Gramercy Investment Funds plc

An Open Ended Umbrella Investment Company with Variable Capital and

Segregated Liability between Sub-Funds

Gramercy Investment Funds plc

Annual Report and Audited Financial Statements for the

year ended31 December 2015

Page

Administration of the Company 1

Background to the Company 2

Directors’ Report 4

Custodian’s Report 6

Independent Auditor’s Report 7

Investment Manager’s Report 10

Statement of Comprehensive Income 15

Statement of Financial Position 17

Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares 19

Statement of Cash Flows 21

Notes to the Financial Statements 23

Schedule of Investments- Gramercy Local Emerging Market Debt Fund 64- Gramercy Corporate Emerging Market Debt Fund 66- Gramercy High Yield Corporate Emerging Market Debt Fund 71- Gramercy Total Return Allocator Emerging Market Debt Fund 75

Significant Changes In Portfolio Composition- Gramercy Local Emerging Market Debt Fund 79- Gramercy Corporate Emerging Market Debt Fund 80- Gramercy High Yield Corporate Emerging Market Debt Fund 82- Gramercy Total Return Allocator Emerging Market Debt Fund 84

Appendix I- US GAAP Supplemental Information 86


Contents

1


Administration of the Company

Directors Mr. Vincent Dodd (Irish)*Mr. Gunter Heiland (Chairman) (US)Mr. Milton Koenigsberger (US)Mr. Kevin Murphy (Irish)Mr. Dennis Wilson (US)

*Independent Director

Registered Office Arthur Cox BuildingEarlsfort TerraceDublin 2Ireland

Investment Manager and Distributor Gramercy Funds Management LLC20 Dayton AvenueGreenwichCT 06830U.S.A.

Custodian State Street Custodial Services (Ireland) Limited78 Sir John Rogerson’s QuayDublin 2Ireland

Administrator, Registrar and Transfer Agent State Street Fund Services (Ireland) Limited78 Sir John Rogerson’s QuayDublin 2Ireland

Independent Auditor PricewaterhouseCoopersChartered Accountants &Statutory Audit FirmOne Spencer DockNorth Wall QuayDublin 1Ireland

Legal Adviser Arthur CoxEarlsfort CentreEarlsfort TerraceDublin 2Ireland

Company Secretary Bradwell LimitedArthur Cox BuildingEarlsfort CentreEarlsfort TerraceDublin 2Ireland

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Background to the Company

Gramercy Investment Funds plc (the “Company”) is incorporated in Ireland as an open-ended umbrella investment companywith variable capital and segregated liability between sub-funds. The Company is authorised by the Central Bank pursuant tothe European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2011 (as amended)and the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment inTransferable Securities) Regulations 2015 (the “Central Bank UCITS Regulations”), (collectively the “UCITS Regulations”).

At 31 December 2015, the Company had four active sub-funds (the “Funds”), detail as follows:

Fund Launch Date

Gramercy Local Emerging Market Debt Fund 17 September 2014Gramercy Corporate Emerging Market Debt Fund 24 July 2013Gramercy High Yield Corporate Emerging Market Debt Fund 21 August 2013Gramercy Total Return Allocator Emerging Market Debt Fund 7 February 2014

At 31 December 2015, the Funds had the following active classes:

Fund Share Class Launch Date

Gramercy Local Emerging Market Debt Fund Class I GBP£ Accumulating Share Class 17 September 2014

Gramercy Corporate Emerging Market Debt Fund Class I US$ Accumulating Share Class 24 July 2013Class I US$ Distributing Share Class 29 January 2014Class I GBP£ Distributing Hedged Share Class 7 August 2014Class I SEK Accumulating Hedged Share Class 27 August 2014Class I EUR€ Accumulating Share Class 10 February 2015Class (S) I US$ Accumulating Share Class 28 August 2014Class R US$ Accumulating Share Class 26 August 2014Class R SEK Accumulating Hedged Share Class 25 August 2014Class R EUR€ Accumulating Hedged Share Class 24 October 2014Class (W) I US$ Accumulating Share Class 26 March 2015

Gramercy High Yield Corporate Emerging Market Debt Fund Class I US$ Accumulating Share Class 21 August 2013Class I EUR€ Accumulating Hedged Share Class 10 September 2014Class I EUR€ Accumulating Share Class 13 May 2015

Gramercy Total Return Allocator Emerging Market Debt Fund Class I GBP£ Accumulating Share Class 7 February 2014

Gramercy Total Return Allocator Emerging Market Debt Fund, Class I US$ Accumulating Share Class terminated on 7 October 2015.

Securities and Exchange Commission Registration

These financial statements are prepared in accordance with International Financial Reporting Standards (“IFRS”) as adoptedby the EU. Additional US Generally Accepted Accounting Principles (“US GAAP”) information has been provided to facilitateGramercy Funds Management LLC (the “Investment Manager”) to make use of the audit exemption as prescribed in rule 206(4)-2 of the US Investment Advisors Act 1940.

Prospectus

The Company’s current Prospectus was issued on 30 September 2014.

Investment objectives

Gramercy Local Emerging Market Debt Fund

The investment objective of the Fund is to achieve a high total return comprised of income, currency and capital appreciation.To achieve this objective, the Fund will invest at least 80% of its Net Asset Value in Emerging Markets and may invest asubstantial portion of its assets in securities rated below Investment Grade.

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Background to the Company (continued)

Investment objectives (continued)

Gramercy Corporate Emerging Market Debt Fund

The investment objective of the Fund is to achieve a high total return comprised of income and capital appreciation. To achievethis objective, the Fund will invest at least 80% of its Net Asset Value in Emerging Markets and may invest a substantial portionof its assets in securities rated below Investment Grade.

Gramercy High Yield Corporate Emerging Market Debt Fund

The investment objective of the Fund is to achieve a high total return comprised of income and capital appreciation. To achieveits objective, the Fund will invest at least 80% of its Net Asset Value in Emerging Markets and may invest a substantial portionof its assets in securities rated below Investment Grade.

Gramercy Total Return Allocator Emerging Market Debt Fund

The investment objective of the Fund is to achieve a high total return comprised of income and capital appreciation. To achieveits objective, the Fund will invest at least 70% of its Net Asset Value in Emerging Markets and may invest a substantial portionof its assets in securities rated below Investment Grade.

4


Directors’ Report

The Directors present herewith their annual report to the Shareholders together with the audited financial statements of theCompany for the financial year ended 31 December 2015.

Statement of Directors’ Responsibilities

The Directors are responsible for preparing the Directors’ Report and Company’s audited financial statements in accordancewith applicable Irish law and regulations.

Irish law requires the Directors to prepare financial statements for each financial year that give a true and fair view of thecompany’s assets, liabilities and financial position as at the end of the financial year and of the profit or loss of the company forthe financial year. Under that law the directors have prepared the financial statements in accordance with International FinancialReporting Standards (“IFRS”) (accounting standards issued by the Financial Reporting Council and promulgated by theInstitute of Chartered Accountants in Ireland and Irish law).

Under Irish law the Directors shall not approve the financial statements unless they are satisfied that they give the true and fairview of the Company’s assets, liabilities and financial position at the end of the financial year and of the profit or loss of theCompany for the financial year.

In preparing these financial statements, the Directors are required to:• select suitable accounting policies and then apply them consistently;• make judgements and estimates that are reasonable and prudent;• state whether the financial statements have been prepared in accordance with applicable accounting standards and

identify the standards in question, subject to any material departures from those standards being disclosed andexplained in the notes to the financial statements; and

• prepare the financial statements on a going concern basis unless it is inappropriate to presume that the Company willcontinue in business.

The Directors confirm that they have complied with the above requirements in preparing the financial statements.

The Directors are responsible for keeping adequate accounting records that are sufficient to:• correctly record and explain the transactions of the Company;• enable, at any time, the assets, liabilities, financial position and profit or loss of the Company to be determined with

reasonable accuracy; and• enable the Directors to ensure that the financial statements comply with the Companies Act, 2014 and enable those

financial statements to be audited.

In this regard State Street Fund Services (Ireland) Limited have been appointed for the purpose of maintaining adequateaccounting records. The measures taken by the Directors to secure compliance with the company’s obligation to keep adequateaccounting records are the use of appropriate systems and procedures and employment of competent persons. The accountingrecords are kept at the following address on behalf of State Street Fund Services (Ireland) Limited.

State Street Fund Services (Ireland) Limited78 Sir John Rogerson’s QuayDublin 2Ireland

The Directors are responsible for safeguarding the assets of the Company. In this regard they have entrusted the assets of thecompany to State Street Custodial Services (Ireland) Limited (the "Custodian"), who has been appointed as Custodian to theCompany pursuant to the terms of the Custodian Agreement. The Directors have a general responsibility for taking such stepsas are reasonably open to them to prevent and detect fraud and other irregularities.

Voluntary adoption of the Corporate Governance Code

Irish Funds, in association with the Central Bank of Ireland, has published a corporate governance code (the “IF Code”) thatmay be adopted on a voluntary basis by Irish authorised collective investment schemes. The Board of Directors voluntarily fullyadopted the IF Code as the Company’s corporate governance code with effect from 5 July 2013, the date of authorisation ofthe Company by the Central Bank. The Company was in full compliance with the IF Code during the year ended 31 December2015.

Review of performance of business and future developments

A detailed review of the business and future developments of the Company is included in the Investment Manager’s Reports.

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Directors’ Report (continued)

Risk management objectives and policies

The details of the Company’s risk management objectives and policies are included in Note 9 to the financial statements.

Results and Dividend

The results for the year are set out in the Statement of Comprehensive Income. A dividend of US$883,526 was paid onGramercy Corporate Emerging Market Debt Fund on 27 May 2015 (A dividend of US$7,355 was paid on Gramercy CorporateEmerging Market Debt Fund on 29 May 2014). There was no dividend declared or paid on the other Funds during the yearended 31 December 2015 or 31 December 2014.

Directors

The Directors of the Company for the year ended 31 December 2015 were as follows:Mr. Vincent Dodd (Irish)Mr. Gunter Heiland (US)Mr. Milton Koenigsberger (US)Mr. Kevin Murphy (Irish)Mr. Dennis Wilson (US)

Directors’ and Secretary’s Interests

None of the Directors, their families or the Company Secretary hold or held any beneficial interest in the shares of the Companyduring the year ended 31 December 2015.

No Directors had at any time during the year, or at year end, a material interest in any contract of significance, in relation to thebusiness of the Company.

Transactions involving Directors

Refer to Note 8 “Related Party Transactions” for further details.

Connected Party Transactions

In accordance with the requirements of Chapter 10 of the Central Bank UCITS Regulations, all transactions carried out with theCompany by the Custodian and the delegate or sub-delegate of the Company or the Custodian, and any associated or groupcompany of the Company, the Custodian or such delegate or sub-delegate (“connected parties”) must be conducted at arm’slength and in the best interests of shareholders.

The Board of Directors are satisfied that there are arrangements in place (evidenced by written procedures), to ensure that theobligations set out in Chapter 10 of the Central Banks UCITS Regulations are applied to all transactions with connected parties;and the Board of Directors are satisfied that transactions with connected parties entered into during the period complied withthese obligations.

Significant events during the year

For significant events during the year, please refer to Note 15 of the financial statements.

Significant events since the year end

For significant events since the year end, please refer to Note 16 of the financial statements.

Independent Auditors

The auditors, PricewaterhouseCoopers, have indicated their willingness to continue in office, and a resolution that they will bere-appointed at the annual general meeting.

ON BEHALF OF THE BOARD OF DIRECTORS

______________________________ ______________________________

Date: 11 April 2016

6


Custodian’s Report

We have enquired into the conduct of Gramercy Investment Funds plc (the “Company”) for the financial year ended 31December 2015, in our capacity as Custodian to the Company.

This report including the opinion has been prepared for and solely for the Shareholders in the Company, in accordance withwith Part 5 of the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2011,(as amended) (the “UCITS Regulations”), and for no other purpose. We do not, in giving this opinion, accept or assumeresponsibility for any other purpose or to any other person to whom this report is shown.

Responsibilities of the Custodian

Our duties and responsibilities are outlined in Part 5 of the UCITS Regulations. One of those duties is to enquire into the conductof the Company in each annual accounting year and report thereon to the Shareholders.

Our report shall state whether, in our opinion, the Company has been managed in that year in accordance with the provisionsof the Company’s Memorandum and Articles of Association and the European Communities (Undertakings for CollectiveInvestment in Transferable Securities) Regulations, 2011 (as amended) (the “UCITS Regulations”). It is the overall responsibilityof the Company to comply with these provisions. If the Company has not so complied, we as custodian must state why this isthe case and outline the steps which we have taken to rectify the situation.

Basis of Custodian Opinion

The Custodian conducts such reviews as it, in its reasonable opinion, considers necessary in order to comply with its duties asoutlined in Part 5 of the UCITS Regulations and to ensure that, in all material respects, the Company has been managed (i) inaccordance with the limitations imposed on its investment and borrowing powers by the provisions of the Memorandum andArticles of Association and the appropriate regulations and (ii) otherwise in accordance with the Company’s constitutionaldocumentation and the appropriate regulations.

Opinion

In our opinion, the Company has been managed during the financial year, in all material respects:

(i) in accordance with the limitations imposed on the investment and borrowing powers of the Company by the Memorandumand Articles of Association and by the European Communities (Undertakings for Collective Investment in TransferableSecurities) Regulations 2011, (as amended) (the “UCITS Regulations”); and

(ii) otherwise in accordance with the provisions of the Memorandum and Articles of Association and the Regulations.

State Street Custodial Services (Ireland) Limited

78 Sir John Rogerson’s Quay

Dublin 2

Ireland

Date: 11 April 2016

7


Independent Auditor’s Report to the members of Gramercy Investment Funds plc

Our opinion

In our opinion, Gramercy Investment Funds plc’s financial statements (the “financial statements”):• give a true and fair view of the company’s and funds’ assets, liabilities and financial position as at 31 December 2015

and of their results and cash flows for the year then ended;• have been properly prepared in accordance with International Financial Reporting Standards (“IFRS”) as adopted by

the European Union; and• have been properly prepared in accordance with the requirements of the Companies Act 2014 and the European

Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 (as amended).

What we have audited

The financial statements comprise:• the Statement of Financial Position as at 31 December 2015;• the Statement of Comprehensive Income for the year then ended;• the Statement of Changes in Net Assets attributable to Holders of Redeemable Participating Shares for the year then

ended;• the Cash Flow Statement for the year then ended;• the Schedule of Investments for each of the funds as 31 December 2015; and• the notes to the financial statements for the company and for each of its funds which include a summary of significant

accounting policies and other explanatory information.

The financial reporting framework that has been applied in the preparation of the financial statements is Irish law andInternational Financial Reporting Standards (“IFRS”) as adopted by the European Union.

In applying the financial reporting framework, the directors have made a number of subjective judgements, for example inrespect of significant accounting estimates. In making such estimates, they have made assumptions and considered futureevents.

Matters on which we are required to report by the Companies Act 2014

• We have obtained all the information and explanations which we consider necessary for the purposes of our audit.• In our opinion the accounting records of the company were sufficient to permit the financial statements to be readily and

properly audited.• The financial statements are in agreement with the accounting records.• In our opinion the information given in the Directors' Report is consistent with the financial statements.

Matter on which we are required to report by exception

Directors’ remuneration and transactions

Under the Companies Act 2014 we are required to report to you if, in our opinion, the disclosures of directors’ remunerationand transactions specified by sections 305 to 312 of that Act have not been made. We have no exceptions to report arisingfrom this responsibility.

Responsibilities for the financial statements and the audit

Our responsibilities and those of the directors

As explained more fully in the Statement of Directors Responsibilities set out on page 4, the directors are responsible for thepreparation of the financial statements and for being satisfied that they give a true and fair view.

Our responsibility is to audit and express an opinion on the financial statements in accordance with Irish law and InternationalStandards on Auditing (UK and Ireland). Those standards require us to comply with the Auditing Practices Board’s EthicalStandards for Auditors.

This report, including the opinions, has been prepared for and only for the company’s members as a body in accordance withsection 391 of the Companies Act 2014 and for no other purpose. We do not, in giving these opinions, accept or assumeresponsibility for any other purpose or to any other person to whom this report is shown or into whose hands it may come savewhere expressly agreed by our prior consent in writing.

8

What an audit of financial statements involves

We conducted our audit in accordance with International Standards on Auditing (UK and Ireland). An audit involves obtainingevidence about the amounts and disclosures in the financial statements sufficient to give reasonable assurance that thefinancial statements are free from material misstatement, whether caused by fraud or error. This includes an assessment of:• whether the accounting policies are appropriate to the company’s circumstances and have been consistently applied

and adequately disclosed;• the reasonableness of significant accounting estimates made by the directors; and• the overall presentation of the financial statements.

We primarily focus our work in these areas by assessing the directors’ judgements against available evidence, forming our ownjudgements, and evaluating the disclosures in the financial statements.

We test and examine information, using sampling and other auditing techniques, to the extent we consider necessary to providea reasonable basis for us to draw conclusions. We obtain audit evidence through testing the effectiveness of controls,substantive procedures or a combination of both.

In addition, we read all the financial and non-financial information in the annual report to identify material inconsistencies withthe audited financial statements and to identify any information that is apparently materially incorrect based on, or materiallyinconsistent with, the knowledge acquired by us in the course of performing the audit. If we become aware of any apparentmaterial misstatements or inconsistencies we consider the implications for our report.

Other matter

As explained in the introduction to the report and financial statements, in addition to our responsibility to audit and express anopinion on the financial statements in accordance with Irish law and International Standards on Auditing (UK and Ireland), wehave been requested by the Directors to express an opinion on the financial statements in accordance with generally acceptedauditing standards in the United States of America as issued by the AICPA, in order to meet the requirements of Rule 206(4)-2 under the Investment Advisors Act (the “Custody Rule”). We have reported separately in this respect on page 9.

Joanne Kelly

for and on behalf of PricewaterhouseCoopers

Chartered Accountants and Statutory Audit Firm

11 April 2016


Independent Auditor’s Report to the members of Gramercy Investment Funds plc (continued)

9


Independent Auditor’s Report to the members of Gramercy Investment Funds plc (continued)

TO THE DIRECTORS OF GRAMERCY INVESTMENT FUNDS PLC

We have audited the accompanying financial statements of the company and each of its funds, which comprise the Statementsof Financial Position for the company and funds, including the Schedules of Investments for each of the funds as of 31December 2015, and the related Statements of Comprehensive Income, Statements of Changes in Net Assets attributable toHolders of Redeemable Participating Shares, and Cash Flow Statements for the company and for each of its funds for the yearthen ended.

Management’s Responsibility for the Financial Statements

Management is responsible for the preparation and fair presentation of the financial statements in accordance with Irish lawand International Financial Reporting Standards (“IFRS”) as adopted by the European Union; this includes the design,implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements thatare free from material misstatement, whether due to fraud or error.

Auditor’s Responsibility

Our responsibility is to express an opinion on the financial statements based on our audits. We conducted our audits inaccordance with auditing standards generally accepted in the United States of America. Those standards require that we planand perform the audit to obtain reasonable assurance about whether the financial statements are free from materialmisstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financialstatements. The procedures selected depend on our judgment, including the assessment of the risks of material misstatementof the financial statements, whether due to fraud or error. In making those risk assessments, we consider internal controlrelevant to the company and each of its funds’ preparation and fair presentation of the financial statements in order to designaudit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on theeffectiveness of the company and each of its funds’ internal control. Accordingly, we express no such opinion. An audit alsoincludes evaluating the appropriateness of accounting policies used and the reasonableness of significant accountingestimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that theaudit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinions.

Opinion

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of thecompany and each of the funds at 31 December 2015, and the results of their operations, changes in their net assets, and theircash flows for the years then ended, in accordance with IFRS.

Other Matter

Our audit was conducted for the purpose of forming an opinion on the financial statements taken as a whole. The US GAAPsupplemental information is presented for purposes of additional analysis and is not a required part of the financial statements.The information is the responsibility of management and was derived from and relates directly to the underlying accounting andother records used to prepare the financial statements. The information has been subjected to the auditing procedures appliedin the audit of the financial statements and certain additional procedures, including comparing and reconciling such informationdirectly to the underlying accounting and other records used to prepare the financial statements or to the financial statementsthemselves and other additional procedures, in accordance with auditing standards generally accepted in the United States ofAmerica. In our opinion, the information is fairly stated, in all material respects, in relation to the financial statements taken asa whole.

PricewaterhouseCoopers

Chartered Accountants and Statutory Audit Firm

Dublin

11 April 2016

10


Investment Manager’s ReportsFor the financial year ended 31 December 2015 (unaudited)

Market Overview

China's slowdown, lower commodity prices, weaker currencies, a Fed rate hike and political uncertainty in Brazil, Russia, Turkeyand the Middle East led to one of the worst years for emerging markets since the global financial crisis. U.S. Dollar denominateddebt fared far better than local currency debt as the EMBI Global and CEMBI Diversified both returned 1.2% and the CEMBIDiversified returned 1%. Local currency debt struggled the entire year as the GBI-EM Global Diversified returned -14.9%.

2015 started right where 2014 left off, with declining oil and commodity prices creating a headwind for emerging markets. Thefirst major headline occurred when S&P downgraded Russian sovereign debt at the end of January from investment grade tobelow investment grade. The reasons for the rating actions were concerns about western sanctions stemming from Russianrebel involvement in the crisis in Ukraine, low oil prices hurting fiscal revenues and the broad collapse of the Ruble. While thedowngrades had merit, prices in Russian assets had dropped for two straight years, discounting an incredible amount of riskrelative to the underlying fundamentals. Russian assets rallied sharply from February through April, propelling Russia to one ofthe best performing countries in 2015.

Commodities enjoyed a short lived rebound during the second quarter, as oil rose from $47/barrel to $59/barrel, temporarilyeasing pressure on vulnerable oil related assets. The most topical story during the second quarter was the impact of Brazil’sinvestigation into corruption at state-controlled oil company Petrobras. The investigation has centered upon allegations thatPetrobras executives accepted bribes in return for awarding contracts to construction firms at inflated prices. Due to theinvestigation and a difference in the valuation of assets between the Company and their auditor, Petrobras had to delay theirreporting of 2014 financial results to the end of April, just meeting the deadline in order to not trigger covenants in their bondindentures. The release of their financials showed $17 billion in write-downs due to overvalued assets. On the economic front,Brazil continued to grapple with anemic growth and high inflation. At the end of the second quarter, Brazilian police arrestedheads of companies that had done business with Petrobras on related corruption charges, rattling the Brazilian corporate debtmarket. Prosecutors stated that they were targeting individuals and not companies, but by then the damage had already beendone.

The third quarter saw a return of significant volatility not only in emerging markets, but all global markets. During July, the marketfocused on the return of Greek drama and the potential for another round of Greek exit concerns as the country narrowlyavoided losing support of the EU and averted a default on their debt. Focus quickly shifted to China as their PMI and trade datacontinued to weaken, despite their reported 2nd quarter growth of 7% which the market quickly discounted. China alsoannounced their decision to weaken their currency, albeit by 2%, which spooked the market and raised questions of the severityof their slowdown. This move was the major contributor to a decline in FX markets as EM currencies lost approximately 10%during the quarter. The Fed added to the negative tone by not raising rates, citing concerns about global growth. While notentirely unexpected, S&P’s timing to downgrade Brazil to below investment grade only a month after putting the country onwatch negative, furthered the bearish tone. Glencore also made headlines as the commodity based company dropped 63% invalue, severely impacting hedge funds who were the primary holders of the company in their funds. These pressures along withthe concerns regarding global growth created dislocation across all markets.

The start of the fourth quarter saw an attempt at a recovery from the lows of the third quarter as commodities stabilized andcurrencies rallied. Unfortunately, the rally was short lived as November and December saw renewed pressure globally. Politicswere at the forefront of news headlines as Russia joined the fight against ISIS, tensions between Turkey and Russia increased,the car-wash scandal grew even deeper as a sitting Senator and CEO of BTG Pactual were arrested, Mauricio Macri won theArgentine Presidential election, the Venezuelan opposition won a majority in the National Assembly and the Fed finally raisedU.S. interest rates. The year ended with a dark cloud as U.S high yield funds managed by Third Avenue Management and StoneLion Capital suspended redemptions due to illiquidity in distressed assets. Investors panicked and any credits with illiquidityworries repriced lower.

2015 was a very difficult environment for managers, noted by the number of EM managers that trailed their benchmark in thecalendar year across most strategies as well as the numerous headlines of hedge funds posting negative returns and closingdown their strategies.

Gramercy Local Emerging Market Debt Fund Portfolio Review

The Gramercy Local Emerging Market Debt Fund returned -15% net, underperforming the GBI-EM Global Diversified Index by-0.1%, on a gross US$ basis.

The primary detractors from relative return were our overweight to Brazil and our underweight to Russia at the start of the yearas well as our underweight to Asia. Contributors to relative return were our overweights to Argentina and Mexico, as well as oursecurity selection in shorter duration Colombia Peso and Turkish Lira debt and our underweight to South Africa.

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Investment Manager’s Reports (continued)For the financial year ended 31 December 2015 (unaudited)

Gramercy Local Emerging Market Debt Fund Portfolio Review (continued)

During the year, we reduced our exposure to Brazil, Peru and out of index Argentine holdings in favor of adding to Russia,Mexico and Colombia. Additionally, at the end of the year, we covered our underweight to South Africa after the Rand declinedsharply in December.

The Brazilian Real was one of the worst performing currencies during the year as the country struggled with a slowdown ineconomic growth, the fallout from the Petrobras “car wash” corruption scandal as well as investors' loss of confidence in theGovernment’s fiscal management. The worst performance for Brazil was in the second half of the year when the governmentrevised down its primary surplus target to 0.15%, instead of the prior target of 1.1% of GDP. The primary surplus target for 2016was revised down to 0.7% of GDP (from 2%) at the same time. Soon after, S&P downgraded Brazil’s sovereign credit rating toBB+, citing the reduced primary surplus target in conjunction with political infighting that was making fiscal measures difficultto push through Congress. Due to the aforementioned political infighting, Finance Minister Joaqium Levy, a vital participant inBrazil’s hopes for a turnaround, resigned and was replaced by Nelson Barbosa. While concerns still remain, we do believe weare near the peak of bearishness in Brazil, which has created volatility, but brings us closer to a buying opportunity. Wecontinue to remain underweight in the strategy.

We entered the year slightly underweight Russian local debt and moved to an overweight in September as Russian fiscal policycontinued to be prudent during this stage of lower oil prices and western sanctions. Additionally, it is unlikely that any furtherpolitical pressures emerge that could derail fiscal policy. Finally, Russia’s Central Bank remains diligent and the government’scurrent account surplus and reserve fund are more than sufficient to cover external debt payments.

Our out-of-index holdings in Argentina appreciated during the year as the entire Argentine complex rallied on hopes that a newadministration would normalise relations within capital markets. Our overweight to Mexico contributed as the Mexican Peso,while down 14%, was still one of the better performing currencies for the year. We continue to be constructive on the Peso asa strong economy and growth in the United States should strengthen the Mexican economy. Within Colombia, our position atthe front end of the curve added to performance as our holdings exceeded the index by 5%.

Gramercy Corporate Emerging Market Debt Fund Portfolio Review

The Gramercy Corporate Emerging Market Debt Fund returned -6.96% net, underperforming the CEMBI Diversified Index by-8.16%, on a gross US$ basis.

