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Fair Value (Tables)
 6 Months Ended
Jun. 30, 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 June 30, 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 six months ended June 30, 2020 and the year ended December 31, 2019.

 

 

June 30, 2020

 

 

 

Total

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

U.S. Government agency obligations

 

$

19,898

 

 

$

—

 

 

$

19,898

 

 

$

—

 

Obligations of states and political subdivisions

 

 

11,176

 

 

 

—

 

 

 

11,176

 

 

 

—

 

Mortgage-backed securities

 

 

1,853,079

 

 

 

—

 

 

 

1,853,079

 

 

 

—

 

Securities available for sale

 

 

1,884,153

 

 

 

—

 

 

 

1,884,153

 

 

 

—

 

Loans held for sale

 

 

355,089

 

 

 

—

 

 

 

355,089

 

 

 

—

 

Mortgage servicing rights

 

 

57,811

 

 

 

—

 

 

 

—

 

 

 

57,811

 

Other assets - derivatives

 

 

58,880

 

 

 

843

 

 

 

43,707

 

 

 

14,330

 

Other liabilities - derivatives

 

 

4,994

 

 

 

335

 

 

 

4,659

 

 

 

—

 

 

 

 

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 six months ended June 30, 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)

 

 

(33,979

)

 

 

22,382

 

Additions

 

 

12,396

 

 

 

—

 

Sales

 

 

—

 

 

 

(9,491

)

Balance, June 30, 2020

 

$

57,811

 

 

$

14,330

 

 

 

 

 

 

 

 

 

 

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 June 30, 2020

 

$

(27,158

)

 

$

12,897

 

 

 

 

 

 

 

 

 

 

Balance, January 1, 2019

 

$

95,596

 

 

$

1,187

 

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

 

 

(22,388

)

 

 

3,889

 

Additions

 

 

6,075

 

 

 

—

 

Sales

 

 

—

 

 

 

(2,531

)

Balance, June 30, 2019

 

$

79,283

 

 

$

2,545

 

 

 

 

 

 

 

 

 

 

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 June 30, 2019

 

$

(17,072

)

 

$

678

 

 

(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 June 30, 2020 and December 31, 2019, are as follows ($ in thousands):

 

 

June 30, 2020

 

 

December 31, 2019

 

 

 

Carrying

Value

 

 

Estimated

Fair Value

 

 

Carrying

Value

 

 

Estimated

Fair Value

 

Financial Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Level 2 Inputs:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash and short-term investments

 

$

1,026,640

 

 

$

1,026,640

 

 

$

358,916

 

 

$

358,916

 

Securities held to maturity

 

 

660,048

 

 

 

690,561

 

 

 

738,099

 

 

 

746,202

 

Level 3 Inputs:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net LHFI and PPP loans

 

 

10,480,401

 

 

 

10,500,218

 

 

 

9,251,351

 

 

 

9,235,674

 

Net acquired loans (1)

 

 

—

 

 

 

—

 

 

 

71,786

 

 

 

71,786

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Level 2 Inputs:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deposits

 

 

13,505,473

 

 

 

13,512,248

 

 

 

11,245,557

 

 

 

11,250,071

 

Federal funds purchased and securities sold under

   repurchase agreements

 

 

70,255

 

 

 

70,255

 

 

 

256,020

 

 

 

256,020

 

Other borrowings

 

 

152,860

 

 

 

152,861

 

 

 

85,396

 

 

 

85,374

 

Junior subordinated debt securities

 

 

61,856

 

 

 

45,155

 

 

 

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 June 30, 2020 and December 31, 2019 ($ in thousands):

 

 

 

June 30, 2020

 

 

December 31, 2019

 

Fair value of LHFS

 

$

233,687

 

 

$

169,285

 

LHFS contractual principal outstanding

 

 

221,365

 

 

 

164,420

 

Fair value less unpaid principal

 

$

12,322

 

 

$

4,865