JPMorgan plans principal-at-risk notes linked to Core Commodity Investable Global Asset Rotator index

By Angela McDaniels

Tacoma, Wash., Feb. 23 - JPMorgan Chase & Co. plans to price floating-rate principal-at-risk notes due March 10, 2010 linked to the JPMorgan Core Commodity Investable Global Asset Rotator Long-Short index, according to an FWP filing with the Securities and Exchange Commission.

The index was developed to implement a momentum-based algorithmic strategy for commodity allocations, and it references the value of a synthetic portfolio selected from a limited universe of commodity constituents, each of which is a component of the S&P GSCI index.

Interest will equal Libor plus 50 basis points. It will be reset quarterly and payable at maturity.

In addition to interest, the payout at maturity will be par plus triple the sum of the index return minus a fee of 1.1% per year.

The notes are putable at any time and will be called if the index declines by more than 15%. In each case, the payout will be determined in the same way as at maturity.

The notes are expected to price March 2 and settle March 5.

J.P. Morgan Securities Inc. is the agent.

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