Citigroup Global Markets Holdings Inc.
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June 5, 2020
Medium-Term Senior
Notes, Series N
Pricing Supplement
No. 2020-USNCH4574
Filed Pursuant
to Rule 424(b)(2)
Registration Statement
Nos. 333-224495 and 333-224495-03
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Dual Directional Barrier Securities Based on
the Performance of the S&P 500® Index Due June 8, 2022
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The securities offered by this pricing supplement are unsecured senior debt securities issued by Citigroup Global Markets Holdings
Inc. and guaranteed by Citigroup Inc. Unlike conventional debt securities, the securities do not pay interest and do
not repay a fixed amount of principal at maturity. Instead, the securities offer a payment at maturity that may be greater than,
equal to or less than the stated principal amount, depending on the performance of the S&P 500® Index (the “underlying
index”) from the initial index level to the final index level.
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The securities offer the potential for a positive return at maturity based on the absolute value of the percentage change,
within a limited range, in the underlying index from the initial index level to the final index level. If the underlying index
appreciates, the securities offer 1-to-1 participation in that appreciation, subject to the maximum upside return specified below.
If the underlying index depreciates, the securities offer 1-to-1 positive participation in the absolute value of that depreciation,
but only if the final index level is greater than or equal to the barrier level specified below, which is equal to 75.90% of the
initial index level. In exchange for the potential for a positive return at maturity even if the underlying index depreciates,
investors in the securities must be willing to forgo (i) interest on the securities and dividends on the stocks included in the
underlying index and (ii) participation in any appreciation of the underlying index in excess of the maximum upside return. Additionally,
if the underlying index depreciates and the final index level is less than the barrier level, you will have full negative downside
exposure to that depreciation and will lose 1% of the stated principal amount of your securities for every 1% by which the final
index level is less than the initial index level.
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In order to obtain the modified exposure to the underlying index that the securities provide, investors must be willing to
accept (i) an investment that may have limited or no liquidity and (ii) the risk of not receiving any amount due under the securities
if we and Citigroup Inc. default on our obligations. All payments on the securities are subject to the credit risk of Citigroup
Global Markets Holdings Inc. and Citigroup Inc.
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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 index:
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The S&P 500® Index (ticker symbol: “SPX”)
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Aggregate stated principal amount:
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$3,000,000
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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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June 5, 2020
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Issue date:
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June 10, 2020. See “Supplemental Plan of Distribution” in this pricing supplement for additional information.
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Final valuation dates:
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May 27, 2022, May 31, 2022, June 1, 2022, June 2, 2022 and June 3, 2022, 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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June 8, 2022, subject to postponement as described under “Additional Information” below
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Payment at maturity:
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At maturity, for each $1,000 security you then hold, you will
receive an amount in U.S. dollars determined as follows:
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If the final index level
is greater than or equal to the initial index level:
$1,000 + ($1,000 × absolute index return), subject to the maximum upside return
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If the final index level
is less than the initial index level, but greater than or equal to the barrier level:
$1,000 + ($1,000 × absolute index return)
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If the final index level
is less than the barrier level:
$1,000 + ($1,000 × index return)
If the final index level is less than the barrier level, your
payment at maturity will be less, and possibly significantly less, than $759.00 per security. You may lose a significant portion,
and up to all, of your investment.
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Initial index level:
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3,193.93, the closing level of the underlying index on the pricing date
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Final index level:
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The arithmetic average of the closing level of the underlying index on each of the final valuation dates
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Maximum upside return:
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$160.00 per security (16.00% of the stated principal amount).
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Barrier level:
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2,424.193, which is 75.90% of the initial index level
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Absolute index return:
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The absolute value of the index return
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Index return:
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(i) final index level minus initial index level, divided by (ii) initial index level
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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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17328VKC3 / US17328VKC36
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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(3)
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Proceeds to issuer(3)
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Per security:
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$1,000.00
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$15.00
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$985.00
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Total:
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$3,000,000.00
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$45,000.00
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$2,955,000.00
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(1) On the date of this pricing supplement, the estimated value
of the securities is $976.20 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) The issue price for investors purchasing the securities
in fiduciary accounts is $985.00 per security.
