New York, July 06, 2012 -- Moody's Investors Service has reviewed the question of whether some action is required by Citigroup Global Markets Limited ("CGML") in its capacity as the counterparty, or Citigroup, Inc. ("Citigroup"), in its capacity as the existing Credit Support Provider under several swap transactions entered into by GSC ABS CDO 2006-1c, Ltd. (the "Issuer"), in order to maintain the current Moody's rating of the Notes issued by the Issuer following Moody's downgrade of its rating of Citigroup (the "Moody's Rating Action").
Moody's has determined that the taking of no action by CGML as counterparty or Citigroup as Credit Support Provider following the Moody's Rating Action will not in and of itself and at this time cause the reduction, withdrawal or other adverse action with respect to the current Moody's ratings of the notes issued by the Issuer.
Moody's opinion addresses only the current impact on the Moody's rating of the Notes, and Moody's does not express an opinion as to whether no action by CGML as counterparty or Citigroup as Credit Support Provider under the terms of the existing swap transactions applicable to the Issuer could have other credit, or non credit-related effects that investors may or may not view positively.
Moody's rating analysis in this case considered, among other factors, the rating differential between Citigroup and the current Moody's ratings of the Notes.
The principal methodology used in Moody's analysis was "Moody's Approach to Rating SF CDOs" published in May 2012.
Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months.
Oswald Espinoza Associate Analyst Structured Finance Group Moody'sInvestors Service, Inc.250 Greenwich StreetNew York, NY 10007 U.S.A. JOURNALISTS: 212-553-0376 SUBSCRIBERS: 212-553-1653Ramon O. Torres Senior Vice President Structured Finance Group JOURNALISTS: 212-553-0376 SUBSCRIBERS: 212-553-1653 Releasing Office: Moody's Investors Service, Inc.250 Greenwich StreetNew York, NY 10007 U.S.A. JOURNALISTS: 212-553-0376 SUBSCRIBERS: 212-553-1653(C) 2012 Moody's Investors Service, Inc. and/or its licensors and affiliates (collectively, "MOODY'S"). All rights reserved.
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