NATIXIS US MEDIUM-TERM NOTE PROGRAM LLC

Transcription

1 The infrmatin in this preliminary pricing supplement is nt cmplete and may be changed. This preliminary pricing supplement is nt an ffer t sell these securities and it is nt sliciting an ffer t buy these securities in any jurisdictin where the ffer r sale is nt permitted. PRELIMINARY PRICING SUPPLEMENT dated June 8, 2016 (Subject t Cmpletin) T the Index Prduct Supplement dated April 23, 2015 (the Index Prduct Supplement ) and the Base Offering Memrandum dated April 23, 2015 (the Base Offering Memrandum ) Relating t the Natixis US Medium Term Nte Prgram Summary Terms NATIXIS US MEDIUM-TERM NOTE PROGRAM LLC Guaranteed by the New Yrk Branch f Natixis Phenix Callable Ntes due June 30, 2031 Linked t the Lwest Perfrming f 2 Indices (the S&P 500 Index, the Russell 2000 Index) Series 2016-[ ] Principal at risk securities This Pricing Supplement relates t the ffering f the Series 2016-[ ] Ntes (the Ntes ). The Ntes are linked t the perfrmance f the Indices set frth in Table #1. The Ntes will pay a Cntingent Cupn equal t $23.25 per $1,000 Calculatin Amunt f Ntes (equivalent t a Cntingent Cupn Rate f 2.325% per calendar quarter r 9.30% per annum) n each peridic Cntingent Cupn Payment Date, if and nly if, n the related Cntingent Cupn Observatin Date, the Clsing Level f each Index is greater than r equal t its Barrier Level as set frth in Table #1. Otherwise, n Cntingent Cupn will be paid n the immediately fllwing Cntingent Cupn Payment Date. Beginning n July 1, 2019, and n each quarterly Cntingent Cupn Payment Date thereafter, the Ntes are subject t early redemptin, in whle but nt in part, at the sle ptin f the Issuer ( Issuer Call ), fr a cash amunt equal t 100% f the principal amunt f the Ntes held by such investr, tgether with any Cntingent Cupn Amunt that wuld therwise als be payable n such Cntingent Cupn Payment Date. N further payments will be made n the Ntes nce redeemed. At maturity, if the Ntes have nt previusly been previusly redeemed: If the Final Level f the Lwest Perfrming Index is greater than r equal t its applicable Knck-in Level (50% f its Initial Level), then yur Final Redemptin Amunt per $1,000 Calculatin Amunt f Ntes will be a cash payment f $1,000. If the Final Level f the Lwest Perfrming Index is less than its Knck-in Level, then the Final Redemptin Amunt will be significantly less than the Principal Amunt f yur Ntes, resulting in a lss f 1% (r a fractin theref) f the Principal Amunt fr every 1% (r a fractin theref) that the Final Level f the Lwest Perfrming Index is less than its Initial Level. In this case, yu will lse a significant prtin r all f yur investment. The Ntes have a term f 15 years. The Maturity Date is June 30, The Issuer is a whlly-wned subsidiary f the Guarantr, which itself is a branch f Natixis. The Ntes d nt guarantee any return f principal at maturity. Any payments n the Ntes are subject t the credit risk f the Issuer and the Guarantr. The Ntes are nt listed n any securities exchange. Investing in the Ntes invlves significant risks, including the risk f lss f sme r all f yur principal. See Selected Risk Cnsideratins n page PS-9 f this Pricing Supplement, Risk Factrs Relating t the Ntes beginning n page 6 f the accmpanying Index Prduct Supplement and Risk Factrs beginning n page 13 f the Base Offering Memrandum. Please nte that risk factrs relating t Natixis are incrprated by reference in the Base Offering Memrandum, frm dcuments available n the Natixis website. The Placement Agent fr this ffering, Natixis Securities Americas LLC, is ur affiliate. Please see Supplemental Plan f Distributin (Cnflicts f Interest) n the last page in this Pricing Supplement fr additinal infrmatin. By acquiring the Ntes, yu acknwledge, accept, cnsent t and agree t be bund by the effect f the exercise f the Bail-in Pwer and acknwledge and agree that the terms f the Ntes are subject t, and may be varied, if necessary, t give effect t, the exercise f the Bail-in Pwer by the Relevant Reslutin Authrity. Upn the exercise f the Bail-in Pwer, yu may lse sme r all f yur investment. Please see Terms and Cnditins f the Ntes f the Base Offering Memrandum fr additinal infrmatin. The Ntes and the Guarantee have nt been registered under the Securities Act f 1933 as amended (the Securities Act ) in reliance n the exemptin frm registratin prvided by Sectin 3(a)(2) f the Securities Act. Neither the Securities and Exchange Cmmissin (the SEC ) nr any state securities cmmissin has apprved r disapprved f the Ntes r determined that this dcument is truthful r cmplete. Any representatin t the cntrary is a criminal ffense. Under n circumstances shall this dcument cnstitute an ffer t sell r a slicitatin f an ffer t buy, nr shall there be any sale f these Ntes, in any jurisdictin in which such ffer, slicitatin r sale wuld be unlawful prir t qualificatin under the securities laws f any such jurisdictin. The Ntes cnstitute uncnditinal liabilities f Natixis US Medium-Term Nte Prgram LLC, and the Guarantee cnstitutes an uncnditinal bligatin f the New Yrk Branch f Natixis. Nne f the Ntes r the Guarantee is insured by the Federal Depsit Insurance Crpratin. Natixis Securities Americas LLC

2 Terms f the Ntes Please refer t the infrmatin and definitins included in the accmpanying Base Offering Memrandum and Index Prduct Supplement, including infrmatin n imprtant cnsequences in the event f certain changes t an Index r a trading, exchange r market disruptin with respect t the Indices. Unless therwise stated in this Pricing Supplement, these Ntes will incrprate by reference the terms f Index-Linked Ntes (Basket) as described in the Index Prduct Supplement with respect t the Indices. Unless therwise defined herein, capitalized terms used in this Pricing Supplement have the definitins assigned t them in the accmpanying Index Prduct Supplement r the Base Offering Memrandum. General Terms: Issuer: Calculatin Agent: Guarantr: Placement Agent: Specified Currency: Denminatin/Principal Amunt per Nte: Natixis US Medium-Term Nte Prgram LLC Natixis Natixis acting thrugh its New Yrk Branch Natixis Securities Americas LLC USD Calculatin Amunt: $1,000 Aggregate Principal Amunt: Issue Price: CUSIP / ISIN: Minimum denminatins f $1,000 and integral multiples f $1,000 in excess theref. N persn may, at any time, purchase r transfer Ntes in an amunt less than $1,000. $[ ] At Variable Prices 63873HFV1 / US63873HFV15 Strike Date: Expected t be June 27, 2016 Trade Date: Expected t be June 27, 2016 Issue Date: Expected t be June 30, 2016 Final Valuatin Date: Maturity Date: June 25, 2031, subject t the Valuatin Pstpnement prvisins set frth belw. June 30, 