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2022-12-31-accounts

INTERNATIONAL FINANCE FACILITY FOR IMMUNISATION COMPANY

ANNUAL REPORT OF THE TRUSTEES AND CONSOLIDATED FINANCIAL STATEMENTS

Report of the Trustees and Annual Financial Statements 1

CONTENTS
Legal and Administrative Information 3
Statement of Trustees’ Responsibilities 4
Annual Report of the Trustees 5
Objectives and Public Benefit 6
Structure, Governance and Management 6
Reference and Administrative Information 9
Programmes Funded by IFFIm 10
Strategic Report 12
Recent Developments 23
Future Plans 23
Declarations by IFFIm’s Directors 24
Independent Auditor 24
Consolidated Financial Statements 25
Consolidated Statement of Financial Activities 26
Consolidated Statement of Income and Expenditures 27
Balance Sheets 28
Consolidated Statement of Cash Flows 29
Notes to the Consolidated Financial Statements 30
Independent Auditor’s Report 53

Report of the Trustees and Annual Financial Statements 2

LEGAL AND ADMINISTRATIVE INFORMATION

TRUSTEES

Kenneth Lay, Board Chair Bertrand de Mazières, Audit Committee Chair Monique Barbut Doris Herrera-Pol Hassatou Diop N’Sele Jessica Pulay Ingrid van Wees Helge Weiner-Trapness

REGISTERED ADDRESS

2 Lambs Passage London EC1Y 8BB United Kingdom

COMPANY SECRETARY

Trusec Limited 2 Lambs Passage London EC1Y 8BB United Kingdom

SOLICITOR

Slaughter and May One Bunhill Row London EC1Y 8YY United Kingdom

AUDITOR

Deloitte LLP 1 New Street Square London EC4A 3HQ United Kingdom

TREASURY MANAGER

International Bank for Reconstruction and Development 1818 H Street NW Washington, DC 20433 United States

LEGAL STATUS

The International Finance Facility for Immunisation Company (“IFFIm”) is a multilateral development institution, established as a charity registered with the Charity Commission for England and Wales. IFFIm was incorporated as a private company, limited by guarantee, without share capital and for indefinite duration, under the Companies Act 1985. IFFIm is governed by its Memorandum and Articles of Association dated 26 June 2006. Amended Articles of Association were adopted on 17 December 2018. IFFIm’s company registration number is 5857343 and its charity registration number is 1115413.

FILING OF REPORTS

Copies of IFFIm’s Annual Report of the Trustees and Consolidated Financial Statements are available to the public and may be obtained from the Registrar of Companies for England and Wales at Companies House, Cardiff.

Report of the Trustees and Annual Financial Statements 3

STATEMENT OF RESPONSIBILITIES OF THE TRUSTEES OF IFFIm IN RESPECT OF THE TRUSTEES’ ANNUAL REPORT AND THE CONSOLIDATED FINANCIAL STATEMENTS

The trustees, who are also directors of the International Finance Facility for Immunisation Company (“IFFIm”) for the purposes of company law, are responsible for preparing the Trustees’ Annual Report and the consolidated financial statements in accordance with applicable law and United Kingdom Accounting Standards (United Kingdom Generally Accepted Accounting Practice), including FRS 102 The Financial Reporting Standard applicable in the UK and Republic of Ireland.

Company law requires the trustees to prepare financial statements for each financial year, which give a true and fair view of the state of affairs of IFFIm and of the incoming resources and application of resources, including the income and expenditure, of IFFIm for that period. In preparing these consolidated financial statements, the trustees are required to:

The trustees are responsible for keeping adequate accounting records that disclose with reasonable accuracy at any time the financial position of IFFIm and enable them to ensure that the consolidated financial statements comply with the Companies Act 2006. They are also responsible for safeguarding the assets of IFFIm and the group and hence for taking reasonable steps for the prevention and detection of fraud and other irregularities.

In so far as the trustees are aware:

The trustees are responsible for the maintenance and integrity of the corporate and financial information included on IFFIm’s website. Legislation in the United Kingdom governing the preparation and dissemination of financial statements may differ from legislation in other jurisdictions.

Report of the Trustees and Annual Financial Statements 4

ANNUAL REPORT OF THE TRUSTEES YEAR ENDED 31 DECEMBER 2022

Report of the Trustees and Annual Financial Statements 5

OBJECTIVES AND PUBLIC BENEFIT

OBJECTIVES

The International Finance Facility for Immunisation Company (“IFFIm”) was created to accelerate the availability of predictable, long-term funds for health and immunisation programmes through Gavi, the Vaccine Alliance (“Gavi”). Since its inception, Gavi has helped vaccinate more than 981 million children in 77 countries through routine immunisation. IFFIm promotes the effective use of Gavi resources for charitable purposes, and for the benefit of the public, by providing services and facilities that assist Gavi in raising funds. Such services and facilities include, but are not limited to, borrowing money or entering into agreements that are backed by legally binding funding commitments from sovereign government donors (the “Grantors”).

IFFIm funding accelerates the availability and increases the predictability of funds for immunisation, vaccine procurement and health systems strengthening (“HSS”) programmes. Gavi uses funds raised by IFFIm to reduce the number of worldwide vaccine-preventable deaths and illnesses. Gavi achieves this by funding the purchase and delivery of vaccines and strengthening health systems in many lower-income countries in the world. Gavi has also leveraged these resources to address the COVID-19 pandemic. In 2022, countries became eligible for Gavi support if their average Gross National Income (“GNI”) per capita was less than or equal to US$ 1,660 over the previous three years. For 2023, the eligibility threshold based on average GNI per capita over the previous three years will be set at US$ 1,730.

IFFIm raises funds by issuing bonds in the international capital markets under its Global Debt Issuance Programme and may also raise funds through issuances of Sukuk certificates. IFFIm then disburses the funds to Gavi to support various Gavi vaccine procurement, immunisation and HSS programmes. Through its bond issuances, IFFIm converts long-term government pledges into immediately available cash resources. IFFIm uses grant payments from the Grantors to pay the principal and interest on its bonds.

PUBLIC BENEFIT

IFFIm is a public benefit entity that provides public benefit through supporting the charitable aims of Gavi. It does not work directly with the public and has no employees. IFFIm’s directors have considered the Charity Commission’s general guidance on public benefit and have paid due regard to it when planning IFFIm’s activities and assessing how IFFIm’s activities further its objectives for the public benefit.

STRUCTURE, GOVERNANCE AND MANAGEMENT

STRUCTURE

IFFIm is a multilateral development institution incorporated as a private company, limited by guarantee, in England and Wales, with the company registration number 5857343, and registered as a charity in England and Wales, with the charity registration number 1115413. Gavi is the sole member of IFFIm. IFFIm is governed by its Memorandum and Articles of Association dated 26 June 2006. Amended Articles of Association were adopted on 17 December 2018.

IFFIm has control over IFFIm Sukuk Company III Limited (“IFFImSC III”), a Cayman Islands company with limited liability, which was incorporated on 5 March 2019 under the Companies Law (2013 Revision) of the Cayman Islands with company registration number 348825. IFFImSC III was established for the sole purpose of issuing sukuk certificates in support of IFFIm’s operations. ln April 2022, IFFlmSC III made the final payment of US$ 50 million to the holders of its certificates. Accordingly, the process to dissolve IFFImSC III is currently underway. IFFIm’s 2022 consolidated financial statements include the accounts of IFFImSC III.

In order to achieve its objectives, IFFIm worked with the following organisations during 2022:

Report of the Trustees and Annual Financial Statements 6

GOVERNANCE AND MANAGEMENT

Board of Trustees

IFFIm’s trustees, who are also directors of IFFIm for the purposes of company law, are responsible for determining IFFIm’s strategic plans, overseeing the implementation of such plans, and monitoring functions outsourced to Gavi and the World Bank. Members of the Gavi Secretariat and the World Bank take part in every board meeting.

IFFIm has no employees. During 2022, there were six meetings of the IFFIm board and four meetings of a Committee of the board to undertake ad hoc decisions in the ordinary course of business. In accordance with its Board Charter and Code of Conduct, IFFIm directors are expected to attend all board meetings unless exceptional circumstances prevail. Directors had an average board meeting attendance of 79% in 2022.

As at 31 December 2022, IFFIm’s directors were as follows:

Report of the Trustees and Annual Financial Statements 7

Directors are chosen for their skills and expertise in areas relevant to IFFIm and the IFFIm board maintains a skills matrix which it uses for succession planning purposes. Board succession planning is managed by the Board Chair in consultation with the entire board and as such there is no nomination committee. The IFFIm board is also guided by a diversity statement and seeks to adhere to Gavi’s gender policy requiring that no more than 60% of the IFFIm board is the same gender. IFFIm’s adherence to this policy is strictly voluntary. As of 31 December 2022, the gender composition was 62% female and 38% male.

All directors serve on a voluntary basis and are not remunerated. They are, however, reimbursed for expenses they incur in attending meetings and performing other functions directly related to their duties as directors. Details of director expenses are disclosed in Note 4 to the consolidated financial statements.

A formal induction process is in place that includes briefings with members of the Gavi Secretariat and World Bank to ensure that directors have the knowledge and understanding of IFFIm’s business to enable them to contribute effectively. On appointment, directors devote time to participate in a comprehensive induction programme, which introduces them to the main areas of IFFIm’s business operations, in particular those that involve significant risk, and provide an overview of the entities associated with IFFIm, namely, Gavi and the World Bank.

IFFIm has a Code of Conduct within its Board Charter. The IFFIm board also has an Independence Statement which underscores how all directors are required to exercise independent judgement in carrying out their duties. The IFFIm board must act in line with the principles laid out in the Board Charter and Code of Conduct, which comprehensively outlines expectations and conduct supported by policies for gifts and entertainment, diversity, procurement and travel, as well as processes for conflicts of interest.

The directors have a duty to avoid conflicts of interest and while IFFIm does not have a conflicts of interest policy, its Articles of Association and its Board Charter and Code of Conduct provide for the disclosure and management of conflicts of interest and a register is maintained and disclosed at each meeting of the IFFIm board. Gavi’s code of conduct framework also guides the IFFIm board on matters and issues that are not covered by IFFIm policies.

IFFIm introduced a gifts and hospitality policy in 2018 and while no disclosures of gifts or offers of hospitality have been made to date, the IFFIm board has established a formal register of gifts and hospitality for use if and when such disclosure is made.

The IFFIm board is invited to attend meetings of the Gavi board. The attendance of IFFIm directors at the Gavi board meetings is strictly in an observer status with no participation in the decisions of the Gavi board.

Gavi’s Chief Executive Officer is invited to attend and present reports to meetings of the IFFIm board, as an observer and with no participation in the decisions of the IFFIm board. At each meeting, the IFFIm board receives operational reports from the Gavi Secretariat and the World Bank and reviews IFFIm’s strategic initiatives. Twice a year the IFFIm board receives finance and accounting and monitoring and assurance

Report of the Trustees and Annual Financial Statements 8

reports. The IFFIm board also receives regular reports on Grantor and investor financial information and engagement.

Audit Committee

The IFFIm audit committee is a standing committee of the IFFIm board consisting of four members of the board and was established to assist the board in fulfilling its responsibilities with respect to the corporate accounting and financial practices of IFFIm. It oversees the preparation of the annual consolidated financial statements, including accounting policies and judgements, and reviews the performance, independence, and objectivity of the external auditor. It monitors the effectiveness of IFFIm’s risk management and internal grant monitoring systems.

During 2022, there were three meetings of the audit committee. Committee member attendance was 100% at all meetings. The audit committee work plan includes the formal requirement for an executive session with the external auditor without any representatives from the Gavi Secretariat and the World Bank being present.

Regarding the reporting of alleged improprieties, misconduct, or wrongdoing, the IFFIm board implemented an Ethics reporting hotline in 2019 that is connected to Gavi’s. The Ethics Hotline is prominently displayed on the homepage of IFFIm’s public website. No reports related to IFFIm were received in 2022.

Board Effectiveness Review and UK Charity Governance Code

The IFFIm board carries out an effectiveness review annually and regularly discusses its effectiveness and ability to work together as a team. It is envisaged that an externally facilitated assessment of the board will be undertaken every third year. As the last externally facilitated assessment was conducted in 2019, the IFFIm board conducted its 2022 self-evaluation exercise with an independent facilitator. The effectiveness review encompassed the board, the audit committee, and the Board Chair. The evaluation also assessed board composition, dynamics, governance and operations and stakeholder engagement. The results of the evaluation were discussed by the IFFIm board in December 2022. On the whole, the IFFIm Board was regarded as effective and well-functioning.

As part of its own development, the IFFIm board reviews guiding principles under the UK Charity Governance Code (the “Code”). At its March 2022 board meeting, the board assessed IFFIm’s current governance arrangements against the provisions of the Code. The IFFIm board concluded for the fourth successive year, overall, IFFIm’s governance broadly aligns with the recommended practices set out in the Code other than for those requirements regarding a Chief Executive and staff given that IFFIm does not have any employees.

The IFFIm board has mandated that its work plan includes reviews of the Board Charter and Code of Conduct and other board-approved policies on a routine basis. This policy review was completed at the IFFIm board’s March 2022 meeting.

Accountability and Transparency

IFFIm regularly updates its website to provide a comprehensive and transparent disclosure of how it discharges its charitable functions. The annual IFFIm communication plan is incorporated within IFFIm’s strategic framework. IFFIm’s main stakeholders are Gavi, the World Bank, Grantors, and investors. Further details of IFFIm’s stakeholder engagement are set out in the Section 172 (1) Statement included on page 21 of this report.

REFERENCE AND ADMINISTRATIVE INFORMATION

Pursuant to the Finance Framework Agreement entered into among IFFIm, the Grantors, the World Bank, and Gavi, IFFIm has no employees as indicated above. IFFIm outsources all administrative support to Gavi, and outsources its treasury function, together with accounting support, to the World Bank. The responsibilities of the IFFIm trustees, as well as brief descriptions of Gavi and the World Bank, are provided in the Structure, Governance and Management section above.

IFFIm also receives professional services from the following organisations:

Report of the Trustees and Annual Financial Statements 9

PROGRAMMES FUNDED BY IFFIm

Gavi programmes are funded by IFFIm, subject to the IFFIm board’s approval of a request for funding from Gavi and when an indicative funding confirmation, signed by any trustee on behalf of the IFFIm board, is issued to Gavi. The trustees are also directors of IFFIm for the purposes of company law. In the year ended 31 December 2022, IFFIm issued four new indicative funding confirmations, totalling US$ 490 million, to fund Gavi programmes and made grant payments to Gavi, totalling US$ 829 million, with respect to approved funding.

Since its inception, IFFIm has funded several Gavi programmes, which are categorised into Country-Specific Programmes and Investment Cases. Each of these categories is described below.

COUNTRY-SPECIFIC PROGRAMMES

Governments of eligible developing countries apply for vaccine procurement, immunisation and HSS support by submitting applications to Gavi. Once it has reviewed and approved the applications, Gavi requests funding from IFFIm. Since its inception in 2006, IFFIm has provided funding in support of the following Gavi Country-Specific programmes:

New and Underused Vaccine Support (“NVS”) programmes: Gavi supports developing countries in introducing vaccines and associated vaccine technology. Gavi’s support is aimed at accelerating the countries’ vaccine uptake and improving their vaccine supply security. NVS programmes funded by IFFIm related primarily to the following diseases:

Report of the Trustees and Annual Financial Statements 10

deforestation, rapid urbanisation, climate change, and declining population immunity have contributed to its re-emergence in recent years.

Health Systems Strengthening (“HSS”) programmes: The objective of HSS programmes is to achieve and sustain increased immunisation coverage, through strengthening the capacity of countries’ systems to provide immunisation and other health services. Countries are encouraged to use HSS funding to target the bottlenecks or barriers in their health systems.

Immunisation Services Support (“ISS”) programmes: Gavi provides eligible countries with flexible reward payments for strengthening their immunisation systems. These payments are subject to strict performance requirements and Gavi works with governments and inter-agency coordinating committees to set goals and monitor progress.

Injection Safety Support (“INS”) programmes: Gavi contributes to the provision of auto-disable syringes, reconstitution syringes and safety boxes. These syringes and safety boxes facilitate the administering of vaccines in eligible countries.

Vaccine Introduction Grant: Recognising that introduction of a new vaccine can imply additional costs for a country’s health system, Gavi provides additional support to bridge this resource gap. This support takes the form of an upfront cash grant and is used by implementing countries to pay for costs such as training, social mobilisation, programme management surveillance and monitoring. Implementing countries are the eligible countries where Gavi programmes, including those funded by IFFIm, are implemented.

INVESTMENT CASES

From time to time, IFFIm funds tactical investments in disease prevention and control. These investments are made through Gavi partners such as the United Nations Children’s Fund (“UNICEF”) and the World Health Organization (“WHO”). Each investment targets a disease that constrains progress towards improved child and maternal health. Since its inception in 2006, IFFIm has provided funding in support of the following Investment Cases:

Yellow Fever Stockpiles: Gavi supported the creation and maintenance of yellow fever vaccine stockpiles to ensure that vaccines are ready for deployment as soon as an outbreak is identified. The stockpiles also help to secure supply for routine programmes. IFFIm funds were used for both outbreak response and preventative campaigns.

Polio Eradication: Gavi supported intensified eradication activities that were implemented to interrupt wild and vaccine-derived poliovirus transmission. These activities included sustaining polio surveillance and laboratory activities, improving social mobilisation and enhancing technical assistance.

Measles Mortality Reduction: Gavi supported efforts to reduce the level of mortality from measles. The measles mortality reduction campaign is a partnership among several global health and development agencies to address this major childhood disease. Measles vaccination campaigns have become a channel for the delivery of other life-saving interventions, such as bed nets, de-worming medicine and vitamin supplements.

Maternal and Neonatal Tetanus: Gavi supported a campaign to eliminate maternal and neonatal tetanus. Maternal and neonatal tetanus continues to burden the most poorly served populations in many of the world’s lower-income countries. The campaign was implemented to build on existing efforts to improve clean delivery practices and immunisation services in these populations.

