| SEC

424B2 Form - Prospectus [Rule 424(b)(2)] - Citigroup Global Markets Holdings Inc. (0000200245) (Filer)

424B21dp114255_424b2-us1981761.htmPRICING SUPPLEMENT

 

Citigroup Global Markets Holdings Inc.

October9, 2019

Medium-TermSenior Notes, Series N

PricingSupplement No. 2019-USNCH3039

Filed Pursuantto Rule 424(b)(2)

RegistrationStatement Nos. 333-224495 and 333-224495-03

194,000 Jump Securities with Auto-CallableFeature Based Upon the Worst Performing of the S&P 500® Index, the Nasdaq-100 Index® andthe EURO STOXX® Banks Index Due October 12, 2023

Principal atRisk Securities 

The securities offered by this pricing supplement areunsecured debt securities issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc.  Unlikeconventional debt securities, the securities do not pay interest, do not guarantee the repayment of principal at maturity andare subject to potential automatic early redemption on a quarterly basis beginning approximately one year after issuance on theterms described below. Your return on the securities will depend on the worst performing of the S&P 500®Index, the Nasdaq-100 Index® and the EURO STOXX® Banks Index (each, an “underlying index”).

The securities provide for the repayment of principalplus a premium following the first interim valuation date, beginning approximately one year after issuance, on which theclosing level of the worst performing underlying index is greater than or equal to its initial index level.  If theclosing level of the worst performing underlying index is not greater than or equal to its initial index level on any interimvaluation date, the securities will not be automatically redeemed at a premium and, instead, you will receive a payment at maturitythat may be greater than or less than the stated principal amount, depending on the final index level of the worst performingunderlying index on the final valuation date.  If the securities are not automatically redeemed prior to maturity andthe final index level of the worst performing underlying index on the final valuation date is greater than or equal to its triggerlevel, you will receive at maturity the stated principal amount of your securities plus the premium applicable to finalvaluation date.  However, if the securities are not automatically redeemed prior to maturity and the final indexlevel of the worst performing underlying index on the final valuation date is less than its trigger level, you will lose at least30%, and possibly significantly more and up to all, of your investment in the securities.

Your return on the securities will depend solely on theperformance of the worst performing underlying index, and you will not benefit in any way from the performance of the better performingunderlying indices.

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 riskof Citigroup Global Markets Holdings Inc. and Citigroup Inc.

KEY TERMS
Issuer: Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
Guarantee: All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
Underlying indices: Underlying indices Initial index level* Trigger level**
  S&P 500® Index 2,919.40 2,043.580
  Nasdaq-100 Index® 7,690.529 5,383.370
  EURO STOXX® Banks Index 83.15 58.205
 

* For each underlying index, its closing level on the pricing date

** For each underlying index, 70% of its initial indexlevel 

Aggregate stated principal amount: $1,940,000
Stated principal amount: $10 per security
Pricing date: October 9, 2019
Issue date: October 15, 2019
Maturity date: October 12, 2023
Interim valuation dates: October 16, 2020, January 11, 2021, April 9, 2021, July 9, 2021, October 11, 2021, January 10, 2022, April 11, 2022, July 11, 2022, October 10, 2022, January 9, 2023, April 11, 2023 and July 10, 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
Final valuation date: October 9, 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
Automatic early redemption: 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.
Payment at maturity:

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 performingunderlying index on the final valuation date is greater than or equal to its trigger level: $10 + the premium applicableto the final valuation date 

§

If the final index level of the worst performingunderlying 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.

Listing: The securities will not be listed on any securities exchange, may have limited or no liquidity and are designed to be held to maturity
Underwriter: Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
Underwriting fee and issue price: Issue price(1)(2) Underwriting fee Proceeds to issuer
Per security: $10.00 $0.20(2) $9.75
    $0.05(3)  
Total: $1,940,000.00 $48,500.00 $1,891,500.00

(Key Terms continued on next page)

(1) On the date of this pricing supplement, the estimated valueof the securities is $9.59908 per security, which is less than the issue price.  The estimated value of the securitiesis based on CGMI’s proprietary pricing models and our internal funding rate. It is not an indication of actual profit toCGMI or other of our affiliates, nor is it an indication of the price, if any, at which CGMI or any other person may be willingto 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 theirfinancial 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 thesecurities declines.  See “Use of Proceeds and Hedging” in the accompanying prospectus.

(3) Reflects a structuring fee payable to Morgan Stanley WealthManagement by CGMI of $0.05 for each security.

Investing in the securities involves risks not associatedwith 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 andthe accompanying product supplement, underlying supplement, prospectus supplement and prospectus is truthful or complete. Any representationto 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 andare not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligationsof, or guaranteed by, a bank.

 

 

 

Citigroup Global Markets Holdings Inc.

194,000 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index, the Nasdaq-100 Index® and the EURO STOXX® Banks Index Due October 12, 2023

Principal at Risk Securities

 

 

KEY TERMS (continued)
Premium:

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

·   October16, 2020: 

16.00% of the stated principal amount 

·   January 11, 2021:

20.00% of the stated principal amount 

·   April 9, 2021:

24.00% of the stated principal amount 

·   July 9, 2021:

28.00% of the stated principal amount 

·   October 11, 2021:

32.00% of the stated principal amount 

·   January 10, 2022:

36.00% of the stated principal amount 

·   April 11, 2022:

40.00% of the stated principal amount 

·   July 11, 2022:

44.00% of the stated principal amount 

·   October 10, 2022:

48.00% of the stated principal amount 

·   January 9, 2023:

52.00% of the stated principal amount 

·   April 11, 2023:

56.00% of the stated principal amount 

·   July 10, 2023:

