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Expected Loss to be Paid (Recovered) - Key Assumptions in Base Scenario Expected Loss Second Lien RMBS (Details) - RMBS - United States | Sep. 30, 2023 | Dec. 31, 2022
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Home Equity Line of Credit |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Loss severity | 98.00% | 98.00%
Projected future recoveries on previously charged-off loans | 40.00% | 30.00%
Home Equity Line of Credit | Minimum |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Plateau CDR | 0.40% | 0.40%
Final CDR trended down to | 0.00% | 0.00%
Home Equity Line of Credit | Maximum |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Plateau CDR | 8.70% | 8.40%
Final CDR trended down to | 0.40% | 0.40%
Home Equity Line of Credit | Weighted Average |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Plateau CDR | 2.70% | 3.50%
Final CDR trended down to | 0.10% | 0.20%
Alt-A and Prime | 2007+ |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Loss severity | 50.00% | 50.00%
Alt-A and Prime | 2005 and prior |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Loss severity | 50.00% | 50.00%
Alt-A and Prime | 2006 |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Loss severity | 50.00% | 50.00%
Alt-A and Prime | Minimum |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Plateau CDR | 0.30% | 1.60%
Final CDR trended down to | 0.00% | 0.10%
Alt-A and Prime | Maximum |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Plateau CDR | 9.70% | 11.50%
Final CDR trended down to | 0.50% | 0.60%
Alt-A and Prime | Weighted Average |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Plateau CDR | 3.80% | 5.10%
Final CDR trended down to | 0.20% | 0.30%
Option ARM | 2007+ |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Loss severity | 50.00% | 50.00%
Option ARM | 2005 and prior |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Loss severity | 50.00% | 50.00%
Option ARM | 2006 |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Loss severity | 50.00% | 50.00%
Option ARM | Minimum |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Plateau CDR | 0.00% | 2.00%
Final CDR trended down to | 0.00% | 0.10%
Option ARM | Maximum |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Plateau CDR | 9.20% | 7.70%
Final CDR trended down to | 0.50% | 0.40%
Option ARM | Weighted Average |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Plateau CDR | 3.60% | 4.30%
Final CDR trended down to | 0.20% | 0.20%
Subprime | 2007+ |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Loss severity | 50.00% | 50.00%
Subprime | 2005 and prior |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Loss severity | 50.00% | 50.00%
Subprime | 2006 |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Loss severity | 50.00% | 50.00%
Subprime | Minimum |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Plateau CDR | 0.20% | 2.70%
Final CDR trended down to | 0.00% | 0.10%
Subprime | Maximum |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Plateau CDR | 9.60% | 9.70%
Final CDR trended down to | 0.50% | 0.50%
Subprime | Weighted Average |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Plateau CDR | 4.70% | 5.60%
Final CDR trended down to | 0.20% | 0.30%
Current but recently delinquent | Home Equity Line of Credit |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Liquidation rate | 20.00% | 20.00%
30 – 59 Days Delinquent | Home Equity Line of Credit |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Liquidation rate | 30.00% | 30.00%
60 – 89 Days Delinquent | Home Equity Line of Credit |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Liquidation rate | 40.00% | 40.00%
90+ Days Delinquent | Home Equity Line of Credit |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Liquidation rate | 60.00% | 60.00%
Bankruptcy | Home Equity Line of Credit |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Liquidation rate | 55.00% | 55.00%
Foreclosure | Home Equity Line of Credit |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Liquidation rate | 55.00% | 55.00%
Real Estate Owned | Home Equity Line of Credit |  |
Schedule of Expected Losses to be Paid [Line Items] |  |
Liquidation rate | 100.00% | 100.00%

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