Crystal River Reports First Quarter 2009 Financial Results

Market Wire, May, 2009

III. SUPPLEMENTAL INFORMATION

Total Investment Portfolio at March 31, 2009

The following table summarizes the Company's investment portfolio at March 31, 2009, December 31, 2008, and March 31, 2008:

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                       March 31, 2009  December 31, 2008     March 31, 2008
($ in millions)     Carrying           Carrying           Carrying
                       Value  % Total     Value  % Total     Value  % Total
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Available for
 sale securities
  CMBS               $  44.6     15.4%  $  58.1     18.3%  $ 271.1     36.2%
  Prime RMBS             6.1      2.1%      9.2      2.9%     56.3      7.5%
  Subprime RMBS          2.9      1.0%      5.6      1.8%     28.0      3.7%
  Preferred stock        0.0      0.0%      0.0      0.0%      0.1      0.0%
Direct real estate
 loans
  Construction loans       -        -       0.4      0.1%     16.4      2.2%
  Mezzanine loans        5.1(1)   1.8%     11.2(1)   3.5%     31.9      4.3%
  Whole loans            2.5      0.9%      2.5      0.8%    109.8     14.7%
Commercial real
 estate-owned(2)       226.6     78.2%    228.3     72.1%    233.1     31.2%
Other                    1.6      0.6%      1.6      0.5%      1.6      0.2%
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Total                $ 289.4    100.0%  $ 316.9    100.0%  $ 748.3    100.0%
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(1) Includes one loan in the amount of $5.1 million held for sale.
(2) Excludes intangible assets.

First Quarter 2009 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 first quarter of 2009:

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(in millions)       CMBS   Prime RMBS    Subprime RMBS      Total Portfolio
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Carrying Value
 December 31,
 2008             $ 58.1        $ 9.2            $ 5.6               $ 72.9
Sales                  -            -                -                    -
Principal paydowns     -            -                -                    -
Principal loss         -         (0.3)            (0.1)                (0.4)
Amortization         0.6          0.5                -                  1.1
Market value
 adjustments:
 CDO assets        (11.0)        (1.7)            (1.7)               (14.4)
 Non-CDO assets     (3.3)        (1.6)            (0.9)                (5.8)
 OCI                 0.2            -                -                  0.2
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Carrying Value
 March 31, 2009   $ 44.6        $ 6.1            $ 2.9               $ 53.6
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