T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
July
31,
2022
(Unaudited)
1
Portfolio
of
Investments
‡
Shares/Par
$
Value
(
Cost
and
value
in
$000s)
‡
ALBANIA
0.1%
Government
Bonds
0.1%
Republic
of
Albania,
3.50%,
11/23/31
(EUR)
260,000
215
Total
Albania
(Cost
$244
)
215
ARGENTINA
0.0%
Common
Stocks
0.0%
MercadoLibre
(USD) (1)
43
35
Total
Argentina
(Cost
$40
)
35
AUSTRALIA
0.2%
Common
Stocks
0.0%
BHP
Group
1,948
53
Goodman
Group
1,051
16
IGO
1,420
11
Northern
Star
Resources
2,589
14
OZ
Minerals
1,432
19
113
Government
Bonds
0.2%
Commonwealth
of
Australia,
1.75%,
6/21/51
1,108,000
535
535
Total
Australia
(Cost
$566
)
648
AUSTRIA
0.3%
Common
Stocks
0.0%
BAWAG
Group
192
9
Mayr
Melnhof
Karton
74
12
21
Government
Bonds
0.3%
Republic
of
Austria,
0.85%,
6/30/2120 (2)
1,549,000
939
939
Total
Austria
(Cost
$843
)
960
BAHAMAS
0.1%
Government
Bonds
0.1%
Commonwealth
of
Bahamas,
6.00%,
11/21/28
(USD) (2)
310,000
203
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
1
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
2
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Commonwealth
of
Bahamas,
8.95%,
10/15/32
(USD)
250,000
158
Total
Bahamas
(Cost
$481
)
361
BENIN
0.1%
Government
Bonds
0.1%
Republic
of
Benin,
4.875%,
1/19/32
(EUR)
270,000
196
Total
Benin
(Cost
$253
)
196
BRAZIL
1.3%
Common
Stocks
0.2%
B3
221,061
474
Magazine
Luiza (1)
11,347
6
XP,
Class
A
(USD) (1)
8,109
171
651
Corporate
Bonds
0.5%
Braskem
Netherlands
Finance,
5.875%,
1/31/50
(USD) (2)(3)
200,000
174
ERO
Copper,
6.50%,
2/15/30
(USD) (2)
440,000
312
Globo
Comunicacao
e
Participacoes,
4.875%,
1/22/30
(USD) (2)
700,000
565
Globo
Comunicacao
e
Participacoes,
5.50%,
1/14/32
(USD) (2)
280,000
226
Globo
Comunicacao
e
Participacoes,
5.50%,
1/14/32
(USD)
310,000
250
MercadoLibre,
3.125%,
1/14/31
(USD) (3)
200,000
155
Suzano
Austria,
3.125%,
1/15/32
(USD)
300,000
244
1,926
Government
Bonds
0.6%
Brazil
Notas
do
Tesouro
Nacional,
10.00%,
1/1/25
1,700,000
310
Brazil
Notas
do
Tesouro
Nacional,
10.00%,
1/1/27
8,355,000
1,476
Brazil
Notas
do
Tesouro
Nacional,
10.00%,
1/1/31
1,688,000
280
2,066
Total
Brazil
(Cost
$5,374
)
4,643
CANADA
0.8%
Asset-Backed
Securities
0.0%
Cologix
Canadian
Issuer,
Series
2022-1CAN,
Class
A2,
4.94%,
1/25/52 (2)
305,000
229
229
Bank
Loans
0.1%
(4)
Jones
Deslauriers
Insurance
Management,
FRN,
3M
CAD
CDOR
+
4.25%,
7.748%,
3/27/28
421,806
301
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
3
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Jones
Deslauriers
Insurance
Management,
FRN,
3M
CAD
CDOR
+
7.50%,
10.998%,
3/26/29 (5)
25,000
18
319
Common
Stocks
0.3%
Brookfield
Asset
Management,
Class
A
(USD)
465
23
Canadian
Natural
Resources
438
24
Canadian
Pacific
Railway
(USD)
941
74
Constellation
Software
22
37
Descartes
Systems
Group
(USD) (1)
310
21
ERO
Copper (1)
1,092
11
Magna
International
(USD)
337
21
MDA (1)
7,549
50
Nutrien
(USD)
5,554
476
Shopify,
Class
A
(USD) (1)
8,859
308
Summit
Industrial
Income
REIT
1,212
18
Sun
Life
Financial
(USD)
510
24
TC
Energy
(USD)
575
31
Wesdome
Gold
Mines (1)
1,583
13
1,131
Corporate
Bonds
0.3%
1011778
BC
ULC,
5.75%,
4/15/25
(USD) (2)(3)
1,005,000
1,016
1,016
Government
Bonds
0.1%
Government
of
Canada
Real
Return
Bond,
Inflation-Indexed,
4.00%,
12/1/31
282,581
291
291
Total
Canada
(Cost
$3,218
)
2,986
CAYMAN
ISLANDS
0.2%
Common
Stocks
0.2%
Ahren
Acquisition
(USD) (1)
72,251
725
Total
Cayman
Islands
(Cost
$723
)
725
CHILE
0.7%
Corporate
Bonds
0.4%
AES
Andes,
VR,
7.125%,
3/26/79
(USD) (6)
310,000
283
Agrosuper,
4.60%,
1/20/32
(USD)
230,000
200
Empresa
de
los
Ferrocarriles
del
Estado,
3.068%,
8/18/50
(USD)
300,000
186
Empresa
de
Transporte
de
Pasajeros
Metro,
3.65%,
5/7/30
(USD)
300,000
273
Mercury
Chile
Holdco,
6.50%,
1/24/27
(USD)
310,000
273
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
4
Shares/Par
$
Value
(Cost
and
value
in
$000s)
VTR
Comunicaciones,
5.125%,
1/15/28
(USD)
310,000
227
1,442
Government
Bonds
0.3%
Bonos
de
la
Tesoreria
de
la
Republica,
4.50%,
3/1/26
1,055,000,000
1,077
1,077
Total
Chile
(Cost
$2,976
)
2,519
CHINA
1.3%
Common
Stocks
0.6%
58.com
(USD) (1)(5)
22,100
—
Alibaba
Group
Holding
(HKD) (1)
6,600
74
BeiGene,
ADR
(USD) (1)
47
8
Beijing
Capital
International
Airport,
Class
H
(HKD) (1)
44,000
26
H
World
Group,
ADR
(USD)
14,534
557
Kanzhun,
ADR
(USD) (1)
9,235
217
Li
Ning
(HKD)
3,000
24
Meituan,
Class
B
(HKD) (1)
16,800
377
Shanghai
MicroPort
MedBot
Group
(HKD) (1)(3)
7,000
30
Tencent
Holdings
(HKD)
19,709
762
Tsingtao
Brewery,
Class
H
(HKD)
4,000
39
Wuxi
Biologics
Cayman
(HKD) (1)
500
5
Zai
Lab,
ADR
(USD) (1)
99
4
Zhongsheng
Group
Holdings
(HKD)
2,500
14
2,137
Common
Stocks
-
China
A
Shares
0.0%
Kweichow
Moutai,
A
Shares
(CNH)
100
28
NARI
Technology,
A
Shares
(CNH)
8,828
39
Shenzhen
Inovance
Technology,
A
Shares
(CNH)
4,900
48
115
Convertible
Bonds
0.1%
Vnet
Group,
Zero
Coupon,
2/1/26
(USD)
530,000
429
429
Corporate
Bonds
0.6%
CNAC
HK
Finbridge,
3.00%,
9/22/30
(USD)
310,000
269
Huarong
Finance,
4.95%,
11/7/47
(USD)
380,000
252
Kaisa
Group
Holdings,
11.95%,
10/22/22
(USD) (1)(7)
1,515,000
163
Meituan,
3.05%,
10/28/30
(USD) (2)
422,000
305
Shimao
Group
Holdings,
3.45%,
1/11/31
(USD) (7)
200,000
17
Tencent
Holdings,
3.29%,
6/3/60
(USD) (2)
619,000
403
Times
China
Holdings,
6.75%,
7/8/25
(USD)
200,000
23
Yunda
Holding
Investment,
2.25%,
8/19/25
(USD)
310,000
282
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
5
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Zhongsheng
Group
Holdings,
3.00%,
1/13/26
(USD)
310,000
279
1,993
Total
China
(Cost
$5,537
)
4,674
COLOMBIA
0.5%
Corporate
Bonds
0.4%
Banco
de
Bogota,
6.25%,
5/12/26
(USD)
310,000
296
Canacol
Energy,
5.75%,
11/24/28
(USD)
310,000
256
Ecopetrol,
6.875%,
4/29/30
(USD)
300,000
286
GCM
Mining,
6.875%,
8/9/26
(USD) (2)
640,000
479
1,317
Government
Bonds
0.1%
Republic
of
Colombia,
3.875%,
4/25/27
(USD)
300,000
275
Republic
of
Colombia,
7.50%,
8/26/26
1,230,000,000
251
526
Private
Investment
Company
0.0%
Bona
Fide
Investments
Feeder
LLC,
Acquisition
date:
6/1/22,
Cost $30
(USD) (1)(8)
†
29
29
Total
Colombia
(Cost
$2,151
)
1,872
DENMARK
0.2%
Common
Stocks
0.1%
Ascendis
Pharma,
ADR
(USD) (1)
1,938
166
Genmab (1)
66
23
ROCKWOOL,
Class
B
63
16
205
Corporate
Bonds
0.1%
DKT
Finance,
9.375%,
6/17/23
(USD) (2)
400,000
382
382
Total
Denmark
(Cost
$653
)
587
DOMINICAN
REPUBLIC
0.5%
Government
Bonds
0.5%
Dominican
Republic,
5.875%,
1/30/60
(USD)
600,000
457
Dominican
Republic,
5.95%,
1/25/27
(USD)
310,000
306
Dominican
Republic,
6.00%,
7/19/28
(USD)
230,000
223
Dominican
Republic,
6.00%,
2/22/33
(USD) (2)
925,000
842
Total
Dominican
Republic
(Cost
$1,959
)
1,828
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
6
Shares/Par
$
Value
(Cost
and
value
in
$000s)
EGYPT
0.1%
Government
Bonds
0.1%
Arab
Republic
of
Egypt,
3.875%,
2/16/26
(USD)
300,000
208
Total
Egypt
(Cost
$233
)
208
FINLAND
0.0%
Common
Stocks
0.0%
Kojamo
669
12
Sampo,
Class
A
632
27
UPM-Kymmene
816
26
Total
Finland
(Cost
$66
)
65
FRANCE
0.6%
Common
Stocks
0.6%
Air
Liquide
169
23
Airbus
15,366
1,657
Alstom (3)
2,169
52
Legrand
200
16
LVMH
Moet
Hennessy
Louis
Vuitton
182
126
Pernod
Ricard
287
56
Safran
717
79
Schneider
Electric
506
70
TotalEnergies
2,024
104
Verallia
722
19
2,202
Convertible
Preferred
Stocks
0.0%
DNA
Script,
Series
C,
Acquisition
Date:
12/16/21,
Cost $7 (1)
(5)(8)
8
6
6
Corporate
Bonds
0.0%
Altice
France
Holding,
4.00%,
2/15/28
100,000
76
76
Total
France
(Cost
$2,470
)
2,284
GEORGIA
0.1%
Corporate
Bonds
0.1%
Georgian
Railway,
4.00%,
6/17/28
(USD)
310,000
264
Total
Georgia
(Cost
$270
)
264
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
7
Shares/Par
$
Value
(Cost
and
value
in
$000s)
GERMANY
1.9%
Bank
Loans
0.2%
(4)
TK
Elevator
U.S.
Newco,
FRN,
6M
USD
LIBOR
+
3.50%,
6.857%,
7/30/27
(USD)
592,541
571
571
Common
Stocks
0.1%
BioNTech,
ADR
(USD)
202
33
Delivery
Hero (1)
303
15
Infineon
Technologies
5,739
157
Siemens
1,344
150
Zalando (1)(3)
350
10
365
Corporate
Bonds
0.1%
TK
Elevator
Holdco,
7.625%,
7/15/28
(USD) (2)
400,000
362
362
Government
Bonds
1.3%
Deutsche
Bundesrepublik,
Inflation-Indexed,
0.10%,
4/15/26
3,573,971
4,005
Deutsche
Bundesrepublik,
Inflation-Indexed,
0.50%,
4/15/30
568,451
683
4,688
Preferred
Stocks
0.2%
Sartorius
1,470
657
Volkswagen
400
57
714
Total
Germany
(Cost
$7,235
)
6,700
GHANA
0.3%
Corporate
Bonds
0.3%
Kosmos
Energy,
7.125%,
4/4/26
(USD)
1,206,000
1,064
Total
Ghana
(Cost
$1,169
)
1,064
GUATEMALA
0.2%
Corporate
Bonds
0.1%
CT
Trust,
5.125%,
2/3/32
(USD)
300,000
269
269
Government
Bonds
0.1%
Republic
of
Guatemala,
4.875%,
2/13/28
(USD)
300,000
299
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
8
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Republic
of
Guatemala,
4.90%,
6/1/30
(USD)
300,000
295
594
Total
Guatemala
(Cost
$888
)
863
HONG
KONG
0.0%
Common
Stocks
0.0%
Samsonite
International (1)
11,400
24
Total
Hong
Kong
(Cost
$22
)
24
HUNGARY
0.2%
Common
Stocks
0.0%
Wizz
Air
Holdings
(GBP) (1)
859
23
23
Government
Bonds
0.2%
Republic
of
Hungary,
2.25%,
4/20/33
169,080,000
255
Republic
of
Hungary,
3.00%,
10/27/27
128,000,000
241
Republic
of
Hungary,
4.75%,
11/24/32
94,290,000
182
678
Total
Hungary
(Cost
$988
)
701
INDIA
0.7%
Common
Stocks
0.2%
Axis
Bank
47,552
437
HDFC
Bank
19,072
349
Voltas
1,522
19
805
Corporate
Bonds
0.3%
ABJA
Investment,
5.45%,
1/24/28
(USD)
300,000
291
Adani
International
Container
Terminal,
3.00%,
2/16/31
(USD)
297,600
247
Adani
Renewable
Energy
RJ,
4.625%,
10/15/39
(USD)
275,250
199
Azure
Power
Energy,
3.575%,
8/19/26
(USD) (3)
289,110
254
CA
Magnum
Holdings,
5.375%,
10/31/26
(USD) (3)
300,000
265
1,256
Government
Bonds
0.2%
Export-Import
Bank
of
India,
2.25%,
1/13/31
(USD)
300,000
247
Republic
of
India,
6.45%,
10/7/29
32,000,000
386
633
Total
India
(Cost
$2,877
)
2,694
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
9
Shares/Par
$
Value
(Cost
and
value
in
$000s)
INDONESIA
0.5%
Corporate
Bonds
0.5%
Bank
Negara
Indonesia
Persero,
3.75%,
3/30/26
(USD)
310,000
281
Bank
Negara
Indonesia
Persero,
VR,
4.30%
(USD) (6)(9)
310,000
265
Freeport
Indonesia,
5.315%,
4/14/32
(USD) (2)
460,000
433
Freeport
Indonesia,
6.20%,
4/14/52
(USD) (2)
200,000
177
Minejesa
Capital,
4.625%,
8/10/30
(USD)
300,000
276
Pertamina
Persero,
1.40%,
2/9/26
(USD)
300,000
270
Total
Indonesia
(Cost
$1,789
)
1,702
IRELAND
0.2%
Corporate
Bonds
0.2%
AerCap
Ireland
Capital,
3.00%,
10/29/28
(USD)
150,000
131
AerCap
Ireland
Capital,
3.30%,
1/30/32
(USD)
310,000
260
AerCap
Ireland
Capital,
3.50%,
1/15/25
(USD)
225,000
217
AerCap
Ireland
Capital,
FRN,
SOFR
+
0.68%,
2.705%,
9/29/23
(USD)
150,000
148
Avolon
Holdings
Funding,
2.75%,
2/21/28
(USD) (2)
40,000
33
Total
Ireland
(Cost
$871
)
789
ISRAEL
0.6%
Corporate
Bonds
0.3%
Bank
Hapoalim,
VR,
3.255%,
1/21/32
(USD) (2)(6)
300,000
258
Bank
Leumi
Le-Israel,
VR,
3.275%,
1/29/31
(USD) (2)(6)
325,000
290
ICL
Group,
6.375%,
5/31/38
(USD) (2)
310,000
309
Leviathan
Bond,
6.125%,
6/30/25
(USD) (2)
310,000
305
1,162
Government
Bonds
0.3%
State
of
Israel,
3.75%,
3/31/47
2,944,000
955
955
Total
Israel
(Cost
$2,369
)
2,117
ITALY
0.4%
Common
Stocks
0.4%
Davide
Campari-Milano
3,666
41
Ferrari
(USD)
3,944
833
GVS (1)
2,406
23
PRADA
(HKD)
72,000
416
Total
Italy
(Cost
$1,343
)
1,313
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
10
Shares/Par
$
Value
(Cost
and
value
in
$000s)
IVORY
COAST
0.1%
Government
Bonds
0.1%
Republic
of
Ivory
Coast,
4.875%,
1/30/32
(EUR)
160,000
122
Republic
of
Ivory
Coast,
6.375%,
3/3/28
(USD)
310,000
281
Total
Ivory
Coast
(Cost
$465
)
403
JAPAN
0.6%
Common
Stocks
0.6%
Asics
1,300
25
Daiichi
Sankyo
39,100
1,037
Hamamatsu
Photonics
1,200
54
Harmonic
Drive
Systems
9,900
377
Hoshizaki
2,400
72
Industrial
&
Infrastructure
Fund
Investment
9
12
Istyle (1)
2,800
6
Keyence
500
198
Komatsu
500
12
MatsukiyoCocokara
400
15
Mitsui
Fudosan
700
16
Miura
1,600
39
Nippon
Sanso
Holdings
1,700
29
Panasonic
5,000
41
Recruit
Holdings
5,000
187
Seven
&
i
Holdings
800
33
Sompo
Holdings
100
4
Sony
Group
600
51
Stanley
Electric
1,500
26
Suzuki
Motor
1,600
52
Total
Japan
(Cost
$2,220
)
2,286
JORDAN
0.1%
Government
Bonds
0.1%
Kingdom
of
Jordan,
5.85%,
7/7/30
(USD)
300,000
255
Kingdom
of
Jordan,
7.75%,
1/15/28
(USD) (2)
200,000
195
Total
Jordan
(Cost
$473
)
450
KAZAKHSTAN
0.1%
Corporate
Bonds
0.1%
KazMunayGas
National,
5.375%,
4/24/30
(USD)
310,000
285
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
11
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Tengizchevroil
Finance
International,
3.25%,
8/15/30
(USD)
300,000
221
Total
Kazakhstan
(Cost
$552
)
506
LUXEMBOURG
0.2%
Bank
Loans
0.2%
(4)
Delta
2,
FRN,
3M
USD
LIBOR
+
2.50%,
4.872%,
2/1/24
(USD) (10)
895,000
884
Total
Luxembourg
(Cost
$877
)
884
MACAO
0.1%
Corporate
Bonds
0.1%
Wynn
Macau,
5.625%,
8/26/28
(USD)
500,000
391
Total
Macao
(Cost
$474
)
391
MALAYSIA
0.1%
Government
Bonds
0.1%
Government
of
Malaysia,
4.921%,
7/6/48
1,350,000
318
Total
Malaysia
(Cost
$345
)
318
MAURITIUS
0.1%
Corporate
Bonds
0.1%
Axian
Telecom,
7.375%,
2/16/27
(USD) (2)
230,000
213
Axian
Telecom,
7.375%,
2/16/27
(USD)
310,000
286
Total
Mauritius
(Cost
$535
)
499
MEXICO
1.3%
Bank
Loans
0.3%
(4)
Playa
Resorts
Holding,
FRN,
3M
USD
LIBOR
+
2.75%,
5.12%,
4/29/24
(USD)
1,161,888
1,115
1,115
Corporate
Bonds
0.9%
Banco
Mercantil
del
Norte,
VR,
6.75%
(USD) (6)(9)
310,000
293
BBVA
Bancomer,
VR,
5.125%,
1/18/33
(USD) (6)
310,000
269
Cemex,
5.45%,
11/19/29
(USD)
300,000
275
Electricidad
Firme
de
Mexico
Holdings,
4.90%,
11/20/26
(USD)
300,000
237
Mexico
City
Airport
Trust,
3.875%,
4/30/28
(USD)
330,000
294
Mexico
City
Airport
Trust,
5.50%,
7/31/47
(USD) (2)
400,000
305
Mexico
City
Airport
Trust,
5.50%,
7/31/47
(USD)
310,000
236
Petroleos
Mexicanos,
5.35%,
2/12/28
(USD)
310,000
260
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
12
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Petroleos
Mexicanos,
5.50%,
6/27/44
(USD)
310,000
197
Petroleos
Mexicanos,
6.70%,
2/16/32
(USD)
835,000
671
Sigma
Finance
Netherlands,
4.875%,
3/27/28
(USD)
300,000
290
3,327
Government
Bonds
0.1%
Mexican
Bonos,
8.00%,
11/7/47
5,700,000
258
258
Total
Mexico
(Cost
$5,074
)
4,700
MOROCCO
0.2%
Corporate
Bonds
0.1%
Vivo
Energy
Investments,
5.125%,
9/24/27
(USD)
310,000
294
294
Government
Bonds
0.1%
Kingdom
of
Morocco,
3.00%,
12/15/32
(USD)
310,000
245
Kingdom
of
Morocco,
4.00%,
12/15/50
(USD)
400,000
271
516
Total
Morocco
(Cost
$819
)
810
NETHERLANDS
0.3%
Common
Stocks
0.3%
Adyen (1)
114
205
Akzo
Nobel
346
23
Argenx,
ADR
(USD) (1)
161
59
ASML
Holding
1,161
667
Heineken
346
34
ING
Groep
1,156
11
Koninklijke
DSM
48
8
TKH
Group,
CVA
1,040
43
Universal
Music
Group
1,607
36
1,086
Corporate
Bonds
0.0%
NXP,
5.00%,
1/15/33
(USD)
105,000
107
107
Total
Netherlands
(Cost
$1,237
)
1,193
NEW
ZEALAND
0.2%
Government
Bonds
0.2%
Government
of
New
Zealand,
2.75%,
5/15/51
1,656,000
859
Total
New
Zealand
(Cost
$1,052
)
859
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
13
Shares/Par
$
Value
(Cost
and
value
in
$000s)
NORWAY
0.0%
Common
Stocks
0.0%
Aker
BP (3)
286
10
Aker
BP,
SDR
(SEK) (1)(3)
413
14
Equinor
2,140
83
Total
Norway
(Cost
$79
)
107
OMAN
0.2%
Corporate
Bonds
0.1%
OmGrid
Funding,
5.196%,
5/16/27
(USD)
300,000
287
Oryx
Funding,
5.80%,
2/3/31
(USD)
300,000
281
568
Government
Bonds
0.1%
Sultanate
of
Oman,
6.25%,
1/25/31
(USD)
310,000
310
310
Total
Oman
(Cost
$916
)
878
PANAMA
0.3%
Corporate
Bonds
0.3%
Aeropuerto
Internacional
de
Tocumen,
4.00%,
8/11/41
(USD) (2)
200,000
166
Aeropuerto
Internacional
de
Tocumen,
4.00%,
8/11/41
(USD)
300,000
250
Banco
General,
VR,
5.25%
(USD) (6)(9)
300,000
270
Banco
Nacional
de
Panama,
2.50%,
8/11/30
(USD)
310,000
249
Total
Panama
(Cost
$1,031
)
935
PARAGUAY
0.1%
Government
Bonds
0.1%
Republic
of
Paraguay,
2.739%,
1/29/33
(USD)
370,000
303
Total
Paraguay
(Cost
$302
)
303
PERU
0.3%
Common
Stocks
0.0%
Southern
Copper
(USD)
580
29
29
Corporate
Bonds
0.3%
Banco
de
Credito
del
Peru,
VR,
3.125%,
7/1/30
(USD) (6)
310,000
283
Consorcio
Transmantaro,
5.20%,
4/11/38
(USD) (2)
200,000
184
InRetail
Consumer,
3.25%,
3/22/28
(USD)
300,000
250
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
14
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Minsur,
4.50%,
10/28/31
(USD) (2)
200,000
169
886
Total
Peru
(Cost
$989
)
915
PHILIPPINES
0.2%
Corporate
Bonds
0.1%
Globe
Telecom,
VR,
4.20%
(USD) (6)(9)
300,000
279
279
Government
Bonds
0.1%
Republic
of
Philippines,
6.25%,
1/14/36
23,000,000
401
401
Total
Philippines
(Cost
$838
)
680
PORTUGAL
0.0%
Common
Stocks
0.0%
Galp
Energia
2,981
32
Jeronimo
Martins
1,302
30
Total
Portugal
(Cost
$58
)
62
QATAR
0.1%
Corporate
Bonds
0.1%
Qatar
Energy,
2.25%,
7/12/31
(USD)
270,000
240
Total
Qatar
(Cost
$272
)
240
ROMANIA
0.3%
Government
Bonds
0.3%
Republic
of
Romania,
2.125%,
3/7/28
(EUR)
220,000
192
Republic
of
Romania,
3.00%,
2/27/27
(USD)
260,000
238
Republic
of
Romania,
5.00%,
2/12/29
4,500,000
789
Total
Romania
(Cost
$1,657
)
1,219
SAUDI
ARABIA
0.1%
Corporate
Bonds
0.1%
Dar
Al-Arkan
Sukuk,
6.75%,
2/15/25
(USD)
300,000
293
Riyad
Sukuk,
VR,
3.174%,
2/25/30
(USD) (6)
200,000
192
Total
Saudi
Arabia
(Cost
$510
)
485
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
15
Shares/Par
$
Value
(Cost
and
value
in
$000s)
SENEGAL
0.1%
Government
Bonds
0.1%
Republic
of
Senegal,
6.25%,
5/23/33
(USD) (3)
310,000
249
Total
Senegal
(Cost
$289
)
249
SERBIA
0.3%
Government
Bonds
0.3%
Republic
of
Serbia,
2.125%,
12/1/30
(USD)
310,000
230
Republic
of
Serbia,
4.50%,
8/20/32
100,000,000
698
Total
Serbia
(Cost
$1,361
)
928
SINGAPORE
0.0%
Common
Stocks
0.0%
Sea,
ADR
(USD) (1)
1,592
122
Total
Singapore
(Cost
$140
)
122
SOUTH
AFRICA
0.9%
Corporate
Bonds
0.1%
Eskom
Holdings
SOC,
6.75%,
8/6/23
(USD)
300,000
298
298
Government
Bonds
0.8%
Republic
of
South
Africa,
4.85%,
9/30/29
(USD)
300,000
276
Republic
of
South
Africa,
5.375%,
7/24/44
(USD)
300,000
227
Republic
of
South
Africa,
7.00%,
2/28/31
5,400,000
259
Republic
of
South
Africa,
8.00%,
1/31/30
4,900,000
259
Republic
of
South
Africa,
8.75%,
2/28/48
12,849,000
613
Republic
of
South
Africa,
10.50%,
12/21/26
20,780,000
1,320
2,954
Total
South
Africa
(Cost
$3,550
)
3,252
SOUTH
KOREA
0.0%
Common
Stocks
0.0%
Hyundai
Mobis
228
40
40
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
16
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Convertible
Bonds
0.0%
POSCO
Holdings,
Zero
Coupon,
9/1/26
(EUR)
100,000
96
96
Total
South
Korea
(Cost
$135
)
136
SPAIN
0.2%
Common
Stocks
0.2%
Amadeus
IT
Group (1)
12,949
755
Cellnex
Telecom
836
37
Total
Spain
(Cost
$855
)
792
SRI
LANKA
0.1%
Government
Bonds
0.1%
Republic
of
Sri
Lanka,
6.825%,
7/18/26
(USD) (7)
310,000
98
Republic
of
Sri
Lanka,
6.85%,
11/3/25
(USD) (1)(7)
560,000
179
Total
Sri
Lanka
(Cost
$374
)
277
SURINAME
0.3%
Government
Bonds
0.3%
Republic
of
Suriname,
9.25%,
10/26/26
(USD) (1)(7)
1,495,000
1,226
Total
Suriname
(Cost
$1,133
)
1,226
SWEDEN
0.6%
Bank
Loans
0.2%
(4)
Anticimex
Global,
FRN,
1M
USD
LIBOR
+
3.50%,
5.098%,
11/16/28
(USD)
597,000
573
Anticimex
Global,
FRN,
1M
USD
LIBOR
+
4.00%,
5.598%,
11/16/28
(USD)
99,500
96
669
Common
Stocks
0.1%
Alfa
Laval
1,701
51
Boliden
1,344
45
Epiroc,
Class
B
1,137
18
Sandvik
517
10
Spotify
Technology
(USD) (1)
323
36
Svenska
Cellulosa,
Class
B
21,602
316
Swedish
Match
2,324
24
500
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
17
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Corporate
Bonds
0.0%
Verisure
Holding,
FRN,
3M
EURIBOR
+
5.00%,
5.00%,
4/15/25
(EUR) (2)
100,000
101
101
Government
Bonds
0.3%
Kingdom
of
Sweden,
2.25%,
6/1/32
4,745,000
506
Kingdom
of
Sweden,
3.50%,
3/30/39
3,200,000
411
917
Total
Sweden
(Cost
$2,402
)
2,187
SWITZERLAND
0.1%
Common
Stocks
0.1%
Cie
Financiere
Richemont,
Class
A
392
47
Julius
Baer
Group
450
23
Montana
Aerospace (1)
2,094
42
Nestle
855
105
Roche
Holding
65
22
Total
Switzerland
(Cost
$232
)
239
TAIWAN
0.2%
Common
Stocks
0.2%
Taiwan
Semiconductor
Manufacturing
40,000
686
Total
Taiwan
(Cost
$797
)
686
THAILAND
0.7%
Corporate
Bonds
0.4%
Bangkok
Bank,
VR,
3.733%,
9/25/34
(USD) (6)
310,000
274
Indorama
Ventures
Global
Services,
4.375%,
9/12/24
(USD)
300,000
296
Kasikornbank,
VR,
3.343%,
10/2/31
(USD) (6)
310,000
279
Thaioil
Treasury
Center,
2.50%,
6/18/30
(USD)
310,000
253
Thaioil
Treasury
Center,
3.50%,
10/17/49
(USD)
310,000
196
1,298
Government
Bonds
0.3%
Kingdom
of
Thailand,
3.60%,
6/17/67
10,500,000
234
Kingdom
of
Thailand,
Inflation-Indexed,
1.25%,
3/12/28
31,223,360
874
1,108
Total
Thailand
(Cost
$2,692
)
2,406
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
18
Shares/Par
$
Value
(Cost
and
value
in
$000s)
TRINIDAD
AND
TOBAGO
0.1%
Government
Bonds
0.1%
Republic
of
Trinidad
&
Tobago,
4.50%,
8/4/26
(USD)
300,000
294
Total
Trinidad
and
Tobago
(Cost
$299
)
294
UNITED
ARAB
EMIRATES
0.2%
Corporate
Bonds
0.2%
DAE
Sukuk
Difc,
3.75%,
2/15/26
(USD)
300,000
285
Emirates
NBD
Bank,
VR,
6.125%
(USD) (6)(9)
310,000
306
Total
United
Arab
Emirates
(Cost
$607
)
591
UNITED
KINGDOM
2.6%
Bank
Loans
0.2%
(4)
Motion
Finco,
FRN,
1M
USD
LIBOR
+
3.25%,
5.50%,
11/12/26
(USD)
744,389
685
685
Common
Stocks
0.9%
Ashtead
Group
14,273
803
AstraZeneca,
ADR
(USD)
1,406
93
Compass
Group
1,863
44
Derwent
London
16,777
586
Direct
Line
Insurance
Group
5,668
14
Experian
656
23
Farfetch,
Class
A
(USD) (1)
942
8
London
Stock
Exchange
Group
12,238
1,194
Mondi
967
18
Next
232
19
Novocure
(USD) (1)
274
19
Rentokil
Initial
6,253
41
Smiths
Group
1,680
32
Trainline (1)
68,122
330
Unilever
(EUR)
1,022
50
UNITE
Group
615
9
Weir
Group
2,932
60
3,343
Corporate
Bonds
0.3%
Clear
Channel
International,
6.625%,
8/1/25
(USD) (2)
800,000
790
eG
Global
Finance,
8.50%,
10/30/25
(USD) (2)
200,000
195
985
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
19
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Government
Bonds
1.2%
United
Kingdom
Inflation-Linked
Gilt,
0.125%,
3/22/24
3,281,745
4,245
4,245
Total
United
Kingdom
(Cost
$9,981
)
9,258
UNITED
STATES
40.8%
Asset-Backed
Securities
1.7%
Amur
Equipment
Finance
Receivables
X,
Series
2022-1A,
Class
E,
5.02%,
12/20/28 (2)
465,000
439
Blackbird
Capital
Aircraft
Lease
Securitization,
Series
2016-1A,
Class
A,
STEP,
4.213%,
12/16/41 (2)
424,189
375
Cologix
Data
Centers
U.S.
