Net Asset Value(s)

Alpha UCITS SICAV's Fair Oaks AAA CLO Fund (sub-fund) reported NAVs dated 02/02/2026: the UCITS ETF GBP Hedged Acc. (ISIN LU2825557270) has a NAV of GBP 10.5459 with 101,822 shares outstanding, and the UCITS ETF EUR Dist. (ISIN LU2785470191) has a NAV of EUR 1,012.06 with 29,777 shares outstanding. Total net assets for the fund are EUR 129,906,481.93. This is a standard valuation update for investors holding AAA CLO exposure and has limited market-moving implications.

Analysis

Market structure: The ALPHA UCITS–Fair Oaks AAA CLO Fund (ISINs LU2785470191 EUR Dist, LU2825557270 GBP Hedged Acc) benefits investors chasing spread pickup with IG-like credit protection; asset managers (Alpha/Fair Oaks) and prime brokers collecting fees also win. Direct losers are plain-vanilla IG cash-bond funds competing for the same yield-seeking capital, which could see marginal outflows and wider funding spreads if flows rotate into securitised product; expect measurable demand lift over 3–12 months as investors reprice relative value versus corporates by ~25–75 bps.

Risk assessment: Tail risks include an EU/UK regulatory shift restricting UCITS exposure to CLO tranches or a rapid spike in leveraged loan defaults; a >100–150 bp widening in AAA CLO spreads over 3 months could produce high-single to low-double-digit NAV drawdowns given leverage and liquidity mismatches. Hidden dependencies: repo/prime-broker funding, effectiveness of the GBP hedge and the manager’s warehouse financing; monitor counterparty concentration and 30-day redemption stress tests. Catalysts that will force re-rating: macro recession signals (PMI dropping below 45), bank liquidity events, or large CLO supply shocks within 60–180 days.

Trade implications: For yield-seeking long-only accounts, consider initiating a 2–3% position in the EUR distributing share (LU2785470191) or 2–3% in the GBP‑hedged class (LU2825557270) for GBP liabilities, sized to a 6–12 month hold. Hedge tail risk by buying ~1–2% notional protection via iTraxx Crossover 5y (or equivalent) for 6–12 months; consider a relative-value pair: long the AAA CLO fund vs short 2–3% in iShares Core € Corp Bond ETF (or LQD for USD portfolios) to capture expected spread compression. Use stop-loss at a 7–10% NAV drawdown and re-evaluate at 30/60/90-day flow updates.

Contrarian angles: Consensus may underweight structural credit enhancement—AAA CLO tranches historically absorbed mezzanine stress, so a short-term liquidity scare could create a buying opportunity rather than permanent impairment. The market may overprice regulatory and default risk into spreads; if flows into UCITS CLO ETFs push assets above €200–300m, liquidity should improve and spreads could tighten materially. Unintended consequence: crowded ETF positioning could amplify intraday NAV swings—keep positions size-constrained and prefer the distributing EUR share for income stability.

Key Decisions for Investors

• Establish a 2–3% portfolio position in ALPHA UCITS–FAIR OAKS AAA CLO FUND EUR Dist (ISIN LU2785470191) for investors seeking yield with a 6–12 month horizon; target total return from spread compression vs IG corporates of 1–3% if spreads tighten 25–75 bps.
• GBP-based investors: allocate 2–3% to the GBP‑Hedged Acc share (ISIN LU2825557270) to remove FX exposure; implement a hard stop-loss at 7–10% NAV drawdown and weekly flow monitoring for the first 90 days.
• Hedge tail risk by purchasing 1–2% notional protection via iTraxx Crossover 5y (or equivalent CDS index) for 6–12 months to cap downside from systemic credit widening; increase protection if iTraxx Crossover widens >200 bp.
• Relative-value: short 2–3% in a broad IG corporate bond ETF (e.g., iShares Core € Corp ETF or LQD for USD) while long the AAA CLO fund to isolate CLO spread tightening versus cash corporates; rebalance after 30/60/90 days based on flow and spread convergence.