T. ROWE PRICE TOTAL RETURN ETF
February 29, 2024 Unaudited
PORTFOLIO OF INVESTMENTS‡ | Par/Shares | $ Value |
(Amounts in 000s) | ||
ASSET-BACKED SECURITIES 13.1% | ||
Car Loan 3.6% | ||
AmeriCredit Automobile Receivables Trust, Series 2020-2, Class D, 2.13%, 3/18/26 | 150 | 146 |
Avis Budget Rental Car Funding AESOP, Series 2022-5A, Class C, 9.27%, 4/20/27 (1) | 100 | 100 |
Avis Budget Rental Car Funding AESOP, Series 2023-2A, Class C, 6.18%, 10/20/27 (1) | 100 | 100 |
CarMax Auto Owner Trust, Series 2021-2, Class C, 1.34%, 2/16/27 | 100 | 95 |
CarMax Auto Owner Trust, Series 2022-4, Class D, 8.08%, 4/16/29 | 170 | 177 |
CarMax Auto Owner Trust, Series 2023-3, Class B, 5.47%, 2/15/29 | 45 | 45 |
CarMax Auto Owner Trust, Series 2023-3, Class C, 5.61%, 2/15/29 | 190 | 189 |
CarMax Auto Owner Trust, Series 2024-1, Class A4, 4.94%, 8/15/29 | 45 | 45 |
CarMax Auto Owner Trust, Series 2024-1, Class C, 5.47%, 8/15/29 | 85 | 85 |
Carvana Auto Receivables Trust, Series 2022-N1, Class D, 4.13%, 12/11/28 (1) | 55 | 54 |
Carvana Auto Receivables Trust, Series 2022-P1, Class C, 3.30%, 4/10/28 | 30 | 28 |
Carvana Auto Receivables Trust, Series 2024-N1, Class B, 5.63%, 5/10/30 (1) | 55 | 55 |
Carvana Auto Receivables Trust, Series 2024-N1, Class C, 5.80%, 5/10/30 (1) | 150 | 150 |
Chase Auto Credit Linked Notes, Series 2021-3, Class B, 0.76%, 2/26/29 (1) | 170 | 165 |
Enterprise Fleet Financing, Series 2021-2, Class A3, 0.74%, 5/20/27 (1) | 305 | 292 |
Enterprise Fleet Financing, Series 2023-1, Class A3, 5.42%, 10/22/29 (1) | 100 | 100 |
Exeter Automobile Receivables Trust, Series 2023-1A, Class D, 6.69%, 6/15/29 | 5 | 5 |
Exeter Automobile Receivables Trust, Series 2023-4A, Class B, 6.31%, 10/15/27 | 90 | 90 |
Ford Credit Auto Lease Trust, Series 2023-B, Class B, 6.20%, 2/15/27 | 40 | 41 |
Ford Credit Auto Lease Trust, Series 2023-B, Class C, 6.43%, 4/15/27 | 60 | 61 |
Ford Credit Auto Lease Trust, Series 2023-B, Class D, 6.97%, 6/15/28 | 25 | 26 |
Ford Credit Auto Owner Trust, Series 2020-1, Class C, 2.54%, 8/15/31 (1) | 275 | 266 |
Ford Credit Auto Owner Trust, Series 2021-A, Class C, 0.83%, 8/15/28 | 70 | 67 |
GM Financial Automobile Leasing Trust, Series 2022-3, Class C, 5.13%, 8/20/26 | 40 | 40 |
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 |
GM Financial Consumer Automobile Receivables Trust, Series 2023-3, Class B, 5.72%, 1/16/29 | 5 | 5 |
GM Financial Consumer Automobile Receivables Trust, Series 2023-3, Class C, 5.92%, 2/16/29 | 10 | 10 |
GMF Floorplan Owner Revolving Trust, Series 2019-2, Class C, 3.30%, 4/15/26 (1) | 190 | 189 |
GMF Floorplan Owner Revolving Trust, Series 2023-1, Class B, 5.73%, 6/15/28 (1) | 100 | 100 |
Navistar Financial Dealer Note Master Owner Trust II, Series 2023-1, Class A, 6.18%, 8/25/28 (1) | 95 | 95 |
Santander Bank Auto Credit-Linked Notes, Series 2022-B, Class B, 5.721%, 8/16/32 (1) | 149 | 148 |
Santander Bank Auto Credit-Linked Notes, Series 2023-B, Class C, 5.933%, 12/15/33 (1) | 250 | 250 |
Santander Drive Auto Receivables Trust, Series 2022-5, Class C, 4.74%, 10/16/28 | 35 | 35 |
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) | 165 | 162 |
SBNA Auto Lease Trust, Series 2024-A, Class A4, 5.24%, 1/22/29 (1) | 80 | 80 |
SFS Auto Receivables Securitization Trust, Series 2024-1A, Class B, 5.38%, 1/21/31 (1) | 170 | 170 |
