Natixis Securities Americas LLC

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 November 9, 2015 (Subject to Completion) To the Index-Linked Notes Product Supplement dated April 23, 2015 (the Index Product Supplement ) To the Rate-Linked Notes Product Supplement dated April 23, 2015 (the Rates 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 Fixed-to-Floating Capped Range Accrual Notes due November 30, 2030 As further described below, for the first year of the term of the Notes, interest will accrue monthly at a rate of 10.00% per annum. Thereafter, subject to our redemption right, interest will accrue monthly on the Notes at a variable per annum rate that is determined by multiplying (a) the product of the Multiplier and the applicable CMS30/CMS2 Spread determined as of the Reference Date at the start of the Interest Period, and subject to the Minimum Interest Rate of 0.00% and the Maximum Interest Rate of 10.00%, by (b) a fraction equal to the number of calendar days in such Interest Period with respect to which the closing level of the S&P 500 Index is greater than or equal to 65% of its closing level on November 24, 2015 (such level, the Accrual Level ) divided by the total number of calendar days in such Interest Period. The CMS30/CMS2 Spread measures the difference, if any, between the 30-year constant maturity swap rate and the 2-year constant maturity swap rate, and the S&P 500 Index consists of stocks of 500 component companies selected to provide a performance benchmark for the U.S. equity markets. These Notes provide an above-market interest rate in Year 1; however, from Year 2 to the earlier of the Maturity Date or the Early Redemption Date, as applicable, the Notes will not accrue or pay interest with respect to any Interest Period if the CMS30/CMS2 Spread is equal to or less than zero on the relevant Reference Date for such Interest Period. Furthermore, if with respect to any calendar day following the first year after issuance, the closing level of the S&P 500 Index is less than the Accrual Level, no interest will accrue with respect to such day. You will not participate in any appreciation of the S&P 500 Index. At maturity, if the Final Level is greater than or equal to 50% of the Initial Level (the Knock-in Level ), then the Final Redemption Amount, at maturity, will be the principal amount per Note. If the Final Level is less than the Knock-in Level (50% of the Initial Level) at maturity, your Final Redemption Amount at maturity will be reduced by a percentage equal to the percentage decline of the Index from the Initial Level to the Final 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. All payments are subject to the credit risk of the Issuer and the Guarantor. If the Issuer or the Guarantor were to default on their respective payment obligations, you could lose some or all of your investment. SUMMARY TERMS Issuer: Natixis US Medium-Term Note Program LLC Guarantor: Natixis acting through its New York Branch Aggregate Principal Amount: $[ ] Issue Price: 100% Denomination/ Principal Amount Minimum denominations 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 per Note: less than $10,000. The principal amount of each Note is $1,000 (the Calculation Amount ). Trade Date: Expected to be November 24, 2015 Issue Date: Expected to be November 30, 2015 Maturity Date: Expected to be November 30, 2030, subject to the Business Day Convention as described below. If the Valuation Date is postponed due to a Market Disruption Event and 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 possible, and for the avoidance of doubt, no additional interest shall accrue or be payable as a result of such postponement. Interest Rate: For the first twelve monthly Interest Periods, the applicable interest rate will be 10.00% per annum (the Initial Interest Rate ). Subject to Issuer Call, for the Interest Period commencing on November 30, 2016 and each subsequent Interest Period (each, a Floating Rate Interest Period ), the per annum interest rate will be the applicable Floating Interest Rate, which will be equal to the product of: (x) the product of the Multiplier and the applicable Reference Rate; subject to the Minimum Interest Rate and Maximum Interest Rate; and (y) N / ACT; where N = the total number of calendar days in the applicable Interest Period with respect to which the Index Level is greater than or equal to the Accrual Level; and ACT = the total number of calendar days in the applicable Interest Period. Beginning November 30, 2016, it is possible that you could receive little or no interest on the Notes. If, on the related Reference Date, the CMS30/CMS2 Spread is equal to or less than 0.00%, interest will not accrue for that Floating Rate Interest Period. If with respect to any calendar day in any Floating Rate Interest Period, the Index Level is below the Accrual Level, no interest will accrue in respect of such day. Multiplier: 8.00 Reference Rate: CMS30/CMS2 Spread: CMS Rates: Maximum Interest Rate: Minimum Interest Rate: Final Redemption Amount: For any Floating Rate Interest Period, an amount determined by the Calculation Agent equal to the CMS30/CMS2 Spread on the relevant Reference Date. With respect to any Reference Date, the CMS30/CMS2 Spread is equal to CMS30 minus CMS2, each as determined with respect to such Reference Date. The USD CMS