LHFI and ACL, LHFI

6 Months Ended

Jun. 30, 2024

Accounts, Notes, Loans and Financing Receivable, Gross, Allowance, and Net [Abstract]

LHFI and ACL, LHFI

Note 4 – LHFI and ACL, LHFI

At June 30, 2024 and December 31, 2023, LHFI consisted of the following ($ in thousands):

	June 30, 2024		December 31, 2023
Loans secured by real estate:
Construction, land development and other land	$	616,528	$	642,886
Other secured by 1-4 family residential properties		642,765		622,397
Secured by nonfarm, nonresidential properties		3,598,647		3,489,434
Other real estate secured		1,344,968		1,312,551
Other loans secured by real estate:
Other construction		1,022,444		867,793
Secured by 1-4 family residential properties		2,235,530		2,282,318
Commercial and industrial loans		1,880,607		1,922,910
Consumer loans		156,709		165,734
State and other political subdivision loans		1,053,015		1,088,466
Other commercial loans and leases		604,205		556,035
LHFI		13,155,418		12,950,524
Less ACL		154,685		139,367
Net LHFI	$	13,000,733	$	12,811,157

Accrued interest receivable is not included in the amortized cost basis of Trustmark’s LHFI. At June 30, 2024 and December 31, 2023, accrued interest receivable for LHFI totaled $70.6 million and $71.0 million, respectively, with no related ACL and was reported in other assets on the accompanying consolidated balance sheet.

Loan Concentrations

Trustmark does not have any loan concentrations other than those reflected in the preceding table, which exceed 10% of total LHFI. At June 30, 2024, Trustmark’s geographic loan distribution was concentrated primarily in its five key market regions: Alabama, Florida, Mississippi, Tennessee and Texas. Accordingly, the ultimate collectability of a substantial portion of these loans is susceptible to changes in market conditions in these areas.

Nonaccrual and Past Due LHFI

No material interest income was recognized in the income statement on nonaccrual LHFI for each of the periods ended June 30, 2024 and 2023.

The following tables provide the amortized cost basis of loans on nonaccrual status and loans past due 90 days or more still accruing interest at June 30, 2024 and December 31, 2023 ($ in thousands):

	June 30, 2024
	Nonaccrual With No ACL		Total Nonaccrual		Loans Past Due 90 Days or More Still Accruing
Loans secured by real estate:
Construction, land development and other land	$	—	$	226	$	—
Other secured by 1-4 family residential properties		907		7,167		326
Secured by nonfarm, nonresidential properties		9,730		11,547		—
Other real estate secured		—		120		—
Other loans secured by real estate:
Other construction		—		60		—
Secured by 1-4 family residential properties		1,019		6,946		4,635
Commercial and industrial loans		33		16,874		39
Consumer loans		—		326		413
Other commercial loans and leases		—		1,026		—
Total	$	11,689	$	44,292	$	5,413

	December 31, 2023
	Nonaccrual With No ACL		Total Nonaccrual		Loans Past Due 90 Days or More Still Accruing
Loans secured by real estate:
Construction, land development and other land	$	2,020	$	2,642	$	—
Other secured by 1-4 family residential properties		946		6,518		1,238
Secured by nonfarm, nonresidential properties		20,812		23,061		54
Other real estate secured		—		158		106
Other loans secured by real estate:
Other construction		—		62		—
Secured by 1-4 family residential properties		3,235		43,815		3,740
Commercial and industrial loans		79		22,303		24
Consumer loans		—		243		628
Other commercial loans and leases		—		1,206		—
Total	$	27,092	$	100,008	$	5,790

The following tables provide an aging analysis of the amortized cost basis of past due LHFI (including nonaccrual LHFI) at June 30, 2024 and December 31, 2023 ($ in thousands):

	June 30, 2024
	Past Due
	30-59 Days		60-89 Days		90 Days or More		Total Past Due		Current Loans		Total LHFI
Loans secured by real estate:
Construction, land development and    other land	$	228	$	—	$	—	$	228	$	616,300	$	616,528
Other secured by 1-4 family residential    properties		6,395		1,516		3,489		11,400		631,365		642,765
Secured by nonfarm, nonresidential    properties		1,275		—		1,028		2,303		3,596,344		3,598,647
Other real estate secured		115		—		—		115		1,344,853		1,344,968
Other loans secured by real estate:
Other construction		—		—		—		—		1,022,444		1,022,444
Secured by 1-4 family residential properties		15,844		7,282		7,201		30,327		2,205,203		2,235,530
Commercial and industrial loans		4,006		750		15,188		19,944		1,860,663		1,880,607
Consumer loans		1,406		573		438		2,417		154,292		156,709
State and other political subdivision loans		7		—		—		7		1,053,008		1,053,015
Other commercial loans and leases		66		11		—		77		604,128		604,205
Total	$	29,342	$	10,132	$	27,344	$	66,818	$	13,088,600	$	13,155,418

	December 31, 2023
	Past Due
	30-59 Days		60-89 Days		90 Days or More		Total Past Due		Current Loans		Total LHFI
Loans secured by real estate:
Construction, land development and    other land	$	93	$	507	$	2,362	$	2,962	$	639,924	$	642,886
Other secured by 1-4 family residential    properties		4,493		1,687		2,716		8,896		613,501		622,397
Secured by nonfarm, nonresidential    properties		1,531		1,063		727		3,321		3,486,113		3,489,434
Other real estate secured		126		—		207		333		1,312,218		1,312,551
Other loans secured by real estate:
Other construction		62		—		—		62		867,731		867,793
Secured by 1-4 family residential properties		19,298		9,327		22,164		50,789		2,231,529		2,282,318
Commercial and industrial loans		11,881		484		499		12,864		1,910,046		1,922,910
Consumer loans		2,112		772		647		3,531		162,203		165,734
State and other political subdivision loans		152		—		—		152		1,088,314		1,088,466
Other commercial loans and leases		1,247		58		—		1,305		554,730		556,035
Total	$	40,995	$	13,898	$	29,322	$	84,215	$	12,866,309	$	12,950,524

Modified LHFI

Occasionally, Trustmark modifies loans for borrowers experiencing financial difficulties by providing payment concessions, interest-only payments for an extended period of time, maturity extensions or interest rate reductions. Other concessions may arise from court proceedings or may be imposed by law. In some cases, Trustmark provides multiple types of concessions on one loan.

The following tables present the amortized cost of LHFI at the end of each of the periods presented of loans modified to borrowers experiencing financial difficulty disaggregated by class of loan and type of modification ($ in thousands). The percentage of the amortized cost basis of LHFI that were modified to borrowers in financial distress as compared to the amortized cost basis of each class of LHFI is also presented below:

	Three Months Ended June 30, 2024
	Term Extension		% of Total Class of Loan
Loans secured by real estate:
Other secured by 1-4 family residential properties	$	493		0.08	%
Total	$	493		0.00	%

	Three Months Ended June 30, 2023
	Payment Concession		Term Extension		Total		% of Total Class of Loan
Loans secured by real estate:
Other secured by 1-4 family residential    properties	$	—	$	401	$	401		0.07	%
Other loans secured by real estate:
Secured by 1-4 family residential properties		—		276		276		0.01	%
Commercial and industrial loans		255		—		255		0.01	%
Consumer loans		—		42		42		0.03	%
Other commercial loans and leases		117		31		148		0.03	%
Total	$	372	$	750	$	1,122		0.01	%

	Six Months Ended June 30, 2024
	Term Extension		% of Total Class of Loan
Loans secured by real estate:
Other secured by 1-4 family residential    properties	$	1,891		0.29	%
Total	$	1,891		0.01	%

	Six Months Ended June 30, 2023
	Payment Concession		Term Extension		Total		% of Total Class of Loan
Loans secured by real estate:
Other secured by 1-4 family residential    properties	$	—	$	401	$	401		0.07	%
Secured by nonfarm, nonresidential    properties		—		384		384		0.01	%
Other loans secured by real estate:
Secured by 1-4 family residential properties		—		768		768		0.03	%
Commercial and industrial loans		255		—		255		0.01	%
Consumer loans		—		42		42		0.03	%
Other commercial loans and leases		117		31		148		0.03	%
Total	$	372	$	1,626	$	1,998		0.02	%

The following tables detail the financial effect of the loan modifications presented above to borrowers experiencing financial difficulty for the periods presented:

	Three Months Ended June 30, 2024
	Financial Effect
	Term Extension
Loans secured by real estate:
Other secured by 1-4 family residential properties	Modified two loans and lines of credit to amortize over 24 month terms

	Three Months Ended June 30, 2023
	Financial Effect
	Payment Concessions	Term Extension
Loans secured by real estate:
Other secured by 1-4 family residential properties		Modified lines of credit to amortize over a twenty-four month term
Other loans secured by real estate:
Secured by 1-4 family residential properties		Extended amortization with term adjusted by weighted-average 2.3 years
Commercial and industrial loans	Six month payment deferrals
Consumer loans		Bankruptcies extended amortization with term adjusted by weighted average 1.3 years reducing borrower payment
Other commercial loans and leases	Six month payment deferrals	One loan renewed and extended maturity by seven months

	Six Months Ended June 30, 2024
	Financial Effect
	Term Extension
Loans secured by real estate:
Other secured by 1-4 family residential properties	Modified three loans and lines of credit to amortize over 24 month terms.

