Case Study

MBIA/Manufactured Housing Exposure

CLIENT: MBIA/Manufactured Housing Exposure

Gordian Group advised MBIA with respect to its significant portfolio of manufactured housing-backed securitizations, including creating detailed waterfall models to analyze prospective credit impairments, monitoring portfolio performance, developing remediation strategies, and advising MBIA in its negotiations with the beneficiary of the secondary wrap.

Business Profiles

Situation

Our client insured approximately $900 million in aggregate principal amount of manufactured housing ABS certificates under a secondary wrap with a large investor. Its exposure comprised more than 30 certificates across more than 20 asset pools, and included a mix of senior and mezzanine instruments.

Engagement

Gordian Group developed detailed models of projected policy draws for each certificate covered by this secondary wrap under a variety of economic scenarios and policy-specific factors, to negotiate with counterparties, and to explore loss mitigation strategies to minimize the client’s exposure.

Outcome

Gordian Group built more than 20 models to estimate losses to the insurer and performed ongoing portfolio monitoring through continued modeling of securitizations. Gordian Group assisted with negotiating a favorable interpretation of the insurance policy, resulting in substantial savings to the client. One-third of its expected loss was mitigated.