Fair Values of Assets and Liabilities (Tables)

6 Months Ended

Jun. 30, 2016

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	$	33,723		Discounted Cash Flow	Probability of default	0% - 100% (11.47%)
					Prepayment rates	0% - 73.03% (5.14%)
					Discount rates	5.50% - 12.50% (a)
Equities	1,670			Par Value	N/A	N/A
Impaired Loans	2,414		(b)	Reserve study	Discount rate	10.00%
					Gas per MCF	$1.63 - $3.38 (c)
					Oil per BBL/d	$40.97 - $56.16 (c)
	6,815		(b)	Discounted Cash Flow	Discount Rate	1.90% - 4.68%
Limited Partnership Investments	704			Par Value	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:



	June 30, 2016
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Obligations of U.S. Government Agencies:
Mortgage-Backed Securities - Residential	$	—	$	18,762	$	—	$	18,762
Obligations of U.S. Government-Sponsored Enterprises:
Mortgage-Backed Securities - Residential	—		747,396		—		747,396
Mortgage-Backed Securities - Commercial	—		2		—		2
Other Government-Sponsored Enterprises	—		19,322		—		19,322
Obligations of States and Political Subdivisions	—		28,036		—		28,036
Corporate Securities	—		6,422		—		6,422
Pooled Trust Preferred Collateralized Debt Obligations	—		—		33,723		33,723
Total Debt Securities	—		819,940		33,723		853,663
Equities	—		—		1,670		1,670
Total Securities Available for Sale	—		819,940		35,393		855,333
Other Investments	—		58,087		—		58,087
Loans held for sale	—		11,613		—		11,613
Other Assets(a)	—		22,382		704		23,086
Total Assets	$	—	$	912,022	$	36,097	$	948,119
Other Liabilities(a)	$	—	$	21,405	$	—	$	21,405
Total Liabilities	$	—	$	21,405	$	—	$	21,405


(a)	Hedging and non-hedging interest rate derivatives



	December 31, 2015
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Obligations of U.S. Government Agencies:
Mortgage-Backed Securities - Residential	$	—	$	22,092	$	—	$	22,092
Obligations of U.S. Government-Sponsored Enterprises:
Mortgage-Backed Securities - Residential	—		777,577		—		777,577
Mortgage-Backed Securities - Commercial	—		28		—		28
Other Government-Sponsored Enterprises	—		19,118		—		19,118
Obligations of States and Political Subdivisions	—		27,598		—		27,598
Corporate Securities	—		2,319		—		2,319
Pooled Trust Preferred Collateralized Debt Obligations	—		—		35,658		35,658
Total Debt Securities	—		848,732		35,658		884,390
Equities	—		—		2,170		2,170
Total Securities Available for Sale	—		848,732		37,828		886,560
Other Investments	—		62,952		—		62,952
Loans held for sale	—		5,763		—		5,763
Other Assets(a)	—		11,273		—		11,273
Total Assets	$	—	$	928,720	$	37,828	$	966,548
Other Liabilities(a)	$	—	$	10,829	$	—	$	10,829
Total Liabilities	$	—	$	10,829	$	—	$	10,829


(a)	Hedging and non-hedging interest rate derivatives

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

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:



	2016
	Pooled Trust Preferred Collateralized Debt Obligations			Equities			Other Assets		Total
	(dollars in thousands)
Balance, beginning of period	$	35,658		$	2,170		$	—	$	37,828
Total gains or losses
Included in earnings	—			—			—		—
Included in other comprehensive income	(1,905		)	—			—		(1,905		)
Purchases, issuances, sales and settlements
Purchases	—			36			168		204
Issuances	—			—			—		—
Sales	—			—			—		—
Settlements	(30		)	—			—		(30		)
Transfers from Level 3	—			(536		)	—		(536		)
Transfers into Level 3	—			—			536		536
Balance, end of period	$	33,723		$	1,670		$	704	$	36,097



	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



	2016
	Pooled Trust Preferred Collateralized Debt Obligations			Equities			Other Assets		Total
	(dollars in thousands)
Balance, beginning of period	$	33,273		$	2,206		$	—	$	35,479
Total gains or losses
Included in earnings	—			—			—		—
Included in other comprehensive income	480			—			—		480
Purchases, issuances, sales and settlements
Purchases	—			—			168		168
Issuances	—			—			—		—
Sales	—			—			—		—
Settlements	(30		)	—			—		(30		)
Transfers from Level 3	—			(536		)	—		(536		)
Transfers into Level 3	—			—			536		536
Balance, end of period	$	33,723		$	1,670		$	704	$	36,097



	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

Schedule of Assets Measured on Non-Recurring Basis

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



	June 30, 2016
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Impaired loans	$	—	$	30,774	$	18,104	$	48,878
Other real estate owned	—		10,036		—		10,036
Total Assets	$	—	$	40,810	$	18,104	$	58,914



	December 31, 2015
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Impaired loans	$	—	$	30,979	$	12,820	$	43,799
Other real estate owned	—		10,039		8		10,047
Total Assets	$	—	$	41,018	$	12,828	$	53,846

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,
	2016			2015			2016			2015
	(dollars in thousands)
Impaired loans	$	(6,991	)	$	(382	)	$	(14,576	)	$	(843	)
Other real estate owned	(245		)	(1,126		)	(258		)	(1,154		)
Total losses	$	(7,236	)	$	(1,508	)	$	(14,834	)	$	(1,997	)

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, 2016
			Fair Value Measurements Using:
	Carrying Amount		Total		Level 1		Level 2		Level 3
	(dollars in thousands)
Financial assets
Cash and due from banks	$	68,163	$	68,163	$	68,163	$	—	$	—
Interest-bearing deposits	30,457		30,457		30,457		—		—
Securities available for sale	855,333		855,333		—		819,940		35,393
Securities held to maturity	405,976		414,770		—		414,770		—
Other investments	58,087		58,087		—		58,087		—
Loans held for sale	11,613		11,613		—		11,613		—
Loans	4,843,776		4,857,127		—		30,774		4,826,353
Financial liabilities
Deposits	4,394,520		4,395,297		—		4,395,297		—
Short-term borrowings	1,464,687		1,464,408		—		1,464,408		—
Subordinated debt	72,167		61,427		—		—		61,427
Long-term debt	9,034		10,077		—		10,077		—



	December 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	$	66,644	$	66,644	$	66,644	$	—	$	—
Interest-bearing deposits	2,808		2,808		2,808		—		—
Securities available for sale	886,560		886,560		—		848,732		37,828
Other investments	62,952		62,952		—		62,952		—
Loans held for sale	5,763		5,763		—		5,763		—
Loans	4,683,750		4,690,852		—		30,979		4,659,873
Financial liabilities
Deposits	4,195,894		4,198,817		—		4,198,817		—
Short-term borrowings	1,510,825		1,510,718		—		1,510,718		—
Subordinated debt	72,167		62,794		—		—		62,794
Long-term debt	9,314		9,834		—		9,834		—