Yellow Fever Continuation: In March 2009, Gavi and IFFIm boards approved funding for an extension and expansion of Gavi’s original yellow fever investment case described above. The additional funds allowed for increased and extended yellow fever vaccine coverage and helped offset higher than expected vaccine prices.

Meningitis Eradication: Gavi supported efforts to eliminate meningococcal A meningitis epidemics in 25 African countries that were estimated to be home to approximately 95% of the world’s meningococcal meningitis burden. Meningococcal meningitis is a bacterial disease that mainly affects children and can result in death or permanent disability.

Vaccine Research and Development: Gavi provides support to the Coalition for Epidemic Preparedness Innovations (“CEPI”) for its late-stage vaccine research and development activities. CEPI is a global public-

Report of the Trustees and Annual Financial Statements 11

private partnership whose mission is to accelerate the development of vaccines against emerging infectious diseases and enable equitable access to these vaccines during outbreaks.

COVAX: COVAX is the vaccines pillar of the Access to COVID-19 Tools (“ACT”) Accelerator, a ground-breaking global collaboration to accelerate the development, production, and equitable access to COVID-19 tests, treatments, and vaccines. COVAX is co-led by WHO, Gavi, and CEPI, alongside key delivery partner UNICEF. Its aim is to accelerate the development and manufacture of COVID-19 vaccines, and to guarantee fair and equitable access for every country in the world. Gavi’s role in COVAX involves coordinating the COVAX Facility, a global risk-sharing mechanism for pooled procurement and equitable distribution of COVID-19 vaccines.

STRATEGIC REPORT

This Strategic Report relates to the year ended 31 December 2022. It forms part of the Annual Report of the Trustees, which contains all the information that company law requires to be provided in the directors’ report. IFFIm’s trustees are also the directors of IFFIm for the purposes of company law.

ACHIEVEMENTS AND PERFORMANCE

With the help of IFFIm funds, Gavi programmes led to the vaccination of more than 981 million children since Gavi’s creation in 2000 and prevented more than 16.2 million deaths in the process. This was achieved by accelerating the uptake and use of new and underused vaccines, strengthening the capacity of integrated health systems to deliver immunisation in many lower-income countries, increasing the predictability of global financing and improving the sustainability of national financing for immunisation, and through shaping vaccine markets to ensure adequate supply of appropriate, quality vaccines at low and sustainable prices for eligible countries.

The Country-Specific Programmes and Investment Cases that are supported by Gavi with the help of IFFIm’s funding are described in the Programmes Funded by IFFIm section above. In 2022, IFFIm made grant payments to Gavi totalling US$ 829 million, with respect to previously approved funding, and issued four new indicative funding confirmations to Gavi totalling US$ 490 million. The new indicative funding confirmations were comprised of US$ 634 million in support of Gavi core programmes, partially offset by a reduction of US$ 144 million to previously approved funding in support of COVAX due to a decrease in the uptake of COVID-19 vaccines in Gavi-supported countries.

From its inception in 2006 to 31 December 2022, IFFIm approved and disbursed the following amounts to help fund Gavi’s Country-Specific Programmes:

2022 Cumulative Outstanding
2022 Disburse- Cumulative Disburse- Balance
In Millions of US$ Approvals ments Approvals ments Payable
New and underused vaccine support 556 (556) 3,037 (2,980) 57
Health systems strengtheningand other 78 (78) 603 (603) -
Total Country-Specific Programme support 634 (634) 3,640 (3,583) 57

From its inception in 2006 to 31 December 2022, IFFIm approved and disbursed the following amounts to help fund Gavi’s Investment Cases:


help fund Gavi’s Investment Cases:
2022 Cumulative Outstanding
2022 Disburse- Cumulative Disburse- Balance
In Millions of US$ Approvals ments Approvals ments Payable
Yellow fever stockpile and eradication - - 101 (101) -
Polio eradication - - 191 (191) -
Measles mortality reduction - - 139 (139) -
Maternal and neonatal tetanus - - 62 (62) -
Meningitis eradication - - 68 (68) -
Vaccine research and development - - 272 (272) -
COVAX1 (144) (195) 975 (975) -
Total Investment Cases support (144) (195) 1,808 (1,808) -

1 The cumulative approvals of US$ 975 million in support of COVAX include a programme reduction of US$ 144 million to previously approved funding due to a decrease in the uptake of COVID-19 vaccines in Gavi-supported countries.

Since its inception in 2006, IFFIm has consistently demonstrated its performance as an efficient and flexible mechanism for Gavi to accelerate access to life-saving vaccines for children in the world’s lower-income countries. This continued performance is demonstrated by the following key indicators:

Report of the Trustees and Annual Financial Statements 12

indicator of this measure, as of 31 December 2022, IFFIm’s cumulative disbursements to Gavi were approximately 97.9 % of its total outlays since its inception in 2006.

In 2022, IFFIm received new sovereign pledges from the Kingdom of Spain and the United Kingdom. IFFIm continues to engage with existing and prospective donors to attract further pledges in support of Gavi’s immunisation mission. Further details of new sovereign pledges to IFFIm in 2022 are included in the Financial Overview section of this report.

As a large charitable company registered in the United Kingdom, IFFIm has considered its energy use and the requirement in the United Kingdom to disclose relevant information on energy and carbon reporting. IFFIm has no physical offices in the United Kingdom. As described above, IFFIm has no employees and outsources all administrative support to Gavi, which is based in Geneva and Washington, DC, and outsources its treasury function, together with accounting support, to the World Bank, which is based in Washington, DC. As such, IFFIm has no directly attributable energy use in the United Kingdom to disclose in this report. Furthermore, based on the nature of outsourced operations at the World Bank and Gavi, any energy use attributable to IFFIm, with respect to the relevant supporting activities, would be impractical to obtain.

FINANCIAL OVERVIEW

Overview of Assets and Liabilities

The following table summarises IFFIm’s assets and liabilities as of 31 December 2022 and 2021:

In Millions of US$ 2022 2021 Change
Sovereign pledges 2,951 3,437 (486)
Derivative financial assets 447 151 296
Funds held in trust 1,005 603 402
Other assets 27 12 15
Total assets 4,430 4,203 227
Bonds payable 2,413 1,845 568
Derivative financial instruments 360 347 13
Grants payable 57 396 (339)
Other liabilities 1 1 -
Total liabilities 2,831 2,589 242
Net assets 1,599 1,614 (15)
Total liabilities and net assets 4,430 4,203 227

Sovereign Pledges: IFFIm’s asset base consists primarily of irrevocable and legally binding multi-year sovereign pledges from the Grantors. As of 31 December 2022, the Grantors were the Republic of France, the Republic of Italy, the State of the Netherlands, the Kingdom of Norway, the Republic of South Africa, the Kingdom of Spain, the Kingdom of Sweden, the United Kingdom of Great Britain and Northern Ireland,

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the Commonwealth of Australia, and the Federative Republic of Brazil. In March 2023, Canada became IFFIm’s eleventh Grantor with a long-term pledge of C$ (CAD) 125 million. The amounts pledged by the Grantors, along with the pledge dates, are listed in Note 2 to the consolidated financial statements. From inception to 31 December 2022, cumulative payments received from the Grantors totalled US$ 4.5 billion.

During 2022, the fair value of IFFIm’s sovereign pledges decreased by US$ 486 million due to the net impact of the following:

Funds Held in Trust and Investment Strategy: IFFIm’s funds held in trust represent an investment portfolio denominated in United States dollars and managed by the World Bank. IFFIm has established liquidity and investment policies based on recommendations made by the World Bank.

The World Bank maintains a single, commingled investment portfolio (the “Pool”) for IFFIm, certain trust funds and other entities administered by the World Bank, as well as assets held in trust for other World Bank Group institutions. The Pool’s assets are maintained separate from the funds of the World Bank Group.

The Pool is divided into sub-portfolios to which allocations are made based on specific investment horizons, risk tolerances and other eligibility requirements set by the World Bank. Under IFFIm’s investment strategy approved by the trustees, IFFIm’s liquid assets are invested in high-grade fixed-income instruments with interest rate sensitivity matching that of the liabilities funding IFFIm’s investment portfolio. No ethical guidelines have been set for the portfolios. IFFIm’s trustees regularly review the portfolios within which IFFIm’s investments are held.

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IFFIm holds sufficient liquidity to satisfy investor expectations and rating agency requirements that a sufficient balance be available to meet interest and principal payments to debt holders. Consistent with these purposes, IFFIm maintains a minimum liquidity equivalent to its cumulative contracted debt service payments for the next 12 months. As of 31 December 2022 and 2021, the calculated minimum liquidity was US$ 576 million and US$ 99 million, respectively, and the value of IFFIm’s funds held in trust was US$ 1 billion and US$ 603 million, respectively.

During 2022, funds held in trust increased by US$ 402 million primarily due to (1) bond issuance proceeds of US$ 799 million and (2) Grantor payments received of US$ 548 million (excluding US$ 5 million from the Kingdom of Spain, which was received on 30 December 2022 and was still held as cash as of 31 December 2022). These were partially offset by (1) programme grant disbursements of US$ 829 million, (2) bond redemptions of US$ 86 million, (3) net swap settlement payments of US$ 14 million, and (4) other net cash outlays of US$ 16 million, including net interest payments and general and administrative expenses.

IFFIm receives its funding from Grantor contributions and borrowings on worldwide capital markets and disburses its funds only to Gavi to finance programmes for a defined portfolio of eligible countries or specified purposes. Therefore, all IFFIm’s funds are treated as restricted funds.

Other assets: IFFIm’s other assets comprise prepayments, amounts due from Gavi, and its cash balances held at depository bank accounts. Cash balances are moved to the investment portfolio on a regular basis.

Bonds Payable: IFFIm has continued to raise funds on the global capital markets. From inception to 31 December 2022, cumulative proceeds from bond issuances totalled US$ 8.6 billion.

During 2022, IFFIm’s bonds payable increased by US$ 568 million due to the following:

As of 31 December 2022, IFFIm’s bonds payable balance of US$ 2,413 million was comprised of bonds payable falling due within one year of US$ 554 million and bonds payable falling due after more than one year of US$ 1,859 million.

Derivative Financial Instruments: IFFIm’s derivative financial instruments represent its net position on interest rate and currency swap contracts. As of 31 December 2022, IFFIm’s net balance on its derivative financial instruments was a receivable of US$ 87 million (derivative financial assets of US$ 447 million less derivative financial liabilities of US$ 360 million), which represented a change of US$ 283 million from the prior year net payable balance of US$ 196 million (derivative financial liabilities of US$ 347 million less derivative financial assets of US$ 151 million). This change of US$ 283 million in 2022 was due to net fair value gains of US$ 269 million and net swap settlement payments of US$ 14 million.

As of 31 December 2022, IFFIm’s net asset balance on its derivative financial instruments of US$ 87 million was comprised of net amounts receivable after more than one year of US$ 89 million, partially offset by net amounts payable within one year of US$ 2 million. IFFIm’s hedging strategy is described in the Hedging IFFIm’s Market Risks section of this report and IFFIm’s net position is discussed further in Note 8 to the consolidated financial statements.

Grants payable: Grants payable represent board approved commitments made by IFFIm to fund Gavi programmes. Each of these commitments is recognised when an indicative funding confirmation to Gavi is signed by one of IFFIm’s trustees on behalf of the IFFIm board. During 2022, IFFIm’s grants payable balance decreased by US$ 339 million due to grant payments to Gavi totalling US$ 829 million, partially offset by new indicative funding confirmations issued by IFFIm to Gavi totalling US$ 490 million.

Other Payables: IFFIm’s other payables are comprised of amounts payable to service providers and amounts due to Gavi.

Report of the Trustees and Annual Financial Statements 15

Overview of Income and Expenses

The following table summarises IFFIm’s income and expenses for the years ended 31 December 2022 and 2021:


2021:
In Millions of US$ 2022 2021 Change
Contribution revenue 541 720 (179)
Net fair value (losses) gains (52) 64 (116)
Investment income 11 1 10
Other income 2 1 1
Total income 502 786 (284)
Programme grants 490 1,449 (959)
Financing costs 22 10 12
Other expenses 5 5 -
Total expenses 517 1,464 (947)
Deficit for the year (15) (678) 663

Contribution Revenue: IFFIm receives its funding from Grantor contributions in the form of long-term legally binding sovereign pledges and converts these pledges into immediately available cash resources by issuing bonds in the international capital markets. IFFIm then disburses the funds to Gavi to support various Gavi vaccine procurement, immunisation, and HSS programmes as described in the Programmes Funded by IFFIm section of this report. Contribution revenue for 2022 was comprised of new sovereign pledges of € 100 million from the Kingdom of Spain and £ 461 million from the United Kingdom, with initial recorded fair values totalling US$ 541 million.

Net Fair Value Losses: During 2022, IFFIm recorded net fair value losses of US$ 52 million due to fair value losses of US$ 474 million on its sovereign pledges, partially offset by fair value gains of US$ 269 million on its swaps, gains of US$ 152 million on its bonds payable, and other gains of US$ 1 million. The Hedging IFFIm’s Market Risks section below further describes fair value adjustments on pledges, bonds, and swaps, and summarises their impact on IFFIm’s income.

Investment Income: Investment income was higher by US$ 10 million in 2022 compared to 2021 as IFFIm’s investment portfolio had a relatively higher weighted average balance in 2022. The higher balance, together with increased market returns due to higher interest rates, resulted in a portfolio rate of return of 1.91% during 2022 compared to 0.24% during 2021.

Other income: Other income for 2022 was comprised of US$ 1 million of administrative support services donated to IFFIm by Gavi.

Programme Grants: During 2022, three new indicative funding confirmations totalling US$ 634 million were issued by IFFIm to fund Gavi’s routine immunisation programmes. The new indicative funding confirmations were partially offset by a programme reduction of US$ 144 million related to previously approved funding in support of COVAX.

Financing Costs: IFFIm incurred relatively higher financing costs in 2022 compared to 2021 primarily due to (1) a higher weighted average of outstanding bonds payable during 2022 compared to 2021 and (2) relatively higher interest rates in 2022 which resulted in higher coupon rates on IFFIm’s new bond issuances in 2022 compared to its previous issuances.

Other Expenses: IFFIm’s other expenses predominantly comprise treasury management fees billed by the World Bank, legal fees, audit fees, consulting fees, and administrative support services. As there were no significant changes in IFFIm’s operations or suppliers, its other expense in 2022 remained at about the same level as 2021.

IFFIm’s policy is to pay its suppliers of the abovementioned services in accordance with those terms and conditions agreed between IFFIm and its suppliers. Payments for services received are usually processed within 30 days upon receipt of invoices.

IFFIm recorded a deficit of US$ 15 million for the year ended 31 December 2022 primarily due to net fair value losses and relatively higher financing costs as described above.

RISK MANAGEMENT

The major risks to which IFFIm is exposed, as identified by the trustees, have been reviewed and systems or procedures have been established to manage these risks. IFFIm has two main areas of risk: financial risks and operational risks.

Report of the Trustees and Annual Financial Statements 16

IFFIm’s ability to make principal and interest payments to investors, and programme payments to Gavi, depends primarily on receipt by IFFIm of payments from Grantors under the grant agreements. IFFIm does not have any other significant sources of funds available to meet these obligations. In connection with this risk, each Grantor has represented and warranted to IFFIm, and to the other parties to IFFIm’s Finance Framework Agreement, that the grant agreement to which it is a party constitutes valid and legally binding obligations of that Grantor. IFFIm has experienced occasional payment delays by some Grantors, which are administrative in nature. These delays have not been material and have not adversely affected IFFIm’s credit ratings nor IFFIm’s financial condition.

IFFIm’s bond issuances are managed against the present value of expected future cash flows from Grantor pledges, in view of the Grant Payment Condition (“GPC”) and other credit factors. As described in Notes 1 and 16 to the consolidated financial statements, the GPC allows the Grantors to reduce their payments to IFFIm if an IFFIm-eligible country falls into protracted arrears on its obligations to the IMF. IFFIm only raises bonds against a percentage of the present value of Grantor pledges. The residual, which is still available to IFFIm over time, creates a cushion to protect bond holders against adverse credit events such as many IFFIm-eligible countries falling into protracted arrears to the International Monetary Fund (“IMF”). The cushion is a percentage of the present value of Grantor pledges, and is established through the Gearing Ratio Limit (“GRL”) model. As of 31 December 2022, the GRL model had established that, at a triple-A equivalent confidence level, 73.8% of the present value of Grantor pledges may be used to support the issuance of IFFIm bonds. As of 31 December 2022, the fair value of IFFIm’s outstanding bonds, net of bond swaps, cash and investments, was 49% of the present value of its Grantor pledges net of pledge swaps.

The World Bank continues to have the right to call for collateral, above a specified threshold amount, to protect against its exposure on IFFIm’s derivative positions under the terms of the Credit Support Annex (“CSA”) to the International Swaps and Derivatives Association (“ISDA”) Agreement between IFFIm and the World Bank. The World Bank has not exercised this right. To mitigate the risk that the World Bank may call collateral, an agreement is in place between the World Bank and IFFIm to apply an additional buffer to the gearing ratio limit to manage the World Bank’s exposure under the derivative transactions between IFFIm and the World Bank (the “Risk Management Buffer”). The Risk Management Buffer may be adjusted by the World Bank in its sole discretion. In May 2020, the World Bank recalculated and reset the Risk Management Buffer to 0% from the previous value of 12% following the execution of a swap re-couponing transaction in the amount of US$ 200 million, which reduced the World Bank’s exposure on IFFIm’s derivative positions by the same amount and enabled the World Bank to intermediate new swaps for IFFIm. As of 31 December 2022 and 2021, the Risk Management Buffer was 0% of the present value of expected future cash flows from Grantor pledges.

The World Bank, as IFFIm’s Treasury Manager, continues to monitor IFFIm’s funding needs to always ensure that IFFIm maintains sufficient available resources to be able to meet its financial obligations, including debt-service payments and obligations under the CSA and ISDA Agreement. Note 14 to the consolidated financial statements describes IFFIm’s liquidity risk and related risk management activities in more detail.

Report of the Trustees and Annual Financial Statements 17

The programme performance risk is mitigated through the Gavi programme monitoring process, which is a multi-step monitoring and evaluation process that includes an initial project assessment and approval, as well as annual monitoring reviews.

