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Citigroup Global Markets Holdings Inc.
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November
8, 2019
Medium-Term
Senior Notes, Series N
Pricing
Supplement No. 2019-USNCH3153
Filed Pursuant
to Rule 424(b)(2)
Registration
Statement Nos. 333-224495 and 333-224495-03
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487,000 Jump Securities with Auto-Callable Feature
Based Upon the Worst Performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX®
Banks Index Due November 13, 2023
Principal at
Risk Securities
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▪
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The securities offered by this pricing supplement are
unsecured debt securities issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. Unlike
conventional debt securities, the securities do not pay interest, do not guarantee the repayment of principal at maturity and
are subject to potential automatic early redemption on a quarterly basis beginning approximately one year after issuance on the
terms described below. Your return on the securities will depend on the worst performing of the S&P 500®
Index, the Russell 2000® Index and the EURO STOXX® Banks Index (each, an “underlying index”).
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▪
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The securities provide for the repayment of principal
plus a premium following the first interim valuation date, beginning approximately one year after issuance, on which the
closing level of the worst performing underlying index is greater than or equal to its initial index level. If the
closing level of the worst performing underlying index is not greater than or equal to its initial index level on any interim
valuation date, the securities will not be automatically redeemed at a premium and, instead, you will receive a payment at maturity
that may be greater than or less than the stated principal amount, depending on the final index level of the worst performing
underlying index on the final valuation date. If the securities are not automatically redeemed prior to maturity and
the final index level of the worst performing underlying index on the final valuation date is greater than or equal to its trigger
level, you will receive at maturity the stated principal amount of your securities plus the premium applicable to final
valuation date. However, if the securities are not automatically redeemed prior to maturity and the final index
level of the worst performing underlying index on the final valuation date is less than its trigger level, you will lose at least
30%, and possibly significantly more and up to all, of your investment in the securities.
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▪
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Your return on the securities will depend solely on the
performance of the worst performing underlying index, and you will not benefit in any way from the performance of the better performing
underlying indices.
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▪
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If we and Citigroup Inc. default on our obligations,
you may not receive any amount owed to you under the securities. All payments on the securities are subject to the credit risk
of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
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KEY TERMS
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Issuer:
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Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
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Guarantee:
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All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
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Underlying indices:
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Underlying indices
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Initial index level*
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Trigger level**
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S&P 500® Index
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3,093.08
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2,165.156
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Russell 2000® Index
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1,598.864
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1,119.205
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EURO STOXX® Banks Index
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95.37
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66.759
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* For each underlying index, its closing level on the pricing
date
** For each underlying index, 70% of its initial index
level
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Aggregate stated principal amount:
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$4,870,000
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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 8, 2019
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Issue date:
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November 14, 2019
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Maturity date:
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November 13, 2023
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Interim valuation dates:
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November 16, 2020, February 8, 2021, May 10, 2021, August 9, 2021, November 8, 2021, February 8, 2022, May 9, 2022, August 8, 2022, November 8, 2022, February 8, 2023, May 8, 2023 and August 8, 2023, each subject to postponement if such date is not a scheduled trading day or certain market disruption events occur with respect to any of the underlying indices
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Final valuation date:
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November 8, 2023, subject to postponement if such date is not a scheduled trading day or certain market disruption events occur with respect to any of the underlying indices
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Automatic early redemption:
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If, on any interim valuation date, the closing level of the worst performing underlying index is greater than or equal to its initial index level, the securities will be automatically redeemed on the third business day following that interim valuation date for an amount in cash per security equal to $10 plus the premium applicable to that interim valuation date. If the securities are automatically redeemed following any interim valuation date, they will cease to be outstanding and you will not be entitled to receive the premium applicable to any later valuation date.
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Payment at maturity:
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If the securities have not previously been redeemed, you will
receive at maturity, for each $10 stated principal amount security you then hold, an amount in cash equal to:
§
If the final index level of the worst performing
underlying index on the final valuation date is greater than or equal to its trigger level: $10 + the premium applicable
to the final valuation date
§
If the final index level of the worst performing
underlying index on the final valuation date is less than its trigger level:
$10 + ($10 × the index return of the worst performing underlying index on the final valuation date)
If the securities are not automatically redeemed prior to
maturity and the final index level of the worst performing underlying index on the final valuation date is less than its trigger
level, your payment at maturity will be less, and possibly significantly less, than $7.00 per security. You should not invest in
the securities unless you are willing and able to bear the risk of losing a significant portion or all of your investment.
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Listing:
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The securities will not be listed on any securities exchange, may have limited or no liquidity and are designed to be held to maturity
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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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$4,870,000.00
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$121,750.00
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$4,748,250.00
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(Key Terms continued on next page)
(1) On the date of this pricing supplement, the estimated value
of the securities is $9.622 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
$10.00 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 $10.00 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-6.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the securities or determined that this pricing supplement and
the accompanying product supplement, underlying supplement, prospectus supplement and prospectus are truthful or complete. Any
representation to the contrary is a criminal offense. You should read this pricing supplement together with the accompanying
product supplement, underlying supplement, prospectus supplement and prospectus, each of which can be accessed via the hyperlinks
below.
