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Basis of Presentation and Summary of Significant Accounting Policies (Policies)

9 Months Ended

Dec. 31, 2020

The accompanying condensed consolidated financial statements and related notes should be read in conjunction with the consolidated financial statements and related notes contained in the Company’s Annual Report on Form 10-K for the year ended March 31, 2020 filed with the U.S. Securities and Exchange Commission (the “SEC”) on May 22, 2020 (the “2020 10-K”). The condensed consolidated financial statements have been prepared in accordance with the rules and regulations of the SEC related to interim financial statements. Certain information and footnote disclosures normally included in financial statements prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) have been condensed or omitted pursuant to such rules and regulations. The financial information contained herein is unaudited; however, management believes all adjustments have been made that are necessary to present fairly the results for the interim periods. All such adjustments are of a normal and recurring nature. The results of operations for the interim periods are not necessarily indicative of the results to be expected for the full year.

The Company’s condensed consolidated financial statements include the accounts of Tyme Technologies, Inc. and its subsidiary, Tyme Inc. All intercompany transactions and balances have been eliminated in consolidation. Any reference in these notes to applicable guidance is meant to refer to GAAP as found in the Accounting Standards Codification (“ASC”) and Accounting Standards Update (“ASU”) of the Financial Accounting Standards Board (“FASB”).

Principles of Consolidation

The Company’s significant accounting policies are disclosed in the audited financial statements for the year ended March 31, 2020 included in the Company’s 2020 10-K.

Reclassifications

The Company has reclassified certain prior period amounts to conform to the current period presentation. These reclassifications have no effect on the previously reported net loss or cash flows.

Fair Value of Financial Instruments

The carrying amounts reported in the Company’s condensed consolidated financial statements for cash, accounts payable, and other current liabilities approximate their respective fair values because of the short-term nature of these accounts. The fair value of the severance payable approximates the carrying value, which represents the present value of future severance payments. The fair value of the derivative liability is discussed in Note 6.

Derivative Warrant Liability

Certain freestanding common stock warrants that are related to the issuance of common stock are classified as liabilities and recorded at fair value due to characteristics that require liability accounting, primarily the obligation to issue registered shares of common stock upon notification of exercise or certain price protection provisions. Warrants of this type are subject to re-measurement at each balance sheet date and any change in fair value is recognized as a component of other income (expense) in the condensed consolidated statement of operations. As noted in Note 8, Stockholders’ Equity, the Company classifies a warrant to purchase shares of its common stock as a liability on its condensed consolidated balance sheet if the warrant is a free-standing financial instrument that contains certain price protection features that cause the warrants to be treated as derivatives or requires the issuance of registered common shares upon exercise. Each warrant of this type is initially recorded at fair value on date of grant using the Monte Carlo simulation model or the Black-Sholes model, and is subsequently re-measured to fair value at each subsequent balance sheet date. Changes in fair value of the warrant are recognized as a component of other income (expense) in the consolidated statement of operations. The Company will continue to adjust the liability for changes in fair value until the earlier of the exercise or expiration of the warrant. The Company utilizes Level 3 fair value criteria to measure the fair value of the warrants (see Note 6).

Risks and Uncertainties

The Company is subject to those risks associated with any biotechnology company that has substantial expenditures for research and development. There can be no assurance that the Company’s research and development projects will be successful, that products developed will obtain necessary regulatory approval or that any approved product will be commercially viable. In addition, the Company operates in an environment of rapid technological change and is largely dependent on the services of its employees and consultants, as well as third party contractors.

Current Economic Conditions

In March 2020, the World Health Organization categorized the novel coronavirus (COVID-19) as a pandemic and the United States declared the COVID-19 outbreak a national emergency. The COVID-19 pandemic, and actions taken by governments and others to reduce its spread, including travel restrictions, shutdowns of businesses deemed non-essential, and stay-at-home or similar orders, has negatively impacted the global economy, financial markets, and the Company’s industry and has disrupted day-to-day life and business operations. Even as certain restrictions have been lifted, new processes implemented and vaccines begin to be distributed and administered, the Company believes that the current economic conditions are likely to continue to have a negative impact for the foreseeable future, and the extent to which they may impact the Company’s operations, liquidity and financial condition remains uncertain and may be significant.

