房屋抵押貸款為國內銀行的主要授信放款資產，為加強金融機構資金的流動性，讓資金能從不動產抵押貸款當中釋放出來，避免因為以短支長的資金錯配風險，房屋抵押債權的證券化（RMBS）便成為近年來的一項重要金融工具。
但金融機構從事房屋抵押貸款業務時會面臨違約及房貸特別重要的提前還款風險。借款人的這兩種行均會會對房貸的現金流量產生不確定風險，對金融機構的資產負債管理產生相當大的影響。尤其是在房屋抵押貸款的證券化推動上，違約率與提前還款率就都是證券價格的關鍵因子。多數金融機構對本身房貸資產品質與違約率都已能掌握數字，但對提前還款若不是尚未著力研究，就是如研究違約率一樣的將重心尚僅擺在對借款人特徵、借款人行為、房屋擔保品型態和放款契約條件等變數的探討上，對於發行房貸證券化時的提前還款速率究竟應如何套用？多少數字才算合理？並未有深入認知。大概就是有證券化計劃的金融機構才會對提前還款與證券化的評價關係有較深入探究。
本文參照PSA標準，固定提前還款率的模型方式，經由實際收集的資料對A、B兩家不同背景特性但均具一定房貸資產規模的銀行進行提前還款率進行研究。實證結果依固定線性斜率來判斷每月分別依3%或2%速度遞增，並在20個月後提前還款速率即會趨緩穩定下來。年化後的提前還款速度約在34%和21%CPR。這樣的提前還款率與目前市場上房貸證券化商品評價普遍採取的15%~30%CPR大約在可接受範圍內。比較證券化前後的差別，雖在不同的提前還款率條件下，獲得的結論是A銀行資金報酬率由6.46%上升到13.49%，B銀行的資金報酬率自9.04%上升到19.37%，本研究證明證券化可以促進A、B兩銀行的財務效益。
在RMBS評價上發現，影響價格的最重要因素還是在於放款本利能否順利回收，即授信的品質良窳。發行的證券化商品要能夠具備價格吸引力，達到創始機構與投資人雙贏目的，關鍵即在於金融機構必須有充足的優良放款提供證券化，才不致於證券化後，銀行留下來的反而都是不良資產，不但信用暴險增加，承擔風險的資本需求也相對增加，不但未受其利還深受其害；而投資人購買的證券價格和現金流量也都無法有所保障。
希望本文的研究內容除提供提前還款對房屋抵押貸款證券化的影響之基本認識外，也能讓準備參與證券化的創始機構對在台灣發行房貸證券可行性有進一步信心。

Mortgage loans are a major part of the credit portfolios of domestic banks in Taiwan. To enhance asset liquidity, release funds from real estate mortgage loans, and reduce asset liability mismatch, Residential Mortgage Backed Securities (RMBS) have become an important tool in the financial markets in recent years.

Banks engaging in mortgage loan business face default risk and prepayment risk, the latter being particularly important in mortgage loans. These two kinds of behavior on the part of borrowers result in uncertainty of cash flows and have significant impact on the asset/liability management of banks. In the process of securitization for the mortgage loans, both default rates and prepayment rates are the key factors in the valuation of the securities. Most banks in Taiwan have able to grasp the asset quality and default rates of their mortgage loans. With respect to prepayment, however, banks are either in the early stage of their studies, or merely focus on such variables as borrowers’ characteristics, borrowers’ behavior, types of pledged houses and loan agreement terms, in very much the same way as their studies on default rate. There is no insight into the application and reasonableness of prepayment rates in issuing RMBS securities. Regarding the rationality of the prepayment speed applied was actually neglected. Only banks intending to issue RMBS securities are inclined to dedicate themselves to the study of the relationship between prepayment rates and valuation of securities.

This article studies the prepayment rates of two banks (Bank A and Bank B) with certain mortgage loan size but different profile, based on the PSA Prepayment Model. The empirical date, show that the prepayment rate increases respectively at 3% and 2% each month on a constant linear slope, to an annualized rate of 34% and 21% CPR, and becomes stable after twenty months. Such annualized prepayment rates, compare with the market norm of 15% - 30% CPR for the valuation of securitized residential mortgage products, are within an acceptable range. Even under different prepayment rates, a comparison of the differences before and after securitization leads to the conclusion that the return for Bank A increases from 6.46% to 13.49% and for Bank B from 9.04% to 19.37%. This study proves that securitization can enhance the financial benefit for both banks.

