T. ROWE PRICE INSTITUTIONAL LONG DURATION CREDIT FUND
August 31, 2020 (Unaudited)
| | | | | |
| Portfolio of Investments‡ | Par/Shares | $ Value | | Par/Shares | $ Value |
| (Amounts in 000s) | | | (Amounts in 000s) | | |
| |
| CORPORATE BONDS 83.9% | | | International Paper | | |
| | | | 4.80%, 6/15/44 | 140 | 170 |
| Banking 14.1% | | | Newmont | | |
| Banco Santander | | | 5.45%, 6/9/44 | 95 | 133 |
| 3.80%, 2/23/28 | 200 | 219 | Nucor | | |
| Bank of America, VR, | | | 4.40%, 5/1/48 | 175 | 220 |
| 4.33%, 3/15/50 (1) | 175 | 223 | Southern Copper | | |
| Citigroup | | | 5.25%, 11/8/42 | 110 | 140 |
| 4.60%, 3/9/26 | 110 | 128 | | | 1,179 |
| Citigroup, VR, | | | | | |
| 3.887%, 1/10/28 (1) | 100 | 114 | | | |
| Credit Suisse Group, VR, | | | Capital Goods 6.1% | | |
| 4.194%, 4/1/31 (1)(2) | 250 | 292 | CRH America Finance | | |
| Goldman Sachs Group | | | 4.50%, 4/4/48 (2) | 350 | 388 |
| 4.75%, 10/21/45 (3) | 175 | 233 | L3Harris Technologies | | |
| HSBC Holdings | | | 4.854%, 4/27/35 | 200 | 262 |
| 4.95%, 3/31/30 | 200 | 246 | Lockheed Martin | | |
| HSBC Holdings | | | 4.50%, 5/15/36 | 200 | 258 |
| 7.625%, 5/17/32 | 65 | 90 | Martin Marietta Materials | | |
| JPMorgan Chase | | | 4.25%, 12/15/47 | 205 | 231 |
| 5.625%, 8/16/43 (3) | 105 | 152 | Masco | | |
| JPMorgan Chase, VR, | | | 4.50%, 5/15/47 | 190 | 207 |
| 3.882%, 7/24/38 (1) | 230 | 275 | Raytheon Technologies | | |
| Lloyds Banking Group | | | 4.45%, 11/16/38 | 95 | 117 |
| 4.344%, 1/9/48 | 200 | 245 | Vulcan Materials | | |
| M&T Bank, Series F, VR, | | | 4.50%, 6/15/47 | 60 | 70 |
| 5.125% (1)(4) | 160 | 167 | | | |
| Morgan Stanley, VR, | | | | | 1,533 |
| 3.971%, 7/22/38 (1) | 140 | 168 | | | |
| PNC Financial Services Group, | | | Communications 11.2% | | |
| Series S, VR, | | | | | |
| 5.00% (1)(3)(4) | 185 | 197 | AT&T | | |
| | | | 4.50%, 3/9/48 | 310 | 364 |
| Toronto-Dominion Bank, VR, | | | | | |
| 3.625%, 9/15/31 (1) | 145 | 164 | AT&T | | |
| | | | 4.85%, 3/1/39 | 155 | 187 |
| UniCredit | | | Charter Communications Operating | | |
| 4.625%, 4/12/27 (2) | 200 | 225 | 5.75%, 4/1/48 | 225 | 280 |
| Wells Fargo Bank | | | �� | | |
| 6.60%, 1/15/38 | 250 | 370 | Comcast | | |
| | | | 3.90%, 3/1/38 | 295 | 353 |
| | | 3,508 | Comcast | | |
| | | | 4.60%, 10/15/38 | 160 | 204 |
| | | | Crown Castle International | | |
| Basic Industry 4.7% | | | 4.75%, 5/15/47 | 85 | 107 |
| Dow Chemical | | | Fox | | |
| 4.80%, 5/15/49 (3) | 90 | 107 | 5.476%, 1/25/39 | 70 | 93 |
| Ecolab | | | RELX Capital | | |
| 3.70%, 11/1/46 | 30 | 35 | 3.00%, 5/22/30 | 50 | 55 |
| Gerdau Trade | | | Rogers Communications | | |
| 4.875%, 10/24/27 (2) | 200 | 219 | 3.70%, 11/15/49 (3) | 125 | 142 |
| International Paper | | | Rogers Communications | | |
