OREANDA-NEWS. Fitch Ratings has affirmed Acorn Re Ltd. Series 2015-1 (a duly formed special purpose insurer vehicle in Bermuda) principal at-risk variable rate notes as follows:

--$300,000,000 2015-1 Class A principal at-risk variable rate notes; with an expected maturity of July 17, 2018 at 'BBsf'; Outlook Stable

This affirmation is based on Fitch's annual surveillance review of the notes that includes an evaluation of the natural catastrophe risk, counterparty exposure, collateral assets and structural performance. Fitch continues to believe the natural catastrophe risk is the weakest link in this transaction.

KEY RATING DRIVERS

The Series 2015-1 notes provide reinsurance protection to Hannover Rueck SE ('A+' Issuer Default Rating/Outlook Stable). The notes are exposed to earthquakes for an area that includes the U. S. states of California, Oregon, Washington, Idaho, Utah, Nevada and Arizona; the British Columbia province of Canada, and the states of Baja California, Baja California Sur and Sonora of Mexico. Hannover Rueck SE also established a similar reinsurance agreement with Oak Tree Assurance, Ltd. (not rated by Fitch) a wholly owned subsidiary of Kaiser Foundation Health Plan, Inc. (IFS rated 'A+'/Outlook Stable).

The trigger is per occurrence based on a parametric 'cat-in-a-box' structure utilizing up to 430 predetermined Earthquake Box Locations which are each a square box of size one degree by one degree on the Earth's surface. The area that comprises the group of Earthquake Box Locations is delineated by latitudes 26 and 54 and longitudes -132 and -110.

The cumulative attachment probability over a three-year risk period was initially estimated at 2.89% by RMS. This indicates an implied rating of 'BB' using the calibration matrix in Fitch's "Insurance-Linked Securities Methodology," with a three-year time-to-risk maturity assumption (the crossover point between 'BB' and 'BB-' is 3.012%). The cumulative modeled expected loss was 2.21%.

To date, there have been no reported Covered Events within the three-year Risk Period that extends from July 11, 2015 through July 10, 2018.

Fitch believes the notes and indirect counterparties are performing as required. There have been no reported early redemption notices or events of default, and all agents remain in place.

Additional information regarding the note can be found in the prior press releases dated July 13, 2015 (2015-1 Class A) and available at www. fitchratings. com.

RATING SENSITIVITIES

This rating is sensitive to the occurrence of Covered Event(s), the counterparty risk of Hannover Rueck SE, the ratings of the assets held in the Retrocession Trust Account or a potential Model Reset Event.

In the case of a triggering Covered Event, Fitch will downgrade the notes reflecting an effective loss of principal and impairment of the notes, and issue a Recovery Rating.

To a lesser extent, the notes may be downgraded if Hannover Rueck SE is significantly downgraded or fails to perform its obligations under the Retrocession Agreement to Acorn Re Ltd.

Likewise, the ratings on the notes may be affected if the International Bank for Reconstruction Development (IBRD) notes should suffer a serious downgrade, or the terms of the IBRD notes are altered or if the subsequent assets held in the Retrocession Trust Account perform significantly worse than expectations for high-quality, short-term investments.

A Model Reset Event may occur if RMS makes an updated version of its North America Earthquake Models available for commercial use prior to the commencement of any Accrual Period. Fitch believes RMS intends to update its model in 2017 (although it is not certain). Under this reset event, RMS would calculate an Updated Expected Loss, which has no specified range or limits, and an Updated Interest Spread for the notes. This model risk may have an adverse or beneficial effect on the rating of the notes.