T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
July
31,
2023
(Unaudited)
1
Portfolio
of
Investments
‡
Shares/Par
$
Value
(
Cost
and
value
in
$000s)
‡
ALBANIA
0.1%
Government
Bonds
0.1%
Republic
of
Albania,
5.90%,
6/9/28
(EUR) (1)
365,000
396
Total
Albania
(Cost
$387
)
396
ANGOLA
0.2%
Government
Bonds
0.2%
Republic
of
Angola,
8.00%,
11/26/29
(USD)
545,000
484
Republic
of
Angola,
8.75%,
4/14/32
(USD)
200,000
176
Total
Angola
(Cost
$630
)
660
ARGENTINA
0.1%
Common
Stocks
0.0%
Globant
(USD) (2)
159
28
MercadoLibre
(USD) (2)
55
68
Tenaris,
ADR
(USD)
213
7
103
Government
Bonds
0.1%
Argentine
Republic,
STEP,
3.625%,
7/9/35
(USD)
550,000
172
172
Total
Argentina
(Cost
$254
)
275
AUSTRALIA
0.0%
Common
Stocks
0.0%
BHP
Group
943
29
Goodman
Group
843
12
IGO
917
9
Newcrest
Mining
561
10
Northern
Star
Resources
2,710
21
Pilbara
Minerals
1,977
7
Rio
Tinto
206
16
Total
Australia
(Cost
$88
)
104
AUSTRIA
0.5%
Common
Stocks
0.0%
BAWAG
Group
172
9
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
2
Shares/Par
$
Value
(Cost
and
value
in
$000s)
OMV
451
20
29
Corporate
Bonds
0.3%
Benteler
International,
9.375%,
5/15/28 (1)
285,000
319
Benteler
International,
10.50%,
5/15/28
(USD) (1)
605,000
614
933
Government
Bonds
0.2%
Republic
of
Austria,
0.85%,
6/30/2120 (1)
1,350,000
558
558
Total
Austria
(Cost
$1,563
)
1,520
BAHAMAS
0.1%
Government
Bonds
0.1%
Commonwealth
of
Bahamas,
6.00%,
11/21/28
(USD) (1)
310,000
256
Total
Bahamas
(Cost
$244
)
256
BRAZIL
0.9%
Common
Stocks
0.0%
Minerva
5,439
11
NU
Holdings,
Class
A
(USD) (2)
3,485
28
Suzano
1,563
16
55
Corporate
Bonds
0.5%
Braskem
Netherlands
Finance,
4.50%,
1/31/30
(USD)
260,000
222
Braskem
Netherlands
Finance,
5.875%,
1/31/50
(USD) (1)
200,000
159
Globo
Comunicacao
e
Participacoes,
4.875%,
1/22/30
(USD) (1)
1,180,000
990
Globo
Comunicacao
e
Participacoes,
5.50%,
1/14/32
(USD)
310,000
261
MercadoLibre,
3.125%,
1/14/31
(USD)
200,000
161
1,793
Government
Bonds
0.4%
Brazil
Notas
do
Tesouro
Nacional,
Series
NTNF,
10.00%,
1/1/27
4,235,000
889
Brazil
Notas
do
Tesouro
Nacional,
Series
NTNF,
10.00%,
1/1/31
1,678,000
343
1,232
Total
Brazil
(Cost
$3,117
)
3,080
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
3
Shares/Par
$
Value
(Cost
and
value
in
$000s)
CANADA
1.3%
Asset-Backed
Securities
0.1%
Cologix
Canadian
Issuer,
Series
2022-1CAN,
Class
A2,
4.94%,
1/25/52 (1)
305,000
209
209
Bank
Loans
0.0%
(3)
Jones
Deslauriers
Insurance
Management,
FRN,
3M
CAD
CDOR
+
4.25%,
9.75%,
3/27/28 (4)
168,601
127
127
Common
Stocks
0.6%
Agnico
Eagle
Mines
(USD)
351
18
Brookfield
(USD) (5)
646
23
Cameco
(USD) (5)
1,169
41
Canadian
Natural
Resources
398
24
Canadian
Pacific
Kansas
City
(USD) (5)
8,915
734
Constellation
Software
12
25
Descartes
Systems
Group
(USD) (2)
133
10
ERO
Copper (2)
1,104
27
First
Quantum
Minerals
2,144
64
Franco-Nevada
185
27
Magna
International
(USD)
241
16
MDA (2)
5,823
37
Nutrien
(USD)
3,912
270
Shopify,
Class
A
(USD) (2)
7,938
536
Suncor
Energy
1,348
42
Teck
Resources,
Class
B
(USD)
458
20
Tourmaline
Oil
212
11
Whitecap
Resources
2,044
16
1,941
Corporate
Bonds
0.6%
1011778
BC
ULC,
5.75%,
4/15/25
(USD) (1)
1,205,000
1,197
Toronto-Dominion
Bank,
VR,
8.125%,
10/31/82
(USD) (6)
200,000
205
TransCanada
PipeLines,
6.203%,
3/9/26
(USD)
570,000
571
1,973
Total
Canada
(Cost
$3,976
)
4,250
CHILE
0.4%
Corporate
Bonds
0.2%
AES
Andes,
VR,
7.125%,
3/26/79
(USD) (6)
310,000
297
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
4
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Empresa
de
los
Ferrocarriles
del
Estado,
3.068%,
8/18/50
(USD)
300,000
189
Mercury
Chile
Holdco,
6.50%,
1/24/27
(USD)
310,000
288
774
Government
Bonds
0.2%
Bonos
de
la
Tesoreria
de
la
Republica,
6.00%,
4/1/33 (1)
455,000,000
574
574
Total
Chile
(Cost
$1,391
)
1,348
CHINA
0.8%
Common
Stocks
0.3%
58.com
(USD) (2)(4)
22,100
—
Alibaba
Group
Holding
(HKD) (2)
4,500
58
BeiGene,
ADR
(USD) (2)
78
17
Beijing
Capital
International
Airport,
Class
H
(HKD) (2)
34,000
22
H
World
Group,
ADR
(USD) (2)
487
23
Jiumaojiu
International
Holdings
(HKD)
139,000
274
Kanzhun,
ADR
(USD) (2)
6,043
113
Legend
Biotech,
ADR
(USD) (2)
231
18
Li
Ning
(HKD)
3,000
18
Tencent
Holdings
(HKD)
10,309
474
Wuxi
Biologics
Cayman
(HKD) (2)
500
3
Zai
Lab,
ADR
(USD) (2)
177
5
1,025
Common
Stocks
-
China
A
Shares
0.0%
Estun
Automation,
A
Shares
(CNH)
3,300
11
Fuyao
Glass
Industry
Group,
A
Shares
(CNH)
4,800
26
Kweichow
Moutai,
A
Shares
(CNH)
100
26
NARI
Technology,
A
Shares
(CNH)
10,713
36
Shenzhen
Inovance
Technology,
A
Shares
(CNH)
1,700
17
116
Convertible
Bonds
0.2%
PDD
Holdings,
Zero
Coupon,
12/1/25
(USD)
325,000
319
Xiaomi
Best
Time
International,
Zero
Coupon,
12/17/27
(USD)
300,000
254
573
Corporate
Bonds
0.3%
AAC
Technologies
Holdings,
2.625%,
6/2/26
(USD)
270,000
234
Country
Garden
Holdings,
3.30%,
1/12/31
(USD)
360,000
50
Kaisa
Group
Holdings,
11.95%,
10/22/22
(USD) (2)(7)
1,515,000
72
Longfor
Group
Holdings,
3.85%,
1/13/32
(USD)
200,000
133
Shimao
Group
Holdings,
3.45%,
1/11/31
(USD) (2)(7)
200,000
16
Times
China
Holdings,
6.75%,
7/8/25
(USD) (2)(7)
200,000
10
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
5
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Zhongsheng
Group
Holdings,
3.00%,
1/13/26
(USD)
310,000
285
800
Total
China
(Cost
$3,159
)
2,514
COLOMBIA
0.9%
Corporate
Bonds
0.4%
Aris
Mining,
6.875%,
8/9/26
(USD) (1)
315,000
252
Banco
de
Bogota,
6.25%,
5/12/26
(USD)
310,000
301
Bancolombia,
VR,
6.909%,
10/18/27
(USD) (6)
250,000
246
Ecopetrol,
6.875%,
4/29/30
(USD)
300,000
283
Geopark,
5.50%,
1/17/27
(USD)
300,000
258
1,340
Government
Bonds
0.5%
Republic
of
Colombia,
4.50%,
1/28/26
(USD)
200,000
193
Republic
of
Colombia,
Series
B,
7.00%,
3/26/31
2,820,000,000
604
Republic
of
Colombia,
Series
B,
13.25%,
2/9/33
3,050,500,000
916
1,713
Private
Investment
Company
0.0%
Bona
Fide
Investments
Feeder
LLC,
Acquisition
date:
6/1/22,
Cost $14
(USD) (2)(8)
†
18
Bona
Fide
Investments
Feeder
LLC,
Acquisition
date:
6/7/23,
Cost $37
(USD) (2)(8)
†
37
55
Total
Colombia
(Cost
$2,786
)
3,108
CYPRUS
0.1%
Government
Bonds
0.1%
Republic
of
Cyprus,
2.75%,
5/3/49
210,000
184
Total
Cyprus
(Cost
$166
)
184
CZECH
REPUBLIC
0.3%
Government
Bonds
0.3%
Czech
Republic
Government
Bond,
Series
125,
1.50%,
4/24/40
18,750,000
587
Czech
Republic
Government
Bond,
Series
138,
1.75%,
6/23/32
12,610,000
484
Total
Czech
Republic
(Cost
$993
)
1,071
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
6
Shares/Par
$
Value
(Cost
and
value
in
$000s)
DENMARK
0.0%
Common
Stocks
0.0%
Ascendis
Pharma,
ADR
(USD) (2)
115
10
Genmab (2)
26
11
Novo
Nordisk,
ADR
(USD)
98
16
Total
Denmark
(Cost
$34
)
37
DOMINICAN
REPUBLIC
0.2%
Government
Bonds
0.2%
Dominican
Republic,
5.95%,
1/25/27
(USD)
310,000
307
Dominican
Republic,
6.00%,
7/19/28
(USD)
230,000
226
Total
Dominican
Republic
(Cost
$543
)
533
ECUADOR
0.1%
Government
Bonds
0.1%
Republic
of
Ecuador,
STEP,
6.00%,
7/31/30
(USD) (1)
560,000
268
Total
Ecuador
(Cost
$293
)
268
FRANCE
0.6%
Common
Stocks
0.3%
Airbus
3,854
568
Alstom
968
30
AXA
696
21
Eurofins
Scientific (5)
261
18
Hermes
International
21
47
LVMH
Moet
Hennessy
Louis
Vuitton
113
105
Pernod
Ricard
150
33
Remy
Cointreau
71
12
Safran
306
51
Schneider
Electric
266
47
SPIE
704
21
TotalEnergies
1,187
72
1,025
Convertible
Preferred
Stocks
0.0%
DNA
Script,
Series
C,
Acquisition
Date:
12/16/21,
Cost $7 (2)
(4)(8)
8
6
6
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
7
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Corporate
Bonds
0.3%
Altice
France
Holding,
4.00%,
2/15/28
100,000
36
Electricite
de
France,
VR,
9.125%
(USD) (1)(6)(9)
500,000
527
IPD
3,
8.00%,
6/15/28 (1)
275,000
312
Societe
Generale,
VR,
8.00%
(USD) (6)(9)
200,000
194
1,069
Total
France
(Cost
$1,834
)
2,100
GEORGIA
0.1%
Corporate
Bonds
0.1%
Georgian
Railway,
4.00%,
6/17/28
(USD)
310,000
270
Total
Georgia
(Cost
$276
)
270
GERMANY
0.6%
Common
Stocks
0.3%
BASF
173
9
Covestro (2)
297
16
Daimler
Truck
Holding
883
33
Infineon
Technologies
4,153
183
KION
Group
420
18
SAP
3,859
526
Siemens
511
87
Zalando (2)
190
7
879
Corporate
Bonds
0.1%
TK
Elevator
Holdco,
7.625%,
7/15/28
(USD) (1)
400,000
372
372
Preferred
Stocks
0.2%
Sartorius (5)
1,776
733
Volkswagen
103
13
746
Total
Germany
(Cost
$1,808
)
1,997
GHANA
0.2%
Corporate
Bonds
0.2%
Kosmos
Energy,
7.125%,
4/4/26
(USD)
655,000
616
Total
Ghana
(Cost
$613
)
616
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
8
Shares/Par
$
Value
(Cost
and
value
in
$000s)
GUATEMALA
0.2%
Government
Bonds
0.2%
Republic
of
Guatemala,
4.875%,
2/13/28
(USD)
300,000
286
Republic
of
Guatemala,
4.90%,
6/1/30
(USD) (5)
300,000
283
Total
Guatemala
(Cost
$601
)
569
HONG
KONG
0.3%
Common
Stocks
0.3%
AIA
Group
62,400
624
Samsonite
International (2)
3,300
10
Techtronic
Industries
44,000
500
Techtronic
Industries,
ADR
(USD) (5)
358
20
Total
Hong
Kong
(Cost
$1,065
)
1,154
HUNGARY
0.5%
Common
Stocks
0.0%
OTP
Bank
5,488
200
Wizz
Air
Holdings
(GBP) (2)
37
1
201
Corporate
Bonds
0.1%
OTP
Bank,
VR,
7.50%,
5/25/27
(USD) (6)
230,000
231
231
Government
Bonds
0.4%
Magyar
Export-Import
Bank,
6.125%,
12/4/27
(USD) (1)
200,000
200
MFB
Magyar
Fejlesztesi
Bank,
6.50%,
6/29/28
(USD)
230,000
233
Republic
of
Hungary,
Series
32/A,
4.75%,
11/24/32
240,330,000
568
Republic
of
Hungary,
Series
33/A,
2.25%,
4/20/33
52,640,000
101
Republic
of
Hungary,
Series
38/A,
3.00%,
10/27/38
144,000,000
252
1,354
Total
Hungary
(Cost
$1,674
)
1,786
INDIA
0.8%
Common
Stocks
0.3%
Container
Corp.
of
India
2,479
21
HDFC
Bank
22,472
451
ICICI
Bank
38,820
472
Larsen
&
Toubro
1,010
33
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
9
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Voltas
380
4
981
Corporate
Bonds
0.3%
Adani
International
Container
Terminal,
3.00%,
2/16/31
(USD)
283,650
222
Adani
Renewable
Energy
RJ,
4.625%,
10/15/39
(USD)
267,000
198
HDFC
Bank,
VR,
3.70%
(USD) (6)(9)
310,000
271
JSW
Infrastructure,
4.95%,
1/21/29
(USD)
250,000
220
911
Government
Bonds
0.2%
Export-Import
Bank
of
India,
2.25%,
1/13/31
(USD)
300,000
241
Export-Import
Bank
of
India,
3.875%,
2/1/28
(USD)
300,000
282
Republic
of
India,
6.45%,
10/7/29
32,000,000
377
900
Total
India
(Cost
$2,849
)
2,792
INDONESIA
0.6%
Corporate
Bonds
0.4%
Bank
Negara
Indonesia
Persero,
VR,
4.30%
(USD) (6)(9)
620,000
519
Cikarang
Listrindo,
4.95%,
9/14/26
(USD)
300,000
285
Minejesa
Capital,
4.625%,
8/10/30
(USD)
300,000
276
Pakuwon
Jati,
4.875%,
4/29/28
(USD) (5)
300,000
273
1,353
Government
Bonds
0.2%
Republic
of
Indonesia,
2.15%,
7/28/31
(USD)
320,000
264
Republic
of
Indonesia,
Series
FR82,
7.00%,
9/15/30
4,680,000,000
322
586
Total
Indonesia
(Cost
$1,883
)
1,939
IRELAND
0.2%
Corporate
Bonds
0.2%
AerCap
Ireland
Capital,
3.00%,
10/29/28
(USD)
150,000
131
AerCap
Ireland
Capital,
3.30%,
1/30/32
(USD)
310,000
252
AerCap
Ireland
Capital,
FRN,
SOFR
+
0.68%,
5.936%,
9/29/23
(USD)
150,000
150
Avolon
Holdings
Funding,
6.375%,
5/4/28
(USD) (1)
275,000
273
Total
Ireland
(Cost
$869
)
806
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
10
Shares/Par
$
Value
(Cost
and
value
in
$000s)
ISRAEL
0.7%
Corporate
Bonds
0.2%
Bank
Hapoalim,
VR,
3.255%,
1/21/32
(USD) (1)(6)
300,000
257
Bank
Leumi
Le-Israel,
VR,
3.275%,
1/29/31
(USD) (1)(6)
325,000
291
Energian
Israel
Finance,
4.875%,
3/30/26
(USD) (1)
280,000
261
809
Government
Bonds
0.5%
State
of
Israel,
Series
0347,
3.75%,
3/31/47
5,054,000
1,295
State
of
Israel,
Series
1152,
2.80%,
11/29/52
1,035,000
216
1,511
Total
Israel
(Cost
$2,633
)
2,320
ITALY
1.3%
Common
Stocks
0.3%
Davide
Campari-Milano
1,982
27
Ferrari
(USD)
1,841
590
GVS (2)
1,575
10
PRADA
(HKD)
61,900
440
1,067
Corporate
Bonds
0.1%
Enel
Finance
International,
7.75%,
10/14/52
(USD) (1)
200,000
236
236
Government
Bonds
0.9%
Italy
Buoni
Poliennali
Del
Tesoro,
Series
2Y,
3.60%,
9/29/25
2,818,000
3,095
3,095
Total
Italy
(Cost
$4,067
)
4,398
IVORY
COAST
0.3%
Government
Bonds
0.3%
Republic
of
Ivory
Coast,
5.875%,
10/17/31
(EUR)
560,000
536
Republic
of
Ivory
Coast,
6.375%,
3/3/28
(USD) (5)
310,000
304
Total
Ivory
Coast
(Cost
$813
)
840
JAPAN
0.8%
Common
Stocks
0.8%
Asics
700
22
Astellas
Pharma
500
7
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
11
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Daiichi
Sankyo
33,000
1,016
Daikin
Industries
300
61
Food
&
Life
600
12
Harmonic
Drive
Systems
10,700
295
Hoshizaki
1,300
50
Industrial
&
Infrastructure
Fund
Investment (5)
3
3
Keyence
1,100
494
Mitsubishi
UFJ
Financial
Group
40,800
328
Mitsui
Fudosan
700
14
Miura (5)
1,300
33
Nippon
Sanso
Holdings
1,400
34
Recruit
Holdings
500
17
Seven
&
i
Holdings
500
21
Sony
Group,
ADR
(USD)
428
40
Suzuki
Motor
500
20
Tokyo
Electron
100
15
Total
Japan
(Cost
$2,169
)
2,482
JORDAN
0.1%
Government
Bonds
0.1%
Kingdom
of
Jordan,
5.85%,
7/7/30
(USD)
300,000
280
Kingdom
of
Jordan,
7.50%,
1/13/29
(USD) (1)(5)
200,000
204
Total
Jordan
(Cost
$475
)
484
KAZAKHSTAN
0.2%
Common
Stocks
0.0%
NAC
Kazatomprom,
GDR
(USD)
112
3
3
Corporate
Bonds
0.2%
KazMunayGas
National,
5.375%,
4/24/30
(USD)
310,000
292
Tengizchevroil
Finance
International,
3.25%,
8/15/30
(USD)
300,000
231
523
Total
Kazakhstan
(Cost
$561
)
526
LUXEMBOURG
0.2%
Bank
Loans
0.2%
(3)
Intelsat
Jackson
Holdings,
FRN,
6M
TSFR
+
4.25%,
9.772%,
2/1/29
(USD)
586,848
585
Total
Luxembourg
(Cost
$579
)
585
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
12
Shares/Par
$
Value
(Cost
and
value
in
$000s)
MALAYSIA
0.1%
Government
Bonds
0.1%
Government
of
Malaysia,
Series
0518,
4.921%,
7/6/48
980,000
239
Total
Malaysia
(Cost
$236
)
239
MAURITIUS
0.1%
Corporate
Bonds
0.1%
Axian
Telecom,
7.375%,
2/16/27
(USD) (1)
230,000
212
Axian
Telecom,
7.375%,
2/16/27
(USD)
310,000
286
Total
Mauritius
(Cost
$536
)
498
MEXICO
3.4%
Corporate
Bonds
0.9%
Banco
Mercantil
del
Norte,
VR,
6.75%
(USD) (6)(9)
310,000
305
Banco
Nacional
de
Comercio
Exterior
SNC,
VR,
2.72%,
8/11/31
(USD) (6)
300,000
254
BBVA
Bancomer,
VR,
5.125%,
1/18/33
(USD) (6)
310,000
270
Comision
Federal
de
Electricidad,
4.75%,
2/23/27
(USD) (5)
240,000
231
Mexico
City
Airport
Trust,
4.25%,
10/31/26
(USD)
290,000
278
Petroleos
Mexicanos,
5.35%,
2/12/28
(USD)
310,000
254
Petroleos
Mexicanos,
6.49%,
1/23/27
(USD)
250,000
223
Petroleos
Mexicanos,
6.50%,
1/23/29
(USD)
595,000
495
Petroleos
Mexicanos,
6.70%,
2/16/32
(USD)
835,000
644
2,954
Government
Bonds
2.5%
United
Mexican
States,
6.35%,
2/9/35
(USD)
200,000
211
United
Mexican
States,
Series
M,
5.75%,
3/5/26
5,070,000
276
United
Mexican
States,
Series
M,
7.50%,
6/3/27
61,370,000
3,462
United
Mexican
States,
Series
M,
7.50%,
5/26/33
15,300,000
835
United
Mexican
States,
Series
M,
7.75%,
5/29/31
10,750,000
603
United
Mexican
States,
Series
M,
7.75%,
11/13/42
22,390,000
1,194
United
Mexican
States,
Series
M,
8.00%,
11/7/47
3,130,000
170
United
Mexican
States,
Series
M,
8.50%,
5/31/29
24,780,000
1,458
8,209
Total
Mexico
(Cost
$10,568
)
11,163
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
13
Shares/Par
$
Value
(Cost
and
value
in
$000s)
MONGOLIA
0.1%
Government
Bonds
0.1%
Mongolia
Government
Bond,
3.50%,
7/7/27
(USD)
250,000
215
Total
Mongolia
(Cost
$215
)
215
MOROCCO
0.2%
Corporate
Bonds
0.1%
Vivo
Energy
Investments,
5.125%,
9/24/27
(USD)
310,000
284
284
Government
Bonds
0.1%
Kingdom
of
Morocco,
5.95%,
3/8/28
(USD) (1)
270,000
273
273
Total
Morocco
(Cost
$573
)
557
NETHERLANDS
0.4%
Common
Stocks
0.4%
Adyen (2)
170
316
Akzo
Nobel
162
14
Argenx,
ADR
(USD) (2)
107
54
ASM
International
114
54
ASML
Holding
839
601
ASML
Holding
(USD)
29
21
BE
Semiconductor
Industries
1,419
169
Heineken
239
23
ING
Groep
750
11
TKH
Group,
CVA
476
25
Universal
Music
Group
368
9
Total
Netherlands
(Cost
$951
)
1,297
NEW
ZEALAND
0.2%
Government
Bonds
0.2%
Government
of
New
Zealand,
Series
0551,
2.75%,
5/15/51
1,836,000
774
Total
New
Zealand
(Cost
$964
)
774
NORWAY
0.1%
Common
Stocks
0.1%
Equinor
1,306
40
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
14
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Seadrill
(USD) (2)
3,800
186
Total
Norway
(Cost
$196
)
226
OMAN
0.2%
Corporate
Bonds
0.2%
OmGrid
Funding,
5.196%,
5/16/27
(USD)
300,000
291
Oryx
Funding,
5.80%,
2/3/31
(USD)
300,000
295
Total
Oman
(Cost
$594
)
586
PANAMA
0.2%
Corporate
Bonds
0.1%
Banco
General,
VR,
5.25%
(USD) (6)(9)
300,000
265
Banco
Nacional
de
Panama,
2.50%,
8/11/30
(USD)
310,000
249
514
Government
Bonds
0.1%
Republic
of
Panama,
3.16%,
1/23/30
(USD)
250,000
220
220
Total
Panama
(Cost
$783
)
734
PARAGUAY
0.1%
Government
Bonds
0.1%
Republic
of
Paraguay,
2.739%,
1/29/33
(USD)
370,000
299
Total
Paraguay
(Cost
$307
)
299
PERU
0.6%
Common
Stocks
0.0%
Southern
Copper
(USD)
462
41
41
Corporate
Bonds
0.2%
Banco
de
Credito
del
Peru,
VR,
3.125%,
7/1/30
(USD) (6)
310,000
288
Consorcio
Transmantaro,
5.20%,
4/11/38
(USD) (1)
200,000
189
InRetail
Consumer,
3.25%,
3/22/28
(USD)
300,000
260
737
Government
Bonds
0.4%
Fondo
MIVIVIENDA,
4.625%,
4/12/27
(USD)
300,000
290
Republic
of
Peru,
5.94%,
2/12/29
1,250,000
343
Republic
of
Peru,
6.15%,
8/12/32
1,150,000
309
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
15
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Republic
of
Peru,
6.95%,
8/12/31
1,200,000
342
1,284
Total
Peru
(Cost
$1,922
)
2,062
PHILIPPINES
0.1%
Government
Bonds
0.1%
Republic
of
Philippines,
6.25%,
1/14/36
23,000,000
414
Total
Philippines
(Cost
$541
)
414
PORTUGAL
0.0%
Common
Stocks
0.0%
Galp
Energia
1,131
15
Jeronimo
Martins
795
22
Total
Portugal
(Cost
$27
)
37
QATAR
0.1%
Corporate
Bonds
0.1%
QatarEnergy,
3.125%,
7/12/41
(USD)
370,000
282
Total
Qatar
(Cost
$281
)
282
ROMANIA
0.4%
Corporate
Bonds
0.1%
Banca
Transilvania,
VR,
8.875%,
4/27/27
(EUR) (6)
400,000
460
460
Government
Bonds
0.3%
Republic
of
Romania,
2.125%,
3/7/28
(EUR)
220,000
215
Republic
of
Romania,
3.00%,
2/27/27
(USD)
260,000
237
Republic
of
Romania,
Series
10Y,
5.00%,
2/12/29
2,500,000
523
975
Total
Romania
(Cost
$1,568
)
1,435
SAUDI
ARABIA
0.1%
Corporate
Bonds
0.0%
Riyad
Sukuk,
VR,
3.174%,
2/25/30
(USD) (6)
200,000
192
192
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
16
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Government
Bonds
0.1%
KSA
Sukuk,
4.303%,
1/19/29
(USD) (5)
300,000
294
294
Total
Saudi
Arabia
(Cost
$498
)
486
SENEGAL
0.1%
Government
Bonds
0.1%
Republic
of
Senegal,
6.25%,
5/23/33
(USD) (5)
310,000
268
Total
Senegal
(Cost
$291
)
268
SERBIA
0.2%
Government
Bonds
0.2%
Republic
of
Serbia,
6.25%,
5/26/28
(USD)
300,000
301
Republic
of
Serbia,
Series
12.5,
4.50%,
8/20/32
59,160,000
497
Total
Serbia
(Cost
$953
)
798
SINGAPORE
0.0%
Common
Stocks
0.0%
CapitaLand
Integrated
Commercial
Trust
5,800
9
Total
Singapore
(Cost
$9
)
9
SOUTH
AFRICA
0.6%
Corporate
Bonds
0.1%
Transnet,
8.25%,
