v3.26.3
FAIR VALUE MEASUREMENTS
 6 Months Ended 12 Months Ended
Jun. 30, 2026
Dec. 31, 2025
Fair Value Disclosures [Abstract]    
FAIR VALUE MEASUREMENTS

NOTE 9. FAIR VALUE MEASUREMENTS

 

The following table presents information about the Company’s liabilities that are measured at fair value on a recurring basis and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

 

       June 30,   December 31, 
Description  Level   2026   2025 
Liabilities:            
Warrant liability – Public warrants   2   $843,333   $2,070,000 
Warrant liability – Private Placement Warrants   3   $979,000   $2,403,000 
Convertible Promissory Notes   3   $5,202,610   $5,000,796 

 

The warrants were accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liabilities in the accompanying balance sheets. The warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented within the statement of operations.

 

The fair value measurement of the public warrants as of June 30, 2026 and December 31, 2025 is classified as Level 2 due to the use of observable market prices from OTC. The quoted market price representing the fair value of the public warrants was $0.11 and $0.27 per public warrant as of June 30, 2026 and December 31, 2025, respectively.

 

As of June 30, 2026 and December 31, 2025, the private placement warrants and convertible promissory notes were valued using a Monte Carlo model, which is considered to be a Level 3 fair value measurement. The primary unobservable input used in the Monte Carlo model to determine fair value is the expected volatility of the Class A Ordinary Shares, along with the estimated probability of completing a business combination, which the Company has determined to be 75% as of June 30, 2026, and December 31, 2025.

 

The following table provides the key inputs used regarding the private placement warrant liability Level 3 fair value measurements:

 

   June 30,
2026		   December 31,
2025		 
Trading stock price  $12.71   $12.15 
Public warrants price  $0.11   $0.27 
Weighted term (in years)   1.00    1.32 
Volatility   de minimis    de minimis 
Risk-free rate   3.98%   3.48%

The following table presents a rollforward of the Company’s warrant liability measured at fair value using Level 3 inputs:

 

   Public   Private   Total 
   Warrant   Warrant   Warrant 
   Liabilities   Liabilities   Liabilities 
Fair value as of December 31, 2024  $—   $668,390   $668,390 
Change in fair value   —    1,734,610    1,734,610 
Fair value as of December 31, 2025  $—   $2,403,000   $2,403,000 
Change in fair value   —    (1,691,000)   (1,691,000)
Fair value as of March 31, 2026  $—   $712,000   $712,000 
Change in fair value   —    267,000    267,000 
Fair value as of June 30, 2026  $       —   $979,000   $979,000 

 

The following table provides key inputs used regarding the convertible promissory notes Level 3 fair value measurements:

 

    June 30,
2026		   December 31,
2025		  
Trading stock price   $ 12.71   $ 12.15  
Exercise price   $ 11.50   $ 11.50  
Expected term (in years)     1.00     0.56  
Expected term of warrant conversion (in years)     5.42     5.56  
Volatility     de minimis     de minimis  
Risk-free rate     3.96 - 4.19 %   3.58 – 3.73 %

 

The following table provides a rollforward of the convertible promissory notes measured using Level 3 inputs:

 

Fair value as of December 31, 2024  $4,479,738 
Initial measurement on May 27, 2025   250,000 
Initial measurement on November 19, 2025   250,000 
Initial measurement on December 29, 2025   200,000 
Change in fair value   (178,942)
Fair value as of December 31, 2025  $5,000,796 
Change in fair value   41,078 
Fair value as of March 31, 2026  $5,041,874 
Initial measurement on May 5, 2026   250,000 
Change in fair value   (89,264)
Fair value as of June 30, 2026  $5,202,610 

 

Transfers to/from Levels 1, 2 and 3 are recognized at the end of the reporting period in which a change in valuation technique or methodology occurs. There were no transfers in or out of Level 3 from other levels in the fair value hierarchy during the three and six months ended June 30, 2026.

