Company: BCG
Filing Date: 2025-02-14
Form Type: S-1
Source: 0001410578-25-000143
Chunk: 194

Company: Binah Capital Group, Inc.
Filing Date: 2025-02-14
Form: S-1
Chunk 194
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 December 31, 2023 and 2022, the Company used a yield-to-maturity bond pricing model to value the Convertible Promissory Notes.

The key inputs into the pricing model for the Convertible Promissory Notes was as follows:

| ​                                                
 Input                                            | ​ 
 ​ 
 ​ | ​    
 2023 |            ​ 
 December 31, | ​ 
 ​ | ​    
 2022 |            ​ 
 December 31, | ​ |
|:-------------------------------------------------|:--|:-----|-------------:|:--|:-----|-------------:|:--|
| Amount due at maturity                           | ​ | $    |    1,750,000 | ​ | $    |    1,500,000 | ​ |
| Term (years)                                     | ​ |      |         0.15 | ​ |      |         0.39 | ​ |
| Probability of a successful business combination | ​ |      |           95 | % |      |         92.5 | % |
| Present value factor                             | ​ |      |       0.9898 | ​ |      |       0.9742 | ​ |
| Risk free rate                                   | ​ |      |         7.05 | % |      |         4.62 | % |
| Volatility                                       | ​ |      |            — | % |      |          1.8 | % |

The Company’s use of models required the use of subjective assumptions:

| ● | The risk-free interest rate assumption was based on the five-year U.S. Treasury rate, which was commensurate with the contractual term of the Private Warrants and Convertible Promissory Note. An increase in the risk-free interest rate, in isolation, would result in an increase in the fair value measurement of the Private Warrant and Convertible Promissory Note and vice versa. |

| ● | An increase in the expected term, in isolation, would result in an increase in the fair value measurement of the warrant liabilities and Convertible Promissory Note and vice versa. |

| ● | The volatility assumption was based on the implied volatility from a set of comparable publicly-traded warrants as determined based on the size and proximity of other similar business combinations. An increase in the expected volatility, in isolation, would result in an increase in the fair value measurement of the Private Warrant and Convertible Promissory Note and vice versa. |

F-25

The following table provides