NPORT-EX 2 NPORT_5932036296843429.htm

 

SCHEDULE OF INVESTMENTS

ROYCE VALUE TRUST

MARCH 31, 2020 (UNAUDITED)

 

   SHARES   VALUE 
COMMON STOCKS – 105.1%          
           
Communication Services – 1.7%          
Diversified Telecommunication Services - 1.0%          

Bandwidth Cl. A 1,2

   146,800   $9,878,172 

Cogent Communications Holdings 1,3

   19,006    1,557,922 
         11,436,094 
Entertainment - 0.0%          

Global Eagle Entertainment 2

   110,000    17,347 
Interactive Media & Services - 0.1%          

QuinStreet 1,2,3

   180,254    1,451,044 
Media - 0.6%          

comScore 1,2

   808,910    2,281,126 

Gannett Company 2

   204,141    302,129 

Gray Television 1,2

   50,000    537,000 

Liberty Latin America Cl. C 1,2

   246,300    2,527,038 
Meredith Corporation   2,800    34,216 
Nexstar Media Group Cl. A   800    46,184 
Pico Far East Holdings   2,612,400    453,490 
         6,181,183 
Wireless Telecommunication Services - 0.0%          

Boingo Wireless 1,2

   50,000    530,500 
Total        19,616,168 
           
Consumer Discretionary – 7.3%          
Auto Components - 1.3%          
Cooper Tire & Rubber   7,600    123,880 

Cooper-Standard Holdings 2

   892    9,161 

Dorman Products 1,2

   31,800    1,757,586 

Fox Factory Holding 2

   3,000    126,000 

Garrett Motion 2

   77,350    221,221 

Gentex Corporation 1

   98,110    2,174,118 

LCI Industries 1

   143,207    9,570,524 

Standard Motor Products 1

   8,894    369,723 

Superior Industries International 2

   176,497    211,796 
         14,564,009 
Distributors - 0.5%          

Core-Mark Holding 1

   23,359    667,366 

LKQ Corporation 1,2

   137,800    2,826,278 

Weyco Group 1

   97,992    1,976,499 
         5,470,143 
Diversified Consumer Services - 0.5%          

American Public Education 2

   20,453    489,440 

Collectors Universe 1,3

   71,100    1,114,137 

Perdoceo Education 2

   22,191    239,441 

Regis Corporation 2

   16,220    95,860 

Universal Technical Institute 2

   639,032    3,802,241 
         5,741,119 
Hotels, Restaurants & Leisure - 0.2%          

Century Casinos 2

   56,720    136,695 

Lindblad Expeditions Holdings 1,2

   415,200    1,731,384 

Red Robin Gourmet Burgers 2

   5,566    47,423 
Ruth’s Hospitality Group   30,597    204,388 
         2,119,890 
Household Durables - 0.5%          

Cavco Industries 1,2,3

   18,600    2,695,884 

Ethan Allen Interiors 1

   158,755    1,622,476 
La-Z-Boy   21,799    447,970 

Meritage Homes 2

   19,644    717,202 
         5,483,532 
Internet & Direct Marketing Retail - 1.2%          

Etsy 1,2

   134,300    5,162,492 
PetMed Express   16,879    485,778 
Shutterstock   25,853    831,432 

Stamps.com 2

   53,678    6,982,434 
         13,462,136 
Leisure Products - 0.5%          
Brunswick Corporation   139,600    4,937,652 
Johnson Outdoors Cl. A   1,690    105,963 

MasterCraft Boat Holdings 2

   31,610    230,753 
Sturm, Ruger & Co.   10,714    545,450 
         5,819,818 
Specialty Retail - 1.9%          
Abercrombie & Fitch Cl. A   11,635    105,762 

America’s Car-Mart 1,2,3

   120,000    6,762,000 

Asbury Automotive Group 2

   2,600    143,598 
AutoCanada   1,138,000    4,326,227 

Barnes & Noble Education 2

   91,318    124,192 
Buckle (The)   63,861    875,534 
Caleres   3,803    19,776 

Camping World Holdings Cl. A 1

   606,813    3,452,766 

CarMax 2

   7,000    376,810 
Cato Corporation (The) Cl. A   62,587    667,803 
Chico’s FAS   62,869    81,101 

Children’s Place 2

   48,778    954,098 
Haverty Furniture   28,713    341,398 

Hibbett Sports 2

   8,588    93,910 

Michaels Companies 2

   108,602    175,935 

Monro 1

   8,139    356,570 

OneWater Marine Cl. A 2

   198,800    1,520,820 
Rent-A-Center   10,208    144,341 

Shoe Carnival 1

   16,360    339,797 

Sleep Number 2

   9,258    177,383 

Zumiez 2

   12,027    208,308 
         21,248,129 
Textiles, Apparel & Luxury Goods - 0.7%          

Canada Goose Holdings 2

   114,200    2,271,438 

Crocs 2

   6,215    105,593 

Culp 1

   29,400    216,384 

J.G. Boswell Company 4

   3,940    1,969,015 
Kontoor Brands   7,130    136,682 

Movado Group 2

   31,014    366,586 
Steven Madden   32,999    766,567 

Vera Bradley 2

   37,920    156,230 

Wolverine World Wide 1

   102,780    1,562,256 
         7,550,751 
Total        81,459,527 
           
Consumer Staples – 2.8%          
Beverages - 0.1%          

Compania Cervecerias Unidas ADR 1

   64,500    863,010 
Food & Staples Retailing - 0.0%          
SpartanNash Company   16,624    238,056 
Food Products - 1.8%          

