Carlyle unit fails to meet some margin calls

By Gilbert Kreijger and Mathieu Robbins

AMSTERDAM/LONDON (Reuters) - A Dutch-listed affiliate of private equity firm Carlyle Group has not been able to meet some margin calls and has received a notice of default, it said on Thursday.

Carlyle Capital Corporation (CCC) said it received margin calls totaling more than $37 million from seven financing parties on Wednesday and was unable to meet the demands for extra collateral to cover its market positions for four of them.

It said it received one default notice and expected at least one more.

Listed on the Amsterdam exchange last July, CCC invests in products including investment grade mortgage-backed securities.

CCC as of last month had a $21.7 billion investment portfolio of AAA-rated floating-rate capped U.S. mortgage-backed securities issued by Fannie Mae and Freddie Mac.

Mortgage-backed securities guaranteed by Fannie Mae and Freddie Mac saw spreads widen against U.S. government debt for a fourth day on Wednesday.

Some yields are now at their cheapest levels in at least two decades.

MBS are seen as posing little credit risk, but as banks and other large investors shed riskier debt, they are asking dealers with already bloated inventories to buy their holdings, creating a glut in the market.