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, 2016 and December 31, 2015 ($ in thousands):

	Securities Available for Sale									Securities Held to Maturity
September 30, 2016	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	$	58,259	$	482	$	(507	)	$	58,234	$	—	$	—	$	—		$	—
Issued by U.S. Government sponsored agencies		257		26		—			283		3,636		337		—			3,973
Obligations of states and political subdivisions		121,485		3,167		(11	)		124,641		52,937		2,615		(4	)		55,548
Mortgage-backed securities
Residential mortgage pass-through securities
Guaranteed by GNMA		36,130		712		(54	)		36,788		16,183		666		—			16,849
Issued by FNMA and FHLMC		554,916		7,239		(166	)		561,989		39,989		810		—			40,799
Other residential mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		1,353,984		21,507		(1,092	)		1,374,399		831,662		18,690		(60	)		850,292
Commercial mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		247,689		6,945		(21	)		254,613		198,827		6,921		(108	)		205,640
Total	$	2,372,720	$	40,078	$	(1,851	)	$	2,410,947	$	1,143,234	$	30,039	$	(172	)	$	1,173,101

December 31, 2015
U.S. Government agency obligations
Issued by U.S. Government agencies	$	68,314	$	555	$	(734	)	$	68,135	$	—	$	—	$	—		$	—
Issued by U.S. Government sponsored agencies		258		23		—			281		101,782		3,282		—			105,064
Obligations of states and political subdivisions		134,719		3,922		(32	)		138,609		55,892		2,918		—			58,810
Mortgage-backed securities
Residential mortgage pass-through securities
Guaranteed by GNMA		25,602		399		(189	)		25,812		17,363		342		(49	)		17,656
Issued by FNMA and FHLMC		222,899		2,956		(313	)		225,542		10,368		311		—			10,679
Other residential mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		1,584,338		9,541		(11,019	)		1,582,860		820,012		4,951		(4,742	)		820,221
Commercial mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		278,429		2,689		(1,892	)		279,226		182,401		1,700		(1,164	)		182,937
Asset-backed securities and structured financial products		25,003		79		(125	)		24,957		—		—		—			—
Total	$	2,339,562	$	20,164	$	(14,304	)	$	2,345,422	$	1,187,818	$	13,504	$	(5,955	)	$	1,195,367

During 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, 2016, the net unamortized, unrealized loss on the transferred securities included in accumulated other comprehensive loss in the accompanying balance sheet totaled approximately $25.7 million ($15.8 million, net of tax).

Temporarily Impaired Securities

The tables below include securities with gross unrealized losses segregated by length of impairment at September 30, 2016 and December 31, 2015 ($ in thousands):

	Less than 12 Months					12 Months or More					Total
September 30, 2016	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	$	10,548	$	(86	)	$	30,728	$	(421	)	$	41,276	$	(507	)
Obligations of states and political subdivisions		7,495		(13	)		969		(2	)		8,464		(15	)
Mortgage-backed securities
Residential mortgage pass-through securities
Guaranteed by GNMA		9,072		(50	)		249		(4	)		9,321		(54	)
Issued by FNMA and FHLMC		100,191		(166	)		—		—			100,191		(166	)
Other residential mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		72,256		(154	)		98,118		(998	)		170,374		(1,152	)
Commercial mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		10,512		(21	)		5,815		(108	)		16,327		(129	)
Total	$	210,074	$	(490	)	$	135,879	$	(1,533	)	$	345,953	$	(2,023	)

December 31, 2015
U.S. Government agency obligations
Issued by U.S. Government agencies	$	18,924	$	(81	)	$	30,591	$	(653	)	$	49,515	$	(734	)
Obligations of states and political subdivisions		4,289		(12	)		2,842		(20	)		7,131		(32	)
Mortgage-backed securities
Residential mortgage pass-through securities
Guaranteed by GNMA		20,300		(222	)		1,863		(16	)		22,163		(238	)
Issued by FNMA and FHLMC		82,177		(313	)		—		—			82,177		(313	)
Other residential mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		1,135,533		(8,832	)		238,152		(6,929	)		1,373,685		(15,761	)
Commercial mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		238,668		(2,902	)		11,090		(154	)		249,758		(3,056	)
Asset-backed securities and structured financial products		6,778		(125	)		—		—			6,778		(125	)
Total	$	1,506,669	$	(12,487	)	$	284,538	$	(7,772	)	$	1,791,207	$	(20,259	)

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, 2016. There were no other-than-temporary impairments for the three and nine months ended September 30, 2016 and 2015.

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	2016		2015		2016			2015
Proceeds from calls and sales of securities	$	—	$	—	$	24,693		$	—
Gross realized gains		—		—		32			—
Gross realized (losses)		—		—		(342	)		—

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

Securities Pledged

Securities with a carrying value of $1.826 billion and $2.157 billion at September 30, 2016 and December 31, 2015, respectively, were pledged to collateralize public deposits and securities sold under repurchase agreements and for other purposes as permitted by law. At both September 30, 2016 and December 31, 2015, none of these securities were pledged under the Federal Reserve Discount Window program to provide additional contingency funding capacity.

Contractual Maturities

The amortized cost and estimated fair value of securities available for sale and held to maturity at September 30, 2016, 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	$	32,173	$	32,377	$	5,845	$	5,845
Due after one year through five years		99,840		103,180		27,025		28,099
Due after five years through ten years		8,263		8,332		23,703		25,577
Due after ten years		39,725		39,269		—		—
		180,001		183,158		56,573		59,521
Mortgage-backed securities		2,192,719		2,227,789		1,086,661		1,113,580
Total	$	2,372,720	$	2,410,947	$	1,143,234	$	1,173,101