KBRA’s Solar Loan ABS Index logged 5-basis point (bp) and 1-bp month-over-month (MoM) improvements in annualized net losses and late-stage (60-120 days) delinquencies, respectively, but both net loss and delinquency metrics were up year-over-year (YoY) and remain near the high end of historical levels (see Figures 5-7). In addition, prepayment and recovery rates were down 31 bps and 288 bps YoY, respectively. Current index values, as well as MoM and YoY changes, are shown in the following table.
With existing home sales down 5.4% in June—the period that aligns with July remittance data—solar loan prepayment speeds fell 96 bps MoM, roughly consistent with the MoM change in KBRA’s prime and non-prime RMBS indices (see U.S. RMBS Credit Indices: July 2024). Given that home sales and refinancings are likely the largest drivers of solar prepayments other than investment tax credits, we…