T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
August
31,
2022
(Unaudited)
1
Portfolio
of
Investments
‡
Par/Shares
$
Value
(Amounts
in
000s)
‡
ASSET-BACKED
SECURITIES
1.8%
Auto
Backed
0.4%
AmeriCredit
Automobile
Receivables
Trust
Series 2020-3,
Class
C
1.06%,
8/18/26
4,965
4,707
Carvana
Auto
Receivables
Trust
Series 2022-P1,
Class
A4
3.52%,
2/10/28
9,880
9,404
Santander
Drive
Auto
Receivables
Trust
Series 2020-4,
Class
C
1.01%,
1/15/26
8,070
7,970
Santander
Retail
Auto
Lease
Trust
Series 2019-C,
Class
C
2.39%,
11/20/23 (1)
4,158
4,155
26,236
Collaterized
Debt
Obligation
1.0%
Barings
Series 2013-IA,
Class
AR,
CLO,
FRN
3M
USD
LIBOR
+
0.80%,
3.51%,
1/20/28 (1)
9,647
9,551
KKR
Series 13,
Class
A1R,
CLO,
FRN
3M
USD
LIBOR
+
0.80%,
3.54%,
1/16/28 (1)
3,257
3,239
KKR
Series 13,
Class
B1R,
CLO,
FRN
3M
USD
LIBOR
+
1.15%,
3.89%,
1/16/28 (1)
3,420
3,356
Madison
Park
Funding
XXXVII
Series 2019-37A,
Class
AR,
CLO,
FRN
3M
USD
LIBOR
+
1.07%,
3.582%,
7/15/33 (1)
6,780
6,660
Magnetite
XVI
Series 2015-16A,
Class
AR,
CLO,
FRN
3M
USD
LIBOR
+
0.80%,
3.54%,
1/18/28 (1)
21,795
21,497
Magnetite
XXV
Series 2020-25A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.20%,
3.983%,
1/25/32 (1)
8,400
8,287
OZLM
VIII
Series 2014-8A,
Class
A1R3,
CLO,
FRN
3M
USD
LIBOR
+
0.98%,
3.72%,
10/17/29 (1)
24,254
24,023
76,613
Other
Asset-Backed
Securities
0.3%
BRE
Grand
Islander
Timeshare
Issuer
Series 2019-A,
Class
A
3.28%,
9/26/33 (1)
2,063
1,966
Elara
HGV
Timeshare
Issuer
Series 2017-A,
Class
A
2.69%,
3/25/30 (1)
1,151
1,115
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
1
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
2
Par/Shares
$
Value
(Amounts
in
000s)
‡
HPEFS
Equipment
Trust
Series 2021-2A,
Class
C
0.88%,
9/20/28 (1)
11,555
10,909
Santander
Retail
Auto
Lease
Trust
Series 2022-A,
Class
B
1.61%,
1/20/26 (1)
6,005
5,610
Sierra
Timeshare
Receivables
Funding
Series 2019-3A,
Class
A
2.34%,
8/20/36 (1)
1,882
1,797
21,397
Student
Loan
0.1%
Navient
Private
Education
Refi
Loan
Trust
Series 2019-GA,
Class
A
2.40%,
10/15/68 (1)
5,415
5,166
Navient
Private
Education
Refi
Loan
Trust
Series 2021-EA,
Class
A
0.97%,
12/16/69 (1)
5,723
5,018
10,184
Total
Asset-Backed
Securities
(Cost
$138,353)
134,430
CORPORATE
BONDS
1.6%
Automotive
0.1%
Nissan
Motor
Acceptance,
1.125%,
9/16/24 (1)
4,471
4,134
4,134
Banking
0.3%
Credit
Suisse,
4.75%,
8/9/24
18,635
18,563
18,563
Cable
Operators
0.0%
Charter
Communications
Operating,
4.908%,
7/23/25
3,715
3,706
3,706
Drugs
0.1%
Viatris,
1.65%,
6/22/25
8,585
7,825
7,825
Health
Care
0.3%
HCA,
5.375%,
2/1/25
18,390
18,574
18,574
Insurance
0.1%
MassMutual
Global
Funding
II,
4.15%,
8/26/25 (1)
5,172
5,159
5,159
Oil
Field
Services
0.1%
Energy
Transfer,
2.90%,
5/15/25