Discovered in the RMBS valuation stage, the most important attribute affecting the price of security is the smooth repayment of the loan principal and interest namely the quality of loans pooled as underlying assets for securitization. To issue securities with attractive pricing and achieve the win-win relationship between the originators and investors, the key lies in the banks’ holding sufficient quality loans for securitization. Otherwise the banks would end up with poor assets which not only increase their credit exposure but also the need for additional capital to support the risks. Protection for the investors would also be adversely affected.

It is hoped that this paper will provide a basic understanding of how prepayment affects residential mortgage loan securitization and will add to the confidence of the banks preparing to participate in the RMBS market in Taiwan.

一、 中文部份
1. 王濟川、郭志剛（2003），Logistic 迴歸模型方法與運用，五南文化事業。
2. 李俊民（2006），「不動產抵押貸款證券化之評價－以中國信託商業銀行特殊目的信託抵押貸款受益證券為例」，世新大學碩士論文。
3. 陳文達、廖咸興、李阿乙（2004），資產證券化理論與實務，智勝文化事業。
4. 陳建智，「金融資產證券化財務報導之探討」，證券櫃檯102期。
5. 郭姿伶（1999），「住宅貸款之提前還款與逾期還款」，國立中正大學財務金融所碩士論文。
6. 楊慧凌（2004），「台灣金融資產證券化市場之研究－應用蒙地卡羅模擬法」，世新大學碩士論文。
7. 劉展宏、張金鶚（2001），「購屋貸款提前還款行為之研究」，住宅學報，10(1)，29-49。
8. 張偉智（2004），「住宅抵押貸款提前還款與違約風險動態條件機率分析」，國立政治大學財務管理研究所碩士論文。
9. 傅清萍（2003），「金融資產證券化之實務操作」，JCIC-R&D-092-002委託研究報告。
10. 謝劍平（2004），固定收益證券投資與創新，智勝文化事業。
11. 謝文倩（2003），「不動產證券化之研究」，國立台灣大學財金研究所EMBA碩士論文。
二、 英文部份
1. Ambrose, B.L. and A.B Sanders, 2001, Commercial Mortgage Securities: Prepayment and Default, unpublished paper
2. Anderson, R. and J. VanderHoff, 1998, Mortgage Default Rates and Borrower Race, Journal of real Estate Research, Vol. 18, No2, pp279-289
3. Chau, K.W., F. Pretorius and W.M. So, 2000, Factors Affecting Mortgage Prepayment in Hong Kong, pacific Rim Real Estate society Conference 2000
4. David J. Pearl, 2001, Comment: Secondary and Primary Mortgage Market Interactions, Journal of Real Estate Finance and Economics, 23:3, 375-378, 2001
5. David Montano and workgroup, The JPMorgan Prepayment Model：“It’s All About Economics”; Mortgage Research J.P. Morgan Securities Inc. New York, April 2003
6. Deng, Y.H., J.M.Quinley and R. Van Order, 2000, Mortgage Terminations, Heterogeneity and the exercise of Mortgage Option, Econometrica Vol.68, No2, pp.275-307.
7. Eduardo S. Schwartz, Walter N. Torous, 1992, Prepayment, default, and the Valuation of Mortgage Pass-through Securities, Journal of Business, 1992, vol. 65, no.2
8. James A. Berkovec, David J. Kogut, Frank E. Nothaft, 2001, Determinants of the ARM Share of FHA and Conventional Lending, Journal of Real Estste Finance and Economics, 22:1, 23-41, 2001
9. Michael Lacour-Little, 1999, Another look at the role of borrower characteristics in prediction mortgage prepayment.
10. Peter M. Zorn and Michael Lea, 1989
11. Philips, Roseenblantt and Vanderhoff, 1996
12. Richard Anderson and James Vanderhoff, 1996, Mortgage default rates and borrower race.
13. Statement on Subprime Mortgage Lending, 2007, issued by Office of the comptroller of the Currency, Treasury (OCC); Board of Governors of the Federal Reserve System (Board); Federal Deposit Insurance corporation (FDIC); Office of Thrift Supervision, Treasury (OTS); and National credit Union Administration (NCUA) (collectively, the Agencies).
14. Wayne R. Archer, David C. Ling and Gary A. McGill, 2000
15. K.W Chau, F. Pretorius and W.M. So, 2000