T. Rowe Price Multi-Strategy Total Return Fund - Investor Class (TMSRX) NPORT-P T. Rowe Price Multi-Strategy Total Return Fund (Jan 2023 report)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

January

31,

2023

(Unaudited)

1

Portfolio

of

Investments

‡

Par/Shares

$

Value

(

Cost

and

value

in

$000s)

‡

ALBANIA

0.1%

Government

Bonds

0.1%

Republic

of

Albania,

3.50%,

11/23/31

(EUR) 

260,000‌

235‌

Total

Albania

(Cost

$246

)

235‌

ARGENTINA

0.0%

Common

Stocks

0.0%

MercadoLibre

(USD) (1)

82‌

97‌

Total

Argentina

(Cost

$70

)

97‌

AUSTRALIA

0.2%

Common

Stocks

0.0%

BHP

Group 

1,342‌

47‌

Goodman

Group 

1,270‌

18‌

IGO 

2,629‌

27‌

Northern

Star

Resources 

2,395‌

22‌

South32 

8,392‌

27‌

141‌

Government

Bonds

0.2%

Commonwealth

of

Australia,

Series

162,

1.75%,

6/21/51 

1,165,000‌

517‌

517‌

Total

Australia

(Cost

$634

)

658‌

AUSTRIA

0.0%

Common

Stocks

0.0%

BAWAG

Group 

133‌

8‌

Total

Austria

(Cost

$6

)

8‌

BAHAMAS

0.1%

Government

Bonds

0.1%

Commonwealth

of

Bahamas,

6.00%,

11/21/28

(USD) (2)(3)

310,000‌

255‌

Total

Bahamas

(Cost

$240

)

255‌

BRAZIL

1.9%

Common

Stocks

0.1%

B3 

174,514‌

446‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

2

Par/Shares

$

Value

(Cost

and

value

in

$000s)

NU

Holdings,

Class

A

(USD) (1)

10,376‌

48‌

494‌

Corporate

Bonds

0.6%

Braskem

Netherlands

Finance,

5.875%,

1/31/50

(USD) (2)(3)

200,000‌

166‌

ERO

Copper,

6.50%,

2/15/30

(USD) (3)

440,000‌

375‌

Globo

Comunicacao

e

Participacoes,

4.875%,

1/22/30

(USD) (3)

700,000‌

598‌

Globo

Comunicacao

e

Participacoes,

5.50%,

1/14/32

(USD) (3)

280,000‌

242‌

Globo

Comunicacao

e

Participacoes,

5.50%,

1/14/32

(USD) 

310,000‌

268‌

MercadoLibre,

3.125%,

1/14/31

(USD) (2)

200,000‌

160‌

Suzano

Austria,

Series

DM3N,

3.125%,

1/15/32

(USD) 

300,000‌

239‌

2,048‌

Government

Bonds

1.2%

Brazil

Notas

do

Tesouro

Nacional,

Series

NTNF,

10.00%,

1/1/27 

18,805,000‌

3,402‌

Brazil

Notas

do

Tesouro

Nacional,

Series

NTNF,

10.00%,

1/1/31 

3,083,000‌

521‌

Brazil

Notas

do

Tesouro

Nacional,

Series

NTNF,

10.00%,

1/1/33 

826,000‌

136‌

4,059‌

Total

Brazil

(Cost

$6,930

)

6,601‌

CANADA

1.1%

Asset-Backed

Securities

0.1%

Cologix

Canadian

Issuer,

Series

2022-1CAN,

Class

A2,

4.94%,

1/25/52 (3)

305,000‌

213‌

213‌

Bank

Loans

0.1%

(4)

Jones

Deslauriers

Insurance

Management,

FRN,

3M

CAD

CDOR

+

4.25%,

8.813%,

3/27/28 (5)

420,728‌

300‌

300‌

Common

Stocks

0.4%

Brookfield

(USD) 

465‌

17‌

Brookfield

Asset

Management,

Class

A

(USD) (1)

116‌

4‌

Canadian

Natural

Resources 

686‌

42‌

Canadian

Pacific

Railway

(USD) 

2,482‌

196‌

Constellation

Software 

27‌

48‌

Descartes

Systems

Group

(USD) (1)

348‌

26‌

ERO

Copper (1)

682‌

11‌

Magna

International

(USD) 

573‌

37‌

MDA (1)

11,238‌

58‌

Nutrien

(USD) 

6,563‌

543‌

Shopify,

Class

A

(USD) (1)

7,496‌

369‌

Suncor

Energy 

864‌

30‌

TC

Energy

(USD) 

385‌

17‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

3

Par/Shares

$

Value

(Cost

and

value

in

$000s)

Wesdome

Gold

Mines (1)

738‌

4‌

1,402‌

Corporate

Bonds

0.5%

1011778

BC

ULC,

5.75%,

4/15/25

(USD) (2)(3)

1,205,000‌

1,203‌

Enbridge,

VR,

7.375%,

1/15/83

(USD) (6)

325,000‌

326‌

Toronto-Dominion

Bank,

VR,

8.125%,

10/31/82

(USD) (6)

200,000‌

210‌

1,739‌

Total

Canada

(Cost

$3,611

)

3,654‌

CHILE

0.4%

Corporate

Bonds

0.4%

AES

Andes,

VR,

7.125%,

3/26/79

(USD) (6)

310,000‌

301‌

Empresa

de

los

Ferrocarriles

del

Estado,

3.068%,

8/18/50

(USD) 

300,000‌

192‌

Empresa

de

Transporte

de

Pasajeros

Metro,

3.65%,

5/7/30

(USD) 

300,000‌

276‌

Mercury

Chile

Holdco,

6.50%,

1/24/27

(USD) 

310,000‌

299‌

VTR

Comunicaciones,

5.125%,

1/15/28

(USD) 

310,000‌

218‌

Total

Chile

(Cost

$1,371

)

1,286‌

CHINA

1.1%

Common

Stocks

0.5%

58.com

(USD) (1)(5)

22,100‌

—‌

Alibaba

Group

Holding

(HKD) (1)

6,800‌

94‌

BeiGene,

ADR

(USD) (1)

72‌

18‌

Beijing

Capital

International

Airport,

Class

H

(HKD) (1)

64,000‌

49‌

H

World

Group,

ADR

(USD) 

6,648‌

316‌

Kanzhun,

ADR

(USD) (1)

8,608‌

209‌

KE

Holdings,

ADR

(USD) (1)

2,817‌

52‌

Li

Ning

(HKD) 

3,000‌

30‌

Meituan,

Class

B

(HKD) (1)

9,050‌

202‌

Silergy

(TWD) 

5,000‌

102‌

Tencent

Holdings

(HKD) 

9,209‌

449‌

Wuxi

Biologics

Cayman

(HKD) (1)

1,000‌

8‌

Zai

Lab,

ADR

(USD) (1)

177‌

7‌

Zhongsheng

Group

Holdings

(HKD) 

2,000‌

11‌

1,547‌

Common

Stocks

-

China

A

Shares

0.0%

Fuyao

Glass

Industry

Group,

Class

A

(CNH) 

5,300‌

31‌

Kweichow

Moutai,

A

Shares

(CNH) 

100‌

27‌

NARI

Technology,

A

Shares

(CNH) 

14,328‌

56‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

4

Par/Shares

$

Value

(Cost

and

value

in

$000s)

Shenzhen

Inovance

Technology,

A

Shares

(CNH) 

3,600‌

38‌

152‌

Convertible

Bonds

0.2%

H

World

Group,

3.00%,

5/1/26

(USD) 

230,000‌

309‌

Vnet

Group,

Zero

Coupon,

2/1/26

(USD) 

530,000‌

456‌

765‌

Corporate

Bonds

0.4%

Country

Garden

Holdings,

3.30%,

1/12/31

(USD) (2)

360,000‌

212‌

Kaisa

Group

Holdings,

11.95%,

10/22/22

(USD) (1)(7)

1,515,000‌

284‌

Longfor

Group

Holdings,

3.85%,

1/13/32

(USD) 

200,000‌

155‌

Shimao

Group

Holdings,

3.45%,

1/11/31

(USD) (7)

200,000‌

45‌

Times

China

Holdings,

6.75%,

7/8/25

(USD) (7)

200,000‌

41‌

Yunda

Holding

Investment,

2.25%,

8/19/25

(USD) 

310,000‌

280‌

Zhongsheng

Group

Holdings,

3.00%,

1/13/26

(USD) 

310,000‌

281‌

1,298‌

Total

China

(Cost

$3,731

)

3,762‌

COLOMBIA

0.8%

Corporate

Bonds

0.5%

Aris

Mining,

6.875%,

8/9/26

(USD) (3)

640,000‌

543‌

Banco

de

Bogota,

6.25%,

5/12/26

(USD) 

310,000‌

308‌

Bancolombia,

VR,

4.625%,

12/18/29

(USD) (6)

300,000‌

274‌

Ecopetrol,

6.875%,

4/29/30

(USD) 

300,000‌

281‌

Geopark,

5.50%,

1/17/27

(USD) 

300,000‌

267‌

1,673‌

Government

Bonds

0.3%

Republic

of

Colombia,

3.875%,

4/25/27

(USD) 

300,000‌

272‌

Republic

of

Colombia,

4.50%,

1/28/26

(USD) 

200,000‌

192‌

Republic

of

Colombia,

Series

B,

7.00%,

3/26/31 

3,590,000,000‌

572‌

1,036‌

Private

Investment

Company

0.0%

Bona

Fide

Investments

Feeder

LLC,

Acquisition

date:

6/1/22,

Cost $30

(USD) (1)(8)

†

30‌

30‌

Total

Colombia

(Cost

$2,801

)

2,739‌

COSTA

RICA

0.2%

Corporate

Bonds

0.2%

Liberty

Costa

Rica

Senior

Secured

Finance,

10.875%,

1/15/31

(USD) (3)

585,000‌

572‌

Total

Costa

Rica

(Cost

$585

)

572‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

5

Par/Shares

$

Value

(Cost

and

value

in

$000s)

CYPRUS

0.0%

Government

Bonds

0.0%

Republic

of

Cyprus,

2.75%,

5/3/49 

210,000‌

182‌

Total

Cyprus

(Cost

$165

)

182‌

CZECHIA

0.2%

Government

Bonds

0.2%

Czech

Republic

Government

Bond,

Series

138,

1.75%,

6/23/32 

16,000,000‌

578‌

Total

Czechia

(Cost

$552

)

578‌

DENMARK

0.2%

Common

Stocks

0.0%

Ascendis

Pharma,

ADR

(USD) (1)

1,560‌

194‌

Genmab (1)

60‌

23‌

ROCKWOOL,

Class

B 

36‌

10‌

227‌

Corporate

Bonds

0.2%

Danske

Bank,

VR,

1.226%,

6/22/24

(USD) (3)(6)

225,000‌

214‌

DKT

Finance,

9.375%,

6/17/23

(USD) (3)

400,000‌

399‌

613‌

Total

Denmark

(Cost

$797

)

840‌

DOMINICAN

REPUBLIC

0.2%

Government

Bonds

0.2%

Dominican

Republic,

5.95%,

1/25/27

(USD) 

310,000‌

310‌

Dominican

Republic,

6.00%,

7/19/28

(USD) 

230,000‌

227‌

Total

Dominican

Republic

(Cost

$543

)

537‌

FINLAND

0.0%

Common

Stocks

0.0%

Kojamo 

734‌

11‌

UPM-Kymmene 

672‌

25‌

Total

Finland

(Cost

$33

)

36‌

FRANCE

0.5%

Common

Stocks

0.5%

Airbus 

7,832‌

982‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

6

Par/Shares

$

Value

(Cost

and

value

in

$000s)

Alstom 

1,885‌

56‌

Eurofins

Scientific 

542‌

39‌

Hermes

International 

26‌

49‌

Legrand 

117‌

10‌

LVMH

Moet

Hennessy

Louis

Vuitton 

175‌

153‌

Pernod

Ricard 

294‌

61‌

Safran 

583‌

84‌

Schneider

Electric 

580‌

94‌

SPIE 

1,008‌

27‌

TotalEnergies 

1,874‌

116‌

Verallia 

443‌

16‌

1,687‌

Convertible

Preferred

Stocks

0.0%

DNA

Script,

Series

C,

Acquisition

Date:

12/16/21,

Cost $7 (1)

(5)(8)

8‌

7‌

7‌

Corporate

Bonds

0.0%

Altice

France

Holding,

4.00%,

2/15/28 

100,000‌

73‌

73‌

Total

France

(Cost

$1,517

)

1,767‌

GEORGIA

0.1%

Corporate

Bonds

0.1%

Georgian

Railway,

4.00%,

6/17/28

(USD) 

310,000‌

276‌

Total

Georgia

(Cost

$273

)

276‌

GERMANY

1.3%

Common

Stocks

0.2%

BioNTech,

ADR

(USD) 

95‌

14‌

Delivery

Hero (1)

226‌

14‌

Infineon

Technologies 

5,377‌

194‌

SAP 

2,038‌

241‌

Siemens 

962‌

150‌

Zalando (1)

482‌

22‌

635‌

Corporate

Bonds

0.1%

TK

Elevator

Holdco,

7.625%,

7/15/28

(USD) (2)(3)

400,000‌

353‌

353‌

Government

Bonds

0.8%

Deutsche

Bundesrepublik,

Inflation-Indexed,

0.10%,

4/15/26 

2,452,381‌

2,642‌

2,642‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

7

Par/Shares

$

Value

(Cost

and

value

in

$000s)

Preferred

Stocks

0.2%

Dr

Ing

hc

F

Porsche (1)

342‌

41‌

Sartorius (2)

1,691‌

758‌

Volkswagen 

294‌

41‌

840‌

Total

Germany

(Cost

$4,572

)

4,470‌

GHANA

0.1%

Corporate

Bonds

0.1%

Kosmos

Energy,

7.125%,

4/4/26

(USD) 

310,000‌

281‌

Total

Ghana

(Cost

$299

)

281‌

GUATEMALA

0.2%

Government

Bonds

0.2%

Republic

of

Guatemala,

4.875%,

2/13/28

(USD) (2)

300,000‌

292‌

Republic

of

Guatemala,

4.90%,

6/1/30

(USD) (2)

300,000‌

288‌

Total

Guatemala

(Cost

$602

)

580‌

HONG

KONG

0.2%

Common

Stocks

0.2%

AIA

Group 

52,200‌

590‌

Samsonite

International (1)

9,900‌

30‌

Total

Hong

Kong

(Cost

$484

)

620‌

HUNGARY

0.5%

Common

Stocks

0.0%

Wizz

Air

Holdings

(GBP) (1)

297‌

10‌

10‌

Government

Bonds

0.5%

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

275‌

Republic

of

Hungary,

Series

28/B,

4.50%,

3/23/28 

131,000,000‌

301‌

Republic

of

Hungary,

Series

32/A,

4.75%,

11/24/32 

314,290,000‌

686‌

Republic

of

Hungary,

Series

33/A,

2.25%,

4/20/33 

169,080,000‌

290‌

1,832‌

Total

Hungary

(Cost

$1,848

)

1,842‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

8

Par/Shares

$

Value

(Cost

and

value

in

$000s)

INDIA

0.7%

Common

Stocks

0.3%

HDFC

Bank 

19,277‌

380‌

HDFC

Life

Insurance 

27,188‌

193‌

ICICI

Bank 

34,608‌

356‌

Larsen

&

Toubro 

1,814‌

47‌

Voltas 

1,969‌

19‌

995‌

Corporate

Bonds

0.2%

Adani

International

Container

Terminal,

3.00%,

2/16/31

(USD) 

290,625‌

213‌

Adani

Renewable

Energy

RJ,

4.625%,

10/15/39

(USD) 

271,125‌

195‌

REC,

2.25%,

9/1/26

(USD) 

300,000‌

266‌

674‌

Government

Bonds

0.2%

Export-Import

Bank

of

India,

2.25%,

1/13/31

(USD) (2)

300,000‌

244‌

Export-Import

Bank

of

India,

3.875%,

2/1/28

(USD) 

300,000‌

283‌

Republic

of

India,

6.45%,

10/7/29 

32,000,000‌

374‌

901‌

Total

India

(Cost

$2,733

)

2,570‌

INDONESIA

0.9%

Corporate

Bonds

0.7%

Bank

Negara

Indonesia

Persero,

3.75%,

3/30/26

(USD) 

310,000‌

291‌

Bank

Negara

Indonesia

Persero,

VR,

4.30%

(USD) (6)(9)

620,000‌

538‌

Cikarang

Listrindo,

4.95%,

9/14/26

(USD) (2)

300,000‌

284‌

Freeport

Indonesia,

5.315%,

4/14/32

(USD) (3)

460,000‌

439‌

Freeport

Indonesia,

6.20%,

4/14/52

(USD) (3)

200,000‌

185‌

Minejesa

Capital,

4.625%,

8/10/30

(USD) 

300,000‌

279‌

Pakuwon

Jati,

4.875%,

4/29/28

(USD) (2)

300,000‌

278‌

Pertamina

Persero,

1.40%,

2/9/26

(USD) 

300,000‌

271‌

2,565‌

Government

Bonds

0.2%

Republic

of

Indonesia,

Series

FR90,

5.125%,

4/15/27 

9,000,000,000‌

578‌

578‌

Total

Indonesia

(Cost

$3,080

)

3,143‌

IRELAND

0.2%

Corporate

Bonds

0.2%

AerCap

Ireland

Capital,

3.00%,

10/29/28

(USD) 

150,000‌

132‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

9

Par/Shares

$

Value

(Cost

and

value

in

$000s)

AerCap

Ireland

Capital,

3.30%,

1/30/32

(USD) 

310,000‌

260‌

AerCap

Ireland

Capital,

FRN,

SOFR

+

0.68%,

5.01%,

9/29/23

(USD) 

150,000‌

149‌

Total

Ireland

(Cost

$596

)

541‌

ISRAEL

0.5%

Corporate

Bonds

0.2%

Bank

Hapoalim,

VR,

3.255%,

1/21/32

(USD) (3)(6)

300,000‌

264‌

Bank

Leumi

Le-Israel,

VR,

3.275%,

1/29/31

(USD) (3)(6)

325,000‌

295‌

Energean

Israel

Finance,

4.875%,

3/30/26

(USD) (2)(3)

280,000‌

264‌

823‌

Government

Bonds

0.3%

State

of

Israel,

Series

0347,

3.75%,

3/31/47 

2,854,000‌

852‌

852‌

Total

Israel

(Cost

$1,894

)

1,675‌

ITALY

0.7%

Common

Stocks

0.4%

Davide

Campari-Milano 

3,759‌

41‌

Ferrari

(USD) 

3,645‌

916‌

GVS (1)

3,574‌

19‌

PRADA

(HKD) 

67,600‌

432‌

1,408‌

Corporate

Bonds

0.3%

Enel

Finance

International,

6.80%,

10/14/25

(USD) (3)

200,000‌

207‌

Enel

Finance

International,

7.75%,

10/14/52

(USD) (3)

200,000‌

237‌

Intesa

Sanpaolo,

VR,

8.248%,

11/21/33

(USD) (3)(6)

645,000‌

701‌

1,145‌

Total

Italy

(Cost

$2,271

)

2,553‌

IVORY

COAST

0.1%

Government

Bonds

0.1%

Republic

of

Ivory

Coast,

6.375%,

3/3/28

(USD) 

310,000‌

302‌

Total

Ivory

Coast

(Cost

$314

)

302‌

JAPAN

1.2%

Common

Stocks

0.8%

Asics 

1,400‌

33‌

Daiichi

Sankyo 

40,500‌

1,272‌

Daikin

Industries 

400‌

69‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

10

Par/Shares

$

Value

(Cost

and

value

in

$000s)

Harmonic

Drive

Systems 

10,600‌

357‌

Hoshizaki 

2,000‌

72‌

Industrial

&

Infrastructure

Fund

Investment 

10‌

11‌

Istyle (1)

3,700‌

14‌

Keyence 

1,100‌

506‌

MatsukiyoCocokara 

500‌

25‌

Mitsubishi

UFJ

Financial

Group 

30,800‌

226‌

Mitsui

Fudosan 

900‌

17‌

Miura 

2,400‌

60‌

Nippon

Sanso

Holdings 

4,000‌

65‌

Recruit

Holdings 

1,400‌

45‌

Seven

&

i

Holdings 

800‌

38‌

Sony

Group 

700‌

63‌

Suzuki

Motor 

900‌

34‌

2,907‌

Government

Bonds

0.4%

Japan

Government

Thirty

Year

Bond,

Series

76,

1.40%,

9/20/52 

180,750,000‌

1,330‌

1,330‌

Total

Japan

(Cost

$3,797

)

4,237‌

JORDAN

0.1%

Government

Bonds

0.1%

Kingdom

of

Jordan,

5.85%,

7/7/30

(USD) 

300,000‌

277‌

Total

Jordan

(Cost

$276

)

277‌

KAZAKHSTAN

0.1%

Corporate

Bonds

0.1%

KazMunayGas

National,

5.375%,

4/24/30

(USD) 

310,000‌

287‌

Tengizchevroil

Finance

International,

3.25%,

8/15/30

(USD) (2)

300,000‌

231‌

Total

Kazakhstan

(Cost

$555

)

518‌

LUXEMBOURG

0.4%

Corporate

Bonds

0.4%

ArcelorMittal,

6.80%,

11/29/32

(USD) 

1,230,000‌

1,288‌

Total

Luxembourg

(Cost

$1,222

)

1,288‌

MALAYSIA

0.1%

Government

Bonds

0.1%

Government

of

Malaysia,

Series

0518,

4.921%,

7/6/48 

1,280,000‌

329‌

Total

Malaysia

(Cost

$312

)

329‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

11

Par/Shares

$

Value

(Cost

and

value

in

$000s)

MAURITIUS

0.1%

Corporate

Bonds

0.1%

Axian

Telecom,

7.375%,

2/16/27

(USD) (3)

230,000‌

213‌

Axian

Telecom,

7.375%,

2/16/27

(USD) 

310,000‌

287‌

Total

Mauritius

(Cost

$536

)

500‌

MEXICO

2.4%

Corporate

Bonds

1.1%

Banco

Mercantil

del

Norte,

VR,

6.75%

(USD) (6)(9)

310,000‌

304‌

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

295‌

Comision

Federal

de

Electricidad,

4.75%,

2/23/27

(USD) 

240,000‌

232‌

Electricidad

Firme

de

Mexico

Holdings,

4.90%,

11/20/26

(USD) 

300,000‌

270‌

Mexico

City

Airport

Trust,

3.875%,

4/30/28

(USD) 

330,000‌

316‌

Mexico

City

Airport

Trust,

5.50%,

7/31/47

(USD) (3)

400,000‌

325‌

Petroleos

Mexicanos,

5.35%,

2/12/28

(USD) (2)

310,000‌

271‌

Petroleos

Mexicanos,

5.50%,

6/27/44

(USD) 

310,000‌

197‌

Petroleos

Mexicanos,

6.50%,

1/23/29

(USD) 

315,000‌

285‌

Petroleos

Mexicanos,

6.70%,

2/16/32

(USD) 

835,000‌

694‌

Sigma

Finance

Netherlands,

4.875%,

3/27/28

(USD) 

300,000‌

294‌

3,738‌

Government

Bonds

1.3%

United

Mexican

States,

6.35%,

2/9/35

(USD) 

200,000‌

213‌

United

Mexican

States,

Series

M,

5.75%,

3/5/26 

18,070,000‌

870‌

United

Mexican

States,

Series

M,

7.75%,

5/29/31 

5,600,000‌

282‌

United

Mexican

States,

Series

M,

8.00%,

11/7/47 

5,560,000‌

272‌

United

Mexican

States,

Series

M

20,

7.50%,

6/3/27 

36,620,000‌

1,851‌

United

Mexican

States,

Series

M

20,

8.50%,

5/31/29 

23,316,000‌

1,228‌

4,716‌

Total

Mexico

(Cost

$8,382

)

8,454‌

MOROCCO

0.1%

Corporate

Bonds

0.1%

Vivo

Energy

Investments,

5.125%,

9/24/27

(USD) 

310,000‌

291‌

Total

Morocco

(Cost

$306

)

291‌

NETHERLANDS

0.5%

Common

Stocks

0.4%

Adyen (1)

226‌

342‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

12

Par/Shares

$

Value

(Cost

and

value

in

$000s)

Akzo

Nobel 

225‌

17‌

Argenx,

ADR

(USD) (1)

132‌

50‌

ASM

International 

159‌

54‌

ASML

Holding 

1,350‌

893‌

Heineken 

355‌

35‌

TKH

Group,

CVA 

1,126‌

51‌

Universal

Music

Group 

933‌

24‌

1,466‌

Corporate

Bonds

0.1%

NXP,

5.00%,

1/15/33

(USD) 

105,000‌

103‌

103‌

Total

Netherlands

(Cost

$1,332

)

1,569‌

NEW

ZEALAND

0.3%

Government

Bonds

0.3%

Government

of

New

Zealand,

Series

0551,

2.75%,

5/15/51 

2,036,000‌

965‌

Total

New

Zealand

(Cost

$1,129

)

965‌

NORWAY

0.5%

Common

Stocks

0.0%

Equinor 

1,817‌

55‌

55‌

Corporate

Bonds

0.5%

Var

Energi,

8.00%,

11/15/32

(USD) (3)

1,445,000‌

1,579‌

1,579‌

Total

Norway

(Cost

$1,477

)

1,634‌

OMAN

0.3%

Corporate

Bonds

0.2%

OmGrid

Funding,

5.196%,

5/16/27

(USD) 

300,000‌

294‌

Oryx

Funding,

5.80%,

2/3/31

(USD) 

300,000‌

296‌

590‌

Government

Bonds

0.1%

Sultanate

of

Oman,

4.75%,

6/15/26

(USD) 

320,000‌

315‌

315‌

Total

Oman

(Cost

$910

)

905‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

13

Par/Shares

$

Value

(Cost

and

value

in

$000s)

PANAMA

0.2%

Corporate

Bonds

0.1%

Banco

General,

VR,

5.25%

(USD) (6)(9)

300,000‌

258‌

Banco

Nacional

de

Panama,

2.50%,

8/11/30

(USD) 

310,000‌

255‌

513‌

Government

Bonds

0.1%

Republic

of

Panama,

3.16%,

1/23/30

(USD) 

250,000‌

220‌

220‌

Total

Panama

(Cost

$779

)

733‌

PARAGUAY

0.1%

Government

Bonds

0.1%

Republic

of

Paraguay,

2.739%,

1/29/33

(USD) 

370,000‌

300‌

Total

Paraguay

(Cost

$304

)

300‌

PERU

0.5%

Common

Stocks

0.0%

Southern

Copper

(USD) 

480‌

36‌

36‌

Corporate

Bonds

0.2%

Banco

de

Credito

del

Peru,

VR,

3.125%,

7/1/30

(USD) (6)

310,000‌

286‌

Consorcio

Transmantaro,

5.20%,

4/11/38

(USD) (3)

