Company: SHPH
Filing Date: 2025-02-26
Form Type: 10-K
Source: 0001493152-25-008300
Chunk: 1352

Company: Shuttle Pharmaceuticals Holdings, Inc.
Filing Date: 2025-02-26
Form: 10-K
Item: Item 8
Chunk 1352
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January 2023, in connection with the Alto Convertible Note, the Company issued warrants to purchase 127,260 shares of common stock, with
an exercise price of $0.48 per share, as adjusted, valued at inception at $1.2 million and as of December 31, 2024, at less than $0.1
million. The Company determined that the derivative liabilities from the warrants issued in relation to the Alto Convertible Note did
not qualify for classification as equity instruments due to the existence of certain net cash settlement provisions that are not within
the sole control of the Company. In addition, there are certain down round provisions that could reduce the exercise price if the Company
issues securities at lower prices in the future.

The
Company has determined the Acceleration Option in the Alto warrants is an embedded derivative within the host instrument and has 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)