From Cryptocurrency to disrupting post-trade processing Distributed Ledger Technology (DLT) is hot in the world of finance.

Introducing a global ETF creation & redemption solution The ETF trading on global markets is booming.

News from the financial & securities industry

December 2016

What’s next?ABN AMRO Clearing Newsletter for clients | No. 43

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Table of contents

03 General

Intro 3

From Cryptocurrency to disrupting post-trade

processing 4

Back on track and aiming for more! 6

FOW/CTA 9

AIF - Save the Date 10

ABN AMRO Clearing tweets 23

Events overview 24

Colophon 25

10 Market | Product updates

Introducing a global ETF creation &

redemption solution 11

CME CF Bitcoin Products Now Live 12

ABN AMRO Clearing keeps on investing 14

14 Regulations

A new European settlement discipline regime

in the making 15

Market Infrastructure update 16

Capital Requirements Update 18

The Securities Financing Transaction Regulation 19

US Regulatory update 20

Contents GeneralM

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This remarked growth is tribute to our clients, leveraging business volumes on our capacity to efficiently

service their ETF business. In this magazine you can find out more about our solutions to seamlessly

link our clients with ETF issuers across the APAC region.

ABN AMRO Clearing continuously posts organic growth through developing its core product: clearing

and settlement, financing, cost efficient processing, extending our SBL inventory and street side access...

These efforts are witnessed by the improved scores received in our annual client survey. We are also

very proud to have received for the 4th year in a row the FOW ‘Proprietary Traders’ Clearing Firm of

the Year’ award.

And we are not looking backwards only! With your support ABN AMRO Clearing actively advocates a

revision of capital rules for clearing banks, to preserve sustainable delivery of clearing services in the

future. New European regulation for CSDs is going to bring new challenges in the settlement domain, with

more settlement discipline required. We also keep a close eye on innovative, disruptive technologies

like Distributed Ledger that bound to reshape the face of our industry. You will find out more in this

magazine.

We wish you a prosperous and healthy 2017, and look forward to building the future of financial markets

together with you.

Kind Regards

Intro

Stephane Eglizeau,CEO ABN AMRO Clearing APAC

Dear client,

The year 2016 is behind us already, and what a year it was for ABN AMRO Clearing in Asia-Pacific. Next to being the #1 clearer in almost every derivative markets in the region, we realised a 7.3% market share in equities on the Tokyo Stock Exchange.

General

This implies that its deployment will not lead to smooth

evolution or innovation, but to sudden changes in the

industry with drastic consequences for the incumbent

business leader. Think about what the iPhone revolution has

cast upon the telephone industry (Nokia), in photography

(Kodak) and electronic messaging (switching from PCs

to smartphones).

What is DLT?According to Wikipedia, a distributed ledger is a consensus

of replicated, shared, and synchronized digital data,

geographically spread across multiple sites, countries, or

institutions. There is no central administrator or centralised

data storage. Also a peer-to-peer network is required

because consensus algorithms ensure replication across

nodes (servers). Financial institutions are investing heavily

in distributed ledgers as a cost-saving measure and a

way to reduce operational risks. Looking at the post-

trade world, you can think of it as a Central Securities

Depositary without a central ledger. All direct participants

to the distributed ledger certify the integrity of every

position, and any transaction initiated between

participants is immediately executed and settled with

real time position adjustment.

Why get involved?ABN AMRO Clearing has been an innovator in the

financial industry for many years, with exciting new

initiatives like EMCF (now EuroCCP) and Holland

Clearing House (now ICE Clear Netherlands). Blockchain

captured our attention in January 2015 when looking

at the agenda of the ‘South by South West - Vision to

Venture’ conference (SXSW V2V), a meeting place for

start-ups and entrepreneurs. In previous years UBER

and Facebook had presented their business model a

that conference, while still in the start-up phase. You

all know how successful these brands have become.

Looking at the agenda for the 2015 conference it

appeared the new thing was FinTech and applications

around bitcoin, blockchain etc. That got us thinking and

an idea came up to do something in the post trade/

settlement space.

First step: invest in Digital Assets HoldingWe quickly realised we could not do this on our own and

initiated a consortium with some of our competitors/

peers. Ultimately we failed at keeping the group together

but through our discussions with the group we came

From Cryptocurrency to disrupting post-trade processing Distributed Ledger Technology (DLT) is hot in the world of finance. While commonly referred to

as Blockchain and often assimilated with Bitcoin (the cryptocurrency), DLT is considered to be

disruptive technology.

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From Cryptocurrency to disrupting post-trade processing

across Digital Assets Holding (DAH), a US based start-

up with great technology. We managed to get a seat

at the table in their first funding round. Today DAH is

the exclusive partner of the Australian Stock Exchange

(ASX), DTCC (clearing and settlements in the US) and

SIX Group (the Swiss post-trading service provider),

developing blockchain driven clearing and settlement

initiatives.

Why engage in a ‘Proof of Concept’?We wanted to take a first step and gain some practical

experience with DLT. One of the largest technology

partners to ABN AMRO is TCS, and they presented us

with a ‘Proof of Concept’ (PoC) platform for blockchain

based settlement. The nature of this system made it an

excellent fit for ABN AMRO Clearing. For us, it was literally

learning by doing. We have taken our understanding of

DLT from a PowerPoint level to actual valuable real

world experience:

Installing a node (server) in the blockchain network,

Setting up and exchange cryptographic keys (PKI),

Connecting the node to other nodes in the network,

Connect to the blockchain APIs

We managed to connect our back office system Bancs

to the blockchain platform in STP mode.

