Company: OCEA
Filing Date: 2025-01-13
Form Type: 10-Q
Source: 0001493152-25-001880
Chunk: 95

Company: Ocean Biomedical, Inc.
Filing Date: 2025-01-13
Form: 10-Q
Item: Item 1
Chunk 95
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 Consideration

We
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. We measure the fair value at each reporting period,
with subsequent fair values to be recorded within other income (expense) in our condensed consolidated statements of operations.

Valuation
of 2023 Convertible Note and SPA Warrant

We
utilized a Monte-Carlo simulation at inception to value the 2023 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, 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. We will continue to measure the fair value at each reporting
period, with subsequent fair values to be recorded within other income (expense) in our condensed consolidated statements of operations.

Valuation
of the Ayrton Note Purchase Option

We
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. We will
continue to measure the fair value at each reporting period, with subsequent fair values to be recorded within other income (expense)
in our condensed consolidated statements of operations.

Fair
Values Accounting for Equity-Classified Warrants and Stock-Based Awards

We
measure and record the expense related to warrants and stock-based awards based upon the fair value at the date of grant. We estimate
the grant date fair value of each common stock option using the Black-Scholes Merton model, which requires the input of highly subjective
assumptions and management’s best estimates. These estimates involve inherent uncertainties and management’s judgement. If
factors change and different assumptions are used, our expense recognition could be materially different in the future.

Prior
to September 2022, the value of the warrants issued was estimated considering,