Recent Accounting Pronouncements

In August 2018, the FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework-Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”), which modifies the disclosure requirements on fair value in Topic 820. Under this ASU, certain disclosure requirements for fair value measurements are eliminated, amended or added. The guidance is effective for the Company fiscal year and interim periods within those fiscal years beginning after December 15, 2019. The Company has adopted ASU 2018-13 using a prospective method effective April 1, 2020. The adoption of this ASU did not have a material effect on the Company’s financial statements and related disclosures. See Note 6.

In August 2020, the FASB issued ASU No. 2020-06, Debt - Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging - Contracts in Entity’s Own Equity (Subtopic 815-40). ASU No. 2020-06 eliminates the beneficial conversion and cash conversion accounting models for convertible instruments. It also amends the accounting for certain contracts in an entity’s own equity that are currently accounted for as derivatives because of specific settlement provisions. In addition, the new guidance modifies how particular convertible instruments and certain contracts that may be settled in cash or shares impact the diluted earnings per share (“EPS”) computation.

The amendments in ASU No. 2020-06 are effective for public business entities that meet the definition of an SEC filer, excluding entities eligible to be smaller reporting companies as defined by the SEC, for fiscal years beginning after December 15, 2021, including interim periods within those fiscal years. For all other entities, the amendments are effective for fiscal years beginning after

December 15, 2023, including interim periods within those fiscal years. Early adoption is permitted, but no earlier than fiscal years beginning after December 15, 2020, including interim periods within those fiscal years. FASB also specified that an entity should adopt the guidance as of the beginning of its annual fiscal year and is not permitted to adopt the guidance in an interim period. The Company is assessing the impact on its consolidated financial statements and disclosures.

Fair Value Measurements

Fair value is defined as the price that would be received if selling an asset or paid to transfer a liability in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants on the measurement date.

The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets (Level 1), and the lowest priority to unobservable inputs (Level 3). The Company’s financial assets are classified within the fair value hierarchy based on the lowest level of inputs that is significant to the fair value measurement. The three levels of the fair value hierarchy, and their applicability to the Company’s financial assets, are described below.

Level 1: Unadjusted quoted prices in active markets that are accessible at the measurement date of identical, unrestricted assets.

Level 2: Quoted prices for similar assets, or inputs that are observable, either directly or indirectly, for substantially the full term through corroboration with observable market data. Level 2 includes investments valued at quoted prices adjusted for legal or contractual restrictions specific to the security.

Level 3: Pricing inputs are unobservable for the assets. Level 3 assets include private investments that are supported by little or no market activity. Level 3 valuations are for instruments that are not traded in active markets or are subject to transfer restrictions and may be adjusted to reflect illiquidity and/or non-transferability, with such adjustment generally based on available market evidence. In the absence of such evidence, management’s best estimate is used.

An adjustment to the pricing method used within either Level 1 or Level 2 inputs could generate a fair value measurement that effectively falls in a lower level in the hierarchy. The Company had no material re-measurements of fair value with respect to financial assets and liabilities, during the periods presented, other than those assets and liabilities that are measured at fair value on a recurring basis.

The Company has segregated all financial assets and liabilities that are measured at fair value on a recurring basis into the most appropriate level within the fair value hierarchy based on the inputs used to determine the fair value at the measurement date in the table below. The fair value measurement for the warrants issued in connection with the registered offering that closed on April 2, 2019 (the “April 2019 Warrants”) and the warrant issued in conjunction with the Exchange Agreements (see Note 8 for transaction details) (the “May 2020 Warrant”) are based on significant inputs not observable in the market and are classified as Level 3 liability as of March 31, 2020 and December 31, 2020, respectively.

The fair value of the April 2019 Warrants was determined using a Monte Carlo simulation model and included significant unobservable inputs including volatility and the probability of fundamental transactions occurring (see Note 8 for further discussion of the issuance of common stock from an underwritten registered offering). The fair value of the May 2020 Warrant was determined using the Black Scholes model and included significant unobservable inputs such as volatility. Both models incorporated several observable assumptions at each valuation date including: the price of the Company’s common stock on the date of valuation, the remaining contractual term of the warrant and the risk free interest rate over the term. Transfers are calculated on values as of the transfer date. There were no transfers between Levels 1, 2 and 3 during the nine months ended December 31, 2020.

