XML 29 R11.htm IDEA: XBRL DOCUMENT v3.22.4
Securities Available for Sale and Held to Maturity
 12 Months Ended
Dec. 31, 2022
Investments, Debt and Equity Securities [Abstract]  
Securities Available for Sale and Held to Maturity

Note 3 – Securities Available for Sale and Held to Maturity

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

 

 

 

Securities Available for Sale

 

 

Securities Held to Maturity

 

 

 

 

 

 

Gross

 

 

Gross

 

 

Estimated

 

 

 

 

 

Gross

 

 

Gross

 

 

Estimated

 

 

 

Amortized

 

 

Unrealized

 

 

Unrealized

 

 

Fair

 

 

Amortized

 

 

Unrealized

 

 

Unrealized

 

 

Fair

 

December 31, 2022

 

Cost

 

 

Gains

 

 

Losses

 

 

Value

 

 

Cost

 

 

Gains

 

 

Losses

 

 

Value

 

U.S. Treasury securities

 

$

425,719

 

 

$

308

 

 

$

(34,514

)

 

$

391,513

 

 

$

28,295

 

 

$

—

 

 

$

(115

)

 

$

28,180

 

U.S. Government agency obligations

 

 

8,297

 

 

 

—

 

 

 

(531

)

 

 

7,766

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Obligations of states and political
   subdivisions

 

 

4,820

 

 

 

53

 

 

 

(11

)

 

 

4,862

 

 

 

4,510

 

 

 

3

 

 

 

(3

)

 

 

4,510

 

Mortgage-backed securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Residential mortgage pass-through
   securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Guaranteed by GNMA

 

 

30,534

 

 

 

7

 

 

 

(3,444

)

 

 

27,097

 

 

 

4,442

 

 

 

—

 

 

 

(395

)

 

 

4,047

 

Issued by FNMA and FHLMC

 

 

1,541,570

 

 

 

12

 

 

 

(196,119

)

 

 

1,345,463

 

 

 

509,311

 

 

 

—

 

 

 

(19,586

)

 

 

489,725

 

Other residential mortgage-backed
   securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issued or guaranteed by FNMA,
   FHLMC or GNMA

 

 

123,755

 

 

 

—

 

 

 

(8,615

)

 

 

115,140

 

 

 

188,201

 

 

 

—

 

 

 

(13,826

)

 

 

174,375

 

Commercial mortgage-backed
   securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issued or guaranteed by FNMA,
   FHLMC or GNMA

 

 

136,014

 

 

 

—

 

 

 

(3,773

)

 

 

132,241

 

 

 

759,755

 

 

 

34

 

 

 

(54,037

)

 

 

705,752

 

Total

 

$

2,270,709

 

 

$

380

 

 

$

(247,007

)

 

$

2,024,082

 

 

$

1,494,514

 

 

$

37

 

 

$

(87,962

)

 

$

1,406,589

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2021

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

During 2013, Trustmark reclassified approximately $1.099 billion of securities available for sale to securities held to maturity. At the date of transfer, the net unrealized holding loss on the available for sale securities totaled approximately $46.6 million ($28.8 million, net of tax). During 2022, Trustmark reclassified a total of $766.0 million of securities available for sale to securities held to maturity. On the date of these transfers, the net unrealized holding loss on the available for sale securities totaled approximately $91.9 million ($68.9 million, net of tax).

The securities were transferred at fair value, which became the cost basis for the securities held to maturity. The net unrealized holding loss will be amortized over the remaining life of the securities as a yield adjustment in a manner consistent with the amortization or accretion of the original purchase premium or discount on the associated security. There were no gains or losses recognized as a result of these transfers. At December 31, 2022, the net unamortized, unrealized loss on transferred securities included in accumulated other comprehensive income (loss) in the accompanying balance sheet totaled approximately $92.3 million ($69.2 million, net of tax) compared to approximately $6.3 million ($4.7 million, net of tax) at December 31, 2021.

ACL on Securities

Securities Available for Sale

Quarterly, Trustmark evaluates if any security has a fair value less than its amortized cost. Once these securities are identified, in order to determine whether a decline in fair value resulted from a credit loss or other factors, Trustmark performs further analysis. If Trustmark determines that a credit loss exists, the credit portion of the allowance is measured using a DCF analysis using the effective interest rate as of the security’s purchase date. The amount of credit loss Trustmark records will be limited to the amount by which the amortized cost exceeds the fair value. The DCF analysis utilizes contractual maturities, as well as third-party credit ratings and cumulative default rates published annually by Moody’s.

At both December 31, 2022 and 2021, the results of the loss analysis performed did not identify any securities that warranted DCF analysis and no credit loss was recognized on any of the securities available for sale.

Accrued interest receivable is excluded from the estimate of credit losses for securities available for sale. At December 31, 2022 and 2021, accrued interest receivable totaled $4.0 million and $5.1 million, respectively, for securities available for sale and was reported in other assets on the accompanying consolidated balance sheet.

Securities Held to Maturity

At December 31, 2022 and 2021, the potential credit loss exposure for Trustmark’s securities held to maturity was $4.5 million and $7.3 million, respectively, and consisted of municipal securities. After applying appropriate probability of default and loss given default assumptions, the total amount of current expected credit losses was deemed immaterial. Therefore, no reserve was recorded at December 31, 2022 and 2021.

