Asian Infrastructure Investment Bank 18-K/A Annual report (foreign governments) (amended)

Exhibit 6

Asian Infrastructure Investment Bank

Condensed Financial Statements (Unaudited)

for the Three Months Ended March 31, 2022

Contents

Financial Statements

Condensed Statement of Comprehensive Income	1
Condensed Statement of Financial Position	2
Condensed Statement of Changes in Equity	3
Condensed Statement of Cash Flows	4
Notes to the Condensed Financial Statements	5-47
A.        General Information	5
B.        Accounting Policies	5-6
C.        Disclosure Notes	7-29
D.        Financial Risk Management	30-43
E.        Fair Value Disclosure	44-47

Asian Infrastructure Investment Bank

Condensed Statement of Comprehensive Income

For the three months ended March 31, 2022

In thousands of US Dollars	Note	For the three months ended March 31, 2022 (unaudited)			For the three months ended March 31, 2021 (unaudited)
Interest income	C1		72,108			62,722
Interest expense	C1		(56,612	)		(41,139	)
Net interest income			15,496			21,583
Net fee and commission income	C2		7,917			4,565
Net gain on financial instruments measured at fair value through profit or loss	C3		123,429			65,649
Net loss on financial instruments measured at amortized cost	C9		(8,313	)		(510	)
Share of gain/(loss) on investment in associate	C10		466			(45	)
Impairment provision	C4		(104,779	)		(4,674	)
General and administrative expenses	C5		(39,064	)		(33,173	)
Net foreign exchange loss			(42,144	)		(46,693	)
Operating (loss)/profit for the period			(46,992	)		6,702
Accretion of paid-in capital receivables	C11		680			1,630
Net (loss)/profit for the period			(46,312	)		8,332
Other comprehensive income
Items will not be reclassified to profit or loss
Unrealized gain/(loss) on fair-valued borrowings arising from changes in own credit risk	C13		63,477			(16,856	)
Total comprehensive income/(loss)			17,165			(8,524	)
Attributable to:
Equity holders of the Bank			17,165			(8,524	)

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

1

Asian Infrastructure Investment Bank

Condensed Statement of Financial Position

As at March 31, 2022

In thousands of US Dollars	Note	March 31, 2022 (unaudited)			Dec. 31, 2021 (audited)
Assets
Cash and cash equivalents	C6		1,087,536			2,109,608
Term deposits	C6		11,252,155			11,748,908
Investments at fair value through profit or loss	C7		11,743,318			10,565,949
Loan investments, at amortized cost	C8		13,479,798			12,245,887
Bond investments, at amortized cost	C9		2,483,575			2,495,119
Paid-in capital receivables	C11		328,280			303,695
Derivative assets	C14		442,413			248,371
Investment in associate	C10		41,808			33,842
Property and equipment			4,025			4,330
Intangible assets			5,818			5,107
Other assets	C12		1,090,127			477,323
Total assets			41,958,853			40,238,139
Liabilities
Borrowings	C13		20,065,527			19,267,851
Derivative liabilities	C14		1,180,527			563,604
Prepaid paid-in capital			1,200			1,200
Other liabilities	C15		498,431			239,566
Total liabilities			21,745,685			20,072,221
Members’ equity
Paid-in capital	C16		19,385,900			19,355,000
Reserves
Accretion of paid-in capital receivables			(3,598	)		(3,463	)
Unrealized gain/(loss) on fair-valued borrowings arising from changes in own credit risk	C13		1,855			(61,622	)
Retained earnings			829,011			876,003
Total members’ equity			20,213,168			20,165,918
Total liabilities and members’ equity			41,958,853			40,238,139

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

2

Asian Infrastructure Investment Bank

Condensed Statement of Changes in Equity

For the three months ended March 31, 2022

										Reserves
In thousands of US Dollars	Note		Subscribed capital		Less: callable capital			Paid-in capital		Accretion of paid-in capital receivables			Unrealized (loss)/gain on fair-valued borrowings arising from changes in own credit risk			Retained earnings			Total members’ equity
Jan. 1, 2021				96,748,900		(77,399,100	)		19,349,800		(8,198	)		(23,703	)		825,858			20,143,757
Capital subscription and contribution				11,200		(8,960	)		2,240		-			-			-			2,240
Net profit for the period				-		-			-		-			-			8,332			8,332
Other comprehensive income				-		-			-		-			(16,856	)		-			(16,856	)
Paid-in capital receivables - accretion effect				-		-			-		(6	)		-			-			(6	)
Transfer of accretion		C11		-		-			-		1,630			-			(1,630	)		-
March 31, 2021 (unaudited)		C16		96,760,100		(77,408,060	)		19,352,040		(6,574	)		(40,559	)		832,560			20,137,467
Jan. 1, 2022				96,775,100		(77,420,100	)		19,355,000		(3,463	)		(61,622	)		876,003			20,165,918
Capital subscription and contribution				154,600		(123,700	)		30,900		-			-			-			30,900
Net loss for the period				-		-			-		-			-			(46,312	)		(46,312	)
Other comprehensive income				-		-			-		-			63,477			-			63,477
Paid-in capital receivables - accretion effect				-		-			-		(815	)		-			-			(815	)
Transfer of accretion		C11		-		-			-		680			-			(680	)		-
March 31, 2022 (unaudited)		C16		96,929,700		(77,543,800	)		19,385,900		(3,598	)		1,855			829,011			20,213,168

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

3

Asian Infrastructure Investment Bank

Condensed Statement of Cash Flows

For the three months ended March 31, 2022

In thousands of US Dollars	Note		For the three months ended March 31, 2022 (unaudited)			For the three months ended March 31, 2021 (unaudited)
Cash flows from operating activities
Net (loss)/profit for the period				(46,312	)		8,332
Adjustments for:
Interest income from term deposits and certificates of deposit				(13,146	)		(20,354	)
Interest expense for borrowings				56,626			39,960
Issuance cost for borrowings		C5		1,363			3,921
Accretion of paid-in capital receivables		C11		(680	)		(1,630	)
Net gain on financial instruments measured at fair value through profit or loss				(123,255	)		(65,105	)
Share of (gain)/loss on investment in associate				(466	)		45
Impairment provision		C4		104,779			4,674
Depreciation and amortization				591			479
Increase in loan investments		C8		(1,324,775	)		(1,145,736	)
Decrease/(Increase) in bond investments				24,111			(21,336	)
Decrease in funds deposited for cofinancing arrangements				-			3,891
Net cash received from derivatives				27,184			11,835
Increase in other assets				(613,684	)		(185,182	)
Increase in other liabilities				253,809			33,880
Net cash used in operating activities				(1,653,855	)		(1,332,326	)
Cash flows from investing activities
Investment purchases, net				(1,334,539	)		(1,627,261	)
Return of capital contributions		C7		15,489			5,060
Decrease/(Increase) in term deposits				500,000			(423,547	)
Increase in investment in associate		C10		(7,500	)		(7,500	)
Interest received from term deposits				9,897			26,265
Increase in intangible assets and PPE				(116	)		(125	)
Net cash used in investing activities				(816,769	)		(2,027,108	)
Cash flows from financing activities
Proceeds from borrowings, net		C13		1,509,393			3,502,289
Repayments of borrowings		C13		(33,156	)		-
Interest payments on borrowings		C13		(33,865	)		(9,137	)
Capital contributions received		C11		6,180			49,606
Net cash from financing activities				1,448,552			3,542,758
Net (decrease)/increase in cash and cash equivalents				(1,022,072	)		183,324
Cash and cash equivalents at beginning of period				2,109,608			2,702,461
Cash and cash equivalents at end of period		C6		1,087,536			2,885,785

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

4

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

A General Information

The Asian Infrastructure Investment Bank (the “Bank” or “AIIB”) is a multilateral development bank. By the end of year 2015, representatives from 57 countries signed AIIB’s Articles of Agreement (the “AOA”) which entered into force on Dec. 25, 2015. The Bank commenced operations on Jan. 16, 2016. AIIB’s principal office is in Beijing, the People’s Republic of China (the “PRC”).

As at March 31, 2022, the Bank’s total approved membership is 105, of which 89 have completed the membership process and have become members of AIIB in accordance with the AOA.

AIIB’s purpose is to (i) foster sustainable economic development, create wealth and improve infrastructure connectivity in Asia by investing in infrastructure and other productive sectors; and (ii) promote regional cooperation and partnership in addressing development challenges by working in close collaboration with other multilateral and bilateral development institutions.

The legal status, privileges and immunities for the operation and functioning of AIIB in the PRC are agreed in the AOA and further defined in the Headquarters Agreement between the government of the People’s Republic of China (the “Government”) and the Bank on Jan. 16, 2016.

B Accounting Policies

B1 Basis of preparation

These condensed interim financial statements for the three months ended March 31, 2022 have been prepared in accordance with International Financial Reporting Standard: IAS 34 Interim Financial Reporting, and should be read in conjunction with the annual financial statements for the year ended Dec. 31, 2021.

The accounting policies adopted are consistent with those used in the Bank’s annual financial statements for the year ended Dec. 31, 2021.

The preparation of financial statements in conformity with IFRS requires the use of certain critical accounting estimates. It also requires management to exercise judgment in its process of applying the Bank’s accounting policies. The financial statements have been prepared on a going concern basis.

5

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

B Accounting Policies

B2 New accounting pronouncements

The new accounting pronouncements, amendments and interpretations issued during the three months ended March 31, 2022, do not have any significant impact on the operating results, financial position and comprehensive income of the Bank, based on the assessment of the Bank.

B3 Comparatives

The comparative date of the Condensed Statement of Financial Position is as at Dec. 31, 2021, while the comparative period of the Condensed Statement of Comprehensive Income, the Condensed Statement of Changes in Equity and the Condensed Statement of Cash Flows are from Jan. 1, 2021 to March 31, 2021.

6

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

C Disclosure Notes

C1 Interest income and expense

	For the three months ended March 31, 2022			For the three months ended March 31, 2021
Interest income
Loan investments (1)		48,814			37,251
Cash, cash equivalents, and deposits		13,647			20,512
Bond investments		9,647			4,959
Total interest income		72,108			62,722
Interest expense
Borrowings (2)		(56,612	)		(41,139	)
Total interest expense		(56,612	)		(41,139	)
Net interest income		15,496			21,583

(1) Interest income for loan investments includes amortization of front-end fees, and other incremental and directly related costs in relation to loan origination that are an integral part of the effective interest rate of those loans.

(2) Interest expense is accrued mainly based on the notional coupon rate. However, the Bank uses derivatives to manage interest rate and foreign currency risks, and hence, the actual borrowing cost for the Bank is swapped from fixed to floating rate. The hedging results are presented in Note C14 Derivatives.

