Citigroup Global Markets Holdings Inc.
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October
31, 2019
Medium-Term
Senior Notes, Series N
Pricing
Supplement No. 2019-USNCH3026
Filed
Pursuant to Rule 424(b)(2)
Registration
Statement Nos. 333-224495 and 333-224495-03
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122,725 Jump Securities with Auto-Callable
Feature Based Upon the Performance of the S&P 500® Index Due November 5, 2024
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 an annual basis beginning approximately one year after issuance on the terms described
below. Your return on the securities will depend on the performance of the S&P 500® Index (the “underlying
index”).
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▪
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The securities provide for the repayment of principal
plus a premium following the first valuation date, beginning approximately one year after issuance, on which the closing level
of the underlying index is greater than or equal to the initial index level. However, if the closing level of the underlying index
is not greater than or equal to the initial index level on any of the valuation dates, the securities will not be automatically
redeemed at a premium and, instead, you will receive a payment at maturity that may be greater than, equal to or less than the
stated principal amount, depending on the performance of the underlying index from the pricing date to the final valuation date.
If the securities are not automatically redeemed prior to maturity and the closing level of the underlying index on the final
valuation date is less than 90% of the initial index level, you will lose at least 10%, and possibly significantly more, of your
investment in the securities. Investors in the securities must be willing to accept the risk of losing their entire initial investment.
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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 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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$1,227,250
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Stated principal amount:
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$10 per security
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Pricing date:
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October 31, 2019
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Issue date:
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November 5, 2019
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Maturity date:
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November 5, 2024
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Valuation dates:
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November 6, 2020, November 1, 2021, October 31, 2022, October 31, 2023 and October 31, 2024 (the “final valuation date”), each subject to postponement if such date is not a scheduled trading day or certain market disruption events occur with respect to the underlying index
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Automatic early redemption:
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If, on any of the first four valuation dates, the closing level of the underlying index is greater than or equal to the initial index level, the securities will be automatically redeemed on the third business day following that valuation date for an amount in cash per security equal to $10 plus the premium applicable to that valuation date. If the securities are automatically redeemed following any of the first four valuation dates, 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
percentage indicated below. The premium may be significantly less than the appreciation of the underlying index from the pricing
date to the applicable valuation date.
· November
6, 2020: 8.05% of the stated principal amount
· November
1, 2021: 16.10% of the stated principal amount
· October
31, 2022: 24.15% of the stated principal amount
· October
31, 2023: 32.20% of the stated principal amount
· October
31, 2024: 40.25% 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 is greater than or equal to the initial index level: $10 + the premium applicable to the final valuation
date
§ If
the final index level is less than the initial index level but greater than or equal to the trigger level: $10
§ If
the final index level is less than the trigger level: $10 + ($10 × the index return)
If the securities are not automatically redeemed
prior to maturity and the closing level of the underlying index on the final valuation date is less than the trigger level, your
payment at maturity will be less, and possibly significantly less, than $9.00 per security. You should not invest in the securities
unless you are willing and able to bear the risk of losing a significant portion of your investment.
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Initial index level:
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3,037.56, the closing level of the underlying index on the pricing date
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Final index level:
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The closing level of the underlying index on the final valuation date
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Trigger level:
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2,733.804, 90% of the initial index level
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Index return:
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(i) The final index level minus the initial index level, divided by (ii) the initial index level
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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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CUSIP / ISIN:
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17327P831 / US17327P8317
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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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$0.30(2)
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$9.65
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$0.05(3)
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Total:
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$1,227,250
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$42,953.75
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$1,184,296.25
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(1) On the date of this pricing
supplement, the estimated value of the securities is $9.688 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 $0.35 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 $0.30 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-4.
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 is 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.
Product Supplement No. EA-02-08 dated February 15, 2019 Underlying Supplement No. 8 dated February 21, 2019
Prospectus Supplement and Prospectus each dated May 14, 2018
The securities are not bank deposits
and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they
obligations of, or guaranteed by, a bank.
