![]() March 2007 Confidential Exhibit 99.1 |
![]() 2 Safe Harbor THESE MATERIALS ARE FOR PRESENTATION PURPOSES ONLY. THIS IS NOT AN OFFER OR SOLICITATION OF ANY OFFER TO BUY OR SELL ANY SECURITY OR OTHER INVESTMENT PRODUCT, NOR DO THESE MATERIALS CONSTITUTE INVESTMENT ADVICE. THESE MATERIALS ARE CONFIDENTIAL AND MAY NOT BE DISTRIBUTED, COPIED OR SHARED WITH ANY PARTY OTHER THAN WITH THE PRIOR WRITTEN APPROVAL OF ALESCO FINANCIAL INC. (“Alesco”) Forward Looking Statements: Information set forth in this presentation contains forward-looking statements, which involve a number of risks and uncertainties. Alesco cautions readers that any forward-looking information is not a guarantee of future performance and that actual results could differ materially from those contained or implied in the forward-looking information. The following factors, among others, could cause actual results to differ from those set forth in the forward-looking statements: the failure of Alesco to successfully execute its business plans or gain access to additional financing, the availability of additional loan portfolios for future acquisition, continued qualification as a REIT and the cost of capital. Additional factors that may affect future results are contained in Alesco’s filings with the SEC, which are available at the SEC’s web site www.sec.gov and Alesco’s web site www.alescofinancial.com. Alesco disclaims any obligation to update and revise statements contained in these materials based on new information or otherwise. |
![]() 3 Sections I. Alesco Financial Inc. Overview II. Investment Analysis III. Financial Statements IV. Cohen & Company – External Manager Table of Contents |
![]() I. ALESCO FINANCIAL INC. OVERVIEW |
![]() 5 Company Overview January 2006 – Specialty finance company formed with $111 million of equity capital from private placement of common shares October 2006 – Merged with Sunset Financial Resources, Inc. to nearly double equity while also becoming a public company listed on NYSE November 2006 – Completed a $273 million secondary public offering raising market capitalization to approximately $471 million (1) Invests primarily in bank and insurance company TruPS, middle- market loans and MBS, and uses CDO and CLO securitizations to get long-term, non-recourse financing Externally managed by Cohen & Company – which has demonstrated a track record of attaining leading market share in certain of their and our businesses (1) As of March 16, 2007 |
![]() 6 Overview of Business Model Capital Raising and Capital Raising and Dividend Policies Dividend Policies Investment Investment Objective Objective Access to Cohen Access to Cohen Platform Platform Capital raises should be accretive to book value and deployed quickly to minimize drag on earnings Pay regular quarterly dividends of 90-100% of REIT Taxable Income Industry leading CDO manager, including TruPS financing for banks and insurance companies Strong pipeline of assets Experienced management team has originated over $20 billion of managed assets since 2002 Invest in assets with low historical default rates to deliver attractive risk-adjusted returns and predictable cash flows for shareholders Target assets with significant opportunity for investment Company Structure Company Structure Corporate Corporate Governance Governance Real Estate Investment Trust (“REIT”) externally managed by Cohen & Company Management, LLC Publicly traded on New York Stock Exchange (NYSE) Board of Directors comprised of seven independent directors and two Cohen & Company employees Cohen & Company has separate credit committees to oversee each targeted asset class |
![]() 7 Goals and Achievements Goals Goals Achievements Achievements Financed $3.3bn in bank and insurance trust preferred, $600mm in middle market loans and $4.0bn in residential MBS Funded assets above with 5 trust preferred CDOs, 2 middle market loan CLOs and 4 MBS CDOs CDO/CLOs are match- and term-funded Invest in low volatility assets Minimize interest rate risk Minimize funding risk |
