“The necklace was a present from the Queen of England to the Czarina of Russia,” began the Queen's Messenger. “It was to celebrate the occasion of the Czar's coronation. Our Foreign Office knew that the Russian Ambassador in Paris was to proceed to Moscow for that ceremony, and I was directed to go to Paris and turn over the necklace to him. But when I reached Paris I found he had not expected me for a week later and was taking a few days' vacation at Nice. His people asked me to leave the necklace with them at the Embassy, but I had been charged to get a receipt for it from the Ambassador himself, so I started at once for Nice. The fact that Monte Carlo is not two thousand miles from Nice may have had something to do with making me carry out my instructions so carefully.

“Now, how the Princess Zichy came to find out about the necklace I don't know, but I can guess. As you have just heard, she was at one time a spy in the service of the Russian Government. And after they dismissed her she kept up her acquaintance with many of the Russian agents in London. It is probable that through one of them she learned that the necklace was to be sent to Moscow, and which one of the Queen's Messengers had been detailed to take it there. Still, I doubt if even that knowledge would have helped her if she had not also known something which I supposed no one else in the world knew but myself and one other man. And, curiously enough, the other man was a Queen's Messenger, too, and a friend of mine. You must know that up to the time of this robbery I had always concealed my despatches in a manner peculiarly my own. I got the idea from that play called 'A Scrap of Paper.' In it a man wants to hide a certain compromising document. He knows that all his rooms will be secretly searched for it, so he puts it in a torn envelope and sticks it up where anyone can see it on his mantle-shelf. The result is that the woman who is ransacking the house to find it looks in all the unlikely places, but passes over the scrap of paper that is just under her nose. Sometimes the papers and packages they give us to carry about Europe are of very great value, and sometimes they are special makes of cigarettes, and orders to court-dressmakers. Sometimes we know what we are carrying and sometimes we do not. If it is a large sum of money or a treaty, they generally tell us. But, as a rule, we have no knowledge of what the package contains; so to be on the safe side, we naturally take just as great care of it as though we knew it held the terms of an ultimatum or the crown-jewels. As a rule, my confreres carry the official packages in a despatch-box, which is just as obvious as a lady's jewel-bag in the hands of her maid. Everyone knows they are carrying something of value. They put a premium on dishonesty. Well, after I saw the 'Scrap-of-Paper' play, I determined to put the government valuables in the most unlikely place that anyone would look for them. So I used to hide the documents they gave me inside my riding-boots, and small articles, such as money or jewels, I carried in an old cigar-case. After I took to using my case for that purpose I bought a new one, exactly like it, for my cigars. But, to avoid mistakes, I had my initials placed on both sides of the new one, and the moment I touched the case, even in the dark, I could tell which it was by the raised initials.

“No one knew of this except the Queen's Messenger of whom I spoke. We once left Paris together on the Orient Express. I was going to Constantinople and he was to stop off at Vienna. On the journey I told him of my peculiar way of hiding things and showed him my cigar-case. If I recollect rightly, on that trip it held the grand cross of St. Michael and St. George, which the Queen was sending to our Ambassador. The Messenger was very much entertained at my scheme, and some months later when he met the Princess he told her about it as an amusing story. Of course, he had no idea she was a Russian spy. He didn't know anything at all about her, except that she was a very attractive woman. It was indiscreet, but he could not possibly have guessed that she could ever make any use of what he told her.

“Later, after the robbery, I remembered that I had informed this young chap of my secret hiding-place, and when I saw him again I questioned him about it. He was greatly distressed, and said he had never seen the importance of the secret. He remembered he had told several people of it, and among others the Princess Zichy. In that way I found out that it was she who had robbed me, and I know that from the moment I left London she was following me, and that she knew then that the diamonds were concealed in my cigar-case.

“My train for Nice left Paris at ten in the morning. When I travel at night I generally tell the chef de gare that I am a Queen's Messenger, and he gives me a compartment to myself, but in the daytime I take whatever offers. On this morning I had found an empty compartment, and I had tipped the guard to keep everyone else out, not from any fear of losing the diamonds, but because I wanted to smoke. He had locked the door, and as the last bell had rung I supposed I was to travel alone, so I began to arrange my traps and make myself comfortable. The diamonds in the cigar-case were in the inside pocket of my waistcoat, and as they made a bulky package, I took them out, intending to put them in my hand-bag. It is a small satchel like a bookmaker's, or those hand-bags that couriers carry. I wear it slung from a strap across my shoulders, and, no matter whether I am sitting or walking, it never leaves me.

“I took the cigar-case which held the necklace from my inside pocket and the case which held the cigars out of the satchel, and while I was searching through it for a box of matches I laid the two cases beside me on the seat.

“At that moment the train started, but at the same instant there was a rattle at the lock of the compartment, and a couple of porters lifted and shoved a woman through the door, and hurled her rugs and umbrellas in after her.

“Instinctively I reached for the diamonds. I shoved them quickly into the satchel and, pushing them far down to the bottom of the bag, snapped the spring-lock. Then I put the cigars in the pocket of my coat, but with the thought that now that I had a woman as a travelling companion I would probably not be allowed to enjoy them.

“One of her pieces of luggage had fallen at my feet, and a roll of rugs had landed at my side. I thought if I hid the fact that the lady was not welcome, and at once endeavored to be civil, she might permit me to smoke. So I picked her hand-bag off the floor and asked her where I might place it.

“As I spoke I looked at her for the first time, and saw that she was a most remarkably handsome woman.