ABN Amro to sell $50 million notes with downside buffer linked to world equity basket

By Jennifer Chiou

New York, May 2 - ABN Amro Bank NV plans to price $50 million of 0% Weighted-Performance World Equity Basket Notes due May 2011 linked to a world equity basket, according to an FWP filing with the Securities and Exchange Commission.

The underlying indexes include the S&P 500 with a 50% weight, Dow Jones Euro Stoxx 50 with a 13% weight, FTSE 100 with a 13% weight, Nikkei 225 with a 10% weight, MSCI Taiwan with a 10% weight and S&P/ASX 200 with a 4% weight.

Investors will receive par plus 168.5% of any basket gain, if applicable. Investors will receive par for any loss up to 20% and will lose 1.25% for each 1% decline beyond 20%.

JPMorgan Chase & Co. is the trustee and paying agent.

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