SCHEDULE OF INVESTMENTS
ROYCE VALUE TRUST
SEPTEMBER 30, 2021 (UNAUDITED)
| SHARES | VALUE | |||||||
| COMMON STOCKS – 100.9% | ||||||||
| Communication Services – 2.1% | ||||||||
| Diversified Telecommunication Services - 1.0% | ||||||||
| Bandwidth Cl. A 1 | 183,730 | $ | 16,587,144 | |||||
| Cogent Communications Holdings 2 | 3,265 | 231,293 | ||||||
| Liberty Latin America Cl. C 1,2,3 | 319,528 | 4,192,207 | ||||||
| 21,010,644 | ||||||||
| Entertainment - 0.4% | ||||||||
| IMAX Corporation 1 | 367,250 | 6,970,405 | ||||||
| Marcus Corporation (The) 1 | 6,051 | 105,590 | ||||||
| World Wrestling Entertainment Cl. A | 4,084 | 229,766 | ||||||
| 7,305,761 | ||||||||
| Interactive Media & Services - 0.2% | ||||||||
| Enthusiast Gaming Holdings 1 | 257,750 | 929,984 | ||||||
| QuinStreet 1,2 | 204,154 | 3,584,944 | ||||||
| 4,514,928 | ||||||||
| Media - 0.5% | ||||||||
| AMC Networks Cl. A 1 | 22,804 | 1,062,438 | ||||||
| comScore 1,2 | 404,910 | 1,579,149 | ||||||
| E.W. Scripps Company (The) Cl. A | 6,825 | 123,260 | ||||||
| Gannett Company 1 | 34,307 | 229,171 | ||||||
| Magnite 1 | 31,550 | 883,400 | ||||||
| Meredith Corporation 1 | 68,733 | 3,828,428 | ||||||
| Thryv Holdings 1 | 50,000 | 1,502,000 | ||||||
| 9,207,846 | ||||||||
| Wireless Telecommunication Services - 0.0% | ||||||||
| Shenandoah Telecommunications | 8,445 | 266,693 | ||||||
| Spok Holdings | 44,181 | 451,530 | ||||||
| 718,223 | ||||||||
| Total | 42,757,402 | |||||||
| Consumer Discretionary – 11.2% | ||||||||
| Auto Components - 1.7% | ||||||||
| Dorman Products 1,2 | 55,700 | 5,273,119 | ||||||
| Gentex Corporation 2 | 197,430 | 6,511,241 | ||||||
| Goodyear Tire & Rubber 1 | 10,701 | 189,408 | ||||||
| LCI Industries 2 | 111,229 | 14,974,760 | ||||||
| Motorcar Parts of America 1 | 14,947 | 291,467 | ||||||
| Patrick Industries 2 | 89,872 | 7,486,338 | ||||||
| Standard Motor Products 2 | 20,100 | 878,571 | ||||||
| XPEL 1 | 4,911 | 372,548 | ||||||
| 35,977,452 | ||||||||
| Distributors - 0.2% | ||||||||
| LKQ Corporation 1,2 | 101,400 | 5,102,448 | ||||||
| Diversified Consumer Services - 0.3% | ||||||||
| American Public Education 1 | 27,381 | 701,228 | ||||||
| Perdoceo Education 1 | 32,425 | 342,408 | ||||||
| Regis 1 | 49,910 | 173,687 | ||||||
| Universal Technical Institute 1 | 639,032 | 4,319,856 | ||||||
| 5,537,179 | ||||||||
| Hotels, Restaurants & Leisure - 2.1% | ||||||||
| Century Casinos 1 | 90,564 | 1,219,897 | ||||||
| Denny’s Corporation 1 | 100,000 | 1,634,000 | ||||||
| Dutch Bros Cl. A 1 | 197,700 | 8,564,364 | ||||||
| Hyatt Hotels Cl. A 1 | 2,729 | 210,406 | ||||||
| Lindblad Expeditions Holdings 1,2 | 373,700 | 5,452,283 | ||||||
| Ruth’s Hospitality Group 1 | 9,201 | 190,552 | ||||||
| Scientific Games 1 | 311,568 | 25,881,954 | ||||||
| 43,153,456 | ||||||||
| Household Durables - 0.9% | ||||||||
| Cavco Industries 1,2 | 14,700 | 3,480,078 | ||||||
| Century Communities | 16,868 | 1,036,539 | ||||||
| Ethan Allen Interiors 2 | 31,189 | 739,179 | ||||||
| La-Z-Boy | 36,606 | 1,179,811 | ||||||
| Meritage Homes 1 | 16,701 | 1,619,997 | ||||||
| Skyline Champion 1 | 11,990 | 720,119 | ||||||
| TopBuild Corp. 1 | 50,400 | 10,322,424 | ||||||
| Tupperware Brands 1 | 6,079 | 128,389 | ||||||
| 19,226,536 | ||||||||
| Internet & Direct Marketing Retail - 0.6% | ||||||||
| Liquidity Services 1 | 10,075 | 217,721 | ||||||
| 1-800-FLOWERS.COM Cl. A 1 | 84,480 | 2,577,485 | ||||||
| Shutterstock | 5,363 | 607,735 | ||||||
| Stamps.com 1 | 25,293 | 8,341,378 | ||||||
| 11,744,319 | ||||||||
| Leisure Products - 0.4% | ||||||||
| Brunswick Corporation | 75,810 | 7,222,419 | ||||||
| MasterCraft Boat Holdings 1 | 44,488 | 1,115,759 | ||||||
| YETI Holdings 1 | 4,772 | 408,912 | ||||||
| 8,747,090 | ||||||||
| Multiline Retail - 0.0% | ||||||||
| Big Lots | 11,018 | 477,741 | ||||||
| Franchise Group Cl. A | 9,601 | 339,971 | ||||||
| 817,712 | ||||||||
| Specialty Retail - 3.5% | ||||||||
| Aaron’s Company (The) | 4,363 | 120,157 | ||||||
| America’s Car-Mart 1,2 | 97,500 | 11,386,050 | ||||||
| Asbury Automotive Group 1 | 24,033 | 4,728,253 | ||||||
| AutoCanada 1 | 952,600 | 34,889,558 | ||||||
| Buckle (The) | 12,746 | 504,614 | ||||||
| Camping World Holdings Cl. A 2 | 279,113 | 10,849,122 | ||||||
| CarMax 1 | 4,400 | 563,024 | ||||||
| Cato Corporation (The) Cl. A | 14,505 | 239,913 | ||||||
| Chico’s FAS 1 | 746 | 3,350 | ||||||
| Children’s Place (The) 1 | 1,559 | 117,330 | ||||||
| Conn’s 1 | 17,982 | 410,529 | ||||||
| Genesco 1 | 11,775 | 679,771 | ||||||
| Group 1 Automotive | 4,040 | 759,035 | ||||||
| Haverty Furniture | 7,810 | 263,275 | ||||||
| Hibbett | 6,342 | 448,633 | ||||||
| MarineMax 1 | 20,383 | 988,983 | ||||||
| ODP Corporation (The) 1 | 14,423 | 579,228 | ||||||
