<PAGE> 1
- --------------------------------------------------------------------------------
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)
November 19, 1997
IMC Securities, Inc.
------------------------------------------------------
(Exact name of registrant as specified in its charter)
<TABLE>
<S> <C> <C>
Delaware 333-24455 59-3284026
- ------------------------------------- ------------------------------------ -----------------------------
(State or Other Jurisdiction (Commission File Number) (I.R.S. Employer
of Incorporation) Identification No.)
</TABLE>
<TABLE>
<S> <C>
5901 East Fowler Avenue
Tampa Florida 33617-2362
- ------------------------------------------ ---------------------------------------
(Address of Principal (Zip Code)
Executive Offices)
</TABLE>
Registrant's telephone number, including area code (813) 984-8801
--------------
3450 Buschwood Park Drive, Tampa, Florida 33618
-------------------------------------------------------------
(Former name or former address, if changed since last report)
<PAGE> 2
ITEM 5. OTHER EVENTS.
In connection with the offering of IMC Home Equity Loan
Pass-Through Certificates, Series 1997-7, described in a Prospectus Supplement
to be dated as of November 20, 1997, 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:
8.1 Tax Opinion of Arter & Hadden
99.1 Related Computational Materials furnished by
PaineWebber Incorporated
99.2 Related Computational Materials furnished by Bear,
Stearns & Co. Inc.
99.3 Related Computational Materials furnished by Merrill
Lynch & Co.
99.4 Related Computational Materials furnished by Morgan
Stanley & Co. Incorporated
<PAGE> 3
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: President and Chief Operating Officer
Dated: November 19, 1997
<PAGE> 4
EXHIBIT INDEX
<TABLE>
<CAPTION>
EXHIBIT NO. DESCRIPTION PAGE NO.
<S> <C> <C>
8.1 Tax Opinion of Arter & Hadden
99.1 Related Computational Materials furnished by PaineWebber
Incorporated
99.2 Related Computational Materials furnished by Bear, Stearns
& Co. Inc.
99.3 Related Computational Materials furnished by Merrill
Lynch & Co.
99.4 Related Computational Materials furnished by Morgan
Stanley & Co. Incorporated
</TABLE>
<PAGE> 1
Exhibit 8.1
November 19, 1997
Re: IMC Securities, Inc.
Home Equity Loan Pass-Through Certificates, Series 1997-7
Registration Statement on Form S-3 No. 333-24455
Ladies and Gentlemen:
We have acted as counsel to IMC Securities, Inc. in connection with the
preparation and filing of the registration statement on Form S-3 (such
registration statement, the "Registration Statement") filed with the Securities
and Exchange Commission pursuant to the Securities Act of 1933, as amended (the
"Act"), in respect of Home Equity Loan Pass-Through Certificates, Series 1997-7
(the "Certificates"). Our advice formed the basis for the description of federal
income tax consequences appearing under the heading "Federal Income Tax
Consequences" in the prospectus supplement contained in the Registration
Statement. Such description does not purport to discuss all possible federal
income tax consequences of an investment in Certificates but with respect to
those tax consequences which are discussed, it is our opinion that the
description is accurate. In addition, assuming (i) the REMIC elections are made,
(ii) the Pooling and Servicing Agreement is fully executed, delivered and
enforceable against the parties thereto in accordance with its terms, (iii) the
transaction described in the prospectus supplement is completed on substantially
the terms and conditions set forth therein, and (iv) continuing compliance with
the Pooling and Servicing Agreement, it is our opinion that, for federal income
tax purposes: the Lower-Tier REMIC and the Upper-Tier REMIC will each be treated
as a REMIC; the Class A Certificates will be treated as "regular interests" in
the Upper-Tier REMIC; the Class R Certificates will be the sole "residual
interests" in the Upper-Tier REMIC; the Lower-Tier A-1 through A-8 Interests
will each be treated as "regular interests" in the Lower-Tier REMIC; and, the
Lower-Tier REMIC Residual Class will be the sole "residual interest" in the
Lower-Tier REMIC.
We hereby consent to the filing of this letter as an Exhibit to the
Registration Statement and to the reference to this firm in the Registration
Statement and related prospectus supplement under the heading "Federal Income
Tax Consequences."
