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AIF leverage reporting — Article 24(4)

For AIFs employing leverage on a substantial basis (items 281–299): rehypothecation, value and form of borrowing, controlled structures, gross and commitment leverage, and the five largest borrowing sources.

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

The Article 24(4) block is completed for AIFs that employ leverage on a substantial basis — under Article 111 AIFMR, where exposure calculated on the gross method exceeds three times NAV. It covers rehypothecation of collateral received, the value and form of borrowing, gross exposure through controlled structures, the two regulatory leverage measures, and the five largest sources of borrowed cash or securities.

Rehypothecation of collateral

Q281Rehypothecation flag

Theory

Whether collateral received by the AIF has been reused (rehypothecated) by counterparties.

ESMA guidelines

Gateway to Q282; consistent with the collateral concepts in the 24(2) block.

Example

A hedge fund whose prime broker reuses its posted collateral answers Yes.

Practical

Answer Yes/No; if Yes, quantify in Q282.

Sources

Template (Annex IV, Reg. 231/2013), item 281: “Rehypothecation flag”
Legal basis: Article 24(4) 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)

Q282Amount of collateral rehypothecated

Theory

Of the collateral/credit support received, the amount that has been rehypothecated.

ESMA guidelines

Reported in base currency; ties back to the collateral figures in the 24(2) block.

Example

€40m of €100m collateral received has been reused.

Practical

Report the reused amount in base currency.

Sources

Template (Annex IV, Reg. 231/2013), item 282: “Of the amount of collateral and other credit support that the reporting fund has posted to counterparties: what percentage has been re-hypothecated by counterparties?”
Legal basis: Article 24(4) 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)

Value and form of borrowing

Report the value of borrowings of cash or securities, split by source, and the borrowing embedded in financial instruments.

Q283Unsecured cash borrowing

Theory

Value of cash borrowed on an unsecured basis.

ESMA guidelines

Part of the borrowing decomposition; base currency.

Example

A €10m unsecured revolving facility drawn.

Practical

Unsecured lines only.

Sources

Template (Annex IV, Reg. 231/2013), item 283: “Unsecured cash borrowing:”
Legal basis: Article 24(4) 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)

Q284Secured cash borrowing — via prime broker

Theory

Collateralised/secured cash borrowing obtained through prime brokers.

ESMA guidelines

Prime-broker-intermediated secured borrowing.

Example

€60m of margin financing from a PB.

Practical

Capture secured borrowing via prime brokers.

Sources

Template (Annex IV, Reg. 231/2013), item 284: “Collateralised/secured cash borrowing — Via Prime Broker:”
Legal basis: Article 24(4) 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)

Q285Secured cash borrowing — via (reverse) repo

Theory

Secured cash borrowing via repo / reverse repo.

ESMA guidelines

Repo-financed borrowing (guideline ¶113 also covers reverse repo).

Example

€25m raised via repo of sovereign bonds.

Practical

Report repo-financed borrowing.

Sources

Template (Annex IV, Reg. 231/2013), item 285: “Collateralised/secured cash borrowing — Via (reverse) repo:”
Legal basis: Article 24(4) 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)

Q286Secured cash borrowing — via other

Theory

Secured cash borrowing from other sources.

ESMA guidelines

Residual secured category.

Example

A secured bank loan not via PB or repo.

Practical

Capture secured borrowing not via prime broker or repo.

Sources

Template (Annex IV, Reg. 231/2013), item 286: “Collateralised/secured cash borrowing — Via Other:”
Legal basis: Article 24(4) 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)

Q287Borrowing embedded — exchange-traded derivatives

Theory

Gross exposure of exchange-traded derivatives less margin posted.

ESMA guidelines

Captures leverage embedded in ETDs.

Example

Futures gross exposure €80m less €8m margin = €72m.

Practical

Report ETD embedded leverage net of posted margin.

Sources

Template (Annex IV, Reg. 231/2013), item 287: “Exchange-traded Derivatives: Gross Exposure less margin posted”
Legal basis: Article 24(4) 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)

Q288Borrowing embedded — OTC derivatives

Theory

Gross exposure of OTC derivatives less margin posted.

ESMA guidelines

Captures leverage embedded in OTC derivatives.

Example

Swap gross exposure €50m less €5m margin = €45m.

Practical

Report OTC embedded leverage net of posted margin.

Sources

Template (Annex IV, Reg. 231/2013), item 288: “OTC Derivatives: Gross Exposure less margin posted”
Legal basis: Article 24(4) 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)

Q289Value of securities borrowed for short positions

Theory

Value of securities borrowed to establish short positions.

ESMA guidelines

Market value of the borrowed securities.

