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Citigroup Global Markets Holdings Inc.
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June 5, 2020
Medium-Term Senior
Notes, Series N
Pricing Supplement
No. 2020-USNCH4575
Filed Pursuant to
Rule 424(b)(2)
Registration Statement
Nos. 333-224495 and 333-224495-03
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Capped Return Enhanced Notes Based on Shares
of the VanEck Vectors® Oil Services ETF Due June 10, 2025
Overview
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The securities offered by this pricing supplement are
unsecured senior debt securities issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. Unlike conventional
debt securities, the securities do not pay interest and do not repay a fixed amount of principal at maturity. Instead, the securities
offer a payment at maturity that may be greater than, equal to or less than the stated principal amount, depending on the performance
of the shares of the VanEck Vectors® Oil Services ETF (the “underlying shares”) from the initial share
price to the final share price.
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The securities offer exposure to a limited range of potential
appreciation of the underlying shares at the upside participation rate specified below. In exchange for this feature, investors
in the securities must be willing to forgo (i) any appreciation of the underlying shares in excess of the maximum return at maturity
specified below and (ii) any dividends that may be paid on the underlying shares. In addition, investors in the securities must
be willing to accept full downside exposure to any depreciation of the underlying shares. If the underlying shares depreciate
from the initial share price to the final share price, you will lose 1% of the stated principal amount of your securities for
every 1% of that depreciation. You may lose a significant portion, and up to all, of your investment.
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In order to obtain the modified exposure to the underlying
shares that the securities provide, investors must be willing to accept (i) an investment that may have limited or no liquidity
and (ii) the risk of not receiving any amount due under the securities if we and Citigroup Inc. default on our obligations. All
payments on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
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KEY TERMS
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Issuer:
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Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
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Guarantee:
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All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
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Underlying shares:
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Shares of the VanEck Vectors® Oil Services ETF (NYSE Arca symbol: “OIH”) (the “underlying share issuer” or “ETF”)
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Aggregate stated principal amount:
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$10,000,000
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Stated principal amount:
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$1,000 per security
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Strike date:
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June 4, 2020
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Pricing date:
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June 5, 2020
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Issue date:
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June 10, 2020. See “Supplemental Plan of Distribution” in this pricing supplement for additional information.
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Final valuation dates:
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May 30, 2025, June 2, 2025, June 3, 2025, June 4, 2025 and June 5, 2025, each subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur
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Maturity date:
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June 10, 2025, subject to postponement as described under “Additional Information” below
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Payment at maturity:
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For each $1,000 stated principal amount security you hold at maturity,
you will receive the following amount in U.S. dollars:
§ If
the final share price is greater than the initial share price:
$1,000 + the return amount, subject to the maximum
return amount
§ If
the final share price is less than or equal to the initial share price:
$1,000 + ($1,000 × the share return)
If the closing price of the underlying shares decreases from
the initial share price to the final share price, your payment at maturity will be less, and possibly significantly less, than
the $1,000 stated principal amount per security. You should not invest in the securities unless you are willing and able to bear
the risk of losing a significant portion, and up to all, of your investment.
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Initial share price:
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$136.71, the closing price of the underlying shares on the strike date
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Final share price:
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The arithmetic average of the closing price of the underlying shares on each of the final valuation dates
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Return amount:
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$1,000 × the share return × the upside participation rate
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Upside participation rate:
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500.00%
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Maximum return at maturity:
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$1,425.00 per security (142.50% of the stated principal amount). The payment at maturity per security will not exceed the stated principal amount plus the maximum return at maturity.
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Share return:
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(i) The final share price minus the initial share price, divided by (ii) the initial share price
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Listing:
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The securities will not be listed on any securities exchange
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CUSIP / ISIN:
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17328VLY4 / US17328VLY47
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Underwriter:
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Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
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Underwriting fee and issue price:
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Issue price(1)(2)
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Underwriting fee(3)
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Proceeds to issuer(3)
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Per security:
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$1,000.00
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$6.50
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$993.50
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Total:
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$10,000,000.00
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$65,000.00
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$9,935,000.00
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(1) On the date of this pricing supplement, the estimated value
of the securities is $1,093.40 per security. The estimated value of the securities is based on CGMI’s proprietary pricing
models and our internal funding rate. It is not an indication of actual profit to CGMI or other of our affiliates, nor is it an
indication of the price, if any, at which CGMI or any other person may be willing to buy the securities from you at any time after
issuance. See “Valuation of the Securities” in this pricing supplement.
(2) The issue price for investors purchasing the securities in
fiduciary accounts is $993.50 per security.
(3) CGMI will receive an underwriting fee of $6.50 for each security
sold in this offering. J.P. Morgan Securities LLC and JPMorgan Chase Bank, N.A. will act as placement agents for the securities
and, from the underwriting fee to CGMI, will receive a placement fee of $6.50 for each security they sell in this offering to accounts
other than fiduciary accounts. CGMI and the placement agents will forgo an underwriting fee and placement fee for sales to fiduciary
accounts. The total underwriting fee and proceeds to issuer in the table above give effect to the actual total underwriting fee.
For more information on the distribution of the securities, see “Supplemental Plan of Distribution” in this pricing
supplement. In addition to the underwriting fee, CGMI and its affiliates may profit from hedging activity related to this offering,
even if the value of the securities declines. See “Use of Proceeds and Hedging” in the accompanying prospectus.
Investing in the securities involves risks not associated
with an investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-5.
Neither the Securities and Exchange Commission
nor any state securities commission has approved or disapproved of the securities or determined that this pricing supplement and
the accompanying product supplement, underlying supplement, prospectus supplement and prospectus are truthful or complete. Any
representation to the contrary is a criminal offense.
You should read this pricing supplement
together with the accompanying product supplement, underlying supplement, prospectus supplement and prospectus, 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.
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Citigroup Global Markets Holdings Inc.
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Capped Return Enhanced Notes Based on Shares of the VanEck Vectors® Oil Services ETF Due June 10, 2025
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Additional Information
General. The terms of the securities are set forth in
the accompanying product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying
product supplement, prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing supplement.
