An investment in the notes is significantly riskier than an investment
in conventional debt securities. The notes 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 notes, and are also subject to risks associated with each underlying. Accordingly, the notes are suitable only for
investors who are capable of understanding the complexities and risks of the notes. You should consult your own financial,
tax and legal advisers as to the risks of an investment in the notes and the suitability of the notes in light of your particular
circumstances.
The following is a summary of certain key risk factors for investors
in the notes. You should read this summary together with the more detailed description of risks relating to an investment
in the notes 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.
coupon payments during the term
of the notes, (ii) the closing price of the least performing underlying will be less than the applicable initial underlying price
on each valuation date (beginning one year after issuance), such that the notes are not automatically called and (iii) the closing
price of the least performing underlying will be less than the applicable downside threshold on the final valuation date, such
that you will not be repaid the stated principal amount of your notes at maturity.
terminates making a market, there
may be no secondary market at all for the notes because it is likely that CGMI will be the only broker-dealer that is willing to
buy your notes prior to maturity. Accordingly, an investor must be prepared to hold the notes until maturity.
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 notes, 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 notes prior to maturity.
derivative instruments will also
influence the terms of the notes at issuance and the value of the notes prior to maturity. Accordingly, the value of
your notes prior to maturity will fluctuate based on the price and volatility of the underlyings and a number of other factors,
including the price and volatility of the stocks held by the issuers of the underlyings, the correlation between the underlyings,
dividend yields on the underlyings, interest rates generally, the exchange rates and the volatility of the exchange rates between
the U.S. dollar and each of the currencies in which the equity securities included in the applicable underlying trade, the correlation
among those rates and the price of the applicable underlying, the time remaining to maturity and our and Citigroup Inc.’s
creditworthiness, as reflected in our secondary market rate. Changes in the prices of the underlyings may not result
in a comparable change in the value of your notes. You should understand that the value of your notes at any time prior
to maturity may be significantly less than the issue price. The stated payout from the issuer only applies if you hold the notes
to maturity or earlier automatic call, as applicable.
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 notes.
underlying the ETFs. Finally, because
the underlyings are traded on NYSE Arca, Inc. and are subject to market supply and investor demand, the market value of the underlyings
may differ from the net asset value per share of the underlyings.
During periods of market volatility, securities underlying
the ETFs may be unavailable in the secondary market, market participants may be unable to calculate accurately the net asset value
per share of the underlyings and the liquidity of the underlyings may be adversely affected. This kind of market volatility may
also disrupt the ability of market participants to create and redeem shares of the ETFs. Further, market volatility
may adversely affect, sometimes materially, the prices at which market participants are willing to buy and sell the underlyings.
As a result, under these circumstances, the market value of the underlyings may vary substantially from the net asset value per
share of the underlyings. For all of the foregoing reasons, the performance of the underlyings may not correlate with
the performance of the indices underlying the ETFs and/or the net asset value per share of the underlyings, which could materially
and adversely affect the value of the notes in the secondary market and/or reduce one or more payments on the notes.
Non-U.S. investors should note that
persons having withholding responsibility in respect of the notes may withhold on any coupon payment paid to a non-U.S. investor,
generally at a rate of 30%. To the extent that we have withholding responsibility in respect of the notes, we intend
to so withhold.
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 notes, as well as tax consequences
arising under the laws of any state, local or non-U.S. taxing jurisdiction.
The examples below illustrate the hypothetical payment upon automatic
call or at maturity for a $10.00 stated principal amount note with the following assumptions* (the actual terms of the notes are
listed on the cover page of this pricing supplement; amounts may have been rounded for ease of reference):
The least performing underlying closes above its respective coupon
barrier on the first three valuation dates and therefore a contingent coupon is paid on each of the first three coupon payment
dates. On the fourth valuation date (which is approximately one year after the trade date and is the first valuation
date on which the notes are subject to potential automatic call), the least performing underlying on the fourth valuation date
closes above its respective initial underlying price, and the notes are automatically called on the related coupon payment date. You
will receive on the coupon payment date a total of $10.20 per note, reflecting the $10.00 stated principal amount plus the
applicable contingent coupon. When added to the contingent coupon payments of $0.60 received in respect of the prior valuation
dates, you would have been paid a total of $10.80 per note for a 8.00% total return on the notes. No further amount would be owed
to you under the notes, and you would not participate in the appreciation of the underlyings.
