Crystal River Reports Third Quarter 2008 Financial Results; Declares Fourth Quarter 2008 Dividend of $0.10 Per Share
Market Wire, November, 2008
Mezzanine Loans Construction Loans
($ in millions) Fixed Floating Fixed Floating
----------------------------------------------------------------------------
Outstanding
Face Amount $ 26.1 $ 5.9 $ 14.6 $ -
Carrying Value 20.4 5.9 2.7 -
Amortized Cost 26.0 5.9 14.6 -
Fair Value 20.4 5.7 2.7 -
Number of Loans 2 1 1 -
WA LTV(2) 82% 54% 164% -
Number of loans that
are delinquent - - 1 -
WA Fixed Rate 8.83% n/a 16.00%(4) -
WA Floating Rate:
Spread over LIBOR(3) n/a 11.47% n/a -
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Whole Loans Total / WA(1)
($ in millions) Fixed Floating Fixed Floating
----------------------------------------------------------------------------
Outstanding
Face Amount $ - $ 2.5 $ 40.7 $ 8.4
Carrying Value - 2.5 23.1 8.4
Amortized Cost - 2.5 40.6 8.4
Fair Value - 2.4 23.1 8.1
Number of Loans - 1 3 2
WA LTV(2) - 85% 111% 63%
Number of loans that
are delinquent - - 1 -
WA Fixed Rate - n/a 8.83%(5) n/a
WA Floating Rate:
Spread over LIBOR(3) - 5.73% n/a 9.74%
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(1) Weighted Average ("WA").
(2) Loan-to-Value ("LTV").
(3) London Interbank Offered Rate ("LIBOR").
(4) Construction loan has been placed on non-accrual status.
(5) Excludes 16.00% WA fixed rate for construction loan.
CMBS INVESTMENT PORTFOLIO
CMBS portfolio by credit rating at September 30, 2008:
----------------------------------------------------------------------------
Weighted Average
------------------------
($ in millions) Amortized Cost Carrying Value Yield(1) Term (Yrs)(2)
----------------------------------------------------------------------------
BBB $ 56.4 $ 56.4 25.5% 8.3
BB 44.4 44.4 33.6% 9.1
B 26.0 26.0 35.4% 9.2
Below B 30.9 31.9 31.9% 5.3
----------------------------------------------------------------------------
Total CMBS $ 157.7 $ 158.7 30.7% 8.1
----------------------------------------------------------------------------
(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 September 30, 2008:
CDO Assets:
----------------------------------------------------------------------------
Outst- Cumu-
Original anding Principal lative
WA Face Face Carrying Subord- Delinquency Loss to
Vintage Rating(1) Amount Amount Value ination 60 /FC/REO(2) Date(3)
----------------------------------------------------------------------------
Pre-2005 B $ 2.8 $ 2.8 $ 0.9 3.60% 1.54% 0.00%
2005 BB- 244.8 244.8 57.0 2.60% 1.05% 0.00%
2006 BB- 248.3 248.3 57.1 2.29% 0.27% 0.00%
2007 BB 27.9 27.9 6.2 2.70% 0.16% 0.00%
----------------------------------------------------------------------------
Total
CMBS BB- $ 523.8 $523.8 $ 121.2 2.46% 0.63% 0.00%
----------------------------------------------------------------------------
(1) Rounded to nearest rating.
(2) "60 " means that a payment on an underlying collateral loan is more
than 60 days past due; "FC" means that the collateral underlying the
loan is under foreclosure; "REO" means that the collateral underlying
the loan has been foreclosed and is owned by the issuing trust.
(3) Actual losses based on securities we own; based on original face amount.