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.
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Citigroup Global Markets Holdings Inc.
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487,000 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX® Banks Index Due November 13, 2023
Principal at Risk Securities
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KEY TERMS (continued)
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Premium:
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The premium applicable to each valuation date is the amount indicated
below. The premium may represent a return that is significantly less than the appreciation of any underlying index
from the pricing date to the applicable valuation date.
Interim Valuation Dates
· November
16, 2020:
13.7500% of the stated principal
amount
· February
8, 2021:
17.1875% of the stated principal
amount
· May
10, 2021:
20.6250% of the stated principal
amount
· August
9, 2021:
24.0625% of the stated principal
amount
· November
8, 2021:
27.5000% of the stated principal
amount
· February
8, 2022:
30.9375% of the stated principal
amount
· May
9, 2022:
34.3750% of the stated principal
amount
· August
8, 2022:
37.8125% of the stated principal
amount
· November
8, 2022:
41.2500% of the stated principal
amount
· February
8, 2023:
44.6875% of the stated principal
amount
· May
8, 2023:
48.1250% of the stated principal
amount
· August
8, 2023:
51.5625% of the stated principal
amount
Final Valuation Date
· November
8, 2023:
55.0000% of the stated principal
amount
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Final index level:
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For each underlying index, its closing level on the final valuation date
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Index return:
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For each underlying index on any valuation date, (i) its closing level on such valuation date minus its initial index level, divided by (ii) its initial index level
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Worst performing underlying index:
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On any valuation date, the underlying index with the lowest index return on such valuation date
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CUSIP / ISIN:
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17327P799 / US17327P7996
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Additional Information
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 the securities are automatically redeemed or your payment at maturity.
These events and their consequences are described in the accompanying product supplement in the sections “Description of
the Securities—Consequences of a Market Disruption Event; Postponement of a Valuation Date” and “Description
of the Securities—Certain Additional Terms for Securities Linked to an Underlying Index—Discontinuance or Material
Modification of an Underlying Index,” and not in this pricing supplement. The accompanying underlying supplement contains
important disclosures regarding each underlying index that are not repeated in this pricing supplement. It is important that you
read the accompanying product supplement, underlying supplement, prospectus supplement and prospectus together with this pricing
supplement in connection with your investment in the securities. Certain terms used but not defined in this pricing supplement
are defined in the accompanying product supplement.
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Citigroup Global Markets Holdings Inc.
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487,000 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX® Banks Index Due November 13, 2023
Principal at Risk Securities
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Investment Summary
The securities do not provide for the regular payment of interest. Instead,
beginning approximately one year after issuance, the securities will be automatically redeemed if the closing level of the worst
performing underlying index on any interim valuation date is greater than or equal to its initial index level, for an amount in
cash per security equal to $10 plus a premium that will increase over the term of the securities, as described below. No
further payments will be made on the securities once they have been redeemed. At maturity, if the securities have not
previously been redeemed and the final index level of the worst performing underlying index on the final valuation date is greater
than or equal to its trigger level, investors will receive an amount in cash per security equal to $10 plus the premium applicable
to the final valuation date, as set forth below. However, if the securities are not redeemed prior to maturity and the
final index level of the worst performing underlying index on the final valuation date is less than its trigger level, investors
will be exposed to the depreciation of the worst performing underlying index from its initial index level to its final index level
on a 1-to-1 basis, and will receive a payment at maturity that is less than 70% of the stated principal amount of the securities
and could be zero. Accordingly, investors in the securities must be willing to accept the risk of losing their entire initial
investment. Investors will not participate in any appreciation of any underlying index.
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Maturity:
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Approximately 4 years
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Automatic early redemption:
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If, on any interim valuation date, the closing level of the worst performing underlying index is greater than or equal to its initial index level, the securities will be automatically redeemed on the third business day following that interim valuation date for an amount in cash per security equal to $10 plus the premium applicable to that interim valuation date. If the securities are automatically redeemed following any interim valuation date, they will cease to be outstanding and you will not be entitled to receive the premium applicable to any later valuation date.
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Premium:
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The premium applicable to each valuation date is the amount indicated
below. The premium may represent a return that is significantly less than the appreciation of any underlying index
from the pricing date to the applicable valuation date.
