MSCI/REALPAC
CANADAQUARTERLYPROPERTY FUNDINDEX (UNFROZEN)_

November 2021November 2021

NOVEMBER 2021

MSCI/REALPAC Canada Quarterly Property Fund Index (Unfrozen) |November 2021

Contents
1

Introduction............................................................................................. 3

2

Methodology Documentation Set .......................................................... 3
2.1

MSCI Real Estate - Index Policies .................................................... 3

2.2

MSCI Property Fund Indexes Methodology..................................... 3

2.3

MSCI/REALPAC Canada Quarterly Property Fund Index (Unfrozen)
3

3 MSCI/REALPAC Canada Quarterly Property Fund Index (Unfrozen)
Specific Methodology .................................................................................... 4

4

3.1

Initial Inclusion Requirements ......................................................... 4

3.2

Quarterly Eligibility Assessment Of Index Constituents ................. 5

3.3

Change in Composition.................................................................... 6

Data Provision Requirements................................................................. 7
4.1

5

Net Asset Value Reporting Requirements ....................................... 7

Index Calculation Methodology ............................................................. 8
5.1

Methodology Transition ................................................................... 8

5.2

Weighting .......................................................................................... 8

5.3

Index Series ...................................................................................... 8

5.4

Rules for Performance Reporting .................................................... 96

MSCI/REALPAC Canada Property Fund Index Advisory Committee.. 10

7

Appendix I ............................................................................................. 11
7.1 Inclusion criteria for MSCI/REALPAC Canada Quarterly Property
Fund Index (Unfrozen).............................................................................. 11

8

Appendix II ............................................................................................ 12
8.1

Versioning Table............................................................................. 12© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI/REALPAC Canada Quarterly Property Fund Index (Unfrozen) |November 2021

1

Introduction

The objective of the MSCI/REALPAC Canada Quarterly Property Fund Index (Canada
PFI) is to represent the net and gross fund level returns of Canadian open ended,commingled professionally managed unlisted real estate funds. The Index is valueweighted, based on the capital employed of its constituent property funds each monthand is denominated in Canadian Dollars (CAD).

2

Methodology Documentation Set

The construction and maintenance rules for the Canada PFI are collectively describedin the following documents:

2.1

MSCI REAL ESTATE INDEX POLICIESThe MSCI Real Estate – Index Policies document describes the various governancepolicies related to the construction, maintenance and termination of the MSCI Private
Real Estate indexes to provide consistency in decisions and avoid ambiguity in its
responses to particular events.

2.2

MSCI PROPERTY FUND INDEXES METHODOLOGY

The MSCI Property Fund Indexes Methodology describes the general methodologythat is being used for the calculation of the MSCI Property Fund Indexes and includes
the methodology for the index composition, data requirements and index calculation
methodology.

2.3

MSCI/REALPAC(UNFROZEN)CANADAQUARTERLY PROPERTY FUNDINDEXThis document includes the rules and methods specific to the Canada PFI.

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MSCI/REALPAC Canada Quarterly Property Fund Index (Unfrozen) |November 2021

3

MSCI/REALPAC Canada Quarterly Property Fund Index(Unfrozen) Specific Methodology

3.1

INITIAL INCLUSION REQUIREMENTS
SPECIFIC INCLUSION REQUIREMENTS FOR MSCI/REALPAC CANADA PROPERTY
FUND INDEX (UNFROZEN)In addition to the standard MSCI requirements for property fund indexes (refer to MSCI
Property Fund Indexes Methodology for further details) , there are additional eligibility
requirements for initial inclusion in the Canada PFI. The Canada PFI comprises offunds that adhere to specific criteria relating to their investment mandate and theirstructure as follows. The funds must:
1. have a minimum of 90% of non-cash gross asset value (GAV) invested in direct
Canada-based real estate with a maximum of 20% of the non-cash GAV indevelopment assets (including redevelopment)
2. provide the investment performance data for their direct property portfolio to MSCI
on a quarterly basis
3. be open-ended or semi open-ended. In case a fund closes to new contributions orredemptions, its inclusion in the index will be reviewed. Semi open-ended funds
are open-ended funds where investors may be subject to an initial "lock in" for the
first 3 to 5 years of the life of the fund during which either,•investors are not permitted to redeem their investment, or•redemptions by investors are restricted to a maximum fixed percentage of
their investment in any one year

