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Fair Value (Tables)
 3 Months Ended
Mar. 31, 2020
Fair Value Disclosures [Abstract]  
Financial Assets and Liabilities Measured at Fair Value Recurring Basis

The following tables summarize financial assets and financial liabilities measured at fair value on a recurring basis as of March 31, 2020 and December 31, 2019, segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value ($ in thousands).  There were no transfers between fair value levels for the three months ended March 31, 2020 and the year ended December 31, 2019.

 

 

March 31, 2020

 

 

 

Total

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

U.S. Government agency obligations

 

$

21,190

 

 

$

—

 

 

$

21,190

 

 

$

—

 

Obligations of states and political subdivisions

 

 

23,572

 

 

 

—

 

 

 

23,572

 

 

 

—

 

Mortgage-backed securities

 

 

1,789,017

 

 

 

—

 

 

 

1,789,017

 

 

 

—

 

Securities available for sale

 

 

1,833,779

 

 

 

—

 

 

 

1,833,779

 

 

 

—

 

Loans held for sale

 

 

325,389

 

 

 

—

 

 

 

325,389

 

 

 

—

 

Mortgage servicing rights

 

 

56,437

 

 

 

—

 

 

 

—

 

 

 

56,437

 

Other assets - derivatives

 

 

72,664

 

 

 

21,575

 

 

 

41,263

 

 

 

9,826

 

Other liabilities - derivatives

 

 

12,624

 

 

 

221

 

 

 

12,403

 

 

 

—

 

 

 

 

December 31, 2019

 

 

 

Total

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

U.S. Government agency obligations

 

$

22,327

 

 

$

—

 

 

$

22,327

 

 

$

—

 

Obligations of states and political subdivisions

 

 

25,465

 

 

 

—

 

 

 

25,465

 

 

 

—

 

Mortgage-backed securities

 

 

1,554,612

 

 

 

—

 

 

 

1,554,612

 

 

 

—

 

Securities available for sale

 

 

1,602,404

 

 

 

—

 

 

 

1,602,404

 

 

 

—

 

Loans held for sale

 

 

226,347

 

 

 

—

 

 

 

226,347

 

 

 

—

 

Mortgage servicing rights

 

 

79,394

 

 

 

—

 

 

 

—

 

 

 

79,394

 

Other assets - derivatives

 

 

17,956

 

 

 

244

 

 

 

16,273

 

 

 

1,439

 

Other liabilities - derivatives

 

 

6,063

 

 

 

4,414

 

 

 

1,649

 

 

 

—

 
Changes in Level 3 Assets Measured at Fair Value on a Recurring Basis

The changes in Level 3 assets measured at fair value on a recurring basis for the three months ended March 31, 2020 and 2019 are summarized as follows ($ in thousands):

 

 

MSR

 

 

Other Assets -

Derivatives

 

Balance, January 1, 2020

 

$

79,394

 

 

$

1,439

 

Total net (loss) gain included in Mortgage banking, net (1)

 

 

(26,606

)

 

 

9,606

 

Additions

 

 

3,649

 

 

 

—

 

Sales

 

 

—

 

 

 

(1,219

)

Balance, March 31, 2020

 

$

56,437

 

 

$

9,826

 

 

 

 

 

 

 

 

 

 

The amount of total gains (losses) for the period included in earnings

   that are attributable to the change in unrealized gains or

   losses still held at March 31, 2020

 

$

(23,999

)

 

$

4,428

 

 

 

 

 

 

 

 

 

 

Balance, January 1, 2019

 

$

95,596

 

 

$

1,187

 

Total net (loss) gain included in Mortgage banking, net (1)

 

 

(11,261

)

 

 

1,574

 

Additions

 

 

2,507

 

 

 

—

 

Sales

 

 

—

 

 

 

(996

)

Balance, March 31, 2019

 

$

86,842

 

 

$

1,765

 

 

 

 

 

 

 

 

 

 

The amount of total gains (losses) for the period included in

   earnings that are attributable to the change in unrealized

   gains or losses still held at March 31, 2019

 

$

(8,863

)

 

$

382

 

 

(1)

Total net (loss) gain included in Mortgage banking, net relating to the MSR includes changes in fair value due to market changes and due to run-off.
Carrying Amounts and Estimated Fair Values of Financial Instruments

The carrying amounts and estimated fair values of financial instruments at March 31, 2020 and December 31, 2019, are as follows ($ in thousands):

 

 

March 31, 2020

 

 

December 31, 2019

 

 

 

Carrying

Value

 

 

Estimated

Fair Value

 

 

Carrying

Value

 

 

Estimated

Fair Value

 

Financial Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Level 2 Inputs:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash and short-term investments

 

$

406,341

 

 

$

406,341

 

 

$

358,916

 

 

$

358,916

 

Securities held to maturity

 

 

704,276

 

 

 

731,441

 

 

 

738,099

 

 

 

746,202

 

Level 3 Inputs:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net LHFI

 

 

9,467,356

 

 

 

9,465,548

 

 

 

9,251,351

 

 

 

9,235,674

 

Net acquired loans (1)

 

 

—

 

 

 

—

 

 

 

71,786

 

 

 

71,786

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Level 2 Inputs:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deposits

 

 

11,575,764

 

 

 

11,584,178

 

 

 

11,245,557

 

 

 

11,250,071

 

Federal funds purchased and securities sold under

   repurchase agreements

 

 

421,821

 

 

 

421,821

 

 

 

256,020

 

 

 

256,020

 

Other borrowings

 

 

84,230

 

 

 

84,227

 

 

 

85,396

 

 

 

85,374

 

Junior subordinated debt securities

 

 

61,856

 

 

 

46,392

 

 

 

61,856

 

 

 

50,722

 

(1)

Upon adoption of FASB ASC Topic 326 at January 1, 2020, Trustmark elected to account for its existing acquired loans as purchased credit deteriorated loans included within the LHFI portfolio.  See Note 4 – Acquired Loans for additional details.
Fair Value and the Contractual Principal Outstanding of the LHFS

The following table provides information about the fair value and the contractual principal outstanding of LHFS accounted for under the fair value option as of March 31, 2020 and December 31, 2019 ($ in thousands):

 

 

 

March 31, 2020

 

 

December 31, 2019

 

Fair value of LHFS

 

$

268,891

 

 

$

169,285

 

LHFS contractual principal outstanding

 

 

256,314

 

 

 

164,420

 

Fair value less unpaid principal

 

$

12,577

 

 

$

4,865