Fair Values of Assets and Liabilities (Tables)

6 Months Ended

Jun. 30, 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	$	35,521		Discounted Cash Flow	Probability of default	0% - 100% (16.47%)
					Prepayment rates	0% - 73.65% (5.10%)
					Discount rates	5.25% - 12.00% (a)
Equities	1,920			Par Value	N/A	N/A
Impaired Loans	3,215		(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)
	520		(b)	Discounted Cash Flow	Discount Rate	1.90%
Other Real Estate Owned	18			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:



	June 30, 2015
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Obligations of U.S. Government Agencies:
Mortgage-Backed Securities - Residential	$	—	$	24,338	$	—	$	24,338
Obligations of U.S. Government-Sponsored Enterprises:
Mortgage-Backed Securities - Residential	—		862,900		—		862,900
Mortgage-Backed Securities - Commercial	—		59		—		59
Other Government-Sponsored Enterprises	—		135,629		—		135,629
Obligations of States and Political Subdivisions	—		27,065		—		27,065
Corporate Securities	—		2,293		—		2,293
Pooled Trust Preferred Collateralized Debt Obligations	—		—		35,521		35,521
Total Debt Securities	—		1,052,284		35,521		1,087,805
Equities	—		—		1,920		1,920
Total Securities Available for Sale	—		1,052,284		37,441		1,089,725
Other Investments	—		53,347		—		53,347
Loans held for sale	—		9,817		—		9,817
Other Assets(a)	—		10,563		—		10,563
Total Assets	$	—	$	1,126,011	$	37,441	$	1,163,452
Other Liabilities(a)	$	—	$	9,405	$	—	$	9,405
Total Liabilities	$	—	$	9,405	$	—	$	9,405


(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



	2015
	Pooled Trust Preferred Collateralized Debt Obligations			Equities		Total
	(dollars in thousands)
Balance, beginning of period	$	31,134		$	1,920	$	33,054
Total gains or losses
Included in earnings	—			—		—
Included in other comprehensive income	4,851			—		4,851
Purchases, issuances, sales, and settlements
Purchases	—			—		—
Issuances	—			—		—
Sales	—			—		—
Settlements	(464		)	—		(464		)
Transfers into Level 3	—			—		—
Balance, end of period	$	35,521		$	1,920	$	37,441



	2014
	Pooled Trust Preferred Collateralized Debt Obligations			Equities		Loans Held for Sale			Total
	(dollars in thousands)
Balance, beginning of period	$	27,876		$	1,420	$	—		29,296
Total gains or losses
Included in earnings	—			—		77			77
Included in other comprehensive income	1,053			—		—			1,053
Purchases, issuances, sales, and settlements
Purchases	—			—		—			—
Issuances	—			—		—			—
Sales	—			—		(2,396		)	(2,396		)
Settlements	(775		)	—		—			(775		)
Transfers into Level 3	—			—		2,319			2,319
Balance, end of period	$	28,154		$	1,420	$	—		$	29,574

For the six months ended June 30, 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	7,471			—		7,471
Purchases, issuances, sales, and settlements
Purchases	—			500		500
Issuances	—			—		—
Sales	—			—		—
Settlements	(1,054		)	—		(1,054		)
Transfers into Level 3	—			—		—
Balance, end of period	$	35,521		$	1,920	$	37,441



	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	—			—		77			77
Included in other comprehensive income	5,796			—		—			5,796
Purchases, issuances, sales, and settlements
Purchases	—			—		—			—
Issuances	—			—		—			—
Sales	—			—		(3,112		)	(3,112		)
Settlements	(1,165		)	—		—			(1,165		)
Transfers into Level 3	—			—		3,035			3,035
Balance, end of period	$	28,154		$	1,420	$	—		$	29,574

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:



	June 30, 2015
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Impaired loans	$	—	$	31,035	$	9,961	$	40,996
Other real estate owned	—		8,636		18		8,654
Total Assets	$	—	$	39,671	$	9,979	$	49,650



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



	For the Three Months Ended June 30,						For the Six Months Ended June 30,
	2015			2014			2015			2014
	(dollars in thousands)
Impaired loans	$	(382	)	$	(3,020	)	$	(843	)	$	(2,739	)
Other real estate owned	(1,126		)	(728		)	(1,154		)	(1,078		)
Total losses	$	(1,508	)	$	(3,748	)	$	(1,997	)	$	(3,817	)

Carrying Amounts and Fair Values of Financial Instruments

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



	June 30, 2015
			Fair Value Measurements Using:
	Carrying Amount		Total		Level 1		Level 2		Level 3
	(dollars in thousands)
Financial assets
Cash and due from banks	$	64,321	$	64,321	$	64,321	$	—	$	—
Interest-bearing deposits	3,120		3,120		3,120		—		—
Securities available for sale	1,089,725		1,089,725		—		1,052,284		37,441
Securities held to maturity	131,780		130,454		—		130,454		—
Other investments	53,347		53,347		—		53,347		—
Loans held for sale	9,817		9,817		—		9,817		—
Loans	4,490,854		4,509,268		—		31,035		4,478,233
Financial liabilities
Deposits	4,210,107		4,213,317		—		4,213,317		—
Short-term borrowings	1,231,917		1,231,945		—		1,231,945		—
Subordinated debt	72,167		63,303		—		—		63,303
Long-term debt	39,189		39,819		—		39,819		—



	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		—
Subordinated debt	72,167		62,815		—		—		62,815
Long-term debt	89,459		90,319		—		90,319		—