Derivatives and Hedging

9 Months Ended

Dec. 31, 2012

Derivatives And Hedging Disclosure [Abstract]

Derivatives and Hedging

10. Derivatives and Hedging

The disclosures below detail Legg Mason’s derivatives and hedging activities excluding the derivatives and hedging activities of CIVs. See Note 12, Variable Interest Entities and Consolidation of Investment Vehicles, for information related to the derivatives and hedging of CIVs.

Legg Mason uses currency forwards to economically hedge the risk of movements in exchange rates, primarily between the U.S. dollar, euro, Japanese yen, Singapore dollar, British pound, and South Korean won. In the Consolidated Balance Sheets, Legg Mason nets the fair value of certain foreign currency forwards executed with the same counterparty where Legg Mason has both the legal right and intent to settle the contracts on a net basis. Legg Mason has not designated any derivatives as hedging instruments during the periods ended December 31, 2012, March 31, 2012, and December 31, 2011.

Legg Mason also uses market hedges on certain seed capital investments by entering into futures contracts to sell index funds that benchmark the hedged seed capital investments. Open futures contracts required cash collateral of $3,449 and $1,919 as of December 31, 2012 and March 31, 2012, respectively.  

The following table presents the fair values as of December 31, 2012 and March 31, 2012, classified as Other assets and Other liabilities, of derivative instruments not designated as hedging instruments for accounting purposes:

	December 31, 2012				March 31, 2012
	Assets		Liabilities		Assets		Liabilities
Currency forward contracts	$	242	$	635	$	38	$	685
Futures contracts	75		109		46		201
Total	$	317	$	744	$	84	$	886

The following table presents gains (losses) recognized on derivative instruments for the three and nine months ended December 31, 2012 and 2011:

		Three months ended December 31,
		2012					2011
	Income Statement Classification	Gains		Losses			Gains		Losses
Currency forward contracts for:
Operating activities	Other expense	$	1,016	$	(1,250	)	$	3,628	$	(946	)
Seed capital investments	Other non-operating income (expense)	39		(401		)	270		(149		)
Futures contracts for seed capital investments	Other non-operating income (expense)	78		(986		)	198		(2,290		)
Total		$	1,133	$	(2,637	)	$	4,096	$	(3,385	)

		Nine months ended December 31,
		2012					2011
	Income Statement Classification	Gains		Losses			Gains		Losses
Currency forward contracts for:
Operating activities	Other expense	$	1,543	$	(1,564	)	$	6,869	$	(2,839	)
Seed capital investments	Other non-operating income (expense)	98		(453		)	447		(93		)
Futures contracts for seed capital investments	Other non-operating income (expense)	1,230		(2,584		)	5,669		(2,196		)
Total		$	2,871	$	(4,601	)	$	12,985	$	(5,128	)