Fair Value Measurements |
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| Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Fair Value Measurements | NOTE 9. 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 Over-Allotment Option was accounted for as a liability in accordance with ASC 815-40 and was presented within liabilities on the balance sheet. The over-allotment liability is measured at fair value at inception and on a recurring basis, with changes in fair value presented within change in fair value of over-allotment liability. On June 4, 2026, the fair value of the Over-Allotment Option was $97,500, or $0.05 per Option Unit. Subsequently upon partial exercise of the Over-Allotment Option on June 10, 2026, the fair value of the Over-Allotment Option was $116,300 or $0.06 per share. 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 date 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 estimated the volatility of its Ordinary Shares based on historical volatility that matched the expected remaining life of the Over-Allotment Option. The risk-free interest rate was based on the U.S. Constant Maturity Treasury rates on the grant date for a maturity similar to the expected remaining life of the Over-Allotment Option. The expected life of the Over-Allotment Option was assumed to be equivalent to their remaining contractual term.
The fair value of the Public Rights and Private Placement Rights was $1,638,000, or approximately $0.11 per Public Right and Private Placement Right. The fair value of the Public Rights and Private Placement Rights were determined using a Monte Carlo simulation model. The Public Rights and Private Placement Rights have been classified within shareholders’ equity and would not require remeasurement after issuance.
The following table presented the quantitative information regarding market assumptions used in the Level 3 valuation of the Public Rights and Private Placement Rights:
The following table presented information about the Company’s assets that were measured at fair value as of June 30, 2026 and December 31, 2025 and indicated the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
Marketable securities held in the Trust Account were comprised of U.S. Treasury Securities maturing within three months. Cash equivalents held in the Company’s operating account were comprised of U.S. Treasury Securities maturing within 30 days. |
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