Many funds listed on the London Stock Exchange faced losses in the wake of the U.S. subprime situation, but none seemingly more so than Caliber Global and Queen's Walk Investments. The two Guernsey-based companies were heavy investors in American subprime paper, and both are estimated to have felt loses at around 40%.

Since word got out of the companies' devaluations earlier this month, both businesses have slapped information calling for calm on their respective Web sites and have become tight-lipped during phone calls.

Caliber's investment manager, Cambridge Place Investment Management, said in a recent statement that, "The monthly movement in the NAV for Caliber is not a guide to the core profitability of the portfolio, or a guide to the distributable earnings for the period."

Queen's Walk announced its intention to publish its accounts for the fiscal year ended March 31 in mid-June. "Market volatility has been sustained and the company's investment manager, Cheyne Capital Management LLP, continues to observe changing loss and prepayment behavior in these markets," Queen's Walk's state-ment said.

Cheyne continues to analyze variables in the current market environment relating to the valuation of Queen's Walk's investment portfolio and is working with the firm's advisors to enable it to provide shareholders with an estimate of its net asset value as soon as practicable, according to the statement.

"Anticipated changes to the valuation of the company's U.S. assets and certain assets in its U.K. investment portfolio may have a material adverse impact on the company's net asset value, which was 9.90 per share as of Dec. 31, 2006," the statement said. "However, the shares of Queen's Walk are already trading at a significant discount to the net asset value of the company as [of] that date."

(c) 2007 Asset Securitization Report and SourceMedia, Inc. All Rights Reserved.

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