NATIXIS US MEDIUM-TERM NOTE PROGRAM 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 dated December 1, 2017 (Subject to Completion) To the Index Product Supplement dated April 22, 2016 (the Index Product Supplement ) and the Base Offering Memorandum dated April 22, 2016 (the Base Offering Memorandum ) Relating to the Natixis US Medium Term Note Program NATIXIS US MEDIUM-TERM NOTE PROGRAM LLC Series 2017-[ ] Guaranteed by the New York Branch of Natixis Phoenix Autocallable Notes due December 30, 2024 Linked to the Lowest Performing of Two Indices (the Russell 2000 Index and the S&P 500 Index) Principal at Risk Securities Summary Terms This Pricing Supplement relates to the offering of the Series 2017-[ ] Notes (the Notes ). The Notes are linked to the performance of the Indices set forth in Table #1. The Notes will pay a Contingent Coupon equal to $15.00 per $1,000 Calculation Amount of Notes (equivalent to a Contingent Coupon Rate of 1.50% per calendar quarter or 6.00% per annum) on each periodic Contingent Coupon Payment Date, if and only if, on the related Contingent Coupon Observation Date, the Closing Level of each Index is greater than or equal to its Barrier Level as set forth in Table #1. Otherwise, no Contingent Coupon will be paid on the immediately following Contingent Coupon Payment Date. Beginning on December 31, 2018, the Notes will be automatically redeemed in whole (but not in part) for a cash payment equal to the Calculation Amount of $1,000 on any Automatic Early Redemption Date if the Closing Level of each Index on the immediately preceding Automatic Early Redemption Valuation Date is greater than or equal to its Automatic Early Redemption Level, as set forth in Table #1. At maturity, if the Notes have not previously been automatically redeemed: If the Final Level of the Lowest Performing Index is greater than or equal to its applicable Knock-in Level (70% of its Initial Level), then your Final Redemption Amount per $1,000 Calculation Amount of Notes will be a cash payment of $1,000. If the Final Level of the Lowest Performing Index is less than its Knock-in Level, then the Final Redemption Amount will be significantly less than the Principal Amount of your Notes, resulting in a loss of 1% (or a fraction thereof) of the Principal Amount for every 1% (or a fraction thereof) that the Final Level of the Lowest Performing Index is less than its Initial Level. In this case, you will lose a significant portion or all of your investment. The Notes have a term of approximately 7 years. The Maturity Date is December 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. Any 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-[12] of this Pricing Supplement, Risk Factors Relating to the Notes beginning on page 6 of the accompanying Index 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 Placement 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. By acquiring the Notes, you acknowledge, accept, consent to and agree to be bound by the effect of the exercise of the Bail-in Power and acknowledge and agree that the terms of the Notes are subject to, and may be varied, if necessary, to give effect to, the exercise of the Bail-in Power by the Relevant Resolution Authority. Upon the exercise of the Bail-in Power, you may lose some or all of your investment. Please see Terms and Conditions of the Notes of the Base Offering Memorandum 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 Terms of the Notes Please refer to the information and definitions included in the accompanying Base Offering Memorandum and Index Product Supplement, including information on important consequences in the event of certain changes to an Index or a trading, exchange or market disruption with respect to the Indices. Unless otherwise stated in this Pricing Supplement, these Notes will incorporate by reference the terms of Index-Linked Notes (Basket) as described in the Index Product Supplement with respect to the Indices. Unless otherwise defined herein, capitalized terms used in this Pricing Supplement have the definitions assigned to them in the accompanying Index Product Supplement or the Base Offering Memorandum. General Terms: Issuer: Calculation Agent: Guarantor: Placement Agent: Specified Currency: Denomination/Principal Amount per Note: Natixis US Medium-Term Note Program LLC Natixis Natixis acting through its New York Branch Natixis Securities Americas LLC USD Calculation Amount: $1,000 Aggregate 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 less than $10,000. $[ ] Issue Price: 100% CUSIP / ISIN: 63873HNQ3/ US63873HNQ38 Strike Date: Expected to be December 26, 2017 Trade Date: Expected to be December 26, 2017 Issue Date: Expected to be December 29, 2017 Final Valuation Date: Maturity Date: Table #1: December 24, 2024, subject to the Valuation Postponement provisions set forth below. December 30, 2024, subject to the Valuation Postponement provisions set forth below. Index Russell 2000 Index S&P 500 Index Ticker Symbol RTY SPX Index Sponsor Russell Investments Standard & Poor's Initial Level $[ ] $[ ] Automatic Early Redemption Level $[ ] (100% of the Initial Level) $[ ] (100% of the Initial Level) Barrier Level $[ ] (75% of the Initial Level) $[ ] (75% of the Initial Level) Knock-in Level $[ ] (70% of the Initial Level) $[ ] (70% of the Initial Level) Indices: Index Sponsor: Closing Level: Initial Level: Final Level: Barrier Level: Separate Valuation: Principal at Risk: As set forth in Table #1 (above). See Description of the Indices below. As set forth in Table #1 (above). On any Scheduled Trading Day, the Closing Level of each Index is the official closing level of such Index on such Scheduled Trading Day, as determined by the Calculation Agent, subject to the terms and conditions set forth in the definition of Valuation Time in Terms and Conditions of the Index-Linked Notes (Basket) of the Index Product Supplement. The Initial Level of each Index is the Closing Level of such Index on the Strike Date, as set forth in Table #1 (above), subject to the terms and conditions set forth in the definition of Initial Level in Terms and Conditions of the Index-Linked Notes (Basket) of the Index Product Supplement. The Final Level of each Index is the Closing Level of such Index on the Final Valuation Date. As set forth in Table #1 (above). Applicable. For additional information, see Terms and Conditions of the Index-Linked Notes (Basket) of the Index Product Supplement. As set forth under Payment at Maturity below, you may lose all or a substantial portion of your initial investment at maturity if the Final Level of the Lowest Performing Index is below its Knock-in Level.

3 Commissions and Issue Price: Price to Public (i) Discounts and Commissions(ii) Proceeds to issuer Per Note... $1,000 $32.50 $ Total... $[ ] $[ ] $[ ] (i) (ii) The proceeds you might receive if you were able to resell the Notes on the Trade Date are expected to be less than the Issue Price of the Notes. This is because the Issue Price includes the Placement Agent and Selected Dealers discounts and commissions set forth above and also reflects certain hedging costs associated with the Notes. We are offering the Notes through our affiliate Natixis Securities Americas LLC ( NSA ), acting as Placement Agent. Selected Dealers will purchase the Notes from the Placement Agent at an agreed concession of up to $32.50 per $1,000 Calculation Amount. Please see Supplemental Plan of Distribution (Conflicts of Interest) on the last page of this Pricing Supplement for additional information about fees and commissions. Payment of Contingent Coupon: Contingent Coupon: Subject to Automatic Early Redemption, if on any Contingent Coupon Observation Date, the Closing Level of each Index on such Contingent Coupon Observation Date is greater than or equal to its Barrier Level, as determined by the Calculation Agent, then we will pay the Contingent Coupon of $15.00 per $1,000 Calculation Amount of Notes on the corresponding Contingent Coupon Payment Date Contingent Coupon Rate: Contingent Coupon Observation Dates / Contingent Coupon Payment Dates: You may not receive any Contingent Coupon on any Contingent Coupon Payment Date or even over the entire term of the Notes. 1.50% per calendar quarter (representing a Contingent Coupon Rate of 6.00% per annum) Quarterly. Each Contingent Coupon Observation Date and the corresponding Contingent Coupon Payment Date is as set forth below. Each Contingent Coupon Observation Date is subject to Valuation Postponement and each Contingent Coupon Payment Date is subject to Valuation Postponement and the Business Day Convention as described below. Contingent Coupon Observation Date Contingent Coupon Payment Date 1 March 26, 2018 March 29, June 26, 2018 June 29, September 26, 2018 October 1, December 26, 2018 December 31, March 26, 2019 March 29, June 26, 2019 July 1, September 25, 2019 September 30, December 24, 2019 December 30, March 25, 2020 March 30, June 24, 2020 June 29, September 24, 2020 September 29, December 23, 2020 December 29, March 24, 2021 March 29, June 24, 2021 June 29, September 24, 2021 September 29, December 23, 2021 December 29, March 24, 2022 March 29, June 24, 2022 June 29, September 26, 2022 September 29, December 23, 2022 December 29, March 24, 2023 March 29, June 26, 2023 June 29, September 26, 2023 September 29, December 26, 2023 December 29, March 26, 2024 March 29, June 26, 2024 July 1, September 25, 2024 September 30, December 24, 2024 December 30, 2024 (The Final Valuation Date) (The Maturity Date) PS-3

4 Barrier Level For each Index, 75% of the Initial Level of such Index, as determined by the Calculation Agent, as set forth in Table #1 (above). Payment upon Automatic Early Redemption: Automatic Early Redemption Event: Automatic Early Redemption Level: Automatic Early Redemption Amount: Automatic Early Redemption and Automatic Early Redemption Rate: An Automatic Early Redemption Event occurs if the Closing Level of each Index on any Automatic Early Redemption Valuation Date, as determined by the Calculation Agent, is greater than or equal to its Automatic Early Redemption Level. 