Fair Values of Assets and Liabilities (Tables)

12 Months Ended

Dec. 31, 2015

Quantitative Inputs and Assumptions Used in Level 3 Fair Value Measurements

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	$	35,658		Discounted Cash Flow	Probability of default	0% - 100% (13.38%)
					Prepayment rates	0% - 73.28% (5.07%)
					Discount rates	5.25% - 12.00% (a)
Equities	2,170			Par Value	N/A	N/A
Impaired Loans	2,859		(b)	Gas Reserve study	Discount rate	10.00%
					Gas per MCF	$2.34 - $3.71 (c)
					Oil per BBL/d	$42.56 - $65.13 (c)
	2,963		(b)	Discounted Cash Flow	Discount Rate	1.90% - 4.81%
Other Real Estate Owned	8			Internal Valuation	N/A	N/A


(a)	incorporates spread over the risk free rate related primarily to credit quality and illiquidity of securities.


(b)	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.


(c)	unobservable inputs are defined as follows: MCF—million cubic feet; 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 at December 31:



	2015
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Obligations of U.S. Government Agencies:
Mortgage-Backed Securities—Residential	$	—	$	22,092	$	—	$	22,092
Obligations of U.S. Government-Sponsored Enterprises:
Mortgage-Backed Securities—Residential	—		777,577		—		777,577
Mortgage-Backed Securities—Commercial	—		28		—		28
Other Government-Sponsored Enterprises	—		19,118		—		19,118
Obligations of States and Political Subdivisions	—		27,598		—		27,598
Corporate Securities	—		2,319		—		2,319
Pooled Trust Preferred Collateralized Debt Obligations	—		—		35,658		35,658
Total Debt Securities	—		848,732		35,658		884,390
Equities	—		—		2,170		2,170
Total Securities Available for Sale	—		848,732		37,828		886,560
Other Investments	—		62,952		—		62,952
Loans Held for Sale	—		5,763		—		5,763
Other Assets (a)	—		11,273		—		11,273
Total Assets	$	—	$	928,720	$	37,828	$	966,548
Other Liabilities (a)	$	—	$	10,829	$	—	$	10,829
Total Liabilities	$	—	$	10,829	$	—	$	10,829


(a)	Hedging and non-hedging interest rate derivatives



	2014
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Obligations of U.S. Government Agencies:
Mortgage-Backed Securities—Residential	$	—	$	25,936	$	—	$	25,936
Obligations of U.S. Government-Sponsored Enterprises:
Mortgage-Backed Securities—Residential	—		950,881		—		950,881
Mortgage-Backed Securities—Commercial	—		74		—		74
Other Government-Sponsored Enterprises	—		267,877		—		267,877
Obligations of States and Political Subdivisions	—		27,377		—		27,377
Corporate Securities	—		7,255		—		7,255
Pooled Trust Preferred Collateralized Debt Obligations	—		—		28,999		28,999
Total Debt Securities	—		1,279,400		28,999		1,308,399
Equities	—		—		1,420		1,420
Total Securities Available for Sale	—		1,279,400		30,419		1,309,819
Other Investments	—		44,545		—		44,545
Loans Held for Sale	—		2,502		—		2,502
Other Assets (a)	—		11,186		—		11,186
Total Assets	$	—	$	1,337,633	$	30,419	$	1,368,052
Other Liabilities (a)	$	—	$	10,671	$	—	$	10,671
Total Liabilities	$	—	$	10,671	$	—	$	10,671


(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 for the year ended December 31, 2015:



	Pooled Trust Preferred Collateralized Debt Obligations			Equities		Loans Held for Sale		Total
	(dollars in thousands)
Balance, beginning of year	$	28,999		$	1,420	$	—	$	30,419
Total gains or losses
Included in earnings	111			—		—		111
Included in other comprehensive income	7,608			—		—		7,608
Purchases, issuances, sales, and settlements
Purchases	—			750		—		750
Issuances	—			—		—		—
Sales	—			—		—		—
Settlements	(1,060		)	—		—		(1,060		)
Transfers from Level 3	—			—		—		—
Transfers into Level 3	—			—		—		—
Balance, end of year	$	35,658		$	2,170	$	—	$	37,828

There are no gains or losses included in earnings for the period that are attributable to the change in realized gains (losses) relating to assets held at December 31, 2015.

During the year ended December 31, 2015, there were no transfers between fair value Levels 1 2, and 3.

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, 2014:



		Pooled Trust Preferred Collateralized Debt Obligations			Equities		Loans Held for Sale			Other Assets		Total
	(dollars in thousands)
Balance, beginning of year		$	23,523		$	1,420	$	—		$	—	$	24,943
Total gains or losses
Included in earnings		—			—		77			—		77
Included in other comprehensive income		7,162			—		—			—		7,162
Purchases, issuances, sales, and settlements
Purchases		—			—		—			—		—
Issuances		—			—		—			—		—
Sales		—			—		(3,112		)	—		(3,112		)
Settlements		(1,686		)	—		—			—		(1,686		)
Transfers from Level 3		—			—		—			—		—
Transfers into Level 3		—			—		3,035			—		3,035
Balance, end of year		$	28,999		$	1,420	$	—		$	—	$	30,419

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:



	2015
	Level 1		Level 2		Level 3		Total		Total Gains (Losses)
	(dollars in thousands)
Impaired loans	$	—	$	30,979	$	12,820	$	43,799	$	(9,098	)
Other real estate owned	—		10,039		8		10,047		(1,693		)
Total Assets	$	—	$	41,018	$	12,828	$	53,846	$	(10,791	)



	2014
	Level 1		Level 2		Level 3		Total		Total Gains (Losses)
	(dollars in thousands)
Impaired loans	$	—	$	34,864	$	10,926	$	45,790	$	(7,017	)
Other real estate owned	—		7,828		153		7,981		(1,319		)
Total Assets	$	—	$	42,692	$	11,079	$	53,771	$	(8,336	)

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:



	2015
			Fair Value Measurements Using:
	Carrying Amount		Total		Level 1		Level 2		Level 3
	(dollars in thousands)
Financial assets
Cash and due from banks	$	66,644	$	66,644	$	66,644	$	—	$	—
Interest-bearing deposits	2,808		2,808		2,808		—		—
Securities available for sale	886,560		886,560		—		848,732		37,828
Other investments	62,952		62,952		—		62,952		—
Loans held for sale	5,763		5,763		—		5,763		—
Loans	4,683,750		4,690,852		—		30,979		4,659,873
Financial liabilities
Deposits	4,195,894		4,198,817		—		4,198,817		—
Short-term borrowings	1,510,825		1,510,718		—		1,510,718		—
Long-term debt	9,314		9,834		—		9,834		—
Subordinated debt	72,167		62,794		—		—		62,794



	2014
			Fair Value Measurements Using:
	Carrying Amount		Total		Level 1		Level 2		Level 3
	(dollars in thousands)
Financial assets
Cash and due from banks	$	72,276	$	72,276	$	72,276	$	—	$	—
Interest-bearing deposits	2,262		2,262		2,262		—		—
Securities available for sale	1,309,819		1,309,819		—		1,279,400		30,419
Other investments	44,545		44,545		—		44,545		—
Loans held for sale	2,502		2,502		—		2,502		—
Loans	4,457,308		4,439,766		—		34,864		4,404,902
Financial liabilities
Deposits	4,315,511		4,319,997		—		4,319,997		—
Short-term borrowings	1,105,876		1,105,867		—		1,105,867		—
Long-term debt	89,459		90,319		—		90,319		—
Subordinated debt	72,167		62,815		—		—		62,815