Issuer,
Series
2021-1A,
Class
A2,
3.30%,
12/26/51 (2)
43,895
41
Elara
HGV
Timeshare
Issuer,
Series
2019-A,
Class
C,
3.45%,
1/25/34 (2)
71,018
67
Exeter
Automobile
Receivables
Trust,
Series
2022-2A,
Class
D,
4.56%,
7/17/28
340,000
328
ExteNet,
Series
2019-1A,
Class
B,
4.14%,
7/26/49 (2)
260,000
252
FOCUS
Brands
Funding,
Series
2018-1,
Class
A2,
5.184%,
10/30/48 (2)
760,375
730
FOCUS
Brands
Funding,
Series
2022-1,
Class
A2,
7.206%,
7/30/52 (2)
250,000
255
Hardee's
Funding,
Series
2021-1A,
Class
A2,
2.865%,
6/20/51 (2)
267,300
232
JPMorgan
Chase
Bank,
Series
2021-3,
Class
E,
2.102%,
2/26/29 (2)
347,120
334
Morgan
Stanley
Eaton
Vance,
Series
2021-1A,
Class
D,
CLO,
FRN,
3M
USD
LIBOR
+
3.10%,
5.883%,
10/20/34 (2)
285,000
256
Octane
Receivables
Trust,
Series
2021-2A,
Class
A,
1.21%,
9/20/28 (2)
68,850
67
Octane
Receivables
Trust,
Series
2021-2A,
Class
C,
2.53%,
5/21/29 (2)
320,000
278
Octane
Receivables
Trust,
Series
2022-1A,
Class
C,
5.21%,
8/21/28 (2)
610,000
604
Palmer
Square,
Series
2021-3A,
Class
E,
CLO,
FRN,
3M
USD
LIBOR
+
6.15%,
8.662%,
1/15/35 (2)
250,000
220
Peace
Park,
Series
2021-1A,
Class
D,
CLO,
FRN,
3M
USD
LIBOR
+
2.95%,
5.66%,
10/20/34 (2)
510,000
472
Progress
Residential
Trust,
Series
2020-SFR2,
Class
B,
2.578%,
6/17/37 (2)
260,000
250
Progress
Residential
Trust,
Series
2022-SFR5,
Class
D,
5.734%,
6/17/39 (2)
100,000
101
Santander
Bank
Auto
Credit-Linked
Notes,
Series
2022-A,
Class
B,
5.281%,
5/15/32 (2)
602,593
597
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
20
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Stonepeak,
Series
2021-1A,
Class
B,
3.821%,
2/28/33 (2)
365,997
336
6,234
Bank
Loans
7.8%
(4)
Applied
Systems,
FRN,
1M
USD
LIBOR
+
3.00%,
5.25%,
9/19/24
798,385
783
Applied
Systems,
FRN,
1M
USD
LIBOR
+
5.50%,
7.75%,
9/19/25
375,000
364
Aretec
Group,
FRN,
3M
USD
LIBOR
+
4.25%,
6.622%,
10/1/25
89,306
86
Asurion,
FRN,
1M
USD
LIBOR
+
3.13%,
5.497%,
11/3/23
1,269,489
1,246
Asurion,
FRN,
1M
USD
LIBOR
+
5.25%,
7.622%,
1/31/28
101,879
87
Asurion,
FRN,
1M
USD
LIBOR
+
5.25%,
7.622%,
1/20/29
700,000
598
Cano
Health,
FRN,
1M
TSFR
+
4.00%,
6.427%,
11/23/27
109,175
102
Charter
Next
Generation,
FRN,
1M
USD
LIBOR
+
3.75%,
6.556%,
12/1/27
607,461
582
CNT
Holdings
I,
FRN,
1M
USD
LIBOR
+
3.50%,
5.372%,
11/8/27
593,985
574
ConnectWise,
FRN,
1M
USD
LIBOR
+
3.50%,
5.75%,
9/29/28
597,000
569
Delta
Topco,
FRN,
1M
USD
LIBOR
+
7.25%,
9.336%,
12/1/28
310,000
270
Diamond,
FRN,
1M
USD
LIBOR
+
2.75%,
5.556%,
9/29/28
517,400
493
Edelman
Financial
Engines
Center,
FRN,
3M
USD
LIBOR
+
6.75%,
9.122%,
7/20/26
805,000
736
Engineered
Machinery
Holdings,
FRN,
1M
USD
LIBOR
+
6.50%,
8.75%,
5/21/29
145,000
138
Engineered
Machinery
Holdings,
FRN,
3M
USD
LIBOR
+
6.00%,
8.25%,
5/21/29
465,000
443
Epicor
Software,
FRN,
1M
USD
LIBOR
+
7.75%,
10.122%,
7/31/28
605,000
595
Fertitta
Entertainment,
FRN,
1M
TSFR
+
4.00%,
6.327%,
1/12/29
498,750
475
Fleet
U.S.
Bidco,
FRN,
1M
USD
LIBOR
+
3.00%,
5.372%,
10/7/26 (5)
87,342
86
Heartland
Dental,
FRN,
3M
USD
LIBOR
+
3.50%,
5.872%,
4/30/25
989,699
931
Hyland
Software,
FRN,
1M
USD
LIBOR
+
3.50%,
5.872%,
7/1/24
689,780
676
Infinite
Bidco,
FRN,
1M
USD
LIBOR
+
3.25%,
5.50%,
3/2/28
396,000
369
Infinite
Bidco,
FRN,
1M
USD
LIBOR
+
7.00%,
9.25%,
3/2/29
400,000
369
IRB
Holding,
FRN,
1M
TSFR
+
3.00%,
4.238%,
12/15/27
532,519
510
Loyalty
Ventures,
FRN,
1M
USD
LIBOR
+
4.50%,
6.872%,
11/3/27
101,185
75
Medline
Borrower,
FRN,
1M
USD
LIBOR
+
3.25%,
5.622%,
10/23/28
832,913
794
Medline
Borrower,
FRN,
3M
EURIBOR
+
3.50%,
3.50%,
10/23/28
(EUR)
85,000
81
MH
Sub
I,
FRN,
1M
USD
LIBOR
+
3.75%,
6.122%,
9/13/24
653,903
634
MH
Sub
I,
FRN,
1M
USD
LIBOR
+
6.25%,
8.622%,
2/23/29
300,000
284
MH
Sub
I,
FRN,
3M
USD
LIBOR
+
3.75%,
5.846%,
9/13/24
889,147
862
MIC
Glen,
FRN,
1M
USD
LIBOR
+
3.50%,
5.872%,
7/21/28
197,750
185
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
21
Shares/Par
$
Value
(Cost
and
value
in
$000s)
MIC
Glen,
FRN,
1M
USD
LIBOR
+
6.75%,
9.122%,
7/20/29 (5)
800,000
732
Mitchell
International,
FRN,
1M
USD
LIBOR
+
6.50%,
8.662%,
10/15/29
810,000
744
Peloton
Interactive,
FRN,
1M
TSFR
+
6.60%,
8.346%,
5/17/27
215,000
204
PetSmart,
FRN,
1M
USD
LIBOR
+
3.75%,
6.12%,
2/11/28
594,000
571
Plantronics,
FRN,
3M
USD
LIBOR
+
2.50%,
4.872%,
7/2/25 (10)
2,000,000
1,987
Planview
Parent,
FRN,
1M
USD
LIBOR
+
4.00%,
6.372%,
12/17/27
765,355
734
Project
Ruby
Ultimate
Parent,
FRN,
1M
USD
LIBOR
+
3.25%,
5.622%,
3/10/28
593,242
566
RealPage,
FRN,
1M
USD
LIBOR
+
3.00%,
5.372%,
4/24/28
858,513
825
RealPage,
FRN,
3M
USD
LIBOR
+
6.50%,
8.166%,
4/23/29
795,000
763
Rent-A-Center,
FRN,
1M
USD
LIBOR
+
3.25%,
6.063%,
2/17/28
434,599
391
Rising
Tide
Holdings,
FRN,
1M
USD
LIBOR
+
8.25%,
10.622%,
6/1/29 (5)
400,000
368
S2P
Acquisition
Borrower,
FRN,
3M
USD
LIBOR
+
3.75%,
6.122%,
8/14/26
280,444
266
Sophia,
FRN,
1M
USD
LIBOR
+
3.25%,
5.50%,
10/7/27
1,002,307
963
Tacala
Investment,
FRN,
1M
USD
LIBOR
+
3.50%,
5.872%,
2/5/27
494,832
464
Tacala
Investment,
FRN,
1M
USD
LIBOR
+
7.50%,
9.872%,
2/4/28
495,000
461
Talen
Energy
Supply,
FRN,
1M
TSFR
+
4.75%,
11/11/23 (10)
500,000
496
Triton
Water
Holdings,
FRN,
1M
USD
LIBOR
+
3.50%,
5.75%,
3/31/28
792,001
700
Univision
Communications,
FRN,
3M
USD
LIBOR
+
2.75%,
5.122%,
3/15/24
485,317
480
Wand
NewCo
3,
FRN,
1M
USD
LIBOR
+
3.00%,
5.372%,
2/5/26
417,288
400
William
Morris
Endeavor
Entertainment,
FRN,
3M
USD
LIBOR
+
2.75%,
5.13%,
5/18/25
771,609
738
Woof
Holdings,
FRN,
1M
USD
LIBOR
+
3.75%,
5.813%,
12/21/27 (5)
514,242
497
Woof
Holdings,
FRN,
1M
USD
LIBOR
+
7.25%,
9.313%,
12/21/28 (5)
580,000
545
Xplornet
Communications,
FRN,
1M
USD
LIBOR
+
4.00%,
6.372%,
10/2/28
163,763
145
Xplornet
Communications,
FRN,
1M
USD
LIBOR
+
7.00%,
9.367%,
10/1/29 (5)
110,000
96
28,133
Common
Stocks
13.6%
10X
Genomics,
Class
A (1)
134
5
7
Acquisition (1)
49,900
502
AbbVie
327
47
Acadia
Realty
Trust,
REIT
612
11
Advanced
Micro
Devices (1)
7,528
711
AGCO
92
10
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
22
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Agilent
Technologies
395
53
Air
Lease
1,884
70
Air
Products
&
Chemicals
126
31
Airbnb,
Class
A (1)
152
17
Alamo
Group
85
11
Albemarle
84
21
Alexandria
Real
Estate
Equities,
REIT
55
9
Allegiant
Travel (1)
196
23
Alnylam
Pharmaceuticals (1)
204
29
Alphabet,
Class
A (1)
5,805
675
Alphabet,
Class
C (1)
2,371
277
Amazon.com (1)
20,402
2,753
Ameren
203
19
American
International
Group
1,211
63
American
Tower,
REIT
484
131
Ameriprise
Financial
125
34
Apellis
Pharmaceuticals (1)
248
14
Apollo
Global
Management
627
36
Apple
4,303
699
Apple
Hospitality
REIT,
REIT
645
11
Arch
Capital
Group (1)
627
28
Arena
Fortify
Acquisition,
Warrants,
12/31/28 (1)
24,620
4
Arena
Fortify
Acquisition,
Class
A (1)
49,240
495
Armstrong
World
Industries
453
40
Arthur
J
Gallagher
142
25
Atlassian,
Class
A (1)
3,069
642
AvalonBay
Communities,
REIT
461
99
Avantor (1)
864
25
Avery
Dennison
105
20
Axis
Capital
Holdings
571
29
Baker
Hughes
449
12
Ball
1,055
77
Bank
of
America
2,284
77
Bank
of
New
York
Mellon
1,213
53
BankUnited
502
20
Barings
BDC
1,443
14
Battery
Future
Acquisition (1)
73,400
736
Beard
Energy
Transition
Acquisition (1)
74,100
743
Becton
Dickinson
&
Company
209
51
Belden
966
63
Berkshire
Hathaway,
Class
B (1)
44
13
Bill.com
Holdings (1)
1,194
161
Biogen (1)
68
15
Black
Knight (1)
294
19
Block (1)
2,381
181
Blueprint
Medicines (1)
207
11
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
23
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Boeing (1)
594
95
Booking
Holdings (1)
44
85
BRC,
Class
A (1)(3)
801
8
Bright
Horizons
Family
Solutions (1)
3,516
329
Bruker
378
26
Bullpen
Parlay
Acquisition (1)
72,300
723
Burlington
Stores (1)
1,790
253
C4
Therapeutics (1)
95
1
Cactus,
Class
A
488
20
Camden
Property
Trust,
REIT
76
11
Canva,
Acquisition
Date:
8/16/21
-
12/22/21,
Cost $245 (1)(5)(8)
144
138
Capital
One
Financial
627
69
Capitalworks
Emerging
Markets
Acquisition (1)
72,800
733
Capri
Holdings (1)
147
7
Carvana (1)(3)
311
9
Catalent (1)
207
23
Caterpillar
93
18
Cboe
Global
Markets
233
29
CC
Neuberger
Principal
Holdings
III,
Warrants,
12/31/27 (1)
8,398
2
CC
Neuberger
Principal
Holdings
III,
Class
A (1)
41,992
416
Cedar
Fair (1)
502
21
Centene (1)
773
72
Cerevel
Therapeutics
Holdings (1)
403
11
Ceridian
HCM
Holding (1)
185
10
CF
Industries
Holdings
257
25
ChampionX
808
17
Charles
Schwab
23,799
1,643
Charter
Communications,
Class
A (1)
102
44
Chevron
479
78
Chipotle
Mexican
Grill (1)
33
52
Chubb
495
93
Cigna
119
33
Citigroup
1,430
74
Citizens
Financial
Group
674
26
CME
Group
1,577
315
CMS
Energy
224
15
CNA
Financial
140
6
Coca-Cola
1,743
112
Comcast,
Class
A
909
34
Concord
Acquisition
Corp
III (1)
49,500
499
Confluent,
Class
A (1)
1,285
33
ConocoPhillips
4,589
447
Cooper
47
15
Costco
Wholesale
202
109
Crowdstrike
Holdings,
Class
A (1)
421
77
Crown
Castle
International,
REIT
460
83
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
24
Shares/Par
$
Value
(Cost
and
value
in
$000s)
CubeSmart,
REIT
418
19
Cummins
542
120
Danaher
401
117
Darling
Ingredients (1)
461
32
Datadog,
Class
A (1)
537
55
Deere
53
18
Denali
Therapeutics (1)
320
11
Devon
Energy
1,072
67
Dexcom (1)
225
18
Dime
Community
Bancshares
586
20
Dollar
General
272
68
Dollar
Tree (1)
175
29
Dominion
Energy
211
17
DoorDash,
Class
A (1)
2,255
157
Douglas
Emmett,
REIT
243
6
Doximity,
Class
A (1)
370
16
DraftKings,
Class
A (1)
648
9
East
West
Bancorp
523
38
Element
Solutions
921
18
Elevance
Health
165
79
Eli
Lilly
2,187
721
Encore
Capital
Group (1)
411
30
Entegris
84
9
EOG
Resources
4,572
509
EQRx,
Warrants,
12/31/28 (1)
2,200
2
Equinix,
REIT
155
109
Equitable
Holdings
1,193
34
Equity
LifeStyle
Properties,
REIT
137
10
Equity
Residential,
REIT
1,200
94
Essex
Property
Trust,
REIT
41
12
Estee
Lauder,
Class
A
2,293
626
Eucrates
Biomedical
Acquisition (1)
9,800
97
Eucrates
Biomedical
Acquisition,
Warrants,
12/14/25 (1)
3,266
—
Exact
Sciences (1)
5,509
248
Exelixis (1)
581
12
Expedia
Group (1)
1,847
196
Fate
Therapeutics (1)
180
6
FedEx
369
86
Fifth
Third
Bancorp
1,217
42
Figs,
Class
A (1)
1,185
13
First
American
Financial
279
16
Fiserv (1)
225
24
Five9 (1)
865
94
Floor
&
Decor
Holdings,
Class
A (1)
288
23
FMC
279
31
Freshpet (1)
2,618
140
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
25
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Games
&
Esports
Experience
Acquisition (1)
72,400
728
Generac
Holdings (1)
202
54
General
Electric
10,946
809
Goldman
Sachs
Group
237
79
Green
Visor
Financial
Technology
Acquisition
I,
Warrants,
5/8/23 (1)
24,900
5
Green
Visor
Financial
Technology
Acquisition
I,
Class
A (1)
49,800
501
Guardant
Health (1)
247
12
Hanover
Insurance
Group
56
8
Hartford
Financial
Services
Group
1,003
65
HashiCorp,
Class
A (1)(3)
652
24
HCA
Healthcare
65
14
Hess
1,583
178
Hilton
Worldwide
Holdings
518
66
Hologic (1)
432
31
Home
BancShares
549
13
Home
Depot
561
169
Honeywell
International
598
115
Hubbell
106
23
HubSpot (1)
932
287
Humana
132
64
Huntington
Bancshares
4,770
63
Incyte (1)
179
14
Infinite
Acquisition (1)
74,909
747
Ingersoll
Rand
1,959
98
Insmed (1)
555
12
Insulet (1)
81
20
Intellia
Therapeutics (1)
74
5
International
Paper
619
26
Intuit
140
64
Intuitive
Surgical (1)
1,815
418
Ionis
Pharmaceuticals (1)
344
13
JB
Hunt
Transport
Services
343
63
JPMorgan
Chase
348
40
Kemper
366
17
Keurig
Dr
Pepper
804
31
Kilroy
Realty,
REIT
74
4
KKR
651
36
Liberty
Media
Acquisition,
Class
A (1)
10,040
99
Liberty
Media
Acquisition,
Class
A,
Warrants,
12/31/27 (1)
2,008
1
Liberty
Media-Liberty
Formula
One,
Class
C (1)
10,099
684
Linde
289
87
Live
Nation
Entertainment (1)
664
62
Lululemon
Athletica (1)
118
37
Magnolia
Oil
&
Gas,
Class
A
1,175
28
Marsh
&
McLennan
304
50
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
26
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Martin
Marietta
Materials
52
18
Mastercard,
Class
A
4,032
1,426
McDonald's
326
86
McLaren
Technology
Acquisition,
Warrants,
3/3/23 (1)
24,800
3
McLaren
Technology
Acquisition,
Class
A (1)
49,600
499
Merck
671
60
Meta
Platforms,
Class
A (1)
681
108
MetLife
842
53
Mettler-Toledo
International (1)
7
9
MGM
Resorts
International
710
23
Microsoft
4,139
1,162
Middleby (1)
402
58
Mirati
Therapeutics (1)
57
4
Moderna (1)
295
48
Molina
Healthcare (1)
134
44
Mondelez
International,
Class
A
874
56
MongoDB (1)
1,316
411
Monster
Beverage (1)
464
46
Morgan
Stanley
736
62
Mueller
Water
Products,
Class
A
3,722
48
Nabors
Energy
Transition (1)
50,400
511
Netflix (1)
122
27
Neurocrine
Biosciences (1)
103
10
NextEra
Energy
229
19
NIKE,
Class
B
652
75
Norfolk
Southern
108
27
NVIDIA
1,579
287
Occidental
Petroleum
3,250
214
Okta (1)
862
85
Olaplex
Holdings (1)
5,964
103
Onyx
Acquisition
I,
Warrants,
1/7/23 (1)
24,800
3
Onyx
Acquisition
I,
Class
A (1)
49,600
498
Opendoor
Technologies,
Class
A (1)(3)
2,665
13
O'Reilly
Automotive (1)
60
42
Pacific
Biosciences
of
California (1)(3)
551
2
Packaging
Corp.
