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Fair Value Measurements
 7 Months Ended
Dec. 31, 2024
Fair Value Measurements [Abstract]  
FAIR VALUE MEASUREMENTS

NOTE 8 — FAIR VALUE MEASUREMENTS

 

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 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 as of December 31, 2024, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

 

   Level  December 31,
2024		 
Assets:       
Investments held in Trust Account  1  $167,164,825 
Liabilities:        
Over-allotment option liability  3  $64,371 
Warrant liability – Public Warrants  1  $2,158,000 

 

At December 31, 2024, investments held in the Trust Account were held in money market funds which are invested primarily in U.S. Treasury securities. The estimated fair values of investments held in Trust Account are determined using available market information. Fair values of these investments are determined by Level 1 inputs utilizing quoted prices (unadjusted) in active markets for identical assets.

 

The over-allotment option was accounted for as a liability in accordance with ASC 815-40 and was presented within liabilities on the balance sheet. The over-allotment option liability is measured at fair value at inception and on a recurring basis, with changes in fair value presented within changes in fair value of over-allotment option liability in the statement of operations.

 

The Company used a Black-Scholes model to value the over-allotment option. The over-allotment option liability was 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 option. 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 option. The expected life of the option is assumed to be equivalent to their remaining contractual term.

 

The key inputs into the Black-Scholes model were as follows at initial measurement and December 31, 2024 of the over-allotment option:

 

Inputs  December 31,
2024		   November 22,
2024		 
Risk-free interest rate   4.45%   4.72%
Expected term (years)   0.12    0.12 
Expected volatility   4.91%   6.23%
Exercise price  $10.00   $10.00 
Fair value of over-allotment unit  $0.099   $0.119 

 

The Public Warrants were accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liability in the accompanying balance sheet. The warrant liability was measured at fair value at inception and on a recurring basis, with changes in fair value presented within the statement of operations. The fair value of the Public Warrants was determined using the Monte Carlo Simulation Model upon consummation of the Initial Public Offering. On December 9, 2024, the Company’s Class A ordinary shares and warrants began separately trading from the Units. On December 31, 2024, the Company’s warrant liability for the Public Warrants was based on unadjusted quoted prices at the close of market.

 

The following table presents the quantitative information regarding market assumptions used in the valuation of the public warrants:

 

Inputs  November 22,
2024		 
Estimated Share Price  $9.90 
Exercise Price  $11.50 
Term (Years)   7.0 
Risk-Free Rate   4.3%
Selected Volatility   1.5%
Probability of Merger Closing and Market Adjustment   15.0%

The fair value of the 75,000 Founder Shares deemed transferred to the Company’s directors and 25,000 Founder Shares deemed transferred to the Company’s vice president was determined using the company’s Class A ordinary shares as a proxy and discounted based on a lack of marketability and the probability of successfully closing on a Business Combination.

 

As of December 31, 2024, the Company determined that a Business Combination is not considered probable, and, therefore, no stock-based compensation expense has been recognized. Stock-based compensation would be recognized at the date a Business Combination is considered probable (i.e., upon consummation of a Business Combination) in an amount equal to the number of Founders Shares times the grant date fair value per share (unless subsequently modified) less the amount initially received for the purchase of the Founders Shares.

 

The following table presents the quantitative information regarding market assumptions used in the valuation of the Founder Shares:

 

Inputs  November 22,
2024		 
Proxy price of Class A ordinary shares  $9.90 
Probability of closing on a Business Combination   15.0%
Discount for lack of marketability   13.0%

 

The following table provides a summary of the changes in the fair value of the Company’s Level 3 financial instruments that are measured at fair value on a recurring basis:

 

   Warrant liability –
Public Warrants		   Over-allotment
option liability		 
Initial measurement at November 22, 2024  $1,743,000   $77,163 
Change in fair value        (12,792)
Reclassification to level 1 (1)   (1,743,000)   
 
 
Fair value at December 31, 2024  $
—
   $64,371 

 

(1)Assumes the Public Warrants were reclassified on December 31, 2024.

 

Other than the Public Warrants, there were no other transfers in or out of Level 3.