T. Rowe Price Multi-Strategy Total Return Fund - Investor Class (TMSRX) N-CSR Certified annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number: 811-23261

T. Rowe Price Multi-Strategy 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: October 31

Date of reporting period: October 31, 2022

Item 1. Reports to Shareholders

(a) Report pursuant to Rule 30e-1

Highlights

and

Market

Commentary

Management’s

Discussion

of

Fund

Performance

Performance

and

Expenses

Financial

Highlights

Portfolio

of

Investments

Financial

Statements

and

Notes

Additional

Fund

Information

October

31,

2022

Annual

Report

For

more

insights

from

T.

Rowe

Price

investment

professionals,

go

to

troweprice.com

. 

T.

ROWE

PRICE

TMSRX

Multi-Strategy

Total

Return

Fund

–

.

TMSSX

Multi-Strategy

Total

Return

Fund–

.

I Class

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

HIGHLIGHTS

The

Multi-Strategy

Total

Return

Fund

declined

and

underperformed

the

ICE

Bank

of

America

U.S.

3-Month

Treasury

Bill

Index

for

the

12-month

period

ended

October

31,

2022.

Within

the

underlying

components,

the

Macro

and

Absolute

Return

Strategy,

Global

Stock

Strategy,

and

Sector

Strategies

detracted

from

relative

performance.

However,

our

equity

and

fixed

income

hedges

and

the

Fixed

Income

Absolute

Return

Strategy

added

value.

Our

current

positioning

is

characterized

by

subdued

risk

appetite

against

a

turbulent

market

backdrop.

Overall,

we

have

targeted

a

lower

level

of

exposure

to

broader

markets

relative

to

the

fund’s

history.

Amid

a

bear

market

that

has

dragged

down

nearly

every

asset

class,

near-term

catalysts

for

a

recovery

remain

uncertain.

We

believe

the

confluence

of

economic

and

geopolitical

uncertainty

contributes

to

an

unattractive

risk/reward

trade-off.

Log

in

to

your

account

at

troweprice.com

for

more

information.

*

Certain

mutual

fund

accounts

that

are

assessed

an

annual

account

service

fee

can

also

save

money

by

switching

to

e-delivery.

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

Market

Commentary

1

Dear

Shareholder

Nearly

all

major

global

stock

and

bond

indexes

fell

sharply

during

your

fund’s

fiscal

year,

the

12-month

period

ended

October

31,

2022,

as

investors

contended

with

persistently

high

inflation,

tightening

financial

conditions,

and

slowing

economic

and

corporate

earnings

growth.

Double-digit

losses

were

common

in

equity

markets

around

the

world,

and

bond

investors

also

faced

a

historically

tough

environment

amid

a

sharp

rise

in

interest

rates.

Value

shares

declined

but

outperformed

growth

stocks

by

a

considerable

margin

as

equity

investors

turned

risk

averse

and

as

rising

rates

put

downward

pressure

on

growth

stock

valuations.

Emerging

markets

stocks

generally

underperformed

shares

in

developed

markets.

Meanwhile,

the

U.S.

dollar

strengthened

versus

most

currencies

during

the

period,

which

weighed

on

returns

for

U.S.

investors

in

international

securities. 

Energy

was

one

of

the

few

bright

spots

for

investors,

as

oil

prices

jumped

in

response

to

Russia’s

invasion

of

Ukraine

and

the

ensuing

commodity

supply

crunch,

which

helped

some

commodity-exporting

nations

in

Latin

America

and

the

Middle

East

deliver

positive

equity

returns.

While

results

varied

somewhat

by

region,

typically

defensive

sectors,

such

as

utilities,

consumer

staples,

and

health

care,

also

held

up

relatively

well.

Conversely,

diminishing

consumer

confidence

put

a

damper

on

returns

in

the

consumer

discretionary

sector,

and

information

technology

and

communication

services

shares

also

suffered

large

reversals. 

Inflation

remained

a

leading

concern

for

investors

throughout

the

period.

The

war

in

Ukraine

exacerbated

already

existing

supply

chain

problems,

and

other

factors,

such

as

the

impact

of

the

fiscal

and

monetary

stimulus

enacted

during

the

pandemic,

exerted

upward

pressure

on

consumer

demand

and

prices.

While

investors

held

out

hope

that

inflation

had

peaked

during

the

summer,

inflation

measures

remained

elevated.

In

the

U.S.,

the

core

consumer

price

index,

which

excludes

volatile

food

and

energy

costs,

hit

a

40-year

high

in

September,

while

eurozone

inflation

reached

a

record

level

in

October’s

preliminary

report.  

In

response

to

persistent

inflation,

global

central

banks

began

to

tighten

monetary

policy.

The

Federal

Reserve,

which

at

the

end

of

2021

had

forecast

that

it

would

only

need

to

raise

interest

rates

0.75

percentage

point

in

all

of

2022,

rapidly

shifted

in

a

hawkish

direction

and

raised

its

short-term

lending

benchmark

from

near

zero

in

March

to

a

target

range

of

3.75%

to

4.00%

by

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

2

early

November

and

indicated

that

additional

hikes

are

likely.

The

European

Central

Bank,

meanwhile,

raised

its

key

interest

rate

to

its

highest

level

since

2009. 

Bond

yields

increased

considerably

across

the

Treasury

yield

curve

as

the

Fed

tightened

monetary

policy,

with

the

yield

on

the

benchmark

10-year

U.S.

Treasury

note

climbing

from

1.55%

at

the

start

of

the

period

to

4.10%

at

the

end

of

October.

The

sharp

increase

in

yields

led

to

historically

weak

results

across

the

fixed

income

market,

with

the

Bloomberg

U.S.

Aggregate

Bond

Index

recording

its

worst

month

since

1980

in

September.

(Bond

prices

and

yields

move

in

opposite

directions.) 

On

a

positive

note,

the

U.S.

jobs

market

remained

resilient

during

the

period,

and

the

initial

reading

on

gross

domestic

product

for

the

third

quarter

returned

to

positive

territory

after

two

slightly

negative

quarters.

However,

recession

fears

also

grew

as

corporate

earnings

slowed

and

manufacturing

gauges

drifted

toward

contraction

levels. 

The

past

year

has

been

an

exceptionally

trying

time

for

investors

as

substantial

sell-offs

were

the

norm

across

both

stocks

and

bonds,

and

we

believe

that

volatility

may

continue

in

the

near

term

as

central

banks

tighten

policy

amid

slowing

economic

growth.

However,

in

our

view,

valuations

have

become

more

attractive

across

many

market

sectors

during

the

downturn,

which

provides

potential

opportunities

for

selective

investors

focused

on

fundamentals.  

We

believe

this

environment

makes

skilled

active

management

a

critical

tool

for

identifying

risks

and

opportunities,

and

our

investment

teams

will

continue

to

use

fundamental

research

to

identify

securities

that

can

add

value

to

your

portfolio

over

the

long

term. 

Thank

you

for

your

continued

confidence

in

T.

Rowe

Price.

Sincerely,

Robert

Sharps

CEO

and

President

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

Management’s

Discussion

of

Fund

Performance

3

INVESTMENT

OBJECTIVE 

The

fund

seeks

strong,

long-term

risk-adjusted

returns.

FUND

COMMENTARY

How

did

the

fund

perform

in

the

past 12

months?

The

Multi-Strategy

Total

Return

Fund

returned

-8.75%

during

the

12

months

ended

October

31,

2022.

The

fund

underperformed

the

ICE

Bank

of

America

(BofA)

U.S.

3-Month

Treasury

Bill

Index.

(Returns

for

the

I

Class

shares

varied

slightly,

reflecting

a

different

fee

structure.

Past

performance

cannot

guarantee

future

results.

)

What

factors

influenced

the

fund’s

performance?

Most

of

the

underlying

components

pulled

back

during

the

reporting

period.

Not

only

did

equity

markets

suffer

steep

declines

during

the

period,

traditional

safe-

haven

assets

like

government

bonds

also

tumbled

as

yields

surged

in

response

to

aggressive

monetary

tightening

from

most

major

central

banks.

Against

this

backdrop,

the

Macro

and

Absolute

Return

Strategy

(MARS)

generated

negative

absolute

returns.

In

particular,

the

strategy

was

positioned

for

an

economic

recovery

in

China,

which

has

been

marred

by

the

consequences

of

the

country’s

zero-COVID

policy

and

persistent

lockdown

measures.

As

a

result,

our

bullish

position

in

China

hindered

relative

returns.

Despite

recent

weakness,

we

expect

the

increasing

pace

of

monetary

and

fiscal

stimulus

in

China

to

improve

liquidity

and

likely

support

economic

growth.

Long

duration

positions

also

contributed

to

weakness

as

the

long

end

of

the

yield

curve

experienced

notable

pressure

from

the

Fed’s

aggressive

tightening

efforts

to

combat

elevated

inflation.

Among

our

portable

alpha,

equity

long/short

strategies,

the

Global

Stock

Strategy

and

Sector

Strategies

components,

which

are

based

on

long-term

mandates

and

investment

processes

driven

by

fundamental

security

selection,

detracted

from

relative

performance.

The

Multi-Strategy

Total

Return

Fund

has

long

positions

in

securities

owned

by

these

components,

and

the

fund

shorts

custom

benchmarks

to

isolate

their

respective

security

selection

alpha.

Within

PERFORMANCE

COMPARISON

Total

Return

Periods

Ended

10/31/22

6

Months

12

Months

Multi-Strategy

Total

Return

Fund

–

.

-2.06‌%

-8.75‌%

Multi-Strategy

Total

Return

Fund–

.

I  Class

-1.95‌

-8.62‌

ICE

BofA

U.S.

3-Month

Treasury

Bill

Index

0.72‌

0.79‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

4

the

Global

Stock

component,

holdings

in

the

information

technology

sector

posted

steep

losses.

Most

notably,

shares

of

Block

(formerly

Square)

declined

early

in

the

reporting

period

as

a

fading

tailwind

from

fiscal

stimulus

and

heightened

liquidity

contributed

to

weak

earnings

against

difficult

year-over-

year

comparisons.

Within

the

Sector

Strategies

component,

underperformance

in

the

global

technology

portfolio

was

a

drag,

as

stock

selection

in

the

software

industry

hurt

relative

results.

Shares

of

Shopify,

an

e-commerce

turned

multichannel

commerce

platform,

tumbled

as

high-value,

high-growth

technology

stocks

fell

out

of

favor

amid

growing

economic

uncertainty.

Decelerating

revenue

and

planned

investments

in

its

fulfillment

operations

also

contributed

to

the

stock’s

decline.

(Please

refer

to

the

portfolio

of

investments

for

a

list

of

holdings

and

the

amount

each

represents

in

the

portfolio.)

The

fund

maintains

material

holdings

in

various

types

of

derivatives,

which

are

used

to

efficiently

access

or

adjust

exposure

to

certain

market

segments

and/or

to

manage

portfolio

volatility.

During

the

reporting

period,

the

fund’s

overall

exposure

to

derivatives

added

value.

In

an

environment

where

equity

markets

sold

off

and

yields

for

below

investment-grade

debt

1

The

percentage

of

total

net

assets

is

calculated

based

on

the

market

value

of

the

underlying

securities

as

of

October

31,

2022.

All

numbers

are

subject

to

rounding.

2

Negative

percentage

allocations

represent

short

positions.

3

A

significant

portion

of

the

fund's

balance

is

held

in

cash

and

short-term

investments

as

collateral

for

derivatives.

4

Security

diversification

is

derived

using

the

fund’s

direct

holdings

plus

exposure

gained

indirectly

through

the

fund’s

holdings

in

underlying

funds.

SECURITY

DIVERSIFICATION

Non-U.S.

U.S.

Percentage

of

Net

Assets

1

Equity

-3.8‌%

3.0‌%

2

-0.8‌%

Common

Stocks

5.8‌

14.1‌

19.8‌

Stock

Index

Futures

-10.8‌

-15.1‌

-25.9‌

Other

Equity

1.3‌

4.0‌

5.3‌

Equity

Derivatives

0.0‌

0.0‌

0.0‌

Fixed

Income

24.3‌%

35.3‌%

59.5‌%

Asset

Backed

0.1‌

2.3‌

2.4‌

Bank

Debt

1.6‌

9.0‌

10.6‌

Corporate

Bonds

10.5‌

12.6‌

23.1‌

Fixed

Income

Futures

-3.7‌

2.7‌

-1.0‌

Government

Bonds

8.9‌

3.3‌

12.2‌

Other

Fixed

Income

6.8‌

5.4‌

12.2‌

Convertibles

0.2‌%

0.8‌%

1.0‌%

Cash/Short-Term

Investments

3

0.7‌%

39.6‌%

40.3‌%

Total

4

21.3‌%

78.7‌%

100.0‌%

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

5

surged,

our

hedge

positions

in

global

equities

and

high

yield

debt

contributed

to

relative

performance.

The

Fixed

Income

Absolute

Return

Strategy

also

aided

performance,

driven

by

short

duration

positions,

particularly

in

the

U.S.

and

UK,

that

proved

beneficial

amid

rising

interest

rates

and

elevated

inflation.

How

is

the

fund

positioned?

The

Multi-Strategy

Total

Return

Fund

sources

its

returns

from

multiple

distinct

investment

strategies,

and

each

component

is

internally

managed

as

an

independent

strategy

by

a

dedicated

T.

Rowe

Price

portfolio

management

team.

Given

their

varying

mandates

(in

areas

such

as

risk

level,

opportunity

set,

and

portfolio

characteristics),

the

fund’s

allocations

to

the

strategies

depend

on

a

wide

range

of

considerations

and

can

be

increased

or

decreased

as

our

assessment

evolves

and

incorporates

changes

in

the

market

environment.

Our

current

positioning

is

characterized

by

subdued

risk

appetite

against

a

turbulent

market

backdrop,

leading

us

to

target

a

lower

level

of

broad

market

exposure

relative

to

the

fund’s

history.

We

believe

the

broad

range

of

potential

outcomes

in

the

*

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.

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

(NR).

T.

Rowe

Price

uses

the

rating

of

the

underlying

investment

vehicle

to

determine

the

creditworthiness

of

credit

default

swaps

and

sovereign

securities.

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

(e.g.,

GNMA

issues).

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.

BOND

PORTFOLIO

PROFILE

Periods

Ended

4/30/22

10/31/22

Weighted

Average

Effective

Duration

(years)

3.9‌

1.3‌

Weighted

Average

Maturity

(years)

5.8‌

5.3‌

Credit

Quality

Diversification*

U.S.

Government

Agencies**

0.0‌%

0.0‌%

U.S.

Treasuries***

6.3‌ 

7.3‌ 

AAA

4.2‌ 

5.6‌ 

AA

3.4‌ 

5.1‌ 

A

7.1‌ 

6.8‌ 

BBB

13.5‌ 

23.2‌ 

BB

and

Below

61.6‌ 

48.2‌ 

Not

Rated

3.9‌ 

3.8‌ 

Total

100.0‌%

100.0‌%

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

6

current

market

amid

elevated

inflation,

aggressive

monetary

tightening,

and

acute

geopolitical

risks

could

lead

to

further

pronounced

volatility.

Given

the

fund’s

diversification

objective,

we

view

a

lower

equity

beta

target

as

prudent

against

this

uncertain

backdrop.

During

the

year,

the

fund’s

performance

exposed

the

impact

of

macroeconomic

events

on

our

alpha

generation

capabilities.

Our

growth-oriented

equity

strategies,

in

particular,

are

less

likely

to

meaningfully

adjust

their

investment

process

in

response

to

shorter-term

events.

We,

therefore,

reduced

our

allocation

to

these

components

and

introduced

portfolio-level

hedges

to

help

neutralize

the

inherent

growth

factor

bias

emanating

from

some

of

our

underlying

components.

We

adjusted

these

hedges

later

in

the

reporting

period,

eliminating

the

aforementioned

growth

factor

offset

and

pivoting

toward

a

hedge

of

the

portfolio’s

credit

risk.

These

adjustments

better

reflect

our

view

of

risks

stemming

from

inflation

and

monetary

policy,

which

are

now

less

rooted

in

asset

valuations

and

more

driven

by

business

cycle

concerns.

We

initiated

an

allocation

into

the

Dynamic

Emerging

Markets

Bond

Strategy

in

April,

further

evolving

and

diversifying

our

component

lineup.

We

like

the

component’s

total

return-oriented

investment

process,

which

focuses

on

high-

conviction

ideas

across

the

sovereign,

corporate,

and

local

currency

emerging

markets

bonds

universe.

Otherwise,

allocation

changes

over

the

reporting

period’s

final

quarter

were

minimal.

The

tightening

cycle

that

began

in

November

2021

has

taken

root

over

the

course

of

the

year,

and

our

investors

have

had

the

opportunity

to

align

their

views

with

the

inflationary

environment

and

global

monetary

policy

regime

change.

We

believe

these

factors

are

now

better

reflected

in

investment

processes

and

security

analysis.

Rather

than

adjusting

our

exposure

to

alpha

sources

at

the

overall

portfolio

level,

we

prefer

to

rely

on

the

allocation

adjustments

made

by

the

underlying

component

portfolio

managers

to

navigate

their

respective

investment

universes.

What

is

portfolio

management’s

outlook?

The

fund

aims

to

generate

positive,

long-term

risk-adjusted

returns

with

limited

correlation

to

the

direction

of

traditional

asset

classes,

such

as

stocks

and

bonds.

We

seek

to

accomplish

this

by

allocating

the

fund’s

capital

to

a

variety

of

absolute

return

investment

strategies

that

seek

attractive

return

potential

per

unit

of

risk.

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

7

Amid

a

bear

market

that

has

dragged

down

nearly

every

asset

class,

near-term

catalysts

for

a

recovery

remain

uncertain.

Pronounced

interest

rate

volatility

has

diminished

the

anchoring

effect

of

traditional

safe-haven

assets

like

U.S.

Treasury

bonds,

off

which

other

assets—credit

markets,

home

mortgages,

and

equities—historically

have

been

priced.

Inflation

has

proven

to

be

stickier

than

expected,

and

without

clarity

on

the

Federal

Reserve’s

tightening

path

and

terminal

rate,

we

expect

interest

rate

volatility,

and

price

volatility

more

broadly,

to

remain

elevated.

Moreover,

there

is

rising

concern

that

elevated

inflation

could

be

a

long-term

problem.

While

we

do

expect

inflation

to

recede

from

its

current

levels,

we

have

less

certainty

on

what

the

longer-term

environment

looks

like,

and

a

return

to

the

Fed’s

longer-run

inflation

target

of

2%

may

be

more

difficult

to

achieve

than

markets

fully

appreciate.

Key

factors

that

historically

helped

tamp

down

inflation,

such

as

globalization,

a

growing

labor

pool,

and

technological

innovation,

could

be

fading.

On

the

other

hand,

we

could

see

rising

inflationary

pressure

from

factors

like

deglobalization

and

supply

chain

disruption,

heavy

investments

in

clean

energy

infrastructure,

and

the

need

for

continued

deficit

spending

as

populations

age.

Finally,

the

current

state

of

geopolitical

tension

bears

mentioning.

The

escalation

of

Russia’s

war

in

Ukraine

has

brought

with

it

the

potential

for

an

energy

crisis

in

Europe

as

we

head

into

colder

months.

The

economic

tensions

between

the

U.S.

and

China

have

also

mounted.

The

recent

announcement

of

restrictions

on

selling

semiconductors

to

China

are

likely

to

have

a

real

impact

on

the

country’s

economic

growth

and

heighten

tensions

over

Taiwan’s

independence.

We

believe

the

confluence

of

economic

and

geopolitical

uncertainty

contributes

to

an

unattractive

risk/reward

trade-off.

Analyzing

these

trends

is

what

our

extensive

global

investment

professionals

do

every

day.

We

believe

that

our

ability

to

leverage

our

in-house

research

team’s

insights

is

a

unique

benefit

to

the

fund,

and

we

expect

to

continue

to

capitalize

on

this

advantage

as

we

pursue

our

return

objectives.

In

our

view,

our

combination

of

diversified

components

is

well

suited

to

the

current

market

environment,

and

they

validate

the

benefit

of

having

the

Multi-Strategy

Total

Return

Fund

as

part

of

a

diversified

portfolio.

The

views

expressed

reflect

the

opinions

of

T.

Rowe

Price

as

of

the

date

of

this

report

and

are

subject

to

change

based

on

changes

in

market,

economic,

or

other

conditions.

These

views

are

not

intended

to

be

a

forecast

of

future

events

and

are

no

guarantee

of

future

results.

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

8

RISKS

OF

INVESTING

IN

THE

FUND

There

is

risk

that

the

fund’s

investments

will

correlate

with

stocks

and

bonds

to

a

greater

degree

than

anticipated

and

that

the

risk

models

used

to

construct

the

portfolio

may

not

achieve

the

desired

results.

The

fund

may

underperform

during

up

markets

and

be

negatively

affected

in

down

markets.

Diversification

cannot

assure

a

profit

or

protect

against

loss

in

a

declining

market.

International

investments

can

be

riskier

than

U.S.

investments

due

to

the

effects

of

currency

exchange

rates

and

differences

in

market

structure

and

liquidity,

as

well

as

specific

country,

regional,

and

economic

developments.

These

risks

are

generally

greater

for

emerging

markets.

Fixed

income

securities

are

subject

to

interest

rate,

inflation,

credit,

and

default

risk.

As

interest

rates

rise,

bond

prices

usually

fall,

and

vice

versa.

Derivatives

may

be

more

volatile

than

other

types

of

investments

because

they

can

be

more

sensitive

to

changes

in

market

or

economic

conditions;

risks

include

currency,

leverage,

liquidity,

index,

pricing,

and

counterparty.

Short

sales

are

speculative

transactions

with

potentially

unlimited

losses;

use

of

leverage

can

magnify

the

effect

of

losses.

For

a

thorough

discussion

of

risks,

please

see

the

fund’s

prospectus.

BENCHMARK

INFORMATION

Note:

ICE

Data

Indices,

LLC

(“ICE

DATA”),

is

used

with

permission.

ICE

DATA,

ITS

AFFILIATES

AND

THEIR

RESPECTIVE

THIRD-

PARTY

SUPPLIERS

DISCLAIM

ANY

AND

ALL

WARRANTIES

AND

REPRESENTATIONS,

EXPRESS

AND/OR

IMPLIED,

INCLUDING

ANY

WARRANTIES

OF

MERCHANTABILITY

OR

FITNESS

FOR

A

PARTICULAR

PURPOSE

OR

USE,

INCLUDING

THE

INDICES,

INDEX

DATA

AND

ANY

DATA

INCLUDED

IN,

RELATED

TO,

OR

DERIVED

THEREFROM.

NEITHER

ICE

DATA,

ITS

AFFILIATES

NOR

THEIR

RESPECTIVE

THIRD-PARTY

SUPPLIERS

SHALL

BE

SUBJECT

TO

ANY

DAMAGES

OR

LIABILITY

WITH

RESPECT

TO

THE

ADEQUACY,

ACCURACY,

TIMELINESS

OR

COMPLETENESS

OF

THE

INDICES

OR

THE

INDEX

DATA

OR

ANY

COMPONENT

THEREOF,

AND

THE

INDICES

AND

INDEX

DATA

AND

ALL

COMPONENTS

THEREOF

ARE

PROVIDED

ON

AN

“AS

IS”

BASIS

AND

YOUR

USE

IS

AT

YOUR

OWN

RISK.

ICE

DATA,

ITS

AFFILIATES

AND

THEIR

RESPECTIVE

THIRD-PARTY

SUPPLIERS

DO

NOT

SPONSOR,

ENDORSE,

OR

RECOMMEND

T.

ROWE

PRICE

OR

ANY

OF

ITS

PRODUCTS

OR

SERVICES.

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

9

ICE

Benchmark

Administration

Limited

makes

no

warranty,

express

or

implied,

either

as

to

the

results

to

be

obtained

from

the

use

of

ICE

LIBOR

and/or

the

figure

at

which

ICE

LIBOR

stands

at

any

particular

time

on

any

particular

day

or

otherwise.

ICE

Benchmark

Administration

Limited

makes

no

express

or

implied

warranties

of

merchantability

or

fitness

for

a

particular

purpose

in

respect

of

any

use

of

ICE

LIBOR.

BENCHMARK

INFORMATION

(continued)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

10

Amazon.com

0.5‌%

Charles

Schwab

0.5‌ 

T-Mobile

US

0.4‌ 

UnitedHealth

Group

0.4‌ 

Daiichi

Sankyo

0.4‌ 

Apple

0.4‌ 

Airbus

0.4‌ 

Microsoft

0.4‌ 

MasterCard

0.3‌ 

London

Stock

Exchange

0.3‌ 

Total

4.0‌%

U.S.

Treasuries

3.4‌%

United

Kingdom

of

Great

Britain

and

Northern

Ireland

2.2‌ 

Federal

Republic

of

Germany

1.4‌ 

Federative

Republic

of

Brazil

1.1‌ 

Republic

of

South

Africa

0.9‌ 

HCA

Healthcare

0.7‌ 

Ardagh

0.6‌ 

Enel

0.6‌ 

T-Mobile

US

0.6‌ 

VICI

Properties

0.6‌ 

Total

12.1‌%

PORTFOLIO

HIGHLIGHTS

LARGEST

HOLDINGS

Stocks

Percent

of

Net

Assets

10/31/22

Bonds

Percent

of

Net

Assets

10/31/22

Note:

The

information

shown

does

not

reflect

any

exchange-traded

funds

(ETFs),

cash

reserves,

or

collateral

for

securities

lending

that

may

be

held

in

the

portfolio.

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

11

GROWTH

OF

$10,000 

This

chart

shows

the

value

of

a

hypothetical

$10,000

investment

in

the

fund

over

the

past

10

fiscal

year

periods

or

since

inception

(for funds

lacking

10-year

records).

The

result

is

compared

with

benchmarks,

which

include

a

broad-based

market

index

and

may

also

include

a

peer

group

average

or

index.

Market

indexes

do

not

include

expenses,

which

are

deducted

from

fund

returns

as

well

as

mutual fund

averages

and

indexes.

MULTI-STRATEGY

TOTAL

RETURN

FUND 

Note:

Performance

for

the

I

Class share

will

vary

due

to

its differing

fee

structure.

See

the

Average

Annual

Compound

Total

Return

table. 

AVERAGE

ANNUAL

COMPOUND

TOTAL

RETURN

Periods

Ended

10/31/22

1

Year

Since

Inception

2/23/18

Multi-Strategy

Total

Return

Fund

–

.

-8.75‌%

1.54‌%

Multi-Strategy

Total

Return

Fund–

.

I  Class

-8.62‌

1.67‌

This

table

shows

how

the

fund

would

have

performed

each

year

if

its

actual

(or

cumulative)

returns

for

the

periods

shown

had

been

earned

at

a

constant

rate.

Returns

do

not

reflect

taxes

that

the

shareholder

may

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

Past

performance

cannot

guarantee

future

results.

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

12

EXPENSE

RATIO

FUND

EXPENSE

EXAMPLE

As

a

mutual

fund

shareholder,

you

may

incur

two

types

of

costs:

(1)

transaction

costs,

such

as

redemption

fees

or

sales

loads,

and

(2)

ongoing

costs,

including

management

fees,

distribution

and

service

(12b-1)

fees,

and

other

fund

expenses.

The

following

example

is

intended

to

help

you

understand

your

ongoing

costs

(in

dollars)

of

investing

in

the

fund

and

to

compare

these

costs

with

the

ongoing

costs

of

investing

in

other

mutual

funds.

The

example

is

based

on

an

investment

of

$1,000

invested

at

the

beginning

of

the

most

recent

six-month

period

and

held

for

the

entire

period.

Please

note

that

the

fund

has

two

share

classes:

The

original

share

class

(Investor

Class)

charges

no

distribution

and

service

(12b-1)

fee,

and

the

I

Class

shares

are

also

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.

Multi-Strategy

Total

Return

Fund

1.48‌%

Multi-Strategy

Total

Return

Fund–I

Class

1.28‌ 

The

expense

ratio

shown

is

as

of

the

fund’s

most

recent

prospectus.

This

number

may

vary

from

the

expense

ratio

shown

elsewhere

in

this

report

because

it

is

based

on

a

different

time

period

and,

if

applicable,

includes

acquired

fund

fees

and

expenses

but

does

not

include

fee

or

expense

waivers.

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

13

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.

MULTI-STRATEGY

TOTAL

RETURN

FUND

Beginning

Account

Value

5/1/22

Ending

Account

Value

10/31/22

Expenses

Paid

During

Period*

5/1/22

to

10/31/22

Investor

Class

Actual

$1,000.00

$979.40

$5.94

Hypothetical

(assumes

5%

return

before

expenses)

 1,000.00

  1,019.21

  6.06

I

Class

Actual

  1,000.00

  980.50

  5.24

Hypothetical

(assumes

5%

return

before

expenses)

 1,000.00

  1,019.91

  5.35

*

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

(184),

and

divided

by

the

days

in

the

year

(365)

to

reflect

the

half-year

period.

The

annualized

expense

ratio

of

the

1

Investor

Class

was

1.19%,

and

the

2

I Class

was

1.05%.

FUND

EXPENSE

EXAMPLE

(CONTINUED)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

14

QUARTER-END

RETURNS

Periods

Ended

9/30/22

1

Year

Since

Inception

2/23/18

Multi-Strategy

Total

Return

Fund

–

.

-8.70‌%

1.69‌%

Multi-Strategy

Total

Return

Fund–

.

I  Class

-8.56‌ 

1.82‌ 

The

fund’s

performance

information

represents

only

past

performance

and

is

not

necessarily

an

indication

of

future

results.

Current

performance

may

be

lower

or

higher

than

the

performance

data

cited.

Share

price,

principal

value,

and

return

will

vary,

and

you

may

have

a

gain

or

loss

when

you

sell

your

shares.

For

the

most

recent

month-end

performance,

please

visit

our

website

(troweprice.com)

or

contact

a

T.

Rowe

Price

representative

at

1

-

800

-

225

-

5132

or,

for

2

I

Class

shares,

1-800-638-8790

.

This

table

provides

returns

through

the

most

recent

calendar

quarter-end

rather

than

through

the

end

of

the

fund’s

fiscal

period.

It

shows

how

the

fund

would

have

performed

each

year

if

its

actual

(or

cumulative)

returns

for

the

periods

shown

had

been

earned

at

a

constant

rate.

Average

annual

total

return

figures

include

changes

in

principal

value,

reinvested

dividends,

and

capital

gain

distributions.

Returns

do

not

reflect

taxes

that

the

shareholder

may

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

When

assessing

performance,

investors

should

consider

both

short-

and

long-term

returns.

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

Financial

Highlights

15

For

a

share

outstanding

throughout

each

period

Investor

Class

(1)

..

Year

..

..

Ended

.

2/23/18

(1)

Through

10/31/18

10/31/22

10/31/21

10/31/20

10/31/19

NET

ASSET

VALUE

Beginning

of

period

$

10

.70‌

$

10

.56‌

$

9

.75‌

$

9

.70‌

$

10

.00‌

Investment

activities

Net

investment

income

(2)(3)

0

.15‌

0

.10‌

0

.16‌

0

.26‌

0

.12‌

Net

realized

and

unrealized

gain/

loss

(

1

.07‌

)

0

.40‌

0

.92‌

0

.12‌

(

0

.42‌

)

Total

from

investment

activities

(

0

.92‌

)

0

.50‌

1

.08‌

0

.38‌

(

0

.30‌

)

Distributions

Net

investment

income

(

0

.05‌

)

(

0

.09‌

)

(

0

.25‌

)

(

0

.18‌

)

—‌

Net

realized

gain

(

0

.24‌

)

(

0

.27‌

)

(

0

.02‌

)

(

0

.15‌

)

—‌

Total

distributions

(

0

.29‌

)

(

0

.36‌

)

(

0

.27‌

)

(

0

.33‌

)

—‌

NET

ASSET

VALUE

End

of

period

$

9

.49‌

$

10

.70‌

$

10

.56‌

$

9

.75‌

$

9

.70‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

Financial

Highlights

16

For

a

share

outstanding

throughout

each

period

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Investor

Class

(1)

..

Year

..

..

Ended

.

2/23/18

(1)

Through

10/31/18

10/31/22

10/31/21

10/31/20

10/31/19

Ratios/Supplemental

Data

Total

return

(3)(4)

(

8

.75‌

)

%

4

.74‌

%

11

.34‌

%

4

.09‌

%

(

3

.00‌

)

%

Ratios

to

average

net

assets:

(3)

Gross

expenses

before

waivers/

payments

by

Price

Associates

1

.37‌

%

1

.32‌

%

1

.56‌

%

1

.84‌

%

1

.71‌

%

(5)

Net

expenses

after

waivers/

payments

by

Price

Associates

1

.19‌

%

1

.04‌

%

1

.05‌

%

1

.06‌

%

0

.95‌

%

(5)

Net

investment

income

1

.49‌

%

0

.96‌

%

1

.55‌

%

2

.69‌

%

1

.86‌

%

(5)

Portfolio

turnover

rate

133

.8‌

%

144

.8‌

%

99

.5‌

%

83

.8‌

%

82

.1‌

%

Net

assets,

end

of

period

(in

thousands)

$42,153

$119,258

$120,127

$57,579

$58,522

0‌

%

0‌

%

0‌

%

0‌

%

0‌

%

(1)

Inception

date

(2)

Per

share

amounts

calculated

using

average

shares

outstanding

method.

(3)

See

Note

7

for

details

of

expense-related

arrangements

with

Price

Associates.

(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

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

Financial

Highlights

17

For

a

share

outstanding

throughout

each

period

I

Class

(1)

..

Year

..

..

Ended

.

2/23/18

(1)

Through

10/31/18

10/31/22

10/31/21

10/31/20

10/31/19

NET

ASSET

VALUE

Beginning

of

period

$

10

.75‌

$

10

.59‌

$

9

.76‌

$

9

.70‌

$

10

.00‌

Investment

activities

Net

investment

income

(2)(3)

0

.17‌

0

.08‌

0

.17‌

0

.27‌

0

.14‌

Net

realized

and

unrealized

gain/

loss

(

1

.08‌

)

0

.44‌

0

.93‌

0

.12‌

(

0

.44‌

)

Total

from

investment

activities

(

0

.91‌

)

0

.52‌

1

.10‌

0

.39‌

(

0

.30‌

)

Distributions

Net

investment

income

(

0

.05‌

)

(

0

.09‌

)

(

0

.25‌

)

(

0

.18‌

)

—‌

Net

realized

gain

(

0

.24‌

)

(

0

.27‌

)

(

0

.02‌

)

(

0

.15‌

)

—‌

Total

distributions

(

0

.29‌

)

(

0

.36‌

)

(

0

.27‌

)

(

0

.33‌

)

—‌

NET

ASSET

VALUE

End

of

period

$

9

.55‌

$

10

.75‌

$

10

.59‌

$

9

.76‌

$

9

.70‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

Financial

Highlights

18

For

a

share

outstanding

throughout

each

period

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

I

Class

(1)

..

Year

..

..

Ended

.

2/23/18

(1)

Through

10/31/18

10/31/22

10/31/21

10/31/20

10/31/19

Ratios/Supplemental

Data

Total

return

(3)(4)

(

8

.62‌

)

%

4

.92‌

%

11

.54‌

%

4

.19‌

%

(

3

.00‌

)

%

Ratios

to

average

net

assets:

(3)

Gross

expenses

before

waivers/

payments

by

Price

Associates

1

.14‌

%

1

.12‌

%

1

.50‌

%

1

.74‌

%

1

.70‌

%

(5)

Net

expenses

after

waivers/

payments

by

Price

Associates

1

.05‌

%

1

.01‌

%

0

.90‌

%

0

.90‌

%

0

.90‌

%

(5)

Net

investment

income

1

.77‌

%

0

.73‌

%

1

.70‌

%

2

.83‌

%

2

.05‌

%

(5)

Portfolio

turnover

rate

133

.8‌

%

144

.8‌

%

99

.5‌

%

83

.8‌

%

82

.1‌

%

Net

assets,

end

of

period

(in

thousands)

$310,096

$334,438

$8,777

$4,308

$9,094

0‌

%

0‌

%

0‌

%

0‌

%

0‌

%

(1)

Inception

date

(2)

Per

share

amounts

calculated

using

average

shares

outstanding

method.

(3)

See

Note

7

for

details

of

expense-related

arrangements

with

Price

Associates.