2/6/28
(USD) (1)(5)
200,000
199
199
Government
Bonds
0.5%
Republic
of
South
Africa,
Series
R213,
7.00%,
2/28/31
18,350,000
836
Republic
of
South
Africa,
Series
2030,
8.00%,
1/31/30
8,210,000
412
Republic
of
South
Africa,
Series
2048,
8.75%,
2/28/48
13,199,000
545
1,793
Total
South
Africa
(Cost
$2,210
)
1,992
SOUTH
KOREA
0.1%
Common
Stocks
0.0%
Hyundai
Mobis
149
27
Samsung
Electronics
1,863
102
129
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
17
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Corporate
Bonds
0.1%
SK
Hynix,
6.375%,
1/17/28
(USD) (1)
200,000
203
203
Total
South
Korea
(Cost
$313
)
332
SPAIN
0.2%
Common
Stocks
0.2%
Amadeus
IT
Group,
Class
A
10,439
749
Cellnex
Telecom
134
5
Total
Spain
(Cost
$612
)
754
SRI
LANKA
0.2%
Government
Bonds
0.2%
Republic
of
Sri
Lanka,
6.825%,
7/18/26
(USD) (2)(7)
310,000
144
Republic
of
Sri
Lanka,
6.85%,
11/3/25
(USD) (2)(7)
560,000
259
Republic
of
Sri
Lanka
Treasury
Bills,
Series
91,
17.50%,
10/6/23
92,000,000
277
Total
Sri
Lanka
(Cost
$655
)
680
SURINAME
0.3%
Government
Bonds
0.3%
Republic
of
Suriname,
9.25%,
10/26/26
(USD) (2)(7)
1,200,000
1,004
Total
Suriname
(Cost
$883
)
1,004
SWEDEN
0.4%
Bank
Loans
0.2%
(3)
Anticimex
Global,
FRN,
3M
USD
LIBOR
+
3.40%,
8.45%,
11/16/28
(USD)
591,000
584
Anticimex
Global,
FRN,
3M
USD
LIBOR
+
3.90%,
9.164%,
11/16/28
(USD)
98,500
97
681
Common
Stocks
0.1%
Epiroc,
Class
B
398
7
Sandvik
971
20
Spotify
Technology
(USD) (2)
163
24
Svenska
Cellulosa,
Class
B
28,251
375
426
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
18
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Corporate
Bonds
0.1%
Castellum,
2.125%,
11/20/23
(EUR)
200,000
217
217
Total
Sweden
(Cost
$1,336
)
1,324
SWITZERLAND
0.2%
Common
Stocks
0.1%
Cie
Financiere
Richemont,
Class
A
1,942
313
Julius
Baer
Group
432
31
Montana
Aerospace (2)
1,045
16
Nestle
745
91
On
Holding,
Class
A
(USD) (2)(5)
444
16
Roche
Holding
46
14
481
Corporate
Bonds
0.1%
UBS
Group,
3.75%,
3/26/25
(USD)
250,000
242
242
Total
Switzerland
(Cost
$699
)
723
TAIWAN
0.3%
Common
Stocks
0.3%
Taiwan
Semiconductor
Manufacturing
40,000
722
Taiwan
Semiconductor
Manufacturing,
ADR
(USD)
2,093
208
Total
Taiwan
(Cost
$889
)
930
THAILAND
0.6%
Corporate
Bonds
0.2%
Bangkok
Bank,
VR,
3.733%,
9/25/34
(USD) (6)
310,000
267
Indorama
Ventures
Global
Services,
4.375%,
9/12/24
(USD)
300,000
290
Thaioil
Treasury
Center,
3.50%,
10/17/49
(USD)
310,000
199
756
Government
Bonds
0.4%
Kingdom
of
Thailand,
3.60%,
6/17/67
10,500,000
302
Kingdom
of
Thailand,
Series
ILB,
Inflation-Indexed,
1.25%,
3/12/28
28,475,432
794
1,096
Total
Thailand
(Cost
$2,063
)
1,852
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
19
Shares/Par
$
Value
(Cost
and
value
in
$000s)
UNITED
ARAB
EMIRATES
0.1%
Corporate
Bonds
0.1%
Sweihan
PV
Power,
3.625%,
1/31/49
(USD)
340,753
274
Total
United
Arab
Emirates
(Cost
$275
)
274
UNITED
KINGDOM
2.2%
Bank
Loans
0.1%
(3)
EG
America,
FRN,
1M
TSFR
+
4.00%,
2/7/25
(USD) (10)
500,000
497
497
Common
Stocks
0.7%
Ashtead
Group
5,053
374
AstraZeneca,
ADR
(USD)
993
71
BP,
ADR
(USD)
1,112
42
Compass
Group
1,374
36
Derwent
London
10,841
295
Farfetch,
Class
A
(USD) (2)(5)
604
4
Glencore
2,484
15
Immunocore
Holdings,
ADR
(USD) (2)(5)
248
16
London
Stock
Exchange
Group
11,475
1,246
Next
160
14
Novocure
(USD) (2)
232
8
Rentokil
Initial
3,615
29
Shell
2,011
61
Unilever
(EUR)
657
35
UNITE
Group
384
5
Wise,
Class
A (2)
3,146
31
2,282
Corporate
Bonds
0.7%
BAT
Capital,
7.079%,
8/2/43
(USD)
245,000
245
BAT
Capital,
7.081%,
8/2/53
(USD)
195,000
195
Clear
Channel
International,
6.625%,
8/1/25
(USD) (1)(5)
400,000
397
eG
Global
Finance,
8.50%,
10/30/25
(USD) (1)
461,000
456
Rolls-Royce,
3.625%,
10/14/25
(USD) (1)
900,000
852
2,145
Government
Bonds
0.7%
United
Kingdom
Inflation-Linked
Gilt,
Series
3MO,
0.125%,
3/22/24
1,829,901
2,295
2,295
Total
United
Kingdom
(Cost
$6,834
)
7,219
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
20
Shares/Par
$
Value
(Cost
and
value
in
$000s)
UNITED
STATES
39.6%
Asset-Backed
Securities
2.2%
Amur
Equipment
Finance
Receivables
X,
Series
2022-1A,
Class
E,
5.02%,
12/20/28 (1)
465,000
412
Applebee's
Funding,
Series
2023-1A,
Class
A2,
7.824%,
3/5/53 (1)
465,000
460
Blackbird
Capital
Aircraft
Lease
Securitization,
Series
2016-1A,
Class
A,
STEP,
4.213%,
12/16/41 (1)
397,016
365
Carmax
Auto
Owner
Trust,
Series
2019-3,
Class
D,
2.85%,
1/15/26
705,000
702
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
26,713
25
DLLAD,
Series
2023-1A,
Class
A2,
5.19%,
4/20/26 (1)
80,000
79
Elara
HGV
Timeshare
Issuer,
Series
2019-A,
Class
C,
3.45%,
1/25/34 (1)
51,907
48
ExteNet,
Series
2019-1A,
Class
B,
4.14%,
7/25/49 (1)
260,000
249
FOCUS
Brands
Funding,
Series
2018-1,
Class
A2,
5.184%,
10/30/48 (1)
538,163
511
FOCUS
Brands
Funding,
Series
2022-1,
Class
A2,
7.206%,
7/30/52 (1)
247,500
244
Ford
Credit
Auto
Lease
Trust,
Series
2023-A,
Class
A2A,
5.19%,
6/15/25
120,000
120
Hardee's
Funding,
Series
2018-1A,
Class
A2II,
4.959%,
6/20/48 (1)
138,113
129
Hardee's
Funding,
Series
2021-1A,
Class
A2,
2.865%,
6/20/51 (1)
264,600
210
HPS
Loan
Management,
Series
11A-17,
Class
CR,
CLO,
FRN,
3M
USD
LIBOR
+
1.95%,
7.274%,
5/6/30 (1)
335,000
321
JPMorgan
Chase
Bank,
Series
2021-1,
Class
D,
1.174%,
9/25/28 (1)
51,385
50
JPMorgan
Chase
Bank,
Series
2021-3,
Class
D,
1.009%,
2/26/29 (1)
91,752
87
JPMorgan
Chase
Bank,
Series
2021-3,
Class
E,
2.102%,
2/26/29 (1)
186,903
177
Mercedes-Benz
Auto
Receivables
Trust,
Series
2023-1,
Class
A2,
5.09%,
1/15/26
124,919
124
Nissan
Auto
Lease
Trust,
Series
2023-A,
Class
A2A,
5.10%,
3/17/25
125,000
124
Octane
Receivables
Trust,
Series
2021-1A,
Class
A,
0.93%,
3/22/27 (1)
49,467
48
Octane
Receivables
Trust,
Series
2021-2A,
Class
A,
1.21%,
9/20/28 (1)
36,615
35
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
21
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Octane
Receivables
Trust,
Series
2021-2A,
Class
C,
2.53%,
5/21/29 (1)
320,000
282
Octane
Receivables
Trust,
Series
2023-1A,
Class
A,
5.87%,
5/21/29 (1)
80,191
80
Octane
Receivables
Trust,
Series
2023-1A,
Class
D,
7.76%,
3/20/30 (1)
260,000
260
Octane
Receivables
Trust,
Series
2023-1A,
Class
E,
9.25%,
8/20/30 (1)
295,000
273
Progress
Residential
Trust,
Series
2020-SFR2,
Class
B,
2.578%,
6/17/37 (1)
260,000
243
Progress
Residential
Trust,
Series
2020-SFR3,
Class
F,
2.796%,
10/17/27 (1)
140,000
127
Progress
Residential
Trust,
Series
2022-SFR5,
Class
D,
5.734%,
6/17/39 (1)
100,000
96
Santander
Bank,
Series
2021-1A,
Class
B,
1.833%,
12/15/31 (1)
82,724
80
Santander
Bank
Auto
Credit-Linked
Notes,
Series
2022-A,
Class
B,
5.281%,
5/15/32 (1)
318,107
313
Santander
Bank
Auto
Credit-Linked
Notes,
Series
2022-B,
Class
D,
6.793%,
8/16/32 (1)
273,945
273
Santander
Bank
Auto
Credit-Linked
Notes,
Series
2022-C,
Class
D,
8.197%,
12/15/32 (1)
177,448
179
Sierra
Timeshare
Receivables
Funding,
Series
2018-3A,
Class
D,
5.20%,
9/20/35 (1)
89,461
85
Stonepeak,
Series
2021-1A,
Class
B,
3.821%,
2/28/33 (1)
247,277
209
7,085
Bank
Loans
8.2%
(3)
Applied
Systems,
FRN,
3M
TSFR
+
4.50%,
9.742%,
9/18/26
1,296,750
1,298
Aretec
Group,
FRN,
1M
TSFR
+
4.25%,
9.669%,
10/1/25
398,956
399
Asurion,
FRN,
1M
TSFR
+
4.25%,
9.669%,
8/19/28
332,539
318
Asurion,
FRN,
1M
USD
LIBOR
+
3.00%,
8.538%,
11/3/24
830,633
830
Asurion,
FRN,
1M
USD
LIBOR
+
5.25%,
10.683%,
1/31/28
101,879
90
Asurion,
FRN,
1M
USD
LIBOR
+
5.25%,
10.683%,
1/20/29
700,000
610
Boxer
Parent,
FRN,
1M
USD
LIBOR
+
3.75%,
9.183%,
10/2/25
299,119
298
Charter
Communications
Operating,
FRN,
1M
TSFR
+
1.75%,
7.116%,
4/30/25
994,737
993
CIRCOR
International,
FRN,
1M
USD
LIBOR
+
5.50%,
10.919%,
12/20/28
774,852
777
CNT
Holdings
I,
FRN,
1M
TSFR
+
3.50%,
8.80%,
11/8/27
587,970
586
ConnectWise,
FRN,
3M
USD
LIBOR
+
3.50%,
8.933%,
9/29/28
591,000
578
Crown
Finance
U.S.,
FRN,
1M
TSFR
+
11.45%,
7/31/28 (10)
200,000
200
Delta
Topco,
FRN,
3M
USD
LIBOR
+
7.25%,
12.569%,
12/1/28
310,000
290
Edelman
Financial
Engines
Center,
FRN,
1M
USD
LIBOR
+
6.75%,
12.183%,
7/20/26
805,000
783
Engineered
Machinery
Holdings,
FRN,
3M
USD
LIBOR
+
6.00%,
11.538%,
5/21/29 (4)
465,000
439
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
22
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Engineered
Machinery
Holdings,
FRN,
3M
USD
LIBOR
+
6.50%,
12.038%,
5/21/29 (4)
145,000
137
Epicor
Software,
FRN,
1M
TSFR
+
7.75%,
13.169%,
7/31/28
605,000
606
Fertitta
Entertainment,
FRN,
1M
TSFR
+
4.00%,
9.319%,
1/27/29
493,750
488
Fleet
U.S.
Bidco,
FRN,
1M
USD
LIBOR
+
3.00%,
8.433%,
10/7/26 (4)
86,444
86
Heartland
Dental,
FRN,
3M
USD
LIBOR
+
3.75%,
9.072%,
4/30/25
574,984
574
Infinite
Bidco,
FRN,
3M
USD
LIBOR
+
3.75%,
9.253%,
3/2/28
392,030
383
Infinite
Bidco,
FRN,
3M
USD
LIBOR
+
7.00%,
12.503%,
3/2/29
400,000
340
IRB
Holding,
FRN,
1M
TSFR
+
3.00%,
8.419%,
12/15/27
528,491
525
Life
Time,
FRN,
1M
TSFR
+
4.50%,
9.80%,
1/15/26
1,600,000
1,605
LTI
Holdings,
FRN,
1M
USD
LIBOR
+
3.50%,
8.933%,
9/6/25
398,953
384
LTI
Holdings,
FRN,
1M
USD
LIBOR
+
6.75%,
9/6/26 (10)
120,000
105
MH
Sub
I,
FRN,
1M
USD
LIBOR
+
3.75%,
9.183%,
9/13/24
177,147
177
MH
Sub
I,
FRN,
3M
USD
LIBOR
+
3.75%,
9.183%,
9/13/24
255,440
255
MIC
Glen,
FRN,
1M
USD
LIBOR
+
3.50%,
8.933%,
7/21/28
195,750
193
MIC
Glen,
FRN,
1M
USD
LIBOR
+
6.75%,
12.169%,
7/20/29
800,000
736
NCL
Corp.,
FRN,
1M
TSFR
+
2.25%,
7.592%,
1/2/25
397,385
390
Neptune
Bidco
U.S.,
FRN,
1M
TSFR
+
5.00%,
10.398%,
4/11/29
238,403
211
Project
Ruby
Ultimate
Parent,
FRN,
1M
USD
LIBOR
+
3.25%,
8.683%,
3/10/28
587,235
579
RealPage,
FRN,
1M
USD
LIBOR
+
3.00%,
8.433%,
4/24/28
849,863
834
RealPage,
FRN,
1M
USD
LIBOR
+
6.50%,
11.933%,
4/23/29
795,000
789
Recorded
Books,
FRN,
1M
TSFR
+
4.00%,
8/31/25 (10)
500,000
500
S2P
Acquisition
Borrower,
FRN,
1M
TSFR
+
4.00%,
9.419%,
8/14/26
277,560
277
Select
Medical,
FRN,
1M
TSFR
+
2.50%,
7.919%,
3/6/25
1,000,000
997
Sophia,
FRN,
3M
USD
LIBOR
+
3.50%,
9.038%,
10/7/27
992,208
986
Surgery
Center
Holdings,
FRN,
1M
USD
LIBOR
+
3.75%,
9.119%,
8/31/26
500,000
500
Tacala
Investment,
FRN,
1M
USD
LIBOR
+
3.50%,
8.933%,
2/5/27
489,664
484
Tacala
Investment,
FRN,
1M
USD
LIBOR
+
7.50%,
12.933%,
2/4/28
495,000
468
Univision
Communications,
FRN,
3M
USD
LIBOR
+
2.75%,
8.183%,
3/15/24
144,097
143
Upbound
Group,
FRN,
1M
USD
LIBOR
+
3.25%,
8.881%,
2/17/28 (4)
409,220
408
Verscend
Holding,
FRN,
1M
USD
LIBOR
+
4.00%,
9.433%,
8/27/25
498,221
497
Wand
NewCo
3,
FRN,
1M
USD
LIBOR
+
2.75%,
8.169%,
2/5/26
712,233
711
William
Morris
Endeavor
Entertainment,
FRN,
3M
USD
LIBOR
+
2.75%,
8.183%,
5/18/25
2,100,632
2,095
Woof
Holdings,
FRN,
3M
USD
LIBOR
+
3.75%,
9.17%,
12/21/27 (4)
509,035
490
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
23
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Woof
Holdings,
FRN,
3M
USD
LIBOR
+
7.25%,
12.696%,
12/21/28 (4)
580,000
476
26,918
Common
Stocks
12.6%
10X
Genomics,
Class
A (2)
185
12
AbbVie
108
16
ACADIA
Pharmaceuticals (2)
327
10
Acadia
Realty
Trust,
REIT
461
7
Accenture,
Class
A
1,202
380
Activision
Blizzard (2)
14,438
1,339
Adobe (2)
989
540
Advanced
Micro
Devices (2)
6,277
718
Agilent
Technologies
275
33
agilon
health (2)
466
9
Air
Lease
564
24
Airbnb,
Class
A (2)
66
10
Alexandria
Real
Estate
Equities,
REIT
48
6
Alnylam
Pharmaceuticals (2)
191
37
Alphabet,
Class
A (2)
5,590
742
Alphabet,
Class
C (2)
866
115
Altera
Infrastructure,
Acquisition
Date:
1/19/23,
Cost $15 (2)(4)
(8)
700
18
Amazon.com (2)
18,823
2,516
Ameren
109
9
American
Homes
4
Rent,
Class
A,
REIT
279
10
American
International
Group
1,359
82
American
Tower,
REIT
124
24
Ameriprise
Financial
166
58
Analog
Devices
688
137
Apellis
Pharmaceuticals (2)
228
6
Apogee
Therapeutics (2)
9,715
208
Apollo
Global
Management
704
58
Apple
11,713
2,301
Apple
Hospitality
REIT,
REIT
214
3
Aptiv (2)
289
32
Arch
Capital
Group (2)
410
32
Armstrong
World
Industries
287
22
Arthur
J
Gallagher
101
22
AT&T
2,049
30
Atlanta
Braves
Holdings,
Class
C (2)
1
—
Atlassian,
Class
A (2)
855
156
Atmus
Filtration
Technologies (2)
974
23
AvalonBay
Communities,
REIT
85
16
Avantor (2)
529
11
Axis
Capital
Holdings
624
34
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
24
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Baker
Hughes
3,398
122
Ball
588
34
Bank
of
America
3,972
127
Bank
of
New
York
Mellon
1,247
57
Barings
BDC (5)
1,410
12
Battery
Future
Acquisition,
Warrants,
5/26/28 (2)
36,700
4
Beard
Energy
Transition
Acquisition,
Warrants,
12/31/27 (2)
37,050
3
Becton
Dickinson
&
Company
128
36
Belden
145
14
BILL
Holdings (2)
289
36
Biogen (2)
41
11
BioMarin
Pharmaceutical (2)
128
11
Bio-Techne
99
8
Black
Knight (2)
11,939
840
Block,
Class
A (2)
1,453
117
Blueprint
Medicines (2)
234
15
Boeing (2)
982
235
Booking
Holdings (2)
14
42
Booz
Allen
Hamilton
Holding
289
35
Boston
Scientific (2)
207
11
BRC,
Class
A (2)(5)
801
4
Bright
Horizons
Family
Solutions (2)
2,112
205
Broadcom
12
11
Bruker
185
13
Burlington
Stores (2)
316
56
C4
Therapeutics (2)
383
1
Cactus,
Class
A
243
12
Cadence
Bank
415
10
Cadence
Design
Systems (2)
925
216
Camden
Property
Trust,
REIT
54
6
Canva,
Acquisition
Date:
8/16/21
-
12/22/21,
Cost $245 (2)(4)(8)
144
102
Capital
One
Financial
771
90
Capitalworks
Emerging
Markets
Acquisition,
Warrants,
4/27/28 (2)
36,400
3
Catalent (2)
143
7
Cava
Group (2)
992
57
Cboe
Global
Markets
327
46
CC
Neuberger
Principal
Holdings
III,
Class
A,
Warrants,
12/31/27 (2)
8,398
2
Centene (2)
287
20
Cerevel
Therapeutics
Holdings (2)(5)
331
10
Ceridian
HCM
Holding (2)
180
13
CF
Industries
Holdings
274
22
ChampionX
560
20
Charles
River
Laboratories
International (2)
51
11
Charles
Schwab
10,401
687
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
25
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Charter
Communications,
Class
A (2)
73
30
Chesapeake
Energy (5)
370
31
Chevron
334
55
Chipotle
Mexican
Grill (2)
17
33
Chubb
3,071
628
Cigna
Group
96
28
Citigroup
1,894
90
CME
Group
130
26
Colgate-Palmolive
7,210
550
Comcast,
Class
A
579
26
Comstock
Resources (5)
806
10
Concord
Acquisition
Corp.
III,
Warrants,
12/31/28 (2)
24,750
1
Confluent,
Class
A (2)
856
30
ConocoPhillips
4,797
565
Cooper
20
8
Corebridge
Financial
12,303
230
Costco
Wholesale
153
86
CSX
1,452
48
CubeSmart,
REIT
243
11
Cummins
224
58
Danaher
1,511
385
Darling
Ingredients (2)
466
32
Denali
Therapeutics (2)
180
5
Devon
Energy
213
11
Dexcom (2)
145
18
Diamondback
Energy
236
35
Discover
Financial
Services
134
14
Dollar
General
205
35
Dollar
Tree (2)
125
19
Dominion
Energy
230
12
DoorDash,
Class
A (2)
599
54
Douglas
Emmett,
REIT (5)
222
3
Doximity,
Class
A (2)(5)
202
7
DraftKings,
Class
A (2)
350
11
East
West
Bancorp
692
43
Elevance
Health
157
74
Eli
Lilly
3,711
1,687
Endeavor
Group
Holdings,
Class
A (2)
686
16
Entegris
632
69
EOG
Resources
418
55
EQRx,
Warrants,
12/20/26 (2)
2,200
—
EQT
6,693
282
Equinix,
REIT
83
67
Equitable
Holdings
1,402
40
Equitrans
Midstream
999
10
Equity
LifeStyle
Properties,
REIT
210
15
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
26
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Equity
Residential,
REIT
224
15
Essex
Property
Trust,
REIT
33
8
Estee
Lauder,
Class
A
83
15
Exact
Sciences (2)
225
22
Exelixis (2)
331
7
Exxon
Mobil
8,293
889
Fate
Therapeutics (2)
310
1
FedEx
261
70
Fifth
Third
Bancorp
2,185
64
First
American
Financial
357
23
First
Citizens
BancShares,
Class
A
189
271
FirstEnergy
197
8
Fiserv (2)
233
29
FleetCor
Technologies (2)
70
17
Floor
&
Decor
Holdings,
Class
A (2)(5)
170
20
FMC
144
14
Freeport-McMoRan
1,000
45
Gaming
&
Leisure
Properties,
REIT
218
10
GE
HealthCare
Technologies
114
9
General
Electric
6,299
720
Global
Payments
221
24
Goldman
Sachs
Group
62
22
Guardant
Health (2)
205
8
Halliburton
606
24
Hartford
Financial
Services
Group
1,216
87
HCA
Healthcare
65
18
Hershey
119
28
Hess
3,953
600
Hilton
Worldwide
Holdings
252
39
Hologic (2)
224
18
Home
Depot
353
118
Honeywell
International
294
57
Hubbell
64
20
HubSpot (2)
568
330
Humana
89
41
Huntington
Bancshares
4,666
57
Huntington
Ingalls
Industries
101
23
Illumina (2)
30
6
Inari
Medical (2)(5)
129
7
Incyte (2)
113
7
Infinite
Acquisition,
Warrants,
11/23/28 (2)
37,454
5
Infinite
Acquisition,
Class
A (2)
74,909
795
Ingersoll
Rand
745
49
Insmed (2)
379
8
Insulet (2)
60
17
Intellia
Therapeutics (2)
69
3
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
27
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Interpublic
Group
280
10
Intuit
56
29
Intuitive
Surgical (2)
784
254
Invesco
1,731
29
Ionis
Pharmaceuticals (2)
177
7
JB
Hunt
Transport
Services
212
43
JPMorgan
Chase
423
67
Karuna
Therapeutics (2)
105
21
Kemper
248
13
Kenvue (2)
3,517
83
Keurig
Dr
Pepper
811
28
Kilroy
Realty,
REIT
71
3
KKR
644
38
Kosmos
Energy (2)
3,235
23
L3Harris
Technologies
228
43
Lam
Research
81
58
Lamar
Advertising,
Class
A,
REIT
83
8
Liberty
Media-Liberty
Formula
One,
Class
C (2)
8,222
597
Linde
259
101
Live
Nation
Entertainment (2)
139
12
LPL
Financial
Holdings
216
50
Lululemon
Athletica (2)
69
26
M&T
Bank
109
15
Magnolia
Oil
&
Gas,
Class
A
669
15
Main
Street
Capital (5)
162
7
Marathon
Petroleum
181
24
Marsh
&
McLennan
438
83
Marvell
Technology
4,895
319
Mastercard,
Class
A
1,501
592
McDonald's
242
71
Merck
792
84
Meta
Platforms,
Class
A (2)
4,511
1,437
MetLife
915
58
Mettler-Toledo
International (2)
6
8
MGM
Resorts
International
308
16
Microsoft
5,565
1,869
Middleby (2)
165
25
Mirati
Therapeutics (2)
143
4
Moderna (2)
72
8
Molina
Healthcare (2)
110
33
Mondelez
International,
Class
A
599
44
MongoDB (2)
288
122
Monster
Beverage (2)
660
38
Morgan
Stanley
7,155
655
Mueller
Water
Products,
Class
A
1,343
22
Nabors
Energy
Transition,
Warrants,
11/17/26 (2)
25,200
4
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
28
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Netflix (2)
1,241
545
Neurocrine
Biosciences (2)
56
6
Newmont
511
22
News,
Class
A
628
12
NextEra
Energy
287
21
NIKE,
Class
B
423
47
Noble (2)(5)
267
14
Norfolk
Southern
65
15
NOV
5,334
107
NVIDIA
3,258
1,522
Old
Dominion
Freight
Line
579
243
Omnicom
Group
125
11
OneMain
Holdings
207
9
Onyx
Acquisition
I,
Class
A,
Warrants,
11/30/28 (2)
24,800
1
O'Reilly
Automotive (2)
46
43
Pacific
Biosciences
of
California (2)
469
6
Packaging
Corp.
of
America
93
14
Patreon,
Acquisition
Date:
10/14/21,
Cost $9 (2)(4)(8)
165
2
Paycom
Software
14
5
Paylocity
Holding (2)
129
29
PennyMac
Financial
Services
174
13
Penumbra (2)
114
35
PepsiCo
2,618
491
Pfizer
565
20
PG&E (2)
3,678
65
Pioneer
Natural
Resources
160
36
PNC
Financial
Services
Group
54
7
Popular
415
30
PotlatchDeltic,
REIT
178
10
Power
&
Digital
Infrastructure
Acquisition
II,
Warrants,
12/14/28 (2)
36,900
3
Procter
&
Gamble
3,579
559
Prologis,
REIT
307
38
PROOF
Acquisition
Corp.
