Notes to the annual accounts

1. Banks

 

2021

2020

Banks

8,476

17,257

Balance at December 31

8,476

17,257

The cash on bank accounts can be freely disposed of. All bank accounts are classified as Stage 1.

2. Current accounts (assets)

 

2021

2020

Current account with FMO

112

107

Balance at December 31

112

107

Current accounts can be freely disposed of and are classified as stage 1.

3. Short-term deposits

Short-term deposits are liquid accounts and are subject to an insignificant risk of changes in fair value. The Fund has on demand full access to the carrying amounts. Short-term deposits consist of MMF, which are measured at FVPL. Short-term deposits have a maturity of less than three months.

 

2021

2020

Money market funds

31,671

13,936

Balance at December 31

31,671

13,936

4. Loans portfolio

Loans originated by the Fund include loans to the private sector in developing countries for the account and risk of the Fund.

 

Loans measured at AC

Loans measured at FVPL

Total 2021

Balance at January 1, 2021

176,323

30,867

207,190

Disbursements

21,853

5,666

27,519

Conversion from loan to equity

-

-

-

Repayments

-39,932

-5,238

-45,170

Interest Capitalization

-

-

-

Derecognized and/or restructured loans

-62

-

-62

Changes in amortizable fees

42

-23

19

Changes in fair value

-

-2,977

-2,977

Changes in accrued income

-1,529

-304

-1,833

Exchange rate differences

6,571

297

6,868

Balance at December 31, 2021

163,266

28,288

191,554

Impairment

-34,858

-

-34,858

Total balance at December 31, 2021

128,408

28,288

156,696

 

Loans measured at AC

Loans measured at FVPL

Total 2020

Balance at January 1, 2020

162,373

41,149

203,522

Disbursements

42,358

812

43,170

Conversion from loan to equity

-

-1,552

-1,552

Repayments

-17,283

-6,455

-23,738

Interest Capitalization

-

150

150

Derecognized and/or restructured loans

190

-

190

Changes in amortizable fees

152

-24

128

Changes in fair value

-

-1,193

-1,193

Changes in accrued income

1,633

-492

1,141

Exchange rate differences

-13,100

-1,528

-14,628

Balance at December 31, 2020

176,323

30,867

207,190

Impairment

-24,968

-

-24,968

Total balance at December 31, 2020

151,355

30,867

182,222

The following table summarizes the loans segmented by sector:

 

2021

Loans segmented by sector

Stage 1

Stage 2

Stage 3

Fair value

Total 2021

Financial Institutions

70,838

27,462

24,422

22,058

144,780

Energy

-

4,851

-

2,637

7,488

Agribusiness

-

-

835

2,494

3,329

Multi-Sector Fund Investments

-

-

-

1,099

1,099

Net balance at December 31

70,838

32,313

25,257

28,288

156,696

      
 

2020

Loans segmented by sector

Stage 1

Stage 2

Stage 3

Fair value

Total 2020

Financial Institutions

90,112

37,175

17,776

22,209

167,272

Energy

287

4,176

-

2,746

7,209

Agribusiness

823

1,006

-

536

2,365

Multi-Sector Fund Investments

-

-

-

5,376

5,376

Net balance at December 31

91,222

42,357

17,776

30,867

182,222

      
 

2021

Loans segmented by geographical area

Stage 1

Stage 2

Stage 3

Fair value

Total 2021

Africa

17,942

23,890

10,339

7,736

59,907

Asia

17,884

-

14,918

5,161

37,963

Latin America & the Carribbean

20,312

3,575

-

-

23,887

Europe & Central Asia

7,782

-

-

14,867

22,649

Non - region specific

6,918

4,848

-

524

12,290

Net balance at December 31

70,838

32,313

25,257

28,288

156,696

      
 

