Fair Value Measurements |
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| Fair Value Disclosures [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Fair Value Measurements | Note 6—Fair Value Measurements Fair Value Hierarchy The Company measures fair value of financial instruments in accordance with ASC 820. As of March 31, 2026 and December 31, 2025, the fair value of the Company’s financial assets and liabilities approximates the carrying amounts represented on the balance sheets. ASC 820 establishes a framework for measuring fair value and requires additional disclosures about the use of fair value measurements. In connection with measuring the fair value of its assets and liabilities, the Company seeks to maximize the use of observable inputs (market data obtained from independent sources) and to minimize the use of unobservable inputs (internal assumptions about how market participants would price assets and liabilities). The level within which the fair value measurement is categorized is determined on the basis of the lowest level input that is significant to the fair value measurement. The following fair value hierarchy is used to classify assets and liabilities based on the observable and unobservable inputs used to value the assets and liabilities:
Fair Value Measurement of Assets and Liabilities The following table presents the Company’s liabilities at fair value and its fair value hierarchy.
Level 3 Transfers There were no transfers into or out of Level 3 fair value measurements since the last financial statement reporting date. Level 3 Reconciliation The following table presents the change in fair value of the Company’s Level 3 financial instruments for the three months ended March 31, 2026. The Company’s management employed an independent third-party valuation firm to conduct valuations for the Sponsor Warrants, the SPARs and the Forward Purchase Agreements. The independent third-party valuation firm provided the Company’s management with a written report documenting their recommended valuations as of the reporting date.
As discussed in Note 2, the Sponsor Warrants were accounted for as a liability. At March 31, 2026 and December 31, 2025, the fair value of the Sponsor Warrants was estimated using a Black-Scholes option pricing model. At each reporting period the Company re-evaluates the inputs utilized in the Black-Scholes option pricing model to measure the fair value of the Sponsor Warrants, with changes in fair value reflected on the statements of operations. The SPARs and Forward Purchase Agreements were accounted for as liabilities, and their fair values were determined based on a number of factors embedded in the instruments, mainly that no active trading market exists for either instrument and it is likely that the Final Exercise Price of the SPARs will be set at a price that equates to its fair value. As a result, the fair values of the SPARs and Forward Purchase Agreements liabilities will likely remain unchanged until the SPARs are quoted on the OTCQX marketplace of the OTC Markets Group Inc. or other quotation service beginning at the SPAR Holder Election Period. The Company continues to re-evaluate its assumptions and significant estimates on these financial instruments at each reporting period when the financial statements are prepared. Existing circumstances and assumptions about future developments may change due to market changes or as the Company approaches a Definitive Agreement towards a Business Combination. Level 3 Quantitative Information of Significant Unobservable Inputs The significant unobservable inputs used in determining the fair value of the Sponsor Warrants associated with the liability are listed below.
The Sponsor Warrants’ significant unobservable inputs include: (i) Volatility, (ii) Probability of Not Completing a Deal, (iii) Expected Time to Complete a Deal, (iv) Probability of Warrant Renegotiation and (v) Estimated Target Equity Value. The Volatility reflects the anticipated implied volatility of the potential target company from the Company’s Business Combination over the Sponsor Warrants’ 10-year term. The Probability of Not Completing a Deal reflects a discount relating to the Company’s deadline to complete its Business Combination prior to the expiration of its term. The Expected Time to Complete a Deal considers the Company’s timeframe to consummate a Business Combination with all necessary shareholder and Board approvals to be the midpoint of the remaining time until the 10-year deadline. The Probability of Warrant Renegotiation is a discount based on the probability that the Sponsor Warrants will be restructured at the time of the Company’s Business Combination. The discount is representative of the average restructurings of the sponsor incentive and founder stock forfeitures in completed blank check company transactions. The Estimated Target Equity Value is the Company’s assumption of the total equity capital of the entity following its Business Combination. This assumption factors in the Company’s available capital at the time of the deal which is the estimated proceeds from the exercise of the SPARs and the Forward Purchase Agreements, and applies a multiplier to the Company’s available capital based on its observation of the median multiple between historical blank check companies’ available capital and the equity value of their eventual merger targets. |
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