----------------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
----------------------
Form 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported)
July 23, 1996
IMC Securities, Inc.
------------------------------------------------------
(Exact name of registrant as specified in its charter)
Delaware 333-4911 59-3284026
- ---------------------------- ----------------------- -------------------
(State or Other Jurisdiction (Commission File Number) (I.R.S. Employer
of Incorporation) Identification No.)
3450 Buschwood Park Drive
Tampa Florida 33618
- -------------------------------- ------------------------------
(Address of Principal (Zip Code)
Executive Offices)
Registrant's telephone number, including area code (813) 932-2211
No Change
-------------------------------------------------------------
(Former name or former address, if changed since last report)
<PAGE>
Item 5. Other Events.
In connection with the offering of IMC Home Equity Loan
Pass-Through Certificates, Series 1996-3, described in a Prospectus Supplement
dated as of July 23, 1996, certain "Computational Materials" within the meaning
of the May 20, 1994 Kidder, Peabody No-Action Letter and the February 17, 1995
Public Securities Association No-Action Letter were furnished to certain
prospective investors (the "Related Computational Materials").
Item 7. Financial Statements, Pro Forma Financial Information and Exhibits.
(a) Not applicable
(b) Not applicable
(c) Exhibits:
23.1 Consent of Coopers & Lybrand, L.L.P. (independent
auditors of Financial Security Assurance, Inc.)
99.1 Related Computational Materials furnished by Bear,
Stearns & Co. Inc.
99.2 Related Computational Materials furnished by Nomura
Securities International, Inc.
99.3 Related Computational Materials furnished by NatWest
Capital Markets Limited.
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934,
the registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
IMC SECURITIES, INC. as
Depositor
By: /s/ Thomas Middleton
---------------------------------
Name: Thomas Middleton
Title: Chief Operating Officer
Dated: July 26, 1996
<PAGE>
EXHIBIT INDEX
Exhibit No. Description Page No.
23.1 Consent of Coopers & Lybrand, L.L.P. (independent
auditors of Financial Security Assurance, Inc.
99.1 Related Computational Materials furnished by Bear,
Stearns & Co. Inc.
99.2 Related Computational Materials furnished by Nomura
Securities International, Inc.
99.3 Related Computational Materials furnished by NatWest
Capital Markets Limited.
[Coopers & Lybrand Letterhead]
CONSENT of INDEPENDENT ACCOUNTANTS
-------------
We consent to the incorporation by reference in the Prospectus Supplement dated
July 23, 1996 (to Propectus dated July 23, 1996) of IMC Securities, Inc.
relating to IMC Home Equity Loan Pass-Through Certificates, Series 1996-3 of our
report dated January 17, 1996, on our audits of the consolidated financial
statements of Financial Security Assurance Inc. and Subsidiaries as of December
31, 1995 and 1994, and for each of the three years in the period ended December
31, 1995. We also consent to the reference to our Firm under the caption
"Experts".
/s/ Coopers & Lybrand L.L.P.
-----------------------------------
Coopers & Lybrand L.L.P.
New York, New York
July 24, 1996
Bear Stearns Computational Material Bear, Stearns & Co.,Inc.
Atlanta-Boston IMC Home Equity Loan Asset-Backed Securities Group
Chicago-Dallas Trust 1996-3 245 Park Avenue
Los Angeles-New York New York, NY 10167
San Francisco-Frankfort (212) 272-2000;(212) 272-7294 fax
Geneva-Hong Kong-London
Paris-Toyko
FAX TRANSMITTAL
- --------------------------------------------------------------------------------
Fax to: Date:
Company: #Pages (Incl. cover):
Fax No:
- --------------------------------------------------------------------------------
From: Phone No: (212) 272-
- --------------------------------------------------------------------------------
STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES,
PRICING ESTIMATES, AND OTHER INFORMATION
The information contained in the attached materials (the "Information") may
include various forms of performance analysis, security characteristics and
securities pricing estimates for the securities addressed. Please read and
understand this entire statement before utilizing the Information. The
Information is provided solely by Bear Stearns, not as agent for any issuer, and
although it may be based on data supplied to it by an issuer, the issuer has not
participated in its preparation and makes no representations regarding its
accuracy or completeness. Should you receive Information that refers to the
"Statement Regarding Assumptions and Other Information," please refer to this
statement instead.
The Information is illustrative and is not intended to predict actual results
which may differ substantially from those reflected in the Information.
Performance analysis is based on certain assumptions with respect to significant
factors that may prove not to be assumed. You should understand the assumptions
and evaluate whether they are appropriate for your purposes. Performance results
are based on mathematical models that use inputs to calculate results. As with
all models, results may vary significantly depending upon the value of the
inputs given. Inputs to these models include but are not limited to: prepayment
expectations (economic prepayment models, single expected lifetime prepayments
or a vector of periodic prepayments), interest rate assumptions (parallel and
nonparallel changes for different maturity instruments), collateral assumptions
(actual pool level data, aggregated pool level data, reported factors or imputed
factors), volatility assumptions (historically observed or implied current) and
reported information (paydown factors, rate resets, and trustee statements).
Models used in any analysis may be proprietary making the results difficult for
any third party to reproduce. Contact your registered representative for
detailed explanations of any modeling techniques employed in the Information.
The Information addresses only certain aspects of the applicable security's
characteristics and thus does not provide a complete assessment. As such, the
Information may not reflect the impact of all structural characteristics of the
security, including call events and cash flow priorities at all prepayment
speeds and/or interest rates. You should consider whether the behavior of these
securities should be tested as assumptions different from those included in the
Information. The assumptions underlying the Information, including structure and
collateral, may be modified from time to time to reflect changed circumstances.
Any investment decision should be based only on the data in the prospectus and
the prospectus supplement or private placement memorandum (Offering Documents)
and the then current version of the Information. Offering Documents contain data
that is current as of their publication dates and after publication may no
longer be complete or current. Contact your registered representative for
Offering Documents, current Information or additional materials, including other
models for performance analysis, which are likely to produce different results,
and any further explanation regarding the Information.
Any pricing estimates Bear Stearns has supplied at your request (a) represent
our view, at the time determined, of the investment value of the securities
between the estimated bid and offer levels, the spread between which may be
significant due to market volatility or illiquidity, (b) do not constitute a bid
by any person for any security, (c) may not constitute prices at which the
securities could have been purchased or sold in any market, (d) have not been
confirmed by actual trades, may vary from the value Bear Stearns assigns any
such security while in its inventory, and may not take into account the size of
a position you have in the security, and (e) may have been derived from matrix
pricing that uses data relating to other securities whose prices are more
readily ascertainable to produce a hypothetical price based on the estimated
yield spread relationship between the securities.