The programme risk related to misuse of funds is addressed by management controls and audit processes put in place at Gavi. Gavi has identified cases of misuse of funds in 39 countries since 2009. The estimated total Gavi funds misused in these countries since 2009 is US$ 44.5 million, which is approximately 0.16% of total funds disbursed by Gavi during that period. This includes cases of misuse estimated at US$ 0.1 million, which were identified through audit processes that were finalised during 2022. Gavi has a zerotolerance policy with respect to misuse of funds and actively works to bring all these identified cases to resolution and recover the misused funds from the countries. To date, a total of US$ 41.9 million in misused funds has been scheduled for reimbursement to Gavi and resulted in actual reimbursements of US$ 39.1 million from the countries, which represents a recovery rate of 93.2%. IFFIm funds have been used in only certain instances of misuse in 19 countries. It is estimated that approximately US$ 22.1 million of the misuse identified above relates to funds provided by IFFIm, with a recovery rate of 100% against amounts scheduled for reimbursement to Gavi.

As described in the Structure, Governance and Management section of this report, IFFIm’s Audit Committee monitors the effectiveness of IFFIm’s risk management and internal grant monitoring systems.

Considering the ongoing conflict between Russia and Ukraine and its global impact on economic activity and financial markets, management has assessed the potential impact of the conflict on IFFIm’s financial position, performance, and its ability to continue meeting its obligations. IFFIm’s sovereign pledges are legally binding contractual obligations, its investments are maintained under a conservative investment strategy, and all its outstanding bonds are fixed rate instruments, which are less susceptible to market volatility. IFFIm uses swaps to mitigate against interest rate and foreign exchange rate risks, which are the key market risks to which IFFIm’s sovereign pledges and bonds payable are exposed. There is potential impact to the fair value of IFFIm’s sovereign pledges, and associated cash flows, with respect to the GPC, which is a key variable in the valuation of IFFIm’s sovereign pledges. The calculation of the GPC includes assessments of the risk that IFFImeligible recipient countries may fall into arrears to the IMF, which, among other factors, considers macroeconomic performance and a geopolitical assessment. As of 31 March 2023, there were no countries in protracted arrears to the IMF. Considering all these factors, management does not expect that IFFIm’s overall financial position and performance will be significantly impacted by the adverse effects of the conflict and IFFIm has measures in place to ensure it maintains sufficient liquidity and capacity to meet its obligations as they fall due and continue undertaking its business activities on an ongoing basis. Management does acknowledge the risk of increased market volatility due to the conflict and the potential challenges it may involve.

Management has considered the prevailing environment with rising interest rates and inflation and any potential impact to IFFIm’s financial position and performance. As described above, IFFIm has measures in place to mitigate its key market risks - interest rate and foreign exchange rate risks. Accordingly, management does not expect that IFFIm’s overall financial position and performance will be significantly impacted by the rising interest rates and inflation.

Following the recent stress in the banking sector, management has assessed any impact to IFFIm and determined that IFFIm has no exposure and does not foresee any potential impact to IFFIm. IFFIm’s cash and funds held in trust have no exposure to the affected institutions and its other significant assets – sovereign pledges and derivatives – are also not impacted. Management has considered the potential risk of a credit crunch and slowdown in the global economy as a result of banking sector stress. Any potential impact to IFFIm’s financial position and its ability to continue meeting its obligations is assessed as low given, as described above, the low risk of non-recoverability of IFFIm pledges, the hedging of any fair value losses, and its ability to maintain minimum liquidity.

Report of the Trustees and Annual Financial Statements 18

Credit Rating and Reserves Policy

Based on factors such as the strength of its financial base, its conservative financial policies, and the strong support of the Grantors, IFFIm’s Global Debt Issuance Programme is rated AA- by Fitch Ratings, Aa1 by Moody’s Investor Service, and AA by Standard and Poor’s Ratings Service. In the fourth quarter of 2022, the three credit rating agencies revised their outlook on IFFIm from stable to negative following similar revisions in outlook for the United Kingdom and the Republic of France who are major Grantors to IFFIm.

IFFIm seeks to maintain an adequate level of liquidity to meet its operational requirements, provide predictability of programme funding and support its credit rating. Taking these factors into account, IFFIm maintains a minimum liquidity equivalent to its cumulative contracted debt service payments for the next 12 months. This minimum liquidity level is recalculated and reset on a quarterly basis. As of 31 December 2022 and 2021, the calculated minimum liquidity was US$ 576 million and US$ 99 million, respectively, and the value of IFFIm’s Liquid Assets was US$ 1 billion and US$ 615 million, respectively. The Liquid Assets that are in excess of minimum liquidity are primarily used by IFFIm to fund programme disbursements to Gavi.

Hedging Market Risks

The majority of IFFIm sovereign pledges and some of its bonds payable are denominated in currencies other than the United States dollar. Therefore, IFFIm is exposed to the risk of financial loss or unpredictable cash flows resulting from fluctuations in foreign exchange rates. Since all IFFIm’s programme expenses are incurred in United States dollars and predictability of funding is essential to Gavi’s mission, IFFIm has entered into currency swap contracts with counterparties to mitigate the aforementioned risks. Under these contracts, IFFIm has effectively swapped foreign currency receipts from Grantors and payments to bond holders with United States dollar receipts from, and payments to, its swap counterparties.

In addition to the abovementioned foreign exchange risks, IFFIm is also exposed to potential adverse changes in the value of its sovereign pledges and bonds payable resulting from fluctuations in interest rates. To mitigate this risk, IFFIm has entered into interest rate swap contracts with the World Bank. Under these contracts, IFFIm has effectively swapped sovereign pledges into dollar floating rate receivables from the World Bank and bonds payable into floating rate payables to the World Bank.

The following table shows IFFIm’s fair value adjustments, including interest expense, for the years ended 31 December 2022 and 2021, before and after the impact of IFFIm’s currency and interest rate swaps:


swap contracts with the World Bank. Under these
ges into dollar floating rate receivables from the
es to the World Bank.
, including interest expense, for the years ended 31
f IFFIm’s currency and interest rate swaps:
2022
2021
Pledges
Bonds
Pledges
Bonds
Fair value (losses) gains, including interest expense, before
impact of swaps
Gains(losses)on currencyand interest rate swaps		 (474)
133
(126)
23
393
(124)
180
(19)
Net fair value (losses) gains, including interest expense, after
impact of swaps		 (81)
9
54
4

As described in Note 1 to the consolidated financial statements, IFFIm has elected not to apply hedge accounting. Therefore, the fair value gains and losses on currency and interest rate swaps are recognised in full without any offsetting.

As shown above, IFFIm recorded fair value losses on pledges and fair value gains on pledge swaps in 2022 due to several factors as discussed below. The following table further analyses fair value adjustments on pledges and pledge swaps:

2022
2021
Pledges
Pledge
Swaps
Total
Pledges
Pledge
Swaps
Total
Fair value gains due to GPC Fair
Value Adjustment
Interest rate fair value (losses)
gains
Foreign currency fair value
(losses) gains
Net credit valuation adjustment		 37
-
37
71
-
71
(286)
223
(63)
(94)
68
(26)
(225)
184
(41)
(103)
112
9
-
(14)
(14)
-
-
-
Net fair value(losses) gains (474)
393
(81)
(126)
180
54

Each component of fair value adjustments on pledges and pledge swaps is discussed below:

• Fair value gains due to GPC Fair Value Adjustment: When calculating the fair values of Grantor pledges, the expected future cash inflows from Grantors are reduced by an estimated percentage due to the GPC (the “GPC Fair Value Adjustment”). The GPC Fair Value Adjustment is calculated by the World Bank using a probabilistic model, which estimates the likelihood and duration that any implementing country might fall into arrears with the IMF over the life of the Grantor pledges. During 2022, the GPC Fair Value

Report of the Trustees and Annual Financial Statements 19

Adjustment decreased from 7.40% to 7.20%, a relatively smaller change compared to the decrease during 2021 from 8.72% to 7.40%. These decreases resulted in fair value gains on pledges. Additional gains with respect to the GPC Fair Value Adjustment were realised when Grantor payments were received and recorded by IFFIm. No actual GPC reduction was applied to Grantor payments received in 2022 as there were no reference portfolio countries in protracted arrears to the IMF, which resulted in fair value gains. The spread between the actual GPC reduction and the GPC Fair Value Adjustment and the decrease in the GPC Fair Value Adjustment, as described above, resulted in fair value gains on pledges of US$ 37 million in 2022. These gains were relatively smaller than gains of US$ 71 million in 2021 due to the relatively smaller movement in the GPC Fair Value Adjustment in 2022 as described above.

As shown above, IFFIm recorded fair value losses on bonds and bond swaps due to several factors as discussed below. The following table further analyses fair value adjustments on bonds and bond swaps:

In Millions of US$ 2022
2021
Bonds
Bond
Swaps
Total
Bonds
Bond
Swaps
Total
Interest (expense) income
Interest rate fair value gains
(losses)
Foreign currency fair value gains
(losses)
Net debit valuation adjustment		 (20)
(22)
(42)
(8)
4
(4)
128
(108)
20
16
(17)
(1)
25
(4)
21
15
(6)
9
-
10
10
-
-
-
Net interest and fair value gains
(losses)		 133
(124)
9
23
(19)
4

Each significant component of fair value adjustments on bonds and bond swaps is discussed below:

Report of the Trustees and Annual Financial Statements 20

SECTION 172 (1) STATEMENT

This statement describes how the Board of Directors (the “Board” and the “Directors”, respectively) of the International Finance Facility for Immunisation (“IFFIm”) fulfil their obligations under section 172 of the Companies Act 2006. All directors of the company must act in the way they consider, in good faith, would be most likely to promote the success of the company for the benefit of its shareholders as a whole and, in doing so have regard (amongst other matters) to:

(the “s.172 (1) matters”).

Principal Activity and Board Approach

IFFIm is a public benefit entity that provides public benefit through supporting the charitable aims of Gavi, the Vaccine Alliance (“Gavi”). It does not work directly with the public and has no employees. As a registered charity, IFFIm directors promote the effective use of its resources for charitable purposes by providing services and facilities which assist Gavi. All applicable s.172 (1) matters are duties owed by each director personally. Board induction materials provided upon appointment include an explanation of directors’ duties and the Companies Act 2006.

In relation to the Board’s obligations to s.172 (1) matters, the Directors have agreed to consider the impact of its decisions on four identified key stakeholders. They are: investors, Grantors, the World Bank, and Gavi. The Board engages with these stakeholders by various means and address matters which concern them, both within board meetings and through other reports and engagements. The board receives regular reports, including strategic updates, financial performance, business updates, regulatory updates, legal matters, risk, and Gavi programmatic updates.

The Board also gives consideration of s.172 (1) matters in board meeting papers, encouraging authors to identify the interests of key stakeholders in the topic under discussion and clearly demonstrating how recommendations for decisions and requests for guidance put forward to the Board have taken stakeholder interests and other s.172 (1) matters into account. Stakeholder interests are considered prior to principal decisions being taken by the Board, often with IFFIm’s stakeholders routinely participating directly in board meeting discussions.

High Standards of Business Conduct and Culture

The Board has a Board Charter and Code of Conduct which sets out the main principles relevant to IFFIm and its Directors in order to develop, implement and maintain a culture and standard of good corporate governance. The matters set out in the Charter are subject to the Companies Act 2006, charities’ legislation and regulations, and IFFIm’s statutes. Incorporated into the Charter are formal procedures to help ensure that IFFIm and the Board act in a transparent and dutiful manner, along with criteria against which IFFIm’s stakeholders can assess the performance of IFFIm from a corporate governance perspective.

Compliance with section 172 of the Companies Act 2006 is largely evidenced by IFFIm’s board minutes and accompanying reports presented to the Board. In addition to the annual consolidated financial statements, IFFIm produces an IFFIm resource guide and updates its website and issues press releases and newsletters on a regular basis.

IFFIm’s Directors are invited to attend meetings of the Gavi Board and are routinely available to meet with Grantors, investors and other stakeholders. The Board also meets with Grantors and conducts bilateral discussions separately as appropriate. Directors relay feedback from stakeholder engagements in board meetings and in monthly informal virtual meetings. The World Bank and Gavi Secretariat participate in all IFFIm board meetings. Gavi’s board secretary or delegated representative also attends all board and audit committee meetings and fulfils the role of company secretary envisaged under section 172.

Stakeholder Engagement

IFFIm’s financing model for global health is built upon partnerships with Grantors, private investors, the World Bank, and Gavi, which is why IFFIm considers these to be the key stakeholders. IFFIm receives longReport of the Trustees and Annual Financial Statements 21

term, legally binding pledges from Grantors and, with the help of the World Bank, converts these pledges into immediately available cash resources through the issuance of bonds. Money raised by IFFIm through bond issuances provides immediate funding for Gavi’s immunisation programmes.

Investors: The Board engages with bond holders as circumstances require although engagement is generally conducted through the World Bank in its capacity as IFFIm’s treasury manager. The Board receives reports on investor engagement regularly and there is disclosure to investors through bond issuances, and the annual update of IFFIm’s prospectus listed with the Luxembourg Bourse.

Grantors: The Board routinely engages with the sovereign government donors funding IFFIm. The Board receives reports on donor engagement regularly, hosts donor meetings and engages in calls with the donor community as appropriate.

World Bank: The World Bank is IFFIm’s treasury manager and actively engages with IFFIm’s board and audit committee and the Gavi Secretariat in relation to IFFIm. The treasury manager provides routine reports to the Board.

Gavi: Gavi is the sole member of IFFIm. The Gavi Secretariat actively participates in all meetings of the Board and audit committee. Gavi’s Chief Executive Officer regularly participates in meetings of the Board, as an observer, and Directors routinely participate in Gavi Board meetings also in an observer status. The Gavi Board is comprised of representative members from donors, implementing countries, multilateral development agencies, and civil society, as well as experts from the pharmaceutical industry and research and technical health communities.

Key Decisions of the Company

The Board routinely seeks to ensure the interests of its key stakeholders are considered in its decision-making processes recognising that these stakeholders may have differing views on decisions taken by the Board. The World Bank and Gavi Secretariat participate in every IFFIm board meeting and interests of Investors and Grantors are discussed routinely in each meeting. The impact of decisions and choices taken by the Board are routinely evaluated in the relevant papers submitted to the Board for guidance or decision and recorded in the board minutes accordingly.

Key decisions made by the Board during 2022 include:

In 2022, IFFIm executed two bond issuances to support Gavi programmes. IFFIm executed a GBP benchmark bond in July 2022 raising £ 250 million. The transaction was the second in the UK market, following an inaugural issue in 2009. In October, IFFIm returned to the USD market raising an additional US$ 500 million with a three-year fixed rate benchmark bond. The Board sought advice and expertise from the World Bank to carry out the related transactions. The Board weighed investment costs against the benefits to Gavi and sought alignment of investor interests and Gavi’s urgent funding needs which taken together influenced the Board’s decision on how to structure the two transactions. The Board’s actions helped provide immediate funding to support equitable and rapid access of vaccines to developing countries (see Recent Developments below).

Report of the Trustees and Annual Financial Statements 22

Consequences of decisions in the long term .

The Board takes a long-term approach to its decision-making to ensure IFFIm can deliver on its strategy of providing flexible, long-term financing to Gavi. It sets an annual strategy and assesses progress against corresponding deliverables at every board meeting. The Board also regularly engages in risk management to understand long-term implications of its actions and decisions. The IFFIm risk framework is reviewed and discussed at every board meeting.

Impact on the Community and Environment

IFFIm is a public benefit entity that supports the charitable aims of Gavi, the Vaccine Alliance. IFFIm accelerates the delivery of vaccines by making the money from long term government donor pledges available immediately. Through this funding mechanism, IFFIm has helped Gavi to immunise more children sooner and has made vaccines more widely available. By creating a larger market and by stimulating greater competition from manufacturers, Gavi has played a notable role in driving down the cost of vaccines for lower-income countries since 2000.

As described in the Achievements and Performance section of this report, IFFIm has considered its energy use and obligations to disclose relevant information on energy and carbon reporting. With no physical offices and considering the nature of outsourced operations at the World Bank and Gavi, any energy use attributable to IFFIm would be impractical to obtain.

RECENT DEVELOPMENTS

In January 2023, IFFIm completed the transfer of its securities from the main regulated market of the Luxembourg Stock Exchange (“LuxSE”) to the Euro MTF, the LuxSE’s exchange-regulated market. The transfer provides IFFIm with cost savings and eliminates the administrative burden of incremental reporting requirements on the main regulated market of the LuxSE, which IFFIm was required to comply with following the United Kingdom’s withdrawal from the European Union. Following the transfer, IFFIm is no longer required to prepare interim and annual financial statements in accordance with International Financial Reporting Standards (“IFRS”) as was previously required to comply with reporting obligations as an issuer of securities admitted to trading on a regulated market in the European Union. Accordingly, IFFIm did not prepare annual financial statements in accordance with IFRS for the year ended 31 December 2022 and will not do so going forward.

In March 2023, Canada became IFFIm’s eleventh sovereign donor with a new sovereign pledge to IFFIm in the amount of C$ 125 million, which will be payable over a period of seven years.

In March 2023, IFFIm issued a new indicative funding confirmation of US$ 434.8 million to support Gavi’s core programmes and disbursed the full amount to Gavi.

Considering recent and ongoing global economic developments, management has assessed (1) the ongoing conflict between Russia and Ukraine and its global impact on economic activity and financial markets, (2) the rising interest rates and inflationary environment, and (3) the recent stress in the banking sector. Management has assessed the potential impact of these developments on IFFIm’s financial position, performance, and its ability to continue meeting its obligations. Details of management’s assessment are included in the Risk Management section of this report. Management does not expect that IFFIm’s overall financial position and performance will be significantly impacted by the adverse effects of these developments and IFFIm has measures in place to ensure it maintains sufficient liquidity and capacity to meet its obligations as they fall due and continue undertaking its business activities on an ongoing basis. Management does acknowledge the risk of increased market volatility and the potential challenges it may involve.

