T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
January
31,
2022
(Unaudited)
1
Portfolio
of
Investments
‡
Shares/Par
$
Value
(
Cost
and
value
in
$000s)
‡
ARGENTINA
0.1%
Common
Stocks
0.0%
MercadoLibre
(USD) (1)
71
80
80
Corporate
Bonds
0.1%
MercadoLibre,
3.125%,
1/14/31
(USD)
200,000
180
180
Government
Bonds
0.0%
Republic
of
Argentina,
0.00%,
12/15/35
(USD) (1)
900,000
11
11
Total
Argentina
(Cost
$307
)
271
AUSTRALIA
0.0%
Common
Stocks
0.0%
ALS
2,348
20
BHP
Group
2,595
83
Goodman
Group
1,702
28
IGO
4,513
38
Northern
Star
Resources
2,399
14
OZ
Minerals
1,315
23
Total
Australia
(Cost
$203
)
206
AUSTRIA
0.0%
Common
Stocks
0.0%
BAWAG
Group
801
48
Erste
Group
Bank
619
29
Mayr
Melnhof
Karton
108
21
Total
Austria
(Cost
$90
)
98
BAHAMAS
0.0%
Government
Bonds
0.0%
Commonwealth
of
Bahamas,
8.95%,
10/15/32
(USD)
250,000
219
Total
Bahamas
(Cost
$245
)
219
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
2
Shares/Par
$
Value
(Cost
and
value
in
$000s)
BELGIUM
0.0%
Common
Stocks
0.0%
Azelis
Group (1)
370
9
Total
Belgium
(Cost
$11
)
9
BRAZIL
1.5%
Common
Stocks
0.3%
B3
73,500
203
Magazine
Luiza
278,953
368
NU
Holdings,
Class
A
(USD) (1)
24,745
183
Unifique
Telecomunicacoes
231,524
294
XP,
Class
A
(USD) (1)
3,000
100
1,148
Corporate
Bonds
0.5%
Braskem
Netherlands
Finance,
5.875%,
1/31/50
(USD) (2)(3)
200,000
218
ERO
Copper,
6.50%,
2/15/30
(USD) (2)
440,000
436
Globo
Comunicacao
e
Participacoes,
4.875%,
1/22/30
(USD) (2)
700,000
651
Globo
Comunicacao
e
Participacoes,
5.50%,
1/14/32
(USD) (2)
280,000
269
Minerva
Luxembourg,
4.375%,
3/18/31
(USD)
500,000
465
2,039
Government
Bonds
0.7%
Brazil
Notas
do
Tesouro
Nacional,
Series
F,
10.00%,
1/1/27
14,050,000
2,540
2,540
Total
Brazil
(Cost
$6,341
)
5,727
CANADA
0.5%
Bank
Loans
0.1%
(4)
Navacord,
FRN,
1M
CAD
CDOR
+
4.25%,
5.00%,
3/27/28 (5)
425,000
327
Navacord,
FRN,
1M
CAD
CDOR
+
7.50%,
8.235%,
3/26/29
25,000
20
347
Common
Stocks
0.3%
Brookfield
Asset
Management,
Class
A
(USD)
535
29
Canadian
Natural
Resources
615
31
Canadian
Pacific
Railway
(USD)
1,389
99
Enbridge
(USD)
510
22
Enerflex
2,527
14
ERO
Copper (1)
1,371
17
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
3
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Magna
International
(USD)
946
76
MDA (1)(3)
6,629
49
Shopify,
Class
A
(USD) (1)
862
831
Summit
Industrial
Income
REIT
1,708
29
Sun
Life
Financial
(USD)
930
53
TC
Energy
(USD)
672
35
Wesdome
Gold
Mines (1)
2,182
19
1,304
Corporate
Bonds
0.0%
1011778
BC
ULC,
5.75%,
4/15/25
(USD) (2)
105,000
108
108
Government
Bonds
0.1%
Government
of
Canada
Real
Return
Bond,
Inflation-Indexed,
4.00%,
12/1/31
268,257
297
297
Total
Canada
(Cost
$2,380
)
2,056
CAYMAN
ISLANDS
0.2%
Common
Stocks
0.2%
Ahren
Acquisition
(USD) (1)
72,251
721
Total
Cayman
Islands
(Cost
$723
)
721
CHILE
0.7%
Corporate
Bonds
0.2%
Empresa
de
Transporte
de
Pasajeros
Metro,
3.693%,
9/13/61
(USD) (2)
865,000
787
787
Government
Bonds
0.5%
Bonos
de
la
Tesoreria
de
la
Republica,
4.50%,
3/1/26
1,500,000,000
1,798
1,798
Total
Chile
(Cost
$2,855
)
2,585
CHINA
2.3%
Common
Stocks
0.9%
58.com
(USD) (1)(5)
22,100
—
Alibaba
Group
Holding
(HKD) (1)
9,600
151
BeiGene,
ADR
(USD) (1)
99
24
Beijing
Capital
International
Airport,
Class
H
(HKD) (1)
58,000
39
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
4
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Huazhu
Group,
ADR
(USD) (1)
13,850
547
I-Mab,
ADR
(USD) (1)
4,769
120
JD.com,
Class
A
(HKD) (1)
885
30
Kanzhun,
ADR
(USD) (1)
7,324
222
Li
Ning
(HKD)
5,000
49
Meituan,
Class
B
(HKD) (1)
22,700
677
Shanghai
MicroPort
MedBot
Group
(HKD) (1)(3)
7,000
43
Tencent
Holdings
(HKD)
20,400
1,278
Trip.com
Group,
ADR
(USD) (1)
5,059
135
Wuxi
Biologics
Cayman
(HKD) (1)
3,000
30
Zai
Lab,
ADR
(USD) (1)
210
10
Zhongsheng
Group
Holdings
(HKD)
6,000
46
3,401
Common
Stocks
-
China
A
Shares
0.1%
Deppon
Logistics,
A
Shares
(CNH)
25,700
46
Gree
Electric
Appliances
of
Zhuhai,
A
Shares
(CNH)
14,000
84
Huayu
Automotive
Systems,
A
Shares
(CNH)
18,600
82
Kweichow
Moutai,
A
Shares
(CNH)
200
60
NARI
Technology,
A
Shares
(CNH)
10,740
60
332
Convertible
Bonds
0.1%
Vnet
Group,
Zero
Coupon,
2/1/26
(USD) (3)
530,000
460
460
Corporate
Bonds
1.2%
Agile
Group
Holdings,
6.05%,
10/13/25
(USD)
385,000
162
Kaisa
Group
Holdings,
11.95%,
10/22/22
(USD)
480,000
134
KWG
Group
Holdings,
7.875%,
9/1/23
(USD)
1,300,000
826
Longfor
Group
Holdings,
3.85%,
1/13/32
(USD)
200,000
189
Shimao
Group
Holdings,
3.45%,
1/11/31
(USD)
1,260,000
526
Shimao
Group
Holdings,
4.60%,
7/13/30
(USD)
320,000
136
Shimao
Group
Holdings,
4.75%,
7/3/22
(USD)
400,000
258
Shimao
Group
Holdings,
6.125%,
2/21/24
(USD) (3)
1,900,000
926
Times
China
Holdings,
6.20%,
3/22/26
(USD)
340,000
156
Times
China
Holdings,
6.75%,
7/16/23
(USD)
1,500,000
776
Times
China
Holdings,
6.75%,
7/8/25
(USD)
700,000
333
Yanlord
Land
HK,
5.125%,
5/20/26
(USD)
200,000
188
Yuzhou
Group
Holdings,
6.35%,
1/13/27
(USD)
350,000
80
4,690
Total
China
(Cost
$11,574
)
8,883
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
5
Shares/Par
$
Value
(Cost
and
value
in
$000s)
COLOMBIA
0.2%
Corporate
Bonds
0.2%
GCM
Mining,
6.875%,
8/9/26
(USD) (2)
640,000
623
Total
Colombia
(Cost
$631
)
623
CYPRUS
0.2%
Government
Bonds
0.2%
Republic
of
Cyprus,
0.95%,
1/20/32
751,000
832
Total
Cyprus
(Cost
$856
)
832
DENMARK
0.2%
Common
Stocks
0.1%
Ascendis
Pharma,
ADR
(USD) (1)
1,583
193
Genmab (1)
72
24
217
Corporate
Bonds
0.1%
DKT
Finance,
9.375%,
6/17/23
(USD) (2)
600,000
603
603
Total
Denmark
(Cost
$837
)
820
ECUADOR
0.1%
Government
Bonds
0.1%
Ecuador
Government
International
Bond,
STEP,
1.00%,
7/31/35
(USD)
545,000
388
Total
Ecuador
(Cost
$383
)
388
FINLAND
0.0%
Common
Stocks
0.0%
Kojamo
1,174
27
Sampo,
Class
A
967
48
Stora
Enso,
Class
R
1,622
33
UPM-Kymmene
1,150
42
Total
Finland
(Cost
$151
)
150
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
6
Shares/Par
$
Value
(Cost
and
value
in
$000s)
FRANCE
0.7%
Common
Stocks
0.7%
Air
Liquide
211
36
Airbus (1)
13,332
1,702
Alstom
3,669
119
Legrand
241
24
LVMH
Moet
Hennessy
Louis
Vuitton
270
222
Pernod
Ricard
396
85
Safran
659
80
Schneider
Electric
218
37
Thales
418
39
TotalEnergies
3,203
182
Valeo
1,777
50
Verallia
1,152
36
2,612
Convertible
Preferred
Stocks
0.0%
DNA
Script,
Series
C,
Acquisition
Date:
12/16/21,
Cost $7 (1)
(5)(6)
8
7
7
Corporate
Bonds
0.0%
Altice
France
Holding,
4.00%,
2/15/28
100,000
102
102
Total
France
(Cost
$2,805
)
2,721
GERMANY
2.6%
Bank
Loans
0.2%
(4)
TK
Elevator
U.S.
Newco,
FRN,
1M
USD
LIBOR
+
3.50%,
4.00%,
7/30/27
(USD)
595,515
596
596
Common
Stocks
0.2%
BioNTech,
ADR
(USD) (1)
331
57
Delivery
Hero (1)
323
25
Infineon
Technologies
9,388
390
KION
Group
448
41
Merck
144
32
Siemens
1,649
262
Zalando (1)
442
35
842
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
7
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Corporate
Bonds
0.1%
TK
Elevator
Holdco,
7.625%,
7/15/28
(USD) (2)
400,000
419
419
Government
Bonds
2.0%
Deutsche
Bundesrepublik,
Inflation-Indexed,
0.10%,
4/15/26
3,771,953
4,695
Deutsche
Bundesrepublik,
Inflation-Indexed,
0.50%,
4/15/30
2,103,539
2,885
7,580
Preferred
Stocks
0.1%
Sartorius
826
446
Volkswagen
598
124
570
Total
Germany
(Cost
$10,375
)
10,007
GHANA
0.1%
Corporate
Bonds
0.1%
Kosmos
Energy,
7.75%,
5/1/27
(USD) (2)
260,000
254
Total
Ghana
(Cost
$260
)
254
HONG
KONG
0.0%
Common
Stocks
0.0%
Samsonite
International (1)
16,800
35
Sun
Hung
Kai
Properties
2,500
31
Total
Hong
Kong
(Cost
$67
)
66
HUNGARY
0.0%
Common
Stocks
0.0%
Wizz
Air
Holdings
(GBP) (1)
742
41
Total
Hungary
(Cost
$51
)
41
INDIA
0.6%
Common
Stocks
0.3%
Axis
Bank (1)
64,894
678
HDFC
Bank
25,846
519
Voltas
2,756
44
1,241
Government
Bonds
0.3%
Republic
of
India,
6.45%,
10/7/29
32,000,000
425
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
8
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Republic
of
India,
7.59%,
1/11/26
50,000,000
711
1,136
Total
India
(Cost
$2,373
)
2,377
INDONESIA
0.3%
Common
Stocks
0.1%
Bank
Central
Asia
719,800
383
Sarana
Menara
Nusantara
252,500
18
401
Government
Bonds
0.2%
Republic
of
Indonesia,
8.25%,
5/15/29
11,825,000,000
911
911
Total
Indonesia
(Cost
$1,251
)
1,312
IRELAND
0.2%
Corporate
Bonds
0.2%
AerCap
Ireland
Capital,
3.00%,
10/29/28
(USD)
150,000
147
AerCap
Ireland
Capital,
3.30%,
1/30/32
(USD)
150,000
146
AerCap
Ireland
Capital,
3.50%,
1/15/25
(USD)
225,000
231
AerCap
Ireland
Capital,
FRN,
SOFRRATE
+
0.68%,
0.73%,
9/29/23
(USD)
150,000
150
Avolon
Holdings
Funding,
2.75%,
2/21/28
(USD) (2)
40,000
38
Total
Ireland
(Cost
$727
)
712
ISRAEL
0.7%
Common
Stocks
0.0%
Monday.com
(USD) (1)
525
110
110
Government
Bonds
0.7%
State
of
Israel,
3.75%,
3/31/47
6,505,000
2,507
2,507
Total
Israel
(Cost
$2,779
)
2,617
ITALY
0.4%
Common
Stocks
0.3%
Davide
Campari-Milano
6,075
76
Ferrari
(USD)
3,243
749
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
9
Shares/Par
$
Value
(Cost
and
value
in
$000s)
GVS
2,246
25
PRADA
(HKD)
58,500
358
1,208
Corporate
Bonds
0.1%
International
Game
Technology,
4.125%,
4/15/26
(USD) (2)
250,000
251
251
Total
Italy
(Cost
$1,485
)
1,459
JAPAN
2.2%
Common
Stocks
0.8%
Asics
1,900
37
Bridgestone
900
39
Daiichi
Sankyo
17,600
395
Daikin
Industries
300
63
Fancl
12,900
329
Hamamatsu
Photonics
1,500
77
Harmonic
Drive
Systems (3)
7,000
277
Hoshizaki
1,700
126
Industrial
&
Infrastructure
Fund
Investment
7
12
Istyle (1)
9,800
16
Keyence
200
103
Komatsu
3,700
93
MatsukiyoCocokara
400
14
Mitsui
Fudosan
2,300
49
Miura
1,800
53
Panasonic
6,400
70
Recruit
Holdings
10,700
529
Seven
&
i
Holdings
900
46
Shin-Etsu
Chemical
200
33
SMC
200
112
Sompo
Holdings
400
19
Sony
Group
3,800
425
Stanley
Electric
2,600
61
SUMCO
1,100
20
Suzuki
Motor
2,900
123
3,121
Government
Bonds
1.4%
Japan
Government
Five
Year
Bond,
0.005%,
9/20/26
126,900,000
1,104
Japan
Government
Two
Year
Bond,
0.10%,
10/1/22
500,000,000
4,350
5,454
Total
Japan
(Cost
$9,065
)
8,575
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
10
Shares/Par
$
Value
(Cost
and
value
in
$000s)
LUXEMBOURG
1.0%
Bank
Loans
0.9%
(4)
Intelsat
Jackson
Holdings,
8.625%,
1/2/24
(USD)
60,000
60
Intelsat
Jackson
Holdings,
FRN,
1M
USD
LIBOR
+
4.75%,
5.75%,
7/13/22
(USD)
2,905,809
2,906
Intelsat
Jackson
Holdings,
FRN,
PRIME
+
5.50%,
8.75%,
1/2/24
(USD)
720,000
718
3,684
Corporate
Bonds
0.1%
Intelsat
Jackson
Holdings,
9.50%,
9/30/22
(USD) (2)
195,000
226
226
Total
Luxembourg
(Cost
$3,923
)
3,910
MACAO
0.1%
Corporate
Bonds
0.1%
Wynn
Macau,
5.625%,
8/26/28
(USD) (3)
500,000
458
Total
Macao
(Cost
$472
)
458
MALAYSIA
0.1%
Government
Bonds
0.1%
Government
of
Malaysia,
4.921%,
7/6/48
1,350,000
346
Total
Malaysia
(Cost
$345
)
346
MEXICO
0.7%
Bank
Loans
0.2%
(4)
Playa
Resorts
Holding,
FRN,
3M
USD
LIBOR
+
2.75%,
4/29/24
(USD) (7)
1,000,000
982
982
Corporate
Bonds
0.2%
Petroleos
Mexicanos,
6.70%,
2/16/32
(USD) (2)
835,000
828
828
Government
Bonds
0.3%
Mexican
Bonos,
5.75%,
3/5/26
15,800,000
718
Mexican
Udibonos,
Inflation-Indexed,
4.00%,
11/30/28
6,555,496
332
1,050
Total
Mexico
(Cost
$2,899
)
2,860
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
11
Shares/Par
$
Value
(Cost
and
value
in
$000s)
NETHERLANDS
0.4%
Bank
Loans
0.0%
(4)
T-Mobile
Netherlands,
FRN,
3M
EURIBOR
+
4.00%,
11/19/28 (7)
160,000
180
180
Common
Stocks
0.4%
Adyen (1)
118
240
Akzo
Nobel
465
48
Argenx,
ADR
(USD) (1)
257
69
ASML
Holding
1,202
814
Heineken
383
41
ING
Groep
3,088
46
Koninklijke
DSM
171
32
TKH
Group,
CVA
1,206
70
Universal
Music
Group
1,798
44
1,404
Total
Netherlands
(Cost
$1,729
)
1,584
NEW
ZEALAND
0.2%
Government
Bonds
0.2%
Government
of
New
Zealand,
2.75%,
5/15/51
1,191,000
752
Total
New
Zealand
(Cost
$826
)
752
NORWAY
0.0%
Common
Stocks
0.0%
Aker
BP
1,274
44
Equinor
3,719
103
Total
Norway
(Cost
$111
)
147
PANAMA
0.0%
Corporate
Bonds
0.0%
Aeropuerto
Internacional
de
Tocumen,
4.00%,
8/11/41
(USD) (2)
200,000
194
Total
Panama
(Cost
$200
)
194
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
12
Shares/Par
$
Value
(Cost
and
value
in
$000s)
PERU
0.1%
Common
Stocks
0.0%
Southern
Copper
(USD)
704
45
45
Corporate
Bonds
0.1%
Minsur,
4.50%,
10/28/31
(USD) (2)
200,000
201
201
Total
Peru
(Cost
$242
)
246
PHILIPPINES
0.1%
Government
Bonds
0.1%
Republic
of
Philippines,
6.25%,
1/14/36
23,000,000
501
Total
Philippines
(Cost
$548
)
501
PORTUGAL
0.0%
Common
Stocks
0.0%
Galp
Energia
6,622
73
Jeronimo
Martins
1,589
38
Total
Portugal
(Cost
$98
)
111
QATAR
0.1%
Corporate
Bonds
0.1%
Qatar
Petroleum,
2.25%,
7/12/31
(USD)
270,000
261
Total
Qatar
(Cost
$272
)
261
ROMANIA
0.3%
Government
Bonds
0.3%
Republic
of
Romania,
5.00%,
2/12/29
4,500,000
1,014
Total
Romania
(Cost
$1,192
)
1,014
RUSSIA
0.3%
Government
Bonds
0.3%
Russian
Federation,
7.65%,
4/10/30
90,000,000
1,056
Total
Russia
(Cost
$1,298
)
1,056
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
13
Shares/Par
$
Value
(Cost
and
value
in
$000s)
SAUDI
ARABIA
0.0%
Corporate
Bonds
0.0%
Riyad
Sukuk,
VR,
3.174%,
2/25/30
(USD) (8)
200,000
201
Total
Saudi
Arabia
(Cost
$205
)
201
SERBIA
0.3%
Government
Bonds
0.3%
Republic
of
Serbia,
4.50%,
8/20/32
100,000,000
1,015
Total
Serbia
(Cost
$1,117
)
1,015
SINGAPORE
0.1%
Common
Stocks
0.1%
Sea,
ADR
(USD) (1)
2,498
375
Total
Singapore
(Cost
$617
)
375
SOUTH
AFRICA
0.8%
Government
Bonds
0.8%
Republic
of
South
Africa,
8.00%,
1/31/30
17,425,000
1,048
Republic
of
South
Africa,
8.75%,
2/28/48
10,714,000
586
Republic
of
South
Africa,
10.50%,
12/21/26
20,186,000
1,453
Total
South
Africa
(Cost
$3,149
)
3,087
SOUTH
KOREA
0.2%
Government
Bonds
0.2%
Korea
Treasury
Bond,
2.00%,
6/10/31
798,000,000
628
Total
South
Korea
(Cost
$655
)
628
SPAIN
0.2%
Common
Stocks
0.2%
Amadeus
IT
Group,
Class
A (1)
10,647
732
Cellnex
Telecom
1,143
52
Total
Spain
(Cost
$761
)
784
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
14
Shares/Par
$
Value
(Cost
and
value
in
$000s)
SURINAME
0.2%
Government
Bonds
0.2%
Republic
of
Suriname,
9.25%,
10/26/26
(USD) (1)(3)(9)
800,000
611
Total
Suriname
(Cost
$559
)
611
SWEDEN
0.6%
Bank
Loans
0.2%
(4)
Seren
Bidco,
FRN,
1M
USD
LIBOR
+
3.50%,
4.00%,
11/16/28
(USD) (7)
600,000
600
Seren
Bidco,
FRN,
1M
USD
LIBOR
+
4.00%,
11/16/28
(USD) (5)
(7)
100,000
100
700
Common
Stocks
0.3%
Alfa
Laval
1,877
63
Atlas
Copco,
Class
B
360
18
Boliden
2,258
91
Epiroc,
Class
B
2,384
43
Hexpol
1,486
18
Lundin
Energy
1,329
54
Sandvik
1,284
34
Spotify
Technology
(USD) (1)
372
73
Svenska
Cellulosa,
Class
B
25,468
444
Swedbank,
Class
A
1,991
39
Swedish
Match
2,952
23
900
Corporate
Bonds
0.0%
Verisure
Holding,
FRN,
3M
EURIBOR
+
5.00%,
5.00%,
4/15/25
(EUR) (2)
100,000
113
113
Government
Bonds
0.1%
Sweden
Government
Bond,
3.50%,
3/30/39
3,200,000
503
503
Total
Sweden
(Cost
$2,270
)
2,216
SWITZERLAND
0.1%
Common
Stocks
0.1%
Cie
Financiere
Richemont,
Class
A
484
70
Julius
Baer
Group
659
43
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
15
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Montana
Aerospace (1)
3,301
123
Nestle
1,065
138
Roche
Holding
156
60
Sophia
Genetics
(USD) (1)
9,365
110
Zurich
Insurance
Group
111
53
Total
Switzerland
(Cost
$609
)
597
TAIWAN
0.3%
Common
Stocks
0.3%
Taiwan
Semiconductor
Manufacturing
52,000
1,202
Total
Taiwan
(Cost
$1,119
)
1,202
THAILAND
0.1%
Government
Bonds
0.1%
Kingdom
of
Thailand,
3.60%,
6/17/67
10,500,000
341
Total
Thailand
(Cost
$388
)
341
TURKEY
0.1%
Government
Bonds
0.1%
Republic
of
Turkey,
11.70%,
11/13/30
9,100,000
410
Total
Turkey
(Cost
$827
)
410
UNITED
KINGDOM
2.7%
Bank
Loans
0.2%
(4)
Motion
Finco,
FRN,
1M
USD
LIBOR
+
3.25%,
3.474%,
11/12/26
(USD)
907,725
894
894
Common
Stocks
1.1%
Abcam (1)
906
16
Ashtead
Group
14,744
1,055
ASOS (1)
541
16
AstraZeneca,
ADR
(USD)
2,188
128
Compass
Group
4,448
101
Croda
International
287
31
Derwent
London
14,324
662
Direct
Line
Insurance
Group
6,881
29
Experian
13,648
570
Farfetch,
Class
A
(USD) (1)
1,951
42
Genuit
Group
6,384
50
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
16
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Helios
Towers (1)
6,217
13
London
Stock
Exchange
Group
10,165
995
Melrose
Industries
35,436
72
Mondi
1,773
44
Next
225
23
Novocure
(USD) (1)
235
16
Rentokil
Initial
8,048
56
Smiths
Group
4,378
92
Trainline (1)
60,386
183
Unilever
(EUR)
1,443
74
UNITE
Group
811
11
Weir
Group
4,111
97
Whitbread (1)
498
21
4,397
Corporate
Bonds
0.2%
eG
Global
Finance,
8.50%,
10/30/25
(USD) (2)
600,000
606
606
Government
Bonds
1.2%
United
Kingdom
Inflation-Linked
Gilt,
0.125%,
3/22/24
3,059,764
4,492
4,492
Total
United
Kingdom
(Cost
$10,726
)
10,389
UNITED
STATES
44.1%
Asset-Backed
Securities
1.3%
Amur
Equipment
Finance
Receivables
X,
Series
2022-1A,
Class
E,
5.02%,
12/20/28 (2)
465,000
465
Blackbird
Capital
Aircraft
Lease
Securitization,
Series
2016-1A,
Class
A,
STEP,
4.213%,
12/16/41 (2)
433,125
424
Cologix
Data
Centers
U.S.