Farmer Bros. 1,2

   54,700    380,712 
Industrias Bachoco ADR Ser. B   8,440    286,960 
John B Sanfilippo & Son   6,948    621,151 

Nomad Foods 1,2

   143,600    2,665,216 

Seneca Foods Cl. A 1,2,3

   236,301    9,400,054 

Seneca Foods Cl. B 2

   13,840    498,240 

Tootsie Roll Industries 1,3

   180,406    6,487,400 
         20,339,733 
Household Products - 0.1%          

Central Garden & Pet 2

   16,733    460,157 
WD-40 Company   2,821    566,598 
         1,026,755 
Personal Products - 0.7%          

BellRing Brands Cl. A 2

   71,500    1,219,075 

e.l.f. Beauty 2

   313,500    3,084,840 

Inter Parfums 1

   71,595    3,318,428 

USANA Health Sciences 2

   3,038    175,475 
         7,797,818 
Tobacco - 0.1%          
Universal Corporation   14,694    649,622 
Total        30,914,994 
           
Diversified Investment Companies – 0.0%          
Closed-End Funds - 0.0%          
Eagle Point Credit   41,890    286,527 
Eagle Point Income   44    471 
Total        286,998 
           
Energy – 4.0%          
Energy Equipment & Services - 2.7%          
Computer Modelling Group   1,333,624    3,629,489 

Diamond Offshore Drilling 1,2

   214,000    391,620 

Era Group 2

   731,567    3,899,252 

Forum Energy Technologies 2

   249,431    44,224 

Helmerich & Payne 1

   94,000    1,471,100 

ION Geophysical 2

   71,880    91,288 

KLX Energy Services Holdings 2

   15,746    11,022 

Matrix Service 2

   31,532    298,608 

Newpark Resources 2

   67,354    60,417 

Oil States International 1,2

   209,349    424,978 
Pason Systems   1,023,280    4,544,518 

ProPetro Holding 2

   65,610    164,025 

SEACOR Holdings 1,2

   270,450    7,291,332 

SEACOR Marine Holdings 1,2

   638,834    2,798,093 
TGS-NOPEC Geophysical   449,310    5,041,964 
         30,161,930 
Oil, Gas & Consumable Fuels - 1.3%          

Bonanza Creek Energy 2

   46,006    517,567 

Callon Petroleum 2

   63,252    34,656 
Cimarex Energy   50,000    841,500 

CONSOL Energy 2

   100,053    369,196 

Dorchester Minerals L.P. 1

   279,148    2,598,868 

Dorian LPG 2

   394,936    3,439,893 

GeoPark 1

   53,412    377,623 

REX American Resources 2

   7,967    370,545 
San Juan Basin Royalty Trust   212,272    445,771 

Talos Energy 2

   13,626    78,349 

Unit Corporation 2

   15,000    3,900 

World Fuel Services 1

   224,227    5,646,036 

WPX Energy 1,2

   110,000    335,500 
         15,059,404 
Total        45,221,334 
           
Financials – 16.8%          
Banks - 2.8%          
Ameris Bancorp   6,385    151,708 

Bank of N.T. Butterfield & Son 1

   248,416    4,230,524 
Boston Private Financial Holdings   45,074    322,279 
Canadian Western Bank   279,500    3,847,023 
CIT Group   22,000    379,720 

Customers Bancorp 2

   8,520    93,124 
Dime Community Bancshares   2,577    35,331 
Eagle Bancorp   22,798    688,727 

Farmers & Merchants Bank of Long Beach 4

   730    4,380,000 

Fauquier Bankshares 1

   160,800    2,170,800 
First BanCorp   108,522    577,337 
First Citizens BancShares Cl. A   16,376    5,451,079 
First Commonwealth Financial   45,541    416,245 
First Financial Bancorp   35,612    530,975 
First Midwest Bancorp   15,011    198,670 
Franklin Financial Network   1,256    25,610 
Great Western Bancorp   30,893    632,689 
Hanmi Financial   11,849    128,562 

HarborOne Bancorp 2

   63,400    477,402 
HomeTrust Bancshares   23,700    377,304 
Pacific Premier Bancorp   9,322    175,626 
Preferred Bank   17,549    593,507 
Prosperity Bancshares   8,171    394,251 

Webster Financial 1

   193,500    4,431,150 
Western Alliance Bancorp   5,000    153,050 
         30,862,693 
Capital Markets - 8.2%          

Ares Management Cl. A 1

   364,694    11,279,985 

Artisan Partners Asset Management Cl. A 1

   124,920    2,684,531 
ASA Gold and Precious Metals   249,821    2,575,654 
Ashmore Group   548,400    2,418,682 

Associated Capital Group Cl. A 1

   20,200    618,120 
Bolsa Mexicana de Valores   1,723,106    2,622,884 
Fiera Capital Cl. A   45,000    209,124 

Focus Financial Partners Cl. A 1,2

   50,000    1,150,500 
Garrison Capital   29,434    50,038 
Golub Capital BDC   22,100    277,576 

