不動產逆向抵押貸款與清償選擇權評價？Reverse Mortgage and Prepayment Option Valuation

不動產逆向抵押貸款(reverse mortgage, RM)制度已引起各個國家重視並陸續推廣，文獻上對此之研究較多聚焦於貸款年金之評價，惟其評價內容多建構在「貸款契約未發生提前清 償」的假設下為之。然而，各國實務上的RM契約並未禁止借方提前清償，此隱含了RM契約附加一清償選擇權予借款人。值此，本研究綜合考量利率、房價與死力等變動因素，來評價 此一清償選擇權(prepayment option)。經數值模擬結果發現該清償選擇權的價值佔整體RM金額的比率為3.79%，該選擇權的價值反映了RM借方彈性處理房產的權益價值，同時也是RM貸方應重視之契約被提前終止風險成本。

關鍵詞：不動產逆向抵押貸款、清償選擇權、年金

The real estate reverse mortgage (RM) system has been highly valued and widely accepted. However, while the valuation of the loanable annuity of RM has been previously discussed, the content of the valuations has mostly been established under the assumption of “no occurrence of prepayment of the loan contract”. In reality, RM contracts in many countries do not prohibit the prepayment by the borrower, which thus implies that the lenders of the RM contract present a free prepayment option to borrowers. Therefore, in this study, variables such as the interest rate, housing price, and the force of mortality have comprehensively been taken into account to assess the prepayment option. The numerical simulation results show that the value of this prepayment option accounts for 3.79 percent of the total RM amount, which reflects the value of the rights and interests of the RM borrower’s flexibility in dealing with the property, in addition to the risk cost of early termination of the contract, which may be of concern to RM lenders.

Key words: reverse mortgage, prepayment option, annuity