C2 Net fee and commission income

	For the three months ended March 31, 2022			For the three months ended March 31, 2021
Loan commitment fee and service fee		7,738			4,861
Special Funds administration fee (Note C20)		63			56
MCDF administration fee (1)		644			-
MCDF IP administration fee (2)		91			-
Total fee and commission income		8,536			4,917
Cofinancing service fee		(619	)		(352	)
Total fee and commission expense		(619	)		(352	)
Net fee and commission income		7,917			4,565

(1) According to the Governing Instrument of the Finance Facility of the Multilateral Cooperation Center for Development Finance (“Finance Facility”) and the agreement on the terms and conditions of service as the Administrator of the MCDF Finance Facility, AIIB provides administrative and financial services to the MCDF Finance Facility, including the establishment and hosting of the MCDF Secretariat. Therefore, the Bank charges an administration fee for costs associated with the work carried out as the administrator of the MCDF Finance Facility. The MCDF serves as a multilateral initiative to foster high-quality infrastructure and connectivity investments in developing countries.

(2) In March 2022, the Bank received USD91 thousand of administration fee from the MCDF Finance Facility relating to costs associated with project implementation as part of AIIB’s role as an implementing partner of the MCDF Finance Facility.

7

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

C Disclosure Notes

C3 Net gain on financial instruments measured at fair value through profit or loss

	For the three months ended March 31, 2022			For the three months ended March 31, 2021
Money Market Funds (Note C6)		174			544
Investments at fair value through profit or loss (Note C7)		(120,256	)		(8,149	)
Borrowings (Note C13)		639,208			245,830
Derivatives:
-    Borrowings associated		(656,575	)		(232,419	)
-    Loan investments associated		176,989			59,843
-    Liquidity portfolio and bond investments associated		83,889			-
Total		123,429			65,649

C4 Impairment provision

	For the three months ended March 31, 2022		For the three months ended March 31, 2021
Impairment provision for
-    Loan investments (Note C8)		95,920		5,029
-    Bond investments (Note C9)		8,859		(355	)
Total impairment provision		104,779		4,674

C5 General and administrative expenses

	For the three months ended March 31, 2022		For the three months ended March 31, 2021
Staff costs		21,942		17,007
Professional service expenses		5,906		4,495
IT services		4,006		2,973
Facilities and administration expenses		3,623		3,374
Issuance cost for borrowings		1,363		3,921
Travelling expenses		479		241
Others		1,745		1,162
Total general and administrative expenses		39,064		33,173

Refer to Note C20 for details of key management remuneration.

8

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

C Disclosure Notes

C6 Cash, cash equivalents, and deposits with banks

	March 31, 2022		Dec. 31, 2021
Cash				-
Deposits with banks
-    Demand deposits (1)		137,329		199,487
-    Term deposits with initial maturity of three months or less		200,142		200,099
Money Market Funds (2)		750,065		1,710,022
Total cash and cash equivalents		1,087,536		2,109,608
Add: term deposits with initial maturity       more than three months (3)		11,252,155		11,748,908
Total cash, cash equivalents, and deposits with banks		12,339,691		13,858,516

⁽¹⁾  USD50.31 million of demand deposits is segregated for the externally managed portfolios (Dec. 31, 2021: USD40.04 million).

⁽²⁾  Money Market Funds

	For the three months ended March 31, 2022			For the year ended Dec. 31, 2021
As at beginning of period/year		1,710,022			1,900,091
Additions		6,375,000			26,020,000
Disposals		(7,335,131	)		(26,211,432	)
Fair value gain, net		174			1,363
Total Money Market Funds		750,065			1,710,022

Money Market Funds (“MMFs”) are rated triple-A equivalent and invest in a diversified portfolio of short-term high-quality assets. The objective of the investment is only to meet short-term cash commitments. The MMFs are subject to an insignificant risk of changes in value, with daily liquidity and an investment return comparable to normal USD denominated money market interest rates. The MMFs are exposed to credit, market and liquidity risks, and are measured at fair value.

⁽³⁾  Term deposits with initial maturity more than three months have maturities up to 24 months. As at March 31, 2022, USD11.45 billion of term deposits has remaining maturity within 12 months (Dec. 31, 2021: USD11.65 billion).

9

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

C Disclosure Notes

C7 Investments at fair value through profit or loss

	For the three months ended March 31, 2022			For the year ended Dec. 31, 2021
As at beginning of period/year		10,565,949			6,652,155
Additions		1,313,114			3,922,183
Return of capital contributions		(15,489	)		(13,335	)
Net (loss)/gain of investments		(120,256	)		4,946
Total investments at fair value through profit or loss		11,743,318			10,565,949

Analysis of investments at fair value through profit or loss:

	March 31, 2022		Dec. 31, 2021
External Managers Program (a)		4,058,157		4,104,144
Certificates of deposit (b)		3,474,545		3,143,959
Bond investments (c)		3,530,956		2,710,777
Investment operation fixed-income portfolio (d)		226,531		274,843
LP Funds and others (e)		398,085		277,809
Investment in Trust (f)		55,044		54,417
Total investments at fair value through profit or loss		11,743,318		10,565,949

The Bank has the following investments in certain unconsolidated structured entities:

(a) The Bank has engaged external asset managers to invest in portfolios of high credit quality securities (the “External Managers Program”). The portfolios are fair value measured and securities are eligible for sale. The following table sets out the amounts of the investment portfolio by asset categories.

External Managers Program	March 31, 2022		Dec. 31, 2021
Investment grade corporate and financial bonds		1,766,458		1,809,008
Sovereign, Supranational and Agency bonds		1,452,772		1,734,072
Treasury bills and notes		381,357		223,255
Term deposits and certificates of deposit		262,669		141,715
Commercial paper		83,136		83,121
Other investment securities		111,765		112,973
Total		4,058,157		4,104,144

10

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

C Disclosure Notes

C7 Investments at fair value through profit or loss (Continued)

(b) The Bank invests in certificates of deposit which are actively managed within treasury portfolio and measured at fair value through profit or loss. The certificates of deposit are of high credit quality.

(c) The Bank invests in bond securities which are actively managed. Therefore, the bond investments are measured at fair value through profit or loss. The bonds invested are of high credit quality. The Bank also invested in infrastructure asset-backed securities issued by the Special Purpose Vehicle sponsored by the associate that the Bank holds direct equity interests (Note C10).

(d) The Bank has engaged external asset managers to invest in a fixed-income portfolio. The objective of this portfolio is to develop the climate bond markets in Asia, composing of labeled green bonds and unlabeled climate-aligned bonds. The investment strategy targets climate bond issuers who rate high on the evaluation of three dimensions related to the Paris Agreement: (a) climate mitigation, (b) climate adaptation and (c) contribution to the transition to a low carbon, climate resilient economy.

(e) The Bank invests in limited partnership funds (“LP Funds”), which are managed by the general partners, who make all investment decision on behalf of the limited partners. The Bank, along with other investors, has entered into the LP Funds as a limited partner with a capital commitment which will be drawn down over the commitment period of the LP Funds, based on drawdown notices issued by the general partners. The LP Funds do not have an expected maturity date within twelve months.

(f) The Bank has invested in the units of a Trust (the “Trust”) which holds a portfolio of five operating roads and highways assets in India. The units of the Trust are listed on the National Stock Exchange of India Limited. The Trust is managed by an investment manager who make investment decisions on behalf of the Trust as per the Trust Deed and the Investment Management Agreement. The Trust does not have an expected maturity date within twelve months.

11

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

C Disclosure Notes

C8 Loan investments, loan commitments and related ECL allowance

Loan investments	March 31, 2022			Dec. 31, 2021
Gross carrying amount		13,746,563			12,421,788
ECL allowance		(266,765	)		(175,901	)
Net carrying amount		13,479,798			12,245,887

Loan investments are carried at amortized cost. At initial recognition, loan investments are measured at fair value using the assumptions market participants of either sovereign-backed or nonsovereign-backed projects would use when pricing the loan assets. The market where the Bank enters into such transactions is considered to be the principal market. The transaction price normally represents the fair value of loans at their initial recognition.

All sovereign-backed loans to eligible members are subject to the same pricing, taking into account the “preferred creditor status” and other terms giving the Bank rights more favorable than those available to commercial creditors. The Bank applies commercial pricing practices to nonsovereign-backed loans. The Bank has no intention to sell sovereign-backed loans, nor does it believe there is a secondary market for such loans.

The Bank began offering variable spread loans in 2019 where the lending rate consists of a variable reference rate and a variable spread. The variable spread consists of a fixed contractual lending spread and maturity premium along with a variable borrowing cost margin. The reference rate and the borrowing cost margin are determined at each interest rate reset date and are applicable for the following three months. The borrowing cost margin is based on the cost of the underlying funding for these loans at the time of the reset. As at March 31, 2022, USD7,409 million of the total carrying amount of the

Bank’s loans are variable spread loans (Dec. 31, 2021: USD6,436.65 million).

As at March 31, 2022, USD309.06 million of the total carrying amount matures within 12 months (Dec. 31, 2021: USD287.42 million).

The following table sets out overall information about the credit quality of loan investments and loan commitments issued for effective contracts as at March 31, 2022. The gross amounts of loans are net of the transaction costs and fees that are capitalized through the effective interest method, or EIR method.

	March 31, 2022			Dec. 31, 2021
Loan investments, gross carrying amount		13,746,563			12,421,788
Loan commitments		11,663,346			10,287,656
		25,409,909			22,709,444
Total ECL allowance (a)		(278,695	)		(182,775	)
		25,131,214			22,526,669

12

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

C Disclosure Notes

C8 Loan investments, loan commitments and related ECL allowance (Continued)

(a) As at March 31, 2022, the total ECL related to loan commitments is USD11.93 million (Dec. 31, 2021: USD6.87 million), and is presented as a provision in Note C15.

For the three months ended March 31, 2022, the impairment losses on loan investments and loan commitments were USD95.92 million (for the three months ended March 31, 2021: USD5.03 million), as disclosed in Note C4.

C9 Bond investments at amortized cost

Bond investments	March 31, 2022			Dec. 31, 2021
Externally managed fixed-income portfolio (a)		1,995,976			1,998,208
Investment operations Asian infrastructure-related bonds (b)		500,982			501,435
Gross carrying amount		2,496,958			2,499,643
ECL allowance		(13,383	)		(4,524	)
Net carrying amount		2,483,575			2,495,119

(a) In Sep. 2021, the Bank engaged an external asset manager to invest in a portfolio of high credit quality securities. The portfolio adopts a hold-to-maturity business strategy. The bonds are initially recognized at fair value and subsequently measured at amortized cost.

(b) The Bank has invested in a fixed income portfolio which comprises primarily Asian infrastructure-related bonds. The bonds are initially recognized at fair value and subsequently measured at amortized cost.

