CIRCULAR
HO/17/11/18(1)2025-DDHS-POD1/I/342/2025 December 16, 2025
To,
Special purpose distinct entities and their trustees;
Recognised Stock Exchanges
Madam/ Sir,
Subject: Mandating periodic disclosure requirements- Securitised Debt
Instruments (SDIs)
1. Regulation 11B of Securities and Exchange Board of India (Issue and Listing of
Securitised Debt Instruments and Security Receipts) Regulations, 2008 [Last
amended on May 05, 2025] (hereinafter referred to as “SDI Regulations”)
mandates a special purpose distinct entity and the trustee to furnish information to
the Board on a half yearly basis, in the manner as may be specified by Board.
2. In this regard, pursuant to the discussions held with the stakeholders, it has been
decided that the Trustee of special purpose distinct entity shall submit the
disclosures, as mentioned in Annexure I and Annexure II, on a half yearly basis to
the Board and on the stock exchange where the SDIs are listed, within 30 days
from the end of March or September. The disclosures required for SDIs backed by
loan / listed debt securities / credit facility exposures are set out under Annexure I
hereto and the disclosures required for SDIs backed by other exposures are set
out under Annexure II hereto. Illustrations in respect of weighted average maturity
of the underlying assets, weighted average rating of the pool and average default
rate are provided in Annexure III.
3. The provisions of this circular shall be effective from March 31, 2026.
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4. The Circular is issued in exercise of the powers conferred under Section 11(1) of
the Securities and Exchange Board of India Act, 1992 read with Regulation 11B
and 48 of the SEBI (Issue and Listing of Securitised Debt Instruments and Security
Receipts) Regulations, 2008 to protect the interest of investors in securities and to
promote the development of, and to regulate the securities market.
5. This Circular is available at www.sebi.gov.in under the link “Legal Circulars”.
Yours faithfully,
Ritesh Nandwani
Deputy General Manager
Department of Debt and Hybrid Securities
Tel No. +91-22-26449696
riteshn@sebi.gov.in
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Annexure I
FORMAT FOR DISCLOSURES
(SECURITISATION OF LOAN / LISTED DEBT SECURITIES / CREDIT FACILITY
EXPOSURES)
Name/Identification No. of securitisation transaction:
S. No. Nature of disclosure Details Amount/
percentage/
years /
Details
1 Maturity characteristics of (i) Weighted average maturity
the underlying assets of the underlying assets
(in years)
(ii) Maturity-wise distribution of
underlying assets:
a) Percentage of assets
maturing within one year
b) Percentage of assets
maturing within one to
three year
c) Percentage of assets
maturing within three to
five years
d) Percentage of assets
maturing after five years
2 Minimum (i) MRR as a percentage of
book value of assets
Retention
securitised and
Requirement (MRR)
outstanding on the date
of disclosure
(ii) Actual retention as a
percentage of book value
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of assets securitised and
outstanding on the date
of disclosure
(iii) Types of retained exposure
constituting MRR in
percentage of book value
of assets securitised
(percentage of book
value of assets
securitised and
outstanding on the date
of disclosure)
a) Credit Enhancement (i.e.
whether investment in
equity/subordinate
tranches, first/second
loss guarantees, cash
collateral, over
collateralisation
b) Investment in senior
tranches
c) Liquidity support
d) Any other (pl. specify)
3 Credit quality of the (i) Distribution of overdue loan /
underlying loan / listed listed debt securities /
debt securities/ credit credit facility exposures
facility exposures (post securitisation)
a) Percentage of loan / listed
debt securities / credit
facility exposures
overdue up to 30 days
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b) Percentage of loan / listed
debt securities/ credit
facility exposures
overdue between 31-60
days
c) Percentage of loan / listed
debt securities/ credit
facility exposures
overdue between 61-90
days
d) Percentage of loan / listed
debt securities / credit
facility exposures
overdue for more than 90
days
(ii) Details of tangible security
available for the portfolio
of underlying loan / listed
debt securities/ credit
facility exposures
(vehicles, mortgages,
etc.)