General Information. The daya underlying the Information has been obtained from
sources that we believe are reliable, but we do not guarantee the accuracy of
the underlying data or computations based thereon. Bear, Stearns and/or
individuals thereof may have positions in these securities while the Information
is circulating or during such period may engage in transactions with the issuer
or its affiliates. We act as principal in transactions with you, and
accordingly, you must determine the appropriateness for you of such transactions
and address any legal, tax, or accounting considerations applicable to you. Bear
Stearns shall not be a fiduciary or advisor unless we have agreed in writing to
receive compensation specifically to act in such capacities. If you are subject
to ERISA, the Information is being furnished on the condition that it will not
form a primary basis for any investment decision. The Information is not a
solicitation of any transaction in securities which may be made only by
prospectus when required by law, in which event you may obtain such prospectus
from Bear Stearns.
If you experience any problems receiving the above specified pages,
please call (212) 272-3311 or the party listed above.
-Page 1-
<PAGE>
<TABLE>
<CAPTION>
IMC Home Equity Loan Trust 1996-3
Information Relating to the Collateral
Fixed Rate Home Equity Loans)
Preliminary characteristics of the Initial Home Equity Loans as of 7/1/96
<S> <C> <C> <C>
Total Number of Loans: 4,022
Total Outstanding Loan Balance: $249,885,488
Balloon (% of Total): 53.40%
Level Pay (% of Total): 46.60%
Average Loan Principal Balance: $62,130 ($2,570 to $439,874)
Weighted Average CLTV: 72.00% (4.10% to 116.96%)
Weighted Average Coupon: 11.619% (7.600% to 19.250%)
Weighted Average Remaining Term to Maturity (months): 221 (46 to 360)
Weighted Average Seasoning (months): 4 (1 to 43)
Weighted Average Original Term (months): 224 (60 to 360)
Range of Original Terms: Level Pay Balloons
-------------------------------- --------------------------
60: 0.12% 60: 0.08%
61 - 120: 1.39% 61 - 120: 0.12%
121 - 180: 13.01% 121 - 180: 53.20%
181 - 240: 10.56%
241 - 300: 0.03%
301 - 360: 21.50%
Lien Position: 1st Lien: 91.05%
2nd Lien: 8.95%
Property Type:
Single Family Detached: 87.32%
Two to Four Family: 6.02%
Single Family Attached: 3.61%
Condominium / Townhouse: 2.36%
Other: 0.69%
Occupancy Status:
Owner Occupied: 91.39%
Non-Owner Occupied: 8.61%
Geographic Distribution: NY: 11.13% MI: 7.34%
(states not listed individually account for MD: 9.86% OH: 5.85%
less than 5.00% of the Pool Balance) FL: 9.03%
NJ: 8.28%
- --------------------------------------------------------------------------------
The information contained herein will be superseded
by the description of the collateral contained in the prospectus supplement.
- -------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
IMC Home Equity Loan Trust 1996-3
Information Relating to the Certificates (page 1 of 3)
Transaction Summary (a), (b)
- ---------------- -------------- ------------ -------------- ------------ ------------ ------------- ----------------
Estimated Estimated Estimated Estimated
WAL Modified Principal Principal Expected
Approximate to Maturity Duration Lockout Window Ratings
Certificate Size Coupon (years) (years) (months) (months) (Moody's/S&P)
- ---------------- -------------- ------------ -------------- ------------ ------------ ------------- ----------------
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-1 $ 84,132,000 Fixed 0.90 0.84 none 21 Aaa/AAA (b)
Class A-2 $ 30,423,000 Fixed 2.10 1.89 20 10 Aaa/AAA (b)
Class A-3 $ 39,920,000 Fixed 3.10 2.68 29 17 Aaa/AAA (b)
Class A-4 $ 9,636,000 Fixed 4.00 3.35 45 6 Aaa/AAA (b)
Class A-5 $ 37,842,000 Fixed 5.20 4.14 50 27 Aaa/AAA (b)
Class A-6 $ 19,855,000 Fixed 7.30 5.35 76 25 Aaa/AAA (b)
Class A-7 $ 28,192,000 Fixed 11.14 7.00 100 77 Aaa/AAA (b)
- ---------------- -------------- ------------ -------------- ------------ ------------ ------------- ----------------
<FN>
Notes: (a) 100% Prepayment Assumption: 4.0% CPR in month 1, and an
additional 1.636% per annum in each month thereafter until
month 12. On and after month 12, 22% CPR.
(b) FSA surety bond.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Class A-1 (to maturity)
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 11% 16.5% 22% 27.5% 33%
- ------------------------------------------------------------------------------------------------------------
Average Life (years) 8.60 1.55 1.13 0.90 0.76 0.66
Modified Duration (years) 5.89 1.40 1.04 0.84 0.72 0.63
First Principal Payment 8/26/96 8/26/96 8/26/96 8/26/96 8/26/96 8/26/96
Last Principal Payment 4/25/11 10/25/99 10/25/98 4/25/98 12/25/97 10/25/97
Principal Lockout (months) none none none none none none
Principal Window (months) 177 39 27 21 17 15
Illustrative Yield @ Par (30/360) 6.973% 6.722% 6.606% 6.501% 6.404% 6.314%
- ------------------------------------------------------------------------------------------------------------
Class A-2 (to maturity)
- ------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 11% 16.5% 22% 27.5% 33%
- ------------------------------------------------------------------------------------------------------------
Average Life (years) 14.74 3.94 2.74 2.10 1.71 1.44
Modified Duration (years) 8.85 3.32 2.41 1.89 1.56 1.33
First Principal Payment 4/25/11 10/25/99 10/25/98 4/25/98 12/25/97 10/25/97
Last Principal Payment 4/25/11 4/25/01 10/25/99 1/25/99 7/25/98 3/25/98
Principal Lockout (months) 176 38 26 20 16 14
Principal Window (months) 1 19 13 10 8 6
Illustrative Yield @ Par (30/360) 7.183% 7.094% 7.040% 6.985% 6.932% 6.879%
- ------------------------------------------------------------------------------------------------------------
</TABLE>
BEAR STEARNS
This information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates and Other Information
(the "Statement"), which should be attached. Do not use or rely on this
information if you have not received and reviewed this Statement. You may obtain
a copy of the Statement from your sales representative.
