Abstract: Taking letter of guarantee payable to attach assets as an example, the paper analyzes the pricing issues of short-term asset-backed securities. The paper suggests all the cash flows of letter of guarantee and payable be made as the underlying assets and risk factors be changed into the impairment factors of the value of securities through the analysis of its major risk exposures. This paper constructs a pricing model of payment guarantee securitization according to the no arbitrage principle. This model not only well describes the characteristics of guarantee payment security, but also need s no reliance on the reference price or risk rate. Using the model of CIR and Monte Carlo simulation, the simulation case of the pricing results is within the acceptable range.