a) Security 1(to be named)
(% of loan / listed debt
securities / credit facility
exposures covered)
b) Security 2…
c) Security ‘n
(iii) Extent of security cover
available for the
underlying loan / listed
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debt securities/ credit
facility exposures
a) Percentage of loan / listed
debt securities/ credit
facility exposures fully
secured included in the
pool (%)
b) Percentage of partly
secured loan / listed debt
securities/ credit facility
exposures included in the
pool (%)
c) Percentage of unsecured
loan / listed debt
securities/ credit facility
exposures included in the
pool (%)
(iv) Rating-wise distribution of
underlying loan / listed
debt securities/ credit
facility exposures (if
these loan / listed debt
securities/ credit facility
exposures are rated)
a) Internal grade of the bank/
external grade (highest
quality internal grade
may be indicated as 1)
1/AAA or equivalent
2
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3
4…
N
b) Weighted average rating
of the pool
(v) Default rates of similar
portfolios observed in the
past
a) Average default rate per
annum during last five
years
b) Average default rate per
annum during last year
(vi) Upgradation/Recovery/Loss
Rates of similar portfolios
a) Percentage of non-
performing assets
(NPAs) upgraded
(average of the last five
years)
b) Amount written-off as a
percentage of NPAs in
the beginning of the year
(average of last five
years)
c) Amount recovered during
the year as a percentage
of incremental NPAs
during the year (average
of last five year)
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(vii) Frequency distribution of
loan to value (LTV) ratios,
in case of housing loans
and commercial real
estate loan / listed debt
securities/ credit facility
exposures)
a) Percentage of loan / listed
debt securities/ credit
facility exposures with
LTV ratio less than 60%
b) Percentage of loan / listed
debt securities/ credit
facility exposures with
LTV ratio between 60-
75%
c) Percentage of loan / listed
debt securities/ credit
facility exposures with
LTV ratio greater than
75%
d) Weighted average LTV
ratio of the underlying
loan / listed debt
securities/ credit facility
exposures (%)
(viii) Frequency distribution of
Debt-to-Income (DTI)
ratios, as applicable
and/or available
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a) Percentage of loan / listed
debt securities/ credit
facility exposures with
DTI ratio less than 60%
b) Percentage of loan / listed
debt securities/ credit
facility exposures with
DTI ratio between 60-
75%
c) Percentage of loan / listed
debt securities/ credit
facility exposures with
DTI ratio greater than
75%
d) Weighted average DTI
ratio of the underlying
loan / listed debt
securities/ credit facility
exposures (%)
(ix) Prepayment Rates
a) Prepayment rate
observed in the current
portfolio
b) Prepayment rate
observed of similar
portfolio in the past
c) Prepayment fee / charges
collected since the date
of last disclosure
(x) Top-up / Additional Loans
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a) Number of top-up loans
made available (post
securitisation) against
same underlying security
b) Number of additional
loans made available
(post securitisation) to
same borrower
(xi) Expected Credit Loss
a) Any increase in probability
of default with respect to
underlying loan / listed
debt securities/ credit
facility exposures (from
the last disclosure) and
the number of loan / listed
debt securities/ credit
facility exposures where
this has been observed
b) Expected credit loss on
the underlying loan /
listed debt securities /
credit facility exposures
(and any change thereof
from the last disclosure)
(xii) Recovery Actions
a) Collections made towards
overdue loan / listed debt
securities/ credit facility
exposures since the date
of last disclosure
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(xiii) Utilisation of Credit
Enhancement
a) Excess Interest Spread
b) Cash Collateral
c) Overcollateralisation
d) Subordination
e) Guarantee
f) In any other form
(xiv) Utilisation of Liquidity facility
4 Amendments (i) Number of underlying loan /
listed debt securities/
credit facility exposure
transactions, where
amendments to loan /
listed debt securities/
credit facility exposures'
documentation has been
carried out, post
securitisation. If there are
any material
amendments, brief
particulars of the same
(ii) Number of underlying loan /
listed debt securities/
credit facility exposure
transactions, where
amendments to payment
terms of the underlying
loan / listed debt
securities/ credit facility
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exposures has been
carried out, post
securitisation
5 Other characteristics of the (i) Industry-wise breakup of the
pool loan / listed debt
securities/ credit facility
exposures in case of
mixed pools (%)
Industry 1
Industry 2
Industry 3…
Industry n
(ii) Geographical distribution of
loan / listed debt
securities/ credit facility
exposure pools
(statewise) (%)
State 1
State 2
State 3
State 4
(iii) Other information
Any defaults observed in
collection and servicing
functions being
discharged on behalf of
the Securitisation Trust
6 Minimum Holding Period MHP required as per RBI
(i)
(MHP) guidelines (years/months)
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a) Weighted average holding
period of securitised
assets at the time of
securitisation (years /
(ii)
months)
b) Minimum and maximum
holding period of the
securitised assets
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Annexure-II
FORMAT FOR DISCLOSURES (SECURITISATION OF OTHER EXPOSURES)
Name/Identification No. of securitisation transaction:
1 Maturity characteristics of the (i) Weighted average maturity of
underlying assets the underlying assets (in
years)
2 Minimum Retention (i) MRR as a percentage of book
Requirement (MRR) value of assets securitised
and outstanding on the
date of disclosure
(ii) Actual retention as a
percentage of book value
of assets securitised and
outstanding on the date of
disclosure
(iii) Types of retained exposure
constituting MRR in
percentage of book value
of assets securitised
(percentage of book value
of assets securitised and
outstanding on the date of
disclosure)
a) Credit Enhancement (i.e.