For the three months ended March 31, 2022, USD8.31 million investment loss was recognized as a result of disposal of certain bonds in the portfolios (for the three months ended March 31, 2021: USD0.51 million).

Bond investments at amortized cost are subject to credit losses estimated by applying an ECL model, assessed on a forward-looking basis.

As at March 31, 2022, USD22.96 million of the gross carrying amount matures within 12 months (Dec. 31, 2021: USD48.54 million).

13

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

C Disclosure Notes

C10 Investment in associate

On April 2, 2020, the Bank subscribed for a 30% economic interest in a private company incorporated in Singapore and limited by shares. The purpose of the investee is to acquire and securitize infrastructure loans. As at March 31, 2022, the undrawn capital commitment is USD12 million (Dec. 31, 2021: USD19.5 million).

For the three months ended March 31, 2022, the associate recognized a profit of USD1.5 million (for the year ended Dec. 31, 2021: loss of USD0.72 million). The Bank has recorded a net profit of USD0.5 million following the equity method (for the year ended Dec. 31, 2021: net loss of USD0.22 million).

	For the three months ended March 31, 2022		For the year ended Dec. 31, 2021
As at beginning of period/year		33,842		26,559
Additions		7,500		7,500
Share of gain/(loss) for the period/year		466		(217	)
Total investment in associate		41,808		33,842

C11 Paid-in capital receivables

According to the AOA, payments for paid-in capital (refer to Note C16) are due in five installments, with the exception of members considered as less developed countries, who may pay in ten installments. Paid-in capital receivables represent amounts due from members in respect of paid-in capital. These amounts are initially recognized at fair value and subsequently measured at amortized cost. The fair value discount is accreted through income using the effective interest method. For the three months ended March 31, 2022, a total discount of USD0.82 million (for the three months ended March 31, 2021: USD0.01 million) has been debited to the reserve. An amount of USD0.68 million (for the three months ended March 31, 2021: USD1.63 million) has been accreted through income in the current period.

As at March 31, 2022, overdue contractual undiscounted paid-in capital receivables amounting to USD190.37 million (Dec. 31, 2021: USD149.96 million) (Note C16) are not considered impaired. Of this amount, USD0.19 million has been collected by the date of publication of the financial statements for the three months ended March 31, 2022.

14

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

C Disclosure Notes

C11 Paid-in capital receivables (Continued)

As at March 31, 2022, USD250.38 million (Dec. 31, 2021: USD241.00 million) of the paid-in capital balance is due within 12 months.

	For the three months ended March 31, 2022			For the year ended Dec. 31, 2021
As at beginning of period/year		303,695			436,074
Paid-in capital receivables originated		30,085			5,151
Contributions received		(6,180	)		(142,073	)
Transfer from prepaid paid-in capital to contribution		-			(240	)
Accretion to profit or loss		680			4,783
Total paid-in capital receivables		328,280			303,695

C12 Other assets

	March 31, 2022		Dec. 31, 2021
Cash collateral receivable (Note C14)		1,043,530		464,950
Receivable for bond investments sold		39,050		3,613
Prepayments		5,821		6,503
Receivable for MCDF administration fee		644		1,381
Others		1,082		876
Total other assets		1,090,127		477,323

C13 Borrowings

	March 31, 2022		Dec. 31, 2021
i) Borrowings carried at fair value
SEC-registered notes (a)		13,349,977		13,855,963
Global Medium-Term Notes (b)		4,474,534		3,533,466
Australian Dollar and New Zealand Dollar Bonds (c)		1,059,126		701,048
RMB Denominated Panda Bond (d)		481,480		476,956
Total borrowings at fair value		19,365,117		18,567,433
	March 31, 2022		Dec. 31, 2021
ii) Borrowings carried at amortized cost
Global Medium-Term Notes (b)		700,410		700,418
Total borrowings at amortized cost		700,410		700,418
Total borrowings		20,065,527		19,267,851

^(a) As at March 31, 2022, the Bank has issued a total of USD14 billion SEC-registered fixed rate global notes in the capital markets. These notes are listed on the London Stock Exchange’s main market. The following table sets out the details of the SEC- registered notes.

15

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

C Disclosure Notes

C13 Borrowings (Continued)

(in USD million)
Date of issuance	Notional amount		Cash proceeds		Coupon (per annum)			Coupon payment		Maturity date
May 16, 2019		2,500		2,492.95		2.25	%		Semi-annual		May 16, 2024
May 28, 2020		3,000		2,984.94		0.50	%		Semi-annual		May 28, 2025
Sep. 29, 2020		3,000		2,994.09		0.25	%		Semi-annual		Sep. 29, 2023
Jan. 27, 2021		3,000		2,987.16		0.50	%		Semi-annual		Jan. 27, 2026
Sep. 16, 2021		2,500		2,496.30		0.50	%		Semi-annual		Oct. 30, 2024
Total		14,000		13,955.44

^(b)  As of March 31, 2022, the Bank issued a total of USD5,121.17 million equivalent fixed rate notes, and a total of USD700.00 million floating rate notes under its Global Medium-Term Note (“GMTN”) program through a combination of private and public placements, of which issued amount of USD263.12 million equivalent fixed rate notes have repaid. The following table sets out the details of the GMTN notes by denominated currency.

GMTNs in denominated
currency	March 31, 2022		Dec. 31, 2021
GBP		2,070,561		1,320,040
USD		1,100,000		1,050,000
CNH		677,742		583,338
TRY		398,686		398,686
HKD		304,476		240,311
ZAR		165,598		165,598
IDR		138,355		138,355
Others		702,631		509,068
Total		5,558,049		4,405,396

^(c)  As at March 31, 2022, the Bank has issued a total of USD1,111.08 million equivalent fixed rate notes under its Australian Dollar and New Zealand Dollar Debt Issuance program through a combination of private and public placements.

^(d)  On June 15, 2020, the Bank issued Renminbi denominated bonds on China’s interbank bond market (“RMB Denominated Panda Bond”) in the aggregate amount of CNY3 billion, at a fixed interest rate of 2.4% p.a., payable annually, and a maturity date of June 15, 2023.

Borrowings that are paired with swaps are designated as financial liabilities at fair value through profit or loss, in order to significantly reduce accounting mismatches that would have otherwise arisen if the borrowings were carried at amortized cost while the related swaps are carried at fair value. Interest from borrowings was calculated based on outstanding balances of the borrowings and coupon rates and presented as interest expense in the Statement of Comprehensive Income.

16

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

C Disclosure Notes

C13 Borrowings (Continued)

Floating rate notes are carried at amortized cost with interest expenses recognized under effective interest rate method.

The fair value changes for financial liabilities that are designated as at fair value through profit or loss, that is attributable to changes in the Bank’s own credit risk, are recognized in other comprehensive income in accordance with the requirements of IFRS 9. Fair value movements attributable to changes in the Bank’s own credit risk are determined using the mark-to-market approach by applying an observable own credit spread curve to the Bank’s exposure at the reporting date.

For the three months ended March 31, 2022, the fair value gain attributable to changes in the Bank’s own credit risk included in the other comprehensive income amounted to USD63.48 million (for the three months ended March 31, 2021: fair value loss of USD16.86 million).

The following table sets out information about changes in liabilities arising from borrowing activities, including changes arising from cash flows and non-cash changes for the three months ended March 31, 2022 and the year ended Dec. 31, 2021.

	For the three months ended March 31, 2022			For the year ended Dec. 31, 2021
As at beginning of period/year		19,267,851			11,595,193
Changes arising from cash flows
-    Proceeds from borrowings, net		1,509,393			8,515,277
-    Repayment of borrowings		(33,156	)		(229,914	)
-    Interest payments		(33,865	)		(154,179	)
-    Issuance cost for borrowings		1,363			7,035
Non-cash changes
-     Accrued interest		56,626			188,348
-    Changes in fair values included in the other     comprehensive income		(63,477	)		37,919
-    Changes in fair values included in profit or     loss (Note C3)		(639,208	)		(691,828	)
Total borrowings		20,065,527			19,267,851

C14 Derivatives

As at Mach 31, 2022, the Bank has entered into several interest rate swap, foreign exchange forward and cross currency swap contracts. The Bank makes use of derivatives primarily to hedge the Bank’s borrowings, so as to convert issuance proceeds into the currency and interest rate structure sought by the Bank. The Bank also uses derivatives to manage the net interest rate and foreign exchange risks arising from its financial assets including, but not limited to, loans, certificates of deposit and bond investments.

Derivative contracts are financial instruments valued at each reporting date using valuation techniques that consider observable market data such as yield curves, interest rates, and foreign currency rates. Net interest paid or received on these derivative contracts is included within the net gain on financial instruments.

17

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

C Disclosure Notes

C14 Derivatives (Continued)

The following table sets out the contractual notional amounts and fair values of the derivatives as at March 31, 2022 and Dec. 31, 2021. The payments under each of the derivative contracts are subject to enforceable master netting arrangements.

	As at March 31, 2022 Fair value
	Contractual notional amount		Assets		Liabilities
Derivatives
Interest rate swaps		23,147,956		83,777		664,979
Cross currency swaps		7,191,202		340,948		511,958
FX forward		1,655,556		17,688		3,590
Total derivatives		31,994,714		442,413		1,180,527
	As at Dec. 31, 2021 Fair value
	Contractual notional amount		Assets		Liabilities
Derivatives
Interest rate swaps		17,128,174		82,288		274,394
Cross currency swaps		5,618,288		158,682		284,095
FX forward		1,352,775		7,401		5,115
Total derivatives		24,099,237		248,371		563,604

The table below presents the undiscounted cash flows in/(out) of the derivatives the Bank has entered into as at March 31, 2022 and Dec. 31, 2021.