of
America
269
38
Patreon,
Acquisition
Date:
10/14/21,
Cost $9 (1)(5)(8)
165
7
Paycom
Software (1)
195
64
Paylocity
Holding (1)
514
106
Penumbra (1)
130
18
Pfizer
1,512
76
Pinnacle
Financial
Partners
234
19
Pioneer
Natural
Resources
260
62
PNC
Financial
Services
Group
90
15
Popular
545
42
Power
&
Digital
Infrastructure
Acquisition
II (1)
73,800
733
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
27
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Procter
&
Gamble
675
94
Prologis,
REIT
330
44
PROOF
Acquisition
I (1)
72,800
729
Public
Storage,
REIT
94
31
Quaker
Chemical
356
58
Quanta
Services
120
17
QuidelOrtho (1)
146
15
Raymond
James
Financial
409
40
RCF
Acquisition (1)
49,700
502
Regency
Centers,
REIT
224
14
Regeneron
Pharmaceuticals (1)
100
58
RenaissanceRe
Holdings
218
28
Rent
the
Runway,
Class
A (1)
1,847
8
Rexford
Industrial
Realty,
REIT
259
17
Rivian
Automotive,
Class
A (1)(3)
2,683
92
ROBLOX,
Class
A (1)
7,658
329
Roper
Technologies
156
68
Royalty
Pharma,
Class
A
348
15
RPM
International
377
34
Saia (1)
106
25
Salesforce (1)
4,657
857
Sandy
Spring
Bancorp
339
14
SBA
Communications,
REIT
453
152
Sculptor
Acquisition
I (1)
72,241
725
Seagen (1)
1,227
221
Sealed
Air
870
53
Seaport
Global
Acquisition
II (1)
49,251
496
Seer (1)
190
2
Selective
Insurance
Group
96
7
Sempra
Energy
2,117
351
ServiceNow (1)
1,371
612
Sherwin-Williams
2,738
662
Shoals
Technologies
Group,
Class
A (1)
845
20
Shockwave
Medical (1)
154
32
Signature
Bank
2,484
461
Simon
Property
Group,
REIT
170
18
SL
Green
Realty,
REIT
83
4
Snap,
Class
A (1)
5,262
52
Snowflake,
Class
A (1)
1,850
277
Socure,
Acquisition
Date:
12/22/21,
Cost $1 (1)(5)(8)
89
1
Southwest
Airlines (1)
857
33
Starbucks
637
54
State
Street
761
54
Stericycle (1)
339
16
Stryker
284
61
Sun
Country
Airlines
Holdings (1)
1,426
29
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
28
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Synopsys (1)
306
112
T-Mobile
U.S. (1)
8,593
1,229
Teleflex
73
18
Terreno
Realty,
REIT
221
14
Tesla (1)
701
625
Textron
425
28
Thermo
Fisher
Scientific
257
154
Thermon
Group
Holdings (1)
560
9
Toast,
Class
A (1)
871
14
Trade
Desk,
Class
A (1)
590
27
Travelers
93
15
Trinity
Capital
941
14
Ultragenyx
Pharmaceutical (1)
2,428
129
Union
Pacific
69
16
United
Parcel
Service,
Class
B
617
120
UnitedHealth
Group
2,818
1,528
UTA
Acquisition (1)
48,300
490
Veeva
Systems,
Class
A (1)
970
217
Velocity
Acquisition,
Warrants,
2/26/27 (1)
8,054
1
Velocity
Acquisition,
Class
A (1)
24,163
237
VeriSign (1)
193
37
Verizon
Communications
775
36
Vertex
Pharmaceuticals (1)
1,366
383
Virtus
Investment
Partners
107
22
Visa,
Class
A
154
33
VMG
Consumer
Acquisition (1)
49,232
492
Voya
Financial
512
31
Vulcan
Materials
120
20
Walt
Disney (1)
482
51
Warby
Parker,
Class
A (1)
510
6
Warner
Music
Group,
Class
A
596
18
Webster
Financial
630
29
Wells
Fargo
2,605
114
Welltower,
REIT
298
26
West
Pharmaceutical
Services
107
37
Western
Alliance
Bancorp
8,259
631
Westrock
358
15
Wingstop
192
24
Xcel
Energy
182
13
Xometry,
Class
A (1)
368
14
Zentalis
Pharmaceuticals (1)
146
4
Zoetis
65
12
Zoom
Video
Communications,
Class
A (1)
588
61
48,824
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
29
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Convertible
Bonds
0.2%
Liberty
Broadband,
2.75%,
9/30/50 (2)
200,000
191
Radius
Health,
3.00%,
9/1/24
375,000
368
559
Convertible
Preferred
Stocks
0.1%
ABL
Space
Systems,
Series
B-2,
Acquisition
Date:
10/22/21,
Cost $91 (1)(5)(8)
1,345
91
Canva,
Series
A,
Acquisition
Date:
11/4/21
-
12/17/21,
Cost $13 (1)(5)(8)
8
8
Canva,
Series
A-3,
Acquisition
Date:
12/17/21,
Cost $2 (1)(5)(8)
1
1
CELLINK,
Series
D,
Acquisition
Date:
1/20/22,
Cost $9 (1)(5)(8)
423
9
Coalition,
Series
E,
Acquisition
Date:
9/7/21,
Cost $23 (1)(5)(8)
1,376
30
Databricks,
Series
H,
Acquisition
Date:
8/31/21,
Cost $60 (1)(5)
(8)
272
45
Eikon
Therapeutics,
Series
B,
Acquisition
Date:
12/3/21,
Cost $6 (1)(5)(8)
330
6
Epirus,
Series
C-2,
Acquisition
Date:
1/28/22,
Cost $11 (1)(5)(8)
1,889
11
Formagrid,
Series
F,
Acquisition
Date:
12/8/21,
Cost $41 (1)(5)
(8)
222
23
Freenome
Holdings,
Series
D,
Acquisition
Date:
11/22/21,
Cost $26 (1)(5)(8)
3,412
40
Generate
Bio,
Series
B,
Acquisition
Date:
9/2/21,
Cost $8 (1)(5)
(8)
666
8
Kobold
Metals,
Series
B-1,
Acquisition
Date:
1/10/22,
Cost $11 (1)(5)(8)
384
11
Laronde,
Series
B,
Acquisition
Date:
7/28/21,
Cost $5 (1)(5)(8)
162
5
Lilac
Solutions,
Series
B,
Acquisition
Date:
9/8/21,
Cost $15 (1)
(5)(8)
1,156
15
NextEra
Energy,
5.279%,
3/1/23
676
35
Nuro,
Series
D,
Acquisition
Date:
10/29/21,
Cost $26 (1)(5)(8)
1,232
26
Patreon,
Series
D,
Acquisition
Date:
10/21/21,
Cost $13 (1)(5)(8)
238
10
Rappi,
Series
E,
Acquisition
Date:
9/8/20,
Cost $109 (1)(5)(8)
1,822
94
Rappi,
Series
F,
Acquisition
Date:
7/8/21,
Cost $34 (1)(5)(8)
534
27
Socure,
Series
A,
Acquisition
Date:
12/22/21,
Cost $2 (1)(5)(8)
109
1
Socure,
Series
A-1,
Acquisition
Date:
12/22/21,
Cost $1 (1)(5)(8)
89
1
Socure,
Series
B,
Acquisition
Date:
12/22/21,
Cost $— (1)(5)(8)
2
—
Socure,
Series
E,
Acquisition
Date:
10/27/21,
Cost $3 (1)(5)(8)
207
2
Southern,
Series
2019,
6.75%,
8/1/22
461
25
524
Corporate
Bonds
9.9%
Advanced
Drainage
Systems,
6.375%,
6/15/30 (2)
230,000
232
AEP
Texas,
5.25%,
5/15/52
110,000
117
Alphabet,
2.05%,
8/15/50
774,000
549
Ardagh
Metal
Packaging
Finance
USA,
6.00%,
6/15/27 (2)
260,000
266
Ardagh
Packaging
Finance,
5.25%,
4/30/25 (2)
2,400,000
2,343
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
30
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Berkshire
Hathaway
Finance,
2.50%,
1/15/51
809,000
576
Burlington
Northern
Santa
Fe,
4.45%,
1/15/53
200,000
203
Calpine,
3.75%,
3/1/31 (2)
915,000
807
Cano
Health,
6.25%,
10/1/28 (2)(3)
150,000
134
Carpenter
Technology,
7.625%,
3/15/30
255,000
239
CD&R
Smokey
Buyer,
6.75%,
7/15/25 (2)
170,000
160
Cedar
Fair,
5.50%,
5/1/25 (2)
600,000
601
Celanese
U.S.
Holdings,
6.33%,
7/15/29
800,000
821
Celanese
U.S.
Holdings,
6.379%,
7/15/32
800,000
819
Central
Parent,
7.25%,
6/15/29 (2)
660,000
671
Change
Healthcare
Holdings,
5.75%,
3/1/25 (2)
2,128,000
2,112
Chubb
INA
Holdings,
2.85%,
12/15/51
754,000
574
Citigroup,
VR,
4.91%,
5/24/33 (6)
220,000
226
Citrix
Systems,
1.25%,
3/1/26
125,000
122
Citrix
Systems,
3.30%,
3/1/30
1,200,000
1,188
Darling
Ingredients,
6.00%,
6/15/30 (2)
245,000
254
Global
Net
Lease,
3.75%,
12/15/27 (2)
410,000
358
GPD,
10.125%,
4/1/26 (2)
450,000
415
Hightower
Holding,
6.75%,
4/15/29 (2)(3)
245,000
192
Home
Depot,
2.375%,
3/15/51
785,000
558
Home
Point
Capital,
5.00%,
2/1/26 (2)
285,000
196
Jackson
Financial,
5.67%,
6/8/32
635,000
630
Jane
Street
Group,
4.50%,
11/15/29 (2)
520,000
480
KeyCorp,
VR,
4.789%,
6/1/33 (6)
130,000
132
LCPR
Senior
Secured
Financing,
5.125%,
7/15/29 (2)
430,000
379
Lions
Gate
Capital
Holdings,
5.50%,
4/15/29 (2)(3)
115,000
95
Marsh
&
McLennan,
2.90%,
12/15/51
700,000
521
Medline
Borrower,
5.25%,
10/1/29 (2)(3)
405,000
366
NextEra
Energy
Capital
Holdings,
5.00%,
7/15/32
85,000
91
NGL
Energy
Operating,
7.50%,
2/1/26 (2)
415,000
380
NGL
Energy
Partners,
7.50%,
11/1/23 (3)
35,000
33
Nielsen
Luxembourg,
5.00%,
2/1/25 (2)
500,000
491
Option
Care
Health,
4.375%,
10/31/29 (2)
815,000
745
Pacific
Gas
&
Electric,
4.95%,
7/1/50
155,000
129
Papa
John's
International,
3.875%,
9/15/29 (2)
405,000
354
Peninsula
Pacific
Entertainment,
8.50%,
11/15/27 (2)
1,400,000
1,512
PetSmart,
7.75%,
2/15/29 (2)
500,000
482
PG&E,
5.00%,
7/1/28
40,000
37
Photo
Holdings
Merger
Sub,
8.50%,
10/1/26 (2)
498,000
366
PNC
Financial
Services
Group,
VR,
4.626%,
6/6/33 (6)
850,000
840
PRA
Group,
7.375%,
9/1/25 (2)
395,000
393
Rivian
Holdings,
FRN,
6M
USD
LIBOR
+
5.625%,
7.177%,
10/15/26 (2)
810,000
745
Royal
Caribbean
Cruises,
10.875%,
6/1/23 (2)
800,000
820
Sabre
GLBL,
7.375%,
9/1/25 (2)
295,000
292
Salesforce,
3.05%,
7/15/61
746,000
585
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
31
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Service
Properties
Trust,
4.50%,
6/15/23
500,000
485
Service
Properties
Trust,
4.65%,
3/15/24
700,000
639
Service
Properties
Trust,
7.50%,
9/15/25
600,000
588
Taylor
Morrison
Communities,
5.875%,
4/15/23 (2)
1,200,000
1,206
Teekay
Offshore
Partners,
8.50%,
7/15/23 (2)
170,000
89
Tenneco,
5.125%,
4/15/29 (2)
405,000
397
Tenneco,
7.875%,
1/15/29 (2)
500,000
495
Transocean
Phoenix
2,
7.75%,
10/15/24 (2)
49,500
48
Transocean
Pontus,
6.125%,
8/1/25 (2)
24,600
23
Transocean
Proteus,
6.25%,
12/1/24 (2)
123,750
117
Tutor
Perini,
6.875%,
5/1/25 (2)(3)
500,000
445
U.S.
Airways
PTT,
Series
2013-1,
Class
A,
3.95%,
11/15/25
50,007
45
United
Airlines,
4.375%,
4/15/26 (2)
375,000
360
UnitedHealth
Group,
4.75%,
5/15/52
115,000
123
Verizon
Communications,
3.55%,
3/22/51
150,000
126
Verscend
Escrow,
9.75%,
8/15/26 (2)
1,000,000
1,002
VICI
Properties,
5.625%,
5/1/24 (2)
400,000
399
Visa,
2.00%,
8/15/50
815,000
571
Vistra,
VR,
7.00% (2)(6)(9)
197,000
180
Vistra,
VR,
8.00% (2)(6)(9)
205,000
199
Vistra
Operations,
5.125%,
5/13/25 (2)
525,000
524
Welbilt,
9.50%,
2/15/24
800,000
801
Yum!
Brands,
5.375%,
4/1/32
1,140,000
1,100
35,593
Municipal
Securities
0.7%
Colorado
HFA,
Covenant
Living
Community,
Series
B,
4.48%,
12/1/40
250,000
241
Illinois,
Build
America,
GO,
7.10%,
7/1/35
165,000
185
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
227
Puerto
Rico
Commonwealth,
VR,
11/1/43 (1)(11)
1,071,652
572
Puerto
Rico
Commonwealth,
Restructured,
Series
A,
GO,
Zero
Coupon,
7/1/24
15,243
14
Puerto
Rico
Commonwealth,
Restructured,
Series
A,
GO,
Zero
Coupon,
7/1/33
58,668
35
Puerto
Rico
Commonwealth,
Restructured,
Series
A-1,
GO,
4.00%,
7/1/33
45,589
44
Puerto
Rico
Commonwealth,
Restructured,
Series
A-1,
GO,
4.00%,
7/1/35
40,979
39
Puerto
Rico
Commonwealth,
Restructured,
Series
A-1,
GO,
4.00%,
7/1/37
35,170
33
Puerto
Rico
Commonwealth,
Restructured,
Series
A-1,
GO,
4.00%,
7/1/41
47,818
44
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
32
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Puerto
Rico
Commonwealth,
Restructured,
Series
A-1,
GO,
4.00%,
7/1/46
49,730
45
Puerto
Rico
Commonwealth,
Restructured,
Series
A-1,
GO,
5.25%,
7/1/23
25,458
26
Puerto
Rico
Commonwealth,
Restructured,
Series
A-1,
GO,
5.375%,
7/1/25
50,774
53
Puerto
Rico
Commonwealth,
Restructured,
Series
A-1,
GO,
5.625%,
7/1/27
50,314
54
Puerto
Rico
Commonwealth,
Restructured,
Series
A-1,
GO,
5.625%,
7/1/29
49,497
55
Puerto
Rico
Commonwealth,
Restructured,
Series
A-1,
GO,
5.75%,
7/1/31
48,077
54
Puerto
Rico
Electric
Power
Auth.,
Build
America,
5.95%,
7/1/30 (1)(12)
45,000
34
Puerto
Rico
Electric
Power
Auth.,
Build
America,
6.05%,
7/1/32 (1)(12)
370,000
285
Tobacco
Settlement
Fin.,
Series
A-1,
6.706%,
6/1/46
285,000
275
Tobacco
Settlement
Fin.
Auth.,
Series
B,
4.875%,
6/1/49
115,000
106
Tobacco
Settlement
Fin.
Auth.,
Series
B,
Zero
Coupon,
6/1/47
500,000
45
2,470
Non-U.S.
Government
Mortgage-Backed
Securities
2.6%
BAMLL
Commercial
Mortgage
Securities
Trust,
Series
2021-
JACX,
Class
D,
ARM,
1M
USD
LIBOR
+
2.75%,
4.749%,
9/15/38 (2)
515,000
483
BAMLL
Commercial
Mortgage
Securities
Trust,
Series
2021-
JACX,
Class
E,
ARM,
1M
USD
LIBOR
+
3.75%,
5.749%,
9/15/38 (2)
100,000
92
BBCMS
Mortgage
Trust,
Series
2019-BWAY,
Class
E,
ARM,
1M
USD
LIBOR
+
2.85%,
4.849%,
11/15/34 (2)
130,000
120
BFLD,
Series
2019-DPLO,
Class
F,
ARM,
1M
USD
LIBOR
+
2.54%,
4.539%,
10/15/34 (2)
85,000
79
BIG
Commercial
Mortgage
Trust,
Series
2022-BIG,
Class
C,
ARM,
1M
TSFR
+
2.34%,
4.299%,
2/15/39 (2)
315,000
301
BPR
Trust,
Series
2021-NRD,
Class
E,
ARM,
1M
TSFR
+
5.621%,
7.722%,
12/15/23 (2)
175,000
166
BX
Commercial
Mortgage
Trust,
Series
2019-IMC,
Class
E,
ARM,
1M
USD
LIBOR
+
2.15%,
4.149%,
4/15/34 (2)
160,000
149
BX
Trust,
Series
2021-VIEW,
Class
F,
ARM,
1M
USD
LIBOR
+
3.93%,
5.929%,
6/15/36 (2)
160,000
150
CAFL,
Series
2021-RTL1,
Class
A2,
CMO,
STEP,
3.104%,
3/28/29 (2)
830,000
752
Cantor
Commercial
Real
Estate
Lending,
Series
2019-CF1,
Class
65C,
ARM,
4.123%,
5/15/52 (2)
125,000
113
Cantor
Commercial
Real
Estate
Lending,
Series
2019-CF1,
Class
65D,
ARM,
4.66%,
5/15/52 (2)
80,000
71
Commercial
Mortgage
Trust,
Series
2014-CR19,
Class
E,
ARM,
4.197%,
8/10/47 (2)
175,000
151
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
33
Shares/Par
$
Value
(Cost
and
value
in
$000s)
Connecticut
Avenue
Securities
Trust,
Series
2022-R01,
Class
1B1,
CMO,
ARM,
SOFR30A
+
3.15%,
4.664%,
12/25/41 (2)
480,000
436
Connecticut
Avenue
Securities
Trust,
Series
2022-R01,
Class
1M1,
CMO,
ARM,
SOFR30A
+
1.00%,
2.514%,
12/25/41 (2)
171,254
168
Connecticut
Avenue
Securities
Trust,
Series
2022-R02,
Class
2B1,
CMO,
ARM,
SOFR30A
+
4.50%,
6.014%,
1/25/42 (2)
540,000
502
Connecticut
Avenue
Securities
Trust,
Series
2022-R03,
Class
1M1,
CMO,
ARM,
SOFR30A
+
2.10%,
3.614%,
3/25/42 (2)
340,812
338
Connecticut
Avenue
Securities
Trust,
Series
2022-R04,
Class
1M1,
CMO,
ARM,
SOFR30A
+
2.00%,
3.514%,
3/25/42 (2)
304,446
301
Connecticut
Avenue
Securities
Trust,
Series
2022-R04,
Class
1M2,
CMO,
ARM,
SOFR30A
+
3.10%,
4.614%,
3/25/42 (2)
60,000
58
Connecticut
Avenue
Securities
Trust,
Series
2022-R05,
Class
2M1,
CMO,
ARM,
SOFR30A
+
1.90%,
3.414%,
4/25/42 (2)
330,415
328
Connecticut
Avenue
Securities
Trust,
Series
2022-R06,
Class
1M1,
CMO,
ARM,
SOFR30A
+
2.75%,
4.264%,
5/25/42 (2)
71,613
72
Credit
Suisse
Mortgage
Trust,
Series
2020-TMIC,
Class
C,
ARM,
1M
USD
LIBOR
+
6.75%,
8.749%,
12/15/35 (2)
100,000
99
Ellington
Financial
Mortgage
Trust,
Series
2021-2,
Class
B1,
CMO,
ARM,
3.202%,
6/25/66 (2)
265,000
195
Finance
of
America
HECM
Buyout,
Series
2022-HB1,
Class
M3,
ARM,
5.084%,
2/25/32 (2)
460,000
444
GCAT
Trust,
Series
2022-NQM3,
Class
A1,
CMO,
ARM,
4.348%,
4/25/67 (2)
122,312
120
Great
Wolf
Trust,
Series
2019-WOLF,
Class
F,
ARM,
1M
USD
LIBOR
+
3.131%,
5.13%,
12/15/36 (2)
180,000
167
SLIDE,
Series
2018-FUN,
Class
E,
ARM,
1M
USD
LIBOR
+
2.55%,
4.549%,
6/15/31 (2)
989,245
947
Structured
Agency
Credit
Risk
Debt
Notes,
Series
2022-DNA2,
Class
M1A,
CMO,
ARM,
SOFR30A
+
1.30%,
2.814%,
2/25/42 (2)
132,148
130
Structured
Agency
Credit
Risk
Debt
Notes,
Series
2022-DNA2,
Class
M2,
CMO,
ARM,
SOFR30A
+
3.75%,
5.264%,
2/25/42 (2)
665,000
625
Structured
Agency
Credit
Risk
Debt
Notes,
Series
2022-DNA3,
Class
M1B,
CMO,
ARM,
SOFR30A
+
2.90%,
4.414%,
4/25/42 (2)
195,000
189
Structured
Agency
Credit
Risk
Debt
Notes,
Series
2022-DNA4,
Class
M1A,
CMO,
ARM,
SOFR30A
+
2.20%,
3.714%,
5/25/42 (2)
387,090
386
Structured
Agency
Credit
Risk
Debt
Notes,
Series
2022-HQA1,
Class
M1A,
CMO,
ARM,
SOFR30A
+
2.10%,
3.614%,
3/25/42 (2)
605,822
603
TRK
Trust,
Series
2022-INV1,
Class
A1,
CMO,
ARM,
2.577%,
2/25/57 (2)
185,907
175
Verus
Securitization
Trust,
Series
2022-1,
Class
A1,
CMO,
STEP,
2.724%,
1/25/67 (2)
206,516
191
Verus
Securitization
Trust,
Series
2022-4,
Class
A2,
CMO,
ARM,
4.74%,
4/25/67 (2)
334,450
325
9,426
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
34
Shares/Par
$
Value
(Cost
and
value
in
$000s)
U.S.
Government
Agency
Obligations
(Excluding
Mortgage-Backed)
4.2%
U.S.
Treasury
Bonds,
7.25%,
8/15/22
2,750,000
2,751
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
1/15/23
1,608,239
1,622
U.S.
Treasury
Inflation-Indexed
Notes,
0.625%,
4/15/23
1,353,274
1,366
U.S.
Treasury
Notes,
0.125%,
6/30/23
4,600,000
4,481
U.S.
Treasury
Notes,
1.625%,
11/15/22
4,740,000
4,726
14,946
Total
United
States
(Cost
$150,229
)
146,709
UZBEKISTAN
0.1%
Government
Bonds
0.1%
Republic
of
Uzbekistan,
3.70%,
11/25/30
(USD)
300,000
223
Total
Uzbekistan
(Cost
$260
)
223
VIETNAM
0.1%
Corporate
Bonds
0.1%
Mong
Duong
Finance
Holdings,
5.125%,
5/7/29
(USD)
380,000
313
Total
Vietnam
(Cost
$348
)
313
SHORT-TERM
INVESTMENTS
28.9%
Money
Market
Funds
28.9%
T.
Rowe
Price
Government
Reserve
Fund,
2.03% (13)(14)
103,934,916
103,935
Total
Short-Term
Investments
(Cost
$103,935)
103,935
SECURITIES
LENDING
COLLATERAL
0.8%
INVESTMENTS
IN
A
POOLED
ACCOUNT
THROUGH
SECURITIES
LENDING
PROGRAM
WITH
JPMORGAN
CHASE
BANK
0.2%
Money
Market
Funds
0.2%
T.
Rowe
Price
Government
Reserve
Fund,
2.03% (13)(14)
766,657
767
Total
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
JPMorgan
Chase
Bank
767
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
35
Shares/Par
$
Value
(Cost
and
value
in
$000s)
INVESTMENTS
IN
A
POOLED
ACCOUNT
THROUGH
SECURITIES
LENDING
PROGRAM
WITH
STATE
STREET
BANK
AND
TRUST
COMPANY
0.6%
Money
Market
Funds
0.6%
T.
Rowe
Price
Government
Reserve
Fund,
2.03% (13)(14)
2,118,613
2,118
Total
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
State
Street
Bank
and
Trust
Company
2,118
Total
Securities
Lending
Collateral
(Cost
$2,885)
2,885
(Amounts
in
000s,
except
for
contracts)
OPTIONS
PURCHASED
0.2%
Exchange-Traded
Options
Purchased
0
.0
%
Description
Contracts
Notional
Amount
$
Value
Invesco
Senior
Loan
ETF,
Put,
10/21/22
@
$18.00 (1)
2,920
6,123
29
Plantronics,
Put,
12/16/22
@
$35.00 (1)
133
529
5
Tenneco,
Put,
1/20/23
@
$12.00 (1)
200
377
3
Xtrackers
Harvest
CSI
300
China
A-Shares
ETF,
Call,
10/21/22
@
$37.00 (1)
419
1,312
6
Total
Exchange-Traded
Options
Purchased
(Cost
$126)
43
OTC
Options
Purchased
0
.2
%
Counterparty
Description
Contracts
Notional
Amount
$
Value
Bank
of
America
30
Year
Interest
Rate
Swap,
7/10/53
Pay
Fixed
2.66%
Annually,
Receive
Variable
2.27%
(SOFR)
Annually,
7/6/23
@
2.66%* (1)
1
3,250
156
BNP
Paribas
EUR
Call
/
USD
Put,
10/3/22
@
1.15 (1)
1
1,060
—
Citibank
2
Year
Interest
Rate
Swap,
10/14/24
Pay
Fixed
3.20%
Annually,
Receive
Variable
2.27%
(SOFR)
Annually,
10/12/22
@
3.20%* (1)
1
4,976
13
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
36
(Amounts
in
000s,
except
for
contracts)
Counterparty
Description
Contracts
Notional
Amount
$
Value
Goldman
Sachs
10
Year
Interest
Rate
Swap,
6/19/33
Pay
Fixed
0.62%
Annually,
Receive
Variable
(0.01)%
(JPY
TONA)
Annually,
6/15/23
@
0.62%*
(JPY) (1)
1
10,100
1
Goldman
Sachs
10
Year
Interest
Rate
Swap,
6/21/33
Pay
Fixed
0.69%
Annually,
Receive
Variable
(0.01)%
(JPY
TONA)
Annually,
6/19/23
@
0.69%*
(JPY) (1)
1
522,000
28
Goldman
Sachs
10
Year
Interest
Rate
Swap,
7/10/33
Pay
Fixed
3.00%
Annually,
Receive
Variable
2.27%
(SOFR)
Annually,
7/6/23
@
3.00%* (1)
1
2,525
40
Goldman
Sachs
5
Year
Interest
Rate
Swap,
6/1/28
Pay
Fixed
3.00%
Annually,
Receive
Variable
2.27%
(SOFR)
Annually,
5/30/23
@
3.00%* (1)
1
2,465
22
Goldman
Sachs
5
Year
Interest
Rate
Swap,
6/2/28
Pay
Fixed
3.00%
Annually,
Receive
Variable
2.27%
(SOFR)
Annually,
5/31/23
@
3.00%* (1)
1
2,482
22
Goldman
Sachs
S&P
500
Index,
Put,
9/16/22
@
$3,600.00 (1)
59
24,369
92
HSBC
Bank
USD
Call
/
INR
Put,
10/31/22
@
80.25 (1)
1
2,055
21
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
37
(Amounts
in
000s,
except
for
contracts)
Counterparty
Description
Contracts
Notional
Amount
$
Value
Morgan
Stanley
10
Year
Interest
Rate
Swap,
7/10/33
Pay
Fixed
3.00%
Annually,
Receive
Variable
2.27%
(SOFR)
Annually,
7/6/23
@
3.00%* (1)
1
2,525
40
Morgan
Stanley
2
Year
Interest
Rate
Swap,
10/14/24
Pay
Fixed
3.20%
Annually,
Receive
Variable
2.27%
(SOFR)
Annually,
10/12/22
@
3.20%* (1)
1
5,044
13
Morgan
Stanley
30
Year
Interest
Rate
Swap,
7/4/52
Pay
Fixed
2.62%
Annually,
Receive
Variable
2.27%
(SOFR)
Annually,
6/30/23
@
2.62%* (1)
1
880
45
Morgan
Stanley
5
Year
Interest
Rate
Swap,
7/14/28
Pay
Fixed
3.00%
Annually,
Receive
Variable
2.27%
(SOFR)
Annually,
7/12/23
@
3.00%* (1)
1
5,020
49
Morgan
Stanley
5
Year
Interest
Rate
Swap,
7/7/28
Pay
Fixed
3.00%
Annually,
Receive
Variable
2.27%
(SOFR)
Annually,
7/5/23
@
3.00%* (1)
1
5,050
49
Morgan
Stanley
EUR
Call
/
USD
Put,
10/3/22
@
1.15 (1)
1
1,060
—
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
38
(Amounts
in
000s,
except
for
contracts)
Counterparty
Description
Contracts
Notional
Amount
$
Value
Morgan
Stanley
USD
Call
/
TRY
Put,
8/16/22
@
21.00 (1)
1
2,330
6
Total
OTC
Options
Purchased
(Cost
$1,420)
597
Total
Options
Purchased
(Cost
$1,546)
640
Total
Investments
in
Securities
94.4%
(Cost
$352,433)
$
339,508
Other
Assets
Less
Liabilities
5.6%
20,310
Net
Assets
100.0%
$
359,818
‡
Country
classifications
are
generally
based
on
MSCI
categories
or
another
unaffiliated
third
party
data
provider;
Shares/Par
and
Notional
Amount
are
denominated
in
the
currency
of
the
country
presented
unless
otherwise
noted.
†
Investment
fund
is
not
unitized.
*
Exercise
Spread
(1)
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
$48,435
and
represents
13.5%
of
net
assets.
(3)
All
or
a
portion
of
this
security
is
on
loan
at
July
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
is
a
fix-to-float
security,
which
carries
a
fixed
coupon
until
a
certain
date,
upon
which
it
switches
to
a
floating
rate.
Reference
rate
and
spread
are
provided
if
the
rate
is
currently
floating.
(7)
Security
is
in
default
or
has
failed
to
make
a
scheduled
interest
and/or
principal
payment.
(8)
Security
cannot
be
offered
for
public
resale
without
first
being
registered
under
the
Securities
Act
of
1933
and
related
rules
("restricted
security").
Acquisition
date
represents
the
day
on
which
an
enforceable
right
to
acquire
such
security
is
obtained
and
is
presented
along
with
related
cost
in
the
security
description.