Issuer,
Series
2021-1A,
Class
A2,
3.30%,
12/26/51 (2)
125,000
125
Elara
HGV
Timeshare
Issuer,
Series
2019-A,
Class
C,
3.45%,
1/25/34 (2)
80,292
79
ExteNet,
Series
2019-1A,
Class
B,
4.14%,
7/26/49 (2)
260,000
264
FOCUS
Brands
Funding,
Series
2018-1,
Class
A2,
5.184%,
10/30/48 (2)
766,300
793
Hardee's
Funding,
Series
2021-1A,
Class
A2,
2.865%,
6/20/51 (2)
268,650
262
JPMorgan
Chase
Bank,
Series
2021-3,
Class
E,
2.102%,
2/26/29 (2)
450,969
446
Morgan
Stanley
Eaton
Vance,
Series
2021-1A,
Class
D,
CLO,
FRN,
3M
USD
LIBOR
+
3.10%,
3.233%,
10/20/34 (2)
285,000
283
Neuberger
Berman
Loan
Advisers,
Series
2019-32A,
Class
ER,
CLO,
FRN,
3M
USD
LIBOR
+
6.10%,
6.348%,
1/20/32 (2)
350,000
347
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
17
Shares/Par
$
Value
(Cost
and
value
in
$000s)
OCP,
Series
2021-21A,
Class
D,
CLO,
FRN,
3M
USD
LIBOR
+
2.95%,
3.204%,
7/20/34 (2)
150,000
149
Octane
Receivables
Trust,
Series
2021-2A,
Class
A,
1.21%,
9/20/28 (2)
91,816
91
Octane
Receivables
Trust,
Series
2021-2A,
Class
C,
2.53%,
5/21/29 (2)
320,000
317
Palmer
Square,
Series
2021-3A,
Class
E,
CLO,
FRN,
3M
USD
LIBOR
+
6.15%,
6.382%,
1/15/35 (2)
250,000
249
Peace
Park,
Series
2021-1A,
Class
D,
CLO,
FRN,
3M
USD
LIBOR
+
2.95%,
3.204%,
10/20/34 (2)
510,000
505
Stonepeak
ABS,
Series
2021-1A,
Class
B,
3.821%,
2/28/33 (2)
383,713
376
5,175
Bank
Loans
12.4%
(4)
Agiliti
Health,
FRN,
1M
USD
LIBOR
+
2.75%,
3.50%,
1/4/26 (5)
392,232
391
Applied
Systems,
FRN,
1M
USD
LIBOR
+
3.00%,
3.50%,
9/19/24
798,385
797
Applied
Systems,
FRN,
1M
USD
LIBOR
+
5.50%,
6.25%,
9/19/25
375,000
377
Aretec
Group,
FRN,
3M
USD
LIBOR
+
4.25%,
4.355%,
10/1/25
89,769
90
ASP
Chromaflo
Intermediate
Holdings,
FRN,
3M
USD
LIBOR
+
3.50%,
4.50%,
11/20/23 (5)
759,928
759
Asurion,
FRN,
1M
USD
LIBOR
+
3.13%,
3.23%,
11/3/23
1,269,489
1,266
Asurion,
FRN,
1M
USD
LIBOR
+
5.25%,
5.355%,
1/31/28
101,879
102
Asurion,
FRN,
1M
USD
LIBOR
+
5.25%,
5.355%,
1/20/29
700,000
700
Bausch
Health
Americas,
FRN,
3M
USD
LIBOR
+
2.75%,
2.855%,
11/27/25 (7)
753,333
752
Camelot
U.S.
Acquisition,
FRN,
1M
USD
LIBOR
+
3.00%,
4.00%,
10/30/26
595,492
594
Cano
Health,
FRN,
1M
USD
LIBOR
+
4.50%,
5.25%,
11/23/27
109,724
110
Catalent
Pharma
Solutions,
FRN,
1M
USD
LIBOR
+
2.00%,
2.50%,
2/22/28
333,321
333
Charter
Next
Generation,
FRN,
1M
USD
LIBOR
+
3.75%,
4.50%,
12/1/27
610,545
611
CNT
Holdings
I,
FRN,
1M
USD
LIBOR
+
3.50%,
4.25%,
11/8/27
596,992
597
ConnectWise,
FRN,
1M
USD
LIBOR
+
3.50%,
4.00%,
9/29/28
1,200,000
1,197
Cvent,
FRN,
3M
USD
LIBOR
+
3.75%,
3.855%,
11/29/24
276,416
276
Delta
Topco,
FRN,
1M
USD
LIBOR
+
7.25%,
8.00%,
12/1/28
110,000
110
Diamond,
FRN,
1M
USD
LIBOR
+
3.00%,
3.50%,
9/29/28
520,000
518
ECI
Macola,
FRN,
1M
USD
LIBOR
+
3.75%,
4.50%,
11/9/27
432,167
432
Edelman
Financial
Engines
Center,
FRN,
3M
USD
LIBOR
+
6.75%,
6.855%,
7/20/26
805,000
807
Engineered
Machinery
Holdings,
FRN,
1M
USD
LIBOR
+
3.75%,
4.50%,
5/19/28
703,979
705
Engineered
Machinery
Holdings,
FRN,
1M
USD
LIBOR
+
6.00%,
6.75%,
5/21/29
465,000
468
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
18
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Engineered
Machinery
Holdings,
FRN,
1M
USD
LIBOR
+
6.50%,
7.25%,
5/21/29
145,000
146
Epicor
Software,
FRN,
1M
USD
LIBOR
+
7.75%,
8.75%,
7/31/28
330,000
336
Fertitta
Entertainment,
FRN,
SOFRRATE
+
4.00%,
1/12/29 (7)
500,000
501
Filtration
Group,
FRN,
1M
USD
LIBOR
+
3.50%,
3.605%,
10/21/28
847,875
846
Fleet
U.S.
Bidco,
FRN,
1M
USD
LIBOR
+
3.00%,
3.105%,
10/7/26 (5)
87,791
87
Forterra
Finance,
FRN,
3M
USD
LIBOR
+
3.00%,
4.00%,
10/25/23
984,692
983
Heartland
Dental,
FRN,
3M
USD
LIBOR
+
3.50%,
3.605%,
4/30/25
994,850
988
Hyland
Software,
FRN,
1M
USD
LIBOR
+
3.50%,
4.25%,
7/1/24
693,363
693
Infinite
Bidco,
FRN,
1M
USD
LIBOR
+
3.75%,
4.25%,
3/2/28
398,000
397
Infinite
Bidco,
FRN,
1M
USD
LIBOR
+
7.00%,
7.50%,
3/2/29
400,000
400
IRB
Holding,
FRN,
1M
USD
LIBOR
+
3.25%,
4.25%,
12/15/27
535,222
535
Loyalty
Ventures,
FRN,
1M
USD
LIBOR
+
4.50%,
5.00%,
11/3/27
480,000
479
McAfee,
FRN,
3M
USD
LIBOR
+
3.75%,
3.859%,
9/30/24
2,990,211
2,987
MED
ParentCo,
FRN,
1M
USD
LIBOR
+
4.25%,
4.355%,
8/31/26
621,819
621
MH
Sub
I,
FRN,
1M
USD
LIBOR
+
3.75%,
4.75%,
9/13/24
657,239
654
MH
Sub
I,
FRN,
1M
USD
LIBOR
+
6.25%,
6.355%,
2/23/29
300,000
301
MH
Sub
I,
FRN,
3M
USD
LIBOR
+
3.50%,
3.605%,
9/13/24
593,814
591
MIC
Glen,
FRN,
1M
USD
LIBOR
+
3.50%,
4.00%,
7/21/28
200,000
199
MIC
Glen,
FRN,
1M
USD
LIBOR
+
6.75%,
7.25%,
7/20/29
800,000
796
Mitchell
International,
FRN,
1M
USD
LIBOR
+
6.50%,
7.00%,
10/15/29 (7)
810,000
815
Mozart
Borrower,
FRN,
1M
USD
LIBOR
+
3.25%,
3.75%,
10/23/28
1,035,000
1,030
Mozart
Borrower,
FRN,
3M
EURIBOR
+
3.50%,
3.50%,
10/23/28
(EUR) (7)
135,000
152
Option
Care
Health,
FRN,
1M
USD
LIBOR
+
2.75%,
3.25%,
10/27/28
250,000
249
Osmose
Utilities
Services,
FRN,
1M
USD
LIBOR
+
3.25%,
3.75%,
6/23/28
598,500
595
PAE,
FRN,
1M
USD
LIBOR
+
4.50%,
10/19/27 (7)
1,994,962
1,994
PetSmart,
FRN,
1M
USD
LIBOR
+
3.75%,
4.50%,
2/11/28
597,000
596
Planview
Parent,
FRN,
1M
USD
LIBOR
+
4.00%,
4.75%,
12/17/27
769,240
770
Pro
Mach
Group,
FRN,
1M
USD
LIBOR
+
4.00%,
4.00%,
8/31/28
85,916
86
Pro
Mach
Group,
FRN,
1M
USD
LIBOR
+
4.00%,
5.00%,
8/31/28
529,085
530
Project
Ruby
Ultimate
Parent,
FRN,
1M
USD
LIBOR
+
3.25%,
4.00%,
3/10/28
596,246
594
Quest
Software
U.S.
Holdings,
FRN,
3M
USD
LIBOR
+
3.25%,
6.50%,
5/16/25
999,076
992
RealPage,
FRN,
1M
USD
LIBOR
+
3.25%,
3.75%,
4/24/28
1,610,963
1,602
RealPage,
FRN,
3M
USD
LIBOR
+
6.50%,
7.25%,
4/23/29
795,000
803
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
19
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Rent-A-Center,
FRN,
1M
USD
LIBOR
+
3.25%,
3.75%,
2/17/28
436,800
435
Rising
Tide
Holdings,
FRN,
1M
USD
LIBOR
+
8.25%,
9.00%,
6/1/29 (5)
400,000
392
S2P
Acquisition
Borrower,
FRN,
3M
USD
LIBOR
+
4.00%,
4.105%,
8/14/26
281,886
282
Scientific
Games
International,
FRN,
1M
USD
LIBOR
+
2.75%,
2.855%,
8/14/24
2,489,657
2,481
Sophia,
FRN,
1M
USD
LIBOR
+
3.50%,
4.00%,
10/7/27
1,007,357
1,006
Sotera
Health
Holdings,
FRN,
1M
USD
LIBOR
+
2.75%,
3.25%,
12/11/26
800,000
797
Sovos
Compliance,
FRN,
1M
USD
LIBOR
+
4.50%,
4.803%,
8/11/28
435,000
437
Tacala
Investment,
FRN,
1M
USD
LIBOR
+
3.50%,
4.25%,
2/5/27
497,416
497
Tacala
Investment,
FRN,
1M
USD
LIBOR
+
7.50%,
8.25%,
2/4/28
495,000
495
Travel
Leaders
Group,
FRN,
3M
USD
LIBOR
+
4.00%,
4.105%,
1/25/24
343,222
328
Triton
Water
Holdings,
FRN,
1M
USD
LIBOR
+
3.50%,
4.00%,
3/31/28
796,000
789
Wand
NewCo
3,
FRN,
1M
USD
LIBOR
+
3.00%,
3.175%,
2/5/26
919,428
905
Waystar
Technologies,
FRN,
1M
USD
LIBOR
+
4.00%,
4.105%,
10/22/26
253,709
253
Welbilt,
FRN,
3M
USD
LIBOR
+
2.50%,
2.605%,
10/23/25
1,600,000
1,595
William
Morris
Endeavor
Entertainment,
FRN,
3M
USD
LIBOR
+
2.75%,
2.86%,
5/18/25 (7)
775,805
761
Woof
Holdings,
FRN,
1M
USD
LIBOR
+
3.75%,
4.50%,
12/21/27
516,846
516
Woof
Holdings,
FRN,
1M
USD
LIBOR
+
7.25%,
8.00%,
12/21/28 (7)
580,000
583
Xplornet
Communications,
FRN,
1M
USD
LIBOR
+
4.00%,
4.50%,
10/2/28
164,588
164
Xplornet
Communications,
FRN,
1M
USD
LIBOR
+
7.00%,
7.50%,
10/1/29 (5)
110,000
110
48,166
Common
Stocks
16.1%
10X
Genomics,
Class
A (1)
181
17
7
Acquisition (1)
49,900
497
AbbVie
771
106
Acadia
Realty
Trust,
REIT
1,359
27
Advanced
Micro
Devices (1)
3,535
404
AGCO
218
26
Agilent
Technologies
677
94
Air
Lease
2,201
88
Air
Products
&
Chemicals
175
49
Airbnb,
Class
A (1)
160
25
Akoya
Biosciences (1)
1,837
21
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
20
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Alamo
Group
98
14
Alexandria
Real
Estate
Equities,
REIT
143
28
Allbirds,
Class
A (1)(3)
34,489
426
Allegiant
Travel (1)
220
39
Alnylam
Pharmaceuticals (1)
354
49
Alphabet,
Class
A (1)
421
1,139
Alphabet,
Class
C (1)
172
467
Amazon.com (1)
1,002
2,997
Ameren
435
39
American
Campus
Communities,
REIT
502
26
American
International
Group
1,894
109
American
Tower,
REIT
689
173
Amgen
234
53
Amphenol,
Class
A
581
46
Anthem
248
109
Apellis
Pharmaceuticals (1)
545
22
Apollo
Global
Management
740
52
Apple
7,607
1,330
Apple
Hospitality
REIT
1,577
25
Arena
Fortify
Acquisition,
Warrants,
12/31/28 (1)
24,620
10
Arena
Fortify
Acquisition,
Class
A (1)
49,240
486
Armstrong
World
Industries
446
44
Assurant
1,986
303
Atlassian,
Class
A (1)
3,207
1,040
Aurora
Innovation (1)(3)
258
1
AvalonBay
Communities,
REIT
1,657
405
Avantor (1)
1,122
42
Avery
Dennison
175
36
Axis
Capital
Holdings
893
51
Ball
1,125
109
Bank
of
America
3,508
162
Bank
of
New
York
Mellon
1,269
75
BankUnited
874
36
Barings
BDC
1,330
14
Battery
Future
Acquisition (1)
73,400
734
Beard
Energy
Transition
Acquisition (1)
74,100
742
Becton
Dickinson
&
Company
377
96
Belden
1,568
88
Bill.com
Holdings (1)
1,807
340
Biogen (1)
104
24
Black
Knight (1)
324
24
Block,
Class
A (1)
1,701
208
Blueprint
Medicines (1)
274
21
Boeing (1)
431
86
Booking
Holdings (1)
54
133
Bright
Horizons
Family
Solutions (1)
1,890
243
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
21
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Bruker
657
44
Bullpen
Parlay
Acquisition (1)
72,300
721
Burlington
Stores (1)
418
99
C4
Therapeutics (1)
832
20
Cactus,
Class
A
761
37
Camden
Property
Trust,
REIT
201
32
Canva,
Acquisition
Date:
8/16/21
-
12/22/21,
Cost $245 (1)(5)(6)
144
245
Capital
One
Financial
566
83
Capitalworks
Emerging
Markets
Acquisition (1)
72,800
728
Capri
Holdings (1)
758
46
Carvana (1)
237
38
Catalent (1)
336
35
Caterpillar
137
28
Cboe
Global
Markets
295
35
CC
Neuberger
Principal
Holdings
III,
Warrants,
12/31/27 (1)
8,398
6
CC
Neuberger
Principal
Holdings
III,
Class
A (1)
41,992
409
Cedar
Fair (1)
1,057
53
Centene (1)
1,188
92
Ceridian
HCM
Holding (1)
355
27
CF
Industries
Holdings
205
14
ChampionX (1)
1,065
24
Charles
Schwab
20,932
1,836
Charter
Communications,
Class
A (1)
311
185
Chevron
921
121
Chipotle
Mexican
Grill (1)
41
61
Chubb
634
125
Cigna
250
58
Citigroup
994
65
Citizens
Financial
Group
1,014
52
CME
Group
949
218
CMS
Energy
550
35
CNA
Financial
798
37
Coca-Cola
2,533
155
Comcast,
Class
A
3,062
153
Concord
Acquisition
Corp
III (1)
49,500
498
Confluent,
Class
A (1)(3)
1,190
78
ConocoPhillips
2,101
186
Cooper
72
29
Copart (1)
2,199
284
Costco
Wholesale
287
145
Coupa
Software (1)
958
129
Crown
Castle
International,
REIT
744
136
CubeSmart,
REIT
610
31
Cummins
663
146
Danaher
711
203
Darling
Ingredients (1)
504
32
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
22
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Datadog,
Class
A (1)
706
103
Deere
95
36
Definitive
Healthcare (1)
411
9
Denali
Therapeutics (1)
390
13
Devon
Energy
1,760
89
Dexcom (1)
86
37
Dime
Community
Bancshares
819
29
Dollar
General
352
73
Dominion
Energy
375
30
DoorDash,
Class
A (1)
3,090
351
Douglas
Emmett,
REIT
638
20
Doximity,
Class
A (1)
2,158
98
DraftKings,
Class
A (1)(3)
600
13
East
West
Bancorp
653
56
Element
Solutions
1,433
32
elf
Beauty (1)
1,162
34
Eli
Lilly
4,011
984
Encore
Capital
Group (1)
754
49
Entegris
522
63
EOG
Resources
1,112
124
EQRx,
Warrants,
12/31/28 (1)
2,200
2
Equinix,
REIT
176
128
Equitable
Holdings
1,467
49
Equity
LifeStyle
Properties,
REIT
394
31
Equity
Residential,
REIT
4,576
406
Essex
Property
Trust,
REIT
103
34
Estee
Lauder,
Class
A
1,920
599
Etsy (1)
725
114
Eucrates
Biomedical
Acquisition (1)
9,800
96
Eucrates
Biomedical
Acquisition,
Warrants,
12/14/25 (1)
3,266
1
Euronet
Worldwide (1)
509
68
Exact
Sciences (1)
7,239
553
Exelixis (1)
1,258
23
Expedia
Group (1)
4,368
801
Fate
Therapeutics (1)
364
15
FedEx
609
150
Fifth
Third
Bancorp
1,811
81
Figs,
Class
A (1)
1,600
36
First
American
Financial
302
23
Fiserv (1)
217
23
Five9 (1)
861
108
Floor
&
Decor
Holdings,
Class
A (1)
290
32
Fortive
949
67
Freshpet (1)
3,012
280
Games
&
Esports
Experience
Acquisition (1)
72,400
728
General
Electric
19,962
1,886
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
23
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Goldman
Sachs
Group
252
89
Green
Visor
Financial
Technology
Acquisition
I,
Warrants,
5/8/23 (1)
24,900
11
Green
Visor
Financial
Technology
Acquisition
I,
Class
A (1)
49,800
493
Guardant
Health (1)
317
22
Hanover
Insurance
Group
263
36
Hartford
Financial
Services
Group
1,007
72
HashiCorp,
Class
A (1)
564
37
HCA
Healthcare
314
75
Hess
524
48
Hilton
Worldwide
Holdings (1)
559
81
Hologic (1)
911
64
Home
BancShares
542
13
Home
Depot
795
292
Honeywell
International
377
77
Hubbell
172
32
HubSpot (1)
1,419
694
Humana
237
93
Huntington
Bancshares
6,154
93
IHS
Markit
7,752
905
Incyte (1)
777
58
Infinite
Acquisition (1)
74,909
749
Ingersoll
Rand
2,445
137
Insmed (1)
758
17
Insulet (1)
106
26
Intellia
Therapeutics (1)
173
16
International
Paper
1,155
56
Intuit
251
139
Intuitive
Surgical (1)
1,563
444
Ionis
Pharmaceuticals (1)
868
28
JB
Hunt
Transport
Services
326
63
JBG
SMITH
Properties,
REIT
789
22
Kadant
89
19
Kemper
434
26
Keurig
Dr
Pepper
1,237
47
Kilroy
Realty,
REIT
141
9
KKR
700
50
Kodiak
Sciences (1)
1,537
90
Leidos
Holdings
622
56
Liberty
Media
Acquisition,
Class
A (1)
10,040
101
Liberty
Media
Acquisition,
Class
A,
Warrants,
12/31/27 (1)
2,008
3
Liberty
Media-Liberty
Formula
One,
Class
C (1)
8,771
528
Linde
481
153
Littelfuse
267
72
Live
Nation
Entertainment (1)
683
75
Lululemon
Athletica (1)
147
49
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
24
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Magnolia
Oil
&
Gas,
Class
A
1,651
36
Marriott
International,
Class
A (1)
96
15
Marsh
&
McLennan
353
54
Martin
Marietta
Materials
82
32
Mastercard,
Class
A
2,796
1,080
McDonald's
461
120
McLaren
Technology
Acquisition,
Warrants,
3/3/23 (1)
24,800
8
McLaren
Technology
Acquisition,
Class
A (1)
49,600
491
Merck
1,219
99
Meta
Platforms,
Class
A (1)
2,745
860
MetLife
928
62
Mettler-Toledo
International (1)
20
29
MGM
Resorts
International
1,015
43
Microsoft
4,468
1,389
Middleby (1)
549
102
Mirati
Therapeutics (1)
273
33
Moderna (1)
352
60
Molina
Healthcare (1)
196
57
Mondelez
International,
Class
A
1,263
85
MongoDB (1)
831
337
Monster
Beverage (1)
586
51
Monte
Rosa
Therapeutics (1)(3)
1,188
15
Morgan
Stanley
744
76
Nabors
Energy
Transition (1)
50,400
510
nCino (1)
20
1
Netflix (1)
282
120
Neurocrine
Biosciences (1)
106
8
Nextdoor
Holdings (1)
323
2
NextEra
Energy
310
24
NexTier
Oilfield
Solutions (1)
3,461
21
NIKE,
Class
B
3,705
549
Norfolk
Southern
610
166
NVIDIA
1,976
484
Occidental
Petroleum
6,500
245
Okta (1)
2,270
449
Olaplex
Holdings (1)
4,675
102
Old
Dominion
Freight
Line
78
24
Ollie's
Bargain
Outlet
Holdings (1)
495
24
Onyx
Acquisition
I,
Warrants,
1/7/23 (1)
24,800
9
Onyx
Acquisition
I,
Class
A (1)
49,600
492
Opendoor
Technologies,
Class
A (1)
1,641
16
O'Reilly
Automotive (1)
87
57
Ortho
Clinical
Diagnostics
Holdings (1)
1,239
22
Outset
Medical (1)
280
10
PACCAR
489
45
Pacific
Biosciences
of
California (1)
805
9
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
25
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Pacific
Premier
Bancorp
742
28
Packaging
Corp.