I,
Warrants,
12/3/28 (2)
36,400
4
Prothena (2)
128
9
Public
Storage,
REIT
59
17
Quaker
Chemical (5)
137
27
QUALCOMM
205
27
Quanta
Services
77
16
QuidelOrtho (2)
48
4
Range
Resources
1,116
35
Raymond
James
Financial
417
46
Rayonier,
REIT
383
13
RCF
Acquisition,
Warrants,
11/10/26 (2)
24,850
3
Regency
Centers,
REIT
196
13
Regeneron
Pharmaceuticals (2)
107
79
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
29
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Reinsurance
Group
of
America
77
11
Reliance
Steel
&
Aluminum
38
11
RenaissanceRe
Holdings
203
38
Repligen (2)
55
9
Rexford
Industrial
Realty,
REIT
166
9
Rivian
Automotive,
Class
A (2)(5)
1,407
39
ROBLOX,
Class
A (2)
637
25
Roper
Technologies
196
97
Ross
Stores
146
17
Royalty
Pharma,
Class
A
257
8
RPM
International
138
14
Saia (2)
11
5
Salesforce (2)
120
27
Sarepta
Therapeutics (2)
95
10
SBA
Communications,
REIT
45
10
Schlumberger
6,923
404
Sealed
Air
63
3
Seaport
Global
Acquisition
II,
Warrants,
11/17/26 (2)
24,625
2
Seer (2)
386
2
ServiceNow (2)
643
375
Sherwin-Williams
1,336
369
Shoals
Technologies
Group,
Class
A (2)
512
13
Shockwave
Medical (2)
75
20
Simon
Property
Group,
REIT
140
17
Skyward
Specialty
Insurance
Group (2)
550
13
Snap,
Class
A (2)
328
4
Snowflake,
Class
A (2)
23
4
Socure,
Acquisition
Date:
12/22/21,
Cost $1 (2)(4)(8)
89
—
SolarEdge
Technologies (2)
71
17
Southern
275
20
Southwest
Airlines
583
20
Southwestern
Energy (2)
3,630
24
Stanley
Black
&
Decker
442
44
Starbucks
306
31
State
Street
563
41
StepStone
Group,
Class
A
588
16
Structure
Therapeutics,
ADR (2)
1,282
47
Stryker
217
61
Sun
Communities,
REIT
66
9
Synopsys (2)
1,281
579
T-Mobile
U.S. (2)
4,961
683
TechnipFMC (2)
3,436
63
Teleflex
41
10
Terreno
Realty,
REIT
127
8
Tesla (2)
1,695
453
Textron
107
8
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
30
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Thermo
Fisher
Scientific
206
113
Trade
Desk,
Class
A (2)
268
24
Tradeweb
Markets,
Class
A
853
70
TransDigm
Group
48
43
Travelers
176
30
Trimble (2)
9,342
503
Trinity
Capital (5)
491
7
Truist
Financial
757
25
Tyler
Technologies (2)
28
11
U.S.
Bancorp
1,989
79
Uber
Technologies (2)
847
42
Ultragenyx
Pharmaceutical (2)
212
9
Union
Pacific
54
13
United
Parcel
Service,
Class
B
77
14
UnitedHealth
Group
1,755
889
UTA
Acquisition,
Warrants,
10/30/26 (2)
24,150
1
UTA
Acquisition,
Class
A (2)
48,300
514
Valero
Energy
176
23
Veeva
Systems,
Class
A (2)
68
14
Ventas,
REIT
221
11
VeriSign (2)
70
15
Verizon
Communications
1,314
45
Verra
Mobility (2)
800
17
Vertex
Pharmaceuticals (2)
189
67
Virtus
Investment
Partners
131
27
Visa,
Class
A
307
73
Voya
Financial
129
10
Vulcan
Materials
55
12
Walt
Disney (2)
374
33
Warby
Parker,
Class
A (2)
207
3
Warner
Music
Group,
Class
A
91
3
Webster
Financial
1,054
50
Wells
Fargo
1,899
88
Welltower,
REIT
194
16
West
Pharmaceutical
Services
55
20
Western
Alliance
Bancorp
610
32
Westrock
303
10
Williams
525
18
Wingstop
86
14
Workday,
Class
A (2)
216
51
Zebra
Technologies,
Class
A (2)
31
10
Zentalis
Pharmaceuticals (2)
160
4
Zimmer
Biomet
Holdings
102
14
Zoetis
333
63
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
31
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Zscaler (2)
214
34
41,635
Convertible
Bonds
0.5%
Air
Transport
Services
Group,
1.125%,
10/15/24
200,000
192
NCL,
6.00%,
5/15/24
236,000
394
U.S.
Steel,
5.00%,
11/1/26
477,000
952
1,538
Convertible
Preferred
Stocks
0.1%
ABL
Space
Systems,
Series
B-2,
Acquisition
Date:
10/22/21,
Cost $91 (2)(4)(8)
1,345
43
Canva,
Series
A,
Acquisition
Date:
11/4/21
-
12/17/21,
Cost $14 (2)(4)(8)
8
6
Canva,
Series
A-3,
Acquisition
Date:
12/17/21,
Cost $2 (2)(4)(8)
1
1
CELLINK,
Series
D,
Acquisition
Date:
1/20/22,
Cost $9 (2)(4)(8)
423
6
Coalition,
Series
E,
Acquisition
Date:
9/7/21,
Cost $23 (2)(4)(8)
1,376
23
Databricks,
Series
H,
Acquisition
Date:
8/31/21,
Cost $60 (2)(4)
(8)
816
60
Eikon
Therapeutics,
Series
B,
Acquisition
Date:
12/3/21,
Cost $6 (2)(4)(8)
330
7
Epirus,
Series
C-2,
Acquisition
Date:
1/28/22,
Cost $11 (2)(4)(8)
1,889
9
Formagrid,
Series
F,
Acquisition
Date:
12/8/21,
Cost $42 (2)(4)
(8)
222
14
Freenome
Holdings,
Series
D,
Acquisition
Date:
11/22/21,
Cost $26 (2)(4)(8)
3,412
40
Generate
Bio,
Series
B,
Acquisition
Date:
9/2/21,
Cost $8 (2)(4)
(8)
666
8
Jetti
Holdings,
Series
D,
Acquisition
Date:
9/20/22,
Cost $8 (2)
(4)(8)
63
8
Kobold
Metals,
Series
B-1,
Acquisition
Date:
1/10/22,
Cost $10 (2)(4)(8)
384
16
Laronde,
Series
B,
Acquisition
Date:
7/28/21,
Cost $4 (2)(4)(8)
162
1
Lilac
Solutions,
Series
B,
Acquisition
Date:
9/8/21,
Cost $15 (2)
(4)(8)
1,156
16
Nuro,
Series
D,
Acquisition
Date:
10/29/21,
Cost $26 (2)(4)(8)
1,232
8
Patreon,
Series
D,
Acquisition
Date:
10/21/21,
Cost $13 (2)(4)(8)
238
3
Rappi,
Series
E,
Acquisition
Date:
9/8/20,
Cost $109 (2)(4)(8)
1,822
66
Rappi,
Series
F,
Acquisition
Date:
7/8/21,
Cost $34 (2)(4)(8)
534
19
Redwood
Materials,
Series
C,
Acquisition
Date:
6/2/23,
Cost $3 (2)(4)(8)
69
3
Socure,
Series
A,
Acquisition
Date:
12/22/21,
Cost $2 (2)(4)(8)
109
1
Socure,
Series
A-1,
Acquisition
Date:
12/22/21,
Cost $1 (2)(4)(8)
89
—
Socure,
Series
B,
Acquisition
Date:
12/22/21,
Cost $— (2)(4)(8)
2
—
Socure,
Series
E,
Acquisition
Date:
10/27/21,
Cost $3 (2)(4)(8)
207
1
Treeline,
Series
A,
Acquisition
Date:
9/26/22,
Cost $1 (2)(4)(8)
88
1
360
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
32
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Corporate
Bonds
12.4%
Ally
Financial,
5.75%,
11/20/25 (5)
165,000
160
Arconic,
6.125%,
2/15/28 (1)
1,000,000
1,025
Ardagh
Packaging
Finance,
5.25%,
4/30/25 (1)
2,400,000
2,346
Arsenal
AIC
Parent,
8.00%,
10/1/30 (1)
165,000
168
At
Home
Group,
4.875%,
7/15/28 (1)
240,000
132
B&G
Foods,
5.25%,
4/1/25
300,000
285
Broadcom
Corp.,
3.625%,
1/15/24
500,000
495
Capital
One
Financial,
VR,
6.312%,
6/8/29 (6)
95,000
95
Capital
One
Financial,
VR,
6.377%,
6/8/34 (6)
95,000
96
Capstone
Borrower,
8.00%,
6/15/30 (1)
330,000
327
Carnival,
4.00%,
8/1/28 (1)
495,000
439
Carpenter
Technology,
7.625%,
3/15/30
255,000
259
CEC
Entertainment,
6.75%,
5/1/26 (1)
110,000
105
Cedar
Fair,
5.50%,
5/1/25 (1)
600,000
592
Celanese
U.S.
Holdings,
5.90%,
7/5/24 (5)
1,000,000
999
Charles
Schwab,
VR,
5.643%,
5/19/29 (6)
100,000
101
Charles
Schwab,
VR,
5.853%,
5/19/34 (6)
80,000
82
Charter
Communications
Operating,
FRN,
3M
TSFR
+
1.912%,
7.284%,
2/1/24
2,000,000
2,010
Cinemark
USA,
5.875%,
3/15/26 (1)(5)
500,000
472
Citgo
Holding,
9.25%,
8/1/24 (1)
400,000
399
Comstock
Resources,
5.875%,
1/15/30 (1)
235,000
207
CSC
Holdings,
5.25%,
6/1/24 (5)
170,000
159
CSC
Holdings,
6.50%,
2/1/29 (1)
355,000
300
Diamond
Sports
Group,
5.375%,
8/15/26 (1)(2)(7)
345,000
10
DISH
Network,
11.75%,
11/15/27 (1)
580,000
584
Elanco
Animal
Health,
6.022%,
8/28/23
217,000
217
Fifth
Third
Bancorp,
2.375%,
1/28/25
35,000
33
Fifth
Third
Bancorp,
4.30%,
1/16/24
400,000
396
Global
Net
Lease,
3.75%,
12/15/27 (1)(5)
610,000
485
GPD,
10.125%,
4/1/26 (1)
450,000
416
GrafTech
Global
Enterprises,
9.875%,
12/15/28 (1)
360,000
365
Graphic
Packaging
International,
4.125%,
8/15/24
500,000
489
HCA,
5.00%,
3/15/24
3,000,000
2,977
Hightower
Holding,
6.75%,
4/15/29 (1)
245,000
216
Howmet
Aerospace,
5.125%,
10/1/24
858,000
849
Hyundai
Capital
America,
5.50%,
3/30/26 (1)
70,000
70
iHeartCommunications,
4.75%,
1/15/28 (1)(5)
535,000
411
Jane
Street
Group,
4.50%,
11/15/29 (1)(5)
520,000
454
LCPR
Senior
Secured
Financing,
5.125%,
7/15/29 (1)
430,000
356
LifePoint
Health,
9.875%,
8/15/30 (1)
500,000
500
Live
Nation
Entertainment,
4.875%,
11/1/24 (1)
1,100,000
1,085
Neptune
Bidco
U.S.,
9.29%,
4/15/29 (1)
615,000
566
NGL
Energy
Partners,
6.125%,
3/1/25 (5)
38,000
37
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
33
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Ovintiv,
6.25%,
7/15/33
250,000
252
Ovintiv,
7.10%,
7/15/53
380,000
404
Pacific
Gas
&
Electric,
6.75%,
1/15/53
665,000
664
Perrigo
Finance
Unlimited,
3.90%,
12/15/24
600,000
577
Rivian
Holdings,
FRN,
6M
USD
LIBOR
+
5.625%,
10.931%,
10/15/26 (1)
175,000
175
Seadrill
Finance,
8.375%,
8/1/30 (1)
200,000
204
SeaWorld
Parks
&
Entertainment,
8.75%,
5/1/25 (1)
400,000
405
Service
Properties
Trust,
4.35%,
10/1/24
200,000
192
Service
Properties
Trust,
4.65%,
3/15/24
900,000
884
Service
Properties
Trust,
7.50%,
9/15/25
600,000
593
Shutterfly
Finance,
8.50%,
10/1/27,
(4.25%
Cash
and
4.25%
PIK) (1)(11)
297,000
192
Shutterfly
Finance,
9.75%,
10/1/27 (1)
36,006
36
Southern,
VR,
1.875%,
9/15/81
(EUR) (6)
230,000
199
Sprint,
7.875%,
9/15/23
2,700,000
2,707
Stagwell
Global,
5.625%,
8/15/29 (1)
633,000
536
Surgery
Center
Holdings,
10.00%,
4/15/27 (1)(5)
300,000
307
Syneos
Health,
3.625%,
1/15/29 (1)
900,000
892
Talen
Energy
Supply,
8.625%,
6/1/30 (1)
330,000
342
Teekay
Offshore
Partners,
EC,
8.50%,
7/15/23 (1)(2)(4)
170,000
—
Tenet
Healthcare,
4.875%,
1/1/26
300,000
290
Townsquare
Media,
6.875%,
2/1/26 (1)(5)
530,000
511
U.S.
Airways
PTT,
Series
2013-1,
Class
A,
3.95%,
11/15/25
43,157
40
U.S.
Foods,
6.25%,
4/15/25 (1)
1,400,000
1,400
United
Airlines,
4.375%,
4/15/26 (1)
375,000
354
United
Wholesale
Mortgage,
5.50%,
11/15/25 (1)
300,000
288
Univar
Solutions
USA,
5.125%,
12/1/27 (1)
1,300,000
1,328
Venture
Global
LNG,
8.125%,
6/1/28 (1)
400,000
406
Venture
Global
LNG,
8.375%,
6/1/31 (1)
815,000
827
Verscend
Escrow,
9.75%,
8/15/26 (1)
1,200,000
1,200
VICI
Properties,
5.625%,
5/1/24 (1)
2,000,000
1,990
Vistra,
VR,
7.00% (1)(6)(9)
197,000
175
Vistra,
VR,
8.00% (1)(6)(9)
205,000
196
Vistra
Operations,
5.125%,
5/13/25 (1)
525,000
512
40,847
Municipal
Securities
0.6%
Colorado
HFA,
Covenant
Living
Community,
Series
B,
4.48%,
12/1/40
250,000
205
Illinois,
Build
America,
GO,
7.10%,
7/1/35
165,000
175
Michigan
Tobacco
Settlement
Fin.
Auth.,
Series
B,
Zero
Coupon,
6/1/46
30,000
3
Port
Beaumont
Navigation
Dist.,
Jefferson
Gulf
Coast,
Series
B,
6.00%,
1/1/25 (1)
225,000
212
Puerto
Rico
Commonwealth,
GO,
VR,
11/1/43 (12)
1,016,201
521
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
34
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Puerto
Rico
Commonwealth,
Restructured,
Series
A,
GO,
Zero
Coupon,
7/1/24
7,433
7
Puerto
Rico
Commonwealth,
Restructured,
Series
A,
GO,
Zero
Coupon,
7/1/33
58,668
36
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
38
Puerto
Rico
Commonwealth,
Restructured,
Series
A-1,
GO,
4.00%,
7/1/37
35,170
32
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
41
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 (2)(13)
45,000
17
Puerto
Rico
Electric
Power
Auth.,
Build
America,
6.05%,
7/1/32 (2)(13)
370,000
138
Tobacco
Settlement
Fin.,
Series
A-1,
6.706%,
6/1/46
280,000
250
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
43
2,115
Non-U.S.
Government
Mortgage-Backed
Securities
2.1%
BAMLL
Commercial
Mortgage
Securities
Trust,
Series
2021-
JACX,
Class
D,
ARM,
1M
TSFR
+
2.864%,
8.086%,
9/15/38 (1)
515,000
429
BAMLL
Commercial
Mortgage
Securities
Trust,
Series
2021-
JACX,
Class
E,
ARM,
1M
TSFR
+
3.864%,
9.086%,
9/15/38 (1)
100,000
80
BBCMS
Mortgage
Trust,
Series
2019-BWAY,
Class
E,
ARM,
1M
TSFR
+
2.964%,
8.186%,
11/15/34 (1)
130,000
34
BFLD,
Series
2019-DPLO,
Class
F,
ARM,
1M
TSFR
+
2.654%,
7.876%,
10/15/34 (1)
85,000
82
BX
Commercial
Mortgage
Trust,
Series
2019-IMC,
Class
E,
ARM,
1M
TSFR
+
2.264%,
7.486%,
4/15/34 (1)
160,000
156
BX
Trust,
Series
2021-VIEW,
Class
F,
ARM,
1M
TSFR
+
4.044%,
9.266%,
6/15/36 (1)
160,000
141
Cantor
Commercial
Real
Estate
Lending,
Series
2019-CF1,
Class
65C,
ARM,
4.123%,
5/15/52 (1)
125,000
103
Cantor
Commercial
Real
Estate
Lending,
Series
2019-CF1,
Class
65D,
ARM,
4.66%,
5/15/52 (1)
80,000
57
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
35
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Commercial
Mortgage
Trust,
Series
2014-CR19,
Class
AM,
4.08%,
8/10/47
155,000
150
Commercial
Mortgage
Trust,
Series
2014-CR19,
Class
E,
ARM,
4.197%,
8/10/47 (1)
175,000
142
Commercial
Mortgage
Trust,
Series
2017-PANW,
Class
D,
ARM,
3.935%,
10/10/29 (1)
325,000
292
Connecticut
Avenue
Securities
Trust,
Series
2022-R01,
Class
1M1,
CMO,
ARM,
SOFR30A
+
1.00%,
6.069%,
12/25/41 (1)
121,815
121
Connecticut
Avenue
Securities
Trust,
Series
2022-R04,
Class
1M2,
CMO,
ARM,
SOFR30A
+
3.10%,
8.169%,
3/25/42 (1)
60,000
61
Connecticut
Avenue
Securities
Trust,
Series
2022-R06,
Class
1M1,
CMO,
ARM,
SOFR30A
+
2.75%,
7.819%,
5/25/42 (1)
57,892
59
Credit
Suisse
Mortgage
Trust,
Series
2020-TMIC,
Class
C,
ARM,
1M
TSFR
+
7.364%,
12.586%,
12/15/35 (1)
100,000
99
Finance
of
America
HECM
Buyout,
Series
2022-HB1,
Class
M3,
ARM,
5.084%,
2/25/32 (1)
460,000
399
Great
Wolf
Trust,
Series
2019-WOLF,
Class
F,
ARM,
1M
TSFR
+
3.245%,
8.467%,
12/15/36 (1)
180,000
174
Imperial
Fund
Mortgage
Trust,
Series
2023-NQM1,
Class
M1,
CMO,
ARM,
8.257%,
2/25/68 (1)
500,000
503
JPMorgan
Mortgage
Trust,
Series
2022-LTV1,
Class
A2,
CMO,
ARM,
3.52%,
7/25/52 (1)
89,488
75
Oceanview
Mortgage
Loan
Trust,
Series
2020-1,
Class
A3,
CMO,
ARM,
3.285%,
5/28/50 (1)
115,000
90
Structured
Agency
Credit
Risk
Debt
Notes,
Series
2022-DNA2,
Class
M1A,
CMO,
ARM,
SOFR30A
+
1.30%,
6.369%,
2/25/42 (1)
98,805
99
Structured
Agency
Credit
Risk
Debt
Notes,
Series
2022-DNA2,
Class
M2,
CMO,
ARM,
SOFR30A
+
3.75%,
8.819%,
2/25/42 (1)
665,000
682
Structured
Agency
Credit
Risk
Debt
Notes,
Series
2022-DNA3,
Class
M1B,
CMO,
ARM,
SOFR30A
+
2.90%,
7.969%,
4/25/42 (1)
195,000
198
Structured
Agency
Credit
Risk
Debt
Notes,
Series
2022-HQA1,
Class
M1A,
CMO,
ARM,
SOFR30A
+
2.10%,
7.169%,
3/25/42 (1)
463,883
466
TRK
Trust,
Series
2022-INV1,
Class
A1,
CMO,
ARM,
2.577%,
2/25/57 (1)
165,235
144
Verus
Securitization
Trust,
Series
2021-2,
Class
M1,
CMO,
ARM,
2.187%,
2/25/66 (1)
175,000
119
Verus
Securitization
Trust,
Series
2021-3,
Class
A1,
CMO,
ARM,
1.046%,
6/25/66 (1)
340,979
286
Verus
Securitization
Trust,
Series
2021-6,
Class
A1,
CMO,
ARM,
1.63%,
10/25/66 (1)
279,131
230
Verus
Securitization
Trust,
Series
2022-1,
Class
A1,
CMO,
STEP,
2.724%,
1/25/67 (1)
191,000
168
Verus
Securitization
Trust,
Series
2022-4,
Class
A2,
CMO,
ARM,
4.74%,
4/25/67 (1)
294,670
277
Verus
Securitization
Trust,
Series
2023-1,
Class
A3,
CMO,
STEP,
6.90%,
12/25/67 (1)
541,314
540
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
36
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Verus
Securitization
Trust,
Series
2023-INV1,
Class
M1,
CMO,
ARM,
7.627%,
2/25/68 (1)
446,000
448
6,904
U.S.
Government
Agency
Obligations
(Excluding
Mortgage-Backed)
0.9%
U.S.
Treasury
Inflation-Indexed
Notes,
0.50%,
4/15/24
1,876,318
1,832
U.S.
Treasury
Notes,
1.625%,
10/31/23
1,170,000
1,159
2,991
Total
United
States
(Cost
$124,827
)
130,393
UZBEKISTAN
0.1%
Government
Bonds
0.1%
Republic
of
Uzbekistan,
3.70%,
11/25/30
(USD)
300,000
248
Total
Uzbekistan
(Cost
$264
)
248
VIETNAM
0.2%
Corporate
Bonds
0.1%
Mong
Duong
Finance
Holdings,
5.125%,
5/7/29
(USD)
380,000
344
344
Government
Bonds
0.1%
Socialist
Republic
of
Vietnam,
4.80%,
11/19/24
(USD)
200,000
196
196
Total
Vietnam
(Cost
$547
)
540
SHORT-TERM
INVESTMENTS
31.5%
Money
Market
Funds
31.5%
T.
Rowe
Price
Government
Reserve
Fund,
5.32% (14)(15)
103,843,302
103,843
Total
Short-Term
Investments
(Cost
$103,843)
103,843
SECURITIES
LENDING
COLLATERAL
1.8%
INVESTMENTS
IN
A
POOLED
ACCOUNT
THROUGH
SECURITIES
LENDING
PROGRAM
WITH
JPMORGAN
CHASE
BANK
0.6%
Money
Market
Funds
0.6%
T.
Rowe
Price
Government
Reserve
Fund,
5.32% (14)(15)
1,902,688
1,902
Total
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
JPMorgan
Chase
Bank
1,902
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
37
Shares/Par
$
Value
(Cost
and
value
in
$000s)
INVESTMENTS
IN
A
POOLED
ACCOUNT
THROUGH
SECURITIES
LENDING
PROGRAM
WITH
STATE
STREET
BANK
AND
TRUST
COMPANY
1.2%
Money
Market
Funds
1.2%
T.
Rowe
Price
Government
Reserve
Fund,
5.32% (14)(15)
4,127,692
4,128
Total
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
State
Street
Bank
and
Trust
Company
4,128
Total
Securities
Lending
Collateral
(Cost
$6,030)
6,030
(Amounts
in
000s,
except
for
contracts)
OPTIONS
PURCHASED
0.1%
Exchange-Traded
Options
Purchased
0.0%
Description
Contracts
Notional
Amount
$
Value
Activision
Blizzard,
Put,
1/19/24
@
$85.00 (2)
124
1,150
19
Norwegian
Cruise
Line
Holdings,
Put,
1/19/24
@
$10.00 (2)
59
130
1
U.S.
Treasury
10-Year
Notes
Futures,
Call,
9/22/23
@
$114.00 (2)
71
7,950
32
U.S.
Treasury
10-Year
Notes
Futures,
Call,
9/22/23
@
$116.00 (2)
73
8,174
11
Total
Exchange-Traded
Options
Purchased
(Cost
$107)
63
OTC
Options
Purchased
0.1%
Counterparty
Description
Contracts
Notional
Amount
$
Value
Bank
of
America
USD
/
MXN
Call,
8/2/23
@
MXN17.25 (2)
1
1,625
—
Barclays
Bank
Comerica,
Put,
1/19/24
@
$20.00 (2)
150
809
4
Barclays
Bank
Credit
Default
Protection
Bought
(Relevant
Credit:
Markit
CDX.
NA.IG-S40,
5
Year
Index,
6/20/28),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
9/20/23
@
0.80%* (2)
1
33,200
12
Barclays
Bank
S&P
500
Index,
Put,
8/18/23
@
$3,950.00 (2)
27
12,390
3
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
38
(Amounts
in
000s,
except
for
contracts)
Counterparty
Description
Contracts
Notional
Amount
$
Value
Citibank
USD
/
CNH
Call,
1/15/24
@
CNH7.37 (2)
1
1,360
5
Citibank
USD
/
EUR
Put,
10/17/23
@
EUR1.15 (2)
1
1,985
2
Citibank
USD
/
JPY
Put,
8/9/23
@
JPY135.90 (2)
2
2,970
—
Goldman
Sachs
Credit
Default
Protection
Bought
(Relevant
Credit:
Markit
CDX.
NA.HY-S40,
5
Year
Index,
6/20/28),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
8/16/23
@
1.00%* (2)
2
3,400
1
Goldman
Sachs
Credit
Default
Protection
Sold
(Relevant
Credit:
Markit
CDX.
