SFO Merrill Lynch

GREENWICH, Conn., Aug. 28 /PRNewswire/ -- Mercury Real Estate Advisors LLC, an affiliate of Mercury Partners LLC, a real estate investment management company based in Greenwich, CT with offices in Hong Kong and Singapore, sent the following letter today to Sunset Financial Resources, Inc.'s (NYSE:SFO) Board of Directors as well as Alesco Financial Trust's Board of Directors. MERCURY REAL ESTATE ADVISORS LLC Three River Road Greenwich, Connecticut 06807 August 28, 2006 Alesco Financial Trust Board of Directors Cira Centre 2929 Arch Street, 17th Floor Philadelphia, Pennsylvania 19104 Sunset Financial Resources, Inc. Board of Directors 10245 Centurion Parkway, 3rd Floor Jacksonville, Florida 32256 Dear Boards: Mercury Real Estate Advisors LLC and its affiliates ("Mercury") is one of the largest shareholders of both Alesco Financial Trust ("Alesco") and Sunset Financial Resources, Inc. ("Sunset") with ownership stakes of approximately 9.5% and 9.8% in Alesco and Sunset, respectively. In light of the special meeting in early October during which holders will vote on the suggested transaction, we would like to express our unqualified support of the proposed merger of the two companies and announce that we will be voting in favor of the transaction for the following reasons: (1) The merger of Alesco and Sunset will create a company that can drive significant earnings momentum through its investment in higher- yielding assets such as bank and insurance trust preferred securities, middle-market leveraged loans and asset-backed securities. In particular, the merged company will be able to capitalize on the tremendous growth opportunities within the bank and insurance trust preferred market given the attractiveness of this financing option for potential issuers, which consists of over 4,500 small banks and thrifts as well as close to 500 insurance companies. The rapid redeployment of Sunset's assets from the highly competitive residential mortgage backed securities market into the growing bank and insurance trust preferred market should provide an uplift to the company's return on equity ("ROE") and will further position the company as the leading investor with a distinct competitive advantage in this nascent market segment. (2) The hiring of Cohen Brothers Management LLC ("Cohen Brothers") as the external manager will give stewardship of the new company's assets to a proven manager with strong credit analysis resources, a robust origination platform and seasoned executives with many years of experience in the capital markets. Cohen Brothers is a market leader in the origination and management of trust preferred securities issued by banks, insurance companies and REITs with more than $17 billion in assets under management. Investment vehicles associated with the Cohen Brothers management team have also provided outstanding returns for shareholders as evidenced by RAIT Investment Trust's compound annual return since January 1998 of over 20% and Taberna Realty Finance Trust's total return of more than 50% since its initial 144A capital raise in April 2005. (3) The merger will create significantly improved liquidity for both Alesco and Sunset shareholders and will allow greater accessibility to the capital markets, which is critical for future growth. With a market capitalization of only $87 million, Sunset currently lacks sufficient scale to be of interest to most institutional investors and, as a result, suffers from poor liquidity. The merger, however, will create a larger and well-capitalized company with an aggressive growth strategy, a well-known and highly respected manager and greatly improved share liquidity. In summary, we believe shareholders of both companies will benefit from the proposed merger as it will create a market-leading specialty finance vehicle that will thrive under the leadership of Cohen Brothers Management LLC. Sincerely yours, MERCURY REAL ESTATE ADVISORS LLC David R. Jarvis Malcolm F. MacLean IV Chief Executive Officer President DATASOURCE: Mercury Real Estate Advisors LLC CONTACT: Malcolm F. MacLean IV, +1-203-769-2980 Web site: http://www.mercuryrealestate.com/

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