GMO calculated that a return to the old price trend plus a typical overrun in extreme house prices would remove $10 trillion of perceived wealth from U.S. consumers and guarantee the worst recession for decades.

The claim is that GMO published or recorded the calculation before the US housing bust (roughly 2006 to early 2007, before house prices clearly fell). True: a dated GMO document from before the bust (a quarterly letter, white paper or dated presentation) estimates that house prices returning to their old trend, plus a typical overrun, would remove about $10 trillion of perceived household wealth, and links this to a severe recession (e.g. the worst in decades). Mostly true: such a pre-bust GMO calculation exists and the substance holds, but there is a small slip: the dollar figure differs modestly (roughly $8-12 trillion), the 'overrun' element was not part of it, or the recession wording was softer (e.g. 'severe recession' rather than 'worst for decades'). Mixed: a pre-bust GMO warning about the housing bubble and a large wealth loss exists, but the $10 trillion figure or the recession link appears only in material written after the bust. Mostly false: the calculation can be traced only to after the bust, or the pre-bust figure was very different (outside about $8-12 trillion). False: dated GMO writings from the period show no such calculation, or show GMO forecasting something materially different.

Set before the research began.

1. E1 Let the wild rumpus begin* Livewire Markets · 17 January 2023 Own record

   “We wrote in 2007 that deflating US housing prices could directly lose US$10 trillion or well over half a year’s GDP if house prices declined to moderately below trend – which they did.”

2. E2 Let the wild rumpus begin* Livewire Markets Own record

   “We wrote in 2007 that deflating US housing prices could directly lose US$10 trillion or well over half a year’s GDP if house prices declined to moderately below trend – which they did.”

3. E3 The First Truly Global Bubble (Observations following a 6-week Round-the-World Trip) GMO · April 2007 Own record

   “Possibly continued house price declines will slow the growth of credit, and consumption will grow less fast.”

4. E4 The First Truly Global Bubble (Observations following a 6-week Round-the-World Trip) GMO · April 2007 Own record

   “The bursting of the bubble will be across all countries”

The only source for the $10 trillion figure is Grantham's own commentary (E1, dated 2023, and E2, undated), not a dated pre-bust GMO document. It says GMO "wrote in 2007" that falling house prices could cost US$10 trillion, but it is not the dated document itself. The April 2007 GMO quarterly letter quotes (E3, E4) cover house price declines and a global bubble bursting. They contain no $10 trillion estimate, no trend-plus-overrun calculation and no link to the worst recession in decades. E3 also refers to "continued" price declines, so even that letter may not come from before the bust. No dated pre-bust GMO document showing the calculation is in the evidence, so the claim cannot be settled.