MSCI Europe
Quarterly Private
Real Estate Debt
Fund Index(Unfrozen)
Methodology
Index Construction Objectives, Guiding Principles and Methodology for the MSCI
Private Real Estate Debt Fund Indexes.

-

June 2024

JUNE 2024

MSCI Europe Quarterly Private Real Estate Debt Fund Index (Unfrozen)
Methodology | June 2024

1 Introduction .................................................................................. 3
2 Index Composition ....................................................................... 4
2.1 Index Inclusion Requirements .............................................. 4
2.2 Sub-Indexes ........................................................................... 5
2.3 Changes in Composition of Index ........................................ 7
2.4 Quarterly Eligibility Assessment of Index Constituents ...... 8
3 Data Collection and Validation .................................................. 10
3.1

Real Estate Debt Fund Data Requirements....................... 10

3.2

Net Asset Value Reporting Requirements ........................ 11

4 Index Calculation Methodology ................................................. 12
4.1

Time-Weighted Return (TWR) ............................................ 12

4.2

Longer Term Returns ......................................................... 15

4.3

Equity Multiples .................................................................. 17

4.4

Rules for Performance Reporting...................................... 18

4.5

Ranking/Distributions of Returns ...................................... 18

4.6

Unfrozen History Reporting ............................................... 19

4.7

Currency Conversion.......................................................... 20

4.8

Other Market Information Reporting ................................. 21

5 Governance of the Index ............................................................ 23
6 Appendix I: Inclusion criteria – Europe PRE Debt Fund Index .. 24
7 Appendix II: Inclusion criteria – Sub-Indexes in the Europe PRE
Debt Fund Index.......................................................................... 25
8 Appendix III: Versioning Table ................................................... 28© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI Europe Quarterly Private Real Estate Debt Fund Index (Unfrozen)
Methodology | June 2024

1

Introduction
The objective of MSCI Europe Quarterly Private Real Estate Debt Fund Index (Unfrozen)(‘Europe PRE Debt Fund Index’) is to measure the performance of unlisted debt funds
involved in Europe real estate lending, including the effects of cash holdings, leverageand fund operating costs, fees as well as the returns of the underlying debt investments.
To achieve this objective, index is constructed using the financial records of debt funds.
The fund-level data used in constructing the Europe PRE Debt Fund Index is generally
provided by or on behalf of the managers of funds. When available and appropriate, MSCI
may supplement this data with information from public or third-party sources.
To effectively represent the performance of a market, market segment or strategy, theIndex uses Net Asset Values (NAVs). The asset values used by the funds to calculate
NAV are primarily debt valuations.
MSCI employs the Time Weighted Return (with adjustment for daily-weighted external
cash flows), computation framework. This Methodology is described in this methodology
document.

Europe PRE Debt Fund Index is governed by a set of methodology documents(Methodology Set) which define the full methodology governing a specific index. The
Methodology Set for the index includes:•

MSCI Real Estate – Index Policies document describes the various governancepolicies related to the construction, maintenance, and termination of the index toprovide consistency in decisions and avoid ambiguity in its responses to particular
events.

•MSCI Global Data Standards for Real Estate Investment document describes the data
methodology used for the index.

•

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MSCI Europe Quarterly Private Real Estate Debt Fund Index (Unfrozen)
Methodology | June 2024

2

Index Composition
The Europe PRE Debt Fund Index aims to include unlisted Europe real estate debt funds
regardless of the structure and type of vehicles. As data provision is voluntary, exhaustive
coverage of the market is generally not feasible. However, the widely shared interest of
end investors in a rigorously defined and transparent framework for the comparison offunds’ performance track records, can result in the achievement of high market coverage
ratios.

2.1

INDEX INCLUSION REQUIREMENTS
The index inclusion criteria at point of inclusion for any fund joining the Europe PRE Debt
Fund Index specifies that a fund should:
1. Be an unlisted fund1.
2. Have at least 85% of the GAV (excl. cash) invested in Europe region.
3. Have at least 85% of the GAV (excl. cash) invested in real estate debt.
Equity investment resulting from a loan restructuring linked debt-equity swap isconsidered as debt exposure in the eligibility assessment of constituents based on
inclusion rule 3.
For a vehicle to be eligible for inclusion in the Index, its historical data must be provided
and then validated and verified by MSCI.

1 Includes commingled funds, Separately Managed Accounts (SMA), Aggregated portfolio of loans.

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MSCI Europe Quarterly Private Real Estate Debt Fund Index (Unfrozen)
Methodology | June 2024

2.2

SUB-INDEXESFor a Standard Debt Fund Index, the sub-indexes are also calculated. Sub-indexes
represent the performance of one or more underlying segments of the Standard Index. A
sub-index is defined using additional criteria for inclusion over and above the inclusion
criteria listed above for the Standard Index.
In addition to the standard index, the following sub-indexes are published:

By Fund Strategy (Seniority of Debt): These sub-indexes are based on vehicle strategy
as per fund documentation.
1. Senior Debt: Includes funds that have a self-declared strategy to predominantly
issue senior loans to real estate. This index has a base date of December 2018.
2. Whole Loans: Includes funds that have a self-declared strategy to predominantly
issue Whole loans to real estate. This index has a base date of December 2021.
3. Subordinated/Mezzanine Debt: Includes funds that have a self-declared strategy
to predominantly issue Subordinated / Mezzanine loans to real estate. This index
has a base date of June 2018.

