T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
August
31,
2021
(Unaudited)
1
Portfolio
of
Investments
‡
Par/Shares
$
Value
(Amounts
in
000s)
‡
ASSET-BACKED
SECURITIES
2.0%
Auto
Backed
0.6%
AmeriCredit
Automobile
Receivables
Trust
Series 2020-3,
Class
C
1.06%,
8/18/26
4,965
5,010
Avis
Budget
Rental
Car
Funding
AESOP
Series 2017-2A,
Class
A
2.97%,
3/20/24 (1)
13,111
13,566
Exeter
Automobile
Receivables
Trust
Series 2020-1A,
Class
B
2.26%,
4/15/24 (1)
3,948
3,961
Santander
Drive
Auto
Receivables
Trust
Series 2020-4,
Class
C
1.01%,
1/15/26
8,070
8,133
Santander
Retail
Auto
Lease
Trust
Series 2019-A,
Class
C
3.30%,
5/22/23 (1)
16,470
16,656
Santander
Retail
Auto
Lease
Trust
Series 2019-C,
Class
C
2.39%,
11/20/23 (1)
9,515
9,686
57,012
Collaterized
Debt
Obligation
1.0%
Ares
LVIII
Series 2020-58A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.22%,
1.346%,
1/15/33 (1)
4,080
4,083
Barings
Series 2013-IA,
Class
AR,
CLO,
FRN
3M
USD
LIBOR
+
0.80%,
0.934%,
1/20/28 (1)
11,409
11,419
BlueMountain
Series 2012-2A,
Class
AR2,
CLO,
FRN
3M
USD
LIBOR
+
1.05%,
1.181%,
11/20/28 (1)
4,071
4,071
KKR
Series 13,
Class
A1R,
CLO,
FRN
3M
USD
LIBOR
+
0.80%,
0.926%,
1/16/28 (1)
7,301
7,303
KKR
Series 13,
Class
B1R,
CLO,
FRN
3M
USD
LIBOR
+
1.15%,
1.276%,
1/16/28 (1)
3,420
3,410
Madison
Park
Funding
XXXVII
Series 2019-37A,
Class
AR,
CLO,
FRN
3M
USD
LIBOR
+
1.07%,
1.21%,
7/15/33 (1)
6,780
6,772
Magnetite
XVI
Series 2015-16A,
Class
AR,
CLO,
FRN
3M
USD
LIBOR
+
0.80%,
0.934%,
1/18/28 (1)
27,166
27,170
Magnetite
XXV
Series 2020-25A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.20%,
1.325%,
1/25/32 (1)
8,400
8,411
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
2
Par/Shares
$
Value
(Amounts
in
000s)
‡
OZLM
VIII
Series 2014-8A,
Class
A1RR,
CLO,
FRN
3M
USD
LIBOR
+
1.17%,
1.304%,
10/17/29 (1)
6,340
6,340
Reese
Park
Series 2020-1A,
Class
A1,
CLO,
FRN
3M
USD
LIBOR
+
1.32%,
1.446%,
10/15/32 (1)
9,245
9,247
Symphony
XXIII
Series 2020-23A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.32%,
1.446%,
1/15/34 (1)
6,025
6,036
94,262
Other
Asset-Backed
Securities
0.2%
BRE
Grand
Islander
Timeshare
Issuer
Series 2019-A,
Class
A
3.28%,
9/26/33 (1)
2,703
2,835
Elara
HGV
Timeshare
Issuer
Series 2017-A,
Class
A
2.69%,
3/25/30 (1)
1,708
1,757
HPEFS
Equipment
Trust
Series 2021-2A,
Class
C
0.88%,
9/20/28 (1)
11,555
11,551
Sierra
Timeshare
Receivables
Funding
Series 2019-3A,
Class
A
2.34%,
8/20/36 (1)
3,057
3,123
19,266
Student
Loan
0.2%
Navient
Private
Education
Refi
Loan
Trust
Series 2019-GA,
Class
A
2.40%,
10/15/68 (1)
8,689
8,871
Navient
Private
Education
Refi
Loan
Trust
Series 2021-EA,
Class
A
0.97%,
12/16/69 (1)
7,305
7,309
16,180
Total
Asset-Backed
Securities
(Cost
$185,367)
186,720
CORPORATE
BONDS
5.7%
Airlines
0.0%
SMBC
Aviation
Capital
Finance,
3.00%,
7/15/22 (1)
4,155
4,238
4,238
Automotive
0.6%
Hyundai
Capital
America,
0.875%,
6/14/24 (1)(2)
17,855
17,810
Hyundai
Capital
America,
1.15%,
11/10/22 (1)
6,500
6,541
Hyundai
Capital
America,
1.25%,
9/18/23 (1)
12,140
12,253
Nissan
Motor,
3.043%,
9/15/23 (1)
7,705
8,024
Volkswagen
Group
of
America
Finance,
0.875%,
11/22/23 (1)(2)
12,040
12,116
56,744
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
3
Par/Shares
$
Value
(Amounts
in
000s)
‡
Banking
1.0%
Bank
of
America,
VR,
0.523%,
6/14/24 (3)
25,000
24,975
Bank
of
Montreal,
0.625%,
7/9/24
18,550
18,536