(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

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

October

31,

2022

19

Portfolio

of

Investments

‡

Shares/Par

$

Value

(

Cost

and

value

in

$000s)

‡

ALBANIA

0.1%

Government

Bonds

0.1%

Republic

of

Albania,

3.50%,

11/23/31

(EUR) 

260,000‌

189‌

Total

Albania

(Cost

$245

)

189‌

ARGENTINA

0.0%

Common

Stocks

0.0%

MercadoLibre

(USD)  (1)

84‌

76‌

Total

Argentina

(Cost

$73

)

76‌

AUSTRALIA

0.4%

Common

Stocks

0.0%

BHP

Group 

1,778‌

43‌

Goodman

Group 

1,192‌

13‌

IGO 

1,854‌

18‌

Northern

Star

Resources 

2,248‌

12‌

OZ

Minerals 

971‌

15‌

101‌

Government

Bonds

0.4%

Commonwealth

of

Australia,

4.75%,

4/21/27 

1,900,000‌

1,279‌

1,279‌

Total

Australia

(Cost

$1,454

)

1,380‌

AUSTRIA

0.0%

Common

Stocks

0.0%

BAWAG

Group 

133‌

6‌

Total

Austria

(Cost

$6

)

6‌

BAHAMAS

0.1%

Government

Bonds

0.1%

Commonwealth

of

Bahamas,

6.00%,

11/21/28

(USD)  (2)

310,000‌

199‌

Commonwealth

of

Bahamas,

8.95%,

10/15/32

(USD) 

250,000‌

162‌

Total

Bahamas

(Cost

$483

)

361‌

BRAZIL

1.8%

Common

Stocks

0.2%

B3 

239,647‌

696‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

19

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

20

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Magazine

Luiza  (1)

11,347‌

10‌

NU

Holdings,

Class

A

(USD)  (1)(3)

11,070‌

55‌

761‌

Corporate

Bonds

0.5%

Braskem

Netherlands

Finance,

5.875%,

1/31/50

(USD)  (2)

200,000‌

146‌

ERO

Copper,

6.50%,

2/15/30

(USD)  (2)

440,000‌

331‌

Globo

Comunicacao

e

Participacoes,

4.875%,

1/22/30

(USD)  (2)

700,000‌

550‌

Globo

Comunicacao

e

Participacoes,

5.50%,

1/14/32

(USD)  (2)

280,000‌

213‌

Globo

Comunicacao

e

Participacoes,

5.50%,

1/14/32

(USD) 

310,000‌

236‌

MercadoLibre,

3.125%,

1/14/31

(USD)  (3)

200,000‌

145‌

Suzano

Austria,

3.125%,

1/15/32

(USD) 

300,000‌

222‌

1,843‌

Government

Bonds

1.1%

Brazil

Notas

do

Tesouro

Nacional,

10.00%,

1/1/27 

18,385,000‌

3,375‌

Brazil

Notas

do

Tesouro

Nacional,

10.00%,

1/1/31 

1,898,000‌

334‌

3,709‌

Total

Brazil

(Cost

$6,731

)

6,313‌

CANADA

1.1%

Asset-Backed

Securities

0.1%

Cologix

Canadian

Issuer,

Series

2022-1CAN,

Class

A2,

4.94%,

1/25/52  (2)

305,000‌

206‌

206‌

Bank

Loans

0.1%

(4)

Jones

Deslauriers

Insurance

Management,

FRN,

3M

CAD

CDOR

+

4.25%,

8.813%,

3/27/28 

420,728‌

286‌

Jones

Deslauriers

Insurance

Management,

FRN,

3M

CAD

CDOR

+

7.50%,

12.063%,

3/26/29 

25,000‌

17‌

303‌

Common

Stocks

0.3%

Brookfield

Asset

Management,

Class

A

(USD) 

465‌

19‌

Canadian

Natural

Resources 

396‌

24‌

Canadian

Pacific

Railway

(USD) 

933‌

70‌

Constellation

Software 

25‌

36‌

Descartes

Systems

Group

(USD)  (1)

333‌

23‌

ERO

Copper  (1)

953‌

11‌

Magna

International

(USD) 

573‌

32‌

MDA  (1)

8,355‌

41‌

Nutrien

(USD) 

6,003‌

507‌

Shopify,

Class

A

(USD)  (1)

9,879‌

338‌

Summit

Industrial

Income

REIT  (3)

1,434‌

18‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

21

Shares/Par

$

Value

(Cost

and

value

in

$000s)

TC

Energy

(USD) 

617‌

27‌

Wesdome

Gold

Mines  (1)

2,200‌

13‌

1,159‌

Corporate

Bonds

0.5%

1011778

BC

ULC,

5.75%,

4/15/25

(USD)  (2)(3)

1,205,000‌

1,201‌

Enbridge,

VR,

7.375%,

1/15/83

(USD)  (5)

325,000‌

309‌

Toronto-Dominion

Bank,

VR,

8.125%,

10/31/82

(USD)  (5)

200,000‌

200‌

1,710‌

Government

Bonds

0.1%

Government

of

Canada

Real

Return

Bond,

Inflation-Indexed,

4.00%,

12/1/31 

375,728‌

339‌

339‌

Total

Canada

(Cost

$3,946

)

3,717‌

CAYMAN

ISLANDS

0.2%

Common

Stocks

0.2%

Ahren

Acquisition

(USD)  (1)

72,251‌

734‌

Total

Cayman

Islands

(Cost

$723

)

734‌

CHILE

0.7%

Corporate

Bonds

0.4%

AES

Andes,

VR,

7.125%,

3/26/79

(USD)  (5)

310,000‌

255‌

Agrosuper,

4.60%,

1/20/32

(USD)  (3)

230,000‌

188‌

Empresa

de

los

Ferrocarriles

del

Estado,

3.068%,

8/18/50

(USD) 

300,000‌

167‌

Empresa

de

Transporte

de

Pasajeros

Metro,

3.65%,

5/7/30

(USD) 

300,000‌

260‌

Mercury

Chile

Holdco,

6.50%,

1/24/27

(USD) 

310,000‌

256‌

VTR

Comunicaciones,

5.125%,

1/15/28

(USD)  (3)

310,000‌

197‌

1,323‌

Government

Bonds

0.3%

Bonos

de

la

Tesoreria

de

la

Republica,

4.50%,

3/1/26 

1,055,000,000‌

1,040‌

1,040‌

Total

Chile

(Cost

$2,977

)

2,363‌

CHINA

0.9%

Common

Stocks

0.4%

58.com

(USD)  (1)(6)

22,100‌

—‌

Alibaba

Group

Holding

(HKD)  (1)

6,800‌

53‌

BeiGene,

ADR

(USD)  (1)

47‌

8‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

22

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Beijing

Capital

International

Airport,

Class

H

(HKD)  (1)

76,000‌

41‌

China

Tourism

Group

Duty

Free,

Class

H

(HKD)  (1)

15,000‌

297‌

H

World

Group,

ADR

(USD) 

11,711‌

317‌

Kanzhun,

ADR

(USD)  (1)

13,344‌

146‌

KE

Holdings,

ADR

(USD)  (1)

4,664‌

47‌

Li

Ning

(HKD) 

3,000‌

16‌

Meituan,

Class

B

(HKD)  (1)

12,700‌

203‌

Silergy

(TWD) 

5,000‌

58‌

Tencent

Holdings

(HKD) 

9,809‌

258‌

Wuxi

Biologics

Cayman

(HKD)  (1)

1,000‌

4‌

Zai

Lab,

ADR

(USD)  (1)

177‌

4‌

Zhongsheng

Group

Holdings

(HKD) 

3,500‌

13‌

1,465‌

Common

Stocks

-

China

A

Shares

0.0%

Kweichow

Moutai,

A

Shares

(CNH) 

100‌

19‌

NARI

Technology,

A

Shares

(CNH) 

13,528‌

45‌

Shenzhen

Inovance

Technology,

A

Shares

(CNH) 

5,500‌

50‌

114‌

Convertible

Bonds

0.1%

Vnet

Group,

Zero

Coupon,

2/1/26

(USD) 

530,000‌

440‌

440‌

Corporate

Bonds

0.4%

CNAC

HK

Finbridge,

3.00%,

9/22/30

(USD)  (3)

310,000‌

226‌

Country

Garden

Holdings,

3.30%,

1/12/31

(USD) 

360,000‌

28‌

Huarong

Finance,

4.95%,

11/7/47

(USD) 

380,000‌

194‌

Kaisa

Group

Holdings,

11.95%,

10/22/22

(USD)  (1)(7)

1,515,000‌

113‌

Longfor

Group

Holdings,

3.85%,

1/13/32

(USD)  (3)

200,000‌

39‌

Shimao

Group

Holdings,

3.45%,

1/11/31

(USD)  (7)

200,000‌

8‌

Times

China

Holdings,

6.75%,

7/8/25

(USD) 

200,000‌

15‌

Yanlord

Land

HK,

5.125%,

5/20/26

(USD) 

200,000‌

101‌

Yunda

Holding

Investment,

2.25%,

8/19/25

(USD) 

310,000‌

274‌

Zhongsheng

Group

Holdings,

3.00%,

1/13/26

(USD) 

310,000‌

272‌

1,270‌

Total

China

(Cost

$4,875

)

3,289‌

COLOMBIA

0.6%

Corporate

Bonds

0.4%

Aris

Mining,

6.875%,

8/9/26

(USD)  (2)

640,000‌

445‌

Banco

de

Bogota,

6.25%,

5/12/26

(USD) 

310,000‌

285‌

Bancolombia,

VR,

4.625%,

12/18/29

(USD)  (5)

300,000‌

244‌

Canacol

Energy,

5.75%,

11/24/28

(USD) 

310,000‌

234‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

23

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Ecopetrol,

6.875%,

4/29/30

(USD) 

300,000‌

247‌

1,455‌

Government

Bonds

0.2%

Republic

of

Colombia,

3.875%,

4/25/27

(USD) 

300,000‌

251‌

Republic

of

Colombia,

7.50%,

8/26/26 

1,230,000,000‌

206‌

457‌

Private

Investment

Company

0.0%

Bona

Fide

Investments

Feeder

LLC,

Acquisition

date:

6/1/22,

Cost $30

(USD)  (1)(8)

†

30‌

30‌

Total

Colombia

(Cost

$2,415

)

1,942‌

CYPRUS

0.1%

Government

Bonds

0.1%

Republic

of

Cyprus,

2.75%,

5/3/49 

260,000‌

200‌

Total

Cyprus

(Cost

$204

)

200‌

DENMARK

0.2%

Common

Stocks

0.1%

Ascendis

Pharma,

ADR

(USD)  (1)

2,057‌

237‌

Genmab  (1)

71‌

27‌

ROCKWOOL,

Class

B 

51‌

10‌

274‌

Corporate

Bonds

0.1%

DKT

Finance,

9.375%,

6/17/23

(USD)  (2)

400,000‌

383‌

383‌

Total

Denmark

(Cost

$657

)

657‌

DOMINICAN

REPUBLIC

0.1%

Government

Bonds

0.1%

Dominican

Republic,

5.95%,

1/25/27

(USD) 

310,000‌

290‌

Dominican

Republic,

6.00%,

7/19/28

(USD) 

230,000‌

211‌

Total

Dominican

Republic

(Cost

$543

)

501‌

EGYPT

0.1%

Government

Bonds

0.1%

Arab

Republic

of

Egypt,

3.875%,

2/16/26

(USD) 

300,000‌

228‌

Total

Egypt

(Cost

$237

)

228‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

24

Shares/Par

$

Value

(Cost

and

value

in

$000s)

FINLAND

0.0%

Common

Stocks

0.0%

Kojamo  (3)

792‌

10‌

Sampo,

Class

A 

128‌

6‌

UPM-Kymmene 

707‌

24‌

Total

Finland

(Cost

$42

)

40‌

FRANCE

0.6%

Common

Stocks

0.6%

Air

Liquide 

110‌

14‌

Airbus 

12,947‌

1,401‌

Alstom 

3,096‌

64‌

Legrand 

158‌

12‌

LVMH

Moet

Hennessy

Louis

Vuitton 

193‌

122‌

Pernod

Ricard 

309‌

54‌

Safran 

652‌

73‌

Schneider

Electric 

615‌

78‌

TotalEnergies 

1,877‌

102‌

Verallia 

465‌

13‌

1,933‌

Convertible

Preferred

Stocks

0.0%

DNA

Script,

Series

C,

Acquisition

Date:

12/16/21,

Cost $7  (1)

(6)(8)

8‌

6‌

6‌

Corporate

Bonds

0.0%

Altice

France

Holding,

4.00%,

2/15/28 

100,000‌

61‌

61‌

Total

France

(Cost

$2,120

)

2,000‌

GEORGIA

0.1%

Corporate

Bonds

0.1%

Georgian

Railway,

4.00%,

6/17/28

(USD) 

310,000‌

236‌

Total

Georgia

(Cost

$271

)

236‌

GERMANY

1.7%

Common

Stocks

0.1%

BioNTech,

ADR

(USD) 

139‌

19‌

Delivery

Hero  (1)

285‌

10‌

Infineon

Technologies 

7,557‌

183‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

25

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Siemens 

1,255‌

137‌

Zalando  (1)

465‌

11‌

360‌

Corporate

Bonds

0.1%

TK

Elevator

Holdco,

7.625%,

7/15/28

(USD)  (2)

400,000‌

329‌

329‌

Government

Bonds

1.3%

Deutsche

Bundesrepublik,

Inflation-Indexed,

0.10%,

4/15/26 

3,801,320‌

3,869‌

Deutsche

Bundesrepublik,

Inflation-Indexed,

0.50%,

4/15/30 

873,721‌

918‌

4,787‌

Preferred

Stocks

0.2%

Dr

Ing

hc

F

Porsche  (1)(3)

342‌

35‌

Sartorius  (3)

1,758‌

620‌

Volkswagen 

294‌

37‌

692‌

Total

Germany

(Cost

$7,259

)

6,168‌

GHANA

0.1%

Corporate

Bonds

0.1%

Kosmos

Energy,

7.125%,

4/4/26

(USD) 

310,000‌

260‌

Total

Ghana

(Cost

$299

)

260‌

GUATEMALA

0.2%

Government

Bonds

0.2%

Republic

of

Guatemala,

4.875%,

2/13/28

(USD) 

300,000‌

277‌

Republic

of

Guatemala,

4.90%,

6/1/30

(USD) 

300,000‌

274‌

Total

Guatemala

(Cost

$602

)

551‌

HONG

KONG

0.1%

Common

Stocks

0.1%

AIA

Group 

30,000‌

227‌

Samsonite

International  (1)

9,900‌

22‌

Total

Hong

Kong

(Cost

$276

)

249‌

HUNGARY

0.3%

Common

Stocks

0.0%

Wizz

Air

Holdings

(GBP)  (1)

823‌

16‌

16‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

26

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Government

Bonds

0.3%

Republic

of

Hungary,

2.25%,

4/20/33 

169,080,000‌

210‌

Republic

of

Hungary,

3.00%,

10/27/27 

128,000,000‌

213‌

Republic

of

Hungary,

4.50%,

3/23/28 

131,000,000‌

230‌

Republic

of

Hungary,

4.75%,

11/24/32 

320,290,000‌

517‌

1,170‌

Total

Hungary

(Cost

$1,639

)

1,186‌

INDIA

0.7%

Common

Stocks

0.2%

HDFC

Bank 

20,623‌

374‌

ICICI

Bank 

30,781‌

338‌

Voltas 

1,475‌

16‌

728‌

Corporate

Bonds

0.3%

Adani

International

Container

Terminal,

3.00%,

2/16/31

(USD) 

290,625‌

218‌

Adani

Renewable

Energy

RJ,

4.625%,

10/15/39

(USD)  (3)

272,500‌

175‌

CA

Magnum

Holdings,

5.375%,

10/31/26

(USD)  (3)

300,000‌

252‌

REC,

2.25%,

9/1/26

(USD) 

300,000‌

256‌

901‌

Government

Bonds

0.2%

Export-Import

Bank

of

India,

2.25%,

1/13/31

(USD) 

300,000‌

221‌

Export-Import

Bank

of

India,

3.875%,

2/1/28

(USD) 

300,000‌

267‌

Republic

of

India,

6.45%,

10/7/29 

32,000,000‌

367‌

855‌

Total

India

(Cost

$2,762

)

2,484‌

INDONESIA

0.7%

Corporate

Bonds

0.6%

Bank

Negara

Indonesia

Persero,

3.75%,

3/30/26

(USD) 

310,000‌

257‌

Bank

Negara

Indonesia

Persero,

VR,

4.30%

(USD)  (5)(9)

310,000‌

225‌

Cikarang

Listrindo,

4.95%,

9/14/26

(USD) 

300,000‌

260‌

Freeport

Indonesia,

5.315%,

4/14/32

(USD)  (2)

460,000‌

389‌

Freeport

Indonesia,

6.20%,

4/14/52

(USD)  (2)

200,000‌

151‌

Minejesa

Capital,

4.625%,

8/10/30

(USD) 

300,000‌

232‌

Pakuwon

Jati,

4.875%,

4/29/28

(USD) 

300,000‌

245‌

Pertamina

Persero,

1.40%,

2/9/26

(USD) 

300,000‌

259‌

2,018‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

27

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Government

Bonds

0.1%

Republic

of

Indonesia,

5.125%,

4/15/27 

9,000,000,000‌

534‌

534‌

Total

Indonesia

(Cost

$2,845

)

2,552‌

IRELAND

0.2%

Corporate

Bonds

0.2%

AerCap

Ireland

Capital,

3.00%,

10/29/28

(USD) 

150,000‌

120‌

AerCap

Ireland

Capital,

3.30%,

1/30/32

(USD) 

310,000‌

232‌

AerCap

Ireland

Capital,

3.50%,

1/15/25

(USD) 

225,000‌

211‌

AerCap

Ireland

Capital,

FRN,

SOFR

+

0.68%,

3.733%,

9/29/23

(USD) 

150,000‌

147‌

Total

Ireland

(Cost

$830

)

710‌

ISRAEL

0.6%

Common

Stocks

0.0%

Mobileye

Global,

Class

A

(USD)  (1)

854‌

23‌

23‌

Corporate

Bonds

0.3%

Bank

Hapoalim,

VR,

3.255%,

1/21/32

(USD)  (2)(5)

300,000‌

245‌

Bank

Leumi

Le-Israel,

VR,

3.275%,

1/29/31

(USD)  (2)(5)

325,000‌

277‌

ICL

Group,

6.375%,

5/31/38

(USD)  (2)

310,000‌

290‌

Leviathan

Bond,

6.125%,

6/30/25

(USD)  (2)

310,000‌

295‌

1,107‌

Government

Bonds

0.3%

State

of

Israel,

3.75%,

3/31/47 

3,334,000‌

970‌

970‌

Total

Israel

(Cost

$2,496

)

2,100‌

ITALY

0.9%

Common

Stocks

0.3%

Davide

Campari-Milano 

3,813‌

34‌

Ferrari

(USD) 

4,117‌

810‌

GVS  (1)

2,406‌

13‌

PRADA

(HKD) 

68,900‌

314‌

1,171‌

Corporate

Bonds

0.6%

Enel

Finance

International,

6.80%,

10/14/25

(USD)  (2)

200,000‌

200‌

Enel

Finance

International,

7.50%,

10/14/32

(USD)  (2)

1,200,000‌

1,200‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

28

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Enel

Finance

International,

7.75%,

10/14/52

(USD)  (2)

700,000‌

670‌

2,070‌

Total

Italy

(Cost

$3,386

)

3,241‌

IVORY

COAST

0.1%

Government

Bonds

0.1%

Republic

of

Ivory

Coast,

4.875%,

1/30/32

(EUR) 

260,000‌

181‌

Republic

of

Ivory

Coast,

6.375%,

3/3/28

(USD) 

310,000‌

283‌

Total

Ivory

Coast

(Cost

$529

)

464‌

JAPAN

0.8%

Common

Stocks

0.8%

Asics 

1,400‌

22‌

Daiichi

Sankyo 

44,200‌

1,415‌

Daikin

Industries 

200‌

30‌

Hamamatsu

Photonics 

1,200‌

54‌

Harmonic

Drive

Systems 

10,200‌

341‌

Hoshizaki 

2,800‌

80‌

Industrial

&

Infrastructure

Fund

Investment 

10‌

11‌

Istyle  (1)(3)

3,700‌

12‌

Keyence 

900‌

339‌

MatsukiyoCocokara 

500‌

18‌

Mitsui

Fudosan 

900‌

17‌

Miura 

2,400‌

49‌

Nippon

Sanso

Holdings 

2,400‌

38‌

Recruit

Holdings 

2,900‌

89‌

Seven

&

i

Holdings  (3)

800‌

30‌

Sony

Group 

700‌

47‌

Suzuki

Motor 

1,600‌

54‌

Total

Japan

(Cost

$2,391

)

2,646‌

JORDAN

0.1%

Government

Bonds

0.1%

Kingdom

of

Jordan,

5.85%,

7/7/30

(USD) 

300,000‌

249‌

Total

Jordan

(Cost

$275

)

249‌

KAZAKHSTAN

0.1%

Corporate

Bonds

0.1%

KazMunayGas

National,

5.375%,

4/24/30

(USD) 

310,000‌

255‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

29

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Tengizchevroil

Finance

International,

3.25%,

8/15/30

(USD) 

300,000‌

206‌

Total

Kazakhstan

(Cost

$553

)

461‌

LUXEMBOURG

0.4%

Bank

Loans

0.4%

(4)

Delta

2,

FRN,

3M

USD

LIBOR

+

2.50%,

6.254%,

2/1/24

(USD) 

1,500,000‌

1,496‌

Total

Luxembourg

(Cost

$1,481

)

1,496‌

MALAYSIA

0.1%

Government

Bonds

0.1%

Government

of

Malaysia,

4.921%,

7/6/48 

1,520,000‌

319‌

Total

Malaysia

(Cost

$380

)

319‌

MAURITIUS

0.1%

Corporate

Bonds

0.1%

Axian

Telecom,

7.375%,

2/16/27

(USD)  (2)

230,000‌

199‌

Axian

Telecom,

7.375%,

2/16/27

(USD) 

310,000‌

269‌

Total

Mauritius

(Cost

$536

)

468‌

MEXICO

1.5%

Bank

Loans

0.3%

(4)

Playa

Resorts

Holding,

FRN,

3M

USD

LIBOR

+

2.75%,

6.50%,

4/29/24

(USD) 

1,158,671‌

1,127‌

1,127‌

Corporate

Bonds

1.0%

Banco

Mercantil

del

Norte,

VR,

6.75%

(USD)  (5)(9)

310,000‌

285‌

Banco

Nacional

de

Comercio

Exterior

SNC,

VR,

2.72%,

8/11/31

(USD)  (5)

300,000‌

254‌

BBVA

Bancomer,

VR,

5.125%,

1/18/33

(USD)  (5)

310,000‌

251‌

Cemex,

5.45%,

11/19/29

(USD) 

300,000‌

262‌

Electricidad

Firme

de

Mexico

Holdings,

4.90%,

11/20/26

(USD) 

300,000‌

239‌

Mexico

City

Airport

Trust,

3.875%,

4/30/28

(USD) 

330,000‌

279‌

Mexico

City

Airport

Trust,

5.50%,

10/31/46

(USD) 

200,000‌

129‌

Mexico

City

Airport

Trust,

5.50%,

7/31/47

(USD)  (2)

400,000‌

259‌

Mexico

City

Airport

Trust,

5.50%,

7/31/47

(USD) 

310,000‌

201‌

Petroleos

Mexicanos,

5.35%,

2/12/28

(USD)  (3)

310,000‌

248‌

Petroleos

Mexicanos,

5.50%,

6/27/44

(USD) 

310,000‌

177‌

Petroleos

Mexicanos,

6.70%,

2/16/32

(USD) 

835,000‌

633‌

Sigma

Finance

Netherlands,

4.875%,

3/27/28

(USD) 

300,000‌

267‌

3,484‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

30

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Government

Bonds

0.2%

United

Mexican

States,

8.00%,

11/7/47 

6,340,000‌

262‌

United

Mexican

States,

8.50%,

5/31/29 

11,100,000‌

525‌

787‌

Total

Mexico

(Cost

$6,030

)

5,398‌

MOROCCO

0.1%

Corporate

Bonds

0.1%

Vivo

Energy

Investments,

5.125%,

9/24/27

(USD) 

310,000‌

281‌

281‌

Government

Bonds

0.0%

Kingdom

of

Morocco,

2.375%,

12/15/27

(USD)  (3)

300,000‌

247‌

247‌

Total

Morocco

(Cost

$567

)

528‌

NETHERLANDS

0.4%

Common

Stocks

0.4%

Adyen  (1)

247‌

353‌

Akzo

Nobel 

273‌

17‌

Argenx,

ADR

(USD)  (1)

132‌

51‌

ASML

Holding 

1,539‌

722‌

Heineken 

346‌

29‌

Koninklijke

DSM 

48‌

6‌

TKH

Group,

CVA 

1,233‌

43‌

Universal

Music

Group 

1,220‌

24‌

1,245‌

Corporate

Bonds

0.0%

NXP,

5.00%,

1/15/33

(USD) 

105,000‌

94‌

94‌

Total

Netherlands

(Cost

$1,528

)

1,339‌

NEW

ZEALAND

0.3%

Government

Bonds

0.3%

Government

of

New

Zealand,

2.75%,

5/15/51 

2,256,000‌

938‌

Total

New

Zealand

(Cost

$1,281

)

938‌

NORWAY

0.0%

Common

Stocks

0.0%

Aker

BP 

572‌

18‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

31

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Equinor 

1,998‌

73‌

Total

Norway

(Cost

$68

)

91‌

OMAN

0.2%

Corporate

Bonds

0.1%

OmGrid

Funding,

5.196%,

5/16/27

(USD) 

300,000‌

270‌

Oryx

Funding,

5.80%,

2/3/31

(USD) 

300,000‌

264‌

534‌

Government

Bonds

0.1%

Sultanate

of

Oman,

4.75%,

6/15/26

(USD) 

320,000‌

303‌

303‌

Total

Oman

(Cost

$910

)

837‌

PANAMA

0.2%

Corporate

Bonds

0.2%

Aeropuerto

Internacional

de

Tocumen,

4.00%,

8/11/41

(USD)  (2)

200,000‌

141‌

Aeropuerto

Internacional

de

Tocumen,

4.00%,

8/11/41

(USD) 

300,000‌

212‌

Banco

General,

VR,

5.25%

(USD)  (5)(9)

300,000‌

243‌

Banco

Nacional

de

Panama,

2.50%,

8/11/30

(USD)  (3)

310,000‌

224‌

Total

Panama

(Cost

$1,032

)

820‌

PARAGUAY

0.1%

Government

Bonds

0.1%

Republic

of

Paraguay,

2.739%,

1/29/33

(USD) 

370,000‌

278‌

Total

Paraguay

(Cost

$303

)

278‌

PERU

0.4%

Common

Stocks

0.0%

Southern

Copper

(USD) 

480‌

22‌

22‌

Corporate

Bonds

0.2%

Banco

de

Credito

del

Peru,

VR,

3.125%,

7/1/30

(USD)  (5)

310,000‌

274‌

Consorcio

Transmantaro,

5.20%,

4/11/38

(USD)  (2)

200,000‌

172‌

InRetail

Consumer,

3.25%,

3/22/28

(USD) 

300,000‌

238‌

684‌

Government

Bonds

0.2%

Fondo

MIVIVIENDA,

4.625%,

4/12/27

(USD) 

300,000‌

279‌

Republic

of

Peru,

5.94%,

2/12/29 

1,250,000‌

282‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

32

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Republic

of

Peru,

6.95%,

8/12/31 

1,200,000‌

277‌

838‌

Total

Peru

(Cost

$1,661

)

1,544‌

PHILIPPINES

0.2%

Corporate

Bonds

0.1%

Globe

Telecom,

VR,

4.20%

(USD)  (5)(9)

300,000‌

256‌

256‌

Government

Bonds

0.1%

Republic

of

Philippines,

6.25%,

1/14/36 

23,000,000‌

361‌

361‌

Total

Philippines

(Cost

$837

)

617‌

PORTUGAL

0.0%

Common

Stocks

0.0%

Galp

Energia 

2,567‌

26‌

Jeronimo

Martins 

1,286‌

27‌

Total

Portugal

(Cost

$52

)

53‌

ROMANIA

0.3%

Government

Bonds

0.3%

Republic

of

Romania,

2.125%,

3/7/28

(EUR) 

220,000‌

172‌

Republic

of

Romania,

3.00%,

2/27/27

(USD) 

260,000‌

224‌

Republic

of

Romania,

5.00%,

2/12/29 

4,500,000‌

729‌

Total

Romania

(Cost

$1,655

)

1,125‌

SAUDI

ARABIA

0.1%

Corporate

Bonds

0.1%

Dar

Al-Arkan

Sukuk,

6.75%,

2/15/25

(USD) 

300,000‌

287‌

Riyad

Sukuk,

VR,

3.174%,

2/25/30

(USD)  (5)

200,000‌

188‌

Total

Saudi

Arabia

(Cost

$510

)

475‌

SENEGAL

0.1%

Government

Bonds

0.1%

Republic

of

Senegal,

6.25%,

5/23/33

(USD) 

310,000‌

234‌

Total

Senegal

(Cost

$290

)

234‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

33

Shares/Par

$

Value

(Cost

and

value

in

$000s)

SERBIA

0.2%

Government

Bonds

0.2%

Republic

of

Serbia,

2.125%,

12/1/30

(USD) 

310,000‌

216‌

Republic

of

Serbia,

4.50%,

8/20/32 

100,000,000‌

649‌

Total

Serbia

(Cost

$1,352

)

865‌

SINGAPORE

0.0%

Common

Stocks

0.0%

Sea,

ADR

(USD)  (1)

1,698‌

84‌

Total

Singapore

(Cost

$126

)

84‌

SOUTH

AFRICA

0.9%

Government

Bonds

0.9%

Republic

of

South

Africa,

4.85%,

9/30/29

(USD)  (3)

300,000‌

256‌

Republic

of

South

Africa,

5.375%,

7/24/44

(USD)  (3)

300,000‌

201‌

Republic

of

South

Africa,

7.00%,

2/28/31 

5,400,000‌

228‌

Republic

of

South

Africa,

8.00%,

1/31/30 

9,880,000‌

462‌

Republic

of

South

Africa,

8.75%,

2/28/48 

14,279,000‌

588‌

Republic

of

South

Africa,

10.50%,

12/21/26 

23,650,000‌

1,351‌

Total

South

Africa

(Cost

$3,691

)

3,086‌

SOUTH

KOREA

0.0%

Common

Stocks

0.0%

Hyundai

Mobis 

258‌

40‌

40‌

Convertible

Bonds

0.0%

POSCO

Holdings,

Zero

Coupon,

9/1/26

(EUR) 

100,000‌

90‌

90‌

Total

South

Korea

(Cost

$140

)

130‌

SPAIN

0.1%

Common

Stocks

0.1%

Amadeus

IT

Group,

Class

A  (1)

7,147‌

373‌

Cellnex

Telecom 

191‌

6‌

379‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

34

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Corporate

Bonds

0.0%

Cirsa

Finance

International,

10.375%,

11/30/27  (2)

100,000‌

99‌

99‌

Total

Spain

(Cost

$547

)

478‌

SRI

LANKA

0.1%

Government

Bonds

0.1%

Republic

of

Sri

Lanka,

6.825%,

7/18/26

(USD)  (1)(7)

310,000‌

74‌

Republic

of

Sri

Lanka,

6.85%,

11/3/25

(USD)  (1)(7)

560,000‌

135‌

Total

Sri

Lanka

(Cost

$369

)

209‌

SURINAME

0.3%

Government

Bonds

0.3%

Republic

of

Suriname,

9.25%,

10/26/26

(USD)  (1)(7)

1,200,000‌

964‌

Total

Suriname

(Cost

$883

)

964‌

SWEDEN

0.7%

Bank

Loans

0.2%

(4)

Anticimex

Global,

FRN,

1M

USD

LIBOR

+

3.50%,

6.57%,

11/16/28

(USD)  (6)

595,500‌

576‌

Anticimex

Global,

FRN,

1M

USD

LIBOR

+

4.00%,

5.598%,

11/16/28

(USD) 

99,250‌

96‌

672‌

Common

Stocks

0.1%

Alfa

Laval 

431‌

11‌

Boliden 

1,151‌

33‌

Epiroc,

Class

B 

1,251‌

17‌

Sandvik 

865‌

13‌

Spotify

Technology

(USD)  (1)

368‌

30‌

Svenska

Cellulosa,

Class

B 

23,089‌

272‌

Swedish

Match 

1,515‌

16‌

392‌

Corporate

Bonds

0.1%

Castellum,

2.125%,

11/20/23

(EUR)  (3)

200,000‌

186‌

Verisure

Holding,

FRN,

3M

EURIBOR

+

5.00%,

6.378%,

4/15/25

(EUR)  (2)

100,000‌

98‌

284‌

Government

Bonds

0.3%

Kingdom

of

Sweden,

2.25%,

6/1/32 

7,750,000‌

704‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

35

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Kingdom

of

Sweden,

3.50%,

3/30/39 

3,200,000‌

346‌

1,050‌

Total

Sweden

(Cost

$2,817

)

2,398‌

SWITZERLAND

0.1%

Common

Stocks

0.1%

Cie

Financiere

Richemont,

Class

A 

281‌

28‌

Julius

Baer

Group 

372‌

18‌

Montana

Aerospace  (1)

2,597‌

30‌

Nestle 

939‌

102‌

Roche

Holding 

76‌

25‌

Total

Switzerland

(Cost

$228

)

203‌

TAIWAN

0.2%

Common

Stocks

0.2%

Taiwan

Semiconductor

Manufacturing 

50,000‌

601‌

Total

Taiwan

(Cost

$934

)

601‌

THAILAND

0.6%

Corporate

Bonds

0.3%

Bangkok

Bank,

VR,

3.733%,

9/25/34

(USD)  (5)

310,000‌

231‌

Indorama

Ventures

Global

Services,

4.375%,

9/12/24

(USD) 

300,000‌

288‌

Kasikornbank,

VR,

3.343%,

10/2/31

(USD)  (5)

310,000‌

261‌

Thaioil

Treasury

Center,

2.50%,

6/18/30

(USD) 

310,000‌

225‌

Thaioil

Treasury

Center,

3.50%,

10/17/49

(USD) 

310,000‌

153‌

1,158‌

Government

Bonds

0.3%

Kingdom

of

Thailand,

3.60%,

6/17/67 

10,500,000‌

219‌

Kingdom

of

Thailand,

Inflation-Indexed,

1.25%,

3/12/28 

31,469,200‌

804‌

1,023‌

Total

Thailand

(Cost

$2,701

)

2,181‌

TRINIDAD

AND

TOBAGO

0.1%

Government

Bonds

0.1%

Republic

of

Trinidad

&

Tobago,

4.50%,

8/4/26

(USD) 

300,000‌

291‌

Total

Trinidad

and

Tobago

(Cost

$299

)

291‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

36

Shares/Par

$

Value

(Cost

and

value

in

$000s)

UNITED

ARAB

EMIRATES

0.2%

Corporate

Bonds

0.2%

DAE

Sukuk

Difc,

3.75%,

2/15/26

(USD) 

300,000‌

273‌

Emirates

NBD

Bank,

VR,

6.125%

(USD)  (5)(9)

310,000‌

295‌

Total

United

Arab

Emirates

(Cost

$607

)

568‌

UNITED

KINGDOM

4.4%

Bank

Loans

0.2%

(4)

Motion

Finco,

FRN,

1M

USD

LIBOR

+

3.25%,

6.924%,

11/12/26

(USD) 

742,528‌

702‌

702‌

Common

Stocks

0.8%

Ashtead

Group 

12,683‌

661‌

AstraZeneca,

ADR

(USD) 

1,380‌

81‌

Compass

Group 

1,851‌

39‌

Derwent

London 

16,104‌

399‌

Direct

Line

Insurance

Group 

1,812‌

4‌

Farfetch,

Class

A

(USD)  (1)

976‌

8‌

London

Stock

Exchange

Group 

12,037‌

1,043‌

Mondi 

602‌

10‌

Next 

229‌

13‌

Novocure

(USD)  (1)

292‌

21‌

Rentokil

Initial 

5,967‌

37‌

Shell 

1,322‌

37‌

Smiths

Group 

1,610‌

29‌

Trainline  (1)

70,558‌

268‌

Unilever

(EUR) 

1,115‌

51‌

UNITE

Group 

1,123‌

11‌

Weir

Group 

1,421‌

25‌

Wise,

Class

A  (1)

4,041‌

31‌

2,768‌

Corporate

Bonds

1.2%

Barclays,

VR,

7.385%,

11/2/28

(USD)  (5)

200,000‌

199‌

Barclays,

VR,

7.437%,

11/2/33

(USD)  (5)

1,835,000‌

1,827‌

BAT

Capital,

7.75%,

10/19/32

(USD) 

250,000‌

256‌

Clear

Channel

International,

6.625%,

8/1/25

(USD)  (2)(3)

400,000‌

382‌

eG

Global

Finance,

8.50%,

10/30/25

(USD)  (2)

200,000‌

185‌

HSBC

Holdings,

VR,

5.402%,

8/11/33

(USD)  (5)

1,230,000‌

1,064‌

HSBC

Holdings,

VR,

7.39%,

11/3/28

(USD)  (5)

200,000‌

200‌

HSBC

Holdings,

VR,

8.113%,

11/3/33

(USD)  (5)

200,000‌

200‌

4,313‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

37

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Government

Bonds

2.2%

United

Kingdom

Inflation-Linked

Gilt,

0.125%,

3/22/24 

6,510,437‌

7,785‌

7,785‌

Total

United

Kingdom

(Cost

$16,940

)

15,568‌

UNITED

STATES

39.0%

Asset-Backed

Securities

2.2%

Amur

Equipment

Finance

Receivables

X,

Series

2022-1A,

Class

E,

5.02%,

12/20/28  (2)

465,000‌

419‌

Blackbird

Capital

Aircraft

Lease

Securitization,

Series

2016-1A,

Class

A,

STEP,

4.213%,

12/16/41  (2)

417,940‌

352‌

Carvana

Auto

Receivables

Trust,

Series

2021-N3,

Class

C,

1.02%,

6/12/28 

85,000‌

82‌

Elara

HGV

Timeshare

Issuer,

Series

2019-A,

Class

C,

3.45%,

1/25/34  (2)

67,045‌

61‌

Exeter

Automobile

Receivables

Trust,

Series

2022-2A,

Class

D,

4.56%,

7/17/28 

340,000‌

315‌

ExteNet,

Series

2019-1A,

Class

B,

4.14%,

7/26/49  (2)

260,000‌

245‌

FOCUS

Brands

Funding,

Series

2018-1,

Class

A2,

5.184%,

10/30/48  (2)

758,400‌

692‌

FOCUS

Brands

Funding,

Series

2022-1,

Class

A2,

7.206%,

7/30/52  (2)

249,375‌

235‌

Hardee's

Funding,

Series

2021-1A,

Class

A2,

2.865%,

6/20/51  (2)

266,625‌

207‌

HPS

Loan

Management,

Series

11A-17,

Class

CR,

CLO,

FRN,

3M

USD

LIBOR

+

1.95%,

4.813%,

5/6/30  (2)

335,000‌

307‌

JPMorgan

Chase

Bank,

Series

2021-1,

Class

D,

1.174%,

9/25/28  (2)

481,798‌

461‌

JPMorgan

Chase

Bank,

Series

2021-3,

Class

D,

1.009%,

2/26/29  (2)

147,567‌

139‌

JPMorgan

Chase

Bank,

Series

2021-3,

Class

E,

2.102%,

2/26/29  (2)

300,599‌

284‌

Morgan

Stanley

Eaton

Vance,

Series

2021-1A,

Class

D,

CLO,

FRN,

3M

USD

LIBOR

+

3.10%,

7.425%,

10/20/34  (2)

285,000‌

243‌

Octane

Receivables

Trust,

Series

2021-1A,

Class

A,

0.93%,

3/22/27  (2)

96,451‌

93‌

Octane

Receivables

Trust,

Series

2021-2A,

Class

A,

1.21%,

9/20/28  (2)

59,592‌

57‌

Octane

Receivables

Trust,

Series

2021-2A,

Class

C,

2.53%,

5/21/29  (2)

320,000‌

279‌

Octane

Receivables

Trust,

Series

2022-1A,

Class

C,

5.21%,

8/21/28  (2)

610,000‌

580‌

Palmer

Square,

Series

2021-3A,

Class

E,

CLO,

FRN,

3M

USD

LIBOR

+

6.15%,

10.229%,

1/15/35  (2)

250,000‌

207‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

38

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Peace

Park,

Series

2021-1A,

Class

D,

CLO,

FRN,

3M

USD

LIBOR

+

2.95%,

7.193%,

10/20/34  (2)

510,000‌

439‌

Progress

Residential

Trust,

Series

2020-SFR2,

Class

B,

2.578%,

6/17/37  (2)

260,000‌

239‌

Progress

Residential

Trust,

Series

2022-SFR5,

Class

D,

5.734%,

6/17/39  (2)

100,000‌

92‌

Santander

Bank

Auto

Credit-Linked

Notes,

Series

2022-A,

Class

B,

5.281%,

5/15/32  (2)

518,158‌

500‌

Santander

Bank

Auto

Credit-Linked

Notes,

Series

2022-B,

Class

D,

6.793%,

8/16/32  (2)

473,891‌

470‌

Santander

Retail

Auto

Lease

Trust,

Series

2020-A,

Class

D,

2.52%,

11/20/24  (2)

395,000‌

388‌

Stonepeak,

Series

2021-1A,

Class

B,

3.821%,

2/28/33  (2)

355,674‌

306‌

7,692‌

Bank

Loans

6.8%

(4)

Applied

Systems,

FRN,

1M

USD

LIBOR

+

3.00%,

6.674%,

9/19/24 

1,398,385‌

1,379‌

Applied

Systems,

FRN,

1M

USD

LIBOR

+

5.50%,

9.174%,

9/19/25 

375,000‌

367‌

Aretec

Group,

FRN,

3M

USD

LIBOR

+

4.25%,

8.079%,

10/1/25 

89,075‌

86‌

Asurion,

FRN,

1M

USD

LIBOR

+

3.00%,

6.754%,

11/3/24 

334,245‌

315‌

Asurion,

FRN,

1M

USD

LIBOR

+

5.25%,

9.004%,

1/31/28 

101,879‌

71‌

Asurion,

FRN,

1M

USD

LIBOR

+

5.25%,

9.004%,

1/20/29 

700,000‌

485‌

Cano

Health,

FRN,

1M

TSFR

+

4.00%,

7.829%,

11/23/27 

108,901‌

92‌

Charter

Next

Generation,

FRN,

1M

USD

LIBOR

+

3.75%,

7.504%,

12/1/27 

605,919‌

586‌

CNT

Holdings

I,

FRN,

1M

USD

LIBOR

+

3.50%,

7.239%,

11/8/27 

592,481‌

576‌

ConnectWise,

FRN,

1M

USD

LIBOR

+

3.50%,

7.174%,

9/29/28 

595,500‌

561‌

Delta

Topco,

FRN,

1M

USD

LIBOR

+

7.25%,

9.336%,

12/1/28 

310,000‌

265‌

Diamond,

FRN,

1M

USD

LIBOR

+

2.75%,

7.165%,

9/29/28 

516,100‌

482‌

Edelman

Financial

Engines

Center,

FRN,

3M

USD

LIBOR

+

6.75%,

10.504%,

7/20/26 

805,000‌

725‌

Engineered

Machinery

Holdings,

FRN,

1M

USD

LIBOR

+

6.50%,

10.174%,

5/21/29 

145,000‌

135‌

Engineered

Machinery

Holdings,

FRN,

3M

USD

LIBOR

+

6.00%,

9.674%,

5/21/29 

465,000‌

430‌

Epicor

Software,

FRN,

1M

USD

LIBOR

+

7.75%,

11.504%,

7/31/28 

605,000‌

592‌

Fertitta

Entertainment,

FRN,

1M

TSFR

+

4.00%,

7.729%,

1/27/29 

497,500‌

466‌

Fleet

U.S.

