Fair Values of Assets and Liabilities (Tables)

3 Months Ended

Mar. 31, 2015

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	$31,134	Discounted Cash Flow	Probability of default	0% - 100% (17.94%)
			Prepayment rates	0% - 73.77% (5.59%)
			Discount rates	5.25% - 13.00% (a)
Equities	1,920	Par Value	N/A	N/A
Impaired Loans	3,299 (b)	Reserve study	Discount rate	10.00%
			Gas per MCF	$1.88 - $5.27 (c)
			Oil per BBL/d	$55.00 - $90.00 (c)
			NGL per barrel	$15.00 (c)
Other Real Estate Owned	49	Internal Valuation	N/A	N/A


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


(b)	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.


(c)	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:



	March 31, 2015
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Obligations of U.S. Government Agencies:
Mortgage-Backed Securities - Residential	$	—	$	25,413	$	—	$	25,413
Obligations of U.S. Government-Sponsored Enterprises:
Mortgage-Backed Securities - Residential	—		915,252		—		915,252
Mortgage-Backed Securities - Commercial	—		66		—		66
Other Government-Sponsored Enterprises	—		260,699		—		260,699
Obligations of States and Political Subdivisions	—		27,549		—		27,549
Corporate Securities	—		7,252		—		7,252
Pooled Trust Preferred Collateralized Debt Obligations	—		—		31,134		31,134
Total Debt Securities	—		1,236,231		31,134		1,267,365
Equities	—		—		1,920		1,920
Total Securities Available for Sale	—		1,236,231		33,054		1,269,285
Other Investments	—		47,076		—		47,076
Loans held for sale	—		5,892		—		5,892
Other Assets(a)	—		15,182		—		15,182
Total Assets	$	—	$	1,304,381	$	33,054	$	1,337,435
Other Liabilities(a)	$	—	$	13,823	$	—	$	13,823
Total Liabilities	$	—	$	13,823	$	—	$	13,823


(a)	Hedging and non-hedging interest rate derivatives



	December 31, 2014
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Obligations of U.S. Government Agencies:
Mortgage-Backed Securities - Residential	$	—	$	25,936	$	—	$	25,936
Obligations of U.S. Government-Sponsored Enterprises:
Mortgage-Backed Securities - Residential	—		950,881		—		950,881
Mortgage-Backed Securities - Commercial	—		74		—		74
Other Government-Sponsored Enterprises	—		267,877		—		267,877
Obligations of States and Political Subdivisions	—		27,377		—		27,377
Corporate Securities	—		7,255		—		7,255
Pooled Trust Preferred Collateralized Debt Obligations	—		—		28,999		28,999
Total Debt Securities	—		1,279,400		28,999		1,308,399
Equities	—		—		1,420		1,420
Total Securities Available for Sale	—		1,279,400		30,419		1,309,819
Other Investments	—		44,545		—		44,545
Loans Held for Sale	—		2,502		—		2,502
Other Assets(a)	—		11,186		—		11,186
Total Assets	$	—	$	1,337,633	$	30,419	$	1,368,052
Other Liabilities(a)	$	—	$	10,671	$	—	$	10,671
Total Liabilities	$	—	$	10,671	$	—	$	10,671


(a)	Hedging and non-hedging interest rate derivatives

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

For the three months ended March 31, changes in Level 3 assets and liabilities measured at fair value on a recurring basis are summarized as follows:



	2015
	Pooled Trust Preferred Collateralized Debt Obligations			Equities		Total
	(dollars in thousands)
Balance, beginning of period	$	28,999		$	1,420	$	30,419
Total gains or losses
Included in earnings	105			—		105
Included in other comprehensive income	2,620			—		2,620
Purchases, issuances, sales, and settlements
Purchases	—			500		500
Issuances	—			—		—
Sales	—			—		—
Settlements	(590		)	—		(590		)
Transfers into Level 3	—			—		—
Balance, end of period	$	31,134		$	1,920	$	33,054



	2014
	Pooled Trust Preferred Collateralized Debt Obligations			Equities		Loans Held for Sale			Total
	(dollars in thousands)
Balance, beginning of period	$	23,523		$	1,420	$	—		$	24,943
Total gains or losses
Included in earnings	—			—		—			—
Included in other comprehensive income	4,743			—		—			4,743
Purchases, issuances, sales, and settlements
Purchases	—			—		—			—
Issuances	—			—		—			—
Sales	—			—		(716		)	(716		)
Settlements	(390		)	—		—			(390		)
Transfers into Level 3	—			—		716			716
Balance, end of period	$	27,876		$	1,420	$	—		$	29,296

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:



	March 31, 2015
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Impaired loans	$	—	$	32,270	$	10,095	$	42,365
Other real estate owned	—		7,788		49		7,837
Total Assets	$	—	$	40,058	$	10,144	$	50,202



	December 31, 2014
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Impaired loans	$	—	$	34,864	$	10,926	$	45,790
Other real estate owned	—		7,828		153		7,981
Total Assets	$	—	$	42,692	$	11,079	$	53,771

Losses Realized on Assets Measured on Non-Recurring Basis

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



	For the Three Months Ended March 31,
	2015			2014
	(dollars in thousands)
Impaired loans	$	(555	)	$	(3,996	)
Other real estate owned	(69		)	(363		)
Total losses	$	(624	)	$	(4,359	)

Carrying Amounts and Fair Values of Financial Instruments

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



	March 31, 2015
			Fair Value Measurements Using:
	Carrying Amount		Total		Level 1		Level 2		Level 3
	(dollars in thousands)
Financial assets
Cash and due from banks	$	62,161	$	62,161	$	62,161	$	—	$	—
Interest-bearing deposits	3,124		3,124		3,124		—		—
Securities available for sale	1,269,285		1,269,285		—		1,236,231		33,054
Securities held to maturity	30,253		30,174		—		30,174		—
Other investments	47,076		47,076		—		47,076		—
Loans held for sale	5,892		5,892		—		5,892		—
Loans	4,437,601		4,465,459		—		32,270		4,433,189
Financial liabilities
Deposits	4,293,749		4,297,771		—		4,297,771		—
Short-term borrowings	1,125,520		1,125,524		—		1,125,524		—
Long-term debt	64,324		65,255		—		65,255		—
Subordinated debt	72,167		63,069		—		—		63,069



	December 31, 2014
			Fair Value Measurements Using:
	Carrying Amount		Total		Level 1		Level 2		Level 3
	(dollars in thousands)
Financial assets
Cash and due from banks	$	72,276	$	72,276	$	72,276	$	—	$	—
Interest-bearing deposits	2,262		2,262		2,262		—		—
Securities available for sale	1,309,819		1,309,819		—		1,279,400		30,419
Other investments	44,545		44,545		—		44,545		—
Loans held for sale	2,502		2,502		—		2,502		—
Loans	4,457,308		4,439,766		—		34,864		4,404,902
Financial liabilities
Deposits	4,315,511		4,319,997		—		4,319,997		—
Short-term borrowings	1,105,876		1,105,867		—		1,105,867		—
Long-term debt	89,459		90,319		—		90,319		—
Subordinated debt	72,167		62,815		—		—		62,815

- 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.

+ References+ Details

- Definition

Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

+ References+ Details