Houlihan Lokey Cl. A 1,3

   59,120    3,081,334 
Jupiter Fund Management   230,000    570,001 

Lazard Cl. A 1

   122,075    2,876,087 
MarketAxess Holdings   31,900    10,608,983 
Moelis & Company Cl. A   16,000    449,600 

Morningstar 1

   84,600    9,834,750 
MVC Capital   195,688    855,157 
Oaktree Strategic Income   11,455    63,461 

Qalaa Holdings 2

   7,749,921    536,684 
Rothschild & Co   50,293    1,024,128 

SEI Investments 1

   197,100    9,133,614 
Solar Capital   14,400    167,616 
Sprott   2,564,800    4,173,518 
Tel Aviv Stock Exchange   322,179    1,087,251 
TMX Group   76,000    5,658,012 
Tradeweb Markets Cl. A   106,050    4,458,342 
U.S. Global Investors Cl. A   520,551    504,986 
Value Partners Group   5,453,000    2,321,120 

Virtu Financial Cl. A 1,3

   451,100    9,391,902 
Waddell & Reed Financial Cl. A   85,176    969,303 

Westwood Holdings Group 1

   38,850    711,343 
WisdomTree Investments   22,900    53,357 
         92,417,643 
Consumer Finance - 0.1%          

Enova International 2

   48,849    707,822 
Diversified Financial Services - 0.2%          
Banco Latinoamericano de Comercio Exterior Cl. E   13,700    141,247 
ECN Capital   185,100    494,547 
First Pacific   1,020,000    188,324 
Onex Corporation   9,200    336,738 

Waterloo Investment Holdings 2,5

   2,972,000    743,000 
         1,903,856 
Insurance - 3.4%          
Alleghany Corporation   700    386,645 

Ambac Financial Group 2

   11,730    144,748 
American Equity Investment Life Holding   9,249    173,881 
Assured Guaranty   20,900    539,011 

eHealth 2

   20,700    2,914,974 
E-L Financial   22,500    9,560,861 
Employers Holdings   26,350    1,067,439 
Erie Indemnity Cl. A   28,200    4,180,368 
FBL Financial Group Cl. A   6,130    286,087 

Independence Holding Company 1

   210,523    5,380,968 

ProAssurance Corporation 1

   246,787    6,169,675 

RLI Corp. 1,3

   44,620    3,923,437 
Stewart Information Services   6,572    175,275 

Trupanion 1,2

   116,899    3,042,881 
Universal Insurance Holdings   39,741    712,159 
         38,658,409 
Investment Companies - 0.7%          

Oaktree Acquisition (Units) 2

   800,000    8,032,000 
Thrifts & Mortgage Finance - 1.4%          

Axos Financial 1,2,3

   35,003    634,604 
Flagstar Bancorp   30,937    613,481 
Genworth MI Canada   237,075    5,267,772 

Meridian Bancorp 1

   97,500    1,093,950 
Meta Financial Group   5,042    109,512 

NMI Holdings Cl. A 2

   101,317    1,176,290 

Provident Bancorp 2

   63,200    544,784 
Territorial Bancorp   9,300    228,315 

Timberland Bancorp 1

   274,457    5,019,819 

Vestin Realty Mortgage II 2,4

   34    24,650 
Walker & Dunlop   12,700    511,429 
         15,224,606 
Total        187,807,029 
           
Health Care – 8.1%          
Biotechnology - 1.5%          

Acorda Therapeutics 2

   18,079    16,860 

AMAG Pharmaceuticals 1,2

   16,936    104,664 

Anika Therapeutics 2

   13,046    377,160 

BioSpecifics Technologies 2

   1,830    103,523 

Coherus BioSciences 2

   6,600    107,052 

Eagle Pharmaceuticals 2

   14,509    667,414 

Emergent BioSolutions 2

   830    48,024 

Enanta Pharmaceuticals 2

   9,698    498,768 

Pfenex 2

   11,047    97,435 

Sangamo Therapeutics 1,2

   65,815    419,242 

Vanda Pharmaceuticals 2

   25,375    262,885 

Zealand Pharma 2

   408,857    14,095,841 
         16,798,868 
Health Care Equipment & Supplies - 4.3%          
Atrion Corporation   14,175    9,213,750 

BioLife Solutions 2

   202,000    1,919,000 

Haemonetics 2

   73,300    7,305,078 

Inogen 2

   6,242    322,462 

Integer Holdings 1,2

   42,400    2,665,264 

Masimo Corporation 1,2

   60,000    10,627,200 

Meridian Bioscience 2

   70,718    594,031 

Mesa Laboratories 1,3

   38,600    8,727,074 

Neogen Corporation 1,2,3

   22,400    1,500,576 

OraSure Technologies 2

   29,950    322,262 

Surmodics 1,2

   161,000    5,364,520 
         48,561,217 
Health Care Providers & Services - 0.5%          

AMN Healthcare Services 2

   3,964    229,159 

Community Health Systems 2

   790,000    2,638,600 

CorVel Corporation 2

   2,864    156,116 
Ensign Group (The)   2,664    100,193 

HealthEquity 2

   20,000    1,011,800 

Magellan Health 2

   16,980    816,908 

Pennant Group 2

   1,331    18,847 

Tivity Health 2

   8,766    55,138 
U.S. Physical Therapy   5,616    387,504 
         5,414,265 
Health Care Technology - 0.3%          

HealthStream 2

   7,060    169,087 

NextGen Healthcare 2

   12,673    132,306 
Simulations Plus   94,390    3,296,099 
         3,597,492 
Life Sciences Tools & Services - 1.2%          

Bio-Rad Laboratories Cl. A 2

   29,829    10,456,854 

Bio-Techne 1,3

   12,153    2,304,452 

Medpace Holdings 2

   4,167    305,775 
         13,067,081 
Pharmaceuticals - 0.3%          

Alimera Sciences 2

   61,125    234,720 

Assertio Therapeutics 2

   156,932    102,006 

Corcept Therapeutics 2

   62,201    739,570 

Innoviva 2

   72,352    850,860 

Lannett Company 2

   79,311    551,211 

Supernus Pharmaceuticals 2

   25,406    457,054 

Theravance Biopharma 1,2,3

   34,291    792,465 
         3,727,886 
Total        91,166,809 
           
Industrials – 24.7%          
Aerospace & Defense - 2.3%          

Aerojet Rocketdyne Holdings 2

   15,351    642,132 

Ducommun 1,2

   79,100    1,965,635 

HEICO Corporation 1

   166,100    12,392,721 

HEICO Corporation Cl. A 1

   88,726    5,669,592 

Hexcel Corporation 1

   7,600    282,644 
Magellan Aerospace   96,800    447,785 
National Presto Industries   11,093    785,495 
Park Aerospace   13,847    174,472 

Vectrus 2

   3,950    163,570 

Virgin Galactic Holdings 1,2,3

   215,918    3,191,268 
         25,715,314 
Air Freight & Logistics - 0.7%          

Echo Global Logistics 2

   43,457    742,246 

Forward Air 1

   149,565    7,575,467 
         8,317,713 
Building Products - 0.9%          

American Woodmark 2

   6,364    290,007 
Apogee Enterprises   7,929    165,082 

Burnham Holdings Cl. B 4

   36,000    369,000 

Gibraltar Industries 2

   8,550    366,966 
Insteel Industries   1,751    23,201 

Patrick Industries 1

   124,590    3,508,454 

PGT Innovations 2

   11,783    98,859 
Quanex Building Products   40,647    409,722 

Simpson Manufacturing 1

   65,065    4,032,729 

Trex Company 2

   1,800    144,252 
Universal Forest Products   12,406    461,379 
         9,869,651 
Commercial Services & Supplies - 1.7%          

CompX International Cl. A 1

   211,100    3,208,720 

Heritage-Crystal Clean 1,2

   100,106    1,625,721 

Kimball International Cl. B 1

   252,050    3,001,915 

LSC Communications 2,4

   63,906    5,751 
MSA Safety   400    40,480 

PICO Holdings 1,2,3

   406,960    3,166,149 
Pitney Bowes   145,515    296,851 

Ritchie Bros. Auctioneers 1

   62,900    2,149,922 
Tetra Tech   8,119    573,364 
UniFirst Corporation   30,430    4,597,669 
US Ecology   4,915    149,416 
         18,815,958 
Construction & Engineering - 2.9%          

Arcosa 1

   110,980    4,410,345 

Comfort Systems USA 1

   37,847    1,383,308 
EMCOR Group   17,600    1,079,232 

IES Holdings 1,2

   594,244    10,488,407 

Infrastructure and Energy Alternatives 2

   600,000    1,206,000 

Jacobs Engineering Group 1,3

   83,500    6,619,045 

Sterling Construction 1,2,3

   144,638    1,374,061 

Valmont Industries 1

   48,461    5,135,897 

Williams Industrial Services Group 2,4

   631,820    770,820 
         32,467,115 
Electrical Equipment - 1.0%          
AZZ   5,573    156,713 
Encore Wire   16,027    672,974 
LSI Industries   814,857    3,080,159 

Powell Industries 1

   99,197    2,546,387 

Preformed Line Products 1

   91,600    4,564,428 

Sensata Technologies Holding 2

   9,400    271,942 
         11,292,603 
Industrial Conglomerates - 0.6%          
Carlisle Companies   4,000    501,120 

Raven Industries 1

   309,525    6,571,216 
         7,072,336 
Machinery - 7.9%          

CIRCOR International 2

   199,553    2,320,801 

Colfax Corporation 1,2

   534,462    10,582,348 

ESCO Technologies 1

   32,440    2,462,520 

Franklin Electric 1,3

   87,500    4,123,875 

Helios Technologies 1

   237,714    9,014,115 
Hillenbrand   40,375    771,566 

John Bean Technologies 1

   130,176    9,668,172 

Kadant 1

   130,579    9,747,722 

Lincoln Electric Holdings 1

   52,600    3,629,400 

Lindsay Corporation 1

   112,000    10,256,960 

Lydall 2

   12,168    78,605 

Meritor 2

   28,460    377,095 
Miller Industries   11,500    325,220 
Mueller Industries   44,724    1,070,693 

NN 2

   308,700    534,051 

Nordson Corporation 1

   23,096    3,119,577 

Proto Labs 2

   10,000    761,300 
Standex International   624    30,588 

Tennant Company 1

   153,304    8,883,967 
Titan International   173,100    268,305 
Wabash National   70,721    510,606 

