March remittance reports showed a further normalization in credit performance across securitized solar loan pools during the February collection period. KBRA’s Solar Loan Index posted its third consecutive month-over-month (MoM) increase in annualized net losses (ANL), rising 40 basis points (bps) versus the previous month and 96 bps year-over-year (YoY) to 1.91% (see Figure 1). Meanwhile, early-stage delinquencies (30-59 days) ticked up 3 bps MoM and 12 bps YoY to 0.53%, and late-stage delinquencies (60-119) fell 1 bp MoM but climbed 18 bps YoY to 0.56% (see Figure 2). Looking at the index performance by year, we observe that ANLs are trending below historical levels, while early- and late-stage delinquencies currently are above historical values on a seasonally adjusted basis (see Figures 4-6).
Prepayment speeds (CPR) in KBRA’s Solar Loan Index climbed 31 bps MoM but fell 585 bps YoY to 5.32% (see Figure 3 and Figure 7). The MoM upswing follows a 24-month declining trend,…