T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
January
31,
2021
(Unaudited)
1
Portfolio
of
Investments
‡
Par/Shares
$
Value
(
Cost
and
value
in
$000s)
‡
ARGENTINA
0.0%
Government
Bonds
0.0%
Republic
of
Argentina,
0.00%,
12/15/35
(USD)
900,000
5
Total
Argentina
(Cost
$12
)
5
BAHAMAS
0.3%
Government
Bonds
0.3%
Commonwealth
of
Bahamas,
8.95%,
10/15/32
(USD)
(1)
200,000
216
Commonwealth
of
Bahamas,
8.95%,
10/15/32
(USD)
200,000
216
Total
Bahamas
(Cost
$409
)
432
BARBADOS
0.2%
Government
Bonds
0.2%
Government
of
Barbados,
6.50%,
10/1/29
(USD)
(1)
400,000
404
Total
Barbados
(Cost
$388
)
404
BRAZIL
0.4%
Common
Stocks
0.0%
Boa
Vista
Servicos
7,037
12
Rede
D'Or
Sao
Luiz
2,897
35
47
Corporate
Bonds
0.4%
Braskem
Netherlands
Finance,
VR,
8.50%,
1/23/81
(USD)
(1)(2)
(3)
200,000
222
BRF,
5.75%,
9/21/50
(USD)
(1)(2)
400,000
421
643
Total
Brazil
(Cost
$641
)
690
CANADA
0.4%
Bank
Loans
0.2%
(4)
Stars
Group
Holdings,
FRN,
3M
USD
LIBOR
+
3.50%,
3.754%,
7/10/25
(USD)
360,191
361
361
Corporate
Bonds
0.2%
1011778
BC
ULC,
5.75%,
4/15/25
(USD)
(1)
105,000
112
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
2
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Enbridge,
Series
16-A,
VR,
6.00%,
1/15/77
(USD)
(3)
125,000
135
247
Total
Canada
(Cost
$594
)
608
CHINA
1.2%
Common
Stocks
0.5%
58.com,
Class
A
(USD)
(5)
22,100
619
GDS
Holdings,
Class
A
(HKD)
(5)
5,182
67
Kuaishou
Technology
(HKD)
(5)
300
4
RLX
Technology,
ADR
(USD)
(5)
7,000
157
847
Corporate
Bonds
0.7%
Times
China
Holdings,
5.75%,
1/14/27
(USD)
418,000
423
Times
China
Holdings,
6.75%,
7/16/23
(USD)
200,000
210
Times
China
Holdings,
7.85%,
6/4/21
(USD)
400,000
404
Yuzhou
Group
Holdings,
6.35%,
1/13/27
(USD)
200,000
198
1,235
Total
China
(Cost
$1,980
)
2,082
DOMINICAN
REPUBLIC
0.1%
Government
Bonds
0.1%
Dominican
Republic
International,
9.75%,
6/5/26
8,000,000
148
Total
Dominican
Republic
(Cost
$136
)
148
EGYPT
0.1%
Government
Bonds
0.1%
Arab
Republic
of
Egypt,
5.25%,
10/6/25
(USD)
(1)
200,000
214
Total
Egypt
(Cost
$200
)
214
GERMANY
0.3%
Bank
Loans
0.1%
(4)
Vertical
U.S.
Newco,
FRN,
1M
USD
LIBOR
+
4.25%,
4.478%,
7/30/27
(USD)
199,500
201
201
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
3
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Common
Stocks
0.0%
MYT
Netherlands
Parent,
ADR
(USD)
(5)
488
16
16
Corporate
Bonds
0.2%
Vertical
Holdco,
7.625%,
7/15/28
(USD)
(1)
200,000
216
216
Total
Germany
(Cost
$409
)
433
GUATEMALA
0.1%
Government
Bonds
0.1%
Republic
of
Guatemala,
6.125%,
6/1/50
(USD)
(1)
205,000
255
Total
Guatemala
(Cost
$205
)
255
HUNGARY
0.1%
Common
Stocks
0.1%
OTP
Bank
(5)
5,700
260
Total
Hungary
(Cost
$202
)
260
INDIA
0.3%
Common
Stocks
0.3%
Housing
Development
Finance
6,189
201
Kotak
Mahindra
Bank
(5)
11,417
267
Total
India
(Cost
$339
)
468
INDONESIA
0.1%
Common
Stocks
0.1%
Bank
Central
Asia
96,000
231
Total
Indonesia
(Cost
$198
)
231
ISRAEL
0.0%
Common
Stocks
0.0%
Playtika
Holding
(USD)
(5)
248
7
Total
Israel
(Cost
$7
)
7
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
4
Par/Shares
$
Value
(Cost
and
value
in
$000s)
LUXEMBOURG
0.6%
Bank
Loans
0.6%
(4)
Intelsat
Jackson
Holdings,
FRN,
1M
USD
LIBOR
+
5.50%,
6.50%,
7/13/22
(USD)
276,030
281
Intelsat
Jackson
Holdings,
FRN,
3M
USD
LIBOR
+
6.50%,
8.75%,
1/2/24
(USD)
180,000
182
Kloeckner
Pentaplast,
FRN,
3M
USD
LIBOR
+
4.25%,
5.25%,
6/30/22
(USD)
597,941
597
Total
Luxembourg
(Cost
$1,052
)
1,060
RUSSIA
0.0%
Common
Stocks
0.0%
Ozon
Holdings,
ADR
(USD)
(5)
430
21
Total
Russia
(Cost
$13
)
21
SOUTH
AFRICA
0.2%
Government
Bonds
0.2%
Republic
of
South
Africa,
8.00%,
1/31/30
5,775,000
365
Total
South
Africa
(Cost
$338
)
365
SWEDEN
0.1%
Corporate
Bonds
0.1%
Verisure
Holding,
FRN,
3M
EURIBOR
+
5.00%,
5.00%,
4/15/25
(EUR)
(1)
100,000
124
Total
Sweden
(Cost
$108
)
124
SWITZERLAND
0.3%
Bank
Loans
0.3%
(4)
Garrett
Borrowing,
FRN,
1M
USD
LIBOR
+
3.50%,
9/27/25
(USD)
(6)
500,000
496
Total
Switzerland
(Cost
$493
)
496
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
5
Par/Shares
$
Value
(Cost
and
value
in
$000s)
UKRAINE
0.2%
Government
Bonds
0.2%
Ukraine
Government
Bond,
9.79%,
5/26/27
10,000,000
321
Total
Ukraine
(Cost
$383
)
321
UNITED
KINGDOM
0.1%
Bank
Loans
0.1%
(4)
Froneri
U.S.,
FRN,
1M
USD
LIBOR
+
5.75%,
5.871%,
1/31/28
(USD)
105,000
106
106
Common
Stocks
0.0%
Polypipe
Group
(5)
5,762
41
41
Total
United
Kingdom
(Cost
$136
)
147
UNITED
STATES
79.3%
Bank
Loans
9.2%
(4)
Agiliti
Health,
FRN,
1M
USD
LIBOR
+
2.75%,
3.50%,
1/4/26
(7)
250,000
249
Airbnb,
FRN,
1M
USD
LIBOR
+
7.50%,
8.50%,
4/17/25
(6)
698,249
756
Asurion,
FRN,
3M
USD
LIBOR
+
6.50%,
6.621%,
8/4/25
192,576
193
B&G
Foods,
FRN,
1M
USD
LIBOR
+
2.50%,
2.621%,
10/10/26
53,524
54
Camelot
Finance,
FRN,
1M
USD
LIBOR
+
3.00%,
4.00%,
10/30/26
300,000
301
Cardtronics
USA,
FRN,
1M
USD
LIBOR
+
4.00%,
6/29/27
(6)
700,000
701
Charter
NEX
U.S.,
FRN,
1M
USD
LIBOR
+
4.25%,
5.00%,
12/1/27
33,910
34
Cincinnati
Bell,
FRN,
3M
USD
LIBOR
+
3.25%,
4.25%,
10/2/24
496,698
496
Citadel
Securities,
FRN,
1M
USD
LIBOR
+
2.75%,
2.871%,
2/27/26
34,650
34
CommerceHub,
FRN,
1M
USD
LIBOR
+
4.00%,
4.75%,
12/29/27
200,000
201
CommerceHub,
FRN,
1M
USD
LIBOR
+
7.00%,
7.75%,
12/29/28
(7)
100,000
102
Cvent,
FRN,
3M
USD
LIBOR
+
3.75%,
3.871%,
11/29/24
199,679
192
Delta
Topco,
FRN,
1M
USD
LIBOR
+
7.25%,
8.00%,
12/1/28
110,000
112
ECI
Macola,
FRN,
1M
USD
LIBOR
+
3.75%,
4.50%,
11/9/27
130,000
130
Edelman
Financial
Center,
FRN,
3M
USD
LIBOR
+
6.75%,
6.871%,
7/20/26
205,000
205
EIG
Investors,
FRN,
3M
USD
LIBOR
+
3.75%,
4.75%,
2/9/23
485,966
485
Epicor
Software,
FRN,
1M
USD
LIBOR
+
7.75%,
8.75%,
7/31/28
130,000
135
Filtration
Group,
FRN,
1M
USD
LIBOR
+
3.75%,
4.50%,
3/29/25
399,000
401
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
6
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Fleet
U.S.
Bidco,
FRN,
1M
USD
LIBOR
+
3.25%,
3.371%,
10/7/26
(7)
88,689
88
Graham
Packaging,
FRN,
1M
USD
LIBOR
+
3.75%,
4.50%,
8/4/27
293,898
295
Hertz,
FRN,
1M
USD
LIBOR
+
7.25%,
1.25%,
12/31/21
300,000
306
Hertz,
FRN,
3M
USD
LIBOR
+
2.75%,
3.50%,
6/30/23
300,000
295
Hostess
Brands,
FRN,
1M
USD
LIBOR
+
2.25%,
3.00%,
8/3/25
148,496
148
Hyland
Software,
FRN,
1M
USD
LIBOR
+
3.50%,
4.25%,
7/1/24
298,473
299
Ingersoll-Rand
Services,
FRN,
1M
USD
LIBOR
+
1.75%,
1.871%,
3/1/27
198,500
197
IRB
Holding,
FRN,
1M
USD
LIBOR
+
3.25%,
4.25%,
12/15/27
415,000
416
Jane
Street
Group,
FRN,
1M
USD
LIBOR
+
2.75%,
1/7/25
(6)
490,000
488
K-MAC
Holdings,
FRN,
3M
USD
LIBOR
+
6.75%,
6.871%,
3/16/26
373,667
370
Lions
Gate
Capital
Holdings,
FRN,
3M
USD
LIBOR
+
2.25%,
2.371%,
3/24/25
148,029
147
MH
Sub
I,
FRN,
1M
USD
LIBOR
+
3.75%,
4.75%,
9/13/24
64,837
65
MH
Sub
I,
FRN,
3M
USD
LIBOR
+
3.50%,
3.621%,
9/13/24
298,458
296
MH
Sub
I,
FRN,
3M
USD
LIBOR
+
7.50%,
7.621%,
9/15/25
200,000
200
Navistar,
FRN,
3M
USD
LIBOR
+
3.50%,
3.63%,
11/6/24
(6)
996,923
995
New
Trojan
Parent,
FRN,
1M
USD
LIBOR
+
3.25%,
1/21/28
(6)
90,000
90
New
Trojan
Parent,
FRN,
1M
USD
LIBOR
+
7.25%,
1/21/29
(6)(7)
300,000
302
Option
Care
Health,
FRN,
1M
USD
LIBOR
+
3.75%,
8/6/26
(6)
500,000
501
Pactiv
Evergreen
Group
Holdings,
FRN,
1M
USD
LIBOR
+
3.25%,
3.371%,
2/5/26
200,000
200
Pactiv
Evergreen
Group
Holdings,
FRN,
3M
USD
LIBOR
+
2.75%,
2.871%,
2/5/23
307,682
307
PetSmart,
FRN,
1M
USD
LIBOR
+
3.50%,
4.50%,
3/11/22
300,000
300
PetSmart,
FRN,
1M
USD
LIBOR
+
3.75%,
1/29/28
(6)(7)
300,000
297
Planview
Parent,
FRN,
1M
USD
LIBOR
+
4.00%,
3.98%,
12/17/27
(6)
375,000
376
PPD,
FRN,
1M
USD
LIBOR
+
2.25%,
2.75%,
1/13/28
400,000
402
PQ,
FRN,
1M
USD
LIBOR
+
3.00%,
4.00%,
2/7/27
154,547
155
Rent-A-Center,
FRN,
3M
USD
LIBOR
+
4.50%,
4.688%,
8/5/26
(7)
322,754
322
S2P
Acquisition
Borrower,
FRN,
3M
USD
LIBOR
+
4.00%,
4.121%,
8/14/26
83,752
84
Solera,
FRN,
3M
USD
LIBOR
+
2.75%,
2.871%,
3/3/23
594,829
592
Sophia,
FRN,
1M
USD
LIBOR
+
3.75%,
4.50%,
10/7/27
315,000
316
Sotera
Health
Holdings,
FRN,
1M
USD
LIBOR
+
2.75%,
3.25%,
12/11/26
175,000
174
Tacala
Investment,
FRN,
1M
USD
LIBOR
+
7.50%,
8.25%,
2/4/28
470,000
466
Tech
Data,
FRN,
1M
USD
LIBOR
+
3.50%,
3.621%,
6/30/25
199,500
201
Tech
Data,
FRN,
1M
USD
LIBOR
+
5.50%,
5.621%,
6/30/25
99,750
100
Uber
Technologies,
FRN,
3M
USD
LIBOR
+
4.00%,
5.00%,
4/4/25
192,030
192
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
7
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Wand
NewCo
3,
FRN,
1M
USD
LIBOR
+
3.00%,
3.121%,
2/5/26
24,750
24
Woof
Holdings,
FRN,
1M
USD
LIBOR
+
3.75%,
4.50%,
12/21/27
220,000
221
Woof
Holdings,
FRN,
1M
USD
LIBOR
+
7.25%,
8.00%,
12/21/28
(6)
150,000
152
Zaxby's
Operating,
FRN,
1M
USD
LIBOR
+
3.75%,
4.50%,
12/28/27
250,000
252
Zaxby's
Operating,
FRN,
1M
USD
LIBOR
+
6.50%,
7.323%,
12/28/28
(6)
300,000
303
15,715
Bond
Mutual
Funds
48.0%
T.
Rowe
Price
Dynamic
Credit
Fund
-
I
Class,
3.64%
(8)(9)
2,771,655
27,412
T.
Rowe
Price
Dynamic
Global
Bond
Fund
-
I
Class,
1.76%
(8)(9)
2,762,468
27,431
T.
