T. Rowe Price Total Return Fund N-CSR Certified annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number: 811-23180

T. Rowe Price Total Return Fund, Inc.

(Exact name of registrant as specified in charter)

100 East Pratt Street, Baltimore, MD 21202

(Address of principal executive offices)

David Oestreicher

100 East Pratt Street, Baltimore, MD 21202

(Name and address of agent for service)

Registrant’s telephone number, including area code:  (410) 345-2000

Date of fiscal year end:  May 31

Date of reporting period:  May 31, 2023

Item 1. Reports to Shareholders

(a) Report pursuant to Rule 30e-1

Highlights

and

Market

Commentary

Management’s

Discussion

of

Fund

Performance

Performance

and

Expenses

Financial

Highlights

Portfolio

of

Investments

Financial

Statements

and

Notes

Additional

Fund

Information

May

31,

2023

Annual

Report

For

more

insights

from

T.

Rowe

Price

investment

professionals,

go

to

troweprice.com

.

T.

ROWE

PRICE

PTTFX

Total

Return

Fund

–

.

PTATX

Total

Return

Fund–

.

Advisor  Class

PTKIX

Total

Return

Fund–

.

I Class

T.

ROWE

PRICE

Total

Return

Fund

HIGHLIGHTS

The

fund

produced

a

negative

return

and

underperformed

its

benchmark

and

Lipper

peer

group

average

for

the

12-month

period

ended

May

31,

2023.

Exposure

to

TBA

agency

mortgage-backed

securities,

which

we

use

for

liquidity

purposes,

detracted

from

relative

performance.

During

the

period,

the

fund

reduced

high

yield

corporate

bonds,

bank

loans,

and

commercial

mortgage-backed

securities

and

added

U.S.

Treasuries,

agency

mortgage-backed

securities,

and

investment-grade

corporate

bonds.

While

we

wait

for

greater

clarity

on

the

economic

outlook,

we

remain

nimble

in

our

duration

positioning

and

in

sector

allocations

where

we

look

to

take

advantage

of

opportunities

in

dislocated

credits.

Log

in

to

your

account

at

troweprice.com

for

more

information.

*

Certain

mutual

fund

accounts

that

are

assessed

an

annual

account

service

fee

can

also

save

money

by

switching

to

e-delivery.

T.

ROWE

PRICE

Total

Return

Fund

Market

Commentary

1

Dear

Shareholder

Major

global

stock

and

bond

indexes

produced

mixed

returns

during

your

fund’s

fiscal

year,

the

12-month

period

ended

May

31,

2023.

Rising

interest

rates

weighed

on

returns

in

the

first

half

of

the

period,

but

many

sectors

rebounded

over

the

past

six

months

as

growth

remained

positive

in

the

major

economies

and

corporate

earnings

results

came

in

stronger

than

expected.

For

the

12-month

period,

growth

stocks

outperformed

value

shares,

and

developed

market

shares

generally

outpaced

their

emerging

market

counterparts.

In

the

U.S.,

the

Russell

1000

Growth

Index

and

Nasdaq

Composite

Index

performed

the

best.

Most

currencies

weakened

versus

the

U.S.

dollar

over

the

period,

which

weighed

on

returns

for

U.S.

investors

in

international

securities.

Within

the

S&P

500

Index,

the

information

technology

sector

had,

by

far,

the

strongest

returns.

Big

tech

companies

rebounded

strongly

at

the

start

of

2023,

helped

in

part

by

growing

investor

enthusiasm

for

artificial

intelligence

applications.

Meanwhile,

falling

prices

for

various

commodities

weighed

on

returns

for

the

materials

and

energy

sectors,

and

turmoil

in

the

banking

sector,

which

included

the

failure

of

three

large

regional

banks,

hurt

the

financials

segment.

Real

estate

stocks

also

came

under

pressure

amid

concerns

about

the

ability

of

some

commercial

property

owners

to

refinance

their

debt.

Cheaper

oil

contributed

to

slowing

inflation

during

the

period,

although

core

inflation

readings—which

exclude

volatile

food

and

energy

prices—remained

stubbornly

high.

April’s

consumer

price

index

data

(the

latest

available

in

our

reporting

period)

showed

a

headline

inflation

rate

of

4.9%

on

a

12-month

basis,

down

from

more

than

8%

at

the

start

of

the

period

but

still

well

above

the

Fed’s

long-term

2%

inflation

target.

In

response

to

persistent

inflation,

the

Fed

raised

its

short-term

lending

benchmark

rate

from

around

1.00%

at

the

start

of

the

period

to

a

range

of

5.00%

to

5.25%

by

the

end

of

May,

the

highest

level

since

2007.

However,

Fed

officials

have

recently

suggested

that

they

might

soon

be

ready

to

pause

additional

rate

hikes

as

they

wait

to

see

how

the

economy

is

progressing.

Bond

yields

increased

considerably

across

the

U.S.

Treasury

yield

curve

as

the

Fed

tightened

monetary

policy,

with

the

yield

on

the

benchmark

10-year

note

climbing

from

2.85%

at

the

start

of

the

period

to

3.64%

at

the

end

of

May.

Significant

inversions

in

the

yield

curve,

which

are

often

considered

a

warning

sign

of

a

coming

recession,

occurred

during

the

period

as

shorter-maturity

Treasuries

experienced

the

largest

yield

increases.

At

the

end

of

May,

the

yield

T.

ROWE

PRICE

Total

Return

Fund

2

on

the

three-month

Treasury

bill

was

188

basis

points

(1.88

percentage

point)

higher

than

the

yield

on

the

10-year

Treasury

note.

Increasing

yields

led

to

weak

results

across

most

of

the

fixed

income

market,

although

high

yield

bonds,

which

are

less

sensitive

to

rising

rates,

held

up

relatively

well.

Global

economies

and

markets

showed

surprising

resilience

in

recent

months,

but,

moving

into

the

second

half

of

2023,

we

believe

investors

could

face

potential

challenges.

The

economic

impact

of

the

Fed’s

rate

hikes

has

yet

to

be

fully

felt

in

the

economy,

and

while

the

regional

banking

turmoil

appears

to

have

been

contained

by

the

swift

actions

of

regulators,

it

could

continue

to

have

an

impact

on

credit

conditions.

Moreover,

the

market

consensus

still

seems

to

forecast

a

global

recession

starting

later

this

year

or

in

early

2024,

although

it

could

be

a

mild

downturn.

We

believe

this

environment

makes

skilled

active

management

a

critical

tool

for

identifying

risks

and

opportunities,

and

our

investment

teams

will

continue

to

use

fundamental

research

to

identify

securities

that

can

add

value

to

your

portfolio

over

the

long

term.

Thank

you

for

your

continued

confidence

in

T.

Rowe

Price.

Sincerely, 

Robert

Sharps

CEO

and

President

T.

ROWE

PRICE

Total

Return

Fund

Management’s

Discussion

of

Fund

Performance

3

INVESTMENT

OBJECTIVE 

The

fund

seeks

to

maximize

total

return

through

income

and,

secondarily,

capital

appreciation.

FUND

COMMENTARY

How

did

the

fund

perform

in

the

past 12

months?

The

fund

returned

-3.69%

for

the

12

months

ended

May

31,

2023,

and

underperformed

the

Bloomberg

U.S.

Aggregate

Bond

Index

and

the

Lipper

Core

Plus

Bond

Funds

Average.

(Results

for

Advisor

and

I

Class

shares

varied

slightly,

reflecting

their

different

fee

structures.

Past

performance

cannot

guarantee

future

results.

)

The

fund’s

performance

was

more

adversely

affected

earlier

in

the

period

when

markets

were

caught

off

guard

by

the

magnitude

of

the

Federal

Reserve’s

forceful

tightening

measures,

and

the

fund

generated

positive

returns

and

outpaced

the

benchmark

over

the

previous

six-month

period.

What

factors

influenced

the

fund’s

performance?

Despite

a

welcome

reversal

in

performance

year-to-date,

the

U.S.

investment-grade

(IG)

fixed

income

market,

as

measured

by

the

Bloomberg

U.S.

Aggregate

Bond

Index,

posted

negative

returns

over

the

previous

12

months.

Rising

U.S.

Treasury

yields

weighed

on

fixed

income

returns

as

the

Federal

Reserve

remained

committed

to

tightening

monetary

policy

to

curb

high

inflation.

However,

periods

of

stronger

risk

appetite

and

credit

spread

tightening

lent

some

support

to

the

U.S.

fixed

income

market,

and

corporate

credit

spreads

tightened

overall.

(Credit

spreads

measure

the

additional

yield

that

investors

demand

for

holding

a

bond

with

credit

risk

over

a

similar-maturity,

high-quality

government

security.)

In

agency

mortgage-backed

securities

(MBS),

exposure

to

lower-coupon

to-be-announced

(TBA)

contracts

(where

the

specific

securities

to

be

delivered

are

not

yet

known

on

the

trade

date)

dragged

on

performance.

We

utilize

TBA

securities

for

liquidity

management

purposes

and

to

efficiently

adjust

PERFORMANCE

COMPARISON

Total

Return

Periods

Ended

5/31/23

6

Months

12

Months

Total

Return

Fund

–

.

2.22‌%

-3.69‌%

Total

Return

Fund–

.

Advisor  Class

2.07‌

-3.97‌

Total

Return

Fund–

.

I  Class

2.29‌

-3.56‌

Bloomberg

U.S.

Aggregate

Bond

Index

2.00‌

-2.14‌

Lipper

Core

Plus

Bond

Funds

Average

2.12‌

-2.46‌

T.

ROWE

PRICE

Total

Return

Fund

4

positioning

within

the

agency

MBS

sector,

but

TBAs

generally

underperformed

specified

MBS

pools

as

mortgages

broadly

sold

off

and

market

participants

favored

mortgage

bonds

offering

more

desirable

prepayment

characteristics.

Some

single-asset

single-borrower

commercial

mortgage-backed

securities

(CMBS)

underperformed,

and

select

Chinese

property

names

dragged

in

the

emerging

markets

(EM)

corporate

sector.

However,

positive

security

selection

in

global

and

EM

sovereign

debt

helped

offset

some

losses

from

other

sectors.

Holding

Treasury

options

benefited

the

portfolio

later

in

the

period

when

two-year

Treasury

yields

fluctuated

notably.

An

assortment

of

EM

sovereign

credits

favored

by

our

analyst

team

generated

strong

results.

Our

EM

holdings

benefited

from

country-specific

developments

and

experienced

additional

tailwinds

from

expectations

that

the

Fed

might

be

nearing

the

end

of

its

rate-hiking

cycle.

China’s

earlier-than-expected

reopening

and

relatively

resilient

global

growth

in

the

face

of

tighter

financial

conditions

also

supported

our

EM

sovereign

exposure.

Sector

allocations

also

detracted

overall

from

fund

performance.

Broadly

speaking,

out-of-benchmark

exposure

to

non-agency

residential

mortgage-

backed

securities

(RMBS)

weighed

on

the

fund

for

the

12-month

period.

Increased

supply

in

2022

and

rising

recession

concerns

dragged

on

the

sector.

Additionally,

increased

rate

volatility

was

a

headwind

for

RMBS,

and

much

higher

mortgage

rates

caused

refinancing

activity

to

drastically

slow,

significantly

extending

mortgage

bond

durations

in

a

rising

rate

environment.

(Duration

measures

the

sensitivity

of

a

bond

or

a

bond

portfolio

to

interest

rate

changes.)

On

the

positive

side,

non-benchmark

allocations

to

the

high

yield

corporate,

leveraged

loan,

and

collateralized

loan

obligation

sectors

notably

benefited

performance.

High

yield

corporate

bonds

held

up

well

amid

relatively

strong

fundamentals

and

technical

conditions,

and

the

fund’s

bias

for

higher-quality

high

yield

bonds

helped

during

periods

of

waning

risk

appetite.

Interest

rate

management

detracted

overall.

A

yield

curve

steepening

bias

detracted

as

very

high

volatility

across

the

Treasury

term

structure

stemming

from

Fed

policy

uncertainty

was

a

headwind.

Our

overall

U.S.

duration

posture

had

a

largely

neutral

impact.

Non-U.S.

rates

exposures,

which

complement

U.S.

duration

positioning

and

diversify

risk

outside

of

credit

markets,

also

weighed

on

results,

as

global

central

bank

actions

were

unpredictable

amid

high

inflation

and

concerns

about

the

global

growth

outlook.

On

the

plus

side,

the

portfolio

benefited

from

the

uncommon

current

market

dynamic

where

cash

yields

exceed

yields

on

longer-term

Treasuries.

The

higher

yields

earned

on

cash

added

to

a

structural

yield

advantage

for

the

fund

relative

to

the

benchmark,

which

holds

no

cash.

T.

ROWE

PRICE

Total

Return

Fund

5

The

use

of

derivatives

had

an

overall

negative

effect

on

absolute

returns

for

the

period.

The

fund

maintained

material

exposure

to

interest

rate

derivatives

to

help

it

more

efficiently

manage

duration

and

positioning

along

the

yield

curve.

While

Treasury

options,

as

noted

above,

had

a

positive

effect

on

relative

returns,

positions

in

Treasury

futures

weighed

on

absolute

performance

in

a

rising

rate

environment.

(However,

without

the

use

of

those

instruments,

portfolio

duration

and

yield

curve

exposures

would

have

deviated

from

our

targets

and

increased

portfolio

risk

to

undesirable

levels.)

Material

exposure

to

credit

derivatives,

which

we

used

to

help

hedge

against

a

potential

widening

in

credit

spreads

and

can

offer

a

more

efficient

way

to

express

an

investment

view

relative

to

the

cash

bond

market,

also

detracted

from

performance.

These

credit

hedges

help

adjust

the

fund’s

overall

spread

sector

risk

in

areas

like

high

yield

bonds

and

bank

loans

where

we

held

out-of-benchmark

allocations

using

our

analyst

teams’

favored

security

ideas.

We

see

these

derivative

instruments

as

valuable

tools

for

keeping

our

credit

spread

risk

at

levels

that

are

warranted

for

the

macro

backdrop,

and

our

net

allocations

to

these

higher-yielding

credit

sectors

added

value.

How

is

the

fund

positioned?

Significant

movements

in

sector

positioning

across

the

12-month

period

mostly

involved

reductions

in

allocations

to

high

yield

corporate

bonds,

bank

loans,

and

CMBS

in

favor

of

higher-quality

and

more

liquid

U.S.

Treasuries,

agency

MBS,

and

IG

corporate

bonds.

We

also

trimmed

EM

corporate

and

sovereign

credit

and

non-agency

residential

mortgage

bonds

as

the

period

progressed.

In

late

2022,

we

took

advantage

of

a

rally

in

riskier

assets

and

reduced

exposure

to

high

yield

corporate

bonds

and

bank

loans.

Our

exposure

to

U.S.

Treasuries

increased.

The

sharply

hawkish

policy

response

from

the

Federal

Reserve

drove

U.S.

Treasury

yields

to

attractive

levels

for

investors

looking

for

liquidity

and

income

potential.

With

inflation

pressures

easing,

we

believe

that

Treasuries

can

once

again

serve

as

a

potential

hedge

against

risk-asset

volatility,

which

they

failed

to

do

last

year

when

the

Fed

was

tightening

aggressively.

More

recently,

we

reduced

the

portfolio’s

overweight

to

CMBS.

Sales

were

primarily

in

subordinated

single-asset

single-borrower

bonds

that

faced

further

extension

risk

in

a

higher-for-longer

interest

rate

environment.

We

also

employed

short

positions

in

the

CMBS

market

using

indexed

derivatives

to

help

balance

our

risk

exposure

in

the

sector.

While

being

prudent,

we

believe

certain

CMBS

have

the

potential

to

perform

well—although

there

will

likely

be

more

volatility

ahead.

T.

ROWE

PRICE

Total

Return

Fund

6

The

fund

added

to

IG

corporate

bonds

closer

to

the

end

of

2022

and

reduced

the

portfolio’s

large

underweight

in

the

sector.

Additionally,

we

added

to

agency

MBS,

shifting

from

a

slight

underweight

to

an

overweight

by

the

end

of

the

period.

We

believed

the

sector

offered

higher

quality

and

better

liquidity

than

credit

sectors,

and

spreads

offered

more

value

after

widening

due

to

elevated

rate

volatility

and

technical

concerns

stemming

from

potential

bank

sales.

The

rate-sensitive

agency

MBS

market

could

also

benefit

if

rate

volatility

begins

to

subside

with

the

end

of

the

Fed

tightening

cycle

approaching,

and

many

lower-coupon

MBS

are

trading

at

deep

discounts

in

the

wake

of

the

past

year’s

rate

surge.

We

were

active

in

our

duration

positioning,

holding

both

long

and

short

positions

during

the

period,

as

the

Fed’s

policy

stance

shifted.

However,

the

fund

was

overweight

duration

compared

with

the

benchmark

by

the

end

of

the

period

with

the

Fed

signaling

that

it

would

pause

hiking

rates.

Additionally,

the

financial

instability

experienced

during

the

banking

turmoil

and

the

lagged

economic

impact

of

past

monetary

tightening

could

convince

the

Fed

to

be

more

measured

with

further

rate

hikes.

Sources:

Credit

ratings

for

the

securities

held

in

the

fund

are

provided

by

Moody’s,

Standard

&

Poor’s,

and

Fitch

and

are

converted

to

the

Standard

&

Poor’s

nomenclature.

A

rating

of

AAA

represents

the

highest-

rated

securities,

and

a

rating

of

D

represents

the

lowest-

rated

securities.

If

the

rating

agencies

differ,

the

highest

rating

is

applied

to

the

security.

If

a

rating

is

not

available,

the

security

is

classified

as

Not

Rated.

T.

Rowe

Price

uses

the

rating

of

the

underlying

investment

vehicle

to

determine

the

creditworthiness

of

credit

default

swaps.

The

fund

is

not

rated

by

any

agency.

*

U.S.

government

agency

securities

are

issued

or

guaranteed

by

a

U.S.

government

agency

and

may

include

conventional

pass-through

securities

and

collateralized

mortgage

obligations;

unlike

Treasuries,

government

agency

securities

are

not

issued

directly

by

the

U.S.

government

and

are

generally

unrated

but

may

have

credit

support

from

the

U.S.

Treasury

(e.g.,

FHLMC

and

FNMA

issues)

or

a

direct

government

guarantee.

Therefore,

this

category

may

include

rated

and

unrated

securities.

**

U.S.

Treasury

securities

are

issued

by

the

U.S.

Treasury

and

are

backed

by

the

full

faith

and

credit

of

the

U.S.

government.

The

ratings

of

U.S.

Treasury

securities

are

derived

from

the

ratings

on

the

U.S.

government.

CREDIT

QUALITY

DIVERSIFICATION

U.S.

Government

Agency

Securities*

34‌%

U.S.

Treasury

Securities**

26‌ 

AAA

6‌ 

AA

6‌ 

A

8‌ 

BBB

11‌ 

BB

and

Below

19‌ 

Not

Rated

2‌ 

Reserves

-12‌ 

Total

100‌%

Based

on

net

assets

as

of

5/31/23.

T.

ROWE

PRICE

Total

Return

Fund

7

At

period-end,

we

positioned

the

portfolio

for

yield

curve

steepening,

with

more

duration

in

the

intermediate-term

(5-

to

10-year)

section

of

the

curve

and

less

at

the

long

end.

We

expect

intermediate-term

yields

to

fall

as

we

move

closer

to

the

end

of

the

Fed’s

hiking

cycle,

while

a

Fed

pause

could

allow

long-

term

yields,

which

have

been

restrained

by

the

Fed’s

efforts

to

quell

demand

and

inflation,

to

move

higher.

What

is

portfolio

management’s

outlook?

The

emergence

of

stress

in

the

banking

industry

has

added

to

economic

uncertainty

and

created

a

challenge

for

the

Fed

as

it

tries

to

balance

market

stability

with

its

goal

of

lowering

inflation.

Although

we

believe

the

bank

turmoil

seen

in

March

is

idiosyncratic

in

nature

and

due

to

unique

risks

at

certain

banks

rather

than

a

systemic

issue,

it’s

full

effect

on

economic

growth

via

potentially

reduced

credit

creation

also

remains

to

be

seen.

It

also

comes

at

a

time

when

global

liquidity

is

rapidly

falling,

monetary

policy

is

tight,

and

central

banks

have

little

scope

to

ease

policy

amid

high

inflation.

Indeed,

a

recession

is

never

desirable

but

may

be

necessary

to

bring

inflation

under

control

with

a

tight

labor

market

continuing

to

fuel

wage-growth

pressures.

We

are

also

mindful

of

the

potential

liquidity

challenges

that

could

arise

as

the

U.S.

Treasury

Department

begins

to

rebuild

the

Treasury

General

Account

through

substantial

Treasury

bill

issuance,

along

with

falling

bank

reserves

in

general

as

investors

pursue

higher-yielding

alternatives

to

bank

deposits.

Additionally,

consumer

behavior

has

been

supportive

of

the

economy,

but

falling

excess

savings

data

and

rising

unemployment

have

added

to

recession

risks.

While

we

wait

for

greater

clarity

on

the

economic

outlook,

we

remain

nimble

in

our

duration

positioning.

But

we

will

look

to

add

more

duration

when

it

becomes

clearer

that

the

Fed

tightening

cycle

is

finished.

Along

the

yield

curve,

we

are

favoring

a

steepening

bias

and

expect

to

add

to

this

position

as

the

cycle

turns

from

late-stage

expansion

to

recession.

In

terms

of

our

credit

sector

positioning,

we

have

looked

to

take

advantage

of

opportunities

in

dislocated

credits

due

to

recent

events,

but

we

are

continuing

to

take

a

generally

defensive

approach.

Though

remaining

moderately

cautious

for

now,

we

anticipate

an

opportunity

to

add

risk

when

appropriate,

and

our

strategy’s

flexible

guidelines

and

broad

tool

set

should

enable

us

to

act

quickly.

In

the

meantime,

we

believe

that

our

balanced

strategic

portfolio

should

enable

us

to

weather

market

turbulence,

as

unpleasant

as

it

may

be.

T.

ROWE

PRICE

Total

Return

Fund

8

As

always,

we

continue

to

rely

on

the

depth

and

breadth

of

T.

Rowe

Price’s

research

platform—fundamental,

quantitative,

and

macro—to

guide

our

top-

down

and

bottom-up

investment

decisions.

The

views

expressed

reflect

the

opinions

of

T.

Rowe

Price

as

of

the

date

of

this

report

and

are

subject

to

change

based

on

changes

in

market,

economic,

or

other

conditions.

These

views

are

not

intended

to

be

a

forecast

of

future

events

and

are

no

guarantee

of

future

results.

T.

ROWE

PRICE

Total

Return

Fund

9

Risks

of

Bond

Investing

All

investments

are

subject

to

market

risk,

including

possible

loss

of

principal.

The

fund

is

subject

to

the

risks

of

fixed

income

investing,

including

interest

rate

risk

and

credit

risk.

Interest

rate

risk

is

the

decline

in

bond

prices

that

accompanies

a

rise

in

the

overall

level

of

interest

rates.

Credit

risk

is

the

chance

that

any

of

the

fund’s

holdings

will

have

their

credit

ratings

downgraded

or

will

default

(fail

to

make

scheduled

interest

or

principal

payments),

potentially

reducing

the

fund’s

income

level

and

share

price.

Because

a

significant

portion

of

the

fund’s

investments

may

be

rated

below

investment

grade,

the

fund

is

exposed

to

greater

volatility

and

credit

risk

than

if

it

invested

mainly

in

investment-grade

bonds.

High

yield

bond

and

loan

issuers

are

usually

not

as

strong

financially

as

investment-grade

bond

issuers

and,

therefore,

are

more

likely

to

suffer

an

adverse

change

in

financial

condition

that

would

result

in

the

inability

to

meet

a

financial

obligation.

Accordingly,

securities

and

loans

involving

such

companies

carry

a

higher

risk

of

default

and

should

be

considered

speculative.

Investments

in

foreign

bonds

are

subject

to

special

risks,

including

potentially

adverse

overseas

political

and

economic

developments,

greater

volatility,

lower

liquidity,

and

the

possibility

that

foreign

currencies

will

decline

against

the

dollar.

Investments

in

emerging

markets

are

subject

to

the

risk

of

abrupt

and

severe

price

declines.

BENCHMARK

INFORMATION

Note:

Bloomberg

®

and the

Bloomberg

U.S.

Aggregate

Bond

Index

are

service

marks

of

Bloomberg

Finance

L.P.

and

its

affiliates,

including

Bloomberg

Index

Services

Limited

(“BISL”),

the

administrator

of

the

index

(collectively,

“Bloomberg”)

and

have

been

licensed

for

use

for

certain

purposes

by

T.

Rowe

Price.

Bloomberg

is

not

affiliated

with

T.

Rowe

Price,

and

Bloomberg

does

not

approve,

endorse,

review,

or

recommend

its

products.

Bloomberg

does

not

guarantee

the

timeliness,

accurateness,

or

completeness

of

any

data

or

information

relating

to

its

products.

Note:

Portions

of

the

mutual

fund

information

contained

in

this

report

was

supplied

by

Lipper,

a

Refinitiv

Company,

subject

to

the

following:

Copyright

2023

©

Refinitiv.

All

rights

reserved.

Any

copying,

republication

or

redistribution

of

Lipper

content

is

expressly

prohibited

without

the

prior

written

consent

of

Lipper.

Lipper

shall

not

be

liable

for

any

errors

or

delays

in

the

content,

or

for

any

actions

taken

in

reliance

thereon.

T.

ROWE

PRICE

Total

Return

Fund

10

Note:

Copyright

©

2023

Fitch

Ratings,

Inc.,

Fitch

Ratings

Ltd.

and

its

subsidiaries.

Note:

©

2023,

Moody’s

Corporation, Moody’s

Investors

Service,

Inc.,

Moody’s

Analytics,

Inc.

and/or

their

licensors

and

affiliates

(collectively,

“Moody’s”).

All

rights

reserved.

Moody’s

ratings

and

other

information

(“Moody’s

Information”)

are

proprietary

to

Moody’s

and/or

its

licensors

and

are

protected

by

copyright

and

other

intellectual

property

laws.

Moody’s

Information

is

licensed

to

Client

by

Moody’s.

MOODY’S

INFORMATION

MAY

NOT

BE

COPIED

OR

OTHERWISE

REPRODUCED,

REPACKAGED,

FURTHER

TRANSMITTED,

TRANSFERRED,

DISSEMINATED,

REDISTRIBUTED

OR

RESOLD,

OR

STORED

FOR

SUBSEQUENT

USE

FOR

ANY

SUCH

PURPOSE,

IN

WHOLE

OR

IN

PART,

IN

ANY

FORM

OR

MANNER

OR

BY

ANY

MEANS

WHATSOEVER,

BY

ANY

PERSON

WITHOUT

MOODY’S

PRIOR

WRITTEN

CONSENT.

Moody's

®

is

a

registered

trademark.

Note:

Copyright

©

2023,

S&P

Global

Market

Intelligence

(and

its

affiliates,

as

applicable).

Reproduction

of

any

information,

data

or

material,

including

ratings

("Content")

in

any

form

is

prohibited

except

with

the

prior

written

permission

of

the

relevant

party. Such

party,

its

affiliates

and

suppliers

("Content

Providers")

do

not

guarantee

the

accuracy,

adequacy,

completeness,

timeliness

or

availability

of

any

Content

and

are

not

responsible

for

any

errors

or

omissions

(negligent

or

otherwise),

regardless

of

the

cause,

or

for

the

results

obtained

from

the

use

of

such

Content.

In

no

event

shall

Content

Providers

be

liable

for

any

damages,

costs,

expenses,

legal

fees,

or

losses

(including

lost

income

or

lost

profit

and

opportunity

costs)

in

connection

with

any

use

of

the

Content.

A

reference

to

a

particular

investment

or

security,

a

rating

or

any

observation

concerning

an

investment

that

is

part

of

the

Content

is

not

a

recommendation

to

buy,

sell

or

hold

such

investment

or

security,

does

not

address

the

appropriateness

of

an

investment

or

security

and

should

not

be

relied

on

as

investment

advice.

Credit

ratings

are

statements

of

opinions

and

are

not

statements

of

fact.

BENCHMARK

INFORMATION

(continued)

T.

ROWE

PRICE

Total

Return

Fund

11

GROWTH

OF

$10,000 

This

chart

shows

the

value

of

a

hypothetical

$10,000

investment

in

the

fund

over

the

past

10

fiscal

year

periods

or

since

inception

(for funds

lacking

10-year

records).

The

result

is

compared

with

benchmarks,

which

include

a

broad-based

market

index

and

may

also

include

a

peer

group

average

or

index.

Market

indexes

do

not

include

expenses,

which

are

deducted

from

fund returns

as

well

as

mutual fund

averages

and

indexes.

TOTAL

RETURN

FUND 

Note:

Performance

for

the Advisor

and

I Class

shares

will

vary

due

to

their

differing

fee

structures.

See

the

Average

Annual

Compound

Total

Return

table. 

*The

Lipper

Core

Plus

Bond

Funds

Average

is

from

11/30/16.

T.

ROWE

PRICE

Total

Return

Fund

12

AVERAGE

ANNUAL

COMPOUND

TOTAL

RETURN

Periods

Ended

5/31/23

1

Year

5

Years

Since

Inception

11/15/16

Total

Return

Fund

–

.

-3.69‌%

0.92‌%

1.26‌%

Total

Return

Fund–

.

Advisor  Class

-3.97‌

0.63‌

0.96‌

Total

Return

Fund–

.

I  Class

-3.56‌

1.05‌

1.38‌

This

table

shows

how

the

fund

would

have

performed

each

year

if

its

actual

(or

cumulative)

returns

for

the

periods

shown

had

been

earned

at

a

constant

rate.

Returns

do

not

reflect

taxes

that

the

shareholder

may

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

Past

performance

cannot

guarantee

future

results.

T.

ROWE

PRICE

Total

Return

Fund

13

EXPENSE

RATIO

FUND

EXPENSE

EXAMPLE

As

a

mutual

fund

shareholder,

you

may

incur

two

types

of

costs:

(1)

transaction

costs,

such

as

redemption

fees

or

sales

loads,

and

(2)

ongoing

costs,

including

management

fees,

distribution

and

service

(12b-1)

fees,

and

other

fund

expenses.

The

following

example

is

intended

to

help

you

understand

your

ongoing

costs

(in

dollars)

of

investing

in

the

fund

and

to

compare

these

costs

with

the

ongoing

costs

of

investing

in

other

mutual

funds.

The

example

is

based

on

an

investment

of

$1,000

invested

at

the

beginning

of

the

most

recent

six-month

period

and

held

for

the

entire

period.

Please

note

that

the

fund

has

three

share

classes:

The

original

share

class

(Investor

Class)

charges

no

distribution

and

service

(12b-1)

fee,

the

Advisor

Class

shares

are

offered

only

through

unaffiliated

brokers

and

other

financial

intermediaries

and

charge

a

0.25%

12b-1

fee,

and

I

Class

shares

are

available

to

institutionally

oriented

clients

and

impose

no

12b-1

or

administrative

fee

payment.

Each

share

class

is

presented

separately

in

the

table.

Actual

Expenses

The

first

line

of

the

following

table

(Actual)

provides

information

about

actual

account

values

and

expenses

based

on

the

fund’s

actual

returns.

You

may

use

the

information

on

this

line,

together

with

your

account

balance,

to

estimate

the

expenses

that

you

paid

over

the

period.

Simply

divide

your

account

value

by

$1,000

(for

example,

an

$8,600

account

value

divided

by

$1,000

=

8.6),

then

multiply

the

result

by

the

number

on

the

first

line

under

the

heading

“Expenses

Paid

During

Period”

to

estimate

the

expenses

you

paid

on

your

account

during

this

period.

Hypothetical

Example

for

Comparison

Purposes

The

information

on

the

second

line

of

the

table

(Hypothetical)

is

based

on

hypothetical

account

values

and

expenses

derived

from

the

fund’s

actual

expense

ratio

and

an

assumed

5%

per

year

rate

of

return

before

expenses

(not

the

fund’s

actual

return).

You

may

compare

the

ongoing

costs

of

investing

in

the

fund

with

other

funds

by

contrasting

this

5%

hypothetical

example

and

the

5%

hypothetical

examples

that

appear

in

the

shareholder

reports

of

the

other

funds.

The

hypothetical

account

values

and

expenses

may

not

be

used

to

estimate

the

actual

ending

account

balance

or

expenses

you

paid

for

the

period.

Total

Return

Fund

0.53‌%

Total

Return

Fund–Advisor

Class

0.83‌ 

Total

Return

Fund–I

Class

0.38‌ 

The

expense

ratio

shown

is

as

of

the

fund’s

most

recent

prospectus.

This

number

may

vary

from

the

expense

ratio

shown

elsewhere

in

this

report

because

it

is

based

on

a

different

time

period

and,

if

applicable,

includes

acquired

fund

fees

and

expenses

but

does

not

include

fee

or

expense

waivers.

T.

ROWE

PRICE

Total

Return

Fund

14

Note:

T.

Rowe

Price

charges

an

annual

account

service

fee

of

$20,

generally

for

accounts

with

less

than

$10,000.

The

fee

is

waived

for

any

investor

whose

T.

Rowe

Price

mutual

fund

accounts

total

$50,000

or

more;

accounts

electing

to

receive

electronic

delivery

of

account

statements,

transaction

confirmations,

prospectuses,

and

shareholder

reports;

or

accounts

of

an

investor

who

is

a

T.

