Fair Values of Assets and Liabilities (Tables)

3 Months Ended

Mar. 31, 2018

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	$	14,132		Discounted Cash Flow	Probability of default	0% - 100% (7.42%)
					Prepayment rates	0% - 71.89% (8.73%)
					Discount rates	5% - 11.5% (a)
Equities	1,670			Par Value	N/A	N/A
Impaired Loans	1,290		(b)	Reserve study	Discount rate	10.00%
					Gas per MMBTU	$2.81 - $3.35 (c)
					Oil per BBL/d	$51.59 - $59.55 (c)
	11,181		(b)	Discounted Cash Flow	Discount Rate	1.9% - 21.0%
Limited Partnership Investments	2,292			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: MMBTU - million British thermal units; 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, 2018
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Obligations of U.S. Government Agencies:
Mortgage-Backed Securities - Residential	$	—	$	10,665	$	—	$	10,665
Mortgage-Backed Securities - Commercial	—		72,137		—		72,137
Obligations of U.S. Government-Sponsored Enterprises:
Mortgage-Backed Securities - Residential	—		664,788		—		664,788
Other Government-Sponsored Enterprises	—		1,098		—		1,098
Obligations of States and Political Subdivisions	—		27,161		—		27,161
Corporate Securities	—		21,226		—		21,226
Pooled Trust Preferred Collateralized Debt Obligations	—		—		14,132		14,132
Total Debt Securities	—		797,075		14,132		811,207
Equities	—		—		1,670		1,670
Total Securities Available for Sale	—		797,075		15,802		812,877
Other Investments	—		24,400		—		24,400
Loans Held for Sale	—		9,759		—		9,759
Other Assets(a)	—		4,355		2,292		6,647
Total Assets	$	—	$	835,589	$	18,094	$	853,683
Other Liabilities(a)	$	—	$	4,879	$	—	$	4,879
Total Liabilities	$	—	$	4,879	$	—	$	4,879


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



	December 31, 2017
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Obligations of U.S. Government Agencies:
Mortgage-Backed Securities - Residential	$	—	$	11,338	$	—	$	11,338
Mortgage-Backed Securities - Commercial	—		24,149		—		24,149
Obligations of U.S. Government-Sponsored Enterprises:
Mortgage-Backed Securities - Residential	—		625,555		—		625,555
Other Government-Sponsored Enterprises	—		1,097		—		1,097
Obligations of States and Political Subdivisions	—		27,410		—		27,410
Corporate Securities	—		16,493		—		16,493
Pooled Trust Preferred Collateralized Debt Obligations	—		—		23,646		23,646
Total Debt Securities	—		706,042		23,646		729,688
Equities	—		—		1,670		1,670
Total Securities Available for Sale	—		706,042		25,316		731,358
Other Investments	—		29,837		—		29,837
Loans Held for Sale	—		14,850		—		14,850
Other Assets(a)	—		1,778		2,143		3,921
Total Assets	$	—	$	752,507	$	27,459	$	779,966
Other Liabilities(a)	$	—	$	3,079	$	—	$	3,079
Total Liabilities	$	—	$	3,079	$	—	$	3,079


(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:



	2018
	Pooled Trust Preferred Collateralized Debt Obligations			Equities		Other Assets		Total
	(dollars in thousands)
Balance, beginning of period	$	23,646		$	1,670	$	2,143	$	27,459
Total gains or losses
Included in earnings	2,840			—		—		2,840
Included in other comprehensive income	4,529			—		—		4,529
Purchases, issuances, sales and settlements
Purchases	—			—		149		149
Issuances	—			—		—		—
Sales	—			—		—		—
Settlements	(16,883		)	—		—		(16,883		)
Transfers from Level 3	—			—		—		—
Transfers into Level 3	—			—		—		—
Balance, end of period	$	14,132		$	1,670	$	2,292	$	18,094



	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

During the three months ended March 31, 2018 and 2017, there were no transfers between fair value Levels 1, 2 or 3. There were no gains or losses included in earnings for the periods presented that are attributable to the change in realized gains (losses) relating to assets held at March 31, 2018 and 2017.

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, 2018
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Impaired loans	$	—	$	26,546	$	19,238	$	45,784
Other real estate owned	—		3,278		—		3,278
Total Assets	$	—	$	29,824	$	19,238	$	49,062



	December 31, 2017
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Impaired loans	$	—	$	23,249	$	15,245	$	38,494
Other real estate owned	—		3,264		—		3,264
Total Assets	$	—	$	26,513	$	15,245	$	41,758

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,
	2018			2017
	(dollars in thousands)
Impaired loans	$	(7,850	)	$	(1,460	)
Other real estate owned	(30		)	(31		)
Total losses	$	(7,880	)	$	(1,491	)

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, 2018
			Fair Value Measurements Using:
	Carrying Amount		Total		Level 1		Level 2		Level 3
	(dollars in thousands)
Financial assets
Cash and due from banks	$	65,886	$	65,886	$	65,886	$	—	$	—
Interest-bearing deposits	9,736		9,736		9,736		—		—
Securities available for sale	812,877		812,877		—		797,075		15,802
Securities held to maturity	410,430		399,528		—		399,528		—
Other investments	24,400		24,400		—		24,400		—
Loans held for sale	9,759		9,759		—		9,759		—
Loans	5,381,305		5,399,240		—		26,546		5,372,694
Financial liabilities
Deposits	5,703,522		5,701,021		—		5,701,021		—
Short-term borrowings	588,016		587,834		—		587,834		—
Subordinated debt	72,167		70,114		—		—		70,114
Long-term debt	8,011		8,237		—		8,237		—
Capital lease obligation	7,498		7,498		—		7,498		—



	December 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	$	98,624	$	98,624	$	98,624	$	—	$	—
Interest-bearing deposits	8,668		8,668		8,668		—		—
Securities available for sale	731,358		731,358		—		706,042		25,316
Securities held to maturity	422,096		418,249		—		418,249		—
Other investments	29,837		29,837		—		29,837		—
Loans held for sale	14,850		14,850		—		14,850		—
Loans	5,407,376		5,443,434		—		23,249		5,420,185
Financial liabilities
Deposits	5,580,705		5,580,812		—		5,580,812		—
Short-term borrowings	707,466		707,263		—		707,263		—
Subordinated debt	72,167		65,785		—		—		65,785
Long-term debt	8,161		8,548		—		8,548		—
Capital Lease Obligation	7,590		7,590		—		7,590		—