Example

€30m of equities borrowed to short.

Practical

Report the market value of borrowed securities used for shorting.

Sources

Template (Annex IV, Reg. 231/2013), item 289: “Value of securities borrowed for short positions”
Legal basis: Article 24(4) 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)

Gross exposure of controlled structures

Identify financial and, where relevant, legal structures controlled by the AIF, through which it gains exposure.

Q290–293Controlled structures

For each controlled financial/legal structure, report:

  • Q290 — Controlled structure name
  • Q291 — Controlled structure LEI code
  • Q292 — Controlled structure BIC code
  • Q293 — Gross exposure obtained through the structure
ESMA guidelines

Captures SPVs/holding structures set up to obtain exposure (common in real-estate and PE), identified by LEI where available.

Example

A real-estate fund holding assets via three PropCos lists each SPV with its LEI and the gross exposure routed through it.

Practical

List each controlled structure with identifiers and the gross exposure it carries.

Sources

Template (Annex IV, Reg. 231/2013): Q290 “Controlled structure Name” · Q291 “Controlled structure LEI code” · Q292 “Controlled structure BIC code” · Q293 “Controlled structure Exposure value”
Legal basis: Article 24(4) 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)

Leverage of the AIF

Report the AIF's leverage under the two AIFMD methods, expressed as a percentage of NAV.

Q294Leverage — gross method

Theory

Leverage under the gross method (Article 7 AIFMR): total exposure without netting or hedging.

ESMA guidelines

Guideline ¶127: report the value as a percentage of NAV. Gross leverage above 300% (3×) is what makes Article 24(4) apply (Article 111 AIFMR).

Example

A fund with €750m gross exposure on €500m NAV reports 150% (i.e. 1.5×); a fund at 320% is above the substantial-basis threshold.

Practical

Report as a percentage of NAV. This figure triggers the whole Article 24(4) block when it exceeds 300%.

Sources

Template (Annex IV, Reg. 231/2013), item 294: “a) as calculated under the Gross Method”
Legal basis: Article 24(4) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
ESMA guidelines: ESMA/2014/869 §127 (leverage as a percentage of NAV)

Q295Leverage — commitment method

Theory

Leverage under the commitment method (Article 8 AIFMR): exposure after permitted netting and hedging.

ESMA guidelines

Guideline ¶127: also expressed as a percentage of NAV; normally lower than the gross figure.

Example

The same fund might report commitment leverage of 180% after netting offsetting derivative positions.

Practical

Report as a percentage of NAV; must be consistent with the exposure data reported elsewhere.

Sources

Template (Annex IV, Reg. 231/2013), item 295: “b) as calculated under the Commitment Method”
Legal basis: Article 24(4) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
ESMA guidelines: ESMA/2014/869 §127 (leverage as a percentage of NAV)

Five largest sources of borrowed cash/securities

Identify the five largest sources of borrowed cash or securities (including for short positions).

Q296–299Top-5 borrowing sources (ranked)

For each of the five ranks:

  • Q296 — Ranking (largest to 5th largest)
  • Q297 — Borrowing source flag
  • Q298 — Name of the source
  • Q299 — LEI code of the source
ESMA guidelines

Guideline ¶132: report the name and the LEI or IEI (or, failing both, the BIC) of each source, together with the corresponding amount.

Example

1st: Prime Broker A (LEI …), €60m; 2nd: Bank B (LEI …), €25m.

Practical

Rank lenders/securities-lending sources by amount; provide the LEI for each; complete only the ranks that exist.

Sources

Template (Annex IV, Reg. 231/2013): Q296 “Ranking” · Q297 “Borrowing source flag” · Q298 “Name of the source” · Q299 “LEI code of the source”
Legal basis: Article 24(4) AIFMD; Annex IV, Commission Delegated Regulation (EU) No 231/2013
ESMA guidelines: ESMA/2014/869 §132 (five largest sources of borrowing)

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.

When exactly does Article 24(4) reporting become mandatory?

When the AIF employs leverage on a substantial basis. Under Article 111 AIFMR this means its exposure under the gross method (Q294) exceeds three times its net asset value (i.e. above 300%). Below that threshold the Article 24(4) leverage block is not required.

How are the gross and commitment leverage figures expressed?

Guideline ¶127: both are reported as a percentage of the AIF's NAV. The gross method (Article 7 AIFMR) sums exposures without netting or hedging; the commitment method (Article 8 AIFMR) allows permitted netting and hedging, so it is normally the lower figure.

How are the five largest sources of borrowing identified?

Guideline ¶132: report the name and the LEI or IEI of each source — or the BIC if neither is available — alongside the corresponding borrowed amount, ranked from largest to fifth largest.

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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.