events, including
market disruption events and other events affecting the underlying shares, 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,” “Description of the Securities—Certain Additional Terms for Securities Linked to an Underlying
Company or an Underlying ETF—Dilution and Reorganization Adjustments” and “—Delisting of an Underlying
Company,” and not in this pricing supplement. It is important that you read the accompanying product supplement, prospectus
supplement and prospectus together with this pricing supplement in connection with your investment in the securities. Certain terms
used but not defined in this pricing supplement are defined in the accompanying product supplement.
Dilution and Reorganization Adjustments. The initial share
price and the downside threshold price are each a “Relevant Price” for purposes of the section “Description of
the Securities— Certain Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF—Dilution
and Reorganization Adjustments” in the accompanying product supplement. Accordingly, the initial share price and the downside
threshold price are each subject to adjustment upon the occurrence of any of the events described in that section.
Investment
Summary
The securities provide an opportunity for investors to earn a
quarterly contingent coupon payment, which is an amount equal to $0.21 (2.10% of the
stated principal amount) per security, with respect to each quarterly valuation date on which the closing price of the underlying
shares is greater than or equal to 65.00% of the initial share price, which we refer to as the downside threshold price. 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 valuation date or, in the case of the quarterly contingent coupon payment, if any, with respect
to the final valuation date, the maturity date. If the closing price of the underlying shares is less than the downside threshold
price on any valuation date, investors will receive no quarterly contingent coupon payment for the related quarterly period. It
is possible that the closing price of the underlying shares could be below the downside threshold price on most or all of the valuation
dates 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. Even if the closing price of the underlying
shares was at or above the downside threshold price on some quarterly valuation dates, the closing price of the underlying shares
may fluctuate below the downside threshold price on others.
If the closing price of the underlying shares is greater than
or equal to the initial share price on any potential redemption date (beginning approximately six months after the issue date),
the securities will be automatically redeemed for an early redemption payment equal to the stated principal amount plus
the quarterly contingent coupon payment with respect to the related potential redemption date. If the securities have not previously
been automatically redeemed and the final share price is greater than or equal to the downside threshold price, the payment at
maturity will also be the sum of the stated principal amount and the quarterly contingent coupon payment with respect to the final
valuation date. However, if the securities have not previously been automatically redeemed and the final share price is less than
the downside threshold price, investors will be exposed to the decline in the closing price of the underlying shares, as compared
to the initial share price, 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 share return, which means that the payment at maturity
will be less than 65.00% 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. In addition, investors will not participate in any appreciation of the underlying shares.
Citigroup Global Markets Holdings Inc.
|
445,100 Contingent Income Auto-Callable Securities Due November 4, 2022
Based on the Performance of the Common Stock of CVS Health Corporation
Principal at Risk Securities
|
|
Key Investment
Rationale
The securities offer investors an opportunity to earn a quarterly
contingent coupon payment equal to 2.10% of the stated principal amount with respect
to each valuation date on which the closing price of the underlying shares is greater than or equal to 65.00% of the initial share
price, which we refer to as the downside threshold price. The securities may be automatically redeemed prior to maturity for the
stated principal amount per security plus the applicable quarterly contingent coupon payment, and the payment at maturity
will vary depending on the final share price, as follows:
Scenario 1
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On any potential redemption date (beginning
approximately six months after the issue date), the closing price of the underlying shares is greater than or equal to the initial
share price.
■ The
securities will be automatically redeemed for (i) the stated principal amount plus (ii) the quarterly contingent coupon
payment with respect to the related potential redemption date.
■ Investors
will not participate in any appreciation of the underlying shares from the initial share price.
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Scenario 2
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The securities are not automatically redeemed
prior to maturity, and the final share price is greater than or equal to the downside threshold price.
■ The
payment due at maturity will be (i) the stated principal amount plus (ii) the quarterly contingent coupon payment with respect
to the final valuation date.
■ Investors
will not participate in any appreciation of the underlying shares from the initial share price.
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Scenario 3
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The securities are not automatically redeemed
prior to maturity, and the final share price is less than the downside threshold price.
■ The
payment due at maturity will be (i) the stated principal amount plus (ii) (a) the stated principal amount times (b)
the share return.
