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: April 30, 2023
Item 1. Reports to Shareholders
(a) Report pursuant to Rule 30e-1
Market
Commentary
Portfolio
Summary
Fund
Expense
Example
Financial
Highlights
Portfolio
of
Investments
Financial
Statements
and
Notes
Additional
Fund
Information
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
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
Dear
Shareholder
Most
major
global
stock
and
bond
indexes
produced
positive
returns
during
the
first
half
of
your
fund’s
fiscal
year,
the
six-month
period
ended
April
30,
2023,
as
inflation,
though
still
high,
moderated
and
central
bank
rate
hikes
appeared
to
be
nearing
an
end.
The
rebound
in
most
sectors
from
the
steep
losses
incurred
earlier
in
2022
was
also
aided
by
some
better-than-expected
economic
news,
although
concerns
about
a
possible
recession
lingered
throughout
the
period.
For
the
six-month
period,
growth
stocks
were
buoyed
by
falling
interest
rates
and
outperformed
value
shares.
European
equities
outperformed
stocks
in
most
other
regions,
and
emerging
markets
stocks
were
boosted
by
strong
gains
in
Asia,
which
were
supported
by
China’s
decision
at
the
end
of
2022
to
lift
most
of
its
pandemic-related
restrictions.
Returns
to
U.S.
investors
in
international
stocks
were
enhanced
by
a
sharp
decline
in
the
U.S.
dollar
versus
other
major
currencies.
Within
the
S&P
500
Index,
the
communication
services
and
information
technology
sectors
had,
by
far,
the
strongest
returns. On
the
other
hand,
the
energy
sector
finished
in
negative
territory
and
was
the
weakest
segment
amid
falling
oil
prices
and
concerns
about
weaker
global
demand
for
crude.
Cheaper
oil
also
contributed
to
slowing
inflation
during
the
period,
although
it
remained
well
above
the
Federal
Reserve’s
long-term
2%
target.
March’s
consumer
price
index
data
(the
latest
available
in
our
reporting
period)
showed
a
headline
inflation
rate
of
5.0%
on
a
12-month
basis,
the
lowest
level
since
May
2021
and
the
ninth
consecutive
month
in
which
the
annual
inflation
rate
decreased.
In
response
to
the
still-high
inflation
readings,
the
Fed
raised
its
short-term
lending
benchmark
rate
from
around
3.00%
in
October
2022
to
a
target
range
of
4.75%
to
5.00%
by
the
end
of
the
period,
the
highest
since
2007.
Fed
officials
implemented
an
additional
25-basis-point
increase
in
early
May
just
after
our
reporting
period
ended
but
suggested
that
they
might
be
ready
to
pause
additional
rate
hikes
as
they
wait
to
see
how
the
economy
is
progressing.
While
shorter-maturity
U.S.
Treasury
yields
increased
during
the
period
in
response
to
the
Fed
rate
hikes,
intermediate-
and
longer-term
yields
declined
as
investors
predicted
that
the
central
bank
would
eventually
have
to
cut
rates
sooner
than
it
had
planned
as
a
result
of
a
slowing
economy,
and
this
decrease
in
yields
led
to
generally
strong
performance
across
the
fixed
income
market.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
As
we
look
ahead,
prominent
bank
failures
in
the
U.S.
and
Europe
in
March
and
April
have
complicated
an
already
uncertain
market
backdrop.
U.S.
corporate
earnings
in
the
first
quarter
appeared
to
be
headed
for
a
second
straight
quarterly
decline,
and
manufacturing
is
slowing,
although
the
jobs
market
has
so
far
been
resilient.
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.
You
may
notice
that
this
report
no
longer
contains
the
commentary
on
your
fund’s
performance
and
positioning
that
we
previously
included
in
the
semiannual
shareholder
letters.
The
Securities
and
Exchange
Commission adopted
new
rules
in
January
that
will
require
fund
reports
to
transition
to
a
new
format
known
as
a
Tailored
Shareholder
Report.
This
change
will
require
a
much
more
concise
summary
of
performance
rather
than
the
level
of
detail
we
have
provided
historically
while
also
aiming
to
be
more
visually
engaging.
As
we
prepare
to
make
changes
to
the
annual
reports
to
meet
the
new
report
regulatory
requirements
by
mid-2024,
we
felt
the
time
was
right
to
discontinue
the
optional
six-month
semiannual
fund
letter
to
focus
on
the
other
changes
to
come.
While
the
six-month
fund
letter
will
no
longer
be
produced,
you
may
continue
to
access
current
fund
information
as
well
as
insights
and
perspectives
from
our
investment
team
on
our
personal
investing
website.
Thank
you
for
your
continued
confidence
in
T.
Rowe
Price.
Sincerely,
Robert
Sharps
CEO
and
President
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Portfolio
Summary
SECURITY
DIVERSIFICATION
Non-U.S.
U.S.
Percentage
of
Net
Assets
1
Equity
-3.6%
4.1%
2
0.5%
Common
Stocks
13.7
36.4
50.1
Stock
Index
Futures
-19.5
-33.2
-52.7
Other
Equity
2.2
0.8
3.0
Equity
Derivatives
0.0
0.0
0.0
Fixed
Income
27.7%
34.1%
61.8%
Asset
Backed
0.2
5.7
5.9
Bank
Debt
1.8
24.9
26.7
Corporate
Bonds
20.4
33.5
53.8
Fixed
Income
Futures
-38.3
-37.5
-75.8
Government
Bonds
32.7
0.0
32.7
Other
Fixed
Income
11.0
7.5
18.5
Convertibles
0.6%
1.3%
1.9%
Cash/Short-Term
Investments
3
2.7%
33.3%
36.0%
Total
4
27.4%
72.6%
100.0%
1
The
percentage
of
total
net
assets
is
calculated
based
on
the
market
value
of
the
underlying
securities
as
of
April
30,
2023.
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.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
BOND
PORTFOLIO
PROFILE
Periods
Ended
10/31/22
4/30/23
Weighted
Average
Effective
Duration
(years)
1.3
1.1
Weighted
Average
Maturity
(years)
5.3
4.7
Credit
Quality
Diversification*
U.S.
Government
Agencies**
0.0%
0.0%
U.S.
Treasuries***
7.3
0.0
AAA
5.6
4.4
AA
5.1
5.2
A
6.8
4.2
BBB
23.2
31.9
BB
and
Below
48.2
52.3
Not
Rated
3.8
2.0
Total
100.0%
100.0%
*
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.
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.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Note:
Copyright
©
2023
Fitch
Ratings,
Inc.,
Fitch
Ratings
Ltd.
and
its
subsidiaries.
Note:
Copyright
©
2023,
S&P
Global
Market
Intelligence
(and
its
affiliates,
as
applicable).
Reproduction
of
any
information,
data
or
material,
including
ratings
("Content")
in
any
form
is
prohibited
except
with
the
prior
written
permission
of
the
relevant
party. Such
party,
its
affiliates
and
suppliers
("Content
Providers")
do
not
guarantee
the
accuracy,
adequacy,
completeness,
timeliness
or
availability
of
any
Content
and
are
not
responsible
for
any
errors
or
omissions
(negligent
or
otherwise),
regardless
of
the
cause,
or
for
the
results
obtained
from
the
use
of
such
Content.
In
no
event
shall
Content
Providers
be
liable
for
any
damages,
costs,
expenses,
legal
fees,
or
losses
(including
lost
income
or
lost
profit
and
opportunity
costs)
in
connection
with
any
use
of
the
Content.
A
reference
to
a
particular
investment
or
security,
a
rating
or
any
observation
concerning
an
investment
that
is
part
of
the
Content
is
not
a
recommendation
to
buy,
sell
or
hold
such
investment
or
security,
does
not
address
the
appropriateness
of
an
investment
or
security
and
should
not
be
relied
on
as
investment
advice.
Credit
ratings
are
statements
of
opinions
and
are
not
statements
of
fact.
Note:
©
2023,
Moody’s
Corporation,
Moody’s
Investors
Service,
Inc.,
Moody’s
Analytics,
Inc.
and/or
their
licensors
and
affiliates
(collectively,
“Moody’s”).
All
rights
reserved.
Moody’s
ratings
and
other
information
(“Moody’s
Information”)
are
proprietary
to
Moody’s
and/or
its
licensors
and
are
protected
by
copyright
and
other
intellectual
property
laws.
Moody’s
Information
is
licensed
to
Client
by
Moody’s.
MOODY’S
INFORMATION
MAY
NOT
BE
COPIED
OR
OTHERWISE
REPRODUCED,
REPACKAGED,
FURTHER
TRANSMITTED,
TRANSFERRED,
DISSEMINATED,
REDISTRIBUTED
OR
RESOLD,
OR
STORED
FOR
SUBSEQUENT
USE
FOR
ANY
SUCH
PURPOSE,
IN
WHOLE
OR
IN
PART,
IN
ANY
FORM
OR
MANNER
OR
BY
ANY
MEANS
WHATSOEVER,
BY
ANY
PERSON
WITHOUT
MOODY’S
PRIOR
WRITTEN
CONSENT.
Moody's
®
is
a
registered
trademark.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Brazil
Notas
do
Tesouro
Nacional
PORTFOLIO
HIGHLIGHTS
LARGEST
HOLDINGS
Stocks
Percent
of
Net
Assets
4/30/23
Bonds
Percent
of
Net
Assets
4/30/23
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
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.
Note:
T.
Rowe
Price
charges
an
annual
account
service
fee
of
$20,
generally
for
accounts
with
less
than
$10,000.
The
fee
is
waived
for
any
investor
whose
T.
Rowe
Price
mutual
fund
accounts
total
$50,000
or
more;
accounts
electing
to
receive
electronic
delivery
of
account
statements,
transaction
confirmations,
prospectuses,
and
shareholder
reports;
or
accounts
of
an
investor
who
is
a
T.
Rowe
Price
Personal
Services
or
Enhanced
Personal
Services
client
(enrollment
in
these
programs
generally
requires
T.
Rowe
Price
assets
of
at
least
$250,000).
This
fee
is
not
included
in
the
accompanying
table.
If
you
are
subject
to
the
fee,
keep
it
in
mind
when
you
are
estimating
the
ongoing
expenses
of
investing
in
the
fund
and
when
comparing
the
expenses
of
this
fund
with
other
funds.
You
should
also
be
aware
that
the
expenses
shown
in
the
table
highlight
only
your
ongoing
costs
and
do
not
reflect
any
transaction
costs,
such
as
redemption
fees
or
sales
loads.
Therefore,
the
second
line
of
the
table
is
useful
in
comparing
ongoing
costs
only
and
will
not
help
you
determine
the
relative
total
costs
of
owning
different
funds.
To
the
extent
a
fund
charges
transaction
costs,
however,
the
total
cost
of
owning
that
fund
is
higher.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
MULTI-STRATEGY
TOTAL
RETURN
FUND
Beginning
Account
Value
11/1/22
Ending
Account
Value
4/30/23
Expenses
Paid
During
Period*
11/1/22
to
4/30/23
Investor
Class
Actual
$1,000.00
$1,028.50
$5.99
Hypothetical
(assumes
5%
return
before
expenses)
1,000.00
1,018.89
5.96
I
Class
Actual
1,000.00
1,029.00
5.28
Hypothetical
(assumes
5%
return
before
expenses)
1,000.00
1,019.59
5.26
*
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
(181),
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
(Unaudited)
For
a
share
outstanding
throughout
each
period
Investor
Class
6
Months
.
Ended
4/30/23
..
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
$
9
.49
$
10
.70
$
10
.56
$
9
.75
$
9
.70
$
10
.00
Investment
activities
Net
investment
income
(2)(3)
0
.17
0
.15
0
.10
0
.16
0
.26
0
.12
Net
realized
and
unrealized
gain/loss
0
.10
(
1
.07
)
0
.40
0
.92
0
.12
(
0
.42
)
Total
from
investment
activities
0
.27
(
0
.92
)
0
.50
1
.08
0
.38
(
0
.30
)
Distributions
Net
investment
income
(
0
.14
)
(
0
.05
)
(
0
.09
)
(
0
.25
)
(
0
.18
)
—
Net
realized
gain
(
0
.08
)
(
0
.24
)
(
0
.27
)
(
0
.02
)
(
0
.15
)
—
Total
distributions
(
0
.22
)
(
0
.29
)
(
0
.36
)
(
0
.27
)
(
0
.33
)
—
NET
ASSET
VALUE
End
of
period
$
9
.54
$
9
.49
$
10
.70
$
10
.56
$
9
.75
$
9
.70
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Unaudited)
For
a
share
outstanding
throughout
each
period
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Investor
Class
6
Months
.
Ended
4/30/23
..
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)
2
.85
%
(
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
.34
%
(5)
1
.37
%
1
.32
%
1
.56
%
1
.84
%
1
.71
%
(5)
Net
expenses
after
waivers/payments
by
Price
Associates
1
.19
%
(5)
1
.19
%
1
.04
%
1
.05
%
1
.06
%
0
.95
%
(5)
Net
investment
income
3
.58
%
(5)
1
.49
%
0
.96
%
1
.55
%
2
.69
%
1
.86
%
(5)
Portfolio
turnover
rate
57
.6
%
133
.8
%
144
.8
%
99
.5
%
83
.8
%
82
.1
%
Net
assets,
end
of
period
(in
thousands)
$33,361
$42,153
$119,258
$120,127
$57,579
$58,522
0
%
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
(Unaudited)
For
a
share
outstanding
throughout
each
period
I
Class
6
Months
.
Ended
4/30/23
..
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
$
9
.55
$
10
.75
$
10
.59
$
9
.76
$
9
.70
$
10
.00
Investment
activities
Net
investment
income
(2)(3)
0
.17
0
.17
0
.08
0
.17
0
.27
0
.14
Net
realized
and
unrealized
gain/loss
0
.10
(
1
.08
)
0
.44
0
.93
0
.12
(
0
.44
)
Total
from
investment
activities
0
.27
(
0
.91
)
0
.52
1
.10
0
.39
(
0
.30
)
Distributions
Net
investment
income
(
0
.24
)
(
0
.05
)
(
0
.09
)
(
0
.25
)
(
0
.18
)
—
Net
realized
gain
(
0
.08
)
(
0
.24
)
(
0
.27
)
(
0
.02
)
(
0
.15
)
—
Total
distributions
(
0
.32
)
(
0
.29
)
(
0
.36
)
(
0
.27
)
(
0
.33
)
—
NET
ASSET
VALUE
End
of
period
$
9
.50
$
9
.55
$
10
.75
$
10
.59
$
9
.76
$
9
.70
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Unaudited)
For
a
share
outstanding
throughout
each
period
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
I
Class
6
Months
.
Ended
4/30/23
..
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)
2
.90
%
(
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
%
(5)
1
.14
%
1
.12
%
1
.50
%
1
.74
%
1
.70
%
(5)
Net
expenses
after
waivers/payments
by
Price
Associates
1
.05
%
(5)
1
.05
%
1
.01
%
0
.90
%
0
.90
%
0
.90
%
(5)
Net
investment
income
3
.73
%
(5)
1
.77
%
0
.73
%
1
.70
%
2
.83
%
2
.05
%
(5)
Portfolio
turnover
rate
57
.6
%
133
.8
%
144
.8
%
99
.5
%
83
.8
%
82
.1
%
Net
assets,
end
of
period
(in
thousands)
$308,519
$310,096
$334,438
$8,777
$4,308
$9,094
0
%
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
April
30,
2023
(Unaudited)
Par/Shares
$
Value
(
Cost
and
value
in
$000s)
‡
ANGOLA
0.1%
Government
Bonds
0.1%
Republic
of
Angola,
8.00%,
11/26/29
(USD) (1)
545,000
461
Total
Angola
(Cost
$461
)
461
ARGENTINA
0.0%
Common
Stocks
0.0%
MercadoLibre
(USD) (2)
78
100
Total
Argentina
(Cost
$70
)
100
AUSTRALIA
0.3%
Common
Stocks
0.1%
BHP
Group
1,406
42
Goodman
Group
1,270
16
IGO
2,759
25
Newcrest
Mining
821
16
Northern
Star
Resources
3,139
28
Rio
Tinto
333
25
South32
11,746
33
185
Government
Bonds
0.2%
Commonwealth
of
Australia,
Series
162,
1.75%,
6/21/51
1,731,000
744
744
Total
Australia
(Cost
$933
)
929
AUSTRIA
0.3%
Common
Stocks
0.0%
BAWAG
Group
182
9
OMV
354
17
26
Corporate
Bonds
0.3%
Benteler
International,
9.375%,
5/15/28 (3)
285,000
314
Benteler
International,
10.50%,
5/15/28
(USD) (3)
605,000
605
919
Total
Austria
(Cost
$944
)
945
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Par/Shares
$
Value
(Cost
and
value
in
$000s)
BAHAMAS
0.1%
Government
Bonds
0.1%
Commonwealth
of
Bahamas,
6.00%,
11/21/28
(USD) (3)
310,000
240
Total
Bahamas
(Cost
$242
)
240
BRAZIL
1.6%
Common
Stocks
0.0%
NU
Holdings,
Class
A
(USD) (2)
8,215
42
42
Corporate
Bonds
0.5%
Braskem
Netherlands
Finance,
4.50%,
1/31/30
(USD)
260,000
219
Braskem
Netherlands
Finance,
5.875%,
1/31/50
(USD) (3)
200,000
153
Globo
Comunicacao
e
Participacoes,
4.875%,
1/22/30
(USD) (3)
1,180,000
947
Globo
Comunicacao
e
Participacoes,
5.50%,
1/14/32
(USD)
310,000
248
MercadoLibre,
3.125%,
1/14/31
(USD)
200,000
155
1,722
Government
Bonds
1.1%
Brazil
Notas
do
Tesouro
Nacional,
Series
NTNF,
10.00%,
1/1/27
15,681,000
2,983
Brazil
Notas
do
Tesouro
Nacional,
Series
NTNF,
10.00%,
1/1/31
3,083,000
554
Brazil
Notas
do
Tesouro
Nacional,
Series
NTNF,
10.00%,
1/1/33
826,000
145
3,682
Total
Brazil
(Cost
$5,589
)
5,446
CANADA
1.7%
Asset-Backed
Securities
0.1%
Cologix
Canadian
Issuer,
Series
2022-1CAN,
Class
A2,
4.94%,
1/25/52 (3)
305,000
208
208
Bank
Loans
0.1%
(4)
Jones
Deslauriers
Insurance
Management,
FRN,
3M
CAD
CDOR
+
4.25%,
9.293%,
3/27/28 (5)
169,024
122
Xplornet
Communications,
FRN,
1M
USD
LIBOR
+
7.00%,
11.84%,
10/1/29
(USD) (5)
85,000
51
173
Common
Stocks
0.5%
Agnico
Eagle
Mines
(USD)
194
11
Brookfield
(USD)
787
26
Canadian
Natural
Resources
849
52
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Canadian
Pacific
Kansas
City
(USD)
7,973
629
Constellation
Software
17
33
Descartes
Systems
Group
(USD) (2)
193
15
ERO
Copper (2)
1,064
21
First
Quantum
Minerals
1,276
31
Franco-Nevada
233
35
Magna
International
(USD)
435
23
MDA (2)
8,290
41
Nutrien
(USD)
6,676
463
Shopify,
Class
A
(USD) (2)
6,752
327
Suncor
Energy
1,736
54
TC
Energy
(USD)
534
22
Teck
Resources,
Class
B
(USD)
380
18
Whitecap
Resources
1,581
13
1,814
Corporate
Bonds
0.6%
1011778
BC
ULC,
5.75%,
4/15/25
(USD) (1)(3)
1,205,000
1,206
Toronto-Dominion
Bank,
VR,
8.125%,
10/31/82
(USD) (6)
200,000
204
TransCanada
PipeLines,
6.203%,
3/9/26
(USD)
570,000
572
1,982
Government
Bonds
0.4%
Government
of
Canada,
1.75%,
12/1/53
426,000
241
Government
of
Canada,
2.50%,
12/1/32
1,765,000
1,266
1,507
Total
Canada
(Cost
$5,729
)
5,684
CHILE
0.4%
Corporate
Bonds
0.4%
AES
Andes,
VR,
7.125%,
3/26/79
(USD) (6)
310,000
292
Empresa
de
los
Ferrocarriles
del
Estado,
3.068%,
8/18/50
(USD)
300,000
190
Empresa
de
Transporte
de
Pasajeros
Metro,
3.65%,
5/7/30
(USD)
300,000
280
Mercury
Chile
Holdco,
6.50%,
1/24/27
(USD)
310,000
292
VTR
Comunicaciones,
5.125%,
1/15/28
(USD)
310,000
174
Total
Chile
(Cost
$1,374
)
1,228
CHINA
0.8%
Common
Stocks
0.3%
58.com
(USD) (2)(5)
22,100
—
Alibaba
Group
Holding
(HKD) (2)
6,100
65
BeiGene,
ADR
(USD) (2)
72
18
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Beijing
Capital
International
Airport,
Class
H
(HKD) (2)
44,000
34
H
World
Group,
ADR
(USD) (2)
4,194
197
Kanzhun,
ADR
(USD) (2)
6,583
122
KE
Holdings,
ADR
(USD) (2)
2,659
42
Legend
Biotech,
ADR
(USD) (2)
269
18
Li
Ning
(HKD)
3,000
21
Silergy
(TWD)
5,000
79
Tencent
Holdings
(HKD)
9,609
427
Wuxi
Biologics
Cayman
(HKD) (2)
500
3
Zai
Lab,
ADR
(USD) (2)
177
6
1,032
Common
Stocks
-
China
A
Shares
0.1%
Fuyao
Glass
Industry
Group,
A
Shares
(CNH)
5,300
26
Kweichow
Moutai,
A
Shares
(CNH)
100
26
NARI
Technology,
A
Shares
(CNH)
11,628
44
Shenzhen
Inovance
Technology,
A
Shares
(CNH)
2,400
21
117
Convertible
Bonds
0.2%
PDD
Holdings,
Zero
Coupon,
12/1/25
(USD)
325,000
309
Vnet
Group,
Zero
Coupon,
2/1/26
(USD)
530,000
419
728
Corporate
Bonds
0.2%
Country
Garden
Holdings,
3.30%,
1/12/31
(USD)
360,000
141
Kaisa
Group
Holdings,
11.95%,
10/22/22
(USD) (2)(7)
1,515,000
144
Longfor
Group
Holdings,
3.85%,
1/13/32
(USD)
200,000
141
Shimao
Group
Holdings,
3.45%,
1/11/31
(USD) (2)(7)
200,000
25
Times
China
Holdings,
6.75%,
7/8/25
(USD) (2)(7)
200,000
26
Zhongsheng
Group
Holdings,
3.00%,
1/13/26
(USD)
310,000
286
763
Total
China
(Cost
$3,122
)
2,640
COLOMBIA
1.2%
Corporate
Bonds
0.5%
Aris
Mining,
6.875%,
8/9/26
(USD) (3)
640,000
508
Banco
de
Bogota,
6.25%,
5/12/26
(USD)
310,000
301
Bancolombia,
VR,
6.909%,
10/18/27
(USD) (6)
250,000
234
Ecopetrol,
6.875%,
4/29/30
(USD)
300,000
271
Geopark,
5.50%,
1/17/27
(USD)
300,000
250
1,564
Government
Bonds
0.7%
Republic
of
Colombia,
3.875%,
4/25/27
(USD)
300,000
271
Republic
of
Colombia,
4.50%,
1/28/26
(USD)
200,000
191
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Republic
of
Colombia,
Series
B,
7.00%,
3/26/31
3,590,000,000
586
Republic
of
Colombia,
Series
B,
13.25%,
2/9/33
6,365,800,000
1,445
2,493
Private
Investment
Company
0.0%
Bona
Fide
Investments
Feeder
LLC,
Acquisition
date:
6/1/22,
Cost $15
(USD) (2)(8)
†
16
16
Total
Colombia
(Cost
$4,246
)
4,073
COSTA
RICA
0.2%
Corporate
Bonds
0.2%
Liberty
Costa
Rica
Senior
Secured
Finance,
10.875%,
1/15/31
(USD) (3)
585,000
567
Total
Costa
Rica
(Cost
$585
)
567
CYPRUS
0.0%
Government
Bonds
0.0%
Republic
of
Cyprus,
2.75%,
5/3/49
210,000
184
Total
Cyprus
(Cost
$165
)
184
CZECH
REPUBLIC
0.3%
Government
Bonds
0.3%
Czech
Republic
Government
Bond,
Series
94,
0.95%,
5/15/30
7,700,000
282
Czech
Republic
Government
Bond,
Series
130,
0.05%,
11/29/29
8,200,000
284
Czech
Republic
Government
Bond,
Series
138,
1.75%,
6/23/32
16,000,000
599
Total
Czech
Republic
(Cost
$1,117
)
1,165
DENMARK
0.1%
Common
Stocks
0.0%
Ascendis
Pharma,
ADR
(USD) (2)
1,362
95
Genmab (2)
38
16
Novo
Nordisk,
ADR
(USD)
79
13
124
Corporate
Bonds
0.1%
Danske
Bank,
VR,
1.226%,
6/22/24
(USD) (3)(6)
225,000
223
223
Total
Denmark
(Cost
$372
)
347
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Par/Shares
$
Value
(Cost
and
value
in
$000s)
DOMINICAN
REPUBLIC
0.2%
Government
Bonds
0.2%
Dominican
Republic,
5.95%,
1/25/27
(USD)
310,000
308
Dominican
Republic,
6.00%,
7/19/28
(USD)
230,000
228
Total
Dominican
Republic
(Cost
$543
)
536
ECUADOR
0.2%
Government
Bonds
0.2%
Republic
of
Ecuador,
STEP,
5.50%,
7/31/30
(USD) (3)
560,000
298
Republic
of
Ecuador,
STEP,
5.50%,
7/31/30
(USD)
660,000
352
Total
Ecuador
(Cost
$604
)
650
FINLAND
0.0%
Common
Stocks
0.0%
Kojamo
734
9
UPM-Kymmene
672
22
Total
Finland
(Cost
$33
)
31
FRANCE
0.5%
Common
Stocks
0.4%
Airbus
5,379
753
Alstom
1,640
41
AXA
850
28
Eurofins
Scientific
420
29
Hermes
International
29
63
LVMH
Moet
Hennessy
Louis
Vuitton
156
150
Pernod
Ricard
265
61
Safran
464
72
Schneider
Electric
493
86
SPIE
1,008
32
TotalEnergies
1,725
110
Verallia
332
14
1,439
Convertible
Preferred
Stocks
0.0%
DNA
Script,
Series
C,
Acquisition
Date:
12/16/21,
Cost $7 (2)
(5)(8)
8
6
6
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Corporate
Bonds
0.1%
Altice
France
Holding,
4.00%,
2/15/28
100,000
66
Societe
Generale,
VR,
8.00%
(USD) (6)(9)
200,000
187
253
Total
France
(Cost
$1,378
)
1,698
GEORGIA
0.1%
Corporate
Bonds
0.1%
Georgian
Railway,
4.00%,
6/17/28
(USD)
310,000
267
Total
Georgia
(Cost
$274
)
267
GERMANY
1.3%
Common
Stocks
0.2%
Covestro (2)
388
17
Daimler
Truck
Holding (2)
1,465
48
Infineon
Technologies
4,153
151
SAP
3,301
447
Siemens
797
131
Zalando (2)
332
14
808
Corporate
Bonds
0.1%
TK
Elevator
Holdco,
7.625%,
7/15/28
(USD) (1)(3)
400,000
352
352
Government
Bonds
0.8%
Deutsche
Bundesrepublik,
Inflation-Indexed,
0.10%,
4/15/26
2,457,269
2,703
2,703
Preferred
Stocks
0.2%
Dr.
Ing.
h.c.
F.
