SKT – Base Case iCDS 318bps, Negative Case iCDS 394bps, 2026 3.125% Bond YTW of 2.119%, iYTW of 4.019%, Ba1 Rating from Moody’s, HY1 (equivalent to Ba2) Rating from Valens, High Refinancing Need

• Credit markets are materially understating credit risk, with a cash bond YTW of 2.119%, relative to an Intrinsic YTW of 4.019% and an Intrinsic CDS of 318bps. Meanwhile, Moody’s is accurately stating the firm’s fundamental credit risk, with its Ba1 credit rating one notch higher than Valens’ HY1 (Ba2) credit rating
• Earnings Call Forensics™ of the firm’s Q2 2021 earnings call (8/4) highlights that management may have concerns about tenant sales trends, the impact of their deal structure changes made amid pandemic uncertainty, and shareholder dilution. Additionally, they may lack confidence in their ability to continue paying down their debt, improve their leverage ratio, and maintain lease renewals