The emergence of Sovereign Wealth Funds (SWF) and their investment sparked the debate on whether their capital gain derived from the host countries should be taxed in the area of international taxation. Currently, being considered as government-owned-or controlled-agencies, the SWF has been unilaterally immunized, or reciprocally immunized or treated like a foreign private investor. The proposal is put forth that the EU Interest Rate Directive-based model should be followed to establish worldwide sharing and exchange system of the SWF' tax information to advance the sound and sustainable development of global finance.