	Six Months Ended June 30, 2023
	Financial Effect
	Payment Concessions	Term Extension
Loans secured by real estate:
Other secured by 1-4 family residential properties		Modified lines of credit to amortize over a twenty-four month term
Secured by nonfarm, nonresidential properties		One loan renewed and extended maturity by six months
Other loans secured by real estate:
Secured by 1-4 family residential properties		Extended amortization with term adjusted by weighted-average 1.8 years
Commercial and industrial loans	Six month payment deferrals
Consumer loans		Bankruptcies extended amortization with term adjusted by weighted average 1.3 years reducing borrower payment
Other commercial loans and leases	Six month payment deferrals	One loan renewed and extended maturity by seven months

Trustmark had no unused commitments on modified loans to borrowers experiencing financial difficulty at June 30, 2024.

During the six months ended June 30, 2024 and 2023, payment defaults of LHFI that were modified within the twelve months prior to that default to borrowers experiencing financial difficulty were immaterial.

Trustmark has utilized loans 90 days or more past due to define payment default in determining modified loans that have subsequently defaulted. If Trustmark determines that a modified loan (or a portion of a loan) has subsequently been deemed uncollectible, the loan (or a portion of the loan) is charged off against the ACL, LHFI.

Trustmark closely monitors the performance of loans that are modified to borrowers experiencing financial difficulty to understand the effectiveness of its modification efforts. The following tables provide details of the performance of such LHFI that have been modified during the periods presented ($ in thousands):

	Three Months Ended June 30, 2024
	Past Due
	30-59 Days		60-89 Days		90 Days or More		Total Past Due		Current Loans		Total
Loans secured by real estate:
Other secured by 1-4 family residential    properties	$	—	$	—	$	—	$	—	$	493	$	493

	Three Months Ended June 30, 2023
	Past Due
	30-59 Days		60-89 Days		90 Days or More		Total Past Due		Current Loans		Total
Loans secured by real estate:
Other secured by 1-4 family residential    properties	$	38	$	19	$	—	$	57	$	344	$	401
Other loans secured by real estate:
Secured by 1-4 family residential properties		—		—		—		—		276		276
Commercial and industrial loans		—		—		—		—		255		255
Consumer loans		22		—		—		22		20		42
Other commercial loans and leases		—		—		—		—		148		148
Total	$	60	$	19	$	—	$	79	$	1,043	$	1,122

	Six Months Ended June 30, 2024
	Past Due
	30-59 Days		60-89 Days		90 Days or More		Total Past Due		Current Loans		Total
Loans secured by real estate:
Other secured by 1-4 family residential    properties	$	540	$	—	$	—	$	540	$	1,351	$	1,891

	Six Months Ended June 30, 2023
	Past Due
	30-59 Days		60-89 Days		90 Days or More		Total Past Due		Current Loans		Total
Loans secured by real estate:
Other secured by 1-4 family residential    properties	$	38	$	19	$	—	$	57	$	344	$	401
Secured by nonfarm, nonresidential    properties		—		—		—		—		384		384
Other loans secured by real estate:
Secured by 1-4 family residential properties		—		—		—		—		768		768
Commercial and industrial loans		—		—		—		—		255		255
Consumer loans		22		—		—		22		20		42
Other commercial loans and leases		—		—		—		—		148		148
Total	$	60	$	19	$	—	$	79	$	1,919	$	1,998

Collateral-Dependent Loans

The following tables present the amortized cost basis of collateral-dependent loans by class of loans and collateral type as of June 30, 2024 and December 31, 2023 ($ in thousands):

	June 30, 2024
	Real Estate		Vehicles		Miscellaneous		Total
Loans secured by real estate:
Other secured by 1-4 family    residential properties	$	907	$	—	$	—	$	907
Secured by nonfarm, nonresidential    properties		9,730		—		—		9,730
Other loans secured by real estate:
Secured by 1-4 family residential    properties		1,019		—		—		1,019
Commercial and industrial loans		5		33		14,774		14,812
Other commercial loans and leases		—		—		887		887
Total	$	11,661	$	33	$	15,661	$	27,355

	December 31, 2023
	Real Estate		Vehicles		Miscellaneous		Total
Loans secured by real estate:
Construction, land development and    other land	$	2,020	$	—	$	—	$	2,020
Other secured by 1-4 family    residential properties		946		—		—		946
Secured by nonfarm, nonresidential    properties		20,812		—		—		20,812
Other loans secured by real estate:
Secured by 1-4 family residential    properties		3,235		—		—		3,235
Commercial and industrial loans		38		41		21,023		21,102
Other commercial loans and leases		—		—		967		967
Total	$	27,051	$	41	$	21,990	$	49,082

A loan is collateral dependent when the borrower is experiencing financial difficulty and repayment of the loan is expected to be provided substantially through the sale of the collateral. The following provides a qualitative description by class of loan of the collateral that secures Trustmark’s collateral-dependent LHFI:

•Loans secured by real estate – Loans within these loan classes are secured by liens on real estate properties. There have been no significant changes to the collateral that secures these financial assets during the period.

•Other loans secured by real estate – Loans within these loan classes are secured by liens on real estate properties. There have been no significant changes to the collateral that secures these financial assets during the period.

•Commercial and industrial loans – Loans within this loan class are primarily secured by inventory, accounts receivables, equipment and other non-real estate collateral. During the quarter, one relationship had a slight decrease in collateral value that secures the credit. There have been no other significant changes to the collateral that secures these financial assets during the period.

•State and other political subdivision loans – Loans within this loan class are secured by liens on real estate properties or other non-real estate collateral. There have been no significant changes to the collateral that secures these financial assets during the period.

•Other commercial loans – Loans within this loan class are secured by non-real estate collateral. There have been no significant changes to the collateral that secures these financial assets during the period.

Credit Quality Indicators

Trustmark’s LHFI portfolio credit quality indicators focus on six key quality ratios that are compared against bank tolerances. The loan indicators are total classified outstanding, total criticized outstanding, nonperforming loans, nonperforming assets, delinquencies and net loan losses. Due to the homogeneous nature of consumer loans, Trustmark does not assign a formal internal risk rating to each credit and therefore the criticized and classified measures are primarily composed of commercial loans.

In addition to monitoring portfolio credit quality indicators, Trustmark also measures how effectively the lending process is being managed and risks are being identified. As part of an ongoing monitoring process, Trustmark grades the commercial portfolio segment as it relates to credit file completion and financial statement exceptions, underwriting, collateral documentation and compliance with law as shown below:

•Credit File Completeness and Financial Statement Exceptions – evaluates the quality and condition of credit files in terms of content and completeness and focuses on efforts to obtain and document sufficient information to determine the quality and status of credits. Also included is an evaluation of the systems/procedures used to ensure compliance with policy.

•Underwriting – evaluates whether credits are adequately analyzed, appropriately structured and properly approved within loan policy requirements. A properly approved credit is approved by an adequate authority in a timely manner with all conditions of approval fulfilled. Total policy exceptions measure the level of underwriting and other policy exceptions within a portfolio segment.

•Collateral Documentation – focuses on the adequacy of documentation to perfect Trustmark’s collateral position and substantiate collateral value. Collateral exceptions measure the level of documentation exceptions within a portfolio segment. Collateral exceptions occur when certain collateral documentation is either not present or not current.

•Compliance with Law – focuses on underwriting, documentation, approval and reporting in compliance with banking laws and regulations. Primary emphasis is directed to the Financial Institutions Reform, Recovery and Enforcement Act of 1989 (FIRREA), Regulation O requirements and regulations governing appraisals.

Commercial Credits

Trustmark has established a loan grading system that consists of ten individual credit risk grades (risk ratings) that encompass a range from loans where the expectation of loss is negligible to loans where loss has been established. The model is based on the risk of default for an individual credit and establishes certain criteria to delineate the level of risk across the ten unique credit risk grades. Credit risk grade definitions are as follows:

•Risk Rate (RR) 1 through RR 6 – Grades one through six represent groups of loans that are not subject to criticism as defined in regulatory guidance. Loans in these groups exhibit characteristics that represent low to moderate risk measured by using a variety of credit risk criteria such as cash flow coverage, debt service coverage, balance sheet leverage, liquidity, management experience, industry position, prevailing economic conditions, support from secondary sources of repayment and other credit factors that may be relevant to a specific loan. In general, these loans are supported by properly margined collateral and guarantees of principal parties.

•Other Assets Especially Mentioned (Special Mention) (RR 7) – a loan that has a potential weakness that if not corrected will lead to a more severe rating. This rating is for credits that are currently protected but potentially weak because of an adverse feature or condition that if not corrected will lead to a further downgrade.

•Substandard (RR 8) – a loan that has at least one identified weakness that is well defined. This rating is for credits where the primary sources of repayment are not viable at the time of evaluation or where either the capital or collateral is not adequate to support the loan and the secondary means of repayment do not provide a sufficient level of support to offset the identified weakness. Loss potential exists in the aggregate amount of substandard loans but does not necessarily exist in individual loans.

