Explains her mother's affair with James II: http://en.wikipedia.org/wiki/Catherine_Sedley

• from Royal Mistresses: Catherine Sedley

Catherine gave birth to several children while James II's mistress, but only a daughter survived. The daughter Catherine, although acknowledged by James, in all probability was the daughter of Colonel James Grahame, a witty and fashionable hanger-on at court and the King's Keeper of the Privy Purse. Apparently Catherine felt no need to confine her favors to just the one man. When her daughter began to give herself airs, Catherine told her, "You need not be so vain, daughter, you are not the King's child, but old Grahame's."

Catherine the younger married first James Annesley, 3rd Earl of Anglesey, and had a daughter Lady Catherine whose descendants include the Baron Mulgrave. After his death, she married John Sheffield, 1st Duke of Buckingham and Normanby.