| 4.35%, 8/15/48 | 130 | 155 | 4.35%, 5/1/49 | 75 | 94 |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE INSTITUTIONAL LONG DURATION CREDIT FUND
| | | | | |
| | Par/Shares | $ Value | | Par/Shares | $ Value |
| (Amounts in 000s) | | | (Amounts in 000s) | | |
| |
| Verizon Communications | | | CVS Health | | |
| 4.522%, 9/15/48 | 110 | 144 | 4.125%, 4/1/40 | 60 | 70 |
| Verizon Communications | | | CVS Health | | |
| 5.25%, 3/16/37 | 315 | 427 | 5.05%, 3/25/48 | 245 | 318 |
| Videotron | | | Hackensack Meridian Health | | |
| 5.125%, 4/15/27 (2) | 70 | 74 | 4.211%, 7/1/48 | 190 | 234 |
| Vodafone Group | | | Kraft Heinz Foods | | |
| 4.875%, 6/19/49 | 120 | 149 | 5.00%, 7/15/35 | 120 | 139 |
| Vodafone Group | | | Tyson Foods | | |
| 5.00%, 5/30/38 | 95 | 118 | 5.10%, 9/28/48 | 95 | 130 |
| | | 2,791 | West Virginia United Health System | | |
| | | | Obligated Group, Series 2018 | | |
| | | | 4.924%, 6/1/48 | 95 | 119 |
| Consumer Cyclical 2.1% | | | | | 3,086 |
| AutoZone | | | | | |
| 4.00%, 4/15/30 | 60 | 72 | | | |
| Lennar | | | Electric 8.2% | | |
| 4.75%, 11/29/27 (3) | 255 | 291 | American Transmission Systems | | |
| McDonald's | | | 5.00%, 9/1/44 (2) | 100 | 126 |
| 4.20%, 4/1/50 | 20 | 24 | Appalachian Power | | |
| TJX | | | 4.40%, 5/15/44 | 120 | 145 |
| 3.875%, 4/15/30 | 120 | 142 | Appalachian Power | | |
| | | | 6.375%, 4/1/36 | 165 | 218 |
| | | 529 | Berkshire Hathaway Energy | | |
| | | | 6.125%, 4/1/36 | 160 | 229 |
| Consumer Non-Cyclical 12.4% | | | Dominion Energy, Series F | | |
| AbbVie | | | 5.25%, 8/1/33 | 95 | 121 |
| 4.25%, 11/21/49 (2) | 135 | 164 | Duke Energy | | |
| Altria Group | | | 3.75%, 9/1/46 | 130 | 149 |
| 5.80%, 2/14/39 (3) | 160 | 204 | El Paso Electric | | |
| Anheuser-Busch InBev Worldwide | | | 5.00%, 12/1/44 | 110 | 133 |
| 4.90%, 2/1/46 | 200 | 246 | Kentucky Utilities | | |
| Anheuser-Busch InBev Worldwide | | | 4.375%, 10/1/45 | 100 | 124 |
| 5.45%, 1/23/39 | 165 | 210 | Louisville Gas & Electric | | |
| Becton Dickinson & Company | | | 4.375%, 10/1/45 | 100 | 125 |
| 4.669%, 6/6/47 | 110 | 136 | Pennsylvania Electric | | |
| Biogen | | | 6.15%, 10/1/38 | 185 | 229 |
| 3.15%, 5/1/50 | 150 | 152 | San Diego Gas & Electric | | |
| Bristol-Myers Squibb | | | 4.10%, 6/15/49 | 55 | 67 |
| 5.25%, 8/15/43 | 85 | 121 | Southern | | |
| Centra Health | | | 4.25%, 7/1/36 | 230 | 262 |
| 4.70%, 1/1/48 | 190 | 219 | Vistra Operations | | |
| Cigna | | | 4.30%, 7/15/29 (2) | 105 | 114 |
| 3.875%, 10/15/47 | 200 | 223 | | | 2,042 |
| Cigna | | | | | |
| 4.80%, 8/15/38 | 145 | 181 | | | |
| Cigna | | | Energy 9.9% | | |
| 4.80%, 7/15/46 | 115 | 151 | Boardwalk Pipelines | | |
| CommonSpirit Health | | | 4.45%, 7/15/27 | 165 | 179 |
| 4.187%, 10/1/49 | 65 | 69 | Boardwalk Pipelines | | |
