<PAGE>

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                                  UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549

                                    FORM 8-K

                                 CURRENT REPORT
   PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES AND EXCHANGE ACT OF 1934

                Date of Report (Date of earliest event reported)
                                 AUGUST 31, 2006
                                 ---------------

                   THORNBURG MORTGAGE SECURITIES TRUST 2006-5
           ----------------------------------------------------------
           (Exact name of Issuing Entity as specified in its charter)

                  STRUCTURED ASSET MORTGAGE INVESTMENTS II INC.
           ----------------------------------------------------------
              (Exact name of Depositor as specified in its charter)

                       THORNBURG MORTGAGE HOME LOANS, INC.
           ----------------------------------------------------------
               (Exact name of Sponsor as specified in its charter)

         DELAWARE                      333-132232              30-0183252
         --------                      ----------              ----------
(State or other jurisdiction          (Commission            (I.R.S.  employer
 of incorporation)                    file number)          identification no.)



               383 MADISON AVENUE
               NEW YORK, NEW YORK                               10179
    ----------------------------------------                  ----------
    (Address of principal executive offices)                  (ZIP Code)


        Registrant's telephone number, including area code (212) 272-2000



                                       N/A
          -------------------------------------------------------------
          (Former name or former address, if changed since last report)

Check the appropriate box below if the Form 8-K filing is intended to
simultaneously satisfy the filing obligation of the registrant under any of the
following provisions (see General Instruction A.2. below):
[ ] Written communications pursuant to Rule 425 under the Securities Act
    (17 CFR 230.425)
[ ] Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR
    240.14a-12)
[ ] Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange
    Act (17 CFR 240.14d-2(b))
[ ] Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange
    Act (17 CFR 240.13e-4(c))

<PAGE>

Item 8.01  Other Events

Structured Asset Mortgage Investments II Inc. (the "Registrant"), as depositor
(the "Depositor"), registered issuances of securities on a delayed or continuous
basis pursuant to Rule 415 under the Securities Act of 1933, as amended, by a
Registration Statement on Form S-3 (Registration File No. 333-132232) (the
"Registration Statement"). Pursuant to the Registration Statement, Thornburg
Mortgage Securities Trust 2006-5 issued publicly its Mortgage Loan Pass-Through
Certificates, Series 2006-5 (the "Certificates"), on August 31, 2006.

The Certificates were issued pursuant to a pooling and servicing agreement,
dated as of August 1, 2006 (the "Pooling and Servicing Agreement"), among the
Depositor, Thornburg Mortgage Home Loans, Inc., Wells Fargo Bank, N.A., as
Securities Administrator and Master Servicer, LaSalle Bank National Association,
as Trustee, and Wilmington Trust Company, as Delaware Trustee.

Capitalized terms not defined herein have the meanings assigned in the Pooling
and Servicing Agreement attached hereto as Exhibit 4.1.

Item 9.01  Financial Statements and Exhibits.

(a) Not applicable.

(b) Not applicable.

(c) Not applicable.

(d) Exhibits:

1.1      Underwriting Agreement

4.1      Pooling and Servicing Agreement

5.1      Opinion of Stroock & Stroock & Lavan LLP as to legality (including
         consent of such firm).

8.1      Opinion of Stroock & Stroock & Lavan LLP as to certain tax matters
         (including consent of such firm, included in Exhibit 5.1)

99.1     Mortgage Loan Purchase Agreement

99.2     Auction Administration Agreement

99.3     ISDA Master Agreement, Schedule to ISDA Master Agreement and swap
         confirmation

99.4     Yield Maintenance Agreement

99.5     (a) Servicing Agreement, dated as of March 1, 2002, among Thornburg
         Mortgage Home Loans, Inc. ("Thornburg"), as seller and servicer and
         Wells Fargo Bank N.A. ("Wells Fargo"), as master servicer, as amended
         by the Amendment to Servicing Agreement, dated as of December 1, 2002,
         and as amended by the Second Amendment to Servicing Agreement, dated as
         of January 1, 2006, and (b) the Subservicing Acknowledgement Agreement,
         dated as of March 1, 2002, between Thornburg, as servicer, and Cenlar
         FSB, as sub-servicer ("Cenlar"), as amended by the Amendment to
         Subservicing Acknowledgement Agreement, dated as of December 1, 2002,
         and by the Second Amendment to Subservicing Acknowledgement Agreement,
         dated as of January 1, 2006, including the related Transfer Notice,
         dated August 25, 2006, from Thornburg, as seller, to Thornburg, as
         servicer, and Cenlar, as sub-servicer.
<PAGE>

99.6     Reconstituted Servicing Agreement, dated as of August 1, 2006, by and
         among Thornburg, Wells Fargo Bank, N.A. ("Wells Fargo"), as servicer,
         and Thornburg Mortgage Securities Trust 2006-5, and acknowledged by
         Wells Fargo, as master servicer, relating to the Master Seller's
         Warranties and Servicing Agreement dated as of May 1, 2006, between
         Lehman Brothers Bank, FSB ("Lehman Brothers") and Wells Fargo, as
         amended by Amendment No. 1 to the Master Seller's Warranties and
         Servicing Agreement dated as of August 1, 2006, between Lehman Brothers
         and Wells Fargo and further amended by the Assignment and Assumption
         dated as of August 25, 2006, among Lehman Capital, a Division of Lehman
         Brothers Holdings Inc., Wells Fargo and Thornburg.


99.7     Reconstituted Servicing Agreement dated as of August 1, 2006, by and
         among Thornburg, Wells Fargo, as servicer, Thornburg Mortgage
         Securities Trust 2006-5, and acknowledged by Wells Fargo, as master
         servicer, relating to the Amended and Restated Flow Servicing Agreement
         between Citigroup Global Markets Realty Corp. ("Citigroup") and Wells
         Fargo, as servicer, dated as of March 1, 2006, as amended by the
         Assignment, Assumption and Recognition Agreement dated as of August 28,
         2006, among Thornburg, Citigroup and Wells Fargo.

<PAGE>

                                   SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the
Registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.



                                      STRUCTURED ASSET MORTGAGE
                                      INVESTMENTS II INC.

                                      By: /s/ Baron Silverstein
                                          ---------------------------------
                                          Name:  Baron Silverstein
                                          Title: Vice President


Dated: September 14, 2006

<PAGE>

                                  EXHIBIT INDEX



Exhibit Number                 Description
--------------                 -----------

1.1                            Underwriting Agreement, dated as of August 30,
                               2006, among the Registrant, Bear, Stearns & Co.
                               Inc., Banc of America Securities LLC, Credit
                               Suisse Securities (USA) LLC, Greenwich Capital
                               Markets, Inc. and Lehman Brothers Inc.

4.1                            Pooling and Servicing Agreement, dated as of
                               August 1, 2006, among the Registrant, LaSalle
                               Bank National Association, Wilmington Trust
                               Company, Wells Fargo Bank, N.A. and Thornburg
                               Mortgage Home Loans, Inc.

5.1                            Opinion of Stroock & Stroock & Lavan LLP as to
                               legality (including consent of such firm).

8.1                            Opinion of Stroock & Stroock & Lavan LLP as to
                               certain tax matters (including consent of such
                               firm, included in Exhibit 5.1)

99.1                           Mortgage Loan Purchase Agreement, dated as of
                               August 1, 2006, between Thornburg Mortgage Home
                               Loans, Inc. and the Depositor.

99.2                           Auction Administration Agreement, dated as of
                               August 31, 2006, between Credit Suisse
                               International and Wells Fargo Bank, N.A.

99.3                           ISDA Master Agreement, Schedule to ISDA Master
                               Agreement and swap confirmation, each dated as of
                               August 31, 2006, between Credit Suisse
                               International and Wells Fargo Bank, N.A.

99.4                           Yield Maintenance Agreement, dated as of August
                               31, 2006, between Credit Suisse International and
                               Wells Fargo Bank, N.A.

99.5                           (a) Servicing Agreement, dated as of March 1,
                               2002, among Thornburg Mortgage Home Loans, Inc.
                               ("Thornburg"), as seller and servicer and Wells
                               Fargo Bank N.A. ("Wells Fargo"), as master
                               servicer, as amended by the Amendment to
                               Servicing Agreement, dated as of December 1,
                               2002, and as amended by the Second Amendment to
                               Servicing Agreement, dated as of January 1, 2006,
                               and (b) the Subservicing Acknowledgement
                               Agreement, dated as of March 1, 2002, between
                               Thornburg, as servicer, and Cenlar FSB, as
                               sub-servicer ("Cenlar"), as amended by the
                               Amendment to Subservicing Acknowledgement
                               Agreement, dated as of December 1, 2002, and by
                               the Second Amendment to Subservicing
                               Acknowledgement Agreement, dated as of January 1,
                               2006, including the related Transfer Notice,
                               dated August 25, 2006, from Thornburg, as seller,
                               to Thornburg, as servicer, and Cenlar, as
                               sub-servicer.
<PAGE>

99.6                           Reconstituted Servicing Agreement, dated as of
                               August 1, 2006, by and among Thornburg, Wells
                               Fargo Bank, N.A. ("Wells Fargo"), as servicer,
                               and Thornburg Mortgage Securities Trust 2006-5,
                               and acknowledged by Wells Fargo, as master
                               servicer, relating to the Master Seller's
                               Warranties and Servicing Agreement dated as of
                               May 1, 2006, between Lehman Brothers Bank, FSB
                               ("Lehman Brothers") and Wells Fargo, as amended
                               by Amendment No. 1 to the Master Seller's
                               Warranties and Servicing Agreement dated as of
                               August 1, 2006, between Lehman Brothers and Wells
                               Fargo and further amended by the Assignment and
                               Assumption dated as of August 25, 2006, among
                               Lehman Capital, a Division of Lehman Brothers
                               Holdings Inc., Wells Fargo and Thornburg.

99.7                           Reconstituted Servicing Agreement dated as of
                               August 1, 2006, by and among Thornburg, Wells
                               Fargo, as servicer, Thornburg Mortgage Securities
                               Trust 2006-5, and acknowledged by Wells Fargo, as
                               master servicer, relating to the Amended and
                               Restated Flow Servicing Agreement between
                               Citigroup Global Markets Realty Corp.
                               ("Citigroup") and Wells Fargo, as servicer, dated
                               as of March 1, 2006, as amended by the
                               Assignment, Assumption and Recognition Agreement
                               dated as of August 28, 2006, among Thornburg,
                               Citigroup and Wells Fargo.
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{"company-data": {"conformed-name": "Thornburg Mortgage Securities Trust 2006-5", "cik": "0001372936", "assigned-sic": "6189", "state-of-incorporation": "DE", "fiscal-year-end": "1231"}, "filing-values": {"form-type": "8-K", "act": "34", "file-number": "333-132232-16", "film-number": "061092811"}, "business-address": {"street1": "383 MADISON AVENUE", "city": "NEW YORK", "state": "NY", "zip": "10179", "phone": "212272-2000"}, "mail-address": {"street1": "383 MADISON AVENUE", "city": "NEW YORK", "state": "NY", "zip": "10179"}}
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                                  UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549

                                    FORM 8-K

                                 CURRENT REPORT
   PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES AND EXCHANGE ACT OF 1934

                Date of Report (Date of earliest event reported)
                                 AUGUST 31, 2006
                                 ---------------

                   THORNBURG MORTGAGE SECURITIES TRUST 2006-5
           ----------------------------------------------------------
           (Exact name of Issuing Entity as specified in its charter)

                  STRUCTURED ASSET MORTGAGE INVESTMENTS II INC.
           ----------------------------------------------------------
              (Exact name of Depositor as specified in its charter)

                       THORNBURG MORTGAGE HOME LOANS, INC.
           ----------------------------------------------------------
               (Exact name of Sponsor as specified in its charter)

         DELAWARE                      333-132232              30-0183252
         --------                      ----------              ----------
(State or other jurisdiction          (Commission            (I.R.S.  employer
 of incorporation)                    file number)          identification no.)

               383 MADISON AVENUE
               NEW YORK, NEW YORK                               10179
    ----------------------------------------                  ----------
    (Address of principal executive offices)                  (ZIP Code)

        Registrant's telephone number, including area code (212) 272-2000

                                       N/A
          -------------------------------------------------------------
          (Former name or former address, if changed since last report)

Check the appropriate box below if the Form 8-K filing is intended to
simultaneously satisfy the filing obligation of the registrant under any of the
following provisions (see General Instruction A.2. below):
[ ] Written communications pursuant to Rule 425 under the Securities Act
    (17 CFR 230.425)
[ ] Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR
    240.14a-12)
[ ] Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange
    Act (17 CFR 240.14d-2(b))
[ ] Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange
    Act (17 CFR 240.13e-4(c))
Item 8.01  Other Events

Structured Asset Mortgage Investments II Inc. (the "Registrant"), as depositor
(the "Depositor"), registered issuances of securities on a delayed or continuous
basis pursuant to Rule 415 under the Securities Act of 1933, as amended, by a
Registration Statement on Form S-3 (Registration File No. 333-132232) (the
"Registration Statement"). Pursuant to the Registration Statement, Thornburg
Mortgage Securities Trust 2006-5 issued publicly its Mortgage Loan Pass-Through
Certificates, Series 2006-5 (the "Certificates"), on August 31, 2006.

The Certificates were issued pursuant to a pooling and servicing agreement,
dated as of August 1, 2006 (the "Pooling and Servicing Agreement"), among the
Depositor, Thornburg Mortgage Home Loans, Inc., Wells Fargo Bank, N.A., as
Securities Administrator and Master Servicer, LaSalle Bank National Association,
as Trustee, and Wilmington Trust Company, as Delaware Trustee.

Capitalized terms not defined herein have the meanings assigned in the Pooling
and Servicing Agreement attached hereto as Exhibit 4.1.

Item 9.01  Financial Statements and Exhibits.

(a) Not applicable.

(b) Not applicable.

(c) Not applicable.

(d) Exhibits:

1.1      Underwriting Agreement

4.1      Pooling and Servicing Agreement

5.1      Opinion of Stroock & Stroock & Lavan LLP as to legality (including
         consent of such firm).

8.1      Opinion of Stroock & Stroock & Lavan LLP as to certain tax matters
         (including consent of such firm, included in Exhibit 5.1)

99.1     Mortgage Loan Purchase Agreement

99.2     Auction Administration Agreement

99.3     ISDA Master Agreement, Schedule to ISDA Master Agreement and swap
         confirmation

99.4     Yield Maintenance Agreement

99.5     (a) Servicing Agreement, dated as of March 1, 2002, among Thornburg
         Mortgage Home Loans, Inc. ("Thornburg"), as seller and servicer and
         Wells Fargo Bank N.A. ("Wells Fargo"), as master servicer, as amended
         by the Amendment to Servicing Agreement, dated as of December 1, 2002,
         and as amended by the Second Amendment to Servicing Agreement, dated as
         of January 1, 2006, and (b) the Subservicing Acknowledgement Agreement,
         dated as of March 1, 2002, between Thornburg, as servicer, and Cenlar
         FSB, as sub-servicer ("Cenlar"), as amended by the Amendment to
         Subservicing Acknowledgement Agreement, dated as of December 1, 2002,
         and by the Second Amendment to Subservicing Acknowledgement Agreement,
         dated as of January 1, 2006, including the related Transfer Notice,
         dated August 25, 2006, from Thornburg, as seller, to Thornburg, as
         servicer, and Cenlar, as sub-servicer.
99.6     Reconstituted Servicing Agreement, dated as of August 1, 2006, by and
         among Thornburg, Wells Fargo Bank, N.A. ("Wells Fargo"), as servicer,
         and Thornburg Mortgage Securities Trust 2006-5, and acknowledged by
         Wells Fargo, as master servicer, relating to the Master Seller's
         Warranties and Servicing Agreement dated as of May 1, 2006, between
         Lehman Brothers Bank, FSB ("Lehman Brothers") and Wells Fargo, as
         amended by Amendment No. 1 to the Master Seller's Warranties and
         Servicing Agreement dated as of August 1, 2006, between Lehman Brothers
         and Wells Fargo and further amended by the Assignment and Assumption
         dated as of August 25, 2006, among Lehman Capital, a Division of Lehman
         Brothers Holdings Inc., Wells Fargo and Thornburg.

99.7     Reconstituted Servicing Agreement dated as of August 1, 2006, by and
         among Thornburg, Wells Fargo, as servicer, Thornburg Mortgage
         Securities Trust 2006-5, and acknowledged by Wells Fargo, as master
         servicer, relating to the Amended and Restated Flow Servicing Agreement
         between Citigroup Global Markets Realty Corp. ("Citigroup") and Wells
         Fargo, as servicer, dated as of March 1, 2006, as amended by the
         Assignment, Assumption and Recognition Agreement dated as of August 28,
         2006, among Thornburg, Citigroup and Wells Fargo.
SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the
Registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.

                                      STRUCTURED ASSET MORTGAGE
                                      INVESTMENTS II INC.

