Company: OCEA
Filing Date: 2025-05-15
Form Type: 10-Q
Source: 0001641172-25-011080
Chunk: 72

Company: Ocean Biomedical, Inc.
Filing Date: 2025-05-15
Form: 10-Q
Item: Item 1
Chunk 72
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of operations.

The following table
summarizes some of the significant inputs and assumptions used in the Monte-Carlo simulation:

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

    Estimated  volatility  
    Range of  probabilities
      
    Risk-free rate 
  
    2023 Convertible Note 
     100.0% 
     0%-65
    % 
     4.35%
  
    SPA Warrant 
     130.0% 
     0%-65
    % 
     3.90%

Valuation of the Ayrton Note Purchase Option

The Company utilized the Black-Scholes
Merton model to value the Ayrton Note Purchase Option. The key inputs and assumptions used in the Black-Scholes Merton model, including
volatility and risk-free rate, were utilized to estimate the fair value of the associated liability. The Company will continue to measure
the fair value at each reporting period, with subsequent fair values to be recorded within other income (expense) in the Company’s
condensed consolidated statements of operations.

The following table summarizes
some of the significant inputs and assumptions used in the Black-Scholes Merton model:

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

    Estimated volatility  
    Risk-free rate 
  
    Ayrton Note Purchase Option 
     13% 
     4.8%

The following table provides a
roll forward of the aggregate fair values of the Company’s Fixed Maturity Consideration, Backstop Put Option Liability, the 2023
Convertible Note, SPA Warrant, and Ayrton Note Purchase Option for which fair value is determined using Level 3 inputs:

Schedule of Fair Value Backstop Forward Purchase Agreement Asset

    Level 3 Rollforward (in thousands) 
    Backstop Put Option Liability  
    Fixed Maturity Consideration  
    2023 Convertible Note  
    SPA
                                                                                Warrant  
    Ayrton Note Purchase Option 
  
    Balance as of December 31, 2023 
    $(58,523) 
    $(4,123) 
    $(5,618) 
    $(764) 
    $- 
  
    Additional Notes issued 

     Conversion to common stock  

    Changes in fair value 
     15,608  
     (321) 
     686  
     (