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AIF risk & exposure reporting — Article 24(2)

The analytical core (items 121–280): detailed exposures by asset class, turnover and currency, market/counterparty/liquidity risk, special arrangements, ownership breakdown, monthly performance and stress tests.

Last updated: 2026-07-01 · For fund managers, AIFM staff, depositaries & reporting teams

The Article 24(2) block is the analytical heart of the report: individual exposures by detailed asset class, turnover and currency exposures, and the full risk profile — market-risk sensitivities, counterparty and clearing arrangements, collateral, portfolio and investor liquidity, special arrangements, the ownership breakdown, financing liquidity, operational data, monthly historical performance and stress-test results.

Individual exposures by asset class

Report the value of the AIF's exposures across the full ESMA asset-class taxonomy (Appendix A).

Q121–124Exposure value by sub-asset type

For every sub-asset type in which the AIF is invested, report the code and value. The taxonomy spans five macro classes:

  • a) Securities — cash (SEC_CSH_*), listed/unlisted equity (SEC_LEQ/UEQ), corporate bonds financial/non-financial × grade (SEC_CPN/CPI), sovereign (SEC_SBD), municipal, convertible, loans (SEC_LON), structured products (SEC_SSP: ABS, RMBS, CMBS, CDO/CLO…)
  • b) Derivatives — equity, fixed-income, CDS (single-name/index/exotic), FX (investment/hedging), interest-rate, commodity (energy, metals, agriculture), other (DER_*)
  • c) Physical / real assets — real estate, commodities, timber, art, transportation, other (PHY_*)
  • d) CIU — operated / not operated by the AIFM: MMF, ETF, other (CIU_*)
  • e) Other — total other (OTH_OTH_OTHR)
  • Q121 sub-asset code · Q122 gross value · Q123–124 long and short value
ESMA guidelines

Map each position to the most specific sub-asset code in Appendix A (Table 1) — do not aggregate to the macro level. Report gross value and the long/short split; the table must reconcile with the principal exposures (Q94–102) and turnover (Q125–127).

Example

Investment-grade financial corporate bonds are coded SEC_CPI_INVG; a long position of €30m and a short of €5m are entered as gross €35m with long €30m / short €5m.

Practical

Value every position, then classify. Use Appendix A codes exactly; leave classes with no exposure blank.

Sources

Template (Annex IV, Reg. 231/2013): Q121 “Sub-asset type code” · Q122 “Gross value” · Q123 “Long value” · Q124 “Short value”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
Guidance: derived from the template field definition under the article above (no field-specific ESMA/2014/869 paragraph)

Turnover by asset class

Report the value of turnover in each asset class over the reporting months, using the (shorter) turnover code list.

Q125–127Turnover value by asset class

For each traded asset class, report the turnover:

  • Q125 — Sub-asset type code (turnover taxonomy: SEC_*, DER_*, PHY_*, CIU_*, OTH_*)
  • Q126 — Market value of turnover
  • Q127 — Additional turnover detail as applicable
ESMA guidelines

Turnover is traded volume over the period, not the closing position; the turnover code list is coarser than the exposure list (e.g. a single SEC_LEQ_LEQ for listed equity turnover).

Example

€120m of listed-equity buys and sells over the period is reported as turnover under SEC_LEQ_LEQ.

Practical

Report in base currency; use the dedicated turnover codes, not the full exposure taxonomy.

Sources

Template (Annex IV, Reg. 231/2013): Q125 “Sub-asset type code” · Q126 “Market value” · Q127 “Notional value”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
Guidance: derived from the template field definition under the article above (no field-specific ESMA/2014/869 paragraph)

Currency of exposures

Report the total long and short value of exposures by currency, before currency hedging.

Q128–130Long/short exposure by currency

For each material currency of exposure:

  • Q128 — Currency of the exposure (ISO 4217)
  • Q129 — Long position value in that currency
  • Q130 — Short position value in that currency
ESMA guidelines

Amounts are reported before currency hedging so the regulator sees the raw currency footprint of the portfolio.

Example

A EUR fund holding US assets reports its USD long exposure gross, even though it is FX-hedged back to EUR.

Practical

Add one row per currency of exposure; report gross long and short before hedges.

Sources

Template (Annex IV, Reg. 231/2013): Q128 “Currency of the exposure” · Q129 “Currency Long Position Value” · Q130 “Currency Short Position Value”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
Guidance: derived from the template field definition under the article above (no field-specific ESMA/2014/869 paragraph)

Companies under dominant influence

For private-equity-type funds, identify companies over which the AIF has a dominant influence (Article 1 of Directive 83/349/EEC).

