XML 22 R11.htm IDEA: XBRL DOCUMENT v3.23.2
Securities Available for Sale and Held to Maturity
 6 Months Ended
Jun. 30, 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 June 30, 2023 and December 31, 2022 ($ in thousands):

 

 

 

Securities Available for Sale

 

 

Securities Held to Maturity

 

June 30, 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

 

$

395,961

 

 

$

—

 

 

$

(32,995

)

 

$

362,966

 

 

$

28,679

 

 

$

—

 

 

$

(365

)

 

$

28,314

 

U.S. Government agency
   obligations

 

 

7,516

 

 

 

—

 

 

 

(517

)

 

 

6,999

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Obligations of states and
   political subdivisions

 

 

4,788

 

 

 

36

 

 

 

(11

)

 

 

4,813

 

 

 

1,180

 

 

 

1

 

 

 

—

 

 

 

1,181

 

Mortgage-backed securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Residential mortgage pass-
   through securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Guaranteed by GNMA

 

 

28,513

 

 

 

2

 

 

 

(3,179

)

 

 

25,336

 

 

 

13,235

 

 

 

—

 

 

 

(483

)

 

 

12,752

 

Issued by FNMA and
   FHLMC

 

 

1,438,588

 

 

 

1

 

 

 

(188,154

)

 

 

1,250,435

 

 

 

484,679

 

 

 

—

 

 

 

(22,547

)

 

 

462,132

 

Other residential mortgage-
   backed securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issued or guaranteed by
   FNMA, FHLMC or
   GNMA

 

 

106,701

 

 

 

—

 

 

 

(8,313

)

 

 

98,388

 

 

 

171,002

 

 

 

—

 

 

 

(13,759

)

 

 

157,243

 

Commercial mortgage-backed
   securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issued or guaranteed by
   FNMA, FHLMC or
   GNMA

 

 

125,542

 

 

 

1

 

 

 

(2,597

)

 

 

122,946

 

 

 

759,890

 

 

 

10

 

 

 

(55,145

)

 

 

704,755

 

Total

 

$

2,107,609

 

 

$

40

 

 

$

(235,766

)

 

$

1,871,883

 

 

$

1,458,665

 

 

$

11

 

 

$

(92,299

)

 

$

1,366,377

 

 

 

 

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 a 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 June 30, 2023, the net unamortized, unrealized loss on transferred securities included in accumulated other comprehensive income (loss) in the accompanying balance sheet totaled $63.4 million compared to $69.2 million 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 June 30, 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 June 30, 2023, accrued interest receivable totaled $3.8 million for securities available for sale compared to $4.0 million at December 31, 2022 and was reported in other assets on the accompanying consolidated balance sheet.

Securities Held to Maturity

At June 30, 2023 and December 31, 2022, the potential for credit loss exposure for Trustmark's securities held to maturity was $1.2 million and $4.5 million, respectively, 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 June 30, 2023 and December 31, 2022.

Accrued interest receivable is excluded from the estimate of credit losses for securities held to maturity. At June 30, 2023, accrued interest receivable totaled $2.6 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 June 30, 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 June 30, 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 June 30, 2023 and December 31, 2022 ($ in thousands):

 

 

June 30, 2023

 

 

December 31, 2022

 

Aaa

 

$

1,457,485

 

 

$

1,490,004

 

Aa1 to Aa3

 

 

—

 

 

 

3,001

 

Not Rated (1)

 

 

1,180

 

 

 

1,509

 

Total

 

$

1,458,665

 

 

$

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 June 30, 2023 and December 31, 2022 ($ in thousands):

 

 

 

Less than 12 Months

 

 

12 Months or More

 

 

Total

 

June 30, 2023

 

Estimated
Fair Value

 

 

Gross
Unrealized
Losses

 

 

Estimated
Fair Value

 

 

Gross
Unrealized
Losses

 

 

Estimated
Fair Value

 

 

Gross
Unrealized
Losses

 

U.S. Treasury securities

 

$

42,183

 

 

$

(1,034

)

 

$

349,097

 

 

$

(32,326

)

 

$

391,280

 

 

$

(33,360

)

U.S. Government agency obligations

 

 

—

 

 

 

—

 

 

 

6,949

 

 

 

(517

)

 

 

6,949

 

 

 

(517

)

Obligations of states and political subdivisions

 

 

1,008

 

 

 

(11

)

 

 

—

 

 

 

—

 

 

 

1,008

 

 

 

(11

)

Mortgage-backed securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Residential mortgage pass-through
   securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Guaranteed by GNMA

 

 

5,161

 

 

 

(174

)

 

 

27,374

 

 

 

(3,488

)

 

 

32,535

 

 

 

(3,662

)

Issued by FNMA and FHLMC

 

 

321,261

 

 

 

(5,059

)

 

 

1,391,292

 

 

 

(205,642

)

 

 

1,712,553

 

 

 

(210,701

)

Other residential mortgage-backed
   securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issued or guaranteed by FNMA,
   FHLMC or GNMA

 

 

3,847

 

 

 

(208

)

 

 

251,599

 

 

 

(21,864

)

 

 

255,446

 

 

 

(22,072

)

Commercial mortgage-backed securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issued or guaranteed by FNMA,
   FHLMC or GNMA

 

 

51,636

 

 

 

(32,380

)

 

 

311,703

 

 

 

(25,362

)

 

 

363,339

 

 

 

(57,742

)

Total

 

$

425,096

 

 

$

(38,866

)

 

$

2,338,014

 

 

$

(289,199

)

 

$

2,763,110

 

 

$

(328,065

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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 six months ended June 30, 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 $2.296 billion and $2.693 billion at June 30, 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 June 30, 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 June 30, 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

 

$

15,760

 

 

$

15,415

 

 

$

1,180

 

 

$

1,181

 

Due after one year through five years

 

 

381,512

 

 

 

348,845

 

 

 

28,679

 

 

 

28,314

 

Due after five years through ten years

 

 

6,339

 

 

 

6,110

 

 

 

—

 

 

 

—

 

Due after ten years

 

 

4,654

 

 

 

4,408

 

 

 

—

 

 

 

—

 

 

 

 

408,265

 

 

 

374,778

 

 

 

29,859

 

 

 

29,495

 

Mortgage-backed securities

 

 

1,699,344

 

 

 

1,497,105

 

 

 

1,428,806

 

 

 

1,336,882

 

Total

 

$

2,107,609

 

 

$

1,871,883

 

 

$

1,458,665

 

 

$

1,366,377