103 CONSOLIDATED FINANCIAL STATEMENTS 2026 Barbados Public Workers’ Co-operative Credit Union Limited Notes to the Consolidated Financial Statements March 31, 2026 (expressed in Barbados dollars) 71 24 Financial Risk Management …continued 24.2 Credit risk …continued Assessment of corporate investments (term deposits) …continued Corporate term deposits and investments were staged based on the probability of default ratings assigned to each entity. These investments were categorized as follows: Corporate term deposits and investments were assessed for credit risk based on the credit quality of the obligors, including consideration of whether the obligors were classified as investment grade or non investment grade. Staging of term deposits was determined by comparing the probability of default (PD) assigned at the date of origination with the PD at the financial reporting date. A moderate deterioration in credit quality, including a migration within investment grade or a downgrade to noninvestment grade, would result in classification in Stage 2. A significant deterioration in credit quality, including credit impaired or defaulted exposures, would result in classification in Stage 3, in accordance with the IFRS 9 expected credit loss model. IFRS 9 provides that cost can be used as a basis for estimating fair value where there are limitations on supportable information to do otherwise. There is currently insufficient trading information from published sources to measure the fair market value of the corporate investments. The Group’s definition of Significant Increase in Credit Risk (SICR) A significant increase in credit risk (SICR) was defined as a significant change in the estimated default risk over the remaining expected life of the investment. A comparison is made between the default risk as estimated at the reporting date and the default risk at initial recognition of each investment individually or by investment Group. Where an investment is initially deemed to be low credit risk at origination (the purchase date) and continues to be assessed as low credit risk at the reporting date, it is deemed that there has been no significant increase in credit risk. The indicators used to establish whether there has been a significant increase in credit risk is dependent on the nature of the investee; the product type, internal management methods and external market resources.
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