Ten classes of notes from Duke Funding High Grade II-S/EGAM I Ltd., which is linked to residential mortgage-backed securities, have been downgraded by Fitch Ratings as a result of reported events of default.Fitch said the proceeds of the notes were used to acquire a diversified portfolio of primarily floating-rate RMBS. The issuer provided notices of the following events of default: inability to make payments as required under a hedge agreement to an interest rate hedge counterparty; and failure to pay interest due on various classes of the notes. "The events of default have resulted from declines in the market value of the portfolio which have left the issuer unable to meet margin calls from repurchase counterparties," Fitch reported.

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