T.
ROWE
PRICE
Inflation
Protected
Bond
Fund
August
31,
2022
(Unaudited)
1
Portfolio
of
Investments
‡
Par/Shares
$
Value
(Amounts
in
000s)
‡
ASSET-BACKED
SECURITIES
0.8%
Car
Loan
0.2%
AmeriCredit
Automobile
Receivables
Trust
Series
2020-3,
Class
C
1.06%,
8/18/26
330
313
Santander
Drive
Auto
Receivables
Trust
Series
2020-4,
Class
C
1.01%,
1/15/26
545
538
Santander
Retail
Auto
Lease
Trust
Series
2022-A,
Class
B
1.61%,
1/20/26 (1)
470
439
1,290
Other
Asset-Backed
Securities
0.5%
Elara
HGV
Timeshare
Issuer
Series
2016-A,
Class
A
2.73%,
4/25/28 (1)
32
1
316
HPEFS
Equipment
Trust
Series
2021-2A,
Class
C
0.88%,
9/20/28 (1)
700
661
Madison
Park
Funding
XXXVII
Series
2019-37A,
Class
AR,
CLO,
FRN
3M
USD
LIBOR
+
1.07%,
3.582%,
7/15/33 (1)
480
471
Magnetite
XXV
Series
2020-25A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.20%,
3.983%,
1/25/32 (1)
570
562
MVW
Owner
Trust
Series
2018-1A,
Class
A
3.45%,
1/21/36 (1)
171
167
OZLM
VIII
Series
2014-8A,
Class
A1R3,
CLO,
FRN
3M
USD
LIBOR
+
0.98%,
3.72%,
10/17/29 (1)
1,890
1,872
4,049
Student
Loan
0.1%
Nelnet
Student
Loan
Trust
Series
2021-CA,
Class
AFX
1.32%,
4/20/62 (1)
1,247
1,121
1,121
Total
Asset-Backed
Securities
(Cost
$6,728)
6,460
CORPORATE
BONDS
1.5%
FINANCIAL
INSTITUTIONS
0.3%
Banking
0.2%
Credit
Suisse,
4.75%,
8/9/24
1,985
1,977
1,977
T.
ROWE
PRICE
Inflation
Protected
Bond
Fund
1
T.
ROWE
PRICE
Inflation
Protected
Bond
Fund
2
Par/Shares
$
Value
(Amounts
in
000s)
Insurance
0.1%
MassMutual
Global
Funding
II,
4.15%,
8/26/25 (1)
550
549
549
Total
Financial
Institutions
2,526
INDUSTRIAL
0.8%
Communications
0.3%
Charter
Communications
Operating,
4.908%,
7/23/25
385
384
Sprint,
7.125%,
6/15/24
1,735
1,792
2,176
Consumer
Cyclical
0.0%
Nissan
Motor
Acceptance,
1.125%,
9/16/24 (1)
475
439
439
Consumer
Non-Cyclical
0.4%
HCA,
5.375%,
2/1/25
1,985
2,005
Viatris,
1.65%,
6/22/25
920
838
2,843
Energy
0.1%
Energy
Transfer,
2.90%,
5/15/25
1,040
985
985
Total
Industrial
6,443
UTILITY
0.4%
Electric
0.4%
Edison
International,
4.70%,
8/15/25
1,925
1,905
NextEra
Energy
Capital
Holdings,
4.255%,
9/1/24
1,280
1,279
Total
Utility
3,184
Total
Corporate
Bonds
(Cost
$12,215)
12,153
FOREIGN
GOVERNMENT
OBLIGATIONS
&
MUNICIPALITIES
0.0%
Owned
No
Guarantee
0.0%
DAE
Funding,
1.55%,
8/1/24 (1)
315
295
Total
Foreign
Government
Obligations
&
Municipalities
(Cost
$314)
295
MUNICIPAL
SECURITIES
0.3%
California
0.0%
California
State
Univ.,
Series B,
0.563%,
11/1/24
260
242
242
Colorado
0.0%
Denver
City
&
County
Airport
System,
Series C,
0.877%,
11/15/23
55
53
Denver
City
&
County
Airport
System,
Series C,
1.115%,
11/15/24
80
76
129
T.
