TIDMQWIL 
 
RNS Number : 5529P 
Queen's Walk Investment Limited 
20 July 2010 
 

 
Queen's Walk Investment Limited (the "Company") 
 20 July 2010 
 
This interim management statement relates to the period from 31 March 2010 to 20 
July 2010 and has been prepared solely in order to comply with the requirement 
(pursuant to the EU Transparency Directive as implemented by the Disclosure and 
Transparency Rules) for an interim management statement to be made by the 
Company no earlier than 9 June 2010 and no later than 19 August 2010. The 
Company is currently in the process of preparing its quarterly report for the 
period ended 30 June 2010 which is expected to be released in September 2010. 
Unless otherwise noted herein, the financial information provided in this 
interim management statement (and the asset valuations underlying that financial 
information) are as at 31 March 2010 and such financial information (and 
underlying valuations) will be stated as at a more recent date in the Company's 
forthcoming quarterly report. 
 
Performance Summary 
 
As at 31 March 2010, the Company's NAV was EUR3.73 per share up from a NAV of 
EUR3.69 per share as at 31 December 2009 due to fair value write-ups of EUR0.1 
million. The investment portfolio continued to generate more cash than the 
amount estimated by the Company between 1 April 2010 and 30 June 2010. Cash 
proceeds received from investments of EUR6.7 million in the quarter exceeded the 
estimate of EUR4.0 million. During the quarter ended 30 June 2010, the Company 
also realised additional cash proceeds of EUR10.5 million from the sale of the 
Gate 06-1 and Gate 05-2 SME portfolios and one bond from the ABS bond portfolio. 
 
The Company has made substantial progress in its strategy of repaying its 
financing facility and increasing exposure to ABS ("asset-backed securities") 
bonds.  On 6 April 2010, the Company fully repaid its loan facility, which had 
an outstanding balance of EUR29.5 million as at 31 March 2009.  The final 
repayment, nine months ahead of schedule, removes all leverage from the balance 
sheet. 
 
During the quarter ended 31 March 2010, the Company invested EUR6.5 million in 
purchasing ABS bonds which accounted for 15.3% by net asset value of the 
investment portfolio at the end of that quarter. Between 31 March 2010 and 30 
June 2010 the Company invested a further EUR11.3 million purchasing ABS bonds, 
increasing the total nominal value of the ABS bond portfolio to EUR46.3 million as 
at 30 June 2010. The Company intends to continue its strategy of purchasing ABS 
bonds in order to deliver an improved risk/reward profile to investors. 
 
The elimination of debt repayments is expected to free up additional cash to 
fund the Company's growth in future quarters.  The Company expects the ABS bond 
portfolio to increase as a percentage of overall assets in coming quarters, and 
for residual income assets to fall as a proportion of overall assets.  In line 
with this goal, the Company sold the Gate 06-1 and Gate 05-2 SME portfolios 
subsequent to the March 2010 quarter end at levels that were accretive to NAV. 
 
Investment Portfolio 
 
The tables below summarise the Company's investment portfolio as at 31 March 
2010. 
 
Portfolio Composition by Jurisdiction as at 31 March 2010* 
*By reference to underlying asset jurisdiction, except for SMEs, where the 
jurisdiction of the originator is used .  Figures stated as a percentage of the 
fair value of the Company's  investment portfolio including accrued interest. 
 
+--------------+-----------+ 
| Jurisdiction |         % | 
+--------------+-----------+ 
| Portugal     |     36.0% | 
|              |           | 
|              |           | 
+--------------+-----------+ 
| Germany      |     24.3% | 
|              |           | 
|              |           | 
+--------------+-----------+ 
| UK           |     17.0% | 
|              |           | 
+--------------+-----------+ 
| Holland      |     12.2% | 
|              |           | 
+--------------+-----------+ 
| Italy        |      9.7% | 
|              |           | 
|              |           | 
+--------------+-----------+ 
| France       |      0.7% | 
+--------------+-----------+ 
| Switzerland  |      0.1% | 
+--------------+-----------+ 
 
Portfolio Composition by Asset Type as at 31 March 2010* 
*By reference to underlying asset collateral. Figures stated as a percentage of 
the fair value of the Company's investment portfolio including accrued interest. 
 