Rowe

Price

Personal

Services

or

Enhanced

Personal

Services

client

(enrollment

in

these

programs

generally

requires

T.

Rowe

Price

assets

of

at

least

$250,000).

This

fee

is

not

included

in

the

accompanying

table.

If

you

are

subject

to

the

fee,

keep

it

in

mind

when

you

are

estimating

the

ongoing

expenses

of

investing

in

the

fund

and

when

comparing

the

expenses

of

this

fund

with

other

funds.

You

should

also

be

aware

that

the

expenses

shown

in

the

table

highlight

only

your

ongoing

costs

and

do

not

reflect

any

transaction

costs,

such

as

redemption

fees

or

sales

loads.

Therefore,

the

second

line

of

the

table

is

useful

in

comparing

ongoing

costs

only

and

will

not

help

you

determine

the

relative

total

costs

of

owning

different

funds.

To

the

extent

a

fund

charges

transaction

costs,

however,

the

total

cost

of

owning

that

fund

is

higher.

TOTAL

RETURN

FUND

Beginning

Account

Value

12/1/22

Ending

Account

Value

5/31/23

Expenses

Paid

During

Period*

12/1/22

to

5/31/23

Investor

Class

Actual

$1,000.00

$1,022.20

$2.32

Hypothetical

(assumes

5%

return

before

expenses)

 1,000.00

  1,022.64

  2.32

Advisor

Class

Actual

  1,000.00

  1,020.70

  3.78

Hypothetical

(assumes

5%

return

before

expenses)

 1,000.00

  1,021.19

  3.78

I

Class

Actual

  1,000.00

  1,022.90

  1.66

Hypothetical

(assumes

5%

return

before

expenses)

 1,000.00

  1,023.29

  1.66

*

Expenses

are

equal

to

the

fund’s

annualized

expense

ratio

for

the

6-month

period,

multiplied

by

the

average

account

value

over

the

period,

multiplied

by

the

number

of

days

in

the

most

recent

fiscal

half

year

(182),

and

divided

by

the

days

in

the

year

(365)

to

reflect

the

half-year

period.

The

annualized

expense

ratio

of

the

1

Investor

Class

was

0.46%,

the

2

Advisor Class

was

0.75%,

and

the

3

I Class

was

0.33%.

FUND

EXPENSE

EXAMPLE

(CONTINUED)

T.

ROWE

PRICE

Total

Return

Fund

15

QUARTER-END

RETURNS

Periods

Ended

3/31/23

1

Year

5

Years

Since

Inception

11/15/16

Total

Return

Fund

–

.

-7.30‌%

1.07‌%

1.41‌%

Total

Return

Fund–

.

Advisor  Class

-7.67‌ 

0.78‌ 

1.10‌ 

Total

Return

Fund–

.

I  Class

-7.27‌ 

1.18‌ 

1.52‌ 

The

fund’s

performance

information

represents

only

past

performance

and

is

not

necessarily

an

indication

of

future

results.

Current

performance

may

be

lower

or

higher

than

the

performance

data

cited.

Share

price,

principal

value,

and

return

will

vary,

and

you

may

have

a

gain

or

loss

when

you

sell

your

shares.

For

the

most

recent

month-end

performance,

please

visit

our

website

(troweprice.com)

or

contact

a

T.

Rowe

Price

representative

at

1

-

800

-

225

-

5132

or,

for

2

Advisor

and

3

I

Class

shares,

1-800-638-8790

.

This

table

provides

returns

through

the

most

recent

calendar

quarter-end

rather

than

through

the

end

of

the

fund’s

fiscal

period.

It

shows

how

the

fund

would

have

performed

each

year

if

its

actual

(or

cumulative)

returns

for

the

periods

shown

had

been

earned

at

a

constant

rate.

Average

annual

total

return

figures

include

changes

in

principal

value,

reinvested

dividends,

and

capital

gain

distributions.

Returns

do

not

reflect

taxes

that

the

shareholder

may

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

When

assessing

performance,

investors

should

consider

both

short-

and

long-term

returns.

T.

ROWE

PRICE

Total

Return

Fund

Financial

Highlights

16

For

a

share

outstanding

throughout

each

period

Investor

Class

..

Year

..

..

Ended

.

5/31/23

5/31/22

5/31/21

5/31/20

5/31/19

NET

ASSET

VALUE

Beginning

of

period

$

9

.24‌

$

10

.49‌

$

10

.23‌

$

10

.14‌

$

9

.88‌

Investment

activities

Net

investment

income

(1)(2)

0

.35‌

0

.26‌

0

.28‌

0

.33‌

0

.35‌

Net

realized

and

unrealized

gain/

loss

(

0

.69‌

)

(

1

.18‌

)

0

.30‌

(3)

0

.26‌

0

.29‌

Total

from

investment

activities

(

0

.34‌

)

(

0

.92‌

)

0

.58‌

0

.59‌

0

.64‌

Distributions

Net

investment

income

(

0

.36‌

)

(

0

.26‌

)

(

0

.28‌

)

(

0

.34‌

)

(

0

.35‌

)

Net

realized

gain

—‌

(

0

.07‌

)

(

0

.04‌

)

(

0

.16‌

)

(

0

.03‌

)

Tax

return

of

capital

(

0

.01‌

)

—‌

—‌

—‌

—‌

Total

distributions

(

0

.37‌

)

(

0

.33‌

)

(

0

.32‌

)

(

0

.50‌

)

(

0

.38‌

)

NET

ASSET

VALUE

End

of

period

$

8

.53‌

$

9

.24‌

$

10

.49‌

$

10

.23‌

$

10

.14‌

T.

ROWE

PRICE

Total

Return

Fund

Financial

Highlights

17

For

a

share

outstanding

throughout

each

period

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Investor

Class

..

Year

..

..

Ended

.

5/31/23

5/31/22

5/31/21

5/31/20

5/31/19

Ratios/Supplemental

Data

Total

return

(2)(4)

(

3

.69‌

)

%

(

8

.99‌

)

%

5

.69‌

%

5

.96‌

%

6

.65‌

%

Ratios

to

average

net

assets:

(2)

Gross

expenses

before

waivers/

payments

by

Price

Associates

0

.60‌

%

0

.55‌

%

0

.66‌

%

0

.92‌

%

1

.20‌

%

Net

expenses

after

waivers/

payments

by

Price

Associates

0

.46‌

%

0

.49‌

%

0

.53‌

%

0

.54‌

%

0

.53‌

%

Net

investment

income

4

.06‌

%

2

.55‌

%

2

.69‌

%

3

.28‌

%

3

.54‌

%

Portfolio

turnover

rate

(5)

323

.0‌

%

324

.9‌

%

458

.4‌

%

613

.0‌

%

347

.5‌

%

Net

assets,

end

of

period

(in

thousands)

$89,573

$93,291

$133,804

$97,873

$45,168

0‌

%

0‌

%

0‌

%

0‌

%

0‌

%

(1)

Per

share

amounts

calculated

using

average

shares

outstanding

method.

(2)

See

Note

6

for

details

of

expense-related

arrangements

with

Price

Associates.

(3)

The

amount

presented

is

inconsistent

with

the

fund's

aggregate

gains

and

losses

because

of

the

timing

of

sales

and

redemptions

of

fund

shares

in

relation

to

fluctuating

market

values

for

the

investment

portfolio.

(4)

Total

return

reflects

the

rate

that

an

investor

would

have

earned

on

an

investment

in

the

fund

during

each

period,

assuming

reinvestment

of

all

distributions,

and

payment

of

no

redemption

or

account

fees,

if

applicable.

(5)

See

Note

4.

The

portfolio

turnover

rate

calculation

includes

purchases

and

sales

from

the

mortgage

dollar

roll

transactions;

had

these

transactions

been

excluded

from

the

calculation,

the

portfolio

turnover

for

the  periods

ending

5/31/23

and

5/31/22

would

have

been

95.3%

and

73.1%,

respectively.

T.

ROWE

PRICE

Total

Return

Fund

Financial

Highlights

18

For

a

share

outstanding

throughout

each

period

Advisor

Class

..

Year

..

..

Ended

.

5/31/23

5/31/22

5/31/21

5/31/20

5/31/19

NET

ASSET

VALUE

Beginning

of

period

$

9

.24‌

$

10

.49‌

$

10

.23‌

$

10

.14‌

$

9

.88‌

Investment

activities

Net

investment

income

(1)(2)

0

.33‌

0

.24‌

0

.25‌

0

.31‌

0

.32‌

Net

realized

and

unrealized

gain/

loss

(

0

.70‌

)

(

1

.19‌

)

0

.30‌

(3)

0

.25‌

0

.29‌

Total

from

investment

activities

(

0

.37‌

)

(

0

.95‌

)

0

.55‌

0

.56‌

0

.61‌

Distributions

Net

investment

income

(

0

.34‌

)

(

0

.23‌

)

(

0

.25‌

)

(

0

.31‌

)

(

0

.32‌

)

Net

realized

gain

—‌

(

0

.07‌

)

(

0

.04‌

)

(

0

.16‌

)

(

0

.03‌

)

Tax

return

of

capital

—‌

(4)

—‌

—‌

—‌

—‌

Total

distributions

(

0

.34‌

)

(

0

.30‌

)

(

0

.29‌

)

(

0

.47‌

)

(

0

.35‌

)

NET

ASSET

VALUE

End

of

period

$

8

.53‌

$

9

.24‌

$

10

.49‌

$

10

.23‌

$

10

.14‌

T.

ROWE

PRICE

Total

Return

Fund

Financial

Highlights

19

For

a

share

outstanding

throughout

each

period

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Advisor

Class

..

Year

..

..

Ended

.

5/31/23

5/31/22

5/31/21

5/31/20

5/31/19

Ratios/Supplemental

Data

Total

return

(2)(5)

(

3

.97‌

)

%

(

9

.25‌

)

%

5

.38‌

%

5

.65‌

%

6

.33‌

%

Ratios

to

average

net

assets:

(2)

Gross

expenses

before

waivers/

payments

by

Price

Associates

0

.80‌

%

0

.84‌

%

1

.08‌

%

1

.38‌

%

1

.70‌

%

Net

expenses

after

waivers/

payments

by

Price

Associates

0

.75‌

%

0

.76‌

%

0

.82‌

%

0

.83‌

%

0

.82‌

%

Net

investment

income

3

.76‌

%

2

.42‌

%

2

.42‌

%

3

.00‌

%

3

.24‌

%

Portfolio

turnover

rate

(6)

323

.0‌

%

324

.9‌

%

458

.4‌

%

613

.0‌

%

347

.5‌

%

Net

assets,

end

of

period

(in

thousands)

$826

$972

$259

$396

$273

0‌

%

0‌

%

0‌

%

0‌

%

0‌

%

(1)

Per

share

amounts

calculated

using

average

shares

outstanding

method.

(2)

See

Note

6

for

details

of

expense-related

arrangements

with

Price

Associates.

(3)

The

amount

presented

is

inconsistent

with

the

fund's

aggregate

gains

and

losses

because

of

the

timing

of

sales

and

redemptions

of

fund

shares

in

relation

to

fluctuating

market

values

for

the

investment

portfolio.

(4)

Amounts

round

to

less

than

$0.01

per

share.

(5)

Total

return

reflects

the

rate

that

an

investor

would

have

earned

on

an

investment

in

the

fund

during

each

period,

assuming

reinvestment

of

all

distributions,

and

payment

of

no

redemption

or

account

fees,

if

applicable.

(6)

See

Note

4.

The

portfolio

turnover

rate

calculation

includes

purchases

and

sales

from

the

mortgage

dollar

roll

transactions;

had

these

transactions

been

excluded

from

the

calculation,

the

portfolio

turnover

for

the  periods

ending

5/31/23

and

5/31/22

would

have

been

95.3%

and

73.1%,

respectively.

T.

ROWE

PRICE

Total

Return

Fund

Financial

Highlights

20

For

a

share

outstanding

throughout

each

period

I

Class

..

Year

..

..

Ended

.

5/31/23

5/31/22

5/31/21

5/31/20

5/31/19

NET

ASSET

VALUE

Beginning

of

period

$

9

.24‌

$

10

.49‌

$

10

.24‌

$

10

.14‌

$

9

.88‌

Investment

activities

Net

investment

income

(1)(2)

0

.37‌

0

.28‌

0

.27‌

0

.34‌

0

.36‌

Net

realized

and

unrealized

gain/

loss

(

0

.70‌

)

(

1

.18‌

)

0

.31‌

(3)

0

.28‌

0

.29‌

Total

from

investment

activities

(

0

.33‌

)

(

0

.90‌

)

0

.58‌

0

.62‌

0

.65‌

Distributions

Net

investment

income

(

0

.37‌

)

(

0

.28‌

)

(

0

.29‌

)

(

0

.36‌

)

(

0

.36‌

)

Net

realized

gain

—‌

(

0

.07‌

)

(

0

.04‌

)

(

0

.16‌

)

(

0

.03‌

)

Tax

return

of

capital

(

0

.01‌

)

—‌

—‌

—‌

—‌

Total

distributions

(

0

.38‌

)

(

0

.35‌

)

(

0

.33‌

)

(

0

.52‌

)

(

0

.39‌

)

NET

ASSET

VALUE

End

of

period

$

8

.53‌

$

9

.24‌

$

10

.49‌

$

10

.24‌

$

10

.14‌

T.

ROWE

PRICE

Total

Return

Fund

Financial

Highlights

21

For

a

share

outstanding

throughout

each

period

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

I

Class

..

Year

..

..

Ended

.

5/31/23

5/31/22

5/31/21

5/31/20

5/31/19

Ratios/Supplemental

Data

Total

return

(2)(4)

(

3

.56‌

)

%

(

8

.86‌

)

%

5

.73‌

%

6

.18‌

%

6

.76‌

%

Ratios

to

average

net

assets:

(2)

Gross

expenses

before

waivers/

payments

by

Price

Associates

0

.38‌

%

0

.39‌

%

0

.48‌

%

0

.81‌

%

1

.12‌

%

Net

expenses

after

waivers/

payments

by

Price

Associates

0

.33‌

%

0

.34‌

%

0

.37‌

%

0

.42‌

%

0

.42‌

%

Net

investment

income

4

.21‌

%

2

.75‌

%

2

.60‌

%

3

.38‌

%

3

.65‌

%

Portfolio

turnover

rate

(5)

323

.0‌

%

324

.9‌

%

458

.4‌

%

613

.0‌

%

347

.5‌

%

Net

assets,

end

of

period

(in

thousands)

$594,730

$546,335

$452,452

$8,894

$2,249

0‌

%

0‌

%

0‌

%

0‌

%

0‌

%

(1)

Per

share

amounts

calculated

using

average

shares

outstanding

method.

(2)

See

Note

6

for

details

of

expense-related

arrangements

with

Price

Associates.

(3)

The

amount

presented

is

inconsistent

with

the

fund's

aggregate

gains

and

losses

because

of

the

timing

of

sales

and

redemptions

of

fund

shares

in

relation

to

fluctuating

market

values

for

the

investment

portfolio.

(4)

Total

return

reflects

the

rate

that

an

investor

would

have

earned

on

an

investment

in

the

fund

during

each

period,

assuming

reinvestment

of

all

distributions,

and

payment

of

no

redemption

or

account

fees,

if

applicable.

(5)

See

Note

4.

The

portfolio

turnover

rate

calculation

includes

purchases

and

sales

from

the

mortgage

dollar

roll

transactions;

had

these

transactions

been

excluded

from

the

calculation,

the

portfolio

turnover

for

the  periods

ending

5/31/23

and

5/31/22

would

have

been

95.3%

and

73.1%,

respectively.

T.

ROWE

PRICE

Total

Return

Fund

May

31,

2023

22

Portfolio

of

Investments

‡

Par/Shares

$

Value

(Amounts

in

000s)

‡

ASSET-BACKED

SECURITIES

13.7%

Car

Loan

2.2%

AmeriCredit

Automobile

Receivables

Trust

Series

2020-1,

Class

D

1.80%,

12/18/25 

385‌

367‌

AmeriCredit

Automobile

Receivables

Trust

Series

2023-1,

Class

C

5.80%,

12/18/28 

430‌

432‌

Avis

Budget

Rental

Car

Funding

AESOP

Series

2018-1A,

Class

C

4.73%,

9/20/24  (1)

150‌

150‌

Avis

Budget

Rental

Car

Funding

AESOP

Series

2019-2A,

Class

C

4.24%,

9/22/25  (1)

235‌

227‌

CarMax

Auto

Owner

Trust

Series

2022-2,

Class

C

4.26%,

12/15/27 

1,605‌

1,554‌

Carvana

Auto

Receivables

Trust

Series

2022-N1,

Class

D

4.13%,

12/11/28  (1)

1,610‌

1,520‌

Carvana

Auto

Receivables

Trust

Series

2022-P1,

Class

C

3.30%,

4/10/28 

1,210‌

1,075‌

Exeter

Automobile

Receivables

Trust

Series

2021-3A,

Class

D

1.55%,

6/15/27 

800‌

736‌

Exeter

Automobile

Receivables

Trust

Series

2022-4A,

Class

B

4.57%,

1/15/27 

1,600‌

1,572‌

Exeter

Automobile

Receivables

Trust

Series

2022-6A,

Class

A3

5.70%,

8/17/26 

165‌

165‌

Exeter

Automobile

Receivables

Trust

Series

2023-1A,

Class

D

6.69%,

6/15/29 

135‌

136‌

Ford

Credit

Auto

Lease

Trust

Series

2023-A,

Class

B

5.29%,

6/15/26 

760‌

756‌

Ford

Credit

Auto

Owner

Trust

Series

2021-A,

Class

C

0.83%,

8/15/28 

1,765‌

1,625‌

GM

Financial

Consumer

Automobile

Receivables

Trust

Series

2023-1,

Class

B

5.03%,

9/18/28 

290‌

289‌

GMF

Floorplan

Owner

Revolving

Trust

Series

2020-1,

Class

C

1.48%,

8/15/25  (1)

765‌

757‌

T.

ROWE

PRICE

Total

Return

Fund

23

Par/Shares

$

Value

(Amounts

in

000s)

Santander

Bank

Series

2021-1A,

Class

C

3.268%,

12/15/31  (1)

356‌

344‌

Santander

Bank

Auto

Credit-Linked

Notes

Series

2022-B,

Class

B

5.721%,

8/16/32  (1)

1,009‌

1,001‌

Santander

Bank

Auto

Credit-Linked

Notes

Series

2022-C,

Class

A2

6.024%,

12/15/32  (1)

800‌

799‌

Santander

Consumer

Auto

Receivables

Trust

Series

2020-AA,

Class

C

3.71%,

2/17/26  (1)

92‌

91‌

Santander

Consumer

Auto

Receivables

Trust

Series

2021-AA,

Class

D

1.57%,

1/15/27  (1)

665‌

609‌

Santander

Drive

Auto

Receivables

Trust

Series

2020-4,

Class

D

1.48%,

1/15/27 

445‌

428‌

Santander

Retail

Auto

Lease

Trust

Series

2022-B,

Class

B

3.85%,

3/22/27  (1)

615‌

594‌

15,227‌

Collateralized

Mortgage

Obligations

0.1%

New

Residential

Mortgage

Loan

Trust

Series

2022-SFR1,

Class

D

3.299%,

2/17/39  (1)

620‌

544‌

544‌

Other

Asset-Backed

Securities

10.7%

522

Funding

Series

2019-5A,

Class

CR,

CLO,

FRN

3M

TSFR

+

2.20%,

7.186%,

4/15/35  (1)

1,000‌

943‌

AGL

Series

2021-13A,

Class

A1,

CLO,

FRN

3M

USD

LIBOR

+

1.16%,

6.41%,

10/20/34  (1)

1,560‌

1,524‌

AGL

Series

2021-14A,

Class

A,

CLO,

FRN

3M

USD

LIBOR

+

1.15%,

6.411%,

12/2/34  (1)

1,605‌

1,568‌

AGL

Series

2021-14A,

Class

B1,

CLO,

FRN

3M

USD

LIBOR

+

1.65%,

6.911%,

12/2/34  (1)

1,505‌

1,430‌

AMSR

Trust

Series

2022-SFR3,

Class

A

4.00%,

10/17/39  (1)

985‌

934‌

Amur

Equipment

Finance

Receivables

X

Series

2022-1A,

Class

D

2.91%,

8/21/28  (1)

2,520‌

2,259‌

T.

ROWE

PRICE

Total

Return

Fund

24

Par/Shares

$

Value

(Amounts

in

000s)

Apidos

XXXVII

Series

2021-37A,

Class

B,

CLO,

FRN

3M

USD

LIBOR

+

1.60%,

6.873%,

10/22/34  (1)

525‌

501‌

Applebee's

Funding

Series

2019-1A,

Class

A2II

4.723%,

6/5/49  (1)

257‌

239‌

Benefit

Street

Partners

IV

Series

2014-IVA,

Class

A2AR,

CLO,

FRN

3M

USD

LIBOR

+

1.55%,

6.80%,

1/20/32  (1)

2,320‌

2,231‌

Benefit

Street

Partners

XI

Series

2017-11A,

Class

A2R,

CLO,

FRN

3M

USD

LIBOR

+

1.50%,

6.76%,

4/15/29  (1)

2,075‌

2,032‌

CIFC

Funding

Series

2019-5A,

Class

BR,

CLO,

FRN

3M

USD

LIBOR

+

2.15%,

7.41%,

1/15/35  (1)

1,650‌

1,568‌

CIFC

Funding

Series

2021-3A,

Class

A,

CLO,

FRN

3M

USD

LIBOR

+

1.14%,

6.40%,

7/15/36  (1)

2,190‌

2,139‌

Cologix

Canadian

Issuer

Series

2022-1CAN,

Class

A2

4.94%,

1/25/52

(CAD)  (1)

1,460‌

980‌

Dryden

77

Series

2020-77A,

Class

BR,

CLO,

FRN

3M

USD

LIBOR

+

1.65%,

7.029%,

5/20/34  (1)

3,300‌

3,166‌

FirstKey

Homes

Trust

Series

2020-SFR1,

Class

A

1.339%,

8/17/37  (1)

1,696‌

1,549‌

FirstKey

Homes

Trust

Series

2020-SFR2,

Class

D

1.968%,

10/19/37  (1)

1,410‌

1,272‌

FOCUS

Brands

Funding

Series

2017-1A,

Class

A2II

5.093%,

4/30/47  (1)

1,753‌

1,627‌

FOCUS

Brands

Funding

Series

2022-1,

Class

A2

7.206%,

7/30/52  (1)

1,519‌

1,539‌

GreatAmerica

Leasing

Receivables

Funding

Series

2021-2,

Class

A3

0.67%,

7/15/25 

1,685‌

1,606‌

Hardee's

Funding

Series

2018-1A,

Class

A2II

4.959%,

6/20/48  (1)

759‌

716‌

Hilton

Grand

Vacations

Trust

Series

2017-AA,

Class

A

2.66%,

12/26/28  (1)

16‌

15‌

Hilton

Grand

Vacations

Trust

Series

2017-AA,

Class

B

2.96%,

12/26/28  (1)

30‌

30‌

T.

ROWE

PRICE

Total

Return

Fund

25

Par/Shares

$

Value

(Amounts

in

000s)

Hilton

Grand

Vacations

Trust

Series

2020-AA,

Class

C

6.42%,

2/25/39  (1)

54‌

53‌

Home

Partners

of

America

Trust

Series

2022-1,

Class

A

3.93%,

4/17/39  (1)

2,466‌

2,334‌

Home

Partners

of

America

Trust

Series

2022-1,

Class

D

4.73%,

4/17/39  (1)

1,775‌

1,647‌

Hpefs

Equipment

Trust

Series

2022-3A,

Class

C

6.13%,

8/20/29  (1)

1,465‌

1,468‌

HPS

Loan

Management

Series

11A-17,

Class

BR,

CLO,

FRN

3M

USD

LIBOR

+

1.55%,

6.874%,

5/6/30  (1)

415‌

405‌

HPS

Loan

Management

Series

11A-17,

Class

CR,

CLO,

FRN

3M

USD

LIBOR

+

1.95%,

7.274%,

5/6/30  (1)

1,830‌

1,723‌

HPS

Loan

Management

Series

2021-16A,

Class

A1,

CLO,

FRN

3M

USD

LIBOR

+

1.14%,

6.413%,

1/23/35  (1)

1,575‌

1,533‌

Jack

in

the

Box

Funding

Series

2019-1A,

Class

A23

4.97%,

8/25/49  (1)

970‌

878‌

KKR

Series

13,

Class

B1R,

CLO,

FRN

3M

USD

LIBOR

+

1.15%,

6.41%,

1/16/28  (1)

780‌

767‌

KKR

Series

36A,

Class

A,

CLO,

FRN

3M

USD

LIBOR

+

1.18%,

6.44%,

10/15/34  (1)

1,630‌

1,591‌

Kubota

Credit

Owner

Trust

Series

2023-1A,

Class

A4

5.07%,

2/15/29  (1)

340‌

339‌

Madison

Park

Funding

XXIII

Series

2017-23A,

Class

AR,

CLO,

FRN

3M

USD

LIBOR

+

0.97%,

6.262%,

7/27/31  (1)

875‌

865‌

Madison

Park

Funding

XXXIII

Series

2019-33A,

Class

AR,

CLO,

FRN

3M

TSFR

+

1.29%,

6.276%,

10/15/32  (1)

1,145‌

1,123‌

Madison

Park

Funding

XXXV

Series

2019-35A,

Class

CR,

CLO,

FRN

3M

USD

LIBOR

+

1.90%,

7.15%,

4/20/32  (1)

2,500‌

2,373‌

Magnetite

XXV

Series

2020-25A,

Class

B,

CLO,

FRN

3M

USD

LIBOR

+

1.55%,

6.805%,

1/25/32  (1)

2,665‌

2,579‌

MVW

Series

2020-1A,

Class

C

4.21%,

10/20/37  (1)

123‌

116‌

T.

ROWE

PRICE

Total

Return

Fund

26

Par/Shares

$

Value

(Amounts

in

000s)

MVW

Series

2023-1A,

Class

B

5.42%,

10/20/40  (1)

1,312‌

1,299‌

MVW

Owner

Trust

Series

2017-1A,

Class

B

2.75%,

12/20/34  (1)

16‌

16‌

MVW

Owner

Trust

Series

2017-1A,

Class

C

2.99%,

12/20/34  (1)

19‌

19‌

MVW

Owner

Trust

Series

2019-1A,

Class

C

3.33%,

11/20/36  (1)

44‌

41‌

Neuberger

Berman

Loan

Advisers

Series

2018-29A,

Class

A1,

CLO,

FRN

3M

USD

LIBOR

+

1.13%,

6.395%,

10/19/31  (1)

1,105‌

1,093‌

Neuberger

Berman

Loan

Advisers

Series

2018-29A,

Class

B1,

CLO,

FRN

3M

USD

LIBOR

+

1.70%,

6.965%,

10/19/31  (1)

250‌

244‌

Neuberger

Berman

Loan

Advisers

Series

2019-32A,

Class

BR,

CLO,

FRN

3M

USD

LIBOR

+

1.40%,

6.665%,

1/20/32  (1)

250‌

241‌

Neuberger

Berman

Loan

Advisers

Series

2021-40A,

Class

A,

CLO,

FRN

3M

USD

LIBOR

+

1.06%,

6.32%,

4/16/33  (1)

1,550‌

1,528‌

Neuberger

Berman

Loan

Advisers

Series

2021-43A,

Class

A,

CLO,

FRN

3M

USD

LIBOR

+

1.13%,

6.39%,

7/17/35  (1)

585‌

573‌

Neuberger

Berman

XVII

Series

2014-17A,

Class

BR2,

CLO,

FRN

3M

USD

LIBOR

+

1.50%,

6.773%,

4/22/29  (1)

500‌

488‌

OCP

Series

2014-7A,

Class

A2RR,

CLO,

FRN

3M

USD

LIBOR

+

1.65%,

6.90%,

7/20/29  (1)

1,095‌

1,063‌

OCP

Series

2017-13A,

Class

A1AR,

CLO,

FRN

3M

USD

LIBOR

+

0.96%,

6.22%,

7/15/30  (1)

970‌

959‌

Octane

Receivables

Trust

Series

2022-2A,

Class

A

5.11%,

2/22/28  (1)

877‌

866‌

Octane

Receivables

Trust

Series

2022-2A,

Class

D

7.70%,

2/20/30  (1)

1,265‌

1,272‌

Octane

Receivables

Trust

Series

2023-1A,

Class

A

5.87%,

5/21/29  (1)

229‌

228‌

Palmer

Square

Series

2020-3A,

Class

A1AR,

CLO,

FRN

3M

USD

LIBOR

+

1.08%,

6.401%,

11/15/31  (1)

2,000‌

1,970‌

T.

ROWE

PRICE

Total

Return

Fund

27

Par/Shares

$

Value

(Amounts

in

000s)

Peace

Park

Series

2021-1A,

Class

B1,

CLO,

FRN

3M

USD

LIBOR

+

1.60%,

6.85%,

10/20/34  (1)

1,290‌

1,241‌

Progress

Residential

Trust

Series

2022-SFR4,

Class

A

4.438%,

5/17/41  (1)

1,223‌

1,166‌

Progress

Residential

Trust

Series

2022-SFR7,

Class

B

5.50%,

10/27/39  (1)

1,595‌

1,585‌

Progress

Residential

Trust

Series

2023-SFR1,

Class

B

4.65%,

3/17/40  (1)

1,640‌

1,554‌

Regatta

XIX

Funding

Series

2022-1A,

Class

B,

CLO,

FRN

3M

TSFR

+

1.85%,

6.898%,

4/20/35  (1)

1,305‌

1,264‌

Sierra

Timeshare

Receivables

Funding

Series

2020-2A,

Class

C

3.51%,

7/20/37  (1)

32‌

30‌

Symphony

XX

Series

2018-20A,

Class

CR,

CLO,

FRN

3M

USD

LIBOR

+

2.35%,

7.61%,

1/16/32  (1)

2,090‌

2,027‌

TCI-Flatiron

Series

2018-1A,

Class

BR,

CLO,

FRN

3M

USD

LIBOR

+

1.40%,

6.699%,

1/29/32  (1)

980‌

944‌

Tricon

Residential

Trust

Series

2022-SFR1,

Class

A

3.856%,

4/17/39  (1)

643‌

605‌

Wellfleet

Series

2017-2A,

Class

A1R,

CLO,

FRN

3M

USD

LIBOR

+

1.06%,

6.31%,

10/20/29  (1)

153‌

151‌

Wellfleet

Series

2021-3A,

Class

B,

CLO,

FRN

3M

USD

LIBOR

+

1.80%,

7.06%,

1/15/35  (1)

1,310‌

1,256‌

73,385‌

Student

Loan

0.7%

Navient

Private

Education

Refi

Loan

Trust

Series

2020-BA,

Class

B

2.77%,

1/15/69  (1)

975‌

776‌

Navient

Private

Education

Refi

Loan

Trust

Series

2020-CA,

Class

B

2.83%,

11/15/68  (1)

600‌

493‌

Navient

Private

Education

Refi

Loan

Trust

Series

2020-FA,

Class

B

2.69%,

7/15/69  (1)

400‌

333‌

Navient

Private

Education

Refi

Loan

Trust

Series

2020-HA,

Class

B

2.78%,

1/15/69  (1)

1,340‌

1,118‌

T.

ROWE

PRICE

Total

Return

Fund

28

Par/Shares

$

Value

(Amounts

in

000s)

SMB

Private

Education

Loan

Trust

Series

2017-B,

Class

A2A

2.82%,

10/15/35  (1)

125‌

119‌

SMB

Private

Education

Loan

Trust

Series

2020-PTB,

Class

A2A

1.60%,

9/15/54  (1)

387‌

346‌

SMB

Private

Education

Loan

Trust

Series

2022-D,

Class

B

6.15%,

10/15/58  (1)

1,500‌

1,495‌

4,680‌

Total

Asset-Backed

Securities

(Cost

$96,808)

93,836‌

BANK

LOANS

6.7%

(2)

FINANCIAL

INSTITUTIONS

1.1%

Brokerage

Asset

Managers

Exchanges

0.1%

Citadel

Securities,

FRN

1M

TSFR

+

3.00%,

8.268%,

2/2/28 

399‌

396‌

396‌

Consumer

Cyclical

0.2%

Delta

2

Lux

Sarl,

FRN

1M

TSFR

+

3.00%,

8.153%,

1/15/30 

1,150‌

1,149‌

1,149‌

Insurance

0.8%

Acrisure,

FRN

1M

TSFR

+

5.75%,

10.823%,

2/15/27 

374‌

367‌

Asurion,

FRN

1M

USD

LIBOR

+

3.25%,

8.404%,

12/23/26 

351‌

324‌

Asurion,

FRN

1M

USD

LIBOR

+

5.25%,

10.404%,

1/31/28 

813‌

667‌

Asurion,

FRN

1M

USD

LIBOR

+

5.25%,

10.404%,

1/20/29 

1,740‌

1,418‌

HUB

International,

FRN

1M

TSFR

+

4.00%,

9.072%,

11/10/29 

105‌

103‌

HUB

International,

FRN

1M

USD

LIBOR

+

3.25%,

8.398%,

4/25/25 

2,079‌

2,064‌

Jones

Deslauriers

Insurance

Management,

FRN

3M

CAD

CDOR

+

4.25%,

9.293%,

3/27/28

(CAD)  (3)

335‌

242‌

Jones

Deslauriers

Insurance

Management,

FRN

3M

CAD

CDOR

+

4.25%,

9.293%,

3/27/28

(CAD)  (3)

181‌

131‌

Ryan

Specialty,

FRN

1M

TSFR

+

3.00%,

8.253%,

9/1/27 

357‌

356‌

5,672‌

Total

Financial

Institutions

7,217‌

T.

