Company: OCEA
Filing Date: 2025-04-08
Form Type: 10-K
Source: 0001641172-25-003155
Chunk: 400

Company: Ocean Biomedical, Inc.
Filing Date: 2025-04-08
Form: 10-K
Item: Item 3
Chunk 400
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 expense the amount as interest in Other expenses.

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 values of the Backstop Put Option Liability
and Fixed Maturity Consideration were calculated as the average present value over 50,000 simulated paths. The Company measures the fair
values at each reporting period, with changes in fair 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,