NATIXIS US MEDIUM-TERM NOTE PROGRAM LLC Guaranteed by the New York branch of Natixis Series 2015-[ ]

Transcription

1 The information in this preliminary pricing supplement is not complete and may be changed. This preliminary pricing supplement is not an offer to sell these securities and it is not soliciting an offer to buy these securities in any jurisdiction where the offer or sale is not permitted. PRELIMINARY PRICING SUPPLEMENT No. 1 dated May 5, 2015 (Subject to Completion) To the Index-Linked Notes Product Supplement dated April 23, 2015 (the Product Supplement ) and the Base Offering Memorandum dated April 23, 2015 (the Base Offering Memorandum ) Relating to the Natixis US Medium Term Note Program NATIXIS US MEDIUM-TERM NOTE PROGRAM LLC Guaranteed by the New York branch of Natixis Series 2015-[ ] Callable Monthly Range Accrual Notes due May 30, 2025 Linked to the performance of the S&P 500 Index Principal at Risk Securities General Terms This Pricing Supplement relates to the offering of the Series 2015-[ ] Notes (collectively the Notes ). The Notes are linked to the performance of the S&P 500 Index (the Index ). The Contingent Coupon Amount paid monthly on each Contingent Coupon Payment Date will be based on the number of Scheduled Trading Days (each, a Monitoring Day ), on which the closing level of the Index is greater than or equal to 75% of the Initial Level of the Index (the Trigger Level ). To determine the Contingent Coupon Amount payable per Calculation Amount of Notes with respect to any Contingent Coupon Payment Date, we will multiply the Calculation Amount by the quotient of the number of Monitoring Days in the immediately preceding Monitoring Period on which the above condition is met divided by the total number of Monitoring Days in that Monitoring Period. We will then multiply the resulting amount by the applicable Contingent Coupon Rate for such Monitoring Period, in each case multiplied by the Day Count Fraction. The applicable Contingent Coupon Rate will equal: (i) 6.25% per annum for the first 48 monthly Monitoring Periods, (ii) 8.00% per annum for the next 36 monthly Monitoring Periods and (iii) 9.50% per annum for the final 36 monthly Monitoring Periods. Beginning on June 1, 2017, and on each scheduled Contingent Coupon Payment Date going forward, the Notes are subject to early redemption, in whole but not in part, at the sole option of the Issuer, at 100% of the principal amount together with the Contingent Coupon Amount due for the Contingent Coupon Period ending on such Contingent Coupon Payment Date. At maturity, if the Notes have not been redeemed early: o if the Final Level of the Index is greater than or equal to 50% of its Initial Level (i.e., the Knock-in Level ), then the Final o Redemption Amount, at maturity, will be the principal amount of your Note. if the Final Level is less than its Knock-in Level (less than 50% of the Initial Level), at maturity, your Final Redemption Amount will be reduced by a percentage equal to the percentage decline of the Index. In this case, and you will lose at least 50% of your initial investment and potentially your entire initial investment. The Notes have a term of approximately10 years. The Maturity Date is May 30, The Issuer is a wholly-owned subsidiary of the Guarantor which itself is a branch of Natixis. The Notes do not guarantee any return of principal at maturity and investors must be willing to accept the risk of losing a substantial portion or their entire investment. All payments on the Notes are subject to the credit risk of the Issuer and the Guarantor. The Notes are not listed on any securities exchange. Investing in the Notes involves significant risks, including the risk of loss of some or all of your principal. See Selected Risk Considerations on page PS-[10] of this Pricing Supplement, Risk Factors Relating to the Notes beginning on page 6 of the accompanying Index-Linked Notes Product Supplement and Risk Factors beginning on page 13 of the Base Offering Memorandum. Please note that risk factors relating to Natixis are incorporated by reference in the Base Offering Memorandum, from documents available on the Natixis website. The Notes and the Guarantee have not been registered under the Securities Act of 1933 as amended (the Securities Act ) in reliance on the exemption from registration provided by Section 3(a)(2) of the Securities Act. Neither the Securities and Exchange Commission (the SEC ) nor any state securities commission has approved or disapproved of the Notes or determined that this document is truthful or complete. Any representation to the contrary is a criminal offense. Under no circumstances shall this document constitute an offer to sell or a solicitation of an offer to buy, nor shall there be any sale of these Notes, in any jurisdiction in which such offer, solicitation or sale would be unlawful prior to qualification under the securities laws of any such jurisdiction.