The
fund
may
have
registration
rights
for
certain
restricted
securities.
Any
costs
related
to
such
registration
are
generally
borne
by
the
issuer.
The
aggregate
value
of
restricted
securities
(excluding
144A
holdings)
at
period
end
amounts
to
$645
and
represents
0.2%
of
net
assets.
(9)
Perpetual
security
with
no
stated
maturity
date.
(10)
All
or
a
portion
of
this
loan
is
unsettled
as
of
July
31,
2022.
The
interest
rate
for
unsettled
loans
will
be
determined
upon
settlement
after
period
end.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
39
.
.
.
.
.
.
.
.
.
.
(11)
Contingent
value
instrument
that
only
pays
out
if
a
portion
of
the
territory's
Sales
and
Use
Tax
outperforms
the
projections
in
the
Oversight
Board’s
Certified
Fiscal
Plan.
(12)
Issuer
is
currently
in
a
bankruptcy
reorganization
proceeding;
the
amount
and
timing
of
future
distributions
is
uncertain.
(13)
Seven-day
yield
(14)
Affiliated
Companies
1
Day
INR
MIBOR
One
day
INR
MIBOR
(Mumbai
interbank
offered
rate)
1M
CAD
CDOR
One
month
CAD
CDOR
(Canadian
Dollar
offered
rate)
1M
CHF
LIBOR
One
month
CHF
LIBOR
(London
interbank
offered
rate)
1M
CNH
HIBOR
One
month
CNH
HIBOR
(Hong
Kong
interbank
offered
rate)
1M
DKK
CIBOR
One
month
DKK
CIBOR
(Copenhagen
interbank
offered
rate)
1M
EURIBOR
One
month
EURIBOR
(Euro
interbank
offered
rate)
1M
GBP
LIBOR
One
month
GBP
LIBOR
(London
interbank
offered
rate)
1M
HKD
HIBOR
One
month
HKD
HIBOR
(Hong
Kong
interbank
offered
rate)
1M
JPY
LIBOR
One
month
JPY
LIBOR
(London
interbank
offered
rate)
1M
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
TSFR
One
month
term
SOFR
(Secured
overnight
financing
rate)
1M
USD
LIBOR
One
month
USD
LIBOR
(London
interbank
offered
rate)
1M
ZAR
JIBOR
One
month
ZAR
JIBOR
(Johannesburg
Interbank
average
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
USD
LIBOR
Three
month
USD
LIBOR
(London
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
CNH
Offshore
China
Renminbi
COP
Colombian
Peso
CPI
Consumer
Price
Index
CVA
Dutch
Certificate
(Certificaten
Van
Aandelen)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
40
.
.
.
.
.
.
.
.
.
.
CZK
Czech
Koruna
ESTR
Euro
short-term
rate
ETF
Exchange-Traded
Fund
EUR
Euro
FRN
Floating
Rate
Note
GBP
British
Pound
GBP
SONIA
Sterling
Overnight
Index
Average
GO
General
Obligation
HFA
Health
Facility
Authority
HKD
Hong
Kong
Dollar
HUF
Hungarian
Forint
IDR
Indonesian
Rupiah
ILS
Israeli
Shekel
INR
Indian
Rupee
INR
MIBOR
Mumbai
interbank
offered
rate
JPY
Japanese
Yen
KRW
South
Korean
Won
MXIBTIIE
Mexican
Interbank
28
day
interest
rate
MXN
Mexican
Peso
MYR
Malaysian
Ringgit
NZD
New
Zealand
Dollar
OTC
Over-the-counter
PHP
Philippines
Peso
PLN
Polish
Zloty
PTT
Pass-Through
Trust
REIT
A
domestic
Real
Estate
Investment
Trust
whose
distributions
pass-through
with
original
tax
character
to
the
shareholder
RON
New
Romanian
Leu
RSD
Serbian
Dinar
SDR
Swedish
Depository
Receipts
SEK
Swedish
Krona
SGD
Singapore
Dollar
SOFR
Secured
overnight
financing
rate
SOFR30A
30-day
Average
SOFR
(Secured
overnight
financing
rate)
STEP
Stepped
coupon
bond
for
which
the
coupon
rate
of
interest
adjusts
on
specified
date(s);
rate
shown
is
effective
rate
at
period-end.
THB
Thai
Baht
TONA
Tokyo
overnight
average
rate
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.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
41
.
.
.
.
.
.
.
.
.
.
ZAR
South
African
Rand
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
42
(Amounts
in
000s,
except
for
contracts)
OPTIONS
WRITTEN
(0.3)%
Exchange-Traded
Options
Written
(0.3)%
Description
Contracts
Notional
Amount
$
Value
iShares
iBoxx
High
Yield
Corporate
Bond
ETF,
Put,
9/16/22
@
$77.00
1,392
10,884
(
168
)
S&P
500
Index,
Call,
9/16/22
@
$4,100.00
67
27,673
(
914
)
Total
Options
Written
(Premiums
$(975))
$
(
1,082
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
43
(Amounts
in
000s)
SWAPS
0.3%
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
(6)
(7)
1
Total
France
(7)
1
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
(22)
(27)
5
Bank
of
America,
Protection
Bought
(Relevant
Credit:
Markit
CDX.NA.HY-S37,
5
Year
Index),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/21/26
*
1,675
(145)
(203)
58
Goldman
Sachs,
Protection
Bought
(Relevant
Credit:
Markit
CDX.NA.HY-S37,
5
Year
Index),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/20/26
*
260
(23)
(22)
(
1
)
Goldman
Sachs,
Protection
Bought
(Relevant
Credit:
Markit
CDX.NA.HY-S37,
5
Year
Index),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/20/26
*
780
(68)
(72)
4
Goldman
Sachs,
Protection
Bought
(Relevant
Credit:
Markit
CMBX.
NA.BBB-S14,
40
Year
Index),
Pay
3.00%
Monthly,
Receive
upon
credit
default,
12/16/72
*
1,000
173
47
126
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
(26)
(33)
7
JPMorgan
Chase,
Protection
Bought
(Relevant
Credit:
Murphy
Oil),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
6/21/27
*
21
3
3
—
Morgan
Stanley,
Protection
Bought
(Relevant
Credit:
Markit
CDX.NA.HY-S37,
5
Year
Index),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/20/26
*
520
(45)
(44)
(
1
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
44
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Protection
Bought
(Relevant
Credit:
Markit
CMBX.
NA.BBB-S14,
40
Year
Index),
Pay
3.00%
Monthly,
Receive
upon
credit
default,
12/16/72
*
2,500
433
86
347
Total
United
States
(265)
545
Total
Bilateral
Credit
Default
Swaps,
Protection
Bought
(272)
546
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
34
56
(
22
)
Total
Luxembourg
56
(
22
)
Netherlands
0.0%
JPMorgan
Chase,
Protection
Sold
(Relevant
Credit:
EDP
Finance,
Baa3*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
12/20/22
*
470
2
1
1
Total
Netherlands
1
1
United
States
0.0%
Credit
Suisse,
Protection
Sold
(Relevant
Credit:
Calpine,
B2*),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
6/20/23
*
220
6
5
1
Credit
Suisse,
Protection
Sold
(Relevant
Credit:
Ford
Motor
Credit,
Ba2*),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
6/20/23
*
145
5
3
2
Credit
Suisse,
Protection
Sold
(Relevant
Credit:
Murphy
Oil,
Ba2*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
12/20/22
*
190
(2)
(2)
—
Goldman
Sachs,
Protection
Sold
(Relevant
Credit:
American
Airlines
Group,
Caa1*),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
6/20/23
*
10
—
—
—
Goldman
Sachs,
Protection
Sold
(Relevant
Credit:
AT&T,
Baa2*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
12/20/22
*
155
—
—
—
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
45
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Goldman
Sachs,
Protection
Sold
(Relevant
Credit:
Royal
Caribbean
Cruises,
B2*),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
6/20/23
*
46
(2)
(4)
2
Total
United
States
2
5
Total
Bilateral
Credit
Default
Swaps,
Protection
Sold
59
(
16
)
Total
Return
Swaps
0.3%
Australia
0.1%
Citibank,
Pay
Underlying
Reference:
Sonic
Healthcare
Monthly,
Receive
Variable
1.010%
(1M
ADBB
+
(0.40)%)
Monthly,
1/17/24
984
(20)
—
(
20
)
Citibank,
Pay
Underlying
Reference:
Sonic
Healthcare
Monthly,
Receive
Variable
1.310%
(1M
ADBB
+
(0.40)%)
Monthly,
1/17/24
287
1
—
1
Citibank,
Pay
Underlying
Reference:
Woodside
Energy
Group
Monthly,
Receive
Variable
1.010%
(1M
ADBB
+
(0.40)%)
Monthly,
1/17/24
438
(12)
—
(
12
)
Goldman
Sachs,
Receive
Underlying
Reference:
BHP
Group
Monthly,
Pay
Variable
1.571%
(GBP
SONIA
+
0.38%)
Monthly,
1/17/24
(GBP)
529
55
—
55
Morgan
Stanley,
Pay
Underlying
Reference:
Westpac
Banking
Monthly,
Receive
Variable
1.170%
(1M
ADBB
+
(0.40)%)
Monthly,
1/17/24
1,125
(63)
—
(
63
)
Morgan
Stanley,
Receive
Underlying
Reference:
Australia
&
New
Zealand
Banking
Group
Monthly,
Pay
Variable
2.120%
(1M
ADBB
+
0.55%)
Monthly,
1/17/24
900
36
—
36
Morgan
Stanley,
Receive
Underlying
Reference:
Goodman
Group
Monthly,
Pay
Variable
2.120%
(1M
ADBB
+
0.55%)
Monthly,
1/17/24
397
27
—
27
Morgan
Stanley,
Receive
Underlying
Reference:
IGO
Monthly,
Pay
Variable
2.120%
(1M
ADBB
+
0.55%)
Monthly,
1/17/24
418
57
—
57
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
46
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Telstra
Corp
Monthly,
Pay
Variable
2.120%
(1M
ADBB
+
0.55%)
Monthly,
1/17/24
449
(4)
—
(
4
)
UBS
Investment
Bank,
Pay
Underlying
Reference:
Insurance
Australia
Group
Monthly,
Receive
Variable
0.960%
(1M
ADBB
+
(0.45)%)
Monthly,
1/17/24
1,014
(17)
—
(
17
)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Challenger
Monthly,
Pay
Variable
1.810%
(1M
ADBB
+
0.40%)
Monthly,
1/17/24
617
—
—
—
Total
Australia
—
60
Austria
0.0%
Citibank,
Pay
Underlying
Reference:
Erste
Group
Bank
Monthly,
Receive
Variable
(0.390)%
(EUR
ESTR
+
(0.30)%)
Monthly,
1/17/24
220
(2)
—
(
2
)
Citibank,
Receive
Underlying
Reference:
BAWAG
Group
Monthly,
Pay
Variable
(0.127)%
(1M
EURIBOR
+
0.40%)
Monthly,
1/17/24
248
35
—
35
Total
Austria
—
33
Belgium
0.0%
Citibank,
Pay
Underlying
Reference:
Anheuser-Busch
InBev
Monthly,
Receive
Variable
(0.390)%
(EUR
ESTR
+
(0.30)%)
Monthly,
1/17/24
1,658
72
—
72
Total
Belgium
—
72
Bermuda
(0.0)%
Morgan
Stanley,
Pay
Underlying
Reference:
Signet
Jewelers
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
222
(23)
—
(
23
)
Morgan
Stanley,
Receive
Underlying
Reference:
RenaissanceRe
Holdings
Monthly,
Pay
Variable
1.989%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
943
(56)
—
(
56
)
Total
Bermuda
—
(
79
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
47
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Brazil
(0.0)%
Morgan
Stanley,
Receive
Underlying
Reference:
Magazine
Luiza
Monthly,
Pay
Variable
2.039%
(SOFR
+
0.45%)
Monthly,
1/18/24
242
(6)
—
(
6
)
Total
Brazil
—
(
6
)
Canada
0.1%
Bank
of
America,
Pay
Underlying
Reference:
First
Quantum
Minerals
Monthly,
Receive
Variable
2.550%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/17/24
313
(35)
—
(
35
)
Bank
of
America,
Pay
Underlying
Reference:
Lundin
Mining
Monthly,
Receive
Variable
2.550%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/17/24
1,553
8
—
8
Bank
of
America,
Pay
Underlying
Reference:
Shopify,
Class
A
Monthly,
Receive
Variable
2.550%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/17/24
386
(29)
—
(
29
)
Bank
of
America,
Receive
Underlying
Reference:
K92
Mining
Monthly,
Pay
Variable
3.150%
(1M
CAD
CDOR
+
0.30%)
Monthly,
1/17/24
205
18
—
18
Bank
of
America,
Receive
Underlying
Reference:
Nutrien
Monthly,
Pay
Variable
3.150%
(1M
CAD
CDOR
+
0.30%)
Monthly,
1/17/24
562
65
—
65
Bank
of
America,
Receive
Underlying
Reference:
Orla
Mining
Monthly,
Pay
Variable
3.150%
(1M
CAD
CDOR
+
0.30%)
Monthly,
1/17/24
136
25
—
25
Bank
of
America,
Receive
Underlying
Reference:
Orla
Mining
Monthly,
Pay
Variable
3.390%
(1M
CAD
CDOR
+
0.50%)
Monthly,
1/17/24
49
—
—
—
Citibank,
Receive
Underlying
Reference:
Waste
Connections
Monthly,
Pay
Variable
1.989%
(1M
CAD
CDOR
+
0.42%)
Monthly,
1/18/24
651
40
—
40
Goldman
Sachs,
Pay
Underlying
Reference:
Bank
of
Montreal
Monthly,
Receive
Variable
2.550%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/17/24
268
(16)
—
(
16
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
48
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Goldman
Sachs,
Pay
Underlying
Reference:
Toronto-Dominion
Bank
Monthly,
Receive
Variable
2.550%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/17/24
773
(32)
—
(
32
)
Goldman
Sachs,
Receive
Underlying
Reference:
Magna
International
Monthly,
Pay
Variable
3.150%
(1M
CAD
CDOR
+
0.30%)
Monthly,
1/17/24
371
35
—
35
Goldman
Sachs,
Receive
Underlying
Reference:
Magna
International
Monthly,
Pay
Variable
3.180%
(1M
CAD
CDOR
+
0.30%)
Monthly,
1/17/24
1,469
42
—
42
Goldman
Sachs,
Receive
Underlying
Reference:
Parkland
Monthly,
Pay
Variable
3.150%
(1M
CAD
CDOR
+
0.30%)
Monthly,
1/17/24
419
31
—
31
JPMorgan
Chase,
Receive
Underlying
Reference:
BRP
Monthly,
Pay
Variable
3.250%
(1M
CAD
CDOR
+
0.40%)
Monthly,
1/17/24
556
61
—
61
Morgan
Stanley,
Pay
Underlying
Reference:
Agnico
Eagle
Mines
Monthly,
Receive
Variable
2.450%
(1M
CAD
CDOR
+
(0.40)%)
Monthly,
1/17/24
288
2
—
2
Morgan
Stanley,
Pay
Underlying
Reference:
Bank
of
Montreal
Monthly,
Receive
Variable
2.450%
(1M
CAD
CDOR
+
(0.40)%)
Monthly,
1/17/24
119
(7)
—
(
7
)
Morgan
Stanley,
Pay
Underlying
Reference:
Canadian
Imperial
Bank
of
Commerce
Monthly,
Receive
Variable
2.450%
(1M
CAD
CDOR
+
(0.40)%)
Monthly,
1/17/24
331
(22)
—
(
22
)
Morgan
Stanley,
Pay
Underlying
Reference:
Canadian
Natural
Resources
Monthly,
Receive
Variable
2.450%
(1M
CAD
CDOR
+
(0.40)%)
Monthly,
1/17/24
1,014
(117)
—
(
117
)
Morgan
Stanley,
Pay
Underlying
Reference:
Enbridge
Monthly,
Receive
Variable
2.450%
(1M
CAD
CDOR
+
(0.40)%)
Monthly,
1/17/24
718
(34)
—
(
34
)
Morgan
Stanley,
Pay
Underlying
Reference:
Thomson
Reuters
Monthly,
Receive
Variable
2.450%
(1M
CAD
CDOR
+
(0.40)%)
Monthly,
1/17/24
1,166
(33)
—
(
33
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
49
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Canadian
Apartment
Properties
REIT
Monthly,
Pay
Variable
3.500%
(1M
CAD
CDOR
+
0.65%)
Monthly,
1/17/24
669
67
—
67
Morgan
Stanley,
Receive
Underlying
Reference:
Canadian
Pacific
Railway
Monthly,
Pay
Variable
3.500%
(1M
CAD
CDOR
+
0.65%)
Monthly,
1/17/24
403
28
—
28
Morgan
Stanley,
Receive
Underlying
Reference:
Constellation
Software
Monthly,
Pay
Variable
3.500%
(1M
CAD
CDOR
+
0.65%)
Monthly,
1/17/24
725
76
—
76
Morgan
Stanley,
Receive
Underlying
Reference:
Franco-Nevada
Monthly,
Pay
Variable
1.989%
(1M
CAD
CDOR
+
0.40%)
Monthly,
1/18/24
323
2
—
2
Morgan
Stanley,
Receive
Underlying
Reference:
Franco-Nevada
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
35
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
National
Bank
of
Canada
Monthly,
Pay
Variable
3.420%
(1M
CAD
CDOR
+
0.57%)
Monthly,
1/17/24
1,931
122
—
122
Morgan
Stanley,
Receive
Underlying
Reference:
Royal
Bank
of
Canada
Monthly,
Pay
Variable
3.400%
(1M
CAD
CDOR
+
0.55%)
Monthly,
1/17/24
696
34
—
34
Total
Canada
—
331
Cayman
Islands
(0.0)%
Goldman
Sachs,
Receive
Underlying
Reference:
H
World
Group
Monthly,
Pay
Variable
1.999%
(SOFR
+
0.41%)
Monthly,
1/18/24
355
(1)
—
(
1
)
Goldman
Sachs,
Receive
Underlying
Reference:
Kanzhun
Monthly,
Pay
Variable
1.999%
(SOFR
+
0.41%)
Monthly,
1/18/24
258
(4)
—
(
4
)
Goldman
Sachs,
Receive
Underlying
Reference:
KE
Holdings
Monthly,
Pay
Variable
1.999%
(SOFR
+
0.41%)
Monthly,
1/18/24
451
4
—
4
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
50
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
H
World
Group
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
121
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Meituan,
Class
B
Monthly,
Pay
Variable
1.411%
(1M
HKD
HIBOR
+
0.55%)
Monthly,
1/17/24
(HKD)
2,867
(6)
—
(
6
)
Morgan
Stanley,
Receive
Underlying
Reference:
NU
Holdings,
Class
A
Monthly,
Pay
Variable
1.850%
(SOFR
+
0.40%)
Monthly,
1/18/24
119
8
—
8
Morgan
Stanley,
Receive
Underlying
Reference:
NU
Holdings,
Class
A
Monthly,
Pay
Variable
1.920%
(SOFR
+
0.40%)
Monthly,
1/18/24
38
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Social
Capital
Hedosophia
Holdings
Monthly,
Pay
Variable
1.989%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
1
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Social
Capital
Hedosophia
Holdings,
Class
A
Monthly,
Pay
Variable
1.989%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
110
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Sports
Ventures
Acquisition
Monthly,
Pay
Variable
1.989%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
—
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Sports
Ventures
Acquisition,
Class
A
Monthly,
Pay
Variable
1.989%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
146
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Sunny
Optical
Technology
Group
Monthly,
Pay
Variable
1.411%
(1M
HKD
HIBOR
+
0.55%)
Monthly,
1/17/24
(HKD)
3,617
(10)
—
(
10
)
UBS
Investment
Bank,
Receive
Underlying
Reference:
GDS
Holdings,
Class
A
Monthly,
Pay
Variable
1.079%
(1M
HKD
HIBOR
+
0.35%)
Monthly,
1/17/24
(HKD)
3,052
(66)
—
(
66
)
Total
Cayman
Islands
—
(
75
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
51
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
China
0.0%
Morgan
Stanley,
Receive
Underlying
Reference:
Great
Wall
Motor,
Class
H
Monthly,
Pay
Variable
1.411%
(1M
HKD
HIBOR
+
0.55%)
Monthly,
1/17/24
(HKD)
3,365
(15)
—
(
15
)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Sungrow
Power
Supply,
Class
A
Monthly,
Pay
Variable
1.895%
(1M
CHF
LIBOR
+
0%)
Monthly,
1/17/24
552
16
—
16
UBS
Investment
Bank,
Receive
Underlying
Reference:
Sungrow
Power
Supply,
Class
A
Monthly,
Pay
Variable
1.895%
(1M
CNH
HIBOR
+
0%)
Monthly,
1/17/24
2,313
65
—
65
UBS
Investment
Bank,
Receive
Underlying
Reference:
Tsingtao
Brewery,
Class
H
Monthly,
Pay
Variable
1.079%
(1M
HKD
HIBOR
+
0.35%)
Monthly,
1/17/24
(HKD)
3,494
10
—
10
Total
China
—
76
Cyprus
0.0%
UBS
Investment
Bank,
Receive
Underlying
Reference:
TCS
Group
Holding
Monthly,
Pay
Variable
1.919%
(SOFR
+
0.35%)
Monthly,
1/18/24
—
—
—
—
Total
Cyprus
—
—
Denmark
(0.0)%
Bank
of
America,
Pay
Underlying
Reference:
Demant
Monthly,
Receive
Variable
(0.483)%
(1M
DKK
CIBOR
+
(0.35)%)
Monthly,
1/17/24
8,561
(32)
—
(
32
)
Citibank,
Pay
Underlying
Reference:
AP
Moller
-
Maersk,
Class
B
Monthly,
Receive
Variable
(0.567)%
(1M
DKK
CIBOR
+
(0.35)%)
Monthly,
1/17/24
1,275
(21)
—
(
21
)
Goldman
Sachs,
Pay
Underlying
Reference:
AP
Moller
-
Maersk,
Class
B
Monthly,
Receive
Variable
(0.483)%
(1M
DKK
CIBOR
+
(0.35)%)
Monthly,
1/17/24
737
(13)
—
(
13
)
Goldman
Sachs,
Receive
Underlying
Reference:
Novo
Nordisk,
Class
B
Monthly,
Pay
Variable
0.217%
(1M
DKK
CIBOR
+
0.35%)
Monthly,
1/17/24
8,356
23
—
23
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
52
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
JPMorgan
Chase,
Receive
Underlying
Reference:
Carlsberg,
Class
B
Monthly,
Pay
Variable
0.267%
(1M
DKK
CIBOR
+
0.40%)
Monthly,
1/17/24
9,282
(14)
—
(
14
)
UBS
Investment
Bank,
Pay
Underlying
Reference:
DSV
Monthly,
Receive
Variable
(0.617)%
(1M
DKK
CIBOR
+
(0.40)%)
Monthly,
1/17/24
2,082
(47)
—
(
47
)
Total
Denmark
—
(
104
)
Finland
0.0%
Citibank,
Pay
Underlying
Reference:
Kesko,
Class
B
Monthly,
Receive
Variable
(0.390)%
(EUR
ESTR
+
(0.30)%)
Monthly,
1/17/24
290
(10)
—
(
10
)
Citibank,
Receive
Underlying
Reference:
Valmet
Monthly,
Pay
Variable
(0.127)%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
549
60
—
60
Goldman
Sachs,
Receive
Underlying
Reference:
Kojamo
Monthly,
Pay
Variable
0.149%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
282
14
—
14
Goldman
Sachs,
Receive
Underlying
Reference:
Sampo,
Class
A
Monthly,
Pay
Variable
(0.092)%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
509
28
—
28
Total
Finland
—
92
France
(0.1)%
Bank
of
America,
Pay
Underlying
Reference:
Credit
Agricole
Monthly,
Receive
Variable
(0.440)%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
202
(19)
—
(
19
)
Bank
of
America,
Pay
Underlying
Reference:
L'Oreal
Monthly,
Receive
Variable
(0.440)%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
1,055
(88)
—
(
88
)
Bank
of
America,
Receive
Underlying
Reference:
Legrand
Monthly,
Pay
Variable
(0.142)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/17/24
319
30
—
30
Bank
of
America,
Receive
Underlying
Reference:
Thales
Monthly,
Pay
Variable
(0.142)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/17/24
374
(4)
—
(
4
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
53
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Citibank,
Pay
Underlying
Reference:
Air
Liquide
Monthly,
Receive
Variable
(0.435)%
(EUR
ESTR
+
(0.345)%)
Monthly,
1/17/24
259
(12)
—
(
12
)
Citibank,
Receive
Underlying
Reference:
AXA
Monthly,
Pay
Variable
(0.127)%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
1,104
44
—
44
Citibank,
Receive
Underlying
Reference:
TotalEnergies
Monthly,
Pay
Variable
(0.127)%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
932
10
—
10
Morgan
Stanley,
Pay
Underlying
Reference:
BNP
Paribas
Monthly,
Receive
Variable
(0.440)%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
245
(27)
—
(
27
)
Morgan
Stanley,
Pay
Underlying
Reference:
Remy
Cointreau
Monthly,
Receive
Variable
(0.440)%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
565
(60)
—
(
60
)
Morgan
Stanley,
Pay
Underlying
Reference:
Unibail-Rodamco-Westfield
Monthly,
Receive
Variable
(0.440)%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
276
(38)
—
(
38
)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Sanofi
Monthly,
Pay
Variable
(0.177)%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
392
(8)
—
(
8
)
Total
France
—
(
172
)
Germany
0.0%
Bank
of
America,
Pay
Underlying
Reference:
Infineon
Technologies
Monthly,
Receive
Variable
(0.440)%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
676
(99)
—
(
99
)
Bank
of
America,
Pay
Underlying
Reference:
SAP
Monthly,
Receive
Variable
(0.440)%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
484
(20)
—
(
20
)
Citibank,
Pay
Underlying
Reference:
E.ON
Monthly,
Receive
Variable
(0.440)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/17/24
212
(16)
—
(
16
)
Citibank,
Pay
Underlying
Reference:
HelloFresh
Monthly,
Receive
Variable
(0.390)%
(EUR
ESTR
+
(0.30)%)
Monthly,
1/17/24
237
51
—
51
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
54
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Citibank,
Pay
Underlying
Reference:
Puma
Monthly,
Receive
Variable
(0.390)%
(EUR
ESTR
+
(0.30)%)
Monthly,
1/17/24
782
38
—
38
Citibank,
Pay
Underlying
Reference:
Rheinmetall
Monthly,
Receive
Variable
(0.390)%
(EUR
ESTR
+
(0.30)%)
Monthly,
1/17/24
789
66
—
66
Citibank,
Receive
Underlying
Reference:
KION
Group
Monthly,
Pay
Variable
(0.127)%
(1M
EURIBOR
+
0.40%)
Monthly,
1/17/24
130
4
—
4
Citibank,
Receive
Underlying
Reference:
KION
Group
Monthly,
Pay
Variable
(0.127)%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
116
4
—
4
Goldman
Sachs,
Receive
Underlying
Reference:
Bayer
Monthly,
Pay
Variable
(0.092)%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
309
8
—
8
Goldman
Sachs,
Receive
Underlying
Reference:
Deutsche
Telekom
Monthly,
Pay
Variable
(0.092)%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
1,369
(42)
—
(
42
)
Goldman
Sachs,
Receive
Underlying
Reference:
Sartorius
Monthly,
Pay
Variable
(0.092)%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
116
17
—
17
Goldman
Sachs,
Receive
Underlying
Reference:
Sartorius
Monthly,
Pay
Variable
0.149%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
36
3
—
3
Morgan
Stanley,
Pay
Underlying
Reference:
Hannover
Rueck
Monthly,
Receive
Variable
(0.440)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/17/24
70
(1)
—
(
1
)
Morgan
Stanley,
Pay
Underlying
Reference:
HelloFresh
Monthly,
Receive
Variable
(0.440)%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
10
2
—
2
Morgan
Stanley,
Pay
Underlying
Reference:
HUGO
BOSS
Monthly,
Receive
Variable
(0.440)%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
328
(15)
—
(
15
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
55
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Mercedes-Benz
Group
Monthly,
Receive
Variable
(0.440)%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
253
(21)
—
(
21
)
Morgan
Stanley,
Receive
Underlying
Reference:
Daimler
Truck
Holding
Monthly,
Pay
Variable
(0.142)%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
438
41
—
41
Morgan
Stanley,
Receive
Underlying
Reference:
Vonovia
Monthly,
Pay
Variable
(0.142)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/17/24
427
66
—
66
UBS
Investment
Bank,
Pay
Underlying
Reference:
Hannover
Rueck
Monthly,
Receive
Variable
(0.490)%
(1M
EURIBOR
+
(0.40)%)
Monthly,
1/17/24
675
3
—
3
Total
Germany
—
89
Hong
Kong
(0.0)%
Morgan
Stanley,
Receive
Underlying
Reference:
AIA
Group
Monthly,
Pay
Variable
1.411%
(1M
HKD
HIBOR
+
0.55%)
Monthly,
1/17/24
3,245
(15)
—
(
15
)
Morgan
Stanley,
Receive
Underlying
Reference:
Galaxy
Entertainment
Group
Monthly,
Pay
Variable
1.411%
(1M
HKD
HIBOR
+
0.55%)
Monthly,
1/17/24
3,616
15
—
15
Total
Hong
Kong
—
—
Ireland
0.1%
Bank
of
America,
Receive
Underlying
Reference:
Trane
Technologies
Monthly,
Pay
Variable
1.889%
(SOFR
+
0.30%)
Monthly,
1/18/24
289
39
—
39
Citibank,
Pay
Underlying
Reference:
Anheuser-Busch
InBev,
Class
A
Monthly,
Receive
Variable
1.220%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
338
(21)
—
(
21
)
JPMorgan
