FOIA Confidential Treatment Request
June 2, 2009
By EDGAR
Mr. Michael C. Volley
United States Securities and
Exchange Commission
Division of Corporation Finance
100 F Street, N.E.
Washington, D.C. 20549
Mail Stop 4561
| RE: |
First Commonwealth Financial Corporation Form 10-K for Fiscal Year Ended December 31, 2008 Filed February 26, 2009 Form 10-Q for the Quarterly Period Ended March 31, 2009 Filed May 7, 2009 File No. 1-11138 |
Dear Mr. Volley:
First Commonwealth Financial Corporation (the “Company,” “we,” “our” or “us”) has received your letter dated May 18, 2009 containing comments on the Company’s above referenced Annual Report on Form 10-K, filed by the Company with the Securities and Exchange Commission (the “Commission”) on February 26, 2009 and Quarterly Report on Form 10-Q filed by the Company with the Commission on May 7, 2009. This letter responds to each of the comments set forth in your letter.
For convenience of reference, we have set forth your comments in bold below, with the Company’s response following each comment.
March 31, 2009 Form 10-Q
Financial Statements
Note 7 – Impairment of Investment Securities, page 12
United States Securities and
Exchange Commission
June 2, 2009
Page 2
| 1. | On page 20 you disclose that you use a discounted cash flow analysis to determine the fair value of your pooled trust preferred collateralized debt obligations. You also use a discounted cash flow analysis to provide the best estimate of credit related other-than-temporary impairment for these securities. |
| a) | Please provide us with the cash flow analysis used to determine the fair value of PreTSL XIII at March 31, 2009. Please identify all of the key assumptions and explain how you determined the assumptions were appropriate and consistent with the guidance in SFAS 157 and related interpretations. Specifically provide detailed information on how you determined the discount rate used and how you developed your liquidity adjustment. |
The cash flow analysis used to determine the fair value of PreTSL XIII at March 31, 2009 is provided as Exhibit A.
In accordance with SFAS 157 and related interpretations, it is appropriate to determine fair value for trust preferred collateralized debt obligations using a discounted cash flow analysis since there has been little or no active trading in the market for these securities over the past nine months. As indicated in paragraph 30 of SFAS 157, it is appropriate to use our own assumptions about future cash flows and an appropriately risk-adjusted discount rate when determining fair value for a financial asset when relevant observable inputs are not available. In accordance with SFAS 157 and related interpretations, our primary focus in determining fair value is to identify the return that a market participant would require for comparable securities traded in the market.
The key assumptions used in measuring fair value include both the discount rate and variables used in preparing the cash flow projections. These variables include the estimate of future cash flows, credit worthiness of the underlying banks and determination of probability of default of the underlying collateral. The following provides additional information for each of these variables:
| • | Estimate of Future Cash Flows – Cash flows are constructed in an INTEX cash flow model. INTEX is a proprietary cash flow model recognized as the industry standard for analyzing all types of collateralized debt obligations. It includes each deal’s structural features updated with trustee information, including asset-by-asset detail, as it becomes available. The modeled cash flows are then used to determine if all the scheduled principal and interest payments of our investments will be returned. |
Confidential treatment requested by First Commonwealth Financial Corporation. [***] indicates material that has been omitted and for which confidential treatment has been requested pursuant to 17 C.F.R. § 200.83.
United States Securities and
Exchange Commission
June 2, 2009
Page 3
| • | Credit Analysis – A quarterly credit evaluation is performed for each of the 376 banks comprising the collateral across the various pooled trust preferred securities. Our credit evaluation considers all evidence available to us and includes the nature of the issuer’s business, its years of operating history, corporate structure, loan composition, loan concentrations, deposit mix, asset growth rates, geographic footprint and local economic environment. Our analysis focuses on profitability, return on assets, shareholders’ equity, net interest margin, credit quality ratios, operating efficiency, capital adequacy, and liquidity. |
| • | Probability of Default – A probability of default is determined for each bank and is used to calculate the expected impact of future deferrals and defaults on our expected cash flows. Each bank in the collateral pool is assigned a probability of default for each year until maturity. Banks currently in default or deferring interest payments are assigned a 100% probability of default. All other banks in the pool are assigned a probability of default based on their unique credit characteristics and market indicators. In all cases, a 10% projected recovery rate is applied to projected defaults. The probability of default is updated quarterly. |
The discount rate used on March 31, 2009 for PreTSL XIII was based on the 3 month libor forward rate curve of 3.45% plus adjustments aggregating 1,278 basis points. The resulting all-in discount rate for PreTSL XIII (used for all periods in the cash flow projection) was therefore 16.23%.
In accordance with SFAS 157 and related interpretations, the discount rate is comprised of three components: market yield, nonperformance risk and liquidity risk. At March 31, 2009, the discount rate for PreTSL XIII was calculated as follows:
| 3 month libor |
3.45 | % | |
| Spread |
9.82 | % | |
| Market yield |
13.27 | % | |
| Nonperformance risk |
.50 | % | |
| Liquidity risk |
2.46 | % | |
| Total Discount Rate |
16.23 | % |
| 1) | Market Yield - Because there is not an active market for trust preferred securities, the baseline for determining an appropriate discount rate is the current market yield for comparable corporate credit products with a similar payment structure. Since PreTSL XIII is a libor based security, the determination of our market yield begins with the 3 month libor rate. At March 31, 2009, the market yield for PreTSL XIII was determined by reference to yields on 19 single issue trust preferred securities and therefore includes the |
Confidential treatment requested by First Commonwealth Financial Corporation. [***] indicates material that has been omitted and for which confidential treatment has been requested pursuant to 17 C.F.R. § 200.83.
United States Securities and
Exchange Commission
June 2, 2009
Page 4
| credit and liquidity risk associated with those securities. The banks included in the single issue trust preferred list were chosen because they share similar credit characteristics to the banks in our pooled trust preferred issues and these banks either issued into our pooled trust preferred securities or other similar pooled securities. Given all these factors, the single issue trust preferred securities provide a good data point for determining market yields for our pooled trust preferred securities. The average current market yield for the 19 securities reflects the exchange traded pricing levels as of March 31, 2009 and provides a spread of 982 basis points. Adding this spread to the 3 month libor average forward rate curve of 3.45% provides a total market yield of 13.27%. |
The table below provides detail for the single issue trust preferred securities used in determining the average current market yield.
Single Issuer TruPS Pricing (3/31/2009)
| Company |
Cusip | Maturity | Coupon | Par | Price | Yield | Spread* | ||||||||||||
| Associated Banc-Corp |
00209E207 | 6/15/2032 | 7.63 | % | $ | 25.00 | $ | 16.75 | 11.86 | % | 8.627 | % | |||||||
| BancorpSouth, Inc. |
05969E305 | 1/28/2032 | 8.15 | % | $ | 25.00 | $ | 24.78 | 8.24 | % | 5.006 | % | |||||||
| BB&T Corporation |
05530J205 | 9/15/2063 | 8.95 | % | $ | 25.00 | $ | 22.05 | 10.20 | % | 6.965 | % | |||||||
| Capitol Bancorp Ltd. |
14064B208 | 12/31/2027 | 8.50 | % | $ | 10.00 | $ | 4.20 | 20.92 | % | 17.683 | % | |||||||
| Citizens Republic Bancorp, Inc. |
174687103 | 9/15/2066 | 7.50 | % | $ | 25.00 | $ | 25.29 | 25.29 | % | 22.054 | % | |||||||
| Independent Bank Corporation |
44921B208 | 3/31/2033 | 8.25 | % | $ | 25.00 | $ | 12.35 | 17.51 | % | 14.274 | % | |||||||
| M&T Bank Corporation |
55292C203 | 1/31/2068 | 8.50 | % | $ | 25.00 | $ | 23.17 | 9.21 | % | 5.976 | % | |||||||
| National Penn Bancshares, Inc. |
62935R209 | 9/30/2032 | 7.85 | % | $ | 25.00 | $ | 20.00 | 10.09 | % | 6.853 | % | |||||||
| New York Community Bancorp, Inc. |
64944P307 | 11/1/2051 | 6.00 | % | $ | 50.00 | $ | 30.10 | 10.24 | % | 6.998 | % | |||||||
| Old National Bancorp |
67087Y209 | 4/15/2032 | 8.00 | % | $ | 25.00 | $ | 21.75 | 9.55 | % | 6.309 | % | |||||||
| Old Second Bancorp, Inc. |
680280104 | 6/30/2033 | 7.80 | % | $ | 10.00 | $ | 6.00 | 13.40 | % | 10.160 | % | |||||||
| Popular, Inc. |
73317W203 | 11/1/2033 | 6.70 | % | $ | 25.00 | $ | 12.25 | 14.16 | % | 10.926 | % | |||||||
| Regions Financial Corporation |
7591EM107 | 6/15/2078 | 8.88 | % | $ | 25.00 | $ | 16.20 | 13.79 | % | 10.548 | % | |||||||
| Southwest Bancorp, Inc. |
84480C205 | 9/15/2038 | 10.50 | % | $ | 25.00 | $ | 24.20 | 10.92 | % | 7.684 | % | |||||||
| Sterling Bancshares |
85915Q206 | 9/26/2032 | 8.30 | % | $ | 25.00 | $ | 19.27 | 11.00 | % | 7.760 | % | |||||||
| Susquehanna Bancshares, Inc. |
86910P201 | 12/12/2067 | 9.38 | % | $ | 25.00 | $ | 22.00 | 10.15 | % | 6.910 | % | |||||||
| Taylor Capital Group, Inc. |
87216N205 | 10/21/2032 | 9.75 | % | $ | 25.00 | $ | 11.67 | 21.12 | % | 17.886 | % | |||||||
| Valley National Bancorp |
92856Q203 | 12/15/2031 | 7.75 | % | $ | 25.00 | $ | 20.11 | 9.98 | % | 6.738 | % | |||||||
| Zions Bancorporation |
989703202 | 9/1/2032 | 8.00 | % | $ | 25.00 | $ | 19.72 | 10.51 | % | 7.277 | % | |||||||
| * Calculated by subtracting the March 31, 2009 30-Year Swap rate of 3.237% from the yield |
|
3/31/2009 Average | 9.82 | % | |||||||||||||||
| 2) | Nonperformance Risk - Per SFAS 157 and related interpretations, when determining fair value, our discount rate should include adjustments for appropriate nonperformance risk, which would incorporate both default and |
Confidential treatment requested by First Commonwealth Financial Corporation. [***] indicates material that has been omitted and for which confidential treatment has been requested pursuant to 17 C.F.R. § 200.83.
United States Securities and
Exchange Commission
June 2, 2009
Page 5
| collateral value risk. We accomplish this by stressing our collateral performance assumptions, with respect to defaults, recoveries and prepayments to evaluate how sensitive the cash flows are to changes in future collateral performance. On the basis of this stress test, we then adjust our market-based spread to reflect the relative risks associated with the security we are evaluating. This adjustment is determined by evaluating the strength of the collateral and the amount of cushion with respect to over collateralization and interest coverage test ratios. The level of nonperformance risk is based on management’s judgment of market expectations for risks identified in the stress test. The amount of nonperformance risk is determined as follows: |
| Stress Test Results as % |
Non-Performance Risk (in basis points) | |
| Less than 100% |
300 | |
| 101% - 149% |
100 | |
| 150% to 199% |
50 | |
| 200% and over |
0 |
At March 31, 2009, the stress test for PreTSL XIII indicated impairment at 195% of the default curve. As a result, an additional 50 basis points was added to the market yield for PreTSL XIII to incorporate additional default and collateral value risk.
3) Liquidity Risk – Liquidity risk is captured in two ways. First the single issuer trust preferred spreads capture a significant amount of illiquidity as they are relatively illiquid. However, the illiquidity discount inherent in the single issuer securities does not fully address the liquidity issue of trust preferred collateralized debt obligations. Based on our judgment of current market conditions, we have added an additional adjustment to account for the liquidity risk equal to 25% of the average market yield spread for the single issuer trust preferred securities. As of March 31, 2009, this provided an additional 246 basis points (9.82% average market yield spread x 25%) spread for PreTSL XIII.
| b) | Please provide us with the cash flow analysis used to evaluate PreTSL XIII for other-than-temporary impairment. |
The cash flow analysis used to evaluate PreTSL XIII for other-than-temporary impairment as of March 31, 2009, is included as Exhibit B.
| c) | We note your disclosure on page 17 of some of the variables in your discounted cash flow tests. Please revise your future filings as well as your response to identify all of the key assumptions and explain how you determined the assumptions were appropriate and consistent with the |
Confidential treatment requested by First Commonwealth Financial Corporation. [***] indicates material that has been omitted and for which confidential treatment has been requested pursuant to 17 C.F.R. § 200.83.