■ 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.
|
445,100 Contingent Income Auto-Callable Securities Due November 4, 2022
Based on the Performance of the Common Stock of CVS Health Corporation
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 valuation
date. The second diagram illustrates how to determine whether the securities will be automatically redeemed following a potential
redemption date. The third diagram illustrates how to determine the payment at maturity if the securities are not automatically
redeemed prior to maturity.
Diagram #1: Quarterly Contingent Coupon
Payments
Diagram #2: Automatic Early Redemption
Citigroup Global Markets Holdings Inc.
|
445,100 Contingent Income Auto-Callable Securities Due November 4, 2022
Based on the Performance of the Common Stock of CVS Health Corporation
Principal at Risk Securities
|
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Diagram #3: Payment at Maturity if No Automatic
Early Redemption Occurs
For more information about the payment upon an early
automatic redemption or at maturity in different hypothetical scenarios, see “Hypothetical Examples” starting on page
PS-6.
Citigroup Global Markets Holdings Inc.
|
445,100 Contingent Income Auto-Callable Securities Due November 4, 2022
Based on the Performance of the Common Stock of CVS Health Corporation
Principal at Risk Securities
|
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Hypothetical Examples
The below examples are based on the following terms:
Stated principal amount:
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$10 per security
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Hypothetical initial share price:
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$100.00
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Hypothetical downside threshold price:
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$65.00, which is 65.00% of the hypothetical initial share price
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Hypothetical quarterly contingent coupon payment:
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$0.21 (2.10% of the stated principal amount) per security
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In Examples 1 and 2, the closing price of the underlying
shares fluctuates over the term of the securities and the closing price of the underlying shares is greater than or equal to
the initial share price on one of the potential redemption dates, which begin approximately six months after the issue date. Because
the closing price of the underlying shares is greater than or equal to the initial share price on one of the potential redemption
dates, the securities are automatically redeemed following the relevant potential redemption date. In Examples 3 and 4, the closing
price of the underlying shares on each potential redemption date is less than the initial share price, and, consequently, the securities
are not automatically redeemed prior to, and remain outstanding until, maturity.
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Example 1
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Example 2
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Valuation
Dates
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Hypothetical
Closing Price of the Underlying Shares
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Quarterly Contingent
Coupon Payment
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Early
Redemption Payment*
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Hypothetical
Closing Price of the Underlying Shares
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Quarterly Contingent Coupon
Payment
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Early
Redemption Payment*
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#1
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$60.00
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$0
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N/A
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$90.00
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$0.21
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N/A
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#2
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$110.00
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—*
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$10.21
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$63.00
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$0
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N/A
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#3
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N/A
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N/A
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N/A
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$60.00
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$0
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N/A
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#4
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N/A
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N/A
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N/A
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$62.00
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$0
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N/A
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#5
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N/A
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N/A
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N/A
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$59.00
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$0
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N/A
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#6
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N/A
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N/A
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N/A
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$61.00
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$0
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N/A
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#7
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N/A
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N/A
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N/A
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$58.00
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$0
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N/A
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#8
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N/A
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N/A
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N/A
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$64.00
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$0
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N/A
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#9
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N/A
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N/A
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N/A
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$56.00
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$0
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N/A
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#10
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N/A
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N/A
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N/A
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$59.00
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$0
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N/A
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#11
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N/A
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N/A
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N/A
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$125.00
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—*
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$10.21
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Final Valuation Date
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N/A
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N/A
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N/A
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N/A
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N/A
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N/A
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*The early redemption payment includes the unpaid quarterly contingent
coupon payment with respect to the potential redemption date on which the closing price of the underlying shares is greater than
or equal to the initial share price and the securities are automatically redeemed as a result.
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In Example 1, the securities are automatically redeemed
following the second valuation date (which is the first potential redemption date) as the closing price of the underlying shares
on that potential redemption date is greater than the initial share price. You receive the early redemption payment, calculated
as follows:
stated principal amount + quarterly
contingent coupon = $10 + $0.21 = $10.21
In this example, the automatic early redemption feature
limits the term of your investment to approximately six months and you may not be able to reinvest at comparable terms or returns.
If the securities are redeemed early, you will stop receiving quarterly contingent coupons.
