JPMorgan Chase Announces Its Replacement Rate for Outstanding Securities and Other Instruments Linked to U.S. Dollar LIBOR ICE Swap Rates

Rhea-AI Summary

JPMorgan Chase & Co. (NYSE: JPM) announced updates regarding the replacement rate for certain outstanding floating rate and fixed-to-floating rate debt securities linked to U.S. dollar LIBOR ICE Swap Rates. Following the recommendation from the Alternative Reference Rates Committee (ARRC) in March 2021, the firm will replace USD LIBOR ISR with USD SOFR ISR, incorporating a 0.26161% per annum tenor spread adjustment. This change will impact payments calculated on such securities post June 30, 2023. The announcement specifically excludes securities governed by laws outside New York and those not settled through The Depository Trust Company. As of March 31, 2023, JPMorgan Chase holds $3.7 trillion in assets and $303 billion in stockholders’ equity.

Positive

• Transitioning to USD SOFR ISR improves alignment with regulatory standards.
• Maintains consistent interest rate calculations for affected debt instruments.

Negative

• Potential confusion among investors regarding the replacement rates.
• Market exposure to fluctuations in SOFR rates post-transition could increase risk.

NEW YORK--(BUSINESS WIRE)-- JPMorgan Chase & Co. (NYSE: JPM) (“JPMorgan Chase” or the “Firm”) announced today its replacement rate for certain outstanding floating rate and fixed-to-floating rate debt securities and certificates of deposit issued by JPMorgan Chase, JPMorgan Chase Financial Company LLC and JPMorgan Chase Bank, N.A. (the “Issuers”) that are linked to U.S. dollar LIBOR ICE Swap Rates (“USD LIBOR ISR”) of one or more tenors.

In March 2021, the Alternative Reference Rates Committee (“ARRC”) suggested a fallback formula (the “ARRC fallback formula”) for USD LIBOR ISR that consists of using the U.S. dollar SOFR ICE Swap Rate (“USD SOFR ISR”), adding the tenor spread adjustment for 3-month U.S. dollar LIBOR of 0.26161% per annum and applying technical adjustments to account for differences in payment frequency and day count conventions between USD LIBOR and SOFR swaps. On June 8, 2022, the ARRC recommended that calculation agents consider the ARRC fallback formula in determining successor rates for USD LIBOR ISR where a legacy position cannot be proactively converted and its fallback provisions cannot be amended.

In the case of any of the above securities or instruments that permit the calculation agent to select a successor rate following the discontinuation of USD LIBOR ISR, the calculation agent has determined that, for the purposes of calculating any payment on any such securities or instruments that is to be determined using one or more USD LIBOR ISR after June 30, 2023, any such USD LIBOR ISR will be replaced by the USD SOFR ISR for the same tenor as such USD LIBOR ISR, subject to the adjustments, including the 0.26161% per annum tenor spread adjustment, in accordance with the ARRC fallback formula.

In the case of any of the above securities or instruments that permit the calculation agent to make a determination of the relevant rate in good faith and in a commercially reasonable manner if any applicable dealer poll does not yield a rate following the discontinuation of any USD LIBOR ISR, the calculation agent has determined that, for the purposes of calculating any payment on any such securities or instruments that is to be determined using one or more USD LIBOR ISR after June 30, 2023, it will reference the same replacement rate described above.

This announcement does not apply to any USD LIBOR ISR-linked securities or other instruments issued by the Issuers that are not governed by New York law and that do not settle through the facilities of The Depository Trust Company.

JPMorgan Chase & Co. (NYSE: JPM) is a leading financial services firm based in the United States of America (“U.S.”), with operations worldwide. JPMorgan Chase had $3.7 trillion in assets and $303 billion in stockholders’ equity as of March 31, 2023. The Firm is a leader in investment banking, financial services for consumers and small businesses, commercial banking, financial transaction processing and asset management. Under the J.P. Morgan and Chase brands, the Firm serves millions of customers in the U.S., and many of the world’s most prominent corporate, institutional and government clients globally. Information about JPMorgan Chase & Co. is available at www.jpmorganchase.com.

View source version on businesswire.com: https://www.businesswire.com/news/home/20230420005747/en/

Investor Contact:

Mikael Grubb

212-270-2479

Media Contact:

Gurpreet Kaur

212-270-8894

Source: JPMorgan Chase & Co.

FAQ

What is the new replacement rate for JPM's floating rate debt securities?

JPMorgan Chase will replace USD LIBOR ISR with USD SOFR ISR, including a 0.26161% tenor spread adjustment.

When will the new replacement rates come into effect for JPM's securities?

The new rates will apply to payments calculated after June 30, 2023.

What impact does the ARRC fallback formula have on JPM securities?

The ARRC fallback formula ensures a smooth transition to SOFR rates for legacy LIBOR-linked securities.

What type of securities does this announcement not apply to?

The announcement does not apply to USD LIBOR ISR-linked securities governed by laws outside New York or not settled through The Depository Trust Company.

How much in assets does JPMorgan Chase hold as of March 2023?

As of March 31, 2023, JPMorgan Chase has $3.7 trillion in assets.