Wish to check that for loan with guarantee, if can take the guarantor’s creditworthiness in the standard model calculation, instead of the borrower. The said corporate loan is guaranteed by a guarantor through an irrevocable and unconditional guarantee that meet the Article 215. The guarantee is documented in a legally enforceable Letter of Guarantee to ensure that in the event of default of the borrower, the guarantor will have to bear all the debt repayment obligation of the borrower. Failure of guarantor to meet this obligation could result in lenders taking legal action against the guarantor (not the borrower) and claim the assets from guarantor directly. The investment is made fully based on the creditworthiness of the guarantor, not the borrower. The guarantor has a credit rating, and its credit assessment is performed by a nominated ECAI like Moody’s, S&P and/or Fitch.

This question has been rejected because the question is not sufficiently clear. Based on the regulation reference, we assume that the question refers to the consideration of guarantees in the spread risk sub-module of the standard formula. The question cannot be answered as it lacks the indication of the nature of the guarantor; Article 215 of the Delegated Regulation 35/2015 states that in the calculation of the Basic Solvency Capital Requirement, guarantees shall only be recognised where explicitly referred to in Chapter V and where they meet the requirements of Articles 209, 210 and 215. Guarantees are explicitly referred to in the spread risk sub-module with respect to a limited subset of guarantors (see for instance Article 180(2) and (3b)) .