本研究首先針對風險偏好不同的投資者，運用資產群組本身信用增強的方法，將證券區分為三組不同信用評等的債券：優先順位（A級債券）、次順位債券（B級債券）、C notes（C級債券）。證券化過程中，當三個月的平均超額利差為負時將啟動本金提前攤提機制，且攤提的順位為A級債券、B級債券、C notes。針對C notes另增設了準備帳戶（reserve account, RA），用來保護C notes擔保信用能力的惡化，亦可以減緩本金提前攤提時，對C notes損失產生的衝擊。此外，利率建構方式可依市場利率變動作動態調整，使其利率資料符合市場走勢；並以現金流量折現方式觀察統合信託（master trust）下控制累積還本及定額還本二種不同還本方式的證券價格變化。最後，再設立不同的參數，針對每月支付率、年違約率、每月購買率進行情境分析，進而找出導致本金提前攤提的觸動點，探討RA能減緩C notes損失的衝擊程度。

　　The purpose of this thesis is to initially discuss the Credit Enhancement Mechanism of credit card. Besides, the introduction of the C notes structure and reserve account is also included. The reserve account is designed to protect the C notes against loss in the underlying collateral performance. By using the selected interest rate model, the value of C notes is priced under two different amortization schedules, including bullet-payment and controlled-amortization structure. This study further examines the mechanism of an early amortization trigger and also its impact on the valuation of C notes. When the three-month average excess spread falls below zero, an early amortization is triggered to the securities, which sequentially paying Class A principle, Class B principle, and C notes principle. More importantly, a sensitivity analysis is conducted to investigate the changes in the value of C notes as monthly payment rates, default rates, and monthly purchase rates are allowed to vary. To the end, to the extent the level of loss recovery of the reserve account to cover C notes loss is also investigated when an early amortization has already in place.

一、中文文獻：

郭怡伶（2003），「信用卡債權證券評價與分析」，國立交通大學管理科學研究所碩士論文。

王嘉瑋（2003），「信用卡應收帳款證劵化之評價與分析」，東吳大學會計研究所碩士論文。

孫志誠（2004），「本金提早攤提對現金卡債權證券之影響」，國立清華大學科技管理研究所碩士班。

林文祥（2004），「信用卡應收債權證券化－國內業務研究與探討」，輔仁大學金融研究所碩士論文。

二、英文文獻：

Bhattacharya, A. K. and F. J. Fabozzi.（1996）, Asset-backed securities, Frank J. Fabozzi Associates, Pennsylvania.

Dean, M. R. and M. Murphy.（2001）, Abcs of credit card abs, Fitch, IBCA.

Fabozzi, F. J.（1997）, The Handbook of fixed income securities, Irwin, Chicago.

Henderson, J., and J. P. Scott.（1988）, Securitization, Woodhead-Faulkner Limited.
Hayre, L.（2001）, Mortgage-backed and asset-backed securities, John Wiley & Sons, Inc.

Morris, D. M.（1990）, Asset securitization, Executives Enterprises, New York.