FUTURE PLANS

IFFIm has proven very successful in helping to align Grantor pledges with demand for vaccines and immunisation related services. The multi-year nature of current sovereign pledges has also helped to facilitate long-term planning by Grantors, Gavi and implementing countries. IFFIm continues to engage with Gavi and Grantors to develop potential future roles that deliver significant value to Gavi in achieving its broader strategic goals for the current 2021-2025 strategic period and beyond.

IFFIm and Gavi are currently working together, in consultation with Grantors and the World Bank, to develop a contingent financing mechanism within the existing IFFIm framework, which would be designed to support immediate access to vaccines by lower-income countries in emergency situations such as pandemics.

Report of the Trustees and Annual Financial Statements 23

DECLARATIONS BV IFFIM DIRECTORS In accordance with seciion 418 of the Companies Act 2006, each person who is a dsrector of IFFIM at the date of approval of this report confirms that.. 50 lar a5 he or She is aware, there is no relevant audit inlorrnation of which IFFIrn'5 auditor is unaware, and he or she has taken all the Steps that he or She ought to have taken as a director in order to make himsell or herself aware of any relevarit audit inforrnation and io establish that IFFITn'5 audittsr is aware of that inforfflation. This confirmation is given and should be interpreted in accordance with Section 418 of the Companies Art 2006. So far as each of the trustees is aware, applicable accounting standard5 have been lollowed. INDEPENDENT AUDITOR Deloitte LLP have expressed their willingness io continue in off ice as audltor and approprlate arrangernents have been put in place for them to be deemed reappointed a5 auditor in the absence of an Annual General Meeting. Thls rÈport has been prepar¢d Ih a¢¢ordan¢¢ wlth the Statement ofRerommendedPrattAte.'Accounllng•nd Repvrtln9by Chorl¢les(Ch•rieiesSORP(FR5 102JJ. {setondedlilpn-Ortobor2019J, and in oc¢ordanre with thè prov551on5 of lh• Companle5 A<t 2006. Appioved by th• trust¢es and slyned on thèlr beh•l1 by: Kenneth Lay FFIM Board 2 June 2023 Bertrand de Mazières Audli Committee Chalr 2 June 2023 halr Report of the Trustees and Annual Financial Statements 24

CONSOLIDATED FINANCIAL STATEMENTS YEAR ENDED 31 DECEMBER 2022

Report of the Trustees and Annual Financial Statements 25

CONSOLIDATED STATEMENT OF FINANCIAL ACTIVITIES

Year Ended Year Ended
31 December 31 December
2022 2021
Restricted Restricted
In Thousands of US$ Note Funds Funds
Income from:
Contribution revenue 2 541,226 719,784
Donated services 2 986 942
Investments 3 11,340 667
Total income 553,552 721,393
Expenditure on:
Raising funds 4 24,721 12,274
Charitable activities 4 492,297 1,451,849
Total expenditure 517,018 1,464,123
Net income (expenditure) before gains and losses 36,534 (742,730)
Net fair value (losses) gains on pledges, bonds, and swaps 5 (51,921) 64,282
Net movement in funds (15,387) (678,448)
Reconciliation of funds:
Total funds as of the beginning of the year 1,614,160 2,292,608
Total funds as of the end of the year 1,598,773 1,614,160

The accompanying notes are an integral part of these financial statements.

All incoming resources and resources expended derive from continuing operations and there are no gains or losses other than those included in this statement.

Report of the Trustees and Annual Financial Statements 26

CONSOLIDATED STATEMENT OF INCOME AND EXPENDITURES

Year Ended Year Ended
31 December 31 December
2022 2021
Restricted Restricted
In Thousands of US$ Note Funds Funds
Turnover
Contribution revenue 2 541,226 719,784
Operating expenses
Programme grants 4 490,000 1,449,478
Treasury manager’s fees 4 2,893 2,255
Governance costs 4 2,297 2,371
Total operating expenses 495,190 1,454,104
Other operating income
Donated services 2 986 942
Total other operating income 986 942
Net operating income (expenses) 47,022 (733,378)
Financing and investment income (expenses)
Financing income (expenses) on bonds and bond swaps:
Net fair value gains on bonds and bond swaps 5 28,484 11,645
Interest expense on bonds 4 (19,645) (7,885)
Net financing income on bonds and bond swaps 8,839 3,760
Other financing income (expenses):
Net fair value (losses) gains on pledges and pledge swaps 5 (80,802) 54,030
Other foreign exchange gains (losses) 5 397 (1,393)
Other financing charges 4 (2,183) (2,134)
Net other financing (expenses) income (82,588) 50,503
Investment income:
Investment and interest income 3 11,340 667
Total financing and investment (expenses) income (62,409) 54,930
Deficit for the year (15,387) (678,448)

The accompanying notes are an integral part of these financial statements.

Report of the Trustees and Annual Financial Statements 27

BALANCE SHEETS Asof 31 December Asol 31 December 1021 Groyp and P4rethi Company In Thousands of USS Sovereign pledges due after more than one year Derivative linanc¢al instrtsments due after more than Or￿ yeJr Toial fixed assets 2.466.778 446.875 2.913.653 2.882,001 150,087 3.032,088 Sovereign pledge5 due within one year Derivative Itnancial instruments due wilhin one year Prepayments Fund5 held in trust 484.030 554.S64 502 294 35 I.IXJS.115 26,784 603.383 11.677 Cash Ttstal current assets 1.515,964 1.170.420 Creditors falling due within one year DerivatlVE linancial instruments dve within one year 612.419 2.393 614.812 901,152 3.814.805 495.511 2,245 497.756 672.664 3,704.752 Net <urrent assets Total assets less current liabilities Creditor5 lalling due after rnore than one year Derivative linancial instruments due Jfter more than one year Toial liabilities dye after more than one year io 1.858.889 357.143 2.216.032 1.746,222 344.370 2,090,592 Net a55ets 1.598.773 1,614.160 Restricted funds 1,598,773 1,614,160 Th* actompanylny notes •r• •n Int•9r4 p•rt tslthw finand•l stst¢m•ntk The parent company'5 results were a defidl of USS 15 mmllon and a delklt of USS678 rn1115on for the years ended 31 Decembtr 1021 and 2011. r•sp¢cll¥•ty. Approved and authorlsed tor Issue by th¢lrnt¢u and slgned on thelr behalf by. efineth Lay IFFlrn Board Chalr ¢rtrattd e Mazlèr¢s Audit Cornmittee Chalr 2 June 2023 ljtsne 2023 Ileg￿tered wmpany nymbeT 5857343 Report ol the Trustees and Annval Finanual Stalements 28

CONSOLIDATED STATEMENT OF CASH FLOWS

Year Ended Year Ended Year Ended
31 December 31 December
2022 2021
Restricted Restricted
In Thousands of US$ Note Funds Funds
Cash flows from operating activities
Net cash used in operating activities (295,907) (826,833)
Cash flows from investing activities
Investment and interest income received 3 11,340 667
Increase in funds held in trust 17 (401,732) (124,928)
Net cash(used in)investingactivities (390,392) (124,261)
Cash flows from financing activities
Proceeds from bond issuances 17 798,685 993,141
Redemption of bonds 17 (86,278) (37,608)
Interestpaid on bonds 17 (12,233) (5,953)
Net cashprovided byfinancingactivities 700,174 949,580
Net change in cash 13,875 (1,514)
Cash as of the beginning of the year 11,677 13,906
Effect of exchange rate changes 1,232 (715)
Cash as of the end of the year 26,784 11,677
Reconciliation of net change in funds to net cash flows from operating activities:
In Thousands of US$ 2022 2021
Net change in funds (15,387) (678,448)
Adjustments for:
Investment and interest income (11,340) (667)
Bond interest expense 19,645 7,885
Bond issuance costs 1,047 1,457
Fair value losses on sovereign pledges 473,976 125,648
Fair value gains on bonds (152,336) (30,541)
Unrealised (gains) losses on cash balances (1,232) 715
329,760 104,497
Initial fair value of pledges (541,226) (719,784)
Payments received from donors 553,007 443,356
Decrease (increase) in prepayments and amounts due from related parties 259 (251)
Decrease in amounts due under derivative financial instruments (283,365) (211,199)
Increase (decrease) in trade creditors and amounts due to related parties1 46 (82)
(Decrease) increase in grants payable (339,001) 235,078
Net cash used in operating activities (295,907) (826,833)

1Trade creditors are comprised of amounts due to service providers.

The accompanying notes are an integral part of these financial statements.

Report of the Trustees and Annual Financial Statements 29

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS

1. SIGNIFICANT ACCOUNTING POLICIES

The International Finance Facility for Immunisation Company (“IFFIm”) is a private company limited by guarantee and incorporated and domiciled in the United Kingdom. The GAVI Alliance (“Gavi”) is the sole member of IFFIm and exercises direction over the timing and extent of IFFIm’s fundraising and programme disbursement activities. Gavi’s mission is to save children’s lives and protect people’s health by increasing equitable use of vaccines in lower-income countries. Gavi is domiciled in Switzerland and is recognised as an international institution under the Swiss Host State Act. Its principal address is Chemin du Pommier 40, 1218 Grand-Saconnex, Geneva, Switzerland. Gavi’s Annual Financial Reports, including its Consolidated Financial Statements, are published on its website: https://www.gavi.org/news-resources/document-library/financialreports.

The principal accounting policies of IFFIm are summarised below. These accounting policies were consistently applied from prior years. IFFIm’s consolidated financial statements have been prepared on a going concern basis and approved by its trustees in accordance with applicable law and United Kingdom Generally Accepted Accounting Standards. As IFFIm’s credit rating is AA, the World Bank has the right to call for collateral, above a specified threshold amount, and protect its derivative exposure to IFFIm. However, following discussions and agreement with the World Bank, the World Bank has confirmed that it will not call collateral over at least 12 months from the date of approval of these consolidated financial statements, which could cause IFFIm to be unable to meet its required financial obligations. Furthermore, following Gavi’s confirmation, IFFIm continues to maintain the ability to defer grant payments to Gavi to the extent that this is required for IFFIm to meet other obligations as they fall due within the next 12 months. Therefore, the trustees concluded that the going concern basis of accounting is appropriate because there are no material uncertainties related to events or conditions that may cast significant doubt about IFFIm’s ability to continue as a going concern.

Basis of Accounting: The consolidated financial statements are prepared:

Basis of Consolidation: A subsidiary is an entity controlled by a group. Control exists when a group has the power, directly or indirectly, to govern the financial and operating policies of an entity to obtain benefits from its activities. The financial statements of a subsidiary are included in the consolidated financial statements from the date that control commences until the date that control ceases. Intragroup balances, and any gains and losses or income and expenses arising from intragroup transactions, are eliminated in preparing the consolidated financial statements. Unrealised losses are eliminated in the same way as unrealised gains, but only to the extent that there is no evidence of impairment.

IFFIm has control over IFFIm Sukuk Company III Limited (“IFFImSC III”), a Cayman Islands company with limited liability. IFFImSC III was incorporated on 5 March 2019 under the Companies Law (2013 Revision) of the Cayman Islands with company registration number 348825. IFFImSC III was established for the sole purpose of issuing sukuk certificates in support of IFFIm’s operations and its activities conducted on behalf of IFFIm and according to IFFIm’s business needs. IFFIm is the primary beneficiary of IFFImSC III, bearing a significant level of risk incidental to its activities, and retaining residual or ownership risk related to the entity or its assets. Therefore, these consolidated financial statements include the accounts of IFFImSC III. As of 31 December 2022, IFFImSC III had cash of US$ 250, share capital of US$ 250, and retained earnings of US$ 0, which are included in the group balance sheet but not included in the parent company balance sheet. The company has elected to take the exemption under section 408 of the Companies Act 2006 not to present a separate parent company statement of income and expenditures. The parent company’s deficit for the year ended 31 December 2022 was US$ 15 million.

IFFImSC III’s balances, income, and expenditure, except for cash of US$ 250 and share capital of US$ 250, are eliminated upon consolidation in these consolidated financial statements. Therefore, the balances, income

Report of the Trustees and Annual Financial Statements 30

and expenditure reported in these consolidated financial statements also represent IFFIm’s parent company results and financial position.

Contribution Revenue: Income received by way of contributions and grants that are for a defined portfolio of programme implementing countries or specified purposes is recognised as revenue in the restricted net asset class when there is evidence of entitlement, it can be measured reliably, and receipt is probable. Contributions and grants are reported as contribution revenue at fair value in the year in which payments are received or unconditional promises to give or pledges are made. See Notes 2 and 6 below for more details on revenue calculation and recognition of pledges.

Donated Services: Donated services are included at the value to IFFIm of the service provided.

Charitable Activities: Charitable expenses comprise the direct costs of programmes funded by IFFIm. They are recognised as expenses in the Statement of Financial Activities when indicative funding confirmations to Gavi have been signed by any trustee on behalf of the IFFIm board. Charitable expenses also include support costs and governance costs associated with meeting the constitutional and statutory requirements of IFFIm and include audit fees, legal fees, as well as the costs of providing strategic direction to IFFIm. No support costs are allocated to expenditure on raising funds as such costs are not considered material.

Expenditure on Raising Funds: Any costs of securing the sovereign pledges that are borne by IFFIm are expensed through its Statement of Financial Activities in the periods in which they are incurred. Consequently, IFFIm’s costs of generating funds comprise the treasury manager’s fees, for managing IFFIm’s funds held in trust that generate its investment income and for managing IFFIm’s borrowings that generate the funds IFFIm grants to Gavi for its programmes, and finance charges.

The bond issuance costs are presented as finance charges in the Statement of Financial Activities.

Interest Income and Expense: Investment and interest income is recognised during the period in which it is earned. Interest expense is recognised during the period in which it is incurred.

Sovereign Pledges: Sovereign pledges are recognised as contribution revenue and as receivables upon assignment of donor contributions to IFFIm by Gavi. Sovereign pledges are initially recognised at fair value then subsequently remeasured at fair value as of each reporting date. Gains and losses due to changes in fair market values are reported in fair value gains (losses) in the Statement of Financial Activities. Contribution amounts received from sovereign government donors (the “Grantors”) depend on a Grant Payment Condition (the “GPC”) which allows the Grantors to reduce such amounts. See Note 16 below for details of the GPC.

Funds Held in Trust: Funds held in trust represent IFFIm’s investments in a portfolio maintained by the World Bank in its capacity as IFFIm’s treasury manager. IFFIm’s share in the pooled investment portfolio is measured at fair value on initial recognition, and then subsequently remeasured at fair value at the reporting date in accordance with IAS 39, as permitted by FRS 102. Gains or losses due to changes in fair market values are reported in fair value gains (losses) in the Statement of Financial Activities. See Notes 7 and 16 below for further details.

Cash: Cash consists of cash at depository bank accounts. Cash does not include IFFIm’s pooled investment portfolio, which is presented separately as funds held in trust in the Balance Sheets.

Derivative Financial Instruments: IFFIm uses derivatives to manage its assets and liabilities. In applying IAS 39, as permitted by FRS 102, IFFIm has elected not to apply hedge accounting. Derivative financial instruments are accounted for at fair value. Changes in the fair values of derivatives are recognised as changes in restricted net assets in the years of the changes and reported in fair value gains (losses) in the Statement of Financial Activities. Derivative contracts with positive fair values are recognised as financial assets while those with negative fair values are recognised as financial liabilities. Derivative assets and liabilities are not offset in the Balance Sheet when there is no legally enforceable right or intention to do so.

As detailed in Note 8 to the consolidated financial statements, as of 31 December 2022, derivative financial instruments include the effects of a swap re-couponing transaction. IFFIm evaluated the transaction and determined that it resulted in a hybrid financial instrument comprised of the amended swap contracts as an embedded derivative and the modified cash flows corresponding to a separate financial instrument as the host. As permitted by IAS 39, IFFIm elected to designate the entire hybrid instrument as a financial instrument through profit or loss. As both components of the hybrid instrument have closely related economic characteristics and risks, they are not separated in IFFIm’s financial statements and are reported as part of derivative financial instruments as the principal cash flows are primarily related to the embedded derivative component.

Report of the Trustees and Annual Financial Statements 31

Bonds Payable: Bonds payable are recognised at fair value at the time of issuance and subsequently remeasured at fair value at each reporting date. Bonds payable have been elected to be fair valued as IFFIm manages all its assets and liabilities on a fair value basis. The bond issuance costs are written off in the year of issue and reported in expenditure on raising funds in the Statement of Financial Activities. Gains or losses due to changes in fair market values are reported in fair value gains (losses) in the Statement of Financial Activities. As IFFIm’s bonds payable are measured at fair value with changes in fair value recognised in the income statement, bond issuance costs are expensed as incurred.

Grants Payable: Grants payable are initially recognised at board approved amounts when an indicative funding confirmation to Gavi has been signed by one of IFFIm’s trustees on behalf of the IFFIm board. They are subsequently remeasured at amortised cost where settlement is delayed and the effect of the time value of money is material.

Classification of Current and Non-Current Assets and Liabilities: Sovereign pledges and derivative financial assets are classified in the Balance Sheet as current assets when they are due to be received or settled within a period of 12 months or less after the reporting date. They are classified as fixed assets when they are due to be received or settled after more than 12 months after the reporting date. Bonds payable, grants payable, and derivative financial liabilities are classified in the Balance Sheet as current liabilities when they fall due within a period of 12 months or less after the reporting date. They are classified as liabilities due after more than one year when they fall due after more than 12 months after the reporting date.

Funds: Funds, revenues, gains, and losses are classified based on the existence of Grantor-imposed restrictions. IFFIm receives its funding from Grantors or by raising funds by borrowing in worldwide capital markets. Proceeds are used to fund Gavi programmes for a defined portfolio of eligible countries or specified purposes. Therefore, all funds are treated as restricted funds. Where a Grantor requests funds be made available to a specific Gavi programme, this further restriction is maintained. There are currently no unrestricted or designated funds. See Note 16 below for IFFIm’s defined portfolio of eligible countries.

Foreign Currency Remeasurement: The consolidated financial statements are presented in United States dollars which is IFFIm’s functional and reporting currency. All financial assets are monetary assets. As such, foreign currency transactions are translated into the functional currency using the exchange rates in effect on the dates on which they occur. Exchange gains and losses arising on settled transactions are included in other incoming funds in the Statement of Financial Activities. Gains and losses on the translation of foreign currency denominated assets and liabilities at year end exchange rates are included in fair value gains (losses) in the Statement of Financial Activities.