ROWE

PRICE

Total

Return

Fund

29

Par/Shares

$

Value

(Amounts

in

000s)

INDUSTRIAL

5.5%

Basic

Industry

0.1%

Aruba

Investments

Holdings,

FRN

1M

USD

LIBOR

+

7.75%,

12.904%,

11/24/28 

520‌

457‌

457‌

Capital

Goods

0.9%

Brookfield

WEC

Holdings,

FRN

1M

TSFR

+

3.75%,

8.903%,

8/1/25 

323‌

322‌

Brookfield

WEC

Holdings,

FRN

1M

USD

LIBOR

+

2.75%,

7.904%,

8/1/25 

194‌

192‌

Charter

Next

Generation,

FRN

1M

TSFR

+

3.75%,

9.018%,

12/1/27 

1,113‌

1,081‌

Dynasty

Acquisition,

FRN

1M

USD

LIBOR

+

3.50%,

8.753%,

4/6/26  (4)

670‌

653‌

Engineered

Machinery

Holdings,

FRN

3M

USD

LIBOR

+

6.00%,

11.159%,

5/21/29 

665‌

603‌

Engineered

Machinery

Holdings,

FRN

3M

USD

LIBOR

+

6.50%,

11.659%,

5/21/29 

700‌

634‌

Filtration

Group,

FRN

1M

TSFR

+

4.25%,

9.462%,

5/19/28 

1,581‌

1,565‌

Filtration

Group,

FRN

1M

USD

LIBOR

+

3.50%,

8.768%,

10/21/28 

325‌

319‌

Madison

IAQ,

FRN

3M

USD

LIBOR

+

3.25%,

8.302%,

6/21/28 

242‌

232‌

TK

Elevator

U.S.

Newco,

FRN

6M

USD

LIBOR

+

3.50%,

8.602%,

7/30/27 

531‌

511‌

6,112‌

Communications

0.1%

Clear

Channel

Outdoor

Holdings,

FRN

3M

TSFR

+

3.50%,

8.807%,

8/21/26 

491‌

461‌

Intelsat

Jackson

Holdings,

FRN

6M

TSFR

+

4.25%,

9.443%,

2/1/29 

276‌

271‌

732‌

Consumer

Cyclical

1.1%

Caesars

Entertainment,

FRN

1M

TSFR

+

3.25%,

8.503%,

2/6/30 

285‌

282‌

CNT

Holdings

I,

FRN

1M

TSFR

+

3.50%,

8.459%,

11/8/27 

109‌

106‌

CNT

Holdings

I,

FRN

1M

USD

LIBOR

+

6.75%,

11.709%,

11/6/28 

245‌

228‌

Dave

&

Buster's,

FRN

1M

TSFR

+

5.00%,

10.313%,

6/29/29 

307‌

307‌

EG

Finco,

FRN

3M

EURIBOR

+

7.00%,

9.752%,

4/30/27

(EUR) 

560‌

544‌

IRB

Holding,

FRN

1M

TSFR

+

3.00%,

8.253%,

12/15/27 

630‌

611‌

T.

ROWE

PRICE

Total

Return

Fund

30

Par/Shares

$

Value

(Amounts

in

000s)

Life

Time,

FRN

1M

TSFR

+

4.50%,

9.80%,

1/15/26 

155‌

154‌

MIC

Glen,

FRN

1M

USD

LIBOR

+

6.75%,

11.986%,

7/20/29  (3)

400‌

362‌

PetSmart,

FRN

1M

TSFR

+

3.75%,

9.003%,

2/11/28 

236‌

233‌

Scientific

Games

Holdings,

FRN

3M

TSFR

+

3.50%,

8.421%,

4/4/29 

244‌

235‌

SeaWorld

Parks

&

Entertainment,

FRN

1M

USD

LIBOR

+

3.00%,

8.188%,

8/25/28 

307‌

303‌

Tacala

Investment,

FRN

1M

USD

LIBOR

+

3.50%,

8.654%,

2/5/27 

343‌

335‌

Tacala

Investment,

FRN

1M

USD

LIBOR

+

7.50%,

12.654%,

2/4/28 

470‌

441‌

UFC

Holdings,

FRN

3M

USD

LIBOR

+

2.75%,

8.05%,

4/29/26 

1,599‌

1,577‌

Wand

NewCo

3,

FRN

1M

USD

LIBOR

+

2.75%,

7.904%,

2/5/26 

832‌

813‌

Woof

Holdings,

FRN

3M

USD

LIBOR

+

7.25%,

12.421%,

12/21/28  (3)

1,400‌

1,106‌

7,637‌

Consumer

Non-Cyclical

0.7%

Bausch

+

Lomb,

FRN

1M

TSFR

+

3.25%,

8.457%,

5/10/27 

309‌

298‌

Gainwell

Acquisition,

FRN

3M

USD

LIBOR

+

4.00%,

8.998%,

10/1/27 

580‌

549‌

Maravai

Intermediate

Holdings,

FRN

3M

TSFR

+

3.00%,

8.028%,

10/19/27 

201‌

199‌

Naked

Juice,

FRN

3M

TSFR

+

6.00%,

10.998%,

1/24/30 

250‌

187‌

Organon,

FRN

3M

USD

LIBOR

+

3.00%,

8.00%,

6/2/28 

231‌

230‌

PetVet

Care

Centers,

FRN

1M

TSFR

+

5.00%,

10.153%,

2/14/25 

629‌

602‌

PetVet

Care

Centers,

FRN

3M

USD

LIBOR

+

6.25%,

11.404%,

2/13/26 

1,040‌

924‌

Phoenix

Newco,

FRN

1M

USD

LIBOR

+

3.25%,

8.404%,

11/15/28 

335‌

324‌

Phoenix

Newco,

FRN

3M

USD

LIBOR

+

6.50%,

11.654%,

11/15/29  (3)

505‌

465‌

Sunshine

Luxembourg

VII,

FRN

3M

USD

LIBOR

+

3.75%,

8.909%,

10/1/26 

560‌

545‌

Surgery

Center

Holdings,

FRN

1M

USD

LIBOR

+

3.75%,

8.858%,

8/31/26 

270‌

268‌

4,591‌

T.

ROWE

PRICE

Total

Return

Fund

31

Par/Shares

$

Value

(Amounts

in

000s)

Energy

0.1%

Brazos

Delaware

II,

FRN

1M

TSFR

+

3.75%,

8.805%,

2/11/30 

290‌

283‌

CQP

Holdco,

FRN

1M

USD

LIBOR

+

3.50%,

8.659%,

6/5/28 

285‌

283‌

Prairie

ECI

Acquiror,

FRN

1M

USD

LIBOR

+

4.75%,

9.904%,

3/11/26 

292‌

286‌

852‌

Industrial

Other

0.1%

Pike,

FRN

1M

TSFR

+

3.50%,

8.653%,

1/21/28 

284‌

282‌

Pike,

FRN

1M

USD

LIBOR

+

3.00%,

8.268%,

1/21/28 

397‌

392‌

674‌

Technology

2.2%

Applied

Systems,

FRN

1M

TSFR

+

4.50%,

9.398%,

9/18/26 

1,417‌

1,414‌

Applied

Systems,

FRN

1M

TSFR

+

6.75%,

11.648%,

9/17/27 

1,123‌

1,119‌

Ascend

Learning,

FRN

1M

USD

LIBOR

+

3.50%,

8.753%,

12/11/28 

396‌

355‌

Ascend

Learning,

FRN

1M

USD

LIBOR

+

5.75%,

11.003%,

12/10/29 

1,050‌

896‌

AthenaHealth

Group,

FRN

1M

TSFR

+

3.50%,

8.04%,

2/15/29  (5)

918‌

863‌

Boxer

Parent,

FRN

1M

USD

LIBOR

+

3.75%,

8.904%,

10/2/25 

279‌

274‌

Boxer

Parent,

FRN

1M

USD

LIBOR

+

5.50%,

10.654%,

2/27/26 

345‌

332‌

Central

Parent,

FRN

3M

TSFR

+

4.25%,

9.148%,

7/6/29 

409‌

402‌

Cloud

Software

Group,

FRN

3M

TSFR

+

4.50%,

3/30/29  (4)

209‌

194‌

CoreLogic,

FRN

1M

USD

LIBOR

+

6.50%,

11.688%,

6/4/29 

985‌

758‌

Epicor

Software,

FRN

1M

TSFR

+

7.75%,

13.003%,

7/31/28 

590‌

585‌

Epicor

Software,

FRN

1M

USD

LIBOR

+

3.25%,

8.518%,

7/30/27  (4)

1,041‌

1,012‌

Gen

Digital,

FRN

1M

TSFR

+

1.75%,

7.003%,

9/10/27 

276‌

270‌

McAfee,

FRN

1M

TSFR

+

3.75%,

9.01%,

3/1/29 

300‌

280‌

Neptune

Bidco

U.S.,

FRN

1M

TSFR

+

5.00%,

9.995%,

4/11/29 

350‌

313‌

Peraton,

FRN

1M

TSFR

+

3.75%,

9.003%,

2/1/28 

312‌

296‌

T.

ROWE

PRICE

Total

Return

Fund

32

Par/Shares

$

Value

(Amounts

in

000s)

Peraton,

FRN

1M

USD

LIBOR

+

7.75%,

12.979%,

2/1/29 

720‌

682‌

RealPage,

FRN

1M

USD

LIBOR

+

3.00%,

8.154%,

4/24/28 

322‌

309‌

RealPage,

FRN

1M

USD

LIBOR

+

6.50%,

11.654%,

4/23/29 

780‌

729‌

Sophia,

FRN

1M

TSFR

+

4.25%,

9.403%,

10/7/27 

188‌

185‌

Sophia,

FRN

3M

USD

LIBOR

+

3.50%,

8.659%,

10/7/27 

256‌

250‌

UKG,

FRN

1M

USD

LIBOR

+

5.25%,

10.271%,

5/3/27 

2,180‌

2,047‌

UKG,

FRN

3M

USD

LIBOR

+

3.25%,

8.271%,

5/4/26 

1,577‌

1,513‌

Verscend

Holding,

FRN

1M

USD

LIBOR

+

4.00%,

9.154%,

8/27/25 

306‌

305‌

15,383‌

Transportation

0.2%

AAdvantage

Loyalty

IP,

FRN

3M

USD

LIBOR

+

4.75%,

10.00%,

4/20/28 

660‌

662‌

Mileage

Plus

Holdings,

FRN

3M

USD

LIBOR

+

5.25%,

10.213%,

6/21/27 

789‌

816‌

1,478‌

Total

Industrial

37,916‌

UTILITY

0.1%

Electric

0.1%

PG&E,

FRN

1M

USD

LIBOR

+

3.00%,

8.188%,

6/23/25 

701‌

694‌

Total

Utility

694‌

Total

Bank

Loans

(Cost

$48,087)

45,827‌

COMMON

STOCKS

0.0%

INDUSTRIAL

0.0%

Communications

0.0%

Clear

Channel

Outdoor

Holdings  (6)

1‌

1‌

Total

Industrial

1‌

Total

Common

Stocks

(Cost

$3)

1‌

T.

ROWE

PRICE

Total

Return

Fund

33

Par/Shares

$

Value

(Amounts

in

000s)

CONVERTIBLE

BONDS

0.0%

INDUSTRIAL

0.0%

Consumer

Cyclical

0.0%

Rivian

Automotive,

4.625%,

3/15/29  (1)

145‌

146‌

Total

Industrial

146‌

Total

Convertible

Bonds

(Cost

$145)

146‌

CONVERTIBLE

PREFERRED

STOCKS

0.3%

FINANCIAL

INSTITUTIONS

0.1%

Insurance

0.1%

Alliant

Services,

Series

A,

Acquisition

Date:

11/6/20,

Cost $1,133  (3)(6)

(7)

1‌

1,031‌

Total

Financial

Institutions

1,031‌

INDUSTRIAL

0.1%

Consumer

Non-Cyclical

0.1%

Becton

Dickinson

&

Company,

Series

B,

6.00%,

6/1/23 

10‌

503‌

Total

Industrial

503‌

UTILITY

0.1%

Electric

0.1%

NextEra

Energy,

6.926%,

9/1/25 

9‌

429‌

Total

Utility

429‌

Total

Convertible

Preferred

Stocks

(Cost

$2,118)

1,963‌

CORPORATE

BONDS

18.9%

FINANCIAL

INSTITUTIONS

5.5%

Banking

3.1%

Banco

de

Bogota,

6.25%,

5/12/26 

475‌

461‌

Banco

de

Credito

del

Peru,

VR,

3.25%,

9/30/31  (1)(8)

375‌

329‌

Banco

Santander,

VR,

4.175%,

3/24/28  (8)

200‌

188‌

Bancolombia,

VR,

4.625%,

12/18/29  (8)

400‌

334‌

Bangkok

Bank,

VR,

3.733%,

9/25/34  (8)

400‌

340‌

Bank

Leumi

Le-Israel,

VR,

3.275%,

1/29/31  (1)(8)

600‌

528‌

Bank

of

America,

VR,

2.972%,

2/4/33  (8)

1,210‌

1,007‌

Bank

of

America,

VR,

4.948%,

7/22/28  (8)

1,270‌

1,257‌

Bank

of

Ireland

Group,

VR,

6.253%,

9/16/26  (1)(8)

535‌

532‌

Barclays,

VR,

6.224%,

5/9/34  (8)

505‌

510‌

Barclays,

VR,

7.385%,

11/2/28  (8)

615‌

647‌

BBVA

Bancomer,

VR,

5.125%,

1/18/33  (8)

500‌

441‌

T.

ROWE

PRICE

Total

Return

Fund

34

Par/Shares

$

Value

(Amounts

in

000s)

Capital

One

Financial,

3.65%,

5/11/27 

670‌

628‌

Capital

One

Financial,

VR,

2.359%,

7/29/32  (8)

355‌

253‌

Capital

One

Financial,

VR,

5.468%,

2/1/29  (8)

395‌

383‌

Citigroup,

VR,

6.174%,

5/25/34  (8)

635‌

644‌

Credit

Suisse,

1.25%,

8/7/26 

415‌

355‌

Credit

Suisse

Group,

3.75%,

3/26/25 

1,458‌

1,372‌

Fifth

Third

Bancorp,

2.375%,

1/28/25 

235‌

219‌

Fifth

Third

Bancorp,

2.55%,

5/5/27 

80‌

70‌

Fifth

Third

Bancorp,

3.95%,

3/14/28 

842‌

769‌

Goldman

Sachs

Group,

VR,

3.102%,

2/24/33  (8)

375‌

317‌

Goldman

Sachs

Group,

VR,

3.615%,

3/15/28  (8)

1,645‌

1,551‌

Goldman

Sachs

Group,

VR,

4.482%,

8/23/28  (8)

405‌

393‌

HSBC

Holdings,

VR,

6.254%,

3/9/34  (8)

1,115‌

1,146‌

Huntington

National

Bank,

VR,

5.699%,

11/18/25  (8)

760‌

724‌

Intesa

Sanpaolo,

VR,

4.198%,

6/1/32  (1)(8)

200‌

151‌

JPMorgan

Chase,

VR,

1.764%,

11/19/31  (8)

815‌

641‌

JPMorgan

Chase,

VR,

2.522%,

4/22/31  (8)

45‌

38‌

JPMorgan

Chase,

VR,

2.956%,

5/13/31  (8)

370‌

317‌

KBC

Group,

VR,

5.796%,

1/19/29  (1)(8)

660‌

665‌

Morgan

Stanley,

VR,

3.622%,

4/1/31  (8)

1,740‌

1,573‌

NatWest

Group,

VR,

7.472%,

11/10/26  (8)

355‌

369‌

Santander

Holdings

USA,

VR,

2.49%,

1/6/28  (8)

220‌

193‌

Standard

Chartered,

VR,

2.608%,

1/12/28  (1)(8)

550‌

490‌

U.S.

Bancorp,

VR,

4.839%,

2/1/34  (8)(9)

385‌

362‌

UBS

Group,

VR,

2.746%,

2/11/33  (1)(8)

311‌

245‌

Wells

Fargo,

VR,

2.393%,

6/2/28  (8)

575‌

514‌

Wells

Fargo,

VR,

2.879%,

10/30/30  (8)

250‌

216‌

21,172‌

Brokerage

Asset

Managers

Exchanges

0.3%

AG

TTMT

Escrow

Issuer,

8.625%,

9/30/27  (1)

275‌

277‌

Aretec

Escrow

Issuer,

7.50%,

4/1/29  (1)

285‌

242‌

Intercontinental

Exchange,

4.35%,

6/15/29 

700‌

689‌

LSEGA

Financing,

2.00%,

4/6/28  (1)

585‌

504‌

LSEGA

Financing,

2.50%,

4/6/31  (1)

425‌

359‌

2,071‌

Finance

Companies

0.2%

AerCap

Ireland

Capital,

4.45%,

4/3/26 

415‌

398‌

AerCap

Ireland

Capital,

4.50%,

9/15/23 

180‌

179‌

AerCap

Ireland

Capital,

6.50%,

7/15/25 

270‌

272‌

Navient,

5.00%,

3/15/27 

385‌

334‌

Navient,

9.375%,

7/25/30 

150‌

144‌

1,327‌

Financial

Other

0.2%

Howard

Hughes,

4.125%,

2/1/29  (1)

270‌

219‌

Howard

Hughes,

5.375%,

8/1/28  (1)

665‌

590‌

Kaisa

Group

Holdings,

11.25%,

4/9/24  (6)(10)

850‌

57‌

T.

ROWE

PRICE

Total

Return

Fund

35

Par/Shares

$

Value

(Amounts

in

000s)

MAF

Global

Securities,

VR,

6.375%  (8)(11)

300‌

293‌

1,159‌

Insurance

1.2%

Acrisure,

7.00%,

11/15/25  (1)

140‌

133‌

Acrisure,

10.125%,

8/1/26  (1)

685‌

689‌

Alliant

Holdings

Intermediate,

6.75%,

10/15/27  (1)

505‌

470‌

AmWINS

Group,

4.875%,

6/30/29  (1)

499‌

445‌

Centene,

2.50%,

3/1/31 

640‌

511‌

Centene,

3.00%,

10/15/30 

325‌

271‌

Centene,

3.375%,

2/15/30 

590‌

507‌

Centene,

4.625%,

12/15/29 

342‌

316‌

Enact

Holdings,

6.50%,

8/15/25  (1)

230‌

225‌

Equitable

Holdings,

4.35%,

4/20/28 

630‌

595‌

HUB

International,

5.625%,

12/1/29  (1)

510‌

455‌

HUB

International,

7.00%,

5/1/26  (1)

647‌

637‌

Jones

Deslauriers

Insurance

Management,

8.50%,

3/15/30  (1)

595‌

594‌

Jones

Deslauriers

Insurance

Management,

10.50%,

12/15/30  (1)

880‌

878‌

Molina

Healthcare,

4.375%,

6/15/28  (1)

395‌

362‌

UnitedHealth

Group,

5.05%,

4/15/53 

1,330‌

1,306‌

8,394‌

Real

Estate

Investment

Trusts

0.5%

Alexandria

Real

Estate

Equities,

4.90%,

12/15/30 

965‌

934‌

Brixmor

Operating

Partnership,

3.90%,

3/15/27 

630‌

584‌

Brixmor

Operating

Partnership,

4.05%,

7/1/30 

505‌

455‌

Brixmor

Operating

Partnership,

4.125%,

5/15/29 

1,269‌

1,140‌

HAT

Holdings

I,

6.00%,

4/15/25  (1)

490‌

473‌

Healthcare

Realty

Holdings,

2.40%,

3/15/30 

120‌

95‌

3,681‌

Total

Financial

Institutions

37,804‌

INDUSTRIAL

12.5%

Basic

Industry

0.6%

Aris

Mining,

6.875%,

8/9/26  (1)

600‌

439‌

Avient,

7.125%,

8/1/30  (1)

195‌

197‌

Carpenter

Technology,

7.625%,

3/15/30 

410‌

412‌

Celanese

U.S.

Holdings,

6.05%,

3/15/25 

585‌

587‌

Celanese

U.S.

Holdings,

6.165%,

7/15/27 

625‌

629‌

Diamond

BC,

4.625%,

10/1/29  (1)(9)

25‌

25‌

GPD,

10.125%,

4/1/26  (1)

212‌

195‌

Kobe

U.S.

Midco

2,

9.25%,

11/1/26,

(9.25%

Cash

or

10.00%

PIK)  (1)

(12)

460‌

313‌

Methanex,

5.125%,

10/15/27 

247‌

229‌

Methanex,

5.25%,

12/15/29 

15‌

14‌

South32

Treasury,

4.35%,

4/14/32  (1)

425‌

375‌

TMS

International,

6.25%,

4/15/29  (1)

600‌

474‌

3,889‌

T.

ROWE

PRICE

Total

Return

Fund

36

Par/Shares

$

Value

(Amounts

in

000s)

Capital

Goods

0.7%

Ardagh

Metal

Packaging

Finance

USA,

6.00%,

6/15/27  (1)

440‌

431‌

Ball,

6.875%,

3/15/28  (9)

435‌

444‌

Emerald

Debt

Merger

Sub,

6.625%,

12/15/30  (1)

565‌

560‌

GFL

Environmental,

5.125%,

12/15/26  (1)

16‌

15‌

Madison

IAQ,

5.875%,

6/30/29  (1)

685‌

521‌

New

Enterprise

Stone

&

Lime,

5.25%,

7/15/28  (1)

440‌

389‌

Regal

Rexnord,

6.05%,

2/15/26  (1)

355‌

356‌

Ritchie

Bros

Holdings,

6.75%,

3/15/28  (1)

180‌

182‌

Ritchie

Bros

Holdings,

7.75%,

3/15/31  (1)

170‌

177‌

Sealed

Air,

5.00%,

4/15/29  (1)

215‌

200‌

Sealed

Air,

6.125%,

2/1/28  (1)

90‌

89‌

Sealed

Air,

6.875%,

7/15/33  (1)

225‌

230‌

TK

Elevator

Holdco

GmbH,

7.625%,

7/15/28  (1)(9)

960‌

841‌

TK

Elevator

U.S.

Newco,

5.25%,

7/15/27  (1)

210‌

193‌

TransDigm,

6.75%,

8/15/28  (1)

285‌

285‌

4,913‌

Communications

2.0%

Altice

France

Holding,

10.50%,

5/15/27  (1)

1,090‌

649‌

AT&T,

3.50%,

9/15/53 

880‌

611‌

Axian

Telecom,

7.375%,

2/16/27  (1)

525‌

477‌

CCO

Holdings,

4.25%,

2/1/31  (1)

115‌

91‌

CCO

Holdings,

5.375%,

6/1/29  (1)

180‌

162‌

CCO

Holdings,

6.375%,

9/1/29  (1)

655‌

609‌

CCO

Holdings,

7.375%,

3/1/31  (1)

170‌

162‌

Clear

Channel

Outdoor

Holdings,

7.50%,

6/1/29  (1)(9)

210‌

149‌

Clear

Channel

Outdoor

Holdings,

7.75%,

4/15/28  (1)(9)

540‌

401‌

CSC

Holdings,

7.50%,

4/1/28  (1)

350‌

188‌

DISH

DBS,

5.25%,

12/1/26  (1)

140‌

111‌

DISH

DBS,

5.75%,

12/1/28  (1)

195‌

141‌

DISH

DBS,

7.75%,

7/1/26 

210‌

119‌

DISH

Network,

11.75%,

11/15/27  (1)

565‌

541‌

Globo

Comunicacao

e

Participacoes,

4.875%,

1/22/30 

375‌

305‌

iHeartCommunications,

8.375%,

5/1/27  (9)

489‌

275‌

Netflix,

6.375%,

5/15/29 

385‌

407‌

Rogers

Communications,

3.20%,

3/15/27  (1)

230‌

214‌

SBA

Tower

Trust,

2.328%,

1/15/28  (1)

95‌

83‌

SBA

Tower

Trust,

2.836%,

1/15/25  (1)

450‌

427‌

SBA

Tower

Trust,

Series

2014-2A,

Class

C,

STEP,

3.869%,

10/15/49  (1)

425‌

412‌

Sirius

XM

Radio,

4.00%,

7/15/28  (1)

430‌

359‌

Sprint

Capital,

6.875%,

11/15/28 

160‌

171‌

Stagwell

Global,

5.625%,

8/15/29  (1)

740‌

633‌

T-Mobile

USA,

3.875%,

4/15/30 

1,800‌

1,664‌

T-Mobile

USA,

5.20%,

1/15/33 

1,010‌

1,005‌

T-Mobile

USA,

5.75%,

1/15/54 

695‌

706‌

T.

ROWE

PRICE

Total

Return

Fund

37

Par/Shares

$

Value

(Amounts

in

000s)

Tower

Bersama

Infrastructure,

2.75%,

1/20/26  (9)

410‌

379‌

Townsquare

Media,

6.875%,

2/1/26  (1)

700‌

647‌

Univision

Communications,

7.375%,

6/30/30  (1)

220‌

205‌

Verizon

Communications,

2.355%,

3/15/32 

310‌

250‌

Verizon

Communications,

2.65%,

11/20/40 

205‌

140‌

Verizon

Communications,

2.987%,

10/30/56 

11‌

7‌

Warnermedia

Holdings,

3.755%,

3/15/27 

1,355‌

1,268‌

13,968‌

Consumer

Cyclical

3.8%

Adient

Global

Holdings,

8.25%,

4/15/31  (1)

525‌

524‌

At

Home

Group,

4.875%,

7/15/28  (1)

175‌

100‌

Bath

&

Body

Works,

6.625%,

10/1/30  (1)

305‌

291‌

Bath

&

Body

Works,

6.75%,

7/1/36 

240‌

214‌

Bath

&

Body

Works,

6.95%,

3/1/33 

245‌

219‌

Bath

&

Body

Works,

9.375%,

7/1/25  (1)

193‌

205‌

Caesars

Entertainment,

7.00%,

2/15/30  (1)

445‌

444‌

Caesars

Entertainment,

8.125%,

7/1/27  (1)

650‌

662‌

Carnival,

7.625%,

3/1/26  (1)

435‌

412‌

Carnival,

9.875%,

8/1/27  (1)

255‌

263‌

Carnival,

10.50%,

6/1/30  (1)

540‌

540‌

CCM

Merger,

6.375%,

5/1/26  (1)

215‌

207‌

Cedar

Fair,

6.50%,

10/1/28 

560‌

549‌

Churchill

Downs,

6.75%,

5/1/31  (1)

320‌

316‌

Cinemark

USA,

5.875%,

3/15/26  (1)(9)

550‌

522‌

Clarios

Global,

6.75%,

5/15/28  (1)

440‌

440‌

Clarios

Global,

8.50%,

5/15/27  (1)(9)

655‌

657‌

Cushman

&

Wakefield

U.S.

Borrower,

6.75%,

5/15/28  (1)

275‌

245‌

Dana

Financing

Luxembourg,

8.50%,

7/15/31

(EUR)  (1)

346‌

368‌

Dave

&

Buster's,

7.625%,

11/1/25  (1)

443‌

449‌

eG

Global

Finance,

8.50%,

10/30/25  (1)(9)

600‌

577‌

Ford

Motor,

6.10%,

8/19/32 

435‌

406‌

Ford

Motor,

6.625%,

10/1/28 

175‌

178‌

Ford

Motor,

9.625%,

4/22/30 

450‌

513‌

Ford

Motor

Credit,

4.95%,

5/28/27 

205‌

191‌

Ford

Motor

Credit,

6.95%,

3/6/26 

200‌

200‌

Ford

Motor

Credit,

7.35%,

11/4/27 

300‌

303‌

Ford

Motor

Credit,

7.35%,

3/6/30 

200‌

201‌

Goodyear

Tire

&

Rubber,

5.00%,

7/15/29 

370‌

332‌

Goodyear

Tire

&

Rubber,

5.25%,

7/15/31  (9)

240‌

208‌

Hilton

Domestic

Operating,

4.00%,

5/1/31  (1)

195‌

168‌

Home

Depot,

2.375%,

3/15/51 

805‌

486‌

Hyundai

Capital

America,

5.50%,

3/30/26  (1)

435‌

435‌

Hyundai

Capital

America,

5.60%,

3/30/28  (1)

1,140‌

1,143‌

Life

Time,

5.75%,

1/15/26  (1)

348‌

338‌

Life

Time,

8.00%,

4/15/26  (1)

355‌

349‌

Live

Nation

Entertainment,

4.75%,

10/15/27  (1)

355‌

328‌

T.

ROWE

PRICE

Total

Return

Fund

38

Par/Shares

$

Value

(Amounts

in

000s)

Lowe's,

5.75%,

7/1/53 

240‌

238‌

Marriott

International,

5.00%,

10/15/27 

510‌

511‌

Match

Group

Holdings

II,

4.125%,

8/1/30  (1)

205‌

173‌

Match

Group

Holdings

II,

4.625%,

6/1/28  (1)

270‌

246‌

Match

Group

Holdings

II,

5.00%,

12/15/27  (1)

360‌

339‌

Melco

Resorts

Finance,

5.75%,

7/21/28 

750‌

634‌

Metalsa,

3.75%,

5/4/31 

650‌

496‌

MGM

China

Holdings,

5.375%,

5/15/24  (1)

215‌

211‌

MGM

Growth

Properties

Operating

Partnership,

5.75%,

2/1/27 

180‌

177‌

Nissan

Motor

Acceptance,

1.85%,

9/16/26  (1)

250‌

211‌

PetSmart,

7.75%,

2/15/29  (1)

250‌

242‌

Rivian

Holdings,

FRN,

6M

USD

LIBOR

+

5.625%,

10.931%,

10/15/26  (1)

1,405‌

1,377‌

Ross

Stores,

1.875%,

4/15/31 

735‌

584‌

Royal

Caribbean

Cruises,

5.50%,

8/31/26  (1)

360‌

338‌

Royal

Caribbean

Cruises,

11.625%,

8/15/27  (1)

615‌

667‌

Scientific

Games

International,

7.25%,

11/15/29  (1)

313‌

311‌

SeaWorld

Parks

&

Entertainment,

5.25%,

8/15/29  (1)

505‌

452‌

St.

Joseph's

University

Medical

Center,

4.584%,

7/1/27 

2,000‌

1,883‌

Staples,

7.50%,

4/15/26  (1)

185‌

152‌

Staples,

10.75%,

4/15/27  (1)

230‌

140‌

Vivo

Energy

Investments,

5.125%,

9/24/27 

550‌

499‌

Wolverine

World

Wide,

4.00%,

8/15/29  (1)

235‌

187‌

Wynn

Macau,

5.50%,

1/15/26  (1)

370‌

339‌

Yum!

Brands,

5.375%,

4/1/32 

850‌

805‌

ZF

North

America

Capital,

6.875%,

4/14/28  (1)

150‌

150‌

ZF

North

America

Capital,

7.125%,

4/14/30  (1)

385‌

387‌

25,732‌

Consumer

Non-Cyclical

1.9%

AbbVie,

4.05%,

11/21/39 

425‌

365‌

AbbVie,

4.875%,

11/14/48 

935‌

865‌

Amgen,

4.875%,

3/1/53 

680‌

618‌

Amgen,

5.25%,

3/2/30 

340‌

343‌

Anheuser-Busch

InBev

Worldwide,

5.55%,

1/23/49 

620‌

649‌

Avantor

Funding,

4.625%,

7/15/28  (1)

260‌

240‌

BAT

International

Finance,

4.448%,

3/16/28  (9)

650‌

613‌

Becton

Dickinson

&

Company,

3.794%,

5/20/50 

113‌

88‌

Charles

River

Laboratories

International,

4.00%,

3/15/31  (1)(9)

255‌

219‌

CHS,

6.875%,

4/15/29  (1)

385‌

216‌

CHS,

8.00%,

12/15/27  (1)

295‌

272‌

CVS

Health,

5.625%,

2/21/53 

685‌

668‌

Darling

Ingredients,

6.00%,

6/15/30  (1)

180‌

177‌

HCA,

3.125%,

3/15/27  (1)

280‌

259‌

HCA,

3.50%,

9/1/30 

740‌

652‌

HCA,

5.375%,

9/1/26 

925‌

920‌

HCA,

5.875%,

2/15/26 

180‌

180‌

Heartland

Dental,

8.50%,

5/1/26  (1)

195‌

172‌

T.

