Company: OCEA
Filing Date: 2025-01-13
Form Type: 10-Q
Source: 0001493152-25-001880
Chunk: 132

Company: Ocean Biomedical, Inc.
Filing Date: 2025-01-13
Form: 10-Q
Item: Item 8
Chunk 132
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 Consideration 
     -  
     -  
     (5,163) 
     (5,163)
  
    2024 Convertible Notes (1) 
     -  
     -  
     (7,913) 
     (7,913)
  
    SPA Warrants 
     -  
     -  
     (3,573) 
     (3,573)
  
    Total financial liabilities 
    $-  
    $-  
    $(73,690) 
    $(73,690)

    (1)
    Refer to Note 6, Short-Term
    Loan Agreements, for a reconciliation of the fair value of the 2024 Convertible Notes to the total short-term loans, net of issuance
    costs in the Company’s condensed consolidated balance sheets.

During
the three and nine months ended September 30, 2024, there were no transfers between Level 1, Level 2, and Level 3.

    17

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 value of the Backstop Put Option Liability
and Fixed Maturity were calculated as the average present value over 50,000 simulated paths. The Company measures the fair value at each
reporting period, with subsequent fair values to be recorded within other income (expense) in its condensed consolidated statements of
operations.

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

    Estimated  volatility  
    Expected future  stock price  
    Risk-free rate 
  
    Backstop Put Option Liability and Fixed Maturity Consideration 
     142.5% 
    $1.95-$13.93  
     3.9%

Valuation
of the 2024 Convertible Notes and SPA Warrants

The
Company utilized a Monte-Carlo simulation at inception to value the 2024 Convertible Notes and SPA Warrants. The Monte-Carlo simulation
is calculated as the average present value over all simulated paths. The key inputs and assumptions used in the Monte-C