N-Q 1 d517347dnq.htm LEGG MASON OPPORTUNITY TRUST Legg Mason Opportunity Trust

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-22670

Legg Mason Investment Trust

(Exact name of registrant as specified in charter)

620 Eighth Avenue, 49th Floor, New York, NY 10018

(Address of principal executive offices) (Zip code)

Robert I. Frenkel, Esq.

Legg Mason & Co., LLC

100 First Stamford Place

Stamford, CT 06902

(Name and address of agent for service)

Registrant’s telephone number, including area code: 1-877-721-1926

Date of fiscal year end: December 31

Date of reporting period: March 31, 2013

 

 

 


 

ITEM 1. SCHEDULE OF INVESTMENTS


LEGG MASON INVESTMENT TRUST

LEGG MASON OPPORTUNITY TRUST

FORM N-Q

MARCH 31, 2013


LEGG MASON OPPORTUNITY TRUST

 

Schedule of Investments (unaudited)    March 31, 2013

 

SECURITY

   SHARES      VALUE  
COMMON STOCKS - 102.1%      
CONSUMER DISCRETIONARY - 27.7%      

Automobiles - 2.9%

     

Ford Motor Co.

     1,460,710       $ 19,208,337   

General Motors Co.

     543,266         15,113,660
     

 

 

 

Total Automobiles

        34,321,997   
     

 

 

 

Hotels, Restaurants & Leisure - 2.2%

     

Boyd Gaming Corp.

     3,200,000         26,464,000
     

 

 

 

Household Durables - 8.5%

     

KB Home

     1,300,000         28,301,000   

Lennar Corp., Class A Shares

     670,000         27,791,600 (a) 

PulteGroup Inc.

     2,250,000         45,540,000
     

 

 

 

Total Household Durables

        101,632,600   
     

 

 

 

Internet & Catalog Retail - 9.3%

     

Amazon.com Inc.

     100,000         26,649,000 *(b) 

Groupon Inc.

     6,300,000         38,556,000

Netflix Inc.

     240,000         45,458,400
     

 

 

 

Total Internet & Catalog Retail

        110,663,400   
     

 

 

 

Media - 2.6%

     

Pandora Media Inc.

     2,200,000         31,152,000
     

 

 

 

Specialty Retail - 2.2%

     

Best Buy Co. Inc.

     1,200,000         26,580,000   
     

 

 

 

TOTAL CONSUMER DISCRETIONARY

        330,813,997   
     

 

 

 
ENERGY - 1.9%      

Oil, Gas & Consumable Fuels - 1.9%

     

Chesapeake Energy Corp.

     1,100,000         22,451,000 (a) 
     

 

 

 
FINANCIALS - 36.1%      

Capital Markets - 8.9%

     

Apollo Investment Corp.

     1,400,000         11,704,000   

Ares Capital Corp.

     1,500,000         27,150,000 (a) 

E*TRADE Financial Corp.

     1,721,900         18,441,549

Ellington Financial LLC

     1,448,947         35,861,438 (c) 

Morgan Stanley

     600,000         13,188,000   
     

 

 

 

Total Capital Markets

        106,344,987   
     

 

 

 

Diversified Financial Services - 6.4%

     

Bank of America Corp.

     3,500,000         42,630,000 (a) 

Citigroup Inc.

     775,000         34,286,000 (a) 
     

 

 

 

Total Diversified Financial Services

        76,916,000   
     

 

 

 

Insurance - 10.1%

     

Assured Guaranty Ltd.

     1,750,000         36,067,500   

Genworth Financial Inc., Class A Shares

     5,255,100         52,551,000 *(a) 

Hartford Financial Services Group Inc.

     1,250,000         32,250,000 (a) 
     

 

 

 

Total Insurance

        120,868,500   
     

 

 

 

Real Estate Investment Trusts (REITs) - 4.1%

     

American Capital Agency Corp.

     364,300         11,941,754 (a) 

American Capital Mortgage Investment Corp.

     300,000         7,755,000   

Hatteras Financial Corp.

     283,700         7,781,891   

Invesco Mortgage Capital Inc.

     550,000         11,764,500   

Newcastle Investment Corp.

     288,700         3,224,779   

NorthStar Realty Finance Corp.

     661,500         6,271,020   
     

 

 

 

Total Real Estate Investment Trusts (REITs)

        48,738,944   
     

 

 

 

Real Estate Management & Development - 2.0%

     

Domus Co. Investment Holdings LLC

     380,000         16,703,280 (d)(e)(f) 

Realogy Holdings Corp.

