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

NOTE 9. FAIR VALUE MEASUREMENTS

 

The following tables present information about the Company’s financial assets and liabilities that are measured at fair value on a recurring basis as of March 31, 2026 and December 31, 2025 and indicate the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

 

Description  Amount at
Fair Value		   Level 1   Level 2   Level 3 
March 31, 2026                
Assets                
Cash held in Trust Account:                
Interest-bearing demand deposit  $497,828   $497,828   $
—
   $
—
 
Liabilities                    
Warrant liability – Founder Warrants  $390,792   $
—
   $
—
   $390,792 
Warrant liability – Private Placement Warrants  $47,863   $
—
   $
—
   $47,863 
Warrant liability – Public Warrants  $1,516,084   $
—
   $1,516,084   $
—
 
December 31, 2025                    
Assets                    
Cash held in Trust Account:                    
Interest-bearing demand deposit  $494,421   $494,421   $
—
   $
—
 
Liabilities                    
Warrant liability – Founder Warrants  $1,337,166   $
—
   $
—
   $1,337,166 
Warrant liability – Private Placement Warrants  $163,774   $
—
   $
—
   $163,774 
Warrant liability – Public Warrants  $5,085,000   $
—
   $5,085,000   $
—
 

 

The measurement of the Public Warrants as of March 31, 2026 and December 31, 2025 is classified as Level 2 due to insufficient trading activity. The fair value of the Public Warrants was $0.16 and $0.54 per warrant as of March 31, 2026 and December 31, 2025, respectively.

 

As of March 31, 2026 and December 31, 2025, the Company utilized a Black-Scholes Option Pricing model for the valuation of the Founder Warrants and Private Placement Warrants. The fair value of the Founder Warrants and Private Placement Warrants was $0.166 and $0.57 per warrant as of March 31, 2026 and December 31, 2025, respectively. As of March 31, 2026 and December 31, 2025, the Founder Warrants and Private Placement Warrants are classified as Level 3 due to the use of a Black-Scholes Option Pricing model.

 

The following table provides quantitative information regarding the warrant liability Level 3 fair value measurements:

 

   March 31,   December 31, 
   2026   2025 
Trading stock price  $11.72   $11.64 
Exercise price  $11.50   $11.50 
Expected term (in years)   5.16    5.13 
Volatility   10.0%   12.5%
Risk-free rate   3.86%   3.68%
Market adjustment   6.6%   22.4%
Estimated merger date   May 29, 2026    February 15, 2026 

 

The following table presents changes in fair value of the Level 3 warrant liabilities :

 

   Founder   Private   Total 
   Warrant   Warrant   Warrant 
   Liabilities   Liabilities   Liabilities 
Fair value as of December 31, 2025  $1,337,166   $163,774   $1,500,940 
Change in fair value   (946,374)   (115,911)   (1,062,285)
Fair value as of March 31, 2026  $390,792   $47,863   $438,655 
   Founder   Private   Total 
   Warrant   Warrant   Warrant 
   Liabilities   Liabilities   Liabilities 
Fair value as of December 31, 2024  $423,750   $51,900   $475,650 
Change in fair value   (7,062)   (865)   (7,928)
Fair value as of March 31, 2025  $416,687   $51,035   $467,723 

 

For the three months ended March 31, 2026, the Company recognized a gain of $4,631,201 on the changes in the fair value of warrant liabilities in the statements of operations. For the three months ended March 31, 2025, the Company recognized a gain of $102,094 on the changes in the fair value of warrant liabilities in the statements of operations.