Very truly yours,
/s/ Arter & Hadden
Arter & Hadden
<PAGE> 1
EXHIBIT 99.1
- --------------------------------------------------------------------------------
IMC HOME EQUITY LOAN TRUST 1997-7
- --------------------------------------------------------------------------------
PAINEWEBBER INCORPORATED
PRELIMINARY BACKGROUND INFORMATION
IMC HOME EQUITY LOAN TRUST 1997-7
DISCLAIMER
- -------------------------------------------------------------------------------
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.
- -------------------------------------------------------------------------------
PAINEWEBBER
<PAGE> 2
- --------------------------------------------------------------------------------
IMC HOME EQUITY LOAN TRUST 1997-7
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
THE INFORMATION CONTAINED HEREIN WELL BE SUPERSEDED BY THE DESCRIPTION OF
THE COLLATERAL CONTAINED IN THE PROSPECTUS SUPPLEMENT.
- --------------------------------------------------------------------------------
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:
<TABLE>
<S> <C> <C>
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
------------------------- ---------------------------
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%
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C>
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%
</TABLE>
* 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.
- --------------------------------------------------------------------------------
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 2
<PAGE> 3
- --------------------------------------------------------------------------------
IMC HOME EQUITY LOAN TRUST 1997-7
- --------------------------------------------------------------------------------
$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, Stearns and Co. Inc.
Morgan Stanley Dean Witter
Merrill Lynch & Co.
TRUSTEE: The Chase Manhattan Bank
TRANSACTION SUMMARY(a)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Estimated Estimated Estimated
WAL Principal Principal Expected
Approximate To Call Lockout Window Stated Ratings
CERTIFICATE Size Coupon (Years) (Years) (Years) Maturity (Moody's/S&P)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
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
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
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.
- --------------------------------------------------------------------------------
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
<PAGE> 4
- --------------------------------------------------------------------------------
IMC HOME EQUITY LOAN TRUST 1997-7
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
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
<PAGE> 5
- --------------------------------------------------------------------------------
IMC HOME EQUITY LOAN TRUST 1997-7
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
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
<PAGE> 6
- --------------------------------------------------------------------------------
IMC HOME EQUITY LOAN TRUST 1997-7
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
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.
</TABLE>
- --------------------------------------------------------------------------------
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 6
<PAGE> 7
- --------------------------------------------------------------------------------
IMC HOME EQUITY LOAN TRUST 1997-7
- --------------------------------------------------------------------------------
BOND SENSITIVITY TO PREPAYMENTS
CLASS A-1 (TO CALL)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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
<CAPTION>
CLASS A-2 (TO CALL)
- -----------------------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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
<CAPTION>
CLASS A-3 (TO CALL)
- -----------------------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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
<CAPTION>
CLASS A-4 (TO CALL)
- -----------------------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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
</TABLE>
- --------------------------------------------------------------------------------
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 7
<PAGE> 8
- --------------------------------------------------------------------------------
IMC HOME EQUITY LOAN TRUST 1997-7
- --------------------------------------------------------------------------------
BOND SENSITIVITY TO PREPAYMENTS (CONTINUED)
CLASS A-5 (TO CALL)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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
<CAPTION>
CLASS A-6 (TO CALL)
- -----------------------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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
<CAPTION>
CLASS A-7 (TO CALL)
- -----------------------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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
<CAPTION>
CLASS A-8 NAS BOND (TO CALL)
- -----------------------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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
</TABLE>
- --------------------------------------------------------------------------------
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 8
<PAGE> 9
- --------------------------------------------------------------------------------
IMC HOME EQUITY LOAN TRUST 1997-7
- --------------------------------------------------------------------------------
BOND SENSITIVITY TO PREPAYMENTS (CONTINUED)
CLASS A-6 (TO MATURITY)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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
<CAPTION>
CLASS A-7 BOND (TO MATURITY)
- -----------------------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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)
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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
</TABLE>
- --------------------------------------------------------------------------------
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 9
<PAGE> 1
EXHIBIT 99.2
BEAR STEARNS BEAR, STEARNS & CO. INC.