Rate with a Designated Maturity of 30 years ( CMS30 ) and the USD CMS Rate with a Designated Maturity of 2 years ( CMS2, and together with CMS30, the CMS Rates ). See Additional Provisions The CMS Rates herein 10.00% per annum 0.00% per annum Subject to Issuer Call, the Final Redemption Amount per Calculation Amount of Notes, payable at maturity, 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 calculated in accordance with the following formula: Calculation Amount x Final Level Initial Level The Issuer will also pay on such date the Interest Amount, if any, due for the final Interest Period. Index: The S&P 500 Index as described in About the S&P 500 Index herein Placement Agent: Natixis Securities Americas LLC Terms continued on the following page Commissions and issue price: Price to Investors (1) Placement Agent Discount (3) Proceeds to Us Per Note $1,000 (2) $[35] $[965] Total [ ] [ ] [ ] (1) 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. (2) No person may, at any time, purchase or transfer Notes in an amount less than $10,000. (3) Please see Supplemental Plan of Distribution (Conflicts of Interest) on page PS-22 of this Pricing Supplement for information about fees and commissions. Investing in the Notes involves significant risks. See Selected Risk Considerations on page PS-9 of this Pricing Supplement, Risk Factors Relating to the Notes beginning on page 5 of the accompanying Rate-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 agent for this offering, Natixis Securities Americas LLC, is our affiliate. Please see Supplemental Plan of Distribution (Conflicts of Interest) on the last page of this Pricing Supplement for additional information. 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. 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

2 Summary Terms continued from previous page: Index Level: The daily closing level of the Index, determined pursuant to the provisions set forth in Additional Provisions Index: The S&P 500 Index Index Level herein, including the paragraph entitled Index Cutoff therein Initial Level: [ ], which is the Index Level on November 24, 2015 Accrual Level: [ ], which is 65% of the Initial Level Knock-in Level: [ ], which is 50% of the Initial Level Knock-in Event: A Knock-in Event occurs if the Final Level as determined by the Calculation Agent is less than the Knock-in Level on the Valuation Date. Final Level: The level of the Index as of the Valuation Time as published by the Index Sponsor on the Valuation Date (see definition in Terms and Conditions of the Index-Linked Notes (Single Index) of the Index Product Supplement) Valuation Date: November 26, 2030, subject to the provisions set forth in Terms and Conditions of the Index-Linked Notes (Single Index) set forth in the Index Product Supplement. For the avoidance of doubt, the provisions relating to postponement of the Valuation Date set forth in the Index Product Supplement shall not apply to the Notes. Interest Amount: With respect to any Interest Period, an amount determined by the Calculation Agent equal to the applicable Interest Rate multiplied by the relevant principal amount and the applicable Day Count Fraction. Because the Floating Interest Rate for any Floating Rate Interest Period may be as low as 0.00%, the Interest Amount with respect to any Floating Rate Interest Period could be $0.00. Interest Payment Dates: Monthly, payable in arrears on the 30th of each month (in the case of February the last calendar day), commencing on (and including) December 30, 2015, and ending on the Maturity Date or the Early Redemption Date, if applicable, subject to the Business Day Convention as described below. Interest Periods: The first period will begin on, and will include, the Issue Date and end on, but exclude, the first Interest Payment Date. Each subsequent Interest Period will begin on, and include, the Interest Payment Date for the preceding Interest Period and end on, but exclude, the next following Interest Payment Date. The final Interest Period will end on, but exclude, the Maturity Date (or the Early Redemption Date, if applicable). Interest Reset Dates: For each Interest Period commencing on or after November 30, 2016, the first day of such Interest Period Reference Dates: The second U.S. Government Securities Business Day prior to each relevant Interest Reset Date occurring at the start of each Floating Rate Interest Period. U.S. Government Securities Business Any day, other than a Saturday, Sunday, or a day on which the Securities Industry and Financial Markets Association (or any successor Day: thereto) recommends that the fixed income departments of its members be closed for the entire day for purposes of trading in U.S. government securities Day Count Fraction: Early Redemption at the Option of the Issuer - Issuer Call: Early Redemption Amount: Early Redemption Date: Early Redemption under other circumstances: Specified Currency: CUSIP / ISIN: Business Day: Business Day Convention: Calculation Agent: Actual / Actual The Issuer has the right to redeem the Notes, in whole but not in part, on any Early Redemption Date, subject to at least five (5) Business Days notice prior to the relevant Early Redemption Date (the Issuer Call ). The Early Redemption Amount per Calculation Amount payable by the Issuer on the related Early Redemption Date shall be