Preheat the oven to 350°F (180°C/Gas Mark 4).
Place the fillets in a shallow dish. Add the orange juice and oregano and season with salt and pepper.
Put the achiote and vinegar in a small bowl, and stir until dissolved. Pour the mixture over the fish, cover with plastic wrap (clingfilm), and marinate in the refrigerator for 1 hour.
Grease a large ovenproof dish with some of the lard or butter. Remove the fish from the marinade and place the fish opened out in the dish. Spread with the remaining lard, then put the onion, tomatoes, bay leaves, chile, and bell peppers on top.
Wrap the fish with the banana leaf, then cover with aluminum foil and bake in the oven for 25 minutes or until the fish is cooked but not dry.
Serve with plantains, refried beans, and red onion escabeche.