MKP Capital, a distressed-debt fund manager, is said to have sold off roughly two-thirds of its portfolio of asset-backed securities last week. Sources said MKP follows trading strategies that allow it to liquidate to cash during market turmoil, which is triggered by a certain percentage of losses. The trigger led to the sell-off, which lasted three days and during which it accept low bids on commercial mortgage-backed securities residential mortgage-backed securities and collateralized loan obligations.