     148,900         7,272,276
     

 

 

 

Total Real Estate Management & Development

        23,975,556   
     

 

 

 

 

See Notes to Schedule of Investments.

 

1


LEGG MASON OPPORTUNITY TRUST

 

Schedule of Investments (unaudited) (cont’d)    March 31, 2013

 

SECURITY

   SHARES      VALUE  

Thrifts & Mortgage Finance - 4.6%

     

MGIC Investment Corp.

     7,900,000       $ 39,105,000

Radian Group Inc.

     1,412,700         15,130,017   
     

 

 

 

Total Thrifts & Mortgage Finance

        54,235,017   
     

 

 

 

TOTAL FINANCIALS

        431,079,004   
     

 

 

 
HEALTH CARE - 4.5%      

Biotechnology - 0.8%

     

Dendreon Corp.

     2,200,000         10,406,000
     

 

 

 

Health Care Providers & Services - 2.1%

     

CIGNA Corp.

     400,000         24,948,000 (a) 
     

 

 

 

Pharmaceuticals - 1.6%

     

BG Medicine Inc.

     657,486         1,222,924

Questcor Pharmaceuticals Inc.

     550,000         17,897,000   
     

 

 

 

Total Pharmaceuticals

        19,119,924   
     

 

 

 

TOTAL HEALTH CARE

        54,473,924   
     

 

 

 
INDUSTRIALS - 10.7%      

Airlines - 10.7%

     

Delta Air Lines Inc.

     2,600,000         42,926,000 *(a) 

United Continental Holdings Inc.

     1,500,000         48,015,000 *(a) 

US Airways Group Inc.

     2,200,000         37,334,000
     

 

 

 

TOTAL INDUSTRIALS

        128,275,000   
     

 

 

 
INFORMATION TECHNOLOGY - 13.2%      

Computers & Peripherals - 5.2%

     

Apple Inc.

     65,000         28,770,950 (a) 

Seagate Technology PLC

     900,000         32,904,000 (a) 
     

 

 

 

Total Computers & Peripherals

        61,674,950   
     

 

 

 

Electronic Equipment, Instruments & Components - 1.7%

     

Universal Display Corp.

     685,000         20,132,150
     

 

 

 

Internet Software & Services - 2.4%

     

Market Leader Inc.

     3,081,210         27,607,642 *(c) 

WorldOne Inc.

     48,517         1,323,059 (d)(e)(f) 

WorldOne Inc., Contract

     2,553         0 (d)(e)(f)(g) 

WorldOne Inc., Escrow

     12,767         275,001 (d)(e)(f) 
     

 

 

 

Total Internet Software & Services

        29,205,702   
     

 

 

 

Semiconductors & Semiconductor Equipment - 2.9%

     

Marvell Technology Group Ltd.

     800,000         8,464,000   

NXP Semiconductors NV

     341,600         10,336,816

Teradyne Inc.

     1,000,000         16,220,000
     

 

 

 

Total Semiconductors & Semiconductor Equipment

        35,020,816   
     

 

 

 

Software - 1.0%

     

Microsoft Corp.

     400,000         11,444,000 (a) 
     

 

 

 

TOTAL INFORMATION TECHNOLOGY

        157,477,618   
     

 

 

 
INVESTMENT FUNDS - 4.0%      

Pangaea One, LP

     55,856,692         48,014,412 (c)(d)(e)(f) 
     

 

 

 
TELECOMMUNICATION SERVICES - 4.0%      

Diversified Telecommunication Services - 1.2%

     

Level 3 Communications Inc.

     695,000         14,101,550 *(a) 
     

 

 

 

Wireless Telecommunication Services - 2.8%

     

NII Holdings Inc.

     2,600,000         11,258,000

 

See Notes to Schedule of Investments.

 

2


LEGG MASON OPPORTUNITY TRUST

 

Schedule of Investments (unaudited) (cont’d)    March 31, 2013

 

SECURITY

                SHARES      VALUE  

Wireless Telecommunication Services - continued

          

Sprint Nextel Corp.

