180 Life Sciences Corp. General form of registration statement for all companies including face-amount certificate companies

General form of registration statement for all companies including face-amount certificate companies

Derivative Liabilities (Tables)

Derivative Liabilities (Tables)

9 Months Ended

12 Months Ended

Sep. 30, 2023

Dec. 31, 2022

Derivative Liabilities [Abstract]

Schedule of derivative liabilities

The following table sets forth a summary of the changes in the fair value of Level 3 derivative liabilities (except the Public SPAC Warrants as defined below, which are Level 1 derivative liabilities) that are measured at fair value on a recurring basis:

	Warrants
	Public			Private
	SPAC			SPAC			PIPE			Other			Total
Balance as of January 1, 2023	$	31,625		$	1,256		$	42,100		$	400		$	75,381
Change in fair value of derivative liabilities		(21,390	)		(1,005	)		(30,600	)		(328	)		(53,323	)
Balance as of March 31, 2023	$	10,235		$	251		$	11,500		$	72		$	22,058
Change in fair value of derivative liabilities		(4,600	)		(251	)		(9,500	)		(66	)		(14,417	)
Balance as of June 30, 2023	$	5,635		$	-		$	2,000		$	6		$	7,641
Change in fair value of derivative liabilities		(230	)		-			(1,800	)		(6	)		(2,036	)
Balance as of September 30, 2023	$	5,405		$	-		$	200		$	-		$	5,605

The following table sets forth a summary of the changes in the fair value of Level 3 derivative liabilities (except the Public Special Purpose Acquisition Companies (“SPAC”) warrants as defined below, which are Level 1 derivative liabilities) that are measured at fair value on a recurring basis:

	For the Year Ended December 31, 2022
	Warrants
	Public			Private									Convertible
	SPAC			SPAC			PIPE			Other			Notes		Total
Balance as of January 1, 2022	$	8,048,850		$	467,325		$	6,516,300		$	187,892		$	-	$	15,220,367
Change in fair value of derivative liabilities		(8,017,225	)		(466,069	)		(6,474,200	)		(187,492	)		-		(15,144,986	)
Balance as of December 31, 2022	$	31,625		$	1,256		$	42,100		$	400		$	-	$	75,381

Schedule of option pricing models

The fair value of the derivative liabilities as of September 30, 2023, and December 31, 2022 was estimated using the Black Scholes option pricing model, with the following assumptions used:

		September 30, 2023
Risk-free interest rate		4.94% - 5.50%
Expected term in years		0.84 - 2.40
Expected volatility		100.0% - 110.0%
Expected dividends		0%
Market Price		$0.61

		December 31, 2022
Risk-free interest rate		2.30% - 4.50%
Expected term in years		1.59 - 3.90
Expected volatility		76.0% - 105.0%
Expected dividends		0%
Market Price		$3.39

The fair value of the derivative liabilities as of December 31, 2022 and 2021 were estimated using the Black Scholes option pricing model, with the following assumptions used:

	December 31, 2022
Risk-free interest rate		2.30% – 4.50	%
Expected term in years		1.59 – 3.90
Expected volatility		76.0% – 105.0	%
Expected dividends		0	%

	February 23, 2021
Risk-free interest rate		0.59	%
Expected term in years		5.00
Expected volatility		85	%
Expected dividends		0	%

	March 12, 2021
Risk-free interest rate		0.68	%
Expected term in years		3.84
Expected volatility		85	%
Expected dividends		0	%

	July 29, 2021
Risk-free interest rate		0.37	%
Expected term in years		3.00
Expected volatility		85	%
Expected dividends		0	%

	January 15, 2021 to
	February 5, 2021
Risk-free interest rate		0.00% - 0.14	%
Expected term in years		0.02 - 0.18
Expected volatility		120% - 161	%
Expected dividends		0	%