                                      By: /s/ Baron Silverstein
                                          ---------------------------------
                                          Name:  Baron Silverstein
                                          Title: Vice President

Dated: September 14, 2006
EXHIBIT INDEX

Exhibit Number                 Description
--------------                 -----------

1.1                            Underwriting Agreement, dated as of August 30,
                               2006, among the Registrant, Bear, Stearns & Co.
                               Inc., Banc of America Securities LLC, Credit
                               Suisse Securities (USA) LLC, Greenwich Capital
                               Markets, Inc. and Lehman Brothers Inc.

4.1                            Pooling and Servicing Agreement, dated as of
                               August 1, 2006, among the Registrant, LaSalle
                               Bank National Association, Wilmington Trust
                               Company, Wells Fargo Bank, N.A. and Thornburg
                               Mortgage Home Loans, Inc.

5.1                            Opinion of Stroock & Stroock & Lavan LLP as to
                               legality (including consent of such firm).

8.1                            Opinion of Stroock & Stroock & Lavan LLP as to
                               certain tax matters (including consent of such
                               firm, included in Exhibit 5.1)

99.1                           Mortgage Loan Purchase Agreement, dated as of
                               August 1, 2006, between Thornburg Mortgage Home
                               Loans, Inc. and the Depositor.

99.2                           Auction Administration Agreement, dated as of
                               August 31, 2006, between Credit Suisse
                               International and Wells Fargo Bank, N.A.

99.3                           ISDA Master Agreement, Schedule to ISDA Master
                               Agreement and swap confirmation, each dated as of
                               August 31, 2006, between Credit Suisse
                               International and Wells Fargo Bank, N.A.

99.4                           Yield Maintenance Agreement, dated as of August
                               31, 2006, between Credit Suisse International and
                               Wells Fargo Bank, N.A.

99.5                           (a) Servicing Agreement, dated as of March 1,
                               2002, among Thornburg Mortgage Home Loans, Inc.
                               ("Thornburg"), as seller and servicer and Wells
                               Fargo Bank N.A. ("Wells Fargo"), as master
                               servicer, as amended by the Amendment to
                               Servicing Agreement, dated as of December 1,
                               2002, and as amended by the Second Amendment to
                               Servicing Agreement, dated as of January 1, 2006,
                               and (b) the Subservicing Acknowledgement
                               Agreement, dated as of March 1, 2002, between
                               Thornburg, as servicer, and Cenlar FSB, as
                               sub-servicer ("Cenlar"), as amended by the
                               Amendment to Subservicing Acknowledgement
                               Agreement, dated as of December 1, 2002, and by
                               the Second Amendment to Subservicing
                               Acknowledgement Agreement, dated as of January 1,
                               2006, including the related Transfer Notice,
                               dated August 25, 2006, from Thornburg, as seller,
                               to Thornburg, as servicer, and Cenlar, as
                               sub-servicer.
99.6                           Reconstituted Servicing Agreement, dated as of
                               August 1, 2006, by and among Thornburg, Wells
                               Fargo Bank, N.A. ("Wells Fargo"), as servicer,
                               and Thornburg Mortgage Securities Trust 2006-5,
                               and acknowledged by Wells Fargo, as master
                               servicer, relating to the Master Seller's
                               Warranties and Servicing Agreement dated as of
                               May 1, 2006, between Lehman Brothers Bank, FSB
                               ("Lehman Brothers") and Wells Fargo, as amended
                               by Amendment No. 1 to the Master Seller's
                               Warranties and Servicing Agreement dated as of
                               August 1, 2006, between Lehman Brothers and Wells
                               Fargo and further amended by the Assignment and
                               Assumption dated as of August 25, 2006, among
                               Lehman Capital, a Division of Lehman Brothers
                               Holdings Inc., Wells Fargo and Thornburg.

99.7                           Reconstituted Servicing Agreement dated as of
                               August 1, 2006, by and among Thornburg, Wells
                               Fargo, as servicer, Thornburg Mortgage Securities
                               Trust 2006-5, and acknowledged by Wells Fargo, as
                               master servicer, relating to the Amended and
                               Restated Flow Servicing Agreement between
                               Citigroup Global Markets Realty Corp.
                               ("Citigroup") and Wells Fargo, as servicer, dated
                               as of March 1, 2006, as amended by the
                               Assignment, Assumption and Recognition Agreement
                               dated as of August 28, 2006, among Thornburg,
                               Citigroup and Wells Fargo.