Skattemæssig kvalifikation og behandling af REPO og aktielån: Herunder prissætning

Nils Panum Thisted

Student thesis: Master thesis


This master thesis assesses the taxation and pricing methods of two financial instruments; repurchase agreements (“repos”) and stock lending. The two instruments are somehow alike as the underlying assets (typically exchange traded bonds or shares) are transferred to the other party during the term of the agreement. The first part of the master thesis analyses how the pricing of the two instruments is carried out and which factors influence the price. It is found that the underlying asset is of utmost importance, while the negotiation on the price consists of negotiating the haircut and the repo-rate (stock lending fee). The haircut can be viewed as an overcollateralisation, meaning that the value of the collateral has to be greater than the value of the primary asset of the agreement. The repos are priced as a loan of money where the interest rate is paid only once at the end of the term. Stock lending is priced quite similarly to repos; however, the loan is of shares, not money. The second part assesses how the two instruments are qualified in accordance with Danish tax law. It is found that the Danish National Tax Tribunal qualifies repos as a normal loan with securities as collateral. However, it is argued that the proper way to consider a repo agreement in tax matters may as well be as two separate transactions; a spot sale and a forward contract. Stock lending is regarded as a loan of shares by the Danish National Tax Tribunal, and hence only one transaction. Taking into account that there is only one transfer of money in a stock lending (the fee for lending), the tax qualification made by the Danish National Tax Tribunal is presumed to be correct. Finally, on grounds of the likely implementation of a financial transaction tax in parts of the EU, an impact assessment of the repo- and stock lending markets is presented. The proposal for the implementation of a financial transaction tax has not yet been approved; however, the European-Commission expects the proposal to enter into force on 1 January 2014. The impact assessment reveals that the market for short-term repos in the participating member states is highly likely to be replaced by non-taxable transactions.

EducationsMSc in Commercial Law, (Graduate Programme) Final Thesis
Publication date2013
Number of pages83