an amount equal to $1,000 plus any accrued and unpaid Interest Amount. Quarterly, on each Interest Payment Date scheduled to occur in the months of February, May, August and November beginning on (and including) November 30, 2016, to, but excluding, the Maturity Date Except as pursuant to an Issuer Call, the Notes may not be redeemed prior to the Maturity Date, except for taxation reasons or following an Event of Default or Illegality Event, each as described in the Base Offering Memorandum. If redemption occurs under these circumstances, investors will receive the applicable Early Redemption Amount. USD US63873HGY45 / 63873HGY4 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 Following Business Day Convention. If an Interest Payment Date, the Maturity Date, or the Early Redemption 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. Natixis

3 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, 2015 (the Index Product Supplement) and the Rate-Linked Notes Product Supplement dated April 23, 2015 (the Rates Product Supplement ). 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 Product Supplement and Rates 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, the Index-Linked Notes Product Supplement and the Rate-Linked Notes Product Supplement as follows: Index-linked Notes Product Supplement dated April 23, 2015: Rate-Linked Notes Product Supplement dated April 23, 2015: Base Offering Memorandum dated April 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 2013 (document de référence) (the 2014 Natixis Registration Document ), available at and the first update to the 2014 Natixis Registration Document, available at: each of which is incorporated by reference (to the extent set forth in the Base Offering Memorandum) and forms part of this Pricing Supplement. PS-2

4 Additional Provisions The CMS Rates The CMS Rates are constant maturity swap rates that measure the fixed rate of interest payable on a hypothetical fixed-forfloating U.S. dollar interest rate swap transaction with maturities of thirty years and two years, respectively. In such a hypothetical swap transaction, the fixed rate of interest, payable semi-annually on the basis of a 360-day year consisting of twelve 30-day months, is exchangeable for a floating 3-month LIBOR-based payment stream that is payable quarterly on the basis of the actual number of days elapsed during a quarterly period in a 360-day year. CMS30 is one of the market-accepted indicators of long-term interest rates, and CMS2 is one of the market-accepted indicators of short-term interest rates. The Calculation Agent will determine the CMS Rates by reference to the CMS Rates as published on the Reuters page ISDAFIX1 (or any successor page) at approximately 11:00 a.m., New York City time, on the relevant Reference Date. CMS Rate Fallback Provisions If, on any Reference Date, a CMS Rate cannot be determined by reference to Reuters page ISDAFIX1 (or any successor page), then the Calculation Agent will request, from five leading swap dealers in New York City, selected by the Calculation Agent in its sole discretion, mid-market semi-annual swap rate quotations in the Aggregate Principal Amount and with a term equal to the remaining term to the Maturity Date, at approximately 11:00 a.m., New York City time, on such Reference Date. The semi-annual swap rate means the mean of the bid and offered rates for the semi-annual fixed leg, calculated on a 30/360 day count basis, of a fixed-for-floating U.S. Dollar interest rate swap transaction with a term equal to the remaining term to the Maturity Date commencing on the relevant Reference Date with an acknowledged dealer of good credit in the swap market, where the floating leg, calculated on an Actual/360 day count basis, is equivalent to LIBOR for deposits in U.S. dollar with a maturity of 3 months on the relevant Reference Date. If five quotations are provided as requested, the Calculation Agent will calculate the applicable CMS Rate by eliminating the highest (or if there is equality, one of the highest) and the lowest (or if there is equality, one of the lowest) rates and taking the arithmetic mean of the remaining rates. If at least three, but fewer than five, quotations are provided, the applicable CMS Rate will be the arithmetic mean of the quotations. If fewer than three quotations are provided, the applicable CMS Rate will be determined by the Calculation Agent acting in a commercially reasonable manner. Index: The S&P 500 Index The S&P 500 Index, which is calculated, maintained and published by Standard & Poor s, a Division of The McGraw-Hill Companies, Inc. (in such capacity the Index Sponsor ), consists of stocks of 500 component companies selected to provide a performance benchmark for the U.S. equity markets. The calculation of the S&P 500 Index is based on the relative value of the float-adjusted aggregate market capitalization of the 500 component companies as of a particular time as compared to the aggregate average market capitalization of 500 similar companies during the base period of the years 1941 through The S&P 500 Index is described under About the S&P 500 Index in this pricing supplement. Index Level Subject to the Index Cutoff described below, for any calendar day during the term of the Notes, the Index Level will equal the closing value of the Index as published on