Porsche (2)
162
20
Sartorius (1)
1,573
612
Volkswagen
235
32
664
Total
Germany
(Cost
$4,610
)
4,527
GHANA
0.2%
Corporate
Bonds
0.2%
Kosmos
Energy,
7.125%,
4/4/26
(USD)
655,000
586
Total
Ghana
(Cost
$609
)
586
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Par/Shares
$
Value
(Cost
and
value
in
$000s)
GUATEMALA
0.2%
Government
Bonds
0.2%
Republic
of
Guatemala,
4.875%,
2/13/28
(USD)
300,000
293
Republic
of
Guatemala,
4.90%,
6/1/30
(USD)
300,000
287
Total
Guatemala
(Cost
$601
)
580
HONG
KONG
0.3%
Common
Stocks
0.3%
AIA
Group
53,400
581
Samsonite
International (2)
6,900
22
Techtronic
Industries
26,500
287
Total
Hong
Kong
(Cost
$776
)
890
HUNGARY
0.7%
Common
Stocks
0.0%
OTP
Bank
5,509
168
Wizz
Air
Holdings
(GBP) (2)
67
2
170
Government
Bonds
0.7%
Magyar
Export-Import
Bank,
6.125%,
12/4/27
(USD) (3)
420,000
424
Republic
of
Hungary,
6.125%,
5/22/28
(USD) (3)
270,000
280
Republic
of
Hungary,
Series
27/A,
3.00%,
10/27/27
128,000,000
296
Republic
of
Hungary,
Series
28/B,
4.50%,
3/23/28
131,000,000
324
Republic
of
Hungary,
Series
32/A,
4.75%,
11/24/32
314,290,000
744
Republic
of
Hungary,
Series
33/A,
2.25%,
4/20/33
169,080,000
319
2,387
Total
Hungary
(Cost
$2,429
)
2,557
INDIA
0.8%
Common
Stocks
0.2%
HDFC
Bank
19,277
399
ICICI
Bank
34,608
391
Larsen
&
Toubro
1,394
40
Voltas
1,969
19
849
Corporate
Bonds
0.3%
Adani
International
Container
Terminal,
3.00%,
2/16/31
(USD)
283,650
216
Adani
Renewable
Energy
RJ,
4.625%,
10/15/39
(USD)
267,000
191
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Par/Shares
$
Value
(Cost
and
value
in
$000s)
HDFC
Bank,
VR,
3.70%
(USD) (6)(9)
310,000
268
REC,
2.25%,
9/1/26
(USD)
300,000
272
947
Government
Bonds
0.3%
Export-Import
Bank
of
India,
2.25%,
1/13/31
(USD) (1)
300,000
246
Export-Import
Bank
of
India,
3.875%,
2/1/28
(USD)
300,000
286
Republic
of
India,
6.45%,
10/7/29
32,000,000
378
910
Total
India
(Cost
$2,797
)
2,706
INDONESIA
0.6%
Corporate
Bonds
0.5%
Bank
Mandiri
Persero,
5.50%,
4/4/26
(USD)
300,000
304
Bank
Negara
Indonesia
Persero,
VR,
4.30%
(USD) (6)(9)
620,000
512
Cikarang
Listrindo,
4.95%,
9/14/26
(USD)
300,000
282
Minejesa
Capital,
4.625%,
8/10/30
(USD)
300,000
265
Pakuwon
Jati,
4.875%,
4/29/28
(USD) (1)
300,000
264
1,627
Government
Bonds
0.1%
Republic
of
Indonesia,
Series
FR82,
7.00%,
9/15/30
5,680,000,000
398
398
Total
Indonesia
(Cost
$1,983
)
2,025
IRELAND
0.2%
Corporate
Bonds
0.2%
AerCap
Ireland
Capital,
3.00%,
10/29/28
(USD)
150,000
131
AerCap
Ireland
Capital,
3.30%,
1/30/32
(USD)
310,000
254
AerCap
Ireland
Capital,
FRN,
SOFR
+
0.68%,
5.52%,
9/29/23
(USD)
150,000
150
Total
Ireland
(Cost
$597
)
535
ISRAEL
0.9%
Corporate
Bonds
0.5%
Bank
Hapoalim,
VR,
3.255%,
1/21/32
(USD) (3)(6)
300,000
251
Bank
Leumi
Le-Israel,
VR,
3.275%,
1/29/31
(USD) (3)(6)
325,000
283
Energean
Israel
Finance,
4.875%,
3/30/26
(USD) (3)
280,000
258
Teva
Pharmaceutical
Finance
Netherlands
II,
7.375%,
9/15/29
(EUR)
185,000
207
Teva
Pharmaceutical
Finance
Netherlands
II,
7.875%,
9/15/31
(EUR)
100,000
113
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Teva
Pharmaceutical
Finance
Netherlands
III,
7.875%,
9/15/29
(USD)
200,000
209
Teva
Pharmaceutical
Finance
Netherlands
III,
8.125%,
9/15/31
(USD) (1)
200,000
210
1,531
Government
Bonds
0.4%
State
of
Israel,
Series
0347,
3.75%,
3/31/47
4,924,000
1,253
State
of
Israel,
Series
1152,
2.80%,
11/29/52
1,150,000
236
1,489
Total
Israel
(Cost
$3,403
)
3,020
ITALY
0.5%
Common
Stocks
0.3%
Davide
Campari-Milano
3,759
48
Ferrari
(USD)
2,331
650
GVS (2)
2,465
17
PRADA
(HKD)
59,600
439
1,154
Corporate
Bonds
0.2%
Enel
Finance
International,
7.75%,
10/14/52
(USD) (3)
200,000
233
Intesa
Sanpaolo,
VR,
4.198%,
6/1/32
(USD) (3)(6)
400,000
303
536
Government
Bonds
0.0%
Italy
Buoni
Poliennali
Del
Tesoro,
Series
8Y,
4.00%,
10/30/31 (3)
136,000
150
150
Total
Italy
(Cost
$1,500
)
1,840
IVORY
COAST
0.2%
Government
Bonds
0.2%
Republic
of
Ivory
Coast,
5.875%,
10/17/31
(EUR)
560,000
504
Republic
of
Ivory
Coast,
6.375%,
3/3/28
(USD) (1)
310,000
297
Total
Ivory
Coast
(Cost
$811
)
801
JAPAN
0.8%
Common
Stocks
0.8%
Asics
1,100
31
Daiichi
Sankyo
35,800
1,229
Daikin
Industries
400
73
Food
&
Life
900
22
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Harmonic
Drive
Systems
10,600
324
Hoshizaki
1,800
63
Industrial
&
Infrastructure
Fund
Investment
3
3
Keyence
1,100
496
Mitsubishi
UFJ
Financial
Group
33,900
212
Mitsui
Fudosan
900
18
Miura
1,900
51
Nippon
Sanso
Holdings
2,800
51
Recruit
Holdings
500
14
Seven
&
i
Holdings
800
36
Sony
Group
600
54
Suzuki
Motor
900
31
Total
Japan
(Cost
$2,265
)
2,708
JORDAN
0.2%
Government
Bonds
0.2%
Kingdom
of
Jordan,
5.85%,
7/7/30
(USD)
300,000
270
Kingdom
of
Jordan,
7.50%,
1/13/29
(USD) (1)(3)
400,000
404
Total
Jordan
(Cost
$672
)
674
KAZAKHSTAN
0.2%
Common
Stocks
0.0%
NAC
Kazatomprom,
GDR
(USD)
601
17
17
Corporate
Bonds
0.2%
KazMunayGas
National,
5.375%,
4/24/30
(USD)
310,000
285
Tengizchevroil
Finance
International,
3.25%,
8/15/30
(USD)
300,000
227
512
Total
Kazakhstan
(Cost
$574
)
529
LUXEMBOURG
0.2%
Bank
Loans
0.2%
(4)
Intelsat
Jackson
Holdings,
FRN,
6M
TSFR
+
4.25%,
9.443%,
2/1/29
(USD) (10)
595,990
588
Total
Luxembourg
(Cost
$588
)
588
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Par/Shares
$
Value
(Cost
and
value
in
$000s)
MALAYSIA
0.1%
Government
Bonds
0.1%
Government
of
Malaysia,
Series
0518,
4.921%,
7/6/48
1,280,000
319
Total
Malaysia
(Cost
$312
)
319
MAURITIUS
0.1%
Corporate
Bonds
0.1%
Axian
Telecom,
7.375%,
2/16/27
(USD) (3)
230,000
210
Axian
Telecom,
7.375%,
2/16/27
(USD)
310,000
282
Total
Mauritius
(Cost
$536
)
492
MEXICO
3.4%
Common
Stocks
0.0%
Grupo
Mexico,
Series
B
2,962
14
14
Corporate
Bonds
1.1%
Axtel,
6.375%,
11/14/24
(USD) (3)
450,000
394
Banco
Mercantil
del
Norte,
VR,
6.75%
(USD) (6)(9)
310,000
297
Banco
Nacional
de
Comercio
Exterior
SNC,
VR,
2.72%,
8/11/31
(USD) (6)
300,000
255
BBVA
Bancomer,
VR,
5.125%,
1/18/33
(USD) (6)
310,000
274
Comision
Federal
de
Electricidad,
4.75%,
2/23/27
(USD) (1)
240,000
231
Electricidad
Firme
de
Mexico
Holdings,
4.90%,
11/20/26
(USD)
300,000
264
Mexico
City
Airport
Trust,
4.25%,
10/31/26
(USD)
290,000
279
Petroleos
Mexicanos,
5.35%,
2/12/28
(USD)
310,000
258
Petroleos
Mexicanos,
6.49%,
1/23/27
(USD)
250,000
224
Petroleos
Mexicanos,
6.50%,
1/23/29
(USD) (1)
715,000
606
Petroleos
Mexicanos,
6.70%,
2/16/32
(USD)
835,000
644
3,726
Government
Bonds
2.3%
United
Mexican
States,
4.50%,
4/22/29
(USD)
280,000
277
United
Mexican
States,
6.35%,
2/9/35
(USD)
200,000
215
United
Mexican
States,
Series
M,
5.75%,
3/5/26
18,070,000
911
United
Mexican
States,
Series
M,
7.50%,
6/3/27
71,770,000
3,778
United
Mexican
States,
Series
M,
7.50%,
5/26/33
16,900,000
858
United
Mexican
States,
Series
M,
7.75%,
5/29/31
14,210,000
742
United
Mexican
States,
Series
M,
8.00%,
11/7/47
5,560,000
275
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Par/Shares
$
Value
(Cost
and
value
in
$000s)
United
Mexican
States,
Series
M,
8.50%,
5/31/29
17,916,000
982
8,038
Total
Mexico
(Cost
$11,541
)
11,778
MOROCCO
0.2%
Corporate
Bonds
0.1%
Vivo
Energy
Investments,
5.125%,
9/24/27
(USD)
310,000
282
282
Government
Bonds
0.1%
Kingdom
of
Morocco,
5.95%,
3/8/28
(USD) (3)
270,000
277
Kingdom
of
Morocco,
6.50%,
9/8/33
(USD) (3)
240,000
250
527
Total
Morocco
(Cost
$811
)
809
NETHERLANDS
0.4%
Common
Stocks
0.4%
Adyen (2)
195
313
Akzo
Nobel
305
25
Argenx,
ADR
(USD) (2)
132
51
ASM
International
175
64
ASML
Holding
1,120
711
ASML
Holding
(USD)
54
34
Heineken (1)
355
41
ING
Groep
804
10
TKH
Group,
CVA
735
36
Universal
Music
Group
539
12
Total
Netherlands
(Cost
$1,061
)
1,297
NEW
ZEALAND
0.3%
Government
Bonds
0.3%
Government
of
New
Zealand,
Series
0551,
2.75%,
5/15/51
2,036,000
955
Total
New
Zealand
(Cost
$1,130
)
955
NORTH
MACEDONIA
0.0%
Government
Bonds
0.0%
Republic
of
North
Macedonia,
2.75%,
1/18/25
(EUR)
140,000
146
Total
North
Macedonia
(Cost
$142
)
146
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Par/Shares
$
Value
(Cost
and
value
in
$000s)
NORWAY
0.0%
Common
Stocks
0.0%
Bakkafrost
414
30
Equinor
2,279
66
Norsk
Hydro
2,805
21
TGS
1,051
16
Total
Norway
(Cost
$123
)
133
OMAN
0.3%
Corporate
Bonds
0.2%
OmGrid
Funding,
5.196%,
5/16/27
(USD)
300,000
292
Oryx
Funding,
5.80%,
2/3/31
(USD)
300,000
292
584
Government
Bonds
0.1%
Sultanate
of
Oman,
4.75%,
6/15/26
(USD)
320,000
314
314
Total
Oman
(Cost
$911
)
898
PANAMA
0.3%
Corporate
Bonds
0.2%
Banco
General,
VR,
5.25%
(USD) (6)(9)
300,000
255
Banco
Nacional
de
Panama,
2.50%,
8/11/30
(USD)
310,000
247
502
Government
Bonds
0.1%
Republic
of
Panama,
3.16%,
1/23/30
(USD)
250,000
222
Republic
of
Panama,
6.40%,
2/14/35
(USD)
200,000
212
434
Total
Panama
(Cost
$985
)
936
PARAGUAY
0.1%
Government
Bonds
0.1%
Republic
of
Paraguay,
2.739%,
1/29/33
(USD)
370,000
300
Total
Paraguay
(Cost
$306
)
300
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Par/Shares
$
Value
(Cost
and
value
in
$000s)
PERU
0.6%
Common
Stocks
0.0%
Southern
Copper
(USD)
613
47
47
Corporate
Bonds
0.2%
Banco
de
Credito
del
Peru,
VR,
3.125%,
7/1/30
(USD) (6)
310,000
284
Consorcio
Transmantaro,
5.20%,
4/11/38
(USD) (3)
200,000
185
InRetail
Consumer,
3.25%,
3/22/28
(USD)
300,000
258
727
Government
Bonds
0.4%
Fondo
MIVIVIENDA,
4.625%,
4/12/27
(USD)
300,000
289
Republic
of
Peru,
5.94%,
2/12/29
1,250,000
319
Republic
of
Peru,
6.15%,
8/12/32
1,150,000
284
Republic
of
Peru,
6.95%,
8/12/31
1,200,000
316
1,208
Total
Peru
(Cost
$1,928
)
1,982
PHILIPPINES
0.1%
Government
Bonds
0.1%
Republic
of
Philippines,
6.25%,
1/14/36
23,000,000
407
Total
Philippines
(Cost
$542
)
407
PORTUGAL
0.0%
Common
Stocks
0.0%
Galp
Energia
3,131
38
Jeronimo
Martins
1,177
29
Total
Portugal
(Cost
$57
)
67
ROMANIA
0.4%
Government
Bonds
0.4%
Republic
of
Romania,
2.125%,
3/7/28
(EUR)
220,000
209
Republic
of
Romania,
3.00%,
2/27/27
(USD)
260,000
238
Republic
of
Romania,
Series
10Y,
5.00%,
2/12/29
4,500,000
904
Total
Romania
(Cost
$1,651
)
1,351
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Par/Shares
$
Value
(Cost
and
value
in
$000s)
SAUDI
ARABIA
0.1%
Corporate
Bonds
0.1%
Riyad
Sukuk,
VR,
3.174%,
2/25/30
(USD) (6)
200,000
190
TMS
Issuer,
5.78%,
8/23/32
(USD) (3)
200,000
211
Total
Saudi
Arabia
(Cost
$404
)
401
SENEGAL
0.1%
Government
Bonds
0.1%
Republic
of
Senegal,
6.25%,
5/23/33
(USD) (1)
310,000
244
Total
Senegal
(Cost
$290
)
244
SERBIA
0.3%
Government
Bonds
0.3%
Republic
of
Serbia,
2.125%,
12/1/30
(USD) (1)
310,000
243
Republic
of
Serbia,
Series
12.5,
4.50%,
8/20/32
100,000,000
809
Total
Serbia
(Cost
$1,351
)
1,052
SINGAPORE
0.1%
Common
Stocks
0.0%
Sea,
ADR
(USD) (2)
178
13
13
Corporate
Bonds
0.1%
DBS
Group
Holdings,
VR,
3.30%
(USD) (1)(6)(9)
290,000
273
273
Total
Singapore
(Cost
$281
)
286
SOUTH
AFRICA
1.0%
Corporate
Bonds
0.0%
Transnet,
8.25%,
2/6/28
(USD) (1)(3)
200,000
199
199
Government
Bonds
1.0%
Republic
of
South
Africa,
Series
R186,
10.50%,
12/21/26
26,400,000
1,517
Republic
of
South
Africa,
Series
R213,
7.00%,
2/28/31
18,350,000
814
Republic
of
South
Africa,
Series
2030,
8.00%,
1/31/30
9,880,000
484
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Republic
of
South
Africa,
Series
2048,
8.75%,
2/28/48
13,199,000
543
3,358
Total
South
Africa
(Cost
$4,006
)
3,557
SOUTH
KOREA
0.1%
Common
Stocks
0.0%
Hyundai
Mobis
211
35
Samsung
Electronics
3,010
148
183
Corporate
Bonds
0.1%
SK
Hynix,
6.375%,
1/17/28
(USD) (3)
200,000
201
201
Total
South
Korea
(Cost
$380
)
384
SPAIN
0.2%
Common
Stocks
0.2%
Amadeus
IT
Group,
Class
A (2)
11,187
786
Cellnex
Telecom
191
8
Total
Spain
(Cost
$650
)
794
SRI
LANKA
0.2%
Government
Bonds
0.2%
Republic
of
Sri
Lanka,
6.825%,
7/18/26
(USD) (2)(7)
310,000
111
Republic
of
Sri
Lanka,
6.85%,
11/3/25
(USD) (2)(7)
560,000
200
Republic
of
Sri
Lanka
Treasury
Bills,
Series
91,
23.307%,
7/7/23
96,000,000
286
Total
Sri
Lanka
(Cost
$655
)
597
SURINAME
0.2%
Government
Bonds
0.2%
Republic
of
Suriname,
9.25%,
10/26/26
(USD) (2)(7)
1,200,000
862
Total
Suriname
(Cost
$883
)
862
SWEDEN
0.4%
Bank
Loans
0.2%
(4)
Anticimex
Global,
FRN,
3M
USD
LIBOR
+
3.50%,
8.453%,
11/16/28
(USD)
592,500
585
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Anticimex
Global,
FRN,
3M
USD
LIBOR
+
4.00%,
8.953%,
11/16/28
(USD) (5)
98,750
98
683
Common
Stocks
0.1%
Boliden (1)
776
28
Epiroc,
Class
B
1,085
19
Sandvik (1)
1,112
22
Spotify
Technology
(USD) (2)
232
31
Svenska
Cellulosa,
Class
B
22,679
311
411
Corporate
Bonds
0.1%
Castellum,
2.125%,
11/20/23
(EUR) (1)
200,000
215
215
Total
Sweden
(Cost
$1,309
)
1,309
SWITZERLAND
0.1%
Common
Stocks
0.1%
Cie
Financiere
Richemont,
Class
A
1,137
188
Julius
Baer
Group
588
42
Montana
Aerospace (2)
969
17
Nestle
981
126
On
Holding,
Class
A
(USD) (1)(2)
582
19
Roche
Holding
77
24
Total
Switzerland
(Cost
$383
)
416
TAIWAN
0.2%
Common
Stocks
0.2%
Taiwan
Semiconductor
Manufacturing
50,000
819
Total
Taiwan
(Cost
$907
)
819
THAILAND
0.6%
Corporate
Bonds
0.2%
Bangkok
Bank,
VR,
3.733%,
9/25/34
(USD) (6)
310,000
266
Indorama
Ventures
Global
Services,
4.375%,
9/12/24
(USD)
300,000
291
Thaioil
Treasury
Center,
3.50%,
10/17/49
(USD) (1)
310,000
200
757
Government
Bonds
0.4%
Kingdom
of
Thailand,
3.60%,
6/17/67
10,500,000
308
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Kingdom
of
Thailand,
Series
ILB,
Inflation-Indexed,
1.25%,
3/12/28
31,641,960
893
1,201
Total
Thailand
(Cost
$2,160
)
1,958
UNITED
ARAB
EMIRATES
0.1%
Corporate
Bonds
0.1%
DAE
Sukuk
Difc,
3.75%,
2/15/26
(USD)
300,000
290
Total
United
Arab
Emirates
(Cost
$293
)
290
UNITED
KINGDOM
3.1%
Bank
Loans
0.2%
(4)
Motion
Finco,
FRN,
3M
USD
LIBOR
+
3.25%,
8.409%,
11/12/26
(USD)
738,820
727
727
Common
Stocks
0.6%
Anglo
American
471
15
Ashtead
Group
3,547
204
AstraZeneca,
ADR
(USD)
1,342
98
BP,
ADR
(USD)
1,420
57
Compass
Group
2,158
57
Derwent
London
10,294
311
Direct
Line
Insurance
Group
795
2
Farfetch,
Class
A
(USD) (1)(2)
976
4
London
Stock
Exchange
Group
9,999
1,050
Next
201
17
Novocure
(USD) (2)
321
21
Rentokil
Initial
4,585
36
Shell
2,303
71
Trainline (2)
9,533
30
Unilever
(EUR)
1,044
58
UNITE
Group
929
11
Wise,
Class
A (2)
4,624
32
2,074
Corporate
Bonds
0.4%
Barclays,
VR,
8.875% (6)(9)
400,000
459
Clear
Channel
International,
6.625%,
8/1/25
(USD) (1)(3)
400,000
393
Rolls-Royce,
3.625%,
10/14/25
(USD) (3)
700,000
659
1,511
Government
Bonds
1.9%
United
Kingdom
Gilt,
1.625%,
10/22/28
1,790,000
2,029
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Par/Shares
$
Value
(Cost
and
value
in
$000s)
United
Kingdom
Inflation-Linked
Gilt,
Series
3MO,
0.125%,
3/22/24
3,506,372
4,383
6,412
Total
United
Kingdom
(Cost
$10,311
)
10,724
UNITED
STATES
39.6%
Asset-Backed
Securities
2.2%
Amur
Equipment
Finance
Receivables
X,
Series
2022-1A,
Class
E,
5.02%,
12/20/28 (3)
465,000
414
Applebee's
Funding,
Series
2023-1A,
Class
A2,
7.824%,
3/5/53 (3)
465,000
465
Blackbird
Capital
Aircraft
Lease
Securitization,
Series
2016-1A,
Class
A,
STEP,
4.213%,
12/16/41 (3)
399,777
367
Carmax
Auto
Owner
Trust,
Series
2019-3,
Class
D,
2.85%,
1/15/26
705,000
696
CarMax
Auto
Owner
Trust,
Series
2023-1,
Class
A2A,
5.23%,
1/15/26
65,000
65
Carvana
Auto
Receivables
Trust,
Series
2021-N3,
Class
C,
1.02%,
6/12/28
45,554
43
DLLAD,
Series
2023-1A,
Class
A2,
5.19%,
4/20/26 (3)
80,000
80
Elara
HGV
Timeshare
Issuer,
Series
2019-A,
Class
C,
3.45%,
1/25/34 (3)
56,297
52
Exeter
Automobile
Receivables
Trust,
Series
2022-2A,
Class
D,
4.56%,
7/17/28
340,000
326
ExteNet,
Series
2019-1A,
Class
B,
4.14%,
7/26/49 (3)
260,000
248
FOCUS
Brands
Funding,
Series
2018-1,
Class
A2,
5.184%,
10/30/48 (3)
754,450
714
FOCUS
Brands
Funding,
Series
2022-1,
Class
A2,
7.206%,
7/30/52 (3)
248,125
248
Ford
Credit
Auto
Lease
Trust,
Series
2023-A,
Class
A2A,
5.19%,
6/15/25
120,000
120
Hardee's
Funding,
Series
2021-1A,
Class
A2,
2.865%,
6/20/51 (3)
265,275
215
HPS
Loan
Management,
Series
11A-17,
Class
CR,
CLO,
FRN,
3M
USD
LIBOR
+
1.95%,
6.756%,
5/6/30 (3)
335,000
315
JPMorgan
Chase
Bank,
Series
2021-1,
Class
D,
1.174%,
9/25/28 (3)
67,429
65
JPMorgan
Chase
Bank,
Series
2021-3,
Class
D,
1.009%,
2/26/29 (3)
109,341
103
JPMorgan
Chase
Bank,
Series
2021-3,
Class
E,
2.102%,
2/26/29 (3)
222,731
209
Mercedes-Benz
Auto
Receivables
Trust,
Series
2023-1,
Class
A2,
5.09%,
1/15/26
125,000
125
Nissan
Auto
Lease
Trust,
Series
2023-A,
Class
A2A,
5.10%,
3/17/25
125,000
125
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Octane
Receivables
Trust,
Series
2021-1A,
Class
A,
0.93%,
3/22/27 (3)
64,566
63
Octane
Receivables
Trust,
Series
2021-2A,
Class
A,
1.21%,
9/20/28 (3)
44,015
42
Octane
Receivables
Trust,
Series
2021-2A,
Class
C,
2.53%,
5/21/29 (3)
320,000
283
Octane
Receivables
Trust,
Series
2023-1A,
Class
A,
5.87%,
5/21/29 (3)
91,918
92
Octane
Receivables
Trust,
Series
2023-1A,
Class
D,
7.76%,
3/20/30 (3)
300,000
305
Octane
Receivables
Trust,
Series
2023-1A,
Class
E,
9.25%,
8/20/30 (3)
295,000
276
Progress
Residential
Trust,
Series
2020-SFR2,
Class
B,
2.578%,
6/17/37 (3)
260,000
244
Progress
Residential
Trust,
Series
2020-SFR3,
Class
F,
2.796%,
10/17/27 (3)
140,000
126
Progress
Residential
Trust,
Series
2022-SFR5,
Class
D,
5.734%,
6/17/39 (3)
100,000
96
Santander
Bank
Auto
Credit-Linked
Notes,
Series
2022-A,
Class
B,
5.281%,
5/15/32 (3)
381,723
373
Santander
Bank
Auto
Credit-Linked
Notes,
Series
2022-B,
Class
D,
6.793%,
8/16/32 (3)
337,931
335
Santander
Bank
Auto
Credit-Linked
Notes,
Series
2022-C,
Class
D,
8.197%,
12/15/32 (3)
207,640
207
Stonepeak,
Series
2021-1A,
Class
B,
3.821%,
2/28/33 (3)
293,175
252
7,689
Bank
Loans
8.9%
(4)
Applied
Systems,
FRN,
1M
TSFR
+
4.50%,
9.398%,
9/18/26
1,300,000
1,301
Aramark
Services,
FRN,
1M
USD
LIBOR
+
1.75%,
3/11/25 (10)
1,500,000
1,493
Aretec
Group,
FRN,
1M
TSFR
+
4.25%,
9.332%,
10/1/25
88,612
88
Asurion,
FRN,
1M
TSFR
+
4.25%,
9.332%,
8/19/28
333,372
309
Asurion,
FRN,
1M
USD
LIBOR
+
3.00%,
8.025%,
11/3/24
635,339
634
Asurion,
FRN,
1M
USD
LIBOR
+
5.25%,
10.275%,
1/31/28
101,879
85
Asurion,
FRN,
1M
USD
LIBOR
+
5.25%,
10.275%,
1/20/29
700,000
578
Centurion
Pipeline,
FRN,
3M
USD
LIBOR
+
3.25%,
9/29/25 (10)
400,000
400
Charter
Communications
Operating,
FRN,
1M
USD
LIBOR
+
1.75%,
6.795%,
4/30/25
997,368
995
Charter
Next
Generation,
FRN,
1M
TSFR
+
3.75%,
8.847%,
12/1/27
602,836
594
CNT
Holdings
I,
FRN,
1M
TSFR
+
3.50%,
8.459%,
11/8/27
589,474
583
ConnectWise,
FRN,
3M
USD
LIBOR
+
3.50%,
8.525%,
9/29/28
592,500
574
Delta
Topco,
FRN,
3M
USD
LIBOR
+
7.25%,
12.156%,
12/1/28
310,000
280
Diamond,
FRN,
3M
USD
LIBOR
+
2.75%,
8.056%,
9/29/28
1,111,985
1,110
Edelman
Financial
Engines
Center,
FRN,
1M
USD
LIBOR
+
6.75%,
11.775%,
7/20/26
805,000
750
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Engineered
Machinery
Holdings,
FRN,
3M
USD
LIBOR
+
6.00%,
11.159%,
5/21/29
465,000
423
Engineered
Machinery
Holdings,
FRN,
3M
USD
LIBOR
+
6.50%,
11.659%,
5/21/29
145,000
132
Epicor
Software,
FRN,
1M
USD
LIBOR
+
7.75%,
12.832%,
7/31/28
605,000
601
Fertitta
Entertainment,
FRN,
1M
TSFR
+
4.00%,
8.982%,
1/27/29
495,000
481
Filtration
Group,
FRN,
3M
USD
LIBOR
+
3.00%,
3/31/25 (10)
500,000
499
Fleet
U.S.
Bidco,
FRN,
1M
USD
LIBOR
+
3.00%,
8.025%,
10/7/26 (5)
86,669
86
Heartland
Dental,
FRN,
3M
USD
LIBOR
+
3.75%,
8.775%,
4/30/25
981,974
950
HUB
International,
FRN,
1M
USD
LIBOR
+
3.25%,
8.511%,
4/25/25
797,959
796
Infinite
Bidco,
FRN,
3M
USD
LIBOR
+
3.25%,
8.409%,
3/2/28
393,015
376
Infinite
Bidco,
FRN,
3M
USD
LIBOR
+
7.00%,
12.159%,
3/2/29
400,000
338
IRB
Holding,
FRN,
1M
TSFR
+
3.00%,
8.082%,
12/15/27
529,829
521
Life
Time,
FRN,
3M
USD
LIBOR
+
4.75%,
9.775%,
12/16/24 (10)
1,600,000
1,598
MH
Sub
I,
FRN,
1M
USD
LIBOR
+
3.75%,
8.775%,
9/13/24
611,767
608
MH
Sub
I,
FRN,
3M
USD
LIBOR
+
3.75%,
8.775%,
9/13/24
882,146
878
MIC
Glen,
FRN,
1M
USD
LIBOR
+
3.50%,
8.525%,
7/21/28
196,250
190
MIC
Glen,
FRN,
1M
USD
LIBOR
+
6.75%,
11.775%,
7/20/29
800,000
736
NCL
Corp.,
FRN,
1M
TSFR
+
2.25%,
7.248%,
1/2/25
403,692
395
Neptune
Bidco
U.S.,
FRN,
1M
TSFR
+
5.00%,
9.995%,
4/11/29
239,000
213
PetSmart,
FRN,
1M
TSFR
+
3.75%,
8.832%,
2/11/28
589,500
587
Project
Ruby
Ultimate
Parent,
FRN,
1M
USD
LIBOR
+
3.25%,
8.347%,
3/10/28
588,737
570
RealPage,
FRN,
1M
USD
LIBOR
+
3.00%,
8.025%,
4/24/28
852,025
827
RealPage,
FRN,
1M
USD
LIBOR
+
6.50%,
11.525%,
4/23/29
795,000
743
S2P
Acquisition
Borrower,
FRN,
3M
USD
LIBOR
+
4.00%,
9.082%,
8/14/26
278,281
275
Select
Medical,
FRN,
1M
USD
LIBOR
+
2.50%,
7.53%,
3/6/25
800,000
797
Sophia,
FRN,
3M
USD
LIBOR
+
3.50%,
8.659%,
10/7/27
994,733
981
Tacala
Investment,
FRN,
1M
USD
LIBOR
+
3.50%,
8.525%,
2/5/27
490,956
480
Tacala
Investment,
FRN,
1M
USD
LIBOR
+
7.50%,
12.525%,
2/4/28
495,000
453
Talen
Energy
Supply,
FRN,
3M
TSFR
+
4.75%,
9.518%,
11/13/23 (2)
700,000
700
Univision
Communications,
FRN,
3M
USD
LIBOR
+
2.75%,
7.775%,
3/15/24
322,717
323
Upbound
Group,
FRN,
1M
USD
LIBOR
+
3.25%,
8.563%,
2/17/28
410,318
404
Verscend
Holding,
FRN,
1M
USD
LIBOR
+
4.00%,
9.025%,
8/27/25
199,492
199
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Wand
NewCo
3,
FRN,
1M
USD
LIBOR
+
2.75%,
7.775%,
2/5/26 (10)
614,078
601
William
Morris
Endeavor
Entertainment,
FRN,
3M
USD
LIBOR
+
2.75%,
7.78%,
5/18/25 (10)
1,837,396
1,831
Woof
Holdings,
FRN,
3M
USD
LIBOR
+
3.75%,
8.76%,
12/21/27 (5)
510,337
492
Woof
Holdings,
FRN,
3M
USD
LIBOR
+
7.25%,
12.421%,
12/21/28 (5)
580,000
464
30,322
Common
Stocks
13.2%
10X
Genomics,
Class
A (2)
224
12
7
Acquisition,
Warrants,
11/5/26 (2)
24,950
—
7
Acquisition,
Class
A (2)
49,900
522
AbbVie
257
39
Acadia
Realty
Trust,
REIT
798
11
Accenture,
Class
A
1,270
356
Activision
Blizzard
4,877
379
Advanced
Micro
Devices (2)
8,709
778
Agilent
Technologies
370
50
Ahren
Acquisition,
Warrants,
6/17/28 (2)
36,125
5
Ahren
Acquisition,
Class
A (2)
72,251
756
Air
Lease
1,048
42
Air
Products
&
Chemicals
91
27
Airbnb,
Class
A (2)
78
9
Alexandria
Real
Estate
Equities,
REIT
105
13
Alnylam
Pharmaceuticals (2)
256
51
Alphabet,
Class
A (2)
5,035
540
Alphabet,
Class
C (2)
1,199
130
Altera
Infrastructure,
Acquisition
Date:
1/19/23,
Cost $15 (2)(5)
(8)
701
18
Amazon.com (2)
12,892
1,359
Ameren
237
21
American
Homes
4
Rent,
Class
A,
REIT
312
10
American
International
Group
2,005
106
American
Tower,
REIT
254
52
Ameriprise
Financial
216
66
Analog
Devices
850
153
Apellis
Pharmaceuticals (2)
330
28
Apollo
Global
Management
1,025
65
Apple
12,499
2,121
Apple
Hospitality
REIT,
REIT
214
3
Arch
Capital
Group (2)
598
45
Armstrong
World
Industries
492
34
Arthur
J
Gallagher
215
45
AT&T
3,672
65
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Atlassian,
Class
A (2)
1,156
171
AvalonBay
Communities,
REIT
96
17
Avantor (2)
685
13
Avery
Dennison
90
16
Axis
Capital
Holdings
795
45
Baker
Hughes
704
21
Ball
1,026
55
Bank
of
America
4,921
144
Bank
of
New
York
Mellon
1,277
54
Barings
BDC
2,260
17
Battery
Future
Acquisition,
Warrants,
5/26/28 (2)
36,700
3
Battery
Future
Acquisition,
Class
A (2)
73,400
771
Beard
Energy
Transition
Acquisition,
Warrants,
12/31/27 (2)
37,050
1
Beard
Energy
Transition
Acquisition,
Class
A (2)
74,100
770
Becton
Dickinson
&
Company
225
59
Belden
263
21
BILL
Holdings (2)
432
33
Biogen (2)
69
21
BioMarin
Pharmaceutical (2)
159
15
Black
Knight (2)
483
26
Block,
Class
A (2)
1,810
110
Blueprint
Medicines (2)
258
13
Boeing (2)
71
15
Booking
Holdings (2)
24
64
Booz
Allen
Hamilton
Holding
423
40
BRC,
Class
A (1)(2)
801
4
Bright
Horizons
Family
Solutions (2)
1,144
87
Bruker
264
21
Bullpen
Parlay
Acquisition,
Warrants,
12/3/26 (2)
36,150
1
Bullpen
Parlay
Acquisition,
Class
A (2)
72,300
755
Burlington
Stores (2)
2,798
539
C4
Therapeutics (2)
495
1
Cactus,
Class
A
378
15
Cadence
Bank
789
16
Cadence
Design
Systems (2)
360
75
Camden
Property
Trust,
REIT
82
9
Canva,
Acquisition
Date:
8/16/21
-
12/22/21,
Cost $245 (2)(5)(8)
144
72
Capital
One
Financial
1,038
101
Capitalworks
Emerging
Markets
Acquisition,
Warrants,
4/27/28 (2)
36,400
1
Capitalworks
Emerging
Markets
Acquisition,
Class
A (2)
72,800
763
Carrier
Global
380
16
Catalent (2)
253
13
Caterpillar
78
17
Cboe
Global
Markets
413
58
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Par/Shares
$
Value
(Cost
and
value
in
$000s)
CC
Neuberger
Principal
Holdings
III,
Class
A,
Warrants,
12/31/27 (2)
8,398
2
Centene (2)
389
27
Cerevel
Therapeutics
Holdings (1)(2)
403
12
Ceridian
HCM
Holding (2)
306
19
CF
Industries
Holdings
404
29
ChampionX
657
18
Charles
River
Laboratories
International (2)
86
16
Charles
Schwab
9,820
513
Charter
Communications,
Class
A (2)
74
27
Chesapeake
Energy
512
42
Chevron
465
78
Chipotle
Mexican
Grill (2)
25
52
Chubb
4,028
812
Cigna
Group
128
32
Citigroup
2,583
122
CME
Group
163
30
CMS
Energy
262
16
Colgate-Palmolive
1,940
155
Comcast,
Class
A
697
29
Concord
Acquisition
Corp.
III,
Warrants,
12/31/28 (2)
24,750
2
Concord
Acquisition
Corp.
III,
Class
A (2)
49,500
516
Confluent,
Class
A (2)
1,447
32
ConocoPhillips
4,062
418
Cooper
18
7
Corebridge
Financial
12,280
207
Costco
Wholesale
203
102
Coterra
Energy
658
17
Crown
Castle,
REIT
159
20
CSX
1,838
56
CubeSmart,
REIT
326
15
Cummins
289
68
Danaher
267
63
Darling
Ingredients (2)
669
40
Denali
Therapeutics (2)
318
8
Dexcom (2)
230
28
Discover
Financial
Services
235
24
Dollar
General
247
55
Dollar
Tree (2)
175
27
Dominion
Energy
318
18
DoorDash,
Class
A (2)
1,051
64
Douglas
Emmett,
REIT
482
6
Doximity,
Class
A (1)(2)
347
13
DraftKings,
Class
A (2)
432
9
East
West
Bancorp
951
49
Elevance
Health
689
323
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Eli
Lilly
2,959
1,171
Endeavor
Group
Holdings,
Class
A (2)
874
23
Entegris
1,065
80
EOG
Resources
573
68
EQRx,
Warrants,
12/31/28 (2)
2,200
—
Equinix,
REIT
121
88
Equitable
Holdings
1,691
44
Equity
LifeStyle
Properties,
REIT
300
21
Equity
Residential,
REIT
298
19
Essex
Property
Trust,
REIT
34
7
Estee
Lauder,
Class
A
1,100
271
Eucrates
Biomedical
Acquisition,
Warrants,
12/14/25 (2)
3,266
—
Exact
Sciences (2)
263
17
Exelixis (2)
344
6
Exxon
Mobil
6,101
722
Fate
Therapeutics (1)(2)
382
2
FedEx
449
102
Fifth
Third
Bancorp
2,727
71
First
American
Financial
450
26
FirstEnergy
375
15
Fiserv (2)
463
57
FleetCor
Technologies (2)
112
24
Floor
&
Decor
Holdings,
Class
A (2)
227
23
FMC
283
35
Freeport-McMoRan
784
30
Gaming
&
Leisure
Properties,
REIT
238
12
GE
HealthCare
Technologies (2)
4,136
336
General
Electric
7,240
717
Global
Payments
263
30
Goldman
Sachs
Group
71
24
Green
Visor
Financial
Technology
Acquisition
I,
Warrants,
5/8/23 (2)
24,900
1
Green
Visor
Financial
Technology
Acquisition
I,
Class
A (2)
49,800
528
Guardant
Health (2)
205
5
Hartford
Financial
Services
Group
1,618
115
HashiCorp,
Class
A (2)
1,105
30
HCA
Healthcare
118
34
Hershey
132
36
Hess
3,218
467
Hilton
Worldwide
Holdings
344
50
Hologic (2)
323
28
Home
Depot
471
142
Honeywell
International
528
106
Hubbell
114
31
HubSpot (2)
428
180
Humana
110
58
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Huntington
Bancshares
5,474
61
Huntington
Ingalls
Industries
119
24
Illumina (2)
55
11
Incyte (2)
199
15
Infinite
Acquisition,
Warrants,
11/23/28 (2)
37,454
5
Infinite
Acquisition,
Class
A (2)
74,909
793
Ingersoll
Rand
1,028
59
Insmed (2)
613
12
Insulet (2)
80
25
Intellia
Therapeutics (2)
130
5
Intuit
78
35
Intuitive
Surgical (2)
938
283
Invesco
2,028
35
Ionis
Pharmaceuticals (2)
337
12
IVERIC
bio (2)
460
15
JB
Hunt
Transport
Services
269
47
JPMorgan
Chase
534
74
Karuna
Therapeutics (2)
121
24
Kemper
358
17
Keurig
Dr
Pepper
921
30
Kilroy
Realty,
REIT
71
2
KKR
1,025
54
Kosmos
Energy (2)
3,375
22
L3Harris
Technologies
282
55
Lam
Research
124
65
Lamar
Advertising,
Class
A,
REIT
165
17
Liberty
Media-Liberty
Formula
One,
Class
C (2)
8,604
621
Linde
381
141
Live
Nation
Entertainment (2)
196
13
LPL
Financial
Holdings
232
48
Lululemon
Athletica (2)
103
39
M&T
Bank
180
23
Magnolia
Oil
&
Gas,
Class
A
1,033
22
Main
Street
Capital
226
9
Marathon
Petroleum
283
35
Marsh
&
McLennan
644
116
Marvell
Technology
5,000
197
Mastercard,
Class
A
2,403
913
McDonald's
311
92
Merck
919
106
Meta
Platforms,
Class
A (2)
3,885
934
MetLife
1,293
79
Mettler-Toledo
International (2)
8
12
MGM
Resorts
International
411
18
Microsoft
6,434
1,977
Middleby (2)
234
33
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Mirati
Therapeutics (2)
126
6
Moderna (2)
99
13
Molina
Healthcare (2)
126
38
Mondelez
International,
Class
A
946
73
MongoDB (2)
487
117
Monster
Beverage (2)
977
55
Morgan
Stanley
6,269
564
Mueller
Water
Products,
Class
A
2,252
30
Nabors
Energy
Transition,
Warrants,
11/17/26 (2)
25,200
4
Nabors
Energy
Transition,
Class
A (2)
50,400
531
Netflix (2)
851
281
Neurocrine
Biosciences (2)
84
8
Newmont
355
17
News,
Class
A
814
14
NextEra
Energy
450
34
NIKE,
Class
B
588
75
Norfolk
Southern
61
12
NOV
4,877
82
NVIDIA
2,949
818
Old
Dominion
Freight
Line
150
48
Omnicom
Group
264
24
OneMain
Holdings
606
23
Onyx
Acquisition
I,
Class
A,
Warrants,
11/30/28 (2)
24,800
1
O'Reilly
Automotive (2)
64
59
Pacific
Biosciences
of
California (2)
898
10
Packaging
Corp.
of
America
206
28
Patreon,
Acquisition
Date:
10/14/21,
Cost $9 (2)(5)(8)
165
5
Paycom
Software (2)
26
8
Paylocity
Holding (2)
197
38
PennyMac
Financial
Services
295
18
Penumbra (2)
144
41
PepsiCo
3,071
586
Pfizer
1,189
46
PG&E (2)
4,107
70
Pioneer
Natural
Resources
211
46
PNC
Financial
Services
Group
95
12
Popular
612
37
PotlatchDeltic,
REIT
366
17
Power
&
Digital
Infrastructure
Acquisition
II,
Warrants,
12/14/28 (2)
36,900
4
Power
&
Digital
Infrastructure
Acquisition
II,
Class
A (2)
73,800
762
Procter
&
Gamble
2,490
389
Prologis,
REIT
419
52
PROOF
Acquisition
Corp.
