Company: SHPH
Filing Date: 2025-02-26
Form Type: 10-K
Source: 0001493152-25-008300
Chunk: 1068

Company: Shuttle Pharmaceuticals Holdings, Inc.
Filing Date: 2025-02-26
Form: 10-K
Item: Item 6
Chunk 1068
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2024 Convertible Bridge Notes at their estimated issuance date fair value of $806,758.
As the fair value of the 2024 Convertible Bridge Notes exceeded the proceeds received, the Company recorded a loss on issuance of
convertible notes of $16,758,
which is included as a finance fee on the consolidated statement of operations. The proceeds were allocated in full to the 2024
Convertible Bridge Notes recorded at fair value. The warrants issued in connection with the 2024 Convertible Bridge Notes were
deemed to be equity instruments. In addition, the Company allocated the issuance costs incurred to these instruments to the 2024
Convertible Bridge Notes and as such, expensed $107,491
in issuance costs during the year ended December 31, 2024, including $41,579
of original issue discount on the 2024 Convertible Bridge Notes.

The
Company used a Monte Carlo simulation model to calculate the fair value of the 2024 Convertible Bridge Notes and the related
warrants as of the issuance date and for the 2024 Convertible Bridge Notes as of December 31, 2024. These financial instruments were classified within Level 3 of the fair value hierarchy at the initial measurement date, due to the use of unobservable
inputs. The key inputs into the model were as follows at issuance and December 31,
2024:

Schedule
of Key Inputs of Convertible Bridge Note

    October 31, 2024 (issuance)  
    December 31, 2024 
  
    Risk-free interest rate 
     4.15%
                                            - 4.27%  
     4.16% 
  
    Expected term (years) 
     1.0
                                                       – 5.0  
     0.83 
  
    Quoted VWAP 
    $1.88  
    $0.82 
  
    Volatility  
     62.28% - 97.05%  
     57.50% - 97.14% 
  
    Discount rate 
     40% - 60%  
     40% - 60% 
  
    Probability assessments (1) 
     10% - 40%  
     10% - 40% 
  
    Illiquidity discount 
     (23)% 
     (26)%

(1)Probability assessments include the probabilities that subsequent successful
capital raises