ATLANTA - BOSTON - CHICAGO ASSET-BACKED SECURITIES GROUP
DALLAS - LOS ANGELES - NEW YORK - SAN FRANCISCO 245 Park Avenue
FRANKFORT - GENEVA - HONG KONG New York, N.Y. 10167
LONDON - PARIS - TOKYO (212) 272-2000; (212) 272-7294 fax
FAX TRANSMITTAL
IMC HOME EQUITY LOAN TRUST 1997-7
---------------------------------
COMPUTATIONAL MATERIALS
- --------------------------------------------------------------------------------
FAX TO: DATE: 11/19/97
COMPANY: # PAGES (incl. cover):
FAX NO: PHONE NO:
- --------------------------------------------------------------------------------
FROM: PHONE NO:
- --------------------------------------------------------------------------------
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. 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 as 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 data 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.
<PAGE> 2
IMC HOME EQUITY LOAN TRUST 1997-7
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION
OF THE COLLATERAL CONTAINED IN THE PROSPECTUS SUPPLEMENT.
- --------------------------------------------------------------------------------
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:
<TABLE>
<S> <C> <C>
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
------------------------- ---------------------------
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%
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C>
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%
</TABLE>
* 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.
- --------------------------------------------------------------------------------
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.
1
<PAGE> 3
- --------------------------------------------------------------------------------
IMC HOME EQUITY LOAN TRUST 1997-7
- --------------------------------------------------------------------------------
$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, Stearns and Co. Inc.
Morgan Stanley Dean Witter
Merrill Lynch & Co.
TRUSTEE: The Chase Manhattan Bank
TRANSACTION SUMMARY(a)
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
ESTIMATED ESTIMATED ESTIMATED
WAL PRINCIPAL PRINCIPAL EXPECTED
APPROXIMATE TO CALL LOCKOUT WINDOW STATED RATINGS
CERTIFICATE SIZE COUPON (YEARS) (YEARS) (YEARS) MATURITY (MOODY'S/S&P)
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
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
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
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.
- --------------------------------------------------------------------------------
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.
2
<PAGE> 4
- --------------------------------------------------------------------------------
IMC HOME EQUITY LOAN TRUST 1997-7
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
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.
3
<PAGE> 5
- --------------------------------------------------------------------------------
IMC HOME EQUITY LOAN TRUST 1997-7
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
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.
4
<PAGE> 6
- --------------------------------------------------------------------------------
IMC HOME EQUITY LOAN TRUST 1997-7
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
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.
</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.
5
<PAGE> 7
- --------------------------------------------------------------------------------
IMC HOME EQUITY LOAN TRUST 1997-7
- --------------------------------------------------------------------------------
BOND SENSITIVITY TO PREPAYMENTS
<TABLE>
<CAPTION>
CLASS A-1 (TO CALL)
- -----------------------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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
<CAPTION>
CLASS A-2 (TO CALL)
- -----------------------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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
<CAPTION>
CLASS A-3 (TO CALL)
- -----------------------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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
<CAPTION>
CLASS A-4 (TO CALL)
- -----------------------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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
</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.
6
<PAGE> 8
- --------------------------------------------------------------------------------
IMC HOME EQUITY LOAN TRUST 1997-7
- --------------------------------------------------------------------------------
BOND SENSITIVITY TO PREPAYMENTS (CONTINUED)
<TABLE>
<CAPTION>
CLASS A-5 (TO CALL)
- -----------------------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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
<CAPTION>
CLASS A-6 (TO CALL)
- -----------------------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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
<CAPTION>
CLASS A-7 (TO CALL)
- -----------------------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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
<CAPTION>
CLASS A-8 NAS BOND (TO CALL)
- -----------------------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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
</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.
7
<PAGE> 9
- --------------------------------------------------------------------------------
IMC HOME EQUITY LOAN TRUST 1997-7
- --------------------------------------------------------------------------------
BOND SENSITIVITY TO PREPAYMENTS (CONTINUED)
<TABLE>
<CAPTION>
CLASS A-6 (TO MATURITY)
- -----------------------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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
<CAPTION>
CLASS A-7 BOND (TO MATURITY)
- -----------------------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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
<CAPTION>
CLASS A-8 NAS BOND (TO MATURITY)
- -----------------------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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
</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.
