| SCHEDULE OF INVESTMENTS |
| ROYCE VALUE TRUST |
| SEPTEMBER 30, 2020 (UNAUDITED) |
| SHARES | VALUE | |||||||
| COMMON STOCKS – 103.8% | ||||||||
| Communication Services – 3.1% | ||||||||
| Diversified Telecommunication Services - 1.9% | ||||||||
| Bandwidth Cl. A 1,2,3 | 146,500 | $ | 25,574,505 | |||||
| Cogent Communications Holdings 2 | 18,447 | 1,107,742 | ||||||
| Liberty Latin America Cl. C 2,3 | 312,555 | 2,544,198 | ||||||
| 29,226,445 | ||||||||
| Entertainment - 0.3% | ||||||||
| Global Eagle Entertainment 3,4 | 4,400 | 3,828 | ||||||
| Manchester United Cl. A | 320,100 | 4,654,254 | ||||||
| Marcus Corporation (The) | 6,051 | 46,774 | ||||||
| 4,704,856 | ||||||||
| Interactive Media & Services - 0.8% | ||||||||
| IAC/InterActiveCorp 3 | 72,000 | 8,624,160 | ||||||
| QuinStreet 2,3 | 180,254 | 2,855,224 | ||||||
| 11,479,384 | ||||||||
| Media - 0.1% | ||||||||
| comScore 1,2,3 | 808,910 | 1,650,176 | ||||||
| Gannett Company 3 | 190,443 | 247,576 | ||||||
| TechTarget 3 | 800 | 35,168 | ||||||
| 1,932,920 | ||||||||
| Total | 47,343,605 | |||||||
| Consumer Discretionary – 10.2% | ||||||||
| Auto Components - 1.1% | ||||||||
| Cooper Tire & Rubber | 11,800 | 374,060 | ||||||
| Cooper-Standard Holdings 3 | 892 | 11,783 | ||||||
| Dorman Products 1,2,3 | 7,200 | 650,736 | ||||||
| Fox Factory Holding Corporation 3 | 2,800 | 208,124 | ||||||
| Gentex Corporation 2 | 108,660 | 2,797,995 | ||||||
| LCI Industries 2 | 117,015 | 12,437,525 | ||||||
| Standard Motor Products 1,2 | 13,794 | 615,902 | ||||||
| Superior Industries International 3 | 150,598 | 188,248 | ||||||
| 17,284,373 | ||||||||
| Distributors - 0.3% | ||||||||
| Core-Mark Holding Company 2 | 21,368 | 618,176 | ||||||
| LKQ Corporation 1,2,3 | 70,600 | 1,957,738 | ||||||
| Weyco Group 2 | 97,992 | 1,584,531 | ||||||
| 4,160,445 | ||||||||
| Diversified Consumer Services - 0.5% | ||||||||
| American Public Education 3 | 20,257 | 571,045 | ||||||
| Collectors Universe 2 | 71,100 | 3,518,739 | ||||||
| Perdoceo Education 3 | 22,191 | 271,618 | ||||||
| Regis Corporation 3 | 23,520 | 144,413 | ||||||
| Universal Technical Institute 3 | 639,032 | 3,246,282 | ||||||
| 7,752,097 | ||||||||
| Hotels, Restaurants & Leisure - 0.3% | ||||||||
| Century Casinos 3 | 44,120 | 241,777 | ||||||
| Lindblad Expeditions Holdings 1,2,3 | 415,200 | 3,533,352 | ||||||
| Red Robin Gourmet Burgers 3 | 2,900 | 38,164 | ||||||
| Ruth’s Hospitality Group | 34,877 | 385,740 | ||||||
| 4,199,033 | ||||||||
| Household Durables - 0.5% | ||||||||
| Cavco Industries 2,3 | 14,700 | 2,650,557 | ||||||
| Ethan Allen Interiors 2 | 158,755 | 2,149,542 | ||||||
| La-Z-Boy | 25,579 | 809,064 | ||||||
| Meritage Homes 3 | 19,102 | 2,108,670 | ||||||
| Skyline Champion 3 | 6,400 | 171,328 | ||||||
| 7,889,161 | ||||||||
| Internet & Direct Marketing Retail - 2.0% | ||||||||
| Etsy 2,3 | 136,300 | 16,578,169 | ||||||
| PetMed Express | 16,879 | 533,714 | ||||||
| Shutterstock | 25,853 | 1,345,390 | ||||||
| Stamps.com 3 | 51,022 | 12,293,751 | ||||||
| 30,751,024 | ||||||||
| Leisure Products - 0.8% | ||||||||
| Brunswick Corporation | 188,800 | 11,122,208 | ||||||
| Johnson Outdoors Cl. A | 1,990 | 162,961 | ||||||
| MasterCraft Boat Holdings 3 | 24,538 | 429,170 | ||||||
| Sturm, Ruger & Co. | 8,915 | 545,241 | ||||||
| 12,259,580 | ||||||||
| Specialty Retail - 3.6% | ||||||||
| Abercrombie & Fitch Cl. A | 4,033 | 56,180 | ||||||
| America’s Car-Mart 1,2,3 | 120,000 | 10,185,600 | ||||||
| AutoCanada | 1,238,000 | 16,856,250 | ||||||
| Barnes & Noble Education 3 | 91,318 | 235,600 | ||||||
| Buckle (The) | 63,550 | 1,295,785 | ||||||
| Caleres | 3,803 | 36,357 | ||||||
| Camping World Holdings Cl. A 2 | 488,113 | 14,521,362 | ||||||
| CarMax 3 | 7,000 | 643,370 | ||||||
| Cato Corporation (The) Cl. A | 63,344 | 495,350 | ||||||
| Chico’s FAS | 27,436 | 26,682 | ||||||
| Children’s Place 3 | 1,559 | 44,198 | ||||||
| Genesco 3 | 4,412 | 95,034 | ||||||
| Haverty Furniture | 28,713 | 601,250 | ||||||
| Hibbett Sports 3 | 8,588 | 336,821 | ||||||
| Michaels Companies 3 | 139,804 | 1,349,808 | ||||||
| OneWater Marine Cl. A 3 | 235,300 | 4,821,297 | ||||||