Citigroup Global Markets Holdings Inc.
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122,725 Jump Securities with Auto-Callable Feature Based Upon the Performance of the S&P 500® Index Due November 5, 2024
Principal at Risk Securities
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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 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.
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 underlying index on any of the first four valuation dates is greater than or equal to the 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 is greater than or equal to the initial index 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. If the securities
have not previously been redeemed and the final index level is less than the initial index level but greater than or
equal to the trigger level, investors will receive the stated principal amount of $10 per security. However, if the securities
are not redeemed prior to maturity and the final index level is less than the trigger level, investors will be exposed to the depreciation
of the underlying index from the initial index level to the final index level on a 1-to-1 basis, and will receive a payment at
maturity that is less than 90% 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 the underlying index.
Maturity:
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Approximately 5 years
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Automatic early redemption:
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If, on any of the first four valuation dates, the closing level of the underlying index is greater than or equal to the initial index level, the securities will be automatically redeemed on the third business day following that valuation date for an amount in cash per security equal to $10 plus the premium applicable to that valuation date. If the securities are automatically redeemed following any of the first four valuation dates, 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
percentage indicated below. The premium may be significantly less than the appreciation of the underlying index from the pricing
date to the applicable valuation date.
· November
6, 2020: 8.05% of the stated principal amount
· November
1, 2021: 16.10% of the stated principal amount
· October
31, 2022: 24.15% of the stated principal amount
·
October 31, 2023: 32.20% of the stated principal amount
· October
31, 2024: 40.25% 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 is greater than or equal to the initial index level:
$10 + the premium applicable to the final valuation date
§ If
the final index level is less than the initial index level but greater than or equal to the trigger level: $10
§ If
the final index level is less than the trigger level:
$10 + ($10 × the index return)
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Citigroup Global Markets Holdings Inc.
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122,725 Jump Securities with Auto-Callable Feature Based Upon the Performance of the S&P 500® Index Due November 5, 2024
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 underlying index on
any of the first four annual valuation dates is greater than or equal to the 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 90% of the stated principal amount of the securities and
may be zero.
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 underlying index is greater than or equal to the initial index level on any of the first four valuation dates, the securities will be automatically redeemed for an amount in cash per security equal to $10 plus the premium applicable to that valuation date. Investors do not participate in any appreciation of the 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 underlying index is less than the initial index level on each annual valuation date prior to the final valuation date. Consequently, the securities are not redeemed prior to maturity. On the final valuation date, the final index level is greater than or equal to the initial index 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 the underlying index.
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Scenario
3: The securities are not automatically redeemed prior to maturity, and investors receive the stated principal amount at maturity
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This scenario assumes that the closing level of the underlying index is less than the initial index level on each annual valuation date prior to the final valuation date. Consequently, the securities are not redeemed prior to maturity. On the final valuation date, the final index level is less than the initial index level, but greater than or equal to the trigger level. At maturity, investors will receive a cash payment equal to the $10 stated principal amount per security.
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Scenario
4: 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 underlying index is less than the initial index level on each annual valuation date prior to the final valuation date. Consequently, the securities are not redeemed prior to maturity. On the final valuation date, the final index level is less than the trigger level. At maturity, investors will lose 1% for every 1% decline in the value of the underlying index from the initial index level to the final index level (e.g., a 50% depreciation in the underlying index 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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122,725 Jump Securities with Auto-Callable Feature Based Upon the Performance of the S&P 500® Index Due November 5, 2024
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 underlying index is greater than or equal to the initial index level on one of the
five valuation dates. Figures below have been rounded for ease of analysis.
Investors in the securities will not receive any dividends
that may be paid on the stocks that constitute the underlying index. 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 index or the stocks that constitute the underlying index” below.
If the first valuation date on which the closing level of the underlying index is greater than or equal to the initial index level is . . .
