Annual Financial Report

Queen's Walk Investment Limited
               Financial Results Announcement for the
             Fourth Quarter and Year Ended 31 March 2009


Queen's Walk Investment Limited records stronger than expected cash
flows in fourth quarter

Queen's Walk Investment Limited (the "Company"), the
Guernsey-incorporated investment company, has reported a net loss of
¤2.3 million, or ¤0.08 per ordinary share[1], for the quarter ended
31 March 2009, compared to a net loss of ¤20.6 million or ¤0.77 per
ordinary share1 in the quarter ended 31 December 2008.

The investment portfolio continues to generate more cash than
forecast. Total cash proceeds for the quarter ended 31 March 2009
amounted to ¤12.4 million versus an expectation of ¤6.8 million. The
Company's cash position remains solid with ¤18.7 million of cash on
its balance sheet as at 31 March 2009, compared with ¤17.3 million as
at 31 December 2008.

Fair value write-downs of the Company's portfolio for the quarter
were ¤5.2 million, down from ¤24.1 million for the quarter ended 31
December 2008. The Company's net asset value ("NAV") at quarter end
was ¤3.96 per share[2] compared to ¤4.12 per share2 in the previous
quarter.

The Board of Directors of the Company has declared a dividend of
¤0.08 per share for the quarter, unchanged from the previous quarter.


Debt reduction ahead of schedule

Queen's Walk has made significant progress in its stated goal to
improve financial stability, most notably in executing its debt
repayment plan. The Company is ahead of schedule on its debt
reduction programme, having reduced its gross debt from ¤35 million
as at 31 December to ¤23.5 million as at 17 June 2009.  The Company
had agreed with its lenders a target outstanding loan amount of ¤28.5
million for 30 September 2009.

The Company has continued its efforts to improve asset quality with
further purchases of investment grade asset-backed securities (ABS).
 Dislocation in the market means that assets are still available at
attractive prices.  As at 31 March 2009, Queen's Walk had invested
¤7.4 million in investment grade bonds, with a further ¤1.4 million
invested to 31 May 2009.  The investment grade bond portfolio
recorded a cash-on-cash yield of approximately 17% in the quarter
ended 31 March 2009.

Tom Chandos, Chairman of Queen's Walk Investment Limited, said: "Our
overriding priority is to retain and increase the Company's financial
robustness amid market uncertainty. We have made important progress
and Queen's Walk retains confidence in the portfolio's ability to
generate strong cash flows." Lifetime expected gross cash flows for
the Company are more than ¤185 million. The Company's market
capitalisation is approximately ¤47 million.


Highlights

  * European mortgage portfolio cash flow rose to ¤6.4 million.
  * Cash flows from European and UK mortgage portfolios benefitted
    from one-off gains.
  * Default rates broadly in line with, or better than, expectations.
  * UK mortgage originators persuaded to repurchase some poor quality
    mortgage loans.


Conference Call & Further Information

A conference call to review the Company's financial results for the
quarter ended 31 March 2009 will take place at 10:30 AM London time
on 17 June 2009. The conference call can be accessed by dialing +44
(0) 20 7138 0819 [phone] ten minutes prior to the
scheduled start of the call. Please reference Queen's Walk Investment
Limited Financial Results, confirmation code 2273431.  A results
presentation will be available on the Queen's Walk website
(www.queenswalkinv.com).

A webcast of the conference call will also be available on a
listen-only basis at www.queenswalkinv.com. Please allow extra time
prior to the call to visit the site and download the necessary
software required to listen to the internet broadcast. A replay of
the webcast will be available for three months following the call.

For further information please contact:

Investor Relations: Caroline Villiers [phone]

About the Company

Queen's Walk Investment Limited (the "Company") 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 ("Cheyne Capital"),
considers the coupon or cash flows from the investment to be
attractive relative to the credit exposure of the underlying asset
collateral.

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", "forecasts",
"estimates", "anticipates", "expects", "intends", "considers", "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 and should not be relied upon. 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).


