Company: MKLY
Filing Date: 2025-11-13
Form Type: 10-Q
Source: 0001213900-25-109976
Chunk: 33

Company: McKinley Acquisition Corp
Filing Date: 2025-11-13
Form: 10-Q
Item: Part I, Item 1
Chunk 33
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 its ordinary share based on historical volatility that matches the expected remaining life of the option. The risk-free interest rate is based on the U.S. Constant Maturity Treasury rates on the grant date for a maturity similar to the expected remaining life of the option. The expected life of the option is assumed to be equivalent to their remaining contractual term. The following is a summary of key inputs utilized:       Over-allotment  Option   Unit price  $9.98    Exercise price   10.00    Risk-free rate   4.36%   Estimated volatility   3.63%   Time to expiration   0.12     The Public Rights were valued using an iterative analysis based on market comparable. The valuation was based on a peer group selection of comparable special purpose acquisition companies who were pre-business combination, included one right to redeem one-tenth of one Class A ordinary share as part of their units that were publicly trading, had consummated their initial public offerings within six months of the valuation date. Utilizing this criteria a right price of $0.220, reflective of the 75th percentile peer group range, was selected. An implied right price of $0.289 was determined through a backsolve approach, and after taking the weighted average of the two right prices determined the fair value of a Public Right was $0.241.   The Bonus Shares were valued using a Monte Carlo simulation to estimate the fair value of the non-managing sponsor and underwriter interests in the Bonus Shares. The simulation utilized a Geometric Brownian Motion, and on a risk-neutral basis, the price of Class A ordinary shares considering the contractual mechanisms for the Bonus Shares to be distributed. Key inputs included a $9.74 value of the Company’s Class A ordinary shares, a risk-free interest rate based on the U.S. Treasury yields for a term similar to the expected remaining life until the Lookback Date, and pre-business combination and post-business combination volatility based on precedent analysis.  

Note 10 — Subsequent Events The Company evaluated subsequent events and transactions that occurred after September 30, 2025, the balance sheet date, up to the date the unaudited condensed financial statements were issued. Based upon this review, the Company did not identify any subsequent events that would have required adjustments or disclosure in the unaudited condensed financial statements. 20  

Item 2. Management’s Discussion
and Analysis of Financial Condition and Results of Operations

Unless