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Tiger Brands Limited integrated annual report
2015 157
23 Share-based payment plans
continued
23.2 Black managers participation rights scheme (equity settled)
continued
The following table illustrates the number of, and movements in, share participation rights during the year.
2015
Number
2014
Number
Outstanding at the beginning of the year
3 081 442
2 811 031
Granted during the year
48 000
336 000
Forfeited during the year
(78 086)
(52 575)
Shares sold
(1 720 914)
(13 014)
Outstanding at the end of the year
1 330 442
3 081 442
Exercisable at the end of the year
773 441
–
The weighted average remaining contractual life for share options outstanding as at 30 September 2015 is 12 years
(2014: 13 years).
The weighted average fair value of options granted during the year was R292,02 (2014: R205,06).
The notional exercise price of participation rights at 30 September 2015 was R81,60 per option (2014: R90,04).
The weighted average exercise price of participation rights exercised during 2015 was R86,15 (2014: Rnil).
Participation rights were valued using the Monte-Carlo simulation approach to estimate the average, optimal payoff of
the participation rights using 5 000 permutations. The payoff of each random path was based on: the projected Tiger
Brands share price, outstanding debt projections and optimal early exercise conditions.
Volatility is measured as the annualised standard deviation of the daily price changes in the underlying share under the
assumption that the share price is log-normally distributed. Historical daily share price data was used to estimate the
expected volatility.
The following inputs were used:
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
(%)
31/01/2014
85,84 30/09/2027
266,00
25,3
3,8
31/07/2014
85,87 30/09/2027
308,75
25,3
3,8
31/01/2015
81,91 30/09/2027
394,18
25,3
3,8
31/07/2015
82,47 30/09/2027
284,88
25,3
3,8
The risk-free interest rate was obtained from constructed ZAR swap curves on the valuation dates using key inputs being
South African money-market rates and swap rates as published by Bloomberg.
In terms of the BEE Phase II transaction implemented on 20 October 2009, 2 835 427 Tiger Brands shares
were acquired by the Black Managers Trust II and 1 813 613 shares by Brimstone Investment Corporation
Limited (Brimstone).