T. Rowe Price Exchange-Traded Funds N-CSR Certified annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number: 811-23494

T. Rowe Price Exchange-Traded Funds, Inc.

(Exact name of registrant as specified in charter)

100 East Pratt Street, Baltimore, MD 21202

(Address of principal executive offices)

David Oestreicher

100 East Pratt Street, Baltimore, MD 21202

(Name and address of agent for service)

Registrant’s telephone number, including area code: (410) 345-2000

Date of fiscal year end: May 31

Date of reporting period: May 31, 2023

Item 1. Reports to Shareholders

(a) Report pursuant to Rule 30e-1

ANNUAL REPORT

May 31, 2023

	T. ROWE PRICE
TOTR	Total Return ETF
	For more insights from T. Rowe Price investment professionals, go to troweprice.com.

INVEST WITH CONFIDENCE^®

T. ROWE PRICE TOTAL RETURN ETF

HIGHLIGHTS

■ The fund produced a negative return and underperformed its benchmark and Lipper peer group average for the 12-month period ended May 31, 2023.

■ Exposure to to-be-announced agency mortgage-backed securities, which we use for liquidity purposes, detracted from relative performance.

■ During the period, the fund reduced high yield corporate bonds, bank loans, and commercial mortgage-backed securities and added U.S. Treasuries, agency mortgage-backed securities, and investment-grade corporate bonds.

■ While we wait for greater clarity on the economic outlook, we remain nimble in our duration positioning and in sector allocations, where we look to take advantage of opportunities in dislocated credits.

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T. ROWE PRICE TOTAL RETURN ETF

Market Commentary

Dear Shareholder

Major global stock and bond indexes produced mixed returns during your fund’s fiscal year, the 12-month period ended May 31, 2023. Rising interest rates weighed on returns in the first half of the period, but many sectors rebounded over the past six months as growth remained positive in the major economies and corporate earnings results came in stronger than expected.

For the 12-month period, growth stocks outperformed value shares, and developed market shares generally outpaced their emerging market counterparts. In the U.S., the Russell 1000 Growth Index and Nasdaq Composite Index performed the best. Most currencies weakened versus the U.S. dollar over the period, which weighed on returns for U.S. investors in international securities.

Within the S& P 500 Index, the information technology sector had, by far, the strongest returns. Big tech companies rebounded strongly at the start of 2023, helped in part by growing investor enthusiasm for artificial intelligence applications. Meanwhile, falling prices for various commodities weighed on returns for the materials and energy sectors, and turmoil in the banking sector, which included the failure of three large regional banks, hurt the financials segment. Real estate stocks also came under pressure amid concerns about the ability of some commercial property owners to refinance their debt.

Cheaper oil contributed to slowing inflation during the period, although core inflation readings—which exclude volatile food and energy prices—remained stubbornly high. April’s consumer price index data (the latest available in our reporting period) showed a headline inflation rate of 4.9% on a 12-month basis, down from more than 8% at the start of the period but still well above the Fed’s long-term 2% inflation target.

In response to persistent inflation, the Fed raised its short-term lending benchmark rate from around 1.00% at the start of the period to a range of 5.00% to 5.25% by the end of May, the highest level since 2007. However, Fed officials have recently suggested that they might soon be ready to pause additional rate hikes as they wait to see how the economy is progressing.

Bond yields increased considerably across the U.S. Treasury yield curve as the Fed tightened monetary policy, with the yield on the benchmark 10-year note climbing from 2.85% at the start of the period to 3.64% at the end of May.

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Significant inversions in the yield curve, which are often considered a warning sign of a coming recession, occurred during the period as shorter-maturity Treasuries experienced the largest yield increases. At the end of May, the yield on the three-month Treasury bill was 188 basis points (1.88 percentage point) higher than the yield on the 10-year Treasury note. Increasing yields led to weak results across most of the fixed income market, although high yield bonds, which are less sensitive to rising rates, held up relatively well.

Global economies and markets showed surprising resilience in recent months, but, moving into the second half of 2023, we believe investors could face potential challenges. The economic impact of the Fed’s rate hikes has yet to be fully felt in the economy, and while the regional banking turmoil appears to have been contained by the swift actions of regulators, it could continue to have an impact on credit conditions. Moreover, the market consensus still seems to forecast a global recession starting later this year or in early 2024, although it could be a mild downturn.

We believe this environment makes skilled active management a critical tool for identifying risks and opportunities, and our investment teams will continue to use fundamental research to identify securities that can add value to your portfolio over the long term.

Thank you for your continued confidence in T. Rowe Price.

Sincerely,

Robert Sharps

CEO and President

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Management’s Discussion of Fund Performance

INVESTMENT OBJECTIVE

The fund seeks to maximize total return through income and, secondarily, capital appreciation.

FUND COMMENTARY

How did the fund perform in the past 12 months?

The Total Return ETF returned -3.33% (based on net asset value) and -3.15% (at market price) for the 12-month period ending May 31, 2023. The fund underperformed its benchmark, the Bloomberg U.S. Aggregate Bond Index, and the Lipper Core Plus Bond Funds Average. (Past performance cannot guarantee future results.) The fund’s performance was more adversely affected earlier in the period when markets were caught off guard by the magnitude of the Federal Reserve’s (Fed's) forceful tightening measures, and the fund generated positive returns and outpaced the benchmark over the previous six-month period.

What factors influenced the fund’s performance?

Despite a welcome reversal in performance year-to-date, the U.S.

PERFORMANCE COMPARISON

	Total Return
Periods Ended 5/31/23	6 Months	12 months
Total Return ETF (Based on Net Asset Value)	2.52%	-3.33%
Total Return ETF (At Market Price)*	2.49	-3.15
Bloomberg U.S. Aggregate Bond Index	2.00	-2.14
Lipper Core Plus Bond Funds Average	2.12	-2.46

*Market returns are based on the midpoint of the bid/ask spread at market close (typically, 4 p.m. ET) and do not represent returns an investor would have received if shares were traded at other times.

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investment-grade (IG) fixed income market, as measured by the Bloomberg U.S. Aggregate Bond Index, posted negative returns over the previous 12 months. Rising U.S. Treasury yields weighed on fixed income returns as the Federal Reserve remained committed to tightening monetary policy to curb high inflation. However, periods of stronger risk appetite and credit spread tightening lent some support to the U.S. fixed income market, and corporate credit spreads tightened overall. (Credit spreads measure the additional yield that investors demand for holding a bond with credit risk over a similar-maturity, high-quality government security.)

In agency mortgage-backed securities (MBS), exposure to lower-coupon to-be-announced (TBA) contracts (where the specific securities to be delivered are not yet known on the trade date) dragged on performance. We utilize TBA securities for liquidity management purposes and to efficiently adjust positioning within the agency MBS sector, but TBAs generally underperformed specified MBS pools as mortgages broadly sold off and market participants favored mortgage bonds offering more desirable prepayment characteristics. Some single-asset single-borrower commercial mortgage-backed securities (CMBS) underperformed as well.

However, positive security selection in global sovereign debt helped offset some losses from other sectors. Holding Treasury options benefited the portfolio later in the period when two-year Treasury yields fluctuated notably.

Sector allocations also detracted overall from fund performance. Broadly speaking, out-of-benchmark exposure to non-agency residential mortgage-backed securities (RMBS) weighed on the fund for the 12-month period. Increased supply in 2022 and rising recession concerns dragged on the sector. Additionally, increased rate volatility was a headwind for RMBS, and much higher mortgage rates caused refinancing activity to drastically slow, significantly extending mortgage bond durations in a rising rate environment. (Duration measures the sensitivity of a bond or a bond portfolio to interest rate changes.)

On the positive side, non-benchmark allocations to the high yield corporate, leveraged loan, and collateralized loan obligation sectors notably benefited performance. High yield corporate bonds held up well amid relatively strong fundamentals and technical conditions, and the fund’s bias for higher-quality high yield bonds helped during periods of waning risk appetite.

Interest rate management detracted overall. A yield-curve steepening bias detracted as very high volatility across the Treasury term structure stemming from Fed policy uncertainty was a headwind. Our overall U.S. duration posture

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had a largely neutral impact. Non-U.S. rates exposures, which complement U.S. duration positioning and diversify risk outside of credit markets, also weighed on results, as global central bank actions were unpredictable amid high inflation and concerns about the global growth outlook. On the plus side, the portfolio benefited from the uncommon current market dynamic where cash yields exceed yields on longer-term Treasuries. The higher yields earned on cash added to a structural yield advantage for the fund relative to the benchmark, which holds no cash.

The use of derivatives had an overall negative effect on absolute returns for the period. The fund maintained material exposure to interest rate derivatives to help it more efficiently manage duration and positioning along the yield curve. While Treasury options noted above had a positive effect on relative returns, positions in Treasury futures weighed on absolute performance in a rising rate environment. (However, without the use of those instruments, portfolio duration and yield curve exposures would have deviated from our targets and increased portfolio risk to undesirable levels.) Material exposure to credit derivatives, which we used to help hedge against a potential widening in credit spreads and can offer a more efficient way to express an investment view relative to the cash bond market, also detracted from performance. These credit hedges help adjust the fund’s overall spread sector risk in areas like high yield bonds and bank loans, where we held out-of-benchmark allocations using our analyst teams’ favored security ideas. We see these derivative instruments as valuable tools for keeping our credit spread risk at levels that are warranted for the macro backdrop, and our net allocations to these higher-yielding credit sectors added value. 

How is the fund positioned?

Significant movements in sector positioning across the 12-month period mostly involved reductions in allocations to high yield corporate bonds, bank loans, and CMBS in favor of higher-quality and more liquid U.S. Treasuries, agency MBS, and IG corporate bonds. We also trimmed EM corporate and sovereign credit and non-agency residential mortgage bonds as the period progressed. In late 2022, we took advantage of a rally in riskier assets and reduced exposure to high yield corporate bonds and bank loans.

Our exposure to U.S. Treasuries increased. The sharply hawkish policy response from the Federal Reserve drove U.S. Treasury yields to attractive levels for investors looking for liquidity and income potential. With inflation pressures easing, we believe that Treasuries can once again serve as a potential hedge against risk-asset volatility, which they failed to do last year when the Fed was tightening aggressively.

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CREDIT QUALITY DIVERSIFICATION

U.S. Government Agency Securities*	34 %
U.S. Treasury Securities**	31
AAA	7
AA	6
A	8
BBB	10
BB and Below	18
Not Rated	1
Reserves	-15
Total	100%

Based on net assets as of 5/31/23.

*U.S. government agency securities are issued or guaranteed by a U.S. government agency and may include conventional pass-through securities and collateralized mortgage obligations; unlike Treasuries, government agency securities are not issued directly by the U.S. government and are generally unrated but may have credit support from the U.S. Treasury (e.g., FHLMC and FNMA issues) or a direct government guarantee (e.g., GNMA issues). Therefore, this category may include rated and unrated securities.

**U.S. Treasury securities are issued by the U.S. Treasury and are backed by the full faith and credit of the U.S. government. The ratings of U.S. Treasury securities are derived from the ratings on the U.S. government.

Sources: Credit ratings for the securities held in the fund are provided by Moody’s, Standard & Poor’s, and Fitch and are converted to the Standard & Poor’s nomenclature. A rating of AAA represents the highest-rated securities, and a rating of D represents the lowest-rated securities. If the rating agencies differ, the highest rating is applied to the security. If a rating is not available, the security is classified as Not Rated (NR). T. Rowe Price uses the rating of the underlying investment vehicle to determine the creditworthiness of credit default swaps. The fund is not rated by any agency.

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More recently, we reduced the portfolio’s overweight to CMBS. Sales were primarily in subordinated single-asset single-borrower bonds that faced further extension risk in a higher-for-longer interest rate environment. We also employed short positions in the CMBS market using indexed derivatives to help balance our risk exposure in the sector. While being prudent, we believe certain CMBS have the potential to perform well—although there will likely be more volatility ahead.

The fund added to IG corporate bonds closer to the end of 2022 and reduced the portfolio’s large underweight in the sector. Additionally, we added to agency MBS, shifting from a slight underweight to an overweight by the end of the period. We believed the sector offered higher quality and better liquidity than credit sectors, and spreads offered more value after widening due to elevated rate volatility and technical concerns stemming from potential bank sales. The rate-sensitive agency MBS market could also benefit if rate volatility begins to subside with the end of the Fed tightening cycle approaching, and many lower-coupon MBS are trading at deep discounts in the wake of the past year’s rate surge.

We were active in our duration positioning, holding both long and short positions during the period, as the Fed’s policy stance shifted. However, the fund was overweight duration compared with the benchmark by the end of the period with the Fed signaling that it would pause hiking rates. Additionally, the financial instability experienced during the banking turmoil and the lagged economic impact of past monetary tightening could convince the Fed to be more measured with further rate hikes.

At period-end, we positioned the portfolio for yield-curve steepening, with more duration in the intermediate (5- to 10-year) section of the curve and less at the long end. We expect intermediate yields to fall as we move closer to the end of the Fed’s hiking cycle, while a Fed pause could allow long-term yields, which have been restrained by the Fed’s efforts to quell demand and inflation, to move higher.

What is portfolio management’s outlook?

The emergence of stress in the banking industry has added to economic uncertainty and created a challenge for the Fed as it tries to balance market stability with its goal of lowering inflation. Although we believe the bank turmoil seen in March is idiosyncratic in nature and due to unique risks at certain banks rather than a systemic issue, it’s full effect on economic growth via potentially reduced credit creation also remains to be seen. It also comes at a time when global liquidity is rapidly falling, monetary policy is tight, and central banks have

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little scope to ease policy amid high inflation. Indeed, a recession is never desirable but may be necessary to bring inflation under control with a tight labor market continuing to fuel wage-growth pressures.

We are also mindful of the potential liquidity challenges that could arise as the U.S. Treasury Department begins to rebuild the Treasury General Account through substantial Treasury bill issuance, along with falling bank reserves in general as investors pursue higher-yielding alternatives to bank deposits. Additionally, consumer behavior has been supportive of the economy, but falling excess savings data and rising unemployment have added to recession risks.

While we wait for greater clarity on the economic outlook, we remain nimble in our duration positioning. But we will look to add more duration when it becomes clearer that the Fed tightening cycle is finished. Along the yield curve, we are favoring a steepening bias and expect to add to this position as the cycle turns from late-stage expansion to recession.

In terms of our credit sector positioning, we have looked to take advantage of opportunities in dislocated credits due to recent events, but we are continuing to take a generally defensive approach. Though remaining moderately cautious for now, we anticipate an opportunity to add risk when appropriate, and our strategy’s flexible guidelines and broad tool set should enable us to quickly act. In the meantime, we believe that our balanced strategic portfolio should enable us to weather market turbulence, as unpleasant as it may be.

As always, we continue to rely on the depth and breadth of T. Rowe Price’s research platform—fundamental, quantitative, and macro—to guide our top-down and bottom-up investment decisions.

The views expressed reflect the opinions of T. Rowe Price as of the date of this report and are subject to change based on changes in market, economic, or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

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RISK OF BOND INVESTING

All investments are subject to market risk, including possible loss of principal. The fund is subject to the risks of fixed income investing, including interest rate risk and credit risk. Interest rate risk is the decline in bond prices that accompanies a rise in the overall level of interest rates. Credit risk is the chance that any of the fund’s holdings will have their credit ratings downgraded or will default (fail to make scheduled interest or principal payments), potentially reducing the fund’s income level and share price.

Because a significant portion of the fund’s investments may be rated below investment grade, the fund is exposed to greater volatility and credit risk than if it invested mainly in investment-grade bonds. High yield bond and loan issuers are usually not as strong financially as investment-grade bond issuers and, therefore, are more likely to suffer an adverse change in financial condition that would result in the inability to meet a financial obligation. Accordingly, securities and loans involving such companies carry a higher risk of default and should be considered speculative.

Investments in foreign bonds are subject to special risks, including potentially adverse overseas political and economic developments, greater volatility, lower liquidity, and the possibility that foreign currencies will decline against the dollar. Investments in emerging markets are subject to the risk of abrupt and severe price declines.

BENCHMARK INFORMATION

Note: Bloomberg^® and the Bloomberg U.S. Aggregate Bond Index are service marks of Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (“BISL”), the administrator of the index (collectively, “Bloomberg”) and have been licensed for use for certain purposes by T. Rowe Price. Bloomberg is not affiliated with T. Rowe Price, and Bloomberg does not approve, endorse, review, or recommend its products. Bloomberg does not guarantee the timeliness, accurateness, or completeness of any data or information relating to its products.

Note: Portions of the mutual fund information contained in this report was supplied by Lipper, a Refinitiv Company, subject to the following: Copyright 2023 © Refinitiv. All rights reserved. Any copying, republication or redistribution of Lipper content is expressly prohibited without the prior written consent of Lipper. Lipper shall not be liable for any errors or delays in the content, or for any actions taken in reliance thereon.

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Note: Copyright © 2023 Fitch Ratings, Inc., Fitch Ratings Ltd. and its subsidiaries.

Note: © 2023, Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “Moody’s”). All rights reserved. Moody’s ratings and other information (“Moody’s Information”) are proprietary to Moody’s and/or its licensors and are protected by copyright and other intellectual property laws. Moody’s Information is licensed to Client by Moody’s. MOODY’S INFORMATION MAY NOT BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRANSFERRED, DISSEMINATED, REDISTRIBUTED OR RESOLD, OR STORED FOR SUBSEQUENT USE FOR ANY SUCH PURPOSE, IN WHOLE OR IN PART, IN ANY FORM OR MANNER OR BY ANY MEANS WHATSOEVER, BY ANY PERSON WITHOUT MOODY’S PRIOR WRITTEN CONSENT. Moody’s^® is a registered trademark.

Note: Copyright © 2023, S&P Global Market Intelligence (and its affiliates, as applicable). Reproduction of any information, data or material, including ratings (“Content”) in any form is prohibited except with the prior written permission of the relevant party. Such party, its affiliates and suppliers (“Content Providers”) do not guarantee the accuracy, adequacy, completeness, timeliness or availability of any Content and are not responsible for any errors or omissions (negligent or otherwise), regardless of the cause, or for the results obtained from the use of such Content. In no event shall Content Providers be liable for any damages, costs, expenses, legal fees, or losses (including lost income or lost profit and opportunity costs) in connection with any use of the Content. A reference to a particular investment or security, a rating or any observation concerning an investment that is part of the Content is not a recommendation to buy, sell or hold such investment or security, does not address the appropriateness of an investment or security and should not be relied on as investment advice. Credit ratings are statements of opinions and are not statements of fact.

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GROWTH OF $10,000

This chart shows the value of a hypothetical $10,000 investment in the fund over the past 10 fiscal year periods or since inception (for funds lacking 10-year records). The result is compared with benchmarks, which include a broad-based market index and may also include a peer group average or index. Market indexes do not include expenses, which are deducted from fund returns as well as mutual fund averages and indexes.

^{Total Return ETF}

Note: See the Average Annual Compound Total Return table.

*The Lipper Core Plus Bond Funds Average is from 9/30/21.

AVERAGE ANNUAL COMPOUND TOTAL RETURN

Periods Ended 5/31/23	One Year	Since Inception 9/28/21
Total Return ETF (Based on Net Asset Value)	-3.33%	-8.04%
Total Return ETF (At Market Price)	-3.15	-7.98

This table shows how the fund would have performed each year if its actual (or cumulative) returns for the periods shown had been earned at a constant rate. Average annual total return figures include changes in principal value, reinvested dividends, and capital gain distributions. Returns do not reflect taxes that the shareholder may pay on fund distributions or the redemption of fund shares. When assessing performance, investors should consider both short- and long-term returns. Past performance cannot guarantee future results. Market returns are based on the midpoint of the bid/ask spread at market close (typically, 4 p.m. ET) and do not represent returns an investor would have received if shares were traded at other times.

