Monthly Overview
KBRA’s Solar Loan ABS Index’s credit performance showed meaningful deterioration in December, with all major credit metrics—annualized net losses (ANL) as well as early-stage (30-59 days) and late-stage (60-120 days) delinquencies—increasing to levels not seen since index inception. The solar loan sector has faced credit headwinds for some time, largely due to financial strain within the solar industry and broader macroeconomic challenges. However, the magnitude of this month’s credit deterioration was intensified by a one-time change to the calculation of delinquency age implemented by the successor servicer to the recently bankrupt Sunnova, whose securitizations account for roughly 25% of our index.
The successor servicer has adopted account aging practices more in line with industry standards, now recognizing charge-offs and delinquencies without applying a grace period for obligors. Previously, Sunnova’s convention was to recognize delinquencies and charge-offs only…