•Doubtful (RR 9) – a loan with an identified weakness that does not have a valid secondary source of repayment. Generally, these credits have an impaired primary source of repayment and secondary sources are not sufficient to prevent a loss in the credit. The exact amount of the loss has not been determined at this time.

•Loss (RR 10) – a loan or a portion of a loan that is deemed to be uncollectible.

By definition, credit risk grades special mention (RR 7), substandard (RR 8), doubtful (RR 9) and loss (RR 10) are criticized loans while substandard (RR 8), doubtful (RR 9) and loss (RR 10) are classified loans. These definitions are standardized by the bank regulatory agencies and are generally equally applied to each individual lending institution. The remaining credit risk grades are considered pass credits and are solely defined by Trustmark.

To enhance this process, Trustmark has determined that certain loans will be individually assessed, and a formal analysis will be performed and based upon the analysis the loan will be written down to the net realizable value. Trustmark will individually assess and remove loans from the pool in the following circumstances:

•Commercial nonaccrual loans with total exposure of $500 thousand (excluding those portions of the debt that are government guaranteed or are secured by Trustmark deposits or marketable securities) or more.

•Any loan that is believed to not share similar risk characteristics with the rest of the pool will be individually assessed. Otherwise, the loan will be left within the pool based on the results of the assessment.

•Commercial accruing loans deemed to be a modified loan to a borrower experiencing financial difficulty with total exposure of $500 thousand (excluding those portions of the debt that are government guaranteed or are secured by Trustmark deposits or marketable securities) or more. If the loan is believed to not share similar risk characteristics with the rest of the loan pool, the loan will be individually assessed. Otherwise, the loan will be left within the pool and monitored on an ongoing basis.

Each loan officer assesses the appropriateness of the internal risk rating assigned to their credits on an ongoing basis. Trustmark’s Asset Review area conducts independent credit quality reviews of the majority of Trustmark’s commercial loan portfolio both on the underlying credit quality of each individual loan class as well as the adherence to Trustmark’s loan policy and the loan administration process.

In addition to the ongoing internal risk rate monitoring described above, Trustmark’s Credit Quality Review Committee meets monthly and performs a review of all loans of $100 thousand or more that are either delinquent 30 days or more or on nonaccrual. This review includes recommendations regarding risk ratings, accrual status, charge-offs and appropriate servicing officer as well as evaluation of problem credits for determination of modified status. Quarterly, the Credit Quality Review Committee reviews and modifies continuous action plans for all credits risk rated seven or worse for relationships of $100 thousand or more.

In addition, periodic reviews of significant development, construction, multi-family, nonowner-occupied and other commercial credits are performed. These reviews assess each particular project with respect to location, project valuations, progress of completion, leasing status, current financial information, rents, operating expenses, cash flow, adherence to budget and projections and other information that is pertinent to the particular type of credit as applicable. Summary results are reviewed by Senior and Regional Credit Officers in addition to the Chief Credit Officer with a determination made as to the appropriateness of existing risk ratings and accrual status.

Consumer Credits

The Retail Credit Review Committee, Management Credit Policy Committee and the Enterprise Risk Committee review the volume and percentage of consumer loan delinquencies and losses to monitor the overall quality of the consumer portfolio.

Trustmark monitors the levels and severity of past due consumer LHFI on a daily basis through its collection activities. A detailed assessment of consumer LHFI delinquencies is performed monthly at both a product and market level.

The tables below present the amortized cost basis of loans by credit quality indicator and class of loans based on analyses performed at June 30, 2024 and December 31, 2023 ($ in thousands):

	Term Loans by Origination Year
	2024		2023		2022		2021			2020		Prior			Revolving Loans		Total
As of June 30, 2024	Commercial LHFI
Loans secured by real estate:
Construction, land    development and other    land:
Pass - RR 1 through RR 6	$	215,236	$	180,580	$	60,100	$	27,134		$	9,879	$	2,989		$	49,901	$	545,819
Special Mention - RR 7		—		—		—		349			—		—			—		349
Substandard - RR 8		—		72		110		—			18		—			170		370
Doubtful - RR 9		—		—		—		—			—		—			—		—
Total		215,236		180,652		60,210		27,483			9,897		2,989			50,071		546,538
Current period gross    charge-offs		—		—		—		—			—		(24	)		—		(24	)
Other secured by 1-4 family    residential properties:
Pass - RR 1 through RR 6	$	12,075	$	28,956	$	27,475	$	26,442		$	12,824	$	7,928		$	8,379	$	124,079
Special Mention - RR 7		27		406		51		40			—		—			—		524
Substandard - RR 8		59		194		627		153			—		287			32		1,352
Doubtful - RR 9		—		—		—		—			—		—			—		—
Total		12,161		29,556		28,153		26,635			12,824		8,215			8,411		125,955
Current period gross    charge-offs		—		—		—		—			—		(12	)		—		(12	)
Secured by nonfarm,    nonresidential properties:
Pass - RR 1 through RR 6	$	306,701	$	413,086	$	926,322	$	486,858		$	540,635	$	510,001		$	110,669	$	3,294,272
Special Mention - RR 7		—		—		97,410		—			18,175		19,658			—		135,243
Substandard - RR 8		25,362		8,463		34,845		30,695			10,529		59,210			—		169,104
Doubtful - RR 9		15		—		—		—			—		9			—		24
Total		332,078		421,549		1,058,577		517,553			569,339		588,878			110,669		3,598,643
Current period gross    charge-offs		—		—		—		(2,412	)		—		(16	)		—		(2,428	)
Other real estate secured:
Pass - RR 1 through RR 6	$	127,057	$	99,579	$	550,833	$	272,166		$	160,386	$	45,345		$	8,636	$	1,264,002
Special Mention - RR 7		—		—		—		39,658			—		—			—		39,658
Substandard - RR 8		98		14,651		669		64			262		25,408			—		41,152
Doubtful - RR 9		43		—		—		—			—		—			—		43
Total		127,198		114,230		551,502		311,888			160,648		70,753			8,636		1,344,855
Current period gross    charge-offs		—		—		—		—			—		—			—		—

	Term Loans by Origination Year
	2024		2023			2022			2021			2020			Prior			Revolving Loans		Total
As of June 30, 2024	Commercial LHFI
Other loans secured by real    estate:
Other construction:
Pass - RR 1 through RR 6	$	53,110	$	331,222		$	439,448		$	122,229		$	—		$	—		$	18,541	$	964,550
Special Mention - RR 7		—		—			25,290			15,082			—			—			—		40,372
Substandard - RR 8		60		—			—			—			17,462			—			—		17,522
Doubtful - RR 9		—		—			—			—			—			—			—		—
Total		53,170		331,222			464,738			137,311			17,462			—			18,541		1,022,444
Current period gross    charge-offs		—		—			(2,494	)		—			—			—			—		(2,494	)
Commercial and industrial    loans:
Pass - RR 1 through RR 6	$	293,438	$	408,202		$	289,668		$	113,913		$	52,701		$	67,048		$	486,231	$	1,711,201
Special Mention - RR 7		1,731		11,512			30,655			1,310			189			335			25,100		70,832
Substandard - RR 8		4,344		1,602			49,199			12,833			10,970			409			18,509		97,866
Doubtful - RR 9		327		9			159			145			—			55			13		708
Total		299,840		421,325			369,681			128,201			63,860			67,847			529,853		1,880,607
Current period gross    charge-offs		—		(3	)		(317	)		(370	)		(8	)		(77	)		—		(775	)
State and other political    subdivision loans:
Pass - RR 1 through RR 6	$	36,151	$	125,577		$	246,825		$	161,360		$	90,875		$	388,235		$	3,992	$	1,053,015
Special Mention - RR 7		—		—			—			—			—			—			—		—
Substandard - RR 8		—		—			—			—			—			—			—		—
Doubtful - RR 9		—		—			—			—			—			—			—		—
Total		36,151		125,577			246,825			161,360			90,875			388,235			3,992		1,053,015
Current period gross    charge-offs		—		—			—			—			—			—			—		—
Other commercial loans and leases:
Pass - RR 1 through RR 6	$	104,879	$	185,138		$	17,709		$	24,899		$	17,886		$	38,984		$	212,365	$	601,860
Special Mention - RR 7		—		—			—			—			180			—			—		180
Substandard - RR 8		968		55			124			112			—			—			906		2,165
Doubtful - RR 9		—		—			—			—			—			—			—		—
Total		105,847		185,193			17,833			25,011			18,066			38,984			213,271		604,205
Current period gross    charge-offs		—		—			(28	)		—			—			(25	)		—		(53	)
Total commercial    LHFI	$	1,181,681	$	1,809,304		$	2,797,519		$	1,335,442		$	942,971		$	1,165,901		$	943,444	$	10,176,262
Total commercial LHFI    gross charge-offs	$	—	$	(3	)	$	(2,839	)	$	(2,782	)	$	(8	)	$	(154	)	$	—	$	(5,786	)