Watts Water Technologies Cl. A 1

   61,000    5,163,650 

Woodward 1

   72,500    4,309,400 
         88,010,536 
Marine - 1.9%          

Clarkson 2

   471,100    13,498,336 

Eagle Bulk Shipping 2

   320,478    592,884 

Kirby Corporation 1,2

   175,700    7,637,679 
         21,728,899 
Professional Services - 1.5%          

Exponent 1

   100,000    7,191,000 

Forrester Research 1,2,3

   68,329    1,997,257 
Heidrick & Struggles International   48,473    1,090,642 

Korn Ferry 1

   83,129    2,021,697 

ManpowerGroup 1

   15,842    839,468 
Morneau Shepell   17,500    353,034 
Resources Connection   13,344    146,384 

TrueBlue 1,2

   45,858    585,148 

Upwork 2

   300,000    1,935,000 
         16,159,630 
Road & Rail - 1.3%          
ArcBest   21,449    375,786 

Landstar System 1

   122,050    11,699,713 

Patriot Transportation Holding 1

   139,100    1,310,322 

Saia 1,2

   1,794    131,931 

Universal Logistics Holdings 1

   78,916    1,033,800 
         14,551,552 
Trading Companies & Distributors - 2.0%          

Air Lease Cl. A 1,3

   303,200    6,712,848 
Applied Industrial Technologies   9,758    446,136 

BMC Stock Holdings 2

   297,000    5,265,810 

EVI Industries 1,2,3

   120,038    1,894,200 

GMS 2

   35,608    560,114 

Houston Wire & Cable 2,6

   877,363    1,921,425 
Richelieu Hardware   88,400    1,396,384 

SiteOne Landscape Supply 1,2

   25,000    1,840,500 

Watsco 1

   13,300    2,101,799 
         22,139,216 
Total        276,140,523 
           
Information Technology – 23.9%          
Communications Equipment - 0.2%          

ADTRAN 1

   214,973    1,650,993 

CalAmp Corporation 2

   31,396    141,282 
Comtech Telecommunications   23,273    309,298 
         2,101,573 
Electronic Equipment, Instruments & Components - 9.3%          
Badger Meter   3,560    190,816 
Benchmark Electronics   16,483    329,495 

Cognex Corporation 1

   340,100    14,359,022 

Coherent 2

   93,670    9,967,425 

Fabrinet 1,2

   192,918    10,525,606 

FARO Technologies 1,2

   308,097    13,710,316 

FLIR Systems 1

   585,637    18,675,964 

Insight Enterprises 1,2

   30,074    1,267,018 

IPG Photonics 2

   56,900    6,274,932 

Kimball Electronics 2

   24,797    270,783 

Littelfuse 1,3

   22,100    2,948,582 
Methode Electronics   7,193    190,111 

National Instruments 1

   235,650    7,795,302 

nLIGHT 1,2

   166,610    1,747,739 

OSI Systems 2

   2,270    156,448 

PAR Technology 1,2

   156,353    2,010,700 

Perceptron 2

   357,700    1,030,176 

Richardson Electronics 6

   711,475    2,724,949 

Rogers Corporation 2

   30,100    2,842,042 

Sanmina Corporation 2

   9,703    264,698 

TTM Technologies 1,2

   581,642    6,014,178 
Vishay Intertechnology   7,620    109,804 

Vishay Precision Group 2

   6,310    126,705 
         103,532,811 
IT Services - 2.2%          

Cardtronics 2

   20,118    420,869 

Computer Services 4

   30,292    1,218,647 
CSG Systems International   12,192    510,235 
EVERTEC   29,338    666,853 

Hackett Group (The) 1

   285,266    3,628,583 

KBR 1

   647,400    13,388,232 
ManTech International Cl. A   3,384    245,915 
MAXIMUS   2,750    160,050 

Unisys Corporation 1,2

   360,000    4,446,000 
         24,685,384 
Semiconductors & Semiconductor Equipment - 8.3%          

