SKT – No Traded CDS, Base Case iCDS 288bps, Negative Case iCDS 355bps, 2026 3.125% Bond YTW of 2.287%, iYTW of 4.117%, Baa3 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 2.287%, relative to an Intrinsic YTW of 4.117% and an Intrinsic CDS of 288bps. Meanwhile, Moody’s is understating the firm’s fundamental credit risk, with its Baa3 credit rating two notches higher than Valens’ HY1 (Ba2) credit rating
• Earnings Call Forensics™ of the firm’s Q3 2021 earnings call (11/2) highlights that management may lack confidence in their ability to capitalize on growth opportunities for their holiday-themed events and non-rental segment, monetize their peripheral land, and execute their permanent rent conversion strategy. Furthermore, they may have concerns about their current liquidity position and the potential impact of retailer labor and supply chain headwinds on their business. Finally, management may be exaggerating the potential of their Virtual Shopper and web-hosted flash sales and the sustainability of demand for home products