2020

Loans segmented by geographical area

Stage 1

Stage 2

Stage 3

Fair value

Total 2020

Africa

26,949

34,779

16,494

6,642

84,864

Asia

32,358

7,578

1,282

8,658

49,876

Latin America & the Carribbean

27,736

-

-

1,494

29,230

Europe & Central Asia

4,179

-

-

13,823

18,002

Non - region specific

-

-

-

250

250

Net balance at December 31

91,222

42,357

17,776

30,867

182,222

      
      
    

2021

2020

Gross amount of loans to companies in which FMO has equity investments

   

8,745

10,975

Gross amount of non-performing loans

   

65,202

38,281

Gross amount of subordinated loans

   

9,095

6,046

For definition and more details on non-performing loans, we refer to section 'Credit Risk' within the Risk Management paragraph.

The movements in the gross carrying amounts and ECL allowances for the loans at AC are as follows:

Changes in loans to the private sector at AC in 2021

Stage 1

Stage 2

Stage 3

Total

 

Gross carrying amount

ECL allowance

Gross carrying amount

ECL allowance

Gross carrying amount

ECL allowance

Gross carrying amount

ECL allowance

At December 31, 2020

93,909

-2,687

44,133

-1,776

38,281

-20,505

176,323

-24,968

Additions

19,923

-1,142

198

-332

1,732

-

21,853

-1,474

Exposures derecognised or matured / lapsed (excluding write-offs and modifications)

-16,025

147

-20,836

415

-3,071

505

-39,932

1,067

Transfers to Stage 1

8,253

-820

-8,253

820

-

-

-

-

Transfers to Stage 2

-21,253

1,028

21,253

-1,028

-

-

-

-

Transfers to Stage 3

-16,490

292

-3,378

1,244

19,868

-1,536

-

-

Modifications of financial assets (including derecognition)

-429

-

-1,671

-

2,038

-

-62

-

Changes in risk profile not related to transfers

-

2,273

-

-382

-

-9,840

-

-7,949

Changes in amortizable fees

-67

-

115

-

-6

-

42

-

Changes in accrued income

114

-

-342

-

-1,301

-

-1,529

-

Foreign exchange adjustments

3,863

-51

2,198

-65

510

-1,418

6,571

-1,534

At December 31, 2021

71,798

-960

33,417

-1,104

58,051

-32,794

163,266

-34,858

Changes in loans to the private sector at AC in 2020

Stage 1

Stage 2

Stage 3

Total

 

Gross carrying amount

ECL allowance

Gross carrying amount

ECL allowance

Gross carrying amount

ECL allowance

Gross carrying amount

ECL allowance

At December 31, 2019

113,742

-1,881

13,695

-572

34,936

-17,609

162,373

-20,062

Additions

37,559

-1,328

4,723

-559

-

-

42,358

-1,887

Exposures derecognised or matured / lapsed (excluding write-offs and modifications)

-13,201

482

-4,006

224

-76

2

-17,283

708

Transfers to Stage 1

115

-4

-

-

-115

4

-

-

Transfers to Stage 2

-33,516

373

33,383

-373

133

-

-

-

Transfers to Stage 3

-3,792

141

-

-

3,792

-141

-

-

Modifications of financial assets (including derecognition)

-

-

190

-

-

-

190

-

Changes in risk profile not related to transfers

-

-757

-

-571

-

-3,525

-

-4,853

Changes in amortizable fees

34

-

92

-

26

-

152

-

Changes in accrued income

802

-

147

-

684

-

1,633

-

Foreign exchange adjustments

-7,834

287

-4,091

75

-1,175

764

-13,100

1,126

At December 31, 2020

93,909

-2,687

44,133

-1,776

38,281

-20,505

176,323

-24,968

Total impairments on loans in the profit and loss account

  
 

2021

2020

Additions

-8,410

-5,702

Balance at December 31

-8,410

-5,702

5. ECL allowances - assessment

ECL allowances are calculated for Interest bearing Securities, Loans at private sector at AC (including off balance loan
commitments) and Guarantees Given to customers. The movement in ECL allowances for each of these items is presented
in their relevant notes.

