TYRATECH, INC. • ANNUAL REPORT 2011 • PAGE 41
term of the SARs using an approach that approximated the
"simplified approach." Using this approach, the Company assigned
an expected term for grants with four year graded
vesting. The expected stock price volatility was determined
by examining the historical volatilities for peers and using the
Company's common stock. Industry peers consist of several
public companies in the biotechnology industry similar in size,
stage of life cycle and financial leverage. The Company will
continue to analyze the historical stock price volatility and
expected term assumption as more historical data for the
Company's common stock becomes available. The risk-free
interest rate assumption is based on the U.S. Treasury instruments
at grant date whose term was consistent with the expected
term of the Company's SARs. The expected dividend
assumption is based on the Company's history and expectation
of dividend payouts.
2011 2010
Valuation assumptions
Expected dividend yield 0% 0%
Expected volatility 86% 85%
Expected term (years) 6.3 5.2-6.3
Risk-free interest rate 2-3% 1.3% - 1.8%
SAR activity during the period indicated as follows:
Weighted
Weighted average Weighted
average remaining Aggregate average
Number of exercise contractual Intrinsic grant-value
shares price term value fair value
Balance at December 31, 2009 932,060 $ 5.44 8.99 $0 $4.19
Granted 3,795,125 0.24 - - 0.19
Exercised - - - - -
Expired - - - - -
Forfeited (575,736) 1.70 - - 1.28
Balance at December 31, 2010 4,151,449 0.96 9.45 $740,095 $0.74
Granted 690,000 0.62 - - 0.46
Exercised (18,750) 0.17 - - 0.13
Expired - - - - -
Forfeited (325,074) 0.80 - - 0.62
Balance at December 31, 2011 4,497,625 $0.58 8.64 $447,835 $0.73
Exercisable at December 31, 2010 842,157 1.79 8.57 $184,671 -
Exercisable at December 31, 2011 3,643,875 0.74 6.1 $416,728 -