For example, certain events may occur that could affect your payment at maturity. These events and their consequences are described
in the accompanying product supplement in the sections “Description of the Securities—Consequences of a Market Disruption
Event; Postponement of a Valuation Date,” “—Certain Additional Terms for Securities Linked to an Underlying Company
or an Underlying ETF—Dilution and Reorganization Adjustments” and “—Delisting, Liquidation or Termination
of an Underlying ETF,” and not in this pricing supplement (except as set forth in the next paragraph). The accompanying underlying
supplement contains important disclosures regarding the underlying shares that are not repeated in this pricing supplement. It
is important that you read the accompanying product supplement, underlying supplement, prospectus supplement and prospectus together
with this pricing supplement in connection with your investment in the securities. Certain terms used but not defined in this pricing
supplement are defined in the accompanying product supplement.
Postponement of a Final Valuation Date; Postponement of the
Maturity Date. If any scheduled final valuation date is not a scheduled trading day, that final valuation date will be postponed
to the next succeeding scheduled trading day. In addition, if a market disruption event occurs on any scheduled final valuation
date, the calculation agent may, but is not required to, postpone that final valuation date to the next succeeding scheduled trading
day on which a market disruption event does not occur. If any final valuation date is postponed so that it coincides with a subsequent
scheduled final valuation date, each such subsequent final valuation date will be postponed to the next succeeding scheduled trading
day (subject to further postponement as provided above if a market disruption event occurs on such succeeding scheduled trading
day). However, in no event will any scheduled final valuation date be postponed more than five scheduled trading days after that
originally scheduled final valuation date as a result of a market disruption event occurring on that scheduled final valuation
date or on an earlier scheduled final valuation date (in each case, as any such scheduled final valuation date may be postponed).
If the last final valuation date is postponed so that it falls less than three business days prior to the scheduled maturity date,
the maturity date will be postponed to the third business day after the last final valuation date as postponed. The provisions
in this paragraph supersede the related provisions in the accompanying product supplement to the extent the provisions in this
paragraph are inconsistent with those provisions. The terms “scheduled trading day” and “market disruption event”
are defined in the accompanying product supplement.
Prospectus. The first sentence of “Description of
Debt Securities— Events of Default and Defaults” in the accompanying prospectus shall be amended to read in its entirety
as follows:
Events of default under the indenture are:
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failure of Citigroup Global Markets Holdings or Citigroup to pay required interest on any debt security of such series for 30 days;
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failure of Citigroup Global Markets Holdings or Citigroup to pay principal, other than a scheduled installment payment to a sinking fund, on any debt security of such series for 30 days;
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failure of Citigroup Global Markets Holdings or Citigroup to make any required scheduled installment payment to a sinking fund for 30 days on debt securities of such series;
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failure of Citigroup Global Markets Holdings to perform for 90 days after notice any other covenant in the indenture applicable to it other than a covenant included in the indenture solely for the benefit of a series of debt securities other than such series; and
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certain events of bankruptcy or insolvency of Citigroup Global Markets Holdings, whether voluntary or not (Section 6.01).
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Citigroup Global Markets Holdings Inc.
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Capped Return Enhanced Notes Based on Shares of the VanEck Vectors® Oil Services ETF Due June 10, 2025
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Hypothetical Examples
The diagram below illustrates your payment at maturity for a
range of hypothetical share returns.
Investors in the securities will not receive any dividends
that may be paid on the underlying shares. The diagram and examples below do not show any effect of lost dividend yield over the
term of the securities. See “Summary Risk Factors—You will have no rights and will not receive dividends with respect
to the underlying shares” below.
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Capped Return Enhanced
Notes
Payment at Maturity Diagram
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n The Securities
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n The Underlying Shares
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The table and examples below illustrate various hypothetical
payments at maturity assuming a hypothetical initial share price of $100.00 and various hypothetical final share prices. Your actual
payment at maturity per security will depend on the actual initial share price and the actual final share price and may differ
substantially from the examples shown. It is impossible to predict whether you will realize a gain or loss on your investment in
the securities. Figures in the table and examples below have been rounded for ease of analysis. The table and examples below are
intended to illustrate how your payment at maturity will depend on whether the final share price is greater than or less than the
initial share price and by how much.
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Hypothetical Final Share Price
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Hypothetical Share Return
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Hypothetical Payment at Maturity per Security
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Hypothetical Total Return on Securities at Maturity(1)
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$200.00
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100.00%
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$2,425.00
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142.50%
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$190.00
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90.00%
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$2,425.00
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142.50%
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$180.00
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80.00%
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$2,425.00
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142.50%
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$170.00
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70.00%
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$2,425.00
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142.50%
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$160.00
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60.00%
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$2,425.00
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142.50%
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$150.00
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50.00%
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$2,425.00
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142.50%
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$140.00
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40.00%
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$2,425.00
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142.50%
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$130.00
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30.00%
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$2,425.00
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142.50%
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$128.50
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28.50%
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$2,425.00
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142.50%
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$120.00
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20.00%
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$2,000.00
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100.00%
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$110.00
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10.00%
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$1,500.00
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50.00%
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$105.00
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5.00%
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$1,250.00
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25.00%
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$100.00
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0.00%
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$1,000.00
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0.00%
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$95.00
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-5.00%
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$950.00
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-5.00%
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$90.00
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-10.00%
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$900.00
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-10.00%
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Citigroup Global Markets Holdings Inc.
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Capped Return Enhanced Notes Based on Shares of the VanEck Vectors® Oil Services ETF Due June 10, 2025
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$80.00
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-20.00%
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$800.00
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-20.00%
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$70.00
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-30.00%
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$700.00
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-30.00%
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$60.00
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-40.00%
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$600.00
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-40.00%
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$50.00
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-50.00%
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$500.00
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-50.00%
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$40.00
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-60.00%
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$400.00
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-60.00%
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$30.00
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-70.00%
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$300.00
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-70.00%
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$20.00
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-80.00%
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$200.00
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-80.00%
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$10.00
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-90.00%
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$100.00
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-90.00%
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$0.00
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-100.00%
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$0.00
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-100.00%
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(1) Hypothetical total return on securities at maturity
= (i) hypothetical payment at maturity per security minus $1,000 stated principal amount per security, divided by
(ii) $1,000 stated principal amount per security
Example 1—Upside Scenario A. The hypothetical final
share price is $105.00 (an approximately 5.00% increase from the hypothetical initial share price), which is greater than
the hypothetical initial share price.