To demonstrate the sensitivity of the SICR criteria, the tables below presents the distribution of stage 2 impairments by
the criteria that triggered the migration to stage 2.

December 31, 2021

   

ECL allowance - Stage 2 trigger assessment

Loans to private sector

Loan commitments

Total

    

More than 30 days past due

-

-

-

Forbearance

-711

-11

-722

Deterioration in credit risk rating - financial difficulties

-394

-

-394

Total

-1,105

-11

-1,116

December 31, 2020

   

ECL allowance - Stage 2 trigger assessment

Loans to private sector

Loan commitments

Total

    

More than 30 days past due

-64

-

-64

Forbearance

-794

-3

-797

Deterioration in credit risk rating - financial difficulties

-918

-

-918

Total

-1,776

-3

-1,779

The following table shows the values of the IMF GDP forecasts used in each of the economic scenarios for the ECL calculations for 2021 and 2022. The upside and downside scenario calculations are derived from the base case scenario, adjusted based on an indicator of public debt to GDP in emerging markets.

The macroeconomic scenarios’ model was updated following the publication of the new macroeconomic outlook data by
the International Monetary Fund (IMF) in 2021. The updates of the model based on more optimistic GDP forecast, caused
new point-in-time adjustments to probability of defaults in the impairment model, leading to a release in combined
stage-1 and stage-2 impairment charge.

IMF GDP % Growth Forecasts

2021

2022

Africa

-1.0%

4.0%

Nicaragua

-0.5%

3.5%

Cote d Ivoire

6.2%

6.5%

Zimbabwe

4.2%

3.1%

Kenya

4.7%

6.0%

Georgia

7.7%

-5.0%

Myanmar

5.7%

-0.1%

Philippines

3.2%

6.3%

Senegal

5.2%

5.5%

Bangladesh

4.4%

6.5%

Note that macroeconomic scenarios have been updated by using the latest available information by the IMF, as published
in October 2021. 

December 31, 2021

Total unweighted amount per ECL scenario

Probability

Loans to the private Sector

Guarantees

Total

ECL Scenario:

     

Upside

34,154

2%

683

-

683

Base case

34,960

50%

17,474

6

17,480

Downside

36,406

48%

17,465

10

17,475

Total

 

100%

35,621

16

35,638

      

December 31, 2020

Total unweighted amount per ECL scenario

Probability

Loans to the private Sector

Guarantees

Total

ECL Scenario:

     

Upside

23,334

2%

466

1

467

Base case

25,007

50%

12,488

16

12,504

Downside

28,406

48%

13,617

18

13,635

Total

 

100%

26,571

35

26,606

6. Equity investments

The equity investments in developing countries are for the Fund's account and risk. The movements in fair value of the equity investments are summarized in the following table. Equity investments are measured at FVPL.

 

Equity measured at FVPL

Net balance at January 1, 2021

252,341

Purchases and contributions

23,319

Reclassification from loans

-

Return of Capital

-17,535

Changes in fair value

12,198

Net balance at December 31, 2021

270,323

 

Equity measured at FVPL

Net balance at January 1, 2020

256,042

Purchases and contributions

31,752

Reclassification from loans

1,550

Return of Capital

-34,280

Changes in fair value

-2,723

Net balance at December 31, 2020

252,341

The following table summarizes the equity investments segmented by sector:

 

2021

2020

Financial Institutions

144,579

155,220

Energy

1,827

1,563

Agribusiness

5,850

7,697

Multi-Sector Fund Investments

106,506

77,121

Infrastructure, Manufacturing and Services

11,561

10,740

Net balance at December 31

270,323

252,341

7. Investments in associates

The movements in net book value of the associates are summarized in the following table:

 

2021

2020

Net balance at January 1

7,160

6,746

Purchases and contributions

2,649

-

Share in net results

-1,468

999

Exchange rate differences

510

-585

Net balance at December 31

8,851

7,160

Investments in associates are valued based on the equity accounting method.