SFS Auto Receivables Securitization Trust, Series 2024-1A, Class C, 5.51%, 1/20/32 (1) | 15 | 15 |
US Bank, Series 2023-1, Class B, 6.789%, 8/25/32 (1) | 223 | 224 |
4,069 |
T. ROWE PRICE TOTAL RETURN ETF
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Commercial Mortgage-Backed Securities 0.1% | ||
New Economy Assets Phase 1 Sponsor, Series 2021-1, Class B1, 2.41%, 10/20/61 (1) | 100 | 84 |
84 | ||
Other Asset-Backed Securities 9.2% | ||
Amur Equipment Finance Receivables XIII, Series 2024-1A, Class A2, 5.38%, 1/21/31 (1) | 100 | 100 |
Amur Equipment Finance Receivables XIII, Series 2024-1A, Class B, 5.37%, 1/21/31 (1) | 140 | 139 |
Applebee's Funding/IHOP Funding, Series 2023-1A, Class A2, 7.824%, 3/5/53 (1) | 400 | 413 |
AXIS Equipment Finance Receivables, Series 2022-1A, Class D, 2.91%, 8/21/28 (1) | 100 | 95 |
AXIS Equipment Finance Receivables, Series 2022-2A, Class A2, 5.30%, 6/21/28 (1) | 135 | 135 |
CIFC Funding, Series 2019-5A, Class BR, CLO, FRN, 3M TSFR + 2.41%, 7.726%, 1/15/35 (1) | 250 | 250 |
Cologix Canadian Issuer, Series 2022-1CAN, Class A2, 4.94%, 1/25/52 (CAD) (1) | 45 | 31 |
DLLAA, Series 2023-1A, Class A3, 5.64%, 2/22/28 (1) | 55 | 56 |
DLLAA, Series 2023-1A, Class A4, 5.73%, 10/20/31 (1) | 65 | 66 |
DLLST, Series 2024-1A, Class A4, 4.93%, 4/22/30 (1) | 40 | 40 |
Driven Brands Funding, Series 2018-1A, Class A2, 4.739%, 4/20/48 (1) | 146 | 143 |
Elara HGV Timeshare, Series 2023-A, Class A, 6.16%, 2/25/38 (1) | 86 | 87 |
Elara HGV Timeshare Issuer, Series 2023-A, Class C, 7.30%, 2/25/38 (1) | 86 | 88 |
FirstKey Homes Trust, Series 2020-SFR1, Class A, 1.339%, 8/17/37 (1) | 195 | 183 |
FirstKey Homes Trust, Series 2020-SFR1, Class B, 1.74%, 8/17/37 (1) | 125 | 117 |
FirstKey Homes Trust, Series 2020-SFR2, Class B, 1.567%, 10/19/37 (1) | 290 | 270 |
FirstKey Homes Trust, Series 2020-SFR2, Class D, 1.968%, 10/19/37 (1) | 505 | 469 |
FOCUS Brands Funding, Series 2017-1A, Class A2II, 5.093%, 4/30/47 (1) | 145 | 140 |
FOCUS Brands Funding, Series 2022-1, Class A2, 7.206%, 7/30/52 (1) | 49 | 50 |
Galaxy Xxiv CLO, Series 2017-24A, Class D, CLO, FRN, 3M TSFR + 2.71%, 8.026%, 1/15/31 (1) | 250 | 250 |
Goldentree Loan Management US, Series 2021-11A, Class B, CLO, FRN, 3M TSFR + 1.86%, 7.179%, 10/20/34 (1) | 425 | 425 |
GreatAmerica Leasing Receivables Funding, Series 2021-2, Class A3, 0.67%, 7/15/25 | 40 | 39 |
Hardee's Funding, Series 2018-1A, Class A2II, 4.959%, 6/20/48 (1) | 171 | 165 |
Hardee's Funding, Series 2020-1A, Class A2, 3.981%, 12/20/50 (1) | 320 | 286 |
Hardee's Funding, Series 2021-1A, Class A2, 2.865%, 6/20/51 (1) | 200 | 169 |
Hilton Grand Vacations Trust, Series 2020-AA, Class C, 6.42%, 2/25/39 (1) | 80 | 79 |
Home Partners of America Trust, Series 2021-1, Class A, 3.93%, 4/17/39 (1) | 86 | 82 |
Home Partners of America Trust, Series 2022-1, Class D, 4.73%, 4/17/39 (1) | 144 | 135 |
HPEFS Equipment Trust, Series 2021-1A, Class D, 1.03%, 3/20/31 (1) | 216 | 215 |
HPEFS Equipment Trust, Series 2022-3A, Class C, 6.13%, 8/20/29 (1) | 140 | 140 |
HPEFS Equipment Trust, Series 2023-1A, Class B, 5.73%, 4/20/28 (1) | 205 | 205 |
HPEFS Equipment Trust, Series 2023-2A, Class C, 6.48%, 1/21/31 (1) | 100 | 101 |
HPEFS Equipment Trust, Series 2023-2A, Class D, 6.97%, 7/21/31 (1) | 100 | 102 |