	Term Loans by Origination Year
	2024		2023			2022			2021			2020			Prior			Revolving Loans		Total
As of June 30, 2024	Consumer LHFI
Loans secured by real estate:
Construction, land    development and other    land:
Current	$	12,399	$	39,898		$	7,752		$	4,045		$	1,115		$	2,300		$	2,409	$	69,918
Past due 30-89 days		—		25			—			3			—			12			—		40
Past due 90 days or more		—		—			—			—			—			—			—		—
Nonaccrual		—		—			—			5			—			27			—		32
Total		12,399		39,923			7,752			4,053			1,115			2,339			2,409		69,990
Current period gross    charge-offs		—		—			—			—			—			—			—		—
Other secured by 1-4 family    residential properties:
Current	$	17,683	$	22,415		$	8,508		$	5,436		$	3,978		$	10,221		$	435,337	$	503,578
Past due 30-89 days		1,149		34			63			100			54			342			4,749		6,491
Past due 90 days or more		—		—			—			—			—			65			261		326
Nonaccrual		—		12			101			44			109			486			5,663		6,415
Total		18,832		22,461			8,672			5,580			4,141			11,114			446,010		516,810
Current period gross    charge-offs		—		(49	)		(42	)		(40	)		(9	)		(28	)		—		(168	)
Secured by nonfarm,    nonresidential properties:
Current	$	—	$	—		$	—		$	4		$	—		$	—		$	—	$	4
Past due 30-89 days		—		—			—			—			—			—			—		—
Past due 90 days or more		—		—			—			—			—			—			—		—
Nonaccrual		—		—			—			—			—			—			—		—
Total		—		—			—			4			—			—			—		4
Current period gross    charge-offs		—		—			—			—			—			—			—		—
Other real estate secured:
Current	$	—	$	—		$	—		$	—		$	73		$	40		$	—	$	113
Past due 30-89 days		—		—			—			—			—			—			—		—
Past due 90 days or more		—		—			—			—			—			—			—		—
Nonaccrual		—		—			—			—			—			—			—		—
Total		—		—			—			—			73			40			—		113
Current period gross    charge-offs		—		—			—			—			—			—			—		—

	Term Loans by Origination Year
	2024			2023			2022			2021			2020			Prior			Revolving Loans			Total
As of June 30, 2024	Consumer LHFI
Other loans secured by real    estate:
Secured by 1-4 family    residential properties
Current	$	104,531		$	242,772		$	846,347		$	492,916		$	171,148		$	343,828		$	—		$	2,201,542
Past due 30-89 days		—			4,227			13,089			2,706			1,334			1,052			—			22,408
Past due 90 days or more		—			764			2,690			559			209			413			—			4,635
Nonaccrual		—			260			2,476			1,016			651			2,542			—			6,945
Total		104,531			248,023			864,602			497,197			173,342			347,835			—			2,235,530
Current period gross    charge-offs		(33	)		(89	)		(8,948	)		(29	)		—			(92	)		—			(9,191	)
Consumer loans:
Current	$	36,051		$	35,373		$	20,688		$	6,690		$	1,738		$	418		$	53,117		$	154,075
Past due 30-89 days		463			349			170			37			—			21			854			1,894
Past due 90 days or more		3			46			29			32			—			—			303			413
Nonaccrual		13			47			125			76			26			—			40			327
Total		36,530			35,815			21,012			6,835			1,764			439			54,314			156,709
Current period gross    charge-offs		(2,840	)		(495	)		(189	)		(58	)		(35	)		—			(1,315	)		(4,932	)
Total consumer LHFI	$	172,292		$	346,222		$	902,038		$	513,669		$	180,435		$	361,767		$	502,733		$	2,979,156
Total consumer LHFI    gross charge-offs	$	(2,873	)	$	(633	)	$	(9,179	)	$	(127	)	$	(44	)	$	(120	)	$	(1,315	)	$	(14,291	)
Total LHFI	$	1,353,973		$	2,155,526		$	3,699,557		$	1,849,111		$	1,123,406		$	1,527,668		$	1,446,177		$	13,155,418
Total current period    gross charge-offs	$	(2,873	)	$	(636	)	$	(12,018	)	$	(2,909	)	$	(52	)	$	(274	)	$	(1,315	)	$	(20,077	)

	Term Loans by Origination Year
	2023		2022			2021			2020		2019			Prior			Revolving Loans		Total
As of December 31, 2023	Commercial LHFI
Loans secured by real estate:
Construction, land    development and other    land:
Pass - RR 1 through RR 6	$	359,813	$	98,742		$	35,095		$	10,591	$	2,036		$	1,961		$	52,351	$	560,589
Special Mention - RR 7		—		—			360			—		—			—			—		360
Substandard - RR 8		606		336			1,512			19		—			21			—		2,494
Doubtful - RR 9		—		—			—			—		—			24			—		24
Total		360,419		99,078			36,967			10,610		2,036			2,006			52,351		563,467
Current period gross    charge-offs		—		(4	)		(10	)		—		(228	)		—			—		(242	)
Other secured by 1-4 family    residential properties:
Pass - RR 1 through RR 6	$	33,072	$	30,760		$	29,159		$	14,309	$	8,084		$	2,822		$	10,077	$	128,283
Special Mention - RR 7		—		82			48			10		—			—			—		140
Substandard - RR 8		220		625			157			22		80			306			98		1,508
Doubtful - RR 9		—		—			—			—		—			—			—		—
Total		33,292		31,467			29,364			14,341		8,164			3,128			10,175		129,931
Current period gross    charge-offs		—		—			(24	)		—		—			(6	)		—		(30	)
Secured by nonfarm,    nonresidential properties:
Pass - RR 1 through RR 6	$	501,327	$	919,519		$	526,412		$	596,240	$	323,687		$	369,250		$	129,142	$	3,365,577
Special Mention - RR 7		4,271		14,930			—			138		23,966			—			—		43,305
Substandard - RR 8		6,332		1,964			47,491			10,809		8,614			5,200			48		80,458
Doubtful - RR 9		21		—			—			—		53			13			—		87
Total		511,951		936,413			573,903			607,187		356,320			374,463			129,190		3,489,427
Current period gross    charge-offs		—		(39	)		(82	)		—		(19	)		(138	)		—		(278	)
Other real estate secured:
Pass - RR 1 through RR 6	$	194,141	$	447,200		$	332,818		$	209,757	$	56,024		$	11,080		$	8,880	$	1,259,900
Special Mention - RR 7		126		2,076			—			—		35,881			—			—		38,083
Substandard - RR 8		—		14,064			—			290		—			39			—		14,393
Doubtful - RR 9		42		—			—			—		—			—			—		42
Total		194,309		463,340			332,818			210,047		91,905			11,119			8,880		1,312,418
Current period gross    charge-offs		—		—			—			—		—			—			—		—

	Term Loans by Origination Year
	2023			2022			2021			2020			2019			Prior			Revolving Loans			Total
As of December 31, 2023	Commercial LHFI
Other loans secured by real    estate:
Other construction
Pass - RR 1 through RR 6	$	179,676		$	518,062		$	149,883		$	14,062		$	—		$	6		$	6,042		$	867,731
Special Mention - RR 7		—			—			—			—			—			—			—			—
Substandard - RR 8		62			—			—			—			—			—			—			62
Doubtful - RR 9		—			—			—			—			—			—			—			—
Total		179,738			518,062			149,883			14,062			—			6			6,042			867,793
Current period gross    charge-offs		(61	)		—			(3,392	)		—			—			—			—			(3,453	)
Commercial and industrial    loans:
Pass - RR 1 through RR 6	$	497,730		$	474,737		$	158,659		$	80,646		$	31,876		$	44,972		$	537,527		$	1,826,147
Special Mention - RR 7		12,570			10,141			3,149			1,381			110			—			126			27,477
Substandard - RR 8		4,797			16,872			13,909			11,958			40			80			21,528			69,184
Doubtful - RR 9		6			58			1			—			—			25			12			102
Total		515,103			501,808			175,718			93,985			32,026			45,077			559,193			1,922,910
Current period gross    charge-offs		(42	)		(1,071	)		(700	)		(138	)		(95	)		(108	)		(7	)		(2,161	)
State and other political    subdivision loans:
Pass - RR 1 through RR 6	$	152,157		$	247,034		$	174,812		$	99,786		$	32,118		$	377,225		$	5,334		$	1,088,466
Special Mention - RR 7		—			—			—			—			—			—			—			—
Substandard - RR 8		—			—			—			—			—			—			—			—
Doubtful - RR 9		—			—			—			—			—			—			—			—
Total		152,157			247,034			174,812			99,786			32,118			377,225			5,334			1,088,466
Current period gross    charge-offs		—			—			—			—			—			—			—			—
Other commercial loans and leases:
Pass - RR 1 through RR 6	$	211,402		$	48,947		$	30,071		$	21,377		$	32,837		$	8,468		$	201,339		$	554,441
Special Mention - RR 7		—			—			—			208			—			—			20			228
Substandard - RR 8		106			211			42			—			—			—			987			1,346
Doubtful - RR 9		—			—			—			—			—			20			—			20
Total		211,508			49,158			30,113			21,585			32,837			8,488			202,346			556,035
Current period gross    charge-offs		(40	)		(248	)		—			(26	)		—			—			—			(314	)
Total commercial    LHFI	$	2,158,477		$	2,846,360		$	1,503,578		$	1,071,603		$	555,406		$	821,512		$	973,511		$	9,930,447
Total commercial LHFI    gross charge-offs	$	(143	)	$	(1,362	)	$	(4,208	)	$	(164	)	$	(342	)	$	(252	)	$	(7	)	$	(6,478	)