2031, subject t the Valuatin Pstpnement prvisins set frth belw. Table #1: Index Ticker Symbl Index Spnsr Initial Level Barrier Level Knck-in Level S&P 500 Index SPX Standard & Pr's $[ ] Russell 2000 Index RTY Russell Investments $[ ] $[ ] (70% f the Initial Level) $[ ] (70% f the Initial Level) $[ ] (50% f the Initial Level) $[ ] (50% f the Initial Level) Indices: Index Spnsr: Clsing Level: Initial Level: Final Level: Barrier Level: Separate Valuatin: Principal at Risk: As set frth in Table #1 f this Pricing Supplement. See Descriptin f the Indices belw. As set frth in Table #1 in this Pricing Supplement. On any Scheduled Trading Day, the Clsing Level f each Index is the fficial clsing level f such Index n such Scheduled Trading Day, as determined by the Calculatin Agent, subject t the terms and cnditins set frth in the definitin f Valuatin Time in Terms and Cnditins f the Index-Linked Ntes (Basket) f the Index Prduct Supplement. The Initial Level f each Index is the Clsing Level f such Index n the Strike Date, as set frth in Table #1 in this Pricing Supplement, subject t the terms and cnditins set frth in the definitin f Initial Level in Terms and Cnditins f the Index-Linked Ntes (Basket) f the Index Prduct Supplement. The Final Level f each Index is the Clsing Level f such Index n the Final Valuatin Date. As set frth in Table #1 in this Pricing Supplement. Applicable. Fr additinal infrmatin, see Terms and Cnditins f the Index-Linked Ntes (Basket) f the Index Prduct Supplement. As set frth under Payment at Maturity belw, yu may lse all r a substantial prtin f yur initial investment at maturity if the Final Level f the Lwest Perfrming Index is belw its Knck-in Level. PS-2

3 Cmmissins and Issue Price: Price t Investrs (i) Discunts and Cmmissins (iii) Prceeds t issuer Per Nte... At Varying Prices (ii) $[ ] $[ ] Ttal... At Varying Prices $[ ] $[ ] (i) (ii) The prceeds yu might receive if yu were able t resell the Ntes n the Issue Date are expected t be less than the Issue Price f the Ntes. This is because the Issue Price includes the Placement Agent and Selected Dealers discunts and cmmissins set frth abve and als reflects certain hedging csts assciated with the Ntes. The Ntes will be ffered during the marketing perid at varying prices t be determined during such perid. Such prices may be at prevailing market prices, at prices related t such prevailing market prices, r at negtiated prices, prvided, hwever that n such price will be less than $[ ]; and prvided, further, fr all the Ntes, n such price will be mre than $1,000 per $1,000 principal amunt f Ntes. See Selected Risk Cnsideratins The price yu pay fr the Ntes may be higher than the prices ther investrs pay fr the Ntes n page PS-11 f this Pricing Supplement. The Ntes will be sld with a minimum denminatin f $1,000, and integral multiples f $1,000 in excess theref. N persn may, at any time, purchase r transfer Ntes in an amunt less than $1,000. (iii) We are ffering the Ntes thrugh ur affiliate Natixis Securities Americas LLC, acting as Placement Agent. Selected Dealers will purchase the Ntes frm the Placement Agent at an agreed cncessin f up t $[ ] per $1,000 Calculatin Amunt. Please see Supplemental Plan f Distributin (Cnflicts f Interest) n the last page f this Pricing Supplement fr additinal infrmatin abut fees and cmmissins. Payment f Cntingent Cupn: Cntingent Cupn: Cntingent Cupn Rate: Cntingent Cupn Observatin Dates / Cntingent Cupn Payment Dates: Subject t Early Redemptin, if n any Cntingent Cupn Observatin Date, the Clsing Level f each Index n such Cntingent Cupn Observatin Date is greater than r equal t its Barrier Level, as determined by the Calculatin Agent, then we will pay the Cntingent Cupn f $23.25 per $1,000 Calculatin Amunt f Ntes n the crrespnding Cntingent Cupn Payment Date. Yu may nt receive any Cntingent Cupn n any Cntingent Cupn Payment Date r even ver the entire term f the Ntes % per calendar quarter (representing a Cntingent Cupn Rate f 9.30% per annum) Quarterly. Each Cntingent Cupn Observatin Date and the crrespnding Cntingent Cupn Payment Date is as set frth belw. Each Cntingent Cupn Observatin Date is subject t Valuatin Pstpnement and each Cntingent Cupn Payment Date is subject t Valuatin Pstpnement and the Business Day Cnventin as described belw. Cntingent Cupn Observatin Date Cntingent Cupn Payment Date 1 September 27, 2016 September 30, December 27, 2016 December 30, March 27, 2017 March 30, June 27, 2017 June 30, September 27, 2017 Octber 2, December 27, 2017 January 2, March 27, 2018 March 30, June 27, 2018 July 2, September 26, 2018 Octber 1, December 26, 2018 December 31, March 27, 2019 April 1, June 26, 2019 July 1, September 25, 2019 September 30, December 24, 2019 December 30, March 25, 2020 March 30, June 25, 2020 June 30, September 25, 2020 September 30, December 24, 2020 December 30, March 25, 2021 March 30, June 25, 2021 June 30, September 27, 2021 September 30, December 27, 2021 December 30, March 25, 2022 March 30, June 27, 2022 June 30, September 27, 2022 September 30, December 27, 2022 December 30, March 27, 2023 March 30, June 27, 2023 June 30, September 27, 2023 Octber 2, December 27, 2023 January 2, March 26, 2024 April 1, 2024 PS-3

4 32 June 26, 2024 July 1, September 25, 2024 September 30, December 24, 2024 December 30, March 26, 2025 March 31, June 25, 2025 June 30, September 25, 2025 September 30, December 24, 2025 December 30, March 25, 2026 March 30, June 25, 2026 June 30, September 25, 2026 September 30, December 24, 2026 December 30, March 24, 2027 March 30, June 25, 2027 June 30, September 27, 2027 September 30, December 27, 2027 December 30, March 27, 2028 March 30, June 27, 2028 June 30, September 27, 2028 Octber 2, December 27, 2028 January 2, March 27, 2029 March 30, June 27, 2029 July 2, September 26, 2029 Octber 1, December 26, 2029 December 31, March 27, 2030 April 1, June 26, 2030 July 1, September 25, 2030 September 30, December 24, 2030 December 30, March 26, 2031 March 31, June 25, 2031 June 30, 2031 Barrier Level Fr each Index, 70% f the Initial Level f such Index, as determined by the Calculatin Agent, as set frth in Table #1 (abve) in this Pricing Supplement. Payment upn Issuer Optinal Redemptin: Redemptin at the Optin f the Issuer Issuer Call: Optinal Redemptin Amunt: Optinal Redemptin Dates: The Issuer has the right t redeem the Ntes, in whle but nt in part, n any Optinal Redemptin Date, subject t at least three (3) Business Days ntice prir t the relevant Optinal Redemptin Date (the Issuer Call ), at an amunt equal t the Optinal Redemptin Amunt. The Optinal Redemptin Amunt per Nte payable by the Issuer n the related Optinal Redemptin