ROWE
PRICE
Inflation
Protected
Bond
Fund
3
Par/Shares
$
Value
(Amounts
in
000s)
Georgia
0.0%
Atlanta
Water
&
Wastewater,
0.271%,
11/1/22
45
45
Atlanta
Water
&
Wastewater,
0.407%,
11/1/23
45
43
Atlanta
Water
&
Wastewater,
0.616%,
11/1/24
45
42
130
Illinois
0.2%
Illinois,
Series A,
GO,
2.84%,
10/1/23
1,350
1,329
1,329
Michigan
0.1%
Michigan
Fin.
Auth.,
Series A-1,
1.086%,
6/1/23
100
98
Michigan
Fin.
Auth.,
Series A-1,
1.376%,
6/1/24
225
212
310
New
York
0.0%
New
York
Transportation
Dev.,
Terminal
4
JFK
Int'l.
Airport,
Series B,
1.61%,
12/1/22
50
50
50
Texas
0.0%
Dallas
Area
Rapid
Transit,
0.397%,
12/1/22
45
45
Dallas
Area
Rapid
Transit,
0.541%,
12/1/23
30
29
Dallas
Area
Rapid
Transit,
0.761%,
12/1/24
25
23
97
West
Virginia
0.0%
Tobacco
Settlement
Fin.
Auth.,
Class
1
Senior
Bonds,
Series A,
1.193%,
6/1/23
135
132
Tobacco
Settlement
Fin.
Auth.,
Class
1
Senior
Bonds,
Series A,
1.497%,
6/1/24
180
172
304
Total
Municipal
Securities
(Cost
$2,670)
2,591
NON-U.S.
GOVERNMENT
MORTGAGE-BACKED
SECURITIES
2.1%
Collateralized
Mortgage
Obligations
1.9%
Angel
Oak
Mortgage
Trust
I
Series
2019-2,
Class
A1,
CMO,
ARM
3.628%,
3/25/49 (1)
5
5
COLT
Mortgage
Loan
Trust
Series
2021-6,
Class
A1,
CMO,
ARM
1.907%,
12/25/66 (1)
1,465
1,315
Connecticut
Avenue
Securities
Series
2017-C05,
Class
1ED3,
CMO,
ARM
1M
USD
LIBOR
+
1.20%,
3.644%,
1/25/30
23
23
Connecticut
Avenue
Securities
Series
2018-C03,
Class
1EB2,
CMO,
ARM
1M
USD
LIBOR
+
0.85%,
3.294%,
10/25/30
458
456
T.
ROWE
PRICE
Inflation
Protected
Bond
Fund
4
Par/Shares
$
Value
(Amounts
in
000s)
Connecticut
Avenue
Securities
Series
2018-C03,
Class
1ED2,
CMO,
ARM
1M
USD
LIBOR
+
0.85%,
3.294%,
10/25/30
27
27
Connecticut
Avenue
Securities
Trust
Series
2022-R01,
Class
1M1,
CMO,
ARM
SOFR30A
+
1.00%,
3.183%,
12/25/41 (1)
895
884
Connecticut
Avenue
Securities
Trust
Series
2022-R02,
Class
2M1,
CMO,
ARM
SOFR30A
+
1.20%,
3.383%,
1/25/42 (1)
600
596
Flagstar
Mortgage
Trust
Series
2021-5INV,
Class
A5,
CMO,
ARM
2.50%,
7/25/51 (1)
737
671
FWD
Securitization
Trust
Series
2020-INV1,
Class
A3,
CMO,
ARM
2.44%,
1/25/50 (1)
96
91
Galton
Funding
Mortgage
Trust
Series
2018-2,
Class
A31,
CMO,
ARM
4.50%,
10/25/58 (1)
37
36
Galton
Funding
Mortgage
Trust
Series
2020-H1,
Class
A3,
CMO,
ARM
2.617%,
1/25/60 (1)
237
226
GS
Mortgage-Backed
Securities
Trust
Series
2014-EB1A,
Class
2A1,
CMO,
ARM
1.945%,
7/25/44 (1)
6
6
GS
Mortgage-Backed
Securities
Trust
Series
2021-PJ6,
Class
A8,
CMO,
ARM
2.50%,
11/25/51 (1)
1,273
1,141
GS
Mortgage-Backed
Securities
Trust
Series
2022-GR1,
Class
A5,
CMO,
ARM
2.50%,
6/25/52 (1)
1,882
1,695
MetLife
Securitization
Trust
Series
2018-1A,
Class
A,
CMO,
ARM
3.75%,
3/25/57 (1)
538
518
New
Residential
Mortgage
Loan
Trust
Series
2019-NQM5,
Class
A3,
CMO,
ARM
3.065%,
11/25/59 (1)
84
79
NYMT
Loan
Trust
Series
2022-CP1,
Class
A1,
CMO
2.042%,
7/25/61 (1)
831
777
OBX
Trust
Series
2019-EXP1,
Class
1A3,
CMO,
ARM
4.00%,
1/25/59 (1)
118
112
OBX
Trust
Series
2020-EXP1,
Class
1A9,
CMO,
ARM
3.50%,
2/25/60 (1)
101
94
OBX
Trust
Series
2020-EXP1,
Class
2A1,
CMO,
ARM
1M
USD
LIBOR
+
0.75%,
3.194%,
2/25/60 (1)
32
31
T.
