LEGG MASON BATTERYMARCH EMERGING MARKETS TRUST
|
|
|
|
|
Schedule of Investments (unaudited) (cont’d)
|
|
September 30, 2012
|
|
|
|
|
|
|
|
|
|
|
|
SECURITY
|
|
SHARES
|
|
|
VALUE
|
|
|
Wireless Telecommunication Services - 5.4% (continued)
|
|
|
|
|
|
|
|
|
|
Vodacom Group Ltd.
|
|
|
58,300
|
|
|
$
|
715,179
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Wireless Telecommunication Services
|
|
|
|
|
|
|
27,372,350
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL TELECOMMUNICATION SERVICES
|
|
|
|
|
|
|
27,726,766
|
|
|
|
|
|
|
|
|
|
|
|
|
UTILITIES - 1.6%
|
|
|
|
|
|
|
|
|
|
Electric Utilities - 0.5%
|
|
|
|
|
|
|
|
|
|
Companhia Energetica de Minas Gerais, ADR
|
|
|
192,450
|
|
|
|
2,332,494
|
|
|
Enersis SA, ADR
|
|
|
21,600
|
|
|
|
354,024
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Electric Utilities
|
|
|
|
|
|
|
2,686,518
|
|
|
|
|
|
|
|
|
|
|
|
|
Water Utilities - 1.1%
|
|
|
|
|
|
|
|
|
|
Cia de Saneamento Basico do Estado de Sau Paulo, ADR
|
|
|
38,500
|
|
|
|
3,126,585
|
|
|
Guangdong Investment Ltd.
|
|
|
3,142,000
|
|
|
|
2,471,766
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Water Utilities
|
|
|
|
|
|
|
5,598,351
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL UTILITIES
|
|
|
|
|
|
|
8,284,869
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS
(Cost - $415,180,246)
|
|
|
|
|
|
|
474,046,640
|
|
|
|
|
|
|
|
|
|
|
|
|
PREFERRED STOCKS - 4.5%
|
|
|
|
|
|
|
|
|
|
CONSUMER DISCRETIONARY - 0.2%
|
|
|
|
|
|
|
|
|
|
Automobiles - 0.2%
|
|
|
|
|
|
|
|
|
|
Hyundai Motor Co.
|
|
|
13,585
|
|
|
|
880,059
|
|
|
|
|
|
|
|
|
|
|
|
|
CONSUMER STAPLES - 0.5%
|
|
|
|
|
|
|
|
|
|
Beverages - 0.5%
|
|
|
|
|
|
|
|
|
|
Companhia de Bebidas das Americas, ADR
|
|
|
68,400
|
|
|
|
2,617,668
|
|
|
|
|
|
|
|
|
|
|
|
|
FINANCIALS - 2.3%
|
|
|
|
|
|
|
|
|
|
Commercial Banks - 2.3%
|
|
|
|
|
|
|
|
|
|
Banco do Estado do Rio Grande do Sul SA, Class B Shares
|
|
|
173,200
|
|
|
|
1,472,916
|
|
|
Itau Unibanco Banco Multiple SA, ADR
|
|
|
308,958
|
|
|
|
4,720,878
|
|
|
Itausa - Investimentos Itau SA
|
|
|
1,169,074
|
|
|
|
5,207,418
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL FINANCIALS
|
|
|
|
|
|
|
11,401,212
|
|
|
|
|
|
|
|
|
|
|
|
|
INDUSTRIALS - 0.4%
|
|
|
|
|
|
|
|
|
|
Machinery - 0.4%
|
|
|
|
|
|
|
|
|
|
Marcopolo SA
|
|
|
333,900
|
|
|
|
1,951,765
|
|
|
|
|
|
|
|
|
|
|
|
|
MATERIALS - 0.9%
|
|
|
|
|
|
|
|
|
|
Chemicals - 0.1%
|
|
|
|
|
|
|
|
|
|
Braskem SA, Class A Shares
|
|
|
75,400
|
|
|
|
530,747
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals & Mining - 0.8%
|
|
|
|
|
|
|
|
|
|
Metalurgica Gerdau SA
|
|
|
295,599
|
|
|
|
3,562,207
|
|
|
Vale SA, ADR
|
|
|
24,900
|
|
|
|
432,264
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Metals & Mining
|
|
|
|
|
|
|
3,994,471
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL MATERIALS
|
|
|
|
|
|
|
4,525,218
|
|
|
|
|
|
|
|
|
|
|
|
|
UTILITIES - 0.2%
|
|
|
|
|
|
|
|
|
|
Independent Power Producers & Energy Traders - 0.2%
|
|
|
|
|
|
|
|
|
|
Cia Energetica de Sao Paulo
|
|
|
116,300
|
|
|
|
1,242,025
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL PREFERRED STOCKS
(Cost - $21,205,497)
|
|
|
|
|
|
|
22,617,947
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
EXPIRATION
DATE
|
|
|
RIGHTS
|
|
|
|
|
|
RIGHTS - 0.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Krung Thai Bank PLC
(Cost - $0)
|
|
|
10/9/12
|
|
|
|
2,268,625
|
|
|
|
420,116
|
*
(b)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See
Notes to Schedule of Investments.