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. . . then you will receive the following payment per security upon automatic early redemption or at maturity, as applicable:
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November 6, 2020
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$10 + applicable premium = $10 + $0.805 = $10.805
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November 1, 2021
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$10 + applicable premium = $10 + $1.610 = $11.610
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October 31, 2022
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$10 + applicable premium = $10 + $2.415 = $12.415
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October 31, 2023
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$10 + applicable premium = $10 + $3.220 = $13.220
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October 31, 2024
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$10 + applicable premium = $10 + $4.025 = $14.025
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In order to receive the premium indicated above, the closing
level of the underlying index must be greater than or equal to the initial index level on the applicable valuation date.
The examples below illustrate how the payment at maturity will
be calculated if the closing level of the underlying index is not greater than or equal to the initial index level
on any of the valuation dates. The examples are based on a hypothetical initial index level of 3,000.00 and a hypothetical trigger
level of 2,700.00 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.
Example 1—Par Scenario. The hypothetical final index
level is 2,850.00 (a 5% decrease from the hypothetical initial index level).
In this scenario, because the final index level is less than
the initial index level but greater than the trigger level, you would be repaid the stated principal amount of $10 per security
at maturity but would not receive any premium.
Example 2—Downside Scenario. The hypothetical final
index level is 1,200.00 (a 60% decrease from the hypothetical initial index level).
In this scenario, because the final index level is less than
the trigger level, the payment at maturity per security would be calculated as follows:
Payment at maturity per security = $10 + ($10 ×
the index return)
= $10
+ ($10 × -60%)
= $10
+ -$6
= $4
In this scenario, the underlying index has depreciated by more
than 10% from the initial index level to the final index level, which is less than the trigger level. Accordingly, your payment
at maturity in this scenario would reflect 1-to-1 downside exposure to the depreciation of the underlying index from the initial
index level to the 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 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 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
Citigroup Global Markets Holdings Inc.
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122,725 Jump Securities with Auto-Callable Feature Based Upon the Performance of the S&P 500® Index Due November 5, 2024
Principal at Risk Securities
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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 performance of the underlying index. If the closing level of the underlying index on
the final valuation date is less than the trigger level, you will lose 1% of the stated principal amount of the securities for
every 1% by which the underlying index has declined from the initial index level. 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 closing level of the underlying index
on the final valuation date is less than the trigger level, you will lose 1% of the stated principal amount of the securities for
every 1% by which the underlying index has declined from the initial index level. Although you will be repaid your stated principal
amount at maturity if the underlying index depreciates by 10% or less from the initial index level, you will have full downside
exposure to the underlying index if it depreciates by more than 10%. As a result, you may lose your entire investment in the securities.
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§
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The securities do not pay interest. You should not invest in the securities if you seek current income during the term
of the securities.
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§
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Your potential return on the securities in connection with an early redemption is limited. If the securities are automatically
redeemed, your potential return on the securities is limited to the applicable premium payable upon automatic early redemption,
as described on the cover page of this pricing supplement. If the closing level of the underlying index is greater than or equal
to the initial index level on one of the valuation dates, 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 underlying
index on that valuation date may exceed the 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 the underlying index. In addition,
the premium you receive upon any early redemption of the securities may be significantly less than the return you could have achieved
if the securities had not been automatically redeemed and you had been able to receive the payment at maturity.
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§
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The term of the securities may be as short as one year. If the closing level of the underlying index on any of the first
four valuation dates, including the valuation date expected to occur approximately one year after the pricing date, is greater
than or equal to the initial index level, the securities will be automatically redeemed. The earlier the automatic redemption,
the lower the premium you will receive.
