Carlyle Capital warned that more securities may be liquidated by its lenders in a move that could threaten its capital.

The CCC fund, an affiliate of the private equity giant Carlyle Group, said that the new margin calls could "quickly deplete its liquidity and impair its capital".

Carlyle Capital yesterday said it had missed margin calls to seven creditors and lacked collateral to cover its trading exposure to mortgage securities. Carlyle Capital has used an estimated leverage of 32:1 to invest in US mortgage assets. It held securities worth $21.7bn last month.