Note 2 – Securities Available for Sale and Held to Maturity

The following tables are a summary of the amortized cost and estimated fair value of securities available for sale and held to maturity at September 30, 2015 and December 31, 2014 ($ in thousands):

	Securities Available for Sale									Securities Held to Maturity
September 30, 2015	Amortized Cost		Gross Unrealized Gains		Gross Unrealized (Losses)			Estimated Fair Value		Amortized Cost		Gross Unrealized Gains		Gross Unrealized (Losses)			Estimated Fair Value
U.S. Government agency obligations
Issued by U.S. Government agencies	$	70,993	$	716	$	(427	)	$	71,282	$	-	$	-	$	-		$	-
Issued by U.S. Government sponsored agencies		22,774		242		-			23,016		101,578		4,380		-			105,958
Obligations of states and political subdivisions		142,968		4,839		(13	)		147,794		56,661		3,242		-			59,903
Mortgage-backed securities
Residential mortgage pass-through securities
Guaranteed by GNMA		26,269		486		(104	)		26,651		17,783		435		(19	)		18,199
Issued by FNMA and FHLMC		172,710		4,722		(21	)		177,411		10,669		457		-			11,126
Other residential mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		1,611,762		23,413		(4,773	)		1,630,402		808,763		12,196		(315	)		820,644
Commercial mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		272,779		6,920		(90	)		279,609		182,986		4,316		(64	)		187,238
Asset-backed securities and structured financial products		26,295		362		-			26,657		-		-		-			-
Total	$	2,346,550	$	41,700	$	(5,428	)	$	2,382,822	$	1,178,440	$	25,026	$	(398	)	$	1,203,068

December 31, 2014
U.S. Treasury securities	$	100	$	-	$	-		$	100	$	-	$	-	$	-		$	-
U.S. Government agency obligations
Issued by U.S. Government agencies		79,788		694		(826	)		79,656		-		-		-			-
Issued by U.S. Government sponsored agencies		32,725		170		(77	)		32,818		100,971		2,631		-			103,602
Obligations of states and political subdivisions		157,001		5,325		(68	)		162,258		63,505		3,398		-			66,903
Mortgage-backed securities
Residential mortgage pass-through securities
Guaranteed by GNMA		11,897		544		(14	)		12,427		19,115		466		(16	)		19,565
Issued by FNMA and FHLMC		199,599		4,842		-			204,441		11,437		471		-			11,908
Other residential mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		1,655,733		16,664		(10,564	)		1,661,833		834,176		6,440		(1,916	)		838,700
Commercial mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		184,394		4,968		(28	)		189,334		141,481		1,750		(1,063	)		142,168
Asset-backed securities and structured financial products		30,776		924		-			31,700		-		-		-			-
Total	$	2,352,013	$	34,131	$	(11,577	)	$	2,374,567	$	1,170,685	$	15,156	$	(2,995	)	$	1,182,846

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, 2015, the net unamortized, unrealized loss on the transferred securities included in accumulated other comprehensive loss in the accompanying balance sheet totaled approximately $35.6 million ($22.0 million, net of tax).

Temporarily Impaired Securities

The tables below include securities with gross unrealized losses segregated by length of impairment at September 30, 2015 and December 31, 2014 ($ in thousands):

	Less than 12 Months					12 Months or More					Total
September 30, 2015	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	$	9,150	$	(18	)	$	32,228	$	(409	)	$	41,378	$	(427	)
Obligations of states and political subdivisions		1,275		(4	)		2,860		(9	)		4,135		(13	)
Mortgage-backed securities
Residential mortgage pass-through securities
Guaranteed by GNMA		19,671		(123	)		-		-			19,671		(123	)
Issued by FNMA and FHLMC		2,485		(21	)		-		-			2,485		(21	)
Other residential mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		161,853		(544	)		248,585		(4,544	)		410,438		(5,088	)
Commercial mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		11,847		(90	)		11,182		(64	)		23,029		(154	)
Total	$	206,281	$	(800	)	$	294,855	$	(5,026	)	$	501,136	$	(5,826	)

December 31, 2014
U.S. Government agency obligations
Issued by U.S. Government agencies	$	19,220	$	(115	)	$	32,656	$	(711	)	$	51,876	$	(826	)
Issued by U.S. Government sponsored agencies		9,948		(52	)		9,956		(25	)		19,904		(77	)
Obligations of states and political subdivisions		8,431		(22	)		3,800		(46	)		12,231		(68	)
Mortgage-backed securities
Residential mortgage pass-through securities
Guaranteed by GNMA		7,199		(22	)		647		(8	)		7,846		(30	)
Other residential mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		537,033		(2,449	)		395,342		(10,031	)		932,375		(12,480	)
Commercial mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		9,134		(3	)		79,829		(1,088	)		88,963		(1,091	)
Total	$	590,965	$	(2,663	)	$	522,230	$	(11,909	)	$	1,113,195	$	(14,572	)

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, 2015. There were no other-than-temporary impairments for the nine months ended September 30, 2015 and 2014.

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 for the periods presented ($ in thousands):

	Three Months Ended September 30,					Nine Months Ended September 30,
Available for Sale	2015		2014			2015		2014
Proceeds from calls and sales of securities	$	-	$	30,540		$	-	$	56,815
Gross realized gains		-		67			-		456
Gross realized (losses)		-		(156	)		-		(156	)

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, 2015, 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	$	17,392	$	17,525	$	825	$	835
Due after one year through five years		148,869		154,170		9,597		9,954
Due after five years through ten years		23,380		23,794		135,959		142,132
Due after ten years		73,389		73,260		11,858		12,940
		263,030		268,749		158,239		165,861
Mortgage-backed securities		2,083,520		2,114,073		1,020,201		1,037,207
Total	$	2,346,550	$	2,382,822	$	1,178,440	$	1,203,068