article , video 02-23-2021

 

SCHEDULES OF INVESTMENTS

ROYCE CAPITAL FUND - MICRO-CAP PORTFOLIO
MARCH 31, 2020 (UNAUDITED)

 

		SHARES				VALUE
COMMON STOCKS – 98.0%
Communication Services – 2.1%
Entertainment - 1.1%
Gaia Cl. A 1			116,600			$	1,035,408
Interactive Media & Services - 0.8%
QuinStreet 1			99,800				803,390
Media - 0.2%
Marchex Cl. B 1
			126,100				182,845
Total							2,021,643
Consumer Discretionary – 7.8%
Auto Components - 2.2%
Fox Factory Holding 1,2			16,000				672,000
Stoneridge 1			64,100				1,073,675
Unique Fabricating 1			173,300				405,522
							2,151,197
Diversified Consumer Services - 0.4%
Collectors Universe			27,000				423,090
Hotels, Restaurants & Leisure - 1.0%
Century Casinos 1			192,100				462,961
Cheesecake Factory			12,600				215,208
Lindblad Expeditions Holdings 1			83,300				347,361
							1,025,530
Household Durables - 0.4%
Lovesac Company (The) 1,2			64,000				373,120
Internet & Direct Marketing Retail - 0.8%
Rubicon Project (The) 1			131,900				732,045
Leisure Products - 0.6%
MasterCraft Boat Holdings 1,2			80,117				584,854
Specialty Retail - 1.9%
Citi Trends			61,086				543,666
OneWater Marine Cl. A 1			49,800				380,970
Shoe Carnival			47,100				978,267
							1,902,903
Textiles, Apparel & Luxury Goods - 0.5%
Vera Bradley 1			122,200				503,464
Total							7,696,203
Consumer Staples – 0.2%
Beverages - 0.2%
Eastside Distilling 1
			131,200				152,192
Total							152,192
Energy  – 2.2%
Energy Equipment & Services - 1.4%
Natural Gas Services Group 1			89,600				399,616
Newpark Resources 1			227,400				203,978
Pason Systems			85,300				378,828
Profire Energy 1
			527,729				415,639
							1,398,061
Oil, Gas & Consumable Fuels - 0.8%
Ardmore Shipping			154,800				812,700
Total							2,210,761
Financials – 15.8%
Banks - 6.8%
Allegiance Bancshares			29,400				708,834
BayCom Corporation 1			54,282				654,098
Caribbean Investment Holdings			1,751,547				554,490
County Bancorp			54,100				1,000,850
HarborOne Bancorp 1			134,691				1,014,223
HomeTrust Bancshares			44,700				711,624
Howard Bancorp 1			28,100				305,166
Investar Holding			63,000				804,510
Midway Investments 1,3			1,751,577				0
Professional Holding Cl. A 1			14,600				232,870
TriState Capital Holdings 1			73,172				707,574
							6,694,239
Capital Markets - 4.6%
B. Riley Financial			70,700				1,302,294
Canaccord Genuity Group			222,500				684,591
INTL FCStone 1			24,000				870,240
Silvercrest Asset Management Group Cl. A			90,300				854,238
Sprott			490,600				798,319
							4,509,682
Diversified Financial Services - 0.3%
Waterloo Investment Holdings 1,3			1,302,000				325,500
Insurance - 0.6%
Benefytt Technologies Cl. A 1,2			28,000				626,920
Thrifts & Mortgage Finance - 3.5%
Meridian Bancorp			41,900				470,118
PCSB Financial			66,500				930,335