Bidco,

FRN,

1M

USD

LIBOR

+

3.00%,

7.928%,

10/7/26  (6)

87,118‌

86‌

Heartland

Dental,

FRN,

3M

USD

LIBOR

+

3.50%,

7.254%,

4/30/25 

987,124‌

920‌

Hyland

Software,

FRN,

1M

USD

LIBOR

+

3.50%,

7.254%,

7/1/24  (10)

987,988‌

962‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

39

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Infinite

Bidco,

FRN,

1M

USD

LIBOR

+

3.25%,

6.924%,

3/2/28 

395,000‌

369‌

Infinite

Bidco,

FRN,

1M

USD

LIBOR

+

7.00%,

10.674%,

3/2/29 

400,000‌

368‌

IRB

Holding,

FRN,

1M

TSFR

+

3.00%,

6.208%,

12/15/27 

531,167‌

517‌

Loyalty

Ventures,

FRN,

1M

USD

LIBOR

+

4.50%,

8.254%,

11/3/27 

99,214‌

31‌

Medline

Borrower,

FRN,

1M

USD

LIBOR

+

3.25%,

7.004%,

10/23/28 

830,825‌

763‌

MH

Sub

I,

FRN,

1M

USD

LIBOR

+

3.75%,

7.504%,

9/13/24 

951,470‌

915‌

MH

Sub

I,

FRN,

1M

USD

LIBOR

+

6.25%,

9.979%,

2/23/29 

265,000‌

242‌

MH

Sub

I,

FRN,

3M

USD

LIBOR

+

3.75%,

7.504%,

9/13/24 

886,813‌

852‌

MIC

Glen,

FRN,

1M

USD

LIBOR

+

3.50%,

7.254%,

7/21/28 

197,250‌

185‌

MIC

Glen,

FRN,

1M

USD

LIBOR

+

6.75%,

10.504%,

7/20/29 

800,000‌

730‌

PetSmart,

FRN,

1M

USD

LIBOR

+

3.75%,

7.50%,

2/11/28 

592,500‌

569‌

Planview

Parent,

FRN,

1M

USD

LIBOR

+

4.00%,

7.674%,

12/17/27 

763,412‌

710‌

Project

Ruby

Ultimate

Parent,

FRN,

1M

USD

LIBOR

+

3.25%,

7.004%,

3/10/28 

591,741‌

556‌

RealPage,

FRN,

1M

USD

LIBOR

+

3.00%,

6.754%,

4/24/28 

856,350‌

803‌

RealPage,

FRN,

1M

USD

LIBOR

+

6.50%,

10.254%,

4/23/29 

795,000‌

763‌

Rent-A-Center,

FRN,

1M

USD

LIBOR

+

3.25%,

7.688%,

2/17/28 

433,499‌

397‌

Rising

Tide

Holdings,

FRN,

1M

USD

LIBOR

+

8.25%,

12.004%,

6/1/29 

400,000‌

288‌

S2P

Acquisition

Borrower,

FRN,

3M

USD

LIBOR

+

3.75%,

7.479%,

8/14/26 

279,723‌

267‌

Sophia,

FRN,

1M

USD

LIBOR

+

3.50%,

7.174%,

10/7/27 

999,782‌

960‌

Tacala

Investment,

FRN,

1M

USD

LIBOR

+

3.50%,

7.254%,

2/5/27 

493,540‌

463‌

Tacala

Investment,

FRN,

1M

USD

LIBOR

+

7.50%,

11.254%,

2/4/28 

495,000‌

445‌

Talen

Energy

Supply,

FRN,

1M

TSFR

+

4.75%,

7.632%,

11/11/23  (1)

700,000‌

700‌

Univision

Communications,

FRN,

3M

USD

LIBOR

+

2.75%,

6.504%,

3/15/24 

322,717‌

320‌

Wand

NewCo

3,

FRN,

1M

USD

LIBOR

+

3.00%,

6.754%,

2/5/26 

416,218‌

390‌

William

Morris

Endeavor

Entertainment,

FRN,

3M

USD

LIBOR

+

2.75%,

6.51%,

5/18/25 

699,897‌

680‌

Woof

Holdings,

FRN,

1M

USD

LIBOR

+

3.75%,

7.315%,

12/21/27  (6)

512,941‌

490‌

Woof

Holdings,

FRN,

1M

USD

LIBOR

+

7.25%,

10.815%,

12/21/28 

580,000‌

521‌

Xplornet

Communications,

FRN,

1M

USD

LIBOR

+

4.00%,

7.754%,

10/2/28 

163,350‌

140‌

Xplornet

Communications,

FRN,

1M

USD

LIBOR

+

7.00%,

10.754%,

10/1/29  (6)

110,000‌

92‌

24,107‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

40

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Common

Stocks

13.8%

10X

Genomics,

Class

A  (1)

344‌

9‌

7

Acquisition  (1)

49,900‌

507‌

AbbVie 

336‌

49‌

Acadia

Realty

Trust,

REIT 

724‌

10‌

Advanced

Micro

Devices  (1)

7,506‌

451‌

AGCO 

92‌

11‌

Agilent

Technologies 

360‌

50‌

Air

Lease 

1,788‌

63‌

Air

Products

&

Chemicals 

116‌

29‌

Airbnb,

Class

A  (1)

70‌

7‌

Albemarle 

55‌

15‌

Alexandria

Real

Estate

Equities,

REIT 

115‌

17‌

Alnylam

Pharmaceuticals  (1)

256‌

53‌

Alphabet,

Class

A  (1)

5,527‌

522‌

Alphabet,

Class

C  (1)

2,458‌

233‌

Amazon.com  (1)

17,665‌

1,810‌

Ameren 

179‌

15‌

American

International

Group 

1,253‌

71‌

American

Tower,

REIT 

469‌

97‌

Ameriprise

Financial 

117‌

36‌

Analog

Devices 

820‌

117‌

Apellis

Pharmaceuticals  (1)

234‌

14‌

Apollo

Global

Management 

789‌

44‌

Apple 

9,191‌

1,409‌

Apple

Hospitality

REIT 

763‌

13‌

Arch

Capital

Group  (1)

702‌

40‌

Arena

Fortify

Acquisition,

Warrants,

12/31/28  (1)

24,620‌

1‌

Arena

Fortify

Acquisition,

Class

A  (1)

49,240‌

497‌

Armstrong

World

Industries 

402‌

30‌

Arthur

J

Gallagher 

224‌

42‌

AT&T 

3,891‌

71‌

Atlassian,

Class

A  (1)

2,639‌

535‌

AvalonBay

Communities,

REIT 

127‌

22‌

Avantor  (1)

954‌

19‌

Avery

Dennison 

105‌

18‌

Axis

Capital

Holdings 

571‌

31‌

Baker

Hughes 

533‌

15‌

Ball 

1,108‌

55‌

Bank

of

America 

2,251‌

81‌

Bank

of

New

York

Mellon 

866‌

36‌

BankUnited 

728‌

26‌

Barings

BDC 

1,605‌

14‌

Battery

Future

Acquisition  (1)

73,400‌

744‌

Beard

Energy

Transition

Acquisition  (1)

74,100‌

742‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

41

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Becton

Dickinson

&

Company 

185‌

44‌

Belden 

876‌

61‌

Berkshire

Hathaway,

Class

B  (1)

66‌

19‌

Bill.com

Holdings  (1)

781‌

104‌

Biogen  (1)

75‌

21‌

Black

Knight  (1)

294‌

18‌

Block,

Class

A  (1)

3,552‌

213‌

Blueprint

Medicines  (1)

228‌

12‌

Boeing  (1)

505‌

72‌

Booking

Holdings  (1)

46‌

86‌

Booz

Allen

Hamilton

Holding 

3,225‌

351‌

BRC,

Class

A  (1)(3)

801‌

6‌

Bright

Horizons

Family

Solutions  (1)

3,479‌

227‌

Bruker 

423‌

26‌

Bullpen

Parlay

Acquisition  (1)

72,300‌

732‌

Burlington

Stores  (1)

6,309‌

902‌

C4

Therapeutics  (1)

495‌

5‌

Cactus,

Class

A 

462‌

24‌

Camden

Property

Trust,

REIT 

105‌

12‌

Canva,

Acquisition

Date:

8/16/21

-

12/22/21,

Cost $245  (1)(6)(8)

144‌

138‌

Capital

One

Financial 

608‌

64‌

Capitalworks

Emerging

Markets

Acquisition  (1)

72,800‌

740‌

Carvana  (1)(3)

345‌

5‌

Catalent  (1)

183‌

12‌

Caterpillar 

93‌

20‌

Cboe

Global

Markets 

256‌

32‌

CC

Neuberger

Principal

Holdings

III,

Class

A  (1)

41,992‌

420‌

CC

Neuberger

Principal

Holdings

III,

Class

A,

Warrants,

12/31/27  (1)

8,398‌

2‌

Cedar

Fair 

502‌

21‌

Centene  (1)

709‌

60‌

Cerevel

Therapeutics

Holdings  (1)

403‌

11‌

Ceridian

HCM

Holding  (1)

474‌

31‌

CF

Industries

Holdings 

284‌

30‌

ChampionX 

517‌

15‌

Charles

Schwab 

20,140‌

1,605‌

Charter

Communications,

Class

A  (1)

96‌

35‌

Chevron 

437‌

79‌

Chipotle

Mexican

Grill  (1)

35‌

52‌

Chubb 

466‌

100‌

Cigna 

136‌

44‌

Citigroup 

1,392‌

64‌

Citizens

Financial

Group 

904‌

37‌

CME

Group 

121‌

21‌

CMS

Energy 

203‌

12‌

CNA

Financial 

100‌

4‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

42

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Coca-Cola 

689‌

41‌

Comcast,

Class

A 

984‌

31‌

Concord

Acquisition

Corp

III  (1)

49,500‌

499‌

Confluent,

Class

A  (1)

1,670‌

45‌

ConocoPhillips 

5,244‌

661‌

Cooper 

41‌

11‌

Corebridge

Financial 

10,695‌

242‌

Costco

Wholesale 

210‌

105‌

Crowdstrike

Holdings,

Class

A  (1)

748‌

121‌

Crown

Castle,

REIT 

347‌

46‌

CubeSmart,

REIT 

493‌

21‌

Cummins 

475‌

116‌

Danaher 

413‌

104‌

Darling

Ingredients  (1)

477‌

37‌

Datadog,

Class

A  (1)

666‌

54‌

Deere 

53‌

21‌

Denali

Therapeutics  (1)

318‌

9‌

Devon

Energy 

981‌

76‌

Dexcom  (1)

230‌

28‌

Dime

Community

Bancshares 

586‌

20‌

Dollar

General 

296‌

75‌

Dollar

Tree  (1)

175‌

28‌

Dominion

Energy 

180‌

13‌

DoorDash,

Class

A  (1)

2,115‌

92‌

Douglas

Emmett,

REIT 

243‌

4‌

Doximity,

Class

A  (1)

370‌

10‌

DraftKings,

Class

A  (1)

666‌

11‌

East

West

Bancorp 

457‌

33‌

Element

Solutions 

807‌

14‌

Elevance

Health 

553‌

302‌

Eli

Lilly 

2,558‌

926‌

Encore

Capital

Group  (1)

279‌

14‌

Entegris 

101‌

8‌

EOG

Resources 

4,793‌

654‌

EQRx,

Warrants,

12/31/28  (1)

2,200‌

2‌

Equinix,

REIT 

182‌

103‌

Equitable

Holdings 

1,242‌

38‌

Equity

LifeStyle

Properties,

REIT 

256‌

16‌

Equity

Residential,

REIT 

321‌

20‌

Essex

Property

Trust,

REIT 

57‌

13‌

Estee

Lauder,

Class

A 

2,104‌

422‌

Eucrates

Biomedical

Acquisition,

Warrants,

12/14/25  (1)

3,266‌

—‌

Exact

Sciences  (1)

6,039‌

210‌

Exelixis  (1)

581‌

10‌

Fate

Therapeutics  (1)(3)

382‌

8‌

FedEx 

389‌

62‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

43

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Fifth

Third

Bancorp 

1,390‌

50‌

Figs,

Class

A  (1)(3)

1,192‌

9‌

First

American

Financial 

279‌

14‌

Fiserv  (1)

210‌

22‌

Floor

&

Decor

Holdings,

Class

A  (1)

316‌

23‌

FMC 

283‌

34‌

Freshpet  (1)(3)

1,629‌

96‌

Games

&

Esports

Experience

Acquisition  (1)

72,400‌

737‌

Generac

Holdings  (1)

284‌

33‌

General

Electric 

12,884‌

1,002‌

Goldman

Sachs

Group 

225‌

78‌

Green

Visor

Financial

Technology

Acquisition

I,

Warrants,

5/8/23  (1)

24,900‌

1‌

Green

Visor

Financial

Technology

Acquisition

I,

Class

A  (1)

49,800‌

508‌

Guardant

Health  (1)

253‌

13‌

Hanover

Insurance

Group 

13‌

2‌

Hartford

Financial

Services

Group 

1,020‌

74‌

HashiCorp,

Class

A  (1)(3)

1,218‌

37‌

HCA

Healthcare 

109‌

24‌

Hess 

3,145‌

444‌

Hilton

Worldwide

Holdings 

551‌

75‌

Hologic  (1)

391‌

27‌

Home

BancShares 

549‌

14‌

Home

Depot 

575‌

170‌

Honeywell

International 

712‌

145‌

Hubbell 

106‌

25‌

HubSpot  (1)

1,184‌

351‌

Humana 

122‌

68‌

Huntington

Bancshares 

4,821‌

73‌

Incyte  (1)

154‌

11‌

Infinite

Acquisition  (1)

74,909‌

756‌

Ingersoll

Rand 

2,022‌

102‌

Insmed  (1)

613‌

11‌

Insulet  (1)

80‌

21‌

Intellia

Therapeutics  (1)

130‌

7‌

International

Paper 

582‌

20‌

Intuit 

235‌

100���

Intuitive

Surgical  (1)

2,135‌

526‌

Ionis

Pharmaceuticals  (1)

337‌

15‌

JB

Hunt

Transport

Services 

422‌

72‌

JPMorgan

Chase 

338‌

43‌

Karuna

Therapeutics  (1)

103‌

23‌

Kemper 

357‌

17‌

Keurig

Dr

Pepper 

868‌

34‌

Kilroy

Realty,

REIT 

118‌

5‌

KKR 

727‌

35‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

44

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Liberty

Media

Acquisition,

Class

A  (1)

10,040‌

101‌

Liberty

Media

Acquisition,

Class

A,

Warrants,

12/31/27  (1)

2,008‌

—‌

Liberty

Media-Liberty

Formula

One,

Class

C  (1)

9,769‌

564‌

Linde 

321‌

95‌

Live

Nation

Entertainment  (1)

677‌

54‌

Lululemon

Athletica  (1)

125‌

41‌

Magnolia

Oil

&

Gas,

Class

A 

876‌

22‌

Marsh

&

McLennan 

355‌

57‌

Martin

Marietta

Materials 

50‌

17‌

Mastercard,

Class

A 

3,384‌

1,111‌

McDonald's 

355‌

97‌

McLaren

Technology

Acquisition,

Warrants,

3/3/23  (1)

24,800‌

1‌

McLaren

Technology

Acquisition,

Class

A  (1)

49,600‌

500‌

Merck 

700‌

71‌

Meta

Platforms,

Class

A  (1)

421‌

39‌

MetLife 

762‌

56‌

Mettler-Toledo

International  (1)

11‌

14‌

MGM

Resorts

International 

771‌

27‌

Microsoft 

5,951‌

1,381‌

Middleby  (1)

299‌

42‌

Mirati

Therapeutics  (1)

91‌

6‌

Moderna  (1)

282‌

42‌

Molina

Healthcare  (1)

140‌

50‌

Mondelez

International,

Class

A 

951‌

58‌

MongoDB  (1)

1,459‌

267‌

Monster

Beverage  (1)

507‌

48‌

Morgan

Stanley 

511‌

42‌

Mueller

Water

Products,

Class

A 

2,386‌

28‌

Nabors

Energy

Transition  (1)

50,400‌

512‌

Netflix  (1)

1,081‌

316‌

Neurocrine

Biosciences  (1)

103‌

12‌

NextEra

Energy 

119‌

9‌

NIKE,

Class

B 

713‌

66‌

Norfolk

Southern 

62‌

14‌

NOV 

2,653‌

59‌

NVIDIA 

2,453‌

331‌

Onyx

Acquisition

I,

Class

A  (1)

49,600‌

506‌

Onyx

Acquisition

I,

Class

A,

Warrants,

1/7/23  (1)

24,800‌

1‌

Opendoor

Technologies,

Class

A  (1)(3)

4,557‌

12‌

O'Reilly

Automotive  (1)

74‌

62‌

Pacific

Biosciences

of

California  (1)(3)

898‌

8‌

Packaging

Corp.

of

America 

249‌

30‌

Patreon,

Acquisition

Date:

10/14/21,

Cost $9  (1)(6)(8)

165‌

5‌

Paycom

Software  (1)

213‌

74‌

Paylocity

Holding  (1)

434‌

101‌

Penumbra  (1)

136‌

23‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

45

Shares/Par

$

Value

(Cost

and

value

in

$000s)

PepsiCo 

397‌

72‌

Pfizer 

1,480‌

69‌

Pioneer

Natural

Resources 

268‌

69‌

PNC

Financial

Services

Group 

54‌

9‌

Popular 

530‌

37‌

Power

&

Digital

Infrastructure

Acquisition

II  (1)

73,800‌

736‌

Procter

&

Gamble 

739‌

100‌

Prologis,

REIT 

330‌

37‌

PROOF

Acquisition

I  (1)

72,800‌

731‌

Public

Storage,

REIT 

109‌

34‌

Quaker

Chemical  (3)

343‌

56‌

Quanta

Services 

120‌

17‌

QuidelOrtho  (1)

69‌

6‌

Raymond

James

Financial 

451‌

53‌

RCF

Acquisition  (1)

49,700‌

506‌

Regency

Centers,

REIT 

289‌

17‌

Regeneron

Pharmaceuticals  (1)

104‌

78‌

RenaissanceRe

Holdings 

221‌

34‌

Rent

the

Runway,

Class

A  (1)(3)

1,706‌

3‌

Rexford

Industrial

Realty,

REIT 

307‌

17‌

Rivian

Automotive,

Class

A  (1)

2,423‌

85‌

ROBLOX,

Class

A  (1)

9,762‌

437‌

Roper

Technologies 

298‌

124‌

Royalty

Pharma,

Class

A 

376‌

16‌

RPM

International 

341‌

32‌

Saia  (1)

98‌

19‌

Salesforce  (1)

446‌

73‌

Sandy

Spring

Bancorp 

339‌

12‌

SBA

Communications,

REIT 

431‌

116‌

Sculptor

Acquisition

I  (1)

72,241‌

732‌

Seagen  (1)

99‌

13‌

Sealed

Air 

606‌

29‌

Seaport

Global

Acquisition

II  (1)

49,251‌

498‌

Seer  (1)

496‌

4‌

Selective

Insurance

Group 

46‌

5‌

Sempra

Energy 

116‌

18‌

ServiceNow  (1)

1,883‌

792‌

Sherwin-Williams 

3,334‌

750‌

Shoals

Technologies

Group,

Class

A  (1)

746‌

17‌

Shockwave

Medical  (1)

135‌

40‌

Signature

Bank 

2,171‌

344‌

Simon

Property

Group,

REIT 

234‌

25‌

SL

Green

Realty,

REIT  (3)

190‌

8‌

Snap,

Class

A  (1)(3)

15,252‌

151‌

Snowflake,

Class

A  (1)

1,500‌

240‌

Socure,

Acquisition

Date:

12/22/21,

Cost $1  (1)(6)(8)

89‌

1‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

46

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Southern 

238‌

16‌

Southwest

Airlines  (1)

955‌

35‌

Starbucks 

674‌

58‌

State

Street 

816‌

60‌

Stryker 

266‌

61‌

Sun

Country

Airlines

Holdings  (1)

1,426‌

23‌

Synopsys  (1)

250‌

73‌

T-Mobile

U.S.  (1)

9,498‌

1,440‌

Teleflex 

77‌

17‌

Terreno

Realty,

REIT 

261‌

15‌

Tesla  (1)

2,882‌

656‌

Texas

Pacific

Land 

60‌

138‌

Textron 

318‌

22‌

Thermo

Fisher

Scientific 

265‌

136‌

Toast,

Class

A  (1)

782‌

17‌

Trade

Desk,

Class

A  (1)

831‌

44‌

Travelers 

95‌

18‌

Trinity

Capital 

1,121‌

13‌

U.S.

Bancorp 

1,248‌

53‌

Ultragenyx

Pharmaceutical  (1)

316‌

13‌

Union

Pacific 

69‌

14‌

United

Parcel

Service,

Class

B 

650‌

109‌

UnitedHealth

Group 

2,589‌

1,437‌

UTA

Acquisition  (1)

48,300‌

492‌

Veeva

Systems,

Class

A  (1)

2,083‌

350‌

Velocity

Acquisition,

Warrants,

2/26/27  (1)

8,054‌

—‌

Velocity

Acquisition,

Class

A  (1)

24,163‌

240‌

VeriSign  (1)

143‌

29‌

Verizon

Communications 

1,224‌

46‌

Vertex

Pharmaceuticals  (1)

1,219‌

380‌

Virtus

Investment

Partners 

120‌

21‌

Visa,

Class

A 

592‌

123‌

VMG

Consumer

Acquisition  (1)

49,232‌

496‌

Voya

Financial 

432‌

30‌

Vulcan

Materials 

115‌

19‌

Walt

Disney  (1)

865‌

92‌

Warby

Parker,

Class

A  (1)

692‌

11‌

Warner

Music

Group,

Class

A  (3)

313‌

8‌

Webster

Financial 

691‌

37‌

Wells

Fargo 

2,377‌

109‌

Welltower,

REIT 

261‌

16‌

West

Pharmaceutical

Services 

85‌

20‌

Western

Alliance

Bancorp 

9,973‌

670‌

Westrock 

351‌

12‌

Wingstop 

202‌

32‌

Xcel

Energy 

200‌

13‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

47

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Xometry,

Class

A  (1)

208‌

12‌

Zentalis

Pharmaceuticals  (1)

280‌

7‌

Zoetis 

103‌

16‌

48,566‌

Convertible

Bonds

0.4%

Liberty

Broadband,

2.75%,

9/30/50  (2)

200,000‌

195‌

Pure

Storage,

0.125%,

4/15/23 

473,000‌

573‌

U.S.

Steel,

5.00%,

11/1/26 

318,000‌

537‌

1,305‌

Convertible

Preferred

Stocks

0.2%

2020

Cash

Mandatory

Exchangeable

Trust,

5.25%,

6/1/23  (2)

250‌

318‌

ABL

Space

Systems,

Series

B-2,

Acquisition

Date:

10/22/21,

Cost $91  (1)(6)(8)

1,345‌

91‌

Canva,

Series

A,

Acquisition

Date:

11/4/21

-

12/17/21,

Cost $13  (1)(6)(8)

8‌

8‌

Canva,

Series

A-3,

Acquisition

Date:

12/17/21,

Cost $2  (1)(6)(8)

1‌

1‌

CELLINK,

Series

D,

Acquisition

Date:

1/20/22,

Cost $9  (1)(6)(8)

423‌

9‌

Coalition,

Series

E,

Acquisition

Date:

9/7/21,

Cost $23  (1)(6)(8)

1,376‌

29‌

Databricks,

Series

H,

Acquisition

Date:

8/31/21,

Cost $60  (1)(6)

(8)

816‌

38‌

Eikon

Therapeutics,

Series

B,

Acquisition

Date:

12/3/21,

Cost $6  (1)(6)(8)

330‌

6‌

Epirus,

Series

C-2,

Acquisition

Date:

1/28/22,

Cost $11  (1)(6)(8)

1,889‌

11‌

Formagrid,

Series

F,

Acquisition

Date:

12/8/21,

Cost $41  (1)(6)

(8)

222‌

23‌

Freenome

Holdings,

Series

D,

Acquisition

Date:

11/22/21,

Cost $26  (1)(6)(8)

3,412‌

40‌

Generate

Bio,

Series

B,

Acquisition

Date:

9/2/21,

Cost $8  (1)(6)

(8)

666‌

8‌

Jetti

Holdings,

Series

D,

Acquisition

Date:

9/20/22,

Cost $8  (1)

(6)(8)

63‌

8‌

Kobold

Metals,

Series

B-1,

Acquisition

Date:

1/10/22,

Cost $11  (1)(6)(8)

384‌

11‌

Laronde,

Series

B,

Acquisition

Date:

7/28/21,

Cost $5  (1)(6)(8)

162‌

1‌

Lilac

Solutions,

Series

B,

Acquisition

Date:

9/8/21,

Cost $15  (1)

(6)(8)

1,156‌

16‌

NextEra

Energy,

5.279%,

3/1/23 

676‌

33‌

Nuro,

Series

D,

Acquisition

Date:

10/29/21,

Cost $26  (1)(6)(8)

1,232‌

26‌

Patreon,

Series

D,

Acquisition

Date:

10/21/21,

Cost $13  (1)(6)(8)

238‌

7‌

Rappi,

Series

E,

Acquisition

Date:

9/8/20,

Cost $109  (1)(6)(8)

1,822‌

94‌

Rappi,

Series

F,

Acquisition

Date:

7/8/21,

Cost $34  (1)(6)(8)

534‌

27‌

Socure,

Series

A,

Acquisition

Date:

12/22/21,

Cost $2  (1)(6)(8)

109‌

1‌

Socure,

Series

A-1,

Acquisition

Date:

12/22/21,

Cost $1  (1)(6)(8)

89‌

1‌

Socure,

Series

B,

Acquisition

Date:

12/22/21,

Cost $—  (1)(6)(8)

2‌

—‌

Socure,

Series

E,

Acquisition

Date:

10/27/21,

Cost $3  (1)(6)(8)

207‌

1‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

48

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Treeline,

Series

A,

Acquisition

Date:

9/26/22,

Cost $1  (1)(6)(8)

88‌

1‌

809‌

Corporate

Bonds

9.6%

AEP

Texas,

5.25%,

5/15/52 

110,000‌

96‌

AG

TTMT

Escrow

Issuer,

8.625%,

9/30/27  (2)

195,000‌

196‌

Ally

Financial,

1.45%,

10/2/23 

500,000‌

479‌

Ardagh

Packaging

Finance,

5.25%,

4/30/25  (2)(3)

2,400,000‌

2,265‌

ATI,

5.875%,

12/1/27 

455,000‌

414‌

Calpine,

3.75%,

3/1/31  (2)

915,000‌

746‌

Cano

Health,

6.25%,

10/1/28  (2)

130,000‌

105‌

Carnival,

4.00%,

8/1/28  (2)

495,000‌

397‌

Carpenter

Technology,

7.625%,

3/15/30 

255,000‌

249‌

CD&R

Smokey

Buyer,

6.75%,

7/15/25  (2)

170,000‌

161‌

Cedar

Fair,

5.50%,

5/1/25  (2)

600,000‌

595‌

Celanese

U.S.

Holdings,

5.90%,

7/5/24 

500,000‌

491‌

Celanese

U.S.

Holdings,

6.379%,

7/15/32  (3)

800,000‌

727‌

CHS,

8.00%,

3/15/26  (2)

375,000‌

323‌

Citigroup,

VR,

4.91%,

5/24/33  (5)

220,000‌

200‌

Elanco

Animal

Health,

5.772%,

8/28/23 

217,000‌

216‌

Global

Net

Lease,

3.75%,

12/15/27  (2)

410,000‌

331‌

GPD,

10.125%,

4/1/26  (2)

450,000‌

402‌

Graphic

Packaging

International,

4.125%,

8/15/24 

500,000‌

484‌

HCA,

5.00%,

3/15/24 

2,300,000‌

2,280‌

Hightower

Holding,

6.75%,

4/15/29  (2)

245,000‌

201‌

Home

Point

Capital,

5.00%,

2/1/26  (2)

285,000‌

168‌

Howmet

Aerospace,

5.125%,

10/1/24 

500,000‌

494‌

Jane

Street

Group,

4.50%,

11/15/29  (2)

520,000‌

450‌

KeyCorp,

VR,

4.789%,

6/1/33  (5)

130,000‌

118‌

LCPR

Senior

Secured

Financing,

5.125%,

7/15/29  (2)

430,000‌

362‌

Lions

Gate

Capital

Holdings,

5.50%,

4/15/29  (2)

135,000‌

103‌

Medline

Borrower,

5.25%,

10/1/29  (2)(3)

405,000‌

315‌

NextEra

Energy

Capital

Holdings,

5.00%,

7/15/32 

85,000‌

81‌

NGL

Energy

Operating,

7.50%,

2/1/26  (2)

415,000‌

373‌

NGL

Energy

Partners,

7.50%,

11/1/23  (3)

35,000‌

34‌

Option

Care

Health,

4.375%,

10/31/29  (2)

815,000‌

701‌

Pacific

Gas

&

Electric,

4.95%,

7/1/50 

155,000‌

116‌

Peninsula

Pacific

Entertainment,

8.50%,

11/15/27  (2)

1,800,000‌

1,933‌

PetSmart,

7.75%,

2/15/29  (2)(3)

500,000‌

469‌

PG&E,

5.00%,

7/1/28  (3)

40,000‌

36‌

Photo

Holdings

Merger

Sub,

8.50%,

10/1/26  (2)(3)

330,000‌

220‌

Picard

Midco,

6.50%,

3/31/29  (2)(3)

345,000‌

301‌

PNC

Financial

Services

Group,

VR,

4.626%,

6/6/33  (5)

850,000‌

749‌

Rivian

Holdings,

FRN,

6M

USD

LIBOR

+

5.625%,

10.164%,

10/15/26  (2)

810,000‌

769‌

Royal

Caribbean

Cruises,

8.25%,

1/15/29  (2)

625,000‌

625‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

49

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Sabre

GLBL,

7.375%,

9/1/25  (2)

315,000‌

295‌

Sabre

GLBL,

9.25%,

4/15/25  (2)

45,000‌

44‌

Seagate

HDD

Cayman,

4.875%,

3/1/24 

1,000,000‌

980‌

Select

Medical,

6.25%,

8/15/26  (2)

180,000‌

171‌

Service

Properties

Trust,

4.50%,

6/15/23 

700,000‌

689‌

Service

Properties

Trust,

4.65%,

3/15/24 

700,000‌

660‌

Service

Properties

Trust,

7.50%,

9/15/25 

600,000‌

585‌

Southern,

VR,

1.875%,

9/15/81

(EUR)  (5)

230,000‌

163‌

Sprint,

7.875%,

9/15/23 

2,000,000‌

2,027‌

Teekay

Offshore

Partners,

8.50%,

7/15/23  (1)(2)(7)

170,000‌

10‌

Tenneco,

5.125%,

4/15/29  (2)

405,000‌

403‌

Tenneco,

7.875%,

1/15/29  (2)

500,000‌

497‌

Toll

Brothers

Finance,

4.375%,

4/15/23 

500,000‌

495‌

Townsquare

Media,

6.875%,

2/1/26  (2)

775,000‌

729‌

Transocean

Phoenix

2,

7.75%,

10/15/24  (2)

44,000‌

43‌

Transocean

Pontus,

6.125%,

8/1/25  (2)

22,400‌

21‌

Transocean

Proteus,

6.25%,

12/1/24  (2)

123,750‌

121‌

Tutor

Perini,

6.875%,

5/1/25  (2)(3)

500,000‌

401‌

U.S.

Airways

PTT,

Series

2013-1,

Class

A,

3.95%,

11/15/25 

50,007‌

44‌

U.S.

Foods,

6.25%,

4/15/25  (2)

1,200,000‌

1,195‌

United

Airlines,

4.375%,

4/15/26  (2)

375,000‌

343‌

UnitedHealth

Group,

4.75%,

5/15/52 

115,000‌

100‌

Verizon

Communications,

3.55%,

3/22/51 

150,000‌

101‌

Verscend

Escrow,

9.75%,

8/15/26  (2)

1,000,000‌

1,002‌

VICI

Properties,

5.625%,

5/1/24  (2)

2,000,000‌

1,970‌

Vistra,

VR,

7.00%  (2)(5)(9)

197,000‌

175‌

Vistra,

VR,

8.00%  (2)(5)(9)

205,000‌

195‌

Vistra

Operations,

5.125%,

5/13/25  (2)

525,000‌

507‌

33,741‌

Municipal

Securities

0.6%

Colorado

HFA,

Covenant

Living

Community,

Series

B,

4.48%,

12/1/40 

250,000‌

208‌

Illinois,

Build

America,

GO,

7.10%,

7/1/35 

165,000‌

166‌

Michigan

Tobacco

Settlement

Fin.

Auth.,

Series

B,

Zero

Coupon,

6/1/46 

30,000‌

3‌

Port

Beaumont

Navigation

Dist.,

Jefferson

Gulf

Coast,

Series

B,

6.00%,

1/1/25  (2)

225,000‌

209‌

Puerto

Rico

Commonwealth,

GO,

VR,

11/1/43  (1)(11)

1,071,652‌

489‌

Puerto

Rico

Commonwealth,

Restructured,

Series

A,

GO,

Zero

Coupon,

7/1/24 

15,243‌

14‌

Puerto

Rico

Commonwealth,

Restructured,

Series

A,

GO,

Zero

Coupon,

7/1/33 

58,668‌

30‌

Puerto

Rico

Commonwealth,

Restructured,

Series

A-1,

GO,

4.00%,

7/1/33 

45,589‌

39‌

Puerto

Rico

Commonwealth,

Restructured,

Series

A-1,

GO,

4.00%,

7/1/35 

40,979‌

33‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

50

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Puerto

Rico

Commonwealth,

Restructured,

Series

A-1,

GO,

4.00%,

7/1/37 

35,170‌

28‌

Puerto

Rico

Commonwealth,

Restructured,

Series

A-1,

GO,

4.00%,

7/1/41 

47,818‌

36‌

Puerto

Rico

Commonwealth,

Restructured,

Series

A-1,

GO,

4.00%,

7/1/46 

49,730‌

36‌

Puerto

Rico

Commonwealth,

Restructured,

Series

A-1,

GO,

5.25%,

7/1/23 

25,458‌

26‌

Puerto

Rico

Commonwealth,

Restructured,

Series

A-1,

GO,

5.375%,

7/1/25 

50,774‌

51‌

Puerto

Rico

Commonwealth,

Restructured,

Series

A-1,

GO,

5.625%,

7/1/27 

50,314‌

51‌

Puerto

Rico

Commonwealth,

Restructured,

Series

A-1,

GO,

5.625%,

7/1/29 

49,497‌

50‌

Puerto

Rico

Commonwealth,

Restructured,

Series

A-1,

GO,

5.75%,

7/1/31 

48,077‌

48‌

Puerto

Rico

Electric

Power

Auth.,

Build

America,

5.95%,

7/1/30  (1)(12)

45,000‌

34‌

Puerto

Rico

Electric

Power

Auth.,

Build

America,

6.05%,

7/1/32  (1)(12)

370,000‌

278‌

Tobacco

Settlement

Fin.,

Series

A-1,

6.706%,

6/1/46 

285,000‌

243‌

Tobacco

Settlement

Fin.

Auth.,

Series

B,

4.875%,

6/1/49 

115,000‌

98‌

Tobacco

Settlement

Fin.

Auth.,

Series

B,

Zero

Coupon,

6/1/47 

500,000‌

36‌

2,206‌

Non-U.S.

Government

Mortgage-Backed

Securities

2.0%

BAMLL

Commercial

Mortgage

Securities

Trust,

Series

2021-

JACX,

Class

D,

ARM,

1M

USD

LIBOR

+

2.75%,

6.162%,

9/15/38  (2)

515,000‌

476‌

BAMLL

Commercial

Mortgage

Securities

Trust,

Series

2021-

JACX,

Class

E,

ARM,

1M

USD

LIBOR

+

3.75%,

7.162%,

9/15/38  (2)

100,000‌

91‌

BBCMS

Mortgage

Trust,

Series

2019-BWAY,

Class

E,

ARM,

1M

USD

LIBOR

+

2.85%,

6.262%,

11/15/34  (2)

130,000‌

114‌

BFLD,

Series

2019-DPLO,

Class

F,

ARM,

1M

USD

LIBOR

+

2.54%,

5.952%,

10/15/34  (2)

85,000‌

80‌

BIG

Commercial

Mortgage

Trust,

Series

2022-BIG,

Class

C,

ARM,

1M

TSFR

+

2.34%,

5.716%,

2/15/39  (2)

315,000‌

295‌

BPR

Trust,

Series

2021-NRD,

Class

E,

ARM,

1M

TSFR

+

5.621%,

9.037%,

12/15/23  (2)

175,000‌

162‌

BX

Commercial

Mortgage

Trust,

Series

2019-IMC,

Class

E,

ARM,

1M

USD

LIBOR

+

2.15%,

5.562%,

4/15/34  (2)

160,000‌

148‌

BX

Trust,

Series

2021-VIEW,

Class

F,

ARM,

1M

USD

LIBOR

+

3.93%,

7.342%,

6/15/36  (2)

160,000‌

145‌

CAFL,

Series

2021-RTL1,

Class

A2,

CMO,

STEP,

3.104%,

3/28/29  (2)

830,000‌

735‌

Cantor

Commercial

Real

Estate

Lending,

Series

2019-CF1,

Class

65C,

ARM,

4.123%,

5/15/52  (2)

125,000‌

110‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

51

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Cantor

Commercial

Real

Estate

Lending,

Series

2019-CF1,

Class

65D,

ARM,

4.66%,

5/15/52  (2)

80,000‌

70‌

Commercial

Mortgage

Trust,

Series

2014-CR19,

Class

E,

ARM,

4.197%,

8/10/47  (2)

175,000‌

148‌

Connecticut

Avenue

Securities

Trust,

Series

2022-R01,

Class

1M1,

CMO,

ARM,

SOFR30A

+

1.00%,

3.997%,

12/25/41  (2)

154,639‌

150‌

Connecticut

Avenue

Securities

Trust,

Series

2022-R03,

Class

1M1,

CMO,

ARM,

SOFR30A

+

2.10%,

5.097%,

3/25/42  (2)

316,885‌

313‌

Connecticut

Avenue

Securities

Trust,

Series

2022-R04,

Class

1M2,

CMO,

ARM,

SOFR30A

+

3.10%,

6.097%,

3/25/42  (2)

60,000‌

56‌

Connecticut

Avenue

Securities

Trust,

Series

2022-R06,

Class

1M1,

CMO,

ARM,

SOFR30A

+

2.75%,

5.747%,

5/25/42  (2)

66,967‌

67‌

Credit

Suisse

Mortgage

Trust,

Series

2020-TMIC,

Class

C,

ARM,

1M

USD

LIBOR

+

6.75%,

10.162%,

12/15/35  (2)

100,000‌

99‌

Finance

of

America

HECM

Buyout,

Series

2022-HB1,

Class

M3,

ARM,

5.084%,

2/25/32  (2)

460,000‌

423‌

GCAT

Trust,

Series

2022-NQM3,

Class

A1,

CMO,

ARM,

4.348%,

4/25/67  (2)

120,620‌

110‌

Great

Wolf

Trust,

Series

2019-WOLF,

Class

F,

ARM,

1M

USD

LIBOR

+

3.131%,

6.543%,

12/15/36  (2)

180,000‌

169‌

SLIDE,

Series

2018-FUN,

Class

E,

ARM,

1M

USD

LIBOR

+

2.55%,

5.962%,

6/15/31  (2)

984,777‌

940‌

Structured

Agency

Credit

Risk

Debt

Notes,

Series

2022-DNA2,

Class

M1A,

CMO,

ARM,

SOFR30A

+

1.30%,

4.297%,

2/25/42  (2)

121,510‌

119‌

Structured

Agency

Credit

Risk

Debt

Notes,

Series

2022-DNA2,

Class

M2,

CMO,

ARM,

SOFR30A

+

3.75%,

6.747%,

2/25/42  (2)

665,000‌

608‌

Structured

Agency

Credit

Risk

Debt

Notes,

Series

2022-DNA3,

Class

M1B,

CMO,

ARM,

SOFR30A

+

2.90%,

5.897%,

4/25/42  (2)

195,000‌

181‌

Structured

Agency

Credit

Risk

Debt

Notes,

Series

2022-HQA1,

Class

M1A,

CMO,

ARM,

SOFR30A

+

2.10%,

5.097%,

3/25/42  (2)

565,826‌

563‌

Structured

Agency

Credit

Risk

Debt

Notes,

Series

2022-HQA3,

Class

M2,

CMO,

ARM,

SOFR30A

+

5.35%,

8.347%,

8/25/42  (2)

195,000‌

182‌

TRK

Trust,

Series

2022-INV1,

Class

A1,

CMO,

ARM,

2.577%,

2/25/57  (2)

180,835‌

156‌

Verus

Securitization

Trust,

Series

2022-1,

Class

A1,

CMO,

STEP,

2.724%,

1/25/67  (2)

202,622‌

165‌

Verus

Securitization

Trust,

Series

2022-4,

Class

A2,

CMO,

ARM,

4.74%,

4/25/67  (2)

318,047‌

293‌

7,168‌

U.S.