Example 2 — Notes are NOT automatically called and the
final underlying price of the least performing underlying on the final valuation date is at or above its respective coupon barrier.
Date
|
Closing Price of the Underlying
|
Payment (per note)
|
Shares of the iShares® MSCI Emerging Markets ETF
|
Shares of the SPDR® S&P 500® ETF Trust
|
First Valuation Date
|
$33.00 (at or above coupon barrier)*
|
$289.00 (at or above coupon barrier)
|
$0.20 (contingent coupon — not callable)
|
Second Valuation Date
|
$39.60 (at or above coupon barrier)
|
$306.00 (at or above coupon barrier)*
|
$0.20 (contingent coupon — not callable)
|
Third Valuation Date
|
$30.00 (at or above coupon barrier)
|
$187.00 (below coupon barrier)*
|
$0.00 (not callable)
|
Fourth Valuation Date
|
$30.40 (at or above coupon barrier; below initial underlying price)
|
$102.00 (below coupon barrier and initial underlying price)*
|
$0.00 (not called)
|
Fifth to Thirty-Ninth Valuation Dates
|
various (all at or above coupon barrier; all below initial underlying price)
|
various (all below coupon barrier and initial underlying price)*
|
$0.00 (not called)
|
Final Valuation Date
|
$30.80 (at or above coupon barrier and downside threshold)*
|
$289.00 (at or above coupon barrier and downside threshold)
|
$10.20
|
|
|
Total Payment:
|
$10.60 (6.00% total return)
|
* Denotes least performing underlying for the applicable valuation
date(s)
The least performing underlying on each of the first two valuation
dates closes above its respective coupon barrier on each of the first two valuation dates and therefore a contingent coupon is
paid on each of the first two coupon payment dates. On each of the third to thirty-ninth valuation dates, the least
performing underlying closes below its coupon barrier. Therefore, no contingent coupon is paid on any related coupon
payment date. On the final valuation date, the least performing underlying on the final valuation date closes at or
above its respective coupon barrier. Therefore, at maturity, you would receive a total of $10.20 per note, reflecting
the $10.00 stated principal amount plus the applicable contingent coupon. When added to the total contingent coupon payments
of $0.40 received in respect of the prior valuation dates, you would have been paid a total of $10.60 per note for a 6.00% total
return on the notes over ten years.
Example 3 — Notes
are NOT automatically called and the final underlying price of the least performing underlying on the final valuation date is at
or above its respective downside threshold but below its respective coupon barrier.
Date
|
Closing Price of the Underlying
|
Payment (per note)
|
Shares of the iShares® MSCI Emerging Markets ETF
|
Shares of the SPDR® S&P 500® ETF Trust
|
First Valuation Date
|
$32.00 (at or above coupon barrier)*
|
$306.00 (at or above coupon barrier)
|
$0.20 (contingent coupon — not callable)
|
Second Valuation Date
|
$41.80 (at or above coupon barrier)
|
$292.40 (at or above coupon barrier)*
|
$0.20 (contingent coupon — not callable)
|
Third Valuation Date
|
$32.00 (at or above coupon barrier)
|
$170.00 (below coupon barrier)*
|
$0.00 (not callable)
|
Fourth Valuation Date
|
$30.80 (at or above coupon barrier; below initial underlying price)
|
$221.00 (below coupon barrier and initial underlying price)*
|
$0.00 (not called)
|
Fifth to Thirty-Ninth Valuation Dates
|
Various (all below coupon barrier and initial underlying price)*
|
Various (all at or above coupon barrier; all below initial underlying price)
|
$0 (not called)
|
Final Valuation Date
|
$26.40 (below coupon barrier, at or above downside threshold)*
|
$299.20 (at or above coupon barrier and downside threshold)
|
$10.00 (stated principal amount)
|
|
|
Total Payment:
|
$10.40 (4.00% total return)
|
* Denotes least performing underlying for the applicable valuation
date(s)
The least performing underlying on each of the first two valuation
dates closes above its respective coupon barrier on the first two valuation dates and therefore a contingent coupon is paid on
each of the first two coupon payment dates. On each of the third to thirty-ninth valuation dates, the least performing
underlying closes below its coupon barrier. Therefore, no contingent coupon is paid on any related coupon payment date. On
the final valuation date, the least performing underlying on the final valuation date closes above its respective downside threshold
but below its respective coupon barrier. Therefore, at maturity, you would receive a total of $10.00 per note, reflecting
your stated principal amount, but you would not receive a contingent coupon with respect to the final valuation date. When added
to the contingent coupon payments of $0.40 received in respect of the prior valuation
dates, you would have been paid a total of $10.40 per note for a 4.00% total
return on the notes over ten years.
