SFIL EUR Short 7Y Senior Unsecured: FV OAT+19/20 vs IPT OAT+21
Summary. SFIL launched a EUR benchmark short 7Y (March 2033 maturity, May 2026 settlement) senior unsecured at OAT+21 area / MS+63 area. Triangulating across own-curve extrapolation, AFD, CDC, and BPIFRA comps puts fair value at MS+61/62 — implying initial price talk is 1-2bp generous to secondary. Expect 1-2bp tightening through the process, with final landing OAT+19/20 (MS+61) most likely; OAT+18 achievable on exceptional books.
Curve Mechanics
Settlement 07-May-26 against maturity 07-Mar-33 gives 6.83y duration. Reference OATs (FRTR 2% 11/32 and FRTR 3% 05/33) interpolate to a March-33 OAT yield of ~3.385%. EUR swap interpolation between EUSA6 (2.939%) and EUSA7 (2.978%) gives MS reference 2.972%. The OAT/swap basis at this tenor sits at -41bp, reflecting persistent OAT cheapening from the post-October-25 sovereign downgrade and ongoing political risk premium. The MS+63 ≡ OAT+21 equivalence quoted at IPT ties out exactly with these levels.
Comparable Universe
Issuer Status Closest Comp WAL Z-spread CDC Central-govt accounting, 0% RW CDCEPS 3.13 02/33 6.84y MS+30 BPIFRA EPIC, central-govt accounting BPIFRA 3⅛ 05/33 7.07y MS+62 SFIL S.A., implicit support 6.83y interp 6.83y MS+61/62 (FV) AFD EPIC, smaller EUR bench AGFRNC 3½ 02/33 6.85y MS+71
Fair Value Triangulation
Anchor Implied SFIL FV Own-curve (SFIL 06/32 +62, 10/32 +63) MS+64/65 AFD comp less typical 6-7bp basis MS+64/65 CDC comp plus 30-32bp basis MS+60/62 BPIFRA comp at par/1bp inside MS+58/61 Triangulated midpoint MS+61/62, OAT+19/20
NIC and Trajectory
At MS+63 IPT vs MS+61/62 triangulated FV, headline NIC is 1-2bp. Realistic landing range is OAT+19/20 (MS+61), implying ~2bp tightening from IPT — standard SSA primary execution. Books likely cover 2.5-3.5x given clean OAT-style structure, recurring issuer profile, and the 8.5y average maturity ambition flagged in the 2026 funding plan. Print size could go to EUR 1.0-1.5bn, with tightening to OAT+18 (MS+60) possible only on demonstrably oversubscribed orderbook.
Risk metrics: Modified duration ~5.92y at par, BPV ~EUR 592 per EUR 1mm face. For an EUR 1bn print, daily delta ~EUR 592k/bp.
Execution implications. SFIL 06/32 and 10/32 holders capture flat-to-1bp pickup switching into the new issue with on-the-run liquidity benefit. BPIFRA 05/33 holders see no spread give-up rolling to SFIL. AFD 02/33 holders pay 6-7bp for the move into SFIL — pure name basis, no arbitrage. The standout cross-curve trade remains CDC EUR 7y at MS+30 versus SFIL at MS+62 — 32bp of pickup for marginally weaker credit at identical ratings and 0% risk weight under Article 116 CRR.
Watchpoints. OAT 6-7y richening into Friday close compresses MS-equivalent spread mechanically and pressures the WPIR. Moody's negative outlook on Aa3 senior remains the structural overhang — second downgrade leg would force re-pricing across the SFIL senior curve, with Caffil covered better insulated via legal-framework rating uplift.
