Quarterly Results

Queen's Walk Investment Limited
31 July 2006



31 July 2006

                        Queen's Walk Investment Limited
                       ('Queen's Walk' or the 'Company')

             Preliminary Results for the Quarter Ended 30 June 2006


                   Queen's Walk announces increased quarterly
                          dividend of €0.26 per share


Highlights for the Quarter

•    Queen's Walk continues to exceed the targets set at the time of its IPO in
December 2005 and has generated a 12.6% increase in net income for the quarter
to €10.997 million.

•    Dividend increased to €0.26 per share, representing an 8.3% increase to the
dividend paid to shareholders for the financial period ended 31 March 2006

•    Total investment assets have increased by 98% since the time of the
Company's IPO to approximately €510 million, with investments continuing to
perform as or better than expected.

•       The Company's investment manager, Cheyne Capital Management Limited
('Cheyne Capital'), continues to evaluate primary target investments and
believes there is a strong asset pipeline to support the Company's future growth

As set out in the quarterly accounts that accompany this statement, the
Company's investment portfolio generated net income of €10,997,370 for the
quarter ended 30 June 2006, representing a 12.6% increase over the income earned
in the period from the Company's IPO in December 2005 to 31 March 2006.

The Company's investment portfolio as at 30 June 2006 was approximately €510
million (including accrued interest revenue but excluding cash), with portfolio
indebtedness of approximately €116 million, representing approximately 23% of
the portfolio. As noted by the Company at the time it announced its target
dividend for the quarter, Queen's Walk retains sufficient capital and financing
flexibility to meet its investment objective and policies in the medium term.

Tom Chandos, Chairman said:

'We are pleased that net income has increased by 12.6% and that the Company's
strong performance has enabled us to increase the quarterly dividend by 8.3%.
Cheyne Capital continues to identify further attractive investment opportunities
for the Company. We will maintain a prudent approach to capital management while
seeking to further enhance shareholder returns.'

For further information please contact:

Investor Relations: Caroline Villiers [phone]

Cheyne Capital: Syd Hanna [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, Queen's Walk 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 Limited, 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 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'. They include the statement regarding the target aggregate dividend. 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).

Any target dividends are based on certain assumptions as to future events which
may not prove to be realised. Due to the uncertainty surrounding these future
events, the targets are not intended to be and should not be regarded as profits
or earnings forecasts. There can be no assurance that these targets will be
achieved or that the Company will be able to pay dividends at the target levels
or at all. The payment of any target dividends is subject to the Company
generating sufficient profits or having sufficient retained earnings and there
can be no assurance that this will be the case. The Company may revise its
dividend policy from time to time.

                                     * * *

The following extract from the quarterly accounts of the Company for the quarter
ended 30 June 2006 are unaudited.


Consolidated Income Statement

For the quarter ended 30 June 2006

                                        Note      Quarter ended    Period from 6
                                                  30 June 2006    September 2005
                                                                     to 31 March
                                                                           2006*
                                                  Euro             Euro

Operating income                                  14,992,921       12,480,487

Operating expenses
Other operating expenses                          (2,813,090)      (2,455,408)
Finance costs                                     (1,182,461)        (260,052)
Total operating expenses                          (3,995,551)      (2,715,460)

Net profit                                        10,997,370        9,765,027

Distributable profits                    2        10,599,894        9,765,027
Non-distributable profits                2        397,476                -
                                                  10,997,370        9,765,027

Earnings per Ordinary Share
Basic                                             Euro 0.27        Euro 0.24
Diluted                                           Euro 0.27        Euro 0.24

Distributable earnings per Ordinary Share
Basic                                             Euro 0.26        Euro 0.24
Diluted                                           Euro 0.26        Euro 0.24

Weighted average Ordinary Shares                  Number           Number
outstanding
Basic                                             40,620,756       40,620,756
Diluted                                           40,852,819       41,053,527


All items in the above statement are derived from continuing operations.


All income is attributable to the Ordinary Shareholders of the Company.


* The Company commenced its operations on 8 December 2005.