Interim Valuation Dates
· November
16, 2020:
13.7500% of the stated principal
amount
· February
8, 2021:
17.1875% of the stated principal
amount
· May
10, 2021:
20.6250% of the stated principal
amount
· August
9, 2021:
24.0625% of the stated principal
amount
· November
8, 2021:
27.5000% of the stated principal
amount
· February
8, 2022:
30.9375% of the stated principal
amount
· May
9, 2022:
34.3750% of the stated principal
amount
· August
8, 2022:
37.8125% of the stated principal
amount
· November
8, 2022:
41.2500% of the stated principal
amount
· February
8, 2023:
44.6875% of the stated principal
amount
· May
8, 2023:
48.1250% of the stated principal
amount
· August
8, 2023:
51.5625% of the stated principal
amount
Final Valuation Date
· November
8, 2023:
55.0000% of the stated principal
amount
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Payment at maturity:
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If the securities have not previously been redeemed, you will
receive at maturity, for each $10 stated principal amount security you then hold, an amount in cash equal to:
§
If the final index level of the worst performing underlying
index on the final valuation date is greater than or equal to its trigger level:
$10 + the premium applicable to the final valuation date
§
If the final index level of the worst performing underlying
index on the final valuation date is less than its trigger level:
$10 + ($10 × the index return of the worst performing underlying index on the final valuation date)
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Citigroup Global Markets Holdings Inc.
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487,000 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX® Banks Index Due November 13, 2023
Principal at Risk Securities
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Key Investment Rationale
The securities do not provide for the regular payment of interest. Instead,
beginning approximately one year after issuance, the securities will be automatically redeemed if the closing level of the worst
performing underlying index on any interim valuation date is greater than or equal to its initial index level.
The following scenarios are for illustrative purposes only to
demonstrate how an automatic early redemption payment or the payment at maturity (if the securities have not previously been redeemed)
are calculated, and do not attempt to demonstrate every situation that may occur. Accordingly, the securities may or
may not be redeemed prior to maturity and the payment at maturity may be less than 70% of the stated principal amount of the securities
and may be zero.
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Scenario 1: The securities are automatically redeemed prior to maturity
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Beginning approximately one year following the issuance of the securities, if the closing level of the worst performing underlying index is greater than or equal to its initial index level on any interim valuation date, the securities will be automatically redeemed for an amount in cash per security equal to $10 plus the premium applicable to that interim valuation date. Investors do not participate in any appreciation of any underlying index.
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Scenario 2: The securities are not automatically redeemed prior to maturity, and investors receive an amount in cash per security equal to $10 plus the premium applicable to the final valuation date at maturity
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This scenario assumes that the closing level of the worst performing underlying index is less than its initial index level on each interim valuation date (beginning approximately one year after issuance). Consequently, the securities are not redeemed prior to maturity. The final index level of the worst performing underlying index on the final valuation date is greater than or equal to its trigger level. At maturity, investors will receive a cash payment equal to $10 plus the applicable premium per security. Investors do not participate in any appreciation of any underlying index.
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Scenario 3: The securities are not automatically redeemed prior to maturity, and investors suffer a substantial loss of principal at maturity
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This scenario assumes that the closing level of the worst performing underlying index is less than its initial index level on each interim valuation date (beginning approximately one year after issuance). Consequently, the securities are not redeemed prior to maturity. The final index level of the worst performing underlying index on the final valuation date is less than its trigger level. At maturity, investors will lose 1% for every 1% decline in the value of the worst performing underlying index on the final valuation date from its initial index level to its final index level (e.g., a 50% depreciation in the worst performing underlying index as of the final valuation date will result in a payment at maturity of $5 per security). Under these circumstances, the payment at maturity will be significantly less than the stated principal amount and could be zero.
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Citigroup Global Markets Holdings Inc.
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487,000 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX® Banks Index Due November 13, 2023
Principal at Risk Securities
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Hypothetical Examples
The following table illustrates how the amount payable per security
will be calculated if the closing level of the worst performing underlying index is greater than or equal to its initial index
level on one of the interim valuation dates. Figures below have been rounded for ease of analysis.
Investors in the securities will not receive any dividends
on the stocks that constitute the underlying indices. The 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 indices or the stocks that constitute the underlying indices” below.
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If the first interim valuation date on which the closing level of the worst performing underlying index is greater than or equal to its initial index level is . . .
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. . . then you will receive the following payment per security upon automatic early redemption:
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November 16, 2020
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$10 + applicable premium = $10 + $1.37500 = $11.37500
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February 8, 2021
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$10 + applicable premium = $10 + $1.71875 = $11.71875
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May 10, 2021
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$10 + applicable premium = $10 + $2.06250 = $12.06250
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August 9, 2021
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$10 + applicable premium = $10 + $2.40625 = $12.40625
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November 8, 2021
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$10 + applicable premium = $10 + $2.75000 = $12.75000
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February 8, 2022
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$10 + applicable premium = $10 + $3.09375 = $13.09375
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May 9, 2022
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$10 + applicable premium = $10 + $3.43750 = $13.43750
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August 8, 2022
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$10 + applicable premium = $10 + $3.78125 = $13.78125
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November 8, 2022
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$10 + applicable premium = $10 + $4.12500 = $14.12500
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February 8, 2023
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$10 + applicable premium = $10 + $4.46875 = $14.46875
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May 8, 2023
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$10 + applicable premium = $10 + $4.81250 = $14.81250
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August 8, 2023
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$10 + applicable premium = $10 + $5.15625 = $15.15625
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Even if, on any interim valuation date, the closing levels
of two underlying indices are greater than or equal to their initial index levels, if the closing level of the other underlying
index is less than its initial index level, you will not receive the premium indicated above following that interim valuation date. In
order to receive the premium indicated above, the closing level of each underlying index must be greater than or equal to
its initial index level on the applicable interim valuation date.