| Rent-A-Center | 14,132 | 422,405 | ||||||
| Shoe Carnival 2 | 16,360 | 549,369 | ||||||
| Sleep Number 3 | 11,632 | 568,921 | ||||||
| Zumiez 3 | 15,371 | 427,621 | ||||||
| 53,569,260 | ||||||||
| Textiles, Apparel & Luxury Goods - 1.1% | ||||||||
| Canada Goose Holdings 3 | 306,900 | 9,872,973 | ||||||
| Crocs 3 | 1,995 | 85,246 | ||||||
| G-III Apparel Group 3 | 8,609 | 112,864 | ||||||
| J G Boswell Company 4 | 3,940 | 2,167,394 | ||||||
| Kontoor Brands | 7,130 | 172,546 | ||||||
| Movado Group 3 | 20,965 | 208,392 | ||||||
| Steven Madden | 33,701 | 657,170 | ||||||
| Vera Bradley 3 | 31,709 | 193,742 | ||||||
| Wolverine World Wide 2 | 105,592 | 2,728,497 | ||||||
| 16,198,824 | ||||||||
| Total | 154,063,797 | |||||||
| Consumer Staples – 2.4% | ||||||||
| Beverages - 0.1% | ||||||||
| Compania Cervecerias Unidas ADR 2 | 64,500 | 836,565 | ||||||
| Food & Staples Retailing - 0.0% | ||||||||
| SpartanNash Company | 5,618 | 91,854 | ||||||
| Food Products - 1.3% | ||||||||
| Industrias Bachoco ADR Ser. B | 8,940 | 342,357 | ||||||
| John B Sanfilippo & Son | 5,660 | 426,651 | ||||||
| Nomad Foods 2,3 | 143,600 | 3,658,928 |
| Seneca Foods Cl. A 1,2,3 | 238,410 | 8,518,389 | ||||||
| Seneca Foods Cl. B 3 | 13,840 | 492,704 | ||||||
| Tootsie Roll Industries 2 | 182,456 | 5,637,891 | ||||||
| 19,076,920 | ||||||||
| Household Products - 0.1% | ||||||||
| Central Garden & Pet 3 | 16,733 | 668,149 | ||||||
| WD-40 Company | 2,263 | 428,408 | ||||||
| 1,096,557 | ||||||||
| Personal Products - 0.9% | ||||||||
| e.l.f. Beauty 3 | 487,500 | 8,955,375 | ||||||
| Inter Parfums 1,2 | 121,545 | 4,539,706 | ||||||
| USANA Health Sciences 3 | 3,038 | 223,749 | ||||||
| 13,718,830 | ||||||||
| Tobacco - 0.0% | ||||||||
| Universal Corporation | 14,694 | 615,385 | ||||||
| Vector Group | 12,235 | 118,557 | ||||||
| 733,942 | ||||||||
| Total | 35,554,668 | |||||||
| Diversified Investment Companies – 0.0% | ||||||||
| Closed-End Funds - 0.0% | ||||||||
| Eagle Point Credit | 42,054 | 362,505 | ||||||
| Eagle Point Income | 44 | 578 | ||||||
| Total | 363,083 | |||||||
| Energy – 2.8% | ||||||||
| Energy Equipment & Services - 2.1% | ||||||||
| Bristow Group 3 | 240,774 | 5,116,447 | ||||||
| Computer Modelling Group | 1,333,624 | 5,168,037 | ||||||
| Diamond Offshore Drilling 3,4 | 89,000 | 19,936 | ||||||
| DMC Global | 1,983 | 65,320 | ||||||
| Forum Energy Technologies 3 | 249,431 | 137,062 | ||||||
| Helmerich & Payne 2 | 94,000 | 1,377,100 | ||||||
| KLX Energy Services Holdings 3 | 3,149 | 13,068 | ||||||
| Matrix Service 3 | 34,471 | 287,833 | ||||||
| Newpark Resources 3 | 67,354 | 70,722 | ||||||
| Oil States International 3 | 18,753 | 51,196 | ||||||
| Pason Systems | 1,061,430 | 4,216,864 | ||||||
| ProPetro Holding 3 | 61,052 | 247,871 | ||||||
| SEACOR Holdings 1,2,3 | 270,450 | 7,864,686 | ||||||
| SEACOR Marine Holdings 1,2,3 | 400,190 | 812,386 | ||||||
| TGS-NOPEC Geophysical | 451,060 | 5,449,605 | ||||||
| 30,898,133 | ||||||||
| Oil, Gas & Consumable Fuels - 0.7% | ||||||||
| Bonanza Creek Energy 3 | 41,687 | 783,716 | ||||||
| Callon Petroleum 3 | 6,325 | 30,486 | ||||||
| CONSOL Energy 3 | 110,037 | 487,464 | ||||||
| Dorchester Minerals L.P. 2 | 279,148 | 2,883,599 | ||||||
| Dorian LPG 3 | 394,936 | 3,163,437 | ||||||
| REX American Resources 3 | 6,946 | 455,727 | ||||||
| San Juan Basin Royalty Trust | 212,272 | 532,803 | ||||||
| Talos Energy 3 | 13,626 | 87,888 | ||||||
| World Fuel Services 2 | 100,913 | 2,138,346 | ||||||
| WPX Energy 1,2,3 | 110,000 | 539,000 | ||||||
| 11,102,466 | ||||||||
| Total | 42,000,599 | |||||||
| Financials – 15.5% | ||||||||
| Banks - 2.3% | ||||||||
| Ameris Bancorp | 6,385 | 145,450 |
| Bank of N.T. Butterfield & Son 2 | 258,416 | 5,757,509 | ||||||
| Boston Private Financial Holdings | 45,074 | 248,809 | ||||||
| Cadence Bancorporation Cl. A | 15,397 | 132,260 | ||||||
| Canadian Western Bank | 279,500 | 5,635,969 | ||||||
| CIT Group | 22,000 | 389,620 | ||||||
| Customers Bancorp 3 | 10,603 | 118,754 | ||||||
| Dime Community Bancshares | 2,577 | 29,146 | ||||||
| Eagle Bancorp | 23,798 | 637,548 | ||||||
| Farmers & Merchants Bank of Long Beach 4 | 730 | 4,526,000 | ||||||