Citigroup Global Markets Holdings Inc.
|
445,100 Contingent Income Auto-Callable Securities Due November 4, 2022
Based on the Performance of the Common Stock of CVS Health Corporation
Principal at Risk Securities
|
|
In Example 2, the securities are automatically
redeemed following the eleventh valuation date (which is the last potential redemption date) as the closing price of the underlying
shares on that potential redemption date is greater than the initial share price. As the closing price of the underlying shares
on the first valuation date is greater than the downside threshold price, you receive the quarterly contingent coupon payment of
$0.21 with respect to that valuation date. Following the eleventh valuation date (the last potential redemption date), you receive
an automatic early redemption payment of $10.21, which includes the quarterly contingent coupon payment with respect to the eleventh
valuation date.
In this example, the automatic early redemption feature
limits the term of your investment to approximately two years and nine months and you may not be able to reinvest at comparable
terms or returns. If the securities are redeemed early, you will stop receiving quarterly contingent coupon payments. Further,
although the underlying shares have appreciated by 25% from the initial share price on the eleventh valuation date, you only receive
$10.21 per security upon redemption and do not benefit from this appreciation. The total payments on the securities will amount
to $10.42 per security.
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Example 3
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Example 4
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Valuation
Dates
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Hypothetical
Closing Price of the Underlying Shares
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Quarterly Contingent
Coupon Payment
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Early
Redemption Payment*
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Hypothetical
Closing Price of the Underlying Shares
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Quarterly Contingent Coupon
Payment
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Early
Redemption Payment*
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#1
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$55.00
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$0
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N/A
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$59.00
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$0
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N/A
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#2
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$58.00
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$0
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N/A
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$88.00
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$0.21
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N/A
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#3
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$56.00
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$0
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N/A
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$63.00
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$0
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N/A
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#4
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$62.00
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$0
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N/A
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$85.00
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$0.21
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N/A
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#5
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$58.00
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$0
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N/A
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$57.00
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$0
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N/A
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#6
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$55.00
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$0
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N/A
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$95.00
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$0.21
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N/A
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#7
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$50.00
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$0
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N/A
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$54.00
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$0
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N/A
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#8
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$41.00
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$0
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N/A
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$56.00
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$0
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N/A
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#9
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$35.00
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$0
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N/A
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$52.00
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$0
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N/A
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#10
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$22.00
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$0
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N/A
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$57.00
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$0
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N/A
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#11
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$15.00
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$0
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N/A
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$58.00
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$0
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N/A
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Final Valuation
Date
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$0.00
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$0
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N/A
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$90.00
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—*
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N/A
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Payment at Maturity
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$0.00
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$10.21
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* The final quarterly contingent coupon payment, if any, will
be paid at maturity.
Examples 3 and 4 illustrate the payment at maturity per
security based on the final share price.
In Example 3, the closing price of the underlying shares
remains below the downside threshold price on each valuation date throughout the term of the securities. As a result, you do not
receive any quarterly contingent coupon payment during the term of the securities and, at maturity, you are fully exposed to the
decline in the closing price of the underlying shares. As the final share price is less than the downside threshold price, you
receive a cash payment at maturity calculated as follows:
stated principal amount + (stated
principal amount × share return) = $10 + ($10 × -100%) = $0.00
In this example, because the underlying shares have
lost all of their value by the final valuation date, the payment you receive at maturity would be equal to zero, and you would
lose your entire investment. You may lose up to all of your investment in the securities.
In Example 4, the closing price of the underlying shares
decreases to a final share price of $90.00. As the closing price of the underlying shares on the second, fourth, and sixth valuation
dates are greater than the downside threshold price, you receive the quarterly contingent coupon payment of $0.21 with respect
to each of those valuation dates, but not with respect to any other valuation date prior to the final valuation date. Although
the final share price is less than the initial share price, because the final share price is still not less than the downside threshold
price, you receive the stated principal amount plus a quarterly contingent coupon payment with respect to the final valuation
date.
Citigroup Global Markets Holdings Inc.
|
445,100 Contingent Income Auto-Callable Securities Due November 4, 2022
Based on the Performance of the Common Stock of CVS Health Corporation
Principal at Risk Securities
|
|
In this example, although the final share price represents
a 10% decline from the initial share price, you receive the stated principal amount per security plus the quarterly contingent
coupon payment, equal to a total payment of $10.21 per security at maturity. The total payments on the securities will amount to
$10.84 per security.
