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FAIR VALUE MEASUREMENTS | 9 Months Ended
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Sep. 30, 2023
Fair Value Disclosures [Abstract] |
FAIR VALUE MEASUREMENTS | NOTE 9. FAIR VALUE MEASUREMENTS At September 30, 2023 and December 31, 2022, the Company’s warrant liability was valued at $441,300 and $589,420, 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 September 30, 2023 and December 31, 2022, 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 Company transferred the fair value of Public Warrants and Private Placement Warrants from a Level 3 measurement to a Level 1 and Level 2 measurement, respectively, in 2022. The measurement of the Public Warrants as of September 30, 2023 is classified as Level 1 due to the use of an observable market quote in an active market under the ticker ATAKW. The measurement of the Private Placement Warrants as of September 30, 2023 is classified as Level 2 as its value is derived from the directly observable quoted prices of the Public Warrants in active markets. SUMMARY OF CHANGE IN FAIR VALUE OF DERIVATIVE WARRANT LIABILITIES
|  |  |  |  | Private |  |  |  |
|  | Public |  |  | Placement |  |  | Warrant |
|  | Warrants |  |  | Warrants |  |  | 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 |
Change in fair value |  |  | — |  |  |  | (280,952 | ) |  |  | (280,952 | )
Level 3 derivative warrant liabilities as of June 30, 2022 |  |  | — |  |  |  | 247,000 |  |  |  | 247,000 |
Change in fair value |  |  | — |  |  |  | (118,000 | ) |  |  | (118,000 | )
Level 3 derivative warrant liabilities as of September 30, 2022 |  |  | — |  |  |  | 129,000 |  |  |  | 129,000 |
Change in fair value |  |  | — |  |  |  | 14,000 |  |  |  | 14,000 |
Transfer of Private Placement Warrants to Level 2 measurement |  |  | — |  |  |  | (143,000 | ) |  |  | (143,000 | )
Level 3 derivative warrant liabilities as of December 31, 2022 |  |  | — |  |  |  | — |  |  |  | — |
Change in fair value |  |  | — |  |  |  | — |  |  |  | — |
Level 3 derivative warrant liabilities as of March 31, 2023 |  | $ | — |  |  | $ | — |  |  | $ | — |
Change in fair value |  |  | — |  |  |  | — |  |  |  | — |
Level 3 derivative warrant liabilities as of June 30, 2023 |  | $ | — |  |  | $ | — |  |  | $ | — |
Change in fair value |  |  | — |  |  |  | — |  |  |  | — |
Level 3 derivative warrant liabilities as of September 30, 2023 |  | $ | — |  |  | $ | — |  |  | $ | — |
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 September 30, 2023: SUMMARY OF FAIR VALUE HIERARCHY OF ASSETS AND LIABILITIES ON RECURRING BASIS
|  | (Level 1) |  |  | (Level 2) |  |  | (Level 3) |
Assets |  |  |  |  |  |  |  |  |  |  |  |
Cash and marketable securities held in trust account |  | $ | 57,481,369 |  |  | $ | — |  |  | $ | — |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |
Public Warrants |  | $ | 333,300 |  |  | $ | — |  |  | $ | — |
Private Placement Warrants |  | $ | — |  |  | $ | 108,000 |  |  | $ | — |
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 December 31, 2022:
Assets |  |  |  |  |  |  |  |  |  |  |  |
Cash and marketable securities held in trust account |  | $ | 206,879,903 |  |  | $ | — |  |  | $ | — |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |
Public Warrants |  | $ | 446,420 |  |  | $ | — |  |  | $ | — |
Private Placement Warrants |  | $ | — |  |  | $ | 143,000 |  |  | $ | — |
The following table presents the changes in the fair value of derivative warrant liabilities as of September 30, 2023 and December 31, 2022:
|  | Public Warrants |  |  | Private Placement Warrants |  |  | Total Derivative Warrant Liability |
Fair value at August 6, 2021 (inception) |  |  | — |  |  |  | — |  |  |  | — |
Change in fair value |  |  | - |  |  |  | - |  |  |  | - |
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 |
Change in fair value |  |  | (858,500 | ) |  |  | (280,952 | ) |  |  | (1,139,452 | )
Derivative warrant liabilities as of June 30, 2022 |  | $ | 757,500 |  |  | $ | 247,000 |  |  | $ | 1,004,500 |
Change in fair value |  |  | (353,500 | ) |  |  | (118,000 | ) |  |  | (471,500 | )
Derivative warrant liabilities as of September 30, 2022 |  | $ | 404,000 |  |  | $ | 129,000 |  |  | $ | 533,000 |
Change in fair value |  |  | 42,420 |  |  |  | 14,000 |  |  |  | 56,420 |
Derivative warrant liabilities as of December 31, 2022 |  | $ | 446,420 |  |  | $ | 143,000 |  |  | $ | 589,420 |
Change in fair value |  |  | 58,580 |  |  |  | 20,000 |  |  |  | 78,580 |
Derivative warrant liabilities as of March 31, 2023 |  | $ | 505,000 |  |  | $ | 163,000 |  |  | $ | 668,000 |
Change in fair value |  |  | (220,180 | ) |  |  | (71,000 | ) |  |  | (291,180 | )
Derivative warrant liabilities as of June 30, 2023 |  | $ | 284,820 |  |  | $ | 92,000 |  |  | $ | 376,820 |
Change in fair value |  |  | 48,480 |  |  |  | 16,000 |  |  |  | 64,480 |
Derivative warrant liabilities as of September 30, 2023 |  | $ | 333,300 |  |  | $ | 108,000 |  |  | $ | 441,300 |
Initial 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. The key inputs into the Black Scholes Merton model formula were as follows at February 9, 2022: SUMMARY OF FAIR VALUE MEASUREMENTS INPUTS
|  | Private Placement |
|  | Warrants |
Ordinary Share price |  | $ | 9.08 |
Exercise price |  | $ | 11.50 |
Risk-free rate of interest |  |  | 1.80 | %
Volatility |  |  | 9.43 | %
Term |  |  | 5.99 |
Warrant to buy one share |  | $ | 0.35 |
Dividend yield |  |  | 0.00 | %
Subsequent Measurement The Company values the Private Placement Warrants relative to the market prices of ordinary share and the Public Warrants, which are both actively traded on a public market. The valuation model for the Private Placement Warrants is a risk-neutral Monte Carlo simulation. As of September 30, 2023, the measurement of the Public Warrants was valued using an observable market quote in an active market under the ticker ATAKW. The key inputs into the Monte Carlo simulation model were as follows at September 30, 2023 and December 31, 2022:
|  | September 30, |  |  | December 31, |
|  | 2023 |  |  | 2022 |
Ordinary Share price |  | $ | 10.85 |  |  | $ | 10.23 |
Exercise price |  | $ | 11.50 |  |  | $ | 11.50 |
Risk-free rate of interest |  |  | 4.55 | % |  |  | 3.94 | %
Volatility |  |  | 0.00 | % |  |  | 0.00 | %
Term |  |  | 5.25 |  |  |  | 5.50 |
Warrant to buy one share |  | $ | 0.02 |  |  | $ | 0.02 |
Dividend yield |  |  | 0.00 | % |  |  | 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.

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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. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 + Details
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