Fair Values of Assets and Liabilities (Tables)

9 Months Ended

Sep. 30, 2013

Fair Value Inputs, Assets, Quantitative Information

In accordance with ASU 2011-4, the following table provides information related to quantitative inputs and assumptions used in Level 3 fair value measurements.



	Fair Value (dollars in thousands)	Valuation Technique	Unobservable Inputs	Range / (weighted average)
Pooled Trust Preferred Securities	$25,457	Discounted Cash Flow	Probability of default	0% - 100% (19.61%)
			Prepayment rates	0% - 99.75% (8.2%)
			Discount rates	5.75% - 15.5% (a)
Equities	1,420	Par Value	N/A	N/A
Interest Rate Swap	—	Option model	Counterparty credit risk	7.98% - 9.11% (b)
Impaired Loans	7,727 (c)	Reserve study	Discount rate	10.00%
			Gas per MCF	$3.56 - $7.60 (d)
			Oil per BBL/d	$79.97 - $106.00 (d)
			NGL per gallon	$1.54 (d)
Other Real Estate Owned	242	Internal Valuation	N/A	N/A


(a)	incorporates spread over risk free rate related primarily to credit quality and illiquidity of securities.


(b)	represents the range of the credit spread curve used in valuation.


(c)	the remainder of impaired loans valued using Level 3 inputs are not included in this disclosure as the values of those loans are based on bankruptcy agreement documentation.


(d)	unobservable inputs are defined as follows: MCF - million cubic feet; BBL/d - barrels per day; NGL - natural gas liquid.

Schedule of Assets and Liabilities Measured at Fair Value on Recurring Basis

The tables below present the balances of assets and liabilities measured at fair value on a recurring basis:



	September 30, 2013
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Obligations of U.S. Government Agencies:
Mortgage-Backed Securities - Residential	$	—	$	26,451	$	—	$	26,451
Obligations of U.S. Government-Sponsored Enterprises:
Mortgage-Backed Securities - Residential	—		964,233		—		964,233
Mortgage-Backed Securities - Commercial	—		116		—		116
Other Government-Sponsored Enterprises	—		266,303		—		266,303
Obligations of States and Political Subdivisions	—		82		—		82
Corporate Securities	—		7,001		—		7,001
Pooled Trust Preferred Collateralized Debt Obligations	—		—		25,457		25,457
Total Debt Securities	—		1,264,186		25,457		1,289,643
Equities	—		—		1,420		1,420
Total Securities Available for Sale	—		1,264,186		26,877		1,291,063
Other Investments	—		33,704		—		33,704
Loans held for sale	—		—		—		—
Other Assets(a)	—		14,249		—		14,249
Total Assets	$	—	$	1,312,139	$	26,877	$	1,339,016
Other Liabilities(a)	$	—	$	14,360	$	—	$	14,360
Total Liabilities	$	—	$	14,360	$	—	$	14,360


(a)	Non-hedging interest rate derivatives



	December 31, 2012
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Obligations of U.S. Government Agencies:
Mortgage-Backed Securities - Residential	$	—	$	31,664	$	—	$	31,664
Obligations of U.S. Government-Sponsored Enterprises:
Mortgage-Backed Securities - Residential	—		864,401		—		864,401
Mortgage-Backed Securities - Commercial	—		149		—		149
Other Government-Sponsored Enterprises	—		242,664		—		242,664
Obligations of States and Political Subdivisions	—		86		—		86
Corporate Securities	—		6,991		—		6,991
Pooled Trust Preferred Collateralized Debt Obligations	—		—		23,373		23,373
Total Debt Securities	—		1,145,955		23,373		1,169,328
Equities	555		—		1,420		1,975
Total Securities Available for Sale	555		1,145,955		24,793		1,171,303
Other Investments	—		28,228		—		28,228
Loans Held for Sale	—		—		—		—
Other Assets(a)	—		16,480		—		16,480
Total Assets	$	555	$	1,190,663	$	24,793	$	1,216,011
Other Liabilities(a)	$	—	$	18,726	$	—	$	18,726
Total Liabilities	$	—	$	18,726	$	—	$	18,726


(a)	Non-hedging interest rate derivatives

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

For the three-months ended September 30 changes in Level 3 assets and liabilities measured at fair value on a recurring basis are summarized as follows:



	2013
	Pooled Trust Preferred Collateralized Debt Obligations			Equities		Loans Held for Sale			Other Assets		Total
	(dollars in thousands)
Balance, beginning of period	$	25,869		$	1,420	$	—		$	—	$	27,289
Total gains or losses
Included in earnings	—			—		242			—		242
Included in other comprehensive income	1,716			—		—			—		1,716
Purchases, issuances, sales, and settlements
Purchases	—			—		—			—		—
Issuances	—			—		—			—		—
Sales	—			—		(242		)	—		(242		)
Settlements	(2,128		)	—		—			—		(2,128		)
Transfers into Level 3	—			—		—			—		—
Balance, end of period	$	25,457		$	1,420	$	—		$	—	$	26,877



	2012
	Pooled Trust Preferred Collateralized Debt Obligations			Equities		Loans Held for Sale		Other Assets		Total
	(dollars in thousands)
Balance, beginning of period	$	21,792		$	1,420	$	—	$	—	23,212
Total gains or losses
Included in earnings	—			—		—		—		—
Included in other comprehensive income	2,030			—		—		—		2,030
Purchases, issuances, sales, and settlements
Purchases	—			—		—		—		—
Issuances	—			—		—		—		—
Sales	—			—		—		—		—
Settlements	(771		)	—		—		—		(771		)
Transfers from Level 3	—			—		—		—		—
Balance, end of period	$	23,051		$	1,420	$	—	$	—	$	24,471

