Net Asset Value(s)

Alpha UCITS SICAV's sub‑fund Fair Oaks AAA CLO Fund published NAVs dated 19/12/2025: the UCITS ETF GBP Hedged Acc (ISIN LU2825557270) has a NAV of 10.4731 GBP with 101,822 shares outstanding, and the UCITS ETF EUR Dist (ISIN LU2785470191) has a NAV of €1,013.91 with 28,127 shares outstanding. The sub‑fund's total net assets are €129,556,578.34.

Analysis

Contrarian angles: Consensus underestimates liquidity mismatch risk in UCITS wrappers for CLOs — retail redemptions can force managers to sell less liquid tranches at steep discounts; this is a 10–25% downside tail in stressed runs. Mispricing potential: if markets price lower liquidity premiums (compress AAA by >30bp), early entrants can lock asymmetric carry (target pick‑up 1.0–2.5% yield over core IG) but must price a 6–12 month diligenced hold. Historical parallels: 2016–2019 CLO tightening rewarded secured exposure until a funding shock reversed it; a similar reversal is possible if leveraged‑loan defaults jump >200bp. Unintended consequence: rapid UCITS inflows could reduce new issuance appetite, concentrating supply and increasing pick‑up volatility.

Key Decisions for Investors

• Establish a 2–4% portfolio position long ALPHA UCITS‑FAIR OAKS AAA CLO FUND – EUR Dist (ISIN LU2785470191) if entry NAV yields >1.0% pickup vs 5‑yr Euro IG swap, add to 5% allocation only if AAA OAS widens another 20–30bp within 3 months.
• Hedge 50% of that CLO exposure by buying 3‑month ATM puts on HYG (or equivalent HY ETF) sized to cover 50% notional of the CLO position; exit/roll if HY OAS tightens <100bp from current level or after 3 months.
• Execute a pair trade: long LU2785470191 (2% portfolio) and short LQD (2% notional) to capture expected secured vs unsecured spread compression over 3–6 months; tighten stops if relative spread moves against position by >20bp.
• Cap exposure and set hard risk rules: limit fund position to max 5% AUM, liquidate tranche if weekly fund outflows exceed 10% NAV or manager issues downgrade of attachment point/covenant quality; reassess after quarterly underlying loan default rate crosses 2%.