| Fauquier Bankshares 2 | 160,800 | 2,423,256 | ||||||
| FB Financial | 1,212 | 30,445 | ||||||
| First BanCorp | 127,777 | 666,996 | ||||||
| First Citizens BancShares Cl. A | 16,376 | 5,220,341 | ||||||
| First Commonwealth Financial | 37,289 | 288,617 | ||||||
| First Financial Bancorp | 44,124 | 529,709 | ||||||
| First Midwest Bancorp | 23,914 | 257,793 | ||||||
| Great Western Bancorp | 34,227 | 426,126 | ||||||
| Hanmi Financial | 11,849 | 97,280 | ||||||
| HarborOne Bancorp | 63,400 | 511,638 | ||||||
| HBT Financial | 40,400 | 453,288 | ||||||
| HomeTrust Bancshares | 23,700 | 321,846 | ||||||
| Pacific Premier Bancorp | 14,212 | 286,230 | ||||||
| Preferred Bank | 17,803 | 571,832 | ||||||
| Prosperity Bancshares | 6,614 | 342,804 | ||||||
| Webster Financial 2 | 173,000 | 4,568,930 | ||||||
| Wintrust Financial | 6,000 | 240,300 | ||||||
| 34,858,496 | ||||||||
| Capital Markets - 6.4% | ||||||||
| Ares Management Cl. A 2 | 206,600 | 8,350,772 | ||||||
| Artisan Partners Asset Management Cl. A 1,2 | 91,470 | 3,566,415 | ||||||
| ASA Gold and Precious Metals | 199,821 | 4,252,191 | ||||||
| Ashmore Group | 548,400 | 2,520,509 | ||||||
| Blucora 3 | 5,600 | 52,752 | ||||||
| Bolsa Mexicana de Valores | 1,723,106 | 3,887,051 | ||||||
| Fiera Capital Cl. A | 59,500 | 456,231 | ||||||
| Focus Financial Partners Cl. A 1,2,3 | 50,000 | 1,639,500 | ||||||
| Garrison Capital | 67,126 | 256,421 | ||||||
| Golub Capital BDC | 2,354 | 31,167 | ||||||
| Houlihan Lokey Cl. A 2 | 55,030 | 3,249,522 | ||||||
| Lazard Cl. A 2 | 123,825 | 4,092,416 | ||||||
| Moelis & Company Cl. A | 21,000 | 737,940 | ||||||
| Morningstar 1,2 | 84,600 | 13,587,606 | ||||||
| MVC Capital | 195,688 | 1,528,323 | ||||||
| Oaktree Strategic Income | 4,133 | 26,906 | ||||||
| Qalaa Holdings 3 | 7,749,921 | 778,776 | ||||||
| Rothschild & Co 3 | 50,293 | 1,413,782 | ||||||
| SEI Investments 2 | 197,600 | 10,022,272 | ||||||
| Sprott | 256,480 | 8,754,471 | ||||||
| Tel Aviv Stock Exchange | 332,179 | 1,483,174 | ||||||
| TMX Group | 76,000 | 7,816,034 | ||||||
| Value Partners Group | 5,453,000 | 2,343,442 | ||||||
| Virtu Financial Cl. A 1,2 | 635,100 | 14,613,651 | ||||||
| Waddell & Reed Financial Cl. A | 85,176 | 1,264,864 | ||||||
| 96,726,188 | ||||||||
| Consumer Finance - 0.1% | ||||||||
| Enova International 3 | 48,849 | 800,635 | ||||||
| Diversified Financial Services - 0.4% | ||||||||
| Banco Latinoamericano de Comercio Exterior Cl. E | 23,700 | 287,955 | ||||||
| ECN Capital | 1,023,900 | 3,890,905 | ||||||
| Equitable Holdings | 35,000 | 638,400 |
| First Pacific | 1,020,000 | 277,409 | ||||||
| Onex Corporation | 9,200 | 410,409 | ||||||
| Waterloo Investment Holdings 3,5 | 2,972,000 | 743,000 | ||||||
| 6,248,078 | ||||||||
| Insurance - 4.0% | ||||||||
| Alleghany Corporation | 350 | 182,158 | ||||||
| Ambac Financial Group 3 | 88,534 | 1,130,579 | ||||||
| American Equity Investment Life Holding | 3,163 | 69,554 | ||||||
| Assured Guaranty | 63,900 | 1,372,572 | ||||||
| eHealth 3 | 20,700 | 1,635,300 | ||||||
| E-L Financial | 21,650 | 10,697,772 | ||||||
| Employers Holdings | 23,729 | 717,802 | ||||||
| Erie Indemnity Cl. A | 28,200 | 5,929,896 | ||||||
| FBL Financial Group Cl. A | 7,180 | 346,076 | ||||||
| Fidelity National Financial | 446 | 13,964 | ||||||
| First American Financial | 8,000 | 407,280 | ||||||
| Independence Holding Company 2 | 210,523 | 7,938,822 | ||||||
| Palomar Holdings 3 | 80,947 | 8,437,915 | ||||||
| ProAssurance Corporation 2 | 239,901 | 3,752,052 | ||||||
| ProSight Global 3 | 9,700 | 109,998 | ||||||
| RLI Corp. 2 | 41,820 | 3,501,589 | ||||||
| Stewart Information Services | 9,895 | 432,708 | ||||||
| Third Point Reinsurance 3 | 10,476 | 72,808 | ||||||
| Trupanion 1,2,3 | 171,199 | 13,507,601 | ||||||
| Universal Insurance Holdings | 35,980 | 497,963 | ||||||
| 60,754,409 | ||||||||
| Investment Companies - 1.2% | ||||||||
| CF Finance Acquisition Cl. A 3 | 538,300 | 5,598,320 | ||||||
| Jaws Acquisition (Units) 3 | 150,000 | 1,660,500 | ||||||
| Oaktree Acquisition (Units) 3 | 800,000 | 10,352,000 | ||||||
| 17,610,820 | ||||||||
| Thrifts & Mortgage Finance - 1.1% | ||||||||
