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Expected Loss to be Paid (Recovered) - Liquidation Rates and Key Assumptions in Base Case Expected Loss First Lien RMBS (Details) | Mar. 31, 2022 | Dec. 31, 2021
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RMBS | UNITED STATES | Alt-A and Prime | 2005 and prior |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Initial loss severity | 60.00% | 60.00%
RMBS | UNITED STATES | Alt-A and Prime | 2006 |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Initial loss severity | 60.00% | 60.00%
RMBS | UNITED STATES | Alt-A and Prime | 2007+ |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Initial loss severity | 60.00% | 60.00%
RMBS | UNITED STATES | Alt-A and Prime | Minimum |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Plateau CDR | 1.70% | 0.90%
Final CDR | 0.10% | 0.00%
RMBS | UNITED STATES | Alt-A and Prime | Maximum |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Plateau CDR | 14.00% | 11.60%
Final CDR | 0.70% | 0.60%
RMBS | UNITED STATES | Alt-A and Prime | Weighted Average |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Plateau CDR | 6.10% | 5.90%
Final CDR | 0.30% | 0.30%
RMBS | UNITED STATES | Option ARM | 2005 and prior |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Initial loss severity | 60.00% | 60.00%
RMBS | UNITED STATES | Option ARM | 2006 |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Initial loss severity | 60.00% | 60.00%
RMBS | UNITED STATES | Option ARM | 2007+ |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Initial loss severity | 60.00% | 60.00%
RMBS | UNITED STATES | Option ARM | Minimum |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Plateau CDR | 1.20% | 1.80%
Final CDR | 0.10% | 0.10%
RMBS | UNITED STATES | Option ARM | Maximum |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Plateau CDR | 11.10% | 11.90%
Final CDR | 0.60% | 0.60%
RMBS | UNITED STATES | Option ARM | Weighted Average |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Plateau CDR | 5.30% | 5.60%
Final CDR | 0.30% | 0.30%
RMBS | UNITED STATES | Subprime | 2005 and prior |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Initial loss severity | 60.00% | 60.00%
RMBS | UNITED STATES | Subprime | 2006 |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Initial loss severity | 60.00% | 60.00%
RMBS | UNITED STATES | Subprime | 2007+ |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Initial loss severity | 60.00% | 60.00%
RMBS | UNITED STATES | Subprime | Minimum |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Plateau CDR | 2.50% | 2.90%
Final CDR | 0.10% | 0.10%
RMBS | UNITED STATES | Subprime | Maximum |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Plateau CDR | 9.80% | 10.00%
Final CDR | 0.50% | 0.50%
RMBS | UNITED STATES | Subprime | Weighted Average |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Plateau CDR | 6.10% | 6.00%
Final CDR | 0.30% | 0.30%
Current but recently delinquent | Option ARM |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Liquidation rate | 20.00% | 20.00%
Current but recently delinquent | Subprime |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Liquidation rate | 20.00% | 20.00%
Current but recently delinquent | Alt-A and Prime |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Liquidation rate | 20.00% | 20.00%
30 – 59 Days Delinquent | Option ARM |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Liquidation rate | 35.00% | 35.00%
30 – 59 Days Delinquent | Subprime |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Liquidation rate | 30.00% | 30.00%
30 – 59 Days Delinquent | Alt-A and Prime |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Liquidation rate | 35.00% | 35.00%
60 – 89 Days Delinquent | Option ARM |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Liquidation rate | 45.00% | 45.00%
60 – 89 Days Delinquent | Subprime |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Liquidation rate | 40.00% | 40.00%
60 – 89 Days Delinquent | Alt-A and Prime |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Liquidation rate | 40.00% | 40.00%
90+ Days Delinquent | Option ARM |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Liquidation rate | 60.00% | 60.00%
90+ Days Delinquent | Subprime |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Liquidation rate | 45.00% | 45.00%
90+ Days Delinquent | Alt-A and Prime |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Liquidation rate | 55.00% | 55.00%
Bankruptcy | Option ARM |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Liquidation rate | 50.00% | 50.00%
Bankruptcy | Subprime |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Liquidation rate | 40.00% | 40.00%
Bankruptcy | Alt-A and Prime |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Liquidation rate | 45.00% | 45.00%
Foreclosure | Option ARM |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Liquidation rate | 65.00% | 65.00%
Foreclosure | Subprime |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Liquidation rate | 55.00% | 55.00%
Foreclosure | Alt-A and Prime |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Liquidation rate | 60.00% | 60.00%
Real Estate Owned |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Liquidation rate | 100.00% | 100.00%

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