By Geography Focus: These sub-indexes are based on funds lending based on individual
countries within Europe:
1. UK: Includes funds with ≥70% allocation to real estate loans issued in UK. This
Index has a base date of June 2018.
2. Continental Europe: Includes funds with ≥70% allocation to real estate loans
issued either in a single country in Continental Europe or across Continental
Europe. This Index has a base date of June 2018.

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MSCI Europe Quarterly Private Real Estate Debt Fund Index (Unfrozen)
Methodology | June 2024

By Property Sector Focus: These sub-indexes are based on funds lending based on
specific property use type sectors:
1. Diversified: Includes funds with ≤50% allocation to single sector real estate loans.
This Index has a base date of June 2018.
2. Specialist: Includes funds with ≥70% allocation to single sector real estate loans.

By Fund structure: These sub-indexes are based on structure of the funds as per the funddocumentation:
1. Open-ended: Includes open-ended funds. This Index has a base date of December
2019.
2. Closed-ended: Includes closed-ended funds. This Index has a base date of June
2018.

By Fund type: These sub-indexes are based on type of the funds based on the pooling ofinvestors, as per the fund documentation:
1. Commingled: Includes commingled/pooled funds. This Index has a base date ofJune 2018.
2. Separate Account: Includes separately managed accounts. This Index has a basedate of December 2018.

Closed-ended Fund by Vintage: These sub-indexes are based on launch date of closedended funds, as per the fund documentation:
1. Vintage 2019: This Index has a base date of March 2020.
2. Vintage 2020
3. Vintage 2021: This Index has a base date of March 2022.
4. Vintage 2022: This Index has a base date of December 2022.
5. Vintage 2023

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MSCI Europe Quarterly Private Real Estate Debt Fund Index (Unfrozen)
Methodology | June 2024

2.3

CHANGES IN COMPOSITION OF INDEX
Index composition changes may result from fund liquidations, as well as other changes
to MSCI’s access to fund data, including newly launched or existing funds providing theirdata to MSCI. Formal communication of a material change in the index composition will
be done through an Index Announcement made available at www.msci.com, in
accordance with the MSCI Real Estate – Index Policies.
The historical data provided by any data provider withdrawing from the index will be
retained and continue to be used in index calculations. For an index with unfrozen history,
new fund data that has met MSCI’s quality standard will be included in the index
historically. For an index with frozen history, new fund data will only be included going
forward.
Index composition is checked for fund confidentiality rules and fund dominance rules
defined below (refer section 4.4.1 and 4.4.2 from this document).
Any index may be discontinued or suspended, without notice, if fewer than the required
minimum number of funds are eligible and available for inclusion, or if one portfolio orfund dominates the composition, when applying a given methodology to a market. MSCI
may resume calculation of such index if over time enough funds become eligible andavailable.
The addition of new funds and withdrawal/termination of existing funds are normal
events in the evolution of the Europe PRE Debt Fund Index to which the following
requirements and clarifications also apply:
New Funds:
1. Are required to provide sufficient and complete data of their fund’s performance,
subject to a minimum of either 3 years or the period from date of launch of the fund.
2. As per the unfrozen index methodology, the returns of new funds will impact thehistorical returns of the Index. A change of mandate, structure, branding or manager
does not warrant the removal of historical performance from the index.
Removed/Withdrawn Funds:
1. Withdrawal from the Index should be through written communication to MSCI andwhere possible, one quarter prior to the next index release.

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MSCI Europe Quarterly Private Real Estate Debt Fund Index (Unfrozen)
Methodology | June 2024

Re-admitted Funds:
1. To be re-admitted to the Index, the funds must provide MSCI with the data to calculate
their investment performance during the whole period since their last inclusion in the
Index.
2. Re-admitted funds are subject to the same eligibility requirements as potential new
constituents.

2.4

QUARTERLY ELIGIBILITY ASSESSMENT OF INDEX CONSTITUENTS
The fund characteristics may change over time either strategically or temporarily due tomarket movements or transaction activity. The 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 not aligned to the index inclusion
criteria is aimed at stability of index composition. Both quarterly review of eligibility andobservation period ensures on-going review of index composition and reporting using arules-based approach.

Quarterly Review: Following the index inclusion, MSCI reviews the constituent funds ofthe Europe PRE Debt Funds Index every quarter for their eligibility into the index based on
the certain rules, as listed in Appendix I & II. 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.
The rules within the scope of Quarterly Review and Observation Period are listed inAppendix I & II.

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
criterion. Any non-adherence to the specific inclusion rule for four consecutive quarters
will result in rules-based exclusion of the fund in the fourth quarter.
See Exhibit 1 & 2 below for illustration of methodology of observation period applicableto the index & sub-indexes, respectively.