I,
Warrants,
12/3/28 (2)
36,400
4
PROOF
Acquisition
Corp.
I,
Class
A (2)
72,800
760
Public
Storage,
REIT
91
27
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Quaker
Chemical (1)
161
30
QUALCOMM
277
32
Quanta
Services
112
19
QuidelOrtho (2)
98
9
Raymond
James
Financial
771
70
Rayonier,
REIT
514
16
RCF
Acquisition,
Warrants,
4/25/23 (2)
24,850
2
RCF
Acquisition,
Class
A (2)
49,700
521
Regency
Centers,
REIT
210
13
Regeneron
Pharmaceuticals (2)
132
106
Reinsurance
Group
of
America
127
18
Reliance
Steel
&
Aluminum
73
18
RenaissanceRe
Holdings
252
54
Rexford
Industrial
Realty,
REIT
187
10
Rivian
Automotive,
Class
A (1)(2)
1,531
20
ROBLOX,
Class
A (2)
2,997
107
Roper
Technologies
313
142
Royalty
Pharma,
Class
A
316
11
RPM
International
316
26
Saia (2)
18
5
Salesforce (2)
184
37
Sarepta
Therapeutics (2)
123
15
SBA
Communications,
REIT
196
51
Schlumberger
883
44
Sculptor
Acquisition
Corp.
I,
Warrants,
4/15/28 (2)
36,120
1
Sculptor
Acquisition
Corp.
I,
Class
A (2)
72,241
757
Seagen (2)
89
18
Sealed
Air
99
5
Seaport
Global
Acquisition
II,
Warrants,
11/17/26 (2)
24,625
1
Seer (2)
496
2
ServiceNow (2)
844
388
Sherwin-Williams
1,519
361
Shoals
Technologies
Group,
Class
A (2)
569
12
Shockwave
Medical (2)
123
36
Simon
Property
Group,
REIT
174
20
Skyward
Specialty
Insurance
Group (2)
8,249
176
Snap,
Class
A (2)
328
3
Snowflake,
Class
A (2)
601
89
Socure,
Acquisition
Date:
12/22/21,
Cost $1 (2)(5)(8)
89
1
SolarEdge
Technologies (2)
77
22
Southern
521
38
Southwest
Airlines
887
27
Southwestern
Energy (2)
2,305
12
Stanley
Black
&
Decker
522
45
Starbucks
550
63
State
Street
1,020
74
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Par/Shares
$
Value
(Cost
and
value
in
$000s)
StepStone
Group,
Class
A
684
15
Structure
Therapeutics,
ADR (2)
1,282
32
Stryker
261
78
Sun
Communities,
REIT
104
14
Synopsys (2)
747
277
T-Mobile
U.S. (2)
6,453
929
TechnipFMC (2)
4,598
63
Teleflex
72
20
Terreno
Realty,
REIT
217
13
Tesla (2)
1,341
220
Textron
196
13
Thermo
Fisher
Scientific
242
134
Toast,
Class
A (2)
329
6
Trade
Desk,
Class
A (2)
360
23
TransDigm
Group
81
62
Travelers
163
30
Trimble (2)
3,284
155
Trinity
Capital
868
11
Truist
Financial
1,062
35
Tyler
Technologies (2)
33
13
U.S.
Bancorp
2,165
74
Uber
Technologies (2)
769
24
Ultragenyx
Pharmaceutical (2)
250
11
Union
Pacific
85
17
United
Parcel
Service,
Class
B
216
39
UnitedHealth
Group
1,969
969
UTA
Acquisition,
Warrants,
10/30/26 (2)
24,150
3
UTA
Acquisition,
Class
A (2)
48,300
506
Valero
Energy
270
31
Veeva
Systems,
Class
A (2)
99
18
Ventas,
REIT
290
14
VeriSign (2)
92
20
Verizon
Communications
1,587
62
Verra
Mobility (2)
1,239
21
Vertex
Pharmaceuticals (2)
239
81
Virtus
Investment
Partners
171
31
Visa,
Class
A
560
130
VMG
Consumer
Acquisition,
Warrants,
7/3/23 (2)
24,616
1
VMG
Consumer
Acquisition,
Class
A (2)
49,232
513
Voya
Financial
272
21
Vulcan
Materials
98
17
Walt
Disney (2)
561
58
Warby
Parker,
Class
A (2)
439
5
Warner
Music
Group,
Class
A
156
5
Webster
Financial
1,279
48
Wells
Fargo
3,877
154
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Welltower,
REIT
235
19
West
Pharmaceutical
Services
68
25
Western
Alliance
Bancorp
4,187
155
Westrock
288
9
Wingstop
106
21
Workday,
Class
A (2)
344
64
Xometry,
Class
A (2)
190
3
Zentalis
Pharmaceuticals (2)
280
6
Zimmer
Biomet
Holdings
111
15
Zoetis
83
15
Zscaler (2)
494
45
45,092
Convertible
Bonds
0.3%
U.S.
Steel,
5.00%,
11/1/26
477,000
864
864
Convertible
Preferred
Stocks
0.2%
2020
Cash
Mandatory
Exchangeable
Trust,
5.25%,
6/1/23 (3)
250
290
ABL
Space
Systems,
Series
B-2,
Acquisition
Date:
10/22/21,
Cost $91 (2)(5)(8)
1,345
43
Canva,
Series
A,
Acquisition
Date:
11/4/21
-
12/17/21,
Cost $14 (2)(5)(8)
8
4
Canva,
Series
A-3,
Acquisition
Date:
12/17/21,
Cost $2 (2)(5)(8)
1
—
CELLINK,
Series
D,
Acquisition
Date:
1/20/22,
Cost $9 (2)(5)(8)
423
6
Coalition,
Series
E,
Acquisition
Date:
9/7/21,
Cost $23 (2)(5)(8)
1,376
23
Databricks,
Series
H,
Acquisition
Date:
8/31/21,
Cost $60 (2)(5)
(8)
816
49
Eikon
Therapeutics,
Series
B,
Acquisition
Date:
12/3/21,
Cost $6 (2)(5)(8)
330
7
Epirus,
Series
C-2,
Acquisition
Date:
1/28/22,
Cost $11 (2)(5)(8)
1,889
9
Formagrid,
Series
F,
Acquisition
Date:
12/8/21,
Cost $42 (2)(5)
(8)
222
15
Freenome
Holdings,
Series
D,
Acquisition
Date:
11/22/21,
Cost $26 (2)(5)(8)
3,412
40
Generate
Bio,
Series
B,
Acquisition
Date:
9/2/21,
Cost $8 (2)(5)
(8)
666
8
Jetti
Holdings,
Series
D,
Acquisition
Date:
9/20/22,
Cost $8 (2)
(5)(8)
63
8
Kobold
Metals,
Series
B-1,
Acquisition
Date:
1/10/22,
Cost $10 (2)(5)(8)
384
16
Laronde,
Series
B,
Acquisition
Date:
7/28/21,
Cost $4 (2)(5)(8)
162
1
Lilac
Solutions,
Series
B,
Acquisition
Date:
9/8/21,
Cost $15 (2)
(5)(8)
1,156
16
Nuro,
Series
D,
Acquisition
Date:
10/29/21,
Cost $26 (2)(5)(8)
1,232
17
Patreon,
Series
D,
Acquisition
Date:
10/21/21,
Cost $13 (2)(5)(8)
238
7
Rappi,
Series
E,
Acquisition
Date:
9/8/20,
Cost $109 (2)(5)(8)
1,822
66
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Rappi,
Series
F,
Acquisition
Date:
7/8/21,
Cost $34 (2)(5)(8)
534
19
Socure,
Series
A,
Acquisition
Date:
12/22/21,
Cost $2 (2)(5)(8)
109
1
Socure,
Series
A-1,
Acquisition
Date:
12/22/21,
Cost $1 (2)(5)(8)
89
1
Socure,
Series
B,
Acquisition
Date:
12/22/21,
Cost $— (2)(5)(8)
2
—
Socure,
Series
E,
Acquisition
Date:
10/27/21,
Cost $3 (2)(5)(8)
207
1
Treeline,
Series
A,
Acquisition
Date:
9/26/22,
Cost $1 (2)(5)(8)
88
1
648
Corporate
Bonds
11.8%
Ally
Financial,
5.75%,
11/20/25
165,000
160
Ardagh
Packaging
Finance,
5.25%,
4/30/25 (3)
2,400,000
2,358
At
Home
Group,
4.875%,
7/15/28 (1)(3)
240,000
156
Broadcom
Corp.,
3.625%,
1/15/24
500,000
493
Carnival,
4.00%,
8/1/28 (3)
495,000
428
Carpenter
Technology,
7.625%,
3/15/30
255,000
261
CEC
Entertainment,
6.75%,
5/1/26 (3)
110,000
104
Cedar
Fair,
5.50%,
5/1/25 (3)
600,000
598
Celanese
U.S.
Holdings,
5.90%,
7/5/24
1,000,000
1,001
Charter
Communications
Operating,
FRN,
3M
USD
LIBOR
+
1.65%,
6.949%,
2/1/24
2,000,000
2,006
Cloud
Software
Group,
6.50%,
3/31/29 (3)
345,000
309
Comstock
Resources,
5.875%,
1/15/30 (3)
235,000
202
CSC
Holdings,
6.50%,
2/1/29 (3)
355,000
296
Diamond
Sports
Group,
5.375%,
8/15/26 (2)(3)(7)
345,000
23
DISH
Network,
11.75%,
11/15/27 (3)
1,170,000
1,103
Elanco
Animal
Health,
6.022%,
8/28/23
217,000
217
Fifth
Third
Bancorp,
2.375%,
1/28/25
35,000
33
Fifth
Third
Bancorp,
4.30%,
1/16/24 (1)
400,000
391
Global
Net
Lease,
3.75%,
12/15/27 (3)
410,000
314
GPD,
10.125%,
4/1/26 (3)
450,000
411
Graphic
Packaging
International,
4.125%,
8/15/24
500,000
492
HCA,
5.00%,
3/15/24
3,000,000
2,977
Hightower
Holding,
6.75%,
4/15/29 (3)
245,000
213
Home
Point
Capital,
5.00%,
2/1/26 (3)
285,000
240
Howmet
Aerospace,
5.125%,
10/1/24
858,000
859
Humana,
5.50%,
3/15/53
375,000
382
Huntington
Bancshares,
2.625%,
8/6/24 (1)
70,000
67
Huntington
Bancshares,
4.00%,
5/15/25
7,000
7
Hyundai
Capital
America,
5.50%,
3/30/26 (3)
160,000
161
iHeartCommunications,
4.75%,
1/15/28 (1)(3)
535,000
416
Jane
Street
Group,
4.50%,
11/15/29 (3)
520,000
466
Kilroy
Realty,
3.45%,
12/15/24
135,000
129
LCPR
Senior
Secured
Financing,
5.125%,
7/15/29 (3)
430,000
368
Level
3
Financing,
3.875%,
11/15/29 (3)
285,000
208
Live
Nation
Entertainment,
4.875%,
11/1/24 (3)
600,000
592
Maxar
Technologies,
7.75%,
6/15/27 (3)
1,000,000
1,060
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Micron
Technology,
5.875%,
2/9/33
810,000
818
Neptune
Bidco
U.S.,
9.29%,
4/15/29 (3)
815,000
767
NGL
Energy
Partners,
6.125%,
3/1/25 (1)
38,000
35
NRG
Energy,
7.00%,
3/15/33 (3)
450,000
467
Option
Care
Health,
4.375%,
10/31/29 (3)
815,000
731
Perrigo
Finance
Unlimited,
3.90%,
12/15/24
600,000
578
PetSmart,
7.75%,
2/15/29 (3)
500,000
491
Photo
Holdings
Merger
Sub,
8.50%,
10/1/26 (3)
330,000
139
PNC
Financial
Services
Group,
VR,
4.626%,
6/6/33 (1)(6)
850,000
788
Rivian
Holdings,
FRN,
6M
USD
LIBOR
+
5.625%,
10.931%,
10/15/26 (1)(3)
175,000
172
Sabre
GLBL,
7.375%,
9/1/25 (3)
315,000
280
Seagate
HDD
Cayman,
4.875%,
3/1/24
1,000,000
982
Service
Properties
Trust,
4.65%,
3/15/24
900,000
882
Service
Properties
Trust,
7.50%,
9/15/25
600,000
588
Simon
Property
Group,
5.85%,
3/8/53
715,000
724
Sirius
XM
Radio,
3.875%,
9/1/31 (3)
1,110,000
839
Southern,
VR,
1.875%,
9/15/81
(EUR) (6)
230,000
199
Southern
California
Edison,
5.70%,
3/1/53
200,000
209
Sprint,
7.875%,
9/15/23
2,700,000
2,720
Stagwell
Global,
5.625%,
8/15/29 (3)
633,000
548
Surgery
Center
Holdings,
10.00%,
4/15/27 (1)(3)
300,000
308
Talen
Energy
Supply,
8.625%,
6/1/30 (3)
330,000
330
Teekay
Offshore
Partners,
EC,
8.50%,
7/15/23 (2)(3)(5)
170,000
—
Townsquare
Media,
6.875%,
2/1/26 (3)
775,000
720
U.S.
Airways
PTT,
Series
2013-1,
Class
A,
3.95%,
11/15/25
46,602
44
U.S.
Foods,
6.25%,
4/15/25 (3)
1,400,000
1,400
United
Airlines,
4.375%,
4/15/26 (3)
375,000
358
Univar
Solutions
USA,
5.125%,
12/1/27 (3)
800,000
800
Verscend
Escrow,
9.75%,
8/15/26 (3)
1,200,000
1,209
VICI
Properties,
5.625%,
5/1/24 (3)
2,000,000
1,983
Vistra,
VR,
7.00% (3)(6)(9)
197,000
177
Vistra,
VR,
8.00% (3)(6)(9)
205,000
192
Vistra
Operations,
5.125%,
5/13/25 (3)
525,000
513
40,492
Municipal
Securities
0.7%
Colorado
HFA,
Covenant
Living
Community,
Series
B,
4.48%,
12/1/40
250,000
211
Illinois,
Build
America,
GO,
7.10%,
7/1/35
165,000
182
Michigan
Tobacco
Settlement
Fin.
Auth.,
Series
B,
Zero
Coupon,
6/1/46
30,000
4
Port
Beaumont
Navigation
Dist.,
Jefferson
Gulf
Coast,
Series
B,
6.00%,
1/1/25 (3)
225,000
212
Puerto
Rico
Commonwealth,
GO,
VR,
11/1/43 (11)
1,016,201
478
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Par/Shares
$
Value
(Cost
and
value
in
$000s)
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
34
Puerto
Rico
Commonwealth,
Restructured,
Series
A-1,
GO,
4.00%,
7/1/33
45,589
42
Puerto
Rico
Commonwealth,
Restructured,
Series
A-1,
GO,
4.00%,
7/1/35
40,979
37
Puerto
Rico
Commonwealth,
Restructured,
Series
A-1,
GO,
4.00%,
7/1/37
35,170
31
Puerto
Rico
Commonwealth,
Restructured,
Series
A-1,
GO,
4.00%,
7/1/41
47,818
40
Puerto
Rico
Commonwealth,
Restructured,
Series
A-1,
GO,
4.00%,
7/1/46
49,730
40
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
52
Puerto
Rico
Commonwealth,
Restructured,
Series
A-1,
GO,
5.625%,
7/1/27
50,314
52
Puerto
Rico
Commonwealth,
Restructured,
Series
A-1,
GO,
5.625%,
7/1/29
49,497
52
Puerto
Rico
Commonwealth,
Restructured,
Series
A-1,
GO,
5.75%,
7/1/31
48,077
51
Puerto
Rico
Electric
Power
Auth.,
Build
America,
5.95%,
7/1/30 (2)(12)
45,000
31
Puerto
Rico
Electric
Power
Auth.,
Build
America,
6.05%,
7/1/32 (2)(12)
370,000
254
Tobacco
Settlement
Fin.,
Series
A-1,
6.706%,
6/1/46
285,000
262
Tobacco
Settlement
Fin.
Auth.,
Series
B,
4.875%,
6/1/49
115,000
104
Tobacco
Settlement
Fin.
Auth.,
Series
B,
Zero
Coupon,
6/1/47
500,000
47
2,256
Non-U.S.
Government
Mortgage-Backed
Securities
2.3%
BAMLL
Commercial
Mortgage
Securities
Trust,
Series
2021-
JACX,
Class
D,
ARM,
1M
USD
LIBOR
+
2.75%,
7.698%,
9/15/38 (3)
515,000
451
BAMLL
Commercial
Mortgage
Securities
Trust,
Series
2021-
JACX,
Class
E,
ARM,
1M
USD
LIBOR
+
3.75%,
8.698%,
9/15/38 (3)
100,000
85
BBCMS
Mortgage
Trust,
Series
2019-BWAY,
Class
E,
ARM,
1M
TSFR
+
2.964%,
7.854%,
11/15/34 (3)
130,000
47
BFLD,
Series
2019-DPLO,
Class
F,
ARM,
1M
TSFR
+
2.654%,
7.544%,
10/15/34 (3)
85,000
82
BIG
Commercial
Mortgage
Trust,
Series
2022-BIG,
Class
C,
ARM,
1M
TSFR
+
2.34%,
7.23%,
2/15/39 (3)
315,000
299
BX
Commercial
Mortgage
Trust,
Series
2019-IMC,
Class
E,
ARM,
1M
USD
LIBOR
+
2.15%,
7.098%,
4/15/34 (3)
160,000
153
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Par/Shares
$
Value
(Cost
and
value
in
$000s)
BX
Trust,
Series
2021-VIEW,
Class
F,
ARM,
1M
USD
LIBOR
+
3.93%,
8.878%,
6/15/36 (3)
160,000
143
CAFL,
Series
2021-RTL1,
Class
A2,
CMO,
STEP,
3.104%,
3/28/29 (3)
830,000
759
Cantor
Commercial
Real
Estate
Lending,
Series
2019-CF1,
Class
65C,
ARM,
4.123%,
5/15/52 (3)
125,000
103
Cantor
Commercial
Real
Estate
Lending,
Series
2019-CF1,
Class
65D,
ARM,
4.66%,
5/15/52 (3)
80,000
56
Commercial
Mortgage
Trust,
Series
2014-CR19,
Class
AM,
4.08%,
8/10/47
155,000
149
Commercial
Mortgage
Trust,
Series
2014-CR19,
Class
E,
ARM,
4.353%,
8/10/47 (3)
175,000
140
Commercial
Mortgage
Trust,
Series
2017-PANW,
Class
D,
ARM,
4.343%,
10/10/29 (3)
325,000
294
Connecticut
Avenue
Securities
Trust,
Series
2022-R01,
Class
1M1,
CMO,
ARM,
SOFR30A
+
1.00%,
5.815%,
12/25/41 (3)
133,656
133
Connecticut
Avenue
Securities
Trust,
Series
2022-R03,
Class
1M1,
CMO,
ARM,
SOFR30A
+
2.10%,
6.915%,
3/25/42 (3)
286,688
287
Connecticut
Avenue
Securities
Trust,
Series
2022-R04,
Class
1M2,
CMO,
ARM,
SOFR30A
+
3.10%,
7.915%,
3/25/42 (3)
60,000
61
Connecticut
Avenue
Securities
Trust,
Series
2022-R06,
Class
1M1,
CMO,
ARM,
SOFR30A
+
2.75%,
7.565%,
5/25/42 (3)
61,121
62
Credit
Suisse
Mortgage
Trust,
Series
2020-TMIC,
Class
C,
ARM,
1M
USD
LIBOR
+
7.25%,
12.198%,
12/15/35 (3)
100,000
98
Finance
of
America
HECM
Buyout,
Series
2022-HB1,
Class
M3,
ARM,
5.084%,
2/25/32 (3)
460,000
408
Great
Wolf
Trust,
Series
2019-WOLF,
Class
F,
ARM,
1M
TSFR
+
3.245%,
8.135%,
12/15/36 (3)
180,000
170
Imperial
Fund
Mortgage
Trust,
Series
2023-NQM1,
Class
M1,
CMO,
ARM,
8.263%,
2/25/68 (3)
500,000
487
Structured
Agency
Credit
Risk
Debt
Notes,
Series
2022-DNA2,
Class
M1A,
CMO,
ARM,
SOFR30A
+
1.30%,
6.115%,
2/25/42 (3)
107,507
107
Structured
Agency
Credit
Risk
Debt
Notes,
Series
2022-DNA2,
Class
M2,
CMO,
ARM,
SOFR30A
+
3.75%,
8.565%,
2/25/42 (3)
665,000
652
Structured
Agency
Credit
Risk
Debt
Notes,
Series
2022-DNA3,
Class
M1B,
CMO,
ARM,
SOFR30A
+
2.90%,
7.715%,
4/25/42 (3)
195,000
195
Structured
Agency
Credit
Risk
Debt
Notes,
Series
2022-HQA1,
Class
M1A,
CMO,
ARM,
SOFR30A
+
2.10%,
6.915%,
3/25/42 (3)
503,752
504
Structured
Agency
Credit
Risk
Debt
Notes,
Series
2022-HQA3,
Class
M2,
CMO,
ARM,
SOFR30A
+
5.35%,
10.165%,
8/25/42 (3)
195,000
196
TRK
Trust,
Series
2022-INV1,
Class
A1,
CMO,
ARM,
2.577%,
2/25/57 (3)
169,768
151
Verus
Securitization
Trust,
Series
2021-2,
Class
M1,
CMO,
ARM,
2.187%,
2/25/66 (3)
175,000
123
Verus
Securitization
Trust,
Series
2022-1,
Class
A1,
CMO,
STEP,
2.724%,
1/25/67 (3)
195,074
175
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Verus
Securitization
Trust,
Series
2022-4,
Class
A2,
CMO,
ARM,
4.74%,
4/25/67 (3)
302,980
289
Verus
Securitization
Trust,
Series
2023-1,
Class
A3,
CMO,
STEP,
6.90%,
12/25/67 (3)
575,513
578
Verus
Securitization
Trust,
Series
2023-INV1,
Class
M1,
CMO,
ARM,
7.653%,
2/25/68 (3)
446,000
443
7,880
Total
United
States
(Cost
$134,164
)
135,243
UZBEKISTAN
0.1%
Government
Bonds
0.1%
Republic
of
Uzbekistan,
3.70%,
11/25/30
(USD)
300,000
246
Total
Uzbekistan
(Cost
$263
)
246
VIETNAM
0.1%
Corporate
Bonds
0.1%
Mong
Duong
Finance
Holdings,
5.125%,
5/7/29
(USD)
380,000
331
331
Government
Bonds
0.0%
Socialist
Republic
of
Vietnam,
4.80%,
11/19/24
(USD)
200,000
196
196
Total
Vietnam
(Cost
$545
)
527
SHORT-TERM
INVESTMENTS
28.7%
Money
Market
Funds
28.7%
T.
Rowe
Price
Government
Reserve
Fund,
4.83% (13)(14)
98,185,311
98,185
Total
Short-Term
Investments
(Cost
$98,185)
98,185
SECURITIES
LENDING
COLLATERAL
1.8%
INVESTMENTS
IN
A
POOLED
ACCOUNT
THROUGH
SECURITIES
LENDING
PROGRAM
WITH
JPMORGAN
CHASE
BANK
0.7%
Money
Market
Funds
0.7%
T.
Rowe
Price
Government
Reserve
Fund,
4.83% (13)(14)
2,433,582
2,433
Total
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
JPMorgan
Chase
Bank
2,433
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Par/Shares
$
Value
(Cost
and
value
in
$000s)
INVESTMENTS
IN
A
POOLED
ACCOUNT
THROUGH
SECURITIES
LENDING
PROGRAM
WITH
STATE
STREET
BANK
AND
TRUST
COMPANY
1.1%
Money
Market
Funds
1.1%
T.
Rowe
Price
Government
Reserve
Fund,
4.83% (13)(14)
3,697,808
3,698
Total
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
State
Street
Bank
and
Trust
Company
3,698
Total
Securities
Lending
Collateral
(Cost
$6,131)
6,131
(Amounts
in
000s,
except
for
contracts)
OPTIONS
PURCHASED
0.2%
Exchange-Traded
Options
Purchased
0.0%
Description
Contracts
Notional
Amount
$
Value
Norwegian
Cruise
Line
Holdings,
Put,
1/19/24
@
$10.00 (2)
59
79
6
U.S.
Treasury
10-Year
Notes
Futures,
Put,
5/26/23
@
$114.00 (2)
78
8,986
35
Total
Exchange-Traded
Options
Purchased
(Cost
$111)
41
OTC
Options
Purchased
0.2%
Counterparty
Description
Contracts
Notional
Amount
$
Value
Bank
of
America
30
Year
Interest
Rate
Swap,
7/10/53
Pay
Fixed
2.66%
Annually,
Receive
Variable
4.81%
(SOFR)
Annually,
7/6/23
@
2.66%* (2)
1
1,625
104
Bank
of
America
USD
/
EUR
Put,
5/5/23
@
EUR1.11 (2)
1
1,725
7
Bank
of
America
USD
/
JPY
Put,
7/6/23
@
JPY127.00 (2)
1
2,060
7
Barclays
Bank
Comerica,
Put,
1/19/24
@
$20.00 (2)
150
651
17
Barclays
Bank
S&P
500
Index,
Put,
8/18/23
@
$3,800.00 (2)
31
12,925
163
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s,
except
for
contracts)
Counterparty
Description
Contracts
Notional
Amount
$
Value
Goldman
Sachs
10
Year
Interest
Rate
Swap,
9/29/33
Pay
Fixed
0.65%
Annually,
Receive
Variable
(0.07)%
(JPY
TONA)
Annually,
9/27/23
@
0.65%*
(JPY) (2)
1
529,000
38
Goldman
Sachs
5
Year
Interest
Rate
Swap,
12/8/28
Pay
Fixed
3.78%
Annually,
Receive
Variable
4.81%
(SOFR)
Annually,
12/6/23
@
3.78%* (2)
2
6,950
46
Goldman
Sachs
Zions
Bancorp,
Put,
1/19/24
@
$15.00 (2)
167
465
30
Morgan
Stanley
10
Year
Interest
Rate
Swap,
12/1/33
Pay
Fixed
3.63%
Annually,
Receive
Variable
4.81%
(SOFR)
Annually,
11/29/23
@
3.63%* (2)
2
4,910
51
Morgan
Stanley
2
Year
Interest
Rate
Swap,
6/15/25
Pay
Fixed
4.08%
Quarterly,
Receive
Variable
4.81%
(SOFR)
Semi-
Annually,
6/13/23
@
4.08%* (2)
1
12,680
39
Morgan
Stanley
Euro
STOXX
50
Index,
Put,
9/15/23
@
3,850.00
(EUR) (2)
265
11,552
189
Morgan
Stanley
S&P
500
Index,
Put,
5/19/23
@
$3,650.00 (2)
30
12,508
5
Morgan
Stanley
S&P
500
Index,
Put,
5/26/23
@
$3,600.00 (2)
11
4,586
3
UBS
Investment
Bank
M&T
Bank,
Put,
12/15/23
@
$70.00 (2)
108
1,359
20
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s,
except
for
contracts)
Counterparty
Description
Contracts
Notional
Amount
$
Value
UBS
Investment
Bank
USD
/
JPY
Put,
6/29/23
@
JPY127.00 (2)
1
2,170
6
Total
OTC
Options
Purchased
(Cost
$1,264)
725
Total
Options
Purchased
(Cost
$1,375)
766
Total
Investments
in
Securities
99.0%
of
Net
Assets
(Cost
$338,958)
$
338,418
‡
Country
classifications
are
generally
based
on
MSCI
categories
or
another
unaffiliated
third
party
data
provider;
Par/Shares
and
Notional
Amount
are
denominated
in
the
currency
of
the
country
presented
unless
otherwise
noted.
†
Investment
fund
is
not
unitized.
*
Exercise
Spread
(1)
See
Note
4.
All
or
a
portion
of
this
security
is
on
loan
at
April
30,
2023.
(2)
Non-income
producing
(3)
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
$48,058
and
represents
14.1%
of
net
assets.
(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)
See
Note
2.
Level
3
in
fair
value
hierarchy.
(6)
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.
(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
$476
and
represents
0.1%
of
net
assets.
(9)
Perpetual
security
with
no
stated
maturity
date.
(10)
All
or
a
portion
of
this
loan
is
unsettled
as
of
April
30,
2023.
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.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
.
.
.
.
.
.
.
.
.
.
(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
CNH
HIBOR
One
month
CNH
HIBOR
(Hong
Kong
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
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)
3M
CAD
CDOR
Three
month
CAD
CDOR
(Canadian
Dollar
offered
rate)
3M
EURIBOR
Three
month
EURIBOR
(Euro
interbank
offered
rate)
3M
NDBB
Three
month
NZD
bank
bill
3M
TSFR
Three
month
term
SOFR
(Secured
overnight
financing
rate)
3M
USD
LIBOR
Three
month
USD
LIBOR
(London
interbank
offered
rate)
6M
HUF
BUBOR
Six
month
HUF
BUBOR
(Budapest
interbank
offered
rate)
6M
PLN
WIBOR
Six
month
PLN
WIBOR
(Warsaw
interbank
offered
rate)
6M
TSFR
Six
month
Term
SOFR
(Secured
overnight
financing
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
BRL
CDI
One
day
Brazilian
interbank
deposit
rate
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)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
.
.
.
.
.
.
.
.
.
.
CZK
Czech
Koruna
EC
Escrow
CUSIP;
represents
a
beneficial
interest
in
a
residual
pool
of
assets;
the
amount
and
timing
of
future
distributions,
if
any,
is
uncertain;
when
presented,
interest
rate
and
maturity
date
are
those
of
the
original
security.
ESTR
Euro
short-term
rate
ETF
Exchange-Traded
Fund
EUR
Euro
FRN
Floating
Rate
Note
GBP
British
Pound
GBP
SONIA
Sterling
Overnight
Index
Average
GDR
Global
Depositary
Receipts
GO
General
Obligation
HFA
Health
Facility
Authority
HKD
Hong
Kong
Dollar
HUF
Hungarian
Forint
IDR
Indonesian
Rupiah
ILS
Israeli
Shekel
INR
Indian
Rupee
JPY
Japanese
Yen
KRW
South
Korean
Won
KZT
Kazakhstan
Tenge
MXIBTIIE
Mexican
Interbank
28
day
interest
rate
MXN
Mexican
Peso
MYR
Malaysian
Ringgit
NOK
Norwegian
Krone
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
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
.
.
.
.
.
.
.
.
.
.
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
(Amounts
in
000s,
except
for
contracts)
OPTIONS
WRITTEN
(0.4)%
Exchange-Traded
Options
Written
(0.0)%
Description
Contracts
Notional
Amount
$
Value
Activision
Blizzard,
Call,
6/16/23
@
$85.00
48
373
(3)
U.S.
Treasury
2-Year
Notes
Futures,
Put,
5/26/23
@
$103.00
29
5,979
(21)
Total
Exchange-Traded
Options
Written
(Premiums
$(25))
$
(24)
OTC
Options
Written
(0.4)%
Counterparty
Description
Contracts
Notional
Amount
$
Value
Bank
of
America
2
Year
Interest
Rate
Swap,
6/1/25
Pay
Fixed
4.50%
Annually,
Receive
Variable
4.81%
(SOFR)
Annually,
5/30/23
@
4.50%*
1
4,250
(2)
Bank
of
America
2
Year
Interest
Rate
Swap,
6/1/25
Receive
Fixed
3.50%
Annually,
Pay
Variable
4.81%
(SOFR)
Annually,
5/30/23
@
3.50%*
1
4,250
(5)
Barclays
Bank
Credit
Default
Protection
Bought
(Relevant
Credit:
Markit
CDX.NA.HY-S40,
5
Year
Index,
6/20/28),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
6/21/23
@
0.95%*
1
850
(2)
BNP
Paribas
Credit
Default
Protection
Sold
(Relevant
Credit:
Markit
CDX.NA.HY-S40,
5
Year
Index,
6/20/28),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
6/21/23
@
1.03%*
1
1,080
(3)
Goldman
Sachs
Credit
Default
Protection
Sold
(Relevant
Credit:
Markit
CDX.NA.IG-S40,
5
Year
Index,
6/20/28),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
6/21/23
@
0.70%*
1
8,400
(7)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s,
except
for
contracts)
Counterparty
Description
Contracts
Notional
Amount
$
Value
Citibank
Credit
Default
Protection
Sold
(Relevant
Credit:
Markit
iTraxx
Crossover-S39,
5
Year
Index,
6/20/28),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
6/21/23
@
4.00%*
(EUR)
1
990
(4)
Morgan
Stanley
Euro
STOXX
50
Index,
Put,
9/15/23
@
4,375.00
(EUR)
88
3,836
(185)
Goldman
Sachs
iShares
iBoxx
High
Yield
Corporate
Bond
ETF,
Put,
6/16/23
@
$75.00
1,823
13,738
(179)
Morgan
Stanley
S&P
500
Index,
Call,
6/16/23
@
$4,175.00
82
34,190
(767)
Barclays
Bank
S&P
500
Index,
Put,
8/18/23
@
$4,200.00
10
4,169
(138)
Deutsche
Bank
USD
/
BRL
Call,
5/18/23
@
BRL5.50
1
850
—
UBS
Investment
Bank
USD
/
JPY
Call,
4/28/23
@
JPY134.00
1
2,170
(36)
Total
OTC
Options
Written
(Premiums
$(1,297))
$
(1,328)
Total
Options
Written
(Premiums
$(1,322))
$
(1,352)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
SWAPS
0.2%
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
**
Unrealized
$
Gain/(Loss)
BILATERAL
SWAPS
0.1%
Credit
Default
Swaps,
Protection
Bought
(0.3)%
Egypt
0.0%
Citibank,
Protection
Bought
(Relevant
Credit:
Arab
Republic
of
Egypt),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
12/20/24
(USD)
345
87
34
53
Total
Egypt
34
53
United
States
(0.3)%
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
(27)
(22)
(5)
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
(181)
(169)
(12)
Bank
of
America,
Protection
Bought
(Relevant
Credit:
Markit
CDX.NA.HY-S39,
5
Year
Index),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/20/27
270
(19)
(20)
1
Bank
of
America,
Protection
Bought
(Relevant
Credit:
Markit
CDX.NA.HY-S39,
5
Year
Index),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/20/27
452
(33)
(29)
(4)
Citibank,
Protection
Bought
(Relevant
Credit:
Avis
Budget
Car
Rental),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/20/27
640
(25)
17
(42)
Citibank,
Protection
Bought
(Relevant
Credit:
Avis
Budget
Group),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/20/27
580
(22)
(24)
2
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
5,190
(561)
(162)
(399)
Goldman
Sachs,
Protection
Bought
(Relevant
Credit:
Markit
CDX.NA.HY-S39,
5
Year
Index),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/20/27
454
(33)
(27)
(6)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Goldman
Sachs,
Protection
Bought
(Relevant
Credit:
Post
Holdings),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/20/27
250
(37)
(31)
(6)
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
(32)
(27)
(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
(56)
(36)
(20)
Morgan
Stanley,
Protection
Bought
(Relevant
Credit:
Markit
CDX.NA.HY-S39,
5
Year
Index),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/20/27
1,847
(168)
(143)
(25)
Morgan
Stanley,
Protection
Bought
(Relevant
Credit:
Markit
CDX.NA.HY-S39,
5
Year
Index),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/20/27
224
(16)
(17)
1
Morgan
Stanley,
Protection
Bought
(Relevant
Credit:
Markit
CMBX.