Piloting the hyperledger softwareThis experience proved to be very useful. We have since

developed a blockchain-based pilot solution ourselves,

using the open source Hyperledger software. This pilot

solution provides a platform to share transaction and

position data between multiple parties, both through a

GUI and in an STP set-up. The Hyperledger protocol is

developed under governance of the Linux Foundation

in the Hyperledger project. It aims to provide an open

source standard for blockchain software that parties

can use to develop their own applications. ABN AMRO

supports this effort for an open standard and is a

member of the Hyperledger project.

What will be the impact of DLT on short notice?We expect little impact on Exchanges, as these are

defined by the matching engine and are not ledger

driven at all. We do believe the CSD space will be

affected first and foremost. The functioning may

fundamentally change, specifically plain vanilla

safekeeping and OTC settlements. The clearing or

CCP function is at bay. Novation at the CCP is necessary

for realising compression and netting, which are huge

benefits to the market. Obviously one can imagine

settlement on T+0 or even instantaneous settlements

in the securities space, yet the real benefit is not

replacing the 2-day CCP function. Replacing a CCP for

derivatives with DLT is even more difficult, as it would

mean retreating to a bilateral market (under EMIR or

Dodd Frank rules!).

If you want to find out more about the ABN AMRO

involvement in blockchain initiatives, click here.

Jan Bart de BoerChief Commercial Officer

Ewout HuizinghSenior Project Manager

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To make sure that client input and remarks are being

heard, we introduced the ‘Going for seven (Go47)’

project during 2016. It looks like this initiative did have

an impact, with perceived improvement of our services

resulting in better scores. It is a motivation to foster this

continuous improvement initiative and we will inform

clients about further steps in the new year.

How did we do on a global level? We are most pleased to see the Net Promotor Score

(NPS) increase from 4 in 2015 to 28 in this year’s

survey. The NPS is an important metric to measure the

loyalty of our customers.

Overall the scores increased and some even surpassed

the scores we received in 2014. The overall level of

satisfaction increased to 5,67, which equals good and

almost very good (5,31 in 2015). The overall reputation

increased to 5,74 (5,44 in 2015). Table 1 shows the

Overall level of satisfaction and Reputation for the total

group of clients over the past four years.

Scores in the APAC and US region are slightly higher

compared to the scores in the EU region.

Table 1: Global scores for Overall level of satisfaction and Reputation

What are the scores per category?It is encouraging to see that results increased compared

to previous years. All categories show improved scores,

except for Securities Borrowing & Lending (SBL), OTC

and Tax services. We have taken stock of comments

related to this service and are currently rolling out an

improvement project.

Table 2: Overall service levels per category. Scores mentioned in green

increased compared to previous year, scores in red decreased compared to

previous year

Tabel 3: Products

Back on track and aiming for more! Since 2011 we invite our clients to rate our services and product offering via the annual

ABN AMRO Clearing survey. Around 35% of clients responded, a figure in line with previous

years. We thank our clients for taking some of their precious time to send us their feedback.

2016 2015 2014

Overall 5.67 5.31 5.59

Clearing services 5.65 5.38 5.65

Risk & Credit services 5.71 5.44 5.58

SBL 4.97 4.99 5.28

Reporting 5.44 4.96 5.31

Operations 5.63 5.45 5.53

Relationship management 5.84 5.59 5.85

Account management 5.68 5.38 5.74

GES 5.53 5.22 5.41

4 = satisfactory 5 = good 6 = very good

5,85

5,75

5,65

5,55

5,45

5,35

5,252013 2014 2015 2016

Satisfaction Reputation

2016 2015

Energy & Commodities 5.89 5.20

Futures Execution 5.50 5.75

FX 5.41 5.33

OTC 4.75 5.67

ETF 5.36 -

Tax 4.4 4.53

4 = satisfactory 5 = good 6 = very good

4 = satisfactory 5 = good 6 = very good

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Back on track and aiming for more!

Part 2: Scores Clearing Survey 2016

689invitations

2016

Total invitations

229responses

EU66%

US24%

Global response rate 33,2%

APAC10%

Part 1: Invitations and responses Clearing Survey 2016

2015

Response rate 34.1%

243responses

2015 & 2016 scores service category/product

37 product specific questions 6 categories106 questions

9 categories 6 product specific categories

Overa

ll

Ener

gy &

commod

ities

Clearin

g ser

vices

Risk &

cred

it ser

vices

SBLRep

ortin

gOpe

ratio

nsRela

tions

hip m

anag

emen

t

Accou

nt man

agem

ent

GES FX OTC ETF

Tax

Futur

es Ex

ecuti

on

5.31

5.67

5.38

5.65

5.44

5.71

4.99

4.97

4.96

5.44

5.45

5.63

5.59

5.84

5.38

5.68

5.22

5.53

4.99

4.97

4.96

5.44

5.45

5.63

5.59

5.84

5.38

5.68

5.22

5.53

2015 2016

0

1

2

3

4

5

6

Overallreputation

ABN AMROClearing acts

Unacceptable - unsatisfactory Satisfactory - good Very good - excellent

Mainly on behalf of the bank On behalf of bank and clients Mainly on behalf of client Don’t know

4% 14%

45%

19%

22%

34%

62%

How valuableare we for theclients future

succes?