100% of the Initial Level, as set forth in Table #1 (above). The Automatic Early Redemption Amount per Calculation Amount of Notes is equal to the Calculation Amount. If an Automatic Early Redemption Event occurs on any quarterly Automatic Early Redemption Valuation Date, the Notes will be automatically redeemed in whole, but not in part, on the Automatic Early Redemption Date immediately following such Automatic Early Redemption Valuation Date (subject to Business Day Convention and Valuation Postponement described below), at a cash redemption price equal to the Automatic Early Redemption Amount. In addition, we will pay the Contingent Coupon due on the Contingent Coupon Payment Date occurring on the Automatic Early Redemption Date. Each Automatic Early Redemption Valuation Date and the related Automatic Early Redemption Date and Automatic Early Redemption Rate are set forth below: Automatic Early Redemption Valuation Date Automatic Early Redemption Date 1 December 26, 2018 December 31, March 26, 2019 March 29, June 26, 2019 July 1, September 25, 2019 September 30, December 24, 2019 December 30, March 25, 2020 March 30, June 24, 2020 June 29, September 24, 2020 September 29, December 23, 2020 December 29, March 24, 2021 March 29, June 24, 2021 June 29, September 24, 2021 September 29, December 23, 2021 December 29, March 24, 2022 March 29, June 24, 2022 June 29, September 26, 2022 September 29, December 23, 2022 December 29, March 24, 2023 March 29, June 26, 2023 June 29, September 26, 2023 September 29, December 26, 2023 December 29, March 26, 2024 March 29, June 26, 2024 July 1, September 25, 2024 September 30, 2024 Payment at Maturity: Final Redemption Amount: At maturity, if the Notes have not previously been automatically redeemed, we will pay a Final Redemption Amount in cash per $1,000 Calculation Amount of Notes as follows: If a Knock-in Event has NOT occurred, $1,000 in cash; or If a Knock-in Event HAS occurred: $1,000 + ($1,000 x Index Performance of the Lowest Performing Index) If a Knock-in Event has occurred, you will lose a significant portion or all of your investment. PS-4

5 Knock-in Event: Knock-in Level: Lowest Performing Index: Index Performance: Additional Terms: Applicable. A Knock-in Event occurs if the Final Level of the Lowest Performing Index, as determined by the Calculation Agent, is less than its Knock-in Level. With respect to each Index, as set forth in Table #1 (above). Means, the Index with the Lowest Index Performance. Means, in respect of each Index, (i) the Final Level of such Index minus its Initial Level (ii) divided by its Initial Level. Valuation Postponement: Valuation Date: Specific Number: Business Day Convention: Business Day: Scheduled Trading Day: If any Scheduled Trading Day on which the Closing Level of an Index is to be determined is a Disrupted Day, then such date for such Index will be postponed to the next day that is not a Disrupted Day within the limit of days specified under Specific Number. If the last day within the limit of days specified under Specific Number is a Disrupted Day, then such last day will be the day on which the Closing Level of an Index is determined, notwithstanding the fact that such day is a Disrupted Day, and the relevant level will be the Calculation Agent s good faith estimate of the level of the Index as of the Valuation Time on such date. If the postponement of any Valuation Date makes it impossible to calculate the payment due on any Notes on the related Contingent Coupon Payment Date, the Automatic Early Redemption Date and/or the Maturity Date (as the case may be), then such payment will be postponed until the first Business Day following the Scheduled Trading Day on which such calculation is possible within the limit of days specified under Specific Number below, and for the avoidance of doubt, no additional interest shall accrue or be payable as a result of such postponement. Any Contingent Coupon Observation Date, Automatic Early Redemption Valuation Date and the Final Valuation Date. In respect of any Valuation Date: 3 Scheduled Trading Days. Following Business Day Convention. If a scheduled Contingent Coupon Payment Date, Automatic Early Redemption Date or the Maturity Date (as applicable) is not a Business Day, then any 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. With respect to any Index, any day on which the (i) the applicable Index Sponsor is scheduled to publish the level of such Index; and (ii) the Related Exchange is scheduled to be open for trading for its regular trading sessions (see the full definition of Scheduled Trading Day in Terms and Conditions of the Index-Linked Notes (Basket) in the Index Product Supplement). PS-5

6 Additional Terms Specific to the Notes You should read this Pricing Supplement together with the Base Offering Memorandum relating to our medium-term notes, of which the Notes are a part, dated April 22, 2016, and as may be further supplemented from time to time, as well as the more detailed information contained in the Index Product Supplement dated April 22, This Pricing Supplement, together with the documents listed below, contains the terms of the Notes and supersedes 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 the Notes in the Index Product Supplement and in 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 Index Product Supplement and the Base Offering Memorandum as follows: Index Product Supplement dated April 22, 2016: Base Offering Memorandum dated April 22, 2016: 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 2016 (document de référence) (the 2016 Natixis Registration Document ), available at: Registration Document, and the first update to the 2016 Natixis Registration Document, available at Update to the Natixis 2016 Registration Document.pdf, 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-6