HPEFS Equipment Trust, Series 2024-1A, Class C, 5.33%, 5/20/31 (1) | 205 | 204 |
Invesco US CLO, Series 2023-1A, Class AR, CLO, FRN, 3M TSFR + 1.57%, 6.856%, 4/22/37 (1) | 250 | 250 |
KKR, Series 13, Class B1R, CLO, FRN, 3M TSFR + 1.41%, 6.726%, 1/16/28 (1) | 202 | 202 |
KKR CLO 43, Series 2022-43A, Class BR, CLO, FRN, 3M TSFR + 2.50%, 7.845%, 1/15/36 (1) | 300 | 302 |
Kubota Credit Owner Trust, Series 2021-2A, Class A4, 0.74%, 6/15/27 (1) | 190 | 179 |
T. ROWE PRICE TOTAL RETURN ETF
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Kubota Credit Owner Trust, Series 2023-1A, Class A4, 5.07%, 2/15/29 (1) | 50 | 50 |
Madison Park Funding, Series 2019-35A, Class CR, CLO, FRN, 3M TSFR + 2.16%, 7.479%, 4/20/32 (1) | 255 | 253 |
MidOcean Credit, Series 2022-11A, Class BR, CLO, FRN, 3M TSFR + 2.65%, 8.016%, 10/18/33 (1) | 270 | 271 |
MMAF Equipment Finance, Series 2020-A, Class A4, 1.40%, 8/9/30 (1) | 100 | 90 |
MMAF Equipment Finance, Series 2022-B, Class A3, 5.61%, 7/10/28 (1) | 170 | 170 |
MVW Owner Trust, Series 2020-1A, Class C, 4.21%, 10/20/37 (1) | 92 | 88 |
MVW Owner Trust, Series 2023-1A, Class C, 6.54%, 10/20/40 (1) | 79 | 79 |
MVW Owner Trust, Series 2023-1A, Class B, 5.42%, 10/20/40 (1) | 79 | 78 |
Neuberger Berman Loan Advisers, Series 2017-26A, Class BR, CLO, FRN, 3M TSFR + 1.66%, 6.96%, 10/18/30 (1) | 360 | 360 |
Neuberger Berman Loan Advisers, Series 2019-32A, Class BR, CLO, FRN, 3M TSFR + 1.66%, 6.971%, 1/20/32 (1) | 250 | 248 |
Octane Receivables Trust, Series 2022-2A, Class A, 5.11%, 2/22/28 (1) | 40 | 40 |
Octane Receivables Trust, Series 2023-1A, Class A, 5.87%, 5/21/29 (1) | 115 | 115 |
Octane Receivables Trust, Series 2023-3A, Class C, 6.74%, 8/20/29 (1) | 100 | 101 |
Octane Receivables Trust, Series 2023-3A, Class D, 7.58%, 9/20/29 (1) | 100 | 101 |
Peace Park, Series 2021-1A, Class B1, CLO, FRN, 3M TSFR + 1.86%, 7.179%, 10/20/34 (1) | 250 | 251 |
Post Road Equipment Finance, Series 2024-1A, Class A2, 5.59%, 11/15/29 (1) | 100 | 100 |
Post Road Equipment Finance, Series 2024-1A, Class C, 5.81%, 10/15/30 (1) | 100 | 100 |
Progress Residential Trust, Series 2020-SFR2, Class C, 3.077%, 6/17/37 (1) | 250 | 240 |
Sierra Timeshare Receivables Funding, Series 2019-3A, Class A, 2.34%, 8/20/36 (1) | 41 | 39 |
Sierra Timeshare Receivables Funding, Series 2020-2A, Class C, 3.51%, 7/20/37 (1) | 39 | 37 |
Sierra Timeshare Receivables Funding, Series 2022-3A, Class B, 6.32%, 7/20/39 (1) | 117 | 117 |
Sierra Timeshare Receivables Funding, Series 2023-2A, Class A, 5.80%, 4/20/40 (1) | 116 | 117 |
Signal Peak CLO 5, Series 2018-5A, Class D, CLO, FRN, 3M TSFR + 2.91%, 8.236%, 4/25/31 (1) | 250 | 246 |
Symphony Static, Series 2021-1A, Class C, CLO, FRN, 3M TSFR + 2.11%, 7.436%, 10/25/29 (1) | 250 | 246 |
Tricon American Homes, Series 2019-SFR1, Class D, 3.198%, 3/17/38 (1) | 100 | 95 |
Verdant Receivables, Series 2023-1A, Class A2, 6.24%, 1/13/31 (1) | 180 | 180 |
Wellfleet, Series 2021-3A, Class B, CLO, FRN, 3M TSFR + 2.06%, 7.376%, 1/15/35 (1) | 250 | 250 |
10,464 | ||
Student Loan 0.2% | ||
Navient Private Education Refi Loan Trust, Series 2019-CA, Class B, 3.67%, 2/15/68 (1) | 151 | 134 |
SMB Private Education Loan Trust, Series 2022-D, Class B, 6.15%, 10/15/58 (1) | 98 | 97 |
231 | ||
Total Asset-Backed Securities (Cost $14,749) | 14,848 | |
BANK LOANS 4.8% | ||
