One New Bit of Data on Prime Agency Collateral

Well, it looks like the collateral haircut for repo financing of agency mortgages has gone up, from 3%, to somewhere between 4 and 5%.  That may account for some of the panic, especially regarding Carlyle.  It also may mean that Deerfield Capital is kaput.  I am presently long, but I may sell next week.  This company would be my personal biggest blunder ever, and my apologies to those who were influenced by me to own the company.

full disclosure: long DFR