NPORT-EX 2 NPORT_6622_32977967_0922.htm

 

SCHEDULES OF INVESTMENTS

ROYCE CAPITAL FUND - MICRO-CAP PORTFOLIO

SEPTEMBER 30, 2022 (UNAUDITED)

 

   SHARES   VALUE 
COMMON STOCKS – 94.8%          
           
Communication Services – 4.0%          
Entertainment - 1.8%          
Chicken Soup for the Soul Entertainment Cl. A 1   92,516   $636,510 
Gaia Cl. A 1   131,290    319,035 
IMAX Corporation 1   72,000    1,016,640 
         1,972,185 
Interactive Media & Services - 1.0%          
Enthusiast Gaming Holdings 1   100,400    85,765 
QuinStreet 1   97,600    1,024,800 
         1,110,565 
Media - 1.2%          
Magnite 1   70,700    464,499 
Thryv Holdings 1   41,000    936,030 
         1,400,529 
Total        4,483,279 
           
Consumer Discretionary – 10.3%          
Auto Components - 2.4%          
Modine Manufacturing 1   116,800    1,511,392 
Stoneridge 1   62,800    1,064,460 
Unique Fabricating 1   117,153    61,365 
         2,637,217 
Hotels, Restaurants & Leisure - 1.4%          
Century Casinos 1   141,300    926,928 
Lindblad Expeditions Holdings 1   94,400    638,144 
         1,565,072 
Household Durables - 0.8%          
Legacy Housing 1   49,796    854,001 
Leisure Products - 0.8%          
American Outdoor Brands 1   8,300    72,791 
MasterCraft Boat Holdings 1   45,317    854,226 
         927,017 
Specialty Retail - 4.2%          
Barnes & Noble Education 1   136,400    327,360 
Chico’s FAS 1   196,400    950,576 
Citi Trends 1   43,186    669,815 
JOANN   67,700    448,174 
OneWater Marine Cl. A 1   23,900    719,629 
Shoe Carnival   45,800    981,952 
Zumiez 1   28,300    609,299 
         4,706,805 
Textiles, Apparel & Luxury Goods - 0.7%          
Fossil Group 1   102,700    351,234 
Vera Bradley 1   155,400    467,754 
         818,988 
Total        11,509,100 

 

Energy – 2.3%        
Energy Equipment & Services - 2.3%          
Natural Gas Services Group 1   119,366    1,198,435 
Newpark Resources 1   356,800    899,136 
Profire Energy 1   612,129    520,432 
Total        2,618,003 
           
Financials – 13.9%          
Banks - 7.1%          
Allegiance Bancshares   30,207    1,257,517 
BayCom Corporation   68,582    1,205,672 
HarborOne Bancorp   104,791    1,406,295 
HBT Financial   80,394    1,459,151 
HomeTrust Bancshares   51,400    1,135,940 
Investar Holding Corporation   73,510    1,462,849 
Midway Investments 1,2   1,751,577    0 
         7,927,424 
Capital Markets - 4.7%          
B. Riley Financial   22,300    992,796 
Canaccord Genuity Group   149,782    734,082 
Silvercrest Asset Management Group Cl. A   72,484    1,185,113 
Sprott   30,380    1,019,375 
StoneX Group 1   16,200    1,343,628 
         5,274,994 
Thrifts & Mortgage Finance - 2.1%          
Territorial Bancorp   50,308    932,711 
Western New England Bancorp   175,148    1,423,953 
         2,356,664 
Total        15,559,082 
           
Health Care – 9.0%          
Biotechnology - 1.6%          
CareDx 1   15,200    258,704 
Dynavax Technologies 1   82,600    862,344 
MeiraGTx Holdings 1   81,400    684,574 
         1,805,622 
Health Care Equipment & Supplies - 5.8%          
Apyx Medical 1   132,700    595,823 
Artivion 1   75,489    1,044,768 
AtriCure 1   17,500    684,250 
Bioventus Cl. A 1   139,247    974,729 
Cutera 1,3   22,800    1,039,680 
OrthoPediatrics Corp. 1   22,100    1,019,694 
Profound Medical 1   88,000    356,115 
Surmodics 1   25,878    786,691 
         6,501,750 
Life Sciences Tools & Services - 1.6%          
Harvard Bioscience 1   271,568    695,214 
Inotiv 1,3   20,069    338,163 
NeoGenomics 1   31,400    270,354 
Quanterix Corporation 1   48,200    531,164 
         1,834,895 
Total        10,142,267 