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MSCI Europe Quarterly Private Real Estate Debt Fund Index (Unfrozen)
Methodology | June 2024

EXHIBIT 1: ILLUSTRATION OF METHODOLOGY – OBSERVATION PERIOD FOR
EXISTING INDEX CONSTITUENTS
Inclusion rule
compliance(Yes / No)
Index Inclusion
Status(Yes / No)

Period1

Period2

Period3

Period4

Period5

Period6

Period7

Period8

Period9

Period
10

Yes

Yes

No

No

No

No

No

No

Yes

Yes

Observation Period Prior to
Exclusion
Yes

Yes

Yes

Yes

Yes

Fund excluded from the index

No

No

No

No observation
period before Readmission of fund
Yes

Yes

EXHIBIT 2: ILLUSTRATION OF METHODOLOGY – OBSERVATION PERIOD FOR
EXISTING SUB-INDEX CONSTITUENTS
Inclusion Rule
Compliance(Yes / No)
Sub-Index
Inclusion Status(Yes / No)

Period1
Yes

Period2
Yes

Period Period Period Period
3
4
5
6
No
No
No
No
Observation Period Prior to
Exclusion(4 quarters)

Yes

Yes

Yes

Yes

Yes

No

Period7
No

No

Period Period Period Period
8
9
10
11
Yes
Yes
Yes
Yes
Observation Period Prior to
Re-admission(4 quarters)No© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

No

No

Yes

Period12
Yes

Yes

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MSCI Europe Quarterly Private Real Estate Debt Fund Index (Unfrozen)
Methodology | June 2024

3

Data Collection and Validation

3.1

REAL ESTATE DEBT FUND DATA REQUIREMENTS
The data required for calculating the Europe PRE Debt Fund Index includes fund-level Net
Asset Values (NAVs) and distributions. In addition, non-mandatory data may also be used
to allow for more detailed analyses and the production of customized sub-index.
The table below describes the data field specifications for the Time-Weighted Return(TWR) calculation.
Data category

Data used for calculating index returns
Time-Weighted Return (TWR)

NAV

Total NAV

Distributions (dividends)

Distributions/dividend details on a day-dated basis

Investment income

Investment income before and after fees

Vehicle Capital flows

Capital invested and capital returned on a day-dated
basis

Fees

Fund management fees, incentive fees (capital
account and expense account)

Currency

Exchange rates****Sourced from WM Refinitiv© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI Europe Quarterly Private Real Estate Debt Fund Index (Unfrozen)
Methodology | June 2024

In addition to the data required to calculate their performance, MSCI uses fund-reported
allocations and classifications data to assign funds to sub-indexes or to provide
aggregated index characteristics. Examples of this category of data are described below.
Data category

Examples of data used for classification of funds

Property type allocation

Loan Sector allocation

Geography allocation

Country allocation

Vehicle Structure

Open/closed

Vehicle Strategy

Core, Core+, Valed-added, Opportunistic

Seniority of debt

Senior Debt, Mezzanine Debt, etc.

Vehicle Vintage

Date of LaunchMore information on data definitions can be found in the MSCI Global Data Standards forReal Estate Investments.

3.2

NET ASSET VALUE REPORTING REQUIREMENTS
In addition to the standard requirements, as part of the MSCI Global Data Standards forReal Estate Investments, there are additional requirements for the NAV. These
requirements are:
1. Vehicles are required to report their NAV on at least a quarterly basis and should havedone so for the whole of the period of their performance history within the Index.
2. Constituents of the Index must agree to calculate their NAV on a consistent basis
from quarter to quarter. This basis will that specified in their own articles ofassociation (or equivalent).

3. NAV should be based on the loan assets being valued each quarter. The valuation ofloans could be in-house or external.

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MSCI Europe Quarterly Private Real Estate Debt Fund Index (Unfrozen)
Methodology | June 2024

4

Index Calculation Methodology
The calculations described below are applicable to individual funds as well as the index.

4.1

TIME-WEIGHTED RETURN (TWR)
The Time-Weighted Return Methodology with adjustment for daily-weighted external
cash flows are being calculated at the private real estate debt fund level on a monthly
basis.

4.1.1

NET TOTAL RETURNAt the fund level, for the TWR methodology, Net Total Return is defined as:
𝑁𝑒𝑡 𝐹𝑢𝑛𝑑 𝑇𝑜𝑡𝑎𝑙 𝑅𝑒𝑡𝑢𝑟𝑛𝑡 = (𝐴𝑝𝑝𝑟𝑒𝑐𝑖𝑎𝑡𝑖𝑜𝑛𝑡 + ∑𝑁𝐼𝑌𝑡) ∗ 100
𝑊𝑡𝑑𝐸𝑞𝑡

Where:
WtdEq t = NAVt−1 + ∑ni=1[Daysi,t ∗ NCIi,t ] - ∑ni=1[Daysi,t ∗ Dist i,t ]Appreciationt = NAVt – NAVt-1 - ∑NCIt- (∑NIYt - ∑Distt )And:
Appreciationt after fees in month t;
NIYt is the Net Investment Income after fees in month t;
WtdEqt is weighted equity (capital employed) in month t;
NAVt-1 is the net asset value at the end of the previous month t-1;
NAVt is the net asset value at the end of the month t;Distt is the distribution for the Period;
NCIi,t is the net capital invested.
Days i,t = the weight of external cash flow i in month t, expressed as the number of days
the cash flow is invested in a fund as a portion of the total number of days in month t.