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§
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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 any dividends or other distributions or any other rights with respect
to any of the stocks that constitute the underlying index. It is important to understand that, for purposes of measuring the performance
of the underlying index, the level used will not reflect the receipt or reinvestment of dividends or distributions on the stocks
that constitute the underlying index. Dividend or distribution yield on the stocks that constitute the underlying index would be
expected to represent a significant portion of the overall return on a direct investment in the stocks that constitute the underlying
index, but will not be reflected in the performance of the underlying index as measured for purposes of the securities (except
to the extent that dividends and distributions reduce the level of the underlying index). Moreover, unlike a direct investment
in the underlying index, the appreciation potential of the securities is limited, as described above.
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§
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Your return on the securities depends on the closing level of the underlying index on only five days. Because your
payment upon automatic early redemption, if applicable, or at maturity depends on the closing level of the underlying index solely
on one of the five valuation dates, you are subject to the risk that the closing level of the underlying index 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 index 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 index, you might have achieved better returns.
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§
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The securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. If we default
on our obligations under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive any amounts
owed to you under the securities.
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§
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The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity. The
securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities.
CGMI currently intends to make a secondary market in relation to the securities and to provide an indicative bid price for the
securities on a daily basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole
discretion, taking into account prevailing market conditions and other relevant factors, and will not be a representation by CGMI
that the securities can be sold at that price, or at all. CGMI may suspend or terminate making a market and providing indicative
bid prices without notice, at any time and for any reason. If CGMI suspends or terminates making a market, there may be no
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Citigroup Global Markets Holdings Inc.
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122,725 Jump Securities with Auto-Callable Feature Based Upon the Performance of the S&P 500® Index Due November 5, 2024
Principal at Risk Securities
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secondary
market at all for the securities because it is likely that CGMI will be the only broker-dealer that is willing to buy your securities
prior to maturity. Accordingly, an investor must be prepared to hold the securities until maturity.
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§
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The estimated value of the securities on the pricing date, based on CGMI’s proprietary pricing models and our internal
funding rate, is less than the issue price. The difference is attributable to certain costs associated with selling, structuring
and hedging the securities that are included in the issue price. These costs include (i) the selling concessions and structuring
fees paid in connection with the offering of the securities, (ii) hedging and other costs incurred by us and our affiliates in
connection with the offering of the securities and (iii) the expected profit (which may be more or less than actual profit) to
CGMI or other of our affiliates in connection with hedging our obligations under the securities. These costs adversely affect the
economic terms of the securities because, if they were lower, the economic terms of the securities would be more favorable to you.
The economic terms of the securities are also likely to be adversely affected by the use of our internal funding rate, rather than
our secondary market rate, to price the securities. See “The estimated value of the securities would be lower if it were
calculated based on our secondary market rate” below.
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§
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The estimated value of the securities was determined for us by our affiliate using proprietary pricing models. CGMI
derived the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing
so, it may have made discretionary judgments about the inputs to its models, such as the volatility of the underlying 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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§
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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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§
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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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§
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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, 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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§
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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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Citigroup Global Markets Holdings Inc.
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122,725 Jump Securities with Auto-Callable Feature Based Upon the Performance of the S&P 500® Index Due November 5, 2024
Principal at Risk Securities
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Our offering of the securities does not constitute a recommendation of the underlying index. The fact that we are offering
the securities does not mean that we believe that investing in an instrument linked to the underlying index 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 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 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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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 or in instruments related to the underlying index or such stocks and may adjust
such positions during the term of the securities. Our 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 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 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 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 the underlying index, 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 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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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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122,725 Jump Securities with Auto-Callable Feature Based Upon the Performance of the S&P 500® Index Due November 5, 2024
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 October 31, 2019 was 3,037.56.
The graph below shows the closing level of the underlying index
for each day such level was available from January 2, 2009 to October 31, 2019. 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 2, 2009 to October 31, 2019
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Citigroup Global Markets Holdings Inc.
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122,725 Jump Securities with Auto-Callable Feature Based Upon the Performance of the S&P 500® Index Due November 5, 2024
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.
Citigroup Global Markets Holdings Inc.