Date will be an amunt in the Specified Currency per Calculatin Amunt f Ntes equal t 100% f the Calculatin Amunt. In additin t the Optinal Redemptin Amunt, the Issuer will als pay n the Optinal Redemptin Date any applicable Cntingent Cupn Amunt with respect t the Cntingent Cupn Payment Date that ccurs n the Optinal Redemptin Date. Quarterly. On each Cntingent Cupn Payment Date frm and including the first Cntingent Cupn Payment Date scheduled t ccur n July 1, 2019, t but excluding the Maturity Date. The Optinal Redemptin Date is subject t pstpnement if the relevant Cntingent Cupn Observatin Date is pstpned, as described under Valuatin Pstpnement belw. Payment at Maturity: Final Redemptin Amunt: Knck-in Event: At maturity, if the Ntes have nt previusly been early redeemed, we will pay a Final Redemptin Amunt in cash per $1,000 Calculatin Amunt f Ntes as fllws: If a Knck-in Event has NOT ccurred, $1,000 in cash; r If a Knck-in Event HAS ccurred: $1,000 + ($1,000 x Index Perfrmance f the Lwest Perfrming Index) If a Knck-in Event has ccurred and the Final Level f the Lwest Perfrming Share is less than its Initial Level, yu will lse a significant prtin r all f yur investment. Applicable. A Knck-in Event ccurs if the Final Level f the Lwest Perfrming Index, as determined by the Calculatin Agent, is less than its Knck-in Level. PS-4

5 Knck-in Level: Lwest Perfrming Index: Index Perfrmance: Additinal Terms: With respect t each Index, as set frth in Table #1 (abve) in this Pricing Supplement. Means, the Index with the Lwest Index Perfrmance. Means, in respect f each Index, (i) the Final Level f such Index minus its Initial Level (ii) divided by its Initial Level. Valuatin Pstpnement: Valuatin Date: Specific Number: Business Day Cnventin: Business Day: Scheduled Trading Day: If any Scheduled Trading Day n which the Clsing Level f an Index is t be determined is a Disrupted Day, then such date fr such Index will be pstpned t the next day that is nt a Disrupted Day within the limit f days specified under Specific Number. If the last day within the limit f days specified under Specific Number is a Disrupted Day, then such last day will be the day n which the Clsing Level f an Index is determined, ntwithstanding the fact that such day is a Disrupted Day, and the relevant level will be the Calculatin Agent s gd faith estimate f the level f the Index as f the Valuatin Time n such date. If the pstpnement f any Valuatin Date makes it impssible t calculate the payment due n any Ntes n the related Cntingent Cupn Payment Date and/r the Maturity Date (as the case may be), then such payment will be pstpned until the first Business Day fllwing the Scheduled Trading Day n which such calculatin is pssible within the limit f days specified under Specific Number belw, and fr the avidance f dubt, n additinal interest shall accrue r be payable as a result f such pstpnement. Any Cntingent Cupn Observatin Date and the Final Valuatin Date. In respect f any Valuatin Date: 3 Scheduled Trading Days. Fllwing Business Day Cnventin. If a scheduled Cupn Payment Date, Early Redemptin Date r Maturity Date (as applicable) is nt a Business Day, then any relevant payment will be made n the immediately fllwing Business Day, and n additinal interest will accrue as a result f such delayed payment. A day n which cmmercial banks and freign exchange markets settle payments and are pen fr general business, including dealings in freign exchange and freign currency depsits, in New Yrk City. With respect t any Index, any day n which the (i) the applicable Index Spnsr is scheduled t publish the level f such Index; and (ii) the Related Exchange is scheduled t be pen fr trading fr its regular trading sessins (see the full definitin f Scheduled Trading Day in Terms and Cnditins f the Index-Linked Ntes (Basket) in the Index Prduct Supplement). PS-5

6 Additinal Terms Specific t the Ntes Yu shuld read this Pricing Supplement tgether with the Base Offering Memrandum relating t ur medium-term ntes, f which the Ntes are a part, dated April 23, 2015, and as may be further supplemented frm time t time, as well as the mre detailed infrmatin cntained in the Index Prduct Supplement dated April 23, This Pricing Supplement, tgether with the dcuments listed belw, cntains the terms f the Ntes and supersedes all ther prir r cntempraneus ral statements as well as any ther written materials including preliminary r indicative pricing terms, crrespndence, trade ideas, structures fr implementatin, sample structures, brchures r ther educatinal materials f urs. Yu shuld carefully cnsider, amng ther things, the matters set frth in Selected Risk Cnsideratins in this Pricing Supplement, Risk Factrs Relating t the Ntes in the Index Prduct Supplement and in Risk Factrs in the accmpanying Base Offering Memrandum, as the Ntes invlve risks nt assciated with cnventinal debt securities. We urge yu t cnsult yur investment, legal, tax, accunting and ther advisers befre yu invest in the Ntes. Please nte that the Base Offering Memrandum incrprates by reference certain dcuments (including Risk Factrs relating t Natixis) that are available n the Natixis website ( Other infrmatin n the website is nt incrprated by reference. Yu may access the Index Prduct Supplement and the Base Offering Memrandum as fllws: Index Prduct Supplement dated April 23, 2015: Base Offering Memrandum dated April 23, 2015: Certain infrmatin that Natixis has made publicly available has been incrprated by reference in this Pricing Supplement. The infrmatin incrprated by reference is an imprtant part f this Pricing Supplement. This Pricing Supplement shuld be read and cnstrued in cnjunctin with the English translatin f the Natixis registratin dcument 2015 (dcument de référence) (the 2015 Natixis Registratin Dcument ), available at: which is incrprated by reference (t the extent set frth in the Base Offering Memrandum) and frms part f this Pricing Supplement. PS-6