Payment at maturity per security = $1,000 + the return amount,
subject to the maximum return at maturity of $1,425.00
= $1,000 + ($1,000 × the share return × the upside
participation rate), subject to the maximum return at maturity of $1,425.00
= $1,000 + ($1,000 × 5.00% × 500.00%), subject to
the maximum return at maturity of $1,425.00
= $1,000 + $250.00, subject to the maximum return at maturity
of $1,425.00
= $1,250.00
In this scenario, the underlying shares have appreciated from
the hypothetical initial share price to the hypothetical final share price, and your total return at maturity would equal the share
return multiplied by the upside participation rate.
Example 2—Upside Scenario B. The hypothetical final
share price is $160.00 (an approximately 60.00% increase from the hypothetical initial share price), which is greater than
the hypothetical initial share price.
Payment at maturity per security = $1,000 + the return amount,
subject to the maximum return at maturity of $1,425.00
= $1,000 + ($1,000 × the share return × the upside
participation rate), subject to the maximum return at maturity of $1,425.00
= $1,000 + ($1,000 × 60.00% × 500.00%), subject to
the maximum return at maturity of $1,425.00
= $1,000 + $3,000.00, subject to the maximum return at maturity
of $1,425.00
= $2,425.00
In this scenario, the underlying shares have appreciated from
the hypothetical initial share price to the hypothetical final share price, but the share return multiplied by the upside
participation rate would exceed the maximum return at maturity. As a result, your total return at maturity in this scenario would
be limited to the maximum return at maturity, and an investment in the securities would underperform a hypothetical alternative
investment providing 1-to-1 exposure to the appreciation of the underlying shares without a maximum return.
Example 3—Downside Scenario. The hypothetical final
share price is $30.00 (an approximately 70.00% decrease from the hypothetical initial share price), which is less than the
hypothetical initial share price.
Payment at maturity per security = $1,000 + ($1,000 × the
share return)
= $1,000 + ($1,000 × -70.00%)
= $1,000 + -$700.00
= $300.00
In this scenario, the underlying shares have depreciated from
the hypothetical initial share price to the hypothetical final share price. As a result, your total return at maturity in this
scenario would be negative and would reflect 1-to-1 exposure to the negative performance of the underlying shares.
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Citigroup Global Markets Holdings Inc.
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Capped Return Enhanced Notes Based on Shares of the VanEck Vectors® Oil Services ETF Due June 10, 2025
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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 shares. Accordingly, the securities
are suitable only for investors who are capable of understanding the complexities and risks of the securities. You should consult
your own financial, tax and legal advisors as to the risks of an investment in the securities and the suitability of the securities
in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment
in the securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-7 in the
accompanying product supplement. You should also carefully read the risk factors included in the accompanying prospectus supplement
and in the documents incorporated by reference in the accompanying prospectus, including Citigroup Inc.’s most recent Annual
Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup
Inc. more generally.
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You may lose some or all of your investment. Unlike conventional debt securities, the securities do not repay a fixed
amount of principal at maturity. Instead, your payment at maturity will depend on the performance of the underlying shares. If
the underlying shares depreciate from the initial share price to the final share price, you will lose 1% of the stated principal
amount of your securities for every 1% of that depreciation. There is no minimum payment at maturity on the securities, and you
may lose up to all of your investment.
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Your potential return on the securities is limited. Your potential total return on the securities at maturity is limited
to the maximum return at maturity of 142.50%, which is equivalent to a maximum return at maturity of $1,425.00 per security. Taking
into account the upside participation rate, any increase in the final share price over the initial share price by more than 28.50%
will not increase your return on the securities.
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The initial share price, which was set on the strike date, may be higher than the closing price of the underlying shares
on the pricing date. If the closing price of the underlying shares on the pricing date is less than the initial share price
that was set on the strike date, the terms of the securities may be less favorable to you than the terms of an alternative investment
that may be available to you that offers a similar payout as the securities but with the initial share price set on the pricing
date.
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The securities do not pay interest. Unlike conventional debt securities, the securities do not pay interest or any other
amounts prior to maturity. You should not invest in the securities if you seek current income during the term of the securities.
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§
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You will have no rights and will not receive dividends with respect to the underlying shares. As a holder of the securities,
you will not have any ownership interest or rights in the underlying shares, such as voting rights or dividend payments. The payment
scenarios described in this pricing supplement do not show any effect of lost dividend yield over the term of the securities. Additionally,
if any change to the underlying shares is proposed, such as an amendment to the underlying share issuer’s organizational
documents, you will not have the right to vote on such change. Any such change may adversely affect the market price of the underlying
shares.
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The payment at maturity on the securities is based on the arithmetic average of the closing price of the underlying shares
on the five final valuation dates. As a result, you are subject to the risk that the closing price of the underlying shares
on those five final valuation dates will result in a less favorable return than you would have received had the final share price
been based on the closing price on other days during the term of the securities. If you had invested in another instrument linked
to the underlying shares that you could sell for full value at a time selected by you, you might have achieved better returns.
In addition, because the final share price is based on the average over the five final valuation dates, your return on the securities
may be less favorable than it would have been if it were based on the closing price of the underlying shares on only one of those
five final valuation dates.
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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 anything
owed to you under the securities.
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The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity.
The securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities.
CGMI currently intends to make a secondary market in relation to the securities and to provide an indicative bid price for the
securities on a daily basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole
discretion, taking into account prevailing market conditions and other relevant factors, and will not be a representation by CGMI
that the securities can be sold at that price, or at all. CGMI may suspend or terminate making a market and providing indicative
bid prices without notice, at any time and for any reason. If CGMI suspends or terminates making a market, there may be no secondary
market at all for the securities because it is likely that CGMI will be the only broker-dealer that is willing to buy your securities
prior to maturity. Accordingly, an investor must be prepared to hold the securities until maturity.
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The estimated value of the securities was determined for us by our affiliate using proprietary pricing models. CGMI
derived the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing
so, it may have made discretionary judgments about the inputs to its models, such as the volatility of the underlying shares, dividend
yields on the underlying shares and the securities held by the underlying share issuer 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
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Citigroup Global Markets Holdings Inc.
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Capped Return Enhanced Notes Based on Shares of the VanEck Vectors® Oil Services ETF Due June 10, 2025
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may determine for the securities
for other purposes, including for accounting purposes. You should not invest in the securities because of the estimated value of
the securities. Instead, you should be willing to hold the securities to maturity irrespective of the initial estimated value.
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The estimated value of the securities would be lower if it were calculated based on
our secondary market rate. The estimated value of the securities included in this pricing supplement is calculated based
on our internal funding rate, which is the rate at which we are willing to borrow funds through the issuance of the securities.