	As at March 31, 2022
	Less than 1 month			1-3 months			3-12 months			1-5 years			Over 5 years		Total
Derivatives
Interest rate swaps		34,990			(154,617	)		(483,950	)		2,655			85		(600,837	)
Gross settling cross currency swaps - inflow		13,866			528,276			6,796,303			158,345			199		7,496,989
Gross settling cross currency swaps - outflow		(17,287	)		(556,080	)		(6,927,072	)		(163,090	)		-		(7,663,529	)
Gross settling FX forward - inflow		476,586			653,397			530,391			-			-		1,660,374
Gross settling FX forward - outflow		(467,752	)		(653,934	)		(523,056	)		-			-		(1,644,742	)
Total derivatives		40,403			(182,958	)		(607,384	)		(2,089	)		284		(751,745	)

18

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

C Disclosure Notes

C14 Derivatives (Continued)

	As at Dec. 31, 2021
	Less than 1 month			1-3 months			3-12 months			1-5 years			Over 5 years			Total
Derivatives
Interest rate swaps		5,852			(6,941	)		17,643			(214,093	)		1,025			(196,514	)
Gross settling cross currency swaps - inflow		10,859			16,729			311,739			5,478,816			69,077			5,887,220
Gross settling cross currency swaps - outflow		(3,564	)		(7,510	)		(317,513	)		(5,472,457	)		(60,708	)		(5,861,752	)
Gross settling FX forward - inflow		339,733			624,346			388,696			-			-			1,352,775
Gross settling FX forward - outflow		(339,600)			(626,875	)		(383,569	)		-			-			(1,350,044	)
Total derivatives		13,280			(251	)		16,996			(207,734	)		9,394			(168,315	)

The Bank requires collateral in the form of cash against the exposures to derivative counterparties. The Bank records cash collateral in respect of the interest rate swaps and cross currency swaps based on the fair value of the swaps. This amount is presented separately in the Bank’s Statement of Financial Position as the cash flows are not applied towards the settlement of net interest payments. The collateral would only be applied against amounts due in the event that some or all the corresponding swaps are terminated early, including, but not limited to, as a result of a default by the relevant counterparty. As at March 31, 2022, the Bank has received cash collateral of USD312.23 million (Note C15) (Dec. 31, 2021: USD165.76 million) from the swap counterparties, and has paid cash collateral of USD1,043.53 million (Note C12) (Dec. 31, 2021: USD464.95 million) to the swap counterparties.

Due to the collateral arrangements in the Bank’s derivatives contracts, the counterparty valuation adjustment (“CVA”) and debt valuation adjustment (“DVA”) do not have a material impact on the derivative valuations as at March 31, 2022 and Dec. 31, 2021.

As at March 31, 2022, the Bank makes use of derivatives with notional amount of USD26,308.62 million to hedge the borrowings with carrying amount of USD19,365.12 million. The Bank enters into derivatives with notional amount of USD1,582.52 million to hedge loans with carrying amount of USD1,400.38 million. The Bank makes use of derivatives with notional amount of USD206.0 million to hedge the Investment Operation fixed-income portfolio with carrying amount of USD226.62 million. Derivatives with notional amount of USD3,897.57 million are used to hedge financial instruments in Treasury Liquidity portfolio. The Bank’s risk exposures have been well managed; therefore, the respective profit and loss are effectively hedged on a net basis.

19

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

C Disclosure Notes

C15 Other liabilities

	March 31, 2022		Dec. 31, 2021
Cash collateral payable (Note C14)		312,230		165,760
Payable for bond investments purchased		109,789		-
Deferred interest (Note C20)		29,708		29,719
Accrued expenses		22,278		23,023
Provision—ECL allowance (Note C8)		11,930		6,874
Staff costs payable		9,351		8,644
Loan interest received in advance		2,654		-
Deferred administration fee (Note C20)		488		550
Payable for fund investments		-		4,990
Others		3		6
Total other liabilities		498,431		239,566

C16 Share capital

	March 31, 2022			Dec. 31, 2021
Authorized capital		100,000,000			100,000,000
– Allocated
- Subscribed		96,929,700			96,775,100
- Unsubscribed		1,651,800			1,806,400
– Unallocated		1,418,500			1,418,500
Total authorized capital		100,000,000			100,000,000
Subscribed capital		96,929,700			96,775,100
Less: callable capital		(77,543,800	)		(77,420,100	)
Paid-in capital		19,385,900			19,355,000
Paid-in capital comprises:
– amounts received		19,054,022			19,047,842
– amounts due but not yet received		190,368			149,962
– amounts not yet due		141,510			157,196
Total paid-in capital		19,385,900			19,355,000

In accordance with Articles 4 and 5 of the AOA, the initial authorized capital stock of the Bank is USD100 billion, divided into 1,000,000 shares, which shall be available for subscription only by members.

The original authorized capital stock is divided into paid-in shares and callable shares, with paid-in shares having an aggregate par value of USD20 billion and callable shares having an aggregate par value of USD80 billion.

Payment of the amount subscribed to the callable capital stock of the Bank shall be subject to call only as and when required by the Bank to meet its liabilities. Calls on unpaid subscriptions shall be uniform in percentage on all callable shares.

20

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

C Disclosure Notes

C16 Share capital (Continued)

In accordance with Article 37 of the AOA, any member may withdraw from the Bank at any time by delivering a notice in writing to the Bank at its principal office. A withdrawing member remains liable for all direct and contingent obligations to the Bank to which it was subject at the date of delivery of the withdrawal notice. At the time a country ceases to be a member, the Bank shall arrange for the repurchase of such country’s shares by the Bank as a part of the settlement of accounts with such country.

Members	Total shares		Subscribed capital		Callable capital		Paid-in capital
Afghanistan		866		86,600		69,300		17,300
Algeria		50		5,000		4,000		1,000
Argentina		50		5,000		4,000		1,000
Australia		36,912		3,691,200		2,953,000		738,200
Austria		5,008		500,800		400,600		100,200
Azerbaijan		2,541		254,100		203,300		50,800
Bahrain		1,036		103,600		82,900		20,700
Bangladesh		6,605		660,500		528,400		132,100
Belarus		641		64,100		51,300		12,800
Belgium		2,846		284,600		227,700		56,900
Benin		50		5,000		4,000		1,000
Brazil		50		5,000		4,000		1,000
Brunei Darussalam		524		52,400		41,900		10,500
Cambodia		623		62,300		49,800		12,500
Canada		9,954		995,400		796,300		199,100
Chile		100		10,000		8,000		2,000
China		297,804		29,780,400		23,824,300		5,956,100
Cook Islands		5		500		400		100
Côte d’Ivoire		50		5,000		4,000		1,000
Croatia		50		5,000		4,000		1,000
Cyprus		200		20,000		16,000		4,000
Denmark		3,695		369,500		295,600		73,900
Ecuador		50		5,000		4,000		1,000
Egypt		6,505		650,500		520,400		130,100
Ethiopia		458		45,800		36,600		9,200
Fiji		125		12,500		10,000		2,500
Finland		3,103		310,300		248,200		62,100
France		33,756		3,375,600		2,700,500		675,100
Georgia		539		53,900		43,100		10,800
Germany		44,842		4,484,200		3,587,400		896,800
Ghana		50		5,000		4,000		1,000
Greece		100		10,000		8,000		2,000
Guinea		50		5,000		4,000		1,000
Hong Kong, China		7,651		765,100		612,100		153,000
Hungary		1,000		100,000		80,000		20,000
Iceland		176		17,600		14,100		3,500
India		83,673		8,367,300		6,693,800		1,673,500
Indonesia		33,607		3,360,700		2,688,600		672,100
Iran		15,808		1,580,800		1,264,600		316,200
Ireland		1,313		131,300		105,000		26,300
Israel		7,499		749,900		599,900		150,000
Italy		25,718		2,571,800		2,057,400		514,400
Jordan		1,192		119,200		95,400		23,800
Kazakhstan		7,293		729,300		583,400		145,900

21

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

C Disclosure Notes

C16 Share capital (Continued)

Members	Total shares		Subscribed capital		Callable capital		Paid-in capital
Korea		37,387		3,738,700		2,991,000		747,700
Kyrgyz Republic		268		26,800		21,400		5,400
Lao PDR		430		43,000		34,400		8,600
Liberia		50		5,000		4,000		1,000
Luxembourg		697		69,700		55,800		13,900
Madagascar		50		5,000		4,000		1,000
Malaysia		1,095		109,500		87,600		21,900
Maldives		72		7,200		5,800		1,400
Malta		136		13,600		10,900		2,700
Mongolia		411		41,100		32,900		8,200
Myanmar		2,645		264,500		211,600		52,900
Nepal		809		80,900		64,700		16,200
Netherlands		10,313		1,031,300		825,000		206,300
New Zealand		4,615		461,500		369,200		92,300
Norway		5,506		550,600		440,500		110,100
Oman		2,592		259,200		207,400		51,800
Pakistan		10,341		1,034,100		827,300		206,800
Peru		1,546		154,600		123,700		30,900
Philippines		9,791		979,100		783,300		195,800
Poland		8,318		831,800		665,400		166,400
Portugal		650		65,000		52,000		13,000
Qatar		6,044		604,400		483,500		120,900
Romania		1,530		153,000		122,400		30,600
Russia		65,362		6,536,200		5,229,000		1,307,200
Rwanda		50		5,000		4,000		1,000
Samoa		21		2,100		1,700		400
Saudi Arabia		25,446		2,544,600		2,035,700		508,900
Serbia		50		5,000		4,000		1,000
Singapore		2,500		250,000		200,000		50,000
Spain		17,615		1,761,500		1,409,200		352,300
Sri Lanka		2,690		269,000		215,200		53,800
Sudan		590		59,000		47,200		11,800
Sweden		6,300		630,000		504,000		126,000
Switzerland		7,064		706,400		565,100		141,300
Tajikistan		309		30,900		24,700		6,200
Thailand		14,275		1,427,500		1,142,000		285,500
Timor-Leste		160		16,000		12,800		3,200
Tonga		12		1,200		1,000		200
Turkey		26,099		2,609,900		2,087,900		522,000
United Arab Emirates		11,857		1,185,700		948,600		237,100
United Kingdom		30,547		3,054,700		2,443,800		610,900
Uruguay		50		5,000		4,000		1,000
Uzbekistan		2,198		219,800		175,800		44,000
Vanuatu		5		500		400		100
Viet Nam		6,633		663,300		530,600		132,700
Total		969,297		96,929,700		77,543,800		19,385,900

22

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

C Disclosure Notes

C17 Reserves

Based on Article 18.1 of the AOA, the Board of Governors shall determine at least annually what part of the net income of the Bank shall be allocated, after making provision for reserves, to retained earnings or other purposes and what part, if any, shall be distributed to the members.

C18 Distribution

Retained earnings as at March 31, 2022 are USD829.01 million (Dec. 31, 2021: USD876.00 million). For the three months ended March 31, 2022, USD0.68 million (for the three months ended March 31, 2021: USD1.63 million) of retained earnings has been transferred to the reserve for accretion of the paid-in capital receivables.

No dividends were declared during the reporting period.

C19 Unconsolidated structured entities

Special Funds established and administered by the Bank based on Article 17.1 of the AOA are unconsolidated structured entities for accounting purposes. Consistent with Article 10 of the Bank’s AOA, the resources of the Special Funds shall at all times and in all respects be held, used, committed, invested or otherwise disposed of entirely separately from the Bank’s ordinary resources.

The objective of the Project Preparation Special Fund is to support and facilitate preparatory activities during the preparation and early implementation of projects, on a grant basis, for the benefit of one or more members of the Bank that, at the time when the decision to extend the grant is made by the Bank, are classified as recipients of financing from the International Development Association (“IDA”), and other members of the Bank with substantial development needs and capacity constraints.

