Net Asset Value(s)

Alpha UCITS‑Fair Oaks AAA CLO Fund published NAVs dated 11/02/2026 for two share classes: UCITS ETF GBP Hedged Acc. (ISIN LU2825557270) with a NAV of 10.5586 GBP and 101,822 shares outstanding; and UCITS ETF EUR Dist. (ISIN LU2785470191) with a NAV of 1,012.80 EUR and 29,777 shares outstanding. The fund’s total net assets are reported as 125,547,052.03 and the vehicle is a sub‑fund of Alpha UCITS SICAV.

Analysis

Market structure: The Alpha UCITS - Fair Oaks AAA CLO Fund (AUM €125,547,052; ISINs LU2825557270 / LU2785470191; NAV GBP10.5586 / EUR1,012.80) sits as a small, high-grade structured-credit vehicle that benefits if risk spreads compress or if investors seek yield without taking bank-loan equity risk. Winners are funds/managers able to warehouse AAA CLO paper and investors hunting 150–300bp pickup vs sovereigns; losers include lower‑rated loan ETFs and direct bank loan holders if capital rotates into top‑tier structured tranches. Because AUM is modest, modest flows (±€50–75m) can meaningfully move secondary AAA prices, tightening liquidity-sensitive spreads.

Risk assessment: Key tail risks are regulatory changes limiting UCITS exposure to levered CLOs, a sudden loan-default spike (>200–300bp equivalent loss to junior tranches), or dealer repo withdrawal that freezes AAA liquidity — any could trigger >5–10% NAV moves. Immediate (days) risk is liquidity and mark‑to‑market gaps; short‑term (weeks/months) is spread repricing around rate pivots; long‑term (quarters) is default cycle exposure. Hidden dependencies include repo/funding lines, tranche reinvestment mechanics, and rating agency base‑case assumptions that can change quickly.

Trade implications: For yield and low-beta exposure, establish a tactical long (1.5–3% portfolio) in LU2825557270 (GBP‑hedged for UK exposure) for a 3–6 month trade, trimming if 3‑month loan index spreads widen +75bp or CLO AAA secondary yields rise >50bp. Implement a relative-value pair: long LU2825557270 vs short BKLN (Invesco Senior Loan ETF) 0.5–1% notional to isolate senior tranche carry vs loan cash flows; hedge tail risk by buying 3‑month OTM puts on HYG (~2% notional) or buying protection on LCDX if accessible.

Contrarian angles: Consensus treats AAA CLOs as near‑risk‑free — that underestimates liquidity and waterfall convexity; a small flow reversal can invert expected returns. Historical parallels (2011/2012 CLO squeezes) show AAA tranches can gap down even without defaults due to funding/technical stress. If regulatory scrutiny increases in next 30–90 days, liquidity premium could spike and create a better entry; conversely, complacent inflows could compress spreads and cap upside to <3–4% over 6 months.

Key Decisions for Investors

• Establish a tactical 1.5–3.0% long position in the Alpha UCITS - Fair Oaks AAA CLO Fund (ISIN LU2825557270 for GBP‑hedged) with a 3–6 month horizon; trim/exit if CLO AAA secondary yields widen by >50bp or 3‑month syndicated loan spreads increase by >75bp.
• Implement a pair trade: long LU2825557270 (size 1%) and short BKLN (Invesco Senior Loan ETF) size 1% to isolate senior‑tranche carry; rebalance monthly and unwind if the spread between fund NAV returns and BKLN returns diverges by >200bp over 30 days.
• Buy downside protection: allocate ~2% notional to 3‑month OTM puts on HYG (or equivalent high‑yield ETF) as a tail hedge, or purchase LCDX protection if institutionally available; increase protection if loan default rate prints >1.0% LTM or volatility (MOVE/ICE indices) rises +20% in 30 days.
• Use share‑class selection as a FX alpha: EUR investors prefer LU2785470191 (EUR Dist) only if EUR/GBP moves >±2% over 30 days; otherwise use GBP‑hedged ISIN to avoid currency noise and preserve credit exposure.
• Monitor regulatory notices and rating agency commentary over the next 30–60 days; if any proposal limits UCITS CLO exposure or changes treatment of reinvestment periods, reduce position to <0.5% immediately.