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Fair Value Measurements
 3 Months Ended
Mar. 31, 2022
Fair Value Disclosures [Abstract]  
Fair Value Measurements
NOTE 9. FAIR VALUE MEASUREMENTS
At March 31, 2022 and December 31, 2021, the Company’s warrant liability was valued at $2,143,952 and $0, respectively. Under the guidance in ASC
815-40,
the Public Warrants and the Private Placement Warrants do not meet the criteria for equity treatment. As such, the Public Warrants and the Private Placement Warrants must be recorded on the balance sheet at fair value. This valuation is subject to
re-measurement
at each balance sheet date. With each
re-measurement,
the valuations will be adjusted to fair value, with the change in fair value recognized in the Company’s statement of operations.
The following table presents fair value information as of March 31, 2022 and December 31, 2021, of the Company’s financial assets and liabilities that were accounted for at fair value on a recurring basis and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value. The Company’s warrant liability is based on a valuation model utilizing management judgment and pricing inputs from observable and unobservable markets with less volume and transaction frequency than active markets. Significant deviations from these estimates and inputs could result in a material change in fair value The fair value of the private warrant liability is classified within Level 3 of the fair value hierarchy. The Company transferred the fair value of Public Warrants from a Level 3 measurement to a Level 1 measurement during the three months ended March 31, 2022. The measurement of the Public Warrants as of March 31, 2022 is classified as Level 1 due to the use of an observable market quote in an active market under the ticker ATAKW.

    
Public

Warrants
     
Private
Placement

Warrants
     
Warrant

Liability
  
Derivative warrant liabilities at December 31, 2021
    $ —        $ —        $ —    
    
 
 
     
 
 
     
 
 
  
Initial fair value at issuance of public and private placement warrants
      3,521,870        2,258,677        5,780,547  
    
 
 
     
 
 
     
 
 
  
Change in fair value
      (1,905,870 )       (1,730,725 )       (3,636,595 ) 
Transfer of public warrants to Level 1 measurement
      (1,616,000 )       —          (1,616,000 ) 
Level 3 derivative warrant liabilities as of March 31, 2022
    $ —        $ 527,952      $ 527,952  
    
 
 
     
 
 
     
 
 
  
 
The following tables set forth by level within the fair value hierarchy the Company’s assets and liabilities that were accounted for at fair value on a recurring basis at March 31, 2022:
March 31, 2022
 
                                                          
    
(Level 1)
     
(Level 2)
     
(Level 3)
  
Assets
                           
Cash and marketable securities held in trust account
   
$
204,020,000
 
   
$
—  
 
   
$
—  
 
Liabilities
                           
Public Warrants
   
$
1,616,000
 
   
$
—  
 
   
$
—  
 
Private Placement Warrants
   
$
—  
 
   
$
—  
 
   
$
527,952
 
The following table presents the changes in the fair value of derivative warrant liabilities as of March 31, 2022 and December 31, 2021:
 
    
Public

Warrants
     
Private
Placement

Warrants
     
Total
Derivative

Warrant
Liability
  
Fair value at August 6, 2021 (inception)
      —          —          —    
    
 
 
     
 
 
     
 
 
  
Derivative warrant liabilities as of December 31, 2021
    $ —        $ —        $ —    
Initial fair value at issuance
      3,521,870        2,258,677        5,780,547  
Change in fair value
      (1,905,870 )       (1,730,725 )       (3,636,595 ) 
    
 
 
     
 
 
     
 
 
  
Derivative warrant liabilities as of March 31, 2022
    $ 1,616,000      $ 527,952      $ 2,143,952  
    
 
 
     
 
 
     
 
 
  
Measurement
The Company established the initial fair value for the warrants on February 9, 2022, the date of the completion of the Company’s IPO. The Company used a Black Scholes Merton model to value the warrants. The Company allocated the proceeds received from (i) the sale of Units (which is inclusive of one Class A Ordinary Share, one Public Warrant and one right to receive
one-tenth
of a Class A ordinary share upon consummation of an initial business combination), (ii) the sale of Private Placement Warrants, and (iii) the issuance of Class B Ordinary Shares, first to the warrants based on their fair values as determined at initial measurement, with the remaining proceeds allocated to Class A Ordinary Shares subject to possible redemption (temporary equity), Class A Ordinary Shares (permanent equity) and Class B Ordinary Shares (permanent equity) based on their relative fair values at the initial measurement date.
 
As of March 31, 2022, the measurement of the Public Warrants were valued using an observable market quote in an active market.
The key inputs into the Black Scholes Merton model formula were as follows at March 31, 2022:
 
    
Private Placement
Warrants
  
    
March 31,
  
Input
   
2022
  
Ordinary share price
    $ 9.86  
Exercise price
    $ 11.50  
Risk-free rate of interest
      2.40 % 
Volatility
      1.92 % 
Term
      5.84  
Warrant to buy one share (unadjusted for the probability of dissolution)
    $ 0.08  
Dividend yield
      0.00 % 
The risk-free interest rate assumption was based on the linearly interpolated Treasury Constant Maturity Rate Curve between five and seven year rates, which was commensurate with the contractual term of the Warrants, which expire on the earlier of (i) six years after the completion of the initial business combination and (ii) upon redemption or liquidation. An increase in the risk-free interest rate, in isolation, would result in an increase in the fair value measurement of the warrant liabilities and vice versa.