T. ROWE PRICE FLOATING RATE FUND
February 29, 2020 (Unaudited)
| | |
| Portfolio of Investments‡ | Par/Shares | $ Value |
| (Amounts in 000s) | | |
| CORPORATE BONDS 5.8% | | |
| Automotive 0.1% | | |
| Panther BF Aggregator 2, 6.25%, 5/15/26 (1) | 2,560 | 2,634 |
| | | 2,634 |
| Banking 0.4% | | |
| Citizens Bank, FRN, 3M USD LIBOR + 0.72%, 2.424%, 2/14/22 | 2,000 | 2,012 |
| Goldman Sachs Group, FRN, 3M USD LIBOR + 0.78%, 2.557%, | | |
| 10/31/22 | 3,870 | 3,902 |
| JPMorgan Chase, FRN, 3M USD LIBOR + 1.00%, 2.831%, | | |
| 1/15/23 | 1,985 | 2,013 |
| | | 7,927 |
| |
| Beverages 0.1% | | |
| Anheuser-Busch InBev Worldwide, FRN, 3M USD LIBOR + | | |
| 0.74%, 2.588%, 1/12/24 | 3,000 | 3,033 |
| | | 3,033 |
| |
| Broadcasting 0.8% | | |
| Clear Channel Worldwide Holdings, 9.25%, 2/15/24 (1) | 7,095 | 7,538 |
| iHeartCommunications, 5.25%, 8/15/27 (1) | 1,260 | 1,307 |
| iHeartCommunications, 6.375%, 5/1/26 | 2,572 | 2,759 |
| iHeartCommunications, 8.375%, 5/1/27 | 5,164 | 5,603 |
| | | 17,207 |
| Cable Operators 0.7% | | |
| Altice France, 8.125%, 2/1/27 (1) | 2,000 | 2,175 |
| Charter Communications Operating, FRN, 3M USD LIBOR + | | |
| 1.65%, 3.413%, 2/1/24 | 5,100 | 5,267 |
| CSC Holdings, 6.625%, 10/15/25 (1) | 2,175 | 2,278 |
| CSC Holdings, 10.875%, 10/15/25 (1) | 2,904 | 3,187 |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE FLOATING RATE FUND
| | | |
| | | Par/Shares | $ Value |
| (Amounts in 000s) | | | |
| Ypso Finance, 10.50%, 5/15/27 (1) | | 2,850 | 3,270 |
| | | | 16,177 |
| Conglomerates 0.1% | | | |
| General Electric, FRN, 3M USD LIBOR + 1.00%, 2.831%, | | | |
| 4/15/23 | | 2,400 | 2,420 |
| | | | 2,420 |
| Container 0.1% | | | |
| Reynolds Group Issuer, FRN, 3M USD LIBOR + 3.50%, 5.331%, | | | |
| 7/15/21(1) | 1,915 | 1,910 |
| Trivium Packaging Finance, FRN, 3M EURIBOR + 3.75%, | | | |
| 3.75%, 8/15/26 (EUR) (1) | | 380 | 421 |
| | | | 2,331 |
| Drugs 0.3% | | | |
| AbbVie, FRN, 3M USD LIBOR + 0.65%, 2.346%, 11/21/22 (1) | | 3,000 | 3,027 |
| Bristol-Myers Squibb, FRN, 3M USD LIBOR + 0.38%, 2.072%, | | | |
| 5/16/22(1) | 3,935 | 3,952 |
| | | | 6,979 |
| Financial 0.3% | | | |
| Acrisure, 8.125%, 2/15/24 (1) | | 5,165 | 5,475 |
| DAE Funding, 4.00%, 8/1/20 (1) | | 1,760 | 1,767 |
| | | | 7,242 |
| Food 0.1% | | | |
| Kraft Heinz Foods, FRN, 3M USD LIBOR + 0.82%, 2.554%, | | | |
| 8/10/22 | | 2,855 | 2,841 |
| | | | 2,841 |
| Food Processing 0.2% | | | |
| General Mills, FRN, 3M USD LIBOR + 1.01%, 2.846%, 10/17/23 | | 4,360 | 4,442 |
| | | | 4,442 |
| The accompanying notes are an integral part of this Portfolio of Investments. | | | |
T. ROWE PRICE FLOATING RATE FUND
| | |
| | Par/Shares | $ Value |
| (Amounts in 000s) | | |
| Health Care 1.1% | | |
| Avantor, 6.00%, 10/1/24 (1) | 5,070 | 5,324 |
| Avantor, 9.00%, 10/1/25 (1) | 7,292 | 7,939 |
| Bausch Health, 5.75%, 8/15/27 (1) | 710 | 754 |
| Bausch Health, 7.00%, 3/15/24 (1) | 2,715 | 2,800 |
| Becton Dickinson & Company, FRN, 3M USD LIBOR + 1.03%, | | |
| 2.917%, 6/6/22 | 4,420 | 4,469 |
| RegionalCare Hospital Partners Holdings, 8.25%, 5/1/23 (1) | 300 | 314 |
| RegionalCare Hospital Partners Holdings, 11.50%, 5/1/24 (1) | 2,535 | 2,706 |
| | | 24,306 |
| Information Technology 0.5% | | |
| Refinitiv U.S. Holdings, 6.25%, 5/15/26 (1) | 1,800 | 1,935 |
| Solera, 10.50%, 3/1/24 (1) | 8,495 | 8,984 |
| | | 10,919 |
| Metals & Mining 0.2% | | |
| Arconic Rolled Products, 6.125%, 2/15/28 (1) | 1,390 | 1,425 |
| Big River Steel, 7.25%, 9/1/25 (1) | 2,230 | 2,252 |
| | | 3,677 |
| Retail 0.1% | | |
| CVS Health, FRN, 3M USD LIBOR + 0.72%, 2.605%, 3/9/21 | 2,495 | 2,504 |
| | | 2,504 |
| Satellites 0.3% | | |
| Intelsat Jackson Holdings, 9.50%, 9/30/22 (1) | 5,344 | 6,052 |
| | | 6,052 |
| Services 0.4% | | |
| ADT Security, 6.25%, 10/15/21 | 1,845 | 1,926 |
| The accompanying notes are an integral part of this Portfolio of Investments. | | |
T. ROWE PRICE FLOATING RATE FUND
| | | |
| | | Par/Shares | $ Value |
| (Amounts in 000s) | | | |
| Allied Universal Holdco, 6.625%, 7/15/26 (1) | | 3,210 | 3,367 |
| eG Global Finance, 6.75%, 2/7/25 (1) | | 2,735 | 2,697 |
| Presidio Holdings, 4.875%, 2/1/27 (1) | | 530 | 530 |
| | | | 8,520 |
| Total Corporate Bonds (Cost $127,830) | | | 129,211 |
| BANK LOANS 87.8%(2) | | | |
| Aerospace & Defense 1.4% | | | |
| AI Convoy Luxembourg, FRN, 1M USD LIBOR + 3.50%, 1/20/27 | | | |
| (3) | 2,710 | 2,676 |
| Dynasty Acquisition, FRN, 1M USD LIBOR + 3.50%, 5.213%, | | | |
| 4/6/26 | | 11,966 | 11,712 |
| TransDigm, FRN, 1M USD LIBOR + 2.25%, 3.853%, 12/9/25 (3) | | 16,953 | 16,550 |
| | | | 30,938 |
| Airlines 0.1% | | | |
| Kestrel Bidco, FRN, 3M USD LIBOR + 3.00%, 4.653%, 12/11/26 | | 2,235 | 2,149 |
| | | | 2,149 |
| Automotive 2.0% | | | |
| IAA, FRN, 3M USD LIBOR + 2.25%, 3.875%, 6/29/26 | | 2,240 | 2,229 |
| Kar Auction Services, FRN, 1M USD LIBOR + 2.25%, 3.938%, | | | |
| 9/19/26 | | 1,731 | 1,714 |
| Navistar, FRN, 3M USD LIBOR + 3.50%, 5.16%, 11/6/24 | | 3,246 | 3,205 |
| Panther BF Aggregator 2, FRN, 3M USD LIBOR + 3.50%, | | | |
| 5.103%, 4/30/26 | | 22,725 | 22,128 |
| Truck Hero, FRN, 3M USD LIBOR + 3.75%, 5.353%, 4/22/24 | | 2,661 | 2,616 |
| Truck Hero, FRN, 3M USD LIBOR + 8.25%, 9.853%, 4/21/25 (4) | | 980 | 931 |
| Wand NewCo 3, FRN, 1M USD LIBOR + 3.00%, 4.603%, 2/5/26 | | 11,896 | 11,648 |
| | | | 44,471 |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE FLOATING RATE FUND
| | | | |
| | | | Par/Shares | $ Value |
| | (Amounts in 000s) | | | |
| | Broadcasting 4.8% | | | |
