v3.26.3
Fair Value Measurements
 9 Months Ended
Sep. 30, 2026
Fair Value Measurements [Abstract]  
Fair Value Measurements

Note 9 — 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.  

 

          September 30,     December 31,  
    Level     2026     2025  
Assets:                  
Investments held in Trust Account     1     $ 257,129,909     $ —  
Forward contract     3     $ 11,389,000     $ —  

 

The fair value of the Public Warrants was $3,552,120 or $0.4212 per Public Warrant on March 30, 2026. The fair value of Public Warrants was determined using the Monte Carlo Simulation Model. The Public Warrants 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 Warrants:

 

    March 30,
2026		  
Risk free rate     3.84 %
Volatility     9.3 %
Stock price   $ 9.86  
Term remaining (years)     2.71  

 

The fair value of the forward contract was $11,389,000 on September 30, 2026. The fair value was determined using a Probability-Weighted Expected Return Method (PWERM), which considers a successful Business Combination scenario and an unsuccessful Business Combination scenario. Under the successful scenario, the fair value of the forward contract reflects the difference between the fair value of the Series A Preferred Stock and Preferred Investor Warrants to be issued at closing and the present value of the purchase price payable by the Series A Preferred Stock Investors. Under the unsuccessful scenario, the forward contract terminates and has no value. The fair values of the Series A Preferred Stock and Preferred Investor Warrants were determined using Monte Carlo simulation models, incorporating a binomial lattice model following the reset event. The implied likelihood of completing the Business Combination was derived from the quoted prices of the Company’s Class A ordinary shares and public warrants. The following table presents the quantitative information regarding market assumptions used in the Level 3 valuation of the forward contract as of September 30, 2026:

 

    Forward
Contract		  
Quoted share price   $ 10.05  
Quoted warrant price   $ 0.74  
Redemption price per unit   $ 10.13  
Risk free rate     5.11 %
Remaining term (years)     0.41  
Business combination likelihood     50.0 %
Warrant exercise price   $ 12.00  
Warrant remaining term (years)     5.41  
Volatility (pre-Business Combination)     66.4 %
Volatility (post-Business Combination)     66.4 %

 

The following table presents the changes in the fair value of Level 3 forward contract for the period ended September 30, 2026:

 

    Forward
Contract		  
Fair value as of June 8, 2026   $ —  
Change in fair value of forward contract     957,000  
Fair value as of June 30, 2026   $ 957,000  
Change in fair value of forward contract     10,432,000  
Fair value as of September 30, 2026   $ 11,389,000