1
--------------------------------------------------------------------------------
IMC HOME EQUITY LOAN OWNER TRUST 1997-8
--------------------------------------------------------------------------------
PAINEWEBBER INCORPORATED
PRELIMINARY BACKGROUND INFORMATION
IMC HOME EQUITY LOAN OWNER TRUST 1997-8
DISCLAIMER
--------------------------------------------------------------------------------
The information included herein is produced and provided exclusively by
PaineWebber Incorporated ("PW") as underwriter for the IMC Home Equity Loan
Owner Trust 1997-8, 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The information herein is preliminary, and will be superseded by the applicable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.
--------------------------------------------------------------------------------
2
---------------------------------------
IMC HOME EQUITY LOAN OWNER TRUST 1997-8
---------------------------------------
----------------------------------------------------------------------------------------------------------------
FINANCIAL CHARACTERISTICS
----------------------------------------------------------------------------------------------------------------
COLLATERAL SPLIT
----------------------------------------------------------------------------------------------------------------
INDEX 2YFIX/6MLIB 6MLIB 1 YR. CMT 3YFIX/6MLIB AVE
----------------------------------------------------------------------------------------------------------------
% of Prin Bal 69.46% 23.16% 1.43% 5.94% 100.00%
WA Gross Cap 16.61% 16.45% 15.69% 17.05% 16.59%
WA Gross Margin 6.88% 6.55% 6.50% 8.97% 6.92%
WA Initial Gross Cpn 10.01% 9.96% 9.72% 10.38% 10.02%
Prepay penalty (% of pool) 62.33% 44.33% 2.00% 36.70% 55.80%
WA Mth to Roll 21.09 4.66 5.98 33.02 17.78
WAM 356 355 354 357 356
WA Interim Cap 1.13% 1.11% 1.96% 1.06% 1.13%
Convertible (% of pool) 0% 0% 0% 0% 0%
WA Floor 9.78% 9.86% 9.62% 10.80% 9.86%
WA Initial
interim 3.26% 1.26% 2.09% 3.02% 2.77%
----------------------------------------------------------------------------------------------------------------
STRUCTURE
----------------------------------------------------------------------------------------------------------------
LTV RATIO
----------------------------------------------------------------------------------------------------------------
WEIGHTED AVG. 77.52%
------------------------------------------
Callable at 10% 65 and below 11.42%
Step up 2x margin @ call date 65.01-70 11.35%
Interest catch up Yes 70.01-75 17.09%
Interest on interest catch up Yes 75.01-80 29.70%
80.01-85 15.91%
Floor Pricing Speed more than 85 14.53%
------------------------------------------
----------------------------------------------------------------------------------------------------------------
LOAN DETAILS
----------------------------------------------------------------------------------------------------------------
LOAN SIZE, $000S % OF PRIN.BAL NO OF LOANS
---------------------------------------------------
150 AND BELOW 62.94% 2,520 LARGEST LOAN $586,977
150+-300 27.49% 430 LARGEST ZIP CONCENTRATION 0.27%
300+-500 9.05% 75 AVERAGE LOAN SIZE $101,646
500+ .55% 3 WEIGHTED DEBT/INCOME 39.08%
LOANS OVER $500,000
----------------------------------------------------------------------------------------------------------------
AMOUNT LTV CREDIT GRADE COUPON MARGIN
----------------------------------------------------------------------------------------------------------------
$586,977 75.00% A 10.25% 6.75%
$560,103 75.00% C 9.25% 6.25%
$549,356 64.71% C 12.99% 7.99%
----------------------------------------------------------------------------------------------------------------
DISPERSION
----------------------------------------------------------------------------------------------------------------
MIN MAX
----------------------------------------------------------------------------------------------------------------
Loan Dispersion $11,331 $586,977
Max. Cap
dispersion 9.00% 32.50%
Cur. Cpn
dispersion 7.10% 16.55%
Mgn dispersion 2.50% 14.29%
----------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
--------------------------------------------------------------------------------
PAINEWEBBER
3
---------------------------------------
IMC HOME EQUITY LOAN OWNER TRUST 1997-8
---------------------------------------
------------------------------------------------------------------------------------------------------
FEES SEASONING
------------------------------------------------------------------------------------------------------
