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

Quarterly report pursuant to Section 13 or 15(d)

Derivative Liabilities (Tables)

Derivative Liabilities (Tables)

9 Months Ended

Sep. 30, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of changes in the fair value of Level 3 derivative liabilities that are measured at fair value on a recurring basis

	For the Nine Months Ended September 30, 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
Change in fair value of derivative liabilities		7,130,000			624,600			4,581,868			237,436			655,404			13,229,308
Balance as of March 31, 2021		10,925,000			880,875			11,876,704			403,331			290,001			24,375,911
Change in fair value of derivative liabilities		10,350,000			629,325			7,712,770			55,025			409,300			19,156,420
Balance as of June 30, 2021		21,275,000			1,510,200			19,589,474			458,356			699,301			43,532,331
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		(10,695,000	)		(831,825	)		(10,232,374	)		(284,192	)		-			(22,043,391	)
Balance as of September 30, 2021	$	10,580,000		$	678,375		$	9,357,100		$	269,841		$	-		$	20,885,316

Schedule of option pricing models to derivatives assumed

	September 30, 2021
Risk-free interest rate		0.53% - 0.85%
Expected term in years		2.84 - 4.40
Expected volatility		85% - 90%
Expected dividends		0%

	February 23, 2021
Risk-free interest rate		0.59%
Expected term in years		5.00
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 warrants activity

	Number of Warrants		Weighted Average Exercise Price		Weighted Average Remaining Life in Years		Intrinsic Value

Outstanding, December 31, 2020		6,001,250		11.50
Issued		5,152,658		6.23
Exercised		-		-
Cancelled		-		-
Expired		-		-
Outstanding, September 30, 2021		11,153,908	$	9.06		4.3	$	1,059,516

Exercisable, September 30, 2021		11,153,908	$	9.06		4.3	$	1,059,516

Schedule of outstanding and exercisable warrants

Warrants Outstanding				Warrants Exercisable
				Weighted
				Average
Exercise		Number of		Remaining		Number of
Price		Shares		Life in Years		Shares
$	5.00		2,564,000		4.4		2,564,000
$	5.28		63,658		3.6		63,658
$	7.07		25,000		2.8		25,000
$	7.50		2,500,000		4.9		2,500,000
$	11.50		6,001,250		4.1		6,001,250
			11,153,908		4.3		11,153,908

- 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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