Company: OCEA
Filing Date: 2025-04-08
Form Type: 10-K
Source: 0001641172-25-003155
Chunk: 1636

Company: Ocean Biomedical, Inc.
Filing Date: 2025-04-08
Form: 10-K
Item: Item 11
Chunk 1636
---
 SPA Warrant 
     -  
     -  
     (764) 
     (764)
  
    Total financial liabilities 
    $-  
    $-  
    $(69,028) 
    $(69,028)

    (1)
    Refer
    to Note 6, Short-Term Loan Agreements, for a reconciliation of the fair value of the 2023 Convertible Note to the total short-term
    loans, net of issuance costs in the Company’s consolidated balance sheets.

During
the fiscal years ended December 31, 2024 and 2023, there were no transfers between Level 1, Level 2 and Level 3.

    F-19

Valuation
of Backstop Put Option Liability and Fixed Maturity Consideration

The
Company utilized a Monte-Carlo simulation to value the Backstop Put Option Liability and Fixed Maturity Consideration. The key
inputs and assumptions used in the Monte-Carlo Simulation, including volatility, expected term, expected future stock price, and
various simulated paths, were utilized to estimate the fair value of the associated derivative liabilities. The
values of the Backstop Put Option Liability and Fixed Maturity Consideration were calculated as the average present value over
50,000 simulated paths. The Company measures the fair values at each reporting period, with changes in fair values recorded
within other income (expense) in its consolidated statements of operations.

 Summary of Significant Inputs and Assumptions Used in Black-Scholes Merton Model

    Backstop Put Option Liability and Fixed Maturity Consideration 
    Estimated volatility  
    Expected future stock price  
    Risk-free rate 
  
    2024 
     147.5% 
     $0.17 - $0.55  
     4.17%
  
    2023 
     100.0% 
     $1.95 – $13.93  
     4.40%

Valuation
of the 2024 Convertible Notes and SPA Warrant

The
Company utilized a Monte-Carlo simulation to value the 2024 Convertible Notes and SPA Warrant. The Monte-Carlo simulation is calculated
as the average present value over all simulated paths. The key inputs and assumptions used in the Monte-Carlo Simulation, including volatility,
estimated market yield, risk-free rate, the probability of various scenarios, including subsequent placement and change in control, and
various simulated paths,