8
<PAGE> 1
EXHIBIT 99.3
- --------------------------------------------------------------------------------
IMC HOME EQUITY LOAN TRUST 1997-7
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION
OF THE COLLATERAL CONTAINED IN THE PROSPECTUS SUPPLEMENT.
- --------------------------------------------------------------------------------
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:
<TABLE>
<S> <C> <C>
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
------------------------- ---------------------------
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%
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C>
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%
</TABLE>
* 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.
[MERRILL LYNCH LOGO] 1
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE> 2
- --------------------------------------------------------------------------------
IMC HOME EQUITY LOAN TRUST 1997-7
- --------------------------------------------------------------------------------
$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, Stearns and Co. Inc.
Morgan Stanley Dean Witter
Merrill Lynch & Co.
TRUSTEE: The Chase Manhattan Bank
TRANSACTION SUMMARY (a)
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
ESTIMATED ESTIMATED ESTIMATED
WAL PRINCIPAL PRINCIPAL EXPECTED
APPROXIMATE TO CALL LOCKOUT WINDOW STATED RATINGS
CERTIFICATE SIZE COUPON (YEARS) (YEARS) (YEARS) MATURITY (MOODY'S/S&P)
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
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
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
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.
[MERRILL LYNCH LOGO] 2
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE> 3
- --------------------------------------------------------------------------------
IMC HOME EQUITY LOAN TRUST 1997-7
- --------------------------------------------------------------------------------
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.
[MERRILL LYNCH LOGO] 3
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE> 4
- --------------------------------------------------------------------------------
IMC HOME EQUITY LOAN TRUST 1997-7
- --------------------------------------------------------------------------------
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.
[MERRILL LYNCH LOGO] 4
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE> 5
- --------------------------------------------------------------------------------
IMC HOME EQUITY LOAN TRUST 1997-7
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
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.
</TABLE>
[MERRILL LYNCH LOGO] 5
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE> 6
- --------------------------------------------------------------------------------
IMC HOME EQUITY LOAN TRUST 1997-7
- --------------------------------------------------------------------------------
BOND SENSITIVITY TO PREPAYMENTS
CLASS A-1 (TO CALL)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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
<CAPTION>
CLASS A-2 (TO CALL)
- -----------------------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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
<CAPTION>
CLASS A-3 (TO CALL)
- -----------------------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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
<CAPTION>
CLASS A-4 (TO CALL)
- -----------------------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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
</TABLE>
[MERRILL LYNCH LOGO] 6
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE> 7
- --------------------------------------------------------------------------------
IMC HOME EQUITY LOAN TRUST 1997-7
- --------------------------------------------------------------------------------
BOND SENSITIVITY TO PREPAYMENTS (CONTINUED)
CLASS A-5 (TO CALL)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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
<CAPTION>
CLASS A-6 (TO CALL)
- -----------------------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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
<CAPTION>
CLASS A-7 (TO CALL)
- -----------------------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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
<CAPTION>
Class A-8 NAS Bond (to call)
- -----------------------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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
</TABLE>
[MERRILL LYNCH LOGO] 7
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE> 8
- --------------------------------------------------------------------------------
IMC HOME EQUITY LOAN TRUST 1997-7
- --------------------------------------------------------------------------------
BOND SENSITIVITY TO PREPAYMENTS (CONTINUED)
<TABLE>
<CAPTION>
CLASS A-6 (TO MATURITY)
- -----------------------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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
<CAPTION>
CLASS A-7 BOND (TO MATURITY)
- -----------------------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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
<CAPTION>
CLASS A-8 NAS BOND (TO MATURITY)
- -----------------------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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
</TABLE>
[MERRILL LYNCH LOGO] 8
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE> 9
- --------------------------------------------------------------------------------
IMC HOME EQUITY LOAN TRUST 1997-7
- --------------------------------------------------------------------------------
The attached tables and other statistical analyses (the "Term
Sheet") are privileged and confidential and are intended for use by the
addressee only. This Term Sheet is furnished to you solely by Merrill Lynch,
Pierce, Fenner & Smith Incorporated ("Merrill Lynch") and not by the issuer of
the securities or any of its affiliates. The issuer of these securities has not
prepared or taken part in the preparation of these materials. Neither Merrill
Lynch, the issuer of the securities nor any of its affiliates makes any
representation as to the accuracy or completeness of the information herein.
