Monchi left his sports director job at Villa last month.
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Recalling an attempt for Hernandez, Monchi said: "Before the transfer window began, members of Dépor were at the Aston Villa training centre, and we were talking about Yeremay, and they were already saying he wasn't going to leave.
"They were very clear, that they don't want to sell him and they want him to be the flagship of a Dépor in the Primera Division."
Depor secured Yeremay to a new contract to 2030 over the summer.