Rowe
Price
Ultra
Short-Term
Bond
Fund
-
I
Class,
0.74%
(8)(9)
5,380,099
27,438
82,281
Common
Stocks
0.5%
908
Devices
(5)
41
2
Affirm
Holdings
(5)
166
17
Array
Technologies
(5)
5,252
214
Bluescape
Opportunities
Acquisition
(5)
16,862
193
Cullinan
Management
(5)
357
14
DoorDash,
Class
A
(5)
186
36
Generation
Bio
(5)
323
9
Liberty
Media
Acquisition
(5)
10,040
125
nCino
(5)
130
9
Open
Lending,
Class
A
(5)
3,600
131
Qualtrics
International
(5)
116
5
Seer
(5)
417
26
Tradeweb
Markets,
Class
A
169
10
791
Convertible
Bonds
0.3%
Air
Transport
Services
Group,
1.125%,
10/15/24
200,000
215
Inphi,
0.75%,
4/15/25
(1)
250,000
363
Liberty
Broadband,
2.75%,
9/30/50
(1)
19,000
20
598
Convertible
Preferred
Stocks
0.7%
American
Electric
Power,
6.125%,
3/15/22
1,889
91
American
Electric
Power,
6.125%,
8/15/23
2,181
107
Assurant,
Series
D,
6.50%,
3/15/21
800
103
Becton
Dickinson
&
Company,
Series
B,
6.00%,
6/1/23
3,960
222
Broadcom,
Series
A,
8.00%,
9/30/22
194
284
DTE
Energy,
6.25%,
11/1/22
2,532
118
Rappi,
Series
E,
Acquisition
Date:
9/8/20,
Cost
$109
(5)(7)(10)
1,822
109
Sempra
Energy,
Series
B,
6.75%,
7/15/21
375
38
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
8
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Southern,
Series
A,
6.75%,
8/1/22
2,593
128
1,200
Corporate
Bonds
5.5%
Albertsons,
3.50%,
2/15/23
(1)
155,000
159
American
Airlines
PTT,
Series
2019-1,
Class
AA,
3.15%,
2/15/32
96,523
95
Ardagh
Packaging
Finance,
5.25%,
4/30/25
(1)
400,000
421
Bausch
Health,
7.00%,
3/15/24
(1)
800,000
818
Burlington
Coat
Factory
Warehouse,
6.25%,
4/15/25
(1)
225,000
241
Carvana,
5.875%,
10/1/28
(1)
200,000
208
Change
Healthcare
Holdings,
5.75%,
3/1/25
(1)
800,000
822
Global
Net
Lease,
3.75%,
12/15/27
(1)
900,000
914
Home
Point
Capital,
5.00%,
2/1/26
(1)
185,000
187
Intelsat
Jackson
Holdings,
9.50%,
9/30/22
(1)
195,000
218
Lamar
Media,
4.875%,
1/15/29
400,000
422
Lumen
Technologies,
Series
Y,
7.50%,
4/1/24
600,000
678
Mattel,
6.75%,
12/31/25
(1)
800,000
841
MDC
Partners,
STEP,
7.50%,
5/1/24
(1)
400,000
408
NBCUniversal
Enterprise,
5.25%
(1)(11)
200,000
201
Nielsen
Finance,
5.00%,
4/15/22
(1)
592,000
593
Nielsen
Luxembourg,
5.50%,
10/1/21
(1)
68,000
68
NMI
Holdings,
7.375%,
6/1/25
(1)
70,000
79
NuStar
Logistics,
4.75%,
2/1/22
(2)
200,000
204
PetSmart,
7.75%,
2/15/29
(1)
250,000
250
PRA
Group,
7.375%,
9/1/25
(1)
195,000
208
Solera,
10.50%,
3/1/24
(1)
150,000
155
Sprint
Capital,
6.875%,
11/15/28
600,000
771
U.S.
Airways
PTT,
Series
2013-1,
Class
A,
3.95%,
11/15/25
60,961
58
UAL
PTT,
6.636%,
7/2/22
297,882
304
United
Airlines
PTT,
Series
2018-1,
Class
AA,
3.50%,
3/1/30
181,649
184
9,507
Equity
Mutual
Funds
14.9%
T.
Rowe
Price
Communications
&
Technology
Fund
-
I
Class
(8)
8,960
1,617
T.
Rowe
Price
Financial
Services
Fund
-
I
Class
(8)
39,989
1,076
T.
Rowe
Price
Global
Consumer
Fund
(8)
77,056
1,341
T.
Rowe
Price
Global
Industrials
Fund
-
I
Class
(8)
111,410
1,874
T.
Rowe
Price
Global
Real
Estate
Fund
-
I
Class
(8)
14,408
273
T.
Rowe
Price
Global
Stock
Fund
-
I
Class
(8)
226,560
14,740
T.
Rowe
Price
Global
Technology
Fund
-
I
Class
(8)
77,154
2,177
T.
Rowe
Price
Health
Sciences
Fund
-
I
Class
(8)
13,324
1,348
T.
Rowe
Price
New
Era
Fund
-
I
Class
(8)
32,939
1,068
25,514
Preferred
Stocks
0.2%
Federal
National
Mortgage
Association,
Series
R,
7.625%
(11)
6,000
29
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
9
Par/Shares
$
Value
(Cost
and
value
in
$000s)
NuStar
Logistics,
VR,
6.975%,
1/15/43
12,500
277
306
Total
United
States
(Cost
$128,602
)
135,912
SHORT-TERM
INVESTMENTS
11.2%
Money
Market
Funds
11.2%
T.
Rowe
Price
Government
Reserve
Fund,
0.07%
(8)(12)
19,223,492
19,223
Total
Short-Term
Investments
(Cost
$19,223)
19,223
SECURITIES
LENDING
COLLATERAL
0.3%
INVESTMENTS
IN
A
POOLED
ACCOUNT
THROUGH
SECURITIES
LENDING
PROGRAM
WITH
STATE
STREET
BANK
AND
TRUST
COMPANY
0.3%
Short-Term
Funds
0.3%
T.
Rowe
Price
Short-Term
Fund,
0.13%
(8)(12)
50,200
502
Total
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
State
Street
Bank
and
Trust
Company
502
Total
Securities
Lending
Collateral
(Cost
$502)
502
(Amounts
in
000s,
except
for
contracts)
Options
Purchased
0.2%
Exchange-Traded
Options
Purchased
0
.1
%
Description
Contracts
Notional
Amount
$
Value
Invesco
QQQ
Trust,
Series
1,
Put,
4/16/21
@
$280.00
(5)
22
692
19
iShares
Russell
2000
ETF,
Put,
3/31/21
@
$180.00
(5)
43
884
18
SPDR
S&P
500
ETF
Trust,
Put,
3/19/21
@
$340.00
(5)
43
1,628
30
SPDR
S&P
500
ETF
Trust,
Put,
4/16/21
@
$360.00
(5)
44
1,666
65
Total
Exchange-Traded
Options
Purchased
(Cost
$100)
132
OTC
Options
Purchased
0
.1
%
Counterparty
Description
Contracts
Notional
Amount
$
Value
Goldman
Sachs
10
Year
Interest
Rate
Swap,
1/5/32
Pay
Fixed
1.094%
Semi-
Annually,
Receive
Variable
0.20%
(3M
USD
LIBOR)
Quarterly,
12/31/21
@
1.09%
*
(5)
1
2,500
80
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
10
(Amounts
in
000s,
except
for
contracts)
Counterparty
Description
Contracts
Notional
Amount
$
Value
Morgan
Stanley
5
Year
Interest
Rate
Swap,
1/5/27
Pay
Fixed
0.618%
Semi-
Annually,
Receive
Variable
0.20%
(3M
USD
LIBOR)
Quarterly,
12/31/21
@
0.62%
*
(5)
1
7,000
82
Total
OTC
Options
Purchased
(Cost
$120)
162
Total
Options
Purchased
(Cost
$220)
294
Total
Investments
in
Securities
96.1%
(Cost
$156,790)
$
164,702
Other
Assets
Less
Liabilities
3.9%
6,756
Net
Assets
100.0%
$
171,458
‡
Country
classifications
are
generally
based
on
MSCI
categories
or
another
unaffiliated
third
party
data
provider;
Par/Shares
and
Notional
Amount
are
denominated
in
the
currency
of
the
country
presented
unless
otherwise
noted.
*
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
$9,358
and
represents
5.5%
of
net
assets.
(2)
All
or
a
portion
of
this
security
is
on
loan
at
January
31,
2021.
(3)
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
is
provided
if
the
rate
is
currently
floating.
(4)
Bank
loan
positions
may
involve
multiple
underlying
tranches.
In
those
instances,
the
position
presented
reflects
the
aggregate
of
those
respective
underlying
tranches
and
the
rate
presented
reflects
the
weighted
average
rate
of
the
settled
positions.
(5)
Non-income
producing
(6)
All
or
a
portion
of
this
loan
is
unsettled
as
of
January
31,
2021.
The
interest
rate
for
unsettled
loans
will
be
determined
upon
settlement
after
period
end.
(7)
Level
3
in
fair
value
hierarchy.
(8)
Affiliated
Companies
(9)
SEC
30-day
yield
(10)
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
has
registration
rights
for
certain
restricted
securities.
Any
costs
related
to
such
registration
are
borne
by
the
issuer.
The
aggregate
value
of
restricted
securities
(excluding
144A
holdings)
at
period
end
amounts
to
$109
and
represents
0.1%
of
net
assets.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
11
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
(11)
Perpetual
security
with
no
stated
maturity
date.
(12)
Seven-day
yield
1M
ADBB
One
Month
AUD
bank
bill
1M
CAD
CDOR
One
month
CAD
CDOR
(Canadian
Dollar
offered
rate)
1M
CHF
LIBOR
One
month
CHF
LIBOR
(London
interbank
offered
rate)
1M
CNH
HIBOR
One
month
CNH
HIBOR
(Hong
Kong
interbank
offered
rate)
1M
DKK
CIBOR
One
month
DKK
CIBOR
(Copenhagen
interbank
offered
rate)
1M
EURIBOR
One
month
EURIBOR
(Euro
interbank
offered
rate)
1M
GBP
LIBOR
One
month
GBP
LIBOR
(London
interbank
offered
rate)
1M
HKD
HIBOR
One
month
HKD
HIBOR
(Hong
Kong
interbank
offered
rate)
1M
JPY
LIBOR
One
month
JPY
LIBOR
(London
interbank
offered
rate)
1M
NOK
NIBOR
One
month
NOK
NIBOR
(Norwegian
interbank
offered
rate)
1M
PLN
WIBOR
One
month
PLN
WIBOR
(Warsaw
interbank
offered
rate)
1M
SEK
STIBOR
One
month
SEK
STIBOR
(Stockholm
interbank
offered
rate)
1M
USD
LIBOR
One
month
USD
LIBOR
(London
interbank
offered
rate)
3M
EURIBOR
Three
month
EURIBOR
(Euro
interbank
offered
rate)
3M
USD
LIBOR
Three
month
USD
LIBOR
(London
interbank
offered
rate)
6M
CZK
PRIBOR
Six
month
CZK
PRIBOR
(Prague
interbank
offered
rate)
6M
PLN
WIBOR
Six
month
PLN
WIBOR
(Warsaw
interbank
offered
rate)
ADR
American
Depositary
Receipts
BRL
Brazilian
Real
CAD
Canadian
Dollar
CHF
Swiss
Franc
CPI
Consumer
Price
Index
ETF
Exchange-Traded
Fund
EUR
Euro
FRN
Floating
Rate
Note
GBP
British
Pound
HKD
Hong
Kong
Dollar
INR
Indian
Rupee
JPY
Japanese
Yen
MXIBTIIE
Mexican
Interbank
28
day
interest
rate
MXN
Mexican
Peso
NZD
New
Zealand
Dollar
OTC
Over-the-counter
PLN
Polish
Zloty
PTT
Pass-Through
Trust
RUB
Russian
Ruble
SEK
Swedish
Krona
STEP
Stepped
coupon
bond
for
which
the
coupon
rate
of
interest
adjusts
on
specified
date(s);
rate
shown
is
effective
rate
at
period-end.
TRY
Turkish
Lira
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
12
(Amounts
in
000s,
except
for
contracts)
OPTIONS
WRITTEN
(0.3)%
Exchange-Traded
Options
Written
(0.3)%
Description
Contracts
Notional
Amount
$
Value
iShares
iBoxx
High
Yield
Corporate
Bond
ETF,
Put,
2/19/21
@
$86.00
498
4,331
(
24
)
iShares
iBoxx
High
Yield
Corporate
Bond
ETF,
Put,
3/19/21
@
$86.00
498
4,331
(
52
)
S&P
500
Index,
Call,
2/19/21
@
$3,625.00
8
2,971
(
122
)
S&P
500
Index,
Call,
3/19/21
@
$4,000.00
30
11,143
(
72
)
S&P
500
Index,
Put,
2/19/21
@
$3,450.00
15
5,571
(
52
)
S&P
500
Index,
Put,
3/19/21
@
$3,450.00
16
5,943
(
97
)
U.S.
Treasury
Long
Bond
futures
contracts,
Call,
2/19/21
@
$176.00
9
1,518
(
1
)
U.S.
Treasury
Long
Bond
futures
contracts,
Call,
2/19/21
@
$177.00
16
2,700
(
1
)
U.S.
Treasury
Long
Bond
futures
contracts,
Put,
2/19/21
@
$167.00
9
1,518
(
6
)
U.S.