+--------------+-------+ 
| Portfolio    |       | 
| Composition  |       | 
+--------------+-------+ 
| Prime        | 46.8% | 
|              |       | 
+--------------+-------+ 
| SME          | 30.3% | 
|              |       | 
+--------------+-------+ 
| Investment   | 15.3% | 
| Grade Bonds  |       | 
|              |       | 
+--------------+-------+ 
| SubPrime     |  5.8% | 
|              |       | 
+--------------+-------+ 
| NearPrime    |  1.8% | 
|              |       | 
+--------------+-------+ 
 
As at 30 June 2010, the securitisations to which the Company had exposure 
through its residual income investment portfolio, in alphabetical order, were: 
 
+------------------------------------------+-----------------------------------------------------------------------------+ 
| Issuer                                   | Description of Underlying Assets                                            | 
+------------------------------------------+-----------------------------------------------------------------------------+ 
| Alba 2005-1 plc                          | UK non-conforming* and buy-to-let residential mortgages                     | 
+------------------------------------------+-----------------------------------------------------------------------------+ 
| Alba 2006-1 plc                          | UK non-conforming residential mortgages, primarily first-ranking            | 
+------------------------------------------+-----------------------------------------------------------------------------+ 
| Amstel Corporate Loan Offering BV 2006-1 | Middle market corporate loans                                               | 
|                                          |                                                                             | 
+------------------------------------------+-----------------------------------------------------------------------------+ 
| Cheyne CLO Investments I Limited         | Investment grade CLOs                                                       | 
|                                          |                                                                             | 
+------------------------------------------+-----------------------------------------------------------------------------+ 
| Cheyne High Grade ABS CDO, Ltd           | Investment grade ABS CDOs with exposure to the US sub-prime mortgage market | 
|                                          |                                                                             | 
+------------------------------------------+-----------------------------------------------------------------------------+ 
| Eirles Three Limited (Tranche 236B)      | SME loans                                                                   | 
|                                          |                                                                             | 
+------------------------------------------+-----------------------------------------------------------------------------+ 
| Eurosail 2006-1 plc                      | UK non-conforming and buy-to-let residential mortgages                      | 
|                                          |                                                                             | 
+------------------------------------------+-----------------------------------------------------------------------------+ 
| Lusitano Mortgages No. 1 plc             | First-ranking, fully amortising Portuguese residential mortgages            | 
+------------------------------------------+-----------------------------------------------------------------------------+ 
| Lusitano Mortgages No. 2 plc             | First-ranking, fully amortising Portuguese residential mortgages            | 
+------------------------------------------+-----------------------------------------------------------------------------+ 
| Lusitano Mortgages No. 3 plc             | First-ranking, fully amortising Portuguese residential mortgages            | 
+------------------------------------------+-----------------------------------------------------------------------------+ 
| Magellan Mortgages No. 1 plc             | First ranking, fully amortising Portuguese residential mortgages            | 
+------------------------------------------+-----------------------------------------------------------------------------+ 
| Newgate Funding plc                      | UK non-conforming residential mortgages, primarily first-ranking            | 
+------------------------------------------+-----------------------------------------------------------------------------+ 
| RASC Series 2006-KS2 Trust               | US Sub-prime residential mortgages, primarily first-ranking                 | 
|                                          |                                                                             | 
+------------------------------------------+-----------------------------------------------------------------------------+ 
| RMAC 2004-NSP4 plc                       | UK non-conforming residential mortgages, primarily first-ranking            | 
+------------------------------------------+-----------------------------------------------------------------------------+ 
| RMAC 2005 NS3 plc                        | UK non-conforming residential mortgages, primarily first-ranking            | 
+------------------------------------------+-----------------------------------------------------------------------------+ 
| RMAC 2005 NS4 plc                        | UK non-conforming residential mortgages, primarily first-ranking            | 
+------------------------------------------+-----------------------------------------------------------------------------+ 
| Sestante Finance S.R.L.                  | First-ranking prime Italian residential mortgages                           | 
+------------------------------------------+-----------------------------------------------------------------------------+ 
*Non-conforming relates to subprime and near prime residential mortgages. 
 
