In its most recent report, JPMorgan Securities analysts tried to understand the behavior of borrowers in what they defined to be the Alt-B sector.
The firm defined Alt-B as those loans having 620 to 680 FICO scores. In the report, analysts made several conclusions. The first was that modestly seasoned Alt-B collateral have a flatter S-curve compared to Alt-A (680 to 720 FICO scores) and prime (720 plus FICO scores) collateral. Aside from this, the aging ramps are faster for Alt-B collateral, especially when out-of-the-money or deeply in-the-money. The cumulative losses for Alt-B can be two to three times more than Alt-A, JPMorgan said.