ROWE
PRICE
Inflation
Protected
Bond
Fund
5
Par/Shares
$
Value
(Amounts
in
000s)
OBX
Trust
Series
2020-INV1,
Class
A21,
CMO,
ARM
3.50%,
12/25/49 (1)
49
47
Oceanview
Mortgage
Trust
Series
2022-1,
Class
A5,
CMO,
ARM
2.50%,
12/25/51 (1)
910
820
Sequoia
Mortgage
Trust
Series
2018-CH2,
Class
A3,
CMO,
ARM
4.00%,
6/25/48 (1)
30
29
Sequoia
Mortgage
Trust
Series
2018-CH3,
Class
A2,
CMO,
ARM
4.00%,
8/25/48 (1)
20
20
Sequoia
Mortgage
Trust
Series
2018-CH4,
Class
A2,
CMO,
ARM
4.00%,
10/25/48 (1)
14
14
SG
Residential
Mortgage
Trust
Series
2021-1,
Class
A1,
CMO,
ARM
1.16%,
7/25/61 (1)
794
681
Starwood
Mortgage
Residential
Trust
Series
2020-1,
Class
A3,
CMO,
ARM
2.562%,
2/25/50 (1)
180
173
Structured
Agency
Credit
Risk
Debt
Notes
Series
2022-DNA1,
Class
M1A,
CMO,
ARM
SOFR30A
+
1.00%,
3.183%,
1/25/42 (1)
1,576
1,541
Structured
Agency
Credit
Risk
Debt
Notes
Series
2022-DNA2,
Class
M1A,
CMO,
ARM
SOFR30A
+
1.30%,
3.483%,
2/25/42 (1)
1,357
1,351
Verus
Securitization
Trust
Series
2021-3,
Class
A1,
CMO,
ARM
1.046%,
6/25/66 (1)
699
619
Verus
Securitization
Trust
Series
2021-8,
Class
A2,
CMO,
ARM
2.286%,
11/25/66 (1)
385
343
Wells
Fargo
Mortgage
Backed
Securities
Trust
Series
2021-RR1,
Class
A3,
CMO,
ARM
2.50%,
12/25/50 (1)
564
508
14,929
Commercial
Mortgage-Backed
Securities
0.1%
BX
Commercial
Mortgage
Trust
Series
2019-IMC,
Class
C,
ARM
1M
USD
LIBOR
+
1.60%,
3.991%,
4/15/34 (1)
560
538
New
Orleans
Hotel
Trust
Series
2019-HNLA,
Class
C,
ARM
1M
USD
LIBOR
+
1.589%,
3.98%,
4/15/32 (1)
169
160
698
T.
