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

The following table presents information about the Company’s assets and liabilities that are measured at fair value 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: 

 

Description  Level   June 30,
2026		   December 31,
2025		 
Liabilities:            
Derivative liability – Private Warrants  3   $1,913,375   $1,557,475 
Derivative liability – Public Rights  1   $3,220,000   $2,760,000 

 

The fair value of the Public Rights was determined using the Bifurcation Analysis. The Public Rights were accounted for as liabilities in accordance with ASC 815-40 and are presented within derivative liability – public rights in the accompanying unaudited condensed balance sheets. The derivative liability – public rights is measured at fair value at inception and on a recurring basis, with changes in fair value presented within the statements of operations. 

 

The following table presents the changes in the fair value of Level 3 public rights liabilities as of December 31, 2025:

 

Fair value as of January 1, 2025  $
—
 
Initial Fair Value at July 16, 2025   1,930,850 
Change in fair value   829,150 
Transfer of public rights to level 1   (2,760,000)
Fair value as of December 31, 2025  $
—
 

 

During the year ended December 31, 2025, the public rights were transferred from level 3 to level 1 as the Company is utilizing the public rights trading value at the end of each reporting period to determine their fair value. 

 

The following table presents the quantitative information regarding market assumptions used in the valuation of the public rights:

 

   July 16,
2025		 
Unit offering price  $10.04 
Estimated probability of business combination   17.00%
Right % of whole share   10.00%
Implied value of Share Right  $0.17 
Implied value of underlying share  $9.87 

 

The fair value of Class B.1 and Class B.2 Private Warrants was determined using the Monte Carlo Simulation Model and Black-Scholes-Merton, respectively. The Level 3 private warrants were accounted for as liabilities in accordance with ASC 815-40 and are presented within derivative liability – private warrants in the accompanying unaudited condensed balance sheets. The derivative liability – private warrant is measured at fair value at inception and on a recurring basis, with changes in fair value presented within the statements of operations. 

 

   Redeemable   Non-Redeemable 
Fair value as of December 31, 2025  $1,018,575   $538,900 
Change in fair value   (134,550)   (108,200)
Fair value as of March 31, 2026   884,025    430,700 
Change in fair value   348,750    249,900 
Fair value as of June 30, 2026  $1,232,775   $680,600 

The following table presents the quantitative information regarding market assumptions used in the valuation of the private warrants:

 

   December 31, 2025   June 30, 2026 
   Class B.1
Warrant		   Class B.2
Warrant		   Class B.1
Warrant		   Class B.2
Warrant		 
Implied share price  $10.07   $10.07   $10.27   $10.27 
Strike price  $11.50   $11.50   $11.50   $11.50 
Term to end-of-search period + 5Y (years)   6.04    6.04    5.54    5.54 
Estimated volatility   18.83%   18.83%   20.74%   20.74%
Term-matched risk-free rate (continuous)   3.80%   3.80%   4.18%   4.18%
Redemption price  $18.00    
—
   $18.00    
—
 
Average present value of warrant  $1.90    
—
   $2.01    
—
 
BSM warrant price   
—
   $2.26    
—
   $2.50 
Estimated probability of business combination   21.83%   23.83%   27.26%   27.26%
Probability-weighted BSM warrant price  $0.45   $0.54   $0.55   $0.68