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: 811-08030

 

Name of Fund:  Royce Micro-Cap 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: 12/31/2018

 

Date of reporting period: 9/30/2018

 

Item 1 - Schedule of Investments

 

 

SCHEDULE OF INVESTMENTS
ROYCE MICRO-CAP TRUST
SEPTEMBER 30, 2018 (UNAUDITED)

      SHARES     VALUE  
COMMON STOCKS – 100.9%              
               
Communication Services – 2.8%              
Diversified Telecommunication Services - 0.2%              

ORBCOMM 1

     87,100   $ 945,906  
             
Entertainment - 0.5%              

Chicken Soup For The Soul Entertainment

     195,000     1,989,000  
             
Interactive Media & Services - 1.5%              

Care.com 1, 2

     171,787     3,798,211  

QuinStreet 1

     210,850     2,861,234  
             
            6,659,445  
             
Media - 0.6%              

comScore 1

     64,195     1,170,275  

McClatchy Company (The) Cl. A 1

     69,313     589,854  

New Media Investment Group

     66,200     1,038,678  
             
            2,798,807  
             
Total           12,393,158  
             
               
Consumer Discretionary – 11.7%              
Auto Components - 1.5%              

Fox Factory Holding 1

     5,300     371,265  

Motorcar Parts of America 1

     54,800     1,285,060  

Sebang Global Battery

     50,500     1,709,511  

Standard Motor Products

     50,860     2,503,329  

Stoneridge 1

     13,700     407,164  

Unique Fabricating

     12,200     98,820  
             
            6,375,149  
             
Distributors - 0.6%              

Uni-Select

     33,800     575,436  

Weyco Group 2

     54,300     1,910,274  
             
            2,485,710  
             
Diversified Consumer Services - 1.1%              

Aspen Group 1

     141,520     962,336  

Collectors Universe 2

     108,200     1,601,360  

Liberty Tax Cl. A 3

     142,900     1,664,785  

Universal Technical Institute 1

     270,000     718,200  
             
            4,946,681  
             
Hotels, Restaurants & Leisure - 1.6%              

Century Casinos 1

     222,500     1,659,850  

Del Taco Restaurants 1

     8,200     96,842  

Lindblad Expeditions Holdings 1

     254,000     3,776,980  

Lindblad Expeditions Holdings (Warrants) 1

     18,100     74,391  

Red Lion Hotels 1

     115,500     1,443,750  
             
            7,051,813  
             
Household Durables - 1.7%              

Cavco Industries 1, 2, 4

     19,641     4,969,173  

Ethan Allen Interiors 2

     18,100     375,575  

Flexsteel Industries 2

     16,100     478,814  

Lifetime Brands 2

     119,294     1,300,305  

Universal Electronics 1

     6,100     240,035  

ZAGG 1

     3,700     54,575  
             
            7,418,477  
             
Internet & Direct Marketing Retail - 1.6%              

FTD Companies 1

     67,200     176,736  

Gaia Cl. A 1, 2, 4

     125,000     1,925,000  

Leaf Group 1

     64,500     645,000  

Real Matters 1

     255,000     898,270  

Stamps.com 1

     11,700     2,646,540  

Yatra Online 1

     105,000     585,900  
             
            6,877,446  
             
Leisure Products - 0.8%              

Clarus Corporation

     174,926     1,932,932  

Nautilus 1

     118,500     1,653,075  
             
            3,586,007  
             
Multiline Retail - 0.0%              

Tuesday Morning 1, 2, 4

     36,700     117,440  
             
Specialty Retail - 1.6%              

AutoCanada

     237,700     2,508,304  

