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EXHIBIT 99.1
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IMC HOME EQUITY LOAN TRUST 1997-7
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PAINEWEBBER INCORPORATED
PRELIMINARY BACKGROUND INFORMATION
IMC HOME EQUITY LOAN TRUST 1997-7
DISCLAIMER
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The information included herein is produced and provided exclusively by
PaineWebber Incorporated ("PW") as underwriter for the IMC Home Equity Loan
Trust 1997-7, and not by or as agent for IMC Mortgage Company, L.P.
(collectively, the "Seller and Servicer"), IMC Securities, Inc. (the
"Depositor") or any of their affiliates. None of the Depositor, the Seller or
the Servicer has prepared, reviewed or participated in the preparation hereof
and is not responsible for the accuracy hereof. The analysis in this report is
accurate to the best of PW's knowledge and is based on information provided by
the Depositor, Seller and Servicer. PW makes no representations as to the
accuracy of such information provided by the Depositor, Seller and Servicer.
The information herein is preliminary, and will be superseded by the applicable
prospectus supplement and prospectus and by any other information subsequently
filed with the Securities and Exchange Commission.
All opinions and conclusions in this report reflect PW's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PW does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in this analysis. The decision to adopt
any strategy remains your responsibility. PW (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to herein, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PW may make a market in the securities referred to
herein. Neither the information nor the opinions expressed shall be construed to
be, or constitute, an offer to sell or buy or a solicitation of an offer to sell
or buy any securities, commodities or derivative instruments mentioned herein.
Finally, PW has not addressed the legal, accounting and tax implications of the
analysis with respect to you and PW strongly urges you to seek advice from your
counsel, accountant and tax advisor.
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PAINEWEBBER
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IMC HOME EQUITY LOAN TRUST 1997-7
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THE INFORMATION CONTAINED HEREIN WELL BE SUPERSEDED BY THE DESCRIPTION OF
THE COLLATERAL CONTAINED IN THE PROSPECTUS SUPPLEMENT.
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FIXED RATE HOME EQUITY LOANS
Approximate characteristics of the pool of Home Equity Loans identified as of
11/18/97. Home Equity Loans equal to approximately $620 million will be
delivered on the Closing Date:
TOTAL NUMBER OF LOANS: 8,056
TOTAL OUTSTANDING LOAN BALANCE: (@ 11/1/97) $454,953,346*
BALLOON (% OF TOTAL): 40.22%
LEVEL PAY (% OF TOTAL): 59.78%
AVERAGE LOAN PRINCIPAL BALANCE: $56,474 ($4,981 to $214,144)
WEIGHTED AVERAGE CLTV: 75.88% (2.00% to 100.00%)
% OF POOL WITH LTVS GREATER THAN 90%: 1.90%
WEIGHTED AVERAGE COUPON: 11.38% (6.50% to 24.00%)
WEIGHTED AVERAGE REMAINING TERM TO MATURITY (MONTHS): 233 (19 to 360)
WEIGHTED AVERAGE SEASONING (MONTHS): 2 (0 to 67)
WEIGHTED AVERAGE ORIGINAL TERM (MONTHS): 235 (48 to 360)
RANGE OF ORIGINAL TERMS: LEVEL PAY BALLOON
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Up to 60: 0.12% Up to 60: 0.17%
61 - 120: 1.90% 61 - 120: 0.26%
121 - 180: 18.01% 121 - 180: 39.78%
181 - 240: 11.83% 181 - 240: 0.01%
241 - 300: 0.48%
301 - 360: 27.44%
LIEN POSITION: 1st Lien: 89.17%
2nd Lien: 10.83%
PROPERTY TYPE: Single Family Detached: 89.94%
Single Family Attached: 0.29%
2-4 Family: 7.51%
Condominium/Townhouse: 1.28%
Other: 0.98%
OCCUPANCY STATUS: Owner Occupied: 92.25%
Non-Owner Occupied: 7.75%
GEOGRAPHIC DISTRIBUTION: NY: 15.98%
(states not listed individually account FL: 9.22% IL: 5.73%
for less than 5.00% of the Mortgage PA: 5.86%
Loan principal balance) MD: 6.86%
CREDIT QUALITY: A: 52.41%
(per IMC's guidelines) B: 25.05%
C: 18.61%
D: 3.93%
* BALANCES ARE A SUBSET OF THE FINAL POOL. A LARGER PERCENTAGE OF THE FINAL POOL
WILL BE DISCLOSED IN THE PROSPECTUS SUPPLEMENT FOR THIS OFFERING AND HOME EQUITY
LOANS OF APPROXIMATELY $620 MILLION WILL BE DELIVERED ON THE CLOSING DATE.