of
America
554
83
Patreon,
Acquisition
Date:
10/14/21,
Cost $9 (1)(5)(6)
165
9
Paycom
Software (1)
240
80
Paycor
HCM (1)(3)
1,335
35
Paylocity
Holding (1)
629
128
PayPal
Holdings (1)
286
49
Penumbra (1)
167
38
Pfizer
3,550
187
Phreesia (1)
581
18
Pinnacle
Financial
Partners
574
56
Pinterest,
Class
A (1)
207
6
Pioneer
Natural
Resources
442
97
PNC
Financial
Services
Group
303
62
Popular
675
60
Power
&
Digital
Infrastructure
Acquisition
II (1)
73,800
742
PPG
Industries
199
31
PRA
Group (1)
577
27
PROCEPT
BioRobotics (1)
888
16
Procter
&
Gamble
833
134
Prologis,
REIT
416
65
PROOF
Acquisition
I (1)
72,800
731
Quaker
Chemical
501
105
Quanta
Services
260
27
Rapid
Micro
Biosystems,
Class
A (1)
2,365
17
Raymond
James
Financial
319
34
RCF
Acquisition (1)
49,700
498
RealReal (1)
1,376
13
Regency
Centers,
REIT
158
11
Regeneron
Pharmaceuticals (1)
123
75
RenaissanceRe
Holdings
306
48
Rent
the
Runway,
Class
A (1)
832
5
Rivian
Automotive,
Class
A (1)
7,789
512
ROBLOX,
Class
A (1)
5,188
342
Roper
Technologies
275
120
RPM
International
710
63
salesforce.com (1)
522
121
Sanderson
Farms
28
5
Sandy
Spring
Bancorp
306
14
SBA
Communications,
REIT
609
198
Sculptor
Acquisition
I (1)
72,241
722
Seacoast
Banking
1,154
42
Seagen (1)
323
43
Sealed
Air
1,407
96
Seaport
Global
Acquisition
II (1)
49,251
493
Seer (1)(3)
1,983
31
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
26
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Selective
Insurance
Group
443
35
Sempra
Energy
840
116
ServiceNow (1)
1,245
729
Sherwin-Williams
331
95
Shoals
Technologies
Group,
Class
A (1)
1,164
20
Shockwave
Medical (1)
294
43
Signature
Bank
2,754
839
SilverBox
Engaged
Merger
I,
Warrants,
12/31/27 (1)
2,221
3
SilverBox
Engaged
Merger
I,
Class
A (1)
6,663
66
Simon
Property
Group,
REIT
163
24
SL
Green
Realty,
REIT
262
19
Snap,
Class
A (1)
3,436
112
Snowflake,
Class
A (1)
520
143
Socure,
Acquisition
Date:
12/22/21,
Cost $1 (1)(5)(6)
89
1
Starbucks
902
89
State
Street
998
94
Stericycle (1)
1,251
73
Stoneridge (1)
785
15
Stryker
502
125
Sun
Country
Airlines
Holdings (1)
1,405
37
Sunstone
Hotel
Investors,
REIT (1)
1,763
20
Sweetgreen,
Class
A (1)(3)
2,308
70
Synopsys (1)
351
109
T-Mobile
U.S. (1)
7,372
797
Teleflex
134
42
Terreno
Realty,
REIT
340
25
Tesla (1)
827
775
Textron
1,009
69
Thermo
Fisher
Scientific
421
245
Thermon
Group
Holdings (1)
1,609
28
Timken
325
22
Toast,
Class
A (1)
2,053
47
Trade
Desk,
Class
A (1)
550
38
Trinity
Capital
886
15
Twilio,
Class
A (1)
829
171
UiPath,
Class
A (1)
5,080
186
Ultragenyx
Pharmaceutical (1)
2,130
149
United
Parcel
Service,
Class
B
1,122
227
UnitedHealth
Group
3,974
1,878
UTA
Acquisition (1)
48,300
480
Veeva
Systems,
Class
A (1)
248
59
Velocity
Acquisition,
Warrants,
2/26/27 (1)
8,054
4
Velocity
Acquisition,
Class
A (1)
24,163
234
VeriSign (1)
287
62
Vertex
Pharmaceuticals (1)
410
100
Virtus
Investment
Partners
120
31
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
27
Shares/Par
$
Value
(Cost
and
value
in
$000s)
VMG
Consumer
Acquisition (1)
49,232
495
Voya
Financial
653
44
Vulcan
Materials
168
32
Walt
Disney (1)
584
83
Warby
Parker,
Class
A (1)
710
26
Warner
Music
Group,
Class
A
727
31
Wayfair,
Class
A (1)(3)
100
16
Webster
Financial
753
43
Wells
Fargo
3,236
174
Welltower,
REIT
532
46
West
Pharmaceutical
Services
244
96
Western
Alliance
Bancorp
7,455
739
Westrock
533
25
Wingstop
220
34
Xcel
Energy
443
31
Xometry,
Class
A (1)(3)
680
35
Zentalis
Pharmaceuticals (1)
610
35
Zoom
Video
Communications,
Class
A (1)
2,389
369
62,456
Convertible
Bonds
0.3%
Air
Transport
Services
Group,
1.125%,
10/15/24
455,000
490
Apellis
Pharmaceuticals,
3.50%,
9/15/26
145,000
199
DISH
Network,
3.375%,
8/15/26
97,000
90
Liberty
Broadband,
2.75%,
9/30/50 (2)
45,000
46
Radius
Health,
3.00%,
9/1/24
375,000
363
1,188
Convertible
Preferred
Stocks
0.8%
ABL
Space
Systems,
Series
B-2,
Acquisition
Date:
10/22/21,
Cost $91 (1)(5)(6)
1,345
91
American
Electric
Power,
6.125%,
8/15/23
4,356
232
Becton
Dickinson
&
Company,
Series
B,
6.00%,
6/1/23 (3)
9,719
509
Canva,
Series
A,
Acquisition
Date:
11/4/21
-
12/17/21,
Cost $13 (1)(5)(6)
8
14
Canva,
Series
A-3,
Acquisition
Date:
12/17/21,
Cost $2 (1)(5)(6)
1
2
CELLINK,
Series
D,
Acquisition
Date:
1/20/22,
Cost $9 (1)(5)(6)
423
9
Coalition,
Series
E,
Acquisition
Date:
9/7/21,
Cost $23 (1)(5)(6)
1,376
23
Databricks,
Series
H,
Acquisition
Date:
8/31/21,
Cost $60 (1)(5)
(6)
272
60
Dominion
Energy,
Series
A,
7.25%,
6/1/22
1,784
180
DTE
Energy,
6.25%,
11/1/22
5,355
274
Eikon
Therapeutics,
Series
B,
Acquisition
Date:
12/3/21,
Cost $6 (1)(5)(6)
330
6
Epirus,
Series
C-2,
Acquisition
Date:
1/28/22,
Cost $11 (1)(5)(6)
1,889
11
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
28
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Formagrid,
Series
F,
Acquisition
Date:
12/8/21,
Cost $42 (1)(5)
(6)
222
42
Freenome
Holdings,
Series
D,
Acquisition
Date:
11/22/21,
Cost $26 (1)(5)(6)
3,412
26
Generate
Bio,
Series
B,
Acquisition
Date:
9/2/21,
Cost $8 (1)(5)
(6)
666
8
Kobold
Metals,
Series
B-1,
Acquisition
Date:
1/10/22,
Cost $11 (1)(5)(6)
384
11
Laronde,
Series
B,
Acquisition
Date:
7/28/21,
Cost $5 (1)(5)(6)
162
5
Lilac
Solutions,
Series
B,
Acquisition
Date:
9/8/21,
Cost $15 (1)
(5)(6)
1,156
15
NextEra
Energy,
5.279%,
3/1/23
1,569
79
Nuro,
Series
D,
Acquisition
Date:
10/29/21,
Cost $26 (1)(5)(6)
1,232
26
Patreon,
Series
D,
Acquisition
Date:
10/21/21,
Cost $13 (1)(5)(6)
238
13
Rappi,
Series
E,
Acquisition
Date:
9/8/20,
Cost $109 (1)(5)(6)
1,822
103
Rappi,
Series
F,
Acquisition
Date:
7/8/21,
Cost $34 (1)(5)(6)
534
30
RBC
Bearings,
Series
A,
5.00%,
10/15/24
3,630
348
Socure,
Series
A,
Acquisition
Date:
12/22/21,
Cost $2 (1)(5)(6)
109
2
Socure,
Series
A-1,
Acquisition
Date:
12/22/21,
Cost $1 (1)(5)(6)
89
1
Socure,
Series
B,
Acquisition
Date:
12/22/21,
Cost $— (1)(5)(6)
2
—
Socure,
Series
E,
Acquisition
Date:
10/27/21,
Cost $3 (1)(5)(6)
207
3
Southern,
Series
2019,
6.75%,
8/1/22
6,710
358
Spire,
Series
A,
7.50%,
3/1/24
7,797
390
UGI,
7.25%,
6/1/24
3,962
413
3,284
Corporate
Bonds
7.4%
AdaptHealth,
5.125%,
3/1/30 (2)
220,000
216
Altera
Infrastructure,
8.50%,
7/15/23 (2)
170,000
90
American
Airlines,
5.50%,
4/20/26 (2)
500,000
511
American
Airlines,
5.75%,
4/20/29 (2)
280,000
287
American
Airlines,
11.75%,
7/15/25 (2)
240,000
291
Ardagh
Packaging
Finance,
5.25%,
4/30/25 (2)
2,400,000
2,445
Bausch
Health,
6.125%,
4/15/25 (2)
2,136,000
2,173
Bausch
Health
Americas,
9.25%,
4/1/26 (2)
800,000
826
Calpine,
3.75%,
3/1/31 (2)
915,000
830
Cano
Health,
6.25%,
10/1/28 (2)
200,000
192
Carnival,
6.00%,
5/1/29 (2)
410,000
391
CD&R
Smokey
Buyer,
6.75%,
7/15/25 (2)
170,000
176
Change
Healthcare
Holdings,
5.75%,
3/1/25 (2)
2,400,000
2,406
DISH
DBS,
5.125%,
6/1/29
795,000
694
Exterran
Energy
Solutions,
8.125%,
5/1/25
375,000
374
Forterra
Finance,
6.50%,
7/15/25 (2)
800,000
835
FXI
Holdings,
12.25%,
11/15/26 (2)
800,000
874
Global
Net
Lease,
3.75%,
12/15/27 (2)
800,000
768
GPD,
10.125%,
4/1/26 (2)
450,000
475
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
29
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Hightower
Holding,
6.75%,
4/15/29 (2)
245,000
247
Home
Point
Capital,
5.00%,
2/1/26 (2)(3)
285,000
246
Jane
Street
Group,
4.50%,
11/15/29 (2)
520,000
508
LCPR
Senior
Secured
Financing,
5.125%,
7/15/29 (2)
430,000
421
LSF9
Atlantis
Holdings,
7.75%,
2/15/26 (2)
290,000
278
Mozart
Debt
Merger,
5.25%,
10/1/29 (2)
405,000
393
NGL
Energy
Operating,
7.50%,
2/1/26 (2)
415,000
418
NGL
Energy
Partners,
7.50%,
11/1/23
35,000
34
Option
Care
Health,
4.375%,
10/31/29 (2)
815,000
795
Pacific
Gas
&
Electric,
4.95%,
7/1/50
155,000
158
Papa
John's
International,
3.875%,
9/15/29 (2)
405,000
386
PetSmart,
7.75%,
2/15/29 (2)
500,000
536
PG&E,
5.00%,
7/1/28
40,000
40
Photo
Holdings
Merger
Sub,
8.50%,
10/1/26 (2)
530,000
531
Plantronics,
4.75%,
3/1/29 (2)(3)
650,000
588
PRA
Group,
7.375%,
9/1/25 (2)
395,000
417
Rivian
Holdings,
FRN,
6M
USD
LIBOR
+
5.625%,
6.625%,
10/15/26 (2)(5)
810,000
821
Scientific
Games
International,
8.25%,
3/15/26 (2)
400,000
417
Service
Properties
Trust,
4.65%,
3/15/24 (3)
300,000
292
Service
Properties
Trust,
7.50%,
9/15/25
600,000
630
Southwestern
Energy,
4.75%,
2/1/32
355,000
354
Tenneco,
5.125%,
4/15/29 (2)
405,000
378
Transocean
Phoenix
2,
7.75%,
10/15/24 (2)
55,000
55
Transocean
Pontus,
6.125%,
8/1/25 (2)
26,800
26
Transocean
Proteus,
6.25%,
12/1/24 (2)
212,500
210
Tronox,
6.50%,
5/1/25 (2)
600,000
621
Tutor
Perini,
6.875%,
5/1/25 (2)(3)
500,000
494
U.S.
Airways
PTT,
Series
2013-1,
Class
A,
3.95%,
11/15/25
53,509
53
UAL
PTT,
Series
2007-1,
6.636%,
7/2/22
219,619
224
United
Airlines,
4.375%,
4/15/26 (2)
600,000
594
United
Airlines,
4.625%,
4/15/29 (2)
150,000
149
Verizon
Communications,
3.55%,
3/22/51
150,000
151
Verscend
Escrow,
EC,
9.75%,
8/15/26 (2)
1,000,000
1,050
Vistra,
VR,
7.00% (2)(8)(10)
115,000
114
Vistra,
VR,
8.00% (2)(8)(10)
205,000
215
Welbilt,
9.50%,
2/15/24 (3)
800,000
803
WeWork,
7.875%,
5/1/25 (2)
235,000
217
28,718
Equity
Mutual
Funds
0.7%
Invesco
Senior
Loan
ETF (3)
125,000
2,747
2,747
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
30
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Municipal
Securities
0.6%
Colorado
HFA,
Covenant
Living
Community,
Series
B,
4.48%,
12/1/40
250,000
269
Illinois,
Build
America,
GO,
7.10%,
7/1/35
165,000
209
Michigan
Tobacco
Settlement
Fin.
Auth.,
Series
B,
Zero
Coupon,
6/1/46
30,000
4
Port
Beaumont
Navigation
Dist.,
Jefferson
Gulf
Coast,
Series
B,
6.00%,
1/1/25 (2)
225,000
232
Puerto
Rico
Commonwealth,
Public
Improvement,
Series
A,
GO,
5.25%,
7/1/37 (1)(11)
240,000
242
Puerto
Rico
Commonwealth,
Public
Improvement,
Series
A-PSA,
GO,
8.00%,
7/1/35 (1)(11)
225,000
203
Puerto
Rico
Commonwealth,
Public
Improvement,
Series
C,
GO,
6.00%,
7/1/39 (1)(11)
340,000
340
Puerto
Rico
Commonwealth,
Public
Improvement,
Series
E,
GO,
5.50%,
7/1/31 (1)(11)
215,000
215
Puerto
Rico
Commonwealth,
Public
Improvement,
Unrefunded
Balance,
Series
A,
GO,
5.125%,
7/1/31 (1)(11)
105,000
105
Tobacco
Settlement
Fin.,
Series
A-1,
6.706%,
6/1/46
290,000
301
Tobacco
Settlement
Fin.
Auth.,
Series
B,
4.875%,
6/1/49
115,000
119
Tobacco
Settlement
Fin.
Auth.,
Series
B,
Zero
Coupon,
6/1/47
500,000
53
2,292
Non-U.S.
Government
Mortgage-Backed
Securities
1.5%
BAMLL
Commercial
Mortgage
Securities
Trust,
Series
2021-
JACX,
Class
D,
ARM,
1M
USD
LIBOR
+
2.75%,
2.856%,
9/15/38 (2)
515,000
515
BAMLL
Commercial
Mortgage
Securities
Trust,
Series
2021-
JACX,
Class
E,
ARM,
1M
USD
LIBOR
+
3.75%,
3.856%,
9/15/38 (2)
100,000
100
BBCMS
Mortgage
Trust,
Series
2019-BWAY,
Class
E,
ARM,
1M
USD
LIBOR
+
2.85%,
2.956%,
11/15/34 (2)
130,000
123
BFLD,
Series
2019-DPLO,
Class
F,
ARM,
1M
USD
LIBOR
+
2.54%,
2.646%,
10/15/34 (2)
85,000
82
BPR
Trust,
Series
2021-NRD,
Class
E,
ARM,
SOFR30A
+
5.621%,
5.671%,
12/15/23 (2)
175,000
175
BX
Commercial
Mortgage
Trust,
Series
2019-IMC,
Class
E,
ARM,
1M
USD
LIBOR
+
2.15%,
2.256%,
4/15/34 (2)
160,000
158
BX
Trust,
Series
2021-VIEW,
Class
F,
ARM,
1M
USD
LIBOR
+
3.93%,
4.036%,
6/15/23 (2)
160,000
160
CAFL,
Series
2021-RTL1,
Class
A2,
CMO,
STEP,
3.104%,
3/28/29 (2)
830,000
809
Cantor
Commercial
Real
Estate
Lending,
Series
2019-CF1,
Class
65C,
ARM,
4.123%,
5/15/52 (2)
125,000
120
Cantor
Commercial
Real
Estate
Lending,
Series
2019-CF1,
Class
65D,
ARM,
4.66%,
5/15/52 (2)
80,000
71
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
31
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Commercial
Mortgage
Trust,
Series
2014-CR19,
Class
E,
ARM,
4.203%,
8/10/47 (2)
175,000
161
Connecticut
Avenue
Securities,
Series
2022-R01,
Class
1B1,
CMO,
ARM,
SOFR30A
+
3.15%,
3.20%,
12/25/41 (2)
480,000
476
Credit
Suisse
Mortgage
Trust,
Series
2020-TMIC,
Class
C,
ARM,
1M
USD
LIBOR
+
6.75%,
7.00%,
12/15/35 (2)
100,000
102
Deephaven
Residential
Mortgage
Trust,
Series
2021-2,
Class
B1,
CMO,
ARM,
3.174%,
4/25/66 (2)
135,000
132
Ellington
Financial
Mortgage
Trust,
Series
2021-2,
Class
B1,
CMO,
ARM,
3.202%,
6/25/66 (2)
265,000
257
Great
Wolf
Trust,
Series
2019-WOLF,
Class
F,
ARM,
1M
USD
LIBOR
+
3.131%,
3.237%,
12/15/36 (2)
180,000
173
SLIDE,
Series
2018-FUN,
Class
E,
ARM,
1M
USD
LIBOR
+
2.55%,
2.656%,
6/15/31 (2)
998,181
968
ZH
Trust,
Series
2021-2,
Class
A,
CMO,
2.349%,
10/17/27 (2)
805,000
792
ZH
Trust,
Series
2021-2,
Class
B,
CMO,
3.506%,
10/17/27 (2)
390,000
370
5,744
U.S.
Government
Agency
Obligations
(Excluding
Mortgage-Backed)
3.0%
U.S.
Treasury
Bonds,
1.875%,
11/15/51
2,915,000
2,764
U.S.
Treasury
Bonds,
7.25%,
8/15/22
4,250,000
4,398
U.S.
Treasury
Notes,
1.625%,
11/15/22
4,490,000
4,522
11,684
Total
United
States
(Cost
$173,033
)
171,454
SHORT-TERM
INVESTMENTS
26.0%
Money
Market
Funds
26.0%
T.
Rowe
Price
Government
Reserve
Fund,
0.09% (12)(13)
100,813,954
100,814
Total
Short-Term
Investments
(Cost
$100,814)
100,814
SECURITIES
LENDING
COLLATERAL
1.9%
INVESTMENTS
IN
A
POOLED
ACCOUNT
THROUGH
SECURITIES
LENDING
PROGRAM
WITH
JPMORGAN
CHASE
BANK
0.3%
Money
Market
Funds
0.3%
T.
Rowe
Price
Government
Reserve
Fund,
0.09% (12)(13)
1,143,836
1,144
Total
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
JPMorgan
Chase
Bank
1,144
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
32
Shares/Par
$
Value
(Cost
and
value
in
$000s)
INVESTMENTS
IN
A
POOLED
ACCOUNT
THROUGH
SECURITIES
LENDING
PROGRAM
WITH
STATE
STREET
BANK
AND
TRUST
COMPANY
1.6%
Money
Market
Funds
1.6%
T.
Rowe
Price
Government
Reserve
Fund,
0.09% (12)(13)
6,090,485
6,090
Total
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
State
Street
Bank
and
Trust
Company
6,090
Total
Securities
Lending
Collateral
(Cost
$7,234)
7,234
(Amounts
in
000s,
except
for
contracts)
OPTIONS
PURCHASED
0.2%
Exchange-Traded
Options
Purchased
0
.1
%
Description
Contracts
Notional
Amount
$
Value
Cloudflare,
Put,
4/14/22
@
$65.00 (1)
167
1,610
41
GameStop,
Put,
4/14/22
@
$70.00 (1)
75
817
47
GameStop,
Put,
5/20/22
@
$55.00 (1)
97
1,057
47
iShares
5-10
Year
Investment
Grade
Corporate
Bond
ETF,
Put,
7/15/22
@
$54.87 (1)
2,087
12,067
84
NVIDIA,
Put,
4/14/22
@
$170.00 (1)
156
3,820
40
U.S.
Treasury
10-Year
Notes
Futures,
Call,
2/18/22
@
$130.00 (1)
36
4,607
2
U.S.
Treasury
Long-Term
Bonds
Futures,
Call,
2/18/22
@
$158.00 (1)
43
6,692
21
Total
Exchange-Traded
Options
Purchased
(Cost
$563)
282
OTC
Options
Purchased
0
.1
%
Counterparty
Description
Contracts
Notional
Amount
$
Value
Bank
of
America
5
Year
Interest
Rate
Swap,
11/17/27
Pay
Fixed
2.00%
Semi-
Annually,
Receive
Variable
0.309%
(3M
USD
LIBOR)
Quarterly,
11/15/22
@
2.00%* (1)
1
6,175
70
Citibank
10
Year
Interest
Rate
Swap,
8/8/32
Pay
Fixed
2.00%
Semi-
Annually,
Receive
Variable
0.309%
(3M
USD
LIBOR)
Quarterly,
8/4/22
@
2.00%* (1)
1
5,500
103
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
33
(Amounts
in
000s,
except
for
contracts)
Counterparty
Description
Contracts
Notional
Amount
$
Value
Credit
Suisse
Credit
Default
Swap,
Protection
Bought
(Relevant
Credit:
Markit
CDX.
NA.IG-S37,
5
Year
Index,
12/20/26),
Pay
1.00%
Quarterly,
Received
upon
credit
default,
4/20/22
@
0.80%* (1)
1
5,450
9
Credit
Suisse
Credit
Default
Swap,
Protection
Bought
(Relevant
Credit:
Markit
CDX.
NA.IG-S37,
5
Year
Index,
12/20/26),
Pay
1.00%
Quarterly,
Received
upon
credit
default,
5/18/22
@
0.90%* (1)
1
5,450
9
HSBC
Bank
USD
Call
/
KRW
Put,
5/2/22
@
1,225.00
(KRW) (1)
1
2,070
19
JPMorgan
Chase
iShares
iBoxx
High
Yield
Corporate
Bond
ETF,
Put,
4/14/22
@
$81.00 (1)
380
3,219
36
Morgan
Stanley
30
Year
Interest
Rate
Swap,
11/16/52
Pay
Fixed
2.20%
Semi-
Annually,
Receive
Variable
0.309%
(3M
USD
LIBOR)
Quarterly,
11/14/22
@
2.20%* (1)
2
1,995
80
Morgan
Stanley
30
Year
Interest
Rate
Swap,
11/17/52
Pay
Fixed
2.20%
Semi-
Annually,
Receive
Variable
0.309%
(3M
USD
LIBOR)
Quarterly,
11/15/22
@
2.20%* (1)
1
725
29
Morgan
Stanley
NASDAQ
100
Index,
Call,
2/18/22
@
$16,475.00 (1)
5
7,465
3
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
34
(Amounts
in
000s,
except
for
contracts)
Counterparty
Description
Contracts
Notional
Amount
$
Value
Morgan
Stanley
NASDAQ
100
Index,
Put,
6/17/22
@
$12,400.00 (1)
1
1,493
31
Morgan
Stanley
NASDAQ
100
Index,
Put,
6/17/22
@
$13,000.00 (1)
2
2,986
72
Morgan
Stanley
NASDAQ
100
Index,
Put,
6/17/22
@
$14,600.00 (1)
1
1,493
83
Morgan
Stanley
Russell
2000
Index,
Put,
2/28/22
@
$1,900.00 (1)
15
3,043
42
Total
OTC
Options
Purchased
(Cost
$612)
586
Total
Options
Purchased
(Cost
$1,175)
868
Total
Investments
in
Securities
95.1%
(Cost
$378,238)
$
369,395
Other
Assets
Less
Liabilities
4.9%
19,037
Net
Assets
100.0%
$
388,432
‡
Country
classifications
are
generally
based
on
MSCI
categories
or
another
unaffiliated
third
party
data
provider;
Shares/Par
and
Notional
Amount
are
denominated
in
the
currency
of
the
country
presented
unless
otherwise
noted.
*
Exercise
Spread
(1)
Non-income
producing
(2)
Security
was
purchased
pursuant
to
Rule
144A
under
the
Securities
Act
of
1933
and
may
be
resold
in
transactions
exempt
from
registration
only
to
qualified
institutional
buyers.
Total
value
of
such
securities
at
period-end
amounts
to
$42,933
and
represents
11.1%
of
net
assets.
(3)
All
or
a
portion
of
this
security
is
on
loan
at
January
31,
2022.
(4)
Bank
loan
positions
may
involve
multiple
underlying
tranches.
In
those
instances,
the
position
presented
reflects
the
aggregate
of
those
respective
underlying
tranches
and
the
rate
presented
reflects
the
weighted
average
rate
of
the
settled
positions.
(5)
Level
3
in
fair
value
hierarchy.
(6)
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
$763
and
represents
0.2%
of
net
assets.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
35
.
.
.
.
.
.
.
.
.
.
(7)
All
or
a
portion
of
this
loan
is
unsettled
as
of
January
31,
2022.
The
interest
rate
for
unsettled
loans
will
be
determined
upon
settlement
after
period
end.
(8)
Security
is
a
fix-to-float
security,
which
carries
a
fixed
coupon
until
a
certain
date,
upon
which
it
switches
to
a
floating
rate.
Reference
rate
and
spread
are
provided
if
the
rate
is
currently
floating.
(9)
Security
is
in
default
or
has
failed
to
make
a
scheduled
interest
and/or
principal
payment.
(10)
Perpetual
security
with
no
stated
maturity
date.
(11)
Issuer
is
currently
in
a
bankruptcy
reorganization
proceeding;
the
amount
and
timing
of
future
distributions
is
uncertain.
(12)
Seven-day
yield
(13)
Affiliated
Companies
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
NDBB
One
month
NZD
bank
bill
1M
NOK
NIBOR
One
month
NOK
NIBOR
(Norwegian
interbank
offered
rate)
1M
SEK
STIBOR
One
month
SEK
STIBOR
(Stockholm
interbank
offered
rate)
1M
USD
LIBOR
One
month
USD
LIBOR
(London
interbank
offered
rate)
3M
CAD
CDOR
Three
month
CAD
CDOR
(Canadian
Dollar
offered
rate)
3M
EURIBOR
Three
month
EURIBOR
(Euro
interbank
offered
rate)
3M
HKD
HIBOR
Three
month
HKD
HIBOR
(Hong
Kong
interbank
offered
rate)
3M
KWCDC
Three
month
KRW
certificate
of
deposit
3M
USD
LIBOR
Three
month
USD
LIBOR
(London
interbank
offered
rate)
6M
BBSW
Six
month
AUD
bank
bill
swap
rate
6M
PLN
WIBOR
Six
month
PLN
WIBOR
(Warsaw
interbank
offered
rate)
6M
USD
LIBOR
Six
month
USD
LIBOR
(London
interbank
offered
rate)
1M
ADBB
One
month
AUD
bank
bill
ADR
American
Depositary
Receipts
ARM
Adjustable
Rate
Mortgage
(ARM);
rate
shown
is
effective
rate
at
period-end.
The
rates
for
certain
ARMs
are
not
based
on
a
published
reference
rate
and
spread
but
may
be
determined
using
a
formula
based
on
the
rates
of
the
underlying
loans.
AUD
Australian
Dollar
BRL
Brazilian
Real
BRL
CDI
One
day
Brazilian
interbank
deposit
rate
CAD
Canadian
Dollar
CHF
Swiss
Franc
CLO
Collateralized
Loan
Obligation
CLP
Chilean
Peso
CMO
Collateralized
Mortgage
Obligation
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
36
.
.
.
.
.
.
.
.
.
.
CNH
Offshore
China
Renminbi
COP
Colombian
Peso
CPI
Consumer
Price
Index
CVA
Dutch
Certificate
(Certificaten
Van
Aandelen)
CZK
Czech
Koruna
EC
Escrow
CUSIP;
represents
a
beneficial
interest
in
a
residual
pool
of
assets;
the
amount
and
timing
of
future
distributions,
if
any,
is
uncertain;
when
presented,
interest
rate
and
maturity
date
are
those
of
the
original
security.
EGP
Egyptian
Pound
ESTR
Euro
short-term
rate
ETF
Exchange-Traded
Fund
EUR
Euro
FRN
Floating
Rate
Note
GBP
British
Pound
GBP
SONIA
Sterling
Overnight
Index
Average
GO
General
Obligation
HFA
Health
Facility
Authority
HKD
Hong
Kong
Dollar
HUF
Hungarian
Forint
IDR
Indonesian
Rupiah
ILS
Israeli
Shekel
INR
Indian
Rupee
JPY
Japanese
Yen
KRW
South
Korean
Won
MXIBTIIE
Mexican
Interbank
28
day
interest
rate
MXN
Mexican
Peso
MYR
Malaysian
Ringgit
NOK
Norwegian
Krone
NZD
New
Zealand
Dollar
OTC
Over-the-counter
PHP
Philippines
Peso
PLN
Polish
Zloty
PRIME
Prime
rate
PTT
Pass-Through
Trust
REIT
A
domestic
Real
Estate
Investment
Trust
whose
distributions
pass-through
with
original
tax
character
to
the
shareholder
RSD
Serbian
Dinar
RUB
Russian
Ruble
SEK
Swedish
Krona
SOFR
Secured
overnight
financing
rate
SOFR30A
30-day
Average
SOFR
(Secured
overnight
financing
rate)
STEP
Stepped
coupon
bond
for
which
the
coupon
rate
of
interest
adjusts
on
specified
date(s);
rate
shown
is
effective
rate
at
period-end.