7 Hypthetical Examples f Amunts Payable n the Ntes The tables and hypthetical example set frth belw are fr illustrative purpses nly. The actual returns applicable t a purchaser f the Ntes will be determined n the Observatin Dates (including n the Valuatin Date). The fllwing results are based slely n the hypthetical examples cited belw. Yu shuld cnsider carefully whether the Ntes are suitable t yur investment gals. The numbers appearing belw may have been runded fr ease f analysis. Hypthetical Cntingent Cupn and Final Redemptin Amunt Tables and Examples The tables and example belw illustrate hypthetical Cntingent Cupns ver the term f the Ntes and Final Redemptin Amunts payable at maturity n a $1,000 investment in the Ntes. All payments n the Ntes are subject t the credit risk f the Issuer and the Guarantr. The table belw and examples are based n the fllwing terms: the Ntes have a term f exactly 15 years; the hypthetical Cntingent Cupn is equal t $23.25 per quarter (equivalent t a rate f 9.30% per annum); the hypthetical Barrier Level is 70% f the hypthetical Initial Level; and the hypthetical Knck-in Level is 50% f the hypthetical Initial Level;. The actual Initial Level, Barrier Level and Knck-in Level are set frth in Terms f the Ntes. Fr histrical data regarding the actual Clsing Levels f the Indices, please see the histrical infrmatin set frth under the sectin Descriptin f the Indices. The actual amunts n the Ntes will depend n several variables, including: whether the Clsing Level f any Index is less than its Barrier Level n any Cntingent Cupn Observatin Date; and whether the Final Level f the Lwest Perfrming Index is less than its Knck-in Level. It is nt pssible t predict by hw much the level f an Index will fluctuate in cmparisn t its Initial Level ver the term f the Ntes. Any payment yu will be entitled t receive is subject t the ability f the Issuer t pay its bligatins as they becme due, and any payments due n the Ntes, including any repayment f principal, will be subject t the credit risk f the Issuer and the Guarantr. Hypthetical Final Redemptin Amunts The table belw illustrates the hypthetical Final Redemptin Amunts per Calculatin Amunt f Ntes fr a hypthetical range f lwest Index Perfrmances if the Ntes have nt been called by the Issuer prir t the Final Valuatin Date. Index Perfrmance f Lwest Perfrming Index (%) Final Redemptin Amunt ($) Ttal Cntingent Cupns 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 Hypthetical Cntingent Cupns table belw) -10% $1,000-20% $1,000-30% $1,000-40% $1,000-50% $1,000-60% $400-70% $300-80% $200-90% $ % $0 PS-7

8 Hypthetical Cntingent Cupns The table belw illustrates the hypthetical Cntingent Cupns per Calculatin Amunt f Ntes fr a hypthetical range f lwest Index Perfrmances if the Ntes have nt been early redeemed prir t the Final Valuatin Date. Number f Cntingent Cupn Observatin Dates where the Clsing Level f Any Index is less than its Barrier Level Ttal Cntingent Cupns N Cntingent Cupn Observatin Date $1, Cntingent Cupn Observatin Date $1, Cntingent Cupn Observatin Dates $1, Cntingent Cupn Observatin Dates $1, Cntingent Cupn Observatin Dates $1, Cntingent Cupn Observatin Dates $1, Cntingent Cupn Observatin Dates $1, Cntingent Cupn Observatin Dates $1, Cntingent Cupn Observatin Dates $1, Cntingent Cupn Observatin Dates $1, Cntingent Cupn Observatin Dates $1, Cntingent Cupn Observatin Dates $1, Cntingent Cupn Observatin Dates $1, Cntingent Cupn Observatin Dates $1, Cntingent Cupn Observatin Dates $1, Cntingent Cupn Observatin Dates $1, Cntingent Cupn Observatin Dates $1, Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $ Cntingent Cupn Observatin Dates $0.00 PS-8

9 Selected Risk Cnsideratins There are imprtant differences between the Ntes and a cnventinal debt security. An investment in the Ntes invlves significant risks, including thse listed belw. Yu shuld carefully review the mre detailed explanatin f risks relating t the Ntes in the Risk Factrs Relating t the Ntes beginning n page 6 f the Index Prduct Supplement and Risk Factrs Risks relating t the Ntes beginning n page 13 f the Base Offering Memrandum. Yu must rely n yur wn evaluatin f the merits f an investment linked t an Index. We als urge yu t cnsult yur investment, legal, tax, accunting and ther advisers befre yu invest in the Ntes. Unlike cnventinal debt securities, yur investment in the Ntes may result in a lss. We may nt pay yu the Principal Amunt f yur Ntes at maturity. If the Ntes have nt been early redeemed by us prir t maturity and if a Knck-in Event ccurs (meaning that the Final Level f the Lwest Perfrming Index is less than its Knck-in Level), yu will lse 1% (r a fractin theref) fr every 1% (r a fractin theref) by which the Final Level f the Lwest Perfrming Index is less than its Initial Level. In this case, yur Final Redemptin Amunt will be less, and ptentially significantly less, than yur Principal Amunt. Yu culd lse yur entire investment. Unlike cnventinal debt securities, the Ntes d nt prvide fr regular fixed cupn payments. There can be n assurance that yu will receive a Cntingent Cupn n any Cntingent Cupn Payment Date. Whether yu receive a Cntingent Cupn n any Cntingent Cupn Payment Date will depend n the Clsing Level f each Index n the preceding Cntingent Cupn Observatin Date. A Cntingent Cupn will be payable n the Ntes n the related Cntingent Cupn Payment Date nly if the Clsing Level f each Index n the immediately preceding Cntingent Cupn Observatin Date is greater than r equal t its applicable Barrier Level. If the Clsing Level f any Index n any Cntingent Cupn Observatin Date is less than its Barrier Level, yu will nt receive any Cntingent Cupn n the immediately fllwing Cntingent Cupn Payment Date. It is pssible that yu will nt receive any Cntingent Cupns fr the entire term f the Ntes. If rates generally increase ver the term f the Ntes, it is mre likely that the Cntingent Cupn, if any, culd be less than market rates at that time. This wuld have the further effect f decreasing the value f yur Ntes bth nminally in terms f belw-market cupn payments and in real terms. In additin, because the Cntingent Cupn, if any, depends n the Clsing Level f each Index n each Cntingent Cupn Observatin Date during the term f the Ntes, it is pssible that yu will nt be paid any Cntingent Cupn (r yu will be paid a belw-market cupn relative t ur cnventinal debt securities with a similar term) fr the full term f the Ntes, and still lse yur investment. These Ntes are nt shrt-term investments, s yu shuld carefully cnsider these risks befre investing. The higher ptential yield ffered by the Ntes is assciated with greater risk that the Ntes will nt pay a Cntingent Cupn n any Cntingent Cupn Payment Date, r that yu might lse sme r all f yur investment at maturity. The Ntes may pay a Cntingent Cupn, if any, with the ptential t result in a higher yield than the yield n ur cnventinal debt securities f the same maturity. Yu shuld understand that, in exchange fr this ptentially higher yield, yu will be expsed t significantly greater risks than investrs in ur cnventinal debt securities. These risks include (i) the risk that the Cntingent Cupns yu receive, if any, will result in a yield n the securities that is lwer, and perhaps significantly lwer, than the yield n ur cnventinal debt securities f the same maturity, (ii) the risk that yu wuld lse sme r all f yur Principal Amunt at