| | | | 4.95%, 12/15/24 | 40 | 43 |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE INSTITUTIONAL LONG DURATION CREDIT FUND
| | | | | |
| | Par/Shares | $ Value | | Par/Shares | $ Value |
| (Amounts in 000s) | | | (Amounts in 000s) | | |
| |
| Cimarex Energy | | | Insurance 6.1% | | |
| 3.90%, 5/15/27 (3) | 65 | 67 | | | |
| Concho Resources | | | Anthem | | |
| 3.75%, 10/1/27 | 55 | 60 | 4.375%, 12/1/47 | 255 | 319 |
| Diamondback Energy | | | CNO Financial Group | | |
| 4.75%, 5/31/25 (3) | 100 | 110 | 5.25%, 5/30/25 | 140 | 159 |
| Enbridge Energy Partners | | | Fidelity National Financial | | |
| 7.375%, 10/15/45 | 50 | 74 | 4.50%, 8/15/28 | 100 | 114 |
| Energy Transfer Operating | | | First American Financial | | |
| 6.50%, 2/1/42 | 95 | 102 | 4.60%, 11/15/24 | 105 | 115 |
| Eni, Series X-R | | | Liberty Mutual Group | | |
| 4.75%, 9/12/28 (2) | 200 | 231 | 4.85%, 8/1/44 (2) | 200 | 238 |
| Kinder Morgan Energy Partners | | | Principal Financial Group | | |
| 6.95%, 1/15/38 | 95 | 127 | 6.05%, 10/15/36 | 125 | 172 |
| NGPL PipeCo | | | Teachers Insurance & Annuity Assn. | | |
| 4.875%, 8/15/27 (2) | 90 | 99 | of America | | |
| Plains All American Pipeline | | | 4.90%, 9/15/44 (2) | 110 | 139 |
| 4.50%, 12/15/26 | 30 | 32 | UnitedHealth Group | | |
| Sabine Pass Liquefaction | | | 3.125%, 5/15/60 (3) | 100 | 109 |
| 4.20%, 3/15/28 | 175 | 192 | UnitedHealth Group | | |
| Sabine Pass Liquefaction | | | 6.875%, 2/15/38 | 95 | 153 |
| 5.00%, 3/15/27 | 65 | 74 | | | 1,518 |
| Southern Natural Gas | | | | | |
| 4.80%, 3/15/47 (2) | 225 | 253 | | | |
| Spectra Energy Partners | | | Natural Gas 1.2% | | |
| 5.95%, 9/25/43 | 45 | 59 | APT Pipelines | | |
| Suncor Energy | | | 4.25%, 7/15/27 (2) | 65 | 73 |
| 4.00%, 11/15/47 | 170 | 182 | NiSource | | |
| Transcanada Trust, VR, | | | 3.95%, 3/30/48 | 140 | 165 |
| 5.30%, 3/15/77 (1)(3) | 120 | 121 | Sempra Energy | | |
| Transcontinental Gas Pipe Line | | | 4.00%, 2/1/48 | 50 | 57 |
| 4.60%, 3/15/48 | 145 | 171 | | | 295 |
| Williams | | | | | |
| 4.85%, 3/1/48 | 30 | 35 | | | |
| Woodside Finance | | | Real Estate Investment Trusts 3.3% | | |
| 3.70%, 9/15/26 (2) | 64 | 69 | Alexandria Real Estate Equities | | |
| Woodside Finance | | | 4.90%, 12/15/30 | 70 | 89 |
| 3.70%, 3/15/28 (2) | 170 | 181 | Essex Portfolio | | |
| | | 2,461 | 4.50%, 3/15/48 | 130 | 166 |
| | | | Life Storage | | |
| | | | 4.00%, 6/15/29 | 80 | 90 |
| Finance Companies 2.4% | | | National Retail Properties | | |
| Air Lease | | | 4.80%, 10/15/48 | 125 | 143 |
| 3.625%, 12/1/27 | 190 | 189 | VEREIT Operating Partnership | | |
| GE Capital International Funding | | | 3.95%, 8/15/27 | 191 | 204 |
| 3.373%, 11/15/25 | 200 | 212 | WP Carey | | |