Odebrecht, Tonon Bioenergia, Pacific E&P, Consolidated Minerals and New World Resources were the primary detractors fromreturn during 2015. We are constructive on each of these names and note that while all have detracted from performance; webelieve each credit is currently undervalued and has the potential to provide high returns going forward.

On the positive side, Argentine assets (sovereign debt, Buenos Aires debt, Mastellone Hermanos and Clisa), Banro andRussian assets (TMK, Gazprom, Norilsk Nickel, Alfa Bank, Credit Bank of Moscow) all added to return.

We continue to be underweight banks and financials as they remain susceptible to a downturn in EM and spreads havetightened from approximately 375 bps to 345 bps in 2015. We believe the risk of rising NPLs and deteriorating credit metricscontinues to warrant an underweight to the sector. Industrials and materials, on the other hand, have widened fromapproximately 520 bps to 780 bps, levels where we believe an overweight is justified and that is reflected in our positioning.Consumer staples remain an overweight in the portfolio as we continue to find idiosyncratic securities within the sector that offervalue as well as stability. Argentina, Mexico, Brazil and Russia are the predominate holdings in the portfolio; however, the fundcontinues to seek bottom up investments which we believe are undervalued relative to their underlying fundamentals.

Odebrecht, Brazil’s largest construction and engineering conglomerate, has been oversold due to headlines of the Brazilian“car wash” investigation and the arrest of its CEO. On the positive side, 75% of Odebrecht’s backlog is outside of Brazil andonly 6% of their backlog is reliant on public projects within Brazil. The company recently announced the addition of a US$1.7billion contract for a subway system in Quito Ecuador to their backlog, a testament to their strong business relationships despitethe negative headlines. The Company has negative net debt with the possible intent of buybacks - Odebrecht has sought theopinion of rating agencies to understand what the impact of buying back debt at current depressed prices would have on theirinvestment grade rating, which is extremely important to the company. The Company has said that they could repurchase upto 20% of each issue, as per bond indentures, before being classified as a creeping tender.

Tonon Bioenergia suffered during 2015 due to depressed sugar prices and on December 9th, the Company filed with theBrazilian courts for Judicial Recovery. We remain constructive on our holdings as the Company has already engaged creditorsto reach a solution and restructure the Company. We expect higher recovery values due to strong production, the ability togenerate free cash flow and the sugar price rally that has taken place since the end of September, bringing prices to above 15cents/pound, meaningfully above Tonon's breakeven price of 9.5 cents/pound.

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Gramercy Corporate Emerging Market Debt Fund Portfolio Review (continued)

Consolidated Minerals price had declined during the first half of the year after losing a Chinese contract last year. At the endof May, prices began to rebound as the company won a US$51mm award from the Chinese customer for damages resultingfrom the cancelation of the contract. During December, prices declined again as a retail seller weighed on the bonds duringparticularly illiquid markets.

New World Resources continues to be affected by the energy price environment, weak demand for coal and illiquidity.TheCompany remains focused on reducing costs in response to the weaker price environment. It should be noted that the companyhas a two year runway financially, during which it will need to see coal prices rise in order for a rebound to occur. Given thedifficulties the company is facing and the current coal environment, we would not be surprised to see the company work withcreditors to achieve a more sustainable solution to their capital structure which should result in better pricing from current levels.

The entire Argentine complex rallied throughout the year on hopes that a new administration would normalise relations within capitalmarkets. Mauricio Macri’s election in November confirmed and continued the rally as the new President’s agenda has placednegotiating with the holdout creditors as a high priority. In the Argentine corporate sector, Arcor purchased a 25% stake (with rightsto eventually purchase up to 100%) in Mastellone Hermanos. The bonds, a top 10 holding in the strategy, rallied over 25% in 2015and still trade over 700 basis points wide to its new shareholder and probable parent. With this transaction, Masher has ampleliquidity and benefits from lower prices paid for raw milk, better climatic conditions and improved global dairy consumption.

We had been constructive on higher quality Russian corporates throughout the year, which offered value as the combinationof western sanctions with lower oil and metal prices initially drove yields higher. Our Russian corporate holdings have been ableto maintain strong fundamentals in this economic climate, in part due to the weaker Ruble lowering domestic costs while hardcurrency revenues remaining robust.

Gramercy High Yield Corporate Emerging Market Debt Fund Portfolio Review

The Gramercy High Yield Corporate Emerging Market Debt Fund returned -7.29% net, underperforming the CEMBI DiversifiedHigh Yield Index by -8.29%, on a gross US$ basis.

New World Resources, Tonon Bioenergia, Odebrecht and TV Azteca were the primary detractors during 2015. We areconstructive on each of these names and note that while all have detracted from performance; we believe each credit iscurrently undervalued and has the potential to provide high returns going forward.

On the positive side, Russian assets (TMK, Alfa Bank, Credit Bank of Moscow, Nomos Bank), Argentine assets (sovereign debt,Buenos Aires debt, Mastellone Hermanos and Clisa) and Banro all added to the return.


New World Resources continues to be affected by the energy price environment, weak demand for coal and illiquidity. TheCompany remains focused on reducing costs in response to the weaker price environment. It should be noted that the companyhas a two year runway financially, during which it will need to see coal prices rise in order for a rebound to occur. Given thedifficulties the company is facing and the current coal environment, we would not be surprised to see the company work withcreditors to achieve a more sustainable solution to their capital structure which should result in better pricing from current levels.



13



Gramercy High Yield Corporate Emerging Market Debt Fund Portfolio Review (continued)

TV Azteca has come under pressure despite limited trading in the credit. The Company had a negative 3rd quarter earningsreport due to weakening ad revenue, a primary source of their earnings. The main shareholder has named his son CEO andthe company has a longer term maturity profile to cushion their current downturn in earnings. The bonds appear to be tradingvery wide to fair value, and we continue to monitor the situation closely, seeing value at these prices.

We had been constructive on higher quality Russian corporates throughout the year, which offered value as the combinationof western sanctions with lower oil and metal prices initially drove yields higher. Our Russian corporate holdings have been ableto maintain strong fundamentals in this economic climate, in part due to the weaker Ruble lowering domestic costs while hardcurrency revenues remaining robust.

The entire Argentine complex rallied throughout the year on hopes that a new administration would normalise relations withincapital markets. Mauricio Macri’s election in November confirmed and continued the rally as the new President’s agenda hasplaced negotiating with the holdout creditors as a high priority. In the Argentine corporate sector, Arcor purchased a 25% stake(with rights to eventually purchase up to 100%) in Mastellone Hermanos. The bonds, a top 10 holding in the strategy, ralliedover 25% in 2015 and still trade over 700 basis points wide to its new shareholder and probable parent. With this transaction,Masher has ample liquidity and benefits from lower prices paid for raw milk, better climatic conditions and improved globaldairy consumption.

Gramercy Total Return Allocator Portfolio Review

The Gramercy Total Return Allocator Fund returned -12.87% on a net US$ basis.

New World Resources, Tonon Bioenergia, Brazil local currency debt and Odebrecht were the primary detractors from relativereturn during 2015. We are constructive on each of these names and note that while all have detracted from performance; webelieve each credit is currently undervalued and has the potential to provide high returns going forward.

On the positive side, Argentine assets (sovereign debt, Mastellone Hermanos, Buenos Aires debt and Clisa), Banro andRussian assets (TMK, Credit Bank of Moscow, Norilsk Nickel, Nomos Bank) all added to relative return.


New World Resources continues to be affected by the energy price environment, weak demand for coal and illiquidity. TheCompany remains focused on reducing costs in response to the weaker price environment. It should be noted that the companyhas a two year runway financially, during which it will need to see coal prices rise in order for a rebound to occur. Given thedifficulties the company is facing and the current coal environment, we would not be surprised to see the company work withcreditors to achieve a more sustainable solution to their capital structure which should result in better pricing from current levels.


Brazil local currency debt detracted as the Brazilian Real was one of the worst performing currencies during the year as thecountry struggled with a slowdown in economic growth, the fallout from the Petrobras “car wash” corruption scandal as well asinvestors loss of confidence in the Government’s fiscal management. The worst performance for Brazil was in the second halfof the year when the government revised down its primary surplus target to 0.15%, instead of the prior target of 1.1% of GDP.The primary surplus target for 2016 was revised down to 0.7% of GDP (from 2%) at the same time. Soon after, S&P downgradedBrazil’s sovereign credit rating to BB+, citing the reduced primary surplus target in conjunction with political infighting that wasmaking fiscal measures difficult to push through Congress. Due to the aforementioned political infighting, Finance MinisterJoaqium Levy, a vital participant in Brazil’s hopes for a turnaround, resigned and was replaced by Nelson Barbosa. Whileconcerns still remain, we do believe we are near the peak of bearishness in Brazil, which has created volatility, but brings uscloser to a buying opportunity. We reduced our exposure to local currency Brazil debt at the end of the third quarter andcontinue to remain underweight in the strategy.

14

Gramercy Total Return Allocator Portfolio Review (continued)


The entire Argentine complex rallied throughout the year on hopes that a new administration would normalise relations withincapital markets. Mauricio Macri’s election in November confirmed and continued the rally as the new President’s agenda hasplaced negotiating with the holdout creditors as a high priority. In the Argentine corporate sector, Arcor purchased a 25% stake(with rights to eventually purchase up to 100%) in Mastellone Hermanos. The bonds, a top 10 holding in the strategy, ralliedover 25% in 2015 and still trade over 700 basis points wide to its new shareholder and probable parent. With this transaction,Masher has ample liquidity and benefits from lower prices paid for raw milk, better climatic conditions and improved globaldairy consumption.

Outlook

We continue to be constructive and see deep value in many credits and countries in the portfolio and believe we are wellpositioned in idiosyncratic credits that are currently trading far below their intrinsic value. It is our belief that while global growthis currently below average, the market has overreacted and oversold many assets, particularly EM debt, where current spreadsare at crisis levels and continuing to show value vs. other sectors.

Current market sentiment is very bearish and while commodity sensitive credits have led the selloff in response to weakerpricing, we believe that the overall market has overshot in accounting for these risks. Distress remains largely concentrated tothe commodities sector, however, valuations of other sectors have been pressured by the weaker risk environment and sellingpressures at year end. After five years of declining growth, it appears emerging markets have hit bottom, having grownapproximately 3.9% in 2015, half as much as they did in 2010. 2016 emerging market growth is projected to climb to 4.5% bythe IMF and while we believe the road to recovery will have traps to avoid, current yields compensate for the current marketrisks as capitulation by many EMD investors have created opportunities that is rarely seen. Commodities will likely continue tobe a main focus for investors in the start of 2016 given the traditional links between EM producers and the impact that pricingwill have on revenues, both fiscal and corporate. We remain focused on both companies that we believe either benefit from theweakness in FX or have extensively discounted the risks versus their underlying fundamentals.

Gramercy Funds Management LLC

February 2016



15

Notes

Investment income

Interest Income 1Dividend IncomeRealised (loss) on financial assets at fair value through profit or loss 1Change in unrealised (loss) on financialassets at fair value through profit or loss 1

Total investment loss

Expenses

Management fees 2,8Audit fees 2Administration fees 2Custodian fees 2Directors’ fees 2Professional feesOther expenses

Total expenses before expense waiver

Expense waiver 2,8

Total expenses after expense waiver

Net loss from operations before

finance costs

Finance costs

Distribution

Loss for the financial year before taxation

Taxation

Withholding tax 5

Decrease in net assets

attributable to holders of redeemable

participating shares resulting

from operations

There are no recognised gains or losses in the financial year other than those dealt with in the Statement of Comprehensive Income and accordingly nostatement of total recognised gains and losses has been presented.

All results are from continuing operations.

The accompanying notes are an integral part of the financial statements.

Gramercy Local

Emerging Market

Debt Fund

Year ended

31 December 2015

US$

2,730,540-

(2,973,050)

(6,573,447)––––––––––––

(6,815,957)

––––––––––––

-(25,222)

(107,753)(27,595)

(4,841)(16,475)

(2,763)––––––––––––

(184,649)

184,649––––––––––––

-

––––––––––––

(6,815,957)

-––––––––––––

(6,815,957)

-––––––––––––

(6,815,957)

––––––––––––––––––––––––

Gramercy

Corporate

Emerging Market

Debt Fund

Year ended

31 December 2015

US$

9,556,8573,232

(12,101,219)

(7,204,035)––––––––––––

(9,745,165)

––––––––––––

(1,062,256)(25,221)

(140,845)(71,973)(14,787)

(192,045)(290,011)

––––––––––––(1,797,138)

485,714––––––––––––

(1,311,424)

––––––––––––

(11,056,589)

(883,526)––––––––––––

(11,940,115)

1,030––––––––––––

(11,939,085)

––––––––––––––––––––––––

Gramercy High

Yield Corporate

Emerging Market

Debt Fund

Year ended

31 December 2015

US$

8,062,37012,456

(5,205,732)

(9,331,084)––––––––––––

(6,461,990)

––––––––––––

(753,238)(25,220)

(136,461)(47,689)(12,572)(34,688)

(122,162)––––––––––––

(1,132,030)

219,902––––––––––––

(912,128)

––––––––––––

(7,374,118)

-––––––––––––

(7,374,118)

(8,906)––––––––––––

(7,383,024)

––––––––––––––––––––––––

Gramercy Total

Return Allocator

Emerging Market

Debt Fund

Year ended

31 December 2015

US$

15,294,89216,231

(17,403,725)

(16,814,124)––––––––––––

(18,906,726)

––––––––––––

(1,228,340)(25,220)

(143,512)(104,722)

(18,242)(44,732)

(195,658)––––––––––––

(1,760,426)

216,333 ––––––––––––

(1,544,093)

––––––––––––

(20,450,819)

-––––––––––––

(20,450,819)

(43,598)––––––––––––

(20,494,417)

––––––––––––––––––––––––

Company Total

Year ended

31 December 2015

US$

35,644,65931,919

(37,683,726)

(39,922,690)––––––––––––

(41,929,838)

––––––––––––

(3,043,834)(100,883)(528,571)(251,979)

(50,442)(287,940)(610,594)

––––––––––––(4,874,243)

1,106,598––––––––––––

(3,767,645)

––––––––––––

(45,697,483)

(883,526)––––––––––––

(46,581,009)

(51,474)––––––––––––

(46,632,483)

––––––––––––––––––––––––


Statement of Comprehensive Incomefor the financial year ended 31 December 2015

16

Notes

Investment income

Interest Income 1Realised loss on financial assets at fair value through profit or loss 1Unrealised loss on financial assets at fair value through profit or loss 1

Total investment loss

Expenses

Management fees 2,8Audit fees 2Administration fees 2Custodian fees 2Directors’ fees 2Professional feesOther expenses

Total expenses before expense waiver

Expense waiver 2,8

Total expenses after expense waiver

Net loss from operations before

finance costs

Finance costs

Distributions

Loss for the financial year before taxation

Taxation

Capital gains taxWithholding tax 5

Decrease in net assets attributable

to holders of redeemable participating

shares resulting from operations

*Gramercy Local Emerging Market Debt Fund launched on 17 September 2014.**Gramercy Total Return Allocator Emerging Market Debt Fund launched on 7 February 2014.

There are no recognised gains or losses in the financial year other than those dealt with in the Statement of Comprehensive Income and accordingly nostatement of total recognised gains and losses has been presented.

All results are from continuing operations.


*Gramercy Local

Emerging Market

Debt Fund

Year ended

31 December 2014

US$

394,087

(104,151)

(2,904,139)––––––––––––

(2,614,203)

––––––––––––

-(25,188)(17,333)

(1,633)(4,356)(6,865)

(22,904)––––––––––––

(78,279)

78,279––––––––––––

-

––––––––––––(2,614,203)

-––––––––––––

(2,614,203)

-(3,803)

––––––––––––

(2,618,006)

––––––––––––––––––––––––

Gramercy

Corporate

Emerging Market

Debt Fund

Year ended

31 December 2014

US$

5,188,283

(4,337,747)

(8,341,887)––––––––––––

(7,491,351)

––––––––––––

(606,725)(64,465)

(103,308)(33,173)(20,923)(36,134)(53,576)

––––––––––––(918,304)

171,758––––––––––––

(746,546)

––––––––––––(8,237,897)

(7,355)––––––––––––

(8,245,252)

-(5,866)

––––––––––––

(8,251,118)

––––––––––––––––––––––––

Gramercy High

Yield Corporate

Emerging Market

Debt Fund

Year ended

31 December 2014

US$

6,642,068

(2,501,968)

(9,798,822)––––––––––––

(5,658,722)

––––––––––––

(678,521)(65,423)(95,669)(38,839)(29,748)(42,935)(54,666)

––––––––––––(1,005,801)

185,101––––––––––––

(820,700)

––––––––––––(6,479,422)

-––––––––––––

(6,479,422)

-(7,888)

––––––––––––

(6,487,310)

––––––––––––––––––––––––

**Gramercy Total

Return Allocator

Emerging Market

Debt Fund

Year ended

31 December 2014

US$

10,153,481

(3,866,449)

(16,566,396)––––––––––––

(10,279,364)

––––––––––––

(839,414)(32,522)

(105,411)(32,340)(25,287)(58,960)(38,388)

––––––––––––(1,132,322)

97,843––––––––––––

(1,034,479)

––––––––––––(11,313,843)

-––––––––––––

(11,313,843)

(14,827)(10,232)

––––––––––––

(11,338,902)

––––––––––––––––––––––––

Company Total

Year ended

31 December 2014

US$

22,377,919

(10,810,315)

(37,611,244)––––––––––––

(26,043,640)

––––––––––––

(2,124,660)(187,598)(321,721)(105,985)

(80,314)(144,894)(169,534)

––––––––––––(3,134,706)

532,981––––––––––––

(2,601,725)

––––––––––––(28,645,365)

(7,355)––––––––––––

(28,652,720)

(14,827)(27,789)

––––––––––––

(28,695,336)

––––––––––––––––––––––––


Statement of Comprehensive Incomefor the financial year ended 31 December 2014

17

Notes

Assets

Current AssetsCash and cash equivalents 1Cash held with brokers for open futures contracts 1

Financial assets at fair value through profit or loss:- Investments 1- Unrealised gain on open futures contracts 1- Unrealised gain on forwards contracts 1

Debtors

Receivable for fund shares soldInterest and dividends receivableExpense waiverOther assets

Total Assets

Liabilities

Current LiabilitiesFinancial liabilities at fair value through profit or loss:- Unrealised loss on open futures contracts 1- Unrealised loss on forwards contracts 1

Creditors, amounts falling due within

one year

Payable for fund shares redeemedManagement fees payable 2,8Audit fees payable 2Administration fees payable 2Custodian fees payable 2Directors’ fees payable 2Other payables

Total Liabilities excluding net assets

attributable to holders of redeemable

participating shares

Net assets attributable to holders of

redeemable participating shares


On behalf of the Board of Directors

Director Director

Date: 11 April 2016

Gramercy Local

Emerging Market

Debt Fund

Year ended

31 December 2015

US$

1,428,839

-

37,562,776--

-871,240100,037

-––––––––––––

39,962,892

––––––––––––

--

--

(20,871)(20,333)

(3,611)(5,472)

(19,294)––––––––––––

(69,581)

––––––––––––

39,893,311

––––––––––––––––––––––––

Gramercy

Corporate

Emerging Market

Debt Fund

Year ended

31 December 2015

US$

1,972,351

212,628

65,733,7884,4061,187

25,6611,334,528

-19,763

––––––––––––69,304,312

––––––––––––

(38,312)(97,194)

(12,655)(13,456)(21,810)(20,333)

(7,027)(8,044)

(39,726)––––––––––––

(258,557)

––––––––––––

69,045,755

––––––––––––––––––––––––

Gramercy High

Yield Corporate

Emerging Market

Debt Fund

Year ended

31 December 2015

US$

3,276,794

260,267

72,972,443--

-1,691,396

-19,063

––––––––––––78,219,963

––––––––––––

(28,820)(124,600)

(96,205)(135,647)

(21,808)(20,333)

(6,145)(16,961)(29,394)

––––––––––––

(479,913)

––––––––––––

77,740,050

––––––––––––––––––––––––

Gramercy Total

Return Allocator

Emerging Market

Debt Fund

Year ended

31 December 2015

US$

4,425,669

150,896

115,071,8781,406

-

-2,582,945

-13,536

––––––––––––122,246,330

––––––––––––

(18,109)-

-(191,864)

(21,009)(20,500)(11,330)(14,677)(24,273)

––––––––––––

(301,762)

––––––––––––

121,944,568

––––––––––––––––––––––––

Company Total

Year ended

31 December 2015

US$

11,103,653

623,791

291,340,8855,8121,187

25,6616,480,109

100,03752,362

––––––––––––309,733,497

––––––––––––

(85,241)(221,794)

(108,860)(340,967)

(85,498)(81,499)(28,113)(45,154)

(112,687)––––––––––––

(1,109,813)

––––––––––––

308,623,684

––––––––––––––––––––––––


Statement of Financial Positionas at 31 December 2015

18

Notes

Assets

Current assetsCash and cash equivalents 1Cash held with brokers for open futures contracts 1

Financial assets at fair value through profit or loss:- Investments 1- Unrealised gain on open futures contracts 1- Unrealised gain on forwards contracts 1

Debtors

Receivable for fund shares soldReceivable for investments soldInterest receivableOther assetsExpense waiver

Total Assets

Liabilities

Current liabilitiesFinancial liabilities at fair value through profit or loss:- Unrealised loss on open futures contracts 1- Unrealised loss on forwards contracts 1

Creditors, amounts falling due with one year

Payable for fund shares redeemedPayable for investments purchasedManagement fees payable 2,8Audit fees payable 2Administration fees payable 2Custodian fees payable 2Directors’ fees payable 2Other payables

Total Liabilities

Net assets attributable to redeemable

participating shareholders



*Gramercy Local

Emerging Market

Debt Fund

Year ended

31 December 2014

US$

6,142,231

-

40,941,141--

-579,338988,776

-78,279

––––––––––––48,729,765

––––––––––––

--

-(3,521,183)

-(25,188)(17,333)

(1,473)(4,356)

(20,165)––––––––––––

(3,589,698)

––––––––––––

45,140,067

––––––––––––––––––––––––

Gramercy

Corporate

Emerging Market

Debt Fund

Year ended

31 December 2014

US$

6,845,338

475,170

111,007,635116,000225,522

1,902,50757,820

2,153,53023,927

-––––––––––––122,807,449

––––––––––––

(293,750)(25,030)

(5,261,285)(1,214,038)

(220,579)(28,934)

(129,416)(35,801)

(7,484)(35,212)

––––––––––––(7,251,529)

––––––––––––

115,555,920

––––––––––––––––––––––––

Gramercy High

Yield Corporate

Emerging Market

Debt Fund

Year ended

31 December 2014

US$

2,508,533

209,239

81,927,528-

1,379

464,72919,273

1,875,79925,202

-––––––––––––

87,031,682

––––––––––––

(75,328)(47,929)

(1,247,237)-

(121,536)(28,933)

(117,075)(42,281)(13,292)(31,944)

––––––––––––(1,725,555)

––––––––––––

85,306,127

––––––––––––––––––––––––

**Gramercy Total

Return Allocator

Emerging Market

Debt Fund

Year ended

31 December 2014

US$

8,496,570

297,129

158,671,734--

-86,729

3,896,78225,897

-––––––––––––171,474,841

––––––––––––

(60,969)-

--

(197,816)(28,134)

(105,411)(32,340)(10,558)(23,232)

––––––––––––(458,460)

––––––––––––

171,016,381

––––––––––––––––––––––––

Company Total

Year ended

31 December 2014

US$

23,992,672

981,538

392,548,038116,000226,901

2,367,236743,160

8,914,88775,02678,279

––––––––––––430,043,737

––––––––––––

(430,047)(72,959)

(6,508,522)(4,735,221)

(539,931)(111,189)(369,235)(111,895)

(35,690)(110,553)

––––––––––––(13,025,242)

––––––––––––

417,018,495

––––––––––––––––––––––––


Statement of Financial Positionas at 31 December 2014

19

Notes


redeemable participating shares at the

beginning of the year

Net decrease in net assets attributable

to holders of redeemable participating

shares resulting from operations

Movement due to issue and redemption

of redeemable participating shares:

Proceeds from issue of redeemable participating shares 4Payments on redemptions of redeemable participating shares 4

Net increase/(decrease) in net assets resulting from redeemable participating share transactions


redeemable participating shares at the

end of the year


Gramercy Local

Emerging Market

Debt Fund

Year ended

31 December 2015

US$

45,140,067

(6,815,957)

1,569,201

-––––––––––––

1,569,201––––––––––––

39,893,311

––––––––––––––––––––––––

Gramercy

Corporate

Emerging Market

Debt Fund

Year ended

31 December 2015

US$

115,555,920

(11,939,085)

69,260,530

(103,831,610)––––––––––––

(34,571,080)––––––––––––

69,045,755

––––––––––––––––––––––––

Gramercy High

Yield Corporate

Emerging Market

Debt Fund

Year ended

31 December 2015

US$

85,306,127

(7,383,024)

20,589,554

(20,772,607)––––––––––––

(183,053)––––––––––––

77,740,050

––––––––––––––––––––––––

Gramercy Total

Return Allocator

Emerging Market

Debt Fund

Year ended

31 December 2015

US$

171,016,381

(20,494,417)

80,272

(28,657,668)––––––––––––

(28,577,396)––––––––––––

121,944,568

––––––––––––––––––––––––

Company Total

Year ended

31 December 2015

US$

417,018,495

(46,632,483)

91,499,557

(153,261,885)––––––––––––

(61,762,328)––––––––––––

308,623,684

––––––––––––––––––––––––


Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Sharesfor the financial year ended 31 December 2015

20


Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Sharesfor the financial year ended 31 December 2014

Notes


participating shareholders at the

beginning of the period/year

Net decrease in net assets

attributable to redeemable participating

shareholders resulting from operations

Movement due to issue and redemption

of redeemable participating shares:

Proceeds from issue of redeemable participating shares 4Payments on redemptions of redeemable participating shares 4

Net increase in net assets resulting from redeemable participating share transactions


participating shareholders at the

end of the period/year



*Gramercy Local

Emerging Market

Debt Fund

Year ended

31 December 2014

US$

-

(2,618,006)

47,758,073

-––––––––––––

47,758,073––––––––––––

45,140,067

––––––––––––––––––––––––

Gramercy

Corporate

Emerging Market

Debt Fund

Year ended

31 December 2014

US$

39,126,863

(8,251,118)

96,926,386

(12,246,211)––––––––––––

84,680,175––––––––––––

115,555,920

––––––––––––––––––––––––

Gramercy High

Yield Corporate

Emerging Market

Debt Fund

Year ended

31 December 2014

US$

47,434,208

(6,487,310)

57,746,897

(13,387,668)––––––––––––

44,359,229––––––––––––

85,306,127

––––––––––––––––––––––––

**Gramercy Total

Return Allocator

Emerging Market

Debt Fund

Year ended

31 December 2014

US$

-

(11,338,902)

182,355,283

-––––––––––––

182,355,283––––––––––––

171,016,381

––––––––––––––––––––––––

Company Total

Year ended

31 December 2014

US$

86,561,071

(28,695,336)

384,786,639

(25,633,879)––––––––––––

359,152,760––––––––––––

417,018,495

––––––––––––––––––––––––

21

Cash flows from operating activities

Decrease in net assets attributable to holders of redeemable participating shares

