Fair Values of Assets and Liabilities (Tables)

3 Months Ended

Mar. 31, 2017

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	$	33,741		Discounted Cash Flow	Probability of default	0% - 100% (10.19%)
					Prepayment rates	0% - 72.53% (4.15%)
					Discount rates	5.25% - 12.00% (a)
Equities	1,670			Par Value	N/A	N/A
Impaired Loans	2,237		(b)	Reserve study	Discount rate	10.00%
					Gas per MCF	$2.07 - $2.79 (c)
					Oil per BBL/d	$56.05 - $57.65 (c)
	10,845		(b)	Discounted Cash Flow	Discount Rate	1.90% - 7.00%
Limited Partnership Investments	1,340			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:



	March 31, 2017
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Obligations of U.S. Government Agencies:
Mortgage-Backed Securities - Residential	$	—	$	16,018	$	—	$	16,018
Obligations of U.S. Government-Sponsored Enterprises:
Mortgage-Backed Securities - Residential	—		720,954		—		720,954
Mortgage-Backed Securities - Commercial	—		—		—		—
Other Government-Sponsored Enterprises	—		16,642		—		16,642
Obligations of States and Political Subdivisions	—		27,360		—		27,360
Corporate Securities	—		16,369		—		16,369
Pooled Trust Preferred Collateralized Debt Obligations	—		—		33,741		33,741
Total Debt Securities	—		797,343		33,741		831,084
Equities	—		—		1,670		1,670
Total Securities Available for Sale	—		797,343		35,411		832,754
Other Investments	—		38,669		—		38,669
Loans Held for Sale	—		9,588		—		9,588
Other Assets(a)	—		4,576		1,340		5,916
Total Assets	$	—	$	850,176	$	36,751	$	886,927
Other Liabilities(a)	$	—	$	5,039	$	—	$	5,039
Total Liabilities	$	—	$	5,039	$	—	$	5,039


(a)	Hedging and non-hedging interest rate derivatives and limited partnership investments



	December 31, 2016
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Obligations of U.S. Government Agencies:
Mortgage-Backed Securities - Residential	$	—	$	16,617	$	—	$	16,617
Obligations of U.S. Government-Sponsored Enterprises:
Mortgage-Backed Securities - Residential	—		676,853		—		676,853
Mortgage-Backed Securities - Commercial	—		1		—		1
Other Government-Sponsored Enterprises	—		16,631		—		16,631
Obligations of States and Political Subdivisions	—		27,229		—		27,229
Corporate Securities	—		6,319		—		6,319
Pooled Trust Preferred Collateralized Debt Obligations	—		—		33,292		33,292
Total Debt Securities	—		743,650		33,292		776,942
Equities	—		—		1,670		1,670
Total Securities Available for Sale	—		743,650		34,962		778,612
Other Investments	—		36,498		—		36,498
Loans Held for Sale	—		7,052		—		7,052
Other Assets(a)	—		6,089		930		7,019
Total Assets	$	—	$	793,289	$	35,892	$	829,181
Other Liabilities(a)	$	—	$	5,972	$	—	$	5,972
Total Liabilities	$	—	$	5,972	$	—	$	5,972


(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:



	2017
	Pooled Trust Preferred Collateralized Debt Obligations			Equities		Other Assets		Total
	(dollars in thousands)
Balance, beginning of period	$	33,292		$	1,670	$	930	$	35,892
Total gains or losses
Included in earnings	—			—		—		—
Included in other comprehensive income	497			—		—		497
Purchases, issuances, sales and settlements
Purchases	—			—		410		410
Issuances	—			—		—		—
Sales	—			—		—		—
Settlements	(48		)	—		—		(48		)
Transfers from Level 3	—			—		—		—
Transfers into Level 3	—			—		—		—
Balance, end of period	$	33,741		$	1,670	$	1,340	$	36,751



	2016
	Pooled Trust Preferred Collateralized Debt Obligations			Equities		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	(2,385		)	—		(2,385		)
Purchases, issuances, sales and settlements
Purchases	—			36		36
Issuances	—			—		—
Sales	—			—		—
Settlements	—			—		—
Transfers into Level 3	—			—		—
Balance, end of period	$	33,273		$	2,206	$	35,479

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:



	March 31, 2017
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Impaired loans	$	—	$	22,010	$	21,242	$	43,252
Other real estate owned	—		7,427		—		7,427
Total Assets	$	—	$	29,437	$	21,242	$	50,679



	December 31, 2016
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Impaired loans	$	—	$	18,679	$	19,990	$	38,669
Other real estate owned	—		7,566		—		7,566
Total Assets	$	—	$	26,245	$	19,990	$	46,235

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 March 31,
		2017			2016
	(dollars in thousands)
Impaired loans		$	(1,460	)	$	(7,702	)
Other real estate owned		(31		)	(13		)
Total losses		$	(1,491	)	$	(7,715	)

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, 2017
			Fair Value Measurements Using:
	Carrying Amount		Total		Level 1		Level 2		Level 3
	(dollars in thousands)
Financial assets
Cash and due from banks	$	75,160	$	75,160	$	75,160	$	—	$	—
Interest-bearing deposits	47,944		47,944		47,944		—		—
Securities available for sale	832,754		832,754		—		797,343		35,411
Securities held to maturity	386,954		383,735		—		383,735		—
Other investments	38,669		38,669		—		38,669		—
Loans held for sale	9,588		9,588		—		9,588		—
Loans	4,907,961		4,890,426		—		22,010		4,868,416
Financial liabilities
Deposits	4,969,729		4,971,049		—		4,971,049		—
Short-term borrowings	961,601		961,449		—		961,449		—
Subordinated debt	72,167		63,964		—		—		63,964
Long-term debt	8,604		9,038		—		9,038		—



	December 31, 2016
			Fair Value Measurements Using:
	Carrying Amount		Total		Level 1		Level 2		Level 3
	(dollars in thousands)
Financial assets
Cash and due from banks	$	91,033	$	91,033	$	91,033	$	—	$	—
Interest-bearing deposits	24,644		24,644		24,644		—		—
Securities available for sale	778,612		778,612		—		743,650		34,962
Securities held to maturity	372,513		368,618		—		368,618		—
Other investments	36,498		36,498		—		36,498		—
Loans held for sale	7,052		7,052		—		7,052		—
Loans	4,879,347		4,878,254		—		18,679		4,859,575
Financial liabilities
Deposits	4,947,408		4,949,714		—		4,949,714		—
Short-term borrowings	867,943		867,667		—		867,667		—
Subordinated debt	72,167		65,656		—		—		65,656
Long-term debt	8,749		9,169		—		9,169		—