60.00% of the stated principal amount

 

Final Valuation Date 

·   October 9, 2023:

64.00% of the stated principal amount 

Final index level: For each underlying index, its closing level on the final valuation date
Index return: 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
Worst performing underlying index: On any valuation date, the underlying index with the lowest index return on such valuation date
CUSIP / ISIN: 17327P740 / US17327P7400
   

Additional Information

 

The terms of the securities are set forth in the accompanyingproduct supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying productsupplement, 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 ofthe Securities—Consequences of a Market Disruption Event; Postponement of a Valuation Date” and “Descriptionof the Securities—Certain Additional Terms for Securities Linked to an Underlying Index—Discontinuance or MaterialModification of an Underlying Index,” and not in this pricing supplement. The accompanying underlying supplement containsimportant disclosures regarding each underlying index that are not repeated in this pricing supplement. It is important that youread the accompanying product supplement, underlying supplement, prospectus supplement and prospectus together with this pricingsupplement in connection with your investment in the securities. Certain terms usedbut not defined in this pricing supplement are defined in the accompanying product supplement.

 

October 2019PS-2

Citigroup Global Markets Holdings Inc.

194,000 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index, the Nasdaq-100 Index® and the EURO STOXX® Banks Index Due October 12, 2023

Principal at Risk Securities

 

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 worstperforming underlying index on any interim valuation date is greater than or equal to its initial index level, for an amount incash per security equal to $10 plus a premium that will increase over the term of the securities, as described below.  Nofurther payments will be made on the securities once they have been redeemed.  At maturity, if the securities have notpreviously been redeemed and the final index level of the worst performing underlying index on the final valuation date is greaterthan or equal to its trigger level, investors will receive an amount in cash per security equal to $10 plus the premium applicableto the final valuation date, as set forth below.  However, if the securities are not redeemed prior to maturity and thefinal index level of the worst performing underlying index on the final valuation date is less than its trigger level, investorswill be exposed to the depreciation of the worst performing underlying index from its initial index level to its final index levelon a 1-to-1 basis, and will receive a payment at maturity that is less than 70% of the stated principal amount of the securitiesand could be zero. Accordingly, investors in the securities must be willing to accept the risk of losing their entire initialinvestment.  Investors will not participate in any appreciation of any underlying index.

 

Maturity: Approximately 4 years
Automatic early redemption: 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.
Premium:

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 

·   October 16, 2020:

16.00% of the stated principal amount 

·   January 11, 2021:

20.00% of the stated principal amount 

·   April 9, 2021:

24.00% of the stated principal amount 

·   July 9, 2021:

28.00% of the stated principal amount 

·   October 11, 2021:

32.00% of the stated principal amount 

·   January 10, 2022:

36.00% of the stated principal amount 

·   April 11, 2022:

40.00% of the stated principal amount 

·   July 11, 2022:

44.00% of the stated principal amount 

·   October 10, 2022:

48.00% of the stated principal amount 

·   January 9, 2023:

52.00% of the stated principal amount 

·   April 11, 2023:

56.00% of the stated principal amount 

·   July 10, 2023:

60.00% of the stated principal amount

 

Final Valuation Date

·   October9, 2023:    

64.00% of the stated principal amount 

Payment at maturity:

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 performingunderlying 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)

October 2019PS-3

Citigroup Global Markets Holdings Inc.

194,000 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index, the Nasdaq-100 Index® and the EURO STOXX® Banks Index Due October 12, 2023

Principal at Risk Securities

 

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 worstperforming 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 todemonstrate 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 ormay not be redeemed prior to maturity and the payment at maturity may be less than 70% of the stated principal amount of the securitiesand may be zero.

 

Scenario 1: The securities are automatically redeemed prior to maturity 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.
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 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.
Scenario 3: The securities are not automatically redeemed prior to maturity, and investors suffer a substantial loss of principal at maturity 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.  

October 2019PS-4

Citigroup Global Markets Holdings Inc.

194,000 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index, the Nasdaq-100 Index® and the EURO STOXX® Banks Index Due October 12, 2023

Principal at Risk Securities

 

Hypothetical Examples

 

The following table illustrates how the amount payable per securitywill be calculated if the closing level of the worst performing underlying index is greater than or equal to its initial indexlevel on one of the interim valuation dates. Figures below have been rounded for ease of analysis.

 

Investors in the securities will not receive any dividendson the stocks that constitute the underlying indices. The examples below do not show any effect of lost dividend yield over theterm of the securities. See “Summary Risk Factors—Investing in the securities is not equivalent to investing inthe underlying indices or the stocks that constitute the underlying indices” below.

 

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 . . . . . . then you will receive the following payment per security upon automatic early redemption:
October 16, 2020 $10 + applicable premium = $10 + $1.60 = $11.60
January 11, 2021 $10 + applicable premium = $10 + $2.00 = $12.00
April 9, 2021 $10 + applicable premium = $10 + $2.40 = $12.40
July 9, 2021 $10 + applicable premium = $10 + $2.80 = $12.80
October 11, 2021 $10 + applicable premium = $10 + $3.20 = $13.20
January 10, 2022 $10 + applicable premium = $10 + $3.60 = $13.60
April 11, 2022 $10 + applicable premium = $10 + $4.00 = $14.00
July 11, 2022 $10 + applicable premium = $10 + $4.40 = $14.40
October 10, 2022 $10 + applicable premium = $10 + $4.80 = $14.80
January 9, 2023 $10 + applicable premium = $10 + $5.20 = $15.20
April 11, 2023 $10 + applicable premium = $10 + $5.60 = $15.60
July 10, 2023 $10 + applicable premium = $10 + $6.00 = $16.00

 

Even if, on any interim valuation date, the closing levelsof two underlying indices are greater than or equal to their initial index levels, if the closing level of the other underlyingindex is less than its initial index level, you will not receive the premium indicated above following that interim valuation date.  Inorder to receive the premium indicated above, the closing level of each underlying index must be greater than or equal toits initial index level on the applicable interim valuation date.