 

Industrials – 23.8%        
Aerospace & Defense - 1.8%          
Astronics Corporation 1   96,355    757,350 
Cadre Holdings   45,605    1,097,256 
CPI Aerostructures 1,4   149,679    181,112 
         2,035,718 
Building Products - 0.9%          
Quanex Building Products   56,400    1,024,224 
Commercial Services & Supplies - 2.8%          
Acme United   29,379    676,305 
Heritage-Crystal Clean 1   50,334    1,488,376 
VSE Corporation   29,000    1,026,600 
         3,191,281 
Construction & Engineering - 5.2%          
Concrete Pumping Holdings 1   115,400    744,330 
Construction Partners Cl. A 1   60,100    1,576,423 
IES Holdings 1   24,400    673,928 
Northwest Pipe 1   55,300    1,553,930 
NV5 Global 1   10,700    1,324,874 
         5,873,485 
Electrical Equipment - 0.5%          
American Superconductor 1   132,800    581,664 
Machinery - 5.5%          
Alimak Group 4   80,500    428,839 
CIRCOR International 1   42,900    707,421 
Commercial Vehicle Group 1   92,145    414,653 
Graham Corporation 1   91,796    806,887 
Luxfer Holdings   66,100    958,450 
Porvair 4   130,700    724,265 
Shyft Group (The)   38,300    782,469 
Wabash National   85,500    1,330,380 
         6,153,364 
Marine - 0.8%          
Clarkson 4   32,000    933,816 
Professional Services - 4.2%          
CRA International   13,796    1,224,257 
Forrester Research 1   27,200    979,472 
Kforce   17,400    1,020,510 
Resources Connection   80,054    1,446,576 
         4,670,815 
Trading Companies & Distributors - 2.1%          
Distribution Solutions Group 1   29,187    822,198 
Transcat 1   19,845    1,502,068 
         2,324,266 
Total        26,788,633 
           
Information Technology – 26.5%          
Communications Equipment - 6.2%          
Applied Optoelectronics 1   20,600    56,032 
Clearfield 1   15,500    1,621,920 
Comtech Telecommunications   53,663    537,166 
Digi International 1   55,959    1,934,503 
DZS 1   38,800    438,440 
EMCORE Corporation 1   189,600    316,632 
Genasys 1   223,300    618,541 
Harmonic 1   109,400    1,429,858 
         6,953,092 
Electronic Equipment, Instruments & Components - 5.3%          
Arlo Technologies 1   95,700    444,048 
FARO Technologies 1   31,200    856,128 
LightPath Technologies Cl. A 1   368,300    394,081 
Luna Innovations 1   192,600    855,144 
nLIGHT 1   74,100    700,245 
PAR Technology 1   24,100    711,673 
PowerFleet 1   229,500    706,860 
VIA optronics ADR 1   71,174    113,879 
Vishay Precision Group 1   40,200    1,189,518 
         5,971,576 
IT Services - 1.6%          
Cass Information Systems   26,048    903,605 
Computer Task Group 1   134,920    903,964 
         1,807,569 
Semiconductors & Semiconductor Equipment - 10.5%          
Aehr Test Systems 1,3   65,800    927,780 
Amtech Systems 1   71,187    605,089 
Axcelis Technologies 1   20,000    1,211,200 
AXT 1   189,100    1,266,970 
Camtek 1   39,752    921,054 
Cohu 1   39,400    1,015,732 
Ichor Holdings 1   35,000    847,350 
Nova 1,3   11,300    963,890 
NVE Corporation   18,100    844,365 
PDF Solutions 1   45,200    1,108,756 
Photronics 1   86,200    1,260,244 
Ultra Clean Holdings 1   33,600    865,200 
         11,837,630 
Software - 1.4%          
Agilysys 1   28,900    1,599,615 
Technology Hardware, Storage & Peripherals - 1.5%          
AstroNova 1   90,862    1,063,085 
Intevac 1   126,881    589,997 
         1,653,082 
Total        29,822,564 
           