| Rent-A-Center | 22,100 | 1,242,241 | ||||||
| Shoe Carnival 2 | 22,034 | 714,342 | ||||||
| Signet Jewelers | 12,212 | 964,260 | ||||||
| Sleep Number 1 | 4,609 | 430,849 | ||||||
| Zumiez 1 | 27,254 | 1,083,619 | ||||||
| 71,966,136 | ||||||||
| Textiles, Apparel & Luxury Goods - 1.5% | ||||||||
| Canada Goose Holdings 1 | 309,750 | 11,048,782 | ||||||
| G-III Apparel Group 1 | 40,555 | 1,147,707 | ||||||
| Kontoor Brands | 13,653 | 681,967 | ||||||
| Levi Strauss & Co. Cl. A | 16,052 | 393,435 | ||||||
| Movado Group | 18,843 | 593,366 | ||||||
| Ralph Lauren Cl. A | 109,925 | 12,206,072 | ||||||
| Steven Madden | 9,675 | 388,548 | ||||||
| Vera Bradley 1 | 65,049 | 612,111 | ||||||
| Wolverine World Wide 2 | 102,636 | 3,062,658 | ||||||
| 30,134,646 | ||||||||
| Total | 232,406,974 | |||||||
| Consumer Staples – 1.3% | ||||||||
| Beverages - 0.0% | ||||||||
| Coca-Cola Consolidated | 448 | 176,593 | ||||||
| Food & Staples Retailing - 0.0% | ||||||||
| Performance Food Group 1,2 | 1,024 | 47,575 | ||||||
| SpartanNash Company | 37,072 | 811,877 | ||||||
| 859,452 | ||||||||
| Food Products - 0.9% | ||||||||
| CubicFarm Systems 1 | 950,000 | 990,052 | ||||||
| J G Boswell Company 4 | 3,940 | 3,938,030 | ||||||
| John B. Sanfilippo & Son | 899 | 73,466 | ||||||
| Nomad Foods 1,2 | 143,600 | 3,957,616 | ||||||
| Seneca Foods Cl. A 1 | 203,535 | 9,814,458 | ||||||
| 18,773,622 | ||||||||
| Household Products - 0.1% | ||||||||
| Central Garden & Pet 1 | 11,900 | 571,200 | ||||||
| Spectrum Brands Holdings | 6,842 | 654,574 | ||||||
| 1,225,774 | ||||||||
| Personal Products - 0.3% | ||||||||
| Inter Parfums 2 | 84,475 | 6,316,196 | ||||||
| USANA Health Sciences 1 | 523 | 48,220 | ||||||
| 6,364,416 | ||||||||
| Tobacco - 0.0% | ||||||||
| Universal Corporation | 2,872 | 138,804 | ||||||
| Vector Group | 32,605 | 415,713 | ||||||
| 554,517 | ||||||||
| Total | 27,954,374 | |||||||
| Diversified Investment Companies – 0.0% | ||||||||
| Closed-End Funds - 0.0% | ||||||||
| Eagle Point Credit | 42,054 | 572,776 | ||||||
| Eagle Point Income | 44 | 774 | ||||||
| Total | 573,550 | |||||||
| Energy – 2.6% | ||||||||
| Energy Equipment & Services - 1.7% | ||||||||
| Aspen Aerogels 1 | 36,850 | 1,695,468 | ||||||
| Bristow Group 1 | 233,564 | 7,434,342 | ||||||
| Computer Modelling Group | 1,333,624 | 4,990,824 | ||||||
| DMC Global 1 | 1,983 | 73,192 | ||||||
| Helix Energy Solutions Group 1 | 101,212 | 392,703 | ||||||
| Helmerich & Payne 2,3 | 126,339 | 3,462,952 | ||||||
| KLX Energy Services Holdings 1 | 1,594 | 7,587 | ||||||
| Newpark Resources 1 | 44,120 | 145,596 | ||||||
| Oil States International 1 | 34,989 | 223,580 | ||||||
| Pason Systems | 1,489,188 | 10,134,850 | ||||||
| ProPetro Holding Corp. 1 | 19,803 | 171,296 | ||||||
| RPC 1 | 115,746 | 562,526 | ||||||
| TGS 4 | 673,039 | 7,125,383 | ||||||
| 36,420,299 | ||||||||
| Oil, Gas & Consumable Fuels - 0.9% | ||||||||
| Bonanza Creek Energy | 28,639 | 1,371,808 | ||||||
| CONSOL Energy 1 | 62,188 | 1,618,132 | ||||||
| Diamondback Energy | 5,775 | 546,719 | ||||||
| Dorchester Minerals L.P. 2 | 279,148 | 5,351,267 | ||||||
| Dorian LPG | 394,936 | 4,901,156 | ||||||
| PDC Energy | 3,557 | 168,566 | ||||||
| Renewable Energy Group 1 | 8,555 | 429,461 | ||||||
| Talos Energy 1 | 8,163 | 112,405 | ||||||
| World Fuel Services 2 | 100,913 | 3,392,695 | ||||||
| 17,892,209 | ||||||||
| Total | 54,312,508 | |||||||
| Financials – 14.1% | ||||||||
| Banks - 3.4% | ||||||||
| Ameris Bancorp | 24,041 | 1,247,247 | ||||||
| Bank of N.T. Butterfield & Son 2 | 258,416 | 9,176,352 | ||||||
| BankUnited | 12,979 | 542,782 | ||||||
| Cadence Bancorporation Cl. A | 15,397 | 338,118 | ||||||
| Canadian Western Bank | 279,500 | 8,091,951 | ||||||
| Central Pacific Financial | 2,878 | 73,907 | ||||||
| CIT Group | 22,000 | 1,142,900 | ||||||
| Customers Bancorp 1 | 36,387 | 1,565,369 | ||||||
| Eagle Bancorp | 25,932 | 1,491,090 | ||||||
| Farmers & Merchants Bank of Long Beach 4 | 416 | 3,380,000 | ||||||
| First BanCorp. | 33,939 | 446,298 | ||||||
| First Bancshares (The) | 19,164 | 743,180 | ||||||
| First Citizens BancShares Cl. A | 17,709 | 14,931,697 | ||||||
| First Financial Bancorp | 43,846 | 1,026,435 | ||||||
| First Hawaiian | 17,461 | 512,480 | ||||||
| First Midwest Bancorp | 13,779 | 261,939 | ||||||
| German American Bancorp | 9,365 | 361,770 | ||||||
| Great Western Bancorp | 11,228 | 367,605 | ||||||
| Hanmi Financial | 48,369 | 970,282 | ||||||
| HarborOne Bancorp | 63,400 | 890,136 | ||||||
| HBT Financial | 40,400 | 628,220 | ||||||
| Hilltop Holdings | 20,430 | 667,448 | ||||||
| Home BancShares | 26,079 | 613,639 | ||||||
| HomeTrust Bancshares | 23,700 | 663,126 | ||||||
| Independent Bank Group | 7,844 | 557,238 | ||||||