Advanced Energy Industries 1,2

   9,259    448,969 

Axcelis Technologies 2

   39,700    726,907 

Brooks Automation 1

   389,600    11,882,800 

Cabot Microelectronics 1

   78,188    8,924,378 

Cirrus Logic 1,2,3

   250,700    16,453,441 
Cohu   5,890    72,918 

Diodes 1,2

   253,777    10,312,228 

Entegris 1,3

   202,000    9,043,540 

Ichor Holdings 2

   16,476    315,680 

Kulicke & Soffa Industries 1

   39,338    820,984 

Lattice Semiconductor 2

   212,000    3,777,840 

MKS Instruments 1,3

   254,889    20,760,709 

Nova Measuring Instruments 1,2,3

   47,770    1,559,691 

Onto Innovation 1,2,3

   44,791    1,328,949 

Photronics 2

   183,700    1,884,762 

Rambus 2

   71,660    795,426 

Silicon Motion Technology ADR 1,3

   27,510    1,008,517 

SMART Global Holdings 2

   28,435    690,971 

SolarEdge Technologies 2

   10,139    830,181 

Ultra Clean Holdings 2

   10,656    147,053 

Xperi Corporation 1

   67,935    944,976 
         92,730,920 
Software - 3.9%          

Descartes Systems Group (The) 1,2,3

   214,100    7,362,899 

Elastic 1,2,3

   56,400    3,147,684 

Everbridge 2

   60,000    6,381,600 

j2 Global 1,2

   25,535    1,911,295 

Manhattan Associates 1,2

   145,900    7,268,738 
Progress Software   9,887    316,384 

RealNetworks 2

   109,950    80,264 

SharpSpring 2

   20,000    121,200 

Support.com 2

   216,766    236,275 

SVMK 1,2

   514,600    6,952,246 

TiVo 2

   6,504    46,048 

Upland Software 1,2,3

   376,700    10,103,094 
         43,927,727 
Total        266,978,415 
           
Materials – 11.2%          
Chemicals - 5.7%          

Chase Corporation 1

   79,059    6,505,765 

Element Solutions 1,2

   872,800    7,296,608 
FutureFuel Corporation   595,325    6,709,313 

Hawkins 1

   87,082    3,100,119 
Huntsman Corporation   25,500    367,965 

Innospec 1

   96,083    6,676,808 

Minerals Technologies 1

   204,702    7,422,494 
NewMarket Corporation   8,000    3,062,960 
Quaker Chemical   170,709    21,557,133 
Stepan Company   2,760    244,150 
Tredegar Corporation   10,991    171,789 
Trinseo   19,168    347,132 
         63,462,236 
Construction Materials - 0.2%          
Imerys   90,000    2,264,652 

U.S. Concrete 2

   6,620    120,087 
         2,384,739 
Containers & Packaging - 0.0%          
Myers Industries   36,820    395,815 

UFP Technologies 2

   2,860    108,938 
         504,753 
Metals & Mining - 4.6%          
Alamos Gold Cl. A   2,091,300    10,506,282 

Ferroglobe (Warranty Insurance Trust) 2,5

   49,300    0 
Gold Fields ADR   370,000    1,757,500 

Haynes International 1

   113,900    2,347,479 
Hecla Mining   721,300    1,312,766 

IAMGOLD Corporation 2

   600,000    1,368,000 
Lundin Mining   640,000    2,405,742 

MAG Silver 2

   198,900    1,527,552 

Major Drilling Group International 2

   2,217,291    4,490,357 
Materion Corporation   3,794    132,828 
Pan American Silver   124,627    1,785,905 

Pretium Resources 2

   101,000    576,302 

Reliance Steel & Aluminum 1

   135,000    11,824,650 

Royal Gold 1

   16,600    1,455,986 
SunCoke Energy   58,573    225,506 

Synalloy Corporation 1,2

   178,800    1,560,924 
VanEck Vectors Junior Gold Miners ETF   183,000    5,142,300 
Warrior Met Coal   44,383    471,347 

Worthington Industries 1

   80,400    2,110,500 
         51,001,926 
Paper & Forest Products - 0.7%          
Boise Cascade   29,893    710,856 
Mercer International   91,912    665,443 

Neenah 1

   16,700    720,271 
Schweitzer-Mauduit International   31,274    870,043 
Stella-Jones   221,758    4,831,308 
         7,797,921 
Total        125,151,575 
           
Real Estate – 4.5%          
Equity Real Estate Investment Trusts (REITs) - 0.0%          

New York REIT 2,5

   15,000    192,000 
Real Estate Management & Development - 4.5%          
Colliers International Group   15,000    720,150 
FirstService Corporation   190,950    14,726,064 

FRP Holdings 1,2

   153,158    6,585,794 
Jones Lang LaSalle   13,613    1,374,641 

Kennedy-Wilson Holdings 1

   427,850    5,741,747 

Marcus & Millichap 1,2

   275,083    7,454,749 

RMR Group (The) Cl. A 1

   80,100    2,160,297 

St. Joe Company (The) 1,2

   197,000    3,305,660 

Tejon Ranch 1,2

   557,136    7,833,332 
         49,902,434 
Total        50,094,434 
           
Utilities – 0.1%          
Gas Utilities - 0.0%          

UGI Corporation 1

   7,000    186,690 
Water Utilities - 0.1%          
American States Water   11,689    955,459 
Total        1,142,149 
           
TOTAL COMMON STOCKS          
(Cost $1,284,404,331)        1,175,979,955 
           
WARRANTS – 0.0%          
Industrials – 0.0%          
Construction & Engineering - 0.0%          
Infrastructure and Energy Alternatives          

(Warrants) 2

   625,000    37,500 
Total        37,500 
           
Information Technology – 0.0%          
Semiconductors & Semiconductor Equipment - 0.0%          

eMagin Corporation (Warrants) 2,5

   50,000    0 
Total        0 
           
TOTAL WARRANTS          
(Cost $470,283)        37,500 
           
REPURCHASE AGREEMENT – 1.0%          
Fixed Income Clearing Corporation,          
0.00% dated 3/31/20, due 4/1/20,          
maturity value $11,438,000 (collateralized          
by obligations of various U.S. Government          
Agencies, 1.375% due 10/15/22, valued at $11,669,634)          
(Cost $11,438,000)        11,438,000 
           
TOTAL INVESTMENTS – 106.1%          
(Cost $1,296,312,614)        1,187,455,455 
           
LIABILITIES LESS CASH          
AND OTHER ASSETS – (6.1)%        (68,230,623)
           
NET ASSETS – 100.0%       $1,119,224,832 

 