| | Banijay Group U. S. Holding, FRN, 1M USD LIBOR + 3.75%, | | | |
| | 2/4/25(3)(4) | 2,535 | 2,491 |
| | Clear Channel Outdoor Holdings, FRN, 1M USD LIBOR + | | | |
| | 3.50%, 5.103%, 8/21/26 (3) | | 23,743 | 23,416 |
| | Diamond Sports Group, FRN, 1M USD LIBOR + 3.25%, 4.88%, | | | |
| | 8/24/26 | | 2,510 | 2,284 |
| | iHeartCommunications, FRN, 1M USD LIBOR + 3.00%, 5/1/26 | | | |
| | (3) | 10,390 | 10,182 |
| | iHeartCommunications, FRN, 1M USD LIBOR + 6.75%, 4/30/20 | | | |
| (3)(4)(5)(6) | | 750 | 547 |
| | Lions Gate Capital Holdings, FRN, 3M USD LIBOR + 2.25%, | | | |
| | 3.853%, 3/24/25 | | 2,825 | 2,740 |
| | NEP Group, FRN, 3M USD LIBOR + 3.25%, 4.853%, 10/20/25 | | 2,652 | 2,458 |
| | NEP Group, FRN, 3M USD LIBOR + 7.00%, 8.603%, 10/19/26 | | 3,660 | 3,221 |
| | Nexstar Broadcasting, FRN, 3M USD LIBOR + 2.25%, 3.853%, | | | |
| | 1/17/24 | | 3,454 | 3,430 |
| | Nexstar Broadcasting, FRN, 1M USD LIBOR + 2.75%, 4.405%, | | | |
| | 9/18/26 | | 6,843 | 6,774 |
| | Sinclair Television Group, FRN, 1M USD LIBOR + 2.50%, | | | |
| | 4.16%, 9/30/26 | | 7,736 | 7,581 |
| | Terrier Media Buyer, FRN, 1M USD LIBOR + 4.25%, 6.148%, | | | |
| | 12/17/26 | | 10,130 | 10,046 |
| | Townsquare Media, FRN, 3M USD LIBOR + 3.00%, 4.603%, | | | |
| | 4/1/22(3) | 11,414 | 11,272 |
| | Univision Communications, FRN, 3M USD LIBOR + 2.75%, | | | |
| | 4.353%, 3/15/24 | | 20,760 | 19,940 |
| | | | | 106,382 |
| |
| | Building Products 0.4% | | | |
| | Acproducts, FRN, 1M USD LIBOR + 6.50%, 8/13/25 (3) | | 1,400 | 1,407 |
| | Advanced Drainage Systems, FRN, 1M USD LIBOR + 2.25%, | | | |
| | 3.938%, 7/31/26 | | 1,801 | 1,790 |
| | CHI Doors Holdings, FRN, 3M USD LIBOR + 3.25%, 4.853%, | | | |
| | 7/29/22 | | 1,786 | 1,783 |
| | Quikrete Holdings, FRN, 3M USD LIBOR + 2.50%, 4.103%, | | | |
| | 2/1/27 | | 3,485 | 3,413 |
| | The accompanying notes are an integral part of this Portfolio of Investments. | | | |
T. ROWE PRICE FLOATING RATE FUND
| | |
| | Par/Shares | $ Value |
| (Amounts in 000s) | | |
| SRS Distribution, FRN, 3M USD LIBOR + 3.00%, 4.603%, | | |
| 5/23/25 | 1,244 | 1,206 |
| | | 9,599 |
| |
| Cable Operators 4.4% | | |
| Altice Financing, FRN, 3M USD LIBOR + 2.75%, 4.389%, | | |
| 1/31/26 | 5,729 | 5,510 |
| Altice Financing, FRN, 3M USD LIBOR + 2.75%, 4.412%, | | |
| 7/15/25 | 3,601 | 3,473 |
| Altice France, FRN, 3M USD LIBOR + 2.75%, 4.353%, 7/31/25 | 8,110 | 7,796 |
| Altice France, FRN, 3M USD LIBOR + 4.00%, 5.659%, 8/14/26 | 11,195 | 10,943 |
| Charter Communications Operating, FRN, 1M USD LIBOR + | | |
| 1.75%, 3.36%, 2/1/27 | 3,492 | 3,440 |
| CSC Holdings, FRN, 3M USD LIBOR + 2.25%, 3.909%, 7/17/25 | 14,049 | 13,868 |
| CSC Holdings, FRN, 3M USD LIBOR + 2.25%, 3.909%, 1/15/26 | 14,690 | 14,460 |
| CSC Holdings, FRN, 1M USD LIBOR + 2.50%, 4.159%, 4/15/27 | 10,166 | 10,039 |
| Radiate Holdco, FRN, 3M USD LIBOR + 3.00%, 4.603%, 2/1/24 | 11,457 | 11,206 |
| Telenet Financing, FRN, 6M USD LIBOR + 2.00%, 3.659%, | | |
| 4/30/28 | 4,700 | 4,553 |
| Virgin Media Bristol, FRN, 1M USD LIBOR + 2.50%, 4.159%, | | |
| 1/31/28 | 12,480 | 12,251 |
| | | 97,539 |
| |
| Chemicals 2.3% | | |
| ASP Chromaflo Intermediate Holdings, FRN, 3M USD LIBOR + | | |
| 3.50%, 5.103%, 11/20/23 (4) | 2,736 | 2,661 |
| Consolidated Energy Finance, FRN, 3M USD LIBOR + 2.50%, | | |
| 4.547%, 5/7/25 | 3,653 | 3,567 |
| Cyanco Intermediate, FRN, 3M USD LIBOR + 3.50%, 5.103%, | | |
| 3/16/25 | 4,927 | 4,834 |
| Element Solutions, FRN, 1M USD LIBOR + 2.00%, 3.603%, | | |
| 1/31/26 | 3,272 | 3,211 |
| Encapsys, FRN, 1M USD LIBOR + 3.25%, 4.853%, 11/7/24 | 9,666 | 9,569 |
| Gemini HDPE, FRN, 3M USD LIBOR + 2.50%, 4.28%, 8/7/24 (4) | 1,770 | 1,743 |
| HB Fuller, FRN, 3M USD LIBOR + 2.00%, 3.647%, 10/20/24 | 3,015 | 2,970 |
| The accompanying notes are an integral part of this Portfolio of Investments. | | |
T. ROWE PRICE FLOATING RATE FUND
| | | | |
| | | | Par/Shares | $ Value |
| | (Amounts in 000s) | | | |
| | Kraton Polymers, FRN, 3M USD LIBOR + 1.50%, 6.25%, 3/8/25 | | 1,301 | 1,290 |
| | Messer Industries USA, FRN, 3M USD LIBOR + 2.50%, 4.445%, | | | |
| | 3/2/26 | | 6,959 | 6,829 |
| | Minerals Technologies, 4.75%, 5/7/21 (4) | | 964 | 959 |
| | PQ, FRN, 3M USD LIBOR + 2.25%, 4.027%, 2/7/27 | | 4,994 | 4,904 |
| | Univar Solutions USA, FRN, 1M USD LIBOR + 2.00%, 3.603%, | | | |
| | 7/1/26 | | 1,510 | 1,490 |
| | Univar Solutions USA, FRN, 3M USD LIBOR + 2.25%, 3.853%, | | | |
| | 7/1/24 | | 6,637 | 6,527 |
| | | | | 50,554 |
| | Consumer Products 1.7% | | | |
| | ABG Intermediate Holdings 2, FRN, 3M USD LIBOR + 3.50%, | | | |
| | 5.103%, 9/27/24 (3) | | 9,531 | 9,341 |
| | Equinox Holdings, FRN, 3M USD LIBOR + 3.00%, 4.603%, | | | |
| | 3/8/24 | | 4,497 | 4,420 |
| | Equinox Holdings, FRN, 3M USD LIBOR + 7.00%, 8.603%, | | | |
| | 9/6/24 | | 2,825 | 2,816 |
| | Fitness International, FRN, 3M USD LIBOR + 3.25%, 4.853%, | | | |
| | 4/18/25 | | 2,276 | 2,249 |
| | Kontoor Brands, FRN, 3M USD LIBOR + 4.25%, 5.889%, | | | |
| | 5/15/26(4) | | 1,539 | 1,531 |
| | Life Time, FRN, 3M USD LIBOR + 2.75%, 4.363%, 6/10/22 | | 10,281 | 10,117 |
| | Mascot Bidco, FRN, 3M EURIBOR + 4.50%, 4.50%, 3/30/26 | | | |
| (EUR)(3) | 6,070 | 6,466 |
| | Prestige Brands, FRN, 3M USD LIBOR + 2.00%, 3.603%, | | | |
| | 1/26/24 | | 2,075 | 2,050 |
| | | | | 38,990 |
| |
| | Container 1.6% | | | |
| | Berry Global, FRN, 1M USD LIBOR + 2.00%, 3.671%, 7/1/26 | | 5,373 | 5,277 |
| | Charter NEX U. S. , FRN, 3M USD LIBOR + 3.00%, 4.603%, | | | |
| | 5/16/24(3) | 7,988 | 7,748 |
| | Charter NEX U. S. , FRN, 3M USD LIBOR + 3.50%, 5.103%, | | | |
