[{"_1":2,"_3":-5,"_4":-5},"loaderData",{"_5":6,"_7":8},"actionData","errors","root",{"_96":97},"routes/item",{"_9":10},"item",{"_11":12,"_13":14,"_15":16,"_17":18,"_19":20,"_21":-5,"_22":23,"_24":25,"_26":27,"_28":29,"_30":29,"_31":32,"_33":34,"_35":36,"_37":38,"_39":40,"_41":42,"_43":44,"_45":-5,"_46":47,"_48":-5,"_49":-5,"_50":51,"_52":53,"_54":55,"_56":57,"_58":57,"_59":60,"_61":40,"_62":63},"id","cg6rrdr8q2q9vn1cnlmig5v9t","revision",2,"title","Citigroup Inc.披露挂钩一篮子指数的结构性票据条款与风险","originalTitle","CITIGROUP INC (0000831001) (Filer)","summary","Citigroup Global Markets Holdings Inc.发行由Citigroup Inc.全额担保的结构性票据，挂钩五个指数，发行规模为$16,313,000，发行价为每份$1,000，到期日为2028年2月4日。","reason","source",{"_11":86,"_87":88,"_89":90,"_91":57,"_92":93,"_94":95},"links",{"_83":84,"_63":85},"publishedAt","2026-10-16T19:31:04.000Z","discoveredAt","2026-10-16T19:44:41.303Z","timelineAt","category","ai-products","tags",[81,82],"stockSymbols",[80],"score",25,"selected",false,"channel","news","story",{"_72":73,"_15":74},"x","readingMode","full","author","language","body",{"_76":-5,"_63":77,"_78":-5,"_79":40},"outline",[],"relatedStories",[75],"indexable",true,"markdownAvailable","group",{"_64":65,"_43":66,"_67":68,"_69":70,"_71":70},"hasTranslation","bodyLanguage","original","factId","fJuCqgRyLhSc",{"_72":73,"_15":74},"reportCount",1,"additionalSourceCount",0,"developmentCount","publicId","75e7c886-deea-4ffb-a7f9-33486f22ba31","花旗发行挂钩五个指数的结构性票据",{"_72":73,"_15":74},"zh","\n \n \n

Filed Pursuant to Rule 424(b)(2)

Registration Statement Nos. 333-293732 and\n333-293732-02

\n \n \n \n \n \n \n

$\"\"$

Citigroup\nGlobal Markets Holdings Inc.

$16,313,000

Buffered Equity Index Basket-Linked Notes due February 4, 2028

\n \n \n \n \n

All Payments Due from Citigroup Global Markets Holdings Inc.
\nFully and Unconditionally Guaranteed by Citigroup Inc.

Unlike conventional\ndebt securities, the notes offered by this pricing supplement do not pay interest and do not repay a fixed amount of principal at maturity.\nThe amount that you will be paid on your notes on the maturity date (February 4, 2028) is based\non the performance of an unequally weighted basket (the “basket”) consisting of the EURO STOXX 50^®\nIndex (40.00% weight), the TOPIX^® Index (25.00% weight), the FTSE^® 100 Index (17.00% weight), the Swiss\nMarket Index^® (11.00% weight) and the S&P/ASX 200 Index (7.00% weight) (each\na “basket index”) as measured from the trade date (October 14, 2026) to and including the determination date (February 2,\n2028). The initial basket level is 100.00 and the final basket level on the determination date will equal the sum of the products,\nas calculated for each basket index, of: (i) (a) the final index level of that basket index divided by (b) the initial index level\nof that basket index multiplied by (ii) the initial weighted value of that basket index (which is the weight of that basket index\ntimes the initial basket level). If the final basket\nlevel on the determination date is greater than the initial basket level, the return on your notes will be positive, subject to the maximum\nsettlement amount of $1,228.48 for each $1,000 stated\nprincipal amount of your notes. If the final basket level declines from the initial basket level by up to a buffer amount of 12.50%, you\nwill receive the stated principal amount of your notes. However, if\nthe final basket level declines from the initial basket level by more than the 12.50% buffer amount, the return on your notes will be\nnegative and you will lose approximately 1.1429% of the stated principal amount of your notes for every 1% by which that decline exceeds\nthe 12.50% buffer amount. You could lose your entire investment in the notes. In exchange for the\nupside participation and limited buffer features of the notes, you must be willing to forgo (i) any return in excess of the maximum return\nat maturity of 22.848% (which results from the maximum settlement amount of $1,228.48 for each $1,000 stated principal amount of your\nnotes), (ii) any dividends paid on the stocks included in the basket indices and (iii) interest on the notes.