Territorial Bancorp			41,900				1,028,645
Western New England Bancorp			154,654				1,045,461
							3,474,559
Total							15,630,900
Health Care – 14.5%
Biotechnology - 2.9%
BioSpecifics Technologies 1			15,600				882,492
CareDx 1			8,600				187,738
Dynavax Technologies 1			129,100				455,723
Zealand Pharma 1			38,158				1,315,543
							2,841,496
Health Care Equipment & Supplies - 7.6%
Apyx Medical 1			88,900				319,151
AtriCure 1			36,900				1,239,471
Chembio Diagnostics 1			186,600				955,392
CryoLife 1			40,489				685,074
Mesa Laboratories			4,700				1,062,623
Misonix 1			21,600				203,472
OrthoPediatrics Corporation 1,2			37,000				1,466,680
Profound Medical 1			63,200				608,064
Surmodics 1			27,878				928,895
							7,468,822
Health Care Providers & Services - 0.0%
Sharps Compliance 1			5,600				44,464
Life Sciences Tools & Services - 3.3%
Harvard Bioscience 1			376,668				832,436
NeoGenomics 1			51,100				1,410,871
Quanterix Corporation 1			54,300				997,491
							3,240,798
Pharmaceuticals - 0.7%
Axsome Therapeutics 1			12,200				717,726
Total							14,313,306
Industrials – 22.5%
Aerospace & Defense - 0.7%
Astronics Corporation 1			31,026				284,819
CPI Aerostructures 1			174,544				392,724
							677,543
Airlines - 0.1%
Hawaiian Holdings			11,200				116,928
Commercial Services & Supplies - 1.7%
Acme United			44,965				911,441
Heritage-Crystal Clean 1			47,334				768,704
							1,680,145
Construction & Engineering - 5.3%
Ameresco Cl. A 1			80,700				1,374,321
Construction Partners Cl. A 1,2			82,100				1,386,669
IES Holdings 1			19,000				335,350
Northwest Pipe 1			60,100				1,337,225
NV5 Global 1			18,200				751,478
							5,185,043
Electrical Equipment - 1.5%
American Superconductor 1			138,100				756,788
Encore Wire			17,000				713,830
							1,470,618
Industrial Conglomerates - 0.4%
Raven Industries			17,000				360,910
Machinery - 5.8%
Alimak Group			80,300				708,186
CIRCOR International 1			36,700				426,821
Graham Corporation			78,620				1,014,198
Luxfer Holdings			59,600				842,744
Porvair			149,900				940,725
Spartan Motors			67,700				874,007
Wabash National			88,500				638,970
Westport Fuel Systems 1			345,300				324,893
							5,770,544
Marine - 1.2%
Clarkson 1			42,000				1,203,418
Professional Services - 4.4%
CRA International			22,106				738,562
Forrester Research 1			8,900				260,147
GP Strategies 1			98,608				641,938
Heidrick & Struggles International			44,400				999,000
Kforce			30,200				772,214
Resources Connection			84,754				929,751
							4,341,612
Trading Companies & Distributors - 1.4%
Lawson Products 1			27,200				726,784
Transcat 1			25,300				670,450
							1,397,234
Total							22,203,995
Information Technology – 26.5%
Communications Equipment - 1.8%
Digi International 1			97,400				929,196