NA.BBB-S15,
40
Year
Index),
Pay
3.00%
Monthly,
Receive
upon
credit
default,
11/18/64
430
115
78
37
Total
United
States
(610)
(484)
Total
Bilateral
Credit
Default
Swaps,
Protection
Bought
(576)
(431)
Credit
Default
Swaps,
Protection
Sold
(0.2)%
Luxembourg
0.0%
JPMorgan
Chase,
Protection
Sold
(Relevant
Credit:
ArcelorMittal,
Baa3*),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
12/20/25
345
36
45
(9)
Total
Luxembourg
45
(9)
United
States
(0.2)%
Barclays
Bank,
Protection
Sold
(Relevant
Credit:
American
Airlines
Group,
Caa1*),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
12/20/23
55
1
(1)
2
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
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
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
(2)
3
Barclays
Bank,
Protection
Sold
(Relevant
Credit:
Royal
Caribbean
Cruises,
B3*),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
12/20/23
46
1
(1)
2
JPMorgan
Chase,
Protection
Sold
(Relevant
Credit:
Carnival
,
B3*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
6/20/29
1,245
(428)
(438)
10
Morgan
Stanley,
Protection
Sold
(Relevant
Credit:
Carnival
,
B3*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
6/20/29
1,245
(427)
(444)
17
Total
United
States
(884)
35
Total
Bilateral
Credit
Default
Swaps,
Protection
Sold
(839)
26
Total
Return
Swaps
0.6%
Australia
0.0%
Citibank,
Pay
Underlying
Reference:
CSL
Monthly,
Receive
Variable
3.195%
(1M
ADBB
+
(0.40)%)
Monthly,
1/17/24
435
—
—
—
Citibank,
Pay
Underlying
Reference:
Macquarie
Group
Monthly,
Receive
Variable
3.195%
(1M
ADBB
+
(0.40)%)
Monthly,
1/17/24
539
(11)
—
(11)
Citibank,
Pay
Underlying
Reference:
Woodside
Energy
Group
Monthly,
Receive
Variable
3.195%
(1M
ADBB
+
(0.40)%)
Monthly,
1/17/24
2,329
12
—
12
Citibank,
Receive
Underlying
Reference:
Northern
Star
Resources
Monthly,
Pay
Variable
3.995%
(1M
ADBB
+
0.40%)
Monthly,
1/17/24
1,297
16
—
16
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Citibank,
Receive
Underlying
Reference:
Pilbara
Minerals
Monthly,
Pay
Variable
4.014%
(1M
ADBB
+
0.40%)
Monthly,
1/17/24
413
13
—
13
Morgan
Stanley,
Pay
Underlying
Reference:
WiseTech
Global
Monthly,
Receive
Variable
3.204%
(1M
ADBB
+
(0.40)%)
Monthly,
1/17/24
865
(5)
—
(5)
Morgan
Stanley,
Receive
Underlying
Reference:
Suncorp
Group
Monthly,
Pay
Variable
4.154%
(1M
ADBB
+
0.55%)
Monthly,
1/17/24
887
(1)
—
(1)
Morgan
Stanley,
Receive
Underlying
Reference:
Worley
Monthly,
Pay
Variable
4.154%
(1M
ADBB
+
0.55%)
Monthly,
1/17/24
522
(10)
—
(10)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Insurance
Australia
Group
Monthly,
Pay
Variable
3.995%
(1M
ADBB
+
0.40%)
Monthly,
1/17/24
941
(1)
—
(1)
Total
Australia
—
13
Austria
(0.0)%
Citibank,
Pay
Underlying
Reference:
Erste
Group
Bank
Monthly,
Receive
Variable
2.384%
(EUR
ESTR
+
(0.30)%)
Monthly,
1/17/24
428
(26)
—
(26)
Goldman
Sachs,
Receive
Underlying
Reference:
BAWAG
Group
Monthly,
Pay
Variable
(0.181)%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
173
—
—
—
Total
Austria
—
(26)
Bermuda
0.0%
Morgan
Stanley,
Pay
Underlying
Reference:
Norwegian
Cruise
Line
Holdings
Monthly,
Receive
Variable
3.336%
(SOFR
+
(0.63)%)
Monthly,
1/18/24
174
(7)
—
(7)
Morgan
Stanley,
Pay
Underlying
Reference:
Norwegian
Cruise
Line
Holdings
Monthly,
Receive
Variable
3.754%
(SOFR
+
(0.63)%)
Monthly,
1/18/24
571
(8)
—
(8)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Signet
Jewelers
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
154
3
—
3
Morgan
Stanley,
Receive
Underlying
Reference:
RenaissanceRe
Holdings
Monthly,
Pay
Variable
4.868%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
527
33
—
33
Total
Bermuda
—
21
Brazil
(0.0)%
Morgan
Stanley,
Receive
Underlying
Reference:
Localiza
Rent
a
Car
Monthly,
Pay
Variable
4.918%
(SOFR
+
0.45%)
Monthly,
1/18/24
328
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Magazine
Luiza
Monthly,
Pay
Variable
4.918%
(SOFR
+
0.45%)
Monthly,
1/18/24
305
(32)
—
(32)
Total
Brazil
—
(32)
Canada
(0.1)%
Bank
of
America,
Receive
Underlying
Reference:
Brookfield
Monthly,
Pay
Variable
5.265%
(1M
CAD
CDOR
+
0.30%)
Monthly,
1/17/24
1,401
—
—
—
Bank
of
America,
Receive
Underlying
Reference:
Element
Fleet
Management
Monthly,
Pay
Variable
5.263%
(1M
CAD
CDOR
+
0.30%)
Monthly,
1/17/24
209
—
—
—
Bank
of
America,
Receive
Underlying
Reference:
Element
Fleet
Management
Monthly,
Pay
Variable
5.270%
(1M
CAD
CDOR
+
0.30%)
Monthly,
1/17/24
213
—
—
—
Citibank,
Receive
Underlying
Reference:
West
Fraser
Timber
Monthly,
Pay
Variable
5.028%
(SOFR
+
0.42%)
Monthly,
1/18/24
239
(3)
—
(3)
Goldman
Sachs,
Pay
Underlying
Reference:
Bank
of
Montreal
Monthly,
Receive
Variable
4.665%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/17/24
275
(1)
—
(1)
Goldman
Sachs,
Pay
Underlying
Reference:
Barrick
Gold
Monthly,
Receive
Variable
4.665%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/17/24
591
4
—
4
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Goldman
Sachs,
Pay
Underlying
Reference:
Brookfield
Asset
Management,
Class
A
Monthly,
Receive
Variable
4.665%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/17/24
365
(6)
—
(6)
Goldman
Sachs,
Pay
Underlying
Reference:
First
Quantum
Minerals
Monthly,
Receive
Variable
4.660%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/17/24
298
(6)
—
(6)
Goldman
Sachs,
Pay
Underlying
Reference:
Toronto-Dominion
Bank
Monthly,
Receive
Variable
4.665%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/17/24
1,615
1
—
1
Goldman
Sachs,
Receive
Underlying
Reference:
Canadian
Natural
Resources
Monthly,
Pay
Variable
5.265%
(1M
CAD
CDOR
+
0.30%)
Monthly,
1/17/24
563
1
—
1
Goldman
Sachs,
Receive
Underlying
Reference:
Magna
International
Monthly,
Pay
Variable
5.265%
(1M
CAD
CDOR
+
0.30%)
Monthly,
1/17/24
1,671
(40)
—
(40)
Goldman
Sachs,
Receive
Underlying
Reference:
Shopify,
Class
A
Monthly,
Pay
Variable
5.265%
(1M
CAD
CDOR
+
0.30%)
Monthly,
1/17/24
777
5
—
5
Goldman
Sachs,
Receive
Underlying
Reference:
Suncor
Energy
Monthly,
Pay
Variable
5.265%
(1M
CAD
CDOR
+
0.30%)
Monthly,
1/17/24
876
(15)
—
(15)
Morgan
Stanley,
Pay
Underlying
Reference:
Agnico
Eagle
Mines
Monthly,
Receive
Variable
4.565%
(1M
CAD
CDOR
+
(0.40)%)
Monthly,
1/17/24
687
2
—
2
Morgan
Stanley,
Pay
Underlying
Reference:
Bank
of
Montreal
Monthly,
Receive
Variable
4.565%
(1M
CAD
CDOR
+
(0.40)%)
Monthly,
1/17/24
122
—
—
—
Morgan
Stanley,
Pay
Underlying
Reference:
Enbridge
Monthly,
Receive
Variable
4.565%
(1M
CAD
CDOR
+
(0.40)%)
Monthly,
1/17/24
1,067
(2)
—
(2)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Restaurant
Brands
International
Monthly,
Receive
Variable
4.565%
(1M
CAD
CDOR
+
(0.40)%)
Monthly,
1/17/24
449
(13)
—
(13)
Morgan
Stanley,
Pay
Underlying
Reference:
Sun
Life
Financial
Monthly,
Receive
Variable
4.565%
(1M
CAD
CDOR
+
(0.40)%)
Monthly,
1/17/24
3,217
(67)
—
(67)
Morgan
Stanley,
Receive
Underlying
Reference:
BELLUS
Health
Monthly,
Pay
Variable
4.831%
(SOFR
+
0.40%)
Monthly,
1/18/24
390
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Canadian
Apartment
Properties
REIT
Monthly,
Pay
Variable
5.515%
(1M
CAD
CDOR
+
0.55%)
Monthly,
1/17/24
744
20
—
20
Morgan
Stanley,
Receive
Underlying
Reference:
Canadian
Pacific
Kansas
City
Monthly,
Pay
Variable
5.515%
(1M
CAD
CDOR
+
0.55%)
Monthly,
1/17/24
459
4
—
4
Morgan
Stanley,
Receive
Underlying
Reference:
Manulife
Financial
Monthly,
Pay
Variable
5.515%
(1M
CAD
CDOR
+
0.55%)
Monthly,
1/17/24
1,011
25
—
25
Morgan
Stanley,
Receive
Underlying
Reference:
National
Bank
of
Canada
Monthly,
Pay
Variable
5.515%
(1M
CAD
CDOR
+
0.55%)
Monthly,
1/17/24
2,259
63
—
63
Total
Canada
—
(28)
Cayman
Islands
0.0%
Goldman
Sachs,
Receive
Underlying
Reference:
KE
Holdings
Monthly,
Pay
Variable
4.768%
(SOFR
+
0.30%)
Monthly,
1/18/24
158
(22)
—
(22)
Morgan
Stanley,
Receive
Underlying
Reference:
NU
Holdings,
Class
A
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
329
43
—
43
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Sunny
Optical
Technology
Group
Monthly,
Pay
Variable
3.169%
(1M
HKD
HIBOR
+
0.35%)
Monthly,
1/17/24
(HKD)
1,420
(19)
—
(19)
Total
Cayman
Islands
—
2
China
(0.0)%
UBS
Investment
Bank,
Receive
Underlying
Reference:
Inner
Mongolia
Yili
Industrial
Group,
Class
A
Monthly,
Pay
Variable
3.050%
(1M
CNH
HIBOR
+
0.75%)
Monthly,
1/17/24
1,218
4
—
4
UBS
Investment
Bank,
Receive
Underlying
Reference:
Jiangsu
Hengli
Hydraulic,
Class
A
Monthly,
Pay
Variable
3.050%
(1M
CNH
HIBOR
+
0.75%)
Monthly,
1/17/24
1,284
(13)
—
(13)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Sany
Heavy
Industry,
Class
A
Monthly,
Pay
Variable
3.050%
(1M
CNH
HIBOR
+
0.75%)
Monthly,
1/17/24
959
(5)
—
(5)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Weichai
Power,
Class
A
Monthly,
Pay
Variable
3.050%
(1M
CNH
HIBOR
+
0.75%)
Monthly,
1/17/24
1,356
(12)
—
(12)
Total
China
—
(26)
Curacao
(0.0)%
JPMorgan
Chase,
Receive
Underlying
Reference:
Schlumberger
Monthly,
Pay
Variable
4.818%
(SOFR
+
0.35%)
Monthly,
1/18/24
268
(14)
1
(15)
Total
Curacao
1
(15)
Denmark
0.0%
Goldman
Sachs,
Receive
Underlying
Reference:
Novo
Nordisk,
Class
B
Monthly,
Pay
Variable
3.390%
(1M
DKK
CIBOR
+
0.35%)
Monthly,
1/17/24
7,415
(38)
—
(38)
JPMorgan
Chase,
Receive
Underlying
Reference:
Carlsberg,
Class
B
Monthly,
Pay
Variable
3.440%
(1M
DKK
CIBOR
+
0.40%)
Monthly,
1/17/24
2,432
9
—
9
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
AP
Moller
-
Maersk,
Class
B
Monthly,
Receive
Variable
2.690%
(1M
DKK
CIBOR
+
(0.35)%)
Monthly,
1/17/24
4,492
81
—
81
Total
Denmark
—
52
Finland
0.0%
Citibank,
Pay
Underlying
Reference:
Kesko,
Class
B
Monthly,
Receive
Variable
2.384%
(EUR
ESTR
+
(0.30)%)
Monthly,
1/17/24
246
12
—
12
Citibank,
Pay
Underlying
Reference:
Metso
Oyj
Monthly,
Receive
Variable
2.384%
(EUR
ESTR
+
(0.30)%)
Monthly,
1/17/24
553
4
—
4
Citibank,
Pay
Underlying
Reference:
Stora
Enso,
Class
R
Monthly,
Receive
Variable
2.384%
(EUR
ESTR
+
(0.30)%)
Monthly,
1/17/24
250
7
—
7
Citibank,
Receive
Underlying
Reference:
Valmet
Monthly,
Pay
Variable
3.084%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
656
33
—
33
Goldman
Sachs,
Receive
Underlying
Reference:
Kojamo
Monthly,
Pay
Variable
2.954%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
385
(20)
—
(20)
Morgan
Stanley,
Pay
Underlying
Reference:
UPM-Kymmene
Monthly,
Receive
Variable
2.204%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
757
23
—
23
Total
Finland
—
59
France
0.0%
Bank
of
America,
Pay
Underlying
Reference:
L'Oreal
Monthly,
Receive
Variable
2.204%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
1,540
(37)
—
(37)
Bank
of
America,
Pay
Underlying
Reference:
United
States
Steel
Monthly,
Receive
Variable
4.168%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
312
41
—
41
Bank
of
America,
Receive
Underlying
Reference:
Legrand
Monthly,
Pay
Variable
2.904%
(1M
EURIBOR
+
0.35%)
Monthly,
1/17/24
361
13
—
13
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Citibank,
Receive
Underlying
Reference:
TotalEnergies
Monthly,
Pay
Variable
3.084%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
1,346
8
—
8
JPMorgan
Chase,
Receive
Underlying
Reference:
Ferrari
Monthly,
Pay
Variable
2.904%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
392
(3)
—
(3)
Morgan
Stanley,
Pay
Underlying
Reference:
BNP
Paribas
Monthly,
Receive
Variable
2.204%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
1,021
(7)
—
(7)
Morgan
Stanley,
Pay
Underlying
Reference:
Dassault
Systemes
Monthly,
Receive
Variable
2.204%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
251
8
—
8
Morgan
Stanley,
Pay
Underlying
Reference:
Hermes
International
Monthly,
Receive
Variable
2.204%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
616
(9)
—
(9)
Morgan
Stanley,
Pay
Underlying
Reference:
Orange
Monthly,
Receive
Variable
2.550%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
558
(3)
—
(3)
Morgan
Stanley,
Pay
Underlying
Reference:
Remy
Cointreau
Monthly,
Receive
Variable
2.204%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
382
44
—
44
Morgan
Stanley,
Pay
Underlying
Reference:
Unibail-Rodamco-Westfield
Monthly,
Receive
Variable
2.204%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
286
12
—
12
Morgan
Stanley,
Receive
Underlying
Reference:
Alstom
Monthly,
Pay
Variable
2.817%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
286
4
—
4
Morgan
Stanley,
Receive
Underlying
Reference:
LVMH
Moet
Hennessy
Louis
Vuitton
Monthly,
Pay
Variable
2.904%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
1,047
(5)
—
(5)
Morgan
Stanley,
Receive
Underlying
Reference:
RAPT
Therapeutics
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
163
—
—
—
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Volkswagen
Monthly,
Pay
Variable
2.904%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
225
(7)
—
(7)
Total
France
—
59
Germany
0.1%
Bank
of
America,
Pay
Underlying
Reference:
Allianz
Monthly,
Receive
Variable
2.204%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
1,041
(57)
—
(57)
Bank
of
America,
Pay
Underlying
Reference:
Henkel
Monthly,
Receive
Variable
2.204%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
1,062
31
—
31
Bank
of
America,
Pay
Underlying
Reference:
Infineon
Technologies
Monthly,
Receive
Variable
2.204%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
538
55
—
55
Citibank,
Pay
Underlying
Reference:
Bayerische
Motoren
Werke
Monthly,
Receive
Variable
2.384%
(EUR
ESTR
+
(0.30)%)
Monthly,
1/17/24
996
(25)
—
(25)
Citibank,
Pay
Underlying
Reference:
Commerzbank
Monthly,
Receive
Variable
2.384%
(EUR
ESTR
+
(0.30)%)
Monthly,
1/17/24
192
(5)
—
(5)
Citibank,
Pay
Underlying
Reference:
Delivery
Hero
Monthly,
Receive
Variable
2.384%
(EUR
ESTR
+
(0.30)%)
Monthly,
1/17/24
290
(61)
—
(61)
Citibank,
Pay
Underlying
Reference:
Deutsche
Bank
Monthly,
Receive
Variable
2.384%
(EUR
ESTR
+
(0.30)%)
Monthly,
1/17/24
182
(10)
—
(10)
Citibank,
Pay
Underlying
Reference:
Dr.
Ing.
h.c.
F.
Porsche
Monthly,
Receive
Variable
1.440%
(EUR
ESTR
+
(0.30)%)
Monthly,
1/17/24
845
8
—
8
Citibank,
Pay
Underlying
Reference:
Merck
Monthly,
Receive
Variable
2.384%
(EUR
ESTR
+
(0.30)%)
Monthly,
1/17/24
1,097
95
—
95
Citibank,
Pay
Underlying
Reference:
Vonovia
Monthly,
Receive
Variable
2.384%
(EUR
ESTR
+
(0.30)%)
Monthly,
1/17/24
840
(98)
—
(98)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Citibank,
Receive
Underlying
Reference:
Brenntag
Monthly,
Pay
Variable
3.084%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
299
29
—
29
Goldman
Sachs,
Receive
Underlying
Reference:
adidas
Monthly,
Pay
Variable
2.954%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
673
(15)
—
(15)
Goldman
Sachs,
Receive
Underlying
Reference:
Deutsche
Telekom
Monthly,
Pay
Variable
2.954%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
1,603
(39)
—
(39)
Goldman
Sachs,
Receive
Underlying
Reference:
Puma
Monthly,
Pay
Variable
2.954%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
766
(39)
—
(39)
JPMorgan
Chase,
Receive
Underlying
Reference:
Covestro
Monthly,
Pay
Variable
2.904%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
363
28
—
28
JPMorgan
Chase,
Receive
Underlying
Reference:
Hannover
Rueck
Monthly,
Pay
Variable
2.904%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
932
79
—
79
JPMorgan
Chase,
Receive
Underlying
Reference:
KION
Group
Monthly,
Pay
Variable
2.904%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
273
14
—
14
Morgan
Stanley,
Pay
Underlying
Reference:
Mercedes-Benz
Group
Monthly,
Receive
Variable
2.204%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
332
(7)
—
(7)
Morgan
Stanley,
Receive
Underlying
Reference:
Daimler
Truck
Holding
Monthly,
Pay
Variable
2.904%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
547
(11)
—
(11)
Morgan
Stanley,
Receive
Underlying
Reference:
SAP
Monthly,
Pay
Variable
2.904%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
2,459
148
—
148
Morgan
Stanley,
Receive
Underlying
Reference:
Volkswagen
Monthly,
Pay
Variable
2.904%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
730
(22)
—
(22)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Zalando
Monthly,
Pay
Variable
2.904%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
587
(3)
—
(3)
Total
Germany
—
95
Hong
Kong
(0.0)%
Morgan
Stanley,
Receive
Underlying
Reference:
AIA
Group
Monthly,
Pay
Variable
3.416%
(1M
HKD
HIBOR
+
0.55%)
Monthly,
1/17/24
2,818
(4)
—
(4)
Morgan
Stanley,
Receive
Underlying
Reference:
Galaxy
Entertainment
Group
Monthly,
Pay
Variable
3.416%
(1M
HKD
HIBOR
+
0.55%)
Monthly,
1/17/24
2,350
(3)
—
(3)
Total
Hong
Kong
—
(7)
Ireland
(0.0)%
Citibank,
Pay
Underlying
Reference:
Aon,
Class
A
Monthly,
Receive
Variable
4.428%
(1M
USD
LIBOR
+
(0.18)%)
Monthly,
1/18/24
394
(6)
—
(6)
Citibank,
Receive
Underlying
Reference:
Medtronic
Monthly,
Pay
Variable
5.220%
(SOFR
+
0.42%)
Monthly,
1/18/24
889
—
—
—
JPMorgan
Chase,
Receive
Underlying
Reference:
CRH
Monthly,
Pay
Variable
4.231%
(GBP
SONIA
+
0.35%)
Monthly,
1/17/24
(GBP)
342
(5)
—
(5)
JPMorgan
Chase,
Receive
Underlying
Reference:
Ryanair
Holdings
Monthly,
Pay
Variable
4.818%
(SOFR
+
0.35%)
Monthly,
1/18/24
434
6
—
6
Morgan
Stanley,
Pay
Underlying
Reference:
Kingspan
Group
Monthly,
Receive
Variable
2.204%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
332
(12)
—
(12)
Morgan
Stanley,
Pay
Underlying
Reference:
Trane
Technologies
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
1,190
(61)
—
(61)
Morgan
Stanley,
Receive
Underlying
Reference:
Accenture,
Class
A
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
608
2
—
2
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Linde
Monthly,
Pay
Variable
4.868%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
1,093
19
—
19
Total
Ireland
—
(57)
Italy
0.0%
Citibank,
Pay
Underlying
Reference:
FinecoBank
Banca
Fineco
Monthly,
Receive
Variable
2.384%
(EUR
ESTR
+
(0.30)%)
Monthly,
1/17/24
1,617
38
—
38
Goldman
Sachs,
Pay
Underlying
Reference:
Snam
Monthly,
Receive
Variable
2.284%
(1M
EURIBOR
+
(0.27)%)
Monthly,
1/17/24
757
(2)
—
(2)
Goldman
Sachs,
Receive
Underlying
Reference:
Enel
Monthly,
Pay
Variable
2.954%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
773
70
—
70
Goldman
Sachs,
Receive
Underlying
Reference:
Intesa
Sanpaolo
Monthly,
Pay
Variable
2.954%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
766
(21)
—
(21)
Total
Italy
—
85
Japan
0.1%
Citibank,
Pay
Underlying
Reference:
Dai-ichi
Life
Holdings
Monthly,
Receive
Variable
(0.435)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
31,464
(12)
—
(12)
Citibank,
Pay
Underlying
Reference:
Japan
Tobacco
Monthly,
Receive
Variable
(0.435)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
155,178
(52)
—
(52)
Citibank,
Pay
Underlying
Reference:
KDDI
Monthly,
Receive
Variable
(0.435)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
36,901
(21)
—
(21)
Citibank,
Pay
Underlying
Reference:
Resona
Holdings
Monthly,
Receive
Variable
(0.435)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
33,411
(11)
—
(11)
Citibank,
Pay
Underlying
Reference:
ZOZO
Monthly,
Receive
Variable
(0.435)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
36,375
1
—
1
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Citibank,
Receive
Underlying
Reference:
Calbee
Monthly,
Pay
Variable
0.365%
(JPY
TONA
+
0.38%)
Monthly,
1/17/24
86,924
43
—
43
Citibank,
Receive
Underlying
Reference:
Kobe
Bussan
Monthly,
Pay
Variable
0.365%
(JPY
TONA
+
0.38%)
Monthly,
1/17/24
91,113
32
—
32
Citibank,
Receive
Underlying
Reference:
Mitsubishi
UFJ
Financial
Group
Monthly,
Pay
Variable
0.365%
(JPY
TONA
+
0.38%)
Monthly,
1/17/24
101,596
14
—
14
Citibank,
Receive
Underlying
Reference:
Nidec
Monthly,
Pay
Variable
0.365%
(JPY
TONA
+
0.38%)
Monthly,
1/17/24
35,208
4
—
4
Citibank,
Receive
Underlying
Reference:
Shiseido
Monthly,
Pay
Variable
0.365%
(JPY
TONA
+
0.38%)
Monthly,
1/17/24
39,438
20
—
20
Morgan
Stanley,
Pay
Underlying
Reference:
Bridgestone
Monthly,
Receive
Variable
(0.441)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
289,651
(34)
—
(34)
Morgan
Stanley,
Pay
Underlying
Reference:
DeNA
Monthly,
Receive
Variable
(0.441)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
10,850
(3)
—
(3)
Morgan
Stanley,
Pay
Underlying
Reference:
Fujitsu
Monthly,
Receive
Variable
(0.441)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
35,910
(3)
—
(3)
Morgan
Stanley,
Pay
Underlying
Reference:
Honda
Motor
Monthly,
Receive
Variable
(0.441)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
118,908
(33)
—
(33)
Morgan
Stanley,
Pay
Underlying
Reference:
Isuzu
Motors
Monthly,
Receive
Variable
(0.441)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
37,835
(13)
—
(13)
Morgan
Stanley,
Pay
Underlying
Reference:
Kyocera
Monthly,
Receive
Variable
(0.441)%
(1M
JPY
LIBOR
+
(0.42)%)
Monthly,
1/17/24
32,623
(9)
—
(9)
Morgan
Stanley,
Pay
Underlying
Reference:
Menicon
Monthly,
Receive
Variable
(0.441)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
42,061
(5)
—
(5)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
MonotaRO
Monthly,
Receive
Variable
(0.441)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
11,340
(10)
—
(10)
Morgan
Stanley,
Pay
Underlying
Reference:
Nintendo
Monthly,
Receive
Variable
(0.441)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
43,110
(20)
—
(20)
Morgan
Stanley,
Pay
Underlying
Reference:
Nissan
Motor
Monthly,
Receive
Variable
(0.441)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
92,143
—
—
—
Morgan
Stanley,
Pay
Underlying
Reference:
Recruit
Holdings
Monthly,
Receive
Variable
(0.441)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
72,595
(6)
—
(6)
Morgan
Stanley,
Pay
Underlying
Reference:
Shimano
Monthly,
Receive
Variable
(0.441)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
46,540
33
—
33
Morgan
Stanley,
Pay
Underlying
Reference:
SoftBank
Group
Monthly,
Receive
Variable
(0.329)%
(JPY
TONA
+
(0.38)%)
Monthly,
1/17/24
13,967
2
—
2
Morgan
Stanley,
Pay
Underlying
Reference:
Toray
Industries
Monthly,
Receive
Variable
(0.441)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
46,922
(15)
—
(15)
Morgan
Stanley,
Pay
Underlying
Reference:
Tosoh
Monthly,
Receive
Variable
(0.441)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
50,383
(12)
—
(12)
Morgan
Stanley,
Pay
Underlying
Reference:
Toyota
Motor
Monthly,
Receive
Variable
(0.441)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
185,968
(17)
—
(17)
Morgan
Stanley,
Pay
Underlying
Reference:
Yamaha
Monthly,
Receive
Variable
(0.441)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
184,800
(23)
—
(23)
Morgan
Stanley,
Receive
Underlying
Reference:
Daiichi
Sankyo
Monthly,
Pay
Variable
0.510%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
37,541
(5)
—
(5)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Demae-Can
Monthly,
Pay
Variable
0.510%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
28,217
(5)
—
(5)
Morgan
Stanley,
Receive
Underlying
Reference:
Denso
Monthly,
Pay
Variable
0.510%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
184,780
137
—
137
Morgan
Stanley,
Receive
Underlying
Reference:
Isetan
Mitsukoshi
Holdings
Monthly,
Pay
Variable
0.510%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
47,996
16
—
16
Morgan
Stanley,
Receive
Underlying
Reference:
Mitsubishi
Chemical
Group
Monthly,
Pay
Variable
0.510%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
54,092
7
—
7
Morgan
Stanley,
Receive
Underlying
Reference:
Mitsubishi
Electric
Monthly,
Pay
Variable
0.510%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
99,318
56
—
56
Morgan
Stanley,
Receive
Underlying
Reference:
Murata
Manufacturing
Monthly,
Pay
Variable
0.510%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
69,008
1
—
1
Morgan
Stanley,
Receive
Underlying
Reference:
Nitori
Holdings
Monthly,
Pay
Variable
0.510%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
36,960
9
—
9
Morgan
Stanley,
Receive
Underlying
Reference:
Omron
Monthly,
Pay
Variable
0.510%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
42,571
16
—
16
Morgan
Stanley,
Receive
Underlying
Reference:
Outsourcing
Monthly,
Pay
Variable
0.510%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
33,242
1
—
1
Morgan
Stanley,
Receive
Underlying
Reference:
Persol
Holdings
Monthly,
Pay
Variable
0.510%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
37,725
10
—
10
Morgan
Stanley,
Receive
Underlying
Reference:
Sumitomo
Electric
Industries
Monthly,
Pay
Variable
0.510%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
64,474
19
—
19
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Suntory
Beverage
&
Food
Monthly,
Pay
Variable
0.510%
(1M
JPY
LIBOR
+
0.53%)
Monthly,
1/17/24
46,092
7
—
7
Morgan
Stanley,
Receive
Underlying
Reference:
Suzuki
Motor
Monthly,
Pay
Variable
0.510%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
46,266
(2)
—
(2)
Morgan
Stanley,
Receive
Underlying
Reference:
Taiheiyo
Cement
Monthly,
Pay
Variable
0.510%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
20,336
3
—
3
Morgan
Stanley,
Receive
Underlying
Reference:
Tokyo
Electron
Monthly,
Pay
Variable
0.510%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
35,616
11
—
11
Morgan
Stanley,
Receive
Underlying
Reference:
Yakult
Honsha
Monthly,
Pay
Variable
0.510%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
41,034
15
—
15
UBS
Investment
Bank,
Pay
Underlying
Reference:
Chugai
Pharmaceutical
Monthly,
Receive
Variable
(0.415)%
(JPY
TONA
+
(0.40)%)
Monthly,
1/17/24
36,556
(22)
—
(22)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Daiichi
Sankyo
Monthly,
Pay
Variable
0.335%
(JPY
TONA
+
0.35%)
Monthly,
1/17/24
30,591
1
—
1
UBS
Investment
Bank,
Receive
Underlying
Reference:
Daikin
Industries
Monthly,
Pay
Variable
0.335%
(JPY
TONA
+
0.35%)
Monthly,
1/17/24
101,476
90
—
90
UBS
Investment
Bank,
Receive
Underlying
Reference:
Food
&
Life
Monthly,
Pay
Variable
0.335%
(JPY
TONA
+
0.35%)
Monthly,
1/17/24
38,628
(5)
—
(5)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Hoshizaki
Monthly,
Pay
Variable
0.335%
(JPY
TONA
+
0.35%)
Monthly,
1/17/24
62,678
20
—
20
UBS
Investment
Bank,
Receive
Underlying
Reference:
Keyence
Monthly,
Pay
Variable
0.335%
(JPY
TONA
+
0.35%)
Monthly,
1/17/24
245,262
38
—
38
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Panasonic
Monthly,
Pay
Variable
0.335%
(JPY
TONA
+
0.35%)
Monthly,
1/17/24
51,767
24
—
24
UBS
Investment
Bank,
Receive
Underlying
Reference:
Taiheiyo
Cement
Monthly,
Pay
Variable
0.335%