| National Bank Holdings Cl. A | 24,924 | 1,008,923 | ||||||
| NBT Bancorp | 14,633 | 528,544 | ||||||
| Old National Bancorp | 47,963 | 812,973 | ||||||
| Origin Bancorp | 14,464 | 612,550 | ||||||
| Pacific Premier Bancorp | 9,002 | 373,043 | ||||||
| Preferred Bank | 13,234 | 882,443 | ||||||
| Signature Bank | 1,501 | 408,692 | ||||||
| Simmons First National Cl. A | 3,466 | 102,455 | ||||||
| Southside Bancshares | 13,131 | 502,786 | ||||||
| SVB Financial Group 1 | 218 | 141,020 | ||||||
| Triumph Bancorp 1 | 34,063 | 3,410,728 | ||||||
| United Community Banks | 2,863 | 93,964 | ||||||
| Virginia National Bankshares | 108,540 | 3,922,636 | ||||||
| Webster Financial 2 | 134,200 | 7,308,532 | ||||||
| Wintrust Financial | 11,000 | 884,070 | ||||||
| 71,684,568 | ||||||||
| Capital Markets - 6.2% | ||||||||
| Ares Management Cl. A 2 | 187,200 | 13,820,976 | ||||||
| Artisan Partners Asset Management Cl. A 2,3 | 67,750 | 3,314,330 | ||||||
| ASA Gold and Precious Metals | 199,821 | 3,774,619 | ||||||
| Ashmore Group 4 | 548,400 | 2,492,853 | ||||||
| B. Riley Financial | 9,148 | 540,098 | ||||||
| Barings BDC | 191,594 | 2,111,366 | ||||||
| Blucora 1 | 5,600 | 87,304 | ||||||
| Bolsa Mexicana de Valores | 1,723,106 | 3,300,710 | ||||||
| BrightSphere Investment Group | 45,003 | 1,175,928 | ||||||
| Donnelley Financial Solutions 1 | 27,709 | 959,285 | ||||||
| Fiera Capital Cl. A | 33,600 | 277,480 | ||||||
| Focus Financial Partners Cl. A 1,2,3 | 50,000 | 2,618,500 | ||||||
| GCM Grosvenor Cl. A | 1,523,505 | 17,550,778 | ||||||
| Golub Capital BDC | 2,354 | 37,217 | ||||||
| Houlihan Lokey Cl. A 2 | 40,880 | 3,765,048 | ||||||
| Lazard Cl. A 2 | 105,435 | 4,828,923 | ||||||
| MarketWise Cl. A 1 | 25,000 | 206,500 | ||||||
| MarketWise Cl. A (Private Placement) 1,5 | 500,000 | 4,130,000 | ||||||
| Moelis & Company Cl. A | 21,000 | 1,299,270 | ||||||
| Morningstar 2,3 | 58,700 | 15,205,061 | ||||||
| Oaktree Specialty Lending | 5,526 | 39,014 | ||||||
| Onex Corporation | 9,200 | 650,377 | ||||||
| Open Lending 1 | 217,500 | 7,845,225 | ||||||
| Portman Ridge Finance | 3,282 | 79,917 | ||||||
| Rothschild & Co 4 | 50,293 | 2,164,450 | ||||||
| SEI Investments 2,3 | 315,800 | 18,726,940 | ||||||
| Silvercrest Asset Management Group Cl. A | 21,168 | 329,797 | ||||||
| Sprott | 256,480 | 9,430,186 | ||||||
| Tel Aviv Stock Exchange 4 | 332,179 | 1,758,653 | ||||||
| TMX Group | 68,400 | 7,376,248 | ||||||
| 129,897,053 | ||||||||
| Consumer Finance - 0.1% | ||||||||
| Encore Capital Group 1 | 9,650 | 475,456 | ||||||
| Enova International 1 | 27,980 | 966,709 | ||||||
| 1,442,165 | ||||||||
| Diversified Financial Services - 0.6% | ||||||||
| Banco Latinoamericano de Comercio | ||||||||
| Exterior Cl. E | 73,446 | 1,288,243 | ||||||
| Compass Diversified Holdings | 20,328 | 572,639 | ||||||
| ECN Capital | 1,023,900 | 8,439,536 | ||||||
| Equitable Holdings | 65,000 | 1,926,600 | ||||||
| Waterloo Investment Holdings 1,5 | 2,972,000 | 0 | ||||||
| 12,227,018 | ||||||||
| Insurance - 2.9% | ||||||||
| Alleghany Corporation 1 | 150 | 93,661 | ||||||
| Ambac Financial Group 1 | 53,000 | 758,960 | ||||||
| American Equity Investment | ||||||||
| Life Holding Company | 55,267 | 1,634,245 | ||||||
| AMERISAFE | 13,723 | 770,684 | ||||||
| Assured Guaranty | 86,954 | 4,070,317 | ||||||
| Axis Capital Holdings | 11,085 | 510,353 | ||||||
| BRP Group Cl. A 1 | 33,300 | 1,108,557 | ||||||
| E-L Financial | 21,650 | 15,981,789 | ||||||
| Employers Holdings | 13,548 | 535,010 | ||||||
| Erie Indemnity Cl. A | 28,200 | 5,031,444 | ||||||
| Fidelity National Financial | 446 | 20,222 | ||||||
| First American Financial | 35,493 | 2,379,806 | ||||||
| Genworth Financial Cl. A 1 | 244,325 | 916,219 | ||||||
| Independence Holding Company 2 | 170,023 | 8,431,440 | ||||||
| James River Group Holdings | 9,394 | 354,435 | ||||||
| ProAssurance Corporation 2 | 254,805 | 6,059,263 | ||||||
| RenaissanceRe Holdings | 2,147 | 299,292 | ||||||
| RLI Corp. 2 | 48,710 | 4,884,152 | ||||||
| Safety Insurance Group | 14,071 | 1,115,127 | ||||||
| SiriusPoint 1 | 23,314 | 215,888 | ||||||
| Stewart Information Services | 32,299 | 2,043,235 | ||||||
| Trean Insurance Group 1 | 247,806 | 2,564,792 | ||||||
| Universal Insurance Holdings | 3,663 | 47,765 | ||||||
| White Mountains Insurance Group | 480 | 513,413 | ||||||
| 60,340,069 | ||||||||
| Investment Companies - 0.1% | ||||||||
| Aldel Financial Cl. A 1 | 100,000 | 1,009,000 | ||||||
| Trident Acquisitions 1 | 91,500 | 1,061,400 | ||||||
| 2,070,400 | ||||||||
| Thrifts & Mortgage Finance - 0.8% | ||||||||
| Axos Financial 1,2 | 21,861 | 1,126,716 | ||||||
| Essent Group | 10,000 | 440,100 | ||||||
| Flagstar Bancorp | 43,527 | 2,210,301 | ||||||
| HomeStreet | 11,419 | 469,892 | ||||||