Example 4 — Notes are NOT automatically called and the
final underlying price of the least performing underlying on the final valuation date is below its respective downside threshold.
Date
|
Closing Price of the Underlying
|
Payment (per note)
|
Shares of the iShares® MSCI Emerging Markets ETF
|
Shares of the SPDR® S&P 500® ETF Trust
|
First Valuation Date
|
$24.00 (below coupon barrier)*
|
$272.00 (at or above coupon barrier)
|
$0 (not callable)
|
Second Valuation Date
|
$23.20 (below coupon barrier)*
|
$292.40 (at or above coupon barrier)
|
$0 (not callable)
|
Third Valuation Date
|
$32.00 (at or above coupon barrier)
|
$170.00 (below coupon barrier)*
|
$0 (not callable)
|
Fourth Valuation Date
|
$30.80 (at or above coupon barrier; below initial underlying price)
|
$221.00 (below coupon barrier and initial underlying price)*
|
$0 (not called)
|
Fifth to Thirty-Ninth Valuation Dates
|
Various (all below coupon barrier and initial underlying price)
|
Various (all below coupon barrier and initial underlying price)*
|
$0 (not called)
|
Final Valuation Date
|
$25.60 (below coupon barrier, at or above downside threshold)
|
$102.00 (below coupon barrier and downside threshold)*
|
$10.00 × [1 + underlying return of the least performing underlying on the final valuation date] =
$10.00 × [1 + -70.00%] =
$10.00 × 0.30 =
$3.00 (payment at maturity)
|
|
|
Total Payment:
|
$3.00 (-70.00% total return)
|
* Denotes least performing underlying for the applicable valuation
date(s)
The least performing underlying on each valuation date closes
below its coupon barrier, and as a result no contingent coupon is paid on any coupon payment date during the term of the notes. On
the final valuation date, the least performing underlying on the final valuation date closes below its respective downside threshold.
Therefore, at maturity, investors are exposed to the downside performance of the least performing underlying and you will receive
$3.00 per note, which reflects the percentage decrease of the least performing underlying on the final valuation date from the
trade date to the final valuation date.
Shares of the iShares® MSCI Emerging Markets ETF
|
The iShares® MSCI Emerging Markets 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 in emerging markets, as measured by the MSCI Emerging Markets Index. However, for purposes
of the notes, the performance of the iShares® MSCI Emerging Markets ETF will reflect only its price performance,
as any dividends paid on the shares of the iShares® MSCI Emerging Markets ETF will not be factored into a determination
of the closing price of the iShares® MSCI Emerging Markets ETF. The MSCI Emerging Markets Index was developed
by MSCI Inc. as an equity benchmark for international stock performance, and is designed to measure equity market performance in
the global emerging markets.
