v3.26.1
Fair Value Measurements
 6 Months Ended
Jun. 30, 2026
Fair Value Measurements [Abstract]  
FAIR VALUE MEASUREMENTS

NOTE 8 — 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 the assets or paid in connection with the transfer of the liabilities in an orderly transaction between market participants at the measurement date. In connection with measuring the fair value of its assets and liabilities, the Company seeks to maximize the use of observable inputs (market data obtained from independent sources) and to minimize the use of unobservable inputs (internal assumptions about how market participants would price assets and liabilities). The following fair value hierarchy is used to classify assets and liabilities based on the observable inputs and unobservable inputs used in order to value the assets and liabilities:

 

  Level 1:   Quoted prices in active markets for identical assets or liabilities. An active market for an asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis.
     
  Level 2:   Observable inputs other than Level 1 inputs. Examples of Level 2 inputs include quoted prices in active markets for similar assets or liabilities and quoted prices for identical assets or liabilities in markets that are not active.
     
  Level 3:   Unobservable inputs based on assessment of the assumptions that market participants would use in pricing the asset or liability.

 

At June 30, 2026, assets held in the Trust Account comprised of $208,749,879 in money market funds that are invested primarily in U.S. Treasury Securities. Through June 30, 2026, the Company did not withdraw interest earned on the Trust Account.

 

The Over-Allotment Option was accounted for as a liability in accordance with FASB ASC Topic 815-40, “Derivatives and Hedging — Contracts in Entity’s Own Equity,” and was presented within liabilities on the accompany condensed balance sheets. The Over-Allotment Option liability is measured at fair value at inception and on a recurring basis, with changes in fair value presented within changes in fair value of Over-Allotment Option liability in the accompanying unaudited condensed statements of operations. The initial fair value of the Over-Allotment Option on February 27, 2026 was $187,200, or $0.062 per Option Unit. During the three and six months ended June 30, 2026, the Company recognized other income of $28,100 and $167,400, respectively, attributable to the change in the fair value of the Over-Allotment Option liability. As of June 30, 2026, Over-Allotment Option liability was no longer included in the Company’s condensed balance sheets as the remaining Over-Allotment Option expired unexercised on April 13, 2026, the expiration date.

 

The Company used a Black-Scholes model to value the Over-Allotment Option. The Over-Allotment Option liability was classified within Level 3 of the fair value hierarchy at the measurement date due to the use of unobservable inputs inherent in pricing models are assumptions related to expected share-price volatility, expected life and risk-free interest rate. The Company estimates the volatility of its Ordinary Shares based on historical volatility that matches the expected remaining life of the option. The risk-free interest rate is based on the U.S. Treasury zero-coupon yield curve on the grant date for a maturity similar to the expected remaining life of the option. The expected life of the option is assumed to be equivalent to their remaining contractual term.

 

The key inputs into the Black-Scholes model were as follows at initial measurement date of the Over-Allotment Option:

 

    February 27,
2026		  
Risk-free interest rate     3.73 %
Expected term (years)     0.12  
Volatility     2.51 %
Exercise price   $ 10.00  

 

The fair value of the Public Rights issued in the Initial Public Offering is $3,000,000, or $0.15 per Public Right. The fair value of the Public Rights was determined using the Monte Carlo Simulation Model. The Public Rights issued in the Initial Public Offering 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 Rights issued in the Initial Public Offering:

 

    February 27,
2026		  
Expected term to Business Combination (years)     2.0  
Probability of Business Combination and instrument-specific market adjustment     15.0 %
Risk-free rate (continuous)     3.35 %
Implied Class A Ordinary price   $ 9.85  

  

The following table presents information about the Company’s assets 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 inputs the Company utilized to determine such fair value:

 

    Level     June 30,
2026		     December 31,
2025		  
Assets:                  
Investments held in Trust Account     1     $ 208,749,879     $     ―