Crystal River Reports First Quarter 2009 Financial Results

Market Wire, May, 2009

Financing Details

The following table shows the Company's available-for-sale securities, real estate loans, other investments and other assets as of March 31, 2009 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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                                Assets                  Debt
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                                            CDO      Other Term      Funding
($ in millions)         Carrying Value     Debt(1)         Debt     Facility
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CMBS                           $  44.6   $ 31.3         $     -       $    -
Prime RMBS                         6.1      3.2               -            -
Subprime RMBS                      2.9      1.0               -            -
Real estate loans                  7.6        -               -          9.3
Commercial real estate           226.6        -           219.4         19.6
Trust Preferred
 Securities                          -        -            51.6            -
Other                            124.8        -               -            -
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Total                          $ 412.6   $ 35.5         $ 271.0       $ 28.9
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(1) CDO debt has been allocated based upon the asset mix within the
    Company's CDOs.

CDO and Non-CDO Assets

The table below summarizes the breakdown of our available-for-sale securities between assets held by non-recourse securitization subsidiaries financed by CDO debt and assets held directly at March 31, 2009:

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                               Consolidated
($ in millions)              Carrying Value    CDO Assets    Non-CDO Assets
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CMBS                                 $ 44.6        $ 32.5            $ 12.1
Prime RMBS                              6.1           3.4               2.7
Subprime RMBS                           2.9           1.1               1.8
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Total                                $ 53.6        $ 37.0            $ 16.6
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Our securitized assets are held by two non-recourse securitization subsidiaries financed by CDO debt. The table below details the assets and liabilities of these securitizations at March 31, 2009:

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                    Consolidated
                     Outstanding         Consolidated
($ in millions)      Face Amount       Carrying Value      CDO I     CDO II
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CMBS                     $ 523.8              $  32.5     $  7.5     $ 25.0
Prime RMBS                  85.3                  3.4        3.4          -
Subprime RMBS               53.6                  1.1        1.1          -
Receivables, cash
 and other assets              -                  4.4        1.8        2.6
Collateralized debt
 obligations              (461.7)               (35.5)     (11.1)     (24.4)
Derivative and other
 liabilities, net              -                (31.9)      (4.4)     (27.5)
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Net Equity               $ 201.0              $ (26.0)    $ (1.7)   $ (24.3)
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