International Bank for Reconstruction andDevelopment

Management’s Discussion & Analysis
andCondensed Quarterly Financial Statements
December 31, 2021
(Unaudited)Management’s Discussion and Analysis

International Bank for Reconstruction and Development(IBRD)
M a n a g e m e n t ’ s D i s c u s s i o n a n d An a l y s i s
December 31, 2021
Contents
Section I: Executive Summary

Summary Financial Results

4

Section II: Overview

Financial Business Model
Basis of Reporting

6
8

Section III: Financial Results

Financial Results and Portfolio Performance
Net Income

910

Section IV: Risk Management

Risk GovernanceManagement of IBRD’s Risks

16
16

Section V: Governance

Senior Management Changes

26

List of Tables, Figures and Box

List of Tables, Figures and Box
TablesFigures
Box

27
27
27
27

IBRD Management’s Discussion and Analysis: December 31, 2021

1

Management’s Discussion and Analysis

Section I: Executive Summary

This Management’s Discussion and Analysis (MD&A) reflects the results of the International Bank for Reconstruction
and Development’s (IBRD’s) financial performance for the six months ended December 31, 2021 (FY22 YTD). This
document should be read in conjunction with IBRD’s Financial Statements and MD&A for the fiscal year ended June30, 2021 (FY21). IBRD undertakes no obligation to update any forward-looking statements. Certain reclassificationsof prior years’ information have been made to conform with the current year’s presentation. For information relating
to IBRD’s development operations’ results and corporate performance, refer to the World Bank Corporate Scorecard
and Sustainability Review.

Box 1: Selected Financial Data
In millions of U.S. dollars, except ratios which are in percentages

As of and for the six months ended
December 31,
2021
2020
Lending Highlights (Section III)Net commitments a
Gross disbursements
Net disbursements
Income Statement (Section III)
Board of Governors-approved andother transfers
Net income
Balance Sheet
Total assets
Net investment portfolio (Section III)Net loans outstanding (Section III)
Borrowing portfolio b (Section III)
Total equity
Non-GAAP Measures
Allocable Income (Section III)
Usable Equity c (Section IV)
Equity-to-loans Ratio d (Section IV)$

10,07015,193
7,719

$

$

(354)

$

As of and for the fiscal year
ended June 30,
2021

10,366
13,855
8,986

$

(80)

$

538

1,346

30,523
23,691
13,590
(411)
2,039

$

317,147
84,435
223,953257,687
48,152$

323,756
90,442
215,721
255,418
42,473$317,301
85,831
218,799
253,656
48,078$519
50,011
22.1%

$

646
48,825
22.4%

$

1,248
49,997
22.6%

a. Amounts include guarantee commitments and guarantee facilities that have been approved by the Executive Directors (referred toas “the Board” in this document) and are net of full terminations and cancellations relating to commitments approved in the same
fiscal year.
b. Includes associated derivatives.
c. Excludes amounts associated with unrealized mark-to-market gains/losses on non-trading portfolios, net and related cumulativetranslation adjustments.
d. Ratio is computed using usable equity and excludes the respective periods’ income. Full fiscal year usable equity includes thetransfer to the General Reserve.

2

IBRD Management’s Discussion and Analysis: December 31, 2021

Management’s Discussion and Analysis

Section I: Executive Summary

Section I: Executive Summary
With its many years of experience and its depth of knowledge in the international development arena, IBRD plays a
key role in achieving the World Bank Group’s (WBG 1 ) goal of helping countries achieve better development
outcomes. IBRD contributes to the WBG’s twin goals of ending extreme poverty and promoting shared prosperity,and to the Forward Look2, by providing countries with loans, advisory services and analytical support.
IBRD and its affiliated organizations seek to help countries achieve improvements in growth, job creation, poverty
reduction, governance, the environment, climate adaptation and resilience, human capital, infrastructure and debt
transparency, among others. To meet its development goals, the WBG has been increasing its focus on country
programs in order to improve growth and development outcomes. Further, in response to the ongoing coronavirus
disease (COVID-19) pandemic and to support global public goods, IBRD continues to work in solidarity with partners
at global and country levels to support its borrowing countries.

1

The other WBG institutions are the International Development Association (IDA), the International Finance Corporation (IFC), theMultilateral Investment Guarantee Agency (MIGA), and the International Centre for Settlement of Investment Disputes (ICSID). The
World Bank consists of IBRD and IDA.

2

The Forward Look: A Vision for the WBG in 2030, describes how the WBG will deliver on its twin goals and its three priorities ofsustainable and inclusive growth, human capital, and resilience. The Forward Look rests on four pillars: serving all clients; mobilizing
resources for development and creating markets; leading on global issues; and improving the business model.

IBRD Management’s Discussion and Analysis: December 31, 2021

3

Management’s Discussion and Analysis

Section I: Executive Summary

Summary Financial Results
The financial performance of IBRD reflects the impact of the measures put in place in previous years to increase its
financial capacity and ensure its long-term financial sustainability, along with evolving market conditions (see Section
II - Financial Performance for details).

Net Income and Allocable Income
IBRD recorded net income of $538 million for the first six months of FY22, compared with net income of $1,346
million during the same period in FY21. The decrease in net income was primarily due to the decrease in unrealized
mark-to-market gains on the non-trading portfolios. Unrealized mark-to-market movements on the non-trading
portfolios introduce volatility to IBRD’s net income. Given IBRD’s intention to maintain its non-trading portfolio
positions to maturity, unrealized mark-to-market gains and losses are not included in IBRD’s allocable income.
Allocable income is the income measure IBRD uses for making net income allocation decisions. During the first six
months of FY22, allocable income was $519 million, a decrease of $127 million from the same period in FY21. The
decrease was primarily due to higher provision for losses on loans and other exposures during the first six months of
FY22 as compared with the same period in FY21 (see Section III and Section IV).
In millions of U.S dollars – YTD

Net Income/Loss
Unrealized Gains/Losses on non-trading portfolios
Allocable Income
1,500
1,000
500
0
-500
-1,000-1,500
FY18

FY19

FY20

FY21

FY22

Lending Operations
IBRD’s lending operations during the first six months of FY22 resulted in $10.1 billion of net commitments and $15.2
billion of gross loan disbursements. Net disbursements of $7.7 billion was the key driver for the increase in net loans
outstanding from $218.8 billion as of June 30, 2021 to $224.0 billion as of December 31, 2021.
In billions of U.S dollars
Disbursements YTD

Net Commitments YTD

18
16
14
12
10
8
6
4
2
0

18
16
14
12
10
8
6
4
2
0
FY18

FY19

FY20

FY21

FY22

Gross

Net Loans outstanding

Net

250
200
150
100
50

0

FY18

FY19

FY20

FY21

FY22

Jun 18 Jun 19 Jun 20 Jun 21 Dec 21

Net commitments were $0.3 billion lower compared with the same period in FY21 (see Table 5). FY22 YTD
commitments reflected support for COVID-19 related efforts, including $1.8 billion of financing for COVID-19
vaccines. The regions with the largest share of commitments in the first six months of FY22 were Latin America andthe Caribbean with 28%, and East Asia and Pacific with 26%.

4

IBRD Management’s Discussion and Analysis: December 31, 2021

Management’s Discussion and Analysis

Section I: Executive Summary

Net Investment Portfolio
IBRD’s net investment portfolio decreased by $1.4 billion, from$85.8 billion as of June 30, 2021 to $84.4 billion as of December 31,
2021. The decrease in the portfolio was primarily due to net loan
disbursements during the period. The investments remain
concentrated in the upper end of the credit spectrum, with 63% rated
AA or above (see Table 9), reflecting IBRD’s objective of principal
protection and its preference for high-quality investments.

In billions of U.S. dollars
Net Investment Portfolio

150
100
50
0
Jun 18 Jun 19 Jun 20 Jun 21 Dec 21

Borrowing Portfolio
As of December 31, 2021, the borrowing portfolio was $257.7
billion, $4.0 billion higher than June 30, 2021. The increase wasmainly due to net new debt issuances that financed development andlending operations and satisfied liquidity requirements.

In billions of U.S. dollars
Borrowings Portfolio
300
250
200
150
100
50
0
Jun 18 Jun 19 Jun 20 Jun 21 Dec 21

Usable Equity and Equity-to-Loans Ratio
IBRD’s usable equity increased by $14 million compared with June30, 2021. During the first six months of FY22, IBRD received $523
million of paid-in capital subscribed under the 2018 General andSelective Capital Increases (GCI and SCI), bringing the cumulative
amounts received to $3.3 billion, 44% of the total amount expected
over the subscription period.
The Equity-to-Loans ratio was 22.1% as of December 31, 2021,
marginally lower compared with 22.6% as of June 30, 2021. The
decrease was primarily due to the increase in loan exposure during
the period. In line with IBRD’s currency management policy,
exchange rate movements during the period did not have an impact
on IBRD’s equity-to-loans ratio.

Ratio in percentages
Equity to Loans Ratio
Equity to Loans Ratio

Policy MinimumJun 18Jun 21

40%
30%
20%
10%
0%
Jun 19Jun 20Dec 21

IBRD Management’s Discussion and Analysis: December 31, 2021

5

Management’s Discussion and Analysis

Section: II Overview

Section: II Overview
IBRD, an international organization owned by its 189-member countries, is one of the five institutions of the WBG.
Each institution is legally and financially independent, with separate assets and liabilities. IBRD is not liable for the
obligations of the other institutions.
IBRD is one of the largest Multilateral Development Banks (MDB) in the world and combines knowledge services
and financing with a global reach. IBRD’s value is derived from its ability to help eligible borrowing members address
their development challenges and meet their rising demand for innovative products. IBRD provides loans, guarantees,
and other financial products for development-focused projects and programs to creditworthy middle-income and lowincome countries to support sustainable development. By operating across a full range of country clients, IBRD
maintains a depth of development knowledge, uses its convening power to promote development and advance theglobal public goods agenda, and coordinates responses to regional and global challenges.
Member countries use IBRD’s technical advice and analysis and convening power to develop or implement better
policies, programs, and reforms that help sustain development over the long term. The products delivered range fromdevelopment data, to reports in key social economic and social issues at the local, country, regional and global levels.
The products also include knowledge-sharing workshops focused on local issues, flagship events and fora to address
the most pressing global development challenges.

Financial Business Model
IBRD’s objective is not to maximize profits, but to earn adequate income to ensure that it has the long-term financial
capacity necessary to support its development activities. IBRD seeks to generate sufficient revenue to finance its
operations as well as to be able to set aside funds in reserves to strengthen its financial position. It also seeks to provide
support to IDA and trust funds via income transfers for other developmental purposes.
IBRD’s financial strength rests on the support it receives from its shareholders, and on its array of financial policies
and practices. Shareholder support for IBRD is reflected in the capital backing it continues to receive from its members
and in the record of its borrowing member countries in meeting their debt service obligations to IBRD. Sound financial
and risk management policies and practices have enabled IBRD to maintain adequate capital, diversify its funding
sources, hold a portfolio of liquid investments to meet its financial commitments, and limit its risks, including credit
and market risks.
IBRD offers its borrowers, in middle income and creditworthy low-income countries, long-term loans with maturities
up to 35 years. Borrowers may customize their repayment terms to meet their debt management or project needs, andloans have fixed or variable spread terms in multiple currencies. Effective April 1, 2021, IBRD’s offering of loans on
fixed spread terms has been suspended. Borrowers have generally preferred loans denominated in U.S. dollars andeuros. IBRD also supports its borrowers by providing access to risk management products such as derivative
instruments, including currency and interest rate swaps and interest rate caps and collars.
To meet its development goals, it is important for IBRD to intermediate funds for lending from the international capital
markets. IBRD’s loans are financed through its equity, and from borrowings raised in the capital markets. IBRD is
rated triple-A by the major rating agencies and its bonds are viewed as high-quality securities by investors. IBRD’s
funding strategy is aimed at achieving the best long-term value on a sustainable basis for its borrowing members. This
strategy has enabled IBRD to borrow at favorable market terms and pass the savings on to its borrowing members.
IBRD’s annual funding volumes vary from year to year, and funds raised are used to finance IBRD’s development
projects and programs in member countries. Funds not deployed for lending are maintained in IBRD’s investment
portfolio to supply liquidity for its operations. Figure 1 illustrates IBRD’s financial business model.

6

IBRD Management’s Discussion and Analysis: December 31, 2021

Management’s Discussion and Analysis

Section: II Overview

Figure 1: IBRD’s Financial Business Model

IBRD uses derivatives to manage its exposure to various market risks from the above activities. These are used toalign the interest and currency composition of its assets (loan and investment portfolios) with that of its liabilities(borrowing portfolio), and to stabilize earnings on the portion of the loan portfolio funded by equity. See Section IV:
Risk Management for additional details on how IBRD uses derivatives.
Management believes that these risk management strategies, taken together, effectively manage market risk in IBRD’soperations from an economic perspective. However, these strategies entail the use of derivatives, which introduces
volatility on net income through unrealized mark-to-market gains and losses (particularly given the long-term natureof some of IBRD’s assets and liabilities). Accordingly, Management makes decisions on income allocation without
reference to unrealized mark-to-market gains and losses on risk management instruments in the non-trading portfolios– see Basis of Reporting – Allocable Income.

Financial Performance
IBRD’s primary sources of revenue are from loans and investments, both net of funding costs (see Figure 2). Theserevenues cover administrative expenses, provision for losses on loans and other exposures3 (LLP), as well as transfers
to Reserves, Surplus, and for other development purposes including transfers to IDA.
In addition, other development activities generate non-interest revenue that is classified as Revenue from externally
funded activities. These external funds include trust funds, reimbursable funds and revenues from fee-based services
to member countries. Non-interest revenue from externally funded activities provides additional capacity to support
the development needs of client countries.

3

Other exposures include signed loan commitment (including deferred drawdown options - DDO), irrevocable commitments,
exposures to member countries’ derivatives and guarantees.

IBRD Management’s Discussion and Analysis: December 31, 2021

7

Management’s Discussion and Analysis

Section: II Overview

Figure 2: Sources and Uses of Revenue
Sources

Uses

Simplified
Balance Sheet

Revenue

Funding

Net Interest
RevenueLiquidInv.

Return on
Investments

Cost ofdebt

Investment
Revenue, net

Loan revenue

Cost ofdebt

Loan Interest
Revenue, net

D
e
b
t

L
o
a
n
s

Admin
Expenses

LLP

Reserves
Allocable
IncomeEquity

IDA, Other
transfers &Surplus

Basis of Reporting
IBRD’s financial statements conform with accounting principles generally accepted in the United States of America(U.S. GAAP). All financial instruments in the investment and borrowing portfolios and all derivatives are reported atfair value, with changes in fair value reported in the Statement of Income, except for changes in IBRD’s own credit,
which are reflected in Other Comprehensive Income. IBRD’s loans are reported at amortized cost, except for loans
with embedded derivatives, if any, which are reported at fair value. Management uses net income as the basis forderiving allocable income, as discussed below.

Allocable Income
IBRD’s Articles of Agreement (the Articles) require that the Governors determine the allocation of income at the endof every fiscal year. Allocable income, which is a non-GAAP financial measure, is an internal management measurethat reflects income available for allocation. IBRD defines allocable income as net income after certain adjustments,that are approved by the Board at the end of every fiscal year. These adjustments primarily relate to unrealized markto-market gains and losses associated with its non-trading portfolios, as well as the expenses for Board of Governorsapproved and other transfers, which primarily relate to the allocation of the prior year’s net income.
See Financial Results Section (Section III) and Table 1, for details of the adjustments to reported net income required
to calculate allocable income.
The volatility in IBRD’s net income is usually driven by the unrealized mark-to-market gains and losses on thederivative instruments in IBRD’s non-trading portfolios: loans, borrowings, and other asset/liability management(ALM). IBRD’s risk management strategy entails the use of derivatives to manage market risk. These derivatives areprimarily used to align the interest rate and currency bases of its assets and liabilities. IBRD has elected not to designate
any hedging relationships for accounting purposes. Rather, all derivative instruments are reported at fair value on the
Balance Sheet, with changes in fair values reflected in the Statement of Income.
In line with its financial risk management policies, for the non-trading portfolios, unrealized gains and losses from
instruments carried at fair value (borrowing portfolio, and derivatives in the loans and Other ALM portfolios) areexcluded from allocable income.
For the trading portfolio (investment portfolio), allocable income includes both realized and unrealized mark-tomarket gains and losses.

8

IBRD Management’s Discussion and Analysis: December 31, 2021

Management’s Discussion and Analysis

Section III: Financial Results

Section III: Financial Results
Financial Results and Portfolio Performance
The following is a discussion of the key drivers of IBRD’s financial performance, including a reconciliation between
IBRD’s net income and allocable income.
Table 1: Condensed Statement of Income
In millions of U.S. dollars
For the six months ended December 31,
Revenue on interest earning assets, net of funding costs
Loan interest revenue, net
Other ALM derivatives, net
Investment revenue, net a
Total revenue on interest earning assets, net
Provision for losses on loans and other exposures
Net non-interest expenses (Table 7)
Pension cost, other than service cost
Net other revenue (Table 6)
Board of Governors-approved and other transfers
Non-functional currency translation adjustment gains (losses), net b
Unrealized mark-to-market gains on non-trading portfolios, net c
Net income
Adjustments to reconcile net income to allocable income:Pension d and other adjustments (Table 7)
Board of Governors-approved and other transfers
Non-functional currency translation adjustment (gains) losses, net b
Unrealized mark-to-market gains on non-trading portfolios, net c
Allocable income

2021
$

2020

$

897
333
27
1,257
(198)
(717)
137
118
(354)
56
239
538

$

(78)
354
(56)
(239)
519

$

$

$

885
280
45
1,210
(56)
(670)
(6)
157
(80)
(44)
835
1,346

$

11
80
44
(835)
646

$

Impact on income
Decrease / Increasea. Includes unrealized mark-to-market gains on the Investments-Trading portfolio of $22 million (unrealized mark-to-market gains of $28
million for FY21 YTD), and excludes Post-Employment Benefit Plan (PEBP) unrealized mark-to-market gains of $51 million ($101
million for FY21 YTD) reported in Net other revenue (Table 6).
b. Translation adjustments relating to assets and liabilities denominated in non-functional currencies.
c. Adjusted to exclude amounts reclassified to realized gains (losses).
d. Adjustment to pension accounting expense to arrive at pension plan contributions. Pension plan contributions were $123 million for
FY22 YTD, and $121 million for FY21 YTD.