<PAGE>
<TABLE>
<CAPTION>
IMC Home Equity Loan Trust 1996-3
Information Relating to the Certificates (page 2 of 3)
Class A-3 (to maturity)
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 11% 16.5% 22% 27.5% 33%
- ------------------------------------------------------------------------------------------------------------
Average Life (years) 14.74 5.90 4.08 3.10 2.49 2.07
Modified Duration (years) 8.75 4.63 3.41 2.68 2.20 1.86
First Principal Payment 4/25/11 4/25/01 10/25/99 1/25/99 7/25/98 3/25/98
Last Principal Payment 4/25/11 10/25/03 7/25/01 5/25/00 8/25/99 1/25/99
Principal Lockout (months) 176 56 38 29 23 19
Principal Window (months) 1 31 22 17 14 11
Illustrative Yield @ Par (30/360) 7.356% 7.307% 7.270% 7.231% 7.191% 7.151%
- ------------------------------------------------------------------------------------------------------------
Class A-4 (to maturity)
- ------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 11% 16.5% 22% 27.5% 33%
- ------------------------------------------------------------------------------------------------------------
Average Life (years) 14.74 7.63 5.29 4.00 3.20 2.65
Modified Duration (years) 8.67 5.63 4.23 3.35 2.75 2.33
First Principal Payment 4/25/11 10/25/03 7/25/01 5/25/00 8/25/99 1/25/99
Last Principal Payment 4/25/11 7/25/04 2/25/02 10/25/00 11/25/99 5/25/99
Principal Lockout (months) 176 86 59 45 36 29
Principal Window (months) 1 10 8 6 4 5
Illustrative Yield @ Par (30/360) 7.499% 7.468% 7.439% 7.408% 7.376% 7.343%
- ------------------------------------------------------------------------------------------------------------
Class A-5 (to maturity)
- ------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 11% 16.5% 22% 27.5% 33%
- ------------------------------------------------------------------------------------------------------------
Average Life (years) 14.92 9.84 6.88 5.20 4.14 3.42
Modified Duration (years) 8.63 6.67 5.16 4.14 3.43 2.90
First Principal Payment 4/25/11 7/25/04 2/25/02 10/25/00 11/25/99 5/25/99
Last Principal Payment 3/25/13 7/25/08 1/25/05 12/25/02 8/25/01 9/25/00
Principal Lockout (months) 176 95 66 50 39 33
Principal Window (months) 24 49 36 27 22 17
Illustrative Yield @ Par (30/360) 7.683% 7.666% 7.644% 7.620% 7.594% 7.567%
- ------------------------------------------------------------------------------------------------------------
</TABLE>
BEAR STEARNS
This information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates and Other Information
(the "Statement"), which should be attached. Do not use or rely on this
information if you have not received and reviewed this Statement. You may obtain
a copy of the Statement from your sales representative.
<PAGE>
<TABLE>
<CAPTION>
IMC Home Equity Loan Trust 1996-3
Information Relating to the Certificates (page 3 of 3)
Class A-6 (to maturity)
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 11% 16.5% 22% 27.5% 33%
- ------------------------------------------------------------------------------------------------------------
Average Life (years) 18.93 13.45 9.62 7.30 5.80 4.77
Modified Duration (years) 9.48 7.99 6.50 5.35 4.49 3.83
First Principal Payment 3/25/13 7/25/08 1/25/05 12/25/02 8/25/01 9/25/00
Last Principal Payment 4/25/18 4/25/11 7/25/07 12/25/04 3/25/03 1/25/02
Principal Lockout (months) 199 143 101 76 60 49
Principal Window (months) 62 34 31 25 20 17
Illustrative Yield @ Par (30/360) 7.986% 7.976% 7.961% 7.943% 7.924% 7.904%
- ------------------------------------------------------------------------------------------------------------
Class A-7 (to maturity)
- ------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 11% 16.5% 22% 27.5% 33%
- ------------------------------------------------------------------------------------------------------------
Average Life (years) 25.78 15.56 13.59 11.14 9.06 7.45
Modified Duration (years) 10.40 8.49 7.90 7.00 6.11 5.33
First Principal Payment 4/25/18 4/25/11 7/25/07 12/25/04 3/25/03 1/25/02
Last Principal Payment 6/25/25 11/25/16 12/25/13 4/25/11 4/25/11 12/25/08
Principal Lockout (months) 260 176 131 100 79 65
Principal Window (months) 87 68 78 77 98 84
Illustrative Yield @ Par (30/360) 8.248% 8.236% 8.231% 8.222% 8.211% 8.198%
- ------------------------------------------------------------------------------------------------------------
** Class A-7 (to 10% clean-up call)
- ------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 11% 16.5% 22% 27.5% 33%
- ------------------------------------------------------------------------------------------------------------
Average Life (years) 23.99 14.74 11.74 8.93 7.11 5.86
Modified Duration (years) 10.18 8.28 7.29 6.12 5.20 4.49
First Principal Payment 4/25/18 4/25/11 7/25/07 12/25/04 3/25/03 1/25/02
Last Principal Payment 11/25/20 4/25/11 5/25/08 7/25/05 9/25/03 6/25/02
Principal Lockout (months) 260 176 131 100 79 65
Principal Window (months) 32 1 11 8 7 6
Illustrative Yield @ Par (30/360) 8.247% 8.234% 8.226% 8.211% 8.196% 8.179%
- ------------------------------------------------------------------------------------------------------------
</TABLE>
BEAR STEARNS
This information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates and Other Information
(the "Statement"), which should be attached. Do not use or rely on this
information if you have not received and reviewed this Statement. You may obtain
a copy of the Statement from your sales representative.
