Rosberg does not have a simple contractual relationship with the Mercedes F1 team – affectionately known as the “Silver Arrows” to fans – the Süddeutsche Zeitung reports.
Instead, Mercedes has a contract with an offshore firm which itself has the right to control Rosberg's driving services.
That's where the estimated €50 million over three years that Rosberg receives for his talent is paid.
None of those involved were prepared to explain the bizarre arrangement to the newspaper.
Rosberg's lawyer claimed that the deal was designed to limit risks under “liability law” and offer the driver the freedom to “act internationally”.
There was no question that the structure was designed to help Rosberg evade tax, the lawyer said.
Meanwhile, Daimler said that its compliance system had found nothing remarkable about the arrangement.
Rosberg is one of the highest-profile sportspeople to be named in the Panama Papers leak along with Barcelona football star Lionel Messi, who is accused of using a web of offshore firms – including one named “Mega Star Enterprises” – to dodge tax.
A member of the Fifa ethics commission and the world football body's new president also face difficult questions over their relationship to Mossack Fonseca, the Panamanian law firm at the heart of the leaks.