| Axos Financial 2,3 | 35,731 | 832,890 | ||||||
| Essent Group | 10,000 | 370,100 | ||||||
| Flagstar Bancorp | 31,807 | 942,442 | ||||||
| Genworth MI Canada | 250,955 | 6,507,811 | ||||||
| Meridian Bancorp 2 | 67,500 | 698,625 | ||||||
| Meta Financial Group | 1,665 | 32,001 | ||||||
| NMI Holdings Cl. A 3 | 83,714 | 1,490,109 | ||||||
| Provident Bancorp | 63,200 | 492,328 | ||||||
| Territorial Bancorp | 9,300 | 188,139 | ||||||
| Timberland Bancorp 2 | 274,457 | 4,940,226 | ||||||
| Vestin Realty Mortgage II 3,4 | 34 | 25,840 | ||||||
| Walker & Dunlop | 12,700 | 673,100 | ||||||
| 17,193,611 | ||||||||
| Total | 234,192,237 | |||||||
| Health Care – 7.7% | ||||||||
| Biotechnology - 1.2% | ||||||||
| Acorda Therapeutics 3 | 18,079 | 9,311 | ||||||
| Anika Therapeutics 3 | 13,046 | 461,698 | ||||||
| BioSpecifics Technologies 3 | 3,130 | 165,358 | ||||||
| Catalyst Pharmaceuticals 3 | 56,080 | 166,558 | ||||||
| Coherus BioSciences 3 | 8,650 | 158,641 | ||||||
| Eagle Pharmaceuticals 3 | 11,806 | 501,519 | ||||||
| Emergent BioSolutions 3 | 830 | 85,764 | ||||||
| Enanta Pharmaceuticals 3 | 9,698 | 443,974 | ||||||
| Sangamo Therapeutics 1,2,3 | 65,815 | 621,952 | ||||||
| Vanda Pharmaceuticals 3 | 30,872 | 298,223 |
| Zealand Pharma 3 | 408,857 | 15,535,468 | ||||||
| 18,448,466 | ||||||||
| Health Care Equipment & Supplies - 4.9% | ||||||||
| Atrion Corporation | 11,891 | 7,443,766 | ||||||
| BioLife Solutions 3 | 424,300 | 12,279,242 | ||||||
| Haemonetics 3 | 138,800 | 12,110,300 | ||||||
| Inogen 3 | 7,877 | 228,433 | ||||||
| Integer Holdings 1,2,3 | 42,400 | 2,502,024 | ||||||
| Masimo Corporation 1,2,3 | 30,000 | 7,081,800 | ||||||
| Meridian Bioscience 3 | 83,756 | 1,422,177 | ||||||
| Mesa Laboratories 2 | 54,900 | 13,986,324 | ||||||
| Natus Medical 3 | 8,880 | 152,114 | ||||||
| Neogen Corporation 1,2,3 | 23,481 | 1,837,388 | ||||||
| OraSure Technologies 3 | 22,352 | 272,024 | ||||||
| OrthoPediatrics Corporation 3 | 69,700 | 3,200,624 | ||||||
| SI-BONE 3 | 136,300 | 3,233,036 | ||||||
| STAAR Surgical 3 | 30,700 | 1,736,392 | ||||||
| Surmodics 2,3 | 161,000 | 6,264,510 | ||||||
| 73,750,154 | ||||||||
| Health Care Providers & Services - 0.4% | ||||||||
| AMN Healthcare Services 3 | 936 | 54,719 | ||||||
| Community Health Systems 3 | 790,000 | 3,333,800 | ||||||
| CorVel Corporation 3 | 2,864 | 244,672 | ||||||
| Ensign Group (The) | 872 | 49,756 | ||||||
| HealthEquity 3 | 20,000 | 1,027,400 | ||||||
| Magellan Health 3 | 16,980 | 1,286,744 | ||||||
| Pennant Group 3 | 436 | 16,812 | ||||||
| RadNet 3 | 4,582 | 70,334 | ||||||
| Tivity Health 3 | 4,169 | 58,449 | ||||||
| U.S. Physical Therapy | 6,619 | 575,059 | ||||||
| 6,717,745 | ||||||||
| Health Care Technology - 0.3% | ||||||||
| HealthStream 3 | 7,060 | 141,694 | ||||||
| NextGen Healthcare 3 | 19,477 | 248,137 | ||||||
| Simulations Plus | 46,170 | 3,479,371 | ||||||
| 3,869,202 | ||||||||
| Life Sciences Tools & Services - 0.7% | ||||||||
| Bio-Rad Laboratories Cl. A 3 | 14,629 | 7,540,665 | ||||||
| Bio-Techne 2 | 10,803 | 2,676,227 | ||||||
| Medpace Holdings 3 | 4,167 | 465,662 | ||||||
| 10,682,554 | ||||||||
| Pharmaceuticals - 0.2% | ||||||||
| AMAG Pharmaceuticals 1,2,3 | 7,412 | 69,673 | ||||||
| Assertio Holdings 3 | 156,932 | 104,470 | ||||||
| Corcept Therapeutics 3 | 60,375 | 1,050,827 | ||||||
| Innoviva 3 | 72,352 | 756,078 | ||||||
| Lannett Company 3 | 63,366 | 387,166 | ||||||
| Supernus Pharmaceuticals 3 | 26,084 | 543,591 | ||||||
| Theravance Biopharma 1,2,3 | 34,291 | 506,992 | ||||||
| 3,418,797 | ||||||||
| Total | 116,886,918 | |||||||
| Industrials – 23.3% | ||||||||
| Aerospace & Defense - 1.4% | ||||||||
| Aerojet Rocketdyne Holdings 3 | 12,746 | 508,438 | ||||||
| Ducommun 2,3 | 79,100 | 2,603,972 | ||||||
| HEICO Corporation 2 | 56,700 | 5,934,222 | ||||||
| HEICO Corporation Cl. A 2 | 75,926 | 6,731,599 | ||||||
| Magellan Aerospace | 96,800 | 495,795 | ||||||
| National Presto Industries | 10,060 | 823,512 | ||||||
| Park Aerospace | 13,847 | 151,209 | ||||||
| Vectrus 3 | 10,510 | 399,380 | ||||||
| Virgin Galactic Holdings 1,2,3 | 215,918 | 4,152,103 | ||||||