| GE Capital International Funding | | | 3.85%, 7/15/29 | 115 | 123 |
| 4.418%, 11/15/35 | 200 | 206 | | | 815 |
| | | 607 | | | |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE INSTITUTIONAL LONG DURATION CREDIT FUND
| | | | | |
| | Par/Shares | $ Value | | Par/Shares | $ Value |
| (Amounts in 000s) | | | (Amounts in 000s) | | |
| |
| Technology 1.4% | | | District of Columbia 0.4% | | |
| Broadcom | | | Dist. of Columbia Water & Sewer | | |
| 3.875%, 1/15/27 | 75 | 83 | Auth. , Series D, 3.207%, 10/1/48 | 95 | 99 |
| Fiserv | | | | | 99 |
| 4.40%, 7/1/49 | 85 | 107 | | | |
| Micron Technology | | | | | |
| 4.663%, 2/15/30 | 130 | 151 | Florida 1.7% | | |
| | | 341 | Florida Dev. Finance, Nova | | |
| | | | Southeastern Univ. , Series B, | | |
| | | | 4.109%, 4/1/50 | 125 | 128 |
| Transportation 0.8% | | | Miami-Dade County Transit System, | | |
| Burlington Northern Santa Fe | | | Build America, Series B, 5.624%, | | |
| 5.05%, 3/1/41 | 75 | 102 | 7/1/40 | 200 | 279 |
| CSX | | | Miami-Dade County Water & Sewer | | |
| 4.30%, 3/1/48 | 70 | 88 | System, Series C, 3.49%, 10/1/42 | 25 | 27 |
| | | 190 | | | 434 |
| |
| |
| Total Corporate Bonds | | | Georgia 1.2% | | |
| (Cost $17,809) | | 20,895 | Municipal Electric Auth. of Georgia, | | |
| | | | Build America, Vogtle Units, 6.655%, | | |
| FOREIGN GOVERNMENT OBLIGATIONS & | | 4/1/57 | 197 | 290 |
| MUNICIPALITIES 1.6% | | | | | 290 |
| |
| Owned No Guarantee 0.6% | | | | | |
| Petroleos Mexicanos | | | Illinois 0.4% | | |
| 5.50%, 6/27/44 | 175 | 137 | Illinois Municipal Electric Agency, | | |
| | | | Build America, 6.832%, 2/1/35 | 75 | 105 |
| | | 137 | | | |
| | | | | | 105 |
| |
| Sovereign 1.0% | | | | | |
| State of Qatar | | | Maryland 0.6% | | |
| 4.40%, 4/16/50 (2) | 200 | 260 | Maryland Economic Dev. , Seagirt | | |
| | | | Marine Terminal, Series B, 4.75%, | | |
| | | 260 | 6/1/42 | 150 | 161 |
| | | | | | 161 |
| Total Foreign Government Obligations & | | | | |
| Municipalities | | | | | |
| (Cost $348) | | 397 | Massachusetts 0.7% | | |
| | | | Massachusetts Bay Transportation | | |
| MUNICIPAL SECURITIES 11.0% | | | Auth. , Build America, 5.869%, | | |
| | | | 7/1/40 | 115 | 161 |
| California 1.6% | | | | | 161 |
| Bay Area Toll Auth. , Build America, | | | | | |
| Series S3, 6.907%, 10/1/50 | 125 | 229 | | | |
| Regents of the Univ. of California | | | | | |
| Medical Center, Build America, | | | | | |
| Series F, 6.583%, 5/15/49 | 100 | 160 | | | |
| | | 389 | | | |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE INSTITUTIONAL LONG DURATION CREDIT FUND
| | | | | | |
| | Par/Shares | $ Value | Par/Shares | $ Value | |
| (Amounts in 000s) | | | (Amounts in 000s) | | | |
| |
| Michigan 1.7% | | | U. S. GOVERNMENT AGENCY OBLIGATIONS (EXCLUDING | |