Adjustments to reconcile net income to

net cash used in operating activities:

Decrease in financial assets at fair value through profit or lossDecrease/(increase) in cash held with brokers for open futures contractsDecrease in other receivables

(Decrease)/increase in financial liabilities at fair value through profit or lossDecrease in expenses payable

Net cash used in operating activities

Cash flows from financing activities

Proceeds from the issuance of redeemable participating sharesPayments on redemptions of redeemable participating shares

Net cash provided by/(used in)

financing activities

Net (decrease)/increase in cash and cash equivalentsCash and cash equivalents at the beginning of the year

Cash and cash equivalents at the end

of the year


Gramercy Local

Emerging Market

Debt Fund

Year ended

31 December 2015

US$

(6,815,957)

3,378,365

-675,116

-(3,520,117)

––––––––––––(6,282,593)

––––––––––––

1,569,201

-––––––––––––

1,569,201

––––––––––––

(4,713,392)

6,142,231––––––––––––

1,428,839

––––––––––––––––––––––––

Gramercy

Corporate

Emerging Market

Debt Fund

Year ended

31 December 2015

US$

(11,939,085)

45,609,776

262,5422,757,832

(183,274)(6,809,698)

––––––––––––29,698,093

––––––––––––

69,260,530

(103,831,610)––––––––––––

(34,571,080)

––––––––––––

(4,872,987)

6,845,338––––––––––––

1,972,351

––––––––––––––––––––––––

Gramercy High

Yield Corporate

Emerging Market

Debt Fund

Year ended

31 December 2015

US$

(7,383,024)

8,956,464

(51,028)674,544

30,163(1,275,805)

––––––––––––951,314

––––––––––––

20,589,554

(20,772,607)––––––––––––

(183,053)

––––––––––––

768,261

2,508,533––––––––––––

3,276,794

––––––––––––––––––––––––

Gramercy Total

Return Allocator

Emerging Market

Debt Fund

Year ended

31 December 2015

US$

(20,494,417)

43,598,450

146,2331,412,927

(42,860)(113,838)

––––––––––––24,506,495

––––––––––––

80,272

(28,657,668)––––––––––––

(28,577,396)

––––––––––––

(4,070,901)

8,496,570––––––––––––

4,425,669

––––––––––––––––––––––––

Company Total

Year ended

31 December 2015

US$

(46,632,483)

101,543,055

357,7475,520,419

(195,971)(11,719,458)

––––––––––––48,873,309

––––––––––––

91,499,557

(153,261,885)––––––––––––

(61,762,328)

––––––––––––

(12,889,019)

23,992,672––––––––––––

11,103,653

––––––––––––––––––––––––


Statement of Cash Flowsfor the financial year ended 31 December 2015

22

Cash flows from operating activities

Decrease in net assets attributable to holders of redeemable participating shares

Adjustments to reconcile net income to

net cash used in operating activities:

Increase in financial assets at fair value through profit or loss(Increase)/decrease in cash held with brokers for open futures contractsIncrease in other receivables

Increase/(decrease) in financial liabilities at fair value through profit or lossIncrease in expenses payable

Net cash used in operating activities

Cash flows from financing activities

Proceeds from the issuance of redeemable participating sharesPayments on redemptions of redeemable participating shares

Net cash provided by financing activities

Net increase in cash and cash equivalentsCash and cash equivalents at the beginning of the period/year

Cash and cash equivalents at the end

of the period/year



*Gramercy Local

Emerging Market

Debt Fund

Year ended

31 December 2014

US$

(2,618,006)

(40,941,141)

-(1,646,393)

-3,589,698

––––––––––––(41,615,842)

––––––––––––

47,758,073

-––––––––––––

47,758,073

––––––––––––6,142,231

-––––––––––––

6,142,231

––––––––––––––––––––––––

Gramercy

Corporate

Emerging Market

Debt Fund

Year ended

31 December 2014

US$

(8,251,118)

(73,610,406)

(199,218)(3,301,978)

153,7806,854,035

––––––––––––(78,354,905)

––––––––––––

96,926,386

(12,246,211)––––––––––––

84,680,175

––––––––––––6,325,270

520,068––––––––––––

6,845,338

––––––––––––––––––––––––

Gramercy High

Yield Corporate

Emerging Market

Debt Fund

Year ended

31 December 2014

US$

(6,487,310)

(35,835,497)

41,601(1,248,643)

(17,931)1,465,306

––––––––––––(42,082,474)

––––––––––––

57,746,897

(13,387,668)––––––––––––

44,359,229

––––––––––––2,276,755

231,778––––––––––––

2,508,533

––––––––––––––––––––––––

**Gramercy Total

Return Allocator

Emerging Market

Debt Fund

Year ended

31 December 2014

US$

(11,338,902)

(158,671,734)

(297,129)(4,009,408)

60,969397,491

––––––––––––(173,858,713)

––––––––––––

182,355,283

-––––––––––––182,355,283

––––––––––––8,496,570

-––––––––––––

8,496,570

––––––––––––––––––––––––

Company Total

Year ended

31 December 2014

US$

(28,695,336)

(309,058,778)

(454,746)(10,206,422)

196,81812,306,530

––––––––––––(335,911,934)

––––––––––––

384,786,639

(25,633,879)––––––––––––359,152,760

––––––––––––23,240,826

751,846––––––––––––

23,992,672

––––––––––––––––––––––––


Statement of Cash Flowsor the financial year ended 31 December 2014

23

1. Significant accounting policies

a) Basis of preparation

The financial statements are prepared under the historical cost convention as modified by the revaluation of financialassets and financial liabilities held at fair value through profit or loss. These policies have been consistently applied toall years presented, unless otherwise stated.

The financial statements are presented in US Dollars (US$) and are prepared on a going concern basis.

b) Statement of compliance

The financial statements for the financial year have been prepared in accordance with International Financial ReportingStandards (“IFRS”), the interpretations adopted by the International Accounting Standards Board (“IASB”) as adoptedby the European Union (“EU”) 2014 and the European Communities (Undertakings for Collective Investment inTransferable Securities) Regulations, 2011 (as amended) and the Central Bank (Supervision and Enforcement) Act 2013(Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2015, (the “Central BankUCITS Regulations”), (collectively the “UCITS Regulations”) and in accordance with Irish statute comprising theCompanies Act, 2014.

The preparation of financial statements in conformity with IFRS requires the Company to make certain accountingestimates and assumptions. Actual results may differ from those estimates and assumptions. The Directors believe anyestimates used in the preparing of the financial statements are reasonable and prudent.

c) New standards, amendments and interpretations issued but not effective for the financial year beginning 1

January 2015 and not early adopted

IFRS 9, Financial instruments, effective for annual periods beginning on or after 1 January 2018, specifies how an entityshould classify and measure financial assets and liabilities, including some hybrid contracts. The standard improves andsimplifies the approach for classification and measurement of financial assets compared with the requirements of IAS39. Most of the requirements in IAS 39 for classification and measurement of financial liabilities were carried forwardunchanged. The standard applies a consistent approach to classifying financial assets and replaces the numerouscategories of financial assets in IAS 39, each of which had its own classification criteria. The standard is not expectedto have a significant impact on the Company’s financial position or performance, as it is expected that the Company willcontinue to classify its financial assets and financial liabilities (both long and short) as being at fair value through profitor loss.

IAS 1 “Presentation of Financial Statements” amendment was issued in December 2014 and will become effective forperiods beginning on or after 1 January 2016. The amendment introduces five narrow-focus improvements to thedisclosure requirements that relate to materiality, order of the notes, subtotals, accounting policies and disaggregation.The amendment is not expected to have any impact on the Company’s financial position or performance but may resultin a variation of disclosures in its financial statements.

There are no other standards, interpretations or amendments to existing standards that are not yet effective that wouldbe expected to have a significant impact on the Company.

d) Critical accounting estimates and judgements

The preparation of financial statements in conformity with IFRS requires the use of certain critical accounting estimatesand judgements. It also requires the Board of Directors, based on the advice of the Investment Manager, to exercise itsjudgement in the process of applying the Company’s accounting policies. Management also makes estimates andassumptions concerning the future.

The resulting accounting estimates will, by definition, seldom equal the related actual results. The areas involving ahigher degree of judgement or complexity, or areas where assumptions and estimates are significant to the financialstatements, are determining fair values of certain financial instruments, as discussed in section f) of Note 1 to thefinancial statements and determining the functional currency of the Company and individual Funds as discussed insection e) of Note 1 to the financial statements.


Notes to the Financial Statements

24

1. Significant accounting policies (continued)

e) Functional and presentation currency and foreign currency translation

The Company’s financial statements are presented in United States Dollars (“US$”) which is the functional andpresentation currency of each Fund. The functional currency is the currency of the primary economic environment inwhich each Fund operates. The Directors believe that US$ most faithfully represents the economic effects of theunderlying transaction events and conditions.

Transactions in foreign currencies are translated at the foreign currency exchange rate ruling at the date of thetransaction. Monetary assets and liabilities denominated in foreign currencies are translated to US$ at the foreigncurrency closing exchange rate ruling at the Statement of Financial Position date. Foreign currency exchangedifferences arising on translation and realised gains and losses on disposals or settlements of monetary assets andliabilities are recognised in the Statement of Comprehensive Income.

Non-monetary assets and liabilities denominated in foreign currencies that are measured at fair value through profit orloss are translated to US$ at the foreign currency exchange rates ruling at the dates that the values were determined.

Foreign exchange gains/(losses) on financial assets at fair value through profit or loss are included in net gain/(loss) onfinancial assets at fair value through profit or loss in the Statement of Comprehensive Income. All other foreign currencyexchange differences relating to monetary items, including cash and cash equivalents and financial assets at fair valuethrough profit or loss, are included in the net gain/(loss) on foreign exchange in the Statement of ComprehensiveIncome.

f) Financial instruments

Financial assets and financial liabilities at fair value through profit or loss are recognised on the Company’s Statementof Financial Position when the Company becomes a party to the contractual provisions of the instrument. Other financialassets and financial liabilities are recognised at the date they are originated.

ClassificationThe Company classifies its financial assets and financial liabilities into the category of financial instruments at fair valuethrough profit or loss in accordance with IAS 39.

The category of financial instruments at fair value through profit or loss is subdivided into financial instruments held fortrading and financial derivative instruments.

(i) Financial assets and liabilities held for tradingA financial asset or financial liability is classified as held for trading if it is acquired or incurred principally for the purposeof selling or repurchasing in the near term or if on initial recognition is part of a portfolio of identifiable financialinvestments that are managed together and for which there is evidence of a recent actual pattern of short-term profittaking. Derivatives are also categorised as held for trading. The Company does not classify any derivatives as hedgesin a hedging relationship.

(ii) Financial assets and liabilities designated at fair value through profit or loss at inceptionFinancial assets and financial liabilities designated at fair value through profit or loss at inception are financialinstruments that are not classified as held for trading but are managed, and their performance is evaluated on a fairvalue basis in accordance with each Fund’s documented investment strategy. The Company’s policy requires theInvestment Manager and the Board of Directors to evaluate the information about these financial assets and liabilitieson a fair value basis together with other related financial information.

Regular purchases and sales of investments are recognised on the trade date, the date on which the Company commitsto purchase or sell the investment. Financial assets at fair value through profit or loss are initially recognised at fair value.Transaction costs are expensed as incurred in the Statement of Comprehensive Income. Financial assets arederecognised when the rights to receive cash flows from the investments have expired or the Company has transferredsubstantially all risks and rewards of ownership. Financial liabilities are derecognised when they are extinguished, thatis, when the obligation specified in the contract is discharged, cancelled or expires.

Subsequent to initial recognition, all financial assets and financial liabilities at fair value through profit or loss aremeasured at fair value. Gains and losses arising from changes in the fair value of the financial assets or financialliabilities at fair value through profit or loss category are presented in the Statement of Comprehensive Income within“unrealised gain/(loss) on financial assets at fair value through profit or loss” in the period in which they arise.


Notes to the Financial Statements (continued)

25


f) Financial instruments (continued)

Financial assets and financial liabilities at fair value through profit or loss

Fair value measurement

Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transactionbetween market participants at the measurement date. The fair value of financial assets and financial liabilities tradedin active markets (such as publicly traded derivatives and trading securities) are based on quoted market prices at theclose of trading on reporting date. The Fund utilises the last traded market price for both financial assets and financialliabilities where the last traded price falls within the bid-ask spread. In circumstances where the last traded price is notwithin the bid-ask spread, management will determine the point within the bid-ask spread that is most representative offair value.

(i) InvestmentsThe fair value of financial instruments that are listed on a recognised stock exchange or traded on any other regulatedmarket is valued at the last traded price as at the Statement of Financial Position date.

The fair value of financial instruments that are not traded in an active market is determined by the Directors, stockbrokersor other competent persons appointed by the Directors and approved for the purpose by the Custodian, using valuationtechniques. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderlytransaction between market participants at the measurement date. The Company uses a variety of methods and makeassumptions that are based on market conditions existing at each Statement of Financial Position date. Valuationtechniques that may be used include the use of comparable recent arm’s length transactions and other valuationtechniques commonly used by market participants.

The Investment Manager has been appointed and approved by the Directors on 8 July 2013 to be such competentprofessional person to value the Company’s investments in the circumstances outlined in the Company’s Prospectus.The Investment Manager has established the Gramercy Valuation Committee (the “Committee”) to value suchinvestments. At 31 December 2015, the Committee comprises five members, all of whom are employees of theInvestment Manager. However, the Investment Manager believes conflicts of interests are avoided because there areno portfolio managers on the Committee. The Committee has the ability to consult with a portfolio manager regarding aparticular investment and its stated valuation, but would be independently voting his or her own conscience regardingfinal valuation. Various factors contribute to the competent pricing of investments such as the size of the bond issuance,real-time trading information from traders and/or direct information from a pricing service vendor that they are reportinga stale price. If a member of the Committee concludes that an investment should be priced by a competent professionalperson an e-mail will be distributed to the members of the Committee requiring unanimous approval.

Gains and losses realised on the sale of all financial assets carried at fair value through profit or loss are recognised inthe Statement of Comprehensive Income. The movement in unrealised gains and losses on investments is alsorecognised in the Statement of Comprehensive Income.

(ii) Futures contractsInitial margin deposits are made upon entering into futures contracts and are generally made in cash or cashequivalents. The fair value of open futures contracts is based upon their quoted daily settlement prices. Changes in thevalue of open futures contracts are recognised as unrealised gains or losses on open futures contracts until thecontracts are terminated, at which time realised gains and losses are recognised. Unrealised gains or losses on openfutures contracts are shown in the Schedule of Investments of the Funds and, as appropriate, on the Statement ofFinancial Position as unrealised gain or loss on open futures contracts.

(iii) Forward Currency Exchange ContractsA forward currency exchange contract, which involves an obligation to purchase or sell a specific currency at a futuredate at a price set at the time of the contract, reduces a Fund’s exposure to changes in the value of the currency it willdeliver and increases its exposure to changes in the value of the currency it will receive for the duration of the contract.The effect on the value of a Fund is similar to selling securities denominated in one currency and purchasing securitiesdenominated in another currency. A contract to sell currency would limit any potential gain, which might be realised ifthe value of the hedged currency increases. A Fund may enter into these contracts to hedge against exchange risk, toincrease exposure to a currency or to shift exposure to currency fluctuations from one currency to another.



26


f) Financial instruments (continued)

Financial assets and financial liabilities at fair value through profit or loss (continued)

Fair value measurement (continued)

(iii) Forward Currency Exchange Contracts (continued)Suitable hedging transactions may not be available in all circumstances and there can be no assurance that a Fund willengage in such transactions at any given time or from time to time. Also, such transactions may not be successful andmay eliminate any chance for a Fund to benefit from favourable fluctuations in relevant non-U.S. currencies. A Fund mayuse one currency (or a basket of currencies) to hedge against adverse changes in the value of another currency (or abasket of currencies) when exchange rates between the two currencies are positively correlated. Forward foreignexchange transactions may be used to reduce the risk of adverse market changes in exchange rates or to increaseexposure to foreign currencies or to shift exposure to foreign currency fluctuations from one country to another.

The best evidence of fair value of a derivative at initial recognition is the transaction price. Subsequent changes in thefair value of any derivative instrument are recognised immediately in the Statement of Comprehensive Income.

(iv) Cash, cash equivalents and overdraftsCash and bank balances are stated at face value and includes US Dollar and foreign currency in hand.

(v) Amounts due to and from brokersThe Funds’ assets may be deposited by or on behalf of the Funds for collateral purposes with brokers for open futurescontracts held on the Funds. Such assets remain in the ownership of the Funds and are recorded as an asset on theStatement of Financial Position. Cash pledged by the Funds as collateral is recognised on the Statement of FinancialPosition as “Cash held with brokers for open futures contracts”. These amounts are recognised initially at fair value andsubsequently measured at amortised cost, less provision for impairment for amount due from brokers, if any.

g) Interest income and interest expense

Interest income and expense is recognised in the Statement of Comprehensive Income using the effective interest ratemethod. The effective interest rate is the rate that exactly discounts estimated future cash payments or receiptsthroughout the expected life of the financial instrument, or a shorter period where appropriate, to the net carrying amountof the financial asset or liability.

Bank interest is recognised on an accruals basis.

h) Dividend income

Dividend income is recognised when the right to receive the payment has been established, normally being theex–dividend date and are shown gross of withholding tax in the Statement of Comprehensive Income.

i) Expenses

All expenses, including management fees, administration fees and custodian fees are recognised in the Statement ofComprehensive Income on an accruals basis.

j) Redeemable Participating Shares

Redeemable Participating Shares are redeemable at the Shareholder’s option and are classified as financial liabilities.A Redeemable Participating Share can be put back to the Company at any time for cash equal to a proportionate shareof the relevant Fund’s Net Asset Value. A Redeemable Participating Share is carried at the redemption amount that ispayable at the Statement of Financial Position date if the Shareholder exercises the right to put the share back to theCompany.

Redeemable Participating Shares are issued and redeemed at the Shareholder’s option at prices based on the relevantFund’s Net Asset Value per Share at the time of issue or redemption. The relevant Fund’s Net Asset Value per Share iscalculated by dividing the Net Assets Attributable to the Holders of Redeemable Participating Shares with the totalnumber of outstanding Redeemable Participating Shares. Investment positions are valued in accordance with theprovisions of the Company’s prospectus, for the purpose of determining the Net Asset Value per Share for subscriptionsand redemptions.



27


k) Dividends

For the Distributing Classes of each Fund, it is expected that the Directors will declare and pay annual dividends on orbefore the last Business Day in May each year equal to all or substantially all of the Fund’s net income attributable tosuch Share Classes. Dividends may be paid from net income and/or realised gains net of realised and unrealised lossesattributable to the relevant Share Classes. The Directors have delegated to the Investment Manager the power todetermine if, and to what extent, dividends will be paid and if they will include realised gains net of realised andunrealised losses attributable to the relevant Share Classes. To the extent that the net income and net realised gainsattributable to the relevant Share Classes exceeds the amount declared payable, the excess return will be reflected inthe Net Asset Value of such Share Classes. Dividends will be automatically reinvested in the Fund unless theAdministrator is otherwise notified by the Shareholder upon subscription, in which case dividends will be paid by wiretransfer in the Class Currency of the relevant Share Class to the Shareholder’s account. It is not proposed to declaredividends in respect of the Accumulating Shares of each Fund and any net income and realised gains net of realisedand unrealised losses attributable to such Classes will be accumulated in the Net Asset Value per Share of that Class.

There was a dividend declared by Gramercy Corporate Emerging Market Debt Fund of US$883,526 during the financialyear ended 31 December 2015 (financial year ended 31 December 2014: US$7,355). There were no dividends declaredby Gramercy Local Emerging Market Debt Fund, Gramercy High Yield Corporate Emerging Market Debt Fund orGramercy Total Return Allocator Emerging Market Debt Fund during the financial year ended 31 December 2015 (31December 2014: Nil).

l) Transaction costs

Transaction costs are incremental costs that are directly attributable to the acquisition, issue or disposal of a financialasset or financial liability. An incremental cost is one that would not have been incurred if the entity had not acquired,issued or disposed of the financial instrument.

When a financial asset or financial liability is recognised initially, an entity shall measure it at its fair value through profitor loss plus transaction costs that are directly attributable to the acquisition or issue of the financial asset or financialliability.

Transaction costs on the purchase and sale of bonds and forwards are included in the purchase and sale price of theinvestment. They cannot be practically or reliably gathered as they are embedded in the cost of the investment andcannot be separately verified or disclosed. Transaction costs charged by the Custodian on the settlement of purchasesand sales of investments are included in operating expenses in the Statement of Comprehensive Income for each Fund.Identifiable transaction costs on the purchases and sales of investments are disclosed in Note 2.

Transaction costs on the purchase and sales of equities and futures are included in the realised and unrealisedgain/(loss) on financial assets lines of the Statement of Comprehensive Income.

m) Offsetting financial instruments

Financial assets and liabilities are offset and the net amount reported in the Statement of Financial Position when thereis a legally enforceable right to set off the recognised amounts and there is an intention to settle on a net basis, or realisethe asset and settle the liability simultaneously.

n) Anti-Dilution Levies

In calculating the subscription price the Directors may on any Dealing Day when there are net subscriptions adjust thesubscription price by adding an Anti-Dilution Levy of up to 2.00% of the subscription monies to cover dealing costs andto preserve the value of the underlying assets of the Funds. Additionally, in calculating the repurchase price theDirectors may on any Dealing Day when there are net repurchases, adjust the repurchase price by deducting an Anti-Dilution Levy of up to 2.00% of the repurchase monies to cover dealing costs and to preserve the value of the underlyingassets of the Fund. Any Anti-Dilution Levies will be retained by the relevant Fund. The purpose of the Anti-Dilution Leviesis to protect existing Shareholders from bearing the costs of subscriptions, repurchases or conversions. Anti-DilutionLevies, where they apply, are reflected as part of the Proceeds from issue of redeemable participating shares andpayments on redemptions of redeemable participating shares, lines of the Statement of Changes in Net AssetsAttributable to Holders of Redeemable Participating Shares.



28

2. Significant agreements and fees

Investment Manager and Distribution fees

Gramercy Funds Management LLC (the “Investment Manager”) will receive from the Company an investmentmanagement and distribution fee for managing the Funds, up to the maximum management fee as set out in the tablebelow.

Such fee shall accrue daily and be paid quarterly in arrears. The Investment Manager shall also be entitled to bereimbursed by the Company for all reasonable and vouched out-of-pocket expenses incurred by it for the benefit of theCompany in the performance of its duties managing the Company pursuant to the Investment Management andDistribution Agreement.

The Investment Manager shall discharge the fees charged by any sub-investment manager or sub-distributor appointedby the Investment Manager from time to time out of this investment management and distribution fee. Any out-of-pocketexpenses reasonably incurred by any such sub-investment manager or sub-distributor will be charged to and payableout of the assets of the relevant Fund.

For all Funds, the Investment Manager may, at its discretion, contribute from its own assets directly towards theexpenses attributable to the establishment and/or operation of the Company or any particular Fund and/or the marketing,distribution and/or sale of the Shares and may, from time to time at its sole discretion, waive any or all of its fees inrespect of any particular payment period in order to bring the Funds’ total expenses within the expense cap of 0.20%as set out in the table below. The Investment Manager may also, from time to time at its sole discretion, use part of itsinvestment management and distribution fee to remunerate certain financial intermediaries and may payreimbursements or rebates to certain institutional shareholders.

Investment Management and distribution fees paid to, and waived by, the Investment Manager for the years ended 31December 2015 and 31 December 2014 are detailed in Note 8 of the financial statements.

The Investment Management and Distribution fee rates for the years ended 31 December 2015 and 31 December 2014for the Funds are outlined below and on the following page.

Year ended 31 December 2015

Total Expense

Maximum Cap excluding

Investment Investment Investment

Management Management Management

and Distribution and Distribution and Distribution

Fee charged for Fee charged for Fee for the

Fund the financial year the financial year financial year


- Class I GBP£ Accumulating Share Class 0.95% - -


- Class I US$ Accumulating Share Class 0.95% 0.75% 0.20%- Class I US$ Distributing Share Class 0.95% 0.75% 0.20%- Class I GBP£ Distributing Hedged Share Class 0.95% 0.75% 0.20%- Class I SEK Accumulating Hedged Share Class 0.95% 0.90% 0.20%- Class I EUR€ Accumulating Share Class (launched 10 February 2015) 0.95% 0.75% 0.20%- Class (S) I US$ Accumulating Share Class 0.95% 0.90% 0.20%- Class R US$ Accumulating Share Class 1.40% 1.40% 0.20%- Class R SEK Accumulating Hedged Share Class 1.40% 1.40% 0.20%- Class R EUR€ Accumulating Hedged Share Class 1.40% 1.40% 0.20%- Class (W) I US$ Accumulating Share Class (launched 26 March 2015) - - 0.20%


- Class I EUR€ Accumulating Hedged Share Class 1.25% 0.95% 0.20%- Class I EUR€ Accumulating Share Class (launched 13 May 2015) 1.25% 0.95% 0.20%- Class I US$ Accumulating Share Class 1.25% 0.95% 0.20%


- Class I GBP£ Accumulating Share Class 1.35% 0.75% 0.20%- Class I US$ Accumulating Share Class 1.35% 0.95% 0.20%



29

2. Significant agreements and fees (continued)

Investment Manager and Distribution fees (continued)

Year ended 31 December 2014

Total Expense

Maximum Cap excluding

Investment Investment Investment

Management Management Management

and Distribution and Distribution and Distribution

Fee charged for Fee charged for Fee for the

Fund the financial year the financial year financial year


- Class I GBP£ Accumulating Share Class (launched 17 September 2014) 0.95% - -


- Class I US$ Accumulating Share Class 0.95% 0.75% 0.20%- Class I US$ Distributing Share Class (launched 30 January 2014) 0.95% 0.75% 0.20%- Class I GBP£ Distributing Hedged Share Class (launched 7 August 2014) 0.95% 0.75% 0.20%- Class I SEK Accumulating Hedged Share Class (launched 27 August 2014) 0.95% 0.90% 0.20%- Class (S) I US$ Accumulating Share Class (launched 28 August 2014) 0.95% 0.90% 0.20%- Class R US$ Accumulating Share Class (launched 26 August 2014) 1.40% 1.40% 0.20%- Class R SEK Accumulating Hedged Share Class (launched 25 August 2014) 1.40% 1.40% 0.20%- Class R EUR€ Accumulating Hedged Share Class (launched 24 August 2014) 1.40% 1.40% 0.20%


- Class I EUR€ Accumulating Hedged Share Class (launched 10 September 2014) 1.25% 0.95% 0.20%- Class I US$ Accumulating Share Class 1.25% 0.95% 0.20%


- Class I GBP£ Accumulating Share Class (launched 7 February 2014) 1.35% 0.75% 0.20%- Class I US$ Accumulating Share Class (launched 19 November 2014) 1.35% 0.95% 0.20%

Administration and Custodian fees

State Street Fund Services (Ireland) Limited (the “Administrator”) is entitled to receive administration and fundaccounting fees of 0.055% to 0.10% per annum based on the net average monthly assets for each Fund. All such feesshall accrue daily and be paid monthly in arrears and are subject to a monthly minimum charge of US $10,000 per monthper Fund. The fee will be 50% waived for the first six months of each Fund launch.

