Company: SPEG
Filing Date: 2025-11-14
Form Type: 10-Q
Source: 0001213900-25-110444
Chunk: 87

Company: Silver Pegasus Acquisition Corp.
Filing Date: 2025-11-14
Form: 10-Q
Item: Part I, Item 8
Chunk 87
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 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 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