Fair Values of Assets and Liabilities (Tables)

3 Months Ended

Mar. 31, 2016

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	$	33,273		Discounted Cash Flow	Probability of default	0% - 100% (12.19%)
					Prepayment rates	0% - 73.15% (5.14%)
					Discount rates	5.50% - 12.50% (a)
Equities	2,206			Par Value	N/A	N/A
Impaired Loans	2,437		(b)	Reserve study	Discount rate	10.00%
					Gas per MCF	$1.63 - $3.38 (c)
					Oil per BBL/d	$40.97 - $56.16 (c)
	8,285		(b)	Discounted Cash Flow	Discount Rate	1.9% - 5.58%
Other Real Estate Owned	8			Internal Valuation	N/A	N/A


(a)	Incorporates spread over 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:



	March 31, 2016
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Obligations of U.S. Government Agencies:
Mortgage-Backed Securities - Residential	$	—	$	21,700	$	—	$	21,700
Obligations of U.S. Government-Sponsored Enterprises:
Mortgage-Backed Securities - Residential	—		779,625		—		779,625
Mortgage-Backed Securities - Commercial	—		23		—		23
Other Government-Sponsored Enterprises	—		19,203		—		19,203
Obligations of States and Political Subdivisions	—		27,832		—		27,832
Corporate Securities	—		6,336		—		6,336
Pooled Trust Preferred Collateralized Debt Obligations	—		—		33,273		33,273
Total Debt Securities	—		854,719		33,273		887,992
Equities	—		—		2,206		2,206
Total Securities Available for Sale	—		854,719		35,479		890,198
Other Investments	—		60,597		—		60,597
Loans held for sale	—		5,849		—		5,849
Other Assets(a)	—		18,907		—		18,907
Total Assets	$	—	$	940,072	$	35,479	$	975,551
Other Liabilities(a)	$	—	$	17,924	$	—	$	17,924
Total Liabilities	$	—	$	17,924	$	—	$	17,924


(a)	Hedging and non-hedging interest rate derivatives



	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

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

For the three months ended March 31, changes in Level 3 assets and liabilities measured at fair value on a recurring basis are summarized as follows:



	2016
	Pooled Trust Preferred Collateralized Debt Obligations			Equities		Total
	(dollars in thousands)
Balance, beginning of period	$	35,658		$	2,170	$	37,828
Total gains or losses
Included in earnings	—			—		—
Included in other comprehensive income	(2,385		)	—		(2,385		)
Purchases, issuances, sales and settlements
Purchases	—			36		36
Issuances	—			—		—
Sales	—			—		—
Settlements	—			—		—
Transfers into Level 3	—			—		—
Balance, end of period	$	33,273		$	2,206	$	35,479



	2015
	Pooled Trust Preferred Collateralized Debt Obligations			Equities		Total
	(dollars in thousands)
Balance, beginning of period	$	28,999		$	1,420	$	30,419
Total gains or losses
Included in earnings	105			—		105
Included in other comprehensive income	2,620			—		2,620
Purchases, issuances, sales and settlements
Purchases	—			500		500
Issuances	—			—		—
Sales	—			—		—
Settlements	(590		)	—		(590		)
Transfers into Level 3	—			—		—
Balance, end of period	$	31,134		$	1,920	$	33,054

Schedule of Assets Measured on Non-Recurring Basis

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



	March 31, 2016
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Impaired loans	$	—	$	29,911	$	18,509	$	48,420
Other real estate owned	—		9,852		8		9,860
Total Assets	$	—	$	39,763	$	18,517	$	58,280



	December 31, 2015
	Level 1		Level 2		Level 3		Total
	(dollars in thousands)
Impaired loans	$	—	$	30,979	$	12,820	$	43,799
Other real estate owned	—		10,039		8		10,047
Total Assets	$	—	$	41,018	$	12,828	$	53,846

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 March 31,
	2016			2015
	(dollars in thousands)
Impaired loans	$	(7,702	)	$	(555	)
Other real estate owned	(13		)	(69		)
Total losses	$	(7,715	)	$	(624	)

Carrying Amounts and Fair Values of Financial Instruments

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



	March 31, 2016
			Fair Value Measurements Using:
	Carrying Amount		Total		Level 1		Level 2		Level 3
	(dollars in thousands)
Financial assets
Cash and due from banks	$	62,141	$	62,141	$	62,141	$	—	$	—
Interest-bearing deposits	11,024		11,024		11,024		—		—
Securities available for sale	890,198		890,198		—		854,719		35,479
Securities held to maturity	396,444		400,964		—		400,964		—
Other investments	60,597		60,597		—		60,597		—
Loans held for sale	5,849		5,849		—		5,849		—
Loans	4,798,755		4,791,929		—		29,911		4,762,018
Financial liabilities
Deposits	4,301,655		4,303,085		—		4,303,085		—
Short-term borrowings	1,518,742		1,518,561		—		1,518,561		—
Subordinated debt	72,167		61,208		—		—		61,208
Long-term debt	9,175		9,999		—		9,999		—



	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		—
Subordinated debt	72,167		62,794		—		—		62,794
Long-term debt	9,314		9,834		—		9,834		—