v3.26.1
Fair Value Measurements
 4 Months Ended
Jun. 30, 2026
Fair Value Disclosures [Abstract]  
Fair Value Measurements

Note 8 — Fair Value Measurements

 

Fair value is defined as the price that would be received for sale of an asset or paid for transfer of a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a three-tier fair value hierarchy, which prioritizes the inputs used in 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). These tiers include:

 

  ● Level 1, defined as observable inputs such as quoted prices (unadjusted) for identical instruments in active markets;
     
  ● Level 2, defined as inputs other than quoted prices in active markets that are either directly or indirectly observable such as quoted prices for similar instruments in active markets or quoted prices for identical or similar instruments in markets that are not active; and
     
  ● Level 3, defined as unobservable inputs in which little or no market data exists, therefore requiring an entity to develop its own assumptions, such as valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable. In some circumstances, the inputs used to measure fair value might be categorized within different levels of the fair value hierarchy. In those instances, the fair value measurement is categorized in its entirety in the fair value hierarchy based on the lowest level input that is significant to the fair value measurement.

 

The following tables summarize assets and liabilities measured at fair value on a recurring basis: 

 

   Level   June 30,
2026		 
Investments held in Trust Account   1   $275,054,127 
Over-allotment liability   3   $65,600 

 

The over-allotment option was accounted for as a liability in accordance with FASB ASC 480 and was presented within liabilities on the balance sheet. 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 statement of operations. There was no change in the fair value of the over-allotment option liability from its partial exercise on June 26, 2026 through June 30, 2026. Accordingly, no gain or loss from the remeasurement of the liability was recognized during that period.

 

The fair value of the over-allotment option is $65,600, or $0.052 per option unit. 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 assumptions used in the Black-Scholes option pricing model to value the over-allotment option at its initial measurement and subsequent measurement were as follows:

 

   June 26,
2026		   June 30,
2026		 
Risk-free interest rate   3.70%   3.70%
Expected term (years)   0.12    0.12 
Volatility   1.67%   1.67%
Exercise price  $10.00   $10.00 

 

The fair value of the Public Warrants is $4,980,250 or $0.543 per Public Warrant. The fair value of Public Warrants was determined using Monte Carlo 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:

 

   June 26,
2026		 
Volatility   11.4%
Risk-free rate   4.08%
Share price  $9.82 
Weighted term (years)   2.66