ROYCE SMALL-CAP TRUST, INC. — Interim / Quarterly Report 2017

N-Q 1 e51232_rvt-nq.htm

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549

FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act File Number: 811-04875

| Name of Fund: | Royce Value
Trust, Inc. |
| --- | --- |
| Fund Address: | 745 Fifth
Avenue |
| | New York,
NY 10151 |

Name and address of agent for service: John E. Denneen, Esq. Royce & Associates, LP 745 Fifth Avenue New York, NY 10151

Registrant’s telephone number, including area code: (212) 508-4500

Date of fiscal year end: 12/31/2017

Date of reporting period: 9/30/2017

Item 1 – Schedule of Investments

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| SCHEDULE OF
INVESTMENTS |
| --- |
| ROYCE VALUE
TRUST |
| SEPTEMBER
30, 2017 (UNAUDITED) |

| 1 | At September
30, 2017, a portion of these securities were rehypothecated in connection with the
Fund’s revolving credit agreement in the aggregate amount of $68,646,380. |
| --- | --- |
| 2 | All or
a portion of these securities were pledged as collateral in connection with the
Fund’s revolving credit agreement at September 30, 2017. Total market value
of pledged securities at September 30, 2017, was $124,612,726. |
| 3 | These securities
are defined as Level 2 securities due to fair value being based on quoted prices
for similar securities. |
| 4 | Non-income
producing. |
| 5 | At September
30, 2017, 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. |
| 6 | Securities
for which market quotations are not readily available represent 0.1% 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. |
| 7 | Includes
securities first acquired in 2017 and less than 1% of net assets. |

TAX INFORMATION: The cost of total investments for Federal income tax purposes was $1,063,811,691. At September 30, 2017, net unrealized appreciation for all securities was $445,651,050, consisting of aggregate gross unrealized appreciation of $531,965,902 and aggregate gross unrealized depreciation of $86,314,852. The primary cause of the difference between book and tax basis cost is the timing of the recognition of losses on securities sold.

| Valuation
of Investments: |
| --- |
| Investment
transactions are accounted for on the trade date. Securities are valued as of the
close of trading on the New York Stock Exchange (NYSE) (generally 4:00 p.m. Eastern
time) on the valuation date. Securities that trade on an exchange, and securities
traded on Nasdaq’s Electronic Bulletin Board, are valued at their last reported sales price or Nasdaq official closing
price taken from the primary market in which each security trades or, if no sale
is reported for such day, at their highest bid price. Other over-the-counter securities
for which market quotations are readily available are valued at their highest bid
price, except in the case of some bonds and other fixed income securities which
may be valued by reference to other securities with comparable ratings, interest
rates and maturities, using established independent pricing services. The Fund values
its non-U.S. dollar denominated securities in U.S. dollars daily at the prevailing
foreign currency exchange rates as quoted by a major bank. Securities for which
market quotations are not readily available are valued at their fair value in accordance
with the provisions of the 1940 Act, under procedures approved by the Fund’s
Board of Directors, and are reported as Level 3 securities. As a general principle,
the fair value of a security is the amount which the Fund might reasonably expect
to receive for the security upon its current sale. However, in light of the judgment
involved in fair valuations, there can be no assurance that a fair value assigned
to a particular security will be the amount which the Fund might be able to receive
upon its current sale. In addition, if, between the time trading ends on a particular
security and the close of the customary trading session on the NYSE, events occur
that are significant and may make the closing price unreliable, the Fund may fair
value the security. The Fund uses an independent pricing service to provide fair
value estimates for relevant non-U.S. equity securities on days when the U.S. market
volatility exceeds a certain threshold. This pricing service uses proprietary correlations
it has developed between the movement of prices of non-U.S. equity securities and
indices of U.S.-traded securities, futures contracts and other indications to estimate
the fair value of relevant non-U.S. securities. When fair value pricing is employed,
the prices of securities used by the Fund may differ from quoted or published prices
for the same security. Investments in money market funds are valued at net asset
value per share. |