The following table summarizes the associates segmented by sector.

 

2021

2020

Financial Institutions

8,851

7,160

Net balance at December 31

8,851

7,160

The following table summarizes the share in the total assets, liabilities, total income and total net profit/loss of the associates

Associate

Carrying amount

Economic ownership %

Total assets

Total liabilities

Total income

Total profit/loss

Teak Tree Investments

4,777

29%

19,406

14,629

2,096

420

SFC Finance Limited

4,074

30%

15,517

10,425

560

182

8. Other receivables

 

2021

2020

Receivables related to equity disposals and dividends

1,341

476

Fee receivables

56

52

Balance at December 31

1,397

528

9. Accrued income

 

2021

2020

Accrued income guarantee fee

6

-

Balance at December 31

6

-

10. Other liabilities

 

2021

2020

Amortized costs related to guarantees

20

20

Balance at December 31

20

20

11. Accrued liabilities

 

2021

2020

Suspense account

-1

128

Accrued costs capacity development

5,403

5,540

Balance at December 31

5,402

5,668

12. Provisions

 

2021

2020

Allowance for loan commitments

89

8

Allowance for guarantees

13

31

Balance at December 31

102

39

13. Contributed fund capital and reserves

 

2021

2020

Contributed Fund Capital

352,840

350,990

Initial contribution FMO

7,778

7,778

Contribution DGIS current year

-

1,850

Balance at December 31

360,618

360,618

The fund capital is revolvable (100% revolvability) when the current value of assets is equivalent or above the sum of the capital put into the fund by shareholders.

 

2021

2020

Other reserves

68,697

68,697

Balance at December 31

68,697

68,697

Undistributed results

2021

2020

Balance at January 1

38,359

66,629

Net profit / (loss)

3,674

-28,270

Balance at December 31

42,033

38,359

14. Net interest income

Interest income

 

2021

2020

Interest on loans measured at AC

10,070

13,179

Total interest income from financial instruments measured at AC

10,070

13,179

Interest on loans measured at FVPL

914

2,193

Interest on short-term deposits

9

160

Total interest income from financial instruments measured at FVPL

923

2,353

Total interest income

10,993

15,532

Interest expense

 

2021

2020

Interest expenses related to banks (assets)1

-31

-41

Total interest expense

-31

-41

15. Net fee and commission income

 

2021

2020

Administration fees

147

173

Other fees (arrangement, cancellation and waiver fees)

33

7

Net fee and commission income

180

180

16. Dividend income

Dividend income relates to income from equity investments including associates.

 

2021

2020

Dividend income direct investments

1,100

527

Dividend income fund investments

492

859

Total dividend income

1,592

1,386

17. Results from equity investments

 

2021

2020

Results from equity investments:

  

Unrealized results from FX conversions - cost price

13,042

10,469

Unrealized results from FX conversions - capital results

-460

118

Unrealized results from capital results

-383

-13,309

Results from Fair value re-measurements

12,199

-2,722

   

Results from sales & distributions:

  

Realized results

-1,304

-498

Release unrealized results

257

-2,191

Net results from sales

-1,047

-2,689

Total results from equity investments

11,152

-5,411

18. Results from financial transactions

 

2021

2020

Results on sales and valuations of FVPL loans

-2,977

-1,193

Foreign exchange results

7,328

-16,084

Total results from financial transactions

4,351

-17,277

19. Expenses

 

2021

2020

Remuneration FMO

-11,020

-10,680

Capacity development expenses

-3,330

-6,409

Evaluation expenses

-387

-849

Total operating expenses

-14,737

-17,938

Remuneration FMO relates to management fees paid to FMO.

Capacity development expenses relate to contracted contributions to beneficiaries in terms of the fund's objectives.
Evaluation costs relate to expenses made during frequent investigations and controls of existing investments and costs related to due diligence of new projects.

