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 September 30, 2018 and December 31, 2017 ($ in thousands):

	Securities Available for Sale									Securities Held to Maturity
September 30, 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	$	33,511	$	126	$	(1,266	)	$	32,371	$	3,725	$	26	$	—		$	3,751
Obligations of states and political subdivisions		57,127		201		(64	)		57,264		42,623		173		(156	)		42,640
Mortgage-backed securities
Residential mortgage pass-through securities
Guaranteed by GNMA		68,844		118		(3,115	)		65,847		12,316		33		(389	)		11,960
Issued by FNMA and FHLMC		713,673		125		(29,324	)		684,474		119,040		3		(4,652	)		114,391
Other residential mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		872,699		86		(32,712	)		840,073		600,635		—		(27,473	)		573,162
Commercial mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		189,248		154		(4,798	)		184,604		165,544		41		(4,172	)		161,413
Total	$	1,935,102	$	810	$	(71,279	)	$	1,864,633	$	943,883	$	276	$	(36,842	)	$	907,317


December 31, 2017
U.S. Government agency obligations	$	45,763	$	322	$	(800	)	$	45,285	$	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 September 30, 2018, the net unamortized, unrealized loss on the transferred securities included in accumulated other comprehensive loss in the accompanying balance sheet totaled approximately $16.6 million ($12.4 million, net of tax).

Temporarily Impaired Securities

The tables below include securities with gross unrealized losses segregated by length of impairment at September 30, 2018 and December 31, 2017 ($ in thousands):

	Less than 12 Months					12 Months or More					Total
September 30, 2018	Estimated Fair Value		Gross Unrealized Losses			Estimated Fair Value		Gross Unrealized Losses			Estimated Fair Value		Gross Unrealized Losses
U.S. Government agency obligations	$	—	$	—		$	26,421	$	(1,266	)	$	26,421	$	(1,266	)
Obligations of states and political subdivisions		29,786		(179	)		3,791		(41	)		33,577		(220	)
Mortgage-backed securities
Residential mortgage pass-through securities
Guaranteed by GNMA		24,843		(677	)		49,000		(2,827	)		73,843		(3,504	)
Issued by FNMA and FHLMC		134,720		(3,928	)		655,161		(30,048	)		789,881		(33,976	)
Other residential mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		531,793		(14,120	)		865,762		(46,065	)		1,397,555		(60,185	)
Commercial mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		168,750		(3,334	)		158,538		(5,636	)		327,288		(8,970	)
Total	$	889,892	$	(22,238	)	$	1,758,673	$	(85,883	)	$	2,648,565	$	(108,121	)


December 31, 2017
U.S. Government agency obligations	$	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 September 30, 2018. There were no other-than-temporary impairments for the nine months ended September 30, 2018 and 2017.

Security Gains and Losses

Gross realized gains or 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	2018		2017			2018		2017
Proceeds from calls and sales of securities	$	—	$	1,273		$	—	$	27,682
Gross realized gains		—		15			—		16
Gross realized (losses)		—		(1	)		—		(1	)

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 $2.092 billion and $1.834 billion at September 30, 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 September 30, 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 September 30, 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	$	25,525	$	25,554	$	170	$	170
Due after one year through five years		37,426		37,661		41,912		41,934
Due after five years through ten years		3,124		3,054		4,266		4,287
Due after ten years		24,563		23,366		—		—
		90,638		89,635		46,348		46,391
Mortgage-backed securities		1,844,464		1,774,998		897,535		860,926
Total	$	1,935,102	$	1,864,633	$	943,883	$	907,317