v3.26.1
Fair Value Measurement
 6 Months Ended
Jun. 30, 2026
Fair Value Disclosures [Abstract]  
Fair Value Measurement

8. Fair Value Measurement

The fair value of the Company’s assets and liabilities, which qualify as financial instruments under ASC Topic 820, “Fair Value Measurements and Disclosures,” approximates the carrying amounts represented in the accompanying condensed balance sheets, primarily due to their short-term nature. GAAP establishes a three-tier fair value hierarchy, which prioritizes the inputs used sin 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).

The Company has determined that warrants issued in connection with the IPO are subject to treatment as a liability. The Company utilized a Monte Carlo simulation methodology to value the warrants for periods prior to

public warrant trading and will use observable transactions for subsequent periods, with changes in fair value recognized in the condensed statements of operations. The estimated fair value of the warrant liability is determined using Level 1, Level 2, and Level 3 inputs. The key assumptions in the option pricing model utilized are assumptions related to expected share-price volatility, expected term, risk-free interest rate and dividend yield. The expected volatility as of the IPO Closing Date was derived from observable public warrant pricing on comparable ‘blank-check’ companies that recently went public. Transfers to/from Levels 1, 2, and 3 are recognized at the end of the reporting period. The risk-free interest rate is based on the interpolated U.S. Constant Maturity Treasury yield. The expected term of the warrants is assumed to be six months until the close of a Business Combination, and the contractual five-year term subsequently. The dividend rate is based on the historical rate, which the Company anticipates remaining at zero. The Warrants are measured at fair value on a recurring basis.

As of June 30, 2026, the aggregate value of the Public Warrants was approximately $6.6 million at $0.74 per warrant using GTENW trading prices as well as other factors to value the warrants due to a lack of adequate trading volume in the Company's public warrants on that date.

As of December 31, 2025, the aggregate value of the Public Warrants was approximately $8.2 million based on the closing price of GTENW of $0.91 per warrant as well as other factors to value the warrants due to a lack of adequate trading volume in the Company's public warrants on that date. The following table presents the quantitative information regarding market assumptions used in the Level 3 valuation of the Public Warrants at December 31, 2025:

 

 

December 31, 2025

Class A ordinary share price

 

$

10.25

 

 

Exercise price

 

$

11.5

 

 

Simulation term (years)

 

 

2.8

 

 

Risk-free rate (continuous)

 

 

3.5

 

%

Selected volatility

 

 

 

15.00

 

%

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis as of June 30, 2026 and December 31, 2025 and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value. In general, fair values determined by Level 1 inputs utilize quoted prices (unadjusted) in active markets for identical assets or liabilities. Fair values determined by Level 2 inputs utilize data points that are observable such as quoted prices, interest rates and yield curves. Fair values determined by Level 3 inputs are unobservable data points for the asset or liability, and include situations where there is little, if any, market activity for the asset or liability.

 

 

 

June 30

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2026

 

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

Investments held in Trust Account

 

$

 

374,141,338

 

 

$

 

374,141,338

 

 

$

 

—

 

 

$

 

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Public warrants

 

$

 

6,637,800

 

 

$

 

—

 

 

$

 

6,637,800

 

 

$

 

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2025

 

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

Investments held in Trust Account

 

$

 

367,742,183

 

 

$

 

367,742,183

 

 

$

 

—

 

 

$

 

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Public warrants

 

$

 

8,162,700

 

 

$

 

—

 

 

$

 

—

 

 

$

 

8,162,700

 

 

Transfers to/from Levels 1, 2, and 3 are recognized at the end of the reporting period. Transfers can be found in the following table:

 

Public Warrants

 

Level

 

 

Value

 

Fair Value at 12/31/2025

 

3

 

$

 

8,162,700

 

Change in Fair Value

 

 

 

 

 

(3,139,500

)

Fair Value at 3/31/2026

 

1

 

 

 

5,023,200

 

Change in Fair Value

 

 

 

 

 

1,614,600

 

Fair Value at 6/30/2026

 

2

 

 

 

6,637,800