Barnes & Noble Education 1

     80,000     460,800  

Destination Maternity 1

     212,000     987,920  

Destination XL Group 1

     50,000     125,000  

Haverty Furniture

     38,400     848,640  

Kirkland’s 1

     11,000     110,990  

Lazydays Holdings 1

     30,000     226,500  

MarineMax 1

     7,600     161,500  

Sears Hometown and Outlet Stores 1, 2, 4

     269,700     768,645  

Shoe Carnival 2

     18,416     709,016  

Stage Stores 2

     15,000     29,550  
             
            6,936,865  
             
Textiles, Apparel & Luxury Goods - 1.2%              

Crown Crafts

     112,159     639,306  

Culp

     32,900     796,180  

J.G. Boswell Company 3

     2,490     1,620,990  

YGM Trading

     2,564,600     2,260,469  
             
            5,316,945  
             
Total           51,112,533  
             
               
Consumer Staples – 2.6%              
Beverages - 0.3%              

Crimson Wine Group 1, 3

     58,124     514,397  

Primo Water 1

     40,400     729,220  
             
            1,243,617  
             
Food Products - 2.2%              

AGT Food and Ingredients

     25,800     352,150  

Farmer Bros. 1, 2, 4

     62,600     1,652,640  

John B. Sanfilippo & Son 2

     17,800     1,270,564  

Landec Corporation 1, 2

     75,610     1,088,784  

RiceBran Technologies 1

     50,000     143,500  

Seneca Foods Cl. A 1, 2

     81,087     2,732,632  

Seneca Foods Cl. B 1

     40,400     1,292,800  

SunOpta 1

     176,281     1,295,665  
             
            9,828,735  
             
Household Products - 0.1%              

Central Garden & Pet 1

     12,000     432,480  
             
Total           11,504,832  
             
               
Energy – 8.1%              
Energy Equipment & Services - 5.0%              

Aspen Aerogels 1

     94,985     434,081  

CARBO Ceramics 1, 2, 4

     70,000     507,500  

CES Energy Solutions

     25,000     82,453  

Computer Modelling Group

     437,700     2,863,442  

Dawson Geophysical 1

     77,336     478,710  

Era Group 1, 2

     329,800     4,073,030  

Geospace Technologies 1, 2

     9,500     130,150  

Hornbeck Offshore Services 1, 2, 4

     460,000     2,704,800  

Independence Contract Drilling 1

     134,400     663,936  

Mammoth Energy Services

     4,500     130,950  

Matrix Service 1, 2

     28,700     707,455  

Nabors Industries

     34,000     209,440  

Newpark Resources 1

     11,200     115,920  

North American Construction Group

     50,000     490,000  

Pioneer Energy Services 1, 2

     245,600     724,520  

Precision Drilling 1

     108,600     375,756  

Profire Energy 1

     175,000     558,250  

SEACOR Marine Holdings 1, 2

     197,257     4,463,926  

TerraVest Industries

     209,000     1,755,623  

Total Energy Services

     25,700     216,082  

Trican Well Service 1

     53,300     95,322  
             
            21,781,346  
             
Oil, Gas & Consumable Fuels - 3.1%              

Ardmore Shipping 1

     199,300     1,295,450  

Cross Timbers Royalty Trust

     67,631     998,234  

Dorchester Minerals L.P.

     153,963     3,140,845  

Dorian LPG 1

     163,138     1,300,210  

GeoPark 1

     61,971     1,264,208  

Hallador Energy

     24,000     149,280  

Leucrotta Exploration 1

     489,800     712,905  

Panhandle Oil and Gas Cl. A

     5,500     101,475  

Permian Basin Royalty Trust

     176,333     1,403,611  

Sabine Royalty Trust 2

     59,548     2,509,948  

StealthGas 1

     229,664     817,604  

Teekay Offshore Partners L.P.

