Company: SPEG
Filing Date: 2025-11-14
Form Type: 10-Q
Source: 0001213900-25-110444
Chunk: 33

Company: Silver Pegasus Acquisition Corp.
Filing Date: 2025-11-14
Form: 10-Q
Item: Part I, Item 1
Chunk 33
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 or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis.

    Level 2:
    Observable inputs other
    than Level 1 inputs. Examples of Level 2 inputs include quoted prices in active markets for similar assets or liabilities and quoted
    prices for identical assets or liabilities in markets that are not active.

    Level 3:
    Unobservable inputs based
    on assessment of the assumptions that market participants would use in pricing the asset or liability.

17

SILVER PEGASUS ACQUISITION CORP.

NOTES TO CONDENSED FINANCIAL STATEMENTS

SEPTEMBER 30, 2025

(Unaudited) 

The following table presents information about
the Company’s assets and liabilities that are measured at fair value as of September 30, 2025, and indicates the fair value hierarchy
of the valuation inputs the Company utilized to determine such fair value: 

    Level 
    September 30, 2025 
  
    Liabilities: 

    Derivative liability – Public Rights 
    3 
    $2,875,000 
  
    Derivative liability – Private Warrants 
    3 
    $1,494,075 

The fair value of the Public Rights was determined
using the Bifurcation Analysis. The Public Rights were accounted for as liabilities in accordance with ASC 815-40 and are presented within
right liability in the accompanying unaudited condensed balance sheet. The right liability is measured at fair value at inception and
on a recurring basis, with changes in fair value presented within the unaudited condensed statements of operations. 

The following table presents the quantitative
information regarding market assumptions used in the valuation of the public rights:

    July 16, 2025  
    September 30, 2025 
  
    Unit offering price 
    $10.04  
    $9.97 
  
    Estimated probability of business combination 
     17.00% 
     25.08%
  
    Right % of whole share 
     10.00% 
     10.00%
  
    Implied value of Share Right 
    $0.17  
    $0.25 
  
    Implied value of underlying share 
    $9.87  
    $9.73 

The fair value of Class B.1 and Class B.2 Private
Warrants was determined using the Monte Carlo Simulation Model and