OREANDA-NEWS. Fitch Ratings has affirmed the Tradewynd Re Ltd. Series 2014-1 principal-at-risk, variable rate notes as follows:

--$100,000,000 class 3-A notes expected to mature Jan. 8, 2018 at 'BB-sf'; Outlook Stable;
--$100,000,000 class 1-B notes expected to mature Jan. 8, 2016 at 'Bsf'; Outlook Stable;
--$300,000,000 class 3-B notes expected to mature Jan. 8, 2018 at 'Bsf'; Outlook Stable.

Assuming no triggering events occur between now and Dec. 31, 2015 and investors are repaid in full on Jan. 8, 2016, Fitch expects to mark the class 1-B notes as paid in full on that date.

KEY RATING DRIVERS

The notes are exposed primarily to named storm and earthquake peril losses as reported by various insurance subsidiaries or affiliates of American International Group, Inc. (AIG) (Issuer Default Rating [IDR] 'A-', Outlook Positive). Please refer to Fitch's rating action commentary on Dec. 18, 2014 for further transaction details.

There were no reported Covered Events that exceeded the Initial Attachment Levels of the class 3-A and class 3-B notes within the First Annual Risk Period from Jan. 1, 2015 through Dec. 15, 2015. All interest was paid when due and there was no reduction in the Original Principal Amount. Fitch is not aware of any document amendments.

On Nov. 25, 2015, Risk Management Solutions, Inc. (RMS), acting as the Reset Agent, determined the modeled updated annual attachment probabilities of the class 3-A and class 3-B notes to be 1.60% and 3.67% for the Second Annual Risk Period that commences on Jan. 1, 2016 through Dec. 31, 2016. These probabilities correspond to implied ratings of 'BB-' and 'B', respectively, per the calibration table listed in Fitch's 'Insurance-Linked Securities Methodology.

These probabilities reflect updated property exposure data as of June 30, 2015 and inuring reinsurance as of Sept. 15, 2015, within the Subject Business in the Covered Area using the escrowed RMS model. The Updated Attachment and Exhaustion Levels remain unchanged at $4.5 billion and $5.5 billion for the class 3-A notes and $3.0 billion and $4.5 billion for the class 3-B notes.

The Risk Interest Spreads will increase to 5.31% from the initial 5.0% for the class 3-A notes and to 7.45% from the initial 7.0% for the class 3-B notes, reflecting the increase in the Updated Sensitivity Case Annual Modeled Expected Losses to 1.42% (from 1.25%) for the class 3-A notes and 2.69% (from 2.41%) for the class 3-B notes.

AIG has a Fitch IDR of 'A-' that was placed on Positive Outlook on Sept. 1, 2015. The Reinsurance Trust Account Permitted Investments remain in highly-rated money market funds.

RATING SENSITIVITIES

This rating is sensitive to the occurrence of a qualifying natural catastrophe event(s), AIG's election to reset the note's attachment levels, changes in the data quality, the counterparty rating of AIG and the rating or performance on the assets held in the collateral account.

If a qualifying covered event occurs that results in a loss of principal, Fitch will downgrade the note to reflect an effective default and issue a Recovery Rating.

If the Updated Sensitivity Case Attachment Probability reaches the Maximum Sensitivity Case Attachment Probability of 3.06% for class 3-A and 6.18% for class 3-B, the implied rating on class 3-A would fall to 'B' and class 3-B would fall to 'B-'.

The escrow model may not reflect future enhancements by RMS which may have an adverse or beneficial effect on the implied rating of the notes were such enhancements considered.

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed in relation to this rating action.