The Administrator shall also be entitled to receive registration fees and transaction and reporting charges at normalcommercial rates which shall accrue daily and be paid monthly in arrears.

The Administrator shall also be entitled to be reimbursed by the Company for all reasonable and vouched out-of-pocketexpenses incurred by it for the benefit of the Company in the performance of its duties under the AdministrationAgreement.

The Custodian shall be entitled to receive, out of the assets of each Fund, trustee and custodial fees of up to 0.02% perannum of the Net Asset Value of each Fund. All such fees shall accrue daily and be paid monthly in arrears.

The Custodian shall also be entitled to receive transaction charges and all sub custodian charges will be recovered bythe Custodian from the Company as they are incurred by the relevant sub custodians.

All such charges shall be at normal commercial rates. The Custodian is also entitled to reimbursement of all reasonableout-of-pocket expenses incurred for the benefit of the Company.

Administrator and Custodian fees of US$780,550 (31 December 2014: US$427,706) have been charged for the year ofwhich US$109,612 (31 December 2014: US$481,130) is payable as at 31 December 2015.



30




Directors’ fees

Directors’ fees of US$50,442 (31 December 2014: US$80,314) have been charged for the year of which US$45,154 (31December 2014: US$35,690) is payable as at 31 December 2015. All of these fees were emoluments in respect ofservices to the Company. Expense reimbursements amounted to US$ Nil.

As employees of the Investment Manager, Mr. Gunter Heiland, Mr. Milton Koenigsberger and Mr. Dennis Wilson are notentitled to receive any Directors’ fees.

Auditor’s remuneration

The tables below provide a breakdown of the total fee accrued to the statutory auditor during the years ended 31December 2015 and 31 December 2014.

Gramercy Gramercy High Gramercy Total

Gramercy Local Corporate Yield Corporate Return Allocator

Emerging Market Emerging Market Emerging Market Emerging Market

Debt Fund Debt Fund Debt Fund Debt Fund Company Total

Financial year Financial year Financial year Financial year Financial year

ended ended ended ended ended

31 December 2015 31 December 2015 31 December 2015 31 December 2015 31 December 2015

US$ US$ US$ US$ US$

Auditor’s fees:

Audit work – statutory audit(including expenses) 26,538 30,228 30,228 29,793 116,787Non audit work – taxation services 7,022 7,022 7,023 7,023 28,090

–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Total fee accrued to statutory auditor 33,560 37,250 37,251 36,816 144,877

–––––––––––– –––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––




Debt Fund Debt Fund Debt Fund Debt Fund Company Total

Year ended Year ended Year ended Year ended Year ended

31 December 2014 31 December 2014 31 December 2014 31 December 2014 31 December 2014

US$ US$ US$ US$ US$

Auditor’s fees:

Audit work – statutory audit 27,350 30,645 30,645 30,645 119,285Non audit work – taxation services 6,590 6,590 6,590 6,590 26,360

–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Total fee accrued to statutory auditor 33,940 37,235 37,235 37,235 145,645

–––––––––––– –––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––

All auditor’s fees in this note shown are exclusive of 23% VAT. Audit fees in the Statement of Comprehensive Incomeare shown inclusive of 23% VAT. The audit fee includes expenses of €1,600 (31 December 2014: €1,200)

Debtors and creditors

All debtors and creditors amounts fall due within one year.

Trade and other creditors are payable at various dates in accordance with suppliers' usual and customary credit terms.

31


Transaction costs

During the years ended 31 December 2015 and 31 December 2014, the Funds incurred transaction costs on thepurchase and sale of investments as follows:

Fund Financial year Financial year

ended ended

31 December 2015 31 December 2014

Gramercy Local Emerging Market Debt Fund US$ 3,325 US$ 2,140Gramercy Corporate Emerging Market Debt Fund US$ 20,763 US$ 9,865Gramercy High Yield Corporate Emerging Market Debt Fund US$ 11,345 US$ 11,560Gramercy Total Return Allocator Emerging Market Debt Fund US$ 17,373 US$ 13,880

3. Cash and cash equivalents

Cash and cash equivalents are held with State Street Bank and Trust Company.

Cash held with broker for open futures contracts is held with Citigroup Global Markets Inc.

4. Number of shares in issue and Net Assets Attributable to Redeemable Participating Shareholders

Authorised

The authorised share capital of the Company is 500 billion shares of no par value.

Subscriber shares

During the year ended 31 December 2013, 300,002 Subscriber Shares of €1 each were issued. As at 31 December2015, 300,002 Subscriber Shares of €1 each were in issue. These Subscriber Shares were issued for the purposes ofthe incorporation of the Company.

The Investment Manager holds 300,000 Subscriber Shares. One Subscriber Share each is legally held by AttleboroughLimited and Fand Limited and both Shares are beneficially owned by the Investment Manager. The Subscriber Sharesdo not form part of the Net Asset Value of the Company and are thus disclosed in the financial statements by way of thisnote only.

Redeemable Shares

The issued Redeemable Share Capital is at all times equal to the Net Assets Attributable to Holders of RedeemableParticipating Shares. Redeemable Participating Shares are redeemable at the Shareholders’ option and are classifiedas financial liabilities.

The Company’s capital is represented by the Redeemable Participating Shares outstanding. The Company has anexternally imposed capital requirement as it is required to maintain a minimum capital of €300,000, in accordance withthe requirements of the Central Bank.

Shareholders may request that shares of a Fund be redeemed on any “Dealing Day” by completing and submitting aredemption application to the Administrator to arrive no later than the redemption cut-off time in order to be effective ona Dealing Day. A Dealing Day is defined in the Prospectus as, each Business Day in the case of Gramercy CorporateEmerging Market Debt Fund and Gramercy Local Emerging Market Debt Fund and each Wednesday in the case ofGramercy High Yield Corporate Emerging Market Debt Fund and Gramercy Total Return Allocator Emerging MarketDebt Fund, unless otherwise determined by the Directors and notified in advance to Shareholders. Where a Wednesdayis not a Business Day, the next Business Day shall be a Dealing Day (provided that in any event there shall be at leastone Dealing Day per fortnight).

In calculating the subscription price, the Directors may, on any Dealing Day when there are net subscriptions, adjust thesubscription price by adding an Anti-Dilution Levy of up to 2.00% of the subscription monies to cover dealing costs andto preserve the value of the underlying assets of the Funds.



32

4. Number of shares in issue and Net Assets Attributable to Redeemable Participating Shareholders (continued)

Redeemable Shares (continued)

Additionally, in calculating the repurchase price, the Directors may, on any Dealing Day when there are net repurchases,adjust the repurchase price by deducting an Anti-Dilution Levy of up to 2.00% of the repurchase monies to cover dealingcosts and to preserve the value of the underlying assets of the Funds. Any Anti-Dilution Levies will be retained by therelevant Fund. The purpose of the Anti-Dilution Levies is to protect existing Shareholders from bearing the costs ofsubscriptions, repurchases or conversions. There were no anti-dilution levies applied during the year ended 31December 2015 (31 December 2014: Nil)

A summary of the Shareholder activity during the financial year ended ended 31 December 2015 is detailed in the tablesbelow:

Gramercy Local Emerging Market Debt Fund Class I GBP£

Accumulating

No. of Shares

Balance at start of year 305,187Issued 11,999Redeemed -Balance at end of year ––––––––––––

317,186––––––––––––––––––––––––

US$

Value of shares issued 1,458,930Value of shares redeemed -

Gramercy Corporate Emerging Market Debt Fund Class I GBP£ Class I SEK

Class I US$ Class I US$ Distributing Accumulating

Accumulating Distributing Hedged Hedged

No. of Shares No. of Shares No. of Shares No. of Shares

Balance at start of year 493,864 27,831 46,306 1,036,333Issued 156,553 27,255 69,748 151,555Redeemed (173,993) (46,593) (62,647) (1,157,385)

–––––––––––– –––––––––––– –––––––––––– ––––––––––––Balance at end of year 476,424 8,493 53,407 30,503

–––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– ––––––––––––

US$ US$ US$ US$

Value of shares issued 14,526,598 2,533,094 9,721,726 1,624,238 Value of shares redeemed (14,526,607) (4,165,262) (8,253,025) (11,816,594)

Class R SEK

*Class I EUR€ Class (S) I US$ Class R US$ Accumulating

Accumulating Accumulating Accumulating Hedged


Balance at start of year - 80,784 134,348 1,649,821Issued 32,167 16,054 33,000 717,132Redeemed (28,942) (67,446) (128,433) (2,338,585)

–––––––––––– –––––––––––– –––––––––––– ––––––––––––Balance at end of year 3,225 29,392 38,915 28,368

–––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– ––––––––––––

US$ US$ US$ US$

Value of shares issued 3,650,840 1,454,343 3,035,556 7,747,456 Value of shares redeemed (3,264,644) (5,875,424) (11,332,389) (24,056,380)

*Class launched 10 February 2015.



33



Gramercy Corporate Emerging Market Debt Fund (continued)

Class R EUR€

Accumulating *Class (W) I US$

Hedged Accumulating

No. of Shares No. of Shares

Balance at start of year 20,405 -Issued 10,744 207,763Redeemed (4,833) (140,584)

–––––––––––– ––––––––––––Balance at end of year 26,316 67,179

–––––––––––– –––––––––––––––––––––––– ––––––––––––

US$ US$

Value of shares issued 1,098,348 21,117,487 Value of shares redeemed (483,982) (13,560,528)

*Class launched 26 March 2015.

Gramercy High Yield Corporate Emerging Market Debt Fund Class I EUR€

Class I US$ Accumulating *Class I EUR€

Accumulating Hedged Accumulating

No. of Shares No. of Shares No. of Shares

Balance at start of year 759,173 91,783 -Issued 156,698 38,956 11,709Redeemed (212,448) - -

–––––––––––– –––––––––––– ––––––––––––Balance at end of year 703,423 130,739 11,709

–––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– ––––––––––––

US$ US$ US$

Value of shares issued 12,955,531 3,717,547 1,311,049 Value of shares redeemed (18,047,789) - -

*Class launched 13 May 2015.

Gramercy Total Return Allocator Emerging Market Debt Fund Class I GBP£ *Class I US$

Accumulating Accumulating


Balance at start of year 889,289 334,000Issued 207 519Redeemed - (334,519)

–––––––––––– ––––––––––––Balance at end of year 889,496 -

–––––––––––– –––––––––––––––––––––––– ––––––––––––US$ US$

Value of shares issued 29,785 46,374 Value of shares redeemed - (26,726,793)

*Class terminated on 7 October 2015.



34



A summary of the Shareholder activity during the year ended 31 December 2014 is detailed in the tables below and onthe following page:

Gramercy Local Emerging Market Debt Fund *Class I GBP£

Accumulating

No. of Shares

Balance at start of year -Issued 305,187Redeemed -

––––––––––––Balance at end of year 305,187

––––––––––––––––––––––––

US$

Value of shares issued 47,376,167Value of shares redeemed -

*Class launched on 17 September 2014

Gramercy Corporate Emerging Market Debt Fund **Class I GBP£ ***Class I SEK

Class I US$ *Class I US$ Distributing Accumulating



Balance at start of year 381,566 - - -Issued 160,565 27,831 46,306 1,310,957Redeemed (48,267) - - (274,624)

–––––––––––– –––––––––––– –––––––––––– ––––––––––––Balance at end of year 493,864 27,831 46,306 1,036,333

–––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– ––––––––––––

US$ US$ US$ US$

Value of shares issued 16,655,680 2,664,273 7,479,515 18,134,309Value of shares redeemed (4,543,875) - - (3,448,364)

*Class launched 29 January 2014.**Class launched 7 August 2014***Class launched 27 August 2014

***Class R SEK ****Class R EUR€

*Class (S) I US$ **Class R US$ Accumulating Accumulating

Accumulating Accumulating Hedged Hedged


Balance at start of period - - - -Issued 84,328 138,648 1,883,285 21,111Redeemed (3,544) (4,300) (233,464) (706)

–––––––––––– –––––––––––– –––––––––––– ––––––––––––Balance at end of period 80,784 134,348 1,649,821 20,405

–––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– ––––––––––––

US$ US$ US$ US$

Value of shares issued 8,252,479 13,709,556 26,102,082 2,604,055Value of shares redeemed (321,360) (396,940) (2,895,133) (85,090)

*Class launched 28 August 2014**Class launched 26 August 2014***Class launched 25 August 2014****Class launched 24 October 2014



35



Gramercy High Yield Corporate Emerging Market Debt Fund *Class I EUR€

Class I US$ Accumulating

Accumulating Hedged


Balance at start of period 459,679 -Issued 425,972 91,783Redeemed (126,478) -

–––––––––––– ––––––––––––Balance at end of period 759,173 91,783

–––––––––––– –––––––––––––––––––––––– ––––––––––––

US$ US$

Value of shares issued 43,688,506 11,550,554Value of shares redeemed (12,515,267) -

*Class launched 10 September 2014

Gramercy Total Return Allocator Emerging Market Debt Fund *Class I GBP£ **Class I US$

Accumulating Accumulating


Balance at start of period - -Issued 889,289 334,000Redeemed -

–––––––––––– ––––––––––––Balance at end of period 889,289 334,000

–––––––––––– –––––––––––––––––––––––– ––––––––––––

US$ US$

Value of shares issued 146,976,561 33,400,000Value of shares redeemed - -

*Class launched 7 February 2014**Class launched 19 November 2014

Share Rights

Each of the Shares entitles the holder to attend and vote at meetings of the Company and of the relevant Fundrepresented by those Shares. No class of Shares confers on the holder thereof any preferential or pre-emptive rights orany rights to participate in the profits and dividends of any other class of Shares or any voting rights in relation to mattersrelating solely to any other class of Shares. Subscriber Shares entitle the Shareholders holding them to attend and voteat all meetings of the Company but do not entitle the holders to participate in the dividends or net assets of any Fund orof the Company.

Any resolution to alter the class rights of the Shares requires the approval of three quarters of the holders of the Sharesrepresented or present and voting at a general meeting duly convened in accordance with the Articles of Association.

5. Taxation

Under current law and practice the Company qualifies as an investment undertaking as defined in Section 739B of theTaxes Consolidation Act, 1997, as amended. On that basis, it is not chargeable to Irish tax on its income or gains.

However, Irish tax may arise on the happening of a “chargeable event”. A chargeable event includes any distributionpayments to shareholders, any encashment, redemption, cancellation or transfer of shares and the holding of shares atthe end of each eight year period beginning with the acquisition of such shares.



36

5. Taxation (continued)

No Irish tax will arise on the Funds in respect of chargeable events in respect of:

(a) a Shareholder who is neither Irish resident nor ordinarily resident in Ireland for tax purposes, at the time of thechargeable event, provided appropriate valid declarations in accordance with the provisions of the TaxesConsolidation Act, 1997, as amended, are held by the Funds or the Funds have been authorised by the IrishRevenue to make gross payments in the absence of appropriate declarations; and

(b) certain exempted Irish tax resident shareholders who have provided the Funds with the necessary signedstatutory declarations.

Dividends, interest and capital gains (if any) received on investments made by the Funds may be subject to taxesimposed by the country from which the investment income/gains are received and such taxes may not be recoverableby the Funds or their shareholders.

6. Efficient Portfolio Management

The Funds may employ techniques and instruments relating to transferable securities and/or other financial instrumentsfor efficient portfolio management purposes. To the extent that the Company uses techniques for efficient portfoliomanagement, the Directors shall comply with the conditions and limits laid down from time to time by the Central Bankunder the UCITS Regulations and as set out in the Company’s Prospectus. The term “efficient portfolio management”refers to transactions that are entered into with the aim of reducing risk, reducing cost or generating additional capitalfor the relevant Fund with an appropriate level of risk, taking into account the risk profile of the Funds as described inthe Prospectus, the relevant Supplement and the risk diversification rules set out in the “UCITS Regulations”.

No repurchase agreements or stock lending agreements were in place for the Funds during the financial year ended 31December 2015, or during the comparative period.

7. Fair value hierarchy

IFRS 13 “Fair Value Measurement” requires disclosures surrounding the level in the fair value hierarchy in which fairvalue measurements are categorised for financial instruments measured in the Statement of Financial Position.

IFRS 13 requires the Company to classify fair value measurements using a fair value hierarchy that reflects thesignificance of the inputs used in making the measurements. The fair value hierarchy has the following levels:

• Level 1 - Quoted market price in an active market for an identical instrument that the entity can access at themeasurement date.

• Level 2 - Valuation techniques based on observable inputs. This category includes instruments valued using:quoted market prices in active markets for similar instruments; quoted prices for similar instruments in marketsthat are considered less than active; or other valuation techniques where all significant inputs are directly orindirectly observable from market data.

• Level 3 - Valuation techniques using significant unobservable inputs. This category includes all instrumentswhere the valuation technique includes inputs not based on observable data and the unobservable inputs couldhave a significant impact on the instrument’s valuation. This category includes instruments that are valued basedon quoted prices for similar instruments where significant unobservable adjustments or assumptions are requiredto reflect differences between the instruments.

The level in the fair value hierarchy within which the fair value measurement is categorised in its entirety is determinedon the basis of the lowest level input that is significant to the fair value measurement in its entirety. For this purpose, thesignificance of an input is assessed against the fair value measurement.

If a fair value measurement uses observable inputs that require significant adjustment based on unobservable inputs,that measurement is a Level 3 measurement. Assessing the significance of a particular input to the fair valuemeasurement in its entirety requires judgement, considering factors specific to the asset or liability.

The determination of what constitutes “observable” requires significant judgement by the Company. The Companyconsiders observable data to be that market data that is readily available, regularly distributed or updated, reliable andverifiable, not proprietary and provided by independent sources that are actively involved in the relevant market.



37

7. Fair value hierarchy (continued)

Certain single broker quotes priced assets, are classified as Level 2 holdings because the inputs into the price suppliedby the brokers, are observable, for example, rate yield, industry classification and credit rating. The Investment Managerreviews the prices independently received as single broker quotes and ensures that they are in line with expectations.

Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently and are made upof fixed income securities. Level 3 securities are securities that may be priced by a single pricing vendor or may haveprolonged stale prices or may have no valid market information (indications or comparable security types) available. Asat 31 December 2015, the Funds hold three level 3 loan Notes (New World Credit Facility 07/10/16) and nine level 3 fixedincome securities (Banro Corp 144A, Banro Corp Reg S and New World Resources NV 4.00% 07/10/2020.

The tables below and on the following page analyse within the fair value hierarchy the Company’s financial instrumentsmeasured at fair value at 31 December 2015:

Gramercy Local Emerging Market Debt Fund Total

Level 1 Level 2 Level 3 Fair Value

US$ US$ US$ US$

Financial assets at fair value through profit or loss:

- Investments- Fixed Income - 37,562,776 - 37,562,776

–––––––––––– –––––––––––– –––––––––––– ––––––––––––Total financial assets - 37,562,776 - 37,562,776

–––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– ––––––––––––

Gramercy Corporate Emerging Market Debt Fund Total


US$ US$ US$ US$


- Investments- Equities 16,310 - - 16,310- Fixed Income - 62,195,178 3,444,966 65,640,144- Loan Notes - - 77,334 77,334

- Unrealised gain on open futures contracts 4,406 - - 4,406- Unrealised gain on forwards contracts - 1,187 - 1,187

–––––––––––– –––––––––––– –––––––––––– ––––––––––––Total financial assets 20,716 62,196,365 3,522,300 65,739,381

–––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– ––––––––––––

Financial liabilities at fair value through profit or loss:

- Unrealised loss on forwards contracts - (97,194) - (97,194)- Unrealised loss on open futures contracts (38,312) - - (38,312)

–––––––––––– –––––––––––– –––––––––––– ––––––––––––Total financial liabilities (38,312) (97,194) - (135,506)

–––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– ––––––––––––



38


Gramercy High Yield Corporate Emerging Market Debt Fund Total


US$ US$ US$ US$




–––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– ––––––––––––


- Unrealised loss on open futures contracts (28,820) - - (28,820)- Unrealised loss on forwards contracts - (124,600) - (124,600)


–––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– ––––––––––––


Total


US$ US$ US$ US$



- Unrealised gain on open futures contracts 1,406 - - 1,406–––––––––––– –––––––––––– –––––––––––– ––––––––––––

Total financial assets 83,326 108,908,328 6,081,630 115,073,284

–––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– ––––––––––––


- Unrealised loss on open futures contracts (18,109) - - (18,109)–––––––––––– –––––––––––– –––––––––––– ––––––––––––

Total financial liabilities (18,109) - - (18,109)

–––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– ––––––––––––

The tables below and on the following page analyse within the fair value hierarchy the Company’s financial instrumentsmeasured at fair value at 31 December 2014:


Total


US$ US$ US$ US$


- Investments- Fixed Income - 40,941,141 - 40,941,141

–––––––––––– –––––––––––– –––––––––––– ––––––––––––Total financial assets - 40,941,141 - 40,941,141

–––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– ––––––––––––



39



Total


US$ US$ US$ US$


- Investments- Equities 105,617 - - 105,617- Fixed Income - 109,754,360 1,050,000 110,804,360- Loan Notes - 97,658 - 97,658

- Unrealised gain on futures contracts 116,000 - - 116,000- Unrealised gain on forwards contracts - 225,522 - 225,522


–––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– ––––––––––––




–––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– ––––––––––––


Total


US$ US$ US$ US$



- Unrealised gain on forwards contracts - 1,379 - 1,379–––––––––––– –––––––––––– –––––––––––– ––––––––––––

Total financial assets 407,104 79,122,903 2,398,900 81,928,907

–––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– ––––––––––––




–––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– ––––––––––––



40



Total


US$ US$ US$ US$




–––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– ––––––––––––


- Unrealised loss on open futures contracts (60,969) - - (60,969)–––––––––––– –––––––––––– –––––––––––– ––––––––––––

Total financial liabilities (60,969) - - (60,969)

–––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– ––––––––––––

For each class of assets and liabilities not measured at fair value in the Statement of Financial Position but for which fairvalue is disclosed, IFRS 13 requires the Company to disclose the level within the fair value hierarchy in which the fairvalue measurement would be categorised and a description of the valuation technique and inputs used in the technique.

Cash and cash equivalents, and cash collateral held by brokers include deposits held with banks and other short-terminvestments in an active market and they are categorised as Level 1.

Interest receivable is the contractual amount for settlement of interest income due to the Company. Receivable forexpense waiver and receivable for pre-paid set up costs are the contractual amounts for settlement of expenses due tothe Company. Expenses payable represent the contractual amounts and obligations due by the Company for settlementof expenses. All receivable and payable balances are categorised as Level 2.

The puttable value of Redeemable Shares is calculated based on the net difference between total assets and all otherliabilities of each Fund in accordance with the Funds’ prospectus. These Shares are not traded on an active market. Ademand feature is attached to these Shares, as they are redeemable at the holders’ option and can be put back to theFunds at any dealing date for cash/assets equal to a proportionate share of the Funds’ net asset value attributable tothe Share Class.

The fair value is based on the amount payable on demand, discounted from the first date that the amount could berequired to be paid. The impact of discounting in this instance is not material. As such, Level 2 is deemed to be the mostappropriate categorisation for Net Assets Attributable to Holders of Redeemable Shares held in the Funds.

Transfers between levels are deemed to have occurred when the pricing source for a particular security has changedwhich triggers a change in level under IFRS 13. The following positions transfered from level 2 to level 3 during the year;New World Resources Credit Facility and New World Resources NV 4% 07/10/20, across the following funds; GramercyCorporate Emerging Market Debt Fund, Gramercy High Yield Corporate Emerging Market Debt Fund and GramercyTotal Return Allocator Emerging Market Debt Fund during the financial year ended 31 December 2015 (31 December2014: Gramercy High Yield Corporate Emerging Market Debt Fund).



41


Level 3 Reconciliation

The following table presents the movement in Level 3 instruments for Gramercy Corporate Emerging Market Debt Fund,Gramercy High Yield Corporate Emerging Market Debt Fund and Gramercy Total Return Allocator Emerging MarketDebt Fund for the year ended 31 December 2015.


Corporate Yield Corporate Return Allocator

Emerging Market Emerging Market Emerging Market

Debt Fund Debt Fund Debt Fund

Total Total Total

US$ US$ US$

Opening Balance 1,050,000 2,398,900 2,459,100Gains and losses recognised in profit and loss 307,877 265,627 533,741Purchases 2,082,605 - 2,654,991Transfers into/out of level 3 81,819 332,905 433,797

–––––––––––– –––––––––––– ––––––––––––Closing balance 3,522,301 2,997,432 6,081,629

–––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– ––––––––––––

The following table presents the movement in Level 3 instruments for Gramercy Corporate Emerging Market Debt Fund,Gramercy High Yield Corporate Emerging Market Debt Fund and Gramercy Total Return Allocator Emerging MarketDebt Fund for the year ended 31 December 2014.


Corporate Yield Corporate Return Allocator

Emerging Market Emerging Market Emerging Market

Debt Fund Debt Fund Debt Fund

Total Total Total

US$ US$ US$

Opening Balance 194,250 323,750 -Gains and losses recognised in profitand loss (183,222) (225,277) (404,918)Purchases 1,231,250 858,125 2,864,018Sales (156,750) (261,250) -Paydowns (35,528) (59,213) -Transfers into/out of level 3 - 1,762,765 -

–––––––––––– –––––––––––– ––––––––––––Closing balance 1,050,000 2,398,900 2,459,100

–––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– ––––––––––––

Based on the Funds’ level 3 positions as at 31 December 2015 and 31 December 2014, the corresponding exposure tothe Funds from a 5% price movement in these positions, would be as follows:

2015 Level 3 +-5% Price

Positions Movement

US$ US$

Gramercy Corporate Emerging Market Debt Fund 3,522,301 176,115Gramercy High Yield Corporate Emerging Market Debt Fund 2,997,432 149,872Gramercy Total Return Allocator Emerging Market Debt Fund 6,081,629 304,081



42


Level 3 Reconciliation (continued)

2014 Level 3 +-5% Price

Positions Movement

US$ US$

Gramercy Corporate Emerging Market Debt Fund 1,050,000 52,500Gramercy High Yield Corporate Emerging Market Debt Fund 2,398,900 119,945Gramercy Total Return Allocator Emerging Market Debt Fund 2,459,100 122,955

Fair values of financial assets and financial liabilities

There were two positions which were reflected as Level 3 in the fair value hierarchy, namely Banro Corp 10.000%01/03/17 (Reg S) held in Gramercy Corporate Emerging Market Debt Fund, Gramercy High Yield Corporate EmergingMarket Debt Fund and Gramercy Total Return Allocator Emerging Market Debt Fund at 31 December 2014 and BanroCorp 10.000% 01/03/17 (144 A) held in Gramercy High Yield Corporate Emerging Market Debt Fund and Gramercy TotalReturn Allocator Emerging Market Debt Fund at 31 December 2014. These positions continue to be classified as Level3 at 31 December 2015 in addition to two new positions which were transferred from Level 2 to Level 3, namely NewWorld Resources 4.00% 07/10/2020 and New World Credit Facility 07/17/2016 during the year ended 31 December2015. Details of these changes in the Level 3 category can be found in the Level 3 Reconciliation shown previously inthis note.

8. Related Party Transactions

Investment Manager and Distributor

The Investment Manager has been appointed investment manager and distributor of the Company. The InvestmentManager is organised as a limited liability company and is a subsidiary of Gramercy Financial Group LLC. TheInvestment Manager is an investment adviser registered with the U.S. Securities and Exchange Commission (the “SEC”)pursuant to the U.S. Investment Advisers Act of 1940, as amended.

