Consolidated  Notes to the  Financial  Statements Note 48 – Share-based payment plans (continued) Managing Director On 20 June 2011, Mr Fraser was notionally granted 137,175 SPRs in relation to the year ended 30 June 2011. The number of SPRs  notionally granted was determined by dividing Mr Fraser’s TFR as at 1 September 2010 of $2,000,000 by $14.58 (being the volume  weighted average price (VWAP) at which AGL’s shares traded on the ASX during the 30 calendar days up to and including 30 June 2010).$^{114}$ At the 2008 Annual General Meeting, shareholder approval was obtained for the grant of SPRs under the LTIP to Mr Fraser in respect of the  financial years ending 30 June 2009, 30 June 2010 and 30 June 2011. Mr Fraser was Group General Manager Merchant Energy prior to being appointed Managing Director and Chief Executive Officer and was  then eligible for an allocation of SPRs. Mr Fraser was granted 23,331 SPRs on 25 February 2008 after receiving a waiver from the  Australian Securities Exchange requirements under the applicable ASX Listing Rules to grant SPRs without shareholder approval. On  1 September 2010, 23,331 SPRs vested and were exercised and converted to fully-paid ordinary shares in AGL. Mr Fraser was appointed Managing Director and Chief Executive Officer on 22 October 2007. On appointment, Mr Fraser was granted  80,584 SPRs with a face value of $1,050,000, subject to the LTIP. This grant was made on 25 February 2008 after receiving a waiver from  the Australian Securities Exchange requirements under the applicable ASX Listing Rules to grant SPRs without shareholder approval. On  1 September 2010, 80,584 SPRs vested and were exercised and converted to fully-paid ordinary shares in AGL. The total expense recognised in the income statement as part of employee benefits expense during the year in relation to SPRs granted to  executives in the AGL Long-Term Incentive Plan was: The fair value of services received in return for SPRs granted are measured by reference to the fair value of SPRs granted. The estimate of  the fair value of services received is measured based on the Black-Scholes and Monte Carlo simulation methods. The contractual life of the  SPRs is used as an input into this model. Expectations of early vesting are incorporated into the Monte Carlo simulation method. Expected  volatility is based on the historical share price volatility over the past two years. Details of movements in SPRs in the AGL Long-Term Incentive Plan for executives are set out below: Vested Notionally Lapsed/ but not Balance  Adjustment  granted  Vested  forfeited  Balance  exercisable at beginning  to SPRs  during the  during the  during the  at end of  at end of SPRs grant  of the year  awarded  year  year  year  the year  the year 2011 20 June 2011  – – 161,090 – – 161,090 – 26 February 2010  128,109 (19,867) – (44,180) (15,158) 48,904 – 27 October 2008  133,094 – – (2,667) (37,426) 93,001 – 11 January 2008  99,521 – – (99,521) – – – 360,724  (19,867)  161,090  (146,368)  (52,584)  302,995  – 2010 26 February 2010 – – 128,109 – – 128,109 – 27 October 2008  146,774  –  –  (9,925)  (3,755)  133,094  – 11 January 2008  115,923  –  –  (13,029)  (3,373)  99,521  – 1 April 2007 – tranche 2  25,029  –  –  (24,493)  (536)  –  – 8 November 2006 16,285 – – (16,285) – – – 304,011  –  128,109  (63,732)  (7,664)  360,724  – 2011 2010 SPRs grant  20 Jun 11  26 Feb 10 Weighted average fair value at grant date  $7.08 $12.09 Share price at grant date  $14.24 $14.37 Expected volatility  15.0% 20.0% SPR life  0.2 – 4.2 years 0.5 – 4.5 years Expected dividend yield  4.1% 3.9% Risk free interest rate (based on government bonds)  4.7% 3.8% – 5.0% 2011 2010 $m $m Employee benefits expense  0.1 1.9