XML 28 R19.htm IDEA: XBRL DOCUMENT v3.22.2
Financial instruments
 6 Months Ended
Jun. 30, 2022
Financial instruments  
Financial instruments

14Financial instruments

To provide an indication about the reliability of the inputs used in determining fair value, the Company classifies its financial instruments into the three levels prescribed under the accounting standards.

Financial liabilities at fair value through profit and loss:

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2022

​

December 31, 2021

​

​

£000

​

£000

​

    

Level 1

    

Level 2

    

Level 3

    

Level 1

    

Level 2

    

Level 3

Convertible Senior Secured Notes

 

—

 

—

 

92,450

 

—

 

—

 

112,799

Warrant liabilities

 

6,187

 

—

 

—

 

10,730

 

—

 

—

​

 

6,187

 

—

 

92,450

 

10,730

 

—

 

112,799

​

The fair value of financial instruments is deemed to be equivalent to the carrying value.

14Financial instruments (continued)

Level 1: The fair value of financial instruments traded in active is based on quoted market prices at the end of the reporting period. As such, warrants issued but not exercised are valued with reference to the observable market price as at the period end date ($0.39 per warrant).

Level 3: If one or more of the significant inputs is not based on observable market data, the instrument is included in level 3. This is the case for the issued Convertible Senior Secured Notes.

The fair value of the convertible senior secured notes has been estimated using a binomial lattice framework. The following inputs have been used:

​

​

​

​

​

​

​

    

June 30, 2022

    

December 31, 2021

 

Risk-free rate

 

3.00

%  

1.25

%

Dividend yield

 

—

 

—

​

Volatility

 

52.5

%  

52.5

%

Credit spread

 

21.8

%  

21.8

%

​

No changes were made during the period ended June 30, 2022 to the valuation techniques applied as at December 31, 2021.