Goldman
Sachs
Group,
VR,
0.657%,
9/10/24 (2)(3)
25,000
24,970
Mitsubishi
UFJ
Financial
Group,
VR,
0.953%,
7/19/25 (3)
23,360
23,425
91,906
Building
Products
0.1%
Martin
Marietta
Materials,
0.65%,
7/15/23
5,540
5,546
5,546
Consumer
Products
0.0%
YMCA
of
Greater
New
York,
2.303%,
8/1/26
2,240
2,265
2,265
Drugs
0.3%
Perrigo
Finance
Unlimited,
3.90%,
12/15/24
22,385
23,929
23,929
Energy
0.7%
Abu
Dhabi
National
Energy,
3.875%,
5/6/24
8,200
8,877
Global
Sukuk,
0.946%,
6/17/24 (1)
24,247
24,167
Gray
Oak
Pipeline,
2.00%,
9/15/23 (1)
1,320
1,345
Perusahaan
Listrik
Negara,
5.50%,
11/22/21
18,900
19,112
Plains
All
American
Pipeline,
3.85%,
10/15/23
8,952
9,435
62,936
Financial
0.9%
AerCap
Ireland
Capital,
3.50%,
5/26/22
5,750
5,860
AerCap
Ireland
Capital,
4.45%,
12/16/21
9,380
9,462
Air
Lease,
3.50%,
1/15/22
9,867
9,976
Ally
Financial,
1.45%,
10/2/23
6,710
6,805
Avolon
Holdings
Funding,
4.25%,
4/15/26 (1)
4,990
5,408
DAE
Funding,
1.55%,
8/1/24 (1)
5,500
5,496
MAF
Sukuk,
4.50%,
11/3/25
13,510
14,973
Park
Aerospace
Holdings,
5.25%,
8/15/22 (1)(2)
19,105
19,845
77,825
Information
Technology
0.2%
HCL
America,
1.375%,
3/10/26 (1)(2)
19,900
19,864
19,864
Insurance
0.1%
Brighthouse
Financial
Global
Funding,
0.60%,
6/28/23 (1)
9,000
9,001
9,001
Metals
&
Mining
0.2%
POSCO,
2.375%,
1/17/23
7,025
7,178
POSCO,
4.00%,
8/1/23
10,895
11,556
18,734
Oil
Field
Services
0.3%
Energy
Transfer,
4.25%,
3/15/23
24,956
26,017
26,017
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
4
Par/Shares
$
Value
(Amounts
in
000s)
‡
Petroleum
0.6%
Bharat
Petroleum,
4.375%,
1/24/22
13,495
13,680
Ecopetrol,
5.875%,
9/18/23
19,000
20,508
Pertamina
Persero,
4.875%,
5/3/22
18,000
18,539
52,727
Real
Estate
Investment
Trust
Securities
0.1%
Vanke
Real
Estate
Hong
Kong,
4.15%,
4/18/23
5,005
5,220
5,220
Retail
0.0%
Nordstrom,
2.30%,
4/8/24
1,895
1,902
1,902
Transportation
(Excluding
Railroads)
0.0%
China
Merchants
Finance,
5.00%,
5/4/22
920
944
944
Transportation
Services
0.3%
HPHT
Finance,
2.75%,
9/11/22
18,800
19,152
HPHT
Finance,
2.875%,
11/5/24
12,000
12,631
31,783
Utilities
0.3%
China
Huaneng
Group
Hong
Kong
Treasury
Management
Holding,
1.60%,
1/20/26 (2)
12,015
12,124
Consorcio
Transmantaro,
4.375%,
5/7/23 (2)
11,300
11,749
Saudi
Electricity
Global
Sukuk,
4.222%,
1/27/24
4,100
4,428
28,301
Total
Corporate
Bonds
(Cost
$515,187)
519,882
FOREIGN
GOVERNMENT
OBLIGATIONS
&
MUNICIPALITIES
0.0%
Foreign
Government
&
Municipalities
(Excluding
Canadian)
0.0%
Saudi
Arabian
Oil,
1.25%,
11/24/23 (1)
1,150
1,161
Total
Foreign
Government
Obligations
&
Municipalities
(Cost
$1,148)
1,161
MUNICIPAL
SECURITIES
0.6%
California
0.1%
California
State
Univ.,
Series B,
0.563%,
11/1/24
4,220
4,223
4,223
Colorado
0.0%
Denver
City
&
County
Airport
System,
Series C,
0.877%,
11/15/23
785
792
Denver
City
&
County
Airport
System,
Series C,
1.115%,
11/15/24
1,225
1,240
2,032
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
5
Par/Shares
$
Value
(Amounts
in
000s)
‡
Georgia
0.0%
Atlanta
Water
&
Wastewater,
0.191%,
11/1/21
670
670
Atlanta
Water
&
Wastewater,
0.271%,
11/1/22
670
671
Atlanta
Water
&
Wastewater,
0.407%,
11/1/23
670
671
Atlanta
Water
&
Wastewater,
0.616%,
11/1/24
670
671
2,683
Hawaii
0.0%
Hawaii,
Series GB,
GO,
0.571%,
10/1/23
2,885
2,901
2,901
Illinois
0.2%
Illinois,
Series A,
GO,
2.84%,
10/1/23
20,095
20,581
20,581
Michigan
0.1%
Michigan
Fin.
