SCHEDULES OF INVESTMENTS
ROYCE CAPITAL FUND - MICRO-CAP PORTFOLIO
SEPTEMBER 30, 2024 (UNAUDITED)
| SHARES | VALUE | |||||||
| COMMON STOCKS – 98.4% | ||||||||
| Communication Services – 5.0% | ||||||||
| Entertainment - 1.1% | ||||||||
| IMAX Corporation 1 | 70,200 | $ | 1,439,802 | |||||
| Interactive Media & Services - 1.8% | ||||||||
| DHI Group 1 | 155,131 | 285,441 | ||||||
| QuinStreet 1 | 87,034 | 1,664,960 | ||||||
| Vimeo 1 | 104,835 | 529,417 | ||||||
| 2,479,818 | ||||||||
| Media - 2.1% | ||||||||
| Innovid Corp. 1 | 408,410 | 735,138 | ||||||
| Magnite 1 | 93,633 | 1,296,817 | ||||||
| Thryv Holdings 1 | 41,665 | 717,888 | ||||||
| 2,749,843 | ||||||||
| Total | 6,669,463 | |||||||
| Consumer Discretionary – 12.5% | ||||||||
| Automobile Components - 1.7% | ||||||||
| Modine Manufacturing 1 | 11,024 | 1,463,877 | ||||||
| Stoneridge 1 | 77,970 | 872,484 | ||||||
| 2,336,361 | ||||||||
| Diversified Consumer Services - 1.3% | ||||||||
| Legacy Education 1 | 118,111 | 543,323 | ||||||
| Lincoln Educational Services 1 | 98,346 | 1,174,251 | ||||||
| 1,717,574 | ||||||||
| Hotels, Restaurants & Leisure - 1.2% | ||||||||
| Century Casinos 1 | 178,185 | 456,154 | ||||||
| Lindblad Expeditions Holdings 1 | 124,204 | 1,148,887 | ||||||
| 1,605,041 | ||||||||
| Household Durables - 2.1% | ||||||||
| Hovnanian Enterprises Cl. A 1 | 7,387 | 1,509,681 | ||||||
| Legacy Housing 1 | 49,900 | 1,364,765 | ||||||
| 2,874,446 | ||||||||
| Leisure Products - 1.4% | ||||||||
| American Outdoor Brands 1 | 123,777 | 1,141,224 | ||||||
| MasterCraft Boat Holdings 1 | 36,317 | 661,332 | ||||||
| 1,802,556 | ||||||||
| Specialty Retail - 4.2% | ||||||||
| Beyond 1 | 73,253 | 738,390 | ||||||
| Citi Trends 1 | 59,635 | 1,095,495 | ||||||
| OneWater Marine Cl. A 1 | 43,006 | 1,028,274 | ||||||
| Shoe Carnival | 37,057 | 1,624,949 | ||||||
| Zumiez 1 | 54,100 | 1,152,330 | ||||||
| 5,639,438 | ||||||||
| Textiles, Apparel & Luxury Goods - 0.6% | ||||||||
| Vera Bradley 1 | 145,226 | 792,934 | ||||||
| Total | 16,768,350 | |||||||
| Consumer Staples – 0.7% | ||||||||
| Food Products - 0.7% | ||||||||
| Seneca Foods Cl. A 1 | 15,855 | 988,242 | ||||||
| Total | 988,242 | |||||||
| Energy – 3.8% | ||||||||
| Energy Equipment & Services - 3.6% | ||||||||
| Natural Gas Services Group 1 | 76,829 | 1,468,202 | ||||||
| Newpark Resources 1 | 221,300 | 1,533,609 | ||||||
| Profire Energy 1 | 620,326 | 1,042,148 | ||||||
| Ranger Energy Services Cl. A | 66,723 | 794,671 | ||||||
| 4,838,630 | ||||||||
| Oil, Gas & Consumable Fuels - 0.2% | ||||||||
| SandRidge Energy | 22,946 | 280,629 | ||||||
| Total | 5,119,259 | |||||||
| Financials – 12.9% | ||||||||
| Banks - 8.3% | ||||||||
| BayCom Corp. | 64,651 | 1,533,522 | ||||||
| Customers Bancorp 1 | 20,434 | 949,159 | ||||||
| First Foundation | 30,594 | 190,907 | ||||||
| HarborOne Bancorp | 108,591 | 1,409,511 | ||||||
| HBT Financial | 65,451 | 1,432,068 | ||||||