Materials – 4.4%          
Chemicals - 0.4%          
Aspen Aerogels 1   44,917    414,135 
Metals & Mining - 4.0%          
Altius Minerals   52,600    737,203 
Ferroglobe 1   84,300    445,104 
Haynes International   35,770    1,256,242 
Major Drilling Group International 1   187,900    1,130,379 
Universal Stainless & Alloy Products 1   140,247    998,559 
         4,567,487 
Total        4,981,622 
           
Real Estate – 0.6%          
Real Estate Management & Development - 0.6%          
FRP Holdings 1   12,240    665,366 
Total        665,366 

 

TOTAL COMMON STOCKS        
(Cost $99,169,331)        106,569,916 
           
REPURCHASE AGREEMENT – 5.7%          
Fixed Income Clearing Corporation,
0.83% dated 9/30/22, due 10/3/22,
maturity value $6,399,205 (collateralized
by obligations of various U.S. Government
Agencies, 2.875% due 6/15/25, valued at $6,526,745)
          
(Cost $6,398,762)        6,398,762 
           
COLLATERAL RECEIVED FOR SECURITIES
LOANED – 0.6%
          
Money Market Funds           
Federated Government Obligations Fund -
Institutional Shares (7 day yield-2.81%)
(Cost $732,076)
   732,076    732,076 
           
TOTAL INVESTMENTS – 101.1%          
(Cost $106,300,169)        113,700,754 
           
LIABILITIES LESS CASH
AND OTHER ASSETS – (1.1)%
        (1,243,333)
           
NET ASSETS – 100.0%       $112,457,421 

 

 

 

 

SCHEDULES OF INVESTMENTS

ROYCE CAPITAL FUND - SMALL-CAP PORTFOLIO

SEPTEMBER 30, 2022 (UNAUDITED)

 

   SHARES   VALUE 
COMMON STOCKS – 95.7%          
           
Communication Services – 3.2%          
Entertainment - 1.3%          
SciPlay Corporation Cl. A 1   230,400   $2,709,504 
Media - 1.9%          
Entravision Communications Cl. A   520,342    2,065,758 
Saga Communications Cl. A   75,360    1,970,664 
         4,036,422 
Total        6,745,926 
           
Consumer Discretionary – 15.3%          
Diversified Consumer Services - 1.4%          
Lincoln Educational Services 1   533,785    2,903,790 
Hotels, Restaurants & Leisure - 1.2%          
Bloomin’ Brands   141,600    2,595,528 
Household Durables - 2.9%          
La-Z-Boy   58,050    1,310,188 
M/I Homes 1   36,724    1,330,511 
Meritage Homes 1   12,807    899,948 
PulteGroup   69,250    2,596,875 
         6,137,522 
Leisure Products - 1.2%          
Malibu Boats Cl. A 1   24,718    1,186,217 
MasterCraft Boat Holdings 1   70,034    1,320,141 
         2,506,358 
Specialty Retail - 4.4%          
Container Store Group (The) 1   302,758    1,483,514 
Haverty Furniture   58,500    1,456,650 
Lazydays Holdings 1,3   185,857    2,509,069 
OneWater Marine Cl. A 1   39,533    1,190,339 
Shoe Carnival   123,625    2,650,520 
         9,290,092 
Textiles, Apparel & Luxury Goods - 4.2%          
Carter’s   37,966    2,487,912 
Kontoor Brands   73,800    2,480,418 
Movado Group   64,627    1,821,189 
Skechers U.S.A. Cl. A 1   72,000    2,283,840 
         9,073,359 
Total        32,506,649 
           
Consumer Staples – 2.2%          
Food & Staples Retailing - 2.2%          
Ingles Markets Cl. A   30,311    2,400,934 
Village Super Market Cl. A   125,024    2,416,714 
Total        4,817,648 
           
