The following tables are a summary of the amortized cost and estimated fair value of securities available for sale and held to maturity at March 31, 2021 and December 31, 2020 ($ in thousands):

	Securities Available for Sale									Securities Held to Maturity
March 31, 2021	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value		Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
U.S. Government agency obligations	$	17,778	$	48	$	(477	)	$	17,349	$	—	$	—	$	—		$	—
Obligations of states and political subdivisions		5,182		616		—			5,798		26,554		158		(9	)		26,703
Mortgage-backed securities
Residential mortgage pass-through securities
Guaranteed by GNMA		51,065		1,344		(3	)		52,406		7,268		349		—			7,617
Issued by FNMA and FHLMC		1,748,044		16,068		(14,968	)		1,749,144		61,855		1,941		—			63,796
Other residential mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		337,616		8,283		(30	)		345,869		324,360		17,162		(46	)		341,476
Commercial mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		167,749		903		(1,542	)		167,110		73,701		2,003		—			75,704
Total	$	2,327,434	$	27,262	$	(17,020	)	$	2,337,676	$	493,738	$	21,613	$	(55	)	$	515,296


December 31, 2020
U.S. Government agency obligations	$	18,378	$	144	$	(481	)	$	18,041	$	—	$	—	$	—		$	—
Obligations of states and political subdivisions		5,198		637		—			5,835		26,584		258		(3	)		26,839
Mortgage-backed securities
Residential mortgage pass-through securities
Guaranteed by GNMA		55,193		1,672		(3	)		56,862		7,598		382		—			7,980
Issued by FNMA and FHLMC		1,421,861		20,768		(1,308	)		1,441,321		67,944		2,397		—			70,341
Other residential mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		409,883		9,600		(46	)		419,437		360,361		19,678		(55	)		379,984
Commercial mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		49,260		1,068		(9	)		50,319		75,585		2,386		—			77,971
Total	$	1,959,773	$	33,889	$	(1,847	)	$	1,991,815	$	538,072	$	25,101	$	(58	)	$	563,115

During 2013, Trustmark reclassified approximately $1.099 billion of securities available for sale to securities held to maturity. The securities were transferred at fair value, which became the cost basis for the securities held to maturity. At the date of transfer, the net unrealized holding loss on the available for sale securities totaled approximately $46.6 million ($28.8 million, net of tax). The net unrealized holding loss is 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 the transfer. At March 31, 2021, the net unamortized, unrealized loss on the transferred securities included in accumulated other comprehensive income (loss) in the accompanying balance sheet totaled approximately $8.2 million ($6.2 million, net of tax) compared to approximately $8.9 million ($6.7 million, net of tax) at December 31, 2020.

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 Trustmark records will be limited to the amount by which the amortized cost exceeds the fair value. The DCF analysis utilizes contractual maturities, as well as third-party credit ratings and cumulative default rates published annually by Moody’s Investor Service (Moody’s).

At both March 31, 2021 and December 31, 2020, the results of the analysis did not identify any securities that violate the credit loss triggers; therefore, no DCF analysis was performed 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 March 31, 2021, accrued interest receivable totaled $4.2 million for securities available for sale compared to $4.0 million at December 31, 2020 and was reported in other assets on the accompanying consolidated balance sheets.

At both March 31, 2021 and December 31, 2020, the potential credit loss exposure was $26.6 million and consisted of municipal securities. After applying appropriate probability of default and loss given default assumptions, the total amount of current expected credit losses was deemed immaterial. Therefore, no reserve was recorded at March 31, 2021 and December 31, 2020.

Accrued interest receivable is excluded from the estimate of credit losses for securities held to maturity. At both March 31, 2021 and December 31, 2020, accrued interest receivable totaled $1.2 million for securities held to maturity and was reported in other assets on the accompanying consolidated balance sheets.

At both March 31, 2021 and December 31, 2020, Trustmark had no securities held to maturity that were past due 30 days or more as to principal or interest payments. Trustmark had no securities held to maturity classified as nonaccrual at March 31, 2021 and December 31, 2020.

Trustmark monitors the credit quality of securities held to maturity on a monthly basis through credit ratings. The following table presents the amortized cost of Trustmark’s securities held to maturity by credit rating, as determined by Moody’s, at March 31, 2021 and December 31, 2020 ($ in thousands):

(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 and segregated by length of impairment at March 31, 2021 and December 31, 2020 ($ in thousands):

	Less than 12 Months					12 Months or More					Total
March 31, 2021	Estimated Fair Value		Gross Unrealized Losses			Estimated Fair Value		Gross Unrealized Losses			Estimated Fair Value		Gross Unrealized Losses
U.S. Government agency obligations	$	1,462	$	(10	)	$	10,986	$	(467	)	$	12,448	$	(477	)
Obligations of states and political subdivisions		5,009		(6	)		667		(3	)		5,676		(9	)
Mortgage-backed securities
Residential mortgage pass-through securities
Guaranteed by GNMA		1,120		(3	)		—		—			1,120		(3	)
Issued by FNMA and FHLMC		1,128,087		(14,968	)		—		—			1,128,087		(14,968	)
Other residential mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		21,995		(76	)		—		—			21,995		(76	)
Commercial mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		65,692		(1,533	)		654		(9	)		66,346		(1,542	)
Total	$	1,223,365	$	(16,596	)	$	12,307	$	(479	)	$	1,235,672	$	(17,075	)


December 31, 2020
U.S. Government agency obligations	$	—	$	—		$	11,167	$	(481	)	$	11,167	$	(481	)
Obligations of states and political subdivisions		—		—			667		(3	)		667		(3	)
Mortgage-backed securities
Residential mortgage pass-through securities
Guaranteed by GNMA		1,636		(3	)		—		—			1,636		(3	)
Issued by FNMA and FHLMC		324,905		(1,308	)		—		—			324,905		(1,308	)
Other residential mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		29,398		(101	)		—		—			29,398		(101	)
Commercial mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		—		—			659		(9	)		659		(9	)
Total	$	355,939	$	(1,412	)	$	12,493	$	(493	)	$	368,432	$	(1,905	)

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 maturity.

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

Securities with a carrying value of $1.859 billion and $1.964 billion at March 31, 2021 and December 31, 2020, respectively, were pledged to collateralize public deposits and securities sold under repurchase agreements and for other purposes as permitted by law. At both March 31, 2021 and December 31, 2020, none of these securities were pledged under the Federal Reserve Discount Window program to provide additional contingency funding capacity.

The amortized cost and estimated fair value of securities available for sale and held to maturity at March 31, 2021, 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.