给牛牛打气 --- MBS市场估计已经见底

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虽然房市还未见底，可是根据下面的计算，MBS市场估计已经见底了。要是这样，银行就不需要write-off了。

 

Warren Buffett说全美一共有11T mortgage

http://money.cnn.com/2008/04/11/news/newsmakers/varchaver_buffett.fortune/index.htm

 

按照6% 30 year fixed mortgage rate，以及 5% discount rate计算，这11T mortgage的current value是

 

11T * (1 + (0.06 – 0.05))^30 = 14.8T

 

按照300K房价中位数计算，一共有11T/300K = 37M homeowners

 

Moody估计有9M homeowners的住房已经跌破欠款总额。

http://money.cnn.com/2008/04/14/real_estate/housing_crisis.ap/index.htm?postversion=2008041411

 

最坏情况下这9M homeowner都foreclosure，而且银行一分钱都拿不回来，那么这 14.8T还剩下

 

14.8T * (1 – 9 / 37) = 11.2T

 

拿这个数字和11T比较，

 

11.2T/11T = 1.02 > 1

 

也就是说MBS仍未跌破面值。Apollo/TPG/Blackstone用90c买 $1，还是赚了的。有消息说此前这些paper以80c在市场上换手，也就是说MBS市场已经低于真实价值了。今后将会有write up。

 

不过需要注意的是，银行只在出季报的时候mark to market，而自上个ER season以来，MBS市场仍然下跌不少，因此这次ER season仍有可能看到大规模write-down。

 

另外再引一句话，ARM已经开始下降了。

http://money.cnn.com/2008/04/14/real_estate/housing_crisis.ap/index.htm?postversion=2008041411

 

(The survey shows that) One in 10 have adjustable rate mortgages, half of the number who said so two years ago.

[ 本帖最后由 还在发呆 于 2008-4-14 14:58 编辑 ]

balto

看不懂也顶偶的好兄弟。

CoolMax

按房价中位数计算，不对吧？

按均价算还差不多。

calm

If housing market is not bottomed out, there will sure be more write-off.

还在发呆

原帖由 balto 于 2008-4-14 15:17 发表 看不懂也顶偶的好兄弟。

 

蒙狼兄错爱，不甚那个啥啥之至。 

还在发呆

原帖由 CoolMax 于 2008-4-14 15:23 发表 按房价中位数计算，不对吧？按均价算还差不多。

 

均价估计也是300K左右。谁有数据可以重算一下，看看结果是不是有很大出入。

还在发呆

原帖由 calm 于 2008-4-14 15:37 发表 If housing market is not bottomed out, there will sure be more write-off.

 

i think the key argument here is whether the "more write-off" is tradable catalyst for stock market. if the "more write-off" is just marginal, as shown in the calculation, then my suggestion is to withdraw from the bet. just my 2c.

Brainteaser

usami

不太懂怎么算的。。但是这个bank 这1Q没有write off 恐怕很难哦。。2q也不好说。。估计下半年好点。。。

calm

More write-off means Alt-A could be triggered. A bigger mess ahead for banks. Wait for mortgage reset in May and June.

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8#

 

承蒙错爱，不甚那个啥啥之至again

 

9#

 

我不是写了吗

不过需要注意的是，银行只在出季报的时候mark to market，而自上个ER season以来，MBS市场仍然下跌不少，因此这次ER season仍有可能看到大规模write-down。

看贴不认真

 

10#

 

The fact is, though arguable, current MBS market has priced in that more than 1/4 (9/37 is rough 1/4) of American homeowners might be foreclosed and the bank cannot get even a penny from them. For sure there will be more blood if the so-called Alt-A is powerful enough to push this up to 1/3 or even 1/2. But what if it cannot? I would say 1/4 is a very aggressive number already.

