XML 23 R10.htm IDEA: XBRL DOCUMENT v3.23.1
Securities Available for Sale and Held to Maturity
 3 Months Ended
Mar. 31, 2023
Investments, Debt and Equity Securities [Abstract]  
Securities Available for Sale and Held to Maturity

Note 2 – 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 March 31, 2023 and December 31, 2022 ($ in thousands):

 

 

 

Securities Available for Sale

 

 

Securities Held to Maturity

 

March 31, 2023

 

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

 

$

415,842

 

 

$

—

 

 

$

(28,939

)

 

$

386,903

 

 

$

28,486

 

 

$

361

 

 

$

—

 

 

$

28,847

 

U.S. Government agency
   obligations

 

 

7,745

 

 

 

—

 

 

 

(491

)

 

 

7,254

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Obligations of states and
   political subdivisions

 

 

4,804

 

 

 

110

 

 

 

(7

)

 

 

4,907

 

 

 

4,507

 

 

 

3

 

 

 

—

 

 

 

4,510

 

Mortgage-backed securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Residential mortgage pass-
   through securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Guaranteed by GNMA

 

 

29,737

 

 

 

9

 

 

 

(2,895

)

 

 

26,851

 

 

 

4,336

 

 

 

1

 

 

 

(312

)

 

 

4,025

 

Issued by FNMA and
   FHLMC

 

 

1,492,724

 

 

 

15

 

 

 

(174,891

)

 

 

1,317,848

 

 

 

497,854

 

 

 

1,250

 

 

 

(15,875

)

 

 

483,229

 

Other residential mortgage-
   backed securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issued or guaranteed by
   FNMA, FHLMC or
   GNMA

 

 

115,332

 

 

 

—

 

 

 

(7,140

)

 

 

108,192

 

 

 

179,334

 

 

 

—

 

 

 

(11,132

)

 

 

168,202

 

Commercial mortgage-backed
   securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issued or guaranteed by
   FNMA, FHLMC or
   GNMA

 

 

134,071

 

 

 

—

 

 

 

(1,864

)

 

 

132,207

 

 

 

759,821

 

 

 

75

 

 

 

(42,304

)

 

 

717,592

 

Total

 

$

2,200,255

 

 

$

134

 

 

$

(216,227

)

 

$

1,984,162

 

 

$

1,474,338

 

 

$

1,690

 

 

$

(69,623

)

 

$

1,406,405

 

 

 

 

Securities Available for Sale

 

 

Securities Held to Maturity

 

December 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

 

$

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

 

During 2022, Trustmark reclassified total of $766.0 million of securities available for sale to securities held to maturity. At 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 March 31, 2023, the net unamortized, unrealized loss on transferred securities included in accumulated other comprehensive income (loss) in the accompanying balance sheet totaled approximately $88.5 million ($66.3 million, net of tax) compared to approximately $92.3 million ($69.2 million, net of tax) at December 31, 2022.

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 discounted cash flow (DCF) analysis using the effective interest rate as of the security’s purchase date. The amount of credit loss recorded by Trustmark is 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 Investor Service (Moody’s).

At both March 31, 2023 and December 31, 2022, the results of the analysis 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 both March 31, 2023 and December 31, 2022, accrued interest receivable totaled $4.0 million for securities available for sale and was reported in other assets on the accompanying consolidated balance sheet.

Securities Held to Maturity

At both March 31, 2023 and December 31, 2022, the potential for credit loss exposure for Trustmark's securities held to maturity was $4.5 million and consisted of municipal securities. After applying appropriate probability of default (PD) and loss given default (LGD) assumptions, the total amount of current expected credit losses was deemed immaterial. Therefore, no reserve was recorded at March 31, 2023 and December 31, 2022.

Accrued interest receivable is excluded from the estimate of credit losses for securities held to maturity. At March 31, 2023 accrued interest receivable totaled $2.8 million for securities held to maturity compared to $2.7 million at December 31, 2022 and was reported in other assets on the accompanying consolidated balance sheet.

