T. Rowe Price Total Return Fund N-CSRS Certified semi-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: November 30, 2023

Item 1. Reports to Shareholders

(a) Report pursuant to Rule 30e-1

Market

Commentary

Portfolio

Summary

Fund

Expense

Example

Financial

Highlights

Portfolio

of

Investments

Financial

Statements

and

Notes

Additional

Fund

Information

November

30,

2023

SemiAnnual

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

Log

in

to

your

account

at

troweprice.com

for

more

information.

*

An

account

service

fee

will

be

charged

annually

for

each

T.

Rowe

Price

mutual

fund

account

unless

you

meet

criteria

for

a

fee

waiver.

Go

to

troweprice.com/personal-investing/help/fees-and-

minimums.html

to

learn

more

about

this

account

service

fee,

including

other

ways

to

waive

it.

T.

ROWE

PRICE

Total

Return

Fund

Market

Commentary

1

Dear

Shareholder

Major

global

stock

and

bond

indexes

produced

mixed

returns

during

the

first

half

of

your

fund’s

fiscal

year,

the

six-month

period

ended

November

30,

2023.

Nearly

all

equity

benchmarks

finished

the

period

with

positive

results

after

a

strong

rally

in

November;

however,

rising

U.S.

Treasury

yields

left

some

fixed

income

sectors

in

negative

territory.

Within

the

S&P

500

Index,

the

financials

sector

recovered

from

the

failure

of

three

large

regional

banks

earlier

in

the

year and

recorded

the

best

results

for

the

period.

The

information

technology

sector

also

delivered

strong

gains

as

technology

companies

benefited

from

investor

enthusiasm

for

artificial

intelligence

developments.

Outside

the

U.S.,

stocks

in

developed

markets

generally

outpaced

their

counterparts

in

emerging

markets,

although

emerging

Europe

and

Latin

America

produced

very

strong

returns

at

the

regional

level.

The

U.S.

economy

was

the

strongest

among

the

major

markets

during

the

period,

with

gross

domestic

product

growth

coming

in

at

5.2%

in

the

third

quarter’s

revised

estimate,

the

highest

since

the

end

of

2021.

Corporate

fundamentals

were

also

broadly

supportive.

Although

year-over-year

earnings

growth

contracted

in

the

first

and

second

quarters

of

2023,

results

were

better

than

expected,

and

earnings

growth

turned

positive

again

in

the

third

quarter.

Inflation

remained

a

concern

for

both

investors

and

policymakers,

but

lower-

than-expected

inflation

data

in

November

helped

spur

a

rally

late

in

the

period

as

many

investors

concluded

that

the

Federal

Reserve

had

reached

the

end

of

its

hiking

cycle.

The

Fed

raised

its

short-term

lending

benchmark

rate

to

a

target

range

of

5.25%

to

5.50%

in

July,

the

highest

level

since

March

2001,

and

then

held

rates

steady

for

the

remainder

of

the

period.

Despite

a

drop

in

yields

as

investor

sentiment

shifted

in

November,

intermediate-

and

longer-term

U.S.

Treasury

yields

finished

the

period

notably

higher.

After

starting

the

period

at

3.64%,

the

yield

on

the

benchmark

10-year

Treasury

note

briefly

reached

5.00%

in

October

for

the

first

time

since

late

2007

before

falling to

4.37%

by

the

end

of

November.

The

rise

in

yields

led

to

negative

returns

in

some

fixed

income

sectors,

but

both

investment-grade

and

high

yield

corporate

bonds

produced

solid

returns,

supported

by

the

higher

coupons

that

have

become

available

over

the

past

year

as

well

as

by increasing

hopes

that

the

economy

might

be

able

to

avoid

a

recession.

Global

economies

and

markets

showed

surprising

resilience

in

2023,

but

considerable

uncertainty

remains

as

we

look

ahead.

Geopolitical

events,

the

path

of

monetary

policy,

and

the

impact

of

the

Fed’s

rate

hikes

on

the

economy

all

raise

the

potential

for

additional

volatility.

We

believe

this

environment

T.

ROWE

PRICE

Total

Return

Fund

2

makes

skilled

active

management

a

critical

tool

for

identifying

risks

and

opportunities,

and

our

investment

teams

will

continue

to

use

fundamental

research

to

help

identify

securities

that

can

add

value

to

your

portfolio

over

the

long

term.

You

may

notice

that

this

report

no

longer

contains

the

commentary

on

your

fund’s

performance

and

positioning

that

we

previously

included

in

the

semiannual

shareholder

letters.

The

Securities

and

Exchange

Commission

adopted

new

rules

recently

that

will

require

fund

reports

to

transition

to

a

new

format

known

as

a

Tailored

Shareholder

Report.

This

change

will

require

a

much

more

concise

summary

of

performance

rather

than

the

level

of

detail

we

have

provided

historically

while

also

aiming

to

be

more

visually

engaging.

As

we

prepare

to

make

changes

to

the

annual

reports

to

meet

the

new regulatory

requirements

by

mid-2024,

we

felt

the

time

was

right

to

discontinue

the

optional

six-month

semiannual

fund

letter

to

focus

on

the

changes

to

come.

Although

semiannual

fund

letters

will

no

longer

be

produced,

you

may

continue

to

access

current

fund

information

as

well

as

insights

and

perspectives

from

our

investment

team

on

our

personal

investing

website.

Thank

you

for

your

continued

confidence

in

T.

Rowe

Price.

Sincerely, 

Robert

Sharps

CEO

and

President

T.

ROWE

PRICE

Total

Return

Fund

Portfolio

Summary

3

Note:

Copyright

©

2023

Fitch

Ratings,

Inc.,

Fitch

Ratings

Ltd.

and

its

subsidiaries.

CREDIT

QUALITY

DIVERSIFICATION

U.S.

Government

Agency

Securities*

29‌%

U.S.

Treasury

Securities**

23‌ 

AAA

8‌ 

AA

7‌ 

A

8‌ 

BBB

11‌ 

BB

and

Below

14‌ 

Not

Rated

2‌ 

Reserves

-2‌ 

Total

100‌%

Based

on

net

assets

as

of

11/30/23.

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.

T.

ROWE

PRICE

Total

Return

Fund

4

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.

T.

ROWE

PRICE

Total

Return

Fund

5

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.

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.

T.

ROWE

PRICE

Total

Return

Fund

6

TOTAL

RETURN

FUND

Beginning

Account

Value

6/1/23

Ending

Account

Value

11/30/23

Expenses

Paid

During

Period*

6/1/23

to

11/30/23

Investor

Class

Actual

$1,000.00

$989.80

$2.29

Hypothetical

(assumes

5%

return

before

expenses)

 1,000.00

  1,022.70

  2.33

Advisor

Class

Actual

  1,000.00

  989.50

  3.73

Hypothetical

(assumes

5%

return

before

expenses)

 1,000.00

  1,021.25

  3.79

I

Class

Actual

  1,000.00

  990.40

  1.64

Hypothetical

(assumes

5%

return

before

expenses)

 1,000.00

  1,023.35

  1.67

*

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

(183),

and

divided

by

the

days

in

the

year

(366)

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

(Unaudited)

Financial

Highlights

7

For

a

share

outstanding

throughout

each

period

Investor

Class

6

Months

.

Ended

11/30/23

..

Year

..

..

Ended

.

5/31/23

5/31/22

5/31/21

5/31/20

5/31/19

NET

ASSET

VALUE

Beginning

of

period

$

8.53‌

$

9.24‌

$

10.49‌

$

10.23‌

$

10.14‌

$

9.88‌

Investment

activities

Net

investment

income

(1)(2)

0.20‌

0.35‌

0.26‌

0.28‌

0.33‌

0.35‌

Net

realized

and

unrealized

gain/loss

(0.29‌)

(0.69‌)

(1.18‌)

0.30‌

(3)

0.26‌

0.29‌

Total

from

investment

activities

(0.09‌)

(0.34‌)

(0.92‌)

0.58‌

0.59‌

0.64‌

Distributions

Net

investment

income

(0.21‌)

(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

(0.21‌)

(0.37‌)

(0.33‌)

(0.32‌)

(0.50‌)

(0.38‌)

NET

ASSET

VALUE

End

of

period

$

8.23‌

$

8.53‌

$

9.24‌

$

10.49‌

$

10.23‌

$

10.14‌

T.

ROWE

PRICE

Total

Return

Fund

(Unaudited)

Financial

Highlights

8

For

a

share

outstanding

throughout

each

period

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Investor

Class

6

Months

.

Ended

11/30/23

..

Year

..

..

Ended

.

5/31/23

5/31/22

5/31/21

5/31/20

5/31/19

Ratios/Supplemental

Data

Total

return

(2)(4)

(1.02‌)%

(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%

(5)

0.60‌%

0.55‌%

0.66‌%

0.92‌%

1.20‌%

Net

expenses

after

waivers/payments

by

Price

Associates

0.46‌%

(5)

0.46‌%

0.49‌%

0.53‌%

0.54‌%

0.53‌%

Net

investment

income

4.86‌%

(5)

4.06‌%

2.55‌%

2.69‌%

3.28‌%

3.54‌%

Portfolio

turnover

rate

(6)

166.1‌%

323.0‌%

324.9‌%

458.4‌%

613.0‌%

347.5‌%

Net

assets,

end

of

period

(in

thousands)

$80,273

$89,573

$93,291

$133,804

$97,873

$45,168

0‌%

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.

Total

return

is

not

annualized

for

periods

less

than

one

year.

(5)

Annualized

(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

11/30/23,

5/31/23

and

5/31/22

would

have

been

50.3%,

95.3%

and

73.1%,

respectively.

T.

ROWE

PRICE

Total

Return

Fund

(Unaudited)

Financial

Highlights

9

For

a

share

outstanding

throughout

each

period

Advisor

Class

6

Months

.

Ended

11/30/23

..

Year

..

..

Ended

.

5/31/23

5/31/22

5/31/21

5/31/20

5/31/19

NET

ASSET

VALUE

Beginning

of

period

$

8.53‌

$

9.24‌

$

10.49‌

$

10.23‌

$

10.14‌

$

9.88‌

Investment

activities

Net

investment

income

(1)(2)

0.19‌

0.33‌

0.24‌

0.25‌

0.31‌

0.32‌

Net

realized

and

unrealized

gain/loss

(0.28‌)

(0.70‌)

(1.19‌)

0.30‌

(3)

0.25‌

0.29‌

Total

from

investment

activities

(0.09‌)

(0.37‌)

(0.95‌)

0.55‌

0.56‌

0.61‌

Distributions

Net

investment

income

(0.20‌)

(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

(0.20‌)

(0.34‌)

(0.30‌)

(0.29‌)

(0.47‌)

(0.35‌)

NET

ASSET

VALUE

End

of

period

$

8.24‌

$

8.53‌

$

9.24‌

$

10.49‌

$

10.23‌

$

10.14‌

T.

ROWE

PRICE

Total

Return

Fund

(Unaudited)

Financial

Highlights

10

For

a

share

outstanding

throughout

each

period

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Advisor

Class

6

Months

.

Ended

11/30/23

..

Year

..

..

Ended

.

5/31/23

5/31/22

5/31/21

5/31/20

5/31/19

Ratios/Supplemental

Data

Total

return

(2)(5)

(1.05‌)%

(3.97‌)%

(9.25‌)%

5.38‌%

5.65‌%

6.33‌%

Ratios

to

average

net

assets:

(2)

Gross

expenses

before

waivers/

payments

by

Price

Associates

0.88‌%

(6)

0.80‌%

0.84‌%

1.08‌%

1.38‌%

1.70‌%

Net

expenses

after

waivers/payments

by

Price

Associates

0.75‌%

(6)

0.75‌%

0.76‌%

0.82‌%

0.83‌%

0.82‌%

Net

investment

income

4.57‌%

(6)

3.76‌%

2.42‌%

2.42‌%

3.00‌%

3.24‌%

Portfolio

turnover

rate

(7)

166.1‌%

323.0‌%

324.9‌%

458.4‌%

613.0‌%

347.5‌%

Net

assets,

end

of

period

(in

thousands)

$723

$826

$972

$259

$396

$273

0‌%

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.

Total

return

is

not

annualized

for

periods

less

than

one

year.

(6)

Annualized

(7)

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

11/30/23,

5/31/23

and

5/31/22

would

have

been

50.3%,

95.3%

and

73.1%,

respectively.

T.

ROWE

PRICE

Total

Return

Fund

(Unaudited)

Financial

Highlights

11

For

a

share

outstanding

throughout

each

period

I

Class

6

Months

.

Ended

11/30/23

..

Year

..

..

Ended

.

5/31/23

5/31/22

5/31/21

5/31/20

5/31/19

NET

ASSET

VALUE

Beginning

of

period

$

8.53‌

$

9.24‌

$

10.49‌

$

10.24‌

$

10.14‌

$

9.88‌

Investment

activities

Net

investment

income

(1)(2)

0.21‌

0.37‌

0.28‌

0.27‌

0.34‌

0.36‌

Net

realized

and

unrealized

gain/loss

(0.29‌)

(0.70‌)

(1.18‌)

0.31‌

(3)

0.28‌

0.29‌

Total

from

investment

activities

(0.08‌)

(0.33‌)

(0.90‌)

0.58‌

0.62‌

0.65‌

Distributions

Net

investment

income

(0.22‌)

(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

(0.22‌)

(0.38‌)

(0.35‌)

(0.33‌)

(0.52‌)

(0.39‌)

NET

ASSET

VALUE

End

of

period

$

8.23‌

$

8.53‌

$

9.24‌

$

10.49‌

$

10.24‌

$

10.14‌

T.

ROWE

PRICE

Total

Return

Fund

(Unaudited)

Financial

Highlights

12

For

a

share

outstanding

throughout

each

period

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

I

Class

6

Months

.

Ended

11/30/23

..

Year

..

..

Ended

.

5/31/23

5/31/22

5/31/21

5/31/20

5/31/19

Ratios/Supplemental

Data

Total

return

(2)(4)

(0.96‌)%

(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%

(5)

0.38‌%

0.39‌%

0.48‌%

0.81‌%

1.12‌%

Net

expenses

after

waivers/payments

by

Price

Associates

0.33‌%

(5)

0.33‌%

0.34‌%

0.37‌%

0.42‌%

0.42‌%

Net

investment

income

4.99‌%

(5)

4.21‌%

2.75‌%

2.60‌%

3.38‌%

3.65‌%

Portfolio

turnover

rate

(6)

166.1‌%

323.0‌%

324.9‌%

458.4‌%

613.0‌%

347.5‌%

Net

assets,

end

of

period

(in

thousands)

$589,701

$594,730

$546,335

$452,452

$8,894

$2,249

0‌%

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.

Total

return

is

not

annualized

for

periods

less

than

one

year.

(5)

Annualized

(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

11/30/23,

5/31/23

and

5/31/22

would

have

been

50.3%,

95.3%

and

73.1%,

respectively.

T.

ROWE

PRICE

Total

Return

Fund

November

30,

2023

(Unaudited)

13

Portfolio

of

Investments

‡

Par/Shares

$

Value

(Amounts

in

000s)

‡

ASSET-BACKED

SECURITIES

12.5%

Car

Loan

2.6%

AmeriCredit

Automobile

Receivables

Trust

Series

2020-1,

Class

D

1.80%,

12/18/25 

385‌

373‌

AmeriCredit

Automobile

Receivables

Trust

Series

2023-1,

Class

C

5.80%,

12/18/28 

430‌

425‌

AmeriCredit

Automobile

Receivables

Trust

Series

2023-2,

Class

B

5.84%,

7/18/29 

1,500‌

1,505‌

Avis

Budget

Rental

Car

Funding

AESOP

Series

2019-2A,

Class

C

4.24%,

9/22/25  (1)

235‌

231‌

CarMax

Auto

Owner

Trust

Series

2022-2,

Class

C

4.26%,

12/15/27 

1,605‌

1,544‌

CarMax

Auto

Owner

Trust

Series

2023-3,

Class

B

5.47%,

2/15/29 

155‌

153‌

CarMax

Auto

Owner

Trust

Series

2023-3,

Class

C

5.61%,

2/15/29 

480‌

473‌

Carvana

Auto

Receivables

Trust

Series

2022-N1,

Class

D

4.13%,

12/11/28  (1)

1,610‌

1,548‌

Carvana

Auto

Receivables

Trust

Series

2022-P1,

Class

C

3.30%,

4/10/28 

1,210‌

1,100‌

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

134‌

Exeter

Automobile

Receivables

Trust

Series

2023-4A,

Class

B

6.31%,

10/15/27 

570‌

571‌

Ford

Credit

Auto

Lease

Trust

Series

2023-A,

Class

B

5.29%,

6/15/26 

760‌

751‌

Ford

Credit

Auto

Lease

Trust

Series

2023-B,

Class

B

6.20%,

2/15/27 

105‌

105‌

Ford

Credit

Auto

Lease

Trust

Series

2023-B,

Class

C

6.43%,

4/15/27 

400‌

401‌

T.