| HomeTrust Bancshares | 45,876 | 1,563,454 | ||||||
| Investar Holding | 78,710 | 1,526,974 | ||||||
| Midway Investments 1,2 | 1,751,577 | 0 | ||||||
| Stellar Bancorp | 42,845 | 1,109,257 | ||||||
| Western New England Bancorp | 161,702 | 1,374,467 | ||||||
| 11,089,319 | ||||||||
| Capital Markets - 3.8% | ||||||||
| Canaccord Genuity Group | 175,658 | 1,167,633 | ||||||
| Silvercrest Asset Management Group Cl. A | 71,263 | 1,228,574 | ||||||
| Sprott | 30,380 | 1,316,553 | ||||||
| StoneX Group 1 | 17,181 | 1,406,780 | ||||||
| 5,119,540 | ||||||||
| Financial Services - 0.8% | ||||||||
| Cass Information Systems | 25,348 | 1,051,435 | ||||||
| Total | 17,260,294 | |||||||
| Health Care – 9.7% | ||||||||
| Biotechnology - 3.2% | ||||||||
| ARS Pharmaceuticals 1,3 | 88,576 | 1,284,352 | ||||||
| CareDx 1 | 55,712 | 1,739,607 | ||||||
| Dynavax Technologies 1 | 80,400 | 895,656 | ||||||
| MeiraGTx Holdings 1 | 104,907 | 437,462 | ||||||
| 4,357,077 | ||||||||
| Health Care Equipment & Supplies - 2.6% | ||||||||
| Apyx Medical 1 | 270,273 | 335,139 | ||||||
| Artivion 1 | 64,144 | 1,707,513 | ||||||
| Profound Medical 1 | 100,163 | 796,890 | ||||||
| Zynex 1 | 76,478 | 624,060 | ||||||
| 3,463,602 | ||||||||
| Health Care Providers & Services - 0.3% | ||||||||
| Cross Country Healthcare 1 | 33,603 | 451,624 | ||||||
| Life Sciences Tools & Services - 2.4% | ||||||||
| BioLife Solutions 1 | 47,176 | 1,181,287 | ||||||
| Harvard Bioscience 1 | 282,422 | 759,715 | ||||||
| Mesa Laboratories | 9,920 | 1,288,212 | ||||||
| 3,229,214 | ||||||||
| Pharmaceuticals - 1.2% | ||||||||
| Harrow 1 | 34,634 | 1,557,145 | ||||||
| Total | 13,058,662 | |||||||
| Industrials – 25.9% | ||||||||
| Aerospace & Defense - 1.6% | ||||||||
| Astronics Corporation 1 | 56,055 | 1,091,951 | ||||||
| CPI Aerostructures 1 | 143,579 | 493,912 | ||||||
| Park Aerospace | 41,785 | 544,459 | ||||||
| 2,130,322 | ||||||||
| Building Products - 1.0% | ||||||||
| Quanex Building Products | 48,806 | 1,354,367 | ||||||
| Commercial Services & Supplies - 3.9% | ||||||||
| Acme United | 33,682 | 1,402,519 | ||||||
| CECO Environmental 1 | 55,530 | 1,565,946 | ||||||
| Montrose Environmental Group 1 | 27,068 | 711,888 | ||||||
| VSE Corporation | 19,320 | 1,598,344 | ||||||
| 5,278,697 | ||||||||
| Construction & Engineering - 3.4% | ||||||||
| Bowman Consulting Group 1 | 26,764 | 644,477 | ||||||
| Concrete Pumping Holdings 1 | 121,121 | 701,291 | ||||||
| IES Holdings 1 | 7,887 | 1,574,403 | ||||||
| Northwest Pipe 1 | 37,523 | 1,693,413 | ||||||
| 4,613,584 | ||||||||
| Electrical Equipment - 1.2% | ||||||||
| American Superconductor 1 | 65,610 | 1,548,396 | ||||||
| Ground Transportation - 0.7% | ||||||||
| Covenant Logistics Group Cl. A | 18,773 | 991,965 | ||||||
| Machinery - 5.7% | ||||||||
| Alimak Group 4 | 84,457 | 945,053 | ||||||
| Commercial Vehicle Group 1 | 127,781 | 415,288 | ||||||
| Graham Corporation 1 | 56,650 | 1,676,273 | ||||||