maturity, and (iii) the risk f reduced ptential fr abve-market cupn payments if the Ntes are early redeemed. The vlatility f the Indices is an imprtant factr affecting these risks. Greater expected vlatility f the Indices as f the Trade Date may cntribute t the higher yield ptential, but wuld als represent a greater expected likelihd as f the Trade Date that yu will receive lw r n Cntingent Cupns n the Ntes r lse sme r all f yur investment at maturity. The Ntes are subject t the credit risk f Natixis. Natixis, acting thrugh its New Yrk Branch, is Guarantr f any payments due n the Ntes. Any actual r anticipated changes t Natixis credit ratings and credit spreads may adversely affect the market value f the Ntes. Further, investrs are dependent n the Issuer s ability t pay all amunts due n the Ntes. If the Issuer r the Guarantr were t default n their respective payment bligatins, yu culd lse sme r all f yur investment. The Ntes are subject t a ptential Early Redemptin. Beginning n July 1, 2019, we have the right t redeem yur Ntes at ur ptin befre maturity. It is likely that we will call the Ntes when it is mst advantageus t us, and specifically if we expect the Index t cnsistently remain higher than the Barrier Level r the Knck-in Level. N Cntingent Cupn Amunt will be payable fllwing an Issuer Call. If we redeem the Ntes, yu might nt be able t reinvest the prceeds in anther investment with a similar return prfile, and yur reinvestment return might be lwer. The Ntes will nt pay mre than the Principal Amunt, plus any unpaid Cntingent Cupns, at maturity r upn Early Redemptin. The Ntes will nt pay mre than the Principal Amunt, plus any applicable Cntingent Cupn, at maturity r upn Early Redemptin, regardless f the perfrmance (including any appreciatin in the level) f any Index. Yu will be subject t risks relating t the relatinship between the Indices. The Ntes are linked t the individual perfrmance f each Index. As such, the Ntes will perfrm prly if nly ne f the Indices perfrms prly. Each additinal Index t which the securities are linked increases the risk that the Ntes will perfrm prly. By investing in the Ntes, yu assume the risk that the perfrmance f at least ne f the Indices will be negative, regardless f the perfrmance f the ther Index. It is impssible t predict the relatinship between the Indices. If the perfrmances f the Indices exhibit n relatinship t each ther, it is mre likely that ne f the Indices will cause the Ntes t perfrm prly. Hwever, if the perfrmances f the cmpnents included in each Index are related such that the perfrmances f the Indices are crrelated, then there is less likelihd that nly ne PS-9

10 Index will cause the Ntes t perfrm prly. Furthermre, t the extent that each Index represents a different market segment r asset class, the risk f ne Index perfrming prly is greater. As a result, yu are nt nly taking market risk n each Index, yu are als taking a risk relating t the relatinship amng the Indices. The Ntes are linked t the Russell 2000 Index and are subject t the risks assciated with small-capitalizatin cmpanies. The Russell 2000 Index is cmpsed f equity securities issued by cmpanies with relatively small market capitalizatin. These equity securities ften have greater stck price vlatility, lwer trading vlume and less liquidity than the equity securities f large capitalizatin cmpanies, and are mre vulnerable t adverse business and ecnmic develpments than thse f large-capitalizatin cmpanies. In additin, small-capitalizatin cmpanies are typically less established and less stable financially than large capitalizatin cmpanies. These cmpanies may depend n a small number f key persnnel, making them mre vulnerable t lss f persnnel. Such cmpanies tend t have smaller revenues, less diverse prduct lines, smaller shares f their prduct r service markets, fewer financial resurces and less cmpetitive strengths than large-capitalizatin cmpanies and are mre susceptible t adverse develpments related t their prducts. Therefre, the Russell 2000 Index may be mre vlatile than it wuld be if it were cmpsed f equity securities issued by large-capitalizatin cmpanies. Yur return n the Ntes will depend n the Final Level f each Index n the Final Valuatin Date. A significant mvement in the Final Level f each Index n the Final Valuatin Date may adversely affect yur return n the Ntes. Yu are subject t the risk that the Final Level f each Index may be lwer n the Final Valuatin Date than n ne r mre ther dates during the term f the Ntes, including n ther dates near the Final Valuatin Date, as applicable. Yu will have n wnership rights relating t each Index. The return n the Ntes may nt reflect the return yu wuld realize if yu directly invested in each Index, the cmpnents f such Index r any ther exchange-traded r ver-thecunter instruments based n such Index r the cmpnents f such Index. Yu will have n rights against the Index Spnsr fr each Index. The Index Spnsr fr each Index will make imprtant determinatins with respect t such Index. Fr example, the Index Spnsr fr each Index calculates the levels f such Index, and the Index Spnsr fr each Index may mdify r change its current methdlgy fr calculating such Index in a manner that may affect yur return n the Ntes. Investrs will have n rights against the Index Spnsr fr each Index even if the Index Spnsr decides t suspend the calculatin f such Index and this suspensin adversely impacts the amunt investrs receive at maturity. The Index Spnsr was nt invlved in creating the Ntes and it has n bligatin t cnsider yur interests. The Index Spnsrs calculate the levels f their Index by reference t the prices f the cmpnents f such Index. The return n the Ntes will nt reflect the return yu wuld realize if yu actually wned such Index s cmpnents. N dividend payments r wnership rights relating t any Index. Yu will nt have the right t receive cash dividends r exercise wnership rights with respect t any Index r the cmpnent securities f such Index. The return n the Ntes may nt reflect the return yu wuld realize if yu directly invested in the Index, the cmpnents cmpsing such Index r any ther exchange-traded r ver-the-cunter instruments based n such Index r the cmpnents cmpsing such Index. It is impssible t predict whether the Clsing Level f the Indices will rise r fall during the term f the Ntes. The Indices will be influenced by cmplex and interrelated plitical, ecnmic, financial and ther factrs. Histrical perfrmance f the Indices shuld nt be taken as an indicatin f their future perfrmance during the term f the Ntes. The market price f the Ntes will be influenced by many unpredictable factrs. Several factrs, many f which are beynd ur cntrl, will