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 March 11, 2016 (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 ) To the Base Offering Memorandum dated April 23, 2015 (the Base Offering Memorandum ) and to Supplement No. 1 to the Base Offering Memorandum dated December 28, 2015 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 2016-[ ] Callable Fixed-to-Floating Capped Range Accrual Notes due March 31, 2036 Maturity Swap Rate and the Lowest Performing of the S&P 500 Index and the Russell 2000 Index As further described below, the Notes will be subject to our redemption right after one year. For the first four years of the term of the Notes, interest will accrue monthly at a rate of 9.00% per annum. Thereafter, interest will accrue monthly on the Notes at a variable per annum rate that is determined by multiplying (a) the product of the applicable Multiplier and the applicable CMS30/CMS2 Spread determined as of the Reference Date at the start of the Interest Period, and subject in each case 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 each of the S&P 500 Index and the Russell 2000 Index is greater than or equal to 65% of its respective closing level on March 28, 2016 (such level, the Accrual Level ) divided by the total number of calendar days in such Interest Period. The applicable Multiplier will be (i) for years five through ten, 8, and (ii) for years eleven through twenty, 10. 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, the S&P 500 Index consists of stocks of 500 component companies selected to provide a performance benchmark for the U.S. equity market based solely on the largest market capitalizations and the Russell 2000 Index is intended to track the performance of the small-cap segment of the U.S. equities market. You will not participate in any appreciation of the S&P 500 Index or the Russell 2000 Index. At maturity, if the Final Level of the Lowest Performing Index is greater than or equal to 50% of its Initial Level (the Knock-in Level ), then the Final Redemption Amount, at maturity, will be the principal amount per Note. If the Final Level of the Lowest Performing Index is less than its Knock-in Level at maturity, your Final Redemption Amount at maturity will be reduced by a percentage equal to the percentage decline of the Lowest Performing Index from its Initial Level to its 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. Because payments on the securities are based on the lowest performing of the Indices, a decline below the respective Accrual Level or Knock-in Level, as applicable, of either Index will result in few or no interest payments during the Floating Rate Interest Period and/or a significant loss of your investment, as applicable, even if the other Index has appreciated or has not declined as much. 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 per Note: 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. The principal amount of each Note is $1,000 (the Calculation Amount ). Trade Date: Expected to be March 28, 2016 Issue Date: March 31, 2016 Maturity Date: Expected to be March 31, 2036, subject to the Business Day Convention as described below. If the Valuation Date is postponed due to a Market Disruption Event or otherwise, 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 forty-eight monthly Interest Periods (from and including the Issue Date to but excluding March 31, 2020), the applicable interest rate will 9.00% per annum (the Initial Interest Rate ), subject to an Issuer Call. The Notes are subject to an Issuer Call commencing on March 31, For each Interest Period (each, a Floating Rate Interest Period ) commencing on and including March 31, 2020 to but excluding the Maturity Date, 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 of each Index is greater than or equal to its Accrual Level; and ACT = the total number of calendar days in the applicable Interest Period. Beginning March 31, 2020, 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. In addition, if with respect to any calendar day in any Floating Rate Interest Period, the Index Level for any Index is below its Accrual Level, no interest will accrue in respect of such day. Multiplier: From and including March 31, 2020 to but excluding March 31, 2026: 8 From and including March 31, 2026 to but excluding the Maturity Date: 10 Reference Rate: For any Floating Rate Interest Period, an amount determined by the Calculation Agent equal to the CMS30/CMS2 Spread on the relevant Reference Date. CMS30/CMS2 Spread: 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. CMS Rates: 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. Maximum Interest Rate: 10.00% per annum Minimum Interest Rate: 0.00% per annum Placement Agent: Natixis Securities Americas LLC Terms continued on the following page Commissions and issue price: Price to Investors (1) Discounts and Commissions (3) Proceeds to Us Per Note $1,000 (2) $35.00 $ 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) The Notes will be sold with a minimum denomination of $10,000 and integral multiples of $1,000 in excess thereof. No person may, at any time, purchase or transfer Notes in an amount less than $10,000. (3) Please see Supplemental Plan of Distribution (Conflicts of Interest) on the last page of this Pricing Supplement for additional information about fees and commissions. Investing in the Notes involves significant risks. See Selected Risk Considerations on page PS-[10] 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. By acquiring the Notes, you acknowledge, accept, consent and agree to be bound by the effect of the exercise of the Bail-in Power and that the terms of the Notes are subject to, and may be varied, if Natixis Securities Americas LLC