(JPY
TONA
+
0.35%)
Monthly,
1/17/24
84,345
28
—
28
Total
Japan
—
320
Jersey
0.0%
Goldman
Sachs,
Receive
Underlying
Reference:
Experian
Monthly,
Pay
Variable
4.261%
(GBP
SONIA
+
0.38%)
Monthly,
1/17/24
747
28
—
28
Total
Jersey
—
28
Liberia
0.0%
Morgan
Stanley,
Receive
Underlying
Reference:
Royal
Caribbean
Cruises
Monthly,
Pay
Variable
4.533%
(SOFR
+
0.40%)
Monthly,
1/18/24
594
23
—
23
Morgan
Stanley,
Receive
Underlying
Reference:
Royal
Caribbean
Cruises
Monthly,
Pay
Variable
4.831%
(SOFR
+
0.40%)
Monthly,
1/18/24
371
9
—
9
Total
Liberia
—
32
Luxembourg
(0.0)%
Morgan
Stanley,
Receive
Underlying
Reference:
ArcelorMittal
Monthly,
Pay
Variable
2.904%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
983
(62)
—
(62)
Total
Luxembourg
—
(62)
Mexico
(0.0)%
Morgan
Stanley,
Pay
Underlying
Reference:
Alpek
Monthly,
Receive
Variable
10.787%
(MXIBTIIE
+
(0.75)%)
Monthly,
1/17/24
3,065
8
—
8
Morgan
Stanley,
Receive
Underlying
Reference:
Alfa,
Class
A
Monthly,
Pay
Variable
12.087%
(MXIBTIIE
+
0.55%)
Monthly,
1/17/24
5,194
(10)
—
(10)
Total
Mexico
—
(2)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Netherlands
0.1%
Bank
of
America,
Receive
Underlying
Reference:
Airbus
Monthly,
Pay
Variable
2.904%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
956
(9)
—
(9)
JPMorgan
Chase,
Pay
Underlying
Reference:
STMicroelectronics
Monthly,
Receive
Variable
2.204%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
512
89
—
89
JPMorgan
Chase,
Receive
Underlying
Reference:
ASM
International
Monthly,
Pay
Variable
2.904%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
242
(16)
—
(16)
JPMorgan
Chase,
Receive
Underlying
Reference:
Ferrari
Monthly,
Pay
Variable
2.904%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
980
(9)
—
(9)
Morgan
Stanley,
Pay
Underlying
Reference:
NXP
Semiconductors
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
540
34
—
34
UBS
Investment
Bank,
Pay
Underlying
Reference:
Koninklijke
Ahold
Delhaize
Monthly,
Receive
Variable
2.284%
(EUR
ESTR
+
(0.40)%)
Monthly,
1/17/24
622
18
—
18
Total
Netherlands
—
107
Norway
0.0%
Citibank,
Pay
Underlying
Reference:
Equinor
Monthly,
Receive
Variable
3.030%
(1M
NOK
NIBOR
+
(0.35)%)
Monthly,
1/17/24
2,706
—
—
—
Goldman
Sachs,
Receive
Underlying
Reference:
DNB
Bank
Monthly,
Pay
Variable
3.720%
(1M
NOK
NIBOR
+
0.35%)
Monthly,
1/17/24
2,824
3
—
3
UBS
Investment
Bank,
Receive
Underlying
Reference:
Storebrand
Monthly,
Pay
Variable
3.730%
(1M
NOK
NIBOR
+
0.35%)
Monthly,
1/17/24
5,146
—
—
—
Total
Norway
—
3
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Panama
(0.0)%
Morgan
Stanley,
Receive
Underlying
Reference:
Carnival
Monthly,
Pay
Variable
4.784%
(SOFR
+
0.40%)
Monthly,
1/18/24
449
(28)
—
(28)
Total
Panama
—
(28)
South
Korea
(0.0)%
Morgan
Stanley,
Receive
Underlying
Reference:
Lotte
Chemical
Monthly,
Pay
Variable
5.318%
(SOFR
+
0.85%)
Monthly,
1/18/24
225
(20)
—
(20)
Total
South
Korea
—
(20)
Spain
(0.0)%
Goldman
Sachs,
Receive
Underlying
Reference:
Amadeus
IT
Group
Monthly,
Pay
Variable
2.954%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
317
9
—
9
JPMorgan
Chase,
Receive
Underlying
Reference:
Banco
Santander
Monthly,
Pay
Variable
2.904%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
259
(25)
—
(25)
Total
Spain
—
(16)
Sweden
0.1%
Citibank,
Receive
Underlying
Reference:
Assa
Abloy,
Class
B
Monthly,
Pay
Variable
3.468%
(1M
SEK
STIBOR
+
0.35%)
Monthly,
1/17/24
3,791
27
—
27
Goldman
Sachs,
Receive
Underlying
Reference:
Atlas
Copco,
Class
B
Monthly,
Pay
Variable
3.561%
(1M
SEK
STIBOR
+
0.35%)
Monthly,
1/17/24
3,015
38
—
38
Goldman
Sachs,
Receive
Underlying
Reference:
Svenska
Cellulosa,
Class
B
Monthly,
Pay
Variable
3.561%
(1M
SEK
STIBOR
+
0.35%)
Monthly,
1/17/24
7,792
44
—
44
Morgan
Stanley,
Pay
Underlying
Reference:
Industrivarden,
Class
C
Monthly,
Receive
Variable
2.861%
(1M
SEK
STIBOR
+
(0.35)%)
Monthly,
1/17/24
12,806
33
—
33
Morgan
Stanley,
Pay
Underlying
Reference:
Investor,
Class
A
Monthly,
Receive
Variable
2.861%
(1M
SEK
STIBOR
+
(0.35)%)
Monthly,
1/17/24
5,387
(25)
—
(25)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Kinnevik,
Class
B
Monthly,
Receive
Variable
2.861%
(1M
SEK
STIBOR
+
(0.35)%)
Monthly,
1/17/24
4,160
(17)
—
(17)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Essity,
Class
B
Monthly,
Pay
Variable
3.468%
(1M
SEK
STIBOR
+
0.35%)
Monthly,
1/17/24
7,480
11
—
11
UBS
Investment
Bank,
Receive
Underlying
Reference:
Sandvik
Monthly,
Pay
Variable
3.468%
(1M
SEK
STIBOR
+
0.35%)
Monthly,
1/17/24
7,062
(2)
—
(2)
Total
Sweden
—
109
Switzerland
(0.1)%
Bank
of
America,
Pay
Underlying
Reference:
Kuehne
+
Nagel
International
Monthly,
Receive
Variable
0.896%
(1M
CHF
LIBOR
+
(0.35)%)
Monthly,
1/17/24
178
4
—
4
Bank
of
America,
Receive
Underlying
Reference:
Montana
Aerospace
Monthly,
Pay
Variable
1.596%
(1M
CHF
LIBOR
+
0.35%)
Monthly,
1/17/24
341
(19)
—
(19)
Bank
of
America,
Receive
Underlying
Reference:
Roche
Holding
Monthly,
Pay
Variable
1.596%
(1M
CHF
LIBOR
+
0.35%)
Monthly,
1/17/24
1,163
12
—
12
Citibank,
Pay
Underlying
Reference:
Geberit
Monthly,
Receive
Variable
0.886%
(1M
CHF
LIBOR
+
(0.42)%)
Monthly,
1/17/24
247
(14)
—
(14)
Citibank,
Pay
Underlying
Reference:
Nestle
Monthly,
Receive
Variable
0.886%
(1M
CHF
LIBOR
+
(0.42)%)
Monthly,
1/17/24
1,112
(10)
—
(10)
Citibank,
Pay
Underlying
Reference:
SGS
Monthly,
Receive
Variable
(0.113)%
(1M
CHF
LIBOR
+
(0.35)%)
Monthly,
1/17/24
204
5
—
5
Citibank,
Receive
Underlying
Reference:
Zurich
Insurance
Group
Monthly,
Pay
Variable
1.586%
(1M
CHF
LIBOR
+
0.28%)
Monthly,
1/17/24
611
(30)
—
(30)
Goldman
Sachs,
Receive
Underlying
Reference:
Alcon
Monthly,
Pay
Variable
1.536%
(1M
CHF
LIBOR
+
0.29%)
Monthly,
1/17/24
482
12
—
12
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
JPMorgan
Chase,
Receive
Underlying
Reference:
Cie
Financiere
Richemont
Monthly,
Pay
Variable
1.646%
(1M
CHF
LIBOR
+
0.40%)
Monthly,
1/17/24
980
5
—
5
Morgan
Stanley,
Pay
Underlying
Reference:
CRISPR
Therapeutics
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
94
9
—
9
Morgan
Stanley,
Pay
Underlying
Reference:
Holcim
Monthly,
Receive
Variable
0.836%
(1M
CHF
LIBOR
+
(0.41)%)
Monthly,
1/17/24
271
(2)
—
(2)
Morgan
Stanley,
Pay
Underlying
Reference:
Kuehne
+
Nagel
International
Monthly,
Receive
Variable
0.836%
(1M
CHF
LIBOR
+
(0.41)%)
Monthly,
1/17/24
2,025
45
—
45
Morgan
Stanley,
Pay
Underlying
Reference:
Schindler
Holding
Monthly,
Receive
Variable
0.796%
(1M
CHF
LIBOR
+
(0.41)%)
Monthly,
1/17/24
209
(1)
—
(1)
Morgan
Stanley,
Pay
Underlying
Reference:
Swiss
Re
Monthly,
Receive
Variable
0.836%
(1M
CHF
LIBOR
+
(0.41)%)
Monthly,
1/17/24
242
(14)
—
(14)
UBS
Investment
Bank,
Pay
Underlying
Reference:
Schindler
Holding
Monthly,
Receive
Variable
0.906%
(1M
CHF
LIBOR
+
(0.40)%)
Monthly,
1/17/24
258
(18)
—
(18)
Total
Switzerland
—
(16)
United
Kingdom
0.1%
Bank
of
America,
Receive
Underlying
Reference:
Halma
Monthly,
Pay
Variable
4.231%
(GBP
SONIA
+
0.35%)
Monthly,
1/17/24
662
16
—
16
Citibank,
Pay
Underlying
Reference:
Antofagasta
Monthly,
Receive
Variable
3.684%
(GBP
SONIA
+
(0.31)%)
Monthly,
1/17/24
243
(4)
—
(4)
Citibank,
Pay
Underlying
Reference:
Burberry
Group
Monthly,
Receive
Variable
3.684%
(GBP
SONIA
+
(0.31)%)
Monthly,
1/17/24
210
(12)
—
(12)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Citibank,
Pay
Underlying
Reference:
HSBC
Holdings
Monthly,
Receive
Variable
3.684%
(GBP
SONIA
+
(0.31)%)
Monthly,
1/17/24
164
(3)
—
(3)
Citibank,
Pay
Underlying
Reference:
JD
Sports
Fashion
Monthly,
Receive
Variable
3.684%
(GBP
SONIA
+
(0.31)%)
Monthly,
1/17/24
309
13
—
13
Citibank,
Pay
Underlying
Reference:
Legal
&
General
Group
Monthly,
Receive
Variable
3.684%
(GBP
SONIA
+
(0.31)%)
Monthly,
1/17/24
492
(14)
—
(14)
Citibank,
Pay
Underlying
Reference:
Standard
Chartered
Monthly,
Receive
Variable
3.684%
(GBP
SONIA
+
(0.31)%)
Monthly,
1/17/24
154
(3)
—
(3)
Citibank,
Receive
Underlying
Reference:
London
Stock
Exchange
Group
Monthly,
Pay
Variable
4.384%
(GBP
SONIA
+
0.39%)
Monthly,
1/17/24
257
15
—
15
Goldman
Sachs,
Receive
Underlying
Reference:
Barclays
Monthly,
Pay
Variable
4.261%
(GBP
SONIA
+
0.38%)
Monthly,
1/17/24
678
29
—
29
Goldman
Sachs,
Receive
Underlying
Reference:
Imperial
Brands
Monthly,
Pay
Variable
4.261%
(GBP
SONIA
+
0.38%)
Monthly,
1/17/24
724
29
—
29
Goldman
Sachs,
Receive
Underlying
Reference:
Next
Monthly,
Pay
Variable
4.261%
(GBP
SONIA
+
0.38%)
Monthly,
1/17/24
382
15
—
15
Goldman
Sachs,
Receive
Underlying
Reference:
Segro
Monthly,
Pay
Variable
4.261%
(GBP
SONIA
+
0.38%)
Monthly,
1/17/24
727
67
—
67
Goldman
Sachs,
Receive
Underlying
Reference:
TechnipFMC
Monthly,
Pay
Variable
4.768%
(SOFR
+
0.30%)
Monthly,
1/18/24
197
5
—
5
JPMorgan
Chase,
Receive
Underlying
Reference:
GSK
Monthly,
Pay
Variable
4.231%
(GBP
SONIA
+
0.35%)
Monthly,
1/17/24
914
(56)
—
(56)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
JPMorgan
Chase,
Receive
Underlying
Reference:
Prudential
Monthly,
Pay
Variable
4.231%
(GBP
SONIA
+
0.35%)
Monthly,
1/17/24
444
34
—
34
Morgan
Stanley,
Pay
Underlying
Reference:
Mondi
Monthly,
Receive
Variable
3.571%
(GBP
SONIA
+
(0.31)%)
Monthly,
1/17/24
1,353
43
—
43
Morgan
Stanley,
Receive
Underlying
Reference:
InterContinental
Hotels
Group
Monthly,
Pay
Variable
4.271%
(1M
GBP
LIBOR
+
0.39%)
Monthly,
1/17/24
329
(2)
—
(2)
Total
United
Kingdom
—
172
United
States
0.3%
Bank
of
America,
Pay
Underlying
Reference:
Aerojet
Rocketdyne
Holdings
Monthly,
Receive
Variable
3.666%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
38
—
—
—
Bank
of
America,
Pay
Underlying
Reference:
Aerojet
Rocketdyne
Holdings
Monthly,
Receive
Variable
4.168%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
1,162
3
—
3
Bank
of
America,
Pay
Underlying
Reference:
Caterpillar
Monthly,
Receive
Variable
4.168%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
398
10
—
10
Bank
of
America,
Pay
Underlying
Reference:
CVS
Health
Monthly,
Receive
Variable
4.168%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
434
12
—
12
Bank
of
America,
Pay
Underlying
Reference:
Deere
Monthly,
Receive
Variable
4.168%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
211
7
—
7
Bank
of
America,
Pay
Underlying
Reference:
Equifax
Monthly,
Receive
Variable
4.168%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
1,792
(104)
—
(104)
Bank
of
America,
Pay
Underlying
Reference:
Eversource
Energy
Monthly,
Receive
Variable
4.168%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
2,125
45
—
45
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Bank
of
America,
Pay
Underlying
Reference:
GE
HealthCare
Technologies
Monthly,
Receive
Variable
4.168%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
413
8
—
8
Bank
of
America,
Pay
Underlying
Reference:
Goldman
Sachs
Group
Monthly,
Receive
Variable
4.168%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
563
(5)
—
(5)
Bank
of
America,
Pay
Underlying
Reference:
Mettler-Toledo
International
Monthly,
Receive
Variable
4.500%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
1,374
(1)
—
(1)
Bank
of
America,
Pay
Underlying
Reference:
NextEra
Energy
Monthly,
Receive
Variable
4.168%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
317
8
—
8
Bank
of
America,
Pay
Underlying
Reference:
Paycom
Software
Monthly,
Receive
Variable
4.168%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
780
44
—
44
Bank
of
America,
Pay
Underlying
Reference:
UDR
Monthly,
Receive
Variable
4.168%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
240
(2)
—
(2)
Bank
of
America,
Receive
Underlying
Reference:
Booking
Holdings
Monthly,
Pay
Variable
4.768%
(SOFR
+
0.30%)
Monthly,
1/18/24
725
1
—
1
Bank
of
America,
Receive
Underlying
Reference:
Carrier
Global
Monthly,
Pay
Variable
4.768%
(SOFR
+
0.30%)
Monthly,
1/18/24
551
(37)
—
(37)
Bank
of
America,
Receive
Underlying
Reference:
Chipotle
Mexican
Grill
Monthly,
Pay
Variable
4.768%
(SOFR
+
0.30%)
Monthly,
1/18/24
312
51
—
51
Bank
of
America,
Receive
Underlying
Reference:
Citigroup
Monthly,
Pay
Variable
4.768%
(SOFR
+
0.30%)
Monthly,
1/18/24
573
(25)
—
(25)
Bank
of
America,
Receive
Underlying
Reference:
CoStar
Group
Monthly,
Pay
Variable
4.768%
(SOFR
+
0.30%)
Monthly,
1/18/24
287
29
—
29
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Bank
of
America,
Receive
Underlying
Reference:
DENTSPLY
SIRONA
Monthly,
Pay
Variable
4.768%
(SOFR
+
0.30%)
Monthly,
1/18/24
820
19
—
19
Bank
of
America,
Receive
Underlying
Reference:
Elevance
Health
Monthly,
Pay
Variable
4.768%
(SOFR
+
0.30%)
Monthly,
1/18/24
596
(20)
—
(20)
Bank
of
America,
Receive
Underlying
Reference:
Entegris
Monthly,
Pay
Variable
4.768%
(SOFR
+
0.30%)
Monthly,
1/18/24
566
24
—
24
Bank
of
America,
Receive
Underlying
Reference:
Humana
Monthly,
Pay
Variable
4.768%
(SOFR
+
0.30%)
Monthly,
1/18/24
328
7
—
7
Bank
of
America,
Receive
Underlying
Reference:
Intercontinental
Exchange
Monthly,
Pay
Variable
4.768%
(SOFR
+
0.30%)
Monthly,
1/18/24
352
2
—
2
Bank
of
America,
Receive
Underlying
Reference:
Las
Vegas
Sands
Monthly,
Pay
Variable
4.768%
(SOFR
+
0.30%)
Monthly,
1/18/24
387
37
—
37
Bank
of
America,
Receive
Underlying
Reference:
Marvell
Technology
Monthly,
Pay
Variable
4.768%
(SOFR
+
0.30%)
Monthly,
1/18/24
756
(20)
—
(20)
Bank
of
America,
Receive
Underlying
Reference:
NOV
Monthly,
Pay
Variable
4.768%
(SOFR
+
0.30%)
Monthly,
1/18/24
126
(13)
—
(13)
Bank
of
America,
Receive
Underlying
Reference:
Procter
&
Gamble
Monthly,
Pay
Variable
4.768%
(SOFR
+
0.30%)
Monthly,
1/18/24
2,302
91
—
91
Bank
of
America,
Receive
Underlying
Reference:
Saia
Monthly,
Pay
Variable
4.768%
(SOFR
+
0.30%)
Monthly,
1/18/24
345
36
—
36
Bank
of
America,
Receive
Underlying
Reference:
UnitedHealth
Group
Monthly,
Pay
Variable
4.768%
(SOFR
+
0.30%)
Monthly,
1/18/24
431
(12)
—
(12)
Citibank,
Pay
Underlying
Reference:
Acuity
Brands
Monthly,
Receive
Variable
4.428%
(SOFR
+
(0.18)%)
Monthly,
1/18/24
313
3
—
3
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Citibank,
Pay
Underlying
Reference:
Centene
Monthly,
Receive
Variable
4.428%
(SOFR
+
(0.18)%)
Monthly,
1/18/24
374
(14)
—
(14)
Citibank,
Pay
Underlying
Reference:
Discover
Financial
Services
Monthly,
Receive
Variable
4.428%
(SOFR
+
(0.18)%)
Monthly,
1/18/24
526
(27)
—
(27)
Citibank,
Pay
Underlying
Reference:
ServiceNow
Monthly,
Receive
Variable
4.428%
(SOFR
+
(0.18)%)
Monthly,
1/18/24
900
27
—
27
Citibank,
Pay
Underlying
Reference:
United
Rentals
Monthly,
Receive
Variable
4.428%
(SOFR
+
(0.18)%)
Monthly,
1/18/24
247
3
—
3
Citibank,
Receive
Underlying
Reference:
Becton
Dickinson
&
Company
Monthly,
Pay
Variable
5.028%
(SOFR
+
0.42%)
Monthly,
1/18/24
1,162
46
—
46
Citibank,
Receive
Underlying
Reference:
Colgate-Palmolive
Monthly,
Pay
Variable
1.870%
(SOFR
+
0.42%)
Monthly,
1/18/24
579
18
—
18
Citibank,
Receive
Underlying
Reference:
ConocoPhillips
Monthly,
Pay
Variable
5.028%
(SOFR
+
0.42%)
Monthly,
1/18/24
845
(27)
—
(27)
Citibank,
Receive
Underlying
Reference:
JPMorgan
Chase
Monthly,
Pay
Variable
5.028%
(SOFR
+
0.42%)
Monthly,
1/18/24
1,110
86
—
86
Citibank,
Receive
Underlying
Reference:
PG&E
Monthly,
Pay
Variable
5.028%
(SOFR
+
0.42%)
Monthly,
1/18/24
815
14
—
14
Citibank,
Receive
Underlying
Reference:
Stanley
Black
&
Decker
Monthly,
Pay
Variable
5.028%
(SOFR
+
0.42%)
Monthly,
1/18/24
835
93
—
93
Citibank,
Receive
Underlying
Reference:
Teleflex
Monthly,
Pay
Variable
5.028%
(SOFR
+
0.42%)
Monthly,
1/18/24
622
24
—
24
Citibank,
Receive
Underlying
Reference:
TransDigm
Group
Monthly,
Pay
Variable
5.028%
(SOFR
+
0.42%)
Monthly,
1/18/24
643
25
—
25
Citibank,
Receive
Underlying
Reference:
Westrock
Monthly,
Pay
Variable
5.028%
(SOFR
+
0.42%)
Monthly,
1/18/24
240
(2)
—
(2)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Goldman
Sachs,
Pay
Underlying
Reference:
Adobe
Monthly,
Receive
Variable
2.830%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
270
(5)
—
(5)
Goldman
Sachs,
Pay
Underlying
Reference:
American
Electric
Power
Monthly,
Receive
Variable
4.168%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
1,075
12
—
12
Goldman
Sachs,
Pay
Underlying
Reference:
Applied
Materials
Monthly,
Receive
Variable
4.168%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
196
(2)
—
(2)
Goldman
Sachs,
Pay
Underlying
Reference:
Comcast,
Class
A
Monthly,
Receive
Variable
4.168%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
1,023
(86)
—
(86)
Goldman
Sachs,
Pay
Underlying
Reference:
Danaher
Monthly,
Receive
Variable
4.168%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
2,003
151
—
151
Goldman
Sachs,
Pay
Underlying
Reference:
Freeport-McMoRan
Monthly,
Receive
Variable
4.168%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
227
22
—
22
Goldman
Sachs,
Pay
Underlying
Reference:
Invitation
Homes
Monthly,
Receive
Variable
3.666%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
218
—
—
—
Goldman
Sachs,
Pay
Underlying
Reference:
Invitation
Homes
Monthly,
Receive
Variable
4.168%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
705
(7)
—
(7)
Goldman
Sachs,
Pay
Underlying
Reference:
Markit
iBoxx
EUR
Liquid
High
Yield
Index
at
Maturity,
Receive
Variable
2.646%
(3M
EURIBOR
+
0.00%)
at
Maturity,
6/20/23
(EUR)
1,900
11
5
6
Goldman
Sachs,
Pay
Underlying
Reference:
Moderna
Monthly,
Receive
Variable
4.168%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
241
19
—
19
Goldman
Sachs,
Pay
Underlying
Reference:
United
States
Steel
Monthly,
Receive
Variable
4.168%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
625
82
—
82
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Goldman
Sachs,
Pay
Underlying
Reference:
VICI
Properties
Monthly,
Receive
Variable
4.168%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
352
(11)
—
(11)
Goldman
Sachs,
Receive
Underlying
Reference:
Advanced
Micro
Devices
Monthly,
Pay
Variable
4.768%
(SOFR
+
0.30%)
Monthly,
1/18/24
586
(4)
—
(4)
Goldman
Sachs,
Receive
Underlying
Reference:
AmerisourceBergen
Monthly,
Pay
Variable
4.768%
(SOFR
+
0.30%)
Monthly,
1/18/24
445
(2)
—
(2)
Goldman
Sachs,
Receive
Underlying
Reference:
Baxter
International
Monthly,
Pay
Variable
3.430%
(SOFR
+
0.30%)
Monthly,
1/18/24
275
11
—
11
Goldman
Sachs,
Receive
Underlying
Reference:
Baxter
International
Monthly,
Pay
Variable
5.100%
(SOFR
+
0.30%)
Monthly,
1/18/24
375
10
—
10
Goldman
Sachs,
Receive
Underlying
Reference:
Corebridge
Financial
Monthly,
Pay
Variable
4.768%
(SOFR
+
0.30%)
Monthly,
1/18/24
46
—
—
—
Goldman
Sachs,
Receive
Underlying
Reference:
Evergy
Monthly,
Pay
Variable
4.768%
(SOFR
+
0.30%)
Monthly,
1/18/24
1,699
(2)
—
(2)
Goldman
Sachs,
Receive
Underlying
Reference:
Gen
Digital
Monthly,
Pay
Variable
4.768%
(SOFR
+
0.30%)
Monthly,
1/18/24
506
(9)
—
(9)
Goldman
Sachs,
Receive
Underlying
Reference:
Healthpeak
Properties
Monthly,
Pay
Variable
4.768%
(SOFR
+
0.30%)
Monthly,
1/18/24
253
5
—
5
Goldman
Sachs,
Receive
Underlying
Reference:
International
Paper
Monthly,
Pay
Variable
4.768%
(SOFR
+
0.30%)
Monthly,
1/18/24
350
(32)
—
(32)
Goldman
Sachs,
Receive
Underlying
Reference:
Intuitive
Surgical
Monthly,
Pay
Variable
4.266%
(SOFR
+
0.30%)
Monthly,
1/18/24
205
1
—
1
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Goldman
Sachs,
Receive
Underlying
Reference:
Intuitive
Surgical
Monthly,
Pay
Variable
4.768%
(SOFR
+
0.30%)
Monthly,
1/18/24
856
101
—
101
Goldman
Sachs,
Receive
Underlying
Reference:
Microsoft
Monthly,
Pay
Variable
4.768%
(SOFR
+
0.30%)
Monthly,
1/18/24
913
56
—
56
Goldman
Sachs,
Receive
Underlying
Reference:
Monster
Beverage
Monthly,
Pay
Variable
4.768%
(SOFR
+
0.30%)
Monthly,
1/18/24
458
26
—
26
Goldman
Sachs,
Receive
Underlying
Reference:
Morgan
Stanley
Monthly,
Pay
Variable
4.768%
(SOFR
+
0.30%)
Monthly,
1/18/24
930
13
—
13
Goldman
Sachs,
Receive
Underlying
Reference:
Rockwell
Automation
Monthly,
Pay
Variable
4.768%
(SOFR
+
0.30%)
Monthly,
1/18/24
418
8
—
8
Goldman
Sachs,
Receive
Underlying
Reference:
Sherwin-Williams
Monthly,
Pay
Variable
4.768%
(SOFR
+
0.30%)
Monthly,
1/18/24
304
8
—
8
Goldman
Sachs,
Receive
Underlying
Reference:
Visa,
Class
A
Monthly,
Pay
Variable
4.768%
(SOFR
+
0.30%)
Monthly,
1/18/24
402
(2)
—
(2)
Goldman
Sachs,
Receive
Underlying
Reference:
Welltower
Monthly,
Pay
Variable
4.768%
(SOFR
+
0.30%)
Monthly,
1/18/24
1,012
51
(1)
52
JPMorgan
Chase,
Pay
Underlying
Reference:
Apple
at
Maturity,
Receive
Variable
4.228%
(SOFR
+
(0.55)%)
at
Maturity,
6/20/23
1,648
(37)
—
(37)
JPMorgan
Chase,
Pay
Underlying
Reference:
Bank
of
America
Monthly,
Receive
Variable
4.218%
(SOFR
+
(0.25)%)
Monthly,
1/18/24
909
34
—
34
JPMorgan
Chase,
Pay
Underlying
Reference:
Carnival
at
Maturity,
Receive
Variable
4.033%
(SOFR
+
(0.75)%)
at
Maturity,
6/20/23
976
(7)
(1)
(6)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
JPMorgan
Chase,
Pay
Underlying
Reference:
Carnival
at
Maturity,
Receive
Variable
4.071%
(SOFR
+
(0.75)%)
at
Maturity,
6/20/23
980
—
—
—
JPMorgan
Chase,
Pay
Underlying
Reference:
Fair
Isaac
Monthly,
Receive
Variable
4.218%
(SOFR
+
(0.25)%)
Monthly,
1/18/24
1,092
(47)
—
(47)
JPMorgan
Chase,
Pay
Underlying
Reference:
Goodyear
Tire
&
Rubber
at
Maturity,
Receive
Variable
3.978%
(SOFR
+
(0.80)%)
at
Maturity,
6/20/23
843
(20)
—
(20)
JPMorgan
Chase,
Pay
Underlying
Reference:
Halliburton
at
Maturity,
Receive
Variable
4.278%
(SOFR
+
(0.50)%)
at
Maturity,
6/20/23
521
—
—
—
JPMorgan
Chase,
Pay
Underlying
Reference:
Halliburton
Monthly,
Receive
Variable
4.218%
(SOFR
+
(0.25)%)
Monthly,
1/18/24
528
12
—
12
JPMorgan
Chase,
Pay
Underlying
Reference:
Lowe's
Monthly,
Receive
Variable
4.218%
(1M
USD
LIBOR
+
(0.25)%)
Monthly,
1/18/24
376
(6)
—
(6)
JPMorgan
Chase,
Pay
Underlying
Reference:
Macy's
Retail
Holdings
at
Maturity,
Receive
Variable
4.158%
(SOFR
+
(0.62)%)
at
Maturity,
6/20/23
1,673
(32)
—
(32)
JPMorgan
Chase,
Pay
Underlying
Reference:
MPT
Operating
Partnership
at
Maturity,
Receive
Variable
4.128%
(SOFR
+
(0.65)%)
at
Maturity,
6/20/23
726
(26)
—
(26)
JPMorgan
Chase,
Pay
Underlying
Reference:
PayPal
Holdings
Monthly,
Receive
Variable
4.218%
(SOFR
+
(0.25)%)
Monthly,
1/18/24
280
5
—
5
JPMorgan
Chase,
Pay
Underlying
Reference:
Quanta
Services
Monthly,
Receive
Variable
4.218%
(SOFR
+
(0.25)%)
Monthly,
1/18/24
670
(10)
—
(10)
JPMorgan
Chase,
Pay
Underlying
Reference:
Texas
Instruments
Monthly,
Receive
Variable
3.716%
(SOFR
+
(0.25)%)
Monthly,
1/18/24
551
31
—
31
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
JPMorgan
Chase,
Pay
Underlying
Reference:
Texas
Instruments
Monthly,
Receive
Variable
4.218%
(SOFR
+
(0.25)%)
Monthly,
1/18/24
790
58
—
58
JPMorgan
Chase,
Pay
Underlying
Reference:
United
Parcel
Service,
Class
B
Monthly,
Receive
Variable
4.218%
(SOFR
+
(0.25)%)
Monthly,
1/18/24
770
55
—
55
JPMorgan
Chase,
Receive
Underlying
Reference:
Apollo
Global
Management
Monthly,
Pay
Variable
4.818%
(SOFR
+
0.35%)
Monthly,
1/18/24
606
(19)
—
(19)
JPMorgan
Chase,
Receive
Underlying
Reference:
Cerevel
Therapeutics
Holdings
Monthly,
Pay
Variable
1.800%
(SOFR
+
0.35%)
Monthly,
1/18/24
193
6
—
6
JPMorgan
Chase,
Receive
Underlying
Reference:
Cerevel
Therapeutics
Holdings
Monthly,
Pay
Variable
3.480%
(SOFR
+
0.35%)
Monthly,
1/18/24
30
1
—
1
JPMorgan
Chase,
Receive
Underlying
Reference:
Coupang
Monthly,
Pay
Variable
4.818%
(SOFR
+
0.35%)
Monthly,
1/18/24
315
9
—
9
JPMorgan
Chase,
Receive
Underlying
Reference:
Norfolk
Southern
Monthly,
Pay
Variable
4.818%
(SOFR
+
0.35%)
Monthly,
1/18/24
1,483
(50)
—
(50)
JPMorgan
Chase,
Receive
Underlying
Reference:
Outfront
Media
Monthly,
Pay
Variable
4.818%
(SOFR
+
0.35%)
Monthly,
1/18/24
301
4
—
4
Morgan
Stanley,
Pay
Underlying
Reference:
Abbott
Laboratories
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
591
(36)
—
(36)
Morgan
Stanley,
Pay
Underlying
Reference:
Aerojet
Rocketdyne
Holdings
Monthly,
Receive
Variable
3.766%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
352
1
—
1
Morgan
Stanley,
Pay
Underlying
Reference:
Albemarle
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
969
98
—
98
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
AMN
Healthcare
Services
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
207
1
—
1
Morgan
Stanley,
Pay
Underlying
Reference:
Analog
Devices
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
520
28
—
28
Morgan
Stanley,
Pay
Underlying
Reference:
Apple
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
1,306
(33)
—
(33)
Morgan
Stanley,
Pay
Underlying
Reference:
Autodesk
Monthly,
Receive
Variable
4.268%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
224
3
—
3
Morgan
Stanley,
Pay
Underlying
Reference:
Automatic
Data
Processing
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
498
(3)
—
(3)
Morgan
Stanley,
Pay
Underlying
Reference:
Beam
Therapeutics
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
62
2
—
2
Morgan
Stanley,
Pay
Underlying
Reference:
Bristol-Myers
Squibb
Monthly,
Receive
Variable
4.268%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
1,117
54
—
54
Morgan
Stanley,
Pay
Underlying
Reference:
Broadcom
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
1,307
4
—
4
Morgan
Stanley,
Pay
Underlying
Reference:
CarMax
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
360
(2)
—
(2)
Morgan
Stanley,
Pay
Underlying
Reference:
Caterpillar
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
1,059
27
—
27
Morgan
Stanley,
Pay
Underlying
Reference:
Charter
Communications,
Class
A
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
967
(61)
—
(61)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Copart
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
387
(7)
—
(7)
Morgan
Stanley,
Pay
Underlying
Reference:
Crowdstrike
Holdings,
Class
A
Monthly,
Receive
Variable
1.250%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
155
5
—
5
Morgan
Stanley,
Pay
Underlying
Reference:
Crowdstrike
Holdings,
Class
A
Monthly,
Receive
Variable
4.231%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
233
29
—
29
Morgan
Stanley,
Pay
Underlying
Reference:
Crowdstrike
Holdings,
Class
A
Monthly,
Receive
Variable
4.600%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
77
3
—
3
Morgan
Stanley,
Pay
Underlying
Reference:
Deere
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
1,866
61
—
61
Morgan
Stanley,
Pay
Underlying
Reference:
Devon
Energy
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
381
14
—
14
Morgan
Stanley,
Pay
Underlying
Reference:
EPAM
Systems
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
359
16
—
16
Morgan
Stanley,
Pay
Underlying
Reference:
Ford
Motor
