Article 189(7) of the Delegated Regulation (EU) 2015/35 refers to investment guarantees provided by a third-party to the policyholders. That provision is not applicable to a situation where an asset invested in by an insurance undertaking provides a guarantee to that undertaking, but not to its policyholders.

Structured notes can have widely different features. For this reason, there is no general answer about their inclusion in the market concentration risk sub-module and counterparty default risk module; the treatment should be determined on a case-by-case basis taking into account the various underlying components of the structured note (e.g. the fixed income part and a series of derivative components) as well as the corresponding capital requirements as stated in Guideline 5 of the Guidelines on the treatment of market and counterparty risk exposures in the standard formula: “Where the asset can be considered as the composite of discrete components, undertakings should where appropriate apply the relevant stresses to each of these components separately."