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.

 

The over-allotment option was accounted for as a liability in accordance with FASB ASC Topic 815-40 and is presented within liabilities on the 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 unaudited condensed statements of operations. 

 

The fair value of the over-allotment option liability was $147,300 at May 18, 2026, $53,400 at May 21, 2026 and $0 at June 30, 2026. 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 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. On May 21, 2026 as a result of the partial exercise of the over-allotment option the company reclassified $93,900 from liability to Class A ordinary share subject to possible redemption. On June 28, 2026 the unexercised portion expired unexercised according, the liability was derecognized and the change in fair value of $53,400 was recognized in earnings.

 

The key inputs into the Black-Scholes model were as follows at initial measurement of the over-allotment option:

 

    May 18,
2026		  
Volatility     2.46 %
Expected term (years)     0.12  
Daily treasury yield curve     3.68 %
Exercise price   $ 10.00  
Fair value of over-allotment unit   $ 0.06  

 

    May 21,
2026		  
Volatility     2.46 %
Expected term (years)     0.12  
Daily treasury yield curve     3.68 %
Exercise price   $ 10.00  
Fair value of over-allotment option   $ 0.06  

  

The following table presents the change in the fair value of the over-allotment option liability for the three months, and six months ended June 30 ,2026

 

    Over-allotment option liability  
Fair value as of May18, 2026   $ 147,300  
Reclassified to Class A ordinary shares subject to possible redemption on May 21, 2026     (93,900 )
Change in fair value of Over-Allotment Option liability     (53,400 )
Fair value as of June 30, 2026   $ —  

 

 

The fair value of the Public Warrants issued in the Initial Public Offering is $1,680,000, or $0.21 per Public Warrant and was determined using Cox-Ross-Rubinstein binomial lattice model under a risk-neutral valuation framework. 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:

 

    May 18,
2026		  
Exercise price   $ 11.50  
Term to warrant expiration (years)     6.50  
Volatility     3.00 %
Risk-free rate     4.34 %
Redemption trigger price   $ 18.00  
Calibrated implied stock price   $ 9.90  
Selected market adjustment factor     17.00 %