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THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
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PAINEWEBBER 2
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IMC HOME EQUITY LOAN TRUST 1997-7
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$775,000,000 OFFERING AMOUNT (APPROXIMATE)
FSA BOND INSURED
TITLE OF SECURITIES: IMC Home Equity Loan Trust 1997-7
SELLER AND SERVICER: IMC Mortgage Company, L.P.
Headquartered in Tampa, FL
DEPOSITOR: IMC Securities, Inc.
LEAD UNDERWRITER: PAINEWEBBER INCORPORATED
CO-UNDERWRITERS: Bear, Xxxxxxx and Co. Inc.
Xxxxxx Xxxxxxx Xxxx Xxxxxx
Xxxxxxx Xxxxx & Co.
TRUSTEE: The Chase Manhattan Bank
TRANSACTION SUMMARY(a)
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Estimated Estimated Estimated
WAL Principal Principal Expected
Approximate To Call Lockout Window Stated Ratings
CERTIFICATE Size Coupon (Years) (Years) (Years) Maturity (Xxxxx'x/S&P)
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Class A-1 $255,140,000 Floating(b) 0.85 None 1.58 August 2012 Aaa / AAA
CLASS A-2 $112,820,000 Fixed 2.00 1.50 0.92 November 2012 Aaa / AAA
CLASS A-3 $120,840,000 Fixed 3.00 2.33 1.33 February 2013 Aaa / AAA
CLASS A-4 $ 44,310,000 Fixed 4.00 3.58 0.75 August 2015 Aaa / AAA
CLASS A-5 $ 71,100,000 Fixed 5.00 4.25 1.58 January 2021 Aaa / AAA
CLASS A-6 $ 61,770,000 Fixed 7.00 5.75 2.42 March 2025 Aaa / AAA
CLASS A-7 $ 54,775,000 Fixed 8.15 8.08 0.08 February 2029 Aaa / AAA
CLASS A-8 $ 54,245,000 Fixed/NAS 6.32 3.00 5.17 February 2029 Aaa / AAA
CLASS A-9IO $ 54,245,000(c) Fixed N/A N/A N/A November 2000 Aaa / AAA
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NOTES: (a) 100% Prepayment Assumption: 4.0% CPR in month 1,
and an additional 1.818% per annum in each month
thereafter until month 12. On and after month
12, 24% CPR. Run to 10% Call.
(b) The lesser of (i) One-Month LIBOR plus 0.__ % and
(ii) the weighted average Coupon Rate of the Home
Equity Loans, less 0.62375% per annum.
(c) Notional Balance based on the Class A-8 Principal
Balance for the first 36 payments and 0 for each
payment thereafter.
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THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
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PAINEWEBBER 3
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IMC HOME EQUITY LOAN TRUST 1997-7
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PREPAYMENT PRICING
SPEED ASSUMPTION: 4% CPR, increasing to 24% CPR over 12
months
PAYMENT DATE: The 20th day of each month (or the next
Business Day thereafter) commencing on
December 22, 1997.
CLOSING DATE: On or about November 25, 1997
CLEAN-UP CALL: The first Monthly Remittance Date on
which the aggregate Loan Balance of the
Home Equity Loans has declined to less than
10% of the aggregate Loan Balance as of the
Cut-Off Date.
PAYMENT DELAY: With the exception of the Class A-1
Certificates, 19 days.
With respect to the Class A-1 Certificates,
0 days.
INTEREST ACCRUAL PERIOD: With the exception of the Class
A-1 Certificates, interest will accrue on
the Certificates at a fixed rate during
the month prior to the month of the
related Payment Date on a 30/360-day
basis.
