MSCI Solvency II Update 2017
This latest report adds six years of European investment market records, updates the capital risk analysis to December 2015, and includes data from five additional countries. As a result, the report offers a more comprehensive and robust basis for concluding that an evidence-driven pan-European property shock factor need be no more than 15%, confirming the findings of the 2011 study. In addition, new analysis undertaken for this update indicates that such a shock factor might be further reduced to 12% for broadly balanced European composites that exclude the U.K.
The study confirms the original finding that the current SCR of 25% stipulated under the Solvency II Directive for investment in European real estate, including through funds, exceeds the most extreme 12-month downside values at risk documented for geographically diverse real estate investments across Europe.