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 Company follows the guidance in ASC 820 for its financial assets and liabilities that are
re-measured
and reported at fair value at each reporting period, and
non-financial
assets and liabilities that are
re-measured
and reported at fair value at least annually.
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 our 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 and liabilities that are measured at fair value at March 31, 2026 and December 31, 2025, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
 
Description:
   
Level
     
March 31,

2026
     
December 31,

2025
  
Assets:
         
Investments Held for Trading
      1      $ 101,878      $ 101,025  
Investments held in Trust Account
      1      $ 6,251,363      $ 6,196,874  
Liabilities:
         
Warrant liability - Private Placement Warrants
      3      $ 548,000      $ 160,000  
Warrant liability - Public Warrants
      1      $ 787,750      $ 230,000  
The Public Warrants and the Private Placement Warrants were accounted for as liabilities in accordance with ASC
815-40
and are presented within liabilities on the condensed balance sheets. The warrant liabilities were 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 condensed statements of operations.
Upon consummation of the Initial Public Offering, 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. The Company allocated the proceeds received from (i) the sale of Units (which is inclusive of one share of Class A common stock and
one-half
of one Public Warrant) and (ii) the sale of Private Placement Warrants, first to the warrants based on their fair values as determined at initial measurement, with the remaining proceeds allocated to shares of Class A common stock subject to possible redemption (temporary equity) based on their relative fair values at the initial measurement date. The Public Warrants and the Private Placement Warrants were classified within Level 3 of the fair value hierarchy at the issuance due to the use of unobservable inputs. As of March 31, 2026 and December 31, 2025, the Public Warrants were valued using the public available price for the Warrant and are classified as Level 1 on the Fair Value Hierarchy. The Company relied upon the implied volatility of the Public Warrants and the implied volatilities of comparable companies and the closing price as of March 31, 2026 and December 31, 2025 per Public Warrant to estimate the volatility for the Private Placement Warrants. As of March 31, 2026 and December 31, 2025, the Private Placement Warrants were classified within Level 3 of the Fair Value Hierarchy at the measurement dates due to the use of unobservable inputs
The table below provides a summary of the changes in fair value, including net transfers in and/or out, of all financial assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the three months ended March 31, 2026 and 2025:
 
    
Fair Value
Measurement
Using Level 3
Inputs Total
  
Balance, fair value at December 31, 2025
    $ 160,000  
Change in fair value of derivative warrant liabilities
      388,000  
  
 
 
  
Balance, fair value at March 31, 2026
    $ 548,000  
  
 
 
  
 
    
Fair Value
Measurement
Using Level 3
Inputs Total
  
Balance, fair value at December 31, 2024
    $ 33,600  
Change in fair value of derivative warrant liabilities
      143,200  
  
 
 
  
Balance, fair value at March 31, 2025
    $ 176,800  
  
 
 
  
As of March 31, 2026 and December 31, 2025, the fair value of the derivative feature of the Warrants was calculated using the following range of weighted average assumptions:
 
    
March 31,

2026
    
December
31,

2025
  
Risk-free interest rate
      3.92 %      3.73 % 
Expected volatility of underlying shares
      10.00 %      5.00 % 
Dividend yield
      0.00 %      0.00 % 
Probability of business combination
      2.25 %      1.00 % 
The following table provides a summary of the changes in the fair value of the Company’s financial instruments that are measured at fair value on a recurring basis:
 
    
Private
Placement
Warrants
     
Public
Warrants
     
Total
  
Fair value at December 31, 2025
    $ 160,000      $ 230,000      $ 390,000  
Change in
fair valu
e
      388,000        557,750        945,750  
  
 
 
     
 
 
     
 
 
  
Fair value at March 31, 2026
    $ 548,0000      $ 787,750      $ 1,335,750  
  
 
 
     
 
 
     
 
 
  
As of March 31, 2026 and December 31, 2025, the derivative liability was $1,335,750 and $390,000, respectively. In addition, for the three months ended March 31, 2026 and 2025, the Company recorded $945,750 and $349,050 as a loss on the change in fair value of the derivative warrants on the condensed statements of operations, respectively.