| Detroit City School Dist. , Qualified | | | MORTGAGE-BACKED) 0.3% | | | |
| School Construction Bonds, GO, | | | | | | |
| 6.645%, 5/1/29 | 300 | 414 | U. S. Treasury Obligations 0.3% | | | |
| | | | U. S. Treasury Bonds | | | |
| | | 414 | 2.00%, 2/15/50 (3) | 70 | 79 | |
| | | | Total U. S. Government Agency Obligations | | | |
| Minnesota 0.7% | | | (Excluding Mortgage-Backed) | | | |
| Western Minnesota Municipal Power | | | (Cost $80) | | 79 | |
| Agency, Series A, 3.156%, 1/1/39 | 150 | 169 | | | | |
| | | 169 | SHORT-TERM INVESTMENTS 0.5% | | | |
| |
| | | | Money Market Funds 0.5% | | | |
| Texas 1.5% | | | T. Rowe Price Government Reserve | | | |
| Central Texas Turnpike System, | | | Fund, 0.11% (5)(6) | 131 | 131 | |
| Series C, 3.029%, 8/15/41 | 105 | 105 | Total Short-Term Investments | | | |
| Dallas/Fort Worth International | | | (Cost $131) | | 131 | |
| Airport, Series A, 2.994%, 11/1/38 | 80 | 83 | | | | |
| Grand Parkway Transportation, | | | | | | |
| Series B, 3.236%, 10/1/52 | 50 | 53 | SECURITIES LENDING COLLATERAL 4.5% | | |
| Texas Private Activity Bond Surface | | | | | | |
| Transportation, Series B, 3.922%, | | | Investments in a Pooled Account through Securities Lending | |
| 12/31/49 | 125 | 141 | Program with State Street Bank and Trust Company 4.5% | | |
| | | | T. Rowe Price Short-Term Fund | | | |
| | | 382 | 0.17% (5)(6) | 112 | 1,124 | |
| | | | Total Investments in a Pooled Account through | | |
| Virginia 0.5% | | | Securities Lending Program with State Street | | | |
| Virginia Commonwealth Univ. Health | | | Bank and Trust Company | | 1,124 | |
| System Auth. , Series A, 4.956%, | | | Total Securities Lending Collateral | | | |
| 1/1/44 | 105 | 136 | (Cost $1,124) | | 1,124 | |
| | | 136 | | | | |
| |
| | | | Total Investments in Securities 101.8% | | | |
| Total Municipal Securities | | | (Cost $21,888) | $ | 25,366 | |
| (Cost $2,396) | | 2,740 | | | | |
| | | | Other Assets Less Liabilities (1.8)% | | (442 | ) |
| | | | Net Assets 100% | $ | 24,924 | |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE INSTITUTIONAL LONG DURATION CREDIT FUND
| | |
| ‡ | Par/Shares and Notional Amount are denominated in U. S. dollars unless otherwise noted. |
| (1) | Security is a fix-to-float security, which carries a fixed coupon until a certain date, upon which it switches to a floating rate. |
| | Reference rate and spread is provided if the rate is currently floating. |
| (2) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt |
| | from registration only to qualified institutional buyers. Total value of such securities at period-end amounts to $3,145 and |
| | represents 12.6% of net assets. |
| (3) | All or a portion of this security is on loan at August 31, 2020. |
| (4) | Perpetual security with no stated maturity date. |
| (5) | Seven-day yield |
| (6) | Affiliated Companies |
| GO | General Obligation |
| VR | Variable Rate; rate shown is effective rate at period-end. The rates for certain variable rate securities are not based on a |
| | published reference rate and spread but are determined by the issuer or agent and based on current market conditions. |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE INSTITUTIONAL LONG DURATION CREDIT FUND
| | | | | | |
| (Amounts In 000s) | | | | | |
| SWAPS 0.7% | | | | | |
| | Notional | | Initial | | Unrealized |
| Description | Amount | $ Value | $ Value | | $ Gain/(Loss) |
| CENTRALLY CLEARED SWAPS 0.7% | | | | | |
| Credit Default Swaps, Protection Sold 0.7% | | | | | |
| Protection Sold (Relevant Credit: Markit CDX. NA. HY-S34, 5 Year Index), | | | | | |
| Receive 5.00% Quarterly, Pay upon credit default, 6/20/25 | 1,395 | 95 | (57 | ) | 152 |
| Protection Sold (Relevant Credit: Markit CDX. NA. IG-S34, 5 Year Index), | | | | | |
| Receive 1.00% Quarterly, Pay upon credit default, 6/20/25 | 3,900 | 72 | 19 | | 53 |
| Total Centrally Cleared Credit Default Swaps, Protection Sold | | | | | 205 |
| Total Centrally Cleared Swaps | | | | | 205 |
| |
| Net payments (receipts) of variation margin to date | | | | | (199) |
| Variation margin receivable (payable) on centrally cleared swaps | | | $ | 6 |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE INSTITUTIONAL LONG DURATION CREDIT FUND
| | | | | | | | |
| | FUTURES CONTRACTS | | | | | |
| ($000s) | | | | |
| | | | | | Value and |
| | | | Expiration | Notional | Unrealized Gain |
| | | | Date | Amount | (Loss) |
| | Long, 5 U.S. Treasury Long Bond contracts | | 12/20 | 879 | $ | (10) |
| | Short, 20 U. S. Treasury Notes ten year contracts | | 12/20 | (2,785) | | 4 |
| | Long, 17 Ultra U. S. Treasury Bonds contracts | | 12/20 | 3,755 | | (43) |
| | Net payments (receipts) of variation margin to date | | | | | 95 |
| | Variation margin receivable (payable) on open futures contracts | | | | $ | 46 |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE INSTITUTIONAL LONG DURATION CREDIT FUND
Affiliated Companies
($000s)
The fund may invest in certain securities that are considered affiliated companies. As defined by the 1940 Act, an affiliated company is one in
which the fund owns 5% or more of the outstanding voting securities, or a company that is under common ownership or control. The following
securities were considered affiliated companies for all or some portion of the three months ended August 31, 2020. Net realized gain (loss),
investment income, change in net unrealized gain/loss, and purchase and sales cost reflect all activity for the period then ended.