| | 5/16/24(3) | 13,668 | 13,498 |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE FLOATING RATE FUND
| | | |
| | | Par/Shares | $ Value |
| (Amounts in 000s) | | | |
| Mauser Packaging Solutions Holding, FRN, 3M USD LIBOR + | | | |
| 3.25%, 5.084%, 4/3/24 | | 2,591 | 2,470 |
| Reynolds Group Holdings, FRN, 3M USD LIBOR + 2.75%, | | | |
| 4.353%, 2/5/23 (3) | | 7,883 | 7,796 |
| | | | 36,789 |
| |
| Energy 2.8% | | | |
| BCP Raptor, FRN, 3M USD LIBOR + 4.25%, 5.853%, 6/24/24 | | 16,927 | 14,599 |
| BCP Raptor II, FRN, 3M USD LIBOR + 4.75%, 6.353%, 11/3/25 | | 11,919 | 10,548 |
| Blackstone CQP Holdco, FRN, 3M USD LIBOR + 3.50%, | | | |
| 5.408%, 9/30/24 | | 5,616 | 5,488 |
| Buckeye Partners, FRN, 1M USD LIBOR + 2.75%, 4.405%, | | | |
| 11/1/26 | | 2,325 | 2,294 |
| Chesapeake Energy, FRN, 1M USD LIBOR + 8.00%, 9.928%, | | | |
| 6/24/24 | | 4,020 | 3,642 |
| Citgo Holding, FRN, 1M USD LIBOR + 7.00%, 8.603%, 8/1/23 | | | |
| (4) | 3,955 | 3,955 |
| Felix Energy, FRN, 3M USD LIBOR + 6.50%, 8.234%, 8/9/22 | | | |
| Acquisition Date: 8/9/17 - 3/1/19, Cost $2,843 (4)(7) | | 2,870 | 2,841 |
| Navitas Midstream Midland Basin, FRN, 3M USD LIBOR + | | | |
| 4.50%, 6.103%, 12/13/24 | | 1,802 | 1,622 |
| Prairie ECI Acquiror, FRN, 1M USD LIBOR + 4.75%, 3/11/26 (3) | | 1,930 | 1,877 |
| Prairie ECI Acquiror, FRN, 3M USD LIBOR + 4.75%, 6.695%, | | | |
| 3/11/26(3) | 8,039 | 7,767 |
| Stonepeak Lonestar Holdings, FRN, 1M USD LIBOR + 4.50%, | | | |
| 6.336%, 10/19/26 | | 7,451 | 7,321 |
| | | | 61,954 |
| |
| Entertainment & Leisure 3.9% | | | |
| 1232743 BC, FRN, 1M USD LIBOR + 3.00%, 2/7/27 (3) | | 5,050 | 4,689 |
| AMC Entertainment Holdings, FRN, 3M USD LIBOR + 3.00%, | | | |
| 4.61%, 4/22/26 | | 11,329 | 10,939 |
| Crown Finance U. S. , FRN, 1M USD LIBOR + 2.50%, 4.103%, | | | |
| 9/30/26 | | 6,284 | 5,813 |
| Formula One Management, FRN, 3M USD LIBOR + 2.50%, | | | |
| 4.103%, 2/1/24 | | 7,943 | 7,665 |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE FLOATING RATE FUND
| | | |
| | | Par/Shares | $ Value |
| (Amounts in 000s) | | | |
| Hoya Midco, FRN, 3M USD LIBOR + 3.50%, 5.103%, 6/30/24 | | 6,741 | 6,471 |
| Nascar Holdings, FRN, 3M USD LIBOR + 2.75%, 4.389%, | | | |
| 10/19/26 | | 2,949 | 2,930 |
| UFC Holdings, FRN, 1M USD LIBOR + 3.25%, 4.86%, 4/29/26 | | 45,291 | 44,691 |
| WMG Acquisition, FRN, 3M USD LIBOR + 2.125%, 3.728%, | | | |
| 11/1/23 | | 3,626 | 3,571 |
| | | | 86,769 |
| |
| Financial 7.3% | | | |
| Acrisure, FRN, 1M USD LIBOR + 3.50%, 5.207%, 2/15/27 (3) | | 8,913 | 8,764 |
| Alliant Holdings Intermediate, FRN, 3M USD LIBOR + 3.00%, | | | |
| 4.603%, 5/9/25 | | 10,248 | 10,026 |
| Alliant Holdings Intermediate, FRN, 3M USD LIBOR + 3.25%, | | | |
| 4.909%, 5/9/25 (3) | | 9,050 | 8,907 |
| AmWINS Group, FRN, 3M USD LIBOR + 2.75%, 4.364%, | | | |
| 1/25/24(3) | 7,421 | 7,384 |
| Apollo Commercial Real Estate Finance, FRN, 3M USD LIBOR + | | | |
| 2.75%, 4.409%, 5/15/26 (4) | | 2,992 | 2,963 |
| AssuredPartners, FRN, 1M USD LIBOR + 3.50%, 5.103%, | | | |
| 2/11/27(3)(4) | 7,965 | 7,806 |
| Blackstone Mortgage Trust, FRN, 1M USD LIBOR + 2.25%, | | | |
| 3.853%, 4/23/26 | | 2,647 | 2,620 |
| Citadel Securities, FRN, 1M USD LIBOR + 2.75%, 4.353%, | | | |
| 2/27/26(3) | 10,551 | 10,446 |
| Edelman Financial Center, FRN, 3M USD LIBOR + 6.75%, | | | |
| 8.379%, 7/20/26 | | 2,295 | 2,244 |
| EIG Management, FRN, 3M USD LIBOR + 3.75%, 5.353%, | | | |
| 2/24/25 | | 3,015 | 3,005 |
| Fiserv Investment Solutions, FRN, 1M USD LIBOR + 4.75%, | | | |
| 2/18/27(3) | 5,800 | 5,818 |
| HUB International, FRN, 3M USD LIBOR + 2.75%, 4.543%, | | | |
| 4/25/25(3) | 28,502 | 27,665 |
| HUB International, FRN, 1M USD LIBOR + 4.00%, 5.692%, | | | |
| 4/25/25 | | 12,750 | 12,705 |
| Jane Street Group, FRN, 1M USD LIBOR + 3.00%, 4.613%, | | | |
| 1/31/25 | | 2,465 | 2,457 |
| Nexus Buyer, FRN, 1M USD LIBOR + 3.75%, 5.421%, 11/9/26 | | 3,140 | 3,103 |
| The accompanying notes are an integral part of this Portfolio of Investments. | | | |
T. ROWE PRICE FLOATING RATE FUND
| | |
| | Par/Shares | $ Value |
| (Amounts in 000s) | | |
| NFP, FRN, 1M USD LIBOR + 3.25%, 4.853%, 2/15/27 | 3,266 | 3,168 |
| Sedgwick Claims Management Services, FRN, 3M USD LIBOR | | |
| + 3.25%, 4.853%, 12/31/25 | 11,408 | 11,122 |
| Starwood Property Trust, FRN, 3M USD LIBOR + 2.50%, | | |
| 4.103%, 7/26/26 | 3,970 | 3,940 |
| USI, FRN, 3M USD LIBOR + 3.00%, 4.945%, 5/16/24 (3) | 13,718 | 13,375 |
| USI, FRN, 1M USD LIBOR + 4.00%, 5.945%, 12/2/26 (3) | 4,915 | 4,882 |
| VFH Parent, FRN, 3M USD LIBOR + 3.50%, 5.171%, 3/1/26 | 4,996 | 4,963 |
| Victory Capital Holdings, FRN, 1M USD LIBOR + 2.50%, | | |
| 4.155%, 7/1/26 | 3,149 | 3,105 |
| Virtus Investment Partners, FRN, 3M USD LIBOR + 2.25%, | | |
| 3.916%, 6/3/24 | 3,294 | 3,293 |
| | | 163,761 |
| |
| Food 1.6% | | |
| Atkins Nutritionals Holdings, FRN, 1M USD LIBOR + 3.75%, | | |
| 5.403%, 7/7/24 (4) | 7,730 | 7,711 |
| Bellring Brands, FRN, 1M USD LIBOR + 5.00%, 6.603%, | | |
| 10/21/24 | 7,760 | 7,799 |
| Chobani, FRN, 3M USD LIBOR + 3.50%, 5.103%, 10/10/23 | 2,328 | 2,288 |
| Froneri U.S. , FRN, 1M USD LIBOR + 2.25%, 3.853%, 1/29/27 | 8,135 | 7,992 |
| Froneri U.S. , FRN, 1M USD LIBOR + 5.75%, 7.353%, 1/31/28 | 1,730 | 1,726 |
| Hostess Brands, FRN, 1M USD LIBOR + 2.25%, 3.979%, 8/3/25 | 4,711 | 4,625 |
| Upfield USA, FRN, 3M USD LIBOR + 3.00%, 4.909%, 7/2/25 | 2,932 | 2,883 |
| | | 35,024 |
| |
| Gaming 2.7% | | |
| Boyd Gaming, FRN, 3M USD LIBOR + 2.25%, 3.829%, 9/15/23 | 1,806 | 1,780 |