Government

Agency

Obligations

(Excluding

Mortgage-Backed)

3.4%

U.S.

Treasury

Inflation-Indexed

Notes,

0.125%,

1/15/23 

1,629,550‌

1,626‌

U.S.

Treasury

Inflation-Indexed

Notes,

0.625%,

4/15/23 

1,371,214‌

1,362‌

U.S.

Treasury

Notes,

0.125%,

6/30/23 

4,600,000‌

4,465‌

U.S.

Treasury

Notes,

1.625%,

11/15/22 

360,000‌

359‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

52

Shares/Par

$

Value

(Cost

and

value

in

$000s)

U.S.

Treasury

Notes,

2.00%,

2/15/23 

4,000,000‌

3,974‌

11,786‌

Total

United

States

(Cost

$143,271

)

137,380‌

UZBEKISTAN

0.1%

Government

Bonds

0.1%

Republic

of

Uzbekistan,

3.70%,

11/25/30

(USD) 

300,000‌

218‌

Total

Uzbekistan

(Cost

$260

)

218‌

VIETNAM

0.1%

Corporate

Bonds

0.1%

Mong

Duong

Finance

Holdings,

5.125%,

5/7/29

(USD) 

380,000‌

265‌

Total

Vietnam

(Cost

$349

)

265‌

SHORT-TERM

INVESTMENTS

27.8%

Money

Market

Funds

27.8%

T.

Rowe

Price

Government

Reserve

Fund,

3.21%  (13)(14)

98,059,451‌

98,059‌

Total

Short-Term

Investments

(Cost

$98,059)

98,059‌

SECURITIES

LENDING

COLLATERAL

2.3%

INVESTMENTS

IN

A

POOLED

ACCOUNT

THROUGH

SECURITIES

LENDING

PROGRAM

WITH

JPMORGAN

CHASE

BANK

0.6%

Money

Market

Funds

0.6%

T.

Rowe

Price

Government

Reserve

Fund,

3.21%  (13)(14)

2,023,320‌

2,023‌

Total

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

JPMorgan

Chase

Bank

2,023‌

INVESTMENTS

IN

A

POOLED

ACCOUNT

THROUGH

SECURITIES

LENDING

PROGRAM

WITH

STATE

STREET

BANK

AND

TRUST

COMPANY

1.7%

Money

Market

Funds

1.7%

T.

Rowe

Price

Government

Reserve

Fund,

3.21%  (13)(14)

6,216,883‌

6,217‌

Total

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

State

Street

Bank

and

Trust

Company

6,217‌

Total

Securities

Lending

Collateral

(Cost

$8,240)

8,240‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

53

(Amounts

in

000s,

except

for

contracts)

OPTIONS

PURCHASED

0.1%

Exchange-Traded

Options

Purchased

0

.0

%

Description

Contracts

Notional

Amount

$

Value

Invesco

Senior

Loan

ETF,

Put,

11/18/22

@

$19.00  (1)

5,217‌

10,810‌

26‌

Invesco

Senior

Loan

ETF,

Put,

1/20/23

@

$17.00  (1)

5,217‌

10,810‌

39‌

Tenneco,

Put,

1/20/23

@

$12.00  (1)

200‌

394‌

1‌

U.S.

Treasury

10-Year

Notes

Futures,

Put,

11/25/22

@

$109.00  (1)

136‌

15,041‌

68‌

Total

Exchange-Traded

Options

Purchased

(Cost

$253)

134‌

OTC

Options

Purchased

0

.1

%

Counterparty

Description

Contracts

Notional

Amount

$

Value

Bank

of

America

30

Year

Interest

Rate

Swap,

7/10/53

Pay

Fixed

2.66%

Annually,

Receive

Variable

3.05%

(SOFR)

Annually,

7/6/23

@

2.66%*  (1)

1‌

1,625‌

240‌

Citibank

Credit

Default

Protection

Bought

(Relevant

Credit:

Markit

CDX.

NA.IG-S39,

5

Year

Index,

12/20/27),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

11/16/22

@

0.93%*  (1)

1‌

5,300‌

8‌

Citibank

USD

/

EUR

Call,

11/4/22

@

EUR0.91  (1)

1‌

1,185‌

—‌

Citibank

USD

/

EUR

Call,

11/10/22

@

EUR0.90  (1)

1‌

1,185‌

—‌

Citibank

USD

/

EUR

Call,

11/14/22

@

EUR0.90  (1)

1‌

1,185‌

—‌

Goldman

Sachs

10

Year

Interest

Rate

Swap,

6/19/33

Pay

Fixed

0.62%

Annually,

Receive

Variable

(0.06)%

(JPY

TONA)

Annually,

6/15/23

@

0.62%*

(JPY)  (1)

1‌

10,100‌

1‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

54

(Amounts

in

000s,

except

for

contracts)

Counterparty

Description

Contracts

Notional

Amount

$

Value

Goldman

Sachs

10

Year

Interest

Rate

Swap,

6/21/33

Pay

Fixed

0.69%

Annually,

Receive

Variable

(0.06)%

(JPY

TONA)

Annually,

6/19/23

@

0.69%*

(JPY)  (1)

1‌

522,000‌

48‌

Goldman

Sachs

10

Year

Interest

Rate

Swap,

9/29/33

Pay

Fixed

0.65%

Annually,

Receive

Variable

(0.06)%

(JPY

TONA)

Annually,

9/27/23

@

0.65%*

(JPY)  (1)

1‌

529,000‌

69‌

Goldman

Sachs

Credit

Default

Protection

Bought

(Relevant

Credit:

Markit

CDX.

NA.HY-S39,

5

Year

Index,

12/20/27),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

11/16/22

@

0.97%*  (1)

1‌

2,500‌

9‌

Morgan

Stanley

S&P

500

Index,

Put,

11/18/22

@

$3,350.00  (1)

17‌

6,582‌

5‌

Morgan

Stanley

S&P

500

Index,

Put,

12/16/22

@

$3,300.00  (1)

21‌

8,131‌

27‌

Total

OTC

Options

Purchased

(Cost

$500)

407‌

Total

Options

Purchased

(Cost

$753)

541‌

Total

Investments

in

Securities

95.5%

of

Net

Assets

(Cost

$355,831)

$

336,442‌

‡

Country

classifications

are

generally

based

on

MSCI

categories

or

another

unaffiliated

third

party

data

provider;

Shares/Par

and

Notional

Amount

are

denominated

in

the

currency

of

the

country

presented

unless

otherwise

noted.

†

Investment

fund

is

not

unitized.

*

Exercise

Spread

(1)

Non-income

producing

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

55

.

.

.

.

.

.

.

.

.

.

(2)

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

$45,073

and

represents

12.8%

of

net

assets.

(3)

See

Note

4.

All

or

a

portion

of

this

security

is

on

loan

at

October

31,

2022.

(4)

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.

(5)

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.

(6)

See

Note

2.

Level

3

in

fair

value

hierarchy.

(7)

Security

is

in

default

or

has

failed

to

make

a

scheduled

interest

and/or

principal

payment.

(8)

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

$638

and

represents

0.2%

of

net

assets.

(9)

Perpetual

security

with

no

stated

maturity

date.

(10)

All

or

a

portion

of

this

loan

is

unsettled

as

of

October

31,

2022.

The

interest

rate

for

unsettled

loans

will

be

determined

upon

settlement

after

period

end.

(11)

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.

(12)

Issuer

is

currently

in

a

bankruptcy

reorganization

proceeding;

the

amount

and

timing

of

future

distributions

is

uncertain.

(13)

Seven-day

yield

(14)

Affiliated

Companies

1

Day

INR

MIBOR

One

day

INR

MIBOR

(Mumbai

interbank

offered

rate)

1M

CAD

CDOR

One

month

CAD

CDOR

(Canadian

Dollar

offered

rate)

1M

CHF

LIBOR

One

month

CHF

LIBOR

(London

interbank

offered

rate)

1M

DKK

CIBOR

One

month

DKK

CIBOR

(Copenhagen

interbank

offered

rate)

1M

EURIBOR

One

month

EURIBOR

(Euro

interbank

offered

rate)

1M

GBP

LIBOR

One

month

GBP

LIBOR

(London

interbank

offered

rate)

1M

HKD

HIBOR

One

month

HKD

HIBOR

(Hong

Kong

interbank

offered

rate)

1M

JPY

LIBOR

One

month

JPY

LIBOR

(London

interbank

offered

rate)

1M

NDBB

One

month

NZD

bank

bill

1M

NOK

NIBOR

One

month

NOK

NIBOR

(Norwegian

interbank

offered

rate)

1M

SEK

STIBOR

One

month

SEK

STIBOR

(Stockholm

interbank

offered

rate)

1M

TSFR

One

month

term

SOFR

(Secured

overnight

financing

rate)

1M

USD

LIBOR

One

month

USD

LIBOR

(London

interbank

offered

rate)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

56

.

.

.

.

.

.

.

.

.

.

3M

CAD

CDOR

Three

month

CAD

CDOR

(Canadian

Dollar

offered

rate)

3M

EURIBOR

Three

month

EURIBOR

(Euro

interbank

offered

rate)

3M

MYR

KLIBOR

Three

month

MYR

KLIBOR

(Kuala

Lumpur

interbank

offered

rate)

3M

USD

LIBOR

Three

month

USD

LIBOR

(London

interbank

offered

rate)

6M

EURIBOR

Six

month

EURIBOR

(Euro

interbank

offered

rate)

6M

PLN

WIBOR

Six

month

PLN

WIBOR

(Warsaw

interbank

offered

rate)

6M

USD

LIBOR

Six

month

USD

LIBOR

(London

interbank

offered

rate)

1M

ADBB

One

month

AUD

bank

bill

ADR

American

Depositary

Receipts

ARM

Adjustable

Rate

Mortgage

(ARM);

rate

shown

is

effective

rate

at

period-end.

The

rates

for

certain

ARMs

are

not

based

on

a

published

reference

rate

and

spread

but

may

be

determined

using

a

formula

based

on

the

rates

of

the

underlying

loans. 

AUD

Australian

Dollar

BRL

Brazilian

Real

CAD

Canadian

Dollar

CHF

Swiss

Franc

CLO

Collateralized

Loan

Obligation

CLP

Chilean

Peso

CMO

Collateralized

Mortgage

Obligation

CNH

Offshore

China

Renminbi

COP

Colombian

Peso

CPI

Consumer

Price

Index

CVA

Dutch

Certificate

(Certificaten

Van

Aandelen)

CZK

Czech

Koruna

ESTR

Euro

short-term

rate

ETF

Exchange-Traded

Fund

EUR

Euro

FRN

Floating

Rate

Note

GBP

British

Pound

GBP

SONIA

Sterling

Overnight

Index

Average

GO

General

Obligation

HFA

Health

Facility

Authority

HKD

Hong

Kong

Dollar

HUF

Hungarian

Forint

IDR

Indonesian

Rupiah

ILS

Israeli

Shekel

INR

Indian

Rupee

INR

MIBOR

Mumbai

interbank

offered

rate

JPY

Japanese

Yen

KRW

South

Korean

Won

MXIBTIIE

Mexican

Interbank

28

day

interest

rate

MXN

Mexican

Peso

MYR

Malaysian

Ringgit

NOK

Norwegian

Krone

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

57

.

.

.

.

.

.

.

.

.

.

NZD

New

Zealand

Dollar

OTC

Over-the-counter

PEN

Peruvian

New

Sol

PHP

Philippines

Peso

PLN

Polish

Zloty

PTT

Pass-Through

Trust

REIT

A

domestic

Real

Estate

Investment

Trust

whose

distributions

pass-through

with

original

tax

character

to

the

shareholder

RON

New

Romanian

Leu

RSD

Serbian

Dinar

SEK

Swedish

Krona

SGD

Singapore

Dollar

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.

THB

Thai

Baht

TONA

Tokyo

overnight

average

rate

TWD

Taiwan

Dollar

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.

ZAR

South

African

Rand

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

58

(Amounts

in

000s,

except

for

contracts)

OPTIONS

WRITTEN

(0.3)%

Exchange-Traded

Options

Written

(0.3)%

Description

Contracts

Notional

Amount

$

Value

iShares

iBoxx

High

Yield

Corporate

Bond

ETF,

Put,

12/16/22

@

$73.00

1,415

10,390

(

203‌

)

S&P

500

Index,

Call,

12/16/22

@

$3,875.00

68

26,329

(

950‌

)

Total

Exchange-Traded

Options

Written

(Premiums

$(1,190))

$

(

1,153‌

)

OTC

Options

Written

(0.0)%

Counterparty

Description

Contracts

Notional

Amount

$

Value

Goldman

Sachs

Credit

Default

Protection

Bought

(Relevant

Credit:

Markit

CDX.NA.HY-S39,

5

Year

Index,

12/20/27),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

11/16/22

@

0.95%*

1

2,500

(

3‌

)

Citibank

Credit

Default

Protection

Bought

(Relevant

Credit:

Markit

CDX.NA.IG-S39,

5

Year

Index,

12/20/27),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

11/16/22

@

1.00%*

1

5,300

(

3‌

)

Total

OTC

Options

Written

(Premiums

$(5))

$

(

6‌

)

Total

Options

Written

(Premiums

$(1,195))

$

(

1,159‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

59

(Amounts

in

000s)

SWAPS

0.5%

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)

**

Unrealized

$

Gain/(Loss)

BILATERAL

SWAPS

0.3%

Credit

Default

Swaps,

Protection

Bought

(0.0)%

United

States

(0.0)%

Bank

of

America,

Protection

Bought

(Relevant

Credit:

Markit

CDX.NA.HY-S37,

5

Year

Index),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/20/26

250

(21)

(25)

4‌

Bank

of

America,

Protection

Bought

(Relevant

Credit:

Markit

CDX.NA.HY-S37,

5

Year

Index),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/21/26

1,675

(144)

(192)

48‌

Citibank,

Protection

Bought

(Relevant

Credit:

Avis

Budget

Car

Rental),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/20/27

640

(18)

19

(

37‌

)

Goldman

Sachs,

Protection

Bought

(Relevant

Credit:

Markit

CDX.NA.HY-S37,

5

Year

Index),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/20/26

4,670

(400)

(142)

(

258‌

)

Goldman

Sachs,

Protection

Bought

(Relevant

Credit:

Markit

CDX.NA.HY-S37,

5

Year

Index),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/20/26

520

(45)

(47)

2‌

Goldman

Sachs,

Protection

Bought

(Relevant

Credit:

Markit

CMBX.

NA.BBB-S14,

50

Year

Index),

Pay

3.00%

Monthly,

Receive

upon

credit

default,

12/16/72

1,000

184

47

137‌

JPMorgan

Chase,

Protection

Bought

(Relevant

Credit:

Markit

CDX.NA.HY-S37,

5

Year

Index),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/20/26

300

(26)

(31)

5‌

JPMorgan

Chase,

Protection

Bought

(Relevant

Credit:

Murphy

Oil),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

6/21/27

21

1

2

(

1‌

)

Morgan

Stanley,

Protection

Bought

(Relevant

Credit:

Markit

CDX.NA.HY-S37,

5

Year

Index),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/20/26

520

(45)

(42)

(

3‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

60

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Protection

Bought

(Relevant

Credit:

Markit

CMBX.

NA.BBB-S14,

50

Year

Index),

Pay

3.00%

Monthly,

Receive

upon

credit

default,

12/16/72

2,500

460

86

374‌

Total

United

States

(325)

271‌

Total

Bilateral

Credit

Default

Swaps,

Protection

Bought

(325)

271‌

Credit

Default

Swaps,

Protection

Sold

0.0%

Luxembourg

0.0%

JPMorgan

Chase,

Protection

Sold

(Relevant

Credit:

ArcelorMittal,

Baa3*),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

12/20/25

345

32

53

(

21‌

)

Total

Luxembourg

53

(

21‌

)

Portugal

0.0%

JPMorgan

Chase,

Protection

Sold

(Relevant

Credit:

EDP

Finance,

Baa3*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

12/20/22

470

1

—

1‌

Total

Portugal

—

1‌

United

States

0.0%

Barclays

Bank,

Protection

Sold

(Relevant

Credit:

American

Airlines

Group,

Caa1*),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

12/20/23

55

(1)

(2)

1‌

Barclays

Bank,

Protection

Sold

(Relevant

Credit:

AT&T,

Baa2*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

6/20/23

150

—

—

—‌

Barclays

Bank,

Protection

Sold

(Relevant

Credit:

CCO

Holdings,

B1*),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

12/20/23

80

4

3

1‌

Barclays

Bank,

Protection

Sold

(Relevant

Credit:

Ford

Motor,

Ba2*),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

3/20/23

140

3

2

1‌

Barclays

Bank,

Protection

Sold

(Relevant

Credit:

Murphy

Oil,

Ba2*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

12/20/23

190

(1)

(4)

3‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

61

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Barclays

Bank,

Protection

Sold

(Relevant

Credit:

Royal

Caribbean

Cruises,

B3*),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

12/20/23

46

(1)

(1)

—‌

Credit

Suisse,

Protection

Sold

(Relevant

Credit:

Calpine,

B2*),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

6/20/23

220

6

4

2‌

Credit

Suisse,

Protection

Sold

(Relevant

Credit:

Ford

Motor

Credit,

Ba2*),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

6/20/23

*

145

4

2

2‌

Goldman

Sachs,

Protection

Sold

(Relevant

Credit:

AT&T,

Baa2*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

12/20/22

*

155

—

—

—‌

Total

United

States

4

10‌

Total

Bilateral

Credit

Default

Swaps,

Protection

Sold

57

(

10‌

)

Total

Return

Swaps

0.3%

Australia

(0.1)%

Citibank,

Pay

Underlying

Reference:

CSL

Monthly,

Receive

Variable

2.272%

(1M

ADBB

+

(0.40)%)

Monthly,

1/17/24

410

1

—

1‌

Citibank,

Pay

Underlying

Reference:

Macquarie

Group

Monthly,

Receive

Variable

2.272%

(1M

ADBB

+

(0.40)%)

Monthly,

1/17/24

2,083

(90)

—

(

90‌

)

Citibank,

Receive

Underlying

Reference:

HUB24

Monthly,

Pay

Variable

3.072%

(1M

ADBB

+

0.40%)

Monthly,

1/17/24

370

42

—

42‌

Morgan

Stanley,

Pay

Underlying

Reference:

WiseTech

Global

Monthly,

Receive

Variable

2.345%

(1M

ADBB

+

(0.40)%)

Monthly,

1/17/24

885

(31)

—

(

31‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

IGO

Monthly,

Pay

Variable

3.295%

(1M

ADBB

+

0.55%)

Monthly,

1/17/24

682

6

—

6‌

Morgan

Stanley,

Receive

Underlying

Reference:

SEEK

Monthly,

Pay

Variable

3.295%

(1M

ADBB

+

0.55%)

Monthly,

1/17/24

467

22

—

22‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

62

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

Suncorp

Group

Monthly,

Pay

Variable

3.295%

(1M

ADBB

+

0.55%)

Monthly,

1/17/24

945

56

—

56‌

Morgan

Stanley,

Receive

Underlying

Reference:

Westpac

Banking

Monthly,

Pay

Variable

3.295%

(1M

ADBB

+

0.55%)

Monthly,

1/17/24

681

12

—

12‌

Morgan

Stanley,

Receive

Underlying

Reference:

Westpac

Banking

Monthly,

Pay

Variable

3.355%

(1M

ADBB

+

0.55%)

Monthly,

1/17/24

696

3

—

3‌

UBS

Investment

Bank,

Pay

Underlying

Reference:

IDP

Education

Monthly,

Receive

Variable

2.222%

(1M

ADBB

+

(0.45)%)

Monthly,

1/17/24

473

(17)

—

(

17‌

)

UBS

Investment

Bank,

Pay

Underlying

Reference:

Insurance

Australia

Group

Monthly,

Receive

Variable

2.222%

(1M

ADBB

+

(0.45)%)

Monthly,

1/17/24

701

(16)

—

(

16‌

)

Total

Australia

—

(

12‌

)

Austria

0.0%

Citibank,

Pay

Underlying

Reference:

Erste

Group

Bank

Monthly,

Receive

Variable

0.360%

(EUR

ESTR

+

(0.30)%)

Monthly,

1/17/24

210

(14)

—

(

14‌

)

Citibank,

Receive

Underlying

Reference:

BAWAG

Group

Monthly,

Pay

Variable

0.995%

(1M

EURIBOR

+

0.40%)

Monthly,

1/17/24

277

29

—

29‌

Total

Austria

—

15‌

Bermuda

0.0%

Morgan

Stanley,

Pay

Underlying

Reference:

Signet

Jewelers

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

123

(11)

—

(

11‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

RenaissanceRe

Holdings

Monthly,

Pay

Variable

3.311%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

572

50

—

50‌

Total

Bermuda

—

39‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

63

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Brazil

0.0%

Morgan

Stanley,

Receive

Underlying

Reference:

Magazine

Luiza

Monthly,

Pay

Variable

3.361%

(SOFR

+

0.45%)

Monthly,

1/18/24

191

9

—

9‌

Total

Brazil

—

9‌

Canada

0.0%

Bank

of

America,

Pay

Underlying

Reference:

First

Quantum

Minerals

Monthly,

Receive

Variable

3.843%

(1M

CAD

CDOR

+

(0.30)%)

Monthly,

1/17/24

230

—

—

—‌

Bank

of

America,

Pay

Underlying

Reference:

Lundin

Mining

Monthly,

Receive

Variable

3.843%

(1M

CAD

CDOR

+

(0.30)%)

Monthly,

1/17/24

1,465

(44)

—

(

44‌

)

Bank

of

America,

Receive

Underlying

Reference:

K92

Mining

Monthly,

Pay

Variable

4.443%

(1M

CAD

CDOR

+

0.30%)

Monthly,

1/17/24

115

(10)

—

(

10‌

)

Bank

of

America,

Receive

Underlying

Reference:

Nutrien

Monthly,

Pay

Variable

4.443%

(1M

CAD

CDOR

+

0.30%)

Monthly,

1/17/24

467

20

—

20‌

Bank

of

America,

Receive

Underlying

Reference:

Orla

Mining

Monthly,

Pay

Variable

4.443%

(1M

CAD

CDOR

+

0.30%)

Monthly,

1/17/24

377

(23)

—

(

23‌

)

Citibank,

Receive

Underlying

Reference:

Waste

Connections

Monthly,

Pay

Variable

3.378%

(1M

CAD

CDOR

+

0.42%)

Monthly,

1/18/24

438

7

—

7‌

Goldman

Sachs,

Pay

Underlying

Reference:

Bank

of

Montreal

Monthly,

Receive

Variable

3.843%

(1M

CAD

CDOR

+

(0.30)%)

Monthly,

1/17/24

272

(5)

—

(

5‌

)

Goldman

Sachs,

Pay

Underlying

Reference:

Toronto-Dominion

Bank

Monthly,

Receive

Variable

3.843%

(1M

CAD

CDOR

+

(0.30)%)

Monthly,

1/17/24

1,469

(21)

—

(

21‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

Magna

International

Monthly,

Pay

Variable

4.443%

(1M

CAD

CDOR

+

0.30%)

Monthly,

1/17/24

2,046

126

—

126‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

64

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Goldman

Sachs,

Receive

Underlying

Reference:

Parkland

Monthly,

Pay

Variable

4.443%

(1M

CAD

CDOR

+

0.30%)

Monthly,

1/17/24

374

(17)

—

(

17‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

Wesdome

Gold

Mines

Monthly,

Pay

Variable

4.443%

(1M

CAD

CDOR

+

0.30%)

Monthly,

1/17/24

362

(3)

—

(

3‌

)

JPMorgan

Chase,

Receive

Underlying

Reference:

BRP

Monthly,

Pay

Variable

4.543%

(1M

CAD

CDOR

+

0.40%)

Monthly,

1/17/24

574

14

—

14‌

Morgan

Stanley,

Pay

Underlying

Reference:

Agnico

Eagle

Mines

Monthly,

Receive

Variable

3.743%

(1M

CAD

CDOR

+

(0.40)%)

Monthly,

1/17/24

295

(12)

—

(

12‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Bank

of

Montreal

Monthly,

Receive

Variable

3.743%

(1M

CAD

CDOR

+

(0.40)%)

Monthly,

1/17/24

121

(2)

—

(

2‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Canadian

Natural

Resources

Monthly,

Receive

Variable

3.743%

(1M

CAD

CDOR

+

(0.40)%)

Monthly,

1/17/24

1,211

(98)

—

(

98‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Enbridge

Monthly,

Receive

Variable

3.743%

(1M

CAD

CDOR

+

(0.40)%)

Monthly,

1/17/24

1,011

(32)

—

(

32‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

First

Quantum

Minerals

Monthly,

Receive

Variable

3.743%

(1M

CAD

CDOR

+

(0.40)%)

Monthly,

1/17/24

418

—

—

—‌

Morgan

Stanley,

Pay

Underlying

Reference:

Lightspeed

Commerce

Monthly,

Receive

Variable

3.743%

(1M

CAD

CDOR

+

(0.40)%)

Monthly,

1/17/24

360

(9)

—

(

9‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Restaurant

Brands

International

Monthly,

Receive

Variable

3.743%

(1M

CAD

CDOR

+

(0.40)%)

Monthly,

1/17/24

369

(21)

—

(

21‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

65

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Pay

Underlying

Reference:

Thomson

Reuters

Monthly,

Receive

Variable

3.743%

(1M

CAD

CDOR

+

(0.40)%)

Monthly,

1/17/24

1,186

(23)

—

(

23‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Canadian

Apartment

Properties

REIT

Monthly,

Pay

Variable

4.693%

(1M

CAD

CDOR

+

0.55%)

Monthly,

1/17/24

643

10

—

10‌

Morgan

Stanley,

Receive

Underlying

Reference:

Canadian

Pacific

Railway

Monthly,

Pay

Variable

4.693%

(1M

CAD

CDOR

+

0.55%)

Monthly,

1/17/24

415

20

—

20‌

Morgan

Stanley,

Receive

Underlying

Reference:

Constellation

Software

Monthly,

Pay

Variable

4.693%

(1M

CAD

CDOR

+

0.55%)

Monthly,

1/17/24

699

32

—

32‌

Morgan

Stanley,

Receive

Underlying

Reference:

Franco-Nevada

Monthly,

Pay

Variable

3.311%

(1M

CAD

CDOR

+

0.40%)

Monthly,

1/18/24

191

7

—

7‌

Morgan

Stanley,

Receive

Underlying

Reference:

Franco-Nevada

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

141

5

—

5‌

Morgan

Stanley,

Receive

Underlying

Reference:

National

Bank

of

Canada

Monthly,

Pay

Variable

4.693%

(1M

CAD

CDOR

+

0.55%)

Monthly,

1/17/24

2,034

88

—

88‌

Morgan

Stanley,

Receive

Underlying

Reference:

Royal

Bank

of

Canada

Monthly,

Pay

Variable

4.693%

(1M

CAD

CDOR

+

0.55%)

Monthly,

1/17/24

725

15

—

15‌

Total

Canada

—

24‌

Cayman

Islands

(0.0)%

Goldman

Sachs,

Receive

Underlying

Reference:

H

World

Group

Monthly,

Pay

Variable

3.321%

(SOFR

+

0.41%)

Monthly,

1/18/24

119

(18)

—

(

18‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

KE

Holdings

Monthly,

Pay

Variable

3.321%

(SOFR

+

0.41%)

Monthly,

1/18/24

155

(31)

—

(

31‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

66

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

H

World

Group

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

100

(16)

—

(

16‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

NU

Holdings,

Class

A

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

146

20

—

20‌

Morgan

Stanley,

Receive

Underlying

Reference:

Sports

Ventures

Acquisition

Monthly,

Pay

Variable

3.311%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

—

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Sports

Ventures

Acquisition,

Class

A

Monthly,

Pay

Variable

3.311%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

148

—

—

—‌

Total

Cayman

Islands

—

(

45‌

)

Cyprus

0.0%

UBS

Investment

Bank,

Receive

Underlying

Reference:

TCS

Group

Holding

Monthly,

Pay

Variable

3.308%

(SOFR

+

0.35%)

Monthly,

1/18/24

—

—

—

—‌

Total

Cyprus

—

—‌

Denmark

(0.0)%

JPMorgan

Chase,

Receive

Underlying

Reference:

Carlsberg,

Class

B

Monthly,

Pay

Variable

1.760%

(1M

DKK

CIBOR

+

0.40%)

Monthly,

1/17/24

7,204

(55)

—

(

55‌

)

UBS

Investment

Bank,

Pay

Underlying

Reference:

DSV

Monthly,

Receive

Variable

0.787%

(1M

DKK

CIBOR

+

(0.40)%)

Monthly,

1/17/24

1,776

(33)

—

(

33‌

)

Total

Denmark

—

(

88‌

)

Finland

0.0%

Citibank,

Pay

Underlying

Reference:

Kesko,

Class

B

Monthly,

Receive

Variable

0.360%

(EUR

ESTR

+

(0.30)%)

Monthly,

1/17/24

229

(17)

—

(

17‌

)

Citibank,

Pay

Underlying

Reference:

Stora

Enso,

Class

R

Monthly,

Receive

Variable

0.360%

(EUR

ESTR

+

(0.30)%)

Monthly,

1/17/24

286

7

—

7‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

67

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Citibank,

Receive

Underlying

Reference:

Valmet

Monthly,

Pay

Variable

0.995%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

485

31

—

31‌

Goldman

Sachs,

Receive

Underlying

Reference:

Kojamo

Monthly,

Pay

Variable

0.961%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

583

9

—

9‌

Morgan

Stanley,

Pay

Underlying

Reference:

UPM-Kymmene

Monthly,

Receive

Variable

0.310%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

924

59

—

59‌

Total

Finland

—

89‌

France

0.1%

Bank

of

America,

Pay

Underlying

Reference:

L'Oreal

Monthly,

Receive

Variable

0.310%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

1,018

32

—

32‌

Bank

of

America,

Receive

Underlying

Reference:

Legrand

Monthly,

Pay

Variable

0.911%

(1M

EURIBOR

+

0.35%)

Monthly,

1/17/24

311

24

—

24‌

Bank

of

America,

Receive

Underlying

Reference:

Thales

Monthly,

Pay

Variable

0.911%

(1M

EURIBOR

+

0.35%)

Monthly,

1/17/24

348

44

—

44‌

Citibank,

Pay

Underlying

Reference:

Ubisoft

Entertainment

Monthly,

Receive

Variable

0.360%

(EUR

ESTR

+

(0.30)%)

Monthly,

1/17/24

455

(4)

—

(

4‌

)

Citibank,

Receive

Underlying

Reference:

AXA

Monthly,

Pay

Variable

0.995%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

1,175

100

—

100‌

Citibank,

Receive

Underlying

Reference:

TotalEnergies

Monthly,

Pay

Variable

0.961%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

539

21

—

21‌

Citibank,

Receive

Underlying

Reference:

TotalEnergies

Monthly,

Pay

Variable

0.995%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

954

87

—

87‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

68

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Pay

Underlying

Reference:

BNP

Paribas

Monthly,

Receive

Variable

0.310%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

797

(36)

—

(

36‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Dassault

Systemes

Monthly,

Receive

Variable

0.310%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

230

4

—

4‌

Morgan

Stanley,

Pay

Underlying

Reference:

Remy

Cointreau

Monthly,

Receive

Variable

0.310%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

358

19

—

19‌

Morgan

Stanley,

Pay

Underlying

Reference:

Unibail-Rodamco-Westfield

Monthly,

Receive

Variable

0.310%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

250

(21)

—

(

21‌

)

Total

France

—

270‌

Germany

0.0%

Bank

of

America,

Pay

Underlying

Reference:

Infineon

Technologies

Monthly,

Receive

Variable

0.310%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

712

(6)

—

(

6‌

)

Citibank,

Pay

Underlying

Reference:

Merck

Monthly,

Receive

Variable

0.360%

(EUR

ESTR

+

(0.30)%)

Monthly,

1/17/24

2,576

106

—

106‌

Citibank,

Pay

Underlying

Reference:

Puma

Monthly,

Receive

Variable

0.360%

(EUR

ESTR

+

(0.30)%)

Monthly,

1/17/24

538

30

—

30‌

Citibank,

Pay

Underlying

Reference:

Rheinmetall

Monthly,

Receive

Variable

0.360%

(EUR

ESTR

+

(0.30)%)

Monthly,

1/17/24

391

(44)

—

(

44‌

)

Citibank,

Pay

Underlying

Reference:

Vonovia

Monthly,

Receive

Variable

0.360%

(EUR

ESTR

+

(0.30)%)

Monthly,

1/17/24

1,958

(198)

—

(

198‌

)

Citibank,

Receive

Underlying

Reference:

Brenntag

Monthly,

Pay

Variable

0.995%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

253

17

—

17‌

Citibank,

Receive

Underlying

Reference:

KION

Group

Monthly,

Pay

Variable

0.995%

(1M

EURIBOR

+

0.40%)

Monthly,

1/17/24

62

6

—

6‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

69

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Citibank,

Receive

Underlying

Reference:

KION

Group

Monthly,

Pay

Variable

0.995%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

211

20

—

20‌

Goldman

Sachs,

Receive

Underlying

Reference:

adidas

Monthly,

Pay

Variable

0.961%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

611

(98)

—

(

98‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

Bayer

Monthly,

Pay

Variable

0.961%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

279

17

—

17‌

Goldman

Sachs,

Receive

Underlying

Reference:

Deutsche

Telekom

Monthly,

Pay

Variable

0.961%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

1,298

75

—

75‌

Goldman

Sachs,

Receive

Underlying

Reference:

Muenchener

Rueckversicherungs-Gesellschaft

AG

in

Muenchen

Monthly,

Pay

Variable

0.961%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

776

65

—

65‌

JPMorgan

Chase,

Receive

Underlying

Reference:

Covestro

Monthly,

Pay

Variable

0.911%

(EUR

ESTR

+

0.35%)

Monthly,

1/17/24

332

5

—

5‌

JPMorgan

Chase,

Receive

Underlying

Reference:

Volkswagen

Monthly,

Pay

Variable

0.911%

(EUR

ESTR

+

0.35%)

Monthly,

1/17/24

549

10

—

10‌

Morgan

Stanley,

Pay

Underlying

Reference:

HUGO

BOSS

Monthly,

Receive

Variable

0.310%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

280

4

—

4‌

Morgan

Stanley,

Pay

Underlying

Reference:

Mercedes-Benz

Group

Monthly,

Receive

Variable

0.310%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

265

(16)

—

(

16‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Daimler

Truck

Holding

Monthly,

Pay

Variable

0.911%

(EUR

ESTR

+

0.35%)

Monthly,

1/17/24

467

18

—

18‌

Total

Germany

—

11‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

70

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Hong

Kong

(0.0)%

Morgan

Stanley,

Receive

Underlying

Reference:

AIA

Group

Monthly,

Pay

Variable

3.282%

(1M

HKD

HIBOR

+

0.55%)

Monthly,

1/17/24

4,397

(69)

—

(

69‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Galaxy

Entertainment

Group

Monthly,

Pay

Variable

3.282%

(1M

HKD

HIBOR

+

0.55%)

Monthly,

1/17/24

1,775

(34)

—

(

34‌

)

Total

Hong

Kong

—

(

103‌

)

Ireland

0.1%

Bank

of

America,

Receive

Underlying

Reference:

Trane

Technologies

Monthly,

Pay

Variable

3.211%

(SOFR

+

0.30%)

Monthly,

1/18/24

329

27

—

27‌

Citibank,

Pay

Underlying

Reference:

Anheuser-Busch

InBev,

Class

A

Monthly,

Receive

Variable

2.710%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

340

(7)

—

(

7‌

)

JPMorgan

Chase,

Receive

Underlying

Reference:

CRH

Monthly,

Pay

Variable

2.859%

(GBP

SONIA

+

0.75%)

Monthly,

1/17/24

(GBP)

357

35

—

35‌

JPMorgan

Chase,

Receive

Underlying

Reference:

Ryanair

Holdings

Monthly,

Pay

Variable

3.261%

(SOFR

+

0.35%)

Monthly,

1/18/24

283

34

—

34‌

Morgan

Stanley,

Pay

Underlying

Reference:

Kingspan

Group

Monthly,

Receive

Variable

0.310%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

275

(4)

—

(

4‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Accenture,

Class

A

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

570

49

—

49‌

Morgan

Stanley,

Receive

Underlying

Reference:

James

Hardie

Industries

Monthly,

Pay

Variable

3.295%

(1M

ADBB

+

0.55%)

Monthly,

1/17/24

(AUD)

709

37

—

37‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

71

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

Linde

Monthly,

Pay

Variable

3.311%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

847

48

—

48‌

Total

Ireland

—

219‌

Italy

0.0%

Goldman

Sachs,

Pay

Underlying

Reference:

Snam

Monthly,

Receive

Variable

0.390%

(1M

EURIBOR

+

(0.27)%)

Monthly,

1/17/24

640

(38)

—

(

38‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

Enel

Monthly,

Pay

Variable

0.961%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

687

49

—

49‌

JPMorgan

Chase,

Receive

Underlying

Reference:

FinecoBank

Banca

Fineco

Monthly,

Pay

Variable

0.911%

(EUR

ESTR

+

0.35%)

Monthly,

1/17/24

294

20

—

20‌

JPMorgan

Chase,

Receive

Underlying

Reference:

UniCredit

Monthly,

Pay

Variable

0.894%

(EUR

ESTR

+

0.35%)

Monthly,

1/17/24

619

64

—

64‌

Morgan

Stanley,

Pay

Underlying

Reference:

Intesa

Sanpaolo

Monthly,

Receive

Variable

0.310%

(1M

EURIBOR

+

(0.35)%)

Monthly,

1/17/24

201

(21)

—

(

21‌

)

Total

Italy

—

74‌

Japan

(0.0)%

Citibank,

Pay

Underlying

Reference:

Dai-ichi

Life

Holdings

Monthly,

Receive

Variable

(0.480)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

42,488

(12)

—

(

12‌

)

Citibank,

Pay

Underlying

Reference:

Japan

Tobacco

Monthly,

Receive

Variable

(0.480)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

133,089

(25)

—

(

25‌

)

Citibank,

Pay

Underlying

Reference:

KDDI

Monthly,

Receive

Variable

(0.480)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

38,760

(16)

—

(

16‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

72

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Citibank,

Pay

Underlying

Reference:

Mitsubishi

Monthly,

Receive

Variable

(0.480)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

205,126

3

—

3‌

Citibank,

Pay

Underlying

Reference:

Tokio

Marine

Holdings

Monthly,

Receive

Variable

(0.480)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

82,537

(32)

—

(

32‌

)

Citibank,

Pay

Underlying

Reference:

ZOZO

Monthly,

Receive

Variable

(0.480)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

38,000

(13)

—

(

13‌

)

Citibank,

Receive

Underlying

Reference:

Fast

Retailing

Monthly,

Pay

Variable

0.329%

(JPY

TONA

+

0.38%)

Monthly,

1/17/24

53,760

31

—

31‌

Citibank,

Receive

Underlying

Reference:

Istyle

Monthly,

Pay

Variable

0.329%

(JPY

TONA

+

0.38%)

Monthly,

1/17/24

34,242

9

—

9‌

Citibank,

Receive

Underlying

Reference:

Sumitomo

Monthly,

Pay

Variable

0.329%

(JPY

TONA

+

0.38%)

Monthly,

1/17/24

3,793

6

—

6‌

Citibank,

Receive

Underlying

Reference:

Sumitomo

Monthly,

Pay

Variable

0.329%

(JPY

TONA

+

0.38%)

Monthly,

1/17/24

80,791

—

—

—‌

Morgan

Stanley,

Pay

Underlying

Reference:

Bridgestone

Monthly,

Receive

Variable

(0.480)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

267,957

(149)

—

(

149‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

CyberAgent

Monthly,

Receive

Variable

(0.480)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

102,299

10

—

10‌

Morgan

Stanley,

Pay

Underlying

Reference:

CyberAgent

Monthly,

Receive

Variable

(0.480)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

79,925

(1)

—

(

1‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

GMO

Payment

Gateway

Monthly,

Receive

Variable

(0.480)%

(1M

JPY

LIBOR

+

(0.42)%)

Monthly,

1/17/24

26,676

(10)

—

(

10‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

GMO

Payment

Gateway

Monthly,

Receive

Variable

(0.480)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

23,598

(7)

—

(

7‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

73

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Pay

Underlying

Reference:

Honda

Motor

Monthly,

Receive

Variable

(6.435)%

(JPY

TONA

+

(6.375)%)

Monthly,

1/17/24

110,696

(41)

