TaxTMI 
TaxTMI 
Mandating periodic disclosure requirements- Securitised Debt Instruments (SDIs)
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....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. 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....
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....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 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 ....
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....ge 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 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 obs....
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....) MHP required as per RBI 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 Annexure-II FORMAT FOR DISCLOSURES (SECURITISATION OF OTHER EXPOSURES) Name/Identification No. of securitisation transaction: 1 Maturity characteristics of the underlying assets (i) Weighted average maturity of the underlying assets (in years) 2 Minimum Retention Requirement (MRR) (i) MRR as a percentage of book 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.....
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....nbsp;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 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: Asset (I) Outstanding Amount (II) Residual Maturity (in months) (III) Proportion of total asset (IV) Weighted valu....