United States Securities and
Exchange Commission
June 2, 2009
Page 6
| guidance in FSP FAS 115-2 and FAS 124-2 and related guidance. Specifically ensure that you address the following in your response and future filings: |
Internal Review Note: Per discussion with Mike Volley, SEC Staff Accountant, on May 19, 2009, the scope of our response to question 1c. can be limited to PreTSL XIII.
| • | Discount rate – tell us how you determined the discount rate. |
As provided for in paragraph 24 of FSP FAS 115-2 and FAS 124-2, “Recognition and Presentation of Other-Than-Temporary Impairments,” our pooled trust preferred collateralized debt obligations are assessed for other-than-temporary impairment within the scope of EITF 99-20, “Recognition of Interest Income and Impairment on Purchased Beneficial Interests and Beneficial Interests That Continue to be Held by a Transferor in Securitized Financial Assets,” and FSP EITF 99-20-1, “Amendments to the Impairment Guidance of EITF Issue No. 99-20,” by determining if an adverse change in cash flows expected to be collected has occurred.
In accordance with this guidance, when determining if there has been an adverse change in cash flows expected to be collected, the cash flows are discounted at a rate equal to the current yield used to accrete the beneficial interest. Therefore, because we are carrying this security at its par value we use the contractual interest rate on PreTSL XIII which is three month libor plus + 157 basis points.
| • | Probability of default – tell us the actual amount and percentage of deferrals and defaults experienced by the trust by quarter and compare these amounts to your assumptions. Also tell us whether you have assumed a 10% recovery rate for defaults that have already occurred and tell us the lag upon which you will recover the amounts. |
In accordance with FSP FAS 115-2 and FAS 124-2, “Recognition and Presentation of Other-Than-Temporary Impairments,” we determine a probability of default for each issuer which allows us to incorporate into our analysis the possibility that some cash flows are not likely to be collected before an actual event of default or cash shortfall happens. We believe our assumptions are appropriate and consistent with FSP FAS 115-2 and FAS 124-2 as we incorporate the unique credit characteristics of each of the banks as well as other factors including but not limited to geographic footprint, local economic environment, nature of the issuers business, and years of operating history.
Confidential treatment requested by First Commonwealth Financial Corporation. [***] indicates material that has been omitted and for which confidential treatment has been requested pursuant to 17 C.F.R. § 200.83.
United States Securities and
Exchange Commission
June 2, 2009
Page 7
Exhibit C provides information related to our assumptions for probability of defaults for each of the underlying banks in PreTSL XIII since September 30, 2008 which is when we determined the market for these securities became inactive.
The table below provides detail for the actual amount and percentage of deferrals and defaults experienced by PreTSL XIII by quarter, compared to the weighted average probability of default and projected annual deferrals and defaults used in our assumptions.
PreTSL XIII
Deferrals by Quarter
| Actual | Assumptions | ||||||||||||
| Deferral Amount (1) |
% of Tot. Collateral |
Total Collateral |
Weighted Avg. Probability of Default-Yr 1 |
Projected Annual Deferral/Defaults (3) | |||||||||
| September 30, 2008 | |||||||||||||
| [***] |
2,000,000 | 0.4 | % | ||||||||||
| [***] |
2,000,000 | 0.4 | % | ||||||||||
| Total Quarter |
4,000,000 | 0.8 | % | 511,600,000 | 4.9 | % | 25,068,400 | ||||||
| December 31, 2008 |
|||||||||||||
| [***] |
22,250,000 | 4.3 | % | ||||||||||
| [***] |
6,000,000 | 1.2 | % | ||||||||||
| [***] |
4,000,000 | 0.8 | % | ||||||||||
| [***] |
5,000,000 | 1.0 | % | ||||||||||
| Total Quarter |
37,250,000 | 7.3 | % | 511,600,000 | 10.9 | % | 55,764,400 | ||||||
| Total Cumulative |
41,250,000 | 8.1 | % | ||||||||||
| March 31, 2009 |
|||||||||||||
| [***] |
5,000,000 | 1.0 | % | ||||||||||
| [***] |
7,500,000 | 1.5 | % | ||||||||||
| [***] |
7,000,000 | 1.4 | % | ||||||||||
| Total Quarter |
19,500,000 | 3.9 | % | 501,700,000 | (2) | 15.6 | % | 78,265,200 | |||||
| Total Cumulative |
60,750,000 | 12.1 | % | ||||||||||
| (1) | There are currently no defaults in PreTSL XIII. |
| (2) | Change in Total Collateral from previous quarter is the result of $9.9M of the security being called in the first quarter of 2009. |
| (3) | Includes actual deferrals and projected deferrals and defaults for the next twelve months. |
We assume a 100% probability of default for all deferrals and defaults. Our probability of defaults assumes a 10% recovery rate. Recovery is expected on a one year lag from the time of deferral or default.
Confidential treatment requested by First Commonwealth Financial Corporation. [***] indicates material that has been omitted and for which confidential treatment has been requested pursuant to 17 C.F.R. § 200.83.
United States Securities and
Exchange Commission
June 2, 2009
Page 8
| d) | Please identify the key differences between the cash flow analysis used to determine the fair value of the security and the cash flow analysis used to support your OTTI assessment and provide objective evidence that reconciles the significant differences in the results between the two measures. |
The cash flow analysis used to determine the fair value of the security and the cash flow analysis used to support our other-than-temporary impairment assessment are the same with the exception of the discount rate. The discount rate in the fair value measurement is a market rate while the discount rate used in the other-than-temporary impairment assessment is the security’s accretion rate. Please refer to our response to items 1a and 1c above for additional information on the determination of the discount rate used in each of these analyses.
| 2. | Please tell us the facts and circumstances regarding the change in estimated cash flows from December 31, 2008 to March 31, 2009 which led to the impairments taken in the first quarter. Please identify the specific reason for the adverse change in cash flows for each security in which impairment was taken. We note PreTSL VI had excess subordination of 99% at December 31, 2008. |
The change in estimated cash flows from December 31, 2008 to March 31, 2009 which led to the impairments taken in the first quarter is primarily related to increased deferral and default rates resulting from banks that deferred or defaulted on interest payments during the first quarter. Additional deferrals and defaults experienced in each of the securities for which impairment was taken in the first quarter of 2009 are as follows:
Confidential treatment requested by First Commonwealth Financial Corporation. [***] indicates material that has been omitted and for which confidential treatment has been requested pursuant to 17 C.F.R. § 200.83.
United States Securities and
Exchange Commission
June 2, 2009
Page 9
| Deal |
Amount (In thousands) |
Issuer | Interest Payment |
Probability of Default |
||||||
| PreTSL VI |
$ | 25,000 | [***] | Projected Deferral | 100 | % | ||||
| PreTSL VII |
$ | 25,000 | [***] | Projected Deferral | 100 | % | ||||
| 3,000 | [***] | Projected Deferral | 100 | % | ||||||
| 5,000 | [***] | Projected Deferral | 100 | % | ||||||
| 6,000 | [***] | Projected Deferral | 100 | % | ||||||
| $ | 39,000 | |||||||||
| PreTSL VIII |
25,000 | [***] | Projected Deferral | 100 | % | |||||
| 25,000 | [***] | Projected Deferral | 100 | % | ||||||
| 18,000 | [***] | Projected Deferral | 100 | % | ||||||
| 6,000 | [***] | Projected Deferral | 100 | % | ||||||
| $ | 74,000 | |||||||||
| MM COMM IX |
6,000 | [***] | Deferral | 100 | % | |||||
| 10,000 | [***] | Projected Deferral | 100 | % | ||||||
| 5,000 | [***] | Cease & Desist | 90 | % | ||||||
| $ | 21,000 | |||||||||
The adverse change in cash flows for the above securities was primarily driven by deferrals of [***]. Additional detail for each of these financial institutions follows.
| • | [***] |
| • | [***] |
Confidential treatment requested by First Commonwealth Financial Corporation. [***] indicates material that has been omitted and for which confidential treatment has been requested pursuant to 17 C.F.R. § 200.83.
United States Securities and
Exchange Commission
June 2, 2009
Page 10
| • | [***] |
Although at December 31, 2008, PreTSL VI had excess subordination of 99%, the deferral of interest by [***] in the 1st quarter of 2009 resulted in an adverse change in cash flows because [***] accounts for 62.5% of the outstanding collateral in PreTSL VI.
Exhibit D provides additional detail related to the deferrals and defaults for each of the above referenced securities.
| 3. | Please tell us what information you received from the rating agencies supporting their ratings of your pooled trust preferred securities and tell us how you considered it as part of your analysis. |
First Commonwealth does not subscribe to any rating agency services, therefore we have access to only public reports released by the rating agencies. These reports do not provide any detail that could be used in our analysis.
Confidential treatment requested by First Commonwealth Financial Corporation. [***] indicates material that has been omitted and for which confidential treatment has been requested pursuant to 17 C.F.R. § 200.83.
United States Securities and
Exchange Commission
June 2, 2009
Page 11
First Commonwealth does monitor the overall credit ratings published by Fitch and Moody’s. In accordance with FSP FAS 115-2 and FAS 124-2, we consider this information as a resource when assessing the credit risk of our pooled trust preferred securities. However, we consider the results of our discounted cash flow analysis to be the determinative factor in our evaluation for other-than-temporary impairment.
| 4. | To the extent you have the information, please tell us the number of securities for which you estimated a lower probability of default as compared to Fitch or Moody’s. If you consistently had a lower estimate, please tell us why you believe this is reasonable and more appropriate. |
First Commonwealth does not have this information available and is therefore unable to provide a comparison of our probability of defaults to those used by Fitch or Moody’s.
| 5. | Please tell us what procedures you perform related to securities with minimal excess subordination at a period end to determine that the security is temporarily impaired. |
Our evaluation of impairment includes a stress test analysis which provides an estimate of excess subordination. We stress the cash flows of each pool by increasing current default assumptions to the level of defaults which results in an adverse change in estimated cash flows. This stressed breakpoint is then used to calculate excess subordination levels for each pooled trust preferred security. The results of the stress test allow management to identify those pools that are at a greater risk for a future break in cash flows.
Minimal excess subordination is assessed on a security by security basis. For those securities that have minimal excess subordination we review and challenge the deferral and default assumptions related to the underlying collateral. The assumptions were established primarily from our thorough credit analysis for each of underlying banks which we believe incorporates the increased risk and deterioration in the banking industry since September 2008. Additionally we discuss the credit of the weaker underlying banks with a credit analyst from the underwriter of the security. The underwriter has a thorough understanding of each of the banks and is able to provide valuable insight into the operations and direction of the banks. If our additional review and discussions with the underwriter support our initial deferral and default assumptions, as well as the resulting excess subordination level, then we determine that the security is temporarily impaired.
Confidential treatment requested by First Commonwealth Financial Corporation. [***] indicates material that has been omitted and for which confidential treatment has been requested pursuant to 17 C.F.R. § 200.83.
United States Securities and
Exchange Commission
June 2, 2009
Page 12
| 6. | Please tell us how you considered subsequent events information as part of your other-than-temporary impairment analysis at December 31, 2008 and March 31, 2009. |
As required under paragraph 10 of FSP EITF 99-20-1, “Amendments to the Impairment Guidance of EITF Issue No. 99-20,” our other-than-temporary impairment analysis incorporates all available information relevant to the collectibility of the security, including information about past events, current conditions, and reasonable and supportable forecasts. Additionally, paragraph 12b provides that judgment is required when determining whether impairment exists and that judgment is based on subjective as well as objective factors, including knowledge and experience about past and current events and assumptions about future events.
In order to properly monitor and incorporate all current events into our other-than-temporary impairment analysis, our treasury department receives regular updates from the underwriters of the trust preferred securities regarding credit issues and on a daily basis our credit analysis department monitors all public information for each of the 376 banks in our trust preferred securities. All information that becomes available prior to the issuance of financial statements is reviewed by management to determine what effect it has on estimates used in our other-than-temporary impairment analysis.
As we consider information and evaluate whether it would affect our other-than-temporary impairment analysis, we follow the guidance in AU section 560, “Subsequent Events,” of the AICPA Codification of Statements on Auditing Standards.
We evaluated deferrals, defaults or other events that occurred subsequent to December 31, 2008 and March 31, 2009, and determined if the event related to conditions that existed at the balance sheet date and whether it affected the estimates inherent in our other-than-temporary impairment analysis. If so, our financial statements would be adjusted to incorporate the effect of those events. If not, no adjustment would be made to our financial statements, but consideration would be given to whether additional disclosures would be required in order to keep the financial statements from being misleading.
Our review of subsequent events as of December 31, 2008 included the February events noted in our response to question 2 related to [***]. The events were considered and determined not to be conditions that existed at the balance sheet date. However, our review as of March 31, 2009 did incorporate the affect of the April 17, 2009 Cease and Desist order entered into between [***] and the FDIC.
Confidential treatment requested by First Commonwealth Financial Corporation. [***] indicates material that has been omitted and for which confidential treatment has been requested pursuant to 17 C.F.R. § 200.83.