2 The Notes constitute unconditional liabilities of Natixis US Medium-Term Note Program LLC, and the Guarantee constitutes an unconditional obligation of the New York branch of Natixis. None of the Notes or the Guarantee is insured by the Federal Deposit Insurance Corporation. Natixis Securities Americas LLC PS-2

3 Terms of the Notes Please refer to the information and definitions included in the accompanying Base Offering Memorandum and Index - Linked Notes Product Supplement (the Product Supplement ), including information on important consequences in the event of a change in an index or a trading, exchange or market disruption. These Notes will be treated as Index-Linked Notes (Single Index) and Multi Exchange Index-Linked Notes. Unless otherwise defined herein, capitalized terms used in this pricing supplement have the definitions assigned to them in the accompanying Product Supplement or in the Base Offering Memorandum. General Terms: Issuer: Issuer Rating: Natixis US Medium-Term Note Program LLC Moody's A2 (stable outlook) / Standard & Poor's A (negative outlook) Ratings are not a recommendation to purchase, hold or sell Notes, inasmuch as the ratings do not comment as to market price or suitability for a particular investor. The ratings reflect each rating agency s view of the likelihood that we will honor our obligation to pay any interest or amounts due at maturity that are payable under the terms of the Notes, and do not address whether any interest will be payable on the Notes, whether you will receive your initial investment back, or the price at which the Notes may be resold prior to maturity, which may be substantially less than the issue price of the Notes. The ratings are only accurate as of the date thereof and may be changed, superseded or withdrawn as a result of changes in, or unavailability of, such information, and therefore a prospective purchaser should check the current ratings before purchasing the Notes. Each rating should be evaluated independently of any other rating. Calculation Agent: Guarantor: Placement Agent: Specified Currency: Aggregate Principal Amount: Denomination/ Principal Amount per Note: Natixis Natixis acting through its New York Branch Natixis Securities Americas LLC USD $[ ] Minimum denominations of $10, and integral multiples of $1, in excess thereof. No person may, at any time, purchase or transfer Notes in an amount less than $10,000 Calculation Amount: $1, Strike Date: Expected to be May 26, 2015 Trade Date: Expected to be May 26, 2015 Issue Date: Expected to be May 29, 2015 Maturity Date: May 30, 2025 We may deliver the Notes against payment therefor on a date that is more than three business days after the Trade Date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in three business days, unless the parties to any such trade expressly agree otherwise. Accordingly, purchasers who wish to trade the Notes more than three business days prior to the Issue Date of the Notes will be required to specify alternative arrangements to prevent a failed settlement and should consult their own advisers in connection with that election. Valuation Date: May 27, 2025 subject to the provisions set forth in Terms and Conditions of the Index-Linked Notes (Single Index) set forth in the Product Supplement and subject to Valuation Postponement as PS-3

4 described below. Business Day Convention: Business Day: Index: Index Sponsor: Exchanges: Related Exchanges: Multi-Exchange Index- Linked Notes: Initial Level: CUSIP/ISIN: Following Business Day Convention. If a Contingent Coupon Payment Date, Optional Redemption Date or the Maturity Date (as applicable) falls on a day that is not a Business Day, then the relevant payment will be made on the immediately following Business Day, and no additional interest will accrue as a result of such delayed payment A day on which commercial banks and foreign exchange markets settle payments and are open for general business, including dealings in foreign exchange and foreign currency deposits, in New York City The S&P 500 Index The Standard and Poor s Corporation Each of The New York Stock Exchange and The Nasdaq Stock Market The Chicago Mercantile Exchange and The Chicago Board Options Exchange The Notes are Multi-Exchange Index-Linked Notes [ ]. The Initial Level is the level of the Index as of the Valuation Time as published by the Index Sponsor on the Strike Date (see definition in Terms and Conditions of the Index-Linked Notes (Single Index) of the Product Supplement ) HHF4 / US63873HHF47 Commissions and Issue Price: Price to Public (i) Placement Agent Discount (iii) Proceeds to issuer Per Note... At Varying Prices (ii) $[] $[] Total... At Varying Prices $[] $[] (i) The proceeds you might receive if you were able to resell the Notes on the Issue Date are expected to be less than the Issue Price of the Notes. This is because the Issue Price includes the Placement Agent Discount set forth above and also reflects certain hedging costs associated with the Notes. (ii) The Notes will be offered during the marketing period at varying prices to be determined during such period. Such prices may be at prevailing market prices, at prices related to such prevailing market prices, or at negotiated prices, provided, however that no such price will be less than $[] or more than $1,000 per Calculation Amount of Notes. See Selected Risk Considerations The price you pay for the Notes may be higher than the prices other investors pay for the Notes on page PS-[10] of this Pricing Supplement. The Notes will be sold with a minimum denomination of $10,000, and integral multiples of $1,000 in excess thereof. No person may, at any time, purchase or transfer Notes in an amount less than $10,000. (iii) We are offering the Notes through our affiliate Natixis Securities America LLC, acting as placement agent. Please see Supplemental Plan of Distribution (Conflicts of Interest) on the last page of this Pricing Supplement for more information about fees and commissions. Payment of Contingent Coupon: Contingent Coupon Amount: The Contingent Coupon Amount per Calculation Amount of Notes with respect to any Contingent Coupon Payment Date will be determined on the immediately preceding Contingent Valuation Date, and shall be an amount equal to: Calculation Amount applicable Contingent Coupon Rate Range Accrual Rate Day Count Fraction Contingent Coupon Rate: Range Accrual: 6.25% per annum from (but excluding) May 26, 2015 to (and including) May 28, % per annum from (but excluding) May 28, 2019 to (and including) May 26, % per annum from (but excluding) May 26, 2022 to (and including) May 27, 2025 Applicable (see definition in Terms and Conditions of the Index-Linked Notes (Single Index) of the Product Supplement ) PS-4

