SFO Merrill Lynch

Institutional Shareholder Services (�ISS�), respected and influential provider of voting advisory services to institutional investors worldwide, recommends that its clients vote on the GREEN proxy card AGAINST ALL PROPOSALS being considered at the Sunset Financial Resources (NYSE:SFO) Special Meeting of Stockholders scheduled for October 6, 2006, Western Investment Hedged Partners LP announced today. In making its recommendation to vote AGAINST Sunset�s proposed merger with Alesco Financial Trust, ISS stated that it does �not think the merger is clearly beneficial to shareholders, as it assigns liquidation-like values to Sunset, a management agreement with an inherently high level of conflicts of interest and losing control of the company with no premium.� ISS went on to recommend a vote AGAINST the long-term incentive plan and the proposal to adjourn the meeting to allow for additional proxy solicitation. Art Lipson, of Western Investment, commented: �We believe that ISS has reached the right conclusion that this transaction undervalues Sunset. It changes Sunset�s fundamental investment strategy and management without shareholder approval and dramatically increases the fees and expenses Sunset holders will have to bear going forward. We think it is simply a bad deal that should be rejected.� Mr. Lipson added: �We believe there are better alternatives available to Sunset than this merger proposal. We intend to propose a slate of nominees for election to Sunset�s board at the 2006 Annual Meeting of Stockholders that will represent stockholders� interests and work to maximize stockholder value. We have had discussions with Michael Tokarz regarding the future management of Sunset and look forward to continuing those discussions.� Since the Special Meeting is only days away, Western Investment is asking Sunset stockholders to vote their shares as soon as possible. Holders may vote by phone at 1-800-454-8683 or internet at www.proxyvote.com. Please have your 12-digit control number on your GREEN proxy card available when you vote. Only the latest dated proxy counts, so even if you have already sent in a proxy to Sunset, you have every legal right to change your vote and vote AGAINST Sunset�s proposals by using the GREEN proxy card. Institutional Shareholder Services ("ISS"), respected and influential provider of voting advisory services to institutional investors worldwide, recommends that its clients vote on the GREEN proxy card AGAINST ALL PROPOSALS being considered at the Sunset Financial Resources (NYSE:SFO) Special Meeting of Stockholders scheduled for October 6, 2006, Western Investment Hedged Partners LP announced today. In making its recommendation to vote AGAINST Sunset's proposed merger with Alesco Financial Trust, ISS stated that it does "not think the merger is clearly beneficial to shareholders, as it assigns liquidation-like values to Sunset, a management agreement with an inherently high level of conflicts of interest and losing control of the company with no premium." ISS went on to recommend a vote AGAINST the long-term incentive plan and the proposal to adjourn the meeting to allow for additional proxy solicitation. Art Lipson, of Western Investment, commented: "We believe that ISS has reached the right conclusion that this transaction undervalues Sunset. It changes Sunset's fundamental investment strategy and management without shareholder approval and dramatically increases the fees and expenses Sunset holders will have to bear going forward. We think it is simply a bad deal that should be rejected." Mr. Lipson added: "We believe there are better alternatives available to Sunset than this merger proposal. We intend to propose a slate of nominees for election to Sunset's board at the 2006 Annual Meeting of Stockholders that will represent stockholders' interests and work to maximize stockholder value. We have had discussions with Michael Tokarz regarding the future management of Sunset and look forward to continuing those discussions." Since the Special Meeting is only days away, Western Investment is asking Sunset stockholders to vote their shares as soon as possible. Holders may vote by phone at 1-800-454-8683 or internet at www.proxyvote.com. Please have your 12-digit control number on your GREEN proxy card available when you vote. Only the latest dated proxy counts, so even if you have already sent in a proxy to Sunset, you have every legal right to change your vote and vote AGAINST Sunset's proposals by using the GREEN proxy card.