Cross-border investments of states have rapidly increased over the last few years and are, more often than not, structured through special purpose investment funds or arrangements, known as sovereign wealth funds (SWFs). The total value of assets under the management of SWFs is currently estimated at USD 7.1 trillion (as at March 2016). In relation to states, their subdivisions and their wholly owned entities, the OECD Commentary mentions the customary international law principle of sovereign immunity. According to this principle, a foreign sovereign state can be held immune from the jurisdiction of the courts of another sovereign state in civil proceedings (jurisdictional immunity), and this principle may also apply to state-owned entities. A number of states, including Australia, Canada, the United Kingdom and the United States, apply the sovereign immunity principle to taxation as well. SWFs might also benefit from these tax immunities. The preferential tax treatment over other (private) investors to which a tax immunity regime potentially gives rise has historically been explained (or justified) by reference to the sovereign immunity principle as a principle of customary international law. However, an examination of the tax immunity regimes and the rules on jurisdictional immunity in all four states strongly suggests that the tax exemptions accorded to foreign sovereigns and SWFs are not (or, at least, are no longer) truly motivated by sovereign immunity. As a result, these states, and other states in which a comparable situation exists, would need to re-evaluate their existing tax immunity framework.