Note 3 – Securities Available for Sale and Held to Maturity

The following table is a summary of the amortized cost and estimated fair value of securities available for sale and held to maturity ($ in thousands):

	Securities Available for Sale									Securities Held to Maturity
			Gross		Gross			Estimated				Gross		Gross			Estimated
	Amortized		Unrealized		Unrealized			Fair		Amortized		Unrealized		Unrealized			Fair
June 30, 2014	Cost		Gains		(Losses)			Value		Cost		Gains		(Losses)			Value
U.S. Treasury securities	$	100	$	-	$	-		$	100	$	-	$	-	$	-		$	-
U.S. Government agency obligations
Issued by U.S. Government agencies		117,890		851		(1,252	)		117,489		-		-		-			-
Issued by U.S. Government sponsored agencies		40,706		158		(16	)		40,848		100,563		2,201		-			102,764
Obligations of states and political subdivisions		164,581		6,710		(62	)		171,229		65,193		3,674		-			68,867
Mortgage-backed securities
Residential mortgage pass-through securities
Guaranteed by GNMA		12,955		554		(17	)		13,492		13,959		367		(2	)		14,324
Issued by FNMA and FHLMC		219,987		5,304		(62	)		225,229		12,165		267		-			12,432
Other residential mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		1,542,274		14,703		(13,358	)		1,543,619		822,444		3,092		(3,208	)		822,328
Commercial mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		221,221		8,083		(21	)		229,283		142,466		1,092		(1,402	)		142,156
Asset-backed securities and structured financial products		34,150		992		-			35,142		-		-		-			-
Total	$	2,353,864	$	37,355	$	(14,788	)	$	2,376,431	$	1,156,790	$	10,693	$	(4,612	)	$	1,162,871

December 31, 2013
U.S. Treasury securities	$	501	$	1	$	-		$	502	$	-	$	-	$	-		$	-
U.S. Government agency obligations
Issued by U.S. Government agencies		129,653		1,125		(1,485	)		129,293		-		-		-			-
Issued by U.S. Government sponsored agencies		40,681		19		(521	)		40,179		100,159		-		(1,580	)		98,579
Obligations of states and political subdivisions		165,810		6,243		(315	)		171,738		65,987		2,806		(281	)		68,512
Mortgage-backed securities
Residential mortgage pass-through securities
Guaranteed by GNMA		14,099		459		(84	)		14,474		9,433		142		(72	)		9,503
Issued by FNMA and FHLMC		239,880		3,147		(1,909	)		241,118		12,724		30		(162	)		12,592
Other residential mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		1,300,375		12,459		(22,093	)		1,290,741		837,393		-		(15,072	)		822,321
Commercial mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		235,317		7,278		(423	)		242,172		143,032		85		(3,791	)		139,326
Asset-backed securities and structured financial products		62,689		1,248		-			63,937		-		-		-			-
Total	$	2,189,005	$	31,979	$	(26,830	)	$	2,194,154	$	1,168,728	$	3,063	$	(20,958	)	$	1,150,833

During the fourth quarter of 2013, Trustmark reclassified approximately $1.099 billion of securities available for sale to securities held to maturity. The securities were transferred at fair value, which became the cost basis for the securities held to maturity. At the date of transfer, the net unrealized holding loss on the available for sale securities totaled approximately $46.6 million ($28.8 million, net of tax). The net unrealized holding loss is amortized over the remaining life of the securities as a yield adjustment in a manner consistent with the amortization or accretion of the original purchase premium or discount on the associated security. There were no gains or losses recognized as a result of the transfer. At June 30, 2014, the net unamortized, unrealized loss on the transferred securities included in accumulated other comprehensive loss in the accompanying balance sheet totaled approximately $43.6 million ($26.9 million, net of tax).

During the first quarter of 2014, Trustmark sold its remaining $25.9 million of Collateralized Loan Obligations (CLO) generating a net gain of $389 thousand. These securities were identified as available for sale and had been carried in the asset-backed securities and structured financial products line item in the table shown above.