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PREMIUM/DISCOUNT INFORMATION

The frequency at which the daily market prices were at a discount or premium to the fund’s net asset value is available on the fund’s website (troweprice.com).

EXPENSE RATIO

Total Return ETF 0.31%

The expense ratio shown is as of the fund’s most recent prospectus. This number may vary from the expense ratio shown elsewhere in this report because it is based on a different time period and, if applicable, includes acquired fund fees and expenses but does not include fee or expense waivers.

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FUND EXPENSE EXAMPLE

As a shareholder, you may incur two types of costs: (1) transaction costs, such as brokerage commissions on purchases and sales, and (2) ongoing costs, including management fees and other fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other funds. The example is based on an investment of $1,000 invested at the beginning of the most recent six-month period and held for the entire period.

Actual Expenses

The first line of the following table (Actual) provides information about actual account values and expenses based on the fund’s actual returns. You may use the information on this line, together with your account balance, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number on the first line under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The information on the second line of the table (Hypothetical) is based on hypothetical account values and expenses derived from the fund’s actual expense ratio and an assumed 5% per year rate of return before expenses (not the fund’s actual return). You may compare the ongoing costs of investing in the fund with other funds by contrasting this 5% hypothetical example and the 5% hypothetical examples that appear in the shareholder reports of the other funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.

You should also be aware that the expenses shown in the table highlight only your ongoing costs and do not reflect any transaction costs, such as brokerage commissions paid on purchases and sales of shares. Therefore, the second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. To the extent a fund charges transaction costs, however, the total cost of owning that fund is higher.

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^{Total Return ETF}

	Beginning Account Value 12/1/22	Ending Account Value 5/31/23	Expenses Paid During Period* 12/1/22 to 5/31/23
Actual	$1,000.00	$1,025.20	$1.57
Hypothetical (assumes 5% return before expenses)	1,000.00	1,023.39	1.56

* Expenses are equal to the fund’s annualized expense ratio for the 6-month period (0.31%), multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half year (182), and divided by the days in the year (365) to reflect the half-year period.

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QUARTER-END RETURNS

Periods Ended 3/31/23	One Year	Since Inception 9/28/21
Total Return ETF (Based on Net Asset Value)	-7.13%	-8.51%
Total Return ETF (At Market Price)	-7.04	-8.41

The fund’s performance information represents only past performance and is not necessarily an indication of future results. Current performance may be lower or higher than the performance data cited. Share price, principal value, and return will vary, and you may have a gain or loss when you sell your shares. Market returns are based on the midpoint of the bid/ask spread at market close (typically, 4 p.m. ET) and do not represent returns an investor would receive if shares were traded at other times. For the most recent month-end performance, please visit our website (troweprice.com) or contact a T. Rowe Price representative at 1-800-225-5132.

This table provides returns through the most recent calendar quarter-end rather than through the end of the fund’s fiscal period. It shows how the fund would have performed each year if its actual (or cumulative) returns for the periods shown had been earned at a constant rate. Average annual total return figures include changes in principal value, reinvested dividends, and capital gain distributions. Returns do not reflect taxes that the shareholder may pay on fund distributions or the redemption of fund shares. When assessing performance, investors should consider both short- and long-term returns.

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FINANCIAL HIGHLIGHTS

For a share outstanding throughout each period

	Year Ended	9/28/21 (1) Through
	5/31/23	5/31/22
NET ASSET VALUE
Beginning of period	$  44.30	$  50.00
Investment activities
Net investment income(2) (3)	1.73	0.78
Net realized and unrealized gain/loss	(3.22)	(5.74)
Total from investment activities	(1.49)	(4.96)
Distributions
Net investment income	(1.70)	(0.74)
Tax return of capital	(0.04)	-
Total distributions	(1.74)	(0.74)
NET ASSET VALUE
End of period	$ 41.07	$ 44.30

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FINANCIAL HIGHLIGHTS

For a share outstanding throughout each period

	Year Ended	9/28/21 (1) Through
	5/31/23	5/31/22
Ratios/Supplemental Data
Total return, based on NAV(3) (4)	(3.33)%	(10.08)%
Ratios to average net assets:(3)
Gross expenses before waivers/payments by Price Associates	0.31%	0.31% (5)
Net expenses after waivers/payments by Price Associates	0.31%	0.31% (5)
Net investment income	4.14%	2.42% (5)
Portfolio turnover rate(6)	608.3%	456.8%
Portfolio turnover rate, excluding mortgage dollar roll transactions	60.4%	45.1%
Net assets, end of period (in thousands)	$ 28,750	$ 19,933

(1)	Inception date
(2)	Per share amounts calculated using average shares outstanding method.
(3)	See Note 6 for details to expense-related arrangements with Price Associates.
(4)	Total return reflects the rate that an investor would have earned on an investment in the fund during each each period, assuming reinvestment of all distributions. Total return is not annualized for periods less than one year.
(5)	Annualized
(6)	See Note 4. The portfolio turnover rate calculation includes purchases and sales from the mortgage dollar roll transactions.

The accompanying notes are an integral part of these financial statements.

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May 31, 2023

PORTFOLIO OF INVESTMENTS‡	Par/Shares	$ Value
(Amounts in 000s)
ASSET-BACKED SECURITIES 14.3%
Car Loan 2.3%
Carvana Auto Receivables Trust, Series 2022-N1, Class D, 4.13%, 12/11/28 (1)	55	52
Carvana Auto Receivables Trust, Series 2022-P1, Class C, 3.30%, 4/10/28	30	27
Exeter Automobile Receivables Trust, Series 2022-6A, Class A3, 5.70%, 8/17/26	5	5
Exeter Automobile Receivables Trust, Series 2023-1A, Class D, 6.69%, 6/15/29	5	5
Ford Credit Auto Owner Trust, Series 2021-A, Class C, 0.83%, 8/15/28	70	65
GM Financial Automobile Leasing Trust, Series 2022-3, Class C, 5.13%, 8/20/26	40	39
GM Financial Automobile Leasing Trust, Series 2023-1, Class C, 5.76%, 1/20/27	100	100
GM Financial Consumer Automobile Receivables Trust, Series 2023-1, Class B, 5.03%, 9/18/28	10	10
Santander Bank NA, Series 2022-B, Class B, 5.721%, 8/16/32 (1)	158	157
Santander Drive Auto Receivables Trust, Series 2020-4, Class D, 1.48%, 1/15/27	100	96
Santander Drive Auto Receivables Trust, Series 2022-5, Class C, 4.74%, 10/16/28	35	34
Santander Drive Auto Receivables Trust, Series 2022-6, Class C, 4.96%, 11/15/28	55	54
Santander Retail Auto Lease Trust, Series 2022-B, Class B, 3.85%, 3/22/27 (1)	20	19
		663
Other Asset-Backed Securities 11.6%
Axis, Series 2022-1A, Class D, 2.91%, 8/21/28 (1)	100	90
Axis, Series 2022-2A, Class A2, 5.30%, 6/21/28 (1)	94	93
CIFC Funding, Series 2019-5A, Class BR, CLO, FRN, 3M USD LIBOR + 2.15%, 7.41%, 1/15/35 (1)	250	238
Cologix Canadian Issuer, Series 2022-1CAN, Class A2, 4.94%, 1/25/52 (CAD) (1)	45	30

18

T. ROWE PRICE TOTAL RETURN ETF

	Par/Shares	$ Value
(Amounts in 000s)
FirstKey Homes, Series 2020-SFR1, Class A, 1.339%, 8/17/37 (1)	99	90
FOCUS Brands Funding, Series 2017-1A, Class A2II, 5.093%, 4/30/47 (1)	146	135
FOCUS Brands Funding, Series 2022-1, Class A2, 7.206%, 7/30/52 (1)	50	50
GreatAmerica Leasing Receivables Funding, Series 2021-2, Class A3, 0.67%, 7/15/25	65	62
Hardee's Funding, Series 2018-1A, Class A2II, 4.959%, 6/20/48 (1)	33	32
Hardee's Funding, Series 2021-1A, Class A2, 2.865%, 6/20/51 (1)	98	78
Hilton Grand Vacations Trust, Series 2020-AA, Class C, 6.42%, 2/25/39 (1)	104	102
Home Partners of America Trust, Series 2021-1, Class A, 3.93%, 4/17/39 (1)	95	90
HPS Loan Management, Series 2021-16A, Class A1, CLO, FRN, 3M USD LIBOR + 1.14%, 6.413%, 1/23/35 (1)	250	243
KKR, Series 13, Class B1R, CLO, FRN, 3M USD LIBOR + 1.15%, 6.41%, 1/16/28 (1)	250	246
KKR, Series 36A, Class A, CLO, FRN, 3M USD LIBOR + 1.18%, 6.44%, 10/15/34 (1)	250	244
Kubota Credit Owner Trust, Series 2023-1A, Class A4, 5.07%, 2/15/29 (1)	50	50
MVW, Series 2023-1A, Class B, 5.42%, 10/20/40 (1)	98	97
New Economy Assets Phase 1 Sponsor, Series 2021-1, Class B1, 2.41%, 10/20/61 (1)	100	84
Octane Receivables Trust, Series 2022-2A, Class A, 5.11%, 2/22/28 (1)	67	66
Octane Receivables Trust, Series 2023-1A, Class A, 5.87%, 5/21/29 (1)	88	88
Peace Park CLO, Series 2021-1A, Class B1, CLO, FRN, 3M USD LIBOR + 1.60%, 6.85%, 10/20/34 (1)	250	240
Progress Residential Trust, Series 2020-SFR3, Class B, 1.495%, 10/17/27 (1)	100	91
Progress Residential Trust, Series 2023-SFR1, Class B, 4.65%, 3/17/40 (1)	100	95
Symphony Static, Series 2021-1A, Class C, CLO, FRN, 3M USD LIBOR + 1.85%, 7.105%, 10/25/29 (1)	250	236

19

T. ROWE PRICE TOTAL RETURN ETF

	Par/Shares	$ Value
(Amounts in 000s)
Tricon American Homes, Series 2019-SFR1, Class D, 3.198%, 3/17/38 (1)	100	93
Wellfleet, Series 2017-2A, Class A1R, CLO, FRN, 3M USD LIBOR + 1.06%, 6.31%, 10/20/29 (1)	141	140
Wellfleet, Series 2021-3A, Class B, CLO, FRN, 3M USD LIBOR + 1.80%, 7.06%, 1/15/35 (1)	250	240
		3,343
Student Loan 0.4%
SMB Private Education Loan Trust, Series 2022-D, Class B, 6.15%, 10/15/58 (1)	100	99
		99
Total Asset-Backed Securities (Cost $4,236)		4,105
BANK LOANS 6.5%
FINANCIAL INSTITUTIONS 0.9%
Brokerage Asset Managers Exchanges 0.1%
Citadel Securities, FRN, 1M TSFR + 3.00%, 8.10%, 2/2/28	20	20
		20
Insurance 0.8%
Acrisure, FRN, 3M TSFR + 5.75%, 10.82%, 2/15/27	20	20
Asurion, FRN, 1M USD LIBOR + 3.25%, 8.40%, 12/23/26	15	13
Asurion, FRN, 1M USD LIBOR + 5.25%, 10.40%, 1/31/28	25	21
Asurion, FRN, 1M USD LIBOR + 5.25%, 10.40%, 1/20/29	70	57
Asurion, FRN, 1M TSFR + 4.25%, 9.50%, 8/19/28	10	9
Hub International, FRN, 3M USD LIBOR + 3.25%, 8.41%, 4/25/25	69	68
Hub International, FRN, 3M TSFR + 4.00%, 9.07%, 11/10/29	35	34
Ryan Specialty Group, FRN, 1M TSFR + 3.00%, 8.25%, 9/1/27	15	15
		237
Total Financial Institutions		257

20

T. ROWE PRICE TOTAL RETURN ETF

	Par/Shares	$ Value
(Amounts in 000s)
INDUSTRIAL 5.5%
Capital Goods 0.8%
Brookfield WEC Holdings, FRN, 1M TSFR + 3.75%, 8.90%, 8/1/25	25	25
Charter Next Generation, FRN, 1M TSFR + 3.75%, 9.02%, 12/1/27	44	43
Dynasty Acquisition, B-1, FRN, 1M TSFR + 3.50%, 4/6/26 (2)	20	19
Dynasty Acquisition, B-2, FRN, 1M TSFR + 3.50%, 4/6/26 (2)	10	10
Engineered Machinery Holdings, FRN, 3M USD LIBOR + 6.50%, 11.66%, 5/21/29	25	23
Engineered Machinery Holdings, FRN, 3M USD LIBOR + 6.00%, 11.16%, 5/21/29	15	14
Filtration Group, FRN, 1M TSFR + 3.50%, 8.77%, 10/21/28	15	14
Filtration Group , FRN, 1M TSFR + 4.25%, 9.46%, 5/19/28	59	59
Madison IAQ, FRN, 6M USD LIBOR + 3.25%, 8.30%, 6/21/28	10	9
TK Elevator U.S. Newco, FRN, 6M USD LIBOR + 3.50%, 8.60%, 7/30/27	19	19
		235
Communications 0.1%
Clear Channel Outdoor Holdings, FRN, 3M USD LIBOR + 3.50%, 8.81%, 8/21/26	15	14
Intelsat Jackson Holdings, FRN, 3M TSFR + 4.25%, 9.44%, 2/1/29	15	15
		29
Consumer Cyclical 1.2%
Caesars Entertainment, FRN, 1M TSFR + 3.25%, 8.50%, 2/6/30	20	20
CNT Holdings l, FRN, 3M TSFR + 3.50%, 8.46%, 11/8/27	5	5
CNT Holdings l, FRN, 3M TSFR + 6.75%, 11.71%, 11/6/28	5	5
Dave & Buster's, FRN, 1M TSFR + 5.00%, 10.31%, 6/29/29	15	15
Formula One Holdings, FRN, 1M TSFR + 3.00%, 8.15%, 1/15/30	50	50
IRB Holdings, FRN, 1M TSFR + 3.00%, 8.25%, 12/15/27	25	24

21

T. ROWE PRICE TOTAL RETURN ETF

	Par/Shares	$ Value
(Amounts in 000s)
K-Mac Holdings, FRN, 1M USD LIBOR + 6.75%, 11.99%, 7/20/29 (3)	10	9
Life Time Fitness, FRN, 3M TSFR + 4.50%, 9.80%, 1/15/26	25	25
PetSmart, FRN, 1M TSFR + 3.75%, 9.00%, 2/11/28	10	9
Scientific Games Holdings, FRN, 3M TSFR + 3.50%, 8.42%, 4/4/29	15	14
SeaWorld Parks & Entertainment, FRN, 1M USD LIBOR + 3.00%, 8.19%, 8/25/28	10	10
Tacala, FRN, 1M USD LIBOR + 3.50%, 8.65%, 2/5/27	15	14
UFC Holdings, FRN, 3M USD LIBOR + 2.75%, 8.05%, 4/29/26	63	62
Wand Newco 3, FRN, 1M USD LIBOR + 2.75%, 7.90%, 2/5/26	35	34
Woof Holdings, FRN, 3M USD LIBOR + 7.25%, 12.42%, 12/21/28 (3)	40	32
		328
Consumer Non-Cyclical 0.6%
Bausch & Lomb, FRN, 3M TSFR + 3.25%, 8.46%, 5/10/27	15	14
Gainwell Acquisition, FRN, 3M TSFR + 4.00%, 9.00%, 10/1/27	24	23
Maravai Intermediate Holdings, FRN, 3M TSFR + 3.00%, 8.03%, 10/19/27	9	9
Organon, FRN, 1M USD LIBOR + 3.00%, 8.25%, 6/2/28	13	13
Parexel International, FRN, 1M USD LIBOR + 3.25%, 8.40%, 11/15/28	15	14
Parexel International, FRN, 1M USD LIBOR + 6.50%, 11.65%, 11/15/29 (3)	15	14
PetVet Care Centers, FRN, 1M USD LIBOR + 6.25%, 11.40%, 2/13/26	40	36
PetVet Care Centers, FRN, 1M TSFR + 5.00%, 10.15%, 2/14/25	20	19
Sunshine Luxembourg VII, FRN, 3M USD LIBOR + 3.75%, 8.91%, 10/1/26	24	24
Surgery Center Holdings, FRN, 3M USD LIBOR + 3.75%, 8.86%, 8/31/26	15	15
		181
Energy 0.2%
Brazos Delaware II, FRN, 1M TSFR + 3.75%, 8.80%, 2/11/30	20	20

22

T. ROWE PRICE TOTAL RETURN ETF

	Par/Shares	$ Value
(Amounts in 000s)
CQP Holdco, FRN, 3M USD LIBOR + 3.50%, 8.66%, 6/5/28	15	15
Prairie ECI Acquiror, FRN, 1M USD LIBOR + 4.75%, 9.90%, 3/11/26	15	15
		50
Industrial Other 0.1%
Pike, FRN, 1M TSFR + 3.00%, 8.27%, 1/21/28	15	15
Pike, FRN, 1M TSFR + 3.50%, 8.65%, 1/21/28	20	20
		35
Technology 2.3%
Applied Systems, FRN, 3M TSFR + 6.75%, 11.65%, 9/17/27	45	45
Applied Systems, FRN, 3M TSFR + 4.50%, 9.40%, 9/18/26	65	65
Ascend Learning, FRN, 1M TSFR + 3.50%, 8.75%, 12/11/28	15	13
Ascend Learning, FRN, 1M TSFR + 5.75%, 11.00%, 12/10/29	40	34
Athenahealth, FRN, 1M TSFR + 3.50%, 8.60%, 2/15/29	35	33
Athenahealth, FRN, 1M TSFR + 3.50%, 8.30%, 2/15/29 (4)	4	4
Banff Merger Sub, FRN, 1M USD LIBOR + 5.50%, 10.65%, 2/27/26	15	14
Boxer Parent, FRN, 1M USD LIBOR + 3.75%, 8.90%, 10/2/25	15	15
CDK Global, FRN, 3M TSFR + 4.25%, 9.15%, 7/6/29	20	20
CoreLogic, FRN, 1M USD LIBOR + 6.50%, 11.69%, 6/4/29	20	15
Epicor Software, FRN, 1M TSFR + 3.75%, 8.52%, 7/30/27	59	58
Epicor Software, FRN, 1M TSFR + 7.75%, 13.00%, 7/31/28	25	25
McAfee, FRN, 1M TSFR + 3.75%, 9.01%, 3/1/29	15	14
Neptune Bidco, FRN, 3M TSFR + 5.00%, 10.00%, 4/11/29	15	13
Nortonlifelock, FRN, 1M TSFR + 1.75%, 7.00%, 9/10/27	15	14
Peraton, FRN, 1M TSFR + 3.75%, 9.00%, 2/1/28	14	13
Peraton, FRN, 3M TSFR + 7.75%, 12.98%, 2/1/29	24	23
RealPage, FRN, 1M USD LIBOR + 3.00%, 8.15%, 4/24/28	20	19
RealPage, FRN, 1M USD LIBOR + 6.50%, 11.65%, 4/23/29	30	28
Sophia, FRN, 1M TSFR + 4.25%, 9.40%, 10/7/27	20	19
Tibco Software, FRN, 3M TSFR + 4.50%, 3/30/29 (2)	10	9
UKG, FRN, 3M TSFR + 3.25%, 8.27%, 5/4/26	74	71
UKG, FRN, 1M TSFR + 4.25%, 10.27%, 5/3/27	90	85