Q131–136Dominant-influence companies

For each company the AIF controls, report:

  • Q131 — Company name
  • Q132 — Company LEI code
  • Q133 — Company BIC code
  • Q134 — Transaction type
  • Q135–136 — Further identification/detail per company
ESMA guidelines

Guideline ¶108–109: the transaction type is chosen from a list (buyouts, acquisition capital, consolidations, corporate divestitures, ESOP, growth capital, recapitalisation, shareholder liquidity, turnarounds, other); when “Other” is used, explain the transaction.

Example

A buyout fund controlling a portfolio company reports its name and LEI, with transaction type Buyouts.

Practical

Complete only for Private Equity funds. List each controlled company with identifiers; explain any “Other” transaction type.

Sources

Template (Annex IV, Reg. 231/2013): Q131 “Dominant influence company name” · Q132 “Dominant influence company LEI code” · Q133 “Dominant influence company BIC code” · Q134 “Transaction Type” · Q135 “Description of other transaction type” · Q136 “% Voting Rights”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
ESMA guidelines: ESMA/2014/869 §108–109 (dominant influence / transaction type)

Market risk profile

Report the expected return and a set of standard market-risk sensitivity measures.

Q137Expected annual investment return / IRR (normal conditions)

Theory

The return the manager expects in normal market conditions, in percent.

ESMA guidelines

Reported as a percentage; based on the fund's own return assumptions.

Example

A credit fund expecting ~6% p.a. reports 6.

Practical

Report the expected annual return/IRR under normal conditions.

Sources

Template (Annex IV, Reg. 231/2013), item 137: “Expected annual investment return/IRR in normal market conditions (in %)”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
ESMA guidelines: ESMA/2014/869 §110–111 (market-risk measures)

Q138–147Risk measures (type, value, buckets)

Complete each applicable risk measure with its value and, where relevant, maturity buckets and vega scenarios:

  • Net Equity Delta (NET_EQTY_DELTA)
  • Net DV01 (NET_DV01) — buckets <5y / 5–15y / >15y
  • Net CS01 (NET_CS01) — same buckets
  • Vega exposure (VEGA_EXPO)
  • VaR (VAR)
  • Net FX Delta (NET_FX_DELTA)
  • Net Commodity Delta (NET_CTY_DELTA)
  • Q138 type · Q139 value · Q140–142 DV01/CS01 buckets · Q143–147 vega exposure scenarios (current and shifted market levels)
ESMA guidelines

Guideline ¶110–111: report Net DV01 and CS01 in the three maturity buckets (<5y, 5–15y, >15y) and the Net Equity Delta; always use the same methodology, and where a measure is reported as “0”, explain why in the assumptions. Vega, VaR, FX and commodity deltas are flagged as measures NCAs may require. Codes are listed in Appendix D.

Example

A rates fund reports NET_DV01 of €120k in the 5–15y bucket; an equity fund reports NET_EQTY_DELTA and leaves DV01/CS01 blank with a note.

Practical

Report only the measures relevant to the instruments held. Split DV01/CS01 into the three buckets; report vega at current and stressed levels. Explain any zeros (guideline ¶111).

Sources

Template (Annex IV, Reg. 231/2013): Q138 “Risk measure type” · Q139 “Risk measure value” · Q140 “Risk measure value for bucket: < 5 years” · Q141 “Risk measure value for bucket: 5-15 years” · Q142 “Risk measure value for bucket: > 15 years” · Q143 “Risk measure value for Vega exposure at current market levels” · Q144 “Risk measure value for Vega exposure at market levels 10% lower” · Q145 “Risk measure value for Vega exposure at market levels 10% higher” · Q146 “VAR Calculation Method Code Type *” · Q147 “Risk Measure description”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
ESMA guidelines: ESMA/2014/869 §110–111 (market-risk measures)

Counterparty risk — trading and clearing mechanisms

Report how securities and derivatives are traded and cleared, as percentages of market value or trade volume. Leave a block blank if the AIF trades none of that type.

Q148Securities traded on a regulated exchange (%)

Theory

Estimated % (by market value) of securities traded on a regulated exchange.

ESMA guidelines

Guideline ¶112–113 frame the trading/clearing section; leave blank if no securities are traded.

Example

A long-only equity fund reports ~95% on-exchange.

Practical

Q148 + Q149 describe how securities are executed.

Sources

Template (Annex IV, Reg. 231/2013), item 148: “On a regulated exchange”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
ESMA guidelines: ESMA/2014/869 §112–113 (trading & clearing mechanisms)

Q149Securities traded OTC (%)

Theory

Estimated % (by market value) of securities traded over-the-counter.

ESMA guidelines

Complement of Q148 for the securities book.

Example

~5% OTC for that fund.

Practical

Should be broadly complementary to Q148.