Non-CDO Assets:
----------------------------------------------------------------------------
Outst- Cumu-
Original anding Principal lative
WA Face Face Carrying Subord- Delinquency Loss to
Vintage Rating Amount Amount Value ination 60 /FC/REO Date
----------------------------------------------------------------------------
2005 CCC $ 50.8 $ 43.3 $ 3.4 0.21% 1.12% 14.82%
2006 B- 119.6 119.6 16.8 0.60% 0.44% 0.00%
2007 B 132.8 132.8 17.3 1.17% 0.37% 0.00%
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Total
CMBS B- $ 303.2 $ 295.7 $ 37.5 0.78% 0.51% 2.48%
----------------------------------------------------------------------------
PRIME RMBS INVESTMENT PORTFOLIO
Prime RMBS portfolio by credit rating at September 30, 2008:
----------------------------------------------------------------------------
Weighted Average
----------------------
($ in millions) Amortized Cost Carrying Value Yield Term (Yrs)
----------------------------------------------------------------------------
BBB $ 0.4 $ 0.4 45.6% 5.7
BB 7.1 7.1 66.0% 6.5
B 6.9 6.9 153.6% 4.9
Below B 8.3 8.3 128.1% 6.0
----------------------------------------------------------------------------
Total Prime RMBS $ 22.7 $ 22.7 115.3% 5.8
----------------------------------------------------------------------------
Credit Characteristics of Prime RMBS portfolio by vintage at September 30,
2008:
CDO Assets:
----------------------------------------------------------------------------
Outst- Cumu-
Original anding Principal lative
WA Face Face Carrying Subord- Delinquency Loss to
Vintage Rating Amount Amount Value ination 60 /FC/REO Date
----------------------------------------------------------------------------
2003 B $ 1.9 $ 1.8 $ 0.7 0.23% 0.46% 0.00%
2004 CCC 18.8 12.9 1.5 1.81% 8.38% 0.00%
2005 CCC 92.9 78.3 10.1 1.33% 9.33% 0.37%
----------------------------------------------------------------------------
Total
Prime
RMBS CCC $ 113.6 $ 93.0 $ 12.3 1.38% 9.02% 0.32%
----------------------------------------------------------------------------
Non-CDO Assets:
----------------------------------------------------------------------------
Outst- Cumu-
Original anding Principal lative
WA Face Face Carrying Subord- Delinquency Loss to
Vintage Rating Amount Amount Value ination 60 /FC/REO Date
----------------------------------------------------------------------------
2003 NR $ 1.9 $ 1.8 $ 0.1 0.00% 0.46% 0.70%
2004 NR 4.2 2.2 0.1 0.00% 1.30% 44.31%
2005 CC 95.5 76.9 8.0 0.54% 5.59% 6.12%
2006 CC 5.0 4.9 0.7 0.62% 1.89% 0.00%
2007 C 19.1 18.6 1.5 0.16% 1.40% 2.26%
----------------------------------------------------------------------------
Total
Prime
RMBS CC $ 125.7 $ 104.4 $ 10.4 0.46% 4.49% 5.65%
----------------------------------------------------------------------------
SUBPRIME RMBS INVESTMENT PORTFOLIO
Subprime RMBS Investment Portfolio at September 30, 2008:
----------------------------------------------------------------------------
Weighted Average
-------------------------
($ in millions) Amortized Cost Carrying Value Yield Term (Yrs)
----------------------------------------------------------------------------
BBB $ 3.0 $ 3.0 50.8% 4.8
BB 0.4 0.4 130.1% 4.6
B 0.8 0.8 52.7% 15.6
Below B 5.7 5.8 154.4% 6.4
----------------------------------------------------------------------------
Total Subprime RMBS $ 9.9 $ 10.0 114.1% 6.6
----------------------------------------------------------------------------
Credit Characteristics of Subprime RMBS portfolio by vintage at September
30, 2008:
CDO Assets:
----------------------------------------------------------------------------
Outst- Cumu-
Original anding Principal lative
WA Face Face Carrying Subord- Delinquency Loss to
Vintage Rating Amount Amount Value ination 60 /FC/REO Date
----------------------------------------------------------------------------
2005 CCC- $ 80.3 $ 70.3 $ 5.8 5.33% 30.29% 0.00%
----------------------------------------------------------------------------
Total
Subprime
RMBS CCC- $ 80.3 $ 70.3 $ 5.8 5.33% 30.29% 0.00%
----------------------------------------------------------------------------
Non-CDO Assets:
----------------------------------------------------------------------------
Outst- Cumu-
Original anding Principal lative
WA Face Face Carrying Subord- Delinquency Loss to
Vintage Rating Amount Amount Value ination 60 /FC/REO Date
----------------------------------------------------------------------------
2005 CC $ 26.2 $ 25.1 $ 1.6 3.33% 35.42% 0.00%
2006 CCC 25.2 24.5 2.0 5.23% 31.21% 0.00%
2007 CC 9.1 9.1 0.6 2.01% 24.92% 0.00%
----------------------------------------------------------------------------
Total
Subprime
RMBS CCC- $ 60.5 $ 58.7 $ 4.2 3.91% 32.04% 0.00%
----------------------------------------------------------------------------
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