Deer Park Road targets legacy non-agency RMBS; Warns of dangerous REPO markets

Deer Park Road Management’s STS Master Fund was down 1.51% net for December, bringing its full-year return to -7.62% for 2019. The fund lost 95 basis points in realized losses on positions sold during December and generated 0.93% of net asset value in cash flow. Credit markets shifting In their December letter to investors, which was reviewed by ValueWalk, the Deer Park Road team said the credit markets overall have been shifting as the spread across sectors continued to tighten through December. Non-agency residential mortgage-backed securities dud well throughout the year, but they underperformed corporate bonds, which have recorded “unprecedented…