Crystal River Reports Fourth Quarter And Full Year 2008 Financial Results

Market Wire, February, 2009

Fourth Quarter 2008 Securities Roll-Forward Table

The table below details the impact of purchases and sales, principal paydowns, premium and discount amortization, and market value adjustments on our available-for-sale securities during the fourth quarter of 2008:

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                                        Prime     Subprime            Total
($ in millions)              CMBS        RMBS         RMBS        Portfolio
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Carrying Value
September 30, 2008        $ 158.7      $ 22.7       $ 10.0          $ 191.4
Sales                           -           -            -                -
Principal paydowns            0.5        (0.3)        (0.6)            (0.4)
Principal loss               (0.5)       (0.3)        (0.1)            (0.9)
Amortization                  1.0         1.8          0.4              3.2
Market value adjustments:
 CDO assets                 (78.7)       (8.5)        (2.5)           (89.7)
 Non-CDO assets             (22.8)       (6.3)        (1.5)           (30.6)
 OCI                         (0.1)        0.1         (0.1)            (0.1)
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Carrying Value
December 31, 2008          $ 58.1       $ 9.2        $ 5.6           $ 72.9
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Full Year 2008 Securities Roll-Forward Table

The table below details the impact of purchases and sales, principal paydowns, premium and discount amortization, and market value adjustments on our available-for-sale securities during the year ended December 31, 2008:

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($ in             Agency            Prime  Subprime   Preferred       Total
 millions)           MBS     CMBS    RMBS      RMBS       Stock   Portfolio
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Carrying
 Value
December 31,
 2007          $ 1,246.7  $ 399.4 $ 115.7    $ 52.7       $ 0.7   $ 1,815.2
Sales           (1,178.0)    (4.2)      -         -           -    (1,182.2)
Principal
 paydowns          (60.4)     0.2    (6.1)     (2.7)          -       (69.0)
Principal loss         -     (0.5)   (1.1)     (0.2)          -        (1.8)
Amortization        (0.4)     8.6     6.3       4.1           -        18.6
Market value
 adjustments:
 CDO assets            -   (266.8)  (59.2)    (31.7)          -      (357.7)
 Non-CDO
  assets               -    (79.1)  (46.3)    (16.4)       (1.1)     (142.9)
 OCI                (7.9)     0.5    (0.1)     (0.2)        0.4        (7.3)
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Carrying
 Value
December 31,
 2008                $ -   $ 58.1   $ 9.2     $ 5.6         $ -      $ 72.9
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