Financial stocks took another beating Thursday, as

Carlyle Capital


Thornburg Mortgage

( TMA) failed to meet margin calls and received default notices due to the plummeting value of mortgage-related securities.

Carlyle, a fixed-income investment company managed by an affiliate of private-equity firm the Carlyle Group, said it failed to meet four of seven margin calls and has already received one notice of default and expects at least one more. Thornburg said it failed to meet a $28 million margin call from

JPMorgan Chase

(JPM) - Get Report

, triggering a series of defaults on various lending agreements and increasing the probability of the company's demise. Thornburg shares were off 51.8% to $1.64.

Real estate investment trusts sold off on the news, as investors feared the margin calls suggested investors thought little of even highly-rated mortgage-backed securities issued by government-sponsored mortgage giants

Fannie Mae

( FNM) and

Freddie Mac

( FRE). New York-based

Annaly Capital

(NLY) - Get Report

shed 16.5% to $16.10 on that headline and news that heightened options trading indicated worries about the company's future.

Fellow REIT

MFA Mortgage

(MFA) - Get Report

crumbled 18.9% to $7.05 as a Keefe Bruyette analyst downgraded the stock to market-perform.

Anworth Mortgage

(ANH) - Get Report

was also included in the downgrades and was sliding 26.1% to $6.54.

CBRE Realty Finance


tumbled along with the REITs and was losing 20.4% to trade at $3.17. A Citigroup analyst downgraded the stock to a sell on Wednesday.

Shares of Fannie Mae were lately off 8.9% to $22.11, while Freddie Mac's shares were down 7.9% to trade at $19.94.

But it wasn't just REITs collapsing. Home lenders were getting beaten up on this news, as well as word that delinquency rates on mortgage loans rose in the fourth quarter. The Mortgage Bankers Association reported that home foreclosures soared to an all-time high in the fourth quarter of last year and were likely to keep on rising.

Reinsurance company

CastlePoint Holdings

( CPHL) said fourth-quarter earnings fell 32% as the company booked losses on investments related to subprime mortgages. Net income dropped to $4.6 million from $6.8 million in the year-ago period. The stock was down 16% to $10.13.

Elsewhere, brokerage

Merrill Lynch

( MER) hit a three-and-a-half-year low, trading down 6.4% to $46.17. Merrill said it was adjusting the terms of a series of convertible securities known as liquid yield option notes, or LYONs. The adjustments increase the number of Merrill shares that holders of the notes will be able to receive when they mature. The changes in the notes are likely a sign that Merrill is struggling to come to grips with recent significant share dilution.

Also hitting a new low was


(UBS) - Get Report

, which fell to a five-year low in Swiss trading after JPMorgan Chase analysts said it had probably sold 25 billion francs ($24 billion) of mortgage-backed securities in a fire sale and may have more writedowns. UBS's American Depository Shares were dropping 5% on the

New York Stock Exchange

to $29.30.

KBW Capital Markets ETF

(KCE) - Get Report

shed 3.3% to $52.25, the lowest price seen since July 2006. The NYSE Financial Sector Index was down 188.16 to 6,993.30.

One of the few names trading in positive territory was

H&R Block

(HRB) - Get Report

, after the tax preparation company reported that losses were not as bad as the previous quarter. The company reported adjusted earnings of $25 million or 8 cents a share. Analysts according to Thomson Financial had been expecting 6 cents a share. The stock was up 4.2% at $17.95.