ADR – American Depository Receipt  

1All or a portion of these securities were pledged as collateral in connection with the Fund’s revolving credit agreement at March 31, 2020. Total market value of pledged securities at March 31, 2020, was $170,309,806.
2Non-income producing.
3At March 31, 2020, a portion of these securities were rehypothecated in connection with the Fund’s revolving credit agreement in the aggregate amount of $66,497,241.
4These securities are defined as Level 2 securities due to fair value being based on quoted prices for similar securities.
5Securities for which market quotations are not readily available represent 0.1% of net assets. These securities have been valued at their fair value under procedures approved by the Fund’s Board of Directors. These securities are defined as Level 3 securities due to the use of significant unobservable inputs in the determination of fair value.
6At March 31, 2020, the Fund owned 5% or more of the Company’s outstanding voting securities thereby making the Company an Affiliated Company as that term is defined in the Investment Company Act of 1940.

 

TAX INFORMATION: The cost of total investments for Federal income tax purposes was $1,297,807,650. At March 31, 2020, net unrealized depreciation for all securities was $110,352,195, consisting of aggregate gross unrealized appreciation of $226,334,639 and aggregate gross unrealized depreciation of $336,686,834. The primary cause of the difference between book and tax basis cost is the timing of the recognition of losses on securities sold.

 

Valuation of Investments:  

Investment transactions are accounted for on the trade date. Securities are valued as of the close of trading on the New York Stock Exchange (NYSE) (generally 4:00 p.m. Eastern time) on the valuation date. Securities that trade on an exchange, and securities traded on Nasdaq’s Electronic Bulletin Board, are valued at their last reported sales price or Nasdaq official closing price taken from the primary market in which each security trades or, if no sale is reported for such day, at their highest bid price. Other over-the-counter securities for which market quotations are readily available are valued at their highest bid price, except in the case of some bonds and other fixed income securities which may be valued by reference to other securities with comparable ratings, interest rates and maturities, using established independent pricing services. The Fund values its non-U.S. dollar denominated securities in U.S. dollars daily at the prevailing foreign currency exchange rates as quoted by a major bank. Securities for which market quotations are not readily available are valued at their fair value in accordance with the provisions of the 1940 Act, under procedures approved by the Fund’s Board of Directors, and are reported as Level 3 securities. As a general principle, the fair value of a security is the amount which the Fund might reasonably expect to receive for the security upon its current sale. However, in light of the judgment involved in fair valuations, there can be no assurance that a fair value assigned to a particular security will be the amount which the Fund might be able to receive upon its current sale. In addition, if, between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and may make the closing price unreliable, the Fund may fair value the security. The Fund uses an independent pricing service to provide fair value estimates for relevant non-U.S. equity securities on days when the U.S. market volatility exceeds a certain threshold. This pricing service uses proprietary correlations it has developed between the movement of prices of non-U.S. equity securities and indices of U.S.-traded securities, futures contracts and other indications to estimate the fair value of relevant non-U.S. securities. When fair value pricing is employed, the prices of securities used by the Fund may differ from quoted or published prices for the same security.  Investments in money market funds are valued at net asset value per share.

 

Various inputs are used in determining the value of the Fund’s investments, as noted above. These inputs are summarized in the three broad levels below:

 

Level 1 –

quoted prices in active markets for identical securities.

 

Level 2 –

other significant observable inputs (including quoted prices for similar securities, foreign securities that may be fair valued and repurchase agreements). The table below includes all Level 2 securities. Level 2 securities with values based on quoted prices for similar securities are noted in the Schedule of Investments.

 

Level 3 –

significant unobservable inputs (including last trade price before trading was suspended, or at a discount thereto for lack of marketability or otherwise, market price information regarding other securities, information received from the company and/or published documents, including SEC filings and financial statements, or other publicly available information).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. 

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2020. For a detailed breakout of common stocks by sector classification, please refer to the Schedule of Investments.

                 
   Level 1   Level 2   Level 3   Total 
Common Stocks  $1,122,806,597   $52,238,358   $935,000   $1,175,979,955 
Warrants   37,500    –    0    37,500 
Repurchase Agreement   –    11,438,000    –    11,438,000 

 

Level 3 Reconciliation:                        
   Balance as of           Realized   Unrealized   Balance as of 
   12/31/19   Purchases   Sales   Gain (Loss)   Gain (Loss)   3/31/20 
Common Stocks  $1,085,100   $–   $1,500   $–   $(148,600)  $935,000 
Warrants   0    –    –    –    –    0 

 

The following table summarizes the valuation techniques used and unobservable inputs approved by the Valuation Committee to determine the fair value of certain Level 3 investments. The table does not include Level 3 investments with values derived utilizing prices from prior transactions or third party pricing information with adjustments (e.g. broker quotes, pricing services, net asset values).

 

                Impact to
                Valuation
   Fair Value at      Unobservable  Range  From an Increase
   3/31/20   Valuation Technique(s)  Input(s)  Average 

in Input1

       Discounted Present Value  Liquidity      
Waterloo Investment Holdings  $743,000   Balance Sheet Analysis 

Discount

 

30%-40%

  Decrease
        Guidance from Options Clearing Authorities 

Liquidity

      
New York REIT     192,000   Balance Sheet Analysis 

Discount

 

15%-25%

  Decrease

 

1This column represents the directional change in the fair value of the Level 3 investments that would result in an increase from the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. Significant increases and decreases in these unobservable inputs in isolation could result in significantly higher or lower fair value measurements.