7 Hypothetical Examples of Amounts Payable on the Notes The tables and hypothetical example set forth below are for illustrative purposes only. The actual returns applicable to a purchaser of the Notes will be determined on the Observation Dates (including on any Automatic Early Redemption Observation Date and the Valuation Date). The following results are based solely on the hypothetical examples cited below. You should consider carefully whether the Notes are suitable to your investment goals. The numbers appearing below may have been rounded for ease of analysis. Hypothetical Contingent Coupon, Automatic Early Redemption and Final Redemption Amount Tables and Examples The tables and example below illustrate hypothetical Contingent Coupons and Automatic Early Redemption Amounts over the term of the Notes and Final Redemption Amounts payable at maturity on a $1,000 investment in the Notes. All payments on the Notes are subject to the credit risk of the Issuer and the Guarantor. The table below and examples are based on the following terms: the Notes have a term of exactly 7 years; the hypothetical Contingent Coupon Rate is equal to 1.50% per quarter (equivalent to 6.00% per annum) the hypothetical Contingent Coupon is equal to $15.00 per quarter (equivalent to $60.00 per annum); the hypothetical Barrier Level is 75% of the hypothetical Initial Level; the hypothetical Knock-in Level is 70% of the hypothetical Initial Level; and the Automatic Early Redemption Level is 100% of the hypothetical Initial Level. The actual Initial Level, Barrier Level and Knock-in Level are set forth in Terms of the Notes. For historical data regarding the actual Closing Levels of the Indices, please see the historical information set forth under the section Description of the Indices. The actual amounts on the Notes will depend on several variables, including: whether the Closing Level of each Index is greater than or equal to its Automatic Early Redemption Level on any Automatic Early Redemption Valuation Date; whether the Closing Level of any Index is less than its Barrier Level on any Contingent Coupon Observation Date; and whether the Final Level of the Lowest Performing Index is less than its Knock-in Level. It is not possible to predict by how much the level of an Index will fluctuate in comparison to its 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. Example of Contingent Coupon and Automatic Early Redemption Amount Payment: An Automatic Early Redemption Event occurs on the first Automatic Early Redemption Valuation Date because the Closing Level of each Index is greater than 100% of its Initial Level. On the first Automatic Early Redemption Valuation Date, the Closing Level of each Index closes above its Automatic Early Redemption Level of 100% of the Initial Level. The Notes are therefore called and redeemed at $1,000 per Note, and a Contingent Coupon of $15.00 per Note is paid on the related Contingent Coupon Payment Date. Because the Contingent Coupon Payment Date is the same as the Automatic Early Redemption Date, on such date, we will pay, per Calculation Amount, an amount equal to $1, PS-7

8 Hypothetical Final Redemption Amounts The table below illustrates the hypothetical Final Redemption Amounts per Calculation Amount of Notes for a hypothetical range of lowest Index Performances if the Notes have not been automatically called prior to the Final Valuation Date. Index Performance of Lowest Performing Index (%) Final Redemption Amount ($) Total Contingent Coupons 100% $1,000 90% $1,000 80% $1,000 70% $1,000 60% $1,000 50% $1,000 40% $1,000 30% $1,000 20% $1,000 10% $1,000 0% $1,000 (See Hypothetical Contingent Coupons table below) -10% $1,000-20% $1,000-30% $1,000-40% $600-50% $500-60% $400-70% $300-80% $200-90% $ % $0 Hypothetical Contingent Coupons The table below illustrates the hypothetical Contingent Coupons per Calculation Amount of Notes for a hypothetical range of lowest Index Performances if the Notes have not been automatically redeemed prior to the Final Valuation Date. Number of Contingent Coupon Observation Dates where the Closing Level of Any Index is less than its Barrier Level Total Contingent Coupons No Contingent Coupon Observation Date $ Contingent Coupon Observation Date $ Contingent Coupon Observation Dates $ Contingent Coupon Observation Dates $ Contingent Coupon Observation Dates $ Contingent Coupon Observation Dates $ Contingent Coupon Observation Dates $ Contingent Coupon Observation Dates $ Contingent Coupon Observation Dates $ Contingent Coupon Observation Dates $ Contingent Coupon Observation Dates $ Contingent Coupon Observation Dates $ Contingent Coupon Observation Dates $ Contingent Coupon Observation Dates $ Contingent Coupon Observation Dates $ Contingent Coupon Observation Dates $ Contingent Coupon Observation Dates $ Contingent Coupon Observation Dates $ Contingent Coupon Observation Dates $ Contingent Coupon Observation Dates $ Contingent Coupon Observation Dates $ Contingent Coupon Observation Dates $ Contingent Coupon Observation Dates $ Contingent Coupon Observation Dates $ Contingent Coupon Observation Dates $ Contingent Coupon Observation Dates $ Contingent Coupon Observation Dates $ Contingent Coupon Observation Dates $ Contingent Coupon Observation Dates $0.00 PS-8