The iShares® MSCI Emerging Markets ETF is an investment
portfolio managed by iShares® Inc. BlackRock Fund Advisors is the investment advisor to the iShares®
MSCI Emerging Markets ETF. iShares®, Inc. is a registered investment company that consists of numerous separate
investment portfolios, including the iShares® MSCI Emerging Markets ETF. Information provided to or filed
with the SEC by iShares®, Inc. 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 033-97598 and 811-09102, 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 iShares® MSCI Emerging Markets ETF trades
on the NYSE Arca, Inc. under the ticker symbol “EEM.”
This pricing supplement relates only to the notes offered
hereby and does not relate to the iShares® MSCI Emerging Markets ETF. We have derived all disclosures
contained in this pricing supplement regarding the iShares® MSCI Emerging Markets ETF from the publicly available
documents described above. In connection with the offering of the notes, 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 iShares® MSCI Emerging Markets ETF.
The notes represent obligations of Citigroup Global Markets Holdings
Inc. (guaranteed by Citigroup Inc.) only. The iShares® MSCI Emerging Markets ETF is not involved in any way in this
offering and has no obligation relating to the notes or to holders of the notes.
Neither we nor any of our affiliates makes any representation
to you as to the performance of the iShares® MSCI Emerging Markets ETF.
The following table sets forth, for each of the quarterly periods
indicated, the high and low closing prices of, and dividends paid on, shares of the iShares® MSCI Emerging Markets
ETF from January 4, 2010 through October 21, 2020. The closing price of the iShares® MSCI Emerging Markets
ETF on October 21, 2020 was $46.06. The initial underlying price with respect to shares of the iShares®
MSCI Emerging Markets ETF will be their closing price on the trade date. We obtained the closing prices and other information
below from Bloomberg, L.P., without independent verification. The closing prices and this other information may be adjusted by
Bloomberg, L.P. for corporate actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and
bankruptcy. Since its inception, the price of the shares of the iShares® MSCI Emerging Markets ETF has
experienced significant fluctuations. The historical performance of the shares of the iShares® MSCI Emerging Markets
ETF should not be taken as an indication of future performance, and no assurance can be given as to the closing prices of the shares
of the iShares® MSCI Emerging Markets ETF during the term of the notes. We cannot give you assurance that the performance
of the shares of the iShares® MSCI Emerging Markets ETF will result in the return of any of your initial investment.
We make no representation as to the amount of dividends, if any, that the iShares® MSCI Emerging Markets ETF will
pay in the future. In any event, as an investor in the notes, you will not be entitled to receive dividends, if any, that may be
payable on the shares of the iShares® MSCI Emerging Markets ETF.
Quarter Begin
|
Quarter End
|
Quarterly High
|
Quarterly Low
|
Dividends
|
01/04/10
|
03/31/10
|
$43.22
|
$36.83
|
$0.01201
|
04/01/10
|
06/30/10
|
$43.98
|
$36.16
|
$0.26160
|
07/01/10
|
09/30/10
|
$44.77
|
$37.59
|
$0.00000
|
10/01/10
|
12/31/10
|
$48.58
|
$44.77
|
$0.35942
|
