v3.26.3
Fair Value Measurements
 9 Months Ended
Sep. 30, 2026
Man-AHL Diversified Trading Company L.P. [Member]  
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]  
Fair Value Measurements

4. 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 September 30, 2026 and December 31, 2025, 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 September 30, 2026 and December 31, 2025, 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
September 30, 2026

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

Treasury bills

 

$

105,885,631

 

 

$

-

 

 

$

105,885,631

 

 

$

-

 

Futures contracts

 

 

6,578,870

 

 

 

6,578,870

 

 

 

-

 

 

 

-

 

Forward contracts

 

 

7,792,558

 

 

 

-

 

 

 

7,792,558

 

 

 

-

 

Swap agreements**

 

 

49,272

 

 

 

-

 

 

 

49,272

 

 

 

-

 

Total Assets

 

 

120,306,331

 

 

 

6,578,870

 

 

 

113,727,461

 

 

 

-

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Futures contracts

 

 

(2,327,610

)

 

 

(2,327,610

)

 

 

-

 

 

 

-

 

Forward contracts

 

 

(7,021,360

)

 

 

-

 

 

 

(7,021,360

)

 

 

-

 

Swap agreements**

 

 

(669,987

)

 

 

-

 

 

 

(669,987

)

 

 

-

 

Total Liabilities

 

 

(10,018,957

)

 

 

(2,327,610

)

 

 

(7,691,347

)

 

 

-

 

Net Fair Value

 

$

110,287,374

 

 

$

4,251,260

 

 

$

106,036,114

 

 

$

-

 

 

 

Fair Value Measurements *

 

Investments

 

As at
December 31, 2025

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

Treasury bills

 

$

89,597,699

 

 

$

-

 

 

$

89,597,699

 

 

$

-

 

Futures contracts

 

 

5,408,798

 

 

 

5,408,798

 

 

 

-

 

 

 

-

 

Forward contracts

 

 

8,468,234

 

 

 

-

 

 

 

8,468,234

 

 

 

-

 

Swap agreements**

 

 

348,240

 

 

 

-

 

 

 

348,240

 

 

 

-

 

Total Assets

 

 

103,822,971

 

 

 

5,408,798

 

 

 

98,414,173

 

 

 

-

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Futures contracts

 

 

(1,585,982

)

 

 

(1,585,982

)

 

 

-

 

 

 

-

 

Forward contracts

 

 

(3,569,661

)

 

 

-

 

 

 

(3,569,661

)

 

 

-

 

Total Liabilities

 

 

(5,155,643

)

 

 

(1,585,982

)

 

 

(3,569,661

)

 

-

 

Net Fair Value

 

$

98,667,328

 

 

$

3,822,816

 

 

$

94,844,512

 

 

$

-

 

 

* Gross unrealized appreciation/(depreciation) on futures contracts, forward contracts and centrally cleared swaps respectively, are included in the tables above. 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 September 30, 2026 or 2025 based on the levels assigned at December 31, 2025 or 2024.