FINANCIAL INSTITUTIONS 0.9% | ||
Financial Other 0.1% | ||
GTCR W Merger Sub, FRN, 1M TSFR + 3.00%, 1/31/31 | 100 | 100 |
100 |
T. ROWE PRICE TOTAL RETURN ETF
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Insurance 0.8% | ||
AssuredPartners, FRN, 1M TSFR + 3.75%, 9.08%, 2/12/27 | 115 | 115 |
AssuredPartners, FRN, 1M TSFR + 3.50%, 2/14/31 (2) | 35 | 35 |
Asurion, FRN, 1M TSFR + 3.25%, 8.70%, 12/23/26 | 54 | 54 |
Asurion, FRN, 1M TSFR + 5.25%, 10.70%, 1/31/28 | 175 | 167 |
Asurion, FRN, 1M TSFR + 5.25%, 10.70%, 1/20/29 | 180 | 169 |
Asurion, FRN, 1M TSFR + 4.25%, 9.68%, 8/19/28 | 10 | 10 |
Hub International, FRN, 3M TSFR + 3.25%, 8.58%, 6/20/30 | 267 | 266 |
Jones DesLauriers Insurance Management, FRN, 3M TSFR + 3.50%, 8.82%, 3/15/30 (2) | 105 | 105 |
921 | ||
Total Financial Institutions | 1,021 | |
INDUSTRIAL 3.7% | ||
Basic Industry 0.1% | ||
Arsenal AIC Parent, FRN, 1M TSFR + 3.75%, 9.07%, 8/18/30 | 50 | 50 |
50 | ||
Capital Goods 0.7% | ||
Brookfield WEC Holdings, FRN, 1M TSFR + 2.75%, 8.07%, 1/27/31 | 60 | 59 |
Charter NEX US, FRN, 1M TSFR + 3.50%, 8.82%, 12/1/27 | 84 | 84 |
Dynasty Acquisition, FRN, 1M TSFR + 4.00%, 9.33%, 8/24/28 | 73 | 73 |
Dynasty Acquisition, FRN, 1M TSFR + 4.00%, 9.33%, 8/24/28 | 31 | 31 |
Engineered Machinery Holdings, FRN, 3M TSFR + 6.50%, 12.11%, 5/21/29 (3) | 85 | 83 |
Engineered Machinery Holdings, FRN, 3M TSFR + 6.00%, 11.61%, 5/21/29 (3) | 90 | 88 |
Filtration Group, FRN, 1M TSFR + 4.25%, 9.70%, 10/21/28 | 248 | 248 |
LTI Holdings, FRN, 1M TSFR + 3.50%, 8.95%, 9/6/25 (2) | 119 | 118 |
LTI Holdings, FRN, 1M TSFR + 6.75%, 12.20%, 9/6/26 | 10 | 9 |
Vertical US Newco, FRN, 6M TSFR + 3.50%, 9.08%, 7/30/27 | 49 | 49 |
842 | ||
Commercial Services & Supplies 0.0% | ||
Fleet U.S. Bidco, FRN, 3M TSFR + 3.25%, 1/23/31 (2)(3) | 15 | 15 |
15 | ||
Communications 0.1% | ||
Clear Channel Outdoor Holdings, FRN, 3M TSFR + 3.50%, 9.07%, 8/21/26 | 54 | 54 |
CSC Holdings, FRN, 1M TSFR + 4.50%, 9.83%, 1/18/28 | 60 | 58 |
112 | ||
Consumer Cyclical 0.6% | ||
Caesars Entertainment, FRN, 3M TSFR + 3.25%, 8.66%, 2/6/30 | 20 | 20 |
Caesars Entertainment, FRN, 3M TSFR + 2.75%, 2/6/31 | 55 | 55 |
CNT Holdings l, FRN, 3M TSFR + 3.50%, 8.83%, 11/8/27 | 35 | 35 |
Dave & Buster's, FRN, 1M TSFR + 3.25%, 8.63%, 6/29/29 | 55 | 55 |
Delta 2 (LUX), FRN, 3M TSFR + 2.25%, 7.60%, 1/15/30 | 110 | 110 |
IRB Holding, FRN, 1M TSFR + 2.75%, 12/15/27 | 100 | 100 |
K-Mac Holdings, FRN, 1M TSFR + 6.75%, 12.18%, 7/21/29 | 10 | 10 |
Ontario Gaming GTA, FRN, 3M TSFR + 4.25%, 9.60%, 8/1/30 (2) | 80 | 80 |
T. ROWE PRICE TOTAL RETURN ETF
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Tacala, FRN, 1M TSFR + 4.00%, 9.57%, 1/31/31 | 5 | 5 |
Tenneco, FRN, 3M TSFR + 5.00%, 10.47%, 11/17/28 | 60 | 56 |
UFC Holdings, FRN, 3M TSFR + 2.75%, 8.34%, 4/29/26 | 102 | 102 |
Wand NewCo 3, FRN, 1M TSFR + 3.75%, 9.07%, 1/30/31 | 99 | 99 |
727 | ||
Consumer Non-Cyclical 0.4% | ||
Bausch & Lomb, FRN, 1M TSFR + 3.25%, 8.68%, 5/10/27 | 115 | 114 |
LifePoint Health, FRN, 3M TSFR + 5.50%, 11.09%, 11/16/28 | 60 | 60 |
Medline Borrower, FRN, 1M TSFR + 3.00%, 8.45%, 10/23/28 | 85 | 85 |
Parexel International, FRN, 1M TSFR + 3.25%, 8.70%, 11/15/28 | 104 | 104 |
Sunshine Luxembourg VII, FRN, 3M TSFR + 3.50%, 8.95%, 10/1/26 | 49 | 49 |
412 | ||
Energy 0.0% | ||
