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| # | Fund | Strategy | Style | Geography | AUM | Latest Letter |
|---|---|---|---|---|---|---|
As of Aug 29, 2026
Deer Park Total Return Credit Fund returned +0.38% in Q2 2026, maintaining its focus on legacy non-agency RMBS and distressed CMBS. The core thesis centers on collateral-driven returns rather than rate dependency. Legacy RMBS performed positively despite hawkish Fed repricing, validating the view that surviving borrowers after 18-20 years demonstrate extraordinary payment persistence with home-price appreciation driving current LTVs to very low levels. The average loan age of roughly 20 years, declining delinquencies, and lower foreclosure activity support the investment case. In CMBS, the unprecedented rating agency downgrade cycle created opportunities as constrained holders sold at prices reflecting regulatory constraints rather than fundamental value. Recent resolutions have validated that earlier appraisal marks overstated long-term loss severity. Fixed income and credit strategies attracted $26.4 billion of net inflows in 2025, with demand arriving into a shrunken legacy universe creating setup for spread compression. The manager views structured mortgage credit as more compelling than corporate and private credit markets, which show visible strain with tight spreads and gating pressures. The outlook remains constructive on both legacy RMBS and distressed CMBS as the most compelling risk-adjusted opportunity in credit markets.
Legacy non-agency RMBS and distressed CMBS offer compelling risk-adjusted returns driven by collateral quality and structural inefficiencies rather than rate movements, with seasoned mortgage pools demonstrating extraordinary payment persistence and commercial real estate entering an early recovery phase where discounted securities embed conservative loss assumptions.
The manager maintains a constructive outlook on legacy non-agency RMBS and distressed CMBS despite the shift toward a higher-for-longer rate environment. They believe structured mortgage credit represents the most compelling risk-adjusted opportunity in credit markets today, overlooked by both private credit and real assets allocators. The non-agency market is expanding and widening the opportunity set, while the CRE recovery continues to evolve with prices reflecting sellers' regulatory constraints rather than fundamental value. The manager emphasizes that their returns rest on collateral quality, structural protection, and carry rather than rate movements.
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