5 Range Accrual Rate: The Range Accrual Rate will be determined with respect to each Monitoring Period for each Contingent Coupon Period. The Range Accrual Rate will be, with respect to any Monitoring Period, a percentage determined by the Calculation Agent equal to the number of Triggering Days occurring in such Monitoring Period divided by the total number of Monitoring Days in such Monitoring Period. The Range Accrual Rate for any Contingent Coupon Period will be determined by reference to the Monitoring Period that ends on the Reference Date immediately prior to the Interest Payment Date which concludes such Contingent Coupon Period. If the closing level of the Index is not equal to or greater than its Trigger Level on a Monitoring Day, the Range Accrual Rate will be 0, and as a result, the actual interest rate for the Contingent Coupon Period will decrease. Reference Date Monitoring Day: Monthly, on the 26 th of each calendar month, beginning May 26, 2015 (in each case, subject to the Business Day Convention specified above). In respect of each Monitoring Period, any day in such Monitoring Period that is a Scheduled Trading Day for each Index. If any Monitoring Day during a Monitoring Period is a Disrupted Day with respect to the Index, then such Monitoring Day will be deemed not to be a Monitoring Day and shall be accordingly disregarded for the determination of the numbers of Monitoring Days and Triggering Days Monitoring Day Level Monitoring Period: Trigger Level: Triggering Day: Scheduled Trading Day: Final Level: Contingent Coupon Payment Date: Contingent Coupon Periods: With respect to the Index and a Monitoring Day, the official closing level of such Index for such Monitoring Day as published by the Index Sponsor. Means any period which commences on, but excludes, any Reference Date and ends on, and includes, the immediately following Reference Date. For avoidance of doubt the first Monitoring Period will commence on, but exclude, the Strike Date (May 26, 2015) and the last Monitoring Period will end on, and include, the last Reference Date (May 27, 2025). 75% of the Initial Level; i.e., [ ] Any Monitoring Day where the level of the Index with respect to such Monitoring Day is equal to or greater than the relevant Trigger Level. Any day on which the applicable Exchange and the applicable Related Exchange are scheduled to be open for trading for their respective regular trading sessions (see the exact definition of Scheduled Trading Day in the Terms and Conditions of the Index-Linked Notes (Single Index) of the Product Supplement ) For the Index, the Final Level is the Monitoring Day Level of the Index as of the Valuation Date. Monthly, payable in arrears, on the third (3 rd ) Business Day following each Reference Date (in each case, subject to the Business Day Convention specified above), except that the last Contingent Coupon Payment Date will be the earlier to occur of (i) the Maturity Date or (ii) the Optional Redemption Date. If the Issuer has exercised its option to early redeem the Notes as provided under Payment upon Optional Redemption below, no further interest is due and payable on the Notes after an Optional Redemption Date if the Issuer has redeemed the Notes prior to maturity, and such Optional Redemption Date shall constitute the last Contingent Coupon Payment Date. The first period will begin on, and will include, the Issue Date and end on, but exclude, the first Contingent Coupon Payment Date. Each subsequent Contingent Coupon Period will begin on, and include, the Contingent Coupon Payment Date for the preceding Contingent Coupon Period and end on, but exclude, the next following Contingent Coupon Date. The final Contingent Coupon Period will end on, but exclude, the Maturity Date (or the Optional Redemption Date, if applicable). PS-5

6 Payment Upon Optional Redemption: Redemption at the Option of the Issuer - Issuer Call Optional Redemption Amount Optional Redemption Date The Issuer has the right to redeem the Notes, in whole but not in part, on any Optional Redemption Date, subject to at least three (3) Business Days notice prior to the relevant Optional Redemption Date (the Issuer Call ). An amount per Calculation Amount of Notes payable by the Issuer on the related Optional Redemption Date equal to 100% of the Calculation Amount. The Issuer will also pay on such date any Interest Amount due for the Contingent Coupon Period ending on the Optional Redemption Date Means each Contingent Coupon Payment Date commencing on (and including) June 1, 2017, to (and including) the Contingent Coupon Payment Date immediately preceding the Maturity Date Payment at Maturity: Final Redemption Amount: If the Notes have not been redeemed early, the Final Redemption Amount per Calculation Amount of Notes, excluding any final Interest Amount will be determined as follows: - If a Knock-in Event has NOT occurred, an amount equal to the Calculation Amount; - If a Knock-in Event has occurred a payment in cash (the Cash Delivery Amount ) calculated in accordance with the following formula: Final Level Calculation Amount Initial Level In this case, your Final Redemption Amount will be significantly less than the principal amount, and you will lose at least 50% of your initial investment and, potentially, your entire initial investment. The Issuer will also pay on such date the Contingent Coupon Amount due for the immediately preceding Monitoring Period, if any. Knock-in Level: Knock-in Event: Knock-in Determination Day: 50% of the Initial Level; i.e., [] A Knock-in Event occurs if the Final Level of the Index as determined by the Calculation Agent is less than the Knock-in Level on the Knock-in Determination Day. Means Valuation Date Additional Terms: Valuation Date If the Valuation Date is a Disrupted Day with respect to an Index, then the determination of the level of the Index or Indices with respect to which such Disrupted Day has occurred will be postponed to the next day that is not a Disrupted Day with respect to such Index, subject to the limit of Scheduled Trading Days specified under the heading Specific Number below (the final Scheduled Trading Day of such period, the Ultimate Valuation Date ). If the determination of such Index is postponed to the Ultimate Valuation Date, the Calculation Agent will determine the level of the affected Index in accordance with the provisions set forth under clause c(ii)(b) of Terms and Conditions for Index- Linked Notes (Single Index) of the Index-Linked Notes Product Supplement. In the event that any such postponement makes it impossible to calculate the payment due on the Notes on the Maturity Date, then such payment will be postponed until the second Business Day following the day on which such calculation is determined Specific Number Two (2) Scheduled Trading Days PS-6