EMCORE Corporation 1			206,800				463,232
Harmonic 1			67,900				391,104
							1,783,532
Electronic Equipment, Instruments & Components - 7.1%
Fabrinet 1			13,069				713,044
FARO Technologies 1			23,100				1,027,950
LightPath Technologies Cl. A 1			396,300				424,041
Luna Innovations 1			123,600				760,140
nLIGHT 1,2			60,900				638,841
Novanta 1			8,600				686,968
PAR Technology 1			39,600				509,256
PC Connection			27,800				1,145,638
Vishay Precision Group 1			51,700				1,038,136
							6,944,014
IT Services - 0.6%
Cass Information Systems			16,148				567,764
Semiconductors & Semiconductor Equipment - 14.2%
Aehr Test Systems 1			398,300				665,161
Axcelis Technologies 1			42,900				785,499
AXT 1			252,800				811,488
Brooks Automation			18,400				561,200
Camtek			109,200				919,464
Cohu			67,700				838,126
CyberOptics Corporation 1			48,200				824,702
Everspin Technologies 1			155,100				406,362
Ichor Holdings 1			45,300				867,948
NeoPhotonics Corporation 1			200,900				1,456,525
Nova Measuring Instruments 1,2			42,000				1,371,300
PDF Solutions 1			98,400				1,153,248
Photronics 1			133,100				1,365,606
Silicon Motion Technology ADR			26,900				986,154
Ultra Clean Holdings 1			74,900				1,033,620
							14,046,403
Software - 2.4%
Agilysys 1			57,100				953,570
QAD Cl. A			35,000				1,397,550
							2,351,120
Technology Hardware, Storage & Peripherals - 0.4%
AstroNova			53,400				414,384
Total							26,107,217
Materials – 3.1%
Chemicals - 0.8%
FutureFuel Corporation			3,900				43,953
Trecora Resources 1			133,200				792,540
							836,493
Metals & Mining - 2.3%
Altius Minerals			78,900				397,499
Haynes International			39,870				821,721
Major Drilling Group International 1			299,700				606,939
Universal Stainless & Alloy Products 1			53,700				414,027
							2,240,186
Total							3,076,679
Real Estate – 3.3%
Equity Real Estate Investment Trusts (REITs) - 1.5%
Community Healthcare Trust			13,500				516,780
Postal Realty Trust Cl. A			58,400				923,888
							1,440,668
Real Estate Management & Development - 1.8%
FRP Holdings 1			23,440				1,007,920
Marcus & Millichap 1			29,900				810,290
							1,818,210
Total							3,258,878
TOTAL COMMON STOCKS
(Cost $115,093,287)							96,671,774
REPURCHASE AGREEMENT – 1.2%
Fixed Income Clearing Corporation, 0.00% dated 3/31/20, due 4/1/20, maturity value $1,209,000 (collateralized by obligations of various U.S. Government Agencies, 1.375% due 10/15/22, valued at $1,236,278)
(Cost $1,209,000)							1,209,000
COLLATERAL RECEIVED FOR SECURITIES
LOANED – 0.9%
Money Market Funds
Federated Government Obligations Fund
(7 day yield-0.33%)
(Cost $865,462)							865,462
TOTAL INVESTMENTS – 100.1%
(Cost $117,167,749)							98,746,236
LIABILITIES LESS CASH
AND OTHER ASSETS – (0.1)%							(90,627	)
NET ASSETS – 100.0%						$	98,655,609