ROWE

PRICE

Total

Return

Fund

14

Par/Shares

$

Value

(Amounts

in

000s)

Ford

Credit

Auto

Lease

Trust

Series

2023-B,

Class

D

6.97%,

6/15/28 

330‌

331‌

Ford

Credit

Auto

Owner

Trust

Series

2021-A,

Class

C

0.83%,

8/15/28 

1,765‌

1,654‌

GM

Financial

Consumer

Automobile

Receivables

Trust

Series

2023-1,

Class

B

5.03%,

9/18/28 

290‌

285‌

GM

Financial

Consumer

Automobile

Receivables

Trust

Series

2023-3,

Class

B

5.72%,

1/16/29 

155‌

155‌

GM

Financial

Consumer

Automobile

Receivables

Trust

Series

2023-3,

Class

C

5.92%,

2/16/29 

255‌

255‌

GMF

Floorplan

Owner

Revolving

Trust

Series

2023-1,

Class

B

5.73%,

6/15/28  (1)

1,555‌

1,551‌

Navistar

Financial

Dealer

Note

Master

Owner

Trust

II

Series

2023-1,

Class

A

6.18%,

8/25/28  (1)

250‌

251‌

Santander

Bank

Series

2021-1A,

Class

C

3.268%,

12/15/31  (1)

219‌

215‌

Santander

Bank

Auto

Credit-Linked

Notes

Series

2022-B,

Class

B

5.721%,

8/16/32  (1)

633‌

630‌

Santander

Bank

Auto

Credit-Linked

Notes

Series

2022-C,

Class

A2

6.024%,

12/15/32  (1)

660‌

658‌

Santander

Bank

Auto

Credit-Linked

Notes

Series

2023-A,

Class

B

6.493%,

6/15/33  (1)

480‌

481‌

Santander

Bank

Auto

Credit-Linked

Notes

Series

2023-A,

Class

C

6.736%,

6/15/33  (1)

255‌

255‌

Santander

Consumer

Auto

Receivables

Trust

Series

2020-AA,

Class

C

3.71%,

2/17/26  (1)

1‌

1‌

Santander

Consumer

Auto

Receivables

Trust

Series

2021-AA,

Class

D

1.57%,

1/15/27  (1)

665‌

616‌

Santander

Retail

Auto

Lease

Trust

Series

2022-B,

Class

B

3.85%,

3/22/27  (1)

615‌

599‌

17,416‌

T.

ROWE

PRICE

Total

Return

Fund

15

Par/Shares

$

Value

(Amounts

in

000s)

Collateralized

Mortgage

Obligations

0.1%

New

Residential

Mortgage

Loan

Trust

Series

2022-SFR1,

Class

D

3.299%,

2/17/39  (1)

620‌

545‌

545‌

Other

Asset-Backed

Securities

9.1%

AGL

Series

2021-14A,

Class

B1,

CLO,

FRN

3M

TSFR

+

1.912%,

7.324%,

12/2/34  (1)

1,505‌

1,484‌

Amur

Equipment

Finance

Receivables

X

Series

2022-1A,

Class

D

2.91%,

8/21/28  (1)

2,520‌

2,309‌

Apidos

XXXVII

Series

2021-37A,

Class

B,

CLO,

FRN

3M

TSFR

+

1.862%,

7.274%,

10/22/34  (1)

525‌

514‌

Applebee's

Funding

Series

2019-1A,

Class

A2II

4.723%,

6/5/49  (1)

257‌

242‌

Benefit

Street

Partners

XI

Series

2017-11A,

Class

A2R,

CLO,

FRN

3M

TSFR

+

1.762%,

7.155%,

4/15/29  (1)

2,075‌

2,057‌

CIFC

Funding

Series

2019-5A,

Class

BR,

CLO,

FRN

3M

TSFR

+

2.412%,

7.805%,

1/15/35  (1)

1,650‌

1,635‌

CIFC

Funding

Series

2021-3A,

Class

A,

CLO,

FRN

3M

TSFR

+

1.402%,

6.795%,

7/15/36  (1)

2,190‌

2,182‌

Cologix

Canadian

Issuer

Series

2022-1CAN,

Class

A2

4.94%,

1/25/52

(CAD)  (1)

1,460‌

989‌

Driven

Brands

Funding

Series

2018-1A,

Class

A2

4.739%,

4/20/48  (1)

874‌

845‌

Dryden

77

Series

2020-77A,

Class

BR,

CLO,

FRN

3M

TSFR

+

1.912%,

7.279%,

5/20/34  (1)

3,300‌

3,243‌

Elara

HGV

Timeshare

Issuer

Series

2023-A,

Class

A

6.16%,

2/25/38  (1)

504‌

507‌

Elara

HGV

Timeshare

Issuer

Series

2023-A,

Class

C

7.30%,

2/25/38  (1)

427‌

431‌

FirstKey

Homes

Trust

Series

2020-SFR1,

Class

A

1.339%,

8/17/37  (1)

1,696‌

1,566‌

FirstKey

Homes

Trust

Series

2020-SFR1,

Class

B

1.74%,

8/17/37  (1)

750‌

693‌

T.

ROWE

PRICE

Total

Return

Fund

16

Par/Shares

$

Value

(Amounts

in

000s)

FirstKey

Homes

Trust

Series

2020-SFR2,

Class

D

1.968%,

10/19/37  (1)

1,410‌

1,286‌

FOCUS

Brands

Funding

Series

2017-1A,

Class

A2II

5.093%,

4/30/47  (1)

1,744‌

1,632‌

FOCUS

Brands

Funding

Series

2022-1,

Class

A2

7.206%,

7/30/52  (1)

1,511‌

1,496‌

GreatAmerica

Leasing

Receivables

Funding

Series

2021-2,

Class

A3

0.67%,

7/15/25 

1,393‌

1,355‌

Hardee's

Funding

Series

2018-1A,

Class

A2II

4.959%,

6/20/48  (1)

1,311‌

1,246‌

Hardee's

Funding

Series

2020-1A,

Class

A2

3.981%,

12/20/50  (1)

1,950‌

1,689‌

Hilton

Grand

Vacations

Trust

Series

2020-AA,

Class

C

6.42%,

2/25/39  (1)

45‌

45‌

Home

Partners

of

America

Trust

Series

2022-1,

Class

A

3.93%,

4/17/39  (1)

1,961‌

1,844‌

Home

Partners

of

America

Trust

Series

2022-1,

Class

D

4.73%,

4/17/39  (1)

1,768‌

1,613‌

Hpefs

Equipment

Trust

Series

2022-3A,

Class

C

6.13%,

8/20/29  (1)

1,465‌

1,460‌

HPEFS

Equipment

Trust

Series

2023-2A,

Class

C

6.48%,

1/21/31  (1)

320‌

322‌

HPEFS

Equipment

Trust

Series

2023-2A,

Class

D

6.97%,

7/21/31  (1)

145‌

146‌

HPS

Loan

Management

Series

11A-17,

Class

BR,

CLO,

FRN

3M

TSFR

+

1.812%,

7.204%,

5/6/30  (1)

415‌

413‌

HPS

Loan

Management

Series

11A-17,

Class

CR,

CLO,

FRN

3M

TSFR

+

2.212%,

7.604%,

5/6/30  (1)

1,830‌

1,800‌

HPS

Loan

Management

Series

2021-16A,

Class

A1,

CLO,

FRN

3M

TSFR

+

1.402%,

6.814%,

1/23/35  (1)

1,575‌

1,564‌

Jack

in

the

Box

Funding

Series

2019-1A,

Class

A23

4.97%,

8/25/49  (1)

965‌

874‌

T.

ROWE

PRICE

Total

Return

Fund

17

Par/Shares

$

Value

(Amounts

in

000s)

KKR

Series

13,

Class

B1R,

CLO,

FRN

3M

TSFR

+

1.412%,

6.805%,

1/16/28  (1)

780‌

775‌

KKR

Series

36A,

Class

A,

CLO,

FRN

3M

TSFR

+

1.442%,

6.835%,

10/15/34  (1)

1,630‌

1,613‌

Kubota

Credit

Owner

Trust

Series

2023-1A,

Class

A4

5.07%,

2/15/29  (1)

340‌

335‌

Madison

Park

Funding

XXIII

Series

2017-23A,

Class

AR,

CLO,

FRN

3M

TSFR

+

1.232%,

6.619%,

7/27/31  (1)

864‌

860‌

Madison

Park

Funding

XXXV

Series

2019-35A,

Class

CR,

CLO,

FRN

3M

TSFR

+

2.162%,

7.577%,

4/20/32  (1)

2,500‌

2,469‌

MidOcean

Credit

XI

Series

2022-11A,

Class

BR,

CLO,

FRN

3M

TSFR

+

2.65%,

10/18/33  (1)

1,685‌

1,685‌

MVW

Series

2020-1A,

Class

C

4.21%,

10/20/37  (1)

104‌

99‌

MVW

Series

2023-1A,

Class

B

5.42%,

10/20/40  (1)

1,145‌

1,123‌

MVW

Owner

Trust

Series

2019-1A,

Class

C

3.33%,

11/20/36  (1)

62‌

59‌

Neuberger

Berman

Loan

Advisers

Series

2018-29A,

Class

B1,

CLO,

FRN

3M

TSFR

+

1.962%,

7.358%,

10/19/31  (1)

250‌

247‌

Neuberger

Berman

Loan

Advisers

Series

2019-32A,

Class

BR,

CLO,

FRN

3M

TSFR

+

1.662%,

7.058%,

1/20/32  (1)

250‌

245‌

Neuberger

Berman

Loan

Advisers

Series

2021-40A,

Class

A,

CLO,

FRN

3M

TSFR

+

1.322%,

6.715%,

4/16/33  (1)

1,550‌

1,545‌

Neuberger

Berman

XVII

Series

2014-17A,

Class

BR2,

CLO,

FRN

3M

TSFR

+

1.762%,

7.174%,

4/22/29  (1)

500‌

495‌

OCP

Series

2014-7A,

Class

A2RR,

CLO,

FRN

3M

TSFR

+

1.912%,

7.327%,

7/20/29  (1)

1,095‌

1,087‌

Octane

Receivables

Trust

Series

2022-2A,

Class

A

5.11%,

2/22/28  (1)

633‌

626‌

Octane

Receivables

Trust

Series

2022-2A,

Class

D

7.70%,

2/20/30  (1)

1,265‌

1,273‌

T.

ROWE

PRICE

Total

Return

Fund

18

Par/Shares

$

Value

(Amounts

in

000s)

Octane

Receivables

Trust

Series

2023-1A,

Class

A

5.87%,

5/21/29  (1)

173‌

173‌

Octane

Receivables

Trust

Series

2023-3A,

Class

C

6.74%,

8/20/29  (1)

100‌

101‌

Octane

Receivables

Trust

Series

2023-3A,

Class

D

7.58%,

9/20/29  (1)

105‌

106‌

Palmer

Square

Series

2020-3A,

Class

A1AR,

CLO,

FRN

3M

TSFR

+

1.342%,

6.721%,

11/15/31  (1)

2,000‌

1,993‌

Peace

Park

Series

2021-1A,

Class

B1,

CLO,

FRN

3M

TSFR

+

1.862%,

7.277%,

10/20/34  (1)

1,290‌

1,265‌

Sierra

Timeshare

Receivables

Funding

Series

2020-2A,

Class

C

3.51%,

7/20/37  (1)

26‌

24‌

Sierra

Timeshare

Receivables

Funding

Series

2023-2A,

Class

A

5.80%,

4/20/40  (1)

471‌

475‌

Sierra

Timeshare

Receivables

Funding

Series

2023-2A,

Class

C

7.30%,

4/20/40  (1)

826‌

838‌

Symphony

XX

Series

2018-20A,

Class

CR,

CLO,

FRN

3M

TSFR

+

2.612%,

8.005%,

1/16/32  (1)

2,090‌

2,063‌

TCI-Flatiron

Series

2018-1A,

Class

BR,

CLO,

FRN

3M

TSFR

+

1.662%,

7.052%,

1/29/32  (1)

980‌

961‌

Wellfleet

Series

2017-2A,

Class

A1R,

CLO,

FRN

3M

TSFR

+

1.322%,

6.737%,

10/20/29  (1)

93‌

93‌

Wellfleet

Series

2021-3A,

Class

B,

CLO,

FRN

3M

TSFR

+

2.062%,

7.455%,

1/15/35  (1)

1,310‌

1,284‌

61,394‌

Student

Loan

0.7%

Navient

Private

Education

Refi

Loan

Trust

Series

2020-BA,

Class

B

2.77%,

1/15/69  (1)

975‌

756‌

Navient

Private

Education

Refi

Loan

Trust

Series

2020-CA,

Class

B

2.83%,

11/15/68  (1)

600‌

489‌

Navient

Private

Education

Refi

Loan

Trust

Series

2020-FA,

Class

B

2.69%,

7/15/69  (1)

400‌

310‌

T.

ROWE

PRICE

Total

Return

Fund

19

Par/Shares

$

Value

(Amounts

in

000s)

Navient

Private

Education

Refi

Loan

Trust

Series

2020-HA,

Class

B

2.78%,

1/15/69  (1)

1,340‌

1,064‌

SMB

Private

Education

Loan

Trust

Series

2017-B,

Class

A2A

2.82%,

10/15/35  (1)

97‌

93‌

SMB

Private

Education

Loan

Trust

Series

2020-PTB,

Class

A2A

1.60%,

9/15/54  (1)

340‌

303‌

SMB

Private

Education

Loan

Trust

Series

2022-D,

Class

B

6.15%,

10/15/58  (1)

1,500‌

1,479‌

4,494‌

Total

Asset-Backed

Securities

(Cost

$85,656)

83,849‌

BANK

LOANS

5.1%

(2)

FINANCIAL

INSTITUTIONS

0.6%

Financial

Other

0.0%

GTCR

W

Merger,

FRN

1M

USD

LIBOR

+

3.00%,

9/21/30  (3)

485‌

485‌

485‌

Insurance

0.6%

AssuredPartners,

FRN

1M

TSFR

+

3.75%,

9.098%,

2/12/27 

317‌

317‌

Asurion,

FRN

1M

TSFR

+

3.25%,

8.713%,

12/23/26 

269‌

265‌

Asurion,

FRN

1M

TSFR

+

5.25%,

10.713%,

1/31/28 

623‌

558‌

Asurion,

FRN

1M

TSFR

+

5.25%,

10.713%,

1/20/29 

1,095‌

967‌

HUB

International,

FRN

1M

TSFR

+

4.25%,

9.662%,

6/20/30 

1,323‌

1,328‌

Jones

Deslauriers

Insurance

Management,

FRN

1M

TSFR

+

4.25%,

9.624%,

3/15/30 

510‌

511‌

Ryan

Specialty,

FRN

1M

TSFR

+

3.00%,

8.448%,

9/1/27 

21‌

21‌

3,967‌

Total

Financial

Institutions

4,452‌

INDUSTRIAL

4.3%

Basic

Industry

0.1%

Arsenal

AIC

Parent,

FRN

1M

TSFR

+

4.50%,

9.848%,

8/18/30  (3)

340‌

340‌

T.

ROWE

PRICE

Total

Return

Fund

20

Par/Shares

$

Value

(Amounts

in

000s)

Aruba

Investments

Holdings,

FRN

1M

TSFR

+

7.75%,

13.198%,

11/24/28 

520‌

481‌

821‌

Capital

Goods

0.8%

Brookfield

WEC

Holdings,

FRN

1M

TSFR

+

3.75%,

9.098%,

8/1/25 

247‌

247‌

Charter

Next

Generation,

FRN

1M

TSFR

+

3.75%,

9.213%,

12/1/27 

698‌

695‌

Dynasty

Acquisition,

FRN

1M

TSFR

+

4.00%,

9.348%,

8/24/28 

672‌

671‌

Engineered

Machinery

Holdings,

FRN

3M

TSFR

+

6.00%,

11.652%,

5/21/29  (4)

665‌

618‌

Engineered

Machinery

Holdings,

FRN

3M

TSFR

+

6.50%,

12.152%,

5/21/29 

700‌

651‌

Filtration

Group,

FRN

1M

TSFR

+

4.25%,

9.713%,

10/21/28 

1,328‌

1,329‌

LTI

Holdings,

FRN

1M

TSFR

+

3.50%,

8.963%,

9/6/25 

522‌

489‌

LTI

Holdings,

FRN

1M

TSFR

+

6.75%,

12.213%,

9/6/26  (3)

260‌

228‌

TK

Elevator

U.S.

Newco,

FRN

6M

TSFR

+

3.50%,

9.381%,

7/30/27 

458‌

458‌

5,386‌

Communications

0.1%

Clear

Channel

Outdoor

Holdings,

FRN

3M

TSFR

+

3.50%,

9.145%,

8/21/26 

380‌

372‌

CSC

Holdings,

FRN

1M

TSFR

+

2.50%,

7.937%,

4/15/27 

204‌

191‌

563‌

Consumer

Cyclical

0.7%

Caesars

Entertainment,

FRN

1M

TSFR

+

3.25%,

8.698%,

2/6/30 

224‌

223‌

Dave

&

Buster's,

FRN

1M

TSFR

+

3.75%,

9.25%,

6/29/29 

172‌

172‌

Delta

2,

FRN

1M

TSFR

+

2.25%,

7.598%,

1/15/30 

680‌

680‌

EG

Finco,

FRN

3M

EURIBOR

+

7.00%,

10.972%,

4/30/27

(EUR) 

560‌

541‌

IRB

Holding,

FRN

1M

TSFR

+

3.00%,

8.448%,

12/15/27 

278‌

278‌

MIC

Glen,

FRN

1M

TSFR

+

6.75%,

12.198%,

7/20/29 

400‌

381‌

Ontario

Gaming

GTA,

FRN

1M

TSFR

+

4.25%,

9.64%,

8/1/30 

115‌

115‌

PetSmart,

FRN

1M

TSFR

+

3.75%,

9.198%,

2/11/28 

154‌

151‌

T.