| Meridian Bancorp 2 | 80 | 1,661 | ||||||
| Meta Financial Group | 1,848 | 96,983 | ||||||
| Mr. Cooper Group 1 | 3,189 | 131,291 | ||||||
| NMI Holdings Cl. A 1 | 87,455 | 1,977,358 | ||||||
| Provident Bancorp | 63,200 | 1,012,464 | ||||||
| Provident Financial Services | 4,035 | 94,701 | ||||||
| Territorial Bancorp | 9,300 | 236,034 | ||||||
| Timberland Bancorp 2 | 274,457 | 7,945,530 | ||||||
| TrustCo Bank Corp NY | 14,121 | 451,448 | ||||||
| 16,194,479 | ||||||||
| Total | 293,855,752 | |||||||
| Health Care – 6.1% | ||||||||
| Biotechnology - 1.4% | ||||||||
| Acorda Therapeutics 1 | 2,148 | 9,881 | ||||||
| Anika Therapeutics 1 | 3,798 | 161,643 | ||||||
| CareDx 1 | 8,000 | 506,960 | ||||||
| Catalyst Pharmaceuticals 1 | 76,450 | 405,185 | ||||||
| Coherus BioSciences 1 | 36,165 | 581,172 | ||||||
| DermTech 1 | 129,600 | 4,161,456 | ||||||
| Eagle Pharmaceuticals 1 | 15,840 | 883,555 | ||||||
| Enanta Pharmaceuticals 1 | 1,067 | 60,616 | ||||||
| MaxCyte 1 | 760,403 | 9,284,521 | ||||||
| PureTech Health 1,4 | 120,100 | 579,635 | ||||||
| United Therapeutics 1 | 10,000 | 1,845,800 | ||||||
| Vanda Pharmaceuticals 1 | 31,078 | 532,677 | ||||||
| Zealand Pharma 1,4 | 326,857 | 9,387,016 | ||||||
| 28,400,117 | ||||||||
| Health Care Equipment & Supplies - 2.9% | ||||||||
| Atrion Corporation | 8,296 | 5,786,460 | ||||||
| BioLife Solutions 1 | 8,040 | 340,253 | ||||||
| ClearPoint Neuro 1 | 319,300 | 5,667,575 | ||||||
| Cutera 1 | 21,750 | 1,013,550 | ||||||
| Haemonetics Corporation 1 | 98,600 | 6,960,174 | ||||||
| Inogen 1 | 3,795 | 163,527 | ||||||
| Integer Holdings 1,2 | 42,400 | 3,788,016 | ||||||
| Meridian Bioscience 1 | 259,989 | 5,002,188 | ||||||
| Mesa Laboratories 2,3 | 72,140 | 21,812,250 | ||||||
| Natus Medical 1 | 12,930 | 324,284 | ||||||
| Neogen Corporation 1,2 | 2,162 | 93,896 | ||||||
| Orthofix Medical 1 | 6,097 | 232,418 | ||||||
| STAAR Surgical 1 | 5,250 | 674,782 | ||||||
| Surmodics 1,2 | 161,000 | 8,951,600 | ||||||
| 60,810,973 | ||||||||
| Health Care Providers & Services - 1.0% | ||||||||
| Cano Health Cl. A 1 | 150,000 | 1,902,000 | ||||||
| Community Health Systems 1 | 790,000 | 9,243,000 | ||||||
| Ensign Group (The) | 5,810 | 435,111 | ||||||
| Fulgent Genetics 1 | 4,188 | 376,711 | ||||||
| Hims & Hers Health Cl. A 1,2,3 | 640,000 | 4,825,600 | ||||||
| Magellan Health 1 | 1,808 | 170,946 | ||||||
| MEDNAX 1 | 33,799 | 960,906 | ||||||
| ModivCare 1 | 5,713 | 1,037,595 | ||||||
| Pennant Group 1 | 28,000 | 786,520 | ||||||
| RadNet 1 | 4,582 | 134,298 | ||||||
| Sharps Compliance 1 | 75,850 | 627,279 | ||||||
| Tivity Health 1 | 17,981 | 414,642 | ||||||
| U.S. Physical Therapy | 3,077 | 340,316 | ||||||
| 21,254,924 | ||||||||
| Health Care Technology - 0.3% | ||||||||
| Computer Programs and Systems 1 | 21,049 | 746,398 | ||||||
| Doximity Cl. A 1 | 14,650 | 1,182,255 | ||||||
| HealthStream 1 | 12,921 | 369,282 | ||||||
| NextGen Healthcare 1 | 39,292 | 554,017 | ||||||
| Simulations Plus | 88,788 | 3,507,126 | ||||||
| 6,359,078 | ||||||||
| Life Sciences Tools & Services - 0.3% | ||||||||
| Bio-Techne 2,3 | 9,603 | 4,653,326 | ||||||
| Harvard Bioscience 1 | 102,050 | 712,309 | ||||||
| 5,365,635 | ||||||||
| Pharmaceuticals - 0.2% | ||||||||
| Aerie Pharmaceuticals 1 | 22,300 | 254,220 | ||||||
| Cara Therapeutics 1 | 15,144 | 233,975 | ||||||
| Collegium Pharmaceutical 1 | 17,828 | 351,925 | ||||||
| Corcept Therapeutics 1 | 46,977 | 924,507 | ||||||
| Harmony Biosciences Holdings 1 | 16,220 | 621,713 | ||||||
| Innoviva 1 | 81,998 | 1,370,186 | ||||||
| Lannett Company 1 | 8,240 | 24,720 | ||||||
| Prestige Consumer Healthcare 1 | 8,147 | 457,128 | ||||||
| Supernus Pharmaceuticals 1 | 39,577 | 1,055,519 | ||||||
| 5,293,893 | ||||||||
| Total | 127,484,620 | |||||||
| Industrials – 25.2% | ||||||||
| Aerospace & Defense - 1.6% | ||||||||
| Aerojet Rocketdyne Holdings | 6,250 | 272,188 | ||||||
| AeroVironment 1 | 7,650 | 660,348 | ||||||
| Ducommun 1,2 | 79,100 | 3,982,685 | ||||||
| HEICO Corporation 2 | 51,030 | 6,729,326 | ||||||
| HEICO Corporation Cl. A 2 | 68,333 | 8,092,677 | ||||||
| Magellan Aerospace | 893,092 | 7,170,966 | ||||||
| National Presto Industries | 936 | 76,827 | ||||||
| Park Aerospace | 59,288 | 811,060 | ||||||
| Vectrus 1 | 18,710 | 940,739 | ||||||
| Virgin Galactic Holdings 1,2,3 | 161,918 | 4,096,525 | ||||||
| 32,833,341 | ||||||||
| Air Freight & Logistics - 0.3% | ||||||||
| Atlas Air Worldwide Holdings 1 | 18,079 | 1,476,693 | ||||||
| Echo Global Logistics 1 | 4,266 | 203,531 | ||||||
| Forward Air 2 | 63,360 | 5,260,147 | ||||||
| Hub Group Cl. A 1 | 2,184 | 150,150 | ||||||
| 7,090,521 | ||||||||
| Airlines - 0.7% | ||||||||
| Sun Country Airlines Holdings 1 | 409,701 | 13,741,372 | ||||||