Sources

Template (Annex IV, Reg. 231/2013), item 149: “OTC”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
ESMA guidelines: ESMA/2014/869 §112–113 (trading & clearing mechanisms)

Q150Derivatives traded on a regulated exchange (%)

Theory

Estimated % (by trade volume) of derivatives traded on a regulated exchange.

ESMA guidelines

Measured by trade volume; listed derivatives are excluded from the EMIR-cleared figures (guideline ¶112).

Example

Futures-based CTA reports high on-exchange %.

Practical

Leave blank if no derivatives are traded.

Sources

Template (Annex IV, Reg. 231/2013), item 150: “On a regulated exchange”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
ESMA guidelines: ESMA/2014/869 §112–113 (trading & clearing mechanisms)

Q151Derivatives traded OTC (%)

Theory

Estimated % (by trade volume) of derivatives traded OTC.

ESMA guidelines

Complement of Q150.

Example

OTC swaps share of the derivatives book.

Practical

Complementary to Q150.

Sources

Template (Annex IV, Reg. 231/2013), item 151: “OTC”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
ESMA guidelines: ESMA/2014/869 §112–113 (trading & clearing mechanisms)

Q152Derivative transactions cleared by a CCP (%)

Theory

Estimated % (by trade volume) of derivative transactions cleared through a CCP.

ESMA guidelines

Reflects central-clearing penetration under EMIR; listed derivatives are not counted here (guideline ¶112).

Example

Interest-rate swaps cleared via a CCP reported here.

Practical

Leave blank if no derivatives are traded.

Sources

Template (Annex IV, Reg. 231/2013), item 152: “By a CCP”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
ESMA guidelines: ESMA/2014/869 §112–113 (trading & clearing mechanisms)

Q153Derivative transactions cleared bilaterally (%)

Theory

Estimated % (by trade volume) of derivative transactions cleared bilaterally.

ESMA guidelines

Complement of Q152.

Example

Uncleared FX forwards share.

Practical

Complementary to Q152.

Sources

Template (Annex IV, Reg. 231/2013), item 153: “Bilaterally”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
ESMA guidelines: ESMA/2014/869 §112–113 (trading & clearing mechanisms)

Q154Repo trades cleared by a CCP (%)

Theory

Estimated % (by market value) of repo trades cleared through a CCP.

ESMA guidelines

Guideline ¶113: repo reporting also includes reverse repos.

Example

A fund clearing repos via LCH reports the CCP share.

Practical

Leave blank if no repos are traded.

Sources

Template (Annex IV, Reg. 231/2013), item 154: “By a CCP”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
ESMA guidelines: ESMA/2014/869 §112–113 (trading & clearing mechanisms)

Q155Repo trades cleared bilaterally (%)

Theory

Estimated % (by market value) of repo trades cleared bilaterally.

ESMA guidelines

Part of the repo-clearing split.

Example

Bilateral repo share.

Practical

Part of the repo-clearing split.

Sources

Template (Annex IV, Reg. 231/2013), item 155: “Bilaterally”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
ESMA guidelines: ESMA/2014/869 §112–113 (trading & clearing mechanisms)

Q156Repo trades cleared tri-party (%)

Theory

Estimated % (by market value) of repo trades settled tri-party.

ESMA guidelines

Third leg of the repo split.

Example

Tri-party repo via a triparty agent.

Practical

Q154–156 should reconcile across the repo book.

Sources

Template (Annex IV, Reg. 231/2013), item 156: “Tri-party”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
ESMA guidelines: ESMA/2014/869 §112–113 (trading & clearing mechanisms)

Collateral and credit support posted

Report the value of collateral and other credit support the AIF has posted to counterparties, split by form.

Q157Collateral posted in cash and cash equivalents

Theory

Value of collateral posted as cash / cash equivalents.

ESMA guidelines

Guideline ¶114: include all collateral posted (including under repos/securities-borrowing); repos and reverse repos with the same counterparty may be netted if secured by the same collateral type; use mark-to-market as at period end.

Example

Cash margin posted to a swap counterparty.

Practical

Report in base currency; this is collateral posted (an exposure to counterparties).

Sources

Template (Annex IV, Reg. 231/2013), item 157: “a) Value of collateral posted in the form of cash and cash equivalents”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
ESMA guidelines: ESMA/2014/869 §114 (value of collateral posted)

Q158Collateral posted in other securities

Theory

Value of collateral posted in the form of securities (excluding cash).

ESMA guidelines

Mark-to-market value as at period end.

Example

Bonds pledged to a prime broker.

Practical

Value at market as at period end.

Sources

Template (Annex IV, Reg. 231/2013), item 158: “b) Value of collateral posted in the form of other securities (excluding cash and cash equivalents)”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
ESMA guidelines: ESMA/2014/869 §114 (value of collateral posted)

Q159Other collateral and credit support posted

Theory

Value of any other collateral/credit support posted.