ROWE

PRICE

Total

Return

Fund

39

Par/Shares

$

Value

(Amounts

in

000s)

IQVIA,

6.50%,

5/15/30  (1)

200‌

203‌

Legacy

LifePoint

Health,

6.75%,

4/15/25  (1)(9)

170‌

151‌

Organon,

5.125%,

4/30/31  (1)

385‌

327‌

Pfizer

Investment

Enterprises,

5.30%,

5/19/53 

900‌

924‌

Select

Medical,

6.25%,

8/15/26  (1)(9)

275‌

267‌

Surgery

Center

Holdings,

10.00%,

4/15/27  (1)

317‌

324‌

Syneos

Health,

3.625%,

1/15/29  (1)(9)

415‌

400‌

Tenet

Healthcare,

6.125%,

10/1/28  (9)

300‌

284‌

Tenet

Healthcare,

6.125%,

6/15/30  (1)

250‌

241‌

Tenet

Healthcare,

6.875%,

11/15/31 

445‌

429‌

Teva

Pharmaceutical

Finance

Netherlands

III,

6.75%,

3/1/28 

360‌

352‌

Teva

Pharmaceutical

Finance

Netherlands

III,

7.875%,

9/15/29 

200‌

205‌

Teva

Pharmaceutical

Finance

Netherlands

III,

8.125%,

9/15/31  (9)

200‌

208‌

Utah

Acquisition

Sub,

3.95%,

6/15/26 

995‌

946‌

12,777‌

Energy

2.1%

Aethon

United

BR,

8.25%,

2/15/26  (1)

370‌

358‌

Chesapeake

Energy,

5.50%,

2/1/26  (1)

185‌

180‌

Chesapeake

Energy,

5.875%,

2/1/29  (1)

205‌

193‌

Continental

Resources,

4.90%,

6/1/44 

335‌

250‌

Crescent

Energy

Finance,

9.25%,

2/15/28  (1)

480‌

463‌

Crestwood

Midstream

Partners,

7.375%,

2/1/31  (1)(9)

315‌

309‌

DCP

Midstream

Operating,

8.125%,

8/16/30 

352‌

392‌

Energean

Israel

Finance,

4.875%,

3/30/26  (1)

700‌

645‌

Ferrellgas,

5.375%,

4/1/26  (1)

350‌

317‌

Hess,

5.60%,

2/15/41 

5‌

5‌

Hess,

7.125%,

3/15/33 

175‌

191‌

Hess,

7.30%,

8/15/31 

175‌

191‌

Hilcorp

Energy

I,

5.75%,

2/1/29  (1)

141‌

127‌

Hilcorp

Energy

I,

6.00%,

4/15/30  (1)

550‌

496‌

Hilcorp

Energy

I,

6.00%,

2/1/31  (1)

165‌

147‌

Kinetik

Holdings,

5.875%,

6/15/30  (1)

605‌

573‌

Magnolia

Oil

&

Gas

Operating,

6.00%,

8/1/26  (1)

700‌

675‌

NGL

Energy

Operating,

7.50%,

2/1/26  (1)

369‌

352‌

NuStar

Logistics,

5.75%,

10/1/25 

225‌

220‌

NuStar

Logistics,

6.00%,

6/1/26 

315‌

305‌

Occidental

Petroleum,

6.20%,

3/15/40 

195‌

190‌

Occidental

Petroleum,

6.45%,

9/15/36 

195‌

198‌

Occidental

Petroleum,

7.50%,

5/1/31 

249‌

270‌

Occidental

Petroleum,

7.95%,

6/15/39 

150‌

168‌

Occidental

Petroleum,

8.50%,

7/15/27 

240‌

263‌

Occidental

Petroleum,

8.875%,

7/15/30 

715‌

820‌

Ovintiv,

5.65%,

5/15/28 

540‌

536‌

Tallgrass

Energy

Partners,

6.00%,

3/1/27  (1)

350‌

328‌

Tallgrass

Energy

Partners,

7.50%,

10/1/25  (1)

210‌

210‌

Targa

Resources

Partners,

4.00%,

1/15/32 

295‌

252‌

T.

ROWE

PRICE

Total

Return

Fund

40

Par/Shares

$

Value

(Amounts

in

000s)

Targa

Resources

Partners,

4.875%,

2/1/31  (1)

285‌

262‌

Targa

Resources

Partners,

5.50%,

3/1/30 

165‌

158‌

Targa

Resources

Partners,

6.875%,

1/15/29 

505‌

511‌

Transcontinental

Gas

Pipe

Line,

4.60%,

3/15/48 

40‌

33‌

Venture

Global

Calcasieu

Pass,

3.875%,

8/15/29  (1)(9)

225‌

196‌

Venture

Global

Calcasieu

Pass,

3.875%,

11/1/33  (1)

280‌

229‌

Venture

Global

Calcasieu

Pass,

4.125%,

8/15/31  (1)

290‌

249‌

Venture

Global

Calcasieu

Pass,

6.25%,

1/15/30  (1)

310‌

308‌

Venture

Global

LNG,

8.125%,

6/1/28  (1)

815‌

818‌

Venture

Global

LNG,

8.375%,

6/1/31  (1)

1,365‌

1,370‌

Vermilion

Energy,

6.875%,

5/1/30  (1)

485‌

440‌

14,198‌

Industrial

Other

0.1%

Howard

University,

Series

21A,

4.756%,

10/1/51 

415‌

306‌

Pike,

5.50%,

9/1/28  (1)

415‌

370‌

676‌

Technology

0.9%

AthenaHealth

Group,

6.50%,

2/15/30  (1)

560‌

459‌

Boxer

Parent,

9.125%,

3/1/26  (1)

345‌

336‌

Capstone

Borrower,

8.00%,

6/15/30  (1)

245‌

241‌

CDW,

2.67%,

12/1/26 

340‌

306‌

Central

Parent,

7.25%,

6/15/29  (1)

425‌

415‌

Cloud

Software

Group,

9.00%,

9/30/29  (1)

160‌

136‌

Entegris

Escrow,

5.95%,

6/15/30  (1)

560‌

540‌

Gen

Digital,

6.75%,

9/30/27  (1)

225‌

225‌

Gen

Digital,

7.125%,

9/30/30  (1)

167‌

167‌

Micron

Technology,

5.875%,

9/15/33 

545‌

537‌

MSCI,

3.875%,

2/15/31  (1)

200‌

172‌

Neptune

Bidco

U.S.,

9.29%,

4/15/29  (1)

205‌

188‌

Oracle,

6.90%,

11/9/52 

535‌

583‌

Presidio

Holdings,

8.25%,

2/1/28  (1)

410‌

377‌

Sabre

GLBL,

9.25%,

4/15/25  (1)

100‌

95‌

Sabre

GLBL,

11.25%,

12/15/27  (1)(9)

185‌

142‌

Sensata

Technologies,

4.00%,

4/15/29  (1)

405‌

360‌

Sensata

Technologies,

5.875%,

9/1/30  (1)

655‌

634‌

Verscend

Escrow,

9.75%,

8/15/26  (1)

295‌

295‌

Workday,

3.80%,

4/1/32  (9)

355‌

320‌

6,528‌

Transportation

0.4%

Adani

International

Container

Terminal,

3.00%,

2/16/31 

595‌

474‌

American

Airlines,

5.50%,

4/20/26  (1)

355‌

348‌

American

Airlines,

5.75%,

4/20/29  (1)

465‌

444‌

American

Airlines,

11.75%,

7/15/25  (1)

526‌

576‌

International

Container

Terminal

Services,

4.75%,

6/17/30  (9)

400‌

387‌

Mileage

Plus

Holdings,

6.50%,

6/20/27  (1)

98‌

98‌

United

Airlines,

4.625%,

4/15/29  (1)

255‌

230‌

T.

ROWE

PRICE

Total

Return

Fund

41

Par/Shares

$

Value

(Amounts

in

000s)

Watco,

6.50%,

6/15/27  (1)

530‌

508‌

3,065‌

Total

Industrial

85,746‌

UTILITY

0.9%

Electric

0.8%

AES

Andes,

VR,

7.125%,

3/26/79  (8)

525‌

496‌

Edison

International,

6.95%,

11/15/29 

480‌

509‌

Enel

Finance

America,

7.10%,

10/14/27  (1)

200‌

213‌

Enel

Finance

International,

6.80%,

10/14/25  (1)

200‌

205‌

Pacific

Gas

&

Electric,

6.70%,

4/1/53 

470‌

456‌

PG&E,

5.00%,

7/1/28 

375‌

346‌

Talen

Energy

Supply,

8.625%,

6/1/30  (1)

360‌

367‌

Terraform

Global

Operating,

6.125%,

3/1/26  (1)

273‌

265‌

Vistra,

VR,

7.00%  (1)(8)(11)

545‌

478‌

Vistra,

VR,

8.00%  (1)(8)(11)

1,720‌

1,604‌

Vistra

Operations,

5.125%,

5/13/25  (1)

650‌

633‌

5,572‌

Natural

Gas

0.1%

NiSource,

5.25%,

3/30/28 

140‌

141‌

141‌

Total

Utility

5,713‌

Total

Corporate

Bonds

(Cost

$137,987)

129,263‌

FOREIGN

GOVERNMENT

OBLIGATIONS

&

MUNICIPALITIES

3.5%

Owned

No

Guarantee

0.4%

Bank

Negara

Indonesia

Persero,

3.75%,

3/30/26 

525‌

483‌

CITGO

Petroleum,

7.00%,

6/15/25  (1)

215‌

211‌

Electricite

de

France,

5.70%,

5/23/28  (1)

200‌

201‌

Israel

Electric,

7.875%,

12/15/26 

650‌

689‌

MDGH

GMTN

RSC,

4.375%,

11/22/33  (1)

520‌

507‌

Oryx

Funding,

5.80%,

2/3/31  (1)

400‌

388‌

2,479‌

Sovereign

0.6%

Republic

of

Ivory

Coast,

5.875%,

10/17/31

(EUR) 

2,600‌

2,275‌

Republic

of

Serbia,

2.125%,

12/1/30 

2,800‌

2,110‌

4,385‌

Treasuries

2.5%

Brazil

Notas

do

Tesouro

Nacional,

10.00%,

1/1/27

(BRL) 

59,610‌

11,438‌

T.

ROWE

PRICE

Total

Return

Fund

42

Par/Shares

$

Value

(Amounts

in

000s)

State

of

Israel,

Series

0347,

3.75%,

3/31/47

(ILS) 

23,415‌

5,935‌

17,373‌

Total

Foreign

Government

Obligations

&

Municipalities

(Cost

$24,868)

24,237‌

MUNICIPAL

SECURITIES

0.7%

Colorado

0.3%

Colorado

HFA,

Covenant

Living

Community,

Series B,

3.36%,

12/1/30 

1,970‌

1,746‌

Denver

City

&

County

School

Dist.

No.

1,

Series B,

Certificate

of

Participation,

4.242%,

12/15/37 

65‌

61‌

1,807‌

Florida

0.1%

Capital

Projects

Fin.

Auth.,

Florida

Univ.

Project,

Series A-2,

4.00%,

10/1/24 

1,010‌

980‌

980‌

Maryland

0.1%

Maryland

Economic

Dev.

Seagirt

Marine

Terminal,

4.25%,

6/1/31 

350‌

313‌

313‌

Puerto

Rico

0.2%

Puerto

Rico

Commonwealth,

GO,

11/1/43  (13)

2,279‌

1,111‌

Puerto

Rico

Commonwealth,

Restructured,

Series A,

GO,

Zero

Coupon,

7/1/24 

24‌

23‌

Puerto

Rico

Commonwealth,

Restructured,

Series A,

GO,

Zero

Coupon,

7/1/33 

92‌

54‌

Puerto

Rico

Commonwealth,

Restructured,

Series A-1,

GO,

4.00%,

7/1/33 

71‌

66‌

Puerto

Rico

Commonwealth,

Restructured,

Series A-1,

GO,

4.00%,

7/1/35 

64‌

57‌

Puerto

Rico

Commonwealth,

Restructured,

Series A-1,

GO,

4.00%,

7/1/37 

55‌

48‌

Puerto

Rico

Commonwealth,

Restructured,

Series A-1,

GO,

4.00%,

7/1/41 

75‌

62‌

Puerto

Rico

Commonwealth,

Restructured,

Series A-1,

GO,

5.375%,

7/1/25 

79‌

81‌

Puerto

Rico

Commonwealth,

Restructured,

Series A-1,

GO,

5.625%,

7/1/27 

79‌

82‌

Puerto

Rico

Commonwealth,

Restructured,

Series A-1,

GO,

5.625%,

7/1/29 

77‌

82‌

1,666‌

T.

ROWE

PRICE

Total

Return

Fund

43

Par/Shares

$

Value

(Amounts

in

000s)

Virginia

0.0%

Virginia

Commonwealth

Transportation

Board,

Build

America,

Series B,

Build

America,

5.35%,

5/15/35 

5‌

5‌

5‌

Total

Municipal

Securities

(Cost

$5,281)

4,771‌

NON-U.S.

GOVERNMENT

MORTGAGE-BACKED

SECURITIES

8.3%

Collateralized

Mortgage

Obligations

5.4%

Angel

Oak

Mortgage

Trust

Series

2020-5,

Class

M1,

CMO,

ARM

2.97%,

5/25/65  (1)

250‌

215‌

Angel

Oak

Mortgage

Trust

Series

2020-6,

Class

M1,

CMO,

ARM

2.805%,

5/25/65  (1)

515‌

397‌

Angel

Oak

Mortgage

Trust

Series

2021-4,

Class

M1,

CMO,

ARM

2.29%,

1/20/65  (1)

960‌

572‌

Bellemeade

Re

Series

2022-1,

Class

M1B,

CMO,

ARM

SOFR30A

+

2.15%,

7.123%,

1/26/32  (1)

1,610‌

1,592‌

CAFL

Issuer

Series

2021-RTL1,

Class

A2,

CMO,

STEP

3.104%,

3/28/29  (1)

2,505‌

2,184‌

Citigroup

Mortgage

Loan

Trust

Series

2020-EXP2,

Class

A3,

CMO,

ARM

2.50%,

8/25/50  (1)

543‌

458‌

COLT

Mortgage

Loan

Trust

Series

2020-3,

Class

M1,

CMO,

ARM

3.359%,

4/27/65  (1)

160‌

143‌

COLT

Mortgage

Loan

Trust

Series

2021-3,

Class

M1,

CMO,

ARM

2.304%,

9/27/66  (1)

2,220‌

1,264‌

Connecticut

Avenue

Securities

Series

2017-C06,

Class

2ED1,

CMO,

ARM

1M

USD

LIBOR

+

1.00%,

6.138%,

2/25/30 

166‌

165‌

Connecticut

Avenue

Securities

Series

2018-C03,

Class

1EB2,

CMO,

ARM

1M

USD

LIBOR

+

0.85%,

5.988%,

10/25/30 

284‌

283‌

Connecticut

Avenue

Securities

Series

2018-C04,

Class

2M2,

CMO,

ARM

1M

USD

LIBOR

+

2.55%,

7.688%,

12/25/30 

356‌

363‌

Connecticut

Avenue

Securities

Trust

Series

2020-R01,

Class

1M2,

CMO,

ARM

1M

USD

LIBOR

+

2.05%,

7.188%,

1/25/40  (1)

160‌

161‌

T.

ROWE

PRICE

Total

Return

Fund

44

Par/Shares

$

Value

(Amounts

in

000s)

Connecticut

Avenue

Securities

Trust

Series

2022-R04,

Class

1M1,

CMO,

ARM

SOFR30A

+

2.00%,

6.973%,

3/25/42  (1)

467‌

469‌

Connecticut

Avenue

Securities

Trust

Series

2022-R06,

Class

1M1,

CMO,

ARM

SOFR30A

+

2.75%,

7.723%,

5/25/42  (1)

752‌

769‌

Connecticut

Avenue

Securities

Trust

Series

2022-R08,

Class

1M1,

CMO,

ARM

SOFR30A

+

2.55%,

7.523%,

7/25/42  (1)

329‌

333‌

Connecticut

Avenue

Securities

Trust

Series

2023-R01,

Class

1M1,

CMO,

ARM

SOFR30A

+

2.40%,

7.381%,

12/25/42  (1)

686‌

691‌

Connecticut

Avenue

Securities

Trust

Series

2023-R02,

Class

1M1,

CMO,

ARM

SOFR30A

+

2.30%,

7.273%,

1/25/43  (1)

556‌

560‌

EFMT

Series

2023-1,

Class

A2,

CMO,

STEP

6.24%,

2/25/68  (1)

506‌

502‌

Finance

of

America

HECM

Buyout

Series

2022-HB2,

Class

A1A,

ARM

4.00%,

8/1/32  (1)

1,379‌

1,330‌

Flagstar

Mortgage

Trust

Series

2017-2,

Class

B1,

CMO,

ARM

4.013%,

10/25/47  (1)

239‌

216‌

Flagstar

Mortgage

Trust

Series

2019-1INV,

Class

A3,

CMO,

ARM

3.50%,

10/25/49  (1)

65‌

59‌

Flagstar

Mortgage

Trust

Series

2021-11IN,

Class

A18,

CMO,

ARM

2.50%,

11/25/51  (1)

2,791‌

2,170‌

Freddie

Mac

Whole

Loan

Securities

Trust

Series

2017-SC01,

Class

M1,

CMO,

ARM

3.645%,

12/25/46  (1)

175‌

167‌

FWD

Securitization

Trust

Series

2020-INV1,

Class

A3,

CMO,

ARM

2.44%,

1/25/50  (1)

118‌

106‌

Galton

Funding

Mortgage

Trust

Series

2017-1,

Class

B2,

CMO,

ARM

3.95%,

7/25/56  (1)

906‌

832‌

Galton

Funding

Mortgage

Trust

Series

2018-1,

Class

A33,

CMO,

ARM

3.50%,

11/25/57  (1)

45‌

41‌

Galton

Funding

Mortgage

Trust

Series

2019-H1,

Class

M1,

CMO,

ARM

3.339%,

10/25/59  (1)

365‌

333‌

Galton

Funding

Mortgage

Trust

Series

2020-H1,

Class

M1,

CMO,

ARM

2.832%,

1/25/60  (1)

735‌

556‌

T.

ROWE

PRICE

Total

Return

Fund

45

Par/Shares

$

Value

(Amounts

in

000s)

GCAT

Trust

Series

2021-NQM5,

Class

A3,

CMO,

ARM

1.571%,

7/25/66  (1)

2,227‌

1,777‌

Imperial

Fund

Mortgage

Trust

Series

2022-NQM4,

Class

A2,

CMO,

STEP

5.04%,

6/25/67  (1)

1,409‌

1,364‌

JPMorgan

Mortgage

Trust

Series

2019-INV2,

Class

A3,

CMO,

ARM

3.50%,

2/25/50  (1)

38‌

35‌

JPMorgan

Mortgage

Trust

Series

2019-INV3,

Class

A15,

CMO,

ARM

3.50%,

5/25/50  (1)

85‌

75‌

JPMorgan

Mortgage

Trust

Series

2019-INV3,

Class

A3,

CMO,

ARM

3.50%,

5/25/50  (1)

98‌

86‌

JPMorgan

Mortgage

Trust

Series

2020-INV2,

Class

A15,

CMO,

ARM

3.00%,

10/25/50  (1)

278‌

240‌

MetLife

Securitization

Trust

Series

2018-1A,

Class

A,

CMO,

ARM

3.75%,

3/25/57  (1)

159‌

150‌

OBX

Trust

Series

2019-EXP2,

Class

1A4,

CMO,

ARM

4.00%,

6/25/59  (1)

39‌

35‌

OBX

Trust

Series

2019-INV2,

Class

A25,

CMO,

ARM

4.00%,

5/27/49  (1)

97‌

91‌

OBX

Trust

Series

2020-EXP2,

Class

A9,

CMO,

ARM

3.00%,

5/25/60  (1)

55‌

47‌

OBX

Trust

Series

2020-EXP3,

Class

1A9,

CMO,

ARM

3.00%,

1/25/60  (1)

202‌

174‌

OBX

Trust

Series

2021-NQM1,

Class

M1,

CMO,

ARM

2.219%,

2/25/66  (1)

598‌

450‌

Radnor

RE

Series

2021-2,

Class

M1A,

CMO,

ARM

SOFR30A

+

1.85%,

6.823%,

11/25/31  (1)

1,104‌

1,101‌

Sequoia

Mortgage

Trust

Series

2013-4,

Class

B1,

CMO,

ARM

3.442%,

4/25/43 

251‌

233‌

Sequoia

Mortgage

Trust

Series

2017-CH2,

Class

A19,

CMO,

ARM

4.00%,

12/25/47  (1)

74‌

68‌

Sequoia

Mortgage

Trust

Series

2018-CH1,

Class

A2,

CMO,

ARM

3.50%,

3/25/48  (1)

25‌

23‌

T.

ROWE

PRICE

Total

Return

Fund

46

Par/Shares

$

Value

(Amounts

in

000s)

Sequoia

Mortgage

Trust

Series

2018-CH3,

Class

A19,

CMO,

ARM

4.50%,

8/25/48  (1)

16‌

16‌

Sequoia

Mortgage

Trust

Series

2018-CH4,

Class

A19,

CMO,

ARM

4.50%,

10/25/48  (1)

1‌

1‌

Starwood

Mortgage

Residential

Trust

Series

2020-1,

Class

M1,

CMO,

ARM

2.878%,

2/25/50  (1)

600‌

487‌

Starwood

Mortgage

Residential

Trust

Series

2021-2,

Class

M1,

CMO,

ARM

2.175%,

5/25/65  (1)

2,000‌

1,544‌

Structured

Agency

Credit

Risk

Debt

Notes

Series

2018-SPI2,

Class

M2,

CMO,

ARM

3.834%,

5/25/48  (1)

2‌

2‌

Structured

Agency

Credit

Risk

Debt

Notes

Series

2019-HQA4,

Class

M2,

CMO,

ARM

1M

USD

LIBOR

+

2.05%,

7.188%,

11/25/49  (1)

8‌

8‌

Structured

Agency

Credit

Risk

Debt

Notes

Series

2020-HQA1,

Class

M2,

CMO,

ARM

1M

USD

LIBOR

+

1.90%,

7.038%,

1/25/50  (1)

48‌

48‌

Structured

Agency

Credit

Risk

Debt

Notes

Series

2020-HQA2,

Class

M2,

CMO,

ARM

1M

USD

LIBOR

+

3.10%,

8.238%,

3/25/50  (1)

228‌

233‌

Structured

Agency

Credit

Risk

Debt

Notes

Series

2021-DNA2,

Class

M2,

CMO,

ARM

SOFR30A

+

2.30%,

7.273%,

8/25/33  (1)

2,214‌

2,209‌

Structured

Agency

Credit

Risk

Debt

Notes

Series

2021-DNA3,

Class

M2,

CMO,

ARM

SOFR30A

+

2.10%,

7.073%,

10/25/33  (1)

1,445‌

1,418‌

Structured

Agency

Credit

Risk

Debt

Notes

Series

2022-DNA1,

Class

M1B,

CMO,

ARM

SOFR30A

+

1.85%,

6.823%,

1/25/42  (1)

1,185‌

1,144‌

Structured

Agency

Credit

Risk

Debt

Notes

Series

2022-DNA3,

Class

M1A,

CMO,

ARM

SOFR30A

+

2.00%,

6.973%,

4/25/42  (1)

888‌

892‌

Structured

Agency

Credit

Risk

Debt

Notes

Series

2022-DNA4,

Class

M1A,

CMO,

ARM

SOFR30A

+

2.20%,

7.173%,

5/25/42  (1)

966‌

974‌

Structured

Agency

Credit

Risk

Debt

Notes

Series

2022-DNA6,

Class

M1A,

CMO,

ARM

SOFR30A

+

2.15%,

7.123%,

9/25/42  (1)

306‌

308‌

Structured

Agency

Credit

Risk

Debt

Notes

Series

2022-HQA3,

Class

M1A,

CMO,

ARM

SOFR30A

+

2.30%,

7.273%,

8/25/42  (1)

296‌

296‌

Structured

Agency

Credit

Risk

Debt

Notes

Series

2023-DNA1,

Class

M1A,

CMO,

ARM

SOFR30A

+

2.10%,

7.081%,

3/25/43  (1)

282‌

282‌

T.

ROWE

PRICE

Total

Return

Fund

47

Par/Shares

$

Value

(Amounts

in

000s)

Towd

Point

Mortgage

Trust

Series

2017-4,

Class

A1,

CMO,

ARM

2.75%,

6/25/57  (1)

1,228‌

1,162‌

Verus

Securitization

Trust

Series

2019-INV3,

Class

M1,

CMO,

ARM

3.279%,

11/25/59  (1)

340‌

289‌

Verus

Securitization

Trust

Series

2021-5,

Class

M1,

CMO,

ARM

2.331%,

9/25/66  (1)

800‌

510‌

Verus

Securitization

Trust

Series

2023-1,

Class

A1,

CMO,

STEP

5.85%,

12/25/67  (1)

1,045‌

1,043‌

Verus

Securitization

Trust

Series

2023-3,

Class

A2,

CMO,

STEP

6.438%,

3/25/68  (1)

742‌

740‌

Vista

Point

Securitization

Trust

Series

2020-1,

Class

B1,

CMO,

ARM

5.375%,

3/25/65  (1)

330‌

315‌

WinWater

Mortgage

Loan

Trust

Series

2016-1,

Class

B3,

CMO,

ARM

3.779%,

1/20/46  (1)

538‌

498‌

37,299‌

Commercial

Mortgage-Backed

Securities

2.9%

Arbor

Multifamily

Mortgage

Securities

Trust

Series

2020-MF1,

Class

D

1.75%,

5/15/53  (1)

2,010‌

1,135‌

Arbor

Multifamily

Mortgage

Securities

Trust

Series

2020-MF1,

Class

E

1.75%,

5/15/53  (1)

580‌

303‌

BAMLL

Commercial

Mortgage

Securities

Trust

Series

2021-JACX,

Class

E,

ARM

1M

USD

LIBOR

+

3.75%,

8.857%,

9/15/38  (1)

1,155‌

929‌

BANK

Series

2019-BN21,

Class

D

2.50%,

10/17/52  (1)

1,036‌

585‌

BBCMS

Mortgage

Trust

Series

2019-BWAY,

Class

D,

ARM

1M

TSFR

+

2.274%,

7.333%,

11/15/34  (1)

365‌

181‌

BBCMS

Mortgage

Trust

Series

2020-BID,

Class

A,

ARM

1M

USD

LIBOR

+

2.14%,

7.247%,

10/15/37  (1)

375‌

361‌

BFLD

Series

2019-DPLO,

Class

B,

ARM

1M

TSFR

+

1.454%,

6.513%,

10/15/34  (1)

1,780‌

1,758‌

BPR

Trust

Series

2021-TY,

Class

C,

ARM

1M

USD

LIBOR

+

1.70%,

6.807%,

9/15/38  (1)

635‌

586‌

T.

ROWE

PRICE

Total

Return

Fund

48

Par/Shares

$

Value

(Amounts

in

000s)

BX

Commercial

Mortgage

Trust

Series

2022-CSMO,

Class

B,

ARM

1M

TSFR

+

3.141%,

8.20%,

6/15/27  (1)

1,590‌

1,581‌

BX

Trust

Series

2021-VIEW,

Class

F,

ARM

1M

USD

LIBOR

+

3.93%,

9.037%,

6/15/36  (1)

1,195‌

1,068‌

Cantor

Commercial

Real

Estate

Lending

Series

2019-CF2,

Class

D

2.50%,

11/15/52  (1)

1,045‌

616‌

CD

Mortgage

Trust

Series

2017-CD6,

Class

A5

3.456%,

11/13/50 

515‌

472‌

Citigroup

Commercial

Mortgage

Trust

Series

2013-375P,

Class

C,

ARM

3.518%,

5/10/35  (1)

270‌

238‌

Citigroup

Commercial

Mortgage

Trust

Series

2015-GC27,

Class

AS

3.571%,

2/10/48 

95‌

90‌

Citigroup

Commercial

Mortgage

Trust

Series

2019-C7,

Class

805B,

ARM

3.79%,

12/15/72  (1)

1,420‌

793‌

Commercial

Mortgage

Trust

Series

2014-CR19,

Class

E,

ARM

4.197%,

8/10/47  (1)

380‌

303‌

Commercial

Mortgage

Trust

Series

2015-CR22,

Class

C,

ARM

4.069%,

3/10/48 

870‌

778‌

Commercial

Mortgage

Trust

Series

2015-LC23,

Class

A4

3.774%,

10/10/48 

440‌

421‌

Commercial

Mortgage

Trust

Series

2016-CR28,

Class

AHR

3.651%,

2/10/49 

182‌

172‌

Commercial

Mortgage

Trust

Series

2016-CR28,

Class

B,

ARM

4.605%,

2/10/49 

1,130‌

1,024‌

CSAIL

Commercial

Mortgage

Trust

Series

2016-C6,

Class

A5

3.09%,

1/15/49 

215‌

201‌

CSAIL

Commercial

Mortgage

Trust

Series

2017-C8,

Class

C,

ARM

4.285%,

6/15/50 

465‌

382‌

CSAIL

Commercial

Mortgage

Trust

Series

2019-C18,

Class

C,

ARM

3.955%,

12/15/52 

645‌

493‌

Eleven

Madison

Mortgage

Trust

Series

2015-11MD,

Class

A,

ARM

3.555%,

9/10/35  (1)

285‌

255‌

T.

ROWE

PRICE

Total

Return

Fund

49

Par/Shares

$

Value

(Amounts

in

000s)

Great

Wolf

Trust

Series

2019-WOLF,

Class

A,

ARM

1M

TSFR

+

1.148%,

6.207%,

12/15/36  (1)

300‌

296‌

GS

Mortgage

Securities

Trust

Series

2016-GS4,

Class

A3

3.178%,

11/10/49 

1,300‌

1,213‌

GS

Mortgage

Securities

Trust

Series

2017-GS8,

Class

D

2.70%,

11/10/50  (1)

1,025‌

683‌

ILPT

Commercial

Mortgage

Trust

Series

2022-LPFX,

Class

C,

ARM

3.824%,

3/15/32  (1)

1,595‌

1,308‌

JPMorgan

Chase

Commercial

Mortgage

Securities

Trust

Series

2016-NINE,

Class

B,

ARM

2.854%,

9/6/38  (1)

1,015‌

869‌

JPMorgan

Chase

Commercial

Mortgage

Securities

Trust

Series

2018-WPT,

Class

CFX

4.95%,

7/5/33  (1)

195‌

167‌

JPMorgan

Chase

Commercial

Mortgage

Securities

Trust

Series

2019-BKWD,

Class

C,

ARM

1M

USD

LIBOR

+

1.85%,

6.957%,

9/15/29  (1)

280‌

239‌

Morgan

Stanley

Bank

of

America

Merrill

Lynch

Trust

Series

2015-C24,

Class

AS,

ARM

4.036%,

5/15/48 

80‌

76‌

Morgan

Stanley

Capital

I

Trust

Series

2015-MS1,

Class

AS,

ARM

4.024%,

5/15/48 

35‌

33‌

Morgan

Stanley

Capital

I

Trust

Series

2017-H1,

Class

AS

3.773%,

6/15/50 

155‌

141‌

Wells

Fargo

Commercial

Mortgage

Trust

Series

2015-NXS2,

Class

A2

3.02%,

7/15/58 

18‌

17‌

19,767‌

Total

Non-U.S.

Government

Mortgage-Backed

Securities

(Cost

$66,088)

57,066‌

U.S.

GOVERNMENT

&

AGENCY

MORTGAGE-BACKED

SECURITIES

34.1%

U.S.

Government

Agency

Obligations

25.3%

Federal

Home

Loan

Mortgage 

2.50%,

5/1/30 

109‌

102‌

3.00%,

4/1/47

-

1/1/48 

128‌

116‌

3.50%,

8/1/42

-

3/1/46 

3,634‌

3,432‌

4.00%,

8/1/40

-

1/1/46 

289‌

279‌

4.50%,

6/1/39

-

5/1/42 

135‌

134‌

T.

ROWE

PRICE

Total

Return

Fund

50

Par/Shares

$

Value

(Amounts

in

000s)

5.00%,

7/1/25

-

8/1/40 

47‌

47‌

5.50%,

10/1/38

-

1/1/40 

33‌

34‌

6.00%,

10/1/32

-

8/1/38 

13‌

14‌

6.50%,

6/1/24

-

4/1/37 

61‌

64‌

7.00%,

2/1/24

-

6/1/32 

—‌

—‌

Federal

Home

Loan

Mortgage,

ARM 

12M

USD

LIBOR

+

1.726%,

3.943%,

7/1/35 

—‌

—‌

12M

USD

LIBOR

+

1.75%,

4.127%,

2/1/35 

—‌

—‌

12M

USD

LIBOR

+

1.823%,

4.072%,

3/1/36 

2‌

2‌

12M

USD

LIBOR

+

1.828%,

4.202%,

2/1/37 

2‌

2‌

12M

USD

LIBOR

+

1.842%,

4.091%,

1/1/37 

1‌

1‌

12M

USD

LIBOR

+

1.93%,

4.187%,

12/1/36 

—‌

1‌

12M

USD

LIBOR

+

2.03%,

4.276%,

11/1/36 

1‌

1‌

1Y

CMT

+

2.245%,

4.37%,

1/1/36 

1‌

1‌

1Y

CMT

+

2.25%,

3.928%,

10/1/36 

—‌

—‌

1Y

CMT

+

2.347%,

4.472%,

11/1/34 

3‌

3‌

Federal

Home

Loan

Mortgage,

CMO,

IO,

4.50%,

5/25/50 

306‌

56‌

Federal

Home

Loan

Mortgage,

CMO,

PO,

Zero

Coupon,

8/15/28 

—‌

—‌

Federal

Home

Loan

Mortgage,

UMBS 

1.50%,

4/1/37 

389‌

339‌

2.00%,

3/1/42

-

12/1/51 

5,149‌

4,285‌

2.50%,

3/1/42

-

1/1/52 

5,990‌

5,166‌

3.00%,

5/1/31

-

6/1/52 

13,469‌

12,006‌

3.50%,

5/1/33

-

6/1/35 

587‌

567‌

4.00%,

12/1/49

-

2/1/50 

577‌

551‌

4.50%,

5/1/50 

86‌

84‌

5.00%,

12/1/41 

126‌

126‌

6.00%,

2/1/53 

729‌

748‌

Federal

National

Mortgage

Assn. 