Schedule of Fair Value of Level 3 Derivative Liabilities

	For the Year Ended December 31, 2021
	Warrants
	Public		Private								Convertible
	SPAC		SPAC		PIPE			Other			Notes			Total
Balance as of January 1, 2021	$	3,795,000	$	256,275	$	-		$	165,895		$	225,800		$	4,442,970
Extinguishment of derivative liabilities in connection with conversion of debt ⁽¹⁾		-		-		-			-			(591,203	)		(591,203	)
Warrants issued in connection with the financing		-		-		7,294,836			-			-			7,294,836
Warrants issued relates to Alpha settlement ⁽¹⁾		-		-		-			95,677			-			95,677
Extinguishment of derivative liabilities in connection with the Alpha settlement ⁽¹⁾		-		-		-			-			(699,301	)		(699,301	)
Change in fair value of derivative liabilities		4,253,850		211,050		(778,536	)		(73,680	)		1,064,704			4,677,388
Balance as of December 31, 2021	$	8,048,850	$	467,325	$	6,516,300		$	187,892		$	-		$	15,220,367

(1)	See Note 10 – Convertible Notes Payable

Schedule of Warrant Activity

	Number of Warrants			Weighted Average Exercise Price		Weighted Average Remaining Life in Years			Intrinsic Value
Outstanding, January 1, 2021		303,245		$	228.69		4.9			-
Issued		254,450			124.77
Exercised		-			-
Cancelled		-			-
Expired		-			-
Outstanding, December 31, 2021		577,695		$	181.20		4.1			-
Issued		4,508,923			3.44		5.4
Exercised		(1,630,890	)		0.0001		-	⁽¹⁾
Cancelled			-		-
Expired			-		-
Outstanding, December 31, 2022		3,435,728		$	33.94		5.1			-

Exercisable, December 31, 2022		577,695		$	181.28		3.1			-

⁽¹⁾

Note that the warrants are exercisable until they are exercised in full and have no expiration date; as such, they have been excluded from this calculation.

Schedule of Outstanding and Exercisable Warrants

A summary of outstanding and exercisable warrants as of December 31, 2022 is presented below:

Warrants Outstanding				Warrants Exercisable
				Weighted
				Average
Exercise		Number of		Remaining		Number of
Price		Shares		Life in Years		Shares
$	100.00		128,200		3.2		128,200
$	105.60		3,183		2.3		3,183
$	141.40		1,250		1.6		1,250
$	150.00		125,000		3.6		125,000
$	230.00		300,062		2.9		300,062
$	21.20		306,604		-		-
$	3.50		2,571,429		-		-
			3,435,728		3.1		577,695

Warrants Outstanding				Warrants Exercisable
				Weighted
				Average
Exercise		Number of		Remaining		Number of
Price		Shares		Life in Years		Shares
$	100.00		128,200		4.2		128,200
$	105.60		3,183		3.3		3,183
$	141.40		1,250		2.6		1,250
$	150.00		125,000		4.6		125,000
$	230.00		300,062		3.9		300,062
			577,695		4.1		577,695

- Definition

Tabular disclosure of all significant concentrations of risk, including credit risk and market risk, arising from all financial instruments (as defined), whether from an individual counterparty or groups of counterparties. The disclosure concerning concentrations of risk may consist of the following information: (1) for concentrations of credit risk disclosure may include: (a) information about the (shared) activity, region, or economic characteristic that identifies the concentration, (b) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the entity would incur if parties to the financial instruments that make up the concentration failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the entity, (c) the policy of requiring collateral or other security to support financial instruments subject to credit risk, information about the entity's access to that collateral or other security, and the nature and a brief description of the collateral or other security supporting those financial instruments, and (d) the policy of entering into master netting arrangements to mitigate the credit risk of financial instruments, information about the arrangements for which the entity is a party, and a brief description of the terms of those arrangements, including the extent to which they would reduce the entity's maximum amount of loss due to credit risk and (2) for disclosure of quantitative information about the market risks of financial instruments that is consistent with the way the company manages or adjusts those risks, disclosure may include: (a) more details about current positions and perhaps activity during the period, (b) the hypothetical effects on comprehensive income (or net assets), or annual income, of several possible changes in market prices, (c) a gap analysis of interest rate re-pricing or maturity dates, (d) the duration of the financial instruments, (e) the entity's value at risk from derivatives and from other positions at the end of the reporting period and the average value at risk during the year, or (f) other ways of reporting quantitative information as internally developed.

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