Derivatives and Hedging

12 Months Ended

Mar. 31, 2012

Derivatives And Hedging Disclosure [Abstract]

Derivatives and Hedging

15. DERIVATIVES AND HEDGING

The disclosures below detail Legg Mason’s derivatives and hedging excluding the derivatives and hedging of CIVs. See Note 18, 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, Canadian dollar, Japanese yen, Singapore dollar, Brazilian real, British pound, and Australian dollar. 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 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 $1,919 and $7,099 as of March 31, 2012 and 2011, respectively.  

The following table presents the fair values as of March 31, 2012 and 2011, of derivative instruments not designated for accounting purposes as hedging instruments, classified as Other assets and Other liabilities:

	2012				2011
	Assets		Liabilities		Assets		Liabilities
Currency forward contracts	$	38	$	685	$	1,112	$	1,633
Futures contracts	46		201		57		1,487
Total	$	84	$	886	$	1,169	$	3,120

The following table presents gains (losses) recognized on derivative instruments for the years ended March 31, 2012 and 2011:

		2012					2011
	Income Statement Classification	Gains		Losses			Gains		Losses
Currency forward contracts for:
Operating activities	Other expense	$	5,604	$	(3,159	)	$	4,943	$	(6,094	)
Seed capital investments	Other non-operating income (expense)	431		(351		)	123		(355		)
Futures contracts	Other non-operating income (expense)	5,684		(4,560		)	1,652		(7,146		)
Total		$	11,719	$	(8,070	)	$	6,718	$	(13,595	)