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ANNUAL FINANCIAL STATEMENTS
Notes to the financial statements
continued
for the year ended 30 September 2014
198
Tiger Brands Limited Integrated Annual Report
2014
23 Share-based payment plans
continued
23.3
Black Managers Trust II and Brimstone participation right schemes (equity settled)
continued
Volatility is measured as the annualised standard deviation of the daily price changes in the underlying
share on the assumption that the share price is log-normally distributed. Historical daily share price data
was used to estimate the expected volatility.
Participation rights were valued using the Monte-Carlo simulation approach with the “market variable”
being the Tiger Brands share price.
The path dependency of the option results from the relationship between the Tiger Brands share price
and the strike price of the option, by virtue of the impact on the strike price of dividends paid by Tiger
Brands during the life of the BEE Phase II transaction.
The expense recognised for employee services received during the year to 30 September 2014 is
R19,9 million (2013: R14,1 million)
The following table illustrates the number of, and movements in, share participation rights during the year:
2014
Restated*
2013
Number
Number
Outstanding at the beginning of the year
2 109 644
2 142 132
Granted during the year
720 800
117 000
Forfeited during the year
(145 059)
(144 736)
Shares sold (death of employees)
(3 029)
(4 752)
Outstanding at the end of the year
2 682 356
2 109 644
Exercisable at the end of the year
–
–
*
The amounts have been restated due to the adoption of IAS 19R.
A risk-free rate was constructed using a zero-coupon ZAR swap interest rate curve as at the valuation
date using a raw interpolation bootstrapping algorithm, with inputs from South African money-market
rates (interbank acceptance rates and forward rate agreement (FRA) rates) and swap rates, as published
by Bloomberg.
Date of grant
Initial strike
price of
participation
rights
(rand)
Expiry date
Market price
of the
underlying
stock at
grant date
(rand)
Expected
volatility of
the stock
over the
remaining
life of the
participation
right
(%)
Expected
dividend
yield of
the stock
over the
remaining
life of the
participation
right
(%)
31/07/2013
168,03 31/12/2018
317,00
23,6
2,7
01/01/2014
173,76 31/12/2018
264,80
23,6
2,7
31/01/2014
169,92 31/12/2018
266,00
23,6
2,7
31/07/2014
174,30 31/12/2018
308,75
23,6
2,7