Net Asset Value(s)

Alpha UCITS - Fair Oaks AAA CLO Fund published NAVs as of 17/12/2025 for two share classes: UCITS ETF GBP Hedged Acc. (ISIN LU2825557270) with a NAV of 10.4659 GBP and 101,822 shares outstanding, and UCITS ETF EUR Dist. (ISIN LU2785470191) with a NAV of 1,013.54 EUR and 26,927 shares outstanding. The fund reports total net assets of EUR 127,746,872.41; it is a sub-fund of Alpha UCITS SICAV and this notice is a routine valuation update with limited market-moving implications.

Analysis

Market structure: The Alpha UCITS Fair Oaks AAA CLO fund (ISIN LU2825557270 / LU2785470191, AUM €127.7m) benefits credit-seeking, yield-chasing institutional and retail investors looking for IG-like protection with incremental spread; banks and CLO managers capture fee/pricing power if flows grow. Plain-vanilla EUR and USD IG bond ETFs are the nearest substitutes and could see relative outflows if AAA CLO spreads compress by 10–30bp, tightening funding for corporates.

Risk assessment: Key tail risks are tranche misrating or CLO manager stress (operational), UCITS liquidity/redemption strain given modest AUM, and regulatory shocks that curtail CLO eligibility in UCITS. In the next 0–30 days focus on liquidity/FX moves; weeks–months watch leveraged loan default correlation and ECB/BoE rate moves; quarters–years the credit cycle could invert the premium if loan defaults rise >200bp.

Trade implications: Tactical buy for carry but size-constrain: small allocations (1–3%) because AUM/liquidity cap can amplify slippage. Relative trades: overweight AAA CLO vs broad IG to capture spread compression; protect positions with CDS or ETF-put hedges if iTraxx/Main or CDX widens >30bp. Monitor GBP-hedged vs EUR share-class flows—use GBP-hedged if you want to remove FX from the trade.

Contrarian angles: Consensus underestimates liquidity squeeze risk given €128m AUM; a crowded move into AAA CLOs can flip gains into 8–12% drawdowns on forced redemptions. Historical parallel: 2018/2020 CLO repricings show rapid mark-to-market swings when loan spreads gap >50bp. Limit size and demand tail-protection rather than leverage.

Key Decisions for Investors

• Establish a 2–3% portfolio long in the Alpha UCITS-Fair Oaks AAA CLO Fund (ISIN LU2825557270 — GBP Hedged Acc) with a 3–6 month horizon, target total return +4–6%; set hard stop-loss at -6% from entry to control liquidity-driven drawdowns.
• Implement a pair trade: long LU2825557270 (notional = X) vs short LQD (iShares iBoxx $ Inv Gr Corp ETF) at 0.6:1 notional for 1–3 months to express preference for CLO AAA spread tightening; trim if relative spread tightens by >15bp or if LQD outperforms by >2% absolute.
• Buy tail protection: purchase 1-year iTraxx Main (or CDX IG) protection sized to 50% of the CLO exposure or buy 3–6% OTM put protection on a EUR IG ETF if credit spreads widen >30bp within 60 days; execute immediately upon position entry.
• Cap exposure: do not exceed 5% portfolio allocation to this fund until AUM >€300m or until you observe three consecutive months of net inflows and stable daily NAV spreads; review monthly for manager redemption terms and NAV staleness.