% OF PRIN.BAL WAM % OF PRIN.BAL
------------------------------------------------------------------------------------------------------
Carve out N/A W. Ave. 356
Servicing 0.50 <300 0.81%
Surety 0.14 300-340 0%
Trustee 0.00375 341-350 .12%
TOTAL 0.64375 351+ 99.07%
------------------------------------------------------------------------------------------------------
ORIGINATION LOAN PURPOSE
------------------------------------------------------------------------------------------------------
Low Documentation 21.24% Purchase 30.21%
Stated Income 0% Refi 8.89%
Full Documentation 78.76% Cash out 60.90%
100% 1st Liens Yes
------------------------------------------------------------------------------------------------------
PROPERTY TYPE LOCATION
------------------------------------------------------------------------------------------------------
% OF TOTAL STATE % OF TOTAL POOL
------------------------------------------------------------------------------------------------------
Owner occupied 93.47% CA 14.12%
Inv 5.57% IL 7.59%
2nd Home .96% NY 6.91%
Single Family 93.97% OH 5.35%
2-4 2.74% MI 5.31%
Condo 1.62%
Other 1.67%
------------------------------------------------------------------------------------------------------
CREDIT ENHANCEMENT
------------------------------------------------------------------------------------------------------
CREDIT
------------------------------------------------------------------------------------------------------
% OF TOTAL LTV NO OF LOANS MARGIN
------------------------------------------------------------------------------------------------------
A 51.52% 79.83% 1430 6.61%
B 24.90% 78.38% 765 6.97%
C 19.08% 73.09% 678 7.34%
D 4.50% 65.09% 155 8.45%
------------------------------------------------------------------------------------------------------
% OVER
COLLATERALIZATION INITIAL TARGET STEP DOWN FLOOR
------------------------------------------------------------------------------------------------------
0 3.75% Month 30 .50%
------------------------------------------------------------------------------------------------------
MONOLINE WRAP
------------------------------------------------------------------------------------------------------
Who is bond insurer? MBIA
Does wrap cover all credit events (bankruptcy,fraud etc)?
Ultimate principal and timely interest Yes
------------------------------------------------------------------------------------------------------
TRANCHE DETAILS
------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------
RATING
------------------------------------------------------------------------------------------------------
. . . . . AGENCY AND RATING . . . .
------------------------------------------------------------------------------------------------------
TRANCHE AMOUNT INDEX/CPN MARGIN MDYS S&P W/O WRAP
------------------------------------------------------------------------------------------------------
A1 $307,785,257 1mL 22bp's AAA AAA
1mL
Agg. fixed
Total -
------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
--------------------------------------------------------------------------------
PAINEWEBBER
4
---------------------------------------
IMC HOME EQUITY LOAN OWNER TRUST 1997-8
---------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
SETTLEMENT DETAILS
-----------------------------------------------------------------------------------------------------------------------------------
TRANCHE BT. PRICE PRICING SPEED WAL MATURITY
-----------------------------------------------------------------------------------------------------------------------------------
A1 $307,785,257 100 25 CPR 2.95 yrs (to call) 12/20/28
WHAT IS THE SETTLEMENT DATE? 12/30/97
WHAT DATE DOES THE FIRST COUPON FIX ON? 12/24/97
WHAT IS THE ACCRUAL PERIOD FOR THE FIRST COUPON? 12/30/1997 to 1/19/98
WHAT LIBOR REFERENCE RATE IS USED? 1mo. LIBOR telerate pg 3750 11am London Time
ON WHAT DAY OF THE MONTH IS THE COUPON PAYMENT MADE? 20th
IF THIS IS A BAD DAY, DOES THE ACCRUAL PERIOD EXTEND TO THE NEXT GOOD DAY? Yes
DOES THE LIBOR RATE FIX 2 BUSINESS DAYS PRIOR TO PAYMENT? Yes
DOES THE BOND PAY WITH NO DELAY? Yes
-----------------------------------------------------------------------------------------------------------------------------------
YIELD TABLES
-----------------------------------------------------------------------------------------------------------------------------------
. . . . . . . . . . SPEED USED . . . . . . . . . .