200,000‌

186‌

InRetail

Consumer,

3.25%,

3/22/28

(USD) 

300,000‌

259‌

731‌

Government

Bonds

0.3%

Fondo

MIVIVIENDA,

4.625%,

4/12/27

(USD) 

300,000‌

292‌

Republic

of

Peru,

5.94%,

2/12/29 

1,250,000‌

296‌

Republic

of

Peru,

6.15%,

8/12/32 

1,150,000‌

262‌

Republic

of

Peru,

6.95%,

8/12/31 

1,200,000‌

293‌

1,143‌

Total

Peru

(Cost

$1,915

)

1,910‌

PHILIPPINES

0.2%

Corporate

Bonds

0.1%

Globe

Telecom,

VR,

4.20%

(USD) (6)(9)

300,000‌

278‌

278‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

14

Par/Shares

$

Value

(Cost

and

value

in

$000s)

Government

Bonds

0.1%

Republic

of

Philippines,

6.25%,

1/14/36 

23,000,000‌

386‌

386‌

Total

Philippines

(Cost

$836

)

664‌

PORTUGAL

0.0%

Common

Stocks

0.0%

Galp

Energia 

2,540‌

35‌

Jeronimo

Martins 

1,435‌

31‌

Total

Portugal

(Cost

$56

)

66‌

ROMANIA

0.4%

Government

Bonds

0.4%

Republic

of

Romania,

2.125%,

3/7/28

(EUR) 

220,000‌

206‌

Republic

of

Romania,

3.00%,

2/27/27

(USD) 

260,000‌

236‌

Republic

of

Romania,

Series

10Y,

5.00%,

2/12/29 

4,500,000‌

881‌

Total

Romania

(Cost

$1,653

)

1,323‌

SAUDI

ARABIA

0.1%

Corporate

Bonds

0.1%

Dar

Al-Arkan

Sukuk,

6.75%,

2/15/25

(USD) (2)

300,000‌

298‌

Riyad

Sukuk,

VR,

3.174%,

2/25/30

(USD) (6)

200,000‌

192‌

Total

Saudi

Arabia

(Cost

$509

)

490‌

SENEGAL

0.1%

Government

Bonds

0.1%

Republic

of

Senegal,

6.25%,

5/23/33

(USD) 

310,000‌

269‌

Total

Senegal

(Cost

$290

)

269‌

SERBIA

0.3%

Government

Bonds

0.3%

Republic

of

Serbia,

2.125%,

12/1/30

(USD) 

310,000‌

237‌

Republic

of

Serbia,

Series

12.5,

4.50%,

8/20/32 

100,000,000‌

779‌

Total

Serbia

(Cost

$1,352

)

1,016‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

15

Par/Shares

$

Value

(Cost

and

value

in

$000s)

SINGAPORE

0.0%

Common

Stocks

0.0%

Sea,

ADR

(USD) (1)

917‌

59‌

Total

Singapore

(Cost

$55

)

59‌

SOUTH

AFRICA

1.0%

Corporate

Bonds

0.1%

Transnet,

8.25%,

2/6/28

(USD) (3)

200,000‌

201‌

201‌

Government

Bonds

0.9%

Republic

of

South

Africa,

Series

R186,

10.50%,

12/21/26 

30,420,000‌

1,888‌

Republic

of

South

Africa,

Series

R213,

7.00%,

2/28/31 

5,400,000‌

258‌

Republic

of

South

Africa,

Series

2030,

8.00%,

1/31/30 

9,880,000‌

521‌

Republic

of

South

Africa,

Series

2048,

8.75%,

2/28/48 

13,199,000‌

601‌

3,268‌

Total

South

Africa

(Cost

$3,697

)

3,469‌

SOUTH

KOREA

0.1%

Common

Stocks

0.0%

Hyundai

Mobis 

258‌

43‌

Samsung

Electronics 

2,538‌

126‌

169‌

Convertible

Bonds

0.0%

POSCO

Holdings,

Zero

Coupon,

9/1/26

(EUR) 

100,000‌

105‌

105‌

Corporate

Bonds

0.1%

SK

Hynix,

6.375%,

1/17/28

(USD) (3)

200,000‌

203‌

203‌

Total

South

Korea

(Cost

$462

)

477‌

SPAIN

0.2%

Common

Stocks

0.2%

Amadeus

IT

Group,

Class

A (1)

11,899‌

750‌

Cellnex

Telecom 

191‌

7‌

757‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

16

Par/Shares

$

Value

(Cost

and

value

in

$000s)

Corporate

Bonds

0.0%

Cirsa

Finance

International,

10.375%,

11/30/27 (3)

100,000‌

114‌

114‌

Total

Spain

(Cost

$794

)

871‌

SRI

LANKA

0.1%

Government

Bonds

0.1%

Republic

of

Sri

Lanka,

6.825%,

7/18/26

(USD) (7)

310,000‌

110‌

Republic

of

Sri

Lanka,

6.85%,

11/3/25

(USD) (1)(7)

560,000‌

199‌

Total

Sri

Lanka

(Cost

$369

)

309‌

SURINAME

0.3%

Government

Bonds

0.3%

Republic

of

Suriname,

9.25%,

10/26/26

(USD) (1)(7)

1,200,000‌

952‌

Total

Suriname

(Cost

$883

)

952‌

SWEDEN

0.4%

Bank

Loans

0.2%

(4)

Anticimex

Global,

FRN,

3M

USD

LIBOR

+

3.50%,

8.235%,

11/16/28

(USD) 

594,000‌

587‌

Anticimex

Global,

FRN,

3M

USD

LIBOR

+

4.00%,

8.735%,

11/16/28

(USD) 

99,000‌

98‌

685‌

Common

Stocks

0.1%

Boliden 

1,129‌

51‌

Epiroc,

Class

B 

963‌

16‌

Sandvik 

795‌

16‌

Spotify

Technology

(USD) (1)

395‌

45‌

Svenska

Cellulosa,

Class

B 

20,826‌

289‌

417‌

Corporate

Bonds

0.1%

Castellum,

2.125%,

11/20/23

(EUR) 

200,000‌

210‌

Verisure

Holding,

FRN,

3M

EURIBOR

+

5.00%,

7.288%,

4/15/25

(EUR) (3)

100,000‌

109‌

319‌

Total

Sweden

(Cost

$1,421

)

1,421‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

17

Par/Shares

$

Value

(Cost

and

value

in

$000s)

SWITZERLAND

0.1%

Common

Stocks

0.1%

Cie

Financiere

Richemont,

Class

A 

216‌

33‌

Julius

Baer

Group 

349‌

23‌

Montana

Aerospace (1)

1,589‌

29‌

Nestle 

909‌

111‌

Roche

Holding 

77‌

24‌

Total

Switzerland

(Cost

$197

)

220‌

TAIWAN

0.2%

Common

Stocks

0.2%

Taiwan

Semiconductor

Manufacturing 

46,000‌

812‌

Total

Taiwan

(Cost

$838

)

812‌

THAILAND

0.7%

Corporate

Bonds

0.4%

Bangkok

Bank,

VR,

3.733%,

9/25/34

(USD) (6)

310,000‌

273‌

Indorama

Ventures

Global

Services,

4.375%,

9/12/24

(USD) 

300,000‌

287‌

Kasikornbank,

VR,

3.343%,

10/2/31

(USD) (6)

310,000‌

279‌

Thaioil

Treasury

Center,

2.50%,

6/18/30

(USD) 

310,000‌

254‌

Thaioil

Treasury

Center,

3.50%,

10/17/49

(USD) 

310,000‌

200‌

1,293‌

Government

Bonds

0.3%

Kingdom

of

Thailand,

3.60%,

6/17/67 

10,500,000‌

296‌

Kingdom

of

Thailand,

Series

ILB,

Inflation-Indexed,

1.25%,

3/12/28 

31,603,880‌

934‌

1,230‌

Total

Thailand

(Cost

$2,707

)

2,523‌

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

$292

)

290‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

18

Par/Shares

$

Value

(Cost

and

value

in

$000s)

UNITED

KINGDOM

3.6%

Bank

Loans

0.2%

(4)

Motion

Finco,

FRN,

3M

USD

LIBOR

+

3.25%,

7.98%,

11/12/26

(USD) 

740,672‌

729‌

729‌

Common

Stocks

0.7%

Ashtead

Group 

6,378‌

420‌

AstraZeneca,

ADR

(USD) 

1,486‌

97‌

Compass

Group 

2,551‌

61‌

Derwent

London 

10,868‌

347‌

Direct

Line

Insurance

Group 

1,812‌

4‌

Farfetch,

Class

A

(USD) (1)

976‌

7‌

London

Stock

Exchange

Group 

11,473‌

1,050‌

Next 

201‌

16‌

Novocure

(USD) (1)

241‌

22‌

Rentokil

Initial 

5,541‌

34‌

Shell 

1,605‌

47‌

Smiths

Group 

1,298‌

28‌

Trainline (1)

34,680‌

121‌

Unilever

(EUR) 

1,044‌

53‌

UNITE

Group 

929‌

11‌

Weir

Group 

774‌

17‌

Wise,

Class

A (1)

5,610‌

38‌

2,373‌

Corporate

Bonds

0.8%

Barclays,

VR,

7.437%,

11/2/33

(USD) (6)

200,000‌

225‌

BAT

Capital,

7.75%,

10/19/32

(USD) 

250,000‌

279‌

Clear

Channel

International,

6.625%,

8/1/25

(USD) (2)(3)

400,000‌

392‌

eG

Global

Finance,

8.50%,

10/30/25

(USD) (3)

200,000‌

190‌

HSBC

Holdings,

VR,

5.402%,

8/11/33

(USD) (6)

905,000‌

899‌

HSBC

Holdings,

VR,

8.113%,

11/3/33

(USD) (6)

200,000‌

229‌

Rolls-Royce,

3.625%,

10/14/25

(USD) (3)

500,000‌

466‌

2,680‌

Government

Bonds

1.9%

United

Kingdom

Inflation-Linked

Gilt,

Series

3MO,

0.125%,

3/22/24 

5,279,487‌

6,478‌

6,478‌

Total

United

Kingdom

(Cost

$12,296

)

12,260‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

19

Par/Shares

$

Value

(Cost

and

value

in

$000s)

UNITED

STATES

39.4%

Asset-Backed

Securities

2.3%

Amur

Equipment

Finance

Receivables

X,

Series

2022-1A,

Class

E,

5.02%,

12/20/28 (3)

465,000‌

427‌

Blackbird

Capital

Aircraft

Lease

Securitization,

Series

2016-1A,

Class

A,

STEP,

4.213%,

12/16/41 (3)

403,277‌

333‌

Carmax

Auto

Owner

Trust,

Series

2019-3,

Class

D,

2.85%,

1/15/26 

705,000‌

691‌

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 

65,514‌

63‌

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)

61,136‌

57‌

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

247‌

FOCUS

Brands

Funding,

Series

2018-1,

Class

A2,

5.184%,

10/30/48 (3)

756,425‌

715‌

FOCUS

Brands

Funding,

Series

2022-1,

Class

A2,

7.206%,

7/30/52 (3)

248,750‌

247‌

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)

265,950‌

220‌

HPS

Loan

Management,

Series

11A-17,

Class

CR,

CLO,

FRN,

3M

USD

LIBOR

+

1.95%,

6.482%,

5/6/30 (3)

335,000‌

318‌

JPMorgan

Chase

Bank,

Series

2021-1,

Class

D,

1.174%,

9/25/28 (3)

397,921‌

383‌

JPMorgan

Chase

Bank,

Series

2021-3,

Class

D,

1.009%,

2/26/29 (3)

128,120‌

121‌

JPMorgan

Chase

Bank,

Series

2021-3,

Class

E,

2.102%,

2/26/29 (3)

260,986‌

246‌

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

Octane

Receivables

Trust,

Series

2021-1A,

Class

A,

0.93%,

3/22/27 (3)

80,703‌

78‌

Octane

Receivables

Trust,

Series

2021-2A,

Class

A,

1.21%,

9/20/28 (3)

51,744‌

49‌

Octane

Receivables

Trust,

Series

2021-2A,

Class

C,

2.53%,

5/21/29 (3)

320,000‌

285‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

20

Par/Shares

$

Value

(Cost

and

value

in

$000s)

Octane

Receivables

Trust,

Series

2022-1A,

Class

C,

5.21%,

8/21/28 (3)

610,000‌

594‌

Progress

Residential

Trust,

Series

2020-SFR2,

Class

B,

2.578%,

6/17/37 (3)

260,000‌

243‌

Progress

Residential

Trust,

Series

2022-SFR5,

Class

D,

5.734%,

6/17/39 (3)

100,000‌

94‌

Santander

Bank

Auto

Credit-Linked

Notes,

Series

2022-A,

Class

B,

5.281%,

5/15/32 (3)

448,661‌

438‌

Santander

Bank

Auto

Credit-Linked

Notes,

Series

2022-B,

Class

D,

6.793%,

8/16/32 (3)

405,138‌

402‌

Santander

Bank

Auto

Credit-Linked

Notes,

Series

2022-C,

Class

D,

8.197%,

12/15/32 (3)

239,505‌

240‌

Santander

Retail

Auto

Lease

Trust,

Series

2020-A,

Class

D,

2.52%,

11/20/24 (3)

395,000‌

392‌

Stonepeak,

Series

2021-1A,

Class

B,

3.821%,

2/28/33 (3)

306,491‌

264‌

7,988‌

Bank

Loans

7.8%

(4)

Applied

Systems,

FRN,

1M

USD

LIBOR

+

3.00%,

7.73%,

9/19/24 

1,367,256‌

1,368‌

Aretec

Group,

FRN,

1M

TSFR

+

4.25%,

8.911%,

10/1/25 

88,843‌

87‌

Asurion,

FRN,

1M

USD

LIBOR

+

3.00%,

7.57%,

11/3/24 

333,372‌

329‌

Asurion,

FRN,

1M

USD

LIBOR

+

5.25%,

9.82%,

1/31/28 

101,879‌

84‌

Asurion,

FRN,

1M

USD

LIBOR

+

5.25%,

9.82%,

1/20/29 

700,000‌

584‌

Charter

Next

Generation,

FRN,

3M

USD

LIBOR

+

3.75%,

8.32%,

12/1/27 

604,377‌

600‌

Churchill

Downs,

FRN,

3M

USD

LIBOR

+

2.00%,

12/27/24 (10)

1,500,000‌

1,497‌

CNT

Holdings

I,

FRN,

1M

USD

LIBOR

+

3.50%,

8.125%,

11/8/27 

590,977‌

583‌

ConnectWise,

FRN,

3M

USD

LIBOR

+

3.50%,

8.07%,

9/29/28 

594,000‌

571‌

Delta

Topco,

FRN,

3M

USD

LIBOR

+

7.25%,

11.654%,

12/1/28 

310,000‌

258‌

Diamond,

FRN,

3M

USD

LIBOR

+

2.75%,

7.575%,

9/29/28 

514,800‌

509‌

Edelman

Financial

Engines

Center,

FRN,

1M

USD

LIBOR

+

6.75%,

11.32%,

7/20/26 

805,000‌

755‌

Engineered

Machinery

Holdings,

FRN,

3M

USD

LIBOR

+

6.00%,

10.73%,

5/21/29 

465,000‌

421‌

Engineered

Machinery

Holdings,

FRN,

3M

USD

LIBOR

+

6.50%,

11.23%,

5/21/29 

145,000‌

131‌

Epicor

Software,

FRN,

1M

USD

LIBOR

+

7.75%,

12.32%,

7/31/28 

605,000‌

602‌

Fertitta

Entertainment,

FRN,

1M

TSFR

+

4.00%,

8.561%,

1/27/29 

496,250‌

490‌

Fleet

U.S.

Bidco,

FRN,

1M

USD

LIBOR

+

3.00%,

7.928%,

10/7/26 (5)

86,893‌

87‌

Granite

U.S.

Holdings,

FRN,

3M

USD

LIBOR

+

4.00%,

8.75%,

9/30/26 

797,981‌

797‌

Heartland

Dental,

FRN,

3M

USD

LIBOR

+

3.75%,

8.32%,

4/30/25 

984,549‌

941‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

21

Par/Shares

$

Value

(Cost

and

value

in

$000s)

HUB

International,

FRN,

1M

USD

LIBOR

+

3.25%,

4/25/25 (10)

800,000‌

799‌

Hyland

Software,

FRN,

1M

USD

LIBOR

+

3.50%,

8.07%,

7/1/24 

985,415‌

982‌

Infinite

Bidco,

FRN,

3M

USD

LIBOR

+

3.25%,

7.98%,

3/2/28 

394,000‌

380‌

Infinite

Bidco,

FRN,

3M

USD

LIBOR

+

7.00%,

11.73%,

3/2/29 

400,000‌

358‌

IRB

Holding,

FRN,

1M

TSFR

+

3.00%,

7.687%,

12/15/27 

531,167‌

525‌

MH

Sub

I,

FRN,

1M

USD

LIBOR

+

3.75%,

8.32%,

9/13/24 

949,036‌

938‌

MH

Sub

I,

FRN,

3M

USD

LIBOR

+

3.75%,

8.32%,

9/13/24 

884,479‌

874‌

MIC

Glen,

FRN,

1M

USD

LIBOR

+

3.50%,

8.07%,

7/21/28 

196,750‌

191‌

MIC

Glen,

FRN,

1M

USD

LIBOR

+

6.75%,

11.32%,

7/20/29 

800,000‌

720‌

NCL

Corp.,

FRN,

1M

TSFR

+

2.25%,

6.782%,

1/2/25 (5)

410,000‌

389‌

Neptune

Bidco

U.S.,

FRN,

1M

TSFR

+

5.00%,

4/11/29 (10)

239,000‌

219‌

PetSmart,

FRN,

1M

USD

LIBOR

+

3.75%,

8.411%,

2/11/28 

591,000‌

586‌

Project

Ruby

Ultimate

Parent,

FRN,

1M

USD

LIBOR

+

3.25%,

7.82%,

3/10/28 

590,239‌

569‌

RealPage,

FRN,

1M

USD

LIBOR

+

3.00%,

7.57%,

4/24/28 

854,188‌

832‌

RealPage,

FRN,

1M

USD

LIBOR

+

6.50%,

11.07%,

4/23/29 

795,000‌

762‌

Rent-A-Center,

FRN,

1M

USD

LIBOR

+

3.25%,

8.125%,

2/17/28 

432,398‌

420‌

Rising

Tide

Holdings,

FRN,

1M

USD

LIBOR

+

8.25%,

12.985%,

6/1/29 (5)

400,000‌

100‌

S2P

Acquisition

Borrower,

FRN,

3M

USD

LIBOR

+

4.00%,

8.661%,

8/14/26 

279,002‌

277‌

Select

Medical,

FRN,

1M

USD

LIBOR

+

2.50%,

7.07%,

3/6/25 

800,000‌

795‌

Sophia,

FRN,

3M

USD

LIBOR

+

3.50%,

8.23%,

10/7/27 

997,258‌

982‌

Tacala

Investment,

FRN,

1M

USD

LIBOR

+

3.50%,

8.07%,

2/5/27 

492,248‌

477‌

Tacala

Investment,

FRN,

1M

USD

LIBOR

+

7.50%,

12.07%,

2/4/28 

495,000‌

449‌

Talen

Energy

Supply,

FRN,

3M

TSFR

+

4.75%,

9.061%,

11/11/23 (1)

700,000‌

705‌

Univision

Communications,

FRN,

3M

USD

LIBOR

+

2.75%,

7.32%,

3/15/24 

322,717‌

322‌

Wand

NewCo

3,

FRN,

1M

USD

LIBOR

+

3.00%,

7.57%,

2/5/26 

415,148‌

404‌

William

Morris

Endeavor

Entertainment,

FRN,

3M

USD

LIBOR

+

2.75%,

7.32%,

5/18/25 (10)

1,042,107‌

1,035‌

Woof

Holdings,

FRN,

3M

USD

LIBOR

+

3.75%,

8.258%,

12/21/27 (5)

511,639‌

486‌

Woof

Holdings,

FRN,

3M

USD

LIBOR

+

7.25%,

12.003%,

12/21/28 

580,000‌

512‌

Xplornet

Communications,

FRN,

1M

USD

LIBOR

+

7.00%,

11.57%,

10/1/29 (5)

85,000‌

50‌

26,832‌

Common

Stocks

13.5%

10X

Genomics,

Class

A (1)

206‌

10‌

7

Acquisition,

Warrants,

11/5/2026 (1)

24,950‌

3‌

7

Acquisition,

Class

A (1)

49,900‌

516‌

AbbVie 

314‌

46‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

22

Par/Shares

$

Value

(Cost

and

value

in

$000s)

Acadia

Realty

Trust,

REIT 

477‌

7‌

Accenture,

Class

A 

440‌

123‌

Advanced

Micro

Devices (1)

6,775‌

509‌

AGCO 

66‌

9‌

Agilent

Technologies 

392‌

60‌

Ahren

Acquisition,

Warrants,

6/17/2028 (1)

36,125‌

4‌

Ahren

Acquisition,

Class

A (1)

72,251‌

744‌

Air

Lease 

1,048‌

47‌

Air

Products

&

Chemicals 

87‌

28‌

Airbnb,

Class

A (1)

110‌

12‌

Albemarle 

42‌

12‌

Alexandria

Real

Estate

Equities,

REIT 

105‌

17‌

Alnylam

Pharmaceuticals (1)

295‌

67‌

Alphabet,

Class

A (1)

5,847‌

578‌

Alphabet,

Class

C (1)

2,117‌

211‌

Altera

Infrastructure,

Acquisition

Date:

1/19/23,

Cost $8 (1)(5)(8)

300‌

8‌

Amazon.com (1)

10,076‌

1,039‌

Ameren 

171‌

15‌

American

Homes

4

Rent,

Class

A,

REIT 

383‌

13‌

American

International

Group 

1,242‌

79‌

American

Tower,

REIT 

503‌

112‌

Ameriprise

Financial 

117‌

41‌

Analog

Devices 

900‌

154‌

Apellis

Pharmaceuticals (1)

171‌

9‌

Apollo

Global

Management 

756‌

54‌

Apple 

8,815‌

1,272‌

Apple

Hospitality

REIT,

REIT 

614‌

11‌

Arch

Capital

Group (1)

594‌

38‌

Armstrong

World

Industries 

652‌

50‌

Arthur

J

Gallagher 

260‌

51‌

AT&T 

6,371‌

130‌

Atlassian,

Class

A (1)

1,789‌

289‌

AvalonBay

Communities,

REIT 

96‌

17‌

Avantor (1)

954‌

23‌

Avery

Dennison 

90‌

17‌

Axis

Capital

Holdings 

571‌

36‌

Baker

Hughes 

594‌

19‌

Ball 

742‌

43‌

Bank

of

America 

19,783‌

702‌

Bank

of

New

York

Mellon 

703‌

36‌

BankUnited 

440‌

17‌

Barings

BDC 

1,605‌

14‌

Battery

Future

Acquisition,

Warrants,

5/26/2028 (1)

36,700‌

3‌

Battery

Future

Acquisition,

Class

A (1)

73,400‌

758‌

Beard

Energy

Transition

Acquisition,

Warrants,

12/31/2027 (1)

37,050‌

2‌

Beard

Energy

Transition

Acquisition,

Class

A (1)

74,100‌

761‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

23

Par/Shares

$

Value

(Cost

and

value

in

$000s)

Becton

Dickinson

&

Company 

233‌

59‌

Belden 

408‌

33‌

Berkshire

Hathaway,

Class

B (1)

35‌

11‌

Bill.com

Holdings (1)

500‌

58‌

Biogen (1)

75‌

22‌

BioMarin

Pharmaceutical (1)

248‌

29‌

Black

Knight (1)

294‌

18‌

Block,

Class

A (1)

2,876‌

235‌

Blueprint

Medicines (1)

228‌

11‌

Boeing (1)

124‌

26‌

Booking

Holdings (1)

43‌

105‌

BRC,

Class

A (1)(2)

801‌

5‌

Bright

Horizons

Family

Solutions (1)

1,343‌

103‌

Bruker 

364‌

26‌

Bullpen

Parlay

Acquisition,

Warrants,

12/3/2026 (1)

36,150‌

2‌

Bullpen

Parlay

Acquisition,

Class

A (1)

72,300‌

750‌

Burlington

Stores (1)

4,167‌

958‌

C4

Therapeutics (1)

495‌

4‌

Cactus,

Class

A 

378‌

20‌

Camden

Property

Trust,

REIT 

82‌

10‌

Canva,

Acquisition

Date:

8/16/21

-

12/22/21,

Cost $245 (1)(5)(8)

144‌

79‌

Capital

One

Financial 

620‌

74‌

Capitalworks

Emerging

Markets

Acquisition,

Warrants,

4/27/2028 (1)

36,400‌

2‌

Capitalworks

Emerging

Markets

Acquisition,

Class

A (1)

72,800‌

754‌

Catalent (1)

253‌

14‌

Caterpillar 

67‌

17‌

Cboe

Global

Markets 

243‌

30‌

CC

Neuberger

Principal

Holdings

III,

Class

A (1)

41,992‌

428‌

CC

Neuberger

Principal

Holdings

III,

Class

A,

Warrants,

12/31/2027 (1)

8,398‌

1‌

Cedar

Fair 

344‌

14‌

Centene (1)

498‌

38‌

Cerevel

Therapeutics

Holdings (1)(2)

403‌

14‌

Ceridian

HCM

Holding (1)

530‌

38‌

CF

Industries

Holdings 

284‌

24‌

ChampionX 

657‌

22‌

Charles

River

Laboratories

International (1)

86‌

21‌

Charles

Schwab 

12,005‌

929‌

Charter

Communications,

Class

A (1)

114‌

44‌

Chesapeake

Energy 

273‌

24‌

Chevron 

378‌

66‌

Chipotle

Mexican

Grill (1)

32‌

53‌

Chubb 

2,496‌

568‌

Cigna 

128‌

41‌

Citigroup 

1,413‌

74‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

24

Par/Shares

$

Value

(Cost

and

value

in

$000s)

Citizens

Financial

Group 

836‌

36‌

CME

Group 

113‌

20‌

CMS

Energy 

156‌

10‌

CNA

Financial 

31‌

1‌

Coca-Cola 

372‌

23‌

Comcast,

Class

A 

1,105‌

43‌

Concord

Acquisition

Corp.

III,

Warrants,

12/31/2028 (1)

24,750‌

2‌

Concord

Acquisition

Corp.

