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| FAIR VALUE MEASUREMENTS | NOTE 9 — FAIR VALUE MEASUREMENTS
The following table presents information about the Company’s liabilities that are measured at fair value on a recurring basis as of March 31, 2026 and 2025, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
As of March 31, 2026 and 2025, amounts held in the Trust Account were held in cash and cash equivalents. Cash and cash equivalents held in the Trust Account are carried at cost, which approximates fair value due to their short-term nature, and are not included in the fair value hierarchy table above.
The Public Warrants and, prior to their cancellation, the Private Placement Warrants were accounted for as liabilities in accordance with ASC 815-40 and were presented within liabilities on the accompanying balance sheets. The warrant liabilities were measured at fair value at inception and on a recurring basis, with changes in fair value presented within change in fair value of warrant liabilities in the statements of operations.
Upon initial issuance, the Company used a Monte Carlo simulation model to value the Public Warrants and a modified Black-Scholes model to value the Private Placement Warrants and the Forward Purchase Agreement liability. Upon initial issuance, the Public Warrants, the Private Placement Warrants and the Forward Purchase Agreement were classified within Level 3 of the fair value hierarchy due to the use of unobservable inputs.
Following the suspension and delisting of the Company’s securities from Nasdaq, the Company determined that quoted market prices for its warrants were no longer available in an active market. Accordingly, as of March 31, 2026, the Company estimated the fair value of the Public Warrants using a Binomial Lattice model. The Binomial Lattice model requires the use of unobservable inputs, including expected volatility, expected term, risk-free interest rate, expected dividend yield and assumptions regarding the probability and timing of a Business Combination. Accordingly, the Public Warrants were classified within Level 3 of the fair value hierarchy as of March 31, 2026.
The 11,700,000 Private Placement Warrants were cancelled on July 11, 2025 in connection with the transition to a new sponsor. As a result, no Private Placement Warrants remained outstanding as of March 31, 2026. Prior to cancellation, the Private Placement Warrants were valued using model-based valuation techniques and were classified within Level 3 of the fair value hierarchy.
As of March 31, 2026 and 2025, the total warrant derivative liability was $1,150,000 and $43,756, respectively.
The following table presents the changes in the Level 3 warrant liabilities for the year ended March 31, 2026:
The following table summarizes the significant assumptions used in the Binomial Lattice model to estimate the fair value of the Public warrants as of March 31, 2026:
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