The resources of the Project Preparation Special Fund consist of: (a) amounts accepted from any member of the Bank, any of its political or administrative sub-divisions, or any entity under the control of the member or such sub-divisions or any other country, entity or person approved by the President may become a contributor to the Special Funds; (b) income derived from investment of the resources of the Special Funds; and (c) funds reimbursed to the Special Funds, if any.

The objective of the Special Fund Window under COVID-19 Crisis Recovery Facility (“Special Fund Window”) was to reduce the burden of AIIB’s lower-income members seeking financing under the COVID-19 Crisis Recovery Facility (“Facility”). It was funded by the amounts transferred by the Bank from its Project Preparation Special Fund. On March 23, 2022, AIIB Board of Directors approved the renaming of the Special Fund Window under the COVID-19 Crisis Recovery Facility as the Special Fund Window for Less Developed Members and the revision of the applicable Rules and Regulations. With this approval, Special Fund Window will serve a broadened scope with new contributions once new contributions are received. The Special Fund Window will provide interest rate buy-down to eligible sovereign-backed financing aligned with AIIB’s Corporate Strategy in eligible members according to the approved Rules and Regulations.

23

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

C Disclosure Notes

C19 Unconsolidated structured entities (Continued)

The full cost of administering the Project Preparation Special Fund is charged to the Project Preparation Special Fund. The Bank charges an administration fee equal to 1% of any contribution, and the Project Preparation Special Fund bears all expenses appertaining directly to operations financed from the resources of the Project Preparation Special Fund.

As at March 31, 2022, the Project Preparation Special Fund has aggregate contributions received amounting to USD128 million (Dec. 31, 2021: 128 million). For the three months ended March 31, 2022, fees recognized as income amounted to USD0.06 million (for the three months ended March 31, 2021: USD0.06 million) (Note C2). As at March 31, 2022, deferred administration fees recognized as other liabilities amounted to USD0.49 million (Dec. 31, 2021: USD0.55 million) (Note C15).

As at March 31, 2022, interest rate buy-down for eligible sovereign-backed loans from Special Fund Window amounted to USD29.71 million (Dec. 31, 2021: USD29.72 million) (Note C15).

AIIB became the Technical Partner of Global Infrastructure Facility on June 23, 2021 after executing the Financial Procedures Agreement; and the Implementing Partner of the MCDF Finance Facility on Aug. 9, 2021 after executing the Implementing Partner Agreement. Resources from the Global Infrastructure Facility and MCDF Finance Facility are administrated in two separate special funds (i.e., the GIF Special Fund and the MCDF Special Fund, respectively).

The Bank is not obliged to provide financial support to the Special Funds.

24

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

C Disclosure Notes

C20 Related party transactions

Parties are generally considered to be related if the parties are under common control, or one party has the ability to control the other party or can exercise significant influence over the other party in making financial or operational decisions. In considering each possible related party relationship, attention is directed to the substance of the relationship, not merely to the legal form.

Major outstanding balances with related parties are as follows:

	March 31, 2022								Dec. 31, 2021
	PRC related entities		Key management personnel		Other related parties		PRC related entities		Key management personnel		Other related parties
Loan investments		801,044		-		-		807,291		-		-
LP Fund		51,013		-		-		47,626		-		-
Equity and bond investment in associate		-		-		97,490		-		-		94,293
Staff loan		-		-		-		-		-		-
Other liabilities		-		-		30,195		-		-		30,269

The income and expense items affected by transactions with related parties are as follows:

	For the three months ended March 31, 2022						For the three months ended March 31, 2021
	PRC related entities		Key management personnel		Other related parties		PRC related entities			Key management personnel		Other related parties
Income from loan investments		5,473		-		-		7,567			-		-
Net gain/(loss) on LP Fund		937		-		-		(312	)		-		-
Net gain/(loss) on equity and bond investment in associate		-		-		684		-			-		(45	)
Income from staff loan		-		-		-		-			-		-
Income from Special Funds (Administration Fee)		-		-		63		-			-		56

25

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

C Disclosure Notes

C20 Related party transactions (Continued)

Shareholder with significant influence

The Bank considers PRC as the member that has a significant influence over the Bank’s financial and operating policies through its ability to exercise its voting powers in the Board. As of March 31, 2022, the Government of the PRC (the “Government”) owned approximately 30.72% of the paid-in capital of the Bank (Dec 31, 2021: approximately 30.77%).

The Bank enters into transactions with enterprises ultimately controlled by the Government (State-owned Entities), including but not limited to, lending, bond investments, equity and fund investments, deposits and interbank placements, goods and services.

The Bank considers the transactions with PRC state-owned entities are activities conducted in the ordinary course of business, and the dealings of the Bank have not been significantly or unduly affected by the fact that these entities are ultimately controlled by the Government.

Significant transactions with the PRC related entities are as follows:

⁽¹⁾  Loan investments

The Bank approved loan facilities to nonsovereign borrowers that are ultimately controlled by State-owned Entities with a total effective amount of USD284.29 million as at March 31, 2022. The Bank entered into the agreement with the borrowers in the ordinary course of business under normal commercial terms and at market rates.

The Bank approved sovereign-backed facilities to PRC with a total effective amount of USD1,313.58 million equivalent as of March 31, 2022. AIIB’s standard interest rate for sovereign-backed loans has been applied.

⁽²⁾  LP Fund

In July 2019, the Bank approved a USD75 million investment into a limited partnership fund organized under the laws of Hong Kong, China and subscribed to an interest therein in November 2019. In addition to the Bank, the Government and other entities related therewith are also limited partners of the Fund. The Bank will not take part in the management of the Fund. As at March 31, 2022, the fair value of the Bank’s interest in the Fund is USD51.01 million (Dec 31, 2021: USD47.63 million).

26

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

C Disclosure Notes

C20 Related party transactions (Continued)

Transactions with other related parties are as follows:

(1) Equity and bond investment in associate

In April 2020, the Bank subscribed for USD54 million in an associate. The terms of the preference shares provide the Bank with 30% voting power over the financial and operating decisions of the investee’s governing body (Note C10). As at March 31, 2022, the Bank holds USD55.49 million of infrastructure asset-backed securities issued by the associate (Note C7).

(2) Other liabilities

As at March 31, 2022, other liabilities relate to the Project Preparation Special Fund deferred administration fee of USD0.49 million (Dec. 31, 2021: USD0.55 million) and the interest rate buy-down of USD29.71 million from Special Fund Window (Dec. 31, 2021: USD29.72 million) (Note C19).

Key management personnel

Key management personnel are those persons who have the authority and responsibility to plan, direct, and control the activities of the Bank. Key management personnel of the Bank is defined as the members of the Bank’s Executive Committee, that is, in accordance with the Terms of Reference of the Executive Committee dated Jan. 5, 2022, the President, the Vice Presidents, the General Counsel, the Chief Risk Officer, the Chief Financial Officer and the Chief Economist.

During the three months ended March 31, 2022 and the year ended Dec. 31, 2021, other than loans granted to key management personnel as disclosed above, the Bank has no other material transactions with key management personnel.

The compensation of key management personnel during the period comprises short-term employee benefits of USD1.08 million (for the three months ended March 31, 2021: USD0.9 million) and defined contribution plans of USD0.22 million (for the three months ended March 31, 2021: USD0.18 million).

27

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

C Disclosure Notes

C20 Related party transactions (Continued)

Use of office building

In accordance with Article 5 of the Headquarters Agreement, Government will provide a permanent office building (Permanent Premises) and temporary office accommodation to the Bank, free of charge. The Permanent Premises and temporary office accommodation are provided to the Bank for the purposes of carrying out its Official Activities, as defined in Article 1(k) of the Headquarters Agreement. The Bank does not have legal ownership of the Permanent Premises. Please refer to Headquarters Agreement disclosed on public domain of AIIB website.

The provision of the Permanent Premises and temporary office accommodation is not subject to any consideration payable by the Bank, or any conditions relating to the Bank’s lending or investing activities. The Bank, however, remains responsible for the management of the Premises and/or for the associated costs, including that of utilities and services.

On June 1, 2020, the Bank officially moved to the Permanent Premises. The temporary office was returned to the Government on June 5, 2020.

The Permanent Premises of the Bank are located at Towers A and B, Asia Financial Center, No.1 Tianchen East Road, Chaoyang District, Beijing 100101 and, as of the reporting date, provides the Bank with approximately 81,580 square meters of office space and associated facilities and equipment.

On September 11, 2019, the People’s Government of Tianjin Municipality (the “Tianjin Municipality”) and the Bank entered into a Memorandum of Understanding (the “MOU”), in accordance with Article 5 of the Headquarters Agreement, to set out the arrangements regarding the premises of the Bank as its back-up business office in Tianjin (the “Tianjin Premises”). Specifically, according to the MOU, Tianjin Municipality will provide the Tianjin Premises to the Bank for its use, free of charge, similar to the arrangements for the Permanent Premises.

On March 31, 2021, Tianjin Municipality officially handed over the Tianjin Premises to the Bank. The Tianjin Premises are located at Level 25, Level 26, 3-14, No. 681, Ronghe Road, Binhai New Area, Tianjin, and provide the Bank with approximately 4,258 square meters of office space.

28

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

C Disclosure Notes

C21 Segment reporting

The Bank has only one reportable segment since financial results are reviewed and resource allocation decisions are made at the entity level.

The following table presents the Bank’s loan revenue by borrowers’ geographic region for the three months ended March 31, 2022, and March 31, 2021.

Loan revenue comprises loan interest incomes, loan commitment fee and service fees.

	For the three months ended March 31, 2022						For the three months ended March 31, 2021
Region	Sovereign -backed loans		Nonsovereign -backed loans		Total		Sovereign -backed loans		Nonsovereign -backed loans		Total
Central Asia		661		721		1,382		504		53		557
Eastern Asia		4,287		1,573		5,860		4,228		1,245		5,473
Southeastern Asia		7,390		2,124		9,514		4,782		2,035		6,817
Southern Asia		14,828		4,113		18,941		9,782		2,987		12,769
Western Asia		8,674		4,982		13,656		6,159		3,480		9,639
Oceania		172		-		172		150		-		150
Other Regional		-		4,357		4,357		-		4,924		4,924
Total Regional		36,012		17,870		53,882		25,605		14,724		40,329
Total Non-Regional		689		1,981		2,670		196		1,587		1,783
Total		36,701		19,851		56,552		25,801		16,311		42,112

C22 Events after the end of the reporting period

There have been no other material events since the reporting date that would require disclosure or adjustment to these financial statements.

29

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

D Financial Risk Management

Overview

The Bank adopts a proactive and comprehensive approach to risk management that is instrumental to the Bank’s financial viability and success in achieving its mandate. The ability to identify, mitigate, and manage risk begins with the Bank’s policies established with a strong risk culture. In addition to establishing appropriate risk parameters and a thorough and robust project review and monitoring process, the risk management function provides independent oversight of credit and other investment risk, market risk, liquidity risk, counterparty credit risk, model risk, operational risk, and compliance risk in the Bank’s activities. It is also designed to manage assets and liabilities to minimize the volatility in equity value and to maintain sufficient liquidity.