| Caesars Resort Collection, FRN, 3M USD LIBOR + 2.75%, | | |
| 4.353%, 12/23/24 | 14,866 | 14,321 |
| CCM Merger, FRN, 3M USD LIBOR + 2.25%, 3.853%, 8/6/21 | 1,966 | 1,962 |
| CEOC, FRN, 3M USD LIBOR + 2.00%, 3.603%, 10/7/24 | 2,143 | 2,131 |
| Eldorado Resorts, FRN, 3M USD LIBOR + 2.25%, 3.889%, | | |
| 4/17/24 | 1,815 | 1,805 |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE FLOATING RATE FUND
| | | |
| | | Par/Shares | $ Value |
| (Amounts in 000s) | | | |
| Playtika Holding, FRN, 1M USD LIBOR + 6.00%, 7.603%, | | | |
| 12/10/24 | | 4,110 | 4,110 |
| Scientific Games International, FRN, 3M USD LIBOR + 2.75%, | | | |
| 4.366%, 8/14/24 | | 10,209 | 9,883 |
| Stars Group Holdings, FRN, 3M USD LIBOR + 3.50%, 5.445%, | | | |
| 7/10/25 | | 7,450 | 7,425 |
| Station Casinos, FRN, 1M USD LIBOR + 2.25%, 3.86%, 2/8/27 | | 9,065 | 8,846 |
| VICI Properties 1, FRN, 3M USD LIBOR + 1.75%, 3.379%, | | | |
| 12/20/24 | | 7,979 | 7,819 |
| | | | 60,082 |
| Health Care 11.2% | | | |
| Agiliti Health, FRN, 3M USD LIBOR + 3.00%, 4.688%, 1/4/26 (4) | | 2,035 | 2,010 |
| Aldevron, FRN, 1M USD LIBOR + 4.25%, 6.195%, 10/12/26 | | 13,565 | 13,463 |
| Avantor Funding, FRN, 3M USD LIBOR + 2.25%, 3.853%, | | | |
| 11/21/24 | | 15,923 | 15,790 |
| Bausch Health Americas , FRN, 3M USD LIBOR + 2.75%, | | | |
| 4.409%, 11/27/25 | | 15,803 | 15,699 |
| Bausch Health Americas , FRN, 3M USD LIBOR + 3.00%, | | | |
| 4.659%, 6/2/25 | | 16,328 | 16,213 |
| Change Healthcare Holdings, FRN, 1M USD LIBOR + 2.50%, | | | |
| 4.103%, 3/1/24 | | 4,053 | 3,967 |
| Elanco Animal Health, FRN, 1M USD LIBOR + 1.75%, 2/4/27 (3) | | 6,190 | 6,118 |
| Emerald TopCo, FRN, 1M USD LIBOR + 3.50%, 5.103%, | | | |
| 7/24/26 | | 19,317 | 19,260 |
| Envision Healthcare, FRN, 3M USD LIBOR + 3.75%, 5.353%, | | | |
| 10/10/25 | | 8,082 | 6,481 |
| ExamWorks Group, FRN, 3M USD LIBOR + 3.25%, 4.853%, | | | |
| 7/27/23 | | 3,419 | 3,424 |
| Gentiva Health Services, FRN, 1M USD LIBOR + 3.25%, | | | |
| 4.875%, 7/2/25 (4) | | 8,852 | 8,763 |
| GoodRx, FRN, 1M USD LIBOR + 2.75%, 4.353%, 10/10/25 | | 6,690 | 6,631 |
| Jaguar Holding II, FRN, 3M USD LIBOR + 2.50%, 4.103%, | | | |
| 8/18/22(3) | 4,512 | 4,471 |
| LifePoint Health, FRN, 1M USD LIBOR + 3.75%, 5.353%, | | | |
| 11/16/25(3) | 2,005 | 1,985 |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE FLOATING RATE FUND
| | | |
| | | Par/Shares | $ Value |
| (Amounts in 000s) | | | |
| Loire Finco Luxembourg, FRN, 1M USD LIBOR + 3.50%, | | | |
| 1/24/27(3) | 23,310 | 23,116 |
| MED ParentCo, FRN, 1M USD LIBOR + 4.25%, 5.639%, | | | |
| 8/31/26(3)(8) | 9,173 | 9,007 |
| MED ParentCo, FRN, 1M USD LIBOR + 8.25%, 9.853%, | | | |
| 8/30/27 | | 2,655 | 2,618 |
| National Mentor Holdings , FRN, 3M USD LIBOR + 4.00%, | | | |
| 5.61%, 3/9/26 | | 3,915 | 3,898 |
| NVA Holdings, FRN, 3M USD LIBOR + 2.75%, 9/19/22 (3)(4) | | 4,045 | 4,030 |
| PetVet Care Centers, FRN, 3M USD LIBOR + 2.75%, 4.353%, | | | |
| 2/14/25 | | 5,842 | 5,751 |
| PetVet Care Centers, FRN, 3M USD LIBOR + 3.25%, 4.853%, | | | |
| 2/14/25(3) | 2,205 | 2,188 |
| Phoenix Guarantor, FRN, 1M USD LIBOR + 3.25%, 4.921%, | | | |
| 3/5/26 | | 3,463 | 3,405 |
| RegionalCare Hospital Partners Holdings, FRN, 3M USD LIBOR | | | |
| + 4.50%, 5.353%, 11/16/25 (3) | | 21,836 | 21,618 |
| SAM Bidco, FRN, 1M USD LIBOR + 3.50%, 5.445%, 12/13/24 | | 1,030 | 1,022 |
| Select Medical, FRN, 3M USD LIBOR + 2.50%, 4.58%, 3/6/25 | | 4,798 | 4,750 |
| Sunshine Luxembourg VII, FRN, 3M EURIBOR + 3.75%, 3.75%, | | | |
| 10/1/26(EUR) | 3,210 | 3,544 |
| Sunshine Luxembourg VII, FRN, 1M USD LIBOR + 4.25%, | | | |
| 6.195%, 10/1/26 | | 13,925 | 13,664 |
| Versant Health Holdco, FRN, 3M USD LIBOR + 3.00%, 4.603%, | | | |
| 12/2/24 | | 12,146 | 11,903 |
| Versant Health Holdco, FRN, 3M USD LIBOR + 6.75%, 8.36%, | | | |
| 12/1/25 | | 9,312 | 9,312 |
| Vizient, FRN, 1M USD LIBOR + 2.00%, 5/6/26 (3) | | 630 | 631 |
| Vizient, FRN, 3M USD LIBOR + 2.00%, 3.603%, 5/6/26 | | 2,585 | 2,588 |
| VVC Holding, FRN, 3M USD LIBOR + 4.50%, 6.158%, 2/11/26 | | 3,871 | 3,822 |
| | | | 251,142 |
| Information Technology 10.9% | | | |
| Ancestry. com Operations, FRN, 1M USD LIBOR + 3.75%, | | | |
| 5.36%, 10/19/23 | | 2,594 | 2,387 |
| Applied Systems, FRN, 3M USD LIBOR + 3.25%, 5.195%, | | | |
| 9/19/24 | | 18,229 | 17,996 |
| The accompanying notes are an integral part of this Portfolio of Investments. | | | |
T. ROWE PRICE FLOATING RATE FUND
| | | |
| | | Par/Shares | $ Value |
| (Amounts in 000s) | | | |
| Applied Systems, FRN, 3M USD LIBOR + 7.00%, 8.945%, | | | |
| 9/19/25 | | 12,145 | 12,340 |
| AppLovin, FRN, 3M USD LIBOR + 3.50%, 5.103%, 8/15/25 | | 7,977 | 7,927 |
| Boxer Parent, FRN, 3M USD LIBOR + 4.25%, 10/2/25 (3) | | 4,630 | 4,440 |
| Buzz Merger Sub, FRN, 1M USD LIBOR + 2.75%, 4.353%, | | | |
| 1/29/27(3)(4) | 6,940 | 6,801 |
| CCC Information Services, FRN, 1M USD LIBOR + 2.75%, | | | |
| 4.36%, 4/29/24 (3) | | 25,247 | 25,005 |
| Fleet U. S. Bidco, FRN, 1M USD LIBOR + 3.25%, 5.235%, | | | |
| 10/7/26(4) | 2,254 | 2,232 |
| Huskies Parent, FRN, 3M USD LIBOR + 4.00%, 5.777%, | | | |
| 7/31/26(4) | 1,565 | 1,553 |
| Hyland Software, FRN, 3M USD LIBOR + 3.50%, 5.103%, | | | |
| 7/1/24 | | 5,608 | 5,573 |
| Hyland Software, FRN, 3M USD LIBOR + 7.00%, 8.603%, | | | |
| 7/7/25(3) | 5,174 | 5,196 |
| Infor U. S. , FRN, 3M USD LIBOR + 2.75%, 4.695%, 2/1/22 | | 4,373 | 4,339 |
| Match Group, FRN, 1M USD LIBOR + 1.75%, 3.457%, 2/15/27 | | 4,825 | 4,789 |
| MH Sub I, FRN, 3M USD LIBOR + 3.75%, 5.353%, 9/13/24 | | 3,943 | 3,837 |