Brazos Delaware II, FRN, 1M TSFR + 3.75%, 9.08%, 2/11/30 | 19 | 19 |
Prairie ECI Acquiror, FRN, 3M TSFR + 4.75%, 2/22/29 (2) | 20 | 20 |
39 | ||
Technology 1.7% | ||
Applied Systems, FRN, 3M TSFR + 5.25%, 2/23/32 (2) | 223 | 228 |
Applied Systems, FRN, 1M TSFR + 3.50%, 8.82%, 2/24/31 (2) | 219 | 220 |
Ascend Learning, FRN, 1M TSFR + 3.50%, 8.93%, 12/11/28 | 34 | 34 |
Ascend Learning, FRN, 1M TSFR + 5.75%, 11.18%, 12/10/29 | 90 | 86 |
Athenahealth Group, FRN, 1M TSFR + 3.25%, 8.58%, 2/15/29 | 47 | 47 |
Banff Merger Sub, FRN, 1M TSFR + 4.25%, 9.58%, 12/29/28 | 65 | 65 |
Central Parent, FRN, 3M TSFR + 4.00%, 9.35%, 7/6/29 | 20 | 20 |
Cloud Software Group, FRN, 3M TSFR + 4.50%, 9.95%, 3/30/29 | 104 | 103 |
Delta TopCo, FRN, 3M TSFR + 7.25%, 12.62%, 12/1/28 | 25 | 25 |
Epicor Software, FRN, 1M TSFR + 3.25%, 8.70%, 7/30/27 (2) | 127 | 127 |
Epicor Software, FRN, 1M TSFR + 3.75%, 9.08%, 7/30/27 | 25 | 25 |
McAfee, FRN, 1M TSFR + 3.75%, 9.20%, 3/1/29 | 60 | 59 |
Neptune Bidco US, FRN, 3M TSFR + 5.00%, 10.42%, 4/11/29 | 60 | 55 |
Peraton, FRN, 3M TSFR + 7.75%, 13.22%, 2/1/29 | 24 | 24 |
RealPage, FRN, 1M TSFR + 3.00%, 8.45%, 4/24/28 | 84 | 82 |
RealPage, FRN, 1M TSFR + 6.50%, 11.95%, 4/23/29 | 110 | 109 |
Sophia, FRN, 1M TSFR + 4.25%, 9.58%, 10/7/27 | 74 | 74 |
Sophia, FRN, 1M TSFR + 3.50%, 10/8/29 (2) | 15 | 15 |
Ultimate Software Group, FRN, 3M TSFR + 5.25%, 10.68%, 5/3/27 | 216 | 218 |
Ultimate Software Group, FRN, 3M TSFR + 3.50%, 8.82%, 2/10/31 | 228 | 228 |
Waystar Technologies, FRN, 1M TSFR + 4.00%, 9.32%, 10/22/29 | 35 | 35 |
1,879 | ||
Transportation 0.1% | ||
American Airlines, FRN, 3M TSFR + 4.75%, 10.33%, 4/20/28 | 91 | 93 |
Mileage Plus Holdings, FRN, 3M TSFR + 5.25%, 10.77%, 6/21/27 | 44 | 46 |
139 | ||
Total Industrial | 4,215 |
T. ROWE PRICE TOTAL RETURN ETF
Par/Shares | $ Value | |
(Amounts in 000s) | ||
UTILITY 0.2% | ||
Electric 0.2% | ||
PG&E, FRN, 1M TSFR + 3.00%, 7.83%, 6/23/27 | 10 | 10 |
Talen Energy Supply, FRN, 3M TSFR + 4.50%, 9.87%, 5/17/30 | 32 | 32 |
Talen Energy Supply, FRN, 3M TSFR + 4.50%, 9.87%, 5/17/30 | 128 | 128 |
170 | ||
Total Utility | 170 | |
Total Bank Loans (Cost $5,361) | 5,406 | |
CONVERTIBLE PREFERRED STOCKS 0.0% | ||
UTILITY 0.0% | ||
Electric 0.0 | ||
NextEra Energy, 6.926%, 9/1/25 (4) | 1 | 35 |
35 | ||
Total Utility | 35 | |
Total Convertible Preferred Stocks (Cost $46) | 35 | |
CORPORATE BONDS 22.1% | ||
AGENCIES 0.7% | ||
Owned No Guarantee 0.7% | ||
Corp Nacional del Cobre de Chile, 6.30%, 9/8/53 (1) | 295 | 286 |
Corp Nacional del Cobre de Chile, 6.44%, 1/26/36 (1) | 200 | 203 |
Petroleos Mexicanos, 6.50%, 3/13/27 | 295 | 274 |
763 | ||
Total Agencies | 763 | |
FINANCIAL INSTITUTIONS 6.1% | ||
Banking 3.3% | ||
Banco de Credito del Peru SA, VR, 3.25%, 9/30/31 (1)(5) | 200 | 182 |
Bangkok Bank, VR, 3.466%, 9/23/36 (5) | 200 | 168 |
Bank of America, VR, 1.898%, 7/23/31 (5) | 40 | 32 |
Bank of America, VR, 2.972%, 2/4/33 (5) | 20 | 17 |
Bank of America, 3.42%, 12/20/28 (5) | 330 | 309 |
Bank of America, VR, 5.872%, 9/15/34 (5) | 280 | 287 |
Bank of New York Mellon, VR, 6.474%, 10/25/34 (5) | 165 | 179 |
BBVA Bancomer SA, VR, 8.45%, 6/29/38 (1)(5) | 200 | 210 |
BNP Paribas, 5.497%, 5/20/30 (1)(4)(5) | 200 | 200 |
CaixaBank SA, VR, 6.208%, 1/18/29 (1)(5) | 200 | 203 |
Capital One Financial, VR, 2.36%, 7/29/32 (5) | 4 | 3 |
