Annual and transition report of foreign private issuers pursuant to Section 13 or 15(d)

Warrant derivative liabilities (Tables)

v3.23.1
Warrant derivative liabilities (Tables)
12 Months Ended
Dec. 31, 2022
Summary of changes in warrant derivative liability

The following table summarizes the changes in the warrant derivative liability during the twelve-month period to December 31, 2022:

  

    Embedded derivative  
    £  
       
Balance at December 31, 2021     -  
Fair value of warrants issued in the period     20,872,152  
Fair value adjustment     (14,851,289 )
Balance at December 31, 2022     6,020,863  
Schedule of valuation assumption on warrants derivative

The model inputs were as follows:

 

    February 10, 2022     December 31, 2022  
Exercise price in USD   $ 212.50     $ 212.50  
Share price in USD   $ 100.00     $ 3.85  
Time to maturity     6 years       5.1 years  
Expected volatility     80 %     90 %
Risk free interest rate (US treasury bond)     1.99 %     4.00 %
Dividend yield     -          

 

    November 30, 2022     December 31, 2022  
Exercise price in USD   $ 5.00     $ 5.00
Share price in USD   $ 4.71     $ 3.85  
Time to maturity     5.5 years       5.4 years  
Expected volatility     90 %     85 %
Risk free interest rate (US treasury bond)     3.8 %     3.9 %
Dividend yield     -       -  
 

 

    November 30, 2022     December 31, 2022  
Exercise price in USD   $ 5.00     $ 5.00
Share price in USD   $ 4.71     $ 3.85  
Time to maturity     2.5 years       2.4 years  
Expected volatility     90 %     90 %
Risk free interest rate (US treasury bond)     4.21 %     4.3 %
Dividend yield     -       -  
 

 

    November 30, 2022     December 31, 2022  
Exercise price in USD   $ 6.25     $ 5.00
Share price in USD   $ 4.71     $ 3.85  
Time to maturity     5.5 years       5.4 years  
Expected volatility     90 %     90 %
Risk free interest rate (US treasury bond)     3.9 %     4.0 %
Dividend yield     -       -