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MSCI Europe Quarterly Private Real Estate Debt Fund Index (Unfrozen)
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Asuming that external cash flows occur at the start of the day, the weighting factor foreach external cash flow is calculated as follows:
𝐷𝑎𝑦𝑠𝑖,𝑡 =Where:

𝐷𝑡 − 𝐷. 𝑐𝑓𝑡 + 1
𝐷𝑡

D t = the total number of calendar days in month t;
D.cf t = the number of calendar days from the beginning of month t to the date ofexternal cash flow i

4.1.2

NET INCOME RETURN
The Net Fund Income Return is calculated based on the Net Investment Income after fees
generated in a month. There could be a deviation with the distributed income due to atime difference of the net investment income generation and the distribution as well as
the fact that all or some of the income might be retained within the fund. At the fund level
Net Fund Income Return is defined as:
𝑁𝑒𝑡 𝐹𝑢𝑛𝑑 𝐼𝑛𝑐𝑜𝑚𝑒 𝑅𝑒𝑡𝑢𝑟𝑛𝑡 = (∑𝑁𝐼𝑌𝑡) ∗ 100
𝑊𝑡𝑑𝐸𝑞𝑡

Where:
NIYt is the Net Investment Income after fees in month t;
WtdEqt is weighted equity (capital employed);

4.1.3

NET CAPITAL RETURN
The Net Fund Capital Return is calculated based on the Net Asset Value change after fees
adjusting it for net capital invested as well as for the net income retained (Net Invest
Income minus Distributions) within the fund in a month. At the fund level Net Fund Capital
Return is defined as:
𝑁𝑒𝑡 𝐹𝑢𝑛𝑑 𝐶𝑎𝑝𝑖𝑡𝑎𝑙 𝑅𝑒𝑡𝑢𝑟𝑛𝑡 = (𝐴𝑝𝑝𝑟𝑒𝑐𝑖𝑎𝑡𝑖𝑜𝑛𝑡) ∗ 100
𝑊𝑡𝑑𝐸𝑞𝑡

Where:
Appreciationt after fees in month t;
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MSCI Europe Quarterly Private Real Estate Debt Fund Index (Unfrozen)
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4.1.4

GROSS TOTAL RETURNAt the fund level Gross Fund Total Return is defined as:
𝐺𝑟𝑜𝑠𝑠 𝐹𝑢𝑛𝑑 𝑇𝑜𝑡𝑎𝑙 𝑅𝑒𝑡𝑢𝑟𝑛𝑡 = (𝐴𝑝𝑝𝑟𝑒𝑐𝑖𝑎𝑡𝑖𝑜𝑛𝑡 + ∑𝑁𝐼𝑌𝑡 + 𝐹𝑒𝑒𝑠𝑡) ∗ 100
𝑊𝑡𝑑𝐸𝑞𝑡

Where:
Appreciationt after fees in month t;
NIYt is the Net Investment Income after fees in month t;
Feest is the total fees (management + incentive) in month t;
WtdEqt is weighted equity (capital employed) in month t;

4.1.5

GROSS INCOME RETURNAt the fund level Gross Fund Income Return is defined as:
𝐺𝑟𝑜𝑠𝑠 𝐹𝑢𝑛𝑑 𝐼𝑛𝑐𝑜𝑚𝑒 𝑅𝑒𝑡𝑢𝑟𝑛𝑡 = (∑𝑁𝐼𝑌𝐵𝐹𝑡) ∗ 100
𝑊𝑡𝑑𝐸𝑞𝑡

Where:NIYBFt is the Net Investment Income before fees in month t;
WtdEqt is weighted equity (capital employed) in month t;

4.1.6

INDEX RETURN
The index return, calculated net of fund-level fees, is defined as:∑𝑛𝑖=1(𝐴𝑝𝑝𝑟𝑒𝑐𝑖𝑎𝑡𝑖𝑜𝑛𝑖,𝑡 + ∑𝑁𝐼𝑌𝑖,𝑡 )𝐼𝑛𝑑𝑒𝑥 𝑅𝑒𝑡𝑢𝑟𝑛𝑡 = () ∗ 100∑𝑛𝑖=1 (𝑊𝑡𝑑𝐸𝑞𝑡 𝑖,𝑡 )Where:
n is the number of funds in the index sample;
Appreciationi,t after fees of fund i in month t;
NIYi,t is the Net Investment Income after fees of fund i in month t;
WtdEqi,t is weighted equity (capital employed) of fund i in month t;© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI Europe Quarterly Private Real Estate Debt Fund Index (Unfrozen)
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4.1.7

INTERPOLATION OF DATA FOR TWR INDEXAs stated above, regardless of the frequency of the index, monthly returns are calculated.
This may require the interpolation of provided data, and assumptions about the timing of
cash flows.
For data included in index where no data is received monthly:•

the NAV will be interpolated by using the latest available NAV, adjusted for theexternal cash-flows (Capital invested, Capital returned and Distributions) and nondistributed income (Net Investment Income – Distribution for each month).
Where:
And:

𝑁𝐴𝑉𝑡 = 𝑁𝐴𝑉𝑡−1 + 𝑁𝐶𝐼𝑡 + 𝑁𝐼𝑌𝑡 − 𝐷𝑖𝑠𝑡𝑡

NAVt is the net asset value at the end of the month t;
NAVt-1 is the net asset value at the end of the previous month t-1;
NIYt is the Net Investment Income after fees in month t;Distt is the distribution in the month t;
NCIt is the net capital invested in the month t.
•

the Net Investment Income both before and after fees as well as the fees will beequally spread across the months.

