Company: CIFRW
Filing Date: 2025-11-03
Form Type: 10-Q
Source: 0001819989-25-000112
Chunk: 73

Company: Cipher Mining Inc.
Filing Date: 2025-11-03
Form: 10-Q
Item: Part I, Item 1
Chunk 73
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 Company engaged a valuation firm to determine the fair value of the Capped Call Transactions using a Black-Scholes option-pricing model and the quoted price of Common Stock. The following table presents significant assumptions utilized in the valuations of the Capped Call Transaction as of the date indicated: September 30, 2025Strike Price$16.03Cap Price$23.32Volatility59.9%Stock Price12.59Power purchase agreementThe Company’s power purchase agreement, related to the Luminant Power Agreement, is divided between current and noncurrent assets, and was initially recorded on its condensed consolidated balance sheets on the derivative asset’s effective date of July 1, 2022, with an offsetting amount recorded to change in fair value of derivative asset in costs and operating expenses on the consolidated statements of operations. Subsequent changes in fair value are also recorded to change in fair value of derivative asset. The Luminant Power Agreement was not designated as a hedging instrument. The estimated fair value of the Company’s derivative asset was derived from Level 2 and Level 3 inputs (i.e., unobservable inputs) due to a lack of quoted prices for similar type assets and as such, is classified in Level 3 of the fair value hierarchy. Specifically, the discounted cash flow estimation models contain quoted spot and forward prices for electricity, as well as estimated usage rates consistent with the terms of the Luminant Power Agreement, the initial term of which is five years, and a remaining term of approximately 1.8 years. The valuations performed by the third-party valuation firm engaged by the Company utilized pre-tax discount rates of 5.21% and 5.96% as of September 30, 2025 and December 31, 2024, respectively, and include observable market inputs, but also include unobservable inputs based on qualitative judgment related to company-specific risk factors. Unrealized gains associated with the derivative asset within the Level 3 category include changes in fair value that were attributable to amendments to the Luminant Power Agreement, changes to the quoted forward electricity rates, as well as unobservable inputs (e.g., changes in estimated usage rates and discount rate assumptions). 

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CIPHER MINING INC.NOTES TO CONSOLIDATED FINANCIAL STATEMENTS(unaudited)

The following table presents the changes in the estimated fair value of the power purchase agreement measured using significant unobservable inputs (Level 3) for the nine months ended September 30, 2025 and 2024