不動產抵押貸款債權作為擔何發行債券，基本上有固定利率與浮動利率抵押貸款兩種結構。在美國以固定利率抵抽貸款較為常見，國內則由於代不動產抵押貸款次級市場，金融機構過去多只作浮動利率抵押貸款，將利率變動風險移轉給借款人承擔，但最近則開始有少數金融機構開始固定利率承貸。與美相較，臺灣由於國情、貸款特徵的差異，會造成與國外不同的提前還款水度與風險，進而影響貸款契約價值。因此本文對國內住宅押權證券化之浮動(ARM)與固定利率(FRM)抵押貸款作比較與探討。另外由於不動產抵押貸款證券隱含著提前清償選擇權的價值，借款人會依下一期所有可能出的價值來判斷是否要執行此選擇權，故本文使用Luenberger(1998)所提的leveling法，採後推運算方式作為簡點間的傳遞，比過採用方法更能清楚地表弄出下一期所有可能會發生的價值。研究結果發現，當均數回歸的調整速率愈大時，表示短期利率偏離長期水準時被拉回的力道就愈大，對FRM的價值有正向關係，但對ARM貨的的就幾乎沒有顯著的改變。而FRM價值會隨著利率波動性增大而下降。然而，對ARM的價值而言，由於每期契約利率是依實際的市場利率變動來調整，所以受到率波動性的影響不像FRM來得明顯。在相同的利差水準下，當利差較果愈大時，表示借款人對利率敏感度愈高，愈有可能會發生提前清償，所以，FRM貨和利差效果有反向關係，但對ARM價值下降幅度並非很明顯。

The interest rate structure for mortgage-backed securities (MBS) includes both adjusted rate (ARM) and fixed rate mortgage (FRM). Because of no secondary mortgage market in Taiwan, mortgages are always financed by adjusted rates for domestic banks in order to lower their interest rate risk. However, products of fixed rate mortgage are showing up due to market competition. Compared with the US MBS value. Therefore, this study investigates and compares the ARM and FRM for Taiwan mortgage market. We use leveling method proposed by Luenberger (1998) and backward induction, which can predict the MBS value more accurately. Our results suggest that when the higher then mean-reverting parameter emerges, interest results suggest that when the higher the mean-reverting parameter emerges, interest rate volatility has positive effect on the FRM value but no significant effect on the ARM. Increase of interest vate volatility will lower the value of the FRM, but has no significant effect on the ARM value. When interest spread increases, which suggests higher prepayment possibility, it has negative effect on the FRM value, but does not significantly affect the ARM value.