Use of Estimates: The preparation of the consolidated financial statements in conformity with United Kingdom accounting standards involves the use of estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the consolidated financial statements and the reported amounts of the revenues and expenses during the year. Actual results could differ from these estimates. Significant estimates and judgements are used in determining the fair values of IFFIm’s sovereign pledges receivable, bonds payable, and derivative financial instruments. The natures of these significant estimates and judgements are described in Notes 16 and 20 below.

2. CONTRIBUTION REVENUE

Contribution Revenue: Grantors have entered into legally binding obligations (“Grantor pledges”) to make scheduled grant payments to Gavi over periods of up to 20 years. Gavi has assigned the right to receive these grant payments to IFFIm in consideration for IFFIm’s agreement to assess for approval programmes presented to IFFIm by Gavi, and to use its reasonable endeavours to raise funds for such programmes if approved.

Report of the Trustees and Annual Financial Statements 32

The details of the grant obligations entered into by the Grantors are as follows:

Payment Grant Amount, Grant Amount, Grant Amount, in
Grantor Grant Date Period in Thousands Thousands of US$1
Commonwealth of Australia 28 March 2011 19 years A$ (AUD) 250,000 169,950
Commonwealth of Australia2 3 June 2016 5 years A$ (AUD) 37,500 25,493
Commonwealth of Australia 17 August 2021 8years A$ (AUD) 86,000 58,463
Total – Commonwealth of Australia A$ (AUD) 373,500 253,906
Federative Republic of Brazil 10 October 2018 20 years US$ (USD) 20,000 20,000
Republic of France 2 October 2006 15 years € (EUR) 372,800 398,001
Republic of France 7 December 2007 19 years € (EUR) 867,160 925,780
Republic of France 4 May2017 4years3 € (EUR) 150,000 160,140
Total – Republic of France € (EUR) 1,389,960 1,483,921
Republic of Italy 2 October 2006 20 years € (EUR) 473,450 505,455
Republic of Italy 14 November 2011 14 years € (EUR) 25,500 27,224
Republic of Italy2 30 November 2020 1 month € (EUR) 5,000 5,338
Republic of Italy 1 December 2020 10years € (EUR) 150,000 160,140
Total – Republic of Italy € (EUR) 653,950 698,157
State of the Netherlands2 4 May 2017 4 years US$ (USD) 66,667 66,667
State of the Netherlands2 18 December 2009 7 years € (EUR) 80,000 85,408
State of the Netherlands 17 December 2020 10years € (EUR) 250,000 266,900
€ (EUR) 330,000 352,308
Total – State of the Netherlands 418,975
Kingdom of Norway2 2 October 2006 5 years US$ (USD) 27,000 27,000
Kingdom of Norway2 31 August 2010 10 years Nkr (NOK) 1,500,000 152,400
Kingdom of Norway 15 May 2019 5 years Nkr (NOK) 600,000 60,960
Kingdom of Norway 12 June 2020 10 years Nkr (NOK) 2,000,000 203,200
Kingdom of Norway 18 December 2020 10 years Nkr (NOK) 1,000,000 101,600
Kingdom of Norway 14 July2021 8years Nkr(NOK) 4,000,000 406,400
Nkr(NOK) 9,100,000 924,560
Total – Kingdom of Norway 951,560
Republic of South Africa 13 March 2007 20 years US$ (USD) 20,000 20,000
Kingdom of Spain 2 October 2006 20 years € (EUR) 189,500 202,310
Kingdom of Spain 28 November 2022 13years € (EUR) 100,000 106,760
Total – Kingdom of Spain € (EUR) 289,500 309,070
Kingdom of Sweden2 2 October 2006 15 years Skr (SEK) 276,150 26,621
Kingdom of Sweden 17 August 2021 8.5 years Skr (SEK) 2,250,000 216,900
Kingdom of Sweden 17 August 2021 9years Skr (SEK) 250,000 24,100
Total – Kingdom of Sweden Skr (SEK) 2,776,150 267,621
United Kingdom 2 October 2006 20 years £ (GBP) 1,380,000 1,661,382
United Kingdom 5 August 2010 19 years £ (GBP) 250,000 300,975
United Kingdom 23 December 2020 9 years £ (GBP) 500,000 601,950
United Kingdom 10 June 2022 3years4 £ (GBP) 461,000 554,998
Total – United Kingdom £ (GBP) 2,591,000 3,119,305
Total cumulative Grantorpledges since inception 7,542,515

1 United States dollar equivalent amounts of Grantor pledges at the exchange rates as of 31 December 2022.

2 These grant obligations were fully paid and were not outstanding as of 31 December 2022.

3 Corresponds to a payment period from 31 March 2022 to 31 March 2026.

4 Corresponds to a payment period from 15 October 2026 to 15 October 2029.

Report of the Trustees and Annual Financial Statements 33

Contribution revenue recognised was comprised of:

Contribution revenue recognised was comprised of:
In Thousands of US$ 2022 2021
Initial fair value of pledge received from the Commonwealth of Australia - 55,867
Initial fair value of pledge received from the State of the Netherlands - -
Initial fair value of pledges received from the Kingdom of Norway - 397,910
Initial fair value of pledge received from the Kingdom of Spain 80,823 -
Initial fair value of pledges received from the Kingdom of Sweden - 266,007
Initial fair value ofpledge received from the United Kingdom 460,403 -
Total contribution revenue 541,226 719,784

Donated Services: IFFIm received donated administrative services from Gavi in 2022 and 2021. The services donated by Gavi were valued by using a comprehensive cost allocation model to calculate a single administrative support amount.

The following donated services were recorded as both income and expense and valued at an amount equal to the cost incurred by Gavi:


to the cost incurred by Gavi:
In Thousands of US$ 2022 2021
Administrative support 986 942
Total donated services 986 942
3. INVESTMENT AND INTEREST INCOME
In Thousands of US$ 2022 2021
Income from funds held in trust 11,340 667
Bank account interest - -
Total investment and interest income 11,340 667

Report of the Trustees and Annual Financial Statements 34

4. TOTAL EXPENDITURE

4. TOTAL EXPENDITURE 4. TOTAL EXPENDITURE
In Thousands of US$ 2022
2021
Expenditure on raising funds
Treasury manager’s fees:
Financial operations management
2,893
2,255
Finance charges:
Bond interest expense
19,645
7,885
Other financingcharges
2,183
2,134
Total finance charges
21,828
10,019
Total expenditure on raisingfunds
24,721
12,274
Expenditure on charitable activities
Programme grants:
Country-specific programmes:
New and underused vaccines
556,000
334,400
Health systems strengthening and immunisation services
78,000
-
Investment cases:
Vaccine research and development
-
(3,922)
COVAX
(144,000)
1,119,000
Totalprogrammegrants
490,000
1,449,478
Governance costs:
Professional services:
Consultancy fees
318
269
Gavi administrative support fee
986
942
Legal fees
491
660
Tax compliance services
15
16
Auditor’s remuneration:
Statutory audit
415
475
Other governance costs:
Trustees’ indemnity insurance premiums
(10)
9
Trustees’ meetingand travel expenses
82
-
Totalgovernance costs
2,297
2,371
Total expenditure on charitable activities
492,297
1,451,849

Administrative and Financial Management Support: Pursuant to the Finance Framework Agreement entered into among IFFIm, the Grantors, the World Bank, and Gavi, IFFIm has no employees. IFFIm outsources all administrative support to Gavi, and outsources its treasury function, together with certain accounting and financial reporting support, to the World Bank.

Auditor’s Remuneration: Statutory audit expenses relate to the audit of financial information included in these consolidated financial statements and in the special purpose reporting package prepared by the World Bank in its capacity as IFFIm’s treasury manager. Other financing charges include fees of US$ 52 thousand and US$ 57 thousand that were paid to IFFIm’s auditor in 2022 and 2021, respectively, for services related to IFFIm’s bond issuances.

Trustees’ Expenses: IFFIm’s trustees are not remunerated. They are, however, reimbursed for expenses they incur in attending meetings and performing other functions directly related to their duties as trustees. IFFIm also incurs professional indemnity insurance premium expenses for the trustees. IFFIm had eight trustees as of 31 December 2022 and 2021.

Report of the Trustees and Annual Financial Statements 35

5. FAIR VALUE GAINS AND LOSSES

5. FAIR VALUE GAINS AND LOSSES
In Thousands of US$ 2022 2021
Fair value gains (losses) on bonds and bond swaps
Fair value gains on bonds 152,336 30,541
Net fair value losses on bond swaps (123,852) (18,896)
Net fair valuegains on bonds and bond swaps 28,484 11,645
Fair value gains (losses) on pledges and pledge swaps
Fair value losses on sovereign pledges1 (473,976) (125,648)
Net fair valuegains onpledge swaps 393,174 179,678
Net fair value(losses) gains onpledges andpledge swaps (80,802) 54,030
Other foreign exchangegains(losses) 397 (1,393)
Net fair value(losses) gains onpledges,bonds,and swaps (51,921) 64,282

1When calculating the fair values of Grantor pledges, the expected future cash inflows from Grantors are reduced by an estimated percentage due to the GPC (the “GPC Fair Value Adjustment”). In 2022, fair value losses on sovereign pledges include gains of US$ 37 million (2021: US$ 71 million) attributable to the GPC Fair Value Adjustment.

6. SOVEREIGN PLEDGES

IFFIm’s sovereign pledges represent grants from the Grantors. These legally binding payment obligations are irrevocable by the Grantors and are paid in instalments according to predetermined fixed payment schedules.

The total amounts paid by the Grantors to IFFIm are impacted by the GPC. See Note 16 below for further details.

Sovereign pledges, like contribution revenue, are recognised upon assignment of the Grantor contributions to IFFIm by Gavi. Fair value adjustments due to changes in interest rates, the GPC, including when Grantors choose to make grant payments in full without applying any GPC reduction, discounting, and exchange rates are recognised from inception until year end.

Sovereign pledges were comprised of:


are recognised from inception until year end.
Sovereign pledges were comprised of:
Group and Parent Company
In Thousands of US$ 2022 2021
Balance as of the beginning of the year 3,436,565 3,285,785
Initial fair value of new pledges received 541,226 719,784
Payments received from donors (553,007) (443,356)
Fair value losses (473,976) (125,648)
Balance as of the end of theyear 2,950,808 3,436,565
Comprised of:
Sovereign pledges due within one year 484,030 554,564
Sovereign pledges due after more than one year 2,466,778 2,882,001
Total sovereign pledges 2,950,808 3,436,565

Note 8 below provides details on fair value gains from interest rate and currency swaps that were recognised related to the sovereign pledges due.

Report of the Trustees and Annual Financial Statements 36

7. FUNDS HELD IN TRUST

The World Bank maintains a single investment portfolio (the “Pool”) for IFFIm and other trust funds it administers. The World Bank maintains the Pool’s assets separate and apart from the funds owned by the World Bank Group. Funds held in trust represent cash, money market instruments, government and agency obligations, asset-backed securities and corporate securities (together “Liquid Assets”) that are managed by the World Bank.

The Pool is divided into sub-portfolios to which allocations were made based on fund specific investment horizons, risk tolerances and other eligibility requirements set by the World Bank. Under an investment strategy approved by IFFIm’s trustees, IFFIm’s Liquid Assets were invested in high-grade fixed-income instruments with interest rate sensitivity matching that of the liabilities funding the portfolio.

Group and Parent Company
In Thousands of US$ 2022 2021
IFFIm’s share in the Pool’s fair value 1,005,115 603,383

The Pool’s fair value is based on market quotations. Gains, losses, and investment income are recognised in the year in which they occurred and are allocated to IFFIm on a daily basis. These net gains totalled US$ 11.3 million and US$ 0.7 million for the years ended 31 December 2022 and 2021, respectively, and were reported as investment income in the Consolidated Statement of Financial Activities.

8. DERIVATIVE FINANCIAL INSTRUMENTS

IFFIm entered into interest rate and currency swaps that economically hedged certain risks as discussed below.

For financial reporting purposes, IFFIm elected not to define any qualifying hedge relationships as defined by IAS 39. All derivatives were valued at fair value recognising the resulting gains and losses in the Consolidated Statement of Comprehensive Income during the year in which they occur. IFFIm applies overnight indexed swap discounting rates to value its interest rate and currency swaps for the major currencies. IFFIm includes a credit valuation adjustment and a debit valuation adjustment in the valuation of its derivative portfolio to account for counterparty credit risk and its own credit risk, respectively. These adjustments are determined by applying counterparty and own probabilities of default, based on the respective credit default swap spreads, to the market value of the derivative portfolio. The debit valuation adjustment is calculated based on the threshold amount, above which the World Bank, as a counterparty on IFFIm’s interest rate and currency swap contracts, has a right to call for collateral.

The World Bank, as IFFIm’s treasury manager, executed a comprehensive swap programme to mitigate IFFIm’s exposure to movements in foreign currency and interest rates. IFFIm’s swap contracts under the comprehensive swap programme were executed: (1) using the market exchange and interest rates at the time the swap contracts were written, (2) considering the different payment profiles in different grant currencies and, (3) assuming that the reduction amounts due to the GPC will remain at the levels they were as of the time the swap contracts were written, (4) assuming no Grantor defaults.

Under the swap programme, Grantor pledges are swapped into United States dollar floating rate assets and, at issuance, IFFIm’s fixed rate bond obligations are swapped into floating rate liabilities.

As described in Note 14 below, IFFIm maintains a minimum liquidity equivalent to its cumulative contracted debt service payments for the next 12 months.

Report of the Trustees and Annual Financial Statements 37

The notional amounts and fair values of the interest rate and currency swaps were:

Group and Parent Company
In Thousands of US$		 31 December 2022
31 December 2021
Notional Amount
Fair Value Notional Amount
Fair Value
Currency and interest rate swaps receivable
related to sovereign pledges
Currency and interest rate swaps receivable
related to bondspayable		 2,084,136
446,148
1,445,709
150,589
500,000
727
-
-
Total currency and interest rate swaps
receivable		 446,875
150,589
Currency and interest rate swaps payable
related to sovereign pledges
Currency and interest rate swaps payable
related to bondspayable		 1,243,767
(147,303)
1,076,671
(254,632)
1,941,212
(212,233)
1,633,772
(91,983)
Total currencyand interest rate swapspayable (359,536)
(346,615)
Total fair value of interest rate and currency
swaps		 87,339
(196,026)
Comprised of:
Net currency and interest rate swaps payable
within one year
(2,393)
(1,743)
Net currency and interest rate swaps receivable
after more than oneyear
89,732
(194,283)

The above US$ 87 million net receivable on swaps is comprised of a total amount of US$ 91 million due from the counterparties on IFFIm’s currency and interest rate swap contracts, partially offset by a net credit valuation adjustment of US$ 4 million.

As a counterparty on IFFIm swaps, the World Bank has the right to call for collateral, above a specified threshold amount, to protect against its exposure on IFFIm’s derivative positions under the terms of a Credit Support Annex (“CSA”) to the International Swaps and Derivatives Association (“ISDA”) Agreement between IFFIm and the World Bank. As described in Note 1 above, the World Bank has not exercised this right and has confirmed that it will not call collateral over at least 12 months from the date of approval of these consolidated financial statements. Note 14 below describes measures in place to mitigate the risk that the World Bank may call collateral.

As of 31 December 2022, derivative financial instruments included the effects of a swap re-couponing transaction in the amount of US$ 200 million, which was executed in May 2020 between IFFIm and the World Bank, as a counterparty on IFFIm’s swap contracts. The transaction, which reduced the World Bank’s derivative exposure, amended certain swap contracts between IFFIm and the World Bank by modifying their cash flows such that IFFIm made an additional payment of US$ 200 million to the World Bank in May 2020 and the World Bank will make scheduled repayments to IFFIm in 2023, 2024, and 2025 totalling US$ 200 million with interest.

Report of the Trustees and Annual Financial Statements 38

9. CREDITORS FALLING DUE WITHIN ONE YEAR

Group and Parent Company
In Thousands of US$ 2022 2021
Bonds payable falling due within one year 554,348 98,486
Grants payable within one year 57,065 396,065
Trade creditors 677 676
Amounts due to Gavi 329 284
Total creditors fallingdue within oneyear 612,419 495,511

1 Trade creditors are comprised of amounts due to service providers.

The table below shows changes in grants payable:

Trade creditors
Amounts due to Gavi
Total creditors fallingdue within oneyear
1Trade creditors are comprised of amounts due to service providers.
The table below shows changes in grants payable:		 677
329
612,419		 676
284
495,511
In Thousands of US$ 2022 2021
Balance as of the beginning of the year 396,065 160,987
Grant approvals during the year:
Gavi COVAX AMC programme support - 1,119,000
New and underused vaccines programme support 556,000 334,400
Health systems strengthening support 78,000 -
Adjustments to previously approved support for Gavi COVAX AMC and vaccine
research and development activities		 (144,000) (3,922)
Grant payments during the year:
Gavi COVAX AMC programme support (195,000) (780,000)
New and underused vaccines programme support (556,000) (434,400)
Health systems strengtheningsupport (78,000) -
Balance as of the end of theyear 57,065 396,065

10. CREDITORS FALLING DUE AFTER MORE THAN ONE YEAR

Creditors falling due after more than one year are comprised of bonds payable. IFFIm issues bonds on worldwide capital markets to meet IFFIm’s primary objective of funding Gavi’s immunisation, vaccine procurement, and HSS programmes. IFFIm’s outstanding bonds payable were:

Issue Date
MaturityDate
Coupon
Interest Rate
Nominal
Amount, in
Thousands		 Group and Parent Company
Fair Value as of
31 December
2022, in
Thousands of
US$ Fair Value as of
31 December
2021, in
Thousands of
US$
24 June 2009
24 June 2024
0.50%
R (ZAR)
800,000
42,336
43,857
28 June 2012
29 June 2027
0.50%
R (ZAR)
520,000
21,296
23,108
9 April 2019
9 April 2022
Libor+4bps
US$ (USD)
50,000
-
50,037
18 July 2019
15 March 2025
0.00%
Nkr (NOK)
360,0001
35,220
53,080
7 July 2020
5 April 2030
0.00%
Nkr (NOK)
1,600,0002
142,986
189,075
6 November 2020
6 November 2023
0.375%
US$ (USD)
500,000
481,808
496,403
21 April 2021
21 April 2026
1.00%
US$ (USD)
750,000
669,735
741,861
26 November 2021
21 April 2026
1.00%
US$ (USD)
250,000
223,245
247,287
26 July 2022
7 June 2025
2.75%
£ (GBP)
250,000
291,575
-
3 November 2022
3 November 2025
4.75%
US$ (USD)
500,000
505,036
-
Total bondspayable
2,413,237
1,844,708
Bondspayable fallingdue within oneyear
(554,348)
(98,486)
Bondspayable fallingdue after more than oneyear
1,858,889
1,746,222

1 This is an amortising bond. The kr (NOK) 360 million nominal amount shown in the table above is as of 31 December 2022. The nominal amount as of 31 December 2021 was kr (NOK) 480 million.