III,

Class

A (1)

49,500‌

509‌

Confluent,

Class

A (1)

2,163‌

50‌

ConocoPhillips 

4,959‌

604‌

Cooper 

32‌

11‌

Corebridge

Financial 

11,208‌

244‌

Costco

Wholesale 

208‌

106‌

Crown

Castle,

REIT 

345‌

51‌

CubeSmart,

REIT 

416‌

19‌

Cummins 

297‌

74‌

Danaher 

299‌

79‌

Darling

Ingredients (1)

477‌

32‌

Deckers

Outdoor (1)

500‌

214‌

Deere 

42‌

18‌

Denali

Therapeutics (1)

318‌

10‌

Devon

Energy 

783‌

50‌

Dexcom (1)

230‌

25‌

Dime

Community

Bancshares 

586‌

17‌

Dollar

General 

252‌

59‌

Dollar

Tree (1)

175‌

26‌

Dominion

Energy 

180‌

11‌

DoorDash,

Class

A (1)

1,630‌

94‌

Douglas

Emmett,

REIT 

161‌

3‌

Doximity,

Class

A (1)

347‌

12‌

DraftKings,

Class

A (1)(2)

666‌

10‌

East

West

Bancorp 

422‌

33‌

Element

Solutions 

508‌

10‌

Elevance

Health 

1,297‌

648‌

Eli

Lilly 

2,279‌

784‌

Encore

Capital

Group (1)

279‌

16‌

Endeavor

Group

Holdings,

Class

A (1)

1,602‌

36‌

Entegris 

619‌

50‌

EOG

Resources 

3,447‌

456‌

EQRx,

Warrants,

12/31/2028 (1)

2,200‌

1‌

Equinix,

REIT 

184‌

136‌

Equitable

Holdings 

1,075‌

34‌

Equity

LifeStyle

Properties,

REIT 

300‌

22‌

Equity

Residential,

REIT 

298‌

19‌

Essex

Property

Trust,

REIT 

57‌

13‌

Estee

Lauder,

Class

A 

1,106‌

306‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

25

Par/Shares

$

Value

(Cost

and

value

in

$000s)

Eucrates

Biomedical

Acquisition,

Warrants,

12/14/25 (1)

3,266‌

—‌

Exact

Sciences (1)

4,492‌

303‌

Exelixis (1)

581‌

10‌

Exxon

Mobil 

959‌

111‌

Fate

Therapeutics (1)

382‌

2‌

FedEx 

528‌

102‌

Fifth

Third

Bancorp 

1,458‌

53‌

First

American

Financial 

283‌

17‌

Fiserv (1)

256‌

27‌

Floor

&

Decor

Holdings,

Class

A (1)

316‌

29‌

FMC 

283‌

38‌

Games

&

Esports

Experience

Acquisition,

Warrants,

10/21/2028 (1)

36,200‌

1‌

Games

&

Esports

Experience

Acquisition,

Class

A (1)

72,400‌

754‌

GE

HealthCare

Technologies (1)

4,575‌

318‌

General

Electric 

8,960‌

721‌

Goldman

Sachs

Group 

138‌

50‌

Green

Visor

Financial

Technology

Acquisition

I,

Warrants,

5/8/2023 (1)

24,900‌

1‌

Green

Visor

Financial

Technology

Acquisition

I,

Class

A (1)

49,800‌

518‌

Guardant

Health (1)

205‌

6‌

Hartford

Financial

Services

Group 

988‌

77‌

HashiCorp,

Class

A (1)

1,445‌

46‌

HCA

Healthcare 

118‌

30‌

Hess 

4,133‌

621‌

Hilton

Worldwide

Holdings 

474‌

69‌

Hologic (1)

391‌

32‌

Home

Depot 

518‌

168‌

Honeywell

International 

469‌

98‌

Hubbell 

106‌

24‌

HubSpot (1)

690‌

239‌

Humana 

123‌

63‌

Huntington

Bancshares 

4,152‌

63‌

IAA (1)

9,365‌

391‌

Incyte (1)

199‌

17‌

Infinite

Acquisition,

Warrants,

11/23/2028 (1)

37,454‌

5‌

Infinite

Acquisition,

Class

A (1)

74,909‌

772‌

Ingersoll

Rand 

1,420‌

80‌

Insmed (1)

613‌

13‌

Insulet (1)

80‌

23‌

Intellia

Therapeutics (1)

130‌

6‌

International

Paper 

488‌

20‌

Intuit 

239‌

101‌

Intuitive

Surgical (1)

921‌

226‌

Ionis

Pharmaceuticals (1)

337‌

13‌

JB

Hunt

Transport

Services 

409‌

77‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

26

Par/Shares

$

Value

(Cost

and

value

in

$000s)

JPMorgan

Chase 

321‌

45‌

Karuna

Therapeutics (1)

121‌

24‌

Kemper 

448‌

26‌

Keurig

Dr

Pepper 

868‌

31‌

Kilroy

Realty,

REIT 

71‌

3‌

KKR 

694‌

39‌

L3Harris

Technologies 

200‌

43‌

Lam

Research 

161‌

81‌

Lamar

Advertising,

Class

A,

REIT 

165‌

18‌

Liberty

Media-Liberty

Formula

One,

Class

C (1)

9,378‌

664‌

Linde 

328‌

109‌

Live

Nation

Entertainment (1)

676‌

54‌

Lululemon

Athletica (1)

121‌

37‌

Magnolia

Oil

&

Gas,

Class

A 

1,033‌

24‌

Marsh

&

McLennan 

368‌

64‌

Martin

Marietta

Materials 

42‌

15‌

Mastercard,

Class

A 

3,190‌

1,182‌

McDonald's 

346‌

93‌

McLaren

Technology

Acquisition,

Warrants,

3/3/2023 (1)

24,800‌

1‌

McLaren

Technology

Acquisition,

Class

A (1)

49,600‌

512‌

Merck 

943‌

101‌

Meta

Platforms,

Class

A (1)

1,551‌

231‌

MetLife 

769‌

56‌

Mettler-Toledo

International (1)

11‌

17‌

MGM

Resorts

International 

771‌

32‌

Microsoft 

5,585‌

1,384‌

Middleby (1)

316‌

49‌

Mirati

Therapeutics (1)

151‌

8‌

Moderna (1)

189‌

33‌

Molina

Healthcare (1)

142‌

44‌

Mondelez

International,

Class

A 

930‌

61‌

MongoDB (1)

791‌

169‌

Monster

Beverage (1)

493‌

51‌

Morgan

Stanley 

511‌

50‌

Mueller

Water

Products,

Class

A 

2,613‌

33‌

Nabors

Energy

Transition,

Warrants,

11/17/2026 (1)

25,200‌

2‌

Nabors

Energy

Transition,

Class

A (1)

50,400‌

521‌

Netflix (1)

1,519‌

538‌

Neurocrine

Biosciences (1)

84‌

9‌

News,

Class

A 

1,474‌

30‌

NextEra

Energy 

119‌

9‌

NIKE,

Class

B 

623‌

79‌

Norfolk

Southern 

38‌

9‌

NOV 

3,957‌

97‌

NVIDIA 

3,733‌

729‌

Onyx

Acquisition

I,

Class

A (1)

49,600‌

515‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

27

Par/Shares

$

Value

(Cost

and

value

in

$000s)

Onyx

Acquisition

I,

Class

A,

Warrants,

11/30/2028 (1)

24,800‌

5‌

O'Reilly

Automotive (1)

71‌

56‌

Pacific

Biosciences

of

California (1)

898‌

10‌

Packaging

Corp.

of

America 

206‌

29‌

Patreon,

Acquisition

Date:

10/14/21,

Cost $9 (1)(5)(8)

165‌

5‌

Paycom

Software (1)

146‌

47‌

Paylocity

Holding (1)

286‌

60‌

Penumbra (1)

122‌

31‌

PepsiCo 

549‌

94‌

Pfizer 

1,163‌

51‌

PG&E (1)

1,500‌

24‌

Pioneer

Natural

Resources 

235‌

54‌

PNC

Financial

Services

Group 

54‌

9‌

Popular 

315‌

22‌

Power

&

Digital

Infrastructure

Acquisition

II,

Warrants,

12/14/2028 (1)

36,900‌

3‌

Power

&

Digital

Infrastructure

Acquisition

II,

Class

A (1)

73,800‌

748‌

Procter

&

Gamble 

718‌

102‌

Prologis,

REIT 

353‌

46‌

PROOF

Acquisition

Corp.

I,

Warrants,

12/3/2028 (1)

36,400‌

2‌

PROOF

Acquisition

Corp.

I,

Class

A (1)

72,800‌

747‌

Public

Storage,

REIT 

97‌

30‌

Quaker

Chemical (2)

232‌

46‌

QUALCOMM 

366‌

49‌

Quanta

Services 

89‌

14‌

QuidelOrtho (1)

98‌

8‌

Raymond

James

Financial 

423‌

48‌

RCF

Acquisition,

Warrants,

4/25/2023 (1)

24,850‌

2‌

RCF

Acquisition,

Class

A (1)

49,700‌

514‌

Regency

Centers,

REIT 

272‌

18‌

Regeneron

Pharmaceuticals (1)

126‌

96‌

RenaissanceRe

Holdings 

194‌

38‌

Rexford

Industrial

Realty,

REIT 

307‌

19‌

Rivian

Automotive,

Class

A (1)

1,877‌

36‌

ROBLOX,

Class

A (1)

5,426‌

202‌

Roper

Technologies 

344‌

147‌

Royalty

Pharma,

Class

A 

316‌

12‌

RPM

International 

292‌

26‌

Saia (1)

55‌

15‌

Salesforce (1)

282‌

47‌

SBA

Communications,

REIT 

369‌

110‌

Sculptor

Acquisition

Corp.

I,

Warratns,

4/15/2028 (1)

36,120‌

4‌

Sculptor

Acquisition

Corp.

I,

Class

A (1)

72,241‌

748‌

Seagen (1)

99‌

14‌

Sealed

Air 

218‌

12‌

Seaport

Global

Acquisition

II,

Warrants,

11/17/2026 (1)

24,625‌

1‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

28

Par/Shares

$

Value

(Cost

and

value

in

$000s)

Seaport

Global

Acquisition

II,

Class

A (1)

49,251‌

506‌

Seer (1)

496‌

2‌

Sempra

Energy 

129‌

21‌

ServiceNow (1)

1,335‌

608‌

Sherwin-Williams 

2,646‌

626‌

Shoals

Technologies

Group,

Class

A (1)

522‌

15‌

Shockwave

Medical (1)

123‌

23‌

Signature

Bank 

65‌

8‌

Simon

Property

Group,

REIT 

174‌

22‌

Skyward

Specialty

Insurance

Group (1)

7,882‌

146‌

Snap,

Class

A (1)

688‌

8‌

Snowflake,

Class

A (1)

976‌

153‌

Socure,

Acquisition

Date:

12/22/21,

Cost $1 (1)(5)(8)

89‌

1‌

Southern 

238‌

16‌

Southwest

Airlines 

672‌

24‌

Stanley

Black

&

Decker 

574‌

51‌

Starbucks 

590‌

64‌

State

Street 

692‌

63‌

Stryker 

266‌

68‌

Synopsys (1)

225‌

80‌

T-Mobile

U.S. (1)

6,698‌

1,000‌

TechnipFMC (1)

2,102‌

29‌

Teleflex 

50‌

12‌

Terreno

Realty,

REIT 

217‌

14‌

Tesla (1)

2,046‌

354‌

Textron 

368‌

27‌

Thermo

Fisher

Scientific 

274‌

156‌

Toast,

Class

A (1)

782‌

17‌

Trade

Desk,

Class

A (1)

584‌

30‌

TransDigm

Group 

89‌

64‌

Travelers 

90‌

17‌

Trimble (1)

486‌

28‌

Trinity

Capital 

634‌

8‌

Tyler

Technologies (1)

51‌

16‌

U.S.

Bancorp 

1,148‌

57‌

Ultragenyx

Pharmaceutical (1)

353‌

16‌

Union

Pacific 

69‌

14‌

United

Parcel

Service,

Class

B 

483‌

89‌

UnitedHealth

Group 

2,862‌

1,429‌

UTA

Acquisition,

Warrants,

10/30/2026 (1)

24,150‌

5‌

UTA

Acquisition,

Class

A (1)

48,300‌

497‌

Veeva

Systems,

Class

A (1)

112‌

19‌

Ventas,

REIT 

290‌

15‌

VeriSign (1)

143‌

31‌

Verizon

Communications 

3,382‌

141‌

Vertex

Pharmaceuticals (1)

231‌

75‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

29

Par/Shares

$

Value

(Cost

and

value

in

$000s)

Virtus

Investment

Partners 

98‌

21‌

Visa,

Class

A 

701‌

161‌

VMG

Consumer

Acquisition,

Warrants,

7/3/2023 (1)

24,616‌

1‌

VMG

Consumer

Acquisition,

Class

A (1)

49,232‌

505‌

Voya

Financial 

208‌

15‌

Vulcan

Materials 

98‌

18‌

Walt

Disney (1)

860‌

93‌

Warby

Parker,

Class

A (1)

439‌

7‌

Warner

Music

Group,

Class

A 

313‌

11‌

Webster

Financial 

770‌

41‌

Wells

Fargo 

2,337‌

110‌

Welltower,

REIT 

235‌

18‌

West

Pharmaceutical

Services 

85‌

23‌

Western

Alliance

Bancorp 

5,802‌

437‌

Westrock 

288‌

11‌

Wingstop 

194‌

31‌

Xometry,

Class

A (1)

472‌

17‌

Zentalis

Pharmaceuticals (1)

280‌

7‌

Zoetis 

83‌

14‌

46,561‌

Convertible

Bonds

0.4%

Liberty

Broadband,

2.75%,

9/30/50 (2)(3)

200,000‌

196‌

Pure

Storage,

0.125%,

4/15/23 

473,000‌

529‌

U.S.

Steel,

5.00%,

11/1/26 

318,000‌

708‌

1,433‌

Convertible

Preferred

Stocks

0.2%

2020

Cash

Mandatory

Exchangeable

Trust,

5.25%,

6/1/23 (3)

250‌

305‌

ABL

Space

Systems,

Series

B-2,

Acquisition

Date:

10/22/21,

Cost $91 (1)(5)(8)

1,345‌

56‌

Canva,

Series

A,

Acquisition

Date:

11/4/21

-

12/17/21,

Cost $14 (1)(5)(8)

8‌

4‌

Canva,

Series

A-3,

Acquisition

Date:

12/17/21,

Cost $2 (1)(5)(8)

1‌

1‌

CELLINK,

Series

D,

Acquisition

Date:

1/20/22,

Cost $9 (1)(5)(8)

423‌

6‌

Coalition,

Series

E,

Acquisition

Date:

9/7/21,

Cost $23 (1)(5)(8)

1,376‌

30‌

Databricks,

Series

H,

Acquisition

Date:

8/31/21,

Cost $60 (1)(5)

(8)

816‌

49‌

Eikon

Therapeutics,

Series

B,

Acquisition

Date:

12/3/21,

Cost $6 (1)(5)(8)

330‌

6‌

Epirus,

Series

C-2,

Acquisition

Date:

1/28/22,

Cost $11 (1)(5)(8)

1,889‌

9‌

Formagrid,

Series

F,

Acquisition

Date:

12/8/21,

Cost $42 (1)(5)

(8)

222‌

15‌

Freenome

Holdings,

Series

D,

Acquisition

Date:

11/22/21,

Cost $26 (1)(5)(8)

3,412‌

40‌

Generate

Bio,

Series

B,

Acquisition

Date:

9/2/21,

Cost $8 (1)(5)

(8)

666‌

8‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

30

Par/Shares

$

Value

(Cost

and

value

in

$000s)

Jetti

Holdings,

Series

D,

Acquisition

Date:

9/20/22,

Cost $8 (1)

(5)(8)

63‌

8‌

Kobold

Metals,

Series

B-1,

Acquisition

Date:

1/10/22,

Cost $10 (1)(5)(8)

384‌

16‌

Laronde,

Series

B,

Acquisition

Date:

7/28/21,

Cost $4 (1)(5)(8)

162‌

1‌

Lilac

Solutions,

Series

B,

Acquisition

Date:

9/8/21,

Cost $15 (1)

(5)(8)

1,156‌

16‌

NextEra

Energy,

5.279%,

3/1/23 

676‌

34‌

Nuro,

Series

D,

Acquisition

Date:

10/29/21,

Cost $26 (1)(5)(8)

1,232‌

17‌

Patreon,

Series

D,

Acquisition

Date:

10/21/21,

Cost $13 (1)(5)(8)

238‌

7‌

Rappi,

Series

E,

Acquisition

Date:

9/8/20,

Cost $109 (1)(5)(8)

1,822‌

66‌

Rappi,

Series

F,

Acquisition

Date:

7/8/21,

Cost $34 (1)(5)(8)

534‌

19‌

Socure,

Series

A,

Acquisition

Date:

12/22/21,

Cost $2 (1)(5)(8)

109‌

1‌

Socure,

Series

A-1,

Acquisition

Date:

12/22/21,

Cost $1 (1)(5)(8)

89‌

1‌

Socure,

Series

B,

Acquisition

Date:

12/22/21,

Cost $— (1)(5)(8)

2‌

—‌

Socure,

Series

E,

Acquisition

Date:

10/27/21,

Cost $3 (1)(5)(8)

207‌

1‌

Treeline,

Series

A,

Acquisition

Date:

9/26/22,

Cost $1 (1)(5)(8)

88‌

1‌

717‌

Corporate

Bonds

11.0%

AEP

Texas,

5.25%,

5/15/52 

110,000‌

112‌

Ally

Financial,

1.45%,

10/2/23 

500,000‌

488‌

Altera

Infrastructure,

EC,

Acquisition

Date:

1/19/23,

Cost $7 (1)

(3)(5)(8)

170,000‌

7‌

Ardagh

Packaging

Finance,

5.25%,

4/30/25 (2)(3)

2,400,000‌

2,343‌

At

Home

Group,

4.875%,

7/15/28 (3)

240,000‌

175‌

ATI,

5.875%,

12/1/27 

455,000‌

439‌

Broadcom

Corp.,

3.625%,

1/15/24 

500,000‌

493‌

Calpine,

3.75%,

3/1/31 (3)

915,000‌

762‌

Carnival,

4.00%,

8/1/28 (3)

495,000‌

427‌

Carpenter

Technology,

7.625%,

3/15/30 

255,000‌

262‌

CCO

Holdings,

4.00%,

3/1/23 (3)

2,500,000‌

2,497‌

CEC

Entertainment,

6.75%,

5/1/26 (2)(3)

110,000‌

102‌

Cedar

Fair,

5.50%,

5/1/25 (3)

600,000‌

596‌

Celanese

U.S.

Holdings,

5.90%,

7/5/24 

500,000‌

502‌

Celanese

U.S.

Holdings,

6.379%,

7/15/32 (2)

800,000‌

806‌

Citigroup,

VR,

4.91%,

5/24/33 (6)

220,000‌

217‌

Cloud

Software

Group

Holdings,

6.50%,

3/31/29 (3)

345,000‌

301‌

DISH

Network,

11.75%,

11/15/27 (3)

1,170,000‌

1,214‌

Edison

International,

6.95%,

11/15/29 

685,000‌

744‌

Elanco

Animal

Health,

5.772%,

8/28/23 

217,000‌

216‌

Global

Net

Lease,

3.75%,

12/15/27 (3)

410,000‌

346‌

GPD,

10.125%,

4/1/26 (3)

450,000‌

402‌

Graphic

Packaging

International,

4.125%,

8/15/24 

500,000‌

489‌

HCA,

5.00%,

3/15/24 

2,300,000‌

2,294‌

Hightower

Holding,

6.75%,

4/15/29 (3)

245,000‌

212‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

31

Par/Shares

$

Value

(Cost

and

value

in

$000s)

Home

Point

Capital,

5.00%,

2/1/26 (3)

285,000‌

206‌

Howmet

Aerospace,

5.125%,

10/1/24 

1,000,000‌

996‌

Jane

Street

Group,

4.50%,

11/15/29 (3)

520,000‌

467‌

KeyCorp,

VR,

4.789%,

6/1/33 (6)

130,000‌

127‌

LCPR

Senior

Secured

Financing,

5.125%,

7/15/29 (3)

430,000‌

375‌

Live

Nation

Entertainment,

4.875%,

11/1/24 (3)

600,000‌

585‌

Maxar

Technologies,

7.75%,

6/15/27 (3)

1,000,000‌

1,045‌

NextEra

Energy

Capital

Holdings,

5.00%,

7/15/32 

85,000‌

87‌

NGL

Energy

Operating,

7.50%,

2/1/26 (3)

415,000‌

394‌

NGL

Energy

Partners,

7.50%,

11/1/23 (2)

35,000‌

35‌

Option

Care

Health,

4.375%,

10/31/29 (3)

815,000‌

705‌

Perrigo

Finance

Unlimited,

3.90%,

12/15/24 

600,000‌

579‌

PetSmart,

7.75%,

2/15/29 (3)

500,000‌

492‌

Photo

Holdings

Merger

Sub,

8.50%,

10/1/26 (3)

330,000‌

168‌

PNC

Financial

Services

Group,

VR,

4.626%,

6/6/33 (6)

850,000‌

821‌

Rivian

Holdings,

FRN,

6M

USD

LIBOR

+

5.625%,

10.164%,

10/15/26 (3)

175,000‌

170‌

Sabre

GLBL,

7.375%,

9/1/25 (3)

315,000‌

310‌

Seagate

HDD

Cayman,

4.875%,

3/1/24 

1,000,000‌

987‌

Select

Medical,

6.25%,

8/15/26 (3)

180,000‌

176‌

Service

Properties

Trust,

4.50%,

6/15/23 

700,000‌

693‌

Service

Properties

Trust,

4.65%,

3/15/24 

700,000‌

683‌

Service

Properties

Trust,

7.50%,

9/15/25 

600,000‌

591‌

Southern,

VR,

1.875%,

9/15/81

(EUR) (6)

230,000‌

203‌

Sprint,

7.875%,

9/15/23 

2,700,000‌

2,741‌

Surgery

Center

Holdings,

10.00%,

4/15/27 (2)(3)

300,000‌

306‌

Toll

Brothers

Finance,

4.375%,

4/15/23 

1,000,000‌

996‌

Townsquare

Media,

6.875%,

2/1/26 (3)

775,000‌

727‌

Transocean

Phoenix

2,

7.75%,

10/15/24 (3)

44,000‌

45‌

Transocean

Pontus,

6.125%,

8/1/25 (3)

22,400‌

23‌

Transocean

Proteus,

6.25%,

12/1/24 (3)

110,000‌

111‌

U.S.

Airways

PTT,

Series

2013-1,

Class

A,

3.95%,

11/15/25 

46,602‌

43‌

U.S.

Foods,

6.25%,

4/15/25 (3)

1,400,000‌

1,400‌

United

Airlines,

4.375%,

4/15/26 (3)

375,000‌

356‌

Verscend

Escrow,

9.75%,

8/15/26 (3)

1,000,000‌

1,002‌

VICI

Properties,

5.625%,

5/1/24 (3)

2,000,000‌

1,992‌

Vistra,

VR,

7.00% (3)(6)(9)

197,000‌

185‌

Vistra,

VR,

8.00% (3)(6)(9)

205,000‌

201‌

Vistra

Operations,

5.125%,

5/13/25 (3)

525,000‌

515‌

37,984‌

Municipal

Securities

0.7%

Colorado

HFA,

Covenant

Living

Community,

Series

B,

4.48%,

12/1/40 

250,000‌

226‌

Illinois,

Build

America,

GO,

7.10%,

7/1/35 

165,000‌

177‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

32

Par/Shares

$

Value

(Cost

and

value

in

$000s)

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 (1)(11)

1,016,201‌

448‌

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

43‌

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

41‌

Puerto

Rico

Commonwealth,

Restructured,

Series

A-1,

GO,

4.00%,

7/1/46 

49,730‌

42‌

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

53‌

Puerto

Rico

Commonwealth,

Restructured,

Series

A-1,

GO,

5.625%,

7/1/29 

49,497‌

53‌

Puerto

Rico

Commonwealth,

Restructured,

Series

A-1,

GO,

5.75%,

7/1/31 

48,077‌

52‌

Puerto

Rico

Electric

Power

Auth.,

Build

America,

5.95%,

7/1/30 (1)(12)

45,000‌

31‌

Puerto

Rico

Electric

Power

Auth.,

Build

America,

6.05%,

7/1/32 (1)(12)

370,000‌

257‌

Tobacco

Settlement

Fin.,

Series

A-1,

6.706%,

6/1/46 

285,000‌

271‌

Tobacco

Settlement

Fin.

Auth.,

Series

B,

4.875%,

6/1/49 

115,000‌

103‌

Tobacco

Settlement

Fin.

Auth.,

Series

B,

Zero

Coupon,

6/1/47 

500,000‌

44‌

2,251‌

Non-U.S.

