<PAGE>
<PAGE>
SCHEDULES OF INVESTMENTS
DECEMBER 31, 1996
The Schedules of Investments are integral to and should be read in conjunction
with the accompanying Statements of Assets and Liabilities, Statements of
Operations, Statements of Changes in Net Assets, Financial Highlights, and Notes
to Financial Statements, included in the Annual Report.
- --------------------------------------------------------------------------------
ROYCE PREMIER FUND
- --------------------------------------------------------------------------------
COMMON STOCKS - 85.3%
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
CONSUMER PRODUCTS - 5.6%
Ethan Allen Interiors Inc. .............. 93,500 $ 3,599,750
Garan Incorporated....................... 203,800 3,948,625
Juno Lighting, Inc. ..................... 324,900 5,198,400
Sturm, Ruger & Company, Inc. ............ 253,600 4,913,500
------------
17,660,275
------------
CONSUMER SERVICES - 3.6%
Atlantic Southeast Airlines, Inc. ....... 159,000 3,478,125
Buffets, Inc.*........................... 501,585 4,576,963
Sbarro, Inc. ............................ 126,400 3,223,200
------------
11,278,288
------------
FINANCIAL INTERMEDIARIES - 13.8%
Alleghany Corporation*................... 15,846 3,359,352
The Commerce Group, Inc. ................ 207,300 5,234,325
Leucadia National Corporation............ 206,800 5,531,900
Orion Capital Corporation................ 74,900 4,578,263
Pennsylvania Manufacturers Corporation
Cl. A.................................. 270,760 4,264,470
Trenwick Group Inc. ..................... 169,600 7,844,000
Wesco Financial Corporation.............. 38,800 7,255,600
Zenith National Insurance Corp. ......... 213,800 5,852,775
------------
43,920,685
------------
FINANCIAL SERVICES - 10.4%
E.W. Blanch Holdings, Inc. .............. 290,500 5,846,312
Comdisco, Inc. .......................... 122,550 3,890,963
Crawford & Company Cl. A................. 248,500 5,373,812
Arthur J. Gallagher & Co. ............... 202,600 6,280,600
The John Nuveen Company.................. 92,900 2,461,850
The Pioneer Group, Inc. ................. 167,100 3,968,625
Willis Corroon Group plc`D'.............. 461,100 5,302,650
------------
33,124,812
------------
HEALTH - 1.4%
Haemonetics Corporation*................. 233,600 4,409,200
------------
INDUSTRIAL PRODUCTS - 19.0%
Curtiss-Wright Corporation............... 102,300 5,153,363
Fab Industries, Inc. .................... 162,000 4,455,000
P. H. Glatfelter Company................. 229,900 4,138,200
Kaydon Corporation....................... 85,200 4,015,050
<CAPTION>
Shares Value
<S> <C> <C>
Kimball International, Inc. Cl. B........ 109,000 $ 4,509,875
Lilly Industries, Inc. Cl. A............. 376,400 6,869,300
The Lincoln Electric Company Cl. A....... 182,100 5,508,525
Liqui-Box Corporation.................... 108,200 3,516,500
The Standard Register Company............ 291,800 9,483,500
Unifi, Inc. ............................. 139,100 4,468,588
Woodward Governor Company................ 61,739 8,149,548
------------
60,267,449
------------
INDUSTRIAL SERVICES - 7.6%
Air Express International Corporation.... 94,050 3,033,113
Arnold Industries, Inc. ................. 336,800 5,346,700
Bowne & Co., Inc. ....................... 174,000 4,284,750
DIMON Incorporated....................... 188,700 4,363,687
New England Business Service, Inc. ...... 326,700 7,024,050
------------
24,052,300
------------
NATURAL RESOURCES - 5.6%
Tom Brown, Inc.*......................... 176,210 3,678,383
CalMat Co. .............................. 318,800 5,977,500
Florida Rock Industries, Inc. ........... 244,700 8,013,925
------------
17,669,808
------------
RETAIL - 10.1%
The Dress Barn, Inc.*.................... 460,000 6,900,000
Family Dollar Stores, Inc. .............. 370,100 7,540,788
Sotheby's Holdings, Inc. Cl. A........... 307,600 5,729,050
Stanhome Inc. ........................... 250,100 6,627,650
The Talbots, Inc. ....................... 183,500 5,252,687
------------
32,050,175
------------
TECHNOLOGY - 8.2%
Dallas Semiconductor Corporation......... 173,700 3,995,100
Dionex Corporation*...................... 74,600 2,611,000
Electroglas, Inc.*....................... 206,700 3,333,038
Marshall Industries*..................... 267,100 8,179,937
National Computer Systems, Inc. ......... 207,600 5,293,800
Scitex Corporation Limited............... 287,000 2,726,500
------------
26,139,375
------------
Total Common Stocks
(Cost $222,873,188).................... 270,572,367
------------
</TABLE>
<PAGE>
<PAGE>
SCHEDULES OF INVESTMENTS
DECEMBER 31, 1996
- --------------------------------------------------------------------------------
ROYCE PREMIER FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
<S> <C>
U.S. TREASURY OBLIGATION - 4.5%
U.S. Treasury Notes, principal amount
$14,000,000, 7.00% due 4/15/99
(Cost $14,194,688).................. $ 14,312,760
------------
REPURCHASE AGREEMENT - 11.3%
State Street Bank and Trust Company, 4.90% dated
12/31/96, due 1/02/97, maturity value
$35,709,718, (collateralized by U.S. Treasury
Notes, 7.25% due 8/15/04, valued at $36,414,938)
(Cost $35,700,000).............................. 35,700,000
------------
<CAPTION>
Value
<S> <C>
TOTAL INVESTMENTS - 101.1%
(COST $272,767,876)............................. $320,585,127
LIABILITIES LESS CASH AND
OTHER ASSETS - (1.1)%........................... (3,561,471)
------------
NET ASSETS - 100.0%............................... $317,023,656
------------
------------
</TABLE>
* Non-income producing.