	Term Loans by Origination Year
	2023		2022			2021			2020			2019			Prior			Revolving Loans			Total
As of December 31, 2023	Consumer LHFI
Loans secured by real estate:
Construction, land    development and other    land:
Current	$	44,912	$	23,110		$	5,973		$	1,203		$	1,082		$	1,864		$	653		$	78,797
Past due 30-89 days		—		250			—			—			30			191			—			471
Past due 90 days or more		—		—			—			—			—			—			—			—
Nonaccrual		—		—			148			—			—			3			—			151
Total		44,912		23,360			6,121			1,203			1,112			2,058			653			79,419
Current period gross    charge-offs		—		—			—			—			—			—			—			—
Other secured by 1-4 family    residential properties:
Current	$	29,636	$	11,366		$	5,733		$	4,471		$	4,313		$	7,674		$	417,383		$	480,576
Past due 30-89 days		225		68			74			4			51			220			4,292			4,934
Past due 90 days or more		—		264			—			—			—			41			934			1,239
Nonaccrual		8		76			48			8			—			616			4,961			5,717
Total		29,869		11,774			5,855			4,483			4,364			8,551			427,570			492,466
Current period gross    charge-offs		—		(100	)		(9	)		(2	)		(10	)		(22	)		(147	)		(290	)
Secured by nonfarm,    nonresidential properties:
Current	$	—	$	—		$	7		$	—		$	—		$	—		$	—		$	7
Past due 30-89 days		—		—			—			—			—			—			—			—
Past due 90 days or more		—		—			—			—			—			—			—			—
Nonaccrual		—		—			—			—			—			—			—			—
Total		—		—			7			—			—			—			—			7
Current period gross    charge-offs		—		—			—			—			—			—			—			—
Other real estate secured:
Current	$	—	$	—		$	—		$	78		$	—		$	55		$	—		$	133
Past due 30-89 days		—		—			—			—			—			—			—			—
Past due 90 days or more		—		—			—			—			—			—			—			—
Nonaccrual		—		—			—			—			—			—			—			—
Total		—		—			—			78			—			55			—			133
Current period gross    charge-offs		—		—			—			—			—			—			—			—

	Term Loans by Origination Year
	2023			2022			2021			2020			2019			Prior			Revolving Loans			Total
As of December 31, 2023	Consumer LHFI
Other loans secured by real    estate:
Secured by 1-4 family    residential properties
Current	$	258,800		$	878,893		$	516,324		$	180,272		$	98,552		$	277,664		$	—		$	2,210,505
Past due 30-89 days		3,370			11,293			5,513			2,121			298			1,664			—			24,259
Past due 90 days or more		376			1,219			1,208			682			—			255			—			3,740
Nonaccrual		678			15,586			11,452			4,884			1,848			9,366			—			43,814
Total		263,224			906,991			534,497			187,959			100,698			288,949			—			2,282,318
Current period gross    charge-offs		(64	)		(930	)		(217	)		(104	)		—			(142	)		—			(1,457	)
Consumer loans:
Current	$	59,496		$	32,767		$	10,698		$	2,604		$	917		$	294		$	55,321		$	162,097
Past due 30-89 days		1,274			475			134			34			5			5			839			2,766
Past due 90 days or more		64			44			3			1			—			—			516			628
Nonaccrual		44			65			84			26			—			—			24			243
Total		60,878			33,351			10,919			2,665			922			299			56,700			165,734
Current period gross    charge-offs		(6,138	)		(559	)		(167	)		(43	)		(1	)		(1	)		(2,381	)		(9,290	)
Total consumer LHFI	$	398,883		$	975,476		$	557,399		$	196,388		$	107,096		$	299,912		$	484,923		$	3,020,077
Total consumer LHFI    gross charge-offs	$	(6,202	)	$	(1,589	)	$	(393	)	$	(149	)	$	(11	)	$	(165	)	$	(2,528	)	$	(11,037	)
Total LHFI	$	2,557,360		$	3,821,836		$	2,060,977		$	1,267,991		$	662,502		$	1,121,424		$	1,458,434		$	12,950,524
Total current period    gross charge-offs	$	(6,345	)	$	(2,951	)	$	(4,601	)	$	(313	)	$	(353	)	$	(417	)	$	(2,535	)	$	(17,515	)

Past Due LHFS

LHFS past due 90 days or more totaled $58.1 million and $51.2 million at June 30, 2024 and December 31, 2023, respectively. LHFS past due 90 days or more are serviced loans eligible for repurchase, which are fully guaranteed by the Government National Mortgage Association (GNMA). GNMA optional repurchase programs allow financial institutions to buy back individual delinquent mortgage loans that meet certain criteria from the securitized loan pool for which the institution provides servicing. At the servicer’s option and without GNMA’s prior authorization, the servicer may repurchase such a delinquent loan for an amount equal to 100% of the remaining principal balance of the loan. This buy-back option is considered a conditional option until the delinquency criteria are met, at which time the option becomes unconditional. When Trustmark is deemed to have regained effective control over these loans under the unconditional buy-back option, the loans can no longer be reported as sold and must be brought back onto the balance sheet as loans held for sale, regardless of whether Trustmark intends to exercise the buy-back option. These loans are reported as held for sale with the offsetting liability being reported as short-term borrowings.

Trustmark did not exercise its buy-back option on any delinquent loans serviced for GNMA during the first six months of 2024 or 2023.

ACL on LHFI

Trustmark’s ACL methodology for LHFI is based upon guidance within the Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) Subtopic 326-20 as well as applicable regulatory guidance. The ACL is a valuation account that is deducted from the loans’ amortized cost basis to present the net amount expected to be collected on the loans. Credit quality within the LHFI portfolio is continuously monitored by Management and is reflected within the ACL for LHFI. The ACL is an estimate of expected losses inherent within Trustmark’s existing LHFI portfolio. The ACL for LHFI is adjusted through the PCL, LHFI and reduced by the charge off of loan amounts, net of recoveries.

The methodology for estimating the amount of expected credit losses reported in the ACL has two basic components: a collective, or pooled, component for estimated expected credit losses for pools of loans that share similar risk characteristics, and an asset-specific component involving individual loans that do not share risk characteristics with other loans and the measurement of expected credit

losses for such individual loans. In estimating the ACL for the collective component, loans are segregated into loan pools based on loan product types and similar risk characteristics.

The loans secured by real estate and other loans secured by real estate portfolio segments include loans for both commercial and residential properties. The underwriting process for these loans includes analysis of the financial position and strength of both the borrower and guarantor, experience with similar projects in the past, market demand and prospects for successful completion of the proposed project within the established budget and schedule, values of underlying collateral, availability of permanent financing, maximum loan-to-value ratios, minimum equity requirements, acceptable amortization periods and minimum debt service coverage requirements, based on property type. The borrower’s financial strength and capacity to repay their obligations remain the primary focus of underwriting. Financial strength is evaluated based upon analytical tools that consider historical and projected cash flows and performance in addition to analysis of the proposed project for income-producing properties. Additional support offered by guarantors is also considered. Ultimate repayment of these loans is sensitive to interest rate changes, general economic conditions, liquidity and availability of long-term financing.

The commercial and industrial LHFI portfolio segment includes loans within Trustmark’s geographic markets made to many types of businesses for various purposes, such as short-term working capital loans that are usually secured by accounts receivable and inventory and term financing for equipment and fixed asset purchases that are secured by those assets. Trustmark’s credit underwriting process for commercial and industrial loans includes analysis of historical and projected cash flows and performance, evaluation of financial strength of both borrowers and guarantors as reflected in current and detailed financial information and evaluation of underlying collateral to support the credit.

The consumer LHFI portfolio segment is comprised of loans that are centrally underwritten based on the borrower's credit bureau score as well as an evaluation of the borrower’s repayment capacity, credit, and collateral. Property appraisals are obtained to assist in evaluating collateral. Loan-to-value and debt-to-income ratios, loan amount, and lien position are also considered in assessing whether to originate a loan. These borrowers are particularly susceptible to downturns in economic trends such as conditions that negatively affect housing prices and demand and levels of unemployment.

The state and other political subdivision LHFI and the other commercial LHFI and leases portfolio segments primarily consist of loans to non-depository financial institutions, such as mortgage companies, finance companies and other financial intermediaries, loans to state and political subdivisions, and loans to non-profit and charitable organizations. These loans are underwritten based on the specific nature or purpose of the loan and underlying collateral with special consideration given to the specific source of repayment for the loan. The lease segment primarily consists of commercial equipment finance leases. Trustmark’s credit underwriting process for equipment finance leases includes analysis of historical and projected cash flows and performance, evaluation of financial strength of both borrowers and guarantors as reflected in current and detailed financial information and evaluation of underlying collateral to support the credit.

During the first quarter of 2024 as part of Trustmark's ongoing model monitoring procedures the annual loss driver analysis was performed. The analysis resulted in changes in the loss drivers for all discounted cash-flow models along with changes in the loss drivers for the equipment and finance loans and leases model. These changes were a result of updating Trustmark's peer group and incorporating data through 2022 which led to more intuitive loss drivers. All models were validated by a third party before implementation.