ROWE
PRICE
Inflation
Protected
Bond
Fund
6
Par/Shares
$
Value
(Amounts
in
000s)
Residential
Mortgage
0.1%
Bayview
Mortgage
Fund
IVc
Trust
Series
2017-RT3,
Class
A,
ARM
3.50%,
1/28/58 (1)
357
348
MetLife
Securitization
Trust
Series
2017-1A,
Class
A,
CMO,
ARM
3.00%,
4/25/55 (1)
142
137
Mill
City
Mortgage
Loan
Trust
Series
2017-2,
Class
A1,
CMO,
ARM
2.75%,
7/25/59 (1)
68
68
Towd
Point
Mortgage
Trust
Series
2016-1,
Class
A3B,
CMO,
ARM
3.00%,
2/25/55 (1)
3
4
Towd
Point
Mortgage
Trust
Series
2017-1,
Class
A1,
CMO,
ARM
2.75%,
10/25/56 (1)
26
26
583
Total
Non-U.S.
Government
Mortgage-Backed
Securities
(Cost
$17,429)
16,210
U.S.
GOVERNMENT
&
AGENCY
MORTGAGE-BACKED
SECURITIES
0.0%
U.S.
Government
Obligations
0.0%
Government
National
Mortgage
Assn.,
CMO,
3.50%,
5/20/49
145
141
Total
U.S.
Government
&
Agency
Mortgage-Backed
Securities
(Cost
$146)
141
U.S.
GOVERNMENT
AGENCY
OBLIGATIONS
(EXCLUDING
MORTGAGE-BACKED)
91.2%
U.S.
Treasury
Obligations
91.2%
U.S.
Treasury
Inflation-Indexed
Bonds,
0.125%,
2/15/51
2,512
1,955
U.S.
Treasury
Inflation-Indexed
Bonds,
0.125%,
2/15/52 (2)
24,453
19,142
U.S.
Treasury
Inflation-Indexed
Bonds,
0.25%,
2/15/50
9,121
7,331
U.S.
Treasury
Inflation-Indexed
Bonds,
0.625%,
2/15/43
24,384
21,934
U.S.
Treasury
Inflation-Indexed
Bonds,
0.75%,
2/15/42
27,455
25,631
U.S.
Treasury
Inflation-Indexed
Bonds,
0.75%,
2/15/45
1,958
1,782
U.S.
Treasury
Inflation-Indexed
Bonds,
0.875%,
2/15/47
12,388
11,579
U.S.
Treasury
Inflation-Indexed
Bonds,
1.00%,
2/15/46
10,747
10,334
U.S.
Treasury
Inflation-Indexed
Bonds,
1.00%,
2/15/48
781
756
U.S.
Treasury
Inflation-Indexed
Bonds,
1.00%,
2/15/49
11,996
11,720
U.S.
Treasury
Inflation-Indexed
Bonds,
1.375%,
2/15/44
4,386
4,549
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
7/15/24
29,599
29,151
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
10/15/24
13,513
13,297
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
10/15/25
48,601
47,667
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
4/15/26
8,313
8,109
T.
ROWE
PRICE
Inflation
Protected
Bond
Fund
7
Par/Shares
$
Value
(Amounts
in
000s)
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
7/15/26
30,631
29,995
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
4/15/27
141,116
136,992
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
1/15/30 (3)
27,992
26,711
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
7/15/30
29,649
28,328
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
1/15/31
6,090
5,788
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
7/15/31
39,102
37,110
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
1/15/32
47,991
45,314
U.S.
Treasury
Inflation-Indexed
Notes,
0.375%,
7/15/25
35,998
35,537
U.S.
Treasury
Inflation-Indexed
Notes,
0.375%,
1/15/27
88,367
86,890
U.S.
Treasury
Inflation-Indexed
Notes,
0.625%,
1/15/24
2,019
2,000
U.S.
Treasury
Inflation-Indexed
Notes,
0.625%,
1/15/26
34,073
33,839
U.S.
Treasury
Inflation-Indexed
Notes,
0.625%,
7/15/32
35,366
35,129
Total
U.S.
Government
Agency
Obligations
(Excluding
Mortgage-
Backed)
(Cost
$766,997)
718,570
SHORT-TERM
INVESTMENTS
3.5%
Money
Market
Funds
3.5%
T.
Rowe
Price
Treasury
Reserve
Fund,
2.37% (4)(5)
27,285
27,285
Total
Short-Term
Investments
(Cost
$27,285)
27,285
SECURITIES
LENDING
COLLATERAL
0.0%
INVESTMENTS
IN
A
POOLED
ACCOUNT
THROUGH
SECURITIES
LENDING
PROGRAM
WITH
STATE
STREET
BANK
AND
TRUST
COMPANY
0.0%
Money
Market
Funds
0.0%
T.