NA.HY-S40,
5
Year
Index,
6/20/28),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
8/16/23
@
1.04%* (2)
2
4,980
6
Goldman
Sachs
Zions
Bancorp,
Put,
1/19/24
@
$15.00 (2)
189
723
8
JPMorgan
Chase
Credit
Default
Protection
Bought
(Relevant
Credit:
Markit
CDX.
NA.IG-S40,
5
Year
Index,
6/20/28),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
8/16/23
@
0.75%* (2)
1
6,720
1
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
39
(Amounts
in
000s,
except
for
contracts)
Counterparty
Description
Contracts
Notional
Amount
$
Value
JPMorgan
Chase
Credit
Default
Protection
Bought
(Relevant
Credit:
Markit
CDX.
NA.IG-S40,
5
Year
Index,
6/20/28),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
8/16/23
@
0.83%* (2)
1
17,065
1
Morgan
Stanley
Credit
Default
Protection
Sold
(Relevant
Credit:
Markit
iTraxx
Crossover-S39,
5
Year
Index,
6/20/28),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
8/16/23
@
3.63%*
(EUR) (2)
1
3,285
3
Morgan
Stanley
Euro
STOXX
50
Index,
Put,
9/15/23
@
3,850.00
(EUR) (2)
265
11,849
21
Morgan
Stanley
Syneos
Health,
Put,
12/15/23
@
$40.00 (2)
167
708
5
Morgan
Stanley
USD
/
JPY
Put,
8/10/23
@
JPY137.00 (2)
3
3,608
1
UBS
Investment
Bank
M&T
Bank,
Put,
12/15/23
@
$70.00 (2)
108
1,510
4
UBS
Investment
Bank
USD
/
GBP
Call,
1/31/24
@
GBP1.20 (2)
2
3,400
20
Total
OTC
Options
Purchased
(Cost
$528)
97
Total
Options
Purchased
(Cost
$635)
160
Total
Investments
in
Securities
98.9%
(Cost
$319,321)
$
325,945
Other
Assets
Less
Liabilities
1.1%
3,727
Net
Assets
100.0%
$
329,672
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
40
‡
Country
classifications
are
generally
based
on
MSCI
categories
or
another
unaffiliated
third
party
data
provider;
Shares/Par
and
Notional
Amount
are
denominated
in
the
currency
of
the
country
presented
unless
otherwise
noted.
†
Investment
fund
is
not
unitized.
*
Exercise
Spread
(1)
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
$48,703
and
represents
14.8%
of
net
assets.
(2)
Non-income
producing
(3)
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.
(4)
Level
3
in
fair
value
hierarchy.
(5)
All
or
a
portion
of
this
security
is
on
loan
at
July
31,
2023.
(6)
Security
is
a
fix-to-float
security,
which
carries
a
fixed
coupon
until
a
certain
date,
upon
which
it
switches
to
a
floating
rate.
Reference
rate
and
spread
are
provided
if
the
rate
is
currently
floating.
(7)
Security
is
in
default
or
has
failed
to
make
a
scheduled
interest
and/or
principal
payment.
(8)
Security
cannot
be
offered
for
public
resale
without
first
being
registered
under
the
Securities
Act
of
1933
and
related
rules
("restricted
security").
Acquisition
date
represents
the
day
on
which
an
enforceable
right
to
acquire
such
security
is
obtained
and
is
presented
along
with
related
cost
in
the
security
description.
The
fund
may
have
registration
rights
for
certain
restricted
securities.
Any
costs
related
to
such
registration
are
generally
borne
by
the
issuer.
The
aggregate
value
of
restricted
securities
(excluding
144A
holdings)
at
period
end
amounts
to
$543
and
represents
0.2%
of
net
assets.
(9)
Perpetual
security
with
no
stated
maturity
date.
(10)
All
or
a
portion
of
this
loan
is
unsettled
as
of
July
31,
2023.
The
interest
rate
for
unsettled
loans
will
be
determined
upon
settlement
after
period
end.
(11)
Security
has
the
ability
to
pay
in-kind
or
pay
in
cash.
When
applicable,
separate
rates
of
such
payments
are
disclosed.
(12)
Contingent
value
instrument
that
only
pays
out
if
a
portion
of
the
territory's
Sales
and
Use
Tax
outperforms
the
projections
in
the
Oversight
Board’s
Certified
Fiscal
Plan.
(13)
Issuer
is
currently
in
a
bankruptcy
reorganization
proceeding;
the
amount
and
timing
of
future
distributions
is
uncertain.
(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
HKD
HIBOR
One
month
HKD
HIBOR
(Hong
Kong
interbank
offered
rate)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
41
.
.
.
.
.
.
.
.
.
.
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
CZK
PRIBOR
Six
month
CZK
PRIBOR
(Prague
interbank
offered
rate)
6M
EURIBOR
Six
month
EURIBOR
(Euro
interbank
offered
rate)
6M
PLN
WIBOR
Six
month
PLN
WIBOR
(Warsaw
interbank
offered
rate)
6M
TSFR
Six
month
Term
SOFR
(Secured
overnight
financing
rate)
6M
USD
LIBOR
Six
month
USD
LIBOR
(London
interbank
offered
rate)
1M
ADBB
One
month
AUD
bank
bill
ADR
American
Depositary
Receipts
ARM
Adjustable
Rate
Mortgage
(ARM);
rate
shown
is
effective
rate
at
period-end.
The
rates
for
certain
ARMs
are
not
based
on
a
published
reference
rate
and
spread
but
may
be
determined
using
a
formula
based
on
the
rates
of
the
underlying
loans.
AUD
Australian
Dollar
BRL
Brazilian
Real
BRL
CDI
One
day
Brazilian
interbank
deposit
rate
CAD
Canadian
Dollar
CHF
Swiss
Franc
CLO
Collateralized
Loan
Obligation
CLP
Chilean
Peso
CMO
Collateralized
Mortgage
Obligation
CNH
Offshore
China
Renminbi
COP
Colombian
Peso
CORRA
Canadian
Overnight
Repo
Rate
Average
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
GDR
Global
Depositary
Receipts
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
42
.
.
.
.
.
.
.
.
.
.
GO
General
Obligation
HFA
Health
Facility
Authority
HKD
Hong
Kong
Dollar
HUF
Hungarian
Forint
IDR
Indonesian
Rupiah
ILS
Israeli
Shekel
INR
Indian
Rupee
JPY
Japanese
Yen
KRW
South
Korean
Won
KZT
Kazakhstan
Tenge
MXIBTIIE
Mexican
Interbank
28
day
interest
rate
MXN
Mexican
Peso
MYR
Malaysian
Ringgit
NOK
Norwegian
Krone
NZD
New
Zealand
Dollar
OTC
Over-the-counter
PEN
Peruvian
New
Sol
PHP
Philippines
Peso
PIK
Payment-in-kind
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
43
(Amounts
in
000s,
except
for
contracts)
OPTIONS
WRITTEN
(0.3)%
OTC
Options
Written
(0.3)%
Counterparty
Description
Contracts
Notional
Amount
$
Value
Morgan
Stanley
Euro
STOXX
50
Index,
Put,
9/15/23
@
4,375.00
(EUR)
50
2,236
(25)
Goldman
Sachs
iShares
iBoxx
High
Yield
Corporate
Bond
ETF,
Call,
9/15/23
@
$75.00
1,191
8,992
(104)
Goldman
Sachs
iShares
iBoxx
High
Yield
Corporate
Bond
ETF,
Put,
9/15/23
@
$75.00
1,389
10,487
(91)
Morgan
Stanley
S&P
500
Index,
Call,
9/15/23
@
$4,625.00
109
50,020
(752)
Total
Options
Written
(Premiums
$(1,040))
$
(972)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
44
(Amounts
in
000s)
SWAPS
0.2%
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
**
Unrealized
$
Gain/(Loss)
BILATERAL
SWAPS
0.0%
Credit
Default
Swaps,
Protection
Bought
(0.4)%
United
States
(0.4)%
Bank
of
America,
Protection
Bought
(Relevant
Credit:
Markit
CDX.NA.HY-S37,
5
Year
Index),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/20/26
*
250
(32)
(21)
(11)
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
(211)
(158)
(53)
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
*
722
(77)
(46)
(31)
Citibank,
Protection
Bought
(Relevant
Credit:
Avis
Budget
Car
Rental),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/20/27
*
640
(55)
16
(71)
Citibank,
Protection
Bought
(Relevant
Credit:
Avis
Budget
Group),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/20/27
*
580
(50)
(23)
(27)
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
(653)
(150)
(503)
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
(49)
(26)
(23)
Goldman
Sachs,
Protection
Bought
(Relevant
Credit:
Post
Holdings),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/20/27
*
250
(37)
(28)
(9)
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
(38)
(26)
(12)
JPMorgan
Chase,
Protection
Bought
(Relevant
Credit:
Murphy
Oil),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
6/21/27
*
21
—
2
(2)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
45
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
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
(65)
(33)
(32)
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
(204)
(151)
(53)
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
*
225
54
66
(12)
Morgan
Stanley,
Protection
Bought
(Relevant
Credit:
Markit
CMBX.
NA.BBB-S15,
40
Year
Index),
Pay
3.00%
Monthly,
Receive
upon
credit
default,
11/18/64
*
430
102
77
25
Total
United
States
(501)
(814)
Total
Bilateral
Credit
Default
Swaps,
Protection
Bought
(501)
(814)
Credit
Default
Swaps,
Protection
Sold
(0.1)%
Luxembourg
0.0%
JPMorgan
Chase,
Protection
Sold
(Relevant
Credit:
ArcelorMittal,
Baa3*),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
12/20/25
*
345
38
42
(4)
Total
Luxembourg
42
(4)
United
States
(0.1)%
Barclays
Bank,
Protection
Sold
(Relevant
Credit:
American
Airlines
Group,
B3*),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
12/20/23
*
55
1
—
1
Barclays
Bank,
Protection
Sold
(Relevant
Credit:
CCO
Holdings,
B1*),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
12/20/23
*
80
2
1
1
Barclays
Bank,
Protection
Sold
(Relevant
Credit:
Murphy
Oil,
Ba2*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
12/20/23
*
190
—
(2)
2
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
46
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Barclays
Bank,
Protection
Sold
(Relevant
Credit:
Royal
Caribbean
Cruises,
B3*),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
12/20/23
*
46
1
(1)
2
JPMorgan
Chase,
Protection
Sold
(Relevant
Credit:
Carnival
,
B3*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
6/20/29
*
1,245
(182)
(419)
237
Morgan
Stanley,
Protection
Sold
(Relevant
Credit:
Carnival
,
B3*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
6/20/29
*
1,245
(182)
(427)
245
Total
United
States
(848)
488
Total
Bilateral
Credit
Default
Swaps,
Protection
Sold
(806)
484
Total
Return
Swaps
0.5%
Australia
(0.0)%
Citibank,
Pay
Underlying
Reference:
Woodside
Energy
Group
Monthly,
Receive
Variable
3.700%
(1M
ADBB
+
(0.40)%)
Monthly,
1/17/24
2,615
(202)
—
(202)
Citibank,
Receive
Underlying
Reference:
IDP
Education
Monthly,
Pay
Variable
4.500%
(1M
ADBB
+
0.40%)
Monthly,
1/17/24
937
109
—
109
Citibank,
Receive
Underlying
Reference:
Orica
Monthly,
Pay
Variable
4.502%
(1M
ADBB
+
0.40%)
Monthly,
1/17/24
1,389
49
—
49
Morgan
Stanley,
Pay
Underlying
Reference:
WiseTech
Global
Monthly,
Receive
Variable
3.708%
(1M
ADBB
+
(0.40)%)
Monthly,
1/17/24
824
(37)
—
(37)
Morgan
Stanley,
Receive
Underlying
Reference:
SEEK
Monthly,
Pay
Variable
4.658%
(1M
ADBB
+
0.55%)
Monthly,
1/17/24
1,221
22
—
22
Morgan
Stanley,
Receive
Underlying
Reference:
SEEK
Monthly,
Pay
Variable
4.710%
(1M
ADBB
+
0.55%)
Monthly,
1/17/24
351
15
—
15
Total
Australia
—
(44)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
47
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Austria
0.0%
Citibank,
Pay
Underlying
Reference:
Erste
Group
Bank
Monthly,
Receive
Variable
2.906%
(EUR
ESTR
+
(0.30)%)
Monthly,
1/17/24
435
(40)
—
(40)
Goldman
Sachs,
Receive
Underlying
Reference:
BAWAG
Group
Monthly,
Pay
Variable
3.498%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
414
27
—
27
Morgan
Stanley,
Receive
Underlying
Reference:
OMV
Monthly,
Pay
Variable
3.448%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
813
21
—
21
Total
Austria
—
8
Bermuda
(0.0)%
Citibank,
Pay
Underlying
Reference:
Norwegian
Cruise
Line
Holdings
Monthly,
Receive
Variable
4.750%
(SOFR
+
(0.18)%)
Monthly,
1/18/24
387
9
—
9
Morgan
Stanley,
Receive
Underlying
Reference:
RenaissanceRe
Holdings
Monthly,
Pay
Variable
5.257%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
513
(28)
—
(28)
Total
Bermuda
—
(19)
Brazil
0.0%
Morgan
Stanley,
Receive
Underlying
Reference:
Magazine
Luiza
Monthly,
Pay
Variable
5.307%
(SOFR
+
0.45%)
Monthly,
1/18/24
352
51
—
51
Total
Brazil
—
51
Canada
0.1%
Bank
of
America,
Receive
Underlying
Reference:
Brookfield
Monthly,
Pay
Variable
(1M
CAD
CDOR
+
0.50%)
Monthly,
1/17/24
1,442
19
—
19
Bank
of
America,
Receive
Underlying
Reference:
Definity
Financial
Monthly,
Pay
Variable
0.500%
(1M
CAD
CDOR
+
0.30%)
Monthly,
1/17/24
155
(5)
—
(5)
Bank
of
America,
Receive
Underlying
Reference:
Element
Fleet
Management
Monthly,
Pay
Variable
5.230%
(1M
CAD
CDOR
+
0.50%)
Monthly,
1/17/24
508
(3)
—
(3)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
48
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Goldman
Sachs,
Pay
Underlying
Reference:
Bank
of
Montreal
Monthly,
Receive
Variable
4.430%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/17/24
272
(3)
—
(3)
Goldman
Sachs,
Pay
Underlying
Reference:
Barrick
Gold
Monthly,
Receive
Variable
4.430%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/17/24
522
4
—
4
Goldman
Sachs,
Pay
Underlying
Reference:
Brookfield
Asset
Management,
Class
A
Monthly,
Receive
Variable
4.430%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/17/24
357
(7)
—
(7)
Goldman
Sachs,
Pay
Underlying
Reference:
Toronto-Dominion
Bank
Monthly,
Receive
Variable
4.430%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/17/24
1,659
(37)
—
(37)
Goldman
Sachs,
Receive
Underlying
Reference:
Canadian
Natural
Resources
Monthly,
Pay
Variable
5.030%
(1M
CAD
CDOR
+
0.30%)
Monthly,
1/17/24
504
33
—
33
Goldman
Sachs,
Receive
Underlying
Reference:
Definity
Financial
Monthly,
Pay
Variable
5.030%
(1M
CAD
CDOR
+
0.30%)
Monthly,
1/17/24
146
(5)
—
(5)
Goldman
Sachs,
Receive
Underlying
Reference:
Suncor
Energy
Monthly,
Pay
Variable
5.030%
(1M
CAD
CDOR
+
0.30%)
Monthly,
1/17/24
766
50
—
50
Morgan
Stanley,
Pay
Underlying
Reference:
Agnico
Eagle
Mines
Monthly,
Receive
Variable
4.330%
(1M
CAD
CDOR
+
(0.40)%)
Monthly,
1/17/24
619
3
—
3
Morgan
Stanley,
Pay
Underlying
Reference:
Bank
of
Montreal
Monthly,
Receive
Variable
4.330%
(1M
CAD
CDOR
+
(0.40)%)
Monthly,
1/17/24
121
(2)
—
(2)
Morgan
Stanley,
Pay
Underlying
Reference:
Enbridge
Monthly,
Receive
Variable
4.330%
(1M
CAD
CDOR
+
(0.40)%)
Monthly,
1/17/24
957
(4)
—
(4)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
49
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Restaurant
Brands
International
Monthly,
Receive
Variable
4.330%
(1M
CAD
CDOR
+
(0.40)%)
Monthly,
1/17/24
501
4
—
4
Morgan
Stanley,
Pay
Underlying
Reference:
Sun
Life
Financial
Monthly,
Receive
Variable
4.330%
(1M
CAD
CDOR
+
(0.40)%)
Monthly,
1/17/24
3,390
(47)
—
(47)
Morgan
Stanley,
Receive
Underlying
Reference:
Canadian
Apartment
Properties
REIT
Monthly,
Pay
Variable
5.280%
(1M
CAD
CDOR
+
0.55%)
Monthly,
1/17/24
816
(13)
—
(13)
Morgan
Stanley,
Receive
Underlying
Reference:
Canadian
Pacific
Kansas
City
Monthly,
Pay
Variable
5.280%
(1M
CAD
CDOR
+
0.55%)
Monthly,
1/17/24
459
10
—
10
Morgan
Stanley,
Receive
Underlying
Reference:
ERO
Copper
Monthly,
Pay
Variable
0.550%
(1M
CAD
CDOR
+
0.55%)
Monthly,
1/17/24
22
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
ERO
Copper
Monthly,
Pay
Variable
2.010%
(1M
CAD
CDOR
+
0.55%)
Monthly,
1/17/24
12
1
—
1
Morgan
Stanley,
Receive
Underlying
Reference:
ERO
Copper
Monthly,
Pay
Variable
4.665%
(1M
CAD
CDOR
+
0.55%)
Monthly,
1/17/24
6
1
—
1
Morgan
Stanley,
Receive
Underlying
Reference:
ERO
Copper
Monthly,
Pay
Variable
4.842%
(1M
CAD
CDOR
+
0.55%)
Monthly,
1/17/24
20
1
—
1
Morgan
Stanley,
Receive
Underlying
Reference:
ERO
Copper
Monthly,
Pay
Variable
4.960%
(1M
CAD
CDOR
+
0.55%)
Monthly,
1/17/24
3
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
ERO
Copper
Monthly,
Pay
Variable
5.044%
(1M
CAD
CDOR
+
0.55%)
Monthly,
1/17/24
26
2
—
2
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
50
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
ERO
Copper
Monthly,
Pay
Variable
5.108%
(1M
CAD
CDOR
+
0.55%)
Monthly,
1/17/24
82
6
—
6
Morgan
Stanley,
Receive
Underlying
Reference:
ERO
Copper
Monthly,
Pay
Variable
5.231%
(1M
CAD
CDOR
+
0.55%)
Monthly,
1/17/24
25
2
—
2
Morgan
Stanley,
Receive
Underlying
Reference:
ERO
Copper
Monthly,
Pay
Variable
5.258%
(1M
CAD
CDOR
+
0.55%)
Monthly,
1/17/24
6
1
—
1
Morgan
Stanley,
Receive
Underlying
Reference:
ERO
Copper
Monthly,
Pay
Variable
5.280%
(1M
CAD
CDOR
+
0.55%)
Monthly,
1/17/24
596
47
—
47
Morgan
Stanley,
Receive
Underlying
Reference:
National
Bank
of
Canada
Monthly,
Pay
Variable
5.280%
(1M
CAD
CDOR
+
0.55%)
Monthly,
1/17/24
2,317
42
—
42
Total
Canada
—
100
Cayman
Islands
0.0%
Goldman
Sachs,
Receive
Underlying
Reference:
KE
Holdings
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
243
39
—
39
Morgan
Stanley,
Receive
Underlying
Reference:
Budweiser
Brewing
Monthly,
Pay
Variable
5.648%
(1M
HKD
HIBOR
+
0.55%)
Monthly,
1/17/24
(HKD)
1,360
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
NU
Holdings,
Class
A
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
117
1
—
1
Morgan
Stanley,
Receive
Underlying
Reference:
Structure
Therapeutics
Monthly,
Pay
Variable
5.219%
(SOFR
+
0.40%)
Monthly,
1/18/24
38
4
—
4
UBS
Investment
Bank,
Receive
Underlying
Reference:
Budweiser
Brewing
Monthly,
Pay
Variable
5.317%
(1M
HKD
HIBOR
+
0.35%)
Monthly,
1/17/24
(HKD)
1,614
2
—
2
Total
Cayman
Islands
—
46
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
51
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
China
0.0%
UBS
Investment
Bank,
Receive
Underlying
Reference:
Jiangsu
Hengli
Hydraulic,
Class
A
Monthly,
Pay
Variable
2.586%
(1M
CNH
HIBOR
+
0.35%)
Monthly,
1/17/24
552
5
—
5
UBS
Investment
Bank,
Receive
Underlying
Reference:
Jiangsu
Hengli
Hydraulic,
Class
A
Monthly,
Pay
Variable
3.176%
(1M
CNH
HIBOR
+
0.75%)
Monthly,
1/17/24
1,246
21
—
21
UBS
Investment
Bank,
Receive
Underlying
Reference:
Weichai
Power,
Class
A
Monthly,
Pay
Variable
2.586%
(1M
CNH
HIBOR
+
0.35%)
Monthly,
1/17/24
541
2
—
2
UBS
Investment
Bank,
Receive
Underlying
Reference:
Weichai
Power,
Class
A
Monthly,
Pay
Variable
3.176%
(1M
CNH
HIBOR
+
0.75%)
Monthly,
1/17/24
1,406
7
—
7
Total
China
—
35
Curacao
0.0%
Goldman
Sachs,
Receive
Underlying
Reference:
Schlumberger
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
267
8
—
8
JPMorgan
Chase,
Receive
Underlying
Reference:
Schlumberger
Monthly,
Pay
Variable
5.207%
(SOFR
+
0.35%)
Monthly,
1/18/24
734
22
—
22
Total
Curacao
—
30
Denmark
0.0%
Bank
of
America,
Receive
Underlying
Reference:
Novozymes,
Class
B
Monthly,
Pay
Variable
3.917%
(1M
DKK
CIBOR
+
0.35%)
Monthly,
1/17/24
2,281
9
—
9
Citibank,
Pay
Underlying
Reference:
Pandora
Monthly,
Receive
Variable
3.257%
(1M
DKK
CIBOR
+
(0.35)%)
Monthly,
1/17/24
1,780
(7)
—
(7)
Goldman
Sachs,
Receive
Underlying
Reference:
Tryg
Monthly,
Pay
Variable
4.013%
(1M
DKK
CIBOR
+
0.35%)
Monthly,
1/17/24
3,583
3
—
3
Total
Denmark
—
5
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
52
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
France
0.1%
Bank
of
America,
Pay
Underlying
Reference:
Kering
Monthly,
Receive
Variable
2.748%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
133
(10)
—
(10)
Bank
of
America,
Pay
Underlying
Reference:
L'Oreal
Monthly,
Receive
Variable
2.748%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
1,506
(35)
—
(35)
Bank
of
America,
Receive
Underlying
Reference:
Legrand
Monthly,
Pay
Variable
3.448%
(1M
EURIBOR
+
0.35%)
Monthly,
1/17/24
256
(1)
—
(1)
Bank
of
America,
Receive
Underlying
Reference:
Union
Pacific
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
142
15
—
15
Citibank,
Receive
Underlying
Reference:
Teleflex
Monthly,
Pay
Variable
5.350%
(SOFR
+
0.42%)
Monthly,
1/18/24
569
27
—
27
Citibank,
Receive
Underlying
Reference:
TotalEnergies
Monthly,
Pay
Variable
3.606%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
300
25
—
25
Goldman
Sachs,
Receive
Underlying
Reference:
AXA
Monthly,
Pay
Variable
3.140%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
1,772
20
—
20
JPMorgan
Chase,
Receive
Underlying
Reference:
Cerevel
Therapeutics
Holdings
Monthly,
Pay
Variable
5.207%
(SOFR
+
0.35%)
Monthly,
1/18/24
8
—
—
—
JPMorgan
Chase,
Receive
Underlying
Reference:
Eli
Lilly
Monthly,
Pay
Variable
5.207%
(SOFR
+
0.35%)
Monthly,
1/18/24
2,180
31
—
31
Morgan
Stanley,
Pay
Underlying
Reference:
BNP
Paribas
Monthly,
Receive
Variable
2.748%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
995
(62)
—
(62)
Morgan
Stanley,
Pay
Underlying
Reference:
Dassault
Systemes
Monthly,
Receive
Variable
2.748%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
272
14
—
14
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
53
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Hermes
International
Monthly,
Receive
Variable
2.748%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
608
(36)
—
(36)
Morgan
Stanley,
Pay
Underlying
Reference:
Orange
Monthly,
Receive
Variable
2.748%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
640
16
—
16
Morgan
Stanley,
Pay
Underlying
Reference:
Unibail-Rodamco-Westfield
Monthly,
Receive
Variable
2.390%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
68
2
—
2
Morgan
Stanley,
Pay
Underlying
Reference:
Unibail-Rodamco-Westfield
Monthly,
Receive
Variable
2.748%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
296
4
—
4
Morgan
Stanley,
Receive
Underlying
Reference:
Alstom
Monthly,
Pay
Variable
3.448%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
397
21
—
21
Morgan
Stanley,
Receive
Underlying
Reference:
Remy
Cointreau
Monthly,
Pay
Variable
3.448%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
472
56
—
56
Morgan
Stanley,
Receive
Underlying
Reference:
voestalpine
Monthly,
Pay
Variable
3.448%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
246
(3)
—
(3)
Total
France
—
84
Germany
0.1%
Bank
of
America,
Pay
Underlying
Reference:
Allianz
Monthly,
Receive
Variable
2.748%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
1,010
(36)
—
(36)
Bank
of
America,
Pay
Underlying
Reference:
Henkel
Monthly,
Receive
Variable
2.748%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
1,012
24
—
24
Bank
of
America,
Pay
Underlying
Reference:
Infineon
Technologies
Monthly,
Receive
Variable
2.748%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
564
(33)
—
(33)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
54
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Citibank,
Pay
Underlying
Reference:
Delivery
Hero
Monthly,
Receive
Variable
2.906%
(EUR
ESTR
+
(0.30)%)
Monthly,
1/17/24
376
(19)
—
(19)
Goldman
Sachs,
Receive
Underlying
Reference:
Deutsche
Telekom
Monthly,
Pay
Variable
3.498%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
1,155
4
—
4
Goldman
Sachs,
Receive
Underlying
Reference:
KION
Group
Monthly,
Pay
Variable
3.498%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
132
11
—
11
Goldman
Sachs,
Receive
Underlying
Reference:
Merck
Monthly,
Pay
Variable
3.498%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
462
37
—
37
Goldman
Sachs,
Receive
Underlying
Reference:
Puma
Monthly,
Pay
Variable
3.498%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
950
92
—
92
JPMorgan
Chase,
Receive
Underlying
Reference:
Covestro
Monthly,
Pay
Variable
3.448%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
343
9
—
9
JPMorgan
Chase,
Receive
Underlying
Reference:
Hannover
Rueck
Monthly,
Pay
Variable
3.448%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
992
15
—
15
JPMorgan
Chase,
Receive
Underlying
Reference:
KION
Group
Monthly,
Pay
Variable
3.448%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
270
25
—
25
Morgan
Stanley,
Receive
Underlying
Reference:
Evotec
Monthly,
Pay
Variable
3.448%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
198
19
—
19
Morgan
Stanley,
Receive
Underlying
Reference:
SAP
Monthly,
Pay
Variable
3.448%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
771
(28)
—
(28)
Morgan
Stanley,
Receive
Underlying
Reference:
Zalando
Monthly,
Pay
Variable
3.448%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
273
36
—
36
Total
