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FAIR VALUE MEASUREMENTS
 6 Months Ended
Mar. 31, 2026
Fair Value Disclosures [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 over-allotment option was accounted for as a liability in accordance with FASB ASC 815-40 upon the closing of the Initial Public Offering. 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 unaudited condensed statements of operations. On February 19, 2026, the underwriters elected to forfeit their over-allotment option to purchase up to an additional 1,500,000 Units, and the Company derecognized the over-allotment liability accordingly.

 

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 of the over-allotment option:

 

       
    February 17,
2026		  
Risk-free interest rate     3.75 %
Expected term (years)     0.12  
Volatility     8.8 %
Exercise price   $ 9.80  

 

 

The over-allotment option was forfeited on February 19, 2026. As such, the fair value of the over-allotment option was $422,000 and zero at the IPO date and March 31, 2026, respectively. The change in the over-allotment option was $422,000 for the three and six months ended March 31, 2026, which is included in change in fair value of over-allotment liability under other income in the accompanying unaudited statements of operations.

 

The fair value of the Public Rights issued in the Initial Public Offering is $2,003,000, or $0.2003 per Public Right. The Public Rights have been classified within shareholders’ equity and will not require remeasurement after issuance. The Public Rights were classified within Level 3 of the fair value hierarchy at the measurement dates due to the use of unobservable inputs inherent in assumptions related to the market adjustments as noted below. The following table presents the quantitative information regarding market assumptions used in the valuation of the Public Rights:

 

       
    February 17,
2026		  
Term (years)     1.75  
Risk-free rate     3.44 %
Volatility     8.8 %
Implied discount for lack of marketability     2.7 %