—

(

41‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Kyocera

Monthly,

Receive

Variable

(0.685)%

(1M

JPY

LIBOR

+

(0.625)%)

Monthly,

1/17/24

34,677

(5)

—

(

5‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Nissan

Motor

Monthly,

Receive

Variable

(0.480)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

141,323

(35)

—

(

35‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Shimano

Monthly,

Receive

Variable

(0.480)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

45,400

(5)

—

(

5‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Shiseido

Monthly,

Receive

Variable

(0.480)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

131,886

3

—

3‌

Morgan

Stanley,

Pay

Underlying

Reference:

Sumitomo

Chemical

Monthly,

Receive

Variable

(0.480)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

33,128

(4)

—

(

4‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Toray

Industries

Monthly,

Receive

Variable

(0.480)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

45,432

(1)

—

(

1‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Tosoh

Monthly,

Receive

Variable

(0.480)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

46,012

3

—

3‌

Morgan

Stanley,

Pay

Underlying

Reference:

Toyota

Motor

Monthly,

Receive

Variable

(0.480)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

408,600

(151)

—

(

151‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Astellas

Pharma

Monthly,

Pay

Variable

0.477%

(1M

JPY

LIBOR

+

0.53%)

Monthly,

1/17/24

52,180

17

—

17‌

Morgan

Stanley,

Receive

Underlying

Reference:

Demae-Can

Monthly,

Pay

Variable

0.477%

(JPY

TONA

+

0.53%)

Monthly,

1/17/24

80,999

(71)

—

(

71‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

74

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

Denso

Monthly,

Pay

Variable

0.477%

(JPY

TONA

+

0.53%)

Monthly,

1/17/24

168,840

71

—

71‌

Morgan

Stanley,

Receive

Underlying

Reference:

Isetan

Mitsukoshi

Holdings

Monthly,

Pay

Variable

0.477%

(JPY

TONA

+

0.53%)

Monthly,

1/17/24

94,915

(16)

—

(

16‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Mitsubishi

Chemical

Group

Monthly,

Pay

Variable

0.477%

(JPY

TONA

+

0.53%)

Monthly,

1/17/24

45,649

1

—

1‌

Morgan

Stanley,

Receive

Underlying

Reference:

Nippon

Sanso

Holdings

Monthly,

Pay

Variable

0.477%

(JPY

TONA

+

0.53%)

Monthly,

1/17/24

57,170

11

—

11‌

Morgan

Stanley,

Receive

Underlying

Reference:

Nomura

Research

Institute

Monthly,

Pay

Variable

0.476%

(JPY

TONA

+

0.53%)

Monthly,

1/17/24

135,962

(61)

—

(

61‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

NSK

Monthly,

Pay

Variable

0.477%

(1M

JPY

LIBOR

+

0.53%)

Monthly,

1/17/24

39,273

21

—

21‌

Morgan

Stanley,

Receive

Underlying

Reference:

NTT

Data

Monthly,

Pay

Variable

0.476%

(JPY

TONA

+

0.53%)

Monthly,

1/17/24

45,426

15

—

15‌

Morgan

Stanley,

Receive

Underlying

Reference:

Pan

Pacific

International

Holdings

Monthly,

Pay

Variable

0.477%

(JPY

TONA

+

0.53%)

Monthly,

1/17/24

58,605

(28)

—

(

28‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Round

One

Monthly,

Pay

Variable

0.477%

(JPY

TONA

+

0.53%)

Monthly,

1/17/24

62,037

(26)

—

(

26‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Sony

Group

Monthly,

Pay

Variable

0.477%

(JPY

TONA

+

0.53%)

Monthly,

1/17/24

33,761

9

—

9‌

Morgan

Stanley,

Receive

Underlying

Reference:

Stanley

Electric

Monthly,

Pay

Variable

0.477%

(1M

JPY

LIBOR

+

0.53%)

Monthly,

1/17/24

80,908

32

—

32‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

75

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

Sumitomo

Electric

Industries

Monthly,

Pay

Variable

0.477%

(1M

JPY

LIBOR

+

0.53%)

Monthly,

1/17/24

35,826

8

—

8‌

Morgan

Stanley,

Receive

Underlying

Reference:

Sumitomo

Electric

Industries

Monthly,

Pay

Variable

0.477%

(JPY

TONA

+

0.53%)

Monthly,

1/17/24

22,794

2

—

2‌

Morgan

Stanley,

Receive

Underlying

Reference:

Suntory

Beverage

&

Food

Monthly,

Pay

Variable

0.477%

(1M

JPY

LIBOR

+

0.53%)

Monthly,

1/17/24

46,736

(6)

—

(

6‌

)

UBS

Investment

Bank,

Pay

Underlying

Reference:

Chugai

Pharmaceutical

Monthly,

Receive

Variable

(0.460)%

(JPY

TONA

+

(0.40)%)

Monthly,

1/17/24

41,799

19

—

19‌

UBS

Investment

Bank,

Pay

Underlying

Reference:

FANUC

Monthly,

Receive

Variable

(0.460)%

(JPY

TONA

+

(0.40)%)

Monthly,

1/17/24

62,527

6

—

6‌

UBS

Investment

Bank,

Pay

Underlying

Reference:

Nitori

Holdings

Monthly,

Receive

Variable

(0.460)%

(JPY

TONA

+

(0.40)%)

Monthly,

1/17/24

25,883

(17)

—

(

17‌

)

UBS

Investment

Bank,

Pay

Underlying

Reference:

SMC

Monthly,

Receive

Variable

(0.460)%

(JPY

TONA

+

(0.40)%)

Monthly,

1/17/24

77,194

(11)

—

(

11‌

)

UBS

Investment

Bank,

Receive

Underlying

Reference:

Daiichi

Sankyo

Monthly,

Pay

Variable

0.299%

(JPY

TONA

+

0.35%)

Monthly,

1/17/24

27,759

27

—

27‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Daikin

Industries

Monthly,

Pay

Variable

0.299%

(JPY

TONA

+

0.35%)

Monthly,

1/17/24

36,152

(1)

—

(

1‌

)

UBS

Investment

Bank,

Receive

Underlying

Reference:

Hamamatsu

Photonics

Monthly,

Pay

Variable

0.299%

(JPY

TONA

+

0.35%)

Monthly,

1/17/24

177,873

84

—

84‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Hoshizaki

Monthly,

Pay

Variable

0.299%

(JPY

TONA

+

0.35%)

Monthly,

1/17/24

179,352

10

—

10‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

76

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

UBS

Investment

Bank,

Receive

Underlying

Reference:

M3

Monthly,

Pay

Variable

0.299%

(JPY

TONA

+

0.35%)

Monthly,

1/17/24

33,072

20

—

20‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Nintendo

Monthly,

Pay

Variable

0.299%

(JPY

TONA

+

0.35%)

Monthly,

1/17/24

36,006

5

—

5‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Nippon

Steel

Monthly,

Pay

Variable

0.299%

(JPY

TONA

+

0.35%)

Monthly,

1/17/24

76,732

23

—

23‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Panasonic

Monthly,

Pay

Variable

0.299%

(JPY

TONA

+

0.35%)

Monthly,

1/17/24

44,384

12

—

12‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Suzuki

Motor

Monthly,

Pay

Variable

0.299%

(JPY

TONA

+

0.35%)

Monthly,

1/17/24

259,236

193

—

193‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Taiheiyo

Cement

Monthly,

Pay

Variable

0.299%

(JPY

TONA

+

0.35%)

Monthly,

1/17/24

73,103

6

—

6‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Z

Holdings

Monthly,

Pay

Variable

0.299%

(JPY

TONA

+

0.35%)

Monthly,

1/17/24

90,208

(2)

—

(

2‌

)

Total

Japan

—

(

89‌

)

Jersey

0.0%

Goldman

Sachs,

Receive

Underlying

Reference:

Experian

Monthly,

Pay

Variable

2.489%

(GBP

SONIA

+

0.38%)

Monthly,

1/17/24

734

31

—

31‌

Total

Jersey

—

31‌

Luxembourg

0.0%

Morgan

Stanley,

Receive

Underlying

Reference:

Tenaris

Monthly,

Pay

Variable

0.911%

(EUR

ESTR

+

0.35%)

Monthly,

1/17/24

1,637

123

—

123‌

Total

Luxembourg

—

123‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

77

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Mexico

0.0%

Morgan

Stanley,

Pay

Underlying

Reference:

Alpek

Monthly,

Receive

Variable

9.067%

(MXIBTIIE

+

(0.50)%)

Monthly,

1/17/24

4,207

(2)

—

(

2‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Alfa,

Class

A

Monthly,

Pay

Variable

10.117%

(MXIBTIIE

+

0.55%)

Monthly,

1/17/24

5,369

20

—

20‌

Total

Mexico

—

18‌

Netherlands

0.1%

Bank

of

America,

Receive

Underlying

Reference:

Airbus

Monthly,

Pay

Variable

0.911%

(EUR

ESTR

+

0.35%)

Monthly,

1/17/24

296

31

—

31‌

Citibank,

Receive

Underlying

Reference:

ING

Groep

Monthly,

Pay

Variable

0.995%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

1,070

134

—

134‌

Goldman

Sachs,

Receive

Underlying

Reference:

ASML

Holding

Monthly,

Pay

Variable

0.961%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

636

121

—

121‌

Goldman

Sachs,

Receive

Underlying

Reference:

ASML

Holding

Monthly,

Pay

Variable

1.060%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

146

3

—

3‌

JPMorgan

Chase,

Pay

Underlying

Reference:

STMicroelectronics

Monthly,

Receive

Variable

0.306%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

2,396

72

—

72‌

JPMorgan

Chase,

Pay

Underlying

Reference:

STMicroelectronics

Monthly,

Receive

Variable

0.310%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

390

12

—

12‌

Morgan

Stanley,

Pay

Underlying

Reference:

NXP

Semiconductors

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

679

(22)

—

(

22‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Ferrari

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

177

7

—

7‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

78

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

UBS

Investment

Bank,

Pay

Underlying

Reference:

Koninklijke

Ahold

Delhaize

Monthly,

Receive

Variable

0.260%

(EUR

ESTR

+

(0.40)%)

Monthly,

1/17/24

525

(24)

—

(

24‌

)

Total

Netherlands

—

334‌

New

Zealand

(0.0)%

UBS

Investment

Bank,

Pay

Underlying

Reference:

Fisher

&

Paykel

Healthcare

Monthly,

Receive

Variable

3.090%

(1M

NDBB

+

(0.45)%)

Monthly,

1/17/24

625

(17)

—

(

17‌

)

Total

New

Zealand

—

(

17‌

)

Norway

(0.0)%

Citibank,

Pay

Underlying

Reference:

Aker

BP

Monthly,

Receive

Variable

2.314%

(1M

NOK

NIBOR

+

(0.436)%)

Monthly,

1/17/24

4,836

(39)

—

(

39‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

DNB

Bank

Monthly,

Pay

Variable

3.300%

(1M

NOK

NIBOR

+

0.35%)

Monthly,

1/17/24

2,570

8

—

8‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Storebrand

Monthly,

Pay

Variable

3.100%

(1M

NOK

NIBOR

+

0.35%)

Monthly,

1/17/24

5,083

—

—

—‌

Total

Norway

—

(

31‌

)

Portugal

0.0%

Goldman

Sachs,

Receive

Underlying

Reference:

Galp

Energia

Monthly,

Pay

Variable

0.961%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

484

8

—

8‌

Total

Portugal

—

8‌

Puerto

Rico

(0.0)%

Morgan

Stanley,

Receive

Underlying

Reference:

Popular

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

224

(12)

—

(

12‌

)

Total

Puerto

Rico

—

(

12‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

79

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

South

Africa

0.0%

Morgan

Stanley,

Receive

Underlying

Reference:

Gold

Fields

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

152

1

—

1‌

Total

South

Africa

—

1‌

Spain

(0.0)%

Goldman

Sachs,

Receive

Underlying

Reference:

Amadeus

IT

Group

Monthly,

Pay

Variable

0.961%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

221

10

—

10‌

Morgan

Stanley,

Pay

Underlying

Reference:

Banco

Bilbao

Vizcaya

Argentaria

Monthly,

Receive

Variable

0.310%

(1M

EURIBOR

+

(0.35)%)

Monthly,

1/17/24

294

(21)

—

(

21‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Banco

Bilbao

Vizcaya

Argentaria

Monthly,

Receive

Variable

0.310%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

353

(25)

—

(

25‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

EDP

Renovaveis

Monthly,

Receive

Variable

0.310%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

266

(16)

—

(

16‌

)

Total

Spain

—

(

52‌

)

Sweden

(0.0)%

Citibank,

Pay

Underlying

Reference:

Tele2,

Class

B

Monthly,

Receive

Variable

1.301%

(1M

SEK

STIBOR

+

(0.35)%)

Monthly,

1/17/24

9,001

(1)

—

(

1‌

)

Citibank,

Receive

Underlying

Reference:

Assa

Abloy,

Class

B

Monthly,

Pay

Variable

2.001%

(1M

SEK

STIBOR

+

0.35%)

Monthly,

1/17/24

3,404

26

—

26‌

Goldman

Sachs,

Receive

Underlying

Reference:

Atlas

Copco,

Class

B

Monthly,

Pay

Variable

2.017%

(1M

SEK

STIBOR

+

0.35%)

Monthly,

1/17/24

7,259

62

—

62‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

80

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Goldman

Sachs,

Receive

Underlying

Reference:

Svenska

Cellulosa,

Class

B

Monthly,

Pay

Variable

2.017%

(1M

SEK

STIBOR

+

0.35%)

Monthly,

1/17/24

12,871

(129)

—

(

129‌

)

JPMorgan

Chase,

Receive

Underlying

Reference:

Boliden

Monthly,

Pay

Variable

2.067%

(1M

SEK

STIBOR

+

0.40%)

Monthly,

1/17/24

3,092

(33)

—

(

33‌

)

JPMorgan

Chase,

Receive

Underlying

Reference:

Swedbank,

Class

A

Monthly,

Pay

Variable

2.067%

(1M

SEK

STIBOR

+

0.40%)

Monthly,

1/17/24

8,542

75

—

75‌

JPMorgan

Chase,

Receive

Underlying

Reference:

Telefonaktiebolaget

LM

Ericsson,

Class

B

Monthly,

Pay

Variable

2.067%

(1M

SEK

STIBOR

+

0.40%)

Monthly,

1/17/24

4,285

(56)

—

(

56‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

EQT

Monthly,

Receive

Variable

1.317%

(1M

SEK

STIBOR

+

(0.35)%)

Monthly,

1/17/24

3,368

(7)

—

(

7‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Industrivarden,

Class

C

Monthly,

Receive

Variable

1.317%

(1M

SEK

STIBOR

+

(0.35)%)

Monthly,

1/17/24

11,212

(73)

—

(

73‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Investor,

Class

A

Monthly,

Receive

Variable

1.317%

(1M

SEK

STIBOR

+

(0.35)%)

Monthly,

1/17/24

4,432

(27)

—

(

27‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Alfa

Laval

Monthly,

Pay

Variable

2.017%

(1M

SEK

STIBOR

+

0.35%)

Monthly,

1/17/24

3,640

(11)

—

(

11‌

)

UBS

Investment

Bank,

Pay

Underlying

Reference:

SKF,

Class

B

Monthly,

Receive

Variable

1.251%

(1M

SEK

STIBOR

+

(0.40)%)

Monthly,

1/17/24

3,150

(8)

—

(

8‌

)

UBS

Investment

Bank,

Receive

Underlying

Reference:

Essity,

Class

B

Monthly,

Pay

Variable

2.001%

(1M

SEK

STIBOR

+

0.35%)

Monthly,

1/17/24

8,363

22

—

22‌

Total

Sweden

—

(

160‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

81

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Switzerland

0.0%

Bank

of

America,

Pay

Underlying

Reference:

Givaudan

Monthly,

Receive

Variable

0.120%

(1M

CHF

LIBOR

+

(0.35)%)

Monthly,

1/17/24

246

(8)

—

(

8‌

)

Bank

of

America,

Receive

Underlying

Reference:

ABB

Monthly,

Pay

Variable

0.745%

(1M

CHF

LIBOR

+

0.35%)

Monthly,

1/17/24

225

15

—

15‌

Bank

of

America,

Receive

Underlying

Reference:

Julius

Baer

Group

Monthly,

Pay

Variable

0.745%

(1M

CHF

LIBOR

+

0.35%)

Monthly,

1/17/24

1,082

90

—

90‌

Bank

of

America,

Receive

Underlying

Reference:

Montana

Aerospace

Monthly,

Pay

Variable

0.745%

(1M

CHF

LIBOR

+

0.35%)

Monthly,

1/17/24

242

(2)

—

(

2‌

)

Citibank,

Pay

Underlying

Reference:

Geberit

Monthly,

Receive

Variable

0.050%

(1M

CHF

LIBOR

+

(0.42)%)

Monthly,

1/17/24

579

(1)

—

(

1‌

)

Citibank,

Pay

Underlying

Reference:

Nestle

Monthly,

Receive

Variable

0.050%

(1M

CHF

LIBOR

+

(0.42)%)

Monthly,

1/17/24

1,034

(33)

—

(

33‌

)

Citibank,

Pay

Underlying

Reference:

Novartis

Monthly,

Receive

Variable

0.050%

(1M

CHF

LIBOR

+

(0.42)%)

Monthly,

1/17/24

1,531

(105)

—

(

105‌

)

Citibank,

Pay

Underlying

Reference:

SGS

Monthly,

Receive

Variable

0.120%

(1M

CHF

LIBOR

+

(0.35)%)

Monthly,

1/17/24

206

(13)

—

(

13‌

)

Citibank,

Pay

Underlying

Reference:

Straumann

Holding

Monthly,

Receive

Variable

0.050%

(1M

CHF

LIBOR

+

(0.42)%)

Monthly,

1/17/24

121

(3)

—

(

3‌

)

Citibank,

Pay

Underlying

Reference:

Straumann

Holding

Monthly,

Receive

Variable

0.120%

(1M

CHF

LIBOR

+

(0.35)%)

Monthly,

1/17/24

161

(4)

—

(

4‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

82

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Citibank,

Pay

Underlying

Reference:

UBS

Group

Monthly,

Receive

Variable

0.050%

(1M

CHF

LIBOR

+

(0.42)%)

Monthly,

1/17/24

243

(28)

—

(

28‌

)

Citibank,

Receive

Underlying

Reference:

Partners

Group

Holding

Monthly,

Pay

Variable

0.691%

(1M

CHF

LIBOR

+

0.28%)

Monthly,

1/17/24

925

117

—

117‌

Citibank,

Receive

Underlying

Reference:

Zurich

Insurance

Group

Monthly,

Pay

Variable

0.622%

(1M

CHF

LIBOR

+

0.28%)

Monthly,

1/17/24

2,527

60

—

60‌

Goldman

Sachs,

Receive

Underlying

Reference:

Alcon

Monthly,

Pay

Variable

0.685%

(1M

CHF

LIBOR

+

0.29%)

Monthly,

1/17/24

1,378

32

—

32‌

Morgan

Stanley,

Pay

Underlying

Reference:

CRISPR

Therapeutics

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

97

7

—

7‌

Morgan

Stanley,

Pay

Underlying

Reference:

Sonova

Holding

Monthly,

Receive

Variable

0.060%

(1M

CHF

LIBOR

+

(0.41)%)

Monthly,

1/17/24

197

(4)

—

(

4‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

TE

Connectivity

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

1,053

(96)

—

(

96‌

)

UBS

Investment

Bank,

Pay

Underlying

Reference:

Schindler

Holding

Monthly,

Receive

Variable

0.070%

(1M

CHF

LIBOR

+

(0.40)%)

Monthly,

1/17/24

177

(7)

—

(

7‌

)

Total

Switzerland

—

17‌

United

Kingdom

0.0%

Bank

of

America,

Receive

Underlying

Reference:

Smiths

Group

Monthly,

Pay

Variable

2.459%

(1M

GBP

LIBOR

+

0.35%)

Monthly,

1/17/24

243

9

—

9‌

Citibank,

Pay

Underlying

Reference:

Barclays

Monthly,

Receive

Variable

1.864%

(GBP

SONIA

+

(0.326)%)

Monthly,

1/17/24

463

(29)

—

(

29‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

83

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Citibank,

Pay

Underlying

Reference:

BP

Monthly,

Receive

Variable

1.880%

(GBP

SONIA

+

(0.31)%)

Monthly,

1/17/24

324

(31)

—

(

31‌

)

Citibank,

Pay

Underlying

Reference:

Legal

&

General

Group

Monthly,

Receive

Variable

1.880%

(GBP

SONIA

+

(0.31)%)

Monthly,

1/17/24

861

(96)

—

(

96‌

)

Citibank,

Receive

Underlying

Reference:

Endava

Monthly,

Pay

Variable

3.378%

(SOFR

+

0.42%)

Monthly,

1/18/24

346

67

—

67‌

Citibank,

Receive

Underlying

Reference:

London

Stock

Exchange

Group

Monthly,

Pay

Variable

2.526%

(GBP

SONIA

+

0.39%)

Monthly,

1/17/24

238

5

—

5‌

Goldman

Sachs,

Pay

Underlying

Reference:

Hargreaves

Lansdown

Monthly,

Receive

Variable

1.840%

(1M

GBP

LIBOR

+

(0.35)%)

Monthly,

1/17/24

263

13

—

13‌

Goldman

Sachs,

Receive

Underlying

Reference:

Anglo

American

Monthly,

Pay

Variable

2.489%

(GBP

SONIA

+

0.38%)

Monthly,

1/17/24

243

(7)

—

(

7‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

Imperial

Brands

Monthly,

Pay

Variable

2.489%

(GBP

SONIA

+

0.38%)

Monthly,

1/17/24

2,138

142

—

142‌

Goldman

Sachs,

Receive

Underlying

Reference:

Next

Monthly,

Pay

Variable

2.489%

(GBP

SONIA

+

0.38%)

Monthly,

1/17/24

558

15

—

15‌

Morgan

Stanley,

Pay

Underlying

Reference:

Bunzl

Monthly,

Receive

Variable

1.880%

(1M

GBP

LIBOR

+

(0.31)%)

Monthly,

1/17/24

415

(17)

—

(

17‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Burberry

Group

Monthly,

Receive

Variable

1.880%

(GBP

SONIA

+

(0.31)%)

Monthly,

1/17/24

271

11

—

11‌

Morgan

Stanley,

Pay

Underlying

Reference:

JD

Sports

Fashion

Monthly,

Receive

Variable

1.880%

(GBP

SONIA

+

(0.31)%)

Monthly,

1/17/24

593

8

—

8‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

84

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Pay

Underlying

Reference:

Segro

Monthly,

Receive

Variable

1.880%

(GBP

SONIA

+

(0.31)%)

Monthly,

1/17/24

281

(8)

—

(

8‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

InterContinental

Hotels

Group

Monthly,

Pay

Variable

2.499%

(1M

GBP

LIBOR

+

0.39%)

Monthly,

1/17/24

685

31

—

31‌

Morgan

Stanley,

Receive

Underlying

Reference:

Wise,

Class

A

Monthly,

Pay

Variable

2.499%

(GBP

SONIA

+

0.39%)

Monthly,

1/17/24

898

(72)

—

(

72‌

)

UBS

Investment

Bank,

Receive

Underlying

Reference:

Prudential

Monthly,

Pay

Variable

2.486%

(GBP

SONIA

+

0.35%)

Monthly,

1/17/24

418

(41)

—

(

41‌

)

Total

United

Kingdom

—

—‌

United

States

0.1%

Bank

of

America,

Pay

Underlying

Reference:

Aflac

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

149

(14)

—

(

14‌

)

Bank

of

America,

Pay

Underlying

Reference:

Brighthouse

Financial

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

215

(31)

—

(

31‌

)

Bank

of

America,

Pay

Underlying

Reference:

Eversource

Energy

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

2,424

(77)

—

(

77‌

)

Bank

of

America,

Pay

Underlying

Reference:

Globe

Life

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

162

(7)

—

(

7‌

)

Bank

of

America,

Pay

Underlying

Reference:

MetLife

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

98

(10)

—

(

10‌

)

Bank

of

America,

Pay

Underlying

Reference:

Paycom

Software

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

1,219

(116)

—

(

116‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

85

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Bank

of

America,

Pay

Underlying

Reference:

Pilgrim's

Pride

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

142

(6)

—

(

6‌

)

Bank

of

America,

Pay

Underlying

Reference:

Prudential

Financial

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

159

(18)

—

(

18‌

)

Bank

of

America,

Pay

Underlying

Reference:

Pure

Storage,

Class

A

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

500

(55)

—

(

55‌

)

Bank

of

America,

Pay

Underlying

Reference:

UDR

Monthly,

Receive

Variable

2.710%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

229

(4)

—

(

4‌

)

Bank

of

America,

Pay

Underlying

Reference:

Victoria's

Secret

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

157

(7)

—

(

7‌

)

Bank

of

America,

Receive

Underlying

Reference:

Booking

Holdings

Monthly,

Pay

Variable

3.310%

(SOFR

+

0.30%)

Monthly,

1/18/24

306

(1)

—

(

1‌

)

Bank

of

America,

Receive

Underlying

Reference:

Centene

Monthly,

Pay

Variable

3.211%

(SOFR

+

0.30%)

Monthly,

1/18/24

257

34

—

34‌

Bank

of

America,

Receive

Underlying

Reference:

Chipotle

Mexican

Grill

Monthly,

Pay

Variable

3.211%

(SOFR

+

0.30%)

Monthly,

1/18/24

271

(8)

—

(

8‌

)

Bank

of

America,

Receive

Underlying

Reference:

CoStar

Group

Monthly,

Pay

Variable

3.211%

(SOFR

+

0.30%)

Monthly,

1/18/24

297

43

—

43‌

Bank

of

America,

Receive

Underlying

Reference:

Cummins

Monthly,

Pay

Variable

3.211%

(SOFR

+

0.30%)

Monthly,

1/18/24

84

9

—

9‌

Bank

of

America,

Receive

Underlying

Reference:

Elevance

Health

Monthly,

Pay

Variable

3.211%

(SOFR

+

0.30%)

Monthly,

1/18/24

288

42

—

42‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

86

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Bank

of

America,

Receive

Underlying

Reference:

Exelon

Monthly,

Pay

Variable

3.211%

(SOFR

+

0.30%)

Monthly,

1/18/24

857

33

—

33‌

Bank

of

America,

Receive

Underlying

Reference:

Humana

Monthly,

Pay

Variable

3.211%

(SOFR

+

0.30%)

Monthly,

1/18/24

316

37

—

37‌

Bank

of

America,

Receive

Underlying

Reference:

Intercontinental

Exchange

Monthly,

Pay

Variable

3.211%

(SOFR

+

0.30%)

Monthly,

1/18/24

299

12

—

12‌

Bank

of

America,

Receive

Underlying

Reference:

Las

Vegas

Sands

Monthly,

Pay

Variable

3.211%

(SOFR

+

0.30%)

Monthly,

1/18/24

238

15

—

15‌

Bank

of

America,

Receive

Underlying

Reference:

Molina

Healthcare

Monthly,

Pay

Variable

3.211%

(SOFR

+

0.30%)

Monthly,

1/18/24

294

5

—

5‌

Bank

of

America,

Receive

Underlying

Reference:

Saia

Monthly,

Pay

Variable

3.211%

(SOFR

+

0.30%)

Monthly,

1/18/24

261

(5)

—

(

5‌

)

Bank

of

America,

Receive

Underlying

Reference:

UnitedHealth

Group

Monthly,

Pay

Variable

3.211%

(SOFR

+

0.30%)

Monthly,

1/18/24

444

28

—

28‌

Bank

of

America,

Receive

Underlying

Reference:

Zendesk

Monthly,

Pay

Variable

3.211%

(SOFR

+

0.30%)

Monthly,

1/18/24

1,171

1

—

1‌

Citibank,

Pay

Underlying

Reference:

CME

Group

Monthly,

Receive

Variable

2.830%

(SOFR

+

(0.18)%)

Monthly,

1/18/24

256

(5)

—

(

5‌

)

Citibank,

Receive

Underlying

Reference:

Becton

Dickinson

&

Company

Monthly,

Pay

Variable

3.378%

(SOFR

+

0.42%)

Monthly,

1/18/24

474

27

—

27‌

Citibank,

Receive

Underlying

Reference:

PG&E

Monthly,

Pay

Variable

3.378%

(SOFR

+

0.42%)

Monthly,

1/18/24

913

44

—

44‌

Citibank,

Receive

Underlying

Reference:

Stanley

Black

&

Decker

Monthly,

Pay

Variable

3.341%

(SOFR

+

0.42%)

Monthly,

1/18/24

167

4

—

4‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

87

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Citibank,

Receive

Underlying

Reference:

Stanley

Black

&

Decker

Monthly,

Pay

Variable

3.378%

(SOFR

+

0.42%)

Monthly,

1/18/24

448

10

—

10‌

Goldman

Sachs,

Pay

Underlying

Reference:

American

Electric

Power

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

980

(32)

—

(

32‌

)

Goldman

Sachs,

Pay

Underlying

Reference:

Comcast,

Class

A

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

828

(24)

—

(

24‌

)

Goldman

Sachs,

Pay

Underlying

Reference:

Exxon

Mobil

Monthly,

Receive

Variable

2.710%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

110

(11)

—

(

11‌

)

Goldman

Sachs,

Pay

Underlying

Reference:

Freeport-McMoRan

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

147

(15)

—

(

15‌

)

Goldman

Sachs,

Pay

Underlying

Reference:

Morgan

Stanley

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

582

(43)

—

(

43‌

)

Goldman

Sachs,

Pay

Underlying

Reference:

PNC

Financial

Services

Group

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

1,059

(50)

—

(

50‌

)

Goldman

Sachs,

Pay

Underlying

Reference:

United

States

Steel

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

468

(16)

—

(

16‌

)

Goldman

Sachs,

Pay

Underlying

Reference:

VICI

Properties

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

326

(16)

—

(

16‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

Carney

Technology

Acquisition,

Class

A

Monthly,

Pay

Variable

3.321%

(1M

USD

LIBOR

+

0.41%)

Monthly,

1/18/24

166

—

—

—‌

Goldman

Sachs,

Receive

Underlying

Reference:

Equifax

Monthly,

Pay

Variable

3.321%

(SOFR

+

0.41%)

Monthly,

1/18/24

284

9

—

9‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

88

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Goldman

Sachs,

Receive

Underlying

Reference:

Healthpeak

Properties

Monthly,

Pay

Variable

3.321%

(SOFR

+

0.41%)

Monthly,

1/18/24

268

10

—

10‌

Goldman

Sachs,

Receive

Underlying

Reference:

International

Paper

Monthly,

Pay

Variable

3.421%

(1M

USD

LIBOR

+

0.51%)

Monthly,

1/18/24

184

2

—

2‌

Goldman

Sachs,

Receive

Underlying

Reference:

Microsoft

Monthly,

Pay

Variable

3.321%

(1M

USD

LIBOR

+

0.41%)

Monthly,

1/18/24

718

(18)

—

(

18‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

Microsoft

Monthly,

Pay

Variable

3.321%

(SOFR

+

0.41%)

Monthly,

1/18/24

214

(5)

—

(

5‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

Monster

Beverage

Monthly,

Pay

Variable

3.321%

(1M

USD

LIBOR

+

0.41%)

Monthly,

1/18/24

344

16

—

16‌

Goldman

Sachs,

Receive

Underlying

Reference:

Monster

Beverage

Monthly,

Pay

Variable

3.321%

(SOFR

+

0.41%)

Monthly,

1/18/24

209

10

—

10‌

Goldman

Sachs,

Receive

Underlying

Reference:

NortonLifeLock

Monthly,

Pay

Variable

3.321%

(SOFR

+

0.41%)

Monthly,

1/18/24

597

37

—

37‌

Goldman

Sachs,

Receive

Underlying

Reference:

Rockwell

Automation

Monthly,

Pay

Variable

3.321%

(SOFR

+

0.41%)

Monthly,

1/18/24

347

37

—

37‌

Goldman

Sachs,

Receive

Underlying

Reference:

Sherwin-Williams

Monthly,

Pay

Variable

3.321%

(SOFR

+

0.41%)

Monthly,

1/18/24

276

21

—

21‌

Goldman

Sachs,

Receive

Underlying

Reference:

Thermo

Fisher

Scientific

Monthly,

Pay

Variable

3.321%

(SOFR

+

0.41%)

Monthly,

1/18/24

278

(2)

—

(

2‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

Visa

Monthly,

Pay

Variable

3.321%

(SOFR

+

0.41%)

Monthly,

1/18/24

319

37

—

37‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

89

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Goldman

Sachs,

Receive

Underlying

Reference:

Yum

China

Holdings

Monthly,

Pay

Variable

3.321%

(SOFR

+

0.41%)

Monthly,

1/18/24

1,263

(154)

—

(

154‌

)

JPMorgan

Chase,

Pay

Underlying

Reference:

Goodyear

Tire

&

Rubber

at

Maturity,

Receive

Variable

2.118%

(SOFR

+

(0.80)%)

at

Maturity,

12/20/22

854

3

—

3‌

JPMorgan

Chase,

Pay

Underlying

Reference:

Halliburton

at

Maturity,

Receive

Variable

2.418%

(SOFR

+

(0.50)%)

at

Maturity,

12/20/22

515

46

—

46‌

JPMorgan

Chase,

Pay

Underlying

Reference:

Lowe's

Monthly,

Receive

Variable

2.760%

(1M

USD

LIBOR

+

(0.25)%)

Monthly,

1/18/24

356

(3)

—

(

3‌

)

JPMorgan

Chase,

Pay

Underlying

Reference:

Macy's

Retail

Holdings

at

Maturity,

Receive

Variable

2.298%

(SOFR

+

(0.62)%)

at

Maturity,

12/20/22

1,608

(18)

—

(

18‌

)

JPMorgan

Chase,

Pay

Underlying

Reference:

Medline

Borrower

at

Maturity,

Receive

Variable

2.268%

(SOFR

+

(0.65)%)

at

Maturity,

12/20/22

596

53

—

53‌

JPMorgan

Chase,

Pay

Underlying

Reference:

Royal

Caribbean

Cruises

at

Maturity,

Receive

Variable

2.218%

(SOFR

+

(0.70)%)

Quarterly,

12/20/22

1,458

(38)

—

(

38‌

)

JPMorgan

Chase,

Pay

Underlying

Reference:

Union

Pacific

Monthly,

Receive

Variable

2.760%

(SOFR

+

(0.25)%)

Monthly,

1/18/24

508

4

—

4‌

JPMorgan

Chase,

Receive

Underlying

Reference:

Apollo

Global

Management

Monthly,

Pay

Variable

3.261%

(SOFR

+

0.35%)

Monthly,

1/18/24

454

59

—

59‌

JPMorgan

Chase,

Receive

Underlying

Reference:

Honeywell

International

Monthly,

Pay

Variable

3.261%

(SOFR

+

0.35%)

Monthly,

1/18/24

1,099

166

—

166‌

JPMorgan

Chase,

Receive

Underlying

Reference:

Outfront

Media

Monthly,

Pay

Variable

3.261%

(SOFR

+

0.35%)

Monthly,

1/18/24

304

33

—

33‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

90

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Pay

Underlying

Reference:

1Life

Healthcare

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

761

(4)

—

(

4‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Abbott

Laboratories

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

586

24

—

24‌

Morgan

Stanley,

Pay

Underlying

Reference:

ABIOMED

Monthly,

Receive

Variable

2.710%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

244

6

—

6‌

Morgan

Stanley,

Pay

Underlying

Reference:

ABIOMED

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

240

5

—

5‌

Morgan

Stanley,

Pay

Underlying

Reference:

Academy

Sports

&

Outdoors

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

200

3

—

3‌

Morgan

Stanley,

Pay

Underlying

Reference:

Albemarle

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

573

(73)

—

(

73‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

AMN

Healthcare

Services

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

270

(31)

—

(

31‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Analog

Devices

Monthly,

Receive

Variable

2.710%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

976

(23)

—

(

23‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Autodesk

Monthly,

Receive

Variable

2.710%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

226

(17)

—

(

17‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Automatic

Data

Processing

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

532

(19)

—

(

19‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Beam

Therapeutics

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

93

8

—

8‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

91

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Pay

Underlying

Reference:

Bristol-Myers

Squibb

Monthly,

Receive

Variable

2.710%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

1,386

(127)

—

(

127‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Capital

One

Financial

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

918

(79)

—

(

79‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Caterpillar

Monthly,

Receive

Variable

2.710%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

850

(172)

—

(

172‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Charter

Communications,

Class

A

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

337

(36)

—

(

36‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Copart

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

583

(21)

—

(

21‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Covenant

Logistics

Group

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

116

(21)

—

(

21‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Darden

Restaurants

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

1,818

(169)

—

(

169‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Deere

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

457

(43)

—

(

43‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Devon

Energy

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

481

(51)

—

(

51‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Discover

Financial

Services

Monthly,

Receive

Variable

2.710%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

415

(52)

—

(

52‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

DuPont

de

Nemours

Monthly,

Receive

Variable

2.710%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

330

(24)

—

(

24‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

92

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Pay

Underlying

Reference:

EPAM

Systems

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

1,038

(50)

—

(

50‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Etsy

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

974

44

—

44‌

Morgan

Stanley,

Pay

Underlying

Reference:

Expedia

Group

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

304

12

—

12‌

Morgan

Stanley,

Pay

Underlying

Reference:

Exxon

Mobil

Monthly,

Receive

Variable

2.710%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

1,159

(116)

—

(

116‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Exxon

Mobil

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

399

(40)

—

(

40‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

FactSet

Research

Systems

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

1,051

(46)

—

(

46‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Fate

Therapeutics

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

56

—

—

—‌

Morgan

Stanley,

Pay

Underlying

Reference:

First

Republic

Bank

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

2,461

(141)

—

(

141‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Ford

Motor

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

373

(48)

—

(

48‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Fortive

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

2,369

(128)

—

(

128‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

93

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Pay

Underlying

Reference:

Fortune

Brands

Home

&

Security

Monthly,

Receive

Variable

2.710%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

180

(14)

—

(

14‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Gartner

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

2,119

(118)

—

(

118‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

General

Motors

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

930

(156)

—

(

156‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

HCA

Healthcare

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

859

(45)

—

(

45‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Henry

Schein

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

444

(4)

—

(

4‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

IDEXX

Laboratories

Monthly,

Receive

Variable

2.710%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

306

(18)

—

(

18‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Incyte

Monthly,

Receive

Variable

2.710%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

387

(22)

—

(

22‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Incyte

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

259

(14)

—

(

14‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

International

Flavors

&

Fragrances

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

347

(30)

—

(

30‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

iShares

iBoxx

High

Yield

Corporate

Bond

ETF

at

Maturity,

Receive

Variable

3.020%

(SOFR

+

0.00%)

at

Maturity,

12/20/22

250

(1)

1

(

2‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

94

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Pay

Underlying

Reference:

iShares

iBoxx

High

Yield

Corporate

Bond

ETF

at

Maturity,

Receive

Variable

3.030%

(SOFR

+

0.00%)

at

Maturity,

12/20/22

5,580

4

20

(

16‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

J

M

Smucker

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

1,131

(85)

—

(

85‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Jack

Henry

&

Associates

Monthly,

Receive

Variable

2.710%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

1,125

(72)

—

(

72‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Johnson

&

Johnson

Monthly,

Receive

Variable

2.710%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

671

(29)

—

(

29‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Kimco

Realty

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

314

(34)

—

(

34‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Kroger

Monthly,

Receive

Variable

2.710%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

306

(37)

—

(

37‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Loews

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

291

(18)

—

(

18‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

McCormick

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

1,102

(74)

—

(

74‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Microchip

Technology

Monthly,

Receive

Variable

2.710%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

631

(29)

—

(

29‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Micron

Technology

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

522

—

—

—‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

95

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Pay

Underlying

Reference:

Mid-America

Apartment

Monthly,

Receive

Variable

2.710%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

250

(16)

—

(

16‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Norfolk

Southern

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

399

(16)

—

(

16‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

PayPal

Holdings

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

1,144

16

—

16‌

Morgan

Stanley,

Pay

Underlying

Reference:

Pfizer

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

613

(40)

—

(

40‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Pool

Monthly,

Receive

Variable

2.710%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

245

11

—

11‌

Morgan

Stanley,

Pay

Underlying

Reference:

Progressive

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

503

(36)

—

(

36‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Prudential

Financial

Monthly,

Receive

Variable

2.710%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

278

(27)

—

(

27‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

PTC

Monthly,

Receive

Variable

2.710%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

361

(31)