| Luxfer Holdings | 87,344 | 1,131,105 | ||||||
| Porvair 4 | 144,872 | 1,278,751 | ||||||
| Shyft Group (The) | 81,905 | 1,027,908 | ||||||
| Wabash National | 62,838 | 1,205,861 | ||||||
| 7,680,239 | ||||||||
| Marine Transportation - 1.2% | ||||||||
| Clarkson 4 | 31,114 | 1,534,517 | ||||||
| Professional Services - 4.6% | ||||||||
| CRA International | 9,456 | 1,657,826 | ||||||
| Forrester Research 1 | 39,153 | 705,145 | ||||||
| Kforce | 17,400 | 1,069,230 | ||||||
| NV5 Global 1 | 10,300 | 962,844 | ||||||
| Resources Connection | 94,854 | 920,084 | ||||||
| TrueBlue 1 | 78,564 | 619,870 | ||||||
| TTEC Holdings | 51,307 | 301,172 | ||||||
| 6,236,171 | ||||||||
| Trading Companies & Distributors - 2.6% | ||||||||
| Alta Equipment Group | 34,949 | 235,556 | ||||||
| Distribution Solutions Group 1 | 43,568 | 1,677,804 | ||||||
| Transcat 1 | 13,094 | 1,581,362 | ||||||
| 3,494,722 | ||||||||
| Total | 34,862,980 | |||||||
| Information Technology – 23.8% | ||||||||
| Communications Equipment - 4.5% | ||||||||
| Applied Optoelectronics 1 | 100,121 | 1,432,731 | ||||||
| Clearfield 1 | 31,652 | 1,233,162 | ||||||
| Digi International 1 | 44,859 | 1,234,968 | ||||||
| Genasys 1 | 247,185 | 879,979 | ||||||
| Harmonic 1 | 85,900 | 1,251,563 | ||||||
| 6,032,403 | ||||||||
| Electronic Equipment, Instruments & Components - 8.2% | ||||||||
| Arlo Technologies 1 | 111,063 | 1,344,973 | ||||||
| Bel Fuse Cl. B | 17,287 | 1,357,202 | ||||||
| Climb Global Solutions | 7,506 | 747,147 | ||||||
| FARO Technologies 1 | 76,498 | 1,464,172 | ||||||
| LightPath Technologies Cl. A 1 | 383,700 | 525,669 | ||||||
| Luna Innovations 1 | 219,158 | 515,021 | ||||||
| nLIGHT 1 | 118,093 | 1,262,414 | ||||||
| PAR Technology 1 | 30,476 | 1,587,190 | ||||||
| Powerfleet 1 | 235,628 | 1,178,140 | ||||||
| Richardson Electronics | 4,936 | 60,910 | ||||||
| Vishay Precision Group 1 | 37,926 | 982,284 | ||||||
| 11,025,122 | ||||||||
| Semiconductors & Semiconductor Equipment - 8.9% | ||||||||
| Aehr Test Systems 1,3 | 52,109 | 669,601 | ||||||
| Amtech Systems 1 | 125,369 | 727,140 | ||||||
| AXT 1 | 165,820 | 401,284 | ||||||
| Camtek | 9,516 | 759,853 | ||||||
| Cohu 1 | 36,100 | 927,770 | ||||||
| Ichor Holdings 1 | 37,200 | 1,183,332 | ||||||
| inTEST Corporation 1 | 96,179 | 702,107 | ||||||
| Kopin Corporation 1 | 628,134 | 458,538 | ||||||
| Nova 1 | 6,752 | 1,406,712 | ||||||
| NVE Corporation | 14,973 | 1,195,893 | ||||||
| PDF Solutions 1 | 30,100 | 953,568 | ||||||
| Photronics 1 | 53,036 | 1,313,171 | ||||||
| Ultra Clean Holdings 1 | 32,418 | 1,294,451 | ||||||
| 11,993,420 | ||||||||
| Software - 0.9% | ||||||||
| Agilysys 1 | 11,531 | 1,256,533 | ||||||
| Technology Hardware, Storage & Peripherals - 1.3% | ||||||||
| AstroNova 1 | 71,761 | 965,903 | ||||||
| Intevac 1 | 222,067 | 755,028 | ||||||
| 1,720,931 | ||||||||
| Total | 32,028,409 | |||||||
| Materials – 3.6% | ||||||||
| Chemicals - 1.3% | ||||||||
