19.20 The following framework should be used to assess wholesale LGD models in the circumstances set out in paragraph 13.15 of this supervisory statement:

(a) For unsecured recoveries, if a firm has fewer than 20 relevant default observations of recoveries in a specific country for an individual type of exposure, then the maximum recovery a firm can assume must be equivalent to that which would give a 45% LGD for senior unsecured exposures, 75% for subordinated exposures and 11.25% for covered bonds.

(b) If a firm is taking account of non-financial collateral which is not eligible under the foundation approach, where they do not have 20 or more relevant data points of recovery values for that type of collateral or do not have a reliable time series of market price data for the collateral in a specific country, then the LGD for the exposure to which the collateral is applied must be floored at 45%.

(c) If a firm is taking account of non-financial collateral, which is eligible under the foundation approach, where they do not have 20 or more relevant data points of recovery values for that type of collateral or do not have a reliable time series of market price data for that collateral in a specific country, then the LGD for the exposure to which the collateral is applied must be floored at 35%.

19.21 Firms should note the following when applying the framework to LGD models: