93 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) 68 23 Financial risk management …continued Credit risk …continued Assessment of Amortised Cost Fixed Income Securities Sovereign debt securities - Government of Barbados The Credit Union held sovereign debt securities totaling $52,857,143(2025 - $10,000,000) as at March 31, 2026, comprising $40,000,000 (2025 - $10,000,000) invested in Fixed Income Government of Barbados (GOB) BOSS Bonds Plus and $12,857,143 (2025 - $Nil) in Queen Elizabeth Hospital (QEH) Bonds. These investments are measured at amortised cost and carried a weighted average coupon rate of 4.93%. The related expected credit loss (ECL) allowance amounted to $61,896 as at March 31, 2026 (2025 - $40,121). Assessment of other debt securities As at March 31, 2026, the Credit Union held debt securities with the Barbados Port Inc. (BPI) with a carrying value of $13,400,000 (2025 - $11,764,500) with an average weighted effective yield of 5.80% (2025 - 5.71%). An ECL assessment was performed as required by IFRS 9. This assessment on these debt securities measured at amortised cost utilized the methodology as outlined below: • Due to the lack of published statistical data and the lack of an active market for securities, Moody’s Investors’ assessment on Sovereign default and recovery rates, 1983 to 2024, was used to provide the cumulative default rates (CDR) for categories of bonds similar to Barbados. This gave the cumulative probability of default over a 10-year period. • The recovery rate was aligned to a senior unsecured bond using Moody’s average corporate debt recovery rates measured by trading prices for the BPI bonds. • The discount rate applied was the effective interest rate for amortised cost financial instruments. Similar to the ECL assessment for term deposits, the staging methodology is as follows: Debt securities measured at amortised cost were assessed for credit risk based on the credit quality of the issuers, including consideration of whether issuers were classified as investment grade or non-investment grade. Staging was determined by comparing the probability of default (PD) assigned at initial recognition with the PD at the financial reporting date. A moderate deterioration in issuer credit quality, including 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 issuers, would result in classification in Stage 3, in accordance with the IFRS 9 expected credit loss model. The above assumptions were the best-case scenario for the Credit Union’s securities that are backed by the most reasonable and supportable data available at the time of the assessment.
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