Auth.,
Series A-1,
0.897%,
6/1/22
1,350
1,352
Michigan
Fin.
Auth.,
Series A-1,
1.086%,
6/1/23
1,450
1,457
Michigan
Fin.
Auth.,
Series A-1,
1.376%,
6/1/24
3,425
3,463
6,272
New
York
0.0%
New
York
Transportation
Dev.,
Terminal
4
JFK
Int'l.
Airport,
Series B,
1.36%,
12/1/21
840
842
New
York
Transportation
Dev.,
Terminal
4
JFK
Int'l.
Airport,
Series B,
1.61%,
12/1/22
715
724
1,566
Oklahoma
0.0%
Oklahoma
Turnpike
Auth.,
Series B,
0.491%,
1/1/22
1,340
1,342
1,342
Texas
0.1%
Central
Texas
Turnpike
System,
Series B,
VRDN,
1.98%,
8/15/42
(Tender
8/15/22)
6,275
6,360
Dallas
Area
Rapid
Transit,
0.297%,
12/1/21
905
905
Dallas
Area
Rapid
Transit,
0.397%,
12/1/22
670
671
Dallas
Area
Rapid
Transit,
0.541%,
12/1/23
485
487
Dallas
Area
Rapid
Transit,
0.761%,
12/1/24
380
382
8,805
West
Virginia
0.1%
Tobacco
Settlement
Fin.
Auth.,
Class
1
Senior
Bonds,
Series A,
0.947%,
6/1/22
1,330
1,335
Tobacco
Settlement
Fin.
Auth.,
Class
1
Senior
Bonds,
Series A,
1.193%,
6/1/23
2,000
2,017
Tobacco
Settlement
Fin.
Auth.,
Class
1
Senior
Bonds,
Series A,
1.497%,
6/1/24
2,680
2,717
6,069
Total
Municipal
Securities
(Cost
$55,735)
56,474
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
6
Par/Shares
$
Value
(Amounts
in
000s)
‡
NON-U.S.
GOVERNMENT
MORTGAGE-BACKED
SECURITIES
5.1%
Commercial
Mortgage-Backed
Securities
0.5%
Atrium
Hotel
Portfolio
Trust
Series 2017-ATRM,
Class
A,
ARM
1M
USD
LIBOR
+
0.93%,
1.026%,
12/15/36 (1)
8,480
8,480
Atrium
Hotel
Portfolio
Trust
Series 2017-ATRM,
Class
B,
ARM
1M
USD
LIBOR
+
1.50%,
1.596%,
12/15/36 (1)
12,725
12,714
Atrium
Hotel
Portfolio
Trust
Series 2017-ATRM,
Class
C,
ARM
1M
USD
LIBOR
+
1.65%,
1.746%,
12/15/36 (1)
3,860
3,852
BX
Commercial
Mortgage
Trust
Series 2019-IMC,
Class
C,
ARM
1M
USD
LIBOR
+
1.60%,
1.696%,
4/15/34 (1)
11,895
11,859
InTown
Hotel
Portfolio
Trust
Series 2018-STAY,
Class
A,
ARM
1M
USD
LIBOR
+
0.95%,
1.046%,
1/15/33 (1)
3,310
3,318
InTown
Hotel
Portfolio
Trust
Series 2018-STAY,
Class
B,
ARM
1M
USD
LIBOR
+
1.30%,
1.396%,
1/15/33 (1)
1,855
1,860
New
Orleans
Hotel
Trust
Series 2019-HNLA,
Class
C,
ARM
1M
USD
LIBOR
+
1.589%,
1.685%,
4/15/32 (1)
5,220
5,169
47,252
Home
Equity
Loans
Backed
0.2%
Citigroup
Mortgage
Loan
Trust
Series 2019-IMC1,
Class
A1,
CMO,
ARM
2.72%,
7/25/49 (1)
3,876
3,911
Flagstar
Mortgage
Trust
Series 2021-5INV,
Class
A5,
CMO,
ARM
2.50%,
5/25/33 (1)
14,807
15,204
19,115
Whole
Loans
Backed
4.4%
Angel
Oak
Mortgage
Trust
I
Series 2019-2,
Class
A1,
CMO,
ARM
3.628%,
3/25/49 (1)
2,760
2,788
Bayview
Mortgage
Fund
IVc
Trust
Series 2017-RT3,
Class
A,
CMO,
ARM
3.50%,
1/28/58 (1)
9,414
9,513
Bayview
MSR
Opportunity
Master
Fund
Trust
Series 2021-2,
Class
A5,
CMO,
ARM
2.50%,
6/25/51 (1)
13,718
14,108
Bayview
Opportunity
Master
Fund
IVb
Trust
Series 2017-SPL4,
Class
A,
CMO,
ARM
3.50%,
1/28/55 (1)
2,800
2,852
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
7
Par/Shares
$
Value
(Amounts
in
000s)
‡
Connecticut
Avenue
Securities
Series 2017-C02,
Class
2ED3,
CMO,
ARM
1M
USD
LIBOR
+
1.35%,
1.434%,
9/25/29
14,314
14,405
Connecticut
Avenue
Securities
Series 2017-C04,
Class
2ED2,
CMO,
ARM
1M
USD
LIBOR
+
1.10%,
1.184%,
11/25/29
15,235
15,047
Connecticut
Avenue
Securities
Series 2017-C05,
Class
1ED3,
CMO,
ARM
1M
USD
LIBOR
