European CLO Manager Barometer – October 2026: Market value metrics soften

Deutsche Bank's October 2026 European CLO Manager Barometer tracks credit, market value and structural performance of the European CLO market. Credit metrics edged softer: Moody's WARF improved 12 points MoM to 2,890 while Fitch WARF was unchanged at 25; S&P CCC exposure rose 30bps to 3.6% and Moody's Caa exposure rose 0.1ppt to 6.2%, though the Moody's metric covers only 33% of deals and is skewed toward legacy deals. Market value metrics weakened: secondary loan prices struggled, with the Morningstar ELLI price falling from 96.3 on 22 September to 95.2 by 9 October; the share of assets priced below 90 rose 0.7ppt to 12.3% and below 80 rose 0.4ppt to 5.6%; equity NAVs dropped 7ppt to 28% and BB MVOCs eased to 107%. Structurally, BB OC test breaches fell to five from seven and single-B breaches to 17 from 18, with no BBB breaches, while median junior OC ratios and cushions held at 110% and 4.4%. The sample covers 679 deals across 71 managers.