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
821
44
—
44
Morgan
Stanley,
Pay
Underlying
Reference:
Gartner
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
1,932
107
—
107
Morgan
Stanley,
Pay
Underlying
Reference:
Generac
Holdings
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
248
5
—
5
Morgan
Stanley,
Pay
Underlying
Reference:
General
Motors
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
798
49
—
49
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Goldman
Sachs
Group
Monthly,
Receive
Variable
3.766%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
104
(1)
—
(1)
Morgan
Stanley,
Pay
Underlying
Reference:
Goldman
Sachs
Group
Monthly,
Receive
Variable
4.231%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
207
(5)
—
(5)
Morgan
Stanley,
Pay
Underlying
Reference:
HCA
Healthcare
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
1,129
(66)
—
(66)
Morgan
Stanley,
Pay
Underlying
Reference:
Henry
Schein
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
544
14
—
14
Morgan
Stanley,
Pay
Underlying
Reference:
Host
Hotels
&
Resorts
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
844
19
—
19
Morgan
Stanley,
Pay
Underlying
Reference:
IDEX
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
289
20
—
20
Morgan
Stanley,
Pay
Underlying
Reference:
IDEXX
Laboratories
Monthly,
Receive
Variable
4.268%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
434
(9)
—
(9)
Morgan
Stanley,
Pay
Underlying
Reference:
Incyte
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
690
7
—
7
Morgan
Stanley,
Pay
Underlying
Reference:
International
Flavors
&
Fragrances
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
373
(2)
—
(2)
Morgan
Stanley,
Pay
Underlying
Reference:
J
M
Smucker
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
1,239
(6)
—
(6)
Morgan
Stanley,
Pay
Underlying
Reference:
Jack
Henry
&
Associates
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
945
(37)
—
(37)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Johnson
&
Johnson
Monthly,
Receive
Variable
4.268%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
667
9
—
9
Morgan
Stanley,
Pay
Underlying
Reference:
Kimco
Realty
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
311
(1)
—
(1)
Morgan
Stanley,
Pay
Underlying
Reference:
Kroger
Monthly,
Receive
Variable
4.268%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
348
(5)
—
(5)
Morgan
Stanley,
Pay
Underlying
Reference:
Marriott
International,
Class
A
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
2,117
9
—
9
Morgan
Stanley,
Pay
Underlying
Reference:
Microchip
Technology
Monthly,
Receive
Variable
4.268%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
725
69
—
69
Morgan
Stanley,
Pay
Underlying
Reference:
Mid-America
Apartment
Communities
Monthly,
Receive
Variable
4.268%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
252
(6)
—
(6)
Morgan
Stanley,
Pay
Underlying
Reference:
MSCI
Monthly,
Receive
Variable
3.766%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
186
22
—
22
Morgan
Stanley,
Pay
Underlying
Reference:
MSCI
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
487
51
—
51
Morgan
Stanley,
Pay
Underlying
Reference:
Newmont
Monthly,
Receive
Variable
3.766%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
280
—
—
—
Morgan
Stanley,
Pay
Underlying
Reference:
Okta
Monthly,
Receive
Variable
4.600%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
153
2
—
2
Morgan
Stanley,
Pay
Underlying
Reference:
Pfizer
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
579
33
—
33
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Pool
Monthly,
Receive
Variable
4.268%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
260
(10)
—
(10)
Morgan
Stanley,
Pay
Underlying
Reference:
Prometheus
Biosciences
Monthly,
Receive
Variable
2.930%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
383
1
—
1
Morgan
Stanley,
Pay
Underlying
Reference:
Prometheus
Biosciences
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
391
—
—
—
Morgan
Stanley,
Pay
Underlying
Reference:
Prudential
Financial
Monthly,
Receive
Variable
4.268%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
252
1
—
1
Morgan
Stanley,
Pay
Underlying
Reference:
Snap-on
Monthly,
Receive
Variable
4.268%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
611
(47)
—
(47)
Morgan
Stanley,
Pay
Underlying
Reference:
Target
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
811
26
—
26
Morgan
Stanley,
Pay
Underlying
Reference:
Tesla
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
915
113
—
113
Morgan
Stanley,
Pay
Underlying
Reference:
Tractor
Supply
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
565
8
—
8
Morgan
Stanley,
Pay
Underlying
Reference:
Ulta
Beauty
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
178
(5)
—
(5)
Morgan
Stanley,
Pay
Underlying
Reference:
Waters
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
557
18
—
18
Morgan
Stanley,
Pay
Underlying
Reference:
Werner
Enterprises
Monthly,
Receive
Variable
4.268%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
456
6
—
6
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
7GC
Monthly,
Pay
Variable
4.868%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
1
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Agilent
Technologies
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
1,160
(42)
—
(42)
Morgan
Stanley,
Receive
Underlying
Reference:
Altaba
Monthly,
Pay
Variable
4.868%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
19
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Ameren
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
263
(3)
—
(3)
Morgan
Stanley,
Receive
Underlying
Reference:
American
Express
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
316
(4)
—
(4)
Morgan
Stanley,
Receive
Underlying
Reference:
AMETEK
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
554
(6)
—
(6)
Morgan
Stanley,
Receive
Underlying
Reference:
AT&T
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
655
(62)
—
(62)
Morgan
Stanley,
Receive
Underlying
Reference:
Ball
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
366
13
—
13
Morgan
Stanley,
Receive
Underlying
Reference:
Biogen
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
743
29
—
29
Morgan
Stanley,
Receive
Underlying
Reference:
Blueprint
Medicines
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
188
10
—
10
Morgan
Stanley,
Receive
Underlying
Reference:
Burlington
Stores
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
390
10
—
10
Morgan
Stanley,
Receive
Underlying
Reference:
Cboe
Global
Markets
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
714
10
—
10
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
CF
Industries
Holdings
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
224
(19)
—
(19)
Morgan
Stanley,
Receive
Underlying
Reference:
CSX
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
327
1
—
1
Morgan
Stanley,
Receive
Underlying
Reference:
Dominion
Energy
Monthly,
Pay
Variable
4.868%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
249
(7)
—
(7)
Morgan
Stanley,
Receive
Underlying
Reference:
Entegris
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
13
1
—
1
Morgan
Stanley,
Receive
Underlying
Reference:
Extra
Space
Storage
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
460
(14)
—
(14)
Morgan
Stanley,
Receive
Underlying
Reference:
EZCORP,
Class
A
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
214
(10)
—
(10)
Morgan
Stanley,
Receive
Underlying
Reference:
FedEx
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
509
(4)
—
(4)
Morgan
Stanley,
Receive
Underlying
Reference:
Fifth
Third
Bancorp
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
231
(10)
—
(10)
Morgan
Stanley,
Receive
Underlying
Reference:
FirstCash
Holdings
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
247
16
—
16
Morgan
Stanley,
Receive
Underlying
Reference:
FleetCor
Technologies
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
312
(12)
—
(12)
Morgan
Stanley,
Receive
Underlying
Reference:
FMC
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
670
(5)
—
(5)
Morgan
Stanley,
Receive
Underlying
Reference:
General
Electric
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
468
10
—
10
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Hess
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
282
(2)
—
(2)
Morgan
Stanley,
Receive
Underlying
Reference:
Hilton
Worldwide
Holdings
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
368
(4)
—
(4)
Morgan
Stanley,
Receive
Underlying
Reference:
Huntington
Ingalls
Industries
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
947
(46)
—
(46)
Morgan
Stanley,
Receive
Underlying
Reference:
Illumina
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
1,244
(135)
—
(135)
Morgan
Stanley,
Receive
Underlying
Reference:
Inari
Medical
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
246
3
—
3
Morgan
Stanley,
Receive
Underlying
Reference:
Insmed
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
151
13
—
13
Morgan
Stanley,
Receive
Underlying
Reference:
JB
Hunt
Transport
Services
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
469
(5)
—
(5)
Morgan
Stanley,
Receive
Underlying
Reference:
Kraft
Heinz
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
1,114
(10)
—
(10)
Morgan
Stanley,
Receive
Underlying
Reference:
Kymera
Therapeutics
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
354
(34)
—
(34)
Morgan
Stanley,
Receive
Underlying
Reference:
Lam
Research
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
499
31
—
31
Morgan
Stanley,
Receive
Underlying
Reference:
Maxar
Technologies
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
383
(1)
—
(1)
Morgan
Stanley,
Receive
Underlying
Reference:
Mckesson
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
279
—
—
—
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Micron
Technology
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
571
15
—
15
Morgan
Stanley,
Receive
Underlying
Reference:
Monolithic
Power
Systems
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
1,029
(46)
—
(46)
Morgan
Stanley,
Receive
Underlying
Reference:
National
Instruments
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
785
(1)
—
(1)
Morgan
Stanley,
Receive
Underlying
Reference:
News,
Class
A
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
1,159
17
—
17
Morgan
Stanley,
Receive
Underlying
Reference:
Philip
Morris
International
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
705
(1)
—
(1)
Morgan
Stanley,
Receive
Underlying
Reference:
Public
Storage
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
260
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Qualcomm
Monthly,
Pay
Variable
4.831%
(SOFR
+
0.40%)
Monthly,
1/18/24
231
(2)
—
(2)
Morgan
Stanley,
Receive
Underlying
Reference:
Regeneron
Pharmaceuticals
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
312
(7)
—
(7)
Morgan
Stanley,
Receive
Underlying
Reference:
ResMed
Monthly,
Pay
Variable
4.868%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
372
25
—
25
Morgan
Stanley,
Receive
Underlying
Reference:
Rexford
Industrial
Realty
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
235
5
—
5
Morgan
Stanley,
Receive
Underlying
Reference:
Roper
Technologies
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
1,183
29
—
29
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Ross
Stores
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
593
13
—
13
Morgan
Stanley,
Receive
Underlying
Reference:
Seagen
Monthly,
Pay
Variable
4.784%
(SOFR
+
0.40%)
Monthly,
1/18/24
390
(10)
—
(10)
Morgan
Stanley,
Receive
Underlying
Reference:
Seagen
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
385
(11)
—
(11)
Morgan
Stanley,
Receive
Underlying
Reference:
Strategic
Education
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
363
(20)
—
(20)
Morgan
Stanley,
Receive
Underlying
Reference:
Viatris
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
672
(41)
—
(41)
Morgan
Stanley,
Receive
Underlying
Reference:
Vulcan
Materials
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
450
8
—
8
Morgan
Stanley,
Receive
Underlying
Reference:
Walt
Disney
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
362
7
—
7
Morgan
Stanley,
Receive
Underlying
Reference:
Weyerhaeuser
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
327
(17)
—
(17)
Morgan
Stanley,
Receive
Underlying
Reference:
Zimmer
Biomet
Holdings
Monthly,
Pay
Variable
4.868%
(SOFR
+
0.40%)
Monthly,
1/18/24
354
13
—
13
Total
United
States
3
1,172
Total
Bilateral
Total
Return
Swaps
4
1,994
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Interest
Rate
Swaps
0.0%
Brazil
0.0%
Morgan
Stanley,
4
Year
Interest
Rate
Swap,
Receive
Fixed
13.140%
at
Maturity,
Pay
Variable
13.65%,
(BRL
CDI)
at
Maturity,
1/4/27
2,899
18
(1)
19
Total
Brazil
(1)
19
Total
Bilateral
Interest
Rate
Swaps
(1)
19
Total
Bilateral
Swaps
(1,412)
1,608
Description
Notional
Amount
$
Value
Initial
$
Value
**
Unrealized
$
Gain/(Loss)
CENTRALLY
CLEARED
SWAPS
0.1%
Credit
Default
Swaps,
Protection
Bought
(0.1)%
Luxembourg
0.0%
Protection
Bought
(Relevant
Credit:
Altice
Finco),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/20/27
865
116
105
11
Protection
Bought
(Relevant
Credit:
Glencore
Finance
Europe),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/20/26
85
(12)
(19)
7
Total
Luxembourg
18
South
Africa
0.0%
Protection
Bought
(Relevant
Credit:
Republic
of
South
Africa),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
12/20/27
(USD)
740
47
48
(1)
Total
South
Africa
(1)
United
States
(0.1)%
Protection
Bought
(Relevant
Credit:
American
Axle
&
Manufacturing),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/20/27
1,230
17
(4)
21
Protection
Bought
(Relevant
Credit:
Apache),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
6/20/27
1,005
20
53
(33)
Protection
Bought
(Relevant
Credit:
Apache),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
12/20/27
*
45
2
2
—
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Initial
$
Value**
Unrealized
$
Gain/(Loss)
Protection
Bought
(Relevant
Credit:
Citigroup),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
12/20/27
822
(6)
1
(7)
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
(46)
(8)
(38)
Protection
Bought
(Relevant
Credit:
Iron
Mountain),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/20/27
762
(114)
(91)
(23)
Protection
Bought
(Relevant
Credit:
Macy's),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
12/20/27
255
29
46
(17)
Protection
Bought
(Relevant
Credit:
Markit
CDX.NA.HY-S33,
5
Year
Index),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/20/24
2,332
(80)
(27)
(53)
Protection
Bought
(Relevant
Credit:
Markit
CDX.NA.HY-S40,
5
Year
Index),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
6/20/28
10,235
(205)
(80)
(125)
Protection
Bought
(Relevant
Credit:
Marriott
International),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
12/20/26
1,995
(33)
(2)
(31)
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:
Murphy
Oil),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
12/20/27
870
50
57
(7)
Protection
Bought
(Relevant
Credit:
Occidental
Petroleum),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
6/21/27
320
(1)
17
(18)
Protection
Bought
(Relevant
Credit:
Sanofi),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
12/20/27
(EUR)
150
(5)
(3)
(2)
Protection
Bought
(Relevant
Credit:
The
Gap),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
12/20/27
240
40
42
(2)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Initial
$
Value**
Unrealized
$
Gain/(Loss)
Protection
Bought
(Relevant
Credit:
Wells
Fargo),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
12/20/27
821
(3)
(4)
1
Protection
Bought
(Relevant
Credit:
Xerox),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
12/20/27
200
22
30
(8)
Total
United
States
(353)
Total
Centrally
Cleared
Credit
Default
Swaps,
Protection
Bought
(336)
Credit
Default
Swaps,
Protection
Sold
0.1%
Foreign/Europe
0.0%
Protection
Sold
(Relevant
Credit:
Markit
iTraxx
Crossover-S39,
5
Year
Index),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
6/20/28
3,537
127
112
15
Total
Foreign/Europe
15
Luxembourg
0.0%
Protection
Sold
(Relevant
Credit:
ArcelorMittal,
Baa3*),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
6/21/27
25
3
2
1
Total
Luxembourg
1
United
States
0.1%
Protection
Sold
(Relevant
Credit:
Calpine,
B2*),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
6/20/23
220
3
2
1
Protection
Sold
(Relevant
Credit:
Carnival,
B3*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
12/20/24
105
(11)
(8)
(3)
Protection
Sold
(Relevant
Credit:
DISH
DBS,
B3*),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
6/20/26
250
(89)
(47)
(42)
Protection
Sold
(Relevant
Credit:
FedEx,
Baa2*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
6/21/27
305
5
4
1
Protection
Sold
(Relevant
Credit:
Ford
Motor
Credit,
Ba2*),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
6/20/23
145
1
1
—
Protection
Sold
(Relevant
Credit:
Goodyear
Tire
&
Rubber,
B2*),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
6/21/27
1,250
64
45
19
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Initial
$
Value**
Unrealized
$
Gain/(Loss)
Protection
Sold
(Relevant
Credit:
Macy's,
Ba2*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
6/21/27
2,005
(182)
(206)
24
Protection
Sold
(Relevant
Credit:
Markit
CDX.NA.HY-S37,
5
Year
Index),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
12/20/26
6,100
268
(91)
359
Protection
Sold
(Relevant
Credit:
Markit
CDX.NA.HY-S39,
5
Year
Index),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
12/20/27
2,396
62
10
52
Protection
Sold
(Relevant
Credit:
Markit
CDX.NA.HY-S40,
5
Year
Index),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
6/20/28
3,870
77
68
9
Protection
Sold
(Relevant
Credit:
Markit
CDX.NA.IG-S39,
5
Year
Index),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
12/20/27
1,747
22
12
10
Total
United
States
430
Total
Centrally
Cleared
Credit
Default
Swaps,
Protection
Sold
446
Interest
Rate
Swaps
0.1%
China
(0.0)%
5
Year
Interest
Rate
Swap,
Pay
Fixed
2.830%
Quarterly,
Receive
Variable
2.500%
(7
Day
Interbank
Repo)
Quarterly,
3/20/28
10,360
(8)
—
(8)
Total
China
(8)
Hungary
0.0%
5
Year
Interest
Rate
Swap,
Receive
Fixed
9.125%
Annually,
Pay
Variable
15.930%
(6M
HUF
BUBOR)
Semi-Annually,
4/24/28
69,464
3
—
3
5
Year
Interest
Rate
Swap,
Receive
Fixed
9.225%
Annually,
Pay
Variable
15.930%
(6M
HUF
BUBOR)
Semi-Annually,
4/24/28
41,845
2
—
2
5
Year
Interest
Rate
Swap,
Receive
Fixed
9.400%
Annually,
Pay
Variable
15.960%
(6M
HUF
BUBOR)
Semi-Annually,
4/21/28
41,845
3
—
3
5
Year
Interest
Rate
Swap,
Receive
Fixed
9.420%
Annually,
Pay
Variable
15.960%
(6M
HUF
BUBOR)
Semi-Annually,
4/21/28
41,846
3
—
3
Total
Hungary
11
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Initial
$
Value**
Unrealized
$
Gain/(Loss)
India
(0.0)%
2
Year
Interest
Rate
Swap,
Receive
Fixed
6.590%
Semi-Annually,
Pay
Variable
6.900%
(1
Day
INR
MIBOR)
Semi-Annually,
5/30/24
45,000
—
—
—
2
Year
Interest
Rate
Swap,
Receive
Fixed
6.870%
at
Maturity,
Pay
Variable
6.900%
(1
Day
INR
MIBOR)
at
Maturity,
6/24/24
44,500
3
—
3
5
Year
Interest
Rate
Swap,
Pay
Fixed
6.835%
Semi-Annually,
Receive
Variable
6.900%
(1
Day
INR
MIBOR)
Semi-Annually,
5/31/27
45,000
(16)
—
(16)
5
Year
Interest
Rate
Swap,
Pay
Fixed
7.068%
at
Maturity,
Receive
Variable
6.900%
(1
Day
INR
MIBOR)
at
Maturity,
6/22/27
44,500
(20)
—
(20)
Total
India
(33)
Japan
(0.0)%
10
Year
Interest
Rate
Swap,
Pay
Fixed
0.658%
Annually,
Receive
Variable
(0.073)%
(JPY
TONA)
Annually,
5/2/33
56,700
(4)
—
(4)
10
Year
Interest
Rate
Swap,
Pay
Fixed
0.659%
Annually,
Receive
Variable
(0.073)%
(JPY
TONA)
Annually,
5/2/33
56,700
(5)
—
(5)
10
Year
Interest
Rate
Swap,
Pay
Fixed
0.660%
Annually,
Receive
Variable
(0.073)%
(JPY
TONA)
Annually,
5/2/33
28,350
(2)
—
(2)
Total
Japan
(11)
New
Zealand
0.0%
2
Year
Interest
Rate
Swap,
Receive
Fixed
5.074%
Semi-Annually,
Pay
Variable
5.030%
(3M
NDBB)
Quarterly,
2/21/25
2,240
(1)
1
(2)
2
Year
Interest
Rate
Swap,
Receive
Fixed
5.079%
Semi-Annually,
Pay
Variable
5.030%
(3M
NDBB)
Quarterly,
2/21/25
3,245
(2)
—
(2)
2
Year
Interest
Rate
Swap,
Receive
Fixed
5.115%
Semi-Annually,
Pay
Variable
5.520%
(3M
NDBB)
Quarterly,
4/11/25
13,050
3
—
3
2
Year
Interest
Rate
Swap,
Receive
Fixed
5.369%
Semi-Annually,
Pay
Variable
5.150%
(3M
NDBB)
Quarterly,
2/28/25
1,958
6
1
5
2
Year
Interest
Rate
Swap,
Receive
Fixed
5.380%
Semi-Annually,
Pay
Variable
5.150%
(3M
NDBB)
Quarterly,
2/28/25
253
1
—
1
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Initial
$
Value**
Unrealized
$
Gain/(Loss)
2
Year
Interest
Rate
Swap,
Receive
Fixed
5.425%
Semi-Annually,
Pay
Variable
5.150%
(3M
NDBB)
Quarterly,
2/28/25
2,314
8
—
8
Total
New
Zealand
13
Poland
(0.1)%
5
Year
Interest
Rate
Swap,
Pay
Fixed
7.100%
Annually,
Receive
Variable
6.950%
(6M
PLN
WIBOR)
Semi-Annually,
10/13/27
4,363
(100)
—
(100)
5
Year
Interest
Rate
Swap,
Pay
Fixed
7.188%
Annually,
Receive
Variable
6.950%
(6M
PLN
WIBOR)
Semi-Annually,
10/18/27
3,758
(89)
1
(90)
Total
Poland
(190)
United
Kingdom
0.3%
2
Year
Interest
Rate
Swap,
Receive
Fixed
4.199%
Annually,
Pay
Variable
4.178%
(GBP
SONIA)
Annually,
3/31/25
2,352
(17)
—
(17)
2
Year
Interest
Rate
Swap,
Receive
Fixed
4.231%
Annually,
Pay
Variable
4.178%
(GBP
SONIA)
Annually,
3/31/25
2,353
(16)
—
(16)
5
Year
Interest
Rate
Swap,
Receive
Fixed
3.639%
Annually,
Pay
Variable
4.178%
(GBP
SONIA)
Annually,
3/21/28
3,725
(77)
—
(77)
30
Year
Interest
Rate
Swap,
Pay
Fixed
0.912%
Annually,
Receive
Variable
3.334%
(GBP
SONIA)
Annually,
9/27/51
1,020
606
—
606
30
Year
Interest
Rate
Swap,
Pay
Fixed
3.226%
Annually,
Receive
Variable
4.178%
(GBP
SONIA)
Annually,
3/21/53
935
60
—
60
50
Year
Interest
Rate
Swap,
Pay
Fixed
0.742%
Annually,
Receive
Variable
3.334%
(GBP
SONIA)
Annually,
9/27/71
50
38
—
38
50
Year
Interest
Rate
Swap,
Pay
Fixed
4.085%
Annually,
Receive
Variable
3.473%
(GBP
SONIA)
Annually,
10/11/72
179
(45)
—
(45)
Total
United
Kingdom
549
United
States
(0.1)%
1
Year
Interest
Rate
Swap,
Receive
Fixed
5.391%
Annually,
Pay
Variable
4.750%
(SOFR)
Annually,
3/7/24
20,381
95
—
95
5
Year
Interest
Rate
Swap,
Receive
Fixed
3.340%
Annually,
Pay
Variable
4.800%
(SOFR)
Annually,
4/6/28
4,600
—
—
—
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Initial
$
Value**
Unrealized
$
Gain/(Loss)
5
Year
Interest
Rate
Swap,
Receive
Fixed
3.476%
Annually,
Pay
Variable
4.800%
(SOFR)
Annually,
4/19/28
4,590
32
—
32
10
Year
Interest
Rate
Swap,
Pay
Fixed
3.350%
Annually,
Receive
Variable
4.696%
(SOFR)
Annually,
2/8/33
810
(11)
—
(11)
10
Year
Interest
Rate
Swap,
Pay
Fixed
3.582%
Annually,
Receive
Variable
4.448%
(SOFR)
Annually,
11/16/32
495
(15)
—
(15)
10
Year
Interest
Rate
Swap,
Pay
Fixed
3.740%
Annually,
Receive
Variable
4.738%
(SOFR)
Annually,
3/3/33
256
(12)
—
(12)
10
Year
Interest
Rate
Swap,
Pay
Fixed
3.750%
Annually,
Receive
Variable
4.750%
(SOFR)
Annually,
3/7/33
2,350
(114)
—
(114)
10
Year
Interest
Rate
Swap,
Pay
Fixed
3.824%
Annually,
Receive
Variable
4.747%
(SOFR)
Annually,
3/7/33
425
(23)
—
(23)
30
Year
Interest
Rate
Swap,
Pay
Fixed
2.982%
Annually,
Receive
Variable
4.800%
(SOFR)
Annually,
4/7/53
1,095
(2)
—
(2)
30
Year
Interest
Rate
Swap,
Pay
Fixed
3.094%
Annually,
Receive
Variable
4.800%
(SOFR)
Annually,
4/21/53
1,065
(26)
—
(26)
30
Year
Interest
Rate
Swap,
Pay
Fixed
3.276%
Annually,
Receive
Variable
4.733%
(SOFR)
Annually,
3/3/53
500
(29)
—
(29)
30
Year
Interest
Rate
Swap,
Pay
Fixed
3.301%
Annually,
Receive
Variable
4.738%
(SOFR)
Annually,
3/3/53
553
(35)
—
(35)
Total
United
States
(140)
Total
Centrally
Cleared
Interest
Rate
Swaps
191
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
—
5
5
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
3.113%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
8/16/27
798
3
—
3
5
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
3.190%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
8/16/27
720
—
—
—
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Initial
$
Value**
Unrealized
$
Gain/(Loss)
5
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
3.203%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
8/16/27
798
1
1
—
5
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
3.205%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
8/16/27
720
(1)
—
(1)
Total
Foreign/Europe
7
United
States
0.0%
5
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.440%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
1/31/28
418
1
—
1
5
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.453%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
1/31/28
238
—
—
—
5
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.453%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
1/31/28
419
1
1
—
10
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.486%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
1/25/33
209
—
—
—
10
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.490%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
1/25/33
416
—
—
—
10
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.498%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
1/25/33
655
—
1
(1)
10
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.532%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
3/28/33
423
(2)
—
(2)
10
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.539%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
3/28/33
423
(2)
—
(2)
10
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.543%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
3/28/33
444
(2)
—
(2)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Initial
$
Value**
Unrealized
$
Gain/(Loss)
30
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.345%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
3/24/53
652
5
—
5
Total
United
States
(1)
Total
Centrally
Cleared
Zero-Coupon
Inflation
Swaps
6
Total
Centrally
Cleared
Swaps
307
Net
payments
(receipts)
of
variation
margin
to
date
(447)
Variation
margin
receivable
(payable)
on
centrally
cleared
swaps
$
(140)
*
Credit
ratings
as
of
April
30,
2023.
Ratings
shown
are
from
Moody’s
Investors
Service
and
if
Moody’s
does
not
rate
a
security,
then
Standard
&
Poor’s
(S&P)
is
used.
Fitch
is
used
for
securities
that
are
not
rated
by
either
Moody’s
or
S&P.