The information herein is preliminary, and will be subsequently filed with the
Securities and Exchange Commission. They may not be provided to any third party
other than the addressee's legal, tax, financial and/or accounting advisors for
the purposes of evaluating said material.
Numerous assumptions were used in preparing the Term Sheet which may
or may not be stated therein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Term Sheet in any particular
context; or as to whether the Term Sheet and/or the assumptions upon which it is
based reflect present market conditions or future market performance. This Term
Sheet should not be construed as either projections or predictions or as legal,
tax, financial or accounting advice.
Any yields or weighted average lives shown in the Term Sheet are
based on prepayment assumptions and actual prepayment experience may
dramatically affect such yields or weighted average lives. In addition, it is
possible that prepay ments on the underlying assets will occur at rates slower
or faster than the rates assumed in the attached Term Sheet. Furthermore,
unless otherwise provided, the Term Sheet assumes no losses on the underlying
assets and no interest shortfall. The specific characteristics of the
securities may differ from those shown in the Term Sheet due to differences
between the actual underlying assets and the hypothetical assets used in
preparing the Term Sheet. The principal amount and designation of any security
described in the Term Sheet are subject to change prior to issuance.
Although a registration statement (including the prospectus) relating
to the securities discussed in this communicati on has been filed with the
Securities and Exchange Commission and is effective, the final prospectus
supplement relating to the securities discussed in this communication has not
been filed with the Securities and Exchange Commission. This communication
shall not constitute an offer to sell or the solicitation of an offer to buy nor
shall there be any sale of the securities discussed in this communication in
any state in which such offer, solicitations or sale would be unlawful prior to
registratio n or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prosp ectus and prospectus
supplement relating to the securities discussed in this communication for
definitive Term Sheet on any matter discussed in this communication. A final
prospectus and prospectus supplement may be obtained by contacting the Merrill
Lynch Trading Desk at (212) 449-3659.
Please be advised that asset-backed securities may not be
appropriate for all investors. Potential investors must be willing to assume,
among other things, market price volatility, prepayments, yield curve and
interest rate risk. Investors should fully consider the risk of an investment
in these securities.
If you have received this communication in error, please notify the
sending party immediately by telephone and return the original to such party by
mail.
[MERRILL LYNCH LOGO] 9
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE> 1
EXHIBIT 99.4
IMC HOME EQUITY LOAN TRUST 1997-7
----------------------------------------------------------
PRELIMINARY BACKGROUND INFORMATION
IMC HOME EQUITY LOAN TRUST 1997-7
DISCLAIMER
- --------------------------------------------------------------------------------
THIS INFORMATION HAS BEEN PREPARED IN CONNECTION WITH THE ISSUANCE OF
SECURITIES REPRESENTING INTERESTS IN THE ABOVE TRUST, AND IS BASED IN PART ON
INFORMATION PROVIDED BY IMC MORTGAGE COMPANY WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOL OF CLOSED-END MORTGAGE LOANS IN WHICH THESE
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE CLOSED-END MORTGAGE LOANS WILL DIFFER
FROM THE ASSUMPTIONS USED IN PREPARING THESE MATERIALS, WHICH ARE HYPOTHETICAL
IN NATURE. CHANGES IN THE ASSUMPTIONS MAY HAVE A MATERIAL IMPACT ON THE
INFORMATION SET FORTH IN THESE MATERIALS. NO REPRESENTATION IS MADE THAT ANY
PERFORMANCE OR RETURN INDICATED HEREIN WILL BE ACHIEVED. FOR EXAMPLE, IT IS
VERY UNLIKELY THAT CLOSED-END MORTGAGE LOANS WILL PREPAY AT A CONSTANT RATE OR
FOLLOW A PREDICTABLE PATTERN. THIS INFORMATION MAY NOT BE USED OR OTHERWISE
DISSEMINATED IN CONNECTION WITH THE OFFER OR SALE OF THESE OR ANY OTHER
SECURITIES, EXCEPT IN CONNECTION WITH THE INITIAL OFFER OR SALE OF THESE
