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FAIR VALUE MEASUREMENTS
 12 Months Ended
Dec. 31, 2025
Fair Value Disclosures [Abstract]  
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 that are measured at fair value on December 31, 2025, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

 

             
    Level     December 31,
2025		  
Assets:              
Cash   1     $ 631,366  
Cash and investments held in Trust Account   1     $ 207,786,276  

 

The following table presents information about the Company’s equity instruments that are measured at fair value on November 24, 2025, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

 

The fair value of Public Rights was determined using the Binomial / Lattice Model at Level 3 of the fair value hierarchy. The Public Rights 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 valuation of the Public Rights:

 

       
    November 24,
2025		  
Traded unit price   $ 10.02  
Expected term to De-SPAC (Years)     2.00  
Probability of De-SPAC and instrument-specific market adjustment     17.0 %
Risk-free rate (continuous)     3.46 %

 

Management have assessed the probability of De-SPAC and instrument-specific market adjustment on the basis of unobservable inputs. In arriving at the figure in the above table, management has considered historical SPAC completion rate, market-implied probability of the rights being exercised, probability of the rights being exercised after BCA, and the current redemption rate environment.

 

A sensitivity analysis with differing probability of De-SPAC and instrument-specific market adjustment rates is below:

 

                       
Probability Assumption   FV per Right (Binomial)     Total FV — All Rights     Change vs. Base  
10%   $ 0.1002     $ 2,135,663     $ (-1,494,964 )
12%   $ 0.1202     $ 2,562,795     $ (-1,067,831 )
15%   $ 0.1503     $ 3,203,494     $ (-427,133 )
17% ← Base case   $ 0.1703     $ 3,630,627     -  
20%   $ 0.2004     $ 4,271,326     $ +640,699  
25%   $ 0.2505     $ 5,339,157     $ +1,708,530  
30%   $ 0.3006     $ 6,406,988     $ +2,776,362