Note 3 – 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 March 31, 2017 and December 31, 2016 ($ in thousands):

	Securities Available for Sale									Securities Held to Maturity
March 31, 2017	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	$	53,700	$	376	$	(829	)	$	53,247	$	—	$	—	$	—		$	—
Issued by U.S. Government sponsored agencies		256		18		—			274		3,658		223		—			3,881
Obligations of states and political subdivisions		107,930		2,001		(36	)		109,895		46,273		1,619		(12	)		47,880
Mortgage-backed securities
Residential mortgage pass-through securities
Guaranteed by GNMA		43,281		286		(900	)		42,667		14,977		261		(66	)		15,172
Issued by FNMA and FHLMC		738,408		1,877		(7,071	)		733,214		118,733		264		(936	)		118,061
Other residential mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		1,205,842		5,353		(8,476	)		1,202,719		771,296		2,961		(6,271	)		767,986
Commercial mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		223,338		1,197		(997	)		223,538		201,130		1,420		(1,115	)		201,435
Total	$	2,372,755	$	11,108	$	(18,309	)	$	2,365,554	$	1,156,067	$	6,748	$	(8,400	)	$	1,154,415

December 31, 2016
U.S. Government agency obligations
Issued by U.S. Government agencies	$	56,272	$	416	$	(925	)	$	55,763	$	—	$	—	$	—		$	—
Issued by U.S. Government sponsored agencies		257		19		—			276		3,647		355		—			4,002
Obligations of states and political subdivisions		113,541		1,945		(113	)		115,373		46,303		1,476		(27	)		47,752
Mortgage-backed securities
Residential mortgage pass-through securities
Guaranteed by GNMA		43,222		340		(776	)		42,786		15,478		280		(52	)		15,706
Issued by FNMA and FHLMC		638,809		1,773		(9,498	)		631,084		81,299		223		(1,084	)		80,438
Other residential mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		1,271,198		5,865		(9,112	)		1,267,951		803,474		3,208		(6,519	)		800,163
Commercial mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		242,869		1,766		(1,186	)		243,449		208,442		1,758		(1,215	)		208,985
Total	$	2,366,168	$	12,124	$	(21,610	)	$	2,356,682	$	1,158,643	$	7,300	$	(8,897	)	$	1,157,046

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 March 31, 2017, the net unamortized, unrealized loss on the transferred securities included in accumulated other comprehensive loss in the accompanying balance sheet totaled approximately $23.0 million ($14.2 million, net of tax).

Temporarily Impaired Securities

The tables below include securities with gross unrealized losses segregated by length of impairment at March 31, 2017 and December 31, 2016 ($ in thousands):

	Less than 12 Months					12 Months or More					Total
March 31, 2017	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	$	6,941	$	(102	)	$	34,020	$	(727	)	$	40,961	$	(829	)
Obligations of states and political subdivisions		9,551		(44	)		652		(4	)		10,203		(48	)
Mortgage-backed securities
Residential mortgage pass-through securities
Guaranteed by GNMA		42,618		(964	)		212		(2	)		42,830		(966	)
Issued by FNMA and FHLMC		598,901		(8,006	)		46		(1	)		598,947		(8,007	)
Other residential mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		1,067,305		(11,926	)		72,596		(2,821	)		1,139,901		(14,747	)
Commercial mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		185,475		(2,111	)		1,081		(1	)		186,556		(2,112	)
Total	$	1,910,791	$	(23,153	)	$	108,607	$	(3,556	)	$	2,019,398	$	(26,709	)

December 31, 2016
U.S. Government agency obligations
Issued by U.S. Government agencies	$	9,420	$	(142	)	$	33,248	$	(783	)	$	42,668	$	(925	)
Obligations of states and political subdivisions		20,539		(135	)		654		(5	)		21,193		(140	)
Mortgage-backed securities
Residential mortgage pass-through securities
Guaranteed by GNMA		43,615		(822	)		222		(6	)		43,837		(828	)
Issued by FNMA and FHLMC		588,352		(10,582	)		—		—			588,352		(10,582	)
Other residential mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		1,127,501		(12,722	)		76,196		(2,909	)		1,203,697		(15,631	)
Commercial mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		244,050		(2,311	)		4,655		(90	)		248,705		(2,401	)
Total	$	2,033,477	$	(26,714	)	$	114,975	$	(3,793	)	$	2,148,452	$	(30,507	)

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 March 31, 2017. There were no other-than-temporary impairments for the three months ended March 31, 2017 and 2016.

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 March 31,
Available for Sale	2017		2016
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 $1.990 billion and $1.999 billion at March 31, 2017 and December 31, 2016, respectively, were pledged to collateralize public deposits and securities sold under repurchase agreements and for other purposes as permitted by law. At both March 31, 2017 and December 31, 2016, 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 March 31, 2017, 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	$	31,880	$	32,032	$	145	$	145
Due after one year through five years		85,618		87,786		36,380		37,765
Due after five years through ten years		6,881		6,880		13,406		13,851
Due after ten years		37,507		36,718		—		—
		161,886		163,416		49,931		51,761
Mortgage-backed securities		2,210,869		2,202,138		1,106,136		1,102,654
Total	$	2,372,755	$	2,365,554	$	1,156,067	$	1,154,415