IBRD’s principal assets are its loans to member countries. These are financed by IBRD’s equity and borrowings fromthe capital markets.
As of December 31, 2021, total assets remained stable compared to June 30, 2021. The increase in net loans
outstanding and in other assets was largely offset by the decrease in investments and due from banks.
Table 2: Condensed Balance Sheet
In millions of U.S. dollars
As ofInvestments and due from banks
Net loans outstanding a
Derivative Assets, net
Other assets
Total Assets
Borrowings
Derivative liabilities, net
Other liabilities
EquityTotal Liabilities and Equity

December 31, 2021$

June 30, 2021

82,867
223,953

$

2,166
8,161
317,147$

257,990
3,027
7,978
48,152
317,147$

Decrease / Increase

90,251
218,799

$

3,355
4,896
317,301$

260,076
1,222
7,925
48,078317,301a. The fair value of IBRD’s loans was $228,672 million as of December 31, 2021 ($223,687 million – June 30, 2021).

IBRD Management’s Discussion and Analysis: December 31, 2021

9

Management’s Discussion and Analysis

Section III: Financial Results

Net Income
IBRD had net income of $538 million for the first six months of FY22, compared with net income of $1,346 million
during the same period in FY21. The decrease in net income in FY22 YTD was primarily due to the decrease inunrealized mark-to-market gains on the non-trading portfolios. (see Table 1 and Notes to Condensed Quarterly
Financial Statements, Note K: Fair Value Disclosures, Table K11).

Results from Lending activities
Loan Interest Revenue, net
Under IBRD’s pricing policy, the lending rates for all of IBRD’s loans are based on the underlying cost of theborrowings funding these loans. After the effect of related derivatives, the loan and borrowing portfolios are based on
variable interest rates, and the portion of the loan portfolio funded by equity is sensitive to changes in short-term
interest rates.
Figure 3: Loan Interest Revenue and Funding Cost
(including derivatives)

Figure 4: Loan Interest Revenue, net
In millions of U.S. dollars, YTD

In millions of U.S. dollars, YTD
Loan Interest revenue (Including derivatives)

Loan interest revenue, net

Loan funding cost (Including derivatives)

Loan interest revenue, net and Other ALM
derivatives, net combined

1,600

3,000
2,500

1,200

2,000
1,500

800

1,000
500

400

0

0

-500

FY18

FY19

FY20

FY21

FY22

FY18

FY19

FY20

FY21

FY22

The lower average interest rate environment during FY22 YTD compared with the same period in FY21 resulted in adecrease in IBRD’s loan interest revenue and a corresponding decrease in the loan funding cost (Figure 3).
For the first six months of FY22, IBRD’s loan interest revenue, net of funding costs was $897 million, an increase of$12 million compared with the same period in FY21 (Figure 4). The increase was primarily due to the higher averagebalance, as well as the impact of the pricing measures previously adopted, partially offset by the effect of the lower
average interest rates on the portion of the loan portfolio that is sensitive to short-term interest rate movements.
Other ALM derivatives moderate the impact of interest rate changes on the portion of the loan portfolio that is sensitive
to interest rate movements, thereby stabilizing the net interest revenue earned from these loans. Other ALM derivatives
comprise interest rate swaps which are used to convert the variable rate cash flows from these loans to fixed rate cash
flows. The combined effect of the increase in interest revenue from Other ALM derivatives, net of $53 million andthe increase in loan interest revenue, net of $12 million from FY21 YTD to FY22 YTD, resulted in a total increase in
net loan interest revenue of $65 million.

10

IBRD Management’s Discussion and Analysis: December 31, 2021

Management’s Discussion and Analysis

Section III: Financial Results

Table 3: Change in Net Loans Outstanding

Figure 5: Net Loans Outstanding

In millions of U.S. dollars

In billions of U.S. dollars

Net Loans outstanding as of June 30, 2021
Activity during the period:
Gross loan disbursements
Loan repayments
Change in accumulated provision for loan losses a
Change in deferred loan income
Translation adjustments
Total change
Net Loans outstanding as of December 31, 2021$

218,799$$

15,193(7,474)(165)(30)(2,370)5,154
223,953

250

202

219

224

Jun 21

Dec 21

200
150

100
50

0

Jun 20a. See Notes to Condensed Quarterly Financial Statements, Note D: Loans
and Other Exposures.

As of December 31, 2021, 81% of IBRD’s total loans outstanding after derivatives were denominated in U.S. dollars,and 18% were denominated in euro. For the regional presentation of loans outstanding, see Notes to Condensed
Quarterly Financial Statements, Note D: Loans and other exposures, Table D7.
Gross disbursements during the first six months of FY22 were $15.2 billion, 10% higher compared with the same
period in FY21 (Table 4), primarily due to higher level of Investment Project Financing (IPF) and Development Policy
Financing (DPF) disbursements.
Table 4: Gross Disbursements by Region
In millions of U.S. dollars
For the six months ended December 31,

2021
Amount
$
1,052
84
2,761
2,060
5,897
1,694
1,645
$
15,193

Eastern and Southern Africa
Western and Central Africa
East Asia and Pacific
Europe and Central Asia
Latin America and the Caribbean
Middle East and North Africa
South Asia
Total

2020
% of total
7%
1
18
13
39
11
11
100%

Amount
$
158
50
2,007
1,815
5,890
1,884
2,051
$
13,855% of total
1%
*
14
13
43
14
15
100%

$

$

Variance
894
34
754
245
7
(190)
(406)
1,338

* Indicates percentage less than 0.5%.

Net commitments during the first six months of FY22 were $10.1 billion, 3% lower compared with the same period
in FY21 (Table 5), primarily due to lower IPF commitments, partially offset by higher Program-for-Resultscommitments.
Table 5: Net Commitments by Region
In millions of U.S. dollars
For the six months ended December 31,
Eastern and Southern Africa
Western and Central Africa
East Asia and Pacific
Europe and Central Asia
Latin America and the Caribbean
Middle East and North Africa
South Asia
Total

2021
Amount
$
185
84
2,580
1,760
2,806
1,110
1,545
$
10,0702020% of total
2%
1
26
17
28
11
15
100%

Amount
$
40
1,588
2,316
4,175
1,000
1,247
$
10,366% of total
*%
15
23
40
10
12
100%

$

$

Variance
145
84
992
(556)
(1,369)
110
298
(296)

* Indicates percentage less than 0.5%.

IBRD Management’s Discussion and Analysis: December 31, 2021

11

Management’s Discussion and Analysis

Section III: Financial Results

Results from Investing Activities
Investment Portfolio
IBRD’s net investment portfolio was $84.4 billion as of December 31, 2021 ($85.8 billion as of June 30, 2021). Of
this amount, $81.1 billion related to the liquid asset portfolio ($82.8 billion as of June 30, 2021). See Notes toCondensed Quarterly Financial Statements, Note C: Investments. The decrease in the liquid asset portfolio is primarily
due to the net loan disbursements during the period.

Net Investment Revenue
For the first six months of FY22, IBRD’s net investment revenue decreased by $18 million, primarily due tothe decrease in the average investment balance.
Figure 7: Investment Revenue, net

Figure 6: Net Investment Portfolio

In millions of U.S. dollars, YTD

In billions of U.S. dollars

Investment Revenue, net

Other investment portfolios
Liquid asset portfolio
100
80

3

3

80

83

250

3

60

200
150
100

40

81

50

20

0

0

-50

Jun 20Jun 21

Dec 21

-100
FY18

FY19

FY20

FY21

FY22

Results from Borrowing Activities
As of December 31, 2021, the borrowing portfolio was $257.7 billion, a $4.0 billion increase compared with June 30,
2021 (see Notes to Condensed Quarterly Financial Statements, Note E: Borrowings). The increase was primarily due
to net new debt issuances. New issuances of medium-and long-term debt of $25.1 billion during the period were highly
diversified by currencies, with an average maturity of 8.2 years. The funds raised financed development lending
operations and satisfied the liquidity requirements.
Figure 8: Borrowing Portfolio (original maturities)
In billions of U.S. dollars
300
250

11

Medium-and long-term
10

Short-term

10

200
150
100

226

244

248

Jun 20Jun 21

Dec 2150
012IBRD Management’s Discussion and Analysis: December 31, 2021

Management’s Discussion and Analysis

Section III: Financial Results

Net Other Revenue
Net other revenue represents certain non-interest sources of revenue, which was $39 million lower in the first six
months of FY22, compared with the same period in FY21. The decrease was mainly due to the lower investment
earnings from the PEBP and PCRF holdings.
Table 6: Net Other Revenue
In millions of U.S. dollars
For the six months ended December 31,
Loan commitment fees
Guarantee fees
Net Earnings from Post-Employment Benefit Plan (PEBP) and Post-Retirement
Contribution Reserve Fund (PCRF)
PEF and PAF a
OthersNet Other Revenue (Table 1)

$

$

2021
65
7

$

2020
57
7

$

Variance
8
-

50

101

(51)

(5)
1
118

(8)
*
157

3
1
(39)

$

$

a. Amounts are fully offset by fair value changes in trades (facing counterparties) related to Pandemic Emergency Financing Facility(PEF) and Pilot Auction Facility for Methane and Climate Change Mitigation (PAF), which are included in Unrealized mark-to market
gains/(losses) on non-trading portfolios, net (Table 1). All PEF and PAF related trades matured as of December 31, 2021.
* Indicates amounts less than $0.5 million.

Net Non-Interest Expenses
As shown in Table 7, IBRD’s net non-interest expenses primarily comprise administrative expenses, net of revenue
from externally funded activities. IBRD/IDA's administrative budget is a single resource envelope that funds the
combined work programs of IBRD and IDA. The allocation of net administrative expenses between IBRD and IDA
is based on an agreed cost and revenue-sharing methodology, approved by their Boards, which is primarily driven by
the relative level of lending, knowledge services, and other services between these two institutions. The administrative
expenses shown in Table 7 include costs related to IBRD-executed trust funds and other externally funded activities.
Figure 9: Net Non-Interest Expenses - GAAP Basis
In millions of U.S. dollars, YTD
800
700
600
500
400
300
FY18

FY19

FY20

FY21

FY22

IBRD Management’s Discussion and Analysis: December 31, 2021

13

Management’s Discussion and Analysis

Section III: Financial Results

Table 7: Net Non-Interest Expenses
In millions of U.S. dollars
For the six months ended December 31,
Administrative expenses
Staff costs
TravelConsultant fees and contractual services
Pension and other post-retirement benefits a
Communications and technology
Premises and equipment
Other expenses
Total administrative expenses b
Grant making facilities
Revenue from externally funded activities:
Reimbursable revenue – IBRD executed trust funds
Other revenue
Total revenue from externally funded activities
Net non-interest expenses (Table 1)
Pension cost, other than service cost c (Table 1)
Net non-interest expenses - GAAP basis
Adjustments to arrive at net non-interest expenses - Allocable Income basis
Pension and EFO adjustments d
Net non-interest expenses - Allocable Income basis

2021
$

$

507
15
167
220
34
56
18
1,017
14

$

(196)
(118)
(314)
717
(137)
580

$

33
613

$

$

$

2020

Variance

493
4
168
218
30
61
12
986
15

$

$

(200)
(131)
(331)
670
6
676

$

(103)
573

$

$

14
11
(1)
2
4
(5)
6
31
(1)

$

4
13
17
47
(143)
(96)

$

135
39

$

a. Represents the service cost component of net periodic pension cost. See Notes to Condensed Quarterly Financial Statements,
Note H: Pension and Other Post-Retirement Benefits.
b. Includes expenses related to IBRD executed trust funds of $196 million for FY22 YTD and $200 million for FY21 YTD.
c. Amount is included in Other Non-interest expenses in the Condensed Statement of Income.
d. Adjustments are included in the Pension and other adjustments line in Table 1.

On GAAP basis, net non-interest expenses for the first six months of FY22 decreased by $96 million compared withthe same period last year. This is primarily due to the decrease in pension costs, mainly driven by the higher return onplan assets in FY21, which resulted in lower amortization of unrecognized actuarial losses in FY22.
On an allocable income basis, Net non-interest expenses for the first six months of FY22 increased by $39 million
compared with the same period last year. This is primarily due to the increase in staff costs and travel costs, as well
as a decrease in revenue from externally funded activities.

Unrealized mark-to-market gains and losses on non-trading portfolios
Unrealized mark-to-market gains and losses associated with the non-trading portfolios are excluded from reported net
income to arrive at allocable income. As a result, from a long-term financial sustainability perspective, income
allocations are generally based on amounts that have been realized (except for the Investments-Trading portfolio, as
previously discussed). For the first six months of FY22, $239 million of net unrealized mark-to-market gains ($835
million net unrealized mark-to-market gains for same period in FY21) were excluded from reported net income toarrive at allocable income (see Table 1 and Notes to Condensed Quarterly Financial Statements, Note K: Fair Value
Disclosures, Table K11).

Loan Portfolio
Loans are reported at amortized cost, whereas the derivatives which convert the loans from fixed-rate to variable-rate
instruments for asset liability management purposes, are reported at fair value. As a result, while from an economic
perspective, IBRD’s loans after the effect of derivatives carry variable interest rates, and therefore have a low
sensitivity to interest rates, the mark to market effect is not reflected in the reported net income. Net income includes
only the unrealized mark to market gains and losses on loan related derivatives, which for the first six months of FY22
was a gain of $663 million, primarily due to the increase in the interest rates during the period. See Section IV: Risk
Management for additional details on how IBRD uses derivatives in the loan portfolio.

14

IBRD Management’s Discussion and Analysis: December 31, 2021

Management’s Discussion and Analysis

Section III: Financial Results

Borrowing Portfolio
IBRD’s bonds and the related derivatives are reported at fair value, and, therefore, unrealized mark-to-market gains
and losses on the borrowing related derivatives are offset by unrealized mark-to-market gains and losses on theassociated bonds, except for changes in IBRD’s own credit, referred to as the Debit Valuation Adjustment (DVA),
which is recorded in Accumulated Other Comprehensive Loss (AOCL). For the first six months of FY22, the DVA
represents $485 million of unrealized mark-to-market losses, resulting mainly from the tightening of IBRD’s credit
spreads relative to London Interbank Offered Rate (LIBOR) during the period. As of December 31, 2021, IBRD’s
Condensed Balance Sheet included a cumulative DVA of $703 million of mark-to-market losses reflected in AOCL
(see Notes to the Condensed Quarterly Financial Statements, Note K – Other Fair Value Disclosures).

Other ALM Portfolio
IBRD uses derivatives to stabilize its interest revenue from the portion of loans which is sensitive to changes in shortterm interest rates. The Other ALM portfolio consists of derivatives which convert variable rate cash flows to fixed
rate cash flows. In the first six months of FY22, IBRD recorded unrealized mark to market losses of $589 million on
this portfolio, primarily due to the increase in the interest rates during the period. As of December 31, 2021, theduration of this portfolio was 4.1 years, within the Board established limit of 5 years.

Board of Governors-approved Transfers
Since 1964, IBRD has made transfers to IDA out of its net income, upon approval by the Governors. Under a formulabased approach for IBRD's income support to IDA, the amount of income transfer recommended for IDA is a functionof IBRD's financial results. On October 14, 2021, the Board of Governors approved a transfer of $274 million to IDA
out of FY21 allocable income, which was made on October 25, 2021. In FY21, a transfer of $331 million to IDA from
IBRD’s FY20 allocable income was approved by the Board of Governors on January 25, 2021 and made on February
1, 2021.
On December 6, 2021, IBRD’s Board of Governors approved a transfer of $80 million from Surplus to the Trust fundfor Gaza and the West Bank. The transfer was made on December 13, 2021.

IBRD Management’s Discussion and Analysis: December 31, 2021

15

Management’s Discussion and Analysis

Section IV: Risk Management

Section IV: Risk Management
Risk Governance
IBRD’s risk management processes and practices evolve to reflect changes in activities in response to market, credit,
product, operational, and other developments. The Board, particularly Audit Committee members, periodically review
trends in IBRD’s risk profiles and performance, and any major developments in risk management policies andcontrols.
Management believes that effective risk management is critical for its overall operations. Accordingly, the risk
management governance structure is designed to manage the principal risks IBRD assumes in its activities, andsupports Management in its oversight function, particularly in coordinating different aspects of risk management, andin connection with risks that are common across functional areas.
IBRD’s financial and operational risk governance structure is built on the “three lines model” where:i.

Business units are responsible for directly managing risks in their respective functional areas,ii.

The Vice President and WBG Chief Risk Officer (CRO) provides direction, challenge, and oversight overfinancial and operational risk activities, andiii.

Internal Audit provides independent oversight.

IBRD’s risk management process comprises risk identification, assessment, response and risk monitoring andreporting. IBRD has policies and procedures under which risk owners and corporate functions are responsible for
identifying, assessing, responding to, monitoring and reporting risks.

Risk Oversight and Coverage
The CRO oversees both financial and operational risks. These risks include (i) country credit risks in the core
sovereign-lending business, (ii) market and counterparty risks, including liquidity risk, and (iii) operational risks
relating to people, processes and systems. In addition, the CRO works closely with IFC, MIGA, and IDA’s
Management, to review, measure, aggregate, and report on risks, and share best practices across the WBG. The CRO
also helps enhance cooperation between the entities and facilitates knowledge sharing in the risk management
function.
The risk of IBRD’s operations not meeting their development outcomes (development outcome risk) in IBRD’s
lending activities is monitored at the corporate level by Operations Policy and Country Services (OPCS). Where fraudand corruption risks may impact IBRD-financed projects, OPCS, the regions and practice groups, and the Integrity
Vice Presidency jointly address such issues.

Management of IBRD’s Risks
IBRD assumes financial risks in order to achieve its development and strategic objectives. IBRD’s financial risk
management framework is designed to enable and support the institution in achieving its goals in a financiallysustainable manner. IBRD manages credit, market and operational risks for its financial activities, which includelending, borrowing and investing. The primary financial risk to IBRD is the country credit risk inherent in its loan
portfolio. IBRD is also exposed to risks in its liquid asset and derivative portfolios, where the major risks are interest
rate, exchange rate, commercial counterparty credit, and liquidity risks. IBRD’s operational risk management
framework is based on a structured and uniform approach to identify, assess and monitor key operational risks acrossbusiness units.
In an effort to maximize IBRD’s capacity to lend to member countries for development purposes, IBRD limits its
exposure to market and counterparty credit risks. In addition, to ensure that the financial risks associated with its loans
and other exposures do not exceed its risk-bearing capacity, IBRD uses a strategic capital adequacy framework as a
key medium-term capital planning tool.

