Net Asset Value(s)

Alpha UCITS - Fair Oaks AAA CLO Fund published NAVs dated 06/01/2026 for two share classes: the UCITS ETF GBP Hedged Acc. (ISIN LU2825557270) with NAV GBP 10.4997 and 101,822.00 shares outstanding, and the UCITS ETF EUR Dist. (ISIN LU2785470191) with NAV EUR 1,015.92 and 28,127.00 shares outstanding. Total net assets for the sub-fund are EUR 130,617,145.39; the vehicle is a sub-fund of Alpha UCITS SICAV. This is a routine NAV disclosure for a CLO-focused UCITS offering, relevant for position valuation and cash management but unlikely to move broader markets.

Analysis

Market structure: The fund is a small (EUR130.6m) UCITS vehicle holding AAA CLO tranches (ISINs LU2785470191 EUR Dist, LU2825557270 GBP‑hedged). Winners are senior CLO investors and managers capturing spread pick‑up vs. core IG; losers are long-duration IG and sovereign holders if risk premia reprice higher because AAA CLOs reprice ahead on credit stress. GBP‑hedged share class signals demand from GBP allocators but adds hedging cost friction that can create intra-fund arbitrage opportunities of 20–75bps depending on short-term FX moves.

Risk assessment: Tail risks include regulatory action on CLO structures, a 100–200bp wholesale spread shock, or concentrated redemptions forcing fire sales given modest AUM — each could materially damage NAV in days. Near term (days–weeks) watch liquidity metrics and weekly NAV/flow prints; medium term (3–6 months) monitor iTraxx Main moves and ECB guidance; long term (12+ months) depends on default cycle and manager reinvestment performance. Hidden dependencies: manager hedging, repo funding, and tranche waterfall sequencing can produce non‑linear losses not visible in headline NAV.

Trade implications: Tactical: establish a 2–3% portfolio long in the EUR dist share (LU2785470191) for a 3–12 month carry trade if AAA spread to swaps >75bps and liquidity remains stable; hedge rate sensitivity by shorting LQD sized to DV01 for 3–6 months. Protective: buy 1–2% notional iTraxx Europe Main 5Y protection (6–12m) if spreads widen >50bps; reduce long-duration IG corporates by 5–10% and reallocate 2–5% into securitized credit. Entry within 2 weeks, take profits or re‑assess at 3 months or if spreads compress >25bps.

Contrarian angles: Consensus may underprice small‑fund liquidity and waterfall complexity — EUR130m is too small to assume tight liquidity under stress, so don’t treat NAV as cash. The GBP‑hedged class can be mispriced when hedging costs spike; tradeable arbitrage: long EUR class + short GBP‑hedged if hedging cost >50bps persist. Historical parallels (CLO repricings in stress episodes) suggest downside can be clustered and rapid; therefore, maintain protective CDS or options sizing of 1–2% AUM.

Key Decisions for Investors

• Establish a 2–3% portfolio long position in ALPHA UCITS‑FAIR OAKS AAA CLO FUND EUR Dist (ISIN LU2785470191) for a 3–12 month horizon if AAA spreads over swaps are ≥75bps, target IRR uplift vs IG corporates; size to risk budget and cap max loss at 3% of portfolio.
• Hedge rate exposure by shorting LQD (iShares iBoxx $ IG) sized to match DV01 for 3–6 months when initiating the long CLO position; unwind when CLO vs IG spread compression >25bps or after 3 months.
• Buy 1–2% notional protection via iTraxx Europe Main 5Y (6–12 month) if index spreads widen >50bps from current levels, or immediately allocate 0.5% as baseline tail insurance given small AUM and waterfall risk.
• Reduce long-duration investment-grade corporate exposure by 5–10% and reallocate 2–5% into securitized credit/CLO senior tranches (via LU2785470191 or similar) within 2 weeks, reassess at the 3‑month mark.
• Arbitrage: if hedging costs for GBP vs EUR class exceed 50bps persistently, implement long EUR class (LU2785470191) and short GBP‑hedged class (LU2825557270) sized to neutralize credit exposure and capture hedging premium; close when premium <25bps.