The following table details key inputs and assumptions used to estimate the fair value of the May 2020 Warrant as of December 31, 2020 using a Black Scholes model and April 2019 Warrants liability as of March 31, 2020 using the Monte Carlo simulation models:

	May 2020 Warrant			April 2019 Warrants
	December 31, 2020			March 31, 2020
Stock price	$	1.22		$	1.10
Volatility		72	%		60	%
Remaining term (years)	3.25				4.01
Expected dividend yield		—			—
Risk-free rate		0.19	%		0.33	%

The Company’s financial instruments measured at fair value on a recurring basis are as follows:

Description	Total		Quoted prices in active markets		Significant other observable inputs		Significant unobservable inputs
			(Level 1)		(Level 2)		(Level 3)
December 31, 2020
Warrant liability	$	1,018,977		—		—	$	1,018,977
March 31, 2020
Warrant liability	$	3,639,000		—		—	$	3,639,000

The following table summarizes activity for liabilities measured at fair value using Level 3 significant unobservable inputs:

	December 31, 2020
Beginning balance, March 31, 2020	$	3,639,000
Change in fair value of April 2019 Warrants liability before May 20, 2020 Warrant Exchange		3,661,000
Less: fair value of April 2019 Warrants as of May 20, 2020		(7,300,000	)
Plus: fair value of May 2020 Warrant as of May 20, 2020		1,677,528
Change in fair value of May 2020 Warrant liability from May 20, 2020 to December 31, 2020		(658,551	)
Ending balance, December 31, 2020	$	1,018,977

Stockholders' Equity

Stockholders’ Equity

The following summarizes the common stock warrant activity for the nine months ended December 31, 2020:

	Warrant Shares of Common Stock			Weighted Average Exercise Price
Outstanding at March 31, 2020		8,937,651		$	2.31
Granted		2,166,667			1.80
Exchanged		(8,000,000	)		2.00
Outstanding at December 31, 2020		3,104,318		$	2.77

At each of December 31, 2020 and March 31, 2020, 3,074,551 and 8,907,884, respectively, of common stock purchase warrants relating to securities purchase agreements were outstanding and exercisable.

Warrants

The Company has warrants to purchase its common stock outstanding as of December 31, 2020, as follows:

Issued	Classification	Warrants Outstanding		Exercise Price		Expiration
December 2015	Equity		446,500	$	5.00	December 2025
February 2016	Equity		461,384	$	5.00	February 2026
July 2016	Equity		29,767	$	5.00	June 2026
May 2020	Liability		2,166,667	$	1.80	April 2024

At-the-Market Financing Facility

On October 18, 2019, the Company entered into the Sale Agreement with Jefferies, which was amended on August 12, 2020, pursuant to which the Company may, from time to time, sell shares of common stock, having an aggregate offering price of up to $30.0 million through Jefferies, as the Company’s sales agent. As indicated in the amendment, the shares will be offered and sold by the Company pursuant to its currently effective Registration Statement on Form S-3, as amended (Reg. No. 333-245033). Any sales of common stock pursuant to the Sales Agreement will be made by methods deemed to be an “at-the-market offering” as defined in Rule 415 promulgated under the Securities Act of 1933, as amended. Jefferies will use commercially reasonable efforts to sell the shares from time to time, based on the instructions of the Company. The Company will pay Jefferies a commission rate of three percent (3%) of the gross proceeds from the sales of shares of Common Stock sold pursuant to the Sale Agreement. Under the Sale Agreement, the Company is not required to use the full available amount authorized and it may, by giving notice as specified in the Sale Agreement, terminate the Sale Agreement at any time.

During the nine months ended December 31, 2020, the Company raised approximately $6.1 million in gross proceeds via sale of 4,453,939 shares of Common Stock. The Company incurred $0.3 million of related costs that partially offset the proceeds. At December 31, 2020, there remained approximately $22.2 million of availability to sell shares through the Jefferies ATM.

Securities Purchase Agreement

On January 7, 2020, the Company and Eagle entered into the Eagle SPA, pursuant to which the Company issued and sold to Eagle 10,000,000 shares of common stock, at a price of $2.00 per share. The Eagle SPA provides that Eagle will, subject to certain conditions, make an additional payment of $20 million upon the occurrence of a milestone event, which is defined as the earlier of (i) achievement of the primary endpoint of overall survival in the TYME-88-Panc pivotal trial; (ii) achievement of the primary endpoint of overall survival in the PanCAN Precision Promise SM-88 registration arm; or (iii) FDA approval of SM-88 in any cancer indication. This payment would be split into a $10 million milestone cash payment and a $10 million investment in TYME at a 15% premium to the then prevailing market price. Eagle’s shares will be restricted from sale until the earlier of three months following the milestone event or the three-year anniversary of the agreement.

