|12 Months Ended
Dec. 31, 2021
|Disclosure of detailed information about borrowings [abstract]
The following table summarizes the changes in the convertible debt instrument during the period ended December 31, 2021
The fair value of the residual loan is $17,244,578 (£12,835,742 based on the exchange rate as at December 31, 2021).
During 2021, the Group issued convertible loan notes with a face value of $17,657,808 (£13,051,821 based on the exchange rate as at December 31, 2021) in exchange for $8,768,904 (£6,383,659) in cash. These notes required the payment of mandatory annual interest coupons of 5% p.a. and mature, unless previously repaid or converted in shares on February 15, 2022.
TC BIOPHARM (HOLDINGS) PLC
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED)
At the time of an initial public offering (“IPO”), 50% of the face value of the outstanding Convertible Loan Notes (including interest accrued to date), and any further balance as elected by the noteholders, will convert into shares at a conversion price, which is the lower of (a) the price per share calculated on a fully diluted basis (based on the number of shares in issue and vested share options immediately prior to the IPO being approved by the shareholders) on an assumed entity valuation of $ and (b) the listing price. The remaining amount due under the loan notes are repayable at par or convertible (on the same value) into shares in the listed entity at the loan note holders’ option in two equal tranches at 90 days and 180 days after the listing date.
In the event of an act of default (including if the Group does not list despite its and its bankers’ efforts before February 15, 2022) the outstanding notes become immediately repayable at their face value.
At the time of our initial public offering on February 10, 2022, loan notes totaling $13,447,012 (£9,861,405) converted into 3,164,015 ADSs and Warrants at a combined issue price of $ .
The convertible loan has been recognized as a debt instrument with a contingently conversion option separately accounted for as an embedded conversion option derivative.
The value of the embedded derivative is remeasured at fair value at each reporting date (based on a Black-Scholes valuation model) with recognition of the changes in fair value in the consolidated statements of comprehensive loss in accordance with IFRS 9. The inputs associated with calculating the fair value of the embedded derivative are considered to be Level 3 (inputs not based on observable market data) as defined by IFRS 7 – Financial instruments: Disclosures and therefore the valuation of the conversion option is a level 3 valuation. The significant inputs used in the valuation are:
A change in the share price input might result in a significantly higher or lower valuation. A 3.8 million. A % increase in the share price assumption would increase the estimated value of the embedded derivative by £4.0 million.% reduction in the share price assumption would reduce the estimated value of the embedded derivative by £