| 21,800,230 | ||||||||
| Air Freight & Logistics - 0.3% | ||||||||
| Echo Global Logistics 3 | 38,931 | 1,003,252 | ||||||
| Forward Air 2 | 70,885 | 4,067,381 | ||||||
| Hub Group Cl. A 3 | 2,184 | 109,626 | ||||||
| 5,180,259 | ||||||||
| Building Products - 0.9% | ||||||||
| American Woodmark 3 | 6,364 | 499,829 | ||||||
| Apogee Enterprises | 5,381 | 114,992 | ||||||
| Burnham Holdings Cl. B 4 | 36,000 | 414,000 | ||||||
| CSW Industrials | 300 | 23,175 | ||||||
| Gibraltar Industries 3 | 7,310 | 476,173 | ||||||
| Insteel Industries | 5,559 | 103,953 | ||||||
| Patrick Industries 2 | 90,305 | 5,194,344 | ||||||
| PGT Innovations 3 | 11,783 | 206,438 | ||||||
| Quanex Building Products | 46,758 | 862,218 | ||||||
| Simpson Manufacturing 2 | 48,662 | 4,728,000 | ||||||
| Trex Company 3 | 1,128 | 80,765 | ||||||
| UFP Industries | 14,897 | 841,829 | ||||||
| 13,545,716 | ||||||||
| Commercial Services & Supplies - 2.1% | ||||||||
| CompX International Cl. A 2 | 211,100 | 3,155,945 | ||||||
| Harsco Corporation 3 | 606,100 | 8,430,851 | ||||||
| Heritage-Crystal Clean 1,2,3 | 100,106 | 1,336,415 | ||||||
| IBEX 3 | 55,000 | 845,900 | ||||||
| Kimball International Cl. B 2 | 258,350 | 2,723,009 | ||||||
| MSA Safety | 400 | 53,668 | ||||||
| PICO Holdings 1,2,3 | 406,960 | 3,646,362 | ||||||
| Pitney Bowes | 145,515 | 772,685 | ||||||
| Ritchie Bros. Auctioneers 2 | 62,900 | 3,726,825 | ||||||
| Tetra Tech | 6,388 | 610,054 | ||||||
| UniFirst Corporation | 31,007 | 5,871,795 | ||||||
| US Ecology | 4,915 | 160,573 | ||||||
| 31,334,082 | ||||||||
| Construction & Engineering - 3.5% | ||||||||
| APi Group 3 | 353,500 | 5,030,305 | ||||||
| Arcosa 2 | 214,426 | 9,454,042 | ||||||
| Comfort Systems USA 1,2 | 82,350 | 4,241,849 | ||||||
| EMCOR Group | 27,500 | 1,862,025 | ||||||
| IES Holdings 1,2,3 | 594,244 | 18,879,132 | ||||||
| Infrastructure and Energy Alternatives 3 | 600,000 | 3,570,000 | ||||||
| Jacobs Engineering Group 2 | 33,500 | 3,107,795 | ||||||
| Northwest Pipe 3 | 5,891 | 155,876 | ||||||
| Sterling Construction 2,3 | 8,038 | 113,818 | ||||||
| Valmont Industries 2 | 56,861 | 7,060,999 | ||||||
| 53,475,841 | ||||||||
| Electrical Equipment - 0.9% | ||||||||
| AZZ | 5,573 | 190,151 | ||||||
| Encore Wire | 14,313 | 664,409 | ||||||
| LSI Industries | 814,857 | 5,500,285 | ||||||
| Powell Industries 2 | 101,805 | 2,456,555 | ||||||
| Preformed Line Products 2 | 91,600 | 4,462,752 | ||||||
| Sensata Technologies Holding 3 | 9,400 | 405,516 | ||||||
| 13,679,668 | ||||||||
| Industrial Conglomerates - 0.5% | ||||||||
| Carlisle Companies | 3,400 | 416,058 | ||||||
| Raven Industries 2 | 309,525 | 6,660,978 | ||||||
| 7,077,036 | ||||||||
| Machinery - 8.7% | ||||||||
| Albany International Cl. A | 1,526 | 75,552 | ||||||
| Allison Transmission Holdings | 51,500 | 1,809,710 | ||||||
| CIRCOR International 3 | 504,633 | 13,801,713 | ||||||
| Colfax Corporation 1,2,3 | 754,312 | 23,655,224 | ||||||
| ESCO Technologies 2 | 47,760 | 3,847,546 | ||||||
| Franklin Electric 2 | 83,100 | 4,888,773 | ||||||
| Helios Technologies 2 | 237,714 | 8,652,790 | ||||||
| Hillenbrand | 37,093 | 1,051,957 | ||||||
| John Bean Technologies 2 | 130,761 | 12,015,628 | ||||||
| Kadant 2 | 123,899 | 13,581,808 | ||||||
| Lincoln Electric Holdings 2 | 52,600 | 4,841,304 | ||||||
| Lindsay Corporation 2 | 112,000 | 10,828,160 | ||||||
| Lydall 3 | 17,784 | 294,147 | ||||||
| Meritor 3 | 25,640 | 536,902 | ||||||
| Middleby Corporation 3 | 60,800 | 5,454,368 | ||||||
| Miller Industries | 14,950 | 457,021 | ||||||
| Mueller Industries | 43,976 | 1,189,991 | ||||||
| NN 3 | 308,700 | 1,592,892 | ||||||
| Nordson Corporation 2 | 23,096 | 4,430,275 | ||||||
| Standex International | 624 | 36,941 | ||||||
| Tennant Company 2 | 137,400 | 8,293,464 | ||||||
| Wabash National | 73,542 | 879,562 | ||||||
| Watts Water Technologies Cl. A 2 | 57,900 | 5,798,685 | ||||||
| Woodward 2 | 48,500 | 3,887,760 | ||||||
| 131,902,173 | ||||||||
| Marine - 1.0% | ||||||||
| Clarkson | 451,500 | 13,090,255 | ||||||
| Eagle Bulk Shipping 3 | 45,782 | 749,451 | ||||||
| Kirby Corporation 2,3 | 41,200 | 1,490,204 | ||||||
| 15,329,910 | ||||||||