2 This is an amortising bond. The kr (NOK) 1.6 billion nominal amount shown in the table above is as of 31 December2022. The nominal amount as of 31 December 2021 was kr (NOK) 1.8 billion.

Report of the Trustees and Annual Financial Statements 39

As of 31 December 2022 and 2021, the fair values of creditors falling due after more than five years totalled US$ 49 million and US$ 102 million, respectively.

Total bonds payable by the parent company included a nominal amount due to IFFImSC III of US$ 50 million as of 31 December 2021, which was redeemed in April 2022. No amounts were payable to IFFImSC III as of 31 December 2022.

11. CATEGORIES OF FINANCIAL ASSETS AND LIABILITIES

The table below shows the carrying amount of each category of IFFIm’s financial assets and liabilities:

Group and Parent Company As of 31 As of 31
In Thousands of US$ December 2022 December 2021
Financial assets:
Mandatorily measured at fair value through profit or loss:
Sovereign pledges 2,950,808 3,436,565
Funds held in trust 1,005,115 603,383
Derivative assets 446,875 150,589
Cash 26,784 11,677
Financial liabilities:
Designated as at fair value through profit or loss upon initial recognition:
Bonds payable (2,413,237) (1,844,708)
Derivative liabilities (359,536) (346,615)
Measured at amortised cost:
Grantspayable (57,065) (396,065)

The table below shows the net fair value gains or losses on each category of IFFIm’s financial assets and liabilities:


liabilities:
Group and Parent Company Year Ended 31 Year Ended 31
In Thousands of US$ December 2022 December 2021
Net gains (losses) on financial assets
Mandatorily measured at fair value through profit or loss:
Fair value losses on sovereign pledges (473,976) (125,648)
Income from funds held in trust 11,340 667
Fair value (losses) gains on derivative assets1 281,603 (61,296)
Other foreign exchange gains (losses) 397 (1,393)
Net gains (losses) on financial liabilities
Designated as at fair value through profit or loss upon initial recognition:
Fair value gains on bonds 152,336 30,541
Fair valuegains(losses)on derivative liabilities1 (12,281) 222,078

1 Fair value gains (losses) on derivative assets and liabilities are derived by prorating the net gains (losses) on derivative financial instruments in proportion to the changes in derivative assets and liabilities during the year.

There were no gains or losses on grants payable.

Report of the Trustees and Annual Financial Statements 40

12. MOVEMENT OF FUNDS

12. MOVEMENT OF FUNDS
As of 31 Incoming Resources As of 31
In Thousands of US$ December 2021 Resources Expended December 2022
Sovereign pledges assigned from Gavi 5,785,011 541,226 (1,311) 6,324,926
Investment and interest income 148,146 11,340 - 159,486
Other gains (losses) and other income
(expenses) 639,294 (51,921) (24,721) 562,652
Donated services:
Administrative support - 986 (986) -
Programme funding to Gavi:
Country-specific programmes (2,825,458) - (634,000) (3,459,458)
Yellow fever stockpile investment case (57,140) - - (57,140)
Polio eradication investment case (191,280) - - (191,280)
Measles mortality reduction investment
case (139,000) - - (139,000)
Maternal and neonatal tetanus investment
case (61,620) - - (61,620)
Pentavalent payment guarantee (181,050) - - (181,050)
Yellow fever continuation investment case (43,881) - - (43,881)
Meningitis eradication investment case (67,719) - - (67,719)
Vaccine research and development (272,143) - - (272,143)
COVAX (1,119,000) - 144,0001 (975,000)
Total restricted funds 1,614,160 501,631 (517,018) 1,598,773
As of 31 Incoming Resources As of 31
In Thousands of US$ December 2020 Resources Expended December 2021
Sovereign pledges assigned from Gavi 5,066,656 719,784 (1,429) 5,785,011
Investment and interest income 147,479 667 - 148,146
Other gains (losses) and other income
(expenses) 587,286 64,282 (12,274) 639,294
Donated services:
Administrative support - 942 (942) -
Programme funding to Gavi:
Country-specific programmes (2,491,058) - (334,400) (2,825,458)
Yellow fever stockpile investment case (57,140) - - (57,140)
Polio eradication investment case (191,280) - - (191,280)
Measles mortality reduction investment
case (139,000) - - (139,000)
Maternal and neonatal tetanus investment
case (61,620) - - (61,620)
Pentavalent payment guarantee (181,050) - - (181,050)
Yellow fever continuation investment case (43,881) - - (43,881)
Meningitis eradication investment case (67,719) - - (67,719)
Vaccine research and development (276,065) 3,922 - (272,143)
COVAX - - (1,119,000) (1,119,000)
Total restricted funds 2,292,608 789,597 (1,468,045) 1,614,160

1 In 2022, IFFIm recognised a programme reduction of US$ 144 million to previously approved funding in support of COVAX due to a decrease in the uptake of COVID-19 vaccines in Gavi-supported countries.

In 2022, IFFIm received new sovereign pledges from the Kingdom of Spain and the United Kingdom in the amounts of € 100 million and £ 461 million, respectively, with initial recorded fair values totalling US$ 541 million. The new pledges were made to IFFIm to support programme funding to Gavi for its core activities. In 2022, IFFIm issued indicative funding confirmations to Gavi totalling US$ 490 million.

Report of the Trustees and Annual Financial Statements 41

13. CREDIT RISK

Credit risk is the risk that IFFIm may suffer financial loss should the Grantors, market counterparties or implementing countries fail to fulfil their contractual obligations. Implementing countries are the eligible countries where Gavi programmes, including those funded by IFFIm, are implemented. The carrying amounts of financial assets represent IFFIm’s maximum credit exposures. These maximum exposures were:

As of 31 As of 31
In Thousands of US$ December 2022 December 2021
Sovereign pledges 2,950,808 3,436,565
Cash and investments 1,031,899 615,060
Total credit exposure 3,982,707 4,051,625

IFFIm’s derivative assets are excluded from its credit exposure as they would be netted against its derivative liabilities. As of 31 December 2022 and 2021, IFFIm had a net receivable balance of US$ 87 million and a net payable balance of US$ 196 million, respectively, on its interest rate and currency swap contracts. As of 31 December 2022, the counterparties on IFFIm’s swaps had credit ratings of AAA and AA-.

Credit Risk Related to Sovereign Pledges: IFFIm was exposed to Grantor credit risk on pledges from its Grantors. This exposure is detailed by Grantor in Note 2 above. The Grantors were rated between BB- and AAA as of 31 December 2022.

The Grantors’ credit ratings, as determined by Standard and Poor’s Ratings Service (“S&P”), were:

As of 31 As of 31
Grantor December 2022 December 2021
Commonwealth of Australia AAA AAA
Federative Republic of Brazil BB- BB-
Republic of France AA AA
Republic of Italy BBB BBB
State of the Netherlands AAA AAA
Kingdom of Norway AAA AAA
Republic of South Africa BB- BB-
Kingdom of Spain A A
Kingdom of Sweden AAA AAA
United Kingdom AA AA

IFFIm was also indirectly exposed to implementing country credit risk embodied in the GPC. IFFIm took this risk into account when determining the fair value of sovereign pledges. See Note 16 below for details.

Credit Risk Related to Cash and Investments: To manage credit risk related to investments, the World Bank invests in highly rated Liquid Assets. The World Bank was limited to investments with the following minimum credit ratings at the time of purchase:

In order to achieve greater diversification of portfolio risks and generate value, the World Bank has made investments in the short term domestic debt of new sovereign markets offering potential to generate excess yields, mainly from currency basis arbitrage. Investments in these sovereign markets are subject to specific approvals from the financial governing committees of the World Bank and prudent credit limits.

Report of the Trustees and Annual Financial Statements 42

IFFIm’s investments in money market instruments, government and agency obligations, asset-backed securities and corporate securities had the following credit ratings:

As of 31 As of 31
In Thousands of US$ December 2022 December 2021
Instruments and securities rated AAA 524,912 88,527
Instruments and securities rated AA+ 14,032 105
Instruments and securities rated AA 46,421 136,943
Instruments and securities rated AA- 62,675 157,711
Instruments and securities rated A+ 276,575 122,880
Instruments and securities rated A 79,641 97,144
Instruments and securities rated A- 728 -
Instruments and securities rated BBB - 13
Instruments and securities with no rating 131 60
Total funds held in trust 1,005,115 603,383

Cash, receivables, and payables included in IFFIm’s funds held in trust are reported in the AAA category as they are held by the World Bank, which is an AAA credit-rated institution.

IFFIm’s credit ratings by Fitch Ratings, Moody’s Investor Service, and Standard and Poor’s Ratings Service (“S&P”) remained unchanged during 2022. The IFFIm board, working with the World Bank, has put in place measures to manage credit risk.

14. LIQUIDITY RISK

Liquidity risk is the risk that IFFIm may be unable to meet its obligations, when they fall due, because of a sudden, and potentially protracted, increase in cash outflows. Under its liquidity policy, IFFIm seeks to maintain an adequate level of liquidity to meet its operational requirements, provide predictability of programme funding and support its credit rating. Taking these factors into account, IFFIm maintains a minimum liquidity equivalent to its cumulative contracted debt service payments for the next 12 months. This minimum liquidity level is recalculated and reset on a quarterly basis. As of 31 December 2022, the calculated minimum liquidity was US$ 576 million and the value of IFFIm’s Liquid Assets was US$ 1 billion. As of 31 December 2021, the calculated minimum liquidity was US$ 99 million and the value of IFFIm’s Liquid Assets was US$ 615 million.

Based on factors such as the strength of its financial base, its conservative financial policies, and the strong support of the Grantors, IFFIm’s Global Debt Issuance Programme is rated AA by S&P, AA- by Fitch Ratings, and Aa1 by Moody’s Investor Service.

To help maintain IFFIm’s credit ratings and ensure the lowest possible cost of funds, bond issuances are managed against the present value of expected future cash flows from Grantor pledges, in view of the GPC and other credit factors. To provide comfort to the rating agencies and bond holders that IFFIm will always be able to service its bonds, IFFIm only raises bonds against a percentage of the present value of Grantor pledges. The residual, which is still available to IFFIm over time, creates a cushion to protect bond holders against adverse credit events such as many IFFIm-eligible countries falling into protracted arrears to the International Monetary Fund (“IMF”). The cushion is a percentage of the present value of Grantor pledges and is established through the Gearing Ratio Limit (“GRL”) model. The present value of Grantor pledges used in the GRL model is not reduced by the GPC Fair Value Adjustment, which is described in Note 16 below.

To mitigate the risk that the World Bank may call collateral, an agreement is in place between the World Bank and IFFIm to apply an additional buffer to the GRL to manage the World Bank’s exposure under the derivative transactions between IFFIm and the World Bank (the “Risk Management Buffer”). The Risk Management Buffer may be adjusted by the World Bank in its sole discretion. As of 31 December 2022 and 2021, the Risk Management Buffer was 0% of the present value of expected future cash flows from Grantor pledges. The World Bank recalculated and reset the Risk Management Buffer to 0% from the previous value of 12% following the execution of a swap re-couponing transaction in May 2020 in the amount of US$ 200 million, which reduced the World Bank’s exposure on IFFIm’s derivative positions by the same amount and enabled the World Bank to intermediate new swaps for IFFIm.

Report of the Trustees and Annual Financial Statements 43

The following were the contractual undiscounted maturities of IFFIm’s financial liabilities, including estimated interest payments:


estimated interest payments:
Due from
Due in Less 2026
As of 31 December 2022, Total Cash than One through
in Thousands of US$ Outflows Year Due in 2024 Due in 2025 2035
Bonds payable (2,711,034) (575,691) (122,069) (875,691) (1,137,583)
Grants payable to Gavi (57,064) (57,064) - - -
Derivative financial liabilities (921,487) (213,051) (250,467) (139,912) (318,057)
Total undiscounted maturities (3,689,585) (845,806) (372,536) (1,015,603) (1,455,640)
Due from
Due in Less 2025
As of 31 December 2021, Total Cash than One through
in Thousands of US$ Outflows Year Due in 2023 Due in 2024 2030
Bonds payable (1,934,496) (98,582) (548,532) (89,808) (1,197,574)
Grants payable to Gavi (396,064) (396,064) - - -
Derivative financial liabilities (451,573) (65,798) (64,651) (111,925) (209,199)
Total undiscounted maturities (2,782,133) (560,444) (613,183) (201,733) (1,406,773)

As of 31 December 2022 and 2021, the contractual undiscounted maturities of IFFIm’s derivative financial liabilities totalling US$ 921 million and US$ 452 million, respectively, were approximately US$ 700 million and US$ 105 million higher than their fair values as of 31 December 2022 and 2021, respectively, as shown in Note 8 above.

As of 31 December 2022 and 2021, the contractual undiscounted maturities of IFFIm’s bonds payable totalling US$ 2,711 million and US$ 1,934 million, respectively, were approximately US$ 298 million and US$ 89 million higher than their fair values as of 31 December 2022 and 2021, respectively, as shown in Note 10 above.

The trustees expect that IFFIm will receive cash inflows over the lives of its derivative financial assets. The following are the expected undiscounted inflows from derivative financial assets and the expected undiscounted cash outflows from derivative financial liabilities:

Due from
Total Cash Due in Less 2026
As of 31 December 2022, Inflows than One through
in Thousands of US$ (Outflows) Year Due in 2024 Due in 2025 2035
Derivative financial assets 626,880 51,153 58,246 303,303 214,178
Derivative financial liabilities (921,487) (213,051) (250,467) (139,912) (318,057)
`Net cash outflows (294,607) (161,898) (192,221) 163,391 (103,879)
Due from
Total Cash Due in Less 2025
As of 31 December 2021, Inflows than One through
in Thousands of US$ (Outflows) Year Due in 2023 Due in 2024 2030
Derivative financial assets 305,793 16,274 20,320 15,228 253,971
Derivative financial liabilities (451,573) (65,798) (64,651) (111,925) (209,199)
Net cash outflows (145,780) (49,524) (44,331) (96,697) 44,772

15. MARKET RISK

Market risk is the risk that IFFIm’s net assets or income, or its ability to meet its objectives, may be adversely affected by changes in foreign exchange rates and interest rates. Other price risk, in relation to IFFIm’s funds held in trust, is not a significant market risk to IFFIm as IFFIm’s liquid assets are invested in high grade fixedincome instruments. IFFIm’s market risk objectives are: (1) understanding the components of IFFIm’s market risk, (2) controlling IFFIm’s market risk through the use of currency and interest swaps, and (3) facilitating predictable funding of Gavi programmes within a controlled and transparent risk management framework.

Report of the Trustees and Annual Financial Statements 44

IFFIm’s market risk is comprised of foreign exchange rate risk and interest rate risk. Each of these is described further below.

Foreign Exchange Rate Risk: IFFIm was exposed to foreign exchange risks from currency mismatches as well as timing differences between receipt of Grantor payments, payment of bond obligations, disbursements to Gavi and issuance of IFFIm bonds. To mitigate these risks, Grantor pledges are swapped into United States dollar floating rate assets and, at issuance, IFFIm bonds payable are swapped into United States dollar floating rate liabilities.

The carrying amounts of IFFIm's foreign currency assets and liabilities, including derivatives, were:

Foreign Foreign
Currency Currency Net
As of 31 December 2022,in Thousands of US$ Assets Liabilities Exposure
Australian dollar 114,328 (113,063) 1,265
British pound 1,229,670 (1,279,640) (49,970)
Canadian dollar - - -
Euro 892,282 (949,285) (57,003)
Japanese yen 1 - 1
New Zealand dollar 1 - 1
Norwegian krone 574,231 (605,091) (30,860)
South African rand 64,393 (63,632) 761
Swedish krona 164,761 (174,302) (9,541)
Swiss franc 1 - 1
New Zealand dollar
Norwegian krone
South African rand
Swedish krona
Swiss franc		 1
574,231
64,393
164,761
1		 -
(605,091)
(63,632)
(174,302)
-		 1
(30,860)
761
(9,541)
1
Foreign Foreign
Currency Currency Net
As of 31 December 2021,in Thousands of US$ Assets Liabilities Exposure
Australian dollar 142,881 (85,692) 57,189
British pound 1,246,811 (1,301,533) (54,722)
Euro 1,091,475 (997,673) 93,802
Japanese yen 1 - 1
Norwegian krone 719,817 (337,356) 382,461
New Zealand dollar 1 - 1
Swedish krona 244,252 - 244,252
South African rand 67,515 (66,966) 549

The following exchange rates applied during the year:

Average Rate Average Rate
for the for the
Year Ended Spot Rate as of Year Ended Spot Rate as of
31 December 31 December 31 December 31 December
In US$ 2022 2022 2021 2021
Australian dollar 0.6951 0.6798 0.7513 0.7250
Brazilian real - - 0.1857 0.1795
British pound 1.2372 1.2039 1.3757 1.3476
Canadian dollar 0.7691 0.7394 - -
Euro 1.0539 1.0676 1.1831 1.1319
Japanese yen 0.0077 0.0076 0.0091 0.0087
New Zealand dollar 0.6362 0.6347 0.7072 0.6832
Norwegian krone 0.1045 0.1016 0.1164 0.1133
South African rand 0.0614 0.0591 0.0677 0.0627
Swedish krona 0.0993 0.0964 0.1166 0.1104
Swiss franc 1.0483 1.0838 1.0940 1.0954

Report of the Trustees and Annual Financial Statements 45

Sensitivity to Foreign Exchange Rates: Strengthening and weakening of the United States dollar, against the above currencies, as of 31 December 2022 and 2021 would have increased (decreased) IFFIm’s net assets and surpluses for those years by the amounts shown below. This analysis is based on foreign currency exchange rate variances that IFFIm considered to be reasonably possible at the end of the year. The analysis assumes that all other variables, in particular interest rates, remain unchanged:

In Thousands of US$ Increase (Decrease) in
Surplus for the Year Ended
and Net Assets
as of 31 December 20221
Increase (Decrease) in
Surplus for the Year Ended
and Net Assets
as of 31 December 20211
10%
Strengthening
of US$ 10%
Weakening
of US$ 10%
Strengthening
of US$ 10%
Weakening
of US$
Australian dollar
British pound
Euro
Norwegian krone
South African rand
Swedish krona		 410
(501)
(4,673)
5,712
5,831
(7,127)
5,871
(7,176)
6,593
(8,058)
(7,902)
9,658
2,805
(3,429)
(34,776)
42,504
(69)
85
(50)
61
868
(1,061)
(22,204)
27,138
Net increase (decrease) 16,438
(20,091)
(63,734)
77,897

1Excludes impact to funds held in trust balances.