          3,600,000       $ 22,356,000

Total Wireless Telecommunication Services

             33,614,000   
          

 

 

 

TOTAL TELECOMMUNICATION SERVICES

             47,715,550   
          

 

 

 

TOTAL COMMON STOCKS
(Cost - $927,575,488)

             1,220,300,505   
          

 

 

 
CONVERTIBLE PREFERRED STOCKS - 0.6%           
CONSUMER DISCRETIONARY - 0.6%           

Media - 0.6%

          

Glam Media Inc., Series M1

          1,590,393         7,013,633 (d)(e)(f) 

Glam Media Inc., Series M1 (Escrow)

          113,600         0 (d)(e)(f)(g) 

Glam Media Inc., Series M2 (Escrow)

          113,599         0 (d)(e)(f)(g) 
          

 

 

 

TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost - $17,576,421)

             7,013,633   
          

 

 

 
     RATE     MATURITY
DATE
     FACE
AMOUNT
        
CORPORATE BONDS & NOTES - 0.3%           
CONSUMER DISCRETIONARY - 0.3%           

Media - 0.3%

          

Glam Media Inc.

     9.000     12/3/13       $ 3,486,219         3,486,219 (d)(e)(f) 

Glam Media Inc. (Escrow)

     9.000     12/3/13         63,677         0 (d)(e)(f)(g) 

Glam Media Inc. (Escrow)

     9.000     6/1/14         63,676         0 (d)(e)(f)(g) 
          

 

 

 

TOTAL CORPORATE BONDS & NOTES
(Cost - $7,423,579)

             3,486,219   
          

 

 

 
           EXPIRATION
DATE
     CONTRACTS         
PURCHASED OPTIONS - 0.7%           

Apple Inc., Call @ $500.00

(Cost - $9,422,963)

       1/17/15         2,000         8,960,000   
          

 

 

 
                  WARRANTS         
WARRANTS - 2.5%           

JPMorgan Chase & Co.

(Cost - $22,736,635)

       10/28/18         2,090,900         29,795,325
          

 

 

 

TOTAL INVESTMENTS BEFORE

SHORT-TERM INVESTMENTS
(Cost - $984,735,086)

             1,269,555,682   
          

 

 

 
     RATE     MATURITY
DATE
     FACE
AMOUNT
        
SHORT-TERM INVESTMENTS - 1.4%           

Repurchase Agreements - 1.4%

          

Interest in $925,000,000 joint tri-party repurchase agreement dated 3/28/13 with RBS Securities Inc.; Proceeds at maturity - $16,512,367; (Fully collateralized by various U.S. government agency obligations, 0.450% to 5.250% due 12/27/13 to 12/28/26; Market value - $16,842,288)
(Cost - $16,512,000)

     0.200     4/1/13       $   16,512,000         16,512,000   
          

 

 

 

TOTAL INVESTMENTS - 107.6%
(Cost - $1,001,247,086#)

             1,286,067,682   

Liabilities in Excess of Other Assets - (7.6)%

             (90,917,093
          

 

 

 

TOTAL NET ASSETS - 100.0%

           $ 1,195,150,589   
          

 

 

 

 

* Non-income producing security.

 

(a) All or a portion of this security is pledged as collateral pursuant to the loan agreement.

 

(b) All or a portion of this security is pledged to cover future purchase commitments.

 

(c) In this instance, as defined in the Investment Company Act of 1940, an “Affiliated Company” represents Fund ownership of at least 5% of the outstanding voting securities of an issuer. At March 31, 2013, the total market value of Affiliated Companies was $111,483,492, and the cost was $101,593,824 (See Note 4).

 

(d) Illiquid security.

 

(e) Restricted security.

 

(f) Security is valued in good faith in accordance with procedures approved by the Board of Trustees (See Note 1).

 

(g) Value is less than $1.

 

# Aggregate cost for federal income tax purposes is substantially the same.

 

See Notes to Schedule of Investments.

 

3


Notes to Schedule of Investments (unaudited)

 

1. Organization and significant accounting policies

Legg Mason Opportunity Trust (formerly Legg Mason Capital Management Opportunity Trust) (the “Fund”) is a separate non-diversified investment series of Legg Mason Investment Trust (the “Trust”). The Trust, a Maryland statutory trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.

The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”).

(a) Investment valuation. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Short-term fixed income securities that will mature in 60 days or less are valued at amortized cost, unless it is determined that using this method would not reflect an investment’s fair value. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Trustees.

The Board of Trustees is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Legg Mason North American Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee, pursuant to the policies adopted by the Board of Trustees, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Board of Trustees. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.

