SITC – Base Case CDS 100bps, Base Case iCDS 257bps, Negative Case iCDS 285bps, 2026 4.250% Bond YTW of 2.357%, iYTW of 3.717%, Baa3 Rating from Moody’s, HY2 (equivalent to B2) Rating from Valens, High Refinancing Need

• Cash bond markets are understating credit risk, with a cash bond YTW of 2.357%, relative to an Intrinsic YTW of 3.717%, while CDS markets are materially understating credit risk, with a CDS of 100bps relative to an Intrinsic CDS of 257bps. Meanwhile, Moody’s is also understating the firm’s fundamental credit risk, with its Baa3 credit rating two notches higher than Valens’ HY2 (B2) credit rating.
• Incentives Dictate Behavior™ analysis highlights mostly positive signals for credit holders. That said, CEO Lukes’ high change-in-control compensation implies he may influence other NEOs to accept a buyout or pursue a sale of the company, increasing event risk for creditors.
• Earnings Call Forensics™ of the firm’s Q3 2021 earnings call highlights that management may have concerns lingering permitting issues, their leverage ratio, and changes to their share of JV NOIs. Moreover, they may lack confidence in their ability to sustain rent growth and capitalize on retail sales growth through higher renewals and new leases, and they may be downplaying concerns about the impact of RVI on their operations.