v3.26.1
Fair Value Measurements
 3 Months Ended
Mar. 31, 2026
Fair Value Measurements [Abstract]  
FAIR VALUE MEASUREMENTS

NOTE 8 — FAIR VALUE MEASUREMENTS

 

Fair Value Measurements

 

Fair value is defined as the price that would be received for sale of an asset or paid for transfer of a liability, in an orderly transaction between market participants at the measurement date. GAAP establishes a three-tier fair value hierarchy, which prioritizes the inputs used in 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). These tiers include:

 

  ● Level 1, defined as observable inputs such as quoted prices (unadjusted) for identical instruments in active markets;
     
  ● Level 2, defined as inputs other than quoted prices in active markets that are either directly or indirectly observable such as quoted prices for similar instruments in active markets or quoted prices for identical or similar instruments in markets that are not active; and
     
  ● Level 3, defined as unobservable inputs in which little or no market data exists, therefore requiring an entity to develop its own assumptions, such as valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable.

 

The fair value of the Public Warrants at issuance was $1,518,000 or $0.24 per Public Warrant. The fair value of Public Warrants was determined using binomial or lattice model. The Public Warrants have been classified within shareholders’ deficit and will not require remeasurement after issuance. The following table presents the quantitative information regarding market assumptions used in the level 3 valuation of the Public Warrants:

 

    October 1,
2025		  
Volatility     15.0 %
Risk free rate     3.7 %
Dividend yield     0.0 %
Share price   $ 10.16  
Exercise price   $ 11.50  
Term     5.5  
Probability of Business Combination     15.0 %

 

At March 31, 2026, assets held in the Trust Account were comprised of $257,254,864 held in money market funds which are invested primarily in U.S. Treasury Securities. 

  

The following table presents information about the Company’s assets that are measured at fair value as of March 31, 2026 and December 31, 2025, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

 

    Level   March 31,
2026		     December 31,
2025		  
Assets:                
Marketable securities held in Trust Account   1   $ 257,254,864     $ 255,012,555