To determine your\npayment at maturity, we will calculate the basket return, which is the percentage increase or decrease in the level of the basket from\nthe initial basket level of 100.00 to the final basket level on the determination date. On the maturity date, for each $1,000 stated principal\namount note you then hold, you will receive an amount in cash equal to:

●

if the basket return is positive (the final basket\nlevel is greater than the initial basket level), the sum of (i) $1,000 plus (ii) the product of (a) $1,000\ntimes (b) the upside participation rate of 170% times (c) the basket return, subject to the maximum settlement amount;

●

if the basket return is zero or negative but not below -12.50% (the final basket\nlevel is equal to or less than the initial basket level but not by more than 12.50%), $1,000; or

●

if the basket return is negative and is below -12.50% (the final basket level is less\nthan the initial basket level by more than 12.50%), the sum of (i) $1,000 plus (ii) the product of (a) approximately\n1.1429 times (b) the sum of the basket return plus 12.50% times (c) $1,000. This amount will be\nless than $1,000 and may be zero.

A decrease in the level of one or more basket indices may offset\nincreases in the levels of one or more other basket indices. Due to the unequal weighting of each basket index, the performances of the\nEURO STOXX 50^® Index, the TOPIX^® Index and the FTSE^® 100 Index will have a significantly\nlarger impact on your return on the notes than the performances of the Swiss Market Index^® and the S&P/ASX 200\nIndex.

The\nnotes are unsecured senior debt securities issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. All\npayments on the notes are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. If Citigroup Global\nMarkets Holdings Inc. and Citigroup Inc. default on their obligations, you may not receive any amount due under the notes. The notes will\nnot be listed on any securities exchange and may have limited or no liquidity.

Investing in the notes involves risks not associated with an investment\nin conventional debt securities. See “Summary Risk Factors” beginning on page PS-9.

\n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n

	Issue Price⁽¹⁾	Underwriting Discount⁽²⁾	Net Proceeds to Issuer
Per Note:	$1,000.00	-	$1,000.00
Total:	$16,313,000.00	-	$16,313,000.00

(1) On the date of this pricing supplement, the estimated\nvalue of the notes is $999.00 per note, which is less than the issue price. The estimated value of the notes is based on proprietary pricing\nmodels of Citigroup Global Markets Inc. (“CGMI”) and our internal funding rate. It is not an indication of actual profit to\nCGMI 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\nthe notes from you at any time after issuance. See “Valuation of the Notes” in this pricing supplement.

(2) CGMI, an affiliate of the issuer, is the underwriter\nfor the offering of the notes and is acting as principal. For more information on the distribution of the notes, see “Summary Information—Key\nTerms—Supplemental Plan of Distribution” in this pricing supplement. CGMI and its affiliates may profit from hedging activity\nrelated to this offering, even if the value of the notes declines. See “Use of Proceeds and Hedging” in the accompanying prospectus.

Neither the Securities and Exchange Commission nor any state securities\ncommission has approved or disapproved of the notes or determined that this pricing supplement and the accompanying product supplement,\nunderlying supplement, prospectus supplement and prospectus are truthful or complete. Any representation to the contrary is a criminal\noffense.

The notes are not bank deposits and are not insured or guaranteed\nby the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or guaranteed by, a bank.

The notes are part of the Medium-Term Senior Notes, Series N of Citigroup\nGlobal Markets Holdings Inc. This pricing supplement is a supplement to the documents listed below and should be read together with such\ndocuments, which are available at the following hyperlinks:

Product Supplement No. EA-02-12 dated February 25, 2026

Underlying Supplement No. 13 dated February 25, 2026

Prospectus Supplement and Prospectus each dated February 25, 2026

Citigroup Global\nMarkets Inc.

Pricing\nSupplement No. 2026-USNCH34602 dated October 14, 2026

The issue price, underwriting discount and net proceeds\nlisted above relate to the notes we sell initially. We may decide to sell additional notes after the date of this pricing supplement,\nat issue prices and with underwriting discounts and net proceeds that differ from the amounts set forth above. The return (whether positive\nor negative) on your investment in notes will depend in part on the issue price you pay for such notes.