`D' American Depository Receipt.
INCOME TAX INFORMATION - The cost of total investments for federal income tax
purposes was $272,816,734. At December 31, 1996, net unrealized appreciation for
all securities amounted to $47,768,393, consisting of aggregate gross unrealized
appreciation of $53,661,110 and aggregate gross unrealized depreciation of
$5,892,717. The Fund designates $13,648,111 as a capital gain dividend for the
purpose of the dividend paid deduction.
- --------------------------------------------------------------------------------
ROYCE MICRO-CAP FUND
- --------------------------------------------------------------------------------
COMMON STOCKS - 95.3%
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
CONSUMER PRODUCTS - 20.4%
Aldila, Inc.*.......................... 300,000 $ 1,453,125
Bassett Furniture Industries,
Incorporated......................... 43,900 1,075,550
Conso Products Co.*.................... 52,875 680,766
Fedders Corporation Cl. A.............. 194,400 972,000
First Years Inc. ...................... 7,400 120,250
Garan Incorporated..................... 49,300 955,188
Gibson Greetings, Inc.*................ 81,000 1,589,625
Haggar Corp. .......................... 36,900 585,788
J & J Snack Foods Corp.*............... 99,300 1,340,550
Jean-Philippe Fragrances, Inc.*........ 114,300 742,950
Johnson Worldwide Associates, Inc. Cl.
A*................................... 99,800 1,322,350
Juno Lighting, Inc. ................... 65,300 1,044,800
Justin Industries, Inc. ............... 70,000 805,000
Kit Manufacturing Co.*................. 32,200 362,250
Lifetime Hoan Corporation*............. 148,982 1,750,538
Marisa Christina, Incorporated*........ 85,800 707,850
Matthews International Corporation Cl.
A.................................... 46,500 1,313,625
Maxwell Shoe Company Inc.*............. 34,000 225,250
Midwest Grain Products, Inc.*.......... 70,400 1,196,800
Mity-Lite, Inc.*....................... 79,500 993,750
National Presto Industries, Inc. ...... 400 14,950
Oshkosh B'Gosh, Inc. Cl. A............. 13,800 210,450
Pentech International, Inc.*........... 220,600 261,963
The Rival Company...................... 33,900 843,263
The Sirena Apparel Group, Inc.*........ 110,000 285,312
The Smithfield Companies, Inc. ........ 43,800 481,800
<CAPTION>
Shares Value
<S> <C> <C>
Steck-Vaughn Publishing Corporation*... 50,500 $ 580,750
Thomaston Mills, Inc. Cl. A............ 107,000 1,203,750
Thor Industries, Inc. ................. 60,800 1,535,200
The Topps Company, Inc.*............... 306,100 1,224,400
Velcro Industries N.V. ................ 29,500 1,843,750
WLR Foods, Inc. ....................... 30,000 371,250
Weyco Group, Inc. ..................... 18,400 740,600
------------
28,835,443
------------
CONSUMER SERVICES - 1.8%
Jenny Craig, Inc.*..................... 42,200 374,525
PCA International, Inc. ............... 63,400 1,030,250
Sagebrush, Inc.*....................... 150,600 1,167,150
------------
2,571,925
------------
FINANCIAL INTERMEDIARIES - 10.0%
ALLIED Life Financial Corporation...... 56,650 991,375
BHI Corporation........................ 29,500 588,156
Desert Community Bank.................. 21,200 315,350
Gryphon Holdings Inc.*................. 48,200 680,825
Highlands Insurance Group, Inc.*....... 57,100 1,156,275
Intercargo Corporation................. 57,900 495,769
MAIC Holdings, Inc.*................... 20,830 705,616
Nobel Insurance Limited................ 51,250 643,828
Oriental Bank and Trust................ 54,000 1,127,250
PXRE Corporation....................... 83,524 2,067,219
Pennsylvania Manufacturers Corporation
Cl.A................................. 90,500 1,425,375
</TABLE>
<PAGE>
<PAGE>
SCHEDULES OF INVESTMENTS
DECEMBER 31, 1996
- --------------------------------------------------------------------------------
ROYCE MICRO-CAP FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