7 Additional Terms Specific to the Notes You should read this Pricing Supplement together with the Base Offering Memorandum dated April 23, 2015 as supplemented from time to time relating to our medium-term notes of which the Notes are a part, and the more detailed information contained in the Index-Linked Notes Product Supplement dated April 23, This Pricing Supplement, together with the documents listed below, contain the terms of the Notes and supersede all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth in Selected Risk Considerations in this Pricing Supplement, Risk Factors Relating to Notes in the accompanying Index-Linked Notes Product Supplement and Risk Factors in the accompanying Base Offering Memorandum, as the Notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the Notes. Please note that the Base Offering Memorandum incorporates by reference certain documents (including Risk Factors relating to Natixis) that are available on the Natixis website ( Other information on the website is not incorporated by reference. You may access the Base Offering Memorandum and the Index-Linked Notes Product Supplement as follows: Index-Linked Notes Product Supplement dated April 23, 2015: Base Offering Memorandum dated April 23, 2015April 23, 2015April 23, 2015: Certain information that Natixis has made publicly available has been incorporated by reference in this Pricing Supplement. The information incorporated by reference is an important part of this Pricing Supplement. This Pricing Supplement should be read and construed in conjunction with the English translation of the Natixis registration document 2014 (document de référence) (the 2014 Natixis Registration Document ), available at: which is incorporated by reference (to the extent set forth in the Base Offering Memorandum) and forms part of this Pricing Supplement. PS-7

8 Hypothetical Examples The tables and examples below are provided for purposes of illustration only. They intend to illustrate the hypothetical Final Redemption Amounts payable at maturity and the total payments over the term of the Notes. The examples set forth below take into account several assumptions: the hypothetical Initial Level is 2, points; the Trigger Level is 75% of the hypothetical Initial Level, i.e. 1, points; the Contingent Coupon Rate is equal to: 6.25% per annum for the first 48 monthly Monitoring Periods 8.00% per annum for the next 36 monthly Monitoring Periods 9.50% per annum for the final 36 monthly Monitoring Periods the Knock-in Level is 50% of the hypothetical Initial Level, i.e. 1, points; the Day Count Fraction calculation results in an accrued interest factor of approximately ; the Calculation Amount is $1,000.00, and the Notes have a maturity of exactly 10 years. The Contingent Coupon Amounts, Optional Redemption Amounts and Final Redemption Amounts set forth below are provided for illustration purposes only. It is not possible to predict by how much the level of the underlying Index will fluctuate in comparison to the Initial Level over the term of the Notes. Any payment you will be entitled to receive is subject to the ability of the Issuer to pay its obligations as they become due, and any payments due on the Notes, including any repayment of principal, will be subject to the credit risk of the Issuer and the Guarantor. The following examples illustrate the method we will use to calculate the Interest with respect to a Contingent Coupon Payment Date, subject to the key terms and assumptions above. The numbers appearing in the following examples have been rounded for ease of analysis. Example of Contingent Coupon Amount payments Example 1: Contingent Coupon Amount payment during the first year We assume that a hypothetical Monitoring Period, occurring the first year, has 22 Monitoring Days, of which 15 are observed with a closing level of the Index that is greater than or equal to the Trigger Level. The Contingent Coupon Amount per Calculation Amount paid on the applicable Contingent Coupon Payment Date is equal to: $1, % = $ Example 2: Contingent Coupon Amount payment during the fifth year We assume that a hypothetical Monitoring Period, occurring the seventh year, has 19 Monitoring Days, of which 10 are observed with a closing level of the Index that is greater than or equal to the Trigger Level. The Contingent Coupon Amount per Calculation Amount paid on applicable Contingent Coupon Payment Date is equal to: $1, % = $ PS-8