ESMA guidelines

Captures forms not covered by Q157–158, per the ESMA valuation instruction.

Example

Letters of credit or other support.

Practical

Follow the ESMA valuation instruction for other forms.

Sources

Template (Annex IV, Reg. 231/2013), item 159: “c) Value of other collateral and credit support posted (including face amount of letters of credit and similar third party credit support)”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
ESMA guidelines: ESMA/2014/869 §114 (value of collateral posted)

Top five counterparty exposures

Identify the five counterparties to which the AIF is most exposed, and the five most exposed to the AIF (both excluding CCPs).

Q160–171Top-5 counterparties (both directions)

Two ranked tables of five counterparties each:

  • Q160–165 — Top five counterparties to which the AIF is most exposed: ranking, exposure flag, name, LEI (and detail)
  • Q166–171 — Top five counterparties with the greatest mark-to-market exposure to the AIF: ranking, exposure flag, name, LEI (and detail)
ESMA guidelines

Counterparties are identified by LEI (or IEI/BIC); CCPs are excluded here and reported separately at Q172–177.

Example

Prime broker A (LEI …) ranked 1st on both the AIF-to-counterparty and counterparty-to-AIF tables.

Practical

Provide the LEI for each; rank by net exposure; complete only the ranks that exist.

Sources

Template (Annex IV, Reg. 231/2013): Q160 “Ranking” · Q161 “Counterparty exposure flag” · Q162 “Name of counterparty” · Q163 “LEI code of counterparty” · Q164 “BIC code of counterparty” · Q165 “NAV percentage of the total exposure value of the counterparty” · Q166 “Ranking” · Q167 “Counterparty exposure flag” · Q168 “Name of counterparty” · Q169 “LEI code of counterparty” · Q170 “BIC code of counterparty” · Q171 “NAV percentage of the total exposure value of the counterparty”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
Guidance: derived from the template field definition under the article above (no field-specific ESMA/2014/869 paragraph)

Direct clearing through CCPs

State whether the AIF cleared any transactions directly through CCPs and, if so, identify the top three.

Q172Direct CCP clearing during the period

Theory

Whether the AIF cleared any transactions directly through a CCP in the period.

ESMA guidelines

Gateway question for the CCP block.

Example

A fund clearing IRS directly at a CCP answers Yes.

Practical

Answer Yes/No. If No, skip Q173–177 and continue at Q178.

Sources

Template (Annex IV, Reg. 231/2013), item 172: “a) During the reporting period, did the AIF clear any transactions directly through a CCP?”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
Guidance: derived from the template field definition under the article above (no field-specific ESMA/2014/869 paragraph)

Q173–177Top three CCPs

If Q172 is Yes, identify the three most-used CCPs:

  • Q173 — Ranking (CCP 1–3)
  • Q174 — Name of CCP
  • Q175 — LEI code of CCP
  • Q176 — BIC code of CCP
  • Q177 — Further CCP detail as applicable
ESMA guidelines

CCPs identified by LEI/BIC; only the three most-used are reported.

Example

1st: LCH (LEI …); 2nd: Eurex Clearing.

Practical

Provide LEIs; leave rows blank if fewer than three are used.

Sources

Template (Annex IV, Reg. 231/2013): Q173 “Ranking” · Q174 “Name of CCP” · Q175 “LEI code of CCP” · Q176 “BIC code of CCP” · Q177 “Exposure value of CCP”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
Guidance: derived from the template field definition under the article above (no field-specific ESMA/2014/869 paragraph)

Portfolio liquidity profile

Report the percentage of the portfolio capable of being liquidated within each time bucket, plus unencumbered cash.

Q178–185Portfolio liquidity buckets

Percentage of the portfolio liquidatable within:

  • Q178 1 day or less
  • Q179 2–7 days
  • Q180 8–30 days
  • Q181 31–90 days
  • Q182 91–180 days
  • Q183 181–365 days
  • Q184 more than 365 days
  • Q185 Value of unencumbered cash
ESMA guidelines

Guideline ¶118: report the percentage of the portfolio that could reasonably be liquidated within each period at or near carrying value; the buckets (Q178–184) must total 100%.

Example

A liquid credit fund: 60% within 1 day, 30% in 2–7 days, 10% in 8–30 days; unencumbered cash €25m.

Practical

Assign each position to the shortest realistic bucket; Q178–184 total 100%; Q185 is an absolute value, not a percentage.

Sources

Template (Annex IV, Reg. 231/2013): Q178 “1 day or less” · Q179 “2 – 7 days” · Q180 “8 – 30 days” · Q181 “31 - 90 days” · Q182 “91 - 180 days” · Q183 “181 – 365 days” · Q184 “more than 365 days” · Q185 “Value of unencumbered cash”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
ESMA guidelines: ESMA/2014/869 §118 (portfolio liquidity profile)

Investor liquidity profile

Report the percentage of investor equity that can be redeemed within each time bucket (as a % of NAV).

