本研究計算提前清償率 conditional prepayment rates 以下簡稱CPR 與美國 FHFA 發表的 CPR 比較，本研究不論是以借款期間或初貸年計算 CPR結果均優於美國。本研究經實證分析結果顯示，以同期時間比較 2020 年 4 月至 2020 年 10 月美國 FHFA 發表的 CPR 介於25%~37%，本研究 CPR 則介於 5.66%~ 17.55%，本研究 CPR 明顯比美國低許多且走勢平穩；另再依據抵押貸款初貸年比較，初貸年 2014 年至 2020 年美國 FHFA 發表的 CPR 均大於 29% ，本研究 CPR 則介於 0%~22.98%，美國 CPR 仍比本研究高出許多。綜合歸納，在這後疫情時代，不論是依據借款期間或初貸年計算，本研究與美國 FHFA 報告揭露之 CPR 相比，本研究 CPR 低許多且走勢平穩，起伏不大，反而 FHFA 發表的 CPR 有向上增加的趨勢。此結果顯示本研究樣本對於未來不動產抵押債權證券化的評價更具有競爭力。研究結果可提供金融機構未來訂定不動產抵押債權證券化合理的發行價格做為參考依據，亦可作為投資者的投資策略考量。

This study calculates the conditional prepayment rates, hereinafter referred to as CPR. Comparing with the CPR published by FHFA in the United States, the results of this study are better than those in the United States regardless of whether it is calculated during the borrowing period or the initial loan year. The empirical analysis results of this study show that the CPR published by the FHFA in the United States from April 2020 to October 2020 is between 25% and 37%, and the CPR in this study is between 5.66% and 17.55%. The CPR in this study is obviously much lower than the United States and the trend is stable. In addition, based on the comparison of the initial mortgage years of mortgage loans, the CPR published by the FHFA in the United States from 2014 to 2020 is greater than 29%, and the CPR in this study is between 0% and 22.98%. The CPR in the United States is still much higher than this study. In summary, in this post-epidemic era, whether it is calculated based on the borrowing period or the initial loan year, compared with the CPR disclosed in the FHFA report in the United States, the CPR in this study is much lower and the trend is stable, with little fluctuations. Instead, the CPR published by the FHFA. There is an upward trend. This result shows that the sample of this research is more competitive for the evaluation of future real estate mortgage credit securitization. The research results can provide financial institutions as a reference basis for determining a reasonable issuance price for securitization of real estate mortgage creditor's rights in the future, and can also be used as an investment strategy consideration for investors.

1.緒論..................................1
1.1研究背景..............................2
1.2研究動機及目的........................2
1.3研究方法..............................2
1.4研究流程..............................3
2.文獻探討...............................4
2.1國外提前清償率之探討...................4
2.2國內提前清償率之探討...................5
3.研究方法...............................7
3.1提前清償模型的種類.....................7
3.2靜態提前清償模型.......................8
3.3動態提前清償模型......................14
3.4選擇合適的提前清償模型.......... ......17
4.實證結果...............................18
4.1研究資料與區間.................. .....18
4.2以SMM與CPR法計算提前清償率....... .....21
4.3實證結果與美國提前清償率之比較..... ....26
5.結論與建議.............................31
參考文獻.................................33

中文部分
1.何棟欽 (2006)，「MBS的評價：OAS模擬與實證分析」，中央銀行公務出國報告。
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4.曾文輝 (2004)，「我國指數型房貸抵押債權證券評價與利率敏感度分析」，碩士論文，新竹:國立交通大學財務金融研究所。
5.劉展宏與張金鶚 (1999)，「一般購屋貸款與首次購屋貸款提前清償之比較研究」，中華民國住宅學會第八屆年會論文集。
6.劉展宏與張金鶚 (2001)，「購屋貸款提前清償行為之研究」，《住宅學報》，10卷1期 ，P29 – 49。
 
英文部分
1.FHFA (2020), Prepayment Monitoring Report Fourth Quarter 2020, Federal Housing Finance Agency P.6-8.
2.Arden R. Hall , (1985), “Valuing the Mortgage Borrower‘s Prepayment Option,” Journal of the American Real Estate and Urban Economics, Vol.13 ,No.3 , pp.229-247.
3.Curley, A. J. & Guttentag, J.M.,(1974),“The Yield on Insured Residential Mortgages,” Explorations in Economic Research , PP.114-161.
4.Dickinson, A. and Heuson, A. J.,(1994),“Mortgage Prepayments : Past and Present”, Journal of Real Estate Literature, 2:11-33.
5.Fabozzi, F. J. and Mann, S, V, (2005), The Handbook of Fixed Income Securities, 7th ed. McGraw-Hill Book Company.
6.Green, Jerry and John B. Shoven, (1986), “The Effects of Interest Rates on Mortgage Prepayments,” The Journal of Money, Credit, and Banking, Vol.1, No.1,PP.41-59.