Warrants

12 Months Ended

Dec. 31, 2020

Other Liabilities Disclosure [Abstract]

In 2016, the Company issued 31,115,926 units to new and existing investors at the placing price of £1.4365 per unit. Each unit comprised one ordinary share and one warrant. The warrant holders can subscribe for 0.4 of an ordinary share at a per share exercise price of £1.7238 until May 2, 2022. The warrant holders can opt for a cashless exercise of their warrants, whereby the warrant holders can choose to exchange the warrants held for a reduced number of warrants exercisable at nil consideration. The reduced number of warrants is calculated based on a formula considering the share price and the exercise price of the warrants.

At December 31, 2020, 31,003,155 warrants remain outstanding and entitle the investors to subscribe for, in aggregate, a maximum of 12,401,262 ordinary shares.

If, after a transaction, should the warrants be exercisable for unlisted securities, the warrant holders may demand a cash payment instead of the delivery of the underlying securities. Accordingly, the warrants are accounted for as a liability under ASC 480 “Distinguishing Liabilities from Equity”.The warrants are measured at fair value, Level 3 in the fair value hierarchy, with movements recorded in finance income / (expense) in the consolidated statements of operations and comprehensive loss.

In the years ended December 31, 2020, and 2019, no warrants were exercised or forfeited.

The warrants had no intrinsic value as at December 31, 2020.

There have been no changes in valuation techniques or transfers between fair value measurement levels during the years ended December 31, 2020 and 2019. The warrants are valued using the Black-Scholes model and the table below presents the assumptions used:


	Year ended December 31,
	2020			2019
Shares potentially issued under warrants	12,401,262			12,401,262
Exercise price in pounds sterling	£	1.7238		£	1.7238
Equivalent price of ordinary share (ADS price divided by eight)	$	0.64		$	0.62
Risk-free interest rate	—		%	0.54		%
Expected term to exercise	1.33			2.34
Annualized volatility	105.4		%	65.6		%
Dividend rate	—		%	—		%
Calculated value of the warrants, in thousands of U.S. dollars	$	2,246		$	1,188

The following table shows the movement of the value of the warrants (in thousands):


	Year ended December 31,
	2020		2019
At January 1	$	1,188	$	3,180

Fair value adjustment	1,114		(2,066)
Foreign exchange differences recognized in loss for the period	22		—
Translation differences recognized in other comprehensive loss	(78)		74
At December 31	$	2,246	$	1,188

For the amount recognized at December 31, 2020, the effect when the following parameter deviates up or down is presented in the below table (in thousands):


10% volatility increase	$	2,734
Base case, reported fair value	2,246
10% volatility decrease	$	1,772