Q186–192Investor liquidity buckets

Percentage of investor equity redeemable within:

  • Q186 1 day or less
  • Q187 2–7 days
  • Q188 8–30 days
  • Q189 31–90 days
  • Q190 91–180 days
  • Q191 181–365 days
  • Q192 more than 365 days
ESMA guidelines

Guideline ¶119 onwards: base this on the redemption terms offered to investors. Comparing it with the portfolio liquidity profile reveals liquidity mismatch — a key supervisory metric.

Example

A monthly-dealing fund with 30-day notice reports 100% in the 31–90 day bucket.

Practical

Reflect the actual redemption terms (frequency, notice, lock-ups); buckets total 100%.

Sources

Template (Annex IV, Reg. 231/2013): Q186 “1 day or less” · Q187 “2 – 7 days” · Q188 “8 – 30 days” · Q189 “31 - 90 days” · Q190 “91 - 180 days” · Q191 “181 – 365 days” · Q192 “more than 365 days”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
ESMA guidelines: ESMA/2014/869 §119 (investor liquidity profile)

Investor redemption terms

Q193Withdrawal / redemption rights

Theory

Whether the AIF provides investors with redemption rights in the ordinary course.

ESMA guidelines

Open-ended funds normally Yes; closed-ended PE/RE normally No.

Example

An open-ended UCI Part II fund answers Yes.

Practical

Answer Yes/No.

Sources

Template (Annex IV, Reg. 231/2013), item 193: “a) Does the AIF provide investors with withdrawal / redemption rights in the ordinary course?”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
Guidance: derived from the template field definition under the article above (no field-specific ESMA/2014/869 paragraph)

Q194Frequency of investor redemptions

Theory

The redemption frequency offered.

ESMA guidelines

Where classes differ, report on the most representative / asset-weighted basis.

Example

Monthly.

Practical

Report per the ESMA instruction where classes differ.

Sources

Template (Annex IV, Reg. 231/2013), item 194: “b) What is the frequency of investor redemptions (if multiple classes of shares or units, report for the largest share class by NAV) [Select one] Daily Weekly Fortnightly Monthly Quarterly Half-yearly Yearly Other None”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
Guidance: derived from the template field definition under the article above (no field-specific ESMA/2014/869 paragraph)

Q195Notice period (days)

Theory

Notice investors must give for redemptions.

ESMA guidelines

Asset-weighted where classes differ.

Example

30 days.

Practical

Report in days; asset-weight across classes.

Sources

Template (Annex IV, Reg. 231/2013), item 195: “c) What is the notice period required by investors for redemptions in days”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
Guidance: derived from the template field definition under the article above (no field-specific ESMA/2014/869 paragraph)

Q196Investor lock-up period (days)

Theory

Lock-up during which investors cannot redeem.

ESMA guidelines

Asset-weighted where classes differ.

Example

365 days for a fund with a one-year lock-up; 0 if none.

Practical

Report in days; enter 0 if none.

Sources

Template (Annex IV, Reg. 231/2013), item 196: “d) What is the investor ‘lock-up’ period in days (report asset weighted notice period if multiple classes or shares or units)”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
Guidance: derived from the template field definition under the article above (no field-specific ESMA/2014/869 paragraph)

Special arrangements and preferential treatment

Report the use of liquidity-management special arrangements and whether any investors receive preferential treatment.

Q197Side pockets (% of NAV)

Theory

Percentage of NAV subject to side-pocket arrangements.

ESMA guidelines

Point-in-time as at reporting date.

Example

10% of NAV side-pocketed for illiquid positions.

Practical

Report the % of NAV in side pockets; 0 if none.

Sources

Template (Annex IV, Reg. 231/2013), item 197: “Side pockets (in %)”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
Guidance: derived from the template field definition under the article above (no field-specific ESMA/2014/869 paragraph)

Q198Gates (% of NAV)

Theory

Percentage of NAV subject to redemption gates.

ESMA guidelines

As at reporting date.

Example

0% if no gate is active.

Practical

Report the % of NAV gated.

Sources

Template (Annex IV, Reg. 231/2013), item 198: “Gates (in %)”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
Guidance: derived from the template field definition under the article above (no field-specific ESMA/2014/869 paragraph)

Q199Suspension of dealing (% of NAV)

Theory

Percentage of NAV subject to a suspension of dealing.

ESMA guidelines

As at reporting date.

Example

0% if dealing is open.

Practical

Report the % under suspension.

Sources

Template (Annex IV, Reg. 231/2013), item 199: “Suspension of dealing (in %)”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
Guidance: derived from the template field definition under the article above (no field-specific ESMA/2014/869 paragraph)

Q200Other arrangements type

Theory

Type of any other arrangement used to manage illiquid assets.

