KBRA’s U.S. Solar Loan ABS Index displayed improved credit performance this month, with lower annualized net losses and delinquency rates. The annualized net loss rate fell 38 basis points (bps) month-over-month (MoM), landing at 4.1%, while early- (30-59 days) and late-stage (60+ days) delinquency rates declined 4 bps and 2 bps MoM, respectively. As shown in Figures 1 and 2, net losses and delinquencies have begun trending downward in recent months, supported by the seasoning of the index collateral, with the weighted average loan age of constituents now exceeding four years and the youngest deal having surpassed 12 months of seasoning.
Losses and delinquencies remain elevated on a year-over-year (YoY) basis, with net losses up 142 bps and both delinquency metrics also deteriorated. Although some moderation has occurred in recent months, credit metrics are expected to remain elevated relative to historical levels in the near term.
Current index values, as well as MoM…
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