Chase,
Receive
Underlying
Reference:
CRH
Monthly,
Pay
Variable
1.941%
(GBP
SONIA
+
0.75%)
Monthly,
1/17/24
(GBP)
359
34
—
34
JPMorgan
Chase,
Receive
Underlying
Reference:
Ryanair
Holdings
Monthly,
Pay
Variable
1.939%
(SOFR
+
0.35%)
Monthly,
1/18/24
485
28
—
28
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
56
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Kingspan
Group
Monthly,
Receive
Variable
(0.440)%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
175
(28)
—
(
28
)
Morgan
Stanley,
Pay
Underlying
Reference:
Seagate
Technology
Holdings
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
456
(14)
—
(
14
)
Morgan
Stanley,
Receive
Underlying
Reference:
Accenture,
Class
A
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
590
77
—
77
Morgan
Stanley,
Receive
Underlying
Reference:
James
Hardie
Industries
Monthly,
Pay
Variable
2.120%
(1M
ADBB
+
0.55%)
Monthly,
1/17/24
(AUD)
760
23
—
23
Morgan
Stanley,
Receive
Underlying
Reference:
Linde
Monthly,
Pay
Variable
1.989%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
835
74
—
74
Total
Ireland
—
212
Israel
(0.0)%
Morgan
Stanley,
Pay
Underlying
Reference:
Monday.com
Monthly,
Receive
Variable
0.540%
(SOFR
+
(0.98)%)
Monthly,
1/18/24
79
(9)
—
(
9
)
Total
Israel
—
(
9
)
Italy
(0.0)%
Bank
of
America,
Receive
Underlying
Reference:
Banca
Mediolanum
Monthly,
Pay
Variable
(0.142)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/17/24
446
26
—
26
Goldman
Sachs,
Pay
Underlying
Reference:
Snam
Monthly,
Receive
Variable
(0.360)%
(1M
EURIBOR
+
(0.27)%)
Monthly,
1/17/24
723
(16)
—
(
16
)
Goldman
Sachs,
Receive
Underlying
Reference:
Enel
Monthly,
Pay
Variable
(0.092)%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
816
(15)
—
(
15
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
57
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Intesa
Sanpaolo
Monthly,
Receive
Variable
(0.440)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/17/24
188
(12)
—
(
12
)
Total
Italy
—
(
17
)
Japan
0.0%
Citibank,
Pay
Underlying
Reference:
Japan
Tobacco
Monthly,
Receive
Variable
(0.430)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
130,009
(50)
—
(
50
)
Citibank,
Pay
Underlying
Reference:
KDDI
Monthly,
Receive
Variable
(0.430)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
40,464
7
—
7
Citibank,
Pay
Underlying
Reference:
Shimano
Monthly,
Receive
Variable
(0.430)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
35,175
12
—
12
Citibank,
Pay
Underlying
Reference:
ZOZO
Monthly,
Receive
Variable
(0.430)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
35,388
(3)
—
(
3
)
Citibank,
Receive
Underlying
Reference:
Fast
Retailing
Monthly,
Pay
Variable
0.367%
(JPY
TONA
+
0.38%)
Monthly,
1/17/24
47,782
63
—
63
Citibank,
Receive
Underlying
Reference:
Mitsui
Fudosan
Monthly,
Pay
Variable
0.367%
(1M
JPY
LIBOR
+
0.38%)
Monthly,
1/17/24
33,891
11
—
11
Citibank,
Receive
Underlying
Reference:
Sumitomo
Monthly,
Pay
Variable
0.366%
(JPY
TONA
+
0.38%)
Monthly,
1/17/24
38,773
1
—
1
Morgan
Stanley,
Pay
Underlying
Reference:
GMO
Payment
Gateway
Monthly,
Receive
Variable
(0.430)%
(1M
JPY
LIBOR
+
(0.42)%)
Monthly,
1/17/24
27,352
(9)
—
(
9
)
Morgan
Stanley,
Pay
Underlying
Reference:
Honda
Motor
Monthly,
Receive
Variable
(0.430)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
151,448
(5)
—
(
5
)
Morgan
Stanley,
Pay
Underlying
Reference:
Kyocera
Monthly,
Receive
Variable
(0.430)%
(1M
JPY
LIBOR
+
(0.42)%)
Monthly,
1/17/24
33,375
(9)
—
(
9
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
58
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Nidec
Monthly,
Receive
Variable
(0.430)%
(1M
JPY
LIBOR
+
(0.42)%)
Monthly,
1/17/24
52,548
1
—
1
Morgan
Stanley,
Pay
Underlying
Reference:
Shimano
Monthly,
Receive
Variable
(0.430)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
43,791
(7)
—
(
7
)
Morgan
Stanley,
Pay
Underlying
Reference:
Sumitomo
Chemical
Monthly,
Receive
Variable
(0.430)%
(JPY
TONA
+
(0.42)%)
Monthly,
1/17/24
32,931
(10)
—
(
10
)
Morgan
Stanley,
Receive
Underlying
Reference:
Astellas
Pharma
Monthly,
Pay
Variable
0.516%
(1M
JPY
LIBOR
+
0.53%)
Monthly,
1/17/24
56,905
(14)
—
(
14
)
Morgan
Stanley,
Receive
Underlying
Reference:
Nippon
Sanso
Holdings
Monthly,
Pay
Variable
0.516%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
52,250
20
—
20
Morgan
Stanley,
Receive
Underlying
Reference:
NSK
Monthly,
Pay
Variable
0.516%
(1M
JPY
LIBOR
+
0.53%)
Monthly,
1/17/24
38,372
7
—
7
Morgan
Stanley,
Receive
Underlying
Reference:
Pan
Pacific
International
Holdings
Monthly,
Pay
Variable
0.516%
(JPY
TONA
+
0.53%)
Monthly,
1/17/24
46,250
1
—
1
Morgan
Stanley,
Receive
Underlying
Reference:
Stanley
Electric
Monthly,
Pay
Variable
0.516%
(1M
JPY
LIBOR
+
0.53%)
Monthly,
1/17/24
77,785
2
—
2
Morgan
Stanley,
Receive
Underlying
Reference:
Sumitomo
Electric
Industries
Monthly,
Pay
Variable
0.516%
(1M
JPY
LIBOR
+
0.53%)
Monthly,
1/17/24
34,075
4
—
4
Morgan
Stanley,
Receive
Underlying
Reference:
Suntory
Beverage
&
Food
Monthly,
Pay
Variable
0.516%
(1M
JPY
LIBOR
+
0.53%)
Monthly,
1/17/24
47,656
7
—
7
UBS
Investment
Bank,
Pay
Underlying
Reference:
Chugai
Pharmaceutical
Monthly,
Receive
Variable
(0.410)%
(JPY
TONA
+
(0.40)%)
Monthly,
1/17/24
41,324
(10)
—
(
10
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
59
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
UBS
Investment
Bank,
Pay
Underlying
Reference:
FANUC
Monthly,
Receive
Variable
(0.410)%
(JPY
TONA
+
(0.40)%)
Monthly,
1/17/24
67,906
(22)
—
(
22
)
UBS
Investment
Bank,
Pay
Underlying
Reference:
Nitori
Holdings
Monthly,
Receive
Variable
(0.410)%
(JPY
TONA
+
(0.40)%)
Monthly,
1/17/24
28,781
(6)
—
(
6
)
UBS
Investment
Bank,
Pay
Underlying
Reference:
SMC
Monthly,
Receive
Variable
(0.410)%
(JPY
TONA
+
(0.40)%)
Monthly,
1/17/24
80,912
(31)
—
(
31
)
UBS
Investment
Bank,
Pay
Underlying
Reference:
Sony
Group
Monthly,
Receive
Variable
(0.410)%
(JPY
TONA
+
(0.40)%)
Monthly,
1/17/24
67,985
(25)
—
(
25
)
UBS
Investment
Bank,
Pay
Underlying
Reference:
Tokyo
Electron
Monthly,
Receive
Variable
(0.410)%
(JPY
TONA
+
(0.40)%)
Monthly,
1/17/24
65,325
(28)
—
(
28
)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Daiichi
Sankyo
Monthly,
Pay
Variable
0.337%
(JPY
TONA
+
0.35%)
Monthly,
1/17/24
118,095
20
—
20
UBS
Investment
Bank,
Receive
Underlying
Reference:
Daikin
Industries
Monthly,
Pay
Variable
0.337%
(JPY
TONA
+
0.35%)
Monthly,
1/17/24
35,264
14
—
14
UBS
Investment
Bank,
Receive
Underlying
Reference:
Hamamatsu
Photonics
Monthly,
Pay
Variable
0.337%
(JPY
TONA
+
0.35%)
Monthly,
1/17/24
157,360
86
—
86
UBS
Investment
Bank,
Receive
Underlying
Reference:
Hoshizaki
Monthly,
Pay
Variable
0.337%
(JPY
TONA
+
0.35%)
Monthly,
1/17/24
134,294
(12)
—
(
12
)
UBS
Investment
Bank,
Receive
Underlying
Reference:
M3
Monthly,
Pay
Variable
0.337%
(JPY
TONA
+
0.35%)
Monthly,
1/17/24
56,250
49
—
49
UBS
Investment
Bank,
Receive
Underlying
Reference:
Mitsui
Fudosan
Monthly,
Pay
Variable
0.337%
(JPY
TONA
+
0.35%)
Monthly,
1/17/24
12,246
4
—
4
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
60
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Nintendo
Monthly,
Pay
Variable
0.337%
(JPY
TONA
+
0.35%)
Monthly,
1/17/24
34,776
8
—
8
UBS
Investment
Bank,
Receive
Underlying
Reference:
Nippon
Steel
Monthly,
Pay
Variable
0.337%
(JPY
TONA
+
0.35%)
Monthly,
1/17/24
37,828
6
—
6
UBS
Investment
Bank,
Receive
Underlying
Reference:
Panasonic
Monthly,
Pay
Variable
0.337%
(JPY
TONA
+
0.35%)
Monthly,
1/17/24
48,150
(10)
—
(
10
)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Suzuki
Motor
Monthly,
Pay
Variable
0.337%
(JPY
TONA
+
0.35%)
Monthly,
1/17/24
147,976
21
—
21
UBS
Investment
Bank,
Receive
Underlying
Reference:
Taiheiyo
Cement
Monthly,
Pay
Variable
0.337%
(JPY
TONA
+
0.35%)
Monthly,
1/17/24
101,776
12
—
12
Total
Japan
—
105
Jersey
(0.0)%
Citibank,
Pay
Underlying
Reference:
Glencore
Monthly,
Receive
Variable
0.880%
(GBP
SONIA
+
(0.31)%)
Monthly,
1/17/24
273
(22)
—
(
22
)
Goldman
Sachs,
Pay
Underlying
Reference:
Aptiv
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
444
(65)
—
(
65
)
Goldman
Sachs,
Receive
Underlying
Reference:
Experian
Monthly,
Pay
Variable
1.571%
(GBP
SONIA
+
0.38%)
Monthly,
1/17/24
763
27
—
27
Total
Jersey
—
(
60
)
Luxembourg
0.0%
Morgan
Stanley,
Receive
Underlying
Reference:
Tenaris
Monthly,
Pay
Variable
(0.142)%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
834
102
—
102
Morgan
Stanley,
Receive
Underlying
Reference:
Tenaris
Monthly,
Pay
Variable
0.099%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
454
49
—
49
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
61
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
UBS
Investment
Bank,
Pay
Underlying
Reference:
Shurgard
Self
Storage
Monthly,
Receive
Variable
(0.490)%
(EUR
ESTR
+
(0.40)%)
Monthly,
1/17/24
277
(21)
—
(
21
)
Total
Luxembourg
—
130
Mexico
(0.0)%
Morgan
Stanley,
Pay
Underlying
Reference:
Alpek
Monthly,
Receive
Variable
7.520%
(MXIBTIIE
+
(0.50)%)
Monthly,
1/17/24
4,184
2
—
2
Morgan
Stanley,
Receive
Underlying
Reference:
Alfa,
Class
A
Monthly,
Pay
Variable
8.570%
(MXIBTIIE
+
0.55%)
Monthly,
1/17/24
6,516
(19)
—
(
19
)
Total
Mexico
—
(
17
)
Netherlands
0.1%
Bank
of
America,
Receive
Underlying
Reference:
Airbus
Monthly,
Pay
Variable
(0.142)%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
357
4
—
4
Bank
of
America,
Receive
Underlying
Reference:
Airbus
Monthly,
Pay
Variable
0.260%
(EUR
ESTR
+
0.35%)
Monthly,
1/17/24
109
3
—
3
Citibank,
Receive
Underlying
Reference:
ING
Groep
Monthly,
Pay
Variable
(0.127)%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
805
6
—
6
Goldman
Sachs,
Receive
Underlying
Reference:
ASML
Holding
Monthly,
Pay
Variable
(0.092)%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
235
47
—
47
Goldman
Sachs,
Receive
Underlying
Reference:
ASML
Holding
Monthly,
Pay
Variable
0.149%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
565
36
—
36
Morgan
Stanley,
Pay
Underlying
Reference:
LyondellBasell
Industries,
Class
A
Monthly,
Receive
Variable
1.220%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
558
(29)
—
(
29
)
Morgan
Stanley,
Pay
Underlying
Reference:
NXP
Semiconductors
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
788
(95)
—
(
95
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
62
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Ferrari
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
448
41
—
41
Morgan
Stanley,
Receive
Underlying
Reference:
Universal
Music
Group
Monthly,
Pay
Variable
(0.142)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/17/24
265
18
—
18
UBS
Investment
Bank,
Pay
Underlying
Reference:
Koninklijke
Ahold
Delhaize
Monthly,
Receive
Variable
(0.490)%
(EUR
ESTR
+
(0.40)%)
Monthly,
1/17/24
513
(10)
—
(
10
)
Total
Netherlands
—
21
New
Zealand
0.0%
UBS
Investment
Bank,
Pay
Underlying
Reference:
Fisher
&
Paykel
Healthcare
Monthly,
Receive
Variable
2.080%
(1M
NDBB
+
(0.45)%)
Monthly,
1/17/24
719
5
—
5
Total
New
Zealand
—
5
Norway
0.0%
Citibank,
Pay
Underlying
Reference:
Aker
BP
Monthly,
Receive
Variable
0.780%
(1M
NOK
NIBOR
+
(0.50)%)
Monthly,
1/17/24
2,975
(2)
—
(
2
)
Citibank,
Pay
Underlying
Reference:
Yara
International
Monthly,
Receive
Variable
0.930%
(1M
NOK
NIBOR
+
(0.35)%)
Monthly,
1/17/24
3,740
(1)
—
(
1
)
Goldman
Sachs,
Receive
Underlying
Reference:
DNB
Bank
Monthly,
Pay
Variable
1.760%
(1M
NOK
NIBOR
+
0.35%)
Monthly,
1/17/24
2,590
15
—
15
Goldman
Sachs,
Receive
Underlying
Reference:
TOMRA
Systems
Monthly,
Pay
Variable
1.760%
(1M
NOK
NIBOR
+
0.35%)
Monthly,
1/17/24
6,156
106
—
106
Total
Norway
—
118
Portugal
0.0%
Goldman
Sachs,
Receive
Underlying
Reference:
Galp
Energia
Monthly,
Pay
Variable
(0.092)%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
466
28
—
28
Total
Portugal
—
28
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
63
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
South
Africa
(0.0)%
Citibank,
Pay
Underlying
Reference:
Nedbank
Group
Monthly,
Receive
Variable
4.183%
(1M
ZAR
JIBOR
+
(0.75)%)
Monthly,
1/17/24
7,591
(21)
—
(
21
)
Citibank,
Pay
Underlying
Reference:
Standard
Bank
Group
Monthly,
Receive
Variable
4.183%
(1M
ZAR
JIBOR
+
(0.75)%)
Monthly,
1/17/24
7,558
(17)
—
(
17
)
Morgan
Stanley,
Receive
Underlying
Reference:
Gold
Fields
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
171
8
—
8
Total
South
Africa
—
(
30
)
Spain
(0.0)%
Citibank,
Pay
Underlying
Reference:
Red
Electrica
Corp
Monthly,
Receive
Variable
(0.440)%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
290
(18)
—
(
18
)
Goldman
Sachs,
Receive
Underlying
Reference:
Amadeus
IT
Group
Monthly,
Pay
Variable
(0.181)%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
77
(1)
—
(
1
)
Goldman
Sachs,
Receive
Underlying
Reference:
Amadeus
IT
Group
Monthly,
Pay
Variable
(0.092)%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
263
10
—
10
Goldman
Sachs,
Receive
Underlying
Reference:
Amadeus
IT
Group
Monthly,
Pay
Variable
0.310%
(EUR
ESTR
+
0.40%)
Monthly,
1/17/24
112
—
—
—
Morgan
Stanley,
Pay
Underlying
Reference:
Banco
Bilbao
Vizcaya
Argentaria
Monthly,
Receive
Variable
(0.440)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/17/24
249
(20)
—
(
20
)
Morgan
Stanley,
Pay
Underlying
Reference:
Banco
Bilbao
Vizcaya
Argentaria
Monthly,
Receive
Variable
(0.440)%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
155
(9)
—
(
9
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
64
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
EDP
Renovaveis
Monthly,
Receive
Variable
(0.440)%
(EUR
ESTR
+
(0.35)%)
Monthly,
1/17/24
319
(17)
—
(
17
)
Total
Spain
—
(
55
)
Sweden
0.1%
Citibank,
Pay
Underlying
Reference:
Tele2,
Class
B
Monthly,
Receive
Variable
0.299%
(1M
SEK
STIBOR
+
(0.35)%)
Monthly,
1/17/24
12,099
54
—
54
Citibank,
Receive
Underlying
Reference:
Assa
Abloy,
Class
B
Monthly,
Pay
Variable
0.999%
(1M
SEK
STIBOR
+
0.35%)
Monthly,
1/17/24
3,819
13
—
13
Goldman
Sachs,
Receive
Underlying
Reference:
Atlas
Copco,
Class
B
Monthly,
Pay
Variable
1.021%
(1M
SEK
STIBOR
+
0.35%)
Monthly,
1/17/24
6,693
107
—
107
Goldman
Sachs,
Receive
Underlying
Reference:
Svenska
Cellulosa,
Class
B
Monthly,
Pay
Variable
1.140%
(1M
SEK
STIBOR
+
0.35%)
Monthly,
1/17/24
4,548
8
—
8
JPMorgan
Chase,
Receive
Underlying
Reference:
Telefonaktiebolaget
LM
Ericsson,
Class
B
Monthly,
Pay
Variable
1.138%
(1M
SEK
STIBOR
+
0.40%)
Monthly,
1/17/24
2,972
13
—
13
Morgan
Stanley,
Pay
Underlying
Reference:
Investor,
Class
A
Monthly,
Receive
Variable
0.321%
(1M
SEK
STIBOR
+
(0.35)%)
Monthly,
1/17/24
4,849
(39)
—
(
39
)
Morgan
Stanley,
Receive
Underlying
Reference:
Alfa
Laval
Monthly,
Pay
Variable
1.021%
(1M
SEK
STIBOR
+
0.35%)
Monthly,
1/17/24
1,956
31
—
31
Morgan
Stanley,
Receive
Underlying
Reference:
Alfa
Laval
Monthly,
Pay
Variable
1.140%
(1M
SEK
STIBOR
+
0.35%)
Monthly,
1/17/24
1,605
3
—
3
UBS
Investment
Bank,
Pay
Underlying
Reference:
Husqvarna,
Class
B
Monthly,
Receive
Variable
0.249%
(1M
SEK
STIBOR
+
(0.40)%)
Monthly,
1/17/24
11,417
16
—
16
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
65
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
UBS
Investment
Bank,
Pay
Underlying
Reference:
Husqvarna,
Class
B
Monthly,
Receive
Variable
0.270%
(1M
SEK
STIBOR
+
(0.40)%)
Monthly,
1/17/24
1,230
—
—
—
UBS
Investment
Bank,
Pay
Underlying
Reference:
SKF,
Class
B
Monthly,
Receive
Variable
0.249%
(1M
SEK
STIBOR
+
(0.40)%)
Monthly,
1/17/24
3,358
(9)
—
(
9
)
UBS
Investment
Bank,
Receive
Underlying
Reference:
Essity,
Class
B
Monthly,
Pay
Variable
0.999%
(1M
SEK
STIBOR
+
0.35%)
Monthly,
1/17/24
10,127
(60)
—
(
60
)
Total
Sweden
—
137
Switzerland
0.1%
Bank
of
America,
Pay
Underlying
Reference:
Givaudan
Monthly,
Receive
Variable
(0.540)%
(1M
CHF
LIBOR
+
(0.35)%)
Monthly,
1/17/24
276
(6)
—
(
6
)
Bank
of
America,
Pay
Underlying
Reference:
Roche
Holding
Monthly,
Receive
Variable
(0.540)%
(1M
CHF
LIBOR
+
(0.35)%)
Monthly,
1/17/24
1,197
57
—
57
Bank
of
America,
Receive
Underlying
Reference:
ABB
Monthly,
Pay
Variable
0.143%
(1M
CHF
LIBOR
+
0.35%)
Monthly,
1/17/24
226
22
—
22
Bank
of
America,
Receive
Underlying
Reference:
Julius
Baer
Group
Monthly,
Pay
Variable
0.143%
(1M
CHF
LIBOR
+
0.35%)
Monthly,
1/17/24
282
41
—
41
Citibank,
Pay
Underlying
Reference:
Kuehne
+
Nagel
International
Monthly,
Receive
Variable
(0.610)%
(1M
CHF
LIBOR
+
(0.42)%)
Monthly,
1/17/24
288
(23)
—
(
23
)
Citibank,
Pay
Underlying
Reference:
Nestle
Monthly,
Receive
Variable
(0.610)%
(1M
CHF
LIBOR
+
(0.42)%)
Monthly,
1/17/24
1,875
(32)
—
(
32
)
Citibank,
Pay
Underlying
Reference:
SGS
Monthly,
Receive
Variable
(0.540)%
(1M
CHF
LIBOR
+
(0.35)%)
Monthly,
1/17/24
221
(9)
—
(
9
)
Citibank,
Pay
Underlying
Reference:
Straumann
Holding
Monthly,
Receive
Variable
(0.610)%
(1M
CHF
LIBOR
+
(0.42)%)
Monthly,
1/17/24
156
(10)
—
(
10
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
66
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Citibank,
Pay
Underlying
Reference:
Straumann
Holding
Monthly,
Receive
Variable
(0.540)%
(1M
CHF
LIBOR
+
(0.35)%)
Monthly,
1/17/24
208
(14)
—
(
14
)
Citibank,
Pay
Underlying
Reference:
UBS
Group
Monthly,
Receive
Variable
(0.610)%
(1M
CHF
LIBOR
+
(0.42)%)
Monthly,
1/17/24
267
3
—
3
Citibank,
Receive
Underlying
Reference:
Partners
Group
Holding
Monthly,
Pay
Variable
0.072%
(1M
CHF
LIBOR
+
0.28%)
Monthly,
1/17/24
240
37
—
37
Citibank,
Receive
Underlying
Reference:
Partners
Group
Holding
Monthly,
Pay
Variable
0.073%
(1M
CHF
LIBOR
+
0.28%)
Monthly,
1/17/24
194
38
—
38
Goldman
Sachs,
Receive
Underlying
Reference:
Alcon
Monthly,
Pay
Variable
0.083%
(1M
CHF
LIBOR
+
0.29%)
Monthly,
1/17/24
1,615
113
—
113
Morgan
Stanley,
Pay
Underlying
Reference:
CRISPR
Therapeutics
Monthly,
Receive
Variable
0.790%
(SOFR
+
(0.73)%)
Monthly,
1/18/24
144
15
—
15
Morgan
Stanley,
Pay
Underlying
Reference:
Kuehne
+
Nagel
International
Monthly,
Receive
Variable
(0.600)%
(1M
CHF
LIBOR
+
(0.41)%)
Monthly,
1/17/24
221
(22)
—
(
22
)
Morgan
Stanley,
Pay
Underlying
Reference:
Sonova
Holding
Monthly,
Receive
Variable
(0.600)%
(1M
CHF
LIBOR
+
(0.41)%)
Monthly,
1/17/24
281
(9)
—
(
9
)
UBS
Investment
Bank,
Pay
Underlying
Reference:
Schindler
Holding
Monthly,
Receive
Variable
(0.590)%
(1M
CHF
LIBOR
+
(0.40)%)
Monthly,
1/17/24
212
1
—
1
Total
Switzerland
—
202
Taiwan
(0.0)%
Morgan
Stanley,
Pay
Underlying
Reference:
United
Microelectronics
Monthly,
Receive
Variable
(13.110)%
(SOFR
+
(14.63)%)
Monthly,
1/18/24
328
(5)
—
(
5
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
67
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
UBS
Investment
Bank,
Pay
Underlying
Reference:
Asustek
Computer
Monthly,
Receive
Variable
1.020%
(SOFR
+
(0.50)%)
Monthly,
1/18/24
327
(18)
—
(
18
)
Total
Taiwan
—
(
23
)
United
Kingdom
(0.1)%
Bank
of
America,
Pay
Underlying
Reference:
British
American
Tobacco
Monthly,
Receive
Variable
0.840%
(GBP
SONIA
+
(0.35)%)
Monthly,
1/17/24
446
40
—
40
Bank
of
America,
Receive
Underlying
Reference:
AstraZeneca
Monthly,
Pay
Variable
1.541%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/17/24
425
(13)
—
(
13
)
Bank
of
America,
Receive
Underlying
Reference:
AstraZeneca
Monthly,
Pay
Variable
1.541%
(GBP
SONIA
+
0.35%)
Monthly,
1/17/24
176
(5)
—
(
5
)
Bank
of
America,
Receive
Underlying
Reference:
Smiths
Group
Monthly,
Pay
Variable
1.541%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/17/24
231
16
—
16
Citibank,
Pay
Underlying
Reference:
Barclays
Monthly,
Receive
Variable
0.864%
(GBP
SONIA
+
(0.326)%)
Monthly,
1/17/24
502
(21)
—
(
21
)
Citibank,
Pay
Underlying
Reference:
BP
Monthly,
Receive
Variable
0.880%
(GBP
SONIA
+
(0.31)%)
Monthly,
1/17/24
277
(12)
—
(
12
)
Citibank,
Pay
Underlying
Reference:
Diageo
Monthly,
Receive
Variable
0.880%
(GBP
SONIA
+
(0.31)%)
Monthly,
1/17/24
221
(26)
—
(
26
)
Citibank,
Pay
Underlying
Reference:
Legal
&
General
Group
Monthly,
Receive
Variable
0.880%
(GBP
SONIA
+
(0.31)%)
Monthly,
1/17/24
991
(82)
—
(
82
)
Citibank,
Pay
Underlying
Reference:
Next
Monthly,
Receive
Variable
0.880%
(GBP
SONIA
+
(0.31)%)
Monthly,
1/17/24
802
(104)
—
(
104
)
Citibank,
Receive
Underlying
Reference:
Endava
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.42%)
Monthly,
1/18/24
496
56
—
56
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
68
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Citibank,
Receive
Underlying
Reference:
London
Stock
Exchange
Group
Monthly,
Pay
Variable
1.581%
(GBP
SONIA
+
0.39%)
Monthly,
1/17/24
244
15
—
15
Goldman
Sachs,
Pay
Underlying
Reference:
Hargreaves
Lansdown
Monthly,
Receive
Variable
0.840%
(1M
GBP
LIBOR
+
(0.35)%)
Monthly,
1/17/24
270
(12)
—
(
12
)
Goldman
Sachs,
Receive
Underlying
Reference:
Anglo
American
Monthly,
Pay
Variable
1.571%
(GBP
SONIA
+
0.38%)
Monthly,
1/17/24
231
44
—
44
Goldman
Sachs,
Receive
Underlying
Reference:
HSBC
Holdings
Monthly,
Pay
Variable
1.571%
(GBP
SONIA
+
0.38%)
Monthly,
1/17/24
860
(1)
—
(
1
)
Goldman
Sachs,
Receive
Underlying
Reference:
Imperial
Brands
Monthly,
Pay
Variable
1.571%
(GBP
SONIA
+
0.38%)
Monthly,
1/17/24
2,180
(84)
—
(
84
)
Morgan
Stanley,
Pay
Underlying
Reference:
Bunzl
Monthly,
Receive
Variable
0.880%
(1M
GBP
LIBOR
+
(0.31)%)
Monthly,
1/17/24
442
(28)
—
(
28
)
Morgan
Stanley,
Pay
Underlying
Reference:
Burberry
Group
Monthly,
Receive
Variable
0.880%
(GBP
SONIA
+
(0.31)%)
Monthly,
1/17/24
228
(43)
—
(
43
)
Morgan
Stanley,
Pay
Underlying
Reference:
JD
Sports
Fashion
Monthly,
Receive
Variable
0.880%
(GBP
SONIA
+
(0.31)%)
Monthly,
1/17/24
363
(3)
—
(
3
)
Morgan
Stanley,
Pay
Underlying
Reference:
Safestore
Holdings
Monthly,
Receive
Variable
0.880%
(GBP
SONIA
+
(0.31)%)
Monthly,
1/17/24
32
(2)
—
(
2
)
Morgan
Stanley,
Pay
Underlying
Reference:
Segro
Monthly,
Receive
Variable
0.880%
(GBP
SONIA
+
(0.31)%)
Monthly,
1/17/24
376
(30)
—
(
30
)
Morgan
Stanley,
Pay
Underlying
Reference:
Tritax
Big
Box
REIT
Monthly,
Receive
Variable
0.880%
(GBP
SONIA
+
(0.31)%)
Monthly,
1/17/24
201
(15)
—
(
15
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
69
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Direct
Line
Insurance
Group
Monthly,
Pay
Variable
1.581%
(GBP
SONIA
+
0.39%)
Monthly,
1/17/24
682
(40)
—
(
40
)
Morgan
Stanley,
Receive
Underlying
Reference:
InterContinental
Hotels
Group
Monthly,
Pay
Variable
1.581%
(1M
GBP
LIBOR
+
0.39%)
Monthly,
1/17/24
1,028
46
—
46
Morgan
Stanley,
Receive
Underlying
Reference:
SSP
Group
Monthly,
Pay
Variable
1.581%
(GBP
SONIA
+
0.39%)
Monthly,
1/17/24
315
24
—
24
UBS
Investment
Bank,
Pay
Underlying
Reference:
Safestore
Holdings
Monthly,
Receive
Variable
0.790%
(GBP
SONIA
+
(0.40)%)
Monthly,
1/17/24
221
(20)
—
(
20
)
UBS
Investment
Bank,
Receive
Underlying
Reference:
London
Stock
Exchange
Group
Monthly,
Pay
Variable
1.541%
(GBP
SONIA
+
0.35%)
Monthly,
1/17/24
184
11
—
11
UBS
Investment
Bank,
Receive
Underlying
Reference:
Meggitt
Monthly,
Pay
Variable
1.541%
(GBP
SONIA
+
0.35%)
Monthly,
1/17/24
1,288
2
—
2
UBS
Investment
Bank,
Receive
Underlying
Reference:
Prudential
Monthly,
Pay
Variable
1.541%
(GBP
SONIA
+
0.35%)
Monthly,
1/17/24
225
2
—
2
UBS
Investment
Bank,
Receive
Underlying
Reference:
Prudential
Monthly,
Pay
Variable
1.541%
(GBP
SONIA
+
0.35%)
Monthly,
1/17/24
250
(3)
—
(
3
)
Total
United
Kingdom
—
(
288
)
United
States
(0.1)%
Bank
of
America,
Pay
Underlying
Reference:
Aflac
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
407
(21)
—
(
21
)
Bank
of
America,
Pay
Underlying
Reference:
Brighthouse
Financial
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
415
(32)
—
(
32
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
70
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Bank
of
America,
Pay
Underlying
Reference:
Chevron
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
784
(148)
—
(
148
)
Bank
of
America,
Pay
Underlying
Reference:
Globe
Life
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
377
(7)
—
(
7
)
Bank
of
America,
Pay
Underlying
Reference:
Globe
Life
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
38
—
—
—
Bank
of
America,
Pay
Underlying
Reference:
MetLife
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
185
(11)
—
(
11
)
Bank
of
America,
Pay
Underlying
Reference:
Prudential
Financial
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
404
(31)
—
(
31
)
Bank
of
America,
Pay
Underlying
Reference:
Republic
Services
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
289
(21)
—
(
21
)
Bank
of
America,
Pay
Underlying
Reference:
UDR
Monthly,
Receive
Variable
