Transitioning from C-ROSS I to C-ROSS II

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Pillars of C-ROSS insurer solvency regulatory framework

Pillar 1
Quantitative regulatory requirements
Pillar 1: Quantitative regulatory requirements
  • Insurance risk
  • Market risk
  • Credit risk

Pillar 2
Qualitative regulatory requirements
Pillar 2: Qualitative regulatory requirements
  • Operational risk
  • Strategic risk
  • Reputational risk
  • Liquidity risk

Pillar 3
Market Discipline Mechanism
Pillar 3: Market Discipline Mechanism
  • Public information disclosure on solvency
  • Two-way communication between the regulator and market stakeholders
  • Ratings issued by credit rating agencies
Selected additions and modifications under C-ROSS II
Morbidity trend risk
C-ROSS IIintroduces morbidity trend risk to reasonably reflect the deteriorating trend of critical illness insurance products
“Look-through” approach
C-ROSS IIintroduces a “look-through” approach to discourage the use of funds in complex structured products and enhance transparency
New interest rate risk assessment
The interest rate risk assessment under C-ROSS IIwill adopt the 60-day moving average yield curve of Treasury bonds

Source: Swiss Re Institute