F – Base Case CDS 299bps, Base Case iCDS 97bps, Negative Case iCDS 130bps, 2026 4.346% Bond YTW of 5.395%, iYTW of 5.302%, Ba2 Rating from Moody’s, IG4 (equivalent to Baa2) Rating from Valens, Low Refinancing Need

February 27, 2023

  • CDS markets are materially overstating Ford’s credit risk with a CDS of 299bps relative to an Intrinsic CDS of 97bps, while cash bond markets are accurately stating credit risk with a YTW of 5.395% relative to an Intrinsic YTW of 5.302%. Meanwhile, Moody’s is overstating the firm’s fundamental credit risk, with its speculative Ba2 credit rating three notches below the Valens’ IG4 (Baa2) credit rating.
  • Earnings Call Forensics™ of the firm’s Q4 2022 (02/02/2023) earnings call highlights that management sentiment was negative when talking about their growth, international business, products, supply chain management and segment realignment. But management sentiment was positive when talking about EV’s and their cash flows.

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