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Derivatives

JPMorgan Pitches Commodity-Linked Note

JPMorgan is shopping a one-year note in the U.S. linked to an in-house commodity investment strategy.

JPMorgan is shopping a one-year note in the U.S. linked to an in-house commodity investment strategy. The Commodity Investable Global Asset Rotator excess return offers investors capital protection plus 80% participation in the return of the strategy. It references up to a maximum of 12 sub-indices of the Goldman Sachs Commodity Index, selected each month for performance and consistency.

The firm has developed a monthly consistency test for each sub-index to allow it to decide whether to include or exclude it. The test takes into account monthly performance and gives greater weight to performance in recent months. If no sub-indices meet the test requirements, the note is not invested. If less than 12 pass the test, the assets allocated to the sub-indices will not be more than one-twelfth of the investment and the rest will remain uninvested. It is expected to price Dec. 19. Scott Mitchell, responsible for equity structured investment sales at JPMorgan in New York, declined all comment.

The Street has seen a string of variations on commodity-linked notes in the last month (DW, 11/26). Dealers are seeking to sustain investor appetite, in spite of returns dropping from peaks earlier this year.

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