20. Off-Balance Sheet information

To meet the financial needs of borrowers, the Fund enters into various irrevocable commitments (loan commitments, equity commitments and guarantee commitments) and contingent liabilities. These contingent liabilities consist of financial guarantees, which commit the Fund to make payments on behalf of the borrowers in case the borrower fails to fulfill payment obligations. Though these obligations are not recognized on the balance sheet, they do obtain Credit Risk similar to loans to private sector. Therefore, provisions are calculated for financial guarantees and loan commitments according to ECL measurement methodology.

The outstanding amount for financial guarantees issued by the Fund is as follows:

 

2021

2020

   

Contingent liabilities

  

Effective guarantees issued

1,456

556

Less: provisions, amortized costs and obligations for guarantees (presented under other liabilities/provisions)

-34

-51

Total guarantees issued

1,422

505

As agreed with the Dutch Ministry of Foreign Affairs, the fund shall maintain 1 euro for each euro of guarantee issued. The total amount of cash as per 31 December 2021 is adequately covering the total guarantees issued and hence meets the requirement set out by the Dutch Ministry of Foreign Affairs.

Nominal amounts for irrevocable facilities are as follows:

 

2021

2020

   

Irrevocable facilities

  

Contractual commitments for disbursements of:

  

- Loans

23,857

10,150

- Development contributions

250

2,396

- Equity investments and associates

57,467

69,356

Contractual commitments for financial guarantees given

2,270

-

Total irrevocable facilities

83,844

81,902

The movement in exposure for the financial guarantees issued (including contractual commitments) and ECL allowance is as follows:

Movement financial guarantees in 2021

Stage 1

Stage 2

Stage 3

Total

 

Outstanding exposure/Nominal amount

ECL allowance

Outstanding exposure/Nominal amount

ECL allowance

Outstanding exposure/Nominal amount

ECL allowance

Outstanding exposure/Nominal amount

ECL allowance

At January 1, 2021

2,694

-31

-

-

-

-

2,694

-31

Additions

2,368

-15

-

-

-

-

2,368

-15

Exposures matured (excluding write-offs)

-1,486

14

-

-

-

-

-1,486

14

Transfers to Stage 1

-

-

-

-

-

-

-

-

Transfers to Stage 2

-

-

-

-

-

-

-

-

Transfers to Stage 3

-

-

-

-

-

-

-

-

Changes to models and inputs used for ECL calculations

-

20

-

-

-

-

-

20

Foreign exchange adjustments

150

-1

-

-

-

-

150

-1

At December 31, 2021

3,726

-13

-

-

-

-

3,726

-13

Movement financial guarantees in 2020

Stage 1

Stage 2

Stage 3

Total

 
 

Outstanding exposure/Nominal amount

ECL allowance

Outstanding exposure/Nominal amount

ECL allowance

Outstanding exposure/Nominal amount

ECL allowance

Outstanding exposure/Nominal amount

ECL allowance

At January 1, 2020

2,699

-37

-

-

-

-

2,699

-37

Additions

1,019

-6

-

-

-

-

1,019

-6

Exposures matured (excluding write-offs)

-802

-

-

-

-

-

-802

-

Transfers to Stage 1

-

-

-

-

-

-

-

-

Transfers to Stage 2

-

-

-

-

-

-

-

-

Transfers to Stage 3

-

-

-

-

-

-

-

-

Changes to models and inputs used for ECL calculations

-

9

-

-

-

-

-

9

Foreign exchange adjustments

-222

3

-

-

-

-

-222

3

At December 31, 2020

2,694

-31

-

-

-

-

2,694

-31

The movement in exposure for the loan commitments is as follows:

Movement of loans commitments in 2021

Stage 1

Stage 2

Stage 3

Total

 