THB
Thai
Baht
TONA
Tokyo
overnight
average
rate
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
37
.
.
.
.
.
.
.
.
.
.
TRY
Turkish
Lira
TWD
Taiwan
Dollar
USD
U.S.
Dollar
VR
Variable
Rate;
rate
shown
is
effective
rate
at
period-end.
The
rates
for
certain
variable
rate
securities
are
not
based
on
a
published
reference
rate
and
spread
but
are
determined
by
the
issuer
or
agent
and
based
on
current
market
conditions.
ZAR
South
African
Rand
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
38
(Amounts
in
000s,
except
for
contracts)
OPTIONS
WRITTEN
(0.8)%
Exchange-Traded
Options
Written
(0.7)%
Description
Contracts
Notional
Amount
$
Value
iShares
iBoxx
High
Yield
Corporate
Bond
ETF,
Put,
2/18/22
@
$85.00
2,676
22,666
(
293
)
S&P
500
Index,
Call,
3/18/22
@
$4,450.00
134
60,508
(
2,205
)
U.S.
Treasury
Long-Term
Bonds
Futures,
Call,
2/18/22
@
$162.00
52
8,093
(
4
)
U.S.
Treasury
Long-Term
Bonds
Futures,
Put,
2/18/22
@
$162.00
52
8,093
(
336
)
Total
Exchange-Traded
Options
Written
(Premiums
$(2,356))
$
(
2,838
)
OTC
Options
Written
(0.1)%
Counterparty
Description
Contracts
Notional
Amount
$
Value
Barclays
Bank
NASDAQ
100
Index,
Put,
6/17/22
@
$16,000.00
1
1,493
(
150
)
Morgan
Stanley
S&P
500
Index,
Put,
6/17/22
@
$4,700.00
1
452
(
32
)
Total
OTC
Options
Written
(Premiums
$(127))
$
(
182
)
Total
Options
Written
(Premiums
$(2,483))
$
(
3,020
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
39
(Amounts
in
000s)
SWAPS
0.4%
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
**
Unrealized
$
Gain/(Loss)
BILATERAL
SWAPS
0.4%
Credit
Default
Swaps,
Protection
Bought
0.1%
France
(0.0)%
BNP
Paribas,
Protection
Bought
(Relevant
Credit:
Sanofi),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
6/20/26
190
(8)
(8)
—
Total
France
(8)
—
United
States
0.1%
Bank
of
America,
Protection
Bought
(Relevant
Credit:
Markit
CDX.NA.HY-S37,
5
Year
Index),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/20/26
250
(33)
(30)
(
3
)
Bank
of
America,
Protection
Bought
(Relevant
Credit:
Markit
CDX.NA.HY-S37,
5
Year
Index),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/21/26
1,675
(224)
(236)
12
BNP
Paribas,
Protection
Bought
(Relevant
Credit:
Netflix),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/20/26
50
(10)
(10)
—
Citibank,
Protection
Bought
(Relevant
Credit:
Netflix),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/20/26
30
30
(6)
36
Goldman
Sachs,
Protection
Bought
(Relevant
Credit:
Markit
CMBX.
NA.BBB-S14,
50
Year
Index),
Pay
3.00%
Monthly,
Receive
upon
credit
default,
12/16/72
1,000
67
48
19
JPMorgan
Chase,
Protection
Bought
(Relevant
Credit:
Markit
CDX.NA.HY-S37,
5
Year
Index),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/20/26
300
298
(39)
337
Morgan
Stanley,
Protection
Bought
(Relevant
Credit:
Markit
CMBX.
NA.BBB-S14,
50
Year
Index),
Pay
3.00%
Monthly,
Receive
upon
credit
default,
12/16/72
2,500
167
87
80
Total
United
States
(186)
481
Total
Bilateral
Credit
Default
Swaps,
Protection
Bought
(194)
481
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
40
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Credit
Default
Swaps,
Protection
Sold
0.0%
Luxembourg
0.0%
JPMorgan
Chase,
Protection
Sold
(Relevant
Credit:
ArcelorMittal,
Baa3*),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
12/20/25
345
58
63
(
5
)
Total
Luxembourg
63
(
5
)
Total
Bilateral
Credit
Default
Swaps,
Protection
Sold
63
(
5
)
Total
Return
Swaps
0.3%
Australia
(0.1)%
Morgan
Stanley,
Pay
Underlying
Reference:
Westpac
Banking
Monthly,
Receive
Variable
(0.389)%
(1M
ADBB
+
(0.40)%)
Monthly,
1/17/24
3,985
146
—
146
Morgan
Stanley,
Receive
Underlying
Reference:
ALS
Monthly,
Pay
Variable
0.561%
(1M
ADBB
+
0.55%)
Monthly,
1/17/24
155
(10)
—
(
10
)
Morgan
Stanley,
Receive
Underlying
Reference:
Australia
&
New
Zealand
Banking
Group
Monthly,
Pay
Variable
0.561%
(1M
ADBB
+
0.55%)
Monthly,
1/17/24
3,007
(164)
—
(
164
)
Morgan
Stanley,
Receive
Underlying
Reference:
IGO
Monthly,
Pay
Variable
0.561%
(1M
ADBB
+
0.55%)
Monthly,
1/17/24
583
(37)
—
(
37
)
UBS
Investment
Bank,
Receive
Underlying
Reference:
ALS
Monthly,
Pay
Variable
0.414%
(1M
ADBB
+
0.40%)
Monthly,
1/17/24
486
(33)
—
(
33
)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Challenger
Monthly,
Pay
Variable
0.414%
(1M
ADBB
+
0.40%)
Monthly,
1/17/24
466
(41)
—
(
41
)
Total
Australia
—
(
139
)
Austria
(0.0)%
Citibank,
Receive
Underlying
Reference:
BAWAG
Group
Monthly,
Pay
Variable
(0.177)%
(1M
EURIBOR
+
0.40%)
Monthly,
1/17/24
336
(4)
—
(
4
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
41
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
UBS
Investment
Bank,
Receive
Underlying
Reference:
BAWAG
Group
Monthly,
Pay
Variable
(0.227)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/17/24
270
(4)
—
(
4
)
Total
Austria
—
(
8
)
Bermuda
(0.0)%
Morgan
Stanley,
Pay
Underlying
Reference:
Signet
Jewelers
Monthly,
Receive
Variable
(0.160)%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
286
(7)
—
(
7
)
Morgan
Stanley,
Receive
Underlying
Reference:
IHS
Markit
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
1,042
(24)
—
(
24
)
Morgan
Stanley,
Receive
Underlying
Reference:
RenaissanceRe
Holdings
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
1,170
(90)
—
(
90
)
Total
Bermuda
—
(
121
)
Brazil
0.0%
Morgan
Stanley,
Receive
Underlying
Reference:
Magazine
Luiza
Monthly,
Pay
Variable
0.490%
(SOFR
+
0.45%)
Monthly,
1/18/24
45
1
—
1
Morgan
Stanley,
Receive
Underlying
Reference:
Magazine
Luiza
Monthly,
Pay
Variable
0.497%
(SOFR
+
0.45%)
Monthly,
1/18/24
97
5
—
5
Morgan
Stanley,
Receive
Underlying
Reference:
Magazine
Luiza
Monthly,
Pay
Variable
0.498%
(SOFR
+
0.45%)
Monthly,
1/18/24
95
11
—
11
Morgan
Stanley,
Receive
Underlying
Reference:
Magazine
Luiza
Monthly,
Pay
Variable
0.500%
(SOFR
+
0.45%)
Monthly,
1/18/24
50
(1)
—
(
1
)
Morgan
Stanley,
Receive
Underlying
Reference:
Magazine
Luiza
Monthly,
Pay
Variable
0.840%
(SOFR
+
0.80%)
Monthly,
1/18/24
99
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Unifique
Telecomunicacoes
Monthly,
Pay
Variable
0.490%
(SOFR
+
0.45%)
Monthly,
1/18/24
47
3
—
3
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
42
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Unifique
Telecomunicacoes
Monthly,
Pay
Variable
0.496%
(SOFR
+
0.45%)
Monthly,
1/18/24
100
6
—
6
Total
Brazil
—
25
Canada
0.0%
Bank
of
America,
Pay
Underlying
Reference:
First
Quantum
Minerals
Monthly,
Receive
Variable
0.263%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/17/24
41
3
—
3
Citibank,
Receive
Underlying
Reference:
Sprott
Physical
Gold
and
Silver
Trust
Monthly,
Pay
Variable
0.468%
(1M
CAD
CDOR
+
0.42%)
Monthly,
1/18/24
171
—
—
—
Citibank,
Receive
Underlying
Reference:
Waste
Connections
Monthly,
Pay
Variable
0.468%
(1M
CAD
CDOR
+
0.42%)
Monthly,
1/18/24
664
(17)
—
(
17
)
Goldman
Sachs,
Pay
Underlying
Reference:
Bank
of
Montreal
Monthly,
Receive
Variable
0.263%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/17/24
332
8
—
8
Goldman
Sachs,
Pay
Underlying
Reference:
First
Quantum
Minerals
Monthly,
Receive
Variable
0.263%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/17/24
1,080
75
—
75
Goldman
Sachs,
Pay
Underlying
Reference:
Royal
Bank
of
Canada
Monthly,
Receive
Variable
0.263%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/17/24
670
13
—
13
Goldman
Sachs,
Pay
Underlying
Reference:
Suncor
Energy
Monthly,
Receive
Variable
0.263%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/17/24
302
(4)
—
(
4
)
Morgan
Stanley,
Pay
Underlying
Reference:
Agnico
Eagle
Mines
Monthly,
Receive
Variable
(0.160)%
(1M
CAD
CDOR
+
(0.20)%)
Monthly,
1/18/24
998
50
—
50
Morgan
Stanley,
Pay
Underlying
Reference:
Agnico
Eagle
Mines
Monthly,
Receive
Variable
(0.160)%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
1,008
50
—
50
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
43
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Bank
of
Montreal
Monthly,
Receive
Variable
0.263%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/17/24
148
4
—
4
Morgan
Stanley,
Pay
Underlying
Reference:
Canadian
Imperial
Bank
of
Commerce
Monthly,
Receive
Variable
0.263%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/17/24
459
12
—
12
Morgan
Stanley,
Pay
Underlying
Reference:
Canadian
Natural
Resources
Monthly,
Receive
Variable
0.263%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/17/24
2,159
37
—
37
Morgan
Stanley,
Pay
Underlying
Reference:
Enbridge
Monthly,
Receive
Variable
0.263%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/17/24
430
(6)
—
(
6
)
Morgan
Stanley,
Pay
Underlying
Reference:
First
Quantum
Minerals
Monthly,
Receive
Variable
0.263%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/17/24
493
34
—
34
Morgan
Stanley,
Pay
Underlying
Reference:
Franco-Nevada
Monthly,
Receive
Variable
0.263%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/17/24
913
(23)
—
(
23
)
Morgan
Stanley,
Pay
Underlying
Reference:
Royal
Bank
of
Canada
Monthly,
Receive
Variable
0.263%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/17/24
913
18
—
18
Morgan
Stanley,
Pay
Underlying
Reference:
Suncor
Energy
Monthly,
Receive
Variable
0.263%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/17/24
381
(5)
—
(
5
)
Morgan
Stanley,
Receive
Underlying
Reference:
BRP
Monthly,
Pay
Variable
1.113%
(1M
CAD
CDOR
+
0.55%)
Monthly,
1/17/24
338
12
—
12
Morgan
Stanley,
Receive
Underlying
Reference:
Constellation
Software
Monthly,
Pay
Variable
1.213%
(1M
CAD
CDOR
+
0.65%)
Monthly,
1/17/24
852
(19)
—
(
19
)
Morgan
Stanley,
Receive
Underlying
Reference:
Franco-Nevada
Monthly,
Pay
Variable
0.447%
(1M
CAD
CDOR
+
0.40%)
Monthly,
1/18/24
660
11
—
11
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
44
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Kirkland
Lake
Gold
Monthly,
Pay
Variable
0.447%
(1M
CAD
CDOR
+
0.40%)
Monthly,
1/18/24
991
(49)
—
(
49
)
Morgan
Stanley,
Receive
Underlying
Reference:
Kirkland
Lake
Gold
Monthly,
Pay
Variable
0.447%
(SOFR
+
0.40%)
Monthly,
1/18/24
1,001
(50)
—
(
50
)
Morgan
Stanley,
Receive
Underlying
Reference:
National
Bank
of
Canada
Monthly,
Pay
Variable
1.133%
(1M
CAD
CDOR
+
0.57%)
Monthly,
1/17/24
2,357
(12)
—
(
12
)
Morgan
Stanley,
Receive
Underlying
Reference:
Sprott
Physical
Gold
and
Silver
Trust
Monthly,
Pay
Variable
0.447%
(1M
CAD
CDOR
+
0.40%)
Monthly,
1/18/24
88
(2)
—
(
2
)
Morgan
Stanley,
Receive
Underlying
Reference:
Sun
Life
Financial
Monthly,
Pay
Variable
1.113%
(1M
CAD
CDOR
+
0.55%)
Monthly,
1/17/24
870
(5)
—
(
5
)
Morgan
Stanley,
Receive
Underlying
Reference:
TMX
Group
Monthly,
Pay
Variable
1.113%
(1M
CAD
CDOR
+
0.55%)
Monthly,
1/17/24
384
7
—
7
Morgan
Stanley,
Receive
Underlying
Reference:
West
Fraser
Timber
Monthly,
Pay
Variable
0.447%
(1M
CAD
CDOR
+
0.40%)
Monthly,
1/18/24
342
(15)
—
(
15
)
Total
Canada
—
127
Cayman
Islands
0.1%
Goldman
Sachs,
Receive
Underlying
Reference:
Country
Garden
Services
Holdings
Monthly,
Pay
Variable
0.555%
(1M
HKD
HIBOR
+
0.40%)
Monthly,
1/17/24
(HKD)
2,548
55
—
55
Morgan
Stanley,
Receive
Underlying
Reference:
Budweiser
Brewing
Co
APAC
Monthly,
Pay
Variable
0.705%
(1M
HKD
HIBOR
+
0.55%)
Monthly,
1/17/24
(HKD)
2,337
12
—
12
Morgan
Stanley,
Receive
Underlying
Reference:
Health
Sciences
Acquisitions
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
6
—
—
—
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
45
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Helix
Acquisition,
Class
A
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
133
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Huazhu
Group
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
212
33
—
33
Morgan
Stanley,
Receive
Underlying
Reference:
Meituan,
Class
B
Monthly,
Pay
Variable
0.710%
(1M
HKD
HIBOR
+
0.55%)
Monthly,
1/17/24
(HKD)
727
5
—
5
Morgan
Stanley,
Receive
Underlying
Reference:
Meituan,
Class
B
Monthly,
Pay
Variable
0.715%
(1M
HKD
HIBOR
+
0.55%)
Monthly,
1/17/24
(HKD)
2,897
3
—
3
Morgan
Stanley,
Receive
Underlying
Reference:
Social
Capital
Hedosophia
Holdings
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
4
(1)
—
(
1
)
Morgan
Stanley,
Receive
Underlying
Reference:
Social
Capital
Hedosophia
Holdings,
Class
A
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
110
(2)
—
(
2
)
Morgan
Stanley,
Receive
Underlying
Reference:
Sports
Ventures
Acquisition
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
3
1
—
1
Morgan
Stanley,
Receive
Underlying
Reference:
Sports
Ventures
Acquisition,
Class
A
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
145
1
—
1
Morgan
Stanley,
Receive
Underlying
Reference:
Tencent
Holdings
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
460
40
—
40
UBS
Investment
Bank,
Receive
Underlying
Reference:
Budweiser
Brewing
Co
APAC
Monthly,
Pay
Variable
0.485%
(1M
HKD
HIBOR
+
0.35%)
Monthly,
1/17/24
(HKD)
1,196
(4)
—
(
4
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
46
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
UBS
Investment
Bank,
Receive
Underlying
Reference:
China
Overseas
Property
Holdings
Monthly,
Pay
Variable
0.485%
(1M
HKD
HIBOR
+
0.35%)
Monthly,
1/17/24
(HKD)
4,605
62
—
62
UBS
Investment
Bank,
Receive
Underlying
Reference:
China
Resources
Mixc
Lifestyle
Services
Monthly,
Pay
Variable
0.485%
(1M
HKD
HIBOR
+
0.35%)
Monthly,
1/17/24
(HKD)
3,474
89
—
89
UBS
Investment
Bank,
Receive
Underlying
Reference:
Country
Garden
Services
Holdings
Monthly,
Pay
Variable
0.485%
(1M
HKD
HIBOR
+
0.35%)
Monthly,
1/17/24
(HKD)
656
4
—
4
Total
Cayman
Islands
—
298
China
0.0%
Morgan
Stanley,
Receive
Underlying
Reference:
Jinke
Smart
Services
Group,
Class
H
Monthly,
Pay
Variable
0.705%
(1M
HKD
HIBOR
+
0.55%)
Monthly,
1/17/24
(HKD)
3,148
114
—
114
Morgan
Stanley,
Receive
Underlying
Reference:
TravelSky
Technology,
Class
H
Monthly,
Pay
Variable
0.705%
(1M
HKD
HIBOR
+
0.55%)
Monthly,
1/17/24
(HKD)
4,735
(4)
—
(
4
)
Morgan
Stanley,
Receive
Underlying
Reference:
Zhejiang
Runtu,
Class
A
Monthly,
Pay
Variable
3.775%
(1M
CNH
HIBOR
+
1.15%)
Monthly,
1/17/24
3,369
(47)
—
(
47
)
Total
China
—
63
Cyprus
(0.0)%
Morgan
Stanley,
Receive
Underlying
Reference:
TCS
Group
Holding
Monthly,
Pay
Variable
0.450%
(SOFR
+
0.40%)
Monthly,
1/18/24
102
2
—
2
UBS
Investment
Bank,
Receive
Underlying
Reference:
TCS
Group
Holding
Monthly,
Pay
Variable
0.398%
(1M
USD
LIBOR
+
0.35%)
Monthly,
1/18/24
635
(48)
—
(
48
)
Total
Cyprus
—
(
46
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
47
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Denmark
(0.0)%
Bank
of
America,
Receive
Underlying
Reference:
Coloplast,
Class
B
Monthly,
Pay
Variable
0.043%
(1M
DKK
CIBOR
+
0.40%)
Monthly,
1/17/24
1,665
(3)
—
(
3
)
Citibank,
Pay
Underlying
Reference:
AP
Moller
-
Maersk,
Class
B
Monthly,
Receive
Variable
(0.707)%
(1M
DKK
CIBOR
+
(0.35)%)
Monthly,
1/17/24
1,678
(4)
—
(
4
)
Citibank,
Pay
Underlying
Reference:
Tryg
Monthly,
Receive
Variable
(0.707)%
(1M
DKK
CIBOR
+
(0.35)%)
Monthly,
1/17/24
2,359
15
—
15
Goldman
Sachs,
Pay
Underlying
Reference:
AP
Moller
-
Maersk,
Class
B
Monthly,
Receive
Variable
(0.707)%
(1M
DKK
CIBOR
+
(0.35)%)
Monthly,
1/17/24
963
(5)
—
(
5
)
Morgan
Stanley,
Pay
Underlying
Reference:
GN
Store
Nord
Monthly,
Receive
Variable
(0.707)%
(1M
DKK
CIBOR
+
(0.35)%)
Monthly,
1/17/24
2,391
(15)
—
(
15
)
Morgan
Stanley,
Pay
Underlying
Reference:
Vestas
Wind
Systems
Monthly,
Receive
Variable
(0.707)%
(1M
DKK
CIBOR
+
(0.35)%)
Monthly,
1/17/24
852
4
—
4
Morgan
Stanley,
Receive
Underlying
Reference:
Genmab
Monthly,
Pay
Variable
(0.007)%
(1M
DKK
CIBOR
+
0.35%)
Monthly,
1/17/24
4,499
(18)
—
(
18
)
UBS
Investment
Bank,
Pay
Underlying
Reference:
DSV
Monthly,
Receive
Variable
(0.757)%
(1M
DKK
CIBOR
+
(0.40)%)
Monthly,
1/17/24
5,341
25
—
25
UBS
Investment
Bank,
Pay
Underlying
Reference:
Vestas
Wind
Systems
Monthly,
Receive
Variable
(0.757)%
(1M
DKK
CIBOR
+
(0.40)%)
Monthly,
1/17/24
1,606
4
—
4
UBS
Investment
Bank,
Receive
Underlying
Reference:
Royal
Unibrew
Monthly,
Pay
Variable
0.043%
(1M
DKK
CIBOR
+
0.40%)
Monthly,
1/17/24
2,928
(14)
—
(
14
)
Total
Denmark
—
(
11
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
48
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Finland
0.0%
Citibank,
Pay
Underlying
Reference:
Nordea
Bank
Monthly,
Receive
Variable
(0.414)%
(1M
SEK
STIBOR
+
(0.35)%)
Monthly,
1/17/24
(SEK)
4,221
11
—
11
Morgan
Stanley,
Receive
Underlying
Reference:
Stora
Enso,
R
Shares
Monthly,
Pay
Variable
(0.226)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/17/24
266
21
—
21
Total
Finland
—
32
France
0.0%
Bank
of
America,
Receive
Underlying
Reference:
Legrand
Monthly,
Pay
Variable
(0.226)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/17/24
415
(27)
—
(
27
)
Bank
of
America,
Receive
Underlying
Reference:
Thales
Monthly,
Pay
Variable
(0.226)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/17/24
254
(6)
—
(
6
)
Citibank,
Pay
Underlying
Reference:
Air
Liquide
Monthly,
Receive
Variable
(0.920)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/17/24
286
9
—
9
Citibank,
Pay
Underlying
Reference:
Hermes
International
Monthly,
Receive
Variable
(0.920)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/17/24
315
14
—
14
Citibank,
Receive
Underlying
Reference:
TotalEnergies
Monthly,
Pay
Variable
(0.177)%
(1M
EURIBOR
+
0.40%)
Monthly,
1/17/24
353
29
—
29
Citibank,
Receive
Underlying
Reference:
TotalEnergies
Monthly,
Pay
Variable
(0.170)%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
284
(7)
—
(
7
)
Goldman
Sachs,
Receive
Underlying
Reference:
Capgemini
Monthly,
Pay
Variable
(0.176)%
(1M
EURIBOR
+
0.40%)
Monthly,
1/17/24
544
(12)
—
(
12
)
JPMorgan
Chase,
Receive
Underlying
Reference:
Edenred
Monthly,
Pay
Variable
(0.226)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/17/24
280
(25)
—
(
25
)
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:
Cie
de
Saint-Gobain
Monthly,
Receive
Variable
(0.920)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/17/24
277
28
—
28
UBS
Investment
Bank,
Receive
Underlying
Reference:
Kering
Monthly,
Pay
Variable
(0.227)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/17/24
273
(17)
—
(
17
)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Sanofi
Monthly,
Pay
Variable
(0.227)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/17/24
641
32
—
32
Total
France
—
18
Germany
0.0%
Bank
of
America,
Pay
Underlying
Reference:
Brenntag
Monthly,
Receive
Variable
(0.920)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/17/24
588
19
—
19
Citibank,
Pay
Underlying
Reference:
Allianz
Monthly,
Receive
Variable
(0.920)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/17/24
1,263
(26)
—
(
26
)
Citibank,
Pay
Underlying
Reference:
E.ON
Monthly,
Receive
Variable
(0.920)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/17/24
307
(12)
—
(
12
)
Citibank,
Pay
Underlying
Reference:
HelloFresh
Monthly,
Receive
Variable
(0.920)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/17/24
375
(14)
—
(
14
)
Citibank,
Receive
Underlying
Reference:
KION
Group
Monthly,
Pay
Variable
(0.177)%
(1M
EURIBOR
+
0.40%)
Monthly,
1/17/24
280
(39)
—
(
39
)
Goldman
Sachs,
Receive
Underlying
Reference:
Bayer
Monthly,
Pay
Variable
(0.173)%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
286
15
—
15
Goldman
Sachs,
Receive
Underlying
Reference:
Deutsche
Boerse
Monthly,
Pay
Variable
(0.173)%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
648
(22)
—
(
22
)
Goldman
Sachs,
Receive
Underlying
Reference:
Deutsche
Boerse
Monthly,
Pay
Variable
(0.170)%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
201
3
—
3
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
50
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
JPMorgan
Chase,
Receive
Underlying
Reference:
Muenchener
Rueckversicherungs-Gesellschaft
AG
in
Muenchen
Monthly,
Pay
Variable
(0.226)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/17/24
538
14
—
14
Morgan
Stanley,
Pay
Underlying
Reference:
Hannover
Rueck
Monthly,
Receive
Variable
(0.920)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/17/24
89
(2)
—
(
2
)
Morgan
Stanley,
Receive
Underlying
Reference:
Vonovia
Monthly,
Pay
Variable
(0.226)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/17/24
722
47
—
47
UBS
Investment
Bank,
Pay
Underlying
Reference:
Hannover
Rueck
Monthly,
Receive
Variable
(0.970)%
(1M
EURIBOR
+
(0.40)%)
Monthly,
1/17/24
847
(21)
—
(
21
)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Zalando
Monthly,
Pay
Variable
(0.227)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/17/24
550
53
—
53
Total
Germany
—
15
Hong
Kong
(0.0)%
Morgan
Stanley,
Receive
Underlying
Reference:
AIA
Group
Monthly,
Pay
Variable
0.705%
(1M
HKD
HIBOR
+
0.55%)
Monthly,
1/17/24
3,259
(8)
—
(
8
)
Morgan
Stanley,
Receive
Underlying
Reference:
HKT
Trust
&
HKT
Monthly,
Pay
Variable
0.705%
(1M
HKD
HIBOR
+
0.55%)
Monthly,
1/17/24
8,491
2
—
2
Total
Hong
Kong
—
(
6
)
Ireland
(0.0)%
Citibank,
Pay
Underlying
Reference:
Aon,
Class
A
Monthly,
Receive
Variable
(0.260)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
347
7
—
7
JPMorgan
Chase,
Receive
Underlying
Reference:
Cairn
Homes
Monthly,
Pay
Variable
0.546%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/17/24
(GBP)
260
(15)
—
(
15
)
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:
Flutter
Entertainment
Monthly,
Receive
Variable
(0.920)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/17/24
313
(10)
—
(
10
)
Morgan
Stanley,
Pay
Underlying
Reference:
Seagate
Technology
Holdings
Monthly,
Receive
Variable
(0.160)%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
197
(7)
—
(
7
)
Morgan
Stanley,
Receive
Underlying
Reference:
Linde
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
969
(8)
—
(
8
)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Cairn
Homes
Monthly,
Pay
Variable
0.546%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/17/24
(GBP)
178
16
—
16
Total
Ireland
—
(
17
)
Italy
(0.0)%
Bank
of
America,
Receive
Underlying
Reference:
Banca
Mediolanum
Monthly,
Pay
Variable
(0.226)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/17/24
812
(30)
—
(
30
)
Citibank,
Receive
Underlying
Reference:
Atlantia
Monthly,
Pay
Variable
(0.177)%
(1M
EURIBOR
+
0.40%)
Monthly,
1/17/24
289
(2)
—
(
2
)
Goldman
Sachs,
Pay
Underlying
Reference:
Snam
Monthly,
Receive
Variable
(0.840)%
(1M
EURIBOR
+
(0.27)%)
Monthly,
1/17/24
1,212
28
—
28
Morgan
Stanley,
Pay
Underlying
Reference:
Intesa
Sanpaolo
Monthly,
Receive
Variable
(0.920)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/17/24
296
(6)
—
(
6
)
Morgan
Stanley,
Receive
Underlying
Reference:
PRADA
Monthly,
Pay
Variable
0.705%
(1M
HKD
HIBOR
+
0.55%)
Monthly,
1/17/24
(HKD)
4,622
(9)
—
(
9
)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Atlantia
Monthly,
Pay
Variable
(0.227)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/17/24
152
(1)
—
(
1
)
Total
Italy
—
(
20
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
52
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Japan
0.1%
Citibank,
Receive
Underlying
Reference:
Asics
Monthly,
Pay
Variable
0.358%
(1M
JPY
LIBOR
+
0.38%)
Monthly,
1/17/24
45,947
(39)
—
(
39
)
Citibank,
Receive
Underlying
Reference:
Fast
Retailing
Monthly,
Pay
Variable
0.358%
(1M
JPY
LIBOR
+
0.38%)
Monthly,
1/17/24
30,335
27
—
27
Citibank,
Receive
Underlying
Reference:
Fast
Retailing
Monthly,
Pay
Variable
0.359%
(JPY
TONA
+
0.38%)
Monthly,
1/17/24
46,606
3
—
3
Citibank,
Receive
Underlying
Reference:
Mitsui
Fudosan
Monthly,
Pay
Variable
0.358%
(1M
JPY
LIBOR
+
0.38%)
Monthly,
1/17/24
27,435
15
—
15
Citibank,
Receive
Underlying
Reference:
Pigeon
Monthly,
Pay
Variable
0.358%
(1M
JPY
LIBOR
+
0.38%)
Monthly,
1/17/24
30,901
(16)
—
(
16
)
Citibank,
Receive
Underlying
Reference:
Pigeon
Monthly,
Pay
Variable
0.359%
(JPY
TONA
+
0.38%)
Monthly,
1/17/24
16,250
(3)
—
(
3
)