6
LEGG MASON BATTERYMARCH EMERGING MARKETS TRUST
|
|
|
|
|
Schedule of Investments (unaudited) (cont’d)
|
|
September 30, 2012
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SECURITY
|
|
RATE
|
|
|
MATURITY
DATE
|
|
|
FACE
AMOUNT
|
|
|
VALUE
|
|
|
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS
(Cost - $436,385,743)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
497,084,703
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM INVESTMENTS - 1.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase Agreements - 1.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest in $650,000,000 joint tri-party repurchase agreement dated 9/28/12 with RBS Securities Inc.; Proceeds at maturity - $6,361,122; (Fully
collateralized by various U.S. government agency obligations, 0.000% to 8.280% due 10/1/12 to 1/10/25; Market value - $6,488,245 (Cost - $6,361,000)
|
|
|
0.230
|
%
|
|
|
10/1/12
|
|
|
$
|
6,361,000
|
|
|
|
6,361,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS - 100.4%
(Cost - $442,746,743#)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
503,445,703
|
|
|
Liabilities in Excess of Other Assets - (0.4)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(2,046,201
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL NET ASSETS - 100.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
501,399,502
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*
|
Non-income producing security.
|
|
(b)
|
Security is valued in good faith in accordance with procedures approved by the Board of Trustees (See Note 1).
|
|
#
|
Aggregate cost for federal income tax purposes is substantially the same.
|
Abbreviations used in this schedule:
|
|
|
|
|
|
|
|
ADR
|
|
— American Depositary Receipts
|
|
GDR
|
|
— Global Depositary Receipts
|
|
NVDR
|
|
— Non Voting Depositary Receipt
|
|
OJSC
|
|
— Open Joint Stock Company
|
See
Notes to Schedule of Investments.
7
LEGG MASON BATTERYMARCH EMERGING MARKETS TRUST
|
|
|
|
|
Schedule of Investments (unaudited) (cont’d)
|
|
September 30, 2012
|
|
|
|
|
|
|
|
Summary of Investments by Country **
|
|
|
|
|
|
South Korea
|
|
|
16.8
|
%
|
|
Brazil
|
|
|
14.0
|
|
|
China
|
|
|
12.1
|
|
|
Russia
|
|
|
8.5
|
|
|
Taiwan
|
|
|
7.0
|
|
|
India
|
|
|
6.7
|
|
|
South Africa
|
|
|
5.7
|
|
|
Mexico
|
|
|
5.0
|
|
|
Hong Kong
|
|
|
5.0
|
|
|
Thailand
|
|
|
4.2
|
|
|
Turkey
|
|
|
3.2
|
|
|
Cayman Islands
|
|
|
2.2
|
|
|
Poland
|
|
|
1.8
|
|
|
Indonesia
|
|
|
1.4
|
|
|
Pakistan
|
|
|
0.9
|
|
|
Cyprus
|
|
|
0.7
|
|
|
Bermuda
|
|
|
0.5
|
|
|
Canada
|
|
|
0.5
|
|
|
Colombia
|
|
|
0.4
|
|
|
Kazakhstan
|
|
|
0.4
|
|
|
United Kingdom
|
|
|
0.3
|
|
|
British Virgin Islands
|
|
|
0.3
|
|
|
Chile
|
|
|
0.3
|
|
|
Netherlands
|
|
|
0.2
|
|
|
Sri Lanka
|
|
|
0.2
|
|
|
Jersey
|
|
|
0.2
|
|
|
Switzerland
|
|
|
0.1
|
|
|
United Arab Emirates
|
|
|
0.1
|
|
|
Short-Term Investments
|
|
|
1.3
|
|
|
|
|
|
100.0
|
%
|
|
**
|
As a percentage of total investments. Please note that Fund holdings are as of September 30, 2012 and are subject to change.
|
See
Notes to Schedule of Investments.
8
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Legg Mason Batterymarch Emerging Markets Trust (the “Fund”) is a separate diversified investment series of Legg Mason Global Asset Management 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. On April 30, 2012, the Fund was reorganized as a new series of the Trust. Prior to April
30, 2012, the Fund was organized as a series of Legg Mason Global Trust, Inc., a Maryland corporation.
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.
