Fair value of financial assets and liabilities

Fair value hierarchy

All financial instruments for which fair value is recognized or disclosed are categorized within the fair value hierarchy, based on lowest level input that is significant to the fair value measurement as a whole, as follows:

Level 1 – Quoted (unadjusted) market prices in active markets for identical assets or liabilities;

Level 2 – Valuation techniques for which the lowest level input that is significant to the fair value measurement is directly or indirectly observable;

Level 3 – Valuation technique for which the lowest level input that is significant to the fair value measurement is unobservable.

Valuation processes

For recurring fair value measurements categorized within Level 3 of the fair value hierarchy, FMO uses the valuation processes to decide its valuation policies and procedures and analyze changes in fair value measurement from period to period.

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

Valuation techniques

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

If there is no quoted price in an active market, valuation techniques are used that maximize the use of relevant observable inputs and minimize the use of unobservable inputs. Valuation These valuation techniques applied by FMO to determine the fair value of its financial instruments are described below.

Financial instruments measured at fair value

Debt Instruments

Type of loans	Valuation methodology
Fixed rate loans at FVTPL (Level 3)	Performing fixed‑rate loans are valued using a discounted cash flow (DCF) approach, where contractual cash flows—including any performance‑related additional cash flows—are discounted using a curve built from a risk‑free base curve (Reuters zero‑curve) and an individual credit spread reflecting client‑specific credit quality.
Floating rate loans at FVTPL (Level 3)	Floating‑rate loans are valued using a method that approximates an amortised‑cost–based approach, because changes in risk‑free rates are neutralised at each interest reset. Fair value is defined as gross outstanding minus the change in lifetime expected credit losses (LECL) between current and initial ratings, reflecting credit‑spread‑driven market value changes. Embedded options, if any, are priced separately and added to the loan’s value.
Debt funds at FVTPL (Level 3)	The Net Asset Value from investee's financial statements and investor reports prepared by fund manager
Non‑performing Fixed/floating loans at FVTPL, debt funds at FVTPL (Level 3)	Non‑performing loans are valued at gross outstanding minus a specific impairment, reflecting the best estimate of recoverable value. The valuation incorporates all relevant qualitative and quantitative factors, including restructuring prospects, collateral realisation, or firm offers, and follows the standard Investment Review Committee impairment process used for amortised‑cost loans.
Loans with Margin Adjustments (Level 3)	Loans containing EBITDA-, ROAE- or profit‑linked margin features require additional inputs beyond standard fixed or floating loan valuation. Forward‑looking financial forecasts must be considered to determine whether additional margin components (e.g., interest step‑ups) are expected to apply. These expected adjustments are reflected in the cash flow schedule and discounted. For loans without outstanding balances, the value of the margin adjustment is set to zero.
Loans at FVPL with Other Features (Level 3)	Some loans are designated at FVPL due to unique or complex contractual features that do not fit the standard valuation models. Where none of the prescribed fair value methodologies apply, these loans are valued at amortised cost plus impairment, effectively approximating nominal value unless material differences exist.

Derivatives

FMO uses internal valuation models to value derivative financial instruments. Valuation inputs include valuation curves provided by specialized price-makers for emerging markets currencies. Consequently, derivatives involving emerging market currencies are classified as level 2.

Equity Investments

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

Firm offer

When a credible firm offer exists, the fair value should be based on the firm offer price minus all transaction costs. This method reflects the most concrete and observable market-based exit price available at the valuation date.

Value Based on Recent Transactions

Recent arm’s‑length transactions (typically within 12 months) are often the best indication of fair value. Adjustments must be made if the company’s performance or market conditions have materially changed since the transaction.

Put Option

Where FMO holds an exercisable put option, the fair value may be based on its strike value, considering also the counterparty’s ability to execute the option. This method relies on counterparty risk assessment and contractual clarity.

Multiples (Book, Earnings, Market/Industry, Anchored)

Multiples apply when comparable financial or market data can be used to estimate value. Book multiples are applied to reflect equity performance. Earnings multiples (EV/EBITDA, EV/EBIT, P/E) are applied for companies with maintainable earnings. Market/industry multiples rely on peer benchmarks. Anchored multiples use the post‑money valuation at investment entry, performance are subsequently assessed.

Discounted Cash Flow (DCF)

DCF values an investment based on the present value of expected future cash flows or earnings, discounted using a risk‑adjusted rate.

Net Asset Value (NAV)

Net asset value involves the application of the reported NAV. This is directly applied as the valuation input for fund investment. And it could also be applied to direct investments of which the value is indirectly derived from a fund’s NAV.

Cost as Best Estimate

If no reliable valuation inputs are available—typically during the first 12 months of an investment—the cost of FMO’s investment may serve as the best estimate of fair value.

Other Methods

When none of the standard methodologies are applicable, other valuation methods may be used, but only with clear, enhanced justification explaining why all typical alternatives are unsuitable.

