September remittance reports showed weaker performance across securitized solar loan pools during the August collection period. Annualized net losses in KBRA’s Solar Loan ABS Index increased 40 basis points (bps) month-over-month (MoM) and 65 bps year-over-year (YoY) to 2.50%, the highest level recorded since July 2020. Meanwhile, early-stage (30-59 days) delinquencies climbed 13 bps MoM and 27 bps YoY to 0.83%, and late-stage delinquencies were up 6 bps MoM and 10 bps YoY, landing at 0.67% for the month. Both delinquency metrics are at their highest levels since index inception.
The rise in annualized net losses and delinquencies was partially caused by index composition shifts and seasoning of younger deals that are entering their higher loss periods. Current index values, as well as MoM and YoY changes, are shown in the following table.
Solar loan prepayment rates fell 41 bps MoM in September, after increasing 50 bps in August. We believe the easing of mortgage rates from their…