9 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 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. Unlike conventional debt securities, your investment in the Notes may result in a loss. We may not pay you the Principal Amount of your Notes at maturity. If the Notes have not been automatically redeemed prior to maturity and if a Knock-in Event occurs (meaning that the Final Level of the Lowest Performing Index is less than its Knock-in Level), you will lose 1% (or a fraction thereof) for every 1% (or a fraction thereof) by which the Final Level of the Lowest Performing Index is less than its Initial Level. In this case, your Final Redemption Amount will be less, and potentially significantly less, than your Principal Amount. You could lose your entire investment. Unlike conventional debt securities, the Notes do not provide for regular fixed coupon payments. There can be no assurance that you will receive a Contingent Coupon on any Contingent Coupon Payment Date. Whether you receive a Contingent Coupon on any Contingent Coupon Payment Date will depend on the Closing Level of each Index on the preceding Contingent Coupon Observation Date. A Contingent Coupon will be payable on the Notes on the related Contingent Coupon Payment Date only if the Closing Level of each Index on the immediately preceding Contingent Coupon Observation Date is greater than or equal to its applicable Barrier Level. If the Closing Level of any Index on any Contingent Coupon Observation Date is less than its Barrier Level, you will not receive any Contingent Coupon on the immediately following Contingent Coupon Payment Date. It is possible that you will not receive any Contingent Coupons for the entire term of the Notes. If rates generally increase over the term of the Notes, it is more likely that the Contingent Coupon, if any, could be less than market rates at that time. This would have the further effect of decreasing the value of your Notes both nominally in terms of below-market coupon payments and in real terms. In addition, because the Contingent Coupon, if any, depends on the Closing Level of each Index on each Contingent Coupon Observation Date during the term of the Notes, it is possible that you will not be paid any Contingent Coupon (or you will be paid a below-market coupon relative to our conventional debt securities with a similar term) for the full term of the Notes, and still lose your investment. These Notes are not short-term investments, so you should carefully consider these risks before investing. The higher potential yield offered by the Notes is associated with greater risk that the Notes will not pay a Contingent Coupon on any Contingent Coupon Payment Date, or that you might lose some or all of your investment at maturity. The Notes may pay a Contingent Coupon, if any, 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 (i) the risk that the Contingent Coupons you receive, 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, (ii) the risk that you would lose some or all of your Principal Amount at maturity, and (iii) the risk of reduced potential for above-market coupon payments if the Notes are automatically redeemed. The volatility of the Indices is an important factor affecting these risks. Greater expected volatility of the Indices 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 you will receive low or no Contingent Coupons on the Notes or lose some or all of your investment at maturity. The Notes are subject to the credit risk of Natixis. Natixis, acting through its New York Branch, is Guarantor of any payments due on the Notes. Any actual or anticipated changes to Natixis credit ratings and credit spreads may adversely affect the market value of the Notes. Further, investors are dependent on the Issuer s ability to pay all amounts due on 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. The Notes are subject to a potential Automatic Early Redemption. The Notes will be automatically redeemed before maturity if on any Automatic Early Redemption Valuation Date, the Closing Level of each Index is greater than or equal to its Initial Level. If this occurs, we will pay the Contingent Coupon due on the Contingent Coupon Payment Date occurring on the Automatic Early Redemption Date and no further Contingent Coupons will be payable. If the Notes are automatically redeemed, you might not be able to reinvest the proceeds in another investment with a similar return profile, and your reinvestment return might be lower. The Notes will not pay more than the Principal Amount, plus any unpaid Contingent Coupons, at maturity or upon Automatic Early Redemption. The Notes will not pay more than the Principal Amount, plus any applicable Contingent Coupon, at maturity or upon Automatic Early Redemption, regardless of the performance (including any appreciation in the level) of any Index. You will be subject to risks relating to the relationship between the Indices. The Notes are linked to the individual performance of each Index. As such, the Notes will perform poorly if only one of the Indices performs poorly. Each additional Index to which the securities are linked increases the risk that the Notes will perform poorly. By investing in the Notes, you assume the risk that the performance of at least one of the Indices will be negative, regardless of the performance of the other Index. It is impossible to predict the relationship between the Indices. If the performances of the Indices exhibit no relationship to each other, it is more likely that one of the Indices will cause the Notes to perform poorly. However, if the performances of the components included in each Index are related such that the performances of the Indices are correlated, then there is less likelihood that only one Index will cause the Notes to perform poorly. Furthermore, to the extent that each Index represents a different market segment or asset class, the risk of one Index PS-9

