Anglo American Annual Report 2012

FINANCIAL STATEMENTS NOTES TO THE FINANCIAL STATEMENTS29. CALLED-UP SHARE CAPITAL AND SHARE-BASED PAYMENTS continuedSchemes settled by award of optionsThe fair value of options granted under the SAYE scheme, being the only material option scheme, was calculated using a Black Scholes model. Theassumptions used in these calculations for the current and prior years are set out in the table below:Arrangement (1) 2012 SAYE 2011 SAYEDate of grant 20/04/12 20/04/11Number of instruments 245,790 115,026Exercise price (£) 19.68 25.47Share price at the date of grant (£) 24.60 31.85Contractual life (years) 3.5-7.5 3.5-7.5Vesting conditions (2) 3-7 3-7Expected volatility 40% 40%Expected option life (years) 3.5-7.5 3.5-7.5Risk free interest rate (weighted average) 0.9% 2.3%Expected departures 5% pa 5% paFair value per option granted (weighted average) (£) 6.14 11.77(1)The number of instruments used in the fair value models may differ from the total number of instruments awarded in the year due to awards made subsequent to the fair value calculations. Thefair value calculated per the assumptions above has been applied to the total number of awards. The difference in income statement charge is not considered significant.(2)Number of years of continuous employment.The expected volatility is based on historic volatility over the last five years. The expected life is the average expected period to exercise. The risk free interestrate is the yield on zero-coupon UK government bonds with a term similar to the expected life of the option.A reconciliation of option movements for the more significant share-based payment arrangements over the year to 31 December 2012 and the prior year isshown below. All options outstanding at 31 December 2012 with an exercise date on or prior to 31 December 2012 are deemed exercisable. Options wereexercised regularly during the year and the weighted average share price for the year ended 31 December 2012 was £21.43 (2011: £27.96).Executive Share Option Scheme (1)Options to acquire ordinary shares of 54 86 /91 US cents were outstanding under the terms of this scheme as follows:2012 2011Weightedaverageexerciseprice £Weightedaverageexerciseprice £NumberNumberOutstanding at 1 January 2,500,107 11.42 3,488,329 11.22Exercised in year (809,259) 10.83 (949,341) 10.75Forfeited in year (56,051) 13.42 (38,881) 10.09Outstanding at 31 December 1,634,797 11.64 2,500,107 11.42(1)The early exercise of share options is permitted at the discretion of the Company upon, inter alia, termination of employment, ill health or death.SAYE Share Option Scheme (1)Options to acquire ordinary shares of 54 86 /91 US cents were outstanding under the terms of this scheme as follows:2012 2011Weightedaverageexerciseprice £Weightedaverageexerciseprice £NumberNumberOutstanding at 1 January 1,520,677 12.91 1,669,812 12.33Granted in year 245,790 24.60 115,026 25.47Exercised in year (589,299) 10.11 (125,333) 14.99Forfeited in year (128,664) 20.86 (138,828) 14.47Outstanding at 31 December 1,048,504 16.26 1,520,677 12.91(1)The early exercise of share options is permitted at the discretion of the Company upon, inter alia, termination of employment, ill health or death.30. CONSOLIDATED EQUITY ANALYSISFair value and other reserves comprise:ConvertibledebtreserveAvailablefor salereserveCashflow hedgereserveOtherreserves (1)Totalfair valueand otherreservesUS$ millionBalance at 1 January 2011 355 468 38 831 1,692Total comprehensive income/(expense) – 108 (33) – 75Other – – – (7) (7)Balance at 1 January 2012 355 576 5 824 1,760Total comprehensive income – 118 10 – 128Conversion of convertible bond (355) – – – (355)Other – – – (667) (667)Balance at 31 December 2012 – 694 15 157 866(1)Following a capital reduction in the Corporate segment, $667 million has been transferred from the legal reserve to retained earnings, reducing the legal reserve from $675 million to $8 million.Other reserves also comprise a revaluation reserve of $34 million (2011: $34 million) and a capital redemption reserve of $115 million (2011: $115 million).180 Anglo American plc Annual Report 2012