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

Note 9 — 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.

 

At June 30, 2026, assets held in the Trust Account were comprised of $231,832,551 in money market funds which are invested primarily in U.S. Treasury Securities. Through June 30, 2026, the Company had withdrawn $125,000 of interest earned on the Trust Account for working capital purposes.

 

The following table presents information about the Company’s assets that are measured at fair value on a recurring basis at 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     $ 231,832,551     $ —  

 

The over-allotment option was accounted for as a liability in accordance with FASB ASC Topic 815-40. 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 unaudited condensed statements of operations.

 

The fair value of the over-allotment option liability at initial measurement date was $158,100. The Company used a Black-Scholes model to value the over-allotment option. During the three and six months ended June 30, 2026, the Company recognized other income of $57,000 attributable to the change in the fair value of the over-allotment option liability. As of June 30, 2026, there was no longer an over-allotment option liability included in the Company’s condensed balance sheets as the over-allotment option was fully exercised on April 20, 2026. The over-allotment option liability was classified within Level 3 of the fair value hierarchy at the measurement dates 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 and at the exercise date of the over-allotment option:

 

    April 1,
2026		  
Volatility     1.67 %
Expected term (years)     0.12  
Risk-free interest rate     3.72 %
Exercise price   $ 10.00  
Fair value of over-allotment unit   $ 0.05  

 

    April 20,
2026		  
Volatility     1.67 %
Expected term (years)     0.07  
Risk-free interest rate     3.69 %
Exercise price   $ 10.00  
Fair value of over-allotment unit   $ 0.03  

 

The following table presents the changes in the fair value of Level 3 over-allotment option liability:

 

    Over-allotment
Option
Liability		  
Balance — December 31, 2025   $ —  
Initial value at Initial Public Offering     158,100  
Change in fair value at exercise date     (57,000 )
Exercise of over-allotment option     (101,100 )
Balance — June 30, 2026   $ —  

 

The fair value of the Public Warrants issued in the Initial Public Offering is $2,606,667, or $0.68 per Public Warrant and was determined using Monte Carlo Simulation Model. The Public Warrants 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 Warrants issued in the Initial Public Offering:

 

    April 1,
2026		  
Implied Class A share price   $ 9.89  
Exercise price   $ 11.50  
Volatility     8.0 %
Probability of de-SPAC and market adjustment     45.0 %
Risk-free rate (continuous)     4.07 %
Warrant term (years)     7.00