influence the value f the Ntes in the secndary market and the price at which Natixis may be willing t purchase r sell the Ntes in the secndary market. Mrever, it is ften the case that liquid trading markets d nt develp fr cmplex instruments such as the Ntes. We expect that generally the level f each Index n any Scheduled Trading Day, including in relatin t its Barrier Level and Knck-in Level will affect the value f the Ntes mre than any ther single factr. Other factrs that may influence the value f the Ntes include: the actual and expected vlatility f the Indices; the time t maturity f the Ntes; interest and yield rates in the market generally; geplitical cnditins and ecnmic, financial, plitical, regulatry r judicial events that affect stck markets generally and that may affect the level f each Index; and ur creditwrthiness, including actual r anticipated dwngrades in ur credit ratings. The price yu pay fr the Ntes may be higher than the prices ther investrs pay fr the Ntes. The Ntes will be ffered during the marketing perid at varying prices t be determined during such marketing perid. Such prices may be at prevailing market prices, at prices related t such prevailing market prices, r at negtiated prices. Accrdingly, there is a risk that the price yu pay fr yur Ntes will be higher than the prices ther investrs pay fr their Ntes based n the date and time yu made an ffer t purchase the Ntes, frm whm yu purchase the Ntes, and/r any transactin cst. In seeking t prvide investrs with what we believe t be cmmercially reasnable terms fr the Ntes while prviding the Issuer with cmpensatin fr its services, we have cnsidered the csts f develping, hedging and distributing the Ntes. If a trading market develps fr the Ntes (and such a market may nt develp), these csts are expected t affect the market price yu may receive r be quted fr yur Ntes n a date prir t the stated Maturity Date. Nne f the Issuer, the Guarantr r Natixis Securities Americas LLC is bligated t make a market fr, r t repurchase, the Ntes. PS-10

11 We have entered r will enter int ne r mre hedging transactins in cnnectin with this ffering f Ntes with a cunterparty, which may be an affiliate f urs. We may hedge ur bligatins under the Ntes by, amng ther things, purchasing securities, futures, ptins r ther derivative instruments with returns linked r related t the Indices, and we may adjust these hedges by, amng ther things, purchasing r selling securities, futures, ptins r ther derivative instruments at any time. Our cst f hedging will include the prjected prfit that ur cunterparty expects t realize in cnsideratin fr assuming the risks inherent in hedging ur bligatins under the Ntes. Because hedging ur bligatins under the Ntes entails risk and may be influenced by market frces beynd ur r ur cunterparty s cntrl, such hedging may result in a prfit that is mre r less than expected, r culd result in a lss. It is pssible that we r ur cunterparty may prfit frm this hedging activity, even if the value f the Ntes declines. Natixis may make Purchases and sales f the Ntes but is nt required t d s. In the future, NSA, the Selected Dealer, r any f their affiliates may repurchase and resell the ffered Ntes in market-making transactins, with resales being made at prices related t prevailing market prices at the time f resale r at negtiated prices. The Ntes are a new issue f securities with n established trading market. N assurance can be given as t the liquidity r existence f any trading market fr the Ntes. Ptential cnflicts f interest may exist between the Calculatin Agent and the investrs, including with respect t the exercise f the discretinary pwers f the Calculatin Agent. We and ur affiliates play a variety f rles in cnnectin with the issuance f the Ntes, including acting as Calculatin Agent and as agent f the issuer fr the ffering f the Ntes, hedging ur bligatins under the Ntes. In perfrming these duties, the ecnmic interests f us and ur affiliates are ptentially adverse t yur interests as an investr in the Ntes. Further, hedging activities and purchases and sales f instruments relating t the Indices by Natixis and its affiliates may adversely affect yur return n the Ntes. Any prfit in cnnectin with hedging activities will be in additin t any ther cmpensatin that we and ur affiliates receive fr the sale f the Ntes, which creates an additinal incentive t sell the Ntes t yu. The Calculatin Agent will make imprtant determinatins with respect t the Ntes. If certain events ccur, such as Market Disruptin Events r the discntinuance f either Index, Natixis, as Calculatin Agent, will be required t make discretinary judgments that culd significantly affect yur return n the Ntes. In making these judgments, the Calculatin Agent s interests culd be adverse t yur interests as a hlder f the Ntes. The Ntes may be subject t the effect f the exercise f the Bail-in Pwer and yu culd lse sme r all f yur investment. The Bail-in Pwer is any pwer existing frm time t time under any laws, regulatins rules r requirements in effect in France, relating t the transpsitin f Directive 2014/59/EU establishing a framewrk fr the recvery and reslutin f credit institutins and investment firms. The exercise f any Bail-in Pwer by the Autrité de cntrôle prudentiel et de reslutin (the Relevant Reslutin Authrity ) may result in any f the fllwing r sme cmbinatin theref: the reductin f all r a prtin f the principal amunt f the Ntes, any accrued and unpaid interest and any ther amunts due and payable n the Ntes (the Amunts Due ); the cnversin f all r a prtin f the Amunts Due int shares, ther securities r ther bligatins f Natixis r anther persn; the cancellatin f the Ntes; r the amendment r alteratin f the maturity f the Ntes r amendment r the amunt f interest payable n the Ntes, r the date n which the interest becmes payable, including by suspending payment fr a temprary perid. Please see Terms and Cnditins f the Ntes in the Base Offering Memrandum fr additinal infrmatin. N statutry, judicial r administrative authrity directly addresses the characterizatin f the Ntes r instruments similar t the Ntes fr U.S. federal incme tax purpses. As a result, significant aspects f the U.S. federal incme tax cnsequences f an investment in the Ntes are nt certain. N ruling is being requested frm the Internal Revenue Service (the IRS ) with respect t the Ntes and n assurance can be given that the IRS will agree with the cnclusins expressed under Supplemental Infrmatin Regarding Taxatin in the United States belw, Certain Additinal United States Federal Incme Tax Cnsideratins in the accmpanying Equity Prduct Supplement and Taxatin United States Taxatin in the accmpanying Base Offering Memrandum. It is als pssible that future U.S. legislatin, regulatins r ther IRS guidance wuld require yu t treat the Ntes in a manner that significantly differs frm the agreed-t treatment discussed under Supplemental Infrmatin Regarding Taxatin in the United States belw, Certain Additinal United States Federal Incme Tax Cnsideratins in the accmpanying Equity Prduct Supplement and Taxatin United States Taxatin in the accmpanying Base Offering Memrandum, and that such guidance culd have retractive effect. In additin t these risk factrs, it is imprtant t bear in mind that the Ntes are uncnditinal liabilities f Natixis US Medium-Term Nte Prgram LLC, and the Guarantee cnstitutes an uncnditinal bligatin f the New Yrk Branch f Natixis. Nne f the Ntes r the Guarantee is insured by the FDIC r secured by cllateral. As such, any payments due n the Ntes, including any repayment f principal, will be subject t the credit risk f the Issuer and the Guarantr. PS-11