16

IBRD Management’s Discussion and Analysis: December 31, 2021

Management’s Discussion and Analysis

Section IV: Risk Management

COVID-19 Pandemic
The continuing spread of COVID-19 and variants has resulted in governments worldwide enacting emergency
measures to combat the spread of the virus. Those measures include travel bans or restrictions, quarantine periods andsocial distancing, which cause material disruption to businesses globally, resulting in an economic slowdown.
Governments and central banks reacted with significant monetary and fiscal interventions designed to stabilize
economic conditions.
Due to the ongoing COVID-19 pandemic, IBRD continues to monitor developments and to manage the risks
associated with all its portfolios.
As of December 31, 2021, IBRD had sufficient resources to meet its liquidity requirements and continues to haveaccess to capital market resources. The liquid asset portfolio was 142% of the Target Liquidity Level.
Management remains vigilant in assessing funding needs in the medium and longer-term to manage the effect ofpossible severe market movements.
IBRD’s capital adequacy, as indicated by Equity-to-Loans ratio, remains stable (Table 8) and above the minimum
level.
As of the reporting date, country credit risk and counterparty credit risk remain in line with the existing governanceframework and established credit limits. The loan loss provisions include IBRD’s current assessment of country
credit risk. The fair values of related financial instruments reflect counterparty credit risk in IBRD’s
portfolios. Developments in the market continue to be closely monitored and managed.
IBRD continues to respond to client needs and operate its core business functions effectively by utilizing technology
for remote work, where needed. Home-based work remains in many IBRD offices throughout the world, in line with
IBRD’s Business Continuity Procedures. In addition, other prudent measures are in place to ensure the health andsafety of its employees. IBRD continues to monitor risks associated with COVID-19 and its ongoing variants andprepare plans to respond as the situation evolves.

Capital Adequacy
IBRD holds capital to cover the credit, market and operational risks inherent in its operating activities and financial
assets. Country credit risk is the most substantive risk covered by IBRD’s equity.
IBRD’s capital adequacy is the degree to which its equity is sufficient to withstand unexpected shocks. IBRD’s
Board monitors IBRD’s capital adequacy within a strategic capital adequacy framework and uses the equity-to-loans
ratio as a key indicator of capital adequacy. The framework seeks to ensure that IBRD’s equity is aligned with thefinancial risk associated with its loan portfolio as well as other exposures over a medium-term capital-planninghorizon.
As shown in Table 8, IBRD’s equity-to-loans ratio decreased to 22.1% as of December 31, 2021, from 22.6% as ofJune 30, 2021, mainly due to the increase in loan exposure, and remained above the 20% minimum ratio under the
strategic capital adequacy framework. In line with IBRD’s currency management policy, exchange rate movements
during the period did not have an impact on IBRD’s equity-to-loans ratio. Under the currency management policy, tominimize exchange rate risk, IBRD matches its borrowing obligations in any one currency (after derivatives) withassets in the same currency. In addition, IBRD periodically undertakes currency conversions to align the currencycomposition of its equity with that of its outstanding loans, across major currencies.

IBRD Management’s Discussion and Analysis: December 31, 2021

17

Management’s Discussion and Analysis

Section IV: Risk Management

Table 8: Equity-to-Loans Ratio
In millions of U.S. dollars
December 31,
2021

As of
Usable paid-in capitalSpecial reserve
General reserve a
Cumulative translation adjustment b
Other adjustments
Equity (usable equity)$

Loans exposure
Present value of guarantees
Effective but undisbursed DDOs
Related accumulated provisions
Deferred loan income
Other exposures
Loans (total exposure)$

18,966
293
31,464(684)(28)
50,011$

225,8972,979
418(1,812)(521)(669)
226,292$$$

June 30,2021

Equity-to-Loans Ratio

$

22.1%

Total

18,583
293
31,464(268)(75)
49,997$

220,564
3,079(1,630)(495)(723)
220,795$$

Variance
Due toDue to Translation
Activities
Adjustments

$

$

383
(416)
47
14

$

5,333
(100)
418
(182)
(26)
54
5,497

$

$

$

525
525

$

7,715
(16)
418
(197)
(32)
54
7,942

$

$

$

(142)
(416)
47
(511)
(2,382)(84)
15
6(2,445)

22.6%

a. June 30, 2021 amount includes the proposed transfer to the General Reserve, which was approved by IBRD's Executive
Directors on August 5, 2021.
b. Excludes cumulative translation amounts associated with the unrealized mark-to-market gains/losses on non-trading portfolios,
net.

Credit Risk
IBRD faces two types of credit risk: country credit risk and counterparty credit risk. Country credit risk is the risk ofloss due to a country not meeting its contractual obligations, and counterparty credit risk is the risk of loss attributable
to a counterparty not honoring its contractual obligations. IBRD is exposed to commercial as well as non-commercial
counterparty credit risk.

Country Credit Risk
IBRD manages country credit risk by using individual country exposure limits and produces credit risk ratings for all
its borrowing countries, which reflect country economic, financial, and political circumstances, and also considers
environmental, social and governance (ESG) risk factors. In addition, IBRD conducts stress tests of the effects ofchanges in market variables and of potential geopolitical events on its portfolio to complement its capital adequacy
framework.
Figure 10: Country Exposures as of December 31, 2021
In billions of U.S. dollars

Top Ten Country Exposures
India
Indonesia
China
BrazilMexicoColombia
Egypt
TurkeyPhilippines
Argentina

18.1
18.0
16.0
15.4
15.2
13.9
11.6
11.0
10.1
9.0
0

18

2

4

6

8

10

12

14

16

18

20

IBRD Management’s Discussion and Analysis: December 31, 2021

Management’s Discussion and Analysis

Section IV: Risk Management

Portfolio Concentration Risk
Portfolio concentration risk, which arises when a small group of borrowers, accounts for a large share of loans
outstanding, is a key concern for IBRD. The ten countries with the highest exposures accounted for 61% of IBRD’s
total exposure as of December 31, 2021.
Concentration risk is carefully managed, in part, by applying an exposure limit to a single borrowing country for theaggregate balance of loans outstanding, the present value of guarantees, the undisbursed portion of Deferred
Drawdown Options (DDOs), and other eligible exposures that have become effective. Under the current guidelines,
IBRD’s exposure to a single borrowing country is restricted to the lower of an Equitable Access Limit (EAL) and theSingle Borrower Limit (SBL).
The SBL framework reflects a dual-SBL system, which differentiates between countries below the Graduation
Discussion Income (GDI) threshold and those above it. Under this system, the FY22 SBL is $24.9 billion for highly
creditworthy countries below the GDI, and $21.2 billion for highly creditworthy countries above the GDI.

Accumulated Provision for Losses on Loans and Other Exposures
As of December 31, 2021, IBRD’s accumulated provision for losses on loans and other exposures was $1,829 million,
including $351 million of accumulated provision related to loan commitments (see Notes to Condensed Quarterly
Financial Statements, Note D: Loans and Other Exposures). This was less than 1% of the underlying exposures ($1,647
million as of June 30, 2021, less than 1% of total exposures). For the first six months of FY22, IBRD recorded a
provision for losses on loans and other exposures of $198 million, primarily reflecting the impact of an increase in theloss given default (severity) due to the increase in the implied forward interest rates during the period.
As of December 31, 2021, 0.2% of IBRD’s loans were in nonaccrual status, all related to Zimbabwe. During the firstsix months of FY22, IBRD received $1.5 million of payments towards overdue interest and principal from Zimbabwe(Nil for FY21 YTD). See Notes to Condensed Quarterly Financial Statements, Note D: Loans and Other Exposures.

Counterparty Credit Risk
IBRD is exposed to commercial and non-commercial counterparty credit risk.

Commercial Counterparty Credit Risk
Commercial counterparty credit risk is the risk that counterparties fail to meet their payment obligations under theterms of the contract or other financial instruments. Effective management of counterparty credit risk is vital to thesuccess of IBRD’s funding, investment, and asset/liability management activities. The monitoring and managementof these risks is continuous as the market environment evolves.
As a result of IBRD’s use of mark-to-market collateral arrangements for swap transactions, its residual commercial
counterparty credit risk is concentrated in the investment portfolio, in instruments issued by sovereign governments
and non-sovereign holdings (including Agencies, Asset Backed Securities, Corporates, and Time Deposits). IBRD’s
overall commercial counterparty credit exposure decreased by $6.3 billion during the first six months of FY22, to$80.5 billion as of December 31, 2021, consistent with the decrease in Investments-Trading.

IBRD Management’s Discussion and Analysis: December 31, 2021

19

Management’s Discussion and Analysis

Section IV: Risk Management

As shown in Table 9, the credit quality of IBRD’s investment portfolio remains concentrated in the upper end of thecredit spectrum, with 63% of the portfolio rated AA or above and the remainder predominantly rated A. The exposureswith the AAA and AA rated counterparties primarily relate to sovereign debt and time deposits. The A rated
counterparties principally consist of financial institutions (limited to short-term deposits and swaps) and sovereign
debt.
Table 9: Commercial Credit Exposure, Net of Collateral Held, by Counterparty Rating
In millions of U.S. dollars
As of December 31, 2021
Investments
Counterparty Rating a
AAA
AA
A
BBB
BB or lower/unrated
Total

Sovereigns$
22,4902,091
17,47939$
42,099$$Net Swap
Exposure
$
194
345
1
$
540

Non-Sovereigns
7,940
17,61012,23851
837,847

Total Exposure
30,43019,89530,06251
48$
80,486% of Total
38%
25
37
*
*
100%

Total Exposure
35,322
26,981
24,37856
48$
86,785% of Total
41%
31
28
*
*
100%

$

As of June 30, 2021
Investments
Counterparty Rating a
AAA
AA
A
BBB
BB or lower/unrated
Total

Sovereigns$
25,186
2,828
12,18840$
40,242$$

Non-Sovereigns
10,13623,525
11,99956
845,724

Net Swap
Exposure
$
628
191
$
819

$

a. Average rating is calculated using available ratings from the three major rating agencies; however, if ratings are not available fromeach of the three rating agencies. IBRD uses the average of the ratings available from any of such rating agencies or a single rating
to the extent that an instrument or issuer (as applicable) is rated by only one rating agency.
* Indicates amount less than $0.5 million or percentage less than 0.5%.

Non-Commercial Counterparty Credit Risk
In addition to its derivative transactions with commercial counterparties, IBRD offers derivative-intermediation andother services to borrowing member countries, as well as to affiliated and non-affiliated organizations, to help meettheir development needs and fulfill their development mandates (see Table 10).
IBRD has a master derivatives agreement with the International Finance Facility for Immunisation (IFFIm), underwhich several transactions have been executed. IBRD has the right to call for collateral above an agreed specified
threshold. As of December 31, 2021, IBRD had not exercised this right, but may do so under the existing terms of theagreement. Rather than calling for collateral, IBRD and IFFIm have agreed to manage IBRD’s exposure by applying
a risk management buffer to the gearing ratio limit. The gearing ratio limit represents the maximum amount of IFFIm’s
net financial obligations less cash and liquid assets, as a percentage of the net present value of its financial assets.
Table 10: Non-Commercial Counterparty Credit Risk
In millions of U.S. dollars
Exposures as of December 31, 2021
Non-Commercial
Counterparty
Borrowing Member
Countries

Instrument
used

Purpose of derivative transaction

Derivatives

Assist borrowing member countries with managing risks

Affiliated Organization

Derivatives

Intermediation on behalf of IDA

Non-Affiliated
Organization

Derivatives

Assist IFFIm with managing risks

$

9,158

IBRD Management’s Discussion and Analysis: December 31, 2021

$

736

960
12

3,899
$ 13,793

20

Net
Exposure

Notional

215
$

1,187

Management’s Discussion and Analysis

Section IV: Risk Management

Effect of Changes in Credit Spreads
The sensitivity of IBRD’s portfolios to changes in credit spreads is shown in the table below, where the amountrepresents the dollar change in fair value corresponding to a one basis point parallel upward shift in credit spreads.
Table 11: Effect of Credit on IBRD’s Portfolios
In millions of U.S. dollars
As of December 31, 2021

Credit Effect on Portfolio

Borrowing portfolio
Loan portfolio b
Other ALM portfolio
Investment portfolio$

Total gains$

Sensitivity a
117
(2)
(*)
(2)
113

a. Excludes Credit Valuation Adjustment (CVA) and Debit Valuation Adjustment (DVA) on derivatives.
b. If loans were measured at fair value.
* Sensitivity is marginal.

Market Risk
IBRD is exposed to changes in interest and exchange rates, and it uses various strategies to minimize its exposure tomarket risk.

Interest Rate Risk
Under its current interest rate risk management strategy, IBRD seeks to match the interest rate sensitivity of its assets(loan and investment trading portfolios) with those of its liabilities (borrowing portfolio) by using derivatives, such as
interest rate swaps. These derivatives effectively convert IBRD’s financial assets and liabilities into variable-rate
instruments. After considering the effects of these derivatives, virtually the entire loan and borrowing portfolios arecarried at variable interest rates. The sensitivity of these portfolios to interest rate movements, after the effect ofderivatives, is shown in the table below where the amount represents the dollar change in fair value corresponding toa one basis point parallel upward shift in interest rates.
Table 12: Effect of Interest Rates on IBRD’s Portfolios
In millions of U.S. dollars
As of December 31, 2021

Interest Rate Effect on Portfolio

Borrowing portfolio
Loan portfolio a
Other ALM portfolio
Investment portfolio$

Total losses$

Sensitivity
6
(6)
(16)
(1)
(17)

a. If loans were measured at fair value.

IBRD Management’s Discussion and Analysis: December 31, 2021

21

Management’s Discussion and Analysis

Section IV: Risk Management

Figure 11 illustrates how the use of derivatives affects the overall sensitivity of the borrowing, loan, Other ALM andinvestment portfolios. It illustrates the extent to which each portfolio is economically hedged. For example, for the
borrowing portfolio a one basis point upward parallel shift in interest rates would result in $117 million of unrealized
mark-to-market gains on bonds which would be offset by $111 million of unrealized mark-to-market losses on swaps.
Loan sensitivities are illustrative as loans are carried at amortized cost on the Balance Sheet.
Figure 11: Sensitivity to Interest Rates as of December 31, 2021
(Dollar change in fair value corresponding to a one basis point upward parallel shift in interest rates)
In millions of U.S. dollars
Borrowing Portfolio
Loan Portfolio
Other ALM Portfolio
Swaps Bonds
(111)

117

-120 -80 -40 0

40 80 120

Net Sensitivity = $6 million

Swaps

Loans Swaps(40)-60 -40 -20

34

0

20

Investments

(16)

40

60

Net Sensitivity = $(6) million

0-60 -40 -20

Investment Portfolio(1)

0

20 40 60

Net Sensitivity= $(16) million-60 -40 -20

0

20

40

60

Net Sensitivity = $(1) million

IBRD faces three main sources of interest rate risk: the interest rate sensitivity of the income earned in a low interest
rate environment, refinancing risk of fixed-spread loans, and interest rate risk on the liquid asset portfolio. The
discontinuance of LIBOR and the transition to alternative reference rates also presents a significant risk to IBRD’s
activities, which is discussed later in this section.

Low Interest Rate Environment
Loans to borrowing countries
Under IBRD’s loan agreements, if an interest rate formula yields a negative rate, the interest rate charged is zero.
Liquid Asset Portfolio
IBRD’s existing guidelines allow for the investment in a wide variety of credit products in both developed andemerging market economies (see investment eligibility criteria in IBRD’s MD&A as of June 30, 2021). Low andnegative fixed interest rates present a challenge for the investment of the liquid asset portfolio. However, even markets
with negative rates can provide positive spread returns once the investment is swapped back into a U.S. dollar floatingbasis. In the first six months of FY22, despite the low interest rate environment, IBRD was able to generate a positive
return, net of funding costs on its liquid asset portfolio (see Table 1).
The interest rate risk on IBRD’s liquid asset portfolio, including the risk that the value of assets in the portfolio willfluctuate in response to changes in market interest rates, is managed within specified duration-mismatch limits. The
liquid asset portfolio has spread exposure because IBRD holds instruments other than the short-term bank deposits
represented by the portfolio’s London Interbank Bid Rate (LIBID) benchmark. These investments generally yieldpositive returns over the benchmark but can generate mark-to-market losses if their spreads relative to LIBOR widen.

Fixed Spread Loan Refinancing Risk
Refinancing risk for funding fixed-spread loans relates to the potential impact of any future deterioration in IBRD'sfunding spread relative to what was computed in the fixed-spread. IBRD does not match the maturity of its funding
with that of its fixed spread loans as this would result in significantly higher financing costs for all loans. Instead,
IBRD targets a shorter average funding maturity and manages the refinancing risk through two technical componentsof the fixed-spread loan pricing, both of which can be changed at Management’s discretion:•

Projected funding cost: Management’s best estimate of average funding costs over the life of the loan•

Risk premium: A charge for the risk that actual funding costs are higher than projected Liquid Asset Portfolio
Spread Exposure.

22

IBRD Management’s Discussion and Analysis: December 31, 2021

Management’s Discussion and Analysis

Section IV: Risk Management

Other Interest Rate Risks
Interest rate risk also arises from other variables, including differences in timing between the contractual maturities
or re-pricing of IBRD’s assets, liabilities, and derivative instruments. On variable-rate assets and liabilities, IBRD is
exposed to timing mismatches between the re-set dates on its variable-rate receivables and payables. IBRD monitorsthese exposures and may execute overlay interest rate swaps to reduce sizable timing mismatches.