![]() 8 Highlights Since Inception (1) Return on initial $10 per share investment in Alesco Financial Trust – equivalent to $7.94 per share following Sunset merger due to 1.26 exchange ratio Dividend payouts of $1.68 per share in eight months prior to merger – (25.2% annualized return (1) ) - Dividend of $0.28 per share paid for 4 th quarter of 2006 - Declared dividend of $.30 per share for Q107 From January 31 to December 31, 2006: - Deployed $365 million of equity in target assets: Banks and insurance companies: $150 million Middle market loans: $ 20 million Investment grade MBS: $105 million Mortgage Loans $ 90 million Strong pipeline: will deploy all the proceeds of $273 million November 2006 secondary offering by March 31, 2007 in target asset classes |
![]() 9 Financing Strategy Asset Class Short-Term Financing Long-Term Financing Collateral accumulates in warehouses 6.5% collateral deposit recorded as restricted cash Interest carry plus/minus change in value of collateral position Collateral held in CDO structures Alesco generally holds 51-75% of the equity Collateral accumulates in warehouses 9% collateral deposit recorded as restricted cash Interest carry plus/minus change in value of collateral position Collateral held in CLO structures Alesco generally holds 51-75% of the equity Collateral accumulates in warehouses 3% collateral deposit recorded as restricted cash Interest carry plus/minus change in value of collateral position Collateral held in CDO structures Alesco holds 100% of the equity Repo financing Securitization Mortgage Loans Mortgage Loans Middle Market Leveraged Loans TruPS Asset-Backed Securities |
![]() 10 CDO Financing Structure Capital Securities Baa2/Baa3 implied Moody’s weighted average pool rating 53% - Class A-1 Aaa/AAA/AAA Moody’s/S&P/Fitch 9% - Class C-1 A3/---/A- 6% - Preferred Shares 10% - Class A-2 Aaa/--/AAA 9% - Class C-2 A3/---/A- 7% - Class B Aa2/--/AA 4% - Class D ---/---/BBB Assets held by CDO Securities issued by CDO The Alesco CDO issues securities comprised of: - Rated Notes and Preferred Shares backed primarily by trust preferred securities of bank holding companies, insurance companies or thrift holding companies - A limited amount of Bank Subordinated Debt, Insurance Surplus Notes, Insurance Subordinated Debt and Insurance Senior Notes The CDO is managed by an affiliate of Cohen & Company Management, LLC, the Collateral Manager The CDO typically holds the following assets and issues the following classes of securities: |
![]() II. INVESTMENT ANALYSIS |
![]() 12 Experienced management team Strong balance sheet • Diversified non-correlated asset classes • Low historical default rates • Significant opportunity for investment Solid risk-adjusted returns with short ramp-up period • Rapid deployment of capital Established platform and business model • Management team has originated over $30 billion of Cohen & Company managed assets since 2002 Investment Strengths |
![]() 13 Attractive Portfolio Mix (1) As of December 31, 2006 (2) Based on Q107 dividend and $8.58 stock price as of March 16, 2007 Actual and Target Investment Allocation Asset Class Actual Leverage Amounts Actual Equity Allocated Target Equity Allocation 15x $150.0 55% 10x $20.0 20% 33x $105.0 20% 25x $90.0 5% 20.0x $365.0 100% Mortgage Loans Asset-Backed Securities Middle Market Leveraged Loans TruPS Total / Blended (1) (1) $0.30 Regular dividend represents a 14% dividend yield to AFN holders (2) |
![]() 14 $556 $3,257 $4,358 $351 $5,481 $2,014 $6,047 $1,415 $4,621 $1,724 $365 $5,018 $2,208 $538 $3,077 $3,199 $3,389 $2,549 $0 $1,000 $2,000 $3,000 $4,000 $5,000 $6,000 $7,000 $8,000 2000 2001 2002 2003 2004 2005 YTD 2006 2007 2008 2009 2010 Bank Trust Preferred Insurance Trust Preferred Other Bank Refinancings Pooled Bank and Insurance TruPS Issuance (1) Cohen & Company estimates based on Fitch Ratings reports and press releases. Includes closed and priced deals through October 15, 2006. Represents CDOs of TruPS issued by banks and insurance companies. Excludes re-packaged collateral from prior CDOs. (2) Represents the collateral in bank and insurance trust preferred CDOs that is comprised of non-bank and insurance asset classes. (3) Source: SNL Securities. Non-convertible trust preferred issues callable after January 1, 2007 for banks and thriftswith assets between $70 million and $10 billion. $12.2 billion $12.2 billion of pooled TruPS issuances from small to mid-sized banks and thrifts will be callable from 2007 through 2010 ’01 – ’05 CAGR: 19.8% ($ in mm) (1) (1) (1)(2) (3) $4,709 $7,495 $7,462 $6,710 $7,764 |
