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

1.1 Replicating Carbon Price Exposure Without Physical Holding of Credits

Synthetic tokens offer exposure to carbon credit prices without requiring the physical holding of the underlying credits, by using derivative mechanisms such as futures contracts, total return swaps, or price oracles that replicate the performance of a carbon market benchmark index. This structure offers advantages in operational efficiency and cost, by eliminating the need for physical custody, verification, and management of real carbon credits. Synthetic tokens can be structured to replicate exposure to broad indices (ICE EUA, voluntary carbon credit composite indices), or to target specific market segments.

However, the synthetic nature of these tokens introduces significant counterparty and basis risks. The holder of a synthetic token depends on the ability of the issuer or the derivative mechanism to honor its performance replication promise, which creates exposure to the issuer’s credit risk. Furthermore, the gap between replicated performance and that of the underlying market (tracking error) can deteriorate under market stress conditions. For tax analysis, the absence of physical holding complicates the determination of the exact legal nature of the token and its appropriate tax classification, paving the way for reclassification uncertainties.

1.2 Uncertain Regulatory Classification: Derivative Instrument versus Digital Asset

The uncertainty regarding the regulatory classification of synthetic tokens—as a financial derivative instrument or a digital asset—is the main obstacle to their integration into institutional portfolios and the determination of their tax treatment. Are they financial instruments under MiFID II, digital assets falling under the MiCA regulation, or OTC derivative contracts subject to EMIR regulation? This triple potential for qualification creates a zone of legal and tax uncertainty that is particularly problematic in the context of Pillar Two.

If synthetic tokens are classified as financial instruments, their accounting and tax treatment follows established rules, with capital gains and income taxed according to known procedures. If they are considered digital assets, their tax regime remains partially undetermined under French law, particularly concerning the determination of the place of taxation and the qualification of income. If they fall under OTC derivative contracts, specific rules for reporting, clearing, and margin apply, with potential implications for their holding cost and return. Stochastic modeling must incorporate a requalification scenario with a probability assigned based on the analysis of regulatory trends observed in France and at the European level.

1.3 Risk of Tax Reclassification and Impact on Effective Tax Rate Calculation

The risk of tax reclassification of synthetic tokens represents an additional source of volatility in modeling the GloBE effective tax rate. A reclassification of a synthetic token as a financial instrument, or vice versa as a digital asset, can substantially alter the holding entity’s GloBE income and the composition of its Covered Taxes. For example, if a synthetic token initially qualified as a digital asset is reclassified as a derivative contract, the income it generates may shift from the capital gains category of fixed assets to that of ordinary business income, with potential consequences for the effective tax rate.

A reclassification as a derivative financial instrument could lead to the application of flat-rate tax regimes or reduced rates applicable to gains on certain products, mechanically lowering the ETR and increasing exposure to top-up tax. Conversely, reclassification as an intangible asset could open access to tax credits for research and development or investment incentives in green technologies, elements that would be deducted from Covered Taxes and potentially keep the ETR above the 15% threshold. The institutional investor must incorporate this reclassification risk into its stress scenarios, modeling the impact of a change in classification on the effective rate of its holding vehicles and, by extension, on the net profitability of its exposure to synthetic tokens.