23

T. ROWE PRICE TOTAL RETURN ETF

	Par/Shares	$ Value
(Amounts in 000s)
Verscend Holding, FRN, 1M USD LIBOR + 4.00%, 9.15%, 8/27/25	10	10
		659
Transportation 0.2%
AAdvantage Loyalty IP, FRN, 3M USD LIBOR + 4.75%, 10.00%, 4/20/28	25	25
Mileage Plus Holdings, FRN, 3M USD LIBOR + 5.25%, 10.21%, 6/21/27	38	39
		64
Total Industrial		1,581
UTILITY 0.1%
Electric 0.1%
PG&E, FRN, 1M USD LIBOR + 3.00%, 8.19%, 6/23/25	30	29
		29
Total Utility		29
Total Bank Loans (Cost $1,931)		1,867
CONVERTIBLE PREFERRED STOCKS 0.1%
INDUSTRIAL 0.1%
Consumer Non-Cyclical 0.1
Becton Dickinson & Company, Series B, 6.00%, 6/1/23	—	19
		19
Total Industrial		19
UTILITY 0.0%
Electric 0.0
NextEra Energy, 6.926%, 9/1/25 (5)	—	16
		16
Total Utility		16
Total Convertible Preferred Stocks (Cost $37)		35

24

T. ROWE PRICE TOTAL RETURN ETF

	Par/Shares	$ Value
(Amounts in 000s)
CORPORATE BONDS 17.4%
FINANCIAL INSTITUTIONS 4.6%
Banking 2.2%
Bangkok Bank, VR, 3.466%, 9/23/36 (6)	200	162
Bank of America, VR, 1.898%, 7/23/31 (6)	40	32
Bank of America, VR, 2.972%, 2/4/33 (6)	20	17
Bank of America, VR, 4.948%, 7/22/28 (6)	45	45
Capital One Financial, VR, 2.359%, 7/29/32 (6)	16	11
Capital One Financial, VR, 3.273%, 3/1/30 (6)	55	47
Capital One Financial, VR, 5.468%, 2/1/29 (6)	24	23
Citigroup, VR, 6.174%, 5/25/34	25	25
Fifth Third Bancorp, 2.375%, 1/28/25	10	9
Fifth Third Bancorp, 2.55%, 5/5/27	5	4
Fifth Third Bancorp, 3.95%, 3/14/28	35	32
Goldman Sachs Group, VR, 3.102%, 2/24/33 (6)	40	34
Goldman Sachs Group, VR, 3.615%, 3/15/28 (6)	55	52
Goldman Sachs Group, VR, 4.482%, 8/23/28 (6)	14	14
Huntington Bancshares, 2.625%, 8/6/24	40	37
Morgan Stanley, VR, 3.622%, 4/1/31 (6)	60	54
Santander Holdings USA, VR, 2.49%, 1/6/28 (6)	2	2
US Bancorp, VR, 4.839%, 2/1/34 (5)(6)	20	19
Wells Fargo, VR, 2.572%, 2/11/31 (6)	30	25
		644
Brokerage Asset Managers Exchanges 0.2%
AG TTMT Escrow Issuer, 8.625%, 9/30/27 (1)	10	10
Aretec Escrow Issuer, 7.50%, 4/1/29 (1)	10	8
Intercontinental Exchange, 4.35%, 6/15/29	30	30
		48
Finance Companies 0.0%
Navient, 5.00%, 3/15/27	15	13

25

T. ROWE PRICE TOTAL RETURN ETF

	Par/Shares	$ Value
(Amounts in 000s)
Navient, 9.375%, 7/25/30	5	5
		18
Financial Other 0.1%
Howard Hughes, 4.125%, 2/1/29 (1)	10	8
Howard Hughes, 5.375%, 8/1/28 (1)	25	22
		30
Insurance 1.5%
Acrisure, 7.00%, 11/15/25 (1)	15	14
Acrisure, 10.125%, 8/1/26 (1)(5)	35	35
Alliant Holdings Intermediate, 6.75%, 10/15/27 (1)	75	70
AmWINS Group, 4.875%, 6/30/29 (1)	29	26
AXA Equitable Holdings, 4.35%, 4/20/28	25	24
Centene, 2.50%, 3/1/31	30	24
Centene, 3.00%, 10/15/30	10	8
Centene, 3.375%, 2/15/30	20	17
Centene, 4.625%, 12/15/29	15	14
Enact Holdings, 6.50%, 8/15/25 (1)	20	19
Hub International, 5.625%, 12/1/29 (1)(5)	15	13
Hub International, 7.00%, 5/1/26 (1)	25	25
Jones Deslauriers Insurance Management, 8.50%, 3/15/30 (1)	25	25
Jones Deslauriers Insurance Management, 10.50%, 12/15/30 (1)	40	40
Molina Healthcare, 4.375%, 6/15/28 (1)	15	14
UnitedHealth Group, 5.05%, 4/15/53	55	54
		422
Real Estate Investment Trusts 0.6%
Alexandria Real Estate Equities, 4.90%, 12/15/30	35	34
Brixmor Operating Partnership, 3.90%, 3/15/27	25	23
Brixmor Operating Partnership, 4.05%, 7/1/30	20	18
Brixmor Operating Partnership, 4.125%, 5/15/29	30	27
HAT Holdings I, 6.00%, 4/15/25 (1)(5)	27	26
Healthcare Realty Holdings, 2.40%, 3/15/30	5	4

26

T. ROWE PRICE TOTAL RETURN ETF

	Par/Shares	$ Value
(Amounts in 000s)
Kilroy Realty, 4.25%, 8/15/29	40	34
		166
Total Financial Institutions		1,328
INDUSTRIAL 11.8%
Basic Industry 0.4%
Avient, 7.125%, 8/1/30 (1)	16	16
Carpenter Technology, 7.625%, 3/15/30	15	15
Celanese US Holdings, 6.05%, 3/15/25	20	20
Celanese US Holdings, 6.165%, 7/15/27	20	20
Diamond BC BV, 4.625%, 10/1/29 (1)(5)	2	2
GPD, 10.125%, 4/1/26 (1)	10	9
Methanex, 5.125%, 10/15/27	5	5
South32 Treasury, 4.35%, 4/14/32 (1)	15	13
TMS International, 6.25%, 4/15/29 (1)	30	24
		124
Capital Goods 1.1%
Ball, 6.875%, 3/15/28	15	16
Emerald Debt Merger Sub, 6.625%, 12/15/30 (1)	25	25
GFL Environmental, 5.125%, 12/15/26 (1)	2	2
Madison IAQ, 5.875%, 6/30/29 (1)	25	19
New Enterprise Stone & Lime, 5.25%, 7/15/28 (1)	15	13
Regal Rexnord, 6.05%, 2/15/26 (1)	15	15
Ritchie Bros Holdings, 6.75%, 3/15/28 (1)	5	5
Ritchie Bros Holdings, 7.75%, 3/15/31 (1)	5	5
Sealed Air, 5.00%, 4/15/29 (1)(5)	5	5
Sealed Air, 6.125%, 2/1/28 (1)	5	5
Sealed Air, 6.875%, 7/15/33 (1)	10	10
TransDigm, 6.75%, 8/15/28 (1)	10	10
Vertical Holdco, 7.625%, 7/15/28 (1)	200	175
		305

27

T. ROWE PRICE TOTAL RETURN ETF

	Par/Shares	$ Value
(Amounts in 000s)
Communications 1.7%
AT&T, 3.50%, 9/15/53	35	24
CCO Holdings, 4.25%, 2/1/31 (1)	10	8
CCO Holdings, 5.375%, 6/1/29 (1)	5	4
CCO Holdings, 6.375%, 9/1/29 (1)	25	23
CCO Holdings, 7.375%, 3/1/31 (1)	5	5
Clear Channel Outdoor Holdings, 7.50%, 6/1/29 (1)	10	7
Clear Channel Outdoor Holdings, 7.75%, 4/15/28 (1)(5)	15	11
DISH DBS, 5.25%, 12/1/26 (1)	5	4
DISH DBS, 5.75%, 12/1/28 (1)	5	4
DISH DBS, 7.75%, 7/1/26	5	3
DISH Network, 11.75%, 11/15/27 (1)	25	24
iHeartCommunications, 8.375%, 5/1/27	15	8
Midas Opco Holdings, 5.625%, 8/15/29 (1)	30	26
Netflix, 6.375%, 5/15/29	20	21
Rogers Communications, 3.20%, 3/15/27 (1)	7	6
Rogers Communications , 3.80%, 3/15/32 (1)	45	40
Sirius XM Radio, 4.00%, 7/15/28 (1)	15	13
Sprint, 7.625%, 3/1/26	10	10
Sprint Capital, 6.875%, 11/15/28	10	11
T-Mobile USA, 3.875%, 4/15/30	75	69
T-Mobile USA, 5.20%, 1/15/33	40	40
T-Mobile USA, 5.75%, 1/15/54	35	36
Townsquare Media, 6.875%, 2/1/26 (1)	25	23
Univision Communications, 7.375%, 6/30/30 (1)	12	11
Verizon Communications, 2.355%, 3/15/32	15	12
Verizon Communications, 2.987%, 10/30/56	21	13
Warnermedia Holdings, 3.755%, 3/15/27	45	42
		498
Consumer Cyclical 3.6%
Adient Global Holdings, 8.25%, 4/15/31 (1)	20	20
At Home Group, 4.875%, 7/15/28 (1)	8	4

28

T. ROWE PRICE TOTAL RETURN ETF

	Par/Shares	$ Value
(Amounts in 000s)
Bath & Body Works, 6.625%, 10/1/30 (1)	10	10
Bath & Body Works, 6.75%, 7/1/36	5	4
Bath & Body Works, 6.95%, 3/1/33	5	5
Caesars Entertainment, 7.00%, 2/15/30 (1)	25	25
Caesars Entertainment, 8.125%, 7/1/27 (1)(5)	40	41
Carnival, 7.625%, 3/1/26 (1)(5)	30	28
Carnival, 9.875%, 8/1/27 (1)	10	10
Carnival, 10.50%, 6/1/30 (1)	25	25
CCM Merger, 6.375%, 5/1/26 (1)	5	5
Cedar Fair, 6.50%, 10/1/28	25	25
Churchill Downs, 6.75%, 5/1/31 (1)	20	20
Cinemark USA, 5.875%, 3/15/26 (1)	20	19
Clarios Global, 6.75%, 5/15/28 (1)(5)	27	27
Clarios Global, 8.50%, 5/15/27 (1)	40	40
Cushman & Wakefield US Borrower, 6.75%, 5/15/28 (1)(5)	10	9
Dave & Buster's, 7.625%, 11/1/25 (1)(5)	18	18
Ford Motor, 6.10%, 8/19/32 (5)	50	47
Ford Motor, 6.625%, 10/1/28 (5)	10	10
Ford Motor, 9.625%, 4/22/30	20	23
Goodyear Tire & Rubber, 5.00%, 7/15/29	25	22
Goodyear Tire & Rubber, 5.25%, 7/15/31 (5)	5	4
Hilton Domestic Operating, 4.00%, 5/1/31 (1)	5	4
Home Depot, 2.375%, 3/15/51	25	15
Hyundai Capital America, 5.50%, 3/30/26 (1)	15	15
Hyundai Capital America, 5.60%, 3/30/28 (1)	45	45
L Brands, 9.375%, 7/1/25 (1)(5)	10	11
Life Time, 5.75%, 1/15/26 (1)	13	13
Life Time, 8.00%, 4/15/26 (1)(5)	17	17
Live Nation Entertainment, 4.75%, 10/15/27 (1)	15	14
Lowe's Cos, 5.75%, 7/1/53	10	10
Marriott International, 5.00%, 10/15/27	20	20
Match Group, 4.125%, 8/1/30 (1)	5	4
Match Group, 4.625%, 6/1/28 (1)	5	5

29

T. ROWE PRICE TOTAL RETURN ETF

	Par/Shares	$ Value
(Amounts in 000s)
Match Group, 5.00%, 12/15/27 (1)	22	21
Melco Resorts Finance, 5.75%, 7/21/28	200	168
Nissan Motor Acceptance, 1.85%, 9/16/26 (1)	10	8
Rivian Automotive, 4.625%, 3/15/29 (1)	5	5
Rivian Holdings, 6M USD LIBOR + 5.63%, 10.931%, 10/15/26 (1)	55	54
Ross Stores, 1.875%, 4/15/31	60	48
Royal Caribbean Cruises, 5.50%, 8/31/26 (1)	10	9
Royal Caribbean Cruises, 11.625%, 8/15/27 (1)	25	27
Scientific Games International, 7.25%, 11/15/29 (1)	15	15
SeaWorld Parks & Entertainment, 5.25%, 8/15/29 (1)(5)	29	26
Staples, 7.50%, 4/15/26 (1)	5	4
Staples, 10.75%, 4/15/27 (1)	10	6
Wolverine World Wide, 4.00%, 8/15/29 (1)	15	12
Yum! Brands, 5.375%, 4/1/32	30	28
		1,045
Consumer Non-Cyclical 1.6%
AbbVie, 4.25%, 11/21/49	50	42
Amgen, 4.875%, 3/1/53	25	23
Amgen, 5.25%, 3/2/30	10	10
Anheuser-Busch InBev Worldwide, 5.55%, 1/23/49	30	31
Avantor Funding, 4.625%, 7/15/28 (1)	15	14
BAT International Finance, 4.448%, 3/16/28	25	24
Becton Dickinson & Company, 3.794%, 5/20/50	8	6
Charles River Laboratories, 4.00%, 3/15/31 (1)(5)	10	9
CHS/Community Health Systems, 6.875%, 4/15/29 (1)	15	8
CHS/Community Health Systems, 8.00%, 12/15/27 (1)(5)	10	9
CVS Health, 5.625%, 2/21/53	25	24
Darling Ingredients, 6.00%, 6/15/30 (1)	7	7
Hadrian Merger, 8.50%, 5/1/26 (1)	5	4
HCA, 3.125%, 3/15/27 (1)	10	9
HCA, 3.50%, 9/1/30	35	31
HCA, 5.375%, 9/1/26	30	30

30

T. ROWE PRICE TOTAL RETURN ETF

	Par/Shares	$ Value
(Amounts in 000s)
HCA, 5.875%, 2/15/26	5	5
Legacy LifePoint Health, 6.75%, 4/15/25 (1)(5)	10	9
Pfizer Investment Enterprises, 5.30%, 5/19/53	40	41
Select Medical, 6.25%, 8/15/26 (1)	11	11
Surgery Center Holdings, 10.00%, 4/15/27 (1)	15	15
Syneos Health, 3.625%, 1/15/29 (1)(5)	15	15
Tenet Healthcare, 6.125%, 10/1/28 (5)	20	19
Tenet Healthcare, 6.125%, 6/15/30 (1)	15	15
Tenet Healthcare, 6.875%, 11/15/31	20	19
Utah Acquisition Sub, 3.95%, 6/15/26	40	38
		468
Energy 2.1%
Aethon United Finance, 8.25%, 2/15/26 (1)	15	15
Amerada Hess, 7.125%, 3/15/33	5	5
Chesapeake Energy, 5.50%, 2/1/26 (1)	15	15
Chesapeake Energy, 5.875%, 2/1/29 (1)	5	5
Continental Resources, 4.90%, 6/1/44	10	7
Crescent Energy Finance, 9.25%, 2/15/28 (1)	20	19
Crestwood Midstream Partners, 7.375%, 2/1/31 (1)	15	15
DCP Midstream Operating, 8.125%, 8/16/30	10	11
Energean Israel Finance, 4.875%, 3/30/26 (1)	30	28
Ferrellgas, 5.375%, 4/1/26 (1)	15	14
Hess, 7.30%, 8/15/31	5	5
Hilcorp Energy, 5.75%, 2/1/29 (1)	5	5
Hilcorp Energy, 6.00%, 4/15/30 (1)	30	27
Hilcorp Energy, 6.00%, 2/1/31 (1)	5	4
Kinetik Holdings, 5.875%, 6/15/30 (1)	25	24
Magnolia Oil & Gas Operating, 6.00%, 8/1/26 (1)	35	34
NGL Energy Operating, 7.50%, 2/1/26 (1)	15	14
NuStar Logistics, 5.75%, 10/1/25	10	10
NuStar Logistics, 6.00%, 6/1/26	25	24
Occidental Petroleum, 6.20%, 3/15/40	5	5
Occidental Petroleum, 6.45%, 9/15/36	10	10

31

T. ROWE PRICE TOTAL RETURN ETF

	Par/Shares	$ Value
(Amounts in 000s)
Occidental Petroleum, 7.50%, 5/1/31	10	11
Occidental Petroleum, 7.95%, 6/15/39	10	11
Occidental Petroleum, 8.50%, 7/15/27	10	11
Occidental Petroleum, 8.875%, 7/15/30	30	34
Ovintiv, 5.65%, 5/15/28	25	25
Tallgrass Energy Partners, 6.00%, 3/1/27 (1)	17	16
Tallgrass Energy Partners, 7.50%, 10/1/25 (1)	10	10
Targa Resources Partners, 4.00%, 1/15/32	10	9
Targa Resources Partners, 4.875%, 2/1/31 (1)	10	9
Targa Resources Partners, 5.50%, 3/1/30	12	12
Targa Resources Partners, 6.875%, 1/15/29	20	20
Venture Global Calcasieu, 3.875%, 11/1/33 (1)	10	8
Venture Global Calcasieu, 6.25%, 1/15/30 (1)	10	10
Venture Global LNG, 8.125%, 6/1/28 (1)	35	35
Venture Global LNG, 8.375%, 6/1/31 (1)	55	55
Vermilion Energy, 6.875%, 5/1/30 (1)	20	18
		590
Industrial Other 0.0%
Pike, 5.50%, 9/1/28 (1)	15	13
		13
Technology 0.9%
Boxer Parent, 9.125%, 3/1/26 (1)	15	15
Capstone Borrower, 8.00%, 6/15/30 (1)	10	10
CDW, 2.67%, 12/1/26	10	9
Central Parent, 7.25%, 6/15/29 (1)	15	15
Cloud Software Group, 9.00%, 9/30/29 (1)	10	8
Entegris Escrow, 5.95%, 6/15/30 (1)	25	24
Equifax, 5.10%, 12/15/27	30	30
Gen Digital, 6.75%, 9/30/27 (1)	10	10
Gen Digital, 7.125%, 9/30/30 (1)(5)	10	10
Micron Technology, 5.875%, 9/15/33	20	20
Minerva Merger, 6.50%, 2/15/30 (1)(5)	25	20

32

T. ROWE PRICE TOTAL RETURN ETF

	Par/Shares	$ Value
(Amounts in 000s)
MSCI, 3.875%, 2/15/31 (1)	5	4
Neptune Bidco, 9.29%, 4/15/29 (1)	5	4
Oracle, 6.90%, 11/9/52	20	22
Presidio Holdings, 8.25%, 2/1/28 (1)(5)	15	14
Sabre GLBL, 9.25%, 4/15/25 (1)	3	3
Sabre GLBL, 11.25%, 12/15/27 (1)(5)	5	4
Verscend Escrow EC, 9.75%, 8/15/26 (1)	10	10
Visa, 2.00%, 8/15/50	30	18
Workday, 3.80%, 4/1/32	10	9
		259
Transportation 0.4%
American Airlines, 5.50%, 4/20/26 (1)	30	29
American Airlines, 5.75%, 4/20/29 (1)	20	19
American Airlines, 11.75%, 7/15/25 (1)	30	33
United Airlines, 4.625%, 4/15/29 (1)	5	5
Watco, 6.50%, 6/15/27 (1)	20	19
		105
Total Industrial		3,407
UTILITY 1.0%
Electric 1.0%
Edison International, 6.95%, 11/15/29	20	21
NextEra Energy Capital Holdings, 4.625%, 7/15/27	30	30
Pacific Gas & Electric, 2.50%, 2/1/31	45	36
Pacific Gas and Electric, 6.70%, 4/1/53	20	19
PG&E, 5.00%, 7/1/28 (5)	15	14
Talen Energy Supply, 8.625%, 6/1/30 (1)	15	15
Terraform Global Operating, 6.125%, 3/1/26 (1)	14	14
Vistra, VR, 7.00%, (1)(6)(7)	30	26
Vistra, VR, 8.00%, (1)(6)(7)	76	71
Vistra Operations, 5.125%, 5/13/25 (1)	25	24
		270

