Company: SHPH
Filing Date: 2025-02-26
Form Type: 10-K
Source: 0001493152-25-008300
Chunk: 383

Company: Shuttle Pharmaceuticals Holdings, Inc.
Filing Date: 2025-02-26
Form: 10-K
Item: Item 1B
Chunk 383
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 unpaid accrued interest, (iv) expected
volatility, (v) risk-free interest rate, (vi) the discount rate, (vii) volume-weighted average price (“VWAP”), (viii)
illiquidity discounts, and (ix) probabilities assigned. The October 2024 Convertible Bridge Notes are subject to revaluation at the
end of each reporting period, with changes in fair value recognized in the accompanying Consolidated Statement of Operations, or for
changes due to the Company’s credit worthiness, if any, as a component of other comprehensive income.

Fair
Value of Warrants to Purchase Common Stock

The
Company has issued warrants to investors in our debt and equity offerings. The Company has also issued warrants to service providers
in relation to our financing offerings.

64

We
evaluate all warrants issued to determine the appropriate classification under ASC 480 and ASC 815 (as well as under ASC 718 for warrants
issued as share-based payments). In addition to determining classification, we evaluate these instruments to determine if such instruments
meet the definition of a derivative.

For
warrants that are determined to be equity-classified, we estimate the fair value at issuance and record the amounts to additional paid
in capital (potentially on a relative fair value basis if issued in a basket transaction with other financial instruments). Warrants
that are equity-classified are not subsequently remeasured unless modified or required to be reclassified as liabilities. For warrants
that are determined to be liability-classified, we estimate the fair value at issuance and each subsequent reporting date, with changes
in the fair value reported in the consolidated statements of operations. The classification of all outstanding warrants, including whether
such instruments should be recorded as equity, is evaluated at the end of each reporting period.

For
warrants with uncertain or more complex terms (such as variability in the warrant shares or exercise price), we may utilize more complex
models to address such provisions, including Monte Carlo simulation models. Monte Carlo simulation models require the use of simulations
that are weighted based on projected future stock prices, the volatility of a set of guideline companies
and significant unobservable inputs including  probabilities assigned. Each simulation
is based on the range of inputs in a scenario with the mean of the output on each simulation calculated as an average.

The
use of these valuation models requires the input of highly subjective assumptions. Any change to these inputs could produce significantly
higher or lower fair value measurements.

Fair
Value of Financial Instruments

We