Treasury
Long
Bond
futures
contracts,
Put,
2/19/21
@
$168.00
16
2,700
(
16
)
Total
Options
Written
(Premiums
$(399))
$
(
443
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
13
(Amounts
in
$000s)
SWAPS
0.1%
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
BILATERAL
SWAPS
0.1%
Credit
Default
Swaps,
Protection
Bought
(0.0)%
Sweden
(0.0)%
Goldman
Sachs,
Protection
Bought
(Relevant
Credit:
Stena),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
6/20/21
(EUR)
100
(1)
(1)
—
Total
Bilateral
Credit
Default
Swaps,
Protection
Bought
(1)
—
Total
Return
Swaps
0.0%
Australia
0.1%
Citibank,
Receive
Underlying
Reference:
Goodman
Group
Monthly,
Pay
Variable
0.410%
(1M
ADBB
+
0.40%)
Monthly,
1/19/22
120
—
—
—
Citibank,
Receive
Underlying
Reference:
Goodman
Group
Monthly,
Pay
Variable
0.410%
(1M
ADBB
+
0.40%)
Monthly,
1/19/22
137
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
ALS
Monthly,
Pay
Variable
0.561%
(1M
ADBB
+
0.55%)
Monthly,
1/19/22
100
(1)
—
(1)
UBS
Securities,
Pay
Underlying
Reference:
Dexus
Monthly,
Receive
Variable
(0.440)%
(1M
ADBB
+
(0.45)%)
Monthly,
1/19/22
122
1
—
1
UBS
Securities,
Pay
Underlying
Reference:
Dexus
Monthly,
Receive
Variable
(0.439)%
(1M
ADBB
+
(0.45)%)
Monthly,
1/19/22
482
(1)
—
(1)
UBS
Securities,
Pay
Underlying
Reference:
Newcrest
Mining
Monthly,
Receive
Variable
(0.440)%
(1M
ADBB
+
(0.45)%)
Monthly,
1/19/22
88
5
—
5
UBS
Securities,
Pay
Underlying
Reference:
Newcrest
Mining
Monthly,
Receive
Variable
(0.439)%
(1M
ADBB
+
(0.45)%)
Monthly,
1/19/22
121
5
—
5
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
14
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
UBS
Securities,
Pay
Underlying
Reference:
Rio
Tinto
Monthly,
Receive
Variable
(0.440)%
(1M
ADBB
+
(0.45)%)
Monthly,
1/19/22
127
8
—
8
UBS
Securities,
Pay
Underlying
Reference:
Woodside
Petroleum
Monthly,
Receive
Variable
(0.440)%
(1M
ADBB
+
(0.45)%)
Monthly,
1/19/22
123
7
—
7
UBS
Securities,
Receive
Underlying
Reference:
ALS
Monthly,
Pay
Variable
0.411%
(1M
ADBB
+
0.40%)
Monthly,
1/19/22
101
(1)
—
(1)
UBS
Securities,
Receive
Underlying
Reference:
Domino's
Pizza
Enterprises
Monthly,
Pay
Variable
0.411%
(1M
ADBB
+
0.40%)
Monthly,
1/19/22
366
35
—
35
UBS
Securities,
Receive
Underlying
Reference:
Transurban
Group
Monthly,
Pay
Variable
0.411%
(1M
ADBB
+
0.40%)
Monthly,
1/19/22
210
5
—
5
Total
Australia
—
63
Austria
(0.1)%
Bank
of
America,
Receive
Underlying
Reference:
BAWAG
Group
Monthly,
Pay
Variable
(0.157)%
(1M
EURIBOR
+
0.40%)
Monthly,
1/19/22
98
(10)
—
(10)
Bank
of
America,
Receive
Underlying
Reference:
Erste
Group
Bank
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
209
(8)
—
(8)
Citibank,
Receive
Underlying
Reference:
BAWAG
Group
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
147
(15)
—
(15)
UBS
Securities,
Receive
Underlying
Reference:
BAWAG
Group
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
86
(8)
—
(8)
Total
Austria
—
(41)
Belgium
(0.0)%
Goldman
Sachs,
Receive
Underlying
Reference:
Umicore
Monthly,
Pay
Variable
(0.157)%
(1M
EURIBOR
+
0.40%)
Monthly,
1/19/22
82
3
—
3
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
15
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Goldman
Sachs,
Receive
Underlying
Reference:
Umicore
Monthly,
Pay
Variable
(0.157)%
(1M
EURIBOR
+
0.40%)
Monthly,
1/20/22
11
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Groupe
Bruxelles
Lambert
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
236
(7)
—
(7)
Total
Belgium
—
(4)
Bermuda
0.0%
Morgan
Stanley,
Pay
Underlying
Reference:
Invesco
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
171
(5)
—
(5)
Morgan
Stanley,
Receive
Underlying
Reference:
IHS
Markit
Monthly,
Pay
Variable
0.428%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
202
(2)
—
(2)
Morgan
Stanley,
Receive
Underlying
Reference:
IHS
Markit
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
750
15
—
15
Total
Bermuda
—
8
Brazil
(0.0)%
Morgan
Stanley,
Receive
Underlying
Reference:
Rede
D'Or
Sao
Luiz
Monthly,
Pay
Variable
0.580%
(1M
USD
LIBOR
+
0.45%)
Monthly,
1/20/22
154
(8)
—
(8)
Total
Brazil
—
(8)
Canada
0.0%
Citibank,
Receive
Underlying
Reference:
Sprott
Physical
Gold
and
Silver
Trust
Monthly,
Pay
Variable
0.431%
(1M
CAD
CDOR
+
0.30%)
Monthly,
1/20/22
27
1
—
1
Goldman
Sachs,
Pay
Underlying
Reference:
Canadian
Natural
Resources
Monthly,
Receive
Variable
0.118%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/19/22
268
15
—
15
Goldman
Sachs,
Pay
Underlying
Reference:
Royal
Bank
of
Canada
Monthly,
Receive
Variable
0.118%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/19/22
127
3
—
3
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
16
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Goldman
Sachs,
Pay
Underlying
Reference:
Suncor
Energy
Monthly,
Receive
Variable
0.118%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/19/22
122
5
—
5
Morgan
Stanley,
Pay
Underlying
Reference:
Cameco
Monthly,
Receive
Variable
(0.169)%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/20/22
140
6
—
6
Morgan
Stanley,
Pay
Underlying
Reference:
Franco-Nevada
Monthly,
Receive
Variable
0.018%
(1M
CAD
CDOR
+
(0.40)%)
Monthly,
1/19/22
149
3
—
3
Morgan
Stanley,
Receive
Underlying
Reference:
ERO
Monthly,
Pay
Variable
0.968%
(1M
CAD
CDOR
+
0.55%)
Monthly,
1/19/22
188
(16)
—
(16)
Morgan
Stanley,
Receive
Underlying
Reference:
Franco-Nevada
Monthly,
Pay
Variable
0.431%
(1M
CAD
CDOR
+
0.30%)
Monthly,
1/20/22
247
(4)
—
(4)
Morgan
Stanley,
Receive
Underlying
Reference:
Lightspeed
POS
Monthly,
Pay
Variable
0.968%
(1M
CAD
CDOR
+
0.55%)
Monthly,
1/19/22
234
(14)
—
(14)
Morgan
Stanley,
Receive
Underlying
Reference:
Magna
International
Monthly,
Pay
Variable
0.431%
(1M
CAD
CDOR
+
0.30%)
Monthly,
1/20/22
109
(4)
—
(4)
Morgan
Stanley,
Receive
Underlying
Reference:
Sprott
Physical
Gold
and
Silver
Trust
Monthly,
Pay
Variable
0.431%
(1M
CAD
CDOR
+
0.30%)
Monthly,
1/20/22
82
3
—
3
Morgan
Stanley,
Receive
Underlying
Reference:
Sun
Life
Financial
Monthly,
Pay
Variable
0.968%
(1M
CAD
CDOR
+
0.55%)
Monthly,
1/19/22
354
(2)
—
(2)
Morgan
Stanley,
Receive
Underlying
Reference:
Wesdome
Gold
Mines
Monthly,
Pay
Variable
0.968%
(1M
CAD
CDOR
+
0.55%)
Monthly,
1/19/22
207
9
—
9
Total
Canada
—
5
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
17
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Cayman
Islands
(0.0)%
Goldman
Sachs,
Pay
Underlying
Reference:
Tencent
Holdings
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
413
(36)
—
(36)
Morgan
Stanley,
Pay
Underlying
Reference:
Alibaba
Group
Holding
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
33
(1)
—
(1)
Morgan
Stanley,
Pay
Underlying
Reference:
Sogou
Monthly,
Receive
Variable
(0.899)%
(1M
USD
LIBOR
+
(1.03)%)
Monthly,
1/20/22
116
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Sohu.com
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
70
6
—
6
Total
Cayman
Islands
—
(31)
China
0.0%
Morgan
Stanley,
Receive
Underlying
Reference:
Zhejiang
Runtu,
Class
A
Monthly,
Pay
Variable
3.556%
(1M
CNH
HIBOR
+
1.15%)
Monthly,
1/20/22
1,323
4
—
4
UBS
Securities,
Receive
Underlying
Reference:
Deppon
Logistics,
Class
A
Monthly,
Pay
Variable
3.140%
(1M
CNH
HIBOR
+
0.75%)
Monthly,
1/20/22
307
2
—
2
UBS
Securities,
Receive
Underlying
Reference:
Deppon
Logistics,
Class
A
Monthly,
Pay
Variable
3.156%
(1M
CNH
HIBOR
+
0.75%)
Monthly,
1/20/22
903
9
—
9
Total
China
—
15
Denmark
(0.0)%
Citibank,
Pay
Underlying
Reference:
AP
Moller
-
Maersk,
Class
B
Monthly,
Receive
Variable
(0.640)%
(1M
DKK
CIBOR
+
(0.35)%)
Monthly,
1/19/22
416
10
—
10
Goldman
Sachs,
Pay
Underlying
Reference:
AP
Moller
-
Maersk,
Class
B
Monthly,
Receive
Variable
(0.640)%
(1M
DKK
CIBOR
+
(0.35)%)
Monthly,
1/19/22
327
8
—
8
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
18
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Goldman
Sachs,
Pay
Underlying
Reference:
AP
Moller
-
Maersk,
Class
B
Monthly,
Receive
Variable
(0.640)%
(1M
DKK
CIBOR
+
(0.35)%)
Monthly,
1/20/22
297
7
—
7
JPMorgan
Chase,
Receive
Underlying
Reference:
Ascendis
Pharma
Monthly,
Pay
Variable
0.481%
(1M
USD
LIBOR
+
0.35%)
Monthly,
1/20/22
111
(5)
—
(5)
Morgan
Stanley,
Pay
Underlying
Reference:
GN
Store
Nord
Monthly,
Receive
Variable
(0.640)%
(1M
DKK
CIBOR
+
(0.35)%)
Monthly,
1/19/22
1,479
(3)
—
(3)
Morgan
Stanley,
Pay
Underlying
Reference:
Vestas
Wind
Systems
Monthly,
Receive
Variable
(0.640)%
(1M
DKK
CIBOR
+
(0.35)%)
Monthly,
1/19/22
650
2
—
2
Morgan
Stanley,
Pay
Underlying
Reference:
Vestas
Wind
Systems
Monthly,
Receive
Variable
(0.640)%
(1M
DKK
CIBOR
+
(0.35)%)
Monthly,
1/20/22
624
2
—
2
Morgan
Stanley,
Receive
Underlying
Reference:
Genmab
Monthly,
Pay
Variable
0.060%
(1M
DKK
CIBOR
+
0.35%)
Monthly,
1/19/22
1,921
(28)
—
(28)
UBS
Securities,
Pay
Underlying
Reference:
Vestas
Wind
Systems
Monthly,
Receive
Variable
(0.690)%
(1M
DKK
CIBOR
+
(0.40)%)
Monthly,
1/20/22
852
3
—
3
Total
Denmark
—
(4)
Finland
0.0%
Citibank,
Pay
Underlying
Reference:
Nordea
Bank
Monthly,
Receive
Variable
(0.410)%
(1M
SEK
STIBOR
+
(0.35)%)
Monthly,
1/19/22
(SEK)
1,156
6
—
6
Goldman
Sachs,
Receive
Underlying
Reference:
Kojamo
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
276
(11)
—
(11)
Morgan
Stanley,
Pay
Underlying
Reference:
Neste
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
166
7
—
7
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
19
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Wartsila
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
287
25
—
25
Morgan
Stanley,
Receive
Underlying
Reference:
Stora
Enso,
R
Shares
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
363
(23)
—
(23)
UBS
Securities,
Receive
Underlying
Reference:
Sampo,
A
Shares
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
151
(1)
—
(1)
Total
Finland
—
3
France
(0.1)%
Bank
of
America,
Pay
Underlying
Reference:
Eutelsat
Communications
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
94
(5)
—
(5)
Bank
of
America,
Receive
Underlying
Reference:
Thales
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
78
(3)
—
(3)
Citibank,
Pay
Underlying
Reference:
Dassault
Systemes
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
114
(2)
—
(2)
Citibank,
Receive
Underlying
Reference:
Sartorius
Stedim
Biotech
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/20/22
93
13
—
13
Morgan
Stanley,
Pay
Underlying
Reference:
Arkema
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/20/22
105
7
—
7
Morgan
Stanley,
Pay
Underlying
Reference:
Cie
de
Saint-Gobain
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
53
3
—
3
Morgan
Stanley,
Pay
Underlying
Reference:
Cie
de
Saint-Gobain
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/20/22
80
4
—
4
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
20
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Kering
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
346
15
—
15
Morgan
Stanley,
Receive
Underlying
Reference:
BNP
Paribas
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
574
(73)
—
(73)
Morgan
Stanley,
Receive
Underlying
Reference:
Constellium
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
281
(34)
—
(34)
UBS
Securities,
Pay
Underlying
Reference:
LVMH
Moet
Hennessy
Louis
Vuitton
Monthly,
Receive
Variable
(0.957)%
(1M
EURIBOR
+
(0.40)%)
Monthly,
1/19/22
227
(3)
—
(3)
UBS
Securities,
Pay
Underlying
Reference:
LVMH
Moet
Hennessy
Louis
Vuitton
Monthly,
Receive
Variable
(0.957)%
(1M
EURIBOR
+
(0.40)%)
Monthly,
1/20/22
134
(1)
—
(1)
UBS
Securities,
Receive
Underlying
Reference:
Sanofi
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
188
(12)
—
(12)
Total
France
—
(91)
Germany
0.0%
Bank
of
America,
Pay
Underlying
Reference:
Brenntag
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
504
20
—
20
Citibank,
Pay
Underlying
Reference:
Allianz
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
598
56
—
56
Citibank,
Pay
Underlying
Reference:
Deutsche
Bank
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
173
27
—
27
Citibank,
Pay
Underlying
Reference:
Deutsche
Wohnen
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
91
1
—
1
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
21
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Citibank,
Pay
Underlying
Reference:
HelloFresh
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
166
(26)
—
(26)
Citibank,
Pay
Underlying
Reference:
STRATEC
Monthly,
Receive
Variable
(0.918)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
33
—
—
—
Citibank,
Pay
Underlying
Reference:
TeamViewer
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
92
(7)
—
(7)
Citibank,
Receive
Underlying
Reference:
Infineon
Technologies
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
152
(3)
—
(3)
Citibank,
Receive
Underlying
Reference:
KION
Group
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
122
(5)
—
(5)
Goldman
Sachs,
Pay
Underlying
Reference:
STRATEC
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
106
(12)
—
(12)
Goldman
Sachs,
Pay
Underlying
Reference:
Vonovia
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
6
—
—
—
Goldman
Sachs,
Pay
Underlying
Reference:
Vonovia
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/20/22
89
2
—
2
Goldman
Sachs,
Receive
Underlying
Reference:
Merck
Monthly,
Pay
Variable
(0.157)%
(1M
EURIBOR
+
0.40%)
Monthly,
1/19/22
278
(25)
—
(25)
JPMorgan
Chase,
Pay
Underlying
Reference:
Volkswagen
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
456
(22)
—
(22)
JPMorgan
Chase,
Receive
Underlying
Reference:
Porsche
Automobil
Holding
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
302
3
—
3
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
22
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Bayerische
Motoren
Werke
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
135
(1)
—
(1)
Morgan
Stanley,
Pay
Underlying
Reference:
Carl
Zeiss
Meditec,
Class
BR
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
128
(15)
—
(15)
Morgan
Stanley,
Pay
Underlying
Reference:
Hannover
Rueck
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/20/22
69
4
—
4
Morgan
Stanley,
Pay
Underlying
Reference:
MTU
Aero
Engines
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
169
19
—
19
Morgan
Stanley,
Pay
Underlying
Reference:
RWE
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
517
31
—
31
Morgan
Stanley,
Pay
Underlying
Reference:
SAP
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
426
(7)
—
(7)
Morgan
Stanley,
Receive
Underlying
Reference:
Covestro
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
177
9
—
9
Morgan
Stanley,
Receive
Underlying
Reference:
Infineon
Technologies
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
160
(3)
—
(3)
Morgan
Stanley,
Receive
Underlying
Reference:
Sartorius
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/20/22
76
9
—
9
UBS
Securities,
Pay
Underlying
Reference:
Hannover
Rueck
Monthly,
Receive
Variable
(0.957)%
(1M
EURIBOR
+
(0.40)%)
Monthly,
1/19/22
12
1
—
1
UBS
Securities,
Pay
Underlying
Reference:
Hannover
Rueck
Monthly,
Receive
Variable
(0.957)%
(1M
EURIBOR
+
(0.40)%)
Monthly,
1/20/22
125
7
—
7
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
23
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
UBS
Securities,
Receive
Underlying
Reference:
Fresenius
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
89
(5)
—
(5)
Total
Germany
—
58
Hong
Kong
0.0%
Goldman
Sachs,
Receive
Underlying
Reference:
Galaxy
Entertainment
Group
Monthly,
Pay
Variable
0.513%
(1M
HKD
HIBOR
+
0.40%)
Monthly,
1/19/22
865
2
—
2
Morgan
Stanley,
Receive
Underlying
Reference:
Galaxy
Entertainment
Group
Monthly,
Pay
Variable
0.663%
(1M
HKD
HIBOR
+
0.55%)
Monthly,
1/19/22
519
1
—
1
UBS
Securities,
Pay
Underlying
Reference:
Cathay
Pacific
Airways
Monthly,
Receive
Variable
(3.187)%
(1M
HKD
HIBOR
+
(3.30)%)
Monthly,
1/19/22
179
4
—
4
UBS
Securities,
Pay
Underlying
Reference:
Swire
Properties
Monthly,
Receive
Variable
(0.287)%
(1M
HKD
HIBOR
+
(0.40)%)
Monthly,
1/19/22
972
4
—
4
UBS
Securities,
Receive
Underlying
Reference:
Swire
Pacific,
Class
A
Monthly,
Pay
Variable
0.463%
(1M
HKD
HIBOR
+
0.35%)
Monthly,
1/19/22
1,884
1
—
1
UBS
Securities,
Receive
Underlying
Reference:
Swire