 

 

 

 

SCHEDULES OF INVESTMENTS

ROYCE CAPITAL FUND - SMALL-CAP PORTFOLIO
MARCH 31, 2020 (UNAUDITED)

 

		SHARES				VALUE
COMMON STOCKS – 92.9%
Communication Services – 1.5%
Media - 1.5%
Saga Communications Cl. A			94,777			$	2,607,315
Total							2,607,315
Consumer Discretionary – 12.0%
Auto Components - 0.5%
Gentex Corporation			42,416				939,939
Hotels, Restaurants & Leisure - 1.5%
Cheesecake Factory			33,000				563,640
Hilton Grand Vacations 1			129,709				2,045,511
							2,609,151
Household Durables - 1.7%
La-Z-Boy			40,386				829,932
PulteGroup			94,350				2,105,892
							2,935,824
Leisure Products - 0.4%
MasterCraft Boat Holdings 1			94,300				688,390
Specialty Retail - 6.8%
American Eagle Outfitters			313,165				2,489,662
Caleres			181,417				943,368
Designer Brands Cl. A			384,066				1,912,649
OneWater Marine Cl. A 1			128,900				986,085
Rent-A-Center			216,160				3,056,502
Shoe Carnival			132,036				2,742,388
							12,130,654
Textiles, Apparel & Luxury Goods - 1.1%
G-III Apparel Group 1			146,895				1,131,092
Steven Madden			32,606				757,437
							1,888,529
Total							21,192,487
Consumer Staples – 0.5%
Food & Staples Retailing - 0.5%
Village Super Market Cl. A			38,840				954,687
Total							954,687
Energy – 2.4%
Energy Equipment & Services - 1.3%
DMC Global			32,306				743,361
Helmerich & Payne			56,400				882,660
Solaris Oilfield Infrastructure Cl. A			132,000				693,000
							2,319,021
Oil, Gas & Consumable Fuels - 1.1%
Bonanza Creek Energy 1			111,608				1,255,590
Dorchester Minerals L.P.			32,200				299,782
Penn Virginia 1,2			111,426				344,306
							1,899,678
Total							4,218,699
Financials – 28.4%
Banks - 12.4%
Ames National			143,419				2,932,919
Camden National			87,794				2,761,121
City Holding Company			39,060				2,598,662
CNB Financial			137,849				2,601,211
Codorus Valley Bancorp			61,843				995,672
Financial Institutions			60,182				1,091,702
Landmark Bancorp			41,420				844,968
MidWestOne Financial Group			53,792				1,126,404
National Bankshares			104,868				3,345,289
Northrim BanCorp			85,381				2,305,287
Unity Bancorp			112,954				1,321,562
							21,924,797
Capital Markets - 6.3%
Evercore Cl. A			84,200				3,878,252
Houlihan Lokey Cl. A			61,415				3,200,950
Moelis & Company Cl. A			129,301				3,633,358
Pzena Investment Management Cl. A			84,297				375,964
							11,088,524
Insurance - 3.6%
James River Group Holdings			84,735				3,070,796
Kingstone Companies			178,345				911,343
Reinsurance Group of America			28,836				2,426,261
							6,408,400
Thrifts & Mortgage Finance - 6.1%
Genworth MI Canada			124,250				2,760,817
Southern Missouri Bancorp			56,467				1,370,454
Timberland Bancorp			79,877				1,460,950
TrustCo Bank Corp. NY			479,155				2,592,229
WSFS Financial			105,200				2,621,584
							10,806,034
Total							50,227,755
Health Care – 5.0%
Biotechnology - 1.4%
Catalyst Pharmaceuticals 1,2			403,200				1,552,320
Coherus BioSciences 1			57,012				924,735
							2,477,055
Health Care Providers & Services - 2.9%
AMN Healthcare Services 1			39,709				2,295,577