ROWE

PRICE

Total

Return

Fund

21

Par/Shares

$

Value

(Amounts

in

000s)

Tacala

Investment,

FRN

1M

TSFR

+

4.00%,

9.463%,

2/5/27 

157‌

157‌

Tacala

Investment,

FRN

1M

TSFR

+

8.00%,

13.463%,

2/4/28 

360‌

353‌

Tenneco,

FRN

1M

TSFR

+

5.00%,

10.49%,

11/17/28 

395‌

328‌

UFC

Holdings,

FRN

1M

TSFR

+

2.75%,

8.399%,

4/29/26 

901‌

902‌

Wand

NewCo

3,

FRN

1M

TSFR

+

2.75%,

8.213%,

2/5/26 

533‌

533‌

4,814‌

Consumer

Non-Cyclical

0.4%

Bausch

+

Lomb,

FRN

1M

TSFR

+

3.25%,

8.755%,

5/10/27 

308‌

298‌

Gainwell

Acquisition,

FRN

3M

TSFR

+

4.00%,

9.49%,

10/1/27 

343‌

330‌

LifePoint

Health,

FRN

1M

TSFR

+

3.75%,

9.137%,

11/16/28 

160‌

153‌

Medline

Borrower,

FRN

1M

TSFR

+

3.00%,

8.463%,

10/23/28  (3)

543‌

543‌

Naked

Juice,

FRN

3M

TSFR

+

6.00%,

11.49%,

1/24/30 

150‌

119‌

Phoenix

Newco,

FRN

1M

TSFR

+

3.25%,

8.713%,

11/15/28 

199‌

198‌

Phoenix

Newco,

FRN

3M

TSFR

+

6.50%,

11.963%,

11/15/29 

505‌

497‌

Sunshine

Luxembourg

VII,

FRN

3M

TSFR

+

3.50%,

8.99%,

10/1/26 

487‌

489‌

2,627‌

Energy

0.1%

Brazos

Delaware

II,

FRN

1M

TSFR

+

3.75%,

9.08%,

2/11/30 

229‌

228‌

CQP

Holdco,

FRN

1M

TSFR

+

3.50%,

8.99%,

6/5/28 

14‌

14‌

Prairie

ECI

Acquiror,

FRN

1M

TSFR

+

4.75%,

10.198%,

3/11/26 

222‌

222‌

464‌

Industrial

Other

0.1%

Pike,

FRN

1M

TSFR

+

3.00%,

8.463%,

1/21/28 

192‌

192‌

Pike,

FRN

1M

TSFR

+

3.50%,

8.83%,

1/21/28 

282‌

282‌

474‌

Technology

1.9%

Applied

Systems,

FRN

3M

TSFR

+

4.50%,

9.89%,

9/18/26 

1,340‌

1,344‌

T.

ROWE

PRICE

Total

Return

Fund

22

Par/Shares

$

Value

(Amounts

in

000s)

Applied

Systems,

FRN

3M

TSFR

+

6.75%,

12.14%,

9/17/27 

1,323‌

1,328‌

Ascend

Learning,

FRN

1M

TSFR

+

3.50%,

8.948%,

12/11/28 

250‌

244‌

Ascend

Learning,

FRN

1M

TSFR

+

5.75%,

11.198%,

12/10/29 

1,050‌

894‌

AthenaHealth

Group,

FRN

1M

TSFR

+

3.25%,

8.598%,

2/15/29 

227‌

223‌

Boxer

Parent,

FRN

1M

TSFR

+

3.75%,

9.213%,

10/2/25 

277‌

277‌

Boxer

Parent,

FRN

1M

TSFR

+

5.50%,

10.963%,

2/27/26 

345‌

343‌

Central

Parent,

FRN

1M

TSFR

+

4.00%,

9.406%,

7/6/29 

312‌

312‌

Cloud

Software

Group,

FRN

3M

TSFR

+

4.50%,

9.99%,

3/30/29  (3)

627‌

599‌

Epicor

Software,

FRN

1M

TSFR

+

3.25%,

8.713%,

7/30/27 

827‌

828‌

Epicor

Software,

FRN

1M

TSFR

+

3.75%,

9.098%,

7/30/27 

170‌

171‌

Gen

Digital,

FRN

1M

TSFR

+

1.50%,

6.948%,

9/10/27 

209‌

208‌

McAfee,

FRN

1M

TSFR

+

3.75%,

9.193%,

3/1/29 

298‌

294‌

Neptune

Bidco

U.S.,

FRN

1M

TSFR

+

5.00%,

10.507%,

4/11/29 

263‌

236‌

Peraton,

FRN

1M

TSFR

+

3.75%,

9.198%,

2/1/28 

105‌

104‌

Peraton,

FRN

3M

TSFR

+

7.75%,

13.222%,

2/1/29 

716‌

699‌

RealPage,

FRN

1M

TSFR

+

3.00%,

8.463%,

4/24/28 

240‌

234‌

RealPage,

FRN

1M

TSFR

+

6.50%,

11.963%,

4/23/29 

780‌

774‌

Sophia,

FRN

1M

TSFR

+

4.25%,

9.598%,

10/7/27 

187‌

187‌

Sophia,

FRN

3M

TSFR

+

3.50%,

8.948%,

10/7/27 

255‌

255‌

UKG,

FRN

3M

TSFR

+

3.25%,

8.764%,

5/4/26 

1,160‌

1,160‌

UKG,

FRN

3M

TSFR

+

5.25%,

10.764%,

5/3/27 

2,180‌

2,179‌

12,893‌

Transportation

0.1%

AAdvantage

Loyalty

IP,

FRN

3M

TSFR

+

4.75%,

10.427%,

4/20/28 

264‌

268‌

T.

ROWE

PRICE

Total

Return

Fund

23

Par/Shares

$

Value

(Amounts

in

000s)

Mileage

Plus

Holdings,

FRN

3M

TSFR

+

5.25%,

10.798%,

6/21/27 

387‌

398‌

666‌

Total

Industrial

28,708‌

UTILITY

0.2%

Electric

0.2%

PG&E,

FRN

1M

TSFR

+

3.00%,

8.463%,

6/23/25 

363‌

363‌

Talen

Energy

Supply,

FRN

1M

TSFR

+

4.50%,

9.869%,

5/17/30  (3)

769‌

772‌

Talen

Energy

Supply,

FRN

1M

TSFR

+

4.50%,

9.869%,

5/17/30  (3)

125‌

125‌

Total

Utility

1,260‌

Total

Bank

Loans

(Cost

$34,828)

34,420‌

COMMON

STOCKS

0.0%

INDUSTRIAL

0.0%

Communications

0.0%

Clear

Channel

Outdoor

Holdings  (5)

1‌

1‌

Total

Industrial

1‌

Total

Common

Stocks

(Cost

$4)

1‌

CONVERTIBLE

BONDS

0.0%

INDUSTRIAL

0.0%

Consumer

Cyclical

0.0%

Rivian

Automotive,

4.625%,

3/15/29  (1)

200‌

221‌

Total

Industrial

221‌

Total

Convertible

Bonds

(Cost

$210)

221‌

CONVERTIBLE

PREFERRED

STOCKS

0.2%

FINANCIAL

INSTITUTIONS

0.2%

Insurance

0.2%

Alliant

Services,

Series

A,

Acquisition

Date:

11/6/20,

Cost $1,133  (4)(5)

(6)

1‌

1,119‌

Total

Financial

Institutions

1,119‌

T.

ROWE

PRICE

Total

Return

Fund

24

Par/Shares

$

Value

(Amounts

in

000s)

UTILITY

0.0%

Electric

0.0%

NextEra

Energy,

6.926%,

9/1/25  (7)

6‌

213‌

Total

Utility

213‌

Total

Convertible

Preferred

Stocks

(Cost

$1,412)

1,332‌

CORPORATE

BONDS

20.7%

FINANCIAL

INSTITUTIONS

7.4%

Banking

5.1%

AIB

Group,

VR,

6.608%,

9/13/29  (1)(8)

315‌

322‌

Banca

Transilvania,

VR,

8.875%,

4/27/27

(EUR)  (7)(8)

575‌

654‌

Banco

de

Bogota,

6.25%,

5/12/26 

475‌

457‌

Banco

de

Credito

del

Peru,

VR,

3.25%,

9/30/31  (1)(8)

375‌

334‌

Banco

Santander,

6.921%,

8/8/33 

400‌

398‌

Banco

Santander,

VR,

4.175%,

3/24/28  (8)

200‌

189‌

Bangkok

Bank,

VR,

3.733%,

9/25/34  (8)

400‌

344‌

Bank

Leumi

Le-Israel,

VR,

3.275%,

1/29/31  (1)(8)

600‌

537‌

Bank

of

America,

VR,

2.972%,

2/4/33  (8)

1,210‌

988‌

Bank

of

America,

VR,

5.288%,

4/25/34  (8)

1,025‌

981‌

Bank

of

America,

VR,

5.872%,

9/15/34  (8)

1,720‌

1,724‌

Bank

of

New

York

Mellon,

VR,

6.474%,

10/25/34  (8)

1,005‌

1,063‌

Barclays,

VR,

4.375%  (8)(9)

975‌

719‌

BBVA

Bancomer,

VR,

8.45%,

6/29/38  (1)(8)

500‌

502‌

CaixaBank,

VR,

6.208%,

1/18/29  (1)(8)

1,645‌

1,631‌

CaixaBank,

VR,

6.84%,

9/13/34  (1)(8)

785‌

788‌

Capital

One

Financial,

3.65%,

5/11/27 

670‌

618‌

Capital

One

Financial,

VR,

2.359%,

7/29/32  (8)

355‌

251‌

Capital

One

Financial,

VR,

5.468%,

2/1/29  (8)

395‌

378‌

Citigroup,

VR,

6.174%,

5/25/34  (8)

635‌

630‌

Credit

Suisse,

1.25%,

8/7/26 

415‌

369‌

Fifth

Third

Bancorp,

2.55%,

5/5/27 

80‌

72‌

Fifth

Third

Bancorp,

3.95%,

3/14/28 

842‌

787‌

Fifth

Third

Bancorp,

VR,

6.339%,

7/27/29  (8)

375‌

379‌

Goldman

Sachs

Group,

VR,

3.102%,

2/24/33  (8)

375‌

309‌

Goldman

Sachs

Group,

VR,

3.615%,

3/15/28  (8)

1,645‌

1,548‌

Goldman

Sachs

Group,

VR,

4.482%,

8/23/28  (8)

405‌

391‌

HSBC

Holdings,

VR,

6.375%  (7)(8)(9)

340‌

329‌

HSBC

Holdings,

VR,

7.399%,

11/13/34  (8)

955‌

991‌

Huntington

National

Bank,

VR,

5.699%,

11/18/25  (8)

760‌

743‌

ING

Groep,

VR,

6.114%,

9/11/34  (8)

305‌

305‌

JPMorgan

Chase,

VR,

1.764%,

11/19/31  (8)

815‌

636‌

JPMorgan

Chase,

VR,

2.522%,

4/22/31  (8)

45‌

38‌

T.

ROWE

PRICE

Total

Return

Fund

25

Par/Shares

$

Value

(Amounts

in

000s)

JPMorgan

Chase,

VR,

2.956%,

5/13/31  (8)

370‌

313‌

JPMorgan

Chase,

VR,

5.35%,

6/1/34  (8)

1,045‌

1,019‌

JPMorgan

Chase,

VR,

6.254%,

10/23/34  (8)

370‌

385‌

Morgan

Stanley,

VR,

3.622%,

4/1/31  (8)

1,740‌

1,537‌

Morgan

Stanley,

VR,

5.25%,

4/21/34  (8)

1,715‌

1,647‌

PNC

Financial

Services

Group,

Series

T,

VR,

3.40%  (8)(9)

787‌

604‌

Santander

Holdings

USA,

VR,

2.49%,

1/6/28  (8)

195‌

175‌

Standard

Chartered,

VR,

2.608%,

1/12/28  (1)(8)

550‌

494‌

UBS

Group,

3.75%,

3/26/25 

1,458‌

1,414‌

UBS

Group,

VR,

2.193%,

6/5/26  (1)(8)

1,860‌

1,746‌

UBS

Group,

VR,

2.746%,

2/11/33  (1)(8)

311‌

241‌

UBS

Group,

VR,

5.125%  (8)(9)

750‌

692‌

UBS

Group,

VR,

9.25%  (1)(8)(9)

270‌

286‌

Wells

Fargo,

VR,

2.393%,

6/2/28  (8)

575‌

514‌

Wells

Fargo,

VR,

2.879%,

10/30/30  (8)

250‌

214‌

Wells

Fargo,

VR,

5.389%,

4/24/34  (8)

670‌

647‌

Wells

Fargo,

VR,

5.557%,

7/25/34  (8)

1,720‌

1,679‌

Wells

Fargo,

VR,

6.491%,

10/23/34  (8)

410‌

429‌

34,441‌

Brokerage

Asset

Managers

Exchanges

0.2%

AG

TTMT

Escrow

Issuer,

8.625%,

9/30/27  (1)

215‌

223‌

LSEGA

Financing,

2.00%,

4/6/28  (1)

585‌

505‌

LSEGA

Financing,

2.50%,

4/6/31  (1)

425‌

350‌

1,078‌

Finance

Companies

0.4%

AerCap

Ireland

Capital,

4.45%,

4/3/26 

415‌

403‌

AerCap

Ireland

Capital,

6.15%,

9/30/30 

340‌

341‌

AerCap

Ireland

Capital,

6.50%,

7/15/25 

270‌

271‌

Navient,

5.00%,

3/15/27 

240‌

223‌

Navient,

9.375%,

7/25/30 

405‌

416‌

Navient,

11.50%,

3/15/31 

195‌

210‌

OneMain

Finance,

9.00%,

1/15/29 

455‌

469‌

2,333‌

Financial

Other

0.1%

Howard

Hughes,

4.125%,

2/1/29  (1)

215‌

184‌

Howard

Hughes,

5.375%,

8/1/28  (1)

510‌

476‌

Kaisa

Group

Holdings,

11.25%,

4/9/22  (5)(10)

850‌

31‌

691‌

Insurance

1.1%

Acrisure,

7.00%,

11/15/25  (1)

5‌

5‌

Acrisure,

10.125%,

8/1/26  (1)

515‌

530‌

Alliant

Holdings

Intermediate,

6.75%,

10/15/27  (1)

505‌

483‌

AmWINS

Group,

4.875%,

6/30/29  (1)

209‌

188‌

Centene,

2.50%,

3/1/31 

640‌

509‌

Centene,

2.625%,

8/1/31 

840‌

670‌

Centene,

3.00%,

10/15/30 

325‌

271‌

T.

ROWE

PRICE

Total

Return

Fund

26

Par/Shares

$

Value

(Amounts

in

000s)

Centene,

3.375%,

2/15/30 

590‌

510‌

Centene,

4.625%,

12/15/29 

342‌

318‌

Enact

Holdings,

6.50%,

8/15/25  (1)

30‌

30‌

HUB

International,

5.625%,

12/1/29  (1)

355‌

322‌

HUB

International,

7.00%,

5/1/26  (1)

5‌

5‌

HUB

International,

7.25%,

6/15/30  (1)

1,725‌

1,764‌

Jones

Deslauriers

Insurance

Management,

8.50%,

3/15/30  (1)

665‌

688‌

Jones

Deslauriers

Insurance

Management,

10.50%,

12/15/30  (1)

880‌

909‌

Molina

Healthcare,

4.375%,

6/15/28  (1)

5‌

5‌

7,207‌

Real

Estate

Investment

Trusts

0.5%

Brixmor

Operating

Partnership,

3.90%,

3/15/27 

630‌

591‌

Brixmor

Operating

Partnership,

4.05%,

7/1/30 

266‌

239‌

Brixmor

Operating

Partnership,

4.125%,

5/15/29 

1,269‌

1,162‌

Healthcare

Realty

Holdings,

2.40%,

3/15/30 

120‌

95‌

Kilroy

Realty,

2.50%,

11/15/32 

130‌

91‌

Kilroy

Realty,

3.05%,

2/15/30 

170‌

136‌

Service

Properties

Trust,

8.625%,

11/15/31  (1)

180‌

184‌

Simon

Property

Group,

6.65%,

1/15/54 

1,010‌

1,080‌

3,578‌

Total

Financial

Institutions

49,328‌

INDUSTRIAL

11.9%

Basic

Industry

0.4%

Arsenal

AIC

Parent,

8.00%,

10/1/30  (1)

255‌

260‌

ATI,

7.25%,

8/15/30 

320‌

323‌

Axalta

Coating

Systems

Dutch

Holding

B,

7.25%,

2/15/31  (1)

150‌

154‌

Carpenter

Technology,

7.625%,

3/15/30 

410‌

416‌

GPD,

10.125%,

4/1/26  (1)

212‌

193‌

Kobe

U.S.

Midco

2,

9.25%,

11/1/26,

(9.25%

Cash

or

10.00%

PIK)  (1)

(11)

483‌

353‌

Methanex,

5.125%,

10/15/27 

32‌

30‌

Methanex,

5.25%,

12/15/29  (7)

15‌

14‌

South32

Treasury,

4.35%,

4/14/32  (1)

425‌

365‌

TMS

International,

6.25%,

4/15/29  (1)

280‌

223‌

Windsor

Holdings

III,

8.50%,

6/15/30  (1)

225‌

231‌

2,562‌

Capital

Goods

0.5%

Emerald

Debt

Merger

Sub,

6.625%,

12/15/30  (1)

420‌

419‌

GFL

Environmental,

5.125%,

12/15/26  (1)

16‌

16‌

Madison

IAQ,

5.875%,

6/30/29  (1)

25‌

21‌

Regal

Rexnord,

6.05%,

2/15/26  (1)

355‌

354‌

Ritchie

Bros

Holdings,

6.75%,

3/15/28  (1)

180‌

183‌

Sealed

Air,

6.125%,

2/1/28  (1)

20‌

20‌

Sealed

Air,

6.875%,

7/15/33  (1)

225‌

225‌

Sealed

Air,

7.25%,

2/15/31  (1)(7)

90‌

92‌

T.

