| Schedule of Assets Held in the Trust Account |
As of June 30, 2026, assets held in the Trust Account were comprised of $340 in cash and $420,735,420 invested in U.S. Treasury Bills, whose fair value is considered to be a Level 1 measurement.
| | | Amortized
Cost | | Unrealized
Loss | | Fair
Value | | June 30, 2026 | | | | | | | | | | | | U.S. Treasury Securities (Mature on 9/17/26) | | $ | 420,879,491 | | $ | (144,071 | ) | | $ | 420,735,420 | | | | Amortized
Cost | | Unrealized
Loss | | Fair
Value | | December 31, 2025 | | | | | | | | | | | | U.S. Treasury Securities (Mature on 4/14/26 and 6/18/26) | | $ | 414,549,106 | | $ | (119,487 | ) | | $ | 414,429,619 |
|
As of December 31, 2025, assets held in the Trust Account were comprised of $676 in cash and $414,429,619 invested in U.S. Treasury Bills.
| | | Amortized
Cost | | Unrealized
Gain | | Fair
Value | | December 31, 2025 | | | | | | | | U.S. Treasury Securities (Matures on 4/14/26 and 6/18/26) | | $ | 414,549,106 | | $ | (119,487 | ) | | $ | 414,429,619 |
|
| Schedule of Quantitative Market Assumptions |
The key inputs into the PWERM model for the subscription agreement liability were as follows:
|
|
|
June 24,
2026
|
|
June 30,
2026
|
|
Market price of Public Shares
|
|
$
|
11.99 |
|
|
$
|
17.45 |
|
|
Term (years)
|
|
|
0.44 |
|
|
|
0.42 |
|
|
Risk-free rate
|
|
|
3.92 |
%
|
|
|
3.96 |
%
|
|
Volatility
|
|
|
2.8 |
%
|
|
|
2.8 |
%
|
|
Likelihood of completing a business combination
|
|
|
90 |
%
|
|
|
90 |
%
|
|
|
|
Subscription
Agreement
Liability
|
|
Fair value as of June 24, 2026
|
|
$
|
39,072,918 |
|
Change in valuation inputs or other assumptions
|
|
|
98,699,277 |
|
Fair value as of June 30, 2026
|
|
$
|
137,772,195 |
|
The following table presents the quantitative information regarding market assumptions used in the Level 3 valuation of the public warrants:
|
|
|
December 18,
2025
|
|
Volatility
|
|
|
10 |
%
|
|
Risk free rate
|
|
|
3.49 |
%
|
|
Stock price
|
|
$
|
9.95 |
|
|
Weighted terms (Yrs)
|
|
|
2.85 |
|
|
Market Pricing Adjustment
|
|
|
16.9 |
%
|
|