Government

Mortgage-Backed

Securities

2.4%

BAMLL

Commercial

Mortgage

Securities

Trust,

Series

2021-

JACX,

Class

D,

ARM,

1M

USD

LIBOR

+

2.75%,

7.209%,

9/15/38 (3)

515,000‌

459‌

BAMLL

Commercial

Mortgage

Securities

Trust,

Series

2021-

JACX,

Class

E,

ARM,

1M

USD

LIBOR

+

3.75%,

8.209%,

9/15/38 (3)

100,000‌

86‌

BBCMS

Mortgage

Trust,

Series

2019-BWAY,

Class

E,

ARM,

1M

TSFR

+

2.964%,

7.442%,

11/15/34 (3)

130,000‌

84‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

33

Par/Shares

$

Value

(Cost

and

value

in

$000s)

BFLD,

Series

2019-DPLO,

Class

F,

ARM,

1M

USD

LIBOR

+

2.54%,

6.999%,

10/15/34 (3)

85,000‌

81‌

BIG

Commercial

Mortgage

Trust,

Series

2022-BIG,

Class

C,

ARM,

1M

TSFR

+

2.34%,

6.818%,

2/15/39 (3)

315,000‌

302‌

BX

Commercial

Mortgage

Trust,

Series

2019-IMC,

Class

E,

ARM,

1M

USD

LIBOR

+

2.15%,

6.609%,

4/15/34 (3)

160,000‌

151‌

BX

Trust,

Series

2021-VIEW,

Class

F,

ARM,

1M

USD

LIBOR

+

3.93%,

8.389%,

6/15/36 (3)

160,000‌

144‌

CAFL,

Series

2021-RTL1,

Class

A2,

CMO,

STEP,

3.104%,

3/28/29 (3)

830,000‌

729‌

Cantor

Commercial

Real

Estate

Lending,

Series

2019-CF1,

Class

65C,

ARM,

4.123%,

5/15/52 (3)

125,000‌

111‌

Cantor

Commercial

Real

Estate

Lending,

Series

2019-CF1,

Class

65D,

ARM,

4.66%,

5/15/52 (3)

80,000‌

72‌

Commercial

Mortgage

Trust,

Series

2014-CR19,

Class

E,

ARM,

4.197%,

8/10/47 (3)

175,000‌

150‌

Connecticut

Avenue

Securities

Trust,

Series

2022-R01,

Class

1M1,

CMO,

ARM,

SOFR30A

+

1.00%,

5.31%,

12/25/41 (3)

142,901‌

141‌

Connecticut

Avenue

Securities

Trust,

Series

2022-R03,

Class

1M1,

CMO,

ARM,

SOFR30A

+

2.10%,

6.41%,

3/25/42 (3)

299,713‌

301‌

Connecticut

Avenue

Securities

Trust,

Series

2022-R04,

Class

1M2,

CMO,

ARM,

SOFR30A

+

3.10%,

7.41%,

3/25/42 (3)

60,000‌

60‌

Connecticut

Avenue

Securities

Trust,

Series

2022-R06,

Class

1M1,

CMO,

ARM,

SOFR30A

+

2.75%,

7.06%,

5/25/42 (3)

63,667‌

65‌

Credit

Suisse

Mortgage

Trust,

Series

2020-TMIC,

Class

C,

ARM,

1M

USD

LIBOR

+

7.25%,

11.709%,

12/15/35 (3)

100,000‌

99‌

Finance

of

America

HECM

Buyout,

Series

2022-HB1,

Class

M3,

ARM,

5.084%,

2/25/32 (3)

460,000‌

433‌

Great

Wolf

Trust,

Series

2019-WOLF,

Class

F,

ARM,

1M

TSFR

+

3.245%,

7.723%,

12/15/36 (3)

180,000‌

171‌

SLIDE,

Series

2018-FUN,

Class

E,

ARM,

1M

USD

LIBOR

+

2.55%,

7.009%,

6/15/31 (3)

1,833,540‌

1,805‌

Structured

Agency

Credit

Risk

Debt

Notes,

Series

2022-DNA2,

Class

M1A,

CMO,

ARM,

SOFR30A

+

1.30%,

5.61%,

2/25/42 (3)

114,217‌

113‌

Structured

Agency

Credit

Risk

Debt

Notes,

Series

2022-DNA2,

Class

M2,

CMO,

ARM,

SOFR30A

+

3.75%,

8.06%,

2/25/42 (3)

665,000‌

646‌

Structured

Agency

Credit

Risk

Debt

Notes,

Series

2022-DNA3,

Class

M1B,

CMO,

ARM,

SOFR30A

+

2.90%,

7.21%,

4/25/42 (3)

195,000‌

196‌

Structured

Agency

Credit

Risk

Debt

Notes,

Series

2022-HQA1,

Class

M1A,

CMO,

ARM,

SOFR30A

+

2.10%,

6.41%,

3/25/42 (3)

534,399‌

535‌

Structured

Agency

Credit

Risk

Debt

Notes,

Series

2022-HQA3,

Class

M2,

CMO,

ARM,

SOFR30A

+

5.35%,

9.66%,

8/25/42 (3)

195,000‌

193‌

TRK

Trust,

Series

2022-INV1,

Class

A1,

CMO,

ARM,

2.577%,

2/25/57 (3)

175,243‌

157‌

Verus

Securitization

Trust,

Series

2022-1,

Class

A1,

CMO,

STEP,

2.724%,

1/25/67 (3)

199,018‌

179‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

34

Par/Shares

$

Value

(Cost

and

value

in

$000s)

Verus

Securitization

Trust,

Series

2022-4,

Class

A2,

CMO,

ARM,

4.74%,

4/25/67 (3)

309,879‌

298‌

Verus

Securitization

Trust,

Series

2023-1,

Class

A3,

CMO,

STEP,

6.90%,

12/25/67 (3)

585,000‌

586‌

8,347‌

U.S.

Government

Agency

Obligations

(Excluding

Mortgage-Backed)

1.1%

U.S.

Treasury

Bonds,

4.00%,

11/15/52 

850,000‌

909‌

U.S.

Treasury

Notes,

0.125%,

6/30/23 

2,800,000‌

2,747‌

3,656‌

Total

United

States

(Cost

$135,090

)

135,769‌

UZBEKISTAN

0.1%

Government

Bonds

0.1%

Republic

of

Uzbekistan,

3.70%,

11/25/30

(USD) 

300,000‌

249‌

Total

Uzbekistan

(Cost

$262

)

249‌

VIETNAM

0.2%

Corporate

Bonds

0.1%

Mong

Duong

Finance

Holdings,

5.125%,

5/7/29

(USD) 

380,000‌

340‌

340‌

Government

Bonds

0.1%

Socialist

Republic

of

Vietnam,

4.80%,

11/19/24

(USD) 

200,000‌

198‌

198‌

Total

Vietnam

(Cost

$544

)

538‌

SHORT-TERM

INVESTMENTS

27.5%

Commercial

Paper

0.8%

4(2)

0.6%(13)

Constellation

Brands,

5.042%,

2/10/23 

250,000‌

250‌

Crown

Castle

International,

5.201%,

2/7/23 

425,000‌

424‌

Harley

Davidson,

5.174%,

2/7/23 

300,000‌

300‌

International

Flavors

&

Fragrance,

5.601%,

3/23/23 

250,000‌

248‌

Jabil,

5.284%,

2/27/23 

500,000‌

498‌

Syngenta

Wilmington,

5.375%,

2/24/23 

430,000‌

429‌

Targa

Resources,

5.222%,

2/23/23 

420,000‌

419‌

2,568‌

Non-4(2)

0.2%

Quanta

Services,

5.273%,

2/10/23 

250,000‌

250‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

35

Par/Shares

$

Value

(Cost

and

value

in

$000s)

Quanta

Services,

5.275%,

2/13/23 

250,000‌

249‌

499‌

3,067‌

Money

Market

Funds

26.7%

T.

Rowe

Price

Government

Reserve

Fund,

4.36% (14)(15)

91,913,885‌

91,914‌

91,914‌

Total

Short-Term

Investments

(Cost

$94,980)

94,981‌

SECURITIES

LENDING

COLLATERAL

2.1%

INVESTMENTS

IN

A

POOLED

ACCOUNT

THROUGH

SECURITIES

LENDING

PROGRAM

WITH

JPMORGAN

CHASE

BANK

0.8%

Money

Market

Funds

0.8%

T.

Rowe

Price

Government

Reserve

Fund,

4.36% (14)(15)

2,775,897‌

2,776‌

Total

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

JPMorgan

Chase

Bank

2,776‌

INVESTMENTS

IN

A

POOLED

ACCOUNT

THROUGH

SECURITIES

LENDING

PROGRAM

WITH

STATE

STREET

BANK

AND

TRUST

COMPANY

1.3%

Money

Market

Funds

1.3%

T.

Rowe

Price

Government

Reserve

Fund,

4.36% (14)(15)

4,334,969‌

4,335‌

Total

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

State

Street

Bank

and

Trust

Company

4,335‌

Total

Securities

Lending

Collateral

(Cost

$7,111)

7,111‌

(Amounts

in

000s,

except

for

contracts)

OPTIONS

PURCHASED

0.2%

Exchange-Traded

Options

Purchased

0.0%

Description

Contracts

Notional

Amount

$

Value

Invesco

QQQ

Trust,

Put,

2/17/23

@

$280.00 (1)

75‌

2,210‌

17‌

Norwegian

Cruise

Line

Holdings,

Put,

1/19/24

@

$10.00 (1)

59‌

90‌

6‌

U.S.

Treasury

10-Year

Notes

Futures,

Put,

2/24/23

@

$114.00 (1)

37‌

4,237‌

20‌

Total

Exchange-Traded

Options

Purchased

(Cost

$50)

43‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

36

(Amounts

in

000s,

except

for

contracts)

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

4.31%

(SOFR)

Annually,

7/6/23

@

2.66%* (1)

1‌

1,625‌

114‌

Goldman

Sachs

10

Year

Interest

Rate

Swap,

6/19/33

Pay

Fixed

0.62%

Annually,

Receive

Variable

(0.01)%

(JPY

TONA)

Annually,

6/15/23

@

0.62%*

(JPY) (1)

1‌

10,100‌

2‌

Goldman

Sachs

10

Year

Interest

Rate

Swap,

6/21/33

Pay

Fixed

0.69%

Annually,

Receive

Variable

(0.01)%

(JPY

TONA)

Annually,

6/19/23

@

0.69%*

(JPY) (1)

1‌

522,000‌

102‌

Goldman

Sachs

10

Year

Interest

Rate

Swap,

9/29/33

Pay

Fixed

0.65%

Annually,

Receive

Variable

(0.01)%

(JPY

TONA)

Annually,

9/27/23

@

0.65%*

(JPY) (1)

1‌

529,000‌

138‌

Goldman

Sachs

5

Year

Interest

Rate

Swap,

12/8/28

Pay

Fixed

3.78%

Annually,

Receive

Variable

4.31%

(SOFR)

Annually,

12/6/23

@

3.78%* (1)

2‌

6,950‌

46‌

Goldman

Sachs

S&P

500

Index,

Put,

2/24/23

@

$3,800.00 (1)

11‌

4,484‌

14‌

Goldman

Sachs

S&P

500

Index,

Put,

2/24/23

@

$3,850.00 (1)

11‌

4,484‌

19‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

37

(Amounts

in

000s,

except

for

contracts)

Counterparty

Description

Contracts

Notional

Amount

$

Value

Goldman

Sachs

S&P

500

Index,

Put,

2/24/23

@

$3,900.00 (1)

11‌

4,484‌

26‌

Goldman

Sachs

USD

/

EUR

Call,

3/2/23

@

EUR1.01 (1)

1‌

2,465‌

—‌

Morgan

Stanley

10

Year

Interest

Rate

Swap,

12/1/33

Pay

Fixed

3.63%

Annually,

Receive

Variable

4.31%

(SOFR)

Annually,

11/29/23

@

3.63%* (1)

2‌

4,910‌

66‌

UBS

Investment

Bank

USD

/

JPY

Put,

3/17/23

@

JPY127.85 (1)

1‌

930‌

13‌

Total

OTC

Options

Purchased

(Cost

$618)

540‌

Total

Options

Purchased

(Cost

$668)

583‌

Total

Investments

in

Securities

96.8%

(Cost

$333,392)

$

333,292‌

Other

Assets

Less

Liabilities

3.2%

11,019

Net

Assets

100.0%

$

344,311‌

‡

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)

Non-income

producing

(2)

All

or

a

portion

of

this

security

is

on

loan

at

January

31,

2023.

(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

$48,856

and

represents

14.2%

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)

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.

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

38

.

.

.

.

.

.

.

.

.

.

(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

$515

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

January

31,

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.

(12)

Issuer

is

currently

in

a

bankruptcy

reorganization

proceeding;

the

amount

and

timing

of

future

distributions

is

uncertain.

(13)

Commercial

paper

exempt

from

registration

under

Section

4(2)

of

the

Securities

Act

of

1933

and

may

be

resold

in

transactions

exempt

from

registration

only

to

dealers

in

that

program

or

other

"accredited

investors".

Total

value

of

such

securities

at

period-end

amounts

to

$2,568

and

represents

0.7%

of

net

assets.

(14)

Seven-day

yield

(15)

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

USD

LIBOR

Six

month

USD

LIBOR

(London

interbank

offered

rate)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

39

.

.

.

.

.

.

.

.

.

.

1M

ADBB

One

month

AUD

bank

bill

ADR

American

Depositary

Receipts

ARM

Adjustable

Rate

Mortgage

(ARM);

rate

shown

is

effective

rate

at

period-end.

The

rates

for

certain

ARMs

are

not

based

on

a

published

reference

rate

and

spread

but

may

be

determined

using

a

formula

based

on

the

rates

of

the

underlying

loans. 

AUD

Australian

Dollar

BRL

Brazilian

Real

CAD

Canadian

Dollar

CHF

Swiss

Franc

CLO

Collateralized

Loan

Obligation

CLP

Chilean

Peso

CMO

Collateralized

Mortgage

Obligation

CNH

Offshore

China

Renminbi

COP

Colombian

Peso

CPI

Consumer

Price

Index

CVA

Dutch

Certificate

(Certificaten

Van

Aandelen)

CZK

Czech

Koruna

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

GO

General

Obligation

HFA

Health

Facility

Authority

HKD

Hong

Kong

Dollar

HUF

Hungarian

Forint

IDR

Indonesian

Rupiah

ILS

Israeli

Shekel

INR

Indian

Rupee

INR

MIBOR

Mumbai

interbank

offered

rate

JPY

Japanese

Yen

KRW

South

Korean

Won

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

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

40

.

.

.

.

.

.

.

.

.

.

PHP

Philippines

Peso

PLN

Polish

Zloty

PTT

Pass-Through

Trust

REIT

A

domestic

Real

Estate

Investment

Trust

whose

distributions

pass-through

with

original

tax

character

to

the

shareholder

RON

New

Romanian

Leu

RSD

Serbian

Dinar

SEK

Swedish

Krona

SGD

Singapore

Dollar

SOFR

Secured

overnight

financing

rate

SOFR30A

30-day

Average

SOFR

(Secured

overnight

financing

rate)

STEP

Stepped

coupon

bond

for

which

the

coupon

rate

of

interest

adjusts

on

specified

date(s);

rate

shown

is

effective

rate

at

period-end.

THB

Thai

Baht

TONA

Tokyo

overnight

average

rate

TWD

Taiwan

Dollar

USD

U.S.

Dollar

VR

Variable

Rate;

rate

shown

is

effective

rate

at

period-end.

The

rates

for

certain

variable

rate

securities

are

not

based

on

a

published

reference

rate

and

spread

but

are

determined

by

the

issuer

or

agent

and

based

on

current

market

conditions.

ZAR

South

African

Rand

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

41

(Amounts

in

000s,

except

for

contracts)

OPTIONS

WRITTEN

(0.3)%

Exchange-Traded

Options

Written

(0.2)%

Description

Contracts

Notional

Amount

$

Value

Invesco

QQQ

Trust,

Call,

2/17/23

@

$305.00

75

2,210

(22‌)

S&P

500

Index,

Call,

3/17/23

@

$4,050.00

64

26,090

(788‌)

Total

Exchange-Traded

Options

Written

(Premiums

$(665))

$

(810‌)

OTC

Options

Written

(0.1)%

Counterparty

Description

Contracts

Notional

Amount

$

Value

Morgan

Stanley

10

Year

Interest

Rate

Swap,

2/14/33

Pay

Fixed

3.25%

Annually,

Receive

Variable

4.31%

(SOFR)

Annually,

2/10/23

@

3.25%*

1

9,500

(80‌)

Bank

of

America

Credit

Default

Protection

Bought

(Relevant

Credit:

Markit

CDX.NA.HY-S39,

5

Year

Index,

12/20/27),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

2/15/23

@

1.03%*

1

1,050

(4‌)

Citibank

Credit

Default

Protection

Bought

(Relevant

Credit:

Markit

iTraxx

Crossover-S38,

5

Year

Index,

12/20/27),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

2/15/23

@

4.00%*

(EUR)

1

1,050

(3‌)

Goldman

Sachs

iShares

iBoxx

High

Yield

Corporate

Bond

ETF,

Call,

3/17/23

@

$76.00

156

1,191

(23‌)

Goldman

Sachs

iShares

iBoxx

High

Yield

Corporate

Bond

ETF,

Put,

3/17/23

@

$76.00

1,197

9,137

(121‌)

Goldman

Sachs

S&P

500

Index,

Put,

2/24/23

@

$4,050.00

11

4,484

(66‌)

Bank

of

America

USD

/

BRL

Put,

2/24/23

@

BRL5.00

1

850

(8‌)

Morgan

Stanley

USD

/

JPY

Put,

2/17/23

@

JPY119.00

1

930

—‌

Total

OTC

Options

Written

(Premiums

$(356))

$

(305‌)

Total

Options

Written

(Premiums

$(1,021))

$

(1,115‌)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

42

(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

(0.2)%

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

44

39

5‌

Total

Egypt

39

5‌

United

States

(0.2)%

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

(31)

(24)

(7‌)

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

(206)

(180)

(26‌)

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

565

(51)

(42)

(9‌)

Citibank,

Protection

Bought

(Relevant

Credit:

Avis

Budget

Car

Rental),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/20/27

640

(25)

18

(43‌)

Citibank,

Protection

Bought

(Relevant

Credit:

Avis

Budget

Group),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/20/27

580

(23)

(25)

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

(639)

(172)

(467‌)

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

(41)

(29)

(12‌)

Goldman

Sachs,

Protection

Bought

(Relevant

Credit:

Markit

CMBX.

NA.BBB-S14,

50

Year

Index),

Pay

3.00%

Monthly,

Receive

upon

credit

default,

12/16/72

1,000

174

47

127‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

43

(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)

(32)

(5‌)

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

(37)

(29)

(8‌)

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

(64)

(39)

(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

2,071

(209)

(172)

(37‌)

Morgan

Stanley,

Protection

Bought

(Relevant

Credit:

Markit

CMBX.

NA.BBB-S14,

50

Year

Index),

Pay

3.00%

Monthly,

Receive

upon

credit

default,

12/16/72

2,500

434

85

349‌

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

340

60

63

(3‌)

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

90

16

15

1‌

Total

United

States

(514)

(164‌)

Total

Bilateral

Credit

Default

Swaps,

Protection

Bought

(475)

(159‌)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

44

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Credit

Default

Swaps,

Protection

Sold

0.1%

Luxembourg

0.1%

JPMorgan

Chase,

Protection

Sold

(Relevant

Credit:

ArcelorMittal,

Baa3*),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

12/20/25

345

42

49

(7‌)

Total

Luxembourg

49

(7‌)

United

States

0.0%

Barclays

Bank,

Protection

Sold

(Relevant

Credit:

American

Airlines

Group,

Caa1*),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

12/20/23

55

—

(2)

2‌

Barclays

Bank,

Protection

Sold

(Relevant

Credit:

AT&T,

Baa2*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

6/20/23

150

1

1

—‌

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:

Ford

Motor,

Ba2*),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

3/20/23

140

2

1

1‌

Barclays

Bank,

Protection

Sold

(Relevant

Credit:

Murphy

Oil,

Ba2*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

12/20/23

190

—

(3)

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

Credit

Suisse,

Protection

Sold

(Relevant

Credit:

Calpine,

B2*),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

6/20/23

220

4

2

2‌

Credit

Suisse,

Protection

Sold

(Relevant

Credit:

Ford

Motor

Credit,

Ba2*),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

6/20/23

145

3

1

2‌

Total

United

States

1

13‌

Total

Bilateral

Credit

Default

Swaps,

Protection

Sold

50

6‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

45

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Total

Return

Swaps

0.2%

Australia

(0.1)%

Citibank,

Pay

Underlying

Reference:

CSL

Monthly,

Receive

Variable

2.662%

(1M

ADBB

+

(0.40)%)

Monthly,

1/17/24

401

(21)

—

(21‌)

Citibank,

Pay

Underlying

Reference:

Macquarie

Group

Monthly,

Receive

Variable

2.662%

(1M

ADBB

+

(0.40)%)

Monthly,

1/17/24

1,362

(71)

—

(71‌)

Citibank,

Pay

Underlying

Reference:

QBE

Insurance

Group

Monthly,

Receive

Variable

2.662%

(1M

ADBB

+

(0.40)%)

Monthly,

1/17/24

867

(27)

—

(27‌)

Citibank,

Receive

Underlying

Reference:

Northern

Star

Resources

Monthly,

Pay

Variable

3.559%

(1M

ADBB

+

0.40%)

Monthly,

1/17/24

2,350

(31)

—

(31‌)

Morgan

Stanley,

Pay

Underlying

Reference:

WiseTech

Global

Monthly,

Receive

Variable

2.695%

(1M

ADBB

+

(0.40)%)

Monthly,

1/17/24

859

(80)

—

(80‌)

Morgan

Stanley,

Receive

Underlying

Reference:

Suncorp

Group

Monthly,

Pay

Variable

3.645%

(1M

ADBB

+

0.55%)

Monthly,

1/17/24

845

32

—

32‌

Morgan

Stanley,

Receive

Underlying

Reference:

Westpac

Banking

Monthly,

Pay

Variable

3.645%

(1M

ADBB

+

0.55%)

Monthly,

1/17/24

945

(7)

—

(7‌)

UBS

Investment

Bank,

Pay

Underlying

Reference:

Insurance

Australia

Group

Monthly,

Receive

Variable

2.612%

(1M

ADBB

+

(0.45)%)

Monthly,

1/17/24

703

(16)

—

(16‌)

Total

Australia

—

(221‌)

Austria

(0.0)%

Citibank,

Pay

Underlying

Reference:

Erste

Group

Bank

Monthly,

Receive

Variable

1.485%

(EUR

ESTR

+

(0.30)%)

Monthly,

1/17/24

444

(36)

—

(36‌)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

46

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Citibank,

Receive

Underlying

Reference:

BAWAG

Group

Monthly,

Pay

Variable

2.185%

(1M

EURIBOR

+

0.40%)

Monthly,

1/17/24

337

19

—

19‌

Total

Austria

—

(17‌)

Bermuda

(0.0)%

Morgan

Stanley,

Pay

Underlying

Reference:

Signet

Jewelers

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

152

(5)

—

(5‌)

Morgan

Stanley,

Receive

Underlying

Reference:

RenaissanceRe

Holdings

Monthly,

Pay

Variable

4.485%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

507

3

—

3‌

Total

Bermuda

—

(2‌)

Brazil

0.0%

Morgan

Stanley,

Receive

Underlying

Reference:

Localiza

Rent

a

Car

Monthly,

Pay

Variable

4.396%

(SOFR

+

0.45%)

Monthly,

1/18/24

38

3

—

3‌

Morgan

Stanley,

Receive

Underlying

Reference:

Localiza

Rent

a

Car

Monthly,

Pay

Variable

4.516%

(SOFR

+

0.45%)

Monthly,

1/18/24

79

2

—

2‌

Morgan

Stanley,

Receive

Underlying

Reference:

Localiza

Rent

a

Car

Monthly,

Pay

Variable

4.551%

(SOFR

+

0.45%)

Monthly,

1/18/24

158

11

—

11‌

Morgan

Stanley,

Receive

Underlying

Reference:

Magazine

Luiza

Monthly,

Pay

Variable

4.551%

(SOFR

+

0.45%)

Monthly,

1/18/24

270

49

—

49‌

Total

Brazil

—

65‌

Canada

(0.0)%

Bank

of

America,

Pay

Underlying

Reference:

Lundin

Mining

Monthly,

Receive

Variable

4.558%

(1M

CAD

CDOR

+

(0.30)%)

Monthly,

1/17/24

590

(53)

—

(53‌)

Bank

of

America,

Receive

Underlying

Reference:

Nutrien

Monthly,

Pay

Variable

5.158%

(1M

CAD

CDOR

+

0.30%)

Monthly,

1/17/24

436

25

—

25‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

47

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Bank

of

America,

Receive

Underlying

Reference:

Orla

Mining

Monthly,

Pay

Variable

5.158%

(1M

CAD

CDOR

+

0.30%)

Monthly,

1/17/24

418

33

—

33‌

Goldman

Sachs,

Pay

Underlying

Reference:

Bank

of

Montreal

Monthly,

Receive

Variable

4.558%

(1M

CAD

CDOR

+

(0.30)%)

Monthly,

1/17/24

295

(3)

—

(3‌)

Goldman

Sachs,

Pay

Underlying

Reference:

Franco-Nevada

Monthly,

Receive

Variable

4.578%

(1M

CAD

CDOR

+

(0.30)%)

Monthly,

1/17/24

577

(1)

—

(1‌)

Goldman

Sachs,

Pay

Underlying

Reference:

Ritchie

Bros.

