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. US 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 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:

 

   Level  June 30,
2026		   December 31,
2025		 
Assets:           
Investments held in Trust Account  1  $140,758,257   $
      —
 
Liabilities:             
Over-allotment option liability  3  $56,700   $
—
 

 

The over-allotment option was accounted for as a liability in accordance with FASB ASC 480 and was presented within liabilities on the 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 fair value of the over-allotment option is $110,400, or $0.053 per option unit as of June 1, 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 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 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:

 

   June 1,
2026		 
Risk-free interest rate   3.71%
Expected term (years)   0.12 
Volatility   1.67%
Exercise price  $10.00 

 

As of June 30, 2026, the fair value of the over-allotment option liability is $56,700, or $0.027 per over-allotment option unit. The key inputs into the Black-Scholes model were as follows as of June 30, 2026 of the over-allotment option:

 

   June 30,
2026		 
Risk-free interest rate   3.70%
Expected term (years)   0.04 
Volatility   2.29%
Exercise price  $10.00 

 

As of June 30, 2026, the over-allotment option has not yet expired.

 

The following table provides a reconciliation of changes in fair value of the beginning and ending balances for the Company’s over-allotment option liability classified as Level 3 for the period ended June 30, 2026:

 

Fair value of over-allotment option liability at January 1, 2026  $
—
 
Initial fair value of over-allotment option liability at June 1, 2026   110,400 
Change in fair value of over-allotment option liability   (53,700)
Fair value of over-allotment option liability at June 30, 2026  $56,700 

 

The fair value of the Public Rights issued in the Initial Public Offering is $2,100,000, or $0.15 per Public Right. The fair value of the Public Rights was determined using PWERM. The Public Rights 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 Rights issued in the Initial Public Offering:

 

   June 1,
2026		 
Expected term to de-SPAC (years)   1.75 
Probability of de-SPAC and instrument-specific market adjustment   15.0%
Risk-free rate (continuous)   3.96%
Implied Class A share price  $9.85