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122,725 Jump Securities with Auto-Callable Feature Based Upon the Performance of the S&P 500® Index Due November 5, 2024
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 $0.35 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 $0.30 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 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.
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 four 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 four-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
trustee and that none of the terms of the securities nor the issuance and delivery of the securities and the related guarantee,
nor the
Citigroup Global Markets Holdings Inc.
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122,725 Jump Securities with Auto-Callable Feature Based Upon the Performance of the S&P 500® Index Due November 5, 2024
Principal at Risk Securities
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compliance by Citigroup Global Markets Holdings Inc. and Citigroup Inc. with the terms of the securities and the related
guarantee respectively, will result in a violation of any provision of any instrument or agreement then binding upon Citigroup
Global Markets Holdings Inc. or Citigroup Inc., as applicable, or any restriction imposed by any court or governmental body having
jurisdiction over Citigroup Global Markets Holdings Inc. or Citigroup Inc., as applicable.
In the opinion of Scott
L. Flood, Secretary and General Counsel of Citigroup Global Markets Holdings Inc., (i) the terms of the securities offered by this
pricing supplement have been duly established under the indenture and the Board of Directors (or a duly authorized committee thereof)
of Citigroup Global Markets Holdings Inc. has duly authorized the issuance and sale of such securities and such authorization has
not been modified or rescinded; (ii) Citigroup Global Markets Holdings Inc. is validly existing and in good standing under the
laws of the State of New York; (iii) the indenture has been duly authorized, executed and delivered by Citigroup Global Markets
Holdings Inc.; and (iv) the execution and delivery of such indenture and of the securities offered by this pricing supplement by
Citigroup Global Markets Holdings Inc., and the performance by Citigroup Global Markets Holdings Inc. of its obligations thereunder,
are within its corporate powers and do not contravene its certificate of incorporation or bylaws or other constitutive documents.
This opinion is given as of the date of this pricing supplement and is limited to the laws of the State of New York.
Scott L. Flood, or other
internal attorneys with whom he has consulted, has examined and is familiar with originals, or copies certified or otherwise identified
to his satisfaction, of such corporate records of Citigroup Global Markets Holdings Inc., certificates or documents as he has deemed
appropriate as a basis for the opinions expressed above. In such examination, he or such persons has assumed the legal capacity
of all natural persons, the genuineness of all signatures (other than those of officers of Citigroup Global Markets Holdings Inc.),
the authenticity of all documents submitted to him or such persons as originals, the conformity to original documents of all documents
submitted to him or such persons as certified or photostatic copies and the authenticity of the originals of such copies.
In the opinion of Barbara
Politi, Assistant General Counsel—Capital Markets of Citigroup Inc., (i) the Board of Directors (or a duly authorized committee
thereof) of Citigroup Inc. has duly authorized the guarantee of such securities by Citigroup Inc. and such authorization has not
been modified or rescinded; (ii) Citigroup Inc. is validly existing and in good standing under the laws of the State of Delaware;
(iii) the indenture has been duly authorized, executed and delivered by Citigroup Inc.; and (iv) the execution and delivery of
such indenture, and the performance by Citigroup Inc. of its obligations thereunder, are within its corporate powers and do not
contravene its certificate of incorporation or bylaws or other constitutive documents. This opinion is given as of the date of
this pricing supplement and is limited to the General Corporation Law of the State of Delaware.
Barbara Politi, or other
internal attorneys with whom she has consulted, has examined and is familiar with originals, or copies certified or otherwise identified
to her satisfaction, of such corporate records of Citigroup Inc., certificates or documents as she has deemed appropriate as a
basis for the opinions expressed above. In such examination, she or such persons has assumed the legal capacity of all natural
persons, the genuineness of all signatures (other than those of officers of Citigroup Inc.), the authenticity of all documents
submitted to her or such persons as originals, the conformity to original documents of all documents submitted to her or such persons
as certified or photostatic copies and the authenticity of the originals of such copies.
© 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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