 

The examples below illustrate how the payment at maturity willbe calculated if the securities are not automatically redeemed prior to maturity. The examples are based on (i) with referenceto the S&P 500® Index, a hypothetical initial index level of 2,900.00 and a hypothetical trigger level of 2,030.00,(ii) with reference to the Nasdaq-100 Index®, a hypothetical initial index level of 7,600.000 and a hypotheticaltrigger level of 5,320.000 and (iii) with reference to the EURO STOXX® Banks Index, a hypothetical initial indexlevel of 80.00 and a hypothetical trigger level of 56.00 and the hypothetical final index levels indicated below.  Ifthe securities are not automatically redeemed prior to maturity, your actual payment at maturity will depend on the actual finalindex level of the worst performing underlying index on the final valuation date.

 

Example 1—Upside Scenario. The hypothetical finalindex level of the S&P 500® Index is 2,320.00 (a 20% decrease from its hypothetical initial index level), thehypothetical final index level of the Nasdaq-100 Index® is 6,840.000 (a 10% increase from its hypothetical initialindex level) and the hypothetical final index level of the EURO STOXX® Banks Index is 76.00 (a 5% decrease fromits hypothetical initial index level). Because the index return of the S&P 500® Index on the final valuationdate is lower than the index returns of the Nasdaq-100 Index® and the EURO STOXX® Banks Index onthe final valuation date in this example, the S&P 500® Index would be the worst performing underlying indexon the final valuation date.

 

October 2019PS-5

Citigroup Global Markets Holdings Inc.

194,000 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index, the Nasdaq-100 Index® and the EURO STOXX® Banks Index Due October 12, 2023

Principal at Risk Securities

 

In this scenario, because the final index level of the worstperforming underlying index on the final valuation date is greater than its trigger level, the payment at maturity per securitywould be calculated as follows:

 

Payment at maturity per security = $10 + the premium applicable to the final valuation date
  = $10 + $6.40
  = $16.40

 

In this scenario, becausethe final index level of the worst performing underlying index on the final valuation date isgreater than its trigger level, you would be repaid the stated principal amount of $10 per security at maturity plus thepremium applicable to the final valuation date.

 

Example 2—Downside Scenario.  The hypotheticalfinal index level of the S&P 500® Index is 3,045.00 (a 5% increase from its hypothetical initial index level),the hypothetical final index level of the Nasdaq-100 Index® is 9,500.000 (a 25% increase from its hypothetical initialindex level) and the hypothetical final index level of the EURO STOXX® Banks Index is 32.00 (a 60% decrease fromits hypothetical initial index level). Because the index return of the EURO STOXX® Banks Index on the final valuationdate is lower than the index returns of the S&P 500® Index and the Nasdaq-100 Index® on the finalvaluation date in this example, the EURO STOXX® Banks Index would be the worst performing underlying index on thefinal valuation date.  

 

In this scenario, because the final index level of the worstperforming underlying index on the final valuation date is less than its trigger level, the payment at maturity per security wouldbe calculated as follows:

 

Payment at maturity per security = $10 + ($10 × the index return of the worst performing underlying index on the final valuation date)
  = $10 + ($10 × -60%)
  = $10 + -$6
  = $4

 

In this scenario, the worst performing underlying index on thefinal valuation date has depreciated by more than 30% from its initial index level to its final index level, which is less thanits trigger level.  Accordingly, your payment at maturity in this scenario would reflect 1-to-1 downside exposure tothe depreciation of the worst performing underlying index from its initial index level to its final index level, and you wouldincur a significant loss on your investment.

 

Summary Risk Factors

 

An investment in the securities is significantly riskier thanan investment in conventional debt securities.  The securities are subject to all of the risks associated with an investmentin our conventional debt securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default onour 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.  Youshould consult your own financial, tax and legal advisors as to the risks of an investment in the securities and the suitabilityof the securities in light of your particular circumstances.

 

The following is a summary of certain key risk factors for investorsin the securities.  You should read this summary together with the more detailed description of risks relating to aninvestment in the securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-7in the accompanying product supplement.  You should also carefully read the risk factors included in the accompanyingprospectus supplement and in the documents incorporated by reference in the accompanying prospectus, including Citigroup Inc.’smost recent Annual Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q, which describe risks relating to thebusiness of Citigroup Inc. more generally. Citigroup Inc. will release quarterly earnings on October 15, 2019, which is after thepricing date but on the issue date of these securities.

 

§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.  Ifthe securities are not automatically redeemed prior to maturity, your payment at maturity will depend on the final index levelof the worst performing underlying index on the final valuation date.  If the final index level of the worst performingunderlying index on the final valuation date is less than its trigger level, you will lose 1% of the stated principal amount ofthe securities for every 1% by which the worst performing underlying index has declined from its initial index level, regardlessof the performance of the other underlying indices.  There is no minimum payment at maturity on the securities, and youmay lose your entire investment in the securities.

 

§The trigger feature of the securities exposes you to particularrisks. If the final index level of the worst performing underlying index on the final valuation date is less than its triggerlevel, you will lose 1% of the stated principal amount of the securities for every 1% by which the worst performing underlyingindex has declined from its initial index level.  Although you will be repaid your stated principal amount at maturityplus the premium applicable to the final valuation date if the worst performing underlyingindex

 

October 2019PS-6

Citigroup Global Markets Holdings Inc.