12 Descriptin f the Indices S&P 500 Index The fllwing infrmatin is based n infrmatin published by the related Index Spnsr. Nne f the Issuer, the Guarantr r Natixis is a spnsr f the S&P 500 Index and nne f such entities are respnsible fr the infrmatin set frth belw except fr the apprpriate extractin f the infrmatin published by the related Index Spnsr. General The S&P 500 Index is intended t prvide an indicatin f the pattern f cmmn stck price mvement. The calculatin f the level f the S&P 500 Index is based n the relative value f the aggregate market value f the cmmn stcks f 500 cmpanies as f a particular time cmpared t the aggregate average market value f the cmmn stcks f 500 similar cmpanies during the base perid f the years 1941 thrugh As f May 31, 2016, the average market capitalizatin f the cmpanies included in the S&P 500 Index was apprximately $ billin. As f that date, the largest cmpnent f the S&P 500 Index had a market capitalizatin f apprximately $ billin, and the smallest cmpnent f the S&P 500 Index had a market capitalizatin f $2.463 billin. Standard & Pr s, a divisin f The McGraw-Hill Cmpanies, Inc. ( S&P ), chses cmpanies fr inclusin in the S&P 500 Index with the aim f achieving a distributin by brad industry grupings that apprximates the distributin f these grupings in the cmmn stck ppulatin f its Stck Guide Database f ver 10,000 cmpanies, which S&P uses as an assumed mdel fr the cmpsitin f the ttal market. Relevant criteria emplyed by S&P include the viability f the particular cmpany, the extent t which that cmpany represents the industry grup t which it is assigned, the extent t which the market price f that cmpany s cmmn stck generally is respnsive t changes in the affairs f the respective industry and the market value and trading activity f the cmmn stck f that cmpany. Ten main grups f cmpanies cmprise the S&P 500 Index, with the apprximate percentage f the market capitalizatin f the S&P 500 Index included in each grup as f May 31, 2016, indicated in parentheses: Infrmatin Technlgy (20.4%); Financials (16.3%); Health Care (14.7%); Cnsumer Discretinary (12.6%); Cnsumer Staples (10.1%); Industrials (10.0%); Energy (7.1%); Utilities (3.3%); Materials (2.8%); and Telecmmunicatin Services (2.7%). S&P frm time t time, in its sle discretin, may add cmpanies t, r delete cmpanies frm, the S&P 500 Index t achieve the bjectives stated abve. S&P calculates the S&P 500 Index by reference t the prices f the cnstituent stcks f the S&P 500 Index withut taking accunt f the value f dividends paid n thse stcks. Cmputatin f the S&P 500 Index While S&P currently emplys the fllwing methdlgy t calculate the S&P 500 Index, n assurance can be given that S&P will nt mdify r change this methdlgy. Histrically, the market value f any cmpnent stck f the S&P 500 Index was calculated as the prduct f the market price per share and the number f then utstanding shares f such cmpnent stck. In March 2005, S&P began shifting the S&P 500 Index halfway frm a market capitalizatin weighted frmula t a flat-adjusted frmula, befre mving the S&P 500 Index t full flat adjustment n September 16, S&P s criteria fr selecting stcks fr the S&P 500 Index did nt change with the shift t flat adjustment. Hwever, the adjustment affects each cmpany s weight in the S&P 500 Index. Under flat adjustment, the share cunts used in calculating the S&P 500 Index reflect nly thse shares that are available t investrs, nt all f a cmpany s utstanding shares. S&P defines three grups f sharehlders whse hldings are subject t flat adjustment: hldings by ther publicly traded crpratins, venture capital firms, private equity firms, strategic partners, r leveraged buyut grups; hldings by gvernment entities, including all levels f gvernment in the U.S. r freign cuntries; and hldings by current r frmer fficers and directrs f a cmpany, funders f the cmpany, r family trusts f fficers, directrs, r funders, as well as hldings f trusts, fundatins, pensin funds, emplyee stck wnership plans, r ther investment vehicles assciated with and cntrlled by the cmpany. Hwever, treasury stck, stck ptins, restricted shares, equity participatin units, warrants, preferred stck, cnvertible stck, and rights are nt part f the flat. In cases where hldings in a grup exceed 10% f the utstanding shares f a cmpany, the hldings f that grup are excluded frm the flat-adjusted cunt f shares t be used in the index calculatin. Mutual funds, investment advisry firms, pensin funds, r fundatins nt assciated with the cmpany and investment funds in insurance cmpanies, shares f a U.S. cmpany traded in Canada as exchangeable shares, shares that trust beneficiaries may buy r sell withut difficulty r significant additinal expense beynd typical brkerage fees, and, if a cmpany has multiple classes f stck utstanding, shares in an unlisted r nn-traded class if such shares are cnvertible by sharehlders withut undue delay and cst, are als part f the flat. Fr each stck, an investable weight factr ( IWF ) is calculated by dividing the available flat shares, defined as the ttal shares utstanding less shares held in ne r mre f the three grups listed abve, where the grup hldings exceed 10% f the utstanding shares, by the ttal shares utstanding. The flat-adjusted Index is then calculated by multiplying, fr each stck in the S&P 500 Index, the IWF, the price, and ttal number f shares utstanding, adding tgether the resulting amunts, and then dividing that sum by the index divisr. Effective September 2015, each share class line is subject t public flat and liquidity criteria individually, but the cmpany s ttal market capitalizatin will be used t evaluate each share class line. This may result in ne listed share class line f a cmpany being included in the S&P 500 Index while a secnd listed share class line f the same cmpany is excluded. Unlisted share class lines are nt cmbined with any listed share class lines, but these unlisted class lines are included when cmputing cmpany ttal market capitalizatin. PS-12