For further information, please refer to the accompanying notes D Financial Risk Management included in the Bank’s financial statements for the year ended Dec. 31, 2021.

Market risk

IBOR reform

In Aug. 2020, International Accounting Standards Board (“IASB”) issued Interest Rate Benchmark Reform (“IBOR Reform”) — Phase 2 (Amendments to IFRS 9, IAS 39, IFRS 7, IFRS 4 and IFRS 16), which were mandatorily effective for annual reporting period beginning on Jan. 1, 2021 (Note D IBOR reform).

The “Phase 2” amendments address issues that arise upon replacing the existing interest rate benchmark with the alternative interest rates and introduces additional disclosure requirements. “Phase 2” Amendments provide key relief that for instruments measured using amortized cost measurement, the amendments provide a practical expedient to account for these changes in the basis for determining contractual cash flows as a result of interest rate benchmark reform. Under the practical expedient, entities will account for these changes by updating the effective interest rate using the guidance in paragraph B5.4.5 of IFRS 9 without the recognition of an immediate gain or loss. This practical expedient applies only to such a change and only to the extent that it is necessary as a direct consequence of interest rate benchmark reform, and the new basis for determining the contractual cash flows is economically equivalent to the previous basis.

AIIB is exposed to interest rate benchmarks such as interbank offered rates across various modalities. The majority of loan investments issued by the Bank are subject to floating base rate while AIIB also issues bonds in various currencies and swapped bond proceeds into floating rate based liabilities.

30

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

D Financial Risk Management

Market risk (continued)

IBOR reform (continued)

The interest rate swaps and cross currency swaps, taken against all new bond issuances, have been in reference to SOFR since 2021. In addition, local currency loans may be funded through cross-currency swaps from US dollars into the local currency.

In March 2021, the UK Financial Conduct Authority (“FCA”) announced the dates that panel bank submissions for all LIBOR settings will cease, after which representative LIBOR rates will no longer be available:

• immediately after Dec. 31, 2021, in the case of all Sterling, EURO, Swiss Franc and Japanese Yen settings, and the 1-week and 2-month US Dollar settings; and

• immediately after June 30, 2023, in the case of the remaining US Dollar settings. The reform aims to achieve a smooth transition to alternative benchmark rates, however it continues to face numerous uncertainties. A disorderly transition would present systemic risks and idiosyncratic risks for market participants and could have negative implications for borrowers.

The Bank’s principal exposures that are affected by IBOR Reform have been identified as loan investments and derivatives as referred to in Note C8 and C14, respectively.

AIIB has established IBOR transition governance and an active working group to execute the transition plan. AIIB is engaging with existing sovereign and nonsovereign borrowers to transition existing contracts. In Dec. 2020, AIIB’s Board of Directors approved amendments to the General Conditions for Sovereign-backed Loans, which allow for standardized transition language. The revised General Conditions will be applied to all future sovereign loans and will also be introduced across the existing sovereign-backed loan portfolio by means of amendment agreements (in the form of omnibus amendments that will cover all of the current loan portfolio of a particular borrower with the Bank). In Oct. 2021, AIIB’s Board of Directors approved two sets of amendments to the General Conditions for Sovereign-backed Loans. The revised General Conditions will be applied to all future sovereign loans in both SOFR or LIBOR (the remaining set of Fixed Spread Loan) basis from Jan. 2022 and will enable borrowers to convert variable reference rates to fixed reference rates, if they so choose. The ability to convert will allow borrowers paying a fixed or variable spread over a floating reference rate (i.e., SOFR) to convert the floating reference rate to a fixed rate. Thereafter, the borrower(s) would pay the respective fixed or variable spread over the newly set fixed base rate for a period determined by the borrower. The ability to convert the underlying reference rate to a fixed rate can benefit sovereign-backed borrowers who prefer to avoid exposure to SOFR rates. Borrowers may also have other reasons to elect the newly offered conversion to fixed underlying rate. The Bank will continue to collaborate with peer institutions and market participants to mitigate potential financial and operational risks, to determine details of new products and set the Bank’s asset liability management strategy.

31

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

D Financial Risk Management

Market risk (Continued)

IBOR reform (Continued)

The following table contains details of main financial instruments that the Bank holds at March 31, 2022 which reference USD LIBOR and have not yet transitioned to SOFR:

	Carrying amount/ Notional amount as at March 31, 2022		Carrying amount/ Notional amount as at Dec. 31, 2021
Non-derivative assets and liabilities at carrying amount
Loan investments, at amortized cost		5,823,410		10,602,702
Bond investments, at amortized cost		16,545		16,472
Investments at fair value through profit or loss
- Bond investments – Liquidity portfolio		420,395		399,350
- Bond investments – Investment operations portfolio		55,682		60,450
Non-derivative assets		6,316,032		11,078,974
Derivatives at notional amount
Interest rate swaps		7,030,000		11,880,000
Cross currency swaps		3,484,770		4,527,250
Derivatives		10,514,770		16,407,250
Loan commitment		5,480,182		9,461,028

The Bank has sent transition notifications to its sovereign borrowers informing them of their legacy loans required to transition and the timings. During the same period, the Bank will execute basis swaps to transform a portion of its LIBOR liabilities from pay LIBOR to pay SOFR, to maintain, approximately, a matched balance of LIBOR liabilities and LIBOR assets. After June 2022, the Bank will still have Fixed Spread Loans as sovereign-backed loans on a LIBOR reference rate (matched by respective LIBOR liabilities, as stated) and those loans will transition to SOFR in the second half of 2023 following a transition notification sent to the borrowers, as established in the Bank’s General Conditions. Nonsovereign loans on a LIBOR reference rate will be transitioned to SOFR by signing agreements over the course of 2022 and the first half of 2023. As for the remaining swaps on LIBOR, they will follow the ISDA protocol and remain on LIBOR until its cessation in June 2023. For bond investments in the liquidity portfolio and investment operations portfolio, the transition to SOFR will proceed according to the fallback provisions of each position.

32

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

D Financial Risk Management

Credit risk

Credit quality analysis

Except for loan investments and bond investments, other financial assets are paid-in capital receivables, deposits with banks and MMFs, for which the credit risk is not material.

The following table sets out the loans and loan commitments for sovereign-backed loans, nonsovereign-backed loans and bond investments, with their respective ECL allowance balances.

	March 31, 2022							Dec. 31, 2021
	Gross Carrying amount		Commitments		ECL			Gross Carrying amount		Commitments		ECL
Sovereign-backed loans		11,844,518		11,190,443		(110,310	)		10,544,607		9,795,320		(113,779	)
Nonsovereign-backed loans		1,902,045		472,903		(168,385	)		1,877,181		492,336		(68,996	)
Loan investments		13,746,563		11,663,346		(278,695	)		12,421,788		10,287,656		(182,775	)
Bond investments		2,496,958		-		(13,383	)		2,499,643		-		(4,524	)
Total		16,243,521		11,663,346		(292,078	)		14,921,431		10,287,656		(187,299	)

33

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

D Financial Risk Management

Credit risk (Continued)

Credit quality analysis (Continued)

(i) Concentration of credit risk

The geographical distribution of the Bank’s loan investments (gross carrying amount of loans and exposure of loan commitments) and ECL is as follows:

	March 31, 2022						Dec. 31, 2021
Region	Stage 1		Stage 2		Total		Stage 1		Stage 2		Total
Sovereign-backed loans
Central Asia		1,745,749		50,004		1,795,753		1,447,964		-		1,447,964
Eastern Asia		1,422,332		-		1,422,332		1,290,129		-		1,290,129
Southeastern Asia		4,347,224		40,132		4,387,356		3,596,100		40,157		3,636,257
Southern Asia		9,888,844		835,145		10,723,989		8,746,320		836,995		9,583,315
Western Asia		3,179,519		860,245		4,039,764		2,846,359		865,106		3,711,465
Oceania		20,014		50,042		70,056		19,965		49,918		69,883
Total Regional		20,603,682		1,835,568		22,439,250		17,946,837		1,792,176		19,739,013
Total Non-Regional		595,711		-		595,711		600,914		-		600,914
Subtotal		21,199,393		1,835,568		23,034,961		18,547,751		1,792,176		20,339,927
	March 31, 2022						Dec. 31, 2021
Region	Stage 1		Stage 2		Total		Stage 1		Stage 2		Total
ECL allowance
Central Asia		710		8,868		9,578		1,746		-		1,746
Eastern Asia		296		-		296		650		-		650
Southeastern Asia		464		10,666		11,130		789		9,302		10,091
Southern Asia		4,107		69,622		73,729		8,951		72,060		81,011
Western Asia		1,958		12,582		14,540		3,593		15,337		18,930
Oceania		55		754		809		123		959		1,082
Total Regional		7,590		102,492		110,082		15,852		97,658		113,510
Total Non-Regional		228		-		228		269		-		269
Subtotal		7,818		102,492		110,310		16,121		97,658		113,779

34

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

D Financial Risk Management

Credit risk (Continued)

Credit quality analysis (Continued)

(i) Concentration of credit risk (Continued)

	March 31, 2022								Dec. 31, 2021
Region	Stage 1		Stage 2		Stage 3(1)		Total		Stage 1		Stage 2		Stage 3		Total
Nonsovereign-backed loans
Central Asia		132,191		-		-		132,191		131,865		-		-		131,865
Eastern Asia		318,158		-		-		318,158		316,880		-		-		316,880
Southeastern Asia		298,817		-		75,552		374,369		315,312		-		75,525		390,837
Southern Asia		434,660		46,586		-		481,246		442,838		46,072		-		488,910
Western Asia		336,365		258,096		-		594,461		269,634		270,316		-		539,950
Other Regional		-		300,791		-		300,791		321,443		-		-		321,443
Total Regional		1,520,191		605,473		75,552		2,201,216		1,797,972		316,388		75,525		2,189,885
Total Non-Regional		173,732		-		-		173,732		179,632		-		-		179,632
Subtotal		1,693,923		605,473		75,552		2,374,948		1,977,604		316,388		75,525		2,369,517
Total		22,893,316		2,441,041		75,552		25,409,909		20,525,355		2,108,564		75,525		22,709,444
	March 31, 2022								Dec. 31, 2021
Region	Stage 1		Stage 2		Stage 3(1)		Total		Stage 1		Stage 2		Stage 3		Total
ECL allowance
Central Asia		230		-		-		230		286		-		-		286
Eastern Asia		92		-		-		92		216		-		-		216
Southeastern Asia		425		-		46,158		46,583		1,164		-		44,018		45,182
Southern Asia		311		3,946		-		4,257		604		5,245		-		5,849
Western Asia		1,004		6,722		-		7,726		1,755		13,777		-		15,532
Other Regional		-		108,471		-		108,471		374		-		-		374
Total Regional		2,062		119,139		46,158		167,359		4,399		19,022		44,018		67,439
Total Non-Regional		1,026		-		-		1,026		1,557		-		-		1,557
Subtotal		3,088		119,139		46,158		168,385		5,956		19,022		44,018		68,996
Total		10,906		221,631		46,158		278,695		22,077		116,680		44,018		182,775

⁽¹⁾  A nonsovereign-backed loan was assessed as “credit impaired” and downgraded to Stage 3. As at March 31, 2022, USD46 million of ECL allowance has been provided for the loan.