—

(

31‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Quanta

Services

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

550

(52)

—

(

52‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Ryder

System

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

157

(6)

—

(

6‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Snap-on

Monthly,

Receive

Variable

2.710%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

540

(24)

—

(

24‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

96

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Pay

Underlying

Reference:

Synchrony

Financial

Monthly,

Receive

Variable

2.710%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

393

(44)

—

(

44‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Target

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

978

(97)

—

(

97‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Tractor

Supply

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

472

(42)

—

(

42‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Trade

Desk,

Class

A

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

112

3

—

3‌

Morgan

Stanley,

Pay

Underlying

Reference:

Truist

Financial

Monthly,

Receive

Variable

2.710%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

371

(3)

—

(

3‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Tyson

Foods,

Class

A

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

523

(20)

—

(

20‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

VF

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

296

13

—

13‌

Morgan

Stanley,

Pay

Underlying

Reference:

Vir

Biotechnology

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

82

(1)

—

(

1‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Waters

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

298

(21)

—

(

21‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Werner

Enterprises

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

389

—

—

—‌

Morgan

Stanley,

Pay

Underlying

Reference:

West

Pharmaceutical

Services

Monthly,

Receive

Variable

2.710%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

301

30

—

30‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

97

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

7GC

Monthly,

Pay

Variable

3.311%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

—

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

7GC,

Class

A

Monthly,

Pay

Variable

3.311%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

73

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Activision

Blizzard

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

1,867

24

—

24‌

Morgan

Stanley,

Receive

Underlying

Reference:

Agilent

Technologies

Monthly,

Pay

Variable

3.213%

(SOFR

+

0.40%)

Monthly,

1/18/24

441

36

—

36‌

Morgan

Stanley,

Receive

Underlying

Reference:

Altaba

Monthly,

Pay

Variable

3.311%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

30

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Amazon.com

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

252

(26)

—

(

26‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Ameren

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

228

11

—

11‌

Morgan

Stanley,

Receive

Underlying

Reference:

American

Express

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

273

14

—

14‌

Morgan

Stanley,

Receive

Underlying

Reference:

AMETEK

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

584

63

—

63‌

Morgan

Stanley,

Receive

Underlying

Reference:

Apple

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

1,493

112

—

112‌

Morgan

Stanley,

Receive

Underlying

Reference:

Arista

Networks

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

535

83

—

83‌

Morgan

Stanley,

Receive

Underlying

Reference:

Ball

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

352

1

—

1‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

98

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

Bank

of

America

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

584

41

—

41‌

Morgan

Stanley,

Receive

Underlying

Reference:

Biogen

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

1,129

57

—

57‌

Morgan

Stanley,

Receive

Underlying

Reference:

Blueprint

Medicines

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

210

(8)

—

(

8‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Bright

Horizons

Family

Solutions

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

584

57

—

57‌

Morgan

Stanley,

Receive

Underlying

Reference:

Broadcom

Monthly,

Pay

Variable

3.213%

(SOFR

+

0.40%)

Monthly,

1/18/24

308

18

—

18‌

Morgan

Stanley,

Receive

Underlying

Reference:

Burlington

Stores

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

489

111

—

111‌

Morgan

Stanley,

Receive

Underlying

Reference:

Carney

Technology

Acquisition,

Class

A

Monthly,

Pay

Variable

3.311%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

130

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Ceridian

HCM

Holding

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

369

66

—

66‌

Morgan

Stanley,

Receive

Underlying

Reference:

CF

Industries

Holdings

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

284

21

—

21‌

Morgan

Stanley,

Receive

Underlying

Reference:

Charles

Schwab

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

239

43

—

43‌

Morgan

Stanley,

Receive

Underlying

Reference:

Confluent,

Class

A

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

109

12

—

12‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

99

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

Constellation

Brands,

Class

A

Monthly,

Pay

Variable

3.311%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

889

90

—

90‌

Morgan

Stanley,

Receive

Underlying

Reference:

CSX

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

302

9

—

9‌

Morgan

Stanley,

Receive

Underlying

Reference:

Cummins

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

165

18

—

18‌

Morgan

Stanley,

Receive

Underlying

Reference:

Danaher

Monthly,

Pay

Variable

3.311%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

21

(1)

—

(

1‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Danaher

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

852

(27)

—

(

27‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Dominion

Energy

Monthly,

Pay

Variable

3.311%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

277

19

—

19‌

Morgan

Stanley,

Receive

Underlying

Reference:

Elanco

Animal

Health

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

256

17

—

17‌

Morgan

Stanley,

Receive

Underlying

Reference:

Estee

Lauder,

Class

A

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

266

(16)

—

(

16‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Extra

Space

Storage

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

494

27

—

27‌

Morgan

Stanley,

Receive

Underlying

Reference:

EZCORP,

Class

A

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

333

61

—

61‌

Morgan

Stanley,

Receive

Underlying

Reference:

FedEx

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

348

7

—

7‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

100

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

Fifth

Third

Bancorp

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

521

14

—

14‌

Morgan

Stanley,

Receive

Underlying

Reference:

FirstCash

Holdings

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

348

72

—

72‌

Morgan

Stanley,

Receive

Underlying

Reference:

Fiserv

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

1,031

55

—

55‌

Morgan

Stanley,

Receive

Underlying

Reference:

FleetCor

Technologies

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

241

20

—

20‌

Morgan

Stanley,

Receive

Underlying

Reference:

FMC

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

899

34

—

34‌

Morgan

Stanley,

Receive

Underlying

Reference:

Freshpet

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

240

15

—

15‌

Morgan

Stanley,

Receive

Underlying

Reference:

General

Electric

Monthly,

Pay

Variable

3.311%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

902

119

—

119‌

Morgan

Stanley,

Receive

Underlying

Reference:

General

Electric

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

234

31

—

31‌

Morgan

Stanley,

Receive

Underlying

Reference:

Global

Payments

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

239

3

—

3‌

Morgan

Stanley,

Receive

Underlying

Reference:

Goldman

Sachs

Group

Monthly,

Pay

Variable

3.311%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

492

60

—

60‌

Morgan

Stanley,

Receive

Underlying

Reference:

Hess

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

971

124

—

124‌

Morgan

Stanley,

Receive

Underlying

Reference:

Hilton

Worldwide

Holdings

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

320

22

—

22‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

101

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

Inari

Medical

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

290

(1)

—

(

1‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Ingersoll

Rand

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

268

21

—

21‌

Morgan

Stanley,

Receive

Underlying

Reference:

Insmed

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

137

(28)

—

(

28‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Intuit

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

759

44

—

44‌

Morgan

Stanley,

Receive

Underlying

Reference:

Intuitive

Surgical

Monthly,

Pay

Variable

3.311%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

309

91

—

91‌

Morgan

Stanley,

Receive

Underlying

Reference:

Intuitive

Surgical

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

147

43

—

43‌

Morgan

Stanley,

Receive

Underlying

Reference:

JB

Hunt

Transport

Services

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

440

13

—

13‌

Morgan

Stanley,

Receive

Underlying

Reference:

JPMorgan

Chase

Monthly,

Pay

Variable

3.179%

(SOFR

+

0.40%)

Monthly,

1/18/24

662

22

—

22‌

Morgan

Stanley,

Receive

Underlying

Reference:

JPMorgan

Chase

Monthly,

Pay

Variable

3.213%

(SOFR

+

0.40%)

Monthly,

1/18/24

407

18

—

18‌

Morgan

Stanley,

Receive

Underlying

Reference:

Kraft

Heinz

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

1,000

83

—

83‌

Morgan

Stanley,

Receive

Underlying

Reference:

Kymera

Therapeutics

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

239

63

—

63‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

102

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

Marriott

International,

Class

A

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

320

26

—

26‌

Morgan

Stanley,

Receive

Underlying

Reference:

Match

Group

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

353

(9)

—

(

9‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Mettler-Toledo

International

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

326

25

—

25‌

Morgan

Stanley,

Receive

Underlying

Reference:

MGM

Resorts

International

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

301

30

—

30‌

Morgan

Stanley,

Receive

Underlying

Reference:

Mobileye

Global,

Class

A

Monthly,

Pay

Variable

3.410%

(SOFR

+

0.40%)

Monthly,

1/18/24

458

4

—

4‌

Morgan

Stanley,

Receive

Underlying

Reference:

Moderna

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

651

51

—

51‌

Morgan

Stanley,

Receive

Underlying

Reference:

MongoDB

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

59

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Monolithic

Power

Systems

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

699

51

—

51‌

Morgan

Stanley,

Receive

Underlying

Reference:

MSCI

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

252

41

—

41‌

Morgan

Stanley,

Receive

Underlying

Reference:

Netflix

Monthly,

Pay

Variable

3.238%

(SOFR

+

0.40%)

Monthly,

1/18/24

1,314

89

—

89‌

Morgan

Stanley,

Receive

Underlying

Reference:

News,

Class

A

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

1,080

48

—

48‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

103

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

NextEra

Energy

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

200

10

—

10‌

Morgan

Stanley,

Receive

Underlying

Reference:

NVIDIA

Monthly,

Pay

Variable

3.311%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

123

17

—

17‌

Morgan

Stanley,

Receive

Underlying

Reference:

NVIDIA

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

325

43

—

43‌

Morgan

Stanley,

Receive

Underlying

Reference:

Old

Dominion

Freight

Line

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

364

10

—

10‌

Morgan

Stanley,

Receive

Underlying

Reference:

ON

Semiconductor

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

761

20

—

20‌

Morgan

Stanley,

Receive

Underlying

Reference:

PACCAR

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

278

25

—

25‌

Morgan

Stanley,

Receive

Underlying

Reference:

Pershing

Square

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

—

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Philip

Morris

International

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

604

43

—

43‌

Morgan

Stanley,

Receive

Underlying

Reference:

PropTech

Investment,

Class

A

Monthly,

Pay

Variable

3.311%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

96

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Public

Storage

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

257

16

—

16‌

Morgan

Stanley,

Receive

Underlying

Reference:

RAPT

Therapeutics

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

198

(3)

—

(

3‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

104

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

Regeneron

Pharmaceuticals

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

907

14

—

14‌

Morgan

Stanley,

Receive

Underlying

Reference:

ResMed

Monthly,

Pay

Variable

3.311%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

354

14

—

14‌

Morgan

Stanley,

Receive

Underlying

Reference:

Rexford

Industrial

Realty

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

228

10

—

10‌

Morgan

Stanley,

Receive

Underlying

Reference:

Rivian

Automotive,

Class

A

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

532

73

—

73‌

Morgan

Stanley,

Receive

Underlying

Reference:

Roper

Technologies

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

992

115

—

115‌

Morgan

Stanley,

Receive

Underlying

Reference:

Ross

Stores

Monthly,

Pay

Variable

3.311%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

223

30

—

30‌

Morgan

Stanley,

Receive

Underlying

Reference:

Ross

Stores

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

602

81

—

81‌

Morgan

Stanley,

Receive

Underlying

Reference:

Salesforce

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

510

53

—

53‌

Morgan

Stanley,

Receive

Underlying

Reference:

Senior

Connect

Acquisition,

Class

A

Monthly,

Pay

Variable

3.311%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

148

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Simon

Property

Group

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

329

32

—

32‌

Morgan

Stanley,

Receive

Underlying

Reference:

State

Street

Monthly,

Pay

Variable

3.311%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

546

86

—

86‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

105

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

Strategic

Education

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

388

29

—

29‌

Morgan

Stanley,

Receive

Underlying

Reference:

Textron

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

530

57

—

57‌

Morgan

Stanley,

Receive

Underlying

Reference:

US

Bancorp

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

275

(2)

—

(

2‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Viatris

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

652

34

—

34‌

Morgan

Stanley,

Receive

Underlying

Reference:

Vulcan

Materials

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

404

25

—

25‌

Morgan

Stanley,

Receive

Underlying

Reference:

Walt

Disney

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

1,485

138

—

138‌

Morgan

Stanley,

Receive

Underlying

Reference:

Weyerhaeuser

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

309

12

—

12‌

Morgan

Stanley,

Receive

Underlying

Reference:

Zimmer

Biomet

Holdings

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

293

8

—

8‌

Morgan

Stanley,

Receive

Underlying

Reference:

Zoetis

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

503

4

—

4‌

Total

United

States

21

657‌

Virgin

Islands

(British)

0.0%

Bank

of

America,

Receive

Underlying

Reference:

Biohaven

Monthly,

Pay

Variable

3.211%

(SOFR

+

0.30%)

Monthly,

1/18/24

13

8

—

8‌

Morgan

Stanley,

Receive

Underlying

Reference:

Biohaven

Monthly,

Pay

Variable

3.311%

(SOFR

+

0.40%)

Monthly,

1/18/24

10

6

—

6‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

106

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

Eucrates

Biomedical

Acquisition

Monthly,

Pay

Variable

3.311%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

—

—

—

—‌

Total

Virgin

Islands

(British)

—

14‌

Total

Bilateral

Total

Return

Swaps

21

1,344‌

Interest

Rate

Swaps

0.0%

Malaysia

0.0%

Morgan

Stanley,

5

Year

Interest

Rate

Swap,

Pay

Fixed

3.740%

Quarterly,

Receive

Variable

2.73%,

(3M

MYR

KLIBOR)

Quarterly,

9/1/27

5,817

22

—

22‌

Total

Malaysia

—

22‌

Total

Bilateral

Interest

Rate

Swaps

—

22‌

Total

Bilateral

Swaps

(247)

1,627‌

Description

Notional

Amount

$

Value

Initial

$

Value

**

Unrealized

$

Gain/(Loss)

CENTRALLY

CLEARED

SWAPS

0.2%

Credit

Default

Swaps,

Protection

Bought

0.0%

Foreign/Europe

0.0%

Protection

Bought

(Relevant

Credit:

Markit

iTraxx

Europe-S38,

5

Year

Index),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

12/20/27

2,400

13

39

(

26‌

)

Protection

Bought

(Relevant

Credit:

Sanofi),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

12/20/27

150

(4)

(3)

(

1‌

)

Total

Foreign/Europe

(

27‌

)

Luxembourg

(0.0)%

Protection

Bought

(Relevant

Credit:

Glencore

Finance

Europe),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/20/26

230

(29)

(50)

21‌

Total

Luxembourg

21‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

107

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Initial

$

Value**

Unrealized

$

Gain/(Loss)

South

Africa

0.0%

Protection

Bought

(Relevant

Credit:

Republic

of

South

Africa),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

12/20/27

(USD)

500

43

44

(

1‌

)

Total

South

Africa

(

1‌

)

United

States

0.0%

Protection

Bought

(Relevant

Credit:

Apache),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

6/20/27

1,005

22

53

(

31‌

)

Protection

Bought

(Relevant

Credit:

ConocoPhillips),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

6/20/27

800

(18)

(13)

(

5‌

)

Protection

Bought

(Relevant

Credit:

Delta

Air

Lines),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

6/21/27

420

(25)

(8)

(

17‌

)

Protection

Bought

(Relevant

Credit:

Macy's),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

12/20/27

255

33

46

(

13‌

)

Protection

Bought

(Relevant

Credit:

Markit

CDX.NA.HY-S33,

5

Year

Index),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/20/24

2,552

(77)

(33)

(

44‌

)

Protection

Bought

(Relevant

Credit:

Markit

CDX.NA.HY-S38,

5

Year

Index),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

6/21/27

173

(2)

5

(

7‌

)

Protection

Bought

(Relevant

Credit:

Markit

CDX.NA.HY-S39,

5

Year

Index),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/20/27

23,153

41

744

(

703‌

)

Protection

Bought

(Relevant

Credit:

Markit

CDX.NA.IG-S39,

5

Year

Index),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

12/20/27

7,460

(41)

28

(

69‌

)

Protection

Bought

(Relevant

Credit:

Markit

iTraxx

Crossover-S38,

5

Year

Index),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/20/27

(EUR)

6,055

94

234

(

140‌

)

Protection

Bought

(Relevant

Credit:

Marriott

International),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

12/20/26

1,995

(19)

(2)

(

17‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

108

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Initial

$

Value**

Unrealized

$

Gain/(Loss)

Protection

Bought

(Relevant

Credit:

Murphy

Oil),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

6/21/27

83

4

10

(

6‌

)

Protection

Bought

(Relevant

Credit:

Occidental

Petroleum),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

6/21/27

320

2

18

(

16‌

)

Protection

Bought

(Relevant

Credit:

Realogy

Group),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/20/26

860

125

(37)

162‌

Protection

Bought

(Relevant

Credit:

Xerox),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

12/20/27

200

30

29

1‌

Total

United

States

(

905‌

)

Total

Centrally

Cleared

Credit

Default

Swaps,

Protection

Bought

(

912‌

)

Credit

Default

Swaps,

Protection

Sold

(0.0)%

Luxembourg

0.0%

Protection

Sold

(Relevant

Credit:

ArcelorMittal,

Baa3*),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

6/21/27

25

2

2

—‌

Total

Luxembourg

—‌

United

States

(0.0)%

Protection

Sold

(Relevant

Credit:

DISH

DBS,

B3*),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

6/21/27

247

(46)

(43)

(

3‌

)

Protection

Sold

(Relevant

Credit:

FedEx,

Baa2*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

6/21/27

305

—

3

(

3‌

)

Protection

Sold

(Relevant

Credit:

Goodyear

Tire

&

Rubber,

B2*),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

6/21/27

1,250

48

45

3‌

Protection

Sold

(Relevant

Credit:

Macy's,

Ba2*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

6/21/27

2,005

(226)

(206)

(

20‌

)

Protection

Sold

(Relevant

Credit:

Markit

CDX.NA.HY-S37,

5

Year

Index),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

12/20/26

6,163

163

(84)

247‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

109

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Initial

$

Value**

Unrealized

$

Gain/(Loss)

Protection

Sold

(Relevant

Credit:

Markit

CDX.NA.HY-S38,

5

Year

Index),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

6/21/27

173

3

(2)

5‌

Protection

Sold

(Relevant

Credit:

Murphy

Oil,

Ba2*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

12/20/22

235

—

(6)

6‌

Protection

Sold

(Relevant

Credit:

Royal

Caribbean

Cruises,

B3*),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

6/21/27

2,530

(285)

(411)

126‌

Total

United

States

361‌

Total

Centrally

Cleared

Credit

Default

Swaps,

Protection

Sold

361‌

Interest

Rate

Swaps

0.2%

Canada

0.0%

5

Year

Interest

Rate

Swap,

Pay

Fixed

2.373%

Semi-Annually,

Receive

Variable

4.015%

(3M

CAD

CDOR)

Semi-Annually,

3/15/27

1,500

68

1

67‌

5

Year

Interest

Rate

Swap,

Pay

Fixed

3.493%

Semi-Annually,

Receive

Variable

4.383%

(3M

CAD

CDOR)

Semi-Annually,

7/14/27

505

5

—

5‌

5

Year

Interest

Rate

Swap,

Pay

Fixed

3.496%

Semi-Annually,

Receive

Variable

4.383%

(3M

CAD

CDOR)

Semi-Annually,

7/14/27

505

5

—

5‌

5

Year

Interest

Rate

Swap,

Pay

Fixed

3.510%

Semi-Annually,

Receive

Variable

4.383%

(3M

CAD

CDOR)

Semi-Annually,

7/14/27

491

4

—

4‌

5

Year

Interest

Rate

Swap,

Pay

Fixed

3.966%

Semi-Annually,

Receive

Variable

4.280%

(3M

CAD

CDOR)

Semi-Annually,

10/11/27

520

(2)

1

(

3‌

)

30

Year

Interest

Rate

Swap,

Pay

Fixed

3.686%

Semi-Annually,

Receive

Variable

4.328%

(3M

CAD

CDOR)

Semi-Annually,

10/14/52

295

(1)

—

(

1‌

)

Total

Canada

77‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

110

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Initial

$

Value**

Unrealized

$

Gain/(Loss)

China

(0.0)%

5

Year

Interest

Rate

Swap,

Pay

Fixed

2.436%

Quarterly,

Receive

Variable

1.670%

(7

Day

Interbank

Repo)

Quarterly,

9/27/27

3,000

(1)

—

(

1‌

)

5

Year

Interest

Rate

Swap,

Pay

Fixed

2.480%

Quarterly,

Receive

Variable

2.200%

(7

Day

Interbank

Repo)

Quarterly,

9/28/27

700

(1)

—

(

1‌

)

5

Year

Interest

Rate

Swap,

Pay

Fixed

2.482%

Quarterly,

Receive

Variable

2.200%

(7

Day

Interbank

Repo)

Quarterly,

9/28/27

2,200

(2)

—

(

2‌

)

5

Year

Interest

Rate

Swap,

Pay

Fixed

2.500%

Quarterly,

Receive

Variable

2.200%

(7

Day

Interbank

Repo)

Quarterly,

9/30/27

1,000

—

1

(

1‌

)

5

Year

Interest

Rate

Swap,

Pay

Fixed

2.540%

Quarterly,

Receive

Variable

2.200%

(7

Day

Interbank

Repo)

Quarterly,

9/29/27

700

(1)

—

(

1‌

)

Total

China

(

6‌

)

Foreign/Europe

0.0%

5

Year

Interest

Rate

Swap,

Receive

Fixed

2.906%

Annually,

Pay

Variable

2.103%

(6M

EURIBOR)

Semi-Annually,

10/28/27

9,550

(11)

—

(

11‌

)

30

Year

Interest

Rate

Swap,

Pay

Fixed

2.439%

Annually,

Receive

Variable

2.103%

(6M

EURIBOR)

Semi-Annually,

10/28/52

2,100

19

—

19‌

Total

Foreign/Europe

8‌

India

(0.0)%

2

Year

Interest

Rate

Swap,

Receive

Fixed

6.590%

Semi-Annually,

Pay

Variable

6.250%

(1

Day

INR

MIBOR)

Semi-Annually,

5/30/24

45,000

(3)

—

(

3‌

)

2

Year

Interest

Rate

Swap,

Receive

Fixed

6.870%

at

Maturity,

Pay

Variable

6.250%

(1

Day

INR

MIBOR)

at

Maturity,

6/24/24

44,500

—

—

—‌

5

Year

Interest

Rate

Swap,

Pay

Fixed

6.835%

Semi-Annually,

Receive

Variable

6.250%

(1

Day

INR

MIBOR)

Semi-Annually,

5/31/27

45,000

2

—

2‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

111

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Initial

$

Value**

Unrealized

$

Gain/(Loss)

5

Year

Interest

Rate

Swap,

Pay

Fixed

7.068%

at

Maturity,

Receive

Variable

6.250%

(1

Day

INR

MIBOR)

at

Maturity,

6/22/27

44,500

(3)

—

(

3‌

)

Total

India

(

4‌

)

Mexico

(0.1)%

5

Year

Interest

Rate

Swap,

Receive

Fixed

7.176%

28

Days,

Pay

Variable

9.568%

(MXIBTIIE)

28

Days,

11/16/26

18,060

(67)

—

(

67‌

)

5

Year

Interest

Rate

Swap,

Receive

Fixed

7.260%

28

Days,

Pay

Variable

9.567%

(MXIBTIIE)

28

Days,

11/13/26

6,845

(25)

—

(

25‌

)

5

Year

Interest

Rate

Swap,

Receive

Fixed

7.295%

28

Days,

Pay

Variable

9.566%

(MXIBTIIE)

28

Days,

11/12/26

18,260

(64)

1

(

65‌

)

5

Year

Interest

Rate

Swap,

Receive

Fixed

7.345%

28

Days,

Pay

Variable

9.567%

(MXIBTIIE)

28

Days,

11/11/26

11,135

(39)

—

(

39‌

)

5

Year

Interest

Rate

Swap,

Receive

Fixed

9.360%

28

Days,

Pay

Variable

9.552%

(MXIBTIIE)

28

Days,

10/6/27

5,500

—

—

—‌

Total

Mexico

(

196‌

)

Poland

0.0%

5

Year

Interest

Rate

Swap,

Pay

Fixed

7.100%

Annually,

Receive

Variable

7.350%

(6M

PLN

WIBOR)

Semi-Annually,

10/13/27

5,678

19

—

19‌

5

Year

Interest

Rate

Swap,

Pay

Fixed

7.188%

Annually,

Receive

Variable

7.450%

(6M

PLN

WIBOR)

Semi-Annually,

10/18/27

3,758

11

1

10‌

10

Year

Interest

Rate

Swap,

Pay

Fixed

6.843%

Annually,

Receive

Variable

7.490%

(6M

PLN

WIBOR)

Semi-Annually,

10/7/32

6,675

51

—

51‌

Total

Poland

80‌

United

Kingdom

0.2%

30

Year

Interest

Rate

Swap,

Pay

Fixed

0.912%

Annually,

Receive

Variable

0.162%

(GBP

SONIA)

Annually,

9/27/51

1,020

501

—

501‌

30

Year

Interest

Rate

Swap,

Pay

Fixed

1.442%

Annually,

Receive

Variable

0.162%

(GBP

SONIA)

Annually,

3/18/52

218

82

—

82‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

112

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Initial

$

Value**

Unrealized

$

Gain/(Loss)

30

Year

Interest

Rate

Swap,

Pay

Fixed

1.467%

Annually,

Receive

Variable

0.162%

(GBP

SONIA)

Annually,

3/18/52

219

81

—

81‌

30

Year

Interest

Rate

Swap,

Pay

Fixed

4.387%

Annually,

Receive

Variable

0.162%

(GBP

SONIA)

Annually,

10/11/52

40

(10)

—

(

10‌

)

50

Year

Interest

Rate

Swap,

Pay

Fixed

0.742%

Annually,

Receive

Variable

0.162%

(GBP

SONIA)

Annually,

9/27/71

105

64

1

63‌

50

Year

Interest

Rate

Swap,

Pay

Fixed

4.085%

Annually,

Receive

Variable

0.162%

(GBP

SONIA)

Annually,

10/11/72

179

(62)

1

(

63‌

)

Total

United

Kingdom

654‌

United

States

0.1%

7

Year

Interest

Rate

Swap,

Pay

Fixed

2.792%

Annually,

Receive

Variable

3.050%

(SOFR)

Annually,

7/11/29

910

58

—

58‌

10

Year

Interest

Rate

Swap,

Pay

Fixed

3.644%

Annually,

Receive

Variable

3.050%

(SOFR)

Annually,

11/1/32

1,420

22

—

22‌

10

Year

Interest

Rate

Swap,

Pay

Fixed

3.726%

Annually,

Receive

Variable

3.050%

(SOFR)

Annually,

10/19/32

250

3

1

2‌

Total

United

States

82‌

Total

Centrally

Cleared

Interest

Rate

Swaps

695‌

Zero-Coupon

Inflation

Swaps

(0.0)%

Foreign/Europe

(0.0)%

5

Year

Zero-Coupon

Inflation

Swap

Pay

Fixed

3.093%

at

Maturity,

Receive

Variable

(Change

in

CPI)

at

Maturity,

8/16/27

804

—

—

—‌

5

Year

Zero-Coupon

Inflation

Swap

Pay

Fixed

3.113%

at

Maturity,

Receive

Variable

(Change

in

CPI)

at

Maturity,

8/16/27

798

(1)

—

(

1‌

)

5

Year

Zero-Coupon

Inflation

Swap

Pay

Fixed

3.190%

at

Maturity,

Receive

Variable

(Change

in

CPI)

at

Maturity,

8/16/27

720

(4)

—

(

4‌

)

5

Year

Zero-Coupon

Inflation

Swap

Pay

Fixed

3.203%

at

Maturity,

Receive

Variable

(Change

in

CPI)

at

Maturity,

8/16/27

798

(4)

1

(

5‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

113

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Initial

$

Value**

Unrealized

$

Gain/(Loss)

5

Year

Zero-Coupon

Inflation

Swap

Pay

Fixed

3.205%

at

Maturity,

Receive

Variable

(Change

in

CPI)

at

Maturity,

8/16/27

720

(4)

—

(

4‌

)

Total

Foreign/Europe

(

14‌

)

Total

Centrally

Cleared

Zero-Coupon

Inflation

Swaps

(

14‌

)

Total

Centrally

Cleared

Swaps

130‌

Net

payments

(receipts)

of

variation

margin

to

date

93‌

Variation

margin

receivable

(payable)

on

centrally

cleared

swaps

$

223‌

*

Credit

ratings

as

of

October

31,

2022.

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

$(63).

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

114

(Amounts

in

000s)

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

Counterparty

Settlement

Receive

Deliver

Unrealized

Gain/(Loss)

Bank

of

America

11/18/22

PLN

3,015‌

USD

634‌

$

(

4‌

)

Bank

of

America

11/18/22

USD

1,368‌

PLN

6,727‌

(

38‌

)

Bank

of

America

11/25/22

EUR

257‌

USD

265‌

(

11‌

)

Bank

of

America

11/25/22

USD

405‌

EUR

405‌

4‌

Bank

of

America

11/25/22

USD

472‌

EUR

484‌

(

7‌

)

Bank

of

America

11/25/22

USD

127‌

SEK

1,345‌

5‌

Bank

of

America

12/2/22

USD

133‌

BRL

693‌

—‌

Bank

of

America

12/6/22

CLP

393,675‌

USD

422‌

(

7‌

)

Bank

of

America

12/9/22

USD

199‌

COP

900,070‌

18‌

Bank

of

America

1/13/23

USD

289‌

ZAR

5,240‌

5‌

Bank

of

America

1/20/23

USD

271‌

AUD

429‌

(

5‌

)

Bank

of

America

1/20/23

USD

619‌

NOK

6,250‌

16‌

Barclays

Bank

11/25/22

EUR

825‌

USD

819‌

(

2‌

)

Barclays

Bank

11/25/22

USD

1,225‌

GBP

1,087‌

(

23‌

)

Barclays

Bank

11/30/22

USD

3,134‌

GBP

2,731‌

—‌

Barclays

Bank

12/2/22

USD

1,283‌

BRL

6,765‌

(

18‌

)

Barclays

Bank

12/9/22

USD

826‌

COP

3,814,799‌

59‌

Barclays

Bank

1/13/23

ZAR

935‌

USD

51‌

(

1‌

)

Barclays

Bank

1/19/23

USD

1,225‌

IDR

18,776,235‌

27‌

BNP

Paribas

11/3/22

BRL

14,128‌

USD

2,618‌

116‌

BNP

Paribas

11/3/22

USD

2,688‌

BRL

14,128‌

(

46‌

)

BNP

Paribas

11/18/22

PLN

6,033‌

USD

1,295‌

(

34‌

)

BNP

Paribas

11/18/22

USD

607‌

PLN

2,942‌

(

7‌

)

BNP

Paribas

11/25/22

EUR

1,448‌

USD

1,410‌

24‌

BNP

Paribas

11/25/22

USD

973‌

EUR

954‌

29‌

BNP

Paribas

11/25/22

USD

168‌

EUR

171‌

(

2‌

)

BNP

Paribas

11/25/22

USD

2,311‌

GBP

1,904‌

126‌

BNP

Paribas

11/25/22

USD

253‌

SEK

2,690‌

9‌

BNP

Paribas

12/2/22

USD

519‌

BRL

2,754‌

(

10‌

)

BNP

Paribas

12/9/22

USD

657‌

CLP

602,457‌

23‌

BNP

Paribas

12/9/22

USD

415‌

CLP

402,794‌

(

9‌

)

BNP

Paribas

12/9/22

USD

189‌

MYR

847‌

10‌

BNP

Paribas

1/13/23

CZK

769‌

USD

30‌

1‌

BNP

Paribas

1/13/23

USD

408‌

HUF

182,223‌

(

23‌

)

BNP

Paribas

1/13/23

USD

79‌

MXN

1,615‌

(

1‌

)

BNP

Paribas

1/19/23

CLP

163,295‌

USD

166‌

5‌

BNP

Paribas

1/19/23

IDR

17,430,838‌

USD

1,120‌

(

8‌

)

BNP

Paribas

1/19/23

USD

828‌

PEN

3,340‌

(

3‌

)

BNP

Paribas

1/20/23

JPY

61,475‌

USD

423‌

(

5‌

)

BNP

Paribas

1/20/23

USD

164‌

AUD

262‌

(

4‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

115

(Amounts

in

000s)

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

(CONTINUED)

Counterparty

Settlement

Receive

Deliver

Unrealized

Gain/(Loss)

Canadian

Imperial

Bank

of

Commerce

11/25/22

USD

311‌

EUR

300‌

$

14‌

Canadian

Imperial

Bank

of

Commerce

1/20/23

USD

268‌

AUD

426‌

(

5‌

)

Citibank

11/25/22

USD

1,018‌

GBP

957‌

(

79‌

)

Citibank

11/25/22

USD

127‌

SEK

1,345‌

5‌

Citibank

12/9/22

USD

1,229‌

PHP

72,895‌

(

22‌

)

Citibank

12/16/22

RSD

8,472‌

USD

70‌

1‌

Citibank

12/16/22

RSD

5,254‌

USD

45‌

—‌

Citibank

1/13/23

MXN

16,065‌

USD

788‌

12‌

Citibank

1/13/23

USD

447‌

MXN

9,117‌

(

8‌

)

Citibank

1/13/23

USD

269‌

RON

1,361‌

(

3‌

)

Citibank

1/13/23

USD

2,498‌

ZAR

45,304‌

45‌

Citibank

1/19/23

USD

538‌

IDR

8,397,598‌

3‌

Citibank

1/19/23

USD

3,213‌

ILS

11,054‌

63‌

Citibank

1/19/23

USD

1,177‌

INR

97,535‌

9‌

Citibank

1/19/23

USD

119‌

TWD

3,773‌

2‌

Citibank

1/20/23

USD

831‌

AUD

1,316‌

(

13‌

)

Credit

Suisse

12/2/22

USD

327‌

BRL

1,741‌

(

8‌

)

Deutsche

Bank

11/25/22

EUR

90‌

USD

89‌

—‌

Deutsche

Bank

11/25/22

USD

371‌

GBP

329‌

(

7‌

)

Deutsche

Bank

12/2/22

USD

312‌

BRL

1,677‌

(

11‌

)

Deutsche

Bank

1/13/23

USD

185‌

HUF

81,924‌

(

9‌

)

Deutsche

Bank

1/19/23

USD

918‌

INR

75,516‌

14‌

Goldman

Sachs

11/18/22

USD

835‌

PLN

4,160‌

(

34‌

)

Goldman

Sachs

11/25/22

EUR

835‌

USD

821‌

5‌

Goldman

Sachs

11/25/22

USD

388‌

GBP

347‌

(

10‌

)

Goldman

Sachs

11/25/22

USD

1,241‌

SEK

12,950‌

66‌

Goldman

Sachs

11/29/22

USD

371‌

PHP

21,798‌

(

4‌

)

Goldman

Sachs

11/30/22

INR

612,801‌

USD

7,352‌

24‌

Goldman

Sachs

11/30/22

USD

383‌

INR

31,917‌

(

1‌

)

Goldman

Sachs

11/30/22

USD

824‌

TWD

26,518‌

2‌

Goldman

Sachs

12/2/22

BRL

2,725‌

USD

516‌

8‌

Goldman

Sachs

12/2/22

BRL

3,905‌

USD

752‌

(

1‌

)

Goldman

Sachs

12/6/22

USD

410‌

CLP

393,675‌

(

5‌

)

Goldman

Sachs

12/9/22

COP

1,568,490‌

USD

318‌

(

3‌

)

Goldman

Sachs

12/9/22

THB

5,979‌

USD

165‌

(

7‌

)

Goldman

Sachs

12/9/22

USD

415‌

COP

1,896,705‌

34‌

Goldman

Sachs

12/9/22

USD

332‌

THB

12,029‌

14‌

Goldman

Sachs

1/13/23

MXN

4,428‌

USD

218‌

2‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

116

(Amounts

in

000s)

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

(CONTINUED)

Counterparty

Settlement

Receive

Deliver

Unrealized

Gain/(Loss)

Goldman

Sachs

1/19/23

INR

34,800‌

USD

415‌

$

2‌

Goldman

Sachs

1/19/23

USD

940‌

INR

77,782‌

9‌

Goldman

Sachs

1/19/23

USD

2,277‌

TWD

72,184‌

33‌

Goldman

Sachs

1/20/23

USD

89‌

NZD

159‌

(

3‌

)

HSBC

Bank

11/2/22

INR

164,914‌

USD

2,002‌

(

10‌

)

HSBC

Bank

11/2/22

USD

2,055‌

INR

164,914‌

63‌

HSBC

Bank

11/18/22

PLN

2,010‌

USD

421‌

(

1‌

)

HSBC

Bank

11/18/22

USD

65‌

PLN

318‌

(

1‌

)

HSBC

Bank

11/25/22

EUR

1,080‌

USD

1,081‌

(

11‌

)

HSBC

Bank

11/25/22

USD

2,523‌

EUR

2,460‌

87‌

HSBC

Bank

11/25/22

USD

100‌

EUR

102‌

(

1‌

)

HSBC

Bank

11/25/22

USD

2,311‌

GBP

1,904‌

126‌

HSBC

Bank

12/2/22

BRL

1,350‌

USD

253‌

6‌

HSBC

Bank

12/9/22

THB

2,912‌

USD

80‌

(

3‌

)

HSBC

Bank

12/9/22

USD

62‌

MYR

277‌

3‌

HSBC

Bank

12/9/22

USD

404‌

PHP

23,914‌

(

7‌

)

HSBC

Bank

12/9/22

USD

570‌

THB

21,088‌

15‌

HSBC

Bank

1/19/23

TWD

19,125‌

USD

608‌

(

14‌

)

HSBC

Bank

1/19/23

USD

411‌

ILS

1,460‌

(

5‌

)

HSBC

Bank

1/19/23

USD

59‌

INR

4,900‌

—‌

JPMorgan

Chase

11/3/22

BRL

14,128‌

USD

2,688‌

46‌

JPMorgan

Chase

11/3/22

USD

2,642‌

BRL

14,128‌

(

91‌

)

JPMorgan

Chase

11/18/22

USD

329‌

PLN

1,625‌

(

11‌

)

JPMorgan

Chase

11/25/22

EUR

274‌

USD

267‌

5‌

JPMorgan

Chase

11/25/22

EUR

355‌

USD

357‌

(

6‌

)

JPMorgan

Chase

11/25/22

USD

292‌

EUR

288‌

7‌

JPMorgan

Chase

11/25/22

USD

607‌

EUR

619‌

(

5‌

)

JPMorgan

Chase

11/30/22

MXN

35,200‌

USD

1,761‌

5‌

JPMorgan

Chase

11/30/22

USD

3,402‌

EUR

3,375‌

59‌

JPMorgan

Chase

12/2/22

BRL

15,544‌

USD

2,890‌

97‌

JPMorgan

Chase

12/2/22

USD

309‌

BRL

1,673‌

(

13‌

)

JPMorgan

Chase

12/9/22

PHP

2,979‌

USD

50‌

1‌

JPMorgan

Chase

12/9/22

THB

15,235‌

USD

403‌

(

1‌

)

JPMorgan

Chase

12/9/22

USD

27‌

MYR

125‌

—‌

JPMorgan

Chase

12/9/22

USD

154‌

PHP

8,718‌

4‌

JPMorgan

Chase

12/16/22

USD

415‌

SGD

591‌

(

3‌

)

JPMorgan

Chase

1/13/23

MXN

7,810‌

USD

383‌

6‌

JPMorgan

Chase

1/13/23

USD

908‌

MXN

18,511‌

(

14‌

)

JPMorgan

Chase

1/20/23

AUD

660‌

USD

428‌

(

5‌

)

Morgan

Stanley

11/18/22

PLN

2,873‌

USD

603‌

(

2‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

117

(Amounts

in

000s)

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

(CONTINUED)

Counterparty

Settlement

Receive

Deliver

Unrealized

Gain/(Loss)

Morgan

Stanley

11/18/22

USD

408‌

PLN

2,054‌

$

(

21‌

)

Morgan

Stanley

11/25/22

EUR

305‌

USD

312‌

(

11‌

)

Morgan

Stanley

11/25/22

USD

895‌

EUR

861‌

43‌

Morgan

Stanley

11/25/22

USD

95‌

EUR

98‌

(

1‌

)

Morgan

Stanley

11/25/22

USD

176‌

GBP

149‌

5‌

Morgan

Stanley

11/25/22

USD

461‌

GBP

413‌

(

13‌

)

Morgan

Stanley

11/30/22

USD

4,107‌

EUR

4,148‌

(

2‌

)

Morgan

Stanley

11/30/22

USD

2,827‌

JPY

418,989‌

(

1‌

)

Morgan

Stanley

12/2/22

USD

853‌

BRL

4,487‌

(

10‌

)