     56,000     131,040  
             
            13,824,810  
             
Total           35,606,156  
             
               
Financials – 12.9%              
Banks - 2.4%              

Bank of N.T. Butterfield & Son

     43,810     2,271,987  

Blue Hills Bancorp

     50,000     1,205,000  

Bryn Mawr Bank

     25,000     1,172,500  

Caribbean Investment Holdings 1

     735,635     177,383  

Chemung Financial

     31,000     1,315,330  

Fauquier Bankshares 2

     133,200     3,371,292  

Live Oak Bancshares 2

     30,900     828,120  

Midway Investments 1, 5

     735,647     0  
             
            10,341,612  
             
Capital Markets - 7.7%              

ASA Gold and Precious Metals

     171,150     1,518,100  

Ashford 1

     10,000     758,700  

B. Riley Financial

     4,600     104,190  

Bolsa Mexicana de Valores

     1,068,000     2,185,194  

Canaccord Genuity Group

     203,300     1,086,029  

Diamond Hill Investment Group 2

     3,584     592,758  

Donnelley Financial Solutions 1

     50,000     896,000  

Dundee Corporation Cl. A 1

     413,200     563,026  

Fiera Capital Cl. A

     78,000     753,641  

GAIN Capital Holdings 2

     25,000     162,500  

GMP Capital

     332,800     587,453  

Great Elm Capital Group 1

     515,200     1,674,400  

Hamilton Lane Cl. A 2

     32,300     1,430,244  

INTL FCStone 1, 2

     60,527     2,924,665  

JZ Capital Partners 1

     50,000     302,389  

Manning & Napier Cl. A

     136,600     402,970  

MVC Capital

     219,900     2,122,035  

OHA Investment

     59,761     90,538  

Pzena Investment Management Cl. A

     6,100     58,194  

Queen City Investments 3

     948     1,137,600  

Silvercrest Asset Management Group Cl. A

     203,300     2,815,705  

Sprott

     1,414,533     3,296,361  

U.S. Global Investors Cl. A 2

     439,454     667,970  

Urbana Corporation

     237,600     498,506  

Value Line 2

     131,974     3,286,153  

Virtu Financial Cl. A 2, 4

     86,200     1,762,790  

Vostok New Ventures SDR 1

     100,000     776,380  

Warsaw Stock Exchange

     52,900     637,790  

Westaim Corporation 1

     45,000     111,834  

Westwood Holdings Group 2

     12,400     641,576  
             
            33,845,691  
             
Consumer Finance - 0.5%              

Currency Exchange International 1

     7,000     165,455  

EZCORP Cl. A 1, 2

     201,000     2,150,700  
             
            2,316,155  
             
Diversified Financial Services - 0.1%              

Waterloo Investment Holdings 1, 5

     806,000     241,800  
             
Insurance - 1.2%              

Hallmark Financial Services 1, 2

     114,000     1,254,000  

Health Insurance Innovations Cl. A 1

     4,000     246,600  

Heritage Insurance Holdings

     6,600     97,812  

State Auto Financial

     23,500     717,690  

Trupanion 1, 2, 4

     82,300     2,940,579  
             
            5,256,681  
             
Investment Companies - 1.0%              

Social Capital Hedosophia Holdings Cl. A 1, 2

     438,850     4,349,003  
             
Total           56,350,942  
             
               
Health Care – 14.5%              
Biotechnology - 4.0%              

Abeona Therapeutics 1, 2, 4

     142,221     1,820,429  

Aquinox Pharmaceuticals 1, 2

     145,397     426,013  

Arcturus Therapeutics 1

     106,436     940,894  

BioCryst Pharmaceuticals 1

     144,000     1,098,720  

CareDx 1

     56,000     1,615,600  

Idera Pharmaceuticals 1

     58,061     517,324  

Knight Therapeutics 1

     187,000     1,190,059  

Mirati Therapeutics 1

     31,100     1,464,810  

Theratechnologies 1

     10,000     67,201  

Zafgen 1, 2, 4

     445,381     5,206,504  

Zealand Pharma 1

     187,900     3,077,594  

Zealand Pharma ADR 1

     10,000     165,200  
             
            17,590,348  
             
Health Care Equipment & Supplies - 5.1%              

AtriCure 1, 2

     15,000     525,450  

Atrion Corporation 2

     6,169     4,286,221  

Chembio Diagnostics 1

     35,500     372,750  

CryoLife 1

     4,600     161,920  

GenMark Diagnostics 1

     20,400     149,940  

Inogen 1

     4,300     1,049,716  