9 Example of Optional Redemption Amount payments Example 3: The Issuer elects to redeem the Notes early after 2 years After the second year, on the first Optional Redemption Date, the Issuer redeems the Notes at 100% of the Calculation Amount. In addition, the Issuer pays the Contingent Coupon Amount due on the immediately preceding Monitoring Period. We assume that the Monitoring Period, related to the first Optional Redemption Date, has 20 Monitoring Days, of which 20 are observed with a closing level of the Index that is greater than or equal to the Trigger Level. On the Optional Redemption Date, the investor will receive per Calculation Amount an amount equal to: $1, $1, % = $1, Example 4: The Issuer elects to redeem the Notes early after 8.5 years On the 78 th Optional Redemption Date, the Issuer redeems the Notes, at 100% of the Calculation Amount. In addition, the Issuer pays the Contingent Coupon Amount due on the immediately preceding Monitoring Period. We assume that the Monitoring Period, related to the 78 th Optional Redemption Date, has 21 Monitoring Days, of which 3 are observed with a closing level of the Index that is greater than or equal to the Trigger Level. On the Optional Redemption Date, the investor will receive per Calculation Amount an amount equal to: $1, $1, % = $1, Example of Final Redemption Amount payments Example 5: The Notes have not been redeemed early and the Final Level is greater than the Knock-in Level The Final Level of the Index is equal to 1, points, which is greater than the Knock-in Level of 1, points. The Notes are redeemed at par. In addition, the Issuer pays the Contingent Coupon Amount due on the immediately preceding Monitoring Period. We assume that the last Monitoring Period has 20 Monitoring Days, of which 20 are observed with a closing level of the Index that is greater than or equal to the Trigger Level. On the Maturity Date, the investor will receive per Calculation Amount an amount equal to: $1, $1, % = $1, Final Redemption Amount: $1,000 Final Contingent Coupon Amount: $1,000 x 9.50% x 20/20 x = $7.92 Total Final Payment: $1, Example 6: The Notes have not been redeemed early and the Final Level is less than the Knock-in Level The Final Level of the Index is equal to points, which is less than the Knock-in Level of 1, points. The investors incur a loss proportional to the decline in the Index relative to its Initial Level. In addition, the Issuer pays the Contingent Coupon Amount due on the immediately preceding Monitoring Period. We assume that the last Monitoring Period has 20 Monitoring Days, of which 0 are observed with a closing level of the Index that is greater than or equal to the Trigger Level. On the Maturity Date, the investor will receive per Calculation Amount an amount equal to: $1, $1, % = $ Final Redemption Amount: $1,000 x (600 / 2000) = $ Final Contingent Coupon Amount: $1,000 x 10% x 0/20 x = $0 Total Final Payment: $ PS-9

10 Selected Risk Considerations There are important differences between the Notes and a conventional debt security. An investment in the Notes involves significant risks, including those listed below. You should carefully review the more detailed explanation of risks relating to the Notes in the Risk Factors Relating to the Notes beginning on page 6 of the Index-Linked Notes Product Supplement and Risk Factors Risks relating to the Notes beginning on page 13 of the Base Offering Memorandum. You must rely on your own evaluation of the merits of an investment linked to an Index. We also urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the Notes. Your investment in the Notes may result in a loss. The terms of the Notes differ from those of ordinary debt securities in that we may not pay you the principal amount of your Notes at maturity. If a Knock -in Event occurs, you will lose more than 50% of, and up to all of, your investment in the Notes. We have the right to redeem your Notes at our option. It is likely that the we will call the Notes when it is most advantageous to us, and specifically if the coupon payable on the Notes is higher than that of our other debt instruments or if we expect the Indices to consistently remain higher than the Trigger Level or the Knock-in Level If we redeem the Notes, you might not be able to reinvest the proceeds in another investment with a similar return profile, and your reinvestment return might be lower. If the closing level of the Index is less than the Trigger Level with respect to any Monitoring Day in any Monitoring Period, the Contingent Coupon Amount with respect to the next Contingent Coupon Payment Date will be reduced in proportion to the number of days with respect to which the level of the Index is below the Trigger Level. You may not earn any interest for an Contingent Coupon Period if one of the Indices is below its Trigger Level for the entire corresponding Monitoring Period Unlike conventional debt securities, the Notes do not provide for regular fixed interest payments. Any Contingent Coupon Amount you receive over the term of the Notes will depend on the performance of the Index during the term of the Notes. The Contingent Coupon Amount depends on the number of Monitoring Days during the relevant Monitoring Period on which the closing level on such Monitoring Day of each Index is equal to or greater than the Trigger Level. There can be no assurance that you will receive a Contingent Coupon Amount on any Contingent Coupon Payment Date or the amount of Contingent Coupon Amount you do receive. The Notes are not a suitable investment for investors who require regular fixed income payments, since the Contingent Coupon Amounts are variable and may be zero. The return on the Notes may not reflect the return you would realize if you directly invested in the Index, the constituent stocks comprising the Index or any other exchange-traded or over-the-counter instruments based on the Index or the constituent stocks comprising the Indices. Your return on the Notes, which could be negative, may be lower than the return on other debt securities of comparable maturity. You will not have the right to receive cash dividends or exercise ownership rights with respect to the Index or the shares included in the Index. Your payment at maturity will depend on the Final Level of the Index, which is measured as of a single valuation date. As such, you are subject to the risk that the relevant level was lower on the valuation date than on one or more other dates during the term of the Notes, including other dates near the valuation date. If you had invested in a more liquid asset linked to the Index that you could sell at a time selected by you, you might have achieved better returns. It is impossible to predict whether the levels of the Index will rise or fall. The Index will be influenced by complex and interrelated political, economic, financial and other factors. Historical performance of the Index should not be taken as an indication of their future performance during the term of the Notes. The price you pay for the Notes may be higher than the prices other investors pay for the Notes. The Notes will be offered during the marketing period at varying prices to be determined during such marketing period. Such prices may be at prevailing market prices, at prices related to such prevailing market prices, or at negotiated prices. Accordingly, there is a PS-10