Morgan

Stanley

12/9/22

COP

1,951,348‌

USD

392‌

—‌

Morgan

Stanley

12/9/22

USD

733‌

CLP

665,874‌

32‌

Morgan

Stanley

12/9/22

USD

267‌

CLP

254,426‌

—‌

Morgan

Stanley

12/16/22

SGD

880‌

USD

618‌

4‌

Morgan

Stanley

1/13/23

USD

553‌

CNH

3,887‌

21‌

Morgan

Stanley

1/19/23

ILS

1,460‌

USD

418‌

(

2‌

)

Morgan

Stanley

1/19/23

USD

33‌

KRW

46,592‌

—‌

Morgan

Stanley

1/20/23

JPY

240,436‌

USD

1,634‌

1‌

Morgan

Stanley

1/20/23

NOK

6,250‌

USD

585‌

18‌

Morgan

Stanley

1/20/23

USD

1,349‌

NZD

2,411‌

(

54‌

)

RBC

Dominion

Securities

11/30/22

USD

2,647‌

CHF

2,608‌

34‌

Standard

Chartered

11/25/22

USD

69‌

GBP

61‌

(

1‌

)

Standard

Chartered

12/9/22

USD

71‌

MYR

316‌

4‌

Standard

Chartered

1/19/23

USD

693‌

KRW

994,900‌

(

5‌

)

Standard

Chartered

1/20/23

JPY

58,000‌

USD

392‌

3‌

Standard

Chartered

1/20/23

USD

817‌

AUD

1,280‌

(

4‌

)

Standard

Chartered

1/20/23

USD

91‌

CAD

125‌

(

1‌

)

Standard

Chartered

1/20/23

USD

834‌

JPY

119,455‌

22‌

State

Street

11/18/22

PLN

294‌

USD

60‌

1‌

State

Street

11/18/22

USD

47‌

PLN

216‌

2‌

State

Street

11/18/22

USD

214‌

PLN

1,041‌

(

4‌

)

State

Street

11/25/22

EUR

1,490‌

USD

1,501‌

(

26‌

)

State

Street

11/25/22

GBP

327‌

USD

363‌

13‌

State

Street

11/25/22

SEK

530‌

USD

47‌

1‌

State

Street

11/25/22

USD

3,750‌

EUR

3,678‌

109‌

State

Street

11/25/22

USD

236‌

EUR

241‌

(

3‌

)

State

Street

11/25/22

USD

1,055‌

GBP

904‌

18‌

State

Street

11/25/22

USD

1,592‌

GBP

1,422‌

(

40‌

)

State

Street

11/25/22

USD

142‌

SEK

1,413‌

13‌

State

Street

12/2/22

BRL

2,112‌

USD

402‌

4‌

State

Street

12/2/22

USD

43‌

BRL

230‌

(

1‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

118

(Amounts

in

000s)

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

(CONTINUED)

Counterparty

Settlement

Receive

Deliver

Unrealized

Gain/(Loss)

State

Street

12/9/22

CLP

22,788‌

USD

25‌

$

(

1‌

)

State

Street

1/13/23

USD

272‌

CZK

6,921‌

(

6‌

)

State

Street

1/19/23

ILS

301‌

USD

86‌

—‌

State

Street

1/20/23

AUD

39‌

USD

25‌

—‌

State

Street

1/20/23

AUD

620‌

USD

398‌

—‌

State

Street

1/20/23

CAD

833‌

USD

608‌

4‌

State

Street

1/20/23

CAD

126‌

USD

93‌

—‌

State

Street

1/20/23

JPY

131,745‌

USD

896‌

—‌

State

Street

1/20/23

NZD

146‌

USD

83‌

2‌

State

Street

1/20/23

USD

580‌

CAD

794‌

(

4‌

)

State

Street

1/20/23

USD

44‌

NZD

79‌

(

2‌

)

UBS

Investment

Bank

11/18/22

USD

44‌

PLN

224‌

(

2‌

)

UBS

Investment

Bank

11/25/22

EUR

32‌

USD

31‌

1‌

UBS

Investment

Bank

11/25/22

EUR

65‌

USD

65‌

(

1‌

)

UBS

Investment

Bank

11/25/22

USD

4,485‌

EUR

4,336‌

193‌

UBS

Investment

Bank

11/25/22

USD

1,468‌

EUR

1,486‌

(

3‌

)

UBS

Investment

Bank

11/25/22

USD

308‌

SEK

3,478‌

(

8‌

)

UBS

Investment

Bank

11/30/22

JPY

552,205‌

USD

3,779‌

(

53‌

)

UBS

Investment

Bank

11/30/22

USD

352‌

KRW

506,577‌

(

3‌

)

UBS

Investment

Bank

12/2/22

BRL

2,265‌

USD

426‌

10‌

UBS

Investment

Bank

12/2/22

USD

876‌

BRL

4,555‌

1‌

UBS

Investment

Bank

12/2/22

USD

1,025‌

BRL

5,515‌

(

35‌

)

UBS

Investment

Bank

12/9/22

COP

3,114,570‌

USD

642‌

(

16‌

)

UBS

Investment

Bank

12/9/22

THB

11,371‌

USD

319‌

(

20‌

)

UBS

Investment

Bank

12/9/22

USD

681‌

COP

3,143,138‌

50‌

UBS

Investment

Bank

12/9/22

USD

274‌

PHP

15,565‌

7‌

UBS

Investment

Bank

12/9/22

USD

432‌

PHP

25,395‌

(

4‌

)

UBS

Investment

Bank

12/9/22

USD

643‌

THB

22,876‌

40‌

UBS

Investment

Bank

12/16/22

SGD

591‌

USD

423‌

(

6‌

)

UBS

Investment

Bank

1/13/23

CZK

26,095‌

USD

1,036‌

13‌

UBS

Investment

Bank

1/13/23

USD

122‌

HUF

55,389‌

(

9‌

)

UBS

Investment

Bank

1/19/23

CLP

82,261‌

USD

85‌

1‌

UBS

Investment

Bank

1/19/23

USD

286‌

ILS

1,014‌

(

3‌

)

UBS

Investment

Bank

1/19/23

USD

285‌

PEN

1,145‌

—‌

UBS

Investment

Bank

1/20/23

CHF

507‌

USD

511‌

—‌

UBS

Investment

Bank

1/20/23

USD

286‌

AUD

452‌

(

4‌

)

UBS

Investment

Bank

1/20/23

USD

428‌

NZD

763‌

(

16‌

)

Wells

Fargo

Bank

12/9/22

COP

2,072,530‌

USD

423‌

(

6‌

)

Net

unrealized

gain

(loss)

on

open

forward

currency

exchange

contracts

$

937‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

119

FUTURES

CONTRACTS

($000s)

Expiration

Date

Notional

Amount

Value

and

Unrealized

Gain

(Loss)

Long,

26

Amsterdam

IDX

contracts

11/22

3,437

$

202‌

Long,

24

CAC40

Index

contracts

11/22

1,487

60‌

Short,

812

OMX

Swedish

Index

contracts

11/22

(14,436)

(

710‌

)

Long,

10

Hang

Seng

Index

contracts

11/22

932

(

38‌

)

Long,

63

Euro

BOBL

contracts

12/22

7,451

8‌

Short,

112

Euro

BTP

contracts

12/22

(12,690)

143‌

Long,

4

Euro

BUND

contracts

12/22

547

1‌

Short,

20

Euro

BUXL

thirty

year

bond

contracts

12/22

(2,850)

(

5‌

)

Long,

24

Euro

OAT

contracts

12/22

3,152

(

96‌

)

Short,

143

Euro

SCHATZ

contracts

12/22

(15,112)

(

23‌

)

Short,

64

TOPIX

Index

contracts

12/22

(8,290)

(

96‌

)

Long,

56

Mini

ten

year

JGB

contracts

12/22

5,598

1‌

Long,

5

ASX

SPI

200

Index

contracts

12/22

548

8‌

Long,

27

Australian

ten

years

Treasury

Bond

Index

contracts

12/22

2,046

(

4‌

)

Short,

9

S&P/TSX

60

Index

contracts

12/22

(1,556)

(

67‌

)

Short,

13

DAX

Performance

Index

contracts

12/22

(4,268)

(

128‌

)

Short,

92

Euro

STOXX

contracts

12/22

(3,289)

(

43‌

)

Short,

73

FTSE

100

Index

contracts

12/22

(5,950)

(

134‌

)

Long,

21

FTSE

MIB

Index

contracts

12/22

2,339

(

3‌

)

Short,

110

MSCI

Emerging

Markets

Index

contracts

12/22

(4,695)

578‌

Short,

17

S&P

500

E-mini

Index

Communication

Services

Select

Sector

contracts

12/22

(1,077)

134‌

Short,

161

S&P

500

E-Mini

Index

contracts

12/22

(31,258)

(

1,121‌

)

Long,

8

S&P

500

E-mini

Index

Energy

Sector

contracts

12/22

753

81‌

Short,

11

S&P

500

E-mini

Index

Health

Care

Sector

contracts

12/22

(1,480)

(

99‌

)

Short,

17

S&P

500

E-mini

Index

Industrial

Sector

contracts

12/22

(1,619)

(

6‌

)

Short,

14

S&P

500

E-mini

Index

Materials

Sector

contracts

12/22

(1,100)

(

3‌

)

Long,

25

S&P

500

E-mini

Index

Real

Estate

Select

Sector

contracts

12/22

1,127

(

176‌

)

Short,

8

S&P

500

E-mini

Index

Technology

Sector

contracts

12/22

(1,034)

(

57‌

)

Short,

9

S&P

500

Index

Consumer

Discretionary

Sector

contracts

12/22

(1,314)

161‌

Long,

16

S&P

500

Index

Consumer

Staples

contracts

12/22

1,174

(

6‌

)

Short,

65

Government

of

Canada

ten

year

bond

contracts

12/22

(5,870)

(

77‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

120

FUTURES

CONTRACTS

($000s)

Expiration

Date

Notional

Amount

Value

and

Unrealized

Gain

(Loss)

Long,

7

Republic

of

South

Korea

ten

year

bond

contracts

12/22

522

$

(

19‌

)

Long,

103

Republic

of

South

Korea

three

year

bond

contracts

12/22

7,383

(

64‌

)

Short,

55

U.S.

Treasury

Notes

ten

year

contracts

12/22

(6,083)

14‌

Long,

3

Ultra

U.S.

Treasury

Bonds

contracts

12/22

383

(

41‌

)

Short,

23

U.S.

Treasury

Notes

five

year

contracts

12/22

(2,452)

2‌

Long,

75

U.S.

Treasury

Notes

two

year

contracts

12/22

15,329

(

55‌

)

Net

payments

(receipts)

of

variation

margin

to

date

1,973‌

Variation

margin

receivable

(payable)

on

open

futures

contracts

$

295‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

121

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AFFILIATED

COMPANIES

($000s)

The

fund

may

invest

in

certain

securities

that

are

considered

affiliated

companies.

As

defined

by

the

1940

Act,

an

affiliated

company

is

one

in

which

the

fund

owns

5%

or

more

of

the

outstanding

voting

securities,

or

a

company

that

is

under

common

ownership

or

control.

The

following

securities

were

considered

affiliated

companies

for

all

or

some

portion

of

the

year

ended

October

31,

2022.

Net

realized

gain

(loss),

investment

income,

change

in

net

unrealized

gain/loss,

and

purchase

and

sales

cost

reflect

all

activity

for

the

period

then

ended.

Affiliate

Net

Realized

Gain

(Loss)

Change

in

Net

Unrealized

Gain/Loss

Investment

Income

T.

Rowe

Price

Government

Reserve

Fund,

3.21%

$

—‌

$

—‌

$

1,078‌

++

T.

Rowe

Price

Short-Term

Fund

—‌

—‌

—‌

++

Totals

$

—‌

#

$

—‌

$

1,078‌

+

Supplementary

Investment

Schedule

Affiliate

Value

10/31/21

Purchase

Cost

Sales

Cost

Value

10/31/22

T.

Rowe

Price

Government

Reserve

Fund,

3.21%

$

127,142‌

¤

¤

$

106,299‌

T.

Rowe

Price

Short-Term

Fund

6,864‌

¤

¤

—‌

Total

$

106,299‌

^

#

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

$1,078

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

$106,299.

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

October

31,

2022

Statement

of

Assets

and

Liabilities

122

($000s,

except

shares

and

per

share

amounts)

Assets

Investments

in

securities,

at

value

(cost

$355,831)

$

336,442‌

Unrealized

gain

on

bilateral

swaps

8,844‌

Cash

deposits

on

exchange-traded

options

8,732‌

Cash

deposits

on

futures

contracts

6,704‌

Receivable

for

investment

securities

sold

3,886‌

Cash

deposits

on

centrally

cleared

swaps

3,828‌

Unrealized

gain

on

forward

currency

exchange

contracts

2,044‌

Foreign

currency

(cost

$1,824)

1,827‌

Interest

and

dividends

receivable

1,573‌

Cash

1,329‌

Variation

margin

receivable

on

futures

contracts

295‌

Restricted

cash

pledged

for

bilateral

derivatives

290‌

Bilateral

swap

premiums

paid

240‌

Variation

margin

receivable

on

centrally

cleared

swaps

223‌

Due

from

affiliates

27‌

Receivable

for

shares

sold

6‌

Other

assets

1,233‌

Total

assets

377,523‌

Liabilities

Obligation

to

return

securities

lending

collateral

8,240‌

Unrealized

loss

on

bilateral

swaps

7,217‌

Payable

for

investment

securities

purchased

3,779‌

Options

written

(premiums

$1,195)

1,159‌

Unrealized

loss

on

forward

currency

exchange

contracts

1,107‌

Bilateral

swap

premiums

received

487‌

Investment

management

fees

payable

299‌

Payable

for

shares

redeemed

243‌

Other

liabilities

2,743‌

Total

liabilities

25,274‌

NET

ASSETS

$

352,249‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

October

31,

2022

Statement

of

Assets

and

Liabilities

123

($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)

$

(

43,858‌

)

Paid-in

capital

applicable

to

36,894,419

shares

of

$0.0001

par

value

capital

stock

outstanding;

1,000,000,000

shares

authorized

396,107‌

NET

ASSETS

$

352,249‌

NET

ASSET

VALUE

PER

SHARE

Investor

Class

($42,153,339

/

4,440,622

shares

outstanding)

$

9.49‌

I

Class

($310,096,004

/

32,453,797

shares

outstanding)

$

9.55‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

Statement

of

Operations

124

($000s)

Year

Ended

10/31/22

Investment

Income

(Loss)

Income

    Interest

(net

of

foreign

taxes

of

$6)

$

8,784‌

Dividend

(net

of

foreign

taxes

of

$30)

1,859‌

Securities

lending

94‌

Other

8‌

Total

income

10,745‌

Expenses

Investment

management

3,819‌

Shareholder

servicing

Investor

Class

$

124‌

I

Class

5‌

129‌

Prospectus

and

shareholder

reports

Investor

Class

37‌

I

Class

4‌

41‌

Custody

and

accounting

323‌

Legal

and

audit

106‌

Registration

67‌

Directors

1‌

Miscellaneous

35‌

Waived

/

paid

by

Price

Associates

(

395‌

)

Total

expenses

4,126‌

Net

investment

income

6,619‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

Statement

of

Operations

125

($000s)

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Year

Ended

10/31/22

Realized

and

Unrealized

Gain

/

Loss

–

Net

realized

gain

(loss)

Securities

(net

of

foreign

taxes

of

$11)

(

33,947‌

)

Futures

18,826‌

Swaps

(

12,220‌

)

Options

written

3,013‌

Forward

currency

exchange

contracts

2,590‌

Foreign

currency

transactions

(

419‌

)

Net

realized

loss

(

22,157‌

)

Change

in

net

unrealized

gain

/

loss

Securities

(

22,255‌

)

Futures

(

976‌

)

Swaps

1,365‌

Options

written

121‌

Forward

currency

exchange

contracts

854‌

Other

assets

and

liabilities

denominated

in

foreign

currencies

(

261‌

)

Change

in

net

unrealized

gain

/

loss

(

21,152‌

)

Net

realized

and

unrealized

gain

/

loss

(

43,309‌

)

DECREASE

IN

NET

ASSETS

FROM

OPERATIONS

$

(

36,690‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

Statement

of

Changes

in

Net

Assets

126

($000s)

Year

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

Ended

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

10/31/22

10/31/21

Increase

(Decrease)

in

Net

Assets

Operations

Net

investment

income

$

6,619‌

$

2,165‌

Net

realized

gain

(loss)

(

22,157‌

)

6,281‌

Change

in

net

unrealized

gain

/

loss

(

21,152‌

)

(

3,042‌

)

Increase

(decrease)

in

net

assets

from

operations

(

36,690‌

)

5,404‌

Distributions

to

shareholders

Net

earnings

Investor

Class

(

3,073‌

)

(

4,510‌

)

I

Class

(

8,924‌

)

(

581‌

)

Decrease

in

net

assets

from

distributions

(

11,997‌

)

(

5,091‌

)

Capital

share

transactions

*

Shares

sold

Investor

Class

20,195‌

100,715‌

I

Class

31,605‌

339,175‌

Distributions

reinvested

Investor

Class

3,029‌

2,719‌

I

Class

8,871‌

581‌

Shares

redeemed

Investor

Class

(

89,673‌

)

(

105,737‌

)

I

Class

(

26,787‌

)

(

12,974‌

)

Increase

(decrease)

in

net

assets

from

capital

share

transactions

(

52,760‌

)

324,479‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

Statement

of

Changes

in

Net

Assets

127

($000s)

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Year

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

Ended

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

10/31/22

10/31/21

Net

Assets

Increase

(decrease)

during

period

(

101,447‌

)

324,792‌

Beginning

of

period

453,696‌

128,904‌

End

of

period

$

352,249‌

$

453,696‌

*Share

information

(000s)

Shares

sold

Investor

Class

2,035‌

9,381‌

I

Class

3,164‌

31,423‌

Distributions

reinvested

Investor

Class

301‌

257‌

I

Class

877‌

55‌

Shares

redeemed

Investor

Class

(

9,041‌

)

(

9,865‌

)

I

Class

(

2,686‌

)

(

1,207‌

)

Increase

(decrease)

in

shares

outstanding

(

5,350‌

)

30,044‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

NOTES

TO

FINANCIAL

STATEMENTS

128

T.

Rowe

Price

Multi-Strategy

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

strong,

long-term

risk-adjusted

returns.

The

fund

has

two classes

of

shares:

the

Multi-Strategy

Total

Return

Fund

(Investor

Class)

and

the

Multi-Strategy

Total

Return

Fund–I

Class

(I

Class).

I

Class

shares

require

a

$500,000

initial

investment

minimum,

although

the

minimum

generally

is

waived

or

reduced

for

financial

intermediaries,

eligible

retirement

plans,

and

certain

other

accounts.

Prior

to

November

15,

2021,

the

initial

investment

minimum

was

$1

million

and

was

generally

waived

for

financial

intermediaries,

eligible

retirement

plans,

and

other

certain

accounts.

As

a

result

of

the

reduction

in

the

I

Class

minimum,

certain

assets

transferred

from

the

Investor

Class

to

the

I

Class.

This

transfer

of

shares

from

Investor

Class

to

I

Class

is

reflected

in

the

Statement

of

Changes

in

Net

Assets

within

the

Capital

shares

transactions

as

Shares

redeemed

and

Shares

sold,

respectively. Each

class

has

exclusive

voting

rights

on

matters

related

solely

to

that

class;

separate

voting

rights

on

matters

that

relate

to

both

classes;

and,

in

all

other

respects,

the

same

rights

and

obligations

as

the

other

class.

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.

Inflation

adjustments

to

the

principal

amount

of

inflation-indexed

bonds

are

reflected

as

interest

income.

Income

tax-related

interest

and

penalties,

if

incurred,

are

recorded

as

income

tax

expense.

Dividends

received

from

mutual

fund

investments

are

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

129

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.

Earnings

on

investments

recognized

as

partnerships

for

federal

income

tax

purposes

reflect

the

tax

character

of

such

earnings.

Distributions

from

REITs

are

initially

recorded

as

dividend

income

and,

to

the

extent

such

represent

a

return

of

capital

or

capital

gain

for

tax

purposes,

are

reclassified

when

such

information

becomes

available.

Non-cash

dividends,

if

any,

are

recorded

at

the

fair

market

value

of

the

asset

received.

Proceeds

from

litigation

payments,

if

any,

are

included

in

net

realized

gain

(loss)

from

securities.

Distributions

to

shareholders

are

recorded

on

the

ex-dividend

date.

Income

distributions,

if

any,

are

declared

and

paid

by

each

class annually.

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.

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

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part

of

the

unit

of

account

of

the

equity

security

and,

therefore,

is

not

considered

in

measuring

fair

value.

The

amendments

under

this

ASU

are

effective

for

fiscal

years

beginning

after

December

15,

2023;

however,

early

adoption

is

permitted.

Management

expects

that

the

adoption

of

the

guidance

will

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.

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:

Level

1

–

quoted

prices

(unadjusted)

in

active

markets

for

identical

financial

instruments

that

the

fund

can

access

at

the

reporting

date

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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

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

and

the

last

quoted

sale

or

closing

price

for

international

securities.

The

last

quoted

prices

of

non-U.S.

equity

securities

may

be

adjusted

to

reflect

the

fair

value

of

such

securities

at

the

close

of

the

NYSE,

if

the Valuation

Designee

determines

that

developments

between

the

close

of

a

foreign

market

and

the

close

of

T.

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Fund

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the

NYSE

will

affect

the

value

of

some

or

all

of the

fund’s

portfolio

securities.

Each

business

day,

the

Valuation

Designee uses

information

from

outside

pricing

services

to

evaluate

and,

if

appropriate,

decide whether

it

is

necessary

to

adjust

quoted

prices

to

reflect

fair

value

by

reviewing

a

variety

of

factors,

including

developments

in

foreign

markets,

the

performance

of

U.S.

securities

markets,

and

the

performance

of

instruments

trading

in

U.S.

markets

that

represent

foreign

securities

and

baskets

of

foreign

securities. The Valuation

Designee

uses

outside

pricing

services

to

provide

it

with

quoted

prices

and

information

to

evaluate

or

adjust

those

prices.

The Valuation

Designee

cannot

predict

how

often

it

will

use

quoted

prices

and

how

often

it

will

determine

it

necessary

to

adjust

those

prices

to

reflect

fair

value.

Investments

in

mutual

funds

are

valued

at

the

mutual

fund’s

closing

NAV

per

share

on

the

day

of

valuation.

Investments

in

private

investment

companies

are

valued

at

the

investee’s

NAV

per

share

as

of

the

valuation

date,

if

available.

If

the

investee’s

NAV

is

not

available

as

of

the

valuation

date

or

is

not

calculated

in

accordance

with

GAAP,

the

Valuation Designee

may

adjust

the

investee’s

NAV

to

reflect

fair

value

at

the

valuation

date.

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

T.

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133

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.

Valuation

Inputs

  The

following

table

summarizes

the

fund’s

financial

instruments,

based

on

the

inputs

used

to

determine

their

fair

values

on

October

31,

2022

(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

$

—‌

$

133,358‌

$

—‌

$

133,358‌

Bank

Loans

—‌

27,163‌

1,244‌

28,407‌

Common

Stocks

52,208‌

13,948‌

144‌

66,300‌

Convertible

Preferred

Stocks

—‌

351‌

464‌

815‌

Preferred

Stocks

—‌

692‌

—‌

692‌

Private

Investment

Company

2

—‌

—‌

—‌

30‌

Short-Term

Investments

98,059‌

—‌

—‌

98,059‌

Securities

Lending

Collateral

8,240‌

—‌

—‌

8,240‌

Options

Purchased

68‌

473‌

—‌

541‌

Total

Securities

158,575‌

175,985‌

1,852‌

336,442‌

Swaps*

—‌

10,520‌

—‌

10,520‌

Forward

Currency

Exchange

Contracts

—‌

2,044‌

—‌

2,044‌

Futures

Contracts*

1,393‌

—‌

—‌

1,393‌

Total

$

159,968‌

$

188,549‌

$

1,852‌

$

350,399‌

Liabilities

Options

Written

$

—‌

$

1,159‌

$

—‌

$

1,159‌

Swaps*

—‌

9,010‌

—‌

9,010‌

Forward

Currency

Exchange

Contracts

—‌

1,107‌

—‌

1,107‌

Futures

Contracts*

3,071‌

—‌

—‌

3,071‌

Total

$

3,071‌

$

11,276‌

$

—‌

$

14,347‌

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NOTE

3

-

DERIVATIVE

INSTRUMENTS 

During

the

year ended

October

31,

2022,

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

October

31,

2022,

and

the

related

location

on

the

accompanying

Statement

of

Assets

and

Liabilities,

presented

by

primary

underlying

risk

exposure:

1

Includes

Asset-Backed

Securities,

Convertible

Bonds,

Corporate

Bonds,

Government

Bonds,

Municipal

Securities,

Non-U.S.

Government

Mortgage-Backed

Securities

and

U.S.

Government

Agency

Obligations

(Excluding

Mortgage-Backed).

2

In

accordance

with

Subtopic

820-10,

certain

investments

that

are

measured

at

fair

value

using

the

net

asset

value

per

share

(or

its

equivalent)

practical

expedient

have

not

been

classified

in

the

fair

value

hierarchy.

The

fair

value

amounts

presented

in

this

table

are

intended

to

permit

reconciliation

of

the

fair

value

hierarchy

to

the

amounts

presented

in

the

Portfolio

of

Investments.

*

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.

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($000s)

Location

on

Statement

of

Assets

and

Liabilities

Fair

Value*

Assets

Interest

rate

derivatives

Bilateral

Swaps

and

Premiums

,

Centrally

Cleared

Swaps

,

Futures

,

Securities^

$

1,608‌

Foreign

exchange

derivatives

Forwards

,

Securities^

2,044‌

Credit

derivatives

Bilateral

Swaps

and

Premiums

,

Centrally

Cleared

Swaps

,

Securities^

1,390‌

Equity

derivatives

Bilateral

Swaps

and

Premiums

,

Futures

,

Securities^

9,456‌

^

,*

Total

$

14,498‌

^

,*

Liabilities

Inflation

derivatives

Centrally

Cleared

Swaps

$

14‌

Interest

rate

derivatives

Centrally

Cleared

Swaps,

Futures

680‌

Foreign

exchange

derivatives

Forwards

1,107‌

Credit

derivatives

Bilateral

Swaps

and

Premiums

,

Centrally

Cleared

Swaps

,

Options

Written

2,088‌

Commodity

derivatives

Bilateral

Swaps

and

Premiums

3‌

Equity

derivatives

Bilateral

Swaps

and

Premiums

,

Futures

,

Options

Written

10,455‌

Total

$

14,347‌

*

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.

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Additionally,

the

amount

of

gains

and

losses

on

derivative

instruments

recognized

in

fund

earnings

during

the

year ended

October

31,

2022,

and

the

related

location

on

the

accompanying

Statement

of

Operations

is

summarized

in

the

following

table

by

primary

underlying

risk

exposure: 

($000s)                                               

Location

of

Gain

(Loss)

on

Statement

of

Operations

Securities^

Options

Written

Futures

Forward

Currency

Exchange

Contracts

Swaps

Total

Realized

Gain

(Loss)

Inflation

derivatives

$

—‌

$

—‌

$

—‌

$

—‌

$

(1,260‌)

$

(1,260‌)

Interest

rate

derivatives

1,851‌

335‌

1,776‌

—‌

2,097‌

6,059‌

Foreign

exchange

derivatives

(194‌)

—‌

—‌

2,590‌

—‌

2,396‌

Credit

derivatives

(62‌)

(515‌)

—‌

—‌

952‌

375‌

Equity

derivatives

(1,181‌)

3,193‌

17,050‌

—‌

(13,649‌)

5,413‌

Commodity

derivatives

—‌

—‌

—‌

—‌

(360‌)

(360‌)

Total

$

414‌

$

3,013‌

$

18,826‌

$

2,590‌

$

(12,220‌)

$

12,623‌

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Counterparty

Risk

and

Collateral

 The

fund

invests

in

derivatives

in

various

markets,

which

expose

it

to

differing

levels

of

counterparty

risk.

Counterparty

risk

on

exchange-

traded

and

centrally

cleared

derivative

contracts,

such

as

futures,

exchange-traded

options,

and

centrally

cleared

swaps,

is

minimal

because

the

clearinghouse

provides

protection

against

counterparty

defaults.

For

futures

and

centrally

cleared

swaps,

the

fund

is

required

to

deposit

collateral

in

an

amount

specified

by

the

clearinghouse

and

the

clearing

firm

(margin

requirement),

and

the

margin

requirement

must

be

maintained

over

the

life

of

the

contract.

Each

clearinghouse

and

clearing

firm,

in

its

sole

discretion,

may

adjust

the

margin

requirements

applicable

to

the

fund.

Derivatives,

such

as

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

($000s)                                                

Location

of

Gain

(Loss)

on

Statement

of

Operations

Securities^

Options

Written

Futures

Forward

Currency

Exchange

Contracts

Swaps

Total

Change

in

Unrealized

Gain

(Loss)

Inflation

derivatives

$

—‌

$

—‌

$

—‌

$

—‌

$

723‌

$

723‌

Interest

rate

derivatives

(19‌)

5‌

(671‌)

—‌

(133‌)

(818‌)

Foreign

exchange

derivatives

19‌

—‌

—‌

854‌

—‌

873‌

Credit

derivatives

(4‌)

(24‌)

—‌

—‌

(196‌)

(224‌)

Equity

derivatives

(267‌)

140‌

(305‌)

—‌

913‌

481‌

Commodity

derivatives

—‌

—‌

—‌

—‌

58‌

58‌

Total

$

(271‌)

$

121‌

$

(976‌)

$

854‌

$

1,365‌

$

1,093‌

^

Options

purchased

are

reported

as

securities.

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Fund

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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

by

the

fund

is

held

in

a

segregated

account

at

the

fund’s

custodian.

While

typically

not

sold

in

the

same

manner

as

equity

or

fixed

income

securities,

exchange-traded

or

centrally

cleared

derivatives

may

be

closed

out

only

on

the

exchange

or

clearinghouse

where

the

contracts

were

cleared,

and

OTC

and

bilateral

derivatives

may

be

unwound

with

counterparties

or

transactions

assigned

to

other

counterparties

to

allow

the

fund

to

exit

the

transaction.

This

ability

is

subject

to

the

liquidity

of

underlying

positions. As

of

October

31,

2022,

cash

of $19,264,000 had

been

posted

by

the

fund

for

exchange-traded

and/or

centrally

cleared

derivatives.

The

following

table

summarizes

the

fund’s

OTC

and

bilateral

derivatives

at

the

reporting

date

by

loss

exposure

to

each

counterparty

after

consideration

of

collateral,

if

any. 

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Forward

Currency

Exchange

Contracts

 The

fund

is

subject

to

foreign

currency

exchange

rate

risk

in

the

normal

course

of

pursuing

its

investment

objectives.

It

uses

forward

currency

exchange

contracts

(forwards)

primarily

to

protect

its

non-U.S.

dollar-denominated

securities

from

adverse

currency

movements.

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

($000s)

Gross

Value

on

Statements

of

Assets

and

Liabilities

Net

amount

due

(to)/from

Counterparty

or

Exchange

Collateral

Pledged

(Received)

by

Fund

Loss

Exposure,

After

Collateral*

(not

less

than

$0)

Counterparty

Assets

Liabilities

Bank

of

America

$

847‌

$

(689‌)

$

158‌

$

290‌

$

448‌

Barclays

Bank

93‌

(47‌)

46‌

—‌

46‌

BNP

Paribas

343‌

(152‌)

191‌

—‌

191‌

Canadian

Imperial

Bank

of

Commerce

14‌

(5‌)

9‌

—‌

9‌

Citibank

1,195‌

(1,006‌)

189‌

—‌

189‌

Credit

Suisse

10‌

(8‌)

2‌

—‌

2‌

Deutsche

Bank

14‌

(27‌)

(13‌)

—‌

—‌

Goldman

Sachs

1,474‌

(1,269‌)

205‌

—‌

205‌

HSBC

Bank

300‌

(53‌)

247‌

(299‌)

—‌

JPMorgan

Chase

970‌

(377‌)

593‌

—‌

593‌

Morgan

Stanley

5,176‌

(4,577‌)

599‌

(218‌)

381‌

RBC

Dominion

Securities

34‌

—‌

34‌

—‌

34‌

Standard

Chartered

29‌

(11‌)

18‌

—‌

18‌

State

Street

167‌

(87‌)

80‌

—‌

80‌

UBS

Investment

Bank

743‌

(377‌)

366‌

(275‌)

91‌

Wells

Fargo

Bank

—‌

(6‌)

(6‌)

—‌

—‌

Total

$

11,409‌

$

(8,691‌)

*

In

situations

such

as

counterparty

default

or

bankruptcy,

the

fund

may

have

further

rights

of

offset

against

amounts

due

to

or

from

the

counterparty

under

other

agreements.

T.

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the

difference

between

the

forward

exchange

rates

at

the

date

of

entry

into

the

contract

and

the

forward

rates

at

the

reporting

date.

Appreciated

forwards

are

reflected

as

assets

and

depreciated

forwards

are

reflected

as

liabilities

on

the

accompanying

Statement

of

Assets

and

Liabilities.

Risks

related

to

the

use

of

forwards

include

the

possible

failure

of

counterparties

to

meet

the

terms

of

the

agreements;

that

anticipated

currency

movements

will

not

occur,

thereby

reducing

the

fund’s

total

return;

and

the

potential

for

losses

in

excess

of

the

fund’s

initial

investment.

During

the

year ended

October

31,

2022,

the

volume

of

the

fund’s

activity

in

forwards,

based

on

underlying

notional

amounts,

was

generally

between

13%

and

24%

of

net

assets.

Futures

Contracts

 The

fund

is

subject

to interest

rate

risk

and

equity

price

risk in

the

normal

course

of

pursuing

its

investment

objectives

and

uses

futures

contracts

to

help

manage

such

risks.

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

party

and

purchase

by

another

of

a

specified

amount

of

a

specific

underlying

financial

instrument

at

an

agreed-upon

price,

date,

time,

and

place.

The

fund

currently

invests

only

in

exchange-traded

futures,

which

generally

are

standardized

as

to

maturity

date,

underlying

financial

instrument,

and

other

contract

terms.

Payments

are

made

or

received

by

the

fund

each

day

to

settle

daily

fluctuations

in

the

value

of

the

contract

(variation

margin),

which

reflect

changes

in

the

value

of

the

underlying

financial

instrument.

Variation

margin

is

recorded

as

unrealized

gain

or

loss

until

the

contract

is

closed.

The

value

of

a

futures

contract

included

in

net

assets

is

the

amount

of

unsettled

variation

margin;

net

variation

margin

receivable

is

reflected

as

an

asset

and

net

variation

margin

payable

is

reflected

as

a

liability

on

the

accompanying

Statement

of

Assets

and

Liabilities.

Risks

related

to

the

use

of

futures

contracts

include

possible

illiquidity

of

the

futures

markets,

contract

prices

that

can

be

highly

volatile

and

imperfectly

correlated

to

movements

in

hedged

security

values

and/or

interest

rates,

and

potential

losses

in

excess

of

the

fund’s

initial

investment.

During

the

year ended

October

31,

2022,

the

volume

of

the

fund’s

activity

in

futures,

based

on

underlying

notional

amounts,

was

generally

between

48%

and

65%

of

net

assets.

Options 

 The

fund

is

subject

to interest

rate

risk,

foreign

currency

exchange

rate

risk,

credit

risk

and

equity

price

risk in

the

normal

course

of

pursuing

its

investment

objectives

and

uses

options

to

help

manage

such

risks.

The

fund

may

use

options

to

manage

exposure

to

security

prices,

interest

rates,

foreign

currencies,

and

credit

quality;

as

an

efficient

means

of

adjusting

exposure

to

all

or

a

part

of

a

target

market;

to

enhance

income;

as

a

cash

management

tool;

or

to

adjust

credit

exposure.

Options

are

included

T.

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Return

Fund

141

in

net

assets

at

fair

value,

options

purchased

are

included

in

Investments

in

Securities,

and

options

written

are

separately

reflected

as

a

liability

on

the

accompanying

Statement

of

Assets

and

Liabilities.

Premiums

on

unexercised,

expired

options

are

recorded

as

realized

gains

or

losses;

premiums

on

exercised

options

are

recorded

as

an

adjustment

to

the

proceeds

from

the

sale

or

cost

of

the

purchase.

The

difference

between

the

premium

and

the

amount

received

or

paid

in

a

closing

transaction

is

also

treated

as

realized

gain

or

loss.

In

return

for

a

premium

paid,

call

and

put

options

give

the

holder

the

right,

but

not

the

obligation,

to

purchase

or

sell,

respectively,

a

security

at

a

specified

exercise

price.

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.

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,

call

and

put

index

options

give

the

holder

the

right,

but

not

the

obligation,

to

receive

cash

equal

to

the

difference

between

the

value

of

the

reference

index

on

the

exercise

date

and

the

exercise

price

of

the

option.

In

return

for

a

premium

paid,

options

on

swaps

give

the

holder

the

right,

but

not

the

obligation,

to

enter

a

specified

swap

contract

on

predefined

terms.

The

exercise

price

of

an

option

on

a

credit

default

swap

is

stated

in

terms

of

a

specified

spread

that

represents

the

cost

of

credit

protection

on

the

reference

asset,

including

both

the

upfront

premium

to

open

the

position

and

future

periodic

payments.

The

exercise

price

of

an

interest

rate

swap

is

stated

in

terms

of

a

fixed

interest

rate;

generally,

there

is

no

upfront

payment

to

open

the

position.

Risks related

to

the

use

of

options

include

possible

illiquidity

of

the

options

markets;

trading

restrictions

imposed

by

an

exchange

or

counterparty;

possible

failure

of

counterparties

to

meet

the

terms

of

the

agreements;

movements

in

the

underlying

asset

values,

interest

rates,

currency

values

and

credit

ratings;

and,

for

options

written,

the

potential

for

losses

to

exceed

any

premium

received

by

the

fund.

During

the

year ended

October

31,

2022,

the

volume

of

the

fund’s

activity

in

options,

based

on

underlying

notional

amounts,

was

generally

between

31%

and

47%

of

net

assets.

Swaps

 The

fund

is

subject

to

interest

rate

risk,

credit

risk,

inflation

risk,

equity

price

risk

and

commodity

risk in

the

normal

course

of

pursuing

its

investment

objectives

and

uses

swap

contracts

to

help

manage

such

risks.

The

fund

may

use

swaps

in

an

effort

to

manage

both

long

and

short

exposure

to

changes

in

interest

rates,

inflation

rates,

and

credit

quality;

to

adjust

overall

exposure

to

certain

markets;

to

enhance

total

return

or

protect

the

value

of

portfolio

securities;

to

serve

as

a

cash

management

tool;

or

to

adjust

portfolio

duration

and

credit

exposure.

Swap

agreements

can

be

settled

either

directly

with

the

counterparty

(bilateral

swap)

or

through

a

central

clearinghouse

(centrally

cleared

swap).

Fluctuations

in

the

fair

value

of

a

contract

are

reflected

in

unrealized

gain

or

loss

and

are

reclassified

to

realized

gain

or

loss

upon

contract

termination

or

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cash

settlement.

Net

periodic

receipts

or

payments

required

by

a

contract

increase

or

decrease,

respectively,

the

value

of

the

contract

until

the

contractual

payment

date,

at

which

time

such

amounts

are

reclassified

from

unrealized

to

realized

gain

or

loss.

For

bilateral

swaps,

cash

payments

are

made

or

received

by

the

fund

on

a

periodic

basis

in

accordance

with

contract

terms;

unrealized

gain

on

contracts

and

premiums

paid

are

reflected

as

assets

and

unrealized

loss

on

contracts

and

premiums

received

are

reflected

as

liabilities

on

the

accompanying

Statement

of

Assets

and

Liabilities.

For

bilateral

swaps,

premiums

paid

or

received

are

amortized

over

the

life

of

the

swap

and

are

recognized

as

realized

gain

or

loss

in

the

Statement

of

Operations.

For

centrally

cleared

swaps,

payments

are

made

or

received

by

the

fund

each

day

to

settle

the

daily

fluctuation

in

the

value

of

the

contract

(variation

margin).

Accordingly,

the

value

of

a

centrally

cleared

swap

included

in

net

assets

is

the

unsettled

variation

margin;

net

variation

margin

receivable

is

reflected

as

an

asset

and

net

variation

margin

payable

is

reflected

as

a

liability

on

the

accompanying

Statement

of

Assets

and

Liabilities.