United States Securities and
Exchange Commission
June 2, 2009
Page 13
Form 8-K filed April 23, 2009
| 7. | In your press release you identify core net income, core return on average equity, core return on average assets and core non-interest income as non-GAAP measures. These measures exclude securities impairment losses and securities gains and losses. These measures appear to smooth a measurement of earnings. Please provide us with your support and revise your future filings to: |
| a) | Clearly label these measures as non-GAAP each time they are presented; |
| b) | Disclose the material limitations associated with use of the financial measure as compared to the use of the most directly comparable GAAP financial measure; and |
| c) | Disclose the manner in which management compensates for these limitations when using the financial measure. |
Please provide us your proposed revised disclosures in your response. Refer to Item 2.02 of Form 8-K and Question 8 of the FAQ Regarding the Use of Non-GAAP Financial Measures prepared by Staff Members in the Division of Corporation Finance available on our web-site.
As a matter of practice, the Company reviews and considers the requirements of Item 10(e)(1)(i) of Regulation S-K and Instruction 2 to Item 2.02 of Form 8-K in connection with the disclosure of non-GAAP earnings measures. The Company is aware that it is not appropriate to eliminate recurring items from the most comparable GAAP financial measure in an attempt to smooth earnings. However, we do not believe that the non-GAAP financial measures that the Company presents in its earnings release have the effect of smoothing earnings. We believe that the presentation of such measures instead provides useful information to investors regarding our results of operations for the reasons described below.
The Company does not include any non-GAAP financial measures in documents that are “filed” with the Commission, but only in its earnings releases, and recognizes that Instruction 2 to Item 2.02 of Form 8-K applies paragraph (e)(1)(i) of Item 10 of Regulation S-K to such disclosures. Accordingly, the Company focuses on ensuring that its earnings releases include the four elements mandated by Item 10(e)(1)(i), namely:
(A) A presentation of the most directly comparable financial measure or measures calculated in accordance with GAAP presented with equal or greater prominence (see the body of the April 23, 2009 earnings release, where each reference to a non-GAAP measure is presented in close proximity to the most directly comparable GAAP financial measure);
(B) A reconciliation of the differences between the non-GAAP financial measure disclosed with the most directly comparable GAAP financial measures (see the table captioned “Reconciliation of GAAP to Non-GAAP” included in the financial tables of the April 23, 2009 earnings release);
Confidential treatment requested by First Commonwealth Financial Corporation. [***] indicates material that has been omitted and for which confidential treatment has been requested pursuant to 17 C.F.R. § 200.83.
United States Securities and
Exchange Commission
June 2, 2009
Page 14
(C) A statement disclosing the reasons why management believes the presentation of the non-GAAP financial measure provides useful information to investors regarding the company’s financial conditions and results of operations (see the paragraph captioned “Use of Non-GAAP Financial Measure” on page 5 of the April 23, 2009 earnings release); and
(D) To the extent material, a statement disclosing the additional purposes, if any, for which management uses the financial measure (see the paragraph captioned “Use of Non-GAAP Financial Measure” on page 5 of the April 23, 2009 earnings release).
With these disclosures, the Company believes that it has addressed the requirements related to non-GAAP financial measures under Item 10(e)(1)(i).
In addition, the Company believes that its presentation of core earnings measurements complies with the principles outlined in Question 8 of the Frequently Asked Questions Regarding the Use of Non-GAAP Financial Measures, because these disclosures are not presented in an attempt to smooth earnings. Rather, these non-GAAP financial measures are presented to improve transparency and to allow for more meaningful and consistent period-to-period and company-to-company comparisons than similar GAAP measures. Items that are excluded from core earnings measurements, such as securities gains, losses and impairment charges, restructuring charges, merger and integration charges and gains or losses from the sale of assets, are a reflection of market conditions, unusual transactions and other factors, rather than the performance of First Commonwealth’s core banking franchise. Because these items are not considered to be central to First Commonwealth’s ongoing operating results, management and the Board of Directors utilize core earnings measurements rather than GAAP earnings in a variety of contexts when managing and monitoring First Commonwealth’s businesses, including the preparation of operating plans and budgets, the calculation of performance-based annual incentive bonuses for executives and the establishment, reporting and monitoring of internal performance targets and presentations to investors of company performance.
While we believe that our prior disclosures represent the Company’s good faith application of relevant rules and guidelines, in order to improve the quality of these disclosures, consistent with the Staff’s request, we will enhance the disclosure accompanying the non-GAAP information in future earnings releases as described in the following paragraphs. In addition to these disclosures, we will consistently present GAAP financial measures before non-GAAP financial measures to ensure that the GAAP financial measures are presented with greater prominence than the non-GAAP measures.
The remainder of our response sets forth the text of our proposed disclosure.
Confidential treatment requested by First Commonwealth Financial Corporation. [***] indicates material that has been omitted and for which confidential treatment has been requested pursuant to 17 C.F.R. § 200.83.
United States Securities and
Exchange Commission
June 2, 2009
Page 15
The table below presents computations of earnings and certain other financial measures excluding securities gains, losses and impairment charges (non-GAAP financial measures). These items are included in financial results presented in accordance with generally accepted accounting principles (GAAP financial measures). First Commonwealth believes the exclusion of these items when expressing non-GAAP financial measures such as “core net income,” “core earnings per share,” “core return on average equity,” “core return on average assets,” and “core non-interest income”, provides a meaningful basis for period-to-period and company-to-company comparisons, which management believes will assist investors in analyzing the operating results of First Commonwealth. These non-GAAP financial measures are also used by management to assess the performance of First Commonwealth’s business, because management does not consider the items excluded from the non-GAAP measures to be central to ongoing operating results. Specifically, management and the Board of Directors utilize these non-GAAP financial measures for the following purposes:
| • | preparation of operating plans and budgets; |
| • | calculation of performance-based annual incentive bonuses for executives; |
| • | establishing, reporting and monitoring of internal performance targets; and |
| • | presentations to investors of company performance. |
First Commonwealth believes that presenting these non-GAAP financial measures will permit investors to assess the performance of the company on the same basis as that applied by management and the Board of Directors.
Non-GAAP financial measures have inherent limitations, are not required to be uniformly applied and are not audited. To mitigate these limitations, First Commonwealth has policies in place to address the types of items that are excluded from non-GAAP (core) measurements of earnings and procedures in place to approve and segregate these items from other normal operating expenses to ensure that the company’s operating results are properly reflected for period-to-period comparisons. Although these non-GAAP financial measures are frequently used by shareholders in the evaluation of a company, they have limitations as analytical tools, and should not be considered in isolation, or as a substitute for analyses of results as reported under GAAP. In particular, a measure of earnings that excludes securities gains, losses and impairment charges does not represent the amount that effectively accrues directly to shareholders (i.e., these items do impact earnings, regulatory capital and shareholders’ equity).
* * *
In connection with the foregoing responses, the Company acknowledges that:
| • | it is responsible for the adequacy and accuracy of the disclosure in the filing; |
Confidential treatment requested by First Commonwealth Financial Corporation. [***] indicates material that has been omitted and for which confidential treatment has been requested pursuant to 17 C.F.R. § 200.83.
United States Securities and
Exchange Commission
June 2, 2009
Page 16
| • | Commission staff comments or changes to disclosure in response to staff comments do not foreclose the Commission from taking any action with respect to the filing; and |
| • | the Company may not assert staff comments as a defense in any proceeding initiated by the Commission or any person under the federal securities laws of the United States. |
If you have any questions regarding the foregoing responses or if we may be of any further assistance, please do not hesitate to call me at (724) 463-4724.
| Sincerely, |
| /s/ Edward J. Lipkus, III |
| Edward J. Lipkus, III |
| Executive Vice President and |
| Chief Financial Officer |
Confidential treatment requested by First Commonwealth Financial Corporation. [***] indicates material that has been omitted and for which confidential treatment has been requested pursuant to 17 C.F.R. § 200.83.
FOIA Confidential Treatment Request
Exhibit A
First Commonwealth Financial Corporation
PreTSL XIII
Cash Flow Analysis Used to Determine Fair Value
| Class: | B1 | Price: | 30.61% | |||||||||||||||
| WAL: | 25.00 | Spread: | 1278 | |||||||||||||||
| Par: | 98,350,000.00 | |||||||||||||||||
| Cashflows |
3 | 30,107,225.20 | ||||||||||||||||
| Period |
Date |
Daycount | LIBOR 3MO | Principal | Interest | Cash Flow | Balance | DF | PV | |||||||||
| Total |
98,350,000.00 | 125,505,850.00 | 223,855,850.00 | |||||||||||||||
| 0 |
3/24/2009 | - | - | - | 98,350,000.00 | 1.000 | ||||||||||||
| 1 |
6/24/2009 | 92 | 1.316 | - | 725,271.04 | 725,271.04 | 98,350,000.00 | 0.9652 | 700,053.59 | |||||||||
| 2 |
9/24/2009 | 92 | 1.858 | - | 861,564.33 | 861,564.33 | 98,350,000.00 | 0.9304 | 801,621.00 | |||||||||
| 3 |
12/24/2009 | 91 | 2.288 | - | 959,147.72 | 959,147.72 | 98,350,000.00 | 0.8963 | 859,671.20 | |||||||||
| 4 |
3/24/2010 | 90 | 2.361 | - | 966,489.14 | 966,489.14 | 98,350,000.00 | 0.8636 | 834,657.72 | |||||||||
| 5 |
6/24/2010 | 92 | 2.576 | - | 1,042,083.96 | 1,042,083.96 | 98,350,000.00 | 0.8310 | 865,958.05 | |||||||||
| 6 |
9/24/2010 | 92 | 1.908 | - | 874,115.94 | 874,115.94 | 98,350,000.00 | 0.8009 | 700,100.16 | |||||||||
| 7 |
