Securities Available for Sale and Held to Maturity (Tables)

9 Months Ended

Sep. 30, 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 September 30, 2022 and December 31, 2021 ($ in thousands):

	Securities Available for Sale									Securities Held to Maturity
September 30, 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	$	458,475	$	—	$	(42,197	)	$	416,278	$	—	$	—	$	—		$	—
U.S. Government agency    obligations		9,681		—		(565	)		9,116		—		—		—			—
Obligations of states and political    subdivisions		4,836		—		(73	)		4,763		4,512		3		(8	)		4,507
Mortgage-backed securities
Residential mortgage pass-    through securities
Guaranteed by GNMA		32,067		8		(3,911	)		28,164		4,527		—		(467	)		4,060
Issued by FNMA and    FHLMC		1,992,351		—		(274,294	)		1,718,057		179,375		—		(19,845	)		159,530
Other residential mortgage-    backed securities
Issued or guaranteed by    FNMA, FHLMC or    GNMA		134,630		1		(8,493	)		126,138		197,923		2		(13,637	)		184,288
Commercial mortgage-backed    securities
Issued or guaranteed by    FNMA, FHLMC or    GNMA		144,375		—		(2,405	)		141,970		770,648		—		(57,205	)		713,443
Total	$	2,776,415	$	9	$	(331,938	)	$	2,444,486	$	1,156,985	$	5	$	(91,162	)	$	1,065,828

	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 September 30, 2022 and December 31, 2021 ($ in thousands):

	September 30, 2022		December 31, 2021
Aaa	$	1,152,473	$	335,208
Aa1 to Aa3		3,002		5,007
Not Rated (1)		1,510		2,322
Total	$	1,156,985	$	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 September 30, 2022 and December 31, 2021 ($ in thousands):

	Less than 12 Months					12 Months or More					Total
September 30, 2022	Estimated Fair Value		Gross Unrealized Losses			Estimated Fair Value		Gross Unrealized Losses			Estimated Fair Value		Gross Unrealized Losses
U.S. Treasury securities	$	158,877	$	(9,333	)	$	257,401	$	(32,864	)	$	416,278	$	(42,197	)
U.S. Government agency obligations		3,088		(311	)		5,935		(254	)		9,023		(565	)
Obligations of states and political subdivisions		4,763		(73	)		3,661		(8	)		8,424		(81	)
Mortgage-backed securities
Residential mortgage pass-through    securities
Guaranteed by GNMA		30,577		(4,136	)		1,199		(242	)		31,776		(4,378	)
Issued by FNMA and FHLMC		562,533		(60,200	)		1,315,039		(233,939	)		1,877,572		(294,139	)
Other residential mortgage-backed    securities
Issued or guaranteed by FNMA,    FHLMC or GNMA		302,446		(21,129	)		7,610		(1,001	)		310,056		(22,130	)
Commercial mortgage-backed securities
Issued or guaranteed by FNMA,    FHLMC or GNMA		854,792		(59,601	)		622		(9	)		855,414		(59,610	)
Total	$	1,917,076	$	(154,783	)	$	1,591,467	$	(268,317	)	$	3,508,543	$	(423,100	)
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 September 30, 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	$	30,375	$	30,163	$	4,171	$	4,167
Due after one year through five years		382,241		347,173		341		340
Due after five years through ten years		53,155		45,983		—		—
Due after ten years		7,221		6,838		—		—
		472,992		430,157		4,512		4,507
Mortgage-backed securities		2,303,423		2,014,329		1,152,473		1,061,321
Total	$	2,776,415	$	2,444,486	$	1,156,985	$	1,065,828