Energy – 6.6%          
Oil, Gas & Consumable Fuels - 6.6%          
Chord Energy   25,373    3,470,265 
Civitas Resources   46,000    2,639,940 
Dorchester Minerals L.P.   111,605    2,787,893 
Matador Resources   49,900    2,441,108 
Riley Exploration Permian   17,500    332,150 
SilverBow Resources 1,3   91,396    2,456,725 
Total        14,128,081 
           
Financials – 18.3%          
Banks - 8.1%          
Ames National   11,615    257,621 
Bank of Princeton   62,844    1,781,627 
Chemung Financial   21,216    888,314 
Citizens Community Bancorp   129,982    1,581,881 
CNB Financial   90,852    2,141,382 
Financial Institutions   69,363    1,669,567 
First United   5,962    98,671 
Landmark Bancorp   40,588    1,037,835 
Mid Penn Bancorp   65,060    1,869,174 
MidWestOne Financial Group   21,353    582,723 
National Bankshares   63,437    2,141,633 
Riverview Bancorp   141,399    897,884 
Unity Bancorp   91,408    2,295,255 
         17,243,567 
Capital Markets - 3.4%          
Evercore Cl. A   34,000    2,796,500 
Houlihan Lokey Cl. A   29,242    2,204,262 
Moelis & Company Cl. A   63,601    2,150,350 
         7,151,112 
Insurance - 3.6%          
CNO Financial Group   81,130    1,457,906 
Employers Holdings   75,834    2,615,515 
James River Group Holdings   32,298    736,717 
Tiptree   273,244    2,940,105 
         7,750,243 
Thrifts & Mortgage Finance - 3.2%          
Timberland Bancorp   108,970    3,013,021 
TrustCo Bank Corp NY   65,877    2,069,855 
Western New England Bancorp   211,407    1,718,739 
         6,801,615 
Total        38,946,537 
           
Health Care – 7.2%          
Biotechnology - 2.5%          
Catalyst Pharmaceuticals 1   169,483    2,174,467 
Ironwood Pharmaceuticals Cl. A 1   304,011    3,149,554 
         5,324,021 
Health Care Providers & Services - 3.7%          
Cross Country Healthcare 1   122,075    3,463,268 
Ensign Group (The)   11,864    943,188 
Molina Healthcare 1   10,400    3,430,336 
         7,836,792 
Pharmaceuticals - 1.0%          
SIGA Technologies   217,699    2,242,299 
Total        15,403,112 

 

Industrials – 17.3%        
Building Products - 2.9%          
Builders FirstSource 1   27,730    1,633,851 
Quanex Building Products   126,823    2,303,106 
UFP Industries   30,300    2,186,448 
         6,123,405 
Construction & Engineering - 2.3%          
Northwest Pipe 1   63,507    1,784,547 
Sterling Infrastructure 1   145,449    3,122,790 
         4,907,337 
Electrical Equipment - 1.0%          
Preformed Line Products   28,625    2,036,669 
Professional Services - 6.1%          
Barrett Business Services   32,848    2,562,144 
Heidrick & Struggles International   88,089    2,289,433 
Kforce   37,414    2,194,331 
Korn Ferry   41,235    1,935,983 
Mastech Digital 1   79,652    1,176,460 
Resources Connection   160,167    2,894,218 
         13,052,569 
Road & Rail - 5.0%          
ArcBest Corporation   42,149    3,065,496 
Heartland Express   146,567    2,097,374 
Schneider National Cl. B   143,700    2,917,110 
Werner Enterprises   68,350    2,569,960 
         10,649,940 
Total        36,769,920 
           
Information Technology – 23.7%          
Communications Equipment - 1.2%          
Aviat Networks 1   90,014    2,464,583 
Electronic Equipment, Instruments & Components - 12.5%          
ePlus 1   61,788    2,566,674 
Flex 1   199,900    3,330,334 
Insight Enterprises 1   30,865    2,543,585 
Jabil   59,400    3,427,974 
Kimball Electronics 1   164,216    2,816,304 
PC Connection   55,726    2,512,685 
Sanmina Corporation 1   76,443    3,522,493 
TD SYNNEX   34,442    2,796,346 
Vishay Intertechnology   175,061    3,114,335 
         26,630,730 
IT Services - 2.1%          
Computer Task Group 1   264,552    1,772,499 
IBEX 1   141,260    2,623,198 
         4,395,697 
Semiconductors & Semiconductor Equipment - 6.8%          
Alpha & Omega Semiconductor 1   81,000    2,491,560 
Amkor Technology   173,684    2,961,312 
Cohu 1   108,360    2,793,521 
Kulicke & Soffa Industries   69,813    2,689,895 
MKS Instruments   14,591    1,205,800 
Ultra Clean Holdings 1   94,138    2,424,054 
         14,566,142 