2 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 in Supplement No. 1 to the Base Offering Memorandum dated December 28, 2015 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. Summary Terms continued from previous page: Indices: Final Redemption Amount: The S&P 500 Index and the Russell 2000 Index, as described in About the S&P 500 Index and About the Russell 2000 Index, respectively, herein Subject to an 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 of the Lowest Performing Index Initial Level of the Lowest Performing Index The Issuer will also pay on such date the Interest Amount, if any, due for the final Interest Period. Index Level: For each Index, the daily closing level of such Index, determined pursuant to the provisions set forth in Additional Provisions The Indices herein Initial Level: With respect to the S&P 500 Index, [ ], which is its Index Level on March 28, 2016 With respect to the Russell 2000 Index, [ ], which is its Index Level on March 28, 2016 Accrual Level: With respect to the S&P 500 Index, [ ], which is 65% of its Initial Level With respect to the Russell 2000 Index, [ ], which is 65% of its Initial Level Knock-in Level: With respect to the S&P 500 Index, [ ], which is 50% of its Initial Level With respect to the Russell 2000 Index, [ ], which is 50% of its Initial Level Knock-in Event: 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 on the Valuation Date. Final Level: For each Index, the level of such Index as of the Valuation Time as published by the related Index Sponsor on the Valuation Date (see definition in Terms and Conditions of the Index-Linked Notes (Basket) of the Index Product Supplement) Lowest Performing Index Index Performance The Index with the lowest Index Performance For each Index, the quotient with respect to such Index as follows: Valuation Date: Interest Amount: Interest Payment Dates: Interest Periods: Interest Reset Dates: Reference Dates: U.S. Government Securities Business Day: 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: Final Level - Initial Level Initial Level March 26, 2036 subject to the provisions set forth in Terms and Conditions of the Index-Linked Notes (Basket) 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. 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. Monthly, payable in arrears on the last calendar day of each month commencing on (and including) April 30, 2016, and ending on the Maturity Date or the Early Redemption Date, if applicable, subject to the Business Day Convention as described below. The first period will begin on, and will include, the Issue Date and end on, but exclude, the first scheduled Interest Payment Date. Each subsequent Interest Period will begin on, and include, the scheduled Interest Payment Date for the preceding Interest Period and end on, but exclude, the next following scheduled Interest Payment Date. The final Interest Period will end on, but exclude, the Maturity Date (or the Early Redemption Date, if applicable). For each Interest Period commencing on or after March 31, 2020, the first day of such Interest Period 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. Any day, other than a Saturday, Sunday, or a day on which the Securities Industry and Financial Markets Association (or any successor 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 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 the last calendar day of each March, June, September and December beginning on (and including) March 31, 2017 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 63873HEZ3 / US63873HEZ38 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 ] Maturity Swap Rate and the Lowest Performing of the S&P 500 Index and the Russell 2000 Index 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 23, 2015, as supplemented by Supplement No. 1 to the Base Offering Memorandum dated December 28, 2015, and as may be further supplemented from time to time, 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: Supplement No. 1 to the Base Offering Memorandum dated December 28, 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 ICESWAP1 (or any successor page) at approximately 11:00 a.m., New York City time, on the relevant Reference Date. The rates reported on Reuters Page ICESWAP1 (or any successor page thereto) are calculated by ICE Benchmark Administration Limited based on tradeable quotes for the related interest rate swaps of the relevant tenor that are sourced from electronic trading venues. CMS Rate Fallback Provisions If, on any Reference Date, a CMS Rate cannot be determined by reference to Reuters page ICESWAP1 (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. The Indices 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 market based solely on the largest market capitalizations. 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. The Russell 2000 Index The Russell 2000 Index, which is calculated, maintained and published by The Northwestern Mutual Life Insurance Company (in such capacity the Index Sponsor ), consists of stocks of 2,000 companies incorporated and domiciled in the United States and its territories. The Russell 500 Index is described under About the Russell 2000 Index in this Pricing Supplement. The Russell 2000 Index measures the performance of the small-cap segment of the U.S. equity universe. See About the Russell 2000 Index herein. Index Level On any calendar day, the Index Level will equal: PS-3

