[497AD] RiverNorth Capital and Income Fund, Inc. SEC Filing

Rhea-AI Filing Summary

JPMorgan Chase Financial Company LLC is offering Callable Contingent Interest Notes maturing on 10-Apr-2026 that are linked individually (not as a basket) to the Russell 2000-® Index (RTY), the S&P 500-® Index (SPX) and the Invesco QQQ Trust SM (QQQ).

Key economic terms

• Principal: $1,000 minimum denominations.
• Term: ≈ 9 months (Strike Date 07-Jul-2025; Maturity Date 10-Apr-2026).
• Contingent Interest: ≥0.9375% per month (≥8.4375% total) paid only if the closing value of each underlying on a Review Date is ≥84% of its Strike Value (the “Interest Barrier”).
• Early Redemption: Issuer may call the notes in whole on any Interest Payment Date from 10-Oct-2025 onward for $1,000 plus the prior month’s contingent coupon.
• Downside Protection: 16% buffer. If any underlying closes <84% of Strike on the final Review Date, repayment is reduced by a factor of 1.19048, producing a dollar loss of 1.19048% for every 1% decline beyond the buffer. Maximum loss: 100% of principal.
• Estimated Value: ~$991 per $1,000 note at launch (no lower than $980), reflecting structuring/hedging costs embedded in the $1,000 price.
• Credit: Unsecured, unsubordinated obligations of JPMorgan Chase Financial; fully and unconditionally guaranteed by JPMorgan Chase & Co.

Cash-flow mechanics

If the notes are not called and each underlying remains above its 84% barrier on all nine Review Dates, the investor receives nine monthly coupons totaling $84.375 plus $1,000 principal on maturity (total 8.44% return). If any underlying breaches the barrier on a Review Date, that month’s coupon is skipped. Should any underlying finish below its 84% Buffer Threshold at maturity, principal is eroded according to the downside formula—e.g., a 60% final decline in the worst performer results in only $476.19 returned (–52.38% total loss).

Principal risk considerations

• No guarantee of coupon or principal; investors are exposed to the worst-performing underlying.
• Issuer call can truncate the investment after as little as three months, capping potential income and forcing reinvestment risk.
• Notes are illiquid, unlisted and will generally price below par in the secondary market; estimated value is already ~$9 below issue price.
• Exposure to JPM Financial / JPM Chase credit risk.

Positive

• High indicative coupon rate of at least 8.4375% over a nine-month horizon provides above-market income potential if barriers are respected.
• 16% downside buffer offers limited principal protection versus direct equity exposure.
• Short maturity (≈9 months) reduces long-term market and credit exposure.

Negative

• Worst-performing underlying trigger means a single index breach cancels coupons and can erode principal, even if the other two perform well.
• Issuer call option allows JPMorgan to redeem after three months, capping investor return while retaining initial costs.
• Limited liquidity & valuation drag: unlisted security, estimated launch value ~$991 vs $1,000 issue price, likely lower secondary prices.
• No equity upside: appreciation of indices above strike yields no additional benefit beyond coupons.
• Credit risk of JPMorgan Chase Financial and JPMorgan Chase & Co. remains despite strong ratings.

Insights

Structured-Product Analyst

TL;DR – High coupon but limited upside, short tenor, material downside if any index drops >16%.

These notes package a modest, contingent high yield with an embedded short put on the worst of RTY, SPX and QQQ. The 8.44% headline rate looks attractive on an annualised basis, but payments stop whenever one index falls below the 84% barrier. The 16% buffer provides only shallow protection—small-cap RTY in particular historically moves >16% in far less than nine months. Early-call optionality favours the issuer: coupons stop once redeemed, while investors retain full downside if the notes are not called. Credit exposure to JPM is investment-grade, yet the $991 indicative value confirms a ~0.9-point fee/hedging drag at issuance. Overall, risk-reward is neutral to slightly negative for most diversified portfolios.