Nomura Securities International, Inc. - Residential Whole Loan Desk
---------------------------------------------------------------------
<TABLE>
<CAPTION>
- ----------------------- --------------------- ---------------- ------------------ ---------------------
<S> <C> <C> <C> <C> <C>
Trading Desk :x2266 Chris Woschenko Dean Smith Victor Calandra Raymond Lafontant
- ----------------------- --------------------- ---------------- ------------------ ---------------------
</TABLE>
IMC Home Equity Loan Trust 1996 - 3
$250,000,000
Proposed Security
- -------------- ------------------- -------------- ---------- -------------------
Approximate Price Talk
----------- ----------
Class Balance Coupon WAL1 (Unofficial)
----- ------- ------ ----
A-1 $84,132,000 Fixed 0.90 +62
A-2 $30,423,000 Fixed 2.10 +65
A-3 $39,920,000 Fixed 3.10 +72
A-4 $9,636,000 Fixed 4.00 +80
A-5 $37,842,000 Fixed 5.20 +92
A-6 $19,855,000 Fixed 7.30 +112
A-7 $28,192,000 Fixed 11.14 +130
- -------------- ------------------- -------------- ---------- -------------------
Issuer: IMC Home Equity Loan Trust 1996-3
Seller / Servicer: Industry Mortgage Company, L.P.
Structure: Sequential Pay
Underwriters: Bear Stearns - Lead Manager
Nomura - Co-Manager
NatWest - Co-Manager
Credit Support: Excess Spread / Over-collateralization
FSA Insured
Collateral: Home-equity, closed-end, 1st & 2nd liens
Call Feature: 10% Clean-up
Pre-Funding: $114,000
Rating: Aaa / Moody's - AAA / S&P
ERISA: Yes
SMMEA: No
Trustee: Chase Manhattan Bank
Anticipated Dates: Pre-Marketing Thursday 7/18/96
Friday 7/19/96
Launch Deal Monday 7/22/96
Price Deal Tuesday 7/23/96
Settlement Tuesday 7/30/96
--------
1 Prepayment Assumption : 4% CPR in month 1 and an additional 1.636%
per month in each month through month 12, 22% CPR thereafter.
<PAGE>
<TABLE>
<CAPTION>
- --------------------------------------------------- ---------------------------------------------------------
Current Balance % Rate Margin Amortized Remaining Term % Rate Margin
- --------------------------------------------------- ---------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
equal to or
0.01- 50,000.00 26.1 12.129 0.000 greater than - 0 0.1 11.630 0.000
50,000.01- 100,000.00 38.9 11.559 0.000 49 - 60 0.1 10.834 0.000
100,000.01- 150,000.00 19.3 11.327 0.000 61 - 72 0.0 14.990 0.000
150,000.01- 200,000.00 8.8 11.370 0.000 73 - 84 0.1 12.485 0.000
200,000.01- 250,000.00 2.8 11.180 0.000 85 - 96 0.0 10.990 0.000
250,000.01- 300,000.00 1.6 11.209 0.000 97 -108 0.0 14.673 0.000
300,000.01- 350,000.00 1.0 11.512 0.000 109 - 120 1.3 11.743 0.000
350,000.01- 400,000.00 1.2 10.625 0.000 133 - 144 0.0 11.750 0.000
400,000.01- 450,000.00 0.2 11.990 0.000 145 - 156 0.0 12.559 0.000
- --------------------------------------------------- 157 - 168 0.1 12.729 0.000
Total: 100.0 11.619 0.000 169 - 180 12.9 11.751 0.000
- --------------------------------------------------- 181 - 192 0.0 12.262 0.000
Max: 439,874 Avg: 62,130 193 - 204 0.0 9.200 0.000
- --------------------------------------------------- 205 - 216 0.0 14.769 0.000
217 - 228 0.1 13.666 0.000
- --------------------------------------------------- 229 - 240 10.4 11.353 0.000
Gross Coupon % Rate Margin 241 - 252 0.1 11.500 0.000
- --------------------------------------------------- 253 - 264 0.0 11.100 0.000
7.501 - 8.000 0.2 7.771 0.000 265 - 276 0.0 14.500 0.000
8.001 - 8.500 0.2 8.407 0.000 277 - 288 0.0 11.875 0.000
8.501 - 9.000 1.6 8.867 0.000 289 - 300 0.1 11.462 0.000
9.001 - 9.500 2.9 9.375 0.000 301 - 312 0.2 11.819 0.000
9.501 -10.000 9.9 9.859 0.000 313 - 324 0.2 12.744 0.000
10.001+ 85.2 11.967 0.000 325 - 336 0.3 11.995 0.000
- --------------------------------------------------- 337 - 348 1.4 11.482 0.000
Total: 100.0 11.619 0.000 349 - 360 72.4 11.625 0.000
- --------------------------------------------------- 361+ 0.1 10.813 0.000
WAC: 11.619 ---------------------------------------------------------
- --------------------------------------------------- Total: 100.0 11.619 0.000
---------------------------------------------------------
Wgt Avg:316.5
---------------------------------------------------------
- --------------------------------------------------- ---------------------------------------------------------
Original Term % Rate Margin Lien Position % Rate Margin
- --------------------------------------------------- ---------------------------------------------------------
60 0.2 12.004 0.000 1 91.0 11.582 0.000
72 0.0 14.990 0.000 2 9.0 11.996 0.000
84 0.1 12.485 0.000 ---------------------------------------------------------
96 0.0 10.990 0.000 Total: 100.0 11.619 0.000
120 1.4 11.820 0.000 ---------------------------------------------------------
144 0.0 11.750 0.000
150 0.1 12.450 0.000 ---------------------------------------------------------
180 66.1 11.779 0.000 Documentation Level % Rate Margin
185 0.0 18.040 0.000 ---------------------------------------------------------
240 10.6 11.369 0.000 Full 76.0 11.562 0.000
300 0.0 10.750 0.000 NIQ 22.0 11.830 0.000
360 21.5 11.229 0.000 NIV 2.1 11.496 0.000
- --------------------------------------------------- ---------------------------------------------------------
Total: 100.0 11.619 0.000 Total: 100.0 11.619 0.000
- --------------------------------------------------- ---------------------------------------------------------
Wgt Avg:223.9
- ---------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
- ---------------------------------------------------- ---------------------------------------------------------
Original LTV % Rate Margin Top Zip Code Concentration % Rate Margin
- ---------------------------------------------------- ---------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
equal to or greater
than - 50.00 15.2 12.047 0.000 20011 0.9 12.244 0.000
50.01- 55.00 3.1 12.011 0.000 Other 99.1 11.614 0.000
55.01- 60.00 5.2 12.315 0.000 ---------------------------------------------------------
60.01- 65.00 8.1 12.173 0.000 Total: 100.0 11.619 0.000
65.01- 70.00 12.7 11.867 0.000 ---------------------------------------------------------
70.01- 75.00 15.9 11.280 0.000
75.01- 80.00 26.0 11.326 0.000
80.01- 85.00 8.0 11.340 0.000 ----------------------------------------------------------
85.01- 90.00 5.5 10.939 0.000 Top 5 State Concentration % Rate Margin
90.01- 95.00 0.2 11.298 0.000 ----------------------------------------------------------
95.01- 100.00 0.2 11.961 0.000 NY 11.1 11.339 0.000
105.01- 110.00 0.0 14.990 0.000 MD 9.9 11.661 0.000
110.01- 115.00 0.0 11.722 0.000 FL 9.0 11.653 0.000
115.01- 120.00 0.0 11.990 0.000 NJ 8.3 11.806 0.000
- ---------------------------------------------------- MI 7.3 11.877 0.000
Total: 100.0 11.619 0.000 Other 54.4 11.601 0.000