| Building Products - 1.8% | ||||||||
| Apogee Enterprises | 26,523 | 1,001,508 | ||||||
| Builders FirstSource 1 | 85,575 | 4,427,650 | ||||||
| Carlisle Companies | 7,246 | 1,440,432 | ||||||
| CSW Industrials | 40,800 | 5,210,160 | ||||||
| Gibraltar Industries 1 | 18,410 | 1,282,257 | ||||||
| Insteel Industries | 26,711 | 1,016,354 | ||||||
| Quanex Building Products | 43,098 | 922,728 | ||||||
| Rexnord Corporation | 186,171 | 11,968,934 | ||||||
| Simpson Manufacturing 2 | 26,591 | 2,844,439 | ||||||
| UFP Industries | 103,306 | 7,022,742 | ||||||
| 37,137,204 | ||||||||
| Commercial Services & Supplies - 1.2% | ||||||||
| ABM Industries | 32,547 | 1,464,940 | ||||||
| Brady Corporation Cl. A | 12,479 | 632,685 | ||||||
| Brink’s Company (The) | 652 | 41,271 | ||||||
| CompX International Cl. A 2,3 | 211,100 | 4,386,658 | ||||||
| Deluxe Corporation | 8,321 | 298,641 | ||||||
| Healthcare Services Group | 7,100 | 177,429 | ||||||
| Heritage-Crystal Clean 1,2 | 100,106 | 2,901,072 | ||||||
| HNI Corporation | 17,864 | 655,966 | ||||||
| Kimball International Cl. B 2 | 167,388 | 1,874,746 | ||||||
| Ritchie Bros. Auctioneers 2 | 35,200 | 2,170,432 | ||||||
| UniFirst Corporation | 27,398 | 5,825,363 | ||||||
| Vidler Water Resouces 1,2 | 406,960 | 4,631,205 | ||||||
| VSE Corporation | 21,500 | 1,035,655 | ||||||
| 26,096,063 | ||||||||
| Construction & Engineering - 3.2% | ||||||||
| APi Group 1 | 425,300 | 8,654,855 | ||||||
| Arcosa 2 | 150,614 | 7,556,304 | ||||||
| Comfort Systems USA 2 | 21,045 | 1,500,929 | ||||||
| EMCOR Group | 35,500 | 4,095,990 | ||||||
| Great Lakes Dredge & Dock 1 | 45,367 | 684,588 | ||||||
| IES Holdings 1,2,3 | 441,399 | 20,167,520 | ||||||
| Infrastructure and Energy Alternatives 1 | 600,000 | 6,858,000 | ||||||
| Matrix Service 1 | 12,564 | 131,420 | ||||||
| MYR Group 1 | 12,011 | 1,195,095 | ||||||
| Northwest Pipe 1 | 16,871 | 399,843 | ||||||
| Valmont Industries 2 | 66,361 | 15,602,798 | ||||||
| 66,847,342 | ||||||||
| Electrical Equipment - 1.0% | ||||||||
| AZZ | 23,535 | 1,252,062 | ||||||
| Encore Wire | 17,837 | 1,691,483 | ||||||
| GrafTech International | 37,766 | 389,745 | ||||||
| LSI Industries | 814,857 | 6,315,142 | ||||||
| Powell Industries 2 | 115,617 | 2,840,709 | ||||||
| Preformed Line Products 2 | 73,300 | 4,767,432 | ||||||
| TPI Composites 1 | 103,900 | 3,506,625 | ||||||
| 20,763,198 | ||||||||
| Machinery - 8.7% | ||||||||
| Alamo Group | 757 | 105,624 | ||||||
| Albany International Cl. A | 2,370 | 182,182 | ||||||
| Astec Industries | 7,564 | 407,019 | ||||||
| ATS Automation Tooling Systems 1 | 29,150 | 924,717 | ||||||
| Barnes Group | 1,345 | 56,127 | ||||||
| CIRCOR International 1 | 414,652 | 13,687,662 | ||||||
| Colfax 1,2 | 446,422 | 20,490,770 | ||||||
| Crane Company | 4,611 | 437,169 | ||||||
| ESCO Technologies 2 | 75,400 | 5,805,800 | ||||||
| Franklin Electric 2 | 75,561 | 6,033,546 | ||||||
| Greenbrier Companies (The) | 26,426 | 1,136,054 | ||||||
| Helios Technologies 2 | 173,214 | 14,222,602 | ||||||
| Hillenbrand | 17,926 | 764,544 | ||||||
| Hillman Solutions 1 | 50,000 | 596,500 | ||||||
| Hurco Companies | 25,900 | 835,534 | ||||||
| John Bean Technologies 2 | 128,951 | 18,124,063 | ||||||
| Kadant 2 | 120,419 | 24,577,518 | ||||||
| Lincoln Electric Holdings 2 | 52,600 | 6,774,354 | ||||||
| Lindsay Corporation 2 | 112,000 | 17,000,480 | ||||||
| Lydall 1 | 12,465 | 773,952 | ||||||
| Meritor 1 | 54,080 | 1,152,445 | ||||||
| Middleby Corporation (The) 1 | 110,930 | 18,914,674 | ||||||
| Miller Industries | 29,650 | 1,009,286 | ||||||
| Mueller Industries | 35,978 | 1,478,696 | ||||||
| NN 1 | 308,700 | 1,620,675 | ||||||
| Nordson Corporation 2 | 15,796 | 3,761,817 | ||||||
| Tennant Company 2 | 80,500 | 5,952,975 | ||||||
| Wabash National | 41,949 | 634,688 | ||||||
| Watts Water Technologies Cl. A 2 | 55,000 | 9,244,950 | ||||||
| Woodward 2 | 48,500 | 5,490,200 | ||||||
| 182,196,623 | ||||||||
| Marine - 0.9% | ||||||||
| Clarkson 4 | 371,400 | 18,806,894 | ||||||
| Professional Services - 3.4% | ||||||||
| Exponent 2 | 86,400 | 9,776,160 | ||||||
| Forrester Research 1,2,3 | 139,300 | 6,861,918 | ||||||
| Heidrick & Struggles International | 40,350 | 1,800,820 | ||||||
| Jacobs Engineering Group 2 | 33,500 | 4,439,755 | ||||||
| KBR 2 | 615,000 | 24,231,000 | ||||||
| Kelly Services Cl. A | 7,419 | 140,071 | ||||||
| Korn Ferry 2 | 62,252 | 4,504,555 | ||||||
| LifeWorks | 18,400 | 468,789 | ||||||
| ManpowerGroup 2 | 8,300 | 898,724 | ||||||
| ManTech International Cl. A | 1,171 | 88,902 | ||||||
| Resources Connection | 73,817 | 1,164,832 | ||||||
| TrueBlue 1,2 | 36,957 | 1,000,796 | ||||||
| Upwork 1 | 346,900 | 15,620,907 | ||||||
| 70,997,229 | ||||||||
| Road & Rail - 1.5% | ||||||||
