Pool Tokens: Stochastic Modeling of the Impact of Pillar Two (OECD) on Tax Engineering and the Valuation of Tokenized Carbon Investments

1.1 Collective Structuring and Pooling of Heterogeneous Quality Carbon Credits

Pool tokens represent a stake in a collective portfolio of carbon credits with heterogeneous characteristics, structured as a mutual fund or a collective investment vehicle. This form of tokenization allows for the pooling of risks specific to each carbon credit and offers increased liquidity compared to individual holdings. The pool is generally constituted according to different logics: by vintage (year of credit issuance), by project type (forestry, renewable energy, direct capture), by geography, or according to predefined quality criteria.

However, the inherent heterogeneity of the quality of the credits grouped in a pool poses a major challenge for the application of the Pillar Two regime. The calculation of the ETR and any exposure to top-up tax must be carried out at the level of the pool holding vehicle, without a mechanism for fiscal differentiation between components of varying quality. The average quality of the pool, measured by aweighted CCQI, then becomes the determining parameter for adjusted tax performance, with significant dilution effects: the inclusion of low-quality credits in a pool dominated by high-quality credits can reduce the average CCQI below the critical threshold of 75, exposing the entire portfolio to disproportionate tax erosion compared to the actual value of the higher-quality credits it contains.

1.2 Challenge of Calculating the Weighted Average CCQI and its Impact on the Effective Tax

Rate Calculating the weighted average CCQI [Climate Credit Quality Index] for a pool token presents a major methodological challenge with direct tax implications. Unlike a directly held portfolio where each credit is identifiable and its CCQI is stably determined, the dynamic composition of the pool introduces a probability distribution around the expected CCQI. This uncertainty propagates into the effective rate calculation model, as the quality premium associated with the CCQI directly influences the portfolio’s base return and, consequently, the margin available to absorb the fiscal shock of the top-up tax.

STEELLDY simulations demonstrate that only pools maintaining an average CCQI above the critical threshold of 75 preserve a positive net return after the application of Pillar Two. For a pool token, this condition translates into the requirement of a stably weighted average CCQI greater than 75, which imposes rigorous selection criteria at entry and continuous monitoring mechanisms for the quality of the held credits. The degradation of the average CCQI below this threshold, for example following the integration of lower quality credits for liquidity or yield reasons, exposes the pool token holder to a double penalty: reduction of the base yield and increased vulnerability to fiscal shock.