| Professional Services - 1.4% | ||||||||
| Exponent 2 | 96,000 | 6,914,880 | ||||||
| Forrester Research 1,2,3 | 70,217 | 2,302,415 | ||||||
| Heidrick & Struggles International | 50,167 | 985,781 | ||||||
| Kelly Services Cl. A | 7,419 | 126,420 | ||||||
| Korn Ferry 2 | 107,470 | 3,116,630 | ||||||
| ManpowerGroup 2 | 7,100 | 520,643 | ||||||
| Morneau Shepell | 17,500 | 365,364 | ||||||
| Resources Connection | 20,295 | 234,407 | ||||||
| TrueBlue 1,2,3 | 46,895 | 726,404 | ||||||
| Upwork 3 | 300,000 | 5,232,000 | ||||||
| 20,524,944 | ||||||||
| Road & Rail - 1.1% | ||||||||
| ArcBest | 25,849 | 802,870 | ||||||
| Landstar System 2 | 114,692 | 14,392,699 | ||||||
| Patriot Transportation Holding 2 | 139,100 | 1,221,298 | ||||||
| Saia 1,2,3 | 1,274 | 160,702 | ||||||
| 16,577,569 | ||||||||
| Trading Companies & Distributors - 1.5% | ||||||||
| Air Lease Cl. A 2 | 107,880 | 3,173,830 | ||||||
| Applied Industrial Technologies | 9,758 | 537,666 | ||||||
| BMC Stock Holdings 3 | 110,500 | 4,732,715 | ||||||
| EVI Industries 1,2,3 | 69,873 | 1,859,320 | ||||||
| GMS 3 | 40,518 | 976,484 | ||||||
| Houston Wire & Cable 3,6 | 877,363 | 2,193,407 | ||||||
| Richelieu Hardware | 88,400 | 2,334,230 | ||||||
| SiteOne Landscape Supply 2,3 | 25,000 | 3,048,750 | ||||||
| Transcat 3 | 3,700 | 108,410 | ||||||
| Watsco 2 | 13,300 | 3,097,437 | ||||||
| 22,062,249 | ||||||||
| Total | 352,489,677 | |||||||
| Information Technology – 23.9% | ||||||||
| Communications Equipment - 0.4% | ||||||||
| ADTRAN 2 | 214,973 | 2,204,548 | ||||||
| CalAmp Corporation 3 | 24,919 | 179,168 | ||||||
| Comtech Telecommunications | 27,350 | 382,900 | ||||||
| Viavi Solutions 3 | 287,500 | 3,372,375 | ||||||
| 6,138,991 | ||||||||
| Electronic Equipment, Instruments & Components - 9.2% | ||||||||
| Badger Meter | 3,560 | 232,717 | ||||||
| Benchmark Electronics | 20,983 | 422,808 | ||||||
| Cognex Corporation 2 | 255,100 | 16,607,010 | ||||||
| Coherent 3 | 92,170 | 10,224,418 | ||||||
| Fabrinet 2,3 | 171,963 | 10,838,828 | ||||||
| FARO Technologies 2,3 | 267,857 | 16,333,920 | ||||||
| FLIR Systems 2 | 568,637 | 20,385,636 | ||||||
| Insight Enterprises 1,2,3 | 27,621 | 1,562,796 | ||||||
| IPG Photonics 3 | 51,100 | 8,685,467 | ||||||
| Kimball Electronics 3 | 26,387 | 305,034 | ||||||
| Littelfuse 2 | 55,900 | 9,913,306 | ||||||
| Methode Electronics | 3,783 | 107,816 | ||||||
| National Instruments 2 | 235,650 | 8,412,705 | ||||||
| nLIGHT 1,2,3 | 162,460 | 3,814,561 | ||||||
| OSI Systems 3 | 2,270 | 176,175 | ||||||
| PAR Technology 1,2,3 | 290,239 | 11,757,582 | ||||||
| Plexus Corporation 3 | 1,408 | 99,447 | ||||||
| Richardson Electronics 6 | 711,475 | 2,966,851 | ||||||
| Rogers Corporation 3 | 86,100 | 8,442,966 | ||||||
| Sanmina Corporation 3 | 14,049 | 380,025 | ||||||
| ScanSource 3 | 3,739 | 74,144 | ||||||
| TTM Technologies 1,2,3 | 581,642 | 6,636,535 | ||||||
| Vishay Intertechnology | 11,020 | 171,581 | ||||||
| Vishay Precision Group 3 | 8,220 | 208,130 | ||||||
| 138,760,458 | ||||||||
| IT Services - 1.8% | ||||||||
| Cardtronics 3 | 20,118 | 398,336 | ||||||
| Cass Information Systems | 5,600 | 225,344 | ||||||
| Computer Services 4 | 46,292 | 2,835,385 | ||||||
| CSG Systems International | 12,027 | 492,506 | ||||||
| EVERTEC | 29,338 | 1,018,322 | ||||||
| ExlService Holdings 3 | 1,297 | 85,563 | ||||||
| Hackett Group (The) 2 | 285,266 | 3,189,274 | ||||||
| International Money Express 3 | 18,613 | 267,376 | ||||||
| KBR 2 | 647,400 | 14,475,864 | ||||||
| ManTech International Cl. A | 3,384 | 233,090 | ||||||
| MAXIMUS | 3,120 | 213,439 | ||||||
| Unisys Corporation 1,2,3 | 360,000 | 3,841,200 | ||||||
| 27,275,699 | ||||||||
| Semiconductors & Semiconductor Equipment - 7.0% | ||||||||
| Advanced Energy Industries 2,3 | 8,346 | 525,297 | ||||||
| Axcelis Technologies 3 | 14,300 | 314,600 | ||||||
| Brooks Automation 2 | 284,600 | 13,165,596 | ||||||
| Cirrus Logic 2,3 | 250,700 | 16,909,715 | ||||||
| CMC Materials 2 | 62,388 | 8,909,630 | ||||||
| Cohu | 8,290 | 142,422 | ||||||
| Diodes 1,2,3 | 241,037 | 13,606,539 | ||||||
| Entegris 2 | 111,900 | 8,318,646 | ||||||
| Ichor Holdings 3 | 13,168 | 284,034 | ||||||
