Banco Sabadell / BBVA Callable EUR SNP Switch Idea

• Buy SABSM 5.5% Sep 29 at z106bp Sell BBVA 0.875% Jan 29 at z72bp
• These two bonds have recently de-compressed by 22bps in the wake of Trump’s “liberation day”
• Outright pick up in z spread is now 35bps for an 8 month extension (both have 1Y call) but for same ratings (Fitch) and one notch give up (S&P). A few weeks ago the outright pick up was only 13bps. The current delta was last seen in August last year.
• Spain’s antitrust agency (CNMC) approved with strict conditions BBVA’s bid to buy Banco Sabadell

EUR SNP SABSM 5.5% VS BBVASM 0.875%

Source: Bloomberg, MUFG on 30/04/2025