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, 2021 and December 31, 2020 ($ in thousands):

	Securities Available for Sale									Securities Held to Maturity
June 30, 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. Treasury securities	$	29,988	$	37	$	—		$	30,025	$	—	$	—	$	—		$	—
U.S. Government agency obligations		16,289		121		(387	)		16,023		—		—		—			—
Obligations of states and political subdivisions		5,167		640		—			5,807		12,994		117		(5	)		13,106
Mortgage-backed securities
Residential mortgage pass-through securities
Guaranteed by GNMA		47,365		1,091		(11	)		48,445		6,249		289		—			6,538
Issued by FNMA and FHLMC		1,975,328		15,621		(7,166	)		1,983,783		53,406		1,773		—			55,179
Other residential mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		277,411		6,620		(43	)		283,988		291,477		15,470		(38	)		306,909
Commercial mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		180,337		861		(530	)		180,668		68,886		1,670		—			70,556
Total	$	2,531,885	$	24,991	$	(8,137	)	$	2,548,739	$	433,012	$	19,319	$	(43	)	$	452,288



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 June 30, 2021, the net unamortized, unrealized loss on the transferred securities included in accumulated other comprehensive income (loss) in the accompanying balance sheet totaled approximately $7.5 million ($5.6 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 June 30, 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 June 30, 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 June 30, 2021, the potential credit loss exposure was $13.0 million compared to $26.6 million at December 31, 2020 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, 2021 and December 31, 2020.

Accrued interest receivable is excluded from the estimate of credit losses for securities held to maturity. At June 30, 2021 and accrued interest receivable totaled $888 thousand for securities held to maturity compared to $1.2 million at December 31, 2020 and was reported in other assets on the accompanying consolidated balance sheets.

At both June 30, 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 June 30, 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 June 30, 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 June 30, 2021 and December 31, 2020 ($ in thousands):

	Less than 12 Months					12 Months or More					Total
June 30, 2021	Estimated Fair Value		Gross Unrealized Losses			Estimated Fair Value		Gross Unrealized Losses			Estimated Fair Value		Gross Unrealized Losses
U.S. Government agency obligations	$	—	$	—		$	10,003	$	(387	)	$	10,003	$	(387	)
Obligations of states and political subdivisions		3,206		(3	)		667		(2	)		3,873		(5	)
Mortgage-backed securities
Residential mortgage pass-through securities
Guaranteed by GNMA		1,143		(11	)		—		—			1,143		(11	)
Issued by FNMA and FHLMC		924,404		(7,166	)		—		—			924,404		(7,166	)
Other residential mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		19,828		(81	)		—		—			19,828		(81	)
Commercial mortgage-backed securities
Issued or guaranteed by FNMA, FHLMC or GNMA		89,050		(521	)		649		(9	)		89,699		(530	)
Total	$	1,037,631	$	(7,782	)	$	11,319	$	(398	)	$	1,048,950	$	(8,180	)


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 at maturity.

During the six months ended June 30, 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 $2.163 billion and $1.964 billion at June 30, 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 June 30, 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 June 30, 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.