v3.26.1
FAIR VALUE MEASUREMENTS
 3 Months Ended
Mar. 31, 2026
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—Assets and liabilities with unadjusted, quoted prices listed on active market exchanges. Inputs to the fair value measurement are observable inputs, such as quoted prices in active markets for identical assets or liabilities.

     
  ● Level 2—Inputs to the fair value measurement are determined using prices for recently traded assets and liabilities with similar underlying terms, as well as direct or indirect observable inputs, such as interest rates and yield curves that are observable at commonly quoted intervals.
     
  ● Level 3—Inputs to the fair value measurement are unobservable inputs, such as estimates, assumptions, and valuation techniques when little or no market data exists for the assets or liabilities.

 

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis as of March 31, 2026 and December 31, 2025, and indicates the fair value hierarchy of the valuation inputs used:

 

                   
    Level   March 31,
2026		     December 31,
2025		  
Assets:                    
Investments held in Trust Account – U.S. Treasury money market fund   1   $ 486,895     $ 482,661  
Liabilities:                    
Public Warrants   3   $ 621,000     $ -  
Public Warrants   2   $ -     $ 388,126  
Private Placement Warrants   3   $ 772,200     $ -  
Private Placement Warrants   2   $ -     $ 482,625  

 

Transfers to/from Levels 1, 2, and 3 are recognized at the beginning of the reporting period. During the three months ended March 31, 2026, there were transfers from Levels 2 to 3 for both Public and Private Warrants. The transfer from Level 2 to Level 3 reflects a change in the observability of valuation inputs and does not represent a change in the underlying contractual terms of the warrants.

 

Public warrant liability fair value measurements (Level 1, 2 and 3) are detailed in the roll forward table below.

 

                       
    Level 1     Level 2     Level 3  
Balance – December 31, 2025   $ -     $ 388,126     $ -  
                         
Leveling transfer     -       (388,126 )     388,126  
Change in Fair Value     -       -       232,874  
Balance – March 31, 2026   $ -     $ -     $ 621,000  

 

Private Placement Warrant liability fair value measurements (Level 1, 2 and 3) are detailed in the roll forward table below.

 

   Level 1   Level 2   Level 3 
Balance – December 31, 2025  $-   $482,625   $- 
                
Leveling transfer   -    (482,625)   482,625 
Change in Fair Value   -    -    289,575 
Balance – March 31, 2026  $-   $-   $772,200 

 

The Public Warrants were initially measured at fair value on May 12, 2022 using a binomial option pricing model. Following the commencement of active trading on Nasdaq, the Public Warrants were subsequently measured based on their quoted market price, which represented a Level 1 fair value measurement. The closing market price of the Public Warrants was used as the primary input in determining fair value during periods in which an active market existed.

 

As of December 31, 2025, the Public Warrants were reclassified from Level 1 to Level 2 because, although quoted prices for identical Public Warrants were available on the OTC market, management concluded that the market was no longer active due to limited trading activity and liquidity. Accordingly, the quoted market prices represented observable Level 2 inputs rather than Level 1 inputs under ASC 820. The Private Placement Warrants were also classified as Level 2. Their fair value was determined by reference to the observable market price of the Public Warrants. Management concluded that the differences in contractual terms between the Public Warrants and the Private Placement Warrants did not result in a material difference in fair value as of December 31, 2025.

 

As of March 31, 2026, quoted market prices for the Public Warrants were no longer considered sufficient to determine fair value due to the absence of meaningful trading activity and market liquidity. Accordingly, the Company measured the fair values of both the Public Warrants and the Private Placement Warrants using a binomial option pricing model. Although the contractual terms of the Public Warrants and Private Placement Warrants differ in certain respects, management concluded that the same valuation methodology was appropriate because the valuation incorporated assumptions that market participants would use in pricing the warrants, including expected volatility, the risk-free interest rate, the expected timing of a business combination, and the probability of completing a business combination. Because the valuation incorporated significant unobservable inputs, both warrant liabilities were classified as Level 3 measurements within the fair value hierarchy.

 

The following table provides quantitative information regarding Level 3 fair value measurements as of March 31, 2026:

 

       
    March 31,
2026		  
Stock Price   $ 10.00  
Exercise Price   $ 11.50  
Risk-free rate of interest     4.04 %
Volatility     2.7 %
Expected time to business combination     1 year  
Expected contractual term following business combination     5 years  
Probability of successful business combination     5.00 %