v3.26.1
Fair Value Measurements
 6 Months Ended
Jun. 30, 2026
Fair Value Measurements [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. 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.

 

At June 30, 2026, assets held in the Trust Account were comprised of $381 in cash and $257,246,642 in U.S. Treasury securities. During the three and six months ended June 30, 2026, the Company did not withdraw any interest income from the Trust Account.

 

    Held to Maturity   Amortized
Cost		     Gross
Holding
Gain
(Loss)		     Fair Value  
June 30, 2026   U.S. Treasury Securities (Matures on July 9, 2026)   $ 128,598,784     $ 5,206     $ 128,603,990  
June 30, 2026   U.S. Treasury Securities (Matures on October 8, 2026)   $ 128,647,858     $ (52,445 )   $ 128,595,413  

 

The fair value of the public warrants is $4,048,000 or $0.48 per public warrant. The fair value of public warrants was determined using Monte Carlo Simulation Model. The public warrants have been classified within shareholders’ equity (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:

 

    January 8,
2026		  
Volatility     4.5 %
Risk free rate (continuous)     3.91 %
Stock price   $ 9.84  
Expected term to de-SPAC (years)     2.0  
Probability of de-SPAC and market adjustment     40.0 %