![]() 15 Cohen & Company Leadership Position The consistency and volume of Cohen & Company’s Alesco Trust Preferred CDO pools has resulted in a leadership position in the market. _____________________ Source: Cohen & Company’s analysis of FitchRatings reports and press releases. Consists of target collateral amounts of closed and priced CDO transactions of predominantly US and European bank and insurance companies through December 31, 2006. Excludes non-bank and non-insurance collateral and re-packaged collateral from prior CDOs. US and Europe – Bank and Insurance Trust Preferred Pools |
![]() 16 (1) Source: FDIC’s Historical Statistics on Banking: Changes in Number of Institutions. (2) Source: A.M. Best. Best’s Insolvency Study – Property/Casualty U.S. Insurers 1969-2002. (3) Source: Moody’s Speculative Grade Default Rates. Alesco TruPS – Low Historical Default Rates 0% 2% 4% 6% 8% 10% 12% 1969 1972 1975 1978 1981 1984 1987 1990 1993 1996 1999 2002 Commercial Banks Insurance Companies High Yield 8.45% 0.65% 0.14% Insolvency Insolvency History History of of U.S. U.S. Commercial Commercial Banks Banks (1) (1) and and Insurance Insurance Companies Companies (2) (2) vs. vs. High High Yield Yield Bonds Bonds (3) (3) |
![]() 17 TRUPS – Issuance Concentration – Alesco X through Alesco XIV Issuance Concentration Number of issuers within concentration ranges 1.5%-2.0%, 5 1.0%-1.5%, 11 0.5%-1.0%, 44 Less than 0.5%, 194 Greater than or equal to 2%, 1 Note: As of March 15, 2007 |
![]() 18 TRUPS – Concentration per State – Banks Concentration per state Less than 2%, 20.5% MI, 2.2% NC, 2.1% CA, 12.7% IN, 2.3% MO, 2.6% IA, 1.8% AR, 2.7% KS, 3.8% MA, 4.0% MN, 4.1% PA, 4.3% FL, 5.2% VA, 5.7% GA, 6.2% IL, 10.0% TX, 10.1% Note: As of March 15, 2007 |
![]() 19 Disciplined Collateral Underwriting Process Due Diligence Due Diligence Credit Write-Up Credit Write-Up Committee Review Committee Review Continued Monitoring Continued Monitoring Sourcing & Screening Sourcing & Screening Potential investments sourced through variety of channels Data gathered on potential investment Apply preliminary credit score Management interviews Financial analysis Financial modeling and stress testing Valuation of underlying collateral Review of issuer’s anticipated cash flow, liquidity position and credit statistics Summary analysis Credit report submitted to investment committee for reviews Apply previously established investment guidelines Unanimous approval is required Conduct ongoing credit analysis Investment committee evaluates any potential deterioration in credit or valuation impairment Senior executives directly involved in all aspects of origination, underwriting and collateral management |
![]() 20 Middle market loans are an attractive asset class Mature market with total loans outstanding of approximately $1.3 trillion (1) Low return correlation with other asset classes Low default rates (currently industry statistics in the 1.7% range) Inherent structural and credit protection The typical Emporia CLO portfolio is comprised of Senior secured middle market loans – 85% Second lien middle market loans – 15% The Emporia CLO structure achieves diversification, especially compared to typical CLO assets, by including broadly syndicated loans along with middle market loans The stable return profile of senior secured loans is then balanced with higher current yields of second lien loans, which enhances the return profile of the portfolio Emporia – Middle Market Leveraged Loans (1) Source: Standard & Poor’s. Data as of December 30, 2004. |
![]() 21 Emporia Leveraged Loans – S&P Industry Analysis Note: As of March 15, 2007 |
![]() 22 MBS Portfolio Overview (As of March 15, 2007) Portfolio is specifically constructed to address potential volatility Asset pool is high investment grade All investment grade assets None in lowest investment grade quality (BBB-) Significant amounts in AAA and AA Average quality of A+ Assets are match funded to term with NO RECOURSE to AFN Exposure limited to 3% of assets Significant cash flows come in even if assets later become impaired Higher returns on MBS assets available in current market Opportunity to reinvest in wider spread assets while funding cost is locked-in |
![]() 23 MBS Portfolio Overview (continued) Currently $120 million of capital devoted to MBS (maximum current exposure) Capital is invested in four (4) distinct pools of $30 million each (Kleros Real Estate I to IV) 28% of total assets are in sub-prime 13% of sub-prime is in BBB+ and 5.5% is in BBB Remainder of sub-prime assets are in A- or higher quality Funding of assets not subject to margin calls or forced liquidations Portfolio consists only of cash MBS – no derivatives or investments in other CDOs |
