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Samantha: Insurers are familiar with ABS as they have been common allocations for insurance company portfolios for many years. But what exactly is “esoteric ABS”?
Mike: The ABS subset known as esoteric ABS is very similar to traditional auto and credit card ABS, but the collateral may be less familiar. Most esoteric ABS deals can be divided into three large categories: consumer, commercial, and digital infrastructure (see examples in Figure 1). Esoteric ABS currently offers yields at a premium to traditional ABS (see Figure 2) as well as other assets of similar quality and duration. The asset class features strong liquidity and may improve portfolio diversification, valuable attributes for insurers. While not as well-known as more traditional ABS collateral such as credit card receivables, esoteric collateral has a great deal of information available for analysts to study. Gathering and formatting the data may take additional work but it may be worth the potential reward.
2. What are the diversification and yield/spread benefits that esoteric ABS offers insurers?
Rotation into structured products is a theme that we’ve seen since the pandemic as investors diversify into options that offer structural protections with shorter duration. Esoteric ABS offers investors a similar (or higher) spread level to longer duration investment-grade corporate bonds, but at a fraction of the duration exposure. Rating upgrades are common as many deals amortize over time and build credit enhancement in the process. Not only is esoteric ABS a good diversifier from an investment product perspective, but within the asset class it offers a diverse set of collateral options including prime consumer, subprime consumer, the shipping industry, construction equipment, digital infrastructure and others.
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