5.Fair Value

Financial assets

Cash guarantees are recorded in the consolidated statement of financial position under “Other long-term receivables”. Upon release of the guarantees, interest is received for the duration of the guarantee, whereby the carrying amount approximates the fair value.

The prepayment option, recorded in the consolidated statement of financial position under “Other long-term receivables”, related to the loan facility agreement with the European Investment Bank (“EIB”), is measured at fair value through profit and loss (see note 18.2).

The carrying amount of trade and other receivables, other current assets, cash and cash equivalents and financial assets approximate their value due to their short-term character.

The foreign currency forwards and swaps, recorded in the consolidated statement of financial position under “Other receivables”, are measured at fair value through profit and loss. Fair value is determined by the financial institution and is based on foreign currency swap rates and the maturity of the instrument. Refer to note 23.

Financial liabilities

The loan facility agreement with the EIB, recorded in the consolidated statement of financial position under “Financial debt”, is measured at amortized cost with a fixed interest rate. Refer to note 18.2. The fair value is evaluated based on the interest rates and maturity date. The instrument has a fixed interest rate and the fair value measurement is subject to changes in interest rates. The fair value measurement is classified as level 3.

The synthetic warrants, in connection with the loan facility agreement with the EIB and recorded in the consolidated statement of financial position under “Financial debt”, are measured at fair value through profit and loss (see note 18.2). The fair value is determined using a binomial tree with 240 monthly periods (20 years) and the following key unobservable input:

A 5% increase in volatility for Tranche A would result in an increase in fair value by €70,000, while a 5% decrease in volatility would result in a decrease in fair value by €81,000.

A 5% increase in volatility for Tranche B would result in an increase in fair value by €65,000, while a 5% decrease in volatility would result in a decrease in fair value by €76,000.

The convertible bonds, recorded in the consolidated statement of financial position under “Financial debt”, are measured at fair value through profit and loss (see note 18.3). The fair value is determined using the Longstaff-Schwartz Monte Carlo valuation model. We refer to note 18.3 for the overview of the key assumptions. A 5% increase in volatility would result in an increase in fair value by €0.8 million, while a 5% decrease in volatility would result in a decrease in fair value by €0.8 million. A 1% increase in credit spread would result in a decrease in fair value by €158,000, while a 1% decrease in credit spread would result in an increase in fair value by €164,000.

The carrying value of trade and other liabilities approximates their fair value due to the short-term character of these instruments. The sensitivity on the fair value measurements of the recoverable cash advances are further detailed in note 18.1.

There were no changes in the Group’s valuation processes, valuation techniques, and types of inputs used in the fair value measurements during the period. There were no transfers between level 1 and level 2 fair value measurements during the period and no transfers into or out of level 3 fair value measurements.

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