The investment management fee will accrue daily and be payable quarterly in arrears.

There was no investment management fee or distribution fees for Gramercy Local Emerging Market Debt Fund for theyear ended 31 December 2015, and there was no fee payable as at 31 December 2015 (31 December 2014: US$Nil).The investment management fee and distribution fee for Gramercy Corporate Emerging Market Debt Fund for the yearended 31 December 2015 was US$1,062,256 (31 December 2014: US$606,725) of which US$13,456 was payable asat 31 December 2015 (31 December 2014: US$220,579). The investment management fee and distribution fee forGramercy High Yield Corporate Emerging Market Debt Fund for the year ended 31 December 2015 was US$753,238(31 December 2014: US$678,521) of which US$135,647 was payable as at 31 December 2015 (31 December 2014:US$121,536). The investment management fee and distribution fee for Gramercy Total Return Allocator EmergingMarket Debt Fund for the year ended 31 December 2015 was US$1,228,340 (31 December 2014: US$839,414) of whichUS$191,864 was payable as at 31 December 2015 (31 December 2014: US$197,816).

The Investment Manager has placed a ceiling on all fees, excluding management fees. Once fees go over and abovethe agreed limit, the fees will be waived and the Investment Manager will reimburse each Fund. Please refer to Note 2for expense caps applied to each Fund.

Expenses waived by the Investment Manager and reimbursed to Gramercy Local Emerging Market Debt Fund for theyear ended 31 December 2015 were US$184,649 (31 December 2014: US$78,279). Expenses waived by the InvestmentManager and reimbursed to Gramercy Corporate Emerging Market Debt Fund for the year ended 31 December 2015were US$485,714 (31 December 2014: US$171,758). Expenses waived by the Investment Manager and reimbursed toGramercy High Yield Corporate Emerging Market Debt Fund for the year ended 31 December 2015 were US$219,902(31 December 2014: US$185,101). Expenses waived by the Investment Manager and reimbursed to Gramercy TotalReturn Allocator Emerging Market Debt Fund for the year ended 31 December 2015 were US$216,333 (31 December2014: US$97,843).

Directors’ relationships

Mr. Gunter Heiland, Mr. Milton Koenigsberger and Mr. Dennis Wilson are employees of the Investment Manager and donot earn Directors’ fees. The remaining Directors earned Directors’ fees as outlined in Note 2.

Mr. Kevin Murphy is a partner at Arthur Cox, which acts as legal advisor to the Company. Arthur Cox was paid US$41,875(31 December 2014: US$32,643) in legal and company secretarial fees during the year ended 31 December 2015.



43

8. Related Party Transactions (continued)

Significant Shareholders

The following table details the number of Shareholders with significant holdings of at least 20 percent of each Fund andthe aggregate value and percentage of that holding at 31 December 2015.

Aggregate

Number of Shareholding

Significant as a%

Fund Shareholders of the Fund

Gramercy Local Emerging Market Debt Fund 3 100.00%Gramercy Corporate Emerging Market Debt Fund 1 58.04%Gramercy High Yield Corporate Emerging Market Debt Fund 1 62.92%Gramercy Total Return Allocator Emerging Market Debt Fund 1 88.72%

The following table details the number of Shareholders with significant holdings of at least 20 percent of each Fund andthe aggregate value and percentage of that holding at 31 December 2014.

Aggregate

Number of Shareholding

Significant as a%

Fund Shareholders of the Fund

Gramercy Local Emerging Market Debt Fund 3 100.00%Gramercy Corporate Emerging Market Debt Fund 1 39.77%Gramercy High Yield Corporate Emerging Market Debt Fund 1 82.57%Gramercy Total Return Allocator Emerging Market Debt Fund 1 72.36%

9. Financial Instruments and associated risks

In accordance with IFRS 7 Financial Instruments: Disclosure, this note details the way in which the Company managesrisks associated with the use of financial instruments.

The management of the financial instruments is fundamental to the management of the Company’s business. TheCompany’s risk management process is managed by the Investment Manager, in its capacity as investment managerand oversight of these functions is carried out by the Board of Directors.

The Funds’ investment portfolios comprise of debt instruments that they each intend to hold for an indefinite period oftime. The Funds also maintain positions in derivative financial instruments, for the purpose of efficient portfoliomanagement.

The Funds’ investing activities expose them to various types of risk that are associated with the financial instruments andmarkets in which it invests. The most important types of financial risks to which the Funds are exposed are market risk,liquidity risk and credit risk.

Asset selection, asset allocation and cash management is determined by the Investment Manager who manages thedistribution of the assets to achieve the investment objectives. The composition of the portfolios is monitored by theInvestment Manager on an intraday basis.

The nature and extent of the financial instruments outstanding at the Statement of Financial Position date and the riskmanagement policies employed by the Company are discussed in the following pages.

Market risk

Market risk embodies the potential for both losses and gains and includes foreign currency risk, interest rate risk andprice risk, which are discussed in detail under separate headings within this note.

The Funds’ exposure to market risk is that the value of assets will generally fluctuate with, among other things, generaleconomic conditions, the condition of certain financial markets, international political events, developments or trends inany particular industry and the financial condition of the issuers of the bonds that the Funds invest in.

The Funds’ market risk is managed on a daily basis by the Investment Manager in accordance with policy andprocedures in place. The Funds’ overall market positions are reported to the Board of Directors on a monthly basis.

As the majority of the financial instruments are carried at fair value through the profit or loss account, all changes inmarket conditions will directly impact the net assets of the Funds.



44

9. Financial Instruments and associated risks (continued)

Foreign currency risk

Foreign currency risk is defined in IFRS 7 as the risk that the fair value or future cash flows of a financial instrument willfluctuate because of changes in foreign exchange rates. This risk arises on financial instruments that are denominatedin a currency other than the functional currency in which they are measured.

The following tables detail each Fund’s exposure to foreign currency risk as at 31 December 2015:


Monetary Non-Monetary Total

Foreign Currency US$ US$ US$

Brazilian Real 2,668,066 - 2,668,066Chilean Peso 238,752 - 238,752Colombian Peso 3,000,945 - 3,000,945Hungarian Forint 3,591,973 - 3,591,973Indonesian Rupiah 3,260,127 - 3,260,127Malaysian Ringgit 3,903,561 - 3,903,561Mexican Peso 6,507,032 - 6,507,032Polish Zloty 4,093,940 - 4,093,940Pound Sterling 24 - 24Russian Ruble 3,525,646 - 3,525,646South African Rand 3,392,308 - 3,392,308Thai Baht 846,813 - 846,813Turkish Lira 3,715,070 - 3,715,070

–––––––––––– –––––––––––– ––––––––––––Total 38,744,257 - 38,744,257

–––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– ––––––––––––




Brazilian Real 1,172,819 - 1,172,819Euro 104,675 77,334 182,009Pound Sterling (63,928) 16,310 (47,618)Swedish Krona 15,431 - 15,431

–––––––––––– –––––––––––– ––––––––––––Total 1,228,997 93,644 1,322,641

–––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– ––––––––––––




Brazilian Real 1,122,779 - 1,122,779Euro 1,219,065 298,088 1,517,153Pound Sterling 3,686 62,867 66,553Swedish Krona 1,170 - 1,170

–––––––––––– –––––––––––– ––––––––––––Total 2,346,700 360,955 2,707,655

–––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– ––––––––––––



45


Foreign currency risk (continued)




Brazilian Real 3,168,453 - 3,168,453Colombian Peso 951,365 - 951,365Euro 1,092,464 388,428 1,480,892Japanese Yen 7 - 7Malaysian Ringgit 3,887,263 - 3,887,263Mexican Peso 11,401,717 - 11,401,717Pound Sterling 23,842 81,920 105,762Russian Ruble 3,880,033 - 3,880,033Swedish Krona 1,441 - 1,441

–––––––––––– –––––––––––– ––––––––––––Total 24,406,585 470,348 24,876,933

–––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– ––––––––––––

The following tables detail each Fund’s exposure to foreign currency risk as at 31 December 2014:




Brazilian Real 4,037,718 - 4,037,718Chilean Peso 176,759 - 176,759Colombian Peso 1,280,326 - 1,280,326Hungarian Forint 2,635,016 - 2,635,016Indonesian Rupiah 3,927,896 - 3,927,896Malaysian Ringgit 4,986,170 - 4,986,170Mexican Peso 9,601,306 - 9,601,306Peruvian Nuevo Sol 1,241,828 - 1,241,828Polish Zloty 3,749,992 - 3,749,992Pound Sterling 236 - 236Russian Ruble 1,592,827 - 1,592,827South African Rand 3,865,348 - 3,865,348Thai Baht 578,350 - 578,350Turkish Lira 4,849,308 - 4,849,308

–––––––––––– –––––––––––– ––––––––––––Total 42,523,080 - 42,523,080

–––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– ––––––––––––




Brazilian Real 2,068,097 - 2,068,097Colombian Peso 748,950 - 748,950Euro 3,816,407 - 3,816,407Pound Sterling 848,474 105,617 954,091Swedish Krona 194,752 - 194,752United Arab Emirates Dirham 42 - 42

–––––––––––– –––––––––––– ––––––––––––Total 7,676,722 105,617 7,782,339

–––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– ––––––––––––



46


Foreign currency risk (continued)




Brazilian Real 1,856,117 - 1,856,117Euro 4,765,699 - 4,765,699Pound Sterling 3,897 407,105 411,002Swedish Krona 1,267 - 1,267

–––––––––––– –––––––––––– ––––––––––––Total 6,626,980 407,105 7,034,085

–––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– ––––––––––––




Brazilian Real 14,449,043 - 14,449,043Euro 8,982,888 - 8,982,888Japanese Yen 7 - 7Mexican Peso 14,645,540 - 14,645,540Peruvian Nuevo Sol 8,249,555 - 8,249,555Pound Sterling 1,185 530,484 531,669Russian Ruble 201,635 - 201,635South African Rand 5,358,028 - 5,358,028Swedish Krona 1,561 - 1,561Turkish Lira 3,560,627 - 3,560,627

–––––––––––– –––––––––––– ––––––––––––Total 55,450,069 530,484 55,980,553

–––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– ––––––––––––

Sensitivity analysis

The below currency sensitivity analysis information is a relative estimate of risk and is not intended to be a precise andaccurate number. The calculations are based on historical data. Future rate movements and correlations betweencurrencies could vary significantly from those experienced in the past.



47


Sensitivity analysis (continued)

At 31 December 2015 and 31 December 2014, had the exchange rate between US$ and other currencies increased ordecreased by 5% with all other variables held constant, the increase or decrease in the value of the Net AssetsAttributable to holders of Redeemable Participating Shares would be as follows:

31 December 2015




Debt Fund Debt Fund Debt Fund Debt Fund

US$ US$ US$ US$

Brazilian Real 127,051 55,849 53,466 150,879Chilean Peso 11,369 - - -Colombian Peso 142,902 - - 45,303Euro - 8,667 72,245 70,519Hungarian Forint 171,046 - - -Indonesian Rupiah 155,244 - - -Japanese Yen - - - -Malaysian Ringgit 185,884 - - 185,108Mexican Peso 309,859 - - 542,939Polish Zloty 194,950 - - -Pound Sterling 1 (2,268) 3,169 5,036Russian Ruble 167,888 - - 184,763South African Rand 161,538 - - -Swedish Krona - 735 56 69Thai Baht 40,324 - - -Turkish Lira 176,908 - - -United Arab Emirates Dirham - - - -

–––––––––––– –––––––––––– –––––––––––– ––––––––––––Total 1,844,964 62,983 128,936 1,184,616

–––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– ––––––––––––

31 December 2014





US$ US$ US$ US$

Brazilian Real 192,272 98,481 88,387 688,050Chilean Peso 8,417 - - -Colombian Peso 60,968 35,664 - -Euro - 181,734 226,938 427,757Hungarian Forint 125,477 - - -Indonesian Rupiah 187,043 - - -Japanese Yen - - - -Malaysian Ringgit 237,437 - - -Mexican Peso 457,205 - - 697,407Peruvian Nuevo Sol 59,135 - - 392,836Polish Zloty 178,571 - - -Pound Sterling 11 45,433 19,572 25,318Russian Ruble 75,849 - - 9,602South African Rand 184,064 - - 255,144Swedish Krona - 9,274 60 74Thai Baht 27,540 - - -Turkish Lira 230,919 - - 169,554United Arab Emirates Dirham - 2 - -

–––––––––––– –––––––––––– –––––––––––– ––––––––––––Total 2,024,908 370,588 334,957 2,665,742

–––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– ––––––––––––



48


Interest rate risk

Interest rate risk is defined as the risk that the fair value or future cash flows of a financial instrument will fluctuatebecause of changes in market interest rates. This risk arises on financial instruments whose fair value or future cashflows are affected by changes in interest rates. Each Fund is exposed to interest rate risk through the fixed incomeportion of its assets.

The Investment Manager monitors the interest rate risk exposure on a daily basis.

The tables below and on the following pages detail each Fund’s exposure to interest rate risk at 31 December 2015. Itincludes each Fund’s assets and liabilities at fair value, categorised by the earlier of contractual re-pricing or maturitydate measured by the carrying value of the assets and liabilities at 31 December 2015:

31 December 2015


Within Greater than Non-interest

1 year 1-5 years 5 years bearing Total

Assets US$ US$ US$ US$ US$

Financial assets designated at fair valuethrough profit or loss:- Investments - 16,346,580 21,216,196 - 37,562,776Other receivables - - - 971,277 971,277Cash and cash equivalents 1,428,839 - - - 1,428,839

–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Total assets 1,428,839 16,346,580 21,216,196 971,277 39,962,892

–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Liabilities

Other payables and accrued expenses - - - (69,581) (69,581)Net assets attributable to holders of redeemable participating shares at bid market prices - - - (39,893,311) (39,893,311)

–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Total liabilities - - - (39,962,892) (39,962,892)

–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Net exposure 1,428,839 16,346,580 21,216,196

–––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– ––––––––––––



49


Interest rate risk (continued)

31 December 2015 (continued)





Financial assets designated at fair value through profit or loss:- Investments - 22,272,121 43,368,023 93,644 65,733,788Held for trading:- Unrealised gain on open future contracts - - - 4,406 4,406- Unrealised gain on forwards - - - 1,187 1,187Other receivables - - - 1,379,952 1,379,952Cash and cash equivalents 2,184,979 - - - 2,184,979

–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Total assets 2,184,979 22,272,121 43,368,023 1,479,189 69,304,312

–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Liabilities

Held for trading:- Unrealised loss on open future contracts - - - (38,312) (38,312)- Unrealised loss on forwards - - - (97,194) (97,194)Other payables and accrued expenses - - - (123,051) (123,051)Net assets attributable to holders of redeemable participating shares at bid market prices - - - (69,045,755) (69,045,755)


–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Net exposure 2,184,979 22,272,121 43,368,023

–––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– ––––––––––––





Financial assets designated at fair value through profit or loss:- Investments - 29,128,629 43,482,859 360,955 72,972,443Other receivables - - - 1,710,459 1,710,459Cash and cash equivalents 3,537,061 - - - 3,537,061

–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Total assets 3,537,061 29,128,629 43,482,859 2,071,414 78,219,963

–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Liabilities

Held for trading:- Unrealised loss on open future contracts - - - (28,820) (28,820)- Unrealised loss on forwards - - - (124,600) (124,600)Other payables and accrued expenses - - - (326,493) (326,493)Net assets attributable to holders of redeemable participating shares at bid market prices - - - (77,740,050) (77,740,050)


–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Net exposure 3,537,061 29,128,629 43,482,859

–––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– ––––––––––––



50








Financial assets designated at fair valuethrough profit or loss:- Investments - 50,180,064 64,421,467 470,347 115,071,878Held for trading:- Unrealised gain on open future contracts - - - 1,406 1,406Other receivables - - - 2,596,481 2,596,481Cash and cash equivalents 4,576,565 - - - 4,576,565

–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Total assets 4,576,565 50,180,064 64,421,467 3,068,234 122,246,330

–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Liabilities

Held for trading:- Unrealised loss on open future contracts - - - (18,109) (18,109)Other payables and accrued expenses - - - (283,653) (283,653)Net assets attributable to holders of redeemable participating shares at bid market prices - - - (121,944,568) (121,944,568)


–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Net exposure 4,576,565 50,180,064 64,421,467

–––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– ––––––––––––

The tables below and on the following page detail each Fund’s exposure to interest rate risk at 31 December 2014. Itincludes each Fund’s assets and trading liabilities at fair values, categorised by the earlier of contractual re-pricing ormaturity date measured by the carrying value of the assets and liabilities at 31 December 2014:

31 December 2014





Financial assets designated at fair value through profit or loss:- Investments 1,564,734 12,930,395 26,446,012 - 40,941,141Other receivables - - - 1,646,393 1,646,393Cash and cash equivalents 6,142,231 - - - 6,142,231

–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Total assets 7,706,965 12,930,395 26,446,012 1,646,393 48,729,765

–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Liabilities

Other payables and accrued expenses - - - (3,589,698) (3,589,698)Net assets attributable to holders of redeemable participating shares - - - (45,140,067) (45,140,067)


–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Net exposure 7,706,965 12,930,395 26,446,012

–––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– ––––––––––––



51








Financial assets designated at fair value through profit or loss:- Investments 1,665,415 23,679,059 85,557,544 105,617 111,007,635- Unrealised gain on open futures contracts 116,000 - - - 116,000- Unrealised gain on forwards contracts 225,522 - - - 225,522Other receivables - - - 4,137,784 4,137,784Cash and cash equivalents 7,320,508 - - - 7,320,508

–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Total assets 9,327,445 23,679,059 85,557,544 4,243,401 122,807,449

–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Liabilities

Held for trading:- Unrealised loss on open futures contracts (293,750) - - - (293,750)- Unrealised loss on forwards contracts (25,030) - - - (25,030)Other payables and accrued expenses - - - (6,932,749) (6,932,749)Net assets attributable to holders of redeemable participating shares - - - (115,555,920) (115,555,920)

–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Total liabilities (318,780) - - (122,488,669) (122,807,449)

–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Net exposure 9,008,665 23,679,059 85,557,544

–––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– ––––––––––––





Financial assets designated at fair value through profit or loss:- Investments 2,228,163 30,566,281 48,725,980 407,104 81,927,528- Unrealised gain on forwards contracts 1,379 - - - 1,379Other receivables - - - 2,385,003 2,385,003Cash and cash equivalents 2,717,772 - - - 2,717,772

–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Total assets 4,947,314 30,566,281 48,725,980 2,792,107 87,031,682

–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Liabilities

Held for trading:- Unrealised loss on forwards contracts (47,929) - - - (47,929)- Unrealised loss on open futures contracts (75,328) - - - (75,328)Other payables and accrued expenses - - - (1,602,298) (1,602,298)Net assets attributable to holders of redeemable participating shares - - - (85,306,127) (85,306,127)


–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Net exposure 4,824,057 30,566,281 48,725,980

–––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– ––––––––––––



52








Financial assets designated at fair value through profit or loss:- Investments 4,376,472 50,458,253 103,306,525 530,484 158,671,734Other receivables - - - 4,009,408 4,009,408Cash and cash equivalents 8,793,699 - - - 8,793,699

–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Total assets 13,170,171 50,458,253 103,306,525 4,539,892 171,474,841

–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Liabilities

Held for trading:- Unrealised loss on open futures contracts (60,969) - - - (60,969)Other payables and accrued expenses - - - (397,491) (397,491)Net assets attributable to holders of redeemable participating shares - - - (171,016,381) (171,016,381)


–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Net exposure 13,109,202 50,458,253 103,306,525

–––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– ––––––––––––

Interest rate sensitivity

The interest rate sensitivity analysis information is a relative estimate of risk and is not intended to be a precise andaccurate number. The calculations are based on historical data. Future interest rate movements could vary significantlyfrom those experienced in the past.

Based on the Funds’ portfolio composition as at 31 December 2015, the corresponding (decrease)/increase in NetAssets Attributable to holders of Redeemable Participating Shares, from an increase/(decrease) in average interest rateswould be as shown in the table below. Due to the convexity of the bonds a (decrease)/increase of 1% in interest ratesdoes not yield the same amount. A bond price has a lower limit of zero with a theoretical unlimited upper limit price. Asyield approach infinity, the bond price can only approach its lower limit of zero. Conversely, as yields decline, the bondprice has no upper limit. For this reason, we see this increase in yields having a smaller impact on the market value ofthe portfolio than we see a decrease in yields having on the market value of the portfolio.

31 December 2015

Interest Rate Sensitivity in US$

Decrease in interest rates Increase in interest rates

-0.50% -0.75% -1.00% 0.50% 0.75% 1.00%

US$ US$ US$ US$ US$ US$

Gramercy Local

Emerging Market

Debt Fund 741,488 1,121,711 1,508,252 (716,213) (1,064,841) (1,407,151)

Gramercy Corporate

Emerging Market

Debt Fund 1,400,159 2,116,055 2,842,496 (1,357,982) (2,021,157) (2,673,788)

Gramercy High Yield Corporate

Emerging Market

Debt Fund 1,483,198 2,240,212 3,007,504 (1,442,089) (2,147,717) (2,843,068)

Gramercy Total Return Allocator

Emerging Market

Debt Fund 2,891,835 4,387,912 5,917,428 (2,758,076) (4,086,955) (5,382,394)



53



Interest rate sensitivity (continued)


Interest Rate Sensitivity as a % of NAV


-0.50% -0.75% -1.00% 0.50% 0.75% 1.00%


Gramercy Local

Emerging Market

Debt Fund 1.86% 2.81% 3.78% (1.80)% (2.67)% (3.53)%

Gramercy Corporate

Emerging Market

Debt Fund 2.03% 3.06% 4.12% (1.97)% (2.93)% (3.87)%


Emerging Market

Debt Fund 1.91% 2.88% 3.87% (1.86)% (2.76)% (3.66)%


Emerging Market

Debt Fund 2.37% 3.60% 4.85% (2.26)% (3.35)% (4.41)%

Based on the Funds’ portfolios composition as at 31 December 2014, the corresponding (decrease)/increase in NetAssets Attributable to holders of Redeemable Participating Shares, from an increase/(decrease) in average interest rateswould be as follows:

31 December 2014

Interest Rate Sensitivity in US$


-0.50% -0.75% -1.00% 0.50% 0.75% 1.00%


Gramercy Local

Emerging Market

Debt Fund 942,818 1,428,794 1,924,483 (903,970) (1,341,386) (1,769,091)

Gramercy Corporate

Emerging Market

Debt Fund 2,808,515 4,275,701 5,784,839 (2,640,706) (3,898,131) (5,113,603)


Emerging Market

Debt Fund 1,348,594 2,044,045 2,753,599 (1,292,183) (1,917,120) (2,527,954)


Emerging Market

Debt Fund 3,233,621 4,915,192 6,639,938 (3,060,925) (4,526,626) (5,949,153)



54



Interest rate sensitivity (continued)


Interest Rate Sensitivity as a % of NAV


-0.50% -0.75% -1.00% 0.50% 0.75% 1.00%


Gramercy Local

Emerging Market

Debt Fund 2.09% 3.17% 4.26% (2.00)% (2.97)% (3.92)%

Gramercy Corporate

Emerging Market

Debt Fund 2.43% 3.70% 5.01% (2.29)% (3.37)% (4.43)%


Emerging Market

Debt Fund 1.58% 2.40% 3.23% (1.51)% (2.25)% (2.96)%


Emerging Market

Debt Fund 1.89% 2.87% 3.88% (1.79)% (2.65)% (3.48)%

Price risk

Price risk is defined in IFRS 7 as the risk that the fair value of a financial instrument or its future cash flows will fluctuatebecause of changes in market prices other than those caused by interest rate risk or currency risk. Many of the Funds’financial instruments are carried at fair value in the Statement of Financial Position. Usually the fair value of the financialinstruments can be reliably determined within a reasonable range of estimates. For certain other financial instruments,including other debtors, accounts payable and accrued expenses, the carrying amounts approximate fair value due tothe immediate or short-term nature of these financial instruments.

The carrying amounts of all the Funds’ financial assets and financial liabilities at the year end date approximated theirfair values.

Fair value estimates are made at a specific point in time, based on market conditions and information about the financialinstrument. These estimates are subjective in nature and involve uncertainties and matters of significant judgement (e.g.,interest rates, volatility, estimated cash flows etc.) and therefore, cannot be determined with precision.

The tables below and on the following page summarise the sensitivity of the Funds’ net assets attributable to redeemableparticipating shareholders to a price increase or decrease of 5% on transferable securities held as at 31 December 2015and 31 December 2014.

31 December 2015





31 December 2015 31 December 2015 31 December 2015 31 December 2015

US$ US$ US$ US$

Market Value of Transferable Securities 37,562,776 65,733,788 72,972,443 115,071,878Price Increase/Decrease 5% 5% 5% 5%

–––––––––––– –––––––––––– –––––––––––– ––––––––––––Impact to Fund 1,878,139 3,286,689 3,648,622 5,753,594

–––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– ––––––––––––



55




Price risk (continued)

31 December 2014






US$ US$ US$ US$

Market Value of Transferable Securities 40,941,141 111,007,635 81,927,528 158,671,734Price Increase/Decrease 5% 5% 5% 5%

–––––––––––– –––––––––––– –––––––––––– ––––––––––––Impact to Fund 2,047,057 5,550,382 4,096,376 7,933,587

–––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– ––––––––––––

Credit risk

This is the risk that one party to a financial instrument will cause a financial loss for the other party by failing to dischargean obligation. This includes counterparty risk and issuer risk. In relation to the Company, it can arise from receivables duefrom another party, placing deposits with other entities, purchases of debt securities and entering into derivative contracts.

Each Fund minimises concentrations of credit risk by undertaking transactions with counterparties. The Company’sProspectus and the UCITS Regulations list various investment restrictions with regard to issuer and counterpartyconcentration limits and minimum counterparty credit ratings.

Issuer risk is associated with transacting in exchange traded debt securities and is monitored by use of credit ratings.For Funds investing in debt securities, the investment objectives provide details of the credit rating restrictions imposedon that Fund.

The Funds’ credit risk concentration is spread between a number of counterparties. At 31 December 2015, the top tenholdings in the Company represented 14.92% (31 December 2014: 14.55%) of the Company’s assets.

The carrying amounts of financial assets best represent the maximum credit risk exposure at the year end date. TheInvestment Manager through its investment strategy will endeavour to avoid losses relating to defaults on the underlyingassets.

In-house research is used to identify asset allocation opportunities amongst various fixed income asset classes and totake advantage of episodes of market mis-pricing.

The Funds may utilise different financial instruments to seek to hedge against declines in the value of the Funds’positions as a result of changes in currency exchange rates.

At 31 December 2015, the Funds held investments in bonds with the following publicly quoted credit ratings:






Public rating % of Market Value % of Market Value % of Market Value % of Market Value

Cash & Equivalents 3.66 3.22 4.64 3.84AA 0.60 - - -A 37.52 7.57 - 12.37BBB 30.18 31.15 10.17 17.25BB 19.87 17.15 25.98 18.91B - 20.39 38.94 27.67CCC - 8.46 11.07 9.25CC - 1.37 1.83 2.36D - 5.23 2.92 2.18Not rated 8.17 5.46 4.45 6.17

–––––––––––– –––––––––––– –––––––––––– ––––––––––––Total 100.00 100.00 100.00 100.00

–––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– ––––––––––––

56


Credit risk (continued)

The Investment Manager provides ratings for those bonds that are not publicly rated. These are monitored by theInvestment Manager on a continual basis.