ESMA guidelines

Describe/select where Q201 is populated.

Example

“Redemption in specie”.

Practical

Populate where Q201 applies.

Sources

Template (Annex IV, Reg. 231/2013), item 200: “Other arrangements type”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
Guidance: derived from the template field definition under the article above (no field-specific ESMA/2014/869 paragraph)

Q201Other arrangements for illiquid assets (% of NAV)

Theory

Percentage of NAV managed under other illiquidity arrangements.

ESMA guidelines

Captures forms not in Q197–199.

Example

5% under an in-specie mechanism.

Practical

Report the % under other arrangements.

Sources

Template (Annex IV, Reg. 231/2013), item 201: “Other arrangements for managing illiquid assets (in %)”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
Guidance: derived from the template field definition under the article above (no field-specific ESMA/2014/869 paragraph)

Q202Special arrangements as % of NAV

Theory

Aggregate percentage of NAV subject to special arrangements.

ESMA guidelines

Should reconcile with Q197–201.

Example

15% aggregate.

Practical

Provide the total across arrangement types.

Sources

Template (Annex IV, Reg. 231/2013), item 202: “Special arrangements as a % of NAV”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
Guidance: derived from the template field definition under the article above (no field-specific ESMA/2014/869 paragraph)

Q203Preferential treatment (Yes/No)

Theory

Whether any investors obtain preferential treatment or the right to it.

ESMA guidelines

Gateway for Q204–207.

Example

Yes where side letters exist.

Practical

If Yes, complete Q204–207.

Sources

Template (Annex IV, Reg. 231/2013), item 203: “c) Are there any investors who obtain preferential treatment or the right to preferential treatment (e.g. through a side letter) and therefore are subject to disclosure to the investors in the AIF in accordance with Article 23(1)(j) of the AIFMD?”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
Guidance: derived from the template field definition under the article above (no field-specific ESMA/2014/869 paragraph)

Q204Preferential treatment — disclosure/reporting

Theory

Preferential different disclosure/reporting to investors.

ESMA guidelines

Sub-category of preferential treatment.

Example

An anchor investor receiving enhanced transparency reports.

Practical

Flag where certain investors get different reporting.

Sources

Template (Annex IV, Reg. 231/2013), item 204: “Concerning different disclosure/reporting to investors”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
Guidance: derived from the template field definition under the article above (no field-specific ESMA/2014/869 paragraph)

Q205Preferential treatment — liquidity terms

Theory

Preferential different liquidity terms.

ESMA guidelines

Sub-category; e.g. side letters.

Example

An investor with shorter notice via a side letter.

Practical

Flag where certain investors have better liquidity terms.

Sources

Template (Annex IV, Reg. 231/2013), item 205: “Concerning different investor liquidity terms”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
Guidance: derived from the template field definition under the article above (no field-specific ESMA/2014/869 paragraph)

Q206Preferential treatment — fee terms

Theory

Preferential different fee terms.

ESMA guidelines

Sub-category.

Example

A founder-class investor paying reduced fees.

Practical

Flag where certain investors pay different fees.

Sources

Template (Annex IV, Reg. 231/2013), item 206: “Concerning different fee terms for investors”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
Guidance: derived from the template field definition under the article above (no field-specific ESMA/2014/869 paragraph)

Q207Preferential treatment — other

Theory

Any preferential treatment other than the above.

ESMA guidelines

Catch-all sub-category.

Example

Co-investment rights granted to a large investor.

Practical

Use for preferential terms not captured by Q204–206.

Sources

Template (Annex IV, Reg. 231/2013), item 207: “Preferential treatment other than that specified above”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
Guidance: derived from the template field definition under the article above (no field-specific ESMA/2014/869 paragraph)

Ownership of units by investor group

Break down ownership of the AIF's units by investor group type, as a % of NAV, looking through to beneficial owners where possible.

Q208–209Investor-group NAV shares

For each investor group type (Appendix C), report its share of NAV:

  • Non-financial corporations (NFCO) · Banks (BANK) · Other CIU (OCIU) · Other financial institutions (OFIN)
  • Insurance (INSC) · Pension funds (PFND) · General government (GENG) · Households (HHLD)
  • Unknown (UNKN) · None (NONE)
  • Q208 investor group type · Q209 NAV rate (%)
ESMA guidelines

Look through to the beneficial-owner type where known; use UNKN for genuinely unknown holdings rather than forcing a category. The shares should sum to 100% of NAV.

Example

Pension funds PFND 45%, insurers INSC 30%, other financials OFIN 20%, unknown UNKN 5%.

Practical

Report per investor group; codes in Appendix C; totals reconcile to 100%.