CGMI\nmay use this pricing supplement in the initial sale of the notes. In addition, CGMI or any other affiliate of Citigroup Inc. may use this\npricing supplement in a market-making transaction in a note after its initial sale.

SUMMARY INFORMATION

\n \n \n

The terms of the notes 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, such as market disruption events and other events affecting the basket indices. These events and their consequences are described in the accompanying product supplement in the sections “Description of the Securities—Consequences of a Market Disruption Event; Postponement of a Valuation Date” and “Description of the Securities—Certain Additional Terms for Securities Linked to an Underlying Index—Discontinuance or Material Modification of an Underlying Index,” and not in this pricing supplement. The accompanying underlying supplement contains important disclosures regarding the basket indices 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 notes. Certain terms used but not defined in this pricing supplement are defined in the accompanying product supplement. References to “securities” in the accompanying product supplement include the notes.

Key Terms

Issuer: Citigroup Global Markets Holdings Inc., a wholly owned\nsubsidiary of Citigroup Inc.

Guarantee: all payments due on the notes are fully and unconditionally\nguaranteed by Citigroup Inc.

Basket:

\n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n

Basket Index*	Weight	Initial Weighted Value**
EURO STOXX 50^® Index	40.00%	40.00
TOPIX^® Index	25.00%	25.00
FTSE^® 100 Index	17.00%	17.00
Swiss Market Index^®	11.00%	11.00
S&P/ASX 200 Index	7.00%	7.00

* Each basket index is referred to as an “underlying\nindex” and the sponsor for each basket index is referred to as an “underlying index publisher” in the accompanying product\nsupplement.

** The initial weighted value of each basket index is equal\nto its weight times the initial basket level of 100.00.

Stated principal amount: each note will have a stated principal\namount of $1,000; $16,313,000 in the aggregate for all the offered notes

Purchase at amount other than the stated principal amount: the\namount we will pay you at the stated maturity date for your notes will not be adjusted based on the issue price you pay for your notes,\nso if you acquire notes at a premium (or discount) to the stated principal amount and hold them to the stated maturity date, it could\naffect your investment in a number of ways. The return on your investment in such notes will be lower (or higher) than it would have been\nhad you purchased the notes at the stated principal amount. Also, the stated buffer level would not offer the same measure of protection\nto your investment as would be the case if you had purchased the notes at the stated principal amount. Additionally, the cap level would\nbe triggered at a lower (or higher) percentage return than indicated below, relative to your initial investment. See “Summary Risk\nFactors — If You Purchase Your Notes at a Premium to the Stated Principal Amount, the Return on Your Investment Will Be Lower Than\nthe Return on Notes Purchased at the Stated Principal Amount and the Impact of Certain Key Terms of the Notes Will Be Negatively Affected”\non page PS-12 of this pricing supplement

Cash settlement amount (paid on the maturity date): on the maturity\ndate, for each $1,000 stated principal amount of notes you then hold, we will pay you an amount in cash equal to:

●

if the final basket level is greater than or equal to the cap level, the maximum settlement amount;

●

if the final basket level is greater than the initial basket level but less than the cap level, the sum of (i)\n$1,000 plus (ii) the product of (a) $1,000 times (b) the upside participation rate times (c) the basket return;

●

if the final basket level is equal to or less than the initial basket level but greater than or equal to\nthe buffer level, $1,000; or

●

if the final basket level is less than the buffer level, the sum of (i) $1,000 plus (ii) the product of\n(a) the buffer rate times (b) the sum of the basket return plus the buffer amount times (c) $1,000

Initial basket level: 100.00

Final basket level: the sum of the products, calculated for each\nbasket index, of: (i) (a) the final index level of that basket index divided by (b) the initial index level of that basket index\ntimes (ii) the initial weighted value of that basket index

Initial index level of the EURO STOXX 50^® Index: 6,190.37

Initial index level of the TOPIX^® Index: 4,096.78

Initial index level of the FTSE^® 100 Index: 10,724.86

Initial index level of the Swiss Market Index^®: 14,129.93

Initial index level of the S&P/ASX 200 Index: 8,727.868

Final index level: with respect to each basket index, the closing\nlevel of that basket index on the determination date; except in the limited circumstances described under “Description of the Securities\n— Certain Additional Terms for Securities Linked to an

PS-2

Underlying Index — Discontinuance or Material Modification of\nan Underlying Index” on page EA-40 of the accompanying product supplement and subject to adjustment as provided under “Description\nof the Securities — Certain Additional Terms for Securities Linked to an Underlying Index — Determining the Closing Level”\non page EA-37 of the accompanying product supplement and “Description of the Securities — Consequences of a Market Disruption\nEvent; Postponement of a Valuation Date” on page EA-22 of the accompanying product supplement.