The examples below illustrate how the payment at maturity will
be calculated if the securities are not automatically redeemed prior to maturity. The examples are based on (i) with reference
to the S&P 500® Index, a hypothetical initial index level of 3,100.00 and a hypothetical trigger level of 2,170.00,
(ii) with reference to the Russell 2000® Index, a hypothetical initial index level of 1,600.000 and a hypothetical
trigger level of 1,120.000 and (iii) with reference to the EURO STOXX® Banks Index, a hypothetical initial index
level of 91.00 and a hypothetical trigger level of 63.70 and the hypothetical final index levels indicated below. If
the securities are not automatically redeemed prior to maturity, your actual payment at maturity will depend on the actual final
index level of the worst performing underlying index on the final valuation date.
Example 1—Upside Scenario. The hypothetical final
index level of the S&P 500® Index is 2,480.00 (a 20% decrease from its hypothetical initial index level), the
hypothetical final index level of the Russell 2000® Index is 1,760.000 (a 10% increase from its hypothetical initial
index level) and the hypothetical final index level of the EURO STOXX® Banks Index is 86.45 (a 5% decrease from
its hypothetical initial index level). Because the index return of the S&P 500® Index on the final valuation
date is lower than the index returns of the Russell 2000® Index and the EURO STOXX® Banks Index on
the final valuation date in this example, the S&P 500® Index would be the worst performing underlying index
on the final valuation date.
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Citigroup Global Markets Holdings Inc.
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487,000 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX® Banks Index Due November 13, 2023
Principal at Risk Securities
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In this scenario, because the final index level of the worst
performing underlying index on the final valuation date is greater than its trigger level, the payment at maturity per security
would be calculated as follows:
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Payment at maturity per security
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= $10 + the premium applicable to the final valuation date
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= $10 + $5.50
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= $15.50
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In this scenario, because
the final index level of the worst performing underlying index on the final valuation date is
greater than its trigger level, you would be repaid the stated principal amount of $10 per security at maturity plus the
premium applicable to the final valuation date.
Example 2—Downside Scenario. The hypothetical
final index level of the S&P 500® Index is 3,255.00 (a 5% increase from its hypothetical initial index level),
the hypothetical final index level of the Russell 2000® Index is 2,000.000 (a 25% increase from its hypothetical
initial index level) and the hypothetical final index level of the EURO STOXX® Banks Index is 36.40 (a 60% decrease
from its hypothetical initial index level). Because the index return of the EURO STOXX® Banks Index on the final
valuation date is lower than the index returns of the S&P 500® Index and the Russell 2000® Index
on the final valuation date in this example, the EURO STOXX® Banks Index would be the worst performing underlying
index on the final valuation date.
In this scenario, because the final index level of the worst
performing underlying index on the final valuation date is less than its trigger level, the payment at maturity per security would
be calculated as follows:
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Payment at maturity per security
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= $10 + ($10 × the index return of the worst performing underlying index on the final valuation date)
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= $10 + ($10 × -60%)
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= $10 + -$6
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= $4
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In this scenario, the worst performing underlying index on the
final valuation date has depreciated by more than 30% from its initial index level to its final index level, which is less than
its trigger level. Accordingly, your payment at maturity in this scenario would reflect 1-to-1 downside exposure to
the depreciation of the worst performing underlying index from its initial index level to its final index level, and you would
incur a significant loss on your investment.
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 each of the underlying indices. Accordingly,
the securities are suitable only for investors who are capable of understanding the complexities and risks of the securities. You
should consult your own financial, tax and legal advisors as to the risks of an investment in the securities and the suitability
of the securities in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an
investment in the securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-7
in the accompanying product supplement. You should also carefully read the risk factors included in the accompanying
prospectus supplement and in the documents incorporated by reference in the accompanying prospectus, including Citigroup Inc.’s
most recent Annual Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q, which describe risks relating to the
business of Citigroup Inc. more generally.
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§
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You may lose a significant portion or all of your investment.
Unlike conventional debt securities, the securities do not guarantee repayment of the stated principal amount at maturity. If
the securities are not automatically redeemed prior to maturity, your payment at maturity will depend on the final index level
of the worst performing underlying index on the final valuation date. If the final index level of the worst performing
underlying index on the final valuation date is less than its trigger level, you will lose 1% of the stated principal amount of
the securities for every 1% by which the worst performing underlying index has declined from its initial index level, regardless
of the performance of the other underlying indices. There is no minimum payment at maturity on the securities, and you
may lose your entire investment in the securities.
