Company: OCEA
Filing Date: 2025-04-08
Form Type: 10-K
Source: 0001641172-25-003155
Chunk: 2334

Company: Ocean Biomedical, Inc.
Filing Date: 2025-04-08
Form: 10-K
Item: Item 1A
Chunk 2334
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, the risk-free interest
rate, and expected dividends. Expected volatility is based on the historical share volatility of a set of comparable publicly traded
companies over a period of time equal to the expected term of the warrants. The risk-free interest rate is determined by reference to
the U.S. Treasury yield curve in effect at the time of grant of the warrant for time periods approximately equal to the expected term
of the warrant. Expected dividend yield is zero based on the fact that we have never paid cash dividends and do not expect to pay any
cash dividends in the foreseeable future. We expense the amount as interest in Other expenses.

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.

    Estimated volatility  
    Expected future stock price  
    Risk-free rate 
  
    Backstop Put Option Liability and Fixed Maturity Consideration 
     147.5% 
     $0.17 - $0.55  
     4.17%

Valuation
of the 2024 Convertible Note and SPA Warrant

The
Company utilized a Monte-Carlo simulation to value the 2024 Convertible Note 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, were utilized to estimate the fair value of the associated liabilities. The Company measures the fair values
at each reporting period, with changes in fair values recorded within other income/(expense) in the Company’s consolidated statements
of operations.

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

    Estimated volatility  
    Range of probabilities  
    Risk