Pacific,
Class
B
Monthly,
Pay
Variable
0.463%
(1M
HKD
HIBOR
+
0.35%)
Monthly,
1/19/22
505
1
—
1
Total
Hong
Kong
—
13
Ireland
0.1%
Bank
of
America,
Pay
Underlying
Reference:
Pentair
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
173
9
—
9
Citibank,
Pay
Underlying
Reference:
iShares
Core
FTSE
100
UCITS
ETF
Monthly,
Receive
Variable
(0.323)%
(1M
GBP
LIBOR
+
(0.35)%)
Monthly,
1/19/22
(GBP)
1,092
26
—
26
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
24
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Citibank,
Pay
Underlying
Reference:
iShares
Core
FTSE
100
UCITS
ETF
Monthly,
Receive
Variable
(0.321)%
(1M
GBP
LIBOR
+
(0.35)%)
Monthly,
1/19/22
(GBP)
259
15
—
15
Goldman
Sachs,
Pay
Underlying
Reference:
Allegion
plc
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
186
12
—
12
Morgan
Stanley,
Pay
Underlying
Reference:
Aon,
Class
A
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
1,213
26
—
26
Morgan
Stanley,
Receive
Underlying
Reference:
Willis
Towers
Watson
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
938
(17)
—
(17)
UBS
Securities,
Pay
Underlying
Reference:
CRH
Monthly,
Receive
Variable
(0.373)%
(1M
GBP
LIBOR
+
(0.40)%)
Monthly,
1/20/22
(GBP)
150
15
—
15
UBS
Securities,
Receive
Underlying
Reference:
Kerry
Group,
Class
A
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
77
(2)
—
(2)
Total
Ireland
—
84
Italy
0.0%
Citibank,
Receive
Underlying
Reference:
Atlantia
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
179
(8)
—
(8)
JPMorgan
Chase,
Receive
Underlying
Reference:
DiaSorin
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
100
13
—
13
Morgan
Stanley,
Pay
Underlying
Reference:
Telecom
Italia
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
77
5
—
5
Morgan
Stanley,
Pay
Underlying
Reference:
Telecom
Italia
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/20/22
26
2
—
2
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
25
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
UBS
Securities,
Receive
Underlying
Reference:
Atlantia
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
126
(6)
—
(6)
Total
Italy
—
6
Japan
0.0%
Citibank,
Pay
Underlying
Reference:
Ajinomoto
Monthly,
Receive
Variable
(0.462)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/20/22
8,605
—
—
—
Citibank,
Pay
Underlying
Reference:
Calbee
Monthly,
Receive
Variable
(0.462)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/20/22
7,165
—
—
—
Citibank,
Pay
Underlying
Reference:
Honda
Motor
Monthly,
Receive
Variable
(0.462)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
23,814
4
—
4
Citibank,
Pay
Underlying
Reference:
iShares
Core
TOPIX
ETF
Monthly,
Receive
Variable
(0.456)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
17,455
2
—
2
Citibank,
Pay
Underlying
Reference:
Sysmex
Monthly,
Receive
Variable
(0.462)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/20/22
14,135
6
—
6
Citibank,
Receive
Underlying
Reference:
Bridgestone
Monthly,
Pay
Variable
0.338%
(1M
JPY
LIBOR
+
0.40%)
Monthly,
1/19/22
65,819
(8)
—
(8)
Citibank,
Receive
Underlying
Reference:
Hino
Motors
Monthly,
Pay
Variable
0.338%
(1M
JPY
LIBOR
+
0.40%)
Monthly,
1/19/22
39,207
7
—
7
Citibank,
Receive
Underlying
Reference:
Keyence
Monthly,
Pay
Variable
0.338%
(1M
JPY
LIBOR
+
0.40%)
Monthly,
1/19/22
11,408
(2)
—
(2)
Citibank,
Receive
Underlying
Reference:
Keyence
Monthly,
Pay
Variable
0.338%
(1M
JPY
LIBOR
+
0.40%)
Monthly,
1/20/22
5,704
(1)
—
(1)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
26
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Citibank,
Receive
Underlying
Reference:
Mitsubishi
Monthly,
Pay
Variable
0.338%
(1M
JPY
LIBOR
+
0.40%)
Monthly,
1/19/22
12,555
(1)
—
(1)
Citibank,
Receive
Underlying
Reference:
Mitsubishi
Monthly,
Pay
Variable
0.343%
(1M
JPY
LIBOR
+
0.40%)
Monthly,
1/19/22
10,977
(4)
—
(4)
Citibank,
Receive
Underlying
Reference:
Mitsui
Fudosan
Monthly,
Pay
Variable
0.338%
(1M
JPY
LIBOR
+
0.40%)
Monthly,
1/19/22
3,920
1
—
1
Citibank,
Receive
Underlying
Reference:
Sega
Sammy
Holdings
Monthly,
Pay
Variable
0.338%
(1M
JPY
LIBOR
+
0.40%)
Monthly,
1/19/22
25,610
1
—
1
Citibank,
Receive
Underlying
Reference:
Sumitomo
Electric
Industries
Monthly,
Pay
Variable
0.338%
(1M
JPY
LIBOR
+
0.40%)
Monthly,
1/19/22
10,563
(4)
—
(4)
Morgan
Stanley,
Pay
Underlying
Reference:
Ajinomoto
Monthly,
Receive
Variable
(0.462)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
8,605
—
—
—
Morgan
Stanley,
Pay
Underlying
Reference:
Calbee
Monthly,
Receive
Variable
(0.462)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
5,296
—
—
—
Morgan
Stanley,
Pay
Underlying
Reference:
Chugai
Pharmaceutical
Monthly,
Receive
Variable
(0.622)%
(1M
JPY
LIBOR
+
(0.56)%)
Monthly,
1/19/22
24,755
16
—
16
Morgan
Stanley,
Pay
Underlying
Reference:
Daifuku
Monthly,
Receive
Variable
(0.462)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/20/22
24,434
17
—
17
Morgan
Stanley,
Pay
Underlying
Reference:
Daikin
Industries
Monthly,
Receive
Variable
(0.462)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
25,548
12
—
12
Morgan
Stanley,
Pay
Underlying
Reference:
Japan
Post
Holdings
Monthly,
Receive
Variable
(0.462)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
14,569
6
—
6
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
27
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Kubota
Monthly,
Receive
Variable
(0.462)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
12,444
1
—
1
Morgan
Stanley,
Pay
Underlying
Reference:
Kyocera
Monthly,
Receive
Variable
(0.462)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
31,786
3
—
3
Morgan
Stanley,
Pay
Underlying
Reference:
Nidec
Monthly,
Receive
Variable
(0.462)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
31,165
(7)
—
(7)
Morgan
Stanley,
Pay
Underlying
Reference:
Nitori
Holdings
Monthly,
Receive
Variable
(0.462)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
17,944
13
—
13
Morgan
Stanley,
Pay
Underlying
Reference:
Pola
Orbis
Holdings
Monthly,
Receive
Variable
(0.462)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
11,107
1
—
1
Morgan
Stanley,
Pay
Underlying
Reference:
SG
Holdings
Monthly,
Receive
Variable
(0.457)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
10,047
3
—
3
Morgan
Stanley,
Pay
Underlying
Reference:
Shimano
Monthly,
Receive
Variable
(0.462)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
12,525
2
—
2
Morgan
Stanley,
Pay
Underlying
Reference:
Sysmex
Monthly,
Receive
Variable
(0.462)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/20/22
5,140
2
—
2
Morgan
Stanley,
Pay
Underlying
Reference:
Welcia
Holdings
Monthly,
Receive
Variable
(0.462)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
15,795
(2)
—
(2)
Morgan
Stanley,
Receive
Underlying
Reference:
Amada
Monthly,
Pay
Variable
0.488%
(1M
JPY
LIBOR
+
0.55%)
Monthly,
1/19/22
21,050
(3)
—
(3)
Morgan
Stanley,
Receive
Underlying
Reference:
Asics
Monthly,
Pay
Variable
0.488%
(1M
JPY
LIBOR
+
0.55%)
Monthly,
1/19/22
38,338
—
—
—
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
28
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Asics
Monthly,
Pay
Variable
0.493%
(1M
JPY
LIBOR
+
0.55%)
Monthly,
1/19/22
6,721
3
—
3
Morgan
Stanley,
Receive
Underlying
Reference:
Astellas
Pharma
Monthly,
Pay
Variable
0.488%
(1M
JPY
LIBOR
+
0.55%)
Monthly,
1/19/22
17,950
3
—
3
Morgan
Stanley,
Receive
Underlying
Reference:
Benefit
One
Monthly,
Pay
Variable
0.488%
(1M
JPY
LIBOR
+
0.55%)
Monthly,
1/19/22
11,563
(6)
—
(6)
Morgan
Stanley,
Receive
Underlying
Reference:
Fast
Retailing
Monthly,
Pay
Variable
0.488%
(1M
JPY
LIBOR
+
0.55%)
Monthly,
1/19/22
9,099
(1)
—
(1)
Morgan
Stanley,
Receive
Underlying
Reference:
Fast
Retailing
Monthly,
Pay
Variable
0.493%
(1M
JPY
LIBOR
+
0.55%)
Monthly,
1/19/22
9,185
(2)
—
(2)
Morgan
Stanley,
Receive
Underlying
Reference:
Kirin
Holdings
Monthly,
Pay
Variable
0.488%
(1M
JPY
LIBOR
+
0.55%)
Monthly,
1/19/22
43,038
(16)
—
(16)
Morgan
Stanley,
Receive
Underlying
Reference:
Matsumotokiyoshi
Holdings
Monthly,
Pay
Variable
0.488%
(1M
JPY
LIBOR
+
0.55%)
Monthly,
1/19/22
12,194
(6)
—
(6)
Morgan
Stanley,
Receive
Underlying
Reference:
ORIX
Monthly,
Pay
Variable
0.488%
(1M
JPY
LIBOR
+
0.55%)
Monthly,
1/19/22
5,961
(4)
—
(4)
Morgan
Stanley,
Receive
Underlying
Reference:
ORIX
Monthly,
Pay
Variable
0.488%
(1M
JPY
LIBOR
+
0.55%)
Monthly,
1/20/22
5,600
(4)
—
(4)
Morgan
Stanley,
Receive
Underlying
Reference:
Panasonic
Monthly,
Pay
Variable
0.488%
(1M
JPY
LIBOR
+
0.55%)
Monthly,
1/19/22
5,399
3
—
3
Morgan
Stanley,
Receive
Underlying
Reference:
Panasonic
Monthly,
Pay
Variable
0.488%
(1M
JPY
LIBOR
+
0.55%)
Monthly,
1/19/22
4,799
(1)
—
(1)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
29
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Panasonic
Monthly,
Pay
Variable
0.488%
(1M
JPY
LIBOR
+
0.55%)
Monthly,
1/20/22
10,155
5
—
5
Morgan
Stanley,
Receive
Underlying
Reference:
Seven
&
i
Holdings
Monthly,
Pay
Variable
0.488%
(1M
JPY
LIBOR
+
0.55%)
Monthly,
1/19/22
27,902
(2)
—
(2)
Morgan
Stanley,
Receive
Underlying
Reference:
Shiseido
Monthly,
Pay
Variable
0.488%
(1M
JPY
LIBOR
+
0.55%)
Monthly,
1/19/22
8,641
3
—
3
Morgan
Stanley,
Receive
Underlying
Reference:
SoftBank
Group
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
81
(3)
—
(3)
Morgan
Stanley,
Receive
Underlying
Reference:
Sumitomo
Chemical
Monthly,
Pay
Variable
0.488%
(1M
JPY
LIBOR
+
0.55%)
Monthly,
1/19/22
17,934
26
—
26
UBS
Securities,
Pay
Underlying
Reference:
Honda
Motor
Monthly,
Receive
Variable
(0.462)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
15,026
3
—
3
UBS
Securities,
Pay
Underlying
Reference:
Kobe
Bussan
Monthly,
Receive
Variable
(0.462)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
30,878
6
—
6
UBS
Securities,
Pay
Underlying
Reference:
Kubota
Monthly,
Receive
Variable
(0.462)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
4,931
1
—
1
UBS
Securities,
Pay
Underlying
Reference:
Nissan
Chemical
Monthly,
Receive
Variable
(0.462)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
17,490
(4)
—
(4)
UBS
Securities,
Pay
Underlying
Reference:
Nitori
Holdings
Monthly,
Receive
Variable
(0.462)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
29,159
20
—
20
UBS
Securities,
Pay
Underlying
Reference:
Nomura
Holdings
Monthly,
Receive
Variable
(0.462)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
4,664
3
—
3
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
30
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
UBS
Securities,
Pay
Underlying
Reference:
Nomura
Holdings
Monthly,
Receive
Variable
(0.462)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/20/22
8,974
6
—
6
UBS
Securities,
Pay
Underlying
Reference:
Ono
Pharmaceutical
Monthly,
Receive
Variable
(0.462)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/20/22
25,830
(4)
—
(4)
UBS
Securities,
Pay
Underlying
Reference:
SMC
Monthly,
Receive
Variable
(0.462)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
20,388
13
—
13
UBS
Securities,
Pay
Underlying
Reference:
Sumitomo
Realty
&
Development
Monthly,
Receive
Variable
(0.462)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
13,945
(3)
—
(3)
UBS
Securities,
Receive
Underlying
Reference:
Asics
Monthly,
Pay
Variable
0.288%
(1M
JPY
LIBOR
+
0.35%)
Monthly,
1/19/22
8,747
—
—
—
UBS
Securities,
Receive
Underlying
Reference:
FANUC
Monthly,
Pay
Variable
0.288%
(1M
JPY
LIBOR
+
0.35%)
Monthly,
1/19/22
46,793
(3)
—
(3)
UBS
Securities,
Receive
Underlying
Reference:
Heiwa
Real
Estate
Monthly,
Pay
Variable
0.288%
(1M
JPY
LIBOR
+
0.35%)
Monthly,
1/19/22
21,090
(6)
—
(6)
UBS
Securities,
Receive
Underlying
Reference:
Hoshizaki
Monthly,
Pay
Variable
0.288%
(1M
JPY
LIBOR
+
0.35%)
Monthly,
1/19/22
16,974
(1)
—
(1)
UBS
Securities,
Receive
Underlying
Reference:
Maeda
Monthly,
Pay
Variable
0.288%
(1M
JPY
LIBOR
+
0.35%)
Monthly,
1/19/22
17,888
(12)
—
(12)
UBS
Securities,
Receive
Underlying
Reference:
Mitsui
Fudosan
Monthly,
Pay
Variable
0.288%
(1M
JPY
LIBOR
+
0.35%)
Monthly,
1/19/22
24,551
6
—
6
UBS
Securities,
Receive
Underlying
Reference:
Nippon
Sanso
Holdings
Monthly,
Pay
Variable
0.288%
(1M
JPY
LIBOR
+
0.35%)
Monthly,
1/19/22
25,491
5
—
5
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
31
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
UBS
Securities,
Receive
Underlying
Reference:
Obara
Group
Monthly,
Pay
Variable
0.288%
(1M
JPY
LIBOR
+
0.35%)
Monthly,
1/19/22
18,338
(1)
—
(1)
UBS
Securities,
Receive
Underlying
Reference:
Tokyo
Ohka
Kogyo
Monthly,
Pay
Variable
0.288%
(1M
JPY
LIBOR
+
0.35%)
Monthly,
1/19/22
16,698
(8)
—
(8)
UBS
Securities,
Receive
Underlying
Reference:
Tokyo
Tatemono
Monthly,
Pay
Variable
0.288%
(1M
JPY
LIBOR
+
0.35%)
Monthly,
1/19/22
19,206
(3)
—
(3)
Total
Japan
—
81
Jersey
(0.0)%
Citibank,
Receive
Underlying
Reference:
boohoo
Group
Monthly,
Pay
Variable
0.377%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
89
—
—
—
Goldman
Sachs,
Receive
Underlying
Reference:
boohoo
Group
Monthly,
Pay
Variable
0.427%
(1M
GBP
LIBOR
+
0.40%)
Monthly,
1/19/22
30
—
—
—
Morgan
Stanley,
Pay
Underlying
Reference:
Ferguson
Monthly,
Receive
Variable
(0.323)%
(1M
GBP
LIBOR
+
(0.35)%)
Monthly,
1/19/22
137
16
—
16
Morgan
Stanley,
Receive
Underlying
Reference:
boohoo
Group
Monthly,
Pay
Variable
0.377%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
89
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Experian
Monthly,
Pay
Variable
0.377%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
426
(25)
—
(25)
Total
Jersey
—
(9)
Luxembourg
(0.0)%
Bank
of
America,
Pay
Underlying
Reference:
SES
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
92
8
—
8
Citibank,
Pay
Underlying
Reference:
Allegro.eu
Monthly,
Receive
Variable
(0.560)%
(1M
PLN
WIBOR
+
(0.75)%)
Monthly,
1/19/22
(PLN)
583
7
—
7
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
32
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
UBS
Securities,
Receive
Underlying
Reference:
Samsonite
International
Monthly,
Pay
Variable
0.463%
(1M
HKD
HIBOR
+
0.35%)
Monthly,
1/19/22
(HKD)
1,791
(16)
—
(16)
Total
Luxembourg
—
(1)
Mexico
(0.0)%
Morgan
Stanley,
Pay
Underlying
Reference:
Alpek
28
Days,
Receive
Variable
3.966%
(MXIBTIIE
+
(0.50)%)
28
Days,
1/19/22
87
—
—
—
Morgan
Stanley,
Pay
Underlying
Reference:
Axtel
28
Days,
Receive
Variable
3.686%
(MXIBTIIE
+
(0.78)%)
28
Days,
1/19/22
23
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Alfa,
Class
A
28
Days,
Pay
Variable
5.016%
(MXIBTIIE
+
0.55%)
28
Days,
1/19/22
177
(1)
—
(1)
Total
Mexico
—
(1)
Netherlands
(0.0)%
Citibank,
Receive
Underlying
Reference:
Adyen
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
141
(7)
—
(7)
Goldman
Sachs,
Receive
Underlying
Reference:
Ferrari
Monthly,
Pay
Variable
(0.157)%
(1M
EURIBOR
+
0.40%)
Monthly,
1/19/22
272
(7)
—
(7)
Goldman
Sachs,
Receive
Underlying
Reference:
Stellantis
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
70
—
—
—
JPMorgan
Chase,
Receive
Underlying
Reference:
ING
Groep
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
172
(12)
—
(12)
Morgan
Stanley,
Pay
Underlying
Reference:
Wolters
Kluwer
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
118
3
—
3
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
33
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Airbus
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
79
(10)
—
(10)
Total
Netherlands
—
(33)
Norway
(0.0)%
Citibank,
Pay
Underlying
Reference:
Adevinta
Monthly,
Receive
Variable
(0.040)%
(1M
NOK
NIBOR
+
(0.35)%)
Monthly,
1/19/22
1,182
(4)
—
(4)
Citibank,
Pay
Underlying
Reference:
Telenor
Monthly,
Receive
Variable
(0.040)%
(1M
NOK
NIBOR
+
(0.35)%)
Monthly,
1/19/22
733
2
—
2
Citibank,
Pay
Underlying
Reference:
Yara
International
Monthly,
Receive
Variable
(0.040)%
(1M
NOK
NIBOR
+
(0.35)%)
Monthly,
1/19/22
1,062
(4)
—
(4)
Total
Norway
—
(6)
Portugal
(0.0)%
JPMorgan
Chase,
Receive
Underlying
Reference:
EDP
-
Energias
de
Portugal
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
158
(6)
—
(6)
Morgan
Stanley,
Receive
Underlying
Reference:
Galp
Energia
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
203
(18)
—
(18)
Morgan
Stanley,
Receive
Underlying
Reference:
Galp
Energia