12/24/2010 | 91 | 1.037 | - | 648,116.56 | 648,116.56 | 98,350,000.00 | 0.7739 | 501,573.80 | |||||||||
| 8 |
3/24/2011 | 90 | 0.557 | - | 523,074.97 | 523,074.97 | 98,350,000.00 | 0.7489 | 391,742.73 | |||||||||
| 9 |
6/24/2011 | 92 | 0.876 | - | 614,650.26 | 614,650.26 | 98,350,000.00 | 0.7237 | 444,803.08 | |||||||||
| 10 |
9/26/2011 | 94 | 1.877 | - | 885,131.64 | 885,131.64 | 98,350,000.00 | 0.6970 | 616,931.74 | |||||||||
| 11 |
12/29/2011 | 94 | 2.841 | - | 1,132,692.34 | 1,132,692.34 | 98,350,000.00 | 0.6697 | 758,541.15 | |||||||||
| 12 |
3/26/2012 | 88 | 3.514 | - | 1,222,354.19 | 1,222,354.19 | 98,350,000.00 | 0.6440 | 787,229.85 | |||||||||
| 13 |
6/25/2012 | 91 | 3.704 | - | 1,311,191.31 | 1,311,191.31 | 98,350,000.00 | 0.6183 | 810,664.42 | |||||||||
| 14 |
9/24/2012 | 91 | 3.521 | - | 1,265,630.86 | 1,265,630.86 | 98,350,000.00 | 0.5938 | 751,529.18 | |||||||||
| 15 |
12/24/2012 | 91 | 3.373 | - | 1,228,800.98 | 1,228,800.98 | 98,350,000.00 | 0.5705 | 701,035.98 | |||||||||
| 16 |
3/25/2013 | 91 | 3.346 | - | 1,222,150.99 | 1,222,150.99 | 98,350,000.00 | 0.5482 | 669,933.67 | |||||||||
| 17 |
6/24/2013 | 91 | 3.490 | - | 1,258,052.57 | 1,258,052.57 | 98,350,000.00 | 0.5265 | 662,371.47 | |||||||||
| 18 |
9/24/2013 | 92 | 3.743 | - | 1,335,300.18 | 1,335,300.18 | 98,350,000.00 | 0.5052 | 674,559.60 | |||||||||
| 19 |
12/24/2013 | 91 | 3.940 | - | 1,369,827.74 | 1,369,827.74 | 98,350,000.00 | 0.4847 | 663,940.93 | |||||||||
| 20 |
3/24/2014 | 90 | 4.049 | - | 1,381,538.43 | 1,381,538.43 | 98,350,000.00 | 0.4651 | 642,582.16 | |||||||||
| 21 |
6/24/2014 | 92 | 4.050 | - | 1,412,644.70 | 1,412,644.70 | 98,350,000.00 | 0.4459 | 629,955.18 | |||||||||
| 22 |
9/24/2014 | 92 | 3.987 | - | 1,396,606.26 | 1,396,606.26 | 98,350,000.00 | 0.4276 | 597,213.51 | |||||||||
| 23 |
12/24/2014 | 91 | 3.949 | - | 1,372,047.80 | 1,372,047.80 | 98,350,000.00 | 0.4103 | 562,908.15 | |||||||||
| 24 |
3/24/2015 | 90 | 3.956 | - | 1,358,710.17 | 1,358,710.17 | 98,350,000.00 | 0.3938 | 535,049.63 | |||||||||
| 25 |
6/24/2015 | 92 | 4.019 | - | 1,404,626.48 | 1,404,626.48 | 98,350,000.00 | 0.3776 | 530,362.81 | |||||||||
| 26 |
9/24/2015 | 92 | 4.109 | - | 1,427,315.35 | 1,427,315.35 | 98,350,000.00 | 0.3620 | 516,631.71 | |||||||||
| 27 |
12/24/2015 | 91 | 4.169 | - | 1,426,773.90 | 1,426,773.90 | 98,350,000.00 | 0.3471 | 495,218.82 | |||||||||
| 28 |
3/24/2016 | 91 | 4.189 | - | 1,431,765.18 | 1,431,765.18 | 98,350,000.00 | 0.3328 | 476,511.64 | |||||||||
| 29 |
6/24/2016 | 92 | 4.164 | - | 1,441,227.46 | 1,441,227.46 | 98,350,000.00 | 0.3190 | 459,752.68 | |||||||||
| 30 |
9/26/2016 | 94 | 4.116 | - | 1,460,124.61 | 1,460,124.61 | 98,350,000.00 | 0.3055 | 446,100.38 | |||||||||
| 31 |
12/29/2016 | 94 | 4.085 | - | 1,452,285.45 | 1,452,285.45 | 98,350,000.00 | 0.2926 | 424,990.03 | |||||||||
| 32 |
3/24/2017 | 85 | 4.081 | - | 1,312,133.12 | 1,312,133.12 | 98,350,000.00 | 0.2814 | 369,275.82 | |||||||||
| 33 |
6/26/2017 | 94 | 4.106 | - | 1,457,561.21 | 1,457,561.21 | 98,350,000.00 | 0.2695 | 392,881.47 | |||||||||
| 34 |
9/25/2017 | 91 | 4.149 | - | 1,421,699.58 | 1,421,699.58 | 98,350,000.00 | 0.2585 | 367,489.49 | |||||||||
| 35 |
12/28/2017 | 94 | 4.184 | - | 1,477,751.30 | 1,477,751.30 | 98,350,000.00 | 0.2475 | 365,775.69 | |||||||||
| 36 |
3/26/2018 | 88 | 4.210 | - | 1,389,572.86 | 1,389,572.86 | 98,350,000.00 | 0.2377 | 330,234.60 | |||||||||
| 37 |
6/25/2018 | 91 | 4.224 | - | 1,440,526.59 | 1,440,526.59 | 98,350,000.00 | 0.2279 | 328,235.21 | |||||||||
| 38 |
9/24/2018 | 91 | 4.226 | - | 1,440,960.16 | 1,440,960.16 | 98,350,000.00 | 0.2185 | 314,801.40 | |||||||||
| 39 |
12/24/2018 | 91 | 4.213 | - | 1,437,774.76 | 1,437,774.76 | 98,350,000.00 | 0.2095 | 301,168.69 | |||||||||
| 40 |
3/25/2019 | 91 | 4.185 | - | 1,430,676.78 | 1,430,676.78 | 98,350,000.00 | 0.2009 | 287,359.02 | |||||||||
| 41 |
6/24/2019 | 91 | 4.140 | - | 1,419,437.01 | 1,419,437.01 | 98,350,000.00 | 0.1926 | 273,408.09 | |||||||||
| 42 |
9/24/2019 | 92 | 4.088 | - | 1,422,088.00 | 1,422,088.00 | 98,350,000.00 | 0.1847 | 262,598.81 | |||||||||
| 43 |
12/24/2019 | 91 | 4.048 | - | 1,396,777.98 | 1,396,777.98 | 98,350,000.00 | 0.1771 | 247,401.06 | |||||||||
| 44 |
3/24/2020 | 91 | 4.024 | - | 1,390,706.00 | 1,390,706.00 | 98,350,000.00 | 0.1699 | 236,288.79 | |||||||||
| 45 |
6/24/2020 | 92 | 4.017 | - | 1,404,121.79 | 1,404,121.79 | 98,350,000.00 | 0.1629 | 228,749.25 | |||||||||
| 46 |
9/24/2020 | 92 | 4.023 | - | 1,405,713.02 | 1,405,713.02 | 98,350,000.00 | 0.1562 | 219,579.57 | |||||||||
| 47 |
12/24/2020 | 91 | 4.036 | - | 1,393,769.59 | 1,393,769.59 | 98,350,000.00 | 0.1498 | 208,836.73 | |||||||||
| 48 |
3/24/2021 | 90 | 4.057 | - | 1,383,498.06 | 1,383,498.06 | 98,350,000.00 | 0.1438 | 198,924.54 | |||||||||
| 49 |
6/24/2021 | 92 | 4.085 | - | 1,421,292.76 | 1,421,292.76 | 98,350,000.00 | 0.1378 | 195,915.03 | |||||||||
| 50 |
9/24/2021 | 92 | 4.107 | - | 1,426,946.88 | 1,426,946.88 | 98,350,000.00 | 0.1321 | 188,556.92 | |||||||||
| 51 |
12/24/2021 | 91 | 4.102 | - | 1,410,131.16 | 1,410,131.16 | 98,350,000.00 | 0.1267 | 178,708.63 | |||||||||
| 52 |
3/24/2022 | 90 | 4.065 | - | 1,385,513.74 | 1,385,513.74 | 98,350,000.00 | 0.1216 | 168,493.14 | |||||||||
| 53 |
6/24/2022 | 92 | 3.994 | - | 1,398,481.00 | 1,398,481.00 | 98,350,000.00 | 0.1166 | 163,079.34 | |||||||||
| 54 |
9/26/2022 | 94 | 3.910 | - | 1,407,226.58 | 1,407,226.58 | 98,350,000.00 | 0.1117 | 157,246.54 | |||||||||
| 55 |
12/29/2022 | 94 | 3.847 | - | 1,391,165.62 | 1,391,165.62 | 98,350,000.00 | 0.1071 | 148,983.64 | |||||||||
| 56 |
3/24/2023 | 85 | 3.812 | - | 1,249,701.35 | 1,249,701.35 | 98,350,000.00 | 0.1031 | 128,788.60 | |||||||||
| 57 |
6/26/2023 | 94 | 3.805 | - | 1,380,301.83 | 1,380,301.83 | 98,350,000.00 | 0.0988 | 136,343.33 | |||||||||
| 58 |
9/25/2023 | 91 | 3.812 | - | 1,338,112.96 | 1,338,112.96 | 98,350,000.00 | 0.0948 | 126,855.43 | |||||||||
| 59 |
12/28/2023 | 94 | 3.808 | - | 1,381,207.83 | 1,381,207.83 | 98,350,000.00 | 0.0909 | 125,504.74 | |||||||||
| 60 |
3/25/2024 | 88 | 3.790 | - | 1,288,586.73 | 1,288,586.73 | 98,350,000.00 | 0.0873 | 112,530.66 | |||||||||
| 61 |
6/24/2024 | 91 | 3.756 | - | 1,324,072.13 | 1,324,072.13 | 98,350,000.00 | 0.0838 | 110,990.25 | |||||||||
| 62 |
9/24/2024 | 92 | 3.712 | - | 1,327,559.19 | 1,327,559.19 | 98,350,000.00 | 0.0804 | 106,782.10 | |||||||||
| 63 |
12/24/2024 | 91 | 3.667 | - | 1,302,020.95 | 1,302,020.95 | 98,350,000.00 | 0.0772 | 100,547.66 | |||||||||
| 64 |
3/24/2025 | 90 | 3.623 | - | 1,276,803.55 | 1,276,803.55 | 98,350,000.00 | 0.0742 | 94,716.22 | |||||||||
Confidential treatment requested by First Commonwealth Financial Corporation. [***] indicates material that has been omitted and for which confidential treatment has been requested pursuant to 17 C.F.R. § 200.83.
FOIA Confidential Treatment Request
Exhibit A
First Commonwealth Financial Corporation
PreTSL XIII
Cash Flow Analysis Used to Determine Fair Value
| Class: | B1 | Price: | 30.61% | |||||||||||||||
| WAL: | 25.00 | Spread: | 1278 | |||||||||||||||
| Par: | 98,350,000.00 | |||||||||||||||||
| Cashflows |
3 | 30,107,225.20 | ||||||||||||||||
| Period |
Date | Daycount | LIBOR 3MO | Principal | Interest | Cash Flow | Balance | DF | PV | |||||||||
| 65 |
6/24/2025 | 92 | 3.579 | - | 1,294,145.70 | 1,294,145.70 | 98,350,000.00 | 0.0712 | 92,150.23 | |||||||||
| 66 |
9/24/2025 | 92 | 3.536 | - | 1,283,276.30 | 1,283,276.30 | 98,350,000.00 | 0.0684 | 87,718.76 | |||||||||
| 67 |
12/24/2025 | 91 | 3.493 | - | 1,258,778.01 | 1,258,778.01 | 98,350,000.00 | 0.0657 | 82,644.56 | |||||||||
| 68 |
3/24/2026 | 90 | 3.452 | - | 1,234,752.04 | 1,234,752.04 | 98,350,000.00 | 0.0631 | 77,905.76 | |||||||||
| 69 |
6/24/2026 | 92 | 3.412 | - | 1,252,060.26 | 1,252,060.26 | 98,350,000.00 | 0.0606 | 75,858.88 | |||||||||
| 70 |
9/24/2026 | 92 | 3.373 | - | 1,242,258.04 | 1,242,258.04 | 98,350,000.00 | 0.0582 | 72,281.31 | |||||||||
| 71 |
12/24/2026 | 91 | 3.335 | - | 1,219,422.53 | 1,219,422.53 | 98,350,000.00 | 0.0559 | 68,175.48 | |||||||||
| 72 |
3/24/2027 | 90 | 3.299 | - | 1,197,200.04 | 1,197,200.04 | 98,350,000.00 | 0.0537 | 64,346.47 | |||||||||
| 73 |
6/24/2027 | 92 | 3.265 | - | 1,215,257.46 | 1,215,257.46 | 98,350,000.00 | 0.0516 | 62,744.23 | |||||||||
| 74 |
9/24/2027 | 92 | 3.233 | - | 1,207,193.75 | 1,207,193.75 | 98,350,000.00 | 0.0496 | 59,877.58 | |||||||||
| 75 |
12/24/2027 | 91 | 3.203 | - | 1,186,566.39 | 1,186,566.39 | 98,350,000.00 | 0.0477 | 56,568.99 | |||||||||
| 76 |
3/24/2028 | 91 | 3.175 | - | 1,179,687.19 | 1,179,687.19 | 98,350,000.00 | 0.0458 | 54,060.70 | |||||||||
| 77 |
6/26/2028 | 94 | 3.151 | - | 1,212,355.13 | 1,212,355.13 | 98,350,000.00 | 0.0440 | 53,338.98 | |||||||||
| 78 |
9/25/2028 | 91 | 3.129 | - | 1,168,096.14 | 1,168,096.14 | 98,350,000.00 | 0.0423 | 49,405.02 | |||||||||
| 79 |
12/28/2028 | 94 | 3.105 | - | 1,200,629.77 | 1,200,629.77 | 98,350,000.00 | 0.0406 | 48,758.61 | |||||||||
| 80 |
3/26/2029 | 88 | 3.088 | - | 1,119,856.35 | 1,119,856.35 | 98,350,000.00 | 0.0391 | 43,780.16 | |||||||||
| 81 |
6/25/2029 | 91 | 3.088 | - | 1,158,125.76 | 1,158,125.76 | 98,350,000.00 | 0.0376 | 43,530.20 | |||||||||
| 82 |
9/24/2029 | 91 | 3.101 | - | 1,161,236.08 | 1,161,236.08 | 98,350,000.00 | 0.0361 | 41,962.58 | |||||||||
| 83 |
12/24/2029 | 91 | 3.115 | - | 1,164,652.93 | 1,164,652.93 | 98,350,000.00 | 0.0347 | 40,460.42 | |||||||||
| 84 |
3/25/2030 | 91 | 3.129 | - | 1,168,132.43 | 1,168,132.43 | 98,350,000.00 | 0.0334 | 39,012.47 | |||||||||
| 85 |
6/24/2030 | 91 | 3.143 | - | 1,171,666.63 | 1,171,666.63 | 98,350,000.00 | 0.0321 | 37,616.45 | |||||||||
| 86 |
9/24/2030 | 92 | 3.157 | - | 1,188,163.13 | 1,188,163.13 | 98,350,000.00 | 0.0308 | 36,653.23 | |||||||||
| 87 |
12/24/2030 | 91 | 3.172 | - | 1,178,869.52 | 1,178,869.52 | 98,350,000.00 | 0.0297 | 34,956.97 | |||||||||
| 88 |
3/24/2031 | 90 | 3.187 | - | 1,169,527.80 | 1,169,527.80 | 98,350,000.00 | 0.0285 | 33,348.79 | |||||||||
| 89 |
6/24/2031 | 92 | 3.201 | - | 1,199,235.36 | 1,199,235.36 | 98,350,000.00 | 0.0274 | 32,854.09 | |||||||||
| 90 |
9/24/2031 | 92 | 3.216 | - | 1,202,970.51 | 1,202,970.51 | 98,350,000.00 | 0.0263 | 31,662.10 | |||||||||
| 91 |
12/24/2031 | 91 | 3.231 | - | 1,193,598.24 | 1,193,598.24 | 98,350,000.00 | 0.0253 | 30,193.41 | |||||||||
| 92 |
3/24/2032 | 91 | 3.246 | - | 1,197,303.47 | 1,197,303.47 | 98,350,000.00 | 0.0243 | 29,107.97 | |||||||||
| 93 |
6/24/2032 | 92 | 3.261 | - | 1,214,200.58 | 1,214,200.58 | 98,350,000.00 | 0.0234 | 28,356.33 | |||||||||
| 94 |
9/24/2032 | 92 | 3.276 | - | 1,217,926.68 | 1,217,926.68 | 98,350,000.00 | 0.0224 | 27,322.28 | |||||||||
| 95 |
12/24/2032 | 91 | 3.290 | - | 1,208,352.56 | 1,208,352.56 | 98,350,000.00 | 0.0216 | 26,049.31 | |||||||||
| 96 |
3/24/2033 | 90 | 3.305 | - | 1,198,669.64 | 1,198,669.64 | 98,350,000.00 | 0.0207 | 24,841.62 | |||||||||
| 97 |
6/24/2033 | 92 | 3.320 | - | 1,228,945.12 | 1,228,945.12 | 98,350,000.00 | 0.0199 | 24,462.58 | |||||||||
| 98 |
9/26/2033 | 94 | 3.334 | - | 1,259,333.60 | 1,259,333.60 | 98,350,000.00 | 0.0191 | 24,055.34 | |||||||||
| 99 |
12/29/2033 | 94 | 3.348 | - | 1,262,952.21 | 1,262,952.21 | 98,350,000.00 | 0.0183 | 23,149.59 | |||||||||
| 100 |
3/24/2034 | 85 | 3.362 | 98,350,000.00 | 1,145,248.13 | 99,495,248.13 | - | 0.0177 | 1,756,767.28 | |||||||||
Confidential treatment requested by First Commonwealth Financial Corporation. [***] indicates material that has been omitted and for which confidential treatment has been requested pursuant to 17 C.F.R. § 200.83.