Nominal amount

ECL allowance

Nominal amount

ECL allowance

Nominal amount

ECL allowance

Nominal amount

ECL allowance

At January 1, 2021

650

-5

859

-3

-

-

1,509

-8

Additions

44,948

-647

4,648

-27

6,187

-

55,783

-674

Exposures derecognised or matured (excluding write-offs)

-38,640

486

-4,072

22

-1,732

-

-44,444

508

Transfers to Stage 1

-

77

-

162

-

-

-

239

Transfers to Stage 2

-

-

-

-

-

-

-

-

Transfers to Stage 3

-

-

-

-

-

-

-

-

Changes to models and inputs used for ECL calculations

-

29

-

-166

-

-

-

-137

Amounts written off

-

-

-

-

-

-

-

-

Foreign exchange adjustments

512

-18

122

1

378

-

1,012

-17

At December 31, 2021

7,470

-78

1,557

-11

4,833

-

13,860

-89

Movement of loans commitments in 2020

Stage 1

Stage 2

Stage 3

Total

 

Nominal amount

ECL allowance

Nominal amount

ECL allowance

Nominal amount

ECL allowance

Nominal amount

ECL allowance

At January 1, 2020

18,541

-289

1,508

-63

-

-

20,049

-352

Additions

-

-

-

-

-

-

-

-

Exposures derecognised or matured (excluding write-offs)

-16,163

549

-1,243

126

-

-

-17,406

675

Transfers to Stage 1

240

-6

-240

6

-

-

-

-

Transfers to Stage 2

-859

5

859

-5

-

-

-

-

Transfers to Stage 3

-

-

-

-

-

-

-

-

Changes to models and inputs used for ECL calculations

-

-275

-

-71

-

-

-

-346

Amounts written off

-

-

-

-

-

-

-

-

Foreign exchange adjustments

-1,109

11

-25

4

-

-

-1,134

15

At December 31, 2020

650

-5

859

-3

-

-

1,509

-8

21. Analysis of financial assets and liabilities by measurement basis

The significant accounting policies summary describes how the classes of financial instruments are measured and how income and expenses, including fair value gains and losses, are recognized. The following table gives a breakdown of the carrying amounts of the financial assets and financial liabilities by category as defined in under IFRS 9 and by balance sheet heading.

December 31, 2021

FVPL - mandatory

Amortized cost

Total

Financial assets measured at fair value

   

Short-term deposits

31,671

-

31,671

Loans to the private sector

28,288

-

28,288

Equity investments

270,323

-

270,323

Total

330,282

-

330,282

Financial assets not measured at fair value

   

Banks

-

8,476

8,476

Loans to the private sector

-

128,408

128,408

Current accounts

-

112

112

Other receivables

-

1,397

1,397

Total

-

138,393

138,393

Financial liabilities not measured at fair value

   

Other liabilities

-

20

20

Accrued liabilities

-

5,402

5,402

Total

-

5,422

5,422

December 31, 2020

FVPL - mandatory

Amortized cost

Total

Financial assets measured at fair value

   

Short-term deposits

13,936

-

13,936

Loans to the private sector

30,867

-

30,867

Equity investments

252,341

-

252,341

Total

297,144

-

297,144

Financial assets not measured at fair value

   

Banks

-

17,257

17,257

Loans to the private sector

-

151,355

151,355

Current accounts

-

107

107

Other receivables

-

528

528

Total

-

169,247

169,247

Financial liabilities not measured at fair value

   

Other liabilities

-

20

20

Accrued liabilities

-

5,668

5,668

Total

-

5,688

5,688

Fair value hierarchy

All financial instruments for which fair value is recognized or disclosed are categorized within the fair value hierarchy, based on lowest level input that is significant to the fair value measurement as a whole, as follows:
Level 1 – Quoted (unadjusted) market prices in active markets for identical assets or liabilities;
Level 2 – Valuation techniques for which the lowest level input that is significant to the fair value measurement is directly or indirectly observable;
Level 3 – Valuation technique for which the lowest level input that is significant to the fair value measurement is unobservable.