1.220%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
260
(24)
—
(
24
)
Bank
of
America,
Pay
Underlying
Reference:
Victoria's
Secret
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
226
(65)
—
(
65
)
Bank
of
America,
Receive
Underlying
Reference:
American
Campus
Communities
Monthly,
Pay
Variable
2.339%
(SOFR
+
0.75%)
Monthly,
1/18/24
2,579
6
—
6
Bank
of
America,
Receive
Underlying
Reference:
Centene
Monthly,
Pay
Variable
1.889%
(SOFR
+
0.30%)
Monthly,
1/18/24
307
11
—
11
Bank
of
America,
Receive
Underlying
Reference:
Cummins
Monthly,
Pay
Variable
1.889%
(SOFR
+
0.30%)
Monthly,
1/18/24
40
5
—
5
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
71
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Bank
of
America,
Receive
Underlying
Reference:
Elevance
Health
Monthly,
Pay
Variable
1.889%
(SOFR
+
0.30%)
Monthly,
1/18/24
295
(7)
—
(
7
)
Bank
of
America,
Receive
Underlying
Reference:
Humana
Monthly,
Pay
Variable
1.889%
(SOFR
+
0.30%)
Monthly,
1/18/24
309
(4)
—
(
4
)
Bank
of
America,
Receive
Underlying
Reference:
Las
Vegas
Sands
Monthly,
Pay
Variable
1.889%
(SOFR
+
0.30%)
Monthly,
1/18/24
498
45
—
45
Bank
of
America,
Receive
Underlying
Reference:
Molina
Healthcare
Monthly,
Pay
Variable
1.889%
(SOFR
+
0.30%)
Monthly,
1/18/24
315
30
—
30
Bank
of
America,
Receive
Underlying
Reference:
Molina
Healthcare
Monthly,
Pay
Variable
1.998%
(SOFR
+
0.30%)
Monthly,
1/18/24
173
16
—
16
Bank
of
America,
Receive
Underlying
Reference:
Saia
Monthly,
Pay
Variable
1.889%
(SOFR
+
0.30%)
Monthly,
1/18/24
251
54
—
54
Bank
of
America,
Receive
Underlying
Reference:
Southwest
Airlines
Monthly,
Pay
Variable
1.889%
(SOFR
+
0.30%)
Monthly,
1/18/24
321
(12)
—
(
12
)
Bank
of
America,
Receive
Underlying
Reference:
UnitedHealth
Group
Monthly,
Pay
Variable
1.889%
(SOFR
+
0.30%)
Monthly,
1/18/24
300
7
—
7
Bank
of
America,
Receive
Underlying
Reference:
UnitedHealth
Group
Monthly,
Pay
Variable
1.998%
(SOFR
+
0.30%)
Monthly,
1/18/24
149
6
—
6
Bank
of
America,
Receive
Underlying
Reference:
Zendesk
Monthly,
Pay
Variable
1.889%
(SOFR
+
0.30%)
Monthly,
1/18/24
1,137
16
—
16
Citibank,
Pay
Underlying
Reference:
Charter
Communications,
Class
A
Monthly,
Receive
Variable
1.340%
(SOFR
+
(0.18)%)
Monthly,
1/18/24
1,054
72
—
72
Citibank,
Pay
Underlying
Reference:
Eastman
Chemical
Monthly,
Receive
Variable
1.220%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
463
(29)
—
(
29
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
72
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Citibank,
Receive
Underlying
Reference:
Becton
Dickinson
&
Company
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.42%)
Monthly,
1/18/24
523
(4)
—
(
4
)
Citibank,
Receive
Underlying
Reference:
NextEra
Energy
Monthly,
Pay
Variable
1.989%
(1M
USD
LIBOR
+
0.42%)
Monthly,
1/18/24
176
9
—
9
Citibank,
Receive
Underlying
Reference:
PG&E
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.42%)
Monthly,
1/18/24
800
45
—
45
Citibank,
Receive
Underlying
Reference:
Stanley
Black
&
Decker
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.42%)
Monthly,
1/18/24
423
(50)
—
(
50
)
Citibank,
Receive
Underlying
Reference:
Ulta
Beauty
Monthly,
Pay
Variable
1.989%
(1M
USD
LIBOR
+
0.42%)
Monthly,
1/18/24
357
7
—
7
Goldman
Sachs,
Pay
Underlying
Reference:
Comcast,
Class
A
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
1,098
92
—
92
Goldman
Sachs,
Pay
Underlying
Reference:
Equifax
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
464
(39)
—
(
39
)
Goldman
Sachs,
Pay
Underlying
Reference:
Exxon
Mobil
Monthly,
Receive
Variable
1.220%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
92
(13)
—
(
13
)
Goldman
Sachs,
Pay
Underlying
Reference:
Freeport-McMoRan
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
300
(61)
—
(
61
)
Goldman
Sachs,
Pay
Underlying
Reference:
iShares
iBoxx
High
Yield
Corporate
Bond
ETF
at
Maturity,
Receive
Variable
0.010%
(SOFR
+
0%)
at
Maturity,
9/20/22
2,030
(70)
2
(
72
)
Goldman
Sachs,
Pay
Underlying
Reference:
iShares
MSCI
Turkey
ETF
Monthly,
Receive
Variable
(23.019)%
(SOFR
+
-24.539%)
Monthly,
1/18/24
129
(8)
—
(
8
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
73
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Goldman
Sachs,
Pay
Underlying
Reference:
Morgan
Stanley
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
588
(53)
—
(
53
)
Goldman
Sachs,
Pay
Underlying
Reference:
NortonLifeLock
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
475
(20)
—
(
20
)
Goldman
Sachs,
Pay
Underlying
Reference:
PNC
Financial
Services
Group
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
1,043
(95)
—
(
95
)
Goldman
Sachs,
Pay
Underlying
Reference:
Progressive
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
279
3
—
3
Goldman
Sachs,
Pay
Underlying
Reference:
SPDR
S&P
Oil
&
Gas
Exploration
&
Production
ETF
Monthly,
Receive
Variable
0.670%
(SOFR
+
(0.85)%)
Monthly,
1/18/24
399
(67)
—
(
67
)
Goldman
Sachs,
Pay
Underlying
Reference:
VanEck
Oil
Services
ETF
Monthly,
Receive
Variable
(0.360)%
(SOFR
+
(1.88)%)
Monthly,
1/18/24
414
(69)
—
(
69
)
Goldman
Sachs,
Pay
Underlying
Reference:
VICI
Properties
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
348
(18)
—
(
18
)
Goldman
Sachs,
Pay
Underlying
Reference:
Weyerhaeuser
Monthly,
Receive
Variable
1.220%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
507
(22)
—
(
22
)
Goldman
Sachs,
Receive
Underlying
Reference:
Carney
Technology
Acquisition,
Class
A
Monthly,
Pay
Variable
1.999%
(1M
USD
LIBOR
+
0.41%)
Monthly,
1/18/24
164
—
—
—
Goldman
Sachs,
Receive
Underlying
Reference:
Healthpeak
Properties
Monthly,
Pay
Variable
1.999%
(SOFR
+
0.41%)
Monthly,
1/18/24
308
16
—
16
Goldman
Sachs,
Receive
Underlying
Reference:
International
Paper
Monthly,
Pay
Variable
2.099%
(1M
USD
LIBOR
+
0.51%)
Monthly,
1/18/24
232
4
—
4
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
74
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Goldman
Sachs,
Receive
Underlying
Reference:
Microsoft
Monthly,
Pay
Variable
1.999%
(1M
USD
LIBOR
+
0.41%)
Monthly,
1/18/24
776
72
—
72
Goldman
Sachs,
Receive
Underlying
Reference:
Monster
Beverage
Monthly,
Pay
Variable
1.999%
(1M
USD
LIBOR
+
0.41%)
Monthly,
1/18/24
374
9
—
9
Goldman
Sachs,
Receive
Underlying
Reference:
Monster
Beverage
Monthly,
Pay
Variable
1.999%
(SOFR
+
0.41%)
Monthly,
1/18/24
227
6
—
6
Goldman
Sachs,
Receive
Underlying
Reference:
Rockwell
Automation
Monthly,
Pay
Variable
1.999%
(SOFR
+
0.41%)
Monthly,
1/18/24
311
73
—
73
Goldman
Sachs,
Receive
Underlying
Reference:
Sherwin-Williams
Monthly,
Pay
Variable
1.999%
(SOFR
+
0.41%)
Monthly,
1/18/24
324
(5)
—
(
5
)
Goldman
Sachs,
Receive
Underlying
Reference:
Thermo
Fisher
Scientific
Monthly,
Pay
Variable
1.999%
(SOFR
+
0.41%)
Monthly,
1/18/24
290
32
—
32
Goldman
Sachs,
Receive
Underlying
Reference:
Visa
Monthly,
Pay
Variable
1.999%
(SOFR
+
0.41%)
Monthly,
1/18/24
361
3
—
3
Goldman
Sachs,
Receive
Underlying
Reference:
Yum
China
Holdings
Monthly,
Pay
Variable
1.999%
(SOFR
+
0.41%)
Monthly,
1/18/24
327
19
—
19
JPMorgan
Chase,
Pay
Underlying
Reference:
Goodyear
Tire
&
Rubber
at
Maturity,
Receive
Variable
0.011%
(SOFR
+
(0.80)%)
Quarterly,
9/20/22
880
(8)
—
(
8
)
JPMorgan
Chase,
Pay
Underlying
Reference:
Halliburton
at
Maturity,
Receive
Variable
1.013%
(SOFR
+
(0.50)%)
at
Maturity,
9/20/22
527
(33)
(3)
(
30
)
JPMorgan
Chase,
Pay
Underlying
Reference:
iShares
iBoxx
High
Yield
Corporate
Bond
ETF
at
Maturity,
Receive
Variable
0.010%
(SOFR
+
0%)
at
Maturity,
9/20/22
700
(22)
1
(
23
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
75
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
JPMorgan
Chase,
Pay
Underlying
Reference:
iShares
iBoxx
High
Yield
Corporate
Bond
ETF
at
Maturity,
Receive
Variable
1.450%
(SOFR
+
0%)
at
Maturity,
9/20/22
1,990
(60)
3
(
63
)
JPMorgan
Chase,
Pay
Underlying
Reference:
Lowe's
Monthly,
Receive
Variable
1.270%
(1M
USD
LIBOR
+
(0.25)%)
Monthly,
1/18/24
340
(14)
—
(
14
)
JPMorgan
Chase,
Pay
Underlying
Reference:
Macy's
Retail
Holdings
at
Maturity,
Receive
Variable
0.893%
(SOFR
+
(0.62)%)
at
Maturity,
9/20/22
1,653
(31)
(34)
3
JPMorgan
Chase,
Pay
Underlying
Reference:
Medline
Borrower
at
Maturity,
Receive
Variable
0.863%
(SOFR
+
(0.65)%)
at
Maturity,
9/20/22
585
(60)
(8)
(
52
)
JPMorgan
Chase,
Pay
Underlying
Reference:
Micron
Technology
Monthly,
Receive
Variable
1.270%
(SOFR
+
(0.25)%)
Monthly,
1/18/24
283
(1)
—
(
1
)
JPMorgan
Chase,
Pay
Underlying
Reference:
Union
Pacific
Monthly,
Receive
Variable
1.270%
(SOFR
+
(0.25)%)
Monthly,
1/18/24
535
(46)
—
(
46
)
JPMorgan
Chase,
Receive
Underlying
Reference:
Apollo
Global
Management
Monthly,
Pay
Variable
1.939%
(SOFR
+
0.35%)
Monthly,
1/18/24
472
58
—
58
JPMorgan
Chase,
Receive
Underlying
Reference:
Honeywell
International
Monthly,
Pay
Variable
1.939%
(SOFR
+
0.35%)
Monthly,
1/18/24
1,073
121
—
121
JPMorgan
Chase,
Receive
Underlying
Reference:
Outfront
Media
Monthly,
Pay
Variable
1.800%
(SOFR
+
0.35%)
Monthly,
1/18/24
40
2
—
2
JPMorgan
Chase,
Receive
Underlying
Reference:
Outfront
Media
Monthly,
Pay
Variable
1.939%
(SOFR
+
0.35%)
Monthly,
1/18/24
426
40
—
40
JPMorgan
Chase,
Receive
Underlying
Reference:
Outfront
Media
Monthly,
Pay
Variable
2.014%
(SOFR
+
0.35%)
Monthly,
1/18/24
37
1
—
1
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
76
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
JPMorgan
Chase,
Receive
Underlying
Reference:
Wells
Fargo
Monthly,
Pay
Variable
1.939%
(1M
USD
LIBOR
+
0.35%)
Monthly,
1/18/24
82
5
—
5
JPMorgan
Chase,
Receive
Underlying
Reference:
Yum
China
Holdings
Monthly,
Pay
Variable
1.361%
(1M
HKD
HIBOR
+
0.50%)
Monthly,
1/17/24
(HKD)
3,753
10
—
10
Morgan
Stanley,
Pay
Underlying
Reference:
1Life
Healthcare
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
763
5
—
5
Morgan
Stanley,
Pay
Underlying
Reference:
Abbott
Laboratories
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
616
(2)
—
(
2
)
Morgan
Stanley,
Pay
Underlying
Reference:
ABIOMED
Monthly,
Receive
Variable
1.220%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
254
(23)
—
(
23
)
Morgan
Stanley,
Pay
Underlying
Reference:
Academy
Sports
&
Outdoors
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
311
(25)
—
(
25
)
Morgan
Stanley,
Pay
Underlying
Reference:
AMETEK
Monthly,
Receive
Variable
1.220%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
361
(38)
—
(
38
)
Morgan
Stanley,
Pay
Underlying
Reference:
AMN
Healthcare
Services
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
282
12
—
12
Morgan
Stanley,
Pay
Underlying
Reference:
Analog
Devices
Monthly,
Receive
Variable
1.220%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
1,109
(97)
—
(
97
)
Morgan
Stanley,
Pay
Underlying
Reference:
Applied
Materials
Monthly,
Receive
Variable
1.220%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
406
(49)
—
(
49
)
Morgan
Stanley,
Pay
Underlying
Reference:
Applied
Materials
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
385
(47)
—
(
47
)
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:
Autodesk
Inc
Monthly,
Receive
Variable
1.220%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
200
(45)
—
(
45
)
Morgan
Stanley,
Pay
Underlying
Reference:
Beam
Therapeutics
Monthly,
Receive
Variable
0.790%
(SOFR
+
(0.73)%)
Monthly,
1/18/24
111
(10)
—
(
10
)
Morgan
Stanley,
Pay
Underlying
Reference:
Blackstone
Mortgage
Trust,
Class
A
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
296
(25)
—
(
25
)
Morgan
Stanley,
Pay
Underlying
Reference:
Bristol-Myers
Squibb
Monthly,
Receive
Variable
1.220%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
1,469
27
—
27
Morgan
Stanley,
Pay
Underlying
Reference:
Capital
One
Financial
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
1,019
(15)
—
(
15
)
Morgan
Stanley,
Pay
Underlying
Reference:
Caterpillar
Monthly,
Receive
Variable
1.220%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
815
(122)
—
(
122
)
Morgan
Stanley,
Pay
Underlying
Reference:
Celanese
Monthly,
Receive
Variable
1.220%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
284
(24)
—
(
24
)
Morgan
Stanley,
Pay
Underlying
Reference:
Copart
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
610
(63)
—
(
63
)
Morgan
Stanley,
Pay
Underlying
Reference:
Covenant
Logistics
Group
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
290
(71)
—
(
71
)
Morgan
Stanley,
Pay
Underlying
Reference:
Crown
Castle
International
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
914
(38)
—
(
38
)
Morgan
Stanley,
Pay
Underlying
Reference:
Devon
Energy
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
363
(70)
—
(
70
)
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:
Discover
Financial
Services
Monthly,
Receive
Variable
1.220%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
465
14
—
14
Morgan
Stanley,
Pay
Underlying
Reference:
Dow
Monthly,
Receive
Variable
1.220%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
659
(48)
—
(
48
)
Morgan
Stanley,
Pay
Underlying
Reference:
DuPont
de
Nemours
Monthly,
Receive
Variable
1.220%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
339
(43)
—
(
43
)
Morgan
Stanley,
Pay
Underlying
Reference:
Edwards
Lifesciences
Monthly,
Receive
Variable
1.220%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
335
(3)
—
(
3
)
Morgan
Stanley,
Pay
Underlying
Reference:
Etsy
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
696
(139)
—
(
139
)
Morgan
Stanley,
Pay
Underlying
Reference:
Exxon
Mobil
Monthly,
Receive
Variable
1.220%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
1,240
(181)
—
(
181
)
Morgan
Stanley,
Pay
Underlying
Reference:
Exxon
Mobil
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
336
(49)
—
(
49
)
Morgan
Stanley,
Pay
Underlying
Reference:
Fate
Therapeutics
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
84
3
—
3
Morgan
Stanley,
Pay
Underlying
Reference:
First
Republic
Bank
Monthly,
Receive
Variable
1.220%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
295
(13)
—
(
13
)
Morgan
Stanley,
Pay
Underlying
Reference:
Foot
Locker
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
251
(27)
—
(
27
)
Morgan
Stanley,
Pay
Underlying
Reference:
Ford
Motor
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
923
(218)
—
(
218
)
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:
Fortinet
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
330
(3)
—
(
3
)
Morgan
Stanley,
Pay
Underlying
Reference:
Fortinet
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
497
9
—
9
Morgan
Stanley,
Pay
Underlying
Reference:
Fortune
Brands
Home
&
Security
Monthly,
Receive
Variable
1.220%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
203
(22)
—
(
22
)
Morgan
Stanley,
Pay
Underlying
Reference:
Gartner
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
2,359
(242)
—
(
242
)
Morgan
Stanley,
Pay
Underlying
Reference:
General
Motors
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
1,470
(123)
—
(
123
)
Morgan
Stanley,
Pay
Underlying
Reference:
HCA
Healthcare
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
715
(170)
—
(
170
)
Morgan
Stanley,
Pay
Underlying
Reference:
Henry
Schein
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
502
(15)
—
(
15
)
Morgan
Stanley,
Pay
Underlying
Reference:
HP
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
186
(10)
—
(
10
)
Morgan
Stanley,
Pay
Underlying
Reference:
IDEXX
Laboratories
Monthly,
Receive
Variable
1.220%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
334
(26)
—
(
26
)
Morgan
Stanley,
Pay
Underlying
Reference:
Incyte
Monthly,
Receive
Variable
1.220%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
441
13
—
13
Morgan
Stanley,
Pay
Underlying
Reference:
iShares
iBoxx
High
Yield
Corporate
Bond
ETF
at
Maturity,
Receive
Variable
0.010%
(SOFR
+
0%)
at
Maturity,
9/20/22
235
(10)
—
(
10
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
80
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
iShares
Russell
2000
ETF
Monthly,
Receive
Variable
0.440%
(SOFR
+
(1.08)%)
Monthly,
1/18/24
346
(27)
—
(
27
)
Morgan
Stanley,
Pay
Underlying
Reference:
Jack
Henry
&
Associates
Monthly,
Receive
Variable
1.220%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
1,144
(106)
—
(
106
)
Morgan
Stanley,
Pay
Underlying
Reference:
Johnson
&
Johnson
Monthly,
Receive
Variable
1.220%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
1,041
23
—
23
Morgan
Stanley,
Pay
Underlying
Reference:
Kimco
Realty
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
327
(32)
—
(
32
)
Morgan
Stanley,
Pay
Underlying
Reference:
Kroger
Monthly,
Receive
Variable
1.220%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
347
10
—
10
Morgan
Stanley,
Pay
Underlying
Reference:
Lockheed
Martin
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
1,346
(51)
—
(
51
)
Morgan
Stanley,
Pay
Underlying
Reference:
Lumen
Technologies
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
282
(3)
—
(
3
)
Morgan
Stanley,
Pay
Underlying
Reference:
Materials
Select
Sector
SPDR
Fund
Monthly,
Receive
Variable
0.190%
(SOFR
+
(1.33)%)
Monthly,
1/18/24
310
(26)
—
(
26
)
Morgan
Stanley,
Pay
Underlying
Reference:
Mettler-Toledo
International
Monthly,
Receive
Variable
1.220%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
451
(74)
—
(
74
)
Morgan
Stanley,
Pay
Underlying
Reference:
Microchip
Technology
Monthly,
Receive
Variable
1.220%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
668
(69)
—
(
69
)
Morgan
Stanley,
Pay
Underlying
Reference:
Micron
Technology
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
282
(3)
—
(
3
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
81
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Mid-America
Apartment
Monthly,
Receive
Variable
1.220%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
281
(30)
—
(
30
)
Morgan
Stanley,
Pay
Underlying
Reference:
ON
Semiconductor
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
268
(51)
—
(
51
)
Morgan
Stanley,
Pay
Underlying
Reference:
Pfizer
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
727
12
—
12
Morgan
Stanley,
Pay
Underlying
Reference:
Pool
Monthly,
Receive
Variable
1.220%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
288
13
—
13
Morgan
Stanley,
Pay
Underlying
Reference:
Prudential
Financial
Monthly,
Receive
Variable
1.220%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
267
(22)
—
(
22
)
Morgan
Stanley,
Pay
Underlying
Reference:
PTC
Monthly,
Receive
Variable
1.220%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
340
(70)
—
(
70
)
Morgan
Stanley,
Pay
Underlying
Reference:
Quanta
Services
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
851
(71)
—
(
71
)
Morgan
Stanley,
Pay
Underlying
Reference:
Ryder
System
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
374
(29)
—
(
29
)
Morgan
Stanley,
Pay
Underlying
Reference:
S&P
Global
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
1,363
(106)
—
(
106
)
Morgan
Stanley,
Pay
Underlying
Reference:
Snap-on
Monthly,
Receive
Variable
1.220%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
503
(66)
—
(
66
)
Morgan
Stanley,
Pay
Underlying
Reference:
Synchrony
Financial
Monthly,
Receive
Variable
1.220%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
383
(28)
—
(
28
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
82
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Tractor
Supply
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
484
36
—
36
Morgan
Stanley,
Pay
Underlying
Reference:
Trade
Desk,
Class
A
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
89
(4)
—
(
4
)
Morgan
Stanley,
Pay
Underlying
Reference:
Truist
Financial
Monthly,
Receive
Variable
1.220%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/18/24
648
(41)
—
(
41
)
Morgan
Stanley,
Pay
Underlying
Reference:
Tyson
Foods,
Class
A
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
650
(48)
—
(
48
)
Morgan
Stanley,
Pay
Underlying
Reference:
VF
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
455
8
—
8
Morgan
Stanley,
Pay
Underlying
Reference:
Vir
Biotechnology
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
110
5
—
5
Morgan
Stanley,
Pay
Underlying
Reference:
Werner
Enterprises
Monthly,
Receive
Variable
1.220%
(SOFR
+
(0.30)%)
Monthly,
1/18/24
395
(42)
—
(
42
)
Morgan
Stanley,
Receive
Underlying
Reference:
7GC
Monthly,
Pay
Variable
1.989%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
—
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
7GC,
Class
A
Monthly,
Pay
Variable
1.989%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
72
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Activision
Blizzard
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
2,012
65
—
65
Morgan
Stanley,
Receive
Underlying
Reference:
Advanced
Micro
Devices
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
853
140
—
140
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:
Air
Products
and
Chemicals
Monthly,
Pay
Variable
1.989%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
728
80
—
80
Morgan
Stanley,
Receive
Underlying
Reference:
Alleghany
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
1,636
3
—
3
Morgan
Stanley,
Receive
Underlying
Reference:
Altaba
Monthly,
Pay
Variable
1.989%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
40
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Amazon.com
Monthly,
Pay
Variable
1.850%
(SOFR
+
0.40%)
Monthly,
1/18/24
80
9
—
9
Morgan
Stanley,
Receive
Underlying
Reference:
Amazon.com
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
423
79
—
79
Morgan
Stanley,
Receive
Underlying
Reference:
Ameren
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
257
16
—
16
Morgan
Stanley,
Receive
Underlying
Reference:
Arista
Networks
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
520
76
—
76
Morgan
Stanley,
Receive
Underlying
Reference:
Ball
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
476
49
—
49
Morgan
Stanley,
Receive
Underlying
Reference:
Bank
of
America
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
359
17
—
17
Morgan
Stanley,
Receive
Underlying
Reference:
Blueprint
Medicines
Monthly,
Pay
Variable
1.920%
(SOFR
+
0.40%)
Monthly,
1/18/24
75
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Blueprint
Medicines
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
99
(5)
—
(
5
)
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:
Bright
Horizons
Family
Solutions
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
413
39
—
39
Morgan
Stanley,
Receive
Underlying
Reference:
Bright
Horizons
Family
Solutions
Monthly,
Pay
Variable
2.010%
(SOFR
+
0.40%)
Monthly,
1/18/24
25
1
—
1
Morgan
Stanley,
Receive
Underlying
Reference:
Bright
Horizons
Family
Solutions
Monthly,
Pay
Variable
2.064%
(SOFR
+
0.40%)
Monthly,
1/18/24
345
11
—
11
Morgan
Stanley,
Receive
Underlying
Reference:
Bright
Horizons
Family
Solutions
Monthly,
Pay
Variable
2.098%
(SOFR
+
0.40%)
Monthly,
1/18/24
331
13
—
13
Morgan
Stanley,
Receive
Underlying
Reference:
Burlington
Stores
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
291
2
—
2
Morgan
Stanley,
Receive
Underlying
Reference:
Carney
Technology
Acquisition,
Class
A
Monthly,
Pay
Variable
1.989%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
128
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Ceridian
HCM
Holding
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
328
33
—
33
Morgan
Stanley,
Receive
Underlying
Reference:
CF
Industries
Holdings
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
243
31
—
31
Morgan
Stanley,
Receive
Underlying
Reference:
Charles
Schwab
Monthly,
Pay
Variable
1.850%
(SOFR
+
0.40%)
Monthly,
1/18/24
39
4
—
4
Morgan
Stanley,
Receive
Underlying
Reference:
Charles
Schwab
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
415
45
—
45
Morgan
Stanley,
Receive
Underlying
Reference:
Charles
Schwab
Monthly,
Pay
Variable
2.010%
(SOFR
+
0.40%)
Monthly,
1/18/24
38
4
—
4
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
85
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Charles
Schwab
Monthly,
Pay
Variable
2.064%
(SOFR
+
0.40%)
Monthly,
1/18/24
38
4
—
4
Morgan
Stanley,
Receive
Underlying
Reference:
Citigroup
Monthly,
Pay
Variable
1.989%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
961
46
—
46
Morgan
Stanley,
Receive
Underlying
Reference:
Confluent,
Class
A
Monthly,
Pay
Variable
1.850%
(SOFR
+
0.40%)
Monthly,
1/18/24
41
1
—
1
Morgan
Stanley,
Receive
Underlying
Reference:
Confluent,
Class
A
Monthly,
Pay
Variable
1.920%
(SOFR
+
0.40%)
Monthly,
1/18/24
39