| Aspen Aerogels 1 | 35,305 | 977,596 | ||||||
| Core Molding Technologies 1 | 44,453 | 765,036 | ||||||
| 1,742,632 | ||||||||
| Metals & Mining - 2.3% | ||||||||
| Altius Minerals | 46,639 | 897,985 | ||||||
| Ferroglobe | 176,587 | 819,363 | ||||||
| Major Drilling Group International 1 | 211,100 | 1,306,449 | ||||||
| 3,023,797 | ||||||||
| Total | 4,766,429 | |||||||
| Real Estate – 0.5% | ||||||||
| Real Estate Management & Development - 0.5% | ||||||||
| FRP Holdings 1 | 23,909 | 713,923 | ||||||
| Total | 713,923 | |||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $96,506,602) | 132,236,011 | |||||||
| REPURCHASE AGREEMENT – 1.7% | ||||||||
Fixed Income Clearing Corporation, 4.25% dated 9/30/24, due 10/1/24, maturity value $2,259,434 (collateralized by obligations of U.S. Government Agencies, 3.375% due 09/15/27, valued at $2,304,362) (Cost $2,259,168) | 2,259,168 | |||||||
| COLLATERAL RECEIVED FOR SECURITIES LOANED – 0.7% | ||||||||
| Money Market Funds Federated Hermes Government Obligations Fund - Institutional Shares (7 day yield-4.79%) (Cost $932,941) | 932,941 | 932,941 | ||||||
| TOTAL INVESTMENTS – 100.8% | ||||||||
| (Cost $99,698,711) | 135,428,120 | |||||||
| LIABILITIES LESS CASH AND OTHER ASSETS – (0.8)% | (1,040,251 | ) | ||||||
| NET ASSETS – 100.0% | $ | 134,387,869 | ||||||
SCHEDULES OF INVESTMENTS
ROYCE CAPITAL FUND - SMALL-CAP PORTFOLIO
SEPTEMBER 30, 2024 (UNAUDITED)
| SHARES | VALUE | |||||||
| COMMON STOCKS – 99.6% | ||||||||
| Communication Services – 1.9% | ||||||||
| Media - 1.9% | ||||||||
| Saga Communications Cl. A | 111,320 | $ | 1,598,555 | |||||
| TEGNA | 257,863 | 4,069,078 | ||||||
| Total | 5,667,633 | |||||||
| Consumer Discretionary – 23.0% | ||||||||
| Automobile Components - 1.3% | ||||||||
| Visteon Corporation 1 | 38,521 | 3,668,740 | ||||||
| Diversified Consumer Services - 1.4% | ||||||||
| frontdoor 1 | 83,653 | 4,014,508 | ||||||
| Hotels, Restaurants & Leisure - 1.2% | ||||||||
| Bloomin’ Brands | 214,864 | 3,551,702 | ||||||
| Household Durables - 7.1% | ||||||||
| M/I Homes 1 | 33,260 | 5,699,434 | ||||||
| Meritage Homes | 23,735 | 4,867,337 | ||||||
| PulteGroup | 39,561 | 5,678,190 | ||||||
| Tri Pointe Homes 1 | 104,381 | 4,729,503 | ||||||
| 20,974,464 | ||||||||
| Specialty Retail - 9.0% | ||||||||
| Academy Sports & Outdoors | 41,269 | 2,408,459 | ||||||
| Buckle (The) | 100,918 | 4,437,365 | ||||||
| Caleres | 156,946 | 5,187,065 | ||||||
| Destination XL Group 1 | 248,799 | 731,469 | ||||||
| J.Jill | 90,267 | 2,226,887 | ||||||
| Shoe Carnival | 119,544 | 5,242,004 | ||||||
| Signet Jewelers | 39,344 | 4,057,940 | ||||||
| Williams-Sonoma | 15,388 | 2,383,909 | ||||||
| 26,675,098 | ||||||||
| Textiles, Apparel & Luxury Goods - 3.0% | ||||||||
| Carter’s | 23,751 | 1,543,340 | ||||||
| Kontoor Brands | 58,028 | 4,745,530 | ||||||
| Oxford Industries | 26,649 | 2,312,067 | ||||||
| Steven Madden | 6,764 | 331,368 | ||||||
| 8,932,305 | ||||||||