Citibank,
Receive
Underlying
Reference:
Pigeon
Monthly,
Pay
Variable
0.360%
(JPY
TONA
+
0.38%)
Monthly,
1/17/24
5,206
(1)
—
(
1
)
Citibank,
Receive
Underlying
Reference:
Sega
Sammy
Holdings
Monthly,
Pay
Variable
0.358%
(1M
JPY
LIBOR
+
0.38%)
Monthly,
1/17/24
67,087
25
—
25
Morgan
Stanley,
Pay
Underlying
Reference:
Denso
Monthly,
Receive
Variable
(0.440)%
(1M
JPY
LIBOR
+
(0.42)%)
Monthly,
1/17/24
185,288
208
—
208
Morgan
Stanley,
Pay
Underlying
Reference:
GMO
Payment
Gateway
Monthly,
Receive
Variable
(0.440)%
(1M
JPY
LIBOR
+
(0.42)%)
Monthly,
1/17/24
28,782
28
—
28
Morgan
Stanley,
Pay
Underlying
Reference:
Kubota
Monthly,
Receive
Variable
(0.440)%
(1M
JPY
LIBOR
+
(0.42)%)
Monthly,
1/17/24
13,446
4
—
4
Morgan
Stanley,
Pay
Underlying
Reference:
Kyocera
Monthly,
Receive
Variable
(0.440)%
(1M
JPY
LIBOR
+
(0.42)%)
Monthly,
1/17/24
33,097
—
—
—
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:
Lasertec
Monthly,
Receive
Variable
(0.440)%
(1M
JPY
LIBOR
+
(0.42)%)
Monthly,
1/17/24
39,299
58
—
58
Morgan
Stanley,
Pay
Underlying
Reference:
Nidec
Monthly,
Receive
Variable
(0.440)%
(1M
JPY
LIBOR
+
(0.42)%)
Monthly,
1/17/24
69,540
104
—
104
Morgan
Stanley,
Pay
Underlying
Reference:
Sumitomo
Metal
Mining
Monthly,
Receive
Variable
(0.440)%
(1M
JPY
LIBOR
+
(0.42)%)
Monthly,
1/17/24
139,288
(44)
—
(
44
)
Morgan
Stanley,
Receive
Underlying
Reference:
Astellas
Pharma
Monthly,
Pay
Variable
0.509%
(1M
JPY
LIBOR
+
0.53%)
Monthly,
1/17/24
50,899
(18)
—
(
18
)
Morgan
Stanley,
Receive
Underlying
Reference:
CyberAgent
Monthly,
Pay
Variable
0.509%
(1M
JPY
LIBOR
+
0.53%)
Monthly,
1/17/24
48,835
(117)
—
(
117
)
Morgan
Stanley,
Receive
Underlying
Reference:
NSK
Monthly,
Pay
Variable
0.509%
(1M
JPY
LIBOR
+
0.53%)
Monthly,
1/17/24
42,665
(13)
—
(
13
)
Morgan
Stanley,
Receive
Underlying
Reference:
Seven
&
i
Holdings
Monthly,
Pay
Variable
0.509%
(1M
JPY
LIBOR
+
0.53%)
Monthly,
1/17/24
60,204
41
—
41
Morgan
Stanley,
Receive
Underlying
Reference:
Seven
&
i
Holdings
Monthly,
Pay
Variable
0.509%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
28,382
16
—
16
Morgan
Stanley,
Receive
Underlying
Reference:
Stanley
Electric
Monthly,
Pay
Variable
0.509%
(1M
JPY
LIBOR
+
0.53%)
Monthly,
1/17/24
157,395
(134)
—
(
134
)
Morgan
Stanley,
Receive
Underlying
Reference:
Sumitomo
Electric
Industries
Monthly,
Pay
Variable
0.509%
(1M
JPY
LIBOR
+
0.53%)
Monthly,
1/17/24
38,329
(24)
—
(
24
)
Morgan
Stanley,
Receive
Underlying
Reference:
Suntory
Beverage
&
Food
Monthly,
Pay
Variable
0.509%
(1M
JPY
LIBOR
+
0.53%)
Monthly,
1/17/24
39,146
12
—
12
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
54
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
UBS
Investment
Bank,
Pay
Underlying
Reference:
FANUC
Monthly,
Receive
Variable
(0.420)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/17/24
123,876
100
—
100
UBS
Investment
Bank,
Pay
Underlying
Reference:
FANUC
Monthly,
Receive
Variable
(0.420)%
(JPY
TONA
+
(0.40)%)
Monthly,
1/17/24
13,606
2
—
2
UBS
Investment
Bank,
Pay
Underlying
Reference:
Hitachi
Monthly,
Receive
Variable
(0.420)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/17/24
71,765
71
—
71
UBS
Investment
Bank,
Pay
Underlying
Reference:
Kubota
Monthly,
Receive
Variable
(0.420)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/17/24
52,381
28
—
28
UBS
Investment
Bank,
Pay
Underlying
Reference:
Nitori
Holdings
Monthly,
Receive
Variable
(0.420)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/17/24
36,666
19
—
19
UBS
Investment
Bank,
Pay
Underlying
Reference:
Ono
Pharmaceutical
Monthly,
Receive
Variable
(0.420)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/17/24
38,887
(4)
—
(
4
)
UBS
Investment
Bank,
Pay
Underlying
Reference:
Pola
Orbis
Holdings
Monthly,
Receive
Variable
(0.420)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/17/24
28,736
22
—
22
UBS
Investment
Bank,
Pay
Underlying
Reference:
SMC
Monthly,
Receive
Variable
(0.420)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/17/24
98,254
138
—
138
UBS
Investment
Bank,
Receive
Underlying
Reference:
Daiichi
Sankyo
Monthly,
Pay
Variable
0.328%
(1M
JPY
LIBOR
+
0.35%)
Monthly,
1/17/24
135,650
(65)
—
(
65
)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Hoshizaki
Monthly,
Pay
Variable
0.328%
(1M
JPY
LIBOR
+
0.35%)
Monthly,
1/17/24
143,590
(29)
—
(
29
)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Mitsui
Fudosan
Monthly,
Pay
Variable
0.328%
(1M
JPY
LIBOR
+
0.35%)
Monthly,
1/17/24
52,566
28
—
28
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
55
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
UBS
Investment
Bank,
Receive
Underlying
Reference:
NET
One
Systems
Monthly,
Pay
Variable
0.328%
(1M
JPY
LIBOR
+
0.35%)
Monthly,
1/17/24
28,489
(19)
—
(
19
)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Nippon
Sanso
Holdings
Monthly,
Pay
Variable
0.328%
(1M
JPY
LIBOR
+
0.35%)
Monthly,
1/17/24
39,862
(38)
—
(
38
)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Nippon
Steel
Monthly,
Pay
Variable
0.329%
(JPY
TONA
+
0.35%)
Monthly,
1/17/24
36,992
(5)
—
(
5
)
UBS
Investment
Bank,
Receive
Underlying
Reference:
ORIX
Monthly,
Pay
Variable
0.328%
(1M
JPY
LIBOR
+
0.35%)
Monthly,
1/17/24
43,338
(14)
—
(
14
)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Panasonic
Monthly,
Pay
Variable
0.328%
(1M
JPY
LIBOR
+
0.35%)
Monthly,
1/17/24
107,213
(45)
—
(
45
)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Taiheiyo
Cement
Monthly,
Pay
Variable
0.328%
(1M
JPY
LIBOR
+
0.35%)
Monthly,
1/17/24
46,400
(8)
—
(
8
)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Terumo
Monthly,
Pay
Variable
0.328%
(1M
JPY
LIBOR
+
0.35%)
Monthly,
1/17/24
34,334
(20)
—
(
20
)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Tokyo
Tatemono
Monthly,
Pay
Variable
0.328%
(1M
JPY
LIBOR
+
0.35%)
Monthly,
1/17/24
56,369
—
—
—
Total
Japan
—
293
Jersey
0.0%
Citibank,
Pay
Underlying
Reference:
Experian
Monthly,
Receive
Variable
(0.114)%
(GBP
SONIA
+
(0.31)%)
Monthly,
1/17/24
336
(10)
—
(
10
)
Citibank,
Pay
Underlying
Reference:
Glencore
Monthly,
Receive
Variable
(0.114)%
(1M
GBP
LIBOR
+
(0.31)%)
Monthly,
1/17/24
116
3
—
3
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
56
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Citibank,
Pay
Underlying
Reference:
WisdomTree
Copper
Monthly,
Receive
Variable
(0.681)%
(1M
USD
LIBOR
+
(0.721)%)
Monthly,
1/18/24
256
3
—
3
Morgan
Stanley,
Pay
Underlying
Reference:
Glencore
Monthly,
Receive
Variable
(0.114)%
(1M
GBP
LIBOR
+
(0.31)%)
Monthly,
1/17/24
253
25
—
25
Morgan
Stanley,
Receive
Underlying
Reference:
Atotech
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
305
(12)
—
(
12
)
Total
Jersey
—
9
Luxembourg
0.0%
Morgan
Stanley,
Pay
Underlying
Reference:
ArcelorMittal
Monthly,
Receive
Variable
(0.640)%
(1M
USD
LIBOR
+
(0.68)%)
Monthly,
1/18/24
493
78
—
78
Morgan
Stanley,
Pay
Underlying
Reference:
Ternium
Monthly,
Receive
Variable
(0.160)%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
239
10
—
10
Morgan
Stanley,
Receive
Underlying
Reference:
Samsonite
International
Monthly,
Pay
Variable
0.705%
(1M
HKD
HIBOR
+
0.55%)
Monthly,
1/17/24
(HKD)
4,849
(42)
—
(
42
)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Samsonite
International
Monthly,
Pay
Variable
0.485%
(1M
HKD
HIBOR
+
0.35%)
Monthly,
1/17/24
(HKD)
195
2
—
2
Total
Luxembourg
—
48
Mexico
(0.0)%
Morgan
Stanley,
Pay
Underlying
Reference:
Alpek
Monthly,
Receive
Variable
5.223%
(MXIBTIIE
+
(0.50)%)
Monthly,
1/17/24
3,444
(17)
—
(
17
)
Morgan
Stanley,
Pay
Underlying
Reference:
Axtel
Monthly,
Receive
Variable
5.223%
(MXIBTIIE
+
(0.50)%)
Monthly,
1/17/24
533
4
—
4
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:
Alfa,
Class
A
Monthly,
Pay
Variable
6.273%
(MXIBTIIE
+
0.55%)
Monthly,
1/17/24
6,336
11
—
11
Total
Mexico
—
(
2
)
Netherlands
0.0%
Citibank,
Pay
Underlying
Reference:
IMCD
Monthly,
Receive
Variable
(0.870)%
(1M
EURIBOR
+
(0.30)%)
Monthly,
1/17/24
499
32
—
32
Goldman
Sachs,
Receive
Underlying
Reference:
EXOR
Monthly,
Pay
Variable
(0.176)%
(1M
EURIBOR
+
0.40%)
Monthly,
1/17/24
306
(15)
—
(
15
)
Goldman
Sachs,
Receive
Underlying
Reference:
Prosus
Monthly,
Pay
Variable
(0.176)%
(1M
EURIBOR
+
0.40%)
Monthly,
1/17/24
285
(3)
—
(
3
)
JPMorgan
Chase,
Receive
Underlying
Reference:
ING
Groep
Monthly,
Pay
Variable
(0.226)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/17/24
206
(6)
—
(
6
)
Morgan
Stanley,
Pay
Underlying
Reference:
LyondellBasell
Industries,
Class
A
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
928
39
—
39
Morgan
Stanley,
Pay
Underlying
Reference:
LyondellBasell
Industries,
Class
A
Monthly,
Receive
Variable
(0.160)%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
151
6
—
6
Morgan
Stanley,
Receive
Underlying
Reference:
Airbus
Monthly,
Pay
Variable
(0.226)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/17/24
267
(10)
—
(
10
)
Morgan
Stanley,
Receive
Underlying
Reference:
ING
Groep
Monthly,
Pay
Variable
(0.226)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/17/24
948
(30)
—
(
30
)
Morgan
Stanley,
Receive
Underlying
Reference:
Universal
Music
Group
Monthly,
Pay
Variable
(0.226)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/17/24
290
(13)
—
(
13
)
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:
Yandex,
Class
A
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
198
(3)
—
(
3
)
UBS
Investment
Bank,
Pay
Underlying
Reference:
Koninklijke
Ahold
Delhaize
Monthly,
Receive
Variable
(0.970)%
(1M
EURIBOR
+
(0.40)%)
Monthly,
1/17/24
766
50
—
50
UBS
Investment
Bank,
Receive
Underlying
Reference:
Airbus
Monthly,
Pay
Variable
(0.227)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/17/24
390
(21)
—
(
21
)
Total
Netherlands
—
26
New
Zealand
0.0%
UBS
Investment
Bank,
Pay
Underlying
Reference:
Fisher
&
Paykel
Healthcare
Monthly,
Receive
Variable
0.230%
(1M
NDBB
+
(0.45)%)
Monthly,
1/17/24
483
25
—
25
Total
New
Zealand
—
25
Norway
(0.0)%
Bank
of
America,
Receive
Underlying
Reference:
Bakkafrost
Monthly,
Pay
Variable
1.270%
(1M
NOK
NIBOR
+
0.35%)
Monthly,
1/17/24
420
2
—
2
Citibank,
Pay
Underlying
Reference:
Yara
International
Monthly,
Receive
Variable
0.440%
(1M
NOK
NIBOR
+
(0.35)%)
Monthly,
1/17/24
4,117
(4)
—
(
4
)
JPMorgan
Chase,
Receive
Underlying
Reference:
Equinor
Monthly,
Pay
Variable
1.320%
(1M
NOK
NIBOR
+
0.40%)
Monthly,
1/17/24
14,111
(68)
—
(
68
)
Morgan
Stanley,
Receive
Underlying
Reference:
Bakkafrost
Monthly,
Pay
Variable
1.140%
(1M
NOK
NIBOR
+
0.35%)
Monthly,
1/17/24
414
2
—
2
Morgan
Stanley,
Receive
Underlying
Reference:
Bakkafrost
Monthly,
Pay
Variable
1.150%
(1M
NOK
NIBOR
+
0.35%)
Monthly,
1/17/24
825
3
—
3
Morgan
Stanley,
Receive
Underlying
Reference:
Bakkafrost
Monthly,
Pay
Variable
1.180%
(1M
NOK
NIBOR
+
0.35%)
Monthly,
1/17/24
399
3
—
3
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:
Bakkafrost
Monthly,
Pay
Variable
1.270%
(1M
NOK
NIBOR
+
0.35%)
Monthly,
1/17/24
2,616
16
—
16
Morgan
Stanley,
Receive
Underlying
Reference:
Mowi
Monthly,
Pay
Variable
1.150%
(1M
NOK
NIBOR
+
0.35%)
Monthly,
1/17/24
835
3
—
3
Morgan
Stanley,
Receive
Underlying
Reference:
Mowi
Monthly,
Pay
Variable
1.180%
(1M
NOK
NIBOR
+
0.35%)
Monthly,
1/17/24
412
2
—
2
Morgan
Stanley,
Receive
Underlying
Reference:
Mowi
Monthly,
Pay
Variable
1.270%
(1M
NOK
NIBOR
+
0.35%)
Monthly,
1/17/24
3,411
17
—
17
Morgan
Stanley,
Receive
Underlying
Reference:
Salmar
Monthly,
Pay
Variable
1.150%
(1M
NOK
NIBOR
+
0.35%)
Monthly,
1/17/24
841
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Salmar
Monthly,
Pay
Variable
1.150%
(1M
NOK
NIBOR
+
0.35%)
Monthly,
1/17/24
406
2
—
2
Morgan
Stanley,
Receive
Underlying
Reference:
Salmar
Monthly,
Pay
Variable
1.180%
(1M
NOK
NIBOR
+
0.35%)
Monthly,
1/17/24
406
1
—
1
Morgan
Stanley,
Receive
Underlying
Reference:
Salmar
Monthly,
Pay
Variable
1.270%
(1M
NOK
NIBOR
+
0.35%)
Monthly,
1/17/24
2,592
1
—
1
Total
Norway
—
(
20
)
Portugal
(0.0)%
Goldman
Sachs,
Receive
Underlying
Reference:
Galp
Energia
Monthly,
Pay
Variable
(0.170)%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
759
(23)
—
(
23
)
Total
Portugal
—
(
23
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
60
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Russian
Federation
0.0%
Morgan
Stanley,
Receive
Underlying
Reference:
Sberbank
of
Russia
Monthly,
Pay
Variable
0.450%
(SOFR
+
0.40%)
Monthly,
1/18/24
103
5
—
5
Total
Russian
Federation
—
5
Spain
(0.0)%
Citibank,
Pay
Underlying
Reference:
Red
Electrica
Corp
Monthly,
Receive
Variable
(0.920)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/17/24
286
(1)
—
(
1
)
Citibank,
Receive
Underlying
Reference:
Amadeus
IT
Group
Monthly,
Pay
Variable
(0.177)%
(1M
EURIBOR
+
0.40%)
Monthly,
1/17/24
374
(10)
—
(
10
)
Goldman
Sachs,
Receive
Underlying
Reference:
Industria
de
Diseno
Textil
Monthly,
Pay
Variable
(0.176)%
(1M
EURIBOR
+
0.40%)
Monthly,
1/17/24
1,183
(53)
—
(
53
)
Morgan
Stanley,
Pay
Underlying
Reference:
Banco
Bilbao
Vizcaya
Argentaria
Monthly,
Receive
Variable
(0.920)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/17/24
350
10
—
10
Morgan
Stanley,
Receive
Underlying
Reference:
Amadeus
IT
Group
Monthly,
Pay
Variable
(0.226)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/17/24
297
(12)
—
(
12
)
Total
Spain
—
(
66
)
Sweden
0.0%
Citibank,
Pay
Underlying
Reference:
EQT
Monthly,
Receive
Variable
(0.414)%
(1M
SEK
STIBOR
+
(0.35)%)
Monthly,
1/17/24
4,905
84
—
84
Citibank,
Receive
Underlying
Reference:
Assa
Abloy,
Class
B
Monthly,
Pay
Variable
0.286%
(1M
SEK
STIBOR
+
0.35%)
Monthly,
1/17/24
2,620
(13)
—
(
13
)
Goldman
Sachs,
Receive
Underlying
Reference:
Atlas,
B
Shares
Monthly,
Pay
Variable
0.280%
(1M
SEK
STIBOR
+
0.35%)
Monthly,
1/17/24
2,661
(10)
—
(
10
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
61
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Goldman
Sachs,
Receive
Underlying
Reference:
Boliden
Monthly,
Pay
Variable
0.278%
(1M
SEK
STIBOR
+
0.35%)
Monthly,
1/17/24
2,763
(9)
—
(
9
)
Goldman
Sachs,
Receive
Underlying
Reference:
Boliden
Monthly,
Pay
Variable
0.280%
(1M
SEK
STIBOR
+
0.35%)
Monthly,
1/17/24
8,768
(28)
—
(
28
)
Morgan
Stanley,
Pay
Underlying
Reference:
Investor,
A
Shares
Monthly,
Receive
Variable
(0.420)%
(1M
SEK
STIBOR
+
(0.35)%)
Monthly,
1/17/24
7,548
1
—
1
Morgan
Stanley,
Receive
Underlying
Reference:
Alfa
Laval
Monthly,
Pay
Variable
0.280%
(1M
SEK
STIBOR
+
0.35%)
Monthly,
1/17/24
2,430
(9)
—
(
9
)
Morgan
Stanley,
Receive
Underlying
Reference:
Olink
Holding
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
64
15
—
15
Morgan
Stanley,
Receive
Underlying
Reference:
Olink
Holding
Monthly,
Pay
Variable
0.447%
(SOFR
+
0.40%)
Monthly,
1/18/24
7
2
—
2
Morgan
Stanley,
Receive
Underlying
Reference:
Trelleborg,
B
Shares
Monthly,
Pay
Variable
0.280%
(1M
SEK
STIBOR
+
0.35%)
Monthly,
1/17/24
3,100
(13)
—
(
13
)
UBS
Investment
Bank,
Pay
Underlying
Reference:
SKF,
B
Shares
Monthly,
Receive
Variable
(0.464)%
(1M
SEK
STIBOR
+
(0.40)%)
Monthly,
1/17/24
4,488
40
—
40
Total
Sweden
—
60
Switzerland
0.0%
Bank
of
America,
Pay
Underlying
Reference:
Givaudan
Monthly,
Receive
Variable
(1.050)%
(1M
CHF
LIBOR
+
(0.35)%)
Monthly,
1/17/24
355
33
—
33
Bank
of
America,
Receive
Underlying
Reference:
ABB
Monthly,
Pay
Variable
(0.362)%
(1M
CHF
LIBOR
+
0.35%)
Monthly,
1/17/24
288
(16)
—
(
16
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
62
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Citibank,
Pay
Underlying
Reference:
Geberit
Monthly,
Receive
Variable
(1.050)%
(1M
CHF
LIBOR
+
(0.35)%)
Monthly,
1/17/24
139
13
—
13
Citibank,
Pay
Underlying
Reference:
SGS
Monthly,
Receive
Variable
(1.050)%
(1M
CHF
LIBOR
+
(0.35)%)
Monthly,
1/17/24
289
31
—
31
Citibank,
Pay
Underlying
Reference:
Straumann
Holding
Monthly,
Receive
Variable
(1.050)%
(1M
CHF
LIBOR
+
(0.35)%)
Monthly,
1/17/24
291
30
—
30
Citibank,
Receive
Underlying
Reference:
Cie
Financiere
Richemont
Monthly,
Pay
Variable
(0.431)%
(1M
CHF
LIBOR
+
0.28%)
Monthly,
1/17/24
212
—
—
—
Citibank,
Receive
Underlying
Reference:
Partners
Group
Holding
Monthly,
Pay
Variable
(0.431)%
(1M
CHF
LIBOR
+
0.28%)
Monthly,
1/17/24
354
(14)
—
(
14
)
JPMorgan
Chase,
Receive
Underlying
Reference:
Montana
Aerospace
Monthly,
Pay
Variable
(0.312)%
(1M
CHF
LIBOR
+
0.40%)
Monthly,
1/17/24
56
(1)
—
(
1
)
Morgan
Stanley,
Pay
Underlying
Reference:
Geberit
Monthly,
Receive
Variable
(1.110)%
(1M
CHF
LIBOR
+
(0.41)%)
Monthly,
1/17/24
115
4
—
4
Morgan
Stanley,
Pay
Underlying
Reference:
Kuehne
+
Nagel
International
Monthly,
Receive
Variable
(1.110)%
(1M
CHF
LIBOR
+
(0.41)%)
Monthly,
1/17/24
652
12
—
12
Morgan
Stanley,
Receive
Underlying
Reference:
Cie
Financiere
Richemont
Monthly,
Pay
Variable
(0.422)%
(1M
CHF
LIBOR
+
0.29%)
Monthly,
1/17/24
219
(2)
—
(
2
)
Morgan
Stanley,
Receive
Underlying
Reference:
Zurich
Insurance
Group
Monthly,
Pay
Variable
(0.422)%
(1M
CHF
LIBOR
+
0.29%)
Monthly,
1/17/24
1,331
7
—
7
UBS
Investment
Bank,
Pay
Underlying
Reference:
Schindler
Holding
Monthly,
Receive
Variable
(1.100)%
(1M
CHF
LIBOR
+
(0.40)%)
Monthly,
1/17/24
271
1
—
1
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
63
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Montana
Aerospace
Monthly,
Pay
Variable
(0.361)%
(1M
CHF
LIBOR
+
0.35%)
Monthly,
1/17/24
367
5
—
5
Total
Switzerland
—
103
Taiwan
(0.0)%
Morgan
Stanley,
Receive
Underlying
Reference:
Taiwan
Semiconductor
Manufacturing
Monthly,
Pay
Variable
0.897%
(1M
USD
LIBOR
+
0.85%)
Monthly,
1/18/24
192
(9)
—
(
9
)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Taiwan
Semiconductor
Manufacturing
Monthly,
Pay
Variable
0.548%
(1M
USD
LIBOR
+
0.50%)
Monthly,
1/18/24
2,347
(39)
—
(
39
)
Total
Taiwan
—
(
48
)
United
Kingdom
(0.0)%
Bank
of
America,
Pay
Underlying
Reference:
Shell
Monthly,
Receive
Variable
(0.154)%
(1M
GBP
LIBOR
+
(0.35)%)
Monthly,
1/17/24
635
(6)
—
(
6
)
Bank
of
America,
Receive
Underlying
Reference:
AstraZeneca
Monthly,
Pay
Variable
0.546%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/17/24
334
(6)
—
(
6
)
Bank
of
America,
Receive
Underlying
Reference:
Great
Portland
Estates
Monthly,
Pay
Variable
0.546%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/17/24
51
(1)
—
(
1
)
Bank
of
America,
Receive
Underlying
Reference:
Lloyds
Banking
Group
Monthly,
Pay
Variable
0.546%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/17/24
584
(48)
—
(
48
)
Bank
of
America,
Receive
Underlying
Reference:
Smiths
Group
Monthly,
Pay
Variable
0.546%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/17/24
257
(15)
—
(
15
)
Bank
of
America,
Receive
Underlying
Reference:
SSP
Group
Monthly,
Pay
Variable
0.546%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/17/24
316
(20)
—
(
20
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
64
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Citibank,
Pay
Underlying
Reference:
Barclays
Monthly,
Receive
Variable
(0.154)%
(1M
GBP
LIBOR
+
(0.35)%)
Monthly,
1/17/24
281
20
—
20
Citibank,
Pay
Underlying
Reference:
Barclays
Monthly,
Receive
Variable
(0.154)%
(GBP
SONIA
+
(0.35)%)
Monthly,
1/17/24
422
49
—
49
Citibank,
Pay
Underlying
Reference:
BP
Monthly,
Receive
Variable
(0.114)%
(1M
GBP
LIBOR
+
(0.31)%)
Monthly,
1/17/24
590
(43)
—
(
43
)
Citibank,
Pay
Underlying
Reference:
Standard
Life
Aberdeen
Monthly,
Receive
Variable
(0.154)%
(1M
GBP
LIBOR
+
(0.35)%)
Monthly,
1/17/24
571
2
—
2
Citibank,
Receive
Underlying
Reference:
Burberry
Group
Monthly,
Pay
Variable
0.586%
(1M
GBP
LIBOR
+
0.39%)
Monthly,
1/17/24
195
18
—
18
Citibank,
Receive
Underlying
Reference:
Derwent
London
Monthly,
Pay
Variable
0.586%
(1M
GBP
LIBOR
+
0.39%)
Monthly,
1/17/24
101
(1)
—
(
1
)
Citibank,
Receive
Underlying
Reference:
Great
Portland
Estates
Monthly,
Pay
Variable
0.586%
(1M
GBP
LIBOR
+
0.39%)
Monthly,
1/17/24
353
7
—
7
Citibank,
Receive
Underlying
Reference:
Greggs
Monthly,
Pay
Variable
0.586%
(GBP
SONIA
+
0.39%)
Monthly,
1/17/24
35
3
—
3
Citibank,
Receive
Underlying
Reference:
Greggs
Monthly,
Pay
Variable
0.586%
(GBP
SONIA
+
0.39%)
Monthly,
1/17/24
70
—
—
—
Citibank,
Receive
Underlying
Reference:
Polypipe
Group
Monthly,
Pay
Variable
0.586%
(1M
GBP
LIBOR
+
0.39%)
Monthly,
1/17/24
48
(5)
—
(
5
)
Citibank,
Receive
Underlying
Reference:
Trainline
Monthly,
Pay
Variable
0.586%
(1M
GBP
LIBOR
+
0.39%)
Monthly,
1/17/24
11
(3)
(1)
(
2
)
Goldman
Sachs,
Pay
Underlying
Reference:
Hargreaves
Lansdown
Monthly,
Receive
Variable
(0.154)%
(1M
GBP
LIBOR
+
(0.35)%)
Monthly,
1/17/24
447
7
—
7
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
65
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Goldman
Sachs,
Receive
Underlying
Reference:
Fresnillo
Monthly,
Pay
Variable
0.576%
(1M
GBP
LIBOR
+
0.38%)
Monthly,
1/17/24
349
(103)
—
(
103
)
JPMorgan
Chase,
Pay
Underlying
Reference:
Prudential
Monthly,
Receive
Variable
(0.154)%
(1M
GBP
LIBOR
+
(0.35)%)
Monthly,
1/17/24
1,538
94
—
94
JPMorgan
Chase,
Receive
Underlying
Reference:
Auto
Trader
Group
Monthly,
Pay
Variable
0.546%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/17/24
241
(8)
—
(
8
)
JPMorgan
Chase,
Receive
Underlying
Reference:
Greggs
Monthly,
Pay
Variable
0.546%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/17/24
263
6
—
6
Morgan
Stanley,
Pay
Underlying
Reference:
Bunzl
Monthly,
Receive
Variable
(0.114)%
(1M
GBP
LIBOR
+
(0.31)%)
Monthly,
1/17/24
408
(15)
—
(
15
)
Morgan
Stanley,
Pay
Underlying
Reference:
Prudential
Monthly,
Receive
Variable
(0.114)%
(1M
GBP
LIBOR
+
(0.31)%)
Monthly,
1/17/24
350
21
—
21
Morgan
Stanley,
Pay
Underlying
Reference:
Standard
Life
Aberdeen
Monthly,
Receive
Variable
(0.114)%
(1M
GBP
LIBOR
+
(0.31)%)
Monthly,
1/17/24
319
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Avast
Monthly,
Pay
Variable
0.586%
(1M
GBP
LIBOR
+
0.39%)
Monthly,
1/17/24
226
5
—
5
Morgan
Stanley,
Receive
Underlying
Reference:
Burberry
Group
Monthly,
Pay
Variable
0.586%
(1M
GBP
LIBOR
+
0.39%)
Monthly,
1/17/24
104
9
—
9
Morgan
Stanley,
Receive
Underlying
Reference:
Direct
Line
Insurance
Group
Monthly,
Pay
Variable
0.586%
(1M
GBP
LIBOR
+
0.39%)
Monthly,
1/17/24
633
(16)
—
(
16
)
Morgan
Stanley,
Receive
Underlying
Reference:
InterContinental
Hotels
Group
Monthly,
Pay
Variable
0.586%
(1M
GBP
LIBOR
+
0.39%)
Monthly,
1/17/24
1,424
(13)
—
(
13
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
66
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Polypipe
Group
Monthly,
Pay
Variable
0.586%
(1M
GBP
LIBOR
+
0.39%)
Monthly,
1/17/24
297
(23)
—
(
23
)
UBS
Investment
Bank,
Pay
Underlying
Reference:
Rentokil
Initial
Monthly,
Receive
Variable
(0.204)%
(1M
GBP
LIBOR
+
(0.40)%)
Monthly,
1/17/24
316
11
—
11
UBS
Investment
Bank,
Pay
Underlying
Reference:
Rentokil
Initial
Monthly,
Receive
Variable
(0.204)%
(GBP
SONIA
+
(0.40)%)
Monthly,
1/17/24
128
4
—
4
UBS
Investment
Bank,
Pay
Underlying
Reference:
Whitbread
Monthly,
Receive
Variable
(0.204)%
(1M
GBP
LIBOR
+
(0.40)%)
Monthly,
1/17/24
589
35
—
35
UBS
Investment
Bank,
Pay
Underlying
Reference:
Whitbread
Monthly,
Receive
Variable
(0.204)%
(GBP
SONIA
+
(0.40)%)
Monthly,
1/17/24
424
(10)
—
(
10
)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Burberry
Group
Monthly,
Pay
Variable
0.546%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/17/24
413
39
—
39
UBS
Investment
Bank,
Receive
Underlying
Reference:
Derwent
London
Monthly,
Pay
Variable
0.546%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/17/24
475
(4)
—
(
4
)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Meggitt
Monthly,
Pay
Variable
0.546%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/17/24
550
(4)
—
(
4
)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Trainline
Monthly,
Pay
Variable
0.546%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/17/24
280
(59)
—
(
59
)
Total
United
Kingdom
(1)
(
72
)
United
States
0.2%
Bank
of
America,
Pay
Underlying
Reference:
UDR
Monthly,
Receive
Variable