Alternative Reference Rates
In July 2017, the Financial Conduct Authority (FCA), the regulator of LIBOR, announced that it will no longer compel
panel banks to submit rates required to calculate LIBOR after December 31, 2021 and, therefore, market participants,
including IBRD and its borrowers needed to move to alternative reference rates. In March 2021, the FCA confirmedthat all the LIBOR settings will either cease to be provided by any administrator, or no longer be representative, as
follows:
Type of LIBOR
GBP LIBOR
EUR LIBOR
CHF LIBOR
JPY LIBOR
USD LIBOR
USD LIBOR

Setting
All settings
1-week, 2-monthRemaining settings, including 6-month

Date of cessation

December 31, 2021

June 30, 2023

Despite the extension of the publication of certain USD LIBOR rates to June 30, 2023, the regulators’ guidance
remains that LIBOR should not be used for new contracts after 2021. In July 2021, the Commodity Futures Trading
Commission’s Market Risk Advisory Committee (MRAC) adopted a market best practice known as SOFR First, afour phased plan to switch derivative trading conventions from LIBOR to Secured Overnight Financing Rate (SOFR)
for USD derivative instruments. The first three phases of transitioning trading conventions from LIBOR to SOFR
were fully implemented as of December 31, 2021. The fourth and last phase of SOFR First will involve exchangetraded derivatives with the timing to be determined. Also, in July 2021, the Alternative Reference Rates Committee(ARRC) formally recommended CME Group’s forward-looking term rate for SOFR, for use in markets wheretransitioning from LIBOR to an overnight rate has been difficult. The forward-looking term rate for SOFR is basedon transactions in the SOFR derivatives markets. The ARRC recommended these rates for legacy loans and bond
instruments but not for the vast majority of derivative instruments.
In consideration of the regulatory guidance and in preparation for the global markets’ transition away from LIBOR,IBRD has taken the necessary steps to facilitate a smooth and orderly transition of its financial instruments effectedby alternative reference rates.
IBRD previously completed an impact assessment of its exposure, both quantitatively and qualitatively, to LIBOR
and developed an implementation roadmap for the LIBOR transition. IBRD has been actively working through thistransition from multiple perspectives: lending, funding, accounting, operations, information technology, liquidity
investing, risk and legal, considering the portfolio of existing loans and other instruments that use LIBOR as abenchmark.
In FY20, the Board endorsed an omnibus amendment process with borrowers for certain existing loan agreements toaddress inadequate fallback provisions for LIBOR replacement, allowing IBRD to maintain and preserve the preexisting relationship between its funding costs and lending rates and maintain the principles of fairness andequivalence for any replaced reference rate. The contract amendments enabled similar treatment to all loans bybringing the fallback provisions related to changes in the reference rate in the General Conditions into conformity
with the revised General Conditions of December 2018. The new language permitted IBRD to transition the interest
rate to alternative reference rates when it is appropriate to do so. The majority of IBRD loans were denominated in
USD, EUR, GBP and JPY as of December 31, 2021. IBRD adopted the following alternative reference rates: SOFR
for USD denominated loans, Euro Interbank Offered Rate (EURIBOR) for EUR denominated loans, Sterling
Overnight Index Average (SONIA) for GBP denominated loans, and Tokyo Overnight Average Rate (TONA) for JPY
denominated loans. IBRD made significant progress to ensure a smooth transition to alternative reference rates.
Through the omnibus amendments and reference rate replacement notification process, the vast majority of its
borrowers’ loans were ready for transition by December 31, 2021.
Effective January 1, 2022, IBRD offers new loans with alternative reference rates and ceased to offer LIBOR basedloans.

IBRD Management’s Discussion and Analysis: December 31, 2021

23

Management’s Discussion and Analysis

Section IV: Risk Management

Out of the total loan outstanding of $225,897 million as of December 31, 2021, approximately 73% is subject totransition to alternative reference rates. The switch over of existing variable spread and non-USD fixed spread loans
to alternative reference rates began in January 2022, at the loan reset dates. The remaining USD fixed spread loans
will begin transitioning in July 2023, as the loans reset.
Out of the total derivative portfolio notional as of December 31, 2021, approximately 70% is subject to transition toalternative reference rates. For the vast majority of these trades, IBRD either has sufficient provisions in the derivative
agreements with its counterparties, has adhered to the International Swaps and Derivatives Association (ISDA) 2020
IBOR Fallbacks Protocol (IBOR Protocol) or works bilaterally with counterparties, to ensure a smooth transition toalternative reference rates.
As of December 31, 2021, about 98% of IBRD’s borrowing portfolio either carries fixed interest rates or is not subject
to transition to alternative reference rates.
IBRD will continue to work with key stakeholders, including internal subject matter experts, senior management,
borrowers, industry groups and other market participants, to mitigate potential financial and operational risks to which
IBRD is exposed, and to ensure an orderly transition to the alternative reference rates. IBRD is managing the transition
prudently and in a cost-effective manner.

Exchange Rate Risk
IBRD holds the majority of its assets and liabilities in U.S. dollars and euro. However, the reported levels of its assets,
liabilities, income, and expenses in the financial statements are affected by exchange rate movements in all thecurrencies in which IBRD transacts, relative to its reporting currency, the U.S. dollar. While IBRD’s equity could be
affected by exchange rate movements, IBRD’s risk management policies work to minimize the exchange rate risk in
its capital adequacy, by immunizing the equity-to-loans ratio against exchange rate movements.
To minimize exchange rate risk, IBRD matches its borrowing obligations in any one currency (after derivative
activities) with assets in the same currency. In addition, IBRD undertakes periodic currency conversions to align thecurrency composition of its equity with that of its outstanding loans across major currencies. Together, these policies
are designed to minimize the impact of exchange rate fluctuations on the equity-to-loans ratio; thereby preserving
IBRD’s ability to better absorb unexpected losses from arrears on loan repayments, regardless of exchange
movements. As a result, exchange rate movements during the period generally do not have an impact on the overall
equity-to-loans ratio.

Liquidity Risk
Liquidity risk arises in the general funding of IBRD’s activities and in managing its financial position. It includes therisk of IBRD being unable to fund its portfolio of assets at appropriate maturities and rates, and the risk of being
unable to liquidate a position in a timely manner at a reasonable price.
Under IBRD’s liquidity management guidelines, liquid asset holdings are kept at or above a specified Prudential
Minimum to safeguard against cash flow interruptions.
The Target Liquidity Level represents twelve-months’ coverage as calculated at the start of every fiscal year. The
Prudential Minimum is defined as 80% of the Target Liquidity Level. The maximum guideline of 150% of Target
Liquidity Level continues to function as a guideline rather than a hard ceiling (see Table 13).
Table 13: Liquidity Levels for FY22
Target Liquidity Level

In billions of U.S. dollars
57.0% of Target Liquidity Level

Guideline Maximum Liquidity Level

85.5

150%

Prudential Minimum Liquidity Level

45.6

80%

Liquid Asset Portfolio
as of December 31, 2021

81.1

142%

The FY22 Target Liquidity Level is $11 billion lower than the prior year, due to the lower projected debt service for
FY22.

24

IBRD Management’s Discussion and Analysis: December 31, 2021

Management’s Discussion and Analysis

Section IV: Risk Management

Operational Risk
Operational risk is defined as the risk of financial loss, or damage to IBRD’s reputation resulting from inadequate or
failed internal processes, people and systems, or from external events.
IBRD recognizes the importance of operational risk management activities, which are embedded in its financial
operations. As part of its business activities, IBRD is exposed to a range of operational risks including physical security
and staff health and safety, data and cyber security, business continuity, and third-party vendor risks. IBRD’s approach
to identifying and managing operational risk includes a dedicated program for these risks and a robust process that
includes assessing and prioritizing operational risks, monitoring and reporting relevant key risk indicators, aggregating
and analyzing internal and external events, and identifying emerging risks that may affect business units anddeveloping risk response and mitigating actions.

IBRD Management’s Discussion and Analysis: December 31, 2021

25

Management’s Discussion and Analysis

Section V: Governance

Section V: Governance
Senior Management Changes
The following changes were effective January 1, 2022:• Jingdong Hua, Vice President and Treasurer of the World Bank, retired.
• Jorge Familiar Calderon was appointed to the role of Vice President and Treasurer of the World Bank.
• Pam O’Connell was appointed as the Vice President and World Bank Group Controller, succeeding Jorge Familiar
Calderon in that role.

26

IBRD Management’s Discussion and Analysis: December 31, 2021

Management’s Discussion and Analysis

List of Tables, Figures and Box

List of Tables, Figures and Box
TablesTable 1: Condensed Statement of Income
Table 2: Condensed Balance Sheet
Table 3: Change in Net Loans Outstanding
Table 4: Gross Disbursements by Region
Table 5: Net Commitments by Region
Table 6: Net Other Revenue
Table 7: Net Non-Interest Expenses
Table 8: Equity-to-Loans Ratio
Table 9: Commercial Credit Exposure, Net of Collateral Held, by Counterparty Rating
Table 10: Non-Commercial Counterparty Credit Risk
Table 11: Effect of Credit on IBRD’s Portfolios
Table 12: Effect of Interest Rates on IBRD’s Portfolios
Table 13: Liquidity Levels for FY22

9
9
11
11
11
13
14
18
20
20
21
21
24

FiguresFigure 1: IBRD’s Financial Business Model
Figure 2: Sources and Uses of Revenue
Figure 3: Loan Interest Revenue and Funding Cost (including derivatives)
Figure 4: Loan Interest Revenue, net
Figure 5: Net Loans Outstanding
Figure 6: Net Investment Portfolio
Figure 7: Investment Revenue, net
Figure 8: Borrowing Portfolio (original maturities)
Figure 9: Net Non-Interest Expenses – GAAP Basis
Figure 10: Country Exposures as of December 31, 2021
Figure 11: Sensitivity to Interest Rates as of December 31, 2021

7
8
10
10
11
12
12
12
13
18
22

Box
Box 1: Selected Financial Data

2

IBRD Management’s Discussion and Analysis: December 31, 2021

27

Page left intentionally blank28

INTERNATIONAL BANK FOR RECONSTRUCTION AND DEVELOPMENT(IBRD)CONTENTS
December 31, 2021

CONDENSED QUARTERLY FINANCIAL STATEMENTSCONDENSED BALANCE SHEET30

CONDENSED STATEMENT OF INCOME

32

CONDENSED STATEMENT OF COMPREHENSIVE INCOME

33

CONDENSED STATEMENT OF CHANGES IN RETAINED EARNINGS

33

CONDENSED STATEMENT OF CASH FLOWS

34

NOTES TO CONDENSED QUARTERLY FINANCIAL STATEMENTS

35

INDEPENDENT AUDITORS’ REVIEW REPORT62

IBRD Condensed Quarterly Financial Statements: December 31, 2021 (Unaudited)29

CONDENSED BALANCE SHEET
Expressed in millions of U.S. dollars
December 31, 2021
(Unaudited)

June 30, 2021
(Unaudited)

AssetsDue from banks—Notes C and K
Unrestricted cash$

Restricted cash

803

$

2,240

103

107

906

2,347

81,81987,566

142

338

2,166

3,355

Total loans

293,250

295,005

Less undisbursed balance (including signed loan commitments of$59,335 million — December 31, 2021, and $59,837 million —June 30, 2021)(67,353)(74,441)

225,897

220,564(1,423)(1,270)Investments-Trading (including securities transferred under repurchaseor securities lending agreements of $38 million—December 31, 2021;$24 million—June 30, 2021)—Notes C and K
Securities purchased under resale agreements—Notes C and K
Derivative assets, net—Notes C, E, F and K
Loans outstanding—Notes D, I and K

Loans outstanding
Less:
Accumulated provision for loan losses
Deferred loan income
Net loans outstanding

Other assets—Notes C, D, E and I
Total assets

30

$

(521)

(495)

223,953

218,799

8,161

4,896

317,147

IBRD Condensed Quarterly Financial Statements: December 31, 2021 (Unaudited)$

317,301

December 31, 2021
(Unaudited)

June 30, 2021
(Unaudited)$$

Liabilities
Borrowings—Notes E and K
Securities sold under repurchase agreements, securities lent under
securities lending agreements, and payable for cash collateral
received—Notes C and K
Derivative liabilities, net—Notes C, E, F and K
Other liabilities—Notes C, D and I

257,990

260,076

172

62

3,027

1,222

7,806

7,863

268,995

269,223

301,857(282,090)

297,856(278,612)

19,767

19,244

Nonnegotiable, noninterest-bearing demand obligations on account ofsubscribed capital

(328)

(332)

Receivable amounts to maintain value of currency holdings

(315)

(343)

Deferred amounts to maintain value of currency holdings

(106)

67

Retained earnings (see Condensed Statement of Changes in Retained
Earnings; Note G)

31,54531,007

Accumulated other comprehensive loss—Note J(2,411)(1,565)

Total equity

48,15248,078

Total liabilities
EquityCapital stock—Note B
Authorized capital (2,783,873 shares—December 31, 2021, andJune 30, 2021)
Subscribed capital (2,502,231 shares—December 31, 2021, and2,469,065 shares—June 30, 2021)
Less uncalled portion of subscriptions
Paid-in capital

Total liabilities and equity$

317,147$

317,301

The Notes to Condensed Quarterly Financial Statements are an integral part of these Statements.

IBRD Condensed Quarterly Financial Statements: December 31, 2021 (Unaudited)31

CONDENSED STATEMENT OF INCOME
Expressed in millions of U.S. dollars

Three Months Ended
December 31, (Unaudited)
2021
2020

Six Months Ended
December 31, (Unaudited)
2021
2020

$

$

Interest revenue
Loans, net—Note D
Other asset/liability management derivatives, net
Investments-Trading, net
Other, net

488
167
25
(5)

$

536
154
52
(7)

972
333
59
(3)

$ 1,254
280
132
(6)

Borrowing expenses, net—Note E

(64)

(144)

(137)

(487)

Interest revenue, net of borrowing expenses

611

591

1,224

1,173

Provision for losses on loans and other exposures—
Note D

(127)

(17)

(199)

(55)

Non-interest revenue
Revenue from externally funded activities—Note I
Commitment charges—Note D
Other
Total

178
33
9
220

189
28
7
224

314
65
19
398

331
57
17
405

Administrative—Notes H and I

(509)

(518)

(1,017)(986)

Contributions to special programs

(14)

(15)

(14)

(15)

Other, net—Note H
Total

61
(462)

(8)
(541)

126
(905)

(17)
(1,018)

(354)

(80)

(354)

(80)

Non-functional currency translation adjustment
gains (losses), net

40

(55)

56

(44)

Unrealized mark-to-market gains on InvestmentsTrading portfolio, net—Notes F and K

63

58

73

129

Unrealized mark-to-market (losses) gains on nontrading portfolios, net—Notes D, E, F and K

(111)

490

245

836

538

$ 1,346

Non-interest expenses

Board of Governors-approved and other transfers—
Note GNet (loss) income$ (120)$670$

The Notes to Condensed Quarterly Financial Statements are an integral part of these Statements.

32

IBRD Condensed Quarterly Financial Statements: December 31, 2021 (Unaudited)CONDENSED STATEMENT OF COMPREHENSIVE INCOME
Expressed in millions of U.S. dollars

Net (loss) income
Other comprehensive income—Note J

Three Months Ended
December 31, (Unaudited)
2021
2020

Six Months Ended
December 31, (Unaudited)
2021
2020

$

$

(120)

$

670

538

$

1,346

Reclassification to net income:Amortization of unrecognized net actuarial losses

14

95

27

189

Amortization of unrecognized prior service costs

6

6

12

12

Net change in Debit Valuation Adjustment (DVA) on
fair value option elected liabilities

(116)

(558)

(485)

(1,174)Currency translation adjustment on functional
currency

(186)

365

(400)

712

(282)

(92)

(846)

(261)

Total other comprehensive loss
Comprehensive (loss) income

$

(402)

$

578

$

(308)

$

1,085

CONDENSED STATEMENT OF CHANGES IN RETAINED EARNINGS
Expressed in millions of U.S. dollars
Six Months Ended December 31,(Unaudited)
2021
2020
Retained earnings at the beginning of the fiscal year$

Cumulative effect of change in accounting principle—Notes A, D and G
Adjusted retained earnings at the beginning of the fiscal year
Net income for the period
Retained earnings at the end of the period

31,007$-203

31,00728,968538$

28,76531,545

1,346$

30,314The Notes to Condensed Quarterly Financial Statements are an integral part of these Statements.

IBRD Condensed Quarterly Financial Statements: December 31, 2021 (Unaudited)33

CONDENSED STATEMENT OF CASH FLOWS
Expressed in millions of U.S. dollars
Six Months Ended December 31,(Unaudited)
2021
2020
Cash flows from investing activities
Loans
Disbursements
Principal repayments
Principal prepayments
Loan origination fees received
Net derivatives-loans
Other investing activities, net
Net cash used in investing activities
Cash flows from financing activities
Medium and long-term borrowings
New issues
Retirements
Short-term borrowings (original maturities greater than 90 days)
New issues
Retirements
Net short-term borrowings (original maturities less than 90 days)
Net derivatives-borrowings
Capital subscriptions
Other financing activities, net
Net cash provided by (used in) financing activities
Cash flows from operating activities
Net income
Adjustments to reconcile net income to net cash used in operating
activities
Unrealized mark-to-market gains on non-trading portfolios, net
Non-functional currency translation adjustment (gains) losses, net
Depreciation and amortization
Provision for losses on loans and other exposures
Changes in:
Investment portfolio
Other assets and liabilities
Net cash used in operating activities
Effect of exchange rate changes on unrestricted and restrictedcash
Net (decrease) increase in unrestricted and restricted cash
Unrestricted and restricted cash at beginning of the fiscal year
Unrestricted and restricted cash at end of the period
Supplemental disclosure
Increase (decrease) in ending balances resulting from exchange rate
fluctuations
Loans outstanding
Investment portfolio
Borrowing portfolio
Capitalized loan origination fees included in total loans
Interest paid on borrowing portfolio

$

$

$

(15,158)
7,036
438
14
114
(78)
(7,634)$(13,836)
4,855
14
12
34
(53)
(8,974)

24,816(19,172)

37,066(21,980)

12,173(11,043)(1,155)
176
523
1
6,319

11,132(10,665)
(52)
(591)
564

538

1,346

(245)
(56)
48
199

(836)
44
87
55

2,899
(3,460)(77)(7,132)(52)(6,488)(49)(1,441)
2,347
906

123
135
1,870
2,005

(2,382)(125)(1,702)35806

15,474

$

$

4,192
371
3,150
18
1,069

The Notes to Condensed Quarterly Financial Statements are an integral part of these Statements.