SECURITIES TO YOU TO THE EXTENT SET FORTH BELOW. NO REPRESENTATION IS MADE AS
TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS
OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. ADDITIONAL INFORMATION IS
AVAILABLE UPON REQUEST. THESE MATERIALS DO NOT CONSTITUTE AN OFFER TO BUY OR
SELL OR A SOLICITATION OF AN OFFER TO BUY OR SELL ANY SECURITY OR INSTRUMENT OR
TO PARTICIPATE IN ANY PARTICULAR TRADING STRATEGY. ANY SUCH OFFER TO BUY OR
SELL ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND
PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL
INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH
SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD
BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY
CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION
WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. IN THE EVENT OF ANY SUCH
OFFERING, THESE MATERIALS, INCLUDING ANY DESCRIPTION OF THE CLOSED-END MORTGAGE
LOANS CONTAINED HEREIN, SHALL BE DEEMED SUPERSEDED, AMENDED AND SUPPLEMENTED IN
THEIR ENTIRETY BY SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. TO OUR READERS
WORLDWIDE: IN ADDITION, PLEASE NOTE THAT THIS INFORMATION HAS BEEN PROVIDED BY
MORGAN STANLEY & CO. INCORPORATED AND APPROVED BY MORGAN STANLEY & CO.
INTERNATIONAL LIMITED, A MEMBER OF THE SECURITIES AND FUTURES AUTHORITY, AND
MORGAN STANLEY JAPAN LTD. WE RECOMMEND THAT INVESTORS OBTAIN THE ADVICE OF
THEIR MORGAN STANLEY & CO. INTERNATIONAL LIMITED OR MORGAN STANLEY JAPAN LTD.
REPRESENTATIVE ABOUT THE INVESTMENT CONCERNED. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
<PAGE> 2
IMC HOME EQUITY LOAN TRUST 1997-7
----------------------------------------------------------
- --------------------------------------------------------------------------------
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF
THE COLLATERAL CONTAINED IN THE PROSPECTUS SUPPLEMENT.
- --------------------------------------------------------------------------------
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:
* 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.
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by IMC Mortgage Company with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is
very unlikely that closed-end mortgage loans will prepay at a constant rate or
follow a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS
TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS
OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR
SELL ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND
PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL
INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH
SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD
BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY
CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION
WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any such
offering, these materials, including any description of the closed-end mortgage
loans contained herein, shall be deemed superseded, amended and supplemented in
their entirety by such Prospectus and Prospectus Supplement. To Our Readers
Worldwide: In addition, please note that this information has been provided by
Morgan Stanley & Co. Incorporated and approved by Morgan Stanley & Co.
International Limited, a member of the Securities and Futures Authority, and
Morgan Stanley Japan Ltd. We recommend that investors obtain the advice of
their Morgan Stanley & Co. International Limited or Morgan Stanley Japan Ltd.
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
2
<PAGE> 3
IMC HOME EQUITY LOAN TRUST 1997-7
----------------------------------------------------------
$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, Stearns and Co. Inc.
Morgan Stanley Dean Witter
Merrill Lynch & Co.
TRUSTEE: The Chase Manhattan Bank
TRANSACTION SUMMARY (a)
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
ESTIMATED ESTIMATED ESTIMATED
WAL PRINCIPAL PRINCIPAL EXPECTED
APPROXIMATE TO CALL LOCKOUT WINDOW STATED RATINGS
CERTIFICATE SIZE COUPON (YEARS) (YEARS) (YEARS) MATURITY (MOODY'S/S&P)
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
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
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
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.