9,820
9,304
9,304
Utilities
0.4%
Edison
International,
4.70%,
8/15/25
18,040
17,851
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
3
Par/Shares
$
Value
(Amounts
in
000s)
‡
NextEra
Energy
Capital
Holdings,
4.255%,
9/1/24
12,145
12,137
29,988
Wireless
Communications
0.2%
Sprint,
7.125%,
6/15/24
15,990
16,510
16,510
Total
Corporate
Bonds
(Cost
$114,341)
113,763
FOREIGN
GOVERNMENT
OBLIGATIONS
&
MUNICIPALITIES
0.1%
Financial
0.1%
DAE
Funding,
1.55%,
8/1/24 (1)
5,500
5,145
Total
Foreign
Government
Obligations
&
Municipalities
(Cost
$5,481)
5,145
MUNICIPAL
SECURITIES
0.5%
California
0.0%
California
State
Univ.,
Series B,
0.563%,
11/1/24
4,220
3,935
3,935
Colorado
0.0%
Denver
City
&
County
Airport
System,
Series C,
0.877%,
11/15/23
785
758
Denver
City
&
County
Airport
System,
Series C,
1.115%,
11/15/24
1,225
1,156
1,914
Georgia
0.0%
Atlanta
Water
&
Wastewater,
0.271%,
11/1/22
670
667
Atlanta
Water
&
Wastewater,
0.407%,
11/1/23
670
645
Atlanta
Water
&
Wastewater,
0.616%,
11/1/24
670
626
1,938
Illinois
0.3%
Illinois,
Series A,
GO,
2.84%,
10/1/23
20,095
19,785
19,785
Michigan
0.1%
Michigan
Fin.
Auth.,
Series A-1,
1.086%,
6/1/23
1,450
1,413
Michigan
Fin.
Auth.,
Series A-1,
1.376%,
6/1/24
3,425
3,229
4,642
New
York
0.0%
New
York
Transportation
Dev.,
Terminal
4
JFK
Int'l.
Airport,
Series B,
1.61%,
12/1/22
715
712
712
Texas
0.0%
Dallas
Area
Rapid
Transit,
0.397%,
12/1/22
670
666
Dallas
Area
Rapid
Transit,
0.541%,
12/1/23
485
467
Dallas
Area
Rapid
Transit,
0.761%,
12/1/24
380
356
1,489
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
4
Par/Shares
$
Value
(Amounts
in
000s)
‡
West
Virginia
0.1%
Tobacco
Settlement
Fin.
Auth.,
Class
1
Senior
Bonds,
Series A,
1.193%,
6/1/23
2,000
1,961
Tobacco
Settlement
Fin.
Auth.,
Class
1
Senior
Bonds,
Series A,
1.497%,
6/1/24
2,680
2,563
4,524
Total
Municipal
Securities
(Cost
$40,140)
38,939
NON-U.S.
GOVERNMENT
MORTGAGE-BACKED
SECURITIES
4.4%
Commercial
Mortgage-Backed
Securities
0.5%
Atrium
Hotel
Portfolio
Trust
Series 2017-ATRM,
Class
A,
ARM
1M
USD
LIBOR
+
0.93%,
3.321%,
12/15/36 (1)
8,480
8,289
Atrium
Hotel
Portfolio
Trust
Series 2017-ATRM,
Class
B,
ARM
1M
USD
LIBOR
+
1.50%,
3.891%,
12/15/36 (1)
12,725
12,280
Atrium
Hotel
Portfolio
Trust
Series 2017-ATRM,
Class
C,
ARM
1M
USD
LIBOR
+
1.65%,
4.041%,
12/15/36 (1)
3,860
3,706
BX
Commercial
Mortgage
Trust
Series 2019-IMC,
Class
C,
ARM
1M
USD
LIBOR
+
1.60%,
3.991%,
4/15/34 (1)
11,895
11,419
New
Orleans
Hotel
Trust
Series 2019-HNLA,
Class
C,
ARM
1M
USD
LIBOR
+
1.589%,
3.98%,
4/15/32 (1)
3,488
3,300
38,994
Home
Equity
Loans
Backed
0.2%
Flagstar
Mortgage
Trust
Series 2021-5INV,
Class
A5,
CMO,
ARM
2.50%,
7/25/51 (1)
12,228
11,132
11,132
Whole
Loans
Backed
3.7%
Angel
Oak
Mortgage
Trust
I
Series 2019-2,