- ---------------------------------------------------- ----------------------------------------------------------
Wgt Avg: 67.95 Total: 100.0 11.619 0.000
- ---------------------------------------------------- ----------------------------------------------------------
- ---------------------------------------------------- ----------------------------------------------------------
Loan Purpose % Rate Margin Nomura Credit Rating % Rate Margin
- ---------------------------------------------------- ----------------------------------------------------------
Cash Out Refinance 79.0 11.628 0.000 A 40.4 10.949 0.000
Purchase 13.2 11.531 0.000 B 29.3 11.502 0.000
Rate/Term Refinance 7.5 11.685 0.000 C 22.3 12.259 0.000
- ---------------------------------------------------- D 8.0 13.662 0.000
Total: 100.0 11.619 0.000 ----------------------------------------------------------
- ---------------------------------------------------- Total: 100.0 11.619 0.000
----------------------------------------------------------
- ----------------------------------------------------
Property Types % Rate Margin ----------------------------------------------------------
- ---------------------------------------------------- Prepayment Penalty % Rate Margin
Single Family 87.3 11.593 0.000 ----------------------------------------------------------
2 Family 4.9 11.688 0.000 No 70.7 11.623 0.000
SF Attached 3.6 11.973 0.000 Yes 29.3 11.612 0.000
Condo Low Rise 1.2 11.450 0.000 ----------------------------------------------------------
Other 2.9 11.926 0.000 Total: 100.0 11.619 0.000
- ---------------------------------------------------- ----------------------------------------------------------
Total: 100.0 11.619 0.000
- ---------------------------------------------------- ----------------------------------------------------------
Paid Thru Date % Rate Margin
----------------------------------------------------------
- ---------------------------------------------------- 1996-03 0.5 11.579 0.000
Occupancy Status % Rate Margin 1996-04 5.7 12.145 0.000
- ---------------------------------------------------- 1996-05 33.4 11.775 0.000
Primary 91.4 11.605 0.000 1996-06 58.2 11.496 0.000
Investment 8.1 11.772 0.000 1996-07 2.0 11.158 0.000
Secondary 0.5 11.681 0.000 1996-08 0.1 11.750 0.000
- ---------------------------------------------------- 1996-09 0.0 10.875 0.000
Total: 100.0 11.619 0.000 1996-10 0.1 9.990 0.000
- ---------------------------------------------------- 1996-11 0.0 12.250 0.000
1997-03 0.0 11.250 0.000
----------------------------------------------------------
Total: 100.0 11.619 0.000
----------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
- ---------------------------------------------------- -----------------------------------------------------------
Margin % Rate Margin Table Page
- ---------------------------------------------------- -----------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
equal to or greater
than -0.000 100.0 11.619 0.000
- ---------------------------------------------------- Current Balance 1
Total 100.0 11.619 0.000 Gross Coupon 1
- ---------------------------------------------------- Original Term 1
Avg: 0.000 Amortized Remaining Term 1
- ---------------------------------------------------- Lien Position 1
Documentation Level 1
Original LTV 2
- ---------------------------------------------------- Loan Purpose 2
Periodic Rate Cap % Rate Margin Property Types 2
- ---------------------------------------------------- Occupancy Status 2
0.000 100.0 11.619 0.000 Top Zip Code Concentration 2
- ---------------------------------------------------- Top 5 State Concentrations 2
Total: 100.0 11.619 0.000 Nomura Credit Rating 2
- ---------------------------------------------------- Prepayment Penalty 2
Avg: 0.000 Paid Thru Date 2
- ---------------------------------------------------- Margin 3
Periodic Rate Cap 3
Floor 3
- ---------------------------------------------------- Next Roll Date 3
Floor % Rate Margin Originator 3
- ---------------------------------------------------- Product Type 3
equal to or greater ----------------------------------------------------------
than -0.000 100.0 11.619 0.000
0.501-1.000 0.0 11.600 0.000
- ----------------------------------------------------
Total: 100.0 11.619 0.000
- ----------------------------------------------------
Avg: 0.000
- ----------------------------------------------------
- ----------------------------------------------------
Next Roll Date % Rate Margin
- ----------------------------------------------------
0 100.0 11.620 0.000
1997-01-01 0.0 11.100 0.000
- ----------------------------------------------------
Total: 100.0 11.619 0.000
- ----------------------------------------------------
- ----------------------------------------------------
Originator % Rate Margin
- ----------------------------------------------------
IMC 100.0 11.619 0.000
- ---------------------------------------------------
Total: 100.0 11.619 0.000
- ----------------------------------------------------
- ----------------------------------------------------
Product Type % Rate Margin
- ----------------------------------------------------
6Mo LIBOR-Standard 0.0 11.100 0.000
20Yr, 15Yr ,Balloons 78.5 11.727 0.000
30Yr Fixed 21.5 11.228 0.000
- ----------------------------------------------------
Total: 100.0 11.619 0.000
- ----------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
IMC Home Equity Loan Trust 1996-3
Information Relating to the Certificates (page 1 of 3)
TRANSACTION SUMMARY (a), (b)
- ---------------- -------------- ------------- ------------- ------------ ------------- ------------ ----------------
Estimated Estimated Estimated Estimated
WAL Modified Principal Principal Expected
Approximate to Maturity Duration Lockout Window Ratings
Certificate Size Coupon (years) (years) (months) (months) (Moody's/S&P)
- ---------------- -------------- ------------- ------------- ------------ ------------- ------------ ----------------
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-1 $ 84,132,000 Fixed 0.90 0.84 none 21 Aaa/AAA (b)
Class A-2 $ 30,423,000 Fixed 2.10 1.89 20 10 Aaa/AAA (b)
Class A-3 $ 39,920,000 Fixed 3.10 2.68 29 17 Aaa/AAA (b)
Class A-4 $ 9,636,000 Fixed 4.00 3.35 45 6 Aaa/AAA (b)
Class A-5 $ 37,842,000 Fixed 5.20 4.14 50 27 Aaa/AAA (b)
Class A-6 $ 19,855,000 Fixed 7.30 5.35 76 25 Aaa/AAA (b)
Class A-7 $ 28,192,000 Fixed 11.14 7.00 100 77 Aaa/AAA (b)
- ---------------- -------------- ------------- ------------- ------------ ------------- ------------ ----------------
Notes: (a) 100% Prepayment Assumption: 4.0% CPR in month 1, and an additional 1.636% per annum in each month
thereafter until month 12. On and after month 12, 22% CPR.
