The history of financial asset securitization is based in North America. Due to its benefits for financial institutions, the development of financial asset securitization has soared during the past few decades. In Taiwan, it wasn’t until 2002 that financial asset securitization had the opportunity to develop under the newly passed Financial Assets Securitization Law. However, pricing is not easy on account of the volatility and uncertainty of cash flow. Moreover, there’s no government agency to provide a guarantee for securitized products, so it’s necessary to construct a model that reflects the development in Taiwan. This study combines the prepayment model, default model and the interest rate model to discuss the impact of defaults on the loan portfolio and to find out the interaction between different mechanisms of credit enhancement. So, possibly thesis can provide a reference for the issuance of securitization in Taiwan.