10 performing poorly is greater. As a result, you are not only taking market risk on each Index, you are also taking a risk relating to the relationship among the Indices. The Notes are linked to the Russell 2000 Index and are subject to the risks associated with small-capitalization companies. The Russell 2000 Index is composed of equity securities issued by companies with relatively small market capitalization. These equity securities often have greater stock price volatility, lower trading volume and less liquidity than the equity securities of large capitalization companies, and are more vulnerable to adverse business and economic developments than those of large-capitalization companies. In addition, smallcapitalization companies are typically less established and less stable financially than large capitalization companies. These companies may depend on a small number of key personnel, making them more vulnerable to loss of personnel. Such companies tend to have smaller revenues, less diverse product lines, smaller shares of their product or service markets, fewer financial resources and less competitive strengths than large-capitalization companies and are more susceptible to adverse developments related to their products. Therefore, the Russell 2000 Index may be more volatile than it would be if it were composed of equity securities issued by large-capitalization companies. Your return on the Notes will depend on the Closing Level or the Final Level (as the case may be) of each Index on the Automatic Early Redemption Valuation Dates or the Final Valuation Date, as applicable. A significant movement in the Closing Level or the Final Level (as the case may be) of each Index on the Automatic Early Redemption Valuation Dates or the Final Valuation Date, as applicable, may adversely affect your return on the Notes. You are subject to the risk that the Closing Level or the Final Level, as applicable, of each Index may be lower on the Automatic Early Redemption Valuation Dates or the Final Valuation Date, as applicable, than on one or more other dates during the term of the Notes, including on other dates near the Automatic Early Redemption Valuation Dates or the Final Valuation Date, as applicable. If the Closing Level of each Index is less than its Initial Level on each Automatic Early Redemption Valuation Date, then your return on the Notes will depend on the Final Level of the Lowest Performing Index. You will have no ownership rights relating to each Index. The return on the Notes may not reflect the return you would realize if you directly invested in each Index, the components of such Index or any other exchange-traded or over-the-counter instruments based on such Index or the components of such Index. You will have no rights against the Index Sponsor for each Index. The Index Sponsor for each Index will make important determinations with respect to such Index. For example, the Index Sponsor for each Index calculates the levels of such Index, and the Index Sponsor for each Index may modify or change its current methodology for calculating such Index in a manner that may affect your return on the Notes. Investors will have no rights against the Index Sponsor for each Index even if the Index Sponsor decides to suspend the calculation of such Index and this suspension adversely impacts the amount investors receive at maturity. The Index Sponsor was not involved in creating the Notes and it has no obligation to consider your interests. It is impossible to predict whether the Closing Level of the Indices will rise or fall during the term of the Notes. The Indices will be influenced by complex and interrelated political, economic, financial and other factors. Historical performance of the Indices should not be taken as an indication of their future performance during the term of the Notes. The market price of the Notes will be influenced by many unpredictable factors. Several factors, many of which are beyond our control, will influence the value of the Notes in the secondary market and the price at which Natixis may be willing to purchase or sell the Notes in the secondary market. Moreover, it is often the case that liquid trading markets do not develop for complex instruments such as the Notes. We expect that generally the level of each Index on any Scheduled Trading Day, including in relation to its Barrier Level and Knock-in Level will affect the value of the Notes more than any other single factor. Other factors that may influence the value of the Notes include: o o o o o the actual and expected volatility of the Indices; the time to maturity of the Notes; interest and yield rates in the market generally; geopolitical conditions and economic, financial, political, regulatory or judicial events that affect stock markets generally and that may affect the level of each Index; and our creditworthiness, including actual or anticipated downgrades in our credit ratings. In seeking to provide investors with what we believe to be commercially reasonable terms for the Notes while providing NSA and the Selected Dealers with compensation for their 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 NSA is obligated to make a market for, or to repurchase, the Notes. 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. 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 Indices, 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. Natixis may make purchases and sales of the Notes but is not required to do so. 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 PS-10