Bloomberg under ticker symbol SPX, or in the case of any successor index (such index, a Successor Index ), the Bloomberg ticker symbol for such Successor Index, at the regular weekday close of trading on that calendar day, as determined by the Calculation Agent; provided that, if a Market Disruption Event with respect to the Index occurs on any day in a Floating Rate Interest Period (other than the Trade Date or the Valuation Date) or if any such day in a Floating Rate Interest Period is not an Index Business Day, the closing value of the Index with respect to such day will be the closing value of the Index on the immediately preceding Index Business Day on which no Market Disruption Event has occurred. In certain circumstances, the Index Level will be based on the alternate calculation of the Index described under About the S&P 500 Index Discontinuance of the S&P 500 Index; Alteration of Method of Calculation. If a Market Disruption Event (as defined in Terms and Conditions of the Index-Linked Notes (Single Index) set forth in the Index Product Supplement) occurs on the Trade Date or the Valuation Date, or if any such date is not an Index Business Day, the Trade Date or Valuation Date, as applicable, shall be the next succeeding Index Business Day on which there is no Market Disruption Event; provided that if a Market Disruption Event has occurred on each of the five Index Business Days immediately succeeding any such scheduled date, then (i) such fifth succeeding Index Business Day shall be deemed to be the Trade Date or Valuation Date, as applicable, notwithstanding the occurrence of a Market Disruption Event on such day, and (ii) with respect to any such fifth succeeding Index Business Day on which a Market Disruption Event occurs, the Calculation Agent shall determine the Index Level on such fifth succeeding Index Business Day in accordance with the formula for and method of PS-3

5 calculating such Index last in effect prior to the commencement of the Market Disruption Event, using the closing level (or, if trading in the relevant securities has been materially suspended or materially limited, its good faith estimate of the closing level that would have prevailed but for such suspension or limitation) at the close of the principal trading session of the relevant exchange on such Index Business Day of each security most recently constituting the Index without any rebalancing or substitution of such securities following the commencement of the Market Disruption Event. Index Cutoff The Index Level with respect to each day from and including the third Index Business Day prior to the related Interest Payment Date for any Floating Rate Interest Period (each such third day, an Index Cutoff Date ) to but excluding such related Interest Payment Date shall be equal to the Index Level in effect on the relevant Index Cutoff Date; provided however, that the forgoing shall not apply for the purpose of determining the Final Level on the Valuation Date. Index Business Day means a day, as determined by the Calculation Agent, on which trading is generally conducted on each of the relevant exchange(s) for the Index, other than a day on which trading on such exchange(s) is scheduled to close prior to the time of the posting of its regular final weekday closing price. Relevant exchange means the primary exchange(s) or market(s) of trading for (i) any security then included in the Index, or any Successor Index (as such term is defined herein under About the S&P 500 Index -- Discontinuance of the S&P 500 Index; Alteration of Method of Calculation ), and (ii) futures or options contracts related to the Index or any Successor Index or to any security then included in the Index or any Successor Index. For more information regarding Market Disruption Events with respect to the Index, discontinuance of the Index and alteration of the method of calculation, see Terms and Conditions of the Index-Linked Notes (Single Index) set forth in the Index Product Supplement and About the S&P 500 Index Discontinuance of the S&P 500 Index; Alteration of Method of Calculation herein. PS-4

6 Hypothetical Interest Rate and Interest Payment Calculations As described above, the Notes will pay interest in respect of each Floating Rate Interest Period with respect to which the CMS30/CMS2 Spread is greater than 0.00%, for each day of such Floating Rate Interest Period on which the closing level of the S&P 500 Index is greater than or equal to the Accrual Level. The following illustrates the process by which the interest rate and interest payment amount are determined. Interest Rate Calculation Step 1: Determine whether interest will accrue with respect to a Floating Rate Interest Period. For each Floating Rate Interest Period, the CMS30/CMS2 Spread is calculated in respect of such period by reference to CMS30 and CMS2 on the related Reference Date. If the applicable CMS30/CMS2 Spread is equal to or less than zero, no interest will accrue in respect of such Floating Rate Interest Period. Step 2: If the CMS30/CMS2 Spread with respect to any Floating Rate Interest Period is greater than 0.00%, determine the number of days in that Floating Rate Interest Period with respect to which the Index Level was greater than or equal to the Accrual Level. For each Floating Rate Interest Period, the Index Level is determined with respect