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Financial instruments fair value disclosures (Tables)
 6 Months Ended
Jun. 30, 2022
Text block [abstract]  
Summary of Fair Value Hierarchy
The Company held the following financial instruments at fair value at June 30, 2022. There are
no non-recurring
fair value measurements.
 
Financial liabilities
measured at fair value
    Fair value
measurements
using significant
unobservable
inputs (Level 1)		      Fair value
measurements
using significant
unobservable
inputs (Level 2)		      Fair value
measurements
using significant
unobservable
inputs (Level 3)		  
Warrant liabilities
      —          222        6,904  
Provision for deferred
consideration
      —          —          4,334  
    
 
 
     
 
 
     
 
 
  
Total
   
 
—  
 
   
 
222
 
   
 
11,238
 
    
 
 
     
 
 
     
 
 
  
Summary of Changes in Level 3
The movements for level 3 instruments during the period are detailed in the table below:
 
    
Provision for
deferred
consideration

£’000
     
Warrant
liability

£’000
  
At January 1, 2022
   
 
4,123
 
   
 
7,995
 
    
 
 
     
 
 
  
Settled during the period
      —       
 
—  
 
Movement during the period
      211        (1,091 ) 
    
 
 
     
 
 
  
At June 30, 2022
   
 
4,334
 
   
 
6,904
 
    
 
 
     
 
 
  
Summary of Changes in Significant Unobservable Inputs Under Valuation Model Used in Level Fair Value Measurement
 
    
Valuation
technique
   
Significant
unobservable
inputs
   
Input range
   
Sensitivity of the input to
fair value
Provision for deferred consideration    Discounted cash flow    WACC    2022: 14%    1% increase/decrease would result in a decrease/increase in fair value by £45,000
         
          WACC    2021: 12%    1% increase/decrease would result in a decrease/increase in fair value by £31,000
         
          Probability of success    2022: 40.6% - 81.2%    10% increase/decrease would result in an increase/decrease in fair value by £0.5 million
         
          Probability of success    2021: 40.6% - 81.2%    10% increase/decrease would result in an increase/decrease in fair value by £0.5 million
         
Warrant Liability related to the PIPE    Black-Scholes   
Expected volatility
   
2022: 116.3%

    Volatility was estimated by reference to the one year historical volatility of the historical share price of the Company. If the volatility is increased to 149% (six month volatility), the carrying value of the warrants as of June 30, 2022 would increase
to
£10.2
 
million.
 
 
 
 
 
 
 
 
 
 
 
 
 
Expected volatility
 
2021: 75.1%
 
In 2021, volatility was estimated by reference to the
1.4
year historical volatility of the historical share price of the Company. If the volatility is decreased to 67.4% (one year volatility), the carrying value of the warrants as of December 31, 2021 would decrease to £6.7 million.