The fund seeks capital appreciation through investments in fixed-income securities, primarily tax-incentivized infrastructure debentures, as well as capital gains from trading these securities.
| Fund | Date | Quota (R$) | Day | Monthly Return | Year | 12M | 24M | Since Inception |
|---|---|---|---|---|---|---|---|---|
To invest in D60 CDI, access the investment platforms of BTG or Itaú. Units are also available through XP upon request.
Investments are converted into units immediately, and redemptions are settled on D+60.
D60 CDI is an open-end infrastructure investment fund (FI-Infra) that invests primarily in tax-incentivized debentures issued by infrastructure companies under Law No. 12,431. Investments are converted into units on D+0, there is no lock-up period for redemptions, and redemptions are settled on D+60.
The fund is open to the general public and offers Brazilian income tax exemption for individual investors. It also uses DAP futures contracts to hedge real interest rate curve risk, converting IPCA-linked cash flows into CDI-linked cash flows.
Its objective is to generate returns for unitholders through unit value appreciation, reflecting the portfolio’s accrued income (CDI plus a spread). The fund targets a return of CDI + 0.5% to CDI + 1.5%. On a grossed-up basis, accounting for the income tax exemption for individual investors, the target return is CDI + 1.5% to CDI + 2.5%.
In addition to accrued income, D60 CDI seeks capital gains by trading assets in the secondary market and taking advantage of opportunities arising from yield and spread compression.
D60 CDI benefits from a key strength of Bocaina Capital: a team specializing in infrastructure, with strong proprietary origination and structuring capabilities. This provides access to credit opportunities in infrastructure projects that may be overlooked by the broader market, offering the potential for more attractive returns on assets of similar credit quality.
Bocaina is a fund manager specializing in tailored investment solutions for individual and institutional clients. Our objective is to maximize returns and minimize risks through diversified strategies and professional investment management.
Most tax-incentivized debentures pay a return linked to IPCA plus a fixed rate. Their prices therefore fluctuate daily with movements in the real interest rate curve, generally reflected in NTN-B government bonds with similar maturities.
When interest rates rise, these securities’ prices tend to fall; when rates fall, their prices tend to rise. This creates volatility in the fund’s net asset value per unit, even when the debentures’ payment cash flows remain unchanged.
To reduce sensitivity to interest rate curve movements, D60 CDI uses DAP contracts (IPCA coupon futures) as a hedging instrument.
In simple terms, these contracts offset part of the fluctuations caused by movements in NTN-B bonds. The fund’s net assets are therefore less affected by interest rate curve movements and track more closely the movement of CDI plus the assets’ credit spread.
For this reason, D60 CDI tends to have lower net asset value volatility than unhedged funds such as BODB, which remain more exposed to changes in the real interest rate curve.
Want to learn more about DAP contracts (IPCA coupon futures)? Further information is available at:
B3 — IPCA Coupon Futures (in Portuguese)
Mark-to-market (MTM) valuation of debentures can initially be confusing, particularly because custodians have tended not to show it in individual investors’ portfolios.
In simple terms, tax-incentivized debentures are issued at a rate of IPCA plus a coupon, such as IPCA + 8%.
As debentures trade in the secondary market, their prices may change, resulting in a higher or lower yield. For example, if a debenture issued at R$1,000.00 with a yield of IPCA + 8% is purchased for R$900.00, the buyer’s yield will be higher than IPCA + 8%. The extent of the increase depends on the security’s duration.
Even when no trades take place, movements in the reference NTN-B government bond — the one with the duration closest to that of the debenture — affect the debenture’s valuation. For example, if a debenture references the 2030 NTN-B, a 0.10 percentage point increase in that bond’s yield will imply a similar increase in the debenture’s yield.
To check the mark-to-market valuation of a specific debenture, data for most securities is available at data.anbima.com.br.
In January 2023, debentures held directly by individual investors through brokerage firms began to be shown at market value, as in investment funds, instead of the historical accrual-based valuation. What does this mean?
Under accrual-based valuation, the price of the debenture is updated using the yield at which it was purchased.
Under mark-to-market valuation, the price changes according to its fair market value. Many assets have an ANBIMA reference price, which takes into account benchmark government bonds and market transactions.
For example, R$1,000 invested one year ago in a debenture with a five-year duration at IPCA + 3%, now trading at IPCA + 4%, would be valued at approximately R$1,090 using accrual-based valuation (5.8% IPCA plus a 3% yield) and approximately R$1,040 using mark-to-market valuation (a negative 5% impact from a one percentage point increase in yield over a five-year duration).
We view this change positively because it provides investors with more accurate pricing information.
One way to generate returns from fixed-income investments is through yield compression and the resulting capital gains.
At D60 CDI, we seek to invest in securities offering attractive credit risk premiums (spreads), drawing on our technical expertise in infrastructure and our origination and structuring capabilities.
In addition to supporting attractive returns over time, above-average spreads may generate capital gains when a security is sold at a lower yield. The size of the gain depends on the security’s duration.
A rule of thumb for estimating this potential gain is to multiply the duration by the change in the debenture’s yield.
For example, debenture A was issued at IPCA + 8% with a seven-year duration, while similar securities trade at IPCA + 6.5% in the secondary market. If debenture A is sold at IPCA + 6.5%, the approximate capital gain would be: 1.5 percentage points per year (yield difference) × 7 (duration) = 10.5% capital gain on sale.
The D60 CDI annual income tax statement is available directly through the fund administrator’s Investor Portal (BTG Pactual Serviços Financeiros). Access the portal at: https://portaldoinvestidor.btgpactual.com/login
Due to regulatory restrictions, any questions should be directed to the administrator at: ir.psf@btgpactual.com
| Fund Name: | Bocaina Infra 60 CDI |
| Brazilian Tax ID (CNPJ): | 55.169.240/0001-06 |
| Fund Type: | Tax-Incentivized Infrastructure Investment Fund (FI-Infra) |
| Target Investors: | General Public |
| Fund Administrator: | BTG Pactual |
| Management Fee: | 1.00% per year |
| Performance Fee: | 10% of returns exceeding CDI |
| Tax Treatment: | Income and capital gains are exempt from Brazilian income tax for individual investors |
| Income Distribution Frequency: | No Distributions |
| Target Return: | 0.5% to 1.5% above CDI |
| Fund Term: | Indefinite |
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