FOIA Confidential Treatment Request
Exhibit A
First Commonwealth Financial Corporation
PreTSL XIII
Assumptions-Collateral for Fair Value Cash Flows
| Default Probabilities (3/31/2009) | |||||||||||||||||||||||||||
| Asset Name |
Issuer Name |
Recovery | Current Balance | Y1 | Y2 | Y 3-5 | Y6-10 | Y 11-20 | Y 21+ | ||||||||||||||||||
| Issuer 1 |
[***] | 10 | % | $5,000,000 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | |||||||||||
| Issuer 2 |
[***] | 10 | % | $4,500,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 3 |
[***] | 10 | % | $3,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 4 |
[***] | 10 | % | $7,000,000 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | |||||||||||
| Issuer 5 |
[***] | 10 | % | $5,000,000 | 0.70 | % | 0.60 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | |||||||||||
| Issuer 6 |
[***] | 10 | % | $4,000,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 7 |
[***] | 10 | % | $18,000,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 8 |
[***] | 10 | % | $5,000,000 | 10.00 | % | 8.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 9 |
[***] | 10 | % | $6,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 10 |
[***] | 10 | % | $4,000,000 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | |||||||||||
| Issuer 11 |
[***] | 10 | % | $4,000,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 12 |
[***] | 10 | % | $4,000,000 | 1.90 | % | 1.35 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 13 |
[***] | 10 | % | $3,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 14 |
[***] | 10 | % | $2,500,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 15 |
[***] | 10 | % | $22,250,000 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | |||||||||||
| Issuer 16 |
[***] | 10 | % | $3,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 17 |
[***] | 10 | % | $15,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 18 |
[***] | 10 | % | $12,000,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 19 |
[***] | 10 | % | $3,000,000 | 0.70 | % | 0.60 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | |||||||||||
| Issuer 20 |
[***] | 10 | % | $4,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 21-x1 |
[***] | 10 | % | $2,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 21-x2 |
[***] | 10 | % | $3,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 22 |
[***] | 10 | % | $10,000,000 | 1.90 | % | 1.35 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 23 |
[***] | 10 | % | $5,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 24 |
[***] | 10 | % | $7,500,000 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | |||||||||||
| Issuer 25 |
[***] | 10 | % | $15,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 26 |
[***] | 10 | % | $3,000,000 | 12.00 | % | 8.00 | % | 1.25 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 27 |
[***] | 10 | % | $4,500,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 28 |
[***] | 10 | % | $7,000,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 29 |
[***] | 10 | % | $15,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 30 |
[***] | 10 | % | $3,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 31 |
[***] | 10 | % | $10,000,000 | 8.00 | % | 6.00 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 32 |
[***] | 10 | % | $15,000,000 | 10.00 | % | 5.00 | % | 1.25 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 33-x1 |
[***] | 10 | % | $2,000,000 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | |||||||||||
| Issuer 33-x2 |
[***] | 10 | % | $2,000,000 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | |||||||||||
| Issuer 34 |
[***] | 10 | % | $5,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 35 |
[***] | 10 | % | $4,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 36 |
[***] | 10 | % | $3,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 37 |
[***] | 10 | % | $3,000,000 | 0.70 | % | 0.60 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | |||||||||||
| Issuer 38 |
[***] | 10 | % | $25,000,000 | 1.90 | % | 1.35 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 39 |
[***] | 10 | % | $6,000,000 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | |||||||||||
| Issuer 40 |
[***] | 10 | % | $3,000,000 | 0.70 | % | 0.60 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | |||||||||||
| Issuer 41 |
[***] | 10 | % | $2,000,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 42 |
[***] | 10 | % | $5,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 43 |
[***] | 10 | % | $5,000,000 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | |||||||||||
| Issuer 44 |
[***] | 10 | % | $7,500,000 | 15.00 | % | 10.00 | % | 1.25 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 45 |
[***] | 10 | % | $15,000,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 46 |
[***] | 10 | % | $3,500,000 | 14.50 | % | 9.75 | % | 1.25 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 47 |
[***] | 10 | % | $10,000,000 | 0.70 | % | 0.60 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | |||||||||||
| Issuer 48 |
[***] | 10 | % | $3,500,000 | 0.70 | % | 0.60 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | |||||||||||
| Issuer 49 |
[***] | 10 | % | $5,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 50 |
[***] | 10 | % | $4,000,000 | 7.30 | % | 4.95 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 51 |
[***] | 10 | % | $3,500,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 52 |
[***] | 10 | % | $15,000,000 | 1.30 | % | 0.95 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 53 |
[***] | 10 | % | $10,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 54 |
[***] | 10 | % | $7,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 55 |
[***] | 10 | % | $10,000,000 | 0.70 | % | 0.60 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | |||||||||||
| Issuer 56 |
[***] | 10 | % | $5,000,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 58 |
[***] | 10 | % | $25,000,000 | 0.70 | % | 0.60 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | |||||||||||
| Issuer 59 |
[***] | 10 | % | $15,000,000 | 11.00 | % | 7.00 | % | 1.25 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 60 |
[***] | 10 | % | $5,000,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 61 |
[***] | 10 | % | $7,500,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 62 |
[***] | 10 | % | $4,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 63 |
[***] | 10 | % | $10,000,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 64 |
[***] | 10 | % | $10,000,000 | 3.00 | % | 2.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 65 |
[***] | 10 | % | $4,000,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 66 |
[***] | 10 | % | $4,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 67 |
[***] | 10 | % | $8,000,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 68 |
[***] | 10 | % | $2,250,000 | 1.90 | % | 1.35 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 69 |
[***] | 10 | % | $6,000,000 | 35.00 | % | 15.00 | % | 1.25 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 70 |
[***] | 10 | % | $2,700,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
Confidential treatment requested by First Commonwealth Financial Corporation. [***] indicates material that has been omitted and for which confidential treatment has been requested pursuant to 17 C.F.R. § 200.83.
FOIA Confidential Treatment Request
Exhibit B
First Commonwealth Financial Corporation
PreTSL XIII
Cash Flow Analysis Used to Determine Other-than-Temporary Impairment
| Class: | B1 | Price: | 100.00% | |||||||||||||||
| WAL: | 25.00 | Spread: | 157 | |||||||||||||||
| Par: | 98,350,000.00 | |||||||||||||||||
| Cashflows |
3 | 98,350,000.04 | ||||||||||||||||
| Period |
Date | Daycount | LIBOR 3MO | Principal | Interest | Cash Flow | Balance | DF | PV | |||||||||
| Total |
98,350,000.00 | 125,505,850.00 | 223,855,850.00 | |||||||||||||||
| 0 |
3/24/2009 | - | - | - | 98,350,000.00 | 1.000 | ||||||||||||
| 1 |
6/24/2009 | 92 | 1.316 | - | 725,271.04 | 725,271.04 | 98,350,000.00 | 0.9927 | 719,961.76 | |||||||||
| 2 |
9/24/2009 | 92 | 1.858 | - | 861,564.33 | 861,564.33 | 98,350,000.00 | 0.9841 | 847,830.18 | |||||||||
| 3 |
12/24/2009 | 91 | 2.288 | - | 959,147.72 | 959,147.72 | 98,350,000.00 | 0.9746 | 934,742.03 | |||||||||
| 4 |
3/24/2010 | 90 | 2.361 | - | 966,489.14 | 966,489.14 | 98,350,000.00 | 0.9651 | 932,730.67 | |||||||||
| 5 |
6/24/2010 | 92 | 2.576 | - | 1,042,083.96 | 1,042,083.96 | 98,350,000.00 | 0.9550 | 995,140.85 | |||||||||
| 6 |
9/24/2010 | 92 | 1.908 | - | 874,115.94 | 874,115.94 | 98,350,000.00 | 0.9465 | 827,385.70 | |||||||||
| 7 |
12/24/2010 | 91 | 1.037 | - | 648,116.56 | 648,116.56 | 98,350,000.00 | 0.9403 | 609,452.02 | |||||||||
| 8 |
3/24/2011 | 90 | 0.557 | - | 523,074.97 | 523,074.97 | 98,350,000.00 | 0.9354 | 489,267.83 | |||||||||
| 9 |
6/24/2011 | 92 | 0.876 | - | 614,650.26 | 614,650.26 | 98,350,000.00 | 0.9296 | 571,353.73 | |||||||||
| 10 |
9/26/2011 | 94 | 1.877 | - | 885,131.64 | 885,131.64 | 98,350,000.00 | 0.9213 | 815,443.31 | |||||||||
| 11 |
12/29/2011 | 94 | 2.841 | - | 1,132,692.34 | 1,132,692.34 | 98,350,000.00 | 0.9108 | 1,031,631.77 | |||||||||
| 12 |
3/26/2012 | 88 | 3.514 | - | 1,222,354.19 | 1,222,354.19 | 98,350,000.00 | 0.8996 | 1,099,627.01 | |||||||||
| 13 |
6/25/2012 | 91 | 3.704 | - | 1,311,191.31 | 1,311,191.31 | 98,350,000.00 | 0.8878 | 1,164,026.01 | |||||||||
| 14 |
9/24/2012 | 91 | 3.521 | - | 1,265,630.86 | 1,265,630.86 | 98,350,000.00 | 0.8765 | 1,109,303.94 | |||||||||
| 15 |
12/24/2012 | 91 | 3.373 | - | 1,228,800.98 | 1,228,800.98 | 98,350,000.00 | 0.8657 | 1,063,732.72 | |||||||||
| 16 |
3/25/2013 | 91 | 3.346 | - | 1,222,150.99 | 1,222,150.99 | 98,350,000.00 | 0.8550 | 1,044,990.42 | |||||||||
| 17 |
6/24/2013 | 91 | 3.490 | - | 1,258,052.57 | 1,258,052.57 | 98,350,000.00 | 0.8442 | 1,062,101.81 | |||||||||
| 18 |
9/24/2013 | 92 | 3.743 | - | 1,335,300.18 | 1,335,300.18 | 98,350,000.00 | 0.8329 | 1,112,216.95 | |||||||||
| 19 |
12/24/2013 | 91 | 3.940 | - | 1,369,827.74 | 1,369,827.74 | 98,350,000.00 | 0.8215 | 1,125,302.81 | |||||||||
| 20 |