(b) FSA surety bond.
Class A-1 (to maturity)
- ------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 11% 16.5% 22% 27.5% 33%
- ------------------------------------------------------------------------------------------------------------
Average Life (years) 8.60 1.55 1.13 0.90 0.76 0.66
Modified Duration (years) 5.89 1.40 1.04 0.84 0.72 0.63
First Principal Payment 8/26/96 8/26/96 8/26/96 8/26/96 8/26/96 8/26/96
Last Principal Payment 4/25/11 10/25/99 10/25/98 4/25/98 12/25/97 10/25/97
Principal Lockout (months) none none none none none none
Principal Window (months) 177 39 27 21 17 15
Illustrative Yield @ Par (30/360) 6.973% 6.722% 6.606% 6.501% 6.404% 6.314%
- ------------------------------------------------------------------------------------------------------------
Class A-2 (to maturity)
- ------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 11% 16.5% 22% 27.5% 33%
- ------------------------------------------------------------------------------------------------------------
Average Life (years) 14.74 3.94 2.74 2.10 1.71 1.44
Modified Duration (years) 8.85 3.32 2.41 1.89 1.56 1.33
First Principal Payment 4/25/11 10/25/99 10/25/98 4/25/98 12/25/97 10/25/97
Last Principal Payment 4/25/11 4/25/01 10/25/99 1/25/99 7/25/98 3/25/98
Principal Lockout (months) 176 38 26 20 16 14
Principal Window (months) 1 19 13 10 8 6
Illustrative Yield @ Par (30/360) 7.183% 7.094% 7.040% 6.985% 6.932% 6.879%
- ------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<PAGE>
<TABLE>
<CAPTION>
IMC Home Equity Loan Trust 1996-3
Information Relating to the Certificates (page 2 of 3)
Class A-3 (to maturity)
- ------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 11% 16.5% 22% 27.5% 33%
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 14.74 5.90 4.08 3.10 2.49 2.07
Modified Duration (years) 8.75 4.63 3.41 2.68 2.20 1.86
First Principal Payment 4/25/11 4/25/01 10/25/99 1/25/99 7/25/98 3/25/98
Last Principal Payment 4/25/11 10/25/03 7/25/01 5/25/00 8/25/99 1/25/99
Principal Lockout (months) 176 56 38 29 23 19
Principal Window (months) 1 31 22 17 14 11
Illustrative Yield @ Par (30/360) 7.356% 7.307% 7.270% 7.231% 7.191% 7.151%
- ------------------------------------------------------------------------------------------------------------
Class A-4 (to maturity)
- ------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 11% 16.5% 22% 27.5% 33%
- ------------------------------------------------------------------------------------------------------------
Average Life (years) 14.74 7.63 5.29 4.00 3.20 2.65
Modified Duration (years) 8.67 5.63 4.23 3.35 2.75 2.33
First Principal Payment 4/25/11 10/25/03 7/25/01 5/25/00 8/25/99 1/25/99
Last Principal Payment 4/25/11 7/25/04 2/25/02 10/25/00 11/25/99 5/25/99
Principal Lockout (months) 176 86 59 45 36 29
Principal Window (months) 1 10 8 6 4 5
Illustrative Yield @ Par (30/360) 7.499% 7.468% 7.439% 7.408% 7.376% 7.343%
- ------------------------------------------------------------------------------------------------------------
Class A-5 (to maturity)
- ------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 11% 16.5% 22% 27.5% 33%
- ------------------------------------------------------------------------------------------------------------
Average Life (years) 14.92 9.84 6.88 5.20 4.14 3.42
Modified Duration (years) 8.63 6.67 5.16 4.14 3.43 2.90
First Principal Payment 4/25/11 7/25/04 2/25/02 10/25/00 11/25/99 5/25/99
Last Principal Payment 3/25/13 7/25/08 1/25/05 12/25/02 8/25/01 9/25/00
Principal Lockout (months) 176 95 66 50 39 33
Principal Window (months) 24 49 36 27 22 17
Illustrative Yield @ Par (30/360) 7.683% 7.666% 7.644% 7.620% 7.594% 7.567%
- ------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<PAGE>
<TABLE>
<CAPTION>
IMC Home Equity Loan Trust 1996-3
Information Relating to the Certificates (page 3 of 3)
Class A-6 (to maturity)
- ------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 11% 16.5% 22% 27.5% 33%
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 18.93 13.45 9.62 7.30 5.80 4.77
Modified Duration (years) 9.48 7.99 6.50 5.35 4.49 3.83
First Principal Payment 3/25/13 7/25/08 1/25/05 12/25/02 8/25/01 9/25/00
Last Principal Payment 4/25/18 4/25/11 7/25/07 12/25/04 3/25/03 1/25/02
Principal Lockout (months) 199 143 101 76 60 49
Principal Window (months) 62 34 31 25 20 17
Illustrative Yield @ Par (30/360) 7.986% 7.976% 7.961% 7.943% 7.924% 7.904%
- ------------------------------------------------------------------------------------------------------------
Class A-7 (to maturity)
- ------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 11% 16.5% 22% 27.5% 33%
- ------------------------------------------------------------------------------------------------------------
Average Life (years) 25.78 15.56 13.59 11.14 9.06 7.45
Modified Duration (years) 10.40 8.49 7.90 7.00 6.11 5.33
First Principal Payment 4/25/18 4/25/11 7/25/07 12/25/04 3/25/03 1/25/02
Last Principal Payment 6/25/25 11/25/16 12/25/13 4/25/11 4/25/11 12/25/08
Principal Lockout (months) 260 176 131 100 79 65
Principal Window (months) 87 68 78 77 98 84
Illustrative Yield @ Par (30/360) 8.248% 8.236% 8.231% 8.222% 8.211% 8.198%
- ------------------------------------------------------------------------------------------------------------
** Class A-7 (to 10% clean-up call)
- ------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 11% 16.5% 22% 27.5% 33%
- ------------------------------------------------------------------------------------------------------------
Average Life (years) 23.99 14.74 11.74 8.93 7.11 5.86
Modified Duration (years) 10.18 8.28 7.29 6.12 5.20 4.49
First Principal Payment 4/25/18 4/25/11 7/25/07 12/25/04 3/25/03 1/25/02
Last Principal Payment 11/25/20 4/25/11 5/25/08 7/25/05 9/25/03 6/25/02
Principal Lockout (months) 260 176 131 100 79 65
Principal Window (months) 32 1 11 8 7 6
Illustrative Yield @ Par (30/360) 8.247% 8.234% 8.226% 8.211% 8.196% 8.179%
- ------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
IMC Home Equity Loan Trust 1996-3
Information Relating to the Certificates (page 1 of 3)
Transaction Summary (a), (b)
- ---------------- -------------- ------------ -------------- ------------ ------------ ------------- ----------------
Estimated Estimated Estimated Estimated
WAL Modified Principal Principal Expected
Approximate to Maturity Duration Lockout Window Ratings
