Annual report pursuant to Section 13 and 15(d)

CONVERTIBLE LOAN (Tables)

v3.24.1
CONVERTIBLE LOAN (Tables)
 12 Months Ended
Dec. 31, 2023
Class of Warrant or Right [Line Items]  
SCHEDULE OF CHANGES IN CONVERTIBLE DEBT INSTRUMENT

The following table summarizes the changes in the convertible debt instrument during the year ended December 31, 2023:

 

    Residual loan     Embedded Derivative     Total  
Balance at December 31, 2022   £ 653,484     £ 2,439     £ 655,923  
Accrued interest     71,568       -       71,568  
Repayment     (639,336 )     (2,439 )     (641,775 )
Modification of loan notes     (53,619 )     -       (53,619 )
Currency adjustment     (32,097 )     -       (32,097 )
Balance at December 31, 2023   £ -     £ -     £ -  
SCHEDULE OF BLACK SCHOLES VALUATION MODEL OF MEASUREMENT INPUT

The value of the embedded derivative was remeasured to fair value at each reporting date, based on the Black-Scholes valuation model, with recognition of the changes in fair value in the consolidated statements of operations. The inputs associated with calculating the fair value of the embedded derivative are considered to be Level 2. The following inputs were used to determine the conversion option:

 SCHEDULE OF BLACK SCHOLES VALUATION MODEL OF MEASUREMENT INPUT

    December 31, 2022  
Exercise price in USD   $ 100.00  
Share price in USD   $ 77.00  
Time to maturity     0.8 years  
Expected volatility     90 %
Risk free interest rate (US treasury bond)     4.1 %
Dividend yield     -  
BLACK-SCHOLES VALUATION MODEL TO DETERMINE THE RELATED SHARE PURCHASE WARRANTS

The inputs associated with calculating the fair value of the warrants are considered to be Level 2 and were valued using a Black-Scholes valuation model. The inputs were as follows:

SCHEDULE OF FAIR VALUE ASSETS AND LIABILITIES MEASURED ON RECURRING AND NON RECURRING BASIS 

    December 31, 2023     December 31, 2022  
Exercise price   $ 100.00     $ 100.00  
Share price   $ 3.17     $ 77.00  
Time to maturity     4.4 years       5.4 years  
Expected volatility     90 %     85 %
Risk free interest rate (US treasury bond)     4.0 %     3.9 %
Dividend yield     -       -  

The inputs associated with calculating the fair value of the warrants are considered to be Level 2 and were valued using a Black-Scholes valuation model. The inputs were as follows:

 

    December 31, 2023     December 31, 2022  
Exercise price   $ 100.00     $ 100.00  
Share price   $ 3.17     $ 77.00  
Time to maturity     1.4 years       2.4 years  
Expected volatility     90 %     90 %
Risk free interest rate (US treasury bond)     4.0 %     4.3 %
Dividend yield     -       -  

  

The inputs associated with calculating the fair value of the warrants are considered to be Level 2 and were valued using a Black-Scholes valuation model. The inputs were as follows:

 

    December 31, 2023     December 31, 2022  
Exercise price   $ 125.00     $ 125.00  
Share price   $ 3.17     $ 77.00  
Time to maturity     4.4 years       5.4 years  
Expected volatility     90 %     90 %
Risk free interest rate (US treasury bond)     4.0 %     4.0 %
      -       -  
  

The inputs associated with calculating the fair value of the warrants are considered to be Level 2 and were valued using a Black-Scholes valuation model. The inputs were as follows:

 

    March 30, 2023  
Exercise price   $ 35.00  
Share price   $ 31.00  
Time to maturity     5.0 years  
Expected volatility     90 %
Risk free interest rate (US treasury bond)     4.0 %
Dividend yield     -  
  

The inputs associated with calculating the fair value of the warrants are considered to be Level 2 and were valued using a Black-Scholes valuation model. The inputs were as follows:

 

    December 31, 2023     March 30, 2023  
Exercise price   $ 40.00     $ 40.00  
Share price   $ 3.17     $ 31.00  
Time to maturity     4.2 years       5.0 years  
Expected volatility     90 %     90 %
Risk free interest rate (US treasury bond)     4.0 %     4.49 %
Dividend yield     -       -  
  

The inputs associated with calculating the fair value of the warrants are considered to be Level 2 and were valued using a Black-Scholes valuation model. The inputs were as follows:

 

    August 30, 2023  
Exercise price   $ 8.80  
Share price   $ 11.00  
Time to maturity     5.5 years  
Expected volatility     90 %
Risk free interest rate (US treasury bond)     4.0 %

 

 The inputs associated with calculating the fair value of the warrants are considered to be Level 2 and were valued using a Black-Scholes valuation model. The inputs were as follows:

 

    August 30, 2023  
Exercise price   $ 11.00  
Share price   $ 11.00  
Time to maturity     5.5 years  
Expected volatility     90 %
Risk free interest rate (US treasury bond)     4.0 %
Dividend yield     -  
 

The inputs associated with calculating the fair value of the warrants are considered to be Level 2 and were valued using a Black-Scholes valuation model. The inputs were as follows:

 

    December 18, 2023  
Exercise price   $ 2.00  
Share price   $ 2.61  
Time to maturity     5.0 years  
Expected volatility     90 %
Risk free interest rate (US treasury bond)     4.0 %
 

The inputs associated with calculating the fair value of the warrants are considered to be Level 2 and were valued using a Black-Scholes valuation model. The inputs were as follows:

 

    December 18, 2023  
Exercise price   $ 2.50  
Share price   $ 2.61  
Time to maturity     5.0 years  
Expected volatility     90 %
Risk free interest rate (US treasury bond)     4.0 %
Dividend yield     -  
 
Warrant [Member]  
Class of Warrant or Right [Line Items]  
BLACK-SCHOLES VALUATION MODEL TO DETERMINE THE RELATED SHARE PURCHASE WARRANTS

The following inputs were used in the Black-Scholes valuation model to determine the related share purchase warrants:

BLACK-SCHOLES VALUATION MODEL TO DETERMINE THE RELATED SHARE PURCHASE WARRANTS 

 

    December 31, 2023  
Exercise price in USD   $ 100.00  
Share price in USD   $ 3.17  
Time to maturity     4.3 years  
Expected volatility     90 %
Risk free interest rate (US treasury bond)     4.5 %
Dividend yield     -