+
1.20%,
1.284%,
1/25/30
9,705
9,471
Connecticut
Avenue
Securities
Series 2017-C06,
Class
1M2B,
CMO,
ARM
1M
USD
LIBOR
+
2.65%,
2.734%,
2/25/30
8,159
8,217
Connecticut
Avenue
Securities
Series 2018-C01,
Class
1ED2,
CMO,
ARM
1M
USD
LIBOR
+
0.85%,
0.934%,
7/25/30
10,628
10,628
Connecticut
Avenue
Securities
Series 2018-C02,
Class
2EB2,
CMO,
ARM
1M
USD
LIBOR
+
0.90%,
0.984%,
8/25/30
5,118
5,038
Connecticut
Avenue
Securities
Series 2018-C02,
Class
2ED2,
CMO,
ARM
1M
USD
LIBOR
+
0.90%,
0.984%,
8/25/30
12,113
11,994
Connecticut
Avenue
Securities
Series 2018-C03,
Class
1EB2,
CMO,
ARM
1M
USD
LIBOR
+
0.85%,
0.934%,
10/25/30
18,163
18,066
Connecticut
Avenue
Securities
Series 2018-C03,
Class
1ED2,
CMO,
ARM
1M
USD
LIBOR
+
0.85%,
0.934%,
10/25/30
13,006
12,946
CSMC
Trust
Series 2021-RPL6,
Class
A1,
CMO,
ARM
2.00%,
10/25/60 (1)
12,744
12,995
Ellington
Financial
Mortgage
Trust
Series 2019-2,
Class
A1,
CMO,
ARM
2.739%,
11/25/59 (1)
2,865
2,912
Freddie
Mac
Whole
Loan
Securities
Trust
Series 2017-SC01,
Class
M1,
CMO,
ARM
3.619%,
12/25/46 (1)
1,928
1,946
Galton
Funding
Mortgage
Trust
Series 2018-1,
Class
A23,
CMO,
ARM
3.50%,
11/25/57 (1)
1,993
2,016
Galton
Funding
Mortgage
Trust
Series 2018-2,
Class
A31,
CMO,
ARM
4.50%,
10/25/58 (1)
3,030
3,086
Galton
Funding
Mortgage
Trust
Series 2020-H1,
Class
A3,
CMO,
ARM
2.617%,
1/25/60 (1)
6,188
6,219
GS
Mortgage-Backed
Securities
Trust
Series 2014-EB1A,
Class
2A1,
CMO,
ARM
1.66%,
7/25/44 (1)
190
191
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
8
Par/Shares
$
Value
(Amounts
in
000s)
‡
GS
Mortgage-Backed
Securities
Trust
Series 2021-PJ6,
Class
A8,
CMO,
ARM
2.50%,
11/25/51 (1)
24,491
25,118
Homeward
Opportunities
Fund
I
Trust
Series 2019-3,
Class
A3,
CMO,
ARM
3.031%,
11/25/59 (1)
4,917
5,009
JPMorgan
Mortgage
Trust
Series 2019-INV2,
Class
A3,
CMO,
ARM
3.50%,
2/25/50 (1)
1,884
1,916
JPMorgan
Mortgage
Trust
Series 2020-LTV1,
Class
A4,
CMO,
ARM
3.50%,
6/25/50 (1)
1,244
1,244
MetLife
Securitization
Trust
Series 2017-1A,
Class
A,
CMO,
ARM
3.00%,
4/25/55 (1)
3,368
3,445
MetLife
Securitization
Trust
Series 2018-1A,
Class
A,
CMO,
ARM
3.75%,
3/25/57 (1)
9,551
9,878
Mill
City
Mortgage
Loan
Trust
Series 2016-1,
Class
A1,
CMO,
ARM
2.50%,
4/25/57 (1)
306
307
Mill
City
Mortgage
Loan
Trust
Series 2017-2,
Class
A1,
CMO,
ARM
2.75%,
7/25/59 (1)
3,083
3,123
New
Residential
Mortgage
Loan
Trust
Series 2019-NQM5,
Class
A3,
CMO,
ARM
3.065%,
11/25/59 (1)
3,689
3,730
New
Residential
Mortgage
Loan
Trust
Series 2020-NQM1,
Class
A1,
CMO,
ARM
2.464%,
1/26/60 (1)
4,572
4,613
OBX
Trust
Series 2019-EXP1,
Class
1A3,
CMO,
ARM
4.00%,
1/25/59 (1)
4,754
4,830
OBX
Trust
Series 2019-EXP3,
Class
2A1,
CMO,
ARM
1M
USD
LIBOR
+
0.90%,
0.984%,
10/25/59 (1)
3,465
3,470
OBX
Trust
Series 2019-EXP3,
Class
2A2,
CMO,
ARM
1M
USD
LIBOR
+
1.10%,
1.184%,
10/25/59 (1)
3,147
3,191
OBX
Trust
Series 2020-EXP1,
Class
1A9,
CMO,
ARM
3.50%,
2/25/60 (1)
4,013
4,106
OBX
Trust
Series 2020-EXP1,
Class
2A1,
CMO,
ARM
1M
USD
LIBOR
+
0.75%,
0.834%,
2/25/60 (1)
1,790
1,789
OBX
Trust
Series 2020-INV1,
Class
A21,
CMO,
ARM
3.50%,
12/25/49 (1)
2,375
2,411
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
9
Par/Shares
$
Value
(Amounts
in
000s)
‡
Sequoia
Mortgage
Trust
Series 2018-CH1,
