Diameter Credit Funding IV, LTD. — Moody’s assigns ratings to five classes of notes issued by Diameter Credit Funding IV, LTD.

Rating Action: Moody’s assigns ratings to five classes of notes issued by Diameter Credit Funding IV, LTD.Global Credit Research – 22 Dec 2021New York, December 22, 2021 — Moody’s Investors Service (“Moody’s”) has assigned ratings to five classes of notes issued by Diameter Credit Funding IV, LTD. (the “Issuer” or “Diameter Credit Funding IV”).Moody’s rating action is as follows:U.S.$190,600,000 Class A Senior Secured Fixed Rate Notes due 2040, Assigned Aaa (sf)U.S.$58,000,000 Class B Senior Secured Fixed Rate Notes due 2040, Assigned Aa3 (sf)U.S.$17,600,000 Class C Mezzanine Secured Deferrable Fixed Rate Notes due 2040, Assigned A3 (sf)U.S.$23,600,000 Class D Mezzanine Secured Deferrable Fixed Rate Notes due 2040, Assigned Baa3 (sf)U.S.$11,200,000 Class E Junior Secured Deferrable Fixed Rate Notes due 2040, Assigned Ba2 (sf)The notes listed above are referred to herein, collectively, as the “Rated Notes.”RATINGS RATIONALEThe rationale for the ratings is based on our methodology and considers all relevant risks, particularly those associated with the CDO’s portfolio and structure.Diameter Credit Funding IV is a managed cash flow CDO. The issued notes will be collateralized primarily by corporate bonds and loans. At least 30% of the portfolio must consist of senior secured loans, senior secured notes, and eligible investments, and up to 20% of the portfolio may consist of second lien loans. The portfolio is approximately 64% ramped as of the closing date.Diameter Capital Partners LP (the “Manager”) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction’s five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets.In addition to the Rated Notes, the Issuer issued subordinated notes.The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority.Moody’s modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the “Moody’s Global Approach to Rating Collateralized Loan Obligations” rating methodology published in December 2021.For modeling purposes, Moody’s used the following base-case assumptions:Par amount: $400,000,000Diversity Score: 40Weighted Average Rating Factor (WARF): 3369Weighted Average Coupon (WAC): 5.75%Weighted Average Recovery Rate (WARR): 34.5%Weighted Average Life (WAL): 10 yearsMethodology Underlying the Rating Action:The principal methodology used in these ratings was “Moody’s Global Approach to Rating Collateralized Loan Obligations” published in December 2021 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1293730. Alternatively, please see the Rating Methodologies page on www.moodys.com for a copy of this methodology.Factors That Would Lead to an Upgrade or Downgrade of the Ratings:The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager’s investment decisions and management of the transaction will also affect the performance of the Rated Notes.REGULATORY DISCLOSURESFor further specification of Moody’s key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions in the disclosure form. Moody’s Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.Further information on the representations and warranties and enforcement mechanisms available to investors are available on http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1315032.The analysis relies on an assessment of collateral characteristics to determine the collateral loss distribution, that is, the function that correlates to an assumption about the likelihood of occurrence to each level of possible losses in the collateral. As a second step, Moody’s evaluates each possible collateral loss scenario using a model that replicates the relevant structural features to derive payments and therefore the ultimate potential losses for each rated instrument. The loss a rated instrument incurs in each collateral loss scenario, weighted by assumptions about the likelihood of events in that scenario occurring, results in the expected loss of the rated instrument.Moody’s quantitative analysis entails an evaluation of scenarios that stress factors contributing to sensitivity of ratings and take into account the likelihood of severe collateral losses or impaired cash flows. Moody’s weights the impact on the rated instruments based on its assumptions of the likelihood of the events in such scenarios occurring.For ratings issued on a program, series, category/class of debt or security this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series, category/class of debt, security or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody’s rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the credit rating action on the support provider and in relation to each particular credit rating action for securities that derive their credit ratings from the support provider’s credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this credit rating action, and whose ratings may change as a result of this credit rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.The ratings have been disclosed to the rated entity or its designated agent(s) and issued with no amendment resulting from that disclosure.These ratings are solicited. Please refer to Moody’s Policy for Designating and Assigning Unsolicited Credit Ratings available on its website www.moodys.com.Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.Moody’s general principles for assessing environmental, social and governance (ESG) risks in our credit analysis can be found at http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1288235.The Global Scale Credit Rating on this Credit Rating Announcement was issued by one of Moody’s affiliates outside the EU and is endorsed by Moody’s Deutschland GmbH, An der Welle 5, Frankfurt am Main 60322, Germany, in accordance with Art.4 paragraph 3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies. Further information on the EU endorsement status and on the Moody’s office that issued the credit rating is available on www.moodys.com.The Global Scale Credit Rating on this Credit Rating Announcement was issued by one of Moody’s affiliates outside the UK and is endorsed by Moody’s Investors Service Limited, One Canada Square, Canary Wharf, London E14 5FA under the law applicable to credit rating agencies in the UK. Further information on the UK endorsement status and on the Moody’s office that issued the credit rating is available on www.moodys.com.Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody’s legal entity that has issued the rating.Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating. Alexander Chervenkov Asst Vice President – Analyst Structured Finance Group Moody’s Investors Service, Inc. 250 Greenwich Street New York, NY 10007 U.S.A. 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