// definition
ABS
Asset-backed security
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Short definition
A security whose payments depend primarily on cash flows from a pool of claims, such as mortgages, car loans or consumer credit. Securitisation finances the pool through securities whose tranches have different payment priorities and loss exposure. Risk transfer depends on the structure and on which tranches are sold or retained. Retaining an ABS and pledging it as collateral does not itself transfer that risk to an outside investor.
risk atlas
Knowledge map
Intuition
Financing a pool of claims and transferring its risk require separate assessments.
Related analyses
Primary sources
- ECB, Tracing European structured finance counterparty networksOccasional Paper 199, Box 1, p. 7: cash flows, tranches and mortgage or other claims.
- ECB Banking Supervision, Securitisations: meeting significant risk transfer criteriaRetained tranches, remaining risk and significant risk transfer criteria.
- Guideline ECB/2026/27Article 1(3): retained ABS and the senior tranche’s weighted average life; tables 2a and 3b.