Dutch government program liabilities

Dutch government program liabilities carried at FVPL represent amounts attributable to the Dutch Government in return for their co-investment in the FMO Ventures Program (refer to the 'Group accounting and consolidation section' of the 'Accounting policy' chapter). The management of FMO's Ventures Program has the mandate to engage in transactions and also to realize any positions at a given time and call out the Program at reporting date. The amount attributable to co-investors is based on a predefined value sharing waterfall which utilizes the values of the underlying investments in the program. The underlying investments in the program are valued using the existing equity investment fair valuation techniques described in the paragraphs above. The waterfall calculation defines the timing and amount of distributions to respective co-investors and is therefore applied to estimate the fair values of the related financial liabilities.

IFRS 9 requires adjustments in the valuation of FVPL financial liabilities related to FMO's own credit risk to be recorded in the statement of other comprehensive income. The impact of this treatment is however negligible due to the Support Agreement between the Dutch Government and FMO.

Financial instruments not measured at fair value

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

The carrying values of the financial asset and liability categories in the table below are measured at AC except for the funding in connection with hedge accounting. The underlying changes to the fair value of these assets and liabilities are therefore not recognized in the balance sheet.

The valuation technique we use for the fair value determination of these financial instruments is the discounted cash-flow method. The discount rate we apply is a spread curve based on the average spread of the portfolio. The fair value calculation is mainly based on level 3 inputs.

Financial assets and liabilities not measured at fair value
At December 31	2025		2024
	Carrying amount	Fair value	Carrying amount	Fair value
Financial assets not measured at fair value
Short term deposits at AC	623,995	623,995	1,111,886	1,111,886
Cash balances with Banks	140,239	140,239	43,087	43,087
Interest-bearing securities at AC	573,170	563,025	481,798	470,770
Loans to the private sector at AC	5,604,615	5,061,973	5,190,518	5,027,228
Current accounts with state funds and other programs	3,207	3,207	1,336	1,336
Other receivables	33,487	33,487	18,321	18,321
Total financial assets not measured at fair value	6,978,713	6,425,926	6,846,946	6,672,628
Financial liabilities not measured at fair value
Short-term credits	543,965	543,965	216,912	216,912
Debentures and notes	6,498,892	6,826,090	6,335,981	6,431,967
Current accounts with state funds and other programs	2,117	2,117	93	93
Accrued and other liabilities	174,163	174,163	57,544	57,544
Total financial liabilities not measured at fair value	7,219,137	7,546,335	6,610,530	6,706,516

The line item "Other liabilities" in the table above cannot be referenced directly to the related financial statements caption "Accrued and other liabilities" because the disclosure above does not include accrued liabilities.

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

December 31, 2025	Level 1	Level 2	Level 3	Total

Financial assets mandatorily at FVPL
Short-term deposits	176,498	269,632	-	446,130
Derivative financial instruments	-	233,483	-	233,483
Loans to the private sector	139,328	-	570,372	709,700
Equity investments	42,914	29,944	2,093,300	2,166,158

Financial assets designated at FVPL
Interest-bearing securities at FVTPL	134,120	-	-	134,120

Financial assets at FVOCI
Equity investments	-	-	223,452	223,452
Total financial assets at fair value	492,860	533,059	2,887,124	3,913,043

Financial liabilities mandatorily at FVPL
Derivative financial instruments	-	133,758	10,231	143,989

Financial liabilities designated at FVPL
Dutch government program liabilities	-	-	96,887	96,887
Total financial liabilities at fair value	-	133,758	107,118	240,876

December 31, 2024	Level 1	Level 2	Level 3	Total

Financial assets mandatorily at FVPL
Short-term deposits	128,755	240,726	-	369,481
Derivative financial instruments	-	126,339	-	126,339
Loans to the private sector	99,857	-	552,204	652,061
Equity investments	23,881	-	2,331,745	2,355,626

Financial assets designated at FVPL
Interest-bearing securities at FVTPL	107,596	-	-	107,596

Financial assets at FVOCI
Equity investments	-	-	201,287	201,287
Total financial assets at fair value	360,089	367,065	3,085,236	3,812,390

Financial liabilities mandatorily at FVPL
Derivative financial instruments	-	459,144	12,242	471,386

Financial liabilities designated at FVPL
Dutch government program liabilities	-	-	121,715	121,715
Total financial liabilities at fair value	-	459,144	133,957	593,101

The following table shows the movements of financial assets measured at fair value based on level 3. All other financial liabilities are level 3 positions (refer to other financial liabilities note 15).