ROWE

PRICE

Total

Return

Fund

27

Par/Shares

$

Value

(Amounts

in

000s)

Summit

Materials,

7.25%,

1/15/31  (1)

200‌

201‌

TK

Elevator

Holdco,

7.625%,

7/15/28  (1)

725‌

684‌

TK

Elevator

U.S.

Newco,

5.25%,

7/15/27  (1)

210‌

199‌

TransDigm,

6.75%,

8/15/28  (1)

220‌

220‌

TransDigm,

6.875%,

12/15/30  (1)

466‌

466‌

TransDigm,

7.125%,

12/1/31  (1)

329‌

335‌

3,435‌

Communications

2.8%

Altice

France

Holding,

10.50%,

5/15/27  (1)

1,070‌

568‌

AT&T,

3.50%,

9/15/53 

3,350‌

2,218‌

Axian

Telecom,

7.375%,

2/16/27  (1)

525‌

482‌

CCO

Holdings,

4.25%,

2/1/31  (1)

30‌

25‌

CCO

Holdings,

6.375%,

9/1/29  (1)

655‌

630‌

CCO

Holdings,

7.375%,

3/1/31  (1)

240‌

240‌

Clear

Channel

Outdoor

Holdings,

7.50%,

6/1/29  (1)(7)

280‌

220‌

Clear

Channel

Outdoor

Holdings,

7.75%,

4/15/28  (1)

420‌

343‌

Clear

Channel

Outdoor

Holdings,

9.00%,

9/15/28  (1)

540‌

545‌

CMG

Media,

8.875%,

12/15/27  (1)

190‌

153‌

Connect

Finco,

6.75%,

10/1/26  (1)

355‌

341‌

CSC

Holdings,

5.50%,

4/15/27  (1)

230‌

203‌

CSC

Holdings,

6.50%,

2/1/29  (1)

200‌

169‌

CSC

Holdings,

11.25%,

5/15/28  (1)

400‌

399‌

DISH

DBS,

5.25%,

12/1/26  (1)

140‌

112‌

DISH

DBS,

5.75%,

12/1/28  (1)

195‌

144‌

DISH

DBS,

7.75%,

7/1/26 

365‌

217‌

DISH

Network,

11.75%,

11/15/27  (1)

430‌

427‌

Globo

Comunicacao

e

Participacoes,

4.875%,

1/22/30 

375‌

311‌

iHeartCommunications,

8.375%,

5/1/27  (7)

156‌

108‌

Intelsat

Jackson

Holdings,

6.50%,

3/15/30  (1)

270‌

250‌

Radiate

Holdco,

6.50%,

9/15/28  (1)

255‌

119‌

Rogers

Communications,

3.80%,

3/15/32 

3,070‌

2,665‌

SBA

Tower

Trust,

2.328%,

1/15/28  (1)

95‌

82‌

SBA

Tower

Trust,

2.836%,

1/15/25  (1)

450‌

434‌

SBA

Tower

Trust,

Series

2014-2A,

Class

C,

STEP,

3.869%,

10/15/49  (1)

425‌

417‌

Sirius

XM

Radio,

4.00%,

7/15/28  (1)

415‌

369‌

Sirius

XM

Radio,

5.00%,

8/1/27  (1)

187‌

178‌

Sprint

Capital,

8.75%,

3/15/32 

825‌

986‌

Stagwell

Global,

5.625%,

8/15/29  (1)

435‌

381‌

T-Mobile

USA,

3.875%,

4/15/30 

1,800‌

1,652‌

T-Mobile

USA,

5.20%,

1/15/33 

1,010‌

995‌

T-Mobile

USA,

5.75%,

1/15/54 

1,360‌

1,343‌

Tower

Bersama

Infrastructure,

2.75%,

1/20/26  (7)

410‌

380‌

Townsquare

Media,

6.875%,

2/1/26  (1)

285‌

274‌

Univision

Communications,

7.375%,

6/30/30  (1)(7)

170‌

167‌

Univision

Communications,

8.00%,

8/15/28  (1)(7)

180‌

181‌

T.

ROWE

PRICE

Total

Return

Fund

28

Par/Shares

$

Value

(Amounts

in

000s)

Viasat,

7.50%,

5/30/31  (1)

310‌

222‌

18,950‌

Consumer

Cyclical

2.7%

Adient

Global

Holdings,

8.25%,

4/15/31  (1)

505‌

511‌

At

Home

Group,

4.875%,

7/15/28  (1)

45‌

14‌

Bath

&

Body

Works,

6.625%,

10/1/30  (1)

165‌

163‌

Bath

&

Body

Works,

6.75%,

7/1/36 

240‌

223‌

Bath

&

Body

Works,

6.95%,

3/1/33 

245‌

229‌

Bath

&

Body

Works,

9.375%,

7/1/25  (1)

193‌

201‌

Caesars

Entertainment,

7.00%,

2/15/30  (1)

510‌

509‌

Caesars

Entertainment,

8.125%,

7/1/27  (1)

190‌

193‌

Carnival,

7.00%,

8/15/29  (1)

165‌

167‌

Carnival,

7.625%,

3/1/26  (1)

100‌

100‌

Carnival,

10.50%,

6/1/30  (1)

605‌

644‌

CCM

Merger,

6.375%,

5/1/26  (1)

215‌

206‌

Cedar

Fair,

6.50%,

10/1/28 

480‌

470‌

Churchill

Downs,

6.75%,

5/1/31  (1)

290‌

285‌

Cinemark

USA,

5.875%,

3/15/26  (1)(7)

480‌

464‌

Clarios

Global,

6.75%,

5/15/28  (1)

225‌

226‌

Clarios

Global,

8.50%,

5/15/27  (1)

255‌

256‌

Cushman

&

Wakefield

U.S.

Borrower,

6.75%,

5/15/28  (1)(7)

165‌

156‌

Cushman

&

Wakefield

U.S.

Borrower,

8.875%,

9/1/31  (1)

340‌

340‌

Dana

Financing

Luxembourg,

8.50%,

7/15/31

(EUR)  (1)

446‌

515‌

eG

Global

Finance,

12.00%,

11/30/28  (1)

265‌

276‌

Ford

Motor,

9.625%,

4/22/30 

450‌

516‌

Ford

Motor

Credit,

7.35%,

11/4/27 

300‌

309‌

Goodyear

Tire

&

Rubber,

5.00%,

7/15/29  (7)

280‌

256‌

Goodyear

Tire

&

Rubber,

5.25%,

7/15/31 

185‌

160‌

Hyundai

Capital

America,

5.50%,

3/30/26  (1)

435‌

432‌

Life

Time,

5.75%,

1/15/26  (1)

268‌

263‌

Life

Time,

8.00%,

4/15/26  (1)

511‌

510‌

Light

&

Wonder

International,

7.25%,

11/15/29  (1)

233‌

234‌

Light

&

Wonder

International,

7.50%,

9/1/31  (1)

130‌

132‌

Live

Nation

Entertainment,

4.75%,

10/15/27  (1)(7)

210‌

197‌

Match

Group

Holdings

II,

4.125%,

8/1/30  (1)

205‌

178‌

Match

Group

Holdings

II,

5.00%,

12/15/27  (1)

360‌

344‌

Melco

Resorts

Finance,

5.75%,

7/21/28 

750‌

664‌

Metalsa,

3.75%,

5/4/31 

650‌

511‌

MGM

Growth

Properties

Operating

Partnership,

5.75%,

2/1/27 

180‌

177‌

Nissan

Motor

Acceptance,

1.85%,

9/16/26  (1)

250‌

221‌

Nissan

Motor

Acceptance,

6.95%,

9/15/26  (1)

115‌

117‌

Ontario

Gaming

GTA,

8.00%,

8/1/30  (1)

280‌

284‌

Rivian

Holdings,

FRN,

6M

USD

LIBOR

+

5.625%,

11.493%,

10/15/26  (1)

1,755‌

1,755‌

Royal

Caribbean

Cruises,

8.25%,

1/15/29  (1)

325‌

340‌

Royal

Caribbean

Cruises,

11.625%,

8/15/27  (1)

470‌

509‌

SeaWorld

Parks

&

Entertainment,

5.25%,

8/15/29  (1)(7)

215‌

196‌

T.

ROWE

PRICE

Total

Return

Fund

29

Par/Shares

$

Value

(Amounts

in

000s)

St.

Joseph's

University

Medical

Center,

4.584%,

7/1/27 

2,000‌

1,892‌

Tenneco,

8.00%,

11/17/28  (1)

560‌

461‌

Vivo

Energy

Investments,

5.125%,

9/24/27  (7)

550‌

507‌

Yum!

Brands,

5.375%,

4/1/32 

345‌

325‌

ZF

North

America

Capital,

6.875%,

4/14/28  (1)

150‌

152‌

ZF

North

America

Capital,

7.125%,

4/14/30  (1)

185‌

189‌

17,979‌

Consumer

Non-Cyclical

2.4%

AbbVie,

4.05%,

11/21/39 

425‌

365‌

AbbVie,

4.25%,

11/21/49 

1,585‌

1,334‌

AbbVie,

4.875%,

11/14/48 

1,655‌

1,520‌

Avantor

Funding,

4.625%,

7/15/28  (1)

190‌

177‌

BAT

Capital,

6.343%,

8/2/30 

565‌

580‌

BAT

International

Finance,

4.448%,

3/16/28 

650‌

623‌

Bausch

&

Lomb

Escrow,

8.375%,

10/1/28  (1)

270‌

276‌

Bayer

U.S.

Finance,

6.25%,

1/21/29  (1)

220‌

221‌

Bayer

U.S.

Finance,

6.375%,

11/21/30  (1)

390‌

388‌

Bimbo

Bakeries

USA,

6.05%,

1/15/29  (1)

975‌

997‌

CHS,

6.875%,

4/15/29  (1)

385‌

226‌

CHS,

8.00%,

3/15/26  (1)

187‌

181‌

CHS,

8.00%,

12/15/27  (1)

5‌

5‌

CVS

Health,

5.625%,

2/21/53 

1,365‌

1,289‌

HCA,

3.125%,

3/15/27 

280‌

259‌

HCA,

5.375%,

9/1/26 

600‌

596‌

IQVIA,

6.25%,

2/1/29  (1)

410‌

415‌

LifePoint

Health,

9.875%,

8/15/30  (1)

255‌

247‌

LifePoint

Health,

11.00%,

10/15/30  (1)

330‌

332‌

Medline

Borrower,

5.25%,

10/1/29  (1)

424‌

383‌

Pfizer

Investment

Enterprises,

5.34%,

5/19/63 

1,040‌

996‌

RegionalCare

Hospital

Partners

Holdings,

9.75%,

12/1/26  (1)

174‌

168‌

Tenet

Healthcare,

6.125%,

10/1/28  (7)

235‌

228‌

Tenet

Healthcare,

6.125%,

6/15/30 

350‌

340‌

Tenet

Healthcare,

6.875%,

11/15/31 

305‌

301‌

Teva

Pharmaceutical

Finance

Netherlands

III,

6.75%,

3/1/28 

360‌

360‌

Teva

Pharmaceutical

Finance

Netherlands

III,

7.875%,

9/15/29 

200‌

208‌

Teva

Pharmaceutical

Finance

Netherlands

III,

8.125%,

9/15/31 

400‌

421‌

Utah

Acquisition

Sub,

3.95%,

6/15/26 

2,050‌

1,951‌

Utah

Acquisition

Sub,

5.25%,

6/15/46 

865‌

671‌

16,058‌

Energy

2.2%

Aethon

United

BR,

8.25%,

2/15/26  (1)

275‌

277‌

Chesapeake

Energy,

5.875%,

2/1/29  (1)

210‌

202‌

Chesapeake

Energy,

6.75%,

4/15/29  (1)

215‌

215‌

Civitas

Resources,

8.375%,

7/1/28  (1)

260‌

266‌

Columbia

Pipelines

Holding,

6.042%,

8/15/28  (1)

200‌

202‌

Comstock

Resources,

6.75%,

3/1/29  (1)

235‌

216‌

T.

ROWE

PRICE

Total

Return

Fund

30

Par/Shares

$

Value

(Amounts

in

000s)

Continental

Resources,

4.90%,

6/1/44 

335‌

258‌

Crescent

Energy

Finance,

9.25%,

2/15/28  (1)

600‌

620‌

Enbridge,

6.20%,

11/15/30 

215‌

224‌

Enbridge,

6.70%,

11/15/53 

340‌

372‌

Energian

Israel

Finance,

4.875%,

3/30/26  (1)

563‌

515‌

Ferrellgas,

5.375%,

4/1/26  (1)

265‌

252‌

Hess,

5.60%,

2/15/41 

5‌

5‌

Hess,

7.125%,

3/15/33 

175‌

198‌

Hess,

7.30%,

8/15/31 

175‌

197‌

Hilcorp

Energy

I,

6.00%,

4/15/30  (1)

550‌

512‌

Hilcorp

Energy

I,

6.00%,

2/1/31  (1)

20‌

18‌

Hilcorp

Energy

I,

8.375%,

11/1/33  (1)

579‌

596‌

Kinetik

Holdings,

5.875%,

6/15/30  (1)

380‌

363‌

Leviathan

Bond,

6.125%,

6/30/25  (1)

195‌

188‌

Magnolia

Oil

&

Gas

Operating,

6.00%,

8/1/26  (1)

630‌

613‌

Matador

Resources,

5.875%,

9/15/26  (7)

111‌

109‌

NGL

Energy

Operating,

7.50%,

2/1/26  (1)

274‌

274‌

Northriver

Midstream

Finance,

5.625%,

2/15/26  (1)

275‌

267‌

NuStar

Logistics,

5.75%,

10/1/25 

15‌

15‌

NuStar

Logistics,

6.00%,

6/1/26 

235‌

234‌

Occidental

Petroleum,

6.20%,

3/15/40 

195‌

192‌

Occidental

Petroleum,

6.45%,

9/15/36 

195‌

200‌

Occidental

Petroleum,

7.50%,

5/1/31 

249‌

270‌

Occidental

Petroleum,

7.95%,

6/15/39 

150‌

168‌

Occidental

Petroleum,

8.875%,

7/15/30 

715‌

817‌

Patterson-UTI

Energy,

7.15%,

10/1/33 

230‌

235‌

Range

Resources,

4.75%,

2/15/30  (1)(7)

300‌

272‌

Seadrill

Finance,

8.375%,

8/1/30  (1)

595‌

608‌

SilverBow

Resources,

FRN,

3M

TSFR

+

7.75%,

13.138%,

12/15/28  (1)

1,020‌

1,000‌

Southwestern

Energy,

4.75%,

2/1/32 

295‌

263‌

Southwestern

Energy,

5.375%,

3/15/30 

110‌

104‌

Tallgrass

Energy

Partners,

6.00%,

3/1/27  (1)

265‌

254‌

Targa

Resources

Partners,

5.50%,

3/1/30 

165‌

159‌

Targa

Resources

Partners,

6.875%,

1/15/29 

314‌

319‌

Transocean,

8.75%,

2/15/30  (1)

154‌

157‌

Transocean,

11.50%,

1/30/27  (1)

104‌

108‌

Transocean

Aquila,

8.00%,

9/30/28  (1)

210‌

210‌

Venture

Global

Calcasieu

Pass,

4.125%,

8/15/31  (1)

290‌

250‌

Venture

Global

Calcasieu

Pass,

6.25%,

1/15/30  (1)

380‌

373‌

Venture

Global

LNG,

8.375%,

6/1/31  (1)

340‌

334‌

Venture

Global

LNG,

9.50%,

2/1/29  (1)

1,095‌

1,129‌

Vermilion

Energy,

6.875%,

5/1/30  (1)

370‌

351‌

14,981‌

Industrial

Other

0.1%

Booz

Allen

Hamilton,

5.95%,

8/4/33 

305‌

310‌

T.

ROWE

PRICE

Total

Return

Fund

31

Par/Shares

$

Value

(Amounts

in

000s)

Howard

University,

Series

21A,

4.756%,

10/1/51 

415‌

321‌

631‌

Technology

0.6%

AthenaHealth

Group,

6.50%,

2/15/30  (1)(7)

295‌

255‌

Capstone

Borrower,

8.00%,

6/15/30  (1)

260‌

261‌

Central

Parent,

7.25%,

6/15/29  (1)

205‌

205‌

Central

Parent,

8.00%,

6/15/29  (1)

270‌

276‌

Cloud

Software

Group,

9.00%,

9/30/29  (1)

925‌

831‌

Entegris

Escrow,

5.95%,

6/15/30  (1)

210‌

203‌

Gen

Digital,

7.125%,

9/30/30  (1)(7)

167‌

171‌

GTCR

W-2

Merger,

7.50%,

1/15/31  (1)

590‌

601‌

Neptune

Bidco

U.S.,

9.29%,

4/15/29  (1)

205‌

191‌

Presidio

Holdings,

8.25%,

2/1/28  (1)(7)

205‌

199‌

Sensata

Technologies,

4.00%,

4/15/29  (1)

205‌

182‌

Sensata

Technologies,

5.875%,

9/1/30  (1)

655‌

629‌

4,004‌

Transportation

0.2%

Adani

International

Container

Terminal,

3.00%,

2/16/31 

577‌

463‌

American

Airlines,

5.50%,

4/20/26  (1)

296‌

291‌

American

Airlines,

5.75%,

4/20/29  (1)

360‌

344‌

United

Airlines,

4.625%,

4/15/29  (1)

30‌

27‌

Watco,

6.50%,

6/15/27  (1)

250‌

242‌

1,367‌

Total

Industrial

79,967‌

UTILITY

1.4%

Electric

1.3%

AES

Andes,

VR,

7.125%,

3/26/79  (8)

525‌

496‌

Duke

Energy,

5.00%,

8/15/52 

1,460‌

1,268‌

Exelon,

5.60%,

3/15/53 

1,375‌

1,313‌

Pacific

Gas

&

Electric,

6.70%,

4/1/53 

470‌

476‌

Pacific

Gas

&

Electric,

6.95%,

3/15/34 

395‌

417‌

PG&E,

5.00%,

7/1/28  (7)

290‌

276‌

Talen

Energy

Supply,

8.625%,

6/1/30  (1)

652‌

681‌

Terraform

Global

Operating,

6.125%,

3/1/26  (1)

353‌

342‌

Vistra,

VR,

7.00%  (1)(8)(9)

390‌

369‌

Vistra,

VR,

8.00%  (1)(8)(9)

1,865‌

1,823‌

Vistra

Operations,

5.125%,

5/13/25  (1)

650‌

639‌

Vistra

Operations,

7.75%,

10/15/31  (1)

330‌

337‌

8,437‌

Natural

Gas

0.1%

Boston

Gas,

6.119%,

7/20/53  (1)

365‌

358‌

358‌

T.

