Thornburg Mortgage warned in a filing Friday with the Securities and Exchange Commission that it had been issued a "going concern" opinion by its auditors, and that it would restate its earnings for 2007 amid an unhinging of the secondary market for mortgages. So-called "going concern" opinions are usually reserved for companies facing imminent insolvency. "Our auditors’ report should have contained an explanatory paragraph indicating that substantial doubt exists relative to the Company’s ability to continue as a going concern for a reasonable period of time," KPMG wrote in a letter to Thornburg's board, dated March 4. The troubled ultra-prime lender said it would record an impairment charge totalling $427.8 million in gross unrealized losses on purchased ARM assets for the fourth quarter of 2007, reflecting the swift and substantial downturn in the secondary markets that has left the company on the brink of bankruptcy. Thornburg first disclosed a series of margin calls on its Alt-A RMBS portfolio holdings on February 3. It then said earlier this week that it had received a default notice from one of the lenders funding the company's repurchase facilities, triggering cross-defaults throughout all of the company's reverse repurchase agreements. On Friday, Thornburg said it has received further event of default notices from Natixis Securities North America Inc., ING Financial Markets LLC, and Goldman, Sachs & Co. for failing to repurchase or meet margin calls totalling an additional $130 million. “The mortgage financing market’s complete inability to differentiate and appropriately value superior AAA-/AA-rated mortgage securities from all other mortgage assets is as unprecedented as it is frustrating,” said CEO Larry Goldstone. “Our portfolio of mortgage-backed securities has exhibited exceptional credit performance and comprises loans that are among the most solid in the industry. Quite simply, the panic that has gripped the mortgage financing market is irrational and has no basis in investment reality.” Thornburg said it had $610.0 million in outstanding margin calls it had not yet met, a number "which significantly exceeded available liquidity." For more information, visit Disclosure: The author held no positions in any publicly-traded companies mentioned in this story when it was originally published. HW reporters and writers follow a strict disclosure policy, the first in the mortgage trade.