Company: OCEA
Filing Date: 2025-05-15
Form Type: 10-Q
Source: 0001641172-25-011080
Chunk: 147

Company: Ocean Biomedical, Inc.
Filing Date: 2025-05-15
Form: 10-Q
Item: Item 8
Chunk 147
---
-  
     -  
     -  
     - 
  
    Total financial liabilities 
    $-  
    $-  
    $(77,093) 
    $(77,093)

    (1)
    Refer to Note 6, Short-Term Loan Agreements, for a reconciliation of the fair value of the 2024 Convertible Note to the total short-term loans, net of issuance costs in the Company’s condensed consolidated balance sheets.

During the three months ended
March 31, 2025 and 2024, there were no transfers between Level 1, Level 2, and Level 3.

    17

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 value of the Backstop Put Option Liability and Fixed Maturity were calculated
as the average present value over 50,000 simulated paths. The Company measures the fair value at each reporting period, with subsequent
fair values to be recorded within other income (expense) in its condensed 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

    March 31, 2025

    130.0
    %

    $0.03 - 0.05

    4.08
    %
  
    March 31, 2024

    137.5
    %

    $1.95 – $13.93

    4.80
    %

Valuation of the 2024Convertible Note and SPA Warrant

The Company 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, risk-free rate, the probability of various scenarios, including subsequent placement and change in control, and various simulated
paths, were utilized to estimate