| Microchip Technology, FRN, 3M USD LIBOR + 2.00%, 3.61%, | | | |
| 5/29/25 | | 4,104 | 4,073 |
| Octavia Holdco, FRN, 3M USD LIBOR + 2.50%, 4.147%, | | | |
| 3/20/25 | | 2,642 | 2,643 |
| Refinitiv U.S. Holdings, FRN, 3M EURIBOR + 3.25%, 3.25%, | | | |
| 10/1/25(EUR) | 10,270 | 11,261 |
| Refinitiv U.S. Holdings, FRN, 1M USD LIBOR + 3.25%, 4.853%, | | | |
| 10/1/25(3) | 46,289 | 46,154 |
| S2P Acquisition Borrower, FRN, 3M USD LIBOR + 4.00%, | | | |
| 5.603%, 8/14/26 | | 2,738 | 2,715 |
| Solera, FRN, 3M USD LIBOR + 2.75%, 4.363%, 3/3/23 | | 21,696 | 21,299 |
| SS&C Technologies, Term B3, FRN, 3M USD LIBOR + 1.75%, | | | |
| 3.353%, 4/16/25 (3) | | 13,247 | 13,059 |
| SS&C Technologies, Term B5, FRN, 3M USD LIBOR + 1.75%, | | | |
| 3.353%, 4/16/25 | | 3,870 | 3,819 |
| TIBCO Software, FRN, 1M USD LIBOR + 3.75%, 7/3/26 (3) | | 5,650 | 5,579 |
| TIBCO Software, FRN, 1M USD LIBOR + 7.75%, 2/13/28 (3) | | 3,115 | 3,115 |
| The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE FLOATING RATE FUND
| | | |
| | | Par/Shares | $ Value |
| (Amounts in 000s) | | | |
| Uber Technologies, FRN, 3M USD LIBOR + 3.50%, 5.103%, | | | |
| 7/13/23(3) | 11,320 | 11,198 |
| Uber Technologies, FRN, 3M USD LIBOR + 4.00%, 5.639%, | | | |
| 4/4/25(3) | 10,323 | 10,252 |
| Vungle, FRN, 1M USD LIBOR + 5.50%, 7.103%, 9/30/26 | | 3,421 | 3,387 |
| | | | 242,969 |
| |
| Lodging 0.3% | | | |
| Four Seasons Hotels, FRN, 3M USD LIBOR + 2.00%, 3.603%, | | | |
| 11/30/23 | | 5,900 | 5,792 |
| Marriott Ownership Resorts, FRN, 1M USD LIBOR + 1.75%, | | | |
| 3.353%, 8/29/25 | | 1,771 | 1,769 |
| | | | 7,561 |
| |
| Manufacturing 2.8% | | | |
| Apex Tool Group, FRN, 3M USD LIBOR + 5.50%, 7.103%, | | | |
| 8/1/24 | | 6,205 | 5,882 |
| Columbus McKinnon, FRN, 3M USD LIBOR + 2.50%, 4.445%, | | | |
| 1/31/24 | | 2,548 | 2,548 |
| CPI Holdco, FRN, 1M USD LIBOR + 4.25%, 6.195%, 11/4/26 (3) | | 7,242 | 7,260 |
| Filtration Group, FRN, 3M USD LIBOR + 3.00%, 4.603%, | | | |
| 3/29/25 | | 11,035 | 10,944 |
| Gardner Denver, FRN, 3M USD LIBOR + 2.75%, 4.395%, | | | |
| 7/30/24 | | 4,369 | 4,298 |
| Ingersoll-Rand Services, FRN, 1M USD LIBOR + 1.75%, 2/28/27 | | | |
| (3) | 3,730 | 3,669 |
| SRAM, FRN, 3M USD LIBOR + 1.75%, 4.424%, 3/15/24 | | 4,326 | 4,324 |
| Thermon Holding, FRN, 3M USD LIBOR + 3.75%, 5.405%, | | | |
| 10/30/24 | | 2,133 | 2,117 |
| Vertiv Group, FRN, 1M USD LIBOR + 3.00%, 3/2/27 (3) | | 6,180 | 6,118 |
| Vertiv Group, FRN, 3M USD LIBOR + 3.00%, 7.75%, 11/30/23 | | 1,515 | 1,506 |
| Welbilt, FRN, 3M USD LIBOR + 2.50%, 4.103%, 10/23/25 | | 13,709 | 13,297 |
| | | | 61,963 |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE FLOATING RATE FUND
| | | |
| | | Par/Shares | $ Value |
| (Amounts in 000s) | | | |
| Metals & Mining 2.1% | | | |
| Aleris International, FRN, 3M USD LIBOR + 4.75%, 6.353%, | | | |
| 2/27/23 | | 20,486 | 20,429 |
| Arconic Rolled Products, FRN, 1M USD LIBOR + 2.75%, 2/4/27 | | | |
| (3) | 5,550 | 5,481 |
| Big River Steel, FRN, 3M USD LIBOR + 5.00%, 6.945%, 8/23/23 | | | |
| (3) | 5,801 | 5,790 |
| GrafTech Finance, FRN, 3M USD LIBOR + 3.50%, 5.103%, | | | |
| 2/12/25(4) | 4,600 | 4,381 |
| Zekelman Industries, FRN, 1M USD LIBOR + 2.25%, 3.853%, | | | |
| 1/24/27 | | 11,240 | 11,001 |
| | | | 47,082 |
| Other Telecommunications 1.8% | | | |
| Cologix Holdings, FRN, 3M USD LIBOR + 3.00%, 4.603%, | | | |
| 3/20/24 | | 6,783 | 6,636 |
| Front Range BidCo, FRN, 1M USD LIBOR + 3.00%, 2/20/27 (3) | | 14,965 | 14,596 |
| GTT Communications, FRN, 3M USD LIBOR + 2.75%, 4.35%, | | | |
| 5/31/25 | | 2,934 | 2,465 |
| Level 3 Financing, FRN, 1M USD LIBOR + 1.75%, 3.353%, | | | |
| 3/1/27 | | 5,637 | 5,503 |
| Zayo Group, FRN, 3M USD LIBOR + 2.25%, 3.853%, 1/19/24 | | 11,458 | 11,448 |
| | | | 40,648 |
| Publishing 0.1% | | | |
| Recorded Books, FRN, 1M USD LIBOR + 4.25%, 8/31/25 (3)(4) | | 1,215 | 1,215 |
| | | | 1,215 |
| Real Estate Investment Trust Securities 0.1% | | | |
| Claros Mortgage Trust, FRN, 1M USD LIBOR + 3.25%, 4.921%, | | | |
| 8/9/26(4) | 2,997 | 2,968 |
| | | | 2,968 |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE FLOATING RATE FUND
| | | |
| | | Par/Shares | $ Value |
| (Amounts in 000s) | | | |
| Restaurants 1.5% | | | |
| 1011778 BC ULC, FRN, 1M USD LIBOR + 1.75%, 3.353%, | | | |
| 11/19/26 | | 7,793 | 7,655 |
| California Pizza Kitchen, FRN, 3M USD LIBOR + 6.00%, 7.62%, | | | |
| 8/23/22 | | 709 | 605 |
| Golden Nugget, FRN, 3M USD LIBOR + 2.50%, 4.12%, 10/4/23 | | 8,030 | 7,861 |
| K-MAC Holdings, FRN, 3M USD LIBOR + 3.00%, 4.603%, | | | |
| 3/14/25 | | 4,550 | 4,398 |
| K-MAC Holdings, FRN, 3M USD LIBOR + 6.75%, 8.353%, | | | |
| 3/16/26 | | 3,560 | 3,462 |
| Tacala Investment, FRN, 1M USD LIBOR + 3.50%, 5.103%, | | | |
| 2/5/27 | | 2,810 | 2,759 |
| Tacala Investment, FRN, 1M USD LIBOR + 7.50%, 9.103%, | | | |
| 2/4/28 | | 8,145 | 7,955 |
| | | | 34,695 |
| Retail 0.7% | | | |
| Academy, FRN, 3M USD LIBOR + 4.00%, 5.655%, 7/1/22 | | 5,405 | 4,283 |
| BJ's Wholesale Club, FRN, 1M USD LIBOR + 2.25%, 3.903%, | | | |
| 2/3/24(3) | 7,594 | 7,522 |
| Party City Holdings, FRN, 3M USD LIBOR + 2.75%, 8/19/22 (3) | | 3,130 | 2,849 |
| | | | 14,654 |
| Satellites 1.9% | | | |
| Intelsat Jackson Holdings, 6.625%, 1/2/24 | | 7,953 | 7,993 |
| Iridium Satellite, FRN, 1M USD LIBOR + 3.75%, 5.353%, | | | |
| 11/4/26 | | 21,500 | 21,473 |
| Telesat, FRN, 1M USD LIBOR + 2.75%, 4.36%, 12/7/26 | | 13,245 | 13,046 |
| | | | 42,512 |
| Services 11.3% | | | |
| AlixPartners, FRN, 3M USD LIBOR + 2.50%, 4.103%, 4/4/24 (4) | | 2,636 | 2,571 |
