I’ll bet their problem isn’t the loans; rather, its probably the funding of the loans. They probably borrowed short and lent long—a tempting and profitable policy in times of easy credit, but very risky in the long term.
You are exactly right. This company is actually a good mortgage company. They have never done subprime, they specialize in jumbo mortgages to rich people with Alt-A loans. They are extremely careful about who they loan to. While other mortgage securities are approaching 25% troubled mortgages, Thornburg's securities are at about .4% behind.
Its the financing model that is killing them, and their only real flaw. They were hit once in August when the commercial paper market froze, and have been hit again when they recieved margin calls on their securities. They are just too leveraged. They may survive, but if they do they will be a penny stock for a long, long time.