Company: PCAP
Filing Date: 2025-11-10
Form Type: 10-Q
Source: 0001213900-25-108209
Chunk: 77

Company: ProCap Acquisition Corp
Filing Date: 2025-11-10
Form: 10-Q
Item: Part I, Item 8
Chunk 77
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the over-allotment option. The over-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 estimates the volatility of its ordinary shares based on historical volatility that matches
the expected remaining life of the option. The risk-free interest rate is based on the U.S. Treasury zero-coupon yield curve on the grant
date for a maturity similar to the expected remaining life of the option. The expected life of the option is assumed to be equivalent
to their remaining contractual term.

The key inputs into the Black-Scholes model were
as follows for the over-allotment option:

    Inputs 
    May 22, 2025
(initial
measurement) 
  
    Risk-free interest rate 
     4.37%
  
    Expected term (years) 
     0.12 
  
    Expected volatility 
     2.75%
  
    Exercise price 
    $10.00 
  
    Fair value of over-allotment unit 
    $0.071 

The fair value of the initial over-allotment option
liability was $21,211. During the three months ended September 30, 2025 and the period from January 2, 2025 (inception) through September
30, 2025, the company recognized other income of 7,023 and $21,211, respectively, attributable to the change in the fair value of the
over-allotment option liability. As of September 30, 2025 there was no longer an over-allotment liability included in the Company’s
balance sheet as the over-allotment option liability expired unexercised on July 6, 2025, the expiration date.

The fair value of the Public Warrants is $1,816,667,
or $0.218 per Public Warrant. The fair value of Public Warrants was determined using Monte Carlo Simulation Model. The Public Warrants
have been classified within shareholders’ deficit and will not require remeasurement after issuance. The Public Warrants 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 volatility, remaining term in years, risk free rate, pre-adjusted value per share and implied market