JPMorgan to price return notes linked to JPMorgan Commodity Investable Global Asset Rotator index

By Angela McDaniels

Tacoma, Wash., March 10 - JPMorgan Chase & Co. plans to price 0% return notes due March 18, 2010 linked to the JPMorgan Commodity Investable Global Asset Rotator Conditional Long-Short II index, according to an FWP filing with the Securities and Exchange Commission.

The notes are expected to price on March 13 and settle on March 18.

The index references the value of a synthetic portfolio of sub-indexes of the S&P GSCI index and was developed to implement a momentum-based algorithmic strategy for commodity allocations. The performance algorithm tests the year-over-year performance for each sub-index, and the consistency tests filter out sub-indexes that have not demonstrated consistent positive monthly performance over a one-year period.

Up to 12 sub-indexes that are ranked with the strongest positive performance and successfully pass the consistency test are assigned a conditional long-short target weight of one-twelfth in the synthetic portfolio until the next monthly rebalancing, and up to 12 sub-indexes that are ranked with the weakest negative performance and successfully pass the conditional short consistency test are assigned a conditional long-short target weight of minus one-twelfth.

The value of index equals the value of the synthetic portfolio minus a fee that accrues daily at an annual rate of 0.96%.

The payout at maturity will be par plus the index return plus an additional amount that will be at least 4%. The exact additional amount will be set at pricing.

J.P. Morgan Securities Inc. will be the agent.

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