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FAIR VALUE HIERARCHY

12 Months Ended

Dec. 31, 2023

20.FAIR VALUE HIERARCHY

A.Fair value of financial instruments that are carried at fair value

The fair value of financial assets and liabilities by classes that are carried at fair value are as follows (continued):


	As of December 31, 2022
	Quoted prices in		Significant
	active markets for	Significant other	unobservable
	identical instruments	observable inputs	inputs	Total
	(Level 1)	(Level 2)	(Level 3) ^(*)
	VND million	VND million	VND million	VND million
Financial assets:
Financial assets at fair value through profit or loss
- Derivative assets — cross-currency interest rate swaps contracts ⁽ⁱ⁾	—	—	1,229,050	1,229,050
In which:
Non-current portion	—	—	696,332	696,332
Current portion	—	—	532,718	532,718
At December 31, 2022	—	—	1,229,050	1,229,050
Financial liabilities:
Financial liabilities at fair value through profit or loss
- Long-term financial liabilities in respect of DPS2 (Note 21)	—	—	15,180,723	15,180,723
At December 31, 2022	—	—	15,180,723	15,180,723

(*) There were no transfers into or out of Level 3 of the fair value hierarchy during the year ended December 31, 2022.

20.FAIR VALUE HIERARCHY (continued)


	As of December 31, 2023
	Quoted prices in		Significant
	active markets for	Significant other	unobservable
	identical instruments	observable inputs	inputs	Total	Total
	(Level 1)	(Level 2)	(Level 3)^(*)
	VND million	VND million	VND million	VND million	USD
Financial assets:
Financial assets at fair value through profit or loss
- Derivative assets — cross-currency interest rate swaps contracts⁽ⁱ⁾	—	—	614,134	614,134	25,732,590
In which:
Non-current portion	—	—	66,124	66,124	2,770,636
Current portion	—	—	548,010	548,010	22,961,954
At December 31, 2023	—	—	614,134	614,134	25,732,590
Financial liabilities:
Financial liabilities at fair value through profit or loss
- Financial liabilities in respect of DPS2 (Note 21)	—	—	18,258,063	18,258,063	765,024,009
- Warrant liability (Note 21)	137,057	—	—	137,057	5,742,772
In which:
Non-current portion	137,057	—	—	137,057	5,742,772
Current portion	—	—	18,258,063	18,258,063	765,024,009
At December 31, 2023	137,057	—	18,258,063	18,395,120	770,766,781

(*) There were no transfers into or out of Level 3 of the fair value hierarchy during the year ended December 31, 2023.

Reconciliations of significant assets and liabilities categorized within Level 3 under the fair value hierarchy are as follow (continued):


			Net change in unrealized
	As of	Initial recognition	fair value recognized in	As of
	January 1,	during	consolidated statements	December 31,
	2022	the year	of operations	2022
	VND million	VND million	VND million	VND million
Financial assets:
Financial assets at fair value through profit or loss
- Derivative asset — cross-currency interest rate swaps contract ⁽ⁱ⁾	5,291	—	1,223,759	1,229,050
In which:
Non-current portion	5,291	—	691,041	696,332
Current portion	—	—	532,718	532,718
Financial liabilities:
Financial liability at fair value through profit or loss
- Financial liabilities in respect of DPS2 (Note 21)	—	13,995,359	1,185,364	15,180,723
- Derivative liabilities — cross-currency interest rate swaps contracts⁽ⁱ⁾	2,003,184	—	(2,003,184)	—
In which:
Non-current portion	891,711	13,995,359	293,653	15,180,723
Current portion	1,111,473	—	(1,111,473)	—

20.FAIR VALUE HIERARCHY (continued)


	As of	Net change in		As of	As of
	January 1,	fair value		December 31,	December 31,
	2023	during the year	Reclassification	2023	2023
	VND million	VND million	VND million	VND million	USD
Financial assets:
Financial assets at fair value through profit or loss
- Derivative asset — cross-currency interest rate swaps contract ⁽ⁱ⁾	1,229,050	(614,916)	—	614,134	25,732,590
In which:
Non-current portion	696,332	(630,208)	—	66,124	2,770,636
Current portion	532,718	15,292	—	548,010	22,961,954
Financial liabilities:
Financial liability at fair value through profit or loss
- Financial liabilities in respect of DPS2 (Note 21)	15,180,723	3,077,340	—	18,258,063	765,024,009
In which:
Non-current portion	15,180,723	3,077,340	(18,258,063)	—	—
Current portion	—	—	18,258,063	18,258,063	765,024,009

