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Queens Walk Inv Ltd (RECI)

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Monday 11 February, 2008

Queens Walk Inv Ltd

Interim Management Statement

Queen's Walk Investment Limited
11 February 2008

11 February 2008



                Queen's Walk Investment Limited (the 'Company')
                          Interim Management Statement



This interim management statement relates to the period from 1 October 2007 to
11 February 2008 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 Directive) for an interim management statement to be
made by the Company no earlier than 10 October 2007 and no later than 18
February 2008. The Company is currently in the process of preparing its
quarterly report for the period ended 31 December 2007 and this is expected to
be released in early March 2008. The Company wishes to make clear that unless
otherwise noted, the financial information provided in this interim management
statement (and the asset valuations underlying that financial information) are
as at 30 September 2007 and that such financial information (and underlying
valuations) will be stated as at a more recent date in the Company's forthcoming
quarterly report.



Performance Summary



The current credit crisis, which began with the US sub-prime mortgage market,
has been continuing for more than seven months now.  As at 31 December 2007, the
credit crisis has not had a material impact on the cash flow performance of the
Company's assets.  Cash flows from the Company's investment portfolio exceeded
€20 million per quarter for the three quarters ending 31 December 2007.



As at 30 September 2007, the company's NAV was €6.90 per share down from a NAV
of €7.24 per share as at 31 March 2007.  This reduction in NAV has predominantly
been a result of write downs to the Company's US related investments.  As at 30
September 2007, the direct and indirect exposure to the US sub-prime mortgage
sector was 2.3% of the Company's gross asset value.



On 16 July 2007, the Company replaced its short term financing with a 4 year
€135 million term financing facility.  The financing facility has provided the
Company with a stable financing solution as it eliminates the liquidity risk of
short-term borrowings.  The net leverage ratio as at 30 September 2007 was 8.6%
(after taking into account cash balances allocated to settle the tender offer
and the Company's dividend).



Since 18 July 2007, the Company has returned in excess of €40 million of capital
to shareholders using a combination of share buyback and tender offers.  The
Company's first tender offer for €20 million of the outstanding Ordinary Shares
was approved by shareholders on 8 October 2007.   The Company's most recent
tender offer, which was approved by shareholders on 8 January 2008, purchased
€15 million of shares at a strike price of €5.40 per share. The Company has also
an active programme of share buy backs underway and has purchased in excess of
€6.5 million of Ordinary Shares.  At present, the discount in the share price to
the 30 September 2007 NAV, is an opportunity for the Company to buy back shares
and add value for existing shareholders.




Investment Portfolio



The tables below summarise the Company's investment portfolio as at 30 September
2007.



Portfolio Composition by Jurisdiction as at 30 September 2007*


Germany                               13.7%
Italy                                 9.3%
Portugal                              27.6%
UK                                    39.7%
US                                    1.1%
Holland                               5.3%
CDO                                   3.3%




* By reference to underlying asset jurisdiction.  Figures stated as a percentage
of the fair value of the Company's residual investments including accrued
interest.






Portfolio Composition by Asset Type as at 30 September 2007*


SME                                   18.9%
Prime                                 38.8%
NearPrime                             19.7%
SubPrime                              19.2%
CDO                                   3.3%






*  By reference to underlying asset collateral. Figures stated as a percentage
of the fair value of the Company's residual investments including accrued
interest.




As at 13 February 2008, the securitisations to which the Company has exposure
through its investment portfolio 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  Middle market corporate loans
2006-1
Cheyne ABS Investments I plc       Investment grade ABS CDOs and total return swaps
                                   referencing ABS CDOs with exposure to the US sub-prime
                                   mortgage market
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
Earls Eight Limited (Tranche 312B) SME loans
Eirles Three Limited (Tranche      SME loans
227B)
Eirles Three Limited (Tranche      SME loans
236B)
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
Magellan Mortgages No. 2 plc       First ranking mortgage rights (or second-ranking where
                                   first-ranking is also transferred) 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



The Company has not bought or sold any assets in its Investment Portfolio in the
period from 1 October 2007 to 11 February 2008.



In October 2007, the Company purchased €28 million notional of two year put
options struck against 90% of the September 2007 value of the Halifax UK house
price index.  The hedge is currently in the money as UK house prices have fallen
in the last four months.  This hedge is intended to minimise portfolio losses in
the event that house prices give up the gains that have occurred since early
2006.





Market Outlook



The credit dislocation which began in the US sub-prime mortgage market in early
2007, now affects large parts of the credit markets in the US and Europe.  In
the UK, the non-conforming mortgage securitisation markets have stalled as
investors remain concerned over weakness in the UK housing market, the
appropriateness of rating agency models and the potential volatility in the
prices of RMBS bonds over the coming months.  Compounded with a reduction in the
availability of mortgage credit from commercial banks, UK house prices have
begun to soften and growth is likely to weaken further  in 2008 and 2009.  The
Company has hedged itself against a significant downturn in house prices.



With respect to the European mortgages, pre-payment rates have increased as
expected as national governments try to promote more liquid mortgage markets.
To date, the credit crisis in the US sub-prime mortgage market has not affected
the prepayment or default rates though there are broader signals that European
banks have also reduced the availability of mortgage credit in the past few
months.



The Company remains sanguine about the outlook over the coming months.  Credit
markets are unlikely to return to normality within the short term as the
financial system continues to de-lever.  There remains the potential of a
material slowdown in economic growth in the UK and Europe.  These risks should
be mitigated by interest rate cuts that should provide stimulus to consumer
spending and the housing markets.





For further information please contact:

Investor Relations:
Caroline Villiers  +44 (0) 20 7153 1521



About the Company:



Queen's Walk Investment Limited is a Guernsey-incorporated investment company
listed 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, considers the coupon or cash flows 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.






                      This information is provided by RNS
            The company news service from the London Stock Exchange