![]() 24 Cohen & Company Management, LLC has completed and manages five Kleros and four Kleros Real Estate CDO transactions totaling over $11 billion Kleros Real Estate CDOs are collateralized by RMBS, CMBS and ABS with average ratings of “A+” Securities with these credit ratings have experienced low historical defaults (1) The collateral underlying these securities have high historical recovery rates and receive more substantial cash flow after default than comparable corporate securities Kleros – Asset-Backed Securities (1) Source: Moody’s Investors Service, “Default & Loss Rates of Structured Finance Securities: 1993-2005,” April 2006. Impairment is defined in the study as unsecured payment defaults or securities downgraded to Ca or C. Payment defaults include shortfalls of interest or losses of principal. Impairment rates calculated using original ratings. Impairment Rates (1993-2005) RMBS CMBS ABS Aaa 0.00% 0.00% 0.05% Aa 0.00% 0.00% 0.14% A 0.00% 0.00% 0.03% Baa 0.07% 0.00% 0.03% |
![]() 25 MBS – Asset Type by Kleros Real Estate CDO $1.1B Note: Prime = FICO Score >700; Mid-Prime = FICO of 625 to 700 and Sub-Prime <625 FICO Note: As of March 15, 2007 Asset Type 291.2 MM 262.9 MM 310.5 MM 417.3 MM 447.4 MM 338.3 MM 255.5 MM 252.7 MM 233.0 MM 44.1 MM 26.9 MM 39.2 MM 258.9 MM 412.3 MM 272.0 MM 56.2 MM 0 200 400 600 800 1,000 1,200 KRE I KRE II KRE III KRE IV Deal Name CMBS Conduit Prime Mid-Prime Sub-Prime |
![]() 26 MBS – S&P Ratings of Sub-Prime Assets $207MM Note: As of March 15, 2007 Sub-Prime Ratings 9.33 MM 22.45 MM 24.42 MM 39.06 MM 47.91 MM 37.94 MM 21.51 MM 27.04 MM 25.94 MM 48.35 MM 26.69 MM 31.05 MM 41.97 MM 57.31 MM 122.32 MM 32.85 MM 71.48 MM 56.14 MM 102.28 MM 29.64 MM 15.96 MM 11.00 MM 11.73 MM 9.58 MM 41.09 MM 70.38 MM 24.40 MM 10.55 MM 10.00 MM BBB: 4.19 MM 11.27 MM 25.44 MM AA+ 2.35 MM 0 50 100 150 200 250 300 350 KRE I KRE II KRE III KRE IV Deal Name AAA AA+ AA- AA A+ A A- BBB+ BBB |
![]() 27 MBS – Asset Ratings by Kleros Real Estate CDO $372MM Note: As of March 15, 2007 Portfolio Ratings 41.4 MM 37.5 MM 51.7 MM 68.3 MM 74.8 MM 66.3 MM 77.5 MM 58.7 MM 93.6 MM 39.1 MM 94.8 MM 103.9 MM 160.1 MM 180.3 MM 91.4 MM 129.7 MM 156.7 MM 197.9 MM 155.2 MM 184.4 MM 110.5 MM 126.6 MM 32.3 MM 82.2 MM 74.1 MM 49.5 MM 229.9 MM 108.3 MM 99.9 MM 91.9 MM 208.6 MM 228.7 MM 177.1 MM 203.5 MM BBB: 6.2 MM BBB+: 26.0 MM 0 200 400 600 800 1000 1200 KRE I KRE II KRE III KRE IV Deal Name AAA AA+ AA- AA A+ A A- BBB+ BBB |
![]() ![]() 28 MBS Portfolio – Credit Support and Delinquencies Note: As of March 15, 2007 Lien Position Asset Type Rating Current Par Average Current Support (%) Average Original Support (%) Average 60+ Delinquencies 1st Lien Prime BBB 31,963,913 $ 2.54 1.86 3.18 1st Lien Prime BBB+ 6,184,081 $ 2.08 1.60 2.59 1st Lien Mid-Prime BBB 42,583,000 $ 8.63 3.83 10.49 1st Lien Mid-Prime BBB+ 61,828,000 $ 8.30 5.89 8.12 1st Lien Sub-Prime BBB 56,114,168 $ 6.28 5.22 7.46 1st Lien Sub-Prime BBB+ 146,408,741 $ 7.61 6.41 7.09 2nd Lien Mid-Prime BBB 1,835,000 $ 15.79 10.95 6.41 2nd Lien Mid-Prime BBB+ 20,994,000 $ 14.64 11.10 5.18 |
![]() III. FINANCIAL STATEMENTS |
![]() Alesco Financial – Income Statements For the three months December 31, 2006 For the period from January 31, 2006 through December 31, 2006 Revenue: Investment interest income ................................ ................................ ............. $ 107,435 $ 215,613 Investment interest expense ................................ ................................ ............ . (96,480) (188,121) Provision for loan loss ................................ ................................ ..................... (1,322) (1,938) Change in fair value of free - standing derivative ................................ .............. 131 2,127 Net investment income ................................ ................................ .................... 9,764 27,681 Total revenue ................................ ................................ .......................... 9,764 27,681 Expenses: Related party management compensation ................................ ........................ 2,223 6,249 General and administra tive ................................ ................................ .............. 2,742 3,834 Total expenses ................................ ................................ ........................ 4,965 10,083 Income before interest and other income, minority interest and taxes ............... 4,799 17,598 Interest and other income ................................ ................................ ................. 3,408 5,820 Realized gain on derivative contracts ................................ ............................... — 7,700 Unrealized gain on derivative contracts ................................ ............................ (219) 1,653 Losses on investments ................................ ................................ ....................... (1,503) (2,349) Income before minority interest and taxes ................................ ............................. 6,485 30,422 Minority interest................................ ................................ ................................ (2,616) (7,625) Income before taxes ................................ ................................ ................................ 3,869 22,797 Provision for income taxes ................................ ................................ ............... (288) (766) Net income ................................ ................................ ................................ ................ $ 3,581 $ 22,031 Earnings per share — basic: Basic earnings per share ................................ ................................ .................... $ 0.13 $ 1.48 Weighted -average shares outstanding — Basic................................ .................. ..... 27,748,369 14,924,342 Earnings per share — diluted: Diluted earnings per share ................................ ................................ ................. $ 0.13 $ 1.48 Weighted -average shares outstanding — Diluted................................ ............... .. 27,773,995 14,924,342 Distributions declared per com mon share ................................ ......................... $ 0.25 $ 1.75 |
![]() Alesco Financial – 2006 GAAP to REIT Taxable Reconciliation For the Quarter Ended December 31, 2006 For the Year Ended December 31, 2006 Net income available to common stockholders’, as reported .................................. $ 3,581 $ 22,031 Add (deduct): Provision for loan losses ............................................................................ .. 789 807 Stock compensation ............................................................................ ......... 262 268 Unrealized losses on investments and derivative contracts......................... 515 518 Realized losses on sale of capital assets...................................................... 1,127 1,127 Federal tax provision................................................................................... 564 564 Book/tax differences due to merger accounting.......................................... (19) (491) Other book/tax differences ......................................................................... 128 131 Total taxable income .............................................................................. .............. 6,947 24,955 Less: Taxable income attributable to domestic TRS entities ................................. (373) (381) Plus: Dividends paid by domestic TRS entities ..................................................... — — Estimated REIT taxable income (prior to deduction for dividends paid) ...... $ 6,574 $ 24,574 Weighted average shares outstanding - diluted 27,773,995 14,924,342 Estimated REIT taxable income per share $ 0.24 $ 1.65 The Company’s GAAP net income includes the operations of AFT from January 31, 2006 through to October 6, 2006 and the combined operations of the merged company from October 7, 2006 through to December 31, 2006, whereas our total taxable income and REIT taxable income includes the results of operations of historical Sunset from January 1, 2006 through to October 6, 2006 and the combined operations of the merged company from October 7, 2006 through to December 31, 2006. These non-GAAP financial measurements are important because we are structured as a REIT and the Internal Revenue Code requires that we pay substantially all of our taxable income in the form of distributions to our stockholders. The non-GAAP financial measurements of total taxable income and REIT taxable income are important in the determination of the amount of the minimum distributions that we must pay to our stockholders so as to comply with the rules set forth in the Code. Because not all companies use identical calculations, this presentation of total taxable income and REIT taxable income may not be comparable to other similarly titled measures prepared and reported by other companies. The table below reconciles the differences between reported GAAP net income and total taxable income and REIT taxable income for the year ended December 31, 2006 (dollar amounts in thousands): |
