Mandating periodic disclosure requirements- Securitised Debt Instruments (SDIs)

X X   X X   Extracts   X X   X X

Full Text of the Document

X X   X X   Extracts   X X   X X

....ed 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. 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 [email protected]   Annexure I FORMAT FOR DISCLOSURES  (SECURITISATION OF LOAN / LISTED DEBT SECURITIE....

X X   X X   Extracts   X X   X X

Full Text of the Document

X X   X X   Extracts   X X   X X

.....   c) Security 'n   (iii) Extent of security cover available for the underlying loan / listed 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         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 ....

X X   X X   Extracts   X X   X X

Full Text of the Document

X X   X X   Extracts   X X   X X

....t 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       (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 underlyi....

X X   X X   Extracts   X X   X X

Full Text of the Document

X X   X X   Extracts   X X   X X

....cted 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.   (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....