Certificate Size Coupon (years) (years) (months) (months) (Moody's/S&P)
- ---------------- -------------- ------------ -------------- ------------ ------------ ------------- ----------------
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-1 $ 84,132,000 Fixed 0.90 0.84 none 21 Aaa/AAA (b)
Class A-2 $ 30,423,000 Fixed 2.10 1.89 20 10 Aaa/AAA (b)
Class A-3 $ 39,920,000 Fixed 3.10 2.68 29 17 Aaa/AAA (b)
Class A-4 $ 9,636,000 Fixed 4.00 3.35 45 6 Aaa/AAA (b)
Class A-5 $ 37,842,000 Fixed 5.20 4.14 50 27 Aaa/AAA (b)
Class A-6 $ 19,855,000 Fixed 7.30 5.35 76 25 Aaa/AAA (b)
Class A-7 $ 28,192,000 Fixed 11.14 7.00 100 77 Aaa/AAA (b)
- ---------------- -------------- ------------ -------------- ------------ ------------ ------------- ----------------
Notes: (a) 100% Prepayment Assumption: 4.0% CPR in month 1, and an additional 1.636% per annum in each month
thereafter until month 12. On and after month 12, 22% CPR.
(b) FSA surety bond.
Class A-1 (to maturity)
- ------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 11% 16.5% 22% 27.5% 33%
- ------------------------------------------------------------------------------------------------------------
Average Life (years) 8.60 1.55 1.13 0.90 0.76 0.66
Modified Duration (years) 5.89 1.40 1.04 0.84 0.72 0.63
First Principal Payment 8/26/96 8/26/96 8/26/96 8/26/96 8/26/96 8/26/96
Last Principal Payment 4/25/11 10/25/99 10/25/98 4/25/98 12/25/97 10/25/97
Principal Lockout (months) none none none none none none
Principal Window (months) 177 39 27 21 17 15
Illustrative Yield @ Par (30/360) 6.973% 6.722% 6.606% 6.501% 6.404% 6.314%
- ------------------------------------------------------------------------------------------------------------
Class A-2 (to maturity)
- ------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 11% 16.5% 22% 27.5% 33%
- ------------------------------------------------------------------------------------------------------------
Average Life (years) 14.74 3.94 2.74 2.10 1.71 1.44
Modified Duration (years) 8.85 3.32 2.41 1.89 1.56 1.33
First Principal Payment 4/25/11 10/25/99 10/25/98 4/25/98 12/25/97 10/25/97
Last Principal Payment 4/25/11 4/25/01 10/25/99 1/25/99 7/25/98 3/25/98
Principal Lockout (months) 176 38 26 20 16 14
Principal Window (months) 1 19 13 10 8 6
Illustrative Yield @ Par (30/360) 7.183% 7.094% 7.040% 6.985% 6.932% 6.879%
- ------------------------------------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by NatWest Capital
Markets Limited or any affiliate. The analyses contained herein have been
prepared on the basis of certain assumptions (including, in certain cases,
assumptions specified by the recipient hereof) regarding payments, interest
rates, losses and other matters, including but not limited to, the assumptions
described in the Offering Document. NatWest Capital Markets Limited and any of
its affiliates make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield on
the securities. This information supersedes any prior versions hereof and will
be deemed to be superseded by any subsequent versions (including, with respect
to any description of the securities or underlying assets, the information
contained in the Offering Document).
<PAGE>
IMC Home Equity Loan Trust 1996-3
Information Relating to the Certificates (page 2 of 3)
Class A-3 (to maturity)
- ------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 11% 16.5% 22% 27.5% 33%
- ------------------------------------------------------------------------------------------------------------
Average Life (years) 14.74 5.90 4.08 3.10 2.49 2.07
Modified Duration (years) 8.75 4.63 3.41 2.68 2.20 1.86
First Principal Payment 4/25/11 4/25/01 10/25/99 1/25/99 7/25/98 3/25/98
Last Principal Payment 4/25/11 10/25/03 7/25/01 5/25/00 8/25/99 1/25/99
Principal Lockout (months) 176 56 38 29 23 19
Principal Window (months) 1 31 22 17 14 11
Illustrative Yield @ Par (30/360) 7.356% 7.307% 7.270% 7.231% 7.191% 7.151%
- ------------------------------------------------------------------------------------------------------------
Class A-4 (to maturity)
- ------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 11% 16.5% 22% 27.5% 33%
- ------------------------------------------------------------------------------------------------------------
Average Life (years) 14.74 7.63 5.29 4.00 3.20 2.65
Modified Duration (years) 8.67 5.63 4.23 3.35 2.75 2.33
First Principal Payment 4/25/11 10/25/03 7/25/01 5/25/00 8/25/99 1/25/99
Last Principal Payment 4/25/11 7/25/04 2/25/02 10/25/00 11/25/99 5/25/99
Principal Lockout (months) 176 86 59 45 36 29
Principal Window (months) 1 10 8 6 4 5
Illustrative Yield @ Par (30/360) 7.499% 7.468% 7.439% 7.408% 7.376% 7.343%
- ------------------------------------------------------------------------------------------------------------
Class A-5 (to maturity)
- ------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 11% 16.5% 22% 27.5% 33%
- ------------------------------------------------------------------------------------------------------------
Average Life (years) 14.92 9.84 6.88 5.20 4.14 3.42
Modified Duration (years) 8.63 6.67 5.16 4.14 3.43 2.90
First Principal Payment 4/25/11 7/25/04 2/25/02 10/25/00 11/25/99 5/25/99
Last Principal Payment 3/25/13 7/25/08 1/25/05 12/25/02 8/25/01 9/25/00
Principal Lockout (months) 176 95 66 50 39 33
Principal Window (months) 24 49 36 27 22 17
Illustrative Yield @ Par (30/360) 7.683% 7.666% 7.644% 7.620% 7.594% 7.567%
- ------------------------------------------------------------------------------------------------------------
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by NatWest Capital
Markets Limited or any affiliate. The analyses contained herein have been
prepared on the basis of certain assumptions (including, in certain cases,
assumptions specified by the recipient hereof) regarding payments, interest
rates, losses and other matters, including but not limited to, the assumptions
described in the Offering Document. NatWest Capital Markets Limited and any of
its affiliates make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield on
the securities. This information supersedes any prior versions hereof and will
be deemed to be superseded by any subsequent versions (including, with respect
to any description of the securities or underlying assets, the information
contained in the Offering Document).
