Derivative Financial Instruments - Warrants

12 Months Ended

Dec. 31, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Financial Instruments - Warrants

Derivative Financial Instruments — Warrants

Certain warrants issued in connection with the Company’s equity financings are accounted for as derivative liabilities. Accordingly, the warrants are remeasured at each balance sheet date based on their estimated fair value using the Black-Scholes option pricing model. Changes in fair value are recorded within Company’s statements of operations.

The range of assumptions used to determine the fair value of the warrants valued using the Black-Scholes option pricing model during the periods indicated was:


	Year ended December 31,
	2020		2019
Fair value of Cardiff Oncology common stock	$1.01 - $17.99		$1.24 - $3.75
Expected warrant term	2.1 - 3.1 years		3.1 - 4.1 years
Risk-free interest rate	0.13% - 1.62%		1.56% - 2.49%
Expected volatility	110% - 118%		102% - 111%
Dividend yield	—%		—%

	As of December 31, 2020
Weighted Average(1)(2):
Fair value of Cardiff Oncology common stock	$17.99
Expected warrant term	2.1 years
Risk-free interest rate	0.13	%
Expected volatility of Cardiff Oncology common stock	116	%
Dividend yield	0	%

(1) Weighted average is only disclosed for periods after January 1, 2020 under the adoption of ASU 2018-13.

(2) The weighted average was calculated using the relative fair value method.

Expected volatility is based on the historical volatility of Cardiff Oncology’s common stock. The warrants have a transferability provision and based on guidance for instruments issued with such a provision, Cardiff Oncology used the remaining contractual term as the expected term of the warrants. The risk-free interest rate is based on the U.S. Treasury security rates consistent with the expected remaining term of the warrants at each balance sheet date.

The following table sets forth the components of changes in the Company’s derivative financial instruments—warrants liability balance, valued using the Black-Scholes option pricing method, for the periods indicated.


Date	Description	Number of Warrants	Derivative Instrument Liability
December 31, 2018	Balance of derivative financial instruments—warrants liability	64,496	$	32,315

	Change in fair value of derivative financial instruments—warrants during the year recognized as a gain in the statement of operations	—	(28,188)
December 31, 2019	Balance of derivative financial instruments—warrants liability	64,496	4,127

	Change in fair value of derivative financial instruments—warrants during the year recognized as a loss in the statement of operations	—	280,844
December 31, 2020	Balance of derivative financial instruments—warrants liability	64,496	$	284,971

The remaining contractual term of the warrants outstanding at December 31, 2020 and 2019 was approximately 2.1 and 3.1 years, respectively.