Gramercy Funds Management LLC — 13F Portfolio

Gramercy Funds Management LLC is a Greenwich, Connecticut-based asset manager specializing in emerging markets (EM) credit and related opportunities. Founded in the late 1990s by Robert G. Koenigsberger, the firm has developed a focused franchise in EM sovereign and corporate debt, distressed and special situations, capital solutions, and opportunistic strategies that span hard-currency and local-currency exposure. Gramercy manages capital for institutional investors globally, including pension funds, endowments, foundations, sovereign entities, and other professional allocators. Its product suite spans hedge fund strategies, drawdown vehicles, and long-only mandates across the EM capital structure. While the core of the platform is in debt and credit instruments, the firm also utilizes equities, ETFs, and other public securities where they provide efficient exposure to specific EM themes or capital structure opportunities. As an institutional investment manager with U.S.-listed holdings, Gramercy Files Form 13F with the U.S. Securities and Exchange Commission under CIK 0001548836. These filings disclose the firm’s reportable long positions in U.S.-listed equities, ADRs, ETFs, and certain equity-linked securities. For an EM credit specialist, this 13F book typically includes: - ADRs and common shares of emerging markets corporates listed in the U.S. - U.S.-listed ETFs tracking EM sovereign or corporate debt, local-currency markets, and related indices. - Select developed-market equities or sector ETFs used to express macro or relative-value views that are complementary to EM credit themes. Because a large portion of Gramercy’s activity is in bonds, loans, derivatives, and local instruments that are not subject to 13F reporting, the filings represent only a partial window into the firm’s overall positioning. Nevertheless, organized as a 13F History, they offer a consistent, regulator-defined dataset for analyzing the U.S.-listed component of Gramercy’s opportunity set and for comparing its disclosed equity and ETF exposure with other EM-focused managers.

Gramercy’s investment strategy is anchored in active, fundamentally driven emerging markets credit, complemented by opportunistic allocations across the EM capital structure. The firm’s philosophy emphasizes exploiting inefficiencies in EM sovereign and corporate debt markets, where information asymmetries, regulatory frictions, and episodic dislocations can create attractive risk-adjusted opportunities for specialized managers. Key strategy pillars include: 1. Sovereign and quasi-sovereign credit Gramercy invests in hard-currency and local-currency sovereign and quasi-sovereign debt across the EM universe. The team conducts country-level macro and political analysis, assessing: - Fiscal and external balance sheets, growth prospects, and debt sustainability. - Political risk, institutional strength, and policy credibility. - Engagement dynamics with the IMF, multilateral institutions, and bondholders. These assessments inform positions in sovereign bonds, local-currency instruments, and sometimes in U.S.-listed proxies (such as EM sovereign bond ETFs) that appear in 13F filings. 2. Corporate credit and special situations A substantial component of Gramercy’s activity is in EM corporate bonds and loans across sectors such as financials, energy, materials, consumer, and infrastructure. Here, the firm integrates bottom-up credit analysis—business model quality, capital structure, covenant protection, and recovery values—with top-down country and sector views. Gramercy also targets distressed and special situations, including restructurings, liability management exercises, and opportunistic secondary purchases of stressed credit where the team sees mispriced recovery potential. These opportunities can span both sovereign and corporate issuers. 3. Local markets and opportunistic strategies Where appropriate, the firm accesses local-currency bonds, rates, and FX, as well as select EM equities, preferreds, and hybrid instruments that offer compelling risk/reward or serve as efficient capital structure substitutes for credit exposure. Within 13F, this approach is reflected in: - Positions in EM-linked ETFs (for example, sovereign or corporate bond trackers, local-currency or broad EM equity funds) used for beta exposure, hedging, or tactical allocation. - ADRs and U.S.-listed common stock of EM corporates where equity provides attractive upside relative to credit, or where equities are used in conjunction with credit positions in capital structure trades. - Occasional developed-market securities that represent macro hedges or relative-value legs against EM exposures. The investment style is opportunistic but fundamentally grounded. Gramercy’s portfolio managers and analysts combine macro, political, and credit research with on-the-ground due diligence and active engagement when feasible. Valuation work emphasizes asymmetric payoffs—seeking downside protection through collateral, seniority, or restructuring frameworks, while preserving upside through mispriced cash-flow profiles or recovery scenarios. Turnover across strategies is typically moderate to high. The firm is willing to trade around catalysts, adjust exposures as country risk evolves, and move quickly when dislocations arise. Holding periods can range from tactical trades around specific events to multi-year investments in complex restructurings or longer-duration country or sector themes. From an analytical perspective, reconstructing Gramercy’s 13F Portfolio Composition over time allows observers to see how the U.S.-listed component of its platform evolves—for example, changes in the mix between EM credit ETFs and single-name ADRs, shifts in sector focus (financials vs. energy vs. consumer), or the episodic use of developed-market instruments as hedges or proxies. Using a Portfolio Simulator and Backtesting Service, these 13F holdings can be transformed into a notional long-only U.S. sleeve for Gramercy, creating a synthetic Historical Track Record for the disclosed portion of its activities. While this representation omits the core non-13F credit book, it still reveals how the public-equity and ETF layer of the strategy has behaved through different cycles.

