OREANDA-NEWS. Fitch Ratings has maintained Douro Mortgages No. 5's class A notes' (ISIN PTSSCEOM0000) 'Asf' rating on Rating Watch Negative (RWN).

The transaction comprises loans originated and serviced by Banco BPI (BB+/Negative/B).

KEY RATING DRIVERS
Payment Interruption Risk
The maintained RWN reflects Fitch's understanding that the issuer is actively looking to implement remedial actions to address the payment interruption risk.

Fitch placed the notes on RWN on 3 November 2014 because the transaction has no sufficient mechanism to mitigate servicer disruption in the event of Banco BPI's default. At the time, Fitch assessed the liquidity available in the transaction to fully cover senior fees and note interest and found the funds available in the structure insufficient to ensure two interest payments on the notes should Banco BPI default.

Upon receipt of final proposal of the remedial actions the issuer intends to take, Fitch will review these structural features. The agency aims to resolve the RWN in the next three months.

RATING SENSITIVITIES
Deterioration in asset performance may result from economic factors. A corresponding increase in new defaults and associated pressure on excess spread and the reserve fund beyond Fitch's assumptions could result in negative rating action.