| ArcBest | 9,942 | 812,957 | ||||||
| Landstar System 2 | 114,162 | 18,017,047 | ||||||
| Saia 1,2 | 50,630 | 12,051,459 | ||||||
| 30,881,463 | ||||||||
| Trading Companies & Distributors - 0.9% | ||||||||
| Air Lease Cl. A 2 | 99,270 | 3,905,282 | ||||||
| Applied Industrial Technologies | 8,215 | 740,418 | ||||||
| Boise Cascade | 32,053 | 1,730,221 | ||||||
| DXP Enterprises 1 | 11,411 | 337,423 | ||||||
| EVI Industries 1,2,3 | 69,873 | 1,900,546 | ||||||
| GMS 1 | 12,272 | 537,514 | ||||||
| Lawson Products 1 | 16,250 | 812,662 | ||||||
| MSC Industrial Direct Cl. A | 6,642 | 532,622 | ||||||
| SiteOne Landscape Supply 1,2,3 | 25,000 | 4,986,750 | ||||||
| Transcat 1 | 39,180 | 2,526,326 | ||||||
| 18,009,764 | ||||||||
| Total | 525,401,014 | |||||||
| Information Technology – 23.9% | ||||||||
| Communications Equipment - 1.0% | ||||||||
| ADTRAN 2 | 214,973 | 4,032,894 | ||||||
| Calix 1 | 303,293 | 14,991,773 | ||||||
| Comtech Telecommunications | 10,192 | 261,017 | ||||||
| Digi International 1 | 60,293 | 1,267,359 | ||||||
| NETGEAR 1 | 21,963 | 700,839 | ||||||
| 21,253,882 | ||||||||
| Electronic Equipment, Instruments & Components - 6.9% | ||||||||
| Avnet | 5,233 | 193,464 | ||||||
| Bel Fuse Cl. B | 42,562 | 529,046 | ||||||
| Belden | 5,056 | 294,563 | ||||||
| Benchmark Electronics | 26,221 | 700,363 | ||||||
| Cognex Corporation 2 | 206,600 | 16,573,452 | ||||||
| Daktronics 1 | 22,653 | 123,006 | ||||||
| ePlus 1 | 3,786 | 388,481 | ||||||
| Fabrinet 1,2 | 154,448 | 15,832,464 | ||||||
| FARO Technologies 1,2 | 272,167 | 17,911,310 | ||||||
| Insight Enterprises 1,2 | 18,774 | 1,691,162 | ||||||
| IPG Photonics 1 | 51,100 | 8,094,240 | ||||||
| Kimball Electronics 1 | 39,845 | 1,026,806 | ||||||
| Littelfuse 2 | 18,800 | 5,137,476 | ||||||
| Luna Innovations 1 | 120,580 | 1,145,510 | ||||||
| Methode Electronics | 23,628 | 993,557 | ||||||
| National Instruments 2 | 301,450 | 11,825,883 | ||||||
| nLIGHT 1,2 | 174,610 | 4,922,256 | ||||||
| OSI Systems 1 | 4,506 | 427,169 | ||||||
| PAR Technology 1,2,3 | 290,239 | 17,852,601 | ||||||
| PC Connection | 1,077 | 47,420 | ||||||
| Plexus Corporation 1 | 11,413 | 1,020,436 | ||||||
| Richardson Electronics 6 | 711,475 | 6,894,193 | ||||||
| Rogers Corporation 1 | 40,010 | 7,461,065 | ||||||
| Sanmina Corporation 1 | 44,048 | 1,697,610 | ||||||
| ScanSource 1 | 21,028 | 731,564 | ||||||
| TTM Technologies 1,2,3 | 582,635 | 7,323,722 | ||||||
| Vishay Intertechnology | 41,680 | 837,351 | ||||||
| Vishay Precision Group 1 | 16,360 | 568,837 | ||||||
| Vontier Corporation | 309,288 | 10,392,077 | ||||||
| 142,637,084 | ||||||||
| IT Services - 2.8% | ||||||||
| Cass Information Systems | 8,870 | 371,210 | ||||||
| Computer Services 4 | 108,625 | 6,408,875 | ||||||
| Computer Task Group 1 | 71,510 | 570,650 | ||||||
| CSG Systems International | 26,207 | 1,263,177 | ||||||
| EVERTEC | 9,017 | 412,257 | ||||||
| ExlService Holdings 1 | 1,297 | 159,687 | ||||||
| Hackett Group (The) 2 | 285,266 | 5,596,919 | ||||||
| Repay Holdings Cl. A 1 | 740,109 | 17,044,710 | ||||||
| Shift4 Payments Cl. A 1 | 216,620 | 16,792,382 | ||||||
| Unisys Corporation 1,2 | 402,250 | 10,112,565 | ||||||
| 58,732,432 | ||||||||
| Semiconductors & Semiconductor Equipment - 9.2% | ||||||||
| Ambarella 1 | 3,500 | 545,090 | ||||||
| Axcelis Technologies 1 | 15,400 | 724,262 | ||||||
| Brooks Automation 2 | 219,100 | 22,424,885 | ||||||
| Camtek 1 | 448,200 | 18,156,582 | ||||||
| Cirrus Logic 1,2 | 275,700 | 22,703,895 | ||||||
| CMC Materials 2 | 76,398 | 9,414,526 | ||||||
| Cohu 1 | 125,130 | 3,996,652 | ||||||
| CyberOptics Corporation 1 | 17,200 | 611,976 | ||||||
| Diodes 1,2,3 | 158,325 | 14,342,662 | ||||||
| Entegris 2,3 | 20,100 | 2,530,590 | ||||||
| FormFactor 1 | 529,300 | 19,758,769 | ||||||
| Kulicke & Soffa Industries 2 | 150,870 | 8,792,704 | ||||||
| Lattice Semiconductor 1 | 7,800 | 504,270 | ||||||
| MagnaChip Semiconductor 1 | 35,200 | 625,152 | ||||||
| MKS Instruments | 284,489 | 42,932,235 | ||||||
| Nova 1,2,3 | 42,990 | 4,397,447 | ||||||
| NVE Corporation | 9,900 | 633,303 | ||||||
| Onto Innovation 1,2 | 14,718 | 1,063,375 | ||||||
| Photronics 1 | 219,321 | 2,989,345 | ||||||
| Power Integrations | 2,378 | 235,398 | ||||||
| Rambus 1 | 13,988 | 310,534 | ||||||
| SiTime 1 | 63,222 | 12,908,036 | ||||||
| SMART Global Holdings 1 | 5,421 | 241,234 | ||||||
| Ultra Clean Holdings 1 | 17,148 | 730,505 | ||||||
| 191,573,427 | ||||||||
| Software - 3.2% | ||||||||
| Agilysys 1 | 16,600 | 869,176 | ||||||
| CDK Global | 8,882 | 377,929 | ||||||
| ChannelAdvisor Corporation 1 | 19,770 | 498,797 | ||||||
| Descartes Systems Group (The) 1,2 | 40,000 | 3,250,400 | ||||||
| Digital Turbine 1 | 5,000 | 343,750 | ||||||