4. report their NAV, following a portfolio revaluation, at least on a quarterly basis andto have done so for the entire period of their performance history within the Index
5. have a GAV greater than CAD 150 mn at the time of inclusion into the Index
6. carry no more than 40% leverage on a rolling six quarter basis, where leverage isdefined as the ratio of total debt to the fund’s total gross direct real estate asset
value© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI/REALPAC Canada Quarterly Property Fund Index (Unfrozen) |November 2021

3.2

QUARTERLY ELIGIBILITY ASSESSMENT OF INDEX CONSTITUENTS
The fund characteristics may change over time either strategically or temporarily due
to market movements or transaction activity. Quarterly review of eligibility is designed
to ensure that the index composition is aligned with index inclusion criteria on an ongoing basis. An observation period for funds temporarily in breach is aimed at stabilityof index composition. Both ensure on-going governance and oversight of index
composition and reporting using a rules-based approach.
Quarterly Review: Following index inclusion, MSCI reviews the constituent funds of
the Canada PFI every quarter for their eligibility into the index based on the rules
mentioned in section 7.1 Appendix I: Inclusion criteria for MSCI/REALPAC Canada
Quarterly Property Fund Index (Unfrozen). Any non-adherence to the criteria based onquarterly eligibility assessment of the funds will result in a rules-based index exclusion,
subject to the observation period where applicable.
Observation Period is defined as a time window of four quarters in which MSCI will
monitor the existing index funds that are in temporary non-adherence to a particular
criteria. Any non-adherence to the relevant criteria for four consecutive quarters will
result in rules based exclusion of fund in the fourth quarter.
Both quarterly review and observation period are implemented prospectively with the
Q3 2021 results reporting.
Funds would be re-admitted into the index based on the re-admission criteria outlined
in section 3.3.
Exhibit 1 - Illustration of Methodology – Introduction of Observation Period for
Existing Index Constituents

Criteria
adherence(Yes / No)

Index
Inclusion
Status(Yes / No)

Period 1

Period 2

Period 3

Period 4

Period 5

Period 6

Period 7

Period 8

Yes

No

No

No

No

No

No

Yes

No

No

Yes

Observation Period During Non-adherence (4quarters)

Yes

Yes

Yes

Yes

No

Note: Period represents one quarter© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI/REALPAC Canada Quarterly Property Fund Index (Unfrozen) |November 2021

3.3

CHANGE IN COMPOSITION
The addition of new funds and withdrawal/termination of existing funds are normal
events in the evolution of the MSCI Property Fund Indexes. There are additional
requirements and clarification for the Canada PFI.
New Funds:
a. are required to provide sufficient and complete data of their investment
performance, subject to a minimum of either five years or the period from dateof launch of the fundRemoved/Withdrawn Funds:
a. Withdrawal from the Index should be through written communication to MSCI
Re-admitted Funds:
a. In order to be re-admitted to the Index, the funds must provide MSCI with thedata to calculate their investment performance during the whole period since
their last inclusion in the Index
b. Re-admitted funds are subject to the same eligibility requirements as potential
new constituentsFormal communication of a material change in the index composition will be done
through an Index Announcement made available at www.msci.com, in accordancewith the thresholds defined in the MSCI Real Estate – Index Policies.

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MSCI/REALPAC Canada Quarterly Property Fund Index (Unfrozen) |November 2021

4

Data Provision Requirements

4.1

NET ASSET VALUE REPORTING REQUIREMENTS

In addition to the data provision requirements outlined in the MSCI Global Data
Standards for Real Estate Investments, the following requirements are also applicablefor Net Asset Value (NAV) data provision:a. Each fund’s NAV should be based on the valuation of 100% of the value of its
property portfolio; preferably at quarter end but rolling valuations are
acceptable. The valuation must also cover properties held through joint
ventures or indirect investments. Any other indirect property investments, suchas shares in listed property companies and derivatives, should also be revalued.
b. Constituents of the Index should calculate their NAV data on a consistentbasis from quarter to quarter. This basis will be either that specified in theirown articles of association or equivalent.
c. Real estate investments must be re-valued every quarter using IVSC valuation
standards or similar principles, ideally by a third-party appraiser but internalvaluations are allowed as long as the fund's investment properties are
externally appraised at least once a year.