NetPromotor

Score

Detractors Passives Promotors

Not valuable at all - invaluable Some value - valuable Very - extremely valuable

18%3%

25%

71%36%

46%

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GeneralRegulations

Market | Product updates

Back on track and aiming for more!

We also received a number of critical and therefore

valuable remarks about our services and products.

Below a selection of quotes from our clients.

Valubale quotes After last year’s survey, we definitely noticed an

improvement in the service that we received.

We have recently on-boarded and the guidance and

assistance we received from the Agri-desk was

exemplary.

Long time relationship with a professional partner.

Trust in your capacities.

Excellent clearing services and capabilities across

products and geographies, competitive clearing and

financing rates, willingness to lend money to finance

regulatory capital and relationships with Senior personnel.

We have done business with ABN AMRO for a number

of years and have established a global presence during

this time.

Risk are a very strong unit and on top of matters.

Critical comments The communication between the locations and the

clients should be improved.

Slow reactivity to issues clearly raised by the client

and delayed feedbacks.

We’re trying to get a segregated account for SBL

purposes. This process is ongoing and very slow.

Pro activeness with regards to data/report

distributions can be better.

Data and reporting – the portal could use a good upgrade.

There should be much more focus on automation in

Operations.

Top 3 things to improve1. Reporting.

2. More efficiency/structure of internal processes

(onboarding, new markets and account opening).

3. Global DMA – CA handling – Improve SBL services

and Tax services.

We are proud to have a really dedicated and interactive client base!

In light of the above we would like to thank all our clients who participated in this survey. Your feedback is

highly appreciated and very important to us in our efforts to continuously improve our service levels.

4 YEARS IN A ROW We feel honoured that our clients’ votes have attributed us the “Proprietary

Traders’ Clearing firm of the Year” award. Number 4 symbolises building a

strong foundation. Your recognition illustrates we are fit to support your success

now and in the future. Thank you all! www.abnamroclearing.com

Follow us on:

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It is testament to the dedication, professionalism and

hard work of our staff and we are thankful for the mark

of appreciation being shown. During the year we have

worked hard to improve our service capabilities and have

taken the feedback received during the annual client

survey to help improve our services. It is rewarding and

motivating for all to see that these efforts have been

noticed and appreciated.

We thank you for entrusting your business to ABN AMRO

Clearing and look forward to continuing to make our

Principal Trading Group.

Proprietary Traders Clearing Firm of the Year We would like to thank our clients for voting ABN AMRO Clearing the ‘Proprietary Traders’

Clearing Firm of the year for the 4th time running at the FOW International Awards dinner in

London on Wednesday 7th of December.

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ABN AMRO Clearing is pleased to announce that the annual Amsterdam Investor Forum 2017 will take place in

Amsterdam on the 7th afternoon and all day on the 8th of March 2017.

Now in its 6th year, the forum will welcome 250+ Institutional investors, fund managers and industry participants

to debate and discuss the most important challenges and opportunities facing our industry in 2017.

The agenda will include:

Key note speakers

Panel discussions covering a wide range of current industry topics such as: the new macro landscape, Brexit:

The new reality for investment managers, the future of asset management, artificial intelligence

Round table focus sessions for Alternative Managers and Investors

The “AIF Factor”

The forum promises to be an invaluable two days for investors and fund managers alike.

Do join our Amsterdam Investor Forum LinkedIn community and follow us on Twitter to keep track of the latest

updates.

We look forward to welcoming you at The Amsterdam Investor Forum 2017!

ABN AMRO Clearing

Gustav Mahlerlaan 10

1082 PP Amsterdam

The Netherlands

Follow us on Amsterdam Investor Forum LinkedIn or

Or visit our ABN AMRO Clearing website

ABN AMRO Headquarters

Save the date 7 & 8 March 2017The Amsterdam Investor Forum

Market | Product updates

GeneralRegulations

Automation to deal with high ETF volumesFollowing huge client demand in APAC we recognized a

more automated process was needed to deal with the

increase in ETF volumes. A few years ago, ABN AMRO

Clearing Tokyo (AACT) developed a local application to

deal with high volumes. This has proven to be a very

successful initiative and it enabled AACT to become

the largest ETF clearing provider in Japan.

Across the globe ETF trading volumes keep on rising and

more complexity is introduced. Therefore we are currently

developing a robust global solution based on the FIX-

protocol. This set up will introduce a more automated and

controlled environment in the creation and redemption

process, both for our Clients and for ETF Issuers.

How will this automated solution benefit our clients?The global solution will reduce the processing time,

which will allow our clients to trade closer to market

cut-off times and thus provide better market liquidity.

This in turn will increase the scope of market

opportunities and deliver efficiencies throughout the

ETF supply chain.

In addition, automation will provide a stronger operational

risk framework making the process better scalable and

minimising the human error factor of manual processing.