01/03/11
|
03/31/11
|
$48.69
|
$44.63
|
$0.02512
|
04/01/11
|
06/30/11
|
$50.21
|
$45.50
|
$0.46092
|
07/01/11
|
09/30/11
|
$48.46
|
$34.95
|
$0.00000
|
10/03/11
|
12/30/11
|
$42.80
|
$34.36
|
$0.34696
|
01/03/12
|
03/30/12
|
$44.76
|
$38.23
|
$0.00000
|
04/02/12
|
06/29/12
|
$43.54
|
$36.68
|
$0.46836
|
07/02/12
|
09/28/12
|
$42.37
|
$37.42
|
$0.00000
|
10/01/12
|
12/31/12
|
$44.35
|
$40.14
|
$0.26233
|
01/02/13
|
03/28/13
|
$45.20
|
$41.80
|
$0.01423
|
04/01/13
|
06/28/13
|
$44.23
|
$36.63
|
$0.00000
|
07/01/13
|
09/30/13
|
$43.29
|
$37.34
|
$0.49260
|
10/01/13
|
12/31/13
|
$43.66
|
$40.44
|
$0.36578
|
01/02/14
|
03/31/14
|
$40.99
|
$37.09
|
$0.00000
|
04/01/14
|
06/30/14
|
$43.95
|
$40.82
|
$0.00000
|
07/01/14
|
09/30/14
|
$45.85
|
$41.56
|
$0.34063
|
10/01/14
|
12/31/14
|
$42.44
|
$37.73
|
$0.53502
|
01/02/15
|
03/31/15
|
$41.07
|
$37.92
|
$0.00000
|
04/01/15
|
06/30/15
|
$44.09
|
$39.04
|
$0.00000
|
07/01/15
|
09/30/15
|
$39.78
|
$31.32
|
$0.30125
|
10/01/15
|
12/31/15
|
$36.29
|
$31.55
|
$0.50084
|
01/04/16
|
03/31/16
|
$34.28
|
$28.25
|
$0.00000
|
04/01/16
|
06/30/16
|
$35.26
|
$31.87
|
$0.26598
|
07/01/16
|
09/30/16
|
$38.20
|
$33.77
|
$0.00000
|
10/03/16
|
12/30/16
|
$38.10
|
$34.08
|
$0.39621
|
01/03/17
|
03/31/17
|
$39.99
|
$35.43
|
$0.00000
|
04/03/17
|
06/30/17
|
$41.93
|
$38.81
|
$0.19171
|
07/03/17
|
09/29/17
|
$45.85
|
$41.05
|
$0.00000
|
10/02/17
|
12/29/17
|
$47.81
|
$44.82
|
$0.69655
|
01/02/18
|
03/29/18
|
$52.08
|
$45.69
|
$0.00000
|
04/02/18
|
06/29/18
|
$48.14
|
$42.33
|
$0.28987
|
07/02/18
|
09/28/18
|
$45.03
|
$41.14
|
$0.00000
|
10/01/18
|
12/31/18
|
$42.93
|
$38.00
|
$0.58379
|
01/02/19
|
03/29/19
|
$43.71
|
$38.45
|
$0.00000
|
04/01/19
|
06/28/19
|
$44.59
|
$39.91
|
$0.31144
|
07/01/19
|
09/30/19
|
$43.42
|
$38.74
|
$0.00000
|
10/01/19
|
12/31/19
|
$45.07
|
$40.27
|
$0.92902
|
01/02/20
|
03/31/20
|
$46.30
|
$30.61
|
$0.00000
|
04/01/20
|
06/30/20
|
$41.19
|
$32.67
|
$0.23029
|
07/01/20
|
09/30/20
|
$45.55
|
$40.44
|
$0.00000
|
10/01/20
|
10/21/20*
|
$46.23
|
$43.99
|
$0.00000
|
* As of the date of this pricing supplement, available information
for the fourth calendar quarter of 2020 includes data for the period from October 1, 2020 through October 21, 2020. Accordingly,
the “Quarterly High,” “Quarterly Low” and “Close” data indicated are for this shortened period
only and do not reflect complete data for the fourth calendar quarter of 2020.
The graph below illustrates the performance of the shares
of the iShares® MSCI Emerging Markets ETF from January 4, 2010 to October 21, 2020. The closing price
of the shares of the iShares® MSCI Emerging Markets ETF on October 21, 2020 was $46.06. We obtained the
closing prices of the shares of the iShares® MSCI Emerging Markets ETF from Bloomberg, and we have not participated
in the preparation of or verified such information. The historical closing prices of the shares of the iShares®
MSCI Emerging Markets ETF should not be taken as an indication of future performance and no assurance can be given as to the final
underlying price or any future closing price of the shares of the iShares® MSCI Emerging Markets ETF. We cannot
give you assurance that the performance of the shares of the iShares® MSCI Emerging Markets ETF will result in a
positive return on your initial investment and you could lose a significant portion or all of the stated principal amount at maturity.