 Financial Highlights


+-------------------------------------------------------------------------------------------------+
|                      |         |           |        Total|           |            |        Total|
|                      |         | Fair value|Quarter ended|           |  Fair value|Quarter ended|
|                      |         |  gains and|     31 March|           |   gains and|  31 December|
|                      |  Revenue|     losses|         2009|    Revenue|      losses|         2008|
|----------------------+---------+-----------+-------------+-----------+------------+-------------|
|Operating Income      |3,792,021|           |    3,792,021|  5,206,236|            |    5,206,236|
|----------------------+---------+-----------+-------------+-----------+------------+-------------|
|Gains and losses on   |         |           |             |           |            |             |
|fair                  |         |           |             |           |            |             |
|value through profit  |         |           |             |           |            |             |
|or loss               |         |           |             |           |            |             |
|financial instruments |         |(5,154,020)|  (5,154,020)|           |(24,141,155)| (24,141,155)|
|----------------------+---------+-----------+-------------+-----------+------------+-------------|
|                      |3,792,021|(5,154,020)|  (1,361,999)|  5,206,236|(24,141,155)| (18,934,919)|
|----------------------+---------+-----------+-------------+-----------+------------+-------------|
|                      |         |           |             |           |            |             |
|----------------------+---------+-----------+-------------+-----------+------------+-------------|
|Operating Expenses    |(701,581)|           |    (701,581)|(1,116,604)|            |  (1,116,604)|
|----------------------+---------+-----------+-------------+-----------+------------+-------------|
|Finance Costs         |(284,602)|           |    (284,602)|  (593,538)|            |    (593,538)|
|----------------------+---------+-----------+-------------+-----------+------------+-------------|
|Net profit / (loss)   |2,805,838|(5,154,020)|  (2,348,182)|  3,496,094|(24,141,155)| (20,645,061)|
|----------------------+---------+-----------+-------------+-----------+------------+-------------|
|                      |         |           |             |           |            |             |
|----------------------+---------+-----------+-------------+-----------+------------+-------------|
|Total Assets          |         |           |  138,026,937|           |            |  148,656,531|
|----------------------+---------+-----------+-------------+-----------+------------+-------------|
|Total Liabilities     |         |           |   32,441,846|           |            |   38,536,794|
|----------------------+---------+-----------+-------------+-----------+------------+-------------|
|Equity Capital        |         |           |  105,585,091|           |            |  110,119,737|
|----------------------+---------+-----------+-------------+-----------+------------+-------------|
|NAV per share         |         |           |         3.96|           |            |         4.12|
|----------------------+---------+-----------+-------------+-----------+------------+-------------|
|Shares Outstanding    |         |           |   26,644,657|           |            |   26,729,657|
+-------------------------------------------------------------------------------------------------+



Investment Portfolio

A breakdown of the Company's investment portfolio by jurisdiction (by
reference to underlying asset originator) is set out below. The
investment grade bonds are included in the charts and are also
detailed in the next section.  Percentages for each asset class are
in relation to the value of the Company's portfolio excluding cash
and hedges.

The press release (including pie charts) can be downloaded from the
following link:


http://hugin.info/141791/R/1323196/310435.pdf

A breakdown of the Company's investment portfolio by asset type (by
reference to underlying asset collateral) is set out below.
Percentages for each asset class are in relation to the value of the
Company's investment portfolio, excluding cash and hedges.

The press release (including pie charts) can be downloaded from the
following link:


http://hugin.info/141791/R/1323196/310435.pdf

N.B. The term 'Prime' indicates that the underlying pool of loans
comprises mortgages made to borrowers with good credit records and
whose incomes were verified at the time of the origination.


European Mortgage Portfolio (46.5% of GAV)

The Company's European mortgage residuals continue to perform
satisfactorily. Cash flows in the quarter ended 31 March 2009
totalled ¤6.4 million, compared to ¤2.8 million in the previous
quarter. Cash flows in the year ended 31 March 2009 totalled ¤13.3
million, compared to ¤14.2 million in the previous year.

Cash flows for the Lusitano 1 and Lusitano 2 Portuguese mortgage
portfolios were significantly higher than expected.  The
securitisation vehicle had accrued unpaid government payments which
were released ahead of schedule in the March quarter.  These payments
accounted for approximately ¤2.8 million of the cash flows received
in the quarter. Cash flow for these two assets for the quarter stood
at ¤3.6 million after this one-off payment.

In the quarter ended 31 March 2009, the average default rate of the
underlying mortgage pools was unchanged at 1.06%.  In contrast, the
Company's current cash flow forecasts assume an expected default rate
of 1.32%.

In some European mortgage investments, the Company has identified
early signs that arrears rates are stabilising and, in some cases,
falling.  However, it will take time for the full impact of lower
Euribor rates to emerge, as many of the mortgages are yet to reset
their mortgage rates to new, lower levels.  The forecasted default
rates used in the Company's cash flow models will be lowered once a
more definitive arrears trend emerges.

Valuations for European mortgages assume the sponsors refinance the
portfolios at a future date.  While it is possible for the Company to
incentivise sponsors to refinance their transactions, these
incentives are deeply out of the money under current market
conditions.  The table below shows the change in value of the
European mortgage portfolios assuming different refinancing dates.



