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, 2018 and December 31, 2017 ($ in thousands):

	Securities Available for Sale									Securities Held to Maturity
March 31, 2018	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	$	40,838	$	234	$	(954	)	$	40,118	$	—	$	—	$	—		$	—
Issued by U.S. Government sponsored agencies		254		9		—			263		3,703		73		—			3,776
Obligations of states and political subdivisions		74,547		548		(82	)		75,013		46,011		706		(87	)		46,630
Mortgage-backed securities
Residential mortgage pass-through securities
Guaranteed by GNMA		64,707		157		(2,407	)		62,457		12,974		60		(243	)		12,791
Issued by FNMA and FHLMC		789,713		309		(22,346	)		767,676		128,517		60		(3,398	)		125,179
Other residential mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		977,745		287		(23,495	)		954,537		653,325		154		(20,130	)		633,349
Commercial mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		201,227		265		(4,059	)		197,433		179,445		171		(3,298	)		176,318
Total	$	2,149,031	$	1,809	$	(53,343	)	$	2,097,497	$	1,023,975	$	1,224	$	(27,156	)	$	998,043

December 31, 2017
U.S. Government agency obligations
Issued by U.S. Government agencies	$	45,508	$	310	$	(800	)	$	45,018	$	—	$	—	$	—		$	—
Issued by U.S. Government sponsored agencies		255		12		—			267		3,692		182		—			3,874
Obligations of states and political subdivisions		78,433		850		(54	)		79,229		46,039		1,044		(59	)		47,024
Mortgage-backed securities
Residential mortgage pass-through securities
Guaranteed by GNMA		66,634		215		(1,103	)		65,746		13,539		207		(73	)		13,673
Issued by FNMA and FHLMC		824,872		827		(11,249	)		814,450		133,975		210		(1,559	)		132,626
Other residential mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		1,028,176		1,808		(13,194	)		1,016,790		678,926		1,209		(11,065	)		669,070
Commercial mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		218,252		426		(1,543	)		217,135		180,315		1,102		(1,437	)		179,980
Total	$	2,262,130	$	4,448	$	(27,943	)	$	2,238,635	$	1,056,486	$	3,954	$	(14,193	)	$	1,046,247

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, 2018, the net unamortized, unrealized loss on the transferred securities included in accumulated other comprehensive loss in the accompanying balance sheet totaled approximately $18.5 million ($13.9 million, net of tax).

Temporarily Impaired Securities

The tables below include securities with gross unrealized losses segregated by length of impairment at March 31, 2018 and December 31, 2017 ($ in thousands):

	Less than 12 Months					12 Months or More					Total
March 31, 2018	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	$	5,122	$	(160	)	$	26,702	$	(794	)	$	31,824	$	(954	)
Obligations of states and political subdivisions		18,433		(132	)		3,859		(37	)		22,292		(169	)
Mortgage-backed securities
Residential mortgage pass-through securities
Guaranteed by GNMA		36,439		(1,022	)		31,717		(1,628	)		68,156		(2,650	)
Issued by FNMA and FHLMC		510,587		(12,288	)		347,857		(13,456	)		858,444		(25,744	)
Other residential mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		1,021,035		(20,203	)		506,338		(23,422	)		1,527,373		(43,625	)
Commercial mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		275,024		(5,352	)		54,312		(2,005	)		329,336		(7,357	)
Total	$	1,866,640	$	(39,157	)	$	970,785	$	(41,342	)	$	2,837,425	$	(80,499	)

December 31, 2017
U.S. Government agency obligations
Issued by U.S. Government agencies	$	5,214	$	(113	)	$	29,432	$	(687	)	$	34,646	$	(800	)
Obligations of states and political subdivisions		19,345		(80	)		3,874		(33	)		23,219		(113	)
Mortgage-backed securities
Residential mortgage pass-through securities
Guaranteed by GNMA		37,304		(351	)		29,446		(825	)		66,750		(1,176	)
Issued by FNMA and FHLMC		506,410		(4,219	)		369,060		(8,589	)		875,470		(12,808	)
Other residential mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		755,013		(7,668	)		534,955		(16,591	)		1,289,968		(24,259	)
Commercial mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		230,898		(1,719	)		55,288		(1,261	)		286,186		(2,980	)
Total	$	1,554,184	$	(14,150	)	$	1,022,055	$	(27,986	)	$	2,576,239	$	(42,136	)

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, 2018. There were no other-than-temporary impairments for the three months ended March 31, 2018 and 2017.

Security Gains and Losses

There were no gross realized gains or losses that resulted from calls and dispositions of securities for the three months ended March 31, 2018 and 2017.

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

Securities Pledged

Securities with a carrying value of $2.211 billion and $1.834 billion at March 31, 2018 and December 31, 2017, 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, 2018 and December 31, 2017, 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, 2018, 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	$	28,222	$	28,280	$	155	$	155
Due after one year through five years		54,638		55,290		40,569		41,118
Due after five years through ten years		3,786		3,745		8,990		9,133
Due after ten years		28,993		28,079		—		—
		115,639		115,394		49,714		50,406
Mortgage-backed securities		2,033,392		1,982,103		974,261		947,637
Total	$	2,149,031	$	2,097,497	$	1,023,975	$	998,043