Portfolio Update

Queen's Walk Investment Limited
03 April 2007


3 April 2007

Queen's Walk Investment Limited (the 'Company')
Top Ten Holdings and Portfolio Update

The Company's quarterly notification of the top ten holdings in its investment
portfolio is set out below. This has been prepared on the basis of the effective
yield booked for each investment as at 31 December 2006 and remains subject to
material adjustment once the process of valuation of the Company's investment
portfolio as at 31 March 2007 has been completed.


While the Company has not published a complete list of all assets in its
investment portfolio since its IPO and does not intend to do so on a regular
basis going forward, the Company has decided to supplement its regular
disclosure at this time in advance of providing shareholders with an estimate of
the Company's net asset value. A complete list of investments by asset category
is also set out below. This has also been prepared on the basis of the effective
yield booked for each investment as at 31 December 2006 and therefore also
remains subject to material adjustment once the process of valuation of the
Company's investment portfolio as at 31 March 2007 has been completed


The Company's investment manager, Cheyne Capital Management (UK) LLP, continues
to analyse variables in the current market environment relating to the valuation
of the Company's investment portfolio and is working with the Company's advisors
to enable the Company to provide shareholders with an estimate of the Company's
net asset value as soon as practicable.


Top Ten Holdings as at 31 March 20071

                Issuer                                      % of
                                                       Portfolio
                RMAC 2005-NSP2 plc                         10.4%
                Newgate Funding plc                         7.7%
                Eurosail 2006-1plc                          6.4%
                RMAC 2004-NSP4 plc2                         5.4%
                Sestante Finance S.R.L.                     5.3%
                Southern Pacific Financing 06-A plc         5.1%
                3
                RMAC 2005-NS3 plc                           4.3%
                RMAC 2005-NS1 plc                           3.6%
                Lusitano 1 Mortgage plc                     3.6%
                Southern Pacific Financing 05-B plc         3.6%


1This list reflects top ten holdings before giving effect to sales recorded in
accordance with the Company's accounting policy (see notes below). All figures
are calculated on the basis of effective yields calculated as at 31 December
2006 and cash flows received during the quarter ended 31 March 2007. These
figures are unaudited and remain subject to material adjustment.


2The Company agreed to sell half of this position in an ordinary course
transaction, subject to contract, on 30 March 2007, with completion to occur
after 31 March 2007. While the Company is the legal owner of the position as at
31 March 2007, the Company's accounting policy requires that an asset be
derecognised in its accounts on the date that the Company commits to sell the
asset.


3The Company agreed to sell this asset in an ordinary course transaction,
subject to contract, on 30 March 2007, with completion to occur after 31 March
2007. While the Company is the legal owner of the position as at 31 March 2007,
the Company's accounting policy requires that an asset be derecognised in its
accounts on the date that the Company commits to sell the asset.





Portfolio Listing by Asset Category as at 31 March 20071



                    Issuer

                                              Description of Underlying
       Asset                                  Assets
       Category and
       % of Total
       Portfolio
       Continental  Lusitano Mortgages No. 1  Approximately 23,900
       Europe - 19% plc                       first-ranking, fully
                                              amortising Portuguese
                                              residential mortgages
                    Lusitano Mortgages No. 2  Approximately 19,700
                    plc                       first-ranking, fully
                                              amortising Portuguese
                                              residential mortgages
                    Lusitano Mortgages No. 3  Approximately 22,300
                    plc                       first-ranking, fully
                                              amortising Portuguese
                                              residential mortgages
                    Magellan Mortgages No. 1  Approximately 23,000 first
                    plc                       ranking, fully amortising
                                              Portuguese residential
                                              mortgages
                    Magellan Mortgages No. 2  Approximately 23,000 first
                    plc                       ranking mortgage rights (or
                                              second-ranking where
                                              first-ranking is also
                                              transferred) Portuguese
                                              residential mortgages
                    Sestante Finance S.R.L.   Approximately 3,500
                                              first-ranking prime Italian
                                              residential mortgages

       UK - 55%     Alba 2005-1 plc           Approximately 2,750
                                              first-ranking near-prime
                                              and sub-prime mortgages
                    Alba 2006-1 plc           Approximately 4,172 first
                                              ranking self-cert prime and
                                              near-prime mortgages
                    Eurosail 2006-1 plc       Approximately 9,800
                                              first-ranking prime,
                                              non-conforming and
                                              buy-to-let residential
                                              mortgages
                    Newgate Funding plc       Approximately 5,900
                                              first-ranking near prime
                                              and non-conforming
                                              residential mortgages
                    RMAC 2004-NSP4 plc2       Approximately 8,100
                                              first-ranking prime, near
                                              prime and non-conforming
                                              residential mortgages
                    RMAC 2005 NS3 plc         Approximately 6,500 sub
                                              prime loans.
                    RMAC 2005 NS4 plc         Approximately 4,000 sub
                                              prime loans.
                    RMAC 2005 NSP2 plc        Approximately 6,300 sub
                                              prime/3,700 prime loans.
                    RMAC 2005-NS1 plc         Approximately 7,800
                                              first-ranking residential
                                              mortgages
                    Southern Pacific          Approximately 3,000
                    Financing 05-B plc        first-ranking, near-prime
                                              residential mortgages
                    Southern Pacific          Approximately 4,500
                    Financing 06-A plc3       first-ranking, near-prime
                                              residential mortgages