Risk Analyst

TL;DR – Worst-of payout, issuer call, and thin liquidity raise significant tail-risk.

The structure concentrates downside through a worst-performer trigger combined with leveraged loss beyond a limited buffer (1.19×). Stress scenarios—e.g., a 25% correction in RTY—translate into ~10.7% coupon foregone plus ~10.7% additional principal loss for every 10% drop after the buffer. Probability-weighted returns are therefore highly path-dependent and asymmetric. Because the notes are not exchange-listed, exit pricing will rely on JPMS, whose bid is expected to include funding spread and hedging unwind costs, amplifying mark-to-market volatility. From a risk budgeting standpoint, the instrument resembles a short-dated, out-of-the-money worst-of option lacking upside participation. I assign a slightly negative impact score.

 

RIVERNORTH CAPITAL AND INCOME FUND, INC.

ANNOUNCES PRELIMINARY RESULTS OF TRANSFERABLE RIGHTS OFFERING

West Palm Beach, FL– July 8, 2025 – RiverNorth Capital and Income Fund, Inc. (NYSE: RSF) (the “Fund”) today announced the preliminary results of its transferable rights offering (the “Offering”) that expired on July 7, 2025 (the “Expiration Date”). In the Offering, the Fund received subscription requests for 1,924,556 shares of common stock from rights holders. Accordingly, the Fund expects to issue 1,105,000 new shares of common stock for these subscriptions, on or about July 11, 2025. Gross proceeds from the Offering are expected to total approximately $15.9 million, before expenses.

The Offering was oversubscribed, and the over-subscription requests exceeded the over-subscription shares available. Accordingly, the shares issued as part of the over-subscription privilege of the Offering will be allocated pro-rata among record date stockholders who submitted over-subscription requests based on the number of rights originally issued to them by the Fund.

The foregoing numbers are estimates only. The Fund will announce the final results of the Offering in a press release on or about July 9, 2025.

The Offering’s final subscription price per share was determined to be $14.39. The subscription price was established pursuant to the terms of the Offering and based on a formula equal to 90% of the Fund’s reported net asset value (“NAV”) per share of common stock on the Expiration Date. The NAV per share used in the formula described above was $15.99.

The final subscription price is lower than the original estimated subscription price of $14.51 per share. Accordingly, any excess payments will be returned to subscribing rights holders as soon as practicable, in accordance with the prospectus supplement and accompanying prospectus, filed with the Securities and Exchange Commission on May 30, 2025.

Shares of common stock issued as a result of the rights offering will not be record date shares for the Fund’s monthly distributions paid in June 2025 but will be record date shares for the Fund’s July 2025 distribution.

This press release shall not constitute an offer to sell or constitute a solicitation of an offer to buy.

RiverNorth Capital and Income Fund, Inc.

The investment objective of the Fund is to seek a high level of current income. The Fund had approximately $52.4 million of net assets and 3.3 million shares of common stock outstanding as of June 30, 2025.

The Fund is a closed-end fund and does not continuously issue stock for sale as open-end mutual funds do. The Fund now trades in the secondary market. Investors wishing to buy or sell stock need to place orders through an intermediary or broker. The share price of a closed-end fund is based on the market value.

Risk is inherent in all investing. Investing in any investment company security involves risk, including the risk that you may receive little or no return on your investment or even that you may lose part or all of your investment. Therefore, before investing in the shares of common stock, you should consider the risks as well as the other information in the prospectus, annual report and semi-annual report.

Past performance is no guarantee of future results.

 

See the Prospectus for a more detailed description of Fund risks.