| Kulicke & Soffa Industries 2 | 58,052 | 1,300,365 | ||||||
| Lattice Semiconductor 3 | 278,200 | 8,056,672 | ||||||
| MKS Instruments | 248,229 | 27,114,054 | ||||||
| Nova Measuring Instruments 2,3 | 43,820 | 2,284,775 | ||||||
| Onto Innovation 1,2,3 | 14,769 | 439,821 | ||||||
| Photronics 3 | 183,700 | 1,829,652 | ||||||
| Power Integrations | 1,624 | 89,969 | ||||||
| Rambus 3 | 68,796 | 941,817 | ||||||
| Silicon Motion Technology ADR 2 | 3,170 | 119,763 | ||||||
| SMART Global Holdings 3 | 26,992 | 737,961 | ||||||
| Ultra Clean Holdings 3 | 14,404 | 309,110 | ||||||
| 105,400,438 | ||||||||
| Software - 5.5% | ||||||||
| Descartes Systems Group (The) 1,2,3 | 249,700 | 14,227,906 | ||||||
| Ebix | 3,511 | 72,327 | ||||||
| Elastic 1,2,3 | 82,800 | 8,933,292 | ||||||
| Everbridge 3 | 60,000 | 7,543,800 | ||||||
| j2 Global 1,2,3 | 31,225 | 2,161,394 | ||||||
| Manhattan Associates 1,2,3 | 142,300 | 13,588,227 | ||||||
| Progress Software | 9,887 | 362,655 | ||||||
| RealNetworks 3 | 109,950 | 134,139 | ||||||
| SVMK 1,2,3 | 688,500 | 15,222,735 | ||||||
| Upland Software 1,2,3 | 552,300 | 20,821,710 | ||||||
| Xperi Holding 2 | 5,569 | 63,988 | ||||||
| 83,132,173 | ||||||||
| Total | 360,707,759 | |||||||
| Materials – 10.7% | ||||||||
| Chemicals - 4.7% | ||||||||
| Chase Corporation 1,2 | 79,059 | 7,542,229 | ||||||
| Element Solutions 2,3 | 872,800 | 9,173,128 | ||||||
| FutureFuel Corporation | 592,746 | 6,739,522 | ||||||
| Hawkins 1,2 | 87,082 | 4,014,480 | ||||||
| Huntsman Corporation | 21,600 | 479,736 | ||||||
| Innospec 2 | 93,583 | 5,925,676 | ||||||
| Minerals Technologies 2 | 201,449 | 10,294,044 | ||||||
| NewMarket Corporation | 8,000 | 2,738,560 | ||||||
| Quaker Chemical | 127,909 | 22,986,526 | ||||||
| Stepan Company | 2,760 | 300,840 | ||||||
| Tredegar Corporation | 10,662 | 158,544 | ||||||
| Trinseo | 24,902 | 638,487 | ||||||
| 70,991,772 | ||||||||
| Construction Materials - 0.2% | ||||||||
| Imerys | 90,000 | 3,346,390 | ||||||
| U.S. Concrete 3 | 6,620 | 192,245 | ||||||
| 3,538,635 | ||||||||
| Containers & Packaging - 0.0% | ||||||||
| Myers Industries | 37,846 | 500,703 | ||||||
| UFP Technologies 3 | 3,160 | 130,887 | ||||||
| 631,590 | ||||||||
| Metals & Mining - 5.1% | ||||||||
| Alamos Gold Cl. A | 2,091,300 | 18,422,852 | ||||||
| Ferroglobe (Warranty Insurance Trust) 3,5 | 49,300 | 0 | ||||||
| Gold Fields ADR | 370,000 | 4,547,300 | ||||||
| Haynes International 2 | 113,900 | 1,946,551 | ||||||
| Hecla Mining | 321,300 | 1,632,204 | ||||||
| IAMGOLD Corporation 3 | 600,000 | 2,298,000 | ||||||
| Lundin Mining | 640,000 | 3,571,176 | ||||||
| MAG Silver 3 | 198,900 | 3,234,114 | ||||||
| Major Drilling Group International 3 | 2,217,291 | 11,872,843 | ||||||
| Materion Corporation | 3,794 | 197,402 |
| Pan American Silver | 124,627 | 4,006,758 | ||||||
| Pretium Resources 3 | 101,000 | 1,292,509 | ||||||
| Reliance Steel & Aluminum 2 | 65,000 | 6,632,600 | ||||||
| Royal Gold 2 | 16,600 | 1,994,822 | ||||||
| SunCoke Energy | 70,273 | 240,334 | ||||||
| Synalloy Corporation 1,2,3 | 178,800 | 986,976 | ||||||
| VanEck Vectors Junior Gold Miners ETF | 183,000 | 10,130,880 | ||||||
| Warrior Met Coal | 44,383 | 758,062 | ||||||
| Worthington Industries 2 | 80,400 | 3,278,712 | ||||||
| 77,044,095 | ||||||||
| Paper & Forest Products - 0.7% | ||||||||
| Boise Cascade | 28,387 | 1,133,209 | ||||||
| Mercer International | 84,658 | 558,743 | ||||||
| Schweitzer-Mauduit International | 31,106 | 945,312 | ||||||
| Stella-Jones | 214,758 | 7,273,918 | ||||||
| 9,911,182 | ||||||||
| Total | 162,117,274 | |||||||
| Real Estate – 4.1% | ||||||||
| Equity Real Estate Investment Trusts (REITs) - 0.0% | ||||||||
| New York REIT 3,5 | 15,000 | 186,750 | ||||||
| Real Estate Management & Development - 4.1% | ||||||||
| Colliers International Group | 51,200 | 3,414,528 | ||||||
| FirstService Corporation | 190,950 | 25,184,396 | ||||||
| FRP Holdings 2,3 | 76,558 | 3,190,172 | ||||||
| Jones Lang LaSalle | 13,353 | 1,277,348 | ||||||
| Kennedy-Wilson Holdings 2 | 497,084 | 7,217,660 | ||||||
| Marcus & Millichap 1,2,3 | 254,985 | 7,017,187 | ||||||