The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.

For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Trustees quarterly.

The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.

 

4


Notes to Schedule of Investments (unaudited) (continued)

 

GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:

 

   

Level 1 – quoted prices in active markets for identical investments

 

   

Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

 

   

Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used in valuing the Fund’s assets carried at fair value:

 

ASSETS

 

DESCRIPTION

   QUOTED PRICES
(LEVEL 1)
     OTHER SIGNIFICANT
OBSERVABLE INPUTS
(LEVEL 2)
     SIGNIFICANT
UNOBSERVABLE
INPUTS

(LEVEL 3)
     TOTAL  

Long-term investments†:

           

Common stocks:

           

Financials

   $ 414,375,724       $ 16,703,280         —         $ 431,079,004   

Information technology

     155,879,558         —         $ 1,598,060         157,477,618   

Investment funds

     —           —           48,014,412         48,014,412   

Other common stocks

     583,729,471         —           —           583,729,471   

Convertible preferred stocks

     —           —           7,013,633         7,013,633   

Corporate bonds & notes

     —           —           3,486,219         3,486,219   

Purchased options

     8,960,000         —           —           8,960,000   

Warrants

     29,795,325         —           —           29,795,325   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total long-term investments

   $ 1,192,740,078       $ 16,703,280       $ 60,112,324       $ 1,269,555,682   
  

 

 

    

 

 

    

 

 

    

 

 

 

Short-term investments†

     —         $ 16,512,000         —           16,512,000   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total investments

   $ 1,192,740,078       $ 33,215,280       $ 60,112,324       $ 1,286,067,682   
  

 

 

    

 

 

    

 

 

    

 

 

 

 

See Schedule of Investments for additional detailed categorizations.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:

 

INVESTMENTS IN SECURITIES

  COMMON
STOCKS
    CONVERTIBLE
PREFERRED
STOCKS
    CORPORATE
BONDS & NOTES
    TOTAL  

Balance as of December 31, 2012

  $ 66,151,914      $ 7,905,389      $ 3,929,467      $ 77,986,770   

Accrued premiums/discounts

    —          —          —          —     

Realized gain (loss)

    —          —          —          —     

Change in unrealized appreciation (depreciation) (1)

    163,838        (891,756     (443,248     (1,171,166

Purchases

    —          —          —          —     

Sales

    —          —          —          —     

Transfers into Level 3

    —          —          —          —     

Transfers out of Level 3 (2)

    (16,703,280     —          —          (16,703,280
 

 

 

   

 

 

   

 

 

   

 

 

 

Balance as of March 31, 2013

  $ 49,612,472      $ 7,013,633      $ 3,486,219      $ 60,112,324   
 

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) for
investments in securities still held at March 31, 2013 (1)

  $ (2,267,782     (891,756     (443,248   $ (3,602,186
 

 

 

   

 

 

   

 

 

   

 

 

 

The Fund’s policy is to recognize transfers between levels as of the end of the reporting period.

 

(1) 

Change in unrealized appreciation (depreciation) includes net unrealized appreciation (depreciation) resulting from changes in investment values during the reporting period and the reversal of previously recorded unrealized appreciation (depreciation) when gains or losses are realized.

 

(2) 

Transferred out of Level 3 as a result of the availability of a quoted price in an active market for an identical investment or the availability of other significant observable inputs.

 

5


Notes to Schedule of Investments (unaudited) (continued)

 

The following table summarizes the valuation techniques used and unobservable inputs approved by the Valuation Committee to determine the fair value of certain, material Level 3 investments. The table does not include Level 3 investments with values derived utilizing prices from prior transactions or third party pricing information without adjustment (e.g., broker quotes, pricing services, net asset values).

 

     Fair
Value at
3/31/13
(000’s)
  

Valuation

Technique(s)

  

Unobservable Input(s)

   Range/
Weighted
Average
 

Impact to

Valuation from an

Increase in Input*

Limited Partnership Interests (classified as Common Stock)    $48,014    NAV of Limited Partnership Interest    Liquidity discount    10%   Decrease

 

* This column represents the directional change in the fair value of the Level 3 investments that would result in an increase from the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. Significant increases and decreases in these unobservable inputs in isolation could result in significantly higher or lower fair value measurements.

