Company: SPEG
Filing Date: 2025-11-14
Form Type: 10-Q
Source: 0001213900-25-110444
Chunk: 34

Company: Silver Pegasus Acquisition Corp.
Filing Date: 2025-11-14
Form: 10-Q
Item: Part I, Item 1
Chunk 34
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 Black-Scholes-Merton, respectively. The Private Warrants were accounted
for as liabilities in accordance with ASC 815-40 and are presented within warrant liability in the accompanying unaudited condensed balance
sheet. The warrant 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 private warrants:

    July 16, 2025  
    September 30, 2025 

    Class B.1 Warrant  
    Class B.2 Warrant  
    Class B.1 Warrant  
    Class B.2 Warrant 
  
    Implied share price 
    $9.87  
    $9.87  
    $9.73  
    $9.73 
  
    Strike price 
    $11.50  
    $11.50  
    $11.50  
    $11.50 
  
    Term to end-of-search period + 5Y (years) 
     6.50  
     6.50  
     6.29  
     6.29 
  
    Estimated volatility 
     8.16% 
     8.16% 
     18.5% 
     18.5%
  
    Term-matched risk-free rate (continuous) 
     4.11% 
     4.11% 
     3.83% 
     3.83%
  
    Redemption price 
    $18.00  
     —  
    $18.00  
     — 
  
    Average present value of warrant 
    $1.39  
     —  
    $1.72  
     — 
  
    BSM warrant price 
     —  
    $1.42  
     —  
    $2.08 
  
    Estimated probability of business combination 
     17.00% 
     17.00% 
     25.08% 
     25.08%
  
    Probability-weighted BSM warrant price 
    $0.24  
    $0.24  
    $0.43  
    $0.52 

18

SILVER PEGASUS ACQUISITION CORP.