At 31 December 2014, the Funds held investments in bonds with the following publicly quoted credit ratings:






Public rating % of Market Value % of Market Value % of Market Value % of Market Value

Cash & Equivalents 13.05 6.20 3.24 5.25AA 0.37 1.54 - -A 36.61 6.12 - 17.56BBB 31.98 26.81 5.30 18.49BB 7.69 22.36 29.29 14.80B - 24.73 36.97 22.43CCC 0.05 9.74 17.73 13.72Not rated 10.25 2.50 7.47 7.75

–––––––––––– –––––––––––– –––––––––––– ––––––––––––Total 100.00 100.00 100.00 100.00

–––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– ––––––––––––

The Investment Manager provides ratings for those bonds that are not publicly rated. These are monitored by theInvestment Manager on a continual basis.

Credit risk arising on transactions with brokers relates to transactions awaiting settlement. The Investment Managermonitors the credit rating and financial positions of the brokers used to mitigate this risk. The Investment Manager alsomonitors the settlement process on a regular basis.

At 31 December 2015, the Funds’ financial assets exposed to credit risk are as follows:






US$ US$ US$ US$

Investments at fair value 37,562,776 65,733,788 72,972,443 115,071,878Forwards contracts - 1,187 - -Futures contracts - 4,406 - 1,406Cash, cash equivalents and cash held with brokers 1,428,839 2,184,979 3,537,061 4,576,565Other debtors 971,277 1,379,952 1,710,459 2,596,481

–––––––––––– –––––––––––– –––––––––––– ––––––––––––Total 39,962,892 69,304,312 78,219,963 122,246,330

–––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– ––––––––––––



57


Credit risk (continued)

At the 31 December 2014, the Funds’ financial assets exposed to credit risk are as follows:






US$ US$ US$ US$

Investments at fair value 40,941,141 111,007,635 81,927,528 158,671,734Forwards contracts - 225,522 1,379 -Futures contracts - 116,000 - -Cash, cash equivalents and cash held with brokers 6,142,231 7,320,508 2,717,772 8,793,699Other debtors 1,646,393 4,137,784 2,385,003 4,009,408

–––––––––––– –––––––––––– –––––––––––– ––––––––––––Total 48,729,765 122,807,449 87,031,682 171,474,841

–––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– ––––––––––––

Amounts in the preceding tables are based on the carrying value of the financial assets as at the year end date.

Substantially all of the assets of each Fund are held by the Custodian, State Street Custodial Services (Ireland) Limited.Bankruptcy or insolvency of the Custodian may cause the Funds’ rights with respect to securities held by the Custodianto be delayed or limited. The Funds monitor their risk by monitoring the credit quality and financial positions of theCustodian. The Moody’s long term credit rating of State Street Corporation, the parent company of the Custodian is A1(31 December 2014: A1) as at 31 December 2015.

The broker for open futures contracts on the Funds as at 31 December 2015 and 31 December 2014 is Citigroup GlobalMarkets Inc. (“CGMI”). The Moody’s long term credit rating for CGMI as at 31 December 2015 is Baa2 (31 December2014: Baa2).

The counterparty for open forwards contracts on the Funds as at 31 December 2015 and 31 December 2014 is StateStreet Bank and Trust Company, who act as the global custodian for State Street Custodial Services (Ireland) Limited.

The Funds’ assets and cash are maintained within the Custodian’s custodial network in segregated accounts. TheCustodian will ensure that any agent it appoints to assist in safekeeping the assets of the Funds will segregate theseassets. Thus in the event of insolvency or bankruptcy of the Custodian, the Funds’ assets are segregated and protectedand this further reduces counterparty risk.

Liquidity risk

The Funds’ assets predominantly comprise of actively traded and highly liquid securities.

In addition, the Funds may restrict redemptions as detailed in the Company’s Prospectus. In highly volatile marketconditions, the Funds may not easily liquidate assets and the Directors, at their discretion, may restrict or suspend theissue or redemption of Redeemable Participating Shares.

Where a redemption request represents 5% or more of the Shares of a Fund, the Company may satisfy the redemptionrequest by the transfer of assets in specie to the Shareholder without the Shareholder’s consent.

At the request of the Shareholder making such redemption request such assets may be sold by the Company and theproceeds of sale shall be transmitted to the Shareholder. The transaction costs incurred in the sale of the assets will bepayable by the Shareholder.

If redemption requests on any Dealing Day exceed 10% of the total number of Shares in a Fund, the Company may deferthe excess redemption requests to subsequent Dealing Days and shall redeem such Shares rateably.



58


Liquidity risk (continued)

The Funds avoid entering into derivative contractual arrangements that produce an exposure not covered by sufficientliquid assets or a total investment exposure in excess of total Shareholders’ Funds.

As at 31 December 2015 and 31 December 2014, the Funds’ liabilities, including net assets attributable to redeemingparticipating shareholders, were payable within three months.

Inflows and outflows relating to forward contracts held on the Funds at 31 December 2015 and 31 December 2014 allfell within one month of year end.

The Investment Manager monitors the Funds’ liquidity position on a daily basis.

Capital Management

The capital of the Funds is represented by the Net Assets Attributable to Holders of Redeemable Shares. The amountof Net Assets Attributable to Holders of Redeemable Shares can change significantly on a daily basis for GramercyCorporate Emerging Market Debt Fund and Gramercy Local Emerging Market Debt Fund, and on a weekly basis forGramercy High Yield Corporate Emerging Market Debt Fund and Gramercy Total Return Allocator Emerging MarketDebt Fund, as the Funds are subject to daily and weekly subscriptions and redemptions at the discretion ofshareholders. The Funds’ objective when managing capital is to safeguard the Funds’ ability to continue as a goingconcern in order to provide returns for shareholders, provide benefits for other stakeholders and maintain a strongcapital base to support the development of the investment activities of the Funds.

In order to maintain the capital structure, the Funds’ policy is to perform the following:

• Monitor the level of daily and weekly subscriptions and redemptions relative to the assets it expects to be ableto liquidate within 7 days and adjust the amount of distributions the Funds pay to Redeemable Shareholders.

• Redeem and issue new shares in accordance with the constitutional documents of the Funds, which include theability to restrict redemptions and require certain minimum holdings and subscriptions.

The Board of Directors and Investment Manager monitor capital on the basis of the value of Net Assets Attributable toRedeemable Shareholders.

Offsetting

At 31 December 2015 none of the financial assets and financial liabilities on the Funds are subject to an enforceableMNA or similar agreement that covers similar financial instruments (31 December 2014: Nil). However, the tables belowand on the following page disclose the amounts available for offsetting per counterparty were such an enforceable MNAor similar agreement in place on the Funds.

31 December 2015


Derivative assets

subject to a master Derivatives Non cash Cash Net amount

netting agreement available collateral collateral of derivative

by counterparty for offset received received assets


Counterparty

Citigroup Global Markets Inc. - 4,406 - 212,628 217,034–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––

- 4,406 - 212,628 217,034

–––––––––––– –––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Liabilities

Counterparty

Citigroup Global Markets Inc. - (38,312) - - (38,312)–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––

- (38,312) - - (38,312)

–––––––––––– –––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––



59


Offsetting (continued)



Derivative assets





Counterparty

Citigroup Global Markets Inc. - - - 260,267 260,267–––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––

- - - 260,267 260,267

–––––––––––– –––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Liabilities

Counterparty


- (28,820) - - (28,820)

–––––––––––– –––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––


Derivative assets





Counterparty


- 1,406 - 150,896 152,302

–––––––––––– –––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Liabilities

Counterparty


- (18,109) - - (18,109)

–––––––––––– –––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––

Gramercy Local Emerging Markets did not hold any financial instruments as at 31 December 2015.



60


Offsetting (continued)

31 December 2014


Derivative assets





Counterparty


- 116,000 - 475,170 591,170

–––––––––––– –––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Liabilities

Counterparty


- (293,750) - - (293,750)

–––––––––––– –––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––


Derivative assets





Counterparty


- - - 209,239 209,239

–––––––––––– –––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––Liabilities

Counterparty


- (75,328) - - (75,328)

–––––––––––– –––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––


Derivative assets





Counterparty


- - - 297,129 297,129–––––––––––– –––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––

Liabilities

Counterparty


- (60,969) - - (60,969)

–––––––––––– –––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– –––––––––––– ––––––––––––

Gramercy Local Emerging Market Debt Fund did not hold financial derivative instruments as at 31 December 2014.



61




Global Exposure

Under the “UCITS Regulations” issued by the Central Bank, the Investment Manager is required to employ a riskmanagement process which enables it to accurately monitor and manage the global exposure to the Company fromderivatives. The Investment Manager uses a methodology known as the “Commitment Approach” to measure the GlobalExposure of the Company and the Funds. The Commitment Approach is a methodology that aggregates the underlyingmarket or notional values of derivatives to determine the exposure of the Company to derivatives. In accordance withthe Central Bank of Ireland UCITS Regulations, global exposures for each fund to derivatives must not exceed 100% ofthe Fund’s net asset value.

10. Net Asset Value per Redeemable Share

The Net Asset Value per Redeemable Participating Share is determined by dividing the Net Asset Value of the relevantFund by the number of Redeemable Participating Shares in issue.

At 31 December 2015

Net Assets Attributable to Net Asset Value

Holders of Redeemable per Redeemable

Participating Share Participating Share


Class I GBP£ Accumulating Share Class GBP27,060,989 GBP85.32


Class I US$ Accumulating Share Class USD 46,048,120 USD 96.65Class I US$ Distributing Share Class USD 730,660 USD 86.04Class I GBP£ Distributing Hedged Share Class GBP 4,480,148 GBP 83.89Class I SEK Accumulating Hedged Share Class SEK 2,623,274 SEK 86.00Class I EUR Accumulating Share Class EUR 318,267 EUR 98.69Class (S) I US$ Accumulating Share Class USD 2,551,052 USD 86.79Class R US$ Accumulating Share Class USD 3,361,440 USD 86.38Class R SEK Accumulating Hedged Share Class SEK 2,437,997 SEK 85.94Class R EUR€ Accumulating Hedged Share Class EUR 2,322,321 EUR 88.25Class (W) I USD Accumulating Share Class USD 6,280,617 USD 93.49


Class I US$ Accumulating Share Class USD 64,533,326 USD 91.74Class I EUR€ Accumulating Hedged Share Class EUR 11,055,478 EUR 84.56Class I EUR€ Accumulating Share Class EUR 1,097,009 EUR 93.69


Class I GBP£ Accumulating Share Class GBP 82,719,893 GBP93.00

At 31 December 2014





Class I GBP£ Accumulating Share Class GBP28,961,912 GBP94.90

62

10. Net Asset Value per Redeemable Share (continued)

At 31 December 2014 (continued)





Class I US$ Accumulating Share Class US$51,302,173 US$103.88Class I US$ Distributing Share Class US$2,740,508 US$98.47Class I GBP£ Distributing Hedged Share Class GBP4,383,907 GBP94.67Class I SEK Accumulating Hedged Share Class SEK96,635,021 SEK93.25Class (S) I US$ Accumulating Share Class US$7,547,398 US$93.43Class R US$ Accumulating Share Class US$12,555,006 US$93.45Class R SEK Accumulating Hedged Share Class SEK154,466,930 SEK93.63Class R EUR€ Accumulating Hedged Share Class EUR1,956,232 EUR95.87


Class I US$ Accumulating Share Class US$75,129,319 US$98.95Class I EUR€ Accumulating Hedged Share Class EUR8,419,076 EUR91.73


Class I GBP£ Accumulating Share Class GBP89,489,572 GBP100.63Class I US$ Accumulating Share Class US$31,537,839 US$94.42

As at 31 December 2013 Net Assets Attributable to Net Asset Value


Particiipating Shares Particiipating Shares

Corporate Emerging Market Debt Fund

Class I US$ Accumulating US$39,126,863 US$102.54

High Yield Corporate Emerging Market Debt Fund

Class I US$ Accumulating US$47,434,208 US$103.13

11. Exchange rates

Investments and other assets and liabilities denominated in currencies other than US$ were converted at the followingrates as at 31 December 2015 and 31 December 2014.

US$ 31 December 2015 31 December 2014

Brazilian Real 3.9563 2.6582Chilean Peso 708.5600 606.9000Colombian Peso 3174.5000 2,376.5000Euro 0.9202 0.8264Hungarian Forint 290.2002 261.5884Indonesian Rupiah 13,785.0000 12,385.0000Japanese Yen 120.1950 119.7800Malaysian Ringgit 4.2935 3.4965Mexican Peso 17.2345 14.7538Peruvian Nuevo Sol 3.4145 2.9795Polish Zloty 3.9227 3.5406Pound Sterling 0.6783 0.6416Russian Ruble 73.0000 60.7500South African Rand 15.4650 11.5678Swedish Krona 8.4415 7.7956Thai Baht 35.9850 32.9000Turkish Lira 2.9164 2.3346United Arab Emirates Dirham 3.6730 3.6731



63

12. Segregated liability

The Company is an umbrella fund with segregated liability between sub-funds under Irish Law. However, there can beno assurance that, should an action be brought against the Company in the courts of another jurisdiction, thesegregated nature of the Funds would necessarily be unheld.

13. Contingent liabilities

There are no contingent liabilities or commitments at year ended 31 December 2015 (31 December 2014: Nil).

14. Soft commissions

There were no soft commission arrangements entered into by the Investment Manager on behalf of the Company duringthe year ended 31 December 2015 (31 December 2014: None).

15. Significant events during the financial year

The Central Bank (Supervision and Enforcement Act 2013 (Section 48(1)) (Undertakings for Collective Investment inTransferable Securities) Regulations 2015 came into force with effect from 18 March 2015.

The following Share Classes of Gramercy Corporate Emerging Market Debt Fund launched during the year: Class I EUR€ Accumulating on 10 February 2015 and Class (W) I US$ Accumulating on 26 March 2015.

Class I EUR€ Accumulating Share Class of Gramercy High Yield Corporate Emerging Market Debt Fund launched on13 May 2015.

Class I US$ Accumulating Share Class of Gramercy Total Return Allocator Emerging Market Debt Fund terminated on7 October 2015.

16. Significant events since the financial year end

There are no significant events to note since the financial year end.

17. Approval of the financial statements

The Board of Directors approved these financial statements on 11 April 2016.



64

Total Net

Fair Value Assets

Principal Amount Description US$ %

Transferable Securities (94.16%) (2014: 90.69%)

Fixed Income (94.16%) (2014: 90.69%)

Argentina (Nil) (2014: 2.13%)

Brazil (6.36%) (2014: 13.08%)

4,000,000 Brazil Notas do Tesouro Nacional Serie F 10.000% 01/01/17 961,428 2.423,000,000 Brazil Notas do Tesouro Nacional Serie F 10.000% 01/01/23 567,441 1.422,000,000 Brazil Notas do Tesouro Nacional Serie F 10.000% 01/01/25 360,745 0.903,200,000 Cosan Luxembourg SA 9.500% 14/03/18 644,365 1.62

2,533,979 6.36

Chile (0.59%) (2014: 0.39%)

161,000,000 Chile Government International Bond 5.500% 05/08/20 233,684 0.59

Colombia (7.16%) (2014: 2.73%)

5,760,000,000 Colombia Government International Bond 7.750% 14/04/21 1,848,172 4.632,800,000,000 Colombia Government International Bond 9.850% 28/06/27 1,007,947 2.53

2,856,119 7.16

Hungary (8.81%) (2014: 5.66%)

524,200,000 Hungary Government Bond 6.500% 24/06/19 2,043,764 5.1295,300,000 Hungary Government Bond 7.000% 24/06/22 402,329 1.01

262,000,000 Hungary Government Bond 6.000% 24/11/23 1,067,518 2.683,513,611 8.81

Indonesia (7.99%) (2014: 8.55%)

30,000,000,000 Deutsche Bank AG London ref Indonesia Treasury Bond 5.625% 17/05/23 1,782,231 4.4718,800,000,000 Deutsche Bank AG London ref Indonesia Treasury Bond 9.500% 22/07/31 1,404,272 3.52

3,186,503 7.99

Malaysia (9.55%) (2014: 10.93%)

3,300,000 Malaysia Government Bond 4.240% 07/02/18 784,493 1.974,600,000 Malaysia Government Bond 4.160% 15/07/21 1,080,510 2.718,370,000 Malaysia Government Bond 4.392% 15/04/26 1,944,536 4.87

3,809,539 9.55

Mexico (15.64%) (2014: 15.39%)

34,670,000 Mexican Bonos 8.500% 13/12/18 2,217,052 5.5311,500,000 Mexican Bonos 6.500% 09/06/22 687,851 1.7215,000,000 Mexican Bonos 8.000% 07/12/23 975,659 2.4526,950,000 Mexican Bonos 10.000% 05/12/24 1,982,411 4.975,000,000 Mexican Bonos 10.000% 20/11/36 388,509 0.97

6,251,482 15.64

Peru (Nil) (2014: 2.70%)

Poland (10.16%) (2014: 5.77%)

5,100,000 Poland Government Bond 5.250% 25/10/17 1,383,948 3.486,150,000 Poland Government Bond 5.750% 25/10/21 1,848,473 4.632,700,000 Poland Government Bond 5.750% 23/09/22 819,165 2.05

4,051,586 10.16

Russian Federation (8.56%) (2014: 3.41%)

209,000,000 Russian Federal Bond - OFZ 7.500% 27/02/19 2,684,848 6.7358,000,000 Russian Federal Bond - OFZ 7.600% 14/04/21 728,345 1.83

3,413,193 8.56

South Africa (8.24%) (2014: 8.27%)

26,500,000 South Africa Government Bond 8.250% 15/09/17 1,704,622 4.2729,250,000 South Africa Government Bond 8.000% 31/01/30 1,582,818 3.97

3,287,440 8.24

Gramercy Investment Funds plcGramercy Local Emerging Market Debt Fund

Schedule of InvestmentsAs at 31 December 2015

65


Schedule of Investments (continued)As at 31 December 2015

Total Net

Fair Value Assets


Transferable Securities (94.16%) (2014: 90.69%) (continued)

Fixed Income (94.16%) (2014: 90.69%) (continued)

Thailand (2.10%) (2014: 1.26%)

17,265,000 Thailand Government Bond 5.125% 13/03/18 515,152 1.3011,000,000 Thailand Government Bond 3.450% 08/03/19 321,054 0.80

836,206 2.10

Turkey (9.00%) (2014: 10.37%)

6,600,000 Turkey Government Bond 9.000% 08/03/17 2,219,727 5.561,850,000 Turkey Government Bond 10.500% 15/01/20 632,441 1.592,260,000 Turkey Government Bond 9.500% 12/01/22 737,266 1.85

3,589,434 9.00

Venezuela (Nil) (2014: 0.05%)

Total Fixed Income 37,562,776 94.16

–––––––––––– ––––––––Total Transferable Securities 37,562,776 94.16

–––––––––––– ––––––––Total Investments (94.16%) (2014: 90.69%) 37,562,776 94.16

Cash (3.58%) (2014: 13.61%) 1,428,839 3.58Other Net Assets (2.26%) (2014: (4.30)%) 901,696 2.26

–––––––––––– ––––––––Net Assets (100.00%) 39,893,311 100.00

–––––––––––– –––––––––––––––––––– ––––––––

Classification

All transferable securities are admitted to an official stock exchange listing or traded on a regulated market unless otherwisestated.

Analysis of total assets % of Total Assets (unaudited)

Transferable securities admitted to official stock exchange listing 74.12Transferable securities dealt in on another regulated market 15.20Other transferable securities of the type referred to in Regulation 68 (1)(a), (b) and (c) 4.67Other current assets 6.01

––––––––Total 100.00

––––––––––––––––

66

Total Net

Fair Value Assets



Fixed Income (95.07%) (2014: 95.89%)

Argentina (7.38%) (2014: 8.92%)

144,000 Cia Latinoamericana de Infraestructura & Servicios SA 11.500% 15/10/19 138,960 0.201,187,265 Mastellone Hermanos SA 12.625% 03/07/21 1,264,437 1.832,452,164 Argentine Republic Government International Bond 8.280% 31/12/33 2,813,859 4.08

905,000 YPF SA 8.750% 04/04/24 876,719 1.275,093,975 7.38

Brazil (13.65%) (2014: 13.95%)

225,000 Braskem America Finance Co 7.125% 22/07/41 167,063 0.24425,000 Braskem Finance Ltd 5.375% 02/05/22 352,750 0.51

5,625,000 Cosan Luxembourg SA 9.500% 14/03/18 1,132,673 1.641,750,000 Odebrecht Finance Ltd 4.375% 25/04/25 927,500 1.344,075,000 Odebrecht Finance Ltd 5.250% 27/06/29 1,966,188 2.85

780,000 Odebrecht Finance Ltd 7.125% 26/06/42 392,496 0.57970,000 QGOG Constellation SA 6.250% 09/11/19 (144 A) 429,225 0.62230,000 QGOG Constellation SA 6.250% 09/11/19 (Reg S) 101,775 0.15

1,723,283 Tonon Bioenergia SA 7.250% 24/01/20 258,492 0.371,225,000 Tonon Bioenergia SA 10.500% 14/05/24 (144 A) 612,500 0.894,647,000 Tonon Bioenergia SA 10.500% 14/05/24 (Reg S) 2,323,500 3.371,081,000 Vale Overseas Ltd 6.875% 21/11/36 757,197 1.10

9,421,359 13.65

Chile (3.21%) (2014: 1.26%)

875,000 Cencosud SA 5.500% 20/01/21 894,250 1.301,425,000 VTR Finance BV 6.875% 15/01/24 1,318,125 1.91

2,212,375 3.21

China (5.48%) (2014: 4.19%)

1,145,000 BCP Singapore VI Cayman Financing Co Ltd 8.000% 15/04/21 (144 A) 916,000 1.33825,000 BCP Singapore VI Cayman Financing Co Ltd 8.000% 15/04/21 (Reg S) 660,000 0.96

1,025,000 Country Garden Holdings Co Ltd 7.250% 04/04/21 1,060,875 1.541,200,000 Sinopec Group Overseas Development 2015 Ltd 3.250% 28/04/25 1,138,800 1.65

3,775,675 5.48

Colombia (4.59%) (2014: 3.71%)

550,000 Bancolombia SA 5.950% 03/06/21 563,063 0.811,485,000 Millicom International Cellular SA 6.625% 15/10/21 1,376,595 1.991,400,000 Pacific Rubiales Energy Corp 5.125% 28/03/23 266,000 0.38

530,000 Pacific Rubiales Energy Corp 5.625% 19/01/25 (144 A) 100,700 0.151,310,000 Pacific Rubiales Energy Corp 5.625% 19/01/25 (Reg S) 248,900 0.35

654,000 Oleoducto Central SA 4.000% 07/05/21 627,840 0.913,183,098 4.59

Congo (4.99%) (2014: 0.91%)

530,000 Banro Corp 10.000% 01/03/17 (144 A) 412,080 0.603,895,000 Banro Corp 10.000% 01/03/17 (Reg S) 3,028,401 4.39

3,440,481 4.99

Czech Republic (0.16%) (2014: 0.70%)

800,933 New World Resources NV 8.000% 07/04/20 105,819 0.15147,915 New World Resources NV 4.000% 07/10/20 4,485 0.01

110,304 0.16

Dominican Republic (Nil) (2014: 0.86%)

Ghana (2.81%) (2014: 1.58%)

3,881,000 Consolidated Minerals Ltd 8.000% 15/05/20 1,940,500 2.81

Gramercy Investment Funds plcGramercy Corporate Emerging Market Debt Fund


67

Total Net

Fair Value Assets




Hong Kong (3.34%) (2014: 6.51%)

1,500,000 Hutchison Whampoa International 11 Ltd 4.625% 13/01/22 1,614,300 2.34650,000 Swire Pacific MTN Financing Ltd 4.500% 09/10/23 690,095 1.00

2,304,395 3.34

India (Nil) (2014: 1.04%)

Iraq (Nil) (2014: 1.74%)

Jamaica (Nil) (2014: 2.11%)

Kazakhstan (Nil) (2014: 1.43%)

Mexico (18.11%) (2014: 21.82%)

1,650,000 Cemex SAB de CV 5.700% 11/01/25 1,377,750 2.00720,000 Credito Real SAB de CV 7.500% 13/03/19 (Reg S) 705,600 1.02694,000 Grupo Elektra SAB de CV 7.250% 06/08/18 612,455 0.89653,000 Grupo Famsa SAB de CV 7.250% 01/06/20 561,002 0.81

1,893,000 Grupo Posadas SAB de CV 7.875% 30/06/22 1,807,815 2.622,400,000 Grupo Televisa SAB 8.500% 11/03/32 2,912,616 4.22

100,000 Grupo Televisa SAB 6.625% 15/01/40 105,598 0.153,000,000 Mexichem SAB de CV 5.875% 17/09/44 2,512,500 3.641,564,000 Sixsigma Networks Mexico de CV 8.250% 07/11/21 1,493,620 2.16

713,000 TV Azteca SAB de CV 7.625% 18/09/20 412,648 0.6012,501,604 18.11

Oman (2.27%) (2014: Nil)

1,775,000 Lamar Funding Ltd 3.958% 07/05/25 1,575,313 2.27

Peru (2.16%) (2014: 3.49%)

850,000 Camposol SA 9.875% 02/02/17 (Reg S) 629,000 0.91360,000 Camposol SA 9.875% 02/02/17 (144 A) 266,400 0.39700,000 Southern Copper Corp 6.750% 16/04/40 595,650 0.86

1,491,050 2.16

Qatar (2.45%) (2014: 3.07%)

1,225,000 Ooredoo International Finance Ltd 3.250% 21/02/23 1,191,925 1.73525,000 Ooredoo International Finance Ltd 3.875% 31/01/28 497,438 0.72

1,689,363 2.45


575,000 Gazprom OAO Via Gaz Capital SA 9.250% 23/04/19 641,125 0.93400,000 MMC Norilsk Nickel OJSC via MMC Finance Ltd 5.550% 28/10/20 (144 A) 396,000 0.58

2,290,000 MMC Norilsk Nickel OJSC via MMC Finance Ltd 5.550% 28/10/20 (Reg S) 2,267,100 3.282,575,000 TMK OAO Via TMK Capital SA 6.750% 03/04/20 2,426,938 3.51

5,731,163 8.30

Singapore (2.76%) (2014: 1.71%)

1,940,000 Puma International Financing SA 6.750% 01/02/21 1,904,139 2.76

South Africa (4.07%) (2014: 2.09%)

775,000 Gold Fields Orogen Holdings BVI Ltd 4.875% 07/10/20 (144 A) 577,375 0.842,375,000 Gold Fields Orogen Holdings BVI Ltd 4.875% 07/10/20 (Reg S) 1,769,375 2.56

486,000 Myriad International Holdings BV 5.500% 21/07/25 466,560 0.672,813,310 4.07



68

Total Net

Fair Value Assets




Trinidad and Tobago (1.33%) (2014: 1.81%)

925,000 Columbus International Inc 7.375% 30/03/21 919,219 1.33

Turkey (3.70%) (2014: 3.31%)