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§
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The trigger feature of the securities exposes you to particular
risks. If the final index level of the worst performing underlying index on the final valuation date is less than its trigger
level, you will lose 1% of the stated principal amount of the securities for every 1% by which the worst performing underlying
index has declined from its initial index level. Although you will be repaid your stated principal amount at maturity
plus the premium applicable to the final valuation date if the worst performing underlying
index on the final valuation date depreciates by 30% or less from its initial index level, you will have full downside exposure
to the worst performing underlying index if it depreciates by more than 30%. As a result, you may lose your entire investment
in the securities.
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Citigroup Global Markets Holdings Inc.
|
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487,000 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX® Banks Index Due November 13, 2023
Principal at Risk Securities
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§
|
The securities do not pay interest. You should not
invest in the securities if you seek current income during the term of the securities.
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§
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Your potential return on the securities is limited. Your
potential return on the securities is limited to the applicable premium payable upon automatic early redemption or at maturity.
If the closing level of the worst performing underlying index on any interim valuation date is greater than or equal to its initial
index level, or if the securities are not automatically redeemed prior to maturity and the closing level of the worst performing
underlying index on the final valuation date is greater than or equal to its trigger level, you will be repaid the stated principal
amount of your securities and will receive the fixed premium applicable to that valuation date, regardless of how significantly
the closing level of the worst performing underlying index on that valuation date may exceed its initial index level. Accordingly,
the premium may result in a return on the securities that is significantly less than the return you could have achieved on a direct
investment in any or all of the underlying indices.
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|
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§
|
The securities are subject to the risks of each of the underlying
indices and will be negatively affected if any underlying index performs poorly, even if the others perform well. You
are subject to risks associated with each of the underlying indices. If any of the underlying indices performs poorly, you will
be negatively affected, even if the other underlying indices perform well. The securities are not linked to a basket composed of
the underlying indices, where the better performance of two could ameliorate the poor performance of the other. Instead, you are
subject to the full risks of whichever of the underlying indices is the worst performing underlying index.
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§
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You will not benefit in any way from the performance of the better
performing underlying indices. The return on the securities depends solely on the performance of the worst performing
underlying index, and you will not benefit in any way from the performance of the better performing underlying indices. The
securities may underperform a similar investment in each of the underlying indices or a similar alternative investment linked to
a basket composed of the underlying indices, since in either such case the performance of the better performing underlying indices
would be blended with the performance of the worst performing underlying index, resulting in a better return than the return of
the worst performing underlying index.
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The term of the securities may be as short as one year. If
the closing level of the worst performing underlying index on any interim valuation date, including the interim valuation date
expected to occur approximately one year after the pricing date, is greater than or equal to its initial index level, the securities
will be automatically redeemed. The earlier the automatic redemption, the lower the premium you will receive. Additionally,
if the securities are redeemed prior to maturity, you may not be able to reinvest at comparable terms or returns.
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You will be subject to risks relating to the relationship between
the underlying indices. It is preferable from your perspective for the underlying indices to be correlated with
each other, in the sense that they tend to increase or decrease at similar times and by similar magnitudes. By investing
in the securities, you assume the risk that the underlying indices will not exhibit this relationship. The less correlated
the underlying indices, the more likely it is that any one of the underlying indices will perform poorly over the term of the securities. All
that is necessary for the securities to perform poorly is for one of the underlying indices to perform poorly; the performance
of the underlying indices that are not the worst performing underlying index is not relevant to your return on the securities at
maturity or on an earlier automatic redemption date. It is impossible to predict what the relationship between the underlying
indices will be over the term of the securities. The S&P 500® Index represents large capitalization
stocks in the United States, the Russell 2000® Index represents small capitalization stocks in the United States
and the EURO STOXX® Banks Index represents large capitalization stocks in the bank supersector in the Eurozone.
Accordingly, the underlying indices represent markets that differ in significant ways and, therefore, may not be correlated with
each other.
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Investing in the securities is not equivalent to investing in the
underlying indices or the stocks that constitute the underlying indices. You will not have voting rights, rights to receive
any dividends or other distributions or any other rights with respect to any of the stocks that constitute the underlying indices. It
is important to understand that, for purposes of measuring the performance of the underlying indices, the levels used will not
reflect the receipt or reinvestment of dividends or distributions on the stocks that constitute the underlying indices. Dividend
or distribution yield on the stocks that constitute the underlying indices would be expected to represent a significant portion
of the overall return on a direct investment in the stocks that constitute the underlying indices, but will not be reflected in
the performance of the underlying indices as measured for purposes of the securities (except to the extent that dividends and distributions
reduce the levels of the underlying indices). Moreover, unlike a direct investment in the underlying indices, the appreciation
potential of the securities is limited, as described above.