| Total | 67,816,817 | |||||||
| Consumer Staples – 2.4% | ||||||||
| Consumer Staples Distribution & Retail - 2.4% | ||||||||
| Ingles Markets Cl. A | 25,281 | 1,885,963 | ||||||
| Village Super Market Cl. A | 162,566 | 5,167,973 | ||||||
| Total | 7,053,936 | |||||||
| Energy – 9.3% | ||||||||
| Energy Equipment & Services - 0.7% | ||||||||
| Helmerich & Payne | 68,837 | 2,094,022 | ||||||
| Oil, Gas & Consumable Fuels - 8.6% | ||||||||
| Chord Energy | 26,639 | 3,469,197 | ||||||
| Civitas Resources | 66,350 | 3,361,954 | ||||||
| Crescent Energy Cl. A | 380,680 | 4,168,446 | ||||||
| Dorchester Minerals L.P. | 128,786 | 3,882,898 | ||||||
| Matador Resources | 69,614 | 3,440,324 | ||||||
| Riley Exploration Permian | 121,595 | 3,221,052 | ||||||
| SM Energy | 93,586 | 3,740,632 | ||||||
| 25,284,503 | ||||||||
| Total | 27,378,525 | |||||||
| Financials – 21.3% | ||||||||
| Banks - 16.7% | ||||||||
| Burke & Herbert Financial Services | 68,581 | 4,182,755 | ||||||
| Citizens Community Bancorp | 126,322 | 1,789,983 | ||||||
| CNB Financial | 171,654 | 4,129,995 | ||||||
| Dime Community Bancshares | 173,628 | 5,000,486 | ||||||
| Heritage Financial | 193,388 | 4,210,057 | ||||||
| Mid Penn Bancorp | 147,256 | 4,392,646 | ||||||
| OceanFirst Financial | 43,784 | 813,945 | ||||||
| Premier Financial | 125,806 | 2,953,925 | ||||||
| Princeton Bancorp | 47,095 | 1,741,573 | ||||||
| Riverview Bancorp | 182,861 | 861,275 | ||||||
| Timberland Bancorp | 125,883 | 3,809,220 | ||||||
| TrustCo Bank Corp NY | 100,255 | 3,315,433 | ||||||
| Unity Bancorp | 143,440 | 4,885,566 | ||||||
| Univest Financial | 174,653 | 4,914,735 | ||||||
| Western New England Bancorp | 275,019 | 2,337,662 | ||||||
| 49,339,256 | ||||||||
| Capital Markets - 1.6% | ||||||||
| Evercore Cl. A | 18,167 | 4,602,428 | ||||||
| Financial Services - 1.4% | ||||||||
| International Money Express 1 | 223,397 | 4,130,611 | ||||||
| Insurance - 1.6% | ||||||||
| Tiptree | 247,985 | 4,853,066 | ||||||
| Total | 62,925,361 | |||||||
| Health Care – 6.3% | ||||||||
| Biotechnology - 1.8% | ||||||||
| Catalyst Pharmaceuticals 1 | 268,493 | 5,337,641 | ||||||
| Health Care Providers & Services - 2.3% | ||||||||
| Molina Healthcare 1 | 12,175 | 4,195,018 | ||||||
| Patterson Companies | 111,969 | 2,445,403 | ||||||
| 6,640,421 | ||||||||
| Pharmaceuticals - 2.2% | ||||||||
| Collegium Pharmaceutical 1 | 114,345 | 4,418,291 | ||||||
| SIGA Technologies | 326,109 | 2,201,235 | ||||||
| 6,619,526 | ||||||||
| Total | 18,597,588 | |||||||
| Industrials – 18.9% | ||||||||
| Air Freight & Logistics - 0.8% | ||||||||
| Hub Group Cl. A | 55,613 | 2,527,611 | ||||||
| Building Products - 2.7% | ||||||||
| MasterBrand 1 | 127,433 | 2,362,608 | ||||||
| Quanex Building Products | 109,857 | 3,048,531 | ||||||
| UFP Industries | 19,966 | 2,619,739 | ||||||
| 8,030,878 | ||||||||
| Construction & Engineering - 1.1% | ||||||||
