Transparency and Accountability of Failed Exchanges Act This bill establishes specific audit requirements, and rescinds funds, for certain states that are awarded grants to establish health insurance exchanges under the Patient Protection and Affordable Care Act (PPACA). Specifically, states that are awarded grants to establish an exchange, but that subsequently terminate the exchange or transfer operations to another entity, must conduct an audit of how grant funds were used and return any acquired property and unobligated funds to the federal government, in accordance with specified requirements. Such states must also refer matters involving fraud, waste, and abuse of PPACA funds to the Department of Justice.