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Press Ctrl+D to deselect. Then go to Filter > Blur > Gaussian blur menu, adjust Radius value: 5px. Click OK to apply Gaussian Blur filter, now you got shadows surrounding the iceberg. We didn't need shadows on the upper part of the iceberg, so just delete it using Eraser tool.
Create another new layer on top the previous layer, change the blend mode to Soft Light. Ctrl+Click on the iceberg01 layer thumbnail to load selection, then Fill it with 100% black. Using move tool, drag the new iceberg shadow to left like shown in the image below.
Still in the same layer, add a layer mask into it. Mask certain parts using Brush tool to hide unwanted shadow areas. See image below for guidance.
Open whale image, create selection of the whale using any selection tool you like ( I'm using Magnetic Lasso tool ). As usual, copy-paste the selected whale into our working document. Place it between layer group 'cruise' and 'iceberg01', lets call this layer 'whale'.
Adjust whale size using free transform command, and then go to Edit > Transform > Flip Horizontal to flip it.Create a new layer, name it 'splash' because we're gonna draw some water splash in this layer. Grab Brush tool from the toolbar, pick a spatter brush and lower the opacity to 50%. Choose white as brush color then click several times ( don't click and drag, the result will be different ) in certain areas where water splash should appear, use your imagination.
Open the second whale image. Select the whale silhouette (I'm using magic wand tool to select it), then copy-paste selected image into our working document.
Place whale silhouette layer below whale layer, rename its layer to 'shadows'. Flip whale silhouette horizontally then resize until it fits the whale body. Erase unwanted shadows parts using hard round Eraser tool, see below image for guidance.
Now we need to fake the 'deep underwater' blurry effect, using Blur tool with 50% strength (see below image for guidance). Add layer mask, then using the soft round Brush tool with 25% opacity, mask whale's shadow to create the semi-transparent look.