| Ascend Learning, FRN, 3M USD LIBOR + 3.00%, 4.603%, | | | |
| 7/12/24(3) | 26,060 | 25,864 |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE FLOATING RATE FUND
| | | |
| | | Par/Shares | $ Value |
| (Amounts in 000s) | | | |
| Brightview Landscapes, FRN, 3M USD LIBOR + 2.50%, 4.159%, | | | |
| 8/15/25 | | 3,518 | 3,474 |
| Camelot Finance, FRN, 1M USD LIBOR + 3.25%, 4.853%, | | | |
| 10/30/26(3) | 11,305 | 11,231 |
| Ceridian HCM Holding, FRN, 3M USD LIBOR + 2.50%, 4.103%, | | | |
| 4/30/25 | | 17,187 | 16,929 |
| Dun & Bradstreet, FRN, 1M USD LIBOR + 4.00%, 2/6/26 (3) | | 4,496 | 4,505 |
| EG America, FRN, 3M USD LIBOR + 4.00%, 5.961%, 2/7/25 | | 6,206 | 6,022 |
| GFL Environmental, FRN, 3M USD LIBOR + 2.00%, 5.298%, | | | |
| 5/30/25(3) | 25,042 | 24,533 |
| Hertz, FRN, 3M USD LIBOR + 2.75%, 4.36%, 6/30/23 (3) | | 9,122 | 9,059 |
| Kronos, FRN, 3M USD LIBOR + 3.00%, 4.763%, 11/1/23 (3) | | 40,275 | 39,910 |
| Kronos, FRN, 3M USD LIBOR + 8.25%, 10.013%, 11/1/24 (3) | | 30,029 | 30,095 |
| Merrill Communications, FRN, 1M USD LIBOR + 5.00%, | | | |
| 6.908%, 10/5/26 (4) | | 2,678 | 2,692 |
| Presidio Holdings, FRN, 1M USD LIBOR + 3.50%, 5.28%, | | | |
| 1/22/27(4) | 2,010 | 1,980 |
| Prime Security Services Borrower, FRN, 1M USD LIBOR + | | | |
| 3.25%, 4.912%, 9/23/26 | | 7,463 | 7,248 |
| Project Boost Purchaser, FRN, 1M USD LIBOR + 3.50%, | | | |
| 5.103%, 6/1/26 | | 3,008 | 2,925 |
| Renaissance Holdings, FRN, 3M USD LIBOR + 3.25%, 4.853%, | | | |
| 5/30/25 | | 2,982 | 2,925 |
| Renaissance Holdings, FRN, 3M USD LIBOR + 7.00%, 8.603%, | | | |
| 5/29/26 | | 2,310 | 2,226 |
| Sabre GLBL, FRN, 3M USD LIBOR + 2.00%, 3.603%, 2/22/24 | | 1,708 | 1,630 |
| SCS Holdings I, FRN, 1M USD LIBOR + 3.50%, 5.103%, 7/1/26 | | 3,288 | 3,272 |
| ServiceMaster, FRN, 1M USD LIBOR + 1.75%, 3.375%, 11/5/26 | | 1,650 | 1,632 |
| Travelport Finance Luxembourg, FRN, 3M USD LIBOR + 5.00%, | | | |
| 6.945%, 5/29/26 | | 9,604 | 7,288 |
| Ultimate Software Group, FRN, 3M USD LIBOR + 3.75%, | | | |
| 5.353%, 5/4/26 | | 30,562 | 30,426 |
| USIC Holdings, FRN, 3M USD LIBOR + 3.25%, 4.854%, 12/8/23 | | 2,569 | 2,524 |
| VeriFone Systems, FRN, 3M USD LIBOR + 4.00%, 5.695%, | | | |
| 8/20/25 | | 4,675 | 4,499 |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE FLOATING RATE FUND
| | | |
| | | Par/Shares | $ Value |
| (Amounts in 000s) | | | |
| WW International, FRN, 3M USD LIBOR + 4.75%, 6.72%, | | | |
| 11/29/24 | | 6,760 | 6,737 |
| | | | 252,197 |
| Transportation 0.1% | | | |
| Genesee & Wyoming, FRN, 1M USD LIBOR + 2.00%, 3.965%, | | | |
| 12/30/26 | | 3,315 | 3,293 |
| | | | 3,293 |
| Utilities 2.2% | | | |
| Al Alpine U. S. Bidco, FRN, 1M USD LIBOR + 2.75%, 4.624%, | | | |
| 10/31/25 | | 6,162 | 6,000 |
| Brookfield WEC Holdings, FRN, 1M USD LIBOR + 3.00%, | | | |
| 4.603%, 8/1/25 | | 9,748 | 9,561 |
| Calpine, FRN, 3M USD LIBOR + 2.25%, 4.20%, 4/5/26 | | 1,721 | 1,691 |
| Eastern Power, FRN, 3M USD LIBOR + 3.75%, 5.353%, 10/2/25 | | 17,408 | 17,147 |
| Pacific Gas & Electric, FRN, 3M USD LIBOR + 2.25%, 3.93%, | | | |
| 12/31/20(4) | 9,670 | 9,670 |
| Pike, FRN, 1M USD LIBOR + 3.25%, 4.86%, 7/24/26 | | 5,777 | 5,719 |
| | | | 49,788 |
| Wireless Communications 3.8% | | | |
| Asurion, FRN, 1M USD LIBOR + 3.00%, 4.603%, 8/4/22 | | 15,809 | 15,644 |
| Asurion, FRN, 1M USD LIBOR + 3.00%, 4.603%, 11/3/23 | | 5,782 | 5,720 |
| Asurion, FRN, 1M USD LIBOR + 3.00%, 4.603%, 11/3/24 | | 8,946 | 8,850 |
| Asurion, FRN, 3M USD LIBOR + 6.50%, 8.103%, 8/4/25 | | 49,595 | 49,657 |
| Sprint Communications, FRN, 1M USD LIBOR + 2.50%, 4.125%, | | | |
| 2/2/24 | | 6,088 | 6,027 |
| | | | 85,898 |
| Total Bank Loans (Cost $1,997,405) | | | 1,963,586 |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE FLOATING RATE FUND
| | | |
| | | Par/Shares | $ Value |
| (Amounts in 000s) | | | |
| ASSET-BACKED SECURITIES 0.0% | | | |
| Wireless Communications 0.0% | | | |
| InSite Issuer | | | |
| Series 2016-1A, Class C | | | |
| 6.414%, 11/15/46 (1) | | 555 | 588 |
| VB-S1 Issuer | | | |
| Series 2016-1A, Class F | | | |
| 6.901%, 6/15/46 (1) | | 375 | 385 |
| | | | 973 |
| Total Asset-Backed Securities (Cost $930) | | | 973 |
| COMMON STOCKS 0.2% | | | |
| Media & Advertising 0.1% | | | |
| Clear Channel Outdoor Holdings (5) | | 580 | 1,200 |
| | | | 1,200 |
| Media & Communications 0.1% | | | |
| iHeartCommunications, Warrants, 5/3/39 (5) | | — | — |
| iHeartMedia, Class A (5) | | 246 | 3,720 |
| | | | 3,720 |
| Total Common Stocks (Cost $7,077) | | | 4,920 |
| CONVERTIBLE PREFERRED STOCKS 0.6% | | | |
| Energy 0.3% | | | |
| Targa Resources, Series A, 9.50%, Acquisition Date: 10/30/17 - | | | |
| 11/27/19, Cost$7,544 (7)(9) | 7 | 7,493 |
| | | | 7,493 |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE FLOATING RATE FUND
| | | | |
| | Par/Shares | | $ Value |
| (Amounts in 000s) | | | |
| Health Care 0.3% | | | |
| Avantor, Series A, 6.25%, 5/15/22 | 95 | | 5,315 |
| | | | 5,315 |
| Total Convertible Preferred Stocks (Cost $12,320) | | | 12,808 |
| SHORT-TERM INVESTMENTS 12.3% | | | |
| Money Market Funds 12.3% | | | |
| T. Rowe Price Government Reserve Fund, 1.59% (10)(11) | 276,234 | | 276,234 |
| Total Short-Term Investments (Cost $276,234) | | | 276,234 |
| Total Investments in Securities 106.7% | | | |
| (Cost $2,421,796) | | $ | 2,387,732 |
| Other Assets Less Liabilities (6.7)% | | | (150,388) |
| Net Assets 100.0% | | $ | 2,237,344 |
‡ 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 $86,993 and represents 3.9% of net assets.