34

IBRD Condensed Quarterly Financial Statements: December 31, 2021 (Unaudited)NOTES TO CONDENSED QUARTERLY FINANCIAL STATEMENTSNOTE A—SUMMARY OF SIGNIFICANT ACCOUNTING AND RELATED POLICIESBasis of Preparation
These unaudited condensed quarterly financial statements and notes should be read in conjunction with the June 30,
2021, audited financial statements and notes included therein. The condensed comparative information that has been
derived from the June 30, 2021 audited financial statements has not been audited. In the opinion of management, thecondensed quarterly financial statements reflect all adjustments necessary for a fair presentation of IBRD’s financial
position and results of operations in accordance with accounting principles generally accepted in the United States ofAmerica (U.S. GAAP).
Management makes estimates and assumptions that affect the reported amounts of assets and liabilities and disclosureof contingent assets and liabilities at the date of the condensed quarterly financial statements and the reported amounts
of income and expenses during the reporting periods. Due to the inherent uncertainty involved in making thoseestimates, actual results could differ from those estimates. Areas in which significant estimates have been made include,
but are not limited to, the provision for losses on loans and other exposures, valuation of certain instruments carried atfair value, and valuation of pension and other postretirement plan-related liabilities. The results of operations for the
first six months of the current fiscal year are not necessarily indicative of results for the full year.
Certain reclassifications of the prior year’s information have been made to conform with the current year’s presentation.
Accounting and Reporting Developments
Accounting Standards Under Evaluation:
In November 2021, the Financial Accounting Standards Board (FASB) issued the Accounting Standard Update(ASU) 2021-10, Disclosure by Business Entities about Government Assistance, which requires entities to makeannual disclosure about certain government assistance they received. This ASU is effective for annual periods
beginning after December 15, 2021, with early adoption permitted. IBRD is currently evaluating the impact of the
ASU on its financial statements.
NOTE B—CAPITAL STOCK
The following table provides a summary of changes in IBRD’s authorized and subscribed shares:
Table B1: IBRD’s shares
As of June 30, 2020
General Capital Increase/Selective Capital Increase (GCI/SCI)
As of June 30, 2021
GCI/SCI
As of December 31, 2021

Authorized shares
2,783,873
2,783,873
2,783,873

Subscribed shares
2,387,388
81,6772,469,065
33,1662,502,231

The following table provides a summary of the changes in subscribed capital, uncalled portion of subscriptions, andpaid-in capital:
Table B2: IBRD’s capital
In millions of U.S. dollars

As of June 30, 2020
GCI/SCI
As of June 30, 2021
GCI/SCI
As of December 31, 2021

Subscribed capital$
288,0029,854
297,856
4,001$
301,857

Uncalled portion ofsubscriptions$(269,968)(8,644)(278,612)(3,478)$(282,090)

Paid-in capital
18,034
1,210
19,244523$
19,767$The uncalled portion of subscriptions is subject to call only when required to meet the obligations incurred by IBRD
as a result of borrowings or loan guarantees.
IBRD Condensed Quarterly Financial Statements: December 31, 2021 (Unaudited)35

On October 1, 2018, IBRD’s Board of Governors approved two resolutions that increased IBRD’s authorized capital.
The total increase in authorized capital was $57.5 billion, of which, $27.8 billion and $29.7 billion relate to the GCI
and SCI, respectively. Under the terms of the 2018 GCI and SCI, paid-in capital is expected to increase by up to $7.5
billion over the subscription period. As of December 31, 2021, the cumulative subscription payments received underthe 2018 capital increases were $3.3 billion.
NOTE C—INVESTMENTS
As of December 31, 2021, IBRD’s investments include the liquid asset portfolio, the Post Employment Benefit Plan(PEBP) holdings, the Post Retirement Contribution Reserve Fund (PCRF) and holdings relating to the Local Currency
Market Development (LCMD) investments. LCMD investments are sovereign bonds denominated in the local
currencies of less developed markets and funded by borrowings in the same currency with matching volume, payment
and maturity characteristics.
Investments held by IBRD are designated as trading and reported at fair value, or at face value which approximates fairvalue. As of December 31, 2021, Investments were primarily comprised of government and agency obligations (56%),
and time deposits (39%), with all the instruments classified as Level 1 or Level 2 within the fair value hierarchy. As of
December 31, 2021, the largest holdings of Investments from a single counterparty were Japanese Government
Instruments (18%) and U.S. Treasuries (10%).
A summary of IBRD’s Investments-Trading is as follows:
Table C1: Investments – Trading composition
In millions of U.S. dollars
Government and agency obligations
Time deposits
Asset Backed Securities (ABS)
Alternative investments a
Equity securities a
Total

December 31, 2021
45,79532,012
1,883
1,753
376
$
81,819$June 30, 2021
48,63035,460
1,710
1,352
414
$
87,566$

a. Related to PEBP holdings. Alternative investments are comprised of investments in hedge funds, private equity funds and realestate funds, recorded at net asset value (NAV).

36

IBRD Condensed Quarterly Financial Statements: December 31, 2021 (Unaudited)IBRD manages its investments on a net portfolio basis. The following table summarizes IBRD’s net portfolio position:
Table C2: Net investment portfolio position
In millions of U.S. dollars
Investments-Trading
Securities purchased under resale agreements
Securities sold under repurchase agreements, securities lent under
securities lending agreements, and payable for cash collateral receiveda
Derivative assets
Currency swaps and forward contracts
Interest rate swaps
Total
Derivative liabilities
Currency swaps and forward contracts
Interest rate swaps
Other
Total
Cash held in investment portfoliob
Receivable from investment securities traded and other assetsc
Payable for investment securities purchasedd
Net investment portfolio

December 31, 2021$
81,819142$$

June 30, 2021
87,566338(856)(3,333)

705
6
711

485
16
501

(322)
(656)
(978)
605
3,337
(345)
84,435

(417)
(561)
(1)
(979)
2,037
400
(699)
85,831$a. Includes $817 million of cash collateral received from counterparties under derivative agreements ($3,308 million—June 30,2021).
b. This amount is included in Unrestricted cash under Due from banks on the Condensed Balance Sheet.
c. This amount is included in Other assets on the Condensed Balance Sheet.
d. This amount includes $219 million of liabilities related to PCRF payable, which is included in Other liabilities on the Condensed
Balance Sheet ($178 million—June 30, 2021) and $98 million of liabilities related to short sales ($98 million—June 30, 2021).

The composition of IBRD’s net investment portfolio is as follows:
Table C3: Net investment portfolio composition
In millions of U.S. dollars
December 31, 2021
Net Investment Portfolio
Liquid asset portfolio
PEBP holdings
PCRF holdings
AMC holdings
LCMD investments
Total

$

$

81,0752,651
670
39
84,435June 30, 2021$$

82,751
2,476
555
10
39
85,831

As of December 31, 2021, IBRD had transferred all contributions received from donors under the Advance Market
Commitment (AMC) program to the GAVI alliance, concluding the program.
IBRD uses derivative instruments to manage the associated currency and interest rate risks in the investment portfolio.
For details of these instruments, see Note F—Derivative Instruments. After considering the effects of these derivatives,
IBRD’s investment portfolio is predominantly denominated in U.S. dollars.
Commercial Credit Risk
For the purpose of risk management, IBRD is party to a variety of financial transactions, some of which involve
elements of credit risk. Credit risk exposure represents the maximum potential loss due to possible non-performanceby obligors and counterparties under the terms of the contracts. For all securities, IBRD limits trading to a list of
authorized dealers and counterparties. In addition, IBRD may require collateral in connection with resale and swap
agreements. This collateral serves to mitigate IBRD’s exposure to credit risk.
Swap Agreements: Credit risk is mitigated through the application of eligibility criteria and volume limits fortransactions with individual counterparties and through the use of mark-to-market collateral arrangements for swap
transactions. IBRD may require collateral in the form of cash or other approved liquid securities from individual
counterparties in order to mitigate its credit exposure.
IBRD has entered into master derivative agreements that contain legally enforceable close-out netting provisions. These
agreements may further reduce the gross credit risk exposure related to the swaps. Credit risk from financial assets
subject to a master derivatives arrangement is further reduced under these agreements to the extent that payments andreceipts with the counterparty are netted at settlement. The reduction in exposure as a result of these netting provisions
IBRD Condensed Quarterly Financial Statements: December 31, 2021 (Unaudited)37

can vary due to the impact of changes in market conditions on existing and new transactions. The extent of the reduction
in exposure may therefore change substantially within a short period of time following the balance sheet date. For more
information on netting and offsetting provisions see Note F—Derivative Instruments.
The following is a summary of the collateral received by IBRD for swap transactions:
Table C4: Collateral received
In millions of U.S. dollars
December 31, 2021
Collateral received
Cash
Securities
Total collateral received
Collateral permitted to be repledged
Amount of collateral repledged
Amount of cash collateral invested

$
$
$

817
517
1,334
1,334
530

June 30, 2021
$
$
$

3,308
1,083
4,391
4,391
1,492

Securities Lending: IBRD may engage in securities lending and repurchases, against adequate collateral, as well as
secured borrowing and reverse repurchases (resales) of government and agency obligations, corporate securities, ABS
and Mortgage-backed securities (MBS). These transactions have been conducted under legally enforceable masternetting arrangements, which allow IBRD to reduce its gross credit exposure related to these transactions. IBRD presents
its securities lending and repurchases, as well as resales, on a gross basis on the Condensed Balance Sheet. As of
December 31, 2021 and June 30, 2021, there were no amounts that could potentially be offset as a result of legally
enforceable master netting arrangements.
Securities lending and repurchase agreements expose IBRD to several risks, including counterparty risk, reinvestment
risk, and risk of a collateral gap (due to increase or decrease in the fair value of collateral pledged). IBRD has proceduresin place to ensure that trading activity and balances under these agreements are below predefined counterparty andmaturity limits, and to actively manage net counterparty exposure, after collateral, through daily mark-to-market.
Whenever the collateral pledged by IBRD related to its borrowings under repurchase agreements and securities lending
agreements declines in value, the transaction is re-priced as appropriate by returning cash or pledging additional
collateral.
Transfers of securities by IBRD to counterparties are not accounted for as sales as the accounting criteria for thetreatment as a sale have not been met. Counterparties are permitted to repledge these securities until the repurchasedate.
As of December 31, 2021, liabilities relating to securities transferred under repurchase or securities lending agreements
amounted to $39 million ($25 million — June 30, 2021) and there were no unsettled trades relating to repurchase or
securities lending agreements. There were no replacement trades entered into in anticipation of maturing trades of asimilar amount (Nil— June 30, 2021). As of December 31, 2021 and June 30, 2021, the remaining contractual maturityof these agreements were overnight and continuous. The securities transferred were mainly comprised of government
and agency obligations and equity securities.
In the case of resale agreements, IBRD receives collateral in the form of liquid securities and is permitted to repledge
these securities. While these transactions are legally considered to be true purchases and sales, the securities received
are not recorded on IBRD’s Condensed Balance Sheet as the accounting criteria for treatment as a sale have not been
met. As of December 31, 2021 and June 30, 2021, there were no unsettled trades pertaining to securities purchased
under resale agreements. For resale agreements, IBRD received securities with a fair value of $142 million ($340
million—June 30, 2021). As of December 31, 2021 and June 30, 2021, none of these securities had been transferred.
NOTE D—LOANS AND OTHER EXPOSURESIBRD’s loans and other exposures (together, “exposures”) are generally made to, or guaranteed by, member countriesof IBRD. In addition, IBRD may also make loans to the International Finance Corporation (IFC), an affiliatedorganization, without any guarantee. Other exposures include signed loan commitments (including deferred drawdown
options (DDOs) and irrevocable commitments), exposures to member countries’ derivatives, and guarantees. As of
December 31, 2021, all IBRD’s loans were recorded at amortized cost.

38

IBRD Condensed Quarterly Financial Statements: December 31, 2021 (Unaudited)IBRD uses derivatives to manage the currency risk as well as the interest rate risk between its loans and borrowings.
For details regarding derivatives used in the loan portfolio, see Note F—Derivative Instruments.
IBRD excludes the interest receivable balance from the amortized cost basis and from the related disclosures aspermitted by U.S. GAAP. As of December 31, 2021, accrued interest receivable on loans of $677 million is includedin Other assets in the Condensed Balance Sheet ($668 million—June 30, 2021).
As of December 31, 2021, 0.2% of IBRD’s loans were in nonaccrual status and related to one borrower. The total
accumulated provision for losses on accrual and nonaccrual loans was 0.6% of the total loan portfolio. Based on IBRD’s
internal credit quality indicators, the majority of loans outstanding are in the medium-risk and high-risk classes.
Credit Quality of Sovereign Exposures
Based on an evaluation of IBRD’s exposures, management has determined that IBRD has one portfolio segment –Sovereign Exposures. IBRD’s loans constitute the majority of the Sovereign Exposures portfolio segment.
IBRD’s country risk ratings are an assessment of its borrowers’ ability and willingness to repay IBRD on time and in
full. These ratings are internal credit quality indicators. Individual country risk ratings are derived on the basis of bothquantitative and qualitative analysis. The components considered in the analysis can be grouped broadly into eightcategories: political risk, external debt and liquidity, fiscal policy and public debt burden, balance of payment risks,
economic structure and growth prospects, monetary and exchange rate policy, financial sector risks, and corporate
sector debt and vulnerabilities. The analysis also takes into account environmental, social, and governance (ESG)
factors. For the purpose of analyzing the risk characteristics of IBRD’s exposures, these exposures are grouped into
three classes in accordance with assigned borrower risk ratings, which relate to the likelihood of loss: Low, Mediumand High-risk classes, as well as exposures in nonaccrual status.
IBRD’s borrowers’ country risk ratings are key determinants in the provision for losses. Country risk ratings aregrouped into pools of borrowers with similar credit ratings for the purpose of the calculation of the expected credit
losses. Country risk ratings are determined in review meetings that take place several times a year. All countries arereviewed at least once a year, or more frequently, if circumstances warrant, to determine the appropriate ratings.
An assessment was also performed to determine whether a qualitative adjustment of the loan loss provision was needed
as of December 31, 2021, including consideration of the COVID-19 pandemic. Management concluded that a
qualitative adjustment beyond the regular application of IBRD’s loan loss provision framework was not warranted.
The following tables provide an aging analysis of the loans outstanding:
Table D1: Loan portfolio aging structure
In millions of U.S. dollars
Days past due
Risk class
Low
MediumHigh
Loans in accrual status
Loans in nonaccrual status
Total

Up to 45

46-60

61-90

As of December 31, 2021
91-180 Over 180 Total Past Due

$

$

$

$

$

1
1
1

-

$

-

$

$

-

$

430
430

$

24,231
95,951
105,284
225,466
225,466

As of June 30, 2021
Over 180
Total Past Due

Current

$

$

1
1
430
431

Current

$

$

Total
$

$

24,231
95,951
105,285
225,467430
225,897

Table D1.1
In millions of U.S. dollars
Days past due
Risk class
Low
MediumHigh
Loans in accrual status
Loans in nonaccrual status
Total

Up to 45$$

46-60 61-90
-

$

$

-

$

$

91-180
-

$

$

-

$

$

432
432

$

$

-$
432
432 $

24,229 $93,530102,373
220,132
220,132 $IBRD Condensed Quarterly Financial Statements: December 31, 2021 (Unaudited)

Total
24,22993,530102,373
220,132432
220,564

39

The tables below disclose the outstanding balances of IBRD’s loan portfolio, classified by the year the loan agreement
was signed. IBRD considers the signature date of a loan agreement as the best indicator of the decision point in theorigination process, rather than the disbursement date.
Table D2: Loan portfolio vintage disclosure
In millions of U.S. dollars
As of December 31, 2021
Fiscal Year of Origination
CAT DDOs
Disbursed
and
2021
2020
2019
2018 Prior Years Revolving

2022
Risk class
Low$ 250 $
48 $
172 $
881 $
313 $ 22,567
Medium
3,689
7,648
6,446
3,269
4,211
68,641
High
2,346
6,054
6,184
6,960
6,550
76,229Loans in accrual status
6,285 13,750 12,802 11,110 11,074
167,437
Loans in nonaccrual
status430
Total$ 6,285 $ 13,750 $ 12,802 $ 11,110 $ 11,074 $ 167,867

$

$

82
490
572
572

Loans
CAT DDOs outstanding as
Converted to of December
Term Loans
31, 2021
$

$

1,965
472
2,437
2,437

$

$

24,231
95,951
105,285
225,467430
225,897

Table D2.1
In millions of U.S. dollars
As of June 30,2021
CAT DDOs
Disbursed
and2017 Prior Years Revolving

Fiscal Year of Origination

2021
2020
2019
2018
Risk class
Low
$
- $
109 $
702 $
237 $ 1,831 $ 21,350
Medium
5,477
6,040
3,171
4,074
4,101
68,674
High
4,034
5,701
6,682
6,310
8,438
70,221Loans in accrual status
9,511 11,850 10,555 10,621 14,370
160,245
Loans in nonaccrual
status432
Total$ 9,511 $ 11,850 $ 10,555 $ 10,621 $ 14,370 $ 160,677

$

$

726
504
1,230
1,230

Loans
CAT DDOs outstanding as
Converted toof June 30,
Term Loans
2021
$

$

- $
1,267
483
1,750

24,22993,530102,373
220,132

1,750 $

432
220,564

The amounts of Catastrophe Deferred Drawdown Options (CAT DDOs) converted to term loans during the three andsix months ended December 31, 2021, are $453 and $703 million respectively ($81 and $88 million—three and six
months ended December 31, 2020).
Accumulated Provision for Losses on Loans and Other Exposures
Management determines the appropriate level of accumulated provision for losses, which reflects the expected losses
inherent in IBRD’s exposures. Delays in receiving loan payments result in economic losses to IBRD since it does not
charge additional interest on any overdue interest or loan charges. These economic losses are equal to the difference
between the present value of payments of interest and charges made according to the related loan's contractual terms
and the present value of its expected future cash flows. It is IBRD’s practice not to write off its loans. Historically, allcontractual obligations associated with exposures in nonaccrual status were eventually cleared, thereby allowing
borrowers to emerge from nonaccrual status. To date, no loans have been written off by IBRD.
Management reassesses the adequacy of the accumulated provision on a quarterly basis and adjustments to theaccumulated provision are recorded as a charge to or release of provision in the Statement of Income. In addition, thereasonableness of the inputs used is reassessed at least annually.
The balance of the accumulated provision as of July 1, 2020 decreased by the $214 million transition adjustment
recorded upon the adoption of ASU No. 2016-13, - Financial Instruments—Credit Losses (ASC 326). The transition
adjustment corresponds to the difference between the accumulated provision calculated under the “incurred loss” modeland the current expected credit loss (CECL) model.

40

IBRD Condensed Quarterly Financial Statements: December 31, 2021 (Unaudited)Changes to the Accumulated provision for losses on loans and other exposures are summarized below:
Table D3: Accumulated provision
In millions of U.S. dollars
As of December 31, 2021
Loan
commitments
Other aLoansoutstanding
Accumulated provision, beginningof the fiscal year
Provision - charge
Translation adjustment
Accumulated provision, end of theperiodComposed of accumulated
provision for losses on:
Loans in accrual status
Loans in nonaccrual status
Total
Loans, end of the period:
Loans in accrual status
Loans in nonaccrual status
Total loans outstanding

Total

$

1,270
165
(12)

$

326
29
(4)

$

51
5
(1)

$

1,647
199
(17)

$

1,423

$

351

$

55

$

1,829

$

1,208
215
1,423

June 30, 2021
Loan
commitments

Other a$$225,467430
225,897$

Table D3.1:
In millions of U.S. dollars
Loans
outstanding
Accumulated provision, beginning of
the fiscal year
CECL Transition adjustment
Adjusted Accumulated provision,
beginning of the fiscal year
Provision - charge (release)
Translation adjustment
Accumulated provision, end of the
fiscal year
Composed of accumulated provision
for losses on:
Loans in accrual status
Loans in nonaccrual status
Total
Loans, end of the fiscal year:
Loans in accrual status
Loans in nonaccrual status
Total loans outstanding

$

1,599
(465)

$

1,134
123
13
$

1,270

$

1,054
216
1,270

$
$
$

298

$

298
25
3
$

326

99
(47)

Total
$

52
(2)
1
$

51

1,698
(214)
1,484
146
17

$

1,647

220,132432
220,564a. Primarily relates to guarantees and does not include recoverable asset relating to Guarantee received under the Exposure
Exchange Agreements (EEAs) (for more details see the Guarantees section).