Our internal funding rate is generally lower than our secondary market rate, which is the rate that CGMI will use in determining
the value of the securities for purposes of any purchases of the securities from you in the secondary market. If the estimated
value included in this pricing supplement were based on our secondary market rate, rather than our internal funding rate, it would
likely be lower. We determine our internal funding rate based on factors such as the costs associated with the securities, which
are generally higher than the costs associated with conventional debt securities, and our liquidity needs and preferences. Our
internal funding rate is not an interest rate that we will pay to investors in the securities, which do not bear interest.
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Because there is not an active market for traded instruments
referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market price of traded instruments
referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments due on the securities,
but subject to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate is not a market-determined
measure of our creditworthiness, but rather reflects the market’s perception of our parent company’s creditworthiness
as adjusted for discretionary factors such as CGMI’s preferences with respect to purchasing the securities prior to maturity.
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The estimated value of the securities is not an indication of the price, if any, at which CGMI or any other person may be
willing to buy the securities from you in the secondary market. Any such secondary market price will fluctuate over the term
of the securities based on the market and other factors described in the next risk factor. Moreover, unlike the estimated value
included in this pricing supplement, any value of the securities determined for purposes of a secondary market transaction will
be based on our secondary market rate, which will likely result in a lower value for the securities than if our internal funding
rate were used. In addition, any secondary market price for the securities will be reduced by a bid-ask spread, which may vary
depending on the aggregate stated principal amount of the securities to be purchased in the secondary market transaction, and the
expected cost of unwinding related hedging transactions. As a result, it is likely that any secondary market price for the securities
will be less than the issue price.
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The value of the securities prior to maturity will fluctuate based on many unpredictable factors. The value of your
securities prior to maturity will fluctuate based on the price and volatility of the underlying shares and a number of other factors,
including the price and volatility of the securities held by the underlying share issuer, the dividend yields on the underlying
shares and the securities held by the underlying share issuer, 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 price of the underlying
shares may not result in a comparable change in the value of your securities. You should understand that the value of your securities
at any time prior to maturity may be significantly less than the issue price.
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§
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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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Risks associated with the oil services sector will affect the price of the underlying shares. The equity securities
included in the MVIS™ U.S. Listed Oil Services 25 Index (the “ETF underlying index”) and that are generally tracked
by the ETF are common stocks of companies involved in oil services. The underlying shares may be subject to increased price volatility
as they are linked to a single industry, market or sector and may be more susceptible to adverse economic, market, political or
regulatory occurrences affecting that industry, market or sector.
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Because the ETF invests in common
stocks of companies that are involved in the oil industry, the underlying shares are subject to certain risks associated with such
companies. The profitability of companies in the oil services sector is related to worldwide energy prices, including all sources
of energy, and exploration and production costs. The price of energy, the earnings of companies in the oil services sector, and
the value of these companies’ securities have recently experienced significant volatility. Additionally, the price of oil
has also recently experienced significant volatility and has declined significantly, which may materially impact companies operating
in the oil services sector. These companies are also subject to risks of changes in exchange rates and the price of oil and
gas, changes in prices for competitive energy services, changes in the global supply of and demand for oil and gas, the imposition
of import controls, world events, actions of the Organization of Petroleum Exporting Countries, negative perception and publicity,
depletion of resources and general economic conditions, development of alternative energy sources, energy conservation efforts,
technological developments and labor relations, as well as market, economic, social and political risks of the countries where
oil services companies are located or do business. The values of securities of oil services companies are subject to swift
price and supply fluctuations caused by events relating to international politics, including political instability, expropriation,
social unrest and acts of war, energy conservation, the success of exploration projects and tax and other governmental regulatory
policies. Oil services companies operate in a highly competitive and cyclical industry, with intense price competition.
The oil services sector is exposed to significant and numerous operating hazards. Oil services companies’ operations
are subject to hazards inherent in the oil and gas industry, such as fire, explosion, blowouts, loss of well control, oil spills,
pipeline and equipment leaks and ruptures and discharges or releases of toxic or hazardous gases. Oil and gas exploration
and production can be significantly affected by natural disasters and adverse weather conditions in the regions in which they operate.
The revenues of oil services companies may be negatively affected by contract termination and renegotiation. In the
oil services sector, it is customary for contracts to provide for either automatic termination or termination at the option of
the customer if the drilling unit is destroyed or lost or if drilling operations are suspended for a specified
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Citigroup Global Markets Holdings Inc.
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Capped Return Enhanced Notes Based on Shares of the VanEck Vectors® Oil Services ETF Due June 10, 2025
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period of time as a result of events
beyond the control of either party or because of equipment breakdowns. In periods of depressed market conditions, the customers
of oil services companies may not honor the terms of existing contracts and may terminate contracts or seek to renegotiate contract
rates and terms to reduce their obligations. Oil services companies are subject to, and may be adversely affected by, extensive
federal, state, local and foreign laws, rules and regulations. Oil exploration and production companies may also be adversely
affected by environmental damage claims and other types of litigation. Laws and regulations protecting the environment may
expose oil services companies to liability for the conduct of or conditions caused by others or for acts that were in compliance
with all applicable laws at the time they were performed. Changes to environmental protection laws, including the implementation
of policies with less stringent environmental protection standards and those geared away from sustainable energy development, could
lead to fluctuations in supply, demand and prices of oil and gas. The international operations of oil services companies
expose them to risks associated with instability and changes in economic and political conditions, foreign currency fluctuations,
changes in interest rates, changes in foreign regulations and other risks inherent to international business. Additionally,
changes to U.S. trading policies could cause friction with certain oil producing countries and between the governments of the United
States and other major exporters of oil to the United States. Some of the companies in the oil services sector are engaged
in other lines of business unrelated to oil services, and they may experience problems with these lines of business which could
adversely affect their operating results. The operating results of these companies may fluctuate as a result of these additional
risks and events in the other lines of business. In addition, a company’s ability to engage in new activities may expose
it to business risks with which it has less experience than it has with the business risks associated with its traditional businesses.
Despite a company’s possible success in traditional oil services activities, there can be no assurance that the other lines
of business in which these companies are engaged will not have an adverse effect on a company’s business or financial condition.
It is not possible to predict the aggregate effect of all or any combination of these factors.
