Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2022

Fair Value Disclosures [Abstract]

Schedule of Fair Value Assets and Liabilities Measured On Recurring Basis

The following table presents the Company’s assets and liabilities that are measured at fair value on a recurring basis at September 30, 2022:


						Fair Value Measurements at Reporting Date Using
		Total				Quoted Prices in Active Markets for Identical Assets (Level 1)				Significant other Inputs (Level 2)				Significant Unobservable Inputs (Level 3)
Derivative liabilities:
Derivative Instruments		$	795,708			$	—			$	—			$	795,708
Total derivative liabilities			795,708				—				—				795,708

Total assets and liabilities measured at fair value		$	795,708			$	—			$	—			$	795,708

The following table presents the Company’s assets and liabilities that are measured at fair value on a recurring basis at December 31, 2021:


						Fair Value Measurements at Reporting Date Using
		Total				Quoted Prices in Active Markets for Identical Assets (Level 1)				Significant other Inputs (Level 2)				Significant Unobservable Inputs (Level 3)
Derivative liabilities:
Derivative Instruments		$	776,623			$	—			$	—			$	776,623
Total derivative liabilities			776,623				—				—				776,623

Total assets and liabilities measured at fair value		$	776,623			$	—			$	—			$	776,623

Summary of Fair Value Measurements using Significant Unobservable Inputs

The following table presents a reconciliation of the beginning and ending balances of the Company's liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three and nine months ended September 30, 2022 and 2021:


		Three Months Ended September 30,								Nine Months Ended September 30,
		2022				2021				2022				2021
Beginning Balance		$	796,846			$	728,063			$	776,623			$	703,747
Total (gain) loss recognized in earnings			(1,138	)			23,166				19,085				47,482
Ending Balance		$	795,708			$	751,229			$	795,708			$	751,229

Summary of Derivative Probability and Volatility Assumptions

The probability and volatility assumptions are as follows:


Probability of redemption as part of a fundamental sale transaction		0.5 %
Probability of redemption absent a fundamental sale transaction		4.75 %
Annual volatility		65 %