11 risk that the price you pay for your Notes will be higher than the prices other investors pay for their Notes based on the date and time you made an offer to purchase the Notes, from whom you purchase the Notes, and/or any transaction cost. In seeking to provide investors with what we believe to be commercially reasonable terms for the Notes while providing the Issuer with compensation for its services, we have considered the costs of developing, hedging and distributing the Notes. If a trading market develops for the Notes (and such a market may not develop), these costs are expected to affect the market price you may receive or be quoted for your Notes on a date prior to the stated Maturity Date. None of the Issuer, the Guarantor or Natixis Securities Americas LLC is obligated to make a market for, or to repurchase, the Notes. The Notes are subject to the credit risk of Natixis acting through its New York Branch, as Guarantor of any payments due on the Notes, and any actual or anticipated changes to its credit ratings and credit spreads may adversely affect the market value of the Notes. Purchases and sales by Natixis and its affiliates may affect your return on the Notes. Natixis and its affiliates may do business with the companies that make up the Index. As the Calculation Agent is Natixis and an affiliate of the Issuer, potential conflicts of interest may exist between the Calculation Agent and the purchasers, including with respect to the exercise of the very broad discretionary powers of the Calculation Agent. No assurance can be given that the Index Sponsor will not modify or change its current methodology for calculating the Index in a manner that may affect your return on the Notes. The Index Sponsor may also adjust the Index in a way that affects its level. The Index Sponsor was not involved in creating the Notes and has no obligation to consider your interests. Investors will have no rights against the Index Sponsor even if the Index Sponsor decides to suspend the calculation of the Index and this suspension adversely impacts the amount investors receive at maturity. The Index Sponsor calculates the Index by reference to the prices of the constituent stocks of the Index without taking into account the value of dividends paid on those stocks. As a result, the return on the Notes will not reflect the return you would realize if you actually owned the Index constituent stocks and received dividends paid on those stocks. Significant aspects of the tax treatment of the Notes are uncertain. You should consult with your tax advisor about your tax situation. See Material U.S. Federal Income Tax Consequences to U.S. Holders, below. Many factors affect the trading value of the Notes; these factors interrelate in complex ways and the effect of any one factor may offset or magnify the effect of another factor. In addition to the risk factors, it is important to bear in mind that the Notes are unconditional liabilities of Natixis US Medium- Term Note Program LLC, and the Guarantee constitutes an unconditional obligation of the New York branch of Natixis. None of the Notes or the Guarantee is insured by the FDIC or secured by collateral. As such, any payments due on the Notes, including any repayment of principal, will be subject to the credit risk of the Issuer and the Guarantor. PS-11

12 The Index: The S&P 500 Index The following information is based on information published by the Index Sponsor. None of the Issuer, the Guarantor or Natixis is a sponsor of the Index and none of such entities are responsible for the information set forth below except for the appropriate extraction of the information published by the Index Sponsor. General The Index is intended to provide an indication of the pattern of common stock price movement. The calculation of the level of the Index is based on the relative value of the aggregate market value of the common stocks of 500 companies as of a particular time compared to the aggregate average market value of the common stocks of 500 similar companies during the base period of the years 1941 through As of April 30, 2015, the average market capitalization of the companies included in the S&P 500 Index was $ billion. As of that date, the largest component of the S&P 500 Index had a market capitalization of $ billion, and the smallest component of the S&P 500 Index had a market capitalization of $3.692 billion. Standard & Poor s, a division of The McGraw-Hill Companies, Inc. ( S&P ) chooses companies for inclusion in the Index with the aim of achieving a distribution by broad industry groupings that approximates the distribution of these groupings in the common stock population of its Stock Guide Database of over 10,000 companies, which S&P uses as an assumed model for the composition of the total market. Relevant criteria employed by S&P include the viability of the particular company, the extent to which that company represents the industry group to which it is assigned, the extent to which the market price of that company s common stock generally is responsive to changes in the affairs of the respective industry and the market value and trading activity of the common stock of that company. Ten main groups of companies comprise the Index, with the approximate percentage of the market capitalization of the Index included in each group as of April 30, 2015, indicated in parentheses: Information Technology (19.9%); Financials (16%); Health Care (14.6%); Consumer Discretionary (12.5%); Industrials (10.3%); Consumer Staples (9.5%); Energy (8.5%); Materials (3.2%); Utilities (3.0%); and Telecommunication Services (2.3%). S&P from time to time, in its sole discretion, may add companies to, or delete companies from, the Index to achieve the objectives stated above. S&P calculates the Index by reference to the prices of the constituent stocks of the Index without taking account of the value of dividends paid on those stocks. Computation of the Index While S&P currently employs the following methodology to calculate the Index, no assurance can be given that S&P will not modify or change this methodology. Historically, the market value of any component stock of the Index was calculated as the product of the market price per share and the number of then outstanding shares of such component stock. In March 2005, S&P began shifting the Index halfway from a market capitalization weighted formula to a float-adjusted formula, before moving the Index to full float adjustment on September 16, S&P s criteria for selecting stocks for the Index did not change with the shift to float adjustment. However, the adjustment affects each company s weight in the Index. Under float adjustment, the share counts used in calculating the Index reflect only those shares that are available to investors, not all of a company s outstanding shares. S&P defines three groups of shareholders whose holdings are subject to float adjustment: holdings by other publicly traded corporations, venture capital firms, private equity firms, strategic partners, or leveraged buyout groups; holdings by government entities, including all levels of government in the U.S. or foreign countries; and holdings by current or former officers and directors of a company, founders of the company, or family trusts of officers, directors, or founders, as well as holdings of trusts, foundations, pension funds, employee stock ownership plans, or other investment vehicles associated with and controlled by the company. However, treasury stock, stock options, restricted shares, equity participation units, warrants, preferred stock, convertible stock, and rights are not part of the float. In cases where holdings in a group exceed 10% of the outstanding shares of a company, the PS-12