Invacare Corporation 2

     54,100     787,155  

LeMaitre Vascular

     5,000     193,700  

OraSure Technologies 1, 2, 4

     50,000     772,500  

OrthoPediatrics Corporation 1

     33,300     1,220,112  

STRATEC Biomedical

     14,000     1,051,680  

Surmodics 1, 2

     113,700     8,487,705  

TearLab Corporation 1, 3

     8,500     1,326  

Utah Medical Products

     33,000     3,108,600  
             
            22,168,775  
             
Health Care Providers & Services - 2.7%              

AAC Holdings 1

     89,400     682,122  

Aceto Corporation

     58,300     131,758  

BioTelemetry 1

     47,700     3,074,265  

CRH Medical 1

     133,000     529,261  

Cross Country Healthcare 1

     150,800     1,316,484  

National Research 2

     89,529     3,455,819  

PetIQ Cl. A 1

     25,000     982,750  

Psychemedics Corporation 2

     37,500     705,375  

U.S. Physical Therapy

     10,000     1,186,000  
             
            12,063,834  
             
Health Care Technology - 1.2%              

Tabula Rasa HealthCare 1, 2

     47,500     3,856,525  

Vocera Communications 1

     33,100     1,210,798  
             
            5,067,323  
             
Life Sciences Tools & Services - 1.0%              

NeoGenomics 1

     125,000     1,918,750  

Quanterix Corporation 1

     115,500     2,474,010  
             
            4,392,760  
             
Pharmaceuticals - 0.5%              

Agile Therapeutics 1, 2

     80,000     29,320  

Aratana Therapeutics 1

     9,200     53,728  

Corium International 1

     4,900     46,599  

Correvio Pharma 1

     33,800     135,876  

Theravance Biopharma 1

     59,009     1,927,824  
             
            2,193,347  
             
Total           63,476,387  
             
               
Industrials – 21.9%              
Aerospace & Defense - 0.2%              

Astronics Corporation 1

     2,460     107,010  

CPI Aerostructures 1

     21,800     182,030  

Innovative Solutions and Support 1

     78,828     200,223  

SIFCO Industries 1

     45,800     231,290  
             
            720,553  
             
Building Products - 1.3%              

Burnham Holdings Cl. A 3

     117,000     1,732,770  

CSW Industrials 1

     20,000     1,074,000  

DIRTT Environmental Solutions 1

     96,000     485,333  

Insteel Industries

     44,200     1,585,896  

Patrick Industries 1

     17,250     1,021,200  
             
            5,899,199  
             
Commercial Services & Supplies - 2.6%              

Acme United

     25,000     532,000  

Atento

     218,701     1,640,257  

Civeo Corporation 1

     150,000     622,500  

CompX International Cl. A

     78,200     1,063,520  

Heritage-Crystal Clean 1, 2, 4

     216,077     4,613,244  

Hudson Technologies 1

     50,000     64,000  

PICO Holdings 2, 4

     121,200     1,521,060  

Team 1, 2, 4

     57,500     1,293,750  
             
            11,350,331  
             
Construction & Engineering - 3.2%              

Ameresco Cl. A 1

     251,400     3,431,610  

Construction Partners Cl. A 1

     4,200     50,820  

Granite Construction

     13,500     616,950  

IES Holdings 1, 2

     206,800     4,032,600  

Infrastructure and Energy Alternatives 1

     205,000     2,152,500  

Infrastructure and Energy Alternatives

              

(Warrants) 1

     100,000     169,000  

Northwest Pipe 1, 2

     61,600     1,216,600  

NV5 Global 1, 2

     27,400     2,375,580  
             
            14,045,660  
             
Electrical Equipment - 0.8%              

American Superconducter 1

     22,700     157,765  

Encore Wire 2

     4,100     205,410  

LSI Industries

     147,412     678,095  

Powell Industries

     21,400     775,964  

Power Solutions International 1, 2, 3, 4

     21,100     247,925  

Preformed Line Products

     20,743     1,457,818  

Revolution Lighting Technologies 1, 2, 4

     81,200     230,608  
             
            3,753,585  
             
Industrial Conglomerates - 1.0%              

Raven Industries 2

     92,700     4,241,025  
             
Machinery - 8.5%              

CIRCOR International 1, 2

     154,800     7,353,000  

Eastern Company (The)