3.00%,

6/1/33

-

8/1/46 

60‌

54‌

Federal

National

Mortgage

Assn.,

ARM 

12M

USD

LIBOR

+

1.34%,

3.59%,

12/1/35 

1‌

1‌

12M

USD

LIBOR

+

1.557%,

3.807%,

7/1/35 

—‌

—‌

12M

USD

LIBOR

+

1.579%,

3.853%,

11/1/35 

2‌

2‌

12M

USD

LIBOR

+

1.584%,

3.834%,

12/1/35 

2‌

2‌

12M

USD

LIBOR

+

1.655%,

3.905%,

8/1/37 

—‌

—‌

12M

USD

LIBOR

+

1.70%,

3.95%,

11/1/37 

2‌

2‌

12M

USD

LIBOR

+

1.77%,

4.145%,

12/1/35 

—‌

—‌

12M

USD

LIBOR

+

1.869%,

4.119%,

8/1/36 

1‌

1‌

12M

USD

LIBOR

+

1.892%,

4.142%,

12/1/35 

1‌

1‌

12M

USD

LIBOR

+

2.04%,

4.29%,

12/1/36 

1‌

1‌

Federal

National

Mortgage

Assn.,

CMO,

IO,

6.50%,

2/25/32 

—‌

—‌

Federal

National

Mortgage

Assn.,

UMBS 

1.50%,

4/1/37

-

1/1/42 

2,414‌

2,050‌

2.00%,

4/1/42

-

4/1/52 

34,109‌

28,147‌

2.50%,

5/1/30

-

3/1/52 

12,173‌

10,646‌

T.

ROWE

PRICE

Total

Return

Fund

51

Par/Shares

$

Value

(Amounts

in

000s)

3.00%,

1/1/27

-

11/1/48 

4,713‌

4,394‌

3.50%,

4/1/31

-

7/1/50 

648‌

613‌

4.00%,

11/1/37

-

9/1/52 

9,570‌

9,088‌

4.50%,

7/1/39

-

5/1/50 

1,928‌

1,904‌

5.00%,

9/1/23

-

8/1/52 

918‌

923‌

5.50%,

9/1/23

-

5/1/39 

230‌

236‌

6.00%,

11/1/32

-

2/1/53 

2,619‌

2,692‌

6.50%,

7/1/32

-

6/1/39 

22‌

23‌

7.00%,

7/1/29 

—‌

—‌

7.50%,

6/1/28 

—‌

—‌

UMBS,

TBA  (14)

1.50%,

6/1/38 

2,815‌

2,459‌

2.00%,

6/1/38

-

6/1/53 

27,132‌

23,166‌

2.50%,

6/1/38

-

6/1/53 

28,774‌

24,778‌

3.00%,

6/1/38

-

6/1/53 

7,460‌

6,680‌

3.50%,

6/1/38

-

6/1/53 

11,330‌

10,434‌

4.00%,

6/1/53 

1,140‌

1,077‌

4.50%,

6/1/53 

6,162‌

5,968‌

5.00%,

6/1/53 

4,245‌

4,182‌

5.50%,

6/1/53 

3,255‌

3,253‌

6.50%,

6/1/53 

2,230‌

2,283‌

173,221‌

U.S.

Government

Obligations

8.8%

Government

National

Mortgage

Assn. 

2.00%,

7/20/51

-

3/20/52 

1,979‌

1,681‌

2.50%,

8/20/50

-

12/20/51 

9,470‌

8,288‌

3.00%,

5/20/46

-

10/20/51 

11,119‌

10,075‌

3.50%,

9/15/41

-

2/20/48 

1,927‌

1,818‌

4.00%,

2/20/41

-

10/20/50 

1,844‌

1,770‌

4.50%,

11/20/39

-

8/20/47 

727‌

721‌

5.00%,

4/20/35

-

8/20/52 

1,635‌

1,635‌

5.50%,

10/20/32

-

3/20/49 

559‌

570‌

7.00%,

12/20/52 

551‌

566‌

Government

National

Mortgage

Assn.,

CMO 

3.00%,

11/20/47

-

12/20/47 

31‌

29‌

3.50%,

10/20/50 

460‌

392‌

Government

National

Mortgage

Assn.,

CMO,

IO 

3.50%,

3/20/43

-

5/20/43 

243‌

24‌

4.00%,

2/20/43��

21‌

3‌

Government

National

Mortgage

Assn.,

TBA  (14)

2.00%,

6/20/53 

10,635‌

9,015‌

2.50%,

6/20/53 

2,990‌

2,616‌

3.00%,

6/20/53 

1,420‌

1,278‌

3.50%,

6/20/53 

5,830‌

5,408‌

4.00%,

6/20/53 

4,490‌

4,267‌

4.50%,

6/20/53 

2,660‌

2,585‌

T.

ROWE

PRICE

Total

Return

Fund

52

Par/Shares

$

Value

(Amounts

in

000s)

5.50%,

6/20/53 

5,025‌

5,022‌

6.00%,

6/20/53 

1,615‌

1,630‌

6.50%,

7/20/53 

815‌

828‌

60,221‌

Total

U.S.

Government

&

Agency

Mortgage-Backed

Securities

(Cost

$243,435)

233,442‌

U.S.

GOVERNMENT

AGENCY

OBLIGATIONS

(EXCLUDING

MORTGAGE-BACKED)

25.4%

U.S.

Treasury

Obligations

25.4%

U.S.

Treasury

Bonds,

1.25%,

5/15/50 

22,340‌

12,531‌

U.S.

Treasury

Bonds,

1.375%,

8/15/50  (15)

9,130‌

5,290‌

U.S.

Treasury

Bonds,

1.875%,

2/15/41 

1,500‌

1,093‌

U.S.

Treasury

Bonds,

1.875%,

11/15/51 

3,500‌

2,303‌

U.S.

Treasury

Bonds,

2.25%,

2/15/52 

10,795‌

7,788‌

U.S.

Treasury

Bonds,

2.375%,

2/15/42 

2,395‌

1,873‌

U.S.

Treasury

Bonds,

2.50%,

2/15/45 

1,480‌

1,149‌

U.S.

Treasury

Bonds,

3.00%,

8/15/52 

780‌

663‌

U.S.

Treasury

Bonds,

3.125%,

2/15/43 

2,415‌

2,118‌

U.S.

Treasury

Bonds,

3.375%,

5/15/44 

1,275‌

1,156‌

U.S.

Treasury

Bonds,

3.625%,

2/15/53 

4,505‌

4,328‌

U.S.

Treasury

Bonds,

3.875%,

2/15/43 

960‌

942‌

U.S.

Treasury

Bonds,

4.00%,

11/15/42 

2,715‌

2,717‌

U.S.

Treasury

Bonds,

4.00%,

11/15/52 

3,020‌

3,106‌

U.S.

Treasury

Bonds,

4.375%,

5/15/41 

175‌

186‌

U.S.

Treasury

Bonds,

6.875%,

8/15/25 

700‌

736‌

U.S.

Treasury

Notes,

0.125%,

2/15/24 

4,000‌

3,856‌

U.S.

Treasury

Notes,

0.25%,

9/30/25 

1,500‌

1,370‌

U.S.

Treasury

Notes,

0.25%,

10/31/25 

11,200‌

10,192‌

U.S.

Treasury

Notes,

0.375%,

12/31/25 

11,000‌

10,003‌

U.S.

Treasury

Notes,

0.625%,

5/15/30 

550‌

447‌

U.S.

Treasury

Notes,

0.625%,

8/15/30 

1,350‌

1,092‌

U.S.

Treasury

Notes,

0.75%,

4/30/26 

3,600‌

3,275‌

U.S.

Treasury

Notes,

0.875%,

9/30/26 

1,660‌

1,501‌

U.S.

Treasury

Notes,

0.875%,

11/15/30 

9,900‌

8,140‌

U.S.

Treasury

Notes,

1.375%,

11/15/31 

15,675‌

13,103‌

U.S.

Treasury

Notes,

1.50%,

2/15/30 

500‌

435‌

U.S.

Treasury

Notes,

1.75%,

6/30/24 

2,410‌

2,324‌

U.S.

Treasury

Notes,

1.875%,

2/28/27 

3,870‌

3,594‌

U.S.

Treasury

Notes,

1.875%,

2/15/32 

8,155‌

7,087‌

U.S.

Treasury

Notes,

2.25%,

8/15/27 

1,350‌

1,266‌

U.S.

Treasury

Notes,

2.25%,

11/15/27 

1,275‌

1,193‌

U.S.

Treasury

Notes,

2.50%,

1/31/24 

475‌

466‌

U.S.

Treasury

Notes,

2.75%,

7/31/27 

1,455‌

1,392‌

U.S.

Treasury

Notes,

3.00%,

7/31/24  (15)

12,300‌

12,016‌

T.

ROWE

PRICE

Total

Return

Fund

53

Par/Shares

$

Value

(Amounts

in

000s)

U.S.

Treasury

Notes,

3.50%,

1/31/28 

2,900‌

2,861‌

U.S.

Treasury

Notes,

3.625%,

3/31/28 

4,500‌

4,466‌

U.S.

Treasury

Notes,

3.875%,

11/30/27 

11,520‌

11,538‌

U.S.

Treasury

Notes,

4.125%,

9/30/27 

6,800‌

6,867‌

U.S.

Treasury

Notes,

4.125%,

11/15/32 

12,250‌

12,704‌

U.S.

Treasury

Notes,

4.50%,

11/30/24 

5,230‌

5,208‌

Total

U.S.

Government

Agency

Obligations

(Excluding

Mortgage-

Backed)

(Cost

$197,496)

174,375‌

SHORT-TERM

INVESTMENTS

4.6%

Money

Market

Funds

4.6%

T.

Rowe

Price

Government

Reserve

Fund,

5.11%  (16)(17)

31,467‌

31,467‌

Total

Short-Term

Investments

(Cost

$31,467)

31,467‌

SECURITIES

LENDING

COLLATERAL

0.9%

INVESTMENTS

IN

A

POOLED

ACCOUNT

THROUGH

SECURITIES

LENDING

PROGRAM

WITH

JPMORGAN

CHASE

BANK

0.2%

Money

Market

Funds

0.2%

T.

Rowe

Price

Government

Reserve

Fund,

5.11%  (16)(17)

1,385‌

1,385‌

Total

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

JPMorgan

Chase

Bank

1,385‌

INVESTMENTS

IN

A

POOLED

ACCOUNT

THROUGH

SECURITIES

LENDING

PROGRAM

WITH

STATE

STREET

BANK

AND

TRUST

COMPANY

0.7%

Money

Market

Funds

0.7%

T.

Rowe

Price

Government

Reserve

Fund,

5.11%  (16)(17)

4,650‌

4,650‌

Total

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

State

Street

Bank

and

Trust

Company

4,650‌

Total

Securities

Lending

Collateral

(Cost

$6,035)

6,035‌

T.

ROWE

PRICE

Total

Return

Fund

54

(Amounts

in

000s,

except

for

contracts)

OPTIONS

PURCHASED

0.0%

OTC

Options

Purchased

0.0%

Counterparty

Description

Contracts

Notional

Amount

$

Value

Barclays

Bank

Credit

Default

Swap

Protection

Bought

(Relevant

Credit:

Markit

CDX.NA.HY-S39,

5

Year

Index,

12/20/27),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

6/21/23

@

0.98%*  (6)

1‌

19,300‌

27‌

Morgan

Stanley

Credit

Default

Swap

Protection

Bought

(Relevant

Credit:

Markit

CDX.NA.HY-S40,

5

Year

Index,

6/20/28),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

6/21/23

@

1.00%*  (6)

1‌

34,065‌

164‌

Total

Options

Purchased

(Cost

$443)

191‌

Total

Investments

in

Securities

117.1%

of

Net

Assets

(Cost

$860,261)

$

802,620‌

‡

Par/Shares

and

Notional

Amount

are

denominated

in

U.S.

dollars

unless

otherwise

noted.

*

Exercise

Spread

(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

$198,436

and

represents

29.0%

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)

See

Note

2.

Level

3

in

fair

value

hierarchy.

(4)

All

or

a

portion

of

this

loan

is

unsettled

as

of

May

31,

2023.

The

interest

rate

for

unsettled

loans

will

be

determined

upon

settlement

after

period

end.

(5)

All

or

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

May

31,

2023,

was

$100

and

was

valued

at

$100

(0.0%

of

net

assets).

(6)

Non-income

producing

T.

ROWE

PRICE

Total

Return

Fund

55

.

.

.

.

.

.

.

.

.

.

(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

may

have

registration

rights

for

certain

restricted

securities.

Any

costs

related

to

such

registration

are

generally

borne

by

the

issuer.

The

aggregate

value

of

restricted

securities

(excluding

144A

holdings)

at

period

end

amounts

to

$1,031

and

represents

0.2%

of

net

assets.

(8)

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

are

provided

if

the

rate

is

currently

floating.

(9)

See

Note

4

.

All

or

a

portion

of

this

security

is

on

loan

at

May

31,

2023.

(10)

Security

is

in

default

or

has

failed

to

make

a

scheduled

interest

and/or

principal

payment.

(11)

Perpetual

security

with

no

stated

maturity

date.

(12)

Security

has

the

ability

to

pay

in-kind

or

pay

in

cash.

When

applicable,

separate

rates

of

such

payments

are

disclosed.

(13)

Contingent

value

instrument

that

only

pays

out

if

a

portion

of

the

territory's

Sales

and

Use

Tax

outperforms

the

projections

in

the

Oversight

Board’s

Certified

Fiscal

Plan.

(14)

See

Note

4

.

To-Be-Announced

purchase

commitment.

Total

value

of

such

securities

at

period-end

amounts

to

$116,929

and

represents

17.1%

of

net

assets.

(15)

At

May

31,

2023,

all

or

a

portion

of

this

security

is

pledged

as

collateral

and/or

margin

deposit

to

cover

future

funding

obligations.

(16)

Seven-day

yield

(17)

Affiliated

Companies

1M

TSFR

One

month

term

SOFR

(Secured

overnight

financing

rate)

1M

USD

LIBOR

One

month

USD

LIBOR

(London

interbank

offered

rate)

3M

CAD

CDOR

Three

month

CAD

CDOR

(Canadian

Dollar

offered

rate)

3M

EURIBOR

Three

month

EURIBOR

(Euro

interbank

offered

rate)

3M

NDBB

Three

month

NZD

bank

bill

3M

TSFR

Three

month

term

SOFR

(Secured

overnight

financing

rate)

3M

USD

LIBOR

Three

month

USD

LIBOR

(London

interbank

offered

rate)

6M

TSFR

Six

month

Term

SOFR

(Secured

overnight

financing

rate)

6M

USD

LIBOR

Six

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. 

BRL

Brazilian

Real

CAD

Canadian

Dollar

CLO

Collateralized

Loan

Obligation

CMO

Collateralized

Mortgage

Obligation

T.

ROWE

PRICE

Total

Return

Fund

56

.

.

.

.

.

.

.

.

.

.

EUR

Euro

FRN

Floating

Rate

Note

GBP

British

Pound

GO

General

Obligation

HFA

Health

Facility

Authority

ILS

Israeli

Shekel

IO

Interest-only

security

for

which

the

fund

receives

interest

on

notional

principal

NZD

New

Zealand

Dollar

OTC

Over-the-counter

PIK

Payment-in-kind

PLN

Polish

Zloty

PO

Principal-only

security

for

which

the

fund

receives

regular

cash

flows

based

on

principal

repayments

SOFR

Secured

overnight

financing

rate

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.

T.

ROWE

PRICE

Total

Return

Fund

57

(Amounts

in

000s,

except

for

contracts)

OPTIONS

WRITTEN

(0.0)%

Exchange-Traded

Options

Written

(0.0)%

Description

Contracts

Notional

Amount

$

Value

U.S.

Treasury

10-Year

Notes

Futures,

Put,

6/23/23

@

$112.50

291

33,310

(91‌)

Total

Exchange-Traded

Options

Written

(Premiums

$(113))

$

(91‌)

OTC

Options

Written

(0.0)%

Counterparty

Description

Contracts

Notional

Amount

$

Value

Morgan

Stanley

10

Year

Interest

Rate

Swap,

6/23/33

Pay

Fixed

3.05%

Annually,

Receive

Variable

4.55%

(SOFR)

Annually,

6/21/23

@

3.05%*

1

6,000

(168‌)

Morgan

Stanley

10

Year

Interest

Rate

Swap,

6/23/33

Receive

Fixed

3.05%

Annually,

Pay

Variable

4.55%

(SOFR)

Annually,

6/21/23

@

3.05%*

1

6,000

(12‌)

Morgan

Stanley

Credit

Default

Swap

Protection

Bought

(Relevant

Credit:

Markit

CDX.NA.HY-S40,

5

Year

Index,

6/20/28),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

6/21/23

@

0.98%*

1

34,065

(53‌)

Total

OTC

Options

Written

(Premiums

$(351))

$

(233‌)

Total

Options

Written

(Premiums

$(464))

$

(324‌)

T.

ROWE

PRICE

Total

Return

Fund

58

(Amounts

in

000s)

SWAPS

0.1%

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)

**

Unrealized

$

Gain/(Loss)

BILATERAL

SWAPS

0.1%

Credit

Default

Swaps,

Protection

Bought

0.2%

Morgan

Stanley,

Protection

Bought

(Relevant

Credit:

Markit

CMBX.NA.AAA-

S13,

50

Year

Index),

Pay

0.50%

Monthly,

Receive

upon

credit

default,

12/16/72

33,635

737

915

(178‌)

Morgan

Stanley,

Protection

Bought

(Relevant

Credit:

Markit

CMBX.

NA.AAA-S14,

50

Year

Index),

Pay

0.50%

Monthly,

Receive

upon

credit

default,

12/16/72

20,492

567

699

(132‌)

Total

Bilateral

Credit

Default

Swaps,

Protection

Bought

1,614

(310‌)

Total

Return

Swaps

(0.1)%

BNP

Paribas,

Pay

Underlying

Reference:

Markit

iBoxx

EUR

Liquid

High

Yield

Index

at

Maturity,

Receive

Variable

2.646%

(3M

EURIBOR

+

(0.00)%)

Quarterly,

6/20/23

(EUR)

12,218

(102)

—

(102‌)

Goldman

Sachs,

Pay

Underlying

Reference:

Markit

iBoxx

EUR

Liquid

High

Yield

Index

at

Maturity,

Receive

Variable

2.646%

(3M

EURIBOR

+

(0.00)%)

at

Maturity,

6/20/23

(EUR)

12,307

(11)

29

(40‌)

JPMorgan

Chase,

Pay

Underlying

Reference:

iBoxx

USD

Liquid

High

Yield

Index

at

Maturity,

Receive

Variable

4.800%

(SOFR

+

(0.00)%)

Quarterly,

12/20/23

6,818

97

35

62‌

Morgan

Stanley,

Pay

Underlying

Reference:

iBoxx

USD

Liquid

Leveraged

Loans

Total

Return

Index

at

Maturity,

Receive

Variable

4.866%

(SOFR

+

(0.00)%)

Quarterly,

12/20/23

32,480

(695)

—

(695‌)

Morgan

Stanley,

Receive

Underlying

Reference:

iBoxx

USD

Liquid

Leveraged

Loans

Total

Return

Index

at

Maturity,

Pay

Variable

5.050%

(SOFR

+

(0.00)%)

at

Maturity,

6/20/23

6,919

(69)

(54)

(15‌)

Total

Bilateral

Total

Return

Swaps

10

(790‌)

Total

Bilateral

Swaps

1,624

(1,100‌)

T.

ROWE

PRICE

Total

Return

Fund

59

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Initial

$

Value

**

Unrealized

$

Gain/(Loss)

CENTRALLY

CLEARED

SWAPS

0.0%

Credit

Default

Swaps,

Protection

Bought

(0.1)%

Protection

Bought

(Relevant

Credit:

Markit

CDX.NA.IG-S40,

5

Year

Index),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

6/20/28

27,711

(367)

(286)

(81‌)

Total

Centrally

Cleared

Credit

Default

Swaps,

Protection

Bought

(81‌)

Credit

Default

Swaps,

Protection

Sold

0.1%

Protection

Sold

(Relevant

Credit:

CHS/

Community

Health

Systems,

Caa3*),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

6/20/25

145

(17)

(11)

(6‌)

Protection

Sold

(Relevant

Credit:

CHS/

Community

Health

Systems,

Caa3*),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

6/20/26

*

183

(49)

(8)

(41‌)

Protection

Sold

(Relevant

Credit:

CHS/

Community

Health

Systems,

Caa3*),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

12/20/26

210

(65)

(8)

(57‌)

Protection

Sold

(Relevant

Credit:

Markit

iTraxx

Crossover-S39,

5

Year

Index),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

6/20/28

(EUR)

20,112

786

733

53‌

Protection

Sold

(Relevant

Credit:

MetLife,

A3*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

6/20/28

242

(2)

(4)

2‌

Total

Centrally

Cleared

Credit

Default

Swaps,

Protection

Sold

(49‌)

T.

ROWE

PRICE

Total

Return

Fund

60

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Initial

$

Value**

Unrealized

$

Gain/(Loss)

Interest

Rate

Swaps

(0.0)%

2

Year

Interest

Rate

Swap,

Receive

Fixed

5.005%

Semi-Annually,

Pay

Variable

5.640%

(3M

NDBB)

Quarterly,

5/16/25

(NZD)

99,352

(247)

—

(247‌)

Total

Centrally

Cleared

Interest

Rate

Swaps

(247‌)

Total

Centrally

Cleared

Swaps

(377‌)

Net

payments

(receipts)

of

variation

margin

to

date

338‌

Variation

margin

receivable

(payable)

on

centrally

cleared

swaps

$

(39‌)

*

Credit

ratings

as

of

May

31,

2023.

Ratings

shown

are

from

Moody’s

Investors

Service

and

if

Moody’s

does

not

rate

a

security,

then

Standard

&

Poor’s

(S&P)

is

used.

Fitch

is

used

for

securities

that

are

not

rated

by

either

Moody’s

or

S&P.

**

Includes

interest

purchased

or

sold

but

not

yet

collected

of

$58.

T.

ROWE

PRICE

Total

Return

Fund

61

(Amounts

in

000s)

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

Counterparty

Settlement

Receive

Deliver

Unrealized

Gain/(Loss)

Bank

of

America

8/25/23

GBP

2,038‌

USD

2,554‌

$

(16‌)

BNP

Paribas

8/18/23

USD

5,171‌

PLN

21,695‌

71‌

BNP

Paribas

8/25/23

USD

3,887‌

EUR

3,551‌

72‌

Canadian

Imperial

Bank

of

Commerce

7/21/23

CAD

4,555‌

USD

3,413‌

(53‌)

Citibank

7/20/23

USD

6,287‌

ILS

22,464‌

252‌

Citibank

8/18/23

PLN

21,695‌

USD

5,191‌

(90‌)

Goldman

Sachs

8/25/23

USD

5,088‌

GBP

4,075‌

11‌

HSBC

Bank

8/25/23

USD

374‌

EUR

346‌

3‌

Morgan

Stanley

6/2/23

BRL

29,690‌

USD

5,968‌

(118‌)

Morgan

Stanley

6/2/23

USD

5,826‌

BRL

29,690‌

(24‌)

Morgan

Stanley

9/5/23

USD

5,866‌

BRL

29,690‌

116‌

RBC

Dominion

Securities

7/21/23

CAD

31‌

USD

23‌

—‌

RBC

Dominion

Securities

7/21/23

USD

4,709‌

CAD

6,348‌

27‌

State

Street

6/2/23

BRL

29,690‌

USD

5,971‌

(121‌)

State

Street

6/2/23

USD

5,826‌

BRL

29,690‌

(24‌)

State

Street

8/25/23

GBP

2,038‌

USD

2,559‌

(20‌)

State

Street

9/5/23

USD

5,869‌

BRL

29,690‌

119‌

Wells

Fargo

6/2/23

BRL

59,380‌

USD

11,652‌

48‌

Wells

Fargo

6/2/23

USD

12,032‌

BRL

59,380‌

332‌

Net

unrealized

gain

(loss)

on

open

forward

currency

exchange

contracts

$

585‌

T.

ROWE

PRICE

Total

Return

Fund

62

FUTURES

CONTRACTS

($000s)

Expiration

Date

Notional

Amount

Value

and

Unrealized

Gain

(Loss)

Long,

97

Euro

BOBL

contracts

6/23

12,249

$

190‌

Short,

657

Euro

SCHATZ

contracts

6/23

(74,173)

271‌

Long,

13

Euro-Bund

ten

year

contracts

6/23

1,890

17‌

Short,

1

Government

of

Australia

ten

year

bond

contracts

6/23

(78)

1‌

Long,

12

Government

of

Canada

ten

year

bond

contracts

9/23

1,093

—‌

Long,

191

U.S.

Treasury

Long

Bond

contracts

9/23

24,514

282‌

Long,

926

U.S.

Treasury

Notes

five

year

contracts

9/23

101,006

(53‌)

Short,

97

U.S.

Treasury

Notes

ten

year

contracts

9/23

(11,103)

(49‌)

Long,

135

U.S.

Treasury

Notes

two

year

contracts

9/23

27,787

16‌

Short,

91

Ultra

U.S.

Treasury

Bonds

contracts

9/23

(12,456)

(204‌)

Long,

105

Ultra

U.S.

Treasury

Notes

ten

year

contracts

9/23

12,648

190‌

Net

payments

(receipts)

of

variation

margin

to

date

(306‌)

Variation

margin

receivable

(payable)

on

open

futures

contracts

$

355‌

T.

ROWE

PRICE

Total

Return

Fund

63

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

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

year

ended

May

31,

2023.

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,

5.11%

$

—‌

$

—‌

$

815‌++

Totals

$

—‌#

$

—‌

$

815‌+

Supplementary

Investment

Schedule

Affiliate

Value

05/31/22

Purchase

Cost

Sales

Cost

Value

05/31/23

T.

Rowe

Price

Government

Reserve

Fund,

5.11%

$

12,636‌

 ¤

  ¤

$

37,502‌

Total

$

37,502‌^

#

Capital

gain

distributions

from

underlying

Price

funds

represented

$0

of

the

net

realized

gain

(loss).

++

Excludes

earnings

on

securities

lending

collateral,

which

are

subject

to

rebates

and

fees

as

described

in

Note

4

.

+

Investment

income

comprised

$815

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

$37,502.

T.

ROWE

PRICE

Total

Return

Fund

May

31,

2023

Statement

of

Assets

and

Liabilities

64

($000s,

except

shares

and

per

share

amounts)

Assets

Investments

in

securities,

at

value

(cost

$860,261)

$

802,620‌

Receivable

for

investment

securities

sold

11,693‌

Interest

and

dividends

receivable

4,751‌

Bilateral

swap

premiums

paid

1,678‌

Cash

1,104‌

Unrealized

gain

on

forward

currency

exchange

contracts

1,051‌

Receivable

for

shares

sold

380‌

Variation

margin

receivable

on

futures

contracts

355‌

Foreign

currency

(cost

$150)

149‌

Unrealized

gain

on

bilateral

swaps

62‌

Due

from

affiliates

5‌

Other

assets

100‌

Total

assets

823,948‌

Liabilities

Payable

for

investment

securities

purchased

129,172‌

Obligation

to

return

securities

lending

collateral

6,035‌

Unrealized

loss

on

bilateral

swaps

1,162‌

Payable

for

shares

redeemed

567‌

Unrealized

loss

on

forward

currency

exchange

contracts

466‌

Options

written

(premiums

$464)

324‌

Investment

management

fees

payable

177‌

Bilateral

swap

premiums

received

54‌

Variation

margin

payable

on

centrally

cleared

swaps

39‌

Other

liabilities

823‌

Total

liabilities

138,819‌

NET

ASSETS

$

685,129‌

T.

ROWE

PRICE

Total

Return

Fund

May

31,

2023

Statement

of

Assets

and

Liabilities

65

($000s,

except

shares

and

per

share

amounts)

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Net

Assets

Consist

of:

Total

distributable

earnings

(loss)

$

(

127,188‌

)

Paid-in

capital

applicable

to

80,318,708

shares

of

$0.0001

par

value

capital

stock

outstanding;

1,000,000,000

shares

authorized

812,317‌

NET

ASSETS

$

685,129‌

NET

ASSET

VALUE

PER

SHARE

Investor

Class

(Net

assets:

$89,573;

Shares

outstanding:

10,504,663)

$

8.53‌

Advisor

Class

(Net

assets:

$826;

Shares

outstanding:

96,811)

$

8.53‌

I

Class

(Net

assets:

$594,730;

Shares

outstanding:

69,717,234)

$

8.53‌

T.

ROWE

PRICE

Total

Return

Fund

Statement

of

Operations

66

($000s)

Year

Ended

5/31/23

Investment

Income

(Loss)

Income

    Interest

$

28,164‌

Dividend

922‌

Securities

lending

62‌

Total

income

29,148‌

Expenses

Investment

management

1,971‌

Shareholder

servicing

Investor

Class

$

193‌

Advisor

Class

1‌

I

Class

31‌

225‌

Rule

12b-1

fees

Advisor

Class

2‌

Prospectus

and

shareholder

reports

Investor

Class

15‌

I

Class

5‌

20‌

Custody

and

accounting

237‌

Registration

104‌

Legal

and

audit

46‌

Proxy

and

annual

meeting

2‌

Directors

2‌

Miscellaneous

22‌

Waived

/

paid

by

Price

Associates

(

401‌

)

Total

expenses

2,230‌

Net

investment

income

26,918‌

T.

ROWE

PRICE

Total

Return

Fund

Statement

of

Operations

67

($000s)

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Year

Ended

5/31/23

Realized

and

Unrealized

Gain

/

Loss

–

Net

realized

gain

(loss)

Securities

(

30,794‌

)

Futures

(

10,461‌

)

Swaps

(

1,506‌

)

Options

written

275‌

Forward

currency

exchange

contracts

366‌

Foreign

currency

transactions

(

121‌

)

Net

realized

loss

(

42,241‌

)

Change

in

net

unrealized

gain

/

loss

Securities

(

8,701‌

)

Futures

1,281‌

Swaps

(

1,221‌

)

Options

written

140‌

Forward

currency

exchange

contracts

596‌

Other

assets

and

liabilities

denominated

in

foreign

currencies

(

7‌

)

Change

in

net

unrealized

gain

/

loss

(

7,912‌

)

Net

realized

and

unrealized

gain

/

loss

(

50,153‌

)

DECREASE

IN

NET

ASSETS

FROM

OPERATIONS

$

(

23,235‌

)

T.

ROWE

PRICE

Total

Return

Fund

Statement

of

Changes

in

Net

Assets

68

($000s)

Year

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

Ended

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

5/31/23

5/31/22

Increase

(Decrease)

in

Net

Assets

Operations

Net

investment

income

$

26,918‌

$

17,105‌

Net

realized

loss

(

42,241‌

)

(

23,317‌

)

Change

in

net

unrealized

gain

/

loss

(

7,912‌

)

(

56,107‌

)

Decrease

in

net

assets

from

operations

(

23,235‌

)

(

62,319‌

)

Distributions

to

shareholders

Net

earnings

Investor

Class

(

3,793‌

)

(

4,600‌

)

Advisor

Class

(

34‌

)

(

19‌

)

I

Class

(

23,758‌

)

(

16,848‌

)

Tax

return

of

capital

–

–

Investor

Class

(

49‌

)

–‌

Advisor

Class

–‌

(1)

–‌

I

Class

(

330‌

)

–‌

Decrease

in

net

assets

from

distributions

(

27,964‌

)

(

21,467‌

)

Capital

share

transactions

*

Shares

sold

Investor

Class

60,508‌

100,017‌

Advisor

Class

–‌

1,019‌

I

Class

135,433‌

207,306‌

Distributions

reinvested

Investor

Class

3,753‌

4,415‌

Advisor

Class

34‌

15‌

I

Class

18,275‌

11,801‌

Shares

redeemed

Investor

Class

(

60,326‌

)

(

129,355‌

)

Advisor

Class

(

110‌

)

(

205‌

)

I

Class

(

61,837‌

)

(

57,144‌

)

Increase

in

net

assets

from

capital

share

transactions

95,730‌

137,869‌

T.

ROWE

PRICE

Total

Return

Fund

Statement

of

Changes

in

Net

Assets

69

($000s)

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Year

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

Ended

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

5/31/23

5/31/22

Net

Assets

Increase

during

period

44,531‌

54,083‌

Beginning

of

period

640,598‌

586,515‌

End

of

period

$

685,129‌

$

640,598‌

*Share

information

(000s)

Shares

sold

Investor

Class

6,910‌

9,822‌

Advisor

Class

–‌

101‌

I

Class

15,622‌

20,433‌

Distributions

reinvested

Investor

Class

435‌

430‌

Advisor

Class

4‌

1‌

I

Class

2,115‌

1,163‌

Shares

redeemed

Investor

Class

(

6,939‌

)

(

12,908‌

)

Advisor

Class

(

12‌

)

(

22‌

)

I

Class

(

7,138‌

)

(

5,591‌

)

Increase

in

shares

outstanding

10,997‌

13,429‌

(1)

Amount

represents

less

than

$1,000.

T.

ROWE

PRICE

Total

Return

Fund

NOTES

TO

FINANCIAL

STATEMENTS

70

T.

Rowe

Price

Total

Return

Fund,

Inc.

(the

fund) is

registered

under

the

Investment

Company

Act

of

1940

(the

1940

Act)

as a

diversified,

open-end

management

investment

company. The

fund

seeks

to

maximize

total

return

through

income

and,

secondarily,

capital

appreciation.