FINANCIAL INTERMEDIARIES - (continued)
Piper Jaffray Companies Inc. .......... 67,500 $ 1,054,687
RLI Corp. ............................. 23,200 774,300
Resurgence Properties Inc.*............ 117,400 983,225
Trenwick Group Inc. ................... 23,800 1,100,750
------------
14,110,000
------------
FINANCIAL SERVICES - 4.9%
E.W. Blanch Holdings, Inc. ............ 65,100 1,310,137
Duff & Phelps Credit Rating Co. ....... 72,500 1,749,063
Eaton Vance Corp. ..................... 15,000 714,375
Hilb, Rogal & Hamilton Company......... 54,600 723,450
Investors Financial Services
Corporation.......................... 16,774 465,479
Phoenix Duff & Phelps Corporation...... 231,000 1,645,875
U.S. Global Investors Inc. Cl. A*...... 137,000 325,375
------------
6,933,754
------------
HEALTH - 1.4%
Hauser, Inc.*.......................... 73,900 434,162
Life Technologies, Inc. ............... 24,000 600,000
Nitinol Medical Technologies*.......... 63,300 791,250
Spacelabs Medical, Inc.*............... 8,000 164,000
------------
1,989,412
------------
INDUSTRIAL PRODUCTS - 18.2%
American Filtrona Corporation.......... 47,100 1,995,863
BHA Group, Inc......................... 69,791 1,125,373
Blessings Corporation.................. 78,100 727,306
Carbo Ceramics, Inc. .................. 23,200 487,200
Chemfab Corporation*................... 56,400 789,600
Culp, Inc. ............................ 18,000 276,750
Curtiss-Wright Corporation............. 21,900 1,103,213
DeVlieg-Bullard, Inc.*................. 365,400 1,016,269
Fab Industries, Inc. .................. 59,700 1,641,750
Hawkins Chemical, Inc. ................ 127,344 907,326
C. H. Heist Corp.*..................... 36,000 279,000
International Aluminum Corporation..... 42,700 1,088,850
Knape & Vogt Manufacturing Company..... 16,900 278,850
Lilly Industries, Inc. Cl. A........... 74,700 1,363,275
Moore Products Co.*.................... 4,100 73,800
Myers Industries, Inc. ................ 58,800 992,250
Oregon Steel Mills, Inc. .............. 49,300 825,775
Oshkosh Truck Corporation Cl. B........ 57,900 615,187
Peerless Mfg. Co. ..................... 31,500 393,750
Penn Engineering and Manufacturing
Inc. ................................ 73,300 1,502,650
Puerto Rican Cement Company, Inc. ..... 40,900 1,278,125
Quaker Chemical Corporation............ 32,450 531,369
Shorewood Packaging Corporation*....... 64,700 1,261,650
Simpson Manufacturing Co., Inc.*....... 50,800 1,168,400
Steel of West Virginia, Inc.*.......... 88,700 665,250
Synalloy Corporation................... 65,100 1,025,325
Versa Technologies, Inc. .............. 13,500 175,500
Woodward Governor Company.............. 13,687 1,806,684
<CAPTION>
Shares Value
<S> <C> <C>
Zero Corporation....................... 17,000 $ 340,000
------------
25,736,340
------------
INDUSTRIAL SERVICES - 15.8%
Aceto Corporation...................... 29,700 413,944
AirNet Systems, Inc.*.................. 99,300 1,464,675
Guy F. Atkinson Company of
California*.......................... 87,700 920,850
Devcon International Corp.*............ 62,400 382,200
Ecology and Environment, Inc. Cl. A.... 20,900 163,281
Ennis Business Forms, Inc. ............ 71,000 798,750
FCA International Ltd.*................ 188,300 295,399
Frozen Food Express Industries, Inc. .. 166,550 1,498,950
The Harper Group....................... 51,300 1,218,375
Insituform Technologies, Inc.*......... 80,900 596,637
Kenan Transport Company................ 20,030 395,592
Lufkin Industries, Inc. ............... 30,500 762,500
Merrill Corporation.................... 30,900 710,700
Morrison Knudsen Corporation*.......... 80,000 720,000
New England Business Service, Inc. .... 74,800 1,608,200
Open Plan Systems, Inc.*............... 87,600 766,500
Perini Corporation*.................... 24,100 188,281
Rush Enterprises, Inc.*................ 127,300 1,527,600
Rykoff-Sexton, Inc. ................... 108,400 1,720,850