For data included in index where no data is received on a day-dated basis:•the external cash flows (new capital invested, capital returned and distributions) will
be equally spread over the months and timed at the middle of the month.

4.2

LONGER TERM RETURNS

4.2.1

INDEX VALUES
Starting from a base value of 100, each successive index value is calculated bymultiplying the preceding index value by (1+monthly return):
Indext=0 = 100
Indext = Indext−1 × [1 +

TR t
]
100

Where:TR t is the total return for the period t-1 to t, expressed as a ratio© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI Europe Quarterly Private Real Estate Debt Fund Index (Unfrozen)
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4.2.2

MULTI-PERIOD TIME-WEIGHTED TOTAL RETURN
The basis for calculating all annual and quarterly performance measures is timeweighted. Annual measures are calculated by compounding twelve monthly figures andannual figures are shown only when twelve months’ figures are available. These
measures gives an equal weight to each month. To calculate quarterly and annual returns
it is necessary first to construct an index from monthly values.
The 12-month return, for example, is calculated as the percentage change in the index(Xt) over the relevant 12 months.
12 Month Total Return = [4.2.3

Indext− 1 ] x 100
Indext−12

ANNUALIZED RATE
The annualized rate is the geometric mean of the individual annual rates of change for aseries of years. It is calculated as the nth root of the final indexed score converted backinto a percentage:
Indext 1/n
Annualized Rate = [() − 1] x 100
Indext=0
Where:
n is the number of years
Indext is the final indexed score.
Indext=0 is the initial indexed score.

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MSCI Europe Quarterly Private Real Estate Debt Fund Index (Unfrozen)
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4.3

EQUITY MULTIPLES

4.3.1

DISTRIBUTION TO PAID-IN CAPITAL (DPI)
Distribution to Paid-in (%) is a measure of the cumulative investment returned to theinvestor relative to invested capital.

𝐷𝑃𝐼 =𝐷𝑖𝑠𝑡𝑟𝑖𝑏𝑢𝑡𝑖𝑜𝑛𝑠(𝑐𝑢𝑚𝑢𝑙𝑎𝑡𝑖𝑣𝑒) + 𝐶𝑎𝑝𝑖𝑡𝑎𝑙 𝑅𝑒𝑡𝑢𝑟𝑛𝑒𝑑(𝑐𝑢𝑚𝑢𝑙𝑎𝑡𝑖𝑣𝑒)
𝑃𝑎𝑖𝑑 𝑖𝑛 𝑐𝑎𝑝𝑖𝑡𝑎𝑙(𝑐𝑢𝑚𝑢𝑙𝑎𝑡𝑖𝑣𝑒)

Where
𝐷𝑖𝑠𝑡𝑟𝑖𝑏𝑢𝑡𝑖𝑜𝑛𝑠(𝑐𝑢𝑚𝑢𝑙𝑎𝑡𝑖𝑣𝑒) is the cumulative amount of income distributed to investors for
all periods in the measurement till the reporting date.
𝐶𝑎𝑝𝑖𝑡𝑎𝑙 𝑅𝑒𝑡𝑢𝑟𝑛𝑒𝑑(𝑐𝑢𝑚𝑢𝑙𝑎𝑡𝑖𝑣𝑒) is the cumulative capital returned to investors for all
periods in the measurement till the reporting date.
𝑃𝑎𝑖𝑑 𝑖𝑛 𝑐𝑎𝑝𝑖𝑡𝑎𝑙(𝑐𝑢𝑚𝑢𝑙𝑎𝑡𝑖𝑣𝑒) is the cumulative paid in capital i.e., ‘capital called’ frominvestors for all periods in the measurement till reporting date.

4.3.2

RESIDUAL VALUE TO PAID-IN CAPITAL (RVPI)Residual Value to Paid-in (%) is a measure of how much of the investors’ capital is stillretained as equity in the fund.

𝑅𝑉𝑃𝐼 =

𝑁𝐴𝑉𝑡
𝑃𝑎𝑖𝑑 𝑖𝑛 𝑐𝑎𝑝𝑖𝑡𝑎𝑙(𝑐𝑢𝑚𝑢𝑙𝑎𝑡𝑖𝑣𝑒)

Where

NAVt is the net asset value at the end of the month t;
𝑃𝑎𝑖𝑑 𝑖𝑛 𝑐𝑎𝑝𝑖𝑡𝑎𝑙(𝑐𝑢𝑚𝑢𝑙𝑎𝑡𝑖𝑣𝑒) is the cumulative paid in capital i.e., ‘capital called’ frominvestors for all periods in the measurement till reporting date.

