January remittance reports showed a notable deterioration in credit performance across securitized solar loan pools during the December 2022 collection period. Annualized net losses (ANL) in KBRA's Solar Loan Index came in at 1.4%, rising 21 basis points (bps) month-over-month (MoM) and 73 bps versus year-ago levels (see Figure 1). The upswing was significantly driven by higher charge-offs in a handful of late 2020 and early 2021 vintage securitizations. Meanwhile, early- (30-59 days) and late-stage (60-119 days) delinquency rates edged higher for the second straight month, climbing 9 bps MoM and 24 bps YoY in early-stage delinquencies and 6 bps MoM and 12 bps YoY in late-stage delinquencies (see Figure 2).
On a seasonal basis, although early- and late-stage delinquency rates are trending at or above pre-pandemic levels, ANLs remained in line with historical values, trending closely with 2019 levels (see Figures 4-6). Solar loan conditional prepayment rates (CPR) continued their…