33

T. ROWE PRICE TOTAL RETURN ETF

	Par/Shares	$ Value
(Amounts in 000s)
Natural Gas 0.0%
NiSource, 5.25%, 3/30/28	5	5
		5
Total Utility		275
Total Corporate Bonds (Cost $5,322)		5,010
FOREIGN GOVERNMENT OBLIGATIONS & MUNICIPALITIES 3.0%
Owned No Guarantee 0.0%
CITGO Petroleum, 7.00%, 6/15/25 (1)	10	10
		10
Sovereign 0.5%
Ivory Coast Government International Bond, 5.875%, 10/17/31	100	87
Serbia International Bond, 1.65%, 3/3/33	100	69
		156
Treasuries 2.5%
Brazil Notas do Tesouro Nacional, 10.00%, 1/1/27	2,450	470
Israel Government Bond, 3.75%, 3/31/47	925	236
		706
Total Foreign Government Obligations & Municipalities (Cost $901)		872
MUNICIPAL SECURITIES 0.5%
New York 0.3%
New York State Urban Dev., Series B, 2.50%, 3/15/33	85	69
		69
Puerto Rico 0.2%
Puerto Rico Commonwealth, GO, Series A1, 5.375%, 7/1/25	4	4
Puerto Rico Commonwealth, GO, Series A1, 5.625%, 7/1/27	4	4
Puerto Rico Commonwealth, GO, Series A1, 5.625%, 7/1/29	4	4
Puerto Rico Commonwealth, GO, Series A1, 4.00%, 7/1/33	3	3

34

T. ROWE PRICE TOTAL RETURN ETF

	Par/Shares	$ Value
(Amounts in 000s)
Puerto Rico Commonwealth, GO, Series A1, 4.00%, 7/1/35	3	2
Puerto Rico Commonwealth, GO, Series A1, 4.00%, 7/1/37	2	2
Puerto Rico Commonwealth, GO, Series A1, 4.00%, 7/1/41	3	3
Puerto Rico Commonwealth, GO, Series A, Zero Coupon, 7/1/24	1	1
Puerto Rico Commonwealth, GO, Series A, Zero Coupon, 7/1/33	4	2
Puerto Rico Commonwealth, VR, GO, Series CW, 1.00%, 11/1/43 (8)	79	39
		64
Total Municipal Securities (Cost $155)		133
NON-U.S. GOVERNMENT MORTGAGE-BACKED SECURITIES 7.1%
Collateralized Mortgage Obligations 4.4%
Angel Oak Mortgage Trust, Series 2022-2, Class A1, CMO, ARM, 3.353%, 1/25/67 (1)	47	43
Connecticut Avenue Securities Trust, Series 2022-R04, Class 1M1, CMO, ARM, SOFR30A + 2.00%, 6.973%, 3/25/42 (1)	15	15
Connecticut Avenue Securities Trust, Series 2022-R08, Class 1M1, CMO, ARM, SOFR30A + 2.55%, 7.523%, 7/25/42 (1)	9	9
Connecticut Avenue Securities Trust, Series 2023-R02, Class 1M1, CMO, ARM, SOFR30A + 2.30%, 7.273%, 1/25/43 (1)	19	19
Ellington Financial Mortgage Trust, Series 2021-3, Class M1, CMO, ARM, 2.53%, 9/25/66 (1)	200	116
Finance of America HECM Buyou, Series 2022-HB2, Class A1A, CMO, ARM, 4.00%, 8/1/32 (1)	87	84
Flagstar Mortgage Trust, Series 2021-11IN, Class A18, CMO, ARM, 2.50%, 11/25/51 (1)	92	72
Freddie Mac STACR REMIC Trust, Series 2022-DNA6, Class M1A, CMO, ARM, SOFR30A + 2.15%, 7.123%, 9/25/42 (1)	13	13
Freddie Mac STACR REMIC Trust, Series 2022-HQA3, Class M1A, CMO, ARM, SOFR30A + 2.30%, 7.273%, 8/25/42 (1)	9	9
Freddie Mac STACR REMIC Trust, Series 2023-DNA1, Class M1A, CMO, ARM, SOFR30A + 2.10%, 7.081%, 3/25/43 (1)	9	9

35

T. ROWE PRICE TOTAL RETURN ETF

	Par/Shares	$ Value
(Amounts in 000s)
GCAT, Series 2021-NQM5, Class A3, CMO, ARM, 1.571%, 7/25/66 (1)	144	115
JP Morgan Mortgage Trust, Series 2020-5, Class B2, CMO, ARM, 3.578%, 12/25/50 (1)	187	157
JP Morgan Mortgage Trust, Series 2020-LTV1, Class B1A, CMO, ARM, 3.284%, 6/25/50 (1)	184	155
Radnor RE, Series 2021-2, Class M1A, CMO, ARM, SOFR30A + 1.85%, 6.823%, 11/25/31 (1)	97	97
Structured Agency Credit Risk Debt Notes, Series 2021-DNA2, Class M2, CMO, ARM, SOFR30A + 2.30%, 7.273%, 8/25/33 (1)	162	161
Verus Securitization Trust, Series 2023-1, Class A1, CMO, ARM, 5.85%, 12/25/67 (1)	96	96
Verus Securitization Trust, Series 2023-3, Class A2, CMO, ARM, 6.438%, 3/25/68 (1)	98	98
		1,268
Commercial Mortgage-Backed Securities 2.5%
BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, Class D, ARM, 1M USD LIBOR + 2.75%, 7.857%, 9/15/38 (1)	200	167
BBCMS Mortgage Trust, Series 2020-BID, Class A, ARM, 1M USD LIBOR + 2.14%, 7.247%, 10/15/37 (1)	50	48
Commercial Mortgage Trust, Series 2015-CR23, Class AM, ARM, 3.801%, 5/10/48	20	19
Commercial Mortgage Trust, Series 2016-CR28, Class B, ARM, 4.605%, 2/10/49	40	36
Commercial Mortgage Trust, Series 2019-C18, Class C, ARM, 3.955%, 12/15/52	145	111
CPS Auto Receivables Trust, Series 2015-GC27, Class AS, ARM, 3.571%, 2/10/48	110	104
GS Mortgage Securities Trust, Series 2019-GC40, Class B, ARM, 3.543%, 7/10/52	80	65
ILPT Commercial Mortgage Trust, Series 2022-LPFX, Class C, ARM, 3.824%, 3/15/32 (1)	100	82
VNDO Trust, Series 2016-350P, Class D, ARM, 3.903%, 1/10/35 (1)	105	92
		724

36

T. ROWE PRICE TOTAL RETURN ETF

	Par/Shares	$ Value
(Amounts in 000s)
Whole Loans Backed 0.2%
Verus Securitization Trust, Series 2021-R3, Class A1, CMO, ARM, 1.02%, 4/25/64 (1)	48	42
Total Non-U.S. Government Mortgage-Backed Securities (Cost $2,390)		2,034
U.S. GOVERNMENT & AGENCY MORTGAGE-BACKED SECURITIES 34.1%
U.S. Government Agency Obligations 30.3%
Federal National Mortgage Assn.
1.50%, 3/1/36 - 1/1/42	129	111
2.00%, 3/1/42 - 4/1/52	1,678	1,387
2.50%, 10/1/36 - 2/1/52	769	672
3.00%, 1/1/33 - 6/1/52	757	682
3.50%, 5/1/35 - 1/1/48	173	162
4.00%, 11/1/37 - 9/1/52	414	394
4.50%, 9/1/49	33	32
5.00%, 11/1/44 - 7/1/47	47	47
6.00%, 12/1/52 - 2/1/53	132	135
Government National Mortgage Assn.
4.00%, 1/20/51	23	22
5.00%, 8/20/52	15	15
Government National Mortgage Assn., TBA (9)
2.00%, 6/20/53	488	414
2.50%, 6/20/53	135	118
3.00%, 6/20/53	60	54
3.50%, 6/20/53	220	204
4.00%, 6/20/53	170	162
4.50%, 6/20/53	115	112
5.50%, 6/20/53	205	205
6.00%, 6/20/53	70	71
6.50%, 7/20/53	30	30
UMBS, TBA (9)
1.50%, 6/15/38	80	70

37

T. ROWE PRICE TOTAL RETURN ETF

	Par/Shares	$ Value
(Amounts in 000s)
2.00%, 6/15/38 - 6/13/53	1,165	994
2.50%, 6/15/38 - 6/13/53	1,195	1,027
3.00%, 6/15/38 - 6/13/53	365	327
3.50%, 6/15/38 - 6/13/53	480	442
4.00%, 6/13/53	75	71
4.50%, 6/13/53	330	320
5.00%, 6/13/53	170	167
5.50%, 6/13/53	160	160
6.50%, 6/13/53	100	102
		8,709
U.S. Government Obligations 3.8%
Government National Mortgage Assn.
2.00%, 7/20/51 - 3/20/52	57	49
2.50%, 8/20/50 - 1/20/52	393	344
3.00%, 10/20/46 - 7/20/51	445	403
3.50%, 4/20/47 - 10/20/50	121	112
4.00%, 6/20/47 - 3/20/50	62	60
4.50%, 10/20/47	23	23
5.00%, 8/20/47	48	48
5.50%, 4/20/48	39	40
7.00%, 12/20/52	25	25
		1,104
Total U.S. Government & Agency Mortgage-Backed Securities (Cost $10,146)		9,813
U.S. GOVERNMENT AGENCY OBLIGATIONS (EXCLUDING MORTGAGE-BACKED) 30.8%
U.S.Treasury Obligations 30.8%
U. S. Treasury Bonds, 1.75%, 8/15/41	890	628
U. S. Treasury Bonds, 2.00%, 8/15/51	1,419	966
U. S. Treasury Bonds, 2.25%, 2/15/52	30	22
U. S. Treasury Bonds, 2.375%, 2/15/42	80	63

38

T. ROWE PRICE TOTAL RETURN ETF

	Par/Shares	$ Value
(Amounts in 000s)
U. S. Treasury Bonds, 2.875%, 5/15/52	55	46
U. S. Treasury Bonds, 3.00%, 8/15/52	325	276
U. S. Treasury Bonds, 3.25%, 5/15/42	130	117
U. S. Treasury Bonds, 3.625%, 2/15/53	305	293
U. S. Treasury Bonds, 3.875%, 2/15/43	115	113
U. S. Treasury Bonds, 4.00%, 11/15/42	155	155
U. S. Treasury Bonds, 4.00%, 11/15/52	280	288
U. S. Treasury Notes, 0.75%, 8/31/26	310	279
U. S. Treasury Notes, 0.875%, 9/30/26 (10)	480	434
U. S. Treasury Notes, 1.50%, 1/31/27	260	238
U. S. Treasury Notes, 1.875%, 2/15/32	145	126
U. S. Treasury Notes, 1.875%, 2/28/27 (10)	895	831
U. S. Treasury Notes, 2.625%, 5/31/27	345	329
U. S. Treasury Notes, 2.75%, 8/15/32	220	205
U. S. Treasury Notes, 2.75%, 7/31/27	320	306
U. S. Treasury Notes, 2.875%, 5/15/32	25	23
U. S. Treasury Notes, 3.125%, 8/31/27	530	514
U. S. Treasury Notes, 3.50%, 1/31/28	95	94
U. S. Treasury Notes, 3.50%, 2/15/33	235	232
U. S. Treasury Notes, 3.875%, 11/30/29	80	81
U. S. Treasury Notes, 3.875%, 11/30/27	160	160
U. S. Treasury Notes, 4.125%, 11/15/32	130	135
U. S. Treasury Notes, 4.125%, 9/30/27	225	227
U. S. Treasury Notes, 4.50%, 11/30/24	25	25
U.S. Treasury Bonds, 3.625%, 5/15/53	155	149
U.S. Treasury Notes, 3.375%, 5/15/33	215	210
U.S. Treasury Notes, 3.625%, 5/31/28	385	383
U.S. Treasury Notes, 3.625%, 3/31/28	675	670
U.S. Treasury Notes, 3.875%, 3/31/25	230	227
		8,845
Total U.S. Government Agency Obligations (Excluding Mortgage-Backed) (Cost $9,748)		8,845

39

T. ROWE PRICE TOTAL RETURN ETF

	Par/Shares	$ Value
(Amounts in 000s)
SHORT-TERM INVESTMENTS 1.7%
Money Market Funds 1.7%
T. Rowe Price Government Reserve Fund, 5.11% (11)(12)	483	483
Total Short-Term Investments (Cost $483)		483
SECURITIES LENDING COLLATERAL 1.4%
Investments in a Pooled Account through Securities Lending Program with State Street Bank 1.4%
Money Market Funds 1.4%
T. Rowe Price Government Reserve Fund, 5.11% (11)(12)	401	401
Total Investments in a Pooled Account through Securities Lending Program with State Street Bank		401
Total Securities Lending Collateral (Cost $401)		401

40

T. ROWE PRICE TOTAL RETURN ETF

(Amounts in 000s, except for contracts)

OPTIONS PURCHASED 0.0%

OTC Options Purchased  0.0%

Counterparty	Description	Contracts	Notional Amount	Value
Barclays Bank PLC	Credit Default Swap, Protection Bought (Relevant Credit: Markit CDX.NA.HY-S39, 5 Year Index, 12/20/27), Pay 5.00% Quarterly, Receive upon credit default, 06/21/23 @0.98% *(13)	1	700	1
Morgan Stanley	Credit Default Swap, Protection Bought (Relevant Credit: Markit CDX.NA.CDSI-S40, 5 Year Index, 06/20/28), Pay 5.00% Quarterly, Receive upon credit default, 06/21/23 @1.00% *(13)	1	1,435	6
Total Options Purchased (Cost $17)				7

Total Investments
116.9% of Net Assets (Cost $35,767) $33,605

‡	Par/Shares and Notional Amount are denominated in U.S. dollars unless otherwise noted.
*	Exercise Spread
(1)	Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration only to qualified institutional buyers. Total value of such securities at period-end amounts to $7,774 and represents 27.0% of net assets.

41

T. ROWE PRICE TOTAL RETURN ETF

(2)	All or a portion of this loan is unsettled as of May 31, 2023. The interest rate for unsettled loans will be determined upon settlement after period end.
(3)	Level 3 in fair value hierarchy. See Note 2.
(4)	All or a portion of the position represents an unfunded commitment; a liability to fund the commitment has been recognized. The fund's total unfunded commitments at May 31, 2023, was $4 and was valued at $4 (0.0% of net assets).
(5)	All or a portion of this security is on loan at May 31, 2023. See Note 4.
(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)	Perpetual security with no stated maturity date.
(8)	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.
(9)	To-Be-Announced purchase commitment. Total value of such securities at period-end amounts to $5,050 and represents 17.6% of net assets.
(10)	At May 31, 2023, all or a portion of this security is pledged as collateral and/or margin deposit to cover future funding obligations.
(11)	Seven-day yield
(12)	Affiliated Companies
(13)	Non-income producing.

1M TSFR	One month term SOFR (Secured overnight financing rate)
1M USD LIBOR	One month USD LIBOR (London interbank offered rate)
3M USD LIBOR	Three month USD LIBOR (London interbank offered rate)
3M TSFR	Three month term SOFR (Secured overnight financing rate)
3M NDBB	Three month NZD bank bill
6M USD LIBOR	Six month USD LIBOR (London interbank offered rate)
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.
BRL	Brazilian Real
CAD	Canada Dollar
CLO	Collateralized Loan Obligation
CMO	Collateralized Mortgage Obligation
EC	Escrow CUSIP; represents a beneficial interest in a residual pool of bankruptcy assets; the amount and timing of future distributions, if any, is uncertain; when presented, interest rate and maturity date are those of the original security.
EUR	Euro
FRN	Floating Rate Note
GBP	British Pound
GO	General Obligation
ILS	Israeli Shekel
NZD	New Zealand Dollar

42

T. ROWE PRICE TOTAL RETURN ETF

PLN	Polish Zloty
SOFR	Secured overnight financing rate
SOFR30A	30-day Average term SOFR (Secured Overnight Financing Rate)
TBA	To-Be-Announced
UMBS	Uniform Mortgage-Backed Securities
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.