Class
A2,
CMO,
ARM
3.50%,
2/25/48 (1)
2,111
2,125
Sequoia
Mortgage
Trust
Series 2018-CH2,
Class
A3,
CMO,
ARM
4.00%,
6/25/48 (1)
1,899
1,921
Sequoia
Mortgage
Trust
Series 2018-CH3,
Class
A2,
CMO,
ARM
4.00%,
8/25/48 (1)
1,984
2,017
SG
Residential
Mortgage
Trust
Series 2019-3,
Class
A3,
CMO,
ARM
3.082%,
9/25/59 (1)
5,292
5,316
SG
Residential
Mortgage
Trust
Series 2021-1,
Class
A1,
CMO,
ARM
1.16%,
7/25/61 (1)
18,229
18,217
Starwood
Mortgage
Residential
Trust
Series 2019-INV1,
Class
A1,
CMO,
ARM
2.61%,
9/27/49 (1)
4,077
4,122
Starwood
Mortgage
Residential
Trust
Series 2020-1,
Class
A3,
CMO,
ARM
2.562%,
2/25/50 (1)
4,722
4,764
Structured
Agency
Credit
Risk
Debt
Notes
Series 2017-DNA2,
Class
M1,
CMO,
ARM
1M
USD
LIBOR
+
1.20%,
1.284%,
10/25/29
2,011
2,011
Structured
Agency
Credit
Risk
Debt
Notes
Series 2017-DNA3,
Class
M1,
CMO,
ARM
1M
USD
LIBOR
+
0.75%,
0.834%,
3/25/30
891
891
Structured
Agency
Credit
Risk
Debt
Notes
Series 2018-DNA2,
Class
M1,
CMO,
ARM
1M
USD
LIBOR
+
0.80%,
0.884%,
12/25/30 (1)
3,039
3,039
Structured
Agency
Credit
Risk
Debt
Notes
Series 2018-DNA2,
Class
M2AS,
CMO,
ARM
1M
USD
LIBOR
+
0.95%,
1.034%,
12/25/30 (1)
12,137
12,112
Structured
Agency
Credit
Risk
Debt
Notes
Series 2018-DNA3,
Class
M1,
CMO,
ARM
1M
USD
LIBOR
+
0.75%,
0.834%,
9/25/48 (1)
27
27
Structured
Agency
Credit
Risk
Debt
Notes
Series 2018-DNA3,
Class
M2AS,
CMO,
ARM
1M
USD
LIBOR
+
0.90%,
0.984%,
9/25/48 (1)
8,860
8,869
Structured
Agency
Credit
Risk
Debt
Notes
Series 2018-HQA2,
Class
M1,
CMO,
ARM
1M
USD
LIBOR
+
0.75%,
0.834%,
10/25/48 (1)
1,374
1,374
Structured
Agency
Credit
Risk
Debt
Notes
Series 2020-HQA5,
Class
M1,
CMO,
ARM
SOFR30A
+
1.10%,
1.15%,
11/25/50 (1)
2,219
2,220
Towd
Point
Mortgage
Trust
Series 2016-1,
Class
A1B,
CMO,
ARM
2.75%,
2/25/55 (1)
114
114
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
10
Par/Shares
$
Value
(Amounts
in
000s)
‡
Towd
Point
Mortgage
Trust
Series 2016-1,
Class
A3B,
CMO,
ARM
3.00%,
2/25/55 (1)
901
908
Towd
Point
Mortgage
Trust
Series 2016-2,
Class
A1A,
CMO,
ARM
2.75%,
8/25/55 (1)
1,040
1,045
Towd
Point
Mortgage
Trust
Series 2016-3,
Class
A1,
CMO,
ARM
2.25%,
4/25/56 (1)
915
917
Towd
Point
Mortgage
Trust
Series 2016-4,
Class
A1,
CMO,
ARM
2.25%,
7/25/56 (1)
1,125
1,133
Towd
Point
Mortgage
Trust
Series 2017-1,
Class
A1,
CMO,
ARM
2.75%,
10/25/56 (1)
2,130
2,161
Towd
Point
Mortgage
Trust
Series 2017-2,
Class
A1,
CMO,
ARM
2.75%,
4/25/57 (1)
1,879
1,903
Towd
Point
Mortgage
Trust
Series 2017-4,
Class
A1,
CMO,
ARM
2.75%,
6/25/57 (1)
8,903
9,105
Towd
Point
Mortgage
Trust
Series 2017-6,
Class
A1,
CMO,
ARM
2.75%,
10/25/57 (1)
13,364
13,611
Towd
Point
Mortgage
Trust
Series 2018-1,
Class
A1,
CMO,
ARM
3.00%,
1/25/58 (1)
2,687
2,747
Towd
Point
Mortgage
Trust
Series 2018-5,
Class
A1A,
CMO,
ARM
3.25%,
7/25/58 (1)
3,732
3,800
Verus
Securitization
Trust
Series 2019-INV3,
Class
A3,
CMO,
ARM
3.10%,
11/25/59 (1)
8,106
8,219
Verus
Securitization
Trust
Series 2020-1,
Class
A3,
CMO,
STEP
2.724%,
1/25/60 (1)
7,983
8,076
Verus
Securitization
Trust
Series 2021-3,
Class
A1,
CMO,
ARM
1.046%,
6/25/66 (1)
17,837
17,859
Wells
Fargo
Mortgage
Backed
Securities
Trust
Series 2021-RR1,
Class
A3,
CMO,
ARM
2.50%,
12/25/50 (1)
12,613
12,904
396,145
Total
Non-U.S.
