Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Fair Value of Derivative Instruments

The following tables disclose the fair value of derivative instruments in Trustmark’s consolidated balance sheets at September 30, 2021 and December 31, 2020 as well as the effect of these derivative instruments on Trustmark’s results of operations for the periods presented ($ in thousands):

	September 30, 2021			December 31, 2020
Derivatives not designated as hedging instruments
Interest rate contracts:
Exchange traded purchased options included in other assets	$	25		$	145
OTC written options (rate locks) included in other assets		2,509			9,560
Futures contracts included in other assets		—			—
Interest rate swaps included in other assets (1)		23,688			37,974
Credit risk participation agreements included in other assets		119			89
Futures contracts included in other liabilities		4,337			34
Forward contracts included in other liabilities		(839	)		3,145
Exchange traded written options included in other liabilities		431			632
Interest rate swaps included in other liabilities (1)		3,396			1,313
Credit risk participation agreements included in other liabilities		118			200

(1)In accordance with GAAP, the variation margin collateral payments made or received for interest rate swaps that are centrally cleared are legally characterized as settled. As a result, the centrally cleared interest rate swaps included in other assets and other liabilities are presented on a net basis in the accompanying consolidated balance sheets.

Effects of Derivative Instruments on Statements of Operations

	Three Months Ended September 30,					Nine Months Ended September 30,
	2021			2020		2021			2020
Derivatives not designated as hedging instruments:
Amount of gain (loss) recognized in mortgage banking, net	$	(1,612	)	$	74	$	(12,424	)	$	45,955
Amount of gain (loss) recognized in bank card and other fees		217			234		1,152			(1,502	)

Information about Financial Instruments that are Eligible for Offset in the Consolidated Balance Sheets

Information about financial instruments that are eligible for offset in the consolidated balance sheets as of September 30, 2021 and December 31, 2020 is presented in the following tables ($ in thousands):

Offsetting of Derivative Assets
As of September 30, 2021
							Gross Amounts Not Offset in the Statement of Financial Position
	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Financial Position		Net Amounts of Assets presented in the Statement of Financial Position		Financial Instruments			Cash Collateral Received		Net Amount
Derivatives	$	23,688	$	—	$	23,688	$	(10	)	$	—	$	23,678

Offsetting of Derivative Liabilities
As of September 30, 2021
							Gross Amounts Not Offset in the Statement of Financial Position
	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Financial Position		Net Amounts of Liabilities presented in the Statement of Financial Position		Financial Instruments			Cash Collateral Posted			Net Amount
Derivatives	$	3,396	$	—	$	3,396	$	(10	)	$	(1,100	)	$	2,286

Offsetting of Derivative Assets
As of December 31, 2020
							Gross Amounts Not Offset in the Statement of Financial Position
	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Financial Position		Net Amounts of Assets presented in the Statement of Financial Position		Financial Instruments		Cash Collateral Received		Net Amount
Derivatives	$	37,974	$	—	$	37,974	$	—	$	—	$	37,974

Offsetting of Derivative Liabilities
As of December 31, 2020
							Gross Amounts Not Offset in the Statement of Financial Position
	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Financial Position		Net Amounts of Liabilities presented in the Statement of Financial Position		Financial Instruments		Cash Collateral Posted			Net Amount
Derivatives	$	1,313	$	—	$	1,313	$	—	$	(1,313	)	$	—