194,000 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index, the Nasdaq-100 Index® and the EURO STOXX® Banks Index Due October 12, 2023

Principal at Risk Securities

 

on the final valuation date depreciates by 30% orless from its initial index level, you will have full downside exposure to the worst performing underlying index if it depreciatesby more than 30%.  As a result, you may lose your entire investment in the securities.

 

§The securities do not pay interest.  You should notinvest in the securities if you seek current income during the term of the securities.

 

§Your potential return on the securities is limited.  Yourpotential 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 initialindex level, or if the securities are not automatically redeemed prior to maturity and the closing level of the worst performingunderlying index on the final valuation date is greater than or equal to its trigger level, you will be repaid the stated principalamount of your securities and will receive the fixed premium applicable to that valuation date, regardless of how significantlythe 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 directinvestment in any or all of the underlying indices.

 

§The securities are subject to the risks of each of the underlyingindices and will be negatively affected if any underlying index performs poorly, even if the others perform well.  Youare subject to risks associated with each of the underlying indices. If any of the underlying indices performs poorly, you willbe negatively affected, even if the other underlying indices perform well. The securities are not linked to a basket composed ofthe underlying indices, where the better performance of two could ameliorate the poor performance of the other. Instead, you aresubject to the full risks of whichever of the underlying indices is the worst performing underlying index.

 

§You will not benefit in any way from the performance of the betterperforming underlying indices.  The return on the securities depends solely on the performance of the worst performingunderlying index, and you will not benefit in any way from the performance of the better performing underlying indices.  Thesecurities may underperform a similar investment in each of the underlying indices or a similar alternative investment linked toa basket composed of the underlying indices, since in either such case the performance of the better performing underlying indiceswould be blended with the performance of the worst performing underlying index, resulting in a better return than the return ofthe worst performing underlying index.

 

§The term of the securities may be as short as one year.  Ifthe closing level of the worst performing underlying index on any interim valuation date, including the interim valuation dateexpected to occur approximately one year after the pricing date, is greater than or equal to its initial index level, the securitieswill 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.

 

§You will be subject to risks relating to the relationship betweenthe underlying indices.  It is preferable from your perspective for the underlying indices to be correlated witheach other, in the sense that they tend to increase or decrease at similar times and by similar magnitudes.  By investingin the securities, you assume the risk that the underlying indices will not exhibit this relationship.  The less correlatedthe underlying indices, the more likely it is that any one of the underlying indices will perform poorly over the term of the securities.  Allthat is necessary for the securities to perform poorly is for one of the underlying indices to perform poorly; the performanceof the underlying indices that are not the worst performing underlying index is not relevant to your return on the securities atmaturity or on an earlier automatic redemption date.  It is impossible to predict what the relationship between the underlyingindices will be over the term of the securities.  The S&P 500® Index represents large capitalizationstocks in the United States, the Nasdaq-100 Index® represents 100 of the largest non-financial companies listedon the Nasdaq Stock Market and the EURO STOXX® Banks Index represents large capitalization stocks in the bank supersectorin the Eurozone. Accordingly, the underlying indices represent markets that differ in significant ways and, therefore, may notbe correlated with each other.

 

§Investing in the securities is not equivalent to investing in theunderlying indices or the stocks that constitute the underlying indices. You will not have voting rights, rights to receiveany dividends or other distributions or any other rights with respect to any of the stocks that constitute the underlying indices.  Itis important to understand that, for purposes of measuring the performance of the underlying indices, the levels used will notreflect the receipt or reinvestment of dividends or distributions on the stocks that constitute the underlying indices.  Dividendor distribution yield on the stocks that constitute the underlying indices would be expected to represent a significant portionof the overall return on a direct investment in the stocks that constitute the underlying indices, but will not be reflected inthe performance of the underlying indices as measured for purposes of the securities (except to the extent that dividends and distributionsreduce the levels of the underlying indices).  Moreover, unlike a direct investment in the underlying indices, the appreciationpotential of the securities is limited, as described above.

 

§Your return on the securities depends on the closing levels of theunderlying 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 tothe risk that the closing levels of the underlying indices on those days may be lower, and possibly significantly lower, than onone or more other dates during the term of the securities. If you had invested in another instrument linked to the underlying indicesthat 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 closinglevels of the underlying indices, you might have achieved better returns.

 

October 2019PS-7

Citigroup Global Markets Holdings Inc.

194,000 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index, the Nasdaq-100 Index® and the EURO STOXX® Banks Index Due October 12, 2023

Principal at Risk Securities

 
§The securities are subject to the credit risk of Citigroup GlobalMarkets 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.

 

§The securities will not be listed on any securities exchange andyou 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 secondarymarket in relation to the securities and to provide an indicative bid price for the securities on a daily basis.  Anyindicative bid price for the securities provided by CGMI will be determined in CGMI’s sole discretion, taking into accountprevailing market conditions and other relevant factors, and will not be a representation by CGMI that the securities can be soldat that price, or at all.  CGMI may suspend or terminate making a market and providing indicative bid prices withoutnotice, at any time and for any reason.  If CGMI suspends or terminates making a market, there may be no secondary marketat all for the securities because it is likely that CGMI will be the only broker-dealer that is willing to buy your securitiesprior to maturity.  Accordingly, an investor must be prepared to hold the securities until maturity.

 

§The estimated value of the securities on the pricing date, basedon CGMI’s proprietary pricing models and our internal funding rate, is less than the issue price.  The differenceis attributable to certain costs associated with selling, structuring and hedging the securities that are included in the issueprice. 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) theexpected profit (which may be more or less than actual profit) to CGMI or other of our affiliates in connection with hedging ourobligations 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 beadversely 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.