The hypothetical returns
and hypothetical payments on the securities shown above apply only if you hold the securities for their entire term or until
automatic early redemption. These hypothetical examples do not reflect fees or expenses that
would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns and
hypothetical payments shown above would likely be lower.
Citigroup Global Markets Holdings Inc.
|
445,100 Contingent Income Auto-Callable Securities Due November 4, 2022
Based on the Performance of the Common Stock of CVS Health Corporation
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 the underlying shares. Accordingly, the
securities are suitable only for investors who are capable of understanding the complexities and risks of the securities. You should
consult your own financial, tax and legal advisors as to the risks of an investment in the securities and the suitability of the
securities in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment
in the securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-7 in the
accompanying product supplement. You should also carefully read the risk factors included in the accompanying prospectus supplement
and in the documents incorporated by reference in the accompanying prospectus, including Citigroup Inc.’s most recent Annual
Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup
Inc. more generally.
|
▪
|
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 the securities are not automatically
redeemed prior to maturity and the final share price is less than the downside threshold price, 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
share price is less than the initial share price. There is no minimum payment at maturity on the securities, and you may lose up
to all of your investment.
|
|
▪
|
You will not receive any contingent coupon payment for any quarter in which the closing price of the underlying shares is
less than the downside threshold price on the related valuation date. A contingent coupon payment will be made on a contingent
coupon payment date if and only if the closing price of the underlying shares on the related valuation date is greater than or
equal to the downside threshold price. If the closing price of the underlying shares is less than the downside threshold price
on any quarterly valuation date, you will not receive any contingent coupon payment on the related contingent coupon payment date,
and if the closing price of the underlying shares is below the downside threshold price on each valuation date, you will not receive
any contingent coupon payments over the term of the securities.
|
|
▪
|
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, the securities will not be automatically redeemed and 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 the underlying shares is an important
factor affecting these risks. Greater expected volatility of the underlying shares as of the pricing date may result in a higher
contingent coupon rate, but it also represents a greater expected likelihood as of the pricing date that the closing price of the
underlying shares will be less than the downside threshold price on one or more valuation dates, such that you will not receive
one or more, or any, contingent coupon payments during the term of the securities, the closing price of the underlying shares will
be less than the initial share price on each potential redemption date, such that the securities will not be automatically redeemed,
and the final share price will be less than the downside threshold price, such that you will suffer a substantial loss of principal
at maturity.
|
|
▪
|
You may not be adequately compensated for assuming the downside risk of the underlying shares. The potential contingent
coupon payments on the securities are the compensation you receive for assuming the downside risk of the underlying shares, 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 underlying shares, but also for all of the other risks of the securities, including the risk that the securities may be automatically
redeemed beginning approximately six months after the issue date, interest rate risk and our 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 underlying shares.
|
|
▪
|
The securities may be automatically redeemed prior to maturity, limiting your opportunity to receive contingent coupon payments.
On any potential redemption date, beginning in May 2020 and ending in August 2022, the securities will be automatically redeemed
if the closing price of the underlying shares on that potential redemption date is greater than or equal to the initial share price.
Thus, the term of the securities may be limited to as short as approximately six months. If the securities are redeemed 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.
|
Citigroup Global Markets Holdings Inc.
|
445,100 Contingent Income Auto-Callable Securities Due November 4, 2022
Based on the Performance of the Common Stock of CVS Health Corporation
Principal at Risk Securities
|
|
|
▪
|
The securities offer downside exposure to the underlying shares, but no upside exposure to the underlying shares. You
will not participate in any appreciation in the price of the underlying shares 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 shares over the term of the securities. In addition, you will not receive any dividends or other distributions
or any other rights with respect to the underlying shares over the term of the securities.
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▪
|
The performance of the securities will depend on the closing price of the underlying shares solely on the relevant valuation
dates, which makes the securities particularly sensitive to the volatility of the underlying shares. Whether the contingent
coupon will be paid for any given quarter and whether the securities will be automatically redeemed prior to maturity will depend
on the closing price of the underlying shares solely on the quarterly valuation dates and potential redemption dates, respectively,
regardless of the closing price of the underlying shares on other days during the term of the securities. If the securities are
not automatically redeemed, what you receive at maturity will depend solely on the closing price of the underlying shares on the
final valuation date, and not on any other day during the term of the securities. Because the performance of the securities depends
on the closing price of the underlying shares on a limited number of dates, the securities will be particularly sensitive to volatility
in the closing price of the underlying shares. You should understand that the underlying shares have historically been highly volatile.
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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.
CGMI currently intends to make a secondary market in relation to the securities and to provide an indicative bid price for the
securities on a daily basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole
discretion, taking into account prevailing market conditions and other relevant factors, and will not be a representation by CGMI
that the securities can be sold at that price, or at all. CGMI may suspend or terminate making a market and providing indicative
bid prices without notice, at any time and for any reason. If CGMI suspends or terminates making a market, there may be no secondary
market at all for the securities because it is likely that CGMI will be the only broker-dealer that is willing to buy your securities
prior to maturity. Accordingly, an investor must be prepared to hold the securities until maturity.
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▪
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The estimated value of the securities on the pricing date, based on CGMI’s proprietary pricing models and our internal
funding rate, is less than the issue price. The difference is attributable to certain costs associated with selling, structuring
and hedging the securities that are included in the issue price. These costs include (i) 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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▪
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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 the underlying shares, the
dividend yield on the underlying shares and interest rates. CGMI’s views on these inputs may differ from your or others’
views, and as an underwriter in this offering, CGMI’s interests may conflict with yours. Both the models and the inputs to
the models may prove to be wrong and therefore not an accurate reflection of the value of the securities. Moreover, the estimated
value of the securities set forth on the cover page of this pricing supplement may differ from the value that we or our affiliates
may determine for the securities for other purposes, including for accounting purposes. You should not invest in the securities
because of the estimated value of the securities. Instead, you should be willing to hold the securities to maturity irrespective
of the initial estimated value.
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▪
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The estimated value of the securities would be lower if it were calculated based on our secondary market rate. The estimated
value of the securities included in this pricing supplement is calculated based on our internal funding rate, which is the rate
at which we are willing to borrow funds through the issuance of the securities. Our internal funding rate is generally lower than
our secondary market rate, which is the rate that CGMI will use in determining the value of the securities for purposes of any
purchases of the securities from you in the secondary market. If the estimated value included in this pricing supplement were based
on our secondary market rate, rather than our internal funding rate, it would likely be lower. We determine our internal funding
rate based on factors such as the costs associated with the securities, which are generally higher than the costs
|
Citigroup Global Markets Holdings Inc.
|
445,100 Contingent Income Auto-Callable Securities Due November 4, 2022
Based on the Performance of the Common Stock of CVS Health Corporation
Principal at Risk Securities
|
|
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.
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 price and volatility of the underlying shares and a number of other factors,
including the dividend yields on the underlying shares, 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 price of the underlying shares
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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|
▪
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Our offering of the securities does not constitute a recommendation of the underlying shares. The fact that we are offering
the securities does not mean that we believe that investing in an instrument linked to the underlying shares is likely to achieve
favorable returns. In fact, as we are part of a global financial institution, our affiliates may have positions (including short
positions) in the underlying shares over the term of the securities or in instruments related to the underlying shares over the
term of the securities and may publish research or express opinions, that in each case are inconsistent with an investment linked
to the underlying shares. These and other activities of our affiliates may affect the price of the underlying shares in a way that
has a negative impact on your interests as a holder of the securities.
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|
▪
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The price of the underlying shares may be adversely affected by our or our affiliates’ hedging and other trading activities.
We have hedged our obligations under the securities through CGMI or other of our affiliates, who have taken positions directly
in the underlying shares and other financial instruments related to the underlying shares and may adjust such positions during
the term of the securities. Our affiliates also trade the underlying shares and other financial instruments related to the underlying
shares on a regular basis (taking long or short positions or both), for their accounts, for other accounts under their management
or to facilitate transactions on behalf of customers. These activities could affect the price of the underlying shares in a way
that negatively affects the value of the securities. They could also result in substantial returns for us or our affiliates while
the value of the securities declines.