Class
A1,
CMO,
ARM
3.628%,
3/25/49 (1)
108
107
Bayview
Mortgage
Fund
IVc
Trust
Series 2017-RT3,
Class
A,
ARM
3.50%,
1/28/58 (1)
6,063
5,921
Bayview
MSR
Opportunity
Master
Fund
Trust
Series 2021-2,
Class
A5,
CMO,
ARM
2.50%,
6/25/51 (1)
11,520
10,474
COLT
Funding
Series 2021-6,
Class
A1,
CMO,
ARM
1.907%,
12/25/66 (1)
18,730
16,822
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
5
Par/Shares
$
Value
(Amounts
in
000s)
‡
Connecticut
Avenue
Securities
Series 2017-C02,
Class
2ED3,
CMO,
ARM
1M
USD
LIBOR
+
1.35%,
3.794%,
9/25/29
742
741
Connecticut
Avenue
Securities
Series 2017-C04,
Class
2ED2,
CMO,
ARM
1M
USD
LIBOR
+
1.10%,
3.544%,
11/25/29
10,791
10,728
Connecticut
Avenue
Securities
Series 2017-C05,
Class
1ED3,
CMO,
ARM
1M
USD
LIBOR
+
1.20%,
3.644%,
1/25/30
604
603
Connecticut
Avenue
Securities
Series 2017-C06,
Class
1M2B,
CMO,
ARM
1M
USD
LIBOR
+
2.65%,
5.094%,
2/25/30
6,641
6,652
Connecticut
Avenue
Securities
Series 2018-C03,
Class
1EB2,
CMO,
ARM
1M
USD
LIBOR
+
0.85%,
3.294%,
10/25/30
12,412
12,353
Connecticut
Avenue
Securities
Series 2018-C03,
Class
1ED2,
CMO,
ARM
1M
USD
LIBOR
+
0.85%,
3.294%,
10/25/30
777
773
Connecticut
Avenue
Securities
Trust
Series 2022-R01,
Class
1M1,
CMO,
ARM
SOFR30A
+
1.00%,
3.183%,
12/25/41 (1)
11,523
11,382
CSMC
Trust
Series 2021-RPL6,
Class
A1,
CMO,
ARM
2.00%,
10/25/60 (1)
9,967
9,026
Freddie
Mac
Whole
Loan
Securities
Trust
Series 2017-SC01,
Class
M1,
CMO,
ARM
3.654%,
12/25/46 (1)
1,000
971
Galton
Funding
Mortgage
Trust
Series 2018-1,
Class
A23,
CMO,
ARM
3.50%,
11/25/57 (1)
905
853
Galton
Funding
Mortgage
Trust
Series 2018-2,
Class
A31,
CMO,
ARM
4.50%,
10/25/58 (1)
975
947
Galton
Funding
Mortgage
Trust
Series 2020-H1,
Class
A3,
CMO,
ARM
2.617%,
1/25/60 (1)
6,188
5,900
GS
Mortgage-Backed
Securities
Trust
Series 2014-EB1A,
Class
2A1,
CMO,
ARM
1.945%,
7/25/44 (1)
117
117
GS
Mortgage-Backed
Securities
Trust
Series 2021-PJ6,
Class
A8,
CMO,
ARM
2.50%,
11/25/51 (1)
21,211
19,011
GS
Mortgage-Backed
Securities
Trust
Series 2022-GR1,
Class
A5,
CMO,
ARM
2.50%,
6/25/52 (1)
24,280
21,871
JPMorgan
Mortgage
Trust
Series 2019-INV2,
Class
A3,
CMO,
ARM
3.50%,
2/25/50 (1)
905
858
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
6
Par/Shares
$
Value
(Amounts
in
000s)
‡
MetLife
Securitization
Trust
Series 2017-1A,
Class
A,
CMO,
ARM
3.00%,
4/25/55 (1)
2,575
2,481
MetLife
Securitization
Trust
Series 2018-1A,
Class
A,
CMO,
ARM
3.75%,
3/25/57 (1)
7,084
6,826
Mill
City
Mortgage
Loan
Trust
Series 2017-2,
Class
A1,
CMO,
ARM
2.75%,
7/25/59 (1)
1,129
1,119
New
Residential
Mortgage
Loan
Trust
Series 2019-NQM5,
Class
A3,
CMO,
ARM
3.065%,
11/25/59 (1)
1,938
1,825
NYMT
Loan
Trust
Series 2022-CP1,
Class
A1,
CMO
2.042%,
7/25/61 (1)
10,741
10,045
OBX
Trust
