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Derivative Financial Instruments (Tables)
 9 Months Ended
Sep. 30, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Fair Value of Derivative Instruments

The following tables disclose the fair value of derivative instruments in Trustmark’s consolidated balance sheets at September 30, 2024 and December 31, 2023 as well as the effect of these derivative instruments on Trustmark’s results of operations for the periods presented ($ in thousands):

 

 

September 30, 2024

 

 

December 31, 2023

 

Derivatives in hedging relationships:

 

 

 

 

 

 

Interest rate contracts:

 

 

 

 

 

 

Interest rate swaps included in other assets (1)

 

$

3,766

 

 

$

1,182

 

Interest rate floors included in other assets

 

 

3,181

 

 

 

1,689

 

Interest rate swaps included in other liabilities (1)

 

 

50

 

 

 

267

 

 

 

 

 

 

 

 

Derivatives not designated as hedging instruments:

 

 

 

 

 

 

Interest rate contracts:

 

 

 

 

 

 

Exchange traded purchased options included in other assets

 

$

33

 

 

$

180

 

OTC written options (rate locks) included in other assets

 

 

704

 

 

 

845

 

Futures contracts included in other assets

 

 

269

 

 

 

7,505

 

Interest rate swaps included in other assets (1)

 

 

12,536

 

 

 

11,910

 

Credit risk participation agreements included in other assets

 

 

13

 

 

 

5

 

Futures contracts included in other liabilities

 

 

16

 

 

 

—

 

Forward contracts included in other liabilities

 

 

144

 

 

 

994

 

Exchange traded written options included in other liabilities

 

 

320

 

 

 

21

 

Interest rate swaps included in other liabilities (1)

 

 

27,685

 

 

 

34,255

 

Credit risk participation agreements included in other liabilities

 

 

91

 

 

 

63

 

 

(1)
In accordance with GAAP, the variation margin collateral payments made or received for interest rate swaps that are centrally cleared are legally characterized as settled. As a result, the centrally cleared interest rate swaps included in other assets and other liabilities are presented on a net basis in the accompanying consolidated balance sheets.
Effects of Derivative Instruments on Statements of Operations

 

 

Three Months Ended September 30,

 

 

Nine Months Ended September 30,

 

 

 

2024

 

 

2023

 

 

2024

 

 

2023

 

Derivatives in hedging relationships:

 

 

 

 

 

 

 

 

 

 

 

 

Amount of gain (loss) reclassified from accumulated other
comprehensive income (loss) and recognized in
interest and fees on LHFS & LHFI

 

$

(4,831

)

 

$

(4,627

)

 

$

(14,520

)

 

$

(11,555

)

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivatives not designated as hedging instruments:

 

 

 

 

 

 

 

 

 

 

 

 

Amount of gain (loss) recognized in mortgage banking, net

 

$

7,655

 

 

$

(7,634

)

 

$

(478

)

 

$

(11,526

)

Amount of gain (loss) recognized in bank card and other fees

 

 

(93

)

 

 

381

 

 

 

(98

)

 

 

571

 
Schedule of Amount Included in Other Comprehensive Income for Derivative Instruments Designated as Hedges of Cash Flows

The following table discloses the amount included in other comprehensive income (loss), net of tax, for derivative instruments designated as cash flow hedges for the periods presented ($ in thousands):

 

 

 

Three Months Ended September 30,

 

 

Nine Months Ended September 30,

 

 

 

2024

 

 

2023

 

 

2024

 

 

2023

 

Derivatives in cash flow hedging relationship

 

 

 

 

 

 

 

 

 

 

 

 

Amount of gain (loss) recognized in other comprehensive
   income (loss), net of tax

 

$

14,120

 

 

$

(8,504

)

 

$

(1,505

)

 

$

(18,427

)

 
Information about Financial Instruments that are Eligible for Offset in the Consolidated Balance Sheets Information about financial instruments that are eligible for offset in the consolidated balance sheets as of September 30, 2024 and December 31, 2023 is presented in the following tables ($ in thousands):

 

Offsetting of Derivative Assets

 

 

As of September 30, 2024

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross Amounts Not Offset in the
Statement of Financial Position

 

 

 

 

 

 

Gross
Amounts of
Recognized
Assets

 

 

Gross Amounts
Offset in the
Statement of
Financial Position

 

 

Net Amounts of
Assets presented in
the Statement of
Financial Position

 

 

Financial
Instruments

 

 

Cash Collateral
Received

 

 

Net Amount

 

Derivatives

 

$

19,483

 

 

$

—

 

 

$

19,483

 

 

$

(7,121

)

 

$

—

 

 

$

12,362

 

 

Offsetting of Derivative Liabilities

 

 

As of September 30, 2024

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross Amounts Not Offset in the
Statement of Financial Position

 

 

 

 

 

 

Gross
Amounts of
Recognized
Liabilities

 

 

Gross Amounts
Offset in the
Statement of
Financial Position

 

 

Net Amounts of
Liabilities presented
in the Statement of
Financial Position

 

 

Financial
Instruments

 

 

Cash Collateral
Posted

 

 

Net Amount

 

Derivatives

 

$

27,735

 

 

$

—

 

 

$

27,735

 

 

$

(7,121

)

 

$

(2,850

)

 

$

17,764

 

 

Offsetting of Derivative Assets

 

 

As of December 31, 2023

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross Amounts Not Offset in the
Statement of Financial Position

 

 

 

 

 

 

Gross
Amounts of
Recognized
Assets

 

 

Gross Amounts
Offset in the
Statement of
Financial Position

 

 

Net Amounts of
Assets presented in
the Statement of
Financial Position

 

 

Financial
Instruments

 

 

Cash Collateral
Received

 

 

Net Amount

 

Derivatives

 

$

14,781

 

 

$

—

 

 

$

14,781

 

 

$

(4,339

)

 

$

—

 

 

$

10,442

 

 

Offsetting of Derivative Liabilities

 

 

As of December 31, 2023

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross Amounts Not Offset in the
Statement of Financial Position

 

 

 

 

 

 

Gross
Amounts of
Recognized
Liabilities

 

 

Gross Amounts
Offset in the
Statement of
Financial Position

 

 

Net Amounts of
Liabilities presented
in the Statement of
Financial Position

 

 

Financial
Instruments

 

 

Cash Collateral
Posted

 

 

Net Amount

 

Derivatives

 

$

34,522

 

 

$

—

 

 

$

34,522

 

 

$

(4,339

)

 

$

(2,040

)

 

$

28,143