For the nine-months ended September 30 changes in Level 3 assets and liabilities measured at fair value on a recurring basis are summarized as follows:



	2013
	Pooled Trust Preferred Collateralized Debt Obligations			Equities		Loans Held for Sale			Other Assets		Total
	(dollars in thousands)
Balance, beginning of period	$	23,373		$	1,420	$	—		$	—	$	24,793
Total gains or losses
Included in earnings	—			—		625			—		625
Included in other comprehensive income	7,399			—		—			—		7,399
Purchases, issuances, sales, and settlements
Purchases	—			—		—			—		—
Issuances	—			—		—			—		—
Sales	—			—		(20,760		)	—		(20,760		)
Settlements	(5,315		)	—		—			—		(5,315		)
Transfers into Level 3	—			—		20,135			—		20,135
Balance, end of period	$	25,457		$	1,420	$	—		$	—	$	26,877



	2012
	Pooled Trust Preferred Collateralized Debt Obligations			Equities		Loans Held for Sale			Other Assets			Total
	(dollars in thousands)
Balance, beginning of period	$	22,980		$	1,420	$	13,412		$	—		$	37,812
Total gains or losses
Included in earnings	—			—		2,870			(461		)	2,409
Included in other comprehensive income	3,610			—		—			—			3,610
Purchases, issuances, sales, and settlements
Purchases	—			—		—			—			—
Issuances	—			—		—			—			—
Sales	—			—		(15,981		)	—			(15,981		)
Settlements	(3,539		)	—		(301		)	—			(3,840		)
Transfers into Level 3	—			—		—			461			461
Balance, end of period	$	23,051		$	1,420	$	—		$	—		$	24,471

Schedule of Assets Measured on Non-Recurring Basis

The tables below present the balances of assets measured at fair value on a non-recurring basis at:



	September 30, 2013
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Impaired loans	$	—	$	48,673	$	14,307	$	62,980
Other real estate owned	—		10,633		242		10,875
Total Assets	$	—	$	59,306	$	14,549	$	73,855



	December 31, 2012
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Impaired loans	$	—	$	82,949	$	6,827	$	89,776
Other real estate owned	—		11,981		247		12,228
Total Assets	$	—	$	94,930	$	7,074	$	102,004

Losses Realized on Assets Measured on Non-Recurring Basis

The following losses were realized on the assets measured on a nonrecurring basis:



	For the Three-Months Ended September 30						For the Nine-Months Ended September 30
	2013			2012			2013			2012
	(dollars in thousands)
Impaired loans	$	(1,468	)	$	(3,890	)	$	(13,063	)	$	(7,352	)
Other real estate owned	(90		)	(366		)	(188		)	(523		)
Total losses	$	(1,558	)	$	(4,256	)	$	(13,251	)	$	(7,875	)

Carrying Amounts and Fair Values of Financial Instruments

The following table presents carrying amounts and fair values of First Commonwealth’s financial instruments:



	September 30, 2013
			Fair Value Measurements Using:
	Carrying Amount		Total		Level 1		Level 2		Level 3
	(dollars in thousands)
Financial assets
Cash and due from banks	$	88,179	$	88,179	$	88,179	$	—	$	—
Interest-bearing deposits	5,077		5,077		5,077		—		—
Securities available for sale	1,291,063		1,291,063		—		1,264,186		26,877
Other investments	33,704		33,704		—		33,704		—
Loans	4,240,004		4,290,985		—		48,673		4,242,312
Financial liabilities
Deposits	4,617,801		4,548,409		—		4,548,409		—
Short-term borrowings	551,628		551,619		—		551,619		—
Long-term debt	144,501		145,654		—		145,654		—
Subordinated debt	72,167		48,033		—		—		48,033



	December 31, 2012
			Fair Value Measurements Using:
	Carrying Amount		Total		Level 1		Level 2		Level 3
	(dollars in thousands)
Financial assets
Cash and due from banks	$	98,724	$	98,724	$	98,724	$	—	$	—
Interest-bearing deposits	4,258		4,258		4,258		—		—
Securities available for sale	1,171,303		1,171,303		555		1,145,955		24,793
Other investments	28,228		28,228		—		28,228		—
Loans	4,204,704		4,245,114		—		82,949		4,162,165
Financial liabilities
Deposits	4,557,881		4,493,764		—		4,493,764		—
Short-term borrowings	356,227		356,221		—		356,221		—
Long-term debt	174,471		176,178		—		176,178		—
Subordinated debt	105,750		76,735		—		—		76,735

- Definition

Tabular disclosure of assets and liabilities by class, including financial instruments measured at fair value that are classified in shareholders' equity, if any, that are measured at fair value on a nonrecurring basis in periods after initial recognition (for example, impaired assets). Disclosures may include, but are not limited to: (a) the fair value measurements recorded and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements are categorized in their entirety (levels 1, 2, 3).

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- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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- Definition

Tabular disclosure of the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments, assets, and liabilities. Such certain disclosures about the financial instruments, assets, and liabilities include: (1) the fair value of the required items together with their carrying amounts (as appropriate) and (2) the methodology and assumptions used in developing such estimates of fair value.

+ References

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Reference 9: http://www.xbrl.org/2003/role/presentationRef

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Reference 11: http://www.xbrl.org/2003/role/presentationRef

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-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

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