ROWE

PRICE

Total

Return

Fund

32

Par/Shares

$

Value

(Amounts

in

000s)

Utility

Other

0.0%

Aegea

Finance,

9.00%,

1/20/31  (1)

290‌

301‌

301‌

Total

Utility

9,096‌

Total

Corporate

Bonds

(Cost

$142,825)

138,391‌

FOREIGN

GOVERNMENT

OBLIGATIONS

&

MUNICIPALITIES

1.6%

Owned

No

Guarantee

0.4%

Bank

Negara

Indonesia

Persero,

3.75%,

3/30/26 

525‌

494‌

Electricite

de

France,

5.70%,

5/23/28  (1)

200‌

202‌

Electricite

de

France,

VR,

9.125%  (1)(8)(9)

700‌

747‌

Export-Import

Bank

of

Malaysia,

1.831%,

11/26/26 

800‌

723‌

Oryx

Funding,

5.80%,

2/3/31  (1)

400‌

389‌

2,555‌

Sovereign

0.3%

Republic

of

Bulgaria,

4.50%,

1/27/33

(EUR) 

1,820‌

1,993‌

Republic

of

Paraguay,

5.85%,

8/21/33  (1)

250‌

243‌

2,236‌

Treasuries

0.9%

Government

of

Japan,

Series

14,

0.70%,

3/20/61

(JPY) 

1,232,900‌

5,948‌

5,948‌

Total

Foreign

Government

Obligations

&

Municipalities

(Cost

$10,316)

10,739‌

MUNICIPAL

SECURITIES

0.5%

Colorado

0.3%

Colorado

HFA,

Covenant

Living

Community,

Series B,

3.36%,

12/1/30 

1,970‌

1,693‌

1,693‌

Puerto

Rico

0.2%

Puerto

Rico

Commonwealth,

GO,

VR,

11/1/43  (12)

2,133‌

1,109‌

Puerto

Rico

Commonwealth,

Restructured,

Series A,

GO,

Zero

Coupon,

7/1/24 

12‌

11‌

Puerto

Rico

Commonwealth,

Restructured,

Series A,

GO,

Zero

Coupon,

7/1/33 

92‌

56‌

Puerto

Rico

Commonwealth,

Restructured,

Series A-1,

GO,

4.00%,

7/1/33 

71‌

67‌

Puerto

Rico

Commonwealth,

Restructured,

Series A-1,

GO,

4.00%,

7/1/35 

64‌

59‌

Puerto

Rico

Commonwealth,

Restructured,

Series A-1,

GO,

4.00%,

7/1/37 

55‌

49‌

Puerto

Rico

Commonwealth,

Restructured,

Series A-1,

GO,

4.00%,

7/1/41 

75‌

64‌

T.

ROWE

PRICE

Total

Return

Fund

33

Par/Shares

$

Value

(Amounts

in

000s)

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

1,660‌

Total

Municipal

Securities

(Cost

$3,734)

3,353‌

NON-U.S.

GOVERNMENT

MORTGAGE-BACKED

SECURITIES

9.0%

Collateralized

Mortgage

Obligations

4.1%

Angel

Oak

Mortgage

Trust

Series

2020-5,

Class

M1,

CMO,

ARM

2.97%,

5/25/65  (1)

250‌

206‌

Angel

Oak

Mortgage

Trust

Series

2020-6,

Class

M1,

CMO,

ARM

2.805%,

5/25/65  (1)

515‌

383‌

Angel

Oak

Mortgage

Trust

Series

2021-4,

Class

M1,

CMO,

ARM

2.29%,

1/20/65  (1)

960‌

541‌

Angel

Oak

Mortgage

Trust

Series

2022-6,

Class

A1,

CMO,

STEP

4.30%,

7/25/67  (1)

1,800‌

1,675‌

Bellemeade

Re

Series

2022-1,

Class

M1B,

CMO,

ARM

SOFR30A

+

2.15%,

7.478%,

1/26/32  (1)

1,610‌

1,609‌

Citigroup

Mortgage

Loan

Trust

Series

2020-EXP2,

Class

A3,

CMO,

ARM

2.50%,

8/25/50  (1)

1,179‌

959‌

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

1,196‌

Connecticut

Avenue

Securities

Series

2017-C06,

Class

2ED1,

CMO,

ARM

SOFR30A

+

1.114%,

6.443%,

2/25/30 

92‌

93‌

Connecticut

Avenue

Securities

Series

2018-C03,

Class

1EB2,

CMO,

ARM

SOFR30A

+

0.964%,

6.293%,

10/25/30 

183‌

183‌

EFMT

Series

2023-1,

Class

A2,

CMO,

STEP

6.24%,

2/25/68  (1)

469‌

460‌

T.

ROWE

PRICE

Total

Return

Fund

34

Par/Shares

$

Value

(Amounts

in

000s)

Finance

of

America

HECM

Buyout

Series

2022-HB2,

Class

A1A,

ARM

4.00%,

8/1/32  (1)

806‌

783‌

Flagstar

Mortgage

Trust

Series

2017-2,

Class

B1,

CMO,

ARM

3.992%,

10/25/47  (1)

231‌

204‌

Flagstar

Mortgage

Trust

Series

2019-1INV,

Class

A3,

CMO,

ARM

3.50%,

10/25/49  (1)

61‌

52‌

Flagstar

Mortgage

Trust

Series

2021-11IN,

Class

A18,

CMO,

ARM

2.50%,

11/25/51  (1)

2,693‌

2,031‌

Freddie

Mac

Whole

Loan

Securities

Trust

Series

2017-SC01,

Class

M1,

CMO,

ARM

3.646%,

12/25/46  (1)

145‌

139‌

FWD

Securitization

Trust

Series

2020-INV1,

Class

A3,

CMO,

ARM

2.44%,

1/25/50  (1)

109‌

96‌

Galton

Funding

Mortgage

Trust

Series

2017-1,

Class

B2,

CMO,

ARM

3.95%,

7/25/56  (1)

882‌

795‌

Galton

Funding

Mortgage

Trust

Series

2018-1,

Class

A33,

CMO,

ARM

3.50%,

11/25/57  (1)

40‌

35‌

Galton

Funding

Mortgage

Trust

Series

2019-H1,

Class

M1,

CMO,

ARM

3.339%,

10/25/59  (1)

365‌

334‌

Galton

Funding

Mortgage

Trust

Series

2020-H1,

Class

M1,

CMO,

ARM

2.832%,

1/25/60  (1)

735‌

541‌

GCAT

Trust

Series

2021-NQM5,

Class

A3,

CMO,

ARM

1.571%,

7/25/66  (1)

2,109‌

1,620‌

GS

Mortgage-Backed

Securities

Trust

Series

2021-GR2,

Class

A4,

CMO,

ARM

2.50%,

2/25/52  (1)

1,443‌

1,089‌

Imperial

Fund

Mortgage

Trust

Series

2022-NQM4,

Class

A2,

CMO,

STEP

5.04%,

6/25/67  (1)

1,331‌

1,272‌

JPMorgan

Mortgage

Trust

Series

2019-INV2,

Class

A3,

CMO,

ARM

3.50%,

2/25/50  (1)

36‌

31‌

JPMorgan

Mortgage

Trust

Series

2019-INV3,

Class

A15,

CMO,

ARM

3.50%,

5/25/50  (1)

76‌

65‌

JPMorgan

Mortgage

Trust

Series

2019-INV3,

Class

A3,

CMO,

ARM

3.50%,

5/25/50  (1)

88‌

75‌

T.

ROWE

PRICE

Total

Return

Fund

35

Par/Shares

$

Value

(Amounts

in

000s)

JPMorgan

Mortgage

Trust

Series

2020-INV2,

Class

A15,

CMO,

ARM

3.00%,

10/25/50  (1)

260‌

214‌

JPMorgan

Mortgage

Trust

Series

2023-DSC2,

Class

A1,

CMO,

ARM

5.25%,

11/25/63  (1)

1,425‌

1,357‌

MetLife

Securitization

Trust

Series

2018-1A,

Class

A,

CMO,

ARM

3.75%,

3/25/57  (1)

149‌

139‌

New

Residential

Mortgage

Loan

Trust

Series

2023-NQM1,

Class

A2,

CMO,

STEP

7.319%,

10/25/63  (1)

1,629‌

1,638‌

OBX

Trust

Series

2019-EXP2,

Class

1A4,

CMO,

ARM

4.00%,

6/25/59  (1)

35‌

31‌

OBX

Trust

Series

2019-INV2,

Class

A25,

CMO,

ARM

4.00%,

5/27/49  (1)

92‌

82‌

OBX

Trust

Series

2020-EXP2,

Class

A9,

CMO,

ARM

3.00%,

5/25/60  (1)

52‌

42‌

OBX

Trust

Series

2020-EXP3,

Class

1A9,

CMO,

ARM

3.00%,

1/25/60  (1)

192‌

160‌

OBX

Trust

Series

2021-NQM1,

Class

M1,

CMO,

ARM

2.219%,

2/25/66  (1)

598‌

457‌

OBX

Trust

Series

2023-NQM10,

Class

A2,

CMO,

STEP

6.92%,

10/25/63  (1)

100‌

100‌

Radnor

RE

Series

2021-2,

Class

M1A,

CMO,

ARM

SOFR30A

+

1.85%,

7.178%,

11/25/31  (1)

565‌

566‌

Sequoia

Mortgage

Trust

Series

2013-4,

Class

B1,

CMO,

ARM

3.437%,

4/25/43 

226‌

209‌

Sequoia

Mortgage

Trust

Series

2017-CH2,

Class

A19,

CMO,

ARM

4.00%,

12/25/47  (1)

68‌

60‌

Sequoia

Mortgage

Trust

Series

2018-CH1,

Class

A2,

CMO,

ARM

3.50%,

3/25/48  (1)

22‌

19‌

Sequoia

Mortgage

Trust

Series

2018-CH3,

Class

A19,

CMO,

ARM

4.50%,

8/25/48  (1)

14‌

14‌

Starwood

Mortgage

Residential

Trust

Series

2020-1,

Class

M1,

CMO,

ARM

2.878%,

2/25/50  (1)

600‌

500‌

T.

ROWE

PRICE

Total

Return

Fund

36

Par/Shares

$

Value

(Amounts

in

000s)

Starwood

Mortgage

Residential

Trust

Series

2021-2,

Class

M1,

CMO,

ARM

2.175%,

5/25/65  (1)

2,000‌

1,527‌

Structured

Agency

Credit

Remic

Trust

Series

2023-HQA3,

Class

A1,

CMO,

ARM

SOFR30A

+

1.85%,

7.172%,

11/25/43  (1)

295‌

297‌

Structured

Agency

Credit

Risk

Debt

Notes

Series

2018-SPI2,

Class

M2,

CMO,

ARM

3.842%,

5/25/48  (1)

2‌

2‌

Verus

Securitization

Trust

Series

2019-INV3,

Class

M1,

CMO,

ARM

3.279%,

11/25/59  (1)

340‌

302‌

Verus

Securitization

Trust

Series

2021-5,

Class

M1,

CMO,

ARM

2.331%,

9/25/66  (1)

800‌

480‌

Verus

Securitization

Trust

Series

2022-4,

Class

A1,

CMO,

STEP

4.474%,

4/25/67  (1)

467‌

444‌

Verus

Securitization

Trust

Series

2023-1,

Class

A1,

CMO,

STEP

5.85%,

12/25/67  (1)

950‌

939‌

Verus

Securitization

Trust

Series

2023-3,

Class

A2,

CMO,

STEP

6.438%,

3/25/68  (1)

674‌

668‌

Vista

Point

Securitization

Trust

Series

2020-1,

Class

B1,

CMO,

ARM

5.375%,

3/25/65  (1)

330‌

310‌

WinWater

Mortgage

Loan

Trust

Series

2016-1,

Class

B3,

CMO,

ARM

3.771%,

1/20/46  (1)

511‌

466‌

27,633‌

Commercial

Mortgage-Backed

Securities

4.9%

Arbor

Multifamily

Mortgage

Securities

Trust

Series

2020-MF1,

Class

D

1.75%,

5/15/53  (1)

2,010‌

1,132‌

Arbor

Multifamily

Mortgage

Securities

Trust

Series

2020-MF1,

Class

E

1.75%,

5/15/53  (1)

580‌

304‌

BAMLL

Commercial

Mortgage

Securities

Trust

Series

2021-JACX,

Class

E,

ARM

1M

TSFR

+

3.864%,

9.187%,

9/15/38  (1)

1,155‌

917‌

BANK

Series

2019-BN21,

Class

D

2.50%,

10/17/52  (1)

1,036‌

510‌

BANK

Series

2019-BN23,

Class

A3

2.92%,

12/15/52 

835‌

717‌

T.

ROWE

PRICE

Total

Return

Fund

37

Par/Shares

$

Value

(Amounts

in

000s)

BBCMS

Mortgage

Trust

Series

2019-BWAY,

Class

D,

ARM

1M

TSFR

+

2.274%,

7.597%,

11/15/34  (1)

365‌

128‌

BBCMS

Mortgage

Trust

Series

2020-BID,

Class

A,

ARM

1M

TSFR

+

2.254%,

7.577%,

10/15/37  (1)

375‌

364‌

Benchmark

Mortgage

Trust

Series

2021-B24,

Class

A5

2.584%,

3/15/54 

1,430‌

1,119‌

Benchmark

Mortgage

Trust

Series

2023-V3,

Class

A3,

ARM

6.363%,

7/15/56 

2,600‌

2,661‌

BFLD

Series

2019-DPLO,

Class

B,

ARM

1M

TSFR

+

1.454%,

6.777%,

10/15/34  (1)

1,780‌

1,763‌

BMARK

Series

2023-V4,

Class

A3,

ARM

6.841%,

11/15/56 

1,345‌

1,404‌

BPR

Trust

Series

2021-TY,

Class

C,

ARM

1M

TSFR

+

1.814%,

7.137%,

9/15/38  (1)

635‌

604‌

BX

Commercial

Mortgage

Trust

Series

2022-CSMO,

Class

B,

ARM

1M

TSFR

+

3.141%,

8.464%,

6/15/27  (1)

1,590‌

1,587‌

BX

Trust

Series

2021-VIEW,

Class

F,

ARM

1M

TSFR

+

4.044%,

9.367%,

6/15/36  (1)

1,195‌

1,052‌

Cantor

Commercial

Real

Estate

Lending

Series

2019-CF1,

Class

A5

3.786%,

5/15/52 

1,770‌

1,582‌

CD

Mortgage

Trust

Series

2017-CD6,

Class

A5

3.456%,

11/13/50 

515‌

470‌

Citigroup

Commercial

Mortgage

Trust

Series

2013-375P,

Class

C,

ARM

3.635%,

5/10/35  (1)

270‌

242‌

Citigroup

Commercial

Mortgage

Trust

Series

2015-GC27,

Class

AS

3.571%,

2/10/48 

95‌

91‌

Citigroup

Commercial

Mortgage

Trust

Series

2019-C7,

Class

805B,

ARM

3.917%,

12/15/72  (1)

1,420‌

676‌

Citigroup

Commercial

Mortgage

Trust

Series

2019-GC43,

Class

A4

3.038%,

11/10/52 

2,850‌

2,417‌

Commercial

Mortgage

Trust

Series

2014-CR19,

Class

E,

ARM

4.284%,

8/10/47  (1)

380‌

304‌

T.

