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Fair Value Measurements
 3 Months Ended
Mar. 31, 2026
Fair Value Measurements [Abstract]  
FAIR VALUE MEASUREMENTS

NOTE 8. 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. 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: 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 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:

 

           March 31,      December 31,  
    Level      2026     2025  
Assets:                  
Marketable securities held in Trust Account     1     $ 259,915,816     $ 257,650,313  

 

The fair value of the Public Warrants at July 2, 2025 was $2,024,000 or $0.32 per public warrant. The fair value of Public Warrants was determined using a binomial lattice 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:

 

    July 2,
2025		  
Asset price   $ 10.12  
Exercise price   $ 11.50  
Term (years)     5.5  
Risk-free rate     3.9 %
Volatility     15.0 %
Probability of Business Combination     20.0 %