Company: BEAG
Filing Date: 2025-03-28
Form Type: 10-K
Source: 0001013762-25-003594
Chunk: 1529

Company: Bold Eagle Acquisition Corp.
Filing Date: 2025-03-28
Form: 10-K
Item: Item 12
Chunk 1529
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-Allotment Option Liability was classified within Level 3 of the fair value hierarchy at the measurement dates due to
the use of unobservable inputs inherent in pricing models are assumptions related to expected share-price volatility, expected life and
risk-free interest rate. The Company estimated the volatility of its ordinary shares based on historical volatility. The risk-free interest
rate was based on the 1-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