Series 2019-EXP1,
Class
1A3,
CMO,
ARM
4.00%,
1/25/59 (1)
1,470
1,399
OBX
Trust
Series 2019-EXP3,
Class
2A1,
CMO,
ARM
1M
USD
LIBOR
+
0.90%,
3.344%,
10/25/59 (1)
1,286
1,253
OBX
Trust
Series 2019-EXP3,
Class
2A2,
CMO,
ARM
1M
USD
LIBOR
+
1.10%,
3.544%,
10/25/59 (1)
1,168
1,141
OBX
Trust
Series 2020-EXP1,
Class
1A9,
CMO,
ARM
3.50%,
2/25/60 (1)
2,652
2,459
OBX
Trust
Series 2020-EXP1,
Class
2A1,
CMO,
ARM
1M
USD
LIBOR
+
0.75%,
3.194%,
2/25/60 (1)
825
801
OBX
Trust
Series 2020-INV1,
Class
A21,
CMO,
ARM
3.50%,
12/25/49 (1)
1,309
1,233
OBX
Trust
Series 2022-NQM1,
Class
A1,
CMO,
ARM
2.305%,
11/25/61 (1)
9,032
8,174
Oceanview
Mortgage
Trust
Series 2022-1,
Class
A5,
CMO,
ARM
2.50%,
12/25/51 (1)
11,403
10,272
Sequoia
Mortgage
Trust
Series 2018-CH1,
Class
A2,
CMO,
ARM
3.50%,
3/25/48 (1)
958
903
Sequoia
Mortgage
Trust
Series 2018-CH2,
Class
A3,
CMO,
ARM
4.00%,
6/25/48 (1)
778
755
Sequoia
Mortgage
Trust
Series 2018-CH3,
Class
A2,
CMO,
ARM
4.00%,
8/25/48 (1)
347
343
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
7
Par/Shares
$
Value
(Amounts
in
000s)
‡
SG
Residential
Mortgage
Trust
Series 2019-3,
Class
A3,
CMO,
ARM
3.082%,
9/25/59 (1)
1,886
1,854
SG
Residential
Mortgage
Trust
Series 2021-1,
Class
A1,
CMO,
ARM
1.16%,
7/25/61 (1)
13,208
11,329
Starwood
Mortgage
Residential
Trust
Series 2020-1,
Class
A3,
CMO,
ARM
2.562%,
2/25/50 (1)
4,722
4,522
Structured
Agency
Credit
Risk
Debt
Notes
Series 2022-DNA1,
Class
M1A,
CMO,
ARM
SOFR30A
+
1.00%,
3.183%,
1/25/42 (1)
20,249
19,802
Towd
Point
Mortgage
Trust
Series 2016-1,
Class
A3B,
CMO,
ARM
3.00%,
2/25/55 (1)
67
67
Towd
Point
Mortgage
Trust
Series 2017-1,
Class
A1,
CMO,
ARM
2.75%,
10/25/56 (1)
799
792
Towd
Point
Mortgage
Trust
Series 2017-2,
Class
A1,
CMO,
ARM
2.75%,
4/25/57 (1)
701
695
Towd
Point
Mortgage
Trust
Series 2017-4,
Class
A1,
CMO,
ARM
2.75%,
6/25/57 (1)
5,698
5,518
Towd
Point
Mortgage
Trust
Series 2017-6,
Class
A1,
CMO,
ARM
2.75%,
10/25/57 (1)
8,490
8,244
Towd
Point
Mortgage
Trust
Series 2018-1,
Class
A1,
CMO,
ARM
3.00%,
1/25/58 (1)
1,581
1,544
Towd
Point
Mortgage
Trust
Series 2018-5,
Class
A1A,
CMO,
ARM
3.25%,
7/25/58 (1)
2,244
2,191
Verus
Securitization
Trust
Series 2019-INV3,
Class
A3,
CMO,
ARM
3.10%,
11/25/59 (1)
4,333
4,186
Verus
Securitization
Trust
Series 2020-1,
Class
A3,
CMO,
STEP
2.724%,
1/25/60 (1)
5,384
5,237
Verus
Securitization
Trust
Series 2021-3,
Class
A1,
CMO,
ARM
1.046%,
6/25/66 (1)
11,457
10,149
Verus
Securitization
Trust
Series 2021-8,
Class
A2,
CMO,
ARM
2.286%,
11/25/66 (1)
4,858
4,334
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
8
Par/Shares
$
Value
(Amounts
in
000s)
‡
Wells
Fargo
Mortgage
Backed
Securities
Trust
Series 2021-RR1,
Class
A3,
CMO,
ARM
2.50%,
12/25/50 (1)
9,382
8,447
276,050
Total
Non-U.S.