Germany
—
156
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
55
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Hong
Kong
0.0%
Morgan
Stanley,
Receive
Underlying
Reference:
Galaxy
Entertainment
Group
Monthly,
Pay
Variable
5.648%
(1M
HKD
HIBOR
+
0.55%)
Monthly,
1/17/24
1,361
7
—
7
Total
Hong
Kong
—
7
Ireland
0.0%
Bank
of
America,
Receive
Underlying
Reference:
Kingspan
Group
Monthly,
Pay
Variable
3.090%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
253
9
—
9
Bank
of
America,
Receive
Underlying
Reference:
Kingspan
Group
Monthly,
Pay
Variable
3.423%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
1,213
27
—
27
Citibank,
Pay
Underlying
Reference:
Aon,
Class
A
Monthly,
Receive
Variable
4.750%
(1M
USD
LIBOR
+
(0.18)%)
Monthly,
1/18/24
415
24
—
24
Citibank,
Receive
Underlying
Reference:
Medtronic
Monthly,
Pay
Variable
5.350%
(SOFR
+
0.42%)
Monthly,
1/18/24
845
10
—
10
JPMorgan
Chase,
Pay
Underlying
Reference:
Seagate
Techology
Holdings
Monthly,
Receive
Variable
(0.250)%
(SOFR
+
(0.25)%)
Monthly,
1/18/24
272
1
—
1
Morgan
Stanley,
Pay
Underlying
Reference:
Trane
Technologies
Monthly,
Receive
Variable
4.657%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
1,341
(1)
—
(1)
Morgan
Stanley,
Receive
Underlying
Reference:
Accenture,
Class
A
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
695
(7)
—
(7)
Morgan
Stanley,
Receive
Underlying
Reference:
Linde
Monthly,
Pay
Variable
5.257%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
1,152
23
—
23
Total
Ireland
—
86
Italy
0.0%
Bank
of
America,
Pay
Underlying
Reference:
Brunello
Cucinelli
Monthly,
Receive
Variable
2.748%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
138
—
—
—
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
56
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Goldman
Sachs,
Pay
Underlying
Reference:
Snam
Monthly,
Receive
Variable
2.828%
(1M
EURIBOR
+
(0.27)%)
Monthly,
1/17/24
708
(14)
—
(14)
Goldman
Sachs,
Receive
Underlying
Reference:
Enel
Monthly,
Pay
Variable
3.498%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
318
2
—
2
Goldman
Sachs,
Receive
Underlying
Reference:
Intesa
Sanpaolo
Monthly,
Pay
Variable
3.498%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
764
66
—
66
Total
Italy
—
54
Japan
(0.1)%
Citibank,
Pay
Underlying
Reference:
KDDI
Monthly,
Receive
Variable
(0.470)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
39,624
8
—
8
Citibank,
Pay
Underlying
Reference:
ZOZO
Monthly,
Receive
Variable
(0.470)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
35,663
7
—
7
Citibank,
Receive
Underlying
Reference:
Calbee
Monthly,
Pay
Variable
0.330%
(JPY
TONA
+
0.38%)
Monthly,
1/17/24
84,444
8
—
8
Citibank,
Receive
Underlying
Reference:
Mitsubishi
UFJ
Financial
Group
Monthly,
Pay
Variable
0.330%
(JPY
TONA
+
0.38%)
Monthly,
1/17/24
126,219
74
—
74
Citibank,
Receive
Underlying
Reference:
Nidec
Monthly,
Pay
Variable
0.330%
(JPY
TONA
+
0.38%)
Monthly,
1/17/24
39,554
37
—
37
Citibank,
Receive
Underlying
Reference:
Shiseido
Monthly,
Pay
Variable
0.330%
(JPY
TONA
+
0.38%)
Monthly,
1/17/24
38,886
(1)
—
(1)
Morgan
Stanley,
Pay
Underlying
Reference:
Bridgestone
Monthly,
Receive
Variable
(0.485)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
259,358
(87)
—
(87)
Morgan
Stanley,
Pay
Underlying
Reference:
Disco
Monthly,
Receive
Variable
(0.485)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
228,585
(229)
—
(229)
Morgan
Stanley,
Pay
Underlying
Reference:
Eisai
Monthly,
Receive
Variable
(0.481)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
21,756
1
—
1
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
57
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Fujitsu
Monthly,
Receive
Variable
(0.485)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
37,030
2
—
2
Morgan
Stanley,
Pay
Underlying
Reference:
Honda
Motor
Monthly,
Receive
Variable
(0.485)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
141,892
(75)
—
(75)
Morgan
Stanley,
Pay
Underlying
Reference:
Isuzu
Motors
Monthly,
Receive
Variable
(0.485)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
41,602
(22)
—
(22)
Morgan
Stanley,
Pay
Underlying
Reference:
ITOCHU
Monthly,
Receive
Variable
(0.485)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
98,092
(34)
—
(34)
Morgan
Stanley,
Pay
Underlying
Reference:
Lasertec
Monthly,
Receive
Variable
(0.485)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
193,568
(28)
—
(28)
Morgan
Stanley,
Pay
Underlying
Reference:
Menicon
Monthly,
Receive
Variable
(0.485)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
50,614
(13)
—
(13)
Morgan
Stanley,
Pay
Underlying
Reference:
Mitsubishi
Chemical
Group
Monthly,
Receive
Variable
(0.485)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
328,560
(142)
—
(142)
Morgan
Stanley,
Pay
Underlying
Reference:
MonotaRO
Monthly,
Receive
Variable
(0.485)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
10,937
1
—
1
Morgan
Stanley,
Pay
Underlying
Reference:
Nissan
Motor
Monthly,
Receive
Variable
(0.485)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
102,953
(87)
—
(87)
Morgan
Stanley,
Pay
Underlying
Reference:
Pan
Pacific
International
Holdings
Monthly,
Receive
Variable
(0.485)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
79,803
(32)
—
(32)
Morgan
Stanley,
Pay
Underlying
Reference:
Renesas
Electronics
Monthly,
Receive
Variable
(0.485)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
42,351
(6)
—
(6)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
58
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
SoftBank
Group
Monthly,
Receive
Variable
(0.265)%
(JPY
TONA
+
(0.20)%)
Monthly,
1/17/24
18,779
(6)
—
(6)
Morgan
Stanley,
Pay
Underlying
Reference:
Toray
Industries
Monthly,
Receive
Variable
(0.485)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
48,548
(11)
—
(11)
Morgan
Stanley,
Pay
Underlying
Reference:
Tosoh
Monthly,
Receive
Variable
(0.485)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
49,470
(19)
—
(19)
Morgan
Stanley,
Pay
Underlying
Reference:
Welcia
Holdings
Monthly,
Receive
Variable
(0.485)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
36,666
4
—
4
Morgan
Stanley,
Pay
Underlying
Reference:
Yamaha
Monthly,
Receive
Variable
(0.485)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
184,310
(58)
—
(58)
Morgan
Stanley,
Receive
Underlying
Reference:
Aiful
Monthly,
Pay
Variable
0.530%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
2,099
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Denso
Monthly,
Pay
Variable
0.465%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
200,204
100
—
100
Morgan
Stanley,
Receive
Underlying
Reference:
Mitsubishi
Chemical
Group
Monthly,
Pay
Variable
0.465%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
56,577
9
—
9
Morgan
Stanley,
Receive
Underlying
Reference:
Mitsubishi
Electric
Monthly,
Pay
Variable
0.465%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
127,767
7
—
7
Morgan
Stanley,
Receive
Underlying
Reference:
Murata
Manufacturing
Monthly,
Pay
Variable
0.465%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
70,696
12
—
12
Morgan
Stanley,
Receive
Underlying
Reference:
Nitori
Holdings
Monthly,
Pay
Variable
0.465%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
270,192
14
—
14
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:
Nitori
Holdings
Monthly,
Pay
Variable
0.530%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
22,920
(2)
—
(2)
Morgan
Stanley,
Receive
Underlying
Reference:
Olympus
Monthly,
Pay
Variable
0.469%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
64,329
15
—
15
Morgan
Stanley,
Receive
Underlying
Reference:
Omron
Monthly,
Pay
Variable
0.465%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
47,370
(33)
—
(33)
Morgan
Stanley,
Receive
Underlying
Reference:
Outsourcing
Monthly,
Pay
Variable
0.465%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
32,793
17
—
17
Morgan
Stanley,
Receive
Underlying
Reference:
Persol
Holdings
Monthly,
Pay
Variable
0.465%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
37,224
13
—
13
Morgan
Stanley,
Receive
Underlying
Reference:
Recruit
Holdings
Monthly,
Pay
Variable
0.465%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
40,704
12
—
12
Morgan
Stanley,
Receive
Underlying
Reference:
Sanrio
Monthly,
Pay
Variable
0.465%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
36,168
25
—
25
Morgan
Stanley,
Receive
Underlying
Reference:
Suntory
Beverage
&
Food
Monthly,
Pay
Variable
0.465%
(1M
JPY
LIBOR
+
0.53%)
Monthly,
1/17/24
45,448
10
—
10
Morgan
Stanley,
Receive
Underlying
Reference:
Taiheiyo
Cement
Monthly,
Pay
Variable
0.465%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
22,449
17
—
17
Morgan
Stanley,
Receive
Underlying
Reference:
Tokyo
Electron
Monthly,
Pay
Variable
0.465%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
312,945
115
—
115
Morgan
Stanley,
Receive
Underlying
Reference:
Tokyo
Seimitsu
Monthly,
Pay
Variable
0.465%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
289,144
47
—
47
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
60
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Tokyo
Seimitsu
Monthly,
Pay
Variable
0.530%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
21,026
2
—
2
Morgan
Stanley,
Receive
Underlying
Reference:
Toyota
Motor
Monthly,
Pay
Variable
0.465%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
104,246
55
—
55
UBS
Investment
Bank,
Pay
Underlying
Reference:
Sumitomo
Electric
Industries
Monthly,
Receive
Variable
(0.430)%
(JPY
TONA
+
(0.40)%)
Monthly,
1/16/24
45,667
(22)
—
(22)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Daiichi
Sankyo
Monthly,
Pay
Variable
0.300%
(JPY
TONA
+
0.35%)
Monthly,
1/17/24
26,433
16
—
16
UBS
Investment
Bank,
Receive
Underlying
Reference:
Daikin
Industries
Monthly,
Pay
Variable
0.300%
(JPY
TONA
+
0.35%)
Monthly,
1/17/24
132,227
(2)
—
(2)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Hoshizaki
Monthly,
Pay
Variable
0.300%
(JPY
TONA
+
0.35%)
Monthly,
1/17/24
69,267
40
—
40
UBS
Investment
Bank,
Receive
Underlying
Reference:
Keyence
Monthly,
Pay
Variable
0.300%
(JPY
TONA
+
0.35%)
Monthly,
1/17/24
228,865
(40)
—
(40)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Panasonic
Monthly,
Pay
Variable
0.300%
(JPY
TONA
+
0.35%)
Monthly,
1/17/24
72,268
21
—
21
UBS
Investment
Bank,
Receive
Underlying
Reference:
Taiheiyo
Cement
Monthly,
Pay
Variable
0.300%
(JPY
TONA
+
0.35%)
Monthly,
1/17/24
98,915
51
—
51
Total
Japan
—
(209)
Jersey
0.0%
Goldman
Sachs,
Receive
Underlying
Reference:
Experian
Monthly,
Pay
Variable
5.026%
(GBP
SONIA
+
0.38%)
Monthly,
1/17/24
821
4
—
4
Total
Jersey
—
4
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
61
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Liberia
0.0%
Morgan
Stanley,
Receive
Underlying
Reference:
Royal
Caribbean
Cruises
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
356
36
—
36
Total
Liberia
—
36
Luxembourg
0.0%
Citibank,
Receive
Underlying
Reference:
Globant
Monthly,
Pay
Variable
5.350%
(SOFR
+
0.42%)
Monthly,
1/18/24
1,089
(31)
—
(31)
Goldman
Sachs,
Receive
Underlying
Reference:
Tenaris
Monthly,
Pay
Variable
3.140%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
128
3
—
3
Goldman
Sachs,
Receive
Underlying
Reference:
Tenaris
Monthly,
Pay
Variable
3.498%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
1,180
83
—
83
Total
Luxembourg
—
55
Mexico
0.0%
Morgan
Stanley,
Pay
Underlying
Reference:
Alpek
Monthly,
Receive
Variable
10.742%
(MXIBTIIE
+
(0.75)%)
Monthly,
1/17/24
2,647
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Alfa,
Class
A
Monthly,
Pay
Variable
12.042%
(MXIBTIIE
+
0.55%)
Monthly,
1/17/24
4,469
2
—
2
Morgan
Stanley,
Receive
Underlying
Reference:
Controladora
AXTEL
Monthly,
Pay
Variable
12.042%
(MXIBTIIE
+
0.55%)
Monthly,
1/17/24
101
(1)
—
(1)
Total
Mexico
—
1
Netherlands
(0.0)%
Bank
of
America,
Receive
Underlying
Reference:
Airbus
Monthly,
Pay
Variable
3.448%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
813
2
—
2
JPMorgan
Chase,
Pay
Underlying
Reference:
STMicroelectronics
Monthly,
Receive
Variable
2.748%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
524
(22)
—
(22)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
62
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
NXP
Semiconductors
Monthly,
Receive
Variable
4.657%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
680
(9)
—
(9)
Morgan
Stanley,
Receive
Underlying
Reference:
BE
Semiconductor
Industries
Monthly,
Pay
Variable
(0.231)%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
240
7
—
7
Morgan
Stanley,
Receive
Underlying
Reference:
BE
Semiconductor
Industries
Monthly,
Pay
Variable
2.758%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
179
7
—
7
Morgan
Stanley,
Receive
Underlying
Reference:
BE
Semiconductor
Industries
Monthly,
Pay
Variable
2.957%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
60
1
—
1
UBS
Investment
Bank,
Pay
Underlying
Reference:
Koninklijke
Ahold
Delhaize
Monthly,
Receive
Variable
2.806%
(EUR
ESTR
+
(0.40)%)
Monthly,
1/17/24
607
(2)
—
(2)
Total
Netherlands
—
(16)
Norway
0.0%
Citibank,
Pay
Underlying
Reference:
Equinor
Monthly,
Receive
Variable
3.640%
(1M
NOK
NIBOR
+
(0.35)%)
Monthly,
1/17/24
23,659
(15)
—
(15)
Goldman
Sachs,
Receive
Underlying
Reference:
DNB
Bank
Monthly,
Pay
Variable
4.330%
(1M
NOK
NIBOR
+
0.35%)
Monthly,
1/17/24
2,904
11
—
11
UBS
Investment
Bank,
Receive
Underlying
Reference:
Storebrand
Monthly,
Pay
Variable
4.340%
(1M
NOK
NIBOR
+
0.35%)
Monthly,
1/17/24
5,341
21
—
21
Total
Norway
—
17
South
Korea
(0.0)%
Morgan
Stanley,
Receive
Underlying
Reference:
Lotte
Chemical
Monthly,
Pay
Variable
5.707%
(SOFR
+
0.85%)
Monthly,
1/18/24
195
(3)
—
(3)
Total
South
Korea
—
(3)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
63
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Spain
0.0%
Goldman
Sachs,
Receive
Underlying
Reference:
Amadeus
IT
Group
Monthly,
Pay
Variable
3.498%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
530
(12)
—
(12)
JPMorgan
Chase,
Receive
Underlying
Reference:
Fluidra
Monthly,
Pay
Variable
3.448%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
208
33
—
33
Morgan
Stanley,
Pay
Underlying
Reference:
Industria
de
Diseno
Textil
Monthly,
Receive
Variable
2.748%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
1,592
19
—
19
Total
Spain
—
40
Sweden
(0.0)%
Citibank,
Receive
Underlying
Reference:
Assa
Abloy,
Class
B
Monthly,
Pay
Variable
4.090%
(1M
SEK
STIBOR
+
0.35%)
Monthly,
1/17/24
4,154
2
—
2
Goldman
Sachs,
Receive
Underlying
Reference:
Svenska
Cellulosa,
Class
B
Monthly,
Pay
Variable
4.086%
(1M
SEK
STIBOR
+
0.35%)
Monthly,
1/17/24
8,283
(8)
—
(8)
JPMorgan
Chase,
Receive
Underlying
Reference:
Boliden
Monthly,
Pay
Variable
0.400%
(1M
SEK
STIBOR
+
0.40%)
Monthly,
1/17/24
263
—
—
—
JPMorgan
Chase,
Receive
Underlying
Reference:
Boliden
Monthly,
Pay
Variable
4.161%
(1M
SEK
STIBOR
+
0.40%)
Monthly,
1/17/24
391
1
—
1
JPMorgan
Chase,
Receive
Underlying
Reference:
Boliden
Monthly,
Pay
Variable
4.162%
(1M
SEK
STIBOR
+
0.40%)
Monthly,
1/17/24
362
1
—
1
JPMorgan
Chase,
Receive
Underlying
Reference:
Boliden
Monthly,
Pay
Variable
4.176%
(1M
SEK
STIBOR
+
0.40%)
Monthly,
1/17/24
407
1
—
1
Morgan
Stanley,
Pay
Underlying
Reference:
Industrivarden,
Class
C
Monthly,
Receive
Variable
3.205%
(1M
SEK
STIBOR
+
(0.35)%)
Monthly,
1/17/24
10,744
(33)
—
(33)
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:
Investor,
Class
A
Monthly,
Receive
Variable
3.386%
(1M
SEK
STIBOR
+
(0.35)%)
Monthly,
1/17/24
5,140
(22)
—
(22)
Morgan
Stanley,
Pay
Underlying
Reference:
Kinnevik,
Class
B
Monthly,
Receive
Variable
3.386%
(1M
SEK
STIBOR
+
(0.35)%)
Monthly,
1/17/24
3,508
(19)
—
(19)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Essity,
Class
B
Monthly,
Pay
Variable
4.090%
(1M
SEK
STIBOR
+
0.35%)
Monthly,
1/17/24
6,792
(40)
—
(40)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Sandvik
Monthly,
Pay
Variable
4.090%
(1M
SEK
STIBOR
+
0.35%)
Monthly,
1/17/24
6,757
30
—
30
Total
Sweden
—
(87)
Switzerland
(0.0)%
Bank
of
America,
Pay
Underlying
Reference:
Kuehne
+
Nagel
International
Monthly,
Receive
Variable
1.205%
(1M
CHF
LIBOR
+
(0.35)%)
Monthly,
1/17/24
249
(2)
—
(2)
Bank
of
America,
Receive
Underlying
Reference:
Montana
Aerospace
Monthly,
Pay
Variable
1.905%
(1M
CHF
LIBOR
+
0.35%)
Monthly,
1/17/24
206
3
—
3
Bank
of
America,
Receive
Underlying
Reference:
Roche
Holding
Monthly,
Pay
Variable
1.905%
(1M
CHF
LIBOR
+
0.35%)
Monthly,
1/17/24
1,122
12
—
12
Citibank,
Pay
Underlying
Reference:
Geberit
Monthly,
Receive
Variable
1.188%
(1M
CHF
LIBOR
+
(0.42)%)
Monthly,
1/17/24
229
(28)
—
(28)
Citibank,
Pay
Underlying
Reference:
SGS
Monthly,
Receive
Variable
1.358%
(1M
CHF
LIBOR
+
(0.25)%)
Monthly,
1/17/24
200
(10)
—
(10)
JPMorgan
Chase,
Receive
Underlying
Reference:
Cie
Financiere
Richemont
Monthly,
Pay
Variable
1.955%
(1M
CHF
LIBOR
+
0.40%)
Monthly,
1/17/24
786
16
—
16
Morgan
Stanley,
Pay
Underlying
Reference:
CRISPR
Therapeutics
Monthly,
Receive
Variable
4.631%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
100
2
—
2
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
65
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Holcim
Monthly,
Receive
Variable
1.145%
(1M
CHF
LIBOR
+
(0.41)%)
Monthly,
1/17/24
272
(10)
—
(10)
Morgan
Stanley,
Pay
Underlying
Reference:
Schindler
Holding
Monthly,
Receive
Variable
1.145%
(1M
CHF
LIBOR
+
(0.41)%)
Monthly,
1/17/24
289
(9)
—
(9)
Morgan
Stanley,
Pay
Underlying
Reference:
Swiss
Re
Monthly,
Receive
Variable
1.145%
(1M
CHF
LIBOR
+
(0.41)%)
Monthly,
1/17/24
257
(2)
—
(2)
UBS
Investment
Bank,
Pay
Underlying
Reference:
Schindler
Holding
Monthly,
Receive
Variable
1.208%
(1M
CHF
LIBOR
+
(0.40)%)
Monthly,
1/17/24
274
(19)
—
(19)
Total
Switzerland
—
(47)
United
Kingdom
0.0%
Bank
of
America,
Receive
Underlying
Reference:
Endava
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
336
(38)
—
(38)
Citibank,
Pay
Underlying
Reference:
Burberry
Group
Monthly,
Receive
Variable
4.439%
(GBP
SONIA
+
(0.31)%)
Monthly,
1/17/24
173
(25)
—
(25)
Citibank,
Pay
Underlying
Reference:
JD
Sports
Fashion
Monthly,
Receive
Variable
4.439%
(GBP
SONIA
+
(0.31)%)
Monthly,
1/17/24
262
(40)
—
(40)
Citibank,
Pay
Underlying
Reference:
Legal
&
General
Group
Monthly,
Receive
Variable
4.439%
(GBP
SONIA
+
(0.31)%)
Monthly,
1/17/24
452
(27)
—
(27)
Citibank,
Receive
Underlying
Reference:
Anglo
American
Monthly,
Pay
Variable
5.118%
(GBP
SONIA
+
0.39%)
Monthly,
1/17/24
559
40
—
40
Citibank,
Receive
Underlying
Reference:
Anglo
American
Monthly,
Pay
Variable
5.139%
(GBP
SONIA
+
0.39%)
Monthly,
1/17/24
690
78
—
78
Citibank,
Receive
Underlying
Reference:
Melrose
Industries
Monthly,
Pay
Variable
5.139%
(GBP
SONIA
+
0.39%)
Monthly,
1/17/24
406
39
—
39
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
66
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Goldman
Sachs,
Pay
Underlying
Reference:
Burberry
Group
Monthly,
Receive
Variable
4.296%
(GBP
SONIA
+
(0.35)%)
Monthly,
1/17/24
119
(13)
—
(13)
Goldman
Sachs,
Receive
Underlying
Reference:
Barclays
Monthly,
Pay
Variable
5.026%
(GBP
SONIA
+
0.38%)
Monthly,
1/17/24
1,132
(13)
—
(13)
Goldman
Sachs,
Receive
Underlying
Reference:
Endeavour
Mining
Monthly,
Pay
Variable
4.689%
(GBP
SONIA
+
0.38%)
Monthly,
1/17/24
570
(28)
—
(28)
Goldman
Sachs,
Receive
Underlying
Reference:
Imperial
Brands
Monthly,
Pay
Variable
5.026%
(GBP
SONIA
+
0.38%)
Monthly,
1/17/24
668
38
—
38
Goldman
Sachs,
Receive
Underlying
Reference:
Next
Monthly,
Pay
Variable
5.026%
(GBP
SONIA
+
0.38%)
Monthly,
1/17/24
404
21
—
21
Goldman
Sachs,
Receive
Underlying
Reference:
Segro
Monthly,
Pay
Variable
5.026%
(GBP
SONIA
+
0.38%)
Monthly,
1/17/24
792
39
—
39
Goldman
Sachs,
Receive
Underlying
Reference:
TechnipFMC
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
343
15
—
15
JPMorgan
Chase,
Receive
Underlying
Reference:
GSK
Monthly,
Pay
Variable
4.996%
(GBP
SONIA
+
0.35%)
Monthly,
1/17/24
797
49
—
49
JPMorgan
Chase,
Receive
Underlying
Reference:
Prudential
Monthly,
Pay
Variable
4.996%
(GBP
SONIA
+
0.35%)
Monthly,
1/17/24
410
11
—
11
JPMorgan
Chase,
Receive
Underlying
Reference:
Unilever
Monthly,
Pay
Variable
4.996%
(GBP
SONIA
+
0.35%)
Monthly,
1/17/24
291
15
—
15
Morgan
Stanley,
Pay
Underlying
Reference:
Kingfisher
Monthly,
Receive
Variable
4.336%
(GBP
SONIA
+
(0.31)%)
Monthly,
1/17/24
661
(46)
—
(46)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
67
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Mondi
Monthly,
Receive
Variable
4.336%
(GBP
SONIA
+
(0.31)%)
Monthly,
1/17/24
1,207
(106)
—
(106)
Total
United
Kingdom
—
9
United
States
0.3%
Bank
of
America,
Pay
Underlying
Reference:
Caterpillar
Monthly,
Receive
Variable
4.557%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
454
(15)
—
(15)
Bank
of
America,
Pay
Underlying
Reference:
CBIZ
Monthly,
Receive
Variable
1.150%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
72
(2)
—
(2)
Bank
of
America,
Pay
Underlying
Reference:
CBIZ
Monthly,
Receive
Variable
4.557%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
230
5
—
5
Bank
of
America,
Pay
Underlying
Reference:
CVS
Health
Monthly,
Receive
Variable
4.557%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
407
(23)
—
(23)
Bank
of
America,
Pay
Underlying
Reference:
Equifax
Monthly,
Receive
Variable
4.557%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
1,471
208
—
208
Bank
of
America,
Pay
Underlying
Reference:
Eversource
Energy
Monthly,
Receive
Variable
4.557%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
1,938
—
—
—
Bank
of
America,
Pay
Underlying
Reference:
GE
HealthCare
Technologies
Monthly,
Receive
Variable
4.557%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
405
17
—
17
Bank
of
America,
Pay
Underlying
Reference:
Goldman
Sachs
Group
Monthly,
Receive
Variable
4.557%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
542
(46)
—
(46)
Bank
of
America,
Pay
Underlying
Reference:
Horizon
Therapeutics
Monthly,
Receive
Variable
4.431%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
225
4
—
4
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
68
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Bank
of
America,
Pay
Underlying
Reference:
Mettler-Toledo
International
Monthly,
Receive
Variable
4.557%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
1,597
89
—
89
Bank
of
America,
Pay
Underlying
Reference:
Paycom
Software
Monthly,
Receive
Variable
4.557%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
911
(23)
—
(23)
Bank
of
America,
Pay
Underlying
Reference:
UDR
Monthly,
Receive
Variable
4.557%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
249
12
—
12
Bank
of
America,
Pay
Underlying
Reference:
United
States
Steel
Monthly,
Receive
Variable
4.557%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
293
(10)
—
(10)
Bank
of
America,
Pay
Underlying
Reference:
Vanguard
Information
Technology
Monthly,
Receive
Variable
4.292%
(SOFR
+
(0.565)%)
Monthly,
1/18/24
163
—
—
—
Bank
of
America,
Pay
Underlying
Reference:
Walt
Disney
Monthly,
Receive
Variable
4.540%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
270
(9)
—
(9)
Bank
of
America,
Receive
Underlying
Reference:
Carrier
Global
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
672
62
—
62
Bank
of
America,
Receive
Underlying
Reference:
Chipotle
Mexican
Grill
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