(3) CGMI will receive an underwriting fee of $15.00 for each
security sold in this offering. J.P. Morgan Securities LLC and JPMorgan Chase Bank, N.A. will act as placement agents
for the securities and, from the underwriting fee to CGMI, will receive a placement fee of $15.00 for each security they sell in
this offering to accounts other than fiduciary accounts. CGMI and the placement agents will forgo an underwriting fee
and placement fee for sales to fiduciary accounts. The total underwriting fees and proceeds to issuer in the table above give effect
to the actual total underwriting fee. For more information on the distribution of the securities, see “Supplemental Plan
of Distribution” in this pricing supplement. In addition to the underwriting fee, CGMI and its affiliates may
profit from hedging activity related to this offering, even if the value of the securities declines. See “Use
of Proceeds and Hedging” in the accompanying prospectus.
Investing in the securities involves risks not associated
with an investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-5.
Neither the Securities and Exchange Commission
nor any state securities commission has approved or disapproved of the securities or determined that this pricing supplement and
the accompanying product supplement, underlying supplement, prospectus supplement and prospectus are truthful or complete. Any
representation to the contrary is a criminal offense.
You should read this pricing supplement
together with the accompanying product supplement, underlying supplement, prospectus supplement and prospectus, each of which
can be accessed via the following hyperlinks:
Prospectus Supplement and Prospectus each dated May 14, 2018
The securities are not bank deposits and
are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations
of, or guaranteed by, a bank.
Citigroup Global Markets Holdings Inc.
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Dual Directional Barrier Securities Based on the Performance of the S&P 500® Index Due June 8, 2022
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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 (except as set forth in the next paragraph). The accompanying underlying supplement contains important disclosures regarding
the 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.
Postponement of a Final Valuation Date; Postponement of the
Maturity Date. If any scheduled final valuation date is not a scheduled trading day, that final valuation date will be postponed
to the next succeeding scheduled trading day. In addition, if a market disruption event occurs on any scheduled final
valuation date, the calculation agent may, but is not required to, postpone that final valuation date to the next succeeding scheduled
trading day on which a market disruption event does not occur. If any final valuation date is postponed so that it coincides
with a subsequent scheduled final valuation date, each such subsequent final valuation date will be postponed to the next succeeding
scheduled trading day (subject to further postponement as provided above if a market disruption event occurs on such succeeding
scheduled trading day). However, in no event will any scheduled final valuation date be postponed more than five scheduled
trading days after that originally scheduled final valuation date as a result of a market disruption event occurring on that scheduled
final valuation date or on an earlier scheduled final valuation date (in each case, as any such scheduled final valuation date
may be postponed). If the last final valuation date is postponed so that it falls less than three business days prior
to the scheduled maturity date, the maturity date will be postponed to the third business day after the last final valuation date
as postponed. The provisions in this paragraph supersede the related provisions in the accompanying product supplement
to the extent the provisions in this paragraph are inconsistent with those provisions. The terms “scheduled trading
day” and “market disruption event” 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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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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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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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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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.
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Dual Directional Barrier Securities Based on the Performance of the S&P 500® Index Due June 8, 2022
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Hypothetical
Examples
The diagram below illustrates the payment at maturity of the
securities for a range of hypothetical index returns. The table and examples that follow illustrate various hypothetical
payments at maturity assuming a hypothetical initial index level of 3,100.00, a hypothetical barrier level of 2,352.900 and various
hypothetical final index levels. Your actual payment at maturity per security will depend on the actual initial index level and
the actual final index level and may differ substantially from the examples shown. It is impossible to predict whether
you will realize a gain or loss on your investment in the securities. Figures in the table and examples below have been
rounded for ease of analysis.
Investors in the securities will not receive any dividends
on the stocks that constitute the underlying index. The diagram and examples below do not show any effect of lost dividend yield
over the term of the securities. See “Summary Risk Factors—Investing in the securities is not equivalent to investing
in the underlying index or the stocks that constitute the underlying index” below.
Dual Directional Barrier Securities
Payment at Maturity Diagram
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Citigroup Global Markets Holdings Inc.