Setting up FIX connectivity will be completed during the

ETF on-boarding and due diligence process as part of

the Authorised Participant agreement. Understanding

the ETF core features is key: composition, operating

rules, underlying basket, leverage levels (if any). It will

allow to adequately measure the risk profile and exposure.

APAC is pilot for a global solutionWithin ABN AMRO Clearing a global ETF working group

is established to ensure we build processes and solutions

that can be used globally while still complying with specific

local regulations and circumstances. The APAC region

is chosen as testing ground for this new innovative

solution due to the dynamic markets, the wide range of

products traded and the high sophistication level. This

new tool offers exciting development prospects for all

parties in the chain. It will be rolled out globally to improve

the client experience in every office.

Also read our previous articles on ETF’s in Asia Pacific

and US.

Eva Maria MolendijkHead of Product Management AAC Asia Pacific

Introducing a global ETF creation & redemption solution The ETF trading on global markets is booming. APAC covers one of the world’s largest ETF

markets – Japan – and many of the fastest growing. According to EY, it is expected that ETFs

in APAC will grow 22% annually up to 20201.

1 EY ‘Integrated innovation, The key to sustainable growth, Global ETF Survey 2016’

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Market | Product updates

GeneralRegulations

These products are designed to allow our customers

and bitcoin traders to rely on a credible bitcoin reference

rate price source, an important step to making bitcoin

trading more secure and accessible.

CME Group collaborated with Crypto Facilities Ltd., a

digital assets trading platform, to develop two new

products. “The availability of robust reference prices with

independent oversight is key to the professionalization

of bitcoin trading and further establishes digital assets

as a new asset class,” said Dr. Timo Schlaefer, Crypto

Facilities Ltd. “We are excited to work with CME Group

on the construction and implementation of this reference

rate and index.”

There are approximately 12 major bitcoin spot trading

platforms located around the world but each has

varying standards, and most are unregulated. In

addition, there is currently no prevailing, dominant

bitcoin index, nor reference price, on which financial

products can be built in a meaningful way.

CME CF Bitcoin Products Now Live: Establishment of Digital Assets as a New Asset Class On 14 November, CME Group and Crypto Facilities Ltd. launched the CME CF Bitcoin Reference

Rate (BRR) and Bitcoin Real Time Index (BRTI), a standardized reference rate and a spot price

index, which accelerates the professionalization of bitcoin trading and further establishes

digital assets as a new asset class.

“ Our bitcoin pricing products will create a transparent price for bitcoin that users will see and trust. Market participants can in turn use the BRR or BRTI market data to create bitcion financial products, as well as for marking positions.”

Sandra RoDigitization at CME Group

CME CF Bitcoin Products Now Live: Establishment of Digital Assets as a New Asset Class

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An independent committee is responsible for overseeing

BRR and BRTI by developing a code of conduct for the

participants and regularly reviewing the practice, standards,

and definition of the reference rate to ensure it remains

relevant and retains its integrity.

CME Group collaborated with six bitcoin exchanges and

trading platforms to provide pricing data on a market

data feed, including Bitfinex, Bitstamp, GDAX, itBit,

Kraken and OKCoin (HK).

The CME CF Bitcoin Reference Rate (BRR) aggregates

the trade flow of major bitcoin spot exchanges during a

specific calculation window into a once-a-day reference

rate of the U.S. dollar price of bitcoin. Calculation rules

are geared toward a maximum of transparency and

real-time replicability in underlying spot markets. CME

Group and Crypto Facilities Ltd. designed the BRR

around the IOSCO Principles for Financial Benchmarks.

The CME CF Bitcoin Real Time Index (BRTI) aggregates

global demand to buy and sell bitcoin into a consolidated

order book and reflects the transparent, instantaneous

U.S. dollar price of bitcoin. It is geared toward low latency

and timeliness and is based entirely on forward-looking

input data. The BRTI will be published once every second

and is suitable for marking portfolios, executing intra-day

bitcoin transactions and risk management.

To track the bitcoin market, please visit

cmegroup.com/bitcoin

To learn more about data licensing, please contact

our market technology team at

markettech@cmegroup.com

Market | Product updates

GeneralRegulations

“ Our Digitization team is committed to developing new digital asset products – market data pricing products to start – with bitcoin being the first. The advent of ‘digital assets’ as a new asset class has begun and CME Group will lead the path for institutional adoption and act as a bridge to bring the crypto trading community together with traditional trading communities.”

Sandra RoDigitization at CME Group

About CME GroupAs the world’s leading and most diverse derivatives marketplace, CME Group (cmegroup.com) is where the world comes to manage risk. CME Group exchanges offer the widest range of global benchmark products across all major asset classes, including futures and options based on interest rates, equity indexes, foreign exchange, energy, agricultural products and metals. Around the world, CME Group brings buyers and sellers together through its CME Globex® electronic trading platform and its exchanges based in Chicago, New York and London. CME Group also operates one of the world’s leading central counterparty clearing providers through CME Clearing and CME Clearing Europe, which offer clearing and settlement services across asset classes for exchange-traded and over-the-counter derivatives. CME Group’s products and services ensure that businesses around the world can effectively manage risk and achieve growth.CME Group is a trademark of CME Group Inc. The Globe Logo, CME, Globex and Chicago Mercantile Exchange are trademarks of Chicago Mercantile Exchange Inc. CBOT, the Chicago Board of Trade, KCBOT, KCBT and Kansas City Board of Trade are trademarks of the Board of Trade of the City of Chicago, Inc. NYMEX, New York Mercantile Exchange and ClearPort are registered trademarks of New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. All other trademarks are the property of their respective owners. Further information about CME Group (NASDAQ: CME) and its products can be found at cmegroup.com

About Crypto Facilities Ltd. London-based Crypto Facilities is a digital assets trading platform and the leading provider of regulated derivatives on digital assets (cryptofacilities.com). The company’s products serve to trade and manage the price risk of bitcoin and other digital tokens.