374
(30)
—
(30)
Bank
of
America,
Receive
Underlying
Reference:
Citigroup
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
533
15
—
15
Bank
of
America,
Receive
Underlying
Reference:
DENTSPLY
SIRONA
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
813
17
—
17
Bank
of
America,
Receive
Underlying
Reference:
Elevance
Health
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
537
41
—
41
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
69
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Bank
of
America,
Receive
Underlying
Reference:
Humana
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
751
37
—
37
Bank
of
America,
Receive
Underlying
Reference:
Intercontinental
Exchange
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
380
(7)
—
(7)
Bank
of
America,
Receive
Underlying
Reference:
Keurig
Dr
Pepper
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
222
16
—
16
Bank
of
America,
Receive
Underlying
Reference:
Las
Vegas
Sands
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
212
1
—
1
Bank
of
America,
Receive
Underlying
Reference:
Meta
Platforms,
Class
A
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
506
12
—
12
Bank
of
America,
Receive
Underlying
Reference:
Netfilx
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
1,153
(31)
—
(31)
Bank
of
America,
Receive
Underlying
Reference:
NOV
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
296
31
—
31
Bank
of
America,
Receive
Underlying
Reference:
NVIDIA
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
520
2
—
2
Bank
of
America,
Receive
Underlying
Reference:
Procter
&
Gamble
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
2,271
121
—
121
Bank
of
America,
Receive
Underlying
Reference:
Qualcomm
Monthly,
Pay
Variable
5.140%
(SOFR
+
0.30%)
Monthly,
1/18/24
2,130
182
—
182
Bank
of
America,
Receive
Underlying
Reference:
Saia
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
476
66
—
66
Bank
of
America,
Receive
Underlying
Reference:
Southwest
Airlines
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
922
(56)
—
(56)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
70
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Bank
of
America,
Receive
Underlying
Reference:
Union
Pacific
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
421
44
—
44
Bank
of
America,
Receive
Underlying
Reference:
Williams
Monthly,
Pay
Variable
4.833%
(SOFR
+
0.30%)
Monthly,
1/18/24
189
2
—
2
Citibank,
Pay
Underlying
Reference:
Acuity
Brands
Monthly,
Receive
Variable
4.750%
(SOFR
+
(0.18)%)
Monthly,
1/18/24
327
1
—
1
Citibank,
Pay
Underlying
Reference:
Advanced
Micro
Devices
Monthly,
Receive
Variable
4.743%
(SOFR
+
(0.18)%)
Monthly,
1/18/24
1,010
(36)
—
(36)
Citibank,
Pay
Underlying
Reference:
Advanced
Micro
Devices
Monthly,
Receive
Variable
4.750%
(SOFR
+
(0.18)%)
Monthly,
1/18/24
574
(2)
—
(2)
Citibank,
Pay
Underlying
Reference:
Centene
Monthly,
Receive
Variable
4.750%
(SOFR
+
(0.18)%)
Monthly,
1/18/24
379
(3)
—
(3)
Citibank,
Pay
Underlying
Reference:
Discover
Financial
Services
Monthly,
Receive
Variable
4.750%
(SOFR
+
(0.18)%)
Monthly,
1/18/24
780
87
—
87
Citibank,
Pay
Underlying
Reference:
Encore
Wire
Monthly,
Receive
Variable
4.660%
(SOFR
+
(0.18)%)
Monthly,
1/18/24
226
1
—
1
Citibank,
Pay
Underlying
Reference:
IQVIA
Holdings
Monthly,
Receive
Variable
4.750%
(SOFR
+
(0.18)%)
Monthly,
1/18/24
997
(17)
—
(17)
Citibank,
Pay
Underlying
Reference:
iShares
Semiconductor
Monthly,
Receive
Variable
4.330%
(SOFR
+
(0.60)%)
Monthly,
1/18/24
160
(9)
—
(9)
Citibank,
Pay
Underlying
Reference:
Palo
Alto
Networks
Monthly,
Receive
Variable
4.750%
(SOFR
+
(0.18)%)
Monthly,
1/18/24
738
(5)
—
(5)
Citibank,
Pay
Underlying
Reference:
Rockwell
Automation
Monthly,
Receive
Variable
4.750%
(SOFR
+
(0.18)%)
Monthly,
1/18/24
298
—
—
—
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
71
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Citibank,
Pay
Underlying
Reference:
ServiceNow
Monthly,
Receive
Variable
4.750%
(SOFR
+
(0.18)%)
Monthly,
1/18/24
1,077
(30)
—
(30)
Citibank,
Receive
Underlying
Reference:
Boeing
Monthly,
Pay
Variable
5.104%
(SOFR
+
0.42%)
Monthly,
1/18/24
298
37
—
37
Citibank,
Receive
Underlying
Reference:
Boeing
Monthly,
Pay
Variable
5.239%
(SOFR
+
0.42%)
Monthly,
1/18/24
692
94
—
94
Citibank,
Receive
Underlying
Reference:
Broadridge
Financial
Solutions
Monthly,
Pay
Variable
5.350%
(SOFR
+
0.42%)
Monthly,
1/18/24
302
4
—
4
Citibank,
Receive
Underlying
Reference:
Catelent
Monthly,
Pay
Variable
5.350%
(SOFR
+
0.42%)
Monthly,
1/18/24
800
49
—
49
Citibank,
Receive
Underlying
Reference:
Colgate-Palmolive
Monthly,
Pay
Variable
5.350%
(SOFR
+
0.42%)
Monthly,
1/18/24
568
4
—
4
Citibank,
Receive
Underlying
Reference:
ConocoPhillips
Monthly,
Pay
Variable
5.350%
(SOFR
+
0.42%)
Monthly,
1/18/24
832
104
—
104
Citibank,
Receive
Underlying
Reference:
Freeport-McMoRan
Monthly,
Pay
Variable
5.151%
(SOFR
+
0.42%)
Monthly,
1/18/24
557
32
—
32
Citibank,
Receive
Underlying
Reference:
JPMorgan
Chase
Monthly,
Pay
Variable
5.350%
(SOFR
+
0.42%)
Monthly,
1/18/24
1,112
94
—
94
Citibank,
Receive
Underlying
Reference:
ON
Semiconductor
Monthly,
Pay
Variable
5.350%
(SOFR
+
0.42%)
Monthly,
1/18/24
479
57
—
57
Citibank,
Receive
Underlying
Reference:
PG&E
Monthly,
Pay
Variable
5.350%
(SOFR
+
0.42%)
Monthly,
1/18/24
843
10
—
10
Citibank,
Receive
Underlying
Reference:
Stanley
Black
&
Decker
Monthly,
Pay
Variable
5.350%
(SOFR
+
0.42%)
Monthly,
1/18/24
1,010
57
—
57
Citibank,
Receive
Underlying
Reference:
Target
Monthly,
Pay
Variable
5.350%
(SOFR
+
0.42%)
Monthly,
1/18/24
391
13
—
13
Citibank,
Receive
Underlying
Reference:
TransDigm
Group
Monthly,
Pay
Variable
5.350%
(SOFR
+
0.42%)
Monthly,
1/18/24
772
13
—
13
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
72
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Citibank,
Receive
Underlying
Reference:
Tyson
Fodds,
Class
A
Monthly,
Pay
Variable
5.350%
(SOFR
+
0.42%)
Monthly,
1/18/24
565
52
—
52
Citibank,
Receive
Underlying
Reference:
Westrock
Monthly,
Pay
Variable
5.350%
(SOFR
+
0.42%)
Monthly,
1/18/24
229
35
—
35
Goldman
Sachs,
Pay
Underlying
Reference:
American
Electric
Power
Monthly,
Receive
Variable
4.557%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
985
11
—
11
Goldman
Sachs,
Pay
Underlying
Reference:
Comcast,
Class
A
Monthly,
Receive
Variable
4.557%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
993
(73)
—
(73)
Goldman
Sachs,
Pay
Underlying
Reference:
Estee
Lauder,
Class
A
Monthly,
Receive
Variable
4.038%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
1,901
(23)
—
(23)
Goldman
Sachs,
Pay
Underlying
Reference:
Gilead
Sciences
Monthly,
Receive
Variable
4.233%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
265
5
—
5
Goldman
Sachs,
Pay
Underlying
Reference:
Invitation
Homes
Monthly,
Receive
Variable
4.557%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
987
(3)
—
(3)
Goldman
Sachs,
Pay
Underlying
Reference:
iShares
Biotechnology
Monthly,
Receive
Variable
4.038%
(SOFR
+
(0.70)%)
Monthly,
1/18/24
153
—
—
—
Goldman
Sachs,
Pay
Underlying
Reference:
iShares
US
Consumer
Discretionary
Monthly,
Receive
Variable
2.823%
(SOFR
+
(2.04)%)
Monthly,
1/18/24
175
—
—
—
Goldman
Sachs,
Pay
Underlying
Reference:
Lululemon
Athletica
Monthly,
Receive
Variable
4.557%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
259
4
—
4
Goldman
Sachs,
Pay
Underlying
Reference:
Markit
iBoxx
EUR
Liquid
High
Yield
Index
at
Maturity,
Receive
Variable
3.572%
(3M
EURIBOR
+
0.00%)
Quarterly,
9/20/23
(EUR)
1,900
(4)
—
(4)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
73
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Goldman
Sachs,
Pay
Underlying
Reference:
Moderna
Monthly,
Receive
Variable
4.557%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
205
9
—
9
Goldman
Sachs,
Pay
Underlying
Reference:
SPDR
S&P
Bank
Monthly,
Receive
Variable
3.607%
(SOFR
+
(1.25)%)
Monthly,
1/18/24
173
(16)
—
(16)
Goldman
Sachs,
Pay
Underlying
Reference:
United
States
Steel
Monthly,
Receive
Variable
4.557%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
586
(20)
—
(20)
Goldman
Sachs,
Pay
Underlying
Reference:
VICI
Properties
Monthly,
Receive
Variable
4.557%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
338
1
—
1
Goldman
Sachs,
Receive
Underlying
Reference:
AmerisourceBergen
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
511
(15)
—
(15)
Goldman
Sachs,
Receive
Underlying
Reference:
Baxter
International
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
656
(20)
—
(20)
Goldman
Sachs,
Receive
Underlying
Reference:
Consumer
Staples
Select
Sector
SPDR
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
156
3
—
3
Goldman
Sachs,
Receive
Underlying
Reference:
Corebridge
Financial
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
52
—
—
—
Goldman
Sachs,
Receive
Underlying
Reference:
Evergy
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
1,628
11
—
11
Goldman
Sachs,
Receive
Underlying
Reference:
International
Paper
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
298
48
—
48
Goldman
Sachs,
Receive
Underlying
Reference:
Intuitive
Surgical
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
569
(49)
—
(49)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
74
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Goldman
Sachs,
Receive
Underlying
Reference:
iShares
U.S.
Healthcare
Providers
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
153
4
—
4
Goldman
Sachs,
Receive
Underlying
Reference:
iShares
U.S.
Medical
Devices
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
158
(1)
—
(1)
Goldman
Sachs,
Receive
Underlying
Reference:
LPL
Financial
Holdings
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
283
4
—
4
Goldman
Sachs,
Receive
Underlying
Reference:
Materials
Select
Sector
SPDR
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
167
4
—
4
Goldman
Sachs,
Receive
Underlying
Reference:
Monster
Beverage
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
330
—
—
—
Goldman
Sachs,
Receive
Underlying
Reference:
Morgan
Stanley
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
899
61
—
61
Goldman
Sachs,
Receive
Underlying
Reference:
NextEra
Energy
Monthly,
Pay
Variable
0.300%
(SOFR
+
0.30%)
Monthly,
1/18/24
265
2
—
2
Goldman
Sachs,
Receive
Underlying
Reference:
Rivian
Automotive,
Class
A
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
933
140
—
140
Goldman
Sachs,
Receive
Underlying
Reference:
Stanley
Black
&
Decker
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
359
7
—
7
Goldman
Sachs,
Receive
Underlying
Reference:
Tesla
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
288
(23)
—
(23)
Goldman
Sachs,
Receive
Underlying
Reference:
Utilities
Slecet
Sector
SPDR
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
152
2
—
2
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
75
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Goldman
Sachs,
Receive
Underlying
Reference:
Vanguard
Communicaiton
Services
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
164
5
—
5
Goldman
Sachs,
Receive
Underlying
Reference:
Visa,
Class
A
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
420
(12)
—
(12)
Goldman
Sachs,
Receive
Underlying
Reference:
Welltower
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
1,066
36
—
36
JPMorgan
Chase,
Pay
Underlying
Reference:
Apple
at
Maturity,
Receive
Variable
4.527%
(SOFR
+
(0.55)%)
at
Maturity,
9/20/23
1,663
(1)
(29)
28
JPMorgan
Chase,
Pay
Underlying
Reference:
Apple
Monthly,
Receive
Variable
4.607%
(SOFR
+
(0.25)%)
Monthly,
1/18/24
442
(5)
—
(5)
JPMorgan
Chase,
Pay
Underlying
Reference:
Bank
of
America
Monthly,
Receive
Variable
4.607%
(SOFR
+
(0.25)%)
Monthly,
1/18/24
880
(76)
—
(76)
JPMorgan
Chase,
Pay
Underlying
Reference:
Blackstone
Monthly,
Receive
Variable
4.607%
(SOFR
+
(0.25)%)
Monthly,
1/18/24
368
(3)
—
(3)
JPMorgan
Chase,
Pay
Underlying
Reference:
Carnival
at
Maturity,
Receive
Variable
4.327%
(SOFR
+
(0.75)%)
at
Maturity,
9/20/23
2,175
(89)
(21)
(68)
JPMorgan
Chase,
Pay
Underlying
Reference:
CoStar
Group
Monthly,
Receive
Variable
4.607%
(SOFR
+
(0.25)%)
Monthly,
1/18/24
759
57
—
57
JPMorgan
Chase,
Pay
Underlying
Reference:
Goodyear
Tire
&
Rubber
at
Maturity,
Receive
Variable
4.277%
(SOFR
+
(0.80)%)
at
Maturity,
9/20/23
881
(12)
—
(12)
JPMorgan
Chase,
Pay
Underlying
Reference:
Halliburton
at
Maturity,
Receive
Variable
4.577%
(SOFR
+
(0.50)%)
at
Maturity,
9/20/23
519
(6)
(2)
(4)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
76
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
JPMorgan
Chase,
Pay
Underlying
Reference:
Intercontinental
Exchange
Monthly,
Receive
Variable
4.434%
(SOFR
+
(0.25)%)
Monthly,
1/18/24
42
1
—
1
JPMorgan
Chase,
Pay
Underlying
Reference:
Intercontinental
Exchange
Monthly,
Receive
Variable
4.607%
(SOFR
+
(0.25)%)
Monthly,
1/18/24
49
1
—
1
JPMorgan
Chase,
Pay
Underlying
Reference:
Lowe's
Monthly,
Receive
Variable
4.607%
(1M
USD
LIBOR
+
(0.25)%)
Monthly,
1/18/24
419
(13)
—
(13)
JPMorgan
Chase,
Pay
Underlying
Reference:
Macy's
Retail
Holdings
at
Maturity,
Receive
Variable
4.457%
(SOFR
+
(0.62)%)
at
Maturity,
9/20/23
1,709
(68)
(32)
(36)
JPMorgan
Chase,
Pay
Underlying
Reference:
MPT
Operating
Partnership
at
Maturity,
Receive
Variable
4.427%
(SOFR
+
(0.65)%)
at
Maturity,
9/20/23
762
(45)
(18)
(27)
JPMorgan
Chase,
Pay
Underlying
Reference:
Okta
Monthly,
Receive
Variable
4.607%
(SOFR
+
(0.25)%)
Monthly,
1/18/24
92
(8)
—
(8)
JPMorgan
Chase,
Pay
Underlying
Reference:
PayPal
Holdings
Monthly,
Receive
Variable
4.607%
(SOFR
+
(0.25)%)
Monthly,
1/18/24
266
(8)
—
(8)
JPMorgan
Chase,
Pay
Underlying
Reference:
Quanta
Services
Monthly,
Receive
Variable
4.607%
(SOFR
+
(0.25)%)
Monthly,
1/18/24
800
(8)
—
(8)
JPMorgan
Chase,
Pay
Underlying
Reference:
Texas
Instruments
Monthly,
Receive
Variable
4.607%
(SOFR
+
(0.25)%)
Monthly,
1/18/24
2,158
30
—
30
JPMorgan
Chase,
Pay
Underlying
Reference:
United
Parcel
Service,
Class
B
Monthly,
Receive
Variable
4.607%
(SOFR
+
(0.25)%)
Monthly,
1/18/24
728
(16)
—
(16)
JPMorgan
Chase,
Receive
Underlying
Reference:
Adobe
Monthly,
Pay
Variable
5.207%
(SOFR
+
0.35%)
Monthly,
1/18/24
1,207
53
—
53
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
77
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
JPMorgan
Chase,
Receive
Underlying
Reference:
Apollo
Global
Management
Monthly,
Pay
Variable
5.207%
(SOFR
+
0.35%)
Monthly,
1/18/24
289
2
—
2
JPMorgan
Chase,
Receive
Underlying
Reference:
Applied
Materials
Monthly,
Pay
Variable
5.207%
(SOFR
+
0.35%)
Monthly,
1/18/24
293
12
—
12
JPMorgan
Chase,
Receive
Underlying
Reference:
Cerevel
Therapeutics
Holdings
Monthly,
Pay
Variable
5.207%
(SOFR
+
0.35%)
Monthly,
1/18/24
226
6
—
6
JPMorgan
Chase,
Receive
Underlying
Reference:
Coupang
Monthly,
Pay
Variable
5.207%
(SOFR
+
0.35%)
Monthly,
1/18/24
348
4
—
4
JPMorgan
Chase,
Receive
Underlying
Reference:
KLA
Monthly,
Pay
Variable
5.207%
(SOFR
+
0.35%)
Monthly,
1/18/24
1,538
70
—
70
JPMorgan
Chase,
Receive
Underlying
Reference:
Norfolk
Southern
Monthly,
Pay
Variable
5.207%
(SOFR
+
0.35%)
Monthly,
1/18/24
283
—
—
—
Morgan
Stanley,
Pay
Underlying
Reference:
Abbott
Laboratories
Monthly,
Receive
Variable
4.657%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
605
(26)
—
(26)
Morgan
Stanley,
Pay
Underlying
Reference:
Albemarle
Monthly,
Receive
Variable
4.657%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
422
46
—
46
Morgan
Stanley,
Pay
Underlying
Reference:
AMN
Healthcare
Services
Monthly,
Receive
Variable
4.657%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
263
7
—
7
Morgan
Stanley,
Pay
Underlying
Reference:
Analog
Devices
Monthly,
Receive
Variable
4.657%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
539
(8)
—
(8)
Morgan
Stanley,
Pay
Underlying
Reference:
Autodesk
Monthly,
Receive
Variable
4.657%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
243
3
—
3
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
78
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Automatic
Data
Processing
Monthly,
Receive
Variable
4.657%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
534
(30)
—
(30)
Morgan
Stanley,
Pay
Underlying
Reference:
Bristol-Myers
Squibb
Monthly,
Receive
Variable
4.657%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
978
(12)
—
(12)
Morgan
Stanley,
Pay
Underlying
Reference:
Bristol-Myers
Squibb
Monthly,
Receive
Variable
4.657%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
1,682
(22)
—
(22)
Morgan
Stanley,
Pay
Underlying
Reference:
Broadcom
Monthly,
Receive
Variable
4.138%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
266
1
—
1
Morgan
Stanley,
Pay
Underlying
Reference:
CarMax
Monthly,
Receive
Variable
4.657%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
433
6
—
6
Morgan
Stanley,
Pay
Underlying
Reference:
Caterpillar
Monthly,
Receive
Variable
4.657%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
1,210
(40)
—
(40)
Morgan
Stanley,
Pay
Underlying
Reference:
Celanese
Monthly,
Receive
Variable
4.657%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
2,141
(85)
—
(85)
Morgan
Stanley,
Pay
Underlying
Reference:
Crowdstrike
Holdings,
Class
A
Monthly,
Receive
Variable
4.657%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
664
(37)
—
(37)
Morgan
Stanley,
Pay
Underlying
Reference:
Deere
Monthly,
Receive
Variable
4.657%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
2,005
(45)
—
(45)
Morgan
Stanley,
Pay
Underlying
Reference:
Devon
Energy
Monthly,
Receive
Variable
4.657%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
337
(34)
—
(34)
Morgan
Stanley,
Pay
Underlying
Reference:
Entegris
Monthly,
Receive
Variable
4.657%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
162
3
—
3
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
79
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Ford
Motor
Monthly,
Receive
Variable
4.657%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
913
49
—
49
Morgan
Stanley,
Pay
Underlying
Reference:
Gartner
Monthly,
Receive
Variable
4.657%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
2,062
101
—
101
Morgan
Stanley,
Pay
Underlying
Reference:
Generac
Holdings
Monthly,
Receive
Variable
4.657%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
1,089
(80)
—
(80)
Morgan
Stanley,
Pay
Underlying
Reference:
General
Motors
Monthly,
Receive
Variable
4.657%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
497
6
—
6
Morgan
Stanley,
Pay
Underlying
Reference:
Goldman
Sachs
Group
Monthly,
Receive
Variable
4.657%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
302
(26)
—
(26)
Morgan
Stanley,
Pay
Underlying
Reference:
HCA
Healthcare
Monthly,
Receive
Variable
4.657%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
1,216
82
—
82
Morgan
Stanley,
Pay
Underlying
Reference:
Henry
Schein
Monthly,
Receive
Variable
4.657%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
526
11
—
11
Morgan
Stanley,
Pay
Underlying
Reference:
Host
Hotels
&
Resorts
Monthly,
Receive
Variable
4.657%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
892
(47)
—
(47)
Morgan
Stanley,
Pay
Underlying
Reference:
IDEX
Monthly,
Receive
Variable
4.657%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
188
(13)
—
(13)
Morgan
Stanley,
Pay
Underlying
Reference:
IDEXX
Laboratories
Monthly,
Receive
Variable
4.657%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
498
(2)
—
(2)
Morgan
Stanley,
Pay
Underlying
Reference:
Incyte
Monthly,
Receive
Variable
4.657%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
562
(23)
—
(23)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
80
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
iShares
Expanded
Tec-
Software
Sector
Monthly,
Receive
Variable
3.188%
(SOFR
+
(1.73)%)
Monthly,
1/18/24
254
—
—
—
Morgan
Stanley,
Pay
Underlying
Reference:
J
M
Smucker
Monthly,
Receive
Variable
4.657%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
1,199
(15)
—
(15)
Morgan
Stanley,
Pay
Underlying
Reference:
Jack
Henry
&
Associates
Monthly,
Receive
Variable
4.657%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
1,014
7
—
7
Morgan
Stanley,
Pay
Underlying
Reference:
Johnson
&
Johnson
Monthly,
Receive
Variable
4.657%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
641
(33)
—
(33)
Morgan
Stanley,
Pay
Underlying
Reference:
Kimco
Realty
Monthly,
Receive
Variable
4.657%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
336
7
—
7
Morgan
Stanley,
Pay
Underlying
Reference:
Kroger
Monthly,
Receive
Variable
4.657%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
338
(15)
—
(15)
Morgan
Stanley,
Pay
Underlying
Reference:
Lincoln
Electric
Holdings
Monthly,
Receive
Variable
1.250%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
151
(4)
—
(4)
Morgan
Stanley,
Pay
Underlying
Reference:
Lincoln
Electric
Holdings
Monthly,
Receive
Variable
4.657%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
222
3
—
3
Morgan
Stanley,
Pay
Underlying
Reference:
Microchip
Technology
Monthly,
Receive
Variable
4.657%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
830
(14)
—
(14)
Morgan
Stanley,
Pay
Underlying
Reference:
Mid-America
Apartment
Communities
Monthly,
Receive
Variable
4.657%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
258
7
—
7
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
81
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Newmont
Monthly,
Receive
Variable
4.657%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
263
11
—
11
Morgan
Stanley,
Pay
Underlying
Reference:
Okta
Monthly,
Receive
Variable
4.657%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
156
(13)
—
(13)
Morgan
Stanley,
Pay
Underlying
Reference:
Pfizer
Monthly,
Receive
Variable
4.657%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
2,356
(35)
—
(35)
Morgan
Stanley,
Pay
Underlying
Reference:
Pool
Monthly,
Receive
Variable
4.657%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
277
(18)
—
(18)
Morgan
Stanley,
Pay
Underlying
Reference:
Snap-on
Monthly,
Receive
Variable
4.657%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
749
58
—
58
Morgan
Stanley,
Pay
Underlying
Reference:
Tractor
Supply
Monthly,
Receive
Variable
4.657%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
494
(30)
—
(30)
Morgan
Stanley,
Pay
Underlying
Reference:
Ulta
Beauty
Monthly,
Receive
Variable
4.657%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
233
14
—
14
Morgan
Stanley,
Pay
Underlying
Reference:
Vanguard
Consumer
Discretionary
Monthly,
Receive
Variable
3.734%
(SOFR
+
(1.13)%)
Monthly,
1/18/24
176
1
—
1
Morgan
Stanley,
Pay
Underlying
Reference:
Waters
Monthly,
Receive
Variable
4.657%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
485
(10)
—
(10)
Morgan
Stanley,
Receive
Underlying
Reference:
Activision
Blizzard
Monthly,
Pay
Variable
4.933%
(SOFR
+
0.40%)
Monthly,
1/18/24
189
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Agilent
Technologies
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
978
27
—
27
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
82
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Allakos
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
73
9
—
9
Morgan
Stanley,
Receive
Underlying
Reference:
Altaba
Monthly,
Pay
Variable
5.257%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
18
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Ameren
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