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Your return on the securities depends on the closing levels of the
underlying indices on a limited number of days. Because your payment upon automatic early redemption, if applicable,
or at maturity depends on the closing levels of the underlying indices solely on one of the valuation dates, you are subject to
the risk that the closing levels of the underlying indices on those days may be lower, and possibly significantly lower, than on
one or more other dates during the term of the securities. If you had invested in another instrument linked to the underlying indices
that you could sell for full value at a time selected by you, or if the return on the securities was based on an average of closing
levels of the underlying indices, you might have achieved better returns.
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Citigroup Global Markets Holdings Inc.
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487,000 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX® Banks Index Due November 13, 2023
Principal at Risk Securities
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The securities are subject to the credit risk of Citigroup Global
Markets Holdings Inc. and Citigroup Inc. If we default on our obligations under the securities and Citigroup Inc.
defaults on its guarantee obligations, you may not receive any amounts 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 selling concessions and structuring fees paid in connection with the offering of the securities,
(ii) hedging and other costs incurred by us and our affiliates in connection with the offering of the securities and (iii) the
expected profit (which may be more or less than actual profit) to CGMI or other of our affiliates in connection with hedging our
obligations under the securities. These costs adversely affect the economic terms of the securities because, if they were lower,
the economic terms of the securities would be more favorable to you. The economic terms of the securities are also likely to be
adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price the securities. See
“The estimated value of the securities would be lower if it were calculated based on our secondary market rate” below.
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The estimated value of the securities was determined for us by our
affiliate using proprietary pricing models. CGMI derived the estimated value disclosed on the cover page of this
pricing supplement from its proprietary pricing models. In doing so, it may have made discretionary judgments about
the inputs to its models, such as the volatility of and correlation among the underlying indices, dividend yields on the stocks
that constitute the underlying indices and interest rates. CGMI’s views on these inputs may differ from your or others’
views, and as an underwriter in this offering, CGMI’s interests may conflict with yours. Both the models and the
inputs to the models may prove to be wrong and therefore not an accurate reflection of the value of the securities. Moreover,
the estimated value of the securities set forth on the cover page of this pricing supplement may differ from the value that we
or our affiliates may determine for the securities for other purposes, including for accounting purposes. You should
not invest in the securities because of the estimated value of the securities. Instead, you should be willing to hold
the securities to maturity irrespective of the initial estimated value.
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The estimated value of the securities would be lower if it were
calculated based on our secondary market rate. The estimated value of the securities included in this pricing supplement
is calculated based on our internal funding rate, which is the rate at which we are willing to borrow funds through the issuance
of the securities. Our internal funding rate is generally lower than our secondary market rate, which is the rate that CGMI will
use in determining the value of the securities for purposes of any purchases of the securities from you in the secondary market. If
the estimated value included in this pricing supplement were based on our secondary market rate, rather than our internal funding
rate, it would likely be lower. We determine our internal funding rate based on factors such as the costs associated
with the securities, which are generally higher than the costs associated with conventional debt securities, and our liquidity
needs and preferences. Our internal funding rate is not 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 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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Citigroup Global Markets Holdings Inc.
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487,000 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX® Banks Index Due November 13, 2023
Principal at Risk Securities
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The value of the securities prior to maturity will fluctuate based
on many unpredictable factors. The value of your securities prior to maturity will fluctuate based on the level and volatility
of the underlying indices and a number of other factors, including the price and volatility of the stocks that constitute the underlying
indices, the correlation among the underlying indices, dividend yields on the stocks that constitute the underlying indices, interest
rates generally, the volatility of the exchange rate between the U.S. dollar and the euro, the correlation between that exchange
rate and the level of the EURO STOXX® Banks Index, the time remaining to maturity and our and Citigroup Inc.’s
creditworthiness, as reflected in our secondary market rate. Changes in the levels of the underlying indices may not result in
a comparable change in the value of your securities. You should understand that the value of your securities at any
time prior to maturity may be significantly less than the issue price.
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Immediately following issuance, any secondary market bid price provided
by CGMI, and the value that will be indicated on any brokerage account statements prepared by CGMI or its affiliates, will reflect
a temporary upward adjustment. The amount of this temporary upward adjustment will steadily decline to zero over
the temporary adjustment period. See “Valuation of the Securities” in this pricing supplement.
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The Russell 2000® Index is subject to risks associated
with small capitalization stocks. The stocks that constitute the Russell 2000® Index are issued by companies
with relatively small market capitalization. The stock prices of smaller companies may be more volatile than stock prices
of large capitalization companies. These companies tend to be less well-established than large market capitalization
companies. Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive
conditions relative to larger companies. Small capitalization companies are less likely to pay dividends on their stocks,
and the presence of a dividend payment could be a factor that limits downward stock price pressure under adverse market conditions.