Sources

Template (Annex IV, Reg. 231/2013): Q208 “Investor Group Type” · Q209 “Investor group NAV rate”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
Guidance: derived from the template field definition under the article above (no field-specific ESMA/2014/869 paragraph)

Financing liquidity

Report the aggregate borrowing/cash financing available to the AIF and how quickly it could be drawn.

Q210Aggregate borrowing and cash financing available

Theory

The aggregate amount of borrowing and cash financing available to the AIF.

ESMA guidelines

Per the reporting template, this figure includes all drawn and undrawn, committed and uncommitted lines of credit, as well as any term financing. Reported in the base currency of the AIF.

Example

A fund with a €80m drawn term loan, a €20m undrawn but committed revolving facility and a €10m uncommitted line reports €110m in aggregate.

Practical

Include drawn + undrawn and committed + uncommitted lines plus term financing — not only the drawn amount; then allocate the total across Q211–217.

Sources

Template (Annex IV, Reg. 231/2013), item 210: “a) Provide the aggregate amount of borrowing and cash financing available to the AIF (including all drawn and undrawn, committed and uncommitted lines of credit as well as any term financing)”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
Guidance: derived from the template field definition under the article above (no field-specific ESMA/2014/869 paragraph)

Q211–217Availability of financing by period

Divide the Q210 amount among the periods below:

  • Q211 1 day or less
  • Q212 2–7 days
  • Q213 8–30 days
  • Q214 31–90 days
  • Q215 91–180 days
  • Q216 181–365 days
  • Q217 more than 365 days
ESMA guidelines

The template instruction is to divide the amount reported at Q210 among these periods depending on the longest period for which the creditor is contractually committed to provide such financing. The buckets therefore sum to the Q210 amount.

Example

Of a €110m total, a €10m uncommitted line (callable/withdrawable at any time) falls in “1 day or less”, while an €80m term loan committed for 3 years falls in “more than 365 days”.

Practical

Bucket each tranche by the longest period the creditor is contractually committed to provide it, not by when you expect to draw it; the sum equals Q210.

Sources

Template (Annex IV, Reg. 231/2013): Q211 “1 day or less” · Q212 “2 – 7 days” · Q213 “8 – 30 days” · Q214 “31 - 90 days” · Q215 “91 - 180 days” · Q216 “181 – 365 days” · Q217 “more than 365 days”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
Guidance: derived from the template field definition under the article above (no field-specific ESMA/2014/869 paragraph)

Operational and other risk

Q218Total number of open positions

Theory

The count of open positions held by the AIF as at the reporting date.

ESMA guidelines

Guideline ¶128: calculate at position level (not issuer level), as at the last business day of the period.

Example

A fund holding 340 distinct open positions reports 340.

Practical

Count at position level as at period end — a proxy for operational complexity.

Sources

Template (Annex IV, Reg. 231/2013), item 218: “Total number of open positions”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
ESMA guidelines: ESMA/2014/869 §128 (total number of open positions)

Historical risk profile (monthly)

Report monthly performance and flow figures over the reporting period across five series, each January to December.

Q219–278Monthly series (Jan–Dec × 5)

Five monthly series, each with twelve month fields:

  • Q219–230 — a) Gross investment returns / IRR (%), Jan–Dec
  • Q231–242 — b) Net investment returns / IRR (%), Jan–Dec
  • Q243–254 — c) Change in NAV (%), Jan–Dec
  • Q255–266 — d) Subscriptions (value), Jan–Dec
  • Q267–278 — e) Redemptions (value), Jan–Dec
ESMA guidelines

Guideline ¶129–131: report gross and net returns for each month at AIF level (not per share class); the change in NAV is net of fees and includes the impact of subscriptions and redemptions; for PE funds, subscriptions are the actual amounts paid, not committed capital.

Example

For a quarterly Q1 report, complete January, February and March in each series and leave April–December blank; e.g. gross return Jan +1.2%, Feb -0.4%, Mar +0.9%.

Practical

Complete only months within the reporting period. Returns are % (gross before fees, net after); subscriptions/redemptions are values in base currency.

