Crystal River Reports Second Quarter 2008 Financial Results
Market Wire, August, 2008
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Construction
Mezzanine Loans Loans Whole Loans Total / WA(1)
($ in Floa- Floa- Floa- Floa-
millions) Fixed ting Fixed ting Fixed ting Fixed ting
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Outstanding
Face Amount $ 26.1 $ 5.9 $ 13.9 $ 9.7 $ 29.9 $ 2.5 $ 69.9 $ 18.1
Carrying
Value 20.4 5.9 6.3 9.7 27.1 2.5 53.8 18.1
Amortized
Cost 26.0 5.9 13.9 9.7 29.8 2.5 69.7 18.1
Fair Value 20.4 5.7 6.8 9.6 27.1 2.4 54.3 17.6
Number of
Loans 2 1 1 1 2 1 5 3
WA LTV(2) 80% 37% 116% 24% 55% 55% 76% 32%
Number of
loans that
are
delinquent - - 1 - - - 1 -
WA Fixed
Rate 8.83% n/a 16.00% n/a 5.36% n/a 8.77% n/a
WA Floating
Rate:
Spread over
LIBOR(3) n/a 11.47% n/a 5.56% n/a 5.73% n/a 7.50%
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(1) Weighted Average ("WA").
(2) Loan-to-Value ("LTV").
(3) London Interbank Offered Rate ("LIBOR").
CMBS INVESTMENT PORTFOLIO
CMBS portfolio by credit rating at June 30, 2008:
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Weighted Average
--------------------------
($ in millions) Amortized Cost Carrying Value Yield(1) Term (Yrs)(2)
---------------------------------------------------------------------------
BBB $ 103.1 $ 104.8 18.5% 8.6
BB 56.0 58.0 23.2% 8.8
B 39.7 41.0 23.5% 8.9
Below B 37.0 37.9 17.1% 6.9
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Total CMBS $ 235.8 $ 241.7 20.2% 8.4
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(1) Yield is the calculated internal rate of return based on amortized cost
and expected loss-adjusted cash flows.
(2) Refers to the loss-adjusted weighted average remaining life.
Credit characteristics of CMBS portfolio by vintage at June 30, 2008:
CDO Assets:
--------------------------------------------------------------------------
Cumul-
Princ- Delin- ative
WA Original Outstanding ipal quency Loss
Rating Face Face Carrying Subordi- 60 /FC/ to
Vintage (1) Amount Amount Value nation REO Date(2)
--------------------------------------------------------------------------
Pre-2005 BB- $ 2.8 $ 2.8 $ 1.6 3.15% 1.54% 0.00%
2005 BB- 244.8 244.8 91.2 2.60% 1.23% 0.00%
2006 BB 248.3 248.3 83.4 2.26% 0.20% 0.00%
2007 BB 27.9 27.9 9.2 2.69% 0.05% 0.00%
--------------------------------------------------------------------------
Total
CMBS BB- $ 523.8 $ 523.8 $ 185.4 2.45% 0.68% 0.00%
--------------------------------------------------------------------------
(1) Rounded to nearest rating.
(2) Based on original face amount.