Temporarily Impaired Securities

The table below includes securities with gross unrealized losses segregated by length of impairment ($ in thousands):

	Less than 12 Months					12 Months or More					Total
			Gross					Gross					Gross
	Estimated		Unrealized			Estimated		Unrealized			Estimated		Unrealized
June 30, 2014	Fair Value		(Losses)			Fair Value		(Losses)			Fair Value		(Losses)
U.S. Government agency obligations
Issued by U.S. Government agencies	$	57,066	$	(561	)	$	14,188	$	(691	)	$	71,254	$	(1,252	)
Issued by U.S. Government sponsored agencies		-		-			9,962		(16	)		9,962		(16	)
Obligations of states and political subdivisions		804		(1	)		6,488		(61	)		7,292		(62	)
Mortgage-backed securities
Residential mortgage pass-through securities
Guaranteed by GNMA		4,462		(14	)		726		(5	)		5,188		(19	)
Issued by FNMA and FHLMC		10,606		(62	)		-		-			10,606		(62	)
Other residential mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		765,676		(4,909	)		417,328		(11,657	)		1,183,004		(16,566	)
Commercial mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		29,181		(232	)		63,245		(1,191	)		92,426		(1,423	)
Total	$	867,795	$	(5,779	)	$	511,937	$	(13,621	)	$	1,379,732	$	(19,400	)

December 31, 2013
U.S. Government agency obligations
Issued by U.S. Government agencies	$	68,908	$	(1,485	)	$	-	$	-		$	68,908	$	(1,485	)
Issued by U.S. Government sponsored agencies		138,478		(2,101	)		-		-			138,478		(2,101	)
Obligations of states and political subdivisions		55,963		(586	)		796		(10	)		56,759		(596	)
Mortgage-backed securities
Residential mortgage pass-through securities
Guaranteed by GNMA		14,732		(155	)		161		(1	)		14,893		(156	)
Issued by FNMA and FHLMC		118,466		(2,071	)		-		-			118,466		(2,071	)
Other residential mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		1,534,381		(36,750	)		23,458		(415	)		1,557,839		(37,165	)
Commercial mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		177,412		(4,214	)		-		-			177,412		(4,214	)
Total	$	2,108,340	$	(47,362	)	$	24,415	$	(426	)	$	2,132,755	$	(47,788	)

The unrealized losses shown above are primarily due to increases in market rates over the yields available at the time of purchase of the underlying securities and not credit quality. Because Trustmark does not intend to sell these securities and it is more likely than not that Trustmark will not be required to sell the investments before recovery of their amortized cost bases, which may be maturity, Trustmark does not consider these investments to be other-than-temporarily impaired at June 30, 2014. There were no other-than-temporary impairments for the six months ended June 30, 2014 and 2013.

Security Gains and Losses

Gains and losses as a result of calls and dispositions of securities, as well as any associated proceeds, were as follows ($ in thousands):

	Three Months Ended June 30,				Six Months Ended June 30,
Available for Sale	2014		2013		2014		2013
Proceeds from calls and sales of securities	$	-	$	29,031	$	26,274	$	64,778
Gross realized gains		-		174		389		393
Gross realized (losses)		-		-		-		(15	)

Realized gains and losses are determined using the specific identification method and are included in noninterest income as security gains, net.

Contractual Maturities

The amortized cost and estimated fair value of securities available for sale and held to maturity at June 30, 2014, by contractual maturity, are shown below ($ in thousands). Expected maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.

	Securities				Securities
	Available for Sale				Held to Maturity
			Estimated				Estimated
	Amortized		Fair		Amortized		Fair
	Cost		Value		Cost		Value
Due in one year or less	$	15,950	$	16,110	$	3,195	$	3,231
Due after one year through five years		129,812		134,492		12,282		13,130
Due after five years through ten years		90,308		93,261		134,508		138,863
Due after ten years		121,357		120,945		15,771		16,407
		357,427		364,808		165,756		171,631
Mortgage-backed securities		1,996,437		2,011,623		991,034		991,240
Total	$	2,353,864	$	2,376,431	$	1,156,790	$	1,162,871