Fitch Downgrades 6 Classes from Duke Funding IX, Ltd./Corp.; Resolves Rating Watch

NEW YORK--(Business Wire)--
Fitch downgrades and removes from Rating Watch Negative six
classes of notes issued by Duke Funding IX, Ltd./Corp. (Duke Funding
IX). The following rating actions are effective immediately:

--$143,750,000 class A1 notes to 'CCC' from 'A-,;

--$8,000,000 class A2F notes to 'CC' from 'BBB-';

--$292,000,000 class A2V notes to 'CC' from 'BBB-';

--$10,158,750 class A3F notes to 'C' from 'BB';

--$166,853,821 class A3V notes to 'C' from 'BB';

--$85,091,027 class B notes to 'C' from 'B'.

Duke Funding IX is a hybrid cash and synthetic structured finance
(SF) collateralized debt obligation (CDO) that closed on Nov. 9, 2005
and is managed by Duke Funding Management, LLC, a wholly owned
subsidiary of Ellington Management Group, LLC. Currently 52.4% of the
portfolio is comprised of 2005, 2006 and 2007 vintage U.S. subprime
residential mortgage-backed securities (RMBS), and 15.6% is comprised
of 2005 and 2006 vintage U.S. Alternative-A (Alt-A) RMBS.

Fitch's rating actions reflect the significant collateral
deterioration within the portfolio, specifically subprime RMBS and
Alt-A RMBS. Since Fitch's last rating action on Nov. 21, 2007,
approximately 64.7% of the portfolio has been downgraded, with 9.4% of
the portfolio currently on Rating Watch Negative. 62.5% of the
portfolio is now rated below investment grade, including 35.1% of the
portfolio rated 'CCC+' or below. The negative credit migration
experienced since Fitch's last rating action has resulted in the
Weighted Average Rating Factor deteriorating to 19.5 ('BB-/B+') from
6.6 ('BBB/BBB-'), breaching its covenant of 7.0 ('BBB/BBB-'), as of
the latest trustee report dated June 9, 2008.

The collateral deterioration has caused each of the
overcollateralization (OC) tests to fall below 100% and fail their
respective triggers. As of the latest trustee report the class A2 OC
ratio was 94.7%, the class A3 OC ratio was 86.6%, and the class B OC
ratio was 83.2%. As a result of the coverage test failures, the
transaction is currently diverting interest proceeds from the classes
A3F, A3V, and B notes, instead using these proceeds to reduce the
notional size of the unfunded super senior swap. Payment of interest
to the classes A3F, A3V, and B notes has been made in kind by writing
up the principal balance of each class by the amount of interest owed.

Payments to the class A1 notes are subordinate to payments to an
unfunded super senior swap in the transaction. The notional amount of
the super senior swap is currently over $1.4 billion, and while it is
unfunded, principal and interest proceeds are used to delever this
exposure prior to payments to the class A1 notes (other than timely
interest). Given the magnitude of credit deterioration in the
portfolio, combined with the subordination of payments to the super
senior swap, Fitch believes that the class A1 notes will likely
experience principal impairment in the future.

The ratings on the classes A1, A2F, and A2V notes address the
timely receipt of scheduled interest payments and the ultimate receipt
of principal as per the transaction's governing documents. The ratings
on the classes A3F, A3V, and B notes address the ultimate receipt of
interest payments and ultimate receipt of principal as per the
transaction's governing documents.

Fitch will continue to monitor and review this transaction for
future rating adjustments. Additional transaction information and
historical data are available on the Fitch Ratings web site at
www.fitchratings.com.

Fitch's rating definitions and the terms of use of such ratings
are available on the agency's public site, www.fitchratings.com.
Published ratings, criteria and methodologies are available from this
site, at all times. Fitch's code of conduct, confidentiality,
conflicts of interest, affiliate firewall, compliance and other
relevant policies and procedures are also available from the 'Code of
Conduct' section of this site.

Fitch Ratings
Brian Vorderbrueggen, +1-212-908-9102 (New York)
Alina Pak, +1-312-368-3184 (Chicago)
Sandro Scenga, +1-212-908-0278
(Media Relations, New York)

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