(2) Bank loan positions may involve multiple underlying tranches. In those
instances, the position presented reflects the aggregate of those respective
underlying tranches and the rate presented reflects the weighted average rate
of the settled positions.
(3) All or a portion of this loan is unsettled as of February 29, 2020. The interest
rate for unsettled loans will be determined upon settlement after period end.
(4) Level 3 in fair value hierarchy.
(5) Non-income producing
(6) Issuer is currently in a bankruptcy reorganization proceeding; the amount and
timing of future distributions is uncertain.
(7) Security cannot be offered for public resale without first being registered
under the Securities Act of 1933 and related rules ("restricted security").
Acquisition date represents the day on which an enforceable right to acquire
such security is obtained and is presented along with related cost in the
security description. The fund has registration rights for certain restricted
securities. Any costs related to such registration are borne by the issuer. The
aggregate value of restricted securities (excluding 144A holdings) at period-
end amounts to $10,334 and represents 0.5% of net assets.
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE FLOATING RATE FUND
| | |
| (8 | ) | A portion of the position represents an unfunded commitment; a liability to |
| | | fund the commitment has been recognized. The fund's total unfunded |
| | | commitment at February 29, 2020, was $1,078 and was valued at $1,070 |
| | | (0.05% of net assets) . |
| (9 | ) | Perpetual security with no stated maturity date. |
| (10 | ) | Affiliated Companies |
| (11 | ) | Seven-day yield |
| 1M USD LIBOR | | One month USD LIBOR (London interbank offered rate) |
| 3M EURIBOR | | Three month EURIBOR (Euro interbank offered rate) |
| 3M USD LIBOR | | Three month USD LIBOR (London interbank offered rate) |
| 6M USD LIBOR | | Six month USD LIBOR (London interbank offered rate) |
| EUR | | Euro |
| FRN | | Floating Rate Note |
| USD | | U. S. Dollar |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE FLOATING RATE FUND
| | | | | | |
| (Amounts In 000s) | | | | | | |
| SWAPS(0.0%) | | | | | | |
| | | | | Upfront | | |
| | Notional | | | Payments/ | Unrealized | |
| Description | Amount | $ Value | | $ (Receipts) | $ Gain/(Loss) | |
| BILATERALSWAPS(0.0%) | | | | | | |
| Credit Default Swaps, Protection Bought 0.0% | | | | | | |
| Goldman Sachs, Protection Bought (Relevant | | | | | | |
| Credit: Murphy Oil, 4.00%, 6/1/22), Pay 1.00% | | | | | | |
| Quarterly, Receive Upon credit default, 6/20/23 | 590 | 2 | | 21 | (19 | ) |
| Total Bilateral Credit Default Swaps, Protection Bought | | | 21 | (19 | ) |
| Total Return Swaps (0.0%) | | | | | | |
| Morgan Stanley, Receive Underlying Reference: | | | | | | |
| iBoxx USD Liquid Leveraged Loans Total Return | | | | | | |
| Index At Maturity, Pay Variable 1.908% (3M USD | | | | | | |
| LIBOR) Quarterly, 3/20/20 | 5,115 | (106 | ) | — | (106 | ) |
| Morgan Stanley, Receive Underlying Reference: | | | | | | |
| iBoxx USD Liquid Leveraged Loans Total Return | | | | | | |
| Index At Maturity, Pay Variable 1.908% (3M USD | | | | | | |
| LIBOR) Quarterly, 6/20/20 | 6,000 | (127 | ) | — | (127 | ) |
| Barclays Bank, Receive Underlying Reference: | | | | | | |
| iBoxx USD Liquid Leveraged Loans Total Return | | | | | | |
| Index At Maturity, Pay Variable 1.908% (3M USD | | | | | | |
| LIBOR) Quarterly, 3/20/20 | 3,000 | (83 | ) | — | (83 | ) |
| Total Bilateral Total Return Swaps | | | | — | (316 | ) |
| Total Bilateral Swaps | | | | 21 | (335 | ) |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE FLOATING RATE FUND
| | | | | | | | |
| (Amounts In 000s) | | | | | | |
| FORWARDCURRENCYEXCHANGECONTRACTS | | | | |
| | | | | | Unrealized |
| Counterparty | Settlement | Receive | | Deliver | Gain/(Loss) |
| State Street | 5/22/20 | USD | 20,115 | EUR | 18,436 | $ (338) |
| Net unrealized gain (loss) on open forward | | | | |
| currency exchange contracts | | | | | $ | (338) |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE FLOATING RATE FUND
Affiliated Companies
($000s)
The fund may invest in certain securities that are considered affiliated companies. As defined
by the 1940 Act, an affiliated company is one in which the fund owns 5% or more of the
outstanding voting securities, or a company that is under common ownership or control. The
following securities were considered affiliated companies for all or some portion of the nine
months ended February 29, 2020. Net realized gain (loss), investment income, change in net
unrealized gain/loss, and purchase and sales cost reflect all activity for the period then ended.
| | | | | | | | |
| | | | | Change in Net | | | |
| | | Net Realized Gain | | Unrealized | | Investment | |
| Affiliate | | | (Loss) | | Gain/Loss | | Income | |
| T. Rowe Price Government | | | | | | | |
| Reserve Fund | | $ | —# | $ | — | $ | 2,767 | + |
| Supplementary Investment Schedule | | | | | | |
| | | Value | Purchase | Sales | | Value | |
| Affiliate | | 5/31/19 | Cost | Cost | | 2/29/20 | |
| T. Rowe Price Government | | | | | | | |
| Reserve Fund | $ | 95,622 | | ¤ | ¤ | $ | 276,234 | ^ |
# Capital gain distributions from mutual funds represented $0 of the net realized gain (loss).
+ Investment income comprised $2,767 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 $276,234.
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE FLOATING RATE FUND
Unaudited
NOTES TO PORTFOLIO OF
INVESTMENTS
T. Rowe Price Floating Rate 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 BoardAccounting Standards CodificationTopic 946. The accompanying Portfolio of Investments
was prepared in accordance with accounting principles generally accepted in the United States of America (GAAP). For
additional information on the fund’s significant accounting policies and investment related disclosures, please refer to the
fund’s most recent semiannual or annual shareholder report and its prospectus.
VALUATION
The fund’s financial instruments are valued at the close of the New York Stock Exchange (NYSE), normally 4 p.m. ET,
each day the NYSE is open for business.
Fair Value
The fund’s financial instruments are reported at fair value, which GAAP defines as the price that would be received to
sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement
date. The T. Rowe Price Valuation Committee (the Valuation Committee) is an internal committee that has been
delegated certain responsibilities by the fund’s Board of Directors (the Board) to ensure that financial instruments are
appropriately priced at fair value in accordance with GAAP and the 1940 Act. Subject to oversight by the Board, the
Valuation Committee develops and oversees pricing-related policies and procedures and approves all fair value
determinations. Specifically, the Valuation Committee establishes procedures to value securities; determines pricing
techniques, sources, and persons eligible to effect fair value pricing actions; oversees the selection, services, and
performance of pricing vendors; oversees valuation-related business continuity practices; and provides guidance on
internal controls and valuation-related matters. The Valuation Committee reports to the Board and has representation
from legal, portfolio management and trading, operations, risk management, and the fund’s treasurer.
