Company: OCEA
Filing Date: 2025-04-08
Form Type: 10-K
Source: 0001641172-25-003155
Chunk: 820

Company: Ocean Biomedical, Inc.
Filing Date: 2025-04-08
Form: 10-K
Item: Item 5
Chunk 820
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 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, 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:

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

    2024 Convertible Notes 
    Estimated volatility  
    Range of probabilities  
    Risk-free rate 
  
    2024 
     55% 
     0%
- 65% 
     4.37%
  
    2023 
     50% 
     5%
- 80% 
     5.30%
  
    SPA Warrants 

    2024 
     115% 
     0% - 65% 
     4.29%
  
    2023 
     100% 
     5% - 80% 
     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