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Confluent,
Class
A
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
485
28
—
28
Morgan
Stanley,
Receive
Underlying
Reference:
Confluent,
Class
A
Monthly,
Pay
Variable
2.064%
(SOFR
+
0.40%)
Monthly,
1/18/24
39
(3)
—
(
3
)
Morgan
Stanley,
Receive
Underlying
Reference:
Constellation
Brands,
Class
A
Monthly,
Pay
Variable
1.989%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
971
6
—
6
Morgan
Stanley,
Receive
Underlying
Reference:
Corteva
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
468
50
—
50
Morgan
Stanley,
Receive
Underlying
Reference:
Cummins
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
454
57
—
57
Morgan
Stanley,
Receive
Underlying
Reference:
Danaher
Monthly,
Pay
Variable
1.989%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
267
37
—
37
Morgan
Stanley,
Receive
Underlying
Reference:
Danaher
Monthly,
Pay
Variable
2.010%
(SOFR
+
0.40%)
Monthly,
1/18/24
259
34
—
34
Morgan
Stanley,
Receive
Underlying
Reference:
Danaher
Monthly,
Pay
Variable
2.098%
(SOFR
+
0.40%)
Monthly,
1/18/24
621
42
—
42
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:
Dominion
Energy
Monthly,
Pay
Variable
1.989%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
336
11
—
11
Morgan
Stanley,
Receive
Underlying
Reference:
Elanco
Animal
Health
Monthly,
Pay
Variable
1.850%
(SOFR
+
0.40%)
Monthly,
1/18/24
76
(1)
—
(
1
)
Morgan
Stanley,
Receive
Underlying
Reference:
Elanco
Animal
Health
Monthly,
Pay
Variable
1.920%
(SOFR
+
0.40%)
Monthly,
1/18/24
38
(1)
—
(
1
)
Morgan
Stanley,
Receive
Underlying
Reference:
Elanco
Animal
Health
Monthly,
Pay
Variable
2.153%
(SOFR
+
0.40%)
Monthly,
1/18/24
191
(4)
—
(
4
)
Morgan
Stanley,
Receive
Underlying
Reference:
Elanco
Animal
Health
Monthly,
Pay
Variable
2.265%
(SOFR
+
0.40%)
Monthly,
1/18/24
38
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Eli
Lilly
Monthly,
Pay
Variable
1.989%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
388
(3)
—
(
3
)
Morgan
Stanley,
Receive
Underlying
Reference:
EOG
Resources
Monthly,
Pay
Variable
1.989%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
342
49
—
49
Morgan
Stanley,
Receive
Underlying
Reference:
Equitrans
Midstream
Monthly,
Pay
Variable
1.920%
(SOFR
+
0.40%)
Monthly,
1/18/24
117
6
—
6
Morgan
Stanley,
Receive
Underlying
Reference:
Equitrans
Midstream
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
520
87
—
87
Morgan
Stanley,
Receive
Underlying
Reference:
Equity
Distribution
Acquisition,
Class
A
Monthly,
Pay
Variable
1.989%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
147
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Estee
Lauder,
Class
A
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
477
53
—
53
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:
Extra
Space
Storage
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
499
58
—
58
Morgan
Stanley,
Receive
Underlying
Reference:
EZCORP,
Class
A
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
468
44
—
44
Morgan
Stanley,
Receive
Underlying
Reference:
FedEx
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
483
33
—
33
Morgan
Stanley,
Receive
Underlying
Reference:
Fifth
Third
Bancorp
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
285
3
—
3
Morgan
Stanley,
Receive
Underlying
Reference:
FirstCash
Holdings
Monthly,
Pay
Variable
1.850%
(SOFR
+
0.40%)
Monthly,
1/18/24
38
5
—
5
Morgan
Stanley,
Receive
Underlying
Reference:
FirstCash
Holdings
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
484
59
—
59
Morgan
Stanley,
Receive
Underlying
Reference:
Fiserv
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
654
80
—
80
Morgan
Stanley,
Receive
Underlying
Reference:
Fiserv
Monthly,
Pay
Variable
2.098%
(SOFR
+
0.40%)
Monthly,
1/18/24
362
22
—
22
Morgan
Stanley,
Receive
Underlying
Reference:
FleetCor
Technologies
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
295
14
—
14
Morgan
Stanley,
Receive
Underlying
Reference:
FMC
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
792
79
—
79
Morgan
Stanley,
Receive
Underlying
Reference:
Freshpet
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
369
53
—
53
Morgan
Stanley,
Receive
Underlying
Reference:
Freshpet
Monthly,
Pay
Variable
2.064%
(SOFR
+
0.40%)
Monthly,
1/18/24
37
2
—
2
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:
General
Electric
Monthly,
Pay
Variable
1.850%
(SOFR
+
0.40%)
Monthly,
1/18/24
38
2
—
2
Morgan
Stanley,
Receive
Underlying
Reference:
General
Electric
Monthly,
Pay
Variable
1.920%
(SOFR
+
0.40%)
Monthly,
1/18/24
39
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
General
Electric
Monthly,
Pay
Variable
1.989%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
826
144
—
144
Morgan
Stanley,
Receive
Underlying
Reference:
General
Electric
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
287
51
—
51
Morgan
Stanley,
Receive
Underlying
Reference:
Global
Payments
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
243
16
—
16
Morgan
Stanley,
Receive
Underlying
Reference:
Goldman
Sachs
Group
Monthly,
Pay
Variable
1.989%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
471
63
—
63
Morgan
Stanley,
Receive
Underlying
Reference:
Hess
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
740
133
—
133
Morgan
Stanley,
Receive
Underlying
Reference:
Inari
Medical
Monthly,
Pay
Variable
1.920%
(SOFR
+
0.40%)
Monthly,
1/18/24
23
1
—
1
Morgan
Stanley,
Receive
Underlying
Reference:
Inari
Medical
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
476
24
—
24
Morgan
Stanley,
Receive
Underlying
Reference:
Ingersoll
Rand
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
235
50
—
50
Morgan
Stanley,
Receive
Underlying
Reference:
Intuit
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
893
143
—
143
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:
Intuitive
Surgical
Monthly,
Pay
Variable
1.850%
(SOFR
+
0.40%)
Monthly,
1/18/24
40
1
—
1
Morgan
Stanley,
Receive
Underlying
Reference:
Intuitive
Surgical
Monthly,
Pay
Variable
1.920%
(SOFR
+
0.40%)
Monthly,
1/18/24
76
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Intuitive
Surgical
Monthly,
Pay
Variable
1.989%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
343
31
—
31
Morgan
Stanley,
Receive
Underlying
Reference:
Intuitive
Surgical
Monthly,
Pay
Variable
2.098%
(SOFR
+
0.40%)
Monthly,
1/18/24
147
10
—
10
Morgan
Stanley,
Receive
Underlying
Reference:
Intuitive
Surgical
Monthly,
Pay
Variable
2.265%
(SOFR
+
0.40%)
Monthly,
1/18/24
37
3
—
3
Morgan
Stanley,
Receive
Underlying
Reference:
JB
Hunt
Transport
Services
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
445
41
—
41
Morgan
Stanley,
Receive
Underlying
Reference:
Kymera
Therapeutics
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
193
(10)
—
(
10
)
Morgan
Stanley,
Receive
Underlying
Reference:
Kymera
Therapeutics
Monthly,
Pay
Variable
2.010%
(SOFR
+
0.40%)
Monthly,
1/18/24
39
(3)
—
(
3
)
Morgan
Stanley,
Receive
Underlying
Reference:
Mandiant
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
387
10
—
10
Morgan
Stanley,
Receive
Underlying
Reference:
Marvell
Technology
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
609
94
—
94
Morgan
Stanley,
Receive
Underlying
Reference:
Match
Group
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
303
37
—
37
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:
MercadoLibre
Monthly,
Pay
Variable
1.989%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
206
37
—
37
Morgan
Stanley,
Receive
Underlying
Reference:
MGM
Resorts
International
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
416
49
—
49
Morgan
Stanley,
Receive
Underlying
Reference:
Moderna
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
629
(11)
—
(
11
)
Morgan
Stanley,
Receive
Underlying
Reference:
Moderna
Monthly,
Pay
Variable
1.994%
(SOFR
+
0.40%)
Monthly,
1/18/24
95
(2)
—
(
2
)
Morgan
Stanley,
Receive
Underlying
Reference:
MongoDB
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
443
56
—
56
Morgan
Stanley,
Receive
Underlying
Reference:
Monolithic
Power
Systems
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
507
67
—
67
Morgan
Stanley,
Receive
Underlying
Reference:
News,
Class
A
Monthly,
Pay
Variable
1.989%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
110
10
—
10
Morgan
Stanley,
Receive
Underlying
Reference:
News,
Class
A
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
1,078
95
—
95
Morgan
Stanley,
Receive
Underlying
Reference:
NextEra
Energy
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
150
11
—
11
Morgan
Stanley,
Receive
Underlying
Reference:
NVIDIA
Monthly,
Pay
Variable
1.989%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
162
25
—
25
Morgan
Stanley,
Receive
Underlying
Reference:
NVIDIA
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
430
65
—
65
Morgan
Stanley,
Receive
Underlying
Reference:
O'Reilly
Automotive
Monthly,
Pay
Variable
1.989%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
358
10
—
10
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
91
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
PACCAR
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
458
65
—
65
Morgan
Stanley,
Receive
Underlying
Reference:
PayPal
Holdings
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
385
65
—
65
Morgan
Stanley,
Receive
Underlying
Reference:
Philip
Morris
International
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
636
49
—
49
Morgan
Stanley,
Receive
Underlying
Reference:
PMV,
Class
A
Monthly,
Pay
Variable
1.989%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
147
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
PropTech
Investment,
Class
A
Monthly,
Pay
Variable
1.989%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
95
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Public
Storage
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
276
23
—
23
Morgan
Stanley,
Receive
Underlying
Reference:
QUALCOMM
Monthly,
Pay
Variable
1.989%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
398
1
—
1
Morgan
Stanley,
Receive
Underlying
Reference:
RAPT
Therapeutics
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
188
(22)
—
(
22
)
Morgan
Stanley,
Receive
Underlying
Reference:
ResMed
Monthly,
Pay
Variable
1.989%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
372
24
—
24
Morgan
Stanley,
Receive
Underlying
Reference:
Rexford
Industrial
Realty
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
256
25
—
25
Morgan
Stanley,
Receive
Underlying
Reference:
Rivian
Automotive,
Class
A
Monthly,
Pay
Variable
1.994%
(SOFR
+
0.40%)
Monthly,
1/18/24
572
22
—
22
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
92
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Ross
Stores
Monthly,
Pay
Variable
1.989%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
207
8
—
8
Morgan
Stanley,
Receive
Underlying
Reference:
Ross
Stores
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
557
23
—
23
Morgan
Stanley,
Receive
Underlying
Reference:
Salesforce
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
580
57
—
57
Morgan
Stanley,
Receive
Underlying
Reference:
SBA
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
1,090
50
—
50
Morgan
Stanley,
Receive
Underlying
Reference:
Senior
Connect
Acquisition,
Class
A
Monthly,
Pay
Variable
1.989%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
146
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Southwest
Airlines
Monthly,
Pay
Variable
1.920%
(SOFR
+
0.40%)
Monthly,
1/18/24
38
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Southwest
Airlines
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
181
(7)
—
(
7
)
Morgan
Stanley,
Receive
Underlying
Reference:
State
Street
Monthly,
Pay
Variable
1.989%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
562
45
—
45
Morgan
Stanley,
Receive
Underlying
Reference:
Strategic
Education
Monthly,
Pay
Variable
1.850%
(SOFR
+
0.40%)
Monthly,
1/18/24
119
(1)
—
(
1
)
Morgan
Stanley,
Receive
Underlying
Reference:
Strategic
Education
Monthly,
Pay
Variable
1.920%
(SOFR
+
0.40%)
Monthly,
1/18/24
76
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Strategic
Education
Monthly,
Pay
Variable
2.010%
(SOFR
+
0.40%)
Monthly,
1/18/24
117
1
—
1
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
93
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Strategic
Education
Monthly,
Pay
Variable
2.064%
(SOFR
+
0.40%)
Monthly,
1/18/24
264
5
—
5
Morgan
Stanley,
Receive
Underlying
Reference:
Strategic
Education
Monthly,
Pay
Variable
2.265%
(SOFR
+
0.40%)
Monthly,
1/18/24
77
2
—
2
Morgan
Stanley,
Receive
Underlying
Reference:
Textron
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
516
47
—
47
Morgan
Stanley,
Receive
Underlying
Reference:
Turning
Point
Therapeutics
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
540
2
—
2
Morgan
Stanley,
Receive
Underlying
Reference:
Veeva
Systems,
Class
A
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
363
36
—
36
Morgan
Stanley,
Receive
Underlying
Reference:
Verisk
Analytics
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
300
19
—
19
Morgan
Stanley,
Receive
Underlying
Reference:
Vulcan
Materials
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
257
29
—
29
Morgan
Stanley,
Receive
Underlying
Reference:
Walt
Disney
Monthly,
Pay
Variable
2.001%
(SOFR
+
0.40%)
Monthly,
1/18/24
1,064
75
—
75
Morgan
Stanley,
Receive
Underlying
Reference:
Walt
Disney
Monthly,
Pay
Variable
2.010%
(SOFR
+
0.40%)
Monthly,
1/18/24
468
11
—
11
Morgan
Stanley,
Receive
Underlying
Reference:
Wells
Fargo
Monthly,
Pay
Variable
1.989%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
262
17
—
17
Morgan
Stanley,
Receive
Underlying
Reference:
Western
Digital
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
484
17
—
17
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
94
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)**
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Zimmer
Biomet
Holdings
Monthly,
Pay
Variable
2.098%
(SOFR
+
0.40%)
Monthly,
1/18/24
284
9
—
9
Morgan
Stanley,
Receive
Underlying
Reference:
Zoetis
Monthly,
Pay
Variable
1.989%
(SOFR
+
0.40%)
Monthly,
1/18/24
587
28
—
28
Total
United
States
(39)
379
Virgin
Islands
(British)
(0.0)%
Bank
of
America,
Receive
Underlying
Reference:
Biohaven
Pharmaceutical
Holding
Monthly,
Pay
Variable
1.889%
(SOFR
+
0.30%)
Monthly,
1/18/24
379
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Biohaven
Pharmaceutical
Holding
Monthly,
Pay
Variable
2.098%
(SOFR
+
0.40%)
Monthly,
1/18/24
573
—
—
—
Morgan
Stanley,
Receive
Underlying
Reference:
Eucrates
Biomedical
Acquisition
Monthly,
Pay
Variable
1.989%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/18/24
39
—
—
—
Total
Virgin
Islands
(British)
—
—
Total
Bilateral
Total
Return
Swaps
(39)
1,155
Interest
Rate
Swaps
(0.0)%
Brazil
(0.0)%
Goldman
Sachs,
4
Year
Interest
Rate
Swap,
Pay
Fixed
12.890%
at
Maturity,
Receive
Variable
13.15%,
(BRL
CDI)
at
Maturity,
1/4/27
3,830
(7)
—
(
7
)
Morgan
Stanley,
5
Year
Interest
Rate
Swap,
Pay
Fixed
12.449%
at
Maturity,
Receive
Variable
13.15%,
(BRL
CDI)
at
Maturity,
1/4/27
12,200
3
—
3
Total
Brazil
—
(
4
)
Total
Bilateral
Interest
Rate
Swaps
—
(
4
)
Total
Bilateral
Swaps
(252)
1,681
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
95
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Initial
$
Value
**
Unrealized
$
Gain/(Loss)
CENTRALLY
CLEARED
SWAPS
(0.1)%
Credit
Default
Swaps,
Protection
Bought
(0.1)%
Foreign/Europe
(0.0)%
Protection
Bought
(Relevant
Credit:
Markit
iTraxx
Crossover-S37,
5
Year
Index),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
6/20/27
3,775
(8)
(168)
160
Total
Foreign/Europe
160
Luxembourg
(0.0)%
Protection
Bought
(Relevant
Credit:
Glencore
Finance
Europe),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/20/26
230
(29)
(50)
21
Total
Luxembourg
21
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
31
25
6
Total
South
Africa
6
United
States
(0.1)%
Protection
Bought
(Relevant
Credit:
Apache),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
6/20/27
909
48
46
2
Protection
Bought
(Relevant
Credit:
Bausch
Health
Cos),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
6/20/26
495
199
(19)
218
Protection
Bought
(Relevant
Credit:
CHS/
Community
Health
Systems),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
6/20/26
290
122
10
112
Protection
Bought
(Relevant
Credit:
CHS/
Community
Health
Systems),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/20/26
55
24
3
21
Protection
Bought
(Relevant
Credit:
ConocoPhillips),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
6/20/27
800
(16)
(13)
(
3
)
Protection
Bought
(Relevant
Credit:
Delta
Air
Lines),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
6/20/27
420
(7)
(10)
3
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
96
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Initial
$
Value**
Unrealized
$
Gain/(Loss)
Protection
Bought
(Relevant
Credit:
iStar),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
6/20/26
675
(63)
(84)
21
Protection
Bought
(Relevant
Credit:
Macy's),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
12/20/26
260
38
25
13
Protection
Bought
(Relevant
Credit:
Markit
CDX.EM-S37,
5
Year
Index),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
6/21/27
1,110
104
107
(
3
)
Protection
Bought
(Relevant
Credit:
Markit
CDX.NA.HY-S38,
5
Year
Index),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
6/21/27
26,192
(451)
(71)
(
380
)
Protection
Bought
(Relevant
Credit:
Markit
CDX.NA.IG-S38,
5
Year
Index),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
6/21/27
8,908
(88)
(82)
(
6
)
Protection
Bought
(Relevant
Credit:
Marriott
International),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
12/20/26
1,995
(19)
(2)
(
17
)
Protection
Bought
(Relevant
Credit:
Occidental
Petroleum),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
6/21/27
320
8
17
(
9
)
Protection
Bought
(Relevant
Credit:
Quest
Diagnostics),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
6/20/26
220
(5)
(5)
—
Protection
Bought
(Relevant
Credit:
Raytheon
Technologies),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
6/20/26
220
(5)
(6)
1
Protection
Bought
(Relevant
Credit:
Realogy
Group),
Pay
5.00%
Quarterly,
Receive
upon
credit
default,
12/20/26
860
56
(37)
93
Protection
Bought
(Relevant
Credit:
Xerox),
Pay
1.00%
Quarterly,
Receive
upon
credit
default,
12/20/26
201
23
17
6
Total
United
States
72
Total
Centrally
Cleared
Credit
Default
Swaps,
Protection
Bought
259
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
97
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Initial
$
Value**
Unrealized
$
Gain/(Loss)
Credit
Default
Swaps,
Protection
Sold
(0.1)%
Luxembourg
0.0%
Protection
Sold
(Relevant
Credit:
ArcelorMittal,
Baa3*),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
6/21/27
25
3
2
1
Total
Luxembourg
1
United
States
(0.1)%
Protection
Sold
(Relevant
Credit:
DISH
DBS,
B3*),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
6/21/27
247
(57)
(43)
(
14
)
Protection
Sold
(Relevant
Credit:
FedEx,
Baa2*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
6/21/27
305
5
4
1
Protection
Sold
(Relevant
Credit:
Goodyear
Tire
&
Rubber,
B2*),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
6/21/27
1,250
19
45
(
26
)
Protection
Sold
(Relevant
Credit:
Macy's,
Ba2*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
6/21/27
2,005
(332)
(206)
(
126
)
Protection
Sold
(Relevant
Credit:
Markit
CDX.NA.HY-S38,
5
Year
Index),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
6/21/27
1,400
24
(10)
34
Protection
Sold
(Relevant
Credit:
Murphy
Oil,
Ba2*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
12/20/22
235
(3)
(6)
3
Total
United
States
(
128
)
Total
Centrally
Cleared
Credit
Default
Swaps,
Protection
Sold
(
127
)
Interest
Rate
Swaps
0.1%
Canada
(0.0)%
5
Year
Interest
Rate
Swap,
Pay
Fixed
2.373%
Semi-Annually,
Receive
Variable
2.295%
(3M
CAD
CDOR)
Semi-Annually,
3/15/27
1,500
26
—
26
5
Year
Interest
Rate
Swap,
Pay
Fixed
3.493%
Semi-Annually,
Receive
Variable
3.035%
(3M
CAD
CDOR)
Semi-Annually,
7/14/27
505
(8)
1
(
9
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
98
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Initial
$
Value**
Unrealized
$
Gain/(Loss)
5
Year
Interest
Rate
Swap,
Pay
Fixed
3.496%
Semi-Annually,
Receive
Variable
3.035%
(3M
CAD
CDOR)
Semi-Annually,
7/14/27
505
(10)
—
(
10
)
5
Year
Interest
Rate
Swap,
Pay
Fixed
3.510%
Semi-Annually,
Receive
Variable
3.035%
(3M
CAD
CDOR)
Semi-Annually,
7/14/27
491
(10)
—
(
10
)
Total
Canada
(
3
)
China
0.0%
5
Year
Interest
Rate
Swap,
Receive
Fixed
2.432%
Quarterly,
Pay
Variable
1.550%
(7
Day
Interbank
Repo)
Quarterly,
8/9/26
30,500
19
—
19
5
Year
Interest
Rate
Swap,
Receive
Fixed
2.553%
Quarterly,
Pay
Variable
1.700%
(7
Day
Interbank
Repo)
Quarterly,
7/14/27
3,550
4
1
3
Total
China
22
Hong
Kong
(0.1)%
5
Year
Interest
Rate
Swap,
Receive
Fixed
0.700%
Quarterly,
Pay
Variable
0.749%
(3M
HKD
HIBOR)
Quarterly,
8/6/26
11,000
(111)
—
(
111
)
Total
Hong
Kong
(
111
)
India
(0.0)%
2
Year
Interest
Rate
Swap,
Receive
Fixed
6.590%
Semi-Annually,
Pay
Variable
5.250%
(1
Day
INR
MIBOR)
Semi-Annually,
5/30/24
45,000
3
—
3
2
Year
Interest
Rate
Swap,
Receive
Fixed
6.870%
at
Maturity,
Pay
Variable
5.250%
(1
Day
INR
MIBOR)
at
Maturity,
6/24/24
44,500
7
—
7
5
Year
Interest
Rate
Swap,
Pay
Fixed
6.835%
Semi-Annually,
Receive
Variable
5.250%
(1
Day
INR
MIBOR)
Semi-Annually,
5/31/27
45,000
(13)
—
(
13
)
5
Year
Interest
Rate
Swap,
Pay
Fixed
7.068%
at
Maturity,
Receive
Variable
5.250%
(1
Day
INR
MIBOR)
at
Maturity,
6/22/27
44,500
(18)
—
(
18
)
Total
India
(
21
)
Mexico
(0.0)%
5
Year
Interest
Rate
Swap,
Receive
Fixed
7.176%
28
Days,
Pay
Variable
8.032%
(MXIBTIIE)
28
Days,
11/16/26
18,060
(36)
—
(
36
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
99
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Initial
$
Value**
Unrealized
$
Gain/(Loss)
5
Year
Interest
Rate
Swap,
Receive
Fixed
7.260%
28
Days,
Pay
Variable
8.075%
(MXIBTIIE)
28
Days,
11/13/26
6,845
(13)
—
(
13
)
5
Year
Interest
Rate
Swap,
Receive
Fixed
7.295%
28
Days,
Pay
Variable
8.060%
(MXIBTIIE)
28
Days,
11/12/26
18,260
(31)
1
(
32
)
5
Year
Interest
Rate
Swap,
Receive
Fixed
7.345%
28
Days,
Pay
Variable
8.050%
(MXIBTIIE)
28
Days,
11/11/26
11,135
(19)
—
(
19
)
Total
Mexico
(
100
)
United
Kingdom
0.2%
30
Year
Interest
Rate
Swap,
Pay
Fixed
0.912%
Annually,
Receive
Variable
0.133%
(GBP
SONIA)
Annually,
9/27/51
1,020
291
—
291
30
Year
Interest
Rate
Swap,
Pay
Fixed
1.442%
Annually,
Receive
Variable
0.162%
(GBP
SONIA)
Annually,
3/18/52
218
32
—
32
30
Year
Interest
Rate
Swap,
Pay
Fixed
1.467%
Annually,
Receive
Variable
0.162%
(GBP
SONIA)
Annually,
3/18/52
219
30
—
30
50
Year
Interest
Rate
Swap,
Pay
Fixed
0.742%
Annually,
Receive
Variable
0.133%
(GBP
SONIA)
Annually,
9/27/71
105
45
1
44
Total
United
Kingdom
397
United
States
(0.0)%
5
Year
Interest
Rate
Swap,
Receive
Fixed
2.429%
Annually,
Pay
Variable
2.270%
(SOFR)
Annually,
8/2/27
8,670
(8)
—
(
8
)
7
Year
Interest
Rate
Swap,
Pay
Fixed
2.792%
Annually,
Receive
Variable
2.270%
(SOFR)
Annually,
7/11/29
1,600
(39)
1
(
40
)
30
Year
Interest
Rate
Swap,
Pay
Fixed
2.443%
Annually,
Receive
Variable
2.270%
(SOFR)
Annually,
8/1/52
1,910
12
—
12
Total
United
States
(
36
)
Total
Centrally
Cleared
Interest
Rate
Swaps
148
Zero-Coupon
Inflation
Swaps
(0.0)%
United
States
(0.0)%
1
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
5.350%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
6/7/23
11,910
(46)
—
(
46
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
100
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Initial
$
Value**
Unrealized
$
Gain/(Loss)
5
Year
Zero-Coupon
Inflation
Swap
Receive
Fixed
3.315%
at
Maturity,
Pay
Variable
(Change
in
CPI)
at
Maturity,
6/7/27
4,000
13
—
13
10
Year
Zero-Coupon
Inflation
Swap
Receive
Fixed
2.609%
at
Maturity,
Pay
Variable
(Change
in
CPI)
at
Maturity,
2/10/32
530
(30)
—
(
30
)
10
Year
Zero-Coupon
Inflation
Swap
Receive
Fixed
3.098%
at
Maturity,
Pay
Variable
(Change
in
CPI)
at
Maturity,
3/10/32
515
(1)
1
(
2
)
Total
United
States
(
65
)
Total
Centrally
Cleared
Zero-Coupon
Inflation
Swaps
(
65
)
Total
Centrally
Cleared
Swaps
215
Net
payments
(receipts)
of
variation
margin
to
date
(
349
)
Variation
margin
receivable
(payable)
on
centrally
cleared
swaps
$
(
134
)
*
Credit
ratings
as
of
July
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
$(46).