(0.260)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
340
9
—
9
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
67
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Bank
of
America,
Receive
Underlying
Reference:
United
Parcel
Service,
Class
B
Monthly,
Pay
Variable
0.347%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/18/24
347
(6)
—
(
6
)
Citibank,
Pay
Underlying
Reference:
Eastman
Chemical
Monthly,
Receive
Variable
(0.260)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
768
5
—
5
Citibank,
Pay
Underlying
Reference:
Hormel
Foods
Monthly,
Receive
Variable
(0.260)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
447
21
—
21
Citibank,
Receive
Underlying
Reference:
American
International
Group
Monthly,
Pay
Variable
0.468%
(1M
USD
LIBOR
+
0.42%)
Monthly,
1/18/24
406
(24)
—
(
24
)
Citibank,
Receive
Underlying
Reference:
Cedar
Fair
Monthly,
Pay
Variable
0.468%
(1M
USD
LIBOR
+
0.42%)
Monthly,
1/18/24
406
20
—
20
Citibank,
Receive
Underlying
Reference:
NextEra
Energy
Monthly,
Pay
Variable
0.468%
(1M
USD
LIBOR
+
0.42%)
Monthly,
1/18/24
531
(39)
—
(
39
)
Citibank,
Receive
Underlying
Reference:
Paycor
HCM
Monthly,
Pay
Variable
0.460%
(SOFR
+
0.42%)
Monthly,
1/18/24
97
1
—
1
Citibank,
Receive
Underlying
Reference:
Paycor
HCM
Monthly,
Pay
Variable
0.468%
(1M
USD
LIBOR
+
0.42%)
Monthly,
1/18/24
324
4
—
4
Citibank,
Receive
Underlying
Reference:
Starbucks
Monthly,
Pay
Variable
0.468%
(1M
USD
LIBOR
+
0.42%)
Monthly,
1/18/24
452
(33)
—
(
33
)
Citibank,
Receive
Underlying
Reference:
Ulta
Beauty
Monthly,
Pay
Variable
0.468%
(1M
USD
LIBOR
+
0.42%)
Monthly,
1/18/24
357
(16)
—
(
16
)
Citibank,
Receive
Underlying
Reference:
Visa,
A
Shares
Monthly,
Pay
Variable
0.468%
(1M
USD
LIBOR
+
0.42%)
Monthly,
1/18/24
283
19
—
19
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
68
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Goldman
Sachs,
Pay
Underlying
Reference:
Applied
Materials
Quarterly,
Receive
Variable
0.194%
(3M
USD
LIBOR
+
(0.005)%)
Quaterly,
3/14/22
*
851
55
(1)
56
Goldman
Sachs,
Pay
Underlying
Reference:
AT&T
Monthly,
Receive
Variable
(0.260)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
361
24
—
24
Goldman
Sachs,
Pay
Underlying
Reference:
Duke
Realty
Monthly,
Receive
Variable
(0.260)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
372
8
—
8
Goldman
Sachs,
Pay
Underlying
Reference:
Equifax
Monthly,
Receive
Variable
(0.260)%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
580
2
—
2
Goldman
Sachs,
Pay
Underlying
Reference:
Exxon
Mobil
Monthly,
Receive
Variable
(0.260)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
80
(3)
—
(
3
)
Goldman
Sachs,
Pay
Underlying
Reference:
Freeport-McMoRan
Monthly,
Receive
Variable
(0.260)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
831
133
—
133
Goldman
Sachs,
Pay
Underlying
Reference:
Morgan
Stanley
Monthly,
Receive
Variable
(0.260)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
319
(29)
—
(
29
)
Goldman
Sachs,
Pay
Underlying
Reference:
Morgan
Stanley
Monthly,
Receive
Variable
(0.260)%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
987
(37)
—
(
37
)
Goldman
Sachs,
Pay
Underlying
Reference:
Morgan
Stanley
Monthly,
Receive
Variable
(0.150)%
(SOFR
+
(0.19)%)
Monthly,
1/18/24
175
(3)
—
(
3
)
Goldman
Sachs,
Pay
Underlying
Reference:
NVIDIA
Quarterly,
Receive
Variable
0.194%
(3M
USD
LIBOR
+
(0.005)%)
Quaterly,
3/14/22
968
67
(6)
73
Goldman
Sachs,
Pay
Underlying
Reference:
Teucrium
Corn
Fund
Monthly,
Receive
Variable
(7.926)%
(1M
USD
LIBOR
+
(7.966)%)
Monthly,
1/18/24
751
(27)
—
(
27
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
69
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Goldman
Sachs,
Pay
Underlying
Reference:
Teucrium
Soybean
Fund
Monthly,
Receive
Variable
(5.017)%
(1M
USD
LIBOR
+
(5.057)%)
Monthly,
1/18/24
619
(50)
—
(
50
)
Goldman
Sachs,
Pay
Underlying
Reference:
Weyerhaeuser
Monthly,
Receive
Variable
(0.260)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
731
(21)
—
(
21
)
Goldman
Sachs,
Receive
Underlying
Reference:
Carney
Technology
Acquisition,
Class
A
Monthly,
Pay
Variable
0.457%
(1M
USD
LIBOR
+
0.41%)
Monthly,
1/18/24
163
—
—
—
Goldman
Sachs,
Receive
Underlying
Reference:
Cedar
Fair
Monthly,
Pay
Variable
0.457%
(1M
USD
LIBOR
+
0.41%)
Monthly,
1/18/24
151
13
—
13
Goldman
Sachs,
Receive
Underlying
Reference:
Cummins
Monthly,
Pay
Variable
0.457%
(1M
USD
LIBOR
+
0.41%)
Monthly,
1/18/24
801
(52)
—
(
52
)
Goldman
Sachs,
Receive
Underlying
Reference:
FirstCash
Holdings
Monthly,
Pay
Variable
0.457%
(1M
USD
LIBOR
+
0.41%)
Monthly,
1/18/24
532
(25)
—
(
25
)
Goldman
Sachs,
Receive
Underlying
Reference:
International
Paper
Monthly,
Pay
Variable
0.557%
(1M
USD
LIBOR
+
0.51%)
Monthly,
1/18/24
273
(6)
—
(
6
)
Goldman
Sachs,
Receive
Underlying
Reference:
Microsoft
Monthly,
Pay
Variable
0.457%
(1M
USD
LIBOR
+
0.41%)
Monthly,
1/18/24
914
25
—
25
Goldman
Sachs,
Receive
Underlying
Reference:
Monster
Beverage
Monthly,
Pay
Variable
0.457%
(1M
USD
LIBOR
+
0.41%)
Monthly,
1/18/24
334
—
—
—
Goldman
Sachs,
Receive
Underlying
Reference:
Otis
Worldwide
Monthly,
Pay
Variable
0.557%
(1M
USD
LIBOR
+
0.51%)
Monthly,
1/18/24
306
6
—
6
Goldman
Sachs,
Receive
Underlying
Reference:
Xometry,
Class
A
Monthly,
Pay
Variable
0.457%
(1M
USD
LIBOR
+
0.41%)
Monthly,
1/18/24
102
3
—
3
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
70
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
JPMorgan
Chase,
Pay
Underlying
Reference:
Hershey
Monthly,
Receive
Variable
(0.210)%
(1M
USD
LIBOR
+
(0.25)%)
Monthly,
1/18/24
355
2
—
2
JPMorgan
Chase,
Pay
Underlying
Reference:
Intel
Monthly,
Receive
Variable
(0.210)%
(1M
USD
LIBOR
+
(0.25)%)
Monthly,
1/18/24
636
69
—
69
JPMorgan
Chase,
Pay
Underlying
Reference:
iShares
iBoxx
High
Yield
Corporate
Bond
ETF
Quarterly,
Receive
Variable
0.050%
(3M
USD
LIBOR
+
0%)
Quaterly,
6/21/22
2,200
35
1
34
JPMorgan
Chase,
Pay
Underlying
Reference:
Lowe's
Monthly,
Receive
Variable
(0.210)%
(1M
USD
LIBOR
+
(0.25)%)
Monthly,
1/18/24
438
2
—
2
JPMorgan
Chase,
Pay
Underlying
Reference:
Mozart
Borrower
Quarterly,
Receive
Variable
(0.602)%
(3M
USD
LIBOR
+
(0.65)%)
Quaterly,
6/21/22
704
(2)
(11)
9
JPMorgan
Chase,
Pay
Underlying
Reference:
S&P
Global
Monthly,
Receive
Variable
(0.210)%
(SOFR
+
(0.25)%)
Monthly,
1/18/24
933
20
—
20
JPMorgan
Chase,
Pay
Underlying
Reference:
Verizon
Monthly,
Receive
Variable
(0.210)%
(1M
USD
LIBOR
+
(0.25)%)
Monthly,
1/18/24
555
2
—
2
JPMorgan
Chase,
Receive
Underlying
Reference:
Carvana
Monthly,
Pay
Variable
0.397%
(1M
USD
LIBOR
+
0.35%)
Monthly,
1/18/24
212
—
—
—
JPMorgan
Chase,
Receive
Underlying
Reference:
Wells
Fargo
Monthly,
Pay
Variable
0.397%
(1M
USD
LIBOR
+
0.35%)
Monthly,
1/18/24
2,076
(106)
—
(
106
)
Morgan
Stanley,
Pay
Underlying
Reference:
3D
Systems
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
104
6
—
6
Morgan
Stanley,
Pay
Underlying
Reference:
ABIOMED
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
277
(3)
—
(
3
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
71
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Adobe
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
426
(17)
—
(
17
)
Morgan
Stanley,
Pay
Underlying
Reference:
Alcoa
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
486
27
—
27
Morgan
Stanley,
Pay
Underlying
Reference:
AMETEK
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
450
9
—
9
Morgan
Stanley,
Pay
Underlying
Reference:
Analog
Devices
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
1,422
22
—
22
Morgan
Stanley,
Pay
Underlying
Reference:
Applied
Materials
Monthly,
Receive
Variable
(0.260)%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
*
377
(24)
—
(
24
)
Morgan
Stanley,
Pay
Underlying
Reference:
Applied
Materials
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
1,668
155
—
155
Morgan
Stanley,
Pay
Underlying
Reference:
Archer-Daniels-Midland
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
542
(28)
—
(
28
)
Morgan
Stanley,
Pay
Underlying
Reference:
AT&T
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
183
12
—
12
Morgan
Stanley,
Pay
Underlying
Reference:
Autodesk
Inc
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
286
3
—
3
Morgan
Stanley,
Pay
Underlying
Reference:
Bank
of
America
Monthly,
Receive
Variable
(0.160)%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
316
1
—
1
Morgan
Stanley,
Pay
Underlying
Reference:
Berkshire
Hathaway,
Class
B
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
598
14
—
14
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
72
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Blackstone
Mortgage
Trust,
Class
A
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
606
7
—
7
Morgan
Stanley,
Pay
Underlying
Reference:
Blackstone
Mortgage
Trust,
Class
A
Monthly,
Receive
Variable
(0.160)%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
237
(13)
—
(
13
)
Morgan
Stanley,
Pay
Underlying
Reference:
Bristol-Myers
Squibb
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
1,390
—
—
—
Morgan
Stanley,
Pay
Underlying
Reference:
Caterpillar
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
1,275
157
—
157
Morgan
Stanley,
Pay
Underlying
Reference:
Celanese
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
721
63
—
63
Morgan
Stanley,
Pay
Underlying
Reference:
Cleveland-Cliffs
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
408
68
—
68
Morgan
Stanley,
Pay
Underlying
Reference:
Clorox
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
489
36
—
36
Morgan
Stanley,
Pay
Underlying
Reference:
Colgate-Palmolive
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
455
4
—
4
Morgan
Stanley,
Pay
Underlying
Reference:
Consumer
Staples
Select
Sector
SPDR
Fund
Monthly,
Receive
Variable
(0.590)%
(1M
USD
LIBOR
+
(0.63)%)
Monthly,
1/18/24
311
—
—
—
Morgan
Stanley,
Pay
Underlying
Reference:
Consumer
Staples
Select
Sector
SPDR
Fund
Monthly,
Receive
Variable
(0.590)%
(SOFR
+
(0.63)%)
Monthly,
1/18/24
281
—
—
—
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
73
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Covenant
Logistics
Group
Monthly,
Receive
Variable
(0.160)%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
335
21
—
21
Morgan
Stanley,
Pay
Underlying
Reference:
Crown
Castle
International
Monthly,
Receive
Variable
(0.260)%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
922
(15)
—
(
15
)
Morgan
Stanley,
Pay
Underlying
Reference:
Crown
Castle
International
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
301
2
—
2
Morgan
Stanley,
Pay
Underlying
Reference:
Crown
Castle
International
Monthly,
Receive
Variable
(0.160)%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
352
(7)
—
(
7
)
Morgan
Stanley,
Pay
Underlying
Reference:
Deere
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
1,512
30
—
30
Morgan
Stanley,
Pay
Underlying
Reference:
Discover
Financial
Services
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
765
49
—
49
Morgan
Stanley,
Pay
Underlying
Reference:
Dow
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
1,540
12
—
12
Morgan
Stanley,
Pay
Underlying
Reference:
Dow
Monthly,
Receive
Variable
(0.160)%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
151
1
—
1
Morgan
Stanley,
Pay
Underlying
Reference:
DuPont
de
Nemours
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
1,289
110
—
110
Morgan
Stanley,
Pay
Underlying
Reference:
Eastman
Chemical
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
370
25
—
25
Morgan
Stanley,
Pay
Underlying
Reference:
Edwards
Lifesciences
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
391
22
—
22
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
74
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Expeditors
International
of
Washington
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
518
25
—
25
Morgan
Stanley,
Pay
Underlying
Reference:
Exxon
Mobil
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
2,208
(87)
—
(
87
)
Morgan
Stanley,
Pay
Underlying
Reference:
Financial
Select
Sector
SPDR
Fund
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
303
6
—
6
Morgan
Stanley,
Pay
Underlying
Reference:
Financial
Select
Sector
SPDR
Fund
Monthly,
Receive
Variable
(0.160)%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
275
6
—
6
Morgan
Stanley,
Pay
Underlying
Reference:
First
Republic
Bank
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
341
12
—
12
Morgan
Stanley,
Pay
Underlying
Reference:
Foot
Locker
Monthly,
Receive
Variable
(0.160)%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
193
5
—
5
Morgan
Stanley,
Pay
Underlying
Reference:
Foot
Locker
Monthly,
Receive
Variable
(0.160)%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
93
(1)
—
(
1
)
Morgan
Stanley,
Pay
Underlying
Reference:
Fortune
Brands
Home
&
Security
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
317
14
—
14
Morgan
Stanley,
Pay
Underlying
Reference:
Freeport-McMoRan
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
518
83
—
83
Morgan
Stanley,
Pay
Underlying
Reference:
IDEX
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
779
8
—
8
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
75
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
IDEXX
Laboratories
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
868
18
—
18
Morgan
Stanley,
Pay
Underlying
Reference:
Incyte
Monthly,
Receive
Variable
(0.260)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
38
—
—
—
Morgan
Stanley,
Pay
Underlying
Reference:
Incyte
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
378
3
—
3
Morgan
Stanley,
Pay
Underlying
Reference:
Intel
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
1,188
129
—
129
Morgan
Stanley,
Pay
Underlying
Reference:
iShares
Russell
2000
Growth
ETF
Monthly,
Receive
Variable
(2.140)%
(SOFR
+
(2.18)%)
Monthly,
1/18/24
3,571
95
—
95
Morgan
Stanley,
Pay
Underlying
Reference:
Jack
Henry
&
Associates
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
1,373
(20)
—
(
20
)
Morgan
Stanley,
Pay
Underlying
Reference:
Johnson
&
Johnson
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
1,541
(48)
—
(
48
)
Morgan
Stanley,
Pay
Underlying
Reference:
JPMorgan
Chase
Monthly,
Receive
Variable
(0.220)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
1,548
27
—
27
Morgan
Stanley,
Pay
Underlying
Reference:
Kroger
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
585
60
—
60
Morgan
Stanley,
Pay
Underlying
Reference:
Lam
Research
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
1,107
145
—
145
Morgan
Stanley,
Pay
Underlying
Reference:
Lumen
Technologies
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
286
(5)
—
(
5
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
76
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Match
Group
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
424
12
—
12
Morgan
Stanley,
Pay
Underlying
Reference:
Merck
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
780
1
—
1
Morgan
Stanley,
Pay
Underlying
Reference:
Mettler-Toledo
International
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
577
4
—
4
Morgan
Stanley,
Pay
Underlying
Reference:
Microchip
Technology
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
1,152
27
—
27
Morgan
Stanley,
Pay
Underlying
Reference:
Microsoft
Monthly,
Receive
Variable
(0.160)%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
474
(24)
—
(
24
)
Morgan
Stanley,
Pay
Underlying
Reference:
Mid-America
Apartment
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
359
13
—
13
Morgan
Stanley,
Pay
Underlying
Reference:
MKS
Instruments
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
114
11
—
11
Morgan
Stanley,
Pay
Underlying
Reference:
MSCI
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
1,011
(38)
—
(
38
)
Morgan
Stanley,
Pay
Underlying
Reference:
MSCI
Monthly,
Receive
Variable
(0.160)%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
166
(6)
—
(
6
)
Morgan
Stanley,
Pay
Underlying
Reference:
NortonLifeLock
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
30
1
—
1
Morgan
Stanley,
Pay
Underlying
Reference:
Nuance
Communications
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
100
—
—
—
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
77
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Old
Dominion
Freight
Line
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
588
22
—
22
Morgan
Stanley,
Pay
Underlying
Reference:
Paycom
Software
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
269
(11)
—
(
11
)
Morgan
Stanley,
Pay
Underlying
Reference:
PayPal
Holdings
Monthly,
Receive
Variable
(0.160)%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
331
(21)
—
(
21
)
Morgan
Stanley,
Pay
Underlying
Reference:
Phillips
66
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
821
36
—
36
Morgan
Stanley,
Pay
Underlying
Reference:
Phillips
66
Monthly,
Receive
Variable
(0.160)%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
1,607
29
—
29
Morgan
Stanley,
Pay
Underlying
Reference:
Pool
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
380
14
—
14
Morgan
Stanley,
Pay
Underlying
Reference:
Procter
&
Gamble
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
377
(9)
—
(
9
)
Morgan
Stanley,
Pay
Underlying
Reference:
Prudential
Financial
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
335
12
—
12
Morgan
Stanley,
Pay
Underlying
Reference:
PTC
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
1,240
(2)
—
(
2
)
Morgan
Stanley,
Pay
Underlying
Reference:
Raytheon
Technologies
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
332
2
—
2
Morgan
Stanley,
Pay
Underlying
Reference:
Ryder
System
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
364
20
—
20
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
78
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Ryder
System
Monthly,
Receive
Variable
(0.160)%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
140
8
—
8
Morgan
Stanley,
Pay
Underlying
Reference:
S&P
Global
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
1,049
22
—
22
Morgan
Stanley,
Pay
Underlying
Reference:
Schneider
National,
Class
B
Monthly,
Receive
Variable
(0.160)%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
490
27
—
27
Morgan
Stanley,
Pay
Underlying
Reference:
Snap-on
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
691
20
—
20
Morgan
Stanley,
Pay
Underlying
Reference:
SPDR
S&P
Insurance
ETF
Monthly,
Receive
Variable
(3.040)%
(1M
USD
LIBOR
+
(3.08)%)
Monthly,
1/18/24
305
5
—
5
Morgan
Stanley,
Pay
Underlying
Reference:
SPDR
S&P
Insurance
ETF
Monthly,
Receive
Variable
(3.040)%
(SOFR
+
(3.08)%)
Monthly,
1/18/24
285
5
—
5
Morgan
Stanley,
Pay
Underlying
Reference:
Synchrony
Financial
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
789
78
—
78
Morgan
Stanley,
Pay
Underlying
Reference:
Target
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
603
(1)
—
(
1
)
Morgan
Stanley,
Pay
Underlying
Reference:
Teradyne
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
728
178
—
178
Morgan
Stanley,
Pay
Underlying
Reference:
Tesla
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
724
66
—
66
Morgan
Stanley,
Pay
Underlying
Reference:
Teucrium
Corn
Fund
Monthly,
Receive
Variable
(1.990)%
(1M
USD
LIBOR
+
(2.03)%)
Monthly,
1/18/24
109
(4)
—
(
4
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
79
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Teucrium
Soybean
Fund
Monthly,
Receive
Variable
(4.240)%
(1M
USD
LIBOR
+
(4.28)%)
Monthly,
1/18/24
208
(17)
—
(
17
)
Morgan
Stanley,
Pay
Underlying
Reference:
Truist
Financial
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
918
59
—
59
Morgan
Stanley,
Pay
Underlying
Reference:
United
States
Natural
Gas
Fund
Monthly,
Receive
Variable
(3.340)%
(1M
USD
LIBOR
+
(3.38)%)
Monthly,
1/18/24
186
(35)
—
(
35
)
Morgan
Stanley,
Pay
Underlying
Reference:
United
States
Natural
Gas
Fund
Monthly,
Receive
Variable
(3.340)%
(SOFR
+
(3.38)%)
Monthly,
1/18/24
152
(30)
—
(
30
)
Morgan
Stanley,
Pay
Underlying
Reference:
United
States
Natural
Gas
Fund
Monthly,
Receive
Variable
(2.940)%
(1M
USD
LIBOR
+
(2.98)%)
Monthly,
1/18/24
198
(37)
—
(
37
)
Morgan
Stanley,
Pay
Underlying
Reference:
United
States
Natural
Gas
Fund
Monthly,
Receive
Variable
(0.160)%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
94
(28)
—
(
28
)
Morgan
Stanley,
Pay
Underlying
Reference:
United
States
Steel
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
470
64
—
64
Morgan
Stanley,
Pay
Underlying
Reference:
Valero
Energy
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
426
13
—
13
Morgan
Stanley,
Pay
Underlying
Reference:
Verizon
Monthly,
Receive
Variable
(0.160)%
(1M
USD
LIBOR
+
(0.20)%)
Monthly,
1/18/24
334
1
—
1
Morgan
Stanley,
Pay
Underlying
Reference:
VF
Monthly,
Receive
Variable
(0.160)%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
664
11
—
11
Morgan
Stanley,
Pay
Underlying
Reference:
Werner
Enterprises
Monthly,
Receive
Variable
(0.160)%
(SOFR
+
(0.20)%)
Monthly,
1/18/24
482
23
—
23
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
80
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
7GC
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
2
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
7GC,
Class
A
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
71
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Acadia
Realty
Trust
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
484
(45)
—
(
45
)
Morgan
Stanley,
Receive
Underlying
Reference:
Activision
Blizzard
Monthly,
Pay
Variable
0.447%
(SOFR
+
0.40%)
Monthly,
1/18/24
683
(28)
—
(
28
)
Morgan
Stanley,
Receive
Underlying
Reference:
Air
Products
and
Chemicals
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
1,682
(27)
—
(
27
)
Morgan
Stanley,
Receive
Underlying
Reference:
Allegiant
Travel
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
473
(8)
—
(
8
)
Morgan
Stanley,
Receive
Underlying
Reference:
Alphabet,
Class
C
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
801
(4)
—
(
4
)
Morgan
Stanley,
Receive
Underlying
Reference:
Altaba
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
47
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Amazon.com
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
762
(45)
—
(
45
)
Morgan
Stanley,
Receive
Underlying
Reference:
Ameren
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
416
5
—
5
Morgan
Stanley,
Receive
Underlying
Reference:
Apartment
Income
REIT
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
300
(8)
—
(
8
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
81
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Apple
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
1,470
43
—
43
Morgan
Stanley,
Receive
Underlying
Reference:
Assurant
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
168
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Atmos
Energy
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
391
7
—
7
Morgan
Stanley,
Receive
Underlying
Reference:
Becton
Dickinson
&
Company
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
330
(8)
—
(
8
)
Morgan
Stanley,
Receive
Underlying
Reference:
Black
Knight
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
549
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Broadcom
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
1,210
17
—
17
Morgan
Stanley,
Receive
Underlying
Reference:
Burlington
Stores
Monthly,
Pay
Variable
0.440%
(SOFR
+
0.40%)
Monthly,
1/18/24
819
28
—
28
Morgan
Stanley,
Receive
Underlying
Reference:
Burlington
Stores
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
209
17
—
17
Morgan
Stanley,
Receive
Underlying
Reference:
Cadence
Design
Systems
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
609
(6)
—
(
6
)
Morgan
Stanley,
Receive
Underlying
Reference:
Camden
Property
Trust
