| Share-Based Payment Best Practice Series | ESO Valuation Disclosure - Dow 30 for FY2009 | ||||||||||||||
| Symbol | Company Name | HQ | Auditor | Expected Volatility | Contractual Term (y) | Expected Term (y) | Vesting Period (y) | ESO Fair Value | Exercise Multiple | Forfeiture Rate | Valuation Model | Nr Granted (millions) | Interest Rate | Dividend Yield | Comments |
| AA | Alcoa Inc. | PA | PwC | 59.00% | 6 | 4.2 | 3 | 3.34 | 1.43 | 3.00% | Lattice | 27.100 | 1.48% | 1.20% | Exp Vola range 38-76%; Exer Multiple based on hist avg; Int Rate range 0.3-2.65% |
| AXP | American Express Company | NY | PwC | 36.00% | 10 | 4.8 | 4 | 4.54 | B-S-M | 9.165 | 2.10% | 4.10% | Exp Vola based on implied and hist vola | ||
| BA | The Boeing Company | WA | Deloitte | 39.00% | 10 | 6.0 | 3 | 11.12 | B-S | 7.546 | 2.03% | 2.40% | Exp Vola based on implied and hist vola; Exp Term SAB 107 | ||
| BAC | Bank of America Corporation | NC | PwC | - | - | - | - | - | - | - | - | - | - | - | |
| CAT | Caterpillar Inc. | IL | PwC | 36.02% | 10 | 8.0 | 3 | 7.10 | Lattice | 6.823 | 1.58% | 3.07% | Exp Vola range 35.75-61.02%; Int Rate range 0.17-2.99% | ||
| CSCO | Cisco Systems, Inc. | CA | PwC | 36.00% | 9 | 5.9 | 3 | 6.60 | Binomial Lattice | 9.000 | 3.00% | 0.00% | Skewness -0.19, Kurtosis 4.50; Exp Vola based on implied vola | ||
| CVX | Chevron Corporation | CA | PwC | 30.20% | 10 | 6.0 | 3 | 15.36 | B-S | 14.709 | 2.10% | 3.20% | Exp Vola based on hist vola; Exp Term based on hist exer and pos-vest cancellation | ||
| DD | E.I. du Pont de Nemours and Company | DE | PwC | 27.61% | 6 | 5.3 | 3 | 2.68 | B-S | 15.863 | 2.50% | 7.00% | |||
| DIS | The Walt Disney Company | CA | PwC | 47.00% | 7 | 4 | 8.25 | 1.39 | 7.50% | Binomial Lattice | 17.000 | 2.00% | 1.19% | Termination rate 7.5%; Sensitivity analysis of Exp Vola and Exer Multiple | |
| GE | General Electric Company | CT | KPMG | 49.00% | 10 | 6.8 | 3.81 | B-S | 159.226 | 3.20% | 3.90% | Exp Vola based on implied and hist vola; Dividend Yield based on 5-year hist avg | |||
| HD | The Home Depot, Inc. | GA | KPMG | 41.50% | 10 | 6.0 | 4 | 6.61 | B-S | 49.000 | 2.30% | 3.90% | Vesting Period of 1 to 4 years | ||
| HPQ | Hewlett-Packard Company | CA | E&Y | 43.00% | 8 | 5.1 | 4 | 13.04 | B-S | 21.900 | 2.07% | 0.92% | Exp Vola based on implied vola | ||
| IBM | International Business Machines | NY | PwC | - | - | - | - | - | - | - | - | - | - | - | |
| INTC | Intel Corporation | CA | E&Y | 46.00% | 7 | 4.9 | 4 | 4.72 | B-S | 118.500 | 1.80% | 3.60% | Exp Vola based on implied vola; Exp Term SAB 107 | ||
| JNJ | Johnson & Johnson | NJ | PwC | 19.50% | 10 | 6.0 | 5 | 8.35 | B-S | 21.576 | 2.71% | 3.30% | Vesting Period of 0.5 to 5 years | ||