14

What new products went live in Q3 and Q4 2016? Below you find an overview of all

exchanges/products across the globe that are added to the ABN AMRO Clearing (AAC) service

offering and can be cleared in your account with us.

ABN AMRO Clearing keeps on investing

Europe

New markets:

DGCX

The exchange facilitates trading in Derivatives, including currency options, futures on currencies, metals and hydrocarbons.

Poland

As of June 2016 AAC is a GCM on KDPW_CCP. Clients can trade Polish securities and futures on the Warsaw Stock Exchange.

New products:

MEFF

Futures on IBEX 35 Bank and Energy Sector

EEX

Futures on Wind power

IDEM

European-style stock options

Eurex

KRX link – Mini KOSPI contracts

Euro STOXX 50 Index – Total Return Futures

The below products went live in Q4 2016:

MEFF

Wind power derivatives (13-12-2016)

Mini Power contracts (13-12-2016

EEX

French capacity market guarantees (auction) (15-12-2016)

Market | Product updates

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Just recently, the European Commission adopted a series

of draft legal texts, setting out new requirements under

the European Central Securities Depository Regulation

(CSDR) thereby bringing it one step closer to being

finalised. Our customers have a keen interest in better

understanding how the new regime for settlement

under CSDR will work, the details of which are pending

adoption. Under this new regime, customers will, for

example, be directly impacted by mandatory cash

penalties and buy-ins when settlement fails.

The goal of CSDR is the harmonisation, efficiency, and

safety of the capital markets to help keep the EU’s

markets secure and competitive. Within this context,

the CSDR is all about enhancing the efficiency of CSD

operations, and helping CSDs – like Clearstream’s

CSDs - keep customers’ assets as safe as possible.

One way the new regulation intends to meet these

goals is by setting out performance and operational

criteria that must be fulfilled by all CSDs operating in

Europe in order to receive a new license. The criteria

include enhanced governance, price transparency and

more stringent prudential requirements.

So what does this mean for CSD customers in

practice? Banks and other financial institutions that use

CSD services will be subject to cash penalties. For

each settlement instruction that fails to settle by the

intended settlement date the cash penalty will be

calculated by the CSD and will be redistributed to the

receiving CSD customer that suffered from the settlement

fail. In this way, regulators want to ensure that CSD

customers make sure that their settlement practices

are as efficient as possible.

There’s a similar intention behind the mandatory buy-in

process, which will be introduced for all financial instruments

that are not delivered within a set period following the

intended settlement date. Central counterparties or

trading parties will have to take responsibility for

initiating a buy-in auction or appointing a buy-in agent.

CSD customers will also need to comply with new

account segregation rules such as a requirement to

offer their own clients the choice between omnibus

client segregation and individual client segregation.

Further CSD customer obligations include the need to

reconcile their records with the information received by

the CSD on a daily basis, to arrange for the book-entry

form of their securities and for the use of Legal Entity

Identifier (LEI) codes to identify their legal entities.

The details of CSDR are currently expected to be finalised

within the coming months. Based on this timeline, EU

Member State CSDs will then have six months to submit

their application files to the local regulators. Therefore,

CSD customers are invited to make themselves familiar

with the requirements now in order to ensure that they

will be able to comply once the new framework is

in place.

A new European settlement discipline regime in the making Stéphane El Gharbi, Executive Director, Relationship Management Europe, Clearstream

Banking Luxembourg

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News from the financial & securities industry

Market Infrastructures update: December 2016European Central Bank 27-10-2016

Report on financial structures details structural

changes in the euro area financial sector

The euro area banking sector consolidated further in

2015, according to the ECB’s 2016 Report on Financial

Structures, which is published today. The report also

finds that banks’ capital ratios improved and that non-

performing loan (NPL) ratios fell across the sector for the

first time since the financial crisis, although they remained

persistently high or increased further in some countries.

Find more info here.

Trading venues CFTC Issues Orders of Registration to Five Foreign

Boards of Trade to Permit Trading by Direct Access

from the U.S.

The U.S. Commodity Futures Trading Commission (CFTC)

issued on the 31st of October Orders of Registration to

the following Foreign Boards of Trade (FBOT):

Eurex Deutschland (Eurex)

CME Europe Limited (CMEEL)

ICE Futures Europe (IFE)

The London Metal Exchange (LME)

London Stock Exchange plc. (LSE)

Under the Orders, each of the FBOTs is permitted to

provide identified members or other participants located

in the U.S. with direct access to its electronic order entry

and trade matching system.

Find more info here.

Euronext (EN)

Euronext closes acquisition of 20% stake in EUROCCP

Euronext announced it has completed the acquisition

of a 20% equity stake in EuroCCP, for an amount of

€13.4m, after having received regulatory approvals.

