89 SEPARATE FINANCIAL STATEMENTS 2026 Barbados Public Workers’ Co-operative Credit Union Limited Notes to the Separate Financial Statements March 31, 2026 (expressed in Barbados dollars) 64 23 Financial risk management …continued Credit risk …continued Assessment of corporate investments (term deposits) Due to limited published market data for term deposits, the Credit Union's internally developed model using published credit rating scores for similar investees and/or Moody's published statistics was used to determine the Probability of Default (PD) rates and Loss Given Default (LGD) applied in the Estimated Credit Losses (ECL) on term deposits. The Credit Union currently has $88,135,805 (2025 - $88,495,538) in corporate term deposits, which were assessed on an entity level. Currently, these investments are held in entities which are either regulated by the Central Bank of Barbados or the Financial Services Commission as per Section 34A of the Co-operative Societies Act. 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 non-investment 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.
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