| Sterling Infrastructure 1 | 21,810 | 3,162,886 | ||||||
| Ground Transportation - 3.1% | ||||||||
| ArcBest Corporation | 35,034 | 3,799,437 | ||||||
| Schneider National Cl. B | 102,370 | 2,921,640 | ||||||
| Universal Logistics Holdings | 54,200 | 2,336,562 | ||||||
| 9,057,639 | ||||||||
| Machinery - 4.5% | ||||||||
| Allison Transmission Holdings | 46,744 | 4,490,696 | ||||||
| Miller Industries | 50,305 | 3,068,605 | ||||||
| Terex Corporation | 67,689 | 3,581,425 | ||||||
| Wabash National | 113,597 | 2,179,927 | ||||||
| 13,320,653 | ||||||||
| Marine Transportation - 2.7% | ||||||||
| Genco Shipping & Trading | 205,093 | 3,999,314 | ||||||
| Pangaea Logistics Solutions | 555,980 | 4,019,735 | ||||||
| 8,019,049 | ||||||||
| Professional Services - 4.0% | ||||||||
| Barrett Business Services | 118,692 | 4,452,137 | ||||||
| IBEX 1 | 218,675 | 4,369,126 | ||||||
| Korn Ferry | 40,262 | 3,029,313 | ||||||
| 11,850,576 | ||||||||
| Total | 55,969,292 | |||||||
| Information Technology – 15.3% | ||||||||
| Communications Equipment - 0.9% | ||||||||
| Aviat Networks 1 | 126,890 | 2,744,631 | ||||||
| Electronic Equipment, Instruments & Components - 12.2% | ||||||||
| Bel Fuse Cl. B | 55,805 | 4,381,251 | ||||||
| ePlus 1 | 56,599 | 5,565,946 | ||||||
| Flex 1 | 156,885 | 5,244,666 | ||||||
| Insight Enterprises 1 | 11,686 | 2,517,047 | ||||||
| Jabil | 33,369 | 3,998,607 | ||||||
| Kimball Electronics 1 | 33,917 | 627,804 | ||||||
| PC Connection | 35,382 | 2,668,864 | ||||||
| Sanmina Corporation 1 | 80,328 | 5,498,452 | ||||||
| TD SYNNEX | 24,856 | 2,984,708 | ||||||
| Vishay Intertechnology | 127,184 | 2,405,049 | ||||||
| 35,892,394 | ||||||||
| Semiconductors & Semiconductor Equipment - 0.7% | ||||||||
| Amkor Technology | 69,209 | 2,117,795 | ||||||
| Software - 0.4% | ||||||||
| Adeia | 93,165 | 1,109,595 | ||||||
| Technology Hardware, Storage & Peripherals - 1.1% | ||||||||
| Diebold Nixdorf 1 | 71,563 | 3,196,004 | ||||||
| Total | 45,060,419 | |||||||
| Real Estate – 1.2% | ||||||||
| Real Estate Management & Development - 1.2% | ||||||||
| RMR Group (The) Cl. A | 143,500 | 3,642,030 | ||||||
| Total | 3,642,030 | |||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $213,070,441) | 294,111,601 | |||||||
| REPURCHASE AGREEMENT – 0.5% | ||||||||
Fixed Income Clearing Corporation, 4.25% dated 9/30/24, due 10/1/24, maturity value $1,581,495 (collateralized by obligations of U.S. Government Agencies, 3.50% due 09/30/26, valued at $1,613,007) (Cost $1,581,308) | 1,581,308 | |||||||
| TOTAL INVESTMENTS – 100.1% | ||||||||
| (Cost $214,651,749) | 295,692,909 | |||||||
| LIABILITIES LESS CASH AND OTHER ASSETS – (0.1)% | (304,268 | ) | ||||||
| NET ASSETS – 100.0% | $ | 295,388,641 | ||||||
2 A 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.
3 All or a portion of these securities were on loan as of September 30, 2024.
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.
Tax Information:
As of September 30, 2024, 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 | $ 99,825,442 | $35,602,678 | $48,601,865 | $12,999,187 | ||||||||||||
| Small-Cap Portfolio | 216,035,539 | 79,657,370 | 87,981,397 | 8,324,027 | ||||||||||||
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:
Royce Capital Fund – Micro-Cap Portfolio and Royce Capital Fund – Small-Cap Portfolio (each, a “Fund,” and together, the “Funds”) are the two series of Royce Capital Fund (the “Trust”), an open-end management investment company organized as a Delaware statutory trust. Royce & Associates, LP, the Funds’ investment adviser, is a majority-owned subsidiary of Franklin Resources, Inc. and primarily conducts business using the name Royce Investment Partners (“Royce”). Investment transactions are accounted for on the trade date. Portfolio securities held by the Funds 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. Investments in money market funds are valued at net asset value per share. Values for non-U.S. dollar denominated equity securities are converted to U.S. dollars daily based upon prevailing foreign currency exchange rates as quoted by a major bank.
Portfolio securities that are listed on an exchange or Nasdaq, or traded on OTC Market Group Inc.’s OTC Link ATS or other alternative trading system, are valued: (i) on the basis of their last reported sales prices or official closing prices, as applicable, on a valuation date; or (ii) at their highest reported bid prices in the event such equity securities did not trade on a valuation date. Such inputs are generally referred to as “Level 1” inputs because they represent reliable quoted prices in active markets for identical securities.
If the value of a portfolio security held by a Fund cannot be determined solely by reference to Level 1 inputs, such portfolio security will be “fair valued.” The Trust’s Board of Trustees has designated Royce as valuation designee to perform fair value determinations for such portfolio securities in accordance with Rule 2a-5 under the Investment Company Act of 1940 (“Rule 2a-5”). Pursuant to Rule 2a-5, fair values are determined in accordance with policies and procedures approved by the Trust’s Board of Trustees and policies and procedures adopted by Royce in its capacity as valuation designee for the Trust. Fair valued securities are reported as either “Level 2” or “Level 3” securities.
As a general principle, the fair value of a security is the amount which a Fund might reasonably expect to receive for the security upon its current sale. However, in light of the judgment involved in fair valuations, no assurance can be given that a fair value assigned to a particular portfolio security will be the amount which the Fund might be able to receive upon its current sale. When a fair value pricing methodology is used, the fair value prices used by the Fund for such securities will likely differ from the quoted or published prices for the same securities.