 

§The estimated value of the securities was determined for us by ouraffiliate using proprietary pricing models.  CGMI derived the estimated value disclosed on the cover page of thispricing supplement from its proprietary pricing models.  In doing so, it may have made discretionary judgments aboutthe inputs to its models, such as the volatility of and correlation among the underlying indices, dividend yields on the stocksthat 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 theinputs 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 weor our affiliates may determine for the securities for other purposes, including for accounting purposes.  You shouldnot invest in the securities because of the estimated value of the securities.  Instead, you should be willing to holdthe securities to maturity irrespective of the initial estimated value.

 

§The estimated value of the securities would be lower if it werecalculated based on our secondary market rate.  The estimated value of the securities included in this pricing supplementis calculated based on our internal funding rate, which is the rate at which we are willing to borrow funds through the issuanceof the securities. Our internal funding rate is generally lower than our secondary market rate, which is the rate that CGMI willuse in determining the value of the securities for purposes of any purchases of the securities from you in the secondary market.  Ifthe estimated value included in this pricing supplement were based on our secondary market rate, rather than our internal fundingrate, it would likely be lower.  We determine our internal funding rate based on factors such as the costs associatedwith the securities, which are generally higher than the costs associated with conventional debt securities, and our liquidityneeds 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.  

 

Because there is not an active market for traded instrumentsreferencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market price of traded instrumentsreferencing 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-determinedmeasure of our creditworthiness, but rather reflects the market’s perception of our parent company’s creditworthinessas adjusted for discretionary factors such as CGMI’s preferences with respect to purchasing the securities prior to maturity.

 

§The estimated value of the securities is not an indication of theprice, if any, at which CGMI or any other person may be willing to buy the securities from you in the secondary market.  Anysuch secondary market price will fluctuate over the term of the securities based on the market and other factors described in thenext risk factor.  Moreover, unlike the estimated value included in this pricing supplement, any value of the securitiesdetermined for purposes of a secondary market transaction will be based on our secondary market rate, which will likely resultin a lower value for the securities than if our internal funding rate were used.  In addition, any secondary market pricefor the securities will be reduced by a bid-ask spread, which may vary depending on the aggregate stated principal amount of thesecurities to be purchased in the secondary market transaction, and the expected cost of unwinding related hedging transactions.  Asa result, it is likely that any secondary market price for the securities will be less than the issue price.

 

October 2019PS-8

Citigroup Global Markets Holdings Inc.

194,000 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index, the Nasdaq-100 Index® and the EURO STOXX® Banks Index Due October 12, 2023

Principal at Risk Securities

 
§The value of the securities prior to maturity will fluctuate basedon many unpredictable factors. The value of your securities prior to maturity will fluctuate based on the level and volatilityof the underlying indices and a number of other factors, including the price and volatility of the stocks that constitute the underlyingindices, the correlation among the underlying indices, dividend yields on the stocks that constitute the underlying indices, interestrates generally, the volatility of the exchange rate between the U.S. dollar and the euro, the correlation between that exchangerate and the level of the EURO STOXX® Banks Index, the time remaining to maturity and our and Citigroup Inc.’screditworthiness, as reflected in our secondary market rate. Changes in the levels of the underlying indices may not result ina comparable change in the value of your securities.  You should understand that the value of your securities at anytime prior to maturity may be significantly less than the issue price.

 

§Immediately following issuance, any secondary market bid price providedby CGMI, and the value that will be indicated on any brokerage account statements prepared by CGMI or its affiliates, will reflecta temporary upward adjustment.  The amount of this temporary upward adjustment will steadily decline to zero overthe temporary adjustment period.  See “Valuation of the Securities” in this pricing supplement.

 

§The EURO STOXX® Banks Index is subject to risks associatedwith non-U.S. markets. Investments linked to the value of non-U.S. stocks involve risks associated with the securities marketsin those countries, including risks of volatility in those markets, governmental intervention in those markets and cross-shareholdingsin companies in certain countries. Also, there is generally less publicly available information about companies in some of thesejurisdictions than about U.S. companies that are subject to the reporting requirements of the SEC. Further, non-U.S. companiesare generally subject to accounting, auditing and financial reporting standards and requirements and securities trading rules thatare different from those applicable to U.S. reporting companies. The prices of securities in foreign markets may be affected bypolitical, economic, financial and social factors in those countries, or global regions, including changes in government, economicand fiscal policies and currency exchange laws. Moreover, the economies in such countries may differ favorably or unfavorably fromthe economy of the United States in such respects as growth of gross national product, rate of inflation, capital reinvestment,resources and self-sufficiency.

 

§The EURO STOXX® Banks Index is subject to concentratedrisks 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, politicalor regulatory occurrence affecting this industry than a different investment linked to securities of a more broadly diversifiedgroup of issues. The performance of bank stocks may be affected by extensive governmental regulation, which may limit both theamounts and types of loans and other financial commitments they can make, the interest rates and fees they can charge and the amountof capital they must maintain. Profitability is largely dependent on the availability and cost of capital funds and can fluctuatesignificantly when interest rates change. Credit losses resulting from financial difficulties of borrowers can negatively impactbanking companies. Banks may also be subject to severe price competition. Competition among banking companies is high and failureto maintain or increase market share may result in lost market share. The factors could affect the banking industry and could affectthe value of the equity securities included in the EURO STOXX® Banks Index during the term of the securities, whichmay adversely affect the value of your securities.