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Our offering of the securities does not constitute a recommendation of the underlying shares by CGMI or its affiliates or
by the placement agents or their affiliates. The fact that we are offering the securities does not mean that we believe, or
that the placement agents or their affiliates believe, that investing in an instrument linked to the underlying shares are likely
to achieve favorable returns. In fact, as we and the placement agents are part of global financial institutions, our affiliates
and the placement agents and their affiliates may have positions (including short positions) in the underlying shares or the securities
held by the underlying share issuer or in instruments related to the underlying shares or such securities, and may publish research
or express opinions, that in each case are inconsistent with an investment linked to the underlying shares. These and other activities
of our affiliates or the placement agents or their affiliates may affect the price of the underlying shares in a way that has a
negative impact on your interests as a holder of the securities.
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The price of the underlying shares may be adversely affected by our or our affiliates’ hedging and other trading activities.
We have hedged our obligations under the securities through CGMI or other of our affiliates, who have taken positions directly
in the underlying shares and other financial instruments related to the underlying shares and may adjust such positions during
the term of the securities. Our affiliates and the placement agents and their affiliates also trade the underlying shares and other
financial instruments related to the underlying shares on a regular basis (taking long or short positions or both), for their accounts,
for other accounts under their management or to facilitate transactions on behalf of customers. These activities could affect the
price of the underlying shares in a way that negatively affects the value of the securities. They could also result in substantial
returns for us or our affiliates or the placement agents or their affiliates while the value of the securities declines.
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We and our affiliates or the placement agents or their affiliates may have economic interests that are adverse to yours
as a result of our affiliates’ or their business activities. Our affiliates or the placement agents or their affiliates
may currently or from time to time engage in business with the underlying share issuer, including extending loans to, making equity
investments in or providing advisory services to the underlying share issuer. In the course of this business, we or our affiliates
or the placement agents or their affiliates may acquire non-public information about the underlying share issuer, which we and
they will not disclose to you. Moreover, if any of our affiliates or the placement agents or their affiliates is or becomes a creditor
of the underlying share issuer, they may exercise any remedies against the underlying share issuer that are available to them without
regard to your interests.
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Even if the underlying share issuer pays a dividend that it identifies as special or extraordinary, no adjustment will be
required under the securities for that dividend unless it meets the criteria specified in the accompanying product supplement.
In general, an adjustment will not be made under the terms of the securities for any cash dividend paid on the underlying shares
unless the amount of the dividend per underlying share, together with any other dividends paid in the same fiscal quarter, exceeds
the dividend paid per underlying share in the most recent fiscal quarter by an amount equal to at least 10% of the closing price
of the underlying shares on the date of declaration of the dividend. Any dividend will reduce the closing price of the underlying
shares by the amount of the dividend per underlying share. If the underlying share issuer pays any dividend for which an adjustment
is not made under the terms of the securities, holders of the securities will be adversely affected. See “Description of
the Securities—Certain Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF—Dilution
and Reorganization Adjustments—Certain Extraordinary Cash Dividends” in the accompanying product supplement.
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The securities will not be adjusted for all events that could affect the price of the underlying shares. For example,
we will not make any adjustment for ordinary dividends or extraordinary dividends that do not meet the criteria described above.
Moreover, the adjustments we do make may not fully offset the dilutive or adverse effect of the particular event. Investors in
the securities may be adversely affected by such an event in a circumstance in which a direct holder of the underlying shares would
not.
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The securities may become linked to shares of an issuer other than the original underlying share issuer upon the occurrence
of a reorganization event or upon the delisting of the underlying shares. For example, if the underlying share issuer enters into
a merger agreement that provides for holders of the underlying shares to receive shares of another entity, the shares of such other
entity will become the underlying shares for all purposes of the securities upon consummation of the merger. Additionally, if the
underlying
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Citigroup Global Markets Holdings Inc.
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Capped Return Enhanced Notes Based on Shares of the VanEck Vectors® Oil Services ETF Due June 10, 2025
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shares are delisted and or the
underlying share issuer is otherwise terminated, the calculation agent may, in its sole discretion, select shares of another ETF
to be the underlying shares. See “Description of the Securities—Certain Additional Terms for Securities Linked to an
Underlying Company or an Underlying ETF—Dilution and Reorganization Adjustments” and “—Delisting, Liquidation
or Termination of an Underlying ETF” in the accompanying product supplement.
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The price and performance of the underlying share issuer may not completely track the performance of its underlying index
or its net asset value per share. The underlying share issuer does not fully replicate the underlying index that it seeks to
track and may hold securities different from those included in the ETF underlying index. In addition, the performance of the underlying
share issuer reflect additional transaction costs and fees that are not included in the calculation of its ETF underlying index.
All of these factors may lead to a lack of correlation between the performance of the underlying share issuer and its ETF underlying
index. In addition, corporate actions with respect to the equity securities constituting the underlying share issuer’s ETF
underlying index or held by the underlying share issuer (such as mergers and spin-offs) may impact the variance between the performance
of the underlying share issuer and its ETF underlying index. Finally, because the underlying shares are traded on NYSE Arca, Inc.
and are subject to market supply and investor demand, the market value of the underlying share issuer may differ from its net asset
value per share.
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During periods of market volatility,
securities underlying the underlying share issuer may be unavailable in the secondary market, market participants may be unable
to calculate accurately the net asset value per share of the underlying share issuer and the liquidity of the underlying share
issuer may be adversely affected. This kind of market volatility may also disrupt the ability of market participants to create
and redeem shares of the underlying share issuer. Further, market volatility may adversely affect, sometimes materially, the price
at which market participants are willing to buy and sell the underlying share issuer. As a result, under these circumstances, the
market value of the underlying share issuer may vary substantially from its net asset value per share. For all of the foregoing
reasons, the performance of the underlying share issuer might not correlate with the performance of its ETF underlying index and/or
its net asset value per share, which could materially and adversely affect the value of the securities in the secondary market
and/or reduce your return on the securities.
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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, events with respect to the underlying share issuer that may require
a dilution adjustment or the delisting of the underlying shares, CGMI, as calculation agent, will be required to make discretionary
judgments that could significantly affect your return on the securities. In making these judgments, the calculation agent’s
interests as an affiliate of ours could be adverse to your interests as a holder of the securities.
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Changes made by the investment adviser to the underlying share issuer or by the sponsor of the ETF underlying index may
adversely affect the underlying shares. We are not affiliated with the investment adviser to the underlying share issuer or
with the sponsor of the ETF underlying index. Accordingly, we have no control over any changes such investment adviser or sponsor
may make to the underlying share issuer or the ETF underlying index. Such changes could be made at any time and could adversely
affect the performance of the underlying shares.
