Company: OCEA
Filing Date: 2025-04-08
Form Type: 10-K
Source: 0001641172-25-003155
Chunk: 915

Company: Ocean Biomedical, Inc.
Filing Date: 2025-04-08
Form: 10-K
Item: Item 6
Chunk 915
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 not pursued by us (“Legacy
Ocean IPO filings”). We used the mid-range price per share based upon our Legacy Ocean IPO filings. Starting in September 2022,
following the execution of the Business Combination Agreement with AHAC, the value of the Second Street Warrants was based on the closing
price of AHAC’s Class A common stock as reported on the Nasdaq Global Select Market on the grant date. Following the Closing of
the Business Combination, the value of warrants issued by us was based on the closing price of our common stock as reported on the Nasdaq
Capital Market on the Grant date. We estimate the fair value, based upon these values, using the Black-Scholes option pricing model and
Level 3 inputs, which is affected principally by the life of the warrant, the volatility of the underlying shares, the risk-free interest
rate, and expected dividends. Expected volatility is based on the historical share volatility of a set of comparable publicly traded
companies over a period of time equal to the expected term of the warrants. The risk-free interest rate is determined by reference to
the U.S. Treasury yield curve in effect at the time of grant of the warrant for time periods approximately equal to the expected term
of the warrant. Expected dividend yield is zero based on the fact that we have never paid cash dividends and do not expect to pay any
cash dividends in the foreseeable future. We 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 W