![]() Alesco Financial – Balance Sheet as of December 31, 2006 Asof December31,2006 Assets Investments in debt securities and related receivables Available-for -sale debt securities ................................ ................................ ............. $ 6,771,914 Security-related receivables ................................ ................................ ....................... 1,170,210 Total investment in debt securities and security- related receivables ...................... 7,942,124 Investments in residential and commercial mortgages and leveraged loans Residential mortgages ................................ ................................ ................................ 1,773,147 Commercial mortgages ................................ ................................ ............................... 9,500 Leveraged loans ................................ ................................ ................................ ......... 314,077 Loan loss reserve ................................ ................................ ................................ ....... (2,130) Total investmen ts in residential and commercial mortgages and leveraged loans, net ................................ ................................ ................................ ............................ 2,094,594 Cash and cash equivalents ................................ ................................ ............................ 51,821 Restricted cash and warehouse deposits ................................ ................................ ...... 349,113 Accrued interest receivable ................................ ................................ ............................ 46,654 Other assets................................ ................................ ................................ ................... 30,621 Deferred financing costs, netof accumulated amortization of $ 2,762 ......................... 87,423 Total assets ................................ ................................ ................................ .................. $10,602,350 Liabilities and stockholders’ equity Indebtedness Repurchase agreements ................................ ................................ ................................ $3,024,269 Trust preferred obligations ................................ ................................ ........................... 273,097 CDO notes payable ................................ ................................ ................................ ...... 6,496,748 Warehouse credit facility ................................ ................................ .............................. 167,158 Junior subordinated notes ................................ ................................ .............................. 20,619 Total indebtedness ................................ ................................ ................................ ....... 9,981,891 Accrued interest payable ................................ ................................ ................................ 42,163 Related party payable ................................ ................................ ................................ .. 879 Other liabilities ................................ ................................ ................................ ............. 50,017 Total liabilities ................................ ................................ ................................ ............ 10,074,950 Minority interest ................................ ................................ ................................ ........... 98,598 Stockholder’s equity Preferred shares, $0.001 par value per share, 50,000,000 shares authorized, no shares issued and outstanding ................................ ................................ .................. — Common shares, $0.001 par value per share, 100,000,000 shares authorized, 54,922,071 issued and outstanding, including 193,457 unvested restricted share awards ................................ ................................ ................................ ............ 55 Additional paid in capital ................................ ................................ ................................ 447,442 Accumulated other comprehensive loss ................................ ................................ ...... (14,628) Cumulative distributions ................................ ................................ ................................ (26,098) Cumulative earnings ................................ ................................ ................................ .... 22,031 Total stockholders’ equity ................................ ................................ ........................... 428,802 Total liabilities and stockholders’ equity ................................ ................................ $10,602,350 |
![]() IV. COHEN & COMPANY – EXTERNAL MANAGER |
![]() 34 Access to Cohen & Company Platform A leading asset manager with approximately $31 billion in assets under management in 34 CDOs and whole loan portfolios. Over 140 employees with extensive financial services and real estate industry experience, with offices in Philadelphia, New York, Chicago, Los Angeles and Paris. Strategos Capital Management Cohen & Company Financial Management Bank / Insurance Trust Preferred AUM: $9.5 bn ABS and MBS AUM: $20.1 bn Non Profit 501 (C) (3) Munis Non -Profits AUM: $0.4 bn Dekania Capital Management Emporia Capital Management Alesco Financial Inc. (REIT) NYSE: AFN Middle Market Loans AUM: $1.2bn |
![]() 35 Organizational Depth and Interaction Chris Ricciardi CEO 15 years experience Daniel Cohen Chairman 18 years experience Lars Norell MD 8 years experience Alesco/Dekania Shami Patel + 18 Dekania Europe Paul Vernhes + 9 Emporia Kevin Braddish + 15 Kleros/Libertas Alex Cigolle + 6 Brigadier Ralph Nacey + 2 Fixed Income Brian James Joseph Messineo + 11 Equity Sales John Heppe + 2 Equity Capital Markets John Cardinale Structuring & Analytics Steve D’Agostino +9 Finance Joseph Pooler + 7 Research Lee Calfo + 6 Information Tech. Mark Tolani + 7 Compliance Kenneth Smith + 2 Alesco Financial John Longino + 4 B/D Ops Richard DiArenzo + 2 Legal Dan Munley/Rachel Fink Jay McEntee COO 26 years experience Asset Management Legal/Opt Compliance Capital Markets Marketing Robert O’Donnell Risk Management Constantine Boyadjiev HR & Admin Jonnell Cuddahy + 5 Non Profit Andrew Hohns + 1 |
![]() 36 History of Cohen & Company 1999: Founding of research and credit boutique focused on the financial services and real estate industries. 1999-2006: Growth to over 140 professionals in several offices worldwide. 2001-2006: Arranged over $10 billion of Trust Preferred financings. 2004-2006: Second largest manager of new issue CDO/CLO assets. 2005: Completed spin-off of Taberna Realty Finance Trust, raising over $400MM to invest in real-estate backed structured and securitized products, including REIT Trust Preferred CDOs. 2006: Completed $100MM+ offering of Alesco Financial Trust, an externally managed vehicle investing primarily in CDO Equity across multiple asset classes. 2006: Strategically advanced Cohen Brothers through the integration of much of Merrill Lynch’s CDO structuring team, led by Chris Ricciardi, now CEO of Cohen & Company. 2006: Top manager of new issue CDO/CLO assets 2006: Aggregate AUM at over $31BB. Actively growing platform across asset classes |
![]() 37 Experienced Management Team Name Title Years of Experience Daniel G. Cohen Chairman 18 James J. McEntee, III President and CEO 26 Shami J. Patel Chief Operating Officer and Chief Investment Officer 13 John J. Longino CFO and Treasurer 26 Daniel Munley Chief Legal Officer 11 Christian M. Carr CAO and Controller 8 |