Sources

Template (Annex IV, Reg. 231/2013): Q219 “January” · Q220 “February” · Q221 “March” · Q222 “April” · Q223 “May” · Q224 “June” · Q225 “July” · Q226 “August” · Q227 “September” · Q228 “October” · Q229 “November” · Q230 “December” · Q231 “January” · Q232 “February” · Q233 “March” · Q234 “April” · Q235 “May” · Q236 “June” · Q237 “July” · Q238 “August” · Q239 “September” · Q240 “October” · Q241 “November” · Q242 “December” · Q243 “January” · Q244 “February” · Q245 “March” · Q246 “April” · Q247 “May” · Q248 “June” · Q249 “July” · Q250 “August” · Q251 “September” · Q252 “October” · Q253 “November” · Q254 “December” · Q255 “January” · Q256 “February” · Q257 “March” · Q258 “April” · Q259 “May” · Q260 “June” · Q261 “July” · Q262 “August” · Q263 “September” · Q264 “October” · Q265 “November” · Q266 “December” · Q267 “January” · Q268 “February” · Q269 “March” · Q270 “April” · Q271 “May” · Q272 “June” · Q273 “July” · Q274 “August” · Q275 “September” · Q276 “October” · Q277 “November” · Q278 “December”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
ESMA guidelines: ESMA/2014/869 §129 (gross investment returns)

Results of stress tests

Q279Stress-test results — Article 15(3)(b)

Theory

Results of stress tests on the risks associated with each position and their effect on the portfolio.

ESMA guidelines

Required under Article 15(3)(b) AIFMD; describe scenarios and portfolio impact consistent with your risk-management policy.

Example

“A 100bp rates shock reduces NAV by ~2.3%; a 20% equity drawdown reduces NAV by ~4.1%.”

Practical

Provide a concise, factual description of scenarios and impacts; align with your risk policy.

Sources

Template (Annex IV, Reg. 231/2013), item 279: “Please provide the results of the stress tests performed in accordance with point (b) of Article 15(3) of Directive 2011/61/EU [risks associated with each investment position of the AIF and their overall effect on the AIF’s portfolio can be properly identified, measured, managed and monitored on an on-going basis, including through the use of appropriate stress testing procedures;] (free text)”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
Guidance: derived from the template field definition under the article above (no field-specific ESMA/2014/869 paragraph)

Q280Stress-test results — Article 16(1)

Theory

Results of liquidity stress tests (ability to meet redemptions under stressed conditions).

ESMA guidelines

Required under Article 16(1), second subparagraph, AIFMD; consistent with your liquidity-management policy.

Example

“Under a combined 25% redemption + market stress, the fund meets redemptions from cash and 1–7 day assets without gating.”

Practical

Describe the liquidity scenarios and outcomes; consistent with your liquidity policy.

Sources

Template (Annex IV, Reg. 231/2013), item 280: “Please provide the results of the stress tests performed in accordance with the second subparagraph of Article 16(1) of Directive 2011/61/EU. [AIFMs shall regularly conduct stress tests, under normal and exceptional liquidity conditions, which enable them to assess the liquidity risk of the AIFs and monitor the liquidity risk of the AIFs accordingly.] (free text)”
Legal basis: Article 24(2) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
Guidance: derived from the template field definition under the article above (no field-specific ESMA/2014/869 paragraph)

Q&A Related ESMA questions & answers

Answers are based on the ESMA guidelines (ESMA/2014/869), Directive 2011/61/EU and Delegated Regulation (EU) No 231/2013; the applicable guideline paragraph (§) or article is cited inline in each answer.

Should DV01 and CS01 be reported for every fund?

Only where relevant to the instruments held. Guideline ¶110 requires Net DV01 and CS01 in three maturity buckets (<5y, 5–15y, >15y) and the Net Equity Delta; an equity-only fund would typically report the equity delta and leave the rate/credit measures blank. Where you report “0” for a measure, ¶111 requires an explanation in the assumptions (Q14–15), and the same methodology must be used period to period.

How is collateral posted valued, and can repos be netted?

Guideline ¶114: include all collateral posted to counterparties (including assets sold and pledged under repos and collateral posted where the secured party has borrowed securities), valued mark-to-market as at the last business day. Repos and reverse repos with the same counterparty may be netted to the extent they are secured by the same type of collateral.

Do the portfolio and investor liquidity buckets both have to total 100%?

Yes. The portfolio liquidity buckets (Q178–184) total 100% of the portfolio (guideline ¶118), and the investor liquidity buckets (Q186–192) total 100% of investor equity. Supervisors compare the two profiles to detect liquidity mismatch; unencumbered cash (Q185) is reported as an absolute value alongside.

For a private equity fund, are subscriptions the committed or the drawn capital?

Guideline ¶131: for AIFs with private equity as the predominant type, subscriptions are based on the actual amount paid by investors in each month of the reporting period, not the promised/committed capital.

Are listed derivatives included in the EMIR-cleared percentages?

No. Guideline ¶112: when reporting derivative transactions cleared under EMIR obligations, listed derivatives are not taken into account. Repo reporting, by contrast, also includes reverse repo transactions (¶113).

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This guide is provided for information purposes only and reflects the ESMA reporting guidelines (ESMA/2014/869), Commission Delegated Regulation (EU) No 231/2013 and the ESMA XSD schemas. It does not constitute legal or regulatory advice. Always confirm current requirements and technical formats with your National Competent Authority and the latest ESMA validation rules before filing.