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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. Even if the treatment of the securities
as prepaid forward contracts is respected, a security may be treated as a “constructive ownership transaction,” with
potentially adverse consequences described below under “United States Federal Tax Considerations.” Moreover, future
legislation, Treasury regulations or IRS guidance could adversely affect the U.S. federal tax treatment of the securities, possibly
retroactively.
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If you are a non-U.S. investor, you
should review the discussion of withholding tax issues in “United States Federal Tax Considerations—Non-U.S. Holders”
below.
You should read carefully the discussion
under “United States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying
product supplement and “United States Federal Tax Considerations” in this pricing supplement. You should also consult
your tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as well as tax consequences arising
under the laws of any state, local or non-U.S. taxing jurisdiction.
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Citigroup Global Markets Holdings Inc.
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Capped Return Enhanced Notes Based on Shares of the VanEck Vectors® Oil Services ETF Due June 10, 2025
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Information About the VanEck Vectors®
Oil Services ETF
The VanEck Vectors®
Oil Services ETF is an exchange-traded fund that seeks to provide investment results that correspond generally to the price and
yield performance, before fees and expenses, of publicly traded securities of companies involved primarily in oil services, as
measured by the MVIS™ U.S. Listed Oil Services 25 Index. The MVIS™ U.S. Listed Oil Services 25 Index tracks the overall
performance of U.S.-listed companies involved in oil services to the upstream oil sector, which include oil equipment, oil services
or oil drilling. However, for purposes of the securities, the performance of the VanEck Vectors® Oil Services ETF
will reflect only its price performance, as any dividends paid on the shares of the VanEck Vectors® Oil Services
ETF will not be factored into a determination of the final share price of the VanEck Vectors® Oil Services ETF.
The VanEck Vectors®
Oil Services ETF is an investment portfolio of Market Vectors® ETF Trust. Van Eck Associates Corporation is currently
the investment adviser to the VanEck Vectors® Oil Services ETF. Information provided to or filed with the SEC by
Market Vectors® ETF Trust pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of
1940, as amended, can be located by reference to SEC file numbers 333-123257 and 811-10325, respectively, through the SEC’s
website at http://www.sec.gov. In addition, information may be obtained from other sources including, but not limited to, press
releases, newspaper articles and other publicly disseminated documents. The VanEck Vectors® Oil Services ETF trades
on the NYSE Arca under the ticker symbol “OIH.”
Please refer to the section “Fund Descriptions—VanEck
Vectors® Oil Services ETF” in the accompanying underlying supplement for additional information.
This pricing supplement relates only to the securities offered
hereby and does not relate to the shares of the VanEck Vectors® Oil Services ETF. We have derived all disclosures
contained in this pricing supplement regarding the VanEck Vectors® Oil Services ETF from the publicly available
documents described above. In connection with the offering of the securities, none of Citigroup Global Markets Holdings Inc., Citigroup
Inc. or CGMI has participated in the preparation of such documents or made any due diligence inquiry with respect to the VanEck
Vectors® Oil Services ETF.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the VanEck Vectors® Oil Services ETF is not involved
in any way in this offering and has no obligation relating to the securities or to holders of the securities.
Neither we nor any of our affiliates make any representation
to you as to the performance of the shares of the VanEck Vectors® Oil Services ETF.
Historical Information
The graph below shows the closing price of the shares of the
VanEck Vectors® Oil Services ETF for each day such price was available from January 2, 2015 to June 5, 2020. The
table that follows shows the high and low closing prices of the shares of the VanEck Vectors® Oil Services ETF for
each quarter in that same period. We obtained the closing prices from Bloomberg L.P., without independent verification. The closing
prices and other information below may be adjusted by Bloomberg, L.P. for corporate actions such as stock splits, public offerings,
mergers and acquisitions, spin-offs, delistings and bankruptcy. You should not take the historical prices of the shares of the
VanEck Vectors® Oil Services ETF as an indication of future performance.
VanEck Vectors® Oil Services ETF – Historical Closing Prices
January 2, 2015 to June 5, 2020
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Citigroup Global Markets Holdings Inc.
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Capped Return Enhanced Notes Based on Shares of the VanEck Vectors® Oil Services ETF Due June 10, 2025
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Shares of the VanEck Vectors® Oil Services ETF
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High
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Low
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2015
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First Quarter
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$736.80
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$634.60
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Second Quarter
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$780.80
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$679.40
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Third Quarter
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$677.40
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$532.20
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Fourth Quarter
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$650.80
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$514.40
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2016
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First Quarter
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$558.20
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$427.00
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Second Quarter
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$617.40
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$509.00
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Third Quarter
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$601.00
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$526.40
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Fourth Quarter
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$701.80
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$549.80
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2017
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First Quarter
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$700.20
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$589.20
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Second Quarter
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$624.60
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$482.60
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Third Quarter
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$524.40
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$435.20
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Fourth Quarter
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$521.40
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$467.00
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2018
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First Quarter
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$587.40
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$467.00
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Second Quarter
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$590.20
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$466.00
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Third Quarter
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$542.00
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$464.00
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Fourth Quarter
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$520.40
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$266.40
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2019
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First Quarter
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$357.80
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$287.40
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Second Quarter
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$371.20
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$261.60
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Third Quarter
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$301.80
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$217.80
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Fourth Quarter
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$269.20
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$216.40
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2020
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First Quarter
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$275.20
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$67.80
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Second Quarter (through June 5, 2020)
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$154.35
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$75.20
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The closing price of the shares of the VanEck Vectors®
Oil Services ETF on June 5, 2020 was $154.35.
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Citigroup Global Markets Holdings Inc.
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Capped Return Enhanced Notes Based on Shares of the VanEck Vectors® Oil Services ETF Due June 10, 2025
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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 gain or loss equal to the difference
between the amount realized and your tax basis in the security. Subject to the discussion below concerning the potential application
of the “constructive ownership” rules under Section 1260 of the Code, any gain or loss recognized upon a sale, exchange
or retirement of a security should be long-term capital gain or loss if you held the security for more than one year.
