Company: PCAP
Filing Date: 2025-08-11
Form Type: 10-Q
Source: 0001213900-25-074297
Chunk: 77

Company: ProCap Acquisition Corp
Filing Date: 2025-08-11
Form: 10-Q
Item: Part I, Item 8
Chunk 77
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 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)  
    June 30,
 2025 
  
    Risk-free interest rate 
     4.37% 
     4.28%
  
    Expected term (years) 
     0.12  
     0.02 
  
    Expected volatility 
     2.75% 
     3.86%
  
    Exercise price 
    $10.00  
    $10.00 
  
    Fair value of over-allotment unit 
    $0.071  
    $0.023 

The fair value of the initial over-allotment option liability was $21,211.
During the three months ended June 30, 2025 and the period from January 2, 2025 (inception) through June 30, 2025, the company recognized
other income of $14,188 attributable to the change in the fair value of the over-allotment option liability. The fair value of the over-allotment
option liability included in the Company’s balance sheet as of June 30, 2025 was $7,023.

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 adjustment.
The following table presents the quantitative information regarding market assumptions used in the valuation of the Public Warrants:

    May 22, 2025 
  
    Underlying stock