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/20/22
50
(4)
—
(4)
Total
Portugal
—
(28)
Puerto
Rico
(0.0)%
Goldman
Sachs,
Receive
Underlying
Reference:
Popular
Monthly,
Pay
Variable
0.531%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/20/22
241
(14)
—
(14)
Total
Puerto
Rico
—
(14)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
34
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
South
Africa
0.0%
Goldman
Sachs,
Receive
Underlying
Reference:
Naspers,
N
Shares
Monthly,
Pay
Variable
0.531%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/20/22
320
15
—
15
Total
South
Africa
—
15
Spain
0.0%
Citibank,
Pay
Underlying
Reference:
Banco
Santander
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
257
35
—
35
Citibank,
Receive
Underlying
Reference:
Amadeus
IT
Group
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
155
(12)
—
(12)
Citibank,
Receive
Underlying
Reference:
Cellnex
Telecom
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
158
7
—
7
Morgan
Stanley,
Pay
Underlying
Reference:
Banco
Santander
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
127
17
—
17
Morgan
Stanley,
Receive
Underlying
Reference:
Amadeus
IT
Group
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
225
(18)
—
(18)
Total
Spain
—
29
Sweden
0.0%
Bank
of
America,
Receive
Underlying
Reference:
Telefonaktiebolaget
LM
Ericsson,
B
Shares
Monthly,
Pay
Variable
0.290%
(1M
SEK
STIBOR
+
0.35%)
Monthly,
1/19/22
3,889
31
—
31
Citibank,
Pay
Underlying
Reference:
Boliden
Monthly,
Receive
Variable
(0.410)%
(1M
SEK
STIBOR
+
(0.35)%)
Monthly,
1/19/22
1,418
12
—
12
Citibank,
Receive
Underlying
Reference:
Assa
Abloy,
Class
B
Monthly,
Pay
Variable
0.290%
(1M
SEK
STIBOR
+
0.35%)
Monthly,
1/19/22
915
—
—
—
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
35
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Goldman
Sachs,
Receive
Underlying
Reference:
Atlas,
B
Shares
Monthly,
Pay
Variable
0.340%
(1M
SEK
STIBOR
+
0.40%)
Monthly,
1/19/22
1,160
(2)
—
(2)
Goldman
Sachs,
Receive
Underlying
Reference:
Swedish
Match
Monthly,
Pay
Variable
0.340%
(1M
SEK
STIBOR
+
0.40%)
Monthly,
1/19/22
2,486
8
—
8
JPMorgan
Chase,
Receive
Underlying
Reference:
Svenska
Cellulosa,
Class
B
Monthly,
Pay
Variable
0.340%
(1M
SEK
STIBOR
+
0.40%)
Monthly,
1/19/22
754
1
—
1
Morgan
Stanley,
Pay
Underlying
Reference:
Kinnevik,
Class
B
Monthly,
Receive
Variable
(0.410)%
(1M
SEK
STIBOR
+
(0.35)%)
Monthly,
1/19/22
1,167
3
—
3
Morgan
Stanley,
Receive
Underlying
Reference:
Alfa
Laval
Monthly,
Pay
Variable
0.290%
(1M
SEK
STIBOR
+
0.35%)
Monthly,
1/19/22
4,305
(34)
—
(34)
Morgan
Stanley,
Receive
Underlying
Reference:
Trelleborg,
B
Shares
Monthly,
Pay
Variable
0.290%
(1M
SEK
STIBOR
+
0.35%)
Monthly,
1/19/22
1,620
(7)
—
(7)
UBS
Securities,
Pay
Underlying
Reference:
SKF,
B
Shares
Monthly,
Receive
Variable
(0.460)%
(1M
SEK
STIBOR
+
(0.40)%)
Monthly,
1/19/22
1,630
5
—
5
Total
Sweden
—
17
Switzerland
0.0%
Bank
of
America,
Receive
Underlying
Reference:
ABB
Monthly,
Pay
Variable
(0.461)%
(1M
CHF
LIBOR
+
0.35%)
Monthly,
1/19/22
160
1
—
1
Citibank,
Pay
Underlying
Reference:
Credit
Suisse
Group
Monthly,
Receive
Variable
(1.161)%
(1M
CHF
LIBOR
+
(0.35)%)
Monthly,
1/20/22
57
3
—
3
Citibank,
Pay
Underlying
Reference:
Geberit
Monthly,
Receive
Variable
(1.161)%
(1M
CHF
LIBOR
+
(0.35)%)
Monthly,
1/19/22
8
—
—
—
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
36
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Citibank,
Pay
Underlying
Reference:
Nestle
Monthly,
Receive
Variable
(1.161)%
(1M
CHF
LIBOR
+
(0.35)%)
Monthly,
1/19/22
770
7
—
7
Citibank,
Pay
Underlying
Reference:
SGS
Monthly,
Receive
Variable
(1.161)%
(1M
CHF
LIBOR
+
(0.35)%)
Monthly,
1/20/22
106
—
—
—
Citibank,
Pay
Underlying
Reference:
Straumann
Holding
Monthly,
Receive
Variable
(1.161)%
(1M
CHF
LIBOR
+
(0.35)%)
Monthly,
1/19/22
91
3
—
3
Citibank,
Receive
Underlying
Reference:
Chocoladefabriken
Lindt
&
Spruengli
Monthly,
Pay
Variable
(0.461)%
(1M
CHF
LIBOR
+
0.35%)
Monthly,
1/19/22
110
(10)
—
(10)
Citibank,
Receive
Underlying
Reference:
Cie
Financiere
Richemont
Monthly,
Pay
Variable
(0.461)%
(1M
CHF
LIBOR
+
0.35%)
Monthly,
1/19/22
—
—
—
—
Citibank,
Receive
Underlying
Reference:
Cie
Financiere
Richemont
Monthly,
Pay
Variable
(0.461)%
(1M
CHF
LIBOR
+
0.35%)
Monthly,
1/20/22
36
—
—
—
Citibank,
Receive
Underlying
Reference:
Partners
Group
Holding
Monthly,
Pay
Variable
(0.461)%
(1M
CHF
LIBOR
+
0.35%)
Monthly,
1/19/22
358
3
—
3
Goldman
Sachs,
Receive
Underlying
Reference:
TE
Connectivity
Monthly,
Pay
Variable
0.531%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/20/22
261
(16)
—
(16)
JPMorgan
Chase,
Receive
Underlying
Reference:
Barry
Callebaut
Monthly,
Pay
Variable
(0.411)%
(1M
CHF
LIBOR
+
0.40%)
Monthly,
1/19/22
96
(3)
—
(3)
Morgan
Stanley,
Pay
Underlying
Reference:
Credit
Suisse
Group
Monthly,
Receive
Variable
(1.161)%
(1M
CHF
LIBOR
+
(0.35)%)
Monthly,
1/19/22
118
6
—
6
Morgan
Stanley,
Pay
Underlying
Reference:
Geberit
Monthly,
Receive
Variable
(1.161)%
(1M
CHF
LIBOR
+
(0.35)%)
Monthly,
1/19/22
100
3
—
3
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
37
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Kuehne
+
Nagel
International
Monthly,
Receive
Variable
(1.161)%
(1M
CHF
LIBOR
+
(0.35)%)
Monthly,
1/19/22
150
(1)
—
(1)
Morgan
Stanley,
Pay
Underlying
Reference:
UBS
Group
Monthly,
Receive
Variable
(1.161)%
(1M
CHF
LIBOR
+
(0.35)%)
Monthly,
1/19/22
548
27
—
27
Morgan
Stanley,
Receive
Underlying
Reference:
Alcon
Monthly,
Pay
Variable
(0.461)%
(1M
CHF
LIBOR
+
0.35%)
Monthly,
1/20/22
64
2
—
2
Morgan
Stanley,
Receive
Underlying
Reference:
Alcon
Monthly,
Pay
Variable
0.350%
(1M
CHF
LIBOR
+
(0.461)%)
Monthly,
1/20/22
65
2
—
2
Morgan
Stanley,
Receive
Underlying
Reference:
Cie
Financiere
Richemont
Monthly,
Pay
Variable
(0.461)%
(1M
CHF
LIBOR
+
0.35%)
Monthly,
1/19/22
38
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Cie
Financiere
Richemont
Monthly,
Pay
Variable
(0.461)%
(1M
CHF
LIBOR
+
0.35%)
Monthly,
1/20/22
97
1
—
1
UBS
Securities,
Receive
Underlying
Reference:
Julius
Baer
Group
Monthly,
Pay
Variable
(0.461)%
(1M
CHF
LIBOR
+
0.35%)
Monthly,
1/19/22
153
(2)
—
(2)
Total
Switzerland
—
26
United
Kingdom
(0.0)%
Bank
of
America,
Receive
Underlying
Reference:
AstraZeneca
Monthly,
Pay
Variable
0.377%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
473
(9)
—
(9)
Bank
of
America,
Receive
Underlying
Reference:
Direct
Line
Insurance
Group
Monthly,
Pay
Variable
0.377%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
157
(19)
—
(19)
Bank
of
America,
Receive
Underlying
Reference:
Great
Portland
Estates
Monthly,
Pay
Variable
0.377%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
42
1
—
1
Citibank,
Pay
Underlying
Reference:
BP
Monthly,
Receive
Variable
(0.323)%
(1M
GBP
LIBOR
+
(0.35)%)
Monthly,
1/19/22
487
63
—
63
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
38
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Citibank,
Pay
Underlying
Reference:
HSBC
Holdings
Monthly,
Receive
Variable
(0.323)%
(1M
GBP
LIBOR
+
(0.35)%)
Monthly,
1/19/22
320
22
—
22
Citibank,
Pay
Underlying
Reference:
Prudential
Monthly,
Receive
Variable
(0.323)%
(1M
GBP
LIBOR
+
(0.35)%)
Monthly,
1/19/22
16
4
—
4
Citibank,
Pay
Underlying
Reference:
Standard
Life
Aberdeen
Monthly,
Receive
Variable
(0.323)%
(1M
GBP
LIBOR
+
(0.35)%)
Monthly,
1/20/22
46
—
—
—
Citibank,
Receive
Underlying
Reference:
ASOS
Monthly,
Pay
Variable
0.379%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
67
(7)
—
(7)
Citibank,
Receive
Underlying
Reference:
Aviva
Monthly,
Pay
Variable
0.377%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
142
(3)
—
(3)
Citibank,
Receive
Underlying
Reference:
Derwent
London
Monthly,
Pay
Variable
0.377%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
101
(4)
—
(4)
Citibank,
Receive
Underlying
Reference:
Great
Portland
Estates
Monthly,
Pay
Variable
0.377%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
180
5
—
5
Citibank,
Receive
Underlying
Reference:
London
Stock
Exchange
Group
Monthly,
Pay
Variable
0.377%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
177
(12)
—
(12)
Citibank,
Receive
Underlying
Reference:
Whitbread
Monthly,
Pay
Variable
0.377%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
371
(17)
—
(17)
Goldman
Sachs,
Receive
Underlying
Reference:
Fresnillo
Monthly,
Pay
Variable
0.376%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
136
3
—
3
Goldman
Sachs,
Receive
Underlying
Reference:
Informa
Monthly,
Pay
Variable
0.427%
(1M
GBP
LIBOR
+
0.40%)
Monthly,
1/19/22
64
(6)
—
(6)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
39
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Goldman
Sachs,
Receive
Underlying
Reference:
Unilever
Monthly,
Pay
Variable
0.427%
(1M
GBP
LIBOR
+
0.40%)
Monthly,
1/19/22
127
(6)
—
(6)
JPMorgan
Chase,
Receive
Underlying
Reference:
Auto
Trader
Group
Monthly,
Pay
Variable
0.377%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
75
—
—
—
JPMorgan
Chase,
Receive
Underlying
Reference:
BHP
Group
Monthly,
Pay
Variable
0.379%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
78
(6)
—
(6)
JPMorgan
Chase,
Receive
Underlying
Reference:
Diageo
Monthly,
Pay
Variable
0.377%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
86
2
—
2
JPMorgan
Chase,
Receive
Underlying
Reference:
Greggs
Monthly,
Pay
Variable
0.377%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
113
16
—
16
Morgan
Stanley,
Pay
Underlying
Reference:
AstraZeneca
Monthly,
Receive
Variable
(0.173)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
140
8
—
8
Morgan
Stanley,
Pay
Underlying
Reference:
AstraZeneca
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
364
5
—
5
Morgan
Stanley,
Pay
Underlying
Reference:
Intertek
Group
Monthly,
Receive
Variable
(0.323)%
(1M
GBP
LIBOR
+
(0.35)%)
Monthly,
1/19/22
167
2
—
2
Morgan
Stanley,
Pay
Underlying
Reference:
Prudential
Monthly,
Receive
Variable
(0.323)%
(1M
GBP
LIBOR
+
(0.35)%)
Monthly,
1/19/22
124
31
—
31
Morgan
Stanley,
Pay
Underlying
Reference:
Standard
Life
Aberdeen
Monthly,
Receive
Variable
(0.323)%
(1M
GBP
LIBOR
+
(0.35)%)
Monthly,
1/19/22
358
4
—
4
Morgan
Stanley,
Pay
Underlying
Reference:
Standard
Life
Aberdeen
Monthly,
Receive
Variable
(0.323)%
(1M
GBP
LIBOR
+
(0.35)%)
Monthly,
1/20/22
45
—
—
—
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
40
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Aviva
Monthly,
Pay
Variable
0.377%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
3
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Burberry
Group
Monthly,
Pay
Variable
0.377%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
139
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Derwent
London
Monthly,
Pay
Variable
0.377%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
78
(3)
—
(3)
Morgan
Stanley,
Receive
Underlying
Reference:
Direct
Line
Insurance
Group
Monthly,
Pay
Variable
0.377%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
258
(32)
—
(32)
Morgan
Stanley,
Receive
Underlying
Reference:
London
Stock
Exchange
Group
Monthly,
Pay
Variable
0.377%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
146
(10)
—
(10)
Morgan
Stanley,
Receive
Underlying
Reference:
Pearson
Monthly,
Pay
Variable
0.377%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
80
(7)
—
(7)
Morgan
Stanley,
Receive
Underlying
Reference:
Polypipe
Group
Monthly,
Pay
Variable
0.377%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
86
(3)
—
(3)
Morgan
Stanley,
Receive
Underlying
Reference:
Segro
Monthly,
Pay
Variable
0.377%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
98
(1)
—
(1)
UBS
Securities,
Receive
Underlying
Reference:
ASOS
Monthly,
Pay
Variable
0.377%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
139
(14)
—
(14)
UBS
Securities,
Receive
Underlying
Reference:
Big
Yellow
Group
Monthly,
Pay
Variable
0.377%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
261
(8)
—
(8)
UBS
Securities,
Receive
Underlying
Reference:
Derwent
London
Monthly,
Pay
Variable
0.377%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
300
(12)
—
(12)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
41
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
UBS
Securities,
Receive
Underlying
Reference:
Trainline
Monthly,
Pay
Variable
0.377%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
174
(10)
—
(10)
Total
United
Kingdom
—
(23)
United
States
0.0%
Bank
of
America,
Pay
Underlying
Reference:
FMC
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
133
13
—
13
Bank
of
America,
Pay
Underlying
Reference:
UDR
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
124
2
—
2
Bank
of
America,
Receive
Underlying
Reference:
Cognizant
Technology
Solutions,
Class
A
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
177
(5)
—
(5)
Bank
of
America,
Receive
Underlying
Reference:
United
Parcel
Service,
Class
B
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
124
(3)
—
(3)
Citibank,
Pay
Underlying
Reference:
BlackRock
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
322
12
—
12
Citibank,
Pay
Underlying
Reference:
Franklin
Electric
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
43
1
—
1
Citibank,
Pay
Underlying
Reference:
Inphi
Monthly,
Receive
Variable
(0.178)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
106
5
—
5
Citibank,
Pay
Underlying
Reference:
Inphi
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
69
1
—
1
Citibank,
Pay
Underlying
Reference:
IQVIA
Holdings
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
172
9
—
9
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
42
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Citibank,
Receive
Underlying
Reference:
NextEra
Energy
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
205
(3)
—
(3)
Citibank,
Receive
Underlying
Reference:
RPM
International
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
134
(6)
—
(6)
Citibank,
Receive
Underlying
Reference:
VeriSign
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
130
(1)
—
(1)
Goldman
Sachs,
Pay
Underlying
Reference:
Apple
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
427
(16)
—
(16)
Goldman
Sachs,
Pay
Underlying
Reference:
Atmos
Energy
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
328
4
—
4
Goldman
Sachs,
Pay
Underlying
Reference:
Bristol-Myers
Squibb
Monthly,
Receive
Variable
(0.181)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
68
—
—
—
Goldman
Sachs,
Pay
Underlying
Reference:
Citigroup
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
97
9
—
9
Goldman
Sachs,
Pay
Underlying
Reference:
Citizens
Financial
Group
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
113
12
—
12
Goldman
Sachs,
Pay
Underlying
Reference:
Darden
Restaurants
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
163
5
—
5
Goldman
Sachs,
Pay
Underlying
Reference:
Digital
Realty
Trust
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
138
(8)
—
(8)
Goldman
Sachs,
Pay
Underlying
Reference:
Duke
Realty
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
120
(2)
—
(2)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
43
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Goldman
Sachs,
Pay
Underlying
Reference:
Exxon
Mobil
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
52
3
—
3
Goldman
Sachs,
Pay
Underlying
Reference:
Gray
Television
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
111
—
—
—
Goldman
Sachs,
Pay
Underlying
Reference:
HollyFrontier
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
18
—
—
—
Goldman
Sachs,
Pay
Underlying
Reference:
Interpublic
Group
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
20
1
—
1
Goldman
Sachs,
Pay
Underlying
Reference:
Kraft
Heinz
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
17
(1)
—
(1)
Goldman
Sachs,
Pay
Underlying
Reference:
Pfizer
Monthly,
Receive
Variable
(0.181)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
40
—
—
—
Goldman
Sachs,
Pay
Underlying
Reference:
SPDR
S&P
500
ETF
Trust
Monthly,
Receive
Variable
(0.179)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
1,206
22
—
22
Goldman
Sachs,
Pay
Underlying
Reference:
Teucrium
Corn
Fund
Monthly,
Receive
Variable
(2.443)%
(1M
USD
LIBOR
+
(2.574)%)