3/24/2014 | 90 | 4.049 | - | 1,381,538.43 | 1,381,538.43 | 98,350,000.00 | 0.8101 | 1,119,201.45 | |||||||||
| 21 |
6/24/2014 | 92 | 4.050 | - | 1,412,644.70 | 1,412,644.70 | 98,350,000.00 | 0.7986 | 1,128,196.24 | |||||||||
| 22 |
9/24/2014 | 92 | 3.987 | - | 1,396,606.26 | 1,396,606.26 | 98,350,000.00 | 0.7875 | 1,099,770.14 | |||||||||
| 23 |
12/24/2014 | 91 | 3.949 | - | 1,372,047.80 | 1,372,047.80 | 98,350,000.00 | 0.7766 | 1,065,566.01 | |||||||||
| 24 |
3/24/2015 | 90 | 3.956 | - | 1,358,710.17 | 1,358,710.17 | 98,350,000.00 | 0.7660 | 1,040,828.58 | |||||||||
| 25 |
6/24/2015 | 92 | 4.019 | - | 1,404,626.48 | 1,404,626.48 | 98,350,000.00 | 0.7553 | 1,060,851.39 | |||||||||
| 26 |
9/24/2015 | 92 | 4.109 | - | 1,427,315.35 | 1,427,315.35 | 98,350,000.00 | 0.7445 | 1,062,566.66 | |||||||||
| 27 |
12/24/2015 | 91 | 4.169 | - | 1,426,773.90 | 1,426,773.90 | 98,350,000.00 | 0.7338 | 1,046,975.00 | |||||||||
| 28 |
3/24/2016 | 91 | 4.189 | - | 1,431,765.18 | 1,431,765.18 | 98,350,000.00 | 0.7233 | 1,035,562.07 | |||||||||
| 29 |
6/24/2016 | 92 | 4.164 | - | 1,441,227.46 | 1,441,227.46 | 98,350,000.00 | 0.7128 | 1,027,351.04 | |||||||||
| 30 |
9/26/2016 | 94 | 4.116 | - | 1,460,124.61 | 1,460,124.61 | 98,350,000.00 | 0.7024 | 1,025,595.31 | |||||||||
| 31 |
12/29/2016 | 94 | 4.085 | - | 1,452,285.45 | 1,452,285.45 | 98,350,000.00 | 0.6922 | 1,005,245.11 | |||||||||
| 32 |
3/24/2017 | 85 | 4.081 | - | 1,312,133.12 | 1,312,133.12 | 98,350,000.00 | 0.6831 | 896,276.61 | |||||||||
| 33 |
6/26/2017 | 94 | 4.106 | - | 1,457,561.21 | 1,457,561.21 | 98,350,000.00 | 0.6731 | 981,074.28 | |||||||||
| 34 |
9/25/2017 | 91 | 4.149 | - | 1,421,699.58 | 1,421,699.58 | 98,350,000.00 | 0.6635 | 943,300.18 | |||||||||
| 35 |
12/28/2017 | 94 | 4.184 | - | 1,477,751.30 | 1,477,751.30 | 98,350,000.00 | 0.6537 | 965,976.38 | |||||||||
| 36 |
3/26/2018 | 88 | 4.210 | - | 1,389,572.86 | 1,389,572.86 | 98,350,000.00 | 0.6446 | 895,680.96 | |||||||||
| 37 |
6/25/2018 | 91 | 4.224 | - | 1,440,526.59 | 1,440,526.59 | 98,350,000.00 | 0.6353 | 915,120.63 | |||||||||
| 38 |
9/24/2018 | 91 | 4.226 | - | 1,440,960.16 | 1,440,960.16 | 98,350,000.00 | 0.6261 | 902,177.94 | |||||||||
| 39 |
12/24/2018 | 91 | 4.213 | - | 1,437,774.76 | 1,437,774.76 | 98,350,000.00 | 0.6171 | 887,213.44 | |||||||||
| 40 |
3/25/2019 | 91 | 4.185 | - | 1,430,676.78 | 1,430,676.78 | 98,350,000.00 | 0.6082 | 870,175.20 | |||||||||
| 41 |
6/24/2019 | 91 | 4.140 | - | 1,419,437.01 | 1,419,437.01 | 98,350,000.00 | 0.5996 | 851,056.01 | |||||||||
| 42 |
9/24/2019 | 92 | 4.088 | - | 1,422,088.00 | 1,422,088.00 | 98,350,000.00 | 0.5910 | 840,492.40 | |||||||||
| 43 |
12/24/2019 | 91 | 4.048 | - | 1,396,777.98 | 1,396,777.98 | 98,350,000.00 | 0.5828 | 813,973.36 | |||||||||
| 44 |
3/24/2020 | 91 | 4.024 | - | 1,390,706.00 | 1,390,706.00 | 98,350,000.00 | 0.5746 | 799,134.84 | |||||||||
| 45 |
6/24/2020 | 92 | 4.017 | - | 1,404,121.79 | 1,404,121.79 | 98,350,000.00 | 0.5665 | 795,486.90 | |||||||||
| 46 |
9/24/2020 | 92 | 4.023 | - | 1,405,713.02 | 1,405,713.02 | 98,350,000.00 | 0.5586 | 785,166.04 | |||||||||
| 47 |
12/24/2020 | 91 | 4.036 | - | 1,393,769.59 | 1,393,769.59 | 98,350,000.00 | 0.5507 | 767,616.69 | |||||||||
| 48 |
3/24/2021 | 90 | 4.057 | - | 1,383,498.06 | 1,383,498.06 | 98,350,000.00 | 0.5431 | 751,389.79 | |||||||||
| 49 |
6/24/2021 | 92 | 4.085 | - | 1,421,292.76 | 1,421,292.76 | 98,350,000.00 | 0.5354 | 760,920.08 | |||||||||
| 50 |
9/24/2021 | 92 | 4.107 | - | 1,426,946.88 | 1,426,946.88 | 98,350,000.00 | 0.5277 | 753,021.65 | |||||||||
| 51 |
12/24/2021 | 91 | 4.102 | - | 1,410,131.16 | 1,410,131.16 | 98,350,000.00 | 0.5203 | 733,629.05 | |||||||||
| 52 |
3/24/2022 | 90 | 4.065 | - | 1,385,513.74 | 1,385,513.74 | 98,350,000.00 | 0.5130 | 710,808.12 | |||||||||
| 53 |
6/24/2022 | 92 | 3.994 | - | 1,398,481.00 | 1,398,481.00 | 98,350,000.00 | 0.5058 | 707,401.84 | |||||||||
| 54 |
9/26/2022 | 94 | 3.910 | - | 1,407,226.58 | 1,407,226.58 | 98,350,000.00 | 0.4987 | 701,784.29 | |||||||||
| 55 |
12/29/2022 | 94 | 3.847 | - | 1,391,165.62 | 1,391,165.62 | 98,350,000.00 | 0.4917 | 684,098.09 | |||||||||
| 56 |
3/24/2023 | 85 | 3.812 | - | 1,249,701.35 | 1,249,701.35 | 98,350,000.00 | 0.4856 | 606,823.10 | |||||||||
| 57 |
6/26/2023 | 94 | 3.805 | - | 1,380,301.83 | 1,380,301.83 | 98,350,000.00 | 0.4789 | 660,963.02 | |||||||||
| 58 |
9/25/2023 | 91 | 3.812 | - | 1,338,112.96 | 1,338,112.96 | 98,350,000.00 | 0.4724 | 632,159.78 | |||||||||
| 59 |
12/28/2023 | 94 | 3.808 | - | 1,381,207.83 | 1,381,207.83 | 98,350,000.00 | 0.4659 | 643,482.00 | |||||||||
| 60 |
3/25/2024 | 88 | 3.790 | - | 1,288,586.73 | 1,288,586.73 | 98,350,000.00 | 0.4599 | 592,567.51 | |||||||||
| 61 |
6/24/2024 | 91 | 3.756 | - | 1,324,072.13 | 1,324,072.13 | 98,350,000.00 | 0.4537 | 600,797.32 | |||||||||
| 62 |
9/24/2024 | 92 | 3.712 | - | 1,327,559.19 | 1,327,559.19 | 98,350,000.00 | 0.4477 | 594,356.76 | |||||||||
| 63 |
12/24/2024 | 91 | 3.667 | - | 1,302,020.95 | 1,302,020.95 | 98,350,000.00 | 0.4419 | 575,306.84 | |||||||||
| 64 |
3/24/2025 | 90 | 3.623 | - | 1,276,803.55 | 1,276,803.55 | 98,350,000.00 | 0.4362 | 556,934.10 | |||||||||
| 65 |
6/24/2025 | 92 | 3.579 | - | 1,294,145.70 | 1,294,145.70 | 98,350,000.00 | 0.4305 | 557,167.12 | |||||||||
| 66 |
9/24/2025 | 92 | 3.536 | - | 1,283,276.30 | 1,283,276.30 | 98,350,000.00 | 0.4250 | 545,371.49 | |||||||||
| 67 |
12/24/2025 | 91 | 3.493 | - | 1,258,778.01 | 1,258,778.01 | 98,350,000.00 | 0.4196 | 528,199.71 | |||||||||
| 68 |
3/24/2026 | 90 | 3.452 | - | 1,234,752.04 | 1,234,752.04 | 98,350,000.00 | 0.4144 | 511,693.95 | |||||||||
| 69 |
6/24/2026 | 92 | 3.412 | - | 1,252,060.26 | 1,252,060.26 | 98,350,000.00 | 0.4092 | 512,344.18 | |||||||||
| 70 |
9/24/2026 | 92 | 3.373 | - | 1,242,258.04 | 1,242,258.04 | 98,350,000.00 | 0.4041 | 501,992.44 |
Confidential treatment requested by First Commonwealth Financial Corporation. [***] indicates material that has been omitted and for which confidential treatment has been requested pursuant to 17 C.F.R. § 200.83.
FOIA Confidential Treatment Request
Exhibit B
First Commonwealth Financial Corporation
PreTSL XIII
Cash Flow Analysis Used to Determine Other-than-Temporary Impairment
| Class: | B1 | Price: | 100.00% | |||||||||||||||
| WAL: | 25.00 | Spread: | 157 | |||||||||||||||
| Par: | 98,350,000.00 | |||||||||||||||||
| Cashflows |
3 | 98,350,000.04 | ||||||||||||||||
| Period |
Date | Daycount | LIBOR 3MO | Principal | Interest | Cash Flow | Balance | DF | PV | |||||||||
| 71 |
12/24/2026 | 91 | 3.335 | - | 1,219,422.53 | 1,219,422.53 | 98,350,000.00 | 0.3991 | 486,729.81 | |||||||||
| 72 |
3/24/2027 | 90 | 3.299 | - | 1,197,200.04 | 1,197,200.04 | 98,350,000.00 | 0.3943 | 472,112.80 | |||||||||
| 73 |
6/24/2027 | 92 | 3.265 | - | 1,215,257.46 | 1,215,257.46 | 98,350,000.00 | 0.3895 | 473,384.34 | |||||||||
| 74 |
9/24/2027 | 92 | 3.233 | - | 1,207,193.75 | 1,207,193.75 | 98,350,000.00 | 0.3848 | 464,541.25 | |||||||||
| 75 |
12/24/2027 | 91 | 3.203 | - | 1,186,566.39 | 1,186,566.39 | 98,350,000.00 | 0.3802 | 451,160.49 | |||||||||
| 76 |
3/24/2028 | 91 | 3.175 | - | 1,179,687.19 | 1,179,687.19 | 98,350,000.00 | 0.3757 | 443,228.43 | |||||||||
| 77 |
6/26/2028 | 94 | 3.151 | - | 1,212,355.13 | 1,212,355.13 | 98,350,000.00 | 0.3711 | 449,955.75 | |||||||||
| 78 |
9/25/2028 | 91 | 3.129 | - | 1,168,096.14 | 1,168,096.14 | 98,350,000.00 | 0.3668 | 428,440.82 | |||||||||
| 79 |
12/28/2028 | 94 | 3.105 | - | 1,200,629.77 | 1,200,629.77 | 98,350,000.00 | 0.3624 | 435,062.56 | |||||||||
| 80 |
3/26/2029 | 88 | 3.088 | - | 1,119,856.35 | 1,119,856.35 | 98,350,000.00 | 0.3583 | 401,224.82 | |||||||||
| 81 |
6/25/2029 | 91 | 3.088 | - | 1,158,125.76 | 1,158,125.76 | 98,350,000.00 | 0.3541 | 410,106.84 | |||||||||
| 82 |
9/24/2029 | 91 | 3.101 | - | 1,161,236.08 | 1,161,236.08 | 98,350,000.00 | 0.3500 | 406,409.70 | |||||||||
| 83 |
12/24/2029 | 91 | 3.115 | - | 1,164,652.93 | 1,164,652.93 | 98,350,000.00 | 0.3459 | 402,835.18 | |||||||||
| 84 |
3/25/2030 | 91 | 3.129 | - | 1,168,132.43 | 1,168,132.43 | 98,350,000.00 | 0.3418 | 399,296.13 | |||||||||
| 85 |
6/24/2030 | 91 | 3.143 | - | 1,171,666.63 | 1,171,666.63 | 98,350,000.00 | 0.3378 | 395,789.08 | |||||||||
| 86 |
9/24/2030 | 92 | 3.157 | - | 1,188,163.13 | 1,188,163.13 | 98,350,000.00 | 0.3338 | 396,570.64 | |||||||||
| 87 |
12/24/2030 | 91 | 3.172 | - | 1,178,869.52 | 1,178,869.52 | 98,350,000.00 | 0.3298 | 388,808.29 | |||||||||
| 88 |
3/24/2031 | 90 | 3.187 | - | 1,169,527.80 | 1,169,527.80 | 98,350,000.00 | 0.3259 | 381,194.29 | |||||||||
| 89 |
6/24/2031 | 92 | 3.201 | - | 1,199,235.36 | 1,199,235.36 | 98,350,000.00 | 0.3220 | 386,168.37 | |||||||||
| 90 |
9/24/2031 | 92 | 3.216 | - | 1,202,970.51 | 1,202,970.51 | 98,350,000.00 | 0.3181 | 382,690.25 | |||||||||
| 91 |
12/24/2031 | 91 | 3.231 | - | 1,193,598.24 | 1,193,598.24 | 98,350,000.00 | 0.3143 | 375,155.75 | |||||||||
| 92 |
3/24/2032 | 91 | 3.246 | - | 1,197,303.47 | 1,197,303.47 | 98,350,000.00 | 0.3105 | 371,794.14 | |||||||||
| 93 |
6/24/2032 | 92 | 3.261 | - | 1,214,200.58 | 1,214,200.58 | 98,350,000.00 | 0.3067 | 372,443.07 | |||||||||
| 94 |
9/24/2032 | 92 | 3.276 | - | 1,217,926.68 | 1,217,926.68 | 98,350,000.00 | 0.3030 | 369,016.26 | |||||||||
| 95 |
12/24/2032 | 91 | 3.290 | - | 1,208,352.56 | 1,208,352.56 | 98,350,000.00 | 0.2993 | 361,671.83 | |||||||||
| 96 |
3/24/2033 | 90 | 3.305 | - | 1,198,669.64 | 1,198,669.64 | 98,350,000.00 | 0.2957 | 354,453.63 | |||||||||
| 97 |
6/24/2033 | 92 | 3.320 | - | 1,228,945.12 | 1,228,945.12 | 98,350,000.00 | 0.2921 | 358,921.32 | |||||||||
| 98 |
9/26/2033 | 94 | 3.334 | - | 1,259,333.60 | 1,259,333.60 | 98,350,000.00 | 0.2884 | 363,146.52 | |||||||||
| 99 |
12/29/2033 | 94 | 3.348 | - | 1,262,952.21 | 1,262,952.21 | 98,350,000.00 | 0.2847 | 359,572.58 | |||||||||
| 100 |
3/24/2034 | 85 | 3.362 | 98,350,000.00 | 1,145,248.13 | 99,495,248.13 | - | 0.2814 | 28,001,030.48 | |||||||||
Confidential treatment requested by First Commonwealth Financial Corporation. [***] indicates material that has been omitted and for which confidential treatment has been requested pursuant to 17 C.F.R. § 200.83.