**
Includes
interest
purchased
or
sold
but
not
yet
collected
of
$17.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
FORWARD
CURRENCY
EXCHANGE
CONTRACTS
Counterparty
Settlement
Receive
Deliver
Unrealized
Gain/(Loss)
Bank
of
America
5/3/23
USD
2,339
GBP
1,899
$
(48)
Bank
of
America
5/5/23
USD
900
CLP
724,714
3
Bank
of
America
5/12/23
PLN
1,765
USD
415
9
Bank
of
America
5/19/23
EUR
1,722
USD
1,852
48
Bank
of
America
5/19/23
USD
1,096
EUR
1,020
(30)
Bank
of
America
5/19/23
USD
222
GBP
181
(6)
Bank
of
America
6/2/23
JPY
301,283
USD
2,259
(36)
Bank
of
America
6/9/23
COP
2,582,881
USD
524
20
Bank
of
America
7/7/23
INR
46,865
USD
567
5
Bank
of
America
7/7/23
KRW
560,416
USD
435
(14)
Bank
of
America
7/7/23
USD
1,844
INR
152,509
(15)
Bank
of
America
7/7/23
USD
933
TWD
27,900
20
Bank
of
America
7/10/23
KZT
132,600
USD
286
1
Bank
of
America
7/14/23
USD
1,661
MXN
30,536
(11)
Bank
of
America
7/21/23
USD
557
AUD
842
(2)
Bank
of
America
8/11/23
CLP
724,714
USD
889
(4)
Bank
of
America
10/17/23
USD
278
SGD
367
1
Barclays
Bank
5/3/23
KRW
3,532,389
USD
2,649
(9)
Barclays
Bank
5/3/23
USD
2,638
KRW
3,532,389
(2)
Barclays
Bank
5/19/23
EUR
335
USD
369
1
Barclays
Bank
5/19/23
USD
2,470
GBP
2,027
(78)
Barclays
Bank
6/2/23
USD
2,654
KRW
3,532,389
8
BNP
Paribas
5/3/23
BRL
11,138
USD
2,220
11
BNP
Paribas
5/3/23
KRW
3,532,389
USD
2,638
2
BNP
Paribas
5/3/23
USD
1,447
BRL
7,149
15
BNP
Paribas
5/3/23
USD
798
BRL
3,989
(1)
BNP
Paribas
5/3/23
USD
2,724
KRW
3,532,389
84
BNP
Paribas
5/5/23
CLP
86,862
USD
108
(1)
BNP
Paribas
5/19/23
EUR
1,104
USD
1,190
28
BNP
Paribas
5/19/23
GBP
305
USD
380
3
BNP
Paribas
5/19/23
USD
2,962
EUR
2,759
(81)
BNP
Paribas
6/2/23
USD
700
BRL
3,668
(30)
BNP
Paribas
7/14/23
MXN
16,828
USD
918
3
BNP
Paribas
7/21/23
USD
425
CAD
575
—
BNY
Mellon
5/2/23
JPY
168,564
USD
1,239
(1)
BNY
Mellon
5/2/23
USD
2,317
JPY
315,100
3
BNY
Mellon
6/2/23
JPY
315,100
USD
2,328
(2)
BNY
Mellon
6/2/23
USD
1,245
JPY
168,564
1
Canadian
Imperial
Bank
of
Commerce
5/3/23
CAD
8,786
USD
6,440
45
Canadian
Imperial
Bank
of
Commerce
5/19/23
EUR
249
USD
265
9
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
FORWARD
CURRENCY
EXCHANGE
CONTRACTS
(CONTINUED)
Counterparty
Settlement
Receive
Deliver
Unrealized
Gain/(Loss)
Canadian
Imperial
Bank
of
Commerce
5/19/23
EUR
204
USD
226
$
—
Canadian
Imperial
Bank
of
Commerce
5/19/23
USD
384
EUR
360
(13)
Canadian
Imperial
Bank
of
Commerce
6/2/23
USD
6,444
CAD
8,786
(45)
Canadian
Imperial
Bank
of
Commerce
7/21/23
USD
986
AUD
1,485
—
Citibank
5/3/23
BRL
4,153
USD
831
1
Citibank
5/3/23
USD
808
BRL
4,153
(23)
Citibank
5/5/23
CLP
322,655
USD
396
3
Citibank
5/5/23
CLP
416,437
USD
523
(8)
Citibank
5/12/23
USD
121
RSD
13,311
(4)
Citibank
5/19/23
GBP
329
USD
403
11
Citibank
5/19/23
USD
648
EUR
606
(21)
Citibank
6/2/23
BRL
1,210
USD
238
3
Citibank
6/2/23
USD
280
BRL
1,493
(17)
Citibank
6/9/23
USD
482
COP
2,227,450
12
Citibank
6/16/23
SGD
369
USD
275
2
Citibank
7/7/23
USD
348
PEN
1,314
(5)
Citibank
7/14/23
RON
1,263
USD
278
4
Citibank
7/14/23
USD
443
RON
2,014
(6)
Citibank
7/20/23
USD
1,595
ILS
5,744
7
Citibank
7/21/23
AUD
188
USD
127
(2)
Citibank
7/21/23
USD
1,223
AUD
1,846
(3)
Citibank
7/21/23
USD
404
NZD
653
—
Citibank
7/21/23
USD
403
NZD
660
(5)
Citibank
10/17/23
SGD
367
USD
275
2
Deutsche
Bank
5/19/23
EUR
19
USD
21
—
Deutsche
Bank
5/19/23
SEK
8,874
USD
852
15
Deutsche
Bank
5/19/23
USD
1,744
EUR
1,644
(70)
Deutsche
Bank
6/9/23
THB
9,502
USD
275
4
Deutsche
Bank
6/9/23
USD
583
THB
20,133
(9)
Deutsche
Bank
7/14/23
USD
148
HUF
51,907
(2)
Deutsche
Bank
7/20/23
ILS
108
USD
30
—
Deutsche
Bank
7/21/23
USD
466
AUD
684
12
Goldman
Sachs
5/3/23
BRL
17,768
USD
3,547
11
Goldman
Sachs
5/3/23
USD
3,508
BRL
17,768
(50)
Goldman
Sachs
5/19/23
USD
112
EUR
103
(1)
Goldman
Sachs
6/2/23
BRL
4,161
USD
778
50
Goldman
Sachs
6/2/23
INR
412,782
USD
5,014
27
Goldman
Sachs
6/2/23
USD
1,544
BRL
8,031
(55)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
FORWARD
CURRENCY
EXCHANGE
CONTRACTS
(CONTINUED)
Counterparty
Settlement
Receive
Deliver
Unrealized
Gain/(Loss)
Goldman
Sachs
6/9/23
THB
9,502
USD
275
$
4
Goldman
Sachs
6/9/23
USD
198
COP
943,493
(1)
Goldman
Sachs
6/9/23
USD
583
THB
20,133
(9)
Goldman
Sachs
6/16/23
CZK
8,730
USD
385
23
Goldman
Sachs
6/16/23
HUF
145,470
USD
381
43
Goldman
Sachs
6/16/23
IDR
5,885,000
USD
380
21
Goldman
Sachs
7/7/23
USD
912
TWD
27,297
19
Goldman
Sachs
7/14/23
CZK
187
USD
9
—
Goldman
Sachs
7/14/23
USD
166
CZK
3,577
(1)
HSBC
Bank
5/2/23
JPY
496,837
USD
3,796
(147)
HSBC
Bank
5/2/23
USD
1,288
JPY
168,564
50
HSBC
Bank
5/3/23
BRL
18,761
USD
3,593
164
HSBC
Bank
5/3/23
USD
3,752
BRL
18,761
(6)
HSBC
Bank
5/19/23
GBP
939
USD
1,150
31
HSBC
Bank
6/2/23
USD
735
BRL
3,898
(40)
HSBC
Bank
6/9/23
USD
57
MYR
254
—
HSBC
Bank
7/7/23
IDR
12,629,764
USD
836
24
HSBC
Bank
7/7/23
USD
394
IDR
5,943,864
(11)
HSBC
Bank
7/14/23
USD
1,203
MXN
22,147
(10)
JPMorgan
Chase
5/3/23
NOK
23,894
USD
2,257
(14)
JPMorgan
Chase
5/3/23
USD
946
EUR
863
(5)
JPMorgan
Chase
5/3/23
USD
725
MXN
13,099
(3)
JPMorgan
Chase
5/3/23
USD
864
SEK
8,952
(9)
JPMorgan
Chase
5/19/23
EUR
508
USD
545
15
JPMorgan
Chase
5/19/23
GBP
623
USD
761
22
JPMorgan
Chase
5/19/23
USD
1,035
GBP
862
(48)
Morgan
Stanley
5/3/23
NOK
30,190
USD
2,896
(62)
Morgan
Stanley
5/3/23
SEK
17,887
USD
1,718
26
Morgan
Stanley
5/3/23
USD
4,158
CAD
5,604
21
Morgan
Stanley
5/3/23
USD
3,293
MXN
60,286
(56)
Morgan
Stanley
5/3/23
USD
865
SEK
8,935
(7)
Morgan
Stanley
5/3/23
USD
1,363
ZAR
25,066
(6)
Morgan
Stanley
5/19/23
EUR
97
USD
104
4
Morgan
Stanley
5/19/23
GBP
965
USD
1,199
15
Morgan
Stanley
5/19/23
SEK
8,510
USD
825
5
Morgan
Stanley
6/2/23
BRL
1,648
USD
312
15
Morgan
Stanley
6/2/23
SEK
8,935
USD
866
7
Morgan
Stanley
6/2/23
ZAR
25,066
USD
1,360
6
Morgan
Stanley
6/9/23
COP
1,990,834
USD
402
18
Morgan
Stanley
6/9/23
COP
1,935,590
USD
408
(1)
Morgan
Stanley
6/9/23
USD
236
COP
1,078,030
9
Morgan
Stanley
6/9/23
USD
572
COP
2,835,667
(25)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
FORWARD
CURRENCY
EXCHANGE
CONTRACTS
(CONTINUED)
Counterparty
Settlement
Receive
Deliver
Unrealized
Gain/(Loss)
Morgan
Stanley
6/16/23
SGD
367
USD
274
$
2
Morgan
Stanley
7/14/23
USD
2,824
MXN
51,925
(19)
Morgan
Stanley
7/21/23
USD
225
CHF
200
(1)
RBC
Dominion
Securities
5/3/23
CHF
6,012
USD
6,715
16
RBC
Dominion
Securities
5/3/23
EUR
3,848
USD
4,248
(7)
RBC
Dominion
Securities
5/3/23
USD
3,208
EUR
2,948
(41)
RBC
Dominion
Securities
5/19/23
EUR
1,916
USD
2,062
52
RBC
Dominion
Securities
5/19/23
USD
540
EUR
505
(17)
RBC
Dominion
Securities
6/2/23
USD
797
AUD
1,200
2
RBC
Dominion
Securities
6/2/23
USD
6,738
CHF
6,012
(17)
RBC
Dominion
Securities
6/2/23
USD
4,255
EUR
3,848
6
RBC
Dominion
Securities
7/14/23
USD
1,035
MXN
18,983
(4)
RBC
Dominion
Securities
7/21/23
CAD
2,840
USD
2,132
(33)
RBC
Dominion
Securities
7/21/23
USD
1,863
CAD
2,493
20
RBC
Dominion
Securities
7/21/23
USD
1,442
NZD
2,330
1
Standard
Chartered
5/5/23
CLP
225,011
USD
271
7
Standard
Chartered
5/19/23
EUR
529
USD
570
14
Standard
Chartered
5/19/23
GBP
357
USD
443
7
Standard
Chartered
5/19/23
USD
957
EUR
897
(32)
Standard
Chartered
6/9/23
MYR
3,662
USD
822
4
Standard
Chartered
6/9/23
USD
256
MYR
1,138
(1)
State
Street
5/2/23
USD
1,372
JPY
181,737
37
State
Street
5/3/23
EUR
73
USD
80
—
State
Street
5/3/23
GBP
4,113
USD
5,141
29
State
Street
5/3/23
MXN
51,605
USD
2,858
9
State
Street
5/3/23
NOK
6,703
USD
652
(22)
State
Street
5/3/23
USD
2,386
CAD
3,182
37
State
Street
5/3/23
USD
886
CHF
786
6
State
Street
5/3/23
USD
5,712
CHF
5,226
(139)
State
Street
5/3/23
USD
119
EUR
109
(2)
State
Street
5/3/23
USD
2,760
GBP
2,214
(23)
State
Street
5/3/23
ZAR
25,066
USD
1,385
(16)
State
Street
5/19/23
EUR
218
USD
232
9
State
Street
5/19/23
EUR
520
USD
575
(2)
State
Street
5/19/23
GBP
1,583
USD
1,973
18
State
Street
5/19/23
USD
1,278
EUR
1,183
(28)
State
Street
5/19/23
USD
8,276
GBP
6,891
(389)
State
Street
5/19/23
USD
441
SEK
4,546
(3)
State
Street
6/2/23
GBP
2,214
USD
2,762
23
State
Street
6/2/23
USD
248
BRL
1,270
(5)
State
Street
6/2/23
USD
80
EUR
73
—
State
Street
6/2/23
USD
2,369
GBP
1,899
(20)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Amounts
in
000s)
FORWARD
CURRENCY
EXCHANGE
CONTRACTS
(CONTINUED)
Counterparty
Settlement
Receive
Deliver
Unrealized
Gain/(Loss)
State
Street
6/9/23
USD
81
COP
379,346
$
1
State
Street
6/9/23
USD
15
COP
70,060
—
State
Street
7/14/23
USD
970
HUF
344,315
(24)
State
Street
7/14/23
USD
36
MXN
666
—
State
Street
7/14/23
USD
42
ZAR
765
1
State
Street
7/21/23
CHF
385
USD
434
1
UBS
Investment
Bank
5/3/23
MXN
21,780
USD
1,189
21
UBS
Investment
Bank
5/3/23
USD
5,725
NOK
60,787
19
UBS
Investment
Bank
5/12/23
PLN
753
USD
171
10
UBS
Investment
Bank
5/12/23
USD
846
PLN
3,725
(48)
UBS
Investment
Bank
5/19/23
EUR
1,172
USD
1,284
9
UBS
Investment
Bank
5/19/23
SEK
4,546
USD
438
6
UBS
Investment
Bank
5/19/23
USD
1,744
EUR
1,622
(46)
UBS
Investment
Bank
5/19/23
USD
864
SEK
8,874
(2)
UBS
Investment
Bank
6/2/23
NOK
60,787
USD
5,733
(18)
UBS
Investment
Bank
6/9/23
COP
2,061,981
USD
417
17
UBS
Investment
Bank
6/9/23
PHP
34,985
USD
636
(4)
UBS
Investment
Bank
6/9/23
USD
631
COP
2,944,487
10
UBS
Investment
Bank
6/9/23
USD
1,025
PHP
56,294
8
UBS
Investment
Bank
7/14/23
HUF
148,173
USD
427
—
UBS
Investment
Bank
7/14/23
USD
2,707
ZAR
49,905
(2)
UBS
Investment
Bank
7/21/23
JPY
290,780
USD
2,158
4
UBS
Investment
Bank
7/21/23
USD
274
AUD
415
(1)
Wells
Fargo
5/5/23
USD
398
CLP
326,250
(5)
Wells
Fargo
6/9/23
USD
936
COP
4,360,359
17
Wells
Fargo
7/21/23
USD
393
CAD
535
(2)
Net
unrealized
gain
(loss)
on
open
forward
currency
exchange
contracts
$
(695)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
FUTURES
CONTRACTS
($000s)
Expiration
Date
Notional
Amount
Value
and
Unrealized
Gain
(Loss)
Short,
236
Three
Month
SOFR
Futures
contracts
3/24
(56,374)
$
124
Long,
15
Amsterdam
IDX
contracts
5/23
2,501
7
Short,
22
CAC40
Index
contracts
5/23
(1,809)
(1)
Short,
8
Hang
Seng
Index
contracts
5/23
(1,009)
(13)
Long,
131
OMX
Swedish
Index
contracts
5/23
2,893
29
Long,
20
Commonwealth
of
Australia
ten
year
bond
contracts
6/23
1,621
13
Short,
8
DAX
Performance
Index
contracts
6/23
(3,531)
(36)
Short,
102
Euro
BOBL
contracts
6/23
(13,259)
(256)
Long,
25
Euro
BTP
contracts
6/23
3,164
4
Short,
72
Euro
BUND
contracts
6/23
(10,755)
(10)
Long,
3
Euro
BUXL
thirty
year
bond
contracts
6/23
461
5
Long,
24
Euro
OAT
contracts
6/23
3,438
4
Short,
283
Euro
SCHATZ
contracts
6/23
(32,953)
47
Short,
62
Euro
STOXX
contracts
6/23
(2,951)
(88)
Short,
90
FTSE
100
Index
contracts
6/23
(8,893)
(303)
Long,
21
FTSE
MIB
Index
contracts
6/23
3,113
16
Short,
28
Government
of
Canada
ten
year
bond
contracts
6/23
(2,606)
(110)
Short,
53
Mini
ten
year
JGB
contracts
6/23
(5,790)
(40)
Short,
91
MSCI
EAFE
Index
contracts
6/23
(9,781)
(602)
Short,
151
MSCI
Emerging
Markets
Index
contracts
6/23
(7,431)
(147)
Short,
3
NASDAQ
100
E-Mini
contracts
6/23
(799)
(17)
Long,
21
Republic
of
South
Korea
ten
year
bond
contracts
6/23
1,784
6
Short,
4
S&P
500
E-mini
Index
Communication
Services
Sector
contracts
6/23
(315)
(24)
Long,
1
S&P
500
E-mini
Index
Consumer
Discretionary
Sector
contracts
6/23
150
1
Long,
3
S&P
500
E-mini
Index
Consumer
Staples
Sector
contracts
6/23
235
18
Short,
102
S&P
500
E-Mini
Index
contracts
6/23
(21,361)
(437)
Long,
12
S&P
500
E-mini
Index
Energy
Sector
contracts
6/23
1,074
(1)
Short,
23
S&P
500
E-mini
Index
Financial
Sector
contracts
6/23
(2,362)
(68)
Short,
2
S&P
500
E-mini
Index
Industrial
Sector
contracts
6/23
(202)
2
Short,
5
S&P
500
E-mini
Index
Materials
Sector
contracts
6/23
(429)
(9)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
FUTURES
CONTRACTS
(CONTINUED)
($000s)
Expiration
Date
Notional
Amount
Value
and
Unrealized
Gain
(Loss)
Short,
8
S&P
500
E-mini
Index
Real
Estate
Select
Sector
contracts
6/23
(371)
$
(4)
Short,
1
S&P
500
E-mini
Index
Technology
Sector
contracts
6/23
(153)
(8)
Long,
18
S&P
500
E-mini
Index
Utilities
Sector
contracts
6/23
1,258
66
Short,
32
S&P/TSX
60
Index
contracts
6/23
(5,898)
(151)
Short,
54
TOPIX
Index
contracts
6/23
(8,157)
(338)
Long,
64
U.K.
Gilt
ten
year
contracts
6/23
8,161
(266)
Long,
16
U.S.
Treasury
Long
Bond
contracts
6/23
2,107
20
Short,
59
U.S.
Treasury
Notes
five
year
contracts
6/23
(6,475)
(13)
Short,
117
U.S.
Treasury
Notes
ten
year
contracts
6/23
(13,479)
(54)
Short,
181
U.S.
Treasury
Notes
two
year
contracts
6/23
(37,316)
72
Short,
12
Ultra
U.S.
Treasury
Bonds
contracts
6/23
(1,697)
22
Long,
92
Ultra
U.S.
Treasury
Notes
ten
year
contracts
6/23
11,174
65
Short,
31
Three
Month
SOFR
Futures
contracts
12/23
(7,375)
1
Net
payments
(receipts)
of
variation
margin
to
date
1,787
Variation
margin
receivable
(payable)
on
open
futures
contracts
$
(687)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AFFILIATED
COMPANIES
($000s)
The
fund
may
invest
in
certain
securities
that
are
considered
affiliated
companies.
As
defined
by
the
1940
Act,
an
affiliated
company
is
one
in
which
the
fund
owns
5%
or
more
of
the
outstanding
voting
securities,
or
a
company
that
is
under
common
ownership
or
control.
The
following
securities
were
considered
affiliated
companies
for
all
or
some
portion
of
the
six
months
ended
April
30,
2023.
Net
realized
gain
(loss),
investment
income,
change
in
net
unrealized
gain/loss,
and
purchase
and
sales
cost
reflect
all
activity
for
the
period
then
ended.
Affiliate
Net
Realized
Gain
(Loss)
Change
in
Net
Unrealized
Gain/Loss
Investment
Income
T.
Rowe
Price
Government
Reserve
Fund,
4.83%
$
—
$
—
$
2,044++
Totals
$
—#
$
—
$
2,044+
Supplementary
Investment
Schedule
Affiliate
Value
10/31/22
Purchase
Cost
Sales
Cost
Value
04/30/23
T.
Rowe
Price
Government
Reserve
Fund,
4.83%
$
106,299
¤
¤
$
104,316
Total
$
104,316^
#
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
$2,044
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
$104,316.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
April
30,
2023
(Unaudited)
Statement
of
Assets
and
Liabilities
($000s,
except
shares
and
per
share
amounts)
Assets
Investments
in
securities,
at
value
(cost
$338,958)
$
338,418
Cash
deposits
on
futures
contracts
7,107
Unrealized
gain
on
bilateral
swaps
5,537
Foreign
currency
(cost
$3,010)
2,994
Cash
deposits
on
centrally
cleared
swaps
2,652
Receivable
for
investment
securities
sold
2,645
Interest
and
dividends
receivable
1,998
Restricted
cash
pledged
for
bilateral
derivatives
1,648
Unrealized
gain
on
forward
currency
exchange
contracts
1,449
Bilateral
swap
premiums
paid
184
Cash
127
Receivable
for
shares
sold
73
Due
from
affiliates
16
Other
assets
864
Total
assets
365,712
Liabilities
Payable
for
investment
securities
purchased
6,384
Obligation
to
return
securities
lending
collateral
6,131
Unrealized
loss
on
bilateral
swaps
3,929
Unrealized
loss
on
forward
currency
exchange
contracts
2,144
Bilateral
swap
premiums
received
1,596
Options
written
(premiums
$1,322)
1,352
Variation
margin
payable
on
futures
contracts
687
Investment
management
fees
payable
279
Payable
for
shares
redeemed
170
Variation
margin
payable
on
centrally
cleared
swaps
140
Other
liabilities
1,020
Total
liabilities
23,832
NET
ASSETS
$
341,880
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
April
30,
2023
(Unaudited)
Statement
of
Assets
and
Liabilities
($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)
$
(
45,092
)
Paid-in
capital
applicable
to
35,955,567
shares
of
$0.0001
par
value
capital
stock
outstanding;
1,000,000,000
shares
authorized
386,972
NET
ASSETS
$
341,880
NET
ASSET
VALUE
PER
SHARE
Investor
Class
(Net
assets:
$33,361;
Shares
outstanding:
3,496,934)
$
9.54
I
Class
(Net
assets:
$308,519;
Shares
outstanding:
32,458,633)
$
9.50
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Unaudited)
6
Months
Ended
4/30/23
Investment
Income
(Loss)
Income
Interest
(net
of
foreign
taxes
of
$1)
$
5,758
Dividend
(net
of
foreign
taxes
of
$22)
2,365
Securities
lending
24
Total
income
8,147
Expenses
Investment
management
1,700
Shareholder
servicing
Investor
Class
$
33
I
Class
3
36
Prospectus
and
shareholder
reports
Investor
Class
3
I
Class
2
5
Custody
and
accounting
143
Legal
and
audit
55
Registration
31
Miscellaneous
10
Waived
/
paid
by
Price
Associates
(
166
)
Total
expenses
1,814
Net
investment
income
6,333
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Unaudited)
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
6
Months
Ended
4/30/23
Realized
and
Unrealized
Gain
/
Loss
–
Net
realized
gain
(loss)
Securities
(
5,543
)
Futures
(
10,097
)
Swaps
3,397
Options
written
1,637
Forward
currency
exchange
contracts
(
3,041
)
Foreign
currency
transactions
309
Net
realized
loss
(
13,338
)
Change
in
net
unrealized
gain
/
loss
Securities
18,849
Futures
(
796
)
Swaps
158
Options
written
(
66
)
Forward
currency
exchange
contracts
(
1,632
)
Other
assets
and
liabilities
denominated
in
foreign
currencies
272
Change
in
net
unrealized
gain
/
loss
16,785
Net
realized
and
unrealized
gain
/
loss
3,447
INCREASE
IN
NET
ASSETS
FROM
OPERATIONS
$
9,780
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Unaudited)
Statement
of
Changes
in
Net
Assets
6
Months
Ended
4/30/23
Year
Ended
10/31/22
Increase
(Decrease)
in
Net
Assets
Operations
Net
investment
income
$
6,333
$
6,619
Net
realized
loss
(
13,338
)
(
22,157
)
Change
in
net
unrealized
gain
/
loss
16,785
(
21,152
)
Increase
(decrease)
in
net
assets
from
operations
9,780
(
36,690
)
Distributions
to
shareholders
Net
earnings
Investor
Class
(
819
)
(
3,073
)
I
Class
(
10,195
)
(
8,924
)
Decrease
in
net
assets
from
distributions
(
11,014
)
(
11,997
)
Capital
share
transactions
*
Shares
sold
Investor
Class
3,363
20,195
I
Class
6,329
31,605
Distributions
reinvested
Investor
Class
811
3,029
I
Class
10,059
8,871
Shares
redeemed
Investor
Class
(
13,113
)
(
89,673
)
I
Class
(
16,584
)
(
26,787
)
Decrease
in
net
assets
from
capital
share
transactions
(
9,135
)
(
52,760
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
(Unaudited)
Statement
of
Changes
in
Net
Assets
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
6
Months
Ended
4/30/23
Year
Ended
10/31/22
Net
Assets
Decrease
during
period
(
10,369
)
(
101,447
)
Beginning
of
period
352,249
453,696
End
of
period
$
341,880
$
352,249
*Share
information
(000s)
Shares
sold
Investor
Class
355
2,035
I
Class
668
3,164
Distributions
reinvested
Investor
Class
87
301
I
Class
1,088
877
Shares
redeemed
Investor
Class
(
1,386
)
(
9,041
)
I
Class
(
1,751
)
(
2,686
)
Decrease
in
shares
outstanding
(
939
)
(
5,350
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Unaudited
NOTES
TO
FINANCIAL
STATEMENTS
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
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
either
net
realized
gain
(loss)
or
change
in
net
unrealized
gain/loss
from
securities.
Distributions
to
shareholders
are
recorded
on
the
ex-dividend
date.
Income
distributions,
if
any,
are
declared
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
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
clarifies
that
a
contractual
restriction
on
the
sale
of
an
equity
security
is
not
considered
part
of
the
unit
of
account
of
the
equity
security
and,
therefore,
is
not
considered
in
measuring
fair
value.
The
amendments
under
this
ASU
are
effective
for
fiscal
years
beginning
after
December
15,
2023;
however,
the
fund
opted
to
early
adopt,
as
permitted,
effective
December
1,
2022. Adoption
of
the
guidance
did not
have
a
material
impact
on
the fund's
financial statements.
The
FASB
issued
Accounting
Standards
Update
(ASU),
ASU
2020–04,
Reference
Rate
Reform
(Topic
848) –
Facilitation
of
the
Effects
of
Reference
Rate
Reform
on
Financial
Reporting
in
March
2020
and
ASU
2021-01
in
January
2021
which
provided
further
amendments
and
clarifications
to
Topic
848.
These
ASUs provide
optional,
temporary
relief
with
respect
to
the
financial
reporting
of
contracts
subject
to
certain
types
of
modifications
due
to
the
planned
discontinuation
of
the
London
Interbank
Offered
Rate
(LIBOR),
and
other
interbank-offered
based
reference
rates,
through December
31,
2022.
In
December
2022,
FASB
issued
ASU
2022-06
which
defers
the
sunset
date
of
Topic
848
from
December
31,
2022,
to
December
31,
2024,
after
which
entities
will
no
longer
be
permitted
to
apply
the
relief
in
Topic
848.
Management
intends
to
rely
upon
the
relief
provided
under
Topic
848,
which
is
not
expected to
have
a
material
impact
on
the fund's
financial statements.
Indemnification
In
the
normal
course
of
business, the
fund
may
provide
indemnification
in
connection
with
its
officers
and
directors,
service
providers,
and/or
private
company
investments. The
fund’s
maximum
exposure
under
these
arrangements
is
unknown;
however,
the
risk
of
material
loss
is
currently
considered
to
be
remote.
NOTE
2
-
VALUATION
Fair
Value
The
fund’s
financial
instruments
are
valued
at
the
close
of
the
NYSE
and
are
reported
at
fair
value,
which
GAAP
defines
as
the
price
that
would
be
received
to
sell
an
asset
or
paid
to
transfer
a
liability
in
an
orderly
transaction
between
market
participants
at
the
measurement
date. The fund’s
Board
of
Directors
(the
Board)
has
designated
T.
Rowe
Price
Associates,
Inc.
as
the
fund’s
valuation
designee
(Valuation
Designee).
Subject
to
oversight
by
the
Board,
the
Valuation
Designee
performs
the
following
functions
in
performing
fair
value
determinations:
assesses
and
manages
valuation
risks;
establishes
and
applies
fair
value
methodologies;
tests
fair
value
methodologies;
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.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Various
valuation
techniques
and
inputs
are
used
to
determine
the
fair
value
of
financial
instruments.
GAAP
establishes
the
following
fair
value
hierarchy
that
categorizes
the
inputs
used
to
measure
fair
value:
Level
1
–
quoted
prices
(unadjusted)
in
active
markets
for
identical
financial
instruments
that
the
fund
can
access
at
the
reporting
date
Level
2
–
inputs
other
than
Level
1
quoted
prices
that
are
observable,
either
directly
or
indirectly
(including,
but
not
limited
to,
quoted
prices
for
similar
financial
instruments
in
active
markets,
quoted
prices
for
identical
or
similar
financial
instruments
in
inactive
markets,
interest
rates
and
yield
curves,
implied
volatilities,
and
credit
spreads)
Level
3
–
unobservable
inputs
(including
the Valuation
Designee’s assumptions
in
determining
fair
value)
Observable
inputs
are
developed
using
market
data,
such
as
publicly
available
information
about
actual
events
or
transactions,
and
reflect
the
assumptions
that
market
participants
would
use
to
price
the
financial
instrument.
Unobservable
inputs
are
those
for
which
market
data
are
not
available
and
are
developed
using
the
best
information
available
about
the
assumptions
that
market
participants
would
use
to
price
the
financial
instrument.
GAAP
requires
valuation
techniques
to
maximize
the
use
of
relevant
observable
inputs
and
minimize
the
use
of
unobservable
inputs.
When
multiple
inputs
are
used
to
derive
fair
value,
the
financial
instrument
is
assigned
to
the
level
within
the
fair
value
hierarchy
based
on
the
lowest-level
input
that
is
significant
to
the
fair
value
of
the
financial
instrument.
Input
levels
are
not
necessarily
an
indication
of
the
risk
or
liquidity
associated
with
financial
instruments
at
that
level
but
rather
the
degree
of
judgment
used
in
determining
those
values.
Valuation
Techniques
Debt
securities
generally
are
traded
in
the over-the-counter
(OTC)
market
and
are
valued
at
prices
furnished
by
independent
pricing
services
or
by
broker
dealers
who
make
markets
in
such
securities.
When
valuing
securities,
the
independent
pricing
services
consider
factors
such
as,
but
not
limited
to,
the
yield
or
price
of
bonds
of
comparable
quality,
coupon,
maturity,
and
type,
as
well
as
prices
quoted
by
dealers
who
make
markets
in
such
securities.
Equity
securities,
including
exchange-traded
funds, listed
or
regularly
traded
on
a
securities
exchange
or
in
the
over-the-counter
(OTC)
market
are
valued
at
the
last
quoted
sale
price
or,
for
certain
markets,
the
official
closing
price
at
the
time
the
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
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
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
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
the
quoted
prices
of
portfolio
securities
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
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
representative
of
fair
value.
However,
the
Valuation
Designee may
also
consider
other
valuation
methods
such
as
market-based
valuation
multiples;
a
discount
or
premium
from
market
value
of
a
similar,
freely
traded
security
of
the
same
issuer;
discounted
cash
flows;
yield
to
maturity;
or
some
combination.
Fair
value
determinations
are
reviewed
on
a
regular
basis.
Because
any
fair
value
determination
involves
a
significant
amount
of
judgment,
there
is
a
degree
of
subjectivity
inherent
in
such
pricing
decisions. Fair
value
prices
determined
by
the
Valuation
Designee could
differ
from
those
of
other
market
participants,
and
it
is
possible
that
the
fair
value
determined
for
a
security
may
be
materially
different
from
the
value
that
could
be
realized
upon
the
sale
of
that
security.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Valuation
Inputs
The
following
table
summarizes
the
fund’s
financial
instruments,
based
on
the
inputs
used
to
determine
their
fair
values
on
April
30,
2023
(for
further
detail
by
category,
please
refer
to
the
accompanying
Portfolio
of
Investments):
($000s)
Level
1
Level
2
Level
3
Total
Value
Assets
Fixed
Income
Securities
1
$
—
$
69,546
$
—
$
69,546
Bank
Loans
—
31,180
1,313
32,493
Common
Stocks
48,206
14,564
96
62,866
Convertible
Preferred
Stocks
—
290
364
654
Corporate
Bonds
—
67,097
—
67,097
Preferred
Stocks
—
664
—
664
Private
Investment
Company
2
—
—
—
16
Short-Term
Investments
98,185
—
—
98,185
Securities
Lending
Collateral
6,131
—
—
6,131
Options
Purchased
35
731
—
766
Total
Securities
152,557
184,072
1,773
338,418
Swaps*
—
7,063
—
7,063
Forward
Currency
Exchange
Contracts
—
1,449
—
1,449
Futures
Contracts*
522
—
—
522
Total
$
153,079
$
192,584
$
1,773
$
347,452
Liabilities
Options
Written
$
21
$
1,331
$
—
$
1,352
Swaps*
—
6,560
—
6,560
Forward
Currency
Exchange
Contracts
—
2,144
—
2,144
Futures
Contracts*
2,996
—
—
2,996
Total
$
3,017
$
10,035
$
—
$
13,052
1
Includes
Asset-Backed
Securities,
Convertible
Bonds,
Government
Bonds,
Municipal
Securities
and
Non-U.S.
Government
Mortgage-Backed
Securities.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
NOTE
3
-
DERIVATIVE
INSTRUMENTS
During
the
six
months ended
April
30,
2023,
the
fund
invested
in
derivative
instruments.
As
defined
by
GAAP,
a
derivative
is
a
financial
instrument
whose
value
is
derived
from
an
underlying
security
price,
foreign
exchange
rate,
interest
rate,
index
of
prices
or
rates,
or
other
variable;
it
requires
little
or
no
initial
investment
and
permits
or
requires
net
settlement.
The
fund
invests
in
derivatives
only
if
the
expected
risks
and
rewards
are
consistent
with
its
investment
objectives,
policies,
and
overall
risk
profile,
as
described
in
its
prospectus
and
Statement
of
Additional
Information.
The
fund
may
use
derivatives
for
a
variety
of
purposes
and
may
use
them
to
establish
both
long
and
short
positions
within
the
fund’s
portfolio.
Potential
uses
include
to
hedge
against
declines
in
principal
value,
increase
yield,
invest
in
an
asset
with
greater
efficiency
and
at
a
lower
cost
than
is
possible
through
direct
investment,
to
enhance
return,
or
to
adjust
portfolio
duration
and
credit
exposure.
The
risks
associated
with
the
use
of
derivatives
are
different
from,
and
potentially
much
greater
than,
the
risks
associated
with
investing
directly
in
the
instruments
on
which
the
derivatives
are
based.
The
fund
values
its
derivatives
at
fair
value
and
recognizes
changes
in
fair
value
currently
in
its
results
of
operations.
Accordingly,
the
fund
does
not
follow
hedge
accounting,
even
for
derivatives
employed
as
economic
hedges.
Generally,
the
fund
accounts
for
its
derivatives
on
a
gross
basis.
It
does
not
offset
the
fair
value
of
derivative
liabilities
against
the
fair
value
of
derivative
assets
on
its
financial
statements,
nor
does
it
offset
the
fair
value
of
derivative
instruments
against
the
right
to
reclaim
or
obligation
to
return
collateral.
The
following
table
summarizes
the
fair
value
of
the
fund’s
derivative
instruments
held
as
of
April
30,
2023,
and
the
related
location
on
the
accompanying
Statement
of
Assets
and
Liabilities,
presented
by
primary
underlying
risk
exposure:
2
In
accordance
with
Subtopic
820-10,
certain
investments
that
are
measured
at
fair
value
using
the
net
asset
value
per
unit
(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.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
($000s)
Location
on
Statement
of
Assets
and
Liabilities
Fair
Value*
Assets
Inflation
derivatives
Centrally
Cleared
Swaps
$
14
Interest
rate
derivatives
Bilateral
Swaps
and
Premiums
,
Centrally
Cleared
Swaps
,
Futures
,
Securities^
1,576
Foreign
exchange
derivatives
Forwards
,
Securities^
1,469
Credit
derivatives
Bilateral
Swaps
and
Premiums
,
Centrally
Cleared
Swaps
787
Commodity
derivatives
Bilateral
Swaps
and
Premiums
4
Equity
derivatives
Bilateral
Swaps
and
Premiums
,
Futures
,
Securities^
5,950
^
,*
Total
$
9,800
^
,*
Liabilities
Inflation
derivatives
Centrally
Cleared
Swaps
$
8
Interest
rate
derivatives
Centrally
Cleared
Swaps,
Futures,
Options
Written
1,448
Foreign
exchange
derivatives
Forwards
,
Options
Written
2,180
Credit
derivatives
Bilateral
Swaps
and
Premiums
,
Centrally
Cleared
Swaps
,
Options
Written
2,681
Equity
derivatives
Bilateral
Swaps
and
Premiums
,
Futures
,
Options
Written
6,735
Total
$
13,052
*
The
fair
value
presented
includes
cumulative
gain
(loss)
on
open
futures
contracts
and
centrally
cleared
swaps;
however,
the
value
reflected
on
the
accompanying
Statement
of
Assets
and
Liabilities
is
only
the
unsettled
variation
margin
receivable
(payable)
at
that
date.
^
Options
purchased
are
reported
as
securities
and
are
reflected
in
the
accompanying
Portfolio
of
Investments.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Additionally,
the
amount
of
gains
and
losses
on
derivative
instruments
recognized
in
fund
earnings
during
the
six
months ended
April
30,
2023,
and
the
related
location
on
the
accompanying
Statement
of
Operations
is
summarized
in
the
following
table
by
primary
underlying
risk
exposure:
($000s)
Location
of
Gain
(Loss)
on
Statement
of
Operations
Securities^
Options
Written
Futures
Forward
Currency
Exchange
Contracts
Swaps
Total
Realized
Gain
(Loss)
Inflation
derivatives
$
—
$
—
$
—
$
—
$
38
$
38
Interest
rate
derivatives
154
120
(2,510)
—
189
(2,047)
Foreign
exchange
derivatives
(9)
89
—
(3,041)
—
(2,961)
Credit
derivatives
(97)
570
—
—
(1,046)
(573)
Equity
derivatives
(681)
858
(7,587)
—
4,238
(3,172)
Commodity
derivatives
—
—
—
—
(22)
(22)
Total
$
(633)
$
1,637
$
(10,097)
$
(3,041)
$
3,397
$
(8,737)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Counterparty
Risk
and
Collateral
The
fund
invests
in
derivatives
in
various
markets,
which
expose
it
to
differing
levels
of
counterparty
risk.
Counterparty
risk
on
exchange-
traded
and
centrally
cleared
derivative
contracts,
such
as
futures,
exchange-traded
options,
and
centrally
cleared
swaps,
is
minimal
because
the
clearinghouse
provides
protection
against
counterparty
defaults.
For
futures
and
centrally
cleared
swaps,
the
fund
is
required
to
deposit
collateral
in
an
amount
specified
by
the
clearinghouse
and
the
clearing
firm
(margin
requirement),
and
the
margin
requirement
must
be
maintained
over
the
life
of
the
contract.
Each
clearinghouse
and
clearing
firm,
in
its
sole
discretion,
may
adjust
the
margin
requirements
applicable
to
the
fund.
Derivatives,
such
as
non-cleared bilateral
swaps,
forward
currency
exchange
contracts,
and
OTC
options,
that
are
transacted
and
settle
directly
with
a
counterparty
(bilateral
derivatives)
may
expose
the
fund
to
greater
counterparty
risk.
To
mitigate
this
risk,
the
($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
$
—
$
—
$
—
$
—
$
20
$
20
Interest
rate
derivatives
(409)
21
(151)
—
(507)
(1,046)
Foreign
exchange
derivatives
(41)
(7)
—
(1,632)
—
(1,680)
Credit
derivatives
4
(19)
—
—
(27)
(42)
Equity
derivatives
49
(61)
(645)
—
665
8
Commodity
derivatives
—
—
—
—
7
7
Total
$
(397)
$
(66)
$
(796)
$
(1,632)
$
158
$
(2,733)
^
Options
purchased
are
reported
as
securities.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
fund
has
entered
into
master
netting
arrangements
(MNAs)
with
certain
counterparties
that
permit
net
settlement
under
specified
conditions
and,
for
certain
counterparties,
also
require
the
exchange
of
collateral
to
cover
mark-to-market
exposure.
MNAs
may
be
in
the
form
of
International
Swaps
and
Derivatives
Association
master
agreements
(ISDAs)
or
foreign
exchange
letter
agreements
(FX
letters).
MNAs
provide
the
ability
to
offset
amounts
the
fund
owes
a
counterparty
against
amounts
the
counterparty
owes
the
fund
(net
settlement).
Both
ISDAs
and
FX
letters
generally
allow
termination
of
transactions
and
net
settlement
upon
the
occurrence
of
contractually
specified
events,
such
as
failure
to
pay
or
bankruptcy.
In
addition,
ISDAs
specify
other
events,
the
occurrence
of
which
would
allow
one
of
the
parties
to
terminate.
For
example,
a
downgrade
in
credit
rating
of
a
counterparty
below
a
specified
rating
would
allow
the
fund
to
terminate,
while
a
decline
in
the
fund’s
net
assets
of
more
than
a
specified
percentage
would
allow
the
counterparty
to
terminate.
Upon
termination,
all
transactions
with
that
counterparty
would
be
liquidated
and
a
net
termination
amount
settled.
ISDAs
typically
include
collateral
agreements
whereas
FX
letters
do
not.
Collateral
requirements
are
determined
daily
based
on
the
net
aggregate
unrealized
gain
or
loss
on
all
bilateral
derivatives
with
a
counterparty,
subject
to
minimum
transfer
amounts
that
typically
range
from
$100,000
to
$250,000.
Any
additional
collateral
required
due
to
changes
in
security
values
is
typically
transferred
the
next
business
day.
Collateral
may
be
in
the
form
of
cash
or
debt
securities
issued
by
the
U.S.
government
or
related
agencies,
although
other
securities
may
be
used
depending
on
the
terms
outlined
in
the
applicable
MNA.
Cash
posted
by
the
fund
is
reflected
as
cash
deposits
in
the
accompanying
financial
statements
and
generally
is
restricted
from
withdrawal
by
the
fund;
securities
posted
by
the
fund
are
so
noted
in
the
accompanying
Portfolio
of
Investments;
both
remain
in
the
fund’s
assets.
Collateral
pledged
by
counterparties
is
not
included
in
the
fund’s
assets
because
the
fund
does
not
obtain
effective
control
over
those
assets.
For
bilateral
derivatives,
collateral
posted
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
April
30,
2023,
cash
of $9,759,000 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.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Forward
Currency
Exchange
Contracts
The
fund
is
subject
to
foreign
currency
exchange
rate
risk
in
the
normal
course
of
pursuing
its
investment
objectives.
It may use
forward
currency
exchange
contracts
(forwards)
primarily
to
protect
its
non-U.S.
dollar-
denominated
securities
from
adverse
currency
movements
or
to
increase
exposure
to
a
particular
foreign
currency,
to
shift
the
fund’s
foreign
currency
exposure
from
one
country
to
another,
or
to
enhance
the
fund’s
return.