ROWE

PRICE

Total

Return

Fund

38

Par/Shares

$

Value

(Amounts

in

000s)

Commercial

Mortgage

Trust

Series

2015-CR22,

Class

C,

ARM

4.203%,

3/10/48 

870‌

771‌

Commercial

Mortgage

Trust

Series

2015-LC23,

Class

A4

3.774%,

10/10/48 

440‌

420‌

Commercial

Mortgage

Trust

Series

2016-CR28,

Class

AHR

3.651%,

2/10/49 

180‌

173‌

Commercial

Mortgage

Trust

Series

2016-CR28,

Class

B,

ARM

4.759%,

2/10/49 

1,130‌

1,031‌

CSAIL

Commercial

Mortgage

Trust

Series

2016-C6,

Class

A5

3.09%,

1/15/49 

215‌

200‌

CSAIL

Commercial

Mortgage

Trust

Series

2017-C8,

Class

C,

ARM

4.43%,

6/15/50 

465‌

360‌

CSAIL

Commercial

Mortgage

Trust

Series

2019-C18,

Class

C,

ARM

4.086%,

12/15/52 

645‌

477‌

Eleven

Madison

Mortgage

Trust

Series

2015-11MD,

Class

A,

ARM

3.673%,

9/10/35  (1)

285‌

254‌

Great

Wolf

Trust

Series

2019-WOLF,

Class

A,

ARM

1M

TSFR

+

1.148%,

6.471%,

12/15/36  (1)

300‌

298‌

GS

Mortgage

Securities

Trust

Series

2016-GS4,

Class

A3

3.178%,

11/10/49 

1,300‌

1,211‌

GS

Mortgage

Securities

Trust

Series

2017-GS7,

Class

A4

3.43%,

8/10/50 

2,605‌

2,348‌

GS

Mortgage

Securities

Trust

Series

2017-GS8,

Class

D

2.70%,

11/10/50  (1)

1,025‌

678‌

ILPT

Commercial

Mortgage

Trust

Series

2022-LPFX,

Class

C,

ARM

3.951%,

3/15/32  (1)

1,595‌

1,267‌

JPMorgan

Chase

Commercial

Mortgage

Securities

Trust

Series

2016-NINE,

Class

B,

ARM

2.949%,

9/6/38  (1)

1,015‌

880‌

JPMorgan

Chase

Commercial

Mortgage

Securities

Trust

Series

2018-WPT,

Class

CFX

4.95%,

7/5/33  (1)

195‌

148‌

JPMorgan

Chase

Commercial

Mortgage

Securities

Trust

Series

2019-BKWD,

Class

C,

ARM

1M

TSFR

+

2.214%,

7.537%,

9/15/29  (1)

280‌

219‌

T.

ROWE

PRICE

Total

Return

Fund

39

Par/Shares

$

Value

(Amounts

in

000s)

Morgan

Stanley

Bank

of

America

Merrill

Lynch

Trust

Series

2015-C24,

Class

AS,

ARM

4.036%,

5/15/48 

308‌

291‌

Morgan

Stanley

Capital

I

Trust

Series

2015-MS1,

Class

AS,

ARM

4.157%,

5/15/48 

35‌

33‌

Wells

Fargo

Commercial

Mortgage

Trust

Series

2015-NXS2,

Class

A2

3.02%,

7/15/58 

12‌

11‌

Wells

Fargo

Commercial

Mortgage

Trust

Series

2019-C54,

Class

A4

3.146%,

12/15/52 

1,945‌

1,685‌

32,799‌

Total

Non-U.S.

Government

Mortgage-Backed

Securities

(Cost

$69,524)

60,432‌

U.S.

GOVERNMENT

&

AGENCY

MORTGAGE-BACKED

SECURITIES

29.1%

U.S.

Government

Agency

Obligations

21.6%

Federal

Home

Loan

Mortgage 

2.50%,

5/1/30 

96‌

90‌

3.00%,

4/1/47

-

1/1/48 

122‌

106‌

3.50%,

8/1/42

-

3/1/46 

3,465‌

3,169‌

4.00%,

8/1/40

-

1/1/46 

271‌

255‌

4.50%,

6/1/39

-

5/1/42 

127‌

123‌

5.00%,

7/1/25

-

8/1/40 

44‌

43‌

5.50%,

10/1/38

-

1/1/40 

31‌

31‌

6.00%,

10/1/32

-

8/1/38 

12‌

13‌

6.50%,

6/1/24

-

4/1/37 

57‌

59‌

7.00%,

2/1/24

-

6/1/32 

—‌

—‌

Federal

Home

Loan

Mortgage,

ARM 

1Y

CMT

+

2.245%,

4.821%,

1/1/36 

1‌

1‌

1Y

CMT

+

2.25%,

5.926%,

10/1/36 

—‌

—‌

1Y

CMT

+

2.347%,

5.251%,

11/1/34 

3‌

3‌

RFUCCT1Y

+

1.726%,

5.939%,

7/1/35 

—‌

—‌

RFUCCT1Y

+

1.75%,

4.125%,

2/1/35 

—‌

—‌

RFUCCT1Y

+

1.823%,

5.624%,

3/1/36 

2‌

2‌

RFUCCT1Y

+

1.842%,

4.091%,

1/1/37 

1‌

1‌

RFUCCT1Y

+

1.918%,

4.292%,

2/1/37 

1‌

1‌

RFUCCT1Y

+

1.93%,

4.187%,

12/1/36 

—‌

1‌

RFUCCT1Y

+

2.031%,

5.049%,

11/1/36 

1‌

1‌

Federal

Home

Loan

Mortgage,

CMO,

IO,

4.50%,

5/25/50 

287‌

56‌

Federal

Home

Loan

Mortgage,

CMO,

PO,

Zero

Coupon,

8/15/28 

—‌

—‌

Federal

Home

Loan

Mortgage,

UMBS 

1.50%,

4/1/37 

372‌

315‌

T.

ROWE

PRICE

Total

Return

Fund

40

Par/Shares

$

Value

(Amounts

in

000s)

2.00%,

8/1/36

-

4/1/52 

10,547‌

8,353‌

2.50%,

3/1/42

-

4/1/52 

20,097‌

16,357‌

3.00%,

5/1/31

-

6/1/52 

13,332‌

11,336‌

3.50%,

5/1/33

-

6/1/35 

532‌

512‌

4.00%,

12/1/49

-

2/1/50 

548‌

506‌

4.50%,

5/1/50

-

12/1/52 

784‌

736‌

5.00%,

12/1/41

-

5/1/53 

1,152‌

1,113‌

5.50%,

8/1/53 

1,460‌

1,439‌

6.00%,

2/1/53 

686‌

695‌

Federal

National

Mortgage

Assn. 

3.00%,

6/1/33

-

8/1/46 

56‌

49‌

Federal

National

Mortgage

Assn.,

ARM 

RFUCCT1Y

+

1.34%,

3.59%,

12/1/35 

1‌

1‌

RFUCCT1Y

+

1.553%,

5.241%,

7/1/35 

—‌

—‌

RFUCCT1Y

+

1.579%,

5.546%,

11/1/35 

2‌

2‌

RFUCCT1Y

+

1.584%,

4.499%,

12/1/35 

2‌

2‌

RFUCCT1Y

+

1.655%,

5.905%,

8/1/37 

—‌

—‌

RFUCCT1Y

+

1.70%,

5.95%,

11/1/37 

2‌

2‌

RFUCCT1Y

+

1.77%,

4.145%,

12/1/35 

—‌

—‌

RFUCCT1Y

+

1.869%,

6.119%,

8/1/36 

1‌

1‌

RFUCCT1Y

+

1.892%,

4.779%,

12/1/35 

1‌

1‌

RFUCCT1Y

+

2.04%,

4.29%,

12/1/36 

—‌

1‌

Federal

National

Mortgage

Assn.,

CMO,

IO,

6.50%,

2/25/32 

—‌

—‌

Federal

National

Mortgage

Assn.,

UMBS 

1.50%,

11/1/36

-

1/1/42 

4,834‌

4,043‌

2.00%,

5/1/36

-

4/1/52 

35,546‌

28,157‌

2.50%,

5/1/30

-

9/1/52 

18,360‌

15,345‌

3.00%,

1/1/27

-

7/1/52 

9,107‌

8,023‌

3.50%,

4/1/31

-

10/1/52 

8,364‌

7,487‌

4.00%,

11/1/37

-

9/1/52 

8,541‌

7,832‌

4.50%,

7/1/39

-

10/1/52 

5,404‌

5,102‌

5.00%,

2/1/24

-

9/1/53 

1,670‌

1,636‌

5.50%,

12/1/33

-

10/1/53 

4,619‌

4,558‌

6.00%,

11/1/32

-

9/1/53 

5,545‌

5,593‌

6.50%,

7/1/32

-

1/1/53 

2,618‌

2,666‌

7.00%,

7/1/29 

—‌

—‌

7.50%,

6/1/28 

—‌

—‌

UMBS,

TBA  (13)

2.00%,

12/1/38 

3,092‌

2,700‌

3.00%,

12/1/38 

345‌

318‌

3.50%,

12/1/53 

1,920‌

1,684‌

5.00%,

12/1/53 

4,655‌

4,479‌

144,999‌

U.S.

Government

Obligations

7.5%

Government

National

Mortgage

Assn. 

2.00%,

7/20/51

-

3/20/52 

2,864‌

2,312‌

T.

ROWE

PRICE

Total

Return

Fund

41

Par/Shares

$

Value

(Amounts

in

000s)

2.50%,

8/20/50

-

1/20/52 

10,202‌

8,523‌

3.00%,

5/20/46

-

10/20/51 

9,769‌

8,506‌

3.50%,

9/15/41

-

2/20/48 

5,293‌

4,807‌

4.00%,

2/20/41

-

10/20/50 

2,168‌

2,027‌

4.50%,

11/20/39

-

8/20/47 

687‌

663‌

5.00%,

4/20/35

-

8/20/52 

1,545‌

1,519‌

5.50%,

10/20/32

-

3/20/49 

514‌

521‌

7.00%,

8/20/53

-

9/20/53 

513‌

527‌

Government

National

Mortgage

Assn.,

CMO 

3.00%,

11/20/47

-

12/20/47 

29‌

26‌

3.50%,

10/20/50 

460‌

366‌

Government

National

Mortgage

Assn.,

CMO,

IO 

3.50%,

3/20/43

-

5/20/43 

223‌

22‌

4.00%,

2/20/43 

20‌

2‌

Government

National

Mortgage

Assn.,

TBA  (13)

2.00%,

12/20/53 

8,775‌

7,080‌

4.00%,

12/20/53 

3,335‌

3,072‌

4.50%,

12/20/53 

2,880‌

2,723‌

5.50%,

12/20/53 

3,330‌

3,305‌

6.00%,

12/20/53 

2,790‌

2,810‌

6.50%,

12/20/53 

1,395‌

1,419‌

50,230‌

Total

U.S.

Government

&

Agency

Mortgage-Backed

Securities

(Cost

$205,839)

195,229‌

U.S.

GOVERNMENT

AGENCY

OBLIGATIONS

(EXCLUDING

MORTGAGE-BACKED)

22.7%

U.S.

Treasury

Obligations

22.7%

U.S.

Treasury

Bonds,

1.25%,

5/15/50  (14)

15,580‌

7,646‌

U.S.

Treasury

Bonds,

1.375%,

8/15/50 

9,130‌

4,638‌

U.S.

Treasury

Bonds,

1.875%,

2/15/41 

1,500‌

998‌

U.S.

Treasury

Bonds,

1.875%,

11/15/51 

3,500‌

2,027‌

U.S.

Treasury

Bonds,

2.25%,

2/15/52  (14)

10,795‌

6,875‌

U.S.

Treasury

Bonds,

2.375%,

2/15/42 

2,395‌

1,706‌

U.S.

Treasury

Bonds,

2.50%,

2/15/45 

1,480‌

1,038‌

U.S.

Treasury

Bonds,

3.00%,

8/15/52 

780‌

588‌

U.S.

Treasury

Bonds,

3.375%,

5/15/44 

1,275‌

1,047‌

U.S.

Treasury

Bonds,

3.625%,

2/15/53 

3,300‌

2,816‌

U.S.

Treasury

Bonds,

3.875%,

2/15/43 

960‌

857‌

U.S.

Treasury

Bonds,

4.00%,

11/15/42 

2,715‌

2,469‌

U.S.

Treasury

Bonds,

4.00%,

11/15/52 

3,020‌

2,760‌

U.S.

Treasury

Bonds,

4.125%,

8/15/53 

455‌

426‌

U.S.

Treasury

Bonds,

4.375%,

5/15/41 

175‌

169‌

U.S.

Treasury

Bonds,

4.375%,

8/15/43 

2,730‌

2,610‌

U.S.

Treasury

Notes,

0.25%,

9/30/25  (7)

1,500‌

1,382‌

T.

ROWE

PRICE

Total

Return

Fund

42

Par/Shares

$

Value

(Amounts

in

000s)

U.S.

Treasury

Notes,

0.25%,

10/31/25 

11,200‌

10,287‌

U.S.

Treasury

Notes,

0.375%,

12/31/25 

11,000‌

10,077‌

U.S.

Treasury

Notes,

0.625%,

5/15/30 

550‌

435‌

U.S.

Treasury

Notes,

0.625%,

8/15/30 

1,350‌

1,059‌

U.S.

Treasury

Notes,

0.75%,

4/30/26 

3,600‌

3,290‌

U.S.

Treasury

Notes,

0.875%,

9/30/26 

1,660‌

1,504‌

U.S.

Treasury

Notes,

0.875%,

11/15/30 

9,900‌

7,867‌

U.S.

Treasury

Notes,

1.375%,

11/15/31 

15,675‌

12,564‌

U.S.

Treasury

Notes,

1.50%,

2/15/30 

500‌

423‌

U.S.

Treasury

Notes,

1.875%,

2/28/27 

3,870‌

3,573‌

U.S.

Treasury

Notes,

1.875%,

2/15/32 

580‌

481‌

U.S.

Treasury

Notes,

2.25%,

8/15/27 

1,350‌

1,251‌

U.S.

Treasury

Notes,

2.25%,

11/15/27 

1,275‌

1,178‌

U.S.

Treasury

Notes,

2.50%,

1/31/24 

475‌

473‌

U.S.

Treasury

Notes,

2.75%,

7/31/27 

1,455‌

1,374‌

U.S.

Treasury

Notes,

3.00%,

7/31/24 

1,090‌

1,074‌

U.S.

Treasury

Notes,

3.50%,

1/31/28 

2,900‌

2,805‌

U.S.

Treasury

Notes,

3.625%,

3/31/28 

4,500‌

4,373‌

U.S.

Treasury

Notes,

3.75%,

6/30/30 

2,300‌

2,219‌

U.S.

Treasury

Notes,

3.875%,

11/30/27 

11,520‌

11,309‌

U.S.

Treasury

Notes,

3.875%,

8/15/33 

5,265‌

5,066‌

U.S.

Treasury

Notes,

4.00%,

7/31/30 

7,950‌

7,781‌

U.S.

Treasury

Notes,

4.125%,

9/30/27 

6,800‌

6,736‌

U.S.

Treasury

Notes,

4.125%,

11/15/32 

4,375‌

4,296‌

U.S.

Treasury

Notes,

4.50%,

11/30/24  (14)

5,230‌

5,193‌

U.S.

Treasury

Notes,

4.50%,

11/15/33 

840‌

851‌

U.S.

Treasury

Notes,

4.875%,

10/31/28 

3,500‌

3,586‌

U.S.

Treasury

Notes,

6.875%,

8/15/25 

700‌

721‌

Total

U.S.

Government

Agency

Obligations

(Excluding

Mortgage-

Backed)

(Cost

$177,659)

151,898‌

SHORT-TERM

INVESTMENTS

4.2%

Money

Market

Funds

4.2%

T.

Rowe

Price

Government

Reserve

Fund,

5.42%  (15)(16)

28,097‌

28,097‌

Total

Short-Term

Investments

(Cost

$28,097)

28,097‌

T.

ROWE

PRICE

Total

Return

Fund

43

Par/Shares

$

Value

(Amounts

in

000s)

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,

5.42%  (15)(16)

1,340‌

1,340‌

Total

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

JPMorgan

Chase

Bank

1,340‌

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,

5.42%  (15)(16)

4,688‌

4,688‌

Total

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

State

Street

Bank

and

Trust

Company

4,688‌

Total

Securities

Lending

Collateral

(Cost

$6,028)

6,028‌

(Amounts

in

000s,

except

for

contracts)

OPTIONS

PURCHASED

0.1%

OTC

Options

Purchased

0.1%

Counterparty

Description

Contracts

Notional

Amount

$

Value

Barclays

Bank

5

Year

Interest

Rate

Swap,

1/3/29

Pay

Fixed

3.90%

Annually,

Receive

Variable

5.33%

(SOFR)

Annually,

12/29/23

@

3.90%*  (5)

1‌

314‌

3‌

Barclays

Bank

Credit

Default

Swap,

Protection

Bought

(Relevant

Credit:

Markit

CDX.NA.IG-S41,

5

Year

Index,

12/20/28),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

2/21/24

@

0.80%*  (5)

1‌

201,000‌

153‌

Goldman

Sachs

Credit

Default

Swap,

Protection

Bought

(Relevant

Credit:

Markit

CDX.NA.IG-S41,

5

Year

Index,

12/20/28),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

2/21/24

@

1.01%*  (5)

1‌

33,600‌

144‌

JPMorgan

Chase

USD

/

EUR

Call,

12/14/23

@

EUR1.09  (5)

1‌

17,340‌

100‌

T.

ROWE

PRICE

Total

Return

Fund

44

(Amounts

in

000s,

except

for

contracts)

Counterparty

Description

Contracts

Notional

Amount

$

Value

Morgan

Stanley

5

Year

Interest

Rate

Swap,

1/3/29

Pay

Fixed

3.92%

Annually,

Receive

Variable

5.33%

(SOFR)

Annually,

1/3/29

@

3.92%*  (5)

1‌

31,300‌

246‌

Total

Options

Purchased

(Cost

$637)

646‌

Total

Investments

in

Securities

106.6%

of

Net

Assets

(Cost

$766,769)

$

714,636‌

‡

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

$177,568

and

represents

26.5%

of

net

assets.

(2)

Bank

loan

positions

may

involve

multiple

underlying

tranches.

In

those

instances,

the

position

presented

reflects

the

aggregate

of

those

respective

underlying

tranches

and

the

rate

presented

reflects

the

weighted

average

rate

of

the

settled

positions.

(3)

All

or

a

portion

of

this

loan

is

unsettled

as

of

November

30,

2023.

The

interest

rate

for

unsettled

loans

will

be

determined

upon

settlement

after

period

end.

(4)

See

Note

2.

Level

3

in

fair

value

hierarchy.

(5)

Non-income

producing

(6)

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

$1,119

and

represents

0.2%

of

net

assets.

(7)

See

Note

4

.