                    Refinancing Date
                    Current Assumption Scenario 1[1] Scenario 2[2]
Lusitano 1              15-Dec-11        15-Sep-17     15-Jun-20
Lusitano 2              15-Nov-12        15-May-20     15-May-23
Lusitano 3              16-Oct-13        16-Jan-20     16-Jan-23
Magellan 1              15-Dec-10        16-Sep-16     16-Sep-19
Magellan 2              18-Oct-10        18-Apr-17     18-Jul-20
Sestante 1              27-Jun-14        27-Jun-14     27-Dec-15
Portfolio Value ¤mm       64.24            66.42         60.97


[1] Scenario 1 assumes portfolio is refinanced when it is 10% of its
original size.
[2] Scenario 2 assumes portfolio is refinanced when it is 5% of its
original size.


SME Portfolio Investments (26.4% of GAV)

The Company's SME portfolio continues to perform in line with
expectations.  Cash flows in the quarter ended 31 March 2009 totalled
¤4.3 million, compared to ¤3.4 million in the previous quarter. Cash
flows in the year ended 31 March 2009 totalled ¤14.3 million,
compared to ¤12.8 million in the previous year.

To reflect continued weakness in the real economy, and the net
tightening of credit standards on loans, the Company has further
increased the expected default rate on its SME portfolio by 15%.  The
table below shows the updated annual default rate forecast relative
to the December forecast.

The Company is also expecting the Amstel vehicle to invoke a clause
to postpone cash payments for certain periods, and make those
payments on maturity in 2014. If invoked this would reduce quarterly
cash flow by approximately ¤0.9 million, but have no impact on total
lifetime cash flows for the Company.  No other investments in the
portfolio contain a similar clause.

The table below summarises the actual default rates for the SME
portfolio in the past 12 months and the default rates that the
Company has used to determine the forecast cash flows in the quarters
ended 31 December 2008 and 31 March 2009.


                                                    Ratings Model or
          December 2008  March 2009   Default Rate  Implied "Assumed"
          Default Rate  Default Rate       in       Default  Default
          (annualised)  (annualised)   Last Year     Rate     Rate
Amstel
06-1          1.20%          0           0.30%       0.46%    0.60%
Smart
06-1          1.15%        1.48%         0.80%       2.11%    2.00%
Gate 06-1     1.16%        0.69%         0.49%       0.96%    1.05%
Gate 05-2     0.04%        4.30%         1.75%       3.53%    4.30%
Average       0.89%        1.62%         0.84%       1.77%    1.99%


UK Mortgage Portfolio (2.7% of GAV)

The Company's UK mortgage portfolio recorded cash flows of £1.3
million in the quarter ended 31 March 2009 compared to £1.3 million
in the previous quarter. Cash flows in the year ended 31 March 2009
totalled £11.1 million, compared to £37.9 million in the previous
year. Cash flows in the quarter ending 30 June 2009 are expected to
be materially lower than the quarter ending 31 March 2009.

The Investment Manager has made progress in persuading mortgage
originators to voluntarily repurchase loans that did not satisfy
representations and warranties provided at the time of the
securitisation.  The Company has been able to recover or avoid losses
of approximately £0.7 million from the UK mortgage portfolio.  These
amounts accrued to the benefit of the Company in the quarter ended 31
March 2009.  The Company has been able to recover a further £300,000
from the UK mortgage portfolio which will accrue to the benefit of
the Company in the quarter ending 30 June 2009.


Investment Grade Bond Portfolio (3.8% of GAV)

The investment grade portfolio recorded cash flows of ¤0.3 million in
the quarter ended 31 March 2009, unchanged from the previous quarter.
 Cash flows in the year ended 31 March 2009 were ¤0.8 million.  As at
31 March 2009, the Company had spent ¤7.4 million on purchasing
investment grade bonds, and spent a further ¤1.4 million on bonds in
the period to 31 May 2009.  The annualised cash-on-cash yield of the
bond portfolio in the quarter ended 31 March 2009 was approximately
17%[3]. The tables below detail the European ABS bonds that were
purchased by the Company up to 31 May 2009[4].  The weighted average
rating of the portfolio (based on the invested amount) is
approximately A-.

