Company: CNCKW
Filing Date: 2025-03-27
Form Type: F-1/A
Source: 0001013762-25-003470
Chunk: 386

Company: Coincheck Group N.V.
Filing Date: 2025-03-27
Form: F-1/A
Chunk 386
---
 period to consummate the Business Combination as of each Valuation Date. •The expected term was simulated out daily over the expected remaining life of the Public Warrants. The specific remaining life was based on Management’s estimated time to consummate the Business Combination as well as the five -yearcontractual period that begins once the transaction closes. •The expected volatility assumption was based on the implied volatility from a set of comparable publicly -tradedWarrants 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 Warrant liabilities and vice versa. •The fair value of the Units, which each consist of one Public Share and one -fifthof one Public Warrant, represents the closing price on the measurement date as observed from the ticker “THCP”. Based on the applied volatility assumption and the expected term to a Business Combination noted above, the Company determined that the risk neutral probability of exceeding the $18.00 redemption value by the start of the exercise period for the Warrants resulted in a nominal difference in value between the Public Warrants and Private Placement Warrants across the valuation dates utilized in the Monte Carlo simulation model. Therefore, the resulting valuations for the two classes of Warrants were determined to be equal. On July 2, 2021, the Private Placement Warrants and Public Warrants were determined to be $1.00 and $1.01 per Warrant for aggregate values of $4.5 million and $126 thousand, respectively. Subsequent Measurement The warrants are measured at fair value on a recurring basis. The subsequent measurement of the Public Warrants as of December 31, 2023 and 2022, is classified as Level 1 due to the use of an observable market quote in an active market under the ticker “THCPW.” As the transfer of Private Placement Warrants to anyone outside of a small group of individuals who are permitted transferees would result in the Private Placement Warrants having substantially the same terms as the Public Warrants, the Company determined that the fair value of each Private Placement Warrant is classified as Level2, due to the use of observable inputs.

F-111

THUNDER BRIDGE CAPITAL PARTNERS IV, INC.
NOTES TO FINANCIAL STATEMENTS NOTE 9. FAIR VALUE MEASUREMENTS (cont.) The key inputs into the Monte Carlo simulation model for the Private Placement Warrants were as follows at the subsequent measurement date