Company: SHPH
Filing Date: 2025-02-26
Form Type: 10-K
Source: 0001493152-25-008300
Chunk: 534

Company: Shuttle Pharmaceuticals Holdings, Inc.
Filing Date: 2025-02-26
Form: 10-K
Item: Item 1C
Chunk 534
---
 bifurcated
it from the host instrument and recorded it as a derivative liability valued at $1.4 million at inception, using a Monte Carlo simulation
model. The Company determined its derivative liability from the noteholder’s Acceleration Option for the Alto Convertible Note
is not clearly and closely related to the host and should thus be accounted for as a bifurcated derivative liability. As of December
31, 2024, the value of the Acceleration Option was $0 as the Alto Convertible Note was settled by September 30, 2024.

    F-24

The
Company classifies these derivative liabilities as a Level 3 fair value measurement and used the Monte Carlo pricing model to calculate
the fair value as of December 31, 2024 (less than $0.1 million) and December 31, 2023 ($0.4 million).

The
key inputs for the Monte Carlo simulation* for the Alto and October 2024 Equity Financing warrants as of December 31, 2024, were as
follows:

 Schedule of Monte Carlo Simulation Assumption

    Annualized volatility 
     57.50% - 97.14% 
  
    Risk-free interest rate 
     4.25 – 4.38% 
  
    Quoted VWAP 
    $0.82 
  
    Exercise price 
    $0.48
                                       – 1.40 
  
    Probability assessments (1) 
     10% - 40% 
  
    Illiquidity discount 
     (26)%
  
    Time period (years) 
     2.03 - 4.84 

(1)Probability
                                            assessments include the probabilities that subsequent successful capital raises (in terms
                                            of amounts raised and timing) are not executed and the probability that the securities issuable
                                            under the convertible bridge notes are not timely registered.

*Based on a Monte Carlo
                                                                                                                                                                     simulation analysis of 50,000 iterations

The
key inputs for the Monte Carlo simulation for the Alto warrants as of December 31, 2023, were as follows:

    Net cash settlement and down round key valuation inputs - warrants* 

    Annualized volatility 
     77.51% - 92.33% 
  
    Risk-free interest rate 
     4.01% - 5.23% 
  
    Quoted VWAP 
    $4.72 
  
    Exercise price