Basket return: the quotient of (i) the final basket level\nminus the initial basket level divided by (ii) the initial basket level, expressed as a positive or negative percentage

Upside participation rate: 170.00%

Cap level: 113.44% of the initial basket level

Maximum settlement amount: $1,228.48 per $1,000 stated principal\namount note

Buffer level: 87.50, which is 87.50% of the initial basket level

Buffer amount: 12.50%

Buffer rate: the quotient of the initial basket level\ndivided by the buffer level, which equals approximately 114.29%

Trade date: October 14, 2026. The trade date is referred to as\nthe “pricing date” in the accompanying product supplement.

Original issue date (settlement date): October 19, 2026. See\n“Supplemental plan of distribution” below for additional information.

Determination date: February 2, 2028. The determination date\nis referred to as the “valuation date” in the accompanying product supplement and is subject to postponement if such date\nis not a scheduled trading day or if certain market disruption events occur with respect to any basket index, as described under “Description\nof the Securities — Consequences of a Market Disruption Event; Postponement of a Valuation Date” on page EA-22 of the accompanying\nproduct supplement. For the avoidance of doubt, as described in the accompanying product supplement, if the determination date is postponed\nfor a reason that affects fewer than all of the basket indices, the final basket level will be calculated based on (i) for each unaffected\nbasket index, its closing level on the originally scheduled determination date and (ii) for each affected basket index, its closing level\non the determination date as postponed (or, if earlier, the first scheduled trading day for that basket index following the originally\nscheduled determination date on which a market disruption event did not occur with respect to that basket index).

Maturity date: February 4, 2028

No interest: the notes will not bear interest

No listing: the notes will not be listed on any securities exchange\nor interdealer quotation system

No redemption: the notes will not be subject to redemption before\nmaturity

Business day: as described under “Description\nof the Securities — General” on page EA-21 in the accompanying product supplement.

Scheduled trading day: with respect to each\nbasket index, as described under “Description of the Securities — Certain Additional Terms for Securities Linked to an Underlying\nIndex — Definitions of Market Disruption Event and Scheduled Trading Day and Related Definitions” on page EA-37 of the accompanying\nproduct supplement.

Supplemental plan of distribution: Citigroup\nGlobal Markets Holdings Inc. expects to sell to CGMI, and CGMI expects to purchase from Citigroup Global Markets Holdings Inc., the aggregate\nstated principal amount of the offered notes specified on the front cover of this pricing supplement. CGMI proposes initially to offer\nthe notes to the public and to certain unaffiliated securities dealers at the issue price set forth on the cover page of this pricing\nsupplement. CGMI and its affiliates may profit from hedging activity related to this offering, even if the value of the notes declines.\nSee “Use of Proceeds and Hedging” in the accompanying prospectus.

CGMI is an affiliate of ours. Accordingly, this offering\nwill conform with the requirements addressing conflicts of interest when distributing the securities of an affiliate set forth in Rule\n5121 of the Financial Industry Regulatory Authority. Client accounts over which Citigroup Inc. or its subsidiaries have investment discretion\nwill not be permitted to purchase the notes, either directly or indirectly, without the prior written consent of the client.

Secondary market sales of securities typically settle\none business day after the date on which the parties agree to the sale. Because the settlement date for the notes is more than one business\nday after the trade date, investors who wish to sell the notes at any time prior to the business day preceding the original issue date\nwill be required to specify an alternative settlement date for the secondary market sale to prevent a failed settlement. Investors should\nconsult their own investment advisors in this regard.

See “Plan of Distribution; Conflicts of Interest”\nin the accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement and prospectus\nfor additional information.