4.3.3

TOTAL VALUE TO PAID-IN CAPITAL
Total Value to Paid-in (%) is the sum of DPI and RVPI𝑇𝑉𝑃𝐼 =

𝐷𝑖𝑠𝑡𝑟𝑖𝑏𝑢𝑡𝑖𝑜𝑛𝑠(𝑐𝑢𝑚𝑢𝑙𝑎𝑡𝑖𝑣𝑒) + 𝐶𝑎𝑝𝑖𝑡𝑎𝑙 𝑅𝑒𝑡𝑢𝑟𝑛𝑒𝑑(𝑐𝑢𝑚𝑢𝑙𝑎𝑡𝑖𝑣𝑒) + 𝑁𝐴𝑉𝑡
𝑃𝑎𝑖𝑑 𝑖𝑛 𝑐𝑎𝑝𝑖𝑡𝑎𝑙(𝑐𝑢𝑚𝑢𝑙𝑎𝑡𝑖𝑣𝑒)© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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4.4

RULES FOR PERFORMANCE REPORTING

4.4.1

FUND CONFIDENTIALITY RULES
To protect the confidentiality of the fund level data provided, MSCI applies strict
confidentiality rules, which set the minimum number of constituents necessary to permit
the reporting of an index. In any aggregate, the minimum acceptable number of funds isthree.
However, if all data providers to an index have agreed to disclose individual fund results,
an exception may be made.

4.4.2

FUND DOMINANCE RULES
To avoid the possibility of the weight of one fund dominating the representativeness ofan index, MSCI employs dominance rules when determining the composition of an index.
When calculating an index, a maximum weight for any single contributing fund is
calculated based on NAV. When the weight of a contributing fund in any index series
exceeds 75% of index, the results will not be reported. This also applies to sub-indexes.
However, if all data providers to an index have agreed to disclose individual fund results,
an exception may be made.

4.5

RANKING/DISTRIBUTIONS OF RETURNS
A percentile measure indicates the value below which a given percentage of a group ofobservations fall. For example, the 20th percentile is the value (or score) below which 20
percent of the observations may be found. The term percentile and the related percentile
rank are often used to report scores describing performance levels, and are therefore very
popular in summarizing a fund’s return position within a peer group. For example, if ascore is on the 86th percentile, it is higher than 86% of the other scores. In MSCI private
real estate debt fund return reporting, the minimum sample required for showing
percentile distributions at any aggregate level is at least 3 funds.
The 25th percentile is also known as the first quartile (Q1), the 50th percentile as themedian or second quartile (Q2) and the 75th percentile as the third quartile (Q3). In
general, percentiles and quartiles are specific types of quantiles.

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MSCI Europe Quarterly Private Real Estate Debt Fund Index (Unfrozen)
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In computing the weighted average of a compounded measure over longer than one
month, a different sample of funds may be included as the period lengthens. Whencalculating percentiles, only those funds that have contributed in every underlying period
are included. Therefore, the ranked sample may be smaller than the weighted aggregate
results sample.

4.6

UNFROZEN HISTORY REPORTING
The returns of the MSCI Europe Quarterly Private Real Estate Debt Fund Index are
unfrozen, which means they do not have fixed histories and returns will be updated when
new historical data becomes available, or corrections are made. Therefore, the inclusionof historical data from a new fund with impacts the historical Index returns.
MSCI reviews unfrozen indexes annually to decide whether any index should potentiallybe frozen.
A proposal to freeze an index history is based on an analysis of the likelihood of futurechanges to historical data, including availability of new data, including:•Market coverage level: The higher the ratio of MSCI data coverage to the estimatedtotal debt funds investment market, the greater is the likelihood that historical market
results will remain representative through the addition of new funds to the dataset.

•

Review of historical restatement impacts: Comparing the difference between
published results and results including any newly submitted data gives an indicationof the consistency of historical results.

•

Trends in numbers of funds joining the dataset and their perceived likelihood of
supplying historical data.

A proposal to freeze the history of any Europe PRE Debt Fund Index will trigger a public
consultation with market participants. If a decision is taken to freeze an index, thatdecision will be announced to the public before implementation as per the Methodology
and Index Consultation Policy described in the “MSCI Real Estate – Index Policies”
document.

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4.7

CURRENCY CONVERSION
The index may have constituents which report its data in currency other than the one inwhich the index is denominated. Therefore, the calculation of the index requires values tobe converted to a common currency. Depending on the usage of the output, thiscalculation is either performed on a fixed (“local currency”) or variable exchange rate.

4.7.1

FIXED RATE CONVERSION
Fixed rate conversion is applied to remove the impact of currency on measurecalculations. A monthly fixed rate method is applied to eliminate the need for historicalchanges. The application of this methodology for different performance measures is asfollows:•

For monthly compounded growth measures, MSCI converts the relevant data using
the exchange rate of the base month. For example, the data required for December
2022 growth measures are converted at the November 2022 exchange rate.

•

For all spot measures – such as Net Asset Value, Gross Asset Value and Debt – withdata collected as at month-end, values are converted using the corresponding monthend exchange rate. For example, December 2022 Net Asset Value is converted using
the December 2022 exchange rate.

•

Similarly, for spot ratios, such as the gearing ratios, the appropriate month-end
exchange rate is used to convert both the numerator and denominator values in thecalculation.