11 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 of instruments relating to the Indices 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 Calculation Agent will make important determinations with respect to the Notes. If certain events occur, such as Market Disruption Events or the discontinuance of any Index, Natixis, as Calculation Agent, will be required to make discretionary judgments that could significantly affect your return on the Notes. In making these judgments, the Calculation Agent s interests could be adverse to your interests as a holder of the Notes. The Notes may be subject to the effect of the exercise of the Bail-in Power and you could lose some or all of your investment. The Bail-in Power is any power existing from time to time under any laws, regulations rules or requirements in effect in France, relating to the transposition of Directive 2014/59/EU establishing a framework for the recovery and resolution of credit institutions and investment firms. The exercise of any Bail-in Power by the Autorité de contrôle prudentiel et de resolution (the Relevant Resolution Authority ) may result in any of the following or some combination thereof: o o o o the reduction of all or a portion of the principal amount of the Notes, any accrued and unpaid interest and any other amounts due and payable on the Notes (the Amounts Due ); the conversion of all or a portion of the Amounts Due into shares, other securities or other obligations of Natixis or another person; the cancellation of the Notes; or the amendment or alteration of the maturity of the Notes or amendment or the amount of interest payable on the Notes, or the date on which the interest becomes payable, including by suspending payment for a temporary period. Please see Terms and Conditions of the Notes in the Base Offering Memorandum for additional information. No statutory, judicial or administrative authority directly addresses the characterization of the Notes or instruments similar to the Notes for U.S. federal income tax purposes. As a result, significant aspects of the U.S. federal income tax consequences of an investment in the Notes are not certain. No ruling is being requested from the Internal Revenue Service (the IRS ) with respect to the Notes and no assurance can be given that the IRS will agree with the conclusions expressed under Supplemental Information Regarding Taxation in the United States below, Certain Additional United States Federal Income Tax Considerations in the accompanying Equity Product Supplement and Taxation United States Taxation in the accompanying Base Offering Memorandum. It is also possible that future U.S. legislation, regulations or other IRS guidance would require you to treat the Notes in a manner that significantly differs from the agreed-to treatment discussed under Supplemental Information Regarding Taxation in the United States below, Certain Additional United States Federal Income Tax Considerations in the accompanying Equity Product Supplement and Taxation United States Taxation in the accompanying Base Offering Memorandum, and that such guidance could have retroactive effect. In addition to these 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 Description of the Indices The Russell 2000 Index The following information is based on information published by the Russell 2000 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 Russell 2000 Index Sponsor. General The Russell 2000 Index was developed by Russell Investments ( Russell ) before FTSE International Limited and Russell combined in 2015 to create FTSE Russell, which is wholly owned by London Stock Exchange Group. Russell began dissemination of the Russell 2000 Index (Bloomberg L.P. index symbol RTY ) on January 1, FTSE Russell calculates and publishes the Russell 2000 Index. The Russell 2000 Index was set to 135 as of the close of business on December 31, The Russell 2000 Index is designed to track the performance of the small capitalization segment of the U.S. equity market. As a subset of the Russell 3000 Index, the Russell 2000 Index consists of the smallest 2,000 companies included in the Russell 3000 Index. The Russell 3000 Index measures the performance of the largest 3,000 U.S. companies, representing approximately 98% of the investable U.S. equity market. The RTY is determined, comprised, and calculated by FTSE Russell without regard to the Notes. Selection of Stocks Underlying the Russell 2000 Index All companies eligible for inclusion in the Russell 2000 Index must be classified as a U.S. company under FTSE Russell s country-assignment methodology. If a company is incorporated, has a stated headquarters location, and trades in the same country (American Depositary Receipts and American Depositary Shares are not eligible), then the company is assigned to its country of incorporation. If any of the three factors are not the