248
3
—
3
Morgan
Stanley,
Receive
Underlying
Reference:
American
Express
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
339
(12)
—
(12)
Morgan
Stanley,
Receive
Underlying
Reference:
AMETEK
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
628
1
—
1
Morgan
Stanley,
Receive
Underlying
Reference:
Ball
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
400
19
—
19
Morgan
Stanley,
Receive
Underlying
Reference:
Bank
of
New
York
Mellon
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
999
49
—
49
Morgan
Stanley,
Receive
Underlying
Reference:
Blueprint
Medicines
Monthly,
Pay
Variable
5.219%
(SOFR
+
0.40%)
Monthly,
1/18/24
38
5
—
5
Morgan
Stanley,
Receive
Underlying
Reference:
Blueprint
Medicines
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
226
31
—
31
Morgan
Stanley,
Receive
Underlying
Reference:
Burlington
Stores
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
350
19
—
19
Morgan
Stanley,
Receive
Underlying
Reference:
Cboe
Global
Markets
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
732
(9)
—
(9)
Morgan
Stanley,
Receive
Underlying
Reference:
CF
Industries
Holdings
Monthly,
Pay
Variable
5.084%
(SOFR
+
0.40%)
Monthly,
1/18/24
147
5
—
5
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
83
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
CF
Industries
Holdings
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
213
23
—
23
Morgan
Stanley,
Receive
Underlying
Reference:
CSX
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
357
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Dollar
General
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
156
7
—
7
Morgan
Stanley,
Receive
Underlying
Reference:
Dominion
Energy
Monthly,
Pay
Variable
5.257%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
218
9
—
9
Morgan
Stanley,
Receive
Underlying
Reference:
Extra
Space
Storage
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
460
(51)
—
(51)
Morgan
Stanley,
Receive
Underlying
Reference:
FedEx
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
565
32
—
32
Morgan
Stanley,
Receive
Underlying
Reference:
Fifth
Third
Bancorp
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
231
15
—
15
Morgan
Stanley,
Receive
Underlying
Reference:
FleetCor
Technologies
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
363
(14)
—
(14)
Morgan
Stanley,
Receive
Underlying
Reference:
FMC
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
514
3
—
3
Morgan
Stanley,
Receive
Underlying
Reference:
Hess
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
261
33
—
33
Morgan
Stanley,
Receive
Underlying
Reference:
Huntington
Ingalls
Industries
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
1,045
(18)
—
(18)
Morgan
Stanley,
Receive
Underlying
Reference:
Illumina
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
729
30
—
30
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
84
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Insmed
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
175
11
—
11
Morgan
Stanley,
Receive
Underlying
Reference:
JB
Hunt
Transport
Services
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
487
54
—
54
Morgan
Stanley,
Receive
Underlying
Reference:
Karuna
Therapeutics
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
75
(4)
—
(4)
Morgan
Stanley,
Receive
Underlying
Reference:
Kenvue
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
273
(14)
—
(14)
Morgan
Stanley,
Receive
Underlying
Reference:
Kymera
Therapeutics
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
127
(4)
—
(4)
Morgan
Stanley,
Receive
Underlying
Reference:
Lam
Research
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
317
27
—
27
Morgan
Stanley,
Receive
Underlying
Reference:
Mckesson
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
316
(8)
—
(8)
Morgan
Stanley,
Receive
Underlying
Reference:
Micron
Technology
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
269
25
—
25
Morgan
Stanley,
Receive
Underlying
Reference:
Morphic
Holding
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
85
(4)
—
(4)
Morgan
Stanley,
Receive
Underlying
Reference:
News,
Class
A
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
1,365
(42)
—
(42)
Morgan
Stanley,
Receive
Underlying
Reference:
Philip
Morris
International
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
698
4
—
4
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
85
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Public
Storage
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
265
(17)
—
(17)
Morgan
Stanley,
Receive
Underlying
Reference:
Qualcomm
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
331
23
—
23
Morgan
Stanley,
Receive
Underlying
Reference:
RAPT
Therapeutics
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
188
26
—
26
Morgan
Stanley,
Receive
Underlying
Reference:
Regeneron
Pharmaceuticals
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
275
7
—
7
Morgan
Stanley,
Receive
Underlying
Reference:
ResMed
Monthly,
Pay
Variable
5.257%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
364
2
—
2
Morgan
Stanley,
Receive
Underlying
Reference:
Rexford
Industrial
Realty
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
233
3
—
3
Morgan
Stanley,
Receive
Underlying
Reference:
Roper
Technologies
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
324
10
—
10
Morgan
Stanley,
Receive
Underlying
Reference:
Ross
Stores
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
627
24
—
24
Morgan
Stanley,
Receive
Underlying
Reference:
Seagen
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
1,730
(55)
—
(55)
Morgan
Stanley,
Receive
Underlying
Reference:
Strategic
Education
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
71
7
—
7
Morgan
Stanley,
Receive
Underlying
Reference:
Thermo
Fisher
Scientific
Monthly,
Pay
Variable
5.084%
(SOFR
+
0.40%)
Monthly,
1/18/24
282
(7)
—
(7)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
86
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Vaxcyte
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
72
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Ventyx
Biosciences
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
70
3
—
3
Morgan
Stanley,
Receive
Underlying
Reference:
Viatris
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
679
34
—
34
Morgan
Stanley,
Receive
Underlying
Reference:
Vmware,
Class
A
Monthly,
Pay
Variable
4.738%
(SOFR
+
0.40%)
Monthly,
1/18/24
379
(12)
—
(12)
Morgan
Stanley,
Receive
Underlying
Reference:
Vulcan
Materials
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
586
(10)
—
(10)
Morgan
Stanley,
Receive
Underlying
Reference:
Weyerhaeuser
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
356
(4)
—
(4)
Morgan
Stanley,
Receive
Underlying
Reference:
Zimmer
Biomet
Holdings
Monthly,
Pay
Variable
5.257%
(SOFR
+
0.40%)
Monthly,
1/18/24
373
(8)
—
(8)
Total
United
States
(102)
1,445
Virgin
Islands
(British)
(0.0)%
Bank
of
America,
Receive
Underlying
Reference:
Biohaven
Monthly,
Pay
Variable
5.157%
(SOFR
+
0.30%)
Monthly,
1/18/24
119
(30)
—
(30)
Total
Virgin
Islands
(British)
—
(30)
Total
Bilateral
Total
Return
Swaps
(102)
1,814
Interest
Rate
Swaps
(0.0)%
Brazil
(0.0)%
Barclays
Bank,
5
Year
Interest
Rate
Swap,
Receive
Fixed
10.270%
at
Maturity,
Pay
Variable
13.65%,
(BRL
CDI)
at
Maturity,
1/2/29
*
1,370
(1)
—
(1)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
87
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
3
Year
Interest
Rate
Swap,
Receive
Fixed
10.035%
at
Maturity,
Pay
Variable
13.65%,
(BRL
CDI)
at
Maturity,
1/4/27
*
1,183
—
—
—
Total
Brazil
—
(1)
Total
Bilateral
Interest
Rate
Swaps
—
(1)
Total
Bilateral
Swaps
(1,409)
1,483
Description
Notional
Amount
$
Value
Initial
$
Value
**
Unrealized
$
Gain/(Loss)
CENTRALLY
CLEARED
SWAPS
0.2%
Credit
Default
Swaps,
Protection
Bought
(0.1)%
Canada
(0.0)%
Protection
Bought
(Relevant
Credit:
Bombardier),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
6/20/28
(USD)
1,895
(106)
(74)
(32)
Total
Canada
(32)
Colombia
0.0%
Protection
Bought
(Relevant
Credit:
Republic
of
Colombia),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
6/20/28
(USD)
441
18
39
(21)
Total
Colombia
(21)
Foreign/Europe
0.0%
Protection
Bought
(Relevant
Credit:
Markit
iTraxx
Europe
Subordinated
Financials-S39,
5
Year
Index
),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
6/20/28
1,890
37
99
(62)
Total
Foreign/Europe
(62)
Luxembourg
0.1%
Protection
Bought
(Relevant
Credit:
Altice
Finco),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/20/27
435
148
53
95
Protection
Bought
(Relevant
Credit:
Glencore
Finance
Europe),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/20/26
85
(13)
(19)
6
Total
Luxembourg
101
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
88
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Initial
$
Value**
Unrealized
$
Gain/(Loss)
South
Africa
0.0%
Protection
Bought
(Relevant
Credit:
Republic
of
South
Africa),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
12/20/27
(USD)
740
31
48
(17)
Total
South
Africa
(17)
United
States
(0.2)%
Protection
Bought
(Relevant
Credit:
American
Axle
&
Manufacturing),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/20/27
1,230
(55)
(5)
(50)
Protection
Bought
(Relevant
Credit:
Apache),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
6/20/27
880
4
47
(43)
Protection
Bought
(Relevant
Credit:
Apache),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
12/20/27
45
1
2
(1)
Protection
Bought
(Relevant
Credit:
Beazer
Homes
USA),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
6/20/28
760
(80)
(74)
(6)
Protection
Bought
(Relevant
Credit:
Citigroup),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
12/20/27
822
(14)
1
(15)
Protection
Bought
(Relevant
Credit:
ConocoPhillips),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
6/20/27
800
(21)
(13)
(8)
Protection
Bought
(Relevant
Credit:
Delta
Air
Lines),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
6/21/27
420
(57)
(8)
(49)
Protection
Bought
(Relevant
Credit:
Iron
Mountain),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/20/27
762
(104)
(91)
(13)
Protection
Bought
(Relevant
Credit:
Macy's),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
12/20/27
255
19
46
(27)
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
(79)
(27)
(52)
Protection
Bought
(Relevant
Credit:
Markit
CDX.NA.HY-S40,
5
Year
Index),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
6/20/28
590
(24)
(21)
(3)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
89
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Initial
$
Value**
Unrealized
$
Gain/(Loss)
Protection
Bought
(Relevant
Credit:
Markit
CDX.NA.IG-S40,
5
Year
Index),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
6/20/28
8,460
(146)
(88)
(58)
Protection
Bought
(Relevant
Credit:
Marriott
International),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
12/20/26
1,995
(38)
(2)
(36)
Protection
Bought
(Relevant
Credit:
Murphy
Oil),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
6/21/27
83
1
10
(9)
Protection
Bought
(Relevant
Credit:
Murphy
Oil),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
12/20/27
870
19
57
(38)
Protection
Bought
(Relevant
Credit:
Occidental
Petroleum),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
6/21/27
320
(3)
17
(20)
Protection
Bought
(Relevant
Credit:
Sanofi),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
12/20/27
(EUR)
150
(5)
(3)
(2)
Protection
Bought
(Relevant
Credit:
The
Gap),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
12/20/27
240
27
42
(15)
Protection
Bought
(Relevant
Credit:
Xerox),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
12/20/27
200
14
30
(16)
Total
United
States
(461)
Total
Centrally
Cleared
Credit
Default
Swaps,
Protection
Bought
(492)
Credit
Default
Swaps,
Protection
Sold
0.3%
Foreign/Europe
0.1%
Protection
Sold
(Relevant
Credit:
Markit
iTraxx
Crossover-S39,
5
Year
Index),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
6/20/28
4,673
272
194
78
Total
Foreign/Europe
78
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
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
90
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Initial
$
Value**
Unrealized
$
Gain/(Loss)
United
States
0.2%
Protection
Sold
(Relevant
Credit:
Carnival,
B3*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
6/20/24
82
—
(3)
3
Protection
Sold
(Relevant
Credit:
Carnival,
B3*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
12/20/24
105
(2)
(8)
6
Protection
Sold
(Relevant
Credit:
DISH
DBS,
Caa2*),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
6/20/26
250
(80)
(48)
(32)
Protection
Sold
(Relevant
Credit:
FedEx,
Baa2*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
6/21/27
305
7
4
3
Protection
Sold
(Relevant
Credit:
Goodyear
Tire
&
Rubber,
B2*),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
6/21/27
1,250
123
45
78
Protection
Sold
(Relevant
Credit:
Macy's,
Ba2*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
6/21/27
2,005
(108)
(206)
98
Protection
Sold
(Relevant
Credit:
Markit
CDX.NA.HY-S37,
5
Year
Index),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
12/20/26
6,101
347
(91)
438
Protection
Sold
(Relevant
Credit:
Markit
CDX.NA.HY-S39,
5
Year
Index),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
12/20/27
2,396
105
9
96
Protection
Sold
(Relevant
Credit:
Markit
CDX.NA.HY-S40,
5
Year
Index),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
6/20/28
5,645
232
143
89
Protection
Sold
(Relevant
Credit:
Markit
CDX.NA.IG-S39,
5
Year
Index),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
12/20/27
927
15
6
9
Protection
Sold
(Relevant
Credit:
MetLife,
A3*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
6/20/28
190
1
(3)
4
Total
United
States
792
Total
Centrally
Cleared
Credit
Default
Swaps,
Protection
Sold
872
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
91
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Initial
$
Value**
Unrealized
$
Gain/(Loss)
Interest
Rate
Swaps
0.0%
Canada
(0.0)%
30
Year
Interest
Rate
Swap,
Pay
Fixed
3.525%
Semi-Annually,
Receive
Variable
5.000%
(CORRA)
Semi-Annually,
7/28/53
615
(8)
—
(8)
Total
Canada
(8)
China
(0.0)%
5
Year
Interest
Rate
Swap,
Pay
Fixed
2.830%
Quarterly,
Receive
Variable
1.850%
(7
Day
Interbank
Repo)
Quarterly,
3/20/28
10,360
(25)
—
(25)
Total
China
(25)
Czech
Republic
(0.0)%
5
Year
Interest
Rate
Swap,
Receive
Fixed
4.060%
Annually,
Pay
Variable
7.090%
(6M
CZK
PRIBOR)
Semi-Annually,
7/20/28
8,787
(4)
—
(4)
5
Year
Interest
Rate
Swap,
Receive
Fixed
4.120%
Annually,
Pay
Variable
7.100%
(6M
CZK
PRIBOR)
Semi-Annually,
7/19/28
4,394
(1)
—
(1)
5
Year
Interest
Rate
Swap,
Receive
Fixed
4.130%
Annually,
Pay
Variable
7.100%
(6M
CZK
PRIBOR)
Semi-Annually,
7/19/28
4,394
(1)
—
(1)
Total
Czech
Republic
(6)
Foreign/Europe
0.0%
2
Year
Interest
Rate
Swap,
Receive
Fixed
3.723%
Annually,
Pay
Variable
3.972%
(6M
EURIBOR)
Semi-Annually,
7/28/25
2,613
(1)
—
(1)
2
Year
Interest
Rate
Swap,
Receive
Fixed
3.726%
Annually,
Pay
Variable
3.972%
(6M
EURIBOR)
Semi-Annually,
7/28/25
2,612
—
—
—
5
Year
Interest
Rate
Swap,
Receive
Fixed
3.370%
Annually,
Pay
Variable
3.955%
(6M
EURIBOR)
Semi-Annually,
7/14/28
6,544
50
—
50
30
Year
Interest
Rate
Swap,
Pay
Fixed
2.747%
Annually,
Receive
Variable
3.955%
(6M
EURIBOR)
Semi-Annually,
7/14/53
1,461
(17)
—
(17)
Total
Foreign/Europe
32
India
(0.0)%
2
Year
Interest
Rate
Swap,
Receive
Fixed
6.590%
Semi-Annually,
Pay
Variable
6.600%
(1
Day
INR
MIBOR)
Semi-Annually,
5/30/24
45,000
(1)
—
(1)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
92
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Initial
$
Value**
Unrealized
$
Gain/(Loss)
2
Year
Interest
Rate
Swap,
Receive
Fixed
6.870%
at
Maturity,
Pay
Variable
6.600%
(1
Day
INR
MIBOR)
at
Maturity,
6/24/24
44,500
—
—
—
5
Year
Interest
Rate
Swap,
Pay
Fixed
6.835%
Semi-Annually,
Receive
Variable
6.600%
(1
Day
INR
MIBOR)
Semi-Annually,
5/31/27
45,000
(5)
1
(6)
5
Year
Interest
Rate
Swap,
Pay
Fixed
7.068%
at
Maturity,
Receive
Variable
6.600%
(1
Day
INR
MIBOR)
at
Maturity,
6/22/27
44,500
(11)
—
(11)
Total
India
(18)
Japan
0.0%
5
Year
Interest
Rate
Swap,
Pay
Fixed
0.303%
Annually,
Receive
Variable
(0.068)%
(JPY
TONA)
Annually,
7/24/28
228,050
3
—
3
10
Year
Interest
Rate
Swap,
Pay
Fixed
0.639%
Annually,
Receive
Variable
(0.059)%
(JPY
TONA)
Annually,
7/28/33
104,447
8
—
8
10
Year
Interest
Rate
Swap,
Pay
Fixed
0.648%
Annually,
Receive
Variable
(0.059)%
(JPY
TONA)
Annually,
7/28/33
105,913
8
—
8
10
Year
Interest
Rate
Swap,
Pay
Fixed
0.658%
Annually,
Receive
Variable
(0.054)%
(JPY
TONA)
Annually,
5/2/33
56,700
2
—
2
10
Year
Interest
Rate
Swap,
Pay
Fixed
0.659%
Annually,
Receive
Variable
(0.054)%
(JPY
TONA)
Annually,
5/2/33
56,700
2
—
2
10
Year
Interest
Rate
Swap,
Pay
Fixed
0.660%
Annually,
Receive
Variable
(0.054)%
(JPY
TONA)
Annually,
5/2/33
28,350
1
—
1
Total
Japan
24
Mexico
(0.0)%
20
Year
Interest
Rate
Swap,
Pay
Fixed
8.425%
28
Days,
Receive
Variable
11.508%
(MXIBTIIE)
28
Days,
4/15/43
18,322
(2)
—
(2)
Total
Mexico
(2)
New
Zealand
(0.0)%
2
Year
Interest
Rate
Swap,
Receive
Fixed
5.003%
Semi-Annually,
Pay
Variable
5.625%
(3M
NDBB)
Quarterly,
5/9/25
12,390
(84)
—
(84)
2
Year
Interest
Rate
Swap,
Receive
Fixed
5.074%
Semi-Annually,
Pay
Variable
5.825%
(3M
NDBB)
Quarterly,
2/21/25
2,240
5
1
4
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
93
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Initial
$
Value**
Unrealized
$
Gain/(Loss)
2
Year
Interest
Rate
Swap,
Receive
Fixed
5.079%
Semi-Annually,
Pay
Variable
5.825%
(3M
NDBB)
Quarterly,
2/21/25
3,245
5
—
5
2
Year
Interest
Rate
Swap,
Receive
Fixed
5.196%
Semi-Annually,
Pay
Variable
5.680%
(3M
NDBB)
Quarterly,
6/2/25
14,000
(59)
—
(59)
2
Year
Interest
Rate
Swap,
Receive
Fixed
5.369%
Semi-Annually,
Pay
Variable
5.700%
(3M
NDBB)
Quarterly,
2/28/25
1,958
11
—
11
2
Year
Interest
Rate
Swap,
Receive
Fixed
5.380%
Semi-Annually,
Pay
Variable
5.700%
(3M
NDBB)
Quarterly,
2/28/25
253
1
—
1
2
Year
Interest
Rate
Swap,
Receive
Fixed
5.425%
Semi-Annually,
Pay
Variable
5.680%
(3M
NDBB)
Quarterly,
2/28/25
2,314
14
—
14
Total
New
Zealand
(108)
Poland
(0.0)%
5
Year
Interest
Rate
Swap,
Pay
Fixed
5.465%
Annually,
Receive
Variable
6.950%
(6M
PLN
WIBOR)
Semi-Annually,
6/2/28
1,987
(16)
—
(16)
5
Year
Interest
Rate
Swap,
Pay
Fixed
5.470%
Annually,
Receive
Variable
6.950%
(6M
PLN
WIBOR)
Semi-Annually,
6/2/28
634
(5)
—
(5)
5
Year
Interest
Rate
Swap,
Pay
Fixed
5.480%
Annually,
Receive
Variable
6.950%
(6M
PLN
WIBOR)
Semi-Annually,
6/1/28
934
(8)
—
(8)
5
Year
Interest
Rate
Swap,
Pay
Fixed
5.590%
Annually,
Receive
Variable
6.950%
(6M
PLN
WIBOR)
Semi-Annually,
5/30/28
1,868
(17)
—
(17)
5
Year
Interest
Rate
Swap,
Pay
Fixed
5.595%
Annually,
Receive
Variable
6.950%
(6M
PLN
WIBOR)
Semi-Annually,
5/30/28
1,868
(18)
—
(18)
Total
Poland
(64)
United
Kingdom
0.0%
2
Year
Interest
Rate
Swap,
Receive
Fixed
6.134%
Annually,
Pay
Variable
4.932%
(GBP
SONIA)
Annually,
7/14/25
7,975
102
—
102
5
Year
Interest
Rate
Swap,
Pay
Fixed
4.982%
Annually,
Receive
Variable
4.932%
(GBP
SONIA)
Annually,
6/21/28
875
(8)
—
(8)
30
Year
Interest
Rate
Swap,
Pay
Fixed
0.912%
Annually,
Receive
Variable
3.750%
(GBP
SONIA)
Annually,
9/27/51
215
143
—
143
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
94
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Initial
$
Value**
Unrealized
$
Gain/(Loss)
50
Year
Interest
Rate
Swap,
Pay
Fixed
4.085%
Annually,
Receive
Variable
3.865%
(GBP
SONIA)
Annually,
10/11/72
104
(14)
—
(14)
Total
United
Kingdom
223
United
States
(0.0)%
1
Year
Interest
Rate
Swap,
Receive
Fixed
5.140%
at
Maturity,
Pay
Variable
5.310%
(SOFR)
at
Maturity,
6/3/24
20,202
(51)
—
(51)
5
Year
Interest
Rate
Swap,
Receive
Fixed
3.340%
Annually,
Pay
Variable
5.310%
(SOFR)
Annually,
4/6/28
2,630
(89)
—
(89)
10
Year
Interest
Rate
Swap,
Pay
Fixed
3.350%
Annually,
Receive
Variable
4.932%
(SOFR)
Annually,
2/8/33
810
28
—
28
10
Year
Interest
Rate
Swap,
Pay
Fixed
3.582%
Annually,
Receive
Variable
4.713%
(SOFR)
Annually,
11/16/32
495
9
—
9
10
Year
Interest
Rate
Swap,
Pay
Fixed
3.740%
Annually,
Receive
Variable
4.975%
(SOFR)
Annually,
3/3/33
256
1
—
1
10
Year
Interest
Rate
Swap,
Pay
Fixed
3.750%
Annually,
Receive
Variable
4.984%
(SOFR)
Annually,
3/7/33
2,350
3
—
3
10
Year
Interest
Rate
Swap,
Pay
Fixed
3.824%
Annually,
Receive
Variable
4.982%
(SOFR)
Annually,
3/7/33
425
(2)
—
(2)
30
Year
Interest
Rate
Swap,
Pay
Fixed
2.982%
Annually,
Receive
Variable
5.310%
(SOFR)
Annually,
4/7/53
668
52
—
52
30
Year
Interest
Rate
Swap,
Pay
Fixed
3.276%
Annually,
Receive
Variable
4.971%
(SOFR)
Annually,
3/3/53
500
12
—
12
30
Year
Interest
Rate
Swap,
Pay
Fixed
3.348%
Annually,
Receive
Variable
5.310%
(SOFR)
Annually,
8/4/53
280
—
—
—
Total
United
States
(37)
Total
Centrally
Cleared
Interest
Rate
Swaps
11
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
11
—
11
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
95
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Initial
$
Value**
Unrealized
$
Gain/(Loss)
5
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
3.113%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
8/16/27
798
9
—
9
5
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
3.203%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
8/16/27
798
5
—
5
Total
Foreign/Europe
25
United
States
0.0%
1
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.355%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
7/29/24
23,360
9
—
9
5
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.440%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
1/31/28
418
4
—
4
5
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.453%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
1/31/28
238
2
—
2
5
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.453%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
1/31/28
419
5
1
4
10
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.486%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
1/25/33
209
3
—
3
10
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.490%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
1/25/33
416
6
—
6
10
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.498%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
1/25/33
655
10
1
9
10
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.532%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
3/28/33
423
5
—
5
10
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.539%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
3/28/33
423
4
—
4
10
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.543%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
3/28/33
444
5
—
5
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
96
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Initial
$
Value**
Unrealized
$
Gain/(Loss)
10
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.634%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
8/1/33
3,362
3
—
3
Total
United
States
54
Total
Centrally
Cleared
Zero-Coupon
Inflation
Swaps
79
Total
Centrally
Cleared
Swaps
470
Net
payments
(receipts)
of
variation
margin
to
date
(470)
Variation
margin
receivable
(payable)
on
centrally
cleared
swaps
$
—
*
Credit
ratings
as
of
July
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
$(76).