       US - 11%     Argent Securities Trust   Approximately 10,400
                    2006-W1                   sub-prime residential
                                              mortgages, primarily
                                              first-ranking
                    First Franklin Mortgage   Approximately 3,400
                    Loan Trust                sub-prime residential
                                              mortgages, primarily
                                              first-ranking
                    Morgan Stanley ABS        Approximately 4,100
                    Capital I Inc. Trust      sub-prime residential
                    2005-HE54                 mortgages, primarily
                                              first-ranking
                    RASC Series 2006-KS2      Approximately 7,000
                    Trust                     sub-prime residential
                                              mortgages, primarily
                                              first-ranking

       SME - 10%    Amstel Corporate Loan     Approximately 680 loans to
                    Offering BV 2006-1 F      middle market corporate
                                              borrowers
                    Earls Eight Limited       Approximately 1,200 loans
                    (Tranche 312B)            to approximately 650 SMEs
                    Eirles Three Limited      Approximately 1,400 SME
                    (Tranche 227B)            loans
                    Eirles Three Limited      Approximately 15,000 SME
                    (Tranche 236B)            loans

       Structured   Cheyne ABS Investments I  Investment grade ABS CDOs
       Finance - 5% plc                       and total return swaps
                                              referencing ABS CDOs
                    Cheyne CLO Investments I  Investment grade CLOs
                    Limited
                    Cheyne High Grade ABS     Investment grade ABS
                    CDO, Ltd
       Total - 100%


1 All figures are calculated on the basis of effective yields calculated as at 31
December 2006 and cash flows received during the quarter ended 31 March 2007.
The list of investments and percentage figures are inclusive of assets the sale
of which will settle after 31 March 2007. While the Company is the legal owner
of these assets as at 31 March 2007, the Company's accounting policy requires
that an asset be derecognised in its accounts on the date that the Company
commits to sell the asset. Figures also reflect the repackaging of an SME
holding. All figures are unaudited and remain subject to material adjustment.


2 The Company agreed to sell half of this position in an ordinary course
transaction, subject to contract, on 30 March 2007, with completion to occur
after 31 March 2007. While the Company is the legal owner of the position as at
31 March 2007, the Company's accounting policy requires that an asset be
derecognised in its accounts on the date that the Company commits to sell the
asset.


3 The Company agreed to sell this asset in an ordinary course transaction,
subject to contract, on 30 March 2007, with completion to occur after 31 March
2007. While the Company is the legal owner of the position as at 31 March 2007,
the Company's accounting policy requires that an asset be derecognised in its
accounts on the date that the Company commits to sell the asset.


4 This asset was sold in an ordinary course transaction after 31 March 2007.



For further information please contact:

Investor Relations:
Caroline Villiers [phone]

Cheyne Capital:
Andrea Bonafe [phone]


About the Company:

Queen's Walk Investment Limited is a Guernsey-incorporated investment company
listed on the London Stock Exchange. The Company's investment objective is to
preserve capital and to provide stable returns to shareholders in the form of
quarterly dividends. To achieve this, the Company invests primarily in a
diversified portfolio of subordinated tranches of asset backed securities,
including the unrated 'equity' or 'first loss' residual income position
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, considers the coupon or cashflows from the investment to be
attractive relative to the credit exposure of the underlying asset collateral.
The Company believes that its investment focus provides equity investors with
exposure to a relatively new investment opportunity in this asset class.

The content of this announcement includes statements that are, or may be deemed
to be, 'forward-looking statements'. These forward-looking statements can be
identified by the use of forward-looking terminology, including the terms
'believes', 'estimates', 'anticipates', 'expects', 'intends', 'may', 'will' or
'should'. By their nature, forward-looking statements involve risks and
uncertainties and readers are cautioned that any such forward-looking statements
are not guarantees of future performance. The Company's actual results and
performance may differ materially from the impression created by the
forward-looking statements. The Company undertakes no obligation to publicly
update or revise forward-looking statements, except as may be required by
applicable law and regulation (including the Listing Rules).





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