The

fund

has

three classes

of

shares:

the

Total

Return

Fund

(Investor

Class),

the

Total

Return

Fund–Advisor

Class

(Advisor

Class)

and

the

Total

Return

Fund–I

Class

(I

Class).

Advisor

Class

shares

are

sold

only

through

various

brokers

and

other

financial

intermediaries.

I

Class

shares

require

a

$500,000

initial

investment

minimum,

although

the

minimum

generally

is

waived

or

reduced

for

financial

intermediaries,

eligible

retirement

plans,

and

certain

other

accounts.

Prior

to

November

15,

2021,

the

initial

investment

minimum

was

$1

million

and

was

generally

waived

for

financial

intermediaries,

eligible

retirement

plans,

and

other

certain

accounts.

As

a

result

of

the

reduction

in

the

I

Class

minimum,

certain

assets

transferred

from

the

Investor

Class

to

the

I

Class.

This

transfer

of

shares

from

Investor

Class

to

I

Class

is

reflected

in

the

Statement

of

Changes

in

Net

Assets

within

the

Capital

shares

transactions

as

Shares

redeemed

and

Shares

sold,

respectively.

The

Advisor

Class

operates

under

a

Board-approved

Rule

12b-1

plan

pursuant

to

which

the

class

compensates

financial

intermediaries

for

distribution,

shareholder

servicing,

and/

or

certain

administrative

services;

the

Investor

and

I

Classes

do

not

pay

Rule

12b-1

fees. Each

class

has

exclusive

voting

rights

on

matters

related

solely

to

that

class;

separate

voting

rights

on

matters

that

relate

to

all classes;

and,

in

all

other

respects,

the

same

rights

and

obligations

as

the

other

classes.

NOTE

1

-

SIGNIFICANT

ACCOUNTING

POLICIES 

Basis

of

Preparation

 The fund

is

an

investment

company

and

follows

accounting

and

reporting

guidance

in

the

Financial

Accounting

Standards

Board

(FASB)

Accounting

Standards

Codification

Topic

946

(ASC

946).

The

accompanying

financial

statements

were

prepared

in

accordance

with

accounting

principles

generally

accepted

in

the

United

States

of

America

(GAAP),

including,

but

not

limited

to,

ASC

946.

GAAP

requires

the

use

of

estimates

made

by

management.

Management

believes

that

estimates

and

valuations

are

appropriate;

however,

actual

results

may

differ

from

those

estimates,

and

the

valuations

reflected

in

the

accompanying

financial

statements

may

differ

from

the

value

ultimately

realized

upon

sale

or

maturity.

Investment

Transactions,

Investment

Income,

and

Distributions

 Investment

transactions

are

accounted

for

on

the

trade

date

basis.

Income

and

expenses

are

recorded

on

the

accrual

basis.

Realized

gains

and

losses

are

reported

on

the

identified

T.

ROWE

PRICE

Total

Return

Fund

71

cost

basis.

Premiums

and

discounts

on

debt

securities

are

amortized

for

financial

reporting

purposes.

Paydown

gains

and

losses

are

recorded

as

an

adjustment

to

interest

income.

Inflation

adjustments

to

the

principal

amount

of

inflation-indexed

bonds

are

reflected

as

interest

income.

Income

tax-related

interest

and

penalties,

if

incurred,

are

recorded

as

income

tax

expense.

Dividends

received

from other

investment

companies are

reflected

as

dividend

income;

capital

gain

distributions

are

reflected

as

realized

gain/loss.

Dividend

income and

capital

gain

distributions

are

recorded

on

the

ex-dividend

date.

Non-cash

dividends,

if

any,

are

recorded

at

the

fair

market

value

of

the

asset

received.

Proceeds

from

litigation

payments,

if

any,

are

included

in

either

net

realized

gain

(loss)

or

change

in

net

unrealized

gain/loss

from

securities.

Distributions

to

shareholders

are

recorded

on

the

ex-dividend

date.

Income

distributions,

if

any, are

declared

by

each

class daily

and

paid

monthly.

A

capital

gain

distribution,

if

any, may

also

be

declared

and

paid

by

the

fund

annually.

Currency

Translation

 Assets,

including

investments,

and

liabilities

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.

Purchases

and

sales

of

securities,

income,

and

expenses

are

translated

into

U.S.

dollars

at

the

prevailing

exchange

rate

on

the

respective

date

of

such

transaction.

The

effect

of

changes

in

foreign

currency

exchange

rates

on

realized

and

unrealized

security

gains

and

losses

is

not

bifurcated

from

the

portion

attributable

to

changes

in

market

prices.

Class

Accounting

 Shareholder

servicing,

prospectus,

and

shareholder

report

expenses

incurred

by

each

class

are

charged

directly

to

the

class

to

which

they

relate.

Expenses

common

to

all

classes

and

investment

income

are

allocated

to

the

classes

based

upon

the

relative

daily

net

assets

of

each

class’s

settled

shares;

realized

and

unrealized

gains

and

losses

are

allocated

based

upon

the

relative

daily

net

assets

of

each

class’s

outstanding

shares.

The

Advisor

Class

pays

Rule

12b-1

fees,

in

an

amount

not

exceeding

0.25%

of

the

class’s

average

daily

net

assets.

Capital

Transactions

 Each

investor’s

interest

in

the

net

assets

of the

fund

is

represented

by

fund

shares. The

fund’s

net

asset

value

(NAV)

per

share

is

computed

at

the

close

of

the

New

York

Stock

Exchange

(NYSE),

normally

4

p.m.

ET,

each

day

the

NYSE

is

open

for

business.

However,

the

NAV

per

share

may

be

calculated

at

a

time

other

than

the

normal

close

of

the

NYSE

if

trading

on

the

NYSE

is

restricted,

if

the

NYSE

closes

earlier,

or

as

may

be

permitted

by

the

SEC.

Purchases

and

redemptions

of

fund

shares

are

transacted

at

the

next-computed

NAV

per

share,

after

receipt

of

the

transaction

order

by

T.

Rowe

Price

Associates,

Inc.,

or

its

agents.

T.

ROWE

PRICE

Total

Return

Fund

72

New

Accounting

Guidance

 In

June

2022,

the

FASB

issued

Accounting

Standards

Update

(ASU),

ASU

2022-03,

Fair

Value

Measurement

(Topic

820)

–

Fair

Value

Measurement

of

Equity

Securities

Subject

to

Contractual

Sale

Restrictions,

which

clarifies

that

a

contractual

restriction

on

the

sale

of

an

equity

security

is

not

considered

part

of

the

unit

of

account

of

the

equity

security

and,

therefore,

is

not

considered

in

measuring

fair

value.

The

amendments

under

this

ASU

are

effective

for

fiscal

years

beginning

after

December

15,

2023;

however,

the

fund

opted

to

early

adopt,

as

permitted,

effective

December

1,

2022. Adoption

of

the

guidance

did not

have

a

material

impact

on

the fund's

financial  statements.

The

FASB

issued

Accounting

Standards

Update

(ASU),

ASU

2020–04,

Reference

Rate

Reform

(Topic

848) –

Facilitation

of

the

Effects

of

Reference

Rate

Reform

on

Financial

Reporting

in

March

2020

and

ASU

2021-01

in

January

2021

which

provided

further

amendments

and

clarifications

to

Topic

848.

These

ASUs provide

optional,

temporary

relief

with

respect

to

the

financial

reporting

of

contracts

subject

to

certain

types

of

modifications

due

to

the

planned

discontinuation

of

the

London

Interbank

Offered

Rate

(LIBOR),

and

other

interbank-offered

based

reference

rates,

through December

31,

2022.

In

December

2022,

FASB

issued

ASU

2022-06

which

defers

the

sunset

date

of

Topic

848

from

December

31,

2022

to

December

31,

2024,

after

which

entities

will

no

longer

be

permitted

to

apply

the

relief

in

Topic

848.

Management

intends

to

rely

upon

the

relief

provided

under

Topic

848,

which

is

not

expected to

have

a

material

impact

on

the fund's

financial  statements.

Indemnification

 In

the

normal

course

of

business, the

fund

may

provide

indemnification

in

connection

with

its

officers

and

directors,

service

providers,

and/or

private

company

investments. The

fund’s

maximum

exposure

under

these

arrangements

is

unknown;

however,

the

risk

of

material

loss

is

currently

considered

to

be

remote.

NOTE

2

-

VALUATION 

Fair

Value

  The

fund’s

financial

instruments

are

valued

at

the

close

of

the

NYSE

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 fund’s

Board

of

Directors

(the

Board)

has

designated

T.

Rowe

Price

Associates,

Inc.

as

the

fund’s

valuation

designee

(Valuation

Designee).

Subject

to

oversight

by

the

Board,

the

Valuation

Designee

performs

the

following

functions

in

performing

fair

value

determinations:

assesses

and

manages

valuation

risks;

establishes

and

applies

fair

value

methodologies;

tests

fair

value

methodologies;

T.

ROWE

PRICE

Total

Return

Fund

73

and

evaluates

pricing

vendors

and

pricing

agents.

The

duties

and

responsibilities

of

the

Valuation

Designee

are

performed

by

its

Valuation

Committee. The

Valuation

Designee 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

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 Valuation

Designee’s 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

factors

such

as,

but

not

limited

to,

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.   

Equity

securities,

including

exchange-traded

funds, listed

or

regularly

traded

on

a

securities

exchange

or

in

the

over-the-counter

(OTC)

market

are

valued

at

the

last

quoted

sale

price

or,

for

certain

markets,

the

official

closing

price

at

the

time

the

T.

ROWE

PRICE

Total

Return

Fund

74

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

for

domestic

securities.

Investments

in

mutual

funds

are

valued

at

the

mutual

fund’s

closing

NAV

per

share

on

the

day

of

valuation.

Listed

options,

and

OTC

options

with

a

listed

equivalent,

are

valued

at

the

mean

of

the

closing

bid

and

asked

prices

and

exchange-traded

options

on

futures

contracts

are

valued

at

closing

settlement

prices.

Futures

contracts

are

valued

at

closing

settlement

prices.

Forward

currency

exchange

contracts

are

valued

using

the

prevailing

forward

exchange

rate.

Swaps

are

valued

at

prices

furnished

by

an

independent

pricing

service

or

independent

swap

dealers.

Assets

and

liabilities

other

than

financial

instruments,

including

short-term

receivables

and

payables,

are

carried

at

cost,

or

estimated

realizable

value,

if

less,

which

approximates

fair

value. 

Investments

for

which

market

quotations are

not

readily

available

or

deemed

unreliable

are

valued

at

fair

value

as

determined

in

good

faith

by

the

Valuation

Designee.

The

Valuation

Designee

has

adopted

methodologies

for

determining

the

fair

value

of

investments

for

which

market

quotations

are

not

readily

available

or

deemed

unreliable,

including

the

use

of

other

pricing

sources.

Factors

used

in

determining

fair

value

vary

by

type

of

investment

and

may

include

market

or

investment

specific

considerations.

The

Valuation

Designee 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

Designee 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.

Because

any

fair

value

determination

involves

a

significant

amount

of

judgment,

there

is

a

degree

of

subjectivity

inherent

in

such

pricing

decisions. Fair

value

prices

determined

by

the

Valuation

Designee could

differ

from

those

of

other

market

participants,

and

it

is

possible

that

the

fair

value

determined

for

a

security

may

be

materially

different

from

the

value

that

could

be

realized

upon

the

sale

of

that

security.

T.

ROWE

PRICE

Total

Return

Fund

75

Valuation

Inputs

  The

following

table

summarizes

the

fund’s

financial

instruments,

based

on

the

inputs

used

to

determine

their

fair

values

on

May

31,

2023

(for

further

detail

by

category,

please

refer

to

the

accompanying

Portfolio

of

Investments):

($000s)

Level

1

Level

2

Level

3

Total

Value

Assets

Fixed

Income

Securities

1

$

—‌

$

717,136‌

$

—‌

$

717,136‌

Bank

Loans

—‌

43,521‌

2,306‌

45,827‌

Common

Stocks

1‌

—‌

—‌

1‌

Convertible

Preferred

Stocks

—‌

932‌

1,031‌

1,963‌

Short-Term

Investments

31,467‌

—‌

—‌

31,467‌

Securities

Lending

Collateral

6,035‌

—‌

—‌

6,035‌

Options

Purchased

—‌

191‌

—‌

191‌

Total

Securities

37,503‌

761,780‌

3,337‌

802,620‌

Swaps*

—‌

1,456‌

—‌

1,456‌

Forward

Currency

Exchange

Contracts

—‌

1,051‌

—‌

1,051‌

Futures

Contracts*

967‌

—‌

—‌

967‌

Total

$

38,470‌

$

764,287‌

$

3,337‌

$

806,094‌

Liabilities

Options

Written

$

91‌

$

233‌

$

—‌

$

324‌

Swaps*

—‌

1,309‌

—‌

1,309‌

Forward

Currency

Exchange

Contracts

—‌

466‌

—‌

466‌

Futures

Contracts*

306‌

—‌

—‌

306‌

Total

$

397‌

$

2,008‌

$

—‌

$

2,405‌

1

Includes

Asset-Backed

Securities,

Convertible

Bonds,

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

Total

Return

Fund

76

NOTE

3

-

DERIVATIVE

INSTRUMENTS 

During

the

year ended

May

31,

2023,

the

fund

invested

in

derivative

instruments.

As

defined

by

GAAP,

a

derivative

is

a

financial

instrument

whose

value

is

derived

from

an

underlying

security

price,

foreign

exchange

rate,

interest

rate,

index

of

prices

or

rates,

or

other

variable;

it

requires

little

or

no

initial

investment

and

permits

or

requires

net

settlement.

The

fund

invests

in

derivatives

only

if

the

expected

risks

and

rewards

are

consistent

with

its

investment

objectives,

policies,

and

overall

risk

profile,

as

described

in

its

prospectus

and

Statement

of

Additional

Information.

The

fund

may

use

derivatives

for

a

variety

of

purposes

and

may

use

them

to

establish

both

long

and

short

positions

within

the

fund’s

portfolio.

Potential

uses

include

to

hedge

against

declines

in

principal

value,

increase

yield,

invest

in

an

asset

with

greater

efficiency

and

at

a

lower

cost

than

is

possible

through

direct

investment,

to

enhance

return,

or

to

adjust

portfolio

duration

and

credit

exposure.

The

risks

associated

with

the

use

of

derivatives

are

different

from,

and

potentially

much

greater

than,

the

risks

associated

with

investing

directly

in

the

instruments

on

which

the

derivatives

are

based.

The

fund

values

its

derivatives

at

fair

value

and

recognizes

changes

in

fair

value

currently

in

its

results

of

operations.

Accordingly,

the

fund

does

not

follow

hedge

accounting,

even

for

derivatives

employed

as

economic

hedges.

Generally,

the

fund

accounts

for

its

derivatives

on

a

gross

basis.

It

does

not

offset

the

fair

value

of

derivative

liabilities

against

the

fair

value

of

derivative

assets

on

its

financial

statements,

nor

does

it

offset

the

fair

value

of

derivative

instruments

against

the

right

to

reclaim

or

obligation

to

return

collateral.

The

following

table

summarizes

the

fair

value

of

the

fund’s

derivative

instruments

held

as

of

May

31,

2023,

and

the

related

location

on

the

accompanying

Statement

of

Assets

and

Liabilities,

presented

by

primary

underlying

risk

exposure:

T.

ROWE

PRICE

Total

Return

Fund

77

($000s)

Location

on

Statement

of

Assets

and

Liabilities

Fair

Value*

Assets

Interest

rate

derivatives

Futures

$

967‌

Foreign

exchange

derivatives

Forwards

1,051‌

Credit

derivatives

Bilateral

Swaps

and

Premiums

,

Centrally

Cleared

Swaps

,

Securities^

1,647‌

^

,*

Total

$

3,665‌

^

,*

Liabilities

Interest

rate

derivatives

Centrally

Cleared

Swaps,

Futures,

Options

Written

$

824‌

Foreign

exchange

derivatives

Forwards

466‌

Credit

derivatives

Bilateral

Swaps

and

Premiums

,

Centrally

Cleared

Swaps

,

Options

Written

1,115‌

Total

$

2,405‌

*

The

fair

value

presented

includes

cumulative

gain

(loss)

on

open

futures

contracts

and

centrally

cleared

swaps;

however,

the

value

reflected

on

the

accompanying

Statement

of

Assets

and

Liabilities

is

only

the

unsettled

variation

margin

receivable

(payable)

at

that

date.

^

Options

purchased

are

reported

as

securities

and

are

reflected

in

the

accompanying

Portfolio

of

Investments.

T.

ROWE

PRICE

Total

Return

Fund

78

Additionally,

the

amount

of

gains

and

losses

on

derivative

instruments

recognized

in

fund

earnings

during

the

year ended

May

31,

2023,

and

the

related

location

on

the

accompanying

Statement

of

Operations

is

summarized

in

the

following

table

by

primary

underlying

risk

exposure: 

($000s)                                               

Location

of

Gain

(Loss)

on

Statement

of

Operations

Securities^

Options

Written

Futures

Forward

Currency

Exchange

Contracts

Swaps

Total

Realized

Gain

(Loss)

Inflation

derivatives

$

—‌

$

—‌

$

—‌

$

—‌

$

44‌

$

44‌

Interest

rate

derivatives

—‌

275‌

(10,461‌)

—‌

—‌

(10,186‌)

Foreign

exchange

derivatives

(100‌)

—‌

—‌

366‌

—‌

266‌

Credit

derivatives

(769‌)

—‌

—‌

—‌

(1,550‌)

(2,319‌)

Total

$

(869‌)

$

275‌

$

(10,461‌)

$

366‌

$

(1,506‌)

$

(12,195‌)

Change

in

Unrealized

Gain

(Loss)

Interest

rate

derivatives

$

—‌

$

140‌

$

1,281‌

$

—‌

$

(247‌)

$

1,174‌

Foreign

exchange

derivatives

—‌

—‌

—‌

596‌

—‌

596‌

Credit

derivatives

(252‌)

—‌

—‌

—‌

(974‌)

(1,226‌)

Total

$

(252‌)

$

140‌

$

1,281‌

$

596‌

$

(1,221‌)

$

544‌

^

Options

purchased

are

reported

as

securities.

T.

ROWE

PRICE

Total

Return

Fund

79

Counterparty

Risk

and

Collateral

 The

fund

invests

in

derivatives

in

various

markets,

which

expose

it

to

differing

levels

of

counterparty

risk.

Counterparty

risk

on

exchange-

traded

and

centrally

cleared

derivative

contracts,

such

as

futures,

exchange-traded

options,

and

centrally

cleared

swaps,

is

minimal

because

the

clearinghouse

provides

protection

against

counterparty

defaults.

For

futures

and

centrally

cleared

swaps,

the

fund

is

required

to

deposit

collateral

in

an

amount

specified

by

the

clearinghouse

and

the

clearing

firm

(margin

requirement),

and

the

margin

requirement

must

be

maintained

over

the

life

of

the

contract.

Each

clearinghouse

and

clearing

firm,

in

its

sole

discretion,

may

adjust

the

margin

requirements

applicable

to

the

fund.

Derivatives,

such

as

non-cleared bilateral

swaps,

forward

currency

exchange

contracts,

and

OTC

options,

that

are

transacted

and

settle

directly

with

a

counterparty

(bilateral

derivatives)

may

expose

the

fund

to

greater

counterparty

risk.

To

mitigate

this

risk,

the

fund

has

entered

into

master

netting

arrangements

(MNAs)

with

certain

counterparties

that

permit

net

settlement

under

specified

conditions

and,

for

certain

counterparties,

also

require

the

exchange

of

collateral

to

cover

mark-to-market

exposure.

MNAs

may

be

in

the

form

of

International

Swaps

and

Derivatives

Association

master

agreements

(ISDAs)

or

foreign

exchange

letter

agreements

(FX

letters).

MNAs

provide

the

ability

to

offset

amounts

the

fund

owes

a

counterparty

against

amounts

the

counterparty

owes

the

fund

(net

settlement).

Both

ISDAs

and

FX

letters

generally

allow

termination

of

transactions

and

net

settlement

upon

the

occurrence

of

contractually

specified

events,

such

as

failure

to

pay

or

bankruptcy.

In

addition,

ISDAs

specify

other

events,

the

occurrence

of

which

would

allow

one

of

the

parties

to

terminate.

For

example,

a

downgrade

in

credit

rating

of

a

counterparty

below

a

specified

rating

would

allow

the

fund

to

terminate,

while

a

decline

in

the

fund’s

net

assets

of

more

than

a

specified

percentage

would

allow

the

counterparty

to

terminate.

Upon

termination,

all

transactions

with

that

counterparty

would

be

liquidated

and

a

net

termination

amount

settled.

ISDAs

typically

include

collateral

agreements

whereas

FX

letters

do

not.

Collateral

requirements

are

determined

daily

based

on

the

net

aggregate

unrealized

gain

or

loss

on

all

bilateral

derivatives

with

a

counterparty,

subject

to

minimum

transfer

amounts

that

typically

range

from

$100,000

to

$250,000.

Any

additional

collateral

required

due

to

changes

in

security

values

is

typically

transferred

the

next

business

day.

Collateral

may

be

in

the

form

of

cash

or

debt

securities

issued

by

the

U.S.

government

or

related

agencies,

although

other

securities

may

be

used

depending

on

the

terms

outlined

in

the

applicable

MNA.

Cash

posted

by

the

fund

is

reflected

as

cash

deposits

in

the

accompanying

financial

statements

and

generally

is

restricted

from

withdrawal

by

the

fund;

securities

posted

by

the

fund

are

so

noted

in

the

accompanying

Portfolio

of

Investments;

both

remain

in

the

fund’s

assets.

Collateral

pledged

by

counterparties

T.

ROWE

PRICE

Total

Return

Fund

80

is

not

included

in

the

fund’s

assets

because

the

fund

does

not

obtain

effective

control

over

those

assets.

For

bilateral

derivatives,

collateral

posted

or

received

by

the

fund

is

held

in

a

segregated

account

at

the

fund’s

custodian.

While

typically

not

sold

in

the

same

manner

as

equity

or

fixed

income

securities,

exchange-traded

or

centrally

cleared

derivatives

may

be

closed

out

only

on

the

exchange

or

clearinghouse

where

the

contracts

were

cleared,

and

OTC

and

bilateral

derivatives

may

be

unwound

with

counterparties

or

transactions

assigned

to

other

counterparties

to

allow

the

fund

to

exit

the

transaction.

This

ability

is

subject

to

the

liquidity

of

underlying

positions. As

of

May

31,

2023,

no

collateral had

been

pledged

or

posted

by

the

fund

to

counterparties

for

bilateral

derivatives. As

of

May

31,

2023,

collateral

pledged

by

counterparties

to

the

fund

for

bilateral

derivatives

consisted

of $652,000 cash. As

of

May

31,

2023,

securities

valued

at $5,787,000

had

been

posted

by

the

fund

for

exchange-traded

and/or

centrally

cleared

derivatives.

Forward

Currency

Exchange

Contracts

 The

fund

is

subject

to

foreign

currency

exchange

rate

risk

in

the

normal

course

of

pursuing

its

investment

objectives.

It may use

forward

currency

exchange

contracts

(forwards)

primarily

to

protect

its

non-U.S.

dollar-

denominated

securities

from

adverse

currency

movements

or

to

increase

exposure

to

a

particular

foreign

currency,

to

shift

the

fund’s

foreign

currency

exposure

from

one

country

to

another,

or

to

enhance

the

fund’s

return.

A

forward

involves

an

obligation

to

purchase

or

sell

a

fixed

amount

of

a

specific

currency

on

a

future

date

at

a

price

set

at

the

time

of

the

contract.

Although

certain

forwards

may

be

settled

by

exchanging

only

the

net

gain

or

loss

on

the

contract,

most

forwards

are

settled

with

the

exchange

of

the

underlying

currencies

in

accordance

with

the

specified

terms.

Forwards

are

valued

at

the

unrealized

gain

or

loss

on

the

contract,

which

reflects

the

net

amount

the

fund

either

is

entitled

to

receive

or

obligated

to

deliver,

as

measured

by

the

difference

between

the

forward

exchange

rates

at

the

date

of

entry

into

the

contract

and

the

forward

rates

at

the

reporting

date.

Appreciated

forwards

are

reflected

as

assets

and

depreciated

forwards

are

reflected

as

liabilities

on

the

accompanying

Statement

of

Assets

and

Liabilities.

Risks

related

to

the

use

of

forwards

include

the

possible

failure

of

counterparties

to

meet

the

terms

of

the

agreements;

that

anticipated

currency

movements

will

not

occur,

thereby

reducing

the

fund’s

total

return;

and

the

potential

for

losses

in

excess

of

the

fund’s

initial

investment.

During

the

year ended

May

31,

2023,

the

volume

of

the

fund’s

activity

in

forwards,

based

on

underlying

notional

amounts,

was

generally

between

0%

and

4%

of

net

assets.

Futures

Contracts

 The

fund

is

subject

to interest

rate

risk in

the

normal

course

of

pursuing

its

investment

objectives

and

uses

futures

contracts

to

help

manage

such

risk.

The

fund

may

enter

into

futures

contracts

to

manage

exposure

to

interest

rate

and

yield

curve

movements,

security

prices,

foreign

currencies,

credit

quality,

and

T.

ROWE

PRICE

Total

Return

Fund

81

mortgage

prepayments;

as

an

efficient

means

of

adjusting

exposure

to

all

or

part

of

a

target

market;

to

enhance

income;

as

a

cash

management

tool;

or

to

adjust

portfolio

duration

and

credit

exposure. A

futures

contract

provides

for

the

future

sale

by

one

party

and

purchase

by

another

of

a

specified

amount

of

a

specific

underlying

financial

instrument

at

an

agreed-upon

price,

date,

time,

and

place.

The

fund

currently

invests

only

in

exchange-traded

futures,

which

generally

are

standardized

as

to

maturity

date,

underlying

financial

instrument,

and

other

contract

terms.

Payments

are

made

or

received

by

the

fund

each

day

to

settle

daily

fluctuations

in

the

value

of

the

contract

(variation

margin),

which

reflect

changes

in

the

value

of

the

underlying

financial

instrument.

Variation

margin

is

recorded

as

unrealized

gain

or

loss

until

the

contract

is

closed.

The

value

of

a

futures

contract

included

in

net

assets

is

the

amount

of

unsettled

variation

margin;

net

variation

margin

receivable

is

reflected

as

an

asset

and

net

variation

margin

payable

is

reflected

as

a

liability

on

the

accompanying

Statement

of

Assets

and

Liabilities.

Risks

related

to

the

use

of

futures

contracts

include

possible

illiquidity

of

the

futures

markets,

contract

prices

that

can

be

highly

volatile

and

imperfectly

correlated

to

movements

in

hedged

security

values

and/or

interest

rates,

and

potential

losses

in

excess

of

the

fund’s

initial

investment.

During

the

year ended

May

31,

2023,

the

volume

of

the

fund’s

activity

in

futures,

based

on

underlying

notional

amounts,

was

generally

between

17%

and

37%

of

net

assets.

Options

 The

fund

is

subject

to interest

rate

risk,

foreign

currency

exchange

rate

risk

and

credit

risk in

the

normal

course

of

pursuing

its

investment

objectives

and

uses

options

to

help

manage

such

risks.

The

fund

may

use

options

to

manage

exposure

to

security

prices,

interest

rates,

foreign

currencies,

and

credit

quality;

as

an

efficient

means

of

adjusting

exposure

to

all

or

a

part

of

a

target

market;

to

enhance

income;

as

a

cash

management

tool;

or

to

adjust

credit

exposure.

Options

are

included

in

net

assets

at

fair

value,

options

purchased

are

included

in

Investments

in

Securities,

and

options

written

are

separately

reflected

as

a

liability

on

the

accompanying

Statement

of

Assets

and

Liabilities.

Premiums

on

unexercised,

expired

options

are

recorded

as

realized

gains

or

losses;

premiums

on

exercised

options

are

recorded

as

an

adjustment

to

the

proceeds

from

the

sale

or

cost

of

the

purchase.

The

difference

between

the

premium

and

the

amount

received

or

paid

in

a

closing

transaction

is

also

treated

as

realized

gain

or

loss.

In

return

for

a

premium

paid,

currency

options

give

the

holder

the

right,

but

not

the

obligation,

to

buy

and

sell

currency

at

a

specified

exchange

rate;

although

certain

currency

options

may

be

settled

by

exchanging

only

the

net

gain

or

loss

on

the

contract.

In

return

for

a

premium

paid,

call

and

put

options

on

futures

give

the

holder

the

right,

but

not

the

obligation,

to

purchase

or

sell,

respectively,

a

position

in

a

particular

futures

contract

at

a

specified

exercise

price.

In

return

for

a

premium

paid,

options

on

swaps

give

the

holder

the

right,

but

not

the

obligation,

to

enter

a

specified

swap

contract

on

predefined

terms.

The

exercise

price

of

an

option

on

a

credit

default

swap

is

stated

in

T.

ROWE

PRICE

Total

Return

Fund

82

terms

of

a

specified

spread

that

represents

the

cost

of

credit

protection

on

the

reference

asset,

including

both

the

upfront

premium

to

open

the

position

and

future

periodic

payments.

The

exercise

price

of

an

interest

rate

swap

is

stated

in

terms

of

a

fixed

interest

rate;

generally,

there

is

no

upfront

payment

to

open

the

position.

Risks related

to

the

use

of

options

include

possible

illiquidity

of

the

options

markets;

trading

restrictions

imposed

by

an

exchange

or

counterparty;

possible

failure

of

counterparties

to

meet

the

terms

of

the

agreements;

movements

in

the

underlying

asset

values,

interest

rates,

currency

values

and

credit

ratings;

and,

for

options

written,

the

potential

for

losses

to

exceed

any

premium

received

by

the

fund.

During

the

year ended

May

31,

2023,

the

volume

of

the

fund’s

activity

in

options,

based

on

underlying

notional

amounts,

was

generally

between

0%

and

15%

of

net

assets.

Swaps

 The

fund

is

subject

to

interest

rate

risk,

credit

risk

and

inflation

risk in

the

normal

course

of

pursuing

its

investment

objectives

and

uses

swap

contracts

to

help

manage

such

risks.

The

fund

may

use

swaps

in

an

effort

to

manage

both

long

and

short

exposure

to

changes

in

interest

rates,

inflation

rates,

and

credit

quality;

to

adjust

overall

exposure

to

certain

markets;

to

enhance

total

return

or

protect

the

value

of

portfolio

securities;

to

serve

as

a

cash

management

tool;

or

to

adjust

portfolio

duration

and

credit

exposure.

Swap

agreements

can

be

settled

either

directly

with

the

counterparty

(bilateral

swap)

or

through

a

central

clearinghouse

(centrally

cleared

swap).

Fluctuations

in

the

fair

value

of

a

contract

are

reflected

in

unrealized

gain

or

loss

and

are

reclassified

to

realized

gain

or

loss

upon

contract

termination

or

cash

settlement.

Net

periodic

receipts

or

payments

required

by

a

contract

increase

or

decrease,

respectively,

the

value

of

the

contract

until

the

contractual

payment

date,

at

which

time

such

amounts

are

reclassified

from

unrealized

to

realized

gain

or

loss.

For

bilateral

swaps,

cash

payments

are

made

or

received

by

the

fund

on

a

periodic

basis

in

accordance

with

contract

terms;

unrealized

gain

on

contracts

and

premiums

paid

are

reflected

as

assets

and

unrealized

loss

on

contracts

and

premiums

received

are

reflected

as

liabilities

on

the

accompanying

Statement

of

Assets

and

Liabilities.

For

bilateral

swaps,

premiums

paid

or

received

are

amortized

over

the

life

of

the

swap

and

are

recognized

as

realized

gain

or

loss

in

the

Statement

of

Operations.

For

centrally

cleared

swaps,

payments

are

made

or

received

by

the

fund

each

day

to

settle

the

daily

fluctuation

in

the

value

of

the

contract

(variation

margin).

Accordingly,

the

value

of

a

centrally

cleared

swap

included

in

net

assets

is

the

unsettled

variation

margin;

net

variation

margin

receivable

is

reflected

as

an

asset

and

net

variation

margin

payable

is

reflected

as

a

liability

on

the

accompanying

Statement

of

Assets

and

Liabilities.

Interest

rate

swaps

are

agreements

to

exchange

cash

flows

based

on

the

difference

between

specified

interest

rates

applied

to

a

notional

principal

amount

for

a

specified

period

of

time.

Risks

related

to

the

use

of

interest

rate

swaps

include

the

potential

T.

ROWE

PRICE

Total

Return

Fund

83

for

unanticipated

movements

in

interest

or

currency

rates,

the

possible

failure

of

a

counterparty

to

perform

in

accordance

with

the

terms

of

the

swap

agreements,

potential

government

regulation

that

could

adversely

affect

the

fund’s

swap

investments,

and

potential

losses

in

excess

of

the

fund’s

initial

investment. 

Credit

default

swaps

are

agreements

where

one

party

(the

protection

buyer)

agrees

to

make

periodic

payments

to

another

party

(the

protection

seller)

in

exchange

for

protection

against

specified

credit

events,

such

as

certain

defaults

and

bankruptcies

related

to

an

underlying

credit

instrument,

or

issuer

or

index

of

such

instruments.

Upon

occurrence

of

a

specified

credit

event,

the

protection

seller

is

required

to

pay

the

buyer

the

difference

between

the

notional

amount

of

the

swap

and

the

value

of

the

underlying

credit,

either

in

the

form

of

a

net

cash

settlement

or

by

paying

the

gross

notional

amount

and

accepting

delivery

of

the

relevant

underlying

credit.

