本文主要探討不動產抵押貸款證券化商品 (mortgage-backed securities, MBS) 提前還款因子分析，藉由 2015 年至 2019 年間所發行的 Agency MBS 利用多元式迴歸分析及逐步迴歸分析，探討影響提前還款的主要因子，以投資者而言，MBS 商品的特性為借款人的提前還款行為，造成每期現金流的不確定性，使其投資價值不容易被準確評估。研究結果顯示借款金額因子 (loan size)、利率誘因及借款成數因子 (LTV) 對於提前還款率具有顯著性，亦發現當利率環境波動大時，例如快速降息，或是政府執行政策干預市場時，投資人利用簡單模型(如:PSA model、CPR model) 很難正確評估 MBS 投資價值。本文貢獻有助於投資人投資 MBS 時的價值及提前還款速度預估的判斷，隨我國投資人持有 MBS 部位日益增加，提供投資組合管理人投資決策參考，可以多元投資這三個因子的樣態，分散提前還款風險。

In this article, we focus on MBS (mortgage-backed-securities) prepayment factor analysis. Via using multiple regression and stepwise regression on AGENCY MBS issued between 2015 and 2019, the results show that loan size, loan to value and interest rate incentive are the vital factors in the action of prepayment. For investors, the risk of MBS being “prepaid”, makes the cash flow unpredictable and the price hard to estimate. In addition, we find out when market rate drops rapidly or government implements Large-Scale Asset Purchases, the traditional prepayment models such as PSA Model and CPR Model become difficult to measure prepayment speed and the value of MBS. The purpose of this paper is to help investors make investment decision precisely. Portfolio managers can diversify these factors to lower the prepayment risk in their investment of MBS.

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