Babylon Holdings Limited Registration statement for securities issued by foreign private issuers in certain business combination transactions

Registration statement for securities issued by foreign private issuers in certain business combination transactions

Financial Instruments (Tables)

Financial Instruments (Tables)

3 Months Ended

12 Months Ended

Mar. 31, 2022

Dec. 31, 2021

Financial Instruments

Schedule of Assets and Liabilities that are Measured at Fair Value

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at March 31, 2022 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value.


	Fair Value
	Level 1	Level 2	Level 3	Total
	$’000	$’000	$’000	$’000
Tradeable Alkuri Warrants	4,571	—	—	4,571
Non-tradeable Alkuri Warrants	—	3,145	—	3,145
AlbaCore Warrants	—	—	6,837	6,837
Additional AlbaCore Warrants	—	—	3,418	3,418
	4,571	3,145	10,255	17,971

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at December 31, 2021 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value.


	Fair Value
	Level 1	Level 2	Level 3	Total
	$’000	$’000	$’000	$’000
Tradeable Alkuri Warrants	5,865	—	—	5,865
Non-tradeable Alkuri Warrants	—	4,035	—	4,035
AlbaCore Warrants	—	—	10,228	10,228
	5,865	4,035	10,228	20,128

Schedule of the Monte Carlo Simulation Model for the AlbaCore Warrants

The key inputs into the Monte Carlo simulation model for the AlbaCore Warrants and Additional AlbaCore Warrants were as follows:


	As of			As of
	March 31, 2022			December 31, 2021
Underlying stock price (USD)	$	3.89		$	5.83
Exercise price (USD)	$	0.00004		$	0.00004
Volatility		74.1	%		71.6	%
Remaining term (years)		4.6			4.85
Risk-free rate		2.40	%		1.23	%

The key inputs into the Monte Carlo simulation model for the AlbaCore Warrants were as follows:


	As of			As of
	November 4, 2021			December 31, 2021
Underlying stock price (USD)	$	9.66		$	5.83
Exercise price (USD)	$	0.00004		$	0.00004
Volatility		66.7	%		71.6	%
Remaining term (years)		5.00			4.85
Risk-free rate		1.09	%		1.23	%

Schedule of Significant Exchange Rates

The Group has applied the following significant exchange rates:


	Average Rate			Year-end spot rate
United States Dollar	2021	2020	2019	2021	2020	2019
GBP	0.7277	0.7760	0.7835	0.7409	0.7321	0.7618
CAD	1.2536	1.3433	1.3251	1.2725	1.2750	1.3033
RWF	1,003.4066	959.1820	914.2488	1,037.6458	988.0837	947.0750
SGD	1.3427	1.3789	1.3111	1.3496	1.3224	1.3456
INR	73.7902	74.0038	N/A	74.3047	73.2901	N/A

Schedule of Sensitivity Analysis

This analysis assumes that all other variables, in particular interest rates, remain constant and ignores any impact of forecast sales and purchases. The fluctuation seen primarily relates to the impacts of Brexit and COVID-19 over the last two years but is expected to stabilize moving forward.


	Profit or loss
	Strengthening	Weakening
	$’000	$’000
December 31, 2021
GBP (5.0% movement)	(373,578)	(371,938)
December 31, 2020
GBP (5.0% movement)	(184,067)	(184,416)
December 31, 2019
GBP (5.0% movement)	(156,489)	(150,290)


	Equity, net of tax
	Strengthening	Weakening
	$’000	$’000
December 31, 2021
GBP (5.0% movement)	(168,522)	(168,930)
December 31, 2020
GBP (5.0% movement)	(48,743)	(48,394)
December 31, 2019
GBP (5.0% movement)	(175,371)	(173,872)