5 with respect to the S&P 500 Index, 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; and with respect to the Russell 2000 Index, the closing value of the Index as published on Bloomberg under ticker symbol RTY, 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 any Index occurs on any day in a Floating Rate Interest Period (other than the Valuation Date) or if any such day in a Floating Rate Interest Period is not an Index Business Day, the closing value of such Index with respect to such day will be the closing value of such Index on the immediately preceding Index Business Day on which no Market Disruption Event has occurred with respect to such Index. If a Market Disruption Event (as defined in Terms and Conditions of the Index-Linked Notes (Basket) set forth in the Index Product Supplement) occurs with respect to any Index on the Trade Date or the Valuation Date, or if any such date is not an Index Business Day for such Index, the Trade Date or Valuation Date, as applicable, with respect to such Index shall be the next succeeding Index Business Day on which there is no Market Disruption Event for such Index; provided that if a Market Disruption Event has occurred with respect to such Index 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 with respect to such Index, the Calculation Agent shall determine such Index Level on such fifth succeeding Index Business Day in accordance with the formula for and method of calculating such Index last in effect prior to the commencement of such Market Disruption Event, using the closing level for such Index (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 such Index without any rebalancing or substitution of such securities following the commencement of the Market Disruption Event. Index Cutoff Notwithstanding the foregoing, the Index Level for each Index 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 for such Index 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, with respect to each Index, 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, with respect to each Index, the primary exchange(s) or market(s) of trading for (i) any security then included in the Index, or any Successor Index, and (ii) futures or options contracts related to the Index or any Successor Index or to any security then included in an Index or any Successor Index. For more information regarding Market Disruption Events with respect to an Index, discontinuance of an Index and alteration of the method of calculation, see Terms and Conditions of the Index-Linked Notes (Basket) set forth in the Index Product Supplement and Discontinuance of an 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 each of the S&P 500 Index and the Russell 2000 Index is greater than or equal to its 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 of each Index was greater than or equal to its Accrual Level. For each Floating Rate Interest Period, the Index Level of each Index 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 of each Index is greater than or equal to 65% of its Initial Index Level (the Accrual Level, and each such day with respect to which the Index Level of each Index is greater than its 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 of any Index is less than its 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 each Index is greater than or equal to its 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 each 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 of each Index is greater than or equal to its Accrual Level % % 0.00% 0.00% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% -2.80% % 0.00% 0.00% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% -2.60% % 0.00% 0.00% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% -2.40% % 0.00% 0.00% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% -2.20% % 0.00% 0.00% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% -1.80% % 0.00% 0.00% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% -1.40% % 0.00% 0.00% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% -1.20% -9.60% 0.00% 0.00% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% -1.00% -8.00% 0.00% 0.00% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% -0.80% -6.40% 0.00% 0.00% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% -0.60% -4.80% 0.00% 0.00% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% -0.40% -3.20% 0.00% 0.00% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% -0.20% -1.60% 0.00% 0.00% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.00% 0.00% 0.00% 0.00% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.20% 1.60% 1.60% 0.00% 0.267% 0.533% 0.800% 1.067% 1.333% 1.600% 0.40% 3.20% 3.20% 0.00% 0.533% 1.067% 1.600% 2.133% 2.667% 3.200% 0.60% 4.80% 4.80% 0.00% 0.800% 1.600% 2.400% 3.200% 4.000% 4.800% 0.80% 6.40% 6.40% 0.00% 1.067% 2.133% 3.200% 4.267% 5.333% 6.400% 1.00% 8.00% 8.00% 0.00% 1.333% 2.667% 4.000% 5.333% 6.667% 8.000% 1.20% 9.60% 9.60% 0.00% 1.600% 3.200% 4.800% 6.400% 8.000% 9.600% 1.25% 10.00% 10.00% 0.00% 1.667% 3.333% 5.000% 6.667% 8.333% % 1.60% 12.80% 10.00% 0.00% 1.667% 3.333% 5.000% 6.667% 8.333% % 1.80% 14.40% 10.00% 0.00% 1.667% 3.333% 5.000% 6.667% 8.333% % 2.00% 16.00% 10.00% 0.00% 1.667% 3.333% 5.000% 6.667% 8.333% % 2.20% 17.60% 10.00% 0.00% 1.667% 3.333% 5.000% 6.667% 8.333% % 2.40% 19.20% 10.00% 0.00% 1.667% 3.333% 5.000% 6.667% 8.333% % 2.60% 20.80% 10.00% 0.00% 1.667% 3.333% 5.000% 6.667% 8.333% % 2.80% 22.40% 10.00% 0.00% 1.667% 3.333% 5.000% 6.667% 8.333% % 3.00% 24.00% 10.00% 0.00% 1.667% 3.333% 5.000% 6.667% 8.333% % 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 each Index is greater than or equal to its Accrual Level. PS-7