(b) Repurchase agreements. The Fund may enter into repurchase agreements with institutions that its investment adviser has determined are creditworthy. Each repurchase agreement is recorded at cost. Under the terms of a typical repurchase agreement, the Fund acquires a debt security subject to an obligation of the seller to repurchase, and of the Fund to resell, the security at an agreed-upon price and time, thereby determining the yield during the Fund’s holding period. When entering into repurchase agreements, it is the Fund’s policy that its custodian or a third party custodian, acting on the Fund’s behalf, take possession of the underlying collateral securities, the market value of which, at all times, at least equals the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction maturity exceeds one business day, the value of the collateral is marked-to-market and measured against the value of the agreement in an effort to ensure the adequacy of the collateral. If the counterparty defaults, the Fund generally has the right to use the collateral to satisfy the terms of the repurchase transaction. However, if the market value of the collateral declines during the period in which the Fund seeks to assert its rights or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Fund may be delayed or limited.

(c) Foreign currency translation. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the respective dates of such transactions.

Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of U.S. dollar denominated transactions as a result of, among other factors, the possibility of lower levels of governmental supervision and regulation of foreign securities markets and the possibility of political or economic instability.

(d) Foreign investment risks. The Fund’s investments in foreign securities may involve risks not present in domestic investments. Since securities may be denominated in foreign currencies, may require settlement in foreign currencies or pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which affect the market and/or credit risk of the investments.

(e) Counterparty risk and credit-risk-related contingent features of derivative instruments. The Fund may invest in certain securities or engage in other transactions, where the Fund is exposed to counterparty credit risk in addition to broader market risks. The Fund may invest in securities of issuers, which may also be considered counterparties as trading partners in other transactions. This may increase the risk of loss in the event of default or bankruptcy by the counterparty or if the counterparty otherwise fails to meet its contractual obligations. The Fund’s investment manager

 

6


Notes to Schedule of Investments (unaudited) (continued)

 

attempts to mitigate counterparty risk by (i) periodically assessing the creditworthiness of its trading partners, (ii) monitoring and/or limiting the amount of its net exposure to each individual counterparty based on its assessment and (iii) requiring collateral from the counterparty for certain transactions. Market events and changes in overall economic conditions may impact the assessment of such counterparty risk by the investment manager. In addition, declines in the values of underlying collateral received may expose the Fund to increased risk of loss.

The Fund has entered into master agreements with certain of its derivative counterparties that provide for general obligations, representations, agreements, collateral, events of default or termination and credit related contingent features. The credit related contingent features include, but are not limited to, a percentage decrease in the Fund’s net assets or NAV over a specified period of time. If these credit related contingent features were triggered, the derivatives counterparty could terminate the positions and demand payment or require additional collateral.

As of March 31, 2013, the Fund did not have any open derivative transactions with credit related contingent features in a net liability position.

(f) Restricted securities. Certain of the Fund’s investments are restricted as to resale and are valued at fair value as determined under policies approved by the Board of Trustees in absence of readily ascertainable market values.

 

Security

  Number of
Units/Shares/
Interest/Par
    Acquisition
Date(s)
    Cost     Fair Value
at 3/31/13
    Value  per
Unit/Share
    Percent of
Net  Assets
    Distributions
Received
    Open
Commitments
 
Domus Co. Investment Holdings LLC     380,000        04/07        95,000,000        16,703,280      $ 43.96        1.40     —          —     

Glam Media Inc.,

Series M-1 Preferred

    1,590,393        12/11        15,379,368        7,013,633      $ 4.41        0.59     —          —     

Glam Media Inc.,

Series M-1 Preferred (Escrow)

    113,600        12/11        1,098,526        0      $ 0.00        0.00     —          —     

Glam Media Inc.,

Series M-2 Preferred (Escrow)

    113,599        12/11        1,098,527        0      $ 0.00        0.00     —          —     

Glam Media Inc.,

Note 9%

    3,486,219        12/11        6,495,632        3,486,219      $ 100.00        0.29     —          —     

Glam Media Inc.,

Note 9% (Escrow 1)

    63,677        12/11        463,974        0      $ 0.00        0.00     —          —     

Glam Media Inc.,

Note 9% (Escrow 2)

    63,676        12/11        463,973        0      $ 0.00        0.00     —          —     
Pangaea One, LP     55,856,692        —   A      55,856,692        48,014,412      $ 0.86        4.02     —        $ 7,837,765 B 
WorldOne Inc.     48,517        8/12        23,068,750        1,323,059      $ 27.27        0.11     —          —     
WorldOne Inc., Contract     2,553        8/12        0        0        0.00        0.00     —          —     
WorldOne Inc., Escrow     12,767        8/12        3,642,673        275,001      $ 21.54        0.02     —          —     
     