All

or

a

portion

of

this

security

is

on

loan

at

November

30,

2023.

(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)

Perpetual

security

with

no

stated

maturity

date.

(10)

Security

is

in

default

or

has

failed

to

make

a

scheduled

interest

and/or

principal

payment.

T.

ROWE

PRICE

Total

Return

Fund

45

.

.

.

.

.

.

.

.

.

.

(11)

Security

has

the

ability

to

pay

in-kind

or

pay

in

cash.

When

applicable,

separate

rates

of

such

payments

are

disclosed.

(12)

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.

(13)

See

Note

4

.

To-Be-Announced

purchase

commitment.

Total

value

of

such

securities

at

period-end

amounts

to

$29,590

and

represents

4.4%

of

net

assets.

(14)

At

November

30,

2023,

all

or

a

portion

of

this

security

is

pledged

as

collateral

and/or

margin

deposit

to

cover

future

funding

obligations.

(15)

Seven-day

yield

(16)

Affiliated

Companies

1M

TSFR

One

month

term

SOFR

(Secured

overnight

financing

rate)

1M

USD

LIBOR

One

month

USD

LIBOR

(London

interbank

offered

rate)

3M

EURIBOR

Three

month

EURIBOR

(Euro

interbank

offered

rate)

3M

TSFR

Three

month

term

SOFR

(Secured

overnight

financing

rate)

6M

EURIBOR

Six

month

EURIBOR

(Euro

interbank

offered

rate)

6M

TSFR

Six

month

Term

SOFR

(Secured

overnight

financing

rate)

6M

USD

LIBOR

Six

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. 

CAD

Canadian

Dollar

CLO

Collateralized

Loan

Obligation

CMO

Collateralized

Mortgage

Obligation

CORRA

Canadian

Overnight

Repo

Rate

Average

EUR

Euro

FRN

Floating

Rate

Note

GBP

British

Pound

GO

General

Obligation

HFA

Health

Facility

Authority

IO

Interest-only

security

for

which

the

fund

receives

interest

on

notional

principal

JPY

Japanese

Yen

OTC

Over-the-counter

PIK

Payment-in-kind

PO

Principal-only

security

for

which

the

fund

receives

regular

cash

flows

based

on

principal

repayments

RFUCCT1Y

Twelve

month

Refinitiv

USD

IBOR

Consumer

Cash

Fallback

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

TONA

Tokyo

overnight

average

rate

T.

ROWE

PRICE

Total

Return

Fund

46

.

.

.

.

.

.

.

.

.

.

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

47

(Amounts

in

000s)

SWAPS

(0.3)%

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)

Unrealized

$

Gain/(Loss)

BILATERAL

SWAPS

(0.2)%

Credit

Default

Swaps,

Protection

Bought

0.0%

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

16,835

248

453

(205‌)

Total

Bilateral

Credit

Default

Swaps,

Protection

Bought

453

(205‌)

Total

Return

Swaps

(0.2)%

Morgan

Stanley,

Pay

Underlying

Reference:

iBoxx

USD

Liquid

Leveraged

Loans

Total

Return

Index

at

Maturity,

Receive

Variable

5.341%

(SOFR

+

(0.00)%)

Quarterly,

12/20/23

19,400

(1,531)

—

(1,531‌)

Total

Bilateral

Total

Return

Swaps

—

(1,531‌)

Total

Bilateral

Swaps

453

(1,736‌)

Description

Notional

Amount

$

Value

Initial

$

Value

**

Unrealized

$

Gain/(Loss)

CENTRALLY

CLEARED

SWAPS

(0.1)%

Credit

Default

Swaps,

Protection

Bought

(0.2)%

Protection

Bought

(Relevant

Credit:

Beazer

Homes

USA),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/20/28

3,500

(283)

(297)

14‌

Protection

Bought

(Relevant

Credit:

Kingdom

of

Saudi

Arabia),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

12/20/28

9,549

(229)

(130)

(99‌)

Protection

Bought

(Relevant

Credit:

Lanxess),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

12/20/28

(EUR)

1,361

69

71

(2‌)

Protection

Bought

(Relevant

Credit:

State

of

Qatar),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

12/20/28

9,727

(274)

(163)

(111‌)

Protection

Bought

(Relevant

Credit:

Sultanate

of

Oman),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

12/20/28

5,000

48

159

(111‌)

T.

ROWE

PRICE

Total

Return

Fund

48

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Initial

$

Value**

Unrealized

$

Gain/(Loss)

Protection

Bought

(Relevant

Credit:

United

Arab

Emirates),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

12/20/28

4,826

(90)

(15)

(75‌)

Total

Centrally

Cleared

Credit

Default

Swaps,

Protection

Bought

(384‌)

Credit

Default

Swaps,

Protection

Sold

0.1%

Protection

Sold

(Relevant

Credit:

Altice

Finco,

Caa2*),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

12/20/28

(EUR)

*

170

(10)

(8)

(2‌)

Protection

Sold

(Relevant

Credit:

Cellnex

Telecom,

BB+*),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

12/20/28

(EUR)

*

1,141

217

202

15‌

Protection

Sold

(Relevant

Credit:

CHS/

Community

Health

Systems,

Caa3*),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

6/20/25

*

145

(25)

(12)

(13‌)

Protection

Sold

(Relevant

Credit:

CHS/

Community

Health

Systems,

Caa3*),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

6/20/26

*

183

(57)

(8)

(49‌)

Protection

Sold

(Relevant

Credit:

CHS/

Community

Health

Systems,

Caa3*),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

12/20/26

*

210

(76)

(8)

(68‌)

Protection

Sold

(Relevant

Credit:

Markit

CDX.NA.IG-S41,

5

Year

Index),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

12/20/28

*

19,038

358

194

164‌

Total

Centrally

Cleared

Credit

Default

Swaps,

Protection

Sold

47‌

Interest

Rate

Swaps

(0.0)%

2

Year

Interest

Rate

Swap,

Receive

Fixed

4.721%

Semi-Annually,

Pay

Variable

5.020%

(CORRA)

Semi-Annually,

10/27/25

(CAD)

93,890

551

—

551‌

5

Year

Interest

Rate

Swap,

Pay

Fixed

0.418%

Annually,

Receive

Variable

(0.036)%

(JPY

TONA)

Annually,

8/10/28

(JPY)

5,880,000

72

—

72‌

5

Year

Interest

Rate

Swap,

Receive

Fixed

2.931%

Annually,

Pay

Variable

(6M

EURIBOR)

Semi-Annually,

12/1/28

(EUR)

22,763

4

—

4‌

T.

ROWE

PRICE

Total

Return

Fund

49

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Initial

$

Value**

Unrealized

$

Gain/(Loss)

10

Year

Interest

Rate

Swap,

Pay

Fixed

4.169%

Semi-Annually,

Receive

Variable

5.020%

(CORRA)

Semi-Annually,

10/27/33

(CAD)

22,600

(775)

—

(775‌)

30

Year

Interest

Rate

Swap,

Pay

Fixed

2.753%

Annually,

Receive

Variable

(6M

EURIBOR)

Semi-Annually,

12/1/53

(EUR)

4,685

(10)

—

(10‌)

Total

Centrally

Cleared

Interest

Rate

Swaps

(158‌)

Total

Centrally

Cleared

Swaps

(495‌)

Net

payments

(receipts)

of

variation

margin

to

date

553‌

Variation

margin

receivable

(payable)

on

centrally

cleared

swaps

$

58‌

*

Credit

ratings

as

of

November

30,

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

$(41).

T.

ROWE

PRICE

Total

Return

Fund

50

(Amounts

in

000s)

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

Counterparty

Settlement

Receive

Deliver

Unrealized

Gain/(Loss)

Canadian

Imperial

Bank

of

Commerce

1/19/24

CAD

90‌

USD

66‌

$

—‌

Canadian

Imperial

Bank

of

Commerce

1/19/24

USD

1,009‌

CAD

1,373‌

(3‌)

JPMorgan

Chase

1/19/24

CAD

245‌

USD

178‌

2‌

Morgan

Stanley

1/19/24

USD

6,041‌

JPY

897,847‌

(64‌)

UBS

Investment

Bank

2/23/24

EUR

595‌

USD

650‌

1‌

UBS

Investment

Bank

2/23/24

USD

4,687‌

EUR

4,295‌

(6‌)

Net

unrealized

gain

(loss)

on

open

forward

currency

exchange

contracts

$

(70‌)

T.

ROWE

PRICE

Total

Return

Fund

51

FUTURES

CONTRACTS

($000s)

Expiration

Date

Notional

Amount

Value

and

Unrealized

Gain

(Loss)

Short,

2

Commonwealth

of

Australia

ten

year

bond

contracts

12/23

(149)

$

(1‌)

Short,

10

Euro

BUND

contracts

12/23

(1,440)

(45‌)

Long,

14

Government

of

Canada

ten

year

bond

contracts

3/24

1,236

9‌

Short,

14

Long

Gilt

ten

year

contracts

3/24

(1,709)

(6‌)

Long,

71

U.S.

Treasury

Long

Bond

contracts

3/24

8,267

1‌

Long,

670

U.S.

Treasury

Notes

five

year

contracts

3/24

71,591

523‌

Long,

11

U.S.

Treasury

Notes

ten

year

contracts

3/24

1,208

5‌

Short,

88

U.S.

Treasury

Notes

two

year

contracts

3/24

(17,993)

(47‌)

Long,

91

Ultra

U.S.

Treasury

Bonds

contracts

3/24

11,193

212‌

Long,

49

Ultra

U.S.

Treasury

Notes

ten

year

contracts

3/24

5,562

30‌

Net

payments

(receipts)

of

variation

margin

to

date

(1,070‌)

Variation

margin

receivable

(payable)

on

open

futures

contracts

$

(389‌)

T.

ROWE

PRICE

Total

Return

Fund

52

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

six

months

ended

November

30,

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,

5.42%

$

—‌

$

—‌

$

592‌++

Totals

$

—‌#

$

—‌

$

592‌+

Supplementary

Investment

Schedule

Affiliate

Value

05/31/23

Purchase

Cost

Sales

Cost

Value

11/30/23

T.

Rowe

Price

Government

Reserve

Fund,

5.42%

$

37,502‌

 ¤

  ¤

$

34,125‌

Total

$

34,125‌^

#

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

$592

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

$34,125.

T.

ROWE

PRICE

Total

Return

Fund

November

30,

2023

(Unaudited)

Statement

of

Assets

and

Liabilities

53

($000s,

except

shares

and

per

share

amounts)

Assets

Investments

in

securities,

at

value

(cost

$766,769)

$

714,636‌

Receivable

for

investment

securities

sold

30,747‌

Interest

and

dividends

receivable

4,445‌

Bilateral

swap

premiums

paid

453‌

Cash

276‌

Foreign

currency

(cost

$131)

131‌

Receivable

for

shares

sold

114‌

Variation

margin

receivable

on

centrally

cleared

swaps

58‌

Due

from

affiliates

8‌

Unrealized

gain

on

forward

currency

exchange

contracts

3‌

Other

assets

65‌

Total

assets

750,936‌

Liabilities

Payable

for

investment

securities

purchased

70,164‌

Obligation

to

return

securities

lending

collateral

6,028‌

Unrealized

loss

on

bilateral

swaps

1,736‌

Payable

for

shares

redeemed

633‌

Variation

margin

payable

on

futures

contracts

389‌

Investment

management

fees

payable

166‌

Unrealized

loss

on

forward

currency

exchange

contracts

73‌

Other

liabilities

1,050‌

Total

liabilities

80,239‌

NET

ASSETS

$

670,697‌

T.

ROWE

PRICE

Total

Return

Fund

November

30,

2023

(Unaudited)

Statement

of

Assets

and

Liabilities

54

($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)

$

(150,736‌)

Paid-in

capital

applicable

to

81,491,251

shares

of

$0.0001

par

value

capital

stock

outstanding;

1,000,000,000

shares

authorized

821,433‌

NET

ASSETS

$

670,697‌

NET

ASSET

VALUE

PER

SHARE

Investor

Class

(Net

assets:

$80,273;

Shares

outstanding:

9,751,994)

$

8.23‌

Advisor

Class

(Net

assets:

$723;

Shares

outstanding:

87,835)

$

8.24‌

I

Class

(Net

assets:

$589,701;

Shares

outstanding:

71,651,422)

$

8.23‌

T.

ROWE

PRICE

Total

Return

Fund

(Unaudited)

Statement

of

Operations

55

($000s)

6

Months

Ended

11/30/23

Investment

Income

(Loss)

Income

    Interest

$

17,105‌

Dividend

591‌

Securities

lending

23‌

Total

income

17,719‌

Expenses

Investment

management

1,020‌

Shareholder

servicing

Investor

Class

$

88‌

Advisor

Class

1‌

I

Class

15‌

104‌

Rule

12b-1

fees

Advisor

Class

1‌

Prospectus

and

shareholder

reports

Investor

Class

8‌

I

Class

4‌

12‌

Custody

and

accounting

129‌

Registration

51‌

Legal

and

audit

26‌

Proxy

and

annual

meeting

6‌

Directors

1‌

Miscellaneous

15‌

Waived

/

paid

by

Price

Associates

(215‌)

Total

expenses

1,150‌

Net

investment

income

16,569‌

T.

ROWE

PRICE

Total

Return

Fund

(Unaudited)

Statement

of

Operations

56

($000s)

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

6

Months

Ended

11/30/23

Realized

and

Unrealized

Gain

/

Loss

–

Net

realized

gain

(loss)

Securities

(17,238‌)

Futures

(6,981‌)

Swaps

(1,724‌)

Options

written

134‌

Forward

currency

exchange

contracts

(851‌)

Foreign

currency

transactions

(15‌)

Net

realized

loss

(26,675‌)

Change

in

net

unrealized

gain

/

loss

Securities

5,508‌

Futures

20‌

Swaps

(755‌)

Options

written

(140‌)

Forward

currency

exchange

contracts

(655‌)

Other

assets

and

liabilities

denominated

in

foreign

currencies

(20‌)

Change

in

net

unrealized

gain

/

loss

3,958‌

Net

realized

and

unrealized

gain

/

loss

(22,717‌)

DECREASE

IN

NET

ASSETS

FROM

OPERATIONS

$

(6,148‌)

T.

ROWE

PRICE

Total

Return

Fund

(Unaudited)

Statement

of

Changes

in

Net

Assets

57

($000s)

6

Months

Ended

11/30/23

Year

Ended

5/31/23

Increase

(Decrease)

in

Net

Assets

Operations

Net

investment

income

$

16,569‌

$

26,918‌

Net

realized

loss

(26,675‌)

(42,241‌)

Change

in

net

unrealized

gain

/

loss

3,958‌

(7,912‌)

Decrease

in

net

assets

from

operations

(6,148‌)

(23,235‌)

Distributions

to

shareholders

Net

earnings

Investor

Class

(2,127‌)

(3,793‌)

Advisor

Class

(18‌)

(34‌)

I

Class

(15,255‌)

(23,758‌)

Tax

return

of

capital

–

–

Investor

Class

–‌

(49‌)

Advisor

Class

–‌

–‌

(1)

I

Class

–‌

(330‌)

Decrease

in

net

assets

from

distributions

(17,400‌)

(27,964‌)

Capital

share

transactions

*

Shares

sold

Investor

Class

14,043‌

60,508‌

I

Class

33,417‌

135,433‌

Distributions

reinvested

Investor

Class

2,085‌

3,753‌

Advisor

Class

18‌

34‌

I

Class

11,649‌

18,275‌

Shares

redeemed

Investor

Class

(22,312‌)

(60,326‌)

Advisor

Class

(92‌)

(110‌)

I

Class

(29,692‌)

(61,837‌)

Increase

in

net

assets

from

capital

share

transactions

9,116‌

95,730‌

T.

ROWE

PRICE

Total

Return

Fund

(Unaudited)

Statement

of

Changes

in

Net

Assets

58

($000s)

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

6

Months

Ended

11/30/23

Year

Ended

5/31/23

Net

Assets

Increase

(decrease)

during

period

(14,432‌)

44,531‌

Beginning

of

period

685,129‌

640,598‌

End

of

period

$

670,697‌

$

685,129‌

*Share

information

(000s)

Shares

sold

Investor

Class

1,709‌

6,910‌

I

Class

4,137‌

15,622‌

Distributions

reinvested

Investor

Class

253‌

435‌

Advisor

Class

2‌

4‌

I

Class

1,414‌

2,115‌

Shares

redeemed

Investor

Class

(2,715‌)

(6,939‌)

Advisor

Class

(11‌)

(12‌)

I

Class

(3,617‌)

(7,138‌)

Increase

in

shares

outstanding

1,172‌

10,997‌

(1)

Amount

represents

less

than

$1,000.

T.

ROWE

PRICE

Total

Return

Fund

Unaudited

NOTES

TO

FINANCIAL

STATEMENTS

59

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.

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

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. 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

T.

ROWE

PRICE

Total

Return

Fund

60

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.

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

T.

ROWE

PRICE

Total

Return

Fund

61

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;

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:

T.

ROWE

PRICE

Total

Return

Fund

62

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

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.

T.