 

§The performance of the EURO STOXX® Banks Index willnot be adjusted for changes in the exchange rate between the euro and the U.S. dollar.  The closing level of theEURO STOXX® Banks Index is calculated in euro, the value of which may be subject to a high degree of fluctuationrelative to the U.S. dollar.  However, the performance of the EURO STOXX® Banks Index and the value ofyour securities will not be adjusted for exchange rate fluctuations.  If the euro appreciates relative to the U.S. dollarover the term of the securities, the performance of the EURO STOXX® Banks Index as measured for purposes of thesecurities will be less than it would have been if it offered exposure to that appreciation in addition to the change in the pricesof the underlying stocks.

 

§Our offering of the securities does not constitute a recommendationof any of the underlying indices. The fact that we are offering the securities does not mean that we believe that investingin an instrument linked to the underlying indices is likely to achieve favorable returns. In fact, as we are part of a global financialinstitution, our affiliates may have positions (including short positions) in the stocks that constitute the underlying indicesor in instruments related to the underlying indices or the stocks that constitute the underlying indices, and may publish researchor express opinions, that in each case are inconsistent with an investment linked to the underlying indices. These and other activitiesof our affiliates may affect the levels of the underlying indices in a way that has a negative impact on your interests as a holderof the securities.

 

§The levels of the underlying indices may be adversely affected byour or our affiliates’ hedging and other trading activities. We have hedged our obligations under the securities throughCGMI or other of our affiliates, who have taken positions directly in the stocks that constitute the underlying indices or in instrumentsrelated to the underlying indices and may adjust such positions during the term of the securities. Our affiliates also trade thestocks 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 transactionson behalf of customers. These activities could affect the levels of the underlying indices in a way that negatively affects thevalue of the securities. They could also result in substantial returns for us or our affiliates while the value of the securitiesdeclines.

 

October 2019PS-9

Citigroup Global Markets Holdings Inc.

194,000 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index, the Nasdaq-100 Index® and the EURO STOXX® Banks Index Due October 12, 2023

Principal at Risk Securities

 
§We and our affiliates may have economic interests that are adverseto yours as a result of our affiliates’ business activities. Our affiliates may currently or from time to time engagein business with the issuers of the stocks that constitute the underlying indices, including extending loans to, making equityinvestments in or providing advisory services to such issuers. In the course of this business, we or our affiliates may acquirenon-public information about such issuers, which we will not disclose to you. Moreover, if any of our affiliates is or becomesa creditor of any such issuer, they may exercise any remedies against such issuer that are available to them without regard toyour interests.

 

§The calculation agent, which is an affiliate of ours, will makeimportant determinations with respect to the securities.  If certain events occur, such as market disruption eventsor the discontinuance of any of the underlying indices, CGMI, as calculation agent, will be required to make discretionary judgmentsthat could significantly affect your return on the securities.  In making these judgments, the calculation agent’sinterests as an affiliate of ours could be adverse to your interests as a holder of the securities.

 

§Adjustments to the underlying indices may affect the value of yoursecurities. S&P Dow Jones Indices LLC, as publisher of the S&P 500® Index, Nasdaq, Inc., as publisherof the Nasdaq-100 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 thelevels of the underlying indices. S&P Dow Jones Indices LLC, Nasdaq, Inc. or STOXX Limited may discontinue or suspend calculationor publication of the underlying indices at any time without regard to your interests as holders of the securities.

 

§The U.S. federal tax consequences of an investment in the securitiesare 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, significantaspects of the tax treatment of the securities are uncertain, and the IRS or a court might not agree with the treatment of thesecurities 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.

 

If you are a non-U.S. investor, you should reviewthe discussion of withholding tax issues in “United States Federal Tax Considerations—Non-U.S. Holders” below.

 

You should read carefully the discussion under “UnitedStates Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying productsupplement and “United States Federal Tax Considerations” in this pricing supplement.  You should also consultyour tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as well as tax consequences arisingunder the laws of any state, local or non-U.S. taxing jurisdiction.

 

October 2019PS-10

Citigroup Global Markets Holdings Inc.

194,000 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index, the Nasdaq-100 Index® and the EURO STOXX® Banks Index Due October 12, 2023

Principal at Risk Securities

 

Information About the S&P 500®Index

 

The S&P 500® Index consists of the commonstocks 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 BloombergL.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 beenlicensed for use by Citigroup Inc. and its affiliates. For more information, see “Equity Index Descriptions—The S&PU.S. Indices—License Agreement” in the accompanying underlying supplement.

 

Please refer to the section “Equity Index Descriptions—TheS&P U.S. Indices—The S&P 500® Index” in the accompanying underlying supplement for importantdisclosures regarding the S&P 500® Index.

 

Historical Information

 

The closing level of the S&P 500® Index onOctober 9, 2019 was 2,919.40.

 

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 October 9, 2019. We obtained the closing levels from BloombergL.P., without independent verification. You should not take the historical levels of the S&P 500® Index as anindication of future performance.

 

S&P 500® Index – Historical Closing Levels
January 2, 2009 to October 9, 2019

October 2019PS-11

Citigroup Global Markets Holdings Inc.

194,000 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index, the Nasdaq-100 Index® and the EURO STOXX® Banks Index Due October 12, 2023

Principal at Risk Securities

 

Information About the Nasdaq-100 Index®

 

The Nasdaq-100 Index® is a modified market capitalization-weightedindex of stocks of the 100 largest non-financial companies listed on the Nasdaq Stock Market. All stocks included in the Nasdaq-100Index® are traded on a major U.S. exchange. The Nasdaq-100 Index® was developed by the Nasdaq StockMarket, Inc. and is calculated, maintained and published by Nasdaq, Inc. The Nasdaq-100 Index® is reported by BloombergL.P. under the ticker symbol “NDX.”