 
As at 30 June 2010, the ABS Bond portfolio consisted of 46 bonds at a cost of 
EUR26.1 million and a nominal value of EUR46.3 million.  The following tables detail 
the European ABS bonds purchased by the Company up to 30 June 2010.  The 
weighted average rating of the ABS bond portfolio (based on the invested amount) 
is approximately BB+. 
 
Percentage of Portfolio by Cost Price (as at 30 June 2010) 
 
+-------------+----------+----------+----------+----------+----------+ 
| Rating by   |  2004    |  2005    |  2006    |  2007    |  Total   | 
| Vintage1    |          |          |          |          |          | 
+-------------+----------+----------+----------+----------+----------+ 
| AAA         |  4.5%    |  5.2%    |  6.6%    |  7.8%    |  24.1%   | 
+-------------+----------+----------+----------+----------+----------+ 
| AA          |  0.4%    |  2.4%    |  14.0%   |  1.8%    |  18.6%   | 
+-------------+----------+----------+----------+----------+----------+ 
| A           |  4.6%    |  4.8%    |  11.7%   |  6.4%    |  27.6%   | 
+-------------+----------+----------+----------+----------+----------+ 
| BBB         |  0.0%    |  6.3%    |  5.7%    |  4.5%    |  16.4%   | 
+-------------+----------+----------+----------+----------+----------+ 
| BB and      |  0.0%    |  1.4%    |  9.5%    |  2.5%    |  13.4%   | 
| Below       |          |          |          |          |          | 
+-------------+----------+----------+----------+----------+----------+ 
| Total       |  9.5%    |  20.1%   |  47.4%   |  23.0%   |  100.0%  | 
+-------------+----------+----------+----------+----------+----------+ 
1.     Vintage reflects the issue date of the bond.  Rating at time of purchase. 
 
Percentage of Portfolio by Cost Price (as at 30 June 2010) 
 
+---------+-------+-------+----------------+-------+-------+-------+-------+--------+ 
| Rating¹ |  UK   |  UK   |      UK        | Euro  |  UK   | Euro  |  SME  | Total  | 
| by Type |Prime  |  Buy  |Non-Conforming  |Prime  |CMBS3  | CMBS  |       |        | 
|         |RMBS²  |  To   |      RMBS      | RMBS  |       |       |       |        | 
|         |       |  Let  |                |       |       |       |       |        | 
|         |       |RMBS2  |                |       |       |       |       |        | 
+---------+-------+-------+----------------+-------+-------+-------+-------+--------+ 
| AAA     | 0.0%  | 0.0%  |     12.9%      | 0.0%  | 6.4%  | 4.8%  | 0.0%  | 24.1%  | 
+---------+-------+-------+----------------+-------+-------+-------+-------+--------+ 
| AA      | 0.0%  |10.1%  |      1.8%      | 0.4%  | 0.0%  | 6.3%  | 0.0%  | 18.6%  | 
+---------+-------+-------+----------------+-------+-------+-------+-------+--------+ 
| A       | 0.9%  | 1.0%  |      9.7%      | 0.0%  | 8.4%  | 7.6%  | 0.0%  | 27.6%  | 
+---------+-------+-------+----------------+-------+-------+-------+-------+--------+ 
| BBB     | 3.1%  | 0.0%  |      1.0%      | 0.0%  | 5.3%  | 4.3%  | 2.8%  | 16.4%  | 
+---------+-------+-------+----------------+-------+-------+-------+-------+--------+ 
| BB      | 0.0%  | 0.0%  |      1.7%      | 0.0%  | 2.3%  | 9.4%  | 0.0%  | 13.4%  | 
| and     |       |       |                |       |       |       |       |        | 
| Below   |       |       |                |       |       |       |       |        | 
+---------+-------+-------+----------------+-------+-------+-------+-------+--------+ 
| Total   | 4.0%  |11.1%  |     27.1%      | 0.4%  |22.4%  |32.3%  | 2.8%  |100.0%  | 
+---------+-------+-------+----------------+-------+-------+-------+-------+--------+ 
1.     Rating at time of purchase 
2.     Residential Mortgage Backed Securities 
3.     Commercial Mortgage Backed Securities 
 
