FAIR VALUE MEASUREMENTS |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2025 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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| FAIR VALUE MEASUREMENTS | NOTE 9 — FAIR VALUE MEASUREMENTS
The following table presents information about the Company’s assets and liabilities that are measured at fair value as of December 31, 2025 and March 31, 2025, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
The Public Warrants, the Private Placement Warrants and the Forward Purchase Agreement are accounted for as liabilities in accordance with ASC 815-40 and are presented within liabilities on the accompanying balance sheets. The warrant liabilities and Forward Purchase Agreement liability are measured at fair value at inception and on a recurring basis, with changes in fair value presented within change in fair value of warrant liabilities in the statement of operations.
Upon initial issuance, the Company used a Monte Carlo simulation model to value the Public Warrants and a modified Black-Scholes model to value the Private Placement Warrants and the Forward Purchase Agreement liability. The Company allocated the proceeds received from (i) the sale of Units (which is inclusive of one Class A ordinary share and one-half of one Public Warrant), (ii) the sale of Private Placement Warrants, (iii) the sale of the Forward Purchase Agreement and (iv) the issuance of Class B ordinary shares, first to the warrants and the Forward Purchase Agreement based on their fair values as determined at initial measurement, with the remaining proceeds allocated to Class A ordinary shares subject to possible redemption (temporary equity) and Class B ordinary shares (permanent equity) based on their relative fair values at the initial measurement date. Upon initial issuance, the Public Warrants, the Private Placement Warrants and the Forward Purchase Agreement were classified within Level 3 of the fair value hierarchy at the measurement dates 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 warrants. 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 warrants. The expected life of the warrants is assumed to be equivalent to their remaining contractual term. 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.
The warrants are measured at fair value on a recurring basis. The Public Warrants were initially valued using a Monte Carlo Simulation which at initial issuance was a Level 3 measurement. As of December 31, 2025 and March 31, 2025, the Public Warrants were valued using the instrument’s trading price as of the balance sheet date, which is considered to be a Level 1 measurement due to the use of an observable market quote in an active market. At initial measurement, the Private Placement Warrants were valued using a Modified Black-Scholes Option Pricing Model, which is considered to be a Level 3 fair value measurement. The primary unobservable input utilized in determining the fair value of the Private Placement Warrants was the expected volatility of the ordinary shares. Due to the attributes of the Private Placement Warrants, at December 31, 2025 and March 31, 2025, the Private Placement Warrants were valued using the Public Warrants trading price and considered to be a Level 2 fair value measurement.
Through June 30, 2025, both the Public Warrants and the Private Placement Warrants remained outstanding and were subject to remeasurement at fair value. In connection with the transition to a new sponsor subsequent to June 30, 2025, the Company’s former sponsor cancelled and forfeited all 11,700,000 Private Placement Warrants. As a result, the related Private Placement Warrant liability was eliminated and accounted for as a capital contribution. As of December 31, 2025, only the 11,500,000 Public Warrants remain outstanding and continue to be classified as derivative liabilities subject to remeasurement at fair value at each reporting date.
As of December 31, 2025 and March 31, 2025, the warrant derivative liability was $819,000 and $43,756 respectively. |
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