This follows the announcement of August 17th on the

signing of a definitive agreement with the existing

shareholders of EuroCCP.

Find more info here.

Euronext and Algomi to launch new trading facility

to improve liquidity in pan-european corporate

bond trading

Under a ten year strategic partnership agreement,

Euronext and Algomi will form a Joint Venture Special

Purpose Vehicle (“JV SPV”), capitalised by Euronext,

with technology supplied by Algomi, to improve liquidity

in pan-European corporate bond trading.

Find more info here.

Deutsche Börse (DB)/ London Stock Exchange Group (LSEG)

Deutsche Börse AG: Recommended All-Share Merger

between Deutsche Börse AG and London Stock

Exchange Group plc – Update on the European

Commission Review and Potential Sale of LCH SA

by London Stock Exchange Group

Deutsche Börse AG (“Deutsche Börse”) notes the

European Commission’s announcement confirming the

commencement of Phase II proceedings in connection

with its review of the recommended merger of Deutsche

Börse and London Stock Exchange Group (“LSEG”)

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News from the financial & securities industry

which was announced on 16 March 2016 (the “Merger”).

Find more info here.

Bats Global Markets Bats Global Markets to Provide Bats One Quote,

Trade Data to Morningstar

Bats Global Markets (Bats), announced on June 7th an

agreement under which Bats will provide the Bats One

Summary market data feed to Morningstar.

Find more info here.

ICE ( Intercontinental Exchange) ICE Clear Netherlands announces Goldman Sachs

International as a new general clearing participant

Intercontinental Exchange (NYSE:ICE), announced on

November 17th that Goldman Sachs International has

joined ICE Clear Netherlands as a General Clearing

Participant.

Find more info here.

Central counterparties (CCPs) CME Clearing Europe The U.S. Commodity Futures Trading Commission (CFTC)

announced November 30, 2016 that it has issued an

order granting CME Clearing Europe Limited (CMECE)

registration as a derivatives clearing organization (DCO)

under the Commodity Exchange Act (CEA).

The list with central counterparties (CCPs) authorised

to offer services and perform activities in the European

Union in accordance with the European Market

Infrastructure Regulation (EMIR) is available here.

List of Central Counterparties authorised to offer services

and activities in the Union.

List of third-country central counterparties recognized

to offer services and activities in the Union.

List of applicants CCPs.

Regulation Settlements and Buy in Procedure

for Norway

Following EuroCCP’s Newsflash regarding the go live of

EuroCCP’s direct link of the Norwegian Central Securities

Depository (VPS) and Central Bank (Norges Bank),

EuroCCP informs it’s clearing participants about the

forthcoming changes to EuroCCP’s Regulation

Settlement and Regulation Buy-in Procedure.

The Regulations Buy-in Procedure and Settlement reflect

the new Standard Settlement Instructions which will

apply from Intended Settlement Date 7 November 2016.

The go live of EuroCCP’s direct link to VPS and Norges

Bank was scheduled for Trade Date Thursday 3 November

2016.

Link.

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Capital Requirements Update

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A revised Capital Requirement Regulation and related

annex

A revised Capital Requirement Directive

A revised Bank Recovery and Resolution Directive

(BRRD) regarding the ranking of unsecured debt

instruments in insolvency hierarchy and regarding

loss-absorbing and recapitalisation capacity of credit

institutions and investment firms

A revised Single Resolution Mechanism Regulation

(SRMR)

The aim of the framework is to introduce a number of

measures agreed within the Basel Committee on Banking

Supervision (BCBS) that were not yet included in the

current CRD/CRR framework. The most notable changes

include proposals to introduce of SA-CCR as the main

exposure method, a binding Leverage Ratio (LR), the

Net Stable Funding Ratio and a Total Loss Absorbing

Capacity (TLAC) for the largest institutions. All in all,

the Commission opts for a more risk-sensitive approach

to capital requirements rather than a “one-size-fits-all”.

Separate initiatives are ongoing to introduce more

proportionate capital requirements for investment firms.

This package does NOT include any of the Basel IV

measures, i.e. changes to the IRB approach, capital

floors and higher risk weighting for committed undrawn

credit lines (Credit conversion). The Basel IV measures

are still fiercely debated by the BCBS and we do not

expect these to be introduced in Europe before 2020.

More clarity on the scope of Basel IV is expected by

EOY 2016 or Q1 2017.

The amendments presented on 23 November 2016 are

not expected to become binding before 2019. Until then,

AAC will continue to advocate for relief of the current

LR reporting requirements to ensure accurate and

proportional reflection of the LR at ABN AMRO group

level. More analysis will be done on the proposals to

determine the impact.

Matthijs Geneste Global Coordinator Regulatory Affairs

The European Commission released its proposed amendments to the EU’s capital rules. These

consist of updates to the following existing legislation:

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The Securities Financing Transaction Regulation

SFTR key objectives:Re-use requirements, the regulation introduces some

minimum transparency conditions that should be met

on the re-use of collateral. The due date for compliance

with these requirements was 13 July 2016;

Reporting requirements, the reporting of all SFTs to

central databases, also known as trade repositories;

Disclosure requirements, investment funds will have

to start disclosing information on the use of SFTs and

total return swaps to investors in their regular reports

and pre-contractual contracts.

