Fair Values of Assets and Liabilities (Tables)

9 Months Ended

Sep. 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	$	35,779		Discounted Cash Flow	Probability of default	0% - 100% (13.72%)
					Prepayment rates	0% - 73.52% (5.09%)
					Discount rates	5.25% - 12.00% (a)
Equities	1,920			Par Value	N/A	N/A
Impaired Loans	2,903		(b)	Reserve study	Discount rate	10.00%
					Gas per MCF	$2.71 - $3.48 (c)
					Oil per BBL/d	$55.00 (c)
	520		(b)	Discounted Cash Flow	Discount Rate	1.90%
Other Real Estate Owned	8			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.

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, 2015
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Obligations of U.S. Government Agencies:
Mortgage-Backed Securities - Residential	$	—	$	23,281	$	—	$	23,281
Obligations of U.S. Government-Sponsored Enterprises:
Mortgage-Backed Securities - Residential	—		824,152		—		824,152
Mortgage-Backed Securities - Commercial	—		38		—		38
Other Government-Sponsored Enterprises	—		135,781		—		135,781
Obligations of States and Political Subdivisions	—		27,449		—		27,449
Corporate Securities	—		2,333		—		2,333
Pooled Trust Preferred Collateralized Debt Obligations	—		—		35,779		35,779
Total Debt Securities	—		1,013,034		35,779		1,048,813
Equities	—		—		1,920		1,920
Total Securities Available for Sale	—		1,013,034		37,699		1,050,733
Other Investments	—		53,976		—		53,976
Loans held for sale	—		4,986		—		4,986
Other Assets(a)	—		16,303		—		16,303
Total Assets	$	—	$	1,088,299	$	37,699	$	1,125,998
Other Liabilities(a)	$	—	$	14,333	$	—	$	14,333
Total Liabilities	$	—	$	14,333	$	—	$	14,333


(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 nine months ended September 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	7,729			—		7,729
Purchases, issuances, sales, and settlements
Purchases	—			500		500
Issuances	—			—		—
Sales	—			—		—
Settlements	(1,054		)	—		(1,054		)
Transfers into Level 3	—			—		—
Balance, end of period	$	35,779		$	1,920	$	37,699



	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	7,266			—		—			7,266
Purchases, issuances, sales, and settlements
Purchases	—			—		—			—
Issuances	—			—		—			—
Sales	—			—		(3,112		)	(3,112		)
Settlements	(1,333		)	—		—			(1,333		)
Transfers into Level 3	—			—		3,035			3,035
Balance, end of period	$	29,456		$	1,420	$	—		$	30,876



	2015
	Pooled Trust Preferred Collateralized Debt Obligations		Equities		Total
	(dollars in thousands)
Balance, beginning of period	$	35,521	$	1,920	$	37,441
Total gains or losses
Included in earnings	—		—		—
Included in other comprehensive income	258		—		258
Purchases, issuances, sales, and settlements
Purchases	—		—		—
Issuances	—		—		—
Sales	—		—		—
Settlements	—		—		—
Transfers into Level 3	—		—		—
Balance, end of period	$	35,779	$	1,920	$	37,699



	2014
	Pooled Trust Preferred Collateralized Debt Obligations			Equities		Loans Held for Sale		Total
	(dollars in thousands)
Balance, beginning of period	$	28,154		$	1,420	$	—	29,574
Total gains or losses
Included in earnings	—			—		—		—
Included in other comprehensive income	1,470			—		—		1,470
Purchases, issuances, sales, and settlements
Purchases	—			—		—		—
Issuances	—			—		—		—
Sales	—			—		—		—
Settlements	(168		)	—		—		(168		)
Transfers into Level 3	—			—		—		—
Balance, end of period	$	29,456		$	1,420	$	—	$	30,876

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, 2015
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Impaired loans	$	—	$	26,916	$	9,656	$	36,572
Other real estate owned	—		12,386		8		12,394
Total Assets	$	—	$	39,302	$	9,664	$	48,966



	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 September 30,						For the Nine Months Ended September 30,
	2015			2014			2015			2014
	(dollars in thousands)
Impaired loans	$	(2,838	)	$	456		$	(3,532	)	$	(1,291	)
Other real estate owned	(78		)	(51		)	(1,205		)	(1,109		)
Total losses	$	(2,916	)	$	405		$	(4,737	)	$	(2,400	)

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, 2015
			Fair Value Measurements Using:
	Carrying Amount		Total		Level 1		Level 2		Level 3
	(dollars in thousands)
Financial assets
Cash and due from banks	$	69,235	$	69,235	$	69,235	$	—	$	—
Interest-bearing deposits	3,529		3,529		3,529		—		—
Securities available for sale	1,050,733		1,050,733		—		1,013,034		37,699
Securities held to maturity	154,035		154,837		—		154,837		—
Other investments	53,976		53,976		—		53,976		—
Loans held for sale	4,986		4,986		—		4,986		—
Loans	4,575,735		4,596,889		—		26,916		4,569,973
Financial liabilities
Deposits	4,161,490		4,164,660		—		4,164,660		—
Short-term borrowings	1,329,794		1,329,920		—		1,329,920		—
Subordinated debt	72,167		62,227		—		—		62,227
Long-term debt	39,052		39,704		—		39,704		—



	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		—