to each day of such Floating Rate Interest Period (subject to the Index Cutoff). For each calendar day in a Floating Rate Interest Period with respect to which the Index Level is greater than or equal to 65% of the Initial Index Level (the Accrual Level, and each such day with respect to which the Index Level is greater than the Accrual Level, an Accrual Day ), interest will accrue if the CMS30/CMS2 Spread with respect to such Floating Rate Interest Period is greater than 0.00%. However, if with respect to any calendar day in a Floating Rate Interest Period the Index Level is less than the Accrual Level, no interest will accrue with respect to that day. Step 3: Calculate the per annum interest rate for the relevant Interest Payment Date. For each Floating Rate Interest Period, the per annum interest rate payable is determined by multiplying (a) the product of the Multiplier and the applicable CMS30/CMS2 Spread (subject to the Minimum Interest Rate and the Maximum Interest Rate) by (b) a fraction equal to the number of Accrual Days determined for such Floating Rate Interest Period divided by the total number of calendar days in such Floating Rate Interest Period. Step 4: Calculate the interest payment amount payable for the relevant Interest Payment Date. For each Floating Rate Interest Period, once the Calculation Agent has determined the applicable per annum interest rate, the Calculation Agent will calculate the effective rate for that Floating Rate Interest Period by multiplying such rate by the applicable day-count fraction. The resulting effective rate is then multiplied by the relevant principal amount of the Notes to determine the actual interest amount payable on the related Interest Payment Date. No adjustments to the amount of interest calculated will be made in the event an Interest Payment Date is not a Business Day. PS-5

7 Example Interest Rate Calculations The table below presents examples of hypothetical interest that would accrue on the Notes during any Floating Rate Interest Period. The examples below are for purposes of illustration only. The examples of the hypothetical interest rate that would accrue on the Notes are based on the Multiplier, the CMS30/CMS2 Spread on the applicable Reference Date and on the total number of calendar days in a Floating Rate Interest Period with respect to which the Index Level of the S&P 500 Index is greater than or equal to the Accrual Level. The actual interest payments in respect of any Floating Rate Interest Period, if any, will depend on the actual level of the applicable CMS30/CMS2 Spread on each Reference Date and the Index Level of the S&P 500 Index on each day during each Floating Rate Interest Period. The applicable interest rate for each Floating Rate Interest Period will be determined on a per annum basis but will apply only to that Floating Rate Interest Period. The table assumes that the interest payment period contains 30 calendar days. Reference Rate (CMS30 minus CMS2) 8.00 * Reference Rate Reference Rate * Multiplier (8.00 * CMS30/CMS2 Spread after application of min. of 0.00% and max. of 10.00%) Hypothetical Floating Interest Rate* Number of calendar days in any Floating Rate Interest Period with respect to which the Index Level is greater than or equal to the Accrual Level % % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% -2.80% % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% -2.60% % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% -2.40% % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% -2.20% % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% -1.80% % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% -1.40% % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% -1.20% -9.60% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% -1.00% -8.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% -0.80% -6.40% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% -0.60% -4.80% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% -0.40% -3.20% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% -0.20% -1.60% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.20% 1.60% 1.60% 0.00% 0.27% 0.53% 0.80% 1.07% 1.33% 1.60% 0.40% 3.20% 3.20% 0.00% 0.53% 1.07% 1.60% 2.13% 2.67% 3.20% 0.60% 4.80% 4.80% 0.00% 0.80% 1.60% 2.40% 3.20% 4.00% 4.80% 0.80% 6.40% 6.40% 0.00% 1.07% 2.13% 3.20% 4.27% 5.33% 6.40% 1.00% 8.00% 8.00% 0.00% 1.33% 2.67% 4.00% 5.33% 6.67% 8.00% 1.20% 9.60% 9.60% 0.00% 1.60% 3.20% 4.80% 6.40% 8.00% 9.60% 1.25% 10.00% 10.00% 0.00% 1.67% 3.33% 5.00% 6.67% 8.33% 10.00% 1.40% 11.20% 10.00% 0.00% 1.67% 3.33% 5.00% 6.67% 8.33% 10.00% 1.60% 12.80% 10.00% 0.00% 1.67% 3.33% 5.00% 6.67% 8.33% 10.00% 1.80% 14.40% 10.00% 0.00% 1.67% 3.33% 5.00% 6.67% 8.33% 10.00% 2.00% 16.00% 10.00% 0.00% 1.67% 3.33% 5.00% 6.67% 8.33% 10.00% 2.20% 17.60% 10.00% 0.00% 1.67% 3.33% 5.00% 6.67% 8.33% 10.00% 2.40% 19.20% 10.00% 0.00% 1.67% 3.33% 5.00% 6.67% 8.33% 10.00% 2.60% 20.80% 10.00% 0.00% 1.67% 3.33% 5.00% 6.67% 8.33% 10.00% 2.80% 22.40% 10.00% 0.00% 1.67% 3.33% 5.00% 6.67% 8.33% 10.00% 3.00% 24.00% 10.00% 0.00% 1.67% 3.33% 5.00% 6.67% 8.33% 10.00% PS-6