-----------------------------------------------------------------------------------------------------------------------------------
TO CALL 20 25 30 40 50
-----------------------------------------------------------------------------------------------------------------------------------
Act/360 6.26% 6.26% 6.26% 6.26% 6.26%
WAL 3.77 2.95 2.39 1.67 1.22
Window 10.08 7.92 6.42 4.50 3.33
-----------------------------------------------------------------------------------------------------------------------------------
TO MATURITY 20 25 30 40 50
-----------------------------------------------------------------------------------------------------------------------------------
Act/360 6.27% 6.27% 6.27% 6.28% 6.28%
WAL 4.10 3.22 2.61 1.83 1.34
Window 21.83 17.67 14.50 10.25 7.58
-----------------------------------------------------------------------------------------------------------------------------------
COUPON REFIXES
-----------------------------------------------------------------------------------------------------------------------------------
GROSS WAC LEVEL ASSUMING CONSTANT LIBOR
PLEASE DETAIL SCHEDULE (MTH 1 TO 18)
-----------------------------------------------------------------------------------------------------------------------------------
ARM WAC ARM WAC
-----------------------------------------------------------------------------------------------------------------------------------
Mth1 10.040% Mth 10 10.455%
Mth2 10.040% Mth 11 10.455%
Mth3 10.146% Mth 12 10.455%
Mth4 10.146% Mth 13 10.455%
Mth5 10.146% Mth 14 10.590%
Mth6 10.146% Mth 15 10.625%
Mth7 10.176% Mth 16 10.625%
Mth8 10.361% Mth 17 10.625%
Mth9 10.454% Mth 18 10.892%
PLEASE ENSURE THIS MODELS REFIXES DURING THIS PERIOD ON 6M LIBOR ARMS, AS
OPPOSED TO PROVIDING FIRST REFIX DATES FOR ALL THE COLLATERAL IN THE POOL
-----------------------------------------------------------------------------------------------------------------------------------
STRUCTURAL FEATURES
-----------------------------------------------------------------------------------------------------------------------------------
IS CALL % BASED ON FLOATING TRANCHE ONLY,ENTIRE DEAL OR COLLATERAL BALANCE? Collateral
% PREFUNDED AND FINAL DATE FOR PREFUNDING AMOUNT TO PREPAY No Prefunding
IS ALL CASHFLOW FROM THE OC AVAILABLE TO THE SENIOR CERTIFICATE HOLDERS? Yes - up to target
IS COMPENSATING INTEREST PAID ON PREPAYMENTS AND CURTAILMENTS? Yes -( curtailments of 6x monthly payment or more)
DOES COMP. INT. AFFECT AVAILABLE FUNDS OR CERTIFICATE COUPON? No
CAN THE RESIDUAL BE SOLD? Yes
-----------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
--------------------------------------------------------------------------------
PAINEWEBBER
5
---------------------------------------
IMC HOME EQUITY LOAN OWNER TRUST 1997-8
---------------------------------------
------------------------------------------------------------------------------------
CONTACTS
------------------------------------------------------------------------------------
COMPANY NAME TELEPHONE
------------------------------------------------------------------------------------
RATING AGENCY S&P Xxxxx Xxxxx 000-000-0000
RATING AGENCY Xxxxx'x Xxxxx Xxxxxx 000-000-0000
RATING AGENCY
TRUSTEE Chase Manhattan Xxx Xxxxx Xxxx 000-000-0000
MASTER SERVICER IMC Xxxxxx Xxxxxxxx 000-000-0000
SUB SERVICERS n/a
LEAD MANAGER PW Xxxxx Xxxxxxxx 000-000-0000
------------------------------------------------------------------------------------
COLLATERAL FEATURES
------------------------------------------------------------------------------------
PLEASE CONFIRM :
XXXX XXXXXXXXX BE MODELLED ON BLOOMBERG? Yes
WILL DELINQUENCY INFORMATION BE ON BLOOMBERG? Yes
WILL ARM PREPAYS BE REPORTED SEPARATELY ON BBG? Yes
ANY GROSS COUPON STEP DOWN FOR COLLATERAL GOOD PERFORMANCE? No
------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
--------------------------------------------------------------------------------
PAINEWEBBER
