CPTS11 — Capitânia Securities II Real Estate Investment Fund - REIT

(The largest hybrid multi-strategy paper REIT in Brazil — Capitânia management + BTG Pactual administration)

Recommendation: BUY · Score 8.2/10 · Price R$ 7.65 · P/BV 0.8644 · 12m DY 14.0%

Analysis and recommendation

CPTS11 is the largest hybrid multi-strategy REIT in Brazil, with net assets of R$ 3.28 billion, 378 thousand unitholders and management by Capitânia Investimentos for 11 years under BTG Pactual administration. After the bylaws reform approved in November 2024, the fund operates with full flexibility to allocate between CRIs (24.8% of net assets — IPCA+8.57% MtM, 100% performing) and REITs (63.9% of net assets — 78 units of mostly brick-and-mortar REITs with total upside of 14.4%).

The unit trades at R$ 7.63 against a book value of R$ 8.85, a P/BV of 0.86x — a discount of ~14% to book value in a fund where 100% of the CRIs are performing. The DPS, stable at R$ 0.09/unit since Sep/2025, corresponds to an annualized DY of 14.0%, sustainable on current cash generation (R$ 0.091/unit in Feb/2026, payout 99%). The rare combination of theses delivers three layers of return: (i) a tax-exempt monthly carry equivalent to 114% of CDI; (ii) favorable mark-to-market of the CRIs in an NTN-B downcycle; (iii) repricing of the held REITs with total upside of 14.4% over the REIT book (with +2.5% to the book values of the REITs themselves).

The counterpoints are real: 16.5% of net assets in repo operations at CDI+0.80% (implicit leverage), relevant concentration in funds of the manager itself (~27% of net assets in Capitânia REITs, with a temporary exemption from the double fee), exposure of 41.9% of the CRI book to malls, and a recent strategic change that increased book-value volatility. Score 8.2/10 — BUY for moderate-to-aggressive investors who accept complexity in exchange for a DY premium + a double catalyst from a falling Selic.

Investment thesis

The CPTS11 thesis today revolves around a rare dual thesis: a tax-exempt monthly carry equivalent to a net CDI+3% (14.0% DY on the market price), combined with a double catalyst for capital gains — the closing of its own book-value discount (P/BV 0.86) and the repricing of the held REIT book (total upside of +14.4% over appraisal). With the Selic at 14.5% p.a. and Focus projecting 11.0% in 12 months, the vehicle is doubly positioned to capture the cycle: IPCA+8.57% CRIs gain favorable mark-to-market and the discounted brick-and-mortar REITs should reprice as the opportunity cost recedes.

The main counterpoint is the complexity of the hybrid strategy and the concentration in funds of the manager itself (~27% of net assets). Capitânia management has an 11-year continuous track record in the vehicle with documented historical alpha (+274.9% book value vs +179.9% for the IFIX), and the Nov/2024 reform aligned incentives (reduced fee + double exemption). For those seeking exposure to IPCA+ CRIs with real active management, CPTS11 delivers an institutional franchise in the segment.

Who it is for

  • A moderate-to-aggressive investor who accepts an active strategy in exchange for documented historical alpha
  • Those seeking a high DY (13%+) with a high grade book and 100% performing assets
  • An investor who wants diversified exposure to IPCA+ CRIs AND discounted REITs in a single vehicle
  • Those who believe in the falling-Selic cycle and the repricing of the listed real-estate sector
  • Retirees with a medium tolerance for volatility who need tax-exempt monthly income

Who it is not for

  • A leverage-averse investor — the fund operates with 16.5% of net assets in repo operations
  • Those seeking a pure brick-and-mortar REIT or a pure paper REIT — CPTS is hybrid
  • An investor who prefers passive and predictable — it rotates positions frequently
  • Those who do not tolerate a structural conflict of interest even when mitigated (27% of net assets in in-house REITs)
  • An investor who needs an absolutely stable DPS — it ranged from R$ 0.062 to R$ 0.090 over 12 months

Points of attention and risks

Leverage via repo operations at 16.5% of net assets

The fund operates with 16.5% of net assets in repo operations at a cost of CDI+0.80%. With the Selic at 14.5% p.a., the cost runs at ~15.3% p.a., close to or slightly above the CRI book (average nominal rate 14.05%). The accumulated result of the strategy remains positive at R$ 20.9 million (0.68% of net assets) since inception, but the margin today is thin and any prolonged divergence turns into pressure on the DPS.

