JPMorgan plans notes linked to JPMorgan Commodity Rotator

By Sheri Kasprzak

New York, Jan. 9 - JPMorgan Chase & Co. led structured products offerings on Wednesday with notes linked to its JPMorgan Commodity Investable Global Asset Rotator Excess Return.

"I'm not familiar with the inner workings of JPMorgan's proprietary indexes, so I can't comment on the specifics of the index," said one market insider.

"Just looking at it as an outsider though, it is a pretty interesting structure. It's not uncommon to have something like this as an underlyer, especially with things like commodities. You can recalibrate as needed and move things around, change weightings. There are many strategies to do something like this, so it's pretty interesting."

The proprietary index includes up to 12 sub-indexes in a limited universe of commodity sub-indexes, each a component of the S&P GSCI index. The sub-indexes are put through tests to filter out the sub-indexes that have not demonstrated one-year appreciation and those that have not demonstrated consistent positive monthly performance. If fewer than 12 sub-indexes meet the selection criteria, the balance of the synthetic portfolio is deemed uninvested. The value of the index is the value of the synthetic portfolio, less an agency fee of 0.96% per year.

The zero-coupon notes have a two-year term and pay par times one plus the underlying return plus an additional amount. The additional amount will be at least $70, with the exact amount to be determined at pricing. The notes are not principal protected.

The notes are set to price Jan. 24.

Rabobank plans CD

Elsewhere, Rabobank NA is negotiating the terms of a principal-protected certificate of deposit linked to the S&P 500 index.

The 15-month CDs pay the deposit amount plus a supplemental redemption amount. If a knock-out even has not occurred, the amount will be 15%. If a knock-out even has occurred, the amount will be zero. A knock-out even will occur if, on any observation date, the index level is greater than the upper knock-out level (which is 115% of the initial index level), or less than the lower knock-out level (which is 85% of the initial index level).

The notes are being sold through LaSalle Bank, NA.

The CDs may be redeemed at the investors option every quarter until maturity. The redemptions will be at prices established by Rabobank. The redemption dates are April 30, July 31, October 31 and January 31 of each year, beginning April 30, 2008 and ending Jan. 31, 2009.

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