Our response to the Discussion Paper and the Consultation PaperABN AMRO Clearing (AAC) was concerned on the

proposals made in regard to the reporting of re-use

of collateral and margin lending. For this reason it has

welcomed the opportunity to respond to both the

Discussion and Consultation paper as published by

the European Securities and Markets Authority (ESMA).

Although AAC supports the broad industry-driven

responses as prepared by the International Securities

Lending Association (ISLA), it has specifically outlined

the following concerns:

The reporting of re-use information would be complex

and difficult due to the enormous scale and frequency

of these transactions.

The SFTR defines margin lending transactions as

“transactions in which an institution extends credit in

connection with the purchase, sale, carrying or trading

of securities, but not including other loans that are

secured by collateral in the form of securities”.

The scope of this definition seems very broad.

The deadline for collateral reporting was erroneously

indicated as taking place on Value Date+1. According

to ESMA the correct date for collateral reporting should

be on Value Date. In our opinion, the reporting of

collateral on Value Date is challenging for the securities

lending market.

Open hearing ESMAAAC is a great proponent of increasing transparency in

the SFT markets. At the same time, AAC finds it important

to explain its particular business and operating model in

order to demonstrate that there are no one size fits all

rules and that different business models should be

acknowledged. AAC has had a number of conversations

with competent authorities to address its concerns in

order to ensure that the rules fit with current market

practices and participants. Our effort focused on explaining

our securities borrowing & lending model as well as

clearing & settlement processes.

As part of the consultation on the development of

Technical Standards of SFTR, ESMA has hosted an

open hearing in Paris on 24 November 2016. AAC was

present at the hearing, along with many industry groups,

banks, central counterparties and trade repositories.

During the Open Hearing ESMA announced that delays

are expected in respect of the final draft technical

standards, which in first place should be published in

January. In principal, we noted that other market

participants share our concerns and that those are

being well addressed towards ESMA.

Introduction

The Securities Financing Transaction Regulation (“SFTR”) (EU No 648/2012) is introduced to

improve the transparency of the securities financing markets. The SFTR proposal was announced

by the European Commission (EC) in September 2013. The European Parliament (EP) adopted

the regulation on 29 October 2015. The SFTR has entered into force as of 12 January 2016.

More information on SFTR can be found here.

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US regulatory updatesBelow follows a selection of key regulatory developments produced specially for the clients of ABN AMRO

Clearing in Chicago. We hope that you will find this a valuable tool for keeping track of the regulatory

and industry changes that may affect your business.

Following up on the 2014 introduction of its industry leading cybersecurity framework,

NIST announced in September that it was releasing a draft version of its new cybersecurity

self-assessment tool called the Baldrige Cybersecurity Excellence Builder.

National Institute of Standards and Technology (NIST) Offers Cybersecurity Self-Assessment Tool

According to Robert Fangmeyer, director of the Baldridge

Performance Excellence Program, the Baldridge Builder

tool was designed to help organizations ensure that

their cybersecurity systems and processes support the

enterprise’s larger organizational activities and functions.

He noted, “If your cybersecurity operations and

approaches aren’t integrated into your larger strategy,

aren’t integrated into your workforce development

efforts, aren’t integrated into the result of the things

you track for your organization and overall performance,

then they’re not likely to be effective.”

The new tool will allow organizations to execute the

following:

Identify cybersecurity-related activities that are

critical to business strategy and the delivery of

critical devices;

Prioritize investments in managing cybersecurity

risk;

Assess the effectiveness and efficiency in using

cybersecurity standards, guidelines and practices;

Evaluate their cybersecurity results; and

Identify priorities for improvement.

NIST officials hope that this new cybersecurity tool will

offer further incentive for organizations to utilize the

NIST cybersecurity framework.

In the two years since NIST introduced their cybersecurity

framework, officials stated that over 30% of U.S.

organizations had utilized the framework for developing

their specific cybersecurity programs. NIST believes

that by 2020, nearly 50% of all U.S. organizations will

utilize their cybersecurity framework.

For additional information on the new NIST Baldridge

Cybersecurity Excellence Builder, click here.

21

Resources for information on EFRPs:

CBOE Futures Exchange (CFE): Click here

Regulatory Circular RG15-010 (Exchange of

Contract for Related Position (ECRP) Transactions)

CME Group Exchanges: Click here

Joint CME Group Market Regulation Advisory

Notice (Exchange for Related Positions)

ICE Futures Europe: Click here

1. EFP, EFS, Soft Commodity EFRP & Basis Trade

Guidance

2. EFP and EFS Times

ICE Futures US: Click here

Exchange for Related Positions Guidance and FAQs

Nasdaq Futures, Inc. (NFX): Click here

Futures Regulatory Alert #2015 – 5 Pre-Arranged

Transactions

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US regulatory updates

To the extent that the buyer and the seller are affiliated, or

share the same or partial common beneficial ownership,

exchange rules requires independence. The CME Group

and ICE US advisories on EFRP transactions both require

that the opposing accounts to an EFRP transaction

must be:

a. independently controlled accounts with different

beneficial ownership;

b. independently controlled accounts of separate legal

entities with common beneficial ownership; or

c. independently controlled accounts within the same

legal entity, provided that the account controllers

operate in separate business units.

