Recital 105

(105) It should be ensured that the prudential treatment of investments in securitisation, including simple, transparent and standardised (STS) securitisation, appropriately reflects the actual risks, and that capital requirements associated with such investments be risk-oriented. To that end, the Commission should assess the appropriateness of existing calibrations for investments in securitisation that are set out in the delegated acts adopted pursuant to Directive 2009/138/EC, taking into account available market data, and their consistency with capital requirements that are applicable to investments in other fixed-income securities. On the basis of such an assessment, and where appropriate, the Commission should consider amending the delegated act setting capital requirements applicable to investments in securitisation. Such amendments, which should be risk-based and evidence-based, could include the introduction of a more granular set of risk factors depending on the ranking of the securitisation tranches, or differentiating between different types of non-STS securitisation depending on their risks.

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Source: EUR-Lex (Cellar) · retrieved 2026-10-14 · Text as adopted (Official Journal); later amendments are not incorporated in this text.