Monthly,
1/20/22
85
—
—
—
Goldman
Sachs,
Pay
Underlying
Reference:
Teucrium
Corn
Fund
Monthly,
Receive
Variable
(0.181)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
19
—
—
—
Goldman
Sachs,
Pay
Underlying
Reference:
Teucrium
Soybean
Fund
Monthly,
Receive
Variable
(0.181)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
22
—
—
—
Goldman
Sachs,
Pay
Underlying
Reference:
VanEck
Vectors
Semiconductor
ETF
Monthly,
Receive
Variable
(0.179)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
249
4
—
4
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
44
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Goldman
Sachs,
Pay
Underlying
Reference:
Vontier
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
149
11
—
11
Goldman
Sachs,
Pay
Underlying
Reference:
Walgreens
Boots
Alliance
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
98
(3)
—
(3)
Goldman
Sachs,
Pay
Underlying
Reference:
Zimmer
Biomet
Holdings
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
152
6
—
6
Goldman
Sachs,
Receive
Underlying
Reference:
Apartment
Income
REIT
Monthly,
Pay
Variable
0.531%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/20/22
4
—
—
—
Goldman
Sachs,
Receive
Underlying
Reference:
Bank
of
America
Monthly,
Pay
Variable
0.531%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/20/22
774
(79)
—
(79)
Goldman
Sachs,
Receive
Underlying
Reference:
Dollar
Tree
Monthly,
Pay
Variable
0.531%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/20/22
113
(7)
—
(7)
Goldman
Sachs,
Receive
Underlying
Reference:
International
Paper
Monthly,
Pay
Variable
0.531%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/20/22
162
—
—
—
Goldman
Sachs,
Receive
Underlying
Reference:
Intuit
Monthly,
Pay
Variable
0.531%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/20/22
230
(6)
—
(6)
Goldman
Sachs,
Receive
Underlying
Reference:
Live
Nation
Entertainment
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
193
(14)
—
(14)
Goldman
Sachs,
Receive
Underlying
Reference:
Microsoft
Monthly,
Pay
Variable
0.420%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
205
(3)
—
(3)
Goldman
Sachs,
Receive
Underlying
Reference:
Microsoft
Monthly,
Pay
Variable
0.423%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
188
(7)
—
(7)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
45
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Goldman
Sachs,
Receive
Underlying
Reference:
Morgan
Stanley
Monthly,
Pay
Variable
0.531%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/20/22
256
(26)
—
(26)
Goldman
Sachs,
Receive
Underlying
Reference:
NortonLifeLock
Monthly,
Pay
Variable
0.430%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
98
1
—
1
Goldman
Sachs,
Receive
Underlying
Reference:
Otis
Worldwide
Monthly,
Pay
Variable
0.531%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/20/22
239
(3)
—
(3)
Goldman
Sachs,
Receive
Underlying
Reference:
Packaging
Monthly,
Pay
Variable
0.531%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/20/22
150
(9)
—
(9)
Goldman
Sachs,
Receive
Underlying
Reference:
salesforce.com
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
314
18
—
18
Goldman
Sachs,
Receive
Underlying
Reference:
Southwest
Airlines
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
205
(12)
—
(12)
Goldman
Sachs,
Receive
Underlying
Reference:
T-Mobile
U.S.
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
299
(3)
—
(3)
Goldman
Sachs,
Receive
Underlying
Reference:
WESCO
International
Monthly,
Pay
Variable
0.531%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/20/22
12
—
—
—
JPMorgan
Chase,
Pay
Underlying
Reference:
AmerisourceBergen
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
154
4
—
4
JPMorgan
Chase,
Pay
Underlying
Reference:
CH
Robinson
Worldwide
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
100
10
—
10
JPMorgan
Chase,
Pay
Underlying
Reference:
Citigroup
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
87
8
—
8
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
46
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
JPMorgan
Chase,
Pay
Underlying
Reference:
Citizens
Financial
Group
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
114
12
—
12
JPMorgan
Chase,
Pay
Underlying
Reference:
Ecolab
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
89
3
—
3
JPMorgan
Chase,
Pay
Underlying
Reference:
Expeditors
International
of
Washington
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
740
29
—
29
JPMorgan
Chase,
Pay
Underlying
Reference:
Hershey
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
121
2
—
2
JPMorgan
Chase,
Pay
Underlying
Reference:
Hewlett
Packard
Enterprise
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
175
3
—
3
JPMorgan
Chase,
Pay
Underlying
Reference:
Intel
Monthly,
Receive
Variable
(0.177)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
142
2
—
2
JPMorgan
Chase,
Pay
Underlying
Reference:
Intel
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
173
6
—
6
JPMorgan
Chase,
Pay
Underlying
Reference:
International
Business
Machines
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
42
3
—
3
JPMorgan
Chase,
Pay
Underlying
Reference:
L
Brands
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
116
11
—
11
JPMorgan
Chase,
Pay
Underlying
Reference:
Lowe's
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
314
7
—
7
JPMorgan
Chase,
Pay
Underlying
Reference:
Oracle
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
107
2
—
2
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
47
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
JPMorgan
Chase,
Pay
Underlying
Reference:
Raytheon
Technologies
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
85
3
—
3
JPMorgan
Chase,
Pay
Underlying
Reference:
Republic
Services
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
166
6
—
6
JPMorgan
Chase,
Pay
Underlying
Reference:
Verizon
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
201
7
—
7
JPMorgan
Chase,
Receive
Underlying
Reference:
Carvana
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
109
(10)
—
(10)
JPMorgan
Chase,
Receive
Underlying
Reference:
Entergy
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
135
—
—
—
JPMorgan
Chase,
Receive
Underlying
Reference:
JB
Hunt
Transport
Services
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
98
(11)
—
(11)
JPMorgan
Chase,
Receive
Underlying
Reference:
Juniper
Networks
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
145
—
—
—
JPMorgan
Chase,
Receive
Underlying
Reference:
McKesson
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
141
(8)
—
(8)
JPMorgan
Chase,
Receive
Underlying
Reference:
Netflix
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
123
8
—
8
JPMorgan
Chase,
Receive
Underlying
Reference:
Wells
Fargo
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
614
(41)
—
(41)
Morgan
Stanley,
Pay
Underlying
Reference:
Activision
Blizzard
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
134
(1)
—
(1)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
48
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Adobe
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
116
—
—
—
Morgan
Stanley,
Pay
Underlying
Reference:
Advanced
Micro
Devices
Monthly,
Receive
Variable
(0.178)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
218
21
—
21
Morgan
Stanley,
Pay
Underlying
Reference:
Advanced
Micro
Devices
Monthly,
Receive
Variable
(0.177)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
203
6
—
6
Morgan
Stanley,
Pay
Underlying
Reference:
Air
Products
and
Chemicals
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
565
37
—
37
Morgan
Stanley,
Pay
Underlying
Reference:
Alliant
Energy
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
140
1
—
1
Morgan
Stanley,
Pay
Underlying
Reference:
Alliant
Energy
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
—
—
—
—
Morgan
Stanley,
Pay
Underlying
Reference:
AMETEK
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
167
8
—
8
Morgan
Stanley,
Pay
Underlying
Reference:
Analog
Devices
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
348
23
—
23
Morgan
Stanley,
Pay
Underlying
Reference:
Archer-Daniels-Midland
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
104
4
—
4
Morgan
Stanley,
Pay
Underlying
Reference:
Arista
Networks
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
153
5
—
5
Morgan
Stanley,
Pay
Underlying
Reference:
AT&T
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
195
—
—
—
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:
Bristol-Myers
Squibb
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
473
33
—
33
Morgan
Stanley,
Pay
Underlying
Reference:
Cabot
Oil
&
Gas
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
101
3
—
3
Morgan
Stanley,
Pay
Underlying
Reference:
CoreLogic
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
111
(1)
—
(1)
Morgan
Stanley,
Pay
Underlying
Reference:
Corning
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
166
8
—
8
Morgan
Stanley,
Pay
Underlying
Reference:
Corteva
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
187
17
—
17
Morgan
Stanley,
Pay
Underlying
Reference:
Crown
Castle
International
Monthly,
Receive
Variable
(0.177)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
84
—
—
—
Morgan
Stanley,
Pay
Underlying
Reference:
Crown
Castle
International
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
117
(2)
—
(2)
Morgan
Stanley,
Pay
Underlying
Reference:
Donaldson
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
107
—
—
—
Morgan
Stanley,
Pay
Underlying
Reference:
Dow
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
189
18
—
18
Morgan
Stanley,
Pay
Underlying
Reference:
Eastman
Chemical
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
283
17
—
17
Morgan
Stanley,
Pay
Underlying
Reference:
Ecolab
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
90
3
—
3
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
50
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Enphase
Energy
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
86
4
—
4
Morgan
Stanley,
Pay
Underlying
Reference:
Eversource
Energy
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
112
1
—
1
Morgan
Stanley,
Pay
Underlying
Reference:
Exelon
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
204
8
—
8
Morgan
Stanley,
Pay
Underlying
Reference:
Exxon
Mobil
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
401
26
—
26
Morgan
Stanley,
Pay
Underlying
Reference:
Fortune
Brands
Home
&
Security
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
121
3
—
3
Morgan
Stanley,
Pay
Underlying
Reference:
Franklin
Electric
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
72
2
—
2
Morgan
Stanley,
Pay
Underlying
Reference:
Gartner
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
157
8
—
8
Morgan
Stanley,
Pay
Underlying
Reference:
Hewlett
Packard
Enterprise
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
82
1
—
1
Morgan
Stanley,
Pay
Underlying
Reference:
HollyFrontier
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
290
(3)
—
(3)
Morgan
Stanley,
Pay
Underlying
Reference:
IDEXX
Laboratories
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
320
7
—
7
Morgan
Stanley,
Pay
Underlying
Reference:
Illinois
Tool
Works
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
151
7
—
7
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
51
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
International
Business
Machines
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
432
31
—
31
Morgan
Stanley,
Pay
Underlying
Reference:
Interpublic
Group
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
411
14
—
14
Morgan
Stanley,
Pay
Underlying
Reference:
Invesco
QQQ
Trust,
Series
1
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
874
(8)
—
(8)
Morgan
Stanley,
Pay
Underlying
Reference:
iShares
China
Large-Cap
ETF
Monthly,
Receive
Variable
(3.009)%
(1M
USD
LIBOR
+
(3.13)%)
Monthly,
1/20/22
162
4
—
4
Morgan
Stanley,
Pay
Underlying
Reference:
iShares
Russell
2000
ETF
Monthly,
Receive
Variable
(0.609)%
(1M
USD
LIBOR
+
(0.73)%)
Monthly,
1/20/22
337
8
—
8
Morgan
Stanley,
Pay
Underlying
Reference:
Johnson
&
Johnson
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
393
(7)
—
(7)
Morgan
Stanley,
Pay
Underlying
Reference:
JPMorgan
Chase
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
819
59
—
59
Morgan
Stanley,
Pay
Underlying
Reference:
KLA
Monthly,
Receive
Variable
(0.181)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
189
2
—
2
Morgan
Stanley,
Pay
Underlying
Reference:
Kraft
Heinz
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
95
(5)
—
(5)
Morgan
Stanley,
Pay
Underlying
Reference:
Laboratory
Corp.
of
America
Holdings
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
90
(2)
—
(2)
Morgan
Stanley,
Pay
Underlying
Reference:
Mettler-Toledo
International
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
163
7
—
7
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
52
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Mid-America
Apartment
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
143
(1)
—
(1)
Morgan
Stanley,
Pay
Underlying
Reference:
MSCI
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
193
9
—
9
Morgan
Stanley,
Pay
Underlying
Reference:
Newmont
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
156
6
—
6
Morgan
Stanley,
Pay
Underlying
Reference:
Northrop
Grumman
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
175
8
—
8
Morgan
Stanley,
Pay
Underlying
Reference:
NRG
Energy
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
145
(3)
—
(3)
Morgan
Stanley,
Pay
Underlying
Reference:
Paychex
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
153
1
—
1
Morgan
Stanley,
Pay
Underlying
Reference:
Paycom
Software
Monthly,
Receive
Variable
(0.172)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
10
1
—
1
Morgan
Stanley,
Pay
Underlying
Reference:
Paycom
Software
Monthly,
Receive
Variable
(0.171)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
30
1
—
1
Morgan
Stanley,
Pay
Underlying
Reference:
Paycom
Software
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
96
5
—
5
Morgan
Stanley,
Pay
Underlying
Reference:
Pfizer
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
718
8
—
8
Morgan
Stanley,
Pay
Underlying
Reference:
Planet
Fitness,
Class
A
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
203
23
—
23
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:
Pool
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
277
4
—
4
Morgan
Stanley,
Pay
Underlying
Reference:
PTC
Therapeutics
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
158
25
—
25
Morgan
Stanley,
Pay
Underlying
Reference:
Quest
Diagnostics
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
81
(3)
—
(3)
Morgan
Stanley,
Pay
Underlying
Reference:
S&P
Global
Monthly,
Receive
Variable
(0.173)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
202
(1)
—
(1)
Morgan
Stanley,
Pay
Underlying
Reference:
S&P
Global
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
762
(28)
—
(28)
Morgan
Stanley,
Pay
Underlying
Reference:
SPDR
S&P
500
ETF
Trust
Monthly,
Receive
Variable
(0.179)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
4,376
85
—
85
Morgan
Stanley,
Pay
Underlying
Reference:
SPDR
S&P
500
ETF
Trust
Monthly,
Receive
Variable
(0.172)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
931
33
—
33
Morgan
Stanley,
Pay
Underlying
Reference:
SPDR
S&P
500
ETF
Trust
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
9,638
144
—
144
Morgan
Stanley,
Pay
Underlying
Reference:
Tesla
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
306
12
—
12
Morgan
Stanley,
Pay
Underlying
Reference:
Teucrium
Corn
Fund
Monthly,
Receive
Variable
(1.849)%
(1M
USD
LIBOR
+
(1.98)%)
Monthly,
1/20/22
85
—
—
—
Morgan
Stanley,
Pay
Underlying
Reference:
Teucrium
Soybean
Fund
Monthly,
Receive
Variable
(6.949)%
(1M
USD
LIBOR
+
(7.08)%)
Monthly,
1/20/22
189
8
—
8
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
54
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Tupperware
Brands
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
163
12
—
12
Morgan
Stanley,
Pay
Underlying
Reference:
U.S.