 

Software - 1.1%        
Xperi Holding Corporation   170,100    2,405,214 
Total        50,462,366 
           
Real Estate – 1.9%          
Real Estate Management & Development - 1.9%          
Marcus & Millichap   74,125    2,429,818 
RMR Group (The) Cl. A   65,122    1,542,740 
Total        3,972,558 
             

TOTAL COMMON STOCKS

          
(Cost $200,924,168)        203,752,797 

  

REPURCHASE AGREEMENT 5.7%        
Fixed Income Clearing Corporation,
0.83% dated 9/30/22, due 10/3/22,
maturity value $12,101,026 (collateralized
by obligations of various U.S. Government
Agencies, 2.875% due 6/15/25, valued at $12,342,218)
(Cost $12,100,189)
        12,100,189 
           
COLLATERAL RECEIVED FOR SECURITIES
LOANED 1.8%
          
Money Market Funds          
Federated Government Obligations Fund -
Institutional Shares (7 day yield-2.81%)
          
(Cost $3,911,220)   3,911,220    3,911,220 
           
TOTAL INVESTMENTS – 103.2%          
(Cost $216,935,577)        219,764,206 
           
LIABILITIES LESS CASH
AND OTHER ASSETS – (3.2)%
        (6,852,949)
           
NET ASSETS – 100.0%       $212,911,257 

 

ADR - American Depository Receipt

1Non-income producing.

2A security for which market quotations are not readily available represents 0.0% of net assets for Royce Micro-Cap Portfolio. This security has been valued at its fair value under procedures approved by the Fund's Board of Trustees. This security is defined as a Level 3 security due to the use of significant unobservable inputs in the determination of fair value.

3All or a portion of these securities were on loan as of September 30, 2022.

4These securities are defined as Level 2 securities due to fair value being based on quoted prices for similar securities and/or due to the application of fair value factors.

 

Tax Information:

As of September 30, 2022, 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  $106,333,482   $7,367,272   $28,883,338   $21,516,066 
Small-Cap Portfolio   218,285,847    1,478,359    20,692,478    19,214,119 

 

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 Investment Company Act of 1940 (“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 and/or foreign securities that were fair valued are 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 September 30, 2022. 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 

  $104,301,884   $2,268,032   $0   $106,569,916 
Repurchase Agreement       6,398,762        6,398,762 
Money Market Fund/Collateral Received for Securities Loaned    732,076            732,076 
Small-Cap Portfolio                    
Common Stocks    203,752,797            203,752,797 
Repurchase Agreement       12,100,189        12,100,189 
Money Market Fund/Collateral Received for Securities Loaned    3,911,220            3,911,220 
                    

Level 3 Reconciliation:

 

   Balance as of
12/31/21
   Sales   Realized
Gain (Loss)
  

Unrealized
Gain (Loss)

   Balance as of
9/30/22
 

Micro-Cap Portfolio

                    
Common Stocks   $ 628,264   $ 806,010   $ (3,336,482)   $ 3,514,228   $ 0 
                          

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 as of September 30, 2022, 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 as of September 30, 2022:

 

   Cash Collateral1 

Securities on Loan
Collateralized by Cash Collateral

  Net Amount
Micro-Cap Portfolio  $732,076   $(711,881)  $20,195 
Small-Cap Portfolio   3,911,220    (3,900,885)   10,335 

 

1 The 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 as of September 30, 2022:

 

   Non-Cash Collateral 

Securities on Loan
Collateralized by Non-Cash
Collateral

  Net Amount
Micro-Cap Portfolio  $2,330,931   $(2,277,791)  $53,140 

 

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).