35

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

D Financial Risk Management

Credit risk (Continued)

Credit quality analysis (Continued)

(i) Concentration of credit risk (Continued)

The sector distribution of the Bank’s loan investments (gross carrying amount of loans and exposure of loan commitments) and ECL is as follows:

	March 31, 2022						Dec. 31, 2021
Sector	Stage 1		Stage 2		Total		Stage 1		Stage 2		Total
Sovereign-backed loans
Economic resilience		5,319,125		50,041		5,369,166		5,323,942		49,918		5,373,860
Energy		3,024,192		900,690		3,924,882		2,895,645		899,253		3,794,898
Finance		600,326		-		600,326		600,401		-		600,401
Finance/Liquidity		1,342,683		230,138		1,572,821		1,193,058		179,682		1,372,740
Public health		3,287,987		-		3,287,987		2,055,526		-		2,055,526
Transport		3,932,141		374,968		4,307,109		3,040,298		383,880		3,424,178
Urban		1,164,095		199,831		1,363,926		910,072		199,610		1,109,682
Water		2,321,850		-		2,321,850		2,322,048		-		2,322,048
Others		206,994		79,900		286,894		206,761		79,833		286,594
Subtotal		21,199,393		1,835,568		23,034,961		18,547,751		1,792,176		20,339,927
	March 31, 2022						Dec. 31, 2021
Sector	Stage 1		Stage 2		Total		Stage 1		Stage 2		Total
ECL allowance
Economic resilience		4,200		756		4,956		9,466		959		10,425
Energy		778		27,555		28,333		1,608		30,346		31,954
Finance		522		-		522		945		-		945
Finance/Liquidity		903		26,393		27,296		1,734		26,461		28,195
Public health		361		-		361		525		-		525
Transport		570		18,208		18,778		1,192		19,466		20,658
Urban		185		20,998		21,183		259		14,360		14,619
Water		293		-		293		383		-		383
Others		6		8,582		8,588		9		6,066		6,075
Subtotal		7,818		102,492		110,310		16,121		97,658		113,779

36

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

D Financial Risk Management

Credit risk (Continued)

Credit quality analysis (Continued)

(i) Concentration of credit risk (Continued)

	March 31, 2022								Dec. 31, 2021
Sector	Stage 1		Stage 2		Stage 3		Total		Stage 1		Stage 2		Stage 3		Total
Nonsovereign-backed loans
Energy		701,006		182,803		-		883,809		634,737		189,635		-		824,372
Finance/Liquidity		200,074		300,791		-		500,865		522,873		-		-		522,873
Finance		396,902		-		-		396,902		402,682		-		-		402,682
Information and communication technology		133,979		121,879		75,552		331,410		149,303		126,753		75,525		351,581
Public health		99,269		-		-		99,269		99,143		-		-		99,143
Transport		52,340		-		-		52,340		56,869		-		-		56,869
Urban		110,353		-		-		110,353		111,997		-		-		111,997
Subtotal		1,693,923		605,473		75,552		2,374,948		1,977,604		316,388		75,525		2,369,517
Total		22,893,316		2,441,041		75,552		25,409,909		20,525,355		2,108,564		75,525		22,709,444
	March 31, 2022								Dec. 31, 2021
Sector	Stage 1		Stage 2		Stage 3		Total		Stage 1		Stage 2		Stage 3		Total
ECL allowance
Energy		936		7,876		-		8,812		1,726		12,231		-		13,957
Finance/Liquidity		682		108,471		-		109,153		2,087		-		-		2,087
Finance		848		-		-		848		1,093		-		-		1,093
Information and communication technology		54		2,792		46,158		49,004		95		6,791		44,018		50,904
Public health		47		-		-		47		117		-		-		117
Transport		195		-		-		195		420		-		-		420
Urban		326		-		-		326		418		-		-		418
Subtotal		3,088		119,139		46,158		168,385		5,956		19,022		44,018		68,996
Total		10,906		221,631		46,158		278,695		22,077		116,680		44,018		182,775

37

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

D Financial Risk Management

Credit risk (Continued)

Credit quality analysis (Continued)

(ii) Reconciliation of gross carrying amount of loans and exposure of loan commitments, bond investments, and ECL

An analysis of the changes in the gross carrying amount of loans and exposure of loan commitments, with the related changes in ECL allowances is as follows:

Sovereign-backed loans

	Stage 1			Stage 2			Total
Gross carrying amount of loans and exposure of loan commitments as at Jan. 1, 2022		18,547,751			1,792,176			20,339,927
New loans and commitments originated		2,749,730			-			2,749,730
Repayments		(16,652	)		(8,036	)		(24,688	)
Cancellation		(3,803	)		-			(3,803	)
Movement in net transaction costs, fees, and related income through EIR method		2,964			1,424			4,388
Foreign exchange movements		(30,593	)		-			(30,593	)
Transfer to stage 1		-			-			-
Transfer to stage 2		(50,004	)		50,004			-
As at March 31, 2022		21,199,393			1,835,568			23,034,961
	Stage 1			Stage 2			Total
ECL allowance as at Jan. 1, 2022		16,121			97,658			113,779
Additions		113			-			113
Change in risk parameters (1)		(8,322	)		(4,034	)		(12,356	)
Change from lifetime (stage 2) to 12-month (stage 1) ECL		-			-			-
Change from 12-month (stage 1) to lifetime (stage 2) ECL		(94	)		8,868			8,774
As at March 31, 2022		7,818			102,492			110,310

38

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

D Financial Risk Management

Credit risk (Continued)

Credit quality analysis (Continued)

Nonsovereign-backed loans

	Stage 1			Stage 2			Stage 3		Total
Gross carrying amount of loans and exposure of loan commitments as at Jan. 1, 2022		1,977,604			316,388			75,525		2,369,517
New loans and commitments originated		75,000			-			-		75,000
Repayment of loans		(7,657	)		(9,492	)		-		(17,149	)
Movement in net transaction costs, fees, and related income through EIR method		(2,456	)		(2,214	)		27		(4,643	)
Foreign exchange movements		(32,777	)		-			-		(32,777	)
Transfer to stage 1		-			-			-		-
Transfer to stage 2		(300,791	)		300,791			-		-
Transfer to stage 3		-			-			-		-
Derecognition		(15,000	)		-			-		(15,000	)
As at March 31, 2022		1,693,923			605,473			75,552		2,374,948
	Stage 1			Stage 2			Stage 3		Total
ECL allowance as at Jan. 1, 2022		5,956			19,022			44,018		68,996
Additions		35			108,471			-		108,506
Change in risk parameters (1)		(2,520	)		(8,354	)		2,140		(8,734	)
Change from lifetime (stage 2) to 12-month (stage 1) ECL		-			-			-		-
Change from 12-month (stage 1) to lifetime (stage 2) ECL		(374	)		-			-		(374	)
Change from 12-month (stage 1) to lifetime (stage 3) ECL		-			-			-		-
Reverse of provisions for derecognized loan		(9	)		-			-		(9	)
As at March 31, 2022		3,088			119,139			46,158		168,385
Total gross carrying amount of loans and exposure of loan commitments as at March 31, 2022		22,893,316			2,441,041			75,552		25,409,909
Total ECL allowance as at March 31, 2022		10,906			221,631			46,158		278,695

⁽¹⁾  The change in the loss allowance is due to change in the PD, LGD and exposure at default used to calculate the expected credit loss for the loans.

39

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

D Financial Risk Management

Credit risk (Continued)

Credit quality analysis (Continued)

Sovereign-backed loans

	Stage 1			Stage 2			Total
Gross carrying amount of loans and exposure of loan commitments as at Jan. 1, 2021		13,329,978			1,569,127			14,899,105
New loans and commitments originated		5,602,528			-			5,602,528
Repayments		(22,162	)		(2,674	)		(24,836	)
Movement in net transaction costs, fees, and related income through EIR method		(4,816	)		78			(4,738	)
Cancellation		(48,413	)		(3,955	)		(52,368	)
Foreign exchange movements		(79,764	)		-			(79,764	)
Transfer to stage 1		-			-			-
Transfer to stage 2		(229,600	)		229,600			-
As at Dec. 31, 2021		18,547,751			1,792,176			20,339,927
	Stage 1			Stage 2			Total
ECL allowance as at Jan. 1, 2021		31,155			81,408			112,563
Additions		13,785			-			13,785
Change in risk parameters (1)		(17,673	)		(11,169	)		(28,842	)
Change from lifetime (stage 2) to 12-month (stage 1) ECL		-			-			-
Change from 12-month (stage 1) to lifetime (stage 2) ECL		(11,146	)		27,419			16,273
As at Dec. 31, 2021		16,121			97,658			113,779

40

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

D Financial Risk Management

Credit risk (Continued)

Credit quality analysis (Continued)

Nonsovereign-backed loans

	Stage 1			Stage 2			Stage 3		Total
Gross carrying amount of loans and exposure of loan commitments as at Jan. 1, 2021		1,150,828			354,301			-		1,505,129
New loans and commitments originated		910,779			-			-		910,779
Repayments		(28,289	)		(12,720	)		-		(41,009	)
Movement in net transaction costs, fees, and related income through EIR method		3,328			275			-		3,603
Cancelled commitment		(1,190	)		(757	)				(1,947	)
Foreign exchange movements		(7,038	)		-			-		(7,038	)
Transfer to stage 1		24,711			(24,711	)		-		-
Transfer to stage 2		-			-			-		-
Transfer to stage 3		(75,525	)		-			75,525		-
As at Dec. 31, 2021		1,977,604			316,388			75,525		2,369,517
	Stage 1			Stage 2			Stage 3		Total
ECL allowance as at Jan. 1, 2021		6,922			40,804			-		47,726
Additions		2,708			-			-		2,708
Change in risk parameters (1)		(1,323	)		(19,224	)				(20,547	)
Change from lifetime (stage 2) to 12-month (stage 1) ECL		173			(2,558	)		-		(2,385	)
Change from 12-month (stage 1) to lifetime (stage 2) ECL		-			-			-		-
Change from 12-month (stage 1) to lifetime (stage 3) ECL		(2,524	)		-			44,018		41,494
As at Dec. 31, 2021		5,956			19,022			44,018		68,996
Total gross carrying amount of loans and exposure of loan commitments as at Dec. 31, 2021		20,525,355			2,108,564			75,525		22,709,444
Total ECL allowance as at Dec. 31, 2021		22,077			116,680			44,018		182,775