| RMR Group (The) Cl. A 2 | 80,100 | 2,200,347 | ||||||
| St. Joe Company (The) 1,2,3 | 197,000 | 4,064,110 | ||||||
| Tejon Ranch 1,2,3 | 557,136 | 7,883,474 | ||||||
| 61,449,222 | ||||||||
| Total | 61,635,972 | |||||||
| Utilities – 0.1% | ||||||||
| Water Utilities - 0.1% | ||||||||
| American States Water | 11,520 | 863,424 | ||||||
| Total | 863,424 | |||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $1,293,474,266) | 1,568,219,013 | |||||||
| WARRANTS – 0.0% | ||||||||
| Information Technology – 0.0% | ||||||||
| Semiconductors & Semiconductor Equipment - 0.0% | ||||||||
| eMagin Corporation (Warrants) 3,5 | 50,000 | 0 | ||||||
| Total | 0 | |||||||
| TOTAL WARRANTS | ||||||||
| (Cost $0) | 0 |
| REPURCHASE AGREEMENT – 0.8% | ||||
| Fixed Income Clearing Corporation, | ||||
| 0.00% dated 9/30/20, due 10/1/20, | ||||
| maturity value $11,465,621 (collateralized | ||||
| by obligations of various U.S. Government | ||||
| Agencies, 0.125% due 7/15/24, valued at $11,694,937) | ||||
| (Cost $11,465,621) | 11,465,621 | |||
| TOTAL INVESTMENTS – 104.6% | ||||
| (Cost $1,304,939,887) | 1,579,684,634 | |||
| LIABILITIES LESS CASH | ||||
| AND OTHER ASSETS – (4.6)% | (68,900,494 | ) | ||
| NET ASSETS – 100.0% | $ | 1,510,784,140 | ||
ADR – American Depository Receipt
TAX INFORMATION: The cost of total investments for Federal income tax purposes was $1,306,016,470. At September 30, 2020, net unrealized appreciation for all securities was $273,668,164, consisting of aggregate gross unrealized appreciation of $450,428,003 and aggregate gross unrealized depreciation of $176,759,839. 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 September 30, 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 | $1,511,058,069 | $56,231,194 | $929,750 | $1,568,219,013 | ||||||||
| Warrants | – | – | 0 | 0 | ||||||||
| Repurchase Agreement | – | 11,465,621 | – | 11,465,621 | ||||||||
| Level 3 Reconciliation: | ||||||||||||
Balance as of 12/31/19 | Purchases | Sales | Realized Gain (Loss) | Unrealized Gain (Loss) |
Balance as of 9/30/20 | ||||||||||||
| Common Stocks | $1,085,100 | $ – | $6,750 | $ – | $(148,600 | ) | $929,750 | ||||||||||
| 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).
Fair Value at 9/30/20 | Valuation Technique(s) | Unobservable Input(s) | Range Average | Impact to Valuation From an Increase 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 | 186,750 | Balance Sheet Analysis | Discount | 15%-25% | Decrease |
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 September 30, 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 comply with other financial covenants set forth in 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 September 30, 2020, the Fund has outstanding borrowings of $70,000,000. During the nine months ended September 30, 2020, the Fund borrowed an average daily balance of $70,000,000. As of September 30, 2020 the aggregate value of rehypothecated securities was $66,193,383.
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 nine months ended September 30, 2020:
| Affiliated Company | Shares 12/31/19 | Market Value 12/31/19 | Costs
of Purchases | Proceeds from Sales | Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) | Dividend Income | Shares 9/30/20 | Market Value 9/30/20 | ||||||||||||||||||||
| Industrials - 0.1% | |||||||||||||||||||||||||||||
| Trading Companies & Distributors - 0.1% | |||||||||||||||||||||||||||||
| Houston Wire & Cable 1,2 | 877,363 | $ | 3,869,171 | $ | – | $ | – | $ | – | $ | (1,675,764 | ) | $ | – | 877,363 | $ | 2,193,407 | ||||||||||||
| 3,869,171 | – | (1,675,764 | ) | – | 2,193,407 | ||||||||||||||||||||||||
| Information Technology - 0.2% | |||||||||||||||||||||||||||||
| Electronic Equipment, Instruments & Components - 0.2% | |||||||||||||||||||||||||||||
| Richardson Electronics 1 | 711,475 | 4,005,604 | – | – | – | (1,038,753 | ) | 128,066 | 711,475 | 2,966,851 | |||||||||||||||||||
| 4,005,604 | – | (1,038,753 | ) | 128,066 | 2,966,851 | ||||||||||||||||||||||||
| $ | 7,874,775 | $ | – | $ | (2,714,517 | ) | $ | 128,066 | $ | 5,160,258 | |||||||||||||||||||
| 2 | Non-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).