EBU Single Rulebook Q&A 31 October 2013 2013_464 Standardised Method

If the derivative exposure is guaranteed, can the weight be determined based on guarantor’s rating instead of counterparty’s rating, i.e. do we use the counterparty’s credit rating or the guarantor’s rating? Illustrative example: Credit institution ‘A’ trades with the fully owned subsidiary of credit institution ‘B’.