Company: OCEA
Filing Date: 2025-01-13
Form Type: 10-Q
Source: 0001493152-25-001880
Chunk: 33

Company: Ocean Biomedical, Inc.
Filing Date: 2025-01-13
Form: 10-Q
Item: Item 1
Chunk 33
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ptions Used in Black-Scholes Merton Model

    Estimated
    
    volatility

    Range
    of 
    probabilities

    Risk-free
    rate

    2024 Convertible Note

    50.0
    %

    0%-65
    %

    4.8
    %
  
    SPA Warrant

    100.0
    %

    0%-65
    %

    3.6
    %

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% 
     5.0%

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, the 2024 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  
    2023/2024 Convertible Notes  
    SPA Warrants  
    Ayrton Note Purchase Option 
  
    Balances as of January 1, 2023 
    $-  
    $-  
    $-  
    $-  
    $- 
  
    Initial fair value measurement 
     (12,414) 
     (3,166) 
     (5,628) 
     (1,932) 
     (269)
  
    Changes in fair value 
     (46,109) 
     (957)