Consolidated Statement of Changes in Shareholders' Equity

For the quarter ended 30 June 2006

                      Share     Share   Other   Capital  Accumulated   Total
                      Capital   Premium Reserve  Reserve   Profits
                      
                        Euro   Euro    Euro      Euro       Euro       Euro

Net profit for the       -     -       -         -       10,997,370   10,997,370
quarter
Total recognised income  -     -       -         -       10,997,370   10,997,370
and expense

Balance at 1 April 2006  -     -   384,631,589 7,672,500  9,765,027  402,069,116

Over accrual of costs    -     -      46,715     -         -              46,715
related to issuance of
Ordinary Shares           

Distribution to the      -     -        -        -      (9,748,981)  (9,748,981)
Ordinary Shareholders
of the Company

Balance at 30 June 2006  -     -  384,678,304 7,672,500  11,013,416  403,364,220




Consolidated Balance Sheet
As at 30 June 2006

                                               30 June 2006   31 March 2006
                                                Euro            Euro
Non-current assets
Investments at fair value through profit or    501,439,102     487,890,499
loss

Current assets
Cash and cash equivalents                      20,735,431               -
Other assets                                   8,979,080       5,952,062
                                               29,714,511       5,952,062

Total assets                                   531,153,613     493,842,561

Equity and liabilities

Equity
Share capital                                       -               -
Share premium account                               -               -
Other reserve                                  384,678,304     384,631,589
Capital reserve in respect of share options    7,672,500       7,672,500
Accumulated profits                            11,013,416       9,765,027
                                               403,364,220     402,069,116
Current liabilities
Distribution payable                           9,748,981               -
Repurchase agreements                          115,783,806      88,880,531
Other liabilities                              2,256,606       2,892,914
Total liabilities                              127,789,393      91,773,445

Total equity and liabilities                   531,153,613     493,842,561



Notes to the Financial Statements

for the quarter ended 30 June 2006


1. General information


Queen's Walk Investment Limited (the 'Company') was registered on 6 September
2005 with registered number 43634 and is domiciled in Guernsey, Channel Islands.
The Company commenced its operations on 8 December 2005. The Company is a
closed-ended investment company with limited liability formed under The
Companies (Guernsey) Law, 1994 and its Ordinary Shares are listed on the London
Stock Exchange. The registered office of the Company is Dorey Court, Admiral
Park, St Peter Port, Guernsey, GY1 3BG, Channel Islands. 'Group' is defined as
the Company and its subsidiary. At 30 June 2006, the Company's only subsidiary
was Trebuchet Finance Limited.


The Company's investment objective is to preserve capital and provide stable
returns to Shareholders in the form of quarterly dividends. It seeks to achieve
this by investing primarily in a diversified portfolio of tranches of
asset-backed securities ('ABS') where the Investment Manager considers that the
coupon or cash flows on the tranche are attractive relative to the underlying
credit. These are and will be, in most cases, below investment grade or unrated
and do or will, in many cases, represent the residual income positions typically
retained by the originator of a securitisation transaction as the 'equity' or
'first loss' position.


The Group's investment management activities are managed by its Investment
Manager, Cheyne Capital Management Limited (the 'Investment Manager'), an
investment management firm authorised and regulated by the Financial Services
Authority. The Company has entered into an Investment Management Agreement (the
'Investment Management Agreement') under which the Investment Manager manages
its day-to-day investment operations, subject to the supervision of the
Company's Board of Directors. The Company has no direct employees. For its
services, the Investment Manager receives a monthly management fee (which
includes a reimbursement of expenses) and a quarterly performance-related fee.
The Company has no ownership interest in the Investment Manager.


The Company is administered by Kleinwort Benson (Channel Islands) Fund Services
Limited (the 'Administrator').


2. Distributable and non-distributable profits


Non-distributable profits relate to gains from investments which under the
United Kingdom Listing Rules are prohibited from being distributed to investors.
All other income is classed as distributable income. Distributable profits
represent the net of this distributable income less operating expenses.






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