Travelers 2007 Annual Report Download - page 221

THE TRAVELERS COMPANIES, INC. AND SUBSIDIARIES
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)
11. SHARE-BASED INCENTIVE COMPENSATION (Continued)
reload options granted to reflect these sales restrictions. The following assumptions were used in
estimating the fair value of options on grant date for the years ended December 31, 2007 and 2006:
2007 Original Grants Reload Grants
Expected term of stock options ...................... 6 - 7 years 1 - 3 years
Expected volatility of the Company’s stock .............. 22.5% - 26.9% 14.3% - 19.7%
Weighted average volatility ......................... 24.9% 16.5%
Expected annual dividend per share .................. $ 1.04 - $1.16 $ 1.04 - $1.16
Risk-free rate ................................... 3.79% - 5.10% 3.34% - 5.06%
2006 Original Grants Reload Grants
Expected term of stock options ...................... 5 - 7 years 1 - 4 years
Expected volatility of the Company’s stock .............. 22.6% - 32.0% 15.9% - 30.4%
Weighted average volatility ......................... 30.3% 18.0%
Expected annual dividend per share .................. $ 0.92 - $1.04 $ 0.92 - $1.04
Risk-free rate ................................... 4.30% - 5.10% 4.30% - 5.17%
The significant assumptions used in estimating the fair value on the date of the grant for original
options and reload options granted in 2005 were as follows:
2005
Expected life of stock options ................................. 6 years
Expected volatility of the Company’s stock ........................ 32.0%
Risk-free interest rate ....................................... 3.96%
Expected annual dividend per share ............................ $ 0.89
Expected annual forfeiture rate ................................ 5%
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