whether investment in
equity/subordinate
tranches, first/second loss
guarantees, cash
collateral,
overcollateralisation
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b) Investment in senior
tranches
c) Liquidity support
d) Any other (pl. specify)
3 Credit quality of the underlying (i) Any deviations in collections
assets towards the underlying
assets, against the
projected cashflows
disclosed at the time of
securitisation of the
underlying assets,
including details of total
receivables which have
been overdue for more
than 30 days, 60 days and
90 days (in %).
(a) Receivables overdue
between 0-30 days
(b) Receivables overdue
between 31-60 days
(c) Receivables overdue
between 61-90 days
(d) Receivables overdue
for more than 90 days
(ii) Any default on the part of the
underlying obligor (who
owes more than 10% of
total receivables) or any
material adverse change
impacting the said
underlying obligor.
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(iii) Prepayment rate observed in
the current portfolio
(iv) Recovery Actions
a) Collections made towards
overdue receivables since
the date of last disclosure
(v) Utilisation of Credit
Enhancement
a) Cash Collateral
b) Overcollateralisation
c) Guarantee
d) In any other form
(vi) Utilisation of Liquidity Facility
4 Amendments (i) Number of underlying
transactions, where
amendments to
documentation has been
carried out, post
securitisation. If there are
any material amendments,
brief particulars of the
same
(ii) Number of underlying
transactions, where
amendments to payment
terms of the underlying
receivables has been
carried out, post
securitisation
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5 Other Information (i) Any material event which
could impact the
performance of the
originator under the
underlying contracts from
which the receivables
emanate
(ii) Any defaults observed in
collection and servicing
functions being discharged
on behalf of the
Securitisation Trust
(iii) Details of any credit
enhancement / credit
support available to
support the future
receivables
6 Minimum Holding Period (MHP) (i) MHP required as per SEBI
guidelines (years/months)
(ii) a) Weighted average holding
period of securitised assets
at the time of securitisation
(years / months)
b) Minimum and maximum
holding period of the
securitised assets
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Annexure-III
1. Weighted average maturity of the underlying assets - refers to the
average time until the outstanding amount of the underlying assets is
repaid, weighted by the proportion of each asset in the overall pool.
Illustration for computation of weighted average maturity of the underlying assets:
Residual Maturity Proportion of
Weighted
Asset Outstanding Amount (in months) total asset value
III * IV = V
(I) (II) (III) (IV)
(V)
A 5000000 24 0.5 12
B 3000000 12 0.3 3.6
C 2000000 18 0.2 3.6
Total 10000000
Weighted average residual
maturity
(Sum of V) 19.2
2. Weighted average rating of the pool - refers to the average internal
credit rating (say 1-10 with 1 being the best and 10 being the worst) of
all the underlying assets in a pool, weighted by their proportionate
exposure in the overall pool.
Proportion
Weighted
of total
value
Asset (I) Outstanding Amount (II) Internal Rating (III) asset (IV) III*IV =V
Asset A 5000000 6 0.5 3
Asset B 3000000 4 0.3 1.2
Asset C 2000000 8 0.2 1.6
Weighted average Rating of the
underlying assets
(sum of V) 5.8
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3. Average default rate - refers to the moving average default rates for the
underlying assets over a specified period of time.
Month Monthly Default Rate
Jan ‘24 4%
Feb ‘24 2%
March ‘24 3%
April ‘24 4%
May ‘24 6%
June ‘24 1%
July 24 0.5%
August 24 2%
September 24 3%
October 24 6%
November 24 4%
December 24 5%
Jan 25 3%
Feb 25 4%
March 25 3%
April 25 4%
May 25 6%
June 25 1%
Disclosure to Average Default rate for last 12
be given for months (Avg default rate of Jan
Jan ‘25 ‘24 to Dec ‘24) 3.38%
Disclosure to Average Default rate for last 12
be given for months (Avg default rate of July
July ‘25 ‘24 to June ‘25) 3.46%
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