Rowe
Price
Government
Reserve
Fund,
2.36% (4)(5)
14
14
Total
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
State
Street
Bank
and
Trust
Company
14
Total
Securities
Lending
Collateral
(Cost
$14)
14
T.
ROWE
PRICE
Inflation
Protected
Bond
Fund
8
(Amounts
in
000s,
except
for
contracts)
OPTIONS
PURCHASED
0.0%
Exchange-Traded
Options
Purchased
0.0%
Description
Contracts
Notional
Amount
$
Value
U.S.
Treasury
Notes
ten
year
futures
contracts,
Put,
9/23/22
@
$116.00 (6)
135
15,782
78
Total
Options
Purchased
(Cost
$67)
78
Total
Investments
in
Securities
99.4%
(Cost
$833,865)
$
783,797
Other
Assets
Less
Liabilities
0.6%
4,498
Net
Assets
100.0%
$
788,295
‡
Par/Shares
and
Notional
Amount
are
denominated
in
U.S.
dollars
unless
otherwise
noted.
(1)
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
$22,596
and
represents
2.9%
of
net
assets.
(2)
All
or
a
portion
of
this
security
is
on
loan
at
August
31,
2022.
(3)
At
August
31,
2022,
all
or
a
portion
of
this
security
is
pledged
as
collateral
and/
or
margin
deposit
to
cover
future
funding
obligations.
(4)
Seven-day
yield
(5)
Affiliated
Companies
(6)
Non-income
producing
1M
USD
LIBOR
One
month
USD
LIBOR
(London
interbank
offered
rate)
3M
USD
LIBOR
Three
month
USD
LIBOR
(London
interbank
offered
rate)
ARM
Adjustable
Rate
Mortgage
(ARM);
rate
shown
is
effective
rate
at
period-end.
The
rates
for
certain
ARMs
are
not
based
on
a
published
reference
rate
and
spread
but
may
be
determined
using
a
formula
based
on
the
rates
of
the
underlying
loans.
AUD
Australian
Dollar
CLO
Collateralized
Loan
Obligation
CMO
Collateralized
Mortgage
Obligation
CPI
Consumer
Price
Index
FRN
Floating
Rate
Note
GO
General
Obligation
NZD
New
Zealand
Dollar
SEK
Swedish
Krona
SOFR30A
30-day
Average
SOFR
(Secured
overnight
financing
rate)
USD
U.S.
Dollar
T.
ROWE
PRICE
Inflation
Protected
Bond
Fund
9
(Amounts
in
000s)
SWAPS
1.0%
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
BILATERAL
SWAPS
0.5%
Zero-Coupon
Inflation
Swaps
0.5%
Barclays
Bank,
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
0.285%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
3/27/23
29,300
4,214
—
4,214
Total
Bilateral
Zero-Coupon
Inflation
Swaps
—
4,214
Total
Bilateral
Swaps
—
4,214
Description
Notional
Amount
$
Value
Initial
$
Value
Unrealized
$
Gain/(Loss)
CENTRALLY
CLEARED
SWAPS
0.5%
Zero-Coupon
Inflation
Swaps
0.5%
2
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.565%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
11/20/22
16,000
1,657
—
1,657
2
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.249%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
1/27/23
13,800
1,244
1
1,243
2
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
3.327%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
8/26/24
12,300
(56)
—
(56)
2
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
3.515%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
11/12/23
11,300
493
—
493
Total
Centrally
Cleared
Zero-Coupon
Inflation
Swaps
3,337
Total
Centrally
Cleared
Swaps
3,337
Net
payments
(receipts)
of
variation
margin
to
date
(3,398)
Variation
margin
receivable
(payable)
on
centrally
cleared
swaps
$
(61)
T.
