Net Asset Value(s)

Alpha UCITS–Fair Oaks AAA CLO Fund (a sub-fund of Alpha UCITS SICAV) published Net Asset Values dated 21/01/2026 for two share classes: UCITS ETF GBP Hedged Acc. (ISIN LU2825557270) with NAV 10.5264 GBP and 101,822 shares, and UCITS ETF EUR Dist. (ISIN LU2785470191) with NAV 1,017.74 EUR and 29,927 shares. Both classes report a fund total net of 129,574,402.72 (currency consistent with fund reporting). The notice provides share-level NAVs and outstanding share counts for portfolio accounting and investor valuation purposes.

Analysis

Market structure: The ALPHA UCITS—Fair Oaks AAA CLO Fund (ISINs LU2825557270 / LU2785470191) signals continued investor demand for senior structured credit within UCITS wrappers; beneficiaries include CLO managers (fee income for Ares/APO-style managers) and retail/institutional buyers seeking spread pick-up vs. IG corporates. Losers: standalone IG bond funds and bank loan ETFs if capital rotates to AAA CLOs; with fund size ~€129.6m, marginal demand can move AAA tranche spreads by ~5–25bp in thin primary windows over weeks.

Risk assessment: Tail risks include a rapid rise in corporate defaults or modelling errors in collateral leading to AAA losses (stress scenario: cumulative default shock >3–4% would materially pressure mezzanine and potentially bite senior tranches), regulatory tightening of UCITS exposure to CLOs, and liquidity runs given modest AUM. Immediate (days): NAV volatility from mark-to-model; short-term (weeks/months): spread repricings around new issuance and central bank policy; long-term: credit cycle outcomes over 6–24 months determine realized returns.

Trade implications: Tactical: favor small, diversified exposure to the GBP-hedged Acc share for UK investors (to avoid FX drag) and prefer EUR-dist for EUR liabilities; implement relative trades: long AAA CLO fund vs short LQD (iShares iBoxx $ IG) to capture current spread pick-up if AAA OAS > IG OAS by >30bp. Use options hedge via buying protection on CDX IG 5y or buying 1–2% notional of LQD 3-month puts if volatility spikes.

Contrarian angles: Consensus treats AAA CLOs as near-senior IG—misses manager/structural concentration and reinvestment risk. With modest AUM, liquidity is the weak link: in a stress move where AAA spreads widen >50bp, forced selling could compound losses. Historical parallel: 2020 credit dislocation where senior tranches were resilient but marked down; mispricing exists if market underestimates 12–24 month default trajectory.

Key Decisions for Investors

• Establish a 2–3% portfolio position (notional) in ALPHA UCITS—FAIR OAKS AAA CLO FUND (ISIN LU2825557270 for GBP-hedged if GBP liabilities; LU2785470191 for EUR) within 2–4 weeks to capture spread pick-up vs. IG, but size to max 3% AUM and set a stop-loss: exit if NAV drops >5% within 30 days or AAA OAS widens >50bp from current levels.
• Implement a pair trade: long 2% exposure to the AAA CLO fund vs short 2% of LQD (iShares iBoxx $ IG) to capture relative spread tightening; rebalance if the spread differential (AAA OAS minus LQD OAS) compresses by >20bp (take 50% profits) or widens by >40bp (cut loss).
• Hedge tail risk with 1–2% notional protection: buy 3–6 month CDX IG protection (or LQD 3-month OTM puts) sized to offset cohort losses if IG spreads widen >75bp; initiate hedge within 7 trading days and review weekly until CLO primary calendar quiets.
• Go long 1–2% positions in public CLO-managers Ares (ARES) and Apollo (APO) within 1–3 months to capture higher fee income if issuance ramps, but cap combined exposure at 3% and sell if manager CLO volumes fall >30% QoQ or regulator signals leverage limits.