Government
Mortgage-Backed
Securities
(Cost
$349,882)
326,176
U.S.
GOVERNMENT
&
AGENCY
MORTGAGE-BACKED
SECURITIES
0.0%
U.S.
Government
Agency
Obligations
0.0%
Federal
Home
Loan
Mortgage,
ARM
12M
USD
LIBOR
+
1.625%,
3.875%,
7/1/38
7
7
12M
USD
LIBOR
+
1.961%,
2.461%,
2/1/33
—
—
12M
USD
LIBOR
+
1.982%,
2.268%,
2/1/34
1
1
12M
USD
LIBOR
+
2.03%,
2.275%,
11/1/36
16
17
1Y
CMT
+
2.219%,
2.344%,
10/1/33
—
—
Federal
National
Mortgage
Assn.,
ARM
12M
USD
LIBOR
+
1.34%,
1.59%,
12/1/35
4
5
12M
USD
LIBOR
+
1.584%,
1.834%,
12/1/35
11
11
12M
USD
LIBOR
+
1.671%,
2.046%,
2/1/33
—
—
12M
USD
LIBOR
+
1.687%,
2.84%,
7/1/34
1
1
12M
USD
LIBOR
+
1.715%,
1.965%,
10/1/32
-
12/1/32
15
15
12M
USD
LIBOR
+
1.726%,
1.976%,
9/1/32
1
1
12M
USD
LIBOR
+
1.77%,
2.145%,
12/1/35
1
2
12M
USD
LIBOR
+
1.78%,
2.03%,
1/1/34
5
5
12M
USD
LIBOR
+
1.83%,
3.172%,
8/1/38
8
8
12M
USD
LIBOR
+
1.853%,
4.103%,
8/1/38
6
6
12M
USD
LIBOR
+
1.892%,
2.142%,
12/1/35
4
4
1Y
CMT
+
2.00%,
2.125%,
1/1/35
—
—
1Y
CMT
+
2.125%,
3.875%,
7/1/33
—
—
ECOFC
+
1.254%,
2.358%,
7/1/27
—
—
Federal
National
Mortgage
Assn.,
CMO,
STEP,
5.11%,
1/25/32
—
—
Federal
National
Mortgage
Assn.,
UMBS,
7.00%,
10/1/23
—
—
83
U.S.
Government
Obligations
0.0%
Government
National
Mortgage
Assn.
8.50%,
7/15/24
-
6/20/27
22
22
Government
National
Mortgage
Assn.,
CMO,
3.50%,
5/20/49
3,047
2,964
2,986
Total
U.S.
Government
&
Agency
Mortgage-Backed
Securities
(Cost
$3,176)
3,069
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
9
Par/Shares
$
Value
(Amounts
in
000s)
‡
U.S.
GOVERNMENT
AGENCY
OBLIGATIONS
(EXCLUDING
MORTGAGE-BACKED)
89.1%
U.S.
Treasury
Obligations
89.1%
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
7/15/24
80,047
78,834
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
10/15/24
518,670
510,404
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
4/15/25 (2)
891,884
872,792
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
10/15/25
840,024
823,880
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
4/15/26
282,292
275,367
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
7/15/26
96,790
94,779
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
10/15/26
336,017
328,300
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
4/15/27
1,836,142
1,782,492
U.S.
Treasury
Inflation-Indexed
Notes,
0.25%,
1/15/25
590,215
580,900
U.S.
Treasury
Inflation-Indexed
Notes,
0.375%,
7/15/23
315,112
312,108
U.S.
Treasury
Inflation-Indexed
Notes,
0.375%,
7/15/27
200,611
197,633
U.S.
Treasury
Inflation-Indexed
Notes,
0.50%,
4/15/24
225,351
222,887
U.S.
Treasury
Inflation-Indexed
Notes,
0.625%,
1/15/26
396,851
394,122
U.S.
Treasury
Inflation-Indexed
Notes,
0.625%,
7/15/32
97,386
96,731
Total
U.S.
