v3.25.2
Fair Value Measurement
 6 Months Ended
Jun. 30, 2025
Fair Value Disclosures [Abstract]  
Fair Value Measurement

8. Fair Value Measurement

The fair value of the Company’s assets and liabilities, which qualify as financial instruments under ASC Topic 820, “Fair Value Measurements and Disclosures,” approximates the carrying amounts represented in the accompanying balance sheets, primarily due to their short-term nature. GAAP establishes a three-tier fair value hierarchy, which prioritizes the inputs used sin measuring fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).

The Company has determined that warrants issued in connection with the IPO are subject to treatment as a liability. The Company utilized a Monte Carlo simulation methodology to value the warrants for periods prior to public warrant trading and will use observable transactions for subsequent periods, with changes in fair value recognized in the condensed statements of operations. The estimated fair value of the warrant liability is determined using Level 1 and Level 2 inputs. The key assumptions in the option pricing model utilized are assumptions related to expected share-price volatility, expected term, risk-free interest rate and dividend yield. The expected volatility as of the IPO Closing Date was derived from observable public warrant pricing on comparable ‘blank-check’ companies that recently went public. Transfers to/from Levels 1, 2, and 3 are recognized at the beginning of the reporting period. The risk-free interest rate is based on the interpolated U.S. Constant Maturity Treasury yield. The expected term of the warrants is assumed to be six months until the close of a Business Combination, and the contractual five-year term subsequently. The dividend rate is based on the historical rate, which the Company anticipates remaining at zero. At June 30, 2025, there were observable transactions and adequate trading volume in the Company’s public warrants to provide a reliable indication of value. The Public Warrants were valued at $0.59 per warrant at June 30, 2025.

The Warrants are measured at fair value on a recurring basis. The subsequent measurement of the Public Warrants as of June 30, 2025, is classified as Level 1 due to the use of both observable inputs in an active market as well as quoted prices in active markets for similar assets and liabilities.

As of June 30, 2025, the aggregate value of the Public Warrants was approximately $5.3 million based on the closing price of GTENW on that date of $0.59 per warrant.

As of May 5, 2025, the aggregate value of the Public Warrants was approximately $1.5 million.The following table presents the quantitative information regarding market assumptions used in the Level 3 valuation of the Public Warrants at initial recording:

 

 

May 5, 2025

Implied Class A ordinary share price

 

$

9.96

 

 

Exercise price

 

$

11.5

 

 

Simulation term (years)

 

 

2.8

 

 

Risk-free rate (continuous)

 

 

3.76

 

%

Selected volatility

 

 

 

5.00

 

%

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis as of June 30, 2025 and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value. In general, fair values determined by Level 1 inputs utilize quoted prices (unadjusted) in active markets for identical assets or liabilities. Fair values determined by Level 2 inputs utilize data points that are observable such as quoted prices, interest rates and yield curves. Fair values determined by Level 3 inputs are unobservable data points for the asset or liability, and includes situations where there is little, if any, market activity for the asset or liability:

 

 

 

June 30

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2025

 

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

Investments held in Trust Account

 

$

 

361,106,234

 

 

$

 

361,106,234

 

 

$

 

—

 

 

$

 

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Public warrants

 

$

 

5,292,300

 

 

$

 

5,292,300

 

 

$

 

—

 

 

$

 

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

May 5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2025

 

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

Investments held in Trust Account

 

$

 

358,800,000

 

 

$

 

358,800,000

 

 

$

 

—

 

 

$

 

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Public warrants

 

$

 

1,524,900

 

 

$

 

—

 

 

$

 

—

 

 

$

 

1,524,900

 

 

Transfers to/from Levels 1, 2, and 3 are recognized at the end of the reporting period. On June 30, 2025, the Public warrants moved from Level 3 to Level 1.