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
516
(14)
—
(
14
)
Morgan
Stanley,
Receive
Underlying
Reference:
Capital
One
Financial
Monthly,
Pay
Variable
0.447%
(SOFR
+
0.40%)
Monthly,
1/18/24
333
(22)
—
(
22
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
82
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Capital
One
Financial
Monthly,
Pay
Variable
0.447%
(SOFR
+
0.40%)
Monthly,
1/18/24
724
(3)
—
(
3
)
Morgan
Stanley,
Receive
Underlying
Reference:
Carney
Technology
Acquisition,
Class
A
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
127
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Cascade
Acquisition,
Class
A
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
65
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Cedar
Fair
Monthly,
Pay
Variable
0.697%
(1M
USD
LIBOR
+
0.65%)
Monthly,
1/18/24
87
7
—
7
Morgan
Stanley,
Receive
Underlying
Reference:
Charles
Schwab
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
624
(30)
—
(
30
)
Morgan
Stanley,
Receive
Underlying
Reference:
Chipotle
Mexican
Grill
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
619
3
—
3
Morgan
Stanley,
Receive
Underlying
Reference:
Citigroup
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
2,053
(6)
—
(
6
)
Morgan
Stanley,
Receive
Underlying
Reference:
Citizens
Financial
Group
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
340
(26)
—
(
26
)
Morgan
Stanley,
Receive
Underlying
Reference:
Citrix
Systems
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
298
3
—
3
Morgan
Stanley,
Receive
Underlying
Reference:
CME
Group
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
606
16
—
16
Morgan
Stanley,
Receive
Underlying
Reference:
Constellation
Brands,
Class
A
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
1,162
(27)
—
(
27
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
83
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
CyrusOne
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
214
1
—
1
Morgan
Stanley,
Receive
Underlying
Reference:
Danaher
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
301
(3)
—
(
3
)
Morgan
Stanley,
Receive
Underlying
Reference:
Delwinds
Insurance
Acquisition,
Class
A
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
147
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Dollar
Tree
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
345
6
—
6
Morgan
Stanley,
Receive
Underlying
Reference:
Dominion
Energy
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
765
21
—
21
Morgan
Stanley,
Receive
Underlying
Reference:
DoorDash,
Class
A
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
284
(33)
—
(
33
)
Morgan
Stanley,
Receive
Underlying
Reference:
DoorDash,
Class
A
Monthly,
Pay
Variable
0.447%
(SOFR
+
0.40%)
Monthly,
1/18/24
202
(11)
—
(
11
)
Morgan
Stanley,
Receive
Underlying
Reference:
Douglas
Emmett
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
470
(47)
—
(
47
)
Morgan
Stanley,
Receive
Underlying
Reference:
elf
Beauty
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
413
21
—
21
Morgan
Stanley,
Receive
Underlying
Reference:
Eli
Lilly
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
912
(6)
—
(
6
)
Morgan
Stanley,
Receive
Underlying
Reference:
EOG
Resources
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
1,212
66
—
66
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
84
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Equitable
Holdings
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
445
(18)
—
(
18
)
Morgan
Stanley,
Receive
Underlying
Reference:
Equitrans
Midstream
Monthly,
Pay
Variable
0.440%
(SOFR
+
0.40%)
Monthly,
1/18/24
47
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Equity
Distribution
Acquisition,
Class
A
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
146
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Equity
Residential
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
507
(9)
—
(
9
)
Morgan
Stanley,
Receive
Underlying
Reference:
Eversource
Energy
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
258
8
—
8
Morgan
Stanley,
Receive
Underlying
Reference:
EZCORP,
Class
A
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
531
(27)
—
(
27
)
Morgan
Stanley,
Receive
Underlying
Reference:
FleetCor
Technologies
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
465
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Freshpet
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
442
23
—
23
Morgan
Stanley,
Receive
Underlying
Reference:
General
Electric
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
2,398
(196)
1
(
197
)
Morgan
Stanley,
Receive
Underlying
Reference:
General
Electric
Monthly,
Pay
Variable
0.448%
(SOFR
+
0.40%)
Monthly,
1/18/24
45
2
—
2
Morgan
Stanley,
Receive
Underlying
Reference:
Goldman
Sachs
Group
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
568
—
—
—
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
85
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Huntington
Bancshares
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
1,021
(140)
—
(
140
)
Morgan
Stanley,
Receive
Underlying
Reference:
Intuitive
Surgical
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
940
(36)
—
(
36
)
Morgan
Stanley,
Receive
Underlying
Reference:
Kimco
Realty
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
445
(11)
—
(
11
)
Morgan
Stanley,
Receive
Underlying
Reference:
KKR
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
535
25
—
25
Morgan
Stanley,
Receive
Underlying
Reference:
KLA
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
2,486
(143)
—
(
143
)
Morgan
Stanley,
Receive
Underlying
Reference:
Kymera
Therapeutics
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
67
4
—
4
Morgan
Stanley,
Receive
Underlying
Reference:
Las
Vegas
Sands
Monthly,
Pay
Variable
0.447%
(SOFR
+
0.40%)
Monthly,
1/18/24
682
21
—
21
Morgan
Stanley,
Receive
Underlying
Reference:
Lionheart
Acquisition,
Class
A
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
148
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Martin
Marietta
Materials
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
361
(7)
—
(
7
)
Morgan
Stanley,
Receive
Underlying
Reference:
Marvell
Technology
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
297
(24)
—
(
24
)
Morgan
Stanley,
Receive
Underlying
Reference:
McAfee,
Class
A
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
513
—
—
—
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
86
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
MercadoLibre
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
328
9
—
9
Morgan
Stanley,
Receive
Underlying
Reference:
Meta
Platforms,
Class
A
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
1,871
(29)
—
(
29
)
Morgan
Stanley,
Receive
Underlying
Reference:
Monte
Rosa
Therapeutics
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
32
(3)
—
(
3
)
Morgan
Stanley,
Receive
Underlying
Reference:
News,
Class
A
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
406
1
—
1
Morgan
Stanley,
Receive
Underlying
Reference:
NextEra
Energy
Monthly,
Pay
Variable
0.440%
(SOFR
+
0.40%)
Monthly,
1/18/24
144
4
—
4
Morgan
Stanley,
Receive
Underlying
Reference:
NVIDIA
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
519
(29)
—
(
29
)
Morgan
Stanley,
Receive
Underlying
Reference:
NVIDIA
Monthly,
Pay
Variable
0.447%
(SOFR
+
0.40%)
Monthly,
1/18/24
199
4
—
4
Morgan
Stanley,
Receive
Underlying
Reference:
Omnichannel
Acquisition,
Class
A
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
147
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Oportun
Financial
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
563
(28)
—
(
28
)
Morgan
Stanley,
Receive
Underlying
Reference:
O'Reilly
Automotive
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
349
(7)
—
(
7
)
Morgan
Stanley,
Receive
Underlying
Reference:
PACCAR
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
806
(25)
—
(
25
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
87
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Pershing
Square
Tontine
Holdings,
Class
A
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
926
(2)
—
(
2
)
Morgan
Stanley,
Receive
Underlying
Reference:
Phillips
66
Partners
Monthly,
Pay
Variable
0.690%
(SOFR
+
0.65%)
Monthly,
1/18/24
1,605
(46)
—
(
46
)
Morgan
Stanley,
Receive
Underlying
Reference:
Phillips
66
Partners
Monthly,
Pay
Variable
0.697%
(1M
USD
LIBOR
+
0.65%)
Monthly,
1/18/24
822
(47)
—
(
47
)
Morgan
Stanley,
Receive
Underlying
Reference:
Pioneer
Natural
Resources
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
986
13
—
13
Morgan
Stanley,
Receive
Underlying
Reference:
PMV,
Class
A
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
145
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
PNC
Financial
Services
Group
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
488
(25)
—
(
25
)
Morgan
Stanley,
Receive
Underlying
Reference:
PropTech
Investment,
Class
A
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
94
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
QUALCOMM
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
859
(15)
—
(
15
)
Morgan
Stanley,
Receive
Underlying
Reference:
RAPT
Therapeutics
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
53
(7)
—
(
7
)
Morgan
Stanley,
Receive
Underlying
Reference:
ResMed
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
397
(20)
—
(
20
)
Morgan
Stanley,
Receive
Underlying
Reference:
Rivian
Automotive,
Class
A
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
285
(29)
—
(
29
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
88
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Ross
Stores
Monthly,
Pay
Variable
0.440%
(SOFR
+
0.40%)
Monthly,
1/18/24
411
11
—
11
Morgan
Stanley,
Receive
Underlying
Reference:
Ross
Stores
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
263
(4)
—
(
4
)
Morgan
Stanley,
Receive
Underlying
Reference:
Ross
Stores
Monthly,
Pay
Variable
0.450%
(SOFR
+
0.40%)
Monthly,
1/18/24
348
4
—
4
Morgan
Stanley,
Receive
Underlying
Reference:
SBA
Monthly,
Pay
Variable
0.440%
(SOFR
+
0.40%)
Monthly,
1/18/24
340
10
—
10
Morgan
Stanley,
Receive
Underlying
Reference:
Scholar
Rock
Holding
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
110
(6)
—
(
6
)
Morgan
Stanley,
Receive
Underlying
Reference:
Sealed
Air
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
367
8
—
8
Morgan
Stanley,
Receive
Underlying
Reference:
Sempra
Energy
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
424
8
—
8
Morgan
Stanley,
Receive
Underlying
Reference:
Senior
Connect
Acquisition,
Class
A
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
145
(1)
—
(
1
)
Morgan
Stanley,
Receive
Underlying
Reference:
SI-BONE
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
142
(12)
—
(
12
)
Morgan
Stanley,
Receive
Underlying
Reference:
Southwest
Airlines
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
1,133
(17)
—
(
17
)
Morgan
Stanley,
Receive
Underlying
Reference:
State
Street
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
1,149
(74)
—
(
74
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
89
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Stryker
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
687
(33)
—
(
33
)
Morgan
Stanley,
Receive
Underlying
Reference:
Sun
Country
Airlines
Holdings
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
393
6
—
6
Morgan
Stanley,
Receive
Underlying
Reference:
Synopsys
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
855
(8)
—
(
8
)
Morgan
Stanley,
Receive
Underlying
Reference:
Ventas
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
339
5
—
5
Morgan
Stanley,
Receive
Underlying
Reference:
VeriSign
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
720
(10)
—
(
10
)
Morgan
Stanley,
Receive
Underlying
Reference:
Verisk
Analytics
Monthly,
Pay
Variable
0.447%
(SOFR
+
0.40%)
Monthly,
1/18/24
333
(5)
—
(
5
)
Morgan
Stanley,
Receive
Underlying
Reference:
Vulcan
Materials
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
625
(1)
—
(
1
)
Morgan
Stanley,
Receive
Underlying
Reference:
Walt
Disney
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
1,057
(65)
—
(
65
)
Morgan
Stanley,
Receive
Underlying
Reference:
WEC
Energy
Group
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
350
5
—
5
Morgan
Stanley,
Receive
Underlying
Reference:
Wells
Fargo
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
361
(19)
—
(
19
)
Morgan
Stanley,
Receive
Underlying
Reference:
Welltower
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
924
(6)
—
(
6
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
90
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Workday,
Class
A
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
270
8
—
8
Morgan
Stanley,
Receive
Underlying
Reference:
Wynn
Resorts
Monthly,
Pay
Variable
0.448%
(SOFR
+
0.40%)
Monthly,
1/18/24
592
(4)
—
(
4
)
Morgan
Stanley,
Receive
Underlying
Reference:
Xcel
Energy
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
658
12
—
12
Morgan
Stanley,
Receive
Underlying
Reference:
Xilinx
Monthly,
Pay
Variable
0.440%
(SOFR
+
0.40%)
Monthly,
1/18/24
631
64
—
64
Morgan
Stanley,
Receive
Underlying
Reference:
Zynga,
Class
A
Monthly,
Pay
Variable
0.447%
(SOFR
+
0.40%)
Monthly,
1/18/24
253
2
—
2
UBS
Investment
Bank,
Receive
Underlying
Reference:
Terminix
Global
Holdings
Monthly,
Pay
Variable
0.398%
(1M
USD
LIBOR
+
0.35%)
Monthly,
1/18/24
499
(3)
—
(
3
)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Terminix
Global
Holdings
Monthly,
Pay
Variable
0.398%
(SOFR
+
0.35%)
Monthly,
1/18/24
196
(1)
—
(
1
)
Total
United
States
(16)
746
Virgin
Islands
(British)
(0.0)%
Morgan
Stanley,
Receive
Underlying
Reference:
Eucrates
Biomedical
Acquisition
Monthly,
Pay
Variable
0.447%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
39
—
—
—
Total
Virgin
Islands
(British)
—
—
Total
Bilateral
Total
Return
Swaps
(17)
1,294
Interest
Rate
Swaps
0.0%
Brazil
0.0%
Morgan
Stanley,
3
Year
Interest
Rate
Swap,
Receive
Fixed
10.79%
Quarterly,
Pay
Variable
0.70%,
(BRL
CDI)
Quarterly,
1/2/25
22,800
(23)
—
(
23
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
91
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
3
Year
Interest
Rate
Swap,
Receive
Fixed
11.75%
Quarterly,
Pay
Variable
1.70%,
(BRL
CDI)
Quarterly,
1/2/25
22,125
67
—
67
Total
Brazil
—
44
Total
Bilateral
Interest
Rate
Swaps
—
44
Total
Bilateral
Swaps
(148)
1,814
Description
Notional
Amount
$
Value
Initial
$
Value
**
Unrealized
$
Gain/(Loss)
CENTRALLY
CLEARED
SWAPS
(0.0)%
Credit
Default
Swaps,
Protection
Bought
(0.3)%
Foreign/Europe
(0.1)%
Protection
Bought
(Relevant
Credit:
Markit
iTraxx
Crossover-S36,
5
Year
Index),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/20/26
2,410
(271)
(304)
33
Total
Foreign/Europe
33
Luxembourg
(0.0)%
Protection
Bought
(Relevant
Credit:
Glencore
Finance
Europe),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/20/26
230
(47)
(50)
3
Total
Luxembourg
3
South
Africa
0.0%
Protection
Bought
(Relevant
Credit:
Republic
of
South
Africa),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
6/20/26
(USD)
540
20
25
(
5
)
Total
South
Africa
(
5
)
United
States
(0.2)%
Protection
Bought
(Relevant
Credit:
Bausch
Health
Cos),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
6/20/26
1,570
55
(77)
132
Protection
Bought
(Relevant
Credit:
Bausch
Health
Cos),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/20/26
*
110
6
(3)
9
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
92
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Initial
$
Value**
Unrealized
$
Gain/(Loss)
Protection
Bought
(Relevant
Credit:
CHS/
Community
Health
Systems),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
6/20/26
500
18
17
1
Protection
Bought
(Relevant
Credit:
CHS/
Community
Health
Systems),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/20/26
95
5
6
(
1
)
Protection
Bought
(Relevant
Credit:
iStar),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
6/20/26
675
(53)
(84)
31
Protection
Bought
(Relevant
Credit:
Markit
CDX.EM-S36,
5
Year
Index),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
12/20/26
6,325
311
319
(
8
)
Protection
Bought
(Relevant
Credit:
Markit
CDX.NA.HY-S37,
5
Year
Index),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/20/26
10,740
(806)
(842)
36
Protection
Bought
(Relevant
Credit:
Markit
CDX.NA.IG-S37,
5
Year
Index),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
12/20/26
16,380
(327)
(365)
38
Protection
Bought
(Relevant
Credit:
Prudential
Financial),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
6/20/26
220
(4)
(5)
1
Protection
Bought
(Relevant
Credit:
Quest
Diagnostics),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
6/20/26
220
(6)
(6)
—
Protection
Bought
(Relevant
Credit:
Raytheon
Technologies),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
6/20/26
220
(7)
(7)
—
Protection
Bought
(Relevant
Credit:
Xerox),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
12/20/26
55
5
5
—
Total
United
States
239
Total
Centrally
Cleared
Credit
Default
Swaps,
Protection
Bought
270
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
93
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Initial
$
Value**
Unrealized
$
Gain/(Loss)
Credit
Default
Swaps,
Protection
Sold
0.0%
Colombia
(0.0)%
Protection
Sold
(Relevant
Credit:
Republic
of
Colombia,
Baa2*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
6/20/26
(USD)
780
(31)
(11)
(
20
)
Total
Colombia
(
20
)
South
Africa
0.0%
Protection
Sold
(Relevant
Credit:
Anglo
American
Capital,
Baa2*),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
12/20/26
(EUR)
650
139
148
(
9
)
Total
South
Africa
(
9
)
Total
Centrally
Cleared
Credit
Default
Swaps,
Protection
Sold
(
29
)
Interest
Rate
Swaps
0.2%
Australia
0.0%
5
Year
Interest
Rate
Swap,
Pay
Fixed
1.774%
Semi-Annually,
Receive
Variable
0.228%
(6M
BBSW)
Semi-Annually,
1/6/27
7,070
30
1
29
5
Year
Interest
Rate
Swap,
Pay
Fixed
1.842%
Semi-Annually,
Receive
Variable
0.240%
(6M
BBSW)
Semi-Annually,
1/18/27
7,360
17
—
17
10
Year
Interest
Rate
Swap,
Pay
Fixed
2.215%
Semi-Annually,
Receive
Variable
0.235%
(6M
BBSW)
Semi-Annually,
1/20/32
5,445
(12)
1
(
13
)
10
Year
Interest
Rate
Swap,
Pay
Fixed
2.278%
Semi-Annually,
Receive
Variable
0.262%
(6M
BBSW)
Semi-Annually,
1/28/32
3,700
(22)
—
(
22
)
Total
Australia
11
Canada
0.0%
5
Year
Interest
Rate
Swap,
Pay
Fixed
2.098%
Semi-Annually,
Receive
Variable
0.753%
(3M
CAD
CDOR)
Semi-Annually,
1/25/27
6,625
7
—
7
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
94
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Initial
$
Value**
Unrealized
$
Gain/(Loss)
5
Year
Interest
Rate
Swap,
Pay
Fixed
2.127%
Semi-Annually,
Receive
Variable
0.563%
(3M
CAD
CDOR)
Semi-Annually,
1/18/27
6,600
(3)
—
(
3
)
30
Year
Interest
Rate
Swap,
Pay
Fixed
2.115%
Semi-Annually,
Receive
Variable
0.480%
(3M
CAD
CDOR)
Semi-Annually,
8/4/51
920
58
—
58
Total
Canada
62
China
0.1%
5
Year
Interest
Rate
Swap,
Receive
Fixed
2.432%
Quarterly,
Pay
Variable
2.150%
(7
Day
Interbank
Repo)
Quarterly,
8/9/26
30,500
44
—
44
5
Year
Interest
Rate
Swap,
Receive
Fixed
2.625%
Quarterly,
Pay
Variable
2.080%
(7
Day
Interbank
Repo)
Quarterly,
12/16/26
31,800
90
—
90
Total
China
134
Hong
Kong
(0.0)%
5
Year
Interest
Rate
Swap,
Receive
Fixed
0.700%
Quarterly,
Pay
Variable
0.159%
(3M
HKD
HIBOR)
Quarterly,
8/6/26
11,000
(58)
—
(
58
)
Total
Hong
Kong
(
58
)
Mexico
(0.0)%
5
Year
Interest
Rate
Swap,
Receive
Fixed
7.176%
28
Days,
Pay
Variable
5.722%
(MXIBTIIE)
28
Days,
11/16/26
18,060
(10)
—
(
10
)
5
Year
Interest
Rate
Swap,
Receive
Fixed
7.260%
28
Days,
Pay
Variable
5.722%
(MXIBTIIE)
28
Days,
11/13/26
6,845
(3)
—
(
3
)
5
Year
Interest
Rate
Swap,
Receive
Fixed
7.295%
28
Days,
Pay
Variable
5.722%
(MXIBTIIE)
28
Days,
11/12/26
18,260
(4)
1
(
5
)
5
Year
Interest
Rate
Swap,
Receive
Fixed
7.345%
28
Days,
Pay
Variable
5.723%
(MXIBTIIE)
28
Days,
11/11/26
11,135
(2)
—
(
2
)
Total
Mexico
(
20
)
Poland
0.2%
10
Year
Interest
Rate
Swap,
Pay
Fixed
1.628%
Annually,
Receive
Variable
0.250%
(6M
PLN
WIBOR)
Semi-Annually,
8/6/31
15,500
687
—
687
Total
Poland
687
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
95
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Initial
$
Value**
Unrealized
$
Gain/(Loss)
South
Korea
(0.1)%
10
Year
Interest
Rate
Swap,
Receive
Fixed
1.949%
Quarterly,
Pay
Variable
1.280%
(3M
KWCDC)
Quarterly,
9/17/31
6,340,000
(132)
—
(
132
)
Total
South
Korea
(
132
)
United
Kingdom
0.0%
30
Year
Interest
Rate
Swap,
Pay
Fixed
0.912%
Annually,
Receive
Variable
0.090%
(GBP
SONIA)
Annually,
9/27/51
1,020
50
—
50
50
Year
Interest
Rate
Swap,
Pay
Fixed
0.742%
Annually,
Receive
Variable
0.090%
(GBP
SONIA)
Annually,
9/27/71
105
9
1
8
Total
United
Kingdom
58
Total
Centrally
Cleared
Interest
Rate
Swaps
742
Zero-Coupon
Inflation
Swaps
0.1%
United
States
0.1%
5
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
0.029%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
12/9/26
887
9
1
8
5
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
3.007%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
12/14/26
256
2
—
2
5
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
3.026%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
12/10/26
257
2
—
2
5
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
3.176%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
11/26/26
500
2
1
1
5
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
3.180%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
11/26/26
500
1
—
1
5
Year
Zero-Coupon
Inflation
Swap
Receive
Fixed
0.029%
at
Maturity,
Pay
Variable
(Change
in
CPI)
at
Maturity,
12/9/26
5,000
(51)
—
(
51
)
5
Year
Zero-Coupon
Inflation
Swap
Receive
Fixed
2.815%
at
Maturity,
Pay
Variable
(Change
in
CPI)
at
Maturity,
1/21/27
4,800
(42)
—
(
42
)
5
Year
Zero-Coupon
Inflation
Swap
Receive
Fixed
2.864%
at
Maturity,
Pay
Variable
(Change
in
CPI)
at
Maturity,
12/21/26
4,984
(65)
1
(
66
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
96
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Initial
$
Value**
Unrealized
$
Gain/(Loss)
5
Year
Zero-Coupon
Inflation
Swap
Receive
Fixed
2.875%
at
Maturity,
Pay
Variable
(Change
in
CPI)
at
Maturity,
1/11/27
4,900
(37)
—
(
37
)
10
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.525%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
9/29/31
680
27
1
26
10
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.558%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
9/29/31
208
7
—
7
10
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.560%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
9/22/31
1,053
38
1
37
10
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.565%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
9/22/31
597
21
—
21
10
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.588%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
10/1/31
153
5
—
5
10
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.597%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
9/30/31
153
4
—
4
10
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.598%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
9/30/31
103
3
—
3
10
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.605%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
9/30/31
171
5
—
5
30
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.378%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
8/7/51
830
58
—
58
Total
United
States
(
16
)
Total
Centrally
Cleared
Zero-Coupon
Inflation
Swaps
(
16
)
Total
Centrally
Cleared
Swaps
967
Net
payments
(receipts)
of
variation
margin
to
date
(
1,090
)
Variation
margin
receivable
(payable)
on
centrally
cleared
swaps
$
(
123
)
*
Credit
ratings
as
of
January
31,
2022.
