How to read an SDI disclosure, field by field

Learning how to read an SDI disclosure matters because a securitised debt instrument gives you no way to inspect what you own. The pool is thousands of loans you will never see individually, and the prescribed half-yearly format is the only window onto it. SEBI specified that format in a circular dated 16 December 2025, effective 31 March 2026, under Regulation 11B of the SEBI (Issue and Listing of Securitised Debt Instruments and Security Receipts) Regulations, 2008. This guide walks the format head by head and flags the fields that mislead if you read them at face value. It is not investment advice.

Who files it, and when

The trustee of the special purpose distinct entity files, not the originator and not the arranger. It goes to two places: the Board, and the stock exchange where the SDIs are listed. The deadline is 30 days from the end of March or September, so the two filings a year land by roughly the end of April and the end of October.

Behind that public filing runs a private one. Regulation 10A requires the originator to report pool performance to the trustee at least quarterly, with a quarterly auditor's certificate. So the trustee is filing twice a year off data it receives four times a year, which is worth remembering when a half-yearly number looks smoother than the underlying pool probably was.

There are two formats. Annexure I covers pools backed by loans, listed debt securities or credit facility exposures. Annexure II covers pools backed by other exposures. This guide walks Annexure I, which is by far the more detailed; the differences are set out in SDI Annexure I vs Annexure II.

Head 1: maturity characteristics

Two things: the weighted average maturity of the underlying assets in years, and a maturity-wise distribution in four buckets, being the percentage of assets maturing within one year, within one to three years, within three to five years, and after five years.

SEBI's Annexure III works the average out explicitly. Take three assets of 50 lakh at 24 months, 30 lakh at 12 months and 20 lakh at 18 months. Their proportions of the total are 0.5, 0.3 and 0.2, so the weighted values are 12, 3.6 and 3.6 and the weighted average residual maturity is 19.2. Note what that means: it is residual maturity, weighted by outstanding amount, so it moves as the pool amortises even if no loan is prepaid or written off.

Head 2: minimum retention requirement

Three lines: MRR as a percentage of book value of assets securitised and outstanding on the date of disclosure, the actual retention as a percentage of the same base, and the types of retained exposure that make up the MRR, split between credit enhancement, investment in senior tranches, liquidity support and any other form.

Required and actual are separate fields on the same base, which is the useful design choice in the whole format. A shortfall shows on the face of the filing. The rule behind the numbers is explained in what is the minimum retention requirement.

Head 3: credit quality, in fourteen parts

This is the substance of the disclosure. In order:

• Overdue distribution post securitisation, in four buckets: up to 30 days, 31 to 60, 61 to 90, and more than 90 days.
• Tangible security available, named security by security (vehicles, mortgages and so on) with the percentage of exposures each covers.
• Extent of security cover: what percentage of the pool is fully secured, partly secured, and unsecured.
• Rating-wise distribution, plus the weighted average rating of the pool.
• Default rates of similar portfolios observed in the past: the average default rate per annum during the last five years, and during the last year.
• Upgradation, recovery and loss rates: the percentage of non-performing assets upgraded, the amount written off as a percentage of NPAs at the start of the year, and the amount recovered during the year as a percentage of incremental NPAs during the year, each a five-year average.
• Loan to value distribution for housing and commercial real estate exposures: under 60 percent, 60 to 75, above 75, plus the weighted average LTV.
• Debt to income distribution, in the same three bands plus a weighted average, as applicable and available.
• Prepayment rates: the rate in the current portfolio, the rate observed in similar portfolios in the past, and prepayment fees collected since the last disclosure.
• Top-up and additional loans: how many top-up loans were made against the same underlying security after securitisation, and how many additional loans went to the same borrower.
• Expected credit loss: any increase in probability of default since the last disclosure and the number of exposures where it was observed, and the ECL on the underlying with any change since the last disclosure.
• Recovery actions: collections made towards overdue exposures since the last disclosure.
• Utilisation of credit enhancement, broken into excess interest spread, cash collateral, overcollateralisation, subordination, guarantee and any other form.
• Utilisation of liquidity facility.

The rating field is the trap

Two rows sit next to each other under rating-wise distribution, and they do not use the same scale.

The distribution row asks for the "internal grade of the bank / external grade", noting that the highest quality internal grade may be indicated as 1, and lists the rows as "1/AAA or equivalent", then 2, 3, 4 and so on to N. So one column can hold either a bank's internal grade or an external symbol.

The weighted average rating row is defined in Annexure III as the average internal credit rating, on a scale SEBI illustrates as 1 to 10 with 1 being the best and 10 being the worst, weighted by proportionate exposure. Its worked example takes internal ratings of 6, 4 and 8 at proportions of 0.5, 0.3 and 0.2, giving 3 plus 1.2 plus 1.6, or 5.8.

That number is not a letter grade, and it runs the opposite way to the letter scale most readers carry in their heads. On an AAA to D scale the highest safety is the first symbol and the scale steps down; here the highest internal grade is the lowest number, so 3.0 sits higher on the scale than 5.8. Sorting a set of pools by this field as though a larger number ranked higher inverts the order, and mixing it into a column that also contains AAA-style symbols destroys it entirely.

The default rate is a trailing average

Head 3 also carries the average default rate, and Annexure III shows how it is computed: as a moving average. In SEBI's own example, the figure disclosed for January 2025 is the average of the monthly default rates from January 2024 to December 2024, which works out to 3.38 percent, and the figure for July 2025 is the average from July 2024 to June 2025, or 3.46 percent.

So the default rate in a filing describes the preceding twelve months. It is not the default rate of the half-year being reported, and two consecutive filings overlap by six months of input data. A sharp deterioration in the last quarter is diluted by three good quarters before it.

Heads 4 to 6: amendments, pool characteristics, holding period

Amendments asks two counts: how many underlying transactions had documentation amended after securitisation, with brief particulars where the amendments are material, and how many had payment terms amended. Both are counts of quiet restructuring, which is precisely what does not show up in an overdue bucket.

Other characteristics of the pool covers the industry-wise breakup for mixed pools, the state-wise geographical distribution, and any defaults observed in the collection and servicing functions being discharged on behalf of the securitisation trust. That last item is about the servicer, not the borrowers.

Minimum holding period closes the format: the MHP required, the weighted average holding period of the securitised assets at the time of securitisation, and the minimum and maximum holding period. The rule behind it is in what is the minimum holding period.

What the format does not tell you

It does not name obligors, other than through the concentration test in the second format. It does not give you a loan-level tape. It reports as at a date and reaches you up to 30 days later, so even a fresh filing describes a pool that has since collected, prepaid and defaulted further. And it says nothing about price.

That is the honest frame for the whole document: it is a periodic, aggregated, backward-looking description of a pool, designed so that a supervisor can compare deals. For what the instrument itself is, see what is a securitised debt instrument. Flock reports public regulatory filings with each claim sourced and dated, and takes no view on any instrument.