Fair Value (Tables)

9 Months Ended

Sep. 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 September 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 nine months ended September 30, 2020 and the year ended December 31, 2019.

	September 30, 2020
	Total		Level 1		Level 2		Level 3
U.S. Government agency obligations	$	19,011	$	—	$	19,011	$	—
Obligations of states and political subdivisions		8,315		—		8,315		—
Mortgage-backed securities		1,895,402		—		1,895,402		—
Securities available for sale		1,922,728		—		1,922,728		—
Loans held for sale		485,103		—		485,103		—
Mortgage servicing rights		61,613		—		—		61,613
Other assets - derivatives		54,960		644		42,103		12,213
Other liabilities - derivatives		3,353		512		2,841		—

	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 nine months ended September 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)		(38,509	)		32,833
Additions		20,728			—
Sales		—			(22,059	)
Balance, September 30, 2020	$	61,613		$	12,213
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 September 30, 2020	$	(27,098	)	$	19,930
Balance, January 1, 2019	$	95,596		$	1,187
Total net (loss) gain included in Mortgage banking, net (1)		(34,011	)		5,741
Additions		11,431			—
Sales		—			(4,712	)
Balance, September 30, 2019	$	73,016		$	2,216
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 September 30, 2019	$	(25,126	)	$	924

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

	September 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	$	564,638	$	564,638	$	358,916	$	358,916
Securities held to maturity		611,280		639,665		738,099		746,202
Level 3 Inputs:
Net LHFI and PPP loans		10,669,988		10,680,458		9,251,351		9,235,674
Net acquired loans (1)		—		—		71,786		71,786
Financial Liabilities:
Level 2 Inputs:
Deposits		13,222,413		13,227,707		11,245,557		11,250,071
Federal funds purchased and securities sold under    repurchase agreements		153,834		153,834		256,020		256,020
Other borrowings		178,599		178,600		85,396		85,374
Junior subordinated debt securities		61,856		45,773		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 September 30, 2020 and December 31, 2019 ($ in thousands):

	September 30, 2020		December 31, 2019
Fair value of LHFS	$	337,752	$	169,285
LHFS contractual principal outstanding		321,690		164,420
Fair value less unpaid principal	$	16,062	$	4,865