     39,750     1,128,900  

Exco Technologies

     85,400     624,805  

Foster (L.B.) Company 1, 2, 4

     95,300     1,958,415  

FreightCar America 1

     5,500     88,385  

Global Brass and Copper Holdings

     5,000     184,500  

Graham Corporation 2

     75,150     2,116,976  

Harsco Corporation 1

     4,400     125,620  

Hurco Companies 2

     36,866     1,662,657  

Kadant 2

     48,800     5,263,080  

Kornit Digital 1

     43,900     961,410  

Lindsay Corporation 2

     32,600     3,267,824  

Luxfer Holdings 2

     64,012     1,488,279  

Lydall 1

     12,800     551,680  

NN

     45,300     706,680  

Sun Hydraulics 2

     74,000     4,053,720  

Tennant Company

     34,400     2,612,680  

Titan International

     212,200     1,574,524  

Twin Disc 1

     4,300     99,072  

Westport Fuel Systems 1

     454,500     1,363,500  
             
            37,185,707  
             
Marine - 1.6%              

Clarkson

     109,900     3,867,580  

Eagle Bulk Shipping 1

     540,000     3,034,800  
             
            6,902,380  
             
Professional Services - 0.8%              

Acacia Research 1, 2

     190,000     608,000  

CBIZ 1

     47,000     1,113,900  

Franklin Covey 1

     40,100     948,365  

GP Strategies 1

     7,600     128,060  

IBI Group 1

     84,500     296,353  

InnerWorkings 1

     30,400     240,768  

Kforce 2

     2,800     105,280  

Resources Connection

     11,200     185,920  
             
            3,626,646  
             
Road & Rail - 0.9%              

Marten Transport

     5,500     115,775  

Patriot Transportation Holding 1, 2

     55,764     1,065,650  

Universal Logistics Holdings 2

     75,200     2,767,360  
             
            3,948,785  
             
Trading Companies & Distributors - 1.0%              

Central Steel and Wire (Escrow) 1, 5

     405     12,348  

EnviroStar 2,4

     44,300     1,725,485  

Houston Wire & Cable 1

     331,418     2,551,919  
             
            4,289,752  
             
Total           95,963,623  
             
               
Information Technology – 16.7%              
Communications Equipment - 0.3%              

Clearfield 1

     85,200     1,145,940  

EMCORE Corporation 1

     8,300     39,425  

PCTEL

     34,100     158,565  
             
            1,343,930  
             
Electronic Equipment, Instruments & Components - 8.1%              

Airgain 1, 2

     8,200     107,748  

Bel Fuse Cl. A

     67,705     1,430,607  

eMagin Corporation 1

     125,000     187,500  

eMagin Corporation (Warrants) 1, 5

     50,000     0  

ePlus 1

     2,100     194,670  

Fabrinet 1

     2,200     101,772  

FARO Technologies 1, 2, 4

     75,300     4,845,555  

Firan Technology Group 1

     25,000     44,904  

HollySys Automation Technologies

     51,900     1,109,103  

Inficon Holding

     3,220     1,645,435  

LightPath Technologies Cl. A 1

     100,000     201,500  

Mesa Laboratories 2

     49,500     9,188,190  

nLIGHT 1, 2, 4

     173,200     3,846,772  

Novanta 1

     36,200     2,476,080  

Orbotech 1, 2, 4

     62,800     3,732,832  

PAR Technology 1

     60,268     1,339,155  

PC Connection 2

     43,716     1,700,115  

Perceptron 1

     8,500     82,875  

Richardson Electronics

     316,900     2,779,213  

Rogers Corporation 1, 2

     600     88,392  

Vishay Precision Group 1

     10,000     374,000  
             
            35,476,418  
             
IT Services - 0.5%              

Computer Task Group 1

     150,838     787,374  

Conduent 1

     30,000     675,600  

Hackett Group (The)

