Before paying preferred dividends, Thornburg lost $3.31 billion, or $20.64 per share, for the quarter ended March 31, compared with profit of $75 million, or 62 cents per share, a year ago.

Thornburg specializes in larger mortgages, known as "jumbo loans," which total more than $417,000. The company says the value of securities it owns dropped drastically during the quarter amid a slowing economy and continued housing slump, forcing it to take market value losses of $1.54 billion.

Thornburg also recorded $949.1 million worth of charges related to financing.

Amid a continued decline in housing prices, a lack of trading activity in the skittish mortgage securities market, a capital-light banking sector and continued rating agency downgrades of mortgage-backed securities, Thornburg faced margin calls of about $1.8 billion in the first two months of the year. By March 6, the company paid out $1.2 billion of those calls, but didn't have enough cash to pay back the remaining $610 million, forcing it to sell some of its portfolio and seek alternative financing.

The company later raised $1.35 billion in capital.

"Despite the continued modest increase in loan delinquencies in the first quarter of 2008 and our expectation that delinquencies are likely to continue to increase modestly over the balance of the year, the credit quality of our originated and acquired loan portfolio continues to perform extremely well, and their performance is consistent with our current estimates," said Larry Goldstone, chief executive and president of Thornburg.

Shares rose 4.2 percent, or 3 cents, to close at 75 cents.