February remittance reports showed higher annualized net losses but lower delinquency and prepayment rates across securitized solar loan pools during the January collection period. Annualized net losses were up 13 basis points (bps) month-over-month (MoM) and 51 bps year-over-year (YoY), landing at 2.02% (see Figure 1), while both early- (30-59 days) and late-stage (60-119 days) delinquencies improved MoM. Early-stage delinquencies fell 2 bps MoM but increased 9 bps YoY to 0.58%, while late-stage delinquencies declined 4 bps MoM but climbed 4 bps YoY, coming in at 0.61% (see Figure 2). Meanwhile, prepayment speeds continued their downward trend, falling 24 bps MoM and 53 bps YoY to 4.61% (see Figure 3).
Given a prolonged period of low prepayment rates, securitizations with negative excess spread are susceptible to increased credit risk. Solar loans amortize over a longer term, and with slower prepayments, the amount of negative excess spread accumulates higher. This contributes to a…