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by IMC Mortgage Company with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is
very unlikely that closed-end mortgage loans will prepay at a constant rate or
follow a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS
TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS
OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR
SELL ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND
PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL
INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH
SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD
BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY
CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION
WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any such
offering, these materials, including any description of the closed-end mortgage
loans contained herein, shall be deemed superseded, amended and supplemented in
their entirety by such Prospectus and Prospectus Supplement. To Our Readers
Worldwide: In addition, please note that this information has been provided by
Morgan Stanley & Co. Incorporated and approved by Morgan Stanley & Co.
International Limited, a member of the Securities and Futures Authority, and
Morgan Stanley Japan Ltd. We recommend that investors obtain the advice of
their Morgan Stanley & Co. International Limited or Morgan Stanley Japan Ltd.
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
3
<PAGE> 4
IMC HOME EQUITY LOAN TRUST 1997-7
----------------------------------------------------------
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.
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by IMC Mortgage Company with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is
very unlikely that closed-end mortgage loans will prepay at a constant rate or
follow a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS
TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS
OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR
SELL ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND
PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL
INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH
SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD
BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY
CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION
WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any such
offering, these materials, including any description of the closed-end mortgage
loans contained herein, shall be deemed superseded, amended and supplemented in
their entirety by such Prospectus and Prospectus Supplement. To Our Readers
Worldwide: In addition, please note that this information has been provided by
Morgan Stanley & Co. Incorporated and approved by Morgan Stanley & Co.
International Limited, a member of the Securities and Futures Authority, and
Morgan Stanley Japan Ltd. We recommend that investors obtain the advice of
their Morgan Stanley & Co. International Limited or Morgan Stanley Japan Ltd.
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
4
<PAGE> 5
IMC HOME EQUITY LOAN TRUST 1997-7
----------------------------------------------------------
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.
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by IMC Mortgage Company with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is
very unlikely that closed-end mortgage loans will prepay at a constant rate or
follow a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS
TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS
OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR
SELL ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND
PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL
INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH
SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD
BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY
CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION
WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any such
offering, these materials, including any description of the closed-end mortgage
loans contained herein, shall be deemed superseded, amended and supplemented in
their entirety by such Prospectus and Prospectus Supplement. To Our Readers
Worldwide: In addition, please note that this information has been provided by
Morgan Stanley & Co. Incorporated and approved by Morgan Stanley & Co.
International Limited, a member of the Securities and Futures Authority, and
Morgan Stanley Japan Ltd. We recommend that investors obtain the advice of
their Morgan Stanley & Co. International Limited or Morgan Stanley Japan Ltd.
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
5
<PAGE> 6
IMC HOME EQUITY LOAN TRUST 1997-7
----------------------------------------------------------
CUT-OFF DATE: November 1, 1997 (close of business)
<TABLE>
<S> <C> <C>
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
</TABLE>
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").
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by IMC Mortgage Company with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is
very unlikely that closed-end mortgage loans will prepay at a constant rate or
follow a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS
TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS
OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR
SELL ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND
PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL
INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH
SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD
BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY
CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION
WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any such
offering, these materials, including any description of the closed-end mortgage
loans contained herein, shall be deemed superseded, amended and supplemented in
their entirety by such Prospectus and Prospectus Supplement. To Our Readers
Worldwide: In addition, please note that this information has been provided by
Morgan Stanley & Co. Incorporated and approved by Morgan Stanley & Co.
International Limited, a member of the Securities and Futures Authority, and
Morgan Stanley Japan Ltd. We recommend that investors obtain the advice of
their Morgan Stanley & Co. International Limited or Morgan Stanley Japan Ltd.
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
6
<PAGE> 7
IMC HOME EQUITY LOAN TRUST 1997-7
----------------------------------------------------------
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.
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by IMC Mortgage Company with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is
very unlikely that closed-end mortgage loans will prepay at a constant rate or
follow a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS
TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS
OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR
SELL ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND
PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL
INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH
SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD
BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY
CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION
WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any such
offering, these materials, including any description of the closed-end mortgage
loans contained herein, shall be deemed superseded, amended and supplemented in
their entirety by such Prospectus and Prospectus Supplement. To Our Readers
Worldwide: In addition, please note that this information has been provided by
Morgan Stanley & Co. Incorporated and approved by Morgan Stanley & Co.
