Fair Values of Assets and Liabilities (Tables)

6 Months Ended

Jun. 30, 2012

Fair Values of Assets and Liabilities [Abstract]

Quantitative inputs and assumptions used in Level 3 fair value measurements

In accordance with ASU 2011-04, 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	$21,792	Discounted Cash Flow	Probability of default	0% -100% (22.29%)
			Prepayment rates	0% -100% (13.21%)
			Discount rates	7% - 20%(a)
Other Investments	1,420	Par Value	N/A	N/A
Interest Rate Swap	0	Option model	Counterparty credit risk	66.49% -132.21%(b)
Impaired Loans	20,745(c)	Discounted Cash Flow	Discount rate	8.42% - 21%
Other Real Estate Owned	353	Internal Valuation	N/A	N/A

(a) incorporates premium related to credit quality and illiquidity of securities.

(b) represents the range of the credit spread curve used in valuation.

(c) 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

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, 2012
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Obligations of U.S. Government Agencies:
Mortgage-Backed Securities—Residential	$	0	$	34,620	$	0	$	34,620
Obligations of U.S. Government-Sponsored Enterprises:
Mortgage-Backed Securities—Residential		0		845,739		0		845,739
Mortgage-Backed Securities—Commercial		0		177		0		177
Other Government-Sponsored Enterprises		0		242,566		0		242,566
Obligations of States and Political Subdivisions		0		449		0		449
Corporate Securities		0		11,999		0		11,999
Pooled Trust Preferred Collateralized Debt Obligations		0		0		21,792		21,792
Total Debt Securities		0		1,135,550		21,792		1,157,342
Equities		440		0		1,420		1,860
Total Securities Available for Sale		440		1,135,550		23,212		1,159,202
Other Investments		0		35,916		0		35,916
Other Assets (a)		0		17,620		0		17,620
Total Assets	$	440	$	1,189,086	$	23,212	$	1,212,738
Other Liabilities (a)	$	0	$	19,860	$	0	$	19,860
Total Liabilities	$	0	$	19,860	$	0	$	19,860

(a) Non-hedging interest rate derivatives

	December 31, 2011
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Obligations of U.S. Government Agencies:
Mortgage-Backed Securities—Residential	$	0	$	36,194	$	0	$	36,194
Obligations of U.S. Government-Sponsored Enterprises:
Mortgage-Backed Securities—Residential		0		801,031		0		801,031
Mortgage-Backed Securities—Commercial		0		193		0		193
Other Government-Sponsored Enterprises		0		268,648		0		268,648
Obligations of States and Political Subdivisions		0		459		0		459
Corporate Securities		0		11,411		0		11,411
Pooled Trust Preferred Collateralized Debt Obligations		0		0		22,980		22,980
Total Debt Securities		0		1,117,936		22,980		1,140,916
Equities		440		0		1,420		1,860
Total Securities Available for Sale		440		1,117,936		24,400		1,142,776
Other Investments		0		39,796		0		39,796
Loans Held for Sale		0		0		13,412		13,412
Other Assets (a)		0		16,064		0		16,064
Total Assets	$	440	$	1,173,796	$	37,812	$	1,212,048
Other Liabilities (a)	$	0	$	18,986	$	0	$	18,986
Total Liabilities	$	0	$	18,986	$	0	$	18,986

(a) Non-hedging interest rate derivatives

Schedule of changes in level 3 assets and liabilities measured at fair value on recurring basis

For the six-month periods ended June 30, changes in Level 3 assets and liabilities measured at fair value on a recurring basis are summarized as follows:

	2012
	Pooled Trust Preferred Collateralized Debt Obligations			Equities		Loans Held for Sale			Other Assets			Total
	(dollars in thousands)
Balance, beginning of period	$	22,980		$	1,420	$	13,412		$	0		$	37,812
Total gains or losses
Included in earnings		0			0		2,870			(461	)		2,409
Included in other comprehensive income		1,580			0		0			0			1,580
Purchases, issuances, sales, and settlements
Purchases		0			0		0			0			0
Issuances		0			0		0			0			0
Sales		0			0		(15,981	)		0			(15,981	)
Settlements		(2,768	)		0		(301	)		0			(3,069	)
Transfers into Level 3		0			0		0			461			461
Balance, end of period	$	21,792		$	1,420	$	0		$	0		$	23,212

