Fair Values of Assets and Liabilities (Tables)

9 Months Ended

Sep. 30, 2012

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	$23,051	Discounted Cash Flow	Probability of default	0% -100% (21.73%)
			Prepayment rates	0% -100% (13.44%)
			Discount rates	6.75% - 20%(a)
Other Investments	1,420	Par Value	N/A	N/A
Interest Rate Swap	0	Option model	Counterparty credit risk	15.08% - 17.63%(b)
Impaired Loans	15,755(c)	Discounted Cash Flow	Discount rate	8.42% - 8.83%
Other Real Estate Owned	338	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:

	September 30, 2012
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Obligations of U.S. Government Agencies:
Mortgage-Backed Securities—Residential	$	0	$	33,355	$	0	$	33,355
Obligations of U.S. Government-Sponsored Enterprises:
Mortgage-Backed Securities—Residential		0		818,278		0		818,278
Mortgage-Backed Securities—Commercial		0		166		0		166
Other Government-Sponsored Enterprises		0		242,881		0		242,881
Obligations of States and Political Subdivisions		0		87		0		87
Corporate Securities		0		11,144		0		11,144
Pooled Trust Preferred Collateralized Debt Obligations		0		0		23,051		23,051
Total Debt Securities		0		1,105,911		23,051		1,128,962
Equities		440		0		1,420		1,860
Total Securities Available for Sale		440		1,105,911		24,471		1,130,822
Other Investments		0		32,479		0		32,479
Other Assets(a)		0		18,122		0		18,122
Total Assets	$	440	$	1,156,512	$	24,471	$	1,181,423
Other Liabilities(a)	$	0	$	20,004	$	0	$	20,004
Total Liabilities	$	0	$	20,004	$	0	$	20,004

(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 nine-month periods ended September 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		3,610			0		0			0			3,610
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		(3,539	)		0		(301	)		0			(3,840	)
Transfers into Level 3		0			0		0			461			461
Balance, end of period	$	23,051		$	1,420	$	0		$	0		$	24,471

	2011
	Obligations of States and Political Subdivisions			Corporate Securities			Pooled Trust Preferred Collateralized Debt Obligations			Equities		Other Assets			Total
	(dollars in thousands)
Balance, beginning of period	$	343		$	21,376		$	26,352		$	1,570	$	0			49,641
Total gains or losses
Included in earnings		4			387			0			0		(4,520	)		(4,129	)
Included in other comprehensive income		(20	)		(98	)		809			0		0			691
Purchases, issuances, sales, and settlements
Purchases		0			0			0			0		0			0
Issuances		0			0			0			0		0			0
Sales		(327	)		(6,700	)		0			0		0			(7,027	)
Settlements		0			(3,000	)		(2,463	)		0		0			(5,463	)
Transfers from Level 3		0			(11,965	)		0			0		0			(11,965	)
Transfers into Level 3		0			0			0			0		4,520			4,520
Balance, end of period	$	0		$	0		$	24,698		$	1,570	$	0		$	26,268

For the three-month periods ended September 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	$	21,792		$	1,420	$	0	$	0	$	23,212
Total gains or losses
Included in earnings		0			0		0		0		0
Included in other comprehensive income		2,030			0		0		0		2,030
Purchases, issuances, sales, and settlements
Purchases		0			0		0		0		0
Issuances		0			0		0		0		0
Sales		0			0		0		0		0
Settlements		(771	)		0		0		0		(771	)
Transfers from Level 3		0			0		0		0		0
Transfers into Level 3		0			0		0		0		0
Balance, end of period	$	23,051		$	1,420	$	0	$	0	$	24,471

	2011
	Obligations of States and Political Subdivisions		Corporate Securities		Pooled Trust Preferred Collateralized Debt Obligations			Equities		Other Assets			Total
	(dollars in thousands)
Balance, beginning of period	$	0	$	0	$	26,984		$	1,570	$	0			28,554
Total gains or losses
Included in earnings		0		0		0			0		(4,520	)		(4,520	)
Included in other comprehensive income		0		0		(2,211	)		0		0			(2,211	)
Purchases, issuances, sales, and settlements
Purchases		0		0		0			0		0			0
Issuances		0		0		0			0		0			0
Sales		0		0		0			0		0			0
Settlements		0		0		(75	)		0		0			(75	)
Transfers from Level 3		0		0		0			0		4,520			4,520
Balance, end of period	$	0	$	0	$	24,698		$	1,570	$	0		$	26,268

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:

	September 30, 2012
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Impaired loans	$	0	$	59,241	$	21,751	$	80,992
Other real estate owned		0		16,002		338		16,340
Total Assets	$	0	$	75,243	$	22,089	$	97,332
	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 September 30,						For the Nine-Months Ended September 30,
	2012			2011			2012			2011
	(dollars in thousands)
Impaired loans	$	(3,890	)	$	(7,148	)	$	(7,352	)	$	(28,075	)
Other real estate owned		(366	)		(88	)		(523	)		(4,185	)
Total losses	$	(4,256	)	$	(7,236	)	$	(7,875	)	$	(32,260	)

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, 2012
			Fair Value Measurements Using:
	Carrying Amount		Total		Level 1		Level 2		Level 3
	(dollars in thousands)
Financial assets
Cash and due from banks	$	85,183	$	85,183	$	85,183	$	0	$	0
Interest-bearing deposits		3,881		3,881		3,881		0		0
Securities available for sale		1,130,822		1,130,822		440		1,105,911		24,471
Other investments		32,479		32,479		0		32,479		0
Loans		4,214,299		4,269,822		0		59,241		4,210,581
Financial liabilities
Deposits		4,494,434		4,435,555		0		4,435,555		0
Short-term borrowings		461,770		461,760		0		461,760		0
Long-term debt		74,721		77,470		0		77,470		0
Subordinated debt		105,750		76,995		0		0		76,995

	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