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
101
(Amounts
in
000s)
FORWARD
CURRENCY
EXCHANGE
CONTRACTS
Counterparty
Settlement
Receive
Deliver
Unrealized
Gain/(Loss)
Bank
of
America
8/19/22
EUR
104
USD
110
$
(
3
)
Bank
of
America
8/19/22
USD
412
SEK
4,150
3
Bank
of
America
9/9/22
USD
536
PHP
28,475
23
Bank
of
America
10/14/22
RON
739
USD
150
2
Barclays
Bank
8/5/22
INR
64,606
USD
813
1
Barclays
Bank
8/19/22
GBP
500
USD
607
2
Barclays
Bank
8/19/22
SEK
6,235
USD
634
(
20
)
Barclays
Bank
8/19/22
USD
3,093
EUR
2,960
63
Barclays
Bank
8/30/22
INR
484,514
USD
6,041
50
Barclays
Bank
8/30/22
USD
398
INR
31,917
(
3
)
Barclays
Bank
9/9/22
USD
511
PHP
27,359
18
Barclays
Bank
10/7/22
CLP
99,496
USD
107
2
Barclays
Bank
10/7/22
TWD
24,733
USD
830
(
3
)
Barclays
Bank
10/7/22
USD
1,342
KRW
1,731,718
12
Barclays
Bank
10/7/22
USD
1,295
TWD
37,854
29
BNP
Paribas
8/12/22
PLN
1,087
USD
230
3
BNP
Paribas
8/19/22
EUR
121
USD
123
1
BNP
Paribas
8/19/22
EUR
1,206
USD
1,284
(
49
)
BNP
Paribas
8/19/22
GBP
57
USD
68
1
BNP
Paribas
8/19/22
GBP
423
USD
528
(
13
)
BNP
Paribas
8/19/22
SEK
652
USD
65
(
1
)
BNP
Paribas
8/19/22
USD
2,282
EUR
2,179
52
BNP
Paribas
8/19/22
USD
2,503
EUR
2,489
(
45
)
BNP
Paribas
8/19/22
USD
712
GBP
578
8
BNP
Paribas
8/19/22
USD
400
GBP
330
(
2
)
BNP
Paribas
9/9/22
CLP
196,415
USD
194
23
BNP
Paribas
9/9/22
THB
20,235
USD
590
(
39
)
BNP
Paribas
9/9/22
USD
1,483
CLP
1,230,220
128
BNP
Paribas
9/9/22
USD
105
MYR
462
2
BNP
Paribas
9/9/22
USD
372
THB
12,726
25
BNP
Paribas
9/23/22
USD
819
SEK
8,275
3
BNP
Paribas
10/7/22
CLP
297,215
USD
316
9
BNP
Paribas
10/7/22
USD
496
CLP
497,481
(
49
)
BNP
Paribas
10/14/22
USD
819
ZAR
13,512
13
BNP
Paribas
10/20/22
USD
136
ILS
471
(
3
)
BNP
Paribas
10/21/22
AUD
803
USD
551
11
BNP
Paribas
10/21/22
USD
65
NZD
103
—
Citibank
8/19/22
EUR
156
USD
167
(
8
)
Citibank
8/19/22
SEK
2,269
USD
230
(
6
)
Citibank
9/2/22
USD
881
BRL
4,385
42
Citibank
9/2/22
USD
365
BRL
2,007
(
19
)
Citibank
9/21/22
RSD
3,006
USD
26
—
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
102
(Amounts
in
000s)
FORWARD
CURRENCY
EXCHANGE
CONTRACTS
(CONTINUED)
Counterparty
Settlement
Receive
Deliver
Unrealized
Gain/(Loss)
Citibank
10/7/22
USD
463
INR
36,519
$
5
Citibank
10/14/22
HUF
247,642
USD
602
13
Citibank
10/14/22
USD
10
HUF
4,293
—
Citibank
10/14/22
USD
425
RON
2,100
(
5
)
Citibank
10/20/22
USD
4,761
ILS
16,715
(
183
)
Deutsche
Bank
8/19/22
EUR
203
USD
219
(
11
)
Deutsche
Bank
8/31/22
USD
2,995
EUR
2,946
(
23
)
Deutsche
Bank
9/9/22
CLP
175,725
USD
181
13
Deutsche
Bank
9/9/22
USD
109
MYR
476
2
Deutsche
Bank
9/9/22
USD
560
THB
19,088
40
Deutsche
Bank
10/14/22
MXN
11,608
USD
552
9
Deutsche
Bank
10/20/22
USD
280
ILS
957
(
4
)
Deutsche
Bank
10/21/22
CAD
520
USD
404
2
Goldman
Sachs
8/2/22
BRL
14,128
USD
2,723
4
Goldman
Sachs
8/2/22
USD
2,625
BRL
14,128
(
102
)
Goldman
Sachs
8/5/22
USD
815
INR
64,606
—
Goldman
Sachs
8/19/22
EUR
422
USD
448
(
16
)
Goldman
Sachs
8/19/22
USD
223
EUR
218
(
1
)
Goldman
Sachs
8/19/22
USD
501
GBP
425
(
16
)
Goldman
Sachs
8/31/22
USD
388
PHP
21,798
(
5
)
Goldman
Sachs
9/2/22
BRL
15,848
USD
2,929
103
Goldman
Sachs
9/2/22
BRL
6,090
USD
1,239
(
74
)
Goldman
Sachs
9/2/22
USD
1,274
BRL
6,425
46
Goldman
Sachs
9/9/22
CLP
174,135
USD
188
4
Goldman
Sachs
9/9/22
CLP
189,280
USD
209
(
1
)
Goldman
Sachs
9/9/22
USD
250
THB
8,590
16
Goldman
Sachs
10/7/22
USD
511
INR
40,535
3
Goldman
Sachs
10/7/22
USD
1,488
TWD
43,584
31
HSBC
Bank
8/19/22
EUR
375
USD
378
6
HSBC
Bank
9/2/22
USD
1,013
BRL
5,123
33
HSBC
Bank
9/2/22
USD
935
BRL
5,151
(
50
)
HSBC
Bank
9/9/22
MYR
33
USD
8
—
HSBC
Bank
9/9/22
PHP
31,551
USD
582
(
14
)
HSBC
Bank
9/9/22
THB
15,351
USD
424
(
6
)
HSBC
Bank
9/9/22
USD
584
THB
20,595
23
HSBC
Bank
9/23/22
SEK
2,005
USD
198
(
1
)
HSBC
Bank
10/14/22
USD
802
CNH
5,430
(
3
)
HSBC
Bank
10/14/22
USD
235
ZAR
4,053
(
6
)
HSBC
Bank
10/20/22
ILS
1,893
USD
555
5
JPMorgan
Chase
8/19/22
EUR
35
USD
37
(
1
)
JPMorgan
Chase
8/19/22
GBP
175
USD
210
3
JPMorgan
Chase
8/19/22
USD
269
EUR
251
12
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
103
(Amounts
in
000s)
FORWARD
CURRENCY
EXCHANGE
CONTRACTS
(CONTINUED)
Counterparty
Settlement
Receive
Deliver
Unrealized
Gain/(Loss)
JPMorgan
Chase
8/19/22
USD
324
EUR
318
$
(
2
)
JPMorgan
Chase
8/19/22
USD
133
GBP
108
2
JPMorgan
Chase
8/31/22
MXN
35,200
USD
1,707
9
JPMorgan
Chase
9/2/22
USD
78
BRL
390
4
JPMorgan
Chase
10/14/22
USD
258
ZAR
4,433
(
7
)
JPMorgan
Chase
10/14/22
ZAR
211
USD
12
—
JPMorgan
Chase
10/20/22
USD
278
ILS
952
(
4
)
JPMorgan
Chase
10/21/22
CAD
515
USD
400
2
JPMorgan
Chase
10/21/22
USD
560
AUD
823
(
16
)
JPMorgan
Chase
10/21/22
USD
1,605
CAD
2,105
(
38
)
Morgan
Stanley
8/2/22
BRL
14,128
USD
2,680
47
Morgan
Stanley
8/2/22
USD
2,723
BRL
14,128
(
4
)
Morgan
Stanley
8/19/22
GBP
165
USD
194
7
Morgan
Stanley
8/19/22
GBP
68
USD
84
(
1
)
Morgan
Stanley
8/19/22
USD
4,005
GBP
3,278
10
Morgan
Stanley
9/2/22
USD
372
BRL
1,900
9
Morgan
Stanley
9/9/22
USD
201
CLP
178,530
4
Morgan
Stanley
9/9/22
USD
249
COP
1,149,532
(
17
)
Morgan
Stanley
9/16/22
SGD
1,026
USD
739
4
Morgan
Stanley
9/23/22
SEK
2,600
USD
256
—
Morgan
Stanley
10/14/22
CNH
3,716
USD
551
—
Morgan
Stanley
10/14/22
USD
553
CNH
3,716
2
Morgan
Stanley
10/20/22
ILS
1,925
USD
555
14
Morgan
Stanley
10/20/22
USD
274
ILS
936
(
3
)
Morgan
Stanley
10/21/22
CHF
917
USD
948
22
Morgan
Stanley
10/21/22
USD
1,670
NZD
2,707
(
31
)
RBC
Dominion
Securities
8/19/22
USD
251
EUR
238
7
RBC
Dominion
Securities
8/19/22
USD
207
SEK
2,085
1
RBC
Dominion
Securities
10/21/22
AUD
823
USD
562
14
Standard
Chartered
8/19/22
GBP
320
USD
385
5
Standard
Chartered
8/19/22
USD
395
GBP
325
(
1
)
Standard
Chartered
8/31/22
USD
387
KRW
506,577
(
2
)
Standard
Chartered
8/31/22
USD
889
TWD
26,518
4
Standard
Chartered
9/2/22
BRL
1,795
USD
335
8
Standard
Chartered
9/9/22
USD
112
MYR
490
2
Standard
Chartered
9/16/22
USD
735
SGD
1,026
(
8
)
Standard
Chartered
10/7/22
IDR
12,159,125
USD
816
2
Standard
Chartered
10/7/22
USD
263
KRW
344,277
(
2
)
Standard
Chartered
10/14/22
USD
548
CNH
3,693
—
Standard
Chartered
10/14/22
ZAR
9,730
USD
575
6
Standard
Chartered
10/21/22
NZD
715
USD
442
8
State
Street
8/12/22
PLN
1,296
USD
290
(
11
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
104
(Amounts
in
000s)
FORWARD
CURRENCY
EXCHANGE
CONTRACTS
(CONTINUED)
Counterparty
Settlement
Receive
Deliver
Unrealized
Gain/(Loss)
State
Street
8/19/22
GBP
33
USD
40
$
—
State
Street
8/19/22
SEK
107
USD
11
—
State
Street
8/19/22
USD
2,359
EUR
2,229
78
State
Street
8/19/22
USD
335
SEK
3,352
5
State
Street
8/31/22
USD
2,097
CHF
2,020
(
30
)
State
Street
9/2/22
BRL
1,933
USD
355
15
State
Street
9/9/22
USD
39
CLP
38,111
(
3
)
State
Street
9/23/22
SEK
7,995
USD
786
2
State
Street
10/7/22
CLP
49,111
USD
53
1
State
Street
10/14/22
CZK
31,612
USD
1,273
26
State
Street
10/14/22
USD
50
MXN
1,067
(
1
)
State
Street
10/14/22
ZAR
4,380
USD
258
4
State
Street
10/20/22
ILS
1,490
USD
436
4
State
Street
10/20/22
USD
30
ILS
103
(
1
)
State
Street
10/21/22
CAD
933
USD
717
11
State
Street
10/21/22
USD
227
CAD
298
(
6
)
UBS
Investment
Bank
8/12/22
PLN
3,650
USD
845
(
60
)
UBS
Investment
Bank
8/19/22
EUR
544
USD
570
(
13
)
UBS
Investment
Bank
8/19/22
USD
1,859
EUR
1,766
51
UBS
Investment
Bank
8/19/22
USD
109
SEK
1,089
2
UBS
Investment
Bank
9/9/22
CLP
172,885
USD
188
3
UBS
Investment
Bank
9/9/22
USD
827
CLP
729,910
23
UBS
Investment
Bank
9/23/22
USD
427
SEK
4,325
1
UBS
Investment
Bank
10/7/22
CLP
297,215
USD
324
2
UBS
Investment
Bank
10/7/22
IDR
12,612,216
USD
848
—
UBS
Investment
Bank
10/7/22
KRW
1,081,095
USD
834
(
4
)
UBS
Investment
Bank
10/7/22
USD
818
IDR
12,159,125
—
UBS
Investment
Bank
10/7/22
USD
429
INR
34,115
2
UBS
Investment
Bank
10/14/22
USD
1,980
ZAR
33,799
(
37
)
UBS
Investment
Bank
10/20/22
ILS
3,281
USD
958
13
UBS
Investment
Bank
10/20/22
USD
267
ILS
922
(
6
)
UBS
Investment
Bank
10/21/22
CAD
507
USD
388
8
UBS
Investment
Bank
10/21/22
USD
83
AUD
120
(
1
)
UBS
Investment
Bank
10/21/22
USD
324
CAD
423
(
7
)
UBS
Investment
Bank
10/21/22
USD
1,514
JPY
204,067
(
27
)
Net
unrealized
gain
(loss)
on
open
forward
currency
exchange
contracts
$
215
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
105
FUTURES
CONTRACTS
($000s)
Expiration
Date
Notional
Amount
Value
and
Unrealized
Gain
(Loss)
Long,
3
Amsterdam
IDX
contracts
8/22
445
$
38
Short,
7
CAC40
Index
contracts
8/22
(461)
(
20
)
Short,
22
Hang
Seng
Index
contracts
8/22
(2,816)
81
Short,
461
OMX
Swedish
Index
contracts
8/22
(9,226)
(
305
)
Long,
19
ASX
SPI
200
Index
contracts
9/22
2,277
125
Long,
16
Australian
ten
years
Treasury
Bond
Index
contracts
9/22
1,397
62
Short,
16
DAX
Index
contracts
9/22
(5,508)
56
Short,
19
Euro
BOBL
contracts
9/22
(2,483)
(
50
)
Short,
83
Euro
BTP
contracts
9/22
(10,716)
(
261
)
Short,
23
Euro
BUND
contracts
9/22
(3,706)
(
289
)
Short,
12
Euro
BUXL
thirty
year
bond
contracts
9/22
(2,279)
(
240
)
Short,
11
Euro
OAT
contracts
9/22
(1,647)
(
79
)
Long,
213
Euro
SCHATZ
contracts
9/22
23,976
243
Short,
98
Euro
STOXX
contracts
9/22
(3,708)
(
135
)
Short,
151
FTSE
100
Index
contracts
9/22
(13,566)
(
531
)
Long,
13
FTSE
MIB
Index
contracts
9/22
1,487
94
Short,
134
Government
of
Canada
ten
year
bond
contracts
9/22
(13,650)
(
466
)
Long,
113
Long
Gilt
ten
year
contracts
9/22
16,263
174
Long,
78
Mini
ten
year
JGB
contracts
9/22
8,797
103
Short,
118
MSCI
Emerging
Markets
Index
contracts
9/22
(5,891)
16
Long,
91
Republic
of
South
Korea
three
year
bond
contracts
9/22
7,392
167
Short,
4
Russell
2000
E-Mini
Index
contracts
9/22
(377)
(
12
)
Short,
192
S&P
500
E-Mini
Index
contracts
9/22
(39,681)
(
2,043
)
Short,
17
S&P
500
E-mini
Index
Industrial
Sector
contracts
9/22
(1,639)
(
9
)
Short,
9
S&P
500
E-mini
Index
Technology
Sector
contracts
9/22
(1,310)
(
121
)
Long,
2
S&P
500
E-mini
Index
Utilities
Sector
contracts
9/22
150
14
Short,
9
S&P
500
Index
Consumer
Discretionary
Sector
contracts
9/22
(1,483)
(
209
)
Long,
37
S&P
500
Index
Consumer
Staples
contracts
9/22
2,775
102
Long,
13
S&P/TSX
60
Index
contracts
9/22
2,410
79
Short,
77
TOPIX
Index
contracts
9/22
(11,188)
(
233
)
Short,
5
U.S.
Treasury
Long
Bond
contracts
9/22
(720)
(
22
)
Short,
136
U.S.
Treasury
Notes
five
year
contracts
9/22
(15,467)
(
190
)
Short,
133
U.S.
Treasury
Notes
ten
year
contracts
9/22
(16,112)
(
281
)
Short,
47
U.S.
Treasury
Notes
two
year
contracts
9/22
(9,892)
(
13
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
106
FUTURES
CONTRACTS
($000s)
Expiration
Date
Notional
Amount
Value
and
Unrealized
Gain
(Loss)
Long,
40
Ultra
U.S.
Treasury
Bonds
contracts
9/22
6,333
$
123
Long,
9
Ultra
U.S.
Treasury
Notes
ten
year
contracts
9/22
1,181
7
Net
payments
(receipts)
of
variation
margin
to
date
3,119
Variation
margin
receivable
(payable)
on
open
futures
contracts
$
(
906
)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
107
The
accompanying
notes
are
an
integral
part
of
this
Portfolio
of
Investments.
AFFILIATED
COMPANIES
($000s)
The
fund
may
invest
in
certain
securities
that
are
considered
affiliated
companies.
As
defined
by
the
1940
Act,
an
affiliated
company
is
one
in
which
the
fund
owns
5%
or
more
of
the
outstanding
voting
securities,
or
a
company
that
is
under
common
ownership
or
control.
The
following
securities
were
considered
affiliated
companies
for
all
or
some
portion
of
the
nine
months
ended
July
31,
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,
2.03%
$
—
$
—
$
412
++
T.
Rowe
Price
Short-Term
Fund
—
—
—
++
Totals
$
—
#
$
—
$
412
+
Supplementary
Investment
Schedule
Affiliate
Value
10/31/21
Purchase
Cost
Sales
Cost
Value
07/31/22
T.
Rowe
Price
Government
Reserve
Fund,
2.03%
$
127,142
¤
¤
$
106,820
T.
Rowe
Price
Short-Term
Fund
6,864
¤
¤
—
Total
$
106,820
^
#
Capital
gain
distributions
from
underlying
Price
funds
represented
$0
of
the
net
realized
gain
(loss).
++
Excludes
earnings
on
securities
lending
collateral,
which
are
subject
to
rebates
and
fees.
+
Investment
income
comprised
$412
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
$106,820.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Unaudited
Notes
to
Portfolio
of
Investments
108
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
109
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
110
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.
Investments
in
private
investment
companies
are
valued
at
the
investee’s
NAV
per
share
as
of
the
valuation
date,
if
available.
If
the
investee’s
NAV
is
not
available
as
of
the
valuation
date
or
is
not
calculated
in
accordance
with
GAAP,
the
Valuation
Committee
may
adjust
the
investee’s
NAV
to
reflect
fair
value
at
the
valuation
date.
Listed
options,
and
OTC
options
with
a
listed
equivalent,
are
valued
at
the
mean
of
the
closing
bid
and
asked
prices
and
exchange-traded
options
on
futures
contracts
are
valued
at
closing
settlement
prices.
Futures
contracts
are
valued
at
closing
settlement
prices.
Forward
currency
exchange
contracts
are
valued
using
the
prevailing
forward
exchange
rate.
Swaps
are
valued
at
prices
furnished
by
an
independent
pricing
service
or
independent
swap
dealers.
Investments
for
which
market
quotations
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
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
111
may
also
consider
other
valuation
methods
such
as
market-based
valuation
multiples;
a
discount
or
premium
from
market
value
of
a
similar,
freely
traded
security
of
the
same
issuer;
discounted
cash
flows;
yield
to
maturity;
or
some
combination.
Fair
value
determinations
are
reviewed
on
a
regular
basis
and
updated
as
information
becomes
available,
including
actual
purchase
and
sale
transactions
of
the
investment.
Because
any
fair
value
determination
involves
a
significant
amount
of
judgment,
there
is
a
degree
of
subjectivity
inherent
in
such
pricing
decisions,
and
fair
value
prices
determined
by
the
Valuation
Committee
could
differ
from
those
of
other
market
participants.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
112
Valuation
Inputs
The
following
table
summarizes
the
fund’s
financial
instruments,
based
on
the
inputs
used
to
determine
their
fair
values
on
July
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
$
—
$
130,353
$
—
$
130,353
Bank
Loans
—
30,034
2,342
32,376
Common
Stocks
52,755
15,145
146
68,046
Convertible
Preferred
Stocks
—
60
470
530
Preferred
Stocks
—
714
—
714
Private
Investment
Company
2
—
—
—
29
Short-Term
Investments
103,935
—
—
103,935
Securities
Lending
Collateral
2,885
—
—
2,885
Options
Purchased
—
640
—
640
Total
Securities
159,575
176,946
2,958
339,508
Swaps*
—
10,215
—
10,215
Forward
Currency
Exchange
Contracts
—
1,343
—
1,343
Futures
Contracts*
1,484
—
—
1,484
Total
$
161,059
$
188,504
$
2,958
$
352,550
Liabilities
Options
Written
$
—
$
1,082
$
—
$
1,082
Swaps*
—
8,571
—
8,571
Forward
Currency
Exchange
Contracts
—
1,128
—
1,128
Futures
Contracts*
5,509
—
—
5,509
Total
$
5,509
$
10,781
$
—
$
16,290
1
Includes
Asset-Backed
Securities,
Convertible
Bonds,
Corporate
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
113
OTHER
MATTERS
Unpredictable
events
such
as
environmental
or
natural
disasters,
war,
terrorism,
pandemics,
outbreaks
of
infectious
diseases,
and
similar
public
health
threats
may
significantly
affect
the
economy
and
the
markets
and
issuers
in
which
a
fund
invests.
Certain
events
may
cause
instability
across
global
markets,
including
reduced
liquidity
and
disruptions
in
trading
markets,
while
some
events
may
affect
certain
geographic
regions,
countries,
sectors,
and
industries
more
significantly
than
others,
and
exacerbate
other
pre-existing
political,
social,
and
economic
risks.
Since
2020,
a
novel
strain
of
coronavirus
(COVID-19)
has
resulted
in
disruptions
to
global
business
activity
and
caused
significant
volatility
and
declines
in
global
financial
markets.
In
February
2022,
Russian
forces
entered
Ukraine
and
commenced
an
armed
conflict
leading
to
economic
sanctions
being
imposed
on
Russia
and
certain
of
its
citizens,
creating
impacts
on
Russian-related
stocks
and
debt
and
greater
volatility
in
global
markets.
These
are
recent
examples
of
global
events
which
may
have
an
impact
on
the
fund’s
performance,
which
could
be
negatively
impacted
if
the
value
of
a
portfolio
holding
were
harmed
by
these
and
such
other
events.
Management
is
actively
monitoring
the
risks
and
financial
impacts
arising
from
these
events.
F1112-054Q3
07/22
2
In
accordance
with
Subtopic
820-10,
certain
investments
that
are
measured
at
fair
value
using
the
net
asset
value
per
share
(or
its
equivalent)
practical
expedient
have
not
been
classified
in
the
fair
value
hierarchy.
The
fair
value
amounts
presented
in
this
table
are
intended
to
permit
reconciliation
of
the
fair
value
hierarchy
to
the
amounts
presented
in
the
Portfolio
of
Investments.
*
The
fair
value
presented
includes
cumulative
gain
(loss)
on
open
futures
contracts
and
centrally
cleared
swaps;
however,
the
net
value
reflected
on
the
accompanying
Portfolio
of
Investments
is
only
the
unsettled
variation
margin
receivable
(payable)
at
that
date.