It's simple. We actually have a reference point to compare to.

Take third party games in general - we know that overall, they have a very hard time to make a profit. Not only do we know that 4 out of 5 games are losing money, but we also know that publishers on average don't make more than 10% in profit - if even that.
I'm sure you've read the news about financial reports - most of the publishers, EA, Sqauer Enix, THQ, Take Two, EIDOS, Sega, Atari Capcom, Codemasters, are losing money or making small profits. Year after year.

What can we deduct from this? That in general proifit margins are small.

So how on earth can exclusive games who are released on a limited market be the ones making money? (Im not talking about Nintendo here, theyre the exception to the rule)

We all can see that Sony games are very well made, and quality in general means higher costs.

Take Infamous vs Prototipe for example.

Infamous is obviously more expensive, you can see it had a higher budget than Prototipe. But who will sell most?

Prototipe of course. Infamouse will end at 1.2 million. Prototipe at 800K PS3 and 1.3 mill X360 = 2.1 mill.

2.1 mill vs 1.2 mill. So if we know that games like Prototipe in general make only 10% in profit (on average), we can deduct that the corresponding exclusive games on PS3 lose money. It's mathematically impossible that a 1.2 mill seller can make money, if a cheaper 2.1 mill seller only made 10% money (even if we account for the $10 per copy license fee).

Just do the math and you'll find out.

Notice though that there are other positive effects with having a strong 1st party - it's a strong selling point in the console war, and thus possibly profitable overall if we include the second hand sales 1st party games generate.

Well, marketing in this business is a big part of a publishers expenses. A general rule of thumb is to calculate marketing to be 50% of the development budget. And then adjust on a per game basis according to the general impression of how much the game was announced and amount of previews in media etc. Heavenly Sword was marketed at least as much as an average AAA game. 

Motorstorm was bundled. Real retail copies was probably just 1 million. And I think Sony games are sold at retail for $50 instead of $60.
So only 1 million copies x $20 = $20 million. And being a early in generation game they made probably lots of newbie mistakes and thus the game got more expensive development. So Motorstorm profit estimate:
revenue $20 million
costs (budget $20 mill + marketing $15 million) $35 million
----------------------------
Motorstorm losses = $ 15 million

Pacifik Rift I dunno if it was bundled, but it was uge flop so I estimate it only shipped 750,000 copies to retail. Althoug it was also cheaper and marketed less:
revenue: (750,000 x $20) $15 mill
costs (budget $15 mill + marketing $10 million) $25 million
---------
Motorstorm 2 losses = $10 mill

Heavenly Sword I think was bundled somewhat, plus it was sold for rebate and bargain bin mostly. So per copy revenue was probably just $15 on 1 million copies (the rest, 400,000 I estimate were bundled) and thus total revenue only $15 mill.

It's well documented that HW cost $20 million (discussed on VGC). Add marketing and you got $30 mill.

Heavenly Sword losses = $15 million

Lair was even worse. Also rumured to have cost $20 mill. Same marketing, but worse sales.

Lair estimated losses = $20 million.

Then SOCOM and Warhawk probably lost a lot of money.

7.5M is  20% of 37.5M..... So... you kinda just showed how your 10% crap you stated earlier means nothing....

Of course it's a big part, but Sony doesn't advertise.

And we don't know that advertising wasn't included in Uncharted's budget number.