8 * The Floating Interest Rate is determined by multiplying (a) the product of the Multiplier and the applicable CMS30/CMS2 Spread (subject to the Minimum Interest Rate and the Maximum Interest Rate) by (b) a fraction equal to the number of Accrual Days determined for such Floating Rate Interest Period divided by the total number of calendar days in such Floating Rate Interest Period. If CMS30 is equal to or less than CMS2 on the applicable Reference Date, the per annum interest rate applicable to such Floating Rate Interest Period will be the Minimum Interest Rate of 0.00% and no interest will accrue on the Notes for such Floating Rate Interest Period regardless of the total number of calendar days in the Floating Rate Interest Period with respect to which the Index Level of the S&P 500 Index is greater than or equal to the Accrual Level. PS-7

9 Example Final Redemption Amount Calculations Hypothetical Initial Level: 2,000 Hypothetical Knock-in Level: 1,000, which is 50% of the hypothetical Initial Level The examples set forth in the table below do not take into account the final interest payment, if any, that will be made on the Maturity Date. These examples are for illustrative value only. The actual Final Redemption Amount will depend on the actual Final Level on the Valuation Date, which is impossible to predict. Percentage change in level of the Index from Initial Level to Final Level Final Level Final Redemption Amount per $1, Note Return on the Notes at Maturity* 100% 4,000 $1, % 90% 3,800 $1, % 80% 3,600 $1, % 70% 3,400 $1, % 60% 3,200 $1, % 50% 3,000 $1, % 40% 2,800 $1, % 30% 2,600 $1, % 20% 2,400 $1, % 10% 2,200 $1, % 0% 2,000 $1, % -10% 1,800 $1, % -20% 1,600 $1, % -30% 1,400 $1, % -40% 1,200 $1, % -50% 1,000 $1, % -51% 980 $ % -60% 800 $ % -70% 600 $ % -80% 400 $ % -90% 200 $ % -100% 0 $ % If the Final Level is less than 50% of the Initial Level, investors will be fully exposed to the negative performance of the Index. Under these circumstances, investors will lose at least 50% of their initial investment and, potentially, their entire investment in the Notes. *Assumes the Notes are purchased at $1,000 per Calculation Amount. PS-8

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 in Risk Factors Relating to the Notes beginning on page 6 of the Index-Linked Notes Product Supplement, the Risk Factors Relating to the Notes beginning on page 5 of the Rates 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 Rates. We also urge you to consult your investment, legal, tax, accounting and other advisers before you invest in 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. If the Issuer or the Guarantor were to default on their respective payment obligations, you could lose some or all of your investment. Your investment in the Notes may result in a significant 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, meaning that the Final Level declines to less than 50% of the Initial Level as of the Valuation Date, you will lose more than 50%, and up to all, of your investment in the Notes. The Final Redemption Amount to which you are entitled at maturity will not reflect the appreciation, if any, in the level of the Index from the Initial Level to the Final Level. However, if the Final Level declines to less than 50% of the Initial Level as of the Valuation Date, you will be fully exposed to the negative performance of the Index. The higher potential yield offered by the Notes is associated with greater risk that the Notes will pay low or no interest during one or more Floating Rate Interest Periods. The Notes offer variable contingent interest payments with the potential to result in a higher yield than the yield on our conventional debt securities of the same maturity. You should understand that, in exchange for this potentially higher yield, you will be exposed to significantly greater risks than investors in our conventional debt securities. These risks include the risk that the interest payments you receive during the Floating Rate Interest Periods, if any, will result in a yield on the securities that is lower, and perhaps significantly lower, than the yield on our conventional debt securities of the same maturity. The CMS30/CMS2 Spread and the Index Level are important factors affecting this risk. Greater expected volatility of the CMS30/CMS2 Spread and/or the Index Level as of the Trade Date may contribute to the higher yield potential, but would also represent a greater expected likelihood as of the Trade Date that the Notes will pay low or no interest during one or more Floating Rate Interest Periods. After the first year of the term of the notes, if the applicable CMS30/CMS2 Spread is zero or less than zero, or if the Index Level is below the Accrual Level for an extended period of time, we will not pay any interest on the Notes in respect of such periods, and the value of the Notes will decrease. It is also possible that the applicable CMS30/CMS2 Spread in respect of a Floating Rate Interest Period will be so low, or that the Index Level will be below the Accrual Level for so many days during a given Floating Rate Interest Period that the interest payment for such Floating Rate Interest Period will be less than the amount that would be paid on an ordinary debt security issued by us with comparable maturity. Such amount could be as low as zero. To the extent that the applicable CMS30/CMS2 Spread is close to, at or below zero, or that the Index Level is below the Accrual Level, the market value of the Notes may decrease and you may receive substantially less than 100% of the Issue Price