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Fair Values of Assets and Liabilities (Tables)

6 Months Ended

Jun. 30, 2013

Fair Value Disclosures [Abstract]

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	$25,869		Discounted Cash Flow		Probability of default		0% - 100% (19.32%)
					Prepayment rates		0% - 100% (7.48%)
					Discount rates		6% - 16% (a)
Equities	1,420		Par Value		N/A		N/A
Interest Rate Swap	—		Option model		Counterparty credit risk		6.80% - 9.12% (b)
Impaired Loans	715 (c)		Reserve study		Discount rate		10.00%
					Gas per MCF		$3.67 - $7.60 (d)
					Oil per BBL/d		$90.97 - $106.00 (d)
					NGL per gallon		$1.54 (d)
Other Real Estate Owned	187		Internal Valuation		N/A		N/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:

	June 30, 2013
	Level 1				Level 2				Level 3				Total
	(dollars in thousands)
Obligations of U.S. Government Agencies:
Mortgage-Backed Securities - Residential	$	—			$	28,036			$	—			$	28,036
Obligations of U.S. Government-Sponsored Enterprises:
Mortgage-Backed Securities - Residential	—				978,185				—				978,185
Mortgage-Backed Securities - Commercial	—				126				—				126
Other Government-Sponsored Enterprises	—				265,296				—				265,296
Obligations of States and Political Subdivisions	—				83				—				83
Corporate Securities	—				6,984				—				6,984
Pooled Trust Preferred Collateralized Debt Obligations	—				—				25,869				25,869
Total Debt Securities	—				1,278,710				25,869				1,304,579
Equities	688				—				1,420				2,108
Total Securities Available for Sale	688				1,278,710				27,289				1,306,687
Other Investments	—				33,913				—				33,913
Loans held for sale	—				—				—				—
Other Assets(a)	—				14,121				—				14,121
Total Assets	$	688			$	1,326,744			$	27,289			$	1,354,721
Other Liabilities(a)	$	—			$	14,363			$	—			$	14,363
Total Liabilities	$	—			$	14,363			$	—			$	14,363

(a) Non-hedging interest rate derivatives

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

(a) Non-hedging interest rate derivatives

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

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

	2013
	Pooled Trust Preferred Collateralized Debt Obligations				Equities				Loans Held for Sale				Other Assets				Total
	(dollars in thousands)
Balance, beginning of period	$	23,373			$	1,420			$	—			$	—			$	24,793
Total gains or losses
Included in earnings	—				—				383				—				383
Included in other comprehensive income	5,683				—				—				—				5,683
Purchases, issuances, sales, and settlements
Purchases	—				—				—				—				—
Issuances	—				—				—				—				—
Sales	—				—				(20,518		)		—				(20,518		)
Settlements	(3,187		)		—				—				—				(3,187		)
Transfers into Level 3	—				—				20,135				—				20,135
Balance, end of period	$	25,869			$	1,420			$	—			$	—			$	27,289

	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			$	—			$	37,812
Total gains or losses
Included in earnings	—				—				2,870				(461		)		2,409
Included in other comprehensive income	1,580				—				—				—				1,580
Purchases, issuances, sales, and settlements
Purchases	—				—				—				—				—
Issuances	—				—				—				—				—
Sales	—				—				(15,981		)		—				(15,981		)
Settlements	(2,768		)		—				(301		)		—				(3,069		)
Transfers into Level 3	—				—				—				461				461
Balance, end of period	$	21,792			$	1,420			$	—			$	—			$	23,212

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, 2013
	Level 1				Level 2				Level 3				Total
	(dollars in thousands)
Impaired loans	$	—			$	55,903			$	7,540			$	63,443
Other real estate owned	—				17,116				187				17,303
Total Assets	$	—			$	73,019			$	7,727			$	80,746

	December 31, 2012
	Level 1				Level 2				Level 3				Total
	(dollars in thousands)
Impaired loans	$	—			$	82,949			$	6,827			$	89,776
Other real estate owned	—				11,981				247				12,228
Total Assets	$	—			$	94,930			$	7,074			$	102,004

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
	2013				2012				2013				2012
	(dollars in thousands)
Impaired loans	$	(10,806	)		$	(3,086	)		$	(11,086	)		$	(3,742	)
Other real estate owned	(241		)		(163		)		(362		)		(3,017		)
Total losses	$	(11,047	)		$	(3,249	)		$	(11,448	)		$	(6,759	)

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, 2013
					Fair Value Measurements Using:
	Carrying Amount				Total				Level 1				Level 2				Level 3
	(dollars in thousands)
Financial assets
Cash and due from banks	$	77,485			$	77,485			$	77,485			$	—			$	—
Interest-bearing deposits	4,497				4,497				4,497				—				—
Securities available for sale	1,306,687				1,306,687				688				1,278,710				27,289
Other investments	33,913				33,913				—				33,913				—
Loans	4,229,752				4,276,416				—				55,903				4,220,513
Financial liabilities
Deposits	4,733,047				4,664,831				—				4,664,831				—
Short-term borrowings	441,848				441,838				—				441,838				—
Long-term debt	144,615				145,721				—				145,721				—
Subordinated debt	72,167				47,833				—				—				47,833

	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			$	—			$	—
Interest-bearing deposits	4,258				4,258				4,258				—				—
Securities available for sale	1,171,303				1,171,303				555				1,145,955				24,793
Other investments	28,228				28,228				—				28,228				—
Loans	4,204,704				4,245,114				—				82,949				4,162,165
Financial liabilities
Deposits	4,557,881				4,493,764				—				4,493,764				—
Short-term borrowings	356,227				356,221				—				356,221				—
Long-term debt	174,471				176,178				—				176,178				—
Subordinated debt	105,750				76,735				—				—				76,735

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Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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