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FAIR VALUE MEASUREMENTS

9 Months Ended

Sep. 30, 2025

FAIR VALUE MEASUREMENTS

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 at September 30, 2025 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value. The Company did not have any fair value measurements as of December 31, 2024.

​	​	​	​	​	​
​		​		September 30,
Description		Level		2025
Assets:				​
Investments held in Trust Account		1	​	$	230,239,464
Liabilities:			​		​
Warrant Liability – NMSI Warrants		3	​	$	6,133,664

​

The NMSI Warrants were accounted for as a liability in accordance with ASC 815-40 and are presented within liabilities in the balance sheet. The Warrant liabilities are measured at fair value.

The table below provides a summary of the changes in fair value of all financial assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the nine months ended September 30, 2025:

​	​	​	​
​		Fair Value
​		Measurement
​		Using Level 3
​		Inputs Total
Balance, December 31, 2024	​	$	—
Initial fair value	​		4,100,000
Change in fair value of derivative warrant liabilities	​		2,033,664
Balance, September 30, 2025	​	$	6,133,664

​

The Company used a Monte Carlo simulation model to value the NMSI Warrants at April 24, 2025.

​	​	​	​
​		April 24,
​		2025
NMSI Warrants	​	$	2,480,500

​

The Company used the following assumptions to value the Public Warrants, Private Placement Warrants and NMSI Warrants at April 24, 2025.

​	​	​	​	​
Volatility		​	6.6	%
Risk Free Rate		​	3.8	%
Dividends	​	$	0.00	​
Market Adjustment	​		16.7	%
Stock Price	​	$	9.87	​
Weighted Term (years)	​		2.83	​

​

The Company used the following assumptions to value the NMSI Warrants at September 30, 2025.

​	​	​	​	​
Volatility		​	24.8	%
Risk Free Rate		​	3.65	%
Dividends	​	$	0.00	​
Market Adjustment	​		18.9	%
Stock Price	​	$	10.71	​
Weighted Term (years)	​		1.41	​

​

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- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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