Shares of the SPDR® S&P 500® ETF Trust
|
The SPDR® S&P 500® ETF Trust
is an exchange-traded fund that seeks to provide investment results that, before expenses, correspond generally to the performance
of the S&P 500® Index. The S&P 500® Index consists of the common stocks of 500 issuers selected
to provide a performance benchmark for the large capitalization segment of the U.S. equity markets. The SPDR® S&P
500® ETF Trust is managed by State Street Bank and Trust Company (“SSBTC”), as trustee of the SPDR®
S&P 500® ETF Trust and PDR Services LLC (“PDRS”), as sponsor of the SPDR® S&P
500® ETF Trust. Information provided to or filed with the SEC by SPDR® S&P 500®
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 033-46080 and 811-06125, 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 SPDR® S&P 500® ETF Trust trade on the NYSE Arca under
the ticker symbol “SPY.”
We have derived all disclosures
contained in this pricing supplement regarding the SPDR® S&P 500® ETF Trust from the publicly
available documents described above. We have not independently verified such information. Such information reflects the policies
of, and is subject to change by, State Street Bank and Trust Company and PDR Services LLC. In connection with the offering of the
notes, 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 SPDR® S&P 500® ETF Trust.
Please refer to the section
“Fund Descriptions—The SPDR® S&P 500® ETF Trust” in the accompanying underlying
supplement for important disclosures regarding the SPDR® S&P 500® ETF Trust.
The following table sets
forth, for each of the quarterly periods indicated, the high and low closing prices of, and dividends paid on, shares of the SPDR®
S&P 500® ETF Trust from January 4, 2010 through October 21, 2020. The closing price of the SPDR®
S&P 500® ETF Trust on October 21, 2020 was $342.73. The initial underlying price with respect to
shares of the SPDR® S&P 500® ETF Trust will be their closing price on the trade date. We
obtained the closing prices and other information below from Bloomberg, L.P., without independent verification. The closing prices
and this other information may be adjusted by Bloomberg, L.P. for corporate actions such as stock splits, public offerings, mergers
and acquisitions, spin-offs, delistings and bankruptcy. Since its inception, the price of the shares of the SPDR®
S&P 500® ETF Trust has experienced significant fluctuations. The historical performance of the shares of the
SPDR® S&P 500® ETF Trust should not be taken as an indication of future performance, and no assurance
can be given as to the closing prices of the shares of the SPDR® S&P 500® ETF Trust during the
term of the notes. We cannot give you assurance that the performance of the shares of the SPDR® S&P 500®
ETF Trust will result in the return of any of your initial investment. We make no representation as to the amount of dividends,
if any, that the SPDR® S&P 500® ETF Trust will pay in the future. In any event, as an investor
in the notes, you will not be entitled to receive dividends, if any, that may be payable on the shares of the SPDR®
S&P 500® ETF Trust.