Movements in financial instruments measured at fair value based on level 3	Derivative financial instruments	Loans to the private sector	Equity investments	Total

Balance at December 31, 2023	-	500,458	2,327,880	2,828,338
Total gains or losses
-In profit and loss (changes In fair value)	-	2,863	51,875	54,738
-In other comprehensive income (changes in fair value)	-	-	34,093	34,093
Purchases /disbursements	-	56,064	329,945	386,009
Sales/repayments	-	-55,088	-326,091	-381,179
Interest capitalization	-	2,252	-	2,252
Write-offs	-	-1,603	-	-1,603
Accrued income	-	4,397	-	4,397
Exchange rate differences	-	28,217	115,041	143,258
Derecognition and/or restructuring FVPL versus AC	-	11,203	-	11,203
Conversion from loans to equity	-	-289	289	-
Conversion associate/FVPL	-	-	-	-
Transfers into level 3	-	3,730	-	3,730
Transfers out of level 3	-	-	-	-
Other changes	-	-	-	-
Balance at December 31, 2024	-	552,204	2,533,032	3,085,236
Total gains or losses
-In profit and loss (changes In fair value)	-	3,097	49,138	52,235
-In profit and loss (Net result from sales)	-	-	-30,703	-30,703
-In other comprehensive income (changes in fair value)	-	-	22,046	22,046
Purchases /disbursements	-	211,630	256,220	467,850
Sales/repayments	-	-113,050	-290,036	-403,086
Interest capitalization	-	522	-	522
Write-offs	-	-10,873	-	-10,873
Accrued income	-	-11,988	-	-11,988
Exchange rate differences	-	-59,968	-207,233	-267,201
Derecognition and/or restructuring FVPL versus AC	-	-	-	-
Conversion from loans to equity	-	-1,202	1,325	123
Conversion associate/FVPL	-	-	-	-
Transfers into level 3	-	-	-	-
Transfers out of level 3	-	-	-17,037	-17,037
Other changes	-	-	-	-
Balance at December 31, 2025	-	570,372	2,316,752	2,887,124

Other changes relate to consolidation of FMO's Ventures Program (refer to section 'Group accounting and consolidation' in the 'Accounting policies' chapter).

Type of debt investment	Fair value at December 31, 2025	Valuation technique	Range (weighted average) of significant unobservable inputs	Fair value measurement sensitivity to unobservable inputs

Loans	60,909	Discounted cash flow model	Based on client spread for fixed rate loans at FVTPL	A decrease/increase of the used spreads with 1% will result is a higher/lower fair value of approx €4.4 million
	240,987	ECL measurement	Based on client rating for floating rate loans at FVTPL	An improvement / deterioration of the Client Rating with 1 notch wil result approx 0.4% increase/decrease
	19,341	Credit impairment	n/a	n/a
Debt Funds	249,135	Net Asset Value	n/a	n/a
Total	570,372

Type of equity investment	Fair value at December 31, 2025	Valuation technique	Range (weighted average) of significant unobservable inputs	Fair value measurement sensitivity to unobservable inputs

Private equity fund investments	1,185,166	Net Asset Value	Discounts applied ranging from 0 to 75%	Changes in the discounts applied would result in a lower/ higher fair value in valuation of €5.3 million.
Private equity direct investments	109,697	Recent transactions	Discounts applied ranging from 0 to 50%	Changes in the discounts applied would result in a lower/ higher fair value in valuation of €0.4 million.
	57,030	Book multiples	Discounts applied ranging from 0 to 50% Book multiple applied ranging 0.5 – 1.0	Changes in the discounts applied would result in a lower/ higher fair value in valuation of €0.3 million. Changes in the applied multiple with 10% would result is a lower/higher fair vallue of €5.7 million
	96,879	Earning Multiples	Discounts applied ranging from 0 to 20% Earnings multiple applied ranging 1.0 - 1.9	Changes in the discounts applied would result in a lower/ higher fair value in valuation of €1.7 million. Changes in the applied multiple with 10% would result is a lower/higher fair vallue of €10.8 million
	35,162	Discounted Cash Flow (DCF)	Discounts applied ranging from 0 to 50% DCF model inputs: Discount rates applied ranging from 12% to 16% Expected monthly cash flows ranging from €0.5 million to €5.8 million	Changes in the discounts applied would result in a lower/ higher fair value in valuation of €1,1 million. Changes in the DCF model by lowering the discount rate and increasing the Cash flows would result in a positive change in fair value of €8.2 million.
	3,430	Put option	Discounts applied ranging from 0 to 29%	Changes in the discounts applied would result in a lower/ higher fair value in valuation of €0.1 million.
	150,903	Firm offers	Discounts applied ranging from 0 to 20%	Changes in the discounts applied would result in a lower/ higher fair value in valuation of €0.9 million.
	519,851	Net Asset value	Discounts applied ranging from 0 to 85%	Changes in the discounts applied would result in a lower/ higher fair value in valuation of €3.3 million.
	81,505	Other	Discounts applied ranging from 0 to 61%	Changes in the discounts applied would result in a lower/ higher fair value in valuation of €1.8 million.
	77,128	Cost	N/A	N/A


Total	2,316,752

Transfers between levels 1 and 2

There were no material transfers between levels 1 and 2.

Transfers from levels 1 and 2 to level 3

There were no material transfers between level 1 and 2 to level 3.