 

 

   

 

 

     

 

 

   

 

 

   

 

 

 
      $ 202,568,115      $ 76,815,604          6.43   $ —        $ 7,837,765   
     

 

 

   

 

 

     

 

 

   

 

 

   

 

 

 

 

A Acquisition dates were 8/07, 9/07, 1/08, 3/08, 5/08, 8/08, 10/08, 12/08, 2/09, 5/09, 8/09, 11/09, 3/10, 7/10, 1/11, 2/11, 4/11, 8/11, 10/11, 1/12, 4/12, 5/12, 6/12, 8/12, and 12/12.

 

B In the normal course of operations, the Fund makes commitments to invest in businesses. At December 31, 2012, the Fund had open commitments of $7,837,765.

(g) Illiquid securities. Illiquid securities are those that cannot be sold or disposed of within seven days for approximately the price at which the Fund values the security. Illiquid investments include: repurchase agreements with terms of greater than seven days, restricted securities other than those the advisor has determined are liquid pursuant to guidelines established by the Board of Trustees and securities involved in swap, cap, floor and collar transactions, and over-the-counter (“OTC”) options and their underlying collateral. Due to the absence of an active trading market, the fund may have difficulty valuing or disposing of illiquid securities promptly. Judgment plays a greater role in valuing illiquid securities than those for which a more active market exists.

(h) Security transactions. Security transactions are accounted for on a trade date basis.

 

7


Notes to Schedule of Investments (unaudited) (continued)

 

2. Investments

At March 31, 2013, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:

 

Gross unrealized appreciation

   $ 451,804,895   

Gross unrealized depreciation

     (166,984,299
  

 

 

 

Net unrealized appreciation

   $ 284,820,596   
  

 

 

 

3. Derivative instruments and hedging activities

GAAP requires enhanced disclosure about an entity’s derivative and hedging activities.

The following is a summary of the Fund’s derivative instruments categorized by risk exposure at March 31, 2013.

 

Primary Underlying Risk

   Purchased Options, at value  

Equity Risk

   $ 8,960,000   

During the period ended March 31, 2013, the volume of derivative activity for the Fund was as follows:

 

     Average Market Value  

Purchased options

   $ 3,304,250   

4. Transactions with affiliated companies

An “Affiliated Company”, as defined in the 1940 Act, includes a company in which the Fund owns 5% or more of the company’s outstanding voting securities at any time during the period. The following transactions were effected in shares of such companies for the period ended March 31, 2013:

 

Company

   Affiliate
Mkt Value
     Purchased      Sold      Amortization
Div/Interest
    

Affiliate

Mkt Value

     Realized  
   at 12/31/12      Cost      Shares/Par      Cost      Shares/Par      Income      at 3/31/13      Gain  

Ellington Financial LLC

   $ 33,301,846         —           —         $ 675,420         33,771       $ 2,202,399       $ 35,861,438       $ 171,688   

Market Leader Inc.

     22,786,860         —           —           2,211,839         397,700         —           27,607,642         1,029,822   

Pangaea One, LP

     50,282,194         —           —           —           —           —           48,014,412         —     
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $ 106,370,900         —           —         $ 2,887,259         431,471       $ 2,202,399       $ 111,483,492       $ 1,201,510   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

5. Subsequent event

LMM LLC provides the Fund with investment advisory and management services, including the management of cash and short-term instruments, and provides certain oversight services to the Fund. Prior to May 13, 2013 Western Asset Management Company managed the Fund’s cash and short-term instruments.

 

8


 

ITEM 2. CONTROLS AND PROCEDURES.

 

  (a) The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a- 3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934.

 

  (b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are likely to materially affect the registrant’s internal control over financial reporting.

 

ITEM 3. EXHIBITS.

Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are attached hereto.


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Legg Mason Investment Trust
By  

/s/    R. JAY GERKEN        

  R. Jay Gerken
  Chairman and President
Date: May 24, 2013

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By  

/s/    R. JAY GERKEN        

  R. Jay Gerken
  Chairman and President
Date: May 24, 2013

 

By  

/s/    RICHARD F. SENNETT        

  Richard F. Sennett
  Principal Financial Officer
Date: May 24, 2013