Percentage of Portfolio by Value


Rating by Vintage       2003   2004   2005   2006  2007   Total
AAA                     4.50% 12.20% 18.01%        1.12% 35.83%
AA                            4.58%         23.76%       28.34%
A                                           14.95%       14.95%
BBB                                  12.90%        7.98% 20.89%
Total                   4.50% 16.77% 30.91% 38.70% 9.11% 100.00%



Percentage of Portfolio by Value


Rating    UK    UK BTL  UK Non-    Euro    UK    Euro
by       Prime   RMBS  Conforming Prime   CMBS   CMBS    SME   Total
Type     RMBS             RMBS     RMBS
AAA      3.45%  12.58%   2.47%    9.35%                 7.97% 35.83%
AA              23.76%                   4.58%                28.34%
A                        11.57%                  3.37%        14.95%
BBB     12.90%                                   7.98%        20.89%
Total   16.36%  36.34%   14.04%   9.35%  4.58%  11.36%  7.97% 100.00%



Portfolio Valuation

In accordance with the Company's valuation procedures, the fair value
of the Company's investments is calculated on the basis of observable
market data, market discount rates and the Investment Manager's
expectations regarding future trends.  Given the considerable
continuing re-structurings at many investment banks, the Company has
received marks on only 6 out of 21 of its residual investments
compared to 13 in the previous quarter.  As a consequence of this,
the Company has elected to use a model based approach to value its
residual investments.  The pricing assumptions have been reviewed by
an external validation agent.  The Company has used a 15% discount
rate for the European and UK mortgage portfolios and 20% discount
rate for the SME portfolios.  These discount rates are applied to the
loss adjusted cash flows.  The Company received broker marks for all
of the investment grade bonds.

After giving effect to fair value write-downs and principal pay-downs
to the residual investment portfolio and the investment grade bond
portfolio of ¤14.0 million in the quarter ended 31 March 2009 (¤97.5
million for year ended 31 March 2009), the NAV of the Company was
¤3.96 per share as at 31 March 2009 (versus ¤4.12  per share as at 31
December 2008).

The table below summarises the changes in fair values of the
Company's investment portfolio by asset class:


                                                           Cash flows
                                                             Received
                                     Fair       Cash flows         in
                                    Value      Received in        the
                            31 Mar Change      the Quarter    Quarter
              31 Dec 2008     2009  Since            Ended      Ended
                     Fair     Fair 31 Dec      31 December   31 March
             Value[1],[2] Value[2]   2008          2008[3]       2009
Asset Class         (¤mm)    (¤mm)  (¤mm)            (¤mm)      (¤mm)
UK Mortgages          6.3      3.7   -2.6              1.5        1.4
Euro
Mortgages            67.4     64.2   -3.2              2.8        6.4
SME                  42.9     36.4   -6.5              3.4        4.3
CDO                   0.7      0.0   -0.7              0.2        -
US Mortgages          0.0      0.0    0.0              0.0        0.0
Investment
Grade
Bonds                 6.2      5.3   -1.0              0.3        0.3
TOTAL[4]            123.6    109.6  -14.0              8.2       12.4



1. Fair values as at 31 December 2008 are expressed using 31 March
2009 FX rates.
2. The fair value figures for 31 December 2008 and 31 March 2009
include accrued interest.
3. Cash flows for 31 December 2008 are expressed using 31 March 2009
FX rates.
4. The values for each column may not sum to the total due to
rounding differences.

Fair value changes since 31 December 2008 include principal
amortisations as a result of cash flows received in the quarter, as
well as fair value adjustments related to the investment portfolio.


Company Outlook

The Company will continue to focus on improving financial stability
through debt repayment and new investments.  Since 30 November 2008,
the Company has repaid ¤17 million of debt and spent ¤8.8 million on
purchasing investment grade bonds.

Cash balances are expected to remain above ¤13 million at the end of
June, with the expected debt outstanding to be below ¤22 million by
the end of July.  As a result of lower than expected cash flows from
the UK mortgage portfolio, cash flows in subsequent quarters will be
approximately ¤5.5 million a quarter.

Over the coming months, the Company will continue to selectively
gather mis-priced assets in the ABS markets.  The Company is also
investigating transactions that allow banks to deconsolidate
significant amounts of their ABS balance sheet to achieve regulatory
capital relief.  The Company's return targets for these types of
assets are in excess of 20%.

Worsening economic conditions could have an impact on the European
mortgage and SME portfolios.  The Company expects default levels to
rise in its SME portfolio and has increased its default assumptions
accordingly.  The outlook for the European mortgage portfolio is
broadly neutral with the expected impact of poor economic conditions
likely to be offset by lower Euribor rates leading to lower levels of
arrears.

Given the cash flow generation of the Company's portfolio, the
Company remains well positioned to take advantage of the continued
investment opportunities in the ABS markets.


[1] These calculations per share are based on the weighted average
number of Ordinary Shares as shown in Note 9 of the financials.
[2] These calculations per share are based on the number of Ordinary
Shares outstanding at the end of each respective period.
[3] Total cash proceeds received in the quarter divided by amortised
cost value of the bonds.
[4] The tables include the bonds purchased at their cost using FX
rates at the time of purchase.


The press release (including pie charts) can be downloaded from the
following link:

---END OF MESSAGE---




http://hugin.info/141791/R/1323196/310435.pdf


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