Annual report pursuant to Section 13 and 15(d)

REAL ESTATE RELATED LOANS, RESIDENTIAL MORTGAGE LOANS, SUBPRIME MORTGAGE LOANS - Subprime Details (Details 7)

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REAL ESTATE RELATED LOANS, RESIDENTIAL MORTGAGE LOANS, SUBPRIME MORTGAGE LOANS - Subprime Details (Details 7)
$ in Millions
 12 Months Ended
Dec. 31, 2015
USD ($)
loan
Financing Receivable, Impaired [Line Items]  
Original number of loans (approximate) | loan 2
Subprime Portfolio I  
Financing Receivable, Impaired [Line Items]  
Date of acquisition March 2006
Original number of loans (approximate) | loan 11,300
Predominant origination date of loans 2005
Original face amount of purchase $ 1,500.0
Pre-securitization loan write-down (4.1)
Gain on pre-securitization hedge $ 5.5
Gain on sale Less than $0.1 million
Securitization date April 2006
Face amount of loans at securitization $ 1,500.0
Face amount of notes sold by trust $ 1,400.0
Stated maturity of notes March 2036
Face amount of notes retained by Newcastle $ 37.6
Fair value of equity retained by Newcastle $ 62.4
Key assumptions in measuring such fair value (A):  
Weighted average life (years) 3 years 1 month 6 days
Expected credit losses 5.30%
Weighted average constant prepayment rate 28.00%
Discount rate 18.80%
Subprime Portfolio II  
Financing Receivable, Impaired [Line Items]  
Date of acquisition March 2007
Original number of loans (approximate) | loan 7,300
Predominant origination date of loans 2006
Original face amount of purchase $ 1,300.0
Pre-securitization loan write-down (5.8)
Gain on pre-securitization hedge $ 5.8
Gain on sale $0.1 million
Securitization date July 2007
Face amount of loans at securitization $ 1,100.0
Face amount of notes sold by trust $ 1,000.0
Stated maturity of notes April 2037
Face amount of notes retained by Newcastle $ 38.8
Fair value of equity retained by Newcastle $ 46.7
Key assumptions in measuring such fair value (A):  
Weighted average life (years) 3 years 9 months 18 days
Expected credit losses 8.00%
Weighted average constant prepayment rate 30.10%
Discount rate 22.50%