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The EURO STOXX® Banks Index is subject to risks associated
with non-U.S. markets. Investments linked to the value of non-U.S. stocks involve risks associated with the securities markets
in those countries, including risks of volatility in those markets, governmental intervention in those markets and cross-shareholdings
in companies in certain countries. Also, there is generally less publicly available information about companies in some of these
jurisdictions than about U.S. companies that are subject to the reporting requirements of the SEC. Further, non-U.S. companies
are generally subject to accounting, auditing and financial reporting standards and requirements and securities trading rules that
are different from those applicable to U.S. reporting companies. The prices of securities in foreign markets may be affected by
political, economic, financial and social factors in those countries, or global regions, including changes in government, economic
and fiscal policies and currency exchange laws. Moreover, the economies in such countries may differ favorably or unfavorably from
the economy of the United States in such respects as growth of gross national product, rate of inflation, capital reinvestment,
resources and self-sufficiency.
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The EURO STOXX® Banks Index is subject to concentrated
risks associated with the banking industry. All or substantially all of the equity securities included in the EURO STOXX®
Banks Index are issued by companies whose primary line of business is directly associated with the banking industry. As a result,
the value of the securities may be subject to greater volatility and be more adversely affected by a single economic, political
or regulatory occurrence affecting this industry than a different investment linked to securities of a more broadly diversified
group of issues. The performance of bank stocks may be affected by extensive governmental regulation, which may limit both the
amounts and types of loans and other financial commitments they can make, the interest rates and fees they can charge and the amount
of capital they must maintain. Profitability is largely dependent on the availability and cost of capital funds and can fluctuate
significantly when interest rates change. Credit losses resulting from financial difficulties of borrowers can negatively impact
banking companies. Banks may also be subject to severe price competition. Competition among banking companies is high and failure
to maintain or increase market share may result in lost market share. The factors could affect the banking industry and could affect
the value of the equity securities included in the EURO STOXX® Banks Index during the term of the securities, which
may adversely affect the value of your securities.
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The performance of the EURO STOXX® Banks Index will
not be adjusted for changes in the exchange rate between the euro and the U.S. dollar. The closing level of the
EURO STOXX® Banks Index is calculated in euro, the value of which may be subject to a high degree of fluctuation
relative to the U.S. dollar. However, the performance of the EURO STOXX® Banks Index and the value of
your securities will not be adjusted for exchange rate fluctuations. If the euro appreciates relative to the U.S. dollar
over the term of the securities, the performance of the EURO STOXX® Banks Index as measured for purposes of the
securities will be less than it would have been if it offered exposure to that appreciation in addition to the change in the prices
of the underlying stocks.
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Our offering of the securities does not constitute a recommendation
of any of the underlying indices. The fact that we are offering the securities does not mean that we believe that investing
in an instrument linked to the underlying indices is likely to achieve favorable returns. In fact, as we are part of a global financial
institution, our affiliates may have positions (including short positions) in the stocks that constitute the underlying indices
or in instruments related to the underlying indices or the stocks that constitute the underlying indices, and may publish research
or express opinions, that in each case are inconsistent with an investment linked to the underlying indices. These and other activities
of our affiliates may affect the levels of the underlying indices in a way that has a negative impact on your interests as a holder
of the securities.
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Citigroup Global Markets Holdings Inc.
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487,000 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX® Banks Index Due November 13, 2023
Principal at Risk Securities
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The levels of the underlying indices 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 indices or in instruments
related to the underlying indices and may adjust such positions during the term of the securities. Our affiliates also trade the
stocks that constitute the underlying indices and other financial instruments related to the underlying indices on a regular basis
(taking long or short positions or both), for their accounts, for other accounts under their management or to facilitate transactions
on behalf of customers. These activities could affect the levels of the underlying indices in a way that negatively affects the
value of the securities. They could also result in substantial returns for us or our affiliates while the value of the securities
declines.
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We and our affiliates may have economic interests that are adverse
to yours as a result of our affiliates’ business activities. Our affiliates may currently or from time to time engage
in business with the issuers of the stocks that constitute the underlying indices, 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 may acquire
non-public information about such issuers, which we will not disclose to you. Moreover, if any of our 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 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 any of the underlying indices, 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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Adjustments to the underlying indices may affect the value of your
securities. S&P Dow Jones Indices LLC, as publisher of the S&P 500® Index, FTSE Russell, as publisher
of the Russell 2000® Index, or STOXX Limited, as publisher of the EURO STOXX® Banks Index may add,
delete or substitute the stocks that constitute the underlying indices or make other methodological changes that could affect the
levels of the underlying indices. S&P Dow Jones Indices LLC, FTSE Russell or STOXX Limited may discontinue or suspend calculation
or publication of the underlying indices 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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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.
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Citigroup Global Markets Holdings Inc.
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487,000 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX® Banks Index Due November 13, 2023
Principal at Risk Securities
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Information About the S&P 500®
Index
The S&P 500® Index consists of the 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 S&P 500® Index on
November 8, 2019 was 3,093.08.
The graph below shows the closing levels of the S&P 500®
Index for each day such level was available from January 2, 2009 to November 8, 2019. We obtained the closing levels from Bloomberg
L.P., without independent verification. You should not take the historical levels of the S&P 500® Index as an
indication of future performance.