13 holdings of that group are excluded from the float-adjusted count of shares to be used in the index calculation. Mutual funds, investment advisory firms, pension funds, or foundations not associated with the company and investment funds in insurance companies, shares of a U.S. company traded in Canada as exchangeable shares, shares that trust beneficiaries may buy or sell without difficulty or significant additional expense beyond typical brokerage fees, and, if a company has multiple classes of stock outstanding, shares in an unlisted or non-traded class if such shares are convertible by shareholders without undue delay and cost, are also part of the float. For each stock, an investable weight factor ( IWF ) is calculated by dividing the available float shares, defined as the total shares outstanding less shares held in one or more of the three groups listed above, where the group holdings exceed 10% of the outstanding shares, by the total shares outstanding. The float-adjusted index is then calculated by multiplying, for each stock in the Index, the IWF, the price, and total number of shares outstanding, adding together the resulting amounts, and then dividing that sum by the index divisor. For companies with multiple classes of stock, S&P calculates the weighted average IWF for each stock using the proportion of the total company market capitalization of each share class as weights. The Index is calculated using a base-weighted aggregate methodology. The level of the Index reflects the total market value of all 500 component stocks relative to the base period of the years 1941 through An indexed number is used to represent the results of this calculation in order to make the level easier to work with and track over time. The actual total market value of the component stocks during the base period of the years 1941 through 1943 has been set to an indexed level of 10. This is often indicated by the notation = 10. In practice, the daily calculation of the Index is computed by dividing the total market value of the component stocks by the index divisor. By itself, the index divisor is an arbitrary number. However, in the context of the calculation of the Index, it serves as a link to the original base period level of the Index. The index divisor keeps the Index comparable over time and is the manipulation point for all adjustments to the Index, which is index maintenance. Index Maintenance Index maintenance includes monitoring and completing the adjustments for company additions and deletions, share changes, stock splits, stock dividends, and stock price adjustments due to company restructuring or spin-offs. Some corporate actions, such as stock splits and stock dividends, require changes in the common shares outstanding and the stock prices of the companies in the Index, and do not require index divisor adjustments. To prevent the level of the Index from changing due to corporate actions, corporate actions which affect the total market value of the Index require an index divisor adjustment. By adjusting the index divisor for the change in market value, the level of the Index remains constant and does not reflect the corporate actions of individual companies in the Index. Index divisor adjustments are made after the close of trading and after the calculation of the Index closing level. Changes in a company s shares outstanding of 5.00% or more due to mergers, acquisitions, public offerings, tender offers, Dutch auctions, or exchange offers are made as soon as reasonably possible. All other changes of 5.00% or more (due to, for example, company stock repurchases, private placements, redemptions, exercise of options, warrants, conversion of preferred stock, notes, debt, equity participation units, at-the-market stock offerings, or other recapitalizations) are made weekly and are announced on Wednesday for implementation after the close of trading on the following Wednesday. Changes of less than 5.00% due to a company's acquisition of another company in the Index are made as soon as reasonably possible. All other changes of less than 5.00% are accumulated and made quarterly on the third Friday of March, June, September, and December, and are usually announced two to five days prior. Changes in IWFs of more than ten percentage points caused by corporate actions (such as merger and acquisition activity, restructurings, or spinoffs) will be made as soon as reasonably possible. Other changes in IWFs will be made annually, when IWFs are reviewed. License Agreement The Notes are not sponsored, endorsed, sold or promoted by S&P. S&P does not make any representation or warranty, express or implied, to the owners of the Notes or any member of the public regarding the advisability of investing in securities generally or in the Notes particularly or the ability of the S&P 500 Index to track general stock market performance. S&P s only relationship to the Issuer is the licensing of certain trademarks and trade names of S&P and of the S&P 500 Index, which index is determined, composed and calculated by S&P without regard to Issuer or the Notes. S&P has no obligation to take the needs of the Issuer or the owners of the Notes into consideration in determining, composing or calculating the S&P 500 Index. S&P is not responsible for and have not participated in the determination of the timing of, prices at, or quantities of the Notes to be issued or in the determination or calculation of the equation by which the Notes are PS-13