The following table provides a description of each of Trustmark’s portfolio segments, loan classes, loan pools and the ACL methodology and loss drivers at June 30, 2024:

Portfolio Segment	Loan Class	Loan Pool	Methodology	Loss Drivers
Loans secured by real estate	Construction, land    development and other land	1-4 family residential    construction	DCF	National HPI, National Unemployment
		Lots and development	DCF	National HPI, National Unemployment
		Unimproved land	DCF	National HPI, National Unemployment
		All other consumer	DCF	National HPI, National Unemployment
	Other secured by 1-4    family residential properties	Consumer 1-4 family - 1st liens	DCF	National HPI, National Unemployment
		All other consumer	DCF	National HPI, National Unemployment
		Nonresidential owner-occupied	DCF	Southern Unemployment, National CRE Price Index
	Secured by nonfarm,    nonresidential properties	Nonowner-occupied -    hotel/motel	DCF	National CRE Price Index, Southern Unemployment
		Nonowner-occupied - office	DCF	National CRE Price Index, Southern Unemployment
		Nonowner-occupied- Retail	DCF	National CRE Price Index, Southern Unemployment
		Nonowner-occupied - senior    living/nursing homes	DCF	National CRE Price Index, Southern Unemployment
		Nonowner-occupied -    all other	DCF	National CRE Price Index, Southern Unemployment
		Nonresidential owner-occupied	DCF	Southern Unemployment, National CRE Price Index
	Other real estate secured	Nonresidential nonowner    -occupied - apartments	DCF	National CRE Price Index, Southern Unemployment
		Nonresidential owner-occupied	DCF	Southern Unemployment, National CRE Price Index
		Nonowner-occupied -    all other	DCF	National CRE Price Index, Southern Unemployment
Other loans secured by    real estate	Other construction	Other construction	DCF	National CRE Price Index, National Unemployment, BBB 7-10 US CBI
	Secured by 1-4 family    residential properties	Trustmark mortgage	WARM	Southern Unemployment

Portfolio Segment	Loan Class	Loan Pool	Methodology	Loss Drivers
Commercial and    industrial loans	Commercial and    industrial loans	Commercial and industrial -    non-working capital	DCF	Trustmark historical data
		Commercial and industrial -    working capital	DCF	Trustmark historical data
		Equipment finance loans	WARM	Southern Unemployment, National GDP
		Credit cards	WARM	Trustmark call report data
Consumer loans	Consumer loans	Credit cards	WARM	Trustmark call report data
		Overdrafts	Loss Rate	Trustmark historical data
		All other consumer	DCF	National HPI, National Unemployment
State and other political    subdivision loans	State and other political    subdivision loans	Obligations of state and    political subdivisions	DCF	Moody's Bond Default Study
Other commercial loans and leases	Other commercial loans and leases	Other loans	DCF	BBB 7-10 US CBI, Southern Unemployment
		Commercial and industrial -    non-working capital	DCF	Trustmark historical data
		Commercial and industrial -    working capital	DCF	Trustmark historical data
		Equipment finance leases	WARM	Southern Unemployment, National GDP

The following table provides a description of each of Trustmark’s portfolio segments, loan classes, loan pools and the ACL methodology and loss drivers at December 31, 2023:

Portfolio Segment	Loan Class	Loan Pool	Methodology	Loss Drivers
Loans secured by real estate	Construction, land    development and other land	1-4 family residential    construction	DCF	Prime Rate, National GDP
		Lots and development	DCF	Prime Rate, Southern Unemployment
		Unimproved land	DCF	Prime Rate, Southern Unemployment
		All other consumer	DCF	Southern Unemployment
	Other secured by 1-4    family residential    properties	Consumer 1-4 family - 1st liens	DCF	Prime Rate, Southern Unemployment
		All other consumer	DCF	Southern Unemployment
		Nonresidential owner-occupied	DCF	Southern Unemployment, National GDP
	Secured by nonfarm,    nonresidential properties	Nonowner-occupied -    hotel/motel	DCF	Southern Vacancy Rate, Southern Unemployment
		Nonowner-occupied - office	DCF	Southern Vacancy Rate, Southern Unemployment
		Nonowner-occupied- Retail	DCF	Southern Vacancy Rate, Southern Unemployment
		Nonowner-occupied - senior    living/nursing homes	DCF	Southern Vacancy Rate, Southern Unemployment
		Nonowner-occupied -    all other	DCF	Southern Vacancy Rate, Southern Unemployment
		Nonresidential owner-occupied	DCF	Southern Unemployment, National GDP
	Other real estate secured	Nonresidential nonowner    -occupied - apartments	DCF	Southern Vacancy Rate, Southern Unemployment
		Nonresidential owner-occupied	DCF	Southern Unemployment, National GDP
		Nonowner-occupied -    all other	DCF	Southern Vacancy Rate, Southern Unemployment
Other loans secured by    real estate	Other construction	Other construction	DCF	Prime Rate, National Unemployment
	Secured by 1-4 family    residential properties	Trustmark mortgage	WARM	Southern Unemployment
Commercial and    industrial loans	Commercial and    industrial loans	Commercial and industrial -    non-working capital	DCF	Trustmark historical data
		Commercial and industrial -    working capital	DCF	Trustmark historical data
		Equipment finance loans	WARM	Southern Unemployment, Southern GDP
		Credit cards	WARM	Trustmark call report data
Consumer loans	Consumer loans	Credit cards	WARM	Trustmark call report data
		Overdrafts	Loss Rate	Trustmark historical data
		All other consumer	DCF	Southern Unemployment
State and other political    subdivision loans	State and other political    subdivision loans	Obligations of state and    political subdivisions	DCF	Moody's Bond Default Study
Other commercial loans and leases	Other commercial loans and leases	Other loans	DCF	Prime Rate, Southern Unemployment
		Commercial and industrial -    non-working capital	DCF	Trustmark historical data
		Commercial and industrial -    working capital	DCF	Trustmark historical data
		Equipment finance leases	WARM	Southern Unemployment, Southern GDP

In general, Trustmark utilizes a DCF method to estimate the quantitative portion of the ACL for loan pools. The DCF model consists of two key components, a loss driver analysis (LDA) and a cash flow analysis. For loan pools utilizing the DCF methodology, multiple assumptions are in place, depending on the loan pool. A reasonable and supportable forecast is utilized for each loan pool by developing a LDA for each loan class. The LDA uses charge off data from Federal Financial Institutions Examination Council (FFIEC) reports to construct a periodic default rate (PDR). The PDR is decomposed into a PD. Regressions are run using the data for various macroeconomic variables in order to determine which ones correlate to Trustmark’s losses. These variables are then incorporated into the application to calculate a quarterly PD using a third-party baseline forecast. In addition to the PD, a LGD is derived using a method referred to as Frye Jacobs. The Frye Jacobs method is a mathematical formula that traces the relationship between LGD and PD over time and projects the LGD based on the levels of PD forecasts. This model approach is applicable to all pools within the construction, land development and other land, other secured by 1-4 family residential properties, secured by nonfarm, nonresidential properties and other real estate secured loan classes as well as consumer loans and other commercial loans.

During 2022, Management elected to incorporate a methodology change related to the other construction pool. Components of this change include management utilizing an alternative LDA to support the PD and LGD assumptions necessary to apply a DCF methodology to the other construction pool. Fundamentally, this approach utilizes publicly reported default balances and leverages a generalized linear model (GLM) framework to estimate PD. Taken together, these differences allow for results to be scaled to be specific and directly applicable to the other construction segment. LGD is assumed to be a through-the-cycle constant based on the actual performance of Trustmark’s other construction segment. These assumptions are then input into the DCF model and used in conjunction with prepayment data to calculate the cash flows at the individual loan level. Previously, the other construction pool used the weighted average remaining maturity (WARM) method. Management believes this change is commensurate with the level of risk in the pool.

For the commercial and industrial loans related pools, Trustmark uses its own PD and LGD data, instead of the macroeconomic variables and the Frye Jacobs method described above, to calculate the PD and LGD as there were no defensible macroeconomic variables that correlated to Trustmark’s losses. Trustmark utilizes a third-party Bond Default Study to derive the PD and LGD for the obligations of state and political subdivisions pool. Due to the lack of losses within this pool, no defensible macroeconomic factors were identified to correlate.

The PD and LGD measures are used in conjunction with prepayment data as inputs into the DCF model to calculate the cash flows at the individual loan level. Contractual cash flows based on loan terms are adjusted for PD, LGD and prepayments to derive loss cash flows. These loss cash flows are discounted by the loan’s coupon rate to arrive at the discounted cash flow based quantitative loss. The prepayment studies are updated quarterly by a third-party for each applicable pool.

An alternate method of estimating the ACL is used for certain loan pools due to specific characteristics of these loans. For the non-DCF pools, specifically, those using the WARM method, the remaining life is incorporated into the ACL quantitative calculation.

