Article 7 of COMMISSION DELEGATED REGULATION (EU) 2024/857 (delegated regulation) sets out the procedure for allocating the notional repricing cash flows deriving from non-trading book positions in floating rate instruments to the relevant repricing time buckets .

However, no specific procedure is mentioned for floating rate instruments with amortizing principal. In fact, the article 7 seems to set the procedure only for instruments where the principal is not amortizing.

Points a) and b) of the article 7 in the delegated regulation correspond to the Basel framework (Interest rate risk in the banking book Standards Interest rate risk in the banking book (bis.org)) , specifically paragraph 106, subparagraph 2.

Floating rate positions: such positions generate cash flows that are not predictable past the next repricing date other than that the present value would be reset to par. Accordingly, such instruments can be treated as a series of coupon payments until the next repricing and a par notional cash flow at the time bucket midpoint closest to the next reset date bucket.

However the par notional cash flow (in the Basel standards) or the 'remaining principal amount, as per the contractual agreement' (in the delegated regulation) would not be reflective of the principal amortization after the repricing date (as the reset to par mentioned in the Basel standards works only for instruments without amortizing principal) and thus applying the slotting procedure from Article 7 of the delegated regulation directly to floating rate instruments with amortizing principal would lead to overestimation of the net interest income (in case of floating rate amortizing loans) and subsequently to distorted results of changes in the net interest income under different scenarios.