This paper intends to respond to the following questions: is there scope for a market of project bonds in Europe, and what should be the regulatory requirements for this market? We found that in spite of the efforts of the European Commission, it appears that most European Institutional Investors are reluctant to bear construction risk in project finance transactions. On the other hand, it seems that mainstream investors will be increasingly keen to invest in project bonds once project finance transactions are in the operating phase and generating cash-flow. Consequently, a European project bond market appears to be an effective instrument for the supplementation and encouragement of infrastructure financing, opening the door for Institutional Investors from emerging countries, for example Latin America, and potentially showcasing the European capital markets as an attractive proposition/alternative for investment. The work shows that reserve requirements in long term investments for Institutional Investors, according to the new regulation Solvency II and Basel III, are lower when the credit rating reaches A- instead of BBB+. This means that projects would be required to be rated with the minimum threshold A-. This conclusion is a key driver for future bond issues to attract new Institutional Investors in capital markets, demanding a regulatory effort under Solvency II to introduce a better economic capital requirement for infrastructure bonds. In this economic and capital markets environment, International Financial Institutions (IFIs) play an important role providing credit enhancement of bonds to reach the A- rating required by investors and also providing liquidity acting as “market makers” or anchor investors.