Ratings
shown
are
from
Moody’s
Investors
Service
and
if
Moody’s
does
not
rate
a
security,
then
Standard
&
Poor’s
(S&P)
is
used.
Fitch
is
used
for
securities
that
are
not
rated
by
either
Moody’s
or
S&P.
**
Includes
interest
purchased
or
sold
but
not
yet
collected
of
$(87).
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
97
(Amounts
in
000s)
FORWARD
CURRENCY
EXCHANGE
CONTRACTS
Counterparty
Settlement
Receive
Deliver
Unrealized
Gain/(Loss)
Bank
of
America
2/28/22
USD
1,375
AUD
1,917
$
19
Bank
of
America
2/28/22
USD
3,199
CHF
2,943
21
Bank
of
America
4/8/22
RUB
73,430
USD
916
16
Bank
of
America
4/8/22
USD
603
INR
45,080
4
Bank
of
America
4/8/22
USD
936
RUB
73,430
5
Bank
of
America
4/8/22
USD
915
RUB
73,430
(
16
)
Bank
of
America
4/13/22
MXN
11,270
USD
537
2
Barclays
Bank
3/18/22
ZAR
4,892
USD
322
(
5
)
Barclays
Bank
4/8/22
USD
115
IDR
1,664,125
—
Barclays
Bank
4/8/22
USD
838
TWD
23,033
5
Barclays
Bank
4/14/22
USD
323
TRY
4,767
(
21
)
BNP
Paribas
2/1/22
NZD
1,792
USD
1,198
(
19
)
BNP
Paribas
2/18/22
PLN
1,993
USD
502
(
14
)
BNP
Paribas
2/18/22
USD
172
PLN
686
4
BNP
Paribas
2/25/22
SEK
9,464
USD
1,053
(
38
)
BNP
Paribas
2/25/22
USD
1,400
EUR
1,234
12
BNP
Paribas
2/25/22
USD
561
SEK
4,953
30
BNP
Paribas
2/28/22
RUB
1,137,031
USD
14,376
206
BNP
Paribas
2/28/22
USD
1,197
NZD
1,792
19
BNP
Paribas
2/28/22
USD
10,299
RUB
821,205
(
233
)
BNP
Paribas
3/11/22
USD
297
CLP
252,295
(
16
)
BNP
Paribas
3/11/22
USD
43
THB
1,462
(
1
)
Canadian
Imperial
Bank
of
Commerce
4/22/22
CAD
910
USD
722
(
6
)
Citibank
2/1/22
USD
1,238
NZD
1,792
59
Citibank
2/2/22
BRL
2,855
USD
533
4
Citibank
2/2/22
USD
498
BRL
2,855
(
39
)
Citibank
2/16/22
EGP
8,866
USD
550
12
Citibank
2/25/22
USD
91
EUR
80
2
Citibank
3/11/22
USD
39
THB
1,296
—
Citibank
4/8/22
INR
1,898
USD
25
—
Citibank
4/13/22
USD
771
MXN
15,978
6
Citibank
4/14/22
RSD
6,188
USD
59
—
Citibank
4/21/22
USD
386
ILS
1,225
(
2
)
Citibank
4/22/22
USD
1,089
JPY
123,942
11
Citibank
4/22/22
USD
798
NZD
1,167
32
Credit
Suisse
2/2/22
BRL
2,825
USD
527
4
Credit
Suisse
2/2/22
USD
493
BRL
2,825
(
39
)
Credit
Suisse
2/25/22
USD
1,962
TWD
54,200
9
Deutsche
Bank
2/18/22
PLN
1,990
USD
489
(
2
)
Deutsche
Bank
2/25/22
EUR
355
USD
402
(
3
)
Deutsche
Bank
2/25/22
USD
722
EUR
634
9
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
98
(Amounts
in
000s)
FORWARD
CURRENCY
EXCHANGE
CONTRACTS
(CONTINUED)
Counterparty
Settlement
Receive
Deliver
Unrealized
Gain/(Loss)
Deutsche
Bank
3/3/22
BRL
1,403
USD
244
$
18
Deutsche
Bank
3/11/22
MYR
33
USD
8
—
Deutsche
Bank
3/11/22
THB
19,325
USD
585
(
5
)
Deutsche
Bank
3/11/22
USD
539
PHP
27,316
6
Deutsche
Bank
3/18/22
ZAR
3,315
USD
205
9
Deutsche
Bank
4/8/22
USD
603
INR
45,080
4
Deutsche
Bank
4/8/22
USD
428
TWD
11,747
3
Goldman
Sachs
2/2/22
BRL
33,487
USD
6,120
183
Goldman
Sachs
2/2/22
USD
6,192
BRL
33,487
(
112
)
Goldman
Sachs
2/25/22
SEK
4,985
USD
546
(
12
)
Goldman
Sachs
2/25/22
USD
4,330
EUR
3,727
140
Goldman
Sachs
2/28/22
INR
1,312,667
USD
17,565
(
17
)
Goldman
Sachs
2/28/22
USD
962
CAD
1,232
(
7
)
Goldman
Sachs
2/28/22
USD
969
EUR
854
8
Goldman
Sachs
2/28/22
USD
959
NOK
8,709
(
20
)
Goldman
Sachs
2/28/22
USD
957
PHP
48,506
10
Goldman
Sachs
2/28/22
USD
1,887
ZAR
28,898
14
Goldman
Sachs
2/28/22
ZAR
12,430
USD
799
6
Goldman
Sachs
3/3/22
BRL
24,515
USD
4,470
111
Goldman
Sachs
3/3/22
USD
923
BRL
5,270
(
62
)
Goldman
Sachs
3/11/22
USD
958
COP
3,863,788
(
16
)
Goldman
Sachs
3/11/22
USD
238
THB
8,024
(
3
)
Goldman
Sachs
4/22/22
USD
1,095
JPY
124,220
14
Goldman
Sachs
4/29/22
RUB
74,700
USD
940
2
HSBC
Bank
2/2/22
BRL
11,824
USD
2,079
147
HSBC
Bank
2/2/22
USD
2,207
BRL
11,824
(
19
)
HSBC
Bank
2/25/22
EUR
2,162
USD
2,455
(
24
)
HSBC
Bank
2/25/22
USD
3,058
GBP
2,283
(
12
)
HSBC
Bank
2/28/22
USD
1,444
KRW
1,713,192
25
HSBC
Bank
2/28/22
USD
954
KRW
1,154,855
(
3
)
HSBC
Bank
3/11/22
USD
172
MYR
731
(
2
)
HSBC
Bank
4/22/22
USD
448
AUD
630
3
HSBC
Bank
4/22/22
USD
20
CAD
25
—
Morgan
Stanley
2/2/22
BRL
11,161
USD
2,078
23
Morgan
Stanley
2/2/22
USD
1,978
BRL
11,161
(
122
)
Morgan
Stanley
2/25/22
EUR
4,611
USD
5,243
(
60
)
Morgan
Stanley
2/25/22
USD
5,625
EUR
4,850
173
Morgan
Stanley
2/28/22
USD
6,534
SEK
60,479
47
Morgan
Stanley
3/3/22
USD
924
BRL
5,270
(
61
)
Morgan
Stanley
3/11/22
THB
190
USD
6
—
Morgan
Stanley
4/8/22
USD
651
KRW
775,693
9
Morgan
Stanley
4/8/22
USD
411
TWD
11,286
3
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
99
(Amounts
in
000s)
FORWARD
CURRENCY
EXCHANGE
CONTRACTS
(CONTINUED)
Counterparty
Settlement
Receive
Deliver
Unrealized
Gain/(Loss)
Morgan
Stanley
4/14/22
HUF
175,658
USD
548
$
3
Morgan
Stanley
4/22/22
USD
1,336
JPY
152,728
7
RBC
Dominion
Securities
2/25/22
USD
74
GBP
54
1
Standard
Chartered
2/25/22
GBP
570
USD
763
4
Standard
Chartered
2/25/22
USD
766
GBP
570
(
1
)
Standard
Chartered
2/25/22
USD
957
INR
72,351
(
11
)
Standard
Chartered
2/28/22
USD
973
AUD
1,358
13
Standard
Chartered
3/11/22
USD
172
MYR
731
(
3
)
Standard
Chartered
4/14/22
ZAR
3,886
USD
252
(
2
)
Standard
Chartered
4/22/22
USD
703
CAD
890
3
State
Street
2/18/22
USD
949
PLN
3,806
17
State
Street
2/25/22
EUR
3,222
USD
3,659
(
37
)
State
Street
2/25/22
USD
74
EUR
65
1
State
Street
2/25/22
USD
135
EUR
121
(
1
)
State
Street
2/28/22
USD
4,210
EUR
3,732
15
State
Street
3/18/22
ZAR
1,510
USD
93
4
State
Street
4/14/22
ZAR
11,300
USD
726
2
State
Street
4/21/22
USD
767
ILS
2,384
12
State
Street
4/21/22
USD
129
ILS
411
(
1
)
State
Street
4/22/22
AUD
75
USD
53
—
State
Street
4/22/22
NOK
4,858
USD
553
(
8
)
State
Street
4/22/22
USD
506
AUD
703
9
State
Street
4/22/22
USD
64
AUD
91
(
1
)
State
Street
4/22/22
USD
696
CAD
873
10
State
Street
4/22/22
USD
2,508
JPY
286,626
15
UBS
Investment
Bank
2/18/22
CZK
29,578
USD
1,334
29
UBS
Investment
Bank
2/25/22
USD
8,370
EUR
7,219
256
UBS
Investment
Bank
2/25/22
USD
1,619
SEK
14,232
93
UBS
Investment
Bank
2/28/22
MXN
35,200
USD
1,702
(
3
)
UBS
Investment
Bank
3/11/22
CLP
224,886
USD
264
16
UBS
Investment
Bank
3/11/22
USD
902
CLP
756,886
(
38
)
UBS
Investment
Bank
3/11/22
USD
65
THB
2,182
(
1
)
UBS
Investment
Bank
3/18/22
USD
1,334
ZAR
21,600
(
62
)
UBS
Investment
Bank
4/8/22
RUB
111,989
USD
1,389
32
UBS
Investment
Bank
4/8/22
RUB
23,788
USD
305
(
3
)
UBS
Investment
Bank
4/8/22
USD
813
IDR
11,648,876
5
UBS
Investment
Bank
4/8/22
USD
1,170
RUB
88,201
51
UBS
Investment
Bank
4/8/22
USD
1,388
RUB
111,989
(
33
)
UBS
Investment
Bank
4/14/22
USD
1,158
ZAR
18,357
(
23
)
UBS
Investment
Bank
4/22/22
AUD
2,985
USD
2,147
(
36
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
100
(Amounts
in
000s)
FORWARD
CURRENCY
EXCHANGE
CONTRACTS
(CONTINUED)
Counterparty
Settlement
Receive
Deliver
Unrealized
Gain/(Loss)
UBS
Investment
Bank
4/22/22
USD
563
JPY
64,018
$
7
Net
unrealized
gain
(loss)
on
open
forward
currency
exchange
contracts
$
779
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
101
FUTURES
CONTRACTS
($000s)
Expiration
Date
Notional
Amount
Value
and
Unrealized
Gain
(Loss)
Long,
20
Amsterdam
IDX
contracts
2/22
3,388
$
(
57
)
Long,
39
Hang
Seng
Index
contracts
2/22
5,968
(
87
)
Long,
70
Euro
BOBL
contracts
3/22
10,400
(
34
)
Short,
126
Euro
BTP
contracts
3/22
(20,650)
29
Short,
85
Euro
BUND
contracts
3/22
(16,149)
97
Short,
4
Euro
BUXL
thirty
year
bond
contracts
3/22
(914)
15
Long,
44
Euro
OAT
contracts
3/22
7,959
(
42
)
Long,
145
Euro
SCHATZ
contracts
3/22
18,225
(
19
)
Short,
104
TOPIX
Index
contracts
3/22
(17,157)
865
Long,
5
Mini
ten
year
JGB
contracts
3/22
655
(
6
)
Short,
10
Government
of
Australia
ten
year
bond
contracts
3/22
(969)
17
Long,
19
Republic
of
South
Korea
ten
year
bond
contracts
3/22
1,903
(
69
)
Long,
38
ASX
SPI
200
Index
contracts
3/22
4,613
(
289
)
Short,
17
Dax
Performance
Index
contracts
3/22
(7,355)
198
Short,
188
Euro
STOXX
contracts
3/22
(8,750)
76
Short,
40
FTSE
100
Index
contracts
3/22
(3,979)
25
Short,
130
MSCI
Emerging
Markets
Index
contracts
3/22
(7,961)
(
11
)
Short,
101
NASDAQ
100
E-Mini
contracts
3/22
(30,108)
887
Short,
94
S&P
500
E-Mini
Index
contracts
3/22
(21,170)
(
240
)
Short,
167
Government
of
Canada
ten
year
bond
contracts
3/22
(18,275)
16
Short,
30
U.S.
Treasury
Long
Bond
contracts
3/22
(4,669)
(
34
)
Short,
90
U.S.
Treasury
Notes
ten
year
contracts
3/22
(11,517)
18
Long,
5
Ultra
U.S.
Treasury
Bonds
contracts
3/22
945
(
8
)
Long,
88
Long
Gilt
ten
year
contracts
3/22
14,434
(
322
)
Short,
228
U.S.
Treasury
Notes
five
year
contracts
3/22
(27,178)
213
Long,
110
U.S.
Treasury
Notes
two
year
contracts
3/22
23,832
(
214
)
Net
payments
(receipts)
of
variation
margin
to
date
(
3,059
)
Variation
margin
receivable
(payable)
on
open
futures
contracts
$
(
2,035
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
102
The
accompanying
notes
are
an
integral
part
of
this
Portfolio
of
Investments.
AFFILIATED
COMPANIES
($000s)
The
fund
may
invest
in
certain
securities
that
are
considered
affiliated
companies.
As
defined
by
the
1940
Act,
an
affiliated
company
is
one
in
which
the
fund
owns
5%
or
more
of
the
outstanding
voting
securities,
or
a
company
that
is
under
common
ownership
or
control.
The
following
securities
were
considered
affiliated
companies
for
all
or
some
portion
of
the
three
months
ended
January
31,
2022.
Net
realized
gain
(loss),
investment
income,
change
in
net
unrealized
gain/loss,
and
purchase
and
sales
cost
reflect
all
activity
for
the
period
then
ended.
Affiliate
Net
Realized
Gain
(Loss)
Change
in
Net
Unrealized
Gain/Loss
Investment
Income
T.
Rowe
Price
Government
Reserve
Fund,
0.09%
$
—
$
—
$
20
++
T.
Rowe
Price
Short-Term
Fund
—
—
—
++
Totals
$
—
#
$
—
$
20
+
Supplementary
Investment
Schedule
Affiliate
Value
10/31/21
Purchase
Cost
Sales
Cost
Value
01/31/22
T.
Rowe
Price
Government
Reserve
Fund,
0.09%
$
127,142
¤
¤
$
108,048
T.
Rowe
Price
Short-Term
Fund
6,864
¤
¤
—
Total
$
108,048
^
#
Capital
gain
distributions
from
mutual
funds
represented
$0
of
the
net
realized
gain
(loss).
++
Excludes
earnings
on
securities
lending
collateral,
which
are
subject
to
rebates
and
fees.
+
Investment
income
comprised
$20
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
$108,048.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Unaudited
Notes
to
Portfolio
of
Investments
103
T.
Rowe
Price
Multi-Strategy
Total
Return
Fund,
Inc. (the
fund) is
registered
under
the
Investment
Company
Act
of
1940
(the
1940
Act)
as
an
open-end
management
investment
company
and
follows
accounting
and
reporting
guidance
of
the
Financial
Accounting
Standards
Board
Accounting
Standards
Codification
Topic
946.
The
accompanying
Portfolio
of
Investments
was
prepared
in
accordance
with
accounting
principles
generally
accepted
in
the
United
States
of
America
(GAAP).
For
additional
information
on
the
fund’s
significant
accounting
policies
and
investment
related
disclosures,
please
refer
to
the
fund’s most
recent
semiannual
or
annual
shareholder
report
and
its
prospectus.
VALUATION
Fair
Value
The
fund’s
financial
instruments
are
valued
at
the
close
of
the
New
York
Stock
Exchange
(NYSE),
normally
4
p.m.
ET,
each
day
the
NYSE
is
open
for
business,
and
are
reported
at
fair
value,
which
GAAP
defines
as
the
price
that
would
be
received
to
sell
an
asset
or
paid
to
transfer
a
liability
in
an
orderly
transaction
between
market
participants
at
the
measurement
date. The
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
104
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.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
105
The
last
quoted
prices
of
non-U.S.
equity
securities
may
be
adjusted
to
reflect
the
fair
value
of
such
securities
at
the
close
of
the
NYSE,
if
the
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
denominated
in
foreign
currencies
are
translated
into
U.S.
dollar
values
each
day
at
the
prevailing
exchange
rate,
using
the
mean
of
the
bid
and
asked
prices
of
such
currencies
against
U.S.
dollars
as
provided
by
an
outside
pricing
service.
Investments
in
mutual
funds
are
valued
at
the
mutual
fund’s
closing
NAV
per
share
on
the
day
of
valuation.
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
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
106
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
107
Valuation
Inputs
The
following
table
summarizes
the
fund’s
financial
instruments,
based
on
the
inputs
used
to
determine
their
fair
values
on
January
31,
2022
(for
further
detail
by
category,
please
refer
to
the
accompanying
Portfolio
of
Investments):
($000s)
Level
1
Level
2
Level
3
Total
Value
Assets
Fixed
Income
Securities
1
$
—
$
66,022
$
—
$
66,022
Bank
Loans
—
53,383
2,166
55,549
Common
Stocks
67,455
22,016
255
89,726
Convertible
Preferred
Stocks
—
2,783
508
3,291
Corporate
Bonds
—
41,753
821
42,574
Equity
Mutual
Funds
2,747
—
—
2,747
Preferred
Stocks
—
570
—
570
Short-Term
Investments
100,814
—
—
100,814
Securities
Lending
Collateral
7,234
—
—
7,234
Options
Purchased
23
845
—
868
Total
Securities
178,273
187,372
3,750
369,395
Swaps*
—
8,715
—
8,715
Forward
Currency
Exchange
Contracts
—
2,054
—
2,054
Futures
Contracts*
2,456
—
—
2,456
Total
$
180,729
$
198,141
$
3,750
$
382,620
Liabilities
Options
Written
$
340
$
2,680
$
—
$
3,020
Swaps*
—
6,082
—
6,082
Forward
Currency
Exchange
Contracts
—
1,275
—
1,275
Futures
Contracts*
1,432
—
—
1,432
Total
$
1,772
$
10,037
$
—
$
11,809
1
Includes
Asset-Backed
Securities,
Convertible
Bonds,
Government
Bonds,
Municipal
Securities,
Non-U.S.
Government
Mortgage-Backed
Securities
and
U.S.
Government
Agency
Obligations
(Excluding
Mortgage-Backed).
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
108
SUBSEQUENT
EVENT
In
February
2022,
Russian
forces
entered
Ukraine
and
commenced
an
armed
conflict.
Economic
sanctions
have
since
been
imposed
on
Russia
and
certain
of
its
citizens,
including
the
exclusion
of
Russia
from
the
SWIFT
global
payments
network.
As
a
result,
Russia’s
central
bank
closed
the
country’s
stock
market
on
February
28,
2022,
and
Russian-related
stocks
and
debt
and
the
Russian
ruble
have
since
suffered
significant
declines
in
value.
In
addition,
this
armed
conflict
and
the
related
sanctions
may
cause
significant
disruptions
to
global
business
activity
and
volatility
in
global
financial
markets.
The
duration
of
the
conflict
and
related
economic
sanctions
and
their
effects
on
the
financial
markets
cannot
be
determined
with
certainty.
The
fund’s
performance
could
be
negatively
impacted
if
the
value
of
a
portfolio
holding
were
harmed
by
such
events.
Management
is
actively
monitoring
these
events.
F1112-054Q1
01/22
*
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.