CNMV · Spain

COREP under IFR/IFD for Spanish investment firms

Fintech Passport

June 21, 2026 · 5-min read

COREP under IFR/IFD for Spanish investment firms

COREP under IFR is the prudential-reporting layer for Spanish-authorised investment firms. The own-funds calculation runs against the K-factor framework rather than the bank-CRR Risk-Weighted Asset apparatus, the reporting tables are different from CRR-COREP, and the cadence is quarterly. Class 3 firms file a lighter set. This piece walks through what COREP-IFR captures, the K-factor pipeline that feeds it and how the return sits alongside the rest of the supervisory catalogue.

1. What COREP-IFR is

COREP — Common Reporting — is the EBA’s harmonised supervisory reporting framework for prudential information. The original COREP was built around the Capital Requirements Regulation (CRR) for banks. The Investment Firm Regulation (IFR) introduced a separate COREP track for investment firms, with its own templates, taxonomy and validation rules.

For Spanish-authorised Empresas de Servicios de Inversión, COREP-IFR runs to CNMV as the home supervisor. CNMV forwards aggregated data to the EBA’s central reporting system.

2. Legal basis

Regulation (EU) 2019/2033 (IFR) — the substantive prudential framework
Directive (EU) 2019/2034 (IFD) — the supervisory framework, transposed nationally
Commission Implementing Regulation (EU) 2021/2284 — the COREP-IFR templates, instructions and ITS
EBA technical standards under IFR Articles 7, 9, 11, 15, 22 — granular calculation rules
CNMV Circulars — Spanish operational implementation

3. Who files

Class 2 firms — full COREP-IFR set, including K-factor own-funds, concentration risk, liquidity, large-trade thresholds
Class 3 firms — reduced COREP-IFR set (Small and Non-Interconnected). Permanent own funds plus fixed-overheads requirement; no K-factor calculation; lighter liquidity reporting
Class 1 firms — treated as banks under CRR; they file CRR-COREP, not COREP-IFR

The classification is run at the firm’s reference date and can change year-to-year. A Class 3 firm crossing one of the IFR thresholds during the year migrates to Class 2 from the next reporting cycle.

4. The K-factor pipeline

Three groups of K-factors:

Risk-to-customer (RtC)

K-AUM — Assets Under Management (portfolio management activities, ongoing advice). Calculated as a rolling average of monthly AUM, multiplied by the IFR coefficient (0.02% currently).
K-CMH — Client Money Held. Average of daily client-money balances over a defined window, with coefficients differing for segregated vs. non-segregated.
K-ASA — Assets Safeguarded and Administered. Custody-of-securities activity.
K-COH — Client Orders Handled. Daily client-order flow split between cash and derivatives.

Risk-to-market (RtM)

K-NPR — Net Position Risk. For firms dealing on own account, the market-risk capital under CRR Articles 325 onwards, applied to the investment-firm balance sheet.
K-CMG — Clearing Margin Given. Alternative to K-NPR for firms that hold trading positions through a clearing house.

Risk-to-firm (RtF)

K-TCD — Trading Counterparty Default. Counterparty-credit-risk capital on OTC derivatives.
K-DTF — Daily Trading Flow. Average value of daily trading activity.
K-CON — Concentration Risk. Excess concentration in the trading book.

The K-factor own-funds requirement is the sum of the applicable K-factors. The total own-funds requirement is the higher of the permanent minimum, the fixed-overheads requirement, and the K-factor sum.

5. COREP-IFR templates

The IFR templates run in numbered sets. Core groups for Class 2 firms:

IF 01.00 — own funds composition (Common Equity Tier 1, Additional Tier 1, Tier 2)
IF 02.00 — own-funds requirements summary, including the three-way max
IF 03.00 — fixed overheads requirement
IF 04.00 — K-factor requirements broken down per K-factor
IF 05.00 / 06.00 — concentration-risk templates including K-CON
IF 07.00 — liquidity-risk template (one-third of fixed-overheads requirement held in liquid assets)
IF 08.00 — large-exposure templates where relevant

Class 3 firms file a reduced subset focused on own funds, fixed-overheads and basic liquidity.

6. Cadence and channel

Frequency: quarterly for Class 2 firms; annual for Class 3 (with quarterly own-funds confirmation)
Reference dates: 31 March, 30 June, 30 September, 31 December
Submission deadline: typically T+42 calendar days (Class 2) and T+45 (Class 3), aligned with the EBA submission calendar
Format: XBRL against the EBA COREP-IFR taxonomy
Channel: via CNMV’s reporting portal, then forwarded to the EBA central data point

7. Reconciliation with other returns

COREP-IFR totals at year-end must reconcile to the audited financial statements. Mid-year submissions reconcile against the reduced FINREP set the firm files in parallel. The K-factor inputs (AUM, client money, daily flow) should reconcile to internal management-information data and to the MiFIR transaction-reporting flow.

8. Getting started — practical sequence

Confirm the Class 2 / Class 3 classification against the IFR thresholds; document the test
Build the K-factor data layer at source — AUM-tracking, client-money daily balances, order-flow logs
Implement the XBRL submission against the EBA COREP-IFR taxonomy; map to CNMV’s local instructions
Run a dry submission against the CNMV pre-production environment before the first live filing
Set up reconciliation processes — COREP-IFR vs. financial statements, vs. FINREP, vs. internal MI

9. FAQ

How is COREP-IFR different from CRR-COREP?

CRR-COREP applies to banks (and Class 1 investment firms treated as banks). COREP-IFR applies to most investment firms under the IFR/IFD framework. The templates, the calculation methodology (K-factors vs. RWA) and the threshold tests are different. They share the XBRL discipline but not the substance.

I’m a Class 3 firm — do I file COREP-IFR at all?

Yes, a reduced set. Class 3 firms file own-funds, fixed-overheads and limited liquidity templates. The K-factor templates do not apply.

Can my classification change mid-year?

Yes. A Class 3 firm that crosses one of the IFR thresholds moves to Class 2 from the next quarterly cycle. The transition usually involves a CNMV notification and updates to the firm’s reporting calendar.

How do I treat client money in K-CMH?

K-CMH is calculated on the average daily client-money balance. Segregated client money in dedicated accounts carries a lower coefficient than non-segregated balances. The treatment must align with the MiFID II client-money rules and the safeguarding evidence in the firm’s authorisation file.

What’s the relationship between COREP-IFR and MiFIR transaction reporting?

Both are post-grant supervisory returns. MiFIR transaction reporting feeds order-flow data that informs K-COH and K-DTF; the two reports must reconcile at totals level. They use different channels, schemas and cadences but share underlying data.

What is the most common rejection reason on a first COREP-IFR?

K-factor calculation errors — usually misalignment between the source MI data and the K-factor coefficient applied, or missing days in the rolling-average window. Pre-production dry submissions catch most of these before they hit live.

10. What to do, today

Pull the COREP-IFR taxonomy from the EBA’s current published set; pin the version against your reporting cycle.
Run the IFR Class 2 / Class 3 threshold test and document the conclusion.
Build the K-factor source data as continuous-collection feeds, not as quarter-end snapshots.
Reconcile K-factor inputs against MiFIR transaction-reporting data and against your reduced FINREP set.
Plan one CNMV pre-production dry submission per quarter; first-time live submissions rarely pass clean.