| | | | | | | | | |
| | | | | | Change in Net | | | |
| | | Net Realized Gain | | Unrealized | | Investment | |
| Affiliate | | | (Loss) | | Gain/Loss | | Income | |
| T. Rowe Price Government Reserve Fund | | $ | — | $ | — | $ | — | |
| T. Rowe Price Short-Term Fund | | | — | | — | | —++ | |
| Totals | | $ | —# | $ | — | $ | —+ | |
| |
| Supplementary Investment Schedule | | | | | | | | |
| | | | Value | Purchase | Sales | | Value | |
| Affiliate | | 5/31/20 | Cost | Cost | | 8/31/20 | |
| T. Rowe Price Government Reserve Fund | $ | 203 | | ¤ | ¤ | $ | 131 | |
| T. Rowe Price Short-Term Fund | | 938 | | ¤ | ¤ | | 1,124 | |
| Total | | | | | $ | 1,255 | ^ |
| # | Capital gain distributions from mutual funds represented $0 of the net realized gain (loss) . | | | | | | |
| ++ Excludes earnings on securities lending collateral, which are subject to rebates and fees. | | | | | | |
| + | Investment income comprised $0 of dividend income and $0 of interest income. | | | | | | | |
| ¤ | Purchase and sale information not shown for cash management funds. | | | | | | | | |
| ^ | The cost basis of investments in affiliated companies was $1,255. | | | | | | | | |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE INSTITUTIONAL LONG DURATION CREDIT FUND
Unaudited
NOTES TO PORTFOLIO OF
INVESTMENTS
T. Rowe Price Institutional Long Duration Credit Fund (the fund) is registered under the Investment Company Act of
1940 (the 1940 Act) as an open-end management investment company and follows accounting and reporting guidance of
the Financial Accounting Standards Board Accounting Standards Codification Topic 946. The accompanying Portfolio of
Investments was prepared in accordance with accounting principles generally accepted in the United States of America
(GAAP). For additional information on the fund’s significant accounting policies and investment related disclosures,
please refer to the fund’s most recent semiannual or annual shareholder report and its prospectus.
VALUATION
The fund’s financial instruments are valued at the close of the New York Stock Exchange (NYSE), normally 4 p.m. ET,
each day the NYSE is open for business.
Fair Value
The fund’s financial instruments are reported at fair value, which GAAP defines as the price that would be received to
sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement
date. The T. Rowe Price Valuation Committee (the Valuation Committee) is an internal committee that has been
delegated certain responsibilities by the fund’s Board of Directors (the Board) to ensure that financial instruments are
appropriately priced at fair value in accordance with GAAP and the 1940 Act. Subject to oversight by the Board, the
Valuation Committee develops and oversees pricing-related policies and procedures and approves all fair value
determinations. Specifically, the Valuation Committee establishes procedures to value securities; determines pricing
techniques, sources, and persons eligible to effect fair value pricing actions; oversees the selection, services, and
performance of pricing vendors; oversees valuation-related business continuity practices; and provides guidance on
internal controls and valuation-related matters. The Valuation Committee reports to the Board and has representation
from legal, portfolio management and trading, operations, risk management, and the fund’s treasurer.
Various valuation techniques and inputs are used to determine the fair value of financial instruments. GAAP
establishes the following fair value hierarchy that categorizes the inputs used to measure fair value:
Level 1 - quoted prices (unadjusted) in active markets for identical financial instruments that the fund can access at
the reporting date
Level 2 - inputs other than Level 1 quoted prices that are observable, either directly or indirectly (including, but not
limited to, quoted prices for similar financial instruments in active markets, quoted prices for identical or
similar financial instruments in inactive markets, interest rates and yield curves, implied volatilities, and
credit spreads)
Level 3 - unobservable inputs
Observable inputs are developed using market data, such as publicly available information about actual events or
transactions, and reflect the assumptions that market participants would use to price the financial instrument.
Unobservable inputs are those for which market data are not available and are developed using the best information
available about the assumptions that market participants would use to price the financial instrument. GAAP requires
valuation techniques to maximize the use of relevant observable inputs and minimize the use of unobservable inputs.
When multiple inputs are used to derive fair value, the financial instrument is assigned to the level within the fair value
hierarchy based on the lowest-level input that is significant to the fair value of the financial instrument. Input levels are
not necessarily an indication of the risk or liquidity associated with financial instruments at that level but rather the
degree of judgment used in determining those values.
