Hedge fund Parplus said to be source of ABN’s $200m loss

New York-based volatility fund had close ties to defaulted prop shop Ronin Capital

A $200 million loss in ABN Amro’s clearing business stemmed from trades executed by Parplus Partners, an equity volatility hedge fund with close ties to a Chicago-based proprietary trading firm. That firm, Ronin Capital, also defaulted on cleared trades last week.

In a statement released on the morning of March 26, ABN Amro revealed it had incurred a net loss of approximately $200 million “on one of its US clients”.

“The client had a specific strategy, trading US options and futures, and failed to meet the minimum risk and margin requirements following extreme stress and dislocations in US markets,” the bank said.

Four independent sources point to Parplus Partners as the source of those losses.

Parplus could not be reached for comment. The firm’s website and LinkedIn page were taken down on March 26.

ABN Amro did not respond to a request for comment in time for publication.

Parplus Partners was founded in 2017 by James Carney, a veteran equity options trader. 

The New York-based firm had $118 million in assets under management in March 2019, according to regulatory filings.

Carney told Institutional Investor in January that assets had grown to roughly $500 million after the firm began accepting outside capital in mid-2019.

The firm’s strategy, which involved trading volatility through Vix options and Vix ETFs alongside S&P 500 index positions, was designed to protect investors in down markets, Carney said.

According to regulatory filings, Parplus’s parent company – Parplus Partners Holdings LP – is jointly owned by Carney, Addison Sollog and Ronin Private Investments.

A portion of Parplus’s assets were “comprised of investments by Ronin principals and/or affiliates”, according to the filings.

The links between the companies go beyond equity ownership, and into service provision. Filings show Parplus had an arrangement with Ronin Capital to provide certain technology and back-office services, including “administering risk management and compliance policies”.

Parplus was also a client of Dart Executions, a broker-dealer owned by Ronin that gave the hedge fund direct market access to exchanges.

The Wolo Group, a trading outfit Carney founded in 2009 in partnership with Ronin Capital, also owned an equity stake in Ronin and traded on Ronin’s proprietary account.

Ronin Capital’s interest rate and agricultural futures portfolios at CME were auctioned off last week after it failed to meet margin calls issued by the exchange. Its cash positions at the Depository Trust & Clearing Corporation’s government securities division were liquidated on March 25.