Capital One Financial, VR, 3.273%, 3/1/30 (5) | 55 | 49 |
Capital One Financial, VR, 5.468%, 2/1/29 (5) | 24 | 24 |
Capital One Financial, 5.70%, 2/1/30 (4)(5) | 60 | 60 |
Capital One Financial, VR, 6.312%, 6/8/29 (5) | 130 | 133 |
Credit Suisse Group, 6.537%, 8/12/33 (1)(5) | 250 | 260 |
T. ROWE PRICE TOTAL RETURN ETF
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Fifth Third Bancorp, 2.55%, 5/5/27 | 5 | 5 |
Fifth Third Bancorp, VR, 6.34%, 7/27/29 (5) | 60 | 62 |
Goldman Sachs Group, VR, 3.102%, 2/24/33 (5) | 40 | 34 |
Goldman Sachs Group, VR, 4.482%, 8/23/28 (5) | 14 | 14 |
ING Groep, 4.017%, 3/28/28 (5) | 220 | 211 |
Santander UK Group Holdings, VR, 3.823%, 11/3/28 (5) | 200 | 186 |
Societe Generale, 5.519%, 1/19/28 (1)(5) | 230 | 227 |
UBS Group, VR, 5.96%, 1/12/34 (1)(5) | 200 | 202 |
US Bancorp, 5.384%, 1/23/30 (5) | 45 | 45 |
Wells Fargo, VR, 2.572%, 2/11/31 (5) | 30 | 26 |
Wells Fargo, 3.526%, 3/24/28 (5) | 290 | 275 |
Wells Fargo, 5.198%, 1/23/30 (5) | 135 | 134 |
3,737 | ||
Brokerage Asset Managers Exchanges 0.2% | ||
AG TTMT Escrow Issuer, 8.625%, 9/30/27 (1) | 40 | 41 |
HAT Holdings I / HAT Holdings II, 8.00%, 6/15/27 (1) | 60 | 62 |
Kane Bidco, 5.00%, 2/15/27 (EUR) | 110 | 116 |
219 | ||
Finance Companies 0.5% | ||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 5.30%, 1/19/34 | 150 | 144 |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.15%, 9/30/30 | 150 | 155 |
Navient, 5.625%, 8/1/33 | 10 | 8 |
Navient, 9.375%, 7/25/30 | 65 | 68 |
Navient, 11.50%, 3/15/31 | 40 | 44 |
OneMain Finance, 9.00%, 1/15/29 | 115 | 121 |
540 | ||
Financial Other 0.1% | ||
Howard Hughes, 4.125%, 2/1/29 (1)(4) | 5 | 4 |
Howard Hughes, 5.375%, 8/1/28 (1) | 90 | 85 |
89 | ||
Insurance 1.7% | ||
Acrisure, 10.125%, 8/1/26 (1) | 60 | 62 |
Alliant Holdings Intermediate, 6.75%, 10/15/27 (1) | 290 | 281 |
Alliant Holdings Intermediate / Alliant Holdings, 7.00%, 1/15/31 (1) | 140 | 139 |
AmWINS Group, 4.875%, 6/30/29 (1) | 39 | 36 |
AmWINS Group, 6.375%, 2/15/29 (1) | 110 | 110 |
AssuredPartners, 7.50%, 2/15/32 (1) | 78 | 77 |
Centene, 2.50%, 3/1/31 | 30 | 25 |
Centene, 2.625%, 8/1/31 | 490 | 401 |
Centene, 3.00%, 10/15/30 | 10 | 8 |
Centene, 3.375%, 2/15/30 | 20 | 18 |
Centene, 4.625%, 12/15/29 | 15 | 14 |
Corebridge Global Funding, 5.20%, 1/12/29 (1) | 45 | 44 |
Hub International, 5.625%, 12/1/29 (1) | 60 | 56 |
T. ROWE PRICE TOTAL RETURN ETF
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Hub International, 7.25%, 6/15/30 (1) | 285 | 290 |
Hub International, 7.375%, 1/31/32 (1) | 50 | 50 |
Jones Deslauriers Insurance Management, 8.50%, 3/15/30 (1) | 120 | 125 |
Jones Deslauriers Insurance Management, 10.50%, 12/15/30 (1) | 190 | 198 |
1,934 | ||
Real Estate Investment Trusts 0.3% | ||
Alexandria Real Estate Equities, 5.25%, 5/15/36 | 25 | 24 |
Brixmor Operating Partnership, 3.90%, 3/15/27 | 25 | 24 |
Brixmor Operating Partnership, 4.05%, 7/1/30 | 2 | 2 |
Brixmor Operating Partnership, 4.125%, 5/15/29 | 30 | 28 |
Healthcare Realty Holdings, 2.40%, 3/15/30 | 5 | 4 |
Kilroy Realty, 2.50%, 11/15/32 | 20 | 15 |
Kilroy Realty, 3.05%, 2/15/30 | 30 | 25 |
Kilroy Realty, 4.25%, 8/15/29 | 40 | 37 |
MPT Operating Partnership / MPT Finance, 0.993%, 10/15/26 (EUR) | 165 | 139 |
MPT Operating Partnership / MPT Finance, 5.00%, 10/15/27 | 40 | 32 |