Auctioneers

Monthly,

Receive

Variable

3.430%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

272

(11)

—

(11‌)

Goldman

Sachs,

Pay

Underlying

Reference:

Toronto-Dominion

Bank

Monthly,

Receive

Variable

4.558%

(1M

CAD

CDOR

+

(0.30)%)

Monthly,

1/17/24

1,771

(29)

—

(29‌)

Goldman

Sachs,

Receive

Underlying

Reference:

Magna

International

Monthly,

Pay

Variable

5.158%

(1M

CAD

CDOR

+

0.30%)

Monthly,

1/17/24

2,001

(17)

—

(17‌)

Goldman

Sachs,

Receive

Underlying

Reference:

Parkland

Monthly,

Pay

Variable

5.158%

(1M

CAD

CDOR

+

0.30%)

Monthly,

1/17/24

402

—

—

—‌

Goldman

Sachs,

Receive

Underlying

Reference:

Suncor

Energy

Monthly,

Pay

Variable

5.165%

(1M

CAD

CDOR

+

0.30%)

Monthly,

1/17/24

415

15

—

15‌

JPMorgan

Chase,

Receive

Underlying

Reference:

BRP

Monthly,

Pay

Variable

5.258%

(1M

CAD

CDOR

+

0.40%)

Monthly,

1/17/24

699

17

—

17‌

Morgan

Stanley,

Pay

Underlying

Reference:

Agnico

Eagle

Mines

Monthly,

Receive

Variable

4.458%

(1M

CAD

CDOR

+

(0.40)%)

Monthly,

1/17/24

379

(8)

—

(8‌)

Morgan

Stanley,

Pay

Underlying

Reference:

Agnico

Eagle

Mines

Monthly,

Receive

Variable

4.470%

(1M

CAD

CDOR

+

(0.40)%)

Monthly,

1/17/24

283

2

—

2‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

48

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Pay

Underlying

Reference:

Bank

of

Montreal

Monthly,

Receive

Variable

4.458%

(1M

CAD

CDOR

+

(0.40)%)

Monthly,

1/17/24

131

(1)

—

(1‌)

Morgan

Stanley,

Pay

Underlying

Reference:

Canadian

Natural

Resources

Monthly,

Receive

Variable

4.458%

(1M

CAD

CDOR

+

(0.40)%)

Monthly,

1/17/24

1,012

(42)

—

(42‌)

Morgan

Stanley,

Pay

Underlying

Reference:

Enbridge

Monthly,

Receive

Variable

4.458%

(1M

CAD

CDOR

+

(0.40)%)

Monthly,

1/17/24

1,110

22

—

22‌

Morgan

Stanley,

Pay

Underlying

Reference:

Restaurant

Brands

International

Monthly,

Receive

Variable

4.458%

(1M

CAD

CDOR

+

(0.40)%)

Monthly,

1/17/24

437

(3)

—

(3‌)

Morgan

Stanley,

Pay

Underlying

Reference:

Thomson

Reuters

Monthly,

Receive

Variable

4.458%

(1M

CAD

CDOR

+

(0.40)%)

Monthly,

1/17/24

1,331

2

—

2‌

Morgan

Stanley,

Receive

Underlying

Reference:

Canadian

Apartment

Properties

REIT

Monthly,

Pay

Variable

5.408%

(1M

CAD

CDOR

+

0.55%)

Monthly,

1/17/24

745

14

—

14‌

Morgan

Stanley,

Receive

Underlying

Reference:

Canadian

Pacific

Railway

Monthly,

Pay

Variable

5.408%

(1M

CAD

CDOR

+

0.55%)

Monthly,

1/17/24

468

(8)

—

(8‌)

Morgan

Stanley,

Receive

Underlying

Reference:

Franco-Nevada

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

395

12

—

12‌

Morgan

Stanley,

Receive

Underlying

Reference:

National

Bank

of

Canada

Monthly,

Pay

Variable

5.408%

(1M

CAD

CDOR

+

0.55%)

Monthly,

1/17/24

2,256

31

—

31‌

Morgan

Stanley,

Receive

Underlying

Reference:

Royal

Bank

of

Canada

Monthly,

Pay

Variable

5.408%

(1M

CAD

CDOR

+

0.55%)

Monthly,

1/17/24

794

2

—

2‌

Total

Canada

—

(1‌)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

49

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Cayman

Islands

0.0%

Goldman

Sachs,

Receive

Underlying

Reference:

KE

Holdings

Monthly,

Pay

Variable

4.495%

(SOFR

+

0.41%)

Monthly,

1/18/24

168

(9)

—

(9‌)

Morgan

Stanley,

Receive

Underlying

Reference:

NU

Holdings,

Class

A

Monthly,

Pay

Variable

4.466%

(SOFR

+

0.40%)

Monthly,

1/18/24

76

21

—

21‌

Morgan

Stanley,

Receive

Underlying

Reference:

NU

Holdings,

Class

A

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

160

42

—

42‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Sunny

Optical

Technology

Group

Monthly,

Pay

Variable

3.530%

(1M

HKD

HIBOR

+

0.35%)

Monthly,

1/17/24

(HKD)

1,494

16

—

16‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Tencent

Holdings

Monthly,

Pay

Variable

3.530%

(1M

HKD

HIBOR

+

0.35%)

Monthly,

1/17/24

(HKD)

1,498

4

—

4‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Zhonsheng

Group

Holdings

Monthly,

Pay

Variable

3.530%

(1M

HKD

HIBOR

+

0.35%)

Monthly,

1/17/24

(HKD)

1,492

(16)

—

(16‌)

Total

Cayman

Islands

—

58‌

China

(0.1)%

UBS

Investment

Bank,

Receive

Underlying

Reference:

Jiangsu

Hengli

Hydraulic,

Class

A

Monthly,

Pay

Variable

(1M

CNH

HIBOR

+

0.00%)

Monthly,

1/17/24

1,301

(5)

—

(5‌)

Total

China

—

(5‌)

Cyprus

0.0%

UBS

Investment

Bank,

Receive

Underlying

Reference:

TCS

Group

Holding

Monthly,

Pay

Variable

4.520%

(SOFR

+

0.35%)

Monthly,

1/18/24

—

—

—

—‌

Total

Cyprus

—

—‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

50

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Denmark

(0.0)%

Goldman

Sachs,

Receive

Underlying

Reference:

Novo

Nordisk,

Class

B

Monthly,

Pay

Variable

2.617%

(1M

DKK

CIBOR

+

0.35%)

Monthly,

1/17/24

10,098

(18)

—

(18‌)

JPMorgan

Chase,

Receive

Underlying

Reference:

Carlsberg,

Class

B

Monthly,

Pay

Variable

2.667%

(1M

DKK

CIBOR

+

0.40%)

Monthly,

1/17/24

2,195

(5)

—

(5‌)

Total

Denmark

—

(23‌)

Finland

(0.0)%

Citibank,

Pay

Underlying

Reference:

Kesko,

Class

B

Monthly,

Receive

Variable

1.485%

(EUR

ESTR

+

(0.30)%)

Monthly,

1/17/24

270

4

—

4‌

Citibank,

Pay

Underlying

Reference:

Stora

Enso,

Class

R

Monthly,

Receive

Variable

1.485%

(EUR

ESTR

+

(0.30)%)

Monthly,

1/17/24

302

27

—

27‌

Citibank,

Receive

Underlying

Reference:

Valmet

Monthly,

Pay

Variable

2.185%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

620

27

—

27‌

Goldman

Sachs,

Receive

Underlying

Reference:

Kojamo

Monthly,

Pay

Variable

2.127%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

504

(48)

—

(48‌)

Morgan

Stanley,

Pay

Underlying

Reference:

UPM-Kymmene

Monthly,

Receive

Variable

1.377%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

837

(10)

—

(10‌)

Total

Finland

—

—‌

France

(0.0)%

Bank

of

America,

Pay

Underlying

Reference:

L'Oreal

Monthly,

Receive

Variable

1.377%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

1,200

31

—

31‌

Bank

of

America,

Receive

Underlying

Reference:

Legrand

Monthly,

Pay

Variable

2.077%

(1M

EURIBOR

+

0.35%)

Monthly,

1/17/24

359

(4)

—

(4‌)

Citibank,

Receive

Underlying

Reference:

TotalEnergies

Monthly,

Pay

Variable

2.185%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

1,696

(45)

—

(45‌)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

51

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Goldman

Sachs,

Receive

Underlying

Reference:

Experian

Monthly,

Pay

Variable

3.650%

(GBP

SONIA

+

0.38%)

Monthly,

1/17/24

(GBP)

812

(4)

—

(4‌)

Morgan

Stanley,

Pay

Underlying

Reference:

BNP

Paribas

Monthly,

Receive

Variable

1.377%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

1,044

(64)

—

(64‌)

Morgan

Stanley,

Pay

Underlying

Reference:

Darden

Restaurants

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

201

2

—

2‌

Morgan

Stanley,

Pay

Underlying

Reference:

Dassault

Systemes

Monthly,

Receive

Variable

1.377%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

239

13

—

13‌

Morgan

Stanley,

Pay

Underlying

Reference:

Remy

Cointreau

Monthly,

Receive

Variable

1.377%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

390

15

—

15‌

Morgan

Stanley,

Pay

Underlying

Reference:

Unibail-Rodamco-Westfield

Monthly,

Receive

Variable

1.377%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

324

(12)

—

(12‌)

Morgan

Stanley,

Receive

Underlying

Reference:

Strategic

Education

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

532

32

—

32‌

Total

France

—

(36‌)

Germany

0.1%

Bank

of

America,

Pay

Underlying

Reference:

Allianz

Monthly,

Receive

Variable

1.377%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

1,053

—

—

—‌

Bank

of

America,

Pay

Underlying

Reference:

Henkel

Monthly,

Receive

Variable

1.377%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

944

23

—

23‌

Bank

of

America,

Pay

Underlying

Reference:

Infineon

Technologies

Monthly,

Receive

Variable

1.377%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

1,702

(36)

—

(36‌)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

52

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Citibank,

Pay

Underlying

Reference:

Delivery

Hero

Monthly,

Receive

Variable

1.294%

(EUR

ESTR

+

(0.30)%)

Monthly,

1/17/24

265

(24)

—

(24‌)

Citibank,

Pay

Underlying

Reference:

Merck

Monthly,

Receive

Variable

1.427%

(EUR

ESTR

+

(0.30)%)

Monthly,

1/17/24

623

28

—

28‌

Citibank,

Pay

Underlying

Reference:

Merck

Monthly,

Receive

Variable

1.485%

(EUR

ESTR

+

(0.30)%)

Monthly,

1/17/24

597

7

—

7‌

Citibank,

Pay

Underlying

Reference:

Vonovia

Monthly,

Receive

Variable

1.485%

(EUR

ESTR

+

(0.30)%)

Monthly,

1/17/24

1,202

(25)

—

(25‌)

Citibank,

Receive

Underlying

Reference:

Brenntag

Monthly,

Pay

Variable

2.185%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

291

11

—

11‌

Citibank,

Receive

Underlying

Reference:

KION

Group

Monthly,

Pay

Variable

2.185%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

250

17

—

17‌

Goldman

Sachs,

Receive

Underlying

Reference:

adidas

Monthly,

Pay

Variable

2.127%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

779

(19)

—

(19‌)

Goldman

Sachs,

Receive

Underlying

Reference:

Deutsche

Telekom

Monthly,

Pay

Variable

2.127%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

1,477

(12)

—

(12‌)

Goldman

Sachs,

Receive

Underlying

Reference:

Dr.

Ing.

h.c.

F.

Porsche

Monthly,

Pay

Variable

2.127%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

834

19

—

19‌

JPMorgan

Chase,

Receive

Underlying

Reference:

Covestro

Monthly,

Pay

Variable

2.077%

(EUR

ESTR

+

0.35%)

Monthly,

1/17/24

402

11

—

11‌

JPMorgan

Chase,

Receive

Underlying

Reference:

Volkswagen

Monthly,

Pay

Variable

2.077%

(EUR

ESTR

+

0.35%)

Monthly,

1/17/24

250

38

—

38‌

Morgan

Stanley,

Pay

Underlying

Reference:

Mercedes-Benz

Group

Monthly,

Receive

Variable

1.377%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

322

(5)

—

(5‌)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

53

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

Daimler

Truck

Holding

Monthly,

Pay

Variable

2.077%

(EUR

ESTR

+

0.35%)

Monthly,

1/17/24

530

25

—

25‌

Morgan

Stanley,

Receive

Underlying

Reference:

SAP

Monthly,

Pay

Variable

1.900%

(EUR

ESTR

+

0.35%)

Monthly,

1/17/24

276

2

—

2‌

Morgan

Stanley,

Receive

Underlying

Reference:

Zalando

Monthly,

Pay

Variable

2.077%

(EUR

ESTR

+

0.35%)

Monthly,

1/17/24

1,164

(6)

—

(6‌)

Total

Germany

—

54‌

Hong

Kong

0.0%

Morgan

Stanley,

Receive

Underlying

Reference:

AIA

Group

Monthly,

Pay

Variable

3.728%

(1M

HKD

HIBOR

+

0.55%)

Monthly,

1/17/24

2,807

12

—

12‌

Morgan

Stanley,

Receive

Underlying

Reference:

Galaxy

Entertainment

Group

Monthly,

Pay

Variable

3.728%

(1M

HKD

HIBOR

+

0.55%)

Monthly,

1/17/24

2,224

7

—

7‌

Total

Hong

Kong

—

19‌

India

0.0%

Citibank,

Pay

Underlying

Reference:

ICICI

Bank

Monthly,

Receive

Variable

3.990%

(SOFR

+

(0.18)%)

Monthly,

1/18/24

199

6

—

6‌

Total

India

—

6‌

Ireland

(0.0)%

Citibank,

Pay

Underlying

Reference:

Aon,

Class

A

Monthly,

Receive

Variable

3.870%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

377

(14)

—

(14‌)

JPMorgan

Chase,

Receive

Underlying

Reference:

CRH

Monthly,

Pay

Variable

3.620%

(GBP

SONIA

+

0.35%)

Monthly,

1/17/24

(GBP)

317

6

—

6‌

JPMorgan

Chase,

Receive

Underlying

Reference:

Ryanair

Holdings

Monthly,

Pay

Variable

4.435%

(SOFR

+

0.35%)

Monthly,

1/18/24

435

(18)

—

(18‌)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

54

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Pay

Underlying

Reference:

Bank

of

Ireland

Group

Monthly,

Receive

Variable

1.377%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

280

(21)

—

(21‌)

Morgan

Stanley,

Pay

Underlying

Reference:

Kingspan

Group

Monthly,

Receive

Variable

1.377%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

318

(4)

—

(4‌)

Morgan

Stanley,

Pay

Underlying

Reference:

Medtronic

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

599

(29)

—

(29‌)

Morgan

Stanley,

Receive

Underlying

Reference:

Accenture,

Class

A

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

619

(14)

—

(14‌)

Morgan

Stanley,

Receive

Underlying

Reference:

Linde

Monthly,

Pay

Variable

4.485%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

995

1

—

1‌

Total

Ireland

—

(93‌)

Italy

0.1%

Goldman

Sachs,

Pay

Underlying

Reference:

Snam

Monthly,

Receive

Variable

1.457%

(1M

EURIBOR

+

(0.27)%)

Monthly,

1/17/24

745

44

—

44‌

Goldman

Sachs,

Receive

Underlying

Reference:

Enel

Monthly,

Pay

Variable

2.127%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

940

(66)

—

(66‌)

JPMorgan

Chase,

Receive

Underlying

Reference:

FinecoBank

Banca

Fineco

Monthly,

Pay

Variable

2.077%

(EUR

ESTR

+

0.35%)

Monthly,

1/17/24

383

(4)

—

(4‌)

JPMorgan

Chase,

Receive

Underlying

Reference:

UniCredit

Monthly,

Pay

Variable

2.077%

(EUR

ESTR

+

0.35%)

Monthly,

1/17/24

614

147

—

147‌

Morgan

Stanley,

Pay

Underlying

Reference:

Intesa

Sanpaolo

Monthly,

Receive

Variable

1.377%

(1M

EURIBOR

+

(0.35)%)

Monthly,

1/17/24

260

(19)

—

(19‌)

Total

Italy

—

102‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

55

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Japan

0.2%

Citibank,

Pay

Underlying

Reference:

Japan

Tobacco

Monthly,

Receive

Variable

(0.439)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

144,883

(19)

—

(19‌)

Citibank,

Pay

Underlying

Reference:

KDDI

Monthly,

Receive

Variable

(0.439)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

36,690

(9)

—

(9‌)

Citibank,

Pay

Underlying

Reference:

Mitsubishi

Monthly,

Receive

Variable

(0.439)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

209,160

(53)

—

(53‌)

Citibank,

Pay

Underlying

Reference:

Recruit

Holdings

Monthly,

Receive

Variable

(0.439)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

193,519

66

—

66‌

Citibank,

Pay

Underlying

Reference:

ZOZO

Monthly,

Receive

Variable

(0.439)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

39,813

(18)

—

(18‌)

Citibank,

Receive

Underlying

Reference:

Calbee

Monthly,

Pay

Variable

0.361%

(JPY

TONA

+

0.38%)

Monthly,

1/17/24

92,163

(9)

—

(9‌)

Citibank,

Receive

Underlying

Reference:

Kobe

Bussan

Monthly,

Pay

Variable

0.361%

(JPY

TONA

+

0.38%)

Monthly,

1/17/24

93,247

3

—

3‌

Citibank,

Receive

Underlying

Reference:

Mitsubishi

UFJ

Financial

Group

Monthly,

Pay

Variable

0.361%

(JPY

TONA

+

0.38%)

Monthly,

1/17/24

274,510

117

—

117‌

Citibank,

Receive

Underlying

Reference:

Nidec

Monthly,

Pay

Variable

0.336%

(JPY

TONA

+

0.38%)

Monthly,

1/17/24

39,110

(9)

—

(9‌)

Citibank,

Receive

Underlying

Reference:

Sumitomo

Monthly,

Pay

Variable

0.361%

(JPY

TONA

+

0.38%)

Monthly,

1/17/24

46,332

29

—

29‌

Morgan

Stanley,

Pay

Underlying

Reference:

Bridgestone

Monthly,

Receive

Variable

(0.435)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

255,568

(46)

—

(46‌)

Morgan

Stanley,

Pay

Underlying

Reference:

Honda

Motor

Monthly,

Receive

Variable

(0.435)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

104,577

(29)

—

(29‌)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

56

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Pay

Underlying

Reference:

Isuzu

Motors

Monthly,

Receive

Variable

(0.435)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

36,474

(25)

—

(25‌)

Morgan

Stanley,

Pay

Underlying

Reference:

Kyocera

Monthly,

Receive

Variable

(0.435)%

(1M

JPY

LIBOR

+

(0.42)%)

Monthly,

1/17/24

30,320

(13)

—

(13‌)

Morgan

Stanley,

Pay

Underlying

Reference:

Nissan

Motor

Monthly,

Receive

Variable

(0.435)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

78,371

(57)

—

(57‌)

Morgan

Stanley,

Pay

Underlying

Reference:

Shimano

Monthly,

Receive

Variable

(0.435)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

43,630

(18)

—

(18‌)

Morgan

Stanley,

Pay

Underlying

Reference:

Sumitomo

Chemical

Monthly,

Receive

Variable

(0.435)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

31,226

(11)

—

(11‌)

Morgan

Stanley,

Pay

Underlying

Reference:

Toray

Industries

Monthly,

Receive

Variable

(0.435)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

46,727

(26)

—

(26‌)

Morgan

Stanley,

Pay

Underlying

Reference:

Tosoh

Monthly,

Receive

Variable

(0.435)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

43,752

(30)

—

(30‌)

Morgan

Stanley,

Pay

Underlying

Reference:

Toyota

Motor

Monthly,

Receive

Variable

(0.435)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

377,816

(53)

—

(53‌)

Morgan

Stanley,

Receive

Underlying

Reference:

Demae-Can

Monthly,

Pay

Variable

0.515%

(JPY

TONA

+

0.53%)

Monthly,

1/17/24

34,138

(23)

—

(23‌)

Morgan

Stanley,

Receive

Underlying

Reference:

Denso

Monthly,

Pay

Variable

0.515%

(JPY

TONA

+

0.53%)

Monthly,

1/17/24

160,584

52

—

52‌

Morgan

Stanley,

Receive

Underlying

Reference:

Isetan

Mitsukoshi

Holdings

Monthly,

Pay

Variable

0.515%

(JPY

TONA

+

0.53%)

Monthly,

1/17/24

43,988

24

—

24‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

57

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

Mitsubishi

Chemical

Group

Monthly,

Pay

Variable

0.515%

(JPY

TONA

+

0.53%)

Monthly,

1/17/24

47,064

18

—

18‌

Morgan

Stanley,

Receive

Underlying

Reference:

Nomura

Research

Institute

Monthly,

Pay

Variable

0.515%

(JPY

TONA

+

0.53%)

Monthly,

1/17/24

68,779

(9)

—

(9‌)

Morgan

Stanley,

Receive

Underlying

Reference:

NTT

Data

Monthly,

Pay

Variable

0.515%

(JPY

TONA

+

0.53%)

Monthly,

1/17/24

95,155

44

—

44‌

Morgan

Stanley,

Receive

Underlying

Reference:

Omron

Monthly,

Pay

Variable

0.515%

(JPY

TONA

+

0.53%)

Monthly,

1/17/24

37,503

33

—

33‌

Morgan

Stanley,

Receive

Underlying

Reference:

Stanley

Electric

Monthly,

Pay

Variable

0.515%

(JPY

TONA

+

0.53%)

Monthly,

1/17/24

87,595

44

—

44‌

Morgan

Stanley,

Receive

Underlying

Reference:

Sumitomo

Electric

Industries

Monthly,

Pay

Variable

0.515%

(JPY

TONA

+

0.53%)

Monthly,

1/17/24

57,331

18

—

18‌

Morgan

Stanley,

Receive

Underlying

Reference:

Suntory

Beverage

&

Food

Monthly,

Pay

Variable

0.515%

(1M

JPY

LIBOR

+

0.53%)

Monthly,

1/17/24

39,422

7

—

7‌

Morgan

Stanley,

Receive

Underlying

Reference:

Tokyo

Electron

Monthly,

Pay

Variable

0.515%

(JPY

TONA

+

0.53%)

Monthly,

1/17/24

139,190

6

—

6‌

UBS

Investment

Bank,

Pay

Underlying

Reference:

Chugai

Pharmaceutical

Monthly,

Receive

Variable

(0.419)%

(JPY

TONA

+

(0.40)%)

Monthly,

1/17/24

37,380

(4)

—

(4‌)

UBS

Investment

Bank,

Receive

Underlying

Reference:

Daiichi

Sankyo

Monthly,

Pay

Variable

0.331%

(JPY

TONA

+

0.35%)

Monthly,

1/17/24

26,598

2

—

2‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Daikin

Industries

Monthly,

Pay

Variable

0.331%

(JPY

TONA

+

0.35%)

Monthly,

1/17/24

117,315

48

—

48‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

58

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

UBS

Investment

Bank,

Receive

Underlying

Reference:

Hoshizaki

Monthly,

Pay

Variable

0.331%

(JPY

TONA

+

0.35%)

Monthly,

1/17/24

147,345

48

—

48‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Keyence

Monthly,

Pay

Variable

0.332%

(JPY

TONA

+

0.35%)

Monthly,

1/17/24

277,080

194

—

194‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Nippon

Steel

Monthly,

Pay

Variable

0.331%

(JPY

TONA

+

0.35%)

Monthly,

1/17/24

86,669

92

—

92‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Panasonic

Monthly,

Pay

Variable

0.331%

(JPY

TONA

+

0.35%)

Monthly,

1/17/24

46,887

38

—

38‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Sanrio

Monthly,

Pay

Variable

0.332%

(JPY

TONA

+

0.35%)

Monthly,

1/17/24

76,305

40

—

40‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Taiheiyo

Cement

Monthly,

Pay

Variable

0.331%

(JPY

TONA

+

0.35%)

Monthly,

1/17/24

72,459

58

—

58‌

Total

Japan

—

520‌

Luxembourg

(0.0)%

Morgan

Stanley,

Receive

Underlying

Reference:

ArcelorMittal

Monthly,

Pay

Variable

2.077%

(EUR

ESTR

+

0.35%)

Monthly,

1/17/24

527

(13)

—

(13‌)

Morgan

Stanley,

Receive

Underlying

Reference:

Tenaris

Monthly,

Pay

Variable

2.077%

(EUR

ESTR

+

0.35%)

Monthly,

1/17/24

286

(5)

—

(5‌)

UBS

Investment

Bank,

Receive

Underlying

Reference:

Samsonite

International

Monthly,

Pay

Variable

3.530%

(1M

HKD

HIBOR

+

0.35%)

Monthly,

1/17/24

(HKD)

1,502

12

—

12‌

Total

Luxembourg

—

(6‌)

Mexico

(0.0)%

Morgan

Stanley,

Pay

Underlying

Reference:

Alpek

Monthly,

Receive

Variable

10.028%

(MXIBTIIE

+

(0.75)%)

Monthly,

1/17/24

4,499

(5)

—

(5‌)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

59

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

Alfa,

Class

A

Monthly,

Pay

Variable

11.328%

(MXIBTIIE

+

0.55%)

Monthly,

1/17/24

6,235

(15)

—

(15‌)

Total

Mexico

—

(20‌)

Netherlands

(0.0)%

Bank

of

America,

Receive

Underlying

Reference:

Airbus

Monthly,

Pay

Variable

2.077%

(EUR

ESTR

+

0.35%)

Monthly,

1/17/24

1,684

(25)

—

(25‌)

Citibank,

Receive

Underlying

Reference:

ING

Groep

Monthly,

Pay

Variable

2.185%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

1,486

128

—

128‌

Goldman

Sachs,

Receive

Underlying

Reference:

ASML

Holding

Monthly,

Pay

Variable

2.127%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

1,152

(9)

—

(9‌)

JPMorgan

Chase,

Pay

Underlying

Reference:

STMicroelectronics

Monthly,

Receive

Variable

1.377%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

463

(57)

—

(57‌)

JPMorgan

Chase,

Pay

Underlying

Reference:

STMicroelectronics

Monthly,

Receive

Variable

1.552%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

1,613

(198)

—

(198‌)

JPMorgan

Chase,

Receive

Underlying

Reference:

ASM

International

Monthly,

Pay

Variable

2.077%

(EUR

ESTR

+

0.35%)

Monthly,

1/17/24

1,369

112

—

112‌

JPMorgan

Chase,

Receive

Underlying

Reference:

Exor

Monthly,

Pay

Variable

2.077%

(EUR

ESTR

+

0.35%)

Monthly,

1/17/24

657

(7)

—

(7‌)

Morgan

Stanley,

Pay

Underlying

Reference:

NXP

Semiconductors

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

527

(45)

—

(45‌)

UBS

Investment

Bank,

Pay

Underlying

Reference:

Koninklijke

Ahold

Delhaize

Monthly,

Receive

Variable

1.385%

(EUR

ESTR

+

(0.40)%)

Monthly,

1/17/24

537

6

—

6‌

Total

Netherlands

—

(95‌)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

60

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Norway

0.0%

Citibank,

Pay

Underlying

Reference:

Aker

BP

Monthly,

Receive

Variable

2.544%

(1M

NOK

NIBOR

+

(0.436)%)

Monthly,

1/17/24

4,752

3

—

3‌

Goldman

Sachs,

Receive

Underlying

Reference:

DNB

Bank

Monthly,

Pay

Variable

3.390%

(1M

NOK

NIBOR

+

0.35%)

Monthly,

1/17/24

2,693

(1)

—

(1‌)

UBS

Investment

Bank,

Receive

Underlying

Reference:

Storebrand

Monthly,

Pay

Variable

3.330%

(1M

NOK

NIBOR

+

0.35%)

Monthly,

1/17/24

5,294

13

—

13‌

Total

Norway

—

15‌

Portugal

0.0%

Goldman

Sachs,

Receive

Underlying

Reference:

Galp

Energia

Monthly,

Pay

Variable

2.127%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

322

—

—

—‌

Total

Portugal

—

—‌

Puerto

Rico

0.0%

Morgan

Stanley,

Receive

Underlying

Reference:

Popular

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

205

3

—

3‌

Total

Puerto

Rico

—

3‌

Spain

(0.0)%

Goldman

Sachs,

Receive

Underlying

Reference:

Amadeus

IT

Group

Monthly,

Pay

Variable

2.127%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

289

6

—

6‌

Morgan

Stanley,

Pay

Underlying

Reference:

Banco

Bilbao

Vizcaya

Argentaria

Monthly,

Receive

Variable

1.377%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

855

(6)

—

(6‌)

Total

Spain

—

—‌

Sweden

0.0%

Citibank,

Receive

Underlying

Reference:

Assa

Abloy,

Class

B

Monthly,

Pay

Variable

2.800%

(1M

SEK

STIBOR

+

0.35%)

Monthly,

1/17/24

3,893

16

—

16‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

61

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Goldman

Sachs,

Receive

Underlying

Reference:

Atlas

Copco,

Class

B

Monthly,

Pay

Variable

2.813%

(1M

SEK

STIBOR

+

0.35%)

Monthly,

1/17/24

3,005

(17)

—

(17‌)

Goldman

Sachs,

Receive

Underlying

Reference:

Svenska

Cellulosa,

Class

B

Monthly,

Pay

Variable

2.813%

(1M

SEK

STIBOR

+

0.35%)

Monthly,

1/17/24

8,409

8

—

8‌

JPMorgan

Chase,

Receive

Underlying

Reference:

Swedbank,

Class

A

Monthly,

Pay

Variable

2.863%

(1M

SEK

STIBOR

+

0.40%)

Monthly,

1/17/24

7,077

50

—

50‌

Morgan

Stanley,

Pay

Underlying

Reference:

Industrivarden,

Class

C

Monthly,

Receive

Variable

2.113%

(1M

SEK

STIBOR

+

(0.35)%)

Monthly,

1/17/24

11,623

(8)

—

(8‌)

Morgan

Stanley,

Pay

Underlying

Reference:

Investor,

Class

A

Monthly,

Receive

Variable

2.113%

(1M

SEK

STIBOR

+

(0.35)%)

Monthly,

1/17/24

5,243

1

—

1‌

Morgan

Stanley,

Pay

Underlying

Reference:

Kinnevik,

Class

B

Monthly,

Receive

Variable

2.113%

(1M

SEK

STIBOR

+

(0.35)%)

Monthly,

1/17/24

4,306

15

—

15‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Essity,

Class

B

Monthly,

Pay

Variable

2.800%

(1M

SEK

STIBOR

+

0.35%)

Monthly,

1/17/24

7,049

(37)

—

(37‌)

UBS

Investment

Bank,

Receive

Underlying

Reference:

Sandvik

Monthly,

Pay

Variable

2.800%

(1M

SEK

STIBOR

+

0.35%)

Monthly,

1/17/24

8,180

38

—

38‌

Total

Sweden

—

66‌

Switzerland

(0.1)%

Bank

of

America,

Pay

Underlying

Reference:

Givaudan

Monthly,

Receive

Variable

0.510%

(1M

CHF

LIBOR

+

(0.35)%)

Monthly,

1/17/24

257

6

—

6‌

Bank

of

America,

Receive

Underlying

Reference:

Montana

Aerospace

Monthly,

Pay

Variable

1.210%

(1M

CHF

LIBOR

+

0.35%)

Monthly,

1/17/24

547

(45)

—

(45‌)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

62

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Bank

of

America,

Receive

Underlying

Reference:

Roche

Holding

Monthly,

Pay

Variable

1.210%

(1M

CHF

LIBOR

+

0.35%)

Monthly,

1/17/24

951

(32)

—

(32‌)

Citibank,

Pay

Underlying

Reference:

Geberit

Monthly,

Receive

Variable

0.465%

(1M

CHF

LIBOR

+

(0.42)%)

Monthly,

1/17/24

608

(28)

—

(28‌)

Citibank,

Pay

Underlying

Reference:

Nestle

Monthly,

Receive

Variable

0.465%

(1M

CHF

LIBOR

+

(0.42)%)

Monthly,

1/17/24

1,091

1

—

1‌

Citibank,

Pay

Underlying

Reference:

SGS

Monthly,

Receive

Variable

0.535%

(1M

CHF

LIBOR

+

(0.35)%)

Monthly,

1/17/24

225

5

—

5‌

Citibank,

Pay

Underlying

Reference:

UBS

Group

Monthly,

Receive

Variable

0.465%

(1M

CHF

LIBOR

+

(0.42)%)

Monthly,

1/17/24

316

(17)

—

(17‌)

Citibank,

Receive

Underlying

Reference:

Zurich

Insurance

Group

Monthly,

Pay

Variable

1.165%

(1M

CHF

LIBOR

+

0.28%)

Monthly,

1/17/24

608

4

—

4‌

Goldman

Sachs,

Receive

Underlying

Reference:

Alcon

Monthly,

Pay

Variable

1.150%

(1M

CHF

LIBOR

+

0.29%)

Monthly,

1/17/24

522

—

—

—‌

Morgan

Stanley,

Pay

Underlying

Reference:

CRISPR

Therapeutics

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

90

1

—

1‌

Morgan

Stanley,

Pay

Underlying

Reference:

Swiss

Re

Monthly,

Receive

Variable

0.450%

(1M

CHF

LIBOR

+

(0.41)%)

Monthly,

1/17/24

262

(11)

—

(11‌)

Morgan

Stanley,

Pay

Underlying

Reference:

TE

Connectivity

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

1,168

(26)

—

(26‌)

UBS

Investment

Bank,

Pay

Underlying

Reference:

Schindler

Holding

Monthly,

Receive

Variable

0.485%

(1M

CHF

LIBOR

+

(0.40)%)

Monthly,

1/17/24

540

(19)

—

(19‌)

Total

Switzerland

—

(161‌)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

63

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

United

Kingdom

0.0%

Bank

of

America,

Receive

Underlying

Reference:

Smiths

Group

Monthly,

Pay

Variable

3.620%

(1M

GBP

LIBOR

+

0.35%)

Monthly,

1/17/24

267

9

—

9‌

Citibank,

Pay

Underlying

Reference:

BP

Monthly,

Receive

Variable

3.014%

(GBP

SONIA

+

(0.31)%)

Monthly,

1/17/24

343

(8)

—

(8‌)

Citibank,

Pay

Underlying

Reference:

Legal

&

General

Group

Monthly,

Receive

Variable

3.014%

(GBP

SONIA

+

(0.31)%)

Monthly,

1/17/24

530

18

—

18‌

Citibank,

Receive

Underlying

Reference:

London

Stock

Exchange

Group

Monthly,

Pay

Variable

3.714%

(GBP

SONIA

+

0.39%)

Monthly,

1/17/24

234

4

—

4‌

Goldman

Sachs,

Receive

Underlying

Reference:

Barclays

Monthly,

Pay

Variable

3.810%

(GBP

SONIA

+

0.38%)

Monthly,

1/17/24

32

—

—

—‌

Goldman

Sachs,

Receive

Underlying

Reference:

Barclays

Monthly,

Pay

Variable

3.860%

(GBP

SONIA

+

0.43%)

Monthly,

1/17/24

37

—

—

—‌

Goldman

Sachs,

Receive

Underlying

Reference:

Imperial

Brands

Monthly,

Pay

Variable

3.650%

(GBP

SONIA

+

0.38%)

Monthly,

1/17/24

782

37

—

37‌

Goldman

Sachs,

Receive

Underlying

Reference:

Next

Monthly,

Pay

Variable

3.650%

(GBP

SONIA

+

0.38%)

Monthly,

1/17/24

1,757

(2)

—

(2‌)

Goldman

Sachs,

Receive

Underlying

Reference:

TechnipFMC

Monthly,

Pay

Variable

4.236%

(SOFR

+

0.41%)

Monthly,

1/18/24

38

3

—

3‌

Goldman

Sachs,

Receive

Underlying

Reference:

TechnipFMC

Monthly,

Pay

Variable

4.495%

(SOFR

+

0.41%)

Monthly,

1/18/24

153

11

—

11‌

JPMorgan

Chase,

Receive

Underlying

Reference:

GSK

Monthly,

Pay

Variable

3.620%

(GBP

SONIA

+

0.35%)

Monthly,

1/17/24

1,661

(24)

—

(24‌)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

64

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Pay

Underlying

Reference:

Bunzl

Monthly,

Receive

Variable

2.960%

(1M

GBP

LIBOR

+

(0.31)%)

Monthly,

1/17/24

450

(2)

—

(2‌)

Morgan

Stanley,

Receive

Underlying

Reference:

InterContinental

Hotels

Group

Monthly,

Pay

Variable

3.660%

(1M

GBP

LIBOR

+

0.39%)

Monthly,

1/17/24

323

9

—

9‌

Total

United

Kingdom

—

55‌

United

States

0.1%

Bank

of

America,

Pay

Underlying

Reference:

CVS

Health

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

511

7

—

7‌

Bank

of

America,

Pay

Underlying

Reference:

Equifax

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

2,141

(57)

—

(57‌)

Bank

of

America,

Pay

Underlying

Reference:

Eversource

Energy

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

2,248

23

—

23‌

Bank

of

America,

Pay

Underlying

Reference:

Goldman

Sachs

Group

Monthly,

Receive

Variable

3.766%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

581

(24)

—

(24‌)

Bank

of

America,

Pay

Underlying

Reference:

KLA

Monthly,

Receive

Variable

4.000%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

2,096

(8)

—

(8‌)

Bank

of

America,

Pay

Underlying

Reference:

MetLife

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

106

(2)

—

(2‌)

Bank

of

America,

Pay

Underlying

Reference:

Paycom

Software

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

788

(34)

—

(34‌)

Bank

of

America,

Pay

Underlying

Reference:

Pilgrim's

Pride

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

169

13

—

13‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

65

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Bank

of

America,

Pay

Underlying

Reference:

Pure

Storage,

Class

A

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

489

(32)

—

(32‌)

Bank

of

America,

Pay

Underlying

Reference:

Stryker

Monthly,

Receive

Variable

3.646%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

402

—

—

—‌

Bank

of

America,

Pay

Underlying

Reference:

Stryker

Monthly,

Receive

Variable

3.766%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

178

—

—

—‌

Bank

of

America,

Pay

Underlying

Reference:

UDR

Monthly,

Receive

Variable

3.785%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

235

(12)

—

(12‌)

Bank

of

America,

Receive

Underlying

Reference:

Activision

Blizzard

Monthly,

Pay

Variable

4.385%

(SOFR

+

0.30%)

Monthly,

1/18/24

740

19

—

19‌

Bank

of

America,

Receive

Underlying

Reference:

Booking

Holdings

Monthly,

Pay

Variable

4.385%

(SOFR

+

0.30%)

Monthly,

1/18/24

1,589

66

—

66‌

Bank

of

America,

Receive

Underlying

Reference:

Chipotle

Mexican

Grill

Monthly,

Pay

Variable

4.385%

(SOFR

+

0.30%)

Monthly,

1/18/24

273

16

—

16‌

Bank

of

America,

Receive

Underlying

Reference:

Citigroup

Monthly,

Pay

Variable

4.366%

(SOFR

+

0.30%)

Monthly,

1/18/24

570

30

—

30‌

Bank

of

America,

Receive

Underlying

Reference:

CoStar

Group

Monthly,

Pay

Variable

4.385%

(SOFR

+

0.30%)

Monthly,

1/18/24

328

(8)

—

(8‌)

Bank

of

America,

Receive

Underlying

Reference:

Elevance

Health

Monthly,

Pay

Variable

4.385%

(SOFR

+

0.30%)

Monthly,

1/18/24

442

17

—

17‌

Bank

of

America,

Receive

Underlying

Reference:

Exelon

Monthly,

Pay

Variable

4.385%

(SOFR

+

0.30%)

Monthly,

1/18/24

997

(24)

—

(24‌)

Bank

of

America,

Receive

Underlying

Reference:

Humana

Monthly,

Pay

Variable

4.385%

(SOFR

+

0.30%)

Monthly,

1/18/24

310

13

—

13‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

66

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Bank

of

America,

Receive

Underlying

Reference:

Intercontinental

Exchange

Monthly,

Pay

Variable

4.385%

(SOFR

+

0.30%)

Monthly,

1/18/24

350

1

—

1‌

Bank

of

America,

Receive

Underlying

Reference:

Las

Vegas

Sands

Monthly,

Pay

Variable

4.385%

(SOFR

+

0.30%)

Monthly,

1/18/24

363

30

—

30‌

Bank

of

America,

Receive

Underlying

Reference:

Marvell

Technology

Monthly,

Pay

Variable

4.385%

(SOFR

+

0.30%)

Monthly,

1/18/24

575

29

—

29‌

Bank

of

America,

Receive

Underlying

Reference:

NOV

Monthly,

Pay

Variable

4.385%

(SOFR

+

0.30%)

Monthly,

1/18/24

159

6

—

6‌

Bank

of

America,

Receive

Underlying

Reference:

Saia

Monthly,

Pay

Variable

4.385%

(SOFR

+

0.30%)

Monthly,

1/18/24

306

44

—

44‌

Bank

of

America,

Receive

Underlying

Reference:

SVB

Financial

Group

Monthly,

Pay

Variable

4.385%

(SOFR

+

0.30%)

Monthly,

1/18/24

620

100

—

100‌

Bank

of

America,

Receive

Underlying

Reference:

UnitedHealth

Group

Monthly,

Pay

Variable

4.385%

(SOFR

+

0.30%)

Monthly,

1/18/24

413

11

—

11‌

Citibank,

Receive

Underlying

Reference:

Becton

Dickinson

&

Company

Monthly,

Pay

Variable

4.590%

(SOFR

+

0.42%)

Monthly,

1/18/24

1,083

—

—

—‌

Citibank,

Receive

Underlying

Reference:

Becton

Dickinson

&

Company

Monthly,

Pay

Variable

4.590%

(SOFR

+

0.42%)

Monthly,

1/18/24

74

4

—

4‌

Citibank,

Receive

Underlying

Reference:

PG&E

Monthly,

Pay

Variable

4.590%

(SOFR

+

0.42%)

Monthly,

1/18/24

775

(5)

—

(5‌)

Citibank,

Receive

Underlying

Reference:

Stanley

Black

&

Decker

Monthly,

Pay

Variable

4.366%

(SOFR

+

0.42%)

Monthly,

1/18/24

766

43

—

43‌

Citibank,

Receive

Underlying

Reference:

Stanley

Black

&

Decker

Monthly,

Pay

Variable

4.590%

(SOFR

+

0.42%)

Monthly,

1/18/24

660

55

—

55‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

67

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Citibank,

Receive

Underlying

Reference:

TransDigm

Group

Monthly,

Pay

Variable

4.583%

(SOFR

+

0.42%)

Monthly,

1/18/24

568

59

—

59‌

Citibank,

Receive

Underlying

Reference:

Westrock

Monthly,

Pay

Variable

4.366%

(SOFR

+

0.42%)

Monthly,

1/18/24

295

17

—

17‌

Goldman

Sachs,

Pay

Underlying

Reference:

American

Electric

Power

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

1,093

12

—

12‌

Goldman

Sachs,

Pay

Underlying

Reference:

Applied

Materials

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

191

(3)

—

(3‌)

Goldman

Sachs,

Pay

Underlying

Reference:

Comcast,

Class

A

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

1,046

(10)

—

(10‌)

Goldman

Sachs,

Pay

Underlying

Reference:

Madrigal

Pharmaceuticals

Monthly,

Receive

Variable

4.110%

(SOFR

+

(0.19)%)

Monthly,

1/18/24

78

—

—

—‌

Goldman

Sachs,

Pay

Underlying

Reference:

PPG

Industries

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

569

2

—

2‌

Goldman

Sachs,

Pay

Underlying

Reference:

United

States

Steel

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

669

(8)

—

(8‌)

Goldman

Sachs,

Pay

Underlying

Reference:

VICI

Properties

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

361

(10)

—

(10‌)

Goldman

Sachs,

Receive

Underlying

Reference:

AmerisourceBergen

Monthly,

Pay

Variable

4.495%

(SOFR

+

0.41%)

Monthly,

1/18/24

436

12

—

12‌

Goldman

Sachs,

Receive

Underlying

Reference:

Gen

Digital

Monthly,

Pay

Variable

4.495%

(SOFR

+

0.41%)

Monthly,

1/18/24

636

11

—

11‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

68

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Goldman

Sachs,

Receive

Underlying

Reference:

Healthpeak

Properties

Monthly,

Pay

Variable

4.495%

(SOFR

+

0.41%)

Monthly,

1/18/24

317

5

—

5‌

Goldman

Sachs,

Receive

Underlying

Reference:

International

Paper

Monthly,

Pay

Variable

4.595%

(SOFR

+

0.51%)

Monthly,

1/18/24

361

41

—

41‌

Goldman

Sachs,

Receive

Underlying

Reference:

Microsoft

Monthly,

Pay

Variable

4.495%

(SOFR

+

0.41%)

Monthly,

1/18/24

442

13

—

13‌

Goldman

Sachs,

Receive

Underlying

Reference:

Monster

Beverage

Monthly,

Pay

Variable

4.495%

(SOFR

+

0.41%)

Monthly,

1/18/24

443

8

—

8‌

Goldman

Sachs,

Receive

Underlying

Reference:

Morgan

Stanley

Monthly,

Pay

Variable

4.495%

(SOFR

+

0.41%)

Monthly,

1/18/24

652

—

—

—‌

Goldman

Sachs,

Receive

Underlying

Reference:

Qualcomm

Monthly,

Pay

Variable

4.356%

(SOFR

+

0.41%)

Monthly,

1/18/24

227

22

—

22‌

Goldman

Sachs,

Receive

Underlying

Reference:

Qualcomm

Monthly,

Pay

Variable

4.495%

(SOFR

+

0.41%)

Monthly,

1/18/24

289

31

—

31‌

Goldman

Sachs,

Receive

Underlying

Reference:

Rockwell

Automation

Monthly,

Pay

Variable

4.495%

(SOFR

+

0.41%)

Monthly,

1/18/24

425

(1)

—

(1‌)

Goldman

Sachs,

Receive

Underlying

Reference:

Sherwin-Williams

Monthly,

Pay

Variable

4.495%

(SOFR

+

0.41%)

Monthly,

1/18/24

327

(15)

—

(15‌)

Goldman

Sachs,

Receive

Underlying

Reference:

Thermo

Fisher

Scientific

Monthly,

Pay

Variable

4.495%

(SOFR

+

0.41%)

Monthly,

1/18/24

316

(10)

—

(10‌)

Goldman

Sachs,

Receive

Underlying

Reference:

Visa,

Class

A

Monthly,

Pay

Variable

4.495%

(SOFR

+

0.41%)

Monthly,

1/18/24

384

12

—

12‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

69

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Goldman

Sachs,

Receive

Underlying

Reference:

Xtrackers

Harvest

CSI

300,

A

Shares

Monthly,

Pay

Variable

4.495%

(SOFR

+

0.41%)

Monthly,

1/18/24

77

—

—

—‌

JPMorgan

Chase,

Pay

Underlying

Reference:

Apple

at

Maturity,

Receive

Variable

3.659%

(SOFR

+

(0.55)%)

at

Maturity,

3/20/23

1,730

50

—

50‌

JPMorgan

Chase,

Pay

Underlying

Reference:

Goodyear

Tire

&

Rubber

at

Maturity,

Receive

Variable

3.513%

(SOFR

+

(0.80)%)

at

Maturity,

3/20/23

854

(1)

—

(1‌)

JPMorgan

Chase,

Pay

Underlying

Reference:

Halliburton

at

Maturity,

Receive

Variable

3.813%

(SOFR

+

(0.50)%)

at

Maturity,

3/20/23

515

(28)

—

(28‌)

JPMorgan

Chase,

Pay

Underlying

Reference:

Lowe's

Monthly,

Receive

Variable

3.835%

(1M

USD

LIBOR

+

(0.25)%)

Monthly,

1/18/24

385

3

—

3‌

JPMorgan

Chase,

Pay

Underlying

Reference:

Macy's

Retail

Holdings

at

Maturity,

Receive

Variable

3.693%

(SOFR

+

(0.62)%)

at

Maturity,

3/20/23

1,608

(131)

—

(131‌)

JPMorgan

Chase,

Pay

Underlying

Reference:

Medline

Borrower

at

Maturity,

Receive

Variable

3.663%

(SOFR

+

(0.65)%)

at

Maturity,

3/20/23

596

8

—

8‌

JPMorgan

Chase,

Pay

Underlying

Reference:

MPT

Operating

Partnership

at

Maturity,

Receive

Variable

3.658%

(SOFR

+

(0.65)%)

at

Maturity,

3/20/23

814

39

—

39‌

JPMorgan

Chase,

Pay

Underlying

Reference:

Royal

Caribbean

Cruises

at

Maturity,

Receive

Variable

3.613%

(SOFR

+

(0.70)%)

at

Maturity,

3/20/23

1,536

(82)

—

(82‌)

JPMorgan

Chase,

Pay

Underlying

Reference:

Union

Pacific

Monthly,

Receive

Variable

3.835%

(SOFR

+

(0.25)%)

Monthly,

1/18/24

548

23

—

23‌

JPMorgan

Chase,

Receive

Underlying

Reference:

Apollo

Global

Management

Monthly,

Pay

Variable

4.435%

(SOFR

+

0.35%)

Monthly,

1/18/24

642

14

—

14‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

70

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

JPMorgan

Chase,

Receive

Underlying

Reference:

Honeywell

International

Monthly,

Pay

Variable

4.435%

(SOFR

+

0.35%)

Monthly,

1/18/24

1,318

(26)

—

(26‌)

JPMorgan

Chase,

Receive

Underlying

Reference:

Outfront

Media

Monthly,

Pay

Variable

4.435%

(SOFR

+

0.35%)

Monthly,

1/18/24

350

15

—

15‌

Morgan

Stanley,

Pay

Underlying

Reference:

1Life

Healthcare

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

1,018

13

—

13‌

Morgan

Stanley,

Pay

Underlying

Reference:

Abbott

Laboratories

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

641

17

—

17‌

Morgan

Stanley,

Pay

Underlying

Reference:

Albemarle

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

318

(51)

—

(51‌)

Morgan

Stanley,

Pay

Underlying

Reference:

Align

Technology

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

597

(56)

—

(56‌)

Morgan

Stanley,

Pay

Underlying

Reference:

AMN

Healthcare

Services

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

251

22

—

22‌

Morgan

Stanley,

Pay

Underlying

Reference:

Analog

Devices

Monthly,

Receive

Variable

3.785%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

1,172

(30)

—

(30‌)

Morgan

Stanley,

Pay

Underlying

Reference:

Apple

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

1,074

(64)

—

(64‌)

Morgan

Stanley,

Pay

Underlying

Reference:

Autodesk

Monthly,

Receive

Variable

3.785%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

228

(16)

—

(16‌)

Morgan

Stanley,

Pay

Underlying

Reference:

Automatic

Data

Processing

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

541

23

—

23‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

71

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Pay

Underlying

Reference:

Beam

Therapeutics

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

86

2

—

2‌

Morgan

Stanley,

Pay

Underlying

Reference:

Bristol-Myers

Squibb

Monthly,

Receive

Variable

3.785%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

1,144

(3)

—

(3‌)

Morgan

Stanley,

Pay

Underlying

Reference:

Caterpillar

Monthly,

Receive

Variable

3.785%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

1,205

21

—

21‌

Morgan

Stanley,

Pay

Underlying

Reference:

Charter

Communications,

Class

A

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

1,224

15

—

15‌

Morgan

Stanley,

Pay

Underlying

Reference:

Copart

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

315

(17)

—

(17‌)

Morgan

Stanley,

Pay

Underlying

Reference:

Darden

Restaurants

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

1,708

15

—

15‌

Morgan

Stanley,

Pay

Underlying

Reference:

Deere

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

720

26

—

26‌

Morgan

Stanley,

Pay

Underlying

Reference:

Devon

Energy

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

437

(7)

—

(7‌)

Morgan

Stanley,

Pay

Underlying

Reference:

EPAM

Systems

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

436

31

—

31‌

Morgan

Stanley,

Pay

Underlying

Reference:

FactSet

Research

Systems

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

1,107

17

—

17‌

Morgan

Stanley,

Pay

Underlying

Reference:

First

Republic

Bank

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

857

(60)

—

(60‌)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

72

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Pay

Underlying

Reference:

Ford

Motor

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

821

(53)

—

(53‌)

Morgan

Stanley,

Pay

Underlying

Reference:

Fortive

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

2,364

(23)

—

(23‌)

Morgan

Stanley,

Pay

Underlying

Reference:

Freeport-McMoRan

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

486

(4)

—

(4‌)

Morgan

Stanley,

Pay

Underlying

Reference:

Gartner

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

2,326

(26)

—

(26‌)

Morgan

Stanley,

Pay

Underlying

Reference:

Generac

Holdings

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

1,084

(56)

—

(56‌)

Morgan

Stanley,

Pay

Underlying

Reference:

General

Motors

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

830

(60)

—

(60‌)

Morgan

Stanley,

Pay

Underlying

Reference:

HCA

Healthcare

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

1,076

13

—

13‌

Morgan

Stanley,

Pay

Underlying

Reference:

Henry

Schein

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

531

(34)

—

(34‌)

Morgan

Stanley,

Pay

Underlying

Reference:

IDEXX

Laboratories

Monthly,

Receive

Variable

3.785%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

433

—

—

—‌

Morgan

Stanley,

Pay

Underlying

Reference:

Incyte

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

748

(34)

—

(34‌)

Morgan

Stanley,

Pay

Underlying

Reference:

International

Flavors

&

Fragrances

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

452

17

—

17‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

73

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Pay

Underlying

Reference:

iShares

iBoxx

High

Yield

Corporate

Bond

ETF

at

Maturity,

Receive

Variable

4.303%

(SOFR

+

0.00%)

at

Maturity,

6/20/23

230

(4)

—

(4‌)

Morgan

Stanley,

Pay

Underlying

Reference:

J

M

Smucker

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

1,256

24

—

24‌

Morgan

Stanley,

Pay

Underlying

Reference:

Jack

Henry

&

Associates

Monthly,

Receive

Variable

3.785%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

1,095

9

—

9‌

Morgan

Stanley,

Pay

Underlying

Reference:

Johnson

&

Johnson

Monthly,

Receive

Variable

3.785%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

694

37

—

37‌

Morgan

Stanley,

Pay

Underlying

Reference:

JPMorgan

Chase

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

2,087

16

—

16‌

Morgan

Stanley,

Pay

Underlying

Reference:

Kimco

Realty

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

357

(11)

—

(11‌)

Morgan

Stanley,

Pay

Underlying

Reference:

Kroger

Monthly,

Receive

Variable

3.785%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

336

12

—

12‌

Morgan

Stanley,

Pay

Underlying

Reference:

McCormick

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

1,214

92

—

92‌

Morgan

Stanley,

Pay

Underlying

Reference:

Microchip

Technology

Monthly,

Receive

Variable

3.785%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

798

(32)

—

(32‌)

Morgan

Stanley,

Pay

Underlying

Reference:

Mid-America

Apartment

Communities

Monthly,

Receive

Variable

3.785%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

271

(9)

—

(9‌)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

74

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Pay

Underlying

Reference:

Norfolk

Southern

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

468

21

—

21‌

Morgan

Stanley,

Pay

Underlying

Reference:

ON

Semiconductor

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

611

(69)

—

(69‌)

Morgan

Stanley,

Pay

Underlying

Reference:

Pfizer

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

647

28

—

28‌

Morgan

Stanley,

Pay

Underlying

Reference:

Pool

Monthly,

Receive

Variable

3.785%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

273

(24)

—

(24‌)

Morgan

Stanley,

Pay

Underlying

Reference:

Prudential

Financial

Monthly,

Receive

Variable

3.785%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

293

(11)

—

(11‌)

Morgan

Stanley,

Pay

Underlying

Reference:

Snap-on

Monthly,

Receive

Variable

3.785%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

624

(7)

—

(7‌)

Morgan

Stanley,

Pay

Underlying

Reference:

Target

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

808

(49)

—

(49‌)

Morgan

Stanley,

Pay

Underlying

Reference:

Tesla

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

900

(284)

—

(284‌)

Morgan

Stanley,

Pay

Underlying

Reference:

Tractor

Supply

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

513

(20)

—

(20‌)

Morgan

Stanley,

Pay

Underlying

Reference:

Trade

Desk,

Class

A

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

97

(7)

—

(7‌)

Morgan

Stanley,

Pay

Underlying

Reference:

Ulta

Beauty

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

166

(6)

—

(6‌)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

75

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Pay

Underlying

Reference:

Waters

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

598

8

—

8‌

Morgan

Stanley,

Pay

Underlying

Reference:

Werner

Enterprises

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

440

(27)

—

(27‌)

Morgan

Stanley,

Pay

Underlying

Reference:

West

Pharmaceutical

Services

Monthly,

Receive

Variable

3.785%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

299

(14)

—

(14‌)

Morgan

Stanley,

Receive

Underlying

Reference:

7GC

Monthly,

Pay

Variable

4.485%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

—

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Agilent

Technologies

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

536

(13)

—

(13‌)

Morgan

Stanley,

Receive

Underlying

Reference:

Altaba

Monthly,

Pay

Variable

4.485%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

25

1

—

1‌

Morgan

Stanley,

Receive

Underlying

Reference:

Ameren

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

262

(6)

—

(6‌)

Morgan

Stanley,

Receive

Underlying

Reference:

American

Express

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

297

40

—

40‌

Morgan

Stanley,

Receive

Underlying

Reference:

AMETEK

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

575

1

—

1‌

Morgan

Stanley,

Receive

Underlying

Reference:

Applied

Materials

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

406

7

—

7‌

Morgan

Stanley,

Receive

Underlying

Reference:

Arista

Networks

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

276

23

—

23‌

Morgan

Stanley,

Receive

Underlying

Reference:

Ball

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

407

8

—

8‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

76

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

Bank

of

America

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

600

19

—

19‌

Morgan

Stanley,

Receive

Underlying

Reference:

Biogen

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

878

2

—

2‌

Morgan

Stanley,

Receive

Underlying

Reference:

Blueprint

Medicines

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

184

(3)

—

(3‌)

Morgan

Stanley,

Receive

Underlying

Reference:

Bright

Horizons

Family

Solutions

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

590

9

—

9‌

Morgan

Stanley,

Receive

Underlying

Reference:

Broadcom

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

662

11

—

11‌

Morgan

Stanley,

Receive

Underlying

Reference:

Burlington

Stores

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

846

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

CF

Industries

Holdings

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

247

(4)

—

(4‌)

Morgan

Stanley,

Receive

Underlying

Reference:

Confluent,

Class

A

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

56

4

—

4‌

Morgan

Stanley,

Receive

Underlying

Reference:

CSX

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

350

(19)

—

(19‌)

Morgan

Stanley,

Receive

Underlying

Reference:

Discover

Financial

Services

Monthly,

Pay

Variable

4.295%

(SOFR

+

0.40%)

Monthly,

1/18/24

305

16

—

16‌

Morgan

Stanley,

Receive

Underlying

Reference:

Dominion

Energy

Monthly,

Pay

Variable

4.485%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

265

4

—

4‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

77

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

Extra

Space

Storage

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

450

17

—

17‌

Morgan

Stanley,

Receive

Underlying

Reference:

EZCORP,

Class

A

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

352

20

—

20‌

Morgan

Stanley,

Receive

Underlying

Reference:

FedEx

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

418

14

—

14‌

Morgan

Stanley,

Receive

Underlying

Reference:

Fifth

Third

Bancorp

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

512

32

—

32‌

Morgan

Stanley,

Receive

Underlying

Reference:

FirstCash

Holdings

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

374

18

—

18‌

Morgan

Stanley,

Receive

Underlying

Reference:

Fiserv

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

1,101

26

—

26‌

Morgan

Stanley,

Receive

Underlying

Reference:

FleetCor

Technologies

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

274

19

—

19‌

Morgan

Stanley,

Receive

Underlying

Reference:

FMC

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

694

23

—

23‌

Morgan

Stanley,

Receive

Underlying

Reference:

Freshpet

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

237

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

General

Electric

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

389

(1)

—

(1‌)

Morgan

Stanley,

Receive

Underlying

Reference:

Hess

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

849

(8)

—

(8‌)

Morgan

Stanley,

Receive

Underlying

Reference:

Hilton

Worldwide

Holdings

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

345

22

—

22‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

78

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

Inari

Medical

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

256

(42)

—

(42‌)

Morgan

Stanley,

Receive

Underlying

Reference:

Ingersoll

Rand

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

326

(5)

—

(5‌)

Morgan

Stanley,

Receive

Underlying

Reference:

Insmed

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

161

20

—

20‌

Morgan

Stanley,

Receive

Underlying

Reference:

Intuitive

Surgical

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

202

(13)

—

(13‌)

Morgan

Stanley,

Receive

Underlying

Reference:

JB

Hunt

Transport

Services

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

468

33

—

33‌

Morgan

Stanley,

Receive

Underlying

Reference:

Kraft

Heinz

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

1,194

(42)

—

(42‌)

Morgan

Stanley,

Receive

Underlying

Reference:

Kymera

Therapeutics

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

350

27

—

27‌

Morgan

Stanley,

Receive

Underlying

Reference:

Lam

Research

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

503

32

—

32‌

Morgan

Stanley,

Receive

Underlying

Reference:

Marriott

International,

Class

A

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

349

29

—

29‌

Morgan

Stanley,

Receive

Underlying

Reference:

Maxar

Technologies

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

372

2

—

2‌

Morgan

Stanley,

Receive

Underlying

Reference:

Mckesson

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

295

(4)

—

(4‌)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

79

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

Mettler-Toledo

International

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

613

(1)

—

(1‌)

Morgan

Stanley,

Receive

Underlying

Reference:

Micron

Technology

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

519

31

—

31‌

Morgan

Stanley,

Receive

Underlying

Reference:

Moderna

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

296

(23)

—

(23‌)

Morgan

Stanley,

Receive

Underlying

Reference:

MongoDB

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

305

16

—

16‌

Morgan

Stanley,

Receive

Underlying

Reference:

Monolithic

Power

Systems

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

889

53

—

53‌

Morgan

Stanley,

Receive

Underlying

Reference:

MSCI

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

319

13

—

13‌

Morgan

Stanley,

Receive

Underlying

Reference:

Netflix

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

978

81

—

81‌

Morgan

Stanley,

Receive

Underlying

Reference:

News,

Class

A

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

1,289

64

—

64‌

Morgan

Stanley,

Receive

Underlying

Reference:

NextEra

Energy

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

232

(31)

—

(31‌)

Morgan

Stanley,

Receive

Underlying

Reference:

Old

Dominion

Freight

Line

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

429

25

—

25‌

Morgan

Stanley,

Receive

Underlying

Reference:

Pershing

Square

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

—

(1)

—

(1‌)

Morgan

Stanley,

Receive

Underlying

Reference:

Philip

Morris

International

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

714

29

—

29‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

80

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

Public

Storage

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

257

13

—

13‌

Morgan

Stanley,

Receive

Underlying

Reference:

RAPT

Therapeutics

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

240

20

—

20‌

Morgan

Stanley,

Receive

Underlying

Reference:

Regeneron

Pharmaceuticals

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

277

11

—

11‌

Morgan

Stanley,

Receive

Underlying

Reference:

ResMed

Monthly,

Pay

Variable

4.485%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

371

4

—

4‌

Morgan

Stanley,

Receive

Underlying

Reference:

Rexford

Industrial

Realty

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

252

21

—

21‌

Morgan

Stanley,

Receive

Underlying

Reference:

Roper

Technologies

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

1,189

(51)

—

(51‌)

Morgan

Stanley,

Receive

Underlying

Reference:

Ross

Stores

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

682

(8)

—

(8‌)

Morgan

Stanley,

Receive

Underlying

Reference:

Salesforce

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

515

67

—

67‌

Morgan

Stanley,

Receive

Underlying

Reference:

Textron

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

595

29

—

29‌

Morgan

Stanley,

Receive

Underlying

Reference:

US

Bancorp

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

306

15

—

15‌

Morgan

Stanley,

Receive

Underlying

Reference:

Verizon

Communications

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

356

6

—

6‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

81

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

Viatris

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

803

20

—

20‌

Morgan

Stanley,

Receive

Underlying

Reference:

Vulcan

Materials

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

478

1

—

1‌

Morgan

Stanley,

Receive

Underlying

Reference:

Walt

Disney

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

361

30

—

30‌

Morgan

Stanley,

Receive

Underlying

Reference:

Weyerhaeuser

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

329

28

—

28‌

Morgan

Stanley,

Receive

Underlying

Reference:

Xtrackers

Harvest

CSI

300,

A

Shares

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

273

1

—

1‌

Morgan

Stanley,

Receive

Underlying

Reference:

Zimmer

Biomet

Holdings

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

326

11

—

11‌

Total

United

States

—

497‌

Virgin

Islands

(British)

0.0%

Bank

of

America,

Receive

Underlying

Reference:

Biohaven

Monthly,

Pay

Variable

4.385%

(SOFR

+

0.30%)

Monthly,

1/18/24

22

2

—

2‌

Morgan

Stanley,

Receive

Underlying

Reference:

Biohaven

Monthly,

Pay

Variable

4.485%

(SOFR

+

0.40%)

Monthly,

1/18/24

17

2

—

2‌

Morgan

Stanley,

Receive

Underlying

Reference:

Eucrates

Biomedical

Acquisition

Monthly,

Pay

Variable

4.485%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

—

—

—

—‌

Total

Virgin

Islands

(British)

—

4‌

Total

Bilateral

Total

Return

Swaps

—

784‌

Total

Bilateral

Swaps

(425)

631‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

82

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Initial

$

Value

**

Unrealized

$

Gain/(Loss)

CENTRALLY

CLEARED

SWAPS

0.1%

Credit

Default

Swaps,

Protection

Bought

(0.1)%

Egypt

0.1%

Protection

Bought

(Relevant

Credit:

Arab

Republic

of

Egypt),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

12/20/27

(USD)

1,090

288

281

7‌

Total

Egypt

7‌

Foreign/Europe

(0.1)%

Protection

Bought

(Relevant

Credit:

Altice

Finco),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/20/27

865

90

105

(15‌)

Protection

Bought

(Relevant

Credit:

Markit

iTraxx

Crossover-S38,

5

Year

Index),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/20/27

5,185

(222)

99

(321‌)

Total

Foreign/Europe

(336‌)

France

(0.0)%

Protection

Bought

(Relevant

Credit:

Sanofi),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

12/20/27

150

(5)

(3)

(2‌)

Total

France

(2‌)

Luxembourg

(0.0)%

Protection

Bought

(Relevant

Credit:

Glencore

Finance

Europe),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/20/26

85

(14)

(19)

5‌

Total

Luxembourg

5‌

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

46

48

(2‌)

Total

South

Africa

(2‌)

United

States

(0.1)%

Protection

Bought

(Relevant

Credit:

American

Axle

&

Manufacturing),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/20/27

1,230

10

(4)

14‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

83

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Initial

$

Value**

Unrealized

$

Gain/(Loss)

Protection

Bought

(Relevant

Credit:

Apache),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

6/20/27

1,005

22

53

(31‌)

Protection

Bought

(Relevant

Credit:

Apache),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

12/20/27

45

1

2

(1‌)

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

(45)

(8)

(37‌)

Protection

Bought

(Relevant

Credit:

Iron

Mountain),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/20/27

762

(103)

(94)

(9‌)

Protection

Bought

(Relevant

Credit:

Macy's),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

12/20/27

255

26

46

(20‌)

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

(107)

(27)

(80‌)

Protection

Bought

(Relevant

Credit:

Markit

CDX.NA.HY-S38,

5

Year

Index),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

6/21/27

173

(8)

5

(13‌)

Protection

Bought

(Relevant

Credit:

Markit

CDX.NA.HY-S39,

5

Year

Index),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/20/27

3,947

(133)

(28)

(105‌)

Protection

Bought

(Relevant

Credit:

Markit

CDX.NA.IG-S39,

5

Year

Index),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

12/20/27

4,280

(59)

(10)

(49‌)

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

5

10

(5‌)

Protection

Bought

(Relevant

Credit:

Murphy

Oil),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

12/20/27

870

56

57

(1‌)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

84

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Initial

$

Value**

Unrealized

$

Gain/(Loss)

Protection

Bought

(Relevant

Credit:

Occidental

Petroleum),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

6/21/27

320

1

18

(17‌)

Protection

Bought

(Relevant

Credit:

Realogy

Group),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/20/26

860

63

(37)

100‌

Protection

Bought

(Relevant

Credit:

The

Gap),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

12/20/27

240

36

42

(6‌)

Protection

Bought

(Relevant

Credit:

Xerox),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

12/20/27

200

23

30

(7‌)

Total

United

States

(303‌)

Total

Centrally

Cleared

Credit

Default

Swaps,

Protection

Bought

(631‌)

Credit

Default

Swaps,

Protection

Sold

0.1%

Luxembourg

0.0%

Protection

Sold

(Relevant

Credit:

ArcelorMittal,

Baa3*),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

6/21/27

25

4

2

2‌

Total

Luxembourg

2‌

United

States

0.1%

Protection

Sold

(Relevant

Credit:

FedEx,

Baa2*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

6/21/27

*

305

4

4

—‌

Protection

Sold

(Relevant

Credit:

Goodyear

Tire

&

Rubber,

B2*),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

6/21/27

1,250

50

45

5‌

Protection

Sold

(Relevant

Credit:

Macy's,

Ba2*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

6/21/27

2,005

(174)

(206)

32‌

Protection

Sold

(Relevant

Credit:

Markit

CDX.NA.HY-S37,

5

Year

Index),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

12/20/26

6,163

310

(92)

402‌

Protection

Sold

(Relevant

Credit:

Markit

CDX.NA.HY-S38,

5

Year

Index),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

6/21/27

173

8

(2)

10‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

85

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Initial

$

Value**

Unrealized

$

Gain/(Loss)

Protection

Sold

(Relevant

Credit:

Markit

CDX.NA.HY-S39,

5

Year

Index),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

12/20/27

3,210

108

67

41‌

Protection

Sold

(Relevant

Credit:

Royal

Caribbean

Cruises,

B3*),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

6/21/27

2,530

(58)

(411)

353‌

Total

United

States

843‌

Total

Centrally

Cleared

Credit

Default

Swaps,

Protection

Sold

845‌

Interest

Rate

Swaps

0.1%

Canada

0.0%

5

Year

Interest

Rate

Swap,

Pay

Fixed

3.340%

Semi-Annually,

Receive

Variable

4.855%

(3M

CAD

CDOR)

Semi-Annually,

12/9/27

745

2

—

2‌

5

Year

Interest

Rate

Swap,

Pay

Fixed

3.351%

Semi-Annually,

Receive

Variable

4.788%

(3M

CAD

CDOR)

Semi-Annually,

12/8/27

650

2

1

1‌

5

Year

Interest

Rate

Swap,

Pay

Fixed

3.357%

Semi-Annually,

Receive

Variable

4.788%

(3M

CAD

CDOR)

Semi-Annually,

12/8/27

623

1

—

1‌

5

Year

Interest

Rate

Swap,

Pay

Fixed

3.382%

Semi-Annually,

Receive

Variable

4.855%

(3M

CAD

CDOR)

Semi-Annually,

12/9/27

829

—

—

—‌

5

Year

Interest

Rate

Swap,

Pay

Fixed

3.390%

Semi-Annually,

Receive

Variable

4.855%

(3M

CAD

CDOR)

Semi-Annually,

12/9/27

828

—

—

—‌

Total

Canada

4‌

China

0.0%

5

Year

Interest

Rate

Swap,

Pay

Fixed

2.436%

Quarterly,

Receive

Variable

2.000%

(7

Day

Interbank

Repo)

Quarterly,

9/27/27

3,000

8

—

8‌

5

Year

Interest

Rate

Swap,

Pay

Fixed

2.480%

Quarterly,

Receive

Variable

2.000%

(7

Day

Interbank

Repo)

Quarterly,

9/28/27

700

1

—

1‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

86

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Initial

$

Value**

Unrealized

$

Gain/(Loss)

5

Year

Interest

Rate

Swap,

Pay

Fixed

2.482%

Quarterly,

Receive

Variable

2.000%

(7

Day

Interbank

Repo)

Quarterly,

9/28/27

2,200

5

—

5‌

5

Year

Interest

Rate

Swap,

Pay

Fixed

2.500%

Quarterly,

Receive

Variable

2.000%

(7

Day

Interbank

Repo)

Quarterly,

9/30/27

1,000

3

1

2‌

5

Year

Interest

Rate

Swap,

Pay

Fixed

2.540%

Quarterly,

Receive

Variable

2.000%

(7

Day

Interbank

Repo)

Quarterly,

9/29/27

700

1

—

1‌

Total

China

17‌

Hungary

0.0%

2

Year

Interest

Rate

Swap,

Pay

Fixed

11.650%

Annually,

Receive

Variable

15.600%

(6M

HUF

BUBOR)

Semi-Annually,

1/30/25

209,603

2

—

2‌

2

Year

Interest

Rate

Swap,

Pay

Fixed

11.850%

Annually,

Receive

Variable

15.610%

(6M

HUF

BUBOR)

Semi-Annually,

2/3/25

222,179

—

—

—‌

2

Year

Interest

Rate

Swap,

Pay

Fixed

11.880%

Annually,

Receive

Variable

15.610%

(6M

HUF

BUBOR)

Semi-Annually,

2/3/25

100,609

—

—

—‌

2

Year

Interest

Rate

Swap,

Pay

Fixed

11.900%

Annually,

Receive

Variable

15.610%

(6M

HUF

BUBOR)

Semi-Annually,

2/3/25

222,179

(1)

—

(1‌)

2

Year

Interest

Rate

Swap,

Pay

Fixed

11.980%

Annually,

Receive

Variable

15.610%

(6M

HUF

BUBOR)

Semi-Annually,

2/3/25

92,225

—

1

(1‌)

Total

Hungary

—‌

India

(0.0)%

2

Year

Interest

Rate

Swap,

Receive

Fixed

6.590%

Semi-Annually,

Pay

Variable

6.500%

(1

Day

INR

MIBOR)

Semi-Annually,

5/30/24

45,000

—

—

—‌

2

Year

Interest

Rate

Swap,

Receive

Fixed

6.870%

at

Maturity,

Pay

Variable

6.500%

(1

Day

INR

MIBOR)

at

Maturity,

6/24/24

44,500

3

—

3‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

87

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Initial

$

Value**

Unrealized

$

Gain/(Loss)

5

Year

Interest

Rate

Swap,

Pay

Fixed

6.835%

Semi-Annually,

Receive

Variable

6.500%

(1

Day

INR

MIBOR)

Semi-Annually,

5/31/27

45,000

(12)

—

(12‌)

5

Year

Interest

Rate

Swap,

Pay

Fixed

7.068%

at

Maturity,

Receive

Variable

6.500%

(1

Day

INR

MIBOR)

at

Maturity,

6/22/27

44,500

(17)

—

(17‌)

Total

India

(26‌)

New

Zealand

(0.0)%

5

Year

Interest

Rate

Swap,

Pay

Fixed

4.720%

Semi-Annually,

Receive

Variable

4.605%

(3M

NDBB)

Quarterly,

12/22/27

3,633

(39)

—

(39‌)

Total

New

Zealand

(39‌)

Poland

(0.0)%

5

Year

Interest

Rate

Swap,

Pay

Fixed

7.100%

Annually,

Receive

Variable

7.350%

(6M

PLN

WIBOR)

Semi-Annually,

10/13/27

4,363

(64)

—

(64‌)

5

Year

Interest

Rate

Swap,

Pay

Fixed

7.188%

Annually,

Receive

Variable

7.450%

(6M

PLN

WIBOR)

Semi-Annually,

10/18/27

3,758

(58)

—

(58‌)

Total

Poland

(122‌)

United

Kingdom

0.2%

30

Year

Interest

Rate

Swap,

Pay

Fixed

0.912%

Annually,

Receive

Variable

0.548%

(GBP

SONIA)

Annually,

9/27/51

1,020

530

—

530‌

30

Year

Interest

Rate

Swap,

Pay

Fixed

1.442%

Annually,

Receive

Variable

0.315%

(GBP

SONIA)

Annually,

3/18/52

218

86

1

85‌

30

Year

Interest

Rate

Swap,

Pay

Fixed

1.467%

Annually,

Receive

Variable

0.315%

(GBP

SONIA)

Annually,

3/18/52

69

27

—

27‌

30

Year

Interest

Rate

Swap,

Pay

Fixed

4.387%

Annually,

Receive

Variable

0.596%

(GBP

SONIA)

Annually,

10/11/52

40

(11)

1

(12‌)

50

Year

Interest

Rate

Swap,

Pay

Fixed

0.742%

Annually,

Receive

Variable

0.548%

(GBP

SONIA)

Annually,

9/27/71

50

35

—

35‌

50

Year

Interest

Rate

Swap,

Pay

Fixed

4.085%

Annually,

Receive

Variable

0.596%

(GBP

SONIA)

Annually,

10/11/72

179

(62)

—

(62‌)

Total

United

Kingdom

603‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

88

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Initial

$

Value**

Unrealized

$

Gain/(Loss)

United

States

(0.1)%

2

Year

Interest

Rate

Swap,

Receive

Fixed

4.195%

Annually,

Pay

Variable

4.313%

(SOFR)

Annually,

12/20/24

10,900

(22)

1

(23‌)

7

Year

Interest

Rate

Swap,

Pay

Fixed

2.792%

Annually,

Receive

Variable

4.300%

(SOFR)

Annually,

7/11/29

910

28

—

28‌

10

Year

Interest

Rate

Swap,

Pay

Fixed

3.183%

Annually,

Receive

Variable

4.313%

(SOFR)

Annually,

12/20/32

2,400

8

1

7‌

10

Year

Interest

Rate

Swap,

Pay

Fixed

3.544%

Annually,

Receive

Variable

4.163%

(SOFR)

Annually,

11/23/32

1,080

(30)

—

(30‌)

10

Year

Interest

Rate

Swap,

Pay

Fixed

3.582%

Annually,

Receive

Variable

4.133%

(SOFR)

Annually,

11/16/32

495

(15)

—

(15‌)

10

Year

Interest

Rate

Swap,

Pay

Fixed

3.726%

Annually,

Receive

Variable

3.942%

(SOFR)

Annually,

10/19/32

250

(11)

—

(11‌)

10

Year

Interest

Rate

Swap,

Pay

Fixed

3.858%

Annually,

Receive

Variable

4.110%

(SOFR)

Annually,

11/10/32

1,330

(71)

—

(71‌)

Total

United

States

(115‌)

Total

Centrally

Cleared

Interest

Rate

Swaps

322‌

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

(4)

—

(4‌)

5

Year

Zero-Coupon

Inflation

Swap

Pay

Fixed

3.113%

at

Maturity,

Receive

Variable

(Change

in

CPI)

at

Maturity,

8/16/27

798

(5)

—

(5‌)

5

Year

Zero-Coupon

Inflation

Swap

Pay

Fixed

3.190%

at

Maturity,

Receive

Variable

(Change

in

CPI)

at

Maturity,

8/16/27

720

(8)

—

(8‌)

5

Year

Zero-Coupon

Inflation

Swap

Pay

Fixed

3.203%

at

Maturity,

Receive

Variable

(Change

in

CPI)

at

Maturity,

8/16/27

798

(8)

1

(9‌)

5

Year

Zero-Coupon

Inflation

Swap

Pay

Fixed

3.205%

at

Maturity,

Receive

Variable

(Change

in

CPI)

at

Maturity,

8/16/27

720

(8)

—

(8‌)

Total

Foreign/Europe

(34‌)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

89

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Initial

$

Value**

Unrealized

$

Gain/(Loss)

United

States

(0.0)%

1

Year

Zero-Coupon

Inflation

Swap

Pay

Fixed

2.204%

at

Maturity,

Receive

Variable

(Change

in

CPI)

at

Maturity,

1/8/24

7,910

(2)

—

(2‌)

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

2.442%

at

Maturity,

Receive

Variable

(Change

in

CPI)

at

Maturity,

1/31/28

419

(1)

—

(1‌)

5

Year

Zero-Coupon

Inflation

Swap

Pay

Fixed

2.453%

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

419

—

1

(1‌)

5

Year

Zero-Coupon

Inflation

Swap

Pay

Fixed

2.459%

at

Maturity,

Receive

Variable

(Change

in

CPI)

at

Maturity,

1/31/28

461

(1)

1

(2‌)

10

Year

Zero-Coupon

Inflation

Swap

Pay

Fixed

2.486%

at

Maturity,

Receive

Variable

(Change

in

CPI)

at

Maturity,

1/25/33

209

(1)

—

(1‌)

10

Year

Zero-Coupon

Inflation

Swap

Pay

Fixed

2.490%

at

Maturity,

Receive

Variable

(Change

in

CPI)

at

Maturity,

1/25/33

416

(2)

—

(2‌)

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

(2‌)

Total

United

States

(13‌)

Total

Centrally

Cleared

Zero-Coupon

Inflation

Swaps

(47‌)

Total

Centrally

Cleared

Swaps

489‌

Net

payments

(receipts)

of

variation

margin

to

date

(506‌)

Variation

margin

receivable

(payable)

on

centrally

cleared

swaps

$

(17‌)

*

Credit

ratings

as

of

January

31,

2023.

Ratings

shown

are

from

Moody’s

Investors

Service

and

if

Moody’s

does

not

rate

a

security,

then

Standard

&

Poor’s

(S&P)

is

used.

Fitch

is

used

for

securities

that

are

not

rated

by

either

Moody’s

or

S&P.

**

Includes

interest

purchased

or

sold

but

not

yet

collected

of

$(2).

