Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2023

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, 2023 and December 31, 2022 as well as the effect of these derivative instruments on Trustmark’s results of operations for the periods presented ($ in thousands):

	September 30, 2023			December 31, 2022
Derivatives in hedging relationships:
Interest rate contracts:
Interest rate floors included in other assets	$	203		$	—
Interest rate swaps included in other liabilities (1)		2,302			761
Derivatives not designated as hedging instruments:
Interest rate contracts:
Exchange traded purchased options included in other assets	$	8		$	38
OTC written options (rate locks) included in other assets		197			157
Futures contracts included in other assets		—			16
Interest rate swaps included in other assets (1)		16,437			8,654
Credit risk participation agreements included in other assets		1			6
Futures contracts included in other liabilities		2,764			268
Forward contracts included in other liabilities		(1,479	)		(168	)
Exchange traded written options included in other liabilities		563			206
Interest rate swaps included in other liabilities (1)		51,953			44,304
Credit risk participation agreements included in other liabilities		32			8

(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,
	2023			2022			2023			2022
Derivatives in hedging relationships:
Amount of gain (loss) reclassified from accumulated other comprehensive income (loss) and recognized in interest and fees on LHFS & LHFI	$	(4,627	)	$	643		$	(11,555	)	$	643
Derivatives not designated as hedging instruments:
Amount of gain (loss) recognized in mortgage banking, net	$	(7,634	)	$	(8,405	)	$	(11,526	)	$	(39,181	)
Amount of gain (loss) recognized in bank card and other fees		381			63			571			385

Schedule of Cash Flow Hedges Included in Accumulated Other Comprehensive Income (Loss) [Table Text Block]

The following table discloses the amount included in other comprehensive income (loss), net of tax, for derivative instruments

designated as cash flow hedges for the periods presented ($ in thousands):

	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Derivatives in cash flow hedging relationship
Amount of gain (loss) recognized in other comprehensive    income (loss), net of tax	$	(8,504	)	$	(14,643	)	$	(18,427	)	$	(14,643	)

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, 2023 and December 31, 2022 is presented in the following tables ($ in thousands):

Offsetting of Derivative Assets
As of September 30, 2023
							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	$	16,640	$	—	$	16,640	$	(2,618	)	$	(6,230	)	$	7,792

Offsetting of Derivative Liabilities
As of September 30, 2023
							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	$	54,255	$	—	$	54,255	$	(2,618	)	$	(40	)	$	51,597

Offsetting of Derivative Assets
As of December 31, 2022
							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	$	9,415	$	—	$	9,415	$	—	$	(2,230	)	$	7,185

Offsetting of Derivative Liabilities
As of December 31, 2022
							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	$	44,304	$	—	$	44,304	$	—	$	(740	)	$	43,564