With respect to any Payment Date, the Class
A-1 Certificates will be entitled to
interest accrued from and including the
preceding Payment Date (or from the
Settlement Date in the case of the first
Payment Date) to and including the day
prior to the current Payment Date (the
"Class A-1 Accrual Period") at the Class
A-1 Certificate Interest Rate on the
aggregate principal balance of the Class
A-1 Certificates on an actual/360-day
basis.
The "Class A-1 Certificate Interest Rate"
will be equal to the lesser of (x) with
respect to any Payment Date, One-Month
LIBOR plus 0.__% per annum and (y) the
weighted average Coupon Rate of Home Equity
Loans, less 0.62375% per annum (the rate
described in the clause (y), the "Available
Funds Cap").
The coupon of each Class of Certificates
will increase by [0.50%] after the first
date on which the deal is callable.
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THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
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PAINEWEBBER 4
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IMC HOME EQUITY LOAN TRUST 1997-7
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CREDIT ENHANCEMENT: Credit enhancement with respect to
the Certificates will be provided by
(a) the overcollateralization mechanics
which utilize the excess interest created
by the internal cashflows of the pool,
and (b) the Financial Security
Assurance, Inc.("FSA") Insurance Policy.
Excess Spread. The weighted average Coupon
Rate of the Home Equity Loans is generally
expected to be higher than the sum of (a)
the servicing fee, (b) the weighted average
interest rate of the Bonds, (c) the trustee
fee and (d) the Premium Amount.
Overcollateralization: Excess spread will
be applied, to the extent available, to
make accelerated payments or distributions
of principal to the securities then
entitled to receive payments or
distributions of principal; such
application will cause the aggregate
principal balance of the Bonds to amortize
more rapidly than the Home Equity Loans,
resulting in overcollateralization. Prior
to the overcollateralization step down
date, overcollateralization is expected to
build to [2.0]% of the sum of (i) the
Initial Pool Principal Balance, (ii) the
Cut-off Date Principal Balance of each
Subsequent Home Equity Loan and (iii) the
amount, if any, on deposit in the
Pre-funding Account (net of investment
income) (the "Assumed Pool Principal
Balance"). On or after the
overcollateralization step down date,
overcollateralization will be permitted to
decrease to an amount equal to [4.0]% of
the then outstanding aggregate unpaid
principal balance of the Home Equity Loans
(the "Pool Principal Balance"), subject to
a floor of [0.5]% of the Assumed Pool
Principal Balance.
FSA Insurance Policy: FSA (the "Certificate
Insurer") will unconditionally and
irrevocably guarantee the timely payment of
interest and ultimate payment of principal
on the Certificates (i.e. after any losses
reduce the overcollateralization to zero,
FSA will cover the excess, if any, of the
Certificate principal balance over the
aggregate collateral balance). The
Insurance Policy does not guarantee the
payment of A-1 coupon above the Available
Funds Cap. The Insured Payments do not
cover Realized Losses except to the extent
that an Overcollateralization Deficit
exists. Insured Payments do not cover the
Servicer's failure to make Delinquency
Advances except to the extent that an
Overcollateralization Deficit would
otherwise result therefrom. The Insurance
Policy is not cancelable for any reason.
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THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
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PAINEWEBBER 5
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IMC HOME EQUITY LOAN TRUST 1997-7
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CUT-OFF DATE: November 1, 1997 (close of business)
APPROXIMATE SUMMARY OF
POOL BALANCES: $454,953,346 Identified as of 11/18/97
(described on page 2)
$500,000,000 To be identified for inclusion in
Prospectus Supplement (as of
Statistical Calculation Date)
$620,000,000 To be delivered on the Closing Date
$155,000,000 Pre-Funding Amount
$775,000,000 Final Pool Balance
STATISTICAL CALCULATION DATE: November 1, 1997 (close of business)
PRE-FUNDING ACCOUNT On the Closing Date, approximately
$155,000,000 will be deposited in an account
(the "Pre-Funding Account") and will be used
to acquire Subsequent Loans. The
"Pre-Funding Period" is the period commencing on
the Closing Date and ending generally on the
earlier to occur of (i) the date on which
the amount on deposit in the Pre-Funding
Account is less than $100,000 and (ii)
February 15, 1998.