Interest Rate Risk: IFFIm was exposed to interest rate risk from differences in the interest rate bases of the bonds payable and funds held in trust. IFFIm used interest rate swaps to mitigate this exposure. The interest rate profiles of IFFIm’s interest-bearing financial instruments, including derivatives, with the exception of funds held in trust, were:


funds held in trust, were:
Carrying Amount Carrying Amount
as of 31 as of 31
In Thousands of US$ December 2022 December 2021
Fixed rate instruments
Financial assets 459,217 115,302
Financial liabilities (5,362,262) (4,279,808)
Net fixed rate instruments (4,903,045) (4,164,506)
Variable rate instruments
Financial assets 3,261,772 2,380,989
Financial liabilities (680,562) (257,415)
Net variable rate instruments 2,581,210 2,123,574

Sensitivity to Interest Rates: Changes of 100 basis points and 25 basis points in interest rates as of 31 December 2022 and 2021, respectively, would have increased (decreased) IFFIm’s net assets and surpluses for those years by the amounts shown below. This analysis is based on interest rate variances that IFFIm considered to be reasonably possible at the end of the year. This analysis assumes that all other variables, in particular foreign currency rates, remain unchanged:

Increase Increase
(Decrease) in (Decrease) in
Surplus for the Surplus for the
Year Ended and Year Ended and
Net Assets as of Net Assets as of
31 December 31 December
In Thousands of US$ 2022 2021
100 basis point increase 18,276 -
100 basis point decrease (23,276) -
25 basis point increase - (8,509)
25 basispoint decrease - 8,405

Interest rate benchmark reform: Specific interest rate benchmarks, including LIBOR, are due to be discontinued and replaced with alternative benchmark rates which meet new regulatory and market requirements.

Report of the Trustees and Annual Financial Statements 46

IFFIm’s outstanding bonds are all based on fixed coupon rates, the details of which are included in Note 10 above. With respect to IFFIm’s investments in the Pool, effective 31 March 2022, all IFFIm liquidity is now linked to the Secured Overnight Financing Rate (“SOFR”) and all new funding is executed against a SOFR benchmark. Therefore, there is currently no exposure to LIBOR in IFFIm’s outstanding bonds and funding transactions. With the transition to SOFR, IFFIm’s investment portfolio continued to outperform its benchmark. For the years ended 31 December 2022 and 2021, the return on IFFIm’s investment portfolio was 1.91% and 0.24%, respectively, outperforming its benchmark by 27 basis points and 9 basis points, respectively.

Operational risk: The trade management system that the World Bank uses, in its capacity as IFFIm’s Treasury Manager, to support trade capture, payments, and settlements was upgraded to fully support SOFR transactions and has not encountered any issues.

As of 31 December 2022, IFFIm’s financial positions that need to be transitioned from LIBOR to SOFR are as follows:


follows:
Fair
Notional Value Transition
In Thousands of US$ Amount (Receivable) Progress
Currency and interest rate swaps maturing after 30 June 2023 3,435,069 69,372 To transition via
ISDA Protocol

16. FAIR VALUES OF FINANCIAL INSTRUMENTS

The fair values of IFFIm’s financial assets and liabilities are equal to their carrying amounts shown in IFFIm’s Balance Sheets.

Fair Value Hierarchy: The table below analyses IFFIm’s financial instruments carried at fair value, by valuation method. The different levels have been defined as follows:

Report of the Trustees and Annual Financial Statements 47

As of 31 December 2022,in Thousands of US$ Level 1 Level 2 Level 3 Total
Financial assets
Sovereign pledges - - 2,950,808 2,950,808
Funds held in trust - 1,005,115 - 1,005,115
Derivative financial instruments - 446,875 - 446,875
Total financial assets - 1,451,990 2,950,808 4,402,798
Financial liabilities
Bonds payable - 2,413,237 - 2,413,237
Derivative financial instruments - 359,536 - 359,536
Total financial liabilities - 2,772,773 - 2,772,773
As of 31 December 2021,in Thousands of US$ Level 1 Level 2 Level 3 Total
Financial assets
Sovereign pledges - - 3,436,565 3,436,565
Funds held in trust - 603,383 - 603,383
Derivative financial instruments - 150,589 - 150,589
Total financial assets - 753,972 3,436,565 4,190,537
Financial liabilities
Bonds payable - 1,844,708 - 1,844,708
Derivative financial instruments - 346,615 - 346,615
Total financial liabilities - 2,191,323 - 2,191,323
Total financial assets
-
753,972
3,436,565
Financial liabilities
Bonds payable
-
1,844,708
-
Derivative financial instruments
-
346,615
-
Total financial liabilities
-
2,191,323
-		 Total financial assets
-
753,972
3,436,565
Financial liabilities
Bonds payable
-
1,844,708
-
Derivative financial instruments
-
346,615
-
Total financial liabilities
-
2,191,323
-		 4,190,537
1,844,708
346,615
2,191,323
The changes in the aggregate fair value of IFFIm’s Level 3 financial assets and liabilities were:
In Thousands of US$ 2022 2021
Balance as of the beginning of the year 3,436,565 3,285,785
Initial fair value of pledges 541,226 719,784
Donor payments (553,007) (443,356)
Fair value losses (473,976) (125,648)
Balance as of the end of theyear 2,950,808 3,436,565

Total fair value losses on sovereign pledges of US$ 474 million for the year ended 31 December 2022 are recognised in Net fair value gains on pledges and pledge swaps in the Consolidated Statement of Financial Activities and are comprised of realised gains of US$ 101 million and unrealised losses of US$ 575 million.

For its financial assets and liabilities, IFFIm determines whether transfers have occurred between levels in the hierarchy by re-assessing categorisation at the end of each reporting period. There were no transfers between levels in the current or prior year.

The bases for techniques that IFFIm applied in determining the fair values of financial assets and liabilities are summarised below.

Funds Held in Trust: The World Bank, as treasury manager, maintains IFFIm’s investments on a pooled accounting basis and the pooled investments are reported at fair value. IFFIm’s share in pooled cash and investments represents IFFIm’s allocated share of the Pool’s fair value at the end of the year. The fair value is based on market quotations where available. If quoted market prices are not available, fair values are based on quoted market prices of comparable instruments. The corresponding proportionate interest income and investment gains or losses are recognised by IFFIm in the year in which they occur.

Sovereign Pledges Receivable: Fair values are estimated using a discounted cash flow method. Each cash flow is reduced by the GPC Fair Value Adjustment, except when a Grantor irrevocably commits to make grant payments in full without applying any reduction due to the GPC, and the reduced cash flows are discounted to present value using observable Grantor-specific interest rates.

The GPC allows the Grantors to reduce their payments if an IFFIm-eligible country falls into protracted arrears on its obligations to the IMF. Each implementing country has been ascribed a weight in a reference portfolio that will remain static for the life of IFFIm. Grantors reduce the amounts they pay IFFIm by the aggregate percentage weights of countries that are in protracted arrears to the IMF. When countries clear their arrears to the IMF, future amounts payable by Grantors to IFFIm are increased by the respective weights of those clearing countries. The reference portfolio comprises 70 predetermined IFFIm-eligible countries. Each implementing country has been given a weighting of either 0.5%, 1%, 3% or 5%, totalling of 100%, as shown in the table below. The amount of each Grantor payment is determined 25 business days prior to the due date of such payment.

Report of the Trustees and Annual Financial Statements 48

The reference portfolio as of 31 December 2022 was as follows:

The reference portfolio as of 31 December 2022 was as follows:
Country
Country Weighting Total Share
South Sudan,Sudan 0.5% 1%
Afghanistan, Angola, Armenia, Azerbaijan, Benin, Bhutan, Bolivia, Burkina Faso,
Burundi, Cambodia, Cameroon, Central African Republic, Chad, Comoros, Congo,
Cote d’Ivoire, Djibouti, Eritrea, The Gambia, Georgia, Ghana, Guinea, Guinea-Bissau,
Guyana, Haiti, Honduras, Kenya, Kiribati, Kyrgyzstan, Lao PDR, Lesotho, Liberia,
Madagascar, Malawi, Mali, Mauritania, Moldova, Mongolia, Mozambique, Myanmar,		 1% 61%
Nepal, Nicaragua, Niger, Papua New Guinea, Rwanda, Sao Tome & Principe, Senegal,
Sierra Leone, Solomon Islands, Somalia, Sri Lanka, Tajikistan, Tanzania, Timor-Leste,
Togo, Uganda, Ukraine, Uzbekistan, Yemen Republic, Zambia, Zimbabwe
Vietnam 3% 3%
Bangladesh, Democratic Republic of Congo, Ethiopia, India, Indonesia, Nigeria,
Pakistan		 5% 35%

The GPC Fair Value Adjustment is calculated using a probabilistic model, which estimates the likelihood and duration that any implementing country might fall into arrears with the IMF over the life of the Grantor pledges. This probabilistic model assumes that the performance of the implementing countries since 1981 is a reasonable proxy for their future performance.

The initial GPC Fair Value Adjustment used in October 2006 was 17.6%, and it was 7.20% and 7.40% as of 31 December 2022 and 2021 respectively. Considering 1% as a reasonably possible variance in assessing the impact of changes in the GPC Fair Value Adjustment, 1% decreases in the GPC Fair Value Adjustment as of 31 December 2022 and 2021 would have resulted in increases in the fair values of sovereign pledges of US$ 30 million and US$ 34 million, respectively. 1% increases in the GPC Fair Value Adjustment would have had equal but opposite effects on the fair values of sovereign pledges.

As of 31 December 2022, no reference portfolio country was in protracted arrears to the IMF.

For the above sovereign pledges as of 31 December 2022, market-based discount rates ranging from 1.8% to 7.1% were applied, as appropriate, depending on the Grantor, payment schedule and currency of the grant payments. Considering 1% as a reasonably possible variance in assessing the impact of changes in market-based discount rates, 1% decreases in the discount rates applied as of 31 December 2022 and 2021 would have resulted in increases in the fair values of sovereign pledges of US$ 106 million and US$ 126 million, respectively. 1% increases in the discount rates applied as of 31 December 2022 and 2021 would have resulted in decreases in the fair values of sovereign pledges of US$ 101 million and US$ 119 million, respectively.

Bonds Payable: The fair values of IFFIm’s bonds payable are determined using a discounted cash flow method, which relies on market observable inputs such as yield curves, foreign exchange rates, basis spreads and funding spreads.

As of 31 December 2022 and 2021, the cumulative change in the fair value of bonds payable that was attributable to IFFIm’s own credit spreads was an increase of US$ 1.8 million and US$ 17.3 million, respectively. During the years ended 31 December 2022 and 2021, the change in the fair value of bonds payable that was attributable to IFFIm’s own credit spreads was a decrease of US$ 15.5 million and an increase of US$ 4.8 million, respectively. Changes in the fair value of bonds payable due to IFFIm’s own credit spreads are measured by revaluing each outstanding bond liability to determine the movement in its fair value arising from changes in IFFIm’s cost of funding relative to the relevant reference rate.

Derivative Financial Instruments: The fair values of derivatives are estimated using a discounted cash flow method representing the estimated cost of replacing these contracts on that date. All model inputs are based on readily observable market parameters such as yield curves, foreign exchange rates, and basis spreads.

As of 31 December 2022 and 2021, the cumulative change in the fair value of derivative financial instruments that was attributable to changes in credit risk was a net decrease of US$ 4.2 million and US$ 0.2 million, respectively. During the years ended 31 December 2022 and 2021, the change in the fair value of derivative financial instruments that was attributable to changes in credit risk was a net decrease of US$ 4 million and a net increase of US$ 0.4 million, respectively. The methodology used to determine changes in the fair value of derivative financial instruments due to changes in credit risk is described in Note 8 above.

With respect to cash and grants payable, their carrying amounts, reported in the consolidated financial statements, are reasonable approximations of their fair values due to their short-term nature.

Report of the Trustees and Annual Financial Statements 49

17. NOTES TO THE STATEMENT OF CASH FLOWS

The following table analyses changes in net debt:

Cash Flows and
Fair Value as of Fair Value
Fair Value as of
In Thousands of US$ 31 December 2021 Movements 31 December 2022
Bonds payable (1,844,708) (568,529) (2,413,237)
Funds held in trust 603,383 401,732 1,005,115
Cash 11,677 15,107 26,784
Total (1,229,648) (151,690) (1,381,338)
Cash Flows and
Fair Value as of Fair Value
Fair Value as of
In Thousands of US$ 31 December 2020 Movements 31 December 2021
Bonds payable (916,327) (928,381) (1,844,708)
Funds held in trust 478,455 124,928 603,383
Cash 13,906 (2,229) 11,677
Total (423,966) (805,682) (1,229,648)
The following table reconciles net cash flows to movement in net debt:
In Thousands of US$ 2022 2021
Net debt as of the beginning of the year (1,229,648) (423,966)
Increase (decrease) in cash 15,107 (2,229)
Increase in funds held in trust 401,732 124,928
Proceeds from bond issuances (798,685) (993,141)
Redemption of bonds 86,278 37,608
Fair value gains on bonds 152,336 30,541
Interest expense on bonds (19,645) (7,885)
Interest paid on bonds 12,233 5,953
Bond issuance costs (1,047) (1,457)
Other 1 -
Movement in net debt in theperiod (151,690) (805,682)
Net debt as of the end of theyear (1,381,338) (1,229,648)

18. RELATED PARTY TRANSACTIONS

IFFIm’s related parties are:

Balances due to or from related parties are non-interest bearing and do not have specific terms of repayment.

IFFIm’s related party balances as of 31 December 2022 and 2021 were:

In Thousands of US$ 2022 2021
Programme grants payable to Gavi 57,065 396,065
Amounts due to (from) Gavi 329 284

Total bonds payable by the parent company included a nominal amount due to IFFImSC III of US$ 50 million as of 31 December 2021, which was redeemed in April 2022. No amounts were payable to IFFImSC III as of 31 December 2022.

IFFIm recorded programme grants to Gavi of US$ 490 million and US$ 1,449 million during the years ended 31 December 2022 and 2021, respectively. IFFIm recorded in-kind contributions from Gavi of US$ 986 thousand and US$ 942 thousand during the years ended 31 December 2022 and 2021, respectively.

Report of the Trustees and Annual Financial Statements 50

19. COMMITMENTS AND CONTINGENCIES

The trustees are not aware of any commitments or contingencies as of 31 December 2022 or 2021.

20. ACCOUNTING ESTIMATES AND JUDGEMENTS.

IFFIm manages its sovereign pledges, funds held in trust, derivative financial instruments, and bonds payable on a fair value basis. Therefore, these assets and liabilities are measured at fair value on the Balance Sheets. When available, IFFIm generally uses quoted market prices to determine fair value. If quoted market prices are not available, fair value is determined using internally developed valuation models, which are often based on the discounted cash flow method and use market parameters such as interest rates and currency rates.

IFFIm applied the following key accounting estimate in the valuation of its sovereign pledges:

As described in Note 1 above, certain contribution amounts received from Grantors depend on the GPC, which allows the Grantors to reduce their payments if an IFFIm-eligible country falls into protracted arrears on its obligations to the IMF. Therefore, the fair values of IFFIm’s sovereign pledges are estimated using a discounted cash flow method, which includes the application of the GPC Fair Value Adjustment as described in detail in Note 16 above.

IFFIm made the following critical judgement in the valuation of its derivative portfolio:

As described in Note 8 above, IFFIm includes a credit valuation adjustment and a debit valuation adjustment in the valuation of its derivative portfolio to account for counterparty credit risk and its own credit risk, respectively. The debit valuation adjustment is typically applied to the uncollateralised portion of a derivative portfolio. However, IFFIm has not posted any collateral as the World Bank has not exercised its right to call collateral and protect its derivative exposure to IFFIm, as described in Notes 1 and 8 above. After due consideration, consistent with market practice, IFFIm calculated the debit valuation adjustment based solely on the uncollateralised portion of its derivative portfolio. IFFIm calculates the credit valuation adjustment and debit valuation adjustment at the full portfolio level and allocates the net effect to the respective derivatives receivable and payable balances in the Balance Sheet on a pro rata basis.

21. CURRENT TAX

IFFIm is a registered United Kingdom charity and, as such, is exempt from United Kingdom taxation of income and gains falling within s478-489 Corporation Tax Act 2010 and s256 Taxation of Chargeable Gains Act 1992 on its charitable activities. No tax charges arose during the years ended 31 December 2022 or 2021. IFFImSC III is a Cayman Islands company with limited liability, incorporated under the Companies Law (2013 Revision) of the Cayman Islands. There are no taxes on income or gains in the Cayman Islands.