For

credit

default

swaps

where

the

underlying

credit

is

an

index,

a

specified

credit

event

may

affect

all

or

individual

underlying

securities

included

in

the

index

and

will

be

settled

based

upon

the

relative

weighting

of

the

affected

underlying

security(ies)

within

the

index. Generally,

the

payment

risk

for

the

seller

of

protection

is

inversely

related

to

the

current

market

price

or

credit

rating

of

the

underlying

credit

or

the

market

value

of

the

contract

relative

to

the

notional

amount,

which

are

indicators

of

the

markets’

valuation

of

credit

quality.

As

of

May

31,

2023,

the

notional

amount

of

protection

sold

by

the

fund

totaled $22,278,000

(3.3%

of

net

assets),

which

reflects

the

maximum

potential

amount

the

fund

could

be

required

to

pay

under

such

contracts.

Risks

related

to

the

use

of

credit

default

swaps

include

the

possible

inability

of

the

fund

to

accurately

assess

the

current

and

future

creditworthiness

of

underlying

issuers,

the

possible

failure

of

a

counterparty

to

perform

in

accordance

with

the

terms

of

the

swap

agreements,

potential

government

regulation

that

could

adversely

affect

the

fund’s

swap

investments,

and

potential

losses

in

excess

of

the

fund’s

initial

investment.

Zero-coupon

inflation

swaps

are

agreements

to

exchange

cash

flows,

on

the

contract’s

maturity

date,

based

on

the

difference

between

a

predetermined

fixed

rate

and

the

cumulative

change

in

the

consumer

price

index,

both

applied

to

a

notional

principal

amount

for

a

specified

period

of

time.

Risks

related

to

the

use

of

zero-coupon

inflation

swaps

include

the

potential

for

unanticipated

movements

in

inflation

rates,

the

possible

failure

of

a

counterparty

to

perform

in

accordance

with

the

terms

of

the

swap

agreements,

potential

government

regulation

that

could

adversely

affect

the

fund’s

swap

investments,

and

potential

losses

in

excess

of

the

fund’s

initial

investment. 

Total

return

swaps

are

agreements

in

which

one

party

makes

payments

based

on

a

set

rate,

either

fixed

or

variable,

while

the

other

party

makes

payments

based

on

the

return

of

an

underlying

asset

(reference

asset),

such

as

an

index,

equity

security,

fixed

income

security

or

commodity-based

exchange-traded

fund,

which

includes

both

the

income

T.

ROWE

PRICE

Total

Return

Fund

84

it

generates

and

any

change

in

its

value.

Risks

related

to

the

use

of

total

return

swaps

include

the

potential

for

unfavorable

changes

in

the

reference

asset,

the

possible

failure

of

a

counterparty

to

perform

in

accordance

with

the

terms

of

the

swap

agreements,

potential

government

regulation

that

could

adversely

affect

the

fund’s

swap

investments,

and

potential

losses

in

excess

of

the

fund’s

initial

investment. 

During

the

year ended

May

31,

2023,

the

volume

of

the

fund’s

activity

in

swaps,

based

on

underlying

notional

amounts,

was

generally

between

7%

and

35%

of

net

assets.

NOTE

4

-

OTHER

INVESTMENT

TRANSACTIONS 

Consistent

with

its

investment

objective,

the

fund

engages

in

the

following

practices

to

manage

exposure

to

certain

risks

and/or

to

enhance

performance.

The

investment

objective,

policies,

program,

and

risk

factors

of

the

fund

are

described

more

fully

in

the

fund’s

prospectus

and

Statement

of

Additional

Information.

Emerging

and

Frontier

Markets

 The fund

invests,

either

directly

or

through

investments

in

other

T.

Rowe

Price

funds,

in

securities

of

companies

located

in,

issued

by

governments

of,

or

denominated

in

or

linked

to

the

currencies

of

emerging

and

frontier

market

countries.

Emerging

markets,

and

to

a

greater

extent

frontier

markets, tend

to

have

economic

structures

that

are

less

diverse

and

mature,

less

developed

legal

and

regulatory

regimes,

and

political

systems

that

are

less

stable,

than

those

of

developed

countries.

These

markets

may

be

subject

to

greater

political,

economic,

and

social

uncertainty

and

differing

accounting

standards

and

regulatory

environments

that

may

potentially

impact

the

fund’s

ability

to

buy

or

sell

certain

securities

or

repatriate

proceeds

to

U.S.

dollars.

Emerging

markets

securities

exchanges

are

more

likely

to

experience

delays

with

the

clearing

and

settling

of

trades,

as

well

as

the

custody

of

holdings

by

local

banks,

agents,

and

depositories.

Such

securities

are

often

subject

to

greater

price

volatility,

less

liquidity,

and

higher

rates

of

inflation

than

U.S.

securities.

Investing

in

frontier

markets

is

typically

significantly

riskier

than

investing

in

other

countries,

including

emerging

markets.

Noninvestment-Grade

Debt

 The

fund

invests,

either

directly

or

through

its

investment

in

other

T.

Rowe

Price

funds,

in

noninvestment-grade

debt,

including

“high

yield”

or

“junk”

bonds

or

leveraged

loans.

Noninvestment-grade

debt

issuers

are

more

likely

to

suffer

an

adverse

change

in

financial

condition

that

would

result

in

the

inability

to

meet

a

financial

obligation.

The

noninvestment-grade

debt

market

may

experience

sudden

and

sharp

price

swings

due

to

a

variety

of

factors

that

may

decrease

the

ability

of

issuers

T.

ROWE

PRICE

Total

Return

Fund

85

to

make

principal

and

interest

payments

and

adversely

affect

the

liquidity

or

value,

or

both,

of

such

securities.

Accordingly,

securities

issued

by

such

companies

carry

a

higher

risk

of

default

and

should

be

considered

speculative. 

Restricted

Securities

 The

fund

invests

in

securities

that

are

subject

to

legal

or

contractual

restrictions

on

resale.

Prompt

sale

of

such

securities

at

an

acceptable

price

may

be

difficult

and

may

involve

substantial

delays

and

additional

costs.

Collateralized

Loan

Obligations

 The

fund

invests

in

collateralized

loan

obligations

(CLOs)

which

are

entities

backed

by

a

diversified

pool

of

syndicated

bank

loans.

The

cash

flows

of

the

CLO

can

be

split

into

multiple

segments,

called

“tranches”

or

“classes”,

which

will

vary

in

risk

profile

and

yield.

The

riskiest

segments,

which

are

the

subordinate

or

“equity”

tranches,

bear

the

greatest

risk

of

loss

from

defaults

in

the

underlying

assets

of

the

CLO

and

serve

to

protect

the

other,

more

senior,

tranches.

Senior

tranches

will

typically

have

higher

credit

ratings

and

lower

yields

than

the

securities

underlying

the

CLO.

Despite

the

protection

from

the

more

junior

tranches,

senior

tranches

can

experience

substantial

losses. 

Mortgage-Backed

Securities

 The

fund

invests

in

mortgage-backed

securities

(MBS

or

pass-through

certificates)

that

represent

an

interest

in

a

pool

of

specific

underlying

mortgage

loans

and

entitle

the

fund

to

the

periodic

payments

of

principal

and

interest

from

those

mortgages.

MBS

may

be

issued

by

government

agencies

or

corporations,

or

private

issuers.

Most

MBS

issued

by

government

agencies

are

guaranteed;

however,

the

degree

of

protection

differs

based

on

the

issuer.

The

fund

also

invests

in

stripped

MBS,

created

when

a

traditional

MBS

is

split

into

an

interest-only

(IO)

and

a

principal-

only

(PO)

strip.

MBS,

including

IOs

and

POs, are

sensitive

to

changes

in

economic

conditions

that

affect

the

rate

of

prepayments

and

defaults

on

the

underlying

mortgages;

accordingly,

the

value,

income,

and

related

cash

flows

from

MBS

may

be

more

volatile

than

other

debt

instruments.

IOs

also

risk

loss

of

invested

principal

from

faster-

than-anticipated

prepayments.

TBA

Purchase,

Sale

Commitments

and

Forward

Settling

Mortgage

Obligations

 The

fund

enters

into

to-be-announced

(TBA)

purchase

or

sale

commitments

(collectively,

TBA

transactions),

pursuant

to

which

it

agrees

to

purchase

or

sell,

respectively,

mortgage-backed

securities

for

a

fixed

unit

price,

with

payment

and

delivery

at

a

scheduled

future

date

beyond

the

customary

settlement

period

for

such

securities.

With

TBA

transactions,

the

particular

securities

to

be

received

or

delivered

by

the

fund

are

not

identified

at

the

trade

date;

however,

the

securities

must

meet

specified

terms,

including

rate

and

mortgage

term,

and

be

within

industry-accepted

“good

delivery”

standards.

The

fund

may

enter

into

TBA

transactions

with

the

intention

of

taking

possession

of

or

relinquishing

the

underlying

securities,

may

elect

to

extend

the

settlement

by

“rolling”

T.

ROWE

PRICE

Total

Return

Fund

86

the

transaction,

and/or

may

use

TBA

transactions

to

gain

or

reduce

interim

exposure

to

underlying

securities.

Until

settlement,

the

fund

maintains

liquid

assets

sufficient

to

settle

its

commitment

to

purchase

a

TBA

or,

in

the

case

of

a

sale

commitment,

the

fund

maintains

an

entitlement

to

the

security

to

be

sold. 

To

mitigate

counterparty

risk,

the

fund

has

entered

into

Master

Securities

Forward

Transaction

Agreements

(MSFTA)

with

counterparties

that

provide

for

collateral

and

the

right

to

offset

amounts

due

to

or

from

those

counterparties

under

specified

conditions.

Subject

to

minimum

transfer

amounts,

collateral

requirements

are

determined

and

transfers

made

based

on

the

net

aggregate

unrealized

gain

or

loss

on

all

TBA

commitments

and

other

forward

settling

mortgage

obligations

with

a

particular

counterparty

(collectively,

MSFTA

Transactions).

At

any

time,

the

fund’s

risk

of

loss

from

a

particular

counterparty

related

to

its

MSFTA

Transactions

is

the

aggregate

unrealized

gain

on

appreciated

MSFTA

Transactions

in

excess

of

unrealized

loss

on

depreciated

MSFTA

Transactions

and

collateral

received,

if

any,

from

such

counterparty. As

of

May

31,

2023,

securities

valued

at

$1,633,000 had

been

posted

by

the

fund

to

counterparties

for

MSFTA

Transactions. No

collateral

was

pledged

by

counterparties

to

the

fund

for

MSFTA

Transactions

as

of

May

31,

2023. 

Dollar

Rolls 

 The

fund

enters

into

dollar

roll

transactions,

pursuant

to

which

it

sells

a

mortgage-backed

TBA

or

security

and

simultaneously

agrees

to

purchase

a

similar,

but

not

identical,

TBA

with

the

same

issuer,

rate,

and

terms

on

a

later

date

at

a

set

price

from

the

same

counterparty.

The

fund

may

execute

a

“roll”

to

obtain

better

underlying

mortgage

securities

or

to

enhance

returns.

While

the

fund

may

enter

into

dollar

roll

transactions

with

the

intention

of

taking

possession

of

the

underlying

mortgage

securities,

it

may

also

close

a

contract

prior

to

settlement

or

“roll”

settlement

to

a

later

date

if

deemed

to

be

in

the

best

interest

of

shareholders.

Actual

mortgages

received

by

the

fund

may

be

less

favorable

than

those

anticipated.

The

fund

accounts

for

dollar

roll

transactions

as

purchases

and

sales,

which

has

the

effect

of

increasing

its

portfolio

turnover

rate. 

Bank

Loans

 The

fund

invests

in

bank

loans,

which

represent

an

interest

in

amounts

owed

by

a

borrower

to

a

syndicate

of

lenders.

Bank

loans

are

generally

noninvestment

grade

and

often

involve

borrowers

whose

financial

condition

is

highly

leveraged.

The

fund

may

invest

in

fixed

and

floating

rate

loans,

which

may

include

senior

floating

rate

loans;

secured

and

unsecured

loans,

second

lien

or

more

junior

loans;

and

bridge

loans

or

bridge

facilities.

Certain

bank

loans

may

be

revolvers

which

are

a

form

of

senior

bank

debt,

where

the

borrower

can

draw

down

the

credit

of

the

revolver

when

it

needs

cash

and

repays

the

credit

when

the

borrower

has

excess

cash.

Certain

loans

may

be

“covenant-lite”

loans,

which

means

the

loans

contain

fewer

maintenance

covenants

than

T.

ROWE

PRICE

Total

Return

Fund

87

other

loans

(in

some

cases,

none)

and

do

not

include

terms

which

allow

the

lender

to

monitor

the

performance

of

the

borrower

and

declare

a

default

if

certain

criteria

are

breached.

As

a

result

of

these

risks,

the

fund’s

exposure

to

losses

may

be

increased.

Bank

loans

may

be

in

the

form

of

either

assignments

or

participations.

A

loan

assignment

transfers

all

legal,

beneficial,

and

economic

rights

to

the

buyer,

and

transfer

typically

requires

consent

of

both

the

borrower

and

agent.

In

contrast,

a

loan

participation

generally

entitles

the

buyer

to

receive

the

cash

flows

from

principal,

interest,

and

any

fee

payments

on

a

portion

of

a

loan;

however,

the

seller

continues

to

hold

legal

title

to

that

portion

of

the

loan.

As

a

result,

the

buyer

of

a

loan

participation

generally

has

no

direct

recourse

against

the

borrower

and

is

exposed

to

credit

risk

of

both

the

borrower

and

seller

of

the

participation.

Bank

loans

often

have

extended

settlement

periods,

generally

may

be

repaid

at

any

time

at

the

option

of

the

borrower,

and

may

require

additional

principal

to

be

funded

at

the

borrowers’

discretion

at

a

later

date

(e.g.

unfunded

commitments

and

revolving

debt

instruments).

Until

settlement,

the

fund

maintains

liquid

assets

sufficient

to

settle

its

unfunded

loan

commitments.

The

fund

reflects

both

the

funded

portion

of

a

bank

loan

as

well

as

its

unfunded

commitment

in

the

Portfolio

of

Investments.

However,

if

a

credit

agreement

provides

no

initial

funding

of

a

tranche,

and

funding

of

the

full

commitment

at

a

future

date(s)

is

at

the

borrower’s

discretion

and

considered

uncertain,

a

loan

is

reflected

in

the

Portfolio

of

Investments

only

if,

and

only

to

the

extent

that,

the

fund

has

actually

settled

a

funding

commitment.

LIBOR

Transition

 The fund

may

invest

in

instruments

that

are

tied

to

reference

rates,

including

LIBOR.

Over

the

course

of

the

last

several

years,

global

regulators

have

indicated

an

intent

to

phase

out

the

use

of

LIBOR

and

similar

interbank

offered

rates

(IBOR). There

remains

uncertainty

regarding

the

future

utilization

of

LIBOR

and

the

nature

of

any

replacement

rate.

Any

potential

effects

of

the

transition

away

from

LIBOR

on

the fund,

or

on

certain

instruments

in

which

the fund

invests,

cannot

yet

be

determined.

The

transition

process

may

result

in,

among

other

things,

an

increase

in

volatility

or

illiquidity

of

markets

for

instruments

that

currently

rely

on

LIBOR,

a

reduction

in

the

value

of

certain

instruments

held

by

the fund,

or

a

reduction

in

the

effectiveness

of

related

fund

transactions

such

as

hedges.

Any

such

effects

could

have

an

adverse

impact

on

the fund's

performance.

Securities

Lending

 The fund

may

lend

its

securities

to

approved

borrowers

to

earn

additional

income.

Its

securities

lending

activities

are

administered

by

a

lending

agent

in

accordance

with

a

securities

lending

agreement.

Security

loans

generally

do

not

have

stated

maturity

dates,

and

the

fund

may

recall

a

security

at

any

time.

The

fund

receives

collateral

in

the

form

of

cash

or

U.S.

government

securities.

Collateral

is

maintained

T.

ROWE

PRICE

Total

Return

Fund

88

over

the

life

of

the

loan

in

an

amount

not

less

than

the

value

of

loaned

securities;

any

additional

collateral

required

due

to

changes

in

security

values

is

delivered

to

the

fund

the

next

business

day.

Cash

collateral

is

invested

in

accordance

with

investment

guidelines

approved

by

fund

management.

Additionally,

the

lending

agent

indemnifies

the

fund

against

losses

resulting

from

borrower

default.

Although

risk

is

mitigated

by

the

collateral

and

indemnification,

the

fund

could

experience

a

delay

in

recovering

its

securities

and

a

possible

loss

of

income

or

value

if

the

borrower

fails

to

return

the

securities,

collateral

investments

decline

in

value,

and

the

lending

agent

fails

to

perform.

Securities

lending

revenue

consists

of

earnings

on

invested

collateral

and

borrowing

fees,

net

of

any

rebates

to

the

borrower,

compensation

to

the

lending

agent,

and

other

administrative

costs.

In

accordance

with

GAAP,

investments

made

with

cash

collateral

are

reflected

in

the

accompanying

financial

statements,

but

collateral

received

in

the

form

of

securities

is

not.

At

May

31,

2023,

the

value

of

loaned

securities

was

$5,824,000;

the

value

of

cash

collateral

and

related

investments

was

$6,035,000.

Other

Purchases

and

sales

of

portfolio

securities

other

than

short-term and

U.S.

government

securities

aggregated $206,799,000 and

$236,837,000,

respectively,

for

the

year ended

May

31,

2023.

Purchases

and

sales

of

U.S.

government

securities

aggregated

$2,158,500,000 and

$2,054,931,000,

respectively,

for

the

year ended

May

31,

2023.

NOTE

5

-

FEDERAL

INCOME

TAXES

Generally,

no

provision

for

federal

income

taxes

is

required

since

the

fund

intends

to

continue

to

qualify

as

a

regulated

investment

company

under

Subchapter

M

of

the

Internal

Revenue

Code

and

distribute

to

shareholders

all

of

its

taxable

income

and

gains.

Distributions

determined

in

accordance

with

federal

income

tax

regulations

may

differ

in

amount

or

character

from

net

investment

income

and

realized

gains

for

financial

reporting

purposes.

The fund

files

U.S.

federal,

state,

and

local

tax

returns

as

required. The

fund’s

tax

returns

are

subject

to

examination

by

the

relevant

tax

authorities

until

expiration

of

the

applicable

statute

of

limitations,

which

is

generally

three

years

after

the

filing

of

the

tax

return

but

which

can

be

extended

to

six

years

in

certain

circumstances.

Tax

returns

for

open

years

have

incorporated

no

uncertain

tax

positions

that

require

a

provision

for

income

taxes.

T.

ROWE

PRICE

Total

Return

Fund

89

Capital

accounts

within

the

financial

reporting

records

are

adjusted

for

permanent

book/tax

differences

to

reflect

tax

character

but

are

not

adjusted

for

temporary

differences.

The

permanent

book/tax

adjustments,

if

any,

have

no

impact

on

results

of

operations

or

net

assets.

The

permanent

book/tax

adjustments

relate

primarily

to

the

character

of

net

currency

gains

or

losses

and

character

of

income

on

swaps.

The

tax

character

of

distributions

paid

for

the

periods

presented

was

as

follows:

At

May

31,

2023,

the

tax-basis

cost

of

investments

(including

derivatives,

if

any)

and

gross

unrealized

appreciation

and

depreciation

were

as

follows:

At

May

31,

2023,

the

tax-basis

components

of

accumulated

net

earnings

(loss)

were

as

follows:

($000s)

May

31,

2023

May

31,

2022

Ordinary

income

(including

short-term

capital

gains,

if

any)

$

27,585‌

$

19,619‌

Long-term

capital

gain

—‌

1,848‌

Return

of

capital

379‌

—‌

Total

distributions

$

27,964‌

$

21,467‌

($000s)

Cost

of

investments

$

860,142‌

Unrealized

appreciation

$

1,793‌

Unrealized

depreciation

(59,739‌)

Net

unrealized

appreciation

(depreciation)

$

(57,946‌)

($000s)

Overdistributed

ordinary

income

$

(2,984‌)

Net

unrealized

appreciation

(depreciation)

(57,946‌)

Loss

carryforwards

and

deferrals

(66,258‌)

Total

distributable

earnings

(loss)

$

(127,188‌)

T.

ROWE

PRICE

Total

Return

Fund

90

Temporary

differences

between

book-basis

and

tax-basis

components

of

total

distributable

earnings

(loss)

arise

when

certain

items

of

income,

gain,

or

loss

are

recognized

in

different

periods

for

financial

statement

purposes

versus

for

tax

purposes;

these

differences

will

reverse

in

a

subsequent

reporting

period.

The

temporary

differences

relate

primarily

to

the

deferral

of

losses

from

wash

sales

and

the

realization

of

gains/losses

on

certain

open

derivative

contracts.

The

loss

carryforwards

and

deferrals

primarily

relate

to

capital

loss

carryforwards,

late-year

ordinary

loss

deferrals

and

straddle

deferrals.

Capital

loss

carryforwards

are

available

indefinitely

to

offset

future

realized

capital

gains.

The

fund

has

elected

to

defer

certain

losses

to

the

first

day

of

the

following

fiscal

year

for

late-year

ordinary

loss

deferrals.

NOTE

6

-

RELATED

PARTY

TRANSACTIONS

The

fund

is

managed

by

T.

Rowe

Price

Associates,

Inc.

(Price

Associates),

a

wholly

owned

subsidiary

of

T.

Rowe

Price

Group,

Inc.

(Price

Group). Price

Associates

has

entered

into

a

sub-advisory

agreement(s)

with

one

or

more

of

its

wholly

owned

subsidiaries,

to

provide

investment

advisory

services

to

the

fund.

The

investment

management

agreement

between

the

fund

and

Price

Associates

provides

for

an

annual

investment

management

fee,

which

is

computed

daily

and

paid

monthly. The

fee

consists

of

an

individual

fund

fee,

equal

to

0.02%

of

the

fund’s

average

daily

net

assets,

and

a

group

fee.

The

group

fee

rate

is

calculated

based

on

the

combined

net

assets

of

certain

mutual

funds

sponsored

by

Price

Associates

(the

group)

applied

to

a

graduated

fee

schedule,

with

rates

ranging

from

0.48%

for

the

first

$1

billion

of

assets

to

0.260%

for

assets

in

excess

of

$845

billion.

The

fund’s

group

fee

is

determined

by

applying

the

group

fee

rate

to

the

fund’s

average

daily

net

assets. At

May

31,

2023,

the

effective

annual

group

fee

rate

was

0.29%.

The Investor Class

and Advisor Class

are

each

subject

to

a

contractual

expense

limitation

through

the

expense

limitation

dates

indicated

in

the

table

below.

During

the

limitation

period,

Price

Associates

is

required

to

waive

its

management

fee

or

pay

any

expenses

(excluding

interest;

expenses

related

to

borrowings,

taxes,

and

brokerage;

non-recurring,

extraordinary

expenses;

and

acquired

fund

fees

and

expenses)

that

would

otherwise

cause

the

class’s

ratio

of

annualized

total

expenses

to

average

net

assets

(net

expense

ratio)

to

exceed

its

expense

limitation.

Each

class

is

required

to

repay

Price

Associates

for

expenses

previously

waived/paid

to

the

extent

the

class’s

net

assets

grow

or

expenses

decline

sufficiently

to

allow

repayment

without

causing

the

class’s

net

expense

ratio

(after

the

repayment

is

taken

into

account)

to

exceed

the

lesser

of:

(1)

T.

ROWE

PRICE

Total

Return

Fund

91

the

expense

limitation

in

place

at

the

time

such

amounts

were

waived;

or

(2)

the

class’s

current

expense

limitation.

However,

no

repayment

will

be

made

more

than

three

years

after

the

date

of

a

payment

or

waiver. 

The

I

Class

is

also

subject

to

an

operating

expense

limitation

(I

Class

Limit)

pursuant

to

which

Price

Associates

is

contractually

required

to

pay

all

operating

expenses

of

the

I

Class,

excluding

management

fees;

interest;

expenses

related

to

borrowings,

taxes,

and

brokerage; non-recurring,

extraordinary expenses; and

acquired

fund

fees

and

expenses, to

the

extent

such

operating

expenses,

on

an

annualized

basis,

exceed

the

I

Class

Limit. This

agreement

will

continue

through

the

expense

limitation

date

indicated

in

the

table

below,

and

may

be

renewed,

revised,

or

revoked

only

with

approval

of

the

fund’s

Board.

The

I

Class

is

required

to

repay

Price

Associates

for

expenses

previously

paid

to

the

extent

the

class’s

net

assets

grow

or

expenses

decline

sufficiently

to

allow

repayment

without

causing

the

class’s

operating

expenses

(after

the

repayment

is

taken

into

account)

to

exceed

the

lesser

of:

(1)

the

I

Class

Limit

in

place

at

the

time

such

amounts

were

paid;

or

(2)

the

current

I

Class

Limit.

However,

no

repayment

will

be

made

more

than

three

years

after

the

date

of

a

payment

or

waiver.

Pursuant

to

these

agreements,

expenses

were

waived/paid

by

and/or

repaid

to

Price

Associates

during

the

year ended May

31,

2023

as

indicated

in

the

table

below.

Including these

amounts,

expenses

previously

waived/paid

by

Price

Associates

in

the

amount

of $1,056,000 remain

subject

to

repayment

by

the

fund

at

May

31,

2023.

Any

repayment

of

expenses

previously

waived/paid

by

Price

Associates

during

the

period

would

be

included

in

the

net

investment

income

and

expense

ratios

presented

on

the

accompanying

Financial

Highlights.

In

addition,

the

fund

has

entered

into

service

agreements

with

Price

Associates

and

two

wholly

owned

subsidiaries

of

Price

Associates,

each

an

affiliate

of

the

fund

(collectively,

Price).

Price

Associates

provides

certain

accounting

and

administrative

services

to

the

fund.

T.

Rowe

Price

Services,

Inc.

provides

shareholder

and

administrative

services

in

its

capacity

as

the

fund’s

transfer

and

dividend-disbursing

agent.

T.

Rowe

Price

Retirement

Plan

Services,

Inc.

provides

subaccounting

and

recordkeeping

services

for

certain

retirement

accounts

invested

in

the

Investor

Class

and

Advisor

Class.

For

the

year

ended

Investor

Class

Advisor

Class

I

Class

Expense

limitation/I

Class

Limit

0.46%

0.75%

0.02%

Expense

limitation

date

09/30/23

09/30/23

09/30/23

(Waived)/repaid

during

the

period

($000s)

$(126)

$—

(1)

$(275)

(1)

Amount

rounds

to

less

than

$1,000

T.

ROWE

PRICE

Total

Return

Fund

92

May

31,

2023,

expenses

incurred

pursuant

to

these

service

agreements

were

$111,000

for

Price

Associates;

$127,000

for

T.

Rowe

Price

Services,

Inc.;

and

$1,000

for

T.

Rowe

Price

Retirement

Plan

Services,

Inc.

All

amounts

due

to

and

due

from

Price,

exclusive

of

investment

management

fees

payable,

are

presented

net

on

the

accompanying

Statement

of

Assets

and

Liabilities.

The fund

may

invest

its

cash

reserves

in

certain

open-end

management

investment

companies

managed

by

Price

Associates

and

considered

affiliates

of

the

fund:

the

T.

Rowe

Price

Government

Reserve

Fund

or

the

T.

Rowe

Price

Treasury

Reserve

Fund,

organized

as

money

market

funds

(together,

the

Price

Reserve

Funds).

The

Price

Reserve

Funds

are

offered

as

short-term

investment

options

to

mutual

funds,

trusts,

and

other

accounts

managed

by

Price

Associates

or

its

affiliates

and

are

not

available

for

direct

purchase

by

members

of

the

public.

Cash

collateral

from

securities

lending,

if

any,

is

invested

in

the

T.

Rowe

Price

Government

Reserve Fund. The

Price

Reserve

Funds

pay

no

investment

management

fees.

The

fund may

participate

in

securities

purchase

and

sale

transactions

with

other

funds

or

accounts

advised

by

Price

Associates

(cross

trades),

in

accordance

with

procedures

adopted

by the

fund’s

Board

and

Securities

and

Exchange

Commission

rules,

which

require,

among

other

things,

that

such

purchase

and

sale

cross

trades

be

effected

at

the

independent

current

market

price

of

the

security.

During

the

year

ended

May

31,

2023,

the

fund

had

no

purchases

or

sales

cross

trades

with

other

funds

or

accounts

advised

by

Price

Associates.

NOTE

7

-

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

the fund

invests.

Certain

events

may

cause

instability

across

global

markets,

including

reduced

liquidity

and

disruptions

in

trading

markets,

while

some

events

may

affect

certain

geographic

regions,

countries,

sectors,

and

industries

more

significantly

than

others,

and

exacerbate

other

pre-existing

political,

social,

and

economic

risks.

Since

2020,

a

novel

strain

of

coronavirus

(COVID-19)

has

resulted

in

disruptions

to

global

business

activity

and

caused

significant

volatility

and

declines

in

global

financial

markets.

T.

ROWE

PRICE

Total

Return

Fund

93

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.

In

March

2023,

the

collapse

of

some

US

regional

and

global

banks

as

well

as

overall

concerns

around

the

soundness

and

stability

of

the

global

banking

sector

has

sparked

concerns

of

a

broader

financial

crisis

impacting

the

overall

global

banking

sector.

In

certain

cases,

government

agencies

have

assumed

control

or

otherwise

intervened

in

the

operations

of

certain

banks

due

to

liquidity

and

solvency

concerns.

The

extent

of

impact

of

these

events

on

the

US

and

global

markets

is

highly

uncertain.

These

are

recent

examples

of

global

events

which

may

have

a

negative

impact

on

the

values

of

certain

portfolio

holdings

or

the

fund’s

overall

performance.

Management

is

actively

monitoring

the

risks

and

financial

impacts

arising

from

these

events.

T.

ROWE

PRICE

Total

Return

Fund

94

REPORT

OF

INDEPENDENT

REGISTERED

PUBLIC

ACCOUNTING

FIRM

To

the

Board

of

Directors

and

Shareholders

of

T.

Rowe

Price

Total

Return

Fund,

Inc.

Opinion

on

the

Financial

Statements

We

have

audited

the

accompanying

statement

of

assets

and

liabilities,

including

the

portfolio

of

investments,

of

T.

Rowe

Price

Total

Return

Fund,

Inc.

(the

"Fund")

as

of

May

31,

2023,

the

related

statement

of

operations

for

the

year

ended

May

31,

2023,

the

statement

of

changes

in

net

assets

for

each

of

the

two

years

in

the

period

ended

May

31,

2023,

including

the

related

notes,

and

the

financial

highlights

for

each

of

the

five

years

in

the

period

ended

May

31,

2023

(collectively

referred

to

as

the

“financial

statements”).

In

our

opinion,

the

financial

statements

present

fairly,

in

all

material

respects,

the

financial

position

of

the

Fund

as

of

May

31,

2023,

the

results

of

its

operations

for

the

year

then

ended,

the

changes

in

its

net

assets

for

each

of

the

two

years

in

the

period

ended

May

31,

2023

and

the

financial

highlights

for

each

of

the

five

years

in

the

period

ended

May

31,

2023,

in

conformity

with

accounting

principles

generally

accepted

in

the

United

States

of

America.

Basis

for

Opinion

These

financial

statements

are

the

responsibility

of

the

Fund’s

management.

Our

responsibility

is

to

express

an

opinion

on

the

Fund’s

financial

statements

based

on

our

audits.

We

are

a

public

accounting

firm

registered

with

the

Public

Company

Accounting

Oversight

Board

(United

States)

(PCAOB)

and

are

required

to

be

independent

with

respect

to

the

Fund

in

accordance

with

the

U.S.

federal

securities

laws

and

the

applicable

rules

and

regulations

of

the

Securities

and

Exchange

Commission

and

the

PCAOB.

We

conducted

our

audits

of

these

financial

statements

in

accordance

with

the

standards

of

the

PCAOB.

Those

standards

require

that

we

plan

and

perform

the

audit

to

obtain

reasonable

assurance

about

whether

the

financial

statements

are

free

of

material

misstatement,

whether

due

to

error

or

fraud.

T.

ROWE

PRICE

Total

Return

Fund

95

Our

audits

included

performing

procedures

to

assess

the

risks

of

material

misstatement

of

the

financial

statements,

whether

due

to

error

or

fraud,

and

performing

procedures

that

respond

to

those

risks.

Such

procedures

included

examining,

on

a

test

basis,

evidence

regarding

the

amounts

and

disclosures

in

the

financial

statements.

Our

audits

also

included

evaluating

the

accounting

principles

used

and

significant

estimates

made

by

management,

as

well

as

evaluating

the

overall

presentation

of

the

financial

statements.

Our

procedures

included

confirmation

of

securities

owned

as

of

May

31,

2023

by

correspondence

with

the

custodians,

transfer

agent

and

brokers;

when

replies

were

not

received

from

brokers,

we

performed

other

auditing

procedures.

We

believe

that

our

audits

provide

a

reasonable

basis

for

our

opinion.   

/s/

PricewaterhouseCoopers

LLP

Baltimore,

Maryland

July

20,

2023

We

have

served

as

the

auditor

of

one

or

more

investment

companies

in

the

T.

Rowe

Price

group

of

investment

companies

since

1973.

REPORT

OF

INDEPENDENT

REGISTERED

PUBLIC

ACCOUNTING

FIRM

(continued)

T.

