Company: SHPH
Filing Date: 2025-01-15
Form Type: S-1
Source: 0001493152-25-002253
Chunk: 189

Company: Shuttle Pharmaceuticals Holdings, Inc.
Filing Date: 2025-01-15
Form: S-1
Chunk 189
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 the Company issued warrants to purchase 127,260shares of common stock, with an exercise price of $ 1.93per share, as adjusted for the recent reverse split, valued at inception at $ 1,189,000and as of September 30, 2024, at $ 74,107. The Company determined our derivative liabilities from the warrants issued in relation to the Alto Convertible Note do not satisfy the classification as equity instruments due to the existence of a certain net cash settlement provision that is 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 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 $ 1,442,000, using a Monte Carlo simulation model. The Company determined our derivative liability from the noteholder’s Acceleration Option for the Alto Convertible Note is not clearly and closely related to the host and should be thus accounted for as a bifurcated derivative liability.

The Company classified these derivative liabilities as a Level 3 fair value measurement and used the Monte Carlo pricing model to calculate the fair value as of January 11, 2023 ($ 2,631,000included in debt discount) and September 30, 2024 ($ 74,107). Key inputs for the simulation are summarized below. The Monte Carlo simulation uses an implied VWAP for the January 11, 2023 valuation date. The implied VWAP was backsolved by setting the summation of the parts (e.g., derivatives and debt without derivatives) equal to the cash proceeds. The simulation was then iterated and manipulated to solve for the implied share price, which was approximately $ 12.64per share (or an approximate 14% discount to the quoted market VWAP on January 11, 2023).

The key inputs for the Monte Carlo simulation as of September 30, 2024, were as follows:

Schedule of Monte Carlo Simulation Assumption

| Net cash settlement and down round key valuation inputs – warrants* |     | September 30, 2024 |                  |    |
|:--------------------------------------------------------------------|:----|:-------------------|-----------------:|:---|
| Annualized volatility                                               |     |                    | 92.04% - 101.79% |    |
| Risk-free interest