International Limited, a member of the Securities and Futures Authority, and
Morgan Stanley Japan Ltd. We recommend that investors obtain the advice of
their Morgan Stanley & Co. International Limited or Morgan Stanley Japan Ltd.
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
7
<PAGE> 8
IMC HOME EQUITY LOAN TRUST 1997-7
----------------------------------------------------------
BOND SENSITIVITY TO PREPAYMENTS
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
CLASS A-1 (TO CALL)
- -----------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------
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
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
CLASS A-2 (TO CALL)
- -----------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------
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 14.17 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
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
CLASS A-3 (TO CALL)
- -----------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------
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
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
CLASS A-4 (TO CALL)
- -----------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------
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
</TABLE>
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by IMC Mortgage Company with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is
very unlikely that closed-end mortgage loans will prepay at a constant rate or
follow a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS
TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS
OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR
SELL ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND
PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL
INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH
SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD
BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY
CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION
WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any such
offering, these materials, including any description of the closed-end mortgage
loans contained herein, shall be deemed superseded, amended and supplemented in
their entirety by such Prospectus and Prospectus Supplement. To Our Readers
Worldwide: In addition, please note that this information has been provided by
Morgan Stanley & Co. Incorporated and approved by Morgan Stanley & Co.
International Limited, a member of the Securities and Futures Authority, and
Morgan Stanley Japan Ltd. We recommend that investors obtain the advice of
their Morgan Stanley & Co. International Limited or Morgan Stanley Japan Ltd.
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
8
<PAGE> 9
IMC HOME EQUITY LOAN TRUST 1997-7
----------------------------------------------------------
BOND SENSITIVITY TO PREPAYMENTS (CONTINUED)
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
CLASS A-5 (TO CALL)
- -----------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------
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
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
CLASS A-6 (TO CALL)
- -----------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------
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
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
CLASS A-7 (TO CALL)
- -----------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------
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
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
CLASS A-8 NAS BOND (TO CALL)
- -----------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------
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
</TABLE>
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by IMC Mortgage Company with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is
very unlikely that closed-end mortgage loans will prepay at a constant rate or
follow a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS
TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS
OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR
SELL ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND
PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL
INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH
SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD
BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY
CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION
WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any such
offering, these materials, including any description of the closed-end mortgage
loans contained herein, shall be deemed superseded, amended and supplemented in
their entirety by such Prospectus and Prospectus Supplement. To Our Readers
Worldwide: In addition, please note that this information has been provided by
Morgan Stanley & Co. Incorporated and approved by Morgan Stanley & Co.
International Limited, a member of the Securities and Futures Authority, and
Morgan Stanley Japan Ltd. We recommend that investors obtain the advice of
their Morgan Stanley & Co. International Limited or Morgan Stanley Japan Ltd.
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
9
<PAGE> 10
IMC HOME EQUITY LOAN TRUST 1997-7
----------------------------------------------------------
BOND SENSITIVITY TO PREPAYMENTS (CONTINUED)
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
CLASS A-6 (TO MATURITY)
- -----------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------
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
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
CLASS A-7 BOND (TO MATURITY)
- -----------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------
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*
</TABLE>
* Indicates an interruption in receipt of principal
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
CLASS A-8 NAS BOND (TO MATURITY)
- -----------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------------------------------------------
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
</TABLE>
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by IMC Mortgage Company with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is
very unlikely that closed-end mortgage loans will prepay at a constant rate or
follow a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS
TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS
OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR
SELL ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND
PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL
INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH
SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD
BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY
CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION
WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any such
offering, these materials, including any description of the closed-end mortgage
loans contained herein, shall be deemed superseded, amended and supplemented in
their entirety by such Prospectus and Prospectus Supplement. To Our Readers
Worldwide: In addition, please note that this information has been provided by
Morgan Stanley & Co. Incorporated and approved by Morgan Stanley & Co.
International Limited, a member of the Securities and Futures Authority, and
Morgan Stanley Japan Ltd. We recommend that investors obtain the advice of
their Morgan Stanley & Co. International Limited or Morgan Stanley Japan Ltd.
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
- --------------------------------------------------------------------------------
10