43

T. ROWE PRICE TOTAL RETURN ETF

(Amounts in 000s, except for contracts)

OPTIONS WRITTEN 0.0%

Exchange-Traded Options Written 0.0%

Description	Contracts	Notional Amount	$ Value
U.S. Treasury ten year futures contracts, Put, 06/23/23 @ $112.50	12	1,374	(4)
Total Exchange-Traded Options Written (Premiums $(4))			(4)
OTC Options Written 0.0%

Counterparty	Description	Contracts	Notional Amount	$ Value
Morgan Stanley	10 Year Interest Rate Swap, 6/23/33 Pay Variable 3.05% (SOFR) Annually, Receive Fixed 3.05% Annually, 6/21/23 @3.05% *	1	230	—
Morgan Stanley	Credit Default Swap, Protection Bought (Relevant Credit: Markit CDX.NA.CDSI-S40, 5 Year Index, 06/20/28), Pay 5.00% Quarterly, Receive upon credit default, 06/21/23 @0.98% *	1	1,435	(2)

44

T. ROWE PRICE TOTAL RETURN ETF

(Amounts in 000s, except for contracts)

Counterparty	Description	Contracts	Notional Amount	$ Value
Morgan Stanley	10 Year Interest Rate Swap, 6/23/33 Pay Fixed 3.05% Annually, Receive Variable 3.05% (SOFR) Annually, 6/21/23 @3.05% *	1	230	(6)
Total OTC Options Written (Premiums $(14))				(8)
Total Options Written (Premiums $(18))				(12)

45

T. ROWE PRICE TOTAL RETURN ETF

(Amounts in 000s)

SWAPS 0.1%

Description	Notional Amount	$ Value	Upfront Payments/ $ (Receipts)	Unrealized $ Gain/(Loss)
BILATERAL SWAPS 0.1%
Credit Default Swaps, Protection Bought 0.2%
Morgan Stanley, Protection Bought (Relevant Credit: Markit CMBX.NA.AAA-S13, 50 Year Index), Pay 0.50% Monthly, Receive upon credit default, 12/16/72	1,324	29	36	(7)
Morgan Stanley, Protection Bought (Relevant Credit: Markit CMBX.NA.AAA-S14, 50 Year Index), Pay 0.50% Monthly, Receive upon credit default, 12/16/72	808	23	28	(5)
Total Bilateral Credit Default Swaps, Protection Bought			64	(12)
Total Return Swaps (0.1)%
BNP Paribas, Pay Underlying Reference: iBoxx EUR Liquid High Yield Index At Maturity, Receive Variable 2.047% (Euribor 3 Month) Quaterly, 06/20/23 (EUR)	482	(7)	—	(7)

46

T. ROWE PRICE TOTAL RETURN ETF

(Amounts in 000s)

Description	Notional Amount	$ Value	Upfront Payments/ $ (Receipts)	Unrealized $ Gain/(Loss)
Morgan Stanley,Pay Underlying Reference: iBoxx USD Liquid Leveraged Loans Index At Maturity, Receive Variable 5.060% (USD SOFR) Quarterly,12/20/23	600	(13)	—	(13)
Morgan Stanley,Pay Underlying Reference: iBoxx USD Liquid Leveraged Loans Index At Maturity, Receive Variable 5.060% (USD SOFR) Quarterly,12/20/23	420	(10)	—	(10)
Goldman Sachs, Pay Underlying Reference: iBoxx EUR Liquid High Yield Index At Maturity, Receive Variable 2.750%(Euribor 3 Month) Quarterly,06/20/23 (EUR)	493	(3)	—	(3)
JPMorgan Chase Bank,Pay Underlying Reference: iBoxx USD Liquid High Yield Index At Maturity, Receive Variable 5.060% (USD SOFR) Quarterly,12/20/23	282	3	—	3

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T. ROWE PRICE TOTAL RETURN ETF

(Amounts in 000s)

Description	Notional Amount	$ Value	Upfront Payments/ $ (Receipts)	Unrealized $ Gain/(Loss)
Morgan Stanley, Receive Underlying Reference: iBoxx USD Liquid Leveraged Loans Index At Maturity, Pay Variable 5.060% (USD SOFR) Annually, 06/20/23	281	—	—	—
Total Bilateral Total Return Swaps			—	(30)
Total Bilateral Swaps			64	(42)

Description	Notional Amount	$ Value	Initial $ Value	Unrealized $ Gain/(Loss)
CENTRALLY CLEARED SWAPS 0.0%
Credit Default Swaps, Protection Bought (0.0)%
Protection Bought (Relevant Credit: Markit CDX.IG.CDSI-S40, 5 Year Index), Pay 1.00% Quarterly, Receive upon credit default, 06/20/28	689	(8)	(6)	(2)
Total Centrally Cleared Credit Default Swaps, Protection Bought				(2)
Credit Default Swaps, Protection Sold 0.1%
Protection Sold (Relevant Credit: CHS/Community Health System, Caa3*), Receive 5.00% Quarterly, Pay upon credit default, 12/20/26	13	(4)	—	(4)

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T. ROWE PRICE TOTAL RETURN ETF

(Amounts in 000s)

Description	Notional Amount	$ Value	Initial $ Value	Unrealized $ Gain/(Loss)
Protection Sold (Relevant Credit: iTraxx Europe Crossover S39, 5 Year Index) Receive 5.00% Quarterly, Pay upon credit default, 06/20/28 (EUR)	796	22	25	(3)
Protection Sold (Relevant Credit: CHS/Community Health System, Caa3*), Receive 5.00% Quarterly, Pay upon credit default, 06/20/25	5	—	—	—
Protection Sold (Relevant Credit:Metlife Inc, 5 Year Index, A3*), Receive 1.00% Quarterly, Pay upon credit default, 06/20/28	9	—	—	—
Total Centrally Cleared Credit Default Swaps, Protection Sold				(7)
Interest Rate Swaps (0.0)%
2 Year Interest Rate Swap, Receive Fixed 5.00% Semi-Annually, Pay Variable 5.64% (3M NDBB) Quarterly, 05/16/25 (NZD)	4,081	(9)	—	(9)
Total Interest Rate Swaps				(9)
Total Centrally Cleared Swaps				(18)
Net payments (receipts) of variation margin to date				$ 20
Variation margin receivable (payable) on centrally cleared swaps				$ 2

* Credit ratings as of May 31, 2023. Ratings shown are from Moody’s Investors Service and if Moody’s does not rate a security, then Standard & Poor’s (S&P) is used. Fitch is used for securities that are not rated by either Moody’s or S&P.

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T. ROWE PRICE TOTAL RETURN ETF

(Amounts in 000s)

FORWARD CURRENCY EXCHANGE CONTRACTS

Counterparty	Settlement	Receive		Deliver		Unrealized Gain/(Loss)
BNP Paribas	8/25/23	USD	134	EUR	123	$ 3
BNP Paribas	8/25/23	USD	39	EUR	36	1
BNP Paribas	8/18/23	USD	207	PLN	870	3
BNP Paribas	8/25/23	USD	56	EUR	51	1
Canadian Imperial Bank of Commerce	7/21/23	CAD	185	USD	139	(2)
Citibank N.A.	7/20/23	USD	249	ILS	888	10
Citibank N.A.	8/18/23	PLN	870	USD	208	(4)
Deutsche Bank AG	6/2/23	USD	494	BRL	2,441	13
Deutsche Bank AG	6/2/23	BRL	2,441	USD	479	2
Goldman Sachs International	8/25/23	USD	206	GBP	165	1
Morgan Stanley	6/2/23	BRL	1,220	USD	245	(5)
Morgan Stanley	9/5/23	USD	241	BRL	1,220	5
Morgan Stanley	6/2/23	USD	239	BRL	1,220	(1)
Royal Bank of Canada	7/21/23	USD	34	CAD	45	—
Royal Bank of Canada	7/21/23	USD	137	CAD	185	—
State Street Bank London	8/25/23	GBP	83	USD	104	(1)
State Street Bank London	9/5/23	USD	241	BRL	1,220	5
State Street Bank London	6/2/23	BRL	1,220	USD	245	(5)
UBS AG	8/25/23	GBP	83	USD	104	(1)
Net unrealized gain (loss) on open forward currency exchange contracts						$25

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FUTURES CONTRACTS

($000s)

	Expiration Date	Notional Amount	Value and Unrealized Gain (Loss)
Short, 27 Euro-Schatz contracts	06/23	(3,059)	$ 11
Short, 11 U.S. Treasury Notes ten year contracts	09/23	(1,256)	(3)
Short, 8 Ultra U.S. Treasury Bonds contracts	09/23	(1,077)	(18)
Long, 2 Euro-BOBL contracts	06/23	250	2
Long, 6 U.S. Treasury Long Bonds contracts	09/23	761	9
Long, 36 U.S. Treasury Notes five year contracts	09/23	3,929	(2)
Long, 5 U.S. Treasury Notes two year contracts	09/23	1,028	1
Long, 8 Ultra U.S. Treasury Notes ten year contracts	09/23	954	10
Net payments (receipts) of variation margin to date			(5)
Variation margin receivable (payable) on open futures contracts			$ 5

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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 year ended May 31, 2023. Net realized gain (loss), investment income, change in net unrealized gain/loss, and purchase and sales cost reflect all activity for the period then ended.

Affiliate	Net Realized Gain (Loss)	Changes in Net Unrealized Gain/Loss	Investment Income
T. Rowe Price Government Reserve Fund	$ —	$—	$18++
Totals	$—#	$—	$ 18+

Supplementary Investment Schedule
Affiliate	Value 5/31/22	Purchase Cost	Sales Cost	Value 5/31/23
T. Rowe Price Government Reserve Fund	$ 341	¤	¤	$ 884
	Total			$884^

++	Excludes earnings on securities lending collateral, which are subject to rebates and fees as described in Note 4.
#	Capital gain distributions from mutual funds represented $0 of the net realized gain (loss).
+	Investment income comprised $18 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 $884.

The accompanying notes are an integral part of these financial statements.

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T. ROWE PRICE TOTAL RETURN ETF

May 31, 2023

     STATEMENT OF ASSETS AND LIABILITIES    

($000s, except shares and per share amounts)

Assets
Investments in securities, at value (cost $35,767)	$ 33,605
Receivable for shares sold	1,022
Receivable for investment securities sold	475
Interest and dividends receivable	223
Bilateral swap premiums paid	64
Unrealized gain on forward currency exchange contracts	44
Foreign currency (cost $41)	36
Swaps receivable — Bilateral	19
Cash	9
Variation margin receivable on futures contracts	5
Unrealized gain on bilateral swaps	3
Variation margin receivable on centrally cleared swaps	2
Other assets	1
Total assets	35,508
Liabilities
Payable for investment securities purchased	6,267
Obligation to return securities lending collateral	401
Unrealized loss on bilateral swaps	45
Unrealized loss on forward currency exchange contracts	19
Options written (premiums $18)	12
Investment management and administrative fees payable	7
Swaps payable — Bilateral	3
Other liabilities	4
Total liabilities	6,758
NET ASSETS	$ 28,750
Net assets consists of:
Total distributable earnings (loss)	$ (4,161)
Paid-in capital applicable to 700,000 shares of $0.0001 par value capital stock outstanding; 4,000,000,000 shares authorized	32,911
NET ASSETS	$28,750
NET ASSET VALUE PER SHARE	$ 41.07

The accompanying notes are an integral part of these financial statements.

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T. ROWE PRICE TOTAL RETURN ETF

     STATEMENT OF OPERATIONS    

($000s)

	Year Ended
	5/31/23
Investment Income (Loss)
Income
Interest	$ 1,042
Dividend	23
Securities lending	1
Total income	1,066
Investment management and administrative expense	74
Net investment income	992
Realized and Unrealized Gain / Loss
Net realized gain (loss)
Securities	(972)
Futures	(255)
Swaps	(9)
Options written	11
Forward currency exchange contracts	8
Foreign currency transactions	3
Net realized loss	(1,214)
Change in net unrealized gain / loss
Securities	(425)
Futures	22
Swaps	(53)
Options written	6
Forward currency exchange contracts	25
Other assets and liabilities denominated in foreign currencies	2
Change in unrealized gain / loss	(423)
Net realized and unrealized gain / loss	(1,637)
DECREASE IN NET ASSETS FROM OPERATIONS	$ (645)

The accompanying notes are an integral part of these financial statements.

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T. ROWE PRICE TOTAL RETURN ETF

     STATEMENT OF CHANGES IN NET ASSETS    

($000s)

	Year Ended	9/28/21 Through
	5/31/23	5/31/22
Increase (Decrease) in Net Assets
Operations
Net investment income	$ 992	$ 336
Net realized loss	(1,214)	(772)
Change in net unrealized gain / loss	(423)	(1,756)
Decrease in net assets from operations	(645)	(2,192)
Distributions to shareholders
Net earnings	(1,000)	(323)
Tax return of capital	(23)	-
Decrease in net assets from distributions	(1,023)	(323)
Capital share transactions*
Shares sold	10,485	22,448
Increase in net assets from capital share transactions	10,485	22,448
Net Assets
Increase during period	8,817	19,933
Beginning of period	19,933	-
End of period	$28,750	$19,933
*Share information
Shares sold	250	450
Increase in shares outstanding	250	450

The accompanying notes are an integral part of these financial statements.

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T. ROWE PRICE TOTAL RETURN ETF

     NOTES TO FINANCIAL STATEMENTS    

T. Rowe Price Exchange-Traded Funds, Inc. (the corporation) is registered under the Investment Company Act of 1940 (the 1940 Act). The Total Return ETF (the fund) is a diversified, open-end management investment company established by the corporation. The fund incepted on September 28, 2021.  The fund seeks to maximize total return through income and, secondarily, capital appreciation.

NOTE  1  –   SIGNIFICANT ACCOUNTING POLICIES

Basis of Preparation

The fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 (ASC 946). The accompanying financial statements were prepared in accordance with accounting principles generally accepted in the United States of America (GAAP), including, but not limited to, ASC 946. GAAP requires the use of estimates made by management. Management believes that estimates and valuations are appropriate; however, actual results may differ from those estimates, and the valuations reflected in the accompanying financial statements may differ from the value ultimately realized upon sale or maturity.

Investment Transactions, Investment Income, and Distributions

Investment transactions are accounted for on the trade date basis. Income and expenses are recorded on the accrual basis. Realized gains and losses are reported on the identified cost basis. Premiums and discounts on debt securities are amortized for financial reporting purposes. Paydown gains and losses are recorded as an adjustment to interest income.  Income tax-related interest and penalties, if incurred, are recorded as income tax expense. Dividends received from other investment companies are reflected as dividend income; capital gain distributions are reflected as realized gain/loss. Dividend income and capital gain distributions are recorded on the ex-dividend date.Non-cash dividends, if any, are recorded at the fair market value of the asset received. Proceeds from litigation payments, if any, are included in either net realized gain (loss) or change in net unrealized gain/loss from securities.Distributions to shareholders are recorded on the ex-dividend date. Income distributions, if any, are declared and paid monthly. A capital gain distribution, if any, may also be declared and paid by the fund annually. Dividends and distributions cannot be automatically reinvested in additional shares of the fund.

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Currency Translation

Assets, including investments, and liabilities 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. Purchases and sales of securities, income, and expenses are translated into U.S. dollars at the prevailing exchange rate on the respective date of such transaction. The effect of changes in foreign currency exchange rates on realized and unrealized security gains and losses is not bifurcated from the portion attributable to changes in market prices.

Capital Transactions

The fund issues and redeems shares at its net asset value (NAV) only with Authorized Participants and only in large blocks of 25,000 shares (each, a “Creation Unit”). The fund’s NAV per share is computed at the close of the New York Stock Exchange (NYSE). However, the NAV per share may be calculated at a time other than the normal close of the NYSE if trading on the NYSE is restricted, if the NYSE closes earlier, or as may be permitted by the SEC. Individual fund shares may not be purchased or redeemed directly with the fund. An Authorized Participant may purchase or redeem a Creation Unit of the fund each business day that the fund is open in exchange for the delivery of a designated portfolio of in-kind securities and/or cash. When purchasing or redeeming Creation Units, Authorized Participants are also required to pay a fixed and/or variable purchase or redemption transaction fee as well as any applicable additional variable charge to defray the transaction cost to a fund.

Individual fund shares may be purchased and sold only on a national securities exchange through brokers. Shares are listed for trading on NYSE Arca, Inc. (NYSE Arca) and because the shares will trade at market prices rather than NAV, shares may trade at prices greater than NAV (at a premium), at NAV, or less than NAV (at a discount). The fund’s shares are ordinarily valued as of the close of regular trading (normally 4:00 p.m. Eastern time) on each day that the NYSE Arca is open.

New Accounting Guidance

In June 2022, the FASB issued Accounting Standards Update (ASU), ASU 2022-03, Fair Value Measurement (Topic 820) – Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions, which clarifies that a contractual restriction on the sale of an equity security is not considered part of the unit of account of the equity security and, therefore, is not considered in measuring fair value. The amendments under this ASU are effective for fiscal years beginning after December 15, 2023; however, the fund opted to early adopt, as permitted, effective December 1, 2022. Adoption of the guidance did not have a material impact on the fund’s financial statements.

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The FASB issued Accounting Standards Update (ASU), ASU 2020-04, Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting in March 2020 and ASU 2021-01 in January 2021 which provided further amendments and clarifications to Topic 848. These ASUs provide optional, temporary relief with respect to the financial reporting of contracts subject to certain types of modifications due to the planned discontinuation of the London Interbank Offered Rate (LIBOR), and other interbank-offered based reference rates, through December 31, 2022. In December 2022, FASB issued ASU 2022-06 which defers the sunset date of Topic 848 from December 31, 2022 to December 31, 2024, after which entities will no longer be permitted to apply the relief in Topic 848. Management intends to rely upon the relief provided under Topic 848, which is not expected to have a material impact on the fund’s financial statements.

Indemnification

In the normal course of business, the fund may provide indemnification in connection with its officers and directors, service providers, and/or private company investments. The fund’s maximum exposure under these arrangements is unknown; however, the risk of material loss is currently considered to be remote.

NOTE  2  –   VALUATION

Fair Value

The fund’s financial instruments are valued at the close of the NYSE and  are reported at fair value, which GAAP defines as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The fund’s Board of Directors (the Board) has designated T. Rowe Price Associates, Inc. as the fund’s valuation designee (Valuation Designee). Subject to oversight by the Board, the Valuation Designee performs the following functions in performing fair value determinations: assesses and manages valuation risks; establishes and applies fair value methodologies; tests fair value methodologies; and evaluates pricing vendors and pricing agents. The duties and responsibilities of the Valuation Designee are performed by its Valuation Committee. The Valuation Designee provides periodic reporting to the Board on valuation matters.

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Various valuation techniques and inputs are used to determine the fair value of financial instruments. GAAP establishes the following fair value hierarchy that categorizes the inputs used to measure fair value:

Level 1  –  quoted prices (unadjusted) in active markets for identical financial instruments that the fund can access at the reporting date

Level 2  –  inputs other than Level 1 quoted prices that are observable, either directly or indirectly (including, but not limited to, quoted prices for similar financial instruments in active markets, quoted prices for identical or similar financial instruments in inactive markets, interest rates and yield curves, implied volatilities, and credit spreads)

Level 3  –  unobservable inputs (including the Valuation Designee’s assumptions in determining fair value)

Observable inputs are developed using market data, such as publicly available information about actual events or transactions, and reflect the assumptions that market participants would use to price the financial instrument. Unobservable inputs are those for which market data are not available and are developed using the best information available about the assumptions that market participants would use to price the financial instrument. GAAP requires valuation techniques to maximize the use of relevant observable inputs and minimize the use of unobservable inputs. When multiple inputs are used to derive fair value, the financial instrument is assigned to the level within the fair value hierarchy based on the lowest-level input that is significant to the fair value of the financial instrument. Input levels are not necessarily an indication of the risk or liquidity associated with financial instruments at that level but rather the degree of judgment used in determining those values.

Valuation Techniques

Debt securities generally are traded in the over-the-counter (OTC) market and are valued at prices furnished by independent pricing services or by broker dealers who make markets in such securities. When valuing securities, the independent pricing services consider factor such as, but not limited to, the yield or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities.

Equity securities, including exchange-traded funds, listed or regularly traded on a securities exchange or in the over-the-counter (OTC) market are valued at the last quoted sale price or, for certain markets, the official closing price at the time the valuations are made. OTC Bulletin Board securities are valued at the mean of the closing bid and asked prices. A security that is listed or traded on more than one exchange is valued at the

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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.

Investments in mutual funds are valued at the mutual fund’s closing NAV per share on the day of valuation. Listed options, and OTC options with a listed equivalent, are valued at the mean of the closing bid and asked prices and exchange-traded options on futures contracts are valued at closing settlement prices. Swaps are valued at prices furnished by an independent pricing service or independent swap dealers. Forward currency exchange contracts are valued using the prevailing forward exchange rate. Futures contracts are valued at closing settlement prices. Assets and liabilities other than financial instruments, including short-term receivables and payables, are carried at cost, or estimated realizable value, if less, which approximates fair value.

Investments for which market quotations are not readily available or deemed unreliable are valued at fair value as determined in good faith by the Valuation Designee. The Valuation Designee has adopted methodologies for determining the fair value of investments for which market quotations are not readily available or deemed unreliable, including the use of other pricing sources. Factors used in determining fair value vary by type of investment and may include market or investment specific considerations. The Valuation Designee typically will afford greatest weight to actual prices in arm’s length transactions, to the extent they represent orderly transactions between market participants, transaction information can be reliably obtained, and prices are deemed representative of fair value. However, the Valuation Designee may also consider other valuation methods such as market-based valuation multiples; a discount or premium from market value of a similar, freely traded security of the same issuer; discounted cash flows; yield to maturity; or some combination. Fair value determinations are reviewed on a regular basis. Because any fair value determination involves a significant amount of judgment, there is a degree of subjectivity inherent in such pricing decisions. Fair value prices determined by the Valuation Designee could differ from those of other market participants, and it is possible that the fair value determined for a security may be materially different from the value that could be realized upon the sale of that security.

