依據商業周刊統計資料得知，全台有3,797 家中小企業因購買TRF 受到嚴重的財務損失，由此數 據可知，TRF 似乎不是個案問題，而是個結構性問題。台灣於2009 年亦曾發生大規模的結構債交易 爭議，當時金融監管當局制訂了一系列的交易規範，如今TRF 又重創台灣中小企業，可見當時制定的 交易規範尚有不足之處。本文將基於嚴謹財務工程理論，分析探討TRF 的設計原理、交易的合理性、 定價分析與風險分析，使投資人、銀行與主管機關透過本文能更深入的了解TRF 契約，並探討TRF 交易爭議之原因，最後提出相關建言，希冀對台灣金融業未來發展衍生性商品交易能有實際幫助。 ;According to the Business Weekly magazine (2016/08), there are 3,797 small and medium enterprises in Taiwan suffering from serious financial losses due to the trading of TRF contracts. Based on this data, it seems that the controversy of trading TRFs is not an individual-case but a structural problem. In 2009, a great controversy of trading structured notes had occurred in Taiwan, and the financial supervisory authority made some trading standards. However, in 2015 the TRF contracts hurt the small and medium enterprises in Taiwan again, which shows that there still exist some problems of the trading of derivative securities in the financial market in Taiwan. To solve these problems, this paper, based on the rigorous theory of financial engineering, will examine the design principles of the TRF contracts, the rationality of transaction, pricing analysis and risk analysis for the investors, banks and the financial supervisory authority to help them understand the TRF more deeply and find the causes of the TRF controversy. Finally, the conclusion and some suggestions will be presented and it is hoped that the study can help the development the financial industry in Taiwan.