 

Repurchase Agreements:

The Fund may enter into repurchase agreements with institutions that the Fund’s investment adviser has determined are creditworthy. The Fund restricts repurchase agreements to maturities of no more than seven days. Securities pledged as collateral for repurchase agreements, which are held until maturity of  the repurchase agreements, are marked-to-market daily and maintained at a value at least equal to the principal amount of the repurchase agreement (including accrued interest). Repurchase agreements could involve certain risks in the event of default or insolvency of the counter-party, including possible delays or restrictions upon the ability of the Fund to dispose of its underlying securities. The remaining contractual maturity of the repurchase agreement held by the Fund at March 31, 2020 is overnight and continuous.

 

Borrowings:

The Fund is party to a revolving credit agreement (the credit agreement) with BNP Paribas Prime Brokerage International, Limited (BNPPI). The Fund pays a commitment fee of 0.50% per annum on the unused portion of the then-current maximum amount that may be borrowed by the Fund under the credit agreement. The credit agreement has a 179-day rolling term that resets daily. The Fund is required to pledge portfolio securities as collateral in an amount up to two times the loan balance outstanding or as otherwise required by applicable regulatory standards and has granted a security interest in the securities pledged to, and in favor of, BNPPI as security for the loan balance outstanding. If the Fund fails to meet certain requirements, or maintain other financial covenants required under the credit agreement, the Fund may be required to repay immediately, in part or in full, the loan balance outstanding under the credit agreement which may necessitate the sale of portfolio securities at potentially inopportune times. BNPPI may terminate the credit agreement upon certain ratings downgrades of its corporate parent, which would result in the Fund’s entire loan balance becoming immediately due and payable. The occurrence of such ratings downgrades may necessitate the sale of portfolio securities at potentially inopportune times. BNPPI may also terminate the credit agreement upon sixty (60) calendar days’ prior written notice to the Fund in the event the Fund’s net asset value per share as of the close of business on the last business day of any calendar month declines by thirty-five percent (35%) or more from the Fund’s net asset value per share as of the close of business on the last business day of the immediately preceding calendar month. 

 

The credit agreement also permits, subject to certain conditions, BNPPI to rehypothecate portfolio securities pledged by the Fund up to the amount of the loan balance outstanding. The Fund continues to receive payments in lieu of dividends and interest on rehypothecated securities. The Fund also has the right under the credit agreement to recall the rehypothecated securities from BNPPI on demand. If BNPPI fails to deliver the recalled security in a timely manner, the Fund is compensated by BNPPI for any fees or losses related to the failed delivery or, in the event a recalled security is not returned by BNPPI, the Fund, upon notice to BNPPI, may reduce the loan balance outstanding by the value of the recalled security failed to be returned. The Fund receives a portion of the fees earned by BNPPI in connection with the rehypothecation of portfolio securities.

 

The Fund and BNPPI have agreed that the current maximum amount the Fund may borrow under the credit agreement is $70,000,000. The Fund has the right to reduce the maximum amount it can borrow under the credit agreement upon one (1) business day’s prior written notice to BNPPI. In addition, the Fund and BNPPI may agree to increase the maximum amount the Fund can borrow under the credit agreement, which amount may not exceed $150,000,000.

 

As of March 31, 2020, the Fund has outstanding borrowings of $70,000,000. During the three months ended March 31, 2020, the Fund borrowed an average daily balance of $70,000,000. As of March 31, 2020 the aggregate value of rehypothecated securities was $66,497,241.

 

Transactions in Affiliated Companies:

An “Affiliated Company” as defined in the Investment Company Act of 1940, is a company in which a fund owns 5% or more of the company’s outstanding voting securities at any time during the period. The following transactions were effected in shares of such companies for the three months ended March 31, 2020:

 

                  Change in Net          
      Market        Realized  Unrealized        Market 
   Shares  Value  Costs of  Proceeds  Gain  Appreciation  Dividend  Shares  Value 
Affiliated Company  12/31/19  12/31/19  Purchases  from Sales  (Loss)  (Depreciation)  Income  3/31/20  3/31/20 
Industrials - 0.2%                            
Trading Companies & Distributors - 0.2%                                    

Houston Wire & Cable 1,2

  877,363  $3,869,171  $–  $–  $–  $(1,947,746) $–   877,363  $1,921,425 
       3,869,171           –   (1,947,746)  –       1,921,425 
Information Technology - 0.2%                                    
Electronic Equipment, Instruments & Components - 0.2%                                    

Richardson Electronics 1

  711,475   4,005,604   –   –   –   (1,280,655)  42,689   711,475   2,724,949 
       4,005,604           –   (1,280,655)  42,689       2,724,949 
      $7,874,775          $–  $(3,228,401) $42,689      $4,646,374 

 

1At March 31, 2020, the Fund owned 5% or more of the Company’s outstanding voting securities thereby making the Company an Affiliated Company as   that term is defined in the Investment Company Act of 1940.

2Non-income producing.

 

Other information regarding the Fund is available in the Fund’s most recent Report to Stockholders. This information is available through Royce Investment Partners (www.royceinvest.com) and on the Securities and Exchange Commission’s website (www.sec.gov).