Concentration of ~27% in REITs of the manager itself

Roughly 27% of net assets is allocated to REITs managed by Capitânia (CPLG, CPOF, CPSH, CPUR, CPOP, GSFI partially via co-management, CPTR, ADSH). The firm voluntarily waived the double charge of the management fee and the average IRR of its own vehicles within CPTS (20.0% p.a.) exceeds the IFIX (16.0% p.a.), CDI (13.4% p.a.) and IMA-B (10.2% p.a.). Even so, it is a structural conflict of interest that requires continuous monitoring of the performance of these related funds.

Relevant exposure to malls (41.9% of the CRIs + 28.5% of the REITs)

Malls represent 41.9% of the CRI book (10.3% of assets) and 28.5% of the REIT book (19.6% of assets) — together ~30% of total net assets. The sector showed a post-pandemic recovery but remains sensitive to consumption cycles and long-term rates. Main names: General Shopping/GSFI (5.9% of net assets), Gazit Malls, Shopping Maringá Park, Cosmopolitano, AJ Malls (AJFI), CPSH, ViaShopping Barreiro via ADSH11.

The 2024 bylaws reform increased analytical complexity

The November 2024 general meeting transformed the fund from a classic paper fund into a hybrid vehicle with full flexibility between CRIs and REITs. The strategy generated +20.46% in book value in 2025 (vs +21.15% for the IFIX), but it requires more active monitoring of the manager's book — it is not enough to look at the CRI yield. A passive investor should prefer KNCR11 (pure CDI) or KNIP11 (pure IPCA+).

Market-price × book-value gap in difficult years

In 2024, the market price recorded -10.13% while the book value delivered +3.21%. In 2025, the market recovered (+30.46%) above the book value (+20.46%). The history shows price volatility significantly higher than the real performance of the assets — behavior expected in funds with a complex strategy and a FoF portion, but which punishes those who need to liquidate in adverse windows.

B3 Notice 114/2026-SLE on atypical price movement — volume 10× the average on 2026-05-11

On 2026-05-11 the B3 sent Notice 114/2026-SLE to BTG Pactual Serviços Financeiros DTVM (administrator) requesting clarification on the atypical movement of the units and the significant increase in volume. On Friday 05/08 the unit fell -1.02% on R$ 19.2M of volume, and on Monday 05/11 it recorded an intraday drop of -2.57% (from a R$ 7.81 open to a R$ 7.58 close), moving R$ 72.4 million in 9.55 million units — about 10× the average daily volume of R$ 9.3M/day. On 2026-05-12 the administrator replied that it 'is not aware of any act or material fact' that could justify the move (FundosNet ID 1187136). In a high grade fund with 100% performing assets, a stable DPS and a P/BV of 0.86, this 'nothing to declare' is consistent with a macro/sector reading (high Selic + repricing of paper REITs) rather than an operational problem — but the volume concentrated on a Friday suggests the unwinding of a relevant position, which warrants monitoring in the next unitholder statements.

Dividend sustainability

The R$ 0.09/unit DPS is sustainable over the current horizon, but April 2026 flagged a warning sign: cash generation fell to R$ 0.074/unit (a drop in REIT income for the month and an adverse mark-to-market of the brick-and-mortar book), and the fund distributed R$ 0.090, drawing down the accumulated reserve of R$ 0.016/unit until it was depleted. The 2026 average generation (R$ 0.090/unit Jan-Apr) still covers the DPS, and the mark of the IPCA+ CRIs at IPCA+8.57% (acquired at IPCA+6.60%) preserves future income. In a falling-Selic cycle, the margin of the repo operations (cost CDI+0.80%) tends to recover.

