The European Commission is interested in finding ways to get the insurance industry to invest more capital into infrastructure projects.

In order to be able to reduce the capital requirements for infrastructure projects in the Solvency II framework a new investment class was proposed by the EIOPA called “Qualifying infrastructure investment”.

These so called qualifying infrastructure investments are investments in infrastructure projects with certain preferable risk characteristics. The precise definition of this type of investment can be found in Article 164a of the delegated regulation. In short, to be defined as a Qualifying infrastructure investment a number of criteria has to be satisfied, including:

  • Survival under sustained severely stressed conditions
  • Predictable cash flows
  • Robust contractual framework

There are two types of investment that are considered; equity and debt. For equities, a new class of equity called “Qualifying infrastructure equities” is created. The stress calculation for this class is placed as a sub-module of the equity risk sub-module in Solvency II, together with type 1 and type 2 equities. The stress calculation for debt investments are handled under the bonds and loans sub-module of the spread risk sub-module in Solvency II. Note that the specifications for the debt type of investment has not yet made it to the delegated regulation. We use the EIOPA final report on infrastructure investment risk categories as a source for the calculations pertaining to it.


To calculate the impact on the equity risk sub-module the assumption is made that qualifying infrastructure equities are correlated to type 1 equities by 75%, and to type 2 equities by 100%.

That is:

$$ SCR_{equity} = \sqrt{SCR_{type1}^2+0.75\cdot SCR_{type1}(SCR_{type2}+SCR_{quinf}) + (SCR_{type2}+SCR_{quinf})^2} $$

Where \(SCR_{quinf}\) is the SCR for the qualified infrastructure equity.

To calculate $SCR_{qre}$, the type of investment is basically divided into two categories. In the special case that the investment is considered an investment of a strategic nature it shall be calculated as the loss of basic own funds following an instant decrease of 22% in the value of the equity. Otherwise an instant decrease of 30% is used, as well as 77% of the symmetric adjustment calculated continuously by the EIOPA.


The capital requirement for debt investments of qualifying infrastructure investments is calculated within the table below. It will, for each bond or loan, be equal to the loss of basic own funds following an instant decrease of a percentage, given as a function of the duration and credit quality step.