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Even if the treatment of the securities as prepaid forward contracts
is respected, your purchase of a security may be treated as entry into a “constructive ownership transaction,” within
the meaning of Section 1260 of the Code. In that case, all or a portion of any long-term capital gain you would otherwise recognize
in respect of your securities would be recharacterized as ordinary income to the extent such gain exceeded the “net underlying
long-term capital gain.” Any long-term capital gain recharacterized as ordinary income under Section 1260 would be treated
as accruing at a constant rate over the period you held your securities, and you would be subject to an interest charge in respect
of the deemed tax liability on the income treated as accruing in prior tax years. Due to the lack of governing authority under
Section 1260, our counsel is not able to opine as to whether or how Section 1260 applies to the securities. You should read the
section entitled “United States Federal Tax Considerations—Tax Consequences to U.S. Holders—Potential Application
of Section 1260 of the Code” in the accompanying product supplement for additional information and consult your tax adviser
regarding the potential application of the “constructive ownership” rule.
We do not plan to request a ruling from the IRS regarding the
treatment of the securities. An alternative characterization of the securities could materially and adversely affect the tax consequences
of ownership and disposition of the securities, including the timing and character of income recognized. In addition, the U.S.
Treasury Department and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid
forward contracts” and similar financial instruments and have indicated that such transactions may be the subject of future
regulations or other guidance. Furthermore, members of Congress have proposed legislative changes to the tax treatment of derivative
contracts. Any legislation, Treasury regulations or other guidance promulgated after consideration of these issues could materially
and adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect. You should consult
your tax adviser regarding possible alternative tax treatments of the securities and potential changes in applicable law.
Non-U.S. Holders. Subject to the discussions below and
in “United States Federal Tax Considerations” in the accompanying product supplement, if you are a Non-U.S. Holder
(as defined in the accompanying product supplement) of the securities, you generally should not be subject to U.S. federal withholding
or income tax in respect of any amount paid to you with respect to the securities, provided that (i) income in respect of the securities
is not effectively connected with your conduct of a trade or business in the United States, and (ii) you comply with the applicable
certification requirements.
As discussed under “United States Federal Tax Considerations—Tax
Consequences to Non-U.S. Holders” in the accompanying product supplement, Section 871(m) of the Code and Treasury regulations
promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax on dividend equivalents paid or deemed
paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities (“U.S. Underlying Equities”)
or indices that include U.S. Underlying Equities. Section 871(m) generally applies to instruments that substantially replicate
the economic performance of one or more U.S. Underlying Equities, as determined based on tests set forth in the applicable Treasury
regulations. However, the regulations, as modified by an IRS notice, exempt financial instruments issued prior to January 1, 2023
that do not have a “delta” of one. Based on the terms of the securities and representations provided by us, our counsel
is of the opinion that the securities should not be treated as transactions that have a “delta” of one within the meaning
of the regulations with respect to any U.S. Underlying Equity and, therefore, should not be subject to withholding tax under Section
871(m).
A determination that the securities are not subject to Section
871(m) is not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m) is complex and its application
may depend on your particular circumstances, including your other transactions. You should consult your tax adviser regarding the
potential application of Section 871(m) to the securities.
If withholding tax applies to the securities, we will not be
required to pay any additional amounts with respect to amounts withheld.
You should read the section entitled “United States
Federal Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with
that section, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences
of owning and disposing of the securities.
You should also consult your tax adviser regarding all aspects
of the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under
the laws of any state, local or non-U.S. taxing jurisdiction.
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Citigroup Global Markets Holdings Inc.
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Capped Return Enhanced Notes Based on Shares of the VanEck Vectors® Oil Services ETF Due June 10, 2025
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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 $6.50 for each
security sold in this offering. The amount of the underwriting fee to CGMI will be equal to the placement fee paid to the placement
agents. J.P. Morgan Securities LLC and JPMorgan Chase Bank, N.A. will act as placement agents for the securities and, from the
underwriting fee to CGMI, will receive a placement fee of $6.50 for each security they sell in this offering to accounts other
than fiduciary accounts. CGMI and the placement agents will forgo an underwriting fee and placement fee for sales to fiduciary
accounts. In addition to the underwriting fee, CGMI and its affiliates may profit from expected hedging activity related to this
offering, even if the value of the securities declines. See “Use of Proceeds and Hedging” in the accompanying prospectus.
CGMI is an affiliate of ours. Accordingly, this offering will
conform with the requirements addressing conflicts of interest when distributing the securities of an affiliate set forth in Rule
5121 of the Financial Industry Regulatory Authority. Client accounts over which Citigroup Inc. or its subsidiaries have investment
discretion will not be permitted to purchase the securities, either directly or indirectly, without the prior written consent of
the client.
Secondary market sales of securities typically settle two business
days after the date on which the parties agree to the sale. Because the issue date for the securities is more than two business
days after the pricing date, investors who wish to sell the securities at any time prior to the second business day preceding the
issue date will be required to specify an alternative settlement date for the secondary market sale to prevent a failed settlement.
Investors should consult their own investment advisors in this regard.
See “Plan of Distribution; Conflicts of Interest”
in the accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement
and prospectus for additional information.
A portion of the net proceeds from the sale of the securities
will be used to hedge our obligations under the securities. We have hedged our obligations under the securities through CGMI or
other of our affiliates. CGMI or such other of our affiliates may profit from this hedging activity even if the value of the securities
declines. This hedging activity could affect the closing price of the underlying shares and, therefore, the value of and your return
on the securities. For additional information on the ways in which our counterparties may hedge our obligations under the securities,
see “Use of Proceeds and Hedging” in the accompanying prospectus.
Valuation of the Securities
CGMI calculated the estimated value of the securities set forth
on the cover page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary pricing models generated
an estimated value for the securities by estimating the value of a hypothetical package of financial instruments that would replicate
the payout on the securities, which consists of a fixed-income bond (the “bond component”) and one or more derivative
instruments underlying the economic terms of the securities (the “derivative component”). CGMI calculated the estimated
value of the bond component using a discount rate based on our internal funding rate. CGMI calculated the estimated value of the
derivative component based on a proprietary derivative-pricing model, which generated a theoretical price for the instruments that
constitute the derivative component based on various inputs, including the factors described under “Summary Risk Factors—The
value of the securities prior to maturity will fluctuate based on many unpredictable factors” in this pricing supplement,
but not including our or Citigroup Inc.’s creditworthiness. These inputs may be market-observable or may be based on assumptions
made by CGMI in its discretionary judgment.