A portion of the net proceeds from the sale of the\nnotes will be used to hedge our obligations under the notes. We have hedged our obligations under the notes through CGMI or other of our\naffiliates, or through a dealer participating in this offering or its affiliates. CGMI or such other of our affiliates or such dealer\nor its affiliates may profit from this hedging activity even if the value of the notes declines. This hedging activity could affect the\nclosing levels of the basket indices and, therefore, the value of and your return on the notes. For additional information on the ways\nin which our counterparties may hedge our obligations under the notes, see “Use of Proceeds and Hedging” in the accompanying\nprospectus.

ERISA: as described under “Benefit Plan\nInvestor Considerations” on pages EA-58 and EA-59 in the accompanying product supplement.

Calculation Agent: CGMI

CUSIP: 17334DVA7

ISIN: US17334DVA70

PS-3

HYPOTHETICAL\nEXAMPLES

The table, chart and examples below are provided for purposes of illustration\nonly. They should not be taken as an indication or prediction of future investment results and are intended merely to illustrate the impact\nthat various hypothetical final basket levels on the determination date could have on the cash settlement amount at maturity.

The table, chart and examples below are based on a range of final basket\nlevels that are entirely hypothetical; no one can predict what the basket level will be on any day throughout the life of your notes,\nand no one can predict what the final basket level will be on the determination date. The basket indices have been highly volatile in\nthe past — meaning that the levels of the basket indices have changed considerably in relatively short periods — and their\nperformances cannot be predicted for any future period. Investors in the notes will not receive any dividends on the stocks that constitute\nthe basket indices. The table and chart below do not show any effect of lost dividend yield over the term of the notes. See “Summary\nRisk Factors—Investing in the Notes Is Not Equivalent to Investing in the Basket Indices or the Stocks that Constitute the Basket\nIndices” below.

The information in the table, chart and examples below reflects hypothetical\nreturns on the notes assuming that they are purchased on the original issue date at the stated principal amount and held to the maturity\ndate. If you sell your notes in a secondary market prior to the maturity date, your return will depend upon the value of your notes at\nthe time of sale, which may be affected by a number of factors that are not reflected in the table, chart or examples below such as interest\nrates, the volatility of the basket indices, the correlation among the basket indices and our and Citigroup Inc.’s creditworthiness.\nPlease read “Summary Risk Factors—The Value of the Notes Prior to Maturity Will Fluctuate Based on Many Unpredictable Factors”\nin this pricing supplement. It is likely that any secondary market price for the notes will be less than the issue price.

The information in the table, chart and examples also reflects the key\nterms and assumptions in the box below.

\n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n

Key Terms and Assumptions
Stated principal amount	$1,000
Cap level	113.44, which is 113.44% of the initial basket level
Maximum settlement amount	$1,228.48 per $1,000 stated principal amount note
Buffer level	87.50, which is 87.50% of the initial basket level
Buffer rate	Approximately 114.29%
Buffer amount	12.50%
Upside participation rate	170.00%
\n Neither a market\n disruption event nor a non-scheduled trading day with respect to any basket index occurs on the originally scheduled determination date \n \n No change in or\n affecting any of the stocks comprising the basket indices or the method by which the sponsors of the basket indices calculate the basket\n indices \n \n Notes purchased\n on original issue date at the stated principal amount and held to the stated maturity date \n

The actual performance of the basket over the life of your notes, as\nwell as the amount payable at maturity, if any, may bear little relation to the hypothetical examples shown below or to the historical\nbasket index levels shown elsewhere in this pricing supplement. For information about the historical levels of the basket indices during\nrecent periods, see “The Basket and the Basket Indices” below.

The levels in the left column of the table below represent hypothetical\nfinal basket levels and are expressed as percentages of the initial basket level. The amounts in the right column represent the hypothetical\ncash settlement amounts, based on the corresponding hypothetical final basket level (expressed as a percentage of the initial basket level),\nand are expressed as percentages of the stated principal amount of a note (rounded to the nearest one-thousandth of a percent). Thus,\na hypothetical cash settlement amount of 100.000% means that the value of the cash payment that we would deliver for each $1,000 of the\noutstanding stated principal amount of the notes on the maturity date would equal 100.000% of the stated principal amount of a note, based\non the corresponding hypothetical final basket level (expressed as a percentage of the initial basket level) and the assumptions noted\nabove.