41

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

D Financial Risk Management

Credit risk (Continued)

Credit quality analysis (Continued)

Bond investments

	Stage 1			Stage 2			Stage 3		Total
Bond investments as at Jan. 1, 2022		2,401,627			98,016			-		2,499,643
New bond investments		36,784			-			-		36,784
Accrual and amortization		(1,946	)		(39	)		-		(1,985	)
Transfer to stage 1		35,678			(35,678	)		-		-
Transfer to stage 2		-			-			-		-
Transfer to stage 3 (1)		(1,968	)		(13,778	)		15,746		-
Derecognition		(26,838	)		(10,646	)		-		(37,484	)
As at March 31, 2022		2,443,337			37,875			15,746		2,496,958
	Stage 1			Stage 2			Stage 3		Total
ECL allowance as at Jan. 1, 2022		699			3,825			-		4,524
Additions		33			-			-		33
Change in risk parameters		(296	)		(572	)		-		(868	)
Change from lifetime (stage 2) to 12-month  (stage 1) ECL		106			(830	)		-		(724	)
Change from 12-month (stage 1) to lifetime  (stage 2) ECL		-			-			-		-
Change from 12-month (stage 1) to lifetime  (stage 3) ECL (1)		(12	)		(1,167	)		12,173		10,994
Reversal of provisions for derecognized bonds		(79	)		(497	)		-		(576	)
As at March 31, 2022		451			759			12,173		13,383

⁽¹⁾  The Bank held bonds from five issuers that were assessed as “credit impaired” and downgraded to Stage 3. As at March 31, 2022, USD12.17 million of ECL allowance has been provided for the bonds.

42

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

D Financial Risk Management

Credit risk (Continued)

Credit quality analysis (Continued)

Bond investments

	Stage 1			Stage 2			Total
Bond investments as at Jan. 1, 2021		411,316			61,510			472,826
New bond investments		4,408,642			-			4,408,642
Accrual and amortization		3,584			57			3,641
Transfer to stage 1		10,271			(10,271	)		-
Transfer to stage 2		(63,021	)		63,021			-
Derecognition		(2,369,165	)		(16,301	)		(2,385,466	)
As at Dec. 31, 2021		2,401,627			98,016			2,499,643
	Stage 1			Stage 2			Total
ECL allowance as at Jan. 1, 2021		1,190			2,609			3,799
Additions		1,024			-			1,024
Change in risk parameters		(88	)		(646	)		(734	)
Change from lifetime (stage 2) to 12-month (stage 1) ECL		13			(36	)		(23	)
Change from 12-month (stage 1) to lifetime (stage 2) ECL		(960	)		1,916			956
Reversal of provisions for derecognized bonds		(480	)		(18	)		(498	)
As at Dec. 31, 2021		699			3,825			4,524

43

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

E Fair Value Disclosures

The majority of the Bank’s assets and liabilities in the Statement of Financial Position are financial assets and financial liabilities. Fair value measurement of nonfinancial assets and nonfinancial liabilities do not have a material impact on the Bank’s financial position and operations, taken as a whole.

The Bank does not have any financial assets or financial liabilities subject to nonrecurring fair value measurements for the three months ended March 31, 2022 (for the three months ended March 31, 2021: none).

The fair value of the Bank’s financial assets and financial liabilities are determined as follows:

- If traded in active markets, fair values of financial assets and financial liabilities with standard terms and conditions are determined with reference to quoted market bid prices and ask prices, respectively.

- If not traded in active markets, fair values of financial assets and financial liabilities are determined in accordance with generally accepted pricing models or discounted cash flow analysis using prices from observable current market transactions for similar instruments or using unobservable inputs relevant to the Bank’s assessment.

Fair value hierarchy

The Bank classifies financial assets and financial liabilities into the following three levels based on the extent to which inputs to valuation techniques used to measure fair value of the financial assets and financial liabilities are observable:

Level 1: Fair value measurements are those derived from quoted prices (unadjusted) in an active market for identical assets or liabilities;

Level 2: Fair value measurements are those derived from inputs other than quoted included within Level 1 that are observable for the asset or liability, either directly (that is, as prices) or indirectly (that is, derived from prices); and

Level 3: Fair value measurements are based on models, and unobservable inputs are significant to the entire measurement.

44

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

E Fair Value Disclosures

Financial assets and financial liabilities not measured at fair value on the Statement of Financial Position

The table below summarizes the carrying amounts and fair values of those financial instruments not measured in the Statement of Financial Position at their fair value:

	March 31, 2022				Dec. 31, 2021
	Carrying amount		Fair value		Carrying amount		Fair value
Financial assets
- Term deposits		11,252,155		11,252,155		11,748,908		11,748,290
- Loan investments, at amortized cost		13,479,798		13,285,815		12,245,887		12,062,608
- Bond investments, at amortized cost		2,483,575		2,228,449		2,495,119		2,478,349
- Paid-in capital receivables		328,280		326,680		303,695		305,387
Total financial assets		27,543,808		27,093,099		26,793,609		26,594,634
Financial liabilities
- Borrowings		700,410		699,859		700,418		701,514
Total financial liabilities		700,410		699,859		700,418		701,514

As at March 31, 2022, other than those disclosed above, the Bank’s balances of financial instruments not measured at fair value but with short-term maturity approximate their fair values.

Fair value of loan investments and paid-in capital receivables measured at amortized cost has been calculated using Level 3 inputs by discounting the cash flows at a current interest rate applicable to each loan and paid-in capital receivable.

The significant input used in the fair value of loan investments are risk-free rate, credit default swap spreads, expected recovery rate and foreign exchange rates. Management makes certain assumptions about the unobservable inputs to the model. These are regularly assessed for reasonableness and impact on the fair value of loans. An increase in the level of forecast cash flows in subsequent periods would lead to an increase in the fair value and an increase in the discount rate used to discount to forecast cash flow would lead to a decrease in the fair value of loans.

Fair value of bond investments held at amortized cost are generally based upon quoted market prices, if available. If the market prices are not readily available, fair values are estimated using either values obtained from independent parties offering pricing services or adjusted quoted market prices of comparable investments or using the discounted cash flow methodology.

Fair value of borrowings held at amortized cost are generally based upon quoted market prices, if available. If the market prices are not readily available, fair values are determined using discounted cash flow models.

45

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

E Fair Value Disclosures

Financial assets and financial liabilities measured at fair value on the Statement of Financial Position

The table below summarizes the fair values of the financial assets and financial liabilities measured in the Statement of Financial Position at their fair value:

As at March 31, 2022
	Level 1		Level 2			Level 3		Total
Financial assets and financial liabilities
Investments at fair value through profit or loss
- External Managers Program		3,600,587		457,570			-		4,058,157
- Investment in Trust		-		-			55,044		55,044
- LP Funds and others		-		-			398,085		398,085
- Bond investments		3,475,274		55,682			-		3,530,956
- Certificates of deposit		-		3,474,545			-		3,474,545
- Investment operation fixed-income portfolio		226,631		-			-		226,631
Money Market Funds		-		750,065			-		750,065
Derivative assets		-		442,413			-		442,413
Total financial assets		7,302,492		5,180,275			453,129		12,935,896
Borrowings		-		(19,365,117	)		-		(19,365,117	)
Derivative liabilities		-		(1,180,527	)		-		(1,180,527	)
Total financial liabilities		-		(20,545,644	)		-		(20,545,644	)
As at Dec 31, 2021
	Level 1		Level 2			Level 3		Total
Financial assets and financial liabilities
Investments at fair value through profit or loss
- External Managers Program		3,766,335		337,809			-		4,104,144
- Investment in Trust		-		-			54,417		54,417
- LP Funds and others		-		-			277,809		277,809
- Bond investments		2,650,327		60,450			-		2,710,777
- Certificates of deposit		-		3,143,959			-		3,143,959
- Investment operation fixed-income portfolio		274,843		-					274,843
Money Market Funds		-		1,710,022			-		1,710,022
Derivative assets		-		248,371			-		248,371
Total financial assets		6,691,505		5,500,611			332,226		12,524,342
Borrowings		-		(18,567,433	)		-		(18,567,433	)
Derivative liabilities		-		(563,604	)		-		(563,604	)
Total financial liabilities		-		(19,131,037	)		-		(19,131,037	)

46

Asian Infrastructure Investment Bank

Notes to the Condensed Financial Statements

For the three months ended March 31, 2022

(All amounts in thousands of US Dollars unless otherwise stated)

E Fair Value Disclosures

Financial assets and financial liabilities measured at fair value on the Statement of Financial Position (Continued)

The table below provides a reconciliation of the fair values of the Bank’s Level 3 financial assets for the three months ended March 31, 2022 and Dec. 31, 2021.

	Investment in Trust			LP Funds and others			Total
As at Jan. 1, 2022		54,417			277,809			332,226
Additions		-			126,390			126,390
Return of capital contributions		(284	)		(15,205	)		(15,489	)
Fair value gain, net		911			9,091			10,002
As at March 31, 2022		55,044			398,085			453,129
	Investment in Trust			LP Funds and others			Total
As at Jan. 1, 2021		54,859			107,561			162,420
Additions		-			166,726			166,726
Return of capital contributions		(559	)		(12,776	)		(13,335	)
Fair value gain, net		117			16,298			16,415
As at Dec. 31, 2021		54,417			277,809			332,226

The fair value gains or losses are attributable to the change in unrealized gains or losses relating to those financial assets held at the end of the reporting period. For the three months ended March 31, 2022, the realized gains arising from the Bank’s Level 3 financial assets amounting to USD2.7 million (March 31, 2021: USD0.7 million).

The MMFs’ shares are not traded in any market. The fair value of the MMFs is derived from that of the net assets value. Certificates of deposit, External Managers Program and bond investments have been valued at instrument level, adopting either discounted cash flow method based on observable market input, or obtained from market prices. Derivative instruments and borrowings have been valued using discounted cash flow methodology based on observable market inputs. Discounted cash flow valuation technique is mainly used for the valuation of the underlying assets of the LP Funds and others, and investment in trust. The unobservable inputs mainly include weighted average cost of capital, liquidity discount and projected cash flows. The fair value of the investment in the LP funds and others, and investment in trust is based on an adjusted net assets method.

There has been no transfer among Level 1, Level 2 and Level 3 during the three months ended March 31, 2022 (for the year ended Dec. 31, 2021: none).

47