Valuation Inputs

The following table summarizes the fund’s financial instruments, based on the inputs used to determine their fair values on May 31, 2023 (for further detail by category, please refer to the accompanying Portfolio of Investments):

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($000s)	Level 1	Level 2	Level 3	Total Value
Assets
Fixed Income1	$ —	$30,812	$ —	$30,812
Bank Loans	—	1,812	55	1,867
Short-Term Investments	483	—	—	483
Securities Lending Collateral	401	—	—	401
Options Purchased	—	7	—	7
Convertible Preferred Stocks	—	35	—	35
Total Securities	884	32,666	55	33,605
Swaps*	—	55	—	55
Forward Currency Exchange Contracts	—	44	—	44
Futures Contracts*	33	—	—	33
Total	$917	$32,765	$55	$33,737
Liabilties
Options Written	$ 4	$ 8	$ —	$ 12
Swaps*	—	51	—	51
Forward Currency Exchange Contracts	—	19	—	19
Futures Contracts*	23	—	—	23
Total	$ 27	$ 78	$ —	$ 105

1	Includes Asset-Backed Securities, Corporate Bonds, Foreign Government Obligations & Municipalities, Municipal Securities, Non-U.S. Government Mortgage-Backed Securities, U.S. Government & Agency Mortgage-Backed Securities and U.S. Government Agency Obligations (Excluding Mortgage-Backed).
*	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.

NOTE  3  –   DERIVATIVE INSTRUMENTS

During the year ended May 31, 2023, the fund invested in derivative instruments. As defined by GAAP, a derivative is a financial instrument whose value is derived from an underlying security price, foreign exchange rate, interest rate, index of prices or rates, or

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other variable; it requires little or no initial investment and permits or requires net settlement. The fund invests in derivatives only if the expected risks and rewards are consistent with its investment objectives, policies, and overall risk profile, as described in its prospectus and Statement of Additional Information. The fund may use derivatives for a variety of purposes and may use them to establish both long and short positions within the fund’s portfolio. Potential uses include to hedge against declines in principal value, increase yield, invest in an asset with greater efficiency and at a lower cost than is possible through direct investment, to enhance return, or to adjust portfolio duration and credit exposure. The risks associated with the use of derivatives are different from, and potentially much greater than, the risks associated with investing directly in the instruments on which the derivatives are based.

The fund values its derivatives at fair value and recognizes changes in fair value currently in its results of operations. Accordingly, the fund does not follow hedge accounting, even for derivatives employed as economic hedges. Generally, the fund accounts for its derivatives on a gross basis. It does not offset the fair value of derivative liabilities against the fair value of derivative assets on its financial statements, nor does it offset the fair value of derivative instruments against the right to reclaim or obligation to return collateral. The following table summarizes the fair value of the fund’s derivative instruments held as of May 31, 2023, and the related location on the accompanying Statement of Assets and Liabilities, presented by primary underlying risk exposure:

($000s)	Location on Statement of Assets and Liabilities	Fair Value*
Assets
Interest rate derivatives	Futures	$ 33
Foreign exchange derivatives	Forwards	44
Credit derivatives	Bilateral Swaps and Securities^	62
Total		$139
Liabilities
Interest rate derivatives	Centrally Cleared Swaps, Futures and Options Written	$ 42
Foreign exchange derivatives	Forwards	19
Credit derivatives	Bilateral Swaps, Centrally Cleared Swaps and Options Written	44
Total		$105

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*	The fair value presented includes cumulative gain (loss) on open futures contracts and centrally cleared swaps; however, the value reflected on the accompanying Statement of Assets and Liabilities is only the unsettled variation margin receivable (payable) at that date.
^	Options purchased are reported as securities and are reflected in the accompanying Portfolio of Investments.

Additionally, the amount of gains and losses on derivative instruments recognized in fund earnings during the year ended May 31, 2023, and the related location on the accompanying Statement of Operations is summarized in the following table by primary underlying risk exposure:

($000s)	Location of Gain (Loss) on Statement of Operations
	Securities^	Options Written	Futures	Forward Currency Exchange Contracts	Swaps	Total
Realized Gain (Loss)
Interest rate derivatives	$ —	$11	$(255)	$ —	$ —	$(244)
Foreign exchange derivatives	(4)	—	—	8	—	4
Credit derivatives	(30)	—	—	—	(9)	(39)
Total	$(34)	$11	$(255)	$ 8	$ (9)	$(279)
Change in Unrealized Gain (Loss)
Interest rate derivative	$ —	$ 5	$ 22	$ —	$ (9)	$ 18
Foreign exchange derivatives	—	—	—	25	—	25
Credit derivatives	(10)	1	—	—	(44)	(53)
Total	$(10)	$ 6	$ 22	$25	$(53)	$ (10)

^ Options purchased are reported as securities.

Counterparty Risk and Collateral

The fund invests in derivatives in various markets, which expose it to differing levels of counterparty risk. Counterparty risk on exchange-traded and centrally cleared derivative contracts, such as futures, exchange-traded options, and centrally cleared swaps, is

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minimal because the clearinghouse provides protection against counterparty defaults. For futures and centrally cleared swaps, the fund is required to deposit collateral in an amount specified by the clearinghouse and the clearing firm (margin requirement), and the margin requirement must be maintained over the life of the contract. Each clearinghouse and clearing firm, in its sole discretion, may adjust the margin requirements applicable to the fund.

Derivatives, such as non-cleared bilateral swaps, forward currency exchange contracts, and OTC options, that are transacted and settle directly with a counterparty (bilateral derivatives) may expose the fund to greater counterparty risk. To mitigate this risk, the fund has entered into master netting arrangements (MNAs) with certain counterparties that permit net settlement under specified conditions and, for certain counterparties, also require the exchange of collateral to cover mark-to-market exposure. MNAs may be in the form of International Swaps and Derivatives Association master agreements (ISDAs) or foreign exchange letter agreements (FX letters).

MNAs provide the ability to offset amounts the fund owes a counterparty against amounts the counterparty owes the fund (net settlement). Both ISDAs and FX letters generally allow termination of transactions and net settlement upon the occurrence of contractually specified events, such as failure to pay or bankruptcy. In addition, ISDAs specify other events, the occurrence of which would allow one of the parties to terminate. For example, a downgrade in credit rating of a counterparty below a specified rating would allow the fund to terminate, while a decline in the fund’s net assets of more than a specified percentage would allow the counterparty to terminate. Upon termination, all transactions with that counterparty would be liquidated and a net termination amount settled. ISDAs typically include collateral agreements whereas FX letters do not. Collateral requirements are determined daily based on the net aggregate unrealized gain or loss on all bilateral derivatives with a counterparty, subject to minimum transfer amounts that typically range from $100,000 to $250,000. Any additional collateral required due to changes in security values is typically transferred the next business day.

Collateral may be in the form of cash or debt securities issued by the U.S. government or related agencies, although other securities may be used depending on the terms outlined in the applicable MNA. Cash posted by the fund is reflected as cash deposits in the accompanying financial statements and generally is restricted from withdrawal by the fund; securities posted by the fund are so noted in the accompanying Portfolio of Investments; both remain in the fund’s assets. Collateral pledged by counterparties is not included in the fund’s assets because the fund does not obtain effective control over those assets. For bilateral derivatives, collateral posted or received by the fund is held in a segregated account at the fund’s custodian. While typically not sold in the same manner as equity or fixed income securities, exchange-traded or centrally cleared derivatives may be closed out only on the exchange or clearinghouse where the contracts were cleared, and

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OTC and bilateral derivatives may be unwound with counterparties or transactions assigned to other counterparties to allow the fund to exit the transaction. This ability is subject to the liquidity of underlying positions. As of  May 31, 2023, no collateral was pledged by either the fund or counterparties for bilateral derivatives. As of May 31, 2023, securities valued at $223,000 had been posted by the fund for exchange-traded and/or centrally cleared derivatives.

Forward Currency Exchange Contracts

The fund is subject to foreign currency exchange rate risk in the normal course of pursuing its investment objectives. It may use forward currency exchange contracts (forwards) primarily to protect its non-U.S. dollar-denominated securities from adverse currency movements or to increase exposure to a particular foreign currency, to shift the fund's foreign currency exposure from one country to another, or to enhance the fund's return. A forward involves an obligation to purchase or sell a fixed amount of a specific currency on a future date at a price set at the time of the contract. Although certain forwards may be settled by exchanging only the net gain or loss on the contract, most forwards are settled with the exchange of the underlying currencies in accordance with the specified terms. Forwards are valued at the unrealized gain or loss on the contract, which reflects the net amount the fund either is entitled to receive or obligated to deliver, as measured by the difference between the forward exchange rates at the date of entry into the contract and the forward rates at the reporting date. Appreciated forwards are reflected as assets and depreciated forwards are reflected as liabilities on the accompanying Statement of Assets and Liabilities. Risks related to the use of forwards include the possible failure of counterparties to meet the terms of the agreements; that anticipated currency movements will not occur, thereby reducing the fund’s total return; and the potential for losses in excess of the fund’s initial investment. During the year ended May 31, 2023, the volume of the fund’s activity in forwards, based on underlying notional amounts, was generally between 1% and 13% of net assets.

Futures Contracts

The fund is subject to interest rate risk in the normal course of pursuing its investment objectives and uses futures contracts to help manage such risk. The fund may enter into futures contracts to manage exposure to interest rate and yield curve movements, security prices, foreign currencies, credit quality, and mortgage prepayments; as an efficient means of adjusting exposure to all or part of a target market; to enhance income; as a cash management tool; or to adjust portfolio duration and credit exposure. A futures contract provides for the future sale by one party and purchase by another of a specified amount of a specific underlying financial instrument at an agreed-upon price, date, time, and place. The fund currently invests only in exchange-traded futures, which generally are standardized as to maturity date, underlying financial instrument, and other contract terms. Payments are made or received by the fund each day to settle daily fluctuations in

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the value of the contract (variation margin), which reflect changes in the value of the underlying financial instrument. Variation margin is recorded as unrealized gain or loss until the contract is closed. The value of a futures contract included in net assets is the amount of unsettled variation margin; net variation margin receivable is reflected as an asset and net variation margin payable is reflected as a liability on the accompanying Statement of Assets and Liabilities. Risks related to the use of futures contracts include possible illiquidity of the futures markets, contract prices that can be highly volatile and imperfectly correlated to movements in hedged security values and/or interest rates, and potential losses in excess of the fund’s initial investment. During the year ended May 31, 2023, the volume of the fund’s activity in futures, based on underlying notional amounts, was generally between 18% and 43% of net assets.

Options

The fund is subject to interest rate risk, foreign currency exchange rate risk and credit risk in the normal course of pursuing its investment objectives and uses options to help manage such risks. The fund may use options to manage exposure to security prices, interest rates, foreign currencies, and credit quality; as an efficient means of adjusting exposure to all or a part of a target market; to enhance income; as a cash management tool; or to adjust credit exposure. Options are included in net assets at fair value, options purchased are included in Investments in Securities, and Options written are separately reflected as a liability on the accompanying Statement of Assets and Liabilities. Premiums on unexercised, expired options are recorded as realized gains or losses; premiums on exercised options are recorded as an adjustment to the proceeds from the sale or cost of the purchase. The difference between the premium and the amount received or paid in a closing transaction is also treated as realized gain or loss. In return for a premium paid, currency options give the holder the right, but not the obligation, to buy and sell currency at a specified exchange rate; although certain currency options may be settled by exchanging only the net gain or loss on the contract. In return for a premium paid, call and put options on futures give the holder the right, but not the obligation, to purchase or sell, respectively, a position in a particular futures contract at a specified exercise price. In return for a premium paid, options on swaps give the holder the right, but not the obligation, to enter a specified swap contract on predefined terms. The exercise price of an option on a credit default swap is stated in terms of a specified spread that represents the cost of credit protection on the reference asset, including both the upfront premium to open the position and future periodic payments. The exercise price of an interest rate swap is stated in terms of a fixed interest rate; generally, there is no upfront payment to open the position. Risks related to the use of options include possible illiquidity of the options markets; trading restrictions imposed by an exchange or counterparty; possible failure of counterparties to meet the terms of the agreements; movements in the underlying asset values, interest rates, currency values, and credit ratings; and for options written, the potential for losses to exceed any

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premium received by the fund. During the year ended May 31, 2023, the volume of the fund’s activity in options, based on underlying notional amounts, was generally between 0% to 19% of net assets.

Swaps

The fund is subject to credit risk and interest risk in the normal course of pursuing its investment objectives and uses swap contracts to help manage such risks. The fund may use swaps in an effort to manage both long and short exposure to changes in interest rates, inflation rates, and credit quality; to adjust overall exposure to certain markets; to enhance total return or protect the value of portfolio securities; to serve as a cash management tool; or to adjust portfolio duration and credit exposure. Swap agreements can be settled either directly with the counterparty (bilateral swap) or through a central clearinghouse (centrally cleared swap). Fluctuations in the fair value of a contract are reflected in unrealized gain or loss and are reclassified to realized gain or loss upon contract termination or cash settlement. Net periodic receipts or payments required by a contract increase or decrease, respectively, the value of the contract until the contractual payment date, at which time such amounts are reclassified from unrealized to realized gain or loss. For bilateral swaps, cash payments are made or received by the fund on a periodic basis in accordance with contract terms; unrealized gain on contracts and premiums paid are reflected as assets and unrealized loss on contracts and premiums received are reflected as liabilities on the accompanying Statement of Assets and Liabilities. For bilateral swaps, premiums paid or received are amortized over the life of the swap and are recognized as realized gain or loss in the Statement of Operations. For centrally cleared swaps, payments are made or received by the fund each day to settle the daily fluctuation in the value of the contract (variation margin). Accordingly, the value of a centrally cleared swap included in net assets is the unsettled variation margin; net variation margin receivable is reflected as an asset and net variation margin payable is reflected as a liability on the accompanying Statement of Assets and Liabilities.

Interest rate swaps are agreements to exchange cash flows based on the difference between specified interest rates applied to a notional principal amount for a specified period of time. Risks related to the use of interest rate swaps include the potential for unanticipated movements in interest or currency rates, the possible failure of a counterparty to perform in accordance with the terms of the swap agreements, potential government regulation that could adversely affect the fund’s swap investments, and potential losses in excess of the fund’s initial investment.

Credit default swaps are agreements where one party (the protection buyer) agrees to make periodic payments to another party (the protection seller) in exchange for protection against specified credit events, such as certain defaults and bankruptcies related to an underlying credit instrument, or issuer or index of such instruments. Upon occurrence of a

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specified credit event, the protection seller is required to pay the buyer the difference between the notional amount of the swap and the value of the underlying credit, either in the form of a net cash settlement or by paying the gross notional amount and accepting delivery of the relevant underlying credit. For credit default swaps where the underlying credit is an index, a specified credit event may affect all or individual underlying securities included in the index and will be settled based upon the relative weighting of the affected underlying security(ies) within the index. Generally, the payment risk for the seller of protection is inversely related to the current market price or credit rating of the underlying credit or the market value of the contract relative to the notional amount, which are indicators of the markets’ valuation of credit quality. As of May 31, 2023, the notional amount of protection sold by the fund totaled $878,000 (3.1% of net assets), which reflects the maximum potential amount the fund could be required to pay under such contracts. Risks related to the use of credit default swaps include the possible inability of the fund to accurately assess the current and future creditworthiness of underlying issuers, the possible failure of a counterparty to perform in accordance with the terms of the swap agreements, potential government regulation that could adversely affect the fund’s swap investments, and potential losses in excess of the fund’s initial investment.

Total return swaps are agreements in which one party makes payments based on a set rate, either fixed or variable, while the other party makes payments based on the return of an underlying asset (reference asset), such as an index, equity security, fixed income security or commodity-based exchange-traded fund, which includes both the income it generates and any change in its value. Risks related to the use of total return swaps include the potential for unfavorable changes in the reference asset, the possible failure of a counterparty to perform in accordance with the terms of the swap agreements, potential government regulation that could adversely affect the fund’s swap investments, and potential losses in excess of the fund’s initial investment.

During the year ended May 31, 2023, the volume of the fund’s activity in swaps, based on underlying notional amounts, was generally between 15% and 36% of net assets.

NOTE  4  –   OTHER INVESTMENT TRANSACTIONS

Consistent with its investment objective, the fund engages in the following practices to manage exposure to certain risks and/or to enhance performance. The investment objective, policies, program, and risk factors of the fund are described more fully in the fund’s prospectus and Statement of Additional Information.

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Emerging and Frontier Markets

The fund invests, either directly or through investments in other T. Rowe Price funds, in securities of companies located in, issued by governments of, or denominated in or linked to the currencies of emerging and frontier market countries. Emerging markets, and to a greater extent frontier markets, tend to have economic structures that are less diverse and mature, less developed legal and regulatory regimes, and political systems that are less stable, than those of developed countries. These markets may be subject to greater political, economic, and social uncertainty and differing accounting standards and regulatory environments that may potentially impact the fund’s ability to buy or sell certain securities or repatriate proceeds to U.S. dollars. Emerging markets securities exchanges are more likely to experience delays with the clearing and settling of trades, as well as the custody of holdings by local banks, agents, and depositories. Such securities are often subject to greater price volatility, less liquidity, and higher rates of inflation than U.S. securities. Investing in frontier markets is typically significantly riskier than investing in other countries, including emerging markets.

Noninvestment-Grade Debt

The fund invests, either directly or through its investment in other T. Rowe Price funds, in noninvestment-grade debt, including “high yield” or “junk” bonds or leveraged loans. Noninvestment-grade debt issuers are more likely to suffer an adverse change in financial condition that would result in the inability to meet a financial obligation. The noninvestment-grade debt market may experience sudden and sharp price swings due to a variety of factors that may decrease the ability of issuers to make principal and interest payments and adversely affect the liquidity or value, or both, of such securities. Accordingly, securities issued by such companies carry a higher risk of default and should be considered speculative.

Restricted Securities

The fund invests in securities that are subject to legal or contractual restrictions on resale. Prompt sale of such securities at an acceptable price may be difficult and may involve substantial delays and additional costs.

Collateralized Loan Obligations

The fund invests in collateralized loan obligations (CLOs) which are entities backed by a diversified pool of syndicated bank loans. The cash flows of the CLO can be split into multiple segments, called “tranches” or “classes”, which will vary in risk profile and yield. The riskiest segments, which are the subordinate or “equity” tranches, bear the greatest risk of loss from defaults in the underlying assets of the CLO and serve to protect the other, more senior, tranches. Senior tranches will typically have higher credit ratings and lower yields than the securities underlying the CLO. Despite the protection from the more junior tranches, senior tranches can experience substantial losses.

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Mortgage-Backed Securities

The fund invests in mortgage-backed securities (MBS or pass-through certificates) that represent an interest in a pool of specific underlying mortgage loans and entitle the fund to the periodic payments of principal and interest from those mortgages. MBS may be issued by government agencies or corporations, or private issuers. Most MBS issued by government agencies are guaranteed; however, the degree of protection differs based on the issuer. MBS are sensitive to changes in economic conditions that affect the rate of prepayments and defaults on the underlying mortgages; accordingly, the value, income, and related cash flows from MBS may be more volatile than other debt instruments.

TBA Purchase, Sale Commitments and Forward Settling Mortgage Obligations

The fund enters into to-be-announced (TBA) purchase or sale commitments (collectively, TBA transactions), pursuant to which it agrees to purchase or sell, respectively, mortgage-backed securities for a fixed unit price, with payment and delivery at a scheduled future date beyond the customary settlement period for such securities. With TBA transactions, the particular securities to be received or delivered by the fund are not identified at the trade date; however, the securities must meet specified terms, including rate and mortgage term, and be within industry-accepted “good delivery” standards. The fund may enter into TBA transactions with the intention of taking possession of or relinquishing the underlying securities, may elect to extend the settlement by “rolling” the transaction, and/or may use TBA transactions to gain or reduce interim exposure to underlying securities. Until settlement, the fund maintains liquid assets sufficient to settle its commitment to purchase a TBA or, in the case of a sale commitment, the fund maintains an entitlement to the security to be sold.

