Description

SEBI mandates half-yearly disclosures by trustees of special purpose distinct entities for SDIs, effective from March 31, 2026, covering asset maturity, retention requirements, and credit quality metrics.

Summary

SEBI has issued mandatory periodic disclosure requirements for trustees of special purpose distinct entities that issue Securitised Debt Instruments (SDIs). Under Regulation 11B of the SEBI (Issue and Listing of Securitised Debt Instruments and Security Receipts) Regulations, 2008, trustees must submit half-yearly disclosures to SEBI and stock exchanges within 30 days from the end of March or September. The circular provides detailed formats for disclosures based on SDIs backed by loans/listed debt securities/credit facilities (Annexure I) and SDIs backed by other exposures (Annexure II), along with calculation methodologies (Annexure III).

Key Points

  • Trustees of special purpose distinct entities must submit half-yearly disclosures to SEBI and listing stock exchanges
  • Submission deadline: Within 30 days from end of March or September
  • Two disclosure formats provided based on underlying asset types (Annexure I and II)
  • Disclosures cover maturity characteristics, Minimum Retention Requirement (MRR), and credit quality metrics
  • Illustrations provided for weighted average maturity, weighted average rating, and average default rate calculations
  • Circular reference: HO/17/11/18(1)2025-DDHS-POD1/I/342/2025

Regulatory Changes

SEBI has operationalized Regulation 11B of the SDI Regulations (last amended May 05, 2025) by prescribing specific disclosure formats and timelines. The key regulatory changes include:

  • Formalization of disclosure requirements: Previously, Regulation 11B mandated disclosures “in the manner as may be specified by Board” - this circular now provides the specific manner and format
  • Dual reporting obligation: Disclosures must be submitted to both SEBI and the stock exchange where SDIs are listed
  • Standardized formats: Introduction of Annexure I (for SDIs backed by loan/listed debt securities/credit facility exposures) and Annexure II (for SDIs backed by other exposures)
  • Calculation methodologies: Annexure III provides standardized illustrations for computing weighted average maturity, weighted average rating, and average default rate

Compliance Requirements

Who must comply:

  • Trustees of special purpose distinct entities that have issued SDIs
  • Special purpose distinct entities (indirectly, through their trustees)

What must be disclosed (Annexure I - Loan/Listed Debt Securities/Credit Facility Exposures):

  1. Maturity characteristics of underlying assets:

    • Weighted average maturity of underlying assets (in years)
    • Maturity-wise distribution: percentage maturing within 1 year, 1-3 years, 3-5 years, and after 5 years

  2. Minimum Retention Requirement (MRR):

    • MRR as percentage of book value of securitised assets outstanding
    • Actual retention as percentage of book value
    • Types of retained exposure (credit enhancement, senior tranche investment, liquidity support, etc.)

  3. Credit quality of underlying exposures:

    • Distribution of overdue loan/debt securities/credit facility exposures post-securitisation

Where to submit:

  • SEBI
  • Stock exchange(s) where SDIs are listed

Reporting frequency:

  • Half-yearly (covering periods ending March and September)

Important Dates

  • Circular issue date: December 16, 2025
  • Effective date: March 31, 2026
  • First disclosure deadline: Within 30 days from March 31, 2026 (by April 30, 2026)
  • Ongoing disclosure deadlines: Within 30 days from end of March or September each year

Impact Assessment

Market Impact:

  • Enhanced transparency in the securitisation market through standardized periodic disclosures
  • Improved investor information access regarding SDI performance and underlying asset quality
  • Potential to strengthen investor confidence in securitised debt instruments

Operational Impact:

  • Trustees will need to establish processes and systems for collecting, computing, and reporting required metrics on a half-yearly basis
  • Compliance burden on special purpose distinct entities and trustees to maintain detailed records of underlying assets
  • Stock exchanges will receive additional disclosure filings requiring processing and dissemination

Regulatory Impact:

  • SEBI gains systematic access to securitisation market data for monitoring and supervision
  • Standardization enables better comparison across different SDI issuances
  • Supports SEBI’s objective to protect investor interests and regulate the securities market per Section 11(1) of SEBI Act, 1992

Stakeholder Impact:

  • Investors: Better information for investment decisions and ongoing monitoring of SDI holdings
  • Trustees: New compliance obligations requiring resource allocation for data collection and reporting
  • Originators/Sponsors: Indirect impact through need to provide underlying asset data to trustees
  • Rating Agencies: Additional public data for rating surveillance and market analysis

Impact Justification

Introduces new half-yearly disclosure obligations for SDI trustees affecting transparency in securitisation markets, but limited to specific entities involved in securitised debt instruments rather than broad market impact