22. SUBSEQUENT EVENTS

In January 2023, IFFIm completed the transfer of its securities from the main regulated market of the Luxembourg Stock Exchange (“LuxSE”) to the Euro MTF, the LuxSE’s exchange-regulated market. The transfer provides IFFIm with cost savings and eliminates the administrative burden of incremental reporting requirements on the main regulated market of the LuxSE, which IFFIm was required to comply with following the United Kingdom’s withdrawal from the European Union. Following the transfer, IFFIm is no longer required to prepare interim and annual financial statements in accordance with International Financial Reporting Standards (“IFRS”) as was previously required to comply with reporting obligations as an issuer of securities admitted to trading on a regulated market in the European Union. Accordingly, IFFIm did not prepare annual financial statements in accordance with IFRS for the year ended 31 December 2022 and will not do so going forward.

In March 2023, Canada became IFFIm’s eleventh sovereign donor with a new sovereign pledge to IFFIm in the amount of C$ 125 million, which will be payable over a period of seven years.

In March 2023, IFFIm issued a new indicative funding confirmation of US$ 434.8 million to support Gavi’s core programmes and disbursed the full amount to Gavi.

Considering recent and ongoing global economic developments, management has assessed (1) the ongoing conflict between Russia and Ukraine and its global impact on economic activity and financial markets, (2) the rising interest rates and inflationary environment, and (3) the recent stress in the banking sector. Management has assessed the potential impact of these developments on IFFIm’s financial position, performance, and its ability to continue meeting its obligations. IFFIm’s sovereign pledges are legally binding contractual obligations, its investments are maintained under a conservative investment strategy, and all its outstanding bonds are fixed rate instruments, which are less susceptible to market volatility. IFFIm uses swaps to mitigate against interest rate and foreign exchange rate risks, which are the key market risks to which IFFIm’s sovereign pledges and bonds payable are exposed. There is potential impact to the fair value of

Report of the Trustees and Annual Financial Statements 51

IFFIm’s sovereign pledges, and associated cash flows, with respect to the GPC, which is a key variable in the valuation of IFFIm’s sovereign pledges. The calculation of the GPC includes assessments of the risk that IFFImeligible recipient countries may fall into arrears to the IMF, which, among other factors, considers macroeconomic performance and a geopolitical assessment. As of 31 March 2023, there were no countries in protracted arrears to the IMF. With respect to the recent stress in the banking sector, IFFIm’s cash and funds held in trust have no exposure to the affected institutions and its other significant assets – sovereign pledges and derivatives – are also not impacted. Management has considered the potential risk of a credit crunch and slowdown in the global economy due to banking sector stress. Any potential impact to IFFIm’s financial position and its ability to continue meeting its obligations is assessed as low given, as described above, the low risk of non-recoverability of IFFIm pledges, the hedging of any fair value losses, and its ability to maintain minimum liquidity. Considering all these factors, management does not expect that IFFIm’s overall financial position and performance will be significantly impacted by these developments and IFFIm has measures in place to ensure it maintains sufficient liquidity and capacity to meet its obligations as they fall due and continue undertaking its business activities on an ongoing basis. Management does acknowledge the risk of increased market volatility and the potential challenges it may involve.

There are no adjustments to IFFIm’s consolidated financial statements for the year ended 31 December 2022 due to the subsequent events described above.

Report of the Trustees and Annual Financial Statements 52

INDEPENDENT AUDITOR’S REPORT YEAR ENDED 31 DECEMBER 2022

Report of the Trustees and Annual Financial Statements 53

INDEPENDENT AUDITOR’S REPORT TO THE MEMBERS OF THE INTERNATIONAL FINANCE FACILITY FOR IMMUNUSATION COMPANY

Report on the audit of the financial statements

1. Opinion

In our opinion the financial statements of the International Finance Facility for Immunisation Company (the ‘parent charitable company’ or ‘IFFIm’) and its subsidiary (the ‘group’):

We have audited the financial statements which comprise:

The financial reporting framework that has been applied in their preparation is applicable law and United Kingdom Accounting Standards, including Financial Reporting Standard 102 “The Financial Reporting Standard applicable in the UK and Republic of Ireland” (United Kingdom Generally Accepted Accounting Practice).

2. Basis for opinion

We conducted our audit in accordance with International Standards on Auditing (UK) (ISAs (UK)) and applicable law. Our responsibilities under those standards are further described in the auditor’s responsibilities for the audit of the financial statements section of our report.

We are independent of the group and the parent charitable company in accordance with the ethical requirements that are relevant to our audit of the financial statements in the UK, including the Financial Reporting Council’s (the ‘FRC’s’) Ethical Standard as applied to listed entities, and we have fulfilled our other ethical responsibilities in accordance with these requirements.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

3. Summary of our audit approach

Key audit matters The key audit matter that we identified in the current year was:
• the valuation of sovereign pledges
Materiality The materiality that we used for the group financial statements was $26.0m (2021:
$36.5m) which was determined on the basis of 1% of forecasted sovereign pledges
held at fair value as at 31 December 2022. We reassessed the materiality at 31
December 2022 and continued to use the same materiality based on the forecasted
figures given it was lower.
Scoping As described in note 4 to the consolidated financial statements, IFFIm outsources
all administrative support to Gavi, the Vaccine Alliance (‘Gavi’) and outsources its
treasury function, together with certain accounting and financial reporting support,
to the International Bank for Reconstruction and Development (the ‘World Bank’)
which is audited by the Deloitte member firm in the US (‘Deloitte US’). As such we
instructed Deloitte US to perform certain procedures on our behalf. As part of this
work Deloitte US performed procedures over the key audit matter set out below in
this report. The work was performed under the direction and supervision of the UK
audit engagement team.

Significant changes in There were no significant changes in our approach in the current year. our approach

4. Conclusions relating to going concern

In auditing the financial statements, we have concluded that the trustees’ use of the going concern basis of accounting in the preparation of the financial statements is appropriate.

Our evaluation of the trustees’ assessment of the group’s and parent charitable company’s ability to continue to adopt the going concern basis of accounting included:

Based on the work we have performed, we have not identified any material uncertainties relating to events or conditions that, individually or collectively, may cast significant doubt on the group's and parent charitable company’s ability to continue as a going concern for a period of at least twelve months from when the financial statements are authorised for issue.

Our responsibilities and the responsibilities of the trustees with respect to going concern are described in the relevant sections of this report.

5. Key audit matters

Key audit matters are those matters that, in our professional judgement, were of most significance in our audit of the financial statements of the current period and include the most significant assessed risks of material misstatement (whether or not due to fraud) that we identified. These matters included those which had the greatest effect on: the overall audit strategy, the allocation of resources in the audit; and directing the efforts of the engagement team.

These matters were addressed in the context of our audit of the financial statements as a whole, and in forming our opinion thereon, and we do not provide a separate opinion on these matters.

5.1. Valuation of sovereign pledges

Key audit matter IFFIm’s asset base consists primarily of sovereign pledges from sovereign description government donors (‘the pledges’). The pledges are used to raise finance to make payments to support various vaccine procurement and immunisation programmes of Gavi.

The pledges are recognised as contribution revenue and as receivables upon assignment of donor contributions to IFFIm by Gavi. They are recognised at fair value at inception and are subsequently remeasured at fair value.

The fair value of the contribution receivables is determined by calculating the expected future cashflows, applying a High-Level Financing Condition (‘HLFC’) haircut and discount factor. Pledges are payable by the donors to IFFIm over the respective period depends on a grant payment condition (‘GPC’) which requires the donors to reduce their contribution amounts if an IFFIm eligible country is in protracted arrears.

Determination of the GPC fair value adjustment is calculated by the World Bank using a probabilistic model, which estimates the likelihood and duration that a country implementing an immunisation programme might fall into arrears with the IMF over the life of the grantor pledges.

As detailed in the summary of accounting estimates and judgements in note 20 and the fair value disclosures in note 16 to the consolidated financial statements, the estimation of the GPC fair value adjustment requires significant management judgement in particular the likelihood that any implementing country might fall into arrears with the IMF over the life of the pledges. Therefore, we determined that there was a risk of error in or manipulation of this balance.

As at 31 December 2022, the fair value of the sovereign pledges amounted to US$3.0b (2021: US$3.4b). The fair value movement attributable to the GPC fair value adjustment in 2022 amounted to US$37.0m (2021: US$71.0m).

How the scope of our To scope our audit and respond to the key audit matter, we have: To scope our audit and respond to the key audit matter, we have:
audit responded to the
key audit matter • Tested relevant controls over the historical default experiences used within
the fair value calculations which are performed by the World Bank;
• Tested the appropriateness of using the World Bank’s historical default
experience as a proxy for expected defaults to the IMF by analysing the full
population of historical defaults from 1984 to present and testing the
correlation between sovereign defaults to the World Bank and IMF;
• Determined if the World Bank's credit experience is an appropriate proxy
for the IMF, including whether the IMF benefits from the same preferred
creditor status (‘PCS’) as the World Bank, which is an inherent factor in the
World Bank's default experience;
• Tested the inputs to the GPC fair value calculation, e.g., country credit risk
rating, probability of default and loss given default by assessing the
sovereign credit rating process at the World Bank and testing the historical
arrears analysis;
• Recalculated the GPC fair value adjustment percentage;
• Tested the donor discount rate by independently obtaining sovereign yields
for each donor country from Bloomberg as of 31 December 2022 and
recalculating the discount rates and present value of cash flows from the
contribution receivables; and
• Engaging with our valuation specialist, performed an independent review of
the calculation of the fair value of sovereign pledges and evaluated the
methodology used by management for the fair valuation.

Key observations From the work performed, we concluded that the valuation of sovereign pledges is appropriate as at 31 December 2022.

6. Our application of materiality

6.1. Materiality

We define materiality as the magnitude of misstatement in the financial statements that makes it probable that the economic decisions of a reasonably knowledgeable person would be changed or influenced. We use materiality both in planning the scope of our audit work and in evaluating the results of our work.

Based on our professional judgement, we determined materiality for the financial statements as a whole as follows:

Group financial statements Parent charitable company financial
statements
Materiality US$26.0m (2021: US$36.5m) US$24.7m (2021: US$34.7m)
Basis for We set our materiality based on 1% of forecasted sovereign pledges held at fair value as at
determining 31 December 2022. We reassessed the materiality at 31 December 2022 and continued to
materiality use the same materiality based on the forecasted figures given it was lower. The parent
charitable company materiality was also determined as 1% of forecasted sovereign
pledges but capped at 95% of group materiality.
Rationale for the
IFFIm’s main purpose is to raise funds to support Gavi for its health and immunisation
benchmark
applied		 programmes. These are financed by sovereign pledges and represents the capital of the
bondholders as IFFIm converts these pledges into immediately available cash resources by
issuing bonds in the international capital markets. Therefore, we identified this to be an
appropriate benchmark for materiality.

----- Start of picture text -----
Group materiality
US$26.0m
Component and parent
materiality range
Forecast sovereign
US$13.0m to US$24.7m
pledges US$2,599m
Forecast sovereign
pledges Audit Committee
Group materiality
reporting threshold
US$1.30m
----- End of picture text -----

6.2. Performance materiality

We set performance materiality at a level lower than materiality to reduce the probability that, in aggregate, uncorrected and undetected misstatements exceed the materiality for the financial statements as a whole.

Group financial statements
Parent charitable company financial		 Group financial statements
Parent charitable company financial
statements
Performance 70% (2021: 70%) of group materiality
70% (2021:70%) of parent charitable
materiality company materiality
Basis and In determining performance materiality, we considered the following factors:
rationale for
determining
performance
materiality		 - our risk assessment, including our assessment of the group’s overall control
environment; and
- our past experience of the audit, which has indicated a low number of
corrected and uncorrected misstatements identified in prior periods.

6.3. Error reporting threshold

We agreed with the Audit Committee that we would report to the Committee all audit differences in excess of US$1.30m (2021: US$1.80m), as well as differences below that threshold that, in our view, warranted

reporting on qualitative grounds. We also report to the Audit Committee on disclosure matters that we identified when assessing the overall presentation of the financial statements.

7. An overview of the scope of our audit

7.1. Identification and scoping of components

We determined that there were two components for the purposes of our audit. The first component related to the treasury operations of the parent charitable company which are managed in the United States of America. The parent charitable company accounts for 100% of the asset (2021: 99.99%) balance and 100% of the liabilities of the group (2021: 99.99%). It includes all treasury related balances managed by the World Bank and this component was subject to a full scope audit at a component materiality which was lower than the group materiality. The second component related to one other legal entity, which is a subsidiary incorporated in the Cayman Islands.

As there are two legal entities in the group, consolidated financial statements have been prepared in accordance with UK GAAP; however, the subsidiary entity is immaterial to the group.

7.2. Working with other auditors

As described in the summary of audit scope section of the auditor’s report, the parent charitable company is reliant upon treasury management, risk management and accounting services provided by the World Bank. As such, we instructed Deloitte US to perform certain procedures on our behalf. As part of this work, Deloitte US performed procedures over the key audit matter set out above in this report and we directed the work performed by Deloitte US. In discharging this responsibility, we set materiality and the scope of the audit work and actively engaged in determining the nature, timing and extent of audit procedures. We also held regular virtual meetings with the Deloitte US team to oversee the component audit. We reviewed the component audit file remotely and held regular calls with the component team to discuss the results of their work and resolve any queries.

7.3. Our consideration of the control environment

In assessing the control environment, we also considered the control environments of the key service providers, including the World Bank and GAVI, to whom the board have delegated certain functions for the parent charitable company and its subsidiary entity. We adopted a control reliance approach in respect of the valuation of sovereign pledges controls by testing the relevant controls performed by the World Bank.

7.4. Our consideration of climate related risks

As part of our audit we made enquiries of management to understand the process they have adopted to assess the potential impact of climate change on the financial statements. We used our knowledge of the group to evaluate management’s assessment of the impact on the financial statement.

8. Other information

The other information comprises the information included in the annual report of the trustees, other than the financial statements and our auditor’s report thereon. The trustees are responsible for the other information contained within the annual report.

Our opinion on the financial statements does not cover the other information and, except to the extent otherwise explicitly stated in our report, we do not express any form of assurance conclusion thereon.

Our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the course of the audit, or otherwise appears to be materially misstated.

If we identify such material inconsistencies or apparent material misstatements, we are required to determine whether this gives rise to a material misstatement in the financial statements themselves. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact.

We have nothing to report in this regard.

9. Responsibilities of trustees

As explained more fully in the statement of responsibilities of the trustees, the trustees (who are also the directors of the charitable company for the purposes of company law) are responsible for the preparation of the financial statements and for being satisfied that they give a true and fair view, and for such internal control as the trustees determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.

In preparing the financial statements, the trustees are responsible for assessing the group’s and the parent charitable company’s ability to continue as a going concern, disclosing as applicable, matters related to going concern and using the going concern basis of accounting unless the trustees either intend to liquidate the group or the parent charitable company or to cease operations, or have no realistic alternative but to do so.

10.Auditor’s responsibilities for the audit of the financial statements

Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor’s report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with ISAs (UK) will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements.

A further description of our responsibilities for the audit of the financial statements is located on the FRC’s website at: www.frc.org.uk/auditorsresponsibilities. This description forms part of our auditor’s report.

11.Extent to which the audit was considered capable of detecting irregularities, including fraud

Irregularities, including fraud, are instances of non-compliance with laws and regulations. We design procedures in line with our responsibilities, outlined above, to detect material misstatements in respect of irregularities, including fraud. The extent to which our procedures are capable of detecting irregularities, including fraud is detailed below.

11.1. Identifying and assessing potential risks related to irregularities

In identifying and assessing risks of material misstatement in respect of irregularities, including fraud and noncompliance with laws and regulations, we considered the following:

As a result of these procedures, we considered the opportunities and incentives that may exist within the organisation for fraud and identified the greatest potential for fraud in the following area: valuation of sovereign pledges. In common with all audits under ISAs (UK), we are also required to perform specific procedures to respond to the risk of management override.

We also obtained an understanding of the legal and regulatory framework that the group operates in, focusing on provisions of those laws and regulations that had a direct effect on the determination of material amounts and disclosures in the financial statements. The key laws and regulations we considered in this context included the UK Companies Act, , the Charities Act 2011 and tax legislation.

In addition, we considered provisions of other laws and regulations that do not have a direct effect on the financial statements but compliance with which may be fundamental to the group’s ability to operate or to avoid a material penalty. These included requirements set by the Charity Commission for England and Wales (‘Charity Commission’).

11.2. Audit response to risks identified

As a result of performing the above, we identified valuation of sovereign pledges as a key audit matter related to the potential risk of fraud. The key audit matters section of our report explains the matter in more detail and also describes the specific procedures we performed in response to that key audit matter.

In addition to the above, our procedures to respond to risks identified included the following:

We also communicated relevant identified laws and regulations and potential fraud risks to all engagement team members including internal specialists and significant component audit teams, and remained alert to any indications of fraud or non-compliance with laws and regulations throughout the audit.

Report on other legal and regulatory requirements

12.Opinions on other matters prescribed by the Companies Act 2006

In our opinion, based on the work undertaken in the course of the audit:

In the light of the knowledge and understanding of the group and the parent charitable company and their environment obtained in the course of the audit, we have not identified any material misstatements in the strategic report or the trustees’ report.

13.Matters on which we are required to report by exception

13.1. Adequacy of explanations received and accounting records

Under the Companies Act 2006 we are required to report to you if, in our opinion:

We have nothing to report in respect of these matters.

13.2 Trustees’ remuneration

Under the Companies Act 2006 we are also required to report if in our opinion certain disclosures of trustees’ remuneration have not been made.

We have nothing to report in respect of this matter.

14.Use of our report

This report is made solely to the IFFIm’s members, as a body, in accordance with Chapter 3 of Part 16 of the Companies Act 2006. Our audit work has been undertaken so that we might state to IFFIm’s members those matters we are required to state to them in an auditor’s report and for no other purpose. To the fullest extent permitted by law, we do not accept or assume responsibility to anyone other than IFFIm and IFFIm’s members as a body, for our audit work, for this report, or for the opinions we have formed.

Simon Stephens, FCA (Senior statutory auditor)

For and on behalf of Deloitte LLP

Statutory Auditor London, United Kingdom

2 June 2023