Various inputs are used in determining the value of the Fund’s investments, as noted above. These inputs are summarized in the three broad levels below:

| Level 1 – | quoted
prices in active markets for identical securities. |
| --- | --- |
| Level 2 – | other significant
observable inputs (including quoted prices for similar securities, foreign securities
that may be fair valued and repurchase agreements). The table below includes all
Level 2 securities. Level 2 securities with values based on quoted prices for similar
securities are noted in the Schedule of Investments. |
| Level 3 – | significant
unobservable inputs (including last trade price before trading was suspended, or
at a discount thereto for lack of marketability or otherwise, market price information
regarding other securities, information received from the company and/or published
documents, including SEC filings and financial statements, or other publicly available
information). |

| The inputs
or methodology used for valuing securities are not necessarily an indication of
the risk associated with investing in those securities. |
| --- |
| The following
is a summary of the inputs used to value the Fund’s
investments as of September 30, 2017. For a detailed breakout of common stocks by sector classification, please refer to the Schedule of Investments. |

Certain securities have transferred in and out of Level 1 and Level 2 measurements during the reporting period. The Fund recognizes transfers between levels as of the end of the reporting period. For the nine months ended September 30, 2017, securities valued at $6,188,226 were transferred from Level 1 to Level 2 and securities valued at $85,146,431 were transferred from Level 2 to Level 1 within the fair value hierarchy.

Level 3 Reconciliation:

| | | | Realized
and | |
| --- | --- | --- | --- | --- |
| | | | Unrealized | |
| | Balance
as of 12/31/16 | Sales | Gain
(Loss) | Balance
as of 9/30/17 |
| Common Stocks | $892,063 | $759 | $296 | $891,600 |

The following table summarizes the valuation techniques used and unobservable inputs approved by the Valuation Committee to determine the fair value of certain, material Level 3 investments. The table does not include Level 3 investments with values derived utilizing prices from prior transactions or third party pricing information with adjustments (e.g. broker quotes, pricing services, net asset values).

| | Fair
Value at — 9/30/17 | Valuation
Technique(s) | Unobservable — Input(s) | Range
Average | Impact
to Valuation From — an Increase
in Input 1 |
| --- | --- | --- | --- | --- | --- |
| | | Discounted
Present Value | | | |
| Common Stocks | $891,600 | Balance
Sheet Analysis | Liquidity
Discount | 30%-40% | Decrease |

1 This column represents the directional change in the fair value of the Level 3 investments that would result in an increase from the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. Significant increases and decreases in these unobservable inputs in isolation could result in significantly higher or lower fair value measurements.

| Repurchase
Agreements: |
| --- |
| The
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, 2017 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). As of September 30, 2017, the Fund
has outstanding borrowings of $70,000,000. During the period ended September 30,
2017, the Fund borrowed an average daily balance of $70,000,000. The Fund pays a
commitment fee of 0.50% per annum on the unused portion of the credit agreement.
The credit agreement has a 360-day rolling term that resets daily; however, if the
Fund exceeds certain net asset value triggers, the credit agreement may convert
to a 60-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 maintain
other financial covenants required under 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. 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. |
| 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 Fund effected the following transactions
in shares of such companies for the nine months ended September 30, 2017: |

Other information regarding the Fund is available in the Fund’s most recent Report to Stockholders. This information is available through The Royce Funds ( www.roycefunds.com ) and on the Securities and Exchange Commission’s website (www.sec.gov).

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Item 2 – Controls and Procedures (a) The Registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report (as required by Rule 30a-3(b) under the Investment Company Act of 1940 (the “Act”)), that the Registrant’s disclosure controls and procedures (as defined by Rule 30a-3(c) under the Act) are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-Q is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-Q is accumulated and communicated to the Registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) during the Registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the internal control over financial reporting.

Item 3 – Exhibits Certifications pursuant to Rule 30a-2(a) under the Act are attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Royce Value Trust, Inc. By:

| /s/ Christopher
D. Clark |
| --- |
| Christopher
D. Clark |
| President,
Royce Value Trust, Inc. |
| Date: November
20, 2017 |

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.