OREANDA-NEWS. Fitch Ratings is maintaining Nostrum Mortgages No.2's class A notes (ISIN PTTGUIOM007) - rated 'Asf' - on Rating Watch Evolving (RWE).

The portfolio comprises Portuguese mortgage loans originated and serviced by Caixa Geral de Depositos (CGD, BB-/Stable/B).

KEY RATING DRIVERS
The maintenance of the RWE reflects confirmation from CGD that a liquidity facility will be introduced into the transaction's structure to mitigate payment interruption risk.

Fitch placed Nostrum Mortgages No.2's class A notes on RWE on 3 November 2014, as a result of exposure to payment interruption risk. Fitch considered the funds available in the event of servicer default as inadequate to fully cover senior fees, net swap payments and note interest.

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

Fitch will monitor the progress of the implementation of a liquidity facility and will take rating actions accordingly in the next three months. Failure to implement remedial actions will result in the class A notes being capped at three notches above CGD's rating.

The ratings are also sensitive to changes in Portugal's Country Ceiling (A+) and consequently changes to the highest achievable rating of Portuguese structured finance notes.

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

DATA ADEQUACY
Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.

Fitch did not undertake a review of the information provided about the underlying asset pool ahead of the transaction's initial closing. The subsequent performance of the transaction over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.

Overall Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.

Sources of Information
Correspondence with CGD

MODELS
No models were used in the analysis for this rating action.