if you wish to sell your Notes at such time. Furthermore, even if you receive your initial investment at maturity you may nevertheless suffer a loss on your investment in the Notes, in real value terms. This is because inflation may cause the real value of your initial investment in the Notes to be less at maturity than it is at the time you invest, and because an investment in the Notes represents a forgone opportunity to invest in an alternative asset that does generate a positive return, in real value terms. Any payment on the Notes is subject to our ability to pay our obligations as they become due. You should carefully consider whether an investment that may not provide for any return on your investment, or may provide a return that is lower than the return on alternative investments, is appropriate for you. The amount of interest payable on the Notes with respect to any Floating Rate Interest Period is capped at the Maximum Interest Rate of 10.00% per annum, and the amount of interest you will be entitled to receive may be less than the return you could earn on other investments with a comparable maturity. Because of the Multiplier of PS-9

11 8.00 and the Maximum Interest Rate of 10.00% per annum, you will not receive the benefit of any increase in the CMS30/CMS2 Spread above 1.25%, and the maximum Interest Amount you may receive in respect of any Floating Rate Interest Period is $8.33 per Calculation Amount. If the CMS30/CMS2 Spread is below 1.25% with respect to any Reference Date in a given year, you will receive less than 10.00% per annum interest for such year, regardless of the number of days in such year that the Index Level is greater than or equal to the Accrual Level and the extent to which the CMS30/CMS2 Spread may exceed 1.25% on any other Reference Date occurring in such year. The variable rate of interest that is applicable to the Notes after the first year of their term is dependent on both the Reference Rate and the Index, and may be negatively affected by adverse movements in ether regardless of the performance of the other. It is impossible to predict how the Reference Rate or the Index will behave or whether one will have an impact on the other. It is also possible that the Reference Rate and the Index are positively correlated, negatively correlated, or uncorrelated with each other such that you will receive little or below-market Interest Amount over the term of the Notes, and may lose a portion of your principal amount. You may not receive any interest with respect to the days from and including the Index Cutoff Date to but excluding the relevant Interest Payment Date, even if the Index Level as actually determined on any of those days were to be greater than or equal to the Accrual Level. Because the Index Level with respect to each day from and including the Index Business Day prior to the related Interest Payment Date for any Floating Rate Interest Period to but excluding such related Interest Payment Date will be equal to the Index Level in effect on the relevant Index Cutoff Date, if the Index Level on that Index Business Day is less than the Accrual Level, you will not receive any interest with respect to the days from and including the Index Cutoff Date to but excluding the relevant Interest Payment Date, even if the Index Level as actually determined on any of those days were to be greater than or equal to the Accrual Level. If the Index Level is not available for any reason on a calendar day (including weekends and holidays), the Index Level will be the same as on the immediately preceding calendar day. Because days on which the Index Level is not available will be the same as on the immediately preceding calendar day, the relative weighting of such immediately preceding calendar day will be magnified for purposes of determining whether Index Level is greater than or equal to the Accrual Level on such calendar day. Under these circumstances, if Index Level is not greater than or equal to the Accrual Level on an immediately preceding calendar day, each successive day on which the Index Level is not available will also not be a day on which Index Level is greater than or equal to the Accrual Level. As a result, to the extent that Index Level is not greater than or equal to the Accrual Level on such preceding calendar day, such preceding calendar day will have a greater weight in determining the number of Accrual Days during an Floating Rate Interest Period. This could adversely affect the amount of any monthly interest payment. For the avoidance of doubt, the forgoing does not apply to the determination of the Final Level on the Valuation Date; see Additional Provisions Index Level herein for additional information. The historical performance of the CMS30/CMS2 Spread and the Index should not be taken as indications of their future performance during the term of the Notes. Changes in the levels of the CMS30/CMS2 Spread and the Index will affect the value of the Notes, but it is impossible to predict whether such levels will rise or fall. There may be little or no secondary market for the Notes. The Notes will not be listed or displayed on any securities exchange or quotation system. 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 interest payable on the Notes is higher than that of our other debt instruments, which consideration will include our expectations with respect to the level of the Index and the CMS30/CMS2 Spread. 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. 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. PS-10