Reported as Follows
Condensed Balance Sheet
Condensed Statement of Income
Accumulated Provision for Losses on:
Loans outstanding

Accumulated provision for loan
lossesLoan commitments and other exposures
Other liabilities(excluding exposures to member countries’
derivatives)

Provision for losses on loans and otherexposures
Provision for losses on loans and otherexposures

IBRD Condensed Quarterly Financial Statements: December 31, 2021 (Unaudited)41

Overdue Amounts
IBRD considers loans to be past due when a borrower fails to make payment on any principal, interest or other charges
due to IBRD on the dates provided in the contractual loan agreement.
As of December 31, 2021, there were no principal or interest amounts on loans in accrual status that were overdue by
more than three months.
Zimbabwe is the only borrowing member with loans or guarantees in nonaccrual status, and it has been in nonaccrual
status since October 2000.
The following tables provide a summary of selected financial information related to loans in nonaccrual status:
Table D4: Loans in nonaccrual status
In millions of U.S. dollars
December 31, 2021
$
430
215
432
1,052
430
622

Recorded investment in nonaccrual loans a
Accumulated provision for loan losses on nonaccrual loans
Average recorded investment in nonaccrual loans for the period/fiscal year
Overdue amounts of nonaccrual loans:
Principal
Interest and charges

June 30, 2021
$
432
216
433
1,042
432
610

a. A loan loss provision has been recorded against each of the loans in nonaccrual status.

Table D4.1
In millions of U.S. dollars
Three Months Ended December 31,
2021
Interest revenue not recognized as aresult of loans being in nonaccrual status$

6

Six Months Ended December 31,

2020
$

7

2021
$

13

2020
$

14

During the six months ended December 31, 2021 and December 31, 2020, no loans were placed in nonaccrual status
or restored to accrual status.
In addition, during the six months ended December 31, 2021, less than $1 million interest income was recognized onloans in nonaccrual status (Nil —six months ended December 31, 2020).
Guarantees
Guarantees of $6,608 million were outstanding as of December 31, 2021 ($6,705 million—June 30, 2021). This amountrepresents the maximum potential amount of undiscounted future payments that IBRD could be required to make underthese guarantees and is not included in the Condensed Balance Sheet. These guarantees have original maturities ranging
between 6 and 21 years and expire in decreasing amounts through 2042.
As of December 31, 2021, liabilities related to IBRD's obligations under guarantees included the obligation to standready of $322 million ($347 million—June 30, 2021), and the accumulated provision for guarantee losses of $52 million($50 million—June 30, 2021). These have been included in Other liabilities on the Condensed Balance Sheet.
During the six months ended December 31, 2021 and December 31, 2020, no guarantees provided by IBRD werecalled.

42

IBRD Condensed Quarterly Financial Statements: December 31, 2021 (Unaudited)IBRD participates in Exposure Exchange Agreements (EEA) which are recognized as financial guarantees in thefinancial statements. Information on the location and amounts associated with the EEAs executed with the Multilateral
Investment Guarantee Agency (MIGA), African Development Bank (AfDB) and Inter-American Development Bank(IADB) included in the Condensed Balance Sheet and Condensed Statement of Income is presented in the following
table:
Table D5: Amounts associated with EEAs
In millions of U.S. dollars
December 31, 2021

Notional
amountGuarantees
provided a,cGuarantees
received b

June 30, 2021

(Stand readyobligation)
Asset(Provision)
Recoverable
asset

Notional
amount(Stand readyobligation)
Asset(Provision)
Recoverable
asset

$

3,635

$

(180)

$

(22)

$

3,640

$

(190)

$

(20)

$

(3,635)
-

$

180
-

$

18
(4)

$

(3,640)
-

$

190
-

$

17
(3)

Location on
Condensed
BalanceSheet
Otherliabilities
Other assets

a. For the six months ended December 31, 2021, Provisions for losses on loans and other exposures, line on the Condensed
Statement of Income includes $2 million increase in provision relating to Guarantees provided ($1 million —six months ended
December 31, 2020).
b. For the six months ended December 31, 2021, Non-interest revenue - Other, line on the Condensed Statement of Income
includes $1 million of gain in relation to Recoverable asset relating to Guarantees received ($1 million— six months ended
December 31, 2020).
c. Notional amount, obligation to stand ready and provision for the guarantee provided are included in guarantees outstanding of$6,608 million, obligations to stand ready of $322 million and accumulated provision for guarantee losses of $52 million,
respectively ($6,705 million, $347 million and $50 million, respectively—June 30, 2021).

Waivers of Loan Charges
IBRD provides waivers on eligible loans, which include a portion of interest on loans, a portion of the commitment
charge on undisbursed balances and a portion of the front-end fee charged on all eligible loans. Waivers are approved
annually by the Executive Directors of IBRD. As part of the COVID-19 Strategic Preparedness and Response Program,the Executive Directors of IBRD approved the waiver of commitment/standby fees for health-related COVID-19
operations payable during the first year of each financing and a reduced front-end fee of 25 bps for CAT DDOs
approved under the Fast Track COVID-19 Facility. The Executive Directors also approved the waiver of commitment
fees for COVID-19 vaccine related projects under the Additional Financing to the COVID-19 Strategic Preparedness
and Response Program (SPRP) for the first 18 months, starting from the date of approval of financing for each project.
The forgone income resulting from waivers of loan charges is summarized in the following table:
Table D6: Waivers of loan charges
In millions of U.S. dollars

Interest waivers
Commitment charge waivers
Front-end fee waivers
Total

Three Months Ended December 31,
2021
2020
$
4
$
6
1
1
2
$
5
$
9

Six Months Ended December 31,
2021
2020
$
8
$
13
1
2
2
3
$
11
$
18

Concentration risk
Loan revenue comprises interest, commitment fees, loan origination fees and prepayment premiums, net of waivers.
For the six months ended December 31, 2021, loan revenue from one country of $158 million represented more than
10% of total loan revenue.

IBRD Condensed Quarterly Financial Statements: December 31, 2021 (Unaudited)43

Information about IBRD’s loan revenue and associated loans outstanding by geographic region is presented in thefollowing table:
Table D7: Loan revenue and associated outstanding loan balances
In millions of U.S. dollars

RegionLatin America and the Caribbean
Europe and Central Asia
East Asia and PacificMiddle East and North Africa
South Asia
Eastern and Southern Africa
Western and Central Africa
Total

For the six months ended and as ofDecember 31, 2021
December 31, 2020
Loans
Loans
Loan Revenue a
Outstanding
Loan Revenue a
Outstanding$
572$
71,099$630$
66,949214
47,135259
48,488272
47,920345
45,525
199
31,474214
30,873
107
21,212
125
19,472
114
5,421
110
4,534
16
1,636
16
1,568
$
1,494
$
225,897$
1,699$
217,409

a. Does not include interest expenses, net of $457 million from loan related derivatives ($388 million—December 31, 2020). Includes
commitment charges of $65 million ($57 million—December 31, 2020).

NOTE E—BORROWINGSIBRD issues unsubordinated and unsecured fixed and variable rate debt in a variety of currencies. Variable rates may
be based on, for example, exchange rates or market interest rates.
Borrowings issued by IBRD are reported at fair value. As of December 31, 2021, 98% of the instruments in the portfolio
were classified as Level 2 within the fair value hierarchy. In addition, most of these instruments were denominated in
U.S. dollars and euro (61% and 14%, respectively).
IBRD uses derivative contracts, reported at fair value, to manage the currency risk as well as the interest rate risk
between its loans and borrowings. For details regarding the derivatives used, see Note F—Derivative Instruments.
Table E1: Borrowings after derivatives
In millions of U.S. dollars
Borrowings a
Currency swaps, net
Interest rate swaps, net

December 31, 2021$
257,990496(799)$
257,687

June 30, 2021$
260,076(2,913)(3,507)$
253,656

a. Includes $242 million of unsettled borrowings, representing a non-cash financing activity, for which there is a related receivable
included in Other assets on the Condensed Balance Sheet (Nil —June 30, 2021).

For the six months ended December 31, 2021, Borrowing expenses on the Condensed Statement of Income of $137
million ($487 million—six months ended December 31, 2020) include $1,757 million of interest revenue, net related
to derivatives associated with the Borrowing portfolio ($1,827 million—six months ended December 31, 2020).

44

IBRD Condensed Quarterly Financial Statements: December 31, 2021 (Unaudited)NOTE F—DERIVATIVE INSTRUMENTS
IBRD uses derivative instruments in its investment, loan and borrowing portfolios, and for asset/liability management
purposes. It also offers derivative intermediation services to clients and, concurrently, enters into offsetting transactions
with market counterparties.
The following table summarizes IBRD’s use of derivatives in its various financial portfolios:
Portfolio

Derivative instruments used

Purpose / Risk being managed

Risk management purposes:
Investments

Loans

Currency swaps, currency forward contracts,
interest rate swaps, options, swaptions andfutures contracts, to-be-announced (TBA)
securities
Currency swaps and interest rate swaps

Borrowings

Currency swaps and interest rate swaps

Other asset/liability
management derivatives
Other purposes:
Client operations

Currency swaps and interest rate swaps

Currency swaps, currency forward contracts,
and interest rate swaps

Manage currency and interest rate risk in theportfolio

Manage currency risk as well as interest rate risk
between loans and borrowings
Manage currency risk as well as interest rate risk
between loans and borrowings
Manage currency risk and the duration of IBRD’s
equityAssist clients in managing risks

The derivatives in the related tables of Note F are presented on a net basis by instrument. A reconciliation to theCondensed Balance Sheet presentation is shown in table F1.
Offsetting assets and liabilities
IBRD enters into International Swaps and Derivatives Association, Inc. (ISDA) master netting agreements with
substantially all of its derivative counterparties. These legally enforceable master netting agreements give IBRD theright to liquidate securities held as collateral and to offset receivables and payables with the same counterparty, in theevent of default by the counterparty.
The following tables summarize the gross and net derivative positions by instrument type. Instruments that are in a net
asset position are included in the Derivative Assets columns and instruments that are in a net liability position are
included in the Derivative Liabilities columns. The gross columns represent the fair value of the instrument leg that isin an asset or liability position that are then netted with the other leg of the instrument in the gross offset columns. The
effects of the master netting agreements are applied on an aggregate basis to the total derivative asset and liability
positions and are presented net of any cash collateral received on the Condensed Balance Sheet in accordance with
ASC 815 – Derivatives and Hedging. The net derivative asset positions in the tables below have been further reduced
by any securities received as collateral to disclose IBRD’s net exposure on its derivative asset positions.

IBRD Condensed Quarterly Financial Statements: December 31, 2021 (Unaudited)45

Table F1: Derivative assets and liabilities before and after netting adjustments
In millions of U.S. dollars

Interest rate swaps
Currency swaps a
Other b
Total
Less:
Amounts subject to legally
enforceable master netting
agreements
Cash collateral received c
Net derivative position on
the Condensed Balance
Sheet
Less:

Gross
Amounts
Recognized$
23,333
88,203
1$ 111,537

December 31, 2021
Located on the Condensed Balance Sheet
Derivative Assets
Derivative Liabilities
Gross
Gross
Gross
Amounts
Net Amounts
Amounts
Amounts
Net Amounts
OffsetPresented
Recognized
OffsetPresented$ (15,835)
$
7,498
$
31,248$ (22,731)$
8,517(81,644)
6,559
57,559(51,800)
5,759(1)$ (97,480)$
14,057$88,807$ (74,531)$
14,276$

11,207d684$

11,249e

$

2,166

$

3,027

Securities collateral
received c

454

Net derivative exposure
after collateral

$

1,712

a. Includes currency forward contracts and structured swaps.
b. These relate to swaptions, exchange traded options and futures contracts.
c. Does not include excess collateral received.
d. Includes $16 million Credit Valuation Adjustment (CVA).
e. Includes $58 million Debit Valuation Adjustment (DVA).

Table F1.1
In millions of U.S. dollars

Interest rate swaps
Currency swaps a
Other b
Total
Less:
Amounts subject to legally
enforceable masternetting agreements
Cash collateral received c
Net derivative positionon the Balance Sheet
Less:
Securities collateral
received c
Net derivative exposure
after collateral

Gross
Amounts
Recognized$ 23,893
98,836$ 122,729

June 30, 2021
Located on the Condensed Balance Sheet
Derivative Assets
Derivative Liabilities
Gross
Gross
Gross
Amounts
Net Amounts
Amounts
Amounts
Net Amounts
OffsetPresented
Recognized
OffsetPresented$ (13,832)$
10,061$ 26,577$ (18,206)$
8,371(90,147)
8,689
44,173(39,196)
4,977
2
(1)
1
$ (103,979)$
18,750$ 70,752$ (57,403)$
13,349$12,124d
3,271$

12,127e

$

3,355

$

1,222

1,012
$

2,343

a. Includes currency forward contracts and structured swaps.
b. These relate to swaptions, exchange traded options and futures contracts.
c. Does not include excess collateral received.
d. Includes $18 million CVA.
e. Includes $21 million DVA.

46

IBRD Condensed Quarterly Financial Statements: December 31, 2021 (Unaudited)

The following tables provide information about the credit risk exposures of IBRD’s derivative instruments byportfolio, before the effects of master netting arrangements and collateral:
Table F2: Credit risk exposure of the derivative instruments
In millions of U.S. dollars

Portfolio
Investments
Loans
Client operations
Borrowings
Other asset/liability management derivatives
Total exposure

Interest rate
swaps
$

$

6
822
988
4,724
958
7,498

December 31, 2021
Currency swaps(including currency
forward contracts)
$
705
975
692
4,187
$
6,559

Total
$

711
1,797
1,680
8,911
958
14,057$

Table F2.1:
In millions of U.S. dollars

Portfolio
Investments
Loans
Client operations
Borrowings
Other asset/liability management derivatives
Total exposure

Interest rate
swaps
$

$

16
645
1,227
6,529
1,644
10,061

June 30, 2021
Currency swaps(including currency
forward contracts)
$
485
782
648
6,774
$
8,689

Total
$

$

501
1,427
1,875
13,303
1,644
18,750The volume of derivative contracts is measured using the U.S. dollar equivalent notional balance. The notional balance
represents the face value, or reference value, on which the calculations of payments on the derivative instruments are
determined. As of December 31, 2021, the notional amounts of IBRD’s derivative contracts outstanding were as
follows: interest rate contracts $456,778 million ($452,450 million—June 30, 2021), currency swaps $142,759 million($136,467 million—June 30, 2021), long positions of other derivatives $176 million ($186 million—June 30, 2021),
and short positions of other derivatives $166 million ($75 million—June 30, 2021).
IBRD is not required to post collateral under its derivative agreements as long as it maintains a triple-A credit rating.
The aggregate fair value of all derivative instruments with credit-risk related contingent features that were in a liability
position as of December 31, 2021 was $2,859 million ($1,078 million—June 30, 2021). IBRD has not posted any
collateral with these counterparties due to its triple-A credit rating.
If the credit-risk related contingent features underlying these agreements were triggered to the extent that IBRD would
be required to post collateral as of December 31, 2021, the amount of collateral that would need to be posted would be$1,454 million ($209 million—June 30, 2021). Subsequent triggers of contingent features would require posting ofadditional collateral, up to a maximum of $2,859 million ($1,078 million—June 30, 2021). In contrast, IBRD received
collateral totaling $1,334 million as of December 31, 2021 ($4,391 million—June 30, 2021), from swap transactions(see Note C—Investments).
The following table provides information on the amount of unrealized mark-to-market gains and losses on the nontrading derivatives and their location on the Condensed Statement of Income:Table F3: Unrealized mark-to-market losses on non-trading derivatives
In millions of U.S. dollars

Reported as:
Interest rate swaps
Currency swaps (including currency forward
contracts and structured swaps)
Total

Unrealized mark-to-market gains (losses)
on non-trading portfolios, net

Three Months
Ended
December 31,
2021
2020
$ (1,567)$ (299)Six Months Ended
December 31,
2021
2020
$ (1,926) $ (519)(856)$ (2,423)(1,695)$ (3,621)(283)$ (582)

IBRD Condensed Quarterly Financial Statements: December 31, 2021 (Unaudited)(292)$ (811)47

All of the instruments in IBRD’s investment portfolio are held for trading purposes. Within the investment portfolio,
IBRD holds highly rated fixed income securities, equity securities as well as derivatives. The trading portfolio isprimarily held to ensure the availability of funds to meet future cash flow requirements and for liquidity management
purposes.
The following table provides information on the amount of unrealized mark-to-market gains and losses on the net
Investment–Trading portfolio and their location on the Condensed Statement of Income:Table F4: Unrealized mark-to-market gains (losses) on net investment-trading portfolio
In millions of U.S. dollars
Three Months Ended
December 31,
2021
2020

Reported as:
Type of instrument a
Fixed income (including associatedderivatives)
Equity b
Total

Unrealized mark-tomarket gains (losses)on Investmentstrading portfolios, net

Six Months Ended
December 31,
2021
2020

$

28

$ (10)

$

23

$

29

$

35
63

$

68
58

$

50
73

100
$ 129

a. Amounts associated with each type of instrument include gains and losses on both derivative instruments and non-derivative
instruments.
b. Related to PEBP holdings.

