Company: OCEA
Filing Date: 2025-04-08
Form Type: 10-K
Source: 0001641172-25-003155
Chunk: 746

Company: Ocean Biomedical, Inc.
Filing Date: 2025-04-08
Form: 10-K
Item: Item 5
Chunk 746
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 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-free rate 
  
    2024 Convertible Note 
     55% 
     0% - 65%  
     4.37%
  
    SPA Warrants 
     115% 
     0% - 65%  
     4.29%

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 measures the fair value at each reporting period, with changes in fair value recorded within other income/(expense) in the
Company’s consolidated statements of operations. As of December 31, 2024 and 2023, it was determined that the fair value of the Ayrton Note
Purchase Option was zero.

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

    Estimated volatility 
    Risk-free
rate
  
    Ayrton Note Purchase Option 
     13% 
     4.4%

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