T. ROWE PRICE INSTITUTIONAL LONG DURATION CREDIT FUND
Valuation Techniques
Debt securities generally are traded in the over-the-counter (OTC) market and are valued at prices furnished by
independent pricing services or by broker dealers who make markets in such securities. When valuing securities, the
independent pricing services consider the yield or price of bonds of comparable quality, coupon, maturity, and type, as
well as prices quoted by dealers who make markets in such securities. Generally, debt securities are categorized in Level
2 of the fair value hierarchy; however, to the extent the valuations include significant unobservable inputs, the securities
would be categorized in Level 3.
Investments in mutual funds are valued at the mutual fund’s closing NAV per share on the day of valuation and are
categorized in Level 1 of the fair value hierarchy. Financial futures contracts are valued at closing settlement prices and
are categorized in Level 1 of the fair value hierarchy. Swaps are valued at prices furnished by an independent pricing
service or independent swap dealers and generally are categorized in Level 2 of the fair value hierarchy; however, if
unobservable inputs are significant to the valuation, the swap would be categorized in Level 3.
Thinly traded financial instruments and those for which the above valuation procedures are inappropriate or are
deemed not to reflect fair value are stated at fair value as determined in good faith by the Valuation Committee. The
objective of any fair value pricing determination is to arrive at a price that could reasonably be expected from a current
sale. Financial instruments fair valued by the Valuation Committee are primarily private placements, restricted
securities, warrants, rights, and other securities that are not publicly traded.
Subject to oversight by the Board, the Valuation Committee regularly makes good faith judgments to establish and
adjust the fair valuations of certain securities as events occur and circumstances warrant. For instance, in determining
the fair value of troubled or thinly traded debt instruments, the Valuation Committee considers a variety of factors,
which may include, but are not limited to, the issuer’s business prospects, its financial standing and performance, recent
investment transactions in the issuer, strategic events affecting the company, market liquidity for the issuer, and general
economic conditions and events. In consultation with the investment and pricing teams, the Valuation Committee will
determine an appropriate valuation technique based on available information, which may include both observable and
unobservable inputs. The Valuation Committee typically will afford greatest weight to actual prices in arm’s length
transactions, to the extent they represent orderly transactions between market participants, transaction information can
be reliably obtained, and prices are deemed representative of fair value. However, the Valuation Committee may also
consider other valuation methods such as a discount or premium from market value of a similar, freely traded security
of the same issuer; discounted cash flows; yield to maturity; or some combination. Fair value determinations are
reviewed on a regular basis and updated as information becomes available, including actual purchase and sale
transactions of the issue. Because any fair value determination involves a significant amount of judgment, there is a
degree of subjectivity inherent in such pricing decisions, and fair value prices determined by the Valuation Committee
could differ from those of other market participants. Depending on the relative significance of unobservable inputs,
including the valuation technique(s) used, fair valued securities may be categorized in Level 2 or 3 of the fair value
hierarchy.
Valuation Inputs
The following table summarizes the fund’s financial instruments, based on the inputs used to determine their fair values
on August 31, 2020 (for further detail by category, please refer to the accompanying Portfolio of Investments):
| | | | | | | |
| ($000s) | | Level 1 | Level 2 | Level 3 | Total Value |
| Assets | | | | | |
| Fixed Income Securities1 | $ | — | $ 24,111 | $ — | $ 24,111 |
| Short-Term Investments | | 131 | — | — | 131 |
| Securities Lending Collateral | | 1,124 | — | — | 1,124 |
| Total Securities | | 1,255 | 24,111 | — | 25,366 |
| Swaps | | — | 6 | — | 6 |
| Futures Contracts | | 46 | — | — | 46 |
| Total | $ | 1,301 | $ 24,117 | $ — | $ 25,418 |
| |
| 1 Includes Corporate Bonds, Foreign Government Obligations & Municipalities, Municipal Securities, U. S. Government Agency |
| Obligations (Excluding Mortgage-Backed). | | | | | |
