According to the current practices of one of our supervised institution forborne exposures are linked to the default downgrade decisions:
As a result of the above practices, the institution does not flag any performing exposure as forborne (apart from those in probation period).
The modification of the previous terms and conditions of a contract that the debtor is considered unable to comply with due to his financial difficulties should in all cases lead to a classification of an exposure as forborne regardless of the materiality of the loss or even if there is no loss at all (paragraphs 163, 164 and 172 of Part 2 of Annex V to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting)).
Against this background, the ITS on Supervisory Reporting does not specify any method to calculate the loss.
Paragraph 165 of Part 2 of Annex V provides some, non-conclusive examples of concession. In line with that, even a modification at market rates can be considered as forbearance, provided that the debtor is in financial difficulties.