Use

Asset-backed securities (ABS) result from the securitization of receivables, which the creditor (originator) sells in order to create liquidity. The creditor pools the receivables, and sells them to a trust set up for this purpose. The trust refinances the receivables by issuing tradable securities, which are backed by the receivables.

Mortgage-backed securities (MBS) are created in the same way, but the securitized assets are mortgage loans only. All other types of assets can be securitized in asset-backed securities.

Prerequisites

In order to price asset-backed securities and mortgage-backed securities, the system needs a yield curve and the repayment schedules or cash flows of the transaction. You create repayment plans in Treasury Manager in SAP Treasury and Risk Management .

Features

To calculate the key figures for asset-backed securities and mortgage-backed securities, the price calculator uses the methods for bonds with repayment schedules.