Outlook 
 
In the coming quarters, the Company will continue to focus on its ABS bond 
portfolio with the aim of improving its overall risk-reward profile. The Company 
plans to use the quarterly cash received from investments, which has been freed 
up from debt repayment, to further its strategy of selectively purchasing 
mis-priced bonds in the ABS markets, especially in the mezzanine segment of the 
market. The Company is of the view that mezzanine bonds offer strong relative 
value, though cash-flow payments are lower in the short term because they repay 
no principal until related senior bonds are repaid. 
 
The Company currently expects that market volatility over the coming months 
should create opportunities to purchase undervalued ABS bonds.  The Company 
intends to only invest in bonds whose price is considered depressed due to 
technical and liquidity issues. 
 
The Company remains vigilant in monitoring the progress of Portuguese assets in 
light of the continued concerns over the sovereign markets in Southern Europe. 
The Company believes that high credit spreads should have no direct impact on 
the Company's mortgage portfolios because most mortgage loans are indexed to 
short-term Euribor rates. The key risk to asset value remains an increase in 
unemployment and consequential mortgage defaults as a result of government 
austerity measures. 
 
The Company estimates cash balances of approximately EUR6.0 million at 30 June 
2010.  The Company projects cash flow of approximately EUR4.0 million per quarter 
for the coming quarters.  As at 1 June 2010, the loss adjusted gross cash flow 
forecast is EUR168.0 million over the remaining life of the portfolio. 
 
 
Investor Enquiries: 
 
Public Relations: 
Caroline Villiers / James Wallis 
M:Communications        Tel: +44(0)20 7920 2321 
 
Website: 
www.queenswalkinv.com 
mail@queenswalkinv.com 
 
Investor Relations: 
Natalie Withers / Hannah Attride 
Cheyne Capital              Tel: +44(0)20 7968 7450 
 
About Queen's Walk Investment Limited: 
Queen's Walk Investment Limited (the "Company") is a Guernsey-incorporated 
investment company listed on the Official List of the UK Listing Authority 
and traded on the London Stock Exchange. The Company invests primarily in a 
diversified portfolio of subordinated tranches of asset-backed securities, 
including the unrated "equity" or "first loss" residual income positions 
typically retained by the banks or other financial institutions which have 
originated the loan assets that collateralise a securitisation transaction. The 
Company makes such investments where its investment manager, Cheyne Capital 
Management (UK) LLP ("Cheyne Capital"), considers the coupon or cash flows from 
the investment to be attractive relative to the credit exposure of the 
underlying asset collateral. 
 
Disclaimer 
This document contains forward-looking statements with respect to the financial 
condition, results and business of the Company.  By their nature, 
forward-looking statements involve risk and uncertainty.  The Company's actual 
future results may differ materially from the results expressed or implied in 
these forward-looking statements. 
 
Any projections or analysis provided in this statement to assist the recipient 
in evaluating the matters described herein may be based on subjective 
assessments and assumptions and may use one among alternative methodologies that 
produce different results.  Accordingly, any projections or analysis should not 
be viewed as factual and should not be relied upon as an accurate prediction of 
future results.  Furthermore, to the extent permitted by law, neither the 
Company nor any of its agents, service providers or professional advisers assume 
any liability or responsibility nor owes any duty of care for any consequences 
of any person acting or refraining to act in reliance on the information 
contained in this statement or for any decision based on it. 
 
This information is provided by RNS 
            The company news service from the London Stock Exchange 
   END 
 
 IMSFMGMNMLNGGZM 
 

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