NOTE 12. FAIR VALUE MEASUREMENTS

The fair value of the Company’s financial assets and liabilities reflects management’s estimate of amounts that the Company would have received in connection with the sale of the assets or paid in connection with the transfer of the liabilities in an orderly transaction between market participants at the measurement date. In connection with measuring the fair value of its assets and liabilities, the Company seeks to maximize the use of observable inputs (market data obtained from independent sources) and to minimize the use of unobservable inputs (internal assumptions about how market participants would price assets and liabilities). The following fair value hierarchy is used to classify assets and liabilities based on the observable inputs and unobservable inputs used in order to value the assets and liabilities:

The Company had cash and cash equivalents of approximately £1.0 million as of June 30, 2024. The cash and cash equivalents are carried at fair value due to the liquid nature of the instruments and are measured in Level 1.

In addition, the Company also had numerous outstanding warrants that were classified in Level 2 due to our use of implied volatility in determining the expected volatility input for purposes of determining the instruments fair value via the Black-Scholes valuation model. The details of the issued warrants were as follows:

Unlisted warrants in issue 

Series A warrants

The fair value of each of the warrants was approximately $0.15 and $3.70 as of June 30, 2024 and December 31, 2023, respectively.

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 OF WARRANTS USING BLACK-SCHOLES VALUATION MODEL 

Series B warrants

The fair value of each of the warrants was approximately $0.00 and $0.20 as of June 30, 2024 and December 31, 2023, respectively.

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 OF WARRANTS USING BLACK-SCHOLES VALUATION MODEL

Series A-B placement agent warrants

The fair value of each of the warrants was $0.11 and $3.10 as of June 30, 2024 and December 31, 2023, respectively.

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 OF WARRANTS USING BLACK-SCHOLES VALUATION MODEL

Series C placement agent warrants

The fair value of each of the warrants was $0.40 and $6.90 as of June 30, 2024 and December 31, 2023, respectively.

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 OF WARRANTS USING BLACK-SCHOLES VALUATION MODEL

Series D warrants

The fair value of each of the warrants was $8.46 as of the August 30, 2023 issuance date. As the warrants were equity classified, they were not re-measured to fair value as of December 31, 2023. The warrants were subsequently exercised in full on March 12, 2024.

Series E warrants

The fair value of each of the warrants was $1.97 as of the December 18, 2023 issuance date. As the warrants were equity classified, they were not re-measured to fair value as of December 31, 2023.The warrants were subsequently exercised in full on May 6, 2024.

Series F warrants

The fair value of each of the warrants was $1.045 as of the May 8, 2024 issuance date. As the warrants were equity classified, they were not re-measured to fair value as of June 30, 2024.