"Q: Amy plays
Threaten on Nicole’s Grizzly Bears. In response, Nicole plays
Saving Grace on Grizzly Bears. Amy attacks with
Grizzly Bears, and Nicole lets it through. After damage, Amy plays a
Lightning Bolt targeting Nicole. What happens?
A: After Threaten resolves, the game will check for state-based actions and see that Saving Grace is attached to a creature that Nicole does not control. Accordingly, it will be put into Nicole’s graveyard. After that, the triggered ability from Saving Grace will be put onto the stack . This ability will set up a prevention effect that will deal all damage Nicole and her permanents will suffer this turn to Grizzly Bears instead. During combat, the damage the Grizzly Bears would deal to Nicole is dealt instead to Grizzly Bears, and it dies. Future damage that would be dealt to Nicole and her permanents can no longer be redirected to Grizzly Bears, since the latter is no longer on the battlefield . Accordingly, Lightning Bolt deals 3 damage to Nicole as normal."
It doesn't change the answer, but I'd like to add a slight correction. Saving Grace has an enter the battlefield trigger, so it would trigger and resolve before Threaten does. All that means really is that Saving Grace would still be on the battlefield when the trigger resolves.