Crystal River Reports Fourth Quarter And Full Year 2008 Financial Results
Market Wire, February, 2009
SUBPRIME RMBS INVESTMENT PORTFOLIO
Subprime RMBS portfolio by credit rating at December 31, 2008:
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Weighted Average
($ in ---------------------------
millions) Amortized Cost Carrying Value Yield Term (Yrs)
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BBB $ 2.4 $ 2.4 304.2% 3.4
BB 0.2 0.2 194.4% 4.5
B 0.3 0.3 45.0% 16.4
Below B 2.7 2.7 316.7% 4.3
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Total Subprime
RMBS $ 5.6 $ 5.6 293.0% 4.6
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Credit Characteristics of Subprime RMBS portfolio by vintage at December 31, 2008:
CDO Assets:
----------------------------------------------------------------------------
Outst- Cumul-
Original anding Carry- Principal ative
WA Face Face ing Subordin- Delinquency Loss to
Vintage Rating Amount Amount Value ation 60 /FC/REO Date
----------------------------------------------------------------------------
2005 CCC- $ 78.8 $ 62.3 $ 2.9 4.58% 30.07% 1.89%
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Total
Subprime
RMBS CCC- $ 78.8 $ 62.3 $ 2.9 4.58% 30.07% 1.89%
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Non-CDO Assets:
----------------------------------------------------------------------------
Outst- Cumul-
Original anding Carry- Principal ative
WA Face Face ing Subordin- Delinquency Loss to
Vintage Rating Amount Amount Value ation 60 /FC/REO Date
----------------------------------------------------------------------------
2005 C $ 26.2 $ 24.7 $ 0.9 1.12% 29.89% 0.73%
2006 CC 25.2 24.4 1.3 4.20% 30.36% 0.00%
2007 C 9.1 9.1 0.5 2.06% 26.42% 0.00%
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Total
Subprime
RMBS C $ 60.5 $ 58.2 $ 2.7 2.56% 29.54% 0.30%
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Financing Details
The following table shows the Company's available-for-sale securities, real estate loans, other investments and other assets as of December 31, 2008 and the different lines used to finance such assets, categorized by (i) CDO debt, (ii) other term debt, such as mortgage loans on commercial real estate and trust preferred securities and (iii) the Company's secured revolving credit facility:
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