750,000 Akbank TAS 5.000% 24/10/22 721,875 1.05940,000 Albaraka Turk Katilim Bankasi AS 6.250% 30/06/19 932,216 1.34950,000 KOC Holding AS 3.500% 24/04/20 902,500 1.31

2,556,591 3.70

Ukraine (1.34%) (2014: 0.89%)

1,890,000 Ukrlandfarming PLC 10.875% 26/03/18 926,100 1.34

United Arab Emirates (2.93%) (2014: 2.39%)

700,000 DP World Ltd 3.250% 18/05/20 693,875 1.001,360,000 DP World Ltd 6.850% 02/07/37 1,329,400 1.93

2,023,275 2.93

Uruguay (0.04%) (2014: Nil)

41,000 Navios South American Logistics Inc 7.250% 01/05/22 26,855 0.04

Venezuela (Nil) (2014: 0.90%)

–––––––––––– ––––––––Total Fixed Income 65,640,144 95.07

–––––––––––– ––––––––

Total Net

Fair Value Assets

Number of Shares Description US$ %

Equities (0.02%) (2014: 0.09%)

Czech Republic (0.02%) (2014: 0.09%)

5,531,742 New World Resources PLC 16,310 0.02

–––––––––––– ––––––––Total Equities 16,310 0.02

–––––––––––– ––––––––

Total Net

Fair Value Assets

Number of Notes Description US$ %

Loan Notes (0.11%) (2014: 0.08%)

Czech Republic (0.11%) (2014: 0.08%)

75,695 New World Credit Facilty 0.000% 07/10/16* 77,334 0.11

–––––––––––– ––––––––Total Loan Notes 77,334 0.11


–––––––––––– ––––––––Total Investments excluding Financial Derivative Instruments (95.20%) 65,733,788 95.20

–––––––––––– ––––––––



69

Notional Average Unrealised Total Net

Amount Cost Price Number of Gain (Loss) Assets

US$ US$ Contracts US$ %

Financial Derivative Instruments ((0.18)%) (2014: 0.03 %)

Open Futures Contracts ((0.05)%) (2014: (0.15)%)

US Bond Futures ContractsShort Futures Contracts

(6,607,219) (153.66) (43) Expiring March 2016 (4,031) (0.01)5 Year US Treasury NoteShort Futures Contracts

(1,424,250) (118.69) (12) Expiring March 2016 4,406 0.0110 Year US Treasury NoteLong Futures Contracts

9,225,437 126.38 73 Expiring March 2016 (34,281) (0.05)–––––––––––– ––––––––

Unrealised gain on open futures contracts 4,406 0.01Unrealised loss on open futures contracts (38,312) (0.06)

–––––––––––– ––––––––Net unrealised loss on open futures contracts (33,906) (0.05)

–––––––––––– ––––––––

Open Forward Foreign Currency Exchange Contracts ((0.13)%) (2014: 0.18%)

Unrealised Total Net

Settlement Amount Amount Gain (Loss) Assets

Date Bought Sold US$ %

29/01/2016 EUR 76,177 USD 83,671 (837) 0.0029/01/2016 EUR 2,265,666 USD 2,489,367 (25,690) (0.04)04/01/2016 GBP 8,477 USD 12,655 (159) 0.0029/01/2016 GBP 4,616,697 USD 6,871,515 (65,115) (0.09)29/01/2016 SEK 125,209 USD 14,984 (141) 0.0029/01/2016 SEK 268,145 USD 32,089 (301) 0.0029/01/2016 SEK 2,333,241 USD 279,074 (2,475) 0.0029/01/2016 SEK 2,334,597 USD 279,236 (2,476) 0.0029/01/2016 USD 109,381 GBP 73,496 1,026 0.0029/01/2016 USD 12,659 GBP 8,477 161 0.00

–––––––––––– ––––––––Unrealised gain on open forward foreign currency exchange contracts 1,187 0.00Unrealised loss on open forward foreign currency exchange contracts (97,194) (0.13)

–––––––––––– ––––––––Net unrealised loss on open forward foreign currency exchange contracts (96,007) (0.13)

–––––––––––– ––––––––Total Financial Derivative Instruments (129,913) (0.18)

–––––––––––– ––––––––

Total Net

Fair Value Assets

US$ %

Total Investments (95.02%) (2014: 96.09%) 65,603,875 95.02

Cash and cash equivalents (3.16%) (2014: 6.34%) 2,184,979 3.16Other Net Assets (1.82%) (2014: (2.43)%) 1,256,901 1.82

–––––––––––– ––––––––Net Assets (100%) 69,045,755 100.00

–––––––––––– –––––––––––––––––––– ––––––––

Classification

*Unlisted securityAll transferable securities are admitted to an official stock exchange listing or traded on a regulated market unless otherwisestated.



70


Transferable securities admitted to official stock exchange listing 62.27Transferable securities dealt in on another regulated market 32.47Other transferable securities of the type referred to in Regulation 68 (1)(a), (b) and (c) 0.11OTC financial derivative instruments 0.00Exchange traded financial derivative instruments 0.01Other current assets 5.14

––––––––Total 100.00

––––––––––––––––

The broker for the open futures contracts is Citigroup Global Markets Inc.The counterparty for forward foreign currency exchange contracts is State Street Bank and Trust Company.



71

Gramercy Investment Funds plcGramercy High Yield Corporate Emerging Market Debt Fund


Total Net

Fair Value Assets



Fixed Income (93.41%) (2014: 95.11%)

Argentina (12.89%) (2014: 9.96%)

3,631,278 Argentine Republic Government International Bond 8.280% 31/12/33 4,166,892 5.361,552,917 Cia Latinoamericana de Infraestructura & Servicios SA 9.950% 09/06/21 1,603,581 2.06

862,000 Cia Latinoamericana de Infraestructura & Servicios SA 11.500% 15/10/19 831,830 1.072,530,166 Mastellone Hermanos SA 12.625% 03/07/21 2,694,627 3.47

750,000 YPF SA 8.750% 04/04/24 726,563 0.9310,023,493 12.89

Brazil (10.50%) (2014: 11.47%)

5,385,000 Cosan Luxembourg SA 9.500% 14/03/18 1,084,345 1.391,425,000 Marfrig Holding Europe BV 6.875% 24/06/19 1,278,937 1.652,470,000 Odebrecht Finance 5.250% 27/06/29 1,191,775 1.533,016,000 Odebrecht Finance Ltd 7.125% 26/06/42 1,517,651 1.95

900,000 QGOG Constellation SA 6.250% 09/11/19 398,250 0.514,642,400 Tonon Bioenergia 7.250% 24/01/20 (Regs) 696,360 0.902,710,000 Tonon Bioenergia SA 10.500% 14/05/24 1,355,000 1.74

775,000 Tonon Bioenergia SA 10.500% 14/05/24 (144 A) 387,500 0.50371,000 Vale Overseas Ltd 6.875% 21/11/36 259,871 0.33

8,169,689 10.50

Chile (2.46%) (2014: 0.90%)

575,000 GeoPark Latin America Ltd Agencia en Chile 7.500% 11/02/20 399,050 0.511,642,000 VTR Finance BV 6.875% 15/01/24 1,518,850 1.95

1,917,900 2.46

China (4.86%) (2014: 7.80%)

225,000 BCP Singapore VI Cayman Financing Co Ltd 8.000% 15/04/21 (Reg S) 180,000 0.241,120,000 BCP Singapore VI Cayman Financing Ltd 8.000% 15/04/21 (144 A) 896,000 1.152,090,000 Country Garden Holdings Co Ltd 7.250% 04/04/21 2,163,150 2.781,250,000 MIE Holdings Corp 7.500% 25/04/19 533,745 0.69

3,772,895 4.86

Colombia (3.11%) (2014: 0.98%)

2,075,000 Millicom International Cellular SA 6.625% 15/10/21 1,923,525 2.481,120,000 Pacific Rubiales Energy Corp 5.125% 28/03/23 212,800 0.28

945,000 Pacific Rubiales Energy Corp 5.625% 19/01/25 (144 A) 179,550 0.23470,000 Pacific Rubiales Energy Corp 5.625% 19/01/25 (Reg S) 89,300 0.12

2,405,175 3.11

Congo (3.42%) (2014: 2.81%)

1,813,000 Banro Corp 10.000% 01/03/17 (144 A) 1,409,625 1.811,614,000 Banro Corp 10.000% 01/03/17 (Reg S) 1,254,901 1.61

2,664,526 3.42

Czech Republic (0.57%) (2014: 3.68%)

3,087,233 New World Resources NV 8.000% 07/04/20 407,883 0.531,148,325 New World Resources NV 4.000% 07/10/20 34,818 0.04

442,701 0.57

72



Total Net

Fair Value Assets




Ghana (2.22%) (2014: 2.12%)

350,000 Consolidated Minerals Ltd 8.000% 15/05/20 (144 A) 175,000 0.233,100,000 Consolidated Minerals Ltd 8.000% 15/05/20 (Reg S) 1,550,000 1.99

1,725,000 2.22

Hong Kong (1.64%) (2014: 1.46%)

1,250,000 Nexteer Automotive Group Ltd 5.875% 15/11/21 1,271,875 1.64

India (Nil) (2014: 1.57%)

Iraq (Nil) (2014: 1.97%)

Jamaica (3.86%) (2014: 4.63%)

200,000 Digicel Ltd 6.750% 01/03/23 166,500 0.221,200,000 Digicel Group Ltd 8.250% 30/09/20 990,000 1.272,175,000 Digicel Ltd 6.000% 15/04/21 1,837,875 2.37

2,994,375 3.86

Kazakhstan (1.68%) (2014: 1.17%)

1,325,000 Kazakhstan Government International Bond 5.125% 21/07/25 1,309,763 1.68

Mexico (16.20%) (2014: 20.61%)

925,000 Axtel SAB de CV 7.000% 31/01/20 963,156 1.241,300,000 Cemex SAB de CV 5.700% 11/01/25 1,085,500 1.401,200,000 Cemex Finance LLC 9.375% 12/10/22 1,274,700 1.641,290,000 Credito Real SAB de CV 7.500% 13/03/19 1,264,200 1.631,435,000 Grupo Elektra Sab De CV 7.250% 06/08/18 1,266,388 1.63

704,000 Grupo Famsa SAB de CV 7.250% 01/06/20 604,816 0.782,325,000 Grupo Posadas SAB de CV 7.875% 30/06/22 2,220,375 2.851,725,000 Mexichem SAB de CV 5.875% 17/09/44 1,444,688 1.851,577,000 Sixsigma Networks Mexico SA de CV 8.250% 07/11/21 1,506,035 1.941,670,000 TV Azteca SAB de CV 7.625% 18/09/20 966,513 1.24

12,596,371 16.20

Nigeria (1.11%) (2014: Nil)

1,100,000 Helios Towers Finance Netherlands 8.375% 15/07/19 862,263 1.11

Peru (1.17%) (2014: 3.26%)

430,000 Camposol SA 9.875% 02/02/17 318,200 0.41675,000 Nyrstar Netherlands Holdings BV 8.500% 15/09/19 594,238 0.76

912,438 1.17


1,725,000 Alfa Bank AO Via Alfa Bond Issuance 7.750% 28/04/21 1,802,625 2.321,500,000 Credit Bank of Moscow Via CBOM Finance 7.700% 01/02/18 1,507,500 1.941,000,000 Gazprom OAO Via Gaz Capital SA 9.250% 23/04/19 1,115,000 1.431,120,000 Koks OAO Via Koks Finance 10.750% 28/12/18 988,171 1.27

586,000 Metalloinvest Finance 5.625% 17/04/20 561,828 0.721,975,000 MMC Norilsk Nickel OJSC via MMC Finance 6.625% 14/10/22 2,019,438 2.603,300,000 TMK OAO Via TMK Capital SA 6.750% 03/04/20 3,110,250 4.002,025,000 VTB Bank OJSC Via VTB Capital 6.950% 17/10/22 1,923,750 2.47

13,028,562 16.75

73

Total Net

Fair Value Assets




South Africa (2.78%) (2014: 3.15%)

2,900,000 Gold Fields Orogen Holdings BVI Ltd 4.875% 07/10/20 2,160,500 2.78

Singapore (2.94%) (2014: 3.95%)

2,325,000 Puma International Financing SA 6.750% 01/02/21 2,282,022 2.94

United Kingdom (Nil) (2014: 1.09%)

Trinidad and Tobago (0.80%) (2014: 1.53%)

625,000 Columbus International Inc 7.375% 30/03/21 621,094 0.80

Turkey (0.98%) (2014: Nil)

775,000 Turkiye Is Bankasi 6.000% 24/10/22 758,531 0.98

Ukraine (1.79%) (2014: 1.54%)

2,439,000 Ukrlandfarming PLC 10.875% 26/03/18 (Reg S) 1,195,110 1.54400,000 Ukrlandfarming PLC 10.875% 26/03/18 (144 A) 196,000 0.25

1,391,110 1.79

Uruguay (1.15%) (2014: Nil)

480,000 Navios South American Logistics Inc 7.250% 01/05/22 (144 A) 314,400 0.40881,000 Navios South American Logistics Inc 7.250% 01/05/22 (Reg S) 577,055 0.75

891,455 1.15

Venezuela (0.53%) (2014: 1.59%)

1,100,000 Venezuela Government International Bond 6.000% 09/12/20 409,750 0.53


–––––––––––– ––––––––

Total Net

Fair Value Assets


Equities (0.08%) (2014: 0.48%)

Czech Republic (0.08%) (2014: 0.48%)

21,322,335 New World Resources PLC 62,867 0.08

–––––––––––– ––––––––Total Equities 62,867 0.08

–––––––––––– ––––––––

Total Net

Fair Value Assets



Loan Notes (0.38%) (2014: 0.44%)

Czech Republic (0.38%) (2014: 0.44%)

291,770 New World Credit Facility 0.000% 07/10/16* 298,088 0.38

–––––––––––– ––––––––Total Loan Notes 298,088 0.38


–––––––––––– ––––––––Total Investments excluding Financial Derivative Instruments 72,972,443 93.87

–––––––––––– ––––––––



74


Amount Cost Price Number of Loss Assets

US$ US$ Contracts US$ %

Financial Derivative Instruments (0.20)%) (2014: (0.14)%)


10 Year US Treasury NoteLong Futures Contracts

7,455,977 126.37 59 Expiring March 2016 (27,508) (0.04)US Bond Futures ContractsShort Futures Contracts

(2,151,188) (153.66) (14) Expiring March 2015 (1,312 ) (0.00)–––––––––––– ––––––––

Unrealised loss on open futures contracts (28,820) (0.04)


–––––––––––– ––––––––

Open Forward Foreign Currency Exchange Contracts ((0.16)%) (2014: (0.05)%)

Unrealised Total Net

Settlement Amount Amount Loss Assets

Date Bought Sold US$ %

29/01/2016 EUR 10,636,681 USD 11,686,894 (120,610) (0.16)29/01/2016 EUR 363,088 USD 398,810 (3,990) (0.00)

–––––––––––– ––––––––Net unrealised loss on open forward foreign currency exchange contracts (124,600) (0.16)


–––––––––––– ––––––––

Total Net

Fair Value Assets

US$ %

Total Investments (93.67%) (2014: 95.89%) 72,819,023 93.67Cash and cash equivalents (4.55%) (2014: 3.19%) 3,537,061 4.55Other Net Assets (1.78%) (2014: 0.92%) 1,383,966 1.78

–––––––––––– ––––––––Net Assets (100.00%) 77,740,050 100.00

–––––––––––– –––––––––––––––––––– ––––––––

Classification



Transferable securities admitted to official stock exchange listing 61.44Transferable securities dealt in on another regulated market 31.47Other transferable securities of the type referred to in Regulation 68 (1)(a), (b) and (c) 0.38Other current assets 6.71

––––––––Total 100.00

––––––––––––––––

The broker for the open futures contracts is Citigroup Global Markets Inc.

The counterparty for the open forward foreign currency exchange contracts is State Street Bank and Trust Company.



75

Gramercy Investment Funds plcGramercy Total Return Allocator Emerging Market Debt Fund


Total Net

Fair Value Assets



Fixed Income (93.98%) (2014: 92.19%)

Argentina (9.45%) (2014: 12.09%)

5,536,648 Argentine Republic Government International Bond 8.280% 31/12/33 6,353,304 5.21750,000 Cia Latinoamericana de Infraestructura & Servicios SA 11.500% 15/10/19 723,750 0.59

4,183,717 Mastellone Hermanos SA 12.625% 03/07/21 4,455,658 3.6511,532,712 9.45

Brazil (11.06%) (2014: 16.91%)

6,000,000 Brazil Notas do Tesouro Nacional Serie F 10.000% 01/01/17 1,442,141 1.186,340,000 Cosan Luxembourg SA 9.500% 14/03/18 1,276,648 1.052,085,000 Marfrig Holding Europe BV 6.875% 24/06/19 1,871,287 1.532,375,000 Odebrecht Finance Ltd 8.250% 25/04/18 322,670 0.267,530,000 Odebrecht Finance Ltd 7.125% 26/06/42 3,789,096 3.111,070,000 QGOG Constellation SA 6.250% 09/11/19 (144 A) 473,475 0.39

530,000 QGOG Constellation SA 6.250% 09/11/19 (Reg S) 234,525 0.197,309,707 Tonon Bioenergia SA 7.250% 24/01/20 1,096,456 0.90

825,000 Tonon Bioenergia SA 10.500% 14/05/24 (144 A) 412,500 0.342,898,000 Tonon Bioenergia SA 10.500% 14/05/24 (Reg S) 1,449,000 1.191,596,000 Vale Overseas Ltd 6.875% 21/11/36 1,117,934 0.92

13,485,732 11.06

China (3.30%) (2014: 2.73%)

1,371,000 BCP Singapore VI Cayman Financing Co Ltd 8.000% 15/04/21 1,096,800 0.902,825,000 Country Garden Holdings Co Ltd 7.250% 04/04/21 2,923,875 2.40

4,020,675 3.30

Chile (2.02%) (2014: Nil)

690,000 GeoPark Latin America Ltd Agencia en Chile 7.500% 11/02/20 478,860 0.392,150,000 VTR Finance BV 6.875% 15/01/24 1,988,750 1.63

2,467,610 2.02

Colombia (2.01%) (2014: 0.96%)

2,190,000,000 Colombia Government International Bond 7.750% 14/04/21 702,690 0.58840,000 Colombia Government International Bond 4.500% 28/01/26 808,500 0.66

560,000,000 Colombia Government International Bond 9.850% 28/06/27 201,590 0.161,230,000 Pacific Rubiales Energy Corp 5.125% 28/03/23 233,700 0.191,410,000 Pacific Rubiales Energy Corp 5.625% 19/01/25 (144 A) 267,900 0.221,235,000 Pacific Rubiales Energy Corp 5.625% 19/01/25 (Reg S) 234,650 0.20

2,449,030 2.01

Congo (4.63%) (2014: 1.44%)

1,602,000 Banro Corp 10.000% 01/03/17 (144 A) 1,245,571 1.025,662,000 Banro Corp 10.000% 01/03/17 (Reg S) 4,402,262 3.61

5,647,833 4.63

Costa Rica (Nil) (2014: 1.07%)

Czech Republic (0.58%) (2014: 2.88%)

986,603 New World Resources NV 8.000% 07/04/20 (144 A) 130,349 0.114,022,867 New World Resources NV 8.000% 07/04/20 (Reg S) 531,499 0.431,496,343 New World Resources NV 4.000% 07/10/20 45,370 0.04

707,218 0.58

Dominican Republic (5.82%) (2014: Nil)

4,500,000 Dominican Republic International Bond 7.500% 06/05/21 4,826,250 3.962,350,000 Dominican Republic International Bond 5.500% 27/01/25 2,267,750 1.86

7,094,000 5.82

76



Total Net

Fair Value Assets




Egypt (1.91%) (2014: Nil)

2,700,000 Egypt Government International Bond 5.875% 11/06/25 2,331,450 1.91

Ghana (2.83%) (2014: 2.00%)

200,000 Consolidated Minerals Ltd 8.000% 15/05/20 (144 A) 100,000 0.086,700,000 Consolidated Minerals Ltd 8.000% 15/05/20 (Reg S) 3,350,000 2.75

3,450,000 2.83

Guatemala (0.67%) (2014: Nil)

850,000 Guatemala Government Bond 4.875% 13/02/28 811,750 0.67

Hong Kong (Nil) (2014: 2.05%)

Iraq (Nil) (2014: 1.66%)

Kazakhstan (Nil) (2014: 0.60%)

Malaysia (3.09%) (2014: Nil)

16,225,000 Malaysia Government Bond 4.392% 15/04/26 3,769,426 3.09

Mexico (20.26%) (2014: 19.63%)

1,475,000 Axtel SAB de CV 7.000% 31/01/20 1,535,844 1.261,177,000 Grupo Famsa SAB de CV 7.250% 01/06/20 1,011,178 0.832,682,000 Grupo Posadas SAB de CV 7.875% 30/06/22 2,561,310 2.10

25,500,000 Mexican Bonos 4.750% 14/06/18 1,487,580 1.2252,000,000 Mexican Bonos 8.000% 11/06/20 3,322,696 2.7214,000,000 Mexican Bonos 6.500% 10/06/21 841,324 0.6958,600,000 Mexican Bonos 10.000% 05/12/24 4,310,549 3.5413,000,000 Mexican Bonos 10.000% 20/11/36 1,010,122 0.834,225,000 Mexichem SAB de CV 5.875% 17/09/44 3,538,438 2.902,859,000 Sixsigma Networks Mexico SA de CV 8.250% 07/11/21 2,730,345 2.241,700,000 Southern Copper Corp 5.875% 23/04/45 1,282,956 1.051,855,000 TV Azteca SAB de CV 7.625% 18/09/20 1,073,581 0.88

24,705,923 20.26

Nigeria (0.96%) (2014: Nil)

1,490,000 Helios Towers Finance Netherlands BV 8.375% 15/07/19 1,167,974 0.96

Peru (1.34%) (2014: 8.38%)

1,665,000 Camposol SA 9.875% 02/02/17 (144 A) 1,232,100 1.01140,000 Camposol SA 9.875% 02/02/17 (Reg S) 103,600 0.09325,000 Nyrstar Netherlands Holdings BV 8.500% 15/09/19 286,115 0.24

1,621,815 1.34


1,300,000 Credit Bank of Moscow Via CBOM Finance PLC 7.700% 01/02/18 1,306,500 1.071,200,000 Gazprom OAO Via Gaz Capital SA 9.250% 23/04/19 1,338,000 1.103,173,000 Koks OAO Via Koks Finance Ltd 10.750% 28/12/18 2,799,525 2.30

77

Total Net

Fair Value Assets




Russian Federation (14.96%) (2014: 7.99%) (continued)

1,189,000 Metalloinvest Finance Ltd 5.625% 17/04/20 1,139,954 0.931,250,000 MMC Norilsk Nickel OJSC via MMC Finance Ltd 6.625% 14/10/22 1,278,125 1.05

294,300,000 Russian Federal Bond - OFZ 7.500% 27/02/19 3,780,626 3.101,200,000 Russian Foreign Bond - Eurobond 5.625% 04/04/42 1,135,500 0.932,075,000 Russian Foreign Bond - Eurobond 11.000% 24/07/18 2,424,638 1.992,100,000 TMK OAO Via TMK Capital SA 6.750% 03/04/20 1,979,250 1.621,125,000 VTB Bank OJSC Via VTB Capital SA 6.950% 17/10/22 1,068,750 0.87

18,250,868 14.96

South Africa (4.40%) (2014: 5.30%)

3,940,000 Gold Fields Orogen Holdings BVI Ltd 4.875% 07/10/20 2,935,300 2.41205,000 Gold Fields Orogen Holdings BVI Ltd 4.875% 07/10/20 152,725 0.12

1,159,000 Myriad International Holdings BV 5.500% 21/07/25 1,112,640 0.911,150,000 South Africa Government International Bond 5.875% 16/09/25 1,175,300 0.96

5,375,965 4.40

Trinidad And Tobago (Nil) (2014: 1.75%)

Turkey (Nil) (2014: 1.90%)

Ukraine (2.31%) (2014: 1.37%)

5,746,000 Ukrlandfarming PLC 10.875% 26/03/18 2,815,540 2.31

United Arab Emirates (0.46%) (2014:Nil)

570,000 DP World Ltd 6.850% 02/07/37 557,175 0.46

Uruguay (1.46%) (2014: Nil)

883,000 Navios South American Logistics Inc 7.250% 01/05/22 (144 A) 578,365 0.481,829,000 Navios South American Logistics Inc 7.250% 01/05/22 (Reg S) 1,197,995 0.98

1,776,360 1.46

Venezuela (0.46%) (2014: 1.48%)

1,510,000 Venezuela Government International Bond 6.000% 09/12/20 562,475 0.46


–––––––––––– ––––––––

Total Net

Fair Value Assets


Equities (0.06%) (2014: 0.31%)

Czech Republic (0.06%) (2014: 0.31%)

27,784,424 New World Resources PLC 81,920 0.06–––––––––––– ––––––––

Total Equities 81,920 0.06

–––––––––––– ––––––––



78

Total Net

Fair Value Assets


Financial Derivative Instruments ((0.01)%) (2014: (0.04)%)


Loan Notes (0.32%) (2014: 0.29%)

Czech Republic (0.32%) (2014:0.29%)

380,195 New World Credit Facility 0.000% 07/10/16* 388,427 0.32–––––––––––– ––––––––

Total Loan Notes 388,427 0.32–––––––––––– ––––––––

Total Transferable Securities 115,071,878 94.36–––––––––––– ––––––––

Total Investments excluding Financial Derivative Instruments 115,071,878 94.36–––––––––––– ––––––––


Amount Cost Price Number of Gain/Loss AssetsUS$ US$ Contracts US$ %

10 Year US Treasury NoteLong Futures Contracts

4,802,547 126.38 38 Expiring March 2016 (18,109) (0.01)US Bond Futures ContractsLong Futures Contracts

2,766,094 153.67 18 Expiring March 2016 1,406 0.00–––––––––––– ––––––––

Unrealised loss on open futures contracts (18,109) (0.01)Unrealised gain on open futures contracts 1,406 (0.00)



–––––––––––– ––––––––

Total Net

Fair Value AssetsUS$ %

Total Investments (94.35%) (2014: 92.75%) 115,055,175 94.35Cash and cash equivalents (3.75%) (2014: 5.14%) 4,576,565 3.75Other Net Assets (1.90%) (2014: 2.11%) 2,312,828 1.90

–––––––––––– ––––––––Net Assets (100.00%) 121,944,568 100.00

–––––––––––– –––––––––––––––––––– ––––––––Classification

*Unlisted security



Transferable securities admitted to official stock exchange listing 69.05Transferable securities dealt in on another regulated market 24.76Other transferable securities of the type referred to in Regulation 68 (1)(a), (b) and (c) 0.32Exchange traded financial derivative instruments 0.00Other current assets 5.87

––––––––Total 100.00

––––––––––––––––

The broker for the open futures contracts is Citigroup Global Markets Inc.



79

Listed below are the largest cumulative investment purchases and sales during the year ended 31 December 2015 in excessof 1% of total purchases and in excess of 1% of total sales.