Gramercy Funds Management LLC is a specialized emerging markets manager with a deep focus on sovereign and corporate credit, distressed opportunities, and capital solutions across EM jurisdictions. Headquartered in Greenwich, Connecticut and led by founder and CIO Robert Koenigsberger, the firm deploys a fundamentally driven, opportunistic style that integrates macro, political, and credit work. Its Form 13F filings under CIK 0001548836 provide a consistent window into the U.S.-listed portion of that activity—principally EM-linked ETFs, ADRs, and select common stocks, along with occasional developed-market instruments used as hedges or thematic proxies. By organizing these holdings into a time series of 13F Portfolio Composition, analysts can observe how Gramercy has adjusted its visible exposures across regions, sectors and instrument types as EM conditions have evolved. A Portfolio Simulator applied to this 13F History can generate a synthetic Historical Track Record for the disclosed U.S. sleeve, normalized to a chosen starting notional. This, in turn, enables calculation of downside metrics such as Max Drawdown Depth and efficiency measures like the Sharpe Ratio for the reconstructed capital trajectory. While this framework omits the larger, non-reportable EM credit positions that define Gramercy’s core strategies, it still provides a structured, empirical lens on the way the firm has used liquid, U.S.-listed securities to express and hedge EM risk over time. In allocator-grade due diligence, these 13F-based insights are most powerful when reconciled with qualitative assessments of Gramercy’s restructuring track record, country research capabilities, governance, and risk controls. The key open question for forward-looking analysis is how sensitive Gramercy’s style of emerging markets credit and opportunistic investing will be to potential regime shifts—such as persistently higher global real rates, changes in multilateral support for distressed sovereigns, or a sustained reordering of EM versus developed-market risk premia.

Gramercy’s risk profile is defined by its specialization in emerging markets and by its focus on credit, distressed situations, and opportunistic positioning. Even though the 13F dataset only captures a subset of instruments, it still reflects key elements of the firm’s risk-taking in public markets. Major risk dimensions include: 1. Sovereign and political risk Country-level risk is central to EM investing. Changes in fiscal policy, political stability, external financing conditions, and geopolitics can have rapid and far-reaching impacts on both sovereign and corporate assets. Sovereign restructurings, capital controls, and abrupt policy reversals can lead to large mark-to-market swings and, in distressed situations, real capital impairment. 2. Credit and restructuring risk In corporate and sovereign special situations, outcomes often hinge on complex restructuring processes, legal frameworks, and creditor negotiations. Recovery values can deviate markedly from initial expectations, particularly where legal enforcement is weak or political considerations dominate. 3. Market liquidity and technicals Emerging markets credit and related instruments can exhibit episodes of illiquidity, especially during global risk-off events. Bid-ask spreads can widen sharply, and the cost of adjusting positions can increase. While U.S.-listed ETFs and ADRs tend to be more liquid than local instruments, they can still be subject to significant price gaps and dislocations. 4. Currency and rates exposure Even in hard-currency strategies, local FX and interest-rate dynamics matter. Depreciation of local currencies can impair issuer fundamentals, while global rate cycles influence discount rates for EM assets and the behavior of EM credit spreads. The firm seeks to manage these risks through diversified country and issuer exposure, structured scenario analysis, active engagement in restructurings, and dynamic hedging where appropriate. Nonetheless, the strategy remains exposed to macro shocks, sudden stops in capital flows, and regime shifts in global liquidity. Using 13F-based reconstructions of Gramercy’s U.S.-listed sleeve, analysts can approximate the realized downside profile of that visible component. By tracking the synthetic portfolio’s Max Drawdown Depth across episodes such as EM sell-offs, commodity price collapses, or global risk-off periods, one can gauge how the disclosed equity and ETF exposures have behaved in stress scenarios. A time series of returns for the reconstructed sleeve can be used to map a Volatility Profile—highlighting whether Gramercy’s U.S.-listed exposures have tended to amplify or dampen broader EM volatility across different regimes. Overlaying a Sharpe Ratio calculation on this synthetic history provides a compact summary of risk-adjusted outcomes for the 13F-visible assets, acknowledging that these metrics exclude the much larger universe of non-reportable EM bonds, loans, and derivatives where Gramercy is most active. For allocators, these analytics are best interpreted as a partial but informative slice of the overall risk engine, helpful for understanding how Gramercy expresses EM themes in liquid, U.S.-listed form and how these expressions have navigated past market cycles.