Interest

rate

swaps

are

agreements

to

exchange

cash

flows

based

on

the

difference

between

specified

interest

rates

applied

to

a

notional

principal

amount

for

a

specified

period

of

time.

Risks

related

to

the

use

of

interest

rate

swaps

include

the

potential

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

October

31,

2022,

the

notional

amount

of

protection

sold

by

the

fund

totaled $14,919,000

(4.2%

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

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default

swaps

include

the

possible

inability

of

the

fund

to

accurately

assess

the

current

and

future

creditworthiness

of

underlying

issuers,

the

possible

failure

of

a

counterparty

to

perform

in

accordance

with

the

terms

of

the

swap

agreements,

potential

government

regulation

that

could

adversely

affect

the

fund’s

swap

investments,

and

potential

losses

in

excess

of

the

fund’s

initial

investment.

Zero-coupon

inflation

swaps

are

agreements

to

exchange

cash

flows,

on

the

contract’s

maturity

date,

based

on

the

difference

between

a

predetermined

fixed

rate

and

the

cumulative

change

in

the

consumer

price

index,

both

applied

to

a

notional

principal

amount

for

a

specified

period

of

time.

Risks

related

to

the

use

of

zero-coupon

inflation

swaps

include

the

potential

for

unanticipated

movements

in

inflation

rates,

the

possible

failure

of

a

counterparty

to

perform

in

accordance

with

the

terms

of

the

swap

agreements,

potential

government

regulation

that

could

adversely

affect

the

fund’s

swap

investments,

and

potential

losses

in

excess

of

the

fund’s

initial

investment. 

Total

return

swaps

are

agreements

in

which

one

party

makes

payments

based

on

a

set

rate,

either

fixed

or

variable,

while

the

other

party

makes

payments

based

on

the

return

of

an

underlying

asset

(reference

asset),

such

as

an

index,

equity

security,

fixed

income

security

or

commodity-based

exchange-traded

fund,

which

includes

both

the

income

it

generates

and

any

change

in

its

value.

Risks

related

to

the

use

of

total

return

swaps

include

the

potential

for

unfavorable

changes

in

the

reference

asset,

the

possible

failure

of

a

counterparty

to

perform

in

accordance

with

the

terms

of

the

swap

agreements,

potential

government

regulation

that

could

adversely

affect

the

fund’s

swap

investments,

and

potential

losses

in

excess

of

the

fund’s

initial

investment. 

During

the

year ended

October

31,

2022,

the

volume

of

the

fund’s

activity

in

swaps,

based

on

underlying

notional

amounts,

was

generally

between

76%

and

136%

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

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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.

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.

MBS are

sensitive

to

changes

in

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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.

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.

Bank

loans

may

be

in

the

form

of

either

assignments

or

participations.

A

loan

assignment

transfers

all

legal,

beneficial,

and

economic

rights

to

the

buyer,

and

transfer

typically

requires

consent

of

both

the

borrower

and

agent.

In

contrast,

a

loan

participation

generally

entitles

the

buyer

to

receive

the

cash

flows

from

principal,

interest,

and

any

fee

payments

on

a

portion

of

a

loan;

however,

the

seller

continues

to

hold

legal

title

to

that

portion

of

the

loan.

As

a

result,

the

buyer

of

a

loan

participation

generally

has

no

direct

recourse

against

the

borrower

and

is

exposed

to

credit

risk

of

both

the

borrower

and

seller

of

the

participation.

Bank

loans

often

have

extended

settlement

periods,

generally

may

be

repaid

at

any

time

at

the

option

of

the

borrower,

and

may

require

additional

principal

to

be

funded

at

the

borrowers’

discretion

at

a

later

date

(e.g.

unfunded

commitments

and

revolving

debt

instruments).

Until

settlement,

the

fund

maintains

liquid

assets

sufficient

to

settle

its

unfunded

loan

commitments.

The

fund

reflects

both

the

funded

portion

of

a

bank

loan

as

well

as

its

unfunded

commitment

in

the

Portfolio

of

Investments.

However,

if

a

credit

agreement

provides

no

initial

funding

of

a

tranche,

and

funding

of

the

full

commitment

at

a

future

date(s)

is

at

the

borrower’s

discretion

and

considered

uncertain,

a

loan

is

reflected

in

the

Portfolio

of

Investments

only

if,

and

only

to

the

extent

that,

the

fund

has

actually

settled

a

funding

commitment.

Private

Investments

Issued

by

Special

Purpose

Acquisition

Companies

Special purpose

acquisition

companies

(SPACs)

are

shell

companies

that

have

no

operations

but

are

formed

to

raise

capital

with

the

intention

of

merging

with

or

acquiring

a

company

with

the

proceeds

of

the

SPAC’s

initial

public

offering

(IPO).

The

fund

may

enter

into

a

contingent

commitment

with

a

SPAC

to

purchase

private

investments

in

public

equity

(PIPE)

if

and

when

the

SPAC

completes

its

merger

or

acquisition.

The

fund

maintains

liquid

assets

sufficient

to

settle

its

commitment

to

purchase

the

PIPE.

However,

if

the

commitment

expires,

then

no

shares

are

purchased.

Purchased

PIPE

shares

will

be

restricted

from

trading

until

the

registration

statement

for

the

shares

is

declared

effective.

Upon

registration,

the

shares

can

be

freely

sold;

however,

in

certain

circumstances,

the

issuer

may

have

the

right

to

temporarily

suspend

trading

of

the

shares

in

the

first

year

after

the

merger

or

acquisition.

The

securities

issued

by

a

SPAC

may

be

considered

illiquid,

more

difficult

to

value,

and/or

be

subject

to

restrictions

on

resale.

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Investment

in

Bona

Fide

Investments

Feeder

LLC

 The

fund

invested

in

Bona

Fide

Investments

Feeder

LLC

(Bona

Fide

Investments

Feeder),

a

private

alternative

debt

investment

fund

offered

by

Gramercy

Funds

Management

LLC

(Gramercy).

Bona

Fide

Investments

Feeder

invests

in

the

Bona

Fide

Investment

Holdings

LLC

(underlying

fund)

which

provides

the

fund

exposure

to

alternative investments

by acquiring

sentencias

(underlying

interests), obligations

owed

to

individual

holders

by

the

government

of

the

Republic

of

Colombia

that

have

been

converted

from

judgments

against

various

Colombian

governmental

agencies.

Bona

Fide

Investments

Feeder’s

concentration

of

investments

in

sentencias

through

the

underlying

fund

may

expose

it

to

greater

risk

than

if

its

investments

were

spread

across

a

large

variety

of

investment

instruments.

In

addition,

Colombia

has

experienced

and

may

in

the

future

experience

political

and

economic

instability,

which

may

increase

the

risk

of

investment

loss.

Bona

Fide

Investments

Feeder,

and

the

underlying

fund,

are

not

subject

to

the

same

regulatory

requirements

as

an

open-end

mutual

fund,

and,

therefore,

the

investments

and

related

valuations

may

not

be transparent.

Ownership

interests

in

Bona

Fide

Investments

Feeder

are

not

transferable

and

do

not

have

redemption

rights.

In

addition,

the

fund

is

subject

to

a

15-month

commitment

period

after

acquisition.

These

restrictions

are

subject

to

change

at

the

sole

discretion

of

Gramercy.

Following

the

expiration

of

the

commitment

period,

distributions

attributable

to

the

underlying

interests,

if

any,

will

be

received

by

the

fund. As

of

October

31,

2022,

the

remaining

restriction

period

on

this

investment

was 10

months

and

the

fund

had

a

remaining

unfunded

commitment

of

$30,000.

LIBOR

Transition

 The fund

may

invest

in

instruments

that

are

tied

to

reference

rates,

including

LIBOR.

Over

the

course

of

the

last

several

years,

global

regulators

have

indicated

an

intent

to

phase

out

the

use

of

LIBOR

and

similar

interbank

offered

rates

(IBOR).

While

publication

for

most

LIBOR

currencies

and

lesser-used

USD

LIBOR

settings

ceased

immediately

after

December

31,

2021,

remaining

USD

LIBOR

settings

will

continue

to

be

published

until

June

30,

2023.

There

remains

uncertainty

regarding

the

future

utilization

of

LIBOR

and

the

nature

of

any

replacement

rate.

Any

potential

effects

of

the

transition

away

from

LIBOR

on

the fund,

or

on

certain

instruments

in

which

the fund

invests,

cannot

yet

be

determined.

The

transition

process

may

result

in,

among

other

things,

an

increase

in

volatility

or

illiquidity

of

markets

for

instruments

that

currently

rely

on

LIBOR,

a

reduction

in

the

value

of

certain

instruments

held

by

the fund,

or

a

reduction

in

the

effectiveness

of

related

fund

transactions

such

as

hedges.

Any

such

effects

could

have

an

adverse

impact

on

the fund's

performance.

Securities

Lending

 The fund

may

lend

its

securities

to

approved

borrowers

to

earn

additional

income.

Its

securities

lending

activities

are

administered

by

a

lending

agent

in

accordance

with

a

securities

lending

agreement.

Security

loans

generally

do

not

have

stated

maturity

dates,

and

the

fund

may

recall

a

security

at

any

time.

The

fund

receives

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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

October

31,

2022,

the

value

of

loaned

securities

was

$7,684,000;

the

value

of

cash

collateral

and

related

investments

was

$8,240,000.

Other 

Purchases

and

sales

of

portfolio

securities

other

than

short-term and

U.S.

government

securities

aggregated $306,569,000 and

$347,053,000,

respectively,

for

the

year ended

October

31,

2022.

NOTE

5

-

FEDERAL

INCOME

TAXES

Generally,

no

provision

for

federal

income

taxes

is

required

since

the

fund

intends

to

continue

to

qualify

as

a

regulated

investment

company

under

Subchapter

M

of

the

Internal

Revenue

Code

and

distribute

to

shareholders

all

of

its

taxable

income

and

gains.

Distributions

determined

in

accordance

with

federal

income

tax

regulations

may

differ

in

amount

or

character

from

net

investment

income

and

realized

gains

for

financial

reporting

purposes.

The fund

files

U.S.

federal,

state,

and

local

tax

returns

as

required. The

fund’s

tax

returns

are

subject

to

examination

by

the

relevant

tax

authorities

until

expiration

of

the

applicable

statute

of

limitations,

which

is

generally

three

years

after

the

filing

of

the

tax

return

but

which

can

be

extended

to

six

years

in

certain

circumstances.

Tax

returns

for

open

years

have

incorporated

no

uncertain

tax

positions

that

require

a

provision

for

income

taxes.

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Capital

accounts

within

the

financial

reporting

records

are

adjusted

for

permanent

book/tax

differences

to

reflect

tax

character

but

are

not

adjusted

for

temporary

differences.

The

permanent

book/tax

adjustments,

if

any,

have

no

impact

on

results

of

operations

or

net

assets.

The

permanent

book/tax

adjustments

relate

primarily

to

the

character

of

net

currency

losses

and

the

character

of

income

on

swaps.

The

tax

character

of

distributions

paid

for

the

periods

presented

was

as

follows:

At

October

31,

2022,

the

tax-basis

cost

of

investments

(including

derivatives,

if

any)

and

gross

unrealized

appreciation

and

depreciation

were

as

follows:

At

October

31,

2022,

the

tax-basis

components

of

accumulated

net

earnings

(loss)

were

as

follows:

Temporary

differences

between

book-basis

and

tax-basis

components

of

total

distributable

earnings

(loss)

arise

when

certain

items

of

income,

gain,

or

loss

are

recognized

in

different

periods

for

financial

statement

purposes

versus

for

tax

purposes;

these

differences

will

reverse

in

a

subsequent

reporting

period.

The

temporary

differences

relate

primarily

to

the

deferral

of

losses

from

wash

sales

and

the

realization

($000s)

October

31,

2022

October

31,

2021

Ordinary

income

(including

short-term

capital

gains,

if

any)

$

11,997‌

$

5,091‌

($000s)

Cost

of

investments

$

363,128‌

Unrealized

appreciation

$

16,085‌

Unrealized

depreciation

(43,665‌)

Net

unrealized

appreciation

(depreciation)

$

(27,580‌)

($000s)

Undistributed

ordinary

income

$

8,945‌

Net

unrealized

appreciation

(depreciation)

(27,580‌)

Loss

carryforwards

and

deferrals

(25,223‌)

Total

distributable

earnings

(loss)

$

(43,858‌)

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of

gains/losses

on

certain

open

derivative

contracts.

The

loss

carryforwards

and

deferrals

primarily

relate

to

capital

loss

carryforwards

and

straddle

deferrals. Capital

loss

carryforwards

are

available

indefinitely

to

offset

future

realized

capital

gains.

NOTE

6

-

FOREIGN  TAXES

The

fund

is

subject

to

foreign

income

taxes

imposed

by

certain

countries

in

which

it

invests.

Additionally,

capital

gains

realized

upon

disposition

of

securities

issued

in

or

by

certain

foreign

countries

are

subject

to

capital

gains

tax

imposed

by

those

countries.

All

taxes

are

computed

in

accordance

with

the

applicable

foreign

tax

law,

and,

to

the

extent

permitted,

capital

losses

are

used

to

offset

capital

gains.

Taxes

attributable

to

income

are

accrued

by

the

fund

as

a

reduction

of

income.

Current

and

deferred

tax

expense

attributable

to

capital

gains

is

reflected

as

a

component

of

realized

or

change

in

unrealized

gain/loss

on

securities

in

the

accompanying

financial

statements.

To

the

extent

that

the

fund

has

country

specific

capital

loss

carryforwards,

such

carryforwards

are

applied

against

net

unrealized

gains

when

determining

the

deferred

tax

liability.

Any

deferred

tax

liability

incurred

by

the

fund

is

included

in

either

Other

liabilities

or

Deferred

tax

liability

on

the

accompanying

Statement

of

Assets

and

Liabilities.

NOTE

7

-

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

0.71%

of

the

fund’s

average

daily

net

assets,

and

a

group

fee.

The

group

fee

rate

is

calculated

based

on

the

combined

net

assets

of

certain

mutual

funds

sponsored

by

Price

Associates

(the

group)

applied

to

a

graduated

fee

schedule,

with

rates

ranging

from

0.48%

for

the

first

$1

billion

of

assets

to

0.260%

for

assets

in

excess

of

$845

billion.

The

fund’s

group

fee

is

determined

by

applying

the

group

fee

rate

to

the

fund’s

average

daily

net

assets. At

October

31,

2022,

the

effective

annual

group

fee

rate

was

0.29%.

The Investor Class

is

subject

to

a

contractual

expense

limitation

through

the

expense

limitation

date

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,

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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

year ended October

31,

2022

as

indicated

in

the

table

below.

Including these

amounts,

expenses

previously

waived/paid

by

Price

Associates

in

the

amount

of $897,000 remain

subject

to

repayment

by

the

fund

at

October

31,

2022.

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.

Investor

Class

I

Class

Expense

limitation/I

Class

Limit

1.19%

0.05%

Expense

limitation

date

02/29/24

02/29/24

(Waived)/repaid

during

the

period

($000s)

$(117)

$(278)

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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.

For

the

year ended

October

31,

2022,

expenses

incurred

pursuant

to

these

service

agreements

were

$107,000 for

Price

Associates;

$43,000 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.

Mutual

funds,

trusts,

and

other

accounts

managed

by

Price

Associates

or

its

affiliates

(collectively,

Price

Funds

and

accounts)

may

invest

in

the

fund.

No

Price

fund

or

account

may

invest

for

the

purpose

of

exercising

management

or

control

over

the

fund.

At

October

31,

2022,

approximately

89%

of

the

I

Class’s

outstanding

shares

were

held

by

Price

Funds

and

accounts.

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,

or

the

T.

Rowe

Price

Short-Term

Fund,

a

short-term

bond

fund

(collectively,

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;

prior

to

December

13,

2021,

the

cash

collateral

from

securities

lending

was

invested

in

the

T.

Rowe

Price

Short-Term

Fund.

The

Price

Reserve

Funds

pay

no

investment

management

fees. 

The

fund may

participate

in

securities

purchase

and

sale

transactions

with

other

funds

or

accounts

advised

by

Price

Associates

(cross

trades),

in

accordance

with

procedures

adopted

by the

fund’s

Board

and

Securities

and

Exchange

Commission

rules,

which

require,

among

other

things,

that

such

purchase

and

sale

cross

trades

be

effected

at

the

independent

current

market

price

of

the

security.

During

the

year ended

October

31,

2022,

the

fund

had

no

purchases

or

sales

cross

trades

with

other

funds

or

accounts

advised

by

Price

Associates.

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Price

Associates

has

voluntarily

agreed

to

reimburse

the

fund

from

its

own

resources

on

a

monthly

basis

for

the

cost

of

investment

research

embedded

in

the

cost

of

the

fund’s

securities

trades.

This

agreement

may

be

rescinded

at

any

time.

For

the

year ended

October

31,

2022,

this

reimbursement

amounted

to

$5,000,

which

is

included

in

Net

realized

gain

(loss)

on

Securities

in

the

Statement

of

Operations.

NOTE

8

-

OTHER

MATTERS

Unpredictable

events

such

as

environmental

or

natural

disasters,

war,

terrorism,

pandemics,

outbreaks

of

infectious

diseases,

and

similar

public

health

threats

may

significantly

affect

the

economy

and

the

markets

and

issuers

in

which

a

fund

invests.

Certain

events

may

cause

instability

across

global

markets,

including

reduced

liquidity

and

disruptions

in

trading

markets,

while

some

events

may

affect

certain

geographic

regions,

countries,

sectors,

and

industries

more

significantly

than

others,

and

exacerbate

other

pre-existing

political,

social,

and

economic

risks.

Since

2020,

a

novel

strain

of

coronavirus

(COVID-19)

has

resulted

in

disruptions

to

global

business

activity

and

caused

significant

volatility

and

declines

in

global

financial

markets.

In

February

2022,

Russian

forces

entered

Ukraine

and

commenced

an

armed

conflict

leading

to

economic

sanctions

being

imposed

on

Russia

and

certain

of

its

citizens,

creating

impacts

on

Russian-related

stocks

and

debt

and

greater

volatility

in

global

markets.

These

are

recent

examples

of

global

events

which

may

have

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.

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REPORT

OF

INDEPENDENT

REGISTERED

PUBLIC

ACCOUNTING

FIRM

To

the

Board

of

Directors

and

Shareholders

of

T.

Rowe

Price

Multi-Strategy

Total

Return

Fund,

Inc.

Opinion

on

the

Financial

Statements

We

have

audited

the

accompanying

statement

of

assets

and

liabilities,

including

the

portfolio

of

investments,

of

T.

Rowe

Price

Multi-Strategy

Total

Return

Fund,

Inc.

(the

"Fund")

as

of

October

31,

2022,

the

related

statement

of

operations

for

the

year

ended

October

31,

2022,

the

statement

of

changes

in

net

assets

for

each

of

the

two

years

in

the

period

ended

October

31,

2022,

including

the

related

notes,

and

the

financial

highlights

for

each

of

the

years

ended

October

31,

2022,

2021,

2020

and

2019,

and

for

the

period

February

23,

2018

(Inception)

through

October

31,

2018

(collectively

referred

to

as

the

“financial

statements”).

In

our

opinion,

the

financial

statements

present

fairly,

in

all

material

respects,

the

financial

position

of

the

Fund

as

of

October

31,

2022,

the

results

of

its

operations

for

the

year

ended

October

31,

2022,

the

changes

in

its

net

assets

for

each

of

the

two

years

in

the

period

ended

October

31,

2022

and

the

financial

highlights

for

each

of

the

years

ended

October

31,

2022,

2021,

2020

and

2019,

and

for

the

period

February

23,

2018

(Inception)

through

October

31,

2018

in

conformity

with

accounting

principles

generally

accepted

in

the

United

States

of

America.

Basis

for

Opinion

These

financial

statements

are

the

responsibility

of

the

Fund’s

management.

Our

responsibility

is

to

express

an

opinion

on

the

Fund’s

financial

statements

based

on

our

audits.

We

are

a

public

accounting

firm

registered

with

the

Public

Company

Accounting

Oversight

Board

(United

States)

(PCAOB)

and

are

required

to

be

independent

with

respect

to

the

Fund

in

accordance

with

the

U.S.

federal

securities

laws

and

the

applicable

rules

and

regulations

of

the

Securities

and

Exchange

Commission

and

the

PCAOB.

We

conducted

our

audits

of

these

financial

statements

in

accordance

with

the

standards

of

the

PCAOB.

Those

standards

require

that

we

plan

and

perform

the

audit

to

obtain

reasonable

assurance

about

whether

the

financial

statements

are

free

of

material

misstatement,

whether

due

to

error

or

fraud.

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Our

audits

included

performing

procedures

to

assess

the

risks

of

material

misstatement

of

the

financial

statements,

whether

due

to

error

or

fraud,

and

performing

procedures

that

respond

to

those

risks.

Such

procedures

included

examining,

on

a

test

basis,

evidence

regarding

the

amounts

and

disclosures

in

the

financial

statements.

Our

audits

also

included

evaluating

the

accounting

principles

used

and

significant

estimates

made

by

management,

as

well

as

evaluating

the

overall

presentation

of

the

financial

statements.

Our

procedures

included

confirmation

of

securities

owned

as

of

October

31,

2022

by

correspondence

with

the

custodians,

transfer

agent

and

brokers;

when

replies

were

not

received

from

brokers,

we

performed

other

auditing

procedures.

We

believe

that

our

audits

provide

a

reasonable

basis

for

our

opinion.

PricewaterhouseCoopers

LLP

Baltimore,

Maryland

December

16,

2022

We

have

served

as

the

auditor

of

one

or

more

investment

companies

in

the

T.

Rowe

Price

group

of

investment

companies

since

1973.

REPORT

OF

INDEPENDENT

REGISTERED

PUBLIC

ACCOUNTING

FIRM

(continued)

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TAX

INFORMATION

(UNAUDITED)

FOR

THE

TAX

YEAR

ENDED 10/31/22

We

are

providing

this

information

as

required

by

the

Internal

Revenue

Code.

The

amounts

shown

may

differ

from

those

elsewhere

in

this

report

because

of

differences

between

tax

and

financial

reporting

requirements.

The

fund’s

distributions

to

shareholders

included:

$9,928,000 from

short-term

capital

gains 

For

taxable

non-corporate

shareholders,

$581,000 of

the

fund's

income

represents

qualified

dividend

income

subject

to

a

long-term

capital

gains

tax

rate

of

not

greater

than

20%.

For

corporate

shareholders,

$351,000

of

the

fund's

income

qualifies

for

the

dividends-

received

deduction.  

For

shareholders

subject

to

interest

expense

deduction

limitation

under

Section

163(j), $4,511,000 of

the

fund’s

income

qualifies

as

a

Section

163(j)

interest

dividend

and

can

be

treated

as

interest

income

for

purposes

of

Section

163(j),

subject

to

holding

period

requirements

and

other

limitations.

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INFORMATION

ON

PROXY

VOTING

POLICIES,

PROCEDURES,

AND

RECORDS

A

description

of

the

policies

and

procedures

used

by

T.

Rowe

Price

funds

to

determine

how

to

vote

proxies

relating

to

portfolio

securities

is

available

in

each

fund’s

Statement

of

Additional

Information.

You

may

request

this

document

by

calling

1-800-225-5132

or

by

accessing

the

SEC’s

website,

sec.gov.

The

description

of

our

proxy

voting

policies

and

procedures

is

also

available

on

our

corporate

website.

To

access

it,

please

visit

the

following

Web

page:

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

Scroll

down

to

the

section

near

the

bottom

of

the

page

that

says,

“Proxy

Voting

Guidelines.”

Click

on

the

links

in

the

shaded

box.

Each

fund’s

most

recent

annual

proxy

voting

record

is

available

on

our

website

and

through

the

SEC’s

website.

To

access

it

through

T.

Rowe

Price,

visit

the

website

location

shown

above,

and

scroll

down

to

the

section

near

the

bottom

of

the

page

that

says,

“Proxy

Voting

Records.”

Click

on

the

Proxy

Voting

Records

link

in

the

shaded

box.

HOW

TO

OBTAIN

QUARTERLY

PORTFOLIO

HOLDINGS

The

fund

files

a

complete

schedule

of

portfolio

holdings

with

the

Securities

and

Exchange

Commission

(SEC)

for

the

first

and

third

quarters

of

each

fiscal

year

as

an

exhibit

to

its

reports

on

Form

N-PORT.

The

fund’s

reports

on

Form

N-PORT

are

available

electronically

on

the

SEC’s

website

(sec.gov).

In

addition,

most

T.

Rowe

Price

funds

disclose

their

first

and

third

fiscal

quarter-end

holdings

on

troweprice.com

.

T.

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157

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

25,

2022,

the

Board

was

presented

with

an

annual

assessment

prepared

by

the

LRC,

on

behalf

of

the

Adviser,

that

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.

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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,

2021,

through

March

31,

2022.

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)

T.

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ABOUT

THE

FUND'S

DIRECTORS

AND

OFFICERS

Your

fund

is

overseen

by

a

Board

of

Directors

(Board)

that

meets

regularly

to

review

a

wide

variety

of

matters

affecting

or

potentially

affecting

the

fund,

including

performance,

investment

programs,

compliance

matters,

advisory

fees

and

expenses,

service

providers,

and

business

and

regulatory

affairs.

The

Board

elects

the

fund’s

officers,

who

are

listed

in

the

final

table.

The

directors

who

are

also

employees

or

officers

of

T.

Rowe

Price

are

considered

to

be

interested

directors

as

defined

in

Section

2(a)(19)

of

the

1940

Act

because

of

their

relationships

with

T.

Rowe

Price

and

its

affiliates.

The

business

address

of

each

director

and

officer

is

100

East

Pratt

Street,

Baltimore,

Maryland

21202.

The

Statement

of

Additional

Information

includes

additional

information

about

the

fund

directors

and

is

available

without

charge

by

calling

a

T.

Rowe

Price

representative

at

1-800-638-5660.

INDEPENDENT

DIRECTORS

(a)

Name

(Year

of

Birth)

Year

Elected

[Number

of

T.

Rowe

Price

Portfolios

Overseen]

Principal

Occupation(s)

and

Directorships

of

Public

Companies

and

Other

Investment

Companies

During

the

Past

Five

Years

Teresa

Bryce

Bazemore

(1959)

2018

[205]

President

and

Chief

Executive

Officer,

Federal

Home

Loan

Bank

of

San

Francisco

(2021

to

present);

President,

Radian

Guaranty

(2008

to

2017);

Chief

Executive

Officer,

Bazemore

Consulting

LLC

(2018

to

2021);

Director,

Chimera

Investment

Corporation

(2017

to

2021);

Director,

First

Industrial

Realty

Trust

(2020

to

present);

Director,

Federal

Home

Loan

Bank

of

Pittsburgh

(2017

to

2019)

Ronald

J.

Daniels

(b)

(1959)

2018

[0]

President,

The

Johns

Hopkins

University

and

Professor,

Political

Science

Department,

The

Johns

Hopkins

University

(2009

to

present);

Director,

Lyndhurst

Holdings

(2015

to

present);

Director,

BridgeBio

Pharma,

Inc.

(2020

to

present)

Bruce

W.

Duncan

(1951)

2017

[205]

President,

Chief

Executive

Officer,

and

Director,

CyrusOne,

Inc.

(2020

to

2021);

Chief

Executive

Officer

and

Director

(2009

to

2016),

Chair

of

the

Board

(2016

to

2020),

and

President

(2009

to

2016),

First

Industrial

Realty

Trust,

owner

and

operator

of

industrial

properties;

Chair

of

the

Board

(2005

to

2016)

and

Director

(1999

to

2016),

Starwood

Hotels

&

Resorts,

a

hotel

and

leisure

company;

Member,

Investment

Company

Institute

Board

of

Governors

(2017

to

2019);

Member,

Independent

Directors

Council

Governing

Board

(2017

to

2019);

Senior

Advisor,

KKR

(2018

to

present);

Director,

Boston

Properties

(2016

to

present);

Director,

Marriott

International,

Inc.

(2016

to

2020)

Robert

J.

Gerrard,

Jr.

(1952)

2017

[205]

Advisory

Board

Member,

Pipeline

Crisis/Winning

Strategies,

a

collaborative

working

to

improve

opportunities

for

young

African

Americans

(1997

to

2016);

Chair

of

the

Board,

all

funds

(July

2018

to

present)

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INTERESTED  DIRECTORS

(a)

Name

(Year

of

Birth)

Year

Elected

[Number

of

T.

Rowe

Price

Portfolios

Overseen]

Principal

Occupation(s)

and

Directorships

of

Public

Companies

and

Other

Investment

Companies

During

the

Past

Five

Years

Paul

F.

McBride

(1956)

2013

[205]

Advisory

Board

Member,

Vizzia

Technologies

(2015

to

present);

Board

Member,

Dunbar

Armored

(2012

to

2018)

Kellye

L.

Walker

(c)

(1966)

2021

[205]

Executive

Vice

President

and

Chief

Legal

Officer,

Eastman

Chemical

Company

(April

2020

to

present);

Executive

Vice

President

and

Chief

Legal

Officer,

Huntington

Ingalls

Industries,

Inc.

(January

2015

to

March

2020);

Director,

Lincoln

Electric

Company

(October

2020

to

present)

(a)

All

information

about

the

independent

directors

was

current

as

of

December

31,

2021,

unless

otherwise

indicated,

except

for

the

number

of

portfolios

overseen,

which

is

current

as

of

the

date

of

this

report.

(b)

Effective

April

27,

2022,

Mr.

Daniels

resigned

from

his

role

as

an

independent

director

of

the

Price

Funds.

(c)

Effective

November

8,

2021,

Ms.

Walker

was

appointed

as

an

independent

director

of

the

Price

Funds.

Name

(Year

of

Birth)

Year

Elected

[Number

of

T.

Rowe

Price

Portfolios

Overseen]

Principal

Occupation(s)

and

Directorships

of

Public

Companies

and

Other

Investment

Companies

During

the

Past

Five

Years

David

Oestreicher

(1967)

2018

[205]

Director,

Vice

President,

and

Secretary,

T.

Rowe

Price,

T.

Rowe

Price

Investment

Services,

Inc.,

T.

Rowe

Price

Retirement

Plan

Services,

Inc.,

and

T.

Rowe

Price

Services,

Inc.;

Director

and

Secretary,

T.

Rowe

Price

Investment

Management,

Inc.

(Price

Investment

Management);

Vice

President

and

Secretary,

T.

Rowe

Price

International

(Price

International);

Vice

President,

T.

Rowe

Price

Hong

Kong

(Price

Hong

Kong),

T. Rowe

Price

Japan

(Price

Japan),

and

T.

Rowe

Price

Singapore

(Price

Singapore);

General

Counsel,

Vice

President,

and

Secretary,

T.

Rowe

Price

Group,

Inc.;

Chair

of

the

Board,

Chief

Executive

Officer,

President,

and

Secretary,

T.

Rowe

Price

Trust

Company;

Principal

Executive

Officer

and

Executive

Vice

President,

all

funds

Robert

W.

Sharps,

CFA,

CPA

(b)

(1971)

2017

[0]

Director

and

Vice

President,

T.

Rowe

Price;

Director,

Price

Investment

Management;

Chief

Executive

Officer

and

President,

T.

Rowe

Price

Group,

Inc.;

Vice

President,

T.

Rowe

Price

Trust

Company;

Vice

President,

Multi-Strategy

Total

Return

Fund

INDEPENDENT

DIRECTORS

(a)

(CONTINUED)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

161

OFFICERS

Name

(Year

of

Birth)

Year

Elected

[Number

of

T.

Rowe

Price

Portfolios

Overseen]

Principal

Occupation(s)

and

Directorships

of

Public

Companies

and

Other

Investment

Companies

During

the

Past

Five

Years

Eric

L.

Veiel,

CFA

(1972)

2022

[205]

Director

and

Vice

President,

T.

Rowe

Price;

Vice

President,

T.

Rowe

Price

Group,

Inc.,

and

T.

Rowe

Price

Trust

Company

(a)

All

information

about

the

interested

directors

was

current

as

of

January

1,

2022,

unless

otherwise

indicated,

except

for

the

number

of

portfolios

overseen,

which

is

current

as

of

the

date

of

this

report.

(b)

Effective

February

3,

2022,

Mr.

Sharps

resigned

from

his

role

as

an

interested

director

of

the

Price

Funds.

Name

(Year

of

Birth)

Position

Held

With Multi-Strategy

Total

Return

Fund 

Principal

Occupation(s) 

Armando

(Dino)

Capasso

(1974)

Chief

Compliance

Officer

Chief

Compliance

Officer

and

Vice

President,

T.

Rowe

Price

and

Price

Investment

Management;

Vice

President,

T.

Rowe

Price

Group,

Inc.;

formerly,

Chief

Compliance

Officer,

PGIM

Investments

LLC

and

AST

Investment

Services,

Inc.

(ASTIS)

(to

2022);

Chief

Compliance

Officer,

PGIM

Retail

Funds

complex

and

Prudential

Insurance

Funds

(to

2022);

Vice

President

and

Deputy

Chief

Compliance

Officer,

PGIM

Investments

LLC

and

ASTIS

(to

2019);

Senior

Vice

President

and

Senior

Counsel, Pacific

Investment

Management

Company

LLC

(to

2017)

Richard

de

los

Reyes

(1975)

Co-president 

Vice

President,

T.

Rowe

Price,

T.

Rowe

Price

Group,

Inc.,

and

T.

Rowe

Price

Trust

Company

Alan

S.

Dupski,

CPA

(1982)

Principal

Financial

Officer,

Vice

President,

and

Treasurer

Vice

President,

Price

Investment

Management,

T.

Rowe

Price,

T.

Rowe

Price

Group,

Inc.,

and

T.

Rowe

Price

Trust

Company

Gary

J.

Greb

(1961)

Vice

President

Vice

President,

Price

Investment

Management,

T.

Rowe

Price,

Price

International,

and

T.

Rowe

Price

Trust

Company

Cheryl

Hampton,

CPA

(1969)

Vice

President

Vice

President,

T.

Rowe

Price;

formerly,

Tax

Director,

Invesco

Ltd.

(to

2021);

Vice

President,

Oppenheimer

Funds,

Inc.

(to

2019)

Unless

otherwise

noted,

officers

have

been

employees

of

T.

Rowe

Price

or

Price

International

for

at

least

5

years.

INTERESTED  DIRECTORS

(a)

(CONTINUED)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

162

Name

(Year

of

Birth)

Position

Held

With Multi-Strategy

Total

Return

Fund 

Principal

Occupation(s) 

Stefan

Hubrich,

Ph.D.,

CFA

(1974)

Co-president 

Vice

President,

T.

Rowe

Price

and

T.

Rowe

Price

Group,

Inc.

Arif

Husain,

CFA

(1972)

Vice

President

Vice

President,

T.

Rowe

Price

Group,

Inc.,

and

Price

International

Benjamin

Kersse,

CPA

(1989)

Vice

President

Vice

President,

T.

Rowe

Price

Paul

J.

Krug,

CPA

(1964)

Vice

President

Vice

President,

T.

Rowe

Price,

T.

Rowe

Price

Group,

Inc.,

and

T.

Rowe

Price

Trust

Company

John

D.

Linehan,

CFA

(1965)

Vice

President

Vice

President,

T.

Rowe

Price,

T.

Rowe

Price

Group,

Inc.,

and

T.

Rowe

Price

Trust

Company

Sebastien

Page

(1977)

Vice

President

Vice

President,

T.

Rowe

Price

and

T.

Rowe

Price

Group,

Inc.

Fran

M.

Pollack-Matz

(1961)

Vice

President

and

Secretary 

Vice

President,

T.

Rowe

Price,

T.

Rowe

Price

Group,

Inc.,

T.

Rowe

Price

Investment

Services,

Inc.,

and

T.

Rowe

Price

Services,

Inc.

Shannon

H.

Rauser

(1987)

Assistant

Secretary 

Assistant

Vice

President,

T.

Rowe

Price

Charles

M.

Shriver,

CFA

(1967)

Vice

President

Vice

President,

T.

Rowe

Price,

T.

Rowe

Price

Group,

Inc.,

Price

International,

and

T.

Rowe

Price

Trust

Company

Justin

Thomson

(1968)

Vice

President

Director,

Price

Hong

Kong;

Vice

President,

T.

Rowe

Price

Group,

Inc.;

Director

and

Vice

President,

Price

International

Megan

Warren

(1968)

Vice

President

OFAC

Sanctions

Compliance

Officer

and

Vice

President,

Price

Investment

Management;

Vice

President,

T.

Rowe

Price,

T.

Rowe

Price

Group,

Inc.,

T.

Rowe

Price

Retirement

Plan

Services,

Inc.,

T.

Rowe

Price

Services,

Inc.,

and

T.

Rowe

Price

Trust

Company

Unless

otherwise

noted,

officers

have

been

employees

of

T.

Rowe

Price

or

Price

International

for

at

least

5

years.

OFFICERS

(CONTINUED)

T.

Rowe

Price

Investment

Services,

Inc.

|

100

East

Pratt

Street

|

Baltimore,

MD

21202-1009

You

have

many

investment

goals.

Explore

products

and

services

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help

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Whether

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education,

or

for

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priorities,

we

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solutions

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you.

See

how

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the

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that

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RETIREMENT

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Traditional,

Roth,

Rollover/Transfer,

or

Brokerage

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Business

Plans

help

minimize

taxes,

maximize

savings

T.

Rowe

Price

®

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online

investing

powered

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access

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stocks,

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bonds,

and

more

Gifts

and

transfers

to

a

child

(UGMA/UTMAs)

Trust

Transfer

on

Death

COLLEGE

SAVINGS

T.

Rowe

Price-managed

529

plans

offer

tax-

advantaged

solutions

for

families

saving

money

for

college

tuition

and

education-

related

expenses

Visit

troweprice.com/broadrange

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.

All

mutual

funds

are

subject

to

market

risk,

including

possible

loss

of

principal.

Investing

internationally

involves

special

risks

including

economic

and

political

uncertainty

and

currency

fluctuation.

1

The

T.

Rowe

Price

®

ActivePlus

Portfolios

is

a

discretionary

investment

management

program

provided

by

T.

Rowe

Price

Advisory

Services,

Inc.,

a

registered

investment

adviser

under

the

Investment

Advisers

Act

of

1940.

Brokerage

services

are

provided

by

T.

Rowe

Price

Investment

Services,

Inc.,

member

FINRA/SIPC.

Brokerage

accounts

are

carried

by

Pershing

LLC,

a

BNY

Mellon

Company,

member

NYSE/FINRA/SIPC.

T.

Rowe

Price

Advisory

Services,

Inc.,

and

T.

Rowe

Price

Investment

Services,

Inc.,

are

affiliated

companies.

2

Brokerage

services

are

provided

by

T.

Rowe

Price

Investment

Services,

Inc.,

member

FINRA/SIPC.

Brokerage

accounts

are

carried

by

Pershing

LLC,

a

BNY

Mellon

Company,

member

NYSE/FINRA/SIPC.

202212

-

2401538

F1112-050

12/22

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

Not applicable.

Item 2. Code of Ethics.

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

Item 3. Audit Committee Financial Expert.

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

Item 4. Principal Accountant Fees and Services.

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

	2022		2021
Audit Fees	$	67,864	$	66,094
Audit-Related Fees		-		-
Tax Fees		-		7,096
All Other Fees		-		-

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

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

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

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

(g)  The aggregate fees billed for the most recent fiscal year and the preceding fiscal year by the registrant’s principal accountant for non-audit services rendered to the registrant, its investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant were $2,760,000 and $3,600,000, respectively.

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

Item 5.  Audit Committee of Listed Registrants.

Not applicable.

Item 6.  Investments.

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

(b)  Not applicable.

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

Not applicable.

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

Not applicable.

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

Not applicable.

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

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

Item 11.  Controls and Procedures.

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

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

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

Not applicable.

Item 13.  Exhibits.

(a)(1) The registrant’s code of ethics pursuant to Item 2 of Form N-CSR is attached.

(2) Separate certifications by the registrant’s principal executive officer and principal financial officer, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(a) under the Investment Company Act of 1940, are attached.

(3) Written solicitation to repurchase securities issued by closed-end companies: not applicable.

(b) A certification by the registrant’s principal executive officer and principal financial officer, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(b) under the Investment Company Act of 1940, is attached.

SIGNATURES

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

T. Rowe Price Multi-Strategy Total Return Fund, Inc.

By	/s/ David Oestreicher
	David Oestreicher
	Principal Executive Officer
Date	December 16, 2022

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	December 16, 2022

By	/s/ Alan S. Dupski
	Alan S. Dupski
	Principal Financial Officer
Date	December 16, 2022