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Derivative Financial Instruments - Warrants | 12 Months Ended
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Dec. 31, 2021
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 assumptions used to determine the fair value of the warrants using the Black-Scholes option pricing model were:
| As of December 31, |  |
| 2021 |  | 2020 |  |
Fair value of Cardiff Oncology common stock | $6.01 |  | $17.99 |  |
Expected warrant term | 1.1 years |  | 2.1 years |  |
Risk-free interest rate | 0.41 | % |  | 0.13 | % |  |
Expected volatility of Cardiff Oncology common stock | 83 | % |  | 116 | % |  |
Dividend yield | 0 | % |  | 0 | % |  |
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.
(in thousands, except for number of warrants) |  |  |  |  |  |
Date |  | Description |  | Number of Warrants |  | Derivative Instrument Liability
December 31, 2019 |  | Balance of derivative financial instruments—warrants liability |  | 64,496 |  |  | $ | 4 |
|  | Change in fair value of derivative financial instruments—warrants during the year recognized as a gain in the statement of operations |  | — |  |  | 281 |
December 31, 2020 |  | Balance of derivative financial instruments—warrants liability |  | 64,496 |  |  | 285 |
|  | Change in fair value of derivative financial instruments—warrants during the year recognized as a loss in the statement of operations |  | — |  |  | (285) |
December 31, 2021 |  | Balance of derivative financial instruments—warrants liability |  | 64,496 |  |  | $ | — |

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI http://asc.fasb.org/topic&trid=2229140 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 40 -Section 50 -Paragraph 5 -Subparagraph (f) -URI http://asc.fasb.org/extlink&oid=123477628&loc=d3e90205-114008 + Details
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