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 +44 20 7153 1521
Cheyne Capital:
Andrea Bonafe +44 20 7031 7480
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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