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Dual Directional Barrier Securities Based on the Performance of the S&P 500® Index Due June 8, 2022
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Hypothetical Final Index Level
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Hypothetical Index Return
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Hypothetical Payment at Maturity per Security
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Hypothetical Total Return on Securities at Maturity(1)
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6,200.00
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100.00%
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$1,160.00
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16.00%
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5,425.00
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75.00%
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$1,160.00
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16.00%
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4,650.00
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50.00%
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$1,160.00
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16.00%
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4,340.00
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40.00%
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$1,160.00
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16.00%
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4,030.00
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30.00%
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$1,160.00
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16.00%
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3,720.00
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20.00%
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$1,160.00
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16.00%
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3,596.00
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16.00%
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$1,160.00
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16.00%
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3,410.00
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10.00%
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$1,100.00
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10.00%
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3,255.00
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5.00%
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$1,050.00
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5.00%
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3,162.00
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2.00%
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$1,020.00
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2.00%
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3,100.00
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0.00%
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$1,000.00
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0.00%
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2,945.00
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-5.00%
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$1,050.00
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5.00%
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2,790.00
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-10.00%
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$1,100.00
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10.00%
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2,352.90
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-24.10%
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$1,241.00
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24.10%
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2,352.59
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-24.11%
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$758.90
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-24.11%
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2,170.00
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-30.00%
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$700.00
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-30.00%
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1,860.00
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-40.00%
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$600.00
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-40.00%
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1,550.00
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-50.00%
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$500.00
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-50.00%
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775.00
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-75.00%
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$250.00
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-75.00%
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0.00
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-100.00%
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$0.00
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-100.00%
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(1) Hypothetical total return on securities at maturity
= (i) hypothetical payment at maturity per security minus $1,000 stated principal amount per security, divided by
(ii) $1,000 stated principal amount per security
Example 1—Upside Scenario A. The hypothetical final
index level is 3,162.00 (a 2.00% increase from the hypothetical initial index level), which is greater than the hypothetical
initial index level.
Payment at maturity per security = $1,000 + ($1,000 × absolute
index return), subject to the maximum upside return of $160.00
= $1,000 + ($1,000 × 2.00%), subject to the maximum upside
return of $160.00
= $1,000 + $20.00, subject to the maximum upside return of $160.00
= $1,020.00
In this scenario, because the hypothetical final index level
is greater than the hypothetical initial index level but not by more than the maximum upside return of 16.00%, your total return
on the securities at maturity would reflect 1-to-1 exposure to the positive performance of the underlying index.
Example 2—Upside Scenario B. The hypothetical final
index level is 4,340.00 (a 40.00% increase from the hypothetical initial index level), which is greater than the hypothetical
initial index level.
Payment at maturity per security = $1,000 + ($1,000 × absolute
index return), subject to the maximum upside return of $160.00
= $1,000 + ($1,000 × 40.00%), subject to the maximum upside
return of $160.00
= $1,000 + $400.00, subject to the maximum upside return of $160.00
= $1,160.00
In this scenario, because the underlying index appreciated from
the hypothetical initial index level to the hypothetical final index level by more than the maximum upside return of 16.00%, you
would receive a positive return at maturity equal to the maximum upside return. In this scenario, an investment in the
securities would underperform a hypothetical alternative investment providing 1-to-1 exposure to the appreciation of the underlying
index without a maximum upside return.
Example 3—Upside Scenario C. The hypothetical final
index level is 2,945.00 (a 5.00% decrease from the hypothetical initial index level), which is less than the hypothetical
initial index level but greater than the hypothetical barrier level.
Payment at maturity per security = $1,000 + ($1,000 × absolute
index return)
= $1,000 + ($1,000 × | -5.00% |)
= $1,000 + $50.00
= $1,050.00
Citigroup Global Markets Holdings Inc.
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Dual Directional Barrier Securities Based on the Performance of the S&P 500® Index Due June 8, 2022
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In this scenario, because the underlying index depreciated from
the hypothetical initial index level to the hypothetical final index level but not by more than 24.10%, your payment at maturity
would reflect 1-to-1 positive exposure to the absolute value of the depreciation of the underlying index.
Example 4—Downside Scenario. The hypothetical final
index level is 775.00 (a 75.00% decrease from the hypothetical initial index level), which is less than the hypothetical
barrier level.
Payment at maturity per security = $1,000 + ($1,000 × index
return)
= $1,000 + ($1,000 × -75%)
= $1,000 + -$750
= $250.00
In this scenario, because the underlying index depreciated by
more than 24.10% from the hypothetical initial index level to the hypothetical final index level, your payment at maturity would
reflect a loss equal to the full amount of the depreciation of the underlying index.