(i)The Group entered into non-transferable cross-currency interest rate swap (“CCIRS”) contracts with financial institutions for syndicated loans No.1, No.2, and No.3. Under the terms of the CCIRS contracts, the Group will receive floating interests based on outstanding USD notional amount every interest payment date, and in turn will pay fixed interest for such loans based on the outstanding VND notional amount. In addition, at each principal repayment date, the Group will pay a fixed amount in VND based on the USD-VND exchange rate for such loans at inception of the CCIRS for receiving a notional amount in USD with the financial institutions. The CCIRS contract of the loan No.3 was expired in April 2023. The outstanding notional amounts of the Group’s derivative instruments were maximum equal to the carrying value of syndicated loans No. 1 and No. 2 as disclosed in Note 11.2.

As of December 31, 2023, the total net amount of fair value of the CCIRS derivative assets were VND614.1 billion (USD25.7 million) (2022: VND1,229.1 billion). The Group opted not to designate the CCIRS under hedge accounting therefore, the whole fair value change was charged to the consolidated statement of operations. Net change in fair value of CCIRS derivative instruments for 2023 was recorded as net gain on financial instruments at fair value through profit or loss in the consolidated statement of operations.

In the second quarter of 2023, certain CCIRS contracts were modified to replace the LIBOR rate with the Term Secured Overnight Financing Rate (“Term SOFR”). The Company elected to apply the optional expedient (with the required criteria met) to the modification of CCIRS contracts and accordingly, did not remeasure at the modification date.

20.FAIR VALUE HIERARCHY (continued)

BValuation processes

Valuation methods and assumptions

The following methods and assumptions were used for the estimation of recurring fair value measurements categorized within Level 3 of the fair value hierarchy:

●

The significant unobservable inputs used in the fair value measurements categorized within Level 3 of the fair value hierarchy as of December 31, 2023 and as of December 31, 2022 are shown below:


	Valuation		Significant unobservable	Rate
Item	technique	Valuation date	inputs	(%/annum)
CCIRS contract of the loan No.1	Discounted Cash Flow (“DCF”)	December 31, 2022	Interpolated LIBOR for subsequent years	4.41-4.96
		December 31, 2023	Interpolated SOFR for subsequent years	4.70-5.54
CCIRS contract of the loan No.2	DCF	December 31, 2022	Interpolated LIBOR for subsequent years	4.54-4.97
		December 31, 2023	Interpolated SOFR for subsequent years	4.98-5.57
CCIRS contract of the loan No.3	DCF	December 31, 2022	Interpolated LIBOR for subsequent years	4.86-4.89
		December 31, 2023	Interpolated SOFR for subsequent years	Expired in April 2023
Financial liabilities in respect of DPS2	Binomial option pricing model – Lattice model and DCF	December 31, 2022	Credit spread of the Company (ii)	12.46
			Probability of expected events & expected exercise date Fair value of the ordinary shares ($) (i)	3.31
			Dividend yield ($) (ii)	0
			Volatility (ii)	85%-88%
	Binomial option pricing model – Lattice model and Available Market Price (AMP)	December 31, 2023	Credit spread of the Company (ii)	12.46
			Probability of expected events & expected exercise date
			Dividend yield ($) (ii)	0
			Volatility (ii)	66.6%

(i)

The fair value of ordinary shares as of December 31, 2022 was estimated based on the DCF method. Because there has been no public market for ordinary shares, the Company with the assistance of an independent third-party valuer has determined the fair value of ordinary shares by considering a number of objective and subjective factors, including, amongst others, operating and financial performance and trends in industry.

20.FAIR VALUE HIERARCHY (continued)

The fair value of the ordinary shares as of December 31, 2023 of $8.37 is determined as the market price of AMP ordinary shares as at the valuation date with the assistance of an independent third party valuer. An increase/decrease in the estimated fair value of ordinary shares would result in an increase/decrease in fair value of the Financial liabilities in respect of DPS2.

(ii)

The risk-free rates are estimated based on the curve of USD SOFR rates, swap rates, future rates as at the valuation date. The Group has never declared or paid any cash dividends on its capital stock, and the Group does not anticipate any dividend payments in the foreseeable future. The expected volatility at valuation date is estimated based on historical volatilities of comparable companies mirroring the remaining time to respective conversion or maturity date of the EB.

Lattice model is applied to back-solve the implied credit spread of the Company at First closing date. An increase/decrease in the credit spread of the Company would result in a decrease/increase in fair value of the Financial liabilities in respect of DPS2.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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