9
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:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer staples
|
|
$
|
24,513,942
|
|
|
$
|
912,162
|
|
|
|
—
|
|
|
$
|
25,426,104
|
|
|
Financials
|
|
|
124,758,172
|
|
|
|
9,376,936
|
|
|
|
—
|
|
|
|
134,135,108
|
|
|
Telecommunication services
|
|
|
26,347,377
|
|
|
|
1,379,389
|
|
|
|
—
|
|
|
|
27,726,766
|
|
|
Other common stocks
|
|
|
286,758,662
|
|
|
|
—
|
|
|
|
—
|
|
|
|
286,758,662
|
|
|
Preferred stocks
|
|
|
22,617,947
|
|
|
|
—
|
|
|
|
—
|
|
|
|
22,617,947
|
|
|
Rights
|
|
|
—
|
|
|
|
420,116
|
|
|
|
—
|
|
|
|
420,116
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total long-term investments
|
|
$
|
484,996,100
|
|
|
$
|
12,088,603
|
|
|
|
—
|
|
|
$
|
497,084,703
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-term investments†
|
|
|
—
|
|
|
|
6,361,000
|
|
|
|
—
|
|
|
|
6,361,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total investments
|
|
$
|
484,996,100
|
|
|
|
18,449,603
|
|
|
|
—
|
|
|
$
|
503,445,703
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other financial instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward currency contracts
|
|
|
—
|
|
|
$
|
24,394
|
|
|
|
—
|
|
|
$
|
24,394
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
484,996,100
|
|
|
$
|
18,473,997
|
|
|
|
—
|
|
|
$
|
503,470,097
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
†
|
See Schedule of Investments for additional detailed categorizations.
|
For the period ended September 30, 2012, as a result of the fair value pricing procedures for international equities utilized by the Fund, certain securities have transferred in and out of Level 1
and Level 2 measurements during the period. The Fund policy is to recognize transfers between levels as of the end of the reporting period. At September 30, 2012, securities valued at $75,342,932 were transferred from Level 2 to Level 1 within
the fair value hierarchy.
(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.
10
Notes to Schedule of Investments (unaudited) (continued)
(d) Forward foreign currency contracts.
The Fund enters into a forward
foreign currency contract to hedge against foreign currency exchange rate risk on its non-U.S. dollar denominated securities or to facilitate settlement of a foreign currency denominated portfolio transaction. A forward foreign currency contract is
an agreement between two parties to buy and sell a currency at a set price with delivery and settlement at a future date. The contract is marked-to-market daily and the change in value is recorded by the Fund as an unrealized gain or loss. When a
forward foreign currency contract is closed, through either delivery or offset by entering into another forward foreign currency contract, the Fund recognizes a realized gain or loss equal to the difference between the value of the contract at the
time it was opened and the value of the contract at the time it is closed.
When entering into a forward foreign currency contract, the Fund
bears the risk of an unfavorable change in the foreign exchange rate underlying the forward foreign currency contract. Risks may also arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of
their contracts.
(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 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 September 30, 2012, the Fund did not have any open derivative transactions with credit related
contingent features in a net liability position.
(f) 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.
(g) Security
transactions.
Security transactions are accounted for on a trade date basis.
2. Investments
At September 30, 2012, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially
as follows:
|
|
|
|
|
|
|
Gross unrealized appreciation
|
|
$
|
84,570,970
|
|
|
Gross unrealized depreciation
|
|
|
(23,872,010
|
)
|
|
|
|
|
|
|
|
Net unrealized appreciation
|
|
$
|
60,698,960
|
|
|
|
|
|
|
|
At September 30, 2012, the Fund had the following open forward foreign currency contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FOREIGN CURRENCY
|
|
COUNTERPARTY
|
|
|
LOCAL
CURRENCY
|
|
|
MARKET
VALUE
|
|
|
SETTLEMENT
DATE
|
|
|
UNREALIZED
GAIN
|
|
|
Contracts to Sell:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
South African Rand
|
|
|
State Street Bank & Trust Co.
|
|
|
|
24,183,072
|
|
|
$
|
2,904,331
|
|
|
|
10/1/12
|
|
|
$
|
24,394
|
|
11
Notes to Schedule of Investments (unaudited) (continued)
3. Derivative instruments and hedging activities
Financial Accounting Standards Board Codification Topic 815 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 September 30, 2012.
|
|
|
|
|
|
|
|
|
Forward Foreign
Currency
Contracts
|
|
|
Primary Underlying Risk Disclosure
|
|
Unrealized
Appreciation
|
|
|
Foreign Exchange Risk
|
|
$
|
24,394
|
|
During the period ended September 30, 2012, the volume of derivative activity for the Fund was as follows:
|
|
|
|
|
|
|
|
|
Average market value
|
|
|
Forward foreign currency contracts (to buy)†
|
|
$
|
77,771
|
|
|
Forward foreign currency contracts (to sell)
|
|
|
562,409
|
|
|
†
|
At September 30, 2012 there were no open positions held in this derivative.
|
12
|
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.
|
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 Global Asset Management Trust
|
|
|
|
|
By
|
|
/s/ R. J
AY
G
ERKEN
|
|
|
|
R. Jay Gerken
|
|
|
|
President
|
Date: November 26, 2012
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. J
AY
G
ERKEN
|
|
|
|
R. Jay Gerken
|
|
|
|
President
|
|
|
|
Date: November 26, 2012
|
|
|
|
|
By
|
|
/s/ R
ICHARD
F.
S
ENNETT
|
|
|
|
Richard F. Sennett
|
|
|
|
Principal Financial Officer
|
|
|
|
Date: November 26, 2012
|
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