	2011
	Obligations of States and Political Subdivisions			Corporate Securities			Pooled Trust Preferred Collateralized Debt Obligations			Equities		Total
	(dollars in thousands)
Balance, beginning of period	$	343		$	21,376		$	26,352		$	1,570	$	49,641
Total gains or losses
Included in earnings		4			387			0			0		391
Included in other comprehensive income		(20	)		(98	)		3,020			0		2,902
Purchases, issuances, sales, and settlements
Purchases		0			0			0			0		0
Issuances		0			0			0			0		0
Sales		(327	)		(6,700	)		0			0		(7,027	)
Settlements		0			(3,000	)		(2,388	)		0		(5,388	)
Transfers from Level 3		0			(11,965	)		0			0		(11,965	)
Balance, end of period	$	0		$	0		$	26,984		$	1,570	$	28,554

For the three-month periods ended June 30, changes in Level 3 assets and liabilities measured at fair value on a recurring basis are summarized as follows:

	2012
	Pooled Trust Preferred Collateralized Debt Obligations			Equities		Loans Held for Sale			Other Assets		Total
	(dollars in thousands)
Balance, beginning of period	$	24,508		$	1,420	$	8,076		$	0	$	34,004
Total gains or losses
Included in earnings		0			0		1,102			0		1,102
Included in other comprehensive income		(688	)		0		0			0		(688	)
Purchases, issuances, sales, and settlements
Purchases		0			0		0			0		0
Issuances		0			0		0			0		0
Sales		0			0		(9,172	)		0		(9,172	)
Settlements		(2,028	)		0		(6	)		0		(2,034	)
Transfers from Level 3		0			0		0			0		0
Transfers into Level 3		0			0		0			0		0
Balance, end of period	$	21,792		$	1,420	$	0		$	0	$	23,212

	2011
	Obligations of States and Political Subdivisions		Corporate Securities			Pooled Trust Preferred Collateralized Debt Obligations			Equities		Total
	(dollars in thousands)
Balance, beginning of period	$	0	$	14,815		$	27,665		$	1,570	$	44,050
Total gains or losses
Included in earnings		0		73			0			0		73
Included in other comprehensive income		0		77			898			0		975
Purchases, issuances, sales, and settlements
Purchases		0		0			0			0		0
Issuances		0		0			0			0		0
Sales		0		0			0			0		0
Settlements		0		(3,000	)		(1,579	)		0		(4,579	)
Transfers from Level 3		0		(11,965	)		0			0		(11,965	)
Balance, end of period	$	0	$	0		$	26,984		$	1,570	$	28,554

Schedule of assets measured on non-recurring basis

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

	June 30, 2012
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Impaired loans	$	0	$	50,473	$	22,736	$	73,209
Other real estate owned		0		19,250		353		19,603
Total Assets	$	0	$	69,723	$	23,089	$	92,812
	December 31, 2011
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Impaired loans	$	0	$	73,783	$	26,349	$	100,132
Other real estate owned		0		31,232		438		31,670
Total Assets	$	0	$	105,015	$	26,787	$	131,802

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,
	2012			2011			2012			2011
	(dollars in thousands)
Impaired loans	$	(3,086	)	$	(10,297	)	$	(3,742	)	$	(21,157	)
Other real estate owned		(163	)		(4,124	)		(3,017	)		(4,124	)
Total losses	$	(3,249	)	$	(14,421	)	$	(6,759	)	$	(25,281	)

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, 2012
			Fair Value Measurements Using:
	Carrying Amount		Total		Level 1		Level 2		Level 3
	(dollars in thousands)
Financial assets
Cash and due from banks	$	82,659	$	82,659	$	82,659	$	0	$	0
Interest-bearing deposits		3,839		3,839		3,839		0		0
Securities available for sale		1,159,202		1,159,202		440		1,135,550		23,212
Other investments		35,916		35,916		0		35,916		0
Loans		4,159,531		4,220,966		0		50,473		4,170,493
Financial liabilities
Deposits		4,461,962		4,405,479		0		4,405,479		0
Short-term borrowings		474,264		474,255		0		474,255		0
Long-term debt		75,370		78,068		0		78,068		0
Subordinated debt		105,750		74,646		0		0		74,646

	December 31, 2011
	Carrying Amount		Estimated Fair Value
		(dollars in thousands)
Financial assets
Cash and due from banks	$	74,967	$	74,967
Interest-bearing deposits		3,511		3,511
Securities available for sale		1,142,776		1,142,776
Other investments		39,796		39,796
Loans held for sale		13,412		13,412
Loans		4,043,643		4,113,525
Financial liabilities
Deposits		4,504,684		4,452,235
Short-term borrowings		312,777		312,777
Long-term debt		101,664		103,749
Subordinated debt		105,750		75,310