Accrued interest receivable is excluded from the estimate of credit losses for securities held to maturity. At December 31, 2022 and 2021, accrued interest receivable totaled $2.7 million and $670 thousand for securities held to maturity and was reported in other assets on the accompanying consolidated balance sheet.

At both December 31, 2022 and 2021, Trustmark had no securities held to maturity that were past due 30 days or more as to principal or interest payments. Trustmark had no securities held to maturity classified as nonaccrual at December 31, 2022 and 2021.

Trustmark monitors the credit quality of securities held to maturity on a monthly basis through credit ratings. The following table presents the amortized cost of Trustmark’s securities held to maturity by credit rating, as determined by Moody’s, at December 31, 2022 and 2021 ($ in thousands):

 

 

December 31, 2022

 

 

December 31, 2021

 

Aaa

 

$

1,490,004

 

 

$

335,208

 

Aa1 to Aa3

 

 

3,001

 

 

 

5,007

 

Not Rated (1)

 

 

1,509

 

 

 

2,322

 

Total

 

$

1,494,514

 

 

$

342,537

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

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

 

 

 

Less than 12 Months

 

 

12 Months or More

 

 

Total

 

 

 

 

 

 

Gross

 

 

 

 

 

Gross

 

 

 

 

 

Gross

 

 

 

Estimated

 

 

Unrealized

 

 

Estimated

 

 

Unrealized

 

 

Estimated

 

 

Unrealized

 

December 31, 2022

 

Fair Value

 

 

Losses

 

 

Fair Value

 

 

Losses

 

 

Fair Value

 

 

Losses

 

U.S. Treasury securities

 

$

161,298

 

 

$

(5,655

)

 

$

258,087

 

 

$

(28,974

)

 

$

419,385

 

 

$

(34,629

)

U.S. Government agency obligations

 

 

1,828

 

 

 

(184

)

 

 

5,938

 

 

 

(347

)

 

 

7,766

 

 

 

(531

)

Obligations of states and political
   subdivisions

 

 

1,017

 

 

 

(11

)

 

 

3,664

 

 

 

(3

)

 

 

4,681

 

 

 

(14

)

Mortgage-backed securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Residential mortgage pass-through
   securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Guaranteed by GNMA

 

 

27,223

 

 

 

(3,270

)

 

 

3,577

 

 

 

(569

)

 

 

30,800

 

 

 

(3,839

)

Issued by FNMA and FHLMC

 

 

770,865

 

 

 

(41,807

)

 

 

1,062,041

 

 

 

(173,898

)

 

 

1,832,906

 

 

 

(215,705

)

Other residential mortgage-backed
   securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issued or guaranteed by FNMA,
   FHLMC or GNMA

 

 

281,964

 

 

 

(21,452

)

 

 

7,235

 

 

 

(989

)

 

 

289,199

 

 

 

(22,441

)

Commercial mortgage-backed
   securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issued or guaranteed by FNMA,
   FHLMC or GNMA

 

 

833,970

 

 

 

(57,742

)

 

 

1,644

 

 

 

(68

)

 

 

835,614

 

 

 

(57,810

)

Total

 

$

2,078,165

 

 

$

(130,121

)

 

$

1,342,186

 

 

$

(204,848

)

 

$

3,420,351

 

 

$

(334,969

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

)

The unrealized losses shown above are due to increases in market rates over the yields available at the time of purchase of the underlying securities and not credit quality. Trustmark does not intend to sell these securities and it is more likely than not that Trustmark will not be required to sell the investments before recovery of their amortized cost bases, which may be at maturity.

Securities Gains and Losses

For the years ended December 31, 2022, 2021 and 2020, there were no gross realized gains or losses as a result of calls and dispositions of securities. Realized gains and losses are determined using the specific identification method and are included in noninterest income as securities gains (losses), net.

Securities Pledged

Securities with a carrying value of $2.693 billion and $2.831 billion at December 31, 2022 and 2021, respectively, were pledged to collateralize public deposits and securities sold under repurchase agreements and for other purposes as permitted by law. At both December 31, 2022 and 2021, none of these securities were pledged under the Federal Reserve Discount Window program to provide additional contingency funding capacity.

Contractual Maturities

The amortized cost and estimated fair value of securities available for sale and held to maturity at December 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

 

 

Securities

 

 

 

Available for Sale

 

 

Held to Maturity

 

 

 

Amortized

 

 

Estimated

 

 

Amortized

 

 

Estimated

 

 

 

Cost

 

 

Fair Value

 

 

Cost

 

 

Fair Value

 

Due in one year or less

 

$

30,089

 

 

$

30,208

 

 

$

4,169

 

 

$

4,170

 

Due after one year through five years

 

 

389,528

 

 

 

356,175

 

 

 

341

 

 

 

340

 

Due after five years through ten years

 

 

14,218

 

 

 

12,999

 

 

 

28,295

 

 

 

28,180

 

Due after ten years

 

 

5,001

 

 

 

4,759

 

 

 

—

 

 

 

—

 

 

 

 

438,836

 

 

 

404,141

 

 

 

32,805

 

 

 

32,690

 

Mortgage-backed securities

 

 

1,831,873

 

 

 

1,619,941

 

 

 

1,461,709

 

 

 

1,373,899

 

Total

 

$

2,270,709

 

 

$

2,024,082

 

 

$

1,494,514

 

 

$

1,406,589