Valuation process

For recurring and non-recurring fair value measurements categorized within Level 3 of the fair value hierarchy, the Fund has a valuation process in place to decide its valuation policies and procedures and analyze changes in fair value measurement from period to period.

The Fund’s fair value methodology and governance over its methods includes a number of controls and other procedures to ensure appropriate safeguards are in place to ensure its quality and adequacy. The responsibility of ongoing measurement resides with the relevant departments. Once submitted, fair value estimates are also reviewed and challenged by the Investment Review Committee (IRC). The IRC approves the fair values measured including the valuation techniques and other significant input parameters used.

Valuation technique

When available, the fair value of an instrument is measured by using the quoted price in an active market for that instrument (level 1). A market is regarded as active if transactions of the asset or liability take place with sufficient frequency and volume to provide pricing information on an ongoing basis.

If there is no quoted price in an active market, valuation techniques are used that maximize the use of relevant observable inputs and minimize the use of unobservable inputs.

Valuation techniques include:

  • Recent broker / price quotations

  • Discounted cash flow model

  • Option-pricing models

The techniques incorporate current market and contractual prices, time to expiry, yield curves and volatility of the underlying instrument. Inputs used in pricing models are market observable (level 2) or are not market observable (level 3). A substantial part of fair value (level 3) is based on net asset values.

Equity investments are measured at fair value when a quoted market price in an active market is available or when fair value can be estimated reliably by using a valuation technique. The main part of the fair value measurement related to equity investments (level 3) is based on net asset values of investment funds as reported by the fund manager and are based on advanced valuation methods and practices. When available, these fund managers value the underlying investments based on quoted prices, if not, multiples are applied as input for the valuation. For the valuation process of the equity investments we further refer to the accounting policies within these Annual Accounts as well as section 'Equity Risk', part of the Risk Management chapter. The determination of the timing of transfers is embedded in the quarterly valuation process, and therefore recorded at the end of each reporting period.

The table below presents the carrying value and estimated fair value of financial assets and liabilities not measured at fair value.

Carrying value financial assets

2021

 

2020

 

At December 31

Carrying value

Fair value

Carrying value

Fair value

Banks

8,476

8,476

17,257

17,257

Loans to the private sector at AC

128,408

119,601

151,355

142,915

Total non fair value financial assets

136,884

128,077

168,612

160,172

The following table gives an overview of the financial instruments measured at fair value using a fair value hierarchy that reflects the significance of the inputs used in making the measurements.

December 31, 2021

Level 1

Level 2

Level 3

Total

Financial assets at FVPL

    

Short-term deposits mandatory at FVPL

31,671

-

-

31,671

Loans to the private sector mandatory at FVPL

-

-

28,288

28,288

Equity investments

13,928

-

256,395

270,323

Total financial assets at fair value

45,599

-

284,683

330,282

December 31, 2020

Level 1

Level 2

Level 3

Total

Financial assets at FVPL

    

Short-term deposits mandatory at FVPL

13,936

-

-

13,936

Loans to the private sector mandatory at FVPL

-

-

30,867

30,867

Equity investments

13,145

-

239,196

252,341

Total financial assets at fair value

27,081

-

270,063

297,144

The following table shows the movements of financial assets measured at fair value based on level 3.

 

Loans to the private sector

Equity investments

Total

Balance at January 1, 2021

30,867

239,196

270,063

Total gains or losses

   

ˑ In profit and loss (changes in fair value)

-2,977

-755

-3,732

Purchases/disbursements

5,666

22,884

28,550

Sales/repayments

-5,238

-17,535

-22,773

Accrued income

-304

-

-304

Exchange rate differences

297

12,605

12,902

Changes in amortizable fees

-23

-

-23

Reclassification Loans versus Equity

-

-

-

Balance at December 31, 2021

28,288

256,395

284,683

 

Loans to the private sector

Equity investments

Total

Balance at January 1, 2020

41,149

244,962

286,111

Total gains or losses

   