12 We have entered or will enter into one or more hedging transactions in connection with this offering of Notes with a counterparty, which may be an affiliate of ours or of the Selected Dealer s. We may hedge our obligations under the Notes by, among other things, purchasing securities, futures, options or other derivative instruments with returns linked or related to the CMS Rates or the Index, and we may adjust these hedges by, among other things, purchasing or selling securities, futures, options or other derivative instruments at any time. Our cost of hedging will include the projected profit that our counterparty expects to realize in consideration for assuming the risks inherent in hedging our obligations under the Notes. Because hedging our obligations under the Notes entails risk and may be influenced by market forces beyond our or our counterparty s control, such hedging may result in a profit that is more or less than expected, or could result in a loss. It is possible that we or our counterparty may profit from this hedging activity, even if the value of the Notes declines. In the future, NSA, the Selected Dealer, or any of their affiliates may repurchase and resell the offered Notes in market making transactions, with resales being made at prices related to prevailing market prices at the time of resale or at negotiated prices. The Notes are a new issue of securities with no established trading market. No assurance can be given as to the liquidity or existence of any trading market for the Notes. Potential conflicts of interest may exist between the Calculation Agent and the investors, including with respect to the exercise of the discretionary powers of the Calculation Agent. We and our affiliates play a variety of roles in connection with the issuance of the Notes, including acting as Calculation Agent and as agent of the issuer for the offering of the Notes, hedging our obligations under the Notes. In performing these duties, the economic interests of us and our affiliates are potentially adverse to your interests as an investor in the Notes. Further, hedging activities and purchases and sales by Natixis and its affiliates may adversely affect your return on the Notes. Any profit in connection with hedging activities will be in addition to any other compensation that we and our affiliates receive for the sale of the Notes, which creates an additional incentive to sell the Notes to you. The notes may pay below-market or no interest if short-term interest rates rise. Although there is no single factor that determines CMS spreads, CMS spreads have historically tended to fall when short-term interest rates rise. Short-term interest rates have historically been highly sensitive to the monetary policy of the Federal Reserve Board. Accordingly, one significant risk assumed by investors in the notes is that the Federal Reserve Board may pursue a policy of raising short-term interest rates, which, if historical patterns hold, would lead to a decrease in the CMS spread. In that event, the floating rate payable on the notes may decline significantly, possibly to 0%. It is important to understand, however, that short-term interest rates are affected by many factors and may increase even in the absence of a Federal Reserve Board policy to increase short-term interest rates. Furthermore, it is important to understand that the CMS spread may decrease even in the absence of an increase in short term interest rates because it, too, is influenced by many complex factors. The Floating Interest Rate on the notes may be lower than other market interest rates. The Floating Interest Rate on the notes will not necessarily move in line with general U.S. market interest rates or even CMS rates and, in fact, may move inversely with general U.S. market interest rates, as described in the preceding risk factor. For example, if there is a general increase in CMS rates but shorter-term rates rise more than longer-term rates, the CMS spread will decrease, as will the floating rate payable on the notes. Accordingly, the notes are not appropriate for investors who seek floating interest payments based on general market interest rates. The difference between CMS30 and CMS2 may not be as great as the difference between CMS30 and a CMS rate with a shorter maturity. The floating interest payments on the notes may be less than they would be if the notes were linked to the spread between CMS30 and a CMS rate with a shorter maturity than 2 years. The method by which CMS30 and CMS2 are calculated may change in the future, as a result of governmental actions, actions by the publisher of CMS30 and CMS2 or otherwise. We cannot predict whether the method by which CMS30 or CMS2 is calculated will change or what the impact of any such change might be. Any such change could affect the level of the CMS spread in a way that has a significant adverse effect on the notes. No dividend payments or ownership rights. 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, nor will you participate in any appreciation of the Index over the term of the Notes. 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. PS-11