<PAGE>
<TABLE>
<CAPTION>
IMC Home Equity Loan Trust 1996-3
Information Relating to the Certificates (page 3 of 3)
Class A-6 (to maturity)
- ------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 11% 16.5% 22% 27.5% 33%
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 18.93 13.45 9.62 7.30 5.80 4.77
Modified Duration (years) 9.48 7.99 6.50 5.35 4.49 3.83
First Principal Payment 3/25/13 7/25/08 1/25/05 12/25/02 8/25/01 9/25/00
Last Principal Payment 4/25/18 4/25/11 7/25/07 12/25/04 3/25/03 1/25/02
Principal Lockout (months) 199 143 101 76 60 49
Principal Window (months) 62 34 31 25 20 17
Illustrative Yield @ Par (30/360) 7.986% 7.976% 7.961% 7.943% 7.924% 7.904%
- ------------------------------------------------------------------------------------------------------------
Class A-7 (to maturity)
- ------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 11% 16.5% 22% 27.5% 33%
- ------------------------------------------------------------------------------------------------------------
Average Life (years) 25.78 15.56 13.59 11.14 9.06 7.45
Modified Duration (years) 10.40 8.49 7.90 7.00 6.11 5.33
First Principal Payment 4/25/18 4/25/11 7/25/07 12/25/04 3/25/03 1/25/02
Last Principal Payment 6/25/25 11/25/16 12/25/13 4/25/11 4/25/11 12/25/08
Principal Lockout (months) 260 176 131 100 79 65
Principal Window (months) 87 68 78 77 98 84
Illustrative Yield @ Par (30/360) 8.248% 8.236% 8.231% 8.222% 8.211% 8.198%
- ------------------------------------------------------------------------------------------------------------
** Class A-7 (to 10% clean-up call)
- ------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 11% 16.5% 22% 27.5% 33%
- ------------------------------------------------------------------------------------------------------------
Average Life (years) 23.99 14.74 11.74 8.93 7.11 5.86
Modified Duration (years) 10.18 8.28 7.29 6.12 5.20 4.49
First Principal Payment 4/25/18 4/25/11 7/25/07 12/25/04 3/25/03 1/25/02
Last Principal Payment 11/25/20 4/25/11 5/25/08 7/25/05 9/25/03 6/25/02
Principal Lockout (months) 260 176 131 100 79 65
Principal Window (months) 32 1 11 8 7 6
Illustrative Yield @ Par (30/360) 8.247% 8.234% 8.226% 8.211% 8.196% 8.179%
- ------------------------------------------------------------------------------------------------------------
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by NatWest Capital
Markets Limited or any affiliate. The analyses contained herein have been
prepared on the basis of certain assumptions (including, in certain cases,
assumptions specified by the recipient hereof) regarding payments, interest
rates, losses and other matters, including but not limited to, the assumptions
described in the Offering Document. NatWest Capital Markets Limited and any of
its affiliates make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield on
the securities. This information supersedes any prior versions hereof and will
be deemed to be superseded by any subsequent versions (including, with respect
to any description of the securities or underlying assets, the information
contained in the Offering Document).
<PAGE>
IMC Home Equity Loan Trust 1996-3
Information Relating to the Collateral
<TABLE>
<CAPTION>
Fixed Rate Home Equity Loans)
Preliminary characteristics of the Initial Home Equity Loans as of 7/1/96
<S> <C> <C>
Total Number of Loans: 4,022
Total Outstanding Loan Balance: $249,885,488
Balloon (% of Total): 53.40%
Level Pay (% of Total): 46.60%
Average Loan Principal Balance: $62,130 ($2,570 to $439,874)
Weighted Average CLTV: 72.00% (4.10% to 116.96%)
Weighted Average Coupon: 11.619% (7.600% to 19.250%)
Weighted Average Remaining Term to Maturity (months): 221 (46 to 360)
Weighted Average Seasoning (months): 4 (1 to 43)
Weighted Average Original Term (months): 224 (60 to 360)
Range of Original Terms: Level Pay Balloons
-------------------------------- ---------------------------
60: 0.12% 60: 0.08%
61 - 120: 1.39% 61 - 120: 0.12%
121 - 180: 13.01% 121 - 180: 53.20%
181 - 240: 10.56%
241 - 300: 0.03%
301 - 360: 21.50%
Lien Position: 1st Lien: 91.05%
2nd Lien: 8.95%
Property Type:
Single Family Detached: 87.32%
Two to Four Family: 6.02%
Single Family Attached: 3.61%
Condominium / Townhouse: 2.36%
Other: 0.69%
Occupancy Status:
Owner Occupied: 91.39%
Non-Owner Occupied: 8.61%
Geographic Distribution: NY: 11.13% MI: 7.34%
(states not listed individually account for MD: 9.86% OH: 5.85%
less than 5.00% of the Pool Balance) FL: 9.03%
NJ: 8.28%
- --------------------------------------------------------------------------------
The information contained herein will be superseded
by the description of the collateral contained in the prospectus supplement.
- --------------------------------------------------------------------------------
</TABLE>