ˑ In profit and loss (changes in fair value)

-1,217

9,750

8,533

Purchases/disbursements

812

30,805

31,617

Sales/repayments

-6,455

-34,280

-40,735

Accrued income

-492

-

-492

Exchange rate differences

-1,528

-13,591

-15,119

Interest Capitalization

150

-

150

Reclassification Loans versus Equity

-1,552

1,550

-2

Balance at December 31, 2020

30,867

239,196

270,063

Type of debt investment

Fair value at December 31, 2021

Valuation technique

Range (weighted average) of significant unobservable inputs

Fair value measurement sensitivity to unobservable inputs

     

Loans

991

Discounted cash flow model

Based on client spread

A decrease/increase of the used spreads with 1% will result is a higher/lower fair value of approx €1k.

 

439

ECL measurement

Based on client rating

An improvement / deterioration of the Client Rating with 1 notch wil result 1% increase/decrease

 

3,331

Credit impairment

n/a

n/a

Debt Funds

23,527

Net Asset Value

n/a

n/a

Total

28,288

   

Type of equity investment

Fair value at Dec 31, 2021

Valuation technique

Range (weighted average) of significant unobservable inputs

Fair value measurement sensitivity to unobservable inputs

     

Private equity fund investments

155,069

Net Asset Value

n/a

n/a

Private equity direct investments

50,792

Book multiples

1.0

A decrease/increase of the book multiple with 10% will result in a lower/higher fair value of €51 million.

 

36,588

Earning Multiples

Depends on several unobservable data such as EBITDA multiples (range 1.0 - 1.3)

A decrease/increase of the used unobservable data with 10% will result in a lower/higher fair value of €37million.

 

5,898

Put option

The guaranteed floor depends on several unobservable data such as IRR, EBITDA multiples, book multiples and Libor rates

A decrease/increase of the used unobservable data with 10% will result in a lower/higher fair value of €6 million.

 

8,048

Firm offers

Based on offers received from external parties

n/a

Total

256,395

   

22. Related party information

Dutch Government:

The Dutch Ministry of Foreign Affairs, Directoraat-generaal internationale Samenwerking sets up and administers the investments funds (“State Funds”), including MASSIF, according to the Dutch Government’s development agenda. Directoraat-generaal internationale Samenwerking is the main contributor to MASSIF, providing funding upon FMO’s request.

The Dutch development bank FMO supports sustainable private sector growth in developing and emerging markets by leveraging its expertise in agribusiness, food & water, energy, financial institutions, Dutch business focus areas to invest in impactful businesses. FMO is a public-private partnership, with 51% of FMO’s shares held by the Dutch State and 49% held by commercial banks, trade unions and other members of the private sector. FMO has a triple A rating from both Fitch and Standard & Poor’s.

Nederlandse Financierings-Maatschappij voor Ontwikkelingslanden N.V. (“FMO”)

FMO has been entrusted by the Dutch Government to execute the mandates of the State Funds: Currently MASSIF, Building Prospects, Access to Energy – I, FOM, FOM-OS, Dutch Fund for Climate and Development Land Use Facility are under FMO’s direct management; the execution of Access to Energy – II and the other facilities of the Dutch Fund for Climate and Development are performed by third parties under FMO’s supervision.

FMO charges a management fee to the Dutch Ministry of Foreign Affairs and it is reimbursed accordingly from MASSIF’s subsidy amount (2021: € 11 million; 2020: € 11 million). FMO is also a minor contributor to the fund with a total contribution of € 8 million in 2021 (2020: € 8 million)

23. Subsequent events

On February 24, 2022 the Russian Federation started to invade Ukraine. At reporting date, the fund has no direct exposure to Ukraine, the Russian Federation or Belarus, therefore no material impact is expected on the financial statements.

There has been no significant subsequent event between the balance sheet date and the date of approval of these accounts which should be reported by the Fund.