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

Note 9 — Fair Value Measurements

 

The fair value of the Company’s financial assets and liabilities reflects management’s estimate of amounts that the Company would have received in connection with the sale of assets or paid in connection with the transfer of liabilities in an orderly transaction between market participants at the measurement date.

 

The following table presents information about the Company’s fair value measurements of the Company’s financial assets and liabilities 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:                      
Cash and marketable securities held in Trust Account   1     $ 222,465,349     $ 220,645,454  
Liabilities:                      
Over-allotment option liability   3     $ -     $ 15,000  

 

The following table presents a roll forward of Level 3 fair value measurements for the three months ended March 31, 2026:

 

       
    Over-allotment
Option		  
Balance as of December 31, 2025   $ 15,000  
Expiration of over-allotment option liability     (15,000 )
Balance as of March 31, 2026   $ -  

 

The fair value of the over-allotment option liability was determined using a Black-Scholes simulation model. The over-allotment option was accounted for as a liability in accordance with ASC 815-40 and was presented within liabilities on the unaudited condensed balance sheets. The over-allotment liability is measured at fair value at inception and on a recurring basis, with changes in fair value presented within change in fair value of over-allotment liability in the unaudited condensed statement of operations. The following table presents the quantitative information regarding market assumptions used in the valuation of the over-allotment option:

 

               
    December 3,
2025		     December 31,
2025		  
Unit price   $ 10.01     $ 9.96  
Exercise price   $ 10.00     $ 10.00  
Risk-free rate     3.77 %     3.72 %
Estimated implied volatility     5.29 %     3.13 %
Time to expiration     0.12       0.04  

 

As of December 3, 2025, the fair value of the Public Warrants was $3,736,264, or approximately $0.35 per Public Warrant. The fair value of Public Warrants was determined using Black-Scholes simulation 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:

 

       
   

December 3,

2025

  
Implied ordinary share price   $ 9.84  
Exercise price   $ 11.50  
Term to expiration     7.00  
Risk-free rate     3.82 %
Estimated implied volatility     2.10 %
Market adjustment   $ 33.41