 

“Nasdaq-100 Index®” is a trademarkof Nasdaq, Inc. and has been licensed for use by Citigroup Inc. and its affiliates. For more information, see “Equity IndexDescriptions—The NASDAQ-100 Index®—License Agreement” in the accompanying underlying supplement.

 

Please refer to the section “Equity Index Descriptions—TheNasdaq-100 Index®” in the accompanying underlying supplement for important disclosures regarding the Nasdaq-100Index®.

 

Historical Information

 

The closing level of the Nasdaq-100 Index® onOctober 9, 2019 was 7,690.529.

 

The graph below shows the closing levels of the Nasdaq-100 Index®for each day such level was available from January 2, 2009 to October 9, 2019. We obtained the closing levels from Bloomberg L.P.,without independent verification. You should not take the historical levels of the Nasdaq-100 Index® as an indicationof future performance.

 

Nasdaq-100 Index® – Historical Closing Levels
January 2, 2009 to October 9, 2019

October 2019PS-12

Citigroup Global Markets Holdings Inc.

194,000 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index, the Nasdaq-100 Index® and the EURO STOXX® Banks Index Due October 12, 2023

Principal at Risk Securities

 

Information About the EURO STOXX®Banks Index

 

The EURO STOXX® Banks Index includes companiesin the banks supersector within the STOXX® Europe 600 Index, which tracks companies providing a broad range of financialservices, including retail banking, loans and money transmissions. The STOXX Europe 600® Supersector indices containthe 600 largest stocks traded on the major exchanges of 18 European countries. The EURO STOXX® Banks Index is calculatedand 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 CGMIhave 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 certainfinancial 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—TheEURO STOXX® Banks Index” in the accompanying underlying supplement for important disclosures regarding theEURO STOXX® Banks Index.

 

Historical Information

 

The closing level of the EURO STOXX® Banks Indexon October 9, 2019 was 83.15.

 

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 October 9, 2019. We obtained the closing levels fromBloomberg L.P., without independent verification. You should not take the historical levels of the EURO STOXX® BanksIndex as an indication of future performance.

 

EURO STOXX® Banks Index – Historical Closing Levels
January 2, 2009 to October 9, 2019

October 2019PS-13

Citigroup Global Markets Holdings Inc.

194,000 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index, the Nasdaq-100 Index® and the EURO STOXX® Banks Index Due October 12, 2023

Principal at Risk Securities

 

United States Federal Tax Considerations

 

You should read carefully the discussion under “UnitedStates Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying productsupplement 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 incometax purposes.  By purchasing a security, you agree (in the absence of an administrative determination or judicial rulingto the contrary) to this treatment.  There is uncertainty regarding this treatment, and the IRS or a court might notagree with it.

 

Assuming this treatment of the securities is respected and subjectto the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the followingU.S. federal income tax consequences should result under current law:

 

·You should not recognize taxable income over the term of the securitiesprior to maturity, other than pursuant to a sale or exchange.

 

·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.  Suchgain or loss should be long-term capital gain or loss if you held the security for more than one year.

 

We do not plan to request a ruling from the IRS regarding thetreatment of the securities. An alternative characterization of the securities could materially and adversely affect the tax consequencesof 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 “prepaidforward contracts” and similar financial instruments and have indicated that such transactions may be the subject of futureregulations or other guidance. Furthermore, members of Congress have proposed legislative changes to the tax treatment of derivativecontracts. Any legislation, Treasury regulations or other guidance promulgated after consideration of these issues could materiallyand adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect. You should consultyour 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 andin “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 withholdingor income tax in respect of any amount paid to you with respect to the securities, provided that (i) income in respect of the securitiesis not effectively connected with your conduct of a trade or business in the United States, and (ii) you comply with the applicablecertification requirements.

 

As discussed under “United States Federal Tax Considerations—TaxConsequences to Non-U.S. Holders” in the accompanying product supplement, Section 871(m) of the Code and Treasury regulationspromulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax on dividend equivalents paid or deemedpaid 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 substantiallyreplicate the economic performance of one or more U.S. Underlying Equities, as determined based on tests set forth in the applicableTreasury regulations.  However, the regulations, as modified by an IRS notice, exempt financial instruments issued priorto January 1, 2021 that do not have a “delta” of one.  Based on the terms of the securities and representationsprovided 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 towithholding tax under Section 871(m).  

 

A determination that the securities are not subject to Section871(m) is not binding on the IRS, and the IRS may disagree with this treatment.  Moreover, Section 871(m) is complexand its application may depend on your particular circumstances, including your other transactions.  You should consultyour tax adviser regarding the potential application of Section 871(m) to the securities.

 

If withholding tax applies to the securities, we will not berequired to pay any additional amounts with respect to amounts withheld.

 

You should read the section entitled “United StatesFederal Tax Considerations” in the accompanying product supplement.  The preceding discussion, when read in combinationwith that section, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequencesof owning and disposing of the securities.  

 

You should also consult your tax adviser regarding all aspectsof the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising underthe laws of any state, local or non-U.S. taxing jurisdiction.

 

October 2019PS-14

Citigroup Global Markets Holdings Inc.

194,000 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index, the Nasdaq-100 Index® and the EURO STOXX® Banks Index Due October 12, 2023

Principal at Risk Securities

 

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 withCGMI, including Morgan Stanley Wealth Management, and their financial advisors collectively a fixed selling concession of $0.20for 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 concessionsdescribed 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 offeringwill conform with the requirements addressing conflicts of interest when distributing the securities of an affiliate set forthin Rule 5121 of the Financial Industry Regulatory Authority.  Client accounts over which Citigroup Inc. or its subsidiarieshave investment discretion will not be permitted to purchase the securities, either directly or indirectly, without the prior writtenconsent 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 supplementand prospectus for additional information.