Ensign Group (The)			70,214				2,640,749
Pennant Group 1			17,857				252,855
							5,189,181
Pharmaceuticals - 0.7%
Supernus Pharmaceuticals 1			69,000				1,241,310
Total							8,907,546
Industrials – 27.0%
Aerospace & Defense - 2.9%
Magellan Aerospace			275,700				1,275,355
Vectrus 1			95,507				3,954,945
							5,230,300
Building Products - 0.3%
Universal Forest Products			12,900				479,751
Commercial Services & Supplies - 2.1%
Herman Miller			28,303				628,326
Kimball International Cl. B			237,582				2,829,602
Knoll			30,900				318,888
							3,776,816
Construction & Engineering - 1.8%
Comfort Systems USA			83,971				3,069,140
MasTec 1			2,000				65,460
							3,134,600
Electrical Equipment - 0.5%
EnerSys			17,287				856,052
Machinery - 5.9%
Alamo Group			10,807				959,446
Commercial Vehicle Group 1			503,058				759,618
Federal Signal			61,222				1,670,136
Mayville Engineering 1			41,623				255,149
Meritor 1			112,501				1,490,638
Miller Industries			187,351				5,298,286
							10,433,273
Professional Services - 7.6%
Heidrick & Struggles International			202,061				4,546,372
Kforce			99,896				2,554,341
Korn Ferry			124,407				3,025,578
Resources Connection			136,880				1,501,574
Robert Half International			47,564				1,795,541
							13,423,406
Road & Rail - 4.3%
ArcBest			153,118				2,682,627
Old Dominion Freight Line			10,506				1,379,018
Saia 1			15,300				1,125,162
Werner Enterprises			66,739				2,419,956
							7,606,763
Trading Companies & Distributors - 1.6%
BMC Stock Holdings 1			161,932				2,871,055
Total							47,812,016
Information Technology – 14.4%
Electronic Equipment, Instruments & Components - 11.5%
ePlus 1			8,771				549,240
Fabrinet 1			38,902				2,122,493
Insight Enterprises 1			101,152				4,261,534
Methode Electronics			25,722				679,832
PC Connection			121,303				4,998,897
Plexus Corporation 1			2,400				130,944
Sanmina Corporation 1			181,393				4,948,401
Vishay Intertechnology			183,699				2,647,103
							20,338,444
IT Services - 0.1%
Hackett Group (The)			7,807				99,305
Semiconductors & Semiconductor Equipment - 2.8%
Advanced Energy Industries 1			20,108				975,037
Kulicke & Soffa Industries			141,426				2,951,560
MKS Instruments			13,191				1,074,407
							5,001,004
Total							25,438,753
Real Estate – 1.7%
Real Estate Management & Development - 1.7%
Marcus & Millichap 1			109,319				2,962,545
Total							2,962,545
TOTAL COMMON STOCKS
(Cost $217,766,575)							164,321,803
REPURCHASE AGREEMENT – 7.0%
Fixed Income Clearing Corporation, 0.00% dated 3/31/20, due 4/1/20, maturity value $12,358,000 (collateralized by obligations of various U.S. Government Agencies, 1.375% due 10/15/22, valued at $12,605,894)
(Cost $12,358,000)							12,358,000
COLLATERAL RECEIVED FOR SECURITIES
LOANED – 0.0%
Money Market Funds
Federated Government Obligations Fund
(7 day yield-0.33%)
(Cost $67,068)							67,068
TOTAL INVESTMENTS – 99.9%
(Cost $230,191,643)							176,746,871
CASH AND OTHER ASSETS
LESS LIABILITIES – 0.1%							97,386
NET ASSETS – 100.0%						$	176,844,257