Purchases

Cost

US$

Colombia Government International Bond 12.000% due 22/10/15 3,185,757Colombia Government International Bond 7.750% due 14/04/21 2,012,932Colombia Government International Bond 9.850% due 28/06/27 1,852,804Russian Federal Bond - OFZ 7.500% due 27/02/19 1,482,397Poland Government Bond 5.250% due 25/10/17 1,360,552South Africa Government Bond 8.000% due 31/01/30 1,104,000Malaysia Government Bond 4.160% due 15/07/21 1,079,603South Africa Government Bond 8.250% due 15/09/17 1,072,254Brazil Notas do Tesouro Nacional Serie F 10.000% due 01/01/17 903,683Turkey Government Bond 9.000% due 08/03/17 890,092Argentine Republic Government International Bond 8.750% due 07/05/24 858,000Mexican Bonos 8.500% due 13/12/18 850,909Argentine Republic Government International Bond 8.280% due 31/12/33 829,113Hungary Government Bond 6.500% due 24/06/19 815,598Russian Federal Bond - OFZ 7.600% due 14/04/21 763,018Peruvian Government International Bond 6.950% due 12/08/31 719,278Brazil Notas do Tesouro Nacional Serie F 10.000% due 01/01/25 597,734Mexican Bonos 10.000% due 05/12/24 511,284Poland Government Bond 5.750% due 25/10/21 424,765Hungary Government Bond 7.000% due 24/06/22 405,946Thailand Government Bond 3.450% due 08/03/19 353,190

Sales

Proceeds

US$

Argentine Republic Government International Bond 8.280% due 31/12/33 2,165,237Colombia Government International Bond 9.850% due 28/06/27 1,840,335Brazil Notas do Tesouro Nacional Serie F 10.000% due 01/01/17 1,437,386Peruvian Government International Bond 6.950% due 12/08/31 1,404,783Brazil Notas do Tesouro Nacional Serie F 10.000% due 01/01/23 1,048,337South Africa Government Bond 7.000% due 28/02/31 1,004,943Argentine Republic Government International Bond 8.750% due 07/05/24 888,036Mexican Bonos 10.000% due 05/12/24 866,094Turkey Government Bond 10.500% due 15/01/20 728,610South Africa Government Bond 8.000% due 31/01/30 328,989Peruvian Government International Bond 5.700% due 12/08/24 286,076Petroleos de Venezuela SA 8.500% due 02/11/17 22,490


Significant Changes In Portfolio Composition (unaudited)As at 31 December 2015

80


Purchases

Cost

US$

Grupo Posadas SAB de CV 7.875% due 30/06/22 5,680,088Republic of Argentina 8.280% due 31/12/33 4,868,100Odebrecht Finance Ltd 5.250% due 27/06/29 3,974,863Lamar Funding Ltd 3.958% due 07/05/25 3,782,288Agile Property Holdings Ltd 8.375% due 18/02/19 3,693,313Mexichem SAB de CV 5.875% due 17/09/44 3,477,250Provincia de Buenos Aires 11.750% due 05/10/15 3,246,125Empresas ICA SAB de CV 8.875% due 29/05/24 2,768,125Abu Dhabi National Energy Co PJSC 3.625% due 12/01/23 2,613,750Grupo Televisa SAB 8.500% due 11/03/32 2,606,560MMC Norilsk Nickel OJSC via MMC Finance Ltd 5.550% due 28/10/20 2,334,250Argentina Bonar Bonds 8.750% due 07/05/24 2,333,454Marfrig Holdings Europe BV 6.875% due 24/06/19 2,126,513Ooredoo International Finance Ltd 3.250% due 21/02/23 2,005,000City of Buenos Aires Argentina 8.950% due 19/02/21 2,000,000TMK OAO Via TMK Capital SA 6.750% due 03/04/20 1,780,125Banro Corp 10.000% due 01/03/17 1,708,028Tonon Luxembourg SA 10.500% due 14/05/24 1,692,995Cencosud SA 5.500% due 20/01/21 1,657,281Country Garden Holdings Co Ltd 7.250% due 04/04/21 1,490,000DP World Ltd 6.85% 02/07/37 1,347,000Bancolombia SA 5.95% 03/06/21 1,261,500Myriad International Holdings BV 5.500% 21/07/25 1,235,530Sinopec Group Overseas Development 2015 Ltd 3.250% 28/04/25 1,188,264YPF SA 8.500% 28/07/25 1,184,209Gold Fields Orogen Holdings BVI Ltd 4.875% 07/10/20 1,074,000Credito Real SAB de CV 7.500% 13/03/19 1,056,563Consolidated Minerals Ltd 8.00% 15/05/20 1,049,035Vale Overseas Ltd 6.875% 21/11/36 1,022,162Grupo Idesa SA de CV 7.875% 18/12/20 994,500Votorantim Cimentos SA 7.250% 05/04/41 952,750Braskem Finance Ltd 5.375% 02/05/22 910,663



81


Sales

Proceeds

US$

Provincia de Buenos Aires 9.950% due 09/06/21 5,844,288Republic of Argentina 8.280% due 31/12/33 5,456,522Cemex SAB de CV 5.700% due 11/01/25 3,955,000Agile Property Holdings Ltd 8.375% due 18/02/19 3,733,340Grupo Posadas SAB de CV 7.875% due 30/06/22 3,563,375Marfrig Holdings Europe BV 6.875% due 24/06/19 3,509,975Noble Group Ltd 6.750% due 29/01/20 3,161,250Sinochem Overseas Capital Co Ltd 4.500% due 12/11/20 3,114,315Votorantim Cimentos SA 7.250% due 05/04/41 2,793,455Abu Dhabi National Energy Co PJSC 3.625% due 12/01/23 2,613,750Nyrstar Netherlands Holdings BV 8.500% due 15/09/19 2,530,426Vale Overseas Ltd 6.875% due 21/11/36 2,460,695Digicel Ltd 6.000% due 15/04/21 2,366,500Argentina Bonar Bonds 8.750% due 07/05/24 2,357,531DP World Ltd 6.850% due 02/07/37 2,331,250TV Azteca SAB de CV 7.625% due 18/09/2020 2,261,380Country Garden Holdings Co Ltd 7.250% due 04/04/21 2,236,588Kazkommertsbank JSC 5.500% due 21/12/22 2,168,288Mexichem SAB de CV 5.875% due 17/09/44 2,104,063Southern Copper Corp 7.500% due 27/07/35 2,083,150Mobile Telesystems OJSC via MTS International Funding Ltd 8.625% due 22/06/20 2,082,615Genel Energy Finance PLC 7.500% due 14/05/2019 2,052,000City of Buenos Aires Argentina 8.950% due 19/02/2021 2,040,000Ooredoo International Finance Ltd 3.875% due 31/01/2028 1,927,000QNB Finance Ltd 2.875% due 29/04/2020 1,878,675Lamar Funding Ltd 3.958% due 07/05/25 1,873,750Empresas ICA SAB de CV 8.875% due 29/05/24 1,830,730Cia Latinoamericana de Infraestructura & Servicios SA 11.500% due 15/10/19 1,807,969Columbus International Inc 7.375% due 30/03/21 1,652,131ICICI Bank Ltd 6.375% due 30/04/22 1,621,451Mastellone Hermanos SA 12.625% due 03/07/21 1,593,123Grupo Televisa SAB 6.625% due 15/01/40 1,586,466Bancolombia SA 5.950% due 03/06/21 1,567,625Gazprom OAO Via Gaz Capital SA 9.250% due 23/04/19 1,535,150Gold Fields Orogen Holdings BVI Ltd 4.875% due 07/10/20 1,466,625Nexteer Automotive Group Ltd 5.875% due 15/11/21 1,396,875Grupo Idesa SA de CV 7.875% due 18/12/20 1,294,475Credito Real SAB de CV 7.500% due 13/03/19 1,271,250YPF SA 8.500% due 28/07/25 1,205,158Sixsigma Networks Mexico SA de CV 8.250% due 07/11/21 1,169,250


Significant Changes In Portfolio Composition (unaudited) (continued)As at 31 December 2015

82


Purchases

Cost

US$

Argentine Republic Government International Bond 8.280% due 31/12/33 3,890,315Grupo Posadas SAB de CV 7.875% due 30/06/22 3,422,321TMK OAO Via TMK Capital SA 6.750% due 03/04/20 2,902,625Millicom International Cellular SA 6.625% due 15/10/21 2,040,313MMC Norilsk Nickel OJSC via MMC Finance Ltd 6.625% due 14/10/22 2,010,513VTB Bank OJSC Via VTB Capital SA 6.950% due 17/10/22 1,952,116Odebrecht Finance Ltd 7.125% due 26/06/42 1,936,086Odebrecht Finance Ltd 5.250% due 27/06/2029 1,809,213Alfa Bank OJSC Via Alfa Bond Issuance PLC 7.750% due 28/04/21 1,807,375Argentine Republic Government International Bond 7.000% due 17/04/17 1,735,200Argentine Republic Government International Bond 8.750% due 07/05/24 1,709,130VTR Finance BV 6.875% due 15/01/24 1,573,405Credit Bank of Moscow Via CBOM Finance PLC 7.700% due 01/02/18 1,511,250Tonon Luxembourg SA 10.500% due 14/05/24 1,426,750Agile Property Holdings Ltd 8.375% due 18/02/19 1,327,500Kazakhstan Government International Bond 5.125% due 21/07/25 1,319,700Helios Towers Finance Netherlands BV 8.375% due 15/07/19 1,144,088Gazprom OAO Via Gaz Capital SA 9.250% due 23/04/19 1,107,500Argentine Republic Government International Bond 7.000% 03/10/15 1,057,800Country Garden Holdings Co Ltd 7.250% due 04/04/21 990,688Mexichem SAB de CV 5.875% due 17/09/44 927,313Axtel SAB de CV 9.000% due 31/01/20 925,463Koks OAO Via Koks Finance Ltd 7.750% due 23/06/16 905,425Navios South American Logistics Inc 7.250% due 01/05/22 811,645Chemours Co 7.000% due 15/05/25 802,375Turkiye Is Bankasi 6.000% due 24/10/22 766,281YPF SA 8.750% due 04/04/24 749,775Tonon Bioenergia SA 9.250% due 24/01/20 717,513Grupo Famsa SAB de CV 7.250% due 01/06/20 635,826Pacific Exploration and Production Corp 5.625% due 19/01/25 624,538Pacific Exploration and Production Corp 5.125% due 28/03/23 616,250Gold Fields Orogen Holdings BVI Ltd 4.875% due 07/10/20 595,000Metalloinvest Finance Ltd 5.625% due 17/04/20 535,458



83


Sales

Proceeds

US$

Argentine Republic Government International Bond 8.280% due 31/12/33 2,960,841Agile Property Holdings Ltd 8.375% due 18/02/19 2,337,043Argentine Republic Government International Bond 7.000% due 17/04/17 1,789,200Genel Energy Finance PLC 7.500% due 14/05/19 1,710,000Mobile Telesystems OJSC via MTS International Funding Ltd 8.625% due 22/06/20 1,708,803Argentine Republic Government International Bond 8.750% due 07/05/24 1,701,313TMK OAO Via TMK Capital SA 7.750% due 27/01/18 1,586,813Hyva Global BV 8.625% due 24/03/16 1,519,820Industrias Unidas SA de CV 11.500% due 15/11/16 1,468,750Bank Otkritie Financial Corp OJSC via OFCB Capital PLC 7.250% due 25/04/18 1,371,250Alfa Bank OJSC Via Alfa Bond Issuance PLC 7.875% due 25/09/17 1,318,530Grupo Idesa SA de CV 7.875% due 18/12/20 1,314,625Kazkommertsbank JSC 5.500% due 21/12/22 1,305,725Vedanta Resources PLC 8.250% due 07/06/21 1,258,750Country Garden Holdings Co Ltd 7.250% due 04/04/21 1,212,125Pesquera Exalmar S.A.A. 7.375% due 31/01/20 1,159,925Pacnet Ltd 9.000% due 12/12/18 1,137,500Argentine Republic Government International Bond 7.000% 03/10/15 1,099,188Oro Negro Drilling Pte Ltd 7.500% due 24/01/19 1,090,810Digicel Group Ltd 8.250% due 30/09/20 1,061,500Salamander Energy PLC 9.750% due 06/01/20 1,012,311Grupo Posadas SAB de CV 7.875% due 30/06/22 1,006,438Provincia de Buenos Aires 9.950% due 09/06/21 987,334Credit Bank of Moscow Via CBOM Finance PLC 8.700% due 13/11/18 922,713Pacific Exploration and Production Corp 5.625% due 19/01/25 899,125AngloGold Ashanti Holdings PLC 5.125% due 01/08/22 888,951Marfrig Holdings Europe BV 6.875% due 24/06/19 888,500Petroleos de Venezuela SA 8.500% due 02/11/17 879,703Cemex Finance LLC 9.375% due 12/10/22 818,625VTR Finance BV 6.875% due 15/01/24 770,625Cia Latinoamericana de Infraestructura & Servicios SA 11.500% due 15/10/19 763,613Columbus International Inc 7.375% due 30/03/21 680,869Mexichem SAB de CV 5.875% due 17/09/44 672,000Chemours Co 7.000% due 15/05/25 546,039Marfrig Holdings Europe BV 8.375% due 09/05/18 538,313General Shopping Finance Ltd 10.000% due 29/11/49 522,209Credito Real SAB de CV 7.5% due 13/03/19 503,125Empresas ICA SAB de CV 8.875% due 29/05/24 480,166



84


Purchases

Cost

US$

Odebrecht Finance Ltd 7.125% due 26/06/2042 6,785,306Dominican Republic International Bond 5.500% due 27/01/2025 6,493,938Dominican Republic International Bond 7.500% due 06/05/2021 6,176,500Grupo Posadas SAB de CV 7.875% due 30/06/2022 5,716,878Mexichem SAB de CV 5.875% due 17/09/2044 5,315,875Argentina Bonar Bonds 8.750% due 07/05/2024 5,302,520Malaysia Government Bond 4.392% due 15/04/2026 5,063,357Russian Federal Bond - OFZ 7.500% due 27/02/2019 5,008,834Colombia Government International Bond 12.000% due 22/10/2015 4,953,556Brazil Notas do Tesouro Nacional Serie F 10.000% due 01/01/2017 3,299,081Koks OAO Via Koks Finance Ltd 7.750% due 23/06/2016 3,141,554Republic of Argentina 8.280% due 31/12/2033 3,097,288Egypt Government International Bond 5.875% due 11/06/2025 2,972,100Turkey Government Bond 9.000% due 08/03/2017 2,782,602Country Garden Holdings Co Ltd 7.250% due 04/04/2021 2,754,800Mexican Bonos 10.000% due 05/12/2024 2,573,464Russian Foreign Bond - Eurobond 11.000% due 24/07/2018 2,505,563VTR Finance BV 6.875% due 15/01/2024 2,467,500Banro Corp 10.000% due 01/03/2017 1,969,444Costa Rica Government International Bond 7.158% due 12/03/2045 1,950,000Axtel SAB de CV 9.00% due 31/01/2020 1,825,913Ukraine Government International Bond 7.950% due 23/02/2021 1,763,125Navios South American Logistics Inc 7.250% due 01/05/2022 1,685,030Southern Copper Corp 5.875% due 23/04/2045 1,680,161Tonon Bioenergia SA 9.250% due 24/01/2020 1,585,888Consolidated Minerals Ltd 8.000% due 15/05/2020 1,561,875Ecuador Government International Bond 10.500% due 24/03/2020 1,371,076Grupo Famsa SAB de CV 7.250% due 01/06/2020 1,332,161Credit Bank of Moscow Via CBOM Finance PLC 7.700% due 01/02/2018 1,309,750MMC Norilsk Nickel OJSC via MMC Finance Ltd 6.625% due 14/10/2022 1,282,031Sri Lanka Government International Bond 6.850% due 03/11/2025 1,230,675



85


Sales

Proceeds

US$

Republic of Argentina 8.280% due 31/12/2033 7,489,196Russian Foreign Bond - Eurobond 7.500% due 31/03/2030 7,046,045Brazil Notas do Tesouro Nacional Serie F 10.000% due 01/01/2017 6,290,655Argentina Bonar Bonds 8.750% due 07/05/2024 5,308,784Peruvian Government International Bond 6.950% due 12/08/2031 4,689,224South Africa Government Bond 7.000% due 28/02/2031 4,348,462Dominican Republic International Bond 5.500% due 27/01/2025 4,131,588Provincia de Buenos Aires 9.950% due 09/06/2021 3,762,387Nexteer Automotive Group Ltd 5.875% due 15/11/2021 3,412,500National Gas Co of Trinidad & Tobago Ltd 6.050% due 15/01/2036 3,046,550Republic of Colombia 12.000% due 22/10/2015 2,988,081Genel Energy Finance PLC 7.500% due 14/05/2019 2,907,000Nyrstar Netherlands Holdings BV 8.500% due 15/09/2019 2,761,921Grupo Posadas SAB de CV 7.875% due 30/06/2022 2,737,500Peruvian Government International Bond 5.700% due 12/08/2024 2,720,902Turkey Government Bond 10.500% due 15/01/2020 2,717,519Industrias Unidas SA de CV 11.500% due 15/11/2016 2,687,500Turkey Government Bond 9.000% due 08/03/2017 2,665,075Marfrig Holdings Europe BV 6.875% due 24/06/2019 2,650,475Cemex SAB de CV 5.700% due 11/01/2025 2,608,650Brazil Notas do Tesouro Nacional Serie F 10.000% due 01/01/2021 2,379,812Odebrecht Finance Ltd 7.125% due 26/06/2042 2,174,750Lukoil International Finance BV 4.563% due 24/04/2023 2,137,500Mastellone Hermanos SA 12.625% due 03/07/2021 2,102,421Costa Rica Government International Bond 7.158% due 12/03/2045 2,020,200Cia Latinoamericana de Infraestructura & Servicios SA 11.500% due 15/10/2019 1,997,469Mexican Bonos 10.000% due 05/12/2024 1,961,184Bank Otkritie Financial Corp OJSC via OFCB Capital PLC 10.000% due 26/04/2019 1,912,500Petroleos de Venezuela SA 8.500% due 02/11/2017 1,860,860Hyva Global BV 8.625% due 24/03/2016 1,768,425Oro Negro Drilling Pte Ltd 7.500% due 24/01/2019 1,745,105Agile Property Holdings Ltd 8.375% due 18/02/2019 1,692,035TV Azteca SAB de CV 7.625% due 18/09/2020 1,691,913Credit Bank of Moscow Via CBOM Finance PLC 8.700% due 13/11/2018 1,661,100Vale Overseas Ltd 6.875% due 21/11/2036 1,638,473Kazkommertsbank JSC 5.500% due 21/12/2022 1,349,575Ecuador Government International Bond 10.500% due 24/03/2020 1,333,692Costa Rica Government International Bond 4.250% due 26/01/2023 1,332,375Pesquera Exalmar S.A.A. 7.375% due 31/01/2020 1,321,000



86

The Investment Manager is a registered advisor with the Securities and Exchange Commission. The information on the next fivepages is provided to facilitate the Investment Manager to make use of the audit exemption as prescribed in rule 206 (4)-2 ofthe US Investment Advisors Act 1940.

Financial Highlights for the financial year ended 31 December 2015 are as follows:

Gramercy Local Emerging Market Debt Fund Class I GBP£

Accumulating

Net asset value at beginning of year(1) 94.90

Decrease from investment operations

Net investment income(2) 5.78Net realised and unrealised (loss) on investments and foreign currency (15.36)

––––––––––––Total from investment operations (9.58)

––––––––––––Less distributions -

––––––––––––Net asset value at end of year 85.32

––––––––––––––––––––––––

Total Return(3) -10.09%Expense ratio(4) 0.00%Net Investment Income(4) 6.42%

Gramercy Corporate Emerging Market Debt Fund Class I GBP£ Class I SEK

Class I US$ Class I US$ Distributing Accumulating


Net asset value at beginning of year(1) 103.88 98.47 94.67 93.25


Net investment income(2) 6.91 6.38 6.13 5.88Net realised and unrealised (loss) on investments and foreign currency (14.14) (12.39) (11.97) (13.13)

–––––––––––– –––––––––––– –––––––––––– ––––––––––––Total from investment operations (7.23) (6.01) (5.84) (7.25)

–––––––––––– –––––––––––– –––––––––––– ––––––––––––Less distributions - (6.42) (4.94) -

–––––––––––– –––––––––––– –––––––––––– ––––––––––––Net asset value at end of year 96.65 86.04 83.89 86.00

–––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– ––––––––––––

Total Return(3) -6.96% -6.10% -6.17% -7.77%Expense ratio(4) 0.95% 0.95% 0.95% 1.10%Net Investment Income(4) 6.72% 6.82% 6.73% 6.65%


Appendix I – US GAAP Supplemental Information

87

Gramercy Corporate Emerging Market Debt Fund (continued) Class R SEK

Class I EUR€ Class (S) I US$ Class R US$ Accumulating

Accumulating* Accumulating Accumulating Hedged

Net asset value at beginning of year(1) 100.00 93.43 93.45 93.63


Net investment income(2) 6.15 6.09 5.62 5.55Net realised and unrealised (loss) on investments and foreign currency (7.46) (12.73) (12.69) (13.24)

–––––––––––– –––––––––––– –––––––––––– ––––––––––––Total from investment operations (1.31) (6.64) (7.07) (7.69)

–––––––––––– –––––––––––– –––––––––––– ––––––––––––Less distributions - - - -

–––––––––––– –––––––––––– –––––––––––– ––––––––––––Net asset value at end of year 98.69 86.79 86.38 85.94

–––––––––––– –––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– –––––––––––– ––––––––––––

Total Return(3) -1.31% -7.11% -7.57% -8.21%Expense ratio(4) 0.95% 1.10% 1.60% 1.60%Net Investment Income(4) 6.33% 6.63% 6.14% 6.12%

*Class launched 10 February 2015

Class R EUR€ Class (W) I

Accumulating US$

Hedged Accumulating*

Net asset value at beginning of year(1) 95.87 100.00


Net investment income(2) 5.78 5.67Net realised and unrealised (loss) on investments and foreign currency (13.40) (12.18)

–––––––––––– ––––––––––––Total from investment operations (7.62) (6.51)

–––––––––––– ––––––––––––Less distributions - -

–––––––––––– ––––––––––––Net asset value at end of year 88.25 93.49

–––––––––––– –––––––––––––––––––––––– ––––––––––––

Total Return(3) -7.95% -6.51%Expense ratio(4) 1.60% 0.20%Net Investment Income(4) 6.08% 7.33%

*Class launched 26 March 2015


Appendix I – US GAAP Supplemental Information (continued)

88


Class I EUR€ Class I EUR€

Class I US$ Accumulating Accumulating

Accumulating Hedged Unhedged*

Net asset value at beginning of year(1) 98.95 91.73 100.00


Net investment income(2) 8.92 8.23 5.42Net realised and unrealised (loss) on investments and foreign currency (16.13) (15.40) (11.73)

–––––––––––– –––––––––––– ––––––––––––Total from investment operations (7.21) (7.17) (6.31)

–––––––––––– –––––––––––– ––––––––––––Less distributions - - -

–––––––––––– –––––––––––– ––––––––––––Net asset value at end of year 91.74 84.56 93.69

–––––––––––– –––––––––––– –––––––––––––––––––––––– –––––––––––– ––––––––––––

Total Return(3) -7.29% -7.82% -6.31%Expense ratio(4) 1.15% 1.15% 1.15%Net Investment Income(4) 9.03% 9.04% 8.57%

*Class launched 13 May 2015


Class I GBP£ Class I US$

Accumulating Accumulating*

Net asset value at beginning of year(1) 100.63 94.42


Net investment income(2) 8.85 5.13Net realised and unrealised (loss) on investments and foreign currency (16.48) (13.35)

–––––––––––– ––––––––––––Total from investment operations (7.63) (8.22)

–––––––––––– ––––––––––––Less distributions - -

–––––––––––– ––––––––––––Net asset value at end of year 93.00 86.20

–––––––––––– –––––––––––––––––––––––– ––––––––––––

Total Return(3) -7.58% -8.71%Expense ratio(4) 0.95% 1.15%Net Investment Income(4) 9.00% 7.29%

*Class terminated on 7 October 2015. Net asset value is shown at termination date.

(1)The Net Asset Value at the beginning of the year for newly-launched Share Classes is 100.00 in the local currency of the respective Share Class.

(2)The net investment income per share ratio represents the expenses and net investment income divided by average monthly shares in issue during the year.

(3)The total return is calculated by dividing the change in the per share value for the year by the NAV per share at the beginning of the year. An individualshareholder’s return may vary from these returns based on different management fee and incentive fee arrangements (as applicable) and the timing of capitaltransactions. The total return of a Share Class is calculated before distributions, where applicable.

(4)Expenses, expense reimbursements, operating expenses after reimbursements and net investment income are annualised for Share Classes which launchedduring the year. The expense ratios for the Funds are shown after expense reimbursements to those Funds.



89

The following are the expense ratios, before expense reimbursement, on all Share Classes, where it applied during the year:


-Class I GBP£ Accumulating Share Class 0.44%


- Class I US$ Accumulating 1.24%- Class I US$ Distributing Share Class 1.25%- Class I GBP£ Distributing Hedged Share Class 1.24%- Class I SEK Accumulating Hedged Share Class 1.40%- Class I EUR€ Accumulating Share Class (launched 10 February 2015) 1.16%- Class (S) I US$ Accumulating Share Class 1.40%- Class R US$ Accumulating Share Class 1.90%- Class R SEK Accumulating Hedged Share Class 1.89%- Class R EUR€ Accumulating Hedged Share Class 1.89%- Class (W) I US$ Accumulating Share Class (launched 26 March 2015) 0.51%


- Class I US$ Accumulating 1.49%- Class I EUR€ Accumulating Hedged Share Class 1.59%- Class I EUR€ Accumulating Unhedged Share Class (launched 13 May 2015) 1.47%


- Class I GBP£ Accumulating Share Class 1.10%- Class I US$ Accumulating Share Class (terminated 7 October 2015) 1.30%

US GAAP Reconciliation

The Schedule for the year ended 31 December 2015


Shareholder’s

Loss equity

US$ US$

IFRS basis (6,815,957) 39,893,311–––––––––––– ––––––––––––

Differences between IFRS basis and USGAAP basis of Accounting:

a) Fair Value adjustment - -b) Taxation - -

–––––––––––– ––––––––––––- -

–––––––––––– ––––––––––––

–––––––––––– ––––––––––––US GAAP basis (6,815,957) 39,893,311

–––––––––––– ––––––––––––



US GAAP Reconciliation (continued)


Shareholder’s

Loss equity

US$ US$

IFRS basis (11,939,085) 69,045,755–––––––––––– ––––––––––––



–––––––––––– ––––––––––––- -

–––––––––––– ––––––––––––

–––––––––––– ––––––––––––US GAAP basis (11,939,085) 69,045,755

–––––––––––– ––––––––––––


Shareholder’s

Loss equity

US$ US$

IFRS basis (7,383,024) 77,740,050–––––––––––– ––––––––––––



–––––––––––– ––––––––––––- -

–––––––––––– ––––––––––––

–––––––––––– ––––––––––––US GAAP basis (7,383,024) 77,740,050

–––––––––––– ––––––––––––


Shareholder’s

Loss equity

US$ US$

IFRS basis (20,494,417) 121,944,568–––––––––––– ––––––––––––



–––––––––––– ––––––––––––- -

–––––––––––– ––––––––––––

–––––––––––– ––––––––––––US GAAP basis (20,494,417) 121,944,568

–––––––––––– ––––––––––––



90

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