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

90

(Amounts

in

000s)

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

Counterparty

Settlement

Receive

Deliver

Unrealized

Gain/(Loss)

Bank

of

America

2/24/23

EUR

974‌

USD

1,046‌

$

15‌

Bank

of

America

4/7/23

KZT

132,600‌

USD

281‌

—‌

Bank

of

America

4/13/23

USD

431‌

RON

1,991‌

(7‌)

Bank

of

America

4/14/23

USD

68‌

CZK

1,510‌

(1‌)

Bank

of

America

4/21/23

USD

436‌

NOK

4,426‌

(9‌)

Barclays

Bank

2/17/23

PLN

319‌

USD

71‌

2‌

Barclays

Bank

3/2/23

BRL

327‌

USD

61‌

3‌

Barclays

Bank

4/7/23

USD

985‌

KRW

1,225,666‌

(11‌)

Barclays

Bank

4/14/23

USD

125‌

ZAR

2,137‌

3‌

Barclays

Bank

4/20/23

ILS

1,475‌

USD

431‌

(2‌)

BNP

Paribas

2/17/23

PLN

313‌

USD

71‌

1‌

BNP

Paribas

2/24/23

EUR

348‌

USD

370‌

8‌

BNP

Paribas

2/24/23

SEK

589‌

USD

56‌

—‌

BNP

Paribas

3/2/23

USD

2,158‌

BRL

11,714‌

(138‌)

BNP

Paribas

3/17/23

USD

114‌

RSD

12,618‌

(3‌)

BNP

Paribas

4/14/23

MXN

997‌

USD

51‌

1‌

BNP

Paribas

4/20/23

ILS

421‌

USD

120‌

2‌

BNP

Paribas

4/21/23

JPY

20,024‌

USD

157‌

(2‌)

BNY

Mellon

2/28/23

JPY

552,205‌

USD

4,271‌

(12‌)

BNY

Mellon

2/28/23

USD

2,742‌

JPY

354,555‌

8‌

Canadian

Imperial

Bank

of

Commerce

2/24/23

USD

326‌

GBP

270‌

(7‌)

Canadian

Imperial

Bank

of

Commerce

4/14/23

ZAR

4,983‌

USD

286‌

(1‌)

Canadian

Imperial

Bank

of

Commerce

4/21/23

CAD

41‌

USD

31‌

—‌

Canadian

Imperial

Bank

of

Commerce

4/21/23

USD

1,215‌

CAD

1,621‌

(4‌)

Citibank

2/24/23

USD

95‌

GBP

78‌

(1‌)

Citibank

2/24/23

USD

618‌

SEK

6,417‌

3‌

Citibank

2/24/23

USD

439‌

SEK

4,671‌

(8‌)

Citibank

3/10/23

COP

2,468,008‌

USD

524‌

1‌

Citibank

3/10/23

USD

538‌

PHP

30,515‌

(19‌)

Citibank

4/5/23

USD

345‌

PEN

1,314‌

5‌

Citibank

4/6/23

INR

47,850‌

USD

582‌

—‌

Citibank

4/6/23

USD

2,224‌

INR

182,754‌

1‌

Citibank

4/14/23

MXN

3,161‌

USD

162‌

3‌

Citibank

4/14/23

USD

1,053‌

MXN

20,511‌

(22‌)

Citibank

4/20/23

ILS

2,745‌

USD

808‌

(10‌)

Citibank

4/20/23

USD

555‌

ILS

1,884‌

7‌

Citibank

4/20/23

USD

3,027‌

ILS

10,590‌

(52‌)

Citibank

4/21/23

JPY

43,664‌

USD

345‌

(6‌)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

91

(Amounts

in

000s)

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

(CONTINUED)

Counterparty

Settlement

Receive

Deliver

Unrealized

Gain/(Loss)

Deutsche

Bank

2/17/23

PLN

502‌

USD

112‌

$

4‌

Deutsche

Bank

2/24/23

EUR

621‌

USD

662‌

14‌

Deutsche

Bank

2/24/23

GBP

1,642‌

USD

1,985‌

40‌

Deutsche

Bank

2/24/23

USD

440‌

EUR

424‌

(22‌)

Deutsche

Bank

3/2/23

BRL

1,979‌

USD

387‌

1‌

Deutsche

Bank

3/2/23

USD

632‌

BRL

3,418‌

(38‌)

Deutsche

Bank

3/10/23

USD

23‌

MYR

100‌

(1‌)

Deutsche

Bank

3/10/23

USD

1,123‌

THB

39,267‌

(71‌)

Deutsche

Bank

3/17/23

USD

27‌

RSD

2,942‌

—‌

Deutsche

Bank

4/13/23

USD

54‌

RON

248‌

—‌

Deutsche

Bank

4/21/23

JPY

16,508‌

USD

130‌

(1‌)

Deutsche

Bank

4/21/23

USD

701‌

JPY

90,038‌

2‌

Goldman

Sachs

2/2/23

BRL

20,703‌

USD

3,793‌

284‌

Goldman

Sachs

2/2/23

USD

4,060‌

BRL

20,702‌

(17‌)

Goldman

Sachs

2/24/23

EUR

1,065‌

USD

1,126‌

34‌

Goldman

Sachs

2/28/23

INR

612,801‌

USD

7,492‌

(9‌)

Goldman

Sachs

2/28/23

USD

876‌

SEK

8,952‌

18‌

Goldman

Sachs

3/2/23

BRL

3,330‌

USD

623‌

30‌

Goldman

Sachs

3/10/23

USD

276‌

COP

1,342,550‌

(10‌)

Goldman

Sachs

4/6/23

IDR

3,854,425‌

USD

248‌

8‌

Goldman

Sachs

4/7/23

USD

196‌

KRW

241,849‌

(1‌)

Goldman

Sachs

4/7/23

USD

1,879‌

TWD

56,516‌

(21‌)

Goldman

Sachs

4/14/23

CZK

6,938‌

USD

305‌

10‌

Goldman

Sachs

4/14/23

USD

91‌

CZK

2,067‌

(3‌)

Goldman

Sachs

4/21/23

USD

495‌

JPY

63,078‌

5‌

HSBC

Bank

2/24/23

EUR

10‌

USD

10‌

—‌

HSBC

Bank

2/24/23

SEK

2,881‌

USD

278‌

(2‌)

HSBC

Bank

3/2/23

USD

936‌

BRL

5,172‌

(78‌)

HSBC

Bank

3/10/23

USD

236‌

COP

1,102,043‌

2‌

HSBC

Bank

3/10/23

USD

163‌

MYR

729‌

(8‌)

HSBC

Bank

4/7/23

USD

189‌

KRW

233,296‌

(1‌)

HSBC

Bank

4/14/23

MXN

3,687‌

USD

190‌

4‌

HSBC

Bank

4/14/23

USD

1,797‌

MXN

34,745‌

(24‌)

JPMorgan

Chase

2/17/23

PLN

387‌

USD

88‌

1‌

JPMorgan

Chase

2/24/23

GBP

330‌

USD

410‌

(3‌)

JPMorgan

Chase

2/24/23

USD

101‌

EUR

95‌

(2‌)

JPMorgan

Chase

3/2/23

BRL

304‌

USD

56‌

4‌

JPMorgan

Chase

3/2/23

USD

74‌

BRL

396‌

(4‌)

JPMorgan

Chase

3/10/23

COP

1,077,035‌

USD

221‌

8‌

JPMorgan

Chase

3/10/23

USD

213‌

COP

1,034,014‌

(7‌)

JPMorgan

Chase

4/14/23

USD

68‌

HUF

25,593‌

(2‌)

JPMorgan

Chase

4/21/23

CAD

555‌

USD

417‌

1‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

92

(Amounts

in

000s)

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

(CONTINUED)

Counterparty

Settlement

Receive

Deliver

Unrealized

Gain/(Loss)

Morgan

Stanley

2/2/23

BRL

20,703‌

USD

4,060‌

$

17‌

Morgan

Stanley

2/2/23

USD

4,066‌

BRL

20,702‌

(11‌)

Morgan

Stanley

2/24/23

EUR

215‌

USD

230‌

4‌

Morgan

Stanley

2/24/23

GBP

158‌

USD

196‌

(1‌)

Morgan

Stanley

2/24/23

SEK

3,114‌

USD

303‌

(5‌)

Morgan

Stanley

2/24/23

USD

3,552‌

EUR

3,409‌

(160‌)

Morgan

Stanley

2/24/23

USD

6,637‌

GBP

5,576‌

(241‌)

Morgan

Stanley

2/28/23

MXN

35,200‌

USD

1,860‌

—‌

Morgan

Stanley

3/2/23

BRL

22,958‌

USD

4,476‌

24‌

Morgan

Stanley

3/2/23

USD

1,124‌

BRL

6,185‌

(88‌)

Morgan

Stanley

3/10/23

USD

113‌

COP

524,783‌

1‌

Morgan

Stanley

3/10/23

USD

280‌

COP

1,365,732‌

(10‌)

Morgan

Stanley

4/14/23

MXN

3,687‌

USD

190‌

4‌

Morgan

Stanley

4/14/23

USD

1,230‌

MXN

23,929‌

(24‌)

Morgan

Stanley

4/14/23

USD

190‌

ZAR

3,280‌

2‌

Morgan

Stanley

4/14/23

ZAR

4,431‌

USD

256‌

(3‌)

Morgan

Stanley

4/21/23

USD

527‌

AUD

738‌

4‌

Morgan

Stanley

4/21/23

USD

383‌

JPY

49,456‌

(1‌)

Natwest

Bank

2/28/23

USD

5,940‌

CHF

5,437‌

(18‌)

RBC

Dominion

Securities

2/24/23

EUR

1,656‌

USD

1,763‌

40‌

RBC

Dominion

Securities

2/24/23

SEK

5,960‌

USD

574‌

(3‌)

RBC

Dominion

Securities

2/24/23

USD

456‌

GBP

375‌

(6‌)

RBC

Dominion

Securities

3/2/23

BRL

1,125‌

USD

210‌

10‌

RBC

Dominion

Securities

3/2/23

USD

6,029‌

EUR

5,519‌

18‌

RBC

Dominion

Securities

4/14/23

USD

84‌

MXN

1,581‌

1‌

RBC

Dominion

Securities

4/14/23

USD

783‌

MXN

15,492‌

(29‌)

RBC

Dominion

Securities

4/14/23

USD

2,975‌

ZAR

51,042‌

60‌

RBC

Dominion

Securities

4/21/23

AUD

1,020‌

USD

714‌

8‌

RBC

Dominion

Securities

4/21/23

JPY

56,092‌

USD

440‌

(4‌)

RBC

Dominion

Securities

4/21/23

USD

1,211‌

CAD

1,621‌

(8‌)

RBC

Dominion

Securities

4/21/23

USD

716‌

JPY

92,440‌

(2‌)

RBC

Dominion

Securities

4/21/23

USD

2,223‌

NZD

3,488‌

(33‌)

Standard

Chartered

2/24/23

EUR

906‌

USD

971‌

16‌

Standard

Chartered

2/24/23

GBP

680‌

USD

822‌

16‌

Standard

Chartered

3/10/23

MYR

414‌

USD

94‌

4‌

Standard

Chartered

3/10/23

THB

9,067‌

USD

274‌

2‌

Standard

Chartered

3/10/23

USD

223‌

MYR

977‌

(7‌)

Standard

Chartered

4/6/23

IDR

7,429,675‌

USD

484‌

11‌

Standard

Chartered

4/6/23

USD

410‌

IDR

6,343,070‌

(13‌)

Standard

Chartered

4/21/23

AUD

395‌

USD

273‌

7‌

State

Street

2/17/23

PLN

365‌

USD

80‌

4‌

State

Street

2/24/23

EUR

203‌

USD

218‌

3‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

93

(Amounts

in

000s)

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

(CONTINUED)

Counterparty

Settlement

Receive

Deliver

Unrealized

Gain/(Loss)

State

Street

2/24/23

GBP

45‌

USD

53‌

$

2‌

State

Street

2/24/23

GBP

696‌

USD

864‌

(5‌)

State

Street

2/24/23

SEK

363‌

USD

35‌

—‌

State

Street

2/24/23

USD

7,206‌

EUR

6,919‌

(328‌)

State

Street

2/24/23

USD

4,330‌

GBP

3,630‌

(148‌)

State

Street

3/2/23

BRL

2,894‌

USD

546‌

21‌

State

Street

3/2/23

USD

26‌

BRL

140‌

(1‌)

State

Street

3/10/23

USD

31‌

THB

999‌

—‌

State

Street

3/17/23

SGD

880‌

USD

651‌

20‌

State

Street

4/14/23

CNH

3,868‌

USD

573‌

2‌

State

Street

4/14/23

HUF

47,634‌

USD

124‌

5‌

State

Street

4/14/23

USD

359‌

HUF

137,433‌

(14‌)

State

Street

4/14/23

USD

443‌

MXN

8,772‌

(16‌)

State

Street

4/14/23

USD

45‌

ZAR

774‌

1‌

State

Street

4/20/23

ILS

497‌

USD

142‌

3‌

State

Street

4/20/23

ILS

118‌

USD

35‌

(1‌)

State

Street

4/21/23

JPY

82,551‌

USD

650‌

(9‌)

State

Street

4/21/23

USD

27‌

NZD

42‌

—‌

UBS

Investment

Bank

2/17/23

PLN

280‌

USD

59‌

6‌

UBS

Investment

Bank

2/17/23

USD

1,047‌

PLN

5,082‌

(124‌)

UBS

Investment

Bank

2/24/23

EUR

2,978‌

USD

3,186‌

57‌

UBS

Investment

Bank

2/24/23

USD

507‌

EUR

488‌

(24‌)

UBS

Investment

Bank

2/24/23

USD

1,030‌

SEK

10,694‌

6‌

UBS

Investment

Bank

2/28/23

CLP

214,638‌

USD

260‌

8‌

UBS

Investment

Bank

2/28/23

USD

807‌

CLP

671,825‌

(33‌)

UBS

Investment

Bank

2/28/23

USD

3,092‌

GBP

2,494‌

15‌

UBS

Investment

Bank

3/2/23

BRL

1,135‌

USD

213‌

10‌

UBS

Investment

Bank

3/10/23

COP

1,964,420‌

USD

409‌

9‌

UBS

Investment

Bank

3/10/23

USD

101‌

COP

472,304‌

—‌

UBS

Investment

Bank

3/10/23

USD

455‌

PHP

25,779‌

(16‌)

UBS

Investment

Bank

4/6/23

IDR

3,259,220‌

USD

215‌

2‌

UBS

Investment

Bank

4/7/23

TWD

1,319‌

USD

44‌

—‌

UBS

Investment

Bank

4/14/23

USD

700‌

HUF

272,814‌

(41‌)

UBS

Investment

Bank

4/14/23

USD

207‌

ZAR

3,527‌

6‌

UBS

Investment

Bank

4/20/23

USD

803‌

ILS

2,810‌

(14‌)

UBS

Investment

Bank

4/21/23

JPY

12,197‌

USD

96‌

(1‌)

UBS

Investment

Bank

4/21/23

USD

996‌

AUD

1,415‌

(6‌)

Wells

Fargo

Bank

2/28/23

CLP

117,651‌

USD

143‌

5‌

Net

unrealized

gain

(loss)

on

open

forward

currency

exchange

contracts

$

(1,121‌)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

94

FUTURES

CONTRACTS

($000s)

Expiration

Date

Notional

Amount

Value

and

Unrealized

Gain

(Loss)

Short,

24

Amsterdam

IDX

contracts

2/23

(3,887)

$

(26‌)

Long,

27

CAC40

Index

contracts

2/23

2,081

18‌

Short,

47

Hang

Seng

Index

contracts

2/23

(6,564)

188‌

Long,

15

OMX

Swedish

Index

contracts

2/23

316

1‌

Long,

8

S&P/TSX

60

Index

contracts

3/23

1,508

44‌

Long,

28

ASX

SPI

200

Index

contracts

3/23

3,669

170‌

Short,

13

DAX

Performance

Index

contracts

3/23

(5,361)

(210‌)

Short,

113

Euro

BOBL

contracts

3/23

(14,410)

72‌

Short,

1

Euro

BTP

contracts

3/23

(124)

1‌

Short,

28

Euro

BUND

contracts

3/23

(4,165)

80‌

Short,

2

Euro

BUXL

thirty

year

bond

contracts

3/23

(313)

4‌

Short,

27

Euro

OAT

contracts

3/23

(3,861)

(109‌)

Short,

23

Euro

SCHATZ

contracts

3/23

(2,644)

2‌

Short,

109

Euro

STOXX

contracts

3/23

(4,943)

(46‌)

Short,

181

FTSE

100

Index

contracts

3/23

(17,293)

(309‌)

Long,

35

FTSE

MIB

Index

contracts

3/23

5,073

305‌

Long,

41

Government

of

Canada

ten

year

bond

contracts

3/23

3,891

(30‌)

Short,

4

Government

of

Japan

ten

year

bond

contracts

3/23

(4,504)

47‌

Long,

25

Mini

ten

year

JGB

contracts

3/23

2,816

(26‌)

Short,

88

MSCI

Emerging

Markets

Index

contracts

3/23

(4,596)

(206‌)

Long,

67

Republic

of

South

Korea

three

year

bond

contracts

3/23

5,700

26‌

Short,

4

Russell

2000

E-Mini

Index

contracts

3/23

(388)

(18‌)

Long,

3

S&P

500

E-mini

Index

Communication

Services

Select

Sector

contracts

3/23

217

22‌

Short,

149

S&P

500

E-Mini

Index

contracts

3/23

(30,471)

(832‌)

Short,

11

S&P

500

E-mini

Index

Health

Care

Sector

contracts

3/23

(1,488)

77‌

Short,

17

S&P

500

E-mini

Index

Industrial

Sector

contracts

3/23

(1,752)

(31‌)

Short,

14

S&P

500

E-mini

Index

Materials

Sector

contracts

3/23

(1,262)

(43‌)

Long,

25

S&P

500

E-mini

Index

Real

Estate

Select

Sector

contracts

3/23

1,249

73‌

Short,

2

S&P

500

E-mini

Index

Technology

Sector

contracts

3/23

(275)

(2‌)

Long,

3

S&P

500

Index

Consumer

Staples

Sector

contracts

3/23

224

(8‌)

Long,

18

S&P

500

Index

Utilities

Sector

contracts

3/23

1,259

(38‌)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

95

FUTURES

CONTRACTS

($000s)

Expiration

Date

Notional

Amount

Value

and

Unrealized

Gain

(Loss)

Short,

55

TOPIX

Index

contracts

3/23

(8,347)

$

(269‌)

Long,

93

U.K.

Gilt

ten

year

contracts

3/23

11,983

119‌

Long,

41

U.S.

Treasury

Long

Bond

contracts

3/23

5,325

(33‌)

Short,

115

U.S.

Treasury

Notes

five

year

contracts

3/23

(12,563)

(109‌)

Short,

148

U.S.

Treasury

Notes

ten

year

contracts

3/23

(16,948)

(91‌)

Short,

91

U.S.

Treasury

Notes

two

year

contracts

3/23

(18,714)

(5‌)

Long,

16

Ultra

U.S.

Treasury

Bonds

contracts

3/23

2,268

23‌

Net

payments

(receipts)

of

variation

margin

to

date

796‌

Variation

margin

receivable

(payable)

on

open

futures

contracts

$

(373‌)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

96

The

accompanying

notes

are

an

integral

part

of

this

Portfolio

of

Investments.

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

three

months

ended

January

31,

2023.

Net

realized

gain

(loss),

investment

income,

change

in

net

unrealized

gain/loss,

and

purchase

and

sales

cost

reflect

all

activity

for

the

period

then

ended.

Affiliate

Net

Realized

Gain

(Loss)

Change

in

Net

Unrealized

Gain/Loss

Investment

Income

T.

Rowe

Price

Government

Reserve

Fund,

4.36%

$

—‌

$

—‌

$

978‌++

Totals

$

—‌#

$

—‌

$

978‌+

Supplementary

Investment

Schedule

Affiliate

Value

10/31/22

Purchase

Cost

Sales

Cost

Value

01/31/23

T.

Rowe

Price

Government

Reserve

Fund,

4.36%

$

106,299‌

 ¤

 ¤

$

99,025‌

Total

$

99,025‌^

#

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.

+

Investment

income

comprised

$978

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

$99,025.

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

Unaudited

Notes

to

Portfolio

of

Investments

97

T.

Rowe

Price

Multi-Strategy

Total

Return

Fund,

Inc. (the

fund) is

registered

under

the

Investment

Company

Act

of

1940

(the

1940

Act)

as

an

open-end

management

investment

company

and

follows

accounting

and

reporting

guidance

of

the

Financial

Accounting

Standards

Board

Accounting

Standards

Codification

Topic

946.

The

accompanying

Portfolio

of

Investments

was

prepared

in

accordance

with

accounting

principles

generally

accepted

in

the

United

States

of

America

(GAAP).

For

additional

information

on

the

fund’s

significant

accounting

policies

and

investment

related

disclosures,

please

refer

to

the

fund’s most

recent

semiannual

or

annual

shareholder

report

and

its

prospectus. 

VALUATION 

Fair

Value

  The

fund’s

financial

instruments

are

valued

at

the

close

of

the

New

York

Stock

Exchange

(NYSE),

normally

4

p.m.

ET,

each

day

the

NYSE

is

open

for

business,

and

are

reported

at

fair

value,

which

GAAP

defines

as

the

price

that

would

be

received

to

sell

an

asset

or

paid

to

transfer

a

liability

in

an

orderly

transaction

between

market

participants

at

the

measurement

date. The fund’s

Board

of

Directors

(the

Board)

has

designated

T.

Rowe

Price

Associates,

Inc.

as

the

fund’s

valuation

designee

(Valuation

Designee).

Subject

to

oversight

by

the

Board,

the

Valuation

Designee

performs

the

following

functions

in

performing

fair

value

determinations:

assesses

and

manages

valuation

risks;

establishes

and

applies

fair

value

methodologies;

tests

fair

value

methodologies;

and

evaluates

pricing

vendors

and

pricing

agents.

The

duties

and

responsibilities

of

the

Valuation

Designee

are

performed

by

its

Valuation

Committee. The

Valuation

Designee provides

periodic

reporting

to

the

Board

on

valuation

matters.

Various

valuation

techniques

and

inputs

are

used

to

determine

the

fair

value

of

financial

instruments.

GAAP

establishes

the

following

fair

value

hierarchy

that

categorizes

the

inputs

used

to

measure

fair

value:

Level

1

–

quoted

prices

(unadjusted)

in

active

markets

for

identical

financial

instruments

that

the

fund

can

access

at

the

reporting

date

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)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

98

Level

3

–

unobservable

inputs

(including

the Valuation

Designee’s assumptions

in

determining

fair

value)

Observable

inputs

are

developed

using

market

data,

such

as

publicly

available

information

about

actual

events

or

transactions,

and

reflect

the

assumptions

that

market

participants

would

use

to

price

the

financial

instrument.

Unobservable

inputs

are

those

for

which

market

data

are

not

available

and

are

developed

using

the

best

information

available

about

the

assumptions

that

market

participants

would

use

to

price

the

financial

instrument.

GAAP

requires

valuation

techniques

to

maximize

the

use

of

relevant

observable

inputs

and

minimize

the

use

of

unobservable

inputs.

When

multiple

inputs

are

used

to

derive

fair

value,

the

financial

instrument

is

assigned

to

the

level

within

the

fair

value

hierarchy

based

on

the

lowest-level

input

that

is

significant

to

the

fair

value

of

the

financial

instrument.

Input

levels

are

not

necessarily

an

indication

of

the

risk

or

liquidity

associated

with

financial

instruments

at

that

level

but

rather

the

degree

of

judgment

used

in

determining

those

values.

Valuation

Techniques 

Debt

securities

generally

are

traded

in

the over-the-counter

(OTC)

market

and

are

valued

at

prices

furnished

by

independent

pricing

services

or

by

broker

dealers

who

make

markets

in

such

securities.

When

valuing

securities,

the

independent

pricing

services

consider

factors

such

as,

but

not

limited

to,

the

yield

or

price

of

bonds

of

comparable

quality,

coupon,

maturity,

and

type,

as

well

as

prices

quoted

by

dealers

who

make

markets

in

such

securities.   

Equity

securities,

including

exchange-traded

funds, listed

or

regularly

traded

on

a

securities

exchange

or

in

the

over-the-counter

(OTC)

market

are

valued

at

the

last

quoted

sale

price

or,

for

certain

markets,

the

official

closing

price

at

the

time

the

valuations

are

made.

OTC

Bulletin

Board

securities

are

valued

at

the

mean

of

the

closing

bid

and

asked

prices.

A

security

that

is

listed

or

traded

on

more

than

one

exchange

is

valued

at

the

quotation

on

the

exchange

determined

to

be

the

primary

market

for

such

security.

Listed

securities

not

traded

on

a

particular

day

are

valued

at

the

mean

of

the

closing

bid

and

asked

prices

for

domestic

securities

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 its 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

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

99

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

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.

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.

Investments

for

which

market

quotations are

not

readily

available

or

deemed

unreliable

are

valued

at

fair

value

as

determined

in

good

faith

by

the

Valuation

Designee.

The

Valuation

Designee

has

adopted

methodologies

for

determining

the

fair

value

of

investments

for

which

market

quotations

are

not

readily

available

or

deemed

unreliable,

including

the

use

of

other

pricing

sources.

Factors

used

in

determining

fair

value

vary

by

type

of

investment

and

may

include

market

or

investment

specific

considerations.

The

Valuation

Designee typically

will

afford

greatest

weight

to

actual

prices

in

arm’s

length

transactions,

to

the

extent

they

represent

orderly

transactions

between

market

participants,

transaction

information

can

be

reliably

obtained,

and

prices

are

deemed

representative

of

fair

value.

However,

the

Valuation

Designee may

also

consider

other

valuation

methods

such

as

market-based

valuation

multiples;

a

discount

or

premium

from

market

value

of

a

similar,

freely

traded

security

of

the

same

issuer;

discounted

cash

flows;

yield

to

maturity;

or

some

combination.

Fair

value

determinations

are

reviewed

on

a

regular

basis.

Because

any

fair

value

determination

involves

a

significant

amount

of

judgment,

there

is

a

degree

of

subjectivity

inherent

in

such

pricing

decisions. Fair

value

prices

determined

by

the

Valuation

Designee could

differ

from

those

of

other

market

participants,

and

it

is

possible

that

the

fair

value

determined

for

a

security

may

be

materially

different

from

the

value

that

could

be

realized

upon

the

sale

of

that

security.

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

100

Valuation

Inputs

  The

following

table

summarizes

the

fund’s

financial

instruments,

based

on

the

inputs

used

to

determine

their

fair

values

on

January

31,

2023

(for

further

detail

by

category,

please

refer

to

the

accompanying

Portfolio

of

Investments):

($000s)

Level

1

Level

2

Level

3

Total

Value

Assets

Fixed

Income

Securities

1

$

—‌

$

65,117‌

$

—‌

$

65,117‌

Bank

Loans

—‌

27,134‌

1,412‌

28,546‌

Short-Term

Investments

91,914‌

3,067‌

—‌

94,981‌

Common

Stocks

49,844‌

15,420‌

93‌

65,357‌

Convertible

Preferred

Stocks

—‌

339‌

385‌

724‌

Corporate

Bonds

—‌

69,996‌

7‌

70,003‌

Preferred

Stocks

—‌

840‌

—‌

840‌

Private

Investment

Company

2

—‌

—‌

—‌

30‌

Securities

Lending

Collateral

7,111‌

—‌

—‌

7,111‌

Options

Purchased

20‌

563‌

—‌

583‌

Total

Securities

148,889‌

182,476‌

1,897‌

333,292‌

Swaps*

—‌

7,401‌

—‌

7,401‌

Forward

Currency

Exchange

Contracts

—‌

967‌

—‌

967‌

Futures

Contracts*

1,272‌

—‌

—‌

1,272‌

Total

$

150,161‌

$

190,844‌

$

1,897‌

$

342,932‌

Liabilities

Options

Written

$

—‌

$

1,115‌

$

—‌

$

1,115‌

Swaps*

—‌

6,706‌

—‌

6,706‌

Forward

Currency

Exchange

Contracts

—‌

2,088‌

—‌

2,088‌

Futures

Contracts*

2,441‌

—‌

—‌

2,441‌

Total

$

2,441‌

$

9,909‌

$

—‌

$

12,350‌

1

Includes

Asset-Backed

Securities,

Convertible

Bonds,

Government

Bonds,

Municipal

Securities,

Non-U.S.

Government

Mortgage-Backed

Securities

and

U.S.

Government

Agency

Obligations

(Excluding

Mortgage-Backed).

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

101

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.

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.

F1112-054Q1

01/23

2

In

accordance

with

Subtopic

820-10,

certain

investments

that

are

measured

at

fair

value

using

the

net

asset

value

per

share

(or

its

equivalent)

practical

expedient

have

not

been

classified

in

the

fair

value

hierarchy.

The

fair

value

amounts

presented

in

this

table

are

intended

to

permit

reconciliation

of

the

fair

value

hierarchy

to

the

amounts

presented

in

the

Portfolio

of

Investments.

*

The

fair

value

presented

includes

cumulative

gain

(loss)

on

open

futures

contracts

and

centrally

cleared

swaps;

however,

the

net

value

reflected

on

the

accompanying

Portfolio

of

Investments

is

only

the

unsettled

variation

margin

receivable

(payable)

at

that

date.