180 Life Sciences Corp. Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

Derivative Liabilities

Derivative Liabilities

3 Months Ended

Mar. 31, 2024

NOTE 6 - DERIVATIVE LIABILITIES

The following table sets forth a summary of the changes in the fair value of derivative liabilities. These include warrants sold in a private placement in connection with the Company’s initial public offering (the “Private SPAC”), warrants sold in a private offering on February 23, 2023 (the “PIPE”), and certain other warrants (“Other Warrants”) which are classified as Level 3 derivative liabilities, and warrants sold publicly in our initial public offering (“Public SPAC ”), which are classified as Level 1 derivative liabilities in the following table and are measured at fair value on a recurring basis:

	Warrants⁽¹⁾
	Public		Private
	SPAC		SPAC		PIPE		Other		Total
Balance as of January 1, 2024	$	58	$	-	$	-	$	-	$	58
Change in fair value of derivative liabilities		191		-		-		-		191
Balance as of March 31, 2024	$	249	$	-	$	-	$	-	$	249

(1)

There are 15,132 Public SPAC warrants, 662 Private SPAC warrants, 6,748 PIPE warrants and 234 Other warrants outstanding as of March 31, 2024; all but the Public SPAC warrants are valued at zero as of the current period end.

The fair value of the derivative liabilities as of March 31, 2024 and December 31, 2023 was estimated using the Black Scholes option pricing model, with the following assumptions used to determine the values of Level 3 derivative liabilities:

	March 31, 2024
Risk-free interest rate		4.63% - 5.40	%
Expected term in years		0.34 – 1.90
Expected volatility		100.0% - 120.0	%
Expected dividends		0	%

	December 31, 2023
Risk-free interest rate		3.71% - 5.50	%
Expected term in years		0.59 – 2.90
Expected volatility		100.0% - 110.0	%
Expected dividends		0	%