At both March 31, 2023 and December 31, 2022, 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 March 31, 2023 and December 31, 2022.

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 March 31, 2023 and December 31, 2022 ($ in thousands):

 

 

March 31, 2023

 

 

December 31, 2022

 

Aaa

 

$

1,469,830

 

 

$

1,490,004

 

Aa1 to Aa3

 

 

3,000

 

 

 

3,001

 

Not Rated (1)

 

 

1,508

 

 

 

1,509

 

Total

 

$

1,474,338

 

 

$

1,494,514

 

 

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

 

The tables below include securities with gross unrealized losses for which an allowance for credit losses has not been recorded segregated by length of impairment at March 31, 2023 and December 31, 2022 ($ in thousands):

 

 

 

Less than 12 Months

 

 

12 Months or More

 

 

Total

 

March 31, 2023

 

Estimated
Fair Value

 

 

Gross
Unrealized
Losses

 

 

Estimated
Fair Value

 

 

Gross
Unrealized
Losses

 

 

Estimated
Fair Value

 

 

Gross
Unrealized
Losses

 

U.S. Treasury securities

 

$

63,262

 

 

$

(1,138

)

 

$

323,641

 

 

$

(27,801

)

 

$

386,903

 

 

$

(28,939

)

U.S. Government agency obligations

 

 

66

 

 

 

(1

)

 

 

7,188

 

 

 

(490

)

 

 

7,254

 

 

 

(491

)

Obligations of states and political subdivisions

 

 

1,016

 

 

 

(6

)

 

 

340

 

 

 

(1

)

 

 

1,356

 

 

 

(7

)

Mortgage-backed securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Residential mortgage pass-through
   securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Guaranteed by GNMA

 

 

2,082

 

 

 

(112

)

 

 

27,700

 

 

 

(3,095

)

 

 

29,782

 

 

 

(3,207

)

Issued by FNMA and FHLMC

 

 

12,872

 

 

 

(692

)

 

 

1,456,565

 

 

 

(190,074

)

 

 

1,469,437

 

 

 

(190,766

)

Other residential mortgage-backed
   securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issued or guaranteed by FNMA,
   FHLMC or GNMA

 

 

51,621

 

 

 

(2,382

)

 

 

224,510

 

 

 

(15,890

)

 

 

276,131

 

 

 

(18,272

)

Commercial mortgage-backed securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issued or guaranteed by FNMA,
   FHLMC or GNMA

 

 

701,178

 

 

 

(28,599

)

 

 

144,534

 

 

 

(15,569

)

 

 

845,712

 

 

 

(44,168

)

Total

 

$

832,097

 

 

$

(32,930

)

 

$

2,184,478

 

 

$

(252,920

)

 

$

3,016,575

 

 

$

(285,850

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2022

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

)

 

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

During the three months ended March 31, 2023 and 2022, 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 $2.559 billion and $2.693 billion at March 31, 2023 and December 31, 2022, respectively, were pledged to collateralize public deposits and securities sold under repurchase agreements and for other purposes as permitted by law. At both March 31, 2023 and December 31, 2022, 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 March 31, 2023, 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

 

$

20,056

 

 

$

19,984

 

 

$

4,166

 

 

$

4,170

 

Due after one year through five years

 

 

389,619

 

 

 

361,580

 

 

 

341

 

 

 

340

 

Due after five years through ten years

 

 

14,018

 

 

 

13,047

 

 

 

28,486

 

 

 

28,847

 

Due after ten years

 

 

4,698

 

 

 

4,453

 

 

 

—

 

 

 

—

 

 

 

 

428,391

 

 

 

399,064

 

 

 

32,993

 

 

 

33,357

 

Mortgage-backed securities

 

 

1,771,864

 

 

 

1,585,098

 

 

 

1,441,345

 

 

 

1,373,048

 

Total

 

$

2,200,255

 

 

$

1,984,162

 

 

$

1,474,338

 

 

$

1,406,405