During the second quarter of 2024, Trustmark executed a sale on a portfolio of 1-4 family mortgage loans that were at least three payments delinquent and/or nonaccrual at the time of selection. As a result of this sale, a credit mark was established for a sub-pool of the loans in the sale. Due to the lack of historical experience and the use of industry data for this sub-pool, management elected to use the credit mark for reserving purposes on a go forward basis for this sub-pool that meets the same credit criteria of being three payments delinquent and/or nonaccrual. All loans of the sub-pool that meet the above credit criteria will be removed from the 1-4 family residential properties pool and placed into a separate pool with the credit mark reserve applied to the total balance.

Trustmark determined that reasonable and supportable forecasts could be made for a twelve-month period for all of its loan pools. To the extent the lives of the loans in the LHFI portfolio extend beyond this forecast period, Trustmark uses a reversion period of four quarters and reverts to the historical mean on a straight-line basis over the remaining life of the loans. The econometric models currently in production reflect segment or pool level sensitivities of PD to changes in macroeconomic variables. By measuring the relationship between defaults and changes in the economy, the quantitative reserve incorporates reasonable and supportable forecasts of future conditions that will affect the value of Trustmark’s assets, as required by FASB ASC Topic 326. Under stable forecasts, these linear regressions will reasonably predict a pool’s PD. However, due to the COVID-19 pandemic, the macroeconomic variables used for reasonable and supportable forecasting changed rapidly. At the macroeconomic levels experienced during the COVID-19 pandemic, it was not clear that the models in production would produce reasonably representative results since the models were originally estimated using data beginning in 2004 through 2019. During this period, a traditional, albeit severe, economic recession occurred. Thus, econometric models are sensitive to similar future levels of PD.

In order to prevent the econometric models from extrapolating beyond reasonable boundaries of their input variables, Trustmark chose to establish an upper and lower limit process when applying the periodic forecasts. In this way, Management will not rely upon unobserved and untested relationships in the setting of the quantitative reserve. This approach applies to all input variables, including: Southern Unemployment, National Unemployment, National Gross Domestic Product (GDP), National Home Price Index (HPI),

National Commercial Real Estate (CRE) Price Index and the BBB 7-10 Year US Corporate Bond Index (CBI). The upper and lower limits are based on the distribution of the macroeconomic variable by selecting extreme percentiles at the upper and lower limits of the distribution, the 1stand 99th percentiles, respectively. These upper and lower limits are then used to calculate the PD for the forecast time period in which the forecasted values are outside of the upper and lower limit range. Due to multiple periods having a PD or LGD at or near zero as a result of the improving macroeconomic forecasts, Management implemented PD and LGD floors to account for the risk associated with each portfolio. The PD and LGD floors are based on Trustmark’s historical loss experience and applied at a portfolio level.

Qualitative factors used in the ACL methodology include the following:

•Lending policies and procedures

•Economic conditions and concentrations of credit

•Nature and volume of the portfolio

•Performance trends

•External factors

While all these factors are incorporated into the overall methodology, only three are currently considered active at June 30, 2024: (i) economic conditions and concentrations of credit, (ii) nature and volume of the portfolio and (iii) performance trends.

Two of Trustmark’s largest loan classes are the loans secured by nonfarm, nonresidential properties and the loans secured by other real estate. Trustmark elected to create a qualitative factor specifically for these loan classes which addresses changes in the economic conditions of metropolitan areas and applies additional pool level reserves. This qualitative factor is based on third-party market data and forecast trends and is updated quarterly as information is available, by market and by loan pool.

Trustmark's current quantitative methodologies do not completely incorporate changes in credit quality. As a result, Trustmark utilizes the performance trends qualitative factor. This factor is based on migration analyses, that allocates additional ACL to non-pass/delinquent loans within each pool. In this way, Management believes the ACL will directly reflect changes in risk, based on the performance of the loans within a pool, whether declining or improving.

The performance trends qualitative factor is estimated by properly segmenting loan pools into risk levels by risk rating for commercial credits and delinquency status for consumer credits. A migration analysis is then performed quarterly using a third-party software and the results for each risk level are compiled to calculate the historical PD average for each loan portfolio based on risk levels. This average historical PD rate is updated annually. For the mortgage portfolio, Trustmark uses an internal report to incorporate a roll rate method for the calculation of the PD rate. In addition to the PD rate for each portfolio, Management incorporates the quantitative rate and the k value derived from the Frye-Jacobs method to calculate a loss estimate that includes both PD and LGD. The quantitative rate is used to eliminate any additional reserve that the quantitative reserve already includes. Finally, the loss estimate rate is then applied to the total balances for each risk level for each portfolio to calculate a qualitative reserve.

During 2022, Management elected to activate the nature and volume of the portfolio qualitative factor as a result of a sub-pool of the secured by 1-4 family residential properties growing to a significant size along with the underlying nature being different as well. The nature and volume of the portfolio qualitative factor utilizes a WARM methodology that uses industry data for the assumptions to support the qualitative adjustment. The industry data is used to compile a PD based on credit score ranges along with using the industry data to compile an LGD. The sub-pool of credits is then aggregated into the appropriate credit score bands in which a weighted average loss rate is calculated based on the PD and LGD for each credit score range. This weighted average loss rate is then applied to the expected balance for the sub-segment of credits. This total is then used as the qualitative reserve adjustment.

The external factors qualitative factor is Management’s best judgment on the loan or pool level impact of all factors that affect the portfolio that are not accounted for using any other part of the ACL methodology (e.g., natural disasters, changes in legislation, impacts due to technology and pandemics). Trustmark's External Factor – Pandemic ensures reserve adequacy for collectively evaluated loans most likely to be impacted by the unique economic and behavioral conditions created by the COVID-19 pandemic. Additional qualitative reserves are derived based on two principles. The first is the disconnect of economic factors to Trustmark’s modeled PD (derived from the econometric models underpinning the quantitative pooled reserves). During the pandemic, extraordinary measures by the federal government were made available to consumers and businesses, including COVID-19 loan payment concessions, direct transfer payments to households, tax deferrals, and reduced interest rates, among others. These government interventions may have extended the lag between economic conditions and default, relative to what was captured in the model development data. Because Trustmark’s econometric PD models rely on the observed relationship from the economic downturn from 2007 to 2009 in both timing and severity, Management did not expect the models to reflect these conditions. For example, while the models would predict

contemporaneous unemployment peaks and loan defaults, this might not have occurred when borrowers could request payment deferrals. Thus, for the affected population, economic conditions were not fully considered as a part of Trustmark’s quantitative reserve. The second principle is the change in risk that is identified by rating changes. As a part of Trustmark’s credit review process, loans in the affected population were given more frequent screening to ensure accurate ratings were maintained through this dynamic period. Trustmark’s quantitative reserve did not directly address changes in ratings, thus a migration qualitative factor was designed to work in concert with the quantitative reserve.

As discussed above, the disconnect of economic factors means that changes in rating caused by deteriorating and weak economic conditions as a result of the pandemic were not being captured in the quantitative reserve. During 2020, due to unforeseen pandemic conditions that varied from Management’s expectations, additional reserves were further dimensioned in order to appropriately reflect the risk within the portfolio related to the COVID-19 pandemic. In an effort to ensure the External Factor-Pandemic qualitative factor was reasonable and supportable, historical Trustmark loss data was leveraged to construct a framework that was quantitative in nature. To dimension the additional reserve, Management used the sensitivity of the quantitative commercial loan reserve to changes in macroeconomic conditions to apply to loans rated acceptable or better (RR 1-4). In addition, to account for the known changes in risk, a weighted average of the commercial loan portfolio loss rate, derived from the performance trends qualitative factor, was used to dimension additional reserves for downgraded credits. Loans rated acceptable with risk (RR 5) or watch (RR 6) received the additional reserves based on the average of the macroeconomic conditions and weighted-average of the commercial loan portfolio loss rate while the loans rated special mention (RR 7) and substandard (RR 8) received additional reserves based on the weighted-average described above. During 2022, Management noted that all pass rated loans (RR 5 & RR 6) related to the External Factor-Pandemic qualitative factor either did not experience significant stress related to the pandemic or had since recovered and did not expect future stresses attributed to the pandemic that could affect these loans. As a result, Management decided to accelerate the release of the additional pandemic reserves on all pass rated loans as a result of pandemic conditions resolving. During the fourth quarter of 2023, Management decided to resolve the External Factor-Pandemic qualitative factor as a result of the remaining loan balances that were identified as COVID affected loans being immaterial from both a reserve and balance perspective. The remaining loans were incorporated back into the performance qualitative factor as a result of this resolution. Further, due to this resolution there is no longer any active External Factor as of December 31, 2023.