For EFRP transactions between accounts with common

beneficial ownership, the parties to the trade must be able

to demonstrate independent control of the accounts and

that the complete transaction has economic substance/

significance for each party to the trade. Failure to do so

may lead to a finding that such trades are illegal wash

trades. The CFTC recently ordered a futures commission

merchant to pay a $750,000 monetary penalty and to

comply with an undertaking to improve its internal controls

for executing and confirming exchange for physical

transactions (“EFPs”) that the CFTC indicated were

not bona fide EFPs and constituted illegal “wash sales”.

According to the order, the FCM facilitated the execution

of EFPs that it should have known were non-bona fide

wash trades that avoided market risk and price competition.

The CFTC also found that the FCM failed to supervise

diligently its employees’ handling of the transactions and

lacked adequate policies and procedures designed to

detect and deter the execution of wash EFP trades, in

violation of CFTC Regulation 166.3. Additional information

about this case can be found here.

AACC requests that all clients and their traders be familiar

with the regulatory guidance on ERFP transactions provided

by each exchange on which you intend to trade, before

engaging in an EFRP.

Futures regulators continue to show heightened interest in EFRP transactions. Be prepared and not

surprised should one of your EFRP transactions be selected for review by one of the regulators.

Exchange rules require that all EFRP participants be able to document an actual transaction involving the

purchase or sale of the related physical product or transaction whenever they engage in such activity.

Exchange for Related Position (EFRP) Transactions

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DisclaimerThis brochure is provided for the general information of the customers of ABN AMRO Clearing Chicago LLC and contains information that may be proprietary to AACC or those entities whose links are provided herein. No part of this brochure may be duplicated or may be re-distributed without the prior consent of AACC. The material herein is gathered from and is based on information that AACC considers reliable, but AACC does not represent that it is accurate, complete or current and it should not be relied on as such. This document and any view or opinion expressed herein is for informational purposes only and is not, nor should it be construed as a recommendation, an offer or solicitation, either express or implied, to buy or sell any security or to participate in any trading strategy or to induce any other parties to buy or sell any security or to participate in any trading strategy. All images contained herein, including text, photos, illustrations, graphs, (trade) names, logos, trade and services brands are fully owned or under license and are protected by copyright, trademark rights and/or any other intellectual property rights. AACC is a broker/dealer and futures commission merchant primarily regulated by the SEC, CFTC, CBOE, FINRA (finra.org), NFA and the CME Group. AACC does not provide tax, accounting, or legal advice and all readers should consult their own regulatory or financial advisors before acting on any of the information contained herein. This is not a research report prepared by AACC or any affiliate. AACC is a member of SIPC, which protects securities customers up to $500,000 (including $250,000 for claims for cash). Futures and options products carry a high degree of risk and are not suitable for all investors. Visit our website for more information, including financial and other disclosures at: abnamroclearing.com/en/what-we-do/customer-disclosures/americas/index.html

US regulatory updates

We wish you a healthy and happy 2017!

23

ABN AMRO Clearing Tweets

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Follow us on Twitter

Follow us on Linkedin

24

Events overview

Events overview Below an overview of events where ABN AMRO Clearing participated or will participate and has

representatives attending.

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EuropeDate Event AAC Representatives

29 November

Opalesque roundtable Amsterdam

Invitation only

30 November

European CTA Awards DinnerLondon

Invitation only

7 December FOW Awards Int Awards DinnerLondon

Invitation only

15 December Collateral Management Event Alexander Jacobs moderated the EMIR panel

19 January EuroHedge Awards Dinner Invitation only

7 - 9 February E-World 2017 Energy & WaterEssen, Germany

Emile Goulmy, Vincent van Lith - AAC is attending with a booth

7-8 March Amsterdam Investor ForumAmsterdam

25

Colophon

What’s Next?is a quarterly publication of ABN AMRO Clearing

Jan Bart de Boer

Patrick Curran

Stephane Eglizeau

Matthijs Geneste

Laura de Haan

Ewout Huizingh

Willem Jolen

Philip Kraaijeveld

Eva Maria Molendijk

Geert Vanderbeke

Colophon

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Market | Product updates

Regulations

abnamroclearing.com

DisclaimerThis document (the “Newsletter”) has been prepared by ABN AMRO Clearing Bank N.V. (“AACB”) and is solely intended to provide general information about the subject matter. The information in the Newsletter is strictly proprietary, unless otherwise stated and is being supplied to you solely for your information. The Newsletter is informative in nature and does not constitute legal, regulatory or other advice nor does it express any recommendations and may not be used for such purposes. Everyone using this Newsletter should acquaint themselves with and adhere to the applicable rules, regulations and legislation. No reliance may be placed for any purposes whatsoever on the information, opinions, forecasts and assumptions contained in the Newsletter or on its completeness, accuracy or fairness. No representation or warranty, express or implied, is given by or on behalf of AACB, or any of its directors, officers, affiliates or employees as to the accuracy or completeness of the information contained in this document and no liability is accepted for any loss, arising, directly or indirectly, from any use of such information. Nothing contained herein shall form the basis of any contract or commitment whatsoever. US Products are cleared by ABN AMRO Clearing Chicago LLC, Member: FINRA/NFA/SIPC.