![]() 38 Management Agreement 1.50% of equity Alesco pays no compensation to its officers. All executive compensation is paid by Cohen & Company Management, LLC 20% of net income in excess of the greater of: 9.5%; or the yield on the 10-year U.S. Treasury + 3.0% 15% payable in stock Based entirely on the performance of the portfolio Cohen & Company Management will cover all employee compensation expenses, while all other operating expenses are borne or reimbursed by Alesco, including legal, tax, accounting, consulting, auditing and administrative fees and expenses Base Management Fee Incentive Fee Reimbursement of Expenses Alesco has the right, before any other party, to acquire all equity interests in CDOs collateralized by US Dollar TruPS issued by banks and insurance companies and CLOs collateralized by US Dollar leveraged loans for which Cohen & Company serves as the collateral manager (1) Right of First Refusal (1) Excludes non-U.S. dollar denominated. Since intention is to invest primarily in Cohen CDO’s, AFN will receive rebates related to asset management fees paid by those CDO’s which will completely offset base and incentive fees |
![]() 39 Collateral Management As a premier collateral manager, we have accumulated and now manage approximately $31 billion of investments, over $24 billion of which is in securitized pools in the banking, insurance, commercial and residential, mortgage-backed sectors, and middle market loan markets, under the Alesco, Dekania, Kleros, Libertas and Emporia programs. According to Asset Backed Alert, Cohen & Company was the top CDO Manager for 2006 by new issue volume. Bank & Insurance Trust Preferred Collateralized Debt Obligations Alesco I - XIV Dekania I & II Dekania Europe I & II $9.5 billion Residential MBS Collateralized Debt Obligations Kleros I - V Kleros R.E. I - IV Libertas I & II Scorpius I $20.1billion Middle Market Loans Collateralized Loan Obligations Emporia I & II $1.2 billion Munis Collateralized Debt Obligations Non-Profit Preferred Funding Trust I $0.4 billion |
![]() 40 Cohen & Company - Structured Finance Expertise Alesco CDO XII $683 MM Trust Preferred Securities September 2006 Taberna VII $700 MM Trust Preferred Securities September 2006 Alesco CDO XI $683 MM Trust Preferred Securities June 2006 $1,000 MM High Grade ABS June 2006 Kleros Real Estate CDO I $2,000 MM High Grade ABS August 2006 Kleros CDO III $1,000 MM High Grade ABS August 2006 Kleros Real Estate CDO II Taberna V $700 MM Trust Preferred Securities May 2006 Taberna VI $700 MM Trust Preferred Securities June 2006 Alesco CDO X $971 MM Trust Preferred Securities March 2006 Trust Preferred Securities €305 MM Dekania Europe CDO I September 2005 Alesco CDO IX $683 MM Trust Preferred Securities December 2005 Taberna IV $673 MM Trust Preferred Securities December 2005 Taberna III $780 MM Trust Preferred Securities September 2005 Alesco CDO VIII $684 MM Trust Preferred Securities August 2005 Trust Preferred Securities $307 MM Dekania CDO I September 2003 $690 MM Trust Preferred Securities April 2005 Alesco CDO VII Taberna II $1,044 MM Trust Preferred Securities June 2005 $1,007 MM High Grade ABS June 2005 Kleros CDO I $692 MM Trust Preferred Securities December 2004 Alesco CDO VI Taberna I $729 MM Trust Preferred Securities March 2005 Alesco CDO IV $415 MM Trust Preferred Securities May 2004 Alesco CDO III $363 MM April 2004 Trust Preferred Securities DekaniaCDO II Trust Preferred Securities $413 MM April 2004 Alesco CDO I $344 MM Trust Preferred Securities October 2003 Alesco CDO II $348 MM December 2003 Trust Preferred Securities Alesco CDO V $365 MM Trust Preferred Securities September 2004 May 2006 $602 MM Libertas CDO Mezzanine ABS Emporia CDO II $365MM Leveraged Loan May 2006 Emporia CDO I $425MM Leveraged Loan October 2005 $1,001 MM High Grade ABS January 2006 Kleros CDO II |
![]() 41 Market Recognition Cohen & Company has been recognized as a leading CDO manager. |
![]() 42 Market Recognition Cohen and Company has been recognized as a leading CDO manager. |
![]() 43 Other Operations Equity Sales and Trading: Cohen & Company maintains sales and trading platforms that support CDO and investment banking operations and generates revenues through trading activities on behalf of institutional and high net worth clients. Equity Research: Six research analysts cover 75 companies in the bank, thrift, real-estate investment trust and specialty finance sectors. In addition, the department provides economic and industry specific research on areas of the U.S. and sectors where the analysts have coverage. Fixed Income & Sales and Trading: Specializes in the distribution and trading of structured credit products. Additionally, this group plays a role in the origination and syndication of our structured finance transactions. |