•

For measures calculated by summation over time, such as 12-month net capital
invested or 12-month distribution yield (where the numerator is calculated bysummation), all values are converted using the exchange rate as at the end of final
month of computation.

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MSCI Europe Quarterly Private Real Estate Debt Fund Index (Unfrozen)
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4.7.2

VARIABLE RATE CONVERSION
Performance measures based on variable rates include the impact of monthly changes
in exchange rates. For variable rate reporting, each data item is converted using thecorresponding month-end mid-rate, defined as the median of the bid and offer rates on
the last day of the month. An exception to this is Capital Invested data, which is converted
using the previous month rate.
For 1994 and later data, MSCI uses exchange rates from WM Refinitiv. For earlier data,
rates from EcoWin and others are used.

4.8

OTHER MARKET INFORMATION REPORTING

4.8.1

GEARING
Gearing, or leverage, measures the level of debt in a fund and is aggregated at index
level as follows:

4.8.2

AVERAGE LENDING INTEREST RATE
𝐴𝑣𝑒𝑟𝑎𝑔𝑒 𝐿𝑒𝑛𝑑𝑖𝑛𝑔 𝐼𝑛𝑡𝑒𝑟𝑒𝑠𝑡 𝑅𝑎𝑡𝑒 =∑𝑛𝑖=1 𝐿𝑒𝑛𝑑𝑖𝑛𝑔 𝑅𝑎𝑡𝑒𝑖 ∗ 𝐺𝐴𝑉𝑖
∑𝑛𝑖=1 𝐺𝐴𝑉𝑖

Where
Lending Rate is the rate of interest at which loans are issued by fund i
GAV is the gross asset value of the fund in is the number of funds in the index

4.8.3

AVERAGE LENDING LTV
𝐴𝑣𝑒𝑟𝑎𝑔𝑒 𝐿𝑒𝑛𝑑𝑖𝑛𝑔 𝐿𝑇𝑉 =∑𝑛𝑖=1 𝐿𝑇𝑉𝑖 ∗ 𝐺𝐴𝑉𝑖
∑𝑛𝑖=1 𝐺𝐴𝑉𝑖

Where
LTV is the loan to value ratio of the fund i
GAV is the gross asset value of the fund in is the number of funds in the index© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI Europe Quarterly Private Real Estate Debt Fund Index (Unfrozen)
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4.8.4

AVERAGE REMAINING LOAN TERM
𝐴𝑣𝑒𝑟𝑎𝑔𝑒 𝑅𝑒𝑚𝑎𝑖𝑛𝑖𝑛𝑔 𝐿𝑜𝑎𝑛 𝑇𝑒𝑟𝑚 =∑𝑛𝑖=1 𝑅𝑒𝑚𝑎𝑖𝑛𝑖𝑛𝑔 𝑙𝑜𝑎𝑛 𝑡𝑒𝑟𝑚𝑖 ∗ 𝐺𝐴𝑉𝑖
∑𝑛𝑖=1 𝐺𝐴𝑉𝑖

Where
Remaining loan term of fund i expressed in number of years
GAV i is the gross asset value of the fund in is the number of funds in the index

4.8.5

DRY POWDER
𝐷𝑟𝑦 𝑃𝑜𝑤𝑑𝑒𝑟 (%) =∑𝑛𝑖=1 𝐶𝑢𝑚𝑢𝑙𝑎𝑡𝑖𝑣𝑒 𝐶𝑜𝑚𝑚𝑖𝑡𝑒𝑑 𝐶𝑎𝑝𝑖𝑡𝑎𝑙𝑖 − ∑𝑛𝑖=1 𝐶𝑢𝑚𝑢𝑙𝑎𝑡𝑖𝑣𝑒 𝑃𝑎𝑖𝑑 𝑖𝑛 𝐶𝑎𝑝𝑖𝑡𝑎𝑙𝑖∑𝑛𝑖=1 𝐶𝑢𝑚𝑢𝑙𝑎𝑡𝑖𝑣𝑒 𝐶𝑜𝑚𝑚𝑖𝑡𝑒𝑑 𝐶𝑎𝑝𝑖𝑡𝑎𝑙𝑖

Where
Cumulative value of capital committed by investors since inception of the fund i
Cumulative value of paid-in capital i.e., capital called by the fund i since inception
n is the number of funds in index

4.8.6

INTERNAL RATE OF RETURN (IRR NAV)
IRR is calculated by solving the following expression iteratively for the term r−𝐹𝑢𝑛𝑑𝐵𝑎𝑠𝑒𝑉𝑎𝑙𝑢𝑒0 +𝐹𝑢𝑛𝑑𝐶𝑎𝑠ℎ𝑓𝑙𝑜𝑤1(𝑡1 −𝑡0 )(1+𝑟) 365+

𝐹𝑢𝑛𝑑𝐶𝑎𝑠ℎ𝑓𝑙𝑜𝑤2(𝑡2 −𝑡0 )(1+𝑟) 365

+ ⋯+𝐹𝑢𝑛𝑑𝐶𝑎𝑠ℎ𝑓𝑙𝑜𝑤𝑛(𝑡𝑛 −𝑡0 )(1+𝑟) 365+

𝐹𝑢𝑛𝑑𝑁𝐴𝑉𝑇(𝑇−𝑡0 )

