Fair Value Measurements

12 Months Ended

Dec. 31, 2024

Man-AHL Diversified Trading Company L.P. [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

FAIR VALUE MEASUREMENTS

The Trading Company defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date under current market conditions. The fair value of the Trading Company’s assets and liabilities which qualify as financial instruments approximates the carrying amounts presented in the Statements of Financial Condition.

The inputs used to determine the fair value of the Trading Company’s investments are summarized in the three broad levels listed below:

•

Level 1 — quoted prices in active markets for identical assets or liabilities

•

Level 2 — investments with significant market observable inputs

•

Level 3 — investments with significant unobservable inputs, which may include the Trading Company’s own assumptions in determining the fair value of investments

Futures contracts are valued based on end of day quoted prices from the exchange and are categorized as Level 1 investments in the fair value hierarchy. Treasury bills, forward contracts and swap agreements are valued at fair value using independent pricing services, which use market observable inputs in their valuations, and are categorized as Level 2 investments in the fair value hierarchy. As at December 31, 2024 and December 31, 2023, the Trading Company did not have any positions categorized as Level 3 investments in the fair value hierarchy. The following is a summary categorization as at December 31, 2024 and December 31, 2023, of the Trading Company’s investments based on the level of inputs utilized in determining the value of such investments:


	Fair Value Measurements*
Investments	As at December 31, 2024			Level 1			Level 2			Level 3
Assets
Treasury bills	$	116,958,598		$	-		$	116,958,598		$	-
Futures contracts		5,255,569			5,255,569		-				-
Forward contracts		18,599,021			-			18,599,021			-
Swap agreements**		1,412		-				1,412			-
Total Assets		140,814,600			5,255,569			135,559,031			-
Liabilities
Futures contracts		(3,878,182	)		(3,878,182	)		-			-
Forward contracts		(7,418,496	)		-			(7,418,496	)		-
Swap agreements**		(703,235	)		-			(703,235	)		-
Total Liabilities		(11,999,913	)		(3,878,182	)		(8,121,731	)		-
Net Fair Value	$	128,814,687		$	1,377,387		$	127,437,300		$	-


	Fair Value Measurements*
Investments	As at December 31, 2023			Level 1			Level 2			Level 3
Assets
Treasury bills	$	134,766,295		$	-		$	134,766,295		$	-
Futures contracts		6,588,848			6,588,848		-				-
Forward contracts		12,154,169		-				12,154,169			-
Swap agreements**		2,834,692		-				2,834,692			-
Total Assets		156,344,004			6,588,848			149,755,156			-
Liabilities
Futures contracts		(1,783,291	)		(1,783,291	)	-			-
Forward contracts		(17,496,758	)		-			(17,496,758	)		-
Swap agreements**		-			-			-			-
Total Liabilities		(19,280,049	)		(1,783,291	)		(17,496,758	)		-
Net Fair Value	$	137,063,955		$	4,805,557		$	132,258,398		$	-

* Net cumulative unrealized appreciation/(depreciation) on futures contracts, forward contracts and centrally cleared swaps respectively, are reported in the Statements of Financial Condition.

** The Fair Value of credit default swaps excludes upfront premiums received/paid which are presented separately in the Statements of Financial Condition. Refer to Note 2 for further details on the accounting treatment of premiums on credit default swaps.

The Trading Company discloses the amounts of transfers and reasons for those transfers between levels of the fair value hierarchy, based on the levels assigned under the hierarchy at the reporting period end. There were no transfers between levels as at December 31, 2024 or 2023 based on the levels assigned at December 31, 2023 or 2022. The Trading Company did not hold any Level 3 investments as at or during the years ended December 31, 2024 or 2023.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References

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+ Details

MAN AHL DIVERSIFIED I LP 10-K