XML 77 R57.htm IDEA: XBRL DOCUMENT v3.23.1
Expected Loss to be Paid (Recovered) - Key Assumptions in Base Scenario Expected Loss Second Lien RMBS (Details) - RMBS - Home Equity Line of Credit - United States
Mar. 31, 2023
Dec. 31, 2022
Schedule of Expected Losses to be Paid [Line Items]    
Loss severity 98.00% 98.00%
Projected future recoveries on previously charged-off loans 30.00% 30.00%
Minimum    
Schedule of Expected Losses to be Paid [Line Items]    
Plateau CDR 0.90% 0.40%
Final CDR trended down to 0.00% 0.00%
Maximum    
Schedule of Expected Losses to be Paid [Line Items]    
Plateau CDR 5.70% 8.40%
Final CDR trended down to 0.30% 0.40%
Weighted Average    
Schedule of Expected Losses to be Paid [Line Items]    
Plateau CDR 3.30% 3.50%
Final CDR trended down to 0.20% 0.20%
Current but recently delinquent    
Schedule of Expected Losses to be Paid [Line Items]    
Liquidation rate 20.00% 20.00%
30 – 59 Days Delinquent    
Schedule of Expected Losses to be Paid [Line Items]    
Liquidation rate 30.00% 30.00%
60 – 89 Days Delinquent    
Schedule of Expected Losses to be Paid [Line Items]    
Liquidation rate 40.00% 40.00%
90+ Days Delinquent    
Schedule of Expected Losses to be Paid [Line Items]    
Liquidation rate 60.00% 60.00%
Bankruptcy    
Schedule of Expected Losses to be Paid [Line Items]    
Liquidation rate 55.00% 55.00%
Foreclosure    
Schedule of Expected Losses to be Paid [Line Items]    
Liquidation rate 55.00% 55.00%
Real Estate Owned    
Schedule of Expected Losses to be Paid [Line Items]    
Liquidation rate 100.00% 100.00%