Endowment - Warrant - Valuer (McVerry) D

Quick Report
1 Simply enter the warrant code and a valua
>
Advanced Mode
2 Allows adjustment of input assumptions to
>
Options
3 View & edit the setup options.
>
This model comes without warranties whatsoever and is for purely illustrative
purposes showing smart ways of using Excel/VBA. Learn from it and use it for
non-commercial purposes only.
Valuations generated are not intended to provide investment advice.
Model programmed by Nick McVerry, nick@link45.com

Get in touch with him if you want him to do some work for you.
Posted here by Kurt Hess, kurthess@waikato.ac.nz, 23 November 2006
Quick Report
Simply enter the warrant code and a valuation report will be generatted.
Enter warrant code CBAEMF

CBAEMF
Advanced Mode
Allows adjustment of input assumptions to suit your specific requirements.
Go to advanced mode
Options
View & edit the setup options.
Go to options
ly illustrative
and use it for
t advice.
er 2006
Advanced Mode
<< Return to the Index
Required Inputs
Instrument Code BILEMF
click to automatically calculate inputs
Valuation Date 2 December 2009
Endowment Price (BILEMF) Calculated Variables

Bid $0.00 Underlying stock BIL
Offer $0.00 Exercise Price $20.74
Last $33.18 Maturity 31/10/2008
Stock Price (BIL) Type of asset Endowment
Bid $13.20 Issuer Macquarie
Offer $13.00 Special Notes
The Underlying Parcel is 4.12
Last $13.09 K Adjustment 4.1287
Valuation Model Inputs Calculated or Enter manually

Current Stock Price (S0) $13.09
PV Dividends (D*)
Exercise Price (k0) $5.02
Volatility (σ) 15.42%
Time to maturity (T)
SIM Model
Expected Return (μ) 7.67%

Dividend Yield 7.33%
Risk free interest rate 9.13%
Valuation Results
EW Valuation #VALUE! View step-by-step calculation
HPS Valuation #VALUE! View step-by-step calculation
Simulation Model #VALUE! View step-by-step calculation
Combined Valuation #VALUE! or Enter manually

Current Price $33.18
Reccomendation #VALUE! Analyse sensitivity of the valuation

4.63%
5.63%
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culate inputs
The Underlying Parcel is 4.1287 BIL shares

EW Model
Model Summary
The EW Model derives a value under assumptions of known dividends and a constant interest rate.
Valuation Model Inputs

PV Dividends (D*)
Formula
Calculations
d1 #VALUE!
d2 #VALUE!
Valuation
C0 #VALUE!
Reference: Brown and Davis (2004)
HPS Model
Model Summary
The HPS model dervives a closed form solution based on primarily on an assumption of complete dividend protection

Formula
Calculations
δ1 #VALUE!
δ2 #VALUE!
Valuation
C0 #VALUE!
Reference: Hong, Powell, and Shi (1999)
mplete dividend protection.

Simulation Model
Model Summary
The following simulation model applies a constant dividend yield (which results in variability in dividend payments)

Expected Return (Er) 7.67%
Dividend Yield 7.33%
Interest Rate 9.13%
Number of simulations 25
Final Valuation #VALUE!

#VALUE!
Simulation Results #VALUE!
Simulation 1 1 #VALUE!
Based on: Brown and Davis (2004)
lity in dividend payments).

Sensitivity Analysis
<< Return to the Advanced Mode
Graph sensitivity to changes in: Volatility
Sensitivity of Valuations to changes in_____________

$12.00 Volatility
$10.00
$8.00
Model Valuation
$6.00
$4.00
$2.00
$-
0% 20% 40% 60% 80% 100% 120%
Volatility
EW Valuation HPS Valuation SIM Valuation
Options
Volatility
Dividend Yield
1
_
100% 120%
Variable X
divyield
7.33%
7.33%
7.33%
7.33%
7.33%
7.33%
7.33%
7.33%
7.33%
7.33%
7.33%
Variable X Y Values X Values
EW HPS SIM
sigma Valuation Valuation Valuation Volatility
0% #VALUE! #VALUE! #VALUE! 0%

Setup & Options
Warrants Source Data

Hidden
Underlying Stock Volatility

Number of months of past data 6 months 4
Data frequency daily daily
Recommendation Boundaries
Strong Buy 120%
Buy 110%
Sell 90%
Sensitivity Chart Options

Number of simulation to use in SIM Model 20
Simulation Model Defaults

Default number of simulations to use 200
Overall Expected Return 15.00%
Dividend yield is subtracted to calculate input expected return
http://ichart.finance.yahoo.com/table.csv?s=AGL.AX&a=01&b=6&c=1985&d=09&e=11&f=2006&g=d&ignore=.csv
s= underlying code .AX
a= start month (0-11)
b= day of month
c= start year
d= end month (0-11)
e= end day of month
f= end year
g= type (d=daily, w=weekly, m=monthly)
1
1 month daily
2 months weekly
006&g=d&ignore=.csv
Endowment Warrant Valuation Report
Valuation as at: Thursday, November 23, 2006
Instrument Overview
Type Endowment Maturity Date 31/10/2008
Warrant Code BILEMF Issued by Macquarie
Underlying Stock BIL
Input Assumptions
Current Stock Price (S0) $13.09 Time to maturity (T) 1.94
PV Dividends (D*) $1.73 Expected Return (μ) 7.67%
Exercise Price (k0) $5.02 Dividend Yield 7.33%
Volatility (σ) 15.42% Interest Rate 9.13%
Valuations
EW Model $8.07
HPS Model $8.07
Simulation $8.43
Final Valuation Recommendation

Combined Valuation $8.21
Current Warrant Price $33.18
SELL
Sensitivity Analysis
Sensitivity of Model Valuations to Volatility

$16.00
$14.00
$12.00
Model Valuation
$10.00
$8.00
$6.00
$4.00
$2.00
$-
-20% 0% 20% 40% 60% 80% 100%
Volatility
EW Valuation HPS Valuation SIM Valuation
Report prepared by Warrant Valuer (v1.0)

Warrant Valuation Report
Model Valuations to Volatility
% 40% 60% 80% 100%

Volatility
HPS Valuation SIM Valuation
epared by Warrant Valuer (v1.0)

Endowment - Warrant - Valuer (McVerry) D

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Quick Report

1 Simply enter the warrant code and a valua

Model programmed by Nick McVerry, nick@link45.com

Enter warrant code CBAEMF

Endowment Price (BILEMF) Calculated Variables

Valuation Model Inputs Calculated or Enter manually

Expected Return (μ) 7.67%

Combined Valuation #VALUE! or Enter manually

Reccomendation #VALUE! Analyse sensitivity of the valuation

The Underlying Parcel is 4.1287 BIL shares

Valuation Model Inputs

Valuation Model Inputs

mplete dividend protection.

Valuation Model Inputs

Final Valuation #VALUE!

lity in dividend payments).

Graph sensitivity to changes in: Volatility

Sensitivity of Valuations to changes in_____________

EW Valuation HPS Valuation SIM Valuation

0% #VALUE! #VALUE! #VALUE! 0%

Warrants Source Data

Underlying Stock Volatility

Data frequency daily daily

Sensitivity Chart Options

Simulation Model Defaults

Final Valuation Recommendation

Sensitivity of Model Valuations to Volatility

EW Valuation HPS Valuation SIM Valuation

Report prepared by Warrant Valuer (v1.0)

Model Valuations to Volatility

% 40% 60% 80% 100%

HPS Valuation SIM Valuation

epared by Warrant Valuer (v1.0)

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