目標可贖回遠期外匯(Target Redemption Forward)簡稱TRF，一個曾經令投資者相當喜愛的產品，幾乎每個月獲利且贖回，讓投資者有持續而且穩定的收入。但就在2015年8月8號中國政府啟動了人民幣匯改，一夕之間匯率反轉。原本固定收益的產品反而成為投資者的揮不去的夢魘，更甚者公司倒閉，投資人流離失所。 TRF影響之深，並非單純是一個數字問題。TRF造成的影響，除了投資者資金本身的虧損，因為槓桿效應導致損失無法計算。銀行業者因為TRF的業務被禁止，造成銀行端TMU(Treasury Marking Unit)的收入大減，縮減裁員時有所聞。代表政府的金管會交付評議中心則焦頭爛額的處理申訴案件，不只衍生出一個不當銷售、投資人金融常識不足的問題，也存在著企業倒閉，員工頓時少了依靠的經濟與社會的問題。 本論文將以事發原由、實際案例、訪談、政府監管的角度下去做探討，同時分析該產品的優劣，因為有需求才會有創造。 選擇權交易對進出口商實有必要之產品，不能因為TRF的風暴因噎廢食，如何讓投資者獲利或避險、銀行業者能有穩定入、金融單位可以強力監管之下，使這類的產品發揮最大的效益。 / Target Redemption Forward (TRF) was once popular among investors since it provided stable monthly income to investors. However in 2015/8/8 the Chinese government triggered a new currency policy that sent the CNY exchange rate plummeting overnight. A product that once provided a stable revenue stream became a nightmare for investors as some lost their homes while companies were driven out of business. The damage goes beyond conventional investment losses. TRF was a financial leverage tool with a potential to bring forth huge losses far beyond the initial principal investment. Banks were also affected as TRF products were subsequently banned by the government and resulted in huge revenue loss for their Treasury Marketing Units (TMU) that led to layoffs and reorgs. The Financial Ombudsman Institution received and processed numerous appeals on behalf of the government and acknowledged that the event was triggered by a combination of unethical and improper selling tactics coupled with a lack of financial knowledge on the investor's side, which in the end drove companies out of business and people losing jobs, evolving into a general economic and social problem. This essay will cover the root cause of the event, stories and interviews with affected individuals, a perspective from governmental supervision principles and an analysis on the product itself, since a demand is always behind a creation. Although the TRF incident was a major blow, option trading is critical to importing and exporting businesses and cannot be ignored. The challenge would lay on how to ensure an effective supervising policy from governmental agencies and foster a healthy relationship allowing both investors and banks to profit, thus maximizing benefit to all parties.

為配合投資者的需求結構型商品日新月異其條款越來越複雜，結構型商品大致可分三類：股權、利率、信用。本文針對利率連動式債券做說明，先以最簡單的商品入門，再引導讀者進入較複雜的條款—提前贖回條款，以瞭解評價過程。 本文採用Lognormal Forward-LIBOR model（LFM）利率模型，進行利率連動式債券進行相關的評價，由於可贖回的商品沒有封閉解，故利用數值方法來求得近似解，為了使誤差極小化，採用Lonstaff and Schwartz(2001)提出了最小平方蒙地卡羅法(Least-Square Monte Carlo)，來處理具有可贖回特性的商品評價。 此外，避險參數的部分，為了讓讀者對避險參數可迅速反應，本文均假設利率、波動度整條曲線上下同幅平移。 關鍵字：利率連動債券、最小平方蒙地卡羅、可贖回

本文採用市場利率模型中的Lognormal Forward LIBOR Model（LFM)，針對附有可贖回條款並具有界限選擇權性質的利率連動債券進行相關的評價與避險分析，由於此商品的計息方式為觀察每日利率的型態，過去通常直接使用內插法將每天的利率求出，本文則使用由Brigo and Mercurio(2001)所提出的Drift Interpolation進行每日利率的模擬，並據此計算出每天的固定期間交換利率；而在處理可贖回式商品的部份，由於此商品內含界限選擇權具有路徑相依的性質，因此不具有封閉解，一般較常使用蒙地卡羅法進行模擬，然而蒙地卡羅法不易處理可贖回式商品的評價，所以本文使用由Longstaff and Schwartz(2001)所提出的最小平方蒙地卡羅法，來解決同時具有可贖回與路徑相依特性商品評價的問題並進行實證分析與探討。

本文採用Lognormal Forward LIBOR Model (LFM) 利率模型，針對可贖回利差型結構債券進行相關的評價與避險分析。所選取的評價商品為勞埃德 TSB 銀行所發行的「五年期雙區間鎖定可贖回債券」，模型參數部分利用市場上既有的資料來進行校準，使模型表現其能更貼近市場利率的走勢，評價過程採用蒙地卡羅模擬來得到未來的現金流量，並搭配Longstaff and Schwartz(2001)所提出的最小平方蒙地卡羅來處理同時具有可贖回與路徑相依的特性。 最後的評價結果可以發現，考慮發行商的贖回權下，一元美元本金的商品價值只有0.81241美元，不考慮贖回權下價值為1.1195美元，可見發行商的贖回權非常不利於投資人。而模擬結果也顯示發行商將在前幾期即進行贖回，並不會讓投資人持有到到期日。因此投資人面對眾多的金融商品時，要以符合個人需求下去做出選擇。 / This article presents an analytical valuation of “5 Years USD Callable Dual Range Lock Down Steepner Note”, a callable spread note, issued by Lloyds TSB bank under the Lognormal Forward LIBOR (LFM). Parameters of the model are calibrated by using existing data, making sure of the model performance to fit market interest rates well. The main method to get the future cash flows is the use of Monte Carlo simulations, and adapting the least squares Monte Carlo simulations proposed by Longstaff and Schwartz (2001) to deal with features of callable and path- dependence. Consider the call right of the issuer, the results present that the price per 1 dollar principal is only 0.93154 dollar and 1.15109 dollar without the call right. In summary, the call right of issuer deeply damage investors’ returns. The simulated result also show that issuer will redeem the product in early quarters so that investors loss much future interest. Therefore, investors must make a choice to fit his own needs when facing many financial products.