OFFERING AMOUNT: Approximately $775,000,000
FORM OF OFFERING: Book-Entry form, same-day funds
through DTC, Euroclear, and CEDEL.
DENOMINATIONS: Minimum denominations of $25,000 and
multiples of $1,000 thereafter.
SERVICING/OTHER FEES: The collateral is subject to certain
fees, including a servicing fee of 0.50% per
annum payable monthly, Certificate Insurer
fees, and trustee fees.
ADVANCING BY SERVICER: The Servicer is required to advance from its
own funds any delinquent payment of interest
(not principal) unless such interest is
deemed to be non-recoverable (the
"Delinquency Advances").
FEDERAL TAX ASPECTS: The trust, exclusive of the
Pre-funding account and the Capitalized
Interest account, will consist of two
segregated asset pools, (the "Upper-Tier
REMIC" and the "Lower-Tier REMIC"). Each
class of the Offered Certificates will be
designated as a "regular interest" in the
Upper-Tier REMIC.
ERISA CONSIDERATIONS: The Certificates may be purchased by employee
benefit plans that are subject to ERISA.
SMMEA ELIGIBILITY: The Certificates will NOT constitute
"mortgage-related securities" for
purposes of SMMEA.
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THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
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PAINEWEBBER 6
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IMC HOME EQUITY LOAN TRUST 1997-7
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BOND SENSITIVITY TO PREPAYMENTS
CLASS A-1 (TO CALL)
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% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
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Average Life (years) 8.22 1.44 1.06 0.85 0.72 0.63
Years to First
Principal Payment 0.08 0.08 0.08 0.08 0.08 0.08
Years to Last
Principal Payment 14.17 2.92 2.08 1.58 1.33 1.17
Principal Window
(years) 14.17 2.92 2.08 1.58 1.33 1.17
CLASS A-2 (TO CALL)
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% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
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Average Life (years) 14.56 3.76 2.60 2.00 1.63 1.38
Illustrative Yield @
Par (30/360) 6.48% 6.41% 6.37% 6.33% 6.29% 6.25%
Modified Duration
(years) 9.19 3.24 2.32 1.82 1.50 1.28
Years to First
Principal Payment 4.17 2.92 2.08 1.58 1.33 1.17
Years to Last
Principal Payment 14.75 4.67 3.17 2.42 2.00 1.67
Principal Window
(years) 0.67 1.83 1.17 0.92 0.75 0.58
CLASS A-3 (TO CALL)
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% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
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Average Life (years) 14.83 5.92 4.00 3.00 2.39 2.00
Illustrative Yield @
Par (30/360) 6.52% 6.49% 6.46% 6.43% 6.40% 6.37%
Modified Duration
(years) 9.27 4.77 3.42 2.64 2.15 1.82
Years to First
Principal Payment 14.75 4.67 3.17 2.42 2.00 1.67
Years to Last
Principal Payment 14.92 7.50 5.00 3.67 2.92 2.42
Principal Window
(years) 0.25 2.92 1.92 1.33 1.00 0.83
CLASS A-4 (TO CALL)
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% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
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Average Life (years) 15.57 8.35 5.39 4.00 3.12 2.55
Illustrative Yield @
Par (30/360) 6.65% 6.64% 6.61% 6.59% 6.56% 6.54%
Modified Duration
(years) 9.45 6.23 4.40 3.41 2.74 2.28
Years to First
Principal Payment 14.92 7.50 5.00 3.67 2.92 2.42
Years to Last
Principal Payment 17.00 9.17 5.92 4.33 3.42 2.75
Principal Window
(years) 2.17 1.75 1.00 0.75 0.58 0.42
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THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
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PAINEWEBBER 7
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IMC HOME EQUITY LOAN TRUST 1997-7
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BOND SENSITIVITY TO PREPAYMENTS (CONTINUED)
CLASS A-5 (TO CALL)
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% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
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Average Life (years) 19.46 10.63 6.95 5.00 3.89 3.12
Illustrative Yield @
Par (30/360) 6.75% 6.74% 6.72% 6.70% 6.68% 6.66%