About the manager

Capitânia Investimentos (headquarters Av. Brigadeiro Faria Lima, 1485 — São Paulo) is one of the leading independent real-estate fund managers in Brazil, with a platform spanning corporate floors (CPOF), logistics (CPLG), malls (CPSH, ADSH), urban income (CPUR), FoFs (CPOP), agribusiness (CPTR) and credit (CPTS).

The historical track record is the main asset: since CPTS began on 2014-08-05, the book value accumulated 274.9% (12.1% p.a.), against 179.9% for the IFIX, 195.1% for CDI, 227.1% for IMA-B and 235.9% for the Ibovespa — superior to ALL benchmarks in the period. The FoF strategy started in Sep/2019 delivered 103.81% versus 47.50% for the IFIX (alpha of 2.2x). In 2025, the firm executed relevant transactions: recycling of CPLG (IRR 19.55% p.a.), sales in CPSH (IRR 22.52% p.a.), the acquisition of the Nubank headquarters in CPOF and the structuring of two new funds (ADSH11 with AD Shopping and MIDW). The average IRR of the Capitânia funds within CPTS is 20.0% p.a. against 16.0% for the IFIX, 13.4% for CDI and 10.2% for IMA-B — real alpha of +4 p.p./year vs the REIT index.

Alignment reinforced by the voluntary reduction of the management fee from 1.05% to 0.90% p.a. (Nov/2024 reform), by the temporary exemption from double taxation on the in-house REITs invested by CPTS, and by transparency via a quarterly table itemizing the IRR of each related fund.

Conclusion

CPTS11 reaches May 2026 as one of the largest hybrid REITs in Brazil, with net assets of R$ 3.28 billion, 378,378 unitholders and 11+ years of continuous management by Capitânia Investimentos under BTG Pactual administration. The unit trades at R$ 7.63 against a book value of R$ 8.85 (P/BV 0.86, a discount of ~14%) and pays R$ 0.09/unit monthly consistently since September 2025 — an annualized DY of 14.0% (equivalent to 114% of gross CDI). The book aggregates 19 CRIs (24.8% of net assets, 100% performing, MtM rate IPCA+8.57% with a duration of 4.66 years) plus 78 REITs (63.9% of net assets, mostly brick-and-mortar, with total aggregate upside of +14.4% over appraisal).

Technically the fund offers three layers of return that rarely coexist in a single vehicle: (i) a monthly carry equivalent to a net CDI+3.4% via tax-exempt dividends; (ii) favorable mark-to-market of the IPCA+ CRIs in an NTN-B downcycle; (iii) the closing of a double discount — a market price ~14% below book value AND held REITs trading near par with total aggregate upside of +14.4%. The estimated total return over 12 months could reach +25% (DY carry of 14% + 10% of partial discount closing), considering the Focus cycle of the Selic receding to 11% by Dec/2026 and 9-10% in 24 months.

For the current macro cycle, the read is constructive: the BCB Focus survey projects the Selic at 12.2% at year-end 2026 and 11.0% in 12 months; Focus IPCA 4.0% in 12 months with current trailing IPCA of 4.14%. Capitânia management delivered +274.9% in book value since the IPO in 2014 (12.1% p.a.), surpassing the IFIX, CDI, IMA-B and Ibovespa over the same period — a track record that other hybrids can hardly replicate. In 2025, the successful CRI→REIT recycling delivered +20.46% in book value vs +13.17% for IMA-B, demonstrating the real alpha of active management after the Nov/2024 bylaws reform (reduced fee + double-fee exemption). The points of attention concentrate in three dimensions: (a) repo operations at 16.5% of net assets with a thin margin today (~0.2% p.a. negative, with R$ 20.9M of accumulated positive result serving as a cushion); (b) ~27% of net assets in Capitânia's own REITs (a conflict mitigated by the exemption and documented alpha, but structural); (c) 41.9% of the CRIs in malls (concentrated sector exposure).