same, FTSE Russell defines three Home Country Indicators ( HCIs ): country of incorporation, country of headquarters, and country of the most liquid exchange (as defined by a two-year average daily dollar trading volume) ( ADDTV ) from all exchanges within a country. Using the HCIs, FTSE Russell compares the primary location of the company s assets with the three HCIs. If the primary location of its assets matches any of the HCIs, then the company is assigned to the primary location of its assets. If there is insufficient information to determine the country in which the company s assets are primarily located, FTSE Russell will use the primary country from which the company s revenues are primarily derived for the comparison with the three HCIs in a similar manner. FTSE Russell uses the average of two years of assets or revenues data to reduce potential turnover. If conclusive country details cannot be derived from assets or revenues data, FTSE Russell will assign the company to the country of its headquarters, which is defined as the address of the company s principal executive offices, unless that country is a Benefit Driven Incorporation BDI country, in which case the company will be assigned to the country of its most liquid stock exchange. BDI countries include: Anguilla, Antigua and Barbuda, Aruba, Bahamas, Barbados, Belize, Bermuda, Bonaire, British Virgin Islands, Cayman Islands, Channel Islands, Cook Islands, Curacao, Faroe Islands, Gibraltar, Guernsey, Isle of Man, Jersey, Liberia, Marshall Islands, Panama, Saba, Sint Eustatius, Sint Maarten, and Turks and Caicos Islands. For any companies incorporated or headquartered in a U.S. territory, including countries such as Puerto Rico, Guam, and U.S. Virgin Islands, a U.S. HCI is assigned. All securities eligible for inclusion in the Russell 2000 Index must trade on a major U.S. exchange. Stocks must have a closing price at or above $1.00 on their primary exchange on the last trading day in May to be eligible for inclusion during annual reconstitution. However, in order to reduce unnecessary turnover, if an existing member s closing price is less than $1.00 on the last day of May, it will be considered eligible if the average of the daily closing prices (from its primary exchange) during the month of May is equal to or greater than $1.00. Initial public offerings are added each quarter and must have a closing price at or above $1.00 on the last day of their eligibility period in order to qualify for index inclusion. If an existing stock does not trade on the rank day (typically the last trading day in May but a confirmed timetable is announced each spring), but does have a closing price at or above $1.00 on another eligible U.S. exchange, that stock will be eligible for inclusion. An important criterion used to determine the list of securities eligible for the Russell 2000 Index is total market capitalization, which is defined as the market price as of the rank day in May for those securities being considered at annual reconstitution times the total number of shares outstanding. Where applicable, common stock, non-restricted exchangeable shares and partnership units/membership interests are used to determine market capitalization. Any other form of shares such as preferred stock, convertible preferred stock, redeemable shares, participating preferred stock, warrants, rights, installment receipts or trust receipts, are excluded from the calculation. If multiple share classes of common stock exist, they are combined to determine total shares outstanding. In cases where the common stock share classes act independently of each other (e.g., tracking stocks), each class is considered for inclusion separately. If multiple share classes exist, the pricing vehicle will be designated as the share class with the highest two-year trading volume as of the rank day in May. Companies with a total market capitalization of less than $30 million are not eligible for the Russell 2000 Index. Similarly, companies with only 5% or less of their shares available in the marketplace are not eligible for the Russell 2000 Index. Royalty trusts, limited liability companies, closed-end investment companies (companies that are required to report Acquired Fund Fees and Expenses, as defined by the SEC, including business development companies), blank check companies, special purpose acquisition companies, and limited partnerships are also ineligible for inclusion. Exchange traded funds and mutual funds are also excluded. Bulletin board, pink sheets, and over-the-counter ( OTC ) traded securities are not eligible for inclusion. Annual reconstitution is a process by which the Russell 2000 Index is completely rebuilt. Based on closing levels of the company s common stock on its primary exchange on the rank day of May of each year, FTSE Russell reconstitutes the composition of the Russell 2000 Index using the then existing market capitalizations of eligible companies. Reconstitution of the Russell 2000 Index occurs on the last Friday in June or, when the last Friday in June is the 29th or 30th, reconstitution occurs on the prior Friday. In addition, FTSE Russell adds initial public offerings to the Russell 2000 Index on a quarterly basis based on total market capitalization ranking within the market-adjusted capitalization breaks established during the most recent reconstitution. PS-12