SKT – No Traded CDS, Base Case iCDS 279bps, Negative Case iCDS 422bps, 2026 3.125% Bond YTW of 2.421%, iYTW of 3.471%, Baa3 Rating from Moody’s, HY2 (equivalent to B2) Rating from Valens, High Refinancing Need

• Credit markets are understating credit risk, with a cash bond YTW of 2.421%, relative to an Intrinsic YTW of 3.471% and an Intrinsic CDS of 279bps. Furthermore, Moody’s is materially understating the firm’s fundamental credit risk, with its Baa3 credit rating five notches higher than Valens’ HY2 (B2) credit rating
  
• Earnings Call Forensics™ of the firm’s Q3 2020 earnings call (11/16) highlights that management is confident open-air centers operated at 30% fewer hours per week since reopening. Additionally, they may be concerned about their ability to capture pent-up demand, continue generating positive free cash flow, and improve traffic levels in stores. Moreover, they may lack confidence in their long-term plan and ability to continue cutting costs. Furthermore, management may be concerned about collection rates and the cost effect of opening stores for two hours longer during the holiday season. They may also lack confidence in their ability to maintain a strong fiscal position and collect deferred rent in 2021