Service Properties Trust, 8.625%, 11/15/31 (1) | 50 | 53 |
383 | ||
Total Financial Institutions | 6,902 | |
INDUSTRIAL 14.3% | ||
Basic Industry 0.6% | ||
Arsenal AIC Parent, 8.00%, 10/1/30 (1) | 40 | 42 |
Arsenal AIC Parent, 11.50%, 10/1/31 (1) | 75 | 82 |
ATI, 7.25%, 8/15/30 | 50 | 51 |
Axalta Coating Systems Dutch Holding, 7.25%, 2/15/31 (1) | 150 | 156 |
Carpenter Technology, 7.625%, 3/15/30 | 62 | 64 |
GPD, 10.125%, 4/1/26 (1) | 25 | 23 |
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)(4) | 45 | 39 |
Westlake, 1.625%, 7/17/29 (EUR) | 180 | 171 |
Windsor Holdings III, 8.50%, 6/15/30 (1) | 45 | 47 |
693 | ||
Capital Goods 1.0% | ||
Boeing, 5.15%, 5/1/30 | 215 | 211 |
GFL Environmental, 5.125%, 12/15/26 (1)(4) | 2 | 2 |
Itelyum Regeneration, 4.625%, 10/1/26 (EUR) | 110 | 115 |
Madison IAQ, 5.875%, 6/30/29 (1)(4) | 5 | 5 |
Mueller Water Products, 4.00%, 6/15/29 (1) | 35 | 32 |
Regal Rexnord, 6.05%, 2/15/26 (1) | 15 | 15 |
Ritchie Bros Holdings, 6.75%, 3/15/28 (1) | 35 | 36 |
Sealed Air, 6.125%, 2/1/28 (1) | 5 | 5 |
Sealed Air, 6.875%, 7/15/33 (1) | 60 | 62 |
Sealed Air/Sealed Air US, 7.25%, 2/15/31 (1)(4) | 15 | 16 |
T. ROWE PRICE TOTAL RETURN ETF
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Summit Materials, 7.25%, 1/15/31 (1) | 35 | 36 |
TK Elevator Holdco GmbH, 6.625%, 7/15/28 (EUR) | 202 | 210 |
TK Elevator US Newco, 5.25%, 7/15/27 (1) | 200 | 191 |
TransDigm, 6.75%, 8/15/28 (1) | 40 | 40 |
TransDigm, 6.875%, 12/15/30 (1) | 75 | 76 |
TransDigm, 7.125%, 12/1/31 (1) | 105 | 108 |
1,160 | ||
Communications 2.9% | ||
Altice Financing SA, 3.00%, 1/15/28 (EUR) | 140 | 133 |
Altice Financing SA, 9.625%, 7/15/27 (1) | 230 | 231 |
Altice France Holding SA, 10.50%, 5/15/27 (1) | 215 | 136 |
Altice France SA, 5.875%, 2/1/27 (EUR) | 120 | 117 |
CCO Holdings, 5.375%, 6/1/29 (1) | 5 | 4 |
CCO Holdings, 6.375%, 9/1/29 (1) | 65 | 61 |
CCO Holdings, 7.375%, 3/1/31 (1) | 85 | 82 |
Clear Channel Outdoor Holdings, 7.50%, 6/1/29 (1)(4) | 25 | 21 |
Clear Channel Outdoor Holdings, 7.75%, 4/15/28 (1)(4) | 85 | 74 |
Clear Channel Outdoor Holdings, 9.00%, 9/15/28 (1) | 80 | 83 |
CMG Media, 8.875%, 12/15/27 (1)(4) | 30 | 19 |
Crown Castle, 3.80%, 2/15/28 | 300 | 282 |
CSC Holdings, 11.75%, 1/31/29 (1) | 200 | 209 |
DISH DBS, 5.25%, 12/1/26 (1) | 60 | 48 |
DISH DBS, 7.75%, 7/1/26 | 85 | 54 |
iHeartCommunications, 8.375%, 5/1/27 | 35 | 21 |
Intelsat Jackson Holdings, 6.50%, 3/15/30 (1) | 15 | 14 |
Midas Opco Holdings, 5.625%, 8/15/29 (1)(4) | 75 | 66 |
Radiate Holdco/Radiate Finance, 6.50%, 9/15/28 (1) | 40 | 19 |
Rogers Communications, 3.80%, 3/15/32 | 355 | 316 |
Rogers Communications, 4.55%, 3/15/52 | 260 | 214 |
Rogers Communications, 5.30%, 2/15/34 | 145 | 142 |
Sirius XM Radio, 4.00%, 7/15/28 (1) | 60 | 54 |
Sirius XM Radio, 5.00%, 8/1/27 (1) | 32 | 30 |
Sprint Capital, 8.75%, 3/15/32 | 125 | 151 |
T-Mobile USA, 5.20%, 1/15/33 | 40 | 40 |
T-Mobile USA, 5.75%, 1/15/54 | 365 | 370 |
Townsquare Media, 6.875%, 2/1/26 (1)(4) | 41 | 40 |
Univision Communications, 7.375%, 6/30/30 (1) | 12 | 12 |
Univision Communications, 8.00%, 8/15/28 (1)(4) | 30 | 30 |
Viasat, 7.50%, 5/30/31 (1) | 80 | 56 |
Ziggo Bond, 3.375%, 2/28/30 (EUR) | 140 | 129 |
3,258 | ||
Consumer Cyclical 2.9% | ||
Adient Global Holdings, 8.25%, 4/15/31 (1)(4) | 80 | 84 |