xiaobailong

原帖由 还在发呆 于 2008-4-14 14:56 发表 

Moody估计有9M homeowners的住房已经跌破欠款总额。

这个是现在的情况，如果房价再跌１０％呢？这个数字会上升多少？

还在发呆

原帖由 xiaobailong 于 2008-4-14 18:58 发表 这个是现在的情况，如果房价再跌１０％呢？这个数字会上升多少？

 

这个我还真的不知道。找到一张图大家可以看看。因为最后这段房价上涨非常陡峭，可以看出来房价从05年水平下跌30%以内，这个homeowner数字都不应该有很大改变。

katharinezl

why 5% discount rate?

calm

The problem is a lot of mortgages were generated during the last few years housing bubble period, and the most problematic loans were probably generated in that period too, so another 10-15% housing price fall could dramatically increase foreclsosure rate, and increase the difficulty of banks selling these foreclosed homes.

原帖由 还在发呆 于 2008-4-14 19:11 发表 这个我还真的不知道。找到一张图大家可以看看。因为最后这段房价上涨非常陡峭，可以看出来房价从05年水平下跌30%以内，这个homeowner数字都不应该有很大改变。

CoolMax

原帖由 还在发呆 于 2008-4-14 11:46 发表   均价估计也是300K左右。谁有数据可以重算一下，看看结果是不是有很大出入。

 

全国中位价应该在200K左右。

但均价会高很多。

newtrader1234

原帖由 还在发呆 于 2008-4-14 14:56 发表 虽然房市还未见底，可是根据下面的计算，MBS市场估计已经见底了。要是这样，银行就不需要write-off了。   Warren Buffett说全美一共有11T mortgage http://money.cnn.com/2008/04/11/news/newsmakers/varc ...

这14T，按你的算法，使30年后的future value. 那几家30年，才赚10%？没人干吧。

cliffwood

按照6% 30 year fixed mortgage rate，以及 5% discount rate计算，这11T mortgage的current value是 11T * (1 + (0.06 – 0.05))^30 = 14.8T ***30 year fixed has an expected life of 6-7 yrs. You can't discount the expected, yet never will be realized, cash flow. Usually the mortgage portfolio is mark to market based on spread between agency (Fannie & Freddie) backed AAA MBA and treasury. So the current value is much lower than face value, especially for sub prime and alt-a. Hope this helps.

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#14

 

discount rate is not that important in the calculation. i just use the spread between mortgage rate and discount rate, which is 1%.

 

#15

 

agree that another price drop will dramatically increase foreclosure rate. the problem is whether such foreclosure rate is priced-in or not

 

#16

 

assume average is 400K, this gives 88 cents on the dollar. still match with the 90 cents by Apollo/TPG/Blackstone, and higher than 80 cents market price

 

#17

 

14T is not the future value, it is the future value then discounted back to today's value (by the 5% discount rate), if we assume zero default rate. that's why it's larger than 11T. the additional 3T is expected to be lost due to default.

 

#18

 

again, the rate is not that important in the calculation. the spread is. the 14T is larger than 11T simply because i assume zero default rate. later on i deducted the loss (of default) from the 14T and arrived at 11.2T. for sure subprime mortgage will incur a much higher default rate and that's why it is sold below face value. but my calculation consider all mortgage as an entire portfolio, so i didn't consider subprime separately.

 

to all, the calculation abstracted out many details because i just want to give a quick evalutaion of the situation. i apologize if the lack of details bothers you.

bbsid

原帖由 还在发呆 于 2008-4-14 13:56 发表 虽然房市还未见底，可是根据下面的计算，MBS市场估计已经见底了。要是这样，银行就不需要write-off了。   Warren Buffett说全美一共有11T mortgage

按照300K房价中位数计算，一共有11T/300K = 37M homeowners
 http://money.cnn.com/2008/04/11/news/newsmakers/varc ...

not all house has mortgage, or even 80% mortgage. maybe around 60-7-% in total, so
total number of homeowners should be > 37M?

anyway, if 9M default,  then value=9m*300K=2.7 T