     27,700     558,155  
             
            2,021,129  
             
Semiconductors & Semiconductor Equipment - 4.9%              

Adesto Technologies 1

     97,000     577,150  

Alpha & Omega Semiconductor 1

     3,300     38,379  

Amtech Systems 1, 2

     92,184     492,262  

AXT 1

     100,000     715,000  

Brooks Automation 2

     90,300     3,163,209  

CyberOptics Corporation 1

     45,500     919,100  

Everspin Technologies 1

     5,900     45,312  

FormFactor 1

     22,869     314,449  

Kulicke & Soffa Industries 2

     77,200     1,840,448  

Nanometrics 1, 2

     64,600     2,423,792  

NeoPhotonics Corporation 1, 2, 4

     79,900     663,170  

Nova Measuring Instruments 1, 2

     71,400     1,878,534  

PDF Solutions 1

     189,700     1,712,991  

Photronics 1

     240,800     2,371,880  

Rudolph Technologies 1

     52,100     1,273,845  

Silicon Motion Technology ADR

     34,100     1,831,170  

Ultra Clean Holdings 1, 2

     61,900     776,845  

Veeco Instruments 1, 2, 4

     17,500     179,375  

Xcerra Corporation 1

     15,600     222,612  
             
            21,439,523  
             
Software - 2.0%              

Agilysys 1

     90,000     1,467,000  

Amber Road 1

     25,000     240,500  

American Software Cl. A

     120,352     1,459,870  

MINDBODY Cl. A 1

     38,900     1,581,285  

Monotype Imaging Holdings

     15,000     303,000  

Optiva 1

     3,000     113,575  

RealNetworks 1

     100,171     294,503  

Rubicon Project 1

     75,000     270,000  

SeaChange International 1

     90,700     162,353  

Solium Capital 1

     317,500     2,780,107  

Support.com 1

     105,600     306,240  
             
            8,978,433  
             
Technology Hardware, Storage & Peripherals - 0.9%              

AstroNova

     5,300     114,480  

Cray 1

     19,700     423,550  

Intevac 1

     547,800     2,848,560  

USA Technologies 1

     90,500     651,600  
             
            4,038,190  
             
Total           73,297,623  
             
               
Materials – 5.8%              
Chemicals - 2.3%              

Balchem Corporation

     10,575     1,185,352  

LSB Industries 1

     135,800     1,328,124  

OMNOVA Solutions 1

     25,000     246,250  

Quaker Chemical 2, 4

     24,400     4,933,924  

Rayonier Advanced Materials

     50,000     921,500  

Trecora Resources 1

     89,600     1,254,400  
             
            9,869,550  
             
Construction Materials - 0.3%              

Monarch Cement 3

     16,303     1,190,119  

U.S. Concrete 1

     2,500     114,625  
             
            1,304,744  
             
Containers & Packaging - 0.3%              

UFP Technologies 1

     36,445     1,339,354  
             
Metals & Mining - 2.9%              

Alamos Gold Cl. A

     186,044     854,133  

Ampco-Pittsburgh 1

     79,002     466,112  

Haynes International 2

     27,400     972,700  

Hudbay Minerals

     62,200     314,110  

Imdex 1

     750,666     645,716  

Impala Platinum Holdings 1

     500,000     972,333  

MAG Silver 1

     154,050     1,249,346  

Major Drilling Group International 1

     921,657     3,460,718  

Olympic Steel

     35,000     730,450  

Pretium Resources 1

     80,000     608,214  

Sandstorm Gold 1

     510,000     1,902,300  

Universal Stainless & Alloy Products 1

     16,500     420,915  

Victoria Gold 1

     890,000     241,164  
             
            12,838,211  
             
Total           25,351,859  
             
               
Real Estate – 3.4%              
Real Estate Management & Development - 3.4%              

Altus Group

     87,000     2,061,758  

FRP Holdings 1, 2, 4

     69,000     4,284,900  

Marcus & Millichap 1, 2

     49,567     1,720,470  

RMR Group Cl. A

     34,900     3,238,720  

Tejon Ranch 1, 2

     154,994     3,364,920  
             
Total           14,670,768  
             
               
Utilities – 0.5%              
Independent Power & Renewable Electricity Producer - 0.0%              