The profitability of specialty finance and other financial companies is largely dependent upon the availability and cost of capital funds and may fluctuate significantly in response to changes in interest rates, as well as changes in general economic conditions. If the borrower of Alternative Credit (as defined below) in which the Fund invests is unable to make its payments on a loan, the Fund may be greatly limited in its ability to recover any outstanding principal and interest under such loan, as (among other reasons) the Fund may not have direct recourse against the borrower or may otherwise be limited in its ability to directly enforce its rights under the loan, whether through the borrower or the platform through which such loan was originated, the loan may be unsecured or under collateralized, and/or it may be impracticable to commence a legal proceeding against the defaulting borrower. Substantially all of the Alternative Credit in which the Fund invests will not be guaranteed or insured by a third party. In addition, the Alternative Credit Instruments in which the Fund may invest will not be backed by any governmental authority. Prospective borrowers supply a variety of information regarding the purpose of the loan, income, occupation and employment status (as applicable) to the lending platforms. As a general matter, platforms do not verify the majority of this information, which may be incomplete, inaccurate, false or misleading. Prospective borrowers may misrepresent any of the information they provide to the platforms, including their intentions for the use of the loan proceeds. Alternative Credit Instruments are generally not rated by the nationally recognized statistical rating organizations (“NRSROs”). Such unrated instruments, however, are considered to be comparable in quality to securities falling into any of the ratings categories used by such NRSROs to classify "junk" bonds (i.e., below investment grade securities). Accordingly, the Fund’s unrated Alternative Credit Instrument investments constitute highly risky and speculative investments similar to investments in “junk” bonds, notwithstanding that the Fund is not permitted to invest in loans that are of subprime quality at the time of investment. Although the Fund is not permitted to invest in loans that are of subprime quality at the time of investment, an investment in the Fund’s Shares should be considered speculative and involving a high degree of risk, including the risk of loss of investment. There can be no assurance that payments due on underlying loans, including Alternative Credit, will be made.

Diversification does not ensure a profit or a guarantee against loss.

The Fund’s investment objectives, risks, charges and expenses must be considered carefully before investing. The Fund’s prospectus and most recent periodic reports contain this and other important information about the investment company and may be obtained by visiting rivernorth.com/literature or by calling 844.569.4750. Read the Prospectus carefully before investing.

RiverNorth Capital Management, LLC

RiverNorth Capital Management, LLC (“RiverNorth”) is an independent investment manager and closed- end fund expert specializing in opportunistic strategies and structures built to exploit market inefficiencies. Founded in 2000, RiverNorth manages $4.9 billion¹ of assets in registered funds, private funds and separately managed accounts.

Investor Contact

RiverNorth CEF Investor Relations

800-646-0148, Option 1

CEF@rivernorth.com

¹ As of May 31, 2025. Firm AUM reflects Managed Assets which includes the effects of leverage and investments in affiliated funds.

Not FDIC Insured | May Lose Value | No Bank Guarantee

RiverNorth® is a registered trademark of RiverNorth Capital Management, LLC.

Marketing services provided by ALPS Distributors Inc. ALPS and RiverNorth are not affiliated.

©2000-2025 RiverNorth Capital Management, LLC. All rights reserved.

RVN001808

FAQ

What is the coupon rate on JPMorgan's contingent interest notes?

The notes pay a contingent coupon of at least 0.9375% per month, equal to an annualised rate of at least 8.4375%, only when all three underlyings stay ≥84% of their Strike Values on the applicable Review Date.

When can JPMorgan redeem the notes early?

The issuer may call the notes on any Interest Payment Date starting 10-Oct-2025, paying $1,000 plus the prior month’s coupon.

How much downside protection do investors receive?

A 16% Buffer shields principal only if each underlying’s final level is above 84% of its Strike Value. Losses beyond that are magnified by a 1.19048 leverage factor.

What is the estimated issue value versus the public offering price?

If priced today, JPMorgan estimates the value at $991 per $1,000 note; the final estimated value will not be less than $980.

Do the notes participate in index upside?

No. Regardless of index appreciation, upside is capped at the sum of contingent coupons; there is no participation beyond par plus accrued interest.

Are the notes listed on an exchange?

No. The securities will not be exchange-listed; liquidity depends on JPMS’s willingness to bid in the secondary market.