FOIA Confidential Treatment Request
Exhibit B
First Commonwealth Financial Corporation
PreTSL XIII
Assumptions-Collateral for 99-20 Cash Flows
| Default Probabilities (3/31/2009) | |||||||||||||||||||||||||||
| Asset Name |
Issuer Name |
Recovery | Current Balance | Y1 | Y2 | Y 3-5 | Y6-10 | Y 11-20 | Y 21+ | ||||||||||||||||||
| Issuer 1 |
[***] | 10 | % | $5,000,000 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | |||||||||||
| Issuer 2 |
[***] | 10 | % | $4,500,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 3 |
[***] | 10 | % | $3,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 4 |
[***] | 10 | % | $7,000,000 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | |||||||||||
| Issuer 5 |
[***] | 10 | % | $5,000,000 | 0.70 | % | 0.60 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | |||||||||||
| Issuer 6 |
[***] | 10 | % | $4,000,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 7 |
[***] | 10 | % | $18,000,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 8 |
[***] | 10 | % | $5,000,000 | 10.00 | % | 8.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 9 |
[***] | 10 | % | $6,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 10 |
[***] | 10 | % | $4,000,000 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | |||||||||||
| Issuer 11 |
[***] | 10 | % | $4,000,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 12 |
[***] | 10 | % | $4,000,000 | 1.90 | % | 1.35 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 13 |
[***] | 10 | % | $3,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 14 |
[***] | 10 | % | $2,500,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 15 |
[***] | 10 | % | $22,250,000 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | |||||||||||
| Issuer 16 |
[***] | 10 | % | $3,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 17 |
[***] | 10 | % | $15,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 18 |
[***] | 10 | % | $12,000,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 19 |
[***] | 10 | % | $3,000,000 | 0.70 | % | 0.60 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | |||||||||||
| Issuer 20 |
[***] | 10 | % | $4,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 21-x1 |
[***] | 10 | % | $2,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 21-x2 |
[***] | 10 | % | $3,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 22 |
[***] | 10 | % | $10,000,000 | 1.90 | % | 1.35 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 23 |
[***] | 10 | % | $5,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 24 |
[***] | 10 | % | $7,500,000 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | |||||||||||
| Issuer 25 |
[***] | 10 | % | $15,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 26 |
[***] | 10 | % | $3,000,000 | 12.00 | % | 8.00 | % | 1.25 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 27 |
[***] | 10 | % | $4,500,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 28 |
[***] | 10 | % | $7,000,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 29 |
[***] | 10 | % | $15,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 30 |
[***] | 10 | % | $3,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 31 |
[***] | 10 | % | $10,000,000 | 8.00 | % | 6.00 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 32 |
[***] | 10 | % | $15,000,000 | 10.00 | % | 5.00 | % | 1.25 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 33-x1 |
[***] | 10 | % | $2,000,000 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | |||||||||||
| Issuer 33-x2 |
[***] | 10 | % | $2,000,000 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | |||||||||||
| Issuer 34 |
[***] | 10 | % | $5,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 35 |
[***] | 10 | % | $4,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 36 |
[***] | 10 | % | $3,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 37 |
[***] | 10 | % | $3,000,000 | 0.70 | % | 0.60 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | |||||||||||
| Issuer 38 |
[***] | 10 | % | $25,000,000 | 1.90 | % | 1.35 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 39 |
[***] | 10 | % | $6,000,000 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | |||||||||||
| Issuer 40 |
[***] | 10 | % | $3,000,000 | 0.70 | % | 0.60 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | |||||||||||
| Issuer 41 |
[***] | 10 | % | $2,000,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 42 |
[***] | 10 | % | $5,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 43 |
[***] | 10 | % | $5,000,000 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | |||||||||||
| Issuer 44 |
[***] | 10 | % | $7,500,000 | 15.00 | % | 10.00 | % | 1.25 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 45 |
[***] | 10 | % | $15,000,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 46 |
[***] | 10 | % | $3,500,000 | 14.50 | % | 9.75 | % | 1.25 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 47 |
[***] | 10 | % | $10,000,000 | 0.70 | % | 0.60 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | |||||||||||
| Issuer 48 |
[***] | 10 | % | $3,500,000 | 0.70 | % | 0.60 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | |||||||||||
| Issuer 49 |
[***] | 10 | % | $5,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 50 |
[***] | 10 | % | $4,000,000 | 7.30 | % | 4.95 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 51 |
[***] | 10 | % | $3,500,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 52 |
[***] | 10 | % | $15,000,000 | 1.30 | % | 0.95 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 53 |
[***] | 10 | % | $10,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 54 |
[***] | 10 | % | $7,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 55 |
[***] | 10 | % | $10,000,000 | 0.70 | % | 0.60 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | |||||||||||
| Issuer 56 |
[***] | 10 | % | $5,000,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 58 |
[***] | 10 | % | $25,000,000 | 0.70 | % | 0.60 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | |||||||||||
| Issuer 59 |
[***] | 10 | % | $15,000,000 | 11.00 | % | 7.00 | % | 1.25 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 60 |
[***] | 10 | % | $5,000,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 61 |
[***] | 10 | % | $7,500,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 62 |
[***] | 10 | % | $4,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 63 |
[***] | 10 | % | $10,000,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 64 |
[***] | 10 | % | $10,000,000 | 3.00 | % | 2.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 65 |
[***] | 10 | % | $4,000,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 66 |
[***] | 10 | % | $4,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 67 |
[***] | 10 | % | $8,000,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 68 |
[***] | 10 | % | $2,250,000 | 1.90 | % | 1.35 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
| Issuer 69 |
[***] | 10 | % | $6,000,000 | 35.00 | % | 15.00 | % | 1.25 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||
| Issuer 70 |
[***] | 10 | % | $2,700,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | |||||||||||
Confidential treatment requested by First Commonwealth Financial Corporation. [***] indicates material that has been omitted and for which confidential treatment has been requested pursuant to 17 C.F.R. § 200.83.
FOIA Confidential Treatment Request
Exhibit C
First Commonwealth Financial Corporation
PreTSL XIII Quarterly Collateral Performance
| Default Probabilities POD (3/31/2009) | Default Probabilities POD (12/31/2008) | Default Probabilities POD (9/30/2008) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Asset Name |
Issuer Name |
Rec | Current Balance |
Y1 | Y2 | Y 3-5 | Y6-10 | Y11-20 | Y 21+ | Y1 | Y2 | Y 3-5 | Y6-10 | Y11-20 | Y 21+ | Y1 | Y2 | Y 3-5 | Y6-10 | Y11-20 | Y 21+ | |||||||||||||||||||||||||||||||||||||||||||
| Issuer 1 |
[***] | 10 | % | $5,000,000 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 15.00 | % | 10.00 | % | 1.25 | % | 0.50 | % | 0.50 | % | 0.50 | % | 15.00 | % | 10.00 | % | 1.25 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||||||||
| Issuer 10 |
[***] | 10 | % | $4,000,000 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 12.00 | % | 10.00 | % | 1.25 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||||||||
| Issuer 11 |
[***] | 10 | % | $4,000,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | 2.00 | % | 3.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | 2.00 | % | 3.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||||||||
| Issuer 12 |
[***] | 10 | % | $4,000,000 | 1.90 | % | 1.35 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 1.90 | % | 1.35 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 3.00 | % | 2.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||||||||
| Issuer 13 |
[***] | 10 | % | $3,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.75 | % | 1.00 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||||||||||||||||
| Issuer 14 |
[***] | 10 | % | $2,500,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.75 | % | 1.00 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||||||||||||||||
| Issuer 15 |
[***] | 10 | % | $22,250,000 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 40.00 | % | 25.00 | % | 1.25 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||||||||
| Issuer 16 |
[***] | 10 | % | $3,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.60 | % | 0.70 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | ||||||||||||||||||||||||
| Issuer 17 |
[***] | 10 | % | $15,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.75 | % | 1.00 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||||||||||||||||
| Issuer 18 |
[***] | 10 | % | $12,000,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | 1.00 | % | 3.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||||||||
| Issuer 19 |
[***] | 10 | % | $3,000,000 | 0.70 | % | 0.60 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | 0.70 | % | 0.60 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | 0.65 | % | 0.80 | % | 0.65 | % | 0.41 | % | 0.41 | % | 0.41 | % | ||||||||||||||||||||||||
| Issuer 2 |
[***] | 10 | % | $4,500,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | 5.00 | % | 7.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||||||||
| Issuer 20 |
[***] | 10 | % | $4,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.75 | % | 1.00 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||||||||||||||||
| Issuer 21-x1 |
[***] | 10 | % | $2,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.75 | % | 1.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||||||||
| Issuer 21-x2 |
[***] | 10 | % | $3,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.75 | % | 1.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||||||||
| Issuer 22 |
[***] | 10 | % | $10,000,000 | 1.90 | % | 1.35 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.60 | % | 0.70 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | ||||||||||||||||||||||||
| Issuer 23 |
[***] | 10 | % | $5,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 3.00 | % | 2.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||||||||
| Issuer 24 |
[***] | 10 | % | $7,500,000 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 5.00 | % | 3.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | 5.00 | % | 3.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||||||||
| Issuer 25 |
[***] | 10 | % | $15,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.75 | % | 1.00 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||||||||||||||||
| Issuer 26 |
[***] | 10 | % | $3,000,000 | 12.00 | % | 8.00 | % | 1.25 | % | 0.50 | % | 0.50 | % | 0.50 | % | 12.00 | % | 8.00 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 1.00 | % | 3.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||||||||
| Issuer 27 |
[***] | 10 | % | $4,500,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.75 | % | 1.00 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||||||||||||||||
| Issuer 28 |
[***] | 10 | % | $7,000,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 2.00 | % | 5.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||||||||
| Issuer 29 |
[***] | 10 | % | $15,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.50 | % | 0.60 | % | 0.50 | % | 0.25 | % | 0.25 | % | 0.25 | % | 0.50 | % | 0.60 | % | 0.50 | % | 0.25 | % | 0.25 | % | 0.25 | % | ||||||||||||||||||||||||
| Issuer 3 |
[***] | 10 | % | $3,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.75 | % | 1.00 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||||||||||||||||
| Issuer 30 |
[***] | 10 | % | $3,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.75 | % | 1.00 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||||||||||||||||
| Issuer 31 |
[***] | 10 | % | $10,000,000 | 8.00 | % | 6.00 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 8.00 | % | 6.00 | % | 1.25 | % | 0.50 | % | 0.50 | % | 0.50 | % | 5.00 | % | 3.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||||||||
| Issuer 32 |
[***] | 10 | % | $15,000,000 | 10.00 | % | 5.00 | % | 1.25 | % | 0.50 | % | 0.50 | % | 0.50 | % | 10.00 | % | 5.00 | % | 1.25 | % | 0.50 | % | 0.50 | % | 0.50 | % | 2.00 | % | 3.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||||||||
| Issuer 33-x1 |