A
forward
involves
an
obligation
to
purchase
or
sell
a
fixed
amount
of
a
specific
currency
on
a
future
date
at
a
price
set
at
the
time
of
the
contract.
Although
certain
forwards
may
be
settled
by
exchanging
only
the
net
gain
or
loss
on
the
contract,
most
forwards
are
settled
with
the
exchange
of
the
underlying
currencies
in
accordance
with
the
specified
terms.
Forwards
are
valued
at
the
($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
$
831
$
(794)
$
37
$
—
$
37
Barclays
Bank
195
(229)
(34)
—
—
BNP
Paribas
146
(116)
30
—
30
BNY
Mellon
4
(3)
1
—
1
Canadian
Imperial
Bank
of
Commerce
54
(58)
(4)
—
—
Citibank
920
(646)
274
—
274
Deutsche
Bank
31
(81)
(50)
—
—
Goldman
Sachs
1,259
(1,360)
(101)
200
99
HSBC
Bank
269
(214)
55
—
55
JPMorgan
Chase
553
(921)
(368)
350
—
Morgan
Stanley
2,887
(3,424)
(537)
468
—
RBC
Dominion
Securities
97
(119)
(22)
—
—
Standard
Chartered
32
(33)
(1)
—
—
State
Street
171
(673)
(502)
630
128
UBS
Investment
Bank
364
(254)
110
—
110
Wells
Fargo
17
(7)
10
—
10
Total
$
7,830
$
(8,932)
*
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.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
unrealized
gain
or
loss
on
the
contract,
which
reflects
the
net
amount
the
fund
either
is
entitled
to
receive
or
obligated
to
deliver,
as
measured
by
the
difference
between
the
forward
exchange
rates
at
the
date
of
entry
into
the
contract
and
the
forward
rates
at
the
reporting
date.
Appreciated
forwards
are
reflected
as
assets
and
depreciated
forwards
are
reflected
as
liabilities
on
the
accompanying
Statement
of
Assets
and
Liabilities.
Risks
related
to
the
use
of
forwards
include
the
possible
failure
of
counterparties
to
meet
the
terms
of
the
agreements;
that
anticipated
currency
movements
will
not
occur,
thereby
reducing
the
fund’s
total
return;
and
the
potential
for
losses
in
excess
of
the
fund’s
initial
investment.
During
the
six
months ended
April
30,
2023,
the
volume
of
the
fund’s
activity
in
forwards,
based
on
underlying
notional
amounts,
was
generally
between
17%
and
21%
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
six
months ended
April
30,
2023,
the
volume
of
the
fund’s
activity
in
futures,
based
on
underlying
notional
amounts,
was
generally
between
48%
and
67%
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;
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
as
an
efficient
means
of
adjusting
exposure
to
all
or
a
part
of
a
target
market;
to
enhance
income;
as
a
cash
management
tool;
or
to
adjust
credit
exposure.
Options
are
included
in
net
assets
at
fair
value,
options
purchased
are
included
in
Investments
in
Securities,
and
options
written
are
separately
reflected
as
a
liability
on
the
accompanying
Statement
of
Assets
and
Liabilities.
Premiums
on
unexercised,
expired
options
are
recorded
as
realized
gains
or
losses;
premiums
on
exercised
options
are
recorded
as
an
adjustment
to
the
proceeds
from
the
sale
or
cost
of
the
purchase.
The
difference
between
the
premium
and
the
amount
received
or
paid
in
a
closing
transaction
is
also
treated
as
realized
gain
or
loss.
In
return
for
a
premium
paid,
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;
although
certain
currency
options
may
be
settled
by
exchanging
only
the
net
gain
or
loss
on
the
contract.
In
return
for
a
premium
paid,
call
and
put
options
on
futures
give
the
holder
the
right,
but
not
the
obligation,
to
purchase
or
sell,
respectively,
a
position
in
a
particular
futures
contract
at
a
specified
exercise
price.
In
return
for
a
premium
paid,
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
six
months ended
April
30,
2023,
the
volume
of
the
fund’s
activity
in
options,
based
on
underlying
notional
amounts,
was
generally
between
23%
and
51%
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
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
with
the
counterparty
(bilateral
swap)
or
through
a
central
clearinghouse
(centrally
cleared
swap).
Fluctuations
in
the
fair
value
of
a
contract
are
reflected
in
unrealized
gain
or
loss
and
are
reclassified
to
realized
gain
or
loss
upon
contract
termination
or
cash
settlement.
Net
periodic
receipts
or
payments
required
by
a
contract
increase
or
decrease,
respectively,
the
value
of
the
contract
until
the
contractual
payment
date,
at
which
time
such
amounts
are
reclassified
from
unrealized
to
realized
gain
or
loss.
For
bilateral
swaps,
cash
payments
are
made
or
received
by
the
fund
on
a
periodic
basis
in
accordance
with
contract
terms;
unrealized
gain
on
contracts
and
premiums
paid
are
reflected
as
assets
and
unrealized
loss
on
contracts
and
premiums
received
are
reflected
as
liabilities
on
the
accompanying
Statement
of
Assets
and
Liabilities.
For
bilateral
swaps,
premiums
paid
or
received
are
amortized
over
the
life
of
the
swap
and
are
recognized
as
realized
gain
or
loss
in
the
Statement
of
Operations.
For
centrally
cleared
swaps,
payments
are
made
or
received
by
the
fund
each
day
to
settle
the
daily
fluctuation
in
the
value
of
the
contract
(variation
margin).
Accordingly,
the
value
of
a
centrally
cleared
swap
included
in
net
assets
is
the
unsettled
variation
margin;
net
variation
margin
receivable
is
reflected
as
an
asset
and
net
variation
margin
payable
is
reflected
as
a
liability
on
the
accompanying
Statement
of
Assets
and
Liabilities.
Interest
rate
swaps
are
agreements
to
exchange
cash
flows
based
on
the
difference
between
specified
interest
rates
applied
to
a
notional
principal
amount
for
a
specified
period
of
time.
Risks
related
to
the
use
of
interest
rate
swaps
include
the
potential
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
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
credit
quality.
As
of
April
30,
2023,
the
notional
amount
of
protection
sold
by
the
fund
totaled $25,709,000
(7.5%
of
net
assets),
which
reflects
the
maximum
potential
amount
the
fund
could
be
required
to
pay
under
such
contracts.
Risks
related
to
the
use
of
credit
default
swaps
include
the
possible
inability
of
the
fund
to
accurately
assess
the
current
and
future
creditworthiness
of
underlying
issuers,
the
possible
failure
of
a
counterparty
to
perform
in
accordance
with
the
terms
of
the
swap
agreements,
potential
government
regulation
that
could
adversely
affect
the
fund’s
swap
investments,
and
potential
losses
in
excess
of
the
fund’s
initial
investment.
Zero-coupon
inflation
swaps
are
agreements
to
exchange
cash
flows,
on
the
contract’s
maturity
date,
based
on
the
difference
between
a
predetermined
fixed
rate
and
the
cumulative
change
in
the
consumer
price
index,
both
applied
to
a
notional
principal
amount
for
a
specified
period
of
time.
Risks
related
to
the
use
of
zero-coupon
inflation
swaps
include
the
potential
for
unanticipated
movements
in
inflation
rates,
the
possible
failure
of
a
counterparty
to
perform
in
accordance
with
the
terms
of
the
swap
agreements,
potential
government
regulation
that
could
adversely
affect
the
fund’s
swap
investments,
and
potential
losses
in
excess
of
the
fund’s
initial
investment.
Total
return
swaps
are
agreements
in
which
one
party
makes
payments
based
on
a
set
rate,
either
fixed
or
variable,
while
the
other
party
makes
payments
based
on
the
return
of
an
underlying
asset
(reference
asset),
such
as
an
index,
equity
security,
fixed
income
security
or
commodity-based
exchange-traded
fund,
which
includes
both
the
income
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
six
months ended
April
30,
2023,
the
volume
of
the
fund’s
activity
in
swaps,
based
on
underlying
notional
amounts,
was
generally
between
101%
and
119%
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.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Emerging
and
Frontier
Markets
The fund
invests,
either
directly
or
through
investments
in
other
T.
Rowe
Price
funds,
in
securities
of
companies
located
in,
issued
by
governments
of,
or
denominated
in
or
linked
to
the
currencies
of
emerging
and
frontier
market
countries.
Emerging
markets,
and
to
a
greater
extent
frontier
markets, tend
to
have
economic
structures
that
are
less
diverse
and
mature,
less
developed
legal
and
regulatory
regimes,
and
political
systems
that
are
less
stable,
than
those
of
developed
countries.
These
markets
may
be
subject
to
greater
political,
economic,
and
social
uncertainty
and
differing
accounting
standards
and
regulatory
environments
that
may
potentially
impact
the
fund’s
ability
to
buy
or
sell
certain
securities
or
repatriate
proceeds
to
U.S.
dollars.
Emerging
markets
securities
exchanges
are
more
likely
to
experience
delays
with
the
clearing
and
settling
of
trades,
as
well
as
the
custody
of
holdings
by
local
banks,
agents,
and
depositories.
Such
securities
are
often
subject
to
greater
price
volatility,
less
liquidity,
and
higher
rates
of
inflation
than
U.S.
securities.
Investing
in
frontier
markets
is
typically
significantly
riskier
than
investing
in
other
countries,
including
emerging
markets.
Noninvestment-Grade
Debt
The
fund
invests,
either
directly
or
through
its
investment
in
other
T.
Rowe
Price
funds,
in
noninvestment-grade
debt,
including
“high
yield”
or
“junk”
bonds
or
leveraged
loans.
Noninvestment-grade
debt
issuers
are
more
likely
to
suffer
an
adverse
change
in
financial
condition
that
would
result
in
the
inability
to
meet
a
financial
obligation.
The
noninvestment-grade
debt
market
may
experience
sudden
and
sharp
price
swings
due
to
a
variety
of
factors
that
may
decrease
the
ability
of
issuers
to
make
principal
and
interest
payments
and
adversely
affect
the
liquidity
or
value,
or
both,
of
such
securities.
Accordingly,
securities
issued
by
such
companies
carry
a
higher
risk
of
default
and
should
be
considered
speculative.
Restricted
Securities
The
fund
invests
in
securities
that
are
subject
to
legal
or
contractual
restrictions
on
resale.
Prompt
sale
of
such
securities
at
an
acceptable
price
may
be
difficult
and
may
involve
substantial
delays
and
additional
costs.
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.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
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
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.
The
fund
may
invest
in
fixed
and
floating
rate
loans,
which
may
include
senior
floating
rate
loans;
secured
and
unsecured
loans,
second
lien
or
more
junior
loans;
and
bridge
loans
or
bridge
facilities.
Certain
bank
loans
may
be
revolvers
which
are
a
form
of
senior
bank
debt,
where
the
borrower
can
draw
down
the
credit
of
the
revolver
when
it
needs
cash
and
repays
the
credit
when
the
borrower
has
excess
cash.
Certain
loans
may
be
“covenant-lite”
loans,
which
means
the
loans
contain
fewer
maintenance
covenants
than
other
loans
(in
some
cases,
none)
and
do
not
include
terms
which
allow
the
lender
to
monitor
the
performance
of
the
borrower
and
declare
a
default
if
certain
criteria
are
breached.
As
a
result
of
these
risks,
the
fund’s
exposure
to
losses
may
be
increased.
Bank
loans
may
be
in
the
form
of
either
assignments
or
participations.
A
loan
assignment
transfers
all
legal,
beneficial,
and
economic
rights
to
the
buyer,
and
transfer
typically
requires
consent
of
both
the
borrower
and
agent.
In
contrast,
a
loan
participation
generally
entitles
the
buyer
to
receive
the
cash
flows
from
principal,
interest,
and
any
fee
payments
on
a
portion
of
a
loan;
however,
the
seller
continues
to
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
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
at
a
future
date(s)
is
at
the
borrower’s
discretion
and
considered
uncertain,
a
loan
is
reflected
in
the
Portfolio
of
Investments
only
if,
and
only
to
the
extent
that,
the
fund
has
actually
settled
a
funding
commitment.
LIBOR
Transition
The fund
may
invest
in
instruments
that
are
tied
to
reference
rates,
including
LIBOR.
Over
the
course
of
the
last
several
years,
global
regulators
have
indicated
an
intent
to
phase
out
the
use
of
LIBOR
and
similar
interbank
offered
rates
(IBOR).
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
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
April
30,
2023,
the
value
of
loaned
securities
was
$5,925,000;
the
value
of
cash
collateral
and
related
investments
was
$6,131,000.
Other
Purchases
and
sales
of
portfolio
securities
other
than
short-term and
U.S.
government
securities
aggregated $121,561,000 and
$124,235,000,
respectively,
for
the
six
months ended
April
30,
2023.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
NOTE
5
-
FEDERAL
INCOME
TAXES
Generally,
no
provision
for
federal
income
taxes
is
required
since
the
fund
intends
to
continue
to
qualify
as
a
regulated
investment
company
under
Subchapter
M
of
the
Internal
Revenue
Code
and
distribute
to
shareholders
all
of
its
taxable
income
and
gains.
Distributions
determined
in
accordance
with
federal
income
tax
regulations
may
differ
in
amount
or
character
from
net
investment
income
and
realized
gains
for
financial
reporting
purposes.
Financial
reporting
records
are
adjusted
for
permanent
book/
tax
differences
to
reflect
tax
character
but
are
not
adjusted
for
temporary
differences.
The
amount
and
character
of
tax-basis
distributions
and
composition
of
net
assets
are
finalized
at
fiscal
year-end;
accordingly,
tax-basis
balances
have
not
been
determined
as
of
the
date
of
this
report.
The
fund
intends
to
retain
realized
gains
to
the
extent
of
available
capital
loss
carryforwards.
Net
realized
capital
losses
may
be
carried
forward
indefinitely
to
offset
future
realized
capital
gains.
As
of
October
31,
2022,
the
fund
had
$24,895,000 of
available
capital
loss
carryforwards.
At
April
30,
2023,
the
cost
of
investments
(including
derivatives,
if
any)
for
federal
income
tax
purposes
was
$341,825,000.
Net
unrealized
loss
aggregated
$7,380,000
at
period-end,
of
which $19,119,000
related
to
appreciated
investments
and $26,499,000
related
to
depreciated
investments.
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.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
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
April
30,
2023,
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,
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
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
the
repayment
is
taken
into
account)
to
exceed
the
lesser
of:
(1)
the
I
Class
Limit
in
place
at
the
time
such
amounts
were
paid;
or
(2)
the
current
I
Class
Limit.
However,
no
repayment
will
be
made
more
than
three
years
after
the
date
of
a
payment
or
waiver.
Pursuant
to
these
agreements,
expenses
were
waived/paid
by
and/or
repaid
to
Price
Associates
during
the
six
months ended April
30,
2023
as
indicated
in
the
table
below.
Including these
amounts,
expenses
previously
waived/paid
by
Price
Associates
in
the
amount
of $922,000 remain
subject
to
repayment
by
the
fund
at
April
30,
2023.
Any
repayment
of
expenses
previously
waived/paid
by
Price
Associates
during
the
period
would
be
included
in
the
net
investment
income
and
expense
ratios
presented
on
the
accompanying
Financial
Highlights.
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
six
months
ended
April
30,
2023,
expenses
incurred
pursuant
to
these
service
agreements
were
$59,000
for
Price
Associates;
$18,000
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
April
30,
2023,
approximately
91%
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,
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)
$(26)
$(140)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
organized
as
money
market
funds
(together,
the
Price
Reserve
Funds).
The
Price
Reserve
Funds
are
offered
as
short-term
investment
options
to
mutual
funds,
trusts,
and
other
accounts
managed
by
Price
Associates
or
its
affiliates
and
are
not
available
for
direct
purchase
by
members
of
the
public.
Cash
collateral
from
securities
lending,
if
any,
is
invested
in
the
T.
Rowe
Price
Government
Reserve Fund. The
Price
Reserve
Funds
pay
no
investment
management
fees.
The
fund may
participate
in
securities
purchase
and
sale
transactions
with
other
funds
or
accounts
advised
by
Price
Associates
(cross
trades),
in
accordance
with
procedures
adopted
by the
fund’s
Board
and
Securities
and
Exchange
Commission
rules,
which
require,
among
other
things,
that
such
purchase
and
sale
cross
trades
be
effected
at
the
independent
current
market
price
of
the
security.
During
the
six
months
ended
April
30,
2023,
the
fund
had
no
purchases
or
sales
cross
trades
with
other
funds
or
accounts
advised
by
Price
Associates.
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
six
months ended
April
30,
2023,
this
reimbursement
amounted
to
$1,000,
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
the fund
invests.
Certain
events
may
cause
instability
across
global
markets,
including
reduced
liquidity
and
disruptions
in
trading
markets,
while
some
events
may
affect
certain
geographic
regions,
countries,
sectors,
and
industries
more
significantly
than
others,
and
exacerbate
other
pre-existing
political,
social,
and
economic
risks.
Since
2020,
a
novel
strain
of
coronavirus
(COVID-19)
has
resulted
in
disruptions
to
global
business
activity
and
caused
significant
volatility
and
declines
in
global
financial
markets.
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.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
In
March
2023,
the
collapse
of
some
US
regional
and
global
banks
as
well
as
overall
concerns
around
the
soundness
and
stability
of
the
global
banking
sector
has
sparked
concerns
of
a
broader
financial
crisis
impacting
the
overall
global
banking
sector.
In
certain
cases,
government
agencies
have
assumed
control
or
otherwise
intervened
in
the
operations
of
certain
banks
due
to
liquidity
and
solvency
concerns.
The
extent
of
impact
of
these
events
on
the
US
and
global
markets
is
highly
uncertain.
These
are
recent
examples
of
global
events
which
may
have
a
negative
impact
on
the
values
of
certain
portfolio
holdings
or
the
fund’s
overall
performance.
Management
is
actively
monitoring
the
risks
and
financial
impacts
arising
from
these
events.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
INFORMATION
ON
PROXY
VOTING
POLICIES,
PROCEDURES,
AND
RECORDS
A
description
of
the
policies
and
procedures
used
by
T.
Rowe
Price
funds
to
determine
how
to
vote
proxies
relating
to
portfolio
securities
is
available
in
each
fund’s
Statement
of
Additional
Information.
You
may
request
this
document
by
calling
1-800-225-5132
or
by
accessing
the
SEC’s
website,
sec.gov.
The
description
of
our
proxy
voting
policies
and
procedures
is
also
available
on
our
corporate
website.
To
access
it,
please
visit
the
following
Web
page:
https://www.troweprice.com/corporate/us/en/utility/policies.html
Scroll
down
to
the
section
near
the
bottom
of
the
page
that
says,
“Proxy
Voting
Guidelines.”
Click
on
the
links
in
the
shaded
box.
Each
fund’s
most
recent
annual
proxy
voting
record
is
available
on
our
website
and
through
the
SEC’s
website.
To
access
it
through
T.
Rowe
Price,
visit
the
website
location
shown
above,
and
scroll
down
to
the
section
near
the
bottom
of
the
page
that
says,
“Proxy
Voting
Records.”
Click
on
the
Proxy
Voting
Records
link
in
the
shaded
box.
HOW
TO
OBTAIN
QUARTERLY
PORTFOLIO
HOLDINGS
The
fund
files
a
complete
schedule
of
portfolio
holdings
with
the
Securities
and
Exchange
Commission
(SEC)
for
the
first
and
third
quarters
of
each
fiscal
year
as
an
exhibit
to
its
reports
on
Form
N-PORT.
The
fund’s
reports
on
Form
N-PORT
are
available
electronically
on
the
SEC’s
website
(sec.gov).
In
addition,
most
T.
Rowe
Price
funds
disclose
their
first
and
third
fiscal
quarter-end
holdings
on
troweprice.com
.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
APPROVAL
OF
INVESTMENT
MANAGEMENT
AGREEMENT
AND
SUBADVISORY
AGREEMENTS
Each
year,
the
fund’s
Board
of
Directors
(Board)
considers
the
continuation
of
the
investment
management
agreement
(Advisory
Contract)
between
the
fund
and
its
investment
adviser,
T.
Rowe
Price
Associates,
Inc.
(Adviser),
as
well
as
the
investment
subadvisory
agreements
(Subadvisory
Contracts)
that
the
Adviser
has
entered
into
with
T.
Rowe
Price
International
Ltd
and
T.
Rowe
Price
Hong
Kong
Limited
(Subadvisers)
on
behalf
of
the
fund.
In
that
regard,
at
a
meeting
held
on
March
6–7,
2023
(Meeting),
the
Board,
including
all
of
the
fund’s
independent
directors,
approved
the
continuation
of
the
fund’s
Advisory
Contract
and
Subadvisory
Contracts.
At
the
Meeting,
the
Board
considered
the
factors
and
reached
the
conclusions
described
below
relating
to
the
selection
of
the
Adviser
and
Subadvisers
and
the
approval
of
the
Advisory
Contract
and
Subadvisory
Contracts.
The
independent
directors
were
assisted
in
their
evaluation
of
the
Advisory
Contract
and
Subadvisory
Contracts
by
independent
legal
counsel
from
whom
they
received
separate
legal
advice
and
with
whom
they
met
separately.
In
providing
information
to
the
Board,
the
Adviser
was
guided
by
a
detailed
set
of
requests
for
information
submitted
by
independent
legal
counsel
on
behalf
of
the
independent
directors.
In
considering
and
approving
the
continuation
of
the
Advisory
Contract
and
Subadvisory
Contracts,
the
Board
considered
the
information
it
believed
was
relevant,
including,
but
not
limited
to,
the
information
discussed
below.
The
Board
considered
not
only
the
specific
information
presented
in
connection
with
the
Meeting
but
also
the
knowledge
gained
over
time
through
interaction
with
the
Adviser
and
Subadvisers
about
various
topics.
The
Board
meets
regularly
and,
at
each
of
its
meetings,
covers
an
extensive
agenda
of
topics
and
materials
and
considers
factors
that
are
relevant
to
its
annual
consideration
of
the
renewal
of
the
T.
Rowe
Price
funds’
advisory
contracts,
including
performance
and
the
services
and
support
provided
to
the
funds
and
their
shareholders.
Services
Provided
by
the
Adviser
and
Subadvisers
The
Board
considered
the
nature,
quality,
and
extent
of
the
services
provided
to
the
fund
by
the
Adviser
and
Subadvisers.
These
services
included,
but
were
not
limited
to,
directing
the
fund’s
investments
in
accordance
with
its
investment
program
and
the
overall
management
of
the
fund’s
portfolio,
as
well
as
a
variety
of
related
activities
such
as
financial,
investment
operations,
and
administrative
services;
compliance;
maintaining
the
fund’s
records
and
registrations;
and
shareholder
communications.
The
Board
also
reviewed
the
background
and
experience
of
the
Adviser’s
and
Subadvisers’
senior
management
teams
and
investment
personnel
involved
in
the
management
of
the
fund,
as
well
as
the
Adviser’s
compliance
record.
The
Board
concluded
that
the
information
it
considered
with
respect
to
the
nature,
quality,
and
extent
of
the
services
provided
by
the
Adviser
and
Subadvisers,
as
well
as
the
other
factors
considered
at
the
Meeting,
supported
the
Board’s
approval
of
the
continuation
of
the
Advisory
Contract
and
Subadvisory
Contracts.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Investment
Performance
of
the
Fund
The
Board
took
into
account
discussions
with
the
Adviser
and
detailed
reports
that
it
regularly
receives
throughout
the
year
on
relative
and
absolute
performance
for
the
T.
Rowe
Price
funds.
In
connection
with
the
Meeting,
the
Board
reviewed
information
provided
by
the
Adviser
that
compared
the
fund’s
total
returns,
as
well
as
a
wide
variety
of
other
previously
agreed-upon
performance
measures
and
market
data,
against
relevant
benchmark
indexes
and
peer
groups
of
funds
with
similar
investment
programs
for
various
periods
through
December
31,
2022.
Additionally,
the
Board
reviewed
the
fund’s
relative
performance
information
as
of
September
30,
2022,
which
ranked
the
returns
of
the
fund’s
Investor
Class
for
various
periods
against
a
universe
of
funds
with
similar
investment
programs
selected
by
Broadridge,
an
independent
provider
of
mutual
fund
data.
In
the
course
of
its
deliberations,
the
Board
considered
performance
information
provided
throughout
the
year
and
in
connection
with
the
Advisory
Contract
review
at
the
Meeting,
as
well
as
information
provided
during
investment
review
meetings
conducted
with
portfolio
managers
and
senior
investment
personnel
during
the
course
of
the
year
regarding
the
fund’s
performance.
The
Board
also
considered
relevant
factors,
such
as
overall
market
conditions
and
trends
that
could
adversely
impact
the
fund’s
performance,
length
of
the
fund’s
performance
track
record,
and
how
closely
the
fund’s
strategies
align
with
its
benchmarks
and
peer
groups.
The
Board
concluded
that
the
information
it
considered
with
respect
to
the
fund’s
performance,
as
well
as
the
other
factors
considered
at
the
Meeting,
supported
the
Board’s
approval
of
the
continuation
of
the
Advisory
Contract
and
Subadvisory
Contracts.
Costs,
Benefits,
Profits,
and
Economies
of
Scale
The
Board
reviewed
detailed
information
regarding
the
revenues
received
by
the
Adviser
under
the
Advisory
Contract
and
other
direct
and
indirect
benefits
that
the
Adviser
(and
its
affiliates)
may
have
realized
from
its
relationship
with
the
fund.
In
considering
soft-
dollar
arrangements
pursuant
to
which
research
may
be
received
from
broker-dealers
that
execute
the
fund’s
portfolio
transactions,
the
Board
noted
that
the
Adviser
bears
the
cost
of
research
services
for
all
client
accounts
that
it
advises,
including
the
T.
Rowe
Price
funds.
The
Board
received
information
on
the
estimated
costs
incurred
and
profits
realized
by
the
Adviser
from
managing
the
T.
Rowe
Price
funds.
The
Board
also
reviewed
estimates
of
the
profits
realized
from
managing
the
fund
in
particular,
and
the
Board
concluded
that
the
Adviser’s
profits
were
reasonable
in
light
of
the
services
provided
to
the
fund.
The
Board
also
considered
whether
the
fund
benefits
under
the
fee
levels
set
forth
in
the
Advisory
Contract
or
otherwise
from
any
economies
of
scale
realized
by
the
Adviser.
Under
the
Advisory
Contract,
the
fund
pays
a
fee
to
the
Adviser
for
investment
management
services
composed
of
two
components—a
group
fee
rate
based
on
the
combined
average
net
assets
of
most
of
the
T.
Rowe
Price
funds
(including
the
fund)
that
declines
at
certain
asset
levels
and
an
individual
fund
fee
rate
based
on
the
fund’s
APPROVAL
OF
INVESTMENT
MANAGEMENT
AGREEMENT
AND
SUBADVISORY
AGREEMENTS
(continued)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
average
daily
net
assets—and
the
fund
pays
its
own
expenses
of
operations.
Under
each
Subadvisory
Contract,
the
Adviser
may
pay
the
Subadviser
up
to
60%
of
the
advisory
fees
that
the
Adviser
receives
from
the
fund.
The
group
fee
rate
decreases
as
total
T.
Rowe
Price
fund
assets
grow,
which
reduces
the
management
fee
rate
for
any
fund
that
has
a
group
fee
component
to
its
management
fee,
and
reflects
that
certain
resources
utilized
to
operate
the
fund
are
shared
with
other
T.
Rowe
Price
funds
thus
allowing
shareholders
of
those
funds
to
share
potential
economies
of
scale.
The
fund
is
also
subject
to
contractual
expense
limitations
that
require
the
Adviser
to
waive
its
fees
and/or
bear
any
expenses
that
would
otherwise
cause
a
share
class
of
the
fund
to
exceed
a
certain
percentage
based
on
the
class’s
net
assets.
The
expense
limitations
mitigate
the
burden
of
higher
operating
costs
until
the
fund
achieves
greater
scale.
In
addition,
the
Board
noted
that
the
fund
potentially
shares
in
indirect
economies
of
scale
through
the
Adviser’s
ongoing
investments
in
its
business
in
support
of
the
T.
Rowe
Price
funds,
including
investments
in
trading
systems,
technology,
and
regulatory
support
enhancements,
and
the
ability
to
possibly
negotiate
lower
fee
arrangements
with
third-party
service
providers.
The
Board
concluded
that
the
advisory
fee
structure
for
the
fund
provides
for
a
reasonable
sharing
of
benefits
from
any
economies
of
scale
with
the
fund’s
investors.
Fees
and
Expenses
The
Board
was
provided
with
information
regarding
industry
trends
in
management
fees
and
expenses.
Among
other
things,
the
Board
reviewed
data
for
peer
groups
that
were
compiled
by
Broadridge,
which
compared:
(i)
contractual
management
fees,
actual
management
fees,
nonmanagement
expenses,
and
total
expenses
of
the
Investor
Class
of
the
fund
with
a
group
of
competitor
funds
selected
by
Broadridge
(Expense
Group)
and
(ii)
actual
management
fees,
nonmanagement
expenses,
and
total
expenses
of
the
Investor
Class
of
the
fund
with
a
broader
set
of
funds
within
the
Lipper
investment
classification
(Expense
Universe).
The
Board
considered
the
fund’s
contractual
management
fee
rate,
actual
management
fee
rate
(which
reflects
the
management
fees
actually
received
from
the
fund
by
the
Adviser
after
any
applicable
waivers,
reductions,
or
reimbursements),
operating
expenses,
and
total
expenses
(which
reflect
the
net
total
expense
ratio
of
the
fund
after
any
waivers,
reductions,
or
reimbursements)
in
comparison
with
the
information
for
the
Broadridge
peer
groups.
Broadridge
generally
constructed
the
peer
groups
by
seeking
the
most
comparable
funds
based
on
similar
investment
classifications
and
objectives,
expense
structure,
asset
size,
and
operating
components
and
attributes
and
ranked
funds
into
quintiles,
with
the
first
quintile
representing
the
funds
with
the
lowest
relative
expenses
and
the
fifth
quintile
representing
the
funds
APPROVAL
OF
INVESTMENT
MANAGEMENT
AGREEMENT
AND
SUBADVISORY
AGREEMENTS
(continued)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
with
the
highest
relative
expenses.
The
information
provided
to
the
Board
indicated
that
the
fund’s
contractual
management
fee
ranked
in
the
first
quintile
(Expense
Group),
the
fund’s
actual
management
fee
rate
ranked
in
the
first
quintile
(Expense
Group
and
Expense
Universe),
and
the
fund’s
total
expenses
ranked
in
the
first
quintile
(Expense
Group
and
Expense
Universe).
The
Board
also
reviewed
the
fee
schedules
for
other
investment
portfolios
with
similar
mandates
that
are
advised
or
subadvised
by
the
Adviser
and
its
affiliates,
including
separately
managed
accounts
for
institutional
and
individual
investors;
subadvised
funds;
and
other
sponsored
investment
portfolios,
including
collective
investment
trusts
and
pooled
vehicles
organized
and
offered
to
investors
outside
the
United
States.
Management
provided
the
Board
with
information
about
the
Adviser’s
responsibilities
and
services
provided
to
subadvisory
and
other
institutional
account
clients,
including
information
about
how
the
requirements
and
economics
of
the
institutional
business
are
fundamentally
different
from
those
of
the
proprietary
mutual
fund
business.
The
Board
considered
information
showing
that
the
Adviser’s
mutual
fund
business
is
generally
more
complex
from
a
business
and
compliance
perspective
than
its
institutional
account
business
and
considered
various
relevant
factors,
such
as
the
broader
scope
of
operations
and
oversight,
more
extensive
shareholder
communication
infrastructure,
greater
asset
flows,
heightened
business
risks,
and
differences
in
applicable
laws
and
regulations
associated
with
the
Adviser’s
proprietary
mutual
fund
business.
In
assessing
the
reasonableness
of
the
fund’s
management
fee
rate,
the
Board
considered
the
differences
in
the
nature
of
the
services
required
for
the
Adviser
to
manage
its
mutual
fund
business
versus
managing
a
discrete
pool
of
assets
as
a
subadviser
to
another
institution’s
mutual
fund
or
for
an
institutional
account
and
that
the
Adviser
generally
performs
significant
additional
services
and
assumes
greater
risk
in
managing
the
fund
and
other
T.
Rowe
Price
funds
than
it
does
for
institutional
account
clients,
including
subadvised
funds.
On
the
basis
of
the
information
provided
and
the
factors
considered,
the
Board
concluded
that
the
fees
paid
by
the
fund
under
the
Advisory
Contract
are
reasonable.
Approval
of
the
Advisory
Contract
and
Subadvisory
Contracts
As
noted,
the
Board
approved
the
continuation
of
the
Advisory
Contract
and
Subadvisory
Contracts.
No
single
factor
was
considered
in
isolation
or
to
be
determinative
to
the
decision.
Rather,
the
Board
concluded,
in
light
of
a
weighting
and
balancing
of
all
factors
considered,
that
it
was
in
the
best
interests
of
the
fund
and
its
shareholders
for
the
Board
to
approve
the
continuation
of
the
Advisory
Contract
and
Subadvisory
Contracts
(including
the
fees
to
be
charged
for
services
thereunder).
APPROVAL
OF
INVESTMENT
MANAGEMENT
AGREEMENT
AND
SUBADVISORY
AGREEMENTS
(continued)
100
East
Pratt
Street
Baltimore,
MD
21202
T.
Rowe
Price
Investment
Services,
Inc.
Call
1-800-225-5132
to
request
a
prospectus
or
summary
prospectus;
each
includes
investment
objectives,
risks,
fees,
expenses,
and
other
information
that
you
should
read
and
consider
carefully
before
investing.
F1112-051
6/23
Item 1. (b) Notice pursuant to Rule 30e-3.
Not applicable.
Item 2. Code of Ethics.
A code of ethics, as defined in Item 2 of Form N-CSR, applicable to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions is filed as an exhibit to the registrant’s annual Form N-CSR. No substantive amendments were approved or waivers were granted to this code of ethics during the registrant’s most recent fiscal half-year.
Item 3. Audit Committee Financial Expert.
Disclosure required in registrant’s annual Form N-CSR.
Item 4. Principal Accountant Fees and Services.
Disclosure required in registrant’s annual Form N-CSR.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) Not applicable. The complete schedule of investments is included in Item 1 of this Form N-CSR.
(b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There has been no change to the procedures by which shareholders may recommend nominees to the registrant’s board of directors.
Item 11. Controls and Procedures.
(a) The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported timely.
(b) The registrant’s principal executive officer and principal financial officer are aware of no change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
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 | | June 16, 2023 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | |
| |
| By | | /s/ David Oestreicher |
| | David Oestreicher |
| | Principal Executive Officer |
| |
| Date | | June 16, 2023 |
| | |
| |
| By | | /s/ Alan S. Dupski |
| | Alan S. Dupski |
| | Principal Financial Officer |
| |
| Date | | June 16, 2023 |