PS-4

\n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n

Hypothetical Final Basket Level (as Percentage of Initial Basket Level)	Hypothetical Cash Settlement Amount (as Percentage of Stated Principal Amount)
200.000%	122.848%
175.000%	122.848%
150.000%	122.848%
125.000%	122.848%
113.440%	122.848%
110.000%	117.000%
105.000%	108.500%
102.500%	104.250%
100.000%	100.000%
95.000%	100.000%
87.500%	100.000%
75.000%	85.714%
50.000%	57.143%
25.000%	28.571%
0.000%	0.000%

If, for example, the final basket level were determined to be 25.000%\nof the initial basket level, the cash settlement amount that we would deliver on your notes at maturity would be approximately 28.571%\nof the stated principal amount of your notes, as shown in the table above. As a result, if you purchased your notes on the original issue\ndate at the stated principal amount and held them to the maturity date, you would lose approximately 71.429% of your investment. In addition,\nif the final basket level were determined to be 200.000% of the initial basket level, the cash settlement amount that we would deliver\non your notes at maturity would be capped at the maximum settlement amount (expressed as a percentage of the stated principal amount),\nor 122.848% of each $1,000 stated principal amount of your notes, as shown in the table above. As a result, you would not benefit from\nany increase in the final basket level over 113.440% of the initial basket level.

The table above demonstrates the diminishing benefit of the buffer feature\nof the notes the lower the final basket level. For example, if the final basket level were determined to be 75.000% of the initial basket\nlevel, the cash settlement amount that we would deliver on your notes at maturity would be approximately 85.714% of the stated principal\namount of your notes, resulting in an effective buffer (i.e., the difference between the basket return and your return on the notes) of\napproximately 10.714%. However, if the final basket level were determined to be 50.000% of the initial basket level, the cash settlement\namount that we would deliver on your notes at maturity would be approximately 57.143% of the stated principal amount of your notes, resulting\nin an effective buffer of only approximately 7.143%. The lower the final basket level, the lower the effective buffer provided by the\nnotes will be.

The following chart also shows a graphical illustration of the hypothetical\ncash settlement amounts that we would pay on your notes on the maturity date, if the final basket level (expressed as a percentage of\nthe initial basket level) were any of the hypothetical levels shown on the horizontal axis. The chart shows that any hypothetical final\nbasket level (expressed as a percentage of the initial basket level) of less than 87.500% (the section left of the 87.500% marker on the\nhorizontal axis) would result in a hypothetical cash settlement amount of less than 100.000% of the stated principal amount of your notes\n(the section below the 100.000% marker on the vertical axis) and, accordingly, in a loss of principal to the holder of the notes. The\nchart also shows that any hypothetical final basket level (expressed as a percentage of the initial basket level) of greater than or equal\nto 113.440% (the section right of the 113.440% marker on the horizontal axis) would result in a capped return on your investment.

PS-5

$\"\"$

Set forth below are five examples of cash settlement amount calculations,\nreflecting a maximum settlement amount of $1,228.48 per $1,000 stated principal amount note and assuming final index levels for each basket\nindex as indicated in the examples. These examples are for purposes of illustration only and the values used in the examples may have\nbeen rounded for ease of analysis.

The levels in Column A represent the hypothetical initial index levels\nfor each basket index, and the levels in Column B represent the hypothetical final index levels for each basket index. The percentages\nin Column C represent the hypothetical final index levels in Column B expressed as percentages of the corresponding hypothetical initial\nindex levels in Column A. The amounts in Column D represent the applicable initial weighted value for each basket index, and the amounts\nin Column E represent the products of the percentages in Column C times the corresponding amounts in Column D. The final\nbasket level for each example is shown beneath each example, and will equal the sum of the five products shown in Column E. The\nbasket return for each example is shown beneath the final basket level for such example, and will equal the quotient of (i) the\nfinal basket level for such example minus the initial basket level divided by (ii) the initial basket level, expressed\nas a positive or negative percentage.

The hypothetical initial index level for each basket index of 100.00\nhas been chosen for illustrative purposes only and does not represent the actual initial index level for that basket index. For historical\ndata regarding the actual historical levels of the basket indices, please see the historical information set forth below under “The\nBasket and the Basket Indices.”

Example 1: The final basket level is greater\nthan the cap level.