Jumbo lender Thornburg Mortgage said Monday it put up nearly $1 billion in loans as collateral in a deal that allows the company to meet margin calls it’s faced during the breakdown in the secondary market for mortgage-backed securities.

Thornburg executives — who less than a month ago announced the company had rebounded from a $1.1 billion third-quarter loss and would originate a record volume of "super jumbo" loans this year — said they have been hit with nearly $600 million in margin calls since Feb. 14.

The Santa Fe, N.M.-based lender said the loans on its books continue to perform well and that the margin calls "are strictly the result of continued deterioration of prices of mortgage-backed securities" in the secondary market.

Thornburg executives said Feb. 5 that the company turned a $64.8 million profit in the fourth quarter, and was on track to originate $6.1 billion in loans this year, surpassing a previous record of $5.6 billion set in 2006.

In the last two weeks of February, Thornburg was able to meet more than $300 million in margin calls on reverse purchase agreements, most of which were related to declining valuations of securities backed by alt-A mortgages. But in a regulatory filing Monday, the company said it had "limited available liquidity" to meet an additional $270 million in margin calls.

Shares of Thornburg lost half their value before the company issued another announcement that it had raised $920 million by pledging $992 million of prime, hybrid adjustable-rate mortgages as collateral to creditors in a collateralized-debt transaction. The transaction was accounted as a financing, not a sale, with the proceeds used to reduce the company’s borrowings under its ARM warehouse financing lines.

Thornburg said it lost $1.1 billion in a fire sale of $23.6 billion of ARM assets last year, of which $5.5 billion were sold to satisfy debts owed to counterparties in reverse repurchase agreements.

At the end of the year, 64 percent of Thornburg Mortgage’s mortgage assets were permanently financed by collateralized mortgage debt transactions, compared with 37 percent at midyear.

In their annual report to investors, Thornburg executives said only 144 of the company’s 37,125 ARM loans are more than 60 days delinquent or real estate-owned, and that the company has no repurchase obligations on any ARM loans it has originated.

Thornburg said it’s picked up market share as it becomes known for specializing in prime, "super-jumbo" ARM loans. Loans originated through the correspondent channel in 2007 averaged $984,000, and the average wholesale loan size was $1.2 million.


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