升值共享抵押貸款(Shared Appreciation Mortgage，SAM)是一項在長期加速的通貨膨脹與升高的市場利率為背景下，所發展出的創新金融商品。SAM允許借款者以低於市場利率之貸款利率取得借款，前提為借款者必須犧牲部份日後房屋升值的利益予貸款者。鑒於英國於1996~1998年間，資訊不對稱下導致SAM契約的運作結果失敗，本文欲利用SAM基本性質，以過去文獻之訂價研究為基礎，針對SAM契約重新拆解為兩部份進行評價，有助於解釋SAM市場資訊不足之處。首部份為傳統信用貸款，給定變數假設與限制，進而建立貸款契約相關因子模型；次部分為利用二元樹法，並加入道德風險影響因子，以求取提前清償與違約情況發生時，貸款契約價值。再者，我們將通貨膨脹率、市場利率等總經變數納入上述基礎模型之中，觀察總經變數對於SAM之契約價值、契約到期期限、每月攤還金額、共享比率等等組成要素的影響。

Shared appreciation mortgage(SAM) is an innovative financial products under the background of a long-term acceleration in inflation and higher market interest rates. The originator of SAM lends the house owner at a below-market mortgage rate in order to obtain a certain percentage of the appraised value on the collateralized property. In view of the failure of SAM development under asymmetric information in United Kingdom during 1996 to 1998, this article intends to use the basic nature of SAM, based on the past literature about pricing model, to distribute the SAM contract into two parts, which can help explain the inadequacy of market information. First part is Credit Facility, given the variable assumptions and limitations, which goal is establishing a loan covenants related factor model. The second part is the use of binomial tree method and adding of other effective factor like moral hazard, in order to obtain the value of early exercise, default and the loan covenant. Furthermore, we will include inflation rate, market interest rate among the above basic model, then we will make an analysis of the impact of these macroeconomic variables for the contract value of SAM, the expiration date of SAM, the payment of each month and the ratio of shared appreciation.

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