Thanks Brad,
Fortran and C were installed.
I found the issue. It stems from me installing mingw-w64 in its default folder under c:\Program Files. The space character in the path is problematic. I solved this by installing mingw-w64 in my root c:\ming-w64 and that solved the issue.
I also tried to update to a newer version of mingw-w64 (fortran-5) but was not successful for other reason that Cmake. I needed to recompile lapack and blas with those new compilers. … which I will do in the near future.
Thanks for your help.
Eric