ROWE

PRICE

Total

Return

Fund

96

TAX

INFORMATION

(UNAUDITED)

FOR

THE

TAX

YEAR

ENDED 5/31/23

We

are

providing

this

information

as

required

by

the

Internal

Revenue

Code.

The

amounts

shown

may

differ

from

those

elsewhere

in

this

report

because

of

differences

between

tax

and

financial

reporting

requirements.

For

taxable

non-corporate

shareholders,

$50,000 of

the

fund's

income

represents

qualified

dividend

income

subject

to

a

long-term

capital

gains

tax

rate

of

not

greater

than

20%.

For

corporate

shareholders,

$50,000

of

the

fund's

income

qualifies

for

the

dividends-

received

deduction.  

For

shareholders

subject

to

interest

expense

deduction

limitation

under

Section

163(j), $25,544,000 of

the

fund’s

income

qualifies

as

a

Section

163(j)

interest

dividend

and

can

be

treated

as

interest

income

for

purposes

of

Section

163(j),

subject

to

holding

period

requirements

and

other

limitations.

T.

ROWE

PRICE

Total

Return

Fund

97

INFORMATION

ON

PROXY

VOTING

POLICIES,

PROCEDURES,

AND

RECORDS

A

description

of

the

policies

and

procedures

used

by

T.

Rowe

Price

funds

to

determine

how

to

vote

proxies

relating

to

portfolio

securities

is

available

in

each

fund’s

Statement

of

Additional

Information.

You

may

request

this

document

by

calling

1-800-225-5132

or

by

accessing

the

SEC’s

website,

sec.gov.

The

description

of

our

proxy

voting

policies

and

procedures

is

also

available

on

our

corporate

website.

To

access

it,

please

visit

the

following

Web

page:

https://www.troweprice.com/corporate/us/en/utility/policies.html

Scroll

down

to

the

section

near

the

bottom

of

the

page

that

says,

“Proxy

Voting

Guidelines.”

Click

on

the

links

in

the

shaded

box.

Each

fund’s

most

recent

annual

proxy

voting

record

is

available

on

our

website

and

through

the

SEC’s

website.

To

access

it

through

T.

Rowe

Price,

visit

the

website

location

shown

above,

and

scroll

down

to

the

section

near

the

bottom

of

the

page

that

says,

“Proxy

Voting

Records.”

Click

on

the

Proxy

Voting

Records

link

in

the

shaded

box.

HOW

TO

OBTAIN

QUARTERLY

PORTFOLIO

HOLDINGS

The

fund

files

a

complete

schedule

of

portfolio

holdings

with

the

Securities

and

Exchange

Commission

(SEC)

for

the

first

and

third

quarters

of

each

fiscal

year

as

an

exhibit

to

its

reports

on

Form

N-PORT.

The

fund’s

reports

on

Form

N-PORT

are

available

electronically

on

the

SEC’s

website

(sec.gov).

In

addition,

most

T.

Rowe

Price

funds

disclose

their

first

and

third

fiscal

quarter-end

holdings

on

troweprice.com

.

T.

ROWE

PRICE

Total

Return

Fund

98

APPROVAL

OF

INVESTMENT

MANAGEMENT

AGREEMENT

AND

SUBADVISORY

AGREEMENTS

Each

year,

the

fund’s

Board

of

Directors

(Board)

considers

the

continuation

of

the

investment

management

agreement

(Advisory

Contract)

between

the

fund

and

its

investment

adviser,

T.

Rowe

Price

Associates,

Inc.

(Adviser),

as

well

as

the

investment

subadvisory

agreements

(Subadvisory

Contracts)

that

the

Adviser

has

entered

into

with

T.

Rowe

Price

International

Ltd

and

T.

Rowe

Price

Hong

Kong

Limited

(Subadvisers)

on

behalf

of

the

fund.

In

that

regard,

at

a

meeting

held

on

March

6–7,

2023

(Meeting),

the

Board,

including

all

of

the

fund’s

independent

directors,

approved

the

continuation

of

the

fund’s

Advisory

Contract

and

Subadvisory

Contracts.

At

the

Meeting,

the

Board

considered

the

factors

and

reached

the

conclusions

described

below

relating

to

the

selection

of

the

Adviser

and

Subadvisers

and

the

approval

of

the

Advisory

Contract

and

Subadvisory

Contracts.

The

independent

directors

were

assisted

in

their

evaluation

of

the

Advisory

Contract

and

Subadvisory

Contracts

by

independent

legal

counsel

from

whom

they

received

separate

legal

advice

and

with

whom

they

met

separately.

In

providing

information

to

the

Board,

the

Adviser

was

guided

by

a

detailed

set

of

requests

for

information

submitted

by

independent

legal

counsel

on

behalf

of

the

independent

directors.

In

considering

and

approving

the

continuation

of

the

Advisory

Contract

and

Subadvisory

Contracts,

the

Board

considered

the

information

it

believed

was

relevant,

including,

but

not

limited

to,

the

information

discussed

below.

The

Board

considered

not

only

the

specific

information

presented

in

connection

with

the

Meeting

but

also

the

knowledge

gained

over

time

through

interaction

with

the

Adviser

and

Subadvisers

about

various

topics.

The

Board

meets

regularly

and,

at

each

of

its

meetings,

covers

an

extensive

agenda

of

topics

and

materials

and

considers

factors

that

are

relevant

to

its

annual

consideration

of

the

renewal

of

the

T.

Rowe

Price

funds’

advisory

contracts,

including

performance

and

the

services

and

support

provided

to

the

funds

and

their

shareholders.

Services

Provided

by

the

Adviser

and

Subadvisers

The

Board

considered

the

nature,

quality,

and

extent

of

the

services

provided

to

the

fund

by

the

Adviser

and

Subadvisers.

These

services

included,

but

were

not

limited

to,

directing

the

fund’s

investments

in

accordance

with

its

investment

program

and

the

overall

management

of

the

fund’s

portfolio,

as

well

as

a

variety

of

related

activities

such

as

financial,

investment

operations,

and

administrative

services;

compliance;

maintaining

the

fund’s

records

and

registrations;

and

shareholder

communications.

The

Board

also

reviewed

the

background

and

experience

of

the

Adviser’s

and

Subadvisers’

senior

management

teams

and

investment

personnel

involved

in

the

management

of

the

fund,

as

well

as

the

Adviser’s

compliance

record.

The

Board

concluded

that

the

information

it

considered

with

respect

to

the

nature,

quality,

and

extent

of

the

services

provided

by

the

Adviser

and

Subadvisers,

as

well

as

the

other

factors

considered

at

the

Meeting,

supported

the

Board’s

approval

of

the

continuation

of

the

Advisory

Contract

and

Subadvisory

Contracts.

T.

ROWE

PRICE

Total

Return

Fund

99

Investment

Performance

of

the

Fund

The

Board

took

into

account

discussions

with

the

Adviser

and

detailed

reports

that

it

regularly

receives

throughout

the

year

on

relative

and

absolute

performance

for

the

T.

Rowe

Price

funds.

In

connection

with

the

Meeting,

the

Board

reviewed

information

provided

by

the

Adviser

that

compared

the

fund’s

total

returns,

as

well

as

a

wide

variety

of

other

previously

agreed-upon

performance

measures

and

market

data,

against

relevant

benchmark

indexes

and

peer

groups

of

funds

with

similar

investment

programs

for

various

periods

through

December

31,

2022. Additionally,

the

Board

reviewed

the

fund’s

relative

performance

information

as

of

September

30,

2022,

which

ranked

the

returns

of

the

fund’s

Investor

Class

for

various

periods

against

a

universe

of

funds

with

similar

investment

programs

selected

by

Broadridge,

an

independent

provider

of

mutual

fund

data.

In

the

course

of

its

deliberations,

the

Board

considered

performance

information

provided

throughout

the

year

and

in

connection

with

the

Advisory

Contract

review

at

the

Meeting,

as

well

as

information

provided

during

investment

review

meetings

conducted

with

portfolio

managers

and

senior

investment

personnel

during

the

course

of

the

year

regarding

the

fund’s

performance.

The

Board

also

considered

relevant

factors,

such

as

overall

market

conditions

and

trends

that

could

adversely

impact

the

fund’s

performance,

length

of

the

fund’s

performance

track

record,

and

how

closely

the

fund’s

strategies

align

with

its

benchmarks

and

peer

groups.

The

Board

concluded

that

the

information

it

considered

with

respect

to

the

fund’s

performance,

as

well

as

the

other

factors

considered

at

the

Meeting,

supported

the

Board’s

approval

of

the

continuation

of

the

Advisory

Contract

and

Subadvisory

Contracts.

Costs,

Benefits,

Profits,

and

Economies

of

Scale

The

Board

reviewed

detailed

information

regarding

the

revenues

received

by

the

Adviser

under

the

Advisory

Contract

and

other

direct

and

indirect

benefits

that

the

Adviser

(and

its

affiliates)

may

have

realized

from

its

relationship

with

the

fund.

In

considering

soft-

dollar

arrangements

pursuant

to

which

research

may

be

received

from

broker-dealers

that

execute

the

fund’s

portfolio

transactions,

the

Board

noted

that

the

Adviser

bears

the

cost

of

research

services

for

all

client

accounts

that

it

advises,

including

the

T.

Rowe

Price

funds.

The

Board

received

information

on

the

estimated

costs

incurred

and

profits

realized

by

the

Adviser

from

managing

the

T.

Rowe

Price

funds.

The

Board

also

reviewed

estimates

of

the

profits

realized

from

managing

the

fund

in

particular,

and

the

Board

concluded

that

the

Adviser’s

profits

were

reasonable

in

light

of

the

services

provided

to

the

fund.

The

Board

also

considered

whether

the

fund

benefits

under

the

fee

levels

set

forth

in

the

Advisory

Contract

or

otherwise

from

any

economies

of

scale

realized

by

the

Adviser.

Under

the

Advisory

Contract,

the

fund

pays

a

fee

to

the

Adviser

for

investment

management

services

composed

of

two

components—a

group

fee

rate

based

on

the

combined

average

net

assets

of

most

of

the

T.

Rowe

Price

funds

(including

the

fund)

that

declines

at

certain

asset

levels

and

an

individual

fund

fee

rate

based

on

the

fund’s

average

daily

net

assets—and

the

fund

pays

its

own

expenses

of

operations.

Under

each

Subadvisory

Contract,

the

Adviser

may

pay

the

Subadviser

up

to

60%

of

the

advisory

fees

that

the

Adviser

receives

from

the

fund.

The

group

fee

rate

decreases

as

total

T.

Rowe

T.

ROWE

PRICE

Total

Return

Fund

100

Price

fund

assets

grow,

which

reduces

the

management

fee

rate

for

any

fund

that

has

a

group

fee

component

to

its

management

fee,

and

reflects

that

certain

resources

utilized

to

operate

the

fund

are

shared

with

other

T.

Rowe

Price

funds

thus

allowing

shareholders

of

those

funds

to

share

potential

economies

of

scale.

In

addition,

the

fund

is

subject

to

contractual

expense

limitations

that

require

the

Adviser

to

waive

its

fees

and/or

bear

any

expenses

that

would

cause

a

share

class

of

the

fund

to

exceed

a

certain

percentage

based

on

the

class’s

net

assets.

The

expense

limitations

protect

shareholders

from

higher

operating

costs

until

the

fund

reaches

greater

scale

and

mitigate

the

potential

for

an

increase

in

operating

expenses

above

a

certain

level

that

could

impact

shareholders.

In

addition,

the

Board

noted

that

the

fund

potentially

shares

in

indirect

economies

of

scale

through

the

Adviser’s

ongoing

investments

in

its

business

in

support

of

the

T.

Rowe

Price

funds,

including

investments

in

trading

systems,

technology,

and

regulatory

support

enhancements,

and

the

ability

to

possibly

negotiate

lower

fee

arrangements

with

third-

party

service

providers.

The

Board

concluded

that

the

advisory

fee

structure

for

the

fund

provides

for

a

reasonable

sharing

of

benefits

from

any

economies

of

scale

with

the

fund’s

investors.

Fees

and

Expenses

The

Board

was

provided

with

information

regarding

industry

trends

in

management

fees

and

expenses.

Among

other

things,

the

Board

reviewed

data

for

peer

groups

that

were

compiled

by

Broadridge,

which

compared:

(i)

contractual

management

fees,

actual

management

fees,

nonmanagement

expenses,

and

total

expenses

of

the

Investor

Class

of

the

fund

with

a

group

of

competitor

funds

selected

by

Broadridge

(Investor

Class

Expense

Group);

(ii)

actual

management

fees

and

total

expenses

of

the

Advisor

Class

of

the

fund

with

a

group

of

competitor

funds

selected

by

Broadridge

(Advisor

Class

Expense

Group);

and

(iii)

actual

management

fees,

nonmanagement

expenses,

and

total

expenses

of

the

Investor

Class

of

the

fund

with

a

broader

set

of

funds

within

the

Lipper

investment

classification

(Expense

Universe).

The

Board

considered

the

fund’s

contractual

management

fee

rate,

actual

management

fee

rate

(which

reflects

the

management

fees

actually

received

from

the

fund

by

the

Adviser

after

any

applicable

waivers,

reductions,

or

reimbursements),

operating

expenses,

and

total

expenses

(which

reflect

the

net

total

expense

ratio

of

the

fund

after

any

waivers,

reductions,

or reimbursements)

in

comparison

with

the

information

for

the

Broadridge

peer

groups.

Broadridge

generally

constructed

the

peer

groups

by

seeking

the

most

comparable

funds

based

on

similar

investment

classifications

and

objectives,

expense

structure,

asset

size,

and

operating

components

and

attributes

and

ranked

funds

into

quintiles,

with

the

first

quintile

representing

the

funds

with

the

lowest

relative

expenses

and

the

fifth

quintile

representing

the

funds

with

the

highest

relative

expenses.

The

information

provided

to

the

Board

indicated

that

the

fund’s

contractual

management

fee

ranked

in

the

first

quintile

(Investor

Class

Expense

Group);

the

fund’s

actual

management

fee

rate

ranked

in

the

first

quintile

(Investor

Class

Expense

Group,

Advisor

Class

Expense

Group,

and

Expense

Universe);

and

the

fund’s

total

expenses

ranked

in

the

second

quintile

(Investor

Class

Expense

Group),

third

quintile

(Expense

Universe),

and

first

quintile

(Advisor

Class

Expense

Group).

T.

ROWE

PRICE

Total

Return

Fund

101

The

Board

also

reviewed

the

fee

schedules

for

other

investment

portfolios

with

similar

mandates

that

are

advised

or

subadvised

by

the

Adviser

and

its

affiliates,

including

separately

managed

accounts

for

institutional

and

individual

investors;

subadvised

funds;

and

other

sponsored

investment

portfolios,

including

collective

investment

trusts

and

pooled

vehicles

organized

and

offered

to

investors

outside

the

United

States.

Management

provided

the

Board

with

information

about

the

Adviser’s

responsibilities

and

services

provided

to

subadvisory

and

other

institutional

account

clients,

including

information

about

how

the

requirements

and

economics

of

the

institutional

business

are

fundamentally

different

from

those

of

the

proprietary

mutual

fund

business.

The

Board

considered

information

showing

that

the

Adviser’s

mutual

fund

business

is

generally

more

complex

from

a

business

and

compliance

perspective

than

its

institutional

account

business

and

considered

various

relevant

factors,

such

as

the

broader

scope

of

operations

and

oversight,

more

extensive

shareholder

communication

infrastructure,

greater

asset

flows,

heightened

business

risks,

and

differences

in

applicable

laws

and

regulations

associated

with

the

Adviser’s

proprietary

mutual

fund

business.

In

assessing

the

reasonableness

of

the

fund’s

management

fee

rate,

the

Board

considered

the

differences

in

the

nature

of

the

services

required

for

the

Adviser

to

manage

its

mutual

fund

business

versus

managing

a

discrete

pool

of

assets

as

a

subadviser

to

another

institution’s

mutual

fund

or

for

an

institutional

account

and

that

the

Adviser

generally

performs

significant

additional

services

and

assumes

greater

risk

in

managing

the

fund

and

other

T.

Rowe

Price

funds

than

it

does

for

institutional

account

clients,

including

subadvised

funds.

On

the

basis

of

the

information

provided

and

the

factors

considered,

the

Board

concluded

that

the

fees

paid

by

the

fund

under

the

Advisory

Contract

are

reasonable.

Approval

of

the

Advisory

Contract

and

Subadvisory

Contracts

As

noted,

the

Board

approved

the

continuation

of

the

Advisory

Contract

and

Subadvisory

Contracts.

No

single

factor

was

considered

in

isolation

or

to

be

determinative

to

the

decision.

Rather,

the

Board

concluded,

in

light

of

a

weighting

and

balancing

of

all

factors

considered,

that

it

was

in

the

best

interests

of

the

fund

and

its

shareholders

for

the

Board

to

approve

the

continuation

of

the

Advisory

Contract

and

Subadvisory

Contracts

(including

the

fees

to

be

charged

for

services

thereunder).

T.

ROWE

PRICE

Total

Return

Fund

102

ABOUT

THE

FUND'S

DIRECTORS

AND

OFFICERS

Your

fund

is

overseen

by

a

Board

of

Directors

(Board)

that

meets

regularly

to

review

a

wide

variety

of

matters

affecting

or

potentially

affecting

the

fund,

including

performance,

investment

programs,

compliance

matters,

advisory

fees

and

expenses,

service

providers,

and

business

and

regulatory

affairs.

The

Board

elects

the

fund’s

officers,

who

are

listed

in

the

final

table.

The

directors

who

are

also

employees

or

officers

of

T.

Rowe

Price

are

considered

to

be

“interested”

directors

as

defined

in

Section

2(a)(19)

of

the

1940

Act

because

of

their

relationships

with

T.

Rowe

Price

Associates,

Inc. (T.

Rowe

Price),

and

its

affiliates.

The

business

address

of

each

director

and

officer

is

100

East

Pratt

Street,

Baltimore,

Maryland

21202.

The

Statement

of

Additional

Information

includes

additional

information

about

the

fund

directors

and

is

available

without

charge

by

calling

a

T.

Rowe

Price

representative

at

1-800-638-5660.

INDEPENDENT

DIRECTORS

(a)

Name

(Year

of

Birth)

Year

Elected

[Number

of

T.

Rowe

Price

Portfolios

Overseen]

Principal

Occupation(s)

and

Directorships

of

Public

Companies

and

Other

Investment

Companies

During

the

Past

Five

Years

Teresa

Bryce

Bazemore

(1959)

2018

[210]

President

and

Chief

Executive

Officer,

Federal

Home

Loan

Bank

of

San

Francisco

(2021

to

present);

Chief

Executive

Officer,

Bazemore

Consulting

LLC

(2018

to

2021);

Director,

Chimera

Investment

Corporation

(2017

to

2021);

Director,

First

Industrial

Realty

Trust

(2020

to

present);

Director,

Federal

Home

Loan

Bank

of

Pittsburgh

(2017

to

2019)

Melody

Bianchetto

(1966)

2023

[210]

Advisory

Board

Member;

Vice

President

for

Finance,

University

of

Virginia

(2015

to

2023)

Bruce

W.

Duncan

(1951)

2016

[210]

President,

Chief

Executive

Officer,

and

Director,

CyrusOne,

Inc.

(2020

to

2021);

Chair

of

the

Board

(2016

to

2020)

and

President

(2009

to

2016),

First

Industrial

Realty

Trust,

owner

and

operator

of

industrial

properties;

Member,

Investment

Company

Institute

Board

of

Governors

(2017

to

2019);

Member,

Independent

Directors

Council

Governing

Board

(2017

to

2019);

Senior

Advisor,

KKR

(2018

to

2022);

Director,

Boston

Properties

(2016

to

present);

Director,

Marriott

International,

Inc.

(2016

to

2020)

Robert

J.

Gerrard,

Jr.

(1952)

2016

[210]

Chair

of

the

Board,

all

funds

(July

2018

to

present)

Paul

F.

McBride

(1956)

2016

[210]

Advisory

Board

Member,

Vizzia

Technologies

(2015

to

present);

Board

Member,

Dunbar

Armored

(2012

to

2018)

T.

ROWE

PRICE

Total

Return

Fund

103

INTERESTED  DIRECTORS

(a)

Name

(Year

of

Birth)

Year

Elected

[Number

of

T.

Rowe

Price

Portfolios

Overseen]

Principal

Occupation(s)

and

Directorships

of

Public

Companies

and

Other

Investment

Companies

During

the

Past

Five

Years

Mark

J.

Parrell

(1966)

2023

[210]

Advisory

Board

Member;

Board

of

Trustees

Member

and

Chief

Executive

Officer

(2019

to

present),

President

(2018

to

present),

Executive

Vice

President

and

Chief

Financial

Officer

(2007

to

2018),

and

Senior

Vice

President

and

Treasurer

(2005

to

2007),

EQR;

Member

and

Chair,

Nareit

Dividends

Through

Diversity,

Equity

&

Inclusion

CEO

Council,

Nareit

2021

Audit

and

Investment

Committee

(2021);

Advisory

Board,

Ross

Business

School

at

University

of

Michigan

(2015

to

2016);

Member

and

Chair

of

the

Finance

Committee,

National

Multifamily

Housing

Council

(2015

to

2016);

Member,

Economic

Club

of

Chicago;

Director,

Brookdale

Senior

Living,

Inc.

(2015

to

2017);

Director,

Aviv

REIT,

Inc.

(2013

to

2015);

Director,

Real

Estate

Roundtable

(July

2021

to

present)

and

the

2022

Executive

Board

Nareit

(November

2021

to

present);

Board

of

Directors

and

Chair

of

the

Finance

Committee,

Greater

Chicago

Food

Depository

(July

2017

to

present)  

Kellye

L.

Walker

(1966)

2021

[210]

Executive

Vice

President

and

Chief

Legal

Officer,

Eastman

Chemical

Company

(April

2020

to

present);

Executive

Vice

President

and

Chief

Legal

Officer,

Huntington

Ingalls

Industries,

Inc.

(January

2015

to

March

2020);

Director,

Lincoln

Electric

Company

(October

2020

to

present)

(a)

All

information

about

the

independent

directors

was

current

as

of

December

31,

2022,

unless

otherwise

indicated,

except

for

the

number

of

portfolios

overseen,

which

is

current

as

of

the

date

of

this

report.

Name

(Year

of

Birth)

Year

Elected

[Number

of

T.

Rowe

Price

Portfolios

Overseen]

Principal

Occupation(s)

and

Directorships

of

Public

Companies

and

Other

Investment

Companies

During

the

Past

Five

Years

David

Oestreicher

(1967)

2018

[210]

Director,

Vice

President,

and

Secretary,

T.

Rowe

Price,

T.

Rowe

Price

Investment

Services,

Inc.,

T.

Rowe

Price

Retirement

Plan

Services,

Inc.,

and

T.

Rowe

Price

Services,

Inc.;

Director

and

Secretary,

T.

Rowe

Price

Investment

Management,

Inc.

(Price

Investment

Management);

Vice

President

and

Secretary,

T.

Rowe

Price

International

(Price

International);

Vice

President,

T.

Rowe

Price

Hong

Kong

(Price

Hong

Kong),

T. Rowe

Price

Japan

(Price

Japan),

and

T.

Rowe

Price

Singapore

(Price

Singapore);

General

Counsel,

Vice

President,

and

Secretary,

T.

Rowe

Price

Group,

Inc.;

Chair

of

the

Board,

Chief

Executive

Officer,

President,

and

Secretary,

T.

Rowe

Price

Trust

Company;

Principal

Executive

Officer

and

Executive

Vice

President,

all

funds

INDEPENDENT

DIRECTORS

(a)

(CONTINUED)

T.

ROWE

PRICE

Total

Return

Fund

104

OFFICERS

Name

(Year

of

Birth)

Year

Elected

[Number

of

T.

Rowe

Price

Portfolios

Overseen]

Principal

Occupation(s)

and

Directorships

of

Public

Companies

and

Other

Investment

Companies

During

the

Past

Five

Years

Eric

L.

Veiel,

CFA

(1972)

2022

[210]

Director

and

Vice

President,

T.

Rowe

Price;

Vice

President,

T.

Rowe

Price

Group,

Inc.,

and

T.

Rowe

Price

Trust

Company;

Vice

President,

Global

Funds

(a)

All

information

about

the

interested

directors

was

current

as

of

December

31,

2022,

unless

otherwise

indicated,

except

for

the

number

of

portfolios

overseen,

which

is

current

as

of

the

date

of

this

report.

Name

(Year

of

Birth)

Position

Held

With

Total

Return

Fund

Principal

Occupation(s) 

Stephen

L.

Bartolini,

CFA

(1977)

Vice

President

Vice

President,

T.

Rowe

Price,

T.

Rowe

Price

Group,

Inc.,

and

T.

Rowe

Price

Trust

Company

Jason

A.

Bauer

(1979)

Vice

President

Vice

President,

T.

Rowe

Price

and

T.

Rowe

Price

Group,

Inc.

Christopher

P.

Brown, CFA

(1977)

Co-president 

Vice

President,

T.

Rowe

Price

and

T.

Rowe

Price

Group,

Inc.

Armando

(Dino)

Capasso

(1974)

Chief

Compliance

Officer

Chief

Compliance

Officer

and

Vice

President,

T.

Rowe

Price

and

Price

Investment

Management;

Vice

President,

T.

Rowe

Price

Group,

Inc.;

formerly,

Chief

Compliance

Officer,

PGIM

Investments

LLC

and

AST

Investment

Services,

Inc.

(ASTIS)

(to

2022);

Chief

Compliance

Officer,

PGIM

Retail

Funds

complex

and

Prudential

Insurance

Funds

(to

2022);

Vice

President

and

Deputy

Chief

Compliance

Officer,

PGIM

Investments

LLC

and

ASTIS

(to

2019)

Anna

Alexandra

Dreyer,

Ph.D.,

CFA 

(1981)

Co-president 

Vice

President,

T.

Rowe

Price

and

T.

Rowe

Price

Group,

Inc.

Alan

S.

Dupski,

CPA

(1982)

Principal

Financial

Officer,

Vice

President,

and

Treasurer

Vice

President,

Price

Investment

Management,

T.

Rowe

Price,

T.

Rowe

Price

Group,

Inc.,

and

T.

Rowe

Price

Trust

Company

Gary

J.

Greb

(1961)

Vice

President

Vice

President,

Price

Investment

Management,

T.

Rowe

Price,

Price

International,

and

T.

Rowe

Price

Trust

Company

Unless

otherwise

noted,

officers

have

been

employees

of

T.

Rowe

Price

or

Price

International

for

at

least

5

years.

INTERESTED  DIRECTORS

(a)

(CONTINUED)

T.

ROWE

PRICE

Total

Return

Fund

105

Name

(Year

of

Birth)

Position

Held

With

Total

Return

Fund

Principal

Occupation(s) 

Cheryl

Hampton,

CPA

(1969)

Vice

President

Vice

President,

T.

Rowe

Price;

formerly,

Tax

Director,

Invesco

Ltd.

(to

2021);

Vice

President,

Oppenheimer

Funds,

Inc.

(to

2019)

Benjamin

Kersse,

CPA

(1989)

Vice

President

Vice

President,

T.

Rowe

Price

Paul

J.

Krug,

CPA

(1964)

Vice

President

Vice

President,

T.

Rowe

Price,

T.

Rowe

Price

Group,

Inc.,

and

T.

Rowe

Price

Trust

Company

Robert

M.

Larkins,

CFA

(1973)

Vice

President

Vice

President,

T.

Rowe

Price,

T.

Rowe

Price

Group,

Inc.,

and

T.

Rowe

Price

Trust

Company

Yongheon

Lee

(1975)

Vice

President

Vice

President,

T.

Rowe

Price

and

T.

Rowe

Price

Group,

Inc.

Pradeep

Manikonda

(1981)

Vice

President

Vice

President,

T.

Rowe

Price

and

T.

Rowe

Price

Group,

Inc.

Kenneth

Antony

Orchard

(1975)

Vice

President

Vice

President,

T.

Rowe

Price

Group,

Inc.,

and

Price

International

Fran

M.

Pollack-Matz

(1961)

Vice

President

and

Secretary 

Vice

President,

T.

Rowe

Price,

T.

Rowe

Price

Group,

Inc.,

T.

Rowe

Price

Investment

Services,

Inc.,

and

T.

Rowe

Price

Services,

Inc.

Shannon

H.

Rauser

(1987)

Assistant

Secretary 

Assistant

Vice

President,

T.

Rowe

Price

Richard

Sennett,

CPA

(1970)

Assistant

Treasurer

Vice

President,

T.

Rowe

Price,

T.

Rowe

Price

Group,

Inc.,

and

T.

Rowe

Price

Trust

Company

Saurabh

Sud,

CFA

(1985)

Vice

President

Vice

President,

T.

Rowe

Price

and

T.

Rowe

Price

Group,

Inc.

Christopher

J.

Temple,

CFA

(1978)

Vice

President

Vice

President,

T.

Rowe

Price

and

T.

Rowe

Price

Group,

Inc.

Megan

Warren

(1968)

Vice

President

OFAC

Sanctions

Compliance

Officer

and

Vice

President,

Price

Investment

Management;

Vice

President,

T.

Rowe

Price,

T.

Rowe

Price

Group,

Inc.,

T.

Rowe

Price

Retirement

Plan

Services,

Inc.,

T.

Rowe

Price

Services,

Inc.,

and

T.

Rowe

Price

Trust

Company

Unless

otherwise

noted,

officers

have

been

employees

of

T.

Rowe

Price

or

Price

International

for

at

least

5

years.

OFFICERS

(CONTINUED)

100

East

Pratt

Street

Baltimore,

MD

21202

T.

Rowe

Price

Investment

Services,

Inc.

Call

1-800-225-5132

to

request

a

prospectus

or

summary

prospectus;

each

includes

investment

objectives,

risks,

fees,

expenses,

and

other

information

that

you

should

read

and

consider

carefully

before

investing.

202307-2916646

F228-050

7/23

Item 1. (b) Notice pursuant to Rule 30e-3.

Not applicable.

Item 2. Code of Ethics.

The registrant has adopted a code of ethics, as defined in Item 2 of Form N-CSR, applicable to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. A copy of this code of ethics is filed as an exhibit to this Form N-CSR. No substantive amendments were approved or waivers were granted to this code of ethics during the period covered by this report.

Item 3. Audit Committee Financial Expert.

The registrant’s Board of Directors has determined that Ms. Teresa Bryce Bazemore qualifies as an audit committee financial expert, as defined in Item 3 of Form N-CSR. Ms. Bazemore is considered independent for purposes of Item 3 of Form N-CSR.

Item 4. Principal Accountant Fees and Services.

(a) – (d) Aggregate fees billed for the last two fiscal years for professional services rendered to, or on behalf of, the registrant by the registrant’s principal accountant were as follows:

	2023		2022
Audit Fees	$	45,097	$	38,336
Audit-Related Fees		-		-
Tax Fees		-		477
All Other Fees		-		-

Audit fees include amounts related to the audit of the registrant’s annual financial statements and services normally provided by the accountant in connection with statutory and regulatory filings. Audit-related fees include amounts reasonably related to the performance of the audit of the registrant’s financial statements and specifically include the issuance of a report on internal controls and, if applicable, agreed-upon procedures related to fund acquisitions. Tax fees include amounts related to services for tax compliance, tax planning, and tax advice. The nature of these services specifically includes the review of distribution calculations and the preparation of Federal, state, and excise tax returns. All other fees include the registrant’s pro-rata share of amounts for agreed-upon procedures in conjunction with service contract approvals by the registrant’s Board of Directors/Trustees.

(e)(1) The registrant’s audit committee has adopted a policy whereby audit and non-audit services performed by the registrant’s principal accountant for the registrant, its investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant require pre-approval in advance at regularly scheduled audit committee meetings. If such a service is required between regularly scheduled audit committee meetings, pre-approval may be authorized by one audit committee member with ratification at the next scheduled audit committee meeting. Waiver of pre-approval for audit or non-audit services requiring fees of a de minimis amount is not permitted.

(2) No services included in (b) – (d) above were approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Less than 50 percent of the hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.

(g) The aggregate fees billed for the most recent fiscal year and the preceding fiscal year by the registrant’s principal accountant for non-audit services rendered to the registrant, its investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant were $1,521,000 and $2,959,000, respectively.

(h) All non-audit services rendered in (g) above were pre-approved by the registrant’s audit committee. Accordingly, these services were considered by the registrant’s audit committee in maintaining the principal accountant’s independence.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

(a) Not applicable. The complete schedule of investments is included in Item 1 of this Form N-CSR.

(b) Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

There has been no change to the procedures by which shareholders may recommend nominees to the registrant’s board of directors.

Item 11. Controls and Procedures.

(a) The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported timely.

(b) The registrant’s principal executive officer and principal financial officer are aware of no change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.

(a)(1)	The registrant’s code of ethics pursuant to Item 2 of Form N-CSR is attached.
(2)	Separate certifications by the registrant’s principal executive officer and principal financial officer, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(a) under the Investment Company Act of 1940, are attached.
(3)	Written solicitation to repurchase securities issued by closed-end companies: not applicable.
(b)	A certification by the registrant’s principal executive officer and principal financial officer, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(b) under the Investment Company Act of 1940, is attached.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

T. Rowe Price Total Return Fund, Inc.
By	/s/ David Oestreicher
	David Oestreicher
	Principal Executive Officer
Date	July 20, 2023

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By	/s/ David Oestreicher
	David Oestreicher
	Principal Executive Officer
Date	July 20, 2023

By	/s/ Alan S. Dupski
	Alan S. Dupski
	Principal Financial Officer
Date	July 20, 2023