Fair Values of Assets and Liabilities (Tables)

9 Months Ended

Sep. 30, 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 September 30, 2018 Level 3 fair value measurements.



	Fair Value (dollars in thousands)		Valuation Technique	Unobservable Inputs	Range / (weighted average)
Equities	1,670		Par Value	N/A	N/A
Impaired Loans	1,184	(a)	Reserve study	Discount rate	10.00%
				Gas per MMBTU	$2.81 - $3.35 (b)
				Oil per BBL/d	$51.59 - $59.55 (b)
	7,883	(a)	Discounted Cash Flow	Discount Rate	1.9% - 9.5%
Limited Partnership Investments	2,521		Par Value	N/A	N/A


(a)	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.


(b)	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:



	September 30, 2018
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Obligations of U.S. Government Agencies:
Mortgage-Backed Securities - Residential	$	—	$	9,628	$	—	$	9,628
Mortgage-Backed Securities - Commercial	—		167,411		—		167,411
Obligations of U.S. Government-Sponsored Enterprises:
Mortgage-Backed Securities - Residential	—		661,629		—		661,629
Other Government-Sponsored Enterprises	—		100		—		100
Obligations of States and Political Subdivisions	—		27,517		—		27,517
Corporate Securities	—		21,101		—		21,101
Total Debt Securities	—		887,386		—		887,386
Equities	—		—		1,670		1,670
Total Securities Available for Sale	—		887,386		1,670		889,056
Other Investments	—		25,029		—		25,029
Loans Held for Sale	—		8,287		—		8,287
Other Assets(a)	—		9,046		2,521		11,567
Total Assets	$	—	$	929,748	$	4,191	$	933,939
Other Liabilities(a)	$	—	$	9,410	$	—	$	9,410
Total Liabilities	$	—	$	9,410	$	—	$	9,410


(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 nine months ended September 30, 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	8,102			—		—			8,102
Included in other comprehensive income	(118		)	—		—			(118		)
Purchases, issuances, sales and settlements
Purchases	—			—		426			426
Issuances	—			—		—			—
Sales	(12,289		)	—		—			(12,289		)
Settlements	(19,341		)	—		(48		)	(19,389		)
Transfers from Level 3	—			—		—			—
Transfers into Level 3	—			—		—			—
Balance, end of period	$	—		$	1,670	$	2,521		$	4,191



	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	1,391			—		—			1,391
Purchases, issuances, sales and settlements
Purchases	—			—		638			638
Issuances	—			—		—			—
Sales	—			—		—			—
Settlements	(54		)	—		(6		)	(60		)
Transfers from Level 3	—			—					—
Transfers into Level 3	—			—		—			—
Balance, end of period	$	34,629		$	1,670	$	1,562		$	37,861

During the nine months ended September 30, 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 September 30, 2018 and 2017.

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:



	2018
	Pooled Trust Preferred Collateralized Debt Obligations		Equities		Other Assets			Total
	(dollars in thousands)
Balance, beginning of period	$	—	$	1,670	$	2,297		$	3,967
Total gains or losses
Included in earnings	—		—		—			—
Included in other comprehensive income	—		—		—			—
Purchases, issuances, sales and settlements
Purchases	—		—		272			272
Issuances	—		—		—			—
Sales	—		—		—			—
Settlements	—		—		(48		)	(48		)
Transfers from Level 3	—		—		—			—
Transfers into Level 3	—		—		—			—
Balance, end of period	$	—	$	1,670	$	2,521		$	4,191



	2017
	Pooled Trust Preferred Collateralized Debt Obligations		Equities		Other Assets			Total
	(dollars in thousands)
Balance, beginning of period	$	33,648	$	1,670	$	1,477		$	36,795
Total gains or losses
Included in earnings	—		—		—			—
Included in other comprehensive income	981		—		—			981
Purchases, issuances, sales and settlements
Purchases	—		—		91			91
Issuances	—		—		—			—
Sales	—		—		—			—
Settlements	—		—		(6		)	(6		)
Transfers from Level 3	—		—		—			—
Transfers into Level 3	—		—		—			—
Balance, end of period	$	34,629	$	1,670	$	1,562		$	37,861

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, 2018
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Impaired loans	$	—	$	14,940	$	19,546	$	34,486
Other real estate owned	—		4,164		—		4,164
Total Assets	$	—	$	19,104	$	19,546	$	38,650



	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 September 30,						For the Nine Months Ended September 30,
	2018			2017			2018			2017
	(dollars in thousands)
Impaired loans	$	(239	)	$	(156	)	$	(6,659	)	$	160
Other real estate owned	(128		)	(116		)	(544		)	(1,196		)
Total losses	$	(367	)	$	(272	)	$	(7,203	)	$	(1,036	)

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, 2018
			Fair Value Measurements Using:
	Carrying Amount		Total		Level 1		Level 2		Level 3
	(dollars in thousands)
Financial assets
Cash and due from banks	$	93,162	$	93,162	$	93,162	$	—	$	—
Interest-bearing deposits	3,022		3,022		3,022		—		—
Securities available for sale	889,056		889,056		—		887,386		1,670
Securities held to maturity	389,621		373,933		—		373,933		—
Other investments	25,029		25,029		—		25,029		—
Loans held for sale	8,287		8,287		—		8,287		—
Loans	5,662,782		5,643,537		—		14,940		5,628,597
Financial liabilities
Deposits	5,895,143		5,894,839		—		5,894,839		—
Short-term borrowings	587,806		587,776		—		587,776		—
Subordinated debt	170,249		173,533		—		—		173,533
Long-term debt	7,706		7,781		—		7,781		—
Capital lease obligation	7,311		7,311		—		7,311		—



	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		—