ADR – American Depository Receipt

¹Non-income producing.

²All or a portion of these securities were on loan at March 31, 2020.

³Securities for which market quotations are not readily available represent 0.3% of net assets for Royce Micro-Cap Portfolio. These securities have been valued at their fair value under procedures approved by the Fund’s Board of Trustees. These securities are defined as Level 3 securities due to the use of significant unobservable inputs in the determination of fair value.

 

Tax Information:

 

At March 31, 2020, net unrealized appreciation (depreciation) based on identified cost for tax purposes was as follows:

 

 

						Net Unrealized
						Appreciation				Gross Unrealized
		Tax Basis Cost				(Depreciation)				Appreciation				Depreciation
Micro-Cap Portfolio		$	117,194,439			$	(18,448,203	)		$	15,314,551			$	33,762,754
Small-Cap Portfolio			232,611,353				(55,864,482	)			9,152,677				65,017,159

 

 

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 Funds value their 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 Trust’s Board of Trustees, 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, a Fund may fair value the security. The Funds use 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 a 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 each 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 would be noted in the Schedules 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 each Fund’s investments as of March 31, 2020. For a detailed breakout of common stocks by sector classification, please refer to the Schedules of Investments. 

		Level 1				Level 2				Level 3				Total
Micro-Cap Portfolio
Common Stocks		$	91,623,911			$	4,722,363			$	325,500			$	96,671,774
Repurchase Agreement			–				1,209,000				–				1,209,000
Money Market Fund/Collateral Received for
Securities Loaned			865,462				–				–				865,462
Small-Cap Portfolio
Common Stocks			164,321,803				–				–				164,321,803
Repurchase Agreement			–				12,358,000				–				12,358,000
Money Market Fund/Collateral Received for
Securities Loaned			67,068				–				–				67,068

 

Level 3 Reconciliation:        

 

Balance as of 12/31/19

Realized Gain (Loss)

Unrealized Gain (Loss)

Balance as of 3/31/20

Micro-Cap Portfolio

Common Stocks

$390,600

$–

$(65,100)

$325,500

  

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

Valuation

Unobservable

From an Increase in

3/31/20

Technique(s)

Input(s)

Range Average

Input1

Micro-Cap Portfolio

Common Stocks

$325,500

Discounted Present Value Balance Sheet Analysis

Liquidity Discount

30%-40%

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 Funds may enter into repurchase agreements with institutions that the Funds’ investment adviser has determined are creditworthy. Each 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 each Fund to dispose of its underlying securities. The remaining contractual maturities of repurchase agreements held by the Funds at March 31, 2020 are overnight and continuous.

 

 

Securities Lending:  

The Funds loan securities through a lending agent, State Street Bank and Trust Company, to qualified institutional investors for the purpose of earning additional income. The lending agent receives and holds collateral from such borrowers to secure their obligations to the Funds. Such loans must be secured at all times by collateral in an amount at least equal to the market value of the loaned securities. The market values of the loaned securities and the collateral fluctuate and are determined at the close of each business day by the lending agent. Borrowers are required to post additional collateral to the lending agent on the next succeeding business day in the event of a collateral shortfall. Counterparty risk is further reduced by loaning securities only to parties that participate in a Global Securities Lending Program organized and monitored by the lending agent and that are deemed by it to satisfy its requirements and by having the lending agent enter into securities lending agreements with such borrowers. The lending agent is not affiliated with Royce.

 

Collateral may be in the form of cash or U.S. Treasuries. Cash collateral is invested in certain money market pooled investment vehicles. The Funds record a liability in their respective Statements of Assets and Liabilities for the return of such cash collateral during periods in which securities are on loan. The Funds bear the risk of loss for any decrease in the market value of the loaned securities or the investments purchased with cash collateral received from the borrowers.

 

Pursuant to the agreement in place between the Funds and the lending agent, if a borrower fails to return loaned securities, and the cash collateral being maintained by the lending agent on behalf of such borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent shall, at its option, either replace the loaned securities or pay the amount of the shortfall to the Funds. In the event of the bankruptcy of a borrower, the Funds could experience delay in recovering the loaned securities or only recover cash or a security of equivalent value.

 

Loans of securities generally do not have stated maturity dates, and the Funds may recall a security at any time. The Funds’ securities lending income consists of the income earned on investing cash collateral, plus any premium payments received for lending certain securities, less any rebates paid to borrowers and lending agent fees associated with the loan. Pursuant to the agreement in place between the Funds and the lending agent, the Funds are responsible for any shortfall in the event the value of the investments purchased with cash collateral is insufficient to pay the rebate fee to the borrower.

 

The following table presents cash collateral and the market value of securities on loan collateralized by cash collateral held by the Funds at March 31, 2020:

 

		Cash Collateral1				Securities on Loan Collateralized by Cash Collateral				Net Amount
Micro-Cap Portfolio		$	865,462			$	(844,322	)		$	21,140
Small-Cap Portfolio			67,068				(69,080	)			(2,012	)

 

¹ The remaining contractual maturity of cash collateral is overnight and continuous.

 

The following table presents non-cash collateral and the market value of securities on loan collateralized by non-cash collateral held by the Funds’ custodian at March 31, 2020:

 

		Non-Cash Collateral				Securities on Loan Collateralized by Non-Cash Collateral				Net Amount
Micro-Cap Portfolio		$	1,728,015			$	(1,680,741	)		$	47,274
Small-Cap Portfolio			1,840,517				(1,803,841	)			36,676

 

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

 

 

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