ROWE
PRICE
Inflation
Protected
Bond
Fund
10
(Amounts
in
000s)
FORWARD
CURRENCY
EXCHANGE
CONTRACTS
Counterparty
Settlement
Receive
Deliver
Unrealized
Gain/(Loss)
Bank
of
America
10/21/22
USD
1,773
AUD
2,550
$
27
Citibank
9/23/22
USD
1,446
SEK
14,630
73
Goldman
Sachs
10/21/22
NZD
1,150
USD
729
(26)
Goldman
Sachs
10/21/22
USD
720
NZD
1,150
16
HSBC
Bank
10/21/22
AUD
2,550
USD
1,794
(48)
HSBC
Bank
10/21/22
NZD
2,845
USD
1,785
(44)
HSBC
Bank
10/21/22
USD
1,770
NZD
2,845
29
Morgan
Stanley
9/23/22
SEK
14,630
USD
1,442
(68)
Net
unrealized
gain
(loss)
on
open
forward
currency
exchange
contracts
$
(41)
T.
ROWE
PRICE
Inflation
Protected
Bond
Fund
11
FUTURES
CONTRACTS
($000s)
Expiration
Date
Notional
Amount
Value
and
Unrealized
Gain
(Loss)
Long,
228
U.S.
Treasury
Notes
ten
year
contracts
12/22
26,654
$
(100)
Short,
334
U.S.
Treasury
Notes
five
year
contracts
12/22
(37,014)
127
Long,
194
U.S.
Treasury
Notes
two
year
contracts
12/22
40,416
(1)
Short,
240
Ultra
U.S.
Treasury
Notes
ten
year
contracts
12/22
(30,045)
98
Short,
159
Three
month
SOFR
contracts
3/23
(38,261)
71
Long,
159
Three
month
SOFR
contracts
3/24
38,369
(82)
Net
payments
(receipts)
of
variation
margin
to
date
(32)
Variation
margin
receivable
(payable)
on
open
futures
contracts
$
81
T.
ROWE
PRICE
Inflation
Protected
Bond
Fund
12
The
accompanying
notes
are
an
integral
part
of
this
Portfolio
of
Investments.
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,
2022.
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.
Affiliate
Net
Realized
Gain
(Loss)
Change
in
Net
Unrealized
Gain/Loss
Investment
Income
T.
Rowe
Price
Government
Reserve
Fund,
2.36%
$
—
$
—
$
2++
T.
Rowe
Price
Treasury
Reserve
Fund,
2.37%
—
—
163
Totals
$
—#
$
—
$
165+
Supplementary
Investment
Schedule
Affiliate
Value
05/31/22
Purchase
Cost
Sales
Cost
Value
08/31/22
T.
Rowe
Price
Government
Reserve
Fund,
2.36%
$
—
¤
¤
$
14
T.
Rowe
Price
Treasury
Reserve
Fund,
2.37%
21,534
¤
¤
27,285
Total
$
27,299^
#
Capital
gain
distributions
from
underlying
Price
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
$165
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
$27,299.
T.
ROWE
PRICE
Inflation
Protected
Bond
Fund
Unaudited
Notes
to
Portfolio
of
Investments
13
T.
Rowe
Price
Inflation
Protected
Bond
Fund,
Inc. (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
Fair
Value
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,
and
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
policies
and
procedures
used
in
valuing
financial
instruments,
including
those
which
cannot
be
valued
in
accordance
with
normal
procedures
or
using
pricing
vendors;
determines
pricing
techniques,
sources,
and
persons
eligible
to
effect
fair
value
pricing
actions;
evaluates
the
services
and
performance
of
the
pricing
vendors;
oversees
the
pricing
process
to
ensure
policies
and
procedures
are
being
followed;
and
provides
guidance
on
internal
controls
and
valuation-related
matters.
The
Valuation
Committee
provides
periodic
reporting
to
the
Board
on
valuation
matters.
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
T.
ROWE
PRICE
Inflation
Protected
Bond
Fund
14
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
(including
the fund’s
own
assumptions
in
determining
fair
value)
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.
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.
Investments
in
mutual
funds
are
valued
at
the
mutual
fund’s
closing
NAV
per
share
on
the
day
of
valuation.
Listed
options,
and
OTC
options
with
a
listed
equivalent,
are
valued
at
the
mean
of
the
closing
bid
and
asked
prices
and
exchange-traded
options
on
futures
contracts
are
valued
at
closing
settlement
prices.