Quarter Begin
|
Quarter End
|
Quarterly
High
|
Quarterly
Low
|
Dividends
|
01/04/10
|
03/31/10
|
$117.40
|
$105.87
|
$0.59019
|
04/01/10
|
06/30/10
|
$121.79
|
$103.22
|
$0.48038
|
07/01/10
|
09/30/10
|
$114.79
|
$102.20
|
$0.53128
|
10/01/10
|
12/31/10
|
$125.92
|
$113.75
|
$0.60213
|
01/03/11
|
03/31/11
|
$134.57
|
$126.21
|
$0.65276
|
04/01/11
|
06/30/11
|
$136.54
|
$126.81
|
$0.55332
|
07/01/11
|
09/30/11
|
$135.46
|
$112.26
|
$0.62762
|
10/03/11
|
12/30/11
|
$128.68
|
$109.93
|
$0.62495
|
01/03/12
|
03/30/12
|
$141.61
|
$127.49
|
$0.77013
|
04/02/12
|
06/29/12
|
$141.79
|
$128.10
|
$0.61389
|
07/02/12
|
09/28/12
|
$147.24
|
$133.51
|
$0.68826
|
10/01/12
|
12/31/12
|
$146.27
|
$135.70
|
$0.77945
|
01/02/13
|
03/28/13
|
$156.73
|
$145.53
|
$1.02183
|
04/01/13
|
06/28/13
|
$167.11
|
$154.14
|
$0.69372
|
07/01/13
|
09/30/13
|
$173.14
|
$161.16
|
$0.83912
|
10/01/13
|
12/31/13
|
$184.67
|
$165.48
|
$0.83795
|
01/02/14
|
03/31/14
|
$188.26
|
$174.15
|
$0.98025
|
04/01/14
|
06/30/14
|
$196.48
|
$181.48
|
$0.82461
|
07/01/14
|
09/30/14
|
$201.82
|
$190.99
|
$0.93669
|
10/01/14
|
12/31/14
|
$208.72
|
$186.27
|
$0.93919
|
01/02/15
|
03/31/15
|
$211.99
|
$198.97
|
$1.13492
|
04/01/15
|
06/30/15
|
$213.50
|
$205.42
|
$0.93081
|
07/01/15
|
09/30/15
|
$212.59
|
$187.27
|
$1.03007
|
10/01/15
|
12/31/15
|
$211.00
|
$192.13
|
$1.03343
|
01/04/16
|
03/31/16
|
$206.10
|
$183.03
|
$1.21155
|
04/01/16
|
06/30/16
|
$212.39
|
$199.53
|
$1.04960
|
07/01/16
|
09/30/16
|
$219.09
|
$208.39
|
$1.07844
|
10/03/16
|
12/30/16
|
$227.76
|
$208.55
|
$1.08207
|
01/03/17
|
03/31/17
|
$239.78
|
$225.24
|
$1.32893
|
04/03/17
|
06/30/17
|
$244.66
|
$232.51
|
$1.03312
|
07/03/17
|
09/29/17
|
$251.23
|
$240.55
|
$1.18311
|
10/02/17
|
12/29/17
|
$268.20
|
$252.32
|
$1.23457
|
01/02/18
|
03/29/18
|
$286.58
|
$257.63
|
$1.35133
|
04/02/18
|
06/29/18
|
$278.92
|
$257.47
|
$1.09678
|
07/02/18
|
09/28/18
|
$293.58
|
$270.90
|
$1.24557
|
10/01/18
|
12/31/18
|
$291.73
|
$234.34
|
$1.32261
|
01/02/19
|
03/29/19
|
$284.73
|
$244.21
|
$1.43543
|
04/01/19
|
06/28/19
|
$295.86
|
$274.57
|
$1.23312
|
07/01/19
|
09/30/19
|
$302.01
|
$283.82
|
$1.43164
|
10/01/19
|
12/31/19
|
$322.94
|
$288.06
|
$1.38362
|
01/02/20
|
03/31/20
|
$338.34
|
$222.95
|
$1.56999
|
04/01/20
|
06/30/20
|
$323.20
|
$246.15
|
$1.40556
|
07/01/20
|
09/30/20
|
$357.70
|
$310.52
|
$1.36624
|
10/01/20
|
10/21/20*
|
$352.43
|
$333.84
|
$0.00000
|
*As of the date of this pricing supplement, available information for the fourth calendar quarter of 2020 includes data for the period from October 1, 2020 through October 21, 2020. Accordingly, the “Quarterly High,” “Quarterly Low” data indicated are for this shortened period only and do not reflect complete data for the fourth calendar quarter of 2020.
|
On September 17, 2020, the SPDR® S&P 500® ETF Trust declared a cash dividend of $1.33922 per share payable on October 30, 2020. We make no representation as to the amount of dividends, if any, that the SPDR® S&P 500® ETF Trust will pay in the future. In any event, as an investor in the notes, you will not be entitled to receive dividends, if any, that may be payable on the shares of the SPDR® S&P 500® ETF Trust.