To mitigate counterparty risk, the fund has entered into Master Securities Forward Transaction Agreements (MSFTA) with counterparties that provide for collateral and the right to offset amounts due to or from those counterparties under specified conditions. Subject to minimum transfer amounts, collateral requirements are determined and transfers made based on the net aggregate unrealized gain or loss on all TBA commitments and other forward settling mortgage obligations with a particular counterparty (collectively, MSFTA Transactions). At any time, the fund’s risk of loss from a particular counterparty related to its MSFTA Transactions is the aggregate unrealized gain on appreciated MSFTA Transactions in excess of unrealized loss on depreciated MSFTA Transactions and collateral received, if any, from such counterparty. As of May 31, 2023, no collateral was pledged by the fund or counterparties for MSFTA Transactions.

Dollar Rolls

The fund enters into dollar roll transactions, pursuant to which it sells a mortgage-backed TBA or security and simultaneously agrees to purchase a similar, but not identical, TBA with the same issuer, rate, and terms on a later date at a set price from the same

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counterparty. The fund may execute a “roll” to obtain better underlying mortgage securities or to enhance returns. While the fund may enter into dollar roll transactions with the intention of taking possession of the underlying mortgage securities, it may also close a contract prior to settlement or “roll” settlement to a later date if deemed to be in the best interest of shareholders. Actual mortgages received by the fund may be less favorable than those anticipated. The fund accounts for dollar roll transactions as purchases and sales, which has the effect of increasing its portfolio turnover rate.

Bank Loans

The fund invests in bank loans, which represent an interest in amounts owed by a borrower to a syndicate of lenders. Bank loans are generally noninvestment grade and often involve borrowers whose financial condition is highly leveraged. The fund may invest in fixed and floating rate loans, which may include senior floating rate loans; secured and unsecured loans, second lien or more junior loans; and bridge loans or bridge facilities. Certain bank loans may be revolvers which are a form of senior bank debt, where the borrower can draw down the credit of the revolver when it needs cash and repays the credit when the borrower has excess cash. Certain loans may be “covenant-lite” loans, which means the loans contain fewer maintenance covenants than other loans (in some cases, none) and do not include terms which allow the lender to monitor the performance of the borrower and declare a default if certain criteria are breached. As a result of these risks, the fund’s exposure to losses may be increased.

Bank loans may be in the form of either assignments or participations. A loan assignment transfers all legal, beneficial, and economic rights to the buyer, and transfer typically requires consent of both the borrower and agent. In contrast, a loan participation generally entitles the buyer to receive the cash flows from principal, interest, and any fee payments on a portion of a loan; however, the seller continues to hold legal title to that portion of the loan. As a result, the buyer of a loan participation generally has no direct recourse against the borrower and is exposed to credit risk of both the borrower and seller of the participation.

Bank loans often have extended settlement periods, generally may be repaid at any time at the option of the borrower, and may require additional principal to be funded at the borrowers’ discretion at a later date (e.g., unfunded commitments and revolving debt instruments). Until settlement, the fund maintains liquid assets sufficient to settle its unfunded loan commitments. The fund reflects both the funded portion of a bank loan as well as its unfunded commitment in the Portfolio of Investments. However, if a credit agreement provides no initial funding of a tranche, and funding of the full commitment at a future date(s) is at the borrower’s discretion and considered uncertain, a loan is reflected in the Portfolio of Investments only if, and only to the extent that, the fund has actually settled a funding commitment.

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LIBOR Transition

The fund may invest in instruments that are tied to reference rates, including the London Interbank Offered Rate (LIBOR). Over the course of the last several years, global regulators have indicated an intent to phase out the use of LIBOR and similar interbank offered rates (IBOR). There remains uncertainty regarding the future utilization of LIBOR and the nature of any replacement rate. Any potential effects of the transition away from LIBOR on the fund, or on certain instruments in which the fund invests, cannot yet be determined. The transition process may result in, among other things, an increase in volatility or illiquidity of markets for instruments that currently rely on LIBOR, a reduction in the value of certain instruments held by the fund, or a reduction in the effectiveness of related fund transactions such as hedges. Any such effects could have an adverse impact on the fund’s performance.

Securities Lending

The fund may lend its securities to approved borrowers to earn additional income. Its securities lending activities are administered by a lending agent in accordance with a securities lending agreement. Security loans generally do not have stated maturity dates, and the fund may recall a security at any time. The fund receives collateral in the form of cash or U.S. government securities. Collateral is maintained over the life of the loan in an amount not less than the value of loaned securities; any additional collateral required due to changes in security values is delivered to the fund the next business day. Cash collateral is invested in accordance with investment guidelines approved by fund management. Additionally, the lending agent indemnifies the fund against losses resulting from borrower default. Although risk is mitigated by the collateral and indemnification, the fund could experience a delay in recovering its securities and a possible loss of income or value if the borrower fails to return the securities, collateral investments decline in value, and the lending agent fails to perform. Securities lending revenue consists of earnings on invested collateral and borrowing fees, net of any rebates to the borrower, compensation to the lending agent, and other administrative costs. In accordance with GAAP, investments made with cash collateral are reflected in the accompanying financial statements, but collateral received in the form of securities is not. At May 31, 2023, the value of loaned securities was $394,000; the value of cash collateral and related investments was $401,000.

Other

Purchases and sales of portfolio securities excluding in-kind transactions and short-term and U.S. government securities aggregated $9,657,000 and $7,247,000, respectively, for the year ended May 31, 2023. Purchases and sales of U.S. government securities, excluding in-kind transactions and short-term securities, aggregated $165,496,000 and $156,861,000, respectively, for the year ended May 31, 2023.

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NOTE  5  –   FEDERAL INCOME TAXES

Generally, no provision for federal income taxes is required since the fund intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and distribute to shareholders all of its taxable income and gains. Distributions determined in accordance with federal income tax regulations may differ in amount or character from net investment income and realized gains for financial reporting purposes.

The fund files U.S. federal, state, and local tax returns as required. The fund’s tax returns are subject to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return but which can be extended to six years in certain circumstances. Tax returns for open years have incorporated no uncertain tax positions that require a provision for income taxes.

Capital accounts within the financial reporting records are adjusted for permanent book/tax differences to reflect tax character but are not adjusted for temporary differences. The permanent book/tax adjustments, if any, have no impact on results of operations or net assets. The permanent book/tax adjustments relate primarily to the character of net currency gains or losses and the character of income on swaps.

The tax character of distributions paid for the periods presented was as follows:

($000s)
	May 31,	May 31,
	2023	2022
Ordinary income (including short-term capital gains, if any)	$1,000	$323
Return of capital	23	—
Total distributions	$1,023	$323

At May 31, 2023, the tax-basis cost of investments, (including derivatives, if any) and gross unrealized appreciation and depreciation were as follows:

($000s)
Cost of investments	$35,788
Unrealized appreciation	$ 84
Unrealized depreciation	(2,265)
Net unrealized appreciation (depreciation)	$ (2,181)

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At May 31, 2023, the tax-basis components of accumulated net earnings (loss) were as follows:

($000s)
Net unrealized appreciation (depreciation)	$(2,181)
Loss carryforwards and deferrals	(1,980)
Total distributable earnings (loss)	$(4,161)

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement purposes versus for tax purposes; these differences will reverse in a subsequent reporting period. The temporary differences relate primarily to the deferral of losses from wash sales and the realization of gains/losses on certain open derivative contracts. The loss carryforwards and deferrals primarily relate to capital loss carryforwards and late-year ordinary loss deferrals. Capital loss carryforwards are available indefinitely to offset future realized capital gains.The fund has elected to defer certain losses to the first day of the following fiscal year for late-year ordinary loss deferrals. 

NOTE  6  –   RELATED PARTY TRANSACTIONS

The fund is managed by T. Rowe Price Associates, Inc. (Price Associates), a wholly owned subsidiary of T. Rowe Price Group, Inc. (Price Group). Price Associates has entered into a sub-advisory agreement(s) with one or more of its wholly owned subsidiaries, to provide investment advisory services to the fund. The investment management and administrative agreement between the fund and Price Associates provides for an all-inclusive annual fee equal to 0.31% of the fund’s average daily net assets. The fee is computed daily and paid monthly. The all-inclusive fee covers investment management services and ordinary, recurring operating expenses, but does not cover interest and borrowing expenses; taxes; brokerage commissions and other transaction costs; fund proxy expenses; and nonrecurring and extraordinary expenses.

The fund may invest its cash reserves in certain open-end management investment companies managed by Price Associates and considered affiliates of the fund: the T. Rowe Price Government Reserve Fund or the T. Rowe Price Treasury Reserve Fund, organized as money market funds (together, the Price Reserve Funds). The Price Reserve Funds are offered as short-term investment options to mutual funds, trusts, and other accounts managed by Price Associates or its affiliates and are not available for direct purchase by

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members of the public. Cash collateral from securities lending, if any, is invested in the T. Rowe Price Government Reserve Fund. The Price Reserve Funds pay no investment management fees.

As of May 31, 2023, T. Rowe Price Group, Inc., or its wholly owned subsidiaries, owned 400,000 shares of  the fund, representing 57% of the fund’s net assets.

The fund may participate in securities purchase and sale transactions with other funds or accounts advised by Price Associates (cross trades), in accordance with procedures adopted by the fund’s Board and Securities and Exchange Commission rules, which require, among other things, that such purchase and sale cross trades be effected at the independent current market price of the security. During the year ended May 31, 2023, the fund had no purchases or sales cross trades with other funds or accounts advised by Price Associates.

NOTE  7  –   OTHER MATTERS

Unpredictable events such as environmental or natural disasters, war, terrorism, pandemics, outbreaks of infectious diseases, and similar public health threats may significantly affect the economy and the markets and issuers in which the fund invests. Certain events may cause instability across global markets, including reduced liquidity and disruptions in trading markets, while some events may affect certain geographic regions, countries, sectors, and industries more significantly than others, and exacerbate other pre-existing political, social, and economic risks.

Since 2020, a novel strain of coronavirus (COVID-19) has resulted in disruptions to global business activity and caused significant volatility and declines in global financial markets.

In February 2022, Russian forces entered Ukraine and commenced an armed conflict leading to economic sanctions being imposed on Russia and certain of its citizens, creating impacts on Russian-related stocks and debt and greater volatility in global markets.

In March 2023, the collapse of some US regional and global banks as well as overall concerns around the soundness and stability of the global banking sector has sparked concerns of a broader financial crisis impacting the overall global banking sector. In certain cases, government agencies have assumed control or otherwise intervened in the operations of certain banks due to liquidity and solvency concerns.  The extent of impact of these events on the US and global markets is highly uncertain.

These are recent examples of global events which may have a negative impact on the values of certain portfolio holdings or the fund’s overall performance. Management is actively monitoring the risks and financial impacts arising from these events.

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Board of Directors of T. Rowe Price Exchange-Traded Funds, Inc. and Shareholders of T. Rowe Price Total Return ETF

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities, including the portfolio of investments, of T. Rowe Price Total Return ETF (one of the funds constituting T. Rowe Price Exchange-Traded Funds, Inc., referred to hereafter as the "Fund") as of May 31, 2023, the related statement of operations for the year ended May 31, 2023 and the statement of changes in net assets and the financial highlights for the year ended May 31, 2023 and for the period September 28, 2021 (Inception) through May 31, 2022, including the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2023, the results of its operations for the year ended May 31, 2023, and the changes in its net assets and the financial highlights for the year ended May 31, 2023 and for the period September 28, 2021 (Inception) through May 31, 2022, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.  

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM 

(CONTINUED)

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2023 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/  PricewaterhouseCoopers LLP

Baltimore, Maryland

July 20, 2023

We have served as the auditor of one or more investment companies in the T. Rowe Price group of investment companies since 1973.

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TAX INFORMATION (UNAUDITED) FOR THE TAX YEAR ENDED 05/31/23

We are providing this information as required by the Internal Revenue Code. The amounts shown may differ from those elsewhere in this report because of differences between tax and financial reporting requirements. The fund’s distributions to shareholders included:

For nonresident alien shareholders, $654,000 of income dividends are interest-related dividends.

For shareholders subject to interest expense deduction limitation under Section 163(j), $1,079,000 of the fund’s income qualifies as a Section 163(j) interest dividend and can be treated as interest income for purposes of Section 163(j), subject to holding period requirements and other limitations.

INFORMATION ON PROXY VOTING POLICIES, PROCEDURES, AND RECORDS

A description of the policies and procedures used by T. Rowe Price funds and portfolios to determine how to vote proxies relating to portfolio securities is available in each  fund’s Statement of Additional Information. You may request this document by calling 1-800-638-5660 or by accessing the SEC’s website, sec.gov.

The description of our proxy voting policies and procedures is also available on our corporate website. To access it, please visit the following Web page:

https://www.troweprice.com/corporate/en/utility/policies.html

Scroll down to the section near the bottom of the page that says, “Proxy Voting Policies.”  Click on the Proxy Voting Policies link in the shaded box.

Each fund’s most recent annual proxy voting record is available on our website and  through the SEC’s website. To access it through T. Rowe Price, visit the website location shown above, and scroll down to the section near the bottom of the page that says, “Proxy Voting Records.” Click on the Proxy Voting Records link in the shaded box.

HOW TO OBTAIN QUARTERLY PORTFOLIO HOLDINGS

The fund files a complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT is available electronically on the SEC’s website (sec.gov).

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Approval of Investment Management Agreement and Subadvisory Agreements

Each year, the fund’s Board of Directors (Board) considers the continuation of the investment management agreement (Advisory Contract) between the fund and its investment adviser, T. Rowe Price Associates, Inc. (Adviser), as well as the investment subadvisory agreements (Subadvisory Contracts) that the Adviser has entered into with T. Rowe Price International Ltd and T. Rowe Price Hong Kong Limited (Subadvisers) on behalf of the fund. In that regard, at a meeting held on March 6–7, 2023 (Meeting), the Board, including all of the fund’s independent directors, approved the continuation of the fund’s Advisory Contract and Subadvisory Contracts. At the Meeting, the Board considered the factors and reached the conclusions described below relating to the selection of the Adviser and Subadvisers and the approval of the Advisory Contract and Subadvisory Contracts. The independent directors were assisted in their evaluation of the Advisory Contract and Subadvisory Contracts by independent legal counsel from whom they received separate legal advice and with whom they met separately.

In providing information to the Board, the Adviser was guided by a detailed set of requests for information submitted by independent legal counsel on behalf of the independent directors. In considering and approving the continuation of the Advisory Contract and Subadvisory Contracts, the Board considered the information it believed was relevant, including, but not limited to, the information discussed below. The Board considered not only the specific information presented in connection with the Meeting but also the knowledge gained over time through interaction with the Adviser and Subadvisers about various topics. The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the T. Rowe Price funds’ advisory contracts, including performance and the services and support provided to the funds and their shareholders.

Services Provided by the Adviser and Subadvisers

The Board considered the nature, quality, and extent of the services provided to the fund by the Adviser and Subadvisers. These services included, but were not limited to, directing the fund’s investments in accordance with its investment program and the overall management of the fund’s portfolio, as well as a variety of related activities such as financial, investment operations, and administrative services; compliance; maintaining the fund’s records and registrations; and shareholder communications. The Board also reviewed the background and experience of the Adviser’s and Subadvisers’ senior management teams and investment personnel involved in the management of the fund, as well as the Adviser’s compliance record. The Board concluded that the information it considered with respect to the nature, quality, and extent of the services provided by the Adviser and Subadvisers, as well as the other factors considered at the Meeting, supported the Board’s approval of the continuation of the Advisory Contract and Subadvisory Contracts.

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Approval of Investment Management Agreement and Subadvisory Agreements(continued)

Investment Performance of the Fund

The Board took into account discussions with the Adviser and detailed reports that it regularly receives throughout the year on relative and absolute performance for the T. Rowe Price funds. In connection with the Meeting, the Board reviewed information provided by the Adviser that compared the fund’s total returns, as well as a wide variety of other previously agreed-upon performance measures and market data, against relevant benchmark indexes and peer groups of funds with similar investment programs for various periods through December 31, 2022. Additionally, the Board reviewed the fund’s relative performance information as of September 30, 2022, which ranked the returns of the fund for various periods against a universe of funds with similar investment programs selected by Broadridge, an independent provider of mutual fund data. In the course of its deliberations, the Board considered performance information provided throughout the year and in connection with the Advisory Contract review at the Meeting, as well as information provided during investment review meetings conducted with portfolio managers and senior investment personnel during the course of the year regarding the fund’s performance. The Board also considered relevant factors, such as overall market conditions and trends that could adversely impact the fund’s performance, length of the fund’s performance track record, and how closely the fund’s strategies align with its benchmarks and peer groups. The Board noted that, as of December 31, 2022, the fund lagged its benchmark for certain performance periods, and the fund’s total returns ranked in the fourth quartile for certain periods when compared with performance peer groups selected by third-party data providers.  The Adviser provided the Board with information addressing the fund’s performance relative to its benchmarks and performance peers during the applicable periods and the primary reasons for such results. The Board considered the Adviser’s responses relating to the fund’s performance during certain of the evaluated periods. The Board concluded that the information it considered with respect to the fund’s performance, as well as the other factors considered at the Meeting, supported the Board’s approval of the continuation of the Advisory Contract and Subadvisory Contracts.

Costs, Benefits, Profits, and Economies of Scale

The Board reviewed detailed information regarding the revenues received by the Adviser under the Advisory Contract and other direct and indirect benefits that the Adviser (and its affiliates) may have realized from its relationship with the fund. In considering soft-dollar arrangements pursuant to which research may be received from broker-dealers that execute the fund’s portfolio transactions, the Board noted that the Adviser bears the cost of research services for all client accounts that it advises, including the T. Rowe Price funds. The Board received information on the estimated costs incurred and profits realized by the Adviser from managing the T. Rowe Price funds. While the Board did not review information regarding profits realized from managing the fund in particular because the fund had either

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Approval of Investment Management Agreement and Subadvisory Agreements(continued)

not achieved sufficient portfolio asset size or not recognized sufficient revenues to produce meaningful profit margin percentages, the Board concluded that the Adviser’s profits were reasonable in light of the services provided to the T. Rowe Price mutual funds and ETFs.

The Board also considered whether the fund benefits under the fee levels set forth in the Advisory Contract or otherwise from any economies of scale realized by the Adviser. Under the Advisory Contract, the fund pays the Adviser an all-inclusive management fee, which is based on the fund’s average daily net assets. The all-inclusive management fee includes investment management services and provides for the Adviser to pay all of the fund’s ordinary, recurring operating expenses except for interest and borrowing expenses, taxes, brokerage commissions and other transaction costs, fund proxy expenses, and any nonrecurring extraordinary expenses. Under each Subadvisory Contract, the Adviser may pay the Subadviser up to 60% of the advisory fees that the Adviser receives from the fund. The Adviser has generally implemented an all-inclusive management fee structure in situations where a fixed total expense ratio is useful for purposes of providing certainty of fees and expenses for investors, and such a fee structure is typically used by other ETFs offered by competitors. The Adviser has historically sought to set the initial all-inclusive management fee rate at levels below the expense ratios of comparable funds to take into account potential future economies of scale. In addition, the assets of the fund are included in the calculation of the group fee rate, which serves as a component of the management fee for many T. Rowe Price funds and declines at certain asset levels based on the combined average net assets of most of the T. Rowe Price mutual funds and ETFs (including the fund).  Although the fund does not have a group fee component to its management fee, its assets are included in the calculation because certain resources utilized to operate the fund are shared with other T. Rowe Price funds.    