2014年保險法第146條之4修正，增列保險業依保險法規定投資於國內證券市場上市或上櫃買賣之外幣計價股權或債券憑證之投資金額，可不計入其國外投資限額。本研究探討台灣壽險業投資外幣計價國際債券不納入國外投資限額對於台幣公債市場籌資之影響，並分析壽險業投資國際債券之贖回風險。 主要研究結果發現：(1)開放投資國際債券後，壽險業資金運用增加國外投資，但減持公債及國庫券。依據統計分析，顯示壽險業資金運用於國外投資佔比大幅增加時，除專案運用及公共投資外，其餘項目之佔比皆減少。其中台灣公債及國庫券佔比與國外投資佔比呈高度負相關。(2)壽險業對公債需求程度影響國庫籌資之成本，需求程度越低，國庫長天期籌資成本越高。透過複迴歸模型分析發現，壽險持券比(即壽險業持有公債餘額佔公債未償還餘額比例)越低，30年期公債殖利率越高。 透過本文模型，投資國際債券時，應考量可贖回國際債券相對公債之加碼、閉鎖期、國際債券再度發行之可能性與未來市場利率可能走低之幅度。以投資30年期債券為例，當可贖回國際債券相對公債之加碼減少，閉鎖期縮短，利率走跌幅度增加時，贖回風險將增加。因可贖回國際債券之高利率僅為收益率錯覺，利率走低時之贖回風險將抵銷此高利率。依據2014年至2016年債券市場資訊，本文模型評估投資人提前贖回風險為52.45bps。 / The 2014 amendment of Article 146-4 of Insurance Act extending the overseas investment ceiling to the value for foreign currency denominated listed or over-the-counter certificates of domestic stocks or bonds that are invested in by insurance enterprises in accordance with provisions of Insurance Act. This paper investigates the impact of funding in Taiwan government bond market under the overseas investment ceiling with the exclusion of international bonds investment in Taiwan life insurance industry, and analyzes the call risk of international bonds. The main results show that: (1)After the 2014 amendment of Article 146-4 of Insurance Act, foreign investments are increasing, while government bonds holdings are decreasing in investment portfolio of life insurance industry. Based on statistical analysis, as the ratio of foreign investments surging, only the ratio of authorized projects or public investment is increasing, others are falling. Especially, the ratio of government bonds and that of foreign investment are strongly negative correlation. (2) Demand of government bond of life insurance industry has impact on the funding cost of Taiwan government. The lower the demand, the higher the funding cost. Through multiple regression model, the result shows, the lower the bond holding ratio of life insurance industry, the higher the yield of Taiwan 30-year government bonds. According to the model in this paper, spread between callable international bond and government bond, lock-up period, the probability of re-issuance in international bond market, and the downtrend of interest rate should be all considered when investing in international bonds. The high yield of callable international bond is yield illusion to investors,since is largely offset by call risk. According to the model with bond market data between 2014 to 2016, the assessment of call risk is 52.45bps.

本研究以「我國司法判決之敘事分析初探―目標可贖回遠期契約(TRF)爭議為例」，聚焦於法庭活動之司法敘事，透過對民事判決書之文本分析，探討原告及被告如何就爭議事件進行對己有利之敘事策略與方式，以及法官如何於判決書中就其認定之法律事實與因果推論撰寫判決。 本研究發現，基於「舉證責任分配原則」及「訴訟書狀撰寫規定」，原告、被告及法官之司法敘事應可區分為「故事」及「論述」二者。其中常見「夾敘夾議」文體，係為認定「法律事實」所作之論述，但常忽略提出具有連貫性且符合邏輯推論之法律事實。 而當法律爭訟發生時，雙方當事人需將自己認定之事實分以「故事」及「論述」讓法官有興趣聽、聽得懂並相信所說為實，如此才能贏得訴訟。因而「敘事」對當事人之攻防與判決書的事實建構益顯重要，司法敘事策略與方式及其意義與價值於焉產生。 / The purpose of this study is to conduct an exploratory analysis on the narratives in Taiwan’s judicial judgments by using examples of dispute cases on Target Redemption Forwards (TRF). Analyses are conducted on texts of civil judgments in order to understand how plaintiffs and defendants respectively develop their strategies and methodologies of narratives for winning cases, and how judges narrate the legal facts that they affirm as causes and consequences in their verdicts. It was discovered in the study that, based on the "principles of distribution of the burden of proof" and the "regulations on the drafting of litigation pleadings," judicial narratives made by plaintiffs, defendants and judges can be classified into two parts, namely "story" and "discourse." A frequently used form of writing, "narration interspersed with comments," is normally made for the purpose to affirm "legal facts." When a legal dispute takes place, the parties concerned are required to provide narratives (stories and discourses) in the court, including interpretation of the facts that they affirm by using relevant evidences. In order to win the case, however, the narrator must ensure that such narratives are interesting, understandable and persuasive to the judges. "Narratives," therefore, play important roles for constructing the facts by the two parties and for preparing the court verdicts. The strategies and methodologies used for judicial narratives are then of significant meanings and values.