EIOPA advises to set up a new asset class for high-quality infrastructure investments under Solvency II

Frankfurt, 29 September 2015 - The European Insurance and Occupational Pensions Authority (EIOPA) published today its Advice to the European Commission on the identification and calibration of infrastructure investments risk categories.

EIOPA has suggested a more granular approach by advising to create a separate asset class under Solvency II standard formula for investments in infrastructure projects. This new asset class seeks to capture high quality infrastructure, whilst recognising the complex and heterogeneous nature of such investments.

The proposed approach meaningfully reduces risk charges for qualifying infrastructure project investments in equity and debt. At the same time EIOPA proposes robust risk management requirements including active monitoring of exposures to infrastructure projects as well as sound stress testing of their cash flows.

Gabriel Bernardino, Chairman of EIOPA, said: “EIOPA has made remarkable progress in proposing a new asset class and a prudentially sound regulatory treatment within a very short timeframe. Investments in infrastructure could be very important for the insurance business because, due to their long-term nature, they may be a good fit to match long-term liabilities while also increasing portfolio diversification. However, infrastructure projects can be very complex and require specific risk management expertise.