| JPM | JP Morgan Chase & Co. | NY | PwC | 56.00% | 10 | 6.6 | 5 | 8.24 | B-S | 24.821 | 2.33% | 3.40% | |||
| KFT | Kraft Foods Inc. | IL | PwC | 21.36% | 10 | 6.0 | 3 | 2.68 | B-S | 16.300 | 2.46% | 4.90% | Exp Term SAB 107 | ||
| KO | The Coca-Cola Company | GA | E&Y | 20.00% | 10 | 6.0 | 4 | 6.38 | B-S-M | 34.000 | 2.80% | 3.40% | Exp Vola based on implied and hist vola; Exp Term based on hist exer behavior | ||
| MCD | McDonald's Corporation | IL | E&Y | 24.40% | 10 | 6.2 | 4 | 9.66 | Closed Form | 5.600 | 2.00% | 3.22% | Exp Vola based on hist vola | ||
| MMM | 3M Company | MN | PwC | 30.30% | 10 | 5.9 | 3 | 13.00 | B-S | 1.655 | 2.20% | 2.30% | Exp Vola: avg of 1. 1-year vola, 2. rolling vola, 3. exp life vola, 4. implied vola | ||
| MRK | Merck & Co., Inc. | NJ | Deloitte | 33.80% | 10 | 6.1 | 3 | 4.02 | B-S | 34.279 | 2.20% | 6.30% | Exp Vola based on impl and hist vola; Exp Term base on hist and forecasted exer | ||
| MSFT | Microsoft Corporation | WA | Deloitte | - | - | - | - | - | - | - | - | - | - | - | |
| PFE | Pfizer Inc. | NY | KPMG | 41.36% | 10 | 6.0 | 3 | 3.30 | B-S-M | 49.450 | 2.69% | 4.90% | Exp Vola based on impl vola; Exp Term based on hist exer and post-vest termination | ||
| PG | The Procter & Gamble Company | OH | Deloitte | 21.00% | 10 | 8.7 | 3 | 11.67 | Lattice | 37.623 | 3.60% | 2.00% | Exp Vola range 18-34%; Int Rate range 0.7-3.8% | ||
| T | AT&T Inc. | TX | E&Y | 19.65% | 10 | 7.0 | 5 | 1.84 | B-S | 3.00 | 3.17% | 6.82% | |||
| TRV | The Travelers Companies, Inc. | MN | KPMG | 32.40% | 10 | 6.0 | 3 | 9.54 | B-S | 3.060 | 2.46% | 1.26% | Int Rate range 2.07-2.85%; Exp Vola range 28.2-34.1% | ||
| UTX | United Technologies Corporation | CT | PwC | 36.00% | 10 | 7.7 | 3 | 16.01 | Binomial Lattice | 0.325 | 2.50% | 2.10% | Exp Vola range 30-42%; Exp Term range 7.4-7.9 years | ||
| VZ | Verizon Communications Inc. | NY | E&Y | - | - | - | - | - | - | - | - | - | - | - | |
| WMT | Wal-Mart Stores, Inc. | AR | E&Y | 16.70% | 10 | 3.4 | 5 | 9.97 | B-S-M | 1.712 | 2.00% | 1.90% | Exp Vola based on hist vola | ||
| XOM | Exxon Mobil Corporation | TX | PwC | - | - | - | - | - | - | - | - | - | - | - | |
| Average Calculations | 34.51% | 9.3 | 6.0 | 3.6 | 3.21% | ||||||||||
| Minimum | 16.70% | 6.0 | 3.4 | 3.0 | 0.00% | ||||||||||
| Maximum | 59.00% | 10.0 | 8.7 | 5.0 | 7.00% | ||||||||||
| Source: Company 10-K Reports for FY 2009 | |||||||||||||||
| Prepared by: Nishit Mendiratta, MS | |||||||||||||||
| Updated by: Sunny Liu on September 9, 2010 | |||||||||||||||
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