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
97
(Amounts
in
000s)
FORWARD
CURRENCY
EXCHANGE
CONTRACTS
Counterparty
Settlement
Receive
Deliver
Unrealized
Gain/(Loss)
Bank
of
America
8/2/23
EUR
123
USD
135
$
—
Bank
of
America
8/11/23
CLP
724,714
USD
889
(26)
Bank
of
America
8/25/23
EUR
718
USD
788
3
Bank
of
America
8/25/23
EUR
420
USD
465
(3)
Bank
of
America
8/25/23
GBP
459
USD
575
14
Bank
of
America
8/25/23
USD
1,619
EUR
1,454
18
Bank
of
America
8/25/23
USD
143
EUR
131
(1)
Bank
of
America
8/25/23
USD
3,445
GBP
2,748
(82)
Bank
of
America
8/25/23
USD
1,025
SEK
11,051
(26)
Bank
of
America
9/5/23
USD
136
EUR
123
—
Bank
of
America
9/8/23
COP
1,373,031
USD
328
18
Bank
of
America
10/13/23
HUF
31,654
USD
93
(5)
Bank
of
America
10/13/23
USD
2,483
ZAR
47,290
(144)
Bank
of
America
10/17/23
USD
278
SGD
367
1
Bank
of
America
10/20/23
AUD
701
USD
475
(3)
Bank
of
America
10/20/23
JPY
89,301
USD
652
(17)
Bank
of
America
10/20/23
NZD
495
USD
308
—
Bank
of
America
10/20/23
USD
835
AUD
1,250
(6)
Bank
of
America
10/20/23
USD
2,254
NZD
3,625
2
Barclays
Bank
8/2/23
KRW
5,598,900
USD
4,394
(1)
Barclays
Bank
8/2/23
USD
4,395
KRW
5,598,900
3
Barclays
Bank
8/11/23
USD
397
CLP
325,980
9
Barclays
Bank
8/25/23
GBP
941
USD
1,178
30
Barclays
Bank
9/5/23
USD
4,401
KRW
5,598,900
10
Barclays
Bank
10/6/23
USD
566
KRW
738,661
(15)
BNP
Paribas
8/2/23
JPY
1,087,959
USD
7,547
103
BNP
Paribas
8/2/23
USD
3,991
CAD
5,283
(15)
BNP
Paribas
8/2/23
USD
81
EUR
74
(1)
BNP
Paribas
8/2/23
USD
987
JPY
142,301
(14)
BNP
Paribas
8/11/23
USD
323
CLP
261,019
12
BNP
Paribas
8/18/23
PLN
551
USD
134
4
BNP
Paribas
8/18/23
USD
421
PLN
1,765
(19)
BNP
Paribas
8/25/23
EUR
476
USD
518
5
BNP
Paribas
8/25/23
GBP
1,000
USD
1,259
24
BNP
Paribas
8/25/23
USD
4,388
EUR
4,010
(26)
BNP
Paribas
8/25/23
USD
799
GBP
640
(22)
BNP
Paribas
9/5/23
BRL
142
USD
29
1
BNP
Paribas
9/5/23
USD
189
BRL
965
(14)
BNP
Paribas
9/8/23
COP
554,131
USD
122
18
BNP
Paribas
9/8/23
MYR
1,255
USD
274
5
BNP
Paribas
9/8/23
USD
208
COP
952,309
(32)
BNP
Paribas
9/8/23
USD
151
MYR
691
(3)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
98
(Amounts
in
000s)
FORWARD
CURRENCY
EXCHANGE
CONTRACTS
(CONTINUED)
Counterparty
Settlement
Receive
Deliver
Unrealized
Gain/(Loss)
BNP
Paribas
9/15/23
CNH
3,635
USD
509
$
2
BNP
Paribas
10/6/23
USD
337
INR
28,017
(3)
BNP
Paribas
10/20/23
JPY
100,280
USD
737
(23)
BNY
Mellon
8/2/23
NOK
74,242
USD
6,908
418
BNY
Mellon
9/5/23
USD
91
BRL
445
(3)
Canadian
Imperial
Bank
of
Commerce
8/2/23
GBP
3,935
USD
4,965
85
Canadian
Imperial
Bank
of
Commerce
8/2/23
JPY
142,301
USD
1,005
(4)
Canadian
Imperial
Bank
of
Commerce
8/2/23
USD
1,783
GBP
1,413
(30)
Canadian
Imperial
Bank
of
Commerce
8/2/23
USD
7,681
JPY
1,087,959
31
Canadian
Imperial
Bank
of
Commerce
8/25/23
EUR
315
USD
345
2
Canadian
Imperial
Bank
of
Commerce
9/5/23
JPY
1,087,959
USD
7,722
(29)
Canadian
Imperial
Bank
of
Commerce
9/5/23
USD
1,010
JPY
142,301
4
Canadian
Imperial
Bank
of
Commerce
10/20/23
CAD
861
USD
652
2
Canadian
Imperial
Bank
of
Commerce
10/20/23
JPY
241,245
USD
1,702
15
Citibank
8/11/23
USD
215
CLP
173,723
8
Citibank
8/18/23
PLN
2,518
USD
603
25
Citibank
8/18/23
RSD
5,081
USD
47
—
Citibank
8/18/23
USD
891
PLN
3,725
(38)
Citibank
8/18/23
USD
125
RSD
13,311
—
Citibank
8/18/23
USD
152
RSD
16,383
(2)
Citibank
8/25/23
EUR
848
USD
923
11
Citibank
8/25/23
GBP
483
USD
617
4
Citibank
8/25/23
USD
2,153
EUR
1,917
43
Citibank
8/25/23
USD
393
EUR
365
(9)
Citibank
8/25/23
USD
318
GBP
249
(2)
Citibank
9/8/23
USD
474
COP
2,142,694
(66)
Citibank
9/15/23
CNH
5,784
USD
802
11
Citibank
10/6/23
IDR
6,742,286
USD
449
(3)
Citibank
10/6/23
TWD
2,726
USD
88
(1)
Citibank
10/6/23
USD
24
IDR
361,969
—
Citibank
10/13/23
RON
1,263
USD
280
1
Citibank
10/13/23
USD
94
MXN
1,613
(1)
Citibank
10/13/23
USD
181
RON
814
—
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
99
(Amounts
in
000s)
FORWARD
CURRENCY
EXCHANGE
CONTRACTS
(CONTINUED)
Counterparty
Settlement
Receive
Deliver
Unrealized
Gain/(Loss)
Citibank
10/17/23
SGD
367
USD
275
$
2
Citibank
10/19/23
USD
1,539
ILS
5,690
(13)
Citibank
10/20/23
USD
1,636
AUD
2,390
26
Deutsche
Bank
8/2/23
NZD
2,578
USD
1,570
31
Deutsche
Bank
8/2/23
SEK
8,935
USD
829
20
Deutsche
Bank
8/18/23
RSD
12,705
USD
119
1
Deutsche
Bank
8/18/23
RSD
7,635
USD
73
(1)
Deutsche
Bank
8/25/23
EUR
987
USD
1,112
(25)
Deutsche
Bank
8/25/23
SEK
11,051
USD
1,059
(8)
Deutsche
Bank
9/5/23
USD
189
BRL
965
(13)
Deutsche
Bank
9/8/23
MYR
636
USD
139
2
Deutsche
Bank
9/8/23
USD
77
MYR
350
(1)
Deutsche
Bank
10/6/23
USD
445
TWD
13,781
4
Deutsche
Bank
10/13/23
HUF
24,174
USD
71
(4)
Deutsche
Bank
10/13/23
USD
135
CZK
2,944
—
Deutsche
Bank
10/13/23
USD
756
HUF
266,760
10
Goldman
Sachs
8/2/23
BRL
3,390
USD
715
2
Goldman
Sachs
8/2/23
INR
232,175
USD
2,823
—
Goldman
Sachs
8/2/23
USD
693
BRL
3,390
(24)
Goldman
Sachs
8/2/23
USD
2,815
INR
232,175
(8)
Goldman
Sachs
8/2/23
USD
1,558
MXN
26,053
3
Goldman
Sachs
8/11/23
USD
160
CLP
128,857
6
Goldman
Sachs
8/25/23
EUR
837
USD
919
3
Goldman
Sachs
9/5/23
MXN
26,053
USD
1,549
(3)
Goldman
Sachs
9/5/23
USD
1,439
BRL
6,850
—
Goldman
Sachs
9/8/23
THB
3,091
USD
90
1
Goldman
Sachs
9/8/23
USD
388
THB
13,363
(4)
Goldman
Sachs
9/15/23
CZK
8,730
USD
395
6
Goldman
Sachs
9/15/23
HUF
145,470
USD
416
(7)
Goldman
Sachs
9/15/23
IDR
5,885,000
USD
396
(7)
Goldman
Sachs
9/15/23
USD
146
CNH
1,036
—
Goldman
Sachs
10/6/23
IDR
5,887,478
USD
394
(4)
Goldman
Sachs
10/6/23
USD
837
IDR
12,629,764
2
Goldman
Sachs
10/6/23
USD
39
INR
3,207
—
Goldman
Sachs
10/6/23
USD
783
TWD
24,278
7
Goldman
Sachs
10/20/23
USD
1,973
JPY
277,206
—
HSBC
Bank
8/2/23
INR
79,713
USD
969
—
HSBC
Bank
8/2/23
USD
971
INR
79,713
1
HSBC
Bank
8/25/23
USD
806
GBP
645
(22)
HSBC
Bank
9/8/23
MYR
636
USD
139
2
HSBC
Bank
9/8/23
THB
2,804
USD
81
1
HSBC
Bank
9/8/23
USD
77
MYR
350
(1)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
100
(Amounts
in
000s)
FORWARD
CURRENCY
EXCHANGE
CONTRACTS
(CONTINUED)
Counterparty
Settlement
Receive
Deliver
Unrealized
Gain/(Loss)
HSBC
Bank
9/15/23
USD
1,498
CNH
10,595
$
8
HSBC
Bank
10/6/23
USD
411
TWD
12,721
4
JPMorgan
Chase
8/2/23
AUD
1,012
USD
680
—
JPMorgan
Chase
8/2/23
BRL
30,193
USD
6,211
172
JPMorgan
Chase
8/2/23
GBP
1,713
USD
2,161
37
JPMorgan
Chase
8/2/23
GBP
427
USD
549
(1)
JPMorgan
Chase
8/2/23
MXN
29,553
USD
1,734
30
JPMorgan
Chase
8/2/23
NZD
1,135
USD
703
2
JPMorgan
Chase
8/2/23
SEK
48,075
USD
4,624
(57)
JPMorgan
Chase
8/2/23
USD
6,368
BRL
30,193
(15)
JPMorgan
Chase
8/2/23
USD
2,420
NOK
24,317
21
JPMorgan
Chase
8/2/23
USD
2,839
NOK
29,225
(45)
JPMorgan
Chase
8/2/23
ZAR
11,504
USD
647
(4)
JPMorgan
Chase
8/3/23
USD
1,301
CHF
1,129
6
JPMorgan
Chase
8/3/23
USD
8,992
CHF
8,028
(217)
JPMorgan
Chase
8/11/23
CLP
94,775
USD
118
(5)
JPMorgan
Chase
8/11/23
USD
351
CLP
284,593
12
JPMorgan
Chase
8/18/23
PLN
315
USD
75
4
JPMorgan
Chase
8/18/23
RSD
6,346
USD
59
1
JPMorgan
Chase
8/18/23
USD
186
PLN
753
(1)
JPMorgan
Chase
8/18/23
USD
55
RSD
6,028
(2)
JPMorgan
Chase
8/25/23
EUR
902
USD
989
4
JPMorgan
Chase
8/25/23
EUR
1,358
USD
1,496
(1)
JPMorgan
Chase
8/25/23
GBP
435
USD
545
13
JPMorgan
Chase
8/25/23
USD
2,179
EUR
1,981
(2)
JPMorgan
Chase
9/5/23
BRL
344
USD
69
3
JPMorgan
Chase
9/5/23
BRL
1,558
USD
328
—
JPMorgan
Chase
9/5/23
USD
506
BRL
2,459
(11)
JPMorgan
Chase
9/8/23
COP
8,841
USD
2
—
JPMorgan
Chase
9/8/23
THB
3,244
USD
94
1
JPMorgan
Chase
9/8/23
USD
349
COP
1,491,819
(27)
JPMorgan
Chase
9/8/23
USD
408
THB
14,024
(3)
JPMorgan
Chase
9/15/23
CNH
4,954
USD
690
6
JPMorgan
Chase
9/15/23
USD
1,079
CNH
7,662
2
JPMorgan
Chase
9/15/23
USD
1,169
CNH
8,428
(16)
JPMorgan
Chase
10/6/23
KZT
132,600
USD
285
7
JPMorgan
Chase
10/13/23
HUF
13,498
USD
39
(1)
JPMorgan
Chase
10/13/23
MXN
1,482
USD
87
1
JPMorgan
Chase
10/13/23
USD
571
MXN
9,932
(14)
JPMorgan
Chase
10/20/23
AUD
190
USD
129
(1)
JPMorgan
Chase
10/20/23
CAD
1,372
USD
1,042
(1)
JPMorgan
Chase
10/20/23
CHF
290
USD
338
(2)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
101
(Amounts
in
000s)
FORWARD
CURRENCY
EXCHANGE
CONTRACTS
(CONTINUED)
Counterparty
Settlement
Receive
Deliver
Unrealized
Gain/(Loss)
JPMorgan
Chase
10/20/23
JPY
82,111
USD
589
$
(4)
JPMorgan
Chase
10/20/23
NZD
60
USD
37
—
Morgan
Stanley
8/2/23
INR
1,716,420
USD
20,906
(39)
Morgan
Stanley
8/2/23
KRW
5,598,900
USD
4,395
(3)
Morgan
Stanley
8/2/23
USD
20,887
INR
1,716,420
19
Morgan
Stanley
8/2/23
USD
4,301
KRW
5,598,900
(91)
Morgan
Stanley
8/25/23
EUR
100
USD
110
—
Morgan
Stanley
9/5/23
BRL
719
USD
143
8
Morgan
Stanley
9/5/23
USD
1,510
BRL
7,645
(96)
Morgan
Stanley
9/5/23
USD
12,354
INR
1,014,154
35
Morgan
Stanley
9/8/23
USD
279
COP
1,269,745
(41)
Morgan
Stanley
9/15/23
CNH
13,569
USD
1,908
(1)
Morgan
Stanley
10/13/23
HUF
29,041
USD
86
(4)
Morgan
Stanley
10/13/23
USD
39
HUF
13,498
1
Morgan
Stanley
10/13/23
USD
1,201
MXN
20,876
(28)
Morgan
Stanley
10/20/23
USD
882
JPY
123,765
1
RBC
Dominion
Securities
8/2/23
CAD
5,283
USD
3,997
9
RBC
Dominion
Securities
8/2/23
EUR
7,517
USD
8,288
(22)
RBC
Dominion
Securities
8/2/23
GBP
1,413
USD
1,816
(3)
RBC
Dominion
Securities
8/2/23
USD
8,265
EUR
7,566
(54)
RBC
Dominion
Securities
8/2/23
USD
7,810
GBP
6,075
13
RBC
Dominion
Securities
8/25/23
GBP
38
USD
48
1
RBC
Dominion
Securities
8/25/23
USD
51
EUR
45
1
RBC
Dominion
Securities
8/25/23
USD
300
EUR
274
(2)
RBC
Dominion
Securities
8/25/23
USD
890
GBP
715
(28)
RBC
Dominion
Securities
9/5/23
GBP
6,075
USD
7,811
(13)
RBC
Dominion
Securities
9/5/23
USD
3,999
CAD
5,283
(9)
RBC
Dominion
Securities
9/5/23
USD
8,301
EUR
7,517
21
RBC
Dominion
Securities
9/5/23
USD
1,816
GBP
1,413
3
RBC
Dominion
Securities
10/13/23
USD
1,695
MXN
29,431
(38)
RBC
Dominion
Securities
10/20/23
CAD
230
USD
174
—
Standard
Chartered
8/2/23
USD
2,863
AUD
4,330
(46)
Standard
Chartered
8/25/23
EUR
366
USD
395
8
Standard
Chartered
8/25/23
EUR
55
USD
61
(1)
Standard
Chartered
8/25/23
USD
625
EUR
574
(7)
Standard
Chartered
8/25/23
USD
404
GBP
325
(13)
Standard
Chartered
9/5/23
BRL
2,940
USD
595
23
Standard
Chartered
9/8/23
MYR
339
USD
74
1
Standard
Chartered
10/20/23
NZD
90
USD
56
—
Standard
Chartered
10/20/23
USD
867
JPY
118,535
24
Standard
Chartered
10/20/23
USD
287
NZD
450
7
State
Street
8/2/23
AUD
3,318
USD
2,223
6
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
102
(Amounts
in
000s)
FORWARD
CURRENCY
EXCHANGE
CONTRACTS
(CONTINUED)
Counterparty
Settlement
Receive
Deliver
Unrealized
Gain/(Loss)
State
Street
8/2/23
BRL
26,803
USD
5,653
$
13
State
Street
8/2/23
USD
5,655
BRL
26,803
(11)
State
Street
8/2/23
USD
203
MXN
3,500
(6)
State
Street
8/2/23
USD
2,301
NZD
3,714
(5)
State
Street
8/2/23
USD
5,421
SEK
57,010
4
State
Street
8/2/23
USD
937
ZAR
16,594
9
State
Street
8/2/23
ZAR
5,089
USD
268
17
State
Street
8/3/23
CHF
9,157
USD
10,523
(19)
State
Street
8/25/23
EUR
1,306
USD
1,425
14
State
Street
8/25/23
GBP
2,586
USD
3,267
52
State
Street
8/25/23
GBP
264
USD
340
(1)
State
Street
8/25/23
USD
1,939
EUR
1,750
13
State
Street
8/25/23
USD
2,056
EUR
1,896
(31)
State
Street
8/25/23
USD
71
GBP
55
—
State
Street
8/25/23
USD
3,568
GBP
2,841
(78)
State
Street
9/5/23
BRL
38,248
USD
7,968
66
State
Street
9/5/23
NZD
3,713
USD
2,302
5
State
Street
9/5/23
SEK
57,010
USD
5,430
(4)
State
Street
9/5/23
USD
2,226
AUD
3,318
(6)
State
Street
9/5/23
USD
1,411
BRL
7,138
(88)
State
Street
9/5/23
USD
10,558
CHF
9,157
15
State
Street
9/5/23
ZAR
16,593
USD
934
(9)
State
Street
9/8/23
COP
1,043,524
USD
243
20
State
Street
9/8/23
USD
65
COP
276,959
(5)
State
Street
10/3/23
BRL
2,033
USD
418
8
State
Street
10/6/23
IDR
514,450
USD
35
(1)
State
Street
10/6/23
INR
2,635
USD
32
—
State
Street
10/6/23
KRW
493,430
USD
378
10
State
Street
10/6/23
USD
39
INR
3,189
—
State
Street
10/6/23
USD
37
KRW
48,383
(1)
State
Street
10/13/23
MXN
578
USD
33
1
State
Street
10/13/23
USD
3,971
MXN
69,294
(111)
State
Street
10/20/23
USD
904
CAD
1,191
—
State
Street
10/20/23
USD
55
JPY
7,675
—
State
Street
10/20/23
USD
109
NZD
175
—
UBS
Investment
Bank
8/2/23
USD
2,040
NOK
20,700
(3)
UBS
Investment
Bank
8/11/23
USD
171
CLP
138,770
6
UBS
Investment
Bank
8/18/23
PLN
243
USD
59
2
UBS
Investment
Bank
8/25/23
EUR
136
USD
151
(1)
UBS
Investment
Bank
8/25/23
GBP
114
USD
141
5
UBS
Investment
Bank
8/25/23
USD
1,580
EUR
1,429
7
UBS
Investment
Bank
8/25/23
USD
1,291
EUR
1,187
(16)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
103
(Amounts
in
000s)
FORWARD
CURRENCY
EXCHANGE
CONTRACTS
(CONTINUED)
Counterparty
Settlement
Receive
Deliver
Unrealized
Gain/(Loss)
UBS
Investment
Bank
9/5/23
BRL
2,631
USD
516
$
36
UBS
Investment
Bank
9/5/23
NOK
20,700
USD
2,042
3
UBS
Investment
Bank
9/8/23
COP
582,341
USD
137
10
UBS
Investment
Bank
9/8/23
THB
3,172
USD
92
1
UBS
Investment
Bank
9/8/23
USD
191
COP
867,273
(28)
UBS
Investment
Bank
9/8/23
USD
409
PHP
23,054
(12)
UBS
Investment
Bank
9/8/23
USD
398
THB
13,716
(4)
UBS
Investment
Bank
10/6/23
INR
49,626
USD
603
(1)
UBS
Investment
Bank
10/6/23
USD
1,190
INR
97,985
1
UBS
Investment
Bank
10/13/23
HUF
25,533
USD
75
(4)
UBS
Investment
Bank
10/13/23
USD
94
MXN
1,610
—
Wells
Fargo
9/5/23
USD
506
BRL
2,495
(18)
Wells
Fargo
9/8/23
USD
79
COP
338,396
(6)
Wells
Fargo
10/6/23
USD
706
PEN
2,582
(8)
Net
unrealized
gain
(loss)
on
open
forward
currency
exchange
contracts
$
(375)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
104
FUTURES
CONTRACTS
($000s)
Expiration
Date
Notional
Amount
Value
and
Unrealized
Gain
(Loss)
Long,
74
Three
Month
SOFR
Futures
contracts
3/24
17,506
$
2
Short,
74
Three
Month
SOFR
Futures
contracts
3/25
(17,736)
91
Short,
22
CAC40
Index
contracts
8/23
(1,817)
(39)
Long,
268
OMX
Swedish
Index
contracts
8/23
5,742
30
Long,
10
ASX
SPI
200
Index
contracts
9/23
1,236
28
Long,
11
Commonwealth
of
Australia
ten
year
bond
contracts
9/23
856
(3)
Short,
6
DAX
Performance
Index
contracts
9/23
(2,729)
(116)
Short,
154
Euro
BOBL
contracts
9/23
(19,623)
25
Long,
103
Euro
BTP
contracts
9/23
13,137
126
Short,
44
Euro
BUND
contracts
9/23
(6,434)
(2)
Short,
2
Euro
BUXL
thirty
year
bond
contracts
9/23
(296)
6
Long,
33
Euro
OAT
contracts
9/23
4,628
(26)
Short,
112
Euro
SCHATZ
contracts
9/23
(12,936)
5
Short,
78
Euro
STOXX
contracts
9/23
(3,856)
(104)
Short,
60
FTSE
100
Index
contracts
9/23
(5,921)
(201)
Long,
12
FTSE
MIB
Index
contracts
9/23
1,966
153
Short,
96
Government
of
Canada
ten
year
bond
contracts
9/23
(8,744)
103
Short,
97
Mini
ten
year
JGB
contracts
9/23
(10,014)
73
Short,
108
MSCI
EAFE
Index
contracts
9/23
(11,911)
(295)
Short,
119
MSCI
Emerging
Markets
Index
contracts
9/23
(6,273)
(278)
Short,
3
NASDAQ
100
E-Mini
contracts
9/23
(952)
(63)
Long,
24
Republic
of
South
Korea
ten
year
bond
contracts
9/23
2,072
(20)
Short,
16
S&P
500
E-mini
Index
Communication
Services
Sector
contracts
9/23
(1,448)
(93)
Short,
13
S&P
500
E-mini
Index
Consumer
Discretionary
Sector
contracts
9/23
(2,297)
(107)
Short,
12
S&P
500
E-mini
Index
Consumer
Staples
Sector
contracts
9/23
(919)
(20)
Short,
67
S&P
500
E-Mini
Index
contracts
9/23
(15,459)
(2)
Long,
8
S&P
500
E-mini
Index
Energy
Sector
contracts
9/23
737
54
Short,
10
S&P
500
E-mini
Index
Financial
Sector
contracts
9/23
(1,094)
(51)
Short,
29
S&P
500
E-mini
Index
Materials
Sector
contracts
9/23
(2,647)
(48)
Long,
12
S&P
500
E-mini
Index
Real
Estate
Select
Sector
contracts
9/23
564
17
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
105
FUTURES
CONTRACTS
(CONTINUED)
($000s)
Expiration
Date
Notional
Amount
Value
and
Unrealized
Gain
(Loss)
Long,
4
S&P
500
E-mini
Index
Technology
Sector
contracts
9/23
723
$
(1)
Long,
6
S&P
500
E-mini
Index
Utilities
Sector
contracts
9/23
408
10
Short,
14
S&P/TSX
60
Index
contracts
9/23
(2,633)
(86)
Short,
58
TOPIX
Index
contracts
9/23
(9,487)
(262)
Long,
128
U.K.
Gilt
ten
year
contracts
9/23
15,791
126
Long,
151
U.S.
Treasury
Long
Bond
contracts
9/23
18,790
(418)
Short,
63
U.S.
Treasury
Notes
five
year
contracts
9/23
(6,730)
16
Short,
188
U.S.
Treasury
Notes
ten
year
contracts
9/23
(20,944)
164
Short,
130
U.S.
Treasury
Notes
two
year
contracts
9/23
(26,394)
45
Short,
63
Ultra
U.S.
Treasury
Bonds
contracts
9/23
(8,330)
109
Long,
12
Ultra
U.S.
Treasury
Notes
ten
year
contracts
9/23
1,404
(21)
Short,
65
Three
Month
SOFR
Futures
contracts
9/24
(15,464)
(8)
Net
payments
(receipts)
of
variation
margin
to
date
942
Variation
margin
receivable
(payable)
on
open
futures
contracts
$
(139)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
106
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
nine
months
ended
July
31,
2023.
Net
realized
gain
(loss),
investment
income,
change
in
net
unrealized
gain/loss,
and
purchase
and
sales
cost
reflect
all
activity
for
the
period
then
ended.
Affiliate
Net
Realized
Gain
(Loss)
Change
in
Net
Unrealized
Gain/Loss
Investment
Income
T.
Rowe
Price
Government
Reserve
Fund,
5.32%
$
—
$
—
$
3,425++
Totals
$
—#
$
—
$
3,425+
Supplementary
Investment
Schedule
Affiliate
Value
10/31/22
Purchase
Cost
Sales
Cost
Value
07/31/23
T.
Rowe
Price
Government
Reserve
Fund,
5.32%
$
106,299
¤
¤
$
109,873
Total
$
109,873^
#
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
$3,425
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
$109,873.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Unaudited
Notes
to
Portfolio
of
Investments
107
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
108
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
109
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
110
Valuation
Inputs
The
following
table
summarizes
the
fund’s
financial
instruments,
based
on
the
inputs
used
to
determine
their
fair
values
on
July
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
$
—
$
59,945
$
—
$
59,945
Bank
Loans
—
26,645
2,163
28,808
Common
Stocks
44,842
14,485
122
59,449
Convertible
Preferred
Stocks
—
—
366
366
Corporate
Bonds
—
66,543
—
66,543
Preferred
Stocks
—
746
—
746
Private
Investment
Company
2
—
—
—
55
Short-Term
Investments
103,843
—
—
103,843
Securities
Lending
Collateral
6,030
—
—
6,030
Options
Purchased
43
117
—
160
Total
Securities
154,758
168,481
2,651
325,945
Swaps*
—
7,771
—
7,771
Forward
Currency
Exchange
Contracts
—
1,905
—
1,905
Futures
Contracts*
1,183
—
—
1,183
Total
$
155,941
$
178,157
$
2,651
$
336,804
Liabilities
Options
Written
$
—
$
972
$
—
$
972
Swaps*
—
7,227
—
7,227
Forward
Currency
Exchange
Contracts
—
2,280
—
2,280
Futures
Contracts*
2,264
—
—
2,264
Total
$
2,264
$
10,479
$
—
$
12,743
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
111
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.
In
March
2023,
the
collapse
of
some
US
regional
and
global
banks
as
well
as
overall
concerns
around
the
soundness
and
stability
of
the
global
banking
sector
has
sparked
concerns
of
a
broader
financial
crisis
impacting
the
overall
global
banking
sector.
In
certain
cases,
government
agencies
have
assumed
control
or
otherwise
intervened
in
the
operations
of
certain
banks
due
to
liquidity
and
solvency
concerns.
The
extent
of
impact
of
these
events
on
the
US
and
global
markets
is
highly
uncertain.
These
are
recent
examples
of
global
events
which
may
have
a
negative
impact
on
the
values
of
certain
portfolio
holdings
or
the
fund’s
overall
performance.
Management
is
actively
monitoring
the
risks
and
financial
impacts
arising
from
these
events.
F1112-054Q3
07/23
2
In
accordance
with
Subtopic
820-10,
certain
investments
that
are
measured
at
fair
value
using
the
net
asset
value
per
unit
(or
its
equivalent)
practical
expedient
have
not
been
classified
in
the
fair
value
hierarchy.
The
fair
value
amounts
presented
in
this
table
are
intended
to
permit
reconciliation
of
the
fair
value
hierarchy
to
the
amounts
presented
in
the
Portfolio
of
Investments.
*
The
fair
value
presented
includes
cumulative
gain
(loss)
on
open
futures
contracts
and
centrally
cleared
swaps;
however,
the
net
value
reflected
on
the
accompanying
Portfolio
of
Investments
is
only
the
unsettled
variation
margin
receivable
(payable)
at
that
date.