The following tables disaggregate the ACL and the amortized cost basis of the loans by the measurement methodology used at June 30, 2024 and December 31, 2023 ($ in thousands):

	June 30, 2024
	ACL						LHFI
	Individually Evaluated for Credit Loss		Collectively Evaluated for Credit Loss		Total		Individually Evaluated for Credit Loss		Collectively Evaluated for Credit Loss		Total
Loans secured by real estate:
Construction, land development and    other land	$	—	$	5,101	$	5,101	$	—		616,528	$	616,528
Other secured by 1-4 family residential    properties		—		10,373		10,373		907		641,858		642,765
Secured by nonfarm, nonresidential    properties		—		41,136		41,136		9,730		3,588,917		3,598,647
Other real estate secured		—		12,037		12,037		—		1,344,968		1,344,968
Other loans secured by real estate:
Other construction		—		13,897		13,897		—		1,022,444		1,022,444
Secured by 1-4 family residential    properties		—		30,647		30,647		1,019		2,234,511		2,235,530
Commercial and industrial loans		11,491		17,244		28,735		14,812		1,865,795		1,880,607
Consumer loans		—		5,645		5,645		—		156,709		156,709
State and other political subdivision loans		—		625		625		—		1,053,015		1,053,015
Other commercial loans and leases		887		5,602		6,489		887		603,318		604,205
Total	$	12,378	$	142,307	$	154,685	$	27,355	$	13,128,063	$	13,155,418

	December 31, 2023
	ACL						LHFI
	Individually Evaluated for Credit Loss		Collectively Evaluated for Credit Loss		Total		Individually Evaluated for Credit Loss		Collectively Evaluated for Credit Loss		Total
Loans secured by real estate:
Construction, land development and    other land	$	—	$	17,192	$	17,192	$	2,020	$	640,866	$	642,886
Other secured by 1-4 family residential    properties		—		12,942		12,942		946		621,451		622,397
Secured by nonfarm, nonresidential    properties		—		24,043		24,043		20,812		3,468,622		3,489,434
Other real estate secured		—		4,488		4,488		—		1,312,551		1,312,551
Other loans secured by real estate:
Other construction		—		5,758		5,758		—		867,793		867,793
Secured by 1-4 family residential    properties		—		34,794		34,794		3,235		2,279,083		2,282,318
Commercial and industrial loans		11,436		15,202		26,638		21,102		1,901,808		1,922,910
Consumer loans		—		5,794		5,794		—		165,734		165,734
State and other political subdivision loans		—		646		646		—		1,088,466		1,088,466
Other commercial loans and leases		967		6,105		7,072		967		555,068		556,035
Total	$	12,403	$	126,964	$	139,367	$	49,082	$	12,901,442	$	12,950,524

Changes in the ACL, LHFI were as follows for the periods presented ($ in thousands):

	Three Months Ended June 30,						Six Months Ended June 30,
	2024			2023			2024			2023
Balance at beginning of period	$	142,998		$	122,239		$	139,367		$	120,214
Loans charged-off, sale of 1-4 family mortgage loans		(8,633	)		—			(8,633	)		—
Loans charged-off		(5,120	)		(2,773	)		(11,444	)		(5,769	)
Recoveries		2,111			1,621			4,358			3,398
Net (charge-offs) recoveries		(11,642	)		(1,152	)		(15,719	)		(2,371	)
PCL, LHFI		14,696			8,211			22,404			11,455
PCL, LHFI sale of 1-4 family mortgage loans		8,633			—			8,633			—
Balance at end of period	$	154,685		$	129,298		$	154,685		$	129,298

The following tables detail changes in the ACL, LHFI by loan class for the periods presented ($ in thousands):

	Three Months Ended June 30, 2024
	Balance at Beginning of Period		Charge-offs			Recoveries		PCL			Balance at End of Period
Loans secured by real estate:
Construction, land development and other land	$	5,743	$	—		$	7	$	(649	)	$	5,101
Other secured by 1-4 family residential properties		10,554		(104	)		63		(140	)		10,373
Secured by nonfarm, nonresidential properties		33,292		—			17		7,827			41,136
Other real estate secured		9,251		—			—		2,786			12,037
Other loans secured by real estate:
Other construction		12,065		(2,494	)		255		4,071			13,897
Secured by 1-4 family residential properties		31,946		(8,780	)		27		7,454			30,647
Commercial and industrial loans		27,930		(191	)		272		724			28,735
Consumer loans		5,523		(2,184	)		1,447		859			5,645
State and other political subdivision loans		638		—			—		(13	)		625
Other commercial loans and leases		6,056		—			23		410			6,489
Total	$	142,998	$	(13,753	)	$	2,111	$	23,329		$	154,685

The PCL, LHFI for the secured by nonfarm, nonresidential properties, the secured by 1-4 family residential properties, other construction, and other real estate secured portfolios for the three months ended June 30, 2024 was primarily due to net adjustments to the qualitative factors due to credit migration coupled with loan growth.

The negative PCL, LHFI for the construction, land development and other land and the other secured by 1-4 family residential properties portfolios for the three months ended June 30, 2024 was primarily due to changes in the macroeconomic forecast.

	Three Months Ended June 30, 2023
	Balance at Beginning of Period		Charge-offs			Recoveries		PCL			Balance at End of Period
Loans secured by real estate:
Construction, land development and other land	$	13,260	$	—		$	64	$	2,019		$	15,343
Other secured by 1-4 family residential properties		11,918		(86	)		75		266			12,173
Secured by nonfarm, nonresidential properties		18,640		(58	)		10		1,784			20,376
Other real estate secured		2,362		—			2		1,117			3,481
Other loans secured by real estate:
Other construction		14,470		—			18		(111	)		14,377
Secured by 1-4 family residential properties		26,156		(161	)		14		2,546			28,555
Commercial and industrial loans		23,462		(456	)		217		(53	)		23,170
Consumer loans		5,532		(1,989	)		1,221		776			5,540
State and other political subdivision loans		729		—			—		(53	)		676
Other commercial loans and leases		5,710		(23	)		—		(80	)		5,607
Total	$	122,239	$	(2,773	)	$	1,621	$	8,211		$	129,298

The increases in the PCL, LHFI for the three months ended June 30, 2023 were primarily attributable to extended maturities on the secured by 1-4 family residential properties portfolio resulting from lower prepayment speeds, the weakening macroeconomic forecasts and loan growth.

	Six Months Ended June 30, 2024
	Balance at Beginning of Period		Charge-offs			Recoveries		PCL			Balance at End of Period
Loans secured by real estate:
Construction, land development and other land	$	17,192	$	(24	)	$	8	$	(12,075	)	$	5,101
Other secured by 1-4 family residential properties		12,942		(180	)		513		(2,902	)		10,373
Secured by nonfarm, nonresidential properties		24,043		(2,428	)		26		19,495			41,136
Other real estate secured		4,488		—			—		7,549			12,037
Other loans secured by real estate:
Other construction		5,758		(2,494	)		272		10,361			13,897
Secured by 1-4 family residential properties		34,794		(9,191	)		65		4,979			30,647
Commercial and industrial loans		26,638		(775	)		470		2,402			28,735
Consumer loans		5,794		(4,932	)		2,952		1,831			5,645
State and other political subdivision loans		646		—			—		(21	)		625
Other commercial loans and leases		7,072		(53	)		52		(582	)		6,489
Total	$	139,367	$	(20,077	)	$	4,358	$	31,037		$	154,685

The PCL, LHFI for the secured by nonfarm, nonresidential properties, other construction and other real estate secured portfolios for the six months ended June 30, 2024 was primarily due to changes in the macroeconomic forecast associated with these specific loss driver models as a result of the loss driver update, coupled with net adjustments to the qualitative factors due to credit migration and loan growth. The PCL, LHFI for the secured by 1-4 family residential properties portfolio for the six months ended June 30, 2024 was primarily due to adjustments to the Nature and Volume of Portfolio qualitative factor, coupled with implementing the credit mark reserve as a result of the mortgage loan sale. The PCL, LHFI for the commercial and industrial portfolio for the six months ended June 30, 2024 was primarily due to net adjustments to the qualitative factors due to credit migration.

The negative PCL, LHFI for the construction, land development and other land, other secured by 1-4 family residential properties, and other commercial loans and leases portfolios for the six months ended June 30, 2024 was primarily due to changes in the macroeconomic forecast associated with these specific loss driver models as a result of the loss driver update for these loan portfolios.

	Six Months Ended June 30, 2023
	Balance at Beginning of Period		Charge-offs			Recoveries		PCL			Balance at End of Period
Loans secured by real estate:
Construction, land development and other land	$	12,828	$	(14	)	$	72	$	2,457		$	15,343
Other secured by 1-4 family residential properties		12,374		(120	)		122		(203	)		12,173
Secured by nonfarm, nonresidential properties		19,488		(86	)		106		868			20,376
Other real estate secured		4,743		—			5		(1,267	)		3,481
Other loans secured by real estate:
Other construction		15,132		—			48		(803	)		14,377
Secured by 1-4 family residential properties		21,185		(455	)		20		7,805			28,555
Commercial and industrial loans		23,140		(927	)		487		470			23,170
Consumer loans		5,792		(4,144	)		2,538		1,354			5,540
State and other political subdivision loans		885		—			—		(209	)		676
Other commercial loans and leases		4,647		(23	)		—		983			5,607
Total	$	120,214	$	(5,769	)	$	3,398	$	11,455		$	129,298

The increases in the PCL, LHFI for the six months ended June 30, 2023 were primarily attributable to loan growth and the nature and volume of portfolio qualitative factor.

The PCL, LHFI for the other construction portfolio and the other real estate secured portfolio decreased $2.1 million during the six months ended June 30, 2023 primarily due to improvements in the macroeconomic forecast variables used in the ACL modeling, such as National and Southern Unemployment, National GDP, Prime Rate, and Southern Vacancy Rate and the PD and LGD floors.