| Dolby Laboratories Cl. A | 11,220 | 987,360 | ||||||
| E2open Parent Holdings Cl. A 1 | 100,000 | 1,130,000 | ||||||
| Ebix | 5,389 | 145,126 | ||||||
| Everbridge 1 | 60,000 | 9,062,400 | ||||||
| InterDigital | 7,096 | 481,251 | ||||||
| j2 Global 1,2 | 26,585 | 3,632,043 | ||||||
| Manhattan Associates 1,2 | 21,200 | 3,244,236 | ||||||
| Matterport Cl. A 1 | 45,000 | 850,950 | ||||||
| MicroStrategy Cl. A 1 | 207 | 119,729 | ||||||
| Momentive Global 1,2,3 | 545,580 | 10,693,368 | ||||||
| Progress Software | 100 | 4,919 | ||||||
| Teradata Corporation 1 | 47,581 | 2,728,770 | ||||||
| Upland Software 1,2 | 821,550 | 27,472,632 | ||||||
| Xperi Holding Corporation 2 | 32,448 | 611,320 | ||||||
| 66,504,156 | ||||||||
| Technology Hardware, Storage & Peripherals - 0.8% | ||||||||
| Avid Technology 1 | 541,605 | 15,663,217 | ||||||
| Total | 496,364,198 | |||||||
| Materials – 10.5% | ||||||||
| Chemicals - 5.8% | ||||||||
| American Vanguard | 23,847 | 358,897 | ||||||
| Chase Corporation 2,3 | 79,059 | 8,075,877 | ||||||
| Element Solutions 2 | 868,786 | 18,835,280 | ||||||
| FutureFuel Corporation | 550,431 | 3,924,573 | ||||||
| Hawkins 2 | 154,940 | 5,404,307 | ||||||
| Huntsman Corporation | 46,837 | 1,385,907 | ||||||
| Innospec 2 | 152,499 | 12,843,466 | ||||||
| Minerals Technologies 2 | 208,333 | 14,549,977 | ||||||
| Mosaic Company (The) | 655,230 | 23,404,816 | ||||||
| NewMarket Corporation | 8,000 | 2,710,160 | ||||||
| Quaker Chemical | 116,199 | 27,622,826 | ||||||
| Stepan Company | 1,129 | 127,509 | ||||||
| Tredegar Corporation | 39,337 | 479,125 | ||||||
| Trinseo | 21,766 | 1,174,929 | ||||||
| 120,897,649 | ||||||||
| Construction Materials - 0.7% | ||||||||
| Eagle Materials | 83,900 | 11,004,324 | ||||||
| Imerys 4 | 90,000 | 3,877,263 | ||||||
| 14,881,587 | ||||||||
| Containers & Packaging - 0.1% | ||||||||
| Graphic Packaging Holding Company | 24,456 | 465,642 | ||||||
| Myers Industries | 13,041 | 255,212 | ||||||
| Silgan Holdings | 10,321 | 395,914 | ||||||
| UFP Technologies 1 | 5,120 | 315,341 | ||||||
| 1,432,109 | ||||||||
| Metals & Mining - 3.5% | ||||||||
| Alamos Gold Cl. A | 2,195,500 | 15,791,098 | ||||||
| Ferroglobe (Warranty Insurance Trust) 1,5 | 49,300 | 0 | ||||||
| Gold Fields ADR | 370,000 | 3,004,400 | ||||||
| Haynes International 2 | 126,449 | 4,710,225 | ||||||
| Hecla Mining | 321,300 | 1,767,150 | ||||||
| IAMGOLD Corporation 1 | 600,000 | 1,356,000 | ||||||
| Kaiser Aluminum | 833 | 90,764 | ||||||
| Lundin Mining | 640,000 | 4,603,190 | ||||||
| MAG Silver 1 | 198,900 | 3,222,180 | ||||||
| Major Drilling Group International 1 | 2,217,291 | 14,792,443 | ||||||
| Pan American Silver | 140,027 | 3,258,428 | ||||||
| Pretium Resources 1 | 101,000 | 976,828 | ||||||
| Reliance Steel & Aluminum 2 | 47,500 | 6,764,950 | ||||||
| Royal Gold 2 | 16,600 | 1,585,134 | ||||||
| SunCoke Energy | 173,844 | 1,091,740 | ||||||
| VanEck Junior Gold Miners ETF | 155,500 | 5,961,870 | ||||||
| Warrior Met Coal | 10,481 | 243,893 | ||||||
| Worthington Industries 2 | 64,300 | 3,388,610 | ||||||
| 72,608,903 | ||||||||
| Paper & Forest Products - 0.4% | ||||||||
| Clearwater Paper 1 | 23,773 | 911,219 | ||||||
| Glatfelter | 62,012 | 874,369 | ||||||
| Mercer International | 10,171 | 117,882 | ||||||
| Neenah | 17,192 | 801,319 | ||||||
| Schweitzer-Mauduit International | 35,551 | 1,232,198 | ||||||
| Stella-Jones | 122,556 | 4,126,807 | ||||||
| 8,063,794 | ||||||||
| Total | 217,884,042 | |||||||
| Real Estate – 3.8% | ||||||||
| Equity Real Estate Investment Trusts (REITs) - 0.0% | ||||||||
| Equity Commonwealth 1 | 12,000 | 311,760 | ||||||
| New York REIT 1,5 | 15,000 | 174,600 | ||||||
| 486,360 | ||||||||
| Real Estate Management & Development - 3.8% | ||||||||
| Colliers International Group | 85,520 | 10,921,759 | ||||||
| FirstService | 125,495 | 22,649,338 | ||||||
| FRP Holdings 1,2,3 | 76,558 | 4,281,123 | ||||||
| Jones Lang LaSalle 1 | 8,578 | 2,128,116 | ||||||
| Kennedy-Wilson Holdings 2 | 634,968 | 13,283,531 | ||||||
| Marcus & Millichap 1,2 | 247,646 | 10,059,381 | ||||||
| RMR Group (The) Cl. A 2 | 80,100 | 2,679,345 | ||||||
| St. Joe Company (The) 2,3 | 78,800 | 3,317,480 | ||||||
| Tejon Ranch 1,2 | 557,136 | 9,894,735 | ||||||
| 79,214,808 | ||||||||
| Total | 79,701,168 | |||||||
| Utilities – 0.1% | ||||||||
| Water Utilities - 0.1% | ||||||||
| American States Water | 14,615 | 1,249,875 | ||||||
| Total | 1,249,875 | |||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $1,445,053,867) | 2,099,945,477 | |||||||
| WARRANTS – 0.0% | ||||||||
| Health Care – 0.0% | ||||||||
| Health Care Providers & Services - 0.0% | ||||||||
| Cano Health (Warrants) 1 | 49,999 | 206,496 | ||||||
| Total | 206,496 | |||||||
| TOTAL WARRANTS | ||||
| (Cost $237,495) | 206,496 | |||