Level 2 inputs are other significant observable inputs (e.g., dealer bid side quotes and quoted prices for securities with comparable characteristics). Examples of situations in which Level 2 inputs are used to fair value portfolio securities held by the Funds on a particular valuation date include:
| ● | Over-the-counter equity securities other than those traded on OTC Market Group Inc.’s OTC Link ATS or other alternative trading system (collectively referred to herein as “Other OTC Equity Securities”) are fair valued at their highest bid price when Royce receives at least two bid side quotes from dealers who make markets in such securities; |
| ● | Certain bonds and other fixed income securities may be fair valued by reference to other securities with comparable ratings, interest rates, and maturities in accordance with valuation methodologies maintained by certain independent pricing services; and |
| ● | The Funds use an independent pricing service to fair value certain non-U.S. equity securities when 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 such non-U.S. securities. |
Level 3 inputs are significant unobservable inputs. Examples of Level 3 inputs include (without limitation) the last trade price for a security before trading was suspended or terminated; discounts to last trade price for lack of marketability or otherwise; market price information regarding other securities; information received from the issuer and/or published documents, including SEC filings and financial statements; and other publicly available information. Pursuant to the above-referenced policies and procedures, Royce may use various techniques in making fair value determinations based upon Level 3 inputs, which techniques may include (without limitation): (i) workout valuation methods (e.g., earnings multiples, discounted cash flows, liquidation values, derivations of book value, firm or probable offers from qualified buyers for the issuer’s ongoing business, etc.); (ii) discount or premium from market, or compilation of other observable market information, for other similar freely traded securities; (iii) conversion from the readily available market price of a security into which an affected security is convertible or exchangeable; and (iv) pricing models or other formulas. In the case of restricted securities, fair value determinations generally start with the inherent or intrinsic worth of the relevant security, without regard to the restrictive feature, and are reduced for any diminution in value resulting from the restrictive feature. Due to the inherent uncertainty of such valuations, these fair values may differ significantly from the values that would have been used had an active market existed.
A security that is valued by reference to Level 1 or Level 2 inputs may drop to Level 3 on a particular valuation date for several reasons, including if:
| ● | an equity security that is listed on an exchange or Nasdaq, or traded on OTC Market Group Inc.’s OTC Link ATS or other alternative trading system, has not traded and there are no bids; |
| ● | Royce does not receive at least two bid side quotes for an Other OTC Equity Security; the independent pricing services are unable to supply fair value prices; or |
| ● | the Level 1 or Level 2 inputs become otherwise unreliable for any reason (e.g., a significant event occurs after the close of trading for a security but prior to the time a Fund prices its shares). |
The table below shows the aggregate value of the various Level 1, Level 2, and Level 3 securities held by the Funds as of September 30, 2024. Any Level 2 or Level 3 securities held by a Fund are noted in its Schedule of Investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with owning those securities.
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Micro-Cap Portfolio | ||||||||||||||||
| Common Stocks | $128,477,691 | $3,758,320 | $0 | $132,236,011 | ||||||||||||
| Repurchase Agreement | – | 2,259,168 | – | 2,259,168 | ||||||||||||
| Money Market Fund/Collateral Received for Securities Loaned | 932,941 | – | – | 932,941 | ||||||||||||
| Small-Cap Portfolio | ||||||||||||||||
| Common Stocks | 294,111,601 | – | – | 294,111,601 | ||||||||||||
| Repurchase Agreement | – | 1,581,308 | – | 1,581,308 |
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, 2024, are next business day 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, 2024.
| Securities on Loan | ||||||||||
| Cash Collateral1 | Collateralized by Cash Collateral | Net Amount | ||||||||
| Micro-Cap Portfolio | $932,941 | $(895,400) | $37,541 | |||||||
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, 2024:
| Securities on Loan | ||||||||||
| Non-Cash Collateral | Collateralized by Non-Cash Collateral | Net Amount | ||||||||
| Micro-Cap Portfolio | $1,054,125 | $(1,026,100) | $28,025 | |||||||
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).
