In April, Thornburg said the SEC was conducting an investigation into the mortgage lender's restatement of 2007 results, margin calls against the company and disclosures about the accounting treatment of mortgage-backed securities.

On April 24 and May 23, the SEC subpoenaed documents related to the investigation, Thornburg disclosed in a regulatory filing Wednesday. Thornburg said it is cooperating with the SEC on a voluntary basis and providing the agency with the necessary documentation.

Thornburg -- which specializes in originating and investing in jumbo mortgages that are worth more than $417,000 -- has been struggling since the middle of 2007 amid the downturn in the real estate market and a spike in mortgage defaults.

Last week, Thornburg said it lost $3.31 billion during the first quarter.

In early March, Thornburg disclosed it has faced nearly $1.8 billion in margin calls since the beginning of the year. Thornburg faced a similar round of margin calls in August but was able to meet them.

The company has raised more than $1 billion in capital since then to shore up its finances.

Margin calls require mortgage originators to put up more collateral to back financing lines with banks.

As delinquencies and defaults among certain types of mortgages have risen, investors have shied away from purchasing nearly all types of loans in the secondary market.

The thin market for debt backed by mortgages has caused prices to plummet. As those prices fell, companies like Thornburg have been forced to reduce the value of their holdings, regardless of actual performance. Those declining prices also have banks making margin calls.

Shares of Thornburg have lost 93 percent of their value since the beginning of the year, and closed at 69 cents on Tuesday.