Futures
contracts
are
valued
at
closing
settlement
prices.
Forward
currency
exchange
contracts
are
valued
using
the
prevailing
forward
exchange
rate.
Swaps
are
valued
at
prices
furnished
by
an
independent
pricing
service
or
independent
swap
dealers.
Investments
for
which
market
quotations
or
market-based
valuations
are
not
readily
available
or
deemed
unreliable
are
valued
at
fair
value
as
determined
in
good
faith
by
the
Valuation
Committee,
in
accordance
with
fair
valuation
policies
and
procedures.
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
T.
ROWE
PRICE
Inflation
Protected
Bond
Fund
15
Valuation
Committee
are
primarily
private
placements,
restricted
securities,
warrants,
rights,
and
other
securities
that
are
not
publicly
traded.
Factors
used
in
determining
fair
value
vary
by
type
of
investment
and
may
include
market
or
investment
specific
considerations.
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
market-based
valuation
multiples;
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
investment.
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.
T.
ROWE
PRICE
Inflation
Protected
Bond
Fund
16
Valuation
Inputs
The
following
table
summarizes
the
fund’s
financial
instruments,
based
on
the
inputs
used
to
determine
their
fair
values
on
August
31,
2022
(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
Securities
1
$
—
$
756,420
$
—
$
756,420
Short-Term
Investments
27,285
—
—
27,285
Securities
Lending
Collateral
14
—
—
14
Options
Purchased
78
—
—
78
Total
Securities
27,377
756,420
—
783,797
Swaps*
—
7,607
—
7,607
Forward
Currency
Exchange
Contracts
—
145
—
145
Futures
Contracts*
296
—
—
296
Total
$
27,673
$
764,172
$
—
$
791,845
Liabilities
Swaps*
$
—
$
56
$
—
$
56
Forward
Currency
Exchange
Contracts
—
186
—
186
Futures
Contracts*
183
—
—
183
Total
$
183
$
242
$
—
$
425
1
Includes
Asset-Backed
Securities,
Corporate
Bonds,
Foreign
Government
Obligations
&
Municipalities,
Municipal
Securities,
Non-U.S.
Government
Mortgage-Backed
Securities,
U.S.
Government
&
Agency
Mortgage-Backed
Securities
and
U.S.
Government
Agency
Obligations
(Excluding
Mortgage-Backed).
*
The
fair
value
presented
includes
cumulative
gain
(loss)
on
open
futures
contracts
and
centrally
cleared
swaps;
however,
the
net
value
reflected
on
the
accompanying
Portfolio
of
Investments
is
only
the
unsettled
variation
margin
receivable
(payable)
at
that
date.
T.
ROWE
PRICE
Inflation
Protected
Bond
Fund
17
OTHER
MATTERS
Unpredictable
events
such
as
environmental
or
natural
disasters,
war,
terrorism,
pandemics,
outbreaks
of
infectious
diseases,
and
similar
public
health
threats
may
significantly
affect
the
economy
and
the
markets
and
issuers
in
which
a
fund
invests.
Certain
events
may
cause
instability
across
global
markets,
including
reduced
liquidity
and
disruptions
in
trading
markets,
while
some
events
may
affect
certain
geographic
regions,
countries,
sectors,
and
industries
more
significantly
than
others,
and
exacerbate
other
pre-existing
political,
social,
and
economic
risks.
Since
2020,
a
novel
strain
of
coronavirus
(COVID-19)
has
resulted
in
disruptions
to
global
business
activity
and
caused
significant
volatility
and
declines
in
global
financial
markets.
In
February
2022,
Russian
forces
entered
Ukraine
and
commenced
an
armed
conflict
leading
to
economic
sanctions
being
imposed
on
Russia
and
certain
of
its
citizens,
creating
impacts
on
Russian-related
stocks
and
debt
and
greater
volatility
in
global
markets.
These
are
recent
examples
of
global
events
which
may
have
an
impact
on
the
fund’s
performance,
which
could
be
negatively
impacted
if
the
value
of
a
portfolio
holding
were
harmed
by
these
and
such
other
events.
Management
is
actively
monitoring
the
risks
and
financial
impacts
arising
from
these
events.
F147-054Q1
08/22