NOTE G—RETAINED EARNINGS, ALLOCATIONS AND TRANSFERS
IBRD makes net income allocation decisions on the basis of reported net income, adjusted to exclude unrealized markto-market gains and losses on non-trading portfolios, net; restricted income; Board of Governors-approved and othertransfers; non-functional currency translation adjustments; and the allocation to the pension reserve.
On August 5, 2021, IBRD’s Executive Directors approved the following allocations relating to the net income earnedin the fiscal year ended June 30, 2021: an increase in the General Reserve of $874 million and a decrease in the Pension
Reserve by $38 million, as well as a one-time transfer of $203 million from Other reserves to the General Reserve,
which represents the cumulative effect of adopting ASU 2016-13 on July 1, 2020.
On August 4, 2021, IBRD’s Board of Governors approved a transfer of $20 million from Surplus to the IBRD Fundfor Innovative Global Public Goods Solutions (GPG Fund). The transfer was made on August 12, 2021, resulting in a
reduction in Surplus and an increase in Other reserves. These funds will be expensed, and Other reserves reduced, whenutilized by the GPG fund. As of December 31, 2021, no funds have been utilized out of the cumulative transfers of $85
million and therefore, no expense has been recognized in the Statement of Income.
On October 14, 2021, IBRD’s Board of Governors approved a transfer to the International Development Association(IDA) of $274 million and a transfer of $100 million to Surplus out of the net income earned in the fiscal year ended
June 30, 2021. The transfer to IDA was made on October 25, 2021.
On December 6, 2021, IBRD’s Board of Governors approved a transfer of $80 million from Surplus to the Trust fundfor Gaza and the West Bank. The transfer was made on December 13, 2021.

48

IBRD Condensed Quarterly Financial Statements: December 31, 2021 (Unaudited)Retained earnings comprised the following components:
Table G1: Retained earnings composition
In millions of U.S. dollars
December 31, 2021
293
31,464693
100(2,084)
892
41
146
$
31,545Special reserve
General reserve
Pension reserve
Surplus
Cumulative fair value adjustments a
Unallocated net income
Restricted retained earnings
Other reserves b
Total

June 30, 2021
293
30,387731
100(3,303)
2,450
54
295
$
31,007$$a. Unrealized mark-to-market gains or losses, net applicable to non-trading portfolios reported at fair value.
b. Comprised of non-functional currency translation gains/losses and the unutilized portion of the cumulative transfers to the GPG
Fund.

NOTE H—PENSION AND OTHER POSTRETIREMENT BENEFITSIBRD, IFC and MIGA participate in the defined benefit Staff Retirement Plan (SRP), a Retired Staff Benefits Plan
(RSBP) and the PEBP that cover substantially all of their staff members.
All costs, assets and liabilities associated with these pension plans are allocated between IBRD, IFC and MIGA based
upon their employees’ respective participation in the plans. Costs allocated to IBRD are then shared between IBRD
and IDA based on an agreed cost-sharing methodology.
The following table summarizes the benefit costs associated with the SRP, RSBP, and PEBP for IBRD and IDA:
Table H1: Pension plan benefit costs
In millions of U.S. dollars

Service cost
Interest cost
Expected return on plan
assetsAmortization of unrecognizedprior service costs a
Amortization of unrecognized
net actuarial losses a
Net periodic pension cost
Of which:
IBRD’s share
IDA’s share

$

$
$

SRP
166
165

Three Months Ended
December 31, 2021
RSBP
PEBP
$
43
$ 29 $
29
16

Total
238
210

(323)

(55)

-

(378)

-

6

-

6

8
4
4

$
$

23
10
13

$
$

14
59
26
33

$
$

14
90
40
50

$

$
$

SRP
332
330

Six Months Ended
December 31, 2021
RSBP
PEBP
$
88
$ 57
59
32

$

Total
477
421

(645)

(111)

-

(756)

1

10

1

12

18
8
10

$
$

46
21
25

$
$

27
117
54
63

$
$

27
181
83
98

a. Included in Amounts reclassified into net income in Note J—Accumulated Other Comprehensive Loss.

Table H1.1:
In millions of U.S. dollars

SRP
Service cost
$ 161
Interest cost
147
Expected return on plan assets(241)
Amortization of unrecognized1prior service costs a
Amortization of unrecognized77
net actuarial losses a
Net periodic pension cost
$ 145
Of which:
IBRD’s share$
70
IDA’s share
75

Three Months Ended
December 31, 2020
RSBP
PEBP
$
42
$ 27
$
26
14
(40)
-

Total
230
187
(281)

$

SRP
321
294
(483)

Six Months Ended
December 31, 2020
RSBP
PEBP
$
85
$
55
53
28
(81)
-

$

Total
461
375
(564)

5

-

6

2

9

1

12

3

15

95

155

6

28

189

$

36

$

56

$

237

$

289

$

72

$

112

$

473

$

17
19

$

27
29

$

114
123

$

137
152

$

34
38

$

53
59

$

224
249

a. Included in Amounts reclassified into net income in Note J—Accumulated Other Comprehensive Loss.

IBRD Condensed Quarterly Financial Statements: December 31, 2021 (Unaudited)

49

The components of net periodic pension cost, other than the service cost, are included in the Non-interest expenses —Other, net on the Condensed Statement of Income. The service cost component is included in the Non-interest
expenses—Administrative on the Condensed Statement of Income.
The following table provides the amounts of IBRD’s pension service cost:
Table H2: Pension service cost
In millions of U.S. dollars

Service cost
Of which:
IBRD’s share
IDA’s share

$
$

SRP
166
75
91

Three Months Ended
December 31, 2021
RSBP
PEBP
$
43
$
29

$

$

$

20
23

$

12
17

Total
238
107
131

SRP
332

$
$

154
178

Six Months Ended
December 31, 2021
RSBP
PEBP
$
88
$
57

$

$

$

40
48

$

26
31

Total
477
220
257

Table H2.1:
In millions of U.S. dollars

Service cost
Of which:
IBRD’s share
IDA’s share

$
$

SRP
161
78
83

Three Months Ended
December 31, 2020
RSBP
PEBP
$
42
$
27

$

$

$

20
22

$

13
14

Total
230
111
119

SRP
321

$
$

152
169

Six Months Ended
December 31, 2020
RSBP
PEBP
$
85
$
55

$

$

$

40
45

$

26
29

Total
461
218
243

NOTE I—TRANSACTIONS WITH AFFILIATED ORGANIZATIONSIBRD transacts with affiliated organizations by providing loans, administrative and derivative intermediation services,
as well as through its pension and other postretirement benefit plans.
In addition, IBRD provides transfers to IDA out of its net income, upon approval by the Board of Governors (see Note
G—Retained Earnings, Allocations and Transfers).
IBRD had the following receivables from (payables to) its affiliated organizations:
Table I1: IBRD’s receivables and payables with affiliated organizations
In millions of U.S. dollars
December 31, 2021
IFC
MIGA

IDA
Administrative Services, net $ 210

$

(2)

$

7

$

Total

IDA

215

$ 268

$

IFC

June 30, 2021
MIGA

36

$

13

Total
$

317

Derivative Transactions a
Derivative assets, net
Derivative liabilities, net

34
(22)

-

-

34
(22)

27
(19)

-

-

27
(19)

Pension and Other
Postretirement Benefits
Investments

(659)
-

(688)
(219)

(26)
-

(1,373)
(219)

(572)
-

(645)
(178)

(25)
-

(1,242)(178)$ (437)$ (909)$ (19)$ (1,365)$ (296)$ (787)$ (12)$(1,095)a. Presented on a net basis by instrument. For details on derivative transactions relating to swap intermediation services provided
by IBRD to IDA see Note F—Derivative Instruments.

50

IBRD Condensed Quarterly Financial Statements: December 31, 2021 (Unaudited)

The receivables from (payables to) these affiliated organizations are reported in the Condensed Balance Sheet as
follows:
Receivables / Payables related to:Reported as:

Administrative services a

Other assets

Derivative transactions

Derivative assets/liabilities – net

Investments

Other liabilities

Pension and other postretirement benefits

Other liabilities

a. Includes amounts payable to IDA for its share of investments associated with PCRF. This payable is included in Other Liabilities
on the Condensed Balance Sheet.

Loans and Other Exposures
IBRD has a Local Currency Loan Facility Agreement with IFC, which is capped at $300 million. As of December 31,
2021 and June 30, 2021 there were no loans outstanding under this facility.
During the fiscal year ended June 30, 2014, IBRD entered into an exposure exchange agreement with MIGA underwhich IBRD and MIGA exchanged selected exposures, with each divesting exposure in countries where their lending
capacities are limited, in return for exposure in countries where they have excess lending capacity. Under the agreement,
IBRD and MIGA have each exchanged $120 million of notional exposure as follows: MIGA assumes IBRD's loan
principal and interest exposure in exchange for IBRD's assumption of principal and interest exposure of MIGA under
its Non-Honoring of Sovereign Financial Obligation agreement. As of December 31, 2021, assets related to IBRD’s
right to be indemnified under this agreement amounted to $1 million ($1 million—June 30, 2021), while liabilities
related to IBRD’s obligation under this agreement amounted to $1 million ($1 million—June 30, 2021). These include
an accumulated provision for guarantee losses of less than $1 million as of December 31, 2021 (less than $1 million—
June 30, 2021).
Administrative Services
Expenses jointly incurred by IBRD and IDA are allocated based on an agreed cost-sharing methodology, and amounts
are settled quarterly. For the three and six months ended December 31, 2021, IBRD’s administrative expenses are netof the share of expenses allocated to IDA of $421 million and $813 million ($450 million and $905 million—three andsix months ended December 31, 2020) respectively.
Revenue
Revenue jointly earned by IBRD and IDA is allocated based on an agreed revenue-sharing methodology and amounts
are settled quarterly. For the three and six months ended December 31, 2021, IBRD’s other revenue is net of revenue
allocated to IDA of $61 million and $108 million ($63 million and $120 million—three and six months ended December
31, 2020), respectively, and is included in Revenue from externally funded activities on the Condensed Statement of
Income. This revenue also includes revenue from contracts with clients, that are not affiliated with IBRD and are as
follows:
Table I2: Revenue from contracts with clients
In millions of U.S. dollars

Trust fund fees
Reimbursable advisory services
Asset management services
Of which:
IBRD's share
IDA's share

Three Months Ended December 31,
2021
2020
$
28
$
27
20
22
6
6
$
54
$
55

Six Months Ended December 31,
2021
2020
$
38
$
44
33
38
14
14
$
85
$
96

$

$

27
27

$

29
26

44
41

$

50
46

Each revenue stream represents compensation for services provided and the related revenue is recognized over time.
IBRD’s rights to consideration are deemed unconditional and are classified as receivables. IBRD also has an obligation
to provide certain services for which it has received consideration in advance. Such considerations are presented ascontract liabilities and are subsequently recognized as revenue when the related performance obligation is satisfied.

IBRD Condensed Quarterly Financial Statements: December 31, 2021 (Unaudited)

51

The following table shows IBRD’s receivables and contract liabilities related to revenue from contracts with clients:
Table I3: Receivables and contract liabilities related to revenue from contracts with clients
In millions of U.S. dollars
Receivables
Contract liabilities$

December 31, 2021
67
195

$

June 30, 2021
79
196

The amount of fee revenue associated with services provided to affiliated organizations that is included in Revenue
from externally funded activities on the Condensed Statement of Income, is as follows:
Table I4: Fee revenue from affiliated organizations
In millions of U.S. dollars

Fees charged to IFC
Fees charged to MIGA

Three Months Ended December 31,
2021
2020
$
20
$
21
2
2

Six Months Ended December 31,
2021
2020
$
40
$
40
3
3

Pension and Other Postretirement Benefits
The payable to IDA represents IDA’s net share of prepaid costs for pension and other postretirement benefit plans and
PEBP assets. These will be realized over the life of the plan participants.
The payables to IFC and MIGA represent their respective share of PEBP assets. The PEBP assets are managed by
IBRD and are part of the investment portfolio.
For Pension and Other Postretirement Benefits related disclosure see Note H—Pension and Other Postretirement
Benefits.
Derivative Transactions
These relate to currency forward contracts entered into by IDA with IBRD acting as the intermediary with the market.
Investments
These relate to investments that IBRD has made on behalf of IFC, associated with the PCRF and are included in
Investments-Trading on IBRD’s Condensed Balance Sheet. The corresponding payable to IFC is included in Otherliabilities on the IBRD’s Condensed Balance Sheet. As a result, there is no impact on IBRD’s investments net asset
value from these transactions.
NOTE J—ACCUMULATED OTHER COMPREHENSIVE LOSS
Comprehensive income or loss consists of net income and other gains and losses affecting equity that, under U.S.
GAAP, are excluded from net income. Other comprehensive income (loss) comprises currency translation adjustments
on assets and liabilities denominated in euro; DVA on fair value elected liabilities, pension related items, and thecumulative effects of a change in accounting principle related to the implementation of U.S. GAAP requirements. These
items are presented in the Condensed Statement of Comprehensive Income.

52

IBRD Condensed Quarterly Financial Statements: December 31, 2021 (Unaudited)

The following tables present the changes in Accumulated Other Comprehensive Loss (AOCL) balances:
Table J1: AOCL changes
In millions of U.S. dollars
Six Months Ended December 31, 2021
Amounts
reclassified
Net Changes
Changes
into net
during thein AOCL
incomeperiodBalance,
beginning of
the fiscal year
Cumulative Translation Adjustments on
functional currency$
DVA on Fair Value option elected liabilities
Unrecognized Net Actuarial (Losses) Gainson Benefit Plans
Unrecognized Prior Service (Costs) Credits
on Benefit Plans
Total Accumulated Other Comprehensive
Loss
$

359
(218)

$

(400)
(508)

$

23

$

(400)
(485)

Balance, end of
the period
$

(41)
(703)

(1,640)-27

27(1,613)

(66)

-

12

12

(54)

(1,565)

$

(908)

$

62

$

(846)

$

(2,411)

Table J1.1:
In millions of U.S. dollars

Balance,
beginning of
the fiscal year
Cumulative Translation Adjustments on
functional currency$
DVA on Fair Value option elected liabilities
Unrecognized Net Actuarial (Losses)
Gains on Benefit Plans
Unrecognized Prior Service (Costs)
Credits on Benefit Plans
Total Accumulated Other Comprehensive
Loss
$

(106)
1,214

Six Months Ended December 31, 2020
Amounts
reclassified
Net Changes
Changes
into net
during thein AOCL
incomeperiod$712(1,155)

$

(19)

$

712
(1,174)

Balance, end of
the period
$

606
40

(6,745)

-

189

189

(6,556)

(89)

-

12

12

(77)

(5,726)$ (443)

$

182

$

(261)

$

(5,987)

NOTE K—OTHER FAIR VALUE DISCLOSURES
Valuation Methods and Assumptions
As of December 31, 2021 and June 30, 2021, IBRD had no assets or liabilities measured at fair value on a non-recurring
basis.
Due from Banks
The carrying amount of unrestricted and restricted currencies is considered a reasonable estimate of the fair value ofthese positions.
Loans
There were no loans carried at fair value as of December 31, 2021 and June 30, 2021. IBRD’s loans and loan
commitments would be classified as Level 3 within the fair value hierarchy.
Summarized below are the techniques applied in determining the fair values of IBRD’s financial instruments.
Investment securities
Investment securities are classified based on management’s intention on the date of purchase, their nature, and IBRD’s
policies governing the level and use of such investments. As of December 31, 2021, all of the financial instruments in
IBRD’s investment portfolio were classified as trading. These securities are carried and reported at fair value, or at facevalue or NAV, which approximates fair value. Where available, quoted market prices are used to determine the fairvalue of trading securities. Examples include most government and agency securities, mutual funds, exchange-traded
equity securities and ABS securities.
For instruments for which market quotations are not available, fair values are determined using model-based valuation
techniques, whether internally generated or vendor-supplied, that include the standard discounted cash flow method
using observable market inputs such as yield curves, credit spreads, and conditional prepayment rates. Where
applicable, unobservable inputs such as conditional prepayment rates, probability of default and loss severity are used.
IBRD Condensed Quarterly Financial Statements: December 31, 2021 (Unaudited)53

Unless quoted prices are available, time deposits are reported at face value, which approximates fair value, as they areshort term in nature.
Securities purchased under resale agreements, Securities sold under repurchase agreements, and Securities lent under
securities lending agreements
These securities are of a short-term nature and reported at face value, which approximates fair value.
Discount notes and vanilla bonds
Discount notes and vanilla bonds issued by IBRD are valued using the standard discounted cash flow method which
relies on observable market inputs such as yield curves, foreign exchange rates, basis spreads and funding spreads.
Where available, quoted market prices are used to determine the fair value of short-term notes.
Structured bonds
Structured bonds issued by IBRD have coupon or repayment terms linked to the level or the performance of interest
rates, foreign exchange rates, equity indices, catastrophic events or commodities. The fair value of the structured bonds
is generally derived using the discounted cash flow method based on estimated future pay-offs determined by applicablemodels and computation of embedded optionality such as caps, floors and calls. A wide range of industry standard
models such as one factor Hull-White, LIBOR Market Model and Black-Scholes are used depending on the specificstructure. These models incorporate observable market inputs, such as yield curves, foreign exchange rates, basis
spreads, funding spreads, interest rate volatilities, equity index volatilities and equity indices. Where applicable, themodels also incorporate significant unobservable inputs such as correlations between relevant market data and longdated interest rate volatilities. Generally, the movements in correlations are considered to be independent of movements
in long-dated interest rate volatilities.
Derivative instruments
Derivative contracts include currency forward contracts, TBA securities, swaptions, exchange traded options andfutures contracts, currency swaps and interest rate swaps. Currency swaps and interest rate swaps are either plain vanillaor structured. Currency forward contracts and plain vanilla currency and interest rate swaps are valued using thestandard discounted cash flow methods using observable market inputs such as yield curves, foreign exchange rates,
basis spreads and funding spreads. For structured currency and interest rate swaps, which primarily consist of callable
swaps linked to interest rates, foreign exchange rates, and equity indices, valuation models and inputs similar to theones applicable to structured bonds valuation are used. Where applicable, the models also incorporate significant
unobservable inputs such as correlations and long-dated interest rate volatilities.
Valuation adjustments on fair value option elected liabilities
The DVA on fair value option elected liabilities is measured by revaluing each liability to determine the changes in fairvalue of that liability arising from changes in IBRD’s cost of funding relative to LIBOR.
The table below presents IBRD’s estimates of fair value of its financial assets and liabilities along with their respective
carrying amounts:
Table K1: Fair value and carrying amount of financial assets and liabilities
In millions of U.S. dollars
December 31, 2021
Carrying
Value
Fair Value
AssetsDue from banks
Investments-Trading (including Securities purchased under resaleagreements)
Net loans outstanding
Derivative assets, net
Miscellaneous assets
Liabilities
Borrowings
Securities sold/lent under repurchase agreements/securities lending
agreements and payable for cash collateral received
Derivative liabilities, net

$

906

$

906

June 30, 2021
Carrying
Value
Fair Value
$

2,347

$

2,347

81,961
223,953
2,166
50

81,961
228,672
2,166
50

87,904
218,799
3,355
50

87,904
223,6873,355
50

257,990257,990

260,076

260,076

172
3,027

172
3,027

62
1,222

62
1,222

As of December 31, 2021, IBRD’s signed loan commitments were $59.3 billion ($59.8 billion—June 30, 2021) andhad a fair value of $1.1 billion ($2.6 billion—June 30, 2021).
54

IBRD Condensed Quarterly Financial Statements: December 31, 2021 (Unaudited)

The following tables present IBRD’s fair value hierarchy for assets and liabilities measured at fair value on a recurring
basis. The fair value of alternative investments and certain equities measured using the NAV per share as a practical
expedient are included in the table below but excluded from the fair value hierarchy.
Table K2: Fair value hierarchy of IBRD’s assets and liabilities
In millions of U.S. dollars
Fair Value Measurements on a Recurring Basis
December 31, 2021
Level 1
Level 2
Level 3
Total
Assets:Investments-Trading
Government and agency obligations
Time deposits
ABS
Alternative investments a
Equity securities
Total Investments-Trading
Securities purchased under resale agreements
Derivative Assets
Currency swaps b
Interest rate swaps

$

$

$
$

Less:
Amounts subject to legally enforceable master netting
agreements d
Cash collateral received
Derivative Assets, net
Miscellaneous assets
Liabilities:
Borrowings
Securities sold under repurchase agreements and securities
lent under securities lending agreements c
Derivative Liabilities
Currency swaps b
Interest rate swaps$$

28,231798
376
29,405
44

$

-

$

$

$

17,564
31,214
1,883
50,661
98

$

6,225
7,237
13,462

$

$

$

334
261
595

$ 45,795
32,012
1,883
1,753
376
$ 81,819
142
$

6,559
7,498
$ 14,057-50-

11,207
684
$
2,166
50

-

$ 253,295$ 4,695$ 257,990

-

39

-

39

-

5,489
8,462
13,951

270
55
325

5,759
8,517
$ 14,276

$

$

Less:
Amounts subject to legally enforceable master netting
agreements e
Derivative Liabilities, net$

11,2493,027

a. Investments at NAV related to PEBP holdings, not included in the fair value hierarchy.
b. Includes currency forward contracts and structured swaps.
c. Excludes $817 million relating to payable for cash collateral received.
d. Includes $16 million CVA.
e. Includes $58 million DVA.

