v3.26.1
Fair Value Measurements
 6 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.

 

As of June 30, 2026, assets held in the Trust Account were comprised of $804 in cash and $75,289,220 in U.S. Treasury securities classified as held-to-maturity securities. For the period from January 13, 2026 (inception) through June 30, 2026, the Company did not withdraw any interest income from the Trust Account.

 

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 indicate the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value. The gross holding loss and fair value of held-to-maturity securities at June 30, 2026 are as follows:

 

      Held-To-Maturity   Level     Amortized
Cost		     Gross
Holding
Loss		     Fair Value  
June 30, 2026     U.S. Treasury Securities (Mature on 8/20/2026)     1     $ 75,289,220     $ (16,837 )   $ 75,272,383  
                                       

 

The over-allotment option was accounted for as a liability in accordance with FASB ASC Topic 480 and was presented within liabilities on the unaudited condensed 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 unaudited condensed statements of operations.

 

The initial fair value of the over-allotment option liability on May 20, 2026 was $58,600. As of June 30, 2026, the over-allotment option liability fair value was $13,200. 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.

 

The key inputs into the Black-Scholes model were as follows at initial measurement of the over-allotment option and as of June 30, 2026:

 

    May 20,
2026		  
Volatility     1.67 %
Expected term (years)     0.12  
Risk-free interest rate     3.65 %
Exercise price   $ 10.00  
Fair value of over-allotment unit   $ 0.05  

 

    June 30,
2026		  
Volatility     2.29 %
Expected term (years)     0.01  
Risk-free interest rate     3.70 %
Exercise price   $ 10.00  
Fair value of over-allotment unit   $ 0.01  

 

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

 

    Over-allotment
Option
Liability		  
Balance — January 13, 2026 (inception)   $            —  
Initial value at Initial Public Offering     58,600  
Change in fair value     (45,400 )
Balance – June 30, 2026   $ 13,200