Modified Duration
(years) 10.55 7.37 5.38 4.12 3.32 2.73
Years to First
Principal Payment 17.00 9.17 5.92 4.33 3.42 2.75
Years to Last
Principal Payment 22.50 12.25 8.42 5.83 4.50 3.58
Principal Window
(years) 5.58 3.17 2.58 1.58 1.17 0.92
CLASS A-6 (TO CALL)
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% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
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Average Life (years) 24.70 13.70 9.86 7.00 5.23 4.16
Illustrative Yield @
Par (30/360) 6.88% 6.86% 6.85% 6.84% 6.82% 6.80%
Modified Duration
(years) 11.61 8.64 6.96 5.39 4.26 3.51
Years to First
Principal Payment 22.50 12.25 8.42 5.83 4.50 3.58
Years to Last
Principal Payment 25.75 14.50 10.75 8.17 6.25 4.83
Principal Window
(years) 3.33 2.33 2.42 2.42 1.83 1.33
CLASS A-7 (TO CALL)
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% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
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Average Life (years) 25.74 14.49 10.74 8.15 6.48 5.26
Illustrative Yield @
Par (30/360) 7.07% 7.06% 7.05% 7.04% 7.03% 7.01%
Modified Duration
(years) 11.59 8.83 7.32 6.02 5.05 4.26
Years to First
Principal Payment 25.75 14.50 10.75 8.17 6.25 4.83
Years to Last
Principal Payment 25.75 14.50 10.75 8.17 6.50 5.33
Principal Window
(years) 0.08 0.08 0.08 0.08 0.33 0.58
CLASS A-8 XXX XXXX (TO CALL)
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% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
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Average Life (years) 11.84 7.78 6.95 6.32 5.59 4.87
Illustrative Yield @
Par (30/360) 6.72% 6.70% 6.69% 6.69% 6.68% 6.67%
Modified Duration
(years) 7.82 5.78 5.33 4.96 4.50 4.03
Years to First
Principal Payment 3.08 3.08 3.08 3.08 3.08 3.08
Years to Last
Principal Payment 25.75 14.50 10.75 8.17 6.50 5.33
Principal Window
(years) 22.75 11.50 7.75 5.17 3.50 2.33
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THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
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PAINEWEBBER 8
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IMC HOME EQUITY LOAN TRUST 1997-7
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BOND SENSITIVITY TO PREPAYMENTS (CONTINUED)
CLASS A-6 (TO MATURITY)
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% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
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Average Life (years) 24.88 13.73 10.00 7.06 5.23 4.16
Illustrative Yield @
Par (30/360) 6.88% 6.87% 6.86% 6.84% 6.82% 6.80%
Modified Duration
(years) 11.64 8.65 7.02 5.42 4.26 3.51
Years to First
Principal Payment 22.50 12.25 8.42 5.83 4.50 3.58
Years to Last
Principal Payment 26.83 14.75 11.83 8.92 6.25 4.83
Principal Window
(years) 4.42 2.58 3.50 3.17 1.83 1.33
CLASS A-7 BOND (TO MATURITY)
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% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
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Average Life (years) 28.21 16.87 14.11 11.44 8.93 6.78
Illustrative Yield @
Par (30/360) 7.09% 7.10% 7.14% 7.16% 7.15% 7.12%
Modified Duration
(years) 11.97 9.55 8.67 7.58 6.36 5.16
Years to First
Principal Payment 26.83 14.75 11.83 8.92 6.25 4.83
Years to Last
Principal Payment 29.50 24.92 19.08 15.08 14.00 11.58
Principal Window
(years) 2.75 10.25 7.33 6.25 7.83 6.83*
* Indicates an interruption in receipt of principal
CLASS A-8 NAS BOND (TO MATURITY)
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% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
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Average Life (years) 11.84 7.78 7.00 6.47 6.08 5.77
Illustrative Yield @
Par (30/360) 6.72% 6.70% 6.70% 6.70% 6.72% 6.75%
Modified Duration
(years) 7.82 5.79 5.35 5.04 4.79 4.60
Years to First
Principal Payment 3.08 3.08 3.08 3.08 3.08 3.08
Years to Last
Principal Payment 29.25 23.00 17.58 14.75 13.75 11.42
Principal Window
(years) 26.25 20.00 14.58 11.75 10.75 8.42
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THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
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PAINEWEBBER 9