Government
Agency
Obligations
(Excluding
Mortgage-Backed)
(Cost
$6,824,276)
6,571,229
SHORT-TERM
INVESTMENTS
0.6%
Money
Market
Funds
0.6%
T.
Rowe
Price
Government
Reserve
Fund,
2.36% (3)(4)
45,597
45,597
Total
Short-Term
Investments
(Cost
$45,597)
45,597
(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 (5)
1,268
148,237
733
Total
Options
Purchased
(Cost
$624)
733
Total
Investments
in
Securities
98.1%
(Cost
$7,521,870)
$
7,239,081
Other
Assets
Less
Liabilities
1.9%
138,854
Net
Assets
100.0%
$
7,377,935
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
10
‡
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
$421,113
and
represents
5.7%
of
net
assets.
(2)
At
August
31,
2022,
all
or
a
portion
of
this
security
is
pledged
as
collateral
and/
or
margin
deposit
to
cover
future
funding
obligations.
(3)
Seven-day
yield
(4)
Affiliated
Companies
(5)
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)
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
CLO
Collateralized
Loan
Obligation
CMO
Collateralized
Mortgage
Obligation
CPI
Consumer
Price
Index
ECOFC
Enterprise
11th
District
COFI
Replacement
Index
FRN
Floating
Rate
Note
GO
General
Obligation
NZD
New
Zealand
Dollar
SEK
Swedish
Krona
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.
UMBS
Uniform
Mortgage-Backed
Securities
USD
U.S.
Dollar
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
11
(Amounts
in
000s)
SWAPS
1.9%
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
BILATERAL
SWAPS
1.6%
Zero-Coupon
Inflation
Swaps
1.6%
Bank
of
America,
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.600%
at
maturity,
Receive
Variable
(Change
in
CPI)
at
maturity,
2/21/23
148,955
15,262
—
15,262
Citibank,
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.422%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
10/7/22
147,805
16,360
—
16,360
Citibank,
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.434%
at
maturity,
Receive
Variable
(Change
in
CPI)
at
maturity,
10/8/22
73,903
8,124
—
8,124
Citibank,
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.435%
at
maturity,
Receive
Variable
(Change
in
CPI)
at
maturity,
10/8/22
73,903
8,122
—
8,122
Citibank,
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.487%
at
maturity,
Receive
Variable
(Change
in
CPI)
at
maturity,
2/26/23
84,383
8,985
—
8,985
Citibank,
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.592%
at
maturity,
Receive
Variable
(Change
in
CPI)
at
maturity,
2/20/23
117,403
12,045
—
12,045
Citibank,
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.593%
at
maturity,
Receive
Variable
(Change
in
CPI)
at
maturity,
2/18/23
66,385
6,778
—
6,778
Citibank,
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.596%
at
maturity,
Receive
Variable
(Change
in
CPI)
at
maturity,
2/18/23
90,615
9,242
—
9,242
Goldman
Sachs,
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.605%
at
maturity,
Receive
Variable
(Change
in
CPI)
at
maturity,
2/21/23
122,539
12,537
—
12,537
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
12
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
UBS
Investment
Bank,
5
Year
Zero-
Coupon
Inflation
Swap
Pay
Fixed
2.290%
at
maturity,
Receive
Variable
(Change
in
CPI)
at
maturity,
6/5/23
201,300
16,961
12,316
4,645
Total
Bilateral
Zero-Coupon
Inflation
Swaps
12,316
102,100
Total
Bilateral
Swaps
12,316
102,100
Description
Notional
Amount
$
Value
Initial
$
Value
Unrealized
$
Gain/(Loss)
CENTRALLY
CLEARED
SWAPS
0.3%
Zero-Coupon
Inflation
Swaps
0.3%
2
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
3.113%
at
maturity,
Receive
Variable
(Change
in
CPI)
at
maturity,
8/22/24
77,055
79
—
79
2
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
3.129%
at
maturity,
Receive
Variable
(Change
in
CPI)
at
maturity,
8/22/24
77,055
56
1
55
2
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
3.135%
at
maturity,
Receive
Variable
(Change
in
CPI)
at
maturity,
8/3/23
153,500
9,331
—
9,331
2
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
3.320%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
8/30/24
77,055
(447)
—
(447)
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.563%
at
maturity,
Receive
Variable
(Change
in
CPI)
at
maturity,
2/25/23
91,720
9,540
—
9,540
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.953%
at
maturity,
Receive
Variable
(Change
in
CPI)
at
maturity,
8/3/24
61,134
4,151
—
4,151
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.960%
at
maturity,
Receive
Variable
(Change
in
CPI)
at
maturity,
8/2/24
39,667
2,695
—
2,695
Total
Centrally
Cleared
Zero-Coupon
Inflation
Swaps
25,404
Total
Centrally
Cleared
Swaps
25,404
Net
payments
(receipts)
of
variation
margin
to
date
(25,529)
Variation
margin
receivable
(payable)
on
centrally
cleared
swaps
$
(125)
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
13
(Amounts
in
000s)
FORWARD
CURRENCY
EXCHANGE
CONTRACTS
Counterparty
Settlement
Receive
Deliver
Unrealized
Gain/(Loss)
Bank
of
America
10/21/22
USD
18,743
AUD
26,955
$
285
Citibank
9/23/22
USD
18,367
SEK
185,775
920
Goldman
Sachs
10/21/22
NZD
12,070
USD
7,654
(270)
Goldman
Sachs
10/21/22
USD
7,556
NZD
12,070
172
HSBC
Bank
10/21/22
AUD
26,955
USD
18,966
(509)
HSBC
Bank
10/21/22
NZD
30,080
USD
18,871
(468)
HSBC
Bank
10/21/22
USD
18,711
NZD
30,080
309
Morgan
Stanley
9/23/22
SEK
185,775
USD
18,309
(862)
Net
unrealized
gain
(loss)
on
open
forward
currency
exchange
contracts
$
(423)
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
14
FUTURES
CONTRACTS
($000s)
Expiration
Date
Notional
Amount
Value
and
Unrealized
Gain
(Loss)
Long,
1,513
U.S.
Treasury
Notes
five
year
contracts
12/22
167,671
$
(581)
Short,
4,964
U.S.
Treasury
Notes
ten
year
contracts
12/22
(580,323)
2,287
Long,
2,853
U.S.
Treasury
Notes
two
year
contracts
12/22
594,360
(813)
Short,
272
Ultra
U.S.
Treasury
Notes
ten
year
contracts
12/22
(34,051)
164
Short,
1,491
Three
month
SOFR
contracts
3/23
(358,790)
668
Long,
1,491
Three
month
SOFR
contracts
3/24
359,797
(769)
Net
payments
(receipts)
of
variation
margin
to
date
146
Variation
margin
receivable
(payable)
on
open
futures
contracts
$
1,102
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
15
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%
$
—#
$
—
$
1,558+
Supplementary
Investment
Schedule
Affiliate
Value
05/31/22
Purchase
Cost
Sales
Cost
Value
08/31/22
T.
Rowe
Price
Government
Reserve
Fund,
2.36%
$
296,534
¤
¤
$
45,597^
#
Capital
gain
distributions
from
mutual
funds
represented
$0
of
the
net
realized
gain
(loss).
+
Investment
income
comprised
$1,558
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
$45,597.
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
Unaudited
Notes
to
Portfolio
of
Investments
16
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
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
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
17
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
denominated
in
foreign
currencies
are
translated
into
U.S.
dollar
values
each
day
at
the
prevailing
exchange
rate,
using
the
mean
of
the
bid
and
asked
prices
of
such
currencies
against
U.S.
dollars
as
provided
by
an
outside
pricing
service.
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.
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
18
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
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
Limited
Duration
Inflation
Focused
Bond
Fund
19
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):
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.
($000s)
Level
1
Level
2
Level
3
Total
Value
Assets
Fixed
Income
Securities
1
$
—
$
7,192,751
$
—
$
7,192,751
Short-Term
Investments
45,597
—
—
45,597
Options
Purchased
733
—
—
733
Total
Securities
46,330
7,192,751
—
7,239,081
Swaps*
—
140,267
—
140,267
Forward
Currency
Exchange
Contracts
—
1,686
—
1,686
Futures
Contracts*
3,119
—
—
3,119
Total
$
49,449
$
7,334,704
$
—
$
7,384,153
Liabilities
Swaps*
$
—
$
447
$
—
$
447
Forward
Currency
Exchange
Contracts
—
2,109
—
2,109
Futures
Contracts*
2,163
—
—
2,163
Total
$
2,163
$
2,556
$
—
$
4,719
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
Limited
Duration
Inflation
Focused
Bond
Fund
20
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.
F161-054Q1
08/22