IBRD Condensed Quarterly Financial Statements: December 31, 2021 (Unaudited)55

Table K2.1:
In millions of U.S. dollars
Fair Value Measurements on a Recurring Basis
June 30, 2021
Level 2
Level 3
Total

Level 1
Assets:Investments – Trading
Government and agency obligations
Time deposits
ABS
Alternative investments a
Equity securities
Total Investments – Trading
Securities purchased under resale agreements
Derivative Assets
Currency swaps b
Interest rate swaps

$

$

$
$

Less:
Amounts subject to legally enforceable master netting
agreements d
Cash collateral received
Derivative Asset, net
Miscellaneous assets
Liabilities:
Borrowings
Securities sold under repurchase agreements andsecurities lent under securities lending agreements c
Derivative Liabilities
Currency swaps b
Interest rate swaps
Other c21,325839
414
22,578
63

$

-

$

$

$

27,30534,621
1,710
63,636
275

$

8,314
9,820
18,134

$

$

$

-

$

375
241
616

$
$

-

4,594

$ 260,076

$
-

$

$

-

50

$

255,482$

8,689
10,061
18,75012,124
3,271
3,355
50

-

25

-

25

1
1

4,756
8,309
13,065

221
62
283

$

4,977
8,371
1
13,349$12,127
1,222

$

$

Less:
Amounts subject to legally enforceable master netting
agreements e
Derivative Liabilities, net
a. Investments at NAV related to PEBP holdings, not included in the fair value hierarchy.
b. Includes currency forward contracts and structured swaps.
c. Excludes $3,308 million relating to payable for cash collateral received.
d. Includes $18 million CVA.
e. Includes $21 million DVA.

56$

48,63035,460
1,710
1,352
414
87,566338

IBRD Condensed Quarterly Financial Statements: December 31, 2021 (Unaudited)IBRD’s Level 3 borrowings primarily relate to structured bonds. The fair value of these bonds is estimated using
discounted cash flow valuation models that incorporate model parameters, observable market inputs, and unobservable
inputs. The significant unobservable inputs used in the fair value measurement of structured bonds and swaps arecorrelations between relevant market data and long-dated market interest rate volatilities. Generally, the movements incorrelations are considered to be independent of the movements in long-dated interest rate volatilities.
Correlation is the statistical measurement of the relationship between two variables. For contracts where the holder
benefits from the convergence of the underlying index prices (e.g., market interest rates and foreign exchange rates),
an increase in correlation would generally result in an increase in the fair value of the instrument. The magnitude anddirection of the fair value adjustment would depend on whether the holder is short or long the option.
Interest rate volatility is the extent to which the level of interest rates changes over time. For purchased options, anincrease in volatility would generally result in an increase in the fair value. In general, the volatility used to price theoption depends on the maturity of the underlying instrument and the option strike price. During the six months ended
December 31, 2021, and the fiscal year ended June 30, 2021, the interest rate volatilities for certain currencies wereextrapolated for certain tenors and, thus, are considered an unobservable input.
In certain instances, particularly for instruments with coupon or repayment terms linked to catastrophic events,
management relies on instrument valuations supplied by external pricing vendors.
The following table provides a summary of the valuation technique applied in determining fair values of these Level 3
instruments and quantitative information regarding the significant unobservable inputs used. Level 3 instruments
represent 2% of IBRD’s borrowings.
Table K3: Level 3 Borrowings and derivatives valuation technique and quantitative information regarding thesignificant unobservable inputs:
In millions of U.S. dollars
Fair Value at
December 31,
2021

Fair Valueat June 30,
2021

Valuation
Technique

Borrowings$4,695$4,594

Discounted
Cash Flow

Derivative assets

$270

$333

Discounted
Cash Flow

Range(average),
December 31,
2021-12% to 97%(11%)
52% to 61%(56%)-12% to 97%(11%)
52% to 61%(56%)

Unobservable
input
Correlations
Interest rate
volatilities
Correlations
Interest rate
volatilities

Range(average),
June 30, 2021
-14% to 92%(13%)
52% to 54%(53%)-14% to 92%(13%)
52% to 54%(53%)

The table below provides the details of all inter-level transfers. Transfers between Level 2 and Level 3 are due tochanges in observable inputs.
Table K4: Borrowings and derivatives inter level transfers
In millions of U.S. dollars

Borrowings
Transfer into (out of)Transfer (out of) intoThree Months Ended December 31, 2021
Level 2
Level 3Six Months Ended December 31, 2021
Level 2
Level 3

$

-

$

$

-

$
$

$

-

$
$

-

Derivative assets, net
Transfer into (out of)Transfer (out of) into

$

2
2

$

(2)
(2)

$

2
2

$

(2)
(2)

Derivative liabilities, net
Transfer (into) out ofTransfer out of (into)

$

$

2

$

$

(2)

$

Total Derivative Transfers, net

2

(2)

$

$

$

IBRD Condensed Quarterly Financial Statements: December 31, 2021 (Unaudited)57

Table K4.1:
In millions of U.S. dollars

Borrowings
Transfer into (out of)Transfer (out of) intoThree Months Ended December 31, 2020
Level 2
Level 3Six Months Ended December 31, 2020
Level 2
Level 3

$

-

$

$

-

$
$

$

21
21

$
$

(21)
(21)

Derivative assets, net
Transfer into (out of)Transfer (out of) into

$

3
3

$

(3)
(3)

$

3
3

$

(3)
(3)

Derivative liabilities, net
Transfer (into) out ofTransfer out of (into)

$

$

(2)
(2)
1

$

$

(3)

$

Total Derivative Transfers, net

3

2
2
(1)

$

$

$

The following tables provide a summary of changes in the fair value of IBRD’s Level 3 borrowings and derivatives:
Table K5: Borrowings Level 3 changes
In millions of U.S. dollars

Beginning of the period/fiscal year
IssuancesSettlements
Total realized/unrealized mark-tomarket losses (gains) in:
Net income
Other comprehensive income
Transfers from Level 3, net
End of the period

Three Months Ended December 31
2021
2020
$
4,624
$
5,266
29
132
(17)
(177)

$

150
(91)
4,695

$

216
113
5,550

$

Six Months Ended December 31
2021
2020
4,594
$
5,347
214
166
(50)
(443)
74
(137)
4,695

$

$

335
166
(21)
5,550

Table K6: Derivatives Level 3 changes
In millions of U.S. dollars
Three Months Ended December 31, 2021
Derivatives, Assets/(Liabilities)
Currency
Swaps
Beginning of the period/fiscal year $48
IssuancesSettlements
Total realized/unrealized mark-tomarket gains in:
Net income
80
Other comprehensive income(60)
Transfers from Level 3, net(2)
End of the period
$
66

58

Interest
Rate Swaps
$
156
-

Total
$
204
-

49
(1)
204

129
(61)
(2)
270

$

$

Six Months Ended December 31, 2021
Derivatives, Assets/(Liabilities)
Interest
Currency
Rate
Swaps
Swaps
Total
$
154
$
179
$
333
(15)
(15)
8
(1)
7

$

8
(102)
(2)
66

$

43
(2)
204

IBRD Condensed Quarterly Financial Statements: December 31, 2021 (Unaudited)

51
(104)
(2)
$
270

Table K6.1:
In millions of U.S. dollars
Three Months Ended December 31, 2020
Derivatives, Assets/(Liabilities)
Currency
Interest Rate
Swaps
Swaps
Total
$
(101)
$
40
$
(61)
4
2
6
(8)
10
2

Beginning of the period/fiscal year
IssuancesSettlements
Total realized/unrealized mark-to-market
gains in:
Net income
Other comprehensive income
Transfers from Level 3, net
End of the period
$

135
34
(3)
61

73
3
128

$

$

208
37
(3)
189

Six Months Ended December 31, 2020
Derivatives, Assets/(Liabilities)
Currency
Interest Rate
Swaps
Swaps
Total
$
(153)
$
(22)
$ (175)
3
2
5
(11)
5
(6)

174
49
(1)
61

$

$

138
5
128

312
54
(1)
189

$

Information on the unrealized gains or losses included in the Condensed Statement of Income and Condensed
Statement of Comprehensive Income relating to IBRD’s Level 3 borrowings and derivatives that are still held at thereporting dates, is presented in the following table:
Table K7: Unrealized gains or losses relating to IBRD’s Level 3 borrowings and derivatives
In millions of U.S. dollars
Three Months Ended December 31,
2021
2020
Reported as follows:
Borrowings
Net income aOther Comprehensive Income b
Derivatives
Net income aOther Comprehensive Income c

Six Months Ended December 31,
2021
2020

$

122
91

$

56
(111)

$

88
137

$

(29)
(164)

$

(126)
(61)

$

(64)
42

$

(84)
(104)

$

28
59

a. Amounts are included in Unrealized mark-to-market gains (losses) on non-trading portfolios, net in the Condensed Statementof Income.
b. Amounts are included in Currency translation adjustment on functional currency and Net Change in the DVA on fair value
option elected liabilities, in the Condensed Statement of Comprehensive Income.
c. Amounts are included in Currency translation adjustment on functional currency, in the Condensed Statement ofComprehensive Income.

Table K8: Borrowings fair value and contractual principal balance
In millions of U.S. dollars
December 31, 2021
June 30, 2021$$

Fair Value
257,990
260,076

Principal Amount Due Upon Maturity$
260,886$
260,277$$

Difference(2,896)(201)

IBRD Condensed Quarterly Financial Statements: December 31, 2021 (Unaudited)

59

The following table provides information on the changes in fair value due to the change in IBRD’s own credit risk forfinancial liabilities measured under the fair value option, included in the Condensed Statement of Other Comprehensive
Income:Table K9: Changes in fair value due to IBRD’s own credit risk
In millions of U.S. dollars
Unrealized mark-to-market gains/(losses) due to DVA on fair value
option elected liabilities
DVA on Fair Value Option Elected Liabilities
Amounts reclassified to net income upon derecognition of a liability
Net change in DVA on Fair Value Option Elected Liabilities

Three Months Ended
December 31, 2021
$
(126)
10
$
(116)

Six Months Ended
December 31, 2021
$
(508)
23
$
(485)

Three Months Ended
December 31, 2020
$
(550)
(8)
$
(558)

Six Months Ended
December 31, 2020$
(1,155)(19)$(1,174)

Table K9.1:
In millions of U.S. dollars
Unrealized mark-to-market gains/(losses) due to DVA on fair value
option elected liabilities
DVA on Fair Value Option Elected Liabilities
Amounts reclassified to net income upon derecognition of a liability
Net change in DVA on Fair Value Option Elected Liabilities

The following table provides information on the cumulative changes in fair value due to the change in IBRD’s owncredit risk for financial liabilities measured under the fair value option, as well as where those amounts are includedin the Condensed Balance Sheet:
Table K10: Cumulative changes in fair value due to the change in IBRD’s own-credit risk
In millions of U.S. dollars
DVA on fair value option elected liabilities
Reported as follows:
Accumulated other comprehensive loss

60

December 31, 2021

June 30, 2021

$

$

(703)

(218)

IBRD Condensed Quarterly Financial Statements: December 31, 2021 (Unaudited)Table K11: Unrealized mark-to-market gains or losses on investments-trading, and non-trading portfolios, net
In millions of U.S. dollars

Investments-Trading
Non trading portfolios, net
Loan derivatives—Note F
Other asset/liability
management derivatives,net
Borrowings, including
derivatives —Notes E and F
Client operations derivatives
Total

Three Months Ended
December 31, 2021
Unrealized
gains(losses)
excluding
Unrealized
realizedgains
amounts a(losses)
$
(172)
$
63

Realized
gains(losses)$
235$

Realized
gains(losses)$436

Six Months Ended
December 31, 2021
Unrealized
gains(losses)
excluding
Unrealized
realizedgains
amounts a(losses)
$
(363)
$
73

4

256

260

6

663

669

-

(327)

(327)

-

(589)

(589)

4

(49)
5
(115)

(49)b
5
(111)

6

162
3
239

162b
3
245

$

$

$

$

$

Table K11.1:
In millions of U.S. dollars

Investments-Trading
Non trading portfolios, net
Loan derivatives—Note F
Other asset/liability
management derivatives, net
Borrowings, including
derivatives —Notes E and F
Client operations derivatives
Total

Three Months Ended
December 31, 2020
Unrealized
gains (losses)
Realized
excludinggains
realized
Unrealized(losses)amounts agains (losses)
$
(89)
$
147
$
58

$

Six Months Ended
December 31, 2020
Unrealized
gains (losses)
Realized
excludinggains
realized
Unrealized(losses)amounts agains (losses)$ (666)
$
795
$
129

-

453

453

-

757

757

-

(252)

(252)

-

(388)

(388)

1
1

276
12
489

277b
12
490

1
1

452
14
835

453b
14
836

$

$

$

$

$

a. Adjusted to exclude amounts reclassified to realized gains (losses).
b. Includes $2,361 million and $3,704 million of unrealized mark-to-market losses related to derivatives associated with borrowings
for three and six months ended December 31, 2021, respectively (unrealized mark-to-market losses of $794 million and $1,193
million—three and six months ended December 31, 2020, respectively).

NOTE L—CONTINGENCIESDue to the ongoing COVID-19 pandemic, IBRD faces additional credit, market and operational risks. The length andseverity of the pandemic and the related developments, as well as the impact on the financial results and position of
IBRD in future periods cannot be reasonably estimated at this point in time and continue to evolve. IBRD continues tomonitor the developments and to manage the risks associated with its various portfolios within existing financial
policies and limits.
From time to time, IBRD may be named as a defendant or co-defendant in legal actions on different grounds in various
jurisdictions. The outcome of any existing legal action, in which IBRD has been named as a defendant or codefendant,
as of and for the six months ended December 31, 2021, is not expected to have a material adverse effect on IBRD's
financial position, results of operations or cash flows.

IBRD Condensed Quarterly Financial Statements: December 31, 2021 (Unaudited)61

INDEPENDENT AUDITOR’S REVIEW REPORT
Deloitte & Touche LLP
7900 Tysons One Place
Suite 800
McLean, VA 22102
USA
Tel: +1 703 251 1000
Fax: +1 703 251 3400
www.deloitte.com

INDEPENDENT AUDITOR’S REVIEW REPORT
President and Board of Executive Directors
International Bank for Reconstruction and Development:
Results of Review of Interim Financial Information
We have reviewed the accompanying condensed balance sheet of the International Bank for
Reconstruction and Development (“IBRD”) as of December 31, 2021, and the related condensed
statements of income, and comprehensive income for the three-month and six-month periods ended
December 31, 2021 and 2020, and the condensed statements of changes in retained earnings, and cash
flows for the six-month periods ended December 31, 2021 and 2020, and the related notes (collectively
referred to as the “interim financial information”).
Based on our reviews, we are not aware of any material modifications that should be made to theaccompanying interim financial information for it to be in accordance with accounting principles generally
accepted in the United States of America.
Basis for Review Results
We conducted our reviews in accordance with auditing standards generally accepted in the United Statesof America (GAAS) applicable to reviews of interim financial information. A review of interim financial
information consists principally of applying analytical procedures and making inquiries of persons
responsible for financial and accounting matters. A review of interim financial information is substantiallyless in scope than an audit conducted in accordance with GAAS, the objective of which is an expression ofan opinion regarding the financial information as a whole, and accordingly, we do not express such an
opinion. We are required to be independent of IBRD and to meet our other ethical responsibilities inaccordance with the relevant ethical requirements relating to our review. We believe that the results of
the review procedures provide a reasonable basis for our conclusion.
Responsibilities of Management for the Interim Financial Information
Management is responsible for the preparation and fair presentation of the interim financial informationin accordance with accounting principles generally accepted in the United States of America and for thedesign, implementation, and maintenance of internal control relevant to the preparation and fairpresentation of interim financial information that is free from material misstatement, whether due to fraud
or error.
Report on Condensed Balance Sheet as of June 30, 2021
We have previously audited, in accordance with auditing standards generally accepted in the United Statesof America, the balance sheet as of June 30, 2021, and the related statements of income, comprehensive
income, changes in retained earnings, and cash flows for the year then ended (not presented herein); andwe expressed an unmodified audit opinion on those audited financial statements in our report dated
62

August 6, 2021. In our opinion, the accompanying condensed balance sheet of IBRD as of June 30, 2021, isconsistent, in all material respects, with the audited financial statements from which it has been derived.

February 11, 2022

63