Non-CDO Assets:
--------------------------------------------------------------------------
Cumul-
Princ- Delin- ative
Original Outstanding ipal quency Loss
WA Face Face Carrying Subordi- 60 /FC/ to
Vintage Rating Amount Amount Value nation REO Date
--------------------------------------------------------------------------
2005 NR $ 50.8 $ 43.1 $ 3.7 0.28% 1.05% 15.18%
2006 B- 119.6 119.6 23.4 0.58% 0.65% 0.00%
2007 B 132.8 132.8 29.2 1.16% 0.39% 0.00%
--------------------------------------------------------------------------
Total
CMBS B- $ 303.2 $ 295.5 $ 56.3 0.80% 0.59% 2.54%
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PRIME RMBS INVESTMENT PORTFOLIO
Prime RMBS portfolio by credit rating at June 30, 2008:
-------------------------------------------------------------------------
Weighted Average
---------------------
($ in millions) Amortized Cost Carrying Value Yield Term (Yrs)
-------------------------------------------------------------------------
BBB $ 5.6 $ 5.6 27.5% 6.1
BB 9.9 9.9 48.1% 6.6
B 17.7 17.7 64.3% 6.4
Below B 4.6 4.6 111.2% 2.2
-------------------------------------------------------------------------
Total Prime RMBS $ 37.7 $ 37.8 60.5% 5.9
-------------------------------------------------------------------------
Credit Characteristics of Prime RMBS portfolio by vintage at June 30, 2008:
CDO Assets:
--------------------------------------------------------------------------
Cumul-
Princ- Delin- ative
Original Outstanding ipal quency Loss
WA Face Face Carrying Subordi- 60 /FC/ to
Vintage Rating Amount Amount Value nation REO Date
--------------------------------------------------------------------------
2003 B $ 1.9 $ 1.8 $ 0.7 0.22% 0.34% 1.44%
2004 BB 18.8 12.9 2.6 2.05% 7.53% 0.22%
2005 B 92.9 79.6 16.3 1.50% 8.03% 0.01%
--------------------------------------------------------------------------
Total
Prime
RMBS B $ 113.6 $ 94.3 $ 19.6 1.55% 7.82% 0.07%
--------------------------------------------------------------------------
Non-CDO Assets:
--------------------------------------------------------------------------
Cumul-
Princ- Delin- ative
Original Outstanding ipal quency Loss
WA Face Face Carrying Subordi- 60 /FC/ to
Vintage Rating Amount Amount Value nation REO Date
--------------------------------------------------------------------------
2003 NR $ 1.9 $ 1.8 $ 0.2 0.00% 0.34% 2.13%
2004 NR 4.2 2.9 0.5 0.00% 0.93% 28.05%
2005 CCC- 104.3 83.9 13.7 0.55% 5.05% 10.40%
2006 B 5.0 4.9 1.2 0.64% 1.57% 0.00%
2007 CCC 19.1 19.0 2.6 0.31% 1.61% 0.24%
--------------------------------------------------------------------------
Total
Prime
RMBS CCC- $ 134.5 $ 112.5 $ 18.2 0.49% 4.14% 9.00%
--------------------------------------------------------------------------
SUBPRIME RMBS INVESTMENT PORTFOLIO
Subprime RMBS Investment Portfolio at June 30, 2008:
-----------------------------------------------------------------
Weighted Average
------------------
($ in millions) Amortized Cost Carrying Value Yield Term (Yrs)
-----------------------------------------------------------------
BBB $ 3.6 $ 3.6 36.5% 7.2
BB 1.2 1.2 44.6% 4.9
B 0.8 0.8 41.6% 10.2
Below B 10.7 10.7 64.4% 10.1
-----------------------------------------------------------------
Total Subprime
RMBS $ 16.3 $ 16.3 55.7% 9.0
-----------------------------------------------------------------
Credit Characteristics of Subprime RMBS portfolio by vintage at June 30,
2008:
CDO Assets:
--------------------------------------------------------------------------
Cumul-
Princ- Delin- ative
Original Outstanding ipal quency Loss
WA Face Face Carrying Subordi- 60 /FC/ to
Vintage Rating Amount Amount Value nation REO Date
--------------------------------------------------------------------------
2005 BB- $ 80.3 $ 74.2 $ 10.5 5.79% 29.77% 0.00%
--------------------------------------------------------------------------
Total
Subprime
RMBS BB- $ 80.3 $ 74.2 $ 10.5 5.79% 29.77% 0.00%
--------------------------------------------------------------------------
Non-CDO Assets:
--------------------------------------------------------------------------
Cumul-
Princ- Delin- ative
Original Outstanding ipal quency Loss
WA Face Face Carrying Subordi- 60 /FC/ to
Vintage Rating Amount Amount Value nation REO Date
--------------------------------------------------------------------------
2005 BB- $ 30.2 $ 29.2 $ 2.4 4.62% 33.10% 0.00%
2006 B 25.2 24.6 2.8 5.49% 28.99% 0.00%
2007 CCC 9.1 9.1 0.6 1.93% 21.22% 0.00%
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Total Sub-
prime RMBS B $ 64.5 $ 62.9 $ 5.8 4.57% 29.77% 0.00%
--------------------------------------------------------------------------
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