Securities and Exchange Board of India mandates half-yearly disclosures for listed securitised debt instruments

The Securities and Exchange Board of India (SEBI) has issued a circular requiring trustees of special purpose distinct entities to submit standardised, half-yearly disclosures for securitised debt instruments (SDIs) to SEBI and to the stock exchange where the SDIs are listed. The disclosures must be filed within 30 days of the end of March and September. Two reporting formats are prescribed depending on the nature of the underlying exposures: Annexure I for SDIs backed by loans, listed debt securities or credit facility exposures, and Annexure II for SDIs backed by other exposures. The templates cover pool maturity metrics (including weighted average maturity), minimum retention requirement and actual retention (with a breakdown of retained exposure types), credit quality and performance indicators (such as delinquency buckets, defaults and recovery actions), use of credit enhancement and liquidity support, amendments to underlying documentation or payment terms, and minimum holding period information. Annexure I also includes fields on security cover, rating distribution and weighted average rating (where rated), historical default and upgrade/recovery/loss metrics, LTV and DTI distributions (where applicable), prepayments, top-up or additional lending, and expected credit loss indicators. Annexure III provides illustrations for calculating weighted average maturity, weighted average rating and average default rates. The disclosure requirements take effect from March 31, 2026.