Various valuation techniques and inputs are used to determine the fair value of financial instruments. GAAP
establishes the following fair value hierarchy that categorizes the inputs used to measure fair value:
Level 1 - quoted prices (unadjusted) in active markets for identical financial instruments that the fund can access at
the reporting date
Level 2 - inputs other than Level 1 quoted prices that are observable, either directly or indirectly (including, but not
limited to, quoted prices for similar financial instruments in active markets, quoted prices for identical or
similar financial instruments in inactive markets, interest rates and yield curves, implied volatilities, and
credit spreads)
Level 3 - unobservable inputs
Observable inputs are developed using market data, such as publicly available information about actual events or
transactions, and reflect the assumptions that market participants would use to price the financial instrument.
Unobservable inputs are those for which market data are not available and are developed using the best information
available about the assumptions that market participants would use to price the financial instrument. GAAP requires
valuation techniques to maximize the use of relevant observable inputs and minimize the use of unobservable inputs.
When multiple inputs are used to derive fair value, the financial instrument is assigned to the level within the fair value
hierarchy based on the lowest-level input that is significant to the fair value of the financial instrument. Input levels are
not necessarily an indication of the risk or liquidity associated with financial instruments at that level but rather the
degree of judgment used in determining those values.
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
T. ROWE PRICE FLOATING RATE FUND
well as prices quoted by dealers who make markets in such securities. Generally, debt securities are categorized in Level
2 of the fair value hierarchy; however, to the extent the valuations include significant unobservable inputs, the securities
would be categorized in Level 3.
Equity securities listed or regularly traded on a securities exchange or in the OTC market are valued at the last quoted
sale price or, for certain markets, the official closing price at the time the valuations are made. OTC Bulletin Board
securities are valued at the mean of the closing bid and asked prices. A security that is listed or traded on more than one
exchange is valued at the quotation on the exchange determined to be the primary market for such security. Listed
securities not traded on a particular day are valued at the mean of the closing bid and asked prices. Actively traded
equity securities listed on a domestic exchange generally are categorized in Level 1 of the fair value hierarchy. OTC
Bulletin Board securities, certain preferred securities, and equity securities traded in inactive markets generally are
categorized in Level 2 of the fair value hierarchy.
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 quoted by a major bank.
Investments in mutual funds are valued at the mutual fund’s closing NAV per share on the day of valuation and are
categorized in Level 1 of the fair value hierarchy. Forward currency exchange contracts are valued using the prevailing
forward exchange rate and are categorized in Level 2 of the fair value hierarchy. Swaps are valued at prices furnished by
an independent pricing service or independent swap dealers and generally are categorized in Level 2 of the fair value
hierarchy; however, if unobservable inputs are significant to the valuation, the swap would be categorized in Level 3.
Thinly traded financial instruments and those for which the above valuation procedures are inappropriate or are
deemed not to reflect fair value are stated at fair value as determined in good faith by the Valuation Committee. The
objective of any fair value pricing determination is to arrive at a price that could reasonably be expected from a current
sale. Financial instruments fair valued by the Valuation Committee are primarily private placements, restricted
securities, warrants, rights, and other securities that are not publicly traded.
Subject to oversight by the Board, the Valuation Committee regularly makes good faith judgments to establish and
adjust the fair valuations of certain securities as events occur and circumstances warrant. For instance, in determining
the fair value of troubled or thinly traded debt instruments, the Valuation Committee considers a variety of factors,
which may include, but are not limited to, the issuer’s business prospects, its financial standing and performance, recent
investment transactions in the issuer, strategic events affecting the company, market liquidity for the issuer, and general
economic conditions and events. In consultation with the investment and pricing teams, the Valuation Committee will
determine an appropriate valuation technique based on available information, which may include both observable and
unobservable inputs. The Valuation Committee typically will afford greatest weight to actual prices in arm’s length
transactions, to the extent they represent orderly transactions between market participants, transaction information can
be reliably obtained, and prices are deemed representative of fair value. However, the Valuation Committee may also
consider other valuation methods such as a discount or premium from market value of a similar, freely traded security
of the same issuer; discounted cash flows; yield to maturity; or some combination. Fair value determinations are
reviewed on a regular basis and updated as information becomes available, including actual purchase and sale
transactions of the issue. Because any fair value determination involves a significant amount of judgment, there is a
degree of subjectivity inherent in such pricing decisions, and fair value prices determined by the Valuation Committee
could differ from those of other market participants. Depending on the relative significance of unobservable inputs,
including the valuation technique(s) used, fair valued securities may be categorized in Level 2 or 3 of the fair value
hierarchy.
T. ROWE PRICE FLOATING RATE FUND
Valuation Inputs
The following table summarizes the fund’s financial instruments, based on the inputs used to determine their fair values
on February 29, 2020 (for further detail by category, please refer to the accompanying Portfolio of Investments):
| | | | | | | | |
| ($000s) | | Level 1 | Level 2 | Level 3 | Total Value |
| Assets | | | | | |
| Fixed Income Securities1 | $ | — | $ 130,184 | $ — | $ 130,184 |
| Bank Loans | | — | 1,876,581 | 87,005 | 1,963,586 |
| Common Stocks | | 4,920 | — | — | 4,920 |
| Convertible Preferred Stocks | | — | 12,808 | — | 12,808 |
| Short-Term Investments | | 276,234 | — | — | 276,234 |
| Total Securities | | 281,154 | 2,019,573 | 87,005 | 2,387,732 |
| Swaps | | — | 2 | — | 2 |
| Total | $ | 281,154 | $ 2,019,575 | $ 87,005 | $ 2,387,734 |
| Liabilities | | | | | |
| Swaps | $ | — | $ 316 | $ — | 316 |
| Forward Currency Exchange Contracts | | — | 338 | — | 338 |
| Total | $ | — | $ 654 | $ — | $ 654 |
1Includes Corporate Bonds, Asset-Backed Securities.
Following is a reconciliation of the fund’s Level 3 holdings for the period ended February 29, 2020. Gain (loss) reflects
both realized and change in unrealized gain/loss on Level 3 holdings during the period, if any. The change in unrealized
gain/loss on Level 3 instruments held at February 29, 2020, totaled ($670,000) for the period ended February 29, 2020.
During the period, transfers into Level 3 resulted from a lack of observable market data for the security and transfers out of
Level 3 were because observable market data became available for the security.
| | | | | | | | | | | | | | | | | | |
| ($000s) | | | Gain | | | | | | | | | | | | |
| | | | | Beginning | (Loss) | | | | | | | | Transfers | | Transfers | | Ending |
| | | | | Balance | During | | | Total | | Total | | | Into | | Out of | | Balance |
| | | | | 6/1/19 | Period | | | Purchases | | Sales | | | Level 3 | | Level 3 | | 2/29/20 |
| | Investment in Securities | | | | | | | | | | | | | |
| | Bank Loans | | $ | 85,683 | $ (331 | ) | $ | 67,246 | $ | (65,645 | ) | $ | 16,447 | $ | (16,395 | ) $ | 87,005 |
In accordance with GAAP, the following table provides quantitative information about significant unobservable inputs
used to determine the fair valuations of the fund’s Level 3 assets, by class of financial instrument. Because the Valuation
Committee considers a wide variety of factors and inputs, both observable and unobservable, in determining fair values,
the unobservable inputs presented do not reflect all inputs significant to the fair value determination.
| | | | | | | | |
| Investments | | Market | | Valuation | Significant | Value or | Weighted | Impact to |
| in Securities | Value(000 | s) | Technique(s) + | Unobservable | Range of | Average of | Valuation |
| | | | | | Input(s) | Input(s) | Input(s) * | from an |
| | | | | | | | | Increase in |
| | | | | | | | | Input** |
| Bank Loans | $ | 87,005 | | Recent comparable | -# | -# | -# | -# |
| | | | | transaction price(s) | | | | |
| | | | | Pricing service | -# | -# | -# | -# |
# No quantitative unobservable inputs significant to the valuation technique were created by the fund’s management.
*Unobservable inputs were weighted by the relative fair value of the instruments.
**Represents the directional change in the fair value of the Level 3 investment(s) that would have resulted from an increase in the corresponding input at
period end. A decrease in the unobservable input would have had the opposite effect. Significant increases and decreases in these inputs in isolation could
result in significantly higher or lower fair value measurements.
+ Valuation techniques may change in order to reflect management’s judgment of current market participant assumptions.