|
The graph below illustrates
the performance of the shares of the SPDR® S&P 500® ETF Trust from January 4, 2010 through October
21, 2020. The closing price of the shares of the SPDR® S&P 500® ETF Trust on October
21, 2020 was $342.73. We obtained the closing prices of the shares of the SPDR® S&P 500® ETF
Trust from Bloomberg, and we have not participated in the preparation of or verified such information. The historical
closing prices of the shares of the SPDR® S&P 500® ETF Trust should not be taken as an indication
of future performance and no assurance can be given as to the final underlying price or any future closing price of the shares
of the SPDR® S&P 500® ETF Trust. We cannot give you assurance that the performance of the shares
of the SPDR® S&P 500® ETF Trust will result in a positive return on your initial investment and
you could lose a significant portion or all of the stated principal amount at maturity.
Correlation of the Underlyings
|
The following graph sets forth the historical performances of
shares of the iShares® MSCI Emerging Markets ETF and shares of the SPDR® S&P 500®
ETF Trust from January 4, 2010 through October 21, 2020, based on the daily closing prices of the underlyings. For comparison
purposes, each underlying has been normalized to have a closing price of $100.00 on January 4, 2010 by dividing the closing price
of that underlying on each day by the closing price of that underlying on January 4, 2010 and multiplying by 100.00.
We obtained the closing prices used to determine the normalized
closing prices set forth below from Bloomberg, without independent verification. Historical performance of the underlyings should
not be taken as an indication of future performance. Future performance of the underlyings may differ significantly from historical
performance, and no assurance can be given as to the closing prices of the underlyings during the term of the notes, including
on any valuation date. Moreover, any historical correlation between the underlyings is not indicative of the degree
of correlation between the underlyings, if any, over the term of the notes.
PAST PERFORMANCE AND CORRELATION BETWEEN
THE UNDERLYINGS IS NOT INDICATIVE OF FUTURE PERFORMANCE OR CORRELATION
Correlation is a measure of the extent to which two underlyings
tend to increase or decrease at similar times and by similar magnitudes over a given time period. The closer the relationship
of the returns of a pair of underlyings over a given period, the more correlated those underlyings are. Conversely,
the less closely related the returns of a pair of underlyings, the less correlated those underlyings are. Two underlyings
may also be inversely correlated, which means that they tend to move in opposite directions from one another. The graph
above illustrates the historical performance of each underlying relative to the other over the time period shown and provides an
indication of how close the performance of each underlying has historically been to the other underlying. However, the
graph does not provide a precise measure of correlation and there may be relevant aspects of the historical correlation between
the underlyings that cannot be discerned from the graph. Furthermore, regardless of the degree of correlation between
the underlyings in the past, past correlation is not indicative of future correlation, and it is possible that the underlyings
will exhibit significantly lower correlation in the future than they did in the past. We cannot predict the relationship
between the underlyings over the term of the notes. For additional information, see “Summary Risk Factors—You will
be subject to risks relating to the relationship between the underlyings.”
The lower (or more negative) the correlation between the underlyings,
the less likely it is that the underlyings will move in the same direction at the same time and, therefore, the greater the potential
for one of the underlyings to close below its coupon barrier or downside threshold on any valuation date or the final valuation
date, respectively. This is because the less correlated the underlyings are, the greater the likelihood that at least
one of the underlyings will decrease in value. However, even if the underlyings have a higher correlation, one or both of the underlyings
might close below its coupon barrier or downside threshold on any valuation date or the final valuation date, respectively, as
both of the underlyings may decrease in value together.
The terms of the notes are set, in part, based on expectations
about the correlation between the underlyings as of the trade date. If expectations about the correlation between the
underlyings change over the term of the notes, the value of the notes may be adversely affected, and if the actual correlation
between the underlyings proves to be lower than initially expected, the notes may prove to be riskier than expected on the trade
date. The correlation referenced in setting the terms of the notes is calculated using CGMI’s proprietary derivative-pricing
model and is not derived from the returns of the underlyings over the period set forth in the graph above. In addition,
factors and inputs other than correlation impact how the terms of the notes are set and the performance of the notes.