Summary Risk
Factors
An investment in the securities is significantly riskier than
an investment in conventional debt securities. The securities are subject to all of the risks associated with an investment
in our conventional debt securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on
our obligations under the securities, and are also subject to risks associated with the underlying index. 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 advisers as to the risks of an investment in the securities and the suitability
of the securities in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an
investment in the securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-7
in the accompanying product supplement. You should also carefully read the risk factors included in the accompanying
prospectus supplement and in the documents incorporated by reference in the accompanying prospectus, including Citigroup Inc.’s
most recent Annual Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q, which describe risks relating to the
business of Citigroup Inc. more generally.
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You may lose some or all of your investment. Unlike conventional debt securities, the securities do not repay a fixed
amount of principal at maturity. Instead, your payment at maturity will depend on the performance of the underlying index from
the initial index level to the final index level. If the final index level is less than the barrier level, you will lose 1% of
the stated principal amount of the securities for every 1% by which the final index level is less than the initial index level.
There is no minimum payment at maturity on the securities, and you may lose up to all of your investment.
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The securities do not pay interest. Unlike conventional debt securities, the securities do not pay interest or any other
amounts prior to maturity. You should not invest in the securities if you seek current income during the term of the securities.
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Your potential return on the securities is limited. If the final index level is greater than the initial
index level, your potential total return on the securities at maturity is limited to the maximum upside return set forth on the
cover page of this pricing supplement. The return on the underlying index from the initial index level to the final
index level may significantly exceed the maximum upside return. Therefore, your return on the securities may be significantly
less than the return you could have achieved on an alternative investment providing 1-to-1 exposure to the appreciation of the
underlying index without a maximum upside return. In addition, your potential for positive participation in the absolute
value of any depreciation of the underlying index is limited. Because the barrier level is equal to 75.90% of the initial
index level, the return potential of the securities in the event that the underlying index depreciates is limited to 24.10%. Any
depreciation of the underlying index in excess of 24.10% will result in a loss, rather than a positive return, on the securities.
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Investing in the securities is not equivalent to investing in the underlying index or the stocks that constitute the underlying
index. You will not have voting rights, rights to receive dividends or other distributions or any other rights with respect
to the stocks that constitute the underlying index. As of June 5, 2020, the average dividend yield of the underlying index was
approximately 1.898% per year. While it is impossible to know the future dividend yield of the underlying index, if this average
dividend yield were to remain constant for the term of the securities, you would be forgoing an aggregate yield of approximately
3.79% (assuming no reinvestment of dividends) by investing in the securities instead of investing directly in the stocks that constitute
the underlying index or in another investment linked to the underlying index that provides for a pass-through of dividends. The
payment scenarios described in this pricing supplement do not show any effect of lost dividend yield over the term of the securities.
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The payment at maturity on the securities is based on the arithmetic average of the closing level of the underlying index
on the five final valuation dates. As a result, you are subject to the risk that the closing level of the underlying index
on those five final valuation dates will result in a less favorable return than you would have received had the final index level
been based on the
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Citigroup Global Markets Holdings Inc.
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Dual Directional Barrier Securities Based on the Performance of the S&P 500® Index Due June 8, 2022
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closing level on other days during
the term of the securities. If you had invested in another instrument linked to the underlying index that you could sell for full
value at a time selected by you, you might have achieved better returns. In addition, because the final index level is based on
the average over the five final valuation dates, your return on the securities may be less favorable than it would have been if
it were based on the closing level of the underlying index on only one of those five final valuation dates.
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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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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 placement 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 the
underlying index, dividend yields on the stocks that constitute the underlying index 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 an interest rate that we
will pay to investors in the securities, which do not bear interest.
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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
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Citigroup Global Markets Holdings Inc.
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Dual Directional Barrier Securities Based on the Performance of the S&P 500® Index Due June 8, 2022
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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 index and a number of other factors,
including the price and volatility of the stocks that constitute the underlying index, the dividend yields on the stocks that constitute
the underlying index, interest rates generally, the time remaining to maturity and our and Citigroup Inc.’s creditworthiness,
as reflected in our secondary market rate. Changes in the level of the underlying index 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 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 the 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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Our offering of the securities does not constitute a recommendation of the underlying index by CGMI or its affiliates or
by the placement agents or their affiliates. The fact that we are offering the securities does not mean that we believe, or
that the placement agents or their affiliates believe, that investing in an instrument linked to the underlying index is likely
to achieve favorable returns. In fact, as we and the placement agents are part of global financial institutions, our affiliates
and the placement agents and their affiliates may have positions (including short positions) in the stocks that constitute the
underlying index or in instruments related to the underlying index or such stocks and may publish research or express opinions,
that in each case are inconsistent with an investment linked to the underlying index. These and other activities of our affiliates
or the placement agents or their affiliates may affect the level of the underlying index in a way that has a negative impact on
your interests as a holder of the securities.