13 The Index is calculated using a base-weighted aggregate methdlgy. The level f the S&P 500 Index reflects the ttal market value f all 500 cmpnent stcks relative t the base perid f the years 1941 thrugh Althugh the S&P 500 Index cntains 500 cmpanies, at any ne time it may cntain greater than 500 trading lines since sme cmpanies may be represented by multiple share class lines in the S&P 500 Index. An indexed number is used t represent the results f this calculatin in rder t make the level easier t wrk with and track ver time. The actual ttal market value f the cmpnent stcks during the base perid f the years 1941 thrugh 1943 has been set t an indexed level f 10. This is ften indicated by the ntatin = 10. In practice, the daily calculatin f the S&P 500 Index is cmputed by dividing the ttal market value f the cmpnent stcks by the index divisr. By itself, the index divisr is an arbitrary number. Hwever, in the cntext f the calculatin f the S&P 500 Index, it serves as a link t the riginal base perid level f the S&P 500 Index. The index divisr keeps the S&P 500 Index cmparable ver time and is the manipulatin pint fr all adjustments t the S&P 500 Index, which is index maintenance. Index Maintenance Index maintenance includes mnitring and cmpleting the adjustments fr cmpany additins and deletins, share changes, stck splits, stck dividends, and stck price adjustments due t cmpany restructuring r spin-ffs. Sme crprate actins, such as stck splits and stck dividends, require changes in the cmmn shares utstanding and the stck prices f the cmpanies in the S&P 500 Index, and d nt require index divisr adjustments. T prevent the level f the S&P 500 Index frm changing due t crprate actins, crprate actins which affect the ttal market value f the S&P 500 Index require an index divisr adjustment. By adjusting the index divisr fr the change in market value, the level f the S&P 500 Index remains cnstant and des nt reflect the crprate actins f individual cmpanies in the S&P 500 Index. Index divisr adjustments are made after the clse f trading and after the calculatin f the S&P 500 Index clsing level. Changes in a cmpany s shares utstanding f 5% r mre due t mergers, acquisitins, public fferings, tender ffers, Dutch auctins, r exchange ffers are made as sn as reasnably pssible. All ther changes f 5% r mre (due t, fr example, cmpany stck repurchases, private placements, redemptins, exercise f ptins, warrants, cnversin f preferred stck, ntes, debt, equity participatin units, at-themarket stck fferings, r ther recapitalizatins) are made weekly and are annunced n Wednesday fr implementatin after the clse f trading n the fllwing Wednesday. Changes f less than 5% due t a cmpany's acquisitin f anther cmpany in the S&P 500 Index are made as sn as reasnably pssible. All ther changes f less than 5% are accumulated and made quarterly n the third Friday f March, June, September, and December, and are usually annunced tw t five days prir. Changes in IWFs f mre than ten percentage pints caused by crprate actins (such as merger and acquisitin activity, restructurings, r spinffs) will be made as sn as reasnably pssible. Other changes in IWFs will be made annually, when IWFs are reviewed. License Agreement The Ntes are nt spnsred, endrsed, sld r prmted by S&P. S&P des nt make any representatin r warranty, express r implied, t the wners f the Ntes r any member f the public regarding the advisability f investing in securities generally r in the Ntes particularly r the ability f the S&P 500 Index t track general stck market perfrmance. S&P s nly relatinship t the Issuer is the licensing f certain trademarks and trade names f S&P and f the S&P 500 Index, which index is determined, cmpsed and calculated by S&P withut regard t Issuer r the Ntes. S&P has n bligatin t take the needs f the Issuer r the wners f the Ntes int cnsideratin in determining, cmpsing r calculating the S&P 500 Index. S&P is nt respnsible fr and have nt participated in the determinatin f the timing f, prices at, r quantities f the Ntes t be issued r in the determinatin r calculatin f the equatin by which the Ntes are t be cnverted int cash. S&P has n bligatin r liability in cnnectin with the administratin, marketing r trading f the Ntes. S&P DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE S&P 500 INDEX OR ANY DATA INCLUDED THEREIN AND S&P SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN. S&P MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, OWNERS OF THE NOTES OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE S&P 500 INDEX OR ANY DATA INCLUDED THEREIN. S&P MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE S&P INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL S&P HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES. S&P 500 is a trademark f The McGraw-Hill Cmpanies, Inc. and has been licensed fr use by the Issuer. The Ntes are nt spnsred, endrsed, sld r prmted by S&P and S&P makes n representatin regarding the advisability f investing in the Ntes. Discntinuance f an Index; Alteratin f Methd f Calculatin If the Index Spnsr discntinues publicatin f the Index and the Index Spnsr r anther entity publishes a successr r substitute index that the Calculatin Agent determines, in its sle discretin, t be cmparable t the discntinued Index (such index being referred t herein as a Successr Index ), then any subsequent Index Level r the Final Level, as applicable, shall be determined by reference t the published value f such Successr Index at the regular weekday clse f trading n any Index Business Day that the Index Level r the Final Level is t be determined. If the publicatin f the Index is discntinued and such discntinuance is cntinuing at any time when Index Level r the Final Level Index is t be determined and the Calculatin Agent determines, in its sle discretin, that n Successr Index is available at such time, then the Calculatin Agent will determine such Index Level r such Final Level at such time in accrdance with the frmula fr calculating such Index last in effect prir t such discntinuance, withut rebalancing r substitutin, using the price at such time (r, if trading in the relevant securities has been materially suspended r materially limited, its gd faith estimate f the price that wuld have prevailed but fr such suspensin r limitatin) f each security mst recently cmprising the index n the relevant exchange. PS-13