By MARGOT PATRICK and RAGNHILD KJETLAND
March 6, 2008 11:50 a.m.
LONDON -- Carlyle Capital Corp., a listed investment company managed by a unit of private-equity firm the Carlyle Group, added to worries about forced liquidations of residential mortgage-backed securities after failing to meet margin calls on its $21.7 billion portfolio Wednesday.
Carlyle Capital said Thursday that it has received a notice of default from one of the banks that helps finance its portfolio of Freddie Mac and Fannie Mae securities through short-term repurchase agreements, known as repos, and that it expects to receive at least one more default notice after falling short of margin requirements with four lenders.
It said seven repo counterparties had demanded an additional $37 million Wednesday to keep funding in place. It met the requirements of three of them, which it said had indicated "a willingness to work with the company during these tumultuous times."
Carlyle Capital as recently as Monday had reassured investors on its funding lines, saying it had $2.4 billion in undrawn repo lines and that it had increased a credit facility provided by the Carlyle Group by 50%, to $150 million. Its lenders as of Dec. 31 were: Bank of America Corp., Bear Stearns Cos., BNP Paribas SA, Calyon, Citigroup Inc., Credit Suisse Group, Deutsche Bank AG, ING Groep NV, J.P. Morgan Chase & Co., Lehman Brothers Holdings Inc., Merrill Lynch & Co. and UBS AG.
The repurchase agreements outstanding at that date had an average maturity of 20 days. Carlyle Capital's longest-dated repo line is for three months. The company leverages its $670 million equity 32 times to finance a $21.7 billion portfolio of residential mortgage-backed securities issued by U.S. housing agencies Freddie Mac and Fannie Mae. All of the securities are rated Triple-A and are considered to be implicitly guaranteed by the U.S. government.
Carlyle Capital said Thursday that it has been subject to margin calls and additional collateral requirements totaling more than $60 million over the past week, and had met all calls up until March 5.
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http://online.wsj.com/article/SB120479022207116361.html
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