Securities Available for Sale and Held to Maturity (Tables)

3 Months Ended

Mar. 31, 2022

Investments, Debt and Equity Securities [Abstract]

Amortized Cost and Estimated Fair Value of Available for Sale and Held to Maturity Securities

The following tables are a summary of the amortized cost and estimated fair value of securities available for sale and held to maturity at March 31, 2022 and December 31, 2021 ($ in thousands):

	Securities Available for Sale									Securities Held to Maturity
March 31, 2022	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value		Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
U.S. Treasury securities	$	384,134	$	—	$	(22,312	)	$	361,822	$	—	$	—	$	—		$	—
U.S. Government agency    obligations		13,110		1		(488	)		12,623		—		—		—			—
Obligations of states and political    subdivisions		5,119		240		—			5,359		7,324		29		(4	)		7,349
Mortgage-backed securities
Residential mortgage pass-    through securities
Guaranteed by GNMA		36,202		96		(1,181	)		35,117		4,831		35		(69	)		4,797
Issued by FNMA and    FHLMC		2,156,905		141		(118,715	)		2,038,331		192,373		33		(5,494	)		186,912
Other residential mortgage-    backed securities
Issued or guaranteed by    FNMA, FHLMC or    GNMA		168,065		37		(3,596	)		164,506		224,012		366		(3,149	)		221,229
Commercial mortgage-backed    securities
Issued or guaranteed by    FNMA, FHLMC or    GNMA		427,794		—		(27,306	)		400,488		179,058		282		(5,423	)		173,917
Total	$	3,191,329	$	515	$	(173,598	)	$	3,018,246	$	607,598	$	745	$	(14,139	)	$	594,204

	Securities Available for Sale									Securities Held to Maturity
December 31, 2021	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value		Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
U.S. Treasury Securities	$	349,562	$	16	$	(4,938	)	$	344,640	$	—	$	—	$	—		$	—
U.S. Government agency    obligations		14,044		20		(337	)		13,727		—		—		—			—
Obligations of states and political    subdivisions		5,134		580		—			5,714		7,328		64		(3	)		7,389
Mortgage-backed securities
Residential mortgage pass-    through securities
Guaranteed by GNMA		38,942		665		(34	)		39,573		5,005		187		(3	)		5,189
Issued by FNMA and    FHLMC		2,230,498		8,945		(21,014	)		2,218,429		43,444		962		—			44,406
Other residential mortgage-    backed securities
Issued or guaranteed by    FNMA, FHLMC or    GNMA		193,908		2,879		(97	)		196,690		241,934		9,015		(31	)		250,918
Commercial mortgage-backed    securities
Issued or guaranteed by    FNMA, FHLMC or    GNMA		424,201		404		(4,501	)		420,104		44,826		783		—			45,609
Total	$	3,256,289	$	13,509	$	(30,921	)	$	3,238,877	$	342,537	$	11,011	$	(37	)	$	353,511

Securities Held to Maturity by Credit Rating, as Determined by Moody's

The following table presents the amortized cost of Trustmark’s securities held to maturity by credit rating, as determined by Moody’s, at March 31, 2022 and December 31, 2021 ($ in thousands):

	March 31, 2022		December 31, 2021
Aaa	$	600,274	$	335,208
Aa1 to Aa3		5,005		5,007
Not Rated (1)		2,319		2,322
Total	$	607,598	$	342,537

(1) Not rated securities primarily consist of Mississippi municipal general obligations.

Securities with Gross Unrealized Losses, Segregated by Length of Impairment

The tables below include securities with gross unrealized losses for which an allowance for credit losses has not been recorded and segregated by length of impairment at March 31, 2022 and December 31, 2021 ($ in thousands):

	Less than 12 Months					12 Months or More					Total
March 31, 2022	Estimated Fair Value		Gross Unrealized Losses			Estimated Fair Value		Gross Unrealized Losses			Estimated Fair Value		Gross Unrealized Losses
U.S. Treasury securities	$	361,822	$	(22,312	)	$	—	$	—		$	361,822	$	(22,312	)
U.S. Government agency obligations		3,501		(172	)		8,252		(316	)		11,753		(488	)
Obligations of states and political subdivisions		—		—			3,669		(4	)		3,669		(4	)
Mortgage-backed securities
Residential mortgage pass-through    securities
Guaranteed by GNMA		35,599		(1,249	)		57		(1	)		35,656		(1,250	)
Issued by FNMA and FHLMC		1,644,138		(82,266	)		563,850		(41,943	)		2,207,988		(124,209	)
Other residential mortgage-backed    securities
Issued or guaranteed by FNMA,    FHLMC or GNMA		313,741		(6,727	)		1,397		(18	)		315,138		(6,745	)
Commercial mortgage-backed securities
Issued or guaranteed by FNMA,    FHLMC or GNMA		487,039		(30,502	)		24,992		(2,227	)		512,031		(32,729	)
Total	$	2,845,840	$	(143,228	)	$	602,217	$	(44,509	)	$	3,448,057	$	(187,737	)
December 31, 2021
U.S. Treasury Securities	$	315,123	$	(4,938	)	$	—	$	—		$	315,123	$	(4,938	)
U.S. Government agency obligations		1,312		(5	)		8,619		(332	)		9,931		(337	)
Obligations of states and political subdivisions		3,006		(1	)		667		(2	)		3,673		(3	)
Mortgage-backed securities
Residential mortgage pass-through    securities
Guaranteed by GNMA		6,040		(37	)		—		—			6,040		(37	)
Issued by FNMA and FHLMC		1,734,921		(19,980	)		55,303		(1,034	)		1,790,224		(21,014	)
Other residential mortgage-backed    securities
Issued or guaranteed by FNMA,    FHLMC or GNMA		19,038		(99	)		2,647		(29	)		21,685		(128	)
Commercial mortgage-backed securities
Issued or guaranteed by FNMA,    FHLMC or GNMA		344,025		(4,492	)		639		(9	)		344,664		(4,501	)
Total	$	2,423,465	$	(29,552	)	$	67,875	$	(1,406	)	$	2,491,340	$	(30,958	)

Contractual Maturities of Available for Sale and Held to Maturity Securities

The amortized cost and estimated fair value of securities available for sale and held to maturity at March 31, 2022, 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	$	1,243	$	1,242	$	2,807	$	2,815
Due after one year through five years		277,977		263,670		4,517		4,534
Due after five years through ten years		112,990		105,167		—		—
Due after ten years		10,153		9,725		—		—
		402,363		379,804		7,324		7,349
Mortgage-backed securities		2,788,966		2,638,442		600,274		586,855
Total	$	3,191,329	$	3,018,246	$	607,598	$	594,204