Government
Mortgage-Backed
Securities
(Cost
$461,818)
462,512
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
11
Par/Shares
$
Value
(Amounts
in
000s)
‡
U.S.
GOVERNMENT
&
AGENCY
MORTGAGE-BACKED
SECURITIES
0.6%
U.S.
Government
Agency
Obligations
0.0%
Federal
Home
Loan
Mortgage,
ARM
12M
USD
LIBOR
+
1.625%,
1.875%,
7/1/38
16
16
12M
USD
LIBOR
+
1.961%,
2.336%,
2/1/33
—
—
12M
USD
LIBOR
+
1.987%,
2.362%,
2/1/34
1
2
12M
USD
LIBOR
+
2.029%,
2.448%,
11/1/36
17
17
1Y
CMT
+
2.219%,
2.344%,
10/1/33
—
—
Federal
National
Mortgage
Assn.,
ARM
12M
USD
LIBOR
+
1.34%,
1.715%,
12/1/35
5
5
12M
USD
LIBOR
+
1.59%,
1.926%,
12/1/35
13
13
12M
USD
LIBOR
+
1.674%,
2.049%,
2/1/33
1
1
12M
USD
LIBOR
+
1.676%,
2.013%,
7/1/34
1
1
12M
USD
LIBOR
+
1.715%,
2.09%,
12/1/32
15
16
12M
USD
LIBOR
+
1.715%,
2.215%,
10/1/32
6
6
12M
USD
LIBOR
+
1.726%,
2.226%,
9/1/32
1
1
12M
USD
LIBOR
+
1.77%,
2.145%,
12/1/35
2
2
12M
USD
LIBOR
+
1.78%,
2.155%,
1/1/34
5
5
12M
USD
LIBOR
+
1.83%,
2.156%,
8/1/38
8
8
12M
USD
LIBOR
+
1.853%,
2.103%,
8/1/38
7
7
12M
USD
LIBOR
+
1.892%,
2.307%,
12/1/35
4
4
1Y
CMT
+
2.00%,
2.125%,
1/1/35
—
—
1Y
CMT
+
2.125%,
2.125%,
7/1/33
—
—
COF11
+
1.25%,
2.187%,
7/1/27
—
—
Federal
National
Mortgage
Assn.,
CMO,
STEP,
5.11%,
1/25/32
—
—
Federal
National
Mortgage
Assn.,
UMBS,
7.00%,
10/1/23
—
1
105
U.S.
Government
Obligations
0.6%
Government
National
Mortgage
Assn.
8.50%,
4/15/22
-
6/20/27
34
35
9.00%,
12/15/22
—
—
Government
National
Mortgage
Assn.,
CMO,
3.50%,
5/20/49
5,002
5,307
Government
National
Mortgage
Assn.,
TBA,
2.00%,
10/20/51 (4)
46,935
47,826
53,168
Total
U.S.
Government
&
Agency
Mortgage-Backed
Securities
(Cost
$53,033)
53,273
U.S.
GOVERNMENT
AGENCY
OBLIGATIONS
(EXCLUDING
MORTGAGE-BACKED)
84.9%
U.S.
Treasury
Obligations
84.9%
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
1/15/22
3,665
3,708
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
1/15/23
158,788
164,644
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
12
Par/Shares
$
Value
(Amounts
in
000s)
‡
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
7/15/24
359,291
385,340
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
10/15/24
671,694
721,442
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
4/15/25 (5)
1,095,935
1,181,897
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
10/15/25
770,239
840,043
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
4/15/26 (2)
731,977
799,570
U.S.
Treasury
Inflation-Indexed
Notes,
0.25%,
1/15/25
574,780
621,032
U.S.
Treasury
Inflation-Indexed
Notes,
0.375%,
7/15/23
215,554
227,712
U.S.
Treasury
Inflation-Indexed
Notes,
0.375%,
1/15/27
119,821
133,712
U.S.
Treasury
Inflation-Indexed
Notes,
0.50%,
4/15/24
522,676
560,570
U.S.
Treasury
Inflation-Indexed
Notes,
0.625%,
4/15/23
561,724
589,547
U.S.
Treasury
Inflation-Indexed
Notes,
0.625%,
1/15/24
713,536
764,264
U.S.
