Credit losses in economic downturns are linked to default and loss rates in credit portfolios. Financial regulators require institutions to base their capital on the 'Downturn' loss rate given default. A new concept for Downturn LGD is proposed, incorporating credit risk properties and model information. The concept is compared to a proposal by the Department of the Treasury, the Federal Reserve System, and the Federal Insurance Corporation. An empirical analysis is conducted on Hong Kong mortgage loan portfolios.