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▪
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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 underlying share issuer, including
extending loans to, making equity investments in or providing advisory services to the underlying share issuer. In the course of
this business, we or our affiliates may acquire non-public information about the underlying share issuer, which we will not disclose
to you. Moreover, if any of our affiliates is or becomes a creditor of the underlying share issuer, they may exercise any remedies
against the underlying share issuer that are available to them without regard to your interests.
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▪
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You will have no rights and will not receive dividends with respect to the underlying shares. You should understand
that you will not receive any dividend payments under the securities. In addition, if any change to the underlying shares is proposed,
such as an amendment to the underlying share issuer’s organizational documents, you will not have the right to vote on such
change. Any such change may adversely affect the market price of the underlying shares.
|
Citigroup Global Markets Holdings Inc.
|
445,100 Contingent Income Auto-Callable Securities Due November 4, 2022
Based on the Performance of the Common Stock of CVS Health Corporation
Principal at Risk Securities
|
|
|
▪
|
Even if the underlying share issuer pays a dividend that it identifies as special or extraordinary, no adjustment will be
required under the securities for that dividend unless it meets the criteria specified in the accompanying product supplement.
In general, an adjustment will not be made under the terms of the securities for any cash dividend paid on the underlying shares
unless the amount of the dividend per underlying share, together with any other dividends paid in the same fiscal quarter, exceeds
the dividend paid per underlying share in the most recent fiscal quarter by an amount equal to at least 10% of the closing price
of the underlying shares on the date of declaration of the dividend. Any dividend will reduce the closing price of the underlying
shares by the amount of the dividend per underlying share. If the underlying share issuer pays any dividend for which an adjustment
is not made under the terms of the securities, holders of the securities will be adversely affected. See “Description of
the Securities— Certain Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF—Dilution
and Reorganization Adjustments—Certain Extraordinary Cash Dividends” in the accompanying product supplement.
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|
▪
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The securities will not be adjusted for all events that could affect the price of the underlying shares. For example,
we will not make any adjustment for ordinary dividends or extraordinary dividends that do not meet the criteria described above,
partial tender offers or additional public offerings of the underlying shares. Moreover, the adjustments we do make may not fully
offset the dilutive or adverse effect of the particular event. Investors in the securities may be adversely affected by such an
event in a circumstance in which a direct holder of the underlying shares would not.
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▪
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If the underlying shares are delisted, we may call the securities prior to maturity for an amount that may be less than
the stated principal amount. If we exercise this call right, you will receive the amount described under “Description
of the Securities—Certain Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF—Delisting
of an Underlying Company” in the accompanying product supplement. This amount may be less, and possibly significantly less,
than the stated principal amount of the securities.
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▪
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The securities may become linked to shares of an issuer other than the original underlying share issuer upon the occurrence
of a reorganization event or upon the delisting of the underlying shares. For example, if the underlying share issuer enters
into a merger agreement that provides for holders of underlying shares to receive stock of another entity, the stock of such other
entity will become the underlying shares for all purposes of the securities upon consummation of the merger. Additionally, if the
underlying shares are delisted and we do not exercise our call right, the calculation agent may, in its sole discretion, select
shares of another issuer to be the underlying shares. See “Description of the Securities— Certain Additional Terms
for Securities Linked to an Underlying Company or an Underlying ETF—Dilution and Reorganization Adjustments,” and “—Delisting
of an Underlying Company” in the accompanying product supplement.
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▪
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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, corporate events with respect to the underlying share issuer that may
require a dilution adjustment or the delisting of the underlying shares, CGMI, as calculation agent, will be required to make discretionary
judgments that could significantly affect your return on the securities. In making these judgments, the calculation agent’s
interests as an affiliate of ours could be adverse to your interests as a holder of the securities.