Treasury
Inflation-Indexed
Notes,
0.625%,
1/15/26
712,151
792,602
Total
U.S.
Government
Agency
Obligations
(Excluding
Mortgage-Backed)
(Cost
$7,543,742)
7,786,083
SHORT-TERM
INVESTMENTS
0.8%
Money
Market
Funds
0.8%
T.
Rowe
Price
Government
Reserve
Fund,
0.05% (6)(7)
75,799
75,799
Total
Short-Term
Investments
(Cost
$75,799)
75,799
SECURITIES
LENDING
COLLATERAL
1.8%
INVESTMENTS
IN
A
POOLED
ACCOUNT
THROUGH
SECURITIES
LENDING
PROGRAM
WITH
JPMORGAN
CHASE
BANK
0.0%
Short-Term
Funds
0.0%
T.
Rowe
Price
Short-Term
Fund,
0.07% (6)(7)
266
2,661
Total
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
JPMorgan
Chase
Bank
2,661
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
13
Par/Shares
$
Value
(Amounts
in
000s)
‡
INVESTMENTS
IN
A
POOLED
ACCOUNT
THROUGH
SECURITIES
LENDING
PROGRAM
WITH
STATE
STREET
BANK
1.8%
Short-Term
Funds
1.8%
T.
Rowe
Price
Short-Term
Fund,
0.07% (6)(7)
15,947
159,474
Total
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
State
Street
Bank
159,474
Total
Securities
Lending
Collateral
(Cost
$162,135)
162,135
Total
Investments
in
Securities
101.5%
(Cost
$9,053,964)
$
9,304,039
Other
Assets
Less
Liabilities
(1.5)%
(137,030)
Net
Assets
100.0%
$
9,167,009
‡
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
$674,644
and
represents
7.4%
of
net
assets.
(2)
All
or
a
portion
of
this
security
is
on
loan
at
August
31,
2021.
(3)
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.
(4)
To-Be-Announced
purchase
commitment.
Total
value
of
such
securities
at
period-end
amounts
to
$47,826
and
represents
0.5%
of
net
assets.
(5)
At
August
31,
2021,
all
or
a
portion
of
this
security
is
pledged
as
collateral
and/
or
margin
deposit
to
cover
future
funding
obligations.
(6)
Seven-day
yield
(7)
Affiliated
Companies
1M
USD
LIBOR
One
month
USD
LIBOR
(London
interbank
offered
rate)
3M
USD
LIBOR
Three
month
USD
LIBOR
(London
interbank
offered
rate)
12M
USD
LIBOR
Twelve
month
USD
LIBOR
(London
interbank
offered
rate)
1Y
CMT
One
year
U.S.
Treasury
note
constant
maturity
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
CAD
Canadian
Dollar
CLO
Collateralized
Loan
Obligation
CMO
Collateralized
Mortgage
Obligation
COF11
The
11th
district
monthly
weighted
average
cost
of
funds
index
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
14
.
.
.
.
.
.
.
.
.
.
CPI
Consumer
Price
Index
EUR
Euro
FRN
Floating
Rate
Note
GBP
British
Pound
GO
General
Obligation
NZD
New
Zealand
Dollar
SOFR30A
30-day
Average
SOFR
(Secured
Overnight
Financing
Rate)
STEP
Stepped
coupon
bond
for
which
the
coupon
rate
of
interest
adjusts
on
specified
date(s);
rate
shown
is
effective
rate
at
period-end.
TBA
To-Be-Announced
UMBS
Uniform
Mortgage-Backed
Securities
USD
U.S.
Dollar
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.
VRDN
Variable
Rate
Demand
Note
under
which
the
holder
has
the
right
to
sell
the
security
to
the
issuer
or
the
issuer’s
agent
at
a
predetermined
price
on
specified
dates;
such
specified
dates
are
considered
the
effective
maturity
for
purposes
of
the
fund’s
weighted
average
maturity;
rate
shown
is
effective
rate
at
period-end
and
maturity
date
shown
is
final
maturity.
Certain
VRDN
rates
are
not
based
on
a
published
reference
rate
and
spread
but
may
adjust
periodically.
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
15
(Amounts
in
000s)
SWAPS
0.8%
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
BILATERAL
SWAPS
0.8%
Zero-Coupon
Inflation
Swaps
0.8%
Bank
of
America,
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.60%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
2/21/23
148,955
6,896
—
6,896
Barclays
Bank,
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.49%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
8/29/22
20,000
962
—
962
Citibank,
2
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.38%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
10/7/21
147,826
5,476
—
5,476
Citibank,
2
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.41%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
10/9/21
295,724
10,881
—
10,881
Citibank,
2
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.71%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
12/16/21
134,000
4,684
—
4,684
Citibank,
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.42%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
10/7/22
147,805
7,438
—
7,438
Citibank,
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.43%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
10/8/22
73,903
3,700
—
3,700
Citibank,
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.44%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
10/8/22
73,902
3,698
—
3,698
Citibank,
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.49%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
2/26/23
84,383
4,206
—
4,206
Citibank,
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.59%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
2/20/23
117,403
5,462
—
5,462
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
16
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Citibank,
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.59%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
2/18/23
66,385
3,056
—
3,056
Citibank,
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.60%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
2/18/23
90,615
4,161
—
4,161
Goldman
Sachs,
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.61%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
2/21/23
122,539
5,654
—
5,654
UBS
Investment
Bank,
5
Year
Zero-
Coupon
Inflation
Swap,
Pay
Fixed
2.29%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
6/5/23
201,300
4,574
—
4,574
Total
Bilateral
Zero-Coupon
Inflation
Swaps
—
70,848
Total
Bilateral
Swaps
—
70,848
Description
Notional
Amount
$
Value
Initial
$
Value
Unrealized
$
Gain/(Loss)
CENTRALLY
CLEARED
SWAPS
0.0%
Zero-Coupon
Inflation
Swaps
0.0%
2
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
3.14%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
8/3/23
153,500
330
—
330
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.56%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
2/25/23
91,720
4,342
—
4,342
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.94%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
8/3/24
94,034
273
1
272
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.95%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
8/3/24
61,134
143
—
143
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
17
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Initial
$
Value
Unrealized
$
Gain/(Loss)
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.96%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
8/2/24
158,669
379
—
379
Total
Centrally
Cleared
Zero-Coupon
Inflation
Swaps
5,466
Total
Centrally
Cleared
Swaps
5,466
Net
payments
(receipts)
of
variation
margin
to
date
(6,309)
Variation
margin
receivable
(payable)
on
centrally
cleared
swaps
$
(843)
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
18
(Amounts
in
000s)
FORWARD
CURRENCY
EXCHANGE
CONTRACTS
Counterparty
Settlement
Receive
Deliver
Unrealized
Gain/(Loss)
Canadian
Imperial
Bank
of
Commerce
10/22/21
CAD
11,745
USD
9,135
$
173
Canadian
Imperial
Bank
of
Commerce
10/22/21
USD
9,302
CAD
11,745
(7)
Citibank
10/22/21
AUD
12,805
USD
9,130
240
Citibank
10/22/21
NZD
13,405
USD
9,150
295
Citibank
10/22/21
USD
9,290
AUD
12,805
(80)
Goldman
Sachs
10/22/21
USD
9,314
NZD
13,405
(130)
Goldman
Sachs
11/19/21
GBP
6,710
USD
9,139
88
Morgan
Stanley
11/19/21
EUR
7,830
USD
9,161
98
Morgan
Stanley
11/19/21
USD
9,209
EUR
7,830
(50)
Morgan
Stanley
11/19/21
USD
9,199
GBP
6,710
(28)
Net
unrealized
gain
(loss)
on
open
forward
currency
exchange
contracts
$
599
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
19
FUTURES
CONTRACTS
($000s)
Expiration
Date
Notional
Amount
Value
and
Unrealized
Gain
(Loss)
Long,
1,476
U.S.
Treasury
Notes
five
year
contracts
12/21
182,609
$
113
Long,
2,773
U.S.
Treasury
Notes
ten
year
contracts
12/21
370,065
105
Long,
91
U.S.
Treasury
Notes
two
year
contracts
12/21
20,050
12
Net
payments
(receipts)
of
variation
margin
to
date
(459)
Variation
margin
receivable
(payable)
on
open
futures
contracts
$
(229)
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
20
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,
2021.
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,
0.05%
$
—
$
—
$
14
T.
Rowe
Price
Short-Term
Fund,
0.07%
—
—
—++
Totals
$
—#
$
—
$
14+
Supplementary
Investment
Schedule
Affiliate
Value
05/31/21
Purchase
Cost
Sales
Cost
Value
08/31/21
T.
Rowe
Price
Government
Reserve
Fund,
0.05%
$
46,888
¤
¤
$
75,799
T.
Rowe
Price
Short-Term
Fund,
0.07%
23,289
¤
¤
162,135
Total
$
237,934^
#
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
$14
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
$237,934.
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
Unaudited
Notes
to
Portfolio
of
Investments
21
T.
Rowe
Price
Limited
Duration
Inflation
Focused
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
Limited
Duration
Inflation
Focused
Bond
Fund
22
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.
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
Valuation
Committee
are
primarily
private
placements,
restricted
securities,
warrants,
rights,
and
other
securities
that
are
not
publicly
traded.
Factors
used
in
determining
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
23
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.
Valuation
Inputs
The
following
table
summarizes
the
fund’s
financial
instruments,
based
on
the
inputs
used
to
determine
their
fair
values
on
August
31,
2021
(for
further
detail
by
category,
please
refer
to
the
accompanying
Portfolio
of
Investments):
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
24
F161-054Q1
08/21
($000s)
Level
1
Level
2
Level
3
Total
Value
Assets
Fixed
Income
Securities
1
$
—
$
9,066,105
$
—
$
9,066,105
Short-Term
Investments
75,799
—
—
75,799
Securities
Lending
Collateral
162,135
—
—
162,135
Total
Securities
237,934
9,066,105
—
9,304,039
Swaps*
—
76,314
—
76,314
Forward
Currency
Exchange
Contracts
—
894
—
894
Futures
Contracts*
230
—
—
230
Total
$
238,164
$
9,143,313
$
—
$
9,381,477
Liabilities
Forward
Currency
Exchange
Contracts
$
—
$
295
$
—
$
295
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.