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Fair Values of Assets and Liabilities (Tables)

12 Months Ended

Dec. 31, 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		$	23,373			Discounted Cash Flow		Probability of default		0% - 100% (21.95%)
								Prepayment rates		0% - 100% (12.20%)
								Discount rates		6.50% - 20.00%(a)
Other Investments			1,420			Par Value		N/A		N/A
Interest Rate Swap			0			Option model		Counterparty credit risk		9.66% - 11.95%(b)
Impaired Loans			751	(c)		Reserve study		Discount rate		10.00%
								Gas per MCF		$2.92 - $5.48(d)
								Oil per BBL/d		$84.64 - $96.86(d)
								NGL per gallon		$1.42(d)
Other Real Estate Owned			247			Internal Valuation		N/A		N/A(a)

(a) incorporates spread over risk free rate related primarily 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.

(d) unobservable inputs are defined as follows: MCF—million cubic feet; BBL/d—barrels per day; NGL—natural gas liquid.

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 at December 31:

		2012
		Level 1				Level 2				Level 3				Total
		(dollars in thousands)
Obligations of U.S. Government Agencies:
Mortgage-Backed Securities—Residential		$	0			$	31,664			$	0			$	31,664
Obligations of U.S. Government-Sponsored Enterprises:
Mortgage-Backed Securities—Residential			0				864,401				0				864,401
Mortgage-Backed Securities—Commercial			0				149				0				149
Other Government-Sponsored Enterprises			0				242,664				0				242,664
Obligations of States and Political Subdivisions			0				86				0				86
Corporate Securities			0				6,991				0				6,991
Pooled Trust Preferred Collateralized Debt Obligations			0				0				23,373				23,373
Total Debt Securities			0				1,145,955				23,373				1,169,328
Equities			555				0				1,420				1,975
Total Securities Available for Sale			555				1,145,955				24,793				1,171,303
Other Investments			0				28,228				0				28,228
Loans Held for Sale			0				0				0				0
Other Assets (a)			0				16,480				0				16,480
Total Assets		$	555			$	1,190,663			$	24,793			$	1,216,011
Other Liabilities (a)		$	0			$	18,726			$	0			$	18,726
Total Liabilities		$	0			$	18,726			$	0			$	18,726

(a) Non-hedging interest rate derivatives

		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

The changes in Level 3 assets and liabilities measured at fair value on a recurring basis are summarized as follows at for the year ended December 31, 2012:

		Pooled Trust Preferred Collateralized Debt Obligations				Equities				Loans Held for Sale				Other Assets				Total
		(dollars in thousands)
Balance, beginning of year		$	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			5,490				0				0				0				5,490
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			(5,097	)			0				(301	)			0				(5,398	)
Transfers from Level 3			0				0				0				0				0
Transfers into Level 3			0				0				0				461				461
Balance, end of year		$	23,373			$	1,420			$	0			$	0			$	24,793

The changes in Level 3 assets and liabilities measured at fair value on a recurring basis are summarized as follows for the year ended December 31, 2011:

		Obligations of States and Political Subdivisions				Corporate Securities				Pooled Trust Preferred Collateralized Debt Obligations				Equities				Loans Held for Sale				Other Assets				Total
		(dollars in thousands)
Balance, beginning of year		$	343			$	21,376			$	26,352			$	1,570			$	0			$	0			$	49,641
Total gains or losses
Included in earnings			4				387				0				(150	)			0				(4,449	)			(4,208	)
Included in other comprehensive income			(20	)			(98	)			1,284				0				0				0				1,166
Purchases, issuances, sales, and settlements
Purchases			0				0				0				0				0				0				0
Issuances			0				0				0				0				0				0				0
Sales			(327	)			(6,700	)			0				0				0				0				(7,027	)
Settlements			0				(3,000	)			(4,656	)			0				0				(71	)			(7,727	)
Transfers from Level 3			0				(11,965	)			0				0				0				0				(11,965	)
Transfers into Level 3			0				0				0				0				13,412				4,520				17,932
Balance, end of year		$	0			$	0			$	22,980			$	1,420			$	13,412			$	0			$	37,812

Schedule of Assets Measured on Nonrecurring Basis

The tables below present the balances of assets measured at fair value on a nonrecurring basis at December 31 and total gains and losses realized on these assets during the year ended December 31:

		2012
		Level 1				Level 2				Level 3				Total				Total Gains (Losses)
		(dollars in thousands)
Impaired loans		$	0			$	82,949			$	6,827			$	89,776			$	(13,793	)
Other real estate owned			0				11,981				247				12,228				(3,772	)
Total Assets		$	0			$	94,930			$	7,074			$	102,004			$	(17,565	)

		2011
		Level 1				Level 2				Level 3				Total				Total Gains (Losses)
		(dollars in thousands)
Impaired loans		$	0			$	73,783			$	26,349			$	100,132			$	(24,636	)
Other real estate owned			0				31,232				438				31,670				(8,643	)
Total Assets		$	0			$	105,015			$	26,787			$	131,802			$	(33,279	)

Carrying Amounts and Fair Values of Financial Instruments

The following table presents carrying amounts and estimated fair values of First Commonwealth’s financial instruments at December 31:

		2012
						Fair Value Measurements Using:
		Carrying Amount				Total				Level 1				Level 2				Level 3
		(dollars in thousands)
Financial assets
Cash and due from banks		$	98,724			$	98,724			$	98,724			$	0			$	0
Interest-bearing deposits			4,258				4,258				4,258				0				0
Securities available for sale			1,171,303				1,171,303				555				1,145,955				24,793
Other investments			28,228				28,228				0				28,228				0
Loans held for sale			0				0				0				0				0
Loans			4,204,704				4,245,114				0				82,949				4,162,165
Financial liabilities
Deposits			4,557,881				4,493,764				0				4,493,764				0
Short-term borrowings			356,227				356,221				0				356,221				0
Long-term debt			174,471				176,178				0				176,178				0
Subordinated debt			105,750				76,735				0				0				76,735

		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

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