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▪
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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 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.
|
445,100 Contingent Income Auto-Callable Securities Due November 4, 2022
Based on the Performance of the Common Stock of CVS Health Corporation
Principal at Risk Securities
|
|
Information About CVS Health Corporation
CVS Health Corporation
is an integrated pharmacy health care provider. The company offers pharmacy benefit management services, disease management programs,
and retail clinics and operates mail order, retail and specialty pharmacies. The company operates drugstores throughout the U.S.,
the District of Columbia, and Puerto Rico. The underlying shares of CVS Health Corporation are registered under the Securities
Exchange Act of 1934, as amended (the “Exchange Act”). Information provided to or filed with the SEC by CVS Health
Corporation pursuant to the Exchange Act can be located by reference to the SEC file number 001-01011 through the SEC’s website
at http://www.sec.gov. In addition, information regarding CVS Health Corporation may be obtained from other sources including,
but not limited to, press releases, newspaper articles and other publicly disseminated documents. The underlying shares of CVS
Health Corporation trade on the New York Stock Exchange under the ticker symbol “CVS.”
This pricing supplement
relates only to the securities offered hereby and does not relate to the underlying shares or other securities of the underlying
share issuer. We have derived all disclosures contained in this pricing supplement regarding the underlying shares and the underlying
share issuer from the publicly available documents described above. In connection with the offering of the securities, none of
Citigroup Global Markets Holdings Inc., Citigroup Inc. or CGMI has participated in the preparation of such documents or made any
due diligence inquiry with respect to the underlying share issuer.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. The underlying share issuer is not involved in any way in this offering and
has no obligation relating to the securities or to holders of the securities.
Neither we nor any of our affiliates make any representation
to you as to the performance of the underlying shares.
Historical Information
The graph below shows the closing price of the underlying shares
for each day such price was available from January 2, 2009 to November 1, 2019. The table that follows shows the high and low closing
prices of, and dividends paid on, the underlying shares for each quarter in that same period. We obtained the closing prices and
other information below from Bloomberg L.P., without independent verification. If certain corporate transactions occurred during
the historical period shown below, including, but not limited to, spin-offs or mergers, then the closing prices of the underlying
shares shown below for the period prior to the occurrence of any such transaction have been adjusted by Bloomberg L.P. as if any
such transaction had occurred prior to the first day in the period shown below. You should not take the historical prices of the
underlying shares as an indication of future performance.
Common Stock of CVS Health Corporation – Historical Closing Prices
January 2, 2009 to November 1, 2019
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|
* The red line indicates the downside threshold price of $43.706,
equal to 65.00% of the closing price on November 1, 2019.
Citigroup Global Markets Holdings Inc.
|
445,100 Contingent Income Auto-Callable Securities Due November 4, 2022
Based on the Performance of the Common Stock of CVS Health Corporation
Principal at Risk Securities
|
|
Common Stock of CVS Health Corporation
|
High
|
Low
|
Dividends
|
2009
|
|
|
|
First Quarter
|
$29.80
|
$23.98
|
$0.07625
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Second Quarter
|
$32.98
|
$28.10
|
$0.07625
|
Third Quarter
|
$37.52
|
$30.68
|
$0.07625
|
Fourth Quarter
|
$38.01
|
$28.87
|
$0.07625
|
2010
|
|
|
|
First Quarter
|
$37.07
|
$31.07
|
$0.08750
|
Second Quarter
|
$37.37
|
$29.32
|
$0.08750
|
Third Quarter
|
$31.54
|
$27.00
|
$0.08750
|
Fourth Quarter
|
$35.00
|
$29.65
|
$0.08750
|
2011
|
|
|
|
First Quarter
|
$35.71
|
$32.24
|
$0.12500
|
Second Quarter
|
$38.80
|
$34.77
|
$0.12500
|
Third Quarter
|
$38.54
|
$32.06
|
$0.12500
|
Fourth Quarter
|
$41.16
|
$32.97
|
$0.12500
|
2012
|
|
|
|
First Quarter
|
$45.65
|
$41.46
|
$0.16250
|
Second Quarter
|
$46.73
|
$43.25
|
$0.16250
|
Third Quarter
|
$48.61
|
$44.12
|