S&P 500® Index – Historical Closing Levels
January 2, 2009 to November 8, 2019
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Citigroup Global Markets Holdings Inc.
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487,000 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX® Banks Index Due November 13, 2023
Principal at Risk Securities
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Information About the Russell 2000®
Index
The Russell 2000® Index is designed to track the
performance of the small capitalization segment of the U.S. equity market. All stocks included in the Russell 2000®
Index are traded on a major U.S. exchange. It is calculated and maintained by FTSE Russell, a subsidiary of the London Stock Exchange
Group. The Russell 2000® Index is reported by Bloomberg L.P. under the ticker symbol “RTY.”
“Russell 2000® Index” is a trademark
of FTSE Russell and has been licensed for use by Citigroup Inc. and its affiliates. For more information, see “Equity
Index Descriptions—The Russell Indices—License Agreement” in the accompanying underlying supplement.
Please refer to the section “Equity Index Descriptions—The
Russell Indices—The Russell 2000® Index” in the accompanying underlying supplement for important disclosures
regarding the Russell 2000® Index.
Historical Information
The closing level of the Russell 2000® Index on
November 8, 2019 was 1,598.864.
The graph below shows the closing levels of the Russell 2000®
Index for each day such level was available from January 2, 2009 to November 8, 2019. We obtained the closing levels from Bloomberg
L.P., without independent verification. You should not take the historical levels of the Russell 2000® Index as
an indication of future performance.
Russell 2000® Index – Historical Closing Levels
January 2, 2009 to November 8, 2019
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Citigroup Global Markets Holdings Inc.
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487,000 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX® Banks Index Due November 13, 2023
Principal at Risk Securities
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Information About the EURO STOXX®
Banks Index
The EURO STOXX® Banks Index includes companies
in the banks supersector within the STOXX® Europe 600 Index, which tracks companies providing a broad range of financial
services, including retail banking, loans and money transmissions. The STOXX Europe 600® Supersector indices contain
the 600 largest stocks traded on the major exchanges of 18 European countries. The EURO STOXX® Banks Index is calculated
and maintained by STOXX Limited. The EURO STOXX® Banks Index is reported by Bloomberg L.P. under the ticker symbol
“SX7E.”
STOXX Limited (“STOXX”) and its licensors and CGMI
have entered into a non-exclusive license agreement providing for the license to CGMI and its affiliates, in exchange for a fee,
of the right to use the EURO STOXX® Banks Index, which is owned and published by STOXX, in connection with certain
financial instruments, including the securities. For more information, see “Equity Index Descriptions—The EURO STOXX®
Banks Index—License Agreement” in the accompanying underlying supplement.
Please refer to the section “Equity Index Descriptions—The
EURO STOXX® Banks Index” in the accompanying underlying supplement for important disclosures regarding the
EURO STOXX® Banks Index.
Historical Information
The closing level of the EURO STOXX® Banks Index
on November 8, 2019 was 95.37.
The graph below shows the closing levels of the EURO STOXX®
Banks Index for each day such level was available from January 2, 2009 to November 8, 2019. We obtained the closing levels from
Bloomberg L.P., without independent verification. You should not take the historical levels of the EURO STOXX® Banks
Index as an indication of future performance.
EURO STOXX® Banks Index – Historical Closing Levels
January 2, 2009 to November 8, 2019
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Citigroup Global Markets Holdings Inc.
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487,000 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX® Banks Index Due November 13, 2023
Principal at Risk Securities
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United States Federal Tax Considerations
You should read carefully the discussion under “United
States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product
supplement and “Summary Risk Factors” in this pricing supplement.
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, 2021 that do not have a “delta” of one. Based on the terms of the securities and representations
provided by us, our counsel is of the opinion that the securities should not be treated as transactions that have a “delta”
of one within the meaning of the regulations with respect to any U.S. Underlying Equity and, therefore, should not be subject to
withholding tax under Section 871(m).
A determination that the securities are not subject to Section
871(m) is not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m) is complex
and its application may depend on your particular circumstances, including your other transactions. You should consult
your tax adviser regarding the potential application of Section 871(m) to the securities.
If withholding tax applies to the securities, we will not be
required to pay any additional amounts with respect to amounts withheld.
You should read the section entitled “United States
Federal Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination
with that section, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences
of owning and disposing of the securities.
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.
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Citigroup Global Markets Holdings Inc.
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487,000 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX® Banks Index Due November 13, 2023
Principal at Risk Securities
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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 $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 levels of any of the underlying
indices and, therefore, the value of and your return on the securities. For additional information on the ways in which
our counterparties may hedge our obligations under the securities, see “Use of Proceeds and Hedging” in the accompanying
prospectus.
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.”
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
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Citigroup Global Markets Holdings Inc.
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487,000 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX® Banks Index Due November 13, 2023
Principal at Risk Securities
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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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