NOTE 9. FAIR VALUE MEASUREMENTS

 

The following table presents information about the Company’s liabilities that are measured at fair value on a recurring basis and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

 

       December 31,   December 31, 
Description  Level   2025   2024 
Assets:            
Cash and marketable securities held in Trust Account   1   $37,914,438   $84,565,597 
Liabilities:               
Warrant liability – Public warrants   2   $2,070,000   $575,767 
Warrant liability – Private Placement Warrants   3   $2,403,000   $668,390 
Convertible Promissory Notes   3   $5,000,796   $4,479,738 

 

The warrants were accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liabilities in the accompanying balance sheets. The warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented within the statement of operations.

 

As of December 31, 2025 and 2024, the private placement warrants and convertible promissory note were valued using a monte- carlo model, which is considered to be a Level 3 fair value measurement. The primary unobservable input used in the monte- carlo model to determine fair value is the expected volatility of the Class A Ordinary Shares, along with the estimated probability of completing a business combination, which the Company has determined to be 75% as of December 31, 2025, and December 31, 2024. The expected volatility as of the closing date of the Initial Public Offering date was derived from observable pricing of public warrants on comparable ‘blank-check’ companies without an identified target.

The following table provides quantitative information regarding the warrant liability Level 3 fair value measurements:

 

   December 31,
2025		   December 31,
2024		 
Trading stock price  $12.15   $11.66 
Public warrants price  $0.27   $0.08 
Weighted term (in years)   1.32    1.17 
Volatility   de minimis    de minimis 
Risk-free rate   3.48%   4.18%

 

The following table provides quantitative information regarding the warrant liability Level 3 fair value measurements:

 

   Public   Private   Total 
   Warrant   Warrant   Warrant 
   Liabilities   Liabilities   Liabilities 
Fair value as of December 31, 2023  $—   $1,165,656   $1,165,656 
Change in fair value   —    (497,266)   (497,266)
Fair value as of December 31, 2024   —    668,390    668,390 
Change in fair value   —    1,734,610    1,734,610 
Fair value as of December 31, 2025  $       —   $2,403,000   $2,403,000 

 

The following table provides quantitative information regarding the convertible promissory note Level 3 fair value measurements:

 

     December 31,
2025		    December 29,
2025		    November 19,
2025		    May 27,
2025		    December 31,
2024		   
Trading stock price   $ 12.15   $ 12.15   $ 12.26   $ 11.93   $ 11.66  
Exercise price   $ 11.50   $ 11.50   $ 11.50   $ 11.50   $ 11.50  
Expected term (in years)     0.56     0.56     0.67     0.68     0.51  
Expected term of warrant conversion (in years)     5.56     5.56     5.67     5.68     5.51  
Volatility     de minimis     de minimis     de minimis     de minimis     de minimis  
Risk-free rate     3.58 – 3.73 %   3.58 – 3.67 %   3.71 – 3.76 %   4.04 - 4.27 %   4.24 %

 

The following table provides quantitative information regarding the convertible promissory note Level 3 fair value measurements:

 

Fair value as of December 31, 2023  $3,676,685 
Initial measurement on January 19, 2024   250,000 
Initial measurement on July 12, 2024   250,000 
Initial measurement on November 6, 2024   250,000 
Initial measurement on December 16, 2024   250,000 
Change in fair value   (196,947)
Fair value as of December 31, 2024   4,479,738 
Initial measurement on May 27, 2025   250,000 
Initial measurement on November 19, 2025   250,000 
Initial measurement on December 29, 2025   200,000 
Change in fair value   (178,942)
Fair value as of December 31, 2025  $5,000,796 

 

Transfers to/from Levels 1, 2 and 3 are recognized at the end of the reporting period in which a change in valuation technique or methodology occurs. There were no transfers in or out of Level 3 from other levels in the fair value hierarchy regarding the convertible promissory note for the period from October 13, 2021 (inception) through December 31, 2025.