ROWE

PRICE

Total

Return

Fund

63

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

64

Valuation

Inputs

  The

following

table

summarizes

the

fund’s

financial

instruments,

based

on

the

inputs

used

to

determine

their

fair

values

on

November

30,

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

$

—‌

$

644,112‌

$

—‌

$

644,112‌

Bank

Loans

—‌

33,802‌

618‌

34,420‌

Common

Stocks

1‌

—‌

—‌

1‌

Convertible

Preferred

Stocks

—‌

213‌

1,119‌

1,332‌

Short-Term

Investments

28,097‌

—‌

—‌

28,097‌

Securities

Lending

Collateral

6,028‌

—‌

—‌

6,028‌

Options

Purchased

—‌

646‌

—‌

646‌

Total

Securities

34,126‌

678,773‌

1,737‌

714,636‌

Swaps*

—‌

1,068‌

—‌

1,068‌

Forward

Currency

Exchange

Contracts

—‌

3‌

—‌

3‌

Futures

Contracts*

780‌

—‌

—‌

780‌

Total

$

34,906‌

$

679,844‌

$

1,737‌

$

716,487‌

Liabilities

Swaps*

$

—‌

$

2,846‌

$

—‌

$

2,846‌

Forward

Currency

Exchange

Contracts

—‌

73‌

—‌

73‌

Futures

Contracts*

99‌

—‌

—‌

99‌

Total

$

99‌

$

2,919‌

$

—‌

$

3,018‌

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

65

NOTE

3

-

DERIVATIVE

INSTRUMENTS 

During

the

six

months ended

November

30,

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

November

30,

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

66

($000s)

Location

on

Statement

of

Assets

and

Liabilities

Fair

Value*

Assets

Interest

rate

derivatives

Centrally

Cleared

Swaps

,

Futures

,

Securities^

$

1,656‌

Foreign

exchange

derivatives

Forwards

,

Securities^

103‌

Credit

derivatives

Bilateral

Swaps

and

Premiums

,

Centrally

Cleared

Swaps

,

Securities^

738‌

^

,*

Total

$

2,497‌

^

,*

Liabilities

Interest

rate

derivatives

Centrally

Cleared

Swaps,

Futures

$

884‌

Foreign

exchange

derivatives

Forwards

73‌

Credit

derivatives

Bilateral

Swaps

and

Premiums

,

Centrally

Cleared

Swaps

2,061‌

Total

$

3,018‌

*

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

67

Additionally,

the

amount

of

gains

and

losses

on

derivative

instruments

recognized

in

fund

earnings

during

the

six

months ended

November

30,

2023,

and

the

related

location

on

the

accompanying

Statement

of

Operations

is

summarized

in

the

following

table

by

primary

underlying

risk

exposure: 

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

($000s)                                               

Location

of

Gain

(Loss)

on

Statement

of

Operations

Securities^

Options

Written

Futures

Forward

Currency

Exchange

Contracts

Swaps

Total

Realized

Gain

(Loss)

Interest

rate

derivatives

$

510‌

$

81‌

$

(6,981‌)

$

—‌

$

(1,190‌)

$

(7,580‌)

Foreign

exchange

derivatives

(154‌)

—‌

—‌

(851‌)

—‌

(1,005‌)

Credit

derivatives

(418‌)

53‌

—‌

—‌

(534‌)

(899‌)

Total

$

(62‌)

$

134‌

$

(6,981‌)

$

(851‌)

$

(1,724‌)

$

(9,484‌)

Change

in

Unrealized

Gain

(Loss)

Interest

rate

derivatives

$

53‌

$

(140‌)

$

20‌

$

—‌

$

89‌

$

22‌

Foreign

exchange

derivatives

(29‌)

—‌

—‌

(655‌)

—‌

(684‌)

Credit

derivatives

237‌

—‌

—‌

—‌

(844‌)

(607‌)

Total

$

261‌

$

(140‌)

$

20‌

$

(655‌)

$

(755‌)

$

(1,269‌)

^

Options

purchased

are

reported

as

securities.

T.

ROWE

PRICE

Total

Return

Fund

68

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

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

T.

ROWE

PRICE

Total

Return

Fund

69

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

November

30,

2023,

securities

valued

at $1,356,000 had

been

pledged

or

posted

by

the

fund

to

counterparties

for

bilateral

derivatives. As

of

November

30,

2023,

no

collateral

was

pledged

by

counterparties

to

the

fund

for

bilateral

derivatives. As

of

November

30,

2023,

securities

valued

at $5,899,000

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.

When

a

contract

is

closed,

a

realized

gain

or

loss

is

recorded

on

the

accompanying

Statement

of

Operations.

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

six

months ended

November

30,

2023,

the

volume

of

the

fund’s

activity

in

forwards,

based

on

underlying

notional

amounts,

was

generally

between

1%

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

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

T.

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Total

Return

Fund

70

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.

When

a

contract

is

closed,

a

realized

gain

or

loss

is

recorded

on

the

accompanying

Statement

of

Operations.

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

six

months ended

November

30,

2023,

the

volume

of

the

fund’s

activity

in

futures,

based

on

underlying

notional

amounts,

was

generally

between

16%

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.

The

fund

may

buy

or

sell

options

that

can

be

settled

either

directly

with

the

counterparty

(OTC

option)

or

through

a

central

clearinghouse

(exchange-traded

option).

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

on

the

accompanying

Statement

of

Operations;

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

on

the

accompanying

Statement

of

Operations.

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

T.

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Total

Return

Fund

71

swap

contract

on

predefined

terms.

The

exercise

price

of

an

option

on

a

credit

default

swap

is

stated

in

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

six

months ended

November

30,

2023,

the

volume

of

the

fund’s

activity

in

options,

based

on

underlying

notional

amounts,

was

generally

between

14%

and

43%

of

net

assets.

Swaps

 The

fund

is

subject

to

interest

rate

risk

and

credit

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

on

the

accompanying

Statement

of

Operations 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

on

the

accompanying

Statement

of

Operations.

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

on

the

accompanying

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.

T.

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PRICE

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Return

Fund

72

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

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

November

30,

2023,

the

notional

amount

of

protection

sold

by

the

fund

totaled $21,003,000

(3.1%

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.

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

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. 

T.

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PRICE

Total

Return

Fund

73

During

the

six

months ended

November

30,

2023,

the

volume

of

the

fund’s

activity

in

swaps,

based

on

underlying

notional

amounts,

was

generally

between

21%

and

37%

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

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.

T.

ROWE

PRICE

Total

Return

Fund

74

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”

the

transaction,

and/or

may

use

TBA

transactions

to

gain

or

reduce

interim

exposure

to

underlying

securities.

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

T.

ROWE

PRICE

Total

Return

Fund

75

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

November

30,

2023,

securities

valued

at

$130,000 had

been

posted

by

the

fund

to

counterparties

for

MSFTA

Transactions. Collateral

pledged

by

counterparties

to

the

fund

for

MSFTA

Transactions

consisted

of $107,000

cash

and

securities

valued

at

$838,000

as

of

November

30,

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

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

T.

ROWE

PRICE

Total

Return

Fund

76

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.

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

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

November

30,

2023,

the

value

of

loaned

securities

was

$5,642,000;

including

securities

sold

but

not

yet

settled,

which

are

not

reflected

in

the

accompanying

Portfolio

of

Investments;

the

value

of

cash

collateral

and

related

investments

was

$6,028,000.

T.

ROWE

PRICE

Total

Return

Fund

77

Other

Purchases

and

sales

of

portfolio

securities

other

than

short-term and

U.S.

government

securities

aggregated $179,830,000 and

$200,689,000,

respectively,

for

the

six

months ended

November

30,

2023.

Purchases

and

sales

of

U.S.

government

securities

aggregated

$1,029,940,000 and

$1,084,145,000,

respectively,

for

the

six

months ended

November

30,

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.

Financial

reporting

records

are

adjusted

for

permanent

book/

tax

differences

to

reflect

tax

character

but

are

not

adjusted

for

temporary

differences.

The

amount

and

character

of

tax-basis

distributions

and

composition

of

net

assets

are

finalized

at

fiscal

year-end;

accordingly,

tax-basis

balances

have

not

been

determined

as

of

the

date

of

this

report. 

The

fund

intends

to

retain

realized

gains

to

the

extent

of

available

capital

loss

carryforwards.

Net

realized

capital

losses

may

be

carried

forward

indefinitely

to

offset

future

realized

capital

gains.

As

of

May

31,

2023,

the

fund

had

$65,444,000

of

available

capital

loss

carryforwards.

At

November

30,

2023,

the

cost

of

investments

(including

derivatives,

if

any)

for

federal

income

tax

purposes

was

$767,704,000.

Net

unrealized

loss

aggregated

$54,254,000

at

period-end,

of

which

$6,184,000

related

to

appreciated

investments

and

$60,438,000

related

to

depreciated

investments.

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

T.

ROWE

PRICE

Total

Return

Fund

78

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

November

30,

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)

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

six

months ended November

30,

2023

as

indicated

in

the

table

below.

Including these

amounts,

expenses

previously

waived/paid

by

Price

Associates

in

the

amount

of $1,148,000 remain

subject

to

repayment

by

the

fund

at

November

30,

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.

T.

ROWE

PRICE

Total

Return

Fund

79

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

six

months

ended

November

30,

2023,

expenses

incurred

pursuant

to

these

service

agreements

were

$56,000

for

Price

Associates;

$57,000

for

T.

Rowe

Price

Services,

Inc.;

and

less

than

$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.

T.

Rowe

Price

Investment

Services,

Inc.

(Investment

Services)

serves

as

distributor

to

the

fund.

Pursuant

to

an

underwriting

agreement,

no

compensation

for

any

distribution

services

provided

is

paid

to

Investment

Services

by

the

fund

(except

for

12b-1

fees

under

a

Board-approved

Rule

12b-1

plan).

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

Investor

Class

Advisor

Class

I

Class

Expense

limitation/I

Class

Limit

0.46%

0.75%

0.02%

Expense

limitation

date

09/30/25

09/30/25

09/30/25

(Waived)/repaid

during

the

period

($000s)

$(60)

$—

(1)

$(155)

(1)

Amount

rounds

to

less

than

$1,000

T.

ROWE

PRICE

Total

Return

Fund

80

the

independent

current

market

price

of

the

security.

During

the

six

months

ended

November

30,

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

and

conflict,

terrorism,

geopolitical

events,

and

public

health

epidemics 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.

The

global

outbreak

of

COVID-19

and

the

related

governmental

and

public

responses

have

led

and

may

continue

to

lead

to

increased

market

volatility

and

the

potential

for

illiquidity

in

certain

classes

of

securities

and

sectors

of

the

market

either

in

specific

countries

or

worldwide.

In

February

2022,

Russian

forces

entered

Ukraine

and

commenced

an

armed

conflict,

leading

to

economic

sanctions imposed

on

Russia

that

target certain

of

its

citizens

and

issuers

and

sectors

of

the

Russian

economy,

creating

impacts

on

Russian-related

stocks

and

debt

and

greater

volatility

in

global

markets.

In

March

2023,

the

banking

industry

experienced

heightened

volatility,

which

sparked

concerns

of

potential

broader

adverse

market

conditions.

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

81

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.

RESULTS

OF

PROXY

VOTING

A

Special

Meeting

of

Shareholders

was

held

on

July

24,

2023

for

shareholders

of

record

on

April

7,

2023,

to

elect

the

following

director-nominees

to

serve

on

the

Board

of

all

Price

Funds.

The

newly

elected

Directors

took

office

effective

July

24,

2023.

The

results

of

the

voting

were

as

follows:

Teresa

Bryce

Bazemore,

Bruce

W.

Duncan,

Robert

J.

Gerrard,

Jr.,

Paul

F.

McBride

and

David

Oestreicher

continue

to

serve

as

Directors

on

the

Board

of

all

Price

Funds.

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

.

Votes

For

Votes

Withheld

Melody

Bianchetto

35,485,392

205,710

Mark

J.

Parrell

35,513,743

243,702

Kellye

L.

Walker

35,486,851

202,778

Eric

L.

Veiel

35,144,327

613,118

T.

ROWE

PRICE

Total

Return

Fund

82

TAILORED

SHAREHOLDER

REPORTS

FOR

MUTUAL

FUNDS

AND

EXCHANGE

TRADED

FUNDS

In

October

2022,

the

Securities

and

Exchange

Commission

(SEC)

adopted

rule

and

form

amendments

requiring

Mutual

Funds

and

Exchange-Traded

Funds

to

transmit

concise

and

visually

engaging

streamlined

annual

and

semiannual

reports

that

highlight

key

information

to

shareholders.

Other

information,

including

financial

statements,

will

no

longer

appear

in

the

funds’

shareholder

reports

but

will

be

available

online,

delivered

free

of

charge

upon

request,

and

filed

on

a

semiannual

basis

on

Form

N-CSR.

The

rule

and

form

amendments

have

a

compliance

date

of

July

24,

2024.

T.

ROWE

PRICE

Total

Return

Fund

83

LIQUIDITY

RISK

MANAGEMENT

PROGRAM

In accordance

with

Rule

22e-4

(Liquidity

Rule)

under

the

Investment

Company

Act

of

1940,

as

amended,

the

fund

has

established

a

liquidity

risk

management

program

(Liquidity

Program)

reasonably

designed

to

assess

and

manage

the

fund’s

liquidity

risk,

which

generally

represents

the

risk

that

the

fund

would

not

be

able

to

meet

redemption

requests

without

significant

dilution

of

remaining

investors’

interests

in

the

fund.

The

fund’s

Board

of

Directors

(Board)

has

appointed

the

fund’s

investment

adviser,

T.

Rowe

Price

Associates,

Inc.

(Adviser),

as

the

administrator

of

the

Liquidity

Program.

As

administrator,

the

Adviser

is

responsible

for

overseeing

the

day-to-day

operations

of

the

Liquidity

Program

and,

among

other

things,

is

responsible

for

assessing,

managing,

and

reviewing

with

the

Board

at

least

annually

the

liquidity

risk

of

each

T.

Rowe

Price

fund.

The

Adviser

has

delegated

oversight

of

the

Liquidity

Program

to

a

Liquidity

Risk

Committee

(LRC),

which

is

a

cross-functional

committee

composed

of

personnel

from

multiple

departments

within

the

Adviser.

The

Liquidity

Program’s

principal

objectives

include

supporting

the

T.

Rowe

Price

funds’

compliance

with

limits

on

investments

in

illiquid

assets

and

mitigating

the

risk

that

the

fund

will

be

unable

to

timely

meet

its

redemption

obligations.

The

Liquidity

Program

also

includes

a

number

of

elements

that

support

the

management

and

assessment

of

liquidity

risk,

including

an

annual

assessment

of

factors

that

influence

the

fund’s

liquidity

and

the

periodic

classification

and

reclassification

of

a

fund’s

investments

into

categories

that

reflect

the

LRC’s

assessment

of

their

relative

liquidity

under

current

market

conditions.

Under

the

Liquidity

Program,

every

investment

held

by

the

fund

is

classified

at

least

monthly

into

one

of

four

liquidity

categories

based

on

estimations

of

the

investment’s

ability

to

be

sold

during

designated

time

frames

in

current

market

conditions

without

significantly

changing

the

investment’s

market

value.

As

required

by

the

Liquidity

Rule,

at

a

meeting

held

on

July

24,

2023,

the

Board

was

presented

with

an

annual

assessment

that

was

prepared

by

the

LRC

on

behalf

of

the

Adviser

and

addressed

the

operation

of

the

Liquidity

Program

and

assessed

its

adequacy

and

effectiveness

of

implementation,

including

any

material

changes

to

the

Liquidity

Program

and

the

determination

of

each

fund’s

Highly

Liquid

Investment

Minimum

(HLIM).

The

annual

assessment

included

consideration

of

the

following

factors,

as

applicable:

the

fund’s

investment

strategy

and

liquidity

of

portfolio

investments

during

normal

and

reasonably

foreseeable

stressed

conditions,

including

whether

the

investment

strategy

is

appropriate

for

an

open-end

fund,

the

extent

to

which

the

strategy

involves

a

relatively

concentrated

portfolio

or

large

positions

in

particular

issuers,

and

the

use

of

borrowings

for

investment

purposes

and

derivatives;

short-term

and

long-term

cash

flow

projections

covering

both

normal

and

reasonably

foreseeable

stressed

conditions;

and

holdings

of

cash

and

cash

equivalents,

as

well

as

available

borrowing

arrangements.

T.

ROWE

PRICE

Total

Return

Fund

84

For the

fund

and

other

T.

Rowe

Price

funds,

the

annual

assessment

incorporated

a

report

related

to

a

fund’s

holdings,

shareholder

and

portfolio

concentration,

any

borrowings

during

the

period,

cash

flow

projections,

and

other

relevant

data

for

the

period

of

April

1,

2022,

through

March

31,

2023.

The

report

described

the

methodology

for

classifying

a

fund’s

investments

(including

any

derivative

transactions)

into

one

of

four

liquidity

categories,

as

well

as

the

percentage

of

a

fund’s

investments

assigned

to

each

category.

It

also

explained

the

methodology

for

establishing

a

fund’s

HLIM

and

noted

that

the

LRC

reviews

the

HLIM

assigned

to

each

fund

no

less

frequently

than

annually.

During

the

period

covered

by

the

annual

assessment,

the

LRC

has

concluded,

and

reported

to

the

Board,

that

the

Liquidity

Program

continues

to

operate

adequately

and

effectively

and

is

reasonably

designed

to

assess

and

manage

the

fund’s

liquidity

risk.

LIQUIDITY

RISK

MANAGEMENT

PROGRAM

(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.

F228-051

1/24

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

Not applicable.

Item 2.   Code of Ethics.

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 is filed as an exhibit to the registrant’s annual Form N-CSR. No substantive amendments were approved or waivers were granted to this code of ethics during the registrant’s most recent fiscal half-year.

Item 3.   Audit Committee Financial Expert.

Disclosure required in registrant’s annual Form N-CSR.

Item 4.   Principal Accountant Fees and Services.

Disclosure required in registrant’s annual Form N-CSR.

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 filed with the registrant’s annual Form N-CSR.
(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	January 19, 2024

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	January 19, 2024

By	/s/ Alan S. Dupski
	Alan S. Dupski
	Principal Financial Officer
Date	January 19, 2024