Bancorp
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
575
66
—
66
Morgan
Stanley,
Pay
Underlying
Reference:
United
States
Cellular
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
130
5
—
5
Morgan
Stanley,
Pay
Underlying
Reference:
Valero
Energy
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
192
6
—
6
Morgan
Stanley,
Pay
Underlying
Reference:
VanEck
Vectors
Semiconductor
ETF
Monthly,
Receive
Variable
(1.049)%
(1M
USD
LIBOR
+
(1.18)%)
Monthly,
1/20/22
246
9
—
9
Morgan
Stanley,
Pay
Underlying
Reference:
Ventas
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
166
10
—
10
Morgan
Stanley,
Pay
Underlying
Reference:
Verizon
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
150
5
—
5
Morgan
Stanley,
Pay
Underlying
Reference:
Viatris
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
279
1
—
1
Morgan
Stanley,
Pay
Underlying
Reference:
Walgreens
Boots
Alliance
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
58
(2)
—
(2)
Morgan
Stanley,
Pay
Underlying
Reference:
Whirlpool
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
184
9
—
9
Morgan
Stanley,
Pay
Underlying
Reference:
Xylem
Monthly,
Receive
Variable
(0.169)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
362
24
—
24
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
55
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Aerojet
Rocketdyne
Holdings
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
278
(2)
—
(2)
Morgan
Stanley,
Receive
Underlying
Reference:
Alaska
Air
Group
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
225
(20)
—
(20)
Morgan
Stanley,
Receive
Underlying
Reference:
Alexion
Pharmaceuticals
Monthly,
Pay
Variable
0.428%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
200
(9)
—
(9)
Morgan
Stanley,
Receive
Underlying
Reference:
Alexion
Pharmaceuticals
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
525
(11)
—
(11)
Morgan
Stanley,
Receive
Underlying
Reference:
Alphabet,
Class
A
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
242
14
—
14
Morgan
Stanley,
Receive
Underlying
Reference:
Altaba
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
157
(42)
—
(42)
Morgan
Stanley,
Receive
Underlying
Reference:
Amazon.com
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
109
4
—
4
Morgan
Stanley,
Receive
Underlying
Reference:
Ameren
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
281
(6)
—
(6)
Morgan
Stanley,
Receive
Underlying
Reference:
American
Electric
Power
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
140
1
—
1
Morgan
Stanley,
Receive
Underlying
Reference:
American
Tower
Monthly,
Pay
Variable
0.423%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
49
(1)
—
(1)
Morgan
Stanley,
Receive
Underlying
Reference:
American
Tower
Monthly,
Pay
Variable
0.430%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
105
4
—
4
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
56
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Amphenol,
Class
A
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
162
(9)
—
(9)
Morgan
Stanley,
Receive
Underlying
Reference:
Apartment
Income
REIT
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
330
2
—
2
Morgan
Stanley,
Receive
Underlying
Reference:
Atmos
Energy
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
140
(2)
—
(2)
Morgan
Stanley,
Receive
Underlying
Reference:
Becton
Dickinson
&
Company
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
166
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Biogen
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
272
7
—
7
Morgan
Stanley,
Receive
Underlying
Reference:
Broadcom
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
655
7
—
7
Morgan
Stanley,
Receive
Underlying
Reference:
Camden
Property
Trust
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
200
3
—
3
Morgan
Stanley,
Receive
Underlying
Reference:
Capital
One
Financial
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
297
(22)
—
(22)
Morgan
Stanley,
Receive
Underlying
Reference:
Caterpillar
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
315
(17)
—
(17)
Morgan
Stanley,
Receive
Underlying
Reference:
Celanese
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
273
(24)
—
(24)
Morgan
Stanley,
Receive
Underlying
Reference:
Charles
Schwab
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
509
(63)
—
(63)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
57
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Chart
Industries
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
184
(20)
—
(20)
Morgan
Stanley,
Receive
Underlying
Reference:
Chipotle
Mexican
Grill
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
104
6
—
6
Morgan
Stanley,
Receive
Underlying
Reference:
Cisco
Systems
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
283
(5)
—
(5)
Morgan
Stanley,
Receive
Underlying
Reference:
Coca-Cola
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
101
(1)
—
(1)
Morgan
Stanley,
Receive
Underlying
Reference:
Conagra
Brands
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
137
4
—
4
Morgan
Stanley,
Receive
Underlying
Reference:
ConocoPhillips
Monthly,
Pay
Variable
0.430%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
415
(30)
—
(30)
Morgan
Stanley,
Receive
Underlying
Reference:
ConocoPhillips
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
287
(33)
—
(33)
Morgan
Stanley,
Receive
Underlying
Reference:
Danaher
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
98
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Deere
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
126
(2)
—
(2)
Morgan
Stanley,
Receive
Underlying
Reference:
Domino's
Pizza
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
96
(1)
—
(1)
Morgan
Stanley,
Receive
Underlying
Reference:
DoorDash,
Class
A
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
153
5
—
5
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
58
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Douglas
Emmett
Monthly,
Pay
Variable
0.430%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
15
(1)
—
(1)
Morgan
Stanley,
Receive
Underlying
Reference:
Douglas
Emmett
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
180
(8)
—
(8)
Morgan
Stanley,
Receive
Underlying
Reference:
DTE
Energy
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
568
(22)
—
(22)
Morgan
Stanley,
Receive
Underlying
Reference:
Duke
Energy
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
399
8
—
8
Morgan
Stanley,
Receive
Underlying
Reference:
Eli
Lilly
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
465
42
—
42
Morgan
Stanley,
Receive
Underlying
Reference:
EOG
Resources
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
178
(25)
—
(25)
Morgan
Stanley,
Receive
Underlying
Reference:
EPAM
Systems
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
540
(6)
—
(6)
Morgan
Stanley,
Receive
Underlying
Reference:
Equity
LifeStyle
Properties
Monthly,
Pay
Variable
0.429%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
156
2
—
2
Morgan
Stanley,
Receive
Underlying
Reference:
Equity
LifeStyle
Properties
Monthly,
Pay
Variable
0.430%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
60
1
—
1
Morgan
Stanley,
Receive
Underlying
Reference:
Equity
Residential
Monthly,
Pay
Variable
0.430%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
31
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Equity
Residential
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
149
—
—
—
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:
Eversource
Energy
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
111
(1)
—
(1)
Morgan
Stanley,
Receive
Underlying
Reference:
Exact
Sciences
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
146
(9)
—
(9)
Morgan
Stanley,
Receive
Underlying
Reference:
Facebook,
Class
A
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
202
6
—
6
Morgan
Stanley,
Receive
Underlying
Reference:
FedEx
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
237
(16)
—
(16)
Morgan
Stanley,
Receive
Underlying
Reference:
Fifth
Third
Bancorp
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
252
(23)
—
(23)
Morgan
Stanley,
Receive
Underlying
Reference:
Fiserv
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
140
(7)
—
(7)
Morgan
Stanley,
Receive
Underlying
Reference:
FleetCor
Technologies
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
212
(18)
—
(18)
Morgan
Stanley,
Receive
Underlying
Reference:
General
Electric
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
616
(35)
—
(35)
Morgan
Stanley,
Receive
Underlying
Reference:
Generation
Bio
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
32
(6)
—
(6)
Morgan
Stanley,
Receive
Underlying
Reference:
Goldman
Sachs
Group
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
165
(16)
—
(16)
Morgan
Stanley,
Receive
Underlying
Reference:
Halliburton
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
302
(45)
—
(45)
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:
Hartford
Financial
Services
Group
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
146
(10)
—
(10)
Morgan
Stanley,
Receive
Underlying
Reference:
Home
Depot
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
370
(7)
—
(7)
Morgan
Stanley,
Receive
Underlying
Reference:
Honeywell
International
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
99
(5)
—
(5)
Morgan
Stanley,
Receive
Underlying
Reference:
Humana
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
111
(6)
—
(6)
Morgan
Stanley,
Receive
Underlying
Reference:
Huntington
Bancshares
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
541
(56)
—
(56)
Morgan
Stanley,
Receive
Underlying
Reference:
Ingersoll
Rand
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
166
(15)
—
(15)
Morgan
Stanley,
Receive
Underlying
Reference:
iRhythm
Technologies
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
118
(39)
—
(39)
Morgan
Stanley,
Receive
Underlying
Reference:
KKR
Monthly,
Pay
Variable
0.681%
(1M
USD
LIBOR
+
0.55%)
Monthly,
1/20/22
155
(7)
—
(7)
Morgan
Stanley,
Receive
Underlying
Reference:
Las
Vegas
Sands
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
91
(9)
—
(9)
Morgan
Stanley,
Receive
Underlying
Reference:
Liberty
Broadband,
Class
C
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
215
(7)
—
(7)
Morgan
Stanley,
Receive
Underlying
Reference:
Littelfuse
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
144
(17)
—
(17)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
61
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Marriott
International,
Class
A
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
114
(9)
—
(9)
Morgan
Stanley,
Receive
Underlying
Reference:
Mastercard,
Class
A
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
188
(4)
—
(4)
Morgan
Stanley,
Receive
Underlying
Reference:
Maxim
Integrated
Products
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
333
(26)
—
(26)
Morgan
Stanley,
Receive
Underlying
Reference:
Monolithic
Power
Systems
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
143
(9)
—
(9)
Morgan
Stanley,
Receive
Underlying
Reference:
Mudrick
Capital
Acquisition
Monthly,
Pay
Variable
0.425%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
40
(1)
—
(1)
Morgan
Stanley,
Receive
Underlying
Reference:
NVR
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
156
17
—
17
Morgan
Stanley,
Receive
Underlying
Reference:
Oportun
Financial
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
208
(16)
—
(16)
Morgan
Stanley,
Receive
Underlying
Reference:
Outfront
Media
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
216
(12)
—
(12)
Morgan
Stanley,
Receive
Underlying
Reference:
Parker-Hannifin
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
297
(21)
—
(21)
Morgan
Stanley,
Receive
Underlying
Reference:
Paylocity
Holding
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
223
(2)
—
(2)
Morgan
Stanley,
Receive
Underlying
Reference:
PNC
Financial
Services
Group
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
364
(24)
—
(24)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
62
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
RAPT
Therapeutics
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
19
(1)
—
(1)
Morgan
Stanley,
Receive
Underlying
Reference:
Roku
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
110
(5)
—
(5)
Morgan
Stanley,
Receive
Underlying
Reference:
Ross
Stores
Monthly,
Pay
Variable
0.430%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
83
(3)
—
(3)
Morgan
Stanley,
Receive
Underlying
Reference:
Scholar
Rock
Holding
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
132
5
—
5
Morgan
Stanley,
Receive
Underlying
Reference:
Sealed
Air
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
130
(6)
—
(6)
Morgan
Stanley,
Receive
Underlying
Reference:
Sempra
Energy
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
119
2
—
2
Morgan
Stanley,
Receive
Underlying
Reference:
Shoals
Technologies
Group,
Class
A
Monthly,
Pay
Variable
0.420%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
194
5
—
5
Morgan
Stanley,
Receive
Underlying
Reference:
Terreno
Realty
Monthly,
Pay
Variable
0.430%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
28
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Terreno
Realty
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
146
1
—
1
Morgan
Stanley,
Receive
Underlying
Reference:
Tradeweb
Markets,
Class
A
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
105
(6)
—
(6)
Morgan
Stanley,
Receive
Underlying
Reference:
Travelers
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
297
(14)
—
(14)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
63
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Vertex
Pharmaceuticals
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
94
1
—
1
Morgan
Stanley,
Receive
Underlying
Reference:
Visa,
Class
A
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
175
(7)
—
(7)
Morgan
Stanley,
Receive
Underlying
Reference:
Walt
Disney
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
258
(5)
—
(5)
Morgan
Stanley,
Receive
Underlying
Reference:
Welltower
Monthly,
Pay
Variable
0.430%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
214
(2)
—
(2)
Morgan
Stanley,
Receive
Underlying
Reference:
Xilinx
Monthly,
Pay
Variable
0.423%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
378
(26)
—
(26)
Morgan
Stanley,
Receive
Underlying
Reference:
Zoetis
Monthly,
Pay
Variable
0.431%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
113
(5)
—
(5)
Total
United
States
—
34
Total
Bilateral
Total
Return
Swaps
—
163
Zero-Coupon
Inflation
Swaps
0.1%
United
States
0.1%
Bank
of
America,
5
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.535%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
7/16/25
1,250
60
—
60
Citibank,
5
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.548%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
7/8/25
1,250
59
—
59
Total
Bilateral
Zero-Coupon
Inflation
Swaps
—
119
Total
Bilateral
Swaps
(1)
282
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
64
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Initial
$
Value
Unrealized
$
Gain/(Loss)
CENTRALLY
CLEARED
SWAPS
0.1%
Interest
Rate
Swaps
0.0%
China
(0.0)%
5
Year
Interest
Rate
Swap,
Receive
Fixed
0.265%
Quarterly,
Pay
Variable
2.770%
(7
Day
Interbank
Repo)
Quarterly,
10/28/25
12,000
(9)
1
(10)
5
Year
Interest
Rate
Swap,
Receive
Fixed
2.550%
Quarterly,
Pay
Variable
3.190%
(7
Day
Interbank
Repo)
Quarterly,
7/17/25
18,000
(24)
—
(24)
5
Year
Interest
Rate
Swap,
Receive
Fixed
2.600%
Quarterly,
Pay
Variable
2.770%
(7
Day
Interbank
Repo)
Quarterly,
8/12/25
18,000
(18)
—
(18)
5
Year
Interest
Rate
Swap,
Receive
Fixed
2.805%
Quarterly,
Pay
Variable
3.190%
(7
Day
Interbank
Repo)
Quarterly,
11/13/25
12,000
5
—
5
Total
China
(47)
Czech
Republic
0.0%
2
Year
Interest
Rate
Swap,
Pay
Fixed
0.300%
Annually,
Receive
Variable
0.360%
(6M
CZK
PRIBOR)
Semi-
Annually,
10/29/22
100,000
27
—
27
2
Year
Interest
Rate
Swap,
Pay
Fixed
0.475%
Annually,
Receive
Variable
0.360%
(6M
CZK
PRIBOR)
Semi-
Annually,
11/11/22
95,000
11
1
10
Total
Czech
Republic
37
Poland
0.0%
10
Year
Interest
Rate
Swap,
Pay
Fixed
0.920%
Annually,
Receive
Variable
0.250%
(6M
PLN
WIBOR)
Semi-Annually,
10/29/30
3,700
24
—
24
10
Year
Interest
Rate
Swap,
Pay
Fixed
1.090%
Annually,
Receive
Variable
0.250%
(6M
PLN
WIBOR)
Semi-Annually,
11/12/30
3,300
8
1
7
Total
Poland
31
Total
Centrally
Cleared
Interest
Rate
Swaps
21
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
65
(Amounts
in
$000s)
Description
Notional
Amount
$
Value
Initial
$
Value
Unrealized
$
Gain/(Loss)
Zero-Coupon
Inflation
Swaps
0.1%
United
States
0.1%
5
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.637%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
7/29/25
2,500
110
—
110
5
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.788%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
11/12/25
100
3
—
3
Total
Centrally
Cleared
Zero-Coupon
Inflation
Swaps
113
Total
Centrally
Cleared
Swaps
134
Net
payments
(receipts)
of
variation
margin
to
date
(117)
Variation
margin
receivable
(payable)
on
centrally
cleared
swaps
$
17
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
66
(Amounts
in
000s)
FORWARD
CURRENCY
EXCHANGE
CONTRACTS
Counterparty
Settlement
Receive
Deliver
Unrealized
Gain/(Loss)
Bank
of
America
2/26/21
MXN
44,283
USD
2,202
$
(
48
)
BNP
Paribas
2/26/21
USD
368
RUB
27,428
6
Deutsche
Bank
2/26/21
USD
164
NZD
227
1
Goldman
Sachs
2/26/21
USD
529
ZAR
8,060
(
1
)
Goldman
Sachs
4/30/21
USD
303
EUR
250
(
1
)
Morgan
Stanley
2/26/21
USD
1,113
CHF
988
3
RBC
Dominion
Securities
4/30/21
USD
304
EUR
250
—
Standard
Chartered
2/26/21
INR
552,238
USD
7,537
12
State
Street
2/26/21
TRY
25,772
USD
3,467
18
State
Street
2/26/21
USD
68
CAD
87
—
State
Street
3/2/21
BRL
2,160
USD
402
(
8
)
UBS
Investment
Bank
2/26/21
USD
1,806
EUR
1,486
1
Net
unrealized
gain
(loss)
on
open
forward
currency
exchange
contracts
$
(
17
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
67
FUTURES
CONTRACTS
($000s)
Expiration
Date
Notional
Amount
Value
and
Unrealized
Gain
(Loss)
Short,
3
CAC40
10
Euro
Index
contracts
2/21
(196)
$
9
Long,
29
Hang
Seng
Index
contracts
2/21
5,296
(
234
)
Short,
47
OMXS30
Index
contracts
2/21
(1,094)
3
Short,
9
Dax
Performance
Index
contracts
3/21
(3,670)
(
35
)
Long,
38
Euro
BOBL
contracts
3/21
6,237
2
Long,
17
Euro
BTP
contracts
3/21
3,115
(
6
)
Long,
12
Euro
BUND
contracts
3/21
2,581
(
1
)
Long,
23
Euro
BUXL
thirty
year
bond
contracts
3/21
6,177
(
79
)
Long,
16
Euro
OAT
contracts
3/21
3,244
(
6
)
Short,
7
Euro
SCHATZ
contracts
3/21
(954)
—
Short,
42
FTSE
100
Index
contracts
3/21
(3,661)
106
Long,
22
Long
Gilt
contracts
3/21
4,041
—
Short,
17
Mini
ten
year
JGB
contracts
3/21
(2,463)
5
Short,
54
MSCI
Emerging
Markets
Index
contracts
3/21
(3,580)
(
156
)
Short,
91
S&P
500
E-Mini
Index
contracts
3/21
(16,859)
(
86
)
Long,
14
S&P/TSX
60
Index
contracts
3/21
2,240
(
30
)
Long,
3
SPI
200
contracts
3/21
375
(
1
)
Short,
26
Tokyo
Price
Index
contracts
3/21
(4,478)
(
39
)
Short,
31
U.S.
