Company: BEAG
Filing Date: 2025-03-28
Form Type: 10-K
Source: 0001013762-25-003594
Chunk: 860

Company: Bold Eagle Acquisition Corp.
Filing Date: 2025-03-28
Form: 10-K
Item: Item 6
Chunk 860
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-month U.S. Treasury yield. The expected life of the option was assumed to be equivalent to their remaining contractual
term.

F-16

The key inputs into the Black-Scholes model were as follows at initial
measurement of the Over-Allotment Option:

    Input 
    October 25,
 2024 
  
    Risk-free interest rate 
     4.9%
  
    Expected term (years) 
     0.12 
  
    Expected volatility 
     3.0%
  
    Exercise price 
    $10.00 
  
    Fair value of Over-Allotment Option Unit 
    $0.08 

The following table provides a summary of the changes in the fair value
of the Over-Allotment Option Liability:

    Over- allotment Option liability 
  
    Initial measurement of Over-Allotment Option Liability at October 25, 2024 
    $298,500 
  
    Change in fair value of Over-Allotment Option Liability at December 9, 2024 
     (9,750)
  
    Reduction in Over-Allotment Option Liability upon partial exercise of Over-Allotment Option at December 9, 2024 
     (61,600)
  
    Forfeiture of Over-Allotment Option Liability at December 9, 2024 
     (227,150)
  
    Fair value of Over-Allotment Option Liability at December 31, 2024 
    $- 

At the Initial Public Offering, the fair value of Eagle Share
Rights was determined using a discounted cash flow analysis that incorporates the probability-weighted payoff of the share right, discounted
over the expected term to business combination. The Eagle Share Rights have been classified within shareholders’ deficit and will
not require remeasurement after issuance. The following table presents the quantitative information regarding market assumptions used
in the valuation of the Eagle Share Rights: 

    October 25, 2024 
  
    Traded price of unit 
    $10.00 
  
    Probability of initial business combination(1) 
     60%
  
    Expected term to initial business combination (years) 
     2.0 
  
    Risk-free rate(2)  
     4.1%

(1)Based on rounded average of market data per SPACInsider.com
and Eagle Equity Partners’ track record of 100% initial business combination completion.

(