Innergex Renewable Energy

     15,573     156,496  
             
Water Utilities - 0.5%              

AquaVenture Holdings 1

     50,000     903,500  

Global Water Resources

     106,000     1,122,540  
             
            2,026,040  
             
Total           2,182,536  
             
               
TOTAL COMMON STOCKS              

(Cost $333,409,910)

           441,910,417  
             
               
PREFERRED STOCK – 0.5%              

Chicken Soup For The Soul Entertainment

              

9.75% Ser. A 2

     80,000     2,077,600  
             

(Cost $2,000,000)

           2,077,600  
             

REPURCHASE AGREEMENT – 3.7%              
Fixed Income Clearing Corporation,              

0.42% dated 9/28/18, due 10/1/18,

              

maturity value $16,430,575 (collateralized

              

by obligations of various U.S. Government

              

Agencies, 3.125% due 2/15/43, valued at $16,763,061)

              

(Cost $16,430,000)

           16,430,000  
             
               
TOTAL INVESTMENTS – 105.1%              

(Cost $351,839,910)

           460,418,017  
               
LIABILITIES LESS CASH              

AND OTHER ASSETS – (5.1)%

           (22,367,102 )
             
               
NET ASSETS – 100.0%         $ 438,050,915  
             

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, 2018. Total market value of pledged securities at September 30, 2018, was $45,556,195.
3
These securities are defined as Level 2 securities due to fair value being based on quoted prices for similar securities.
4
At September 30, 2018, a portion of these securities were rehypothecated in connection with the Fund’s revolving credit agreement in the aggregate amount of $19,785,566.
5
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.

TAX INFORMATION: The cost of total investments for Federal income tax purposes was $352,826,428. At September 30, 2018, net unrealized appreciation for all securities was $107,591,589, consisting of aggregate gross unrealized appreciation of $152,817,311 and aggregate gross unrealized depreciation of $45,225,722. 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, 2018. 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   $433,546,356   $ 8,109,913   $254,148   $441,910,417
Preferred Stocks   2,077,600   –   –   2,077,600
Cash Equivalents   –   16,430,000   –   16,430,000

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, 2018, securities valued at $1,664,785 were transferred from Level 1 to Level 2 and securities valued at $14,107,970 were transferred from Level 2 to Level 1 within the fair value hierarchy.

Level 3 Reconciliation:                    
                     
    Balance as of       Realized   Unrealized    
    12/31/17   Purchases   Gain (Loss)   Gain (Loss)   Balance as of 9/30/18
 
Common Stocks   $241,800   $0   $–   $12,348   $254,148

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

    Fair Value at       Unobservable       Impact to Valuation From
    9/30/18   Valuation Technique(s)   Input(s)   Range Average   an Increase in Input 1
 

Common Stocks		  
$254,148		   Discounted Present Value
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, 2018 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, 2018, the Fund has outstanding borrowings of $22,000,000. During the period ended September 30, 2018, the Fund borrowed an average daily balance of $43,479,853. 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.

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).

 
 

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 Micro-Cap Trust, Inc.

By:

 

/s/ Christopher D. Clark

Christopher D. Clark

President, Royce Micro-Cap Trust, Inc.

Date: November 26, 2018

 

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.

 

By:

 

/s/ Christopher D. Clark

Christopher D. Clark

President, Royce Micro-Cap Trust, Inc.

Date: November 26, 2018

 

By:

 

 

/s/ Peter K. Hoglund

Peter K. Hoglund

Treasurer, Royce Micro-Cap Trust, Inc.

Date: November 26, 2018