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
September 30, 2014	Amortized Cost		Gross Unrealized Gains		Gross Unrealized (Losses)			Estimated Fair Value		Amortized Cost		Gross Unrealized Gains		Gross Unrealized (Losses)			Estimated Fair Value
U.S. Treasury securities	$	100	$	-	$	-		$	100	$	-	$	-	$	-		$	-
U.S. Government agency obligations
Issued by U.S. Government agencies		83,354		729		(1,072	)		83,011		-		-		-			-
Issued by U.S. Government sponsored agencies		30,719		100		(40	)		30,779		100,767		1,858		(55	)		102,570
Obligations of states and political subdivisions		159,304		6,200		(41	)		165,463		64,538		3,487		-			68,025
Mortgage-backed securities
Residential mortgage pass-through securities
Guaranteed by GNMA		12,319		524		(15	)		12,828		13,368		304		(15	)		13,657
Issued by FNMA and FHLMC		209,455		4,086		(121	)		213,420		11,816		245		-			12,061
Other residential mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		1,606,565		13,065		(16,492	)		1,603,138		836,966		1,723		(6,106	)		832,583
Commercial mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		215,284		6,414		(57	)		221,641		142,185		956		(1,824	)		141,317
Asset-backed securities and structured financial products		32,531		984		-			33,515		-		-		-			-
Total	$	2,349,631	$	32,102	$	(17,838	)	$	2,363,895	$	1,169,640	$	8,573	$	(8,000	)	$	1,170,213


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 September 30, 2014, the net unamortized, unrealized loss on the transferred securities included in accumulated other comprehensive loss in the accompanying balance sheet totaled approximately $41.9 million ($25.9 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
September 30, 2014	Estimated Fair Value		Gross Unrealized Losses			Estimated Fair Value		Gross Unrealized Losses			Estimated Fair Value		Gross Unrealized Losses
U.S. Government agency obligations
Issued by U.S. Government agencies	$	22,911	$	(147	)	$	31,307	$	(925	)	$	54,218	$	(1,072	)
Issued by U.S. Government sponsored agencies		14,333		(55	)		9,940		(40	)		24,273		(95	)
Obligations of states and political subdivisions		2,286		(7	)		4,710		(34	)		6,996		(41	)
Mortgage-backed securities
Residential mortgage pass-through securities
Guaranteed by GNMA		6,007		(25	)		675		(5	)		6,682		(30	)
Issued by FNMA and FHLMC		36,918		(121	)		-		-			36,918		(121	)
Other residential mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		820,242		(8,173	)		420,054		(14,425	)		1,240,296		(22,598	)
Commercial mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		27,874		(445	)		70,930		(1,436	)		98,804		(1,881	)
Total	$	930,571	$	(8,973	)	$	537,616	$	(16,865	)	$	1,468,187	$	(25,838	)

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 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 September 30, 2014. There were no other-than-temporary impairments for the nine months ended September 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 September 30,					Nine Months Ended September 30,
Available for Sale	2014			2013		2014			2013
Proceeds from calls and sales of securities	$	30,540		$	-	$	56,815		$	64,778
Gross realized gains		67			-		456			394
Gross realized losses		(156	)		-		(156	)		(16	)

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 September 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 Available for Sale				Securities Held to Maturity
	Amortized Cost		Estimated Fair Value		Amortized Cost		Estimated Fair Value
Due in one year or less	$	15,979	$	16,132	$	3,194	$	3,220
Due after one year through five years		119,935		124,331		11,661		12,394
Due after five years through ten years		83,488		86,120		134,637		138,486
Due after ten years		86,606		86,285		15,813		16,495
		306,008		312,868		165,305		170,595
Mortgage-backed securities		2,043,623		2,051,027		1,004,335		999,618
Total	$	2,349,631	$	2,363,895	$	1,169,640	$	1,170,213