Senior Secured Convertible Notes (4) and Warrants (Tables)

3 Months Ended

Mar. 31, 2023

Debt Disclosure [Abstract]

Summary of Notes Payable at Fair Value

Notes payable at March 31, 2023 and December 31, 2022, were comprised of the following :

Fair value (In thousands)	Total
Balance as of December 31, 2022	$	—
Issuance of Senior Secured Convertible Notes (4) at January 11, 2023		1,803
Change in fair value of Senior Secured Convertible Notes		(143	)
Balance as of March 31, 2023	$	1,660

Summary of Estimated Probability And Estimated Date of Notes Payable

On January 11, 2023, the Company ascribed following probabilities to four possible scenarios:

	March 31, 2023				January 11, 2023
Scenario description	Estimated probability			Estimated date	Estimated probability			Estimated date
Uplist transaction		10.0	%	September 30, 2023		60.0	%	June 30, 2023
Held to maturity		60.0	%	October 6, 2023		10.0	%	October 6, 2023
Change of control		5.0	%	September 30, 2023		5.0	%	September 30, 2023
Default/ dissolution		25.0	%	September 1, 2023		25.0	%	September 1, 2023
Total		100.0	%			100.0	%

Schedule of Senior Secured Convertible Note

Based on these estimates, the Company arrived at the fair value of the Notes liability as shown below:

Senior Secured Convertible Notes (4):	March 31, 2023			January 11, 2023
Fair Value (In thousands)	$	1,660			$	1,803
Face value principle payment (In thousands)	$	3,333			$	3,333
Face value at Premium (In thousands)	$	4,166			$	4,166
Conversion Price	$	0.25			$	0.78
Maturity Date	October 6, 2023				October 6, 2023
Interest rate		6.00	%			6.00	%
Valuation technique	PWERM				PWERM

Schedule of Warranty Liability and Fair Value Analysis

The Warrants are liability classified and the Company performed a fair value analysis as shown below:

Warrant liability, current:	March 31, 2023			January 11, 2023
Fair Value (In thousands)	$	734		$	1,530
Number of warrants	$	1,666,667		$	1,666,667
Closing price (OTCB: GIGA)	$	0.30		$	0.80
Volatility		143.30	%		133.60	%
Risk-free discount rate		3.60	%		3.72	%
Term	5 years			5 years
Expiration date	January 11, 2028			January 11, 2028
Valuation technique	Monte Carlo simulation			Monte Carlo simulation

The warrants are classified as equity:

	January 11, 2023
Fair value (In thousands)	$	858
Number of warrants		1,200,000
Closing price (OTCB: GIGA)	$	0.80
Volatility		133.6	%
Risk-free discount rate		3.72	%
Contractual term in years	5 years
Expiration date	January 11, 2028
Valuation technique	Monte Carlo simulation