14 to be converted into cash. S&P has no obligation or liability in connection with the administration, marketing or trading of the Notes. S&P DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE S&P 500 INDEX OR ANY DATA INCLUDED THEREIN AND S&P SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN. S&P MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, OWNERS OF THE NOTES OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE S&P 500 INDEX OR ANY DATA INCLUDED THEREIN. S&P MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE S&P INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL S&P HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES. S&P s 500 Composite Stock Price is a trademark of The McGraw-Hill Companies, Inc. and has been licensed for use by the Issuer. Historical Data The following table sets forth the published high and low Index Levels, as well as end-of-quarter Index Levels, for each quarter in the period from January 1, 2010 through May 4, The graph following the table sets forth the Index Levels from January 02, 2007 through May 4, The Index Level for May 4, 2015 was We obtained the information in the table below from Bloomberg, without independent verification. The historical levels of the Index should not be taken as an indication of future performance, and no assurance can be given as to the Index Level on any calendar day during the term of the Notes. Any historical upward or downward trend in the Index Level during any period set forth below is not an indication that the Index is more or less likely to increase or decrease at any time over the term of the Notes.. Index Level High Low Period End 2010 First Quarter Second Quarter Third Quarter Fourth Quarter First Quarter Second Quarter Third Quarter Fourth Quarter First Quarter Second Quarter Third Quarter Fourth Quarter First Quarter Second Quarter Third Quarter Fourth Quarter First Quarter Second Quarter Third Quarter Fourth Quarter First Quarter Second Quarter through May 4, PS-14

15 Historical Information The following graph sets forth the monthly historical performance of the Index in the period from January 2, 2007 through May 4, The closing level of the Index on May 4, 2015 was We obtained the information in the graph below from Bloomberg, without independent verification. You should not take the historical levels of the S&P 500 Index as an indication of the future performance of the S&P 500 Index or the Notes. Historical Performance of the Index 2500 S&P Source: Bloomberg Before investing in the Notes, you should consult publicly available sources for the level and trading pattern of the Index. The generally unsettled international environment and related uncertainties, including the risk of terrorism, may result in the Index and financial markets generally exhibiting greater volatility than in earlier periods. PS-15

16 Material U.S. Federal Income Tax Consequences to U.S. Holders This discussion is limited to the federal tax issues addressed herein. It cannot be used to avoid penalties that may be asserted under the Internal Revenue Code of 1986, as amended. You should seek advice based on your particular circumstances from an independent tax adviser. Tax Consequences to U.S. Holders [The following discussion applies to you if you are a U.S. Holder (as defined in the accompanying Product Supplement). It replaces in its entirety the discussion in the accompanying Product Supplement under the heading Certain Additional United States Federal Income Tax Considerations Reverse Convertible Notes, Forward Contract Notes and Phoenix Notes Consequences of Phoenix Notes as well as supersedes the remaining discussion in the section Certain Additional United States Federal Income Tax Considerations in the accompanying Product Supplement, and the section entitled Taxation United States Taxation in the accompanying Base Offering Memorandum, to the extent it is inconsistent therewith. In determining our reporting responsibilities, if any, we intend (in the absence of an administrative determination or judicial ruling to the contrary) to treat (i) the Notes for U.S. federal income tax purposes as prepaid forward contracts with associated Contingent Coupons and (ii) any Contingent Coupon Amounts as ordinary income. Except where otherwise indicated, the remainder of this discussion assumes that this treatment is respected. Upon a sale or exchange of the Notes (including redemption upon an Issuer Call or at maturity), you should recognize capital gain or loss equal to the difference between the amount realized on the sale or exchange, less any accrued but unpaid Contingent Coupon Amount, which will likely be taxable as ordinary income, and your tax basis in the Notes, which should equal the amount you paid to acquire the Notes (assuming Contingent Coupon Amounts are properly treated as ordinary income, consistent with the position referred to above). This gain or loss should be capital gain or loss and should be long-term capital gain or loss if you hold your Notes for more than one year, whether or not you are an initial purchaser of the Notes at the issue price. The deductibility of capital losses is subject to limitations. You should consult your tax adviser regarding the treatment of any accrued but unpaid Contingent Coupon Amounts if you sell or exchange your Notes. We believe that this is a reasonable treatment, but that there are other reasonable treatments that the Internal Revenue Service (the IRS ) or a court may adopt, in which case the timing and character of any income or loss on the Notes could be materially affected. In particular, the IRS could treat the Notes as debt instruments subject to Treasury regulations governing contingent payment debt instruments. In that event, even if you are a cash-method taxpayer, in each year that you hold the Notes you will be required to accrue into income original issue discount based on our comparable yield for a similar non-contingent debt instrument, determined as of the time of issuance of the Notes, subject to certain adjustments. In addition, any income you recognize upon the taxable disposition of the Notes generally will be treated as ordinary interest income. In addition, in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income tax treatment of prepaid forward contracts and similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment. The notice also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments and the relevance of factors such as the nature of the underlying property to which the instruments are linked. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially affect the tax consequences of an investment in the Notes, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the Notes, including possible alternative treatments and the issues presented by this notice.] ERISA Matters For a discussion of the benefit plan investor consequences related to the Notes, see ERISA Matters in the accompanying Base Offering Memorandum. PS-16