$0.16250
|
Fourth Quarter
|
$49.24
|
$44.70
|
$0.16250
|
2013
|
|
|
|
First Quarter
|
$55.30
|
$49.68
|
$0.22500
|
Second Quarter
|
$60.35
|
$54.13
|
$0.22500
|
Third Quarter
|
$62.17
|
$56.75
|
$0.22500
|
Fourth Quarter
|
$71.58
|
$56.64
|
$0.22500
|
2014
|
|
|
|
First Quarter
|
$75.30
|
$65.44
|
$0.27500
|
Second Quarter
|
$78.92
|
$72.58
|
$0.27500
|
Third Quarter
|
$82.24
|
$76.04
|
$0.27500
|
Fourth Quarter
|
$98.25
|
$78.81
|
$0.27500
|
2015
|
|
|
|
First Quarter
|
$104.56
|
$94.16
|
$0.35000
|
Second Quarter
|
$106.47
|
$98.74
|
$0.35000
|
Third Quarter
|
$113.45
|
$95.12
|
$0.35000
|
Fourth Quarter
|
$105.29
|
$91.56
|
$0.35000
|
2016
|
|
|
|
First Quarter
|
$104.05
|
$89.65
|
$0.42500
|
Second Quarter
|
$106.10
|
$93.21
|
$0.42500
|
Third Quarter
|
$98.06
|
$88.99
|
$0.42500
|
Fourth Quarter
|
$88.80
|
$73.53
|
$0.42500
|
2017
|
|
|
|
First Quarter
|
$83.92
|
$74.80
|
$0.50000
|
Second Quarter
|
$82.79
|
$75.95
|
$0.50000
|
Third Quarter
|
$83.31
|
$75.35
|
$0.50000
|
Fourth Quarter
|
$80.91
|
$66.80
|
$0.50000
|
2018
|
|
|
|
First Quarter
|
$83.63
|
$60.60
|
$0.50000
|
Second Quarter
|
$72.18
|
$60.71
|
$0.50000
|
Third Quarter
|
$79.59
|
$63.78
|
$0.50000
|
Fourth Quarter
|
$80.80
|
$62.92
|
$0.50000
|
2019
|
|
|
|
First Quarter
|
$69.88
|
$52.36
|
$0.50000
|
Second Quarter
|
$57.33
|
$52.13
|
$0.50000
|
Third Quarter
|
$64.30
|
$54.09
|
$0.50000
|
Fourth Quarter (through November 1, 2019)
|
$67.24
|
$60.38
|
$0.00000
|
The closing price of the underlying shares on November 1, 2019
was $67.24.
On October 3, 2019, CVS Health Corporation declared a cash dividend
of $0.50000 per share of common stock payable on November 4, 2019. We make no representation as to the amount of dividends, if
any, that may be paid on the underlying shares in the future. In any event, as an investor in the securities, you will not be entitled
to receive dividends, if any, that may be payable on the underlying shares.
Citigroup Global Markets Holdings Inc.
|
445,100 Contingent Income Auto-Callable Securities Due November 4, 2022
Based on the Performance of the Common Stock of CVS Health Corporation
Principal at Risk Securities
|
|
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:
|
·
|
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.
|
|
·
|
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.
|
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, 2021 that do not have a “delta” of one. Based on the terms of the securities
and representations provided by us, our counsel is of the opinion that the securities should not be treated as transactions that
have a “delta” of one within the meaning of the regulations with respect to any U.S. Underlying Equity and, therefore,
should not be subject to withholding tax under Section 871(m).
A determination that the
securities are not subject to Section 871(m) is not binding on the IRS, and the IRS may disagree with this treatment. Moreover,
Section 871(m) is complex and its application may depend on your particular circumstances, including your other transactions. You
should consult your tax adviser regarding the potential application of Section 871(m) to the securities.
We will not be required to pay any additional amounts with respect
to amounts withheld.
Citigroup Global Markets Holdings Inc.
|
445,100 Contingent Income Auto-Callable Securities Due November 4, 2022
Based on the Performance of the Common Stock of CVS Health Corporation
Principal at Risk Securities
|
|
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.
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 $0.25 for each
$10.00 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 $0.20 for each $10.00
security they sell. In addition, Morgan Stanley Wealth Management will receive a structuring fee of $0.05 for each security they
sell. For the avoidance of doubt, the fees and selling concessions described in this pricing supplement will not be rebated if
the securities are automatically redeemed prior to maturity.
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 price of the underlying shares 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.
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 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.”
Citigroup Global Markets Holdings Inc.
|
445,100 Contingent Income Auto-Callable Securities Due November 4, 2022
Based on the Performance of the Common Stock of CVS Health Corporation
Principal at Risk Securities
|
|
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.
© 2019 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
the world.
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