Fair Values of Assets and Liabilities (Tables)

9 Months Ended

Sep. 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	$	35,609		Discounted Cash Flow	Probability of default	0% - 100% (10.26%)
					Prepayment rates	0% - 72.91% (4.00%)
					Discount rates	5.25% - 12.00% (a)
Equities	1,670			Par Value	N/A	N/A
Impaired Loans	2,348		(b)	Reserve study	Discount rate	10.00%
					Gas per MCF	$1.63 - $3.38 (c)
					Oil per BBL/d	$40.97 - $56.16 (c)
	7,308		(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:



	September 30, 2016
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Obligations of U.S. Government Agencies:
Mortgage-Backed Securities - Residential	$	—	$	17,976	$	—	$	17,976
Obligations of U.S. Government-Sponsored Enterprises:
Mortgage-Backed Securities - Residential	—		704,626		—		704,626
Mortgage-Backed Securities - Commercial	—		1		—		1
Other Government-Sponsored Enterprises	—		19,307		—		19,307
Obligations of States and Political Subdivisions	—		27,951		—		27,951
Corporate Securities	—		6,519		—		6,519
Pooled Trust Preferred Collateralized Debt Obligations	—		—		35,609		35,609
Total Debt Securities	—		776,380		35,609		811,989
Equities	—		—		1,670		1,670
Total Securities Available for Sale	—		776,380		37,279		813,659
Other Investments	—		54,066		—		54,066
Loans held for sale	—		7,855		—		7,855
Other Assets(a)	—		19,224		704		19,928
Total Assets	$	—	$	857,525	$	37,983	$	895,508
Other Liabilities(a)	$	—	$	18,879	$	—	$	18,879
Total Liabilities	$	—	$	18,879	$	—	$	18,879


(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 three months ended September 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	$	33,723	$	1,670	$	704	$	36,097
Total gains or losses
Included in earnings	—		—		—		—
Included in other comprehensive income	1,886		—		—		1,886
Purchases, issuances, sales and settlements
Purchases	—		—		—		—
Issuances	—		—		—		—
Sales	—		—		—		—
Settlements	—		—		—		—
Transfers from Level 3	—		—		—		—
Transfers into Level 3	—		—		—		—
Balance, end of period	$	35,609	$	1,670	$	704	$	37,983



	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

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:



	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	(19		)	—			—		(19		)
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	$	35,609		$	1,670		$	704	$	37,983



	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

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:



	September 30, 2016
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Impaired loans	$	—	$	28,158	$	18,493	$	46,651
Other real estate owned	—		8,620		—		8,620
Total Assets	$	—	$	36,778	$	18,493	$	55,271



	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 gain (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,
	2016			2015			2016			2015
	(dollars in thousands)
Impaired loans	$	386		$	(2,838	)	$	(13,982	)	$	(3,532	)
Other real estate owned	(114		)	(78		)	(331		)	(1,205		)
Total losses	$	272		$	(2,916	)	$	(14,313	)	$	(4,737	)

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, 2016
			Fair Value Measurements Using:
	Carrying Amount		Total		Level 1		Level 2		Level 3
	(dollars in thousands)
Financial assets
Cash and due from banks	$	76,456	$	76,456	$	76,456	$	—	$	—
Interest-bearing deposits	5,097		5,097		5,097		—		—
Securities available for sale	813,659		813,659		—		776,380		37,279
Securities held to maturity	389,513		396,994		—		396,994		—
Other investments	54,066		54,066		—		54,066		—
Loans held for sale	7,855		7,855		—		7,855		—
Loans	4,860,652		4,882,076		—		28,158		4,853,918
Financial liabilities
Deposits	4,458,980		4,461,516		—		4,461,516		—
Short-term borrowings	1,330,327		1,329,740		—		1,329,740		—
Subordinated debt	72,167		63,858		—		—		63,858
Long-term debt	8,892		9,840		—		9,840		—



	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		—