9 Reference Rate (CMS30 minus CMS2) * Reference Rate Reference Rate * Multiplier (10.00 * 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 of each Index is greater than or equal to its Accrual Level % % 0.00% 0.00% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% -2.80% % 0.00% 0.00% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% -2.60% % 0.00% 0.00% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% -2.40% % 0.00% 0.00% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% -2.20% % 0.00% 0.00% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% -1.80% % 0.00% 0.00% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% -1.40% % 0.00% 0.00% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% -1.20% % 0.00% 0.00% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% -1.00% % 0.00% 0.00% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% -0.80% -8.00% 0.00% 0.00% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% -0.60% -6.00% 0.00% 0.00% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% -0.40% -4.00% 0.00% 0.00% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% -0.20% -2.00% 0.00% 0.00% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.00% 0.00% 0.00% 0.00% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.20% 2.00% 2.00% 0.00% 0.333% 0.667% 1.000% 1.333% 1.667% 2.000% 0.40% 4.00% 4.00% 0.00% 0.667% 1.333% 2.000% 2.667% 3.333% 4.000% 0.60% 6.00% 6.00% 0.00% 1.000% 2.000% 3.000% 4.000% 5.000% 6.000% 0.80% 8.00% 8.00% 0.00% 1.333% 2.667% 4.000% 5.333% 6.667% 8.000% 1.00% 10.00% 10.00% 0.00% 1.667% 3.333% 5.000% 6.667% 8.333% % 1.20% 12.00% 10.00% 0.00% 1.667% 3.333% 5.000% 6.667% 8.333% % 1.25% 12.50% 10.00% 0.00% 1.667% 3.333% 5.000% 6.667% 8.333% % 1.60% 16.00% 10.00% 0.00% 1.667% 3.333% 5.000% 6.667% 8.333% % 1.80% 18.00% 10.00% 0.00% 1.667% 3.333% 5.000% 6.667% 8.333% % 2.00% 20.00% 10.00% 0.00% 1.667% 3.333% 5.000% 6.667% 8.333% % 2.20% 22.00% 10.00% 0.00% 1.667% 3.333% 5.000% 6.667% 8.333% % 2.40% 24.00% 10.00% 0.00% 1.667% 3.333% 5.000% 6.667% 8.333% % 2.60% 26.00% 10.00% 0.00% 1.667% 3.333% 5.000% 6.667% 8.333% % 2.80% 28.00% 10.00% 0.00% 1.667% 3.333% 5.000% 6.667% 8.333% % 3.00% 30.00% 10.00% 0.00% 1.667% 3.333% 5.000% 6.667% 8.333% % * 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 each Index is greater than or equal to its Accrual Level. PS-8

10 Example Final Redemption Amount Calculations The table and examples below do not take into account the final interest payment, if any, that will be made on the Maturity Date. The examples are for illustrative value only. The actual Final Redemption Amount will depend on the actual Final Level of the Lowest Performing Index on the Valuation Date, which is impossible to predict. The numbers appearing in the table and examples below have been rounded for ease of analysis. The below examples are based on the following terms: Hypothetical Initial Index Level: Hypothetical Knock-in Level: Price per Calculation Amount With respect to the S&P 500 Index: 2,000 With respect to the Russell 2000 Index: 1,200 With respect to the S&P 500 Index: 1,000, which is 50% of the hypothetical Initial Index Level for such Index With respect to the Russell 2000 Index: 600, which is 50% of the hypothetical Initial Index Level for such Index $1,000 Table Percentage change in level of the Lowest Performing Index from its Initial Level to its Final Level Final Redemption Amount per $1, Note 100% $1, % 90% $1, % 80% $1, % 70% $1, % 60% $1, % 50% $1, % 40% $1, % 30% $1, % 20% $1, % 10% $1, % 0% $1, % -10% $1, % -20% $1, % -30% $1, % -40% $1, % -50% $1, % -51% $ % -60% $ % -70% $ % -80% $ % -90% $ % -100% $ % Return on the Notes at Maturity* If the Final Level of the Lowest Performing Index is less than 50% of its Initial Level, investors will be fully exposed to the negative performance of the Lowest Performing Index, regardless of the performance of any other 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-9

11 Examples Final Index Level Payment at Maturity Example 1: Example 2: S&P 500 Index 1,400 (70% of the Initial Level; at or above the Knock-in Level) 1,500 (75% of the Initial Level; at or above the Knock-in Level) Russell 2000 Index 1,320 (110% of the Initial Level; at or above the Knock-in Level) 480 (40% of the Initial Level; below the Knock-in Level) Calculation Amount x The Calculation Amount Final Level of the Lowest Performing Index Initial Level of the Lowest Performing Index = $1,000 x (480 / 1,200) = $400 Example 3: 800 (40% of the Initial Level; below the Knock-in Level) 1,020 (85% of the Initial Level; at or above the Knock-in Level) Calculation Amount x Final Level of the Lowest Performing Index Initial Level of the Lowest Performing Index = $1,000 x (800 / 2,000) = $400 Example 4: 600 (30% of the Initial Level; below the Knock-in Level) 480 (40% of the Initial Level; below the Knock-in Level) Calculation Amount x Final Level of the Lowest Performing Index Initial Level of the Lowest Performing Index = $1,000 x (600 / 2,000) = $300 Example 5: 800 (40% of the Initial Level; below the Knock-in Level) 360 (30% of the Initial Level; below the Knock-in Level) Calculation Amount x Final Level of the Lowest Performing Index Initial Level of the Lowest Performing Index = $1,000 x (360 / 1,200) = $300 PS-10

