Thornburg said the demands to post more collateral have occurred since Feb 27, and were on top of more than $300 million of margin calls it had met in the prior two weeks.
The Santa Fe, New Mexico-based company said it could not meet a "substantial majority" of the newer calls because of "limited available liquidity." It said it is in talks with a lender that declared an event of default after Thornburg failed to meet a $28 million margin call.
"Thornburg will have to sell assets in a distressed market or raise equity capital to meet margin calls," wrote Donald Fandetti, an analyst at Citigroup Global Markets. "Failure to complete either of these two could put Thornburg at risk of bankruptcy."
Fandetti downgraded Thornburg to "sell" from "hold." Credit Suisse analyst Moshe Orenbuch downgraded it to "underperform" from "neutral."
Thornburg did not immediately return requests for comment.
In a statement, Chief Executive Larry Goldstone said: "Although this is a difficult time for the company, we are working diligently to satisfy all of our lenders as soon as possible and return to financial stability."
Thornburg has suffered as the housing slump and tight credit conditions caused investors to stop buying many securities they no longer consider safe, including the higher-rated mortgages above $417,000 in which it specializes.
The company said if it fails to meet margin calls, it could face more defaults and liquidations, making it materially more difficult "to continue its business in the current manner."
On Feb 28, Thornburg said the earlier margin calls related to $2.9 billion of securities backed by below-prime "Alt-A" mortgages that fell quickly in value.
It said the securities became less liquid after Swiss bank UBS on Feb. 14 announced a $2 billion write-down on $26.6 billion of Alt-A exposure.
Thornburg ended 2007 with $35.4 billion of adjustable-rate mortgages on its balance sheet.
Thornburg lost $1.08 billion in last year's third quarter and suspended its dividend, as it scrambled to sell $21.9 billion of home loans. It reinstituted the dividend in December, and posted a $64.8 million fourth-quarter profit.
In January, Legg Mason Capital Management said it doubled its stake in Thornburg to 9.08 percent, while real estate and energy investor Richard Rainwater disclosed a 5.5 percent stake.