April 2019 - Registered Offering

In April 2019, the Company completed an underwritten registered offering (the “Offering”) of 8,000,000 shares of its common stock at a price of $1.50 per share. The total net proceeds of the Offering were $11.3 million after deducting underwriter’s discounts and before expenses related to the Offering.

As part of the Offering, the investors received warrants to purchase up to 8,000,000 shares of the Company’s Common Stock at an exercise price of $2.00 per share (the “April 2019 Warrants”).

The April 2019 Warrants, prior to their exchange, discussed below, participated with common stock on a one-for-one basis for distribution dividends or other assets of the Company.

Exchange Agreements

On May 20, 2020, the Company entered into exchange agreements with holders (the “Holders”) of the April 2019 Warrants. The April 2019 Warrants were offered and issued pursuant to the Company’s previous shelf registration statement on Form S-3 (File No. 333-211489).

Pursuant to exchange agreements (the “Share Exchange Agreements”) with Holders of the April 2019 Warrants to purchase 5,833,333 shares of Common Stock in the aggregate, the Company issued an aggregate of 2,406,250 shares of common stock (the “Exchange Shares”) in exchange for such April 2019 Warrants. Concurrently therewith, each such Holder executed and delivered to the Company a leak-out agreement (a “Share Leak-Out Agreement”) that contained trading restrictions with respect to the Exchange Shares, which (i) for the first 90 days, prohibit any sales of Exchange Shares, (ii) for the subsequent 90 days, limit sales of Exchange Shares on any day to 2.5% of that day’s trading volume of Common Stock, and (iii) prohibit new short positions or short sales on Common Stock for the combined 180 day period.

The Company also entered into an exchange agreement (the “Warrant Exchange Agreement”) with another Holder of April 2019 Warrants to purchase 2,166,667 shares of Common Stock in the aggregate. Pursuant to the Warrant Exchange Agreement, the Company issued such Holder a new warrant (the “May 2020 Warrant”) to purchase the same number of shares of Common Stock. The May 2020 Warrant has the same expiration date, April 2, 2024, as the April 2019 Warrants, but has an exercise price of $1.80 and does not include the price protection, anti-dilution provisions or other restrictions on Company action from the April 2019 Warrants. Concurrently therewith, such Holder executed and delivered to the Company a leak-out agreement that contained trading restrictions on sales of Common Stock issued upon exercise of the May 2020 Warrant that are substantially similar to the restrictions on Exchange Shares in the Share Leak-Out Agreement, provided that the leak-out restrictions will only apply to the first 893,750 shares of Common Stock issued pursuant to the May 2020 Warrant.

The April 2019 Warrants were remeasured as of May 20, 2020, before the exchange, using the Monte Carlo pricing simulation resulting in a fair value of approximately $7.3 million, and the change in fair value from March 31, 2020 to the fair value before the exchange of approximately $3.7 million was recorded as an expense component of other income (expense) within the condensed consolidated statement of operations. The key assumptions in applying the Monte Carlo simulation model were as follows: $1.70 stock price, 73% volatility, 3.87 years remaining term, 0.28% risk free rate and the probability of fundamental transactions occurring. The change in fair value of the April 2019 Warrants for the nine months ended December 31, 2019 was $2.6 million and recorded as a component of other income (expense) within the condensed consolidated statement of operations.

At May 20, 2020, the fair value of the 2,406,250 shares issued under the Share Exchange Agreements was approximately $3.4 million and resulted in a gain on exchange of approximately $1.9 million.

The exercise price of the May 2020 Warrant is subject to adjustment upon the occurrence of specific events, including stock dividends, stock splits, combinations and reclassifications of the Company’s Common Stock.

The Company determined that the May 2020 Warrant should be recorded as a derivative liability on the condensed consolidated balance sheet due to the May 2020 Warrant’s contractual provisions requiring issuance of registered common shares upon exercise. At May 20, 2020, the May 2020 Warrant was recorded at the fair value of $1.7 million as determined using the Black Scholes model and the change in fair value before and after the exchange of $0.3 million was recorded as a gain on warrant exchange as a component of other income (expense) within the condensed consolidated statement of operations. The key assumptions in applying the Black Scholes model were as follows: $1.64 stock price, 73% volatility, 3.87 years remaining term, 0.27% risk free rate and 7% discount for lack of marketability. The change in fair value of the May 2020 Warrant from May 20, 2020 through December 31, 2020 of $0.7 million income was recorded as a component of other income (expense) within the condensed consolidated statement of operations.