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We and our affiliates or the placement agents or their affiliates may have economic interests that are adverse to yours
as a result of our affiliates’ or their business activities. Our affiliates or the placement agents or their affiliates
may currently or from time to time engage in business with the issuers of the stocks that constitute the underlying index, including
extending loans to, making equity investments in or providing advisory services to such issuers. In the course of this business,
we or our affiliates or the placement agents or their affiliates may acquire non-public information about such issuers, which we
and they will not disclose to you. Moreover, if any of our affiliates or the placement agents or their affiliates is or becomes
a creditor of any such issuer, they may exercise any remedies against such issuer that are available to them without regard to
your interests.
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The level of the 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 that constitute the underlying index and other financial instruments related to the underlying index or such stocks
and may adjust such positions during the term of the securities. Our affiliates and the placement agents and their affiliates also
trade the stocks that constitute the underlying index and other financial instruments related to the underlying index or such stocks
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 level of the underlying index in a way that negatively
affects the value of the securities. They could also result in substantial returns for us or our affiliates or the placement agents
or their affiliates while the value of the securities declines.
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Adjustments to the underlying index may affect the value of your securities. S&P Dow Jones Indices LLC (the “underlying
index publisher”) may add, delete or substitute the stocks that constitute the underlying index or make other methodological
changes that could affect the level of the underlying index. The underlying index publisher may discontinue or suspend calculation
or publication of the underlying index at any time without regard to your interests as holders 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 prepaid forward contracts. If the IRS were successful in asserting an alternative treatment of the securities,
the tax consequences of the ownership and disposition of the securities might be materially and adversely affected. Moreover,
future legislation, Treasury regulations or IRS guidance could adversely affect the U.S. federal tax treatment of the securities,
possibly retroactively.
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Citigroup Global Markets Holdings Inc.
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Dual Directional Barrier Securities Based on the Performance of the S&P 500® Index Due June 8, 2022
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If you are a non-U.S. investor,
you should review the discussion of withholding tax issues in “United States Federal Tax Considerations—Non-U.S. Holders”
below.
You should read carefully the discussion
under “United States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying
product supplement and “United States Federal Tax Considerations” in this pricing supplement. You should
also consult your tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as well as tax consequences
arising under the laws of any state, local or non-U.S. taxing jurisdiction.
Citigroup Global Markets Holdings Inc.
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Dual Directional Barrier Securities Based on the Performance of the S&P 500® Index Due June 8, 2022
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Information
About the Underlying Index
The S&P 500® Index consists of common stocks
of 500 issuers 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. 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 underlying index on June 5, 2020 was
3,193.93.
The graph below shows the closing levels of the underlying index
for each day such level was available from January 4, 2010 to June 5, 2020. We obtained the closing levels from Bloomberg L.P.,
without independent verification. You should not take the historical levels of the underlying index as an indication of future
performance.
S&P 500® Index – Historical Closing Levels
January 4, 2010 to June 5, 2020
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* The red line indicates the barrier level of 2,424.193, equal
to 75.90% of the closing level on June 5, 2020.
Citigroup Global Markets Holdings Inc.
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Dual Directional Barrier Securities Based on the Performance of the S&P 500® Index Due June 8, 2022
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United States
Federal Tax Considerations
You should read carefully the discussion under “United
States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product
supplement and “Summary Risk Factors” in this pricing supplement.
In the opinion of our counsel, Davis Polk & Wardwell LLP,
which is based on current market conditions, a security should be treated as a prepaid forward contract for U.S. federal income
tax purposes. By purchasing a security, you agree (in the absence of an administrative determination or judicial ruling
to the contrary) to this treatment. There is uncertainty regarding this treatment, and the IRS or a court might not
agree with it.
Assuming this treatment of the securities is respected and subject
to the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following
U.S. federal income tax consequences should result under current law:
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You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or
exchange.
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Upon a sale or exchange of a security (including retirement at maturity), you should recognize capital gain or loss equal to
the difference between the amount realized and your tax basis in the security. 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.