Treasury
Long
Bond
contracts
3/21
(5,230)
4
Long,
19
U.S.
Treasury
Notes
five
year
contracts
3/21
2,392
1
Long,
10
U.S.
Treasury
Notes
ten
year
contracts
3/21
1,370
(
9
)
Long,
58
U.S.
Treasury
Notes
two
year
contracts
3/21
12,817
9
Long,
4
Ultra
U.S.
Treasury
Bonds
contracts
3/21
819
(
52
)
Net
payments
(receipts)
of
variation
margin
to
date
1,048
Variation
margin
receivable
(payable)
on
open
futures
contracts
$
453
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
68
AFFILIATED
COMPANIES
($000s)
The
fund
may
invest
in
certain
securities
that
are
considered
affiliated
companies.
As
defined
by
the
1940
Act,
an
affiliated
company
is
one
in
which
the
fund
owns
5%
or
more
of
the
outstanding
voting
securities,
or
a
company
that
is
under
common
ownership
or
control.
The
following
securities
were
considered
affiliated
companies
for
all
or
some
portion
of
the
three
months
ended
January
31,
2021.
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
Communications
&
Technology
Fund
-
I
Class
$
45
$
(
33
)
$
—
T.
Rowe
Price
Dynamic
Credit
Fund
-
I
Class,
3.64%
685
134
213
T.
Rowe
Price
Dynamic
Global
Bond
Fund
-
I
Class,
1.76%
—
509
141
T.
Rowe
Price
Financial
Services
Fund
-
I
Class
67
(
21
)
—
T.
Rowe
Price
Global
Consumer
Fund
13
10
—
T.
Rowe
Price
Global
Industrials
Fund
-
I
Class
32
(
7
)
—
T.
Rowe
Price
Global
Real
Estate
Fund
-
I
Class
2
(
1
)
—
T.
Rowe
Price
Global
Stock
Fund
-
I
Class
1,155
1,605
—
T.
Rowe
Price
Global
Technology
Fund
-
I
Class
83
77
—
T.
Rowe
Price
Health
Sciences
Fund
-
I
Class
66
10
—
T.
Rowe
Price
New
Era
Fund
-
I
Class
22
(
3
)
—
T.
Rowe
Price
Ultra
Short-Term
Bond
Fund
-
I
Class,
0.74%
32
53
87
T.
Rowe
Price
Government
Reserve
Fund,
0.07%
—
—
3
T.
Rowe
Price
Short-Term
Fund,
0.13%
—
—
—
++
Totals
$
2,202
#
$
2,333
$
444
+
`0.00
`0.00
`0.00
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
69
The
accompanying
notes
are
an
integral
part
of
this
Portfolio
of
Investments.
AFFILIATED
COMPANIES
(CONTINUED)
($000s)
Supplementary
Investment
Schedule
Affiliate
Value
10/31/20
Purchase
Cost
Sales
Cost
Value
01/31/21
T.
Rowe
Price
Communications
&
Technology
Fund
-
I
Class
$
—
$
1,959
$
309
$
1,617
T.
Rowe
Price
Dynamic
Credit
Fund
-
I
Class,
3.64%
18,918
8,360
—
27,412
T.
Rowe
Price
Dynamic
Global
Bond
Fund
-
I
Class,
1.76%
15,037
11,885
—
27,431
T.
Rowe
Price
Financial
Services
Fund
-
I
Class
—
1,279
182
1,076
T.
Rowe
Price
Global
Consumer
Fund
—
1,558
227
1,341
T.
Rowe
Price
Global
Industrials
Fund
-
I
Class
—
2,143
262
1,874
T.
Rowe
Price
Global
Real
Estate
Fund
-
I
Class
—
308
34
273
T.
Rowe
Price
Global
Stock
Fund
-
I
Class
16,031
4,169
7,065
14,740
T.
Rowe
Price
Global
Technology
Fund
-
I
Class
—
2,460
360
2,177
T.
Rowe
Price
Health
Sciences
Fund
-
I
Class
—
1,584
246
1,348
T.
Rowe
Price
New
Era
Fund
-
I
Class
—
1,233
162
1,068
T.
Rowe
Price
Ultra
Short-Term
Bond
Fund
-
I
Class,
0.74%
12,741
18,154
3,510
27,438
T.
Rowe
Price
Government
Reserve
Fund,
0.07%
29,727
¤
¤
19,223
T.
Rowe
Price
Short-Term
Fund,
0.13%
2,265
¤
¤
502
Total
$
127,520
^
#
Capital
gain
distributions
from
mutual
funds
represented
$1,824
of
the
net
realized
gain
(loss).
++
Excludes
earnings
on
securities
lending
collateral,
which
are
subject
to
rebates
and
fees.
+
Investment
income
comprised
$444
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
$120,864.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Unaudited
Notes
to
the
Portfolio
of
Investments
70
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. The
fund’s
financial
instruments
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
T.
Rowe
Price
Valuation
Committee
(the
Valuation
Committee)
is
an
internal
committee
that
has
been
delegated
certain
responsibilities
by
the
fund’s
Board
of
Directors
(the
Board)
to
ensure
that
financial
instruments
are
appropriately
priced
at
fair
value
in
accordance
with
GAAP
and
the
1940
Act.
Subject
to
oversight
by
the
Board,
the
Valuation
Committee
develops
and
oversees
pricing-related
policies
and
procedures
and
approves
all
fair
value
determinations.
Specifically,
the
Valuation
Committee
establishes
policies
and
procedures
used
in
valuing
financial
instruments,
including
those
which
cannot
be
valued
in
accordance
with
normal
procedures
or
using
pricing
vendors;
determines
pricing
techniques,
sources,
and
persons
eligible
to
effect
fair
value
pricing
actions;
evaluates
the
services,
and
performance
of
the
pricing
vendors;
oversees
the
pricing
process
to
ensure
policies
and
procedures
are
being
followed;
and
provides
guidance
on
internal
controls
and
valuation-related
matters.
The
Valuation
Committee
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
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
71
Level
2
-
inputs
other
than
Level
1
quoted
prices
that
are
observable,
either
directly
or
indirectly
(including,
but
not
limited
to,
quoted
prices
for
similar
financial
instruments
in
active
markets,
quoted
prices
for
identical
or
similar
financial
instruments
in
inactive
markets,
interest
rates
and
yield
curves,
implied
volatilities,
and
credit
spreads)
Level
3
-
unobservable
inputs
(including
the
fund's
own
assumptions
in
determining
fair
value)
Observable
inputs
are
developed
using
market
data,
such
as
publicly
available
information
about
actual
events
or
transactions,
and
reflect
the
assumptions
that
market
participants
would
use
to
price
the
financial
instrument.
Unobservable
inputs
are
those
for
which
market
data
are
not
available
and
are
developed
using
the
best
information
available
about
the
assumptions
that
market
participants
would
use
to
price
the
financial
instrument.
GAAP
requires
valuation
techniques
to
maximize
the
use
of
relevant
observable
inputs
and
minimize
the
use
of
unobservable
inputs.
When
multiple
inputs
are
used
to
derive
fair
value,
the
financial
instrument
is
assigned
to
the
level
within
the
fair
value
hierarchy
based
on
the
lowest-level
input
that
is
significant
to
the
fair
value
of
the
financial
instrument.
Input
levels
are
not
necessarily
an
indication
of
the
risk
or
liquidity
associated
with
financial
instruments
at
that
level
but
rather
the
degree
of
judgment
used
in
determining
those
values.
Valuation
Techniques
Debt
securities
generally
are
traded
in
the over-the-counter
(OTC)
market
and
are
valued
at
prices
furnished
by
independent
pricing
services
or
by
broker
dealers
who
make
markets
in
such
securities.
When
valuing
securities,
the
independent
pricing
services
consider
the
yield
or
price
of
bonds
of
comparable
quality,
coupon,
maturity,
and
type,
as
well
as
prices
quoted
by
dealers
who
make
markets
in
such
securities.
Equity
securities,
including
exchange-traded
funds, listed
or
regularly
traded
on
a
securities
exchange
or
in
the
over-the-counter
(OTC)
market
are
valued
at
the
last
quoted
sale
price
or,
for
certain
markets,
the
official
closing
price
at
the
time
the
valuations
are
made.
OTC
Bulletin
Board
securities
are
valued
at
the
mean
of
the
closing
bid
and
asked
prices.
A
security
that
is
listed
or
traded
on
more
than
one
exchange
is
valued
at
the
quotation
on
the
exchange
determined
to
be
the
primary
market
for
such
security.
Listed
securities
not
traded
on
a
particular
day
are
valued
at
the
mean
of
the
closing
bid
and
asked
prices
for
domestic
securities
and
the
last
quoted
sale
or
closing
price
for
international
securities.
The
last
quoted
prices
of
non-U.S.
equity
securities
may
be
adjusted
to
reflect
the
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
72
fair
value
of
such
securities
at
the
close
of
the
NYSE
if
the
fund
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
fund
uses
information
from
outside
pricing
services
to
evaluate
and,
if
appropriate,
decide whether
it
is
necessary
to
adjust
quoted
prices
to
reflect
fair
value,
by
reviewing
a
variety
of
factors,
including
developments
in
foreign
markets,
the
performance
of
U.S.
securities
markets,
and
the
performance
of
instruments
trading
in
U.S.
markets
that
represent
foreign
securities
and
baskets
of
foreign
securities. The
fund
uses
outside
pricing
services
to
provide
it
with
quoted
prices
and
information
to
evaluate
or
adjust
those
prices.
The
fund
cannot
predict
how
often
it
will
use
quoted
prices
and
how
often
it
will
determine
it
necessary
to
adjust
those
prices
to
reflect
fair
value.
Investments
in
mutual
funds
are
valued
at
the
mutual
fund’s
closing
NAV
per
share
on
the
day
of
valuation.
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
or
market-based
valuations
are
not
readily
available
or
deemed
unreliable
are
valued
at
fair
value
as
determined
in
good
faith
by
the
Valuation
Committee,
in
accordance
with
fair
valuation
policies
and
procedures.
The
objective
of
any
fair
value
pricing
determination
is
to
arrive
at
a
price
that
could
reasonably
be
expected
from
a
current
sale.
Financial
instruments
fair
valued
by
the
Valuation
Committee
are
primarily
private
placements,
restricted
securities,
warrants,
rights,
and
other
securities
that
are
not
publicly
traded.
Factors
used
in
determining
fair
value
vary
by
type
of
investment
and
may
include
market
or
investment
specific
considerations.
The
Valuation
Committee
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
Committee
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
and
updated
as
information
becomes
available,
including
actual
purchase
and
sale
transactions
of
the
investment.
Because
any
fair
value
determination
involves
a
significant
amount
of
judgment,
there
is
a
degree
of
subjectivity
inherent
in
such
pricing
decisions,
and
fair
value
prices
determined
by
the
Valuation
Committee
could
differ
from
those
of
other
market
participants.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
73
Valuation
Inputs
The
following
table
summarizes
the
fund’s
financial
instruments,
based
on
the
inputs
used
to
determine
their
fair
values
on
January
31,
2021
(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
$
—
$
14,714
$
—
$
14,714
Bank
Loans
—
16,579
1,360
17,939
Bond
Mutual
Funds
82,281
—
—
82,281
Common
Stocks
992
1,737
—
2,729
Convertible
Preferred
Stocks
—
1,091
109
1,200
Equity
Mutual
Funds
25,514
—
—
25,514
Preferred
Stocks
306
—
—
306
Short-Term
Investments
19,223
—
—
19,223
Securities
Lending
Collateral
502
—
—
502
Options
Purchased
—
294
—
294
Total
Securities
128,818
34,415
1,469
164,702
Swaps*
—
2,817
—
2,817
Forward
Currency
Exchange
Contracts
—
41
—
41
Futures
Contracts*
139
—
—
139
Total
$
128,957
$
37,273
$
1,469
$
167,699
Liabilities
Options
Written
$
24
$
419
$
—
$
443
Swaps*
—
2,402
—
2,402
Forward
Currency
Exchange
Contracts
—
58
—
58
Futures
Contracts*
734
—
—
734
Total
$
758
$
2,879
$
—
$
3,637
1
Includes
Convertible
Bonds,
Corporate
Bonds
and
Government
Bonds.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
74
F1112-054Q1
01/21
*
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.