12 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 of the Lowest Performing Index declines to less than 50% of its 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 any Index from its Initial Level to its Final Level. Investors will not participate in any appreciation in the value of either Index from the Initial Index Level for such index, and the return on the Notes will be limited to the monthly interest payments that are paid with respect to each Interest Period, if any. However, if the Final Level of the Lowest Performing Index declines to less than 50% of its Initial Level as of the Valuation Date, you will be fully exposed to the negative performance of such Index, regardless of the performance of any other 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 of each Index are important factors affecting this risk. Greater expected volatility of the CMS30/CMS2 Spread and/or the Index Level of each Index 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. During the Floating Rate Interest Period, if the applicable CMS30/CMS2 Spread is zero or less than zero, or if the Index Level of any Index is below its 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 for any Index will be below its 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 for any Index is below its 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. PS-11

13 The variable rate of interest that is applicable to the Notes during the Floating Rate Interest Period is dependent on the Reference Rate and each Index, and may be negatively affected by adverse movements in any one of the Reference Rate or either Index, regardless of the performance of the others. The amount of any variable interest payments you receive, if any, will depend on the performance of the CMS30/CMS2 Spread and each of the Indices. If the CMS30/CMS2 Spread is low or negative, the Reference Rate will be low or zero, and the Notes will pay a little or no variable interest even if the Index Level of each Index is consistently greater than its respective Accrual Level. Conversely, even if the CMS30/CMS2 Spread is high, causing the relevant interest rate to be high, the Notes will pay no interest if the Index Level of any Index is less than its respective Accrual Level. Accordingly, you will be subject to risks associated with the CMS30/CMS2 Spread and each of the Indices, and your return on the Notes will depend significantly on the relationship between the CMS30/CMS2 Spread and the Indices over the term of the Notes. It is impossible to predict how the Reference Rate or the Indices will behave or whether one will have an impact on the other. By investing in the Notes you are taking the view that during the Floating Rate Interest Period the CMS30/CMS2 Spread will be positive and that the Index Levels of each Index will be greater than or equal to its respective Accrual Level. Although there is no single factor that determines the CMS30/CMS2 Spread, CMS spreads have historically tended to fall when short-term interest rates rise. For example, 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 CMS30/CMS2 Spread. In that event, the variable 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 CMS30/CMS2 Spread may decrease even in the absence of an increase in short term interest rates because it, too, is influenced by many complex factors. With respect to your view that the Index Levels of each Index will be greater than or equal to its respective Accrual Levels during the term of the Floating Rate Interest Period, it is important to understand that each Index may represent different portions of the equity markets and may not perform similarly over the term of the Notes. The S&P 500 Index consists of stocks of 500 component companies selected to provide a performance benchmark for the U.S. equity market based solely on the largest market capitalizations, while the Russell 2000 Index is intended to track the performance of the small-cap segment of the U.S. equities market. Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Poor performance by either Index over the term of the Notes will negatively affect your return and will not be offset or mitigated by any positive performance of the other Index. If any one of the CMS30/CMS2 Spread or any Index performs sufficiently poorly, you may receive little or no variable interest payments for an extended period of time, or even throughout the entire Floating Rate Interest Period, even if the others perform favorably. 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 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 8.00 for years five through ten, and the Multiplier of 10 for years eleven through twenty, 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% for years five through ten, and a CMS30/CMS2 spread above 1.00% for years eleven through twenty. 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 years five through ten, and below 1.00% in years eleven through twenty, 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 of each Index is greater than or equal to its Accrual Level and the extent to which the CMS30/CMS2 Spread may exceed 1.25% in years five through ten, or 1.00% in years eleven through twenty on any other Reference Date occurring in such year. PS-12