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Convertible Note Derivative
 3 Months Ended
Sep. 30, 2023
Convertible Note Derivative [Abstract]  
Convertible Note Derivative

8. Convertible Note Derivative

The Convertible Note Derivative, which related to the Convertible Note described above in Note 7, was valued upon initial recognition and at each reporting period at fair value using a with-and-without methodology utilizing a binomial lattice model (Level 3). Changes in the fair value were recognized in Derivative gain (loss) in the statement of operations prior to the derecognition of the Convertible Note Derivative during the quarter ended December 31, 2022. As described above in Note 7, the fair value of the Convertible Note Derivative was transferred to additional paid-in capital during the three months ended December 31, 2022. Refer to Note 7 for additional information about the fair value assumptions utilized on the valuation of the Convertible Note Derivative. The components of changes to the fair value of the Convertible Note Derivative are summarized below.

 

 

 

Three months ended September 30, 2022

 

 

 

(in thousands)

 

Convertible note derivative (asset) liability — beginning of period

 

$

—

 

Additions

 

 

24,896

 

Fair value adjustment (gain) loss

 

 

(13,909

)

Convertible note derivative (asset) liability — end of period

 

$

10,987