 

A portion of the net proceeds from the sale of the securitieswill be used to hedge our obligations under the securities.  We have hedged our obligations under the securities throughCGMI or other of our affiliates.  CGMI or such other of our affiliates may profit from this hedging activity even ifthe value of the securities declines.  This hedging activity could affect the closing levels of any of the underlyingindices and, therefore, the value of and your return on the securities.  For additional information on the ways in whichour counterparties may hedge our obligations under the securities, see “Use of Proceeds and Hedging” in the accompanyingprospectus.

 

Valuation of the Securities

 

CGMI calculated the estimated value of the securities set forthon the cover page of this pricing supplement based on proprietary pricing models.  CGMI’s proprietary pricing modelsgenerated an estimated value for the securities by estimating the value of a hypothetical package of financial instruments thatwould replicate the payout on the securities, which consists of a fixed-income bond (the “bond component”) and oneor more derivative instruments underlying the economic terms of the securities (the “derivative component”).  CGMIcalculated the estimated value of the bond component using a discount rate based on our internal funding rate.  CGMIcalculated the estimated value of the derivative component based on a proprietary derivative-pricing model, which generated a theoreticalprice 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-observableor may be based on assumptions made by CGMI in its discretionary judgment.

 

For a period of approximately three months following issuanceof the securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that willbe indicated for the securities on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may alsopublish through one or more financial information vendors), will reflect a temporary upward adjustment from the price or valuethat would otherwise be determined.  This temporary upward adjustment represents a portion of the hedging profit expectedto be realized by CGMI or its affiliates over the term of the securities.  The amount of this temporary upward adjustmentwill decline to zero on a straight-line basis over the three-month temporary adjustment period.  However, CGMI is notobligated to buy the securities from investors at any time.  See “Summary Risk Factors—The securities willnot be listed on any securities exchange and you may not be able to sell them prior to maturity.”

 

Validityof the Securities

 

In the opinion of DavisPolk & Wardwell LLP, as special products counsel to Citigroup Global Markets Holdings Inc., when the securities offered bythis pricing supplement have been executed and issued by Citigroup Global Markets Holdings Inc. and authenticated by the trusteepursuant 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 inaccordance 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 effectof fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above. This opinionis given as of the date of this pricing supplement and is limited to the laws of the State of New York, except that such counselexpresses 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, GeneralCounsel and Secretary of Citigroup Global Markets Holdings Inc., and Barbara Politi, Assistant General Counsel—Capital Marketsof 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. onMay 17, 2018,

 

October 2019PS-15

Citigroup Global Markets Holdings Inc.

194,000 Jump Securities with Auto-Callable Feature Based Upon the Worst Performing of the S&P 500® Index, the Nasdaq-100 Index® and the EURO STOXX® Banks Index Due October 12, 2023

Principal at Risk Securities

 

that the indenture hasbeen duly authorized, executed and delivered by, and is a valid, binding and enforceable agreement of, the trustee and that noneof the terms of the securities nor the issuance and delivery of the securities and the related guarantee, nor the compliance byCitigroup 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 HoldingsInc. or Citigroup Inc., as applicable, or any restriction imposed by any court or governmental body having jurisdiction over CitigroupGlobal Markets Holdings Inc. or Citigroup Inc., as applicable.  

 

In the opinion of ScottL. Flood, Secretary and General Counsel of Citigroup Global Markets Holdings Inc., (i) the terms of the securities offered by thispricing 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 hasnot been modified or rescinded; (ii) Citigroup Global Markets Holdings Inc. is validly existing and in good standing under thelaws of the State of New York; (iii) the indenture has been duly authorized, executed and delivered by Citigroup Global MarketsHoldings Inc.; and (iv) the execution and delivery of such indenture and of the securities offered by this pricing supplement byCitigroup 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 otherinternal attorneys with whom he has consulted, has examined and is familiar with originals, or copies certified or otherwise identifiedto his satisfaction, of such corporate records of Citigroup Global Markets Holdings Inc., certificates or documents as he has deemedappropriate as a basis for the opinions expressed above. In such examination, he or such persons has assumed the legal capacityof 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 documentssubmitted to him or such persons as certified or photostatic copies and the authenticity of the originals of such copies.

 

In the opinion of BarbaraPoliti, Assistant General Counsel—Capital Markets of Citigroup Inc., (i) the Board of Directors (or a duly authorized committeethereof) of Citigroup Inc. has duly authorized the guarantee of such securities by Citigroup Inc. and such authorization has notbeen 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 ofsuch indenture, and the performance by Citigroup Inc. of its obligations thereunder, are within its corporate powers and do notcontravene its certificate of incorporation or bylaws or other constitutive documents.  This opinion is given as of thedate of this pricing supplement and is limited to the General Corporation Law of the State of Delaware.

 

Barbara Politi, or otherinternal attorneys with whom she has consulted, has examined and is familiar with originals, or copies certified or otherwise identifiedto her satisfaction, of such corporate records of Citigroup Inc., certificates or documents as she has deemed appropriate as abasis for the opinions expressed above. In such examination, she or such persons has assumed the legal capacity of all naturalpersons, the genuineness of all signatures (other than those of officers of Citigroup Inc.), the authenticity of all documentssubmitted to her or such persons as originals, the conformity to original documents of all documents submitted to her or such personsas certified or photostatic copies and the authenticity of the originals of such copies.

 

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October 2019PS-16