Sevenson Environmental Services
Inc. ................................ 149,000 2,719,250
Standard Commercial Corporation*....... 48,778 987,755
TBC Corporation*....................... 77,800 583,500
Vallen Corporation*.................... 53,400 887,775
Willbros Group Inc.*................... 99,000 965,250
------------
22,296,814
------------
NATURAL RESOURCES - 2.6%
Dreco Energy Services Ltd. Cl. A*...... 23,800 871,675
Florida Rock Industries, Inc. ......... 63,400 2,076,350
MK Gold Company*....................... 517,900 776,850
------------
3,724,875
------------
RETAIL - 5.9%
The Bombay Company, Inc.*.............. 55,200 255,300
Carson Pirie Scott Co.*................ 25,000 631,250
Catherines Stores Corporation*......... 185,000 1,017,500
Cato Corporation Cl. A................. 223,100 1,115,500
Chico's FAS, Inc.*..................... 199,600 848,300
Crown Books Corporation*............... 31,000 364,250
Deb Shops Inc. ........................ 133,700 568,225
The Dress Barn, Inc.*.................. 62,800 942,000
Frederick's of Hollywood, Inc. Cl. A... 24,999 103,121
Garden Ridge Corporation*.............. 5,000 43,125
Lechters, Inc.*........................ 212,400 1,075,275
Mikasa, Inc.*.......................... 47,700 488,925
Suzy Shier Ltd. ....................... 140,000 812,112
------------
8,264,883
------------
TECHNOLOGY - 9.1%
BGS Systems, Inc. ..................... 81,200 2,222,850
CEM Corporation*....................... 91,700 733,600
</TABLE>
<PAGE>
<PAGE>
SCHEDULES OF INVESTMENTS
DECEMBER 31, 1996
- --------------------------------------------------------------------------------
ROYCE MICRO-CAP FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
CSP Inc.*.............................. 95,805 $ 790,391
Electroglas, Inc.*..................... 33,100 533,738
Exar Corporation*...................... 41,200 638,600
FRM Nexus Inc.*........................ 266 200
Giga-tronics Incorporated*............. 30,900 258,787
ILC Technology, Inc.*.................. 118,420 1,539,460
Landauer Inc........................... 36,200 886,900
MacNeal-Schwendler Corporation......... 62,100 489,038
Newport Corporation.................... 110,300 978,913
PCD Inc.*.............................. 68,000 884,000
Performance Technologies, Inc.*........ 73,000 704,906
Phoenix Technologies Ltd.*............. 14,500 233,812
Richardson Electronics, Ltd. .......... 120,200 991,650
Technical Communications
Corporation*......................... 57,900 767,175
Woodhead Industries, Inc. ............. 17,900 246,125
------------
12,900,145
------------
UTILITIES - 0.4%
Southern Union Company*................ 25,725 565,950
------------
</TABLE>
<TABLE>
<S> <C>
MISCELLANEOUS - 4.8%............................... $ 6,714,518
------------
Total Common Stocks
(Cost $120,622,141).............................. 134,644,059
------------
REPURCHASE AGREEMENT - 4.9%
State Street Bank and Trust Company, 4.90% dated
12/31/96, due 1/02/97, maturity value
$7,001,906,(collateralized by U.S. Treasury
Notes, 7.25% due 8/15/04, valued at $7,144,875)
(Cost $7,000,000)................................ 7,000,000
------------
TOTAL INVESTMENTS - 100.2% (COST $127,622,141).....
141,644,059
LIABILITIES LESS CASH AND OTHER
ASSETS - (0.2)%.................................. (315,019)
------------
NET ASSETS - 100.0%................................ $141,329,040
------------
------------
</TABLE>
* Non-income producing.
INCOME TAX INFORMATION - The cost of total investments for federal income tax
purposes was $127,684,834. At December 31, 1996, net unrealized appreciation for
all securities was $13,959,225, consisting of aggregate gross unrealized
appreciation of $20,287,968 and aggregate gross unrealized depreciation of
$6,328,743. The Fund designates $4,028,853 as a capital gain dividend for the
purpose of the dividend paid deduction.
STATEMENT OF DIFFERENCES
The dagger symbol shall be expressed as `D'