=0

(1+𝑟) 365

Where
FundBaseValue0 is the earliest available cashflow for the fund after inception. Where
cashflow is not available, then earliest available NAV is used.
FundCashflowt Cashflow for month ‘t’. Cashflow components are:•Capital invested into the fund•

Capital returned by the fund•

Income distributed by the fundFundNAVt is the latest net asset value at the end of the measurement period© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI Europe Quarterly Private Real Estate Debt Fund Index (Unfrozen)
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5

Governance of the Index
MSCI uses the following committees to provide overall oversight and governance forbenchmark administration for Europe PRE Debt Fund Index:a. The index is owned, compiled, and calculated by MSCI.
b. Governance is provided by the Private Real Estate Index –•the Risk and Regulatory Committee (“RRC”),•

the Index Policy Committee (“IPC”) and•

the Real Estate Index Committee (“REIC”)

All the committees are staffed solely by MSCI group company employees with extensive
relevant experience.
All committee members are expected to act with integrity as is required of all our
employees according to our Code of Ethics and Business Conduct posted on
www.msci.com, and are subject to MSCI’s compliance policies, including with respect toconfidential information and relevant Chinese Walls.
All decisions taken by the committees are the responsibility of their members.
MSCI retains all Intellectual Property Rights (IPRs) in the index methodologies and theindex including those variations and derivative methodologies of the standard
methodologies as well as those methodologies that may be generated during the courseof the Agreement.

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MSCI Europe Quarterly Private Real Estate Debt Fund Index (Unfrozen)
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6

Appendix I: Inclusion criteria – Europe PRE Debt Fund
Index

Inclusion criteria

Eligibility
reviewed at
the point of
inclusion

Quarterly
review ofeligibility

Observation
period

1. Listing Status

Unlisted

Yes

Yes

-

2. Minimum
allocation bygeography

Have at least 85% of theGAV (excl. cash) invested
in Europe region

Yes

Yes

Yes

3. Fund status

Have at least 85% of theGAV (excl. cash) invested
in real estate debt

Yes

Yes

Yes

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MSCI Europe Quarterly Private Real Estate Debt Fund Index (Unfrozen)
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7

Appendix II: Inclusion criteria – Sub-Indexes in the Europe
PRE Debt Fund Index

Sub-Index Name

Inclusion Criteria

Eligibility
reviewed at
the point of
inclusion

Quarterly
review ofeligibility

Observation
periodBy Fund Strategy (Seniority of Debt)
Senior Debt

As per funddocumentation

Yes

Yes

--

Whole LoansAs per funddocumentation

Yes

Yes

--

Subordinated/Mezzanine
Debt

As per funddocumentation

Yes

Yes

--

Yes

Yes

Yes

Yes

Yes

Yes

By Geography Focus

UK

Continental Europe

Funds with ≥70%of GAV (excl.
cash) invested inreal estate loans
issued in UK
Funds with ≥70%of GAV (excl.
cash) invested inreal estate loans
issued inContinental
Europe.

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MSCI.COM | PAGE 25 OF 30

MSCI Europe Quarterly Private Real Estate Debt Fund Index (Unfrozen)
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Eligibility
reviewed at
the point of
inclusion

Quarterly
review ofeligibility

Observation
periodDiversified

Funds with ≤50% of GAV(excl. cash) invested in asingle sector real estate
debt.

Yes

Yes

Yes

Specialist

Funds with ≥70% of GAV(excl. cash) invested in asingle sector real estate
debt.

Yes

Yes

Yes

Open-ended

As per fund documentation

Yes

Yes

--

Closed-ended

As per fund documentation

Yes

Yes

--

Sub-Index Name

Inclusion Criteria

By Property Sector Focus

By Fund Structure

By Fund Type (Based on pooling of investors)
Commingled

As per fund documentation

Yes

Yes

--

Separate AccountAs per fund documentation

Yes

Yes

--

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MSCI.COM | PAGE 26 OF 30

MSCI Europe Quarterly Private Real Estate Debt Fund Index (Unfrozen)
Methodology | June 2024

Sub-Index Name

Inclusion Criteria

Eligibility
reviewed at
the point of
inclusion

Quarterly
review ofeligibility

Observation
periodClosed-ended Funds by Vintage
Vintage 2019

Launch date as per funddocumentation

Yes

Yes

--

Vintage 2020

Launch date as per funddocumentation

Yes

Yes

--

Vintage 2021

Launch date as per funddocumentation

Yes

Yes

--

Vintage 2022

Launch date as per funddocumentation

Yes

Yes

--

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MSCI Europe Quarterly Private Real Estate Debt Fund Index (Unfrozen)
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8

Appendix III: Versioning Table
VersionPublication
Date

Key Changes

V1

10 June 2024

First release of MSCI Europe Quarterly Private Real Estate
Debt Funds Index (Unfrozen) Methodology.

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MSCI Europe Quarterly Private Real Estate Debt Fund Index (Unfrozen)
Methodology | June 2024

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over 50 years of expertise in research,data and technology, we power better
investment decisions by enabling clientsto understand and analyze key drivers ofrisk and return and confidently build
more effective portfolios. We create
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To learn more, please visit
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The process for submitting a formal index
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