In addition, the Board noted that the fund potentially shares in indirect economies of scale through the Adviser’s ongoing investments in its business in support of the T. Rowe Price funds, including investments in trading systems, technology, and regulatory support enhancements, and the ability to possibly negotiate lower fee arrangements with third-party service providers. The Board concluded that the advisory fee structure for the fund provides for a reasonable sharing of benefits from any economies of scale with the fund’s investors.

Fees and Expenses

The Board was provided with information regarding industry trends in management fees and expenses. Among other things, the Board reviewed data for peer groups that were compiled by Broadridge, which compared: (i) actual management fees, nonmanagement expenses, and total expenses of the fund with a group of competitor funds selected by Broadridge (Expense Group) and (ii) actual management fees, nonmanagement expenses, and total expenses of the fund with a broader set of funds within the Lipper investment classification (Expense Universe). The Board considered the fund’s actual management fee rate (which reflects the fund’s all-inclusive management fee rate), operating expenses, and total expenses (which reflect the fund’s all-inclusive management fee rate) in comparison

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Approval of Investment Management Agreement and Subadvisory Agreements(continued)

with the information for the Broadridge peer groups. Broadridge generally constructed the peer groups by seeking the most comparable funds based on similar investment classifications and objectives, expense structure, asset size, and operating components and attributes and ranked funds into quintiles, with the first quintile representing the funds with the lowest relative expenses and the fifth quintile representing the funds with the highest relative expenses. The information provided to the Board indicated that the fund’s actual management fee rate ranked in the third quintile (Expense Group and Expense Universe) and the fund’s total expenses ranked in the second quintile (Expense Group and Expense Universe). 

The Board also reviewed the fee schedules for other investment portfolios with similar mandates that are advised or subadvised by the Adviser and its affiliates, including separately managed accounts for institutional and individual investors; subadvised funds; and other sponsored investment portfolios, including collective investment trusts and pooled vehicles organized and offered to investors outside the United States. Management provided the Board with information about the Adviser’s responsibilities and services provided to subadvisory and other institutional account clients, including information about how the requirements and economics of the institutional business are fundamentally different from those of the proprietary mutual fund business. The Board considered information showing that the Adviser’s mutual fund business is generally more complex from a business and compliance perspective than its institutional account business and considered various relevant factors, such as the broader scope of operations and oversight, more extensive shareholder communication infrastructure, greater asset flows, heightened business risks, and differences in applicable laws and regulations associated with the Adviser’s proprietary mutual fund business. In assessing the reasonableness of the fund’s management fee rate, the Board considered the differences in the nature of the services required for the Adviser to manage its mutual fund business versus managing a discrete pool of assets as a subadviser to another institution’s mutual fund or for an institutional account and that the Adviser generally performs significant additional services and assumes greater risk in managing the fund and other T. Rowe Price funds than it does for institutional account clients, including subadvised funds.

On the basis of the information provided and the factors considered, the Board concluded that the fees paid by the fund under the Advisory Contract are reasonable.

Approval of the Advisory Contract and Subadvisory Contracts

As noted, the Board approved the continuation of the Advisory Contract and Subadvisory Contracts. No single factor was considered in isolation or to be determinative to the decision. Rather, the Board concluded, in light of a weighting and balancing of all factors considered, that it was in the best interests of the fund and its shareholders for the Board to approve the continuation of the Advisory Contract and Subadvisory Contracts (including the fees to be charged for services thereunder).

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ABOUT THE FUND’S DIRECTORS AND OFFICERS

Your fund is overseen by a Board of Directors (Board) that meets regularly to review a wide variety of matters affecting or potentially affecting the fund, including performance, investment programs, compliance matters, advisory fees and expenses, service providers, and business and regulatory affairs. The Board elects the fund’s officers, who are listed in the final table. The directors who are also employees or officers of T. Rowe Price are considered to be “interested” directors as defined in Section 2(a)(19) of the 1940 Act because of their relationships with T. Rowe Price Associates, Inc. (T. Rowe Price), and its affiliates. The business address of each director and officer is 100 East Pratt Street, Baltimore, Maryland 21202. The Statement of Additional Information includes additional information about the fund directors and is available without charge by calling a T. Rowe Price representative at 1-800-638-5660.

INDEPENDENT DIRECTORS^(a)

Name (Year of Birth) Year Elected [Number of T. Rowe Price Portfolios Overseen]	Principal Occupation(s) and Directorships of Public Companies and Other Investment Companies During the Past Five Years
Teresa Bryce Bazemore (1959) 2019 [210]	President and Chief Executive Officer, Federal Home Loan Bank of San Francisco (2021 to present); Chief Executive Officer, Bazemore Consulting LLC (2018 to 2021); Director, Chimera Investment Corporation (2017 to 2021); Director, First Industrial Realty Trust (2020 to present); Director, Federal Home Loan Bank of Pittsburgh (2017 to 2019)
Melody Bianchetto (1966) 2023 [210]	Advisory Board Member; Vice President for Finance, University of Virginia (2015 to 2023)
Bruce W. Duncan (1951) 2019 [210]	President, Chief Executive Officer, and Director, CyrusOne, Inc. (2020 to 2021); Chair of the Board (2016 to 2020) and President (2009 to 2016), First Industrial Realty Trust, owner and operator of industrial properties; Member, Investment Company Institute Board of Governors (2017 to 2019); Member, Independent Directors Council Governing Board (2017 to 2019); Senior Advisor, KKR (2018 to 2022); Director, Boston Properties (2016 to present); Director, Marriott International, Inc. (2016 to 2020)
Robert J. Gerrard, Jr. (1952) 2019 [210]	Chair of the Board, all funds (July 2018 to present)

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INDEPENDENT DIRECTORS^(a)(continued)

Name (Year of Birth) Year Elected [Number of T. Rowe Price Portfolios Overseen]	Principal Occupation(s) and Directorships of Public Companies and Other Investment Companies During the Past Five Years
Paul F. McBride (1956) 2019 [210]	Advisory Board Member, Vizzia Technologies (2015 to present); Board Member, Dunbar Armored (2012 to 2018)
Mark J. Parrell (1966) 2023 [210]	Advisory Board Member; Board of Trustees Member and Chief Executive Officer (2019 to present), President (2018 to present), Executive Vice President and Chief Financial Officer (2007 to 2018), and Senior Vice President and Treasurer (2005 to 2007), EQR; Member and Chair, Nareit Dividends Through Diversity, Equity & Inclusion CEO Council, Nareit 2021 Audit and Investment Committee (2021); Advisory Board, Ross Business School at University of Michigan (2015 to 2016); Member and Chair of the Finance Committee, National Multifamily Housing Council (2015 to 2016); Member, Economic Club of Chicago; Director, Brookdale Senior Living, Inc. (2015 to 2017); Director, Aviv REIT, Inc. (2013 to 2015); Director, Real Estate Roundtable (July 2021 to present) and the 2022 Executive Board Nareit (November 2021 to present); Board of Directors and Chair of the Finance Committee, Greater Chicago Food Depository (July 2017 to present)
Kellye L. Walker (1966) 2021 [210]	Executive Vice President and Chief Legal Officer, Eastman Chemical Company (April 2020 to present); Executive Vice President and Chief Legal Officer, Huntington Ingalls Industries, Inc. (January 2015 to March 2020); Director, Lincoln Electric Company (October 2020 to present)

  ^(a)All information about the independent directors was current as of December 31, 2022, unless otherwise indicated, except for the number of portfolios overseen, which is current as of the date of this report.

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INTERESTED DIRECTORS^(a)

Name (Year of Birth) Year Elected [Number of T. Rowe Price Portfolios Overseen]	Principal Occupation(s) and Directorships of Public Companies and Other Investment Companies During the Past Five Years
David Oestreicher (1967) 2019 [210]	Director, Vice President, and Secretary, T. Rowe Price, T. Rowe Price Investment Services, Inc., T. Rowe Price Retirement Plan Services, Inc., and T. Rowe Price Services, Inc.; Director and Secretary, T. Rowe Price Investment Management, Inc. (Price Investment Management); Vice President and Secretary, T. Rowe Price International (Price International); Vice President, T. Rowe Price Hong Kong (Price Hong Kong), T. Rowe Price Japan (Price Japan), and T. Rowe Price Singapore (Price Singapore); General Counsel, Vice President, and Secretary, T. Rowe Price Group, Inc.; Chair of the Board, Chief Executive Officer, President, and Secretary, T. Rowe Price Trust Company; Principal Executive Officer and Executive Vice President, all funds
Eric L. Veiel, CFA (1972) 2022 [210]	Director and Vice President, T. Rowe Price; Vice President, T. Rowe Price Group, Inc., and T. Rowe Price Trust Company; Vice President, Global Funds

  ^(a)All information about the interested directors was current as of December 31, 2022, unless otherwise indicated, except for the number of portfolios overseen, which is current as of the date of this report.

OFFICERS

Name (Year of Birth) Position Held With Fixed Income ETFs	Principal Occupation(s)
Christopher P. Brown, CFA (1977) Executive Vice President	Vice President, T. Rowe Price and T. Rowe Price Group, Inc.
Armando (Dino) Capasso (1974) Chief Compliance Officer	Chief Compliance Officer and Vice President, T. Rowe Price and Price Investment Management; Vice President, T. Rowe Price Group, Inc.; formerly, Chief Compliance Officer, PGIM Investments LLC and AST Investment Services, Inc. (ASTIS) (to 2022); Chief Compliance Officer, PGIM Retail Funds complex and Prudential Insurance Funds (to 2022); Vice President and Deputy Chief Compliance Officer, PGIM Investments LLC and ASTIS (to 2019)
David Corris (1975) Executive Vice President	Vice President, T. Rowe Price and T. Rowe Price Group, Inc.; formerly, Head of Disciplined Equities and Portfolio Manager, Bank of Montreal Global Asset Management (to 2021)

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OFFICERS(continued)

Name (Year of Birth) Position Held With Fixed Income ETFs	Principal Occupation(s)
Timothy Coyne (1967) Executive Vice President	Vice President, T. Rowe Price and T. Rowe Price Group, Inc.
Vincent Michael DeAugustino (1983) Executive Vice President	Vice President, T. Rowe Price and T. Rowe Price Group, Inc.
Anna Alexandra Dreyer, Ph.D., CFA (1981) Executive Vice President	Vice President, T. Rowe Price and T. Rowe Price Group, Inc.
Shawn T. Driscoll (1975) Executive Vice President	Vice President, T. Rowe Price, T. Rowe Price Group, Inc., and T. Rowe Price Trust Company
Alan S. Dupski, CPA (1982) Principal Financial Officer, Vice President, and Treasurer	Vice President, Price Investment Management, T. Rowe Price, T. Rowe Price Group, Inc., and T. Rowe Price Trust Company
Joseph B. Fath, CPA (1971) Executive Vice President	Vice President, T. Rowe Price, T. Rowe Price Group, Inc., and T. Rowe Price Trust Company
Gary J. Greb (1961) Vice President	Vice President, Price Investment Management, T. Rowe Price, Price International, and T. Rowe Price Trust Company
Paul Greene II (1978) Executive Vice President	Vice President, T. Rowe Price, T. Rowe Price Group, Inc., and T. Rowe Price Trust Company
Cheryl Hampton, CPA (1969) Vice President	Vice President, T. Rowe Price; formerly, Tax Director, Invesco Ltd. (to 2021); Vice President, Oppenheimer Funds, Inc. (to 2019)
Ann M. Holcomb, CFA (1972) Executive Vice President	Vice President, T. Rowe Price, T. Rowe Price Group, Inc., and T. Rowe Price Trust Company
Thomas J. Huber, CFA (1966) Executive Vice President	Vice President, T. Rowe Price, T. Rowe Price Group, Inc., and T. Rowe Price Trust Company
Prashant G. Jeyaganesh (1983) Executive Vice President	Vice President, T. Rowe Price and T. Rowe Price Group, Inc.
Vidya Kadiyam (1980) Executive Vice President	Vice President, T. Rowe Price and T. Rowe Price Group, Inc.
Benjamin Kersse, CPA (1989) Vice President	Vice President, T. Rowe Price
Paul J. Krug, CPA (1964) Vice President	Vice President, T. Rowe Price, T. Rowe Price Group, Inc., and T. Rowe Price Trust Company
Robert M Larkins, CFA (1973) Executive Vice President	Vice President, T. Rowe Price, T. Rowe Price Group, Inc., and T. Rowe Price Trust Company
John D. Linehan, CFA (1965) Executive Vice President	Vice President, T. Rowe Price, T. Rowe Price Group, Inc., and T. Rowe Price Trust Company

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OFFICERS(continued)

Name (Year of Birth) Position Held With Fixed Income ETFs	Principal Occupation(s)
Jodi Love (1977) Executive Vice President	Vice President, Price Investment Management and T. Rowe Price Group, Inc.; formerly, Managing Director, Jennison Associates LLC (to 2019)
Paul M. Massaro, CFA (1975) Executive Vice President	Vice President, T. Rowe Price, T. Rowe Price Group, Inc., and T. Rowe Price Trust Company
Colin McQueen (1967) Executive Vice President	Vice President, Price Investment Management and T. Rowe Price Group, Inc.; formerly, Senior Investment Manager, Global Equities, Sanlam FOUR Investments UK Limited (to 2019)
Jason Nogueira, CFA (1974) Executive Vice President	Vice President, T. Rowe Price and T. Rowe Price Group, Inc.
Alexander S. Obaza (1981) Executive Vice President	Vice President, T. Rowe Price, T. Rowe Price Group, Inc., and T. Rowe Price Trust Company
Donald J. Peters (1959) Executive Vice President	Vice President, T. Rowe Price and T. Rowe Price Group, Inc.
Fran M. Pollack-Matz (1961) Vice President and Secretary	Vice President, T. Rowe Price, T. Rowe Price Group, Inc., T. Rowe Price Investment Services, Inc., and T. Rowe Price Services, Inc.
Jason Benjamin Polun, CFA (1974) Executive Vice President	Vice President, T. Rowe Price, T. Rowe Price Group, Inc., and T. Rowe Price Trust Company
Jordan S. Pryor (1991) Executive Vice President	Vice President, T. Rowe Price and T. Rowe Price Group, Inc.
Shannon H. Rauser (1987) Assistant Secretary	Assistant Vice President, T. Rowe Price
Sebastian Schrott (1977) Executive Vice President	Vice President, T. Rowe Price Group, Inc., and Price International
Richard Sennett, CPA (1970) Assistant Treasurer	Vice President, T. Rowe Price, T. Rowe Price Group, Inc., and T. Rowe Price Trust Company
Gabriel Solomon (1977) Executive Vice President	Vice President, T. Rowe Price and T. Rowe Price Group, Inc.
Peter Stournaras (1973) Executive Vice President	Vice President, T. Rowe Price and T. Rowe Price Group, Inc.; formerly, Managing Director, Chief Portfolio Strategist JP Morgan Private Bank (to 2020); Private Consultant and Advisor, Pteleos Consulting (to 2018)
Megan Warren (1968) Vice President	OFAC Sanctions Compliance Officer and Vice President, Price Investment Management; Vice President, T. Rowe Price, T. Rowe Price Group, Inc., T. Rowe Price Retirement Plan Services, Inc., T. Rowe Price Services, Inc., and T. Rowe Price Trust Company

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OFFICERS(continued)

Name (Year of Birth) Position Held With Fixed Income ETFs	Principal Occupation(s)
Taymour R. Tamaddon (1976) Executive Vice President	Vice President, T. Rowe Price and T. Rowe Price Group, Inc.

Unless otherwise noted, officers have been employees of T. Rowe Price or Price International for at least 5 years.

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100 East Pratt Street

Baltimore, MD 21202

Call 1-800-638-5660 to request a prospectus or summary prospectus; each includes investment objectives, risks, fees, expenses, and other information that you should read and consider carefully before investing.

202307-2916472

T. Rowe Price Investment Services, Inc.

ETF988-050 7/23

Item 1. (b) Notice pursuant to Rule 30e-3.

Not applicable.

Item 2. Code of Ethics.

The registrant has adopted a code of ethics, as defined in Item 2 of Form N-CSR, applicable to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. A copy of this code of ethics is filed as an exhibit to this Form N-CSR. No substantive amendments were approved or waivers were granted to this code of ethics during the period covered by this report.

Item 3. Audit Committee Financial Expert.

The registrant’s Board of Directors has determined that Ms. Teresa Bryce Bazemore qualifies as an audit committee financial expert, as defined in Item 3 of Form N-CSR. Ms. Bazemore is considered independent for purposes of Item 3 of Form N-CSR.

Item 4. Principal Accountant Fees and Services.

(a) – (d)   Aggregate fees billed for the last two fiscal years for professional services rendered to, or on behalf of, the registrant by the registrant’s principal accountant were as follows:

	2023		2022
Audit Fees	$	31,609	$	29,899
Audit-Related Fees		-		-
Tax Fees		6,939		6,563
All Other Fees		-		-

Audit fees include amounts related to the audit of the registrant’s annual financial statements and services normally provided by the accountant in connection with statutory and regulatory filings. Audit-related fees include amounts reasonably related to the performance of the audit of the registrant’s financial statements and specifically include the issuance of a report on internal controls and, if applicable, agreed-upon procedures related to fund acquisitions. Tax fees include amounts related to services for tax compliance, tax planning, and tax advice. The nature of these services specifically includes the review of distribution calculations and the preparation of Federal, state, and excise tax returns. All other fees include the registrant’s pro-rata share of amounts for agreed-upon procedures in conjunction with service contract approvals by the registrant’s Board of Directors/Trustees.

(e)(1)  The registrant’s audit committee has adopted a policy whereby audit and non-audit services performed by the registrant’s principal accountant for the registrant, its investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant require pre-approval in advance at regularly scheduled audit committee meetings. If such a service is required between regularly scheduled audit committee meetings, pre-approval may be authorized by one audit committee member with ratification at the next scheduled audit committee meeting. Waiver of pre-approval for audit or non-audit services requiring fees of a de minimis amount is not permitted.

(2)  No services included in (b) – (d) above were approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f)   Less than 50 percent of the hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.

(g)  The aggregate fees billed for the most recent fiscal year and the preceding fiscal year by the registrant’s principal accountant for non-audit services rendered to the registrant, its investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant were $1,521,000 and $2,959,000, respectively.

(h)  All non-audit services rendered in (g) above were pre-approved by the registrant’s audit committee. Accordingly, these services were considered by the registrant’s audit committee in maintaining the principal accountant’s independence.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

(a)  Not applicable. The complete schedule of investments is included in Item 1 of this Form N-CSR.

(b)  Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

There has been no change to the procedures by which shareholders may recommend nominees to the registrant’s board of directors.

Item 11. Controls and Procedures.

(a)  The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported timely.

(b)  The registrant’s principal executive officer and principal financial officer are aware of no change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.

(a)(1)	The registrant’s code of ethics pursuant to Item 2 of Form N-CSR is attached.
(2)	Separate certifications by the registrant’s principal executive officer and principal financial officer, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(a) under the Investment Company Act of 1940, are attached.
(3)	Written solicitation to repurchase securities issued by closed-end companies: not applicable.
(b)	A certification by the registrant’s principal executive officer and principal financial officer, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(b) under the Investment Company Act of 1940, is attached.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

T. Rowe Price Exchange-Traded Funds, Inc.
By	/s/ David Oestreicher
	David Oestreicher
	Principal Executive Officer
Date	July 20, 2023

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By	/s/ David Oestreicher
	David Oestreicher
	Principal Executive Officer
Date	July 20, 2023

By	/s/ Alan S. Dupski
	Alan S. Dupski
	Principal Financial Officer
Date	July 20, 2023