Non-U.S. Holders. Subject to the discussions below and
in “United States Federal Tax Considerations” in the accompanying product supplement, if you are a Non-U.S. Holder
(as defined in the accompanying product supplement) of the securities, you generally should not be subject to U.S. federal withholding
or income tax in respect of any amount paid to you with respect to the securities, provided that (i) income in respect of the securities
is not effectively connected with your conduct of a trade or business in the United States, and (ii) you comply with the applicable
certification requirements.
As discussed under “United States Federal Tax Considerations—Tax
Consequences to Non-U.S. Holders” in the accompanying product supplement, Section 871(m) of the Code and Treasury regulations
promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax on dividend equivalents paid or deemed
paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities (“U.S. Underlying Equities”)
or indices that include U.S. Underlying Equities. Section 871(m) generally applies to instruments that substantially
replicate the economic performance of one or more U.S. Underlying Equities, as determined based on tests set forth in the applicable
Treasury regulations. However, the regulations, as modified by an IRS notice, exempt financial instruments issued prior
to January 1, 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.
If withholding tax applies to the securities, we will not be
required to pay any additional amounts with respect to amounts withheld.
You should read the section entitled “United States
Federal Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination
with that section, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences
of owning and disposing of the securities.
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.
Citigroup Global Markets Holdings Inc.
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Dual Directional Barrier Securities Based on the Performance of the S&P 500® Index Due June 8, 2022
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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 $15.00 for each
security sold in this offering. J.P. Morgan Securities LLC and JPMorgan Chase Bank, N.A. will act as placement agents for the securities
and, from the underwriting fee to CGMI, will receive a placement fee of $15.00 for each security they sell in this offering to
accounts other than fiduciary accounts. The amount of the underwriting fee to CGMI will be equal to the placement fee
paid to the placement agents. CGMI and the placement agents will forgo an underwriting fee and placement fee for sales
to fiduciary accounts. In addition to the underwriting fee, CGMI and its affiliates may profit from expected hedging
activity related to this offering, even if the value of the securities declines. See “Use of Proceeds and Hedging”
in the accompanying prospectus.
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.
Secondary market sales of securities typically settle two business
days after the date on which the parties agree to the sale. Because the issue date for the securities is more than two business
days after the pricing date, investors who wish to sell the securities at any time prior to the second business day preceding the
issue date will be required to specify an alternative settlement date for the secondary market sale to prevent a failed settlement.
Investors should consult their own investment advisors in this regard.
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 level of the underlying index 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:
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(a)
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the expression “retail investor” means a person who is one (or more) of the following:
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(i)
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a retail client as defined in point (11) of Article 4(1) of Directive 2014/65/EU (as amended, “MiFID II”); or
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(ii)
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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
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(iii)
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not a qualified investor as defined in Directive 2003/71/EC; and
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(b)
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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.
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Valuation of
the Securities
CGMI calculated the estimated value of the securities set forth
on the cover page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary pricing models generated
an estimated value for the securities by estimating the value of a hypothetical package of financial instruments that would replicate
the payout on the securities, which consists of a fixed-income bond (the “bond component”) and one or more derivative
instruments underlying the economic terms of the securities (the “derivative component”). CGMI calculated the estimated
value of the bond component using a discount rate based on our internal funding rate. CGMI calculated the estimated value of the
derivative component based on a proprietary derivative-pricing model, which generated a theoretical price for the instruments that
constitute the derivative component based on various inputs, including the factors described under “Summary Risk Factors—The
value of the securities prior to maturity will fluctuate based on many unpredictable factors” in this pricing supplement,
but not including our or Citigroup Inc.’s creditworthiness. These inputs may be market-observable or may be based on assumptions
made by CGMI in its discretionary judgment.
For a period of approximately six months following issuance of
the securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will
be indicated for the securities on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also
publish through one or more financial information vendors), will reflect a temporary upward adjustment from the price or value
that would otherwise be determined. This temporary upward adjustment represents a portion of the hedging profit expected to be
realized by CGMI or its affiliates over the term of the securities. The amount of this temporary upward adjustment will decline
to zero on a straight-line basis over the six-month temporary adjustment period. However, CGMI is not
Citigroup Global Markets Holdings Inc.
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Dual Directional Barrier Securities Based on the Performance of the S&P 500® Index Due June 8, 2022
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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
the world.
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