KBRA’s Solar Loan ABS Index posted solid credit performance in May, with annualized net losses and early-stage delinquencies (30-59 days) posting their largest month-over-month (MoM) declines since early to mid-2023, while prepayment rates climbed for the fifth consecutive month. Current index values as well as MoM and year-over-year (YoY) changes are shown in the table below.
Although there was a slight rise in late-stage delinquencies, the decline in net losses and early-stage delinquency rates was broad based across issuers and vintages. Meanwhile, solar loan prepayment speeds increased for the fifth consecutive month. We believe higher YoY tax refunds and income tax credit (ITC) prepayments are contributing. We are also seeing a rise in residential mortgage prepayment speeds across each of our four RMBS indices (see our May RMBS Credit Indices), indicating increased refinancing activity, as mortgage interest…