| REPURCHASE AGREEMENT – 2.5% | ||||
| Fixed Income Clearing Corporation, 0.00% dated 9/30/21, due 10/1/21, maturity value $52,302,669 (collateralized by obligations of various U.S. Government Agencies, 0.25%-1.25% due 9/30/28-7/15/29, valued at $53,348,737) (Cost $52,302,669) | 52,302,669 | |||
| TOTAL INVESTMENTS – 103.4% | ||||
| (Cost $1,497,594,031) | 2,152,454,642 | |||
| LIABILITIES
LESS CASH AND OTHER ASSETS – (3.4)% | (71,137,081 | ) | ||
| NET ASSETS – 100.0% | $ | 2,081,317,561 | ||
ADR – American Depository Receipt
| 1 | Non-income producing. |
| 2 | All or a portion of these securities were pledged as collateral in connection with the Fund’s revolving credit agreement at September 30, 2021. Total market value of pledged securities at September 30, 2021, was $195,350,990. |
| 3 | At September 30, 2021, a portion of these securities were rehypothecated in connection with the Fund’s revolving credit agreement in the aggregate amount of $59,092,462. |
| 4 | These 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. |
| 5 | Securities for which market quotations are not readily available represent 0.2% of net assets. These securities have been valued at their fair value under procedures approved by the Fund’s Board of Directors. These securities are defined as Level 3 securities due to the use of significant unobservable inputs in the determination of fair value. |
| 6 | At September 30, 2021, the Fund owned 5% or more of the Company’s outstanding voting securities thereby making the Company an Affiliated Company as that term is defined in the Investment Company Act of 1940. |
TAX INFORMATION: The cost of total investments for Federal income tax purposes was $1,498,524,752. At September 30, 2021, net unrealized appreciation for all securities was $653,929,890, consisting of aggregate gross unrealized appreciation of $738,389,760 and aggregate gross unrealized depreciation of $84,459,870. 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 and foreign securities that were fair valued 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, 2021. 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 | $2,035,721,824 | $59,919,053 | $4,304,600 | $2,099,945,477 | ||||||||
| Warrants | 206,496 | – | – | 206,496 | ||||||||
| Repurchase Agreement | – | 52,302,669 | – | 52,302,669 |
| Level 3 Reconciliation: | |||||||||||||||||||
| Balance as of 12/31/20 | Purchases | Corporate Actions | Realized Gain (Loss) | Unrealized Gain (Loss) | Balance as of 9/30/21 | ||||||||||||||
| Common Stocks | $926,000 | $5,000,000 | $(8,400 | ) | $ | – | $(1,613,000 | ) | $4,304,600 | ||||||||||
| Warrants | 5,000 | – | 0 | – | (5,000 | ) | – | ||||||||||||
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, 2021 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 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, 2021, the Fund has outstanding borrowings of $70,000,000. During the nine months ended September 30, 2021, the Fund borrowed an average daily balance of $70,000,000. As of September 30, 2021, the aggregate value of rehypothecated securities was $59,092,462.
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, 2021:
| Affiliated Company 1 | Shares 12/31/20 | Market Value 12/31/20 | Costs
of Purchases | Proceeds from Sales | Realized Gain (Loss) | Change
in Net Unrealized Appreciation (Depreciation) | Dividend Income | Shares 9/30/21 | Market Value 9/30/21 | |||||||||||||||||||||||||
| Industrials - 0.0% | ||||||||||||||||||||||||||||||||||
| Trading Companies & Distributors - 0.0% | ||||||||||||||||||||||||||||||||||
| Houston Wire & Cable 2,3 | 877,363 | $ | 2,447,843 | $ | – | $ | 4,650,024 | $ | (100,026 | ) | $ | 2,302,207 | $ | – | ||||||||||||||||||||
| 2,447,843 | (100,026 | ) | 2,302,207 | – | ||||||||||||||||||||||||||||||
| Information Technology - 0.3% | ||||||||||||||||||||||||||||||||||
| Electronic Equipment, Instruments & Components - 0.3% | ||||||||||||||||||||||||||||||||||
| Richardson Electronics 4 | 711,475 | 3,351,047 | – | – | – | 3,543,146 | 128,066 | 711,475 | $ | 6,894,193 | ||||||||||||||||||||||||
| 3,351,047 | – | 3,543,146 | 128,066 | 6,894,193 | ||||||||||||||||||||||||||||||
| $ | 5,798,890 | $ | (100,026 | ) | $ | 5,845,353 | $ | 128,066 | $ | 6,894,193 | ||||||||||||||||||||||||
| 1 | Percentages represent the percentages of the investments in the Affiliated Companies of the Fund’s net assets. |
| 2 | Not an Affiliated Company at September 30, 2021. |
| 3 | Non-income producing. |
| 4 | At September 30, 2021, the Fund owned 5% or more of the Company’s outstanding voting securities thereby making the Company an Affiliated Company as that term is defined in the Investment Company Act of 1940. |
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).