For a period of approximately six months following issuance of
the securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will
be indicated for the securities on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also
publish through one or more financial information vendors), will reflect a temporary upward adjustment from the price or value
that would otherwise be determined. This temporary upward adjustment represents a portion of the hedging profit expected to be
realized by CGMI or its affiliates over the term of the securities. The amount of this temporary upward adjustment will decline
to zero on a straight-line basis over the six-month temporary adjustment period. However, CGMI is not 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.”
Certain Selling Restrictions
Prohibition
of Sales to EEA Retail Investors
The securities may not
be offered, sold or otherwise made available to any retail investor in the European Economic Area. For the purposes of this
provision:
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(a)
|
the expression “retail investor” means a person who is one (or more) of the
following:
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(i)
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a retail client as defined in point (11) of Article 4(1) of Directive 2014/65/EU (as
amended, “MiFID II”); or
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|
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(ii)
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a customer within the meaning of Directive 2002/92/EC, where that customer would not
qualify as a professional client as defined in point (10) of Article 4(1) of MiFID II; or
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(iii)
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not a qualified investor as defined in Directive 2003/71/EC; and
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Citigroup Global Markets Holdings Inc.
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|
Capped Return Enhanced Notes Based on Shares of the VanEck Vectors® Oil Services ETF Due June 10, 2025
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|
|
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(b)
|
the expression “offer” includes the communication in any form and by any
means of sufficient information on the terms of the offer and the securities offered so as to enable an investor to decide to purchase
or subscribe the securities.
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Validity
of the Securities
In the opinion of Davis
Polk & Wardwell LLP, as special products counsel to Citigroup Global Markets Holdings Inc., when the securities offered by
this pricing supplement have been executed and issued by Citigroup Global Markets Holdings Inc. and authenticated by the trustee
pursuant to the indenture, and delivered against payment therefor, such securities and the related guarantee of Citigroup Inc.
will be valid and binding obligations of Citigroup Global Markets Holdings Inc. and Citigroup Inc., respectively, enforceable in
accordance with their respective terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’
rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation,
concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion as to the effect
of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above. This opinion
is given as of the date of this pricing supplement and is limited to the laws of the State of New York, except that such counsel
expresses no opinion as to the application of state securities or Blue Sky laws to the securities.
In giving this opinion,
Davis Polk & Wardwell LLP has assumed the legal conclusions expressed in the opinions set forth below of Scott L. Flood, General
Counsel and Secretary of Citigroup Global Markets Holdings Inc., and Barbara Politi, Assistant General Counsel—Capital Markets
of Citigroup Inc. In addition, this opinion is subject to the assumptions set forth in the letter of Davis Polk & Wardwell
LLP dated May 17, 2018, which has been filed as an exhibit to a Current Report on Form 8-K filed by Citigroup Inc. on May 17, 2018,
that the indenture has been duly authorized, executed and delivered by, and is a valid, binding and enforceable agreement of, the
trustee and that none of the terms of the securities nor the issuance and delivery of the securities and the related guarantee,
nor the compliance by Citigroup Global Markets Holdings Inc. and Citigroup Inc. with the terms of the securities and the related
guarantee respectively, will result in a violation of any provision of any instrument or agreement then binding upon Citigroup
Global Markets Holdings Inc. or Citigroup Inc., as applicable, or any restriction imposed by any court or governmental body having
jurisdiction over Citigroup Global Markets Holdings Inc. or Citigroup Inc., as applicable.
In the opinion of Scott
L. Flood, Secretary and General Counsel of Citigroup Global Markets Holdings Inc., (i) the terms of the securities offered by this
pricing supplement have been duly established under the indenture and the Board of Directors (or a duly authorized committee thereof)
of Citigroup Global Markets Holdings Inc. has duly authorized the issuance and sale of such securities and such authorization has
not been modified or rescinded; (ii) Citigroup Global Markets Holdings Inc. is validly existing and in good standing under the
laws of the State of New York; (iii) the indenture has been duly authorized, executed and delivered by Citigroup Global Markets
Holdings Inc.; and (iv) the execution and delivery of such indenture and of the securities offered by this pricing supplement by
Citigroup Global Markets Holdings Inc., and the performance by Citigroup Global Markets Holdings Inc. of its obligations thereunder,
are within its corporate powers and do not contravene its certificate of incorporation or bylaws or other constitutive documents.
This opinion is given as of the date of this pricing supplement and is limited to the laws of the State of New York.
Scott L. Flood, or other
internal attorneys with whom he has consulted, has examined and is familiar with originals, or copies certified or otherwise identified
to his satisfaction, of such corporate records of Citigroup Global Markets Holdings Inc., certificates or documents as he has deemed
appropriate as a basis for the opinions expressed above. In such examination, he or such persons has assumed the legal capacity
of all natural persons, the genuineness of all signatures (other than those of officers of Citigroup Global Markets Holdings Inc.),
the authenticity of all documents submitted to him or such persons as originals, the conformity to original documents of all documents
submitted to him or such persons as certified or photostatic copies and the authenticity of the originals of such copies.
In the opinion of Barbara
Politi, Assistant General Counsel—Capital Markets of Citigroup Inc., (i) the Board of Directors (or a duly authorized committee
thereof) of Citigroup Inc. has duly authorized the guarantee of such securities by Citigroup Inc. and such authorization has not
been modified or rescinded; (ii) Citigroup Inc. is validly existing and in good standing under the laws of the State of Delaware;
(iii) the indenture has been duly authorized, executed and delivered by Citigroup Inc.; and (iv) the execution and delivery of
such indenture, and the performance by Citigroup Inc. of its obligations thereunder, are within its corporate powers and do not
contravene its certificate of incorporation or bylaws or other constitutive documents. This opinion is given as of the date of
this pricing supplement and is limited to the General Corporation Law of the State of Delaware.
Barbara Politi, or other
internal attorneys with whom she has consulted, has examined and is familiar with originals, or copies certified or otherwise identified
to her satisfaction, of such corporate records of Citigroup Inc., certificates or documents as she has deemed appropriate as a
basis for the opinions expressed above. In such examination, she or such persons has assumed the legal capacity of all natural
persons, the genuineness of all signatures (other than those of officers of Citigroup Inc.), the authenticity of all documents
submitted to her or such persons as originals, the conformity to original documents of all documents submitted to her or such persons
as certified or photostatic copies and the authenticity of the originals of such copies.
© 2020 Citigroup Global Markets Inc. All rights reserved.
Citi and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout
the world.
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