FFIINANNANCCIALIAL S STTAATTEEMMEENNTTSS NOTES TO THE FINANCIAL STATEMENTS CONTINUED S 23 FINANCIAL INSTRUMENTS CONTINUED TR Estimation of fair values A As at 31 December 2023 As at 31 December 2022 TE G Nominal value Book value Fair value Nominal value Book value Fair value I C £m £m £m £m £m £m R E Included in assets P O Level 2 R T Forward foreign exchange contracts – 3.3 3.3 – 2.3 2.3 Loan assets – – – 0.6 0.6 0.6 G Level 3 O VE Investments – 18.2 18.2 – – – R Other derivative contracts – – – – 5.6 5.6 NAN – 21.5 21.5 0.6 8.5 8.5 C E Included in liabilities Level 1 F I $1,143.7m (2022: $1,143.7m) 10.5% US dollar NAN First Lien Notes 897.2 890.0 906.7 950.8 935.0 893.0 C $121.7m (2022: $229.1m) 15.0% US dollar IAL S Second Lien Split Coupon Notes 95.4 90.3 103.6 190.5 169.0 194.4 T A T E Level 2 M E Forward exchange contracts – 2.1 2.1 – 0.7 0.7 N T Derivative option over own shares 33.1 23.1 23.1 48.1 22.6 22.6 S 1,025.7 1,005.5 1,035.5 1,189.4 1,127.3 1,110.7 F U The nominal value, book value and fair value of the Second Lien SSNs includes $9.8m, $10.5m, $10.8m, $6.8m, $7.0m and $7.2m of PIK notes issued in April 2021, November 2021, April 2022, R T November 2022, April 2023 and November 2023 respectively. The total number of Second Lien SSNs in issuance has been reduced by repayments of $143.8m and $121.7m in 2022 and 2023 H respectively. The book value includes accrued PIK notes not issued at each reporting date. E R Under IFRS 7, such assets and liabilities are classified by the way in which their fair value is calculated. The interest-bearing loans and borrowings are INF considered to be level 1 liabilities with forward exchange contracts being level 2 assets and liabilities. IFRS 7 defines each level as follows: OR M – Level 1 assets and liabilities have inputs observable through quoted prices. A T I – Level 2 assets and liabilities have inputs observable, other than quoted prices, either directly (i.e. as prices) or indirectly (i.e. derived from prices). ON – Level 3 assets and liabilities are those with inputs not based on observable market data. Trade and other receivables, current borrowings and trade and other payables are deemed to have the same fair value as their book value and, as such, the table above only includes assets and liabilities held at fair value, and borrowings. The forward currency contracts are carried at fair value based on pricing models and discounted cash flow techniques derived from assumptions provided by third-party banks. Loan assets are held at cost less any expected credit loss provision (note 18). The SSNs are all valued at amortised cost retranslated at the year-end foreign exchange rate. The fair value of these SSNs at the current and comparative period ends are determined by reference to the quoted price on The International Stock Exchange Authority in St Peter Port, Guernsey. The fair value and nominal value exclude the impact of transaction costs. The other derivative contracts related to one option and one issuable derivative for the Group to acquire a minority shareholding in AMR GP Holdings Limited (see note 20). Two derivatives were exercised in the period giving rise to an investment (note 15). The derivative option over own shares reflects the detachable warrants issued alongside the Second Lien SSNs (see borrowings section of note 23) enabling the warrant holders to subscribe for a number of ordinary shares in the Company. The fair value is calculated using a binomial model and updated at each period end, reflecting the latest market conditions. The inputs used in the valuation model include the quoted share price, market volatility, exercise ratio and risk-free rate. The reduction in nominal value represents options exercised by warrant holders during the year. For all other receivables and payables, the carrying amount is deemed to reflect the fair value. ASTON MARTIN LAGONDA ANNUAL REPORT AND ACCOUNTS 2023 184