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MSCI/REALPAC Canada Quarterly Property Fund Index (Unfrozen) |November 2021

5

Index Calculation Methodology

5.1

METHODOLOGY TRANSITION

During early 2020 MSCI consulted with the real estate investment community on theincorporation of a time-weighted return methodology including adjustment for dailyweighted external cash flows for use in the MSCI Property Fund Indexes methodology.
As announced in April 2020 following the public consultation, the new methodology isimplemented on a moving forward basis starting July 2021 results reporting of Canada
PFI. There is no impact to the historical results of the index due to the methodology
change because the change has been implemented on a moving forward basis only.
Starting with the Q3 2021 results reporting, the Canada PFI methodology isconstructed by applying the Time-Weighted Return computation methodology as
detailed in the MSCI Property Fund Indexes Methodology (Section 4.3). Till June 2021,
the Canada PFI Methodology was constructed by applying the Modified Dietz
computation methodology as detailed in the MSCI Property Fund Indexes
Methodology (Section 4.1). The historical values of the Index prior to July 2021 havenot been restated. Longer term returns are calculated based on the combinati on(splicing) of the two methodologies.

5.2

WEIGHTING

The funds included in the Canada PFI until June 2021 are weighted according toeach fund's provided Weighted Average Equity. Starting July 2021, the funds in theindex will be weighted based on the Capital Employed which is derived as previous
months Net Asset Value (NAV) adjusted for external cashflows.

5.3

INDEX SERIESThe Gross Fund-Level Total Return Index series starts with a base period of December
2004. The Net Fund-Level Total Return Index series which starts with a base period ofMarch 2015.

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MSCI/REALPAC Canada Quarterly Property Fund Index (Unfrozen) |November 2021

5.4

RULES FOR PERFORMANCE REPORTING

MSCI applies both the standard confidentiality rule (that the minimum number of funds
acceptable for index publication is three) and the fund dominance rule (that the
maximum weight of a single contributor in any index series must not exceed 75% ofindex NAV) to determine if index results will be made available. If any of the above two
conditions are not met, the index results will not be reported.
5.4.1

UNFROZEN HISTORY REPORTING

The Canada PFI returns are unfrozen, which means they do not have fixed histories
and returns will be updated when new data becomes available or corrections are
made. Therefore inclusion of a new fund with historic data impacts the historic Index
returns. MSCI evaluates from time to time to determine if it is suitable to freeze theIndex.

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MSCI/REALPAC Canada Quarterly Property Fund Index (Unfrozen) |November 2021

6

MSCI/REALPAC Canada Property Fund Index Advisory
Committee
The MSCI/REALPAC Canada Property Fund Index Advisory Committee is a group ofusers of and data providers for the Canada PFI. The functions of this group include:•

Providing feedback to MSCI on the development of content for the Index.

•

Providing feedback to MSCI on the inclusion and classification rules forfunds within the Index, based on investment mandates and actual data.

•

Providing feedback to MSCI on changes to the technical specifications or therules of the Index.

MSCI retains complete editorial control over the Index.

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MSCI/REALPAC Canada Quarterly Property Fund Index (Unfrozen) |November 2021

7

Appendix I

7.1

INCLUSION CRITERIA FOR MSCI/REALPAC CANADA QUARTERLYPROPERTY FUND INDEX (UNFROZEN)
Inclusion criteria - MSCI/REALPAC Canada Quarterly Property Fund Index (Unfrozen)
Eligibility
reviewedat thepoint of
Inclusion

Quarterly
reviewofeligibility

Observation
periodInclusion Rule

Criteria

1. Minimum direct real estate
investment in Canada

90% of Non-cash GAV✓✓

4 Quarters

2. Maximum development
exposure

20% of Non-cash GAV✓✓

4 Quarters

3. Fund Structure

Open-ended or Semiopen ended fund

✓

✓

-

4. Maximum fund targeted
gearing on a rolling six quarter
basis

40% of gross direct
real estate asset value✓✓

4 Quarters

5. Minimum GAV requirement

CAD 150 million✓✓

4 Quarters

6. Are the underlying direct
property performance of thefund measured by MSCI at
least quarterly?

Yes

✓

✓

-

7. Data provision requirement

Minimum of either five
years, or the period
from the date oflaunch of the fund

✓

-

-

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MSCI/REALPAC Canada Quarterly Property Fund Index (Unfrozen) |November 2021

8

Appendix II
8.1

VERSIONING TABLE

Version
V1

Publication
Date
November
2021

Key Changes
Release of the MSCI/REALPAC Canada Quarterly
Property Fund Index (Unfrozen) Methodology© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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