[***] | 10 | % | $2,000,000 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||||||||||||||||
| Issuer 33-x2 |
[***] | 10 | % | $2,000,000 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||||||||||||||||
| Issuer 34 |
[***] | 10 | % | $5,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.75 | % | 1.00 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||||||||||||||||
| Issuer 35 |
[***] | 10 | % | $4,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.75 | % | 1.00 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||||||||||||||||
| Issuer 36 |
[***] | 10 | % | $3,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.75 | % | 1.00 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||||||||||||||||
| Issuer 37 |
[***] | 10 | % | $3,000,000 | 0.70 | % | 0.60 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | 0.70 | % | 0.60 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | 0.65 | % | 0.80 | % | 0.65 | % | 0.41 | % | 0.41 | % | 0.41 | % | ||||||||||||||||||||||||
| Issuer 38 |
[***] | 10 | % | $25,000,000 | 1.90 | % | 1.35 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 3.00 | % | 2.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | 2.00 | % | 3.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||||||||
| Issuer 39 |
[***] | 10 | % | $6,000,000 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 12.00 | % | 10.00 | % | 1.25 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||||||||
| Issuer 4 |
[***] | 10 | % | $7,000,000 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 3.00 | % | 2.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||||||||
| Issuer 40 |
[***] | 10 | % | $3,000,000 | 0.70 | % | 0.60 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | 0.70 | % | 0.60 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | 0.75 | % | 1.00 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||||||||||||||||
| Issuer 41 |
[***] | 10 | % | $2,000,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | 0.75 | % | 1.00 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||||||||||||||||
| Issuer 42 |
[***] | 10 | % | $5,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.75 | % | 1.00 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||||||||||||||||
| Issuer 43 |
[***] | 10 | % | $5,000,000 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 12.00 | % | 10.00 | % | 1.25 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||||||||
| Issuer 44 |
[***] | 10 | % | $7,500,000 | 15.00 | % | 10.00 | % | 1.25 | % | 0.50 | % | 0.50 | % | 0.50 | % | 12.00 | % | 10.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | 5.00 | % | 3.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||||||||
| Issuer 45 |
[***] | 10 | % | $15,000,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | 3.00 | % | 2.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | 3.00 | % | 2.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||||||||
| Issuer 46 |
[***] | 10 | % | $3,500,000 | 14.50 | % | 9.75 | % | 1.25 | % | 0.50 | % | 0.50 | % | 0.50 | % | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 5.00 | % | 3.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||||||||
| Issuer 47 |
[***] | 10 | % | $10,000,000 | 0.70 | % | 0.60 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | 0.70 | % | 0.60 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | 0.75 | % | 1.00 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||||||||||||||||
| Issuer 48 |
[***] | 10 | % | $3,500,000 | 0.70 | % | 0.60 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | 0.70 | % | 0.60 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | 0.60 | % | 0.70 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | ||||||||||||||||||||||||
| Issuer 49 |
[***] | 10 | % | $5,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.75 | % | 1.00 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||||||||||||||||
| Issuer 5 |
[***] | 10 | % | $5,000,000 | 0.70 | % | 0.60 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.65 | % | 0.80 | % | 0.65 | % | 0.41 | % | 0.41 | % | 0.41 | % | ||||||||||||||||||||||||
| Issuer 50 |
[***] | 10 | % | $4,000,000 | 7.30 | % | 4.95 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | 5.00 | % | 3.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | 5.00 | % | 3.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||||||||
| Issuer 51 |
[***] | 10 | % | $3,500,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | 5.00 | % | 3.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||||||||
| Issuer 52 |
[***] | 10 | % | $15,000,000 | 1.30 | % | 0.95 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.75 | % | 1.00 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||||||||||||||||
| Issuer 53 |
[***] | 10 | % | $10,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.65 | % | 0.80 | % | 0.65 | % | 0.41 | % | 0.41 | % | 0.41 | % | 0.75 | % | 1.00 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||||||||||||||||
| Issuer 54 |
[***] | 10 | % | $7,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.70 | % | 0.60 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | 0.60 | % | 0.70 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | ||||||||||||||||||||||||
| Issuer 55 |
[***] | 10 | % | $10,000,000 | 0.70 | % | 0.60 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | 0.60 | % | 0.70 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | 0.60 | % | 0.70 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | ||||||||||||||||||||||||
| Issuer 56 |
[***] | 10 | % | $5,000,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | 0.75 | % | 1.00 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||||||||||||||||
| Issuer 57 |
[***] | $9,900,000 | 5.00 | % | 3.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | 9.00 | % | 7.00 | % | 1.25 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||||||||||||||||||||||
| Issuer 58 |
[***] | 10 | % | $25,000,000 | 0.70 | % | 0.60 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | 0.60 | % | 0.70 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | 0.60 | % | 0.70 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | ||||||||||||||||||||||||
| Issuer 59 |
[***] | 10 | % | $15,000,000 | 11.00 | % | 7.00 | % | 1.25 | % | 0.50 | % | 0.50 | % | 0.50 | % | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.60 | % | 0.70 | % | 0.60 | % | 0.35 | % | 0.35 | % | 0.35 | % | ||||||||||||||||||||||||
| Issuer 6 |
[***] | 10 | % | $4,000,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | 5.00 | % | 3.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | 5.00 | % | 3.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||||||||
| Issuer 60 |
[***] | 10 | % | $5,000,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | 5.00 | % | 5.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||||||||
| Issuer 61 |
[***] | 10 | % | $7,500,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.75 | % | 1.00 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||||||||||||||||
| Issuer 62 |
[***] | 10 | % | $4,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.75 | % | 1.00 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||||||||||||||||
| Issuer 63 |
[***] | 10 | % | $10,000,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.75 | % | 1.00 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||||||||||||||||
| Issuer 64 |
[***] | 10 | % | $10,000,000 | 3.00 | % | 2.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | 5.00 | % | 3.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | 5.00 | % | 3.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||||||||
| Issuer 65 |
[***] | 10 | % | $4,000,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | 0.75 | % | 1.00 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||||||||||||||||
| Issuer 66 |
[***] | 10 | % | $4,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.75 | % | 1.00 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||||||||||||||||
| Issuer 67 |
[***] | 10 | % | $8,000,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | 0.75 | % | 1.00 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||||||||||||||||
| Issuer 68 |
[***] | 10 | % | $2,250,000 | 1.90 | % | 1.35 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.75 | % | 1.00 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.75 | % | 1.00 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||||||||||||||||
| Issuer 69 |
[***] | 10 | % | $6,000,000 | 35.00 | % | 15.00 | % | 1.25 | % | 0.50 | % | 0.50 | % | 0.50 | % | 15.00 | % | 10.00 | % | 1.25 | % | 0.50 | % | 0.50 | % | 0.50 | % | 10.00 | % | 7.00 | % | 1.25 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||||||||
| Issuer 7 |
[***] | 10 | % | $18,000,000 | 5.50 | % | 3.75 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | 5.00 | % | 3.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | 5.00 | % | 3.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||||||||
| Issuer 70 |
[***] | 10 | % | $2,700,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.75 | % | 1.00 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||||||||||||||||
| Issuer 8 |
[***] | 10 | % | $5,000,000 | 10.00 | % | 8.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | 10.00 | % | 8.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | 5.00 | % | 5.00 | % | 0.90 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||||||||
| Issuer 9 |
[***] | 10 | % | $6,000,000 | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 1.00 | % | 0.75 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.75 | % | 1.00 | % | 0.70 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||||||||||||||||
| $511,600,000 | 15.6% w.POD | 10.9% w.POD | 4.9% w.POD | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Less Called Security Issuer #57 |
|
-$9,900,000 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Total Collateral |
|
$501,700,000 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Collateral in deferral & 100% POD as of 9/30/08 |
|
$4,000,000 | 0.8 | % | 4.9% w.POD | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Collateral in deferral & 100% POD as of 12/31/08 |
|
$37,250,000 | 7.3 | % | 10.9% w.POD | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Collateral in deferral & 100% POD as of 3/31/09 |
|
$19,500,000 | 3.9 | % | 15.6% w.POD | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Total Collateral in deferral |
|
$60,750,000 | 12.1 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Confidential treatment requested by First Commonwealth Financial Corporation. [***] indicates material that has been omitted and for which confidential treatment has been requested pursuant to 17 C.F.R. § 200.83.
FOIA Confidential Treatment Request
Exhibit D
First Commonwealth Financial Corporation
Trup Pool Comparison 1Q 09 to 4Q08
| Moodys | Moodys | Fitch | Fitch | 1Q09 | 4Q08 | |||||||||||||||||||
| Cusip |
Par | Description |
1Q09 | 4Q08 | 1Q09 | 4Q08 | $ | Bank | Status | $ | Bank | Status | ||||||||||||
| 740417AB6 | 387,847 | PREFERRED TERM SECS VI (L+180) | Caa1 | B3 | A/*- | A/*- | $25,000 | [***] | Projected | None | ||||||||||||||
| 74041RAB2 | 10,000,000 | PREFERRED TERM SECS VII (L+180) | Ca | Caa2 | A+/*- | A+/*- | $25,000 | [***] | Default | $25,000 | [***] | Default | ||||||||||||
| 74041RAB2 | 3,000,000 | PREFERRED TERM SECS VII (L+180) | Ca | Caa2 | A+/*- | A+/*- | $10,000 | [***] | Deferral | $10,000 | [***] | Deferral | ||||||||||||
| $25,000 | [***] | Deferral | $25,000 | [***] | Deferral | |||||||||||||||||||
| $14,000 | [***] | Deferral | $14,000 | [***] | Deferral | |||||||||||||||||||
| $25,000 | [***] | Projected | ||||||||||||||||||||||
| $3,000 | [***] | Projected | ||||||||||||||||||||||
| $5,000 | [***] | Projected | ||||||||||||||||||||||
| $6,000 | [***] | Projected | ||||||||||||||||||||||
| $113,000 | ||||||||||||||||||||||||
| 74041PAC4 | 6,000,000 | PREFERRED TERM SECS VIII (L+190) | Ca | B3 | A/*- | A/*- | $15,000 | [***] | Default | $15,000 | [***] | Default | ||||||||||||
| $5,000 | [***] | Deferral | $5,000 | [***] | Deferral | |||||||||||||||||||
| $5,000 | [***] | Deferral | $5,000 | [***] | Deferral | |||||||||||||||||||
| $15,000 | [***] | Deferral | $15,000 | [***] | Deferral | |||||||||||||||||||
| $5,000 | [***] | Default | $5,000 | [***] | Missed Payment | |||||||||||||||||||
| $25,000 | [***] | Projected | ||||||||||||||||||||||
| $25,000 | [***] | Projected | ||||||||||||||||||||||
| $18,000 | [***] | Projected | ||||||||||||||||||||||
| $6,000 | [***] | Projected | ||||||||||||||||||||||
| $119,000 | ||||||||||||||||||||||||
| 606867AC3 | 10,000,000 | MM COMM FUNDING IX (L+180) | Caa3 | B3 | A-/*- | A-/*- | $5,000 | [***] | Default | $5,000 | [***] | Default | ||||||||||||
| 606867AD1 | 10,000,000 | MM COMM FUNDING IX (L+180) | Caa3 | B3 | A/*- | A/*- | $4,250 | [***] | Default | $4,250 | [***] | Default | ||||||||||||
| $10,000 | [***] | Deferral | $10,000 | [***] | Deferral | |||||||||||||||||||
| $6,000 | [***] | Deferral | $6,000 | [***] | Deferral | |||||||||||||||||||
| $6,000 | [***] | Deferral | ||||||||||||||||||||||
| $10,000 | [***] | Projected | ||||||||||||||||||||||
| $41,250 | ||||||||||||||||||||||||
| $5,000 | [***] | C&D | ||||||||||||||||||||||
Confidential treatment requested by First Commonwealth Financial Corporation. [***] indicates material that has been omitted and for which confidential treatment has been requested pursuant to 17 C.F.R. § 200.83.