Allied Universal Holdco, 7.875%, 2/15/31 (1) | 112 | 111 |
Allied Universal Holdco/Allied Universal Finance, 9.75%, 7/15/27 (1)(4) | 70 | 70 |
T. ROWE PRICE TOTAL RETURN ETF
Par/Shares | $ Value | |
(Amounts in 000s) | ||
At Home Group, 4.875%, 7/15/28 (1) | 8 | 3 |
AutoZone, 6.55%, 11/1/33 | 98 | 106 |
Bath & Body Works, 6.75%, 7/1/36 (4) | 40 | 39 |
Bath & Body Works, 6.95%, 3/1/33 (4) | 20 | 19 |
Bath & Body Works, 9.375%, 7/1/25 (1) | 10 | 10 |
Caesars Entertainment, 7.00%, 2/15/30 (1) | 105 | 107 |
Caesars Entertainment, 8.125%, 7/1/27 (1) | 30 | 31 |
Carnival, 7.00%, 8/15/29 (1) | 35 | 36 |
Carnival, 10.50%, 6/1/30 (1) | 150 | 163 |
Cedar Fair, 6.50%, 10/1/28 | 50 | 50 |
Churchill Downs, 6.75%, 5/1/31 (1) | 50 | 50 |
Cinemark USA, 5.875%, 3/15/26 (1)(4) | 80 | 79 |
Clarios Global, 6.75%, 5/15/28 (1) | 37 | 37 |
Clarios Global, 8.50%, 5/15/27 (1)(4) | 40 | 40 |
Cushman & Wakefield US Borrower, 6.75%, 5/15/28 (1) | 10 | 10 |
Cushman & Wakefield US Borrower, 8.875%, 9/1/31 (1) | 50 | 52 |
Dana Financing Luxembourg, 8.50%, 7/15/31 (EUR) | 100 | 118 |
Dave & Buster's, 7.625%, 11/1/25 (1) | 8 | 8 |
Ford Motor, 9.625%, 4/22/30 | 90 | 105 |
Ford Motor Credit, 6.95%, 3/6/26 | 200 | 204 |
Goodyear Tire & Rubber, 5.00%, 7/15/29 (4) | 20 | 18 |
Goodyear Tire & Rubber, 5.25%, 7/15/31 (4) | 55 | 50 |
Hilton Domestic Operating, 4.00%, 5/1/31 (1) | 5 | 4 |
Hyundai Capital America, 5.40%, 1/8/31 (1) | 40 | 40 |
Hyundai Capital America, 5.50%, 3/30/26 (1) | 15 | 15 |
Inter Media and Communication, 6.75%, 2/9/27 (EUR) | 110 | 115 |
L Brands, 6.625%, 10/1/30 (1) | 35 | 35 |
Life Time, 5.75%, 1/15/26 (1) | 43 | 43 |
Life Time, 8.00%, 4/15/26 (1)(4) | 55 | 55 |
Light & Wonder International, 7.25%, 11/15/29 (1) | 45 | 46 |
Light & Wonder International, 7.50%, 9/1/31 (1) | 20 | 21 |
Live Nation Entertainment, 4.75%, 10/15/27 (1) | 30 | 29 |
Match Group, 4.125%, 8/1/30 (1) | 5 | 4 |
Match Group, 4.625%, 6/1/28 (1) | 5 | 5 |
Match Group, 5.00%, 12/15/27 (1) | 107 | 102 |
Melco Resorts Finance, 5.75%, 7/21/28 | 200 | 188 |
Motion Bondco, 4.50%, 11/15/27 (EUR) | 115 | 118 |
Nissan Motor Acceptance, 1.85%, 9/16/26 (1) | 10 | 9 |
Nissan Motor Acceptance, 6.95%, 9/15/26 (1)(4) | 15 | 15 |
Ontario Gaming GTA, 8.00%, 8/1/30 (1)(4) | 45 | 46 |
Rivian Automotive, 4.625%, 3/15/29 (1) | 30 | 24 |
Rivian Holdings, 6M USD LIBOR + 5.63%, 11.493%, 10/15/26 (1) | 276 | 263 |
Royal Caribbean Cruises, 6.25%, 3/15/32 (1) | 55 | 55 |
Royal Caribbean Cruises, 8.25%, 1/15/29 (1) | 50 | 53 |
SeaWorld Parks & Entertainment, 5.25%, 8/15/29 (1) | 34 | 32 |
Six Flags Entertainment, 7.25%, 5/15/31 (1) | 14 | 14 |
Tenneco, 8.00%, 11/17/28 (1) | 90 | 82 |
T. ROWE PRICE TOTAL RETURN ETF
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Wand NewCo 3, 7.625%, 1/30/32 (1) | 45 | 46 |
Wolverine World Wide, 4.00%, 8/15/29 (1)(4) | 5 | 4 |
Yum! Brands, 5.375%, 4/1/32 | 50 | 48 |
ZF North America Capital, 6.875%, 4/14/28 (1) | 155 | 158 |
3,269 | ||
Consumer Non-Cyclical 2.4% | ||
AbbVie, 4.875%, 11/14/48 | 30 | 28 |
Altria Group, 3.125%, 6/15/31 (EUR) | 175 | 174 |
Amgen, 5.25%, 3/2/33 (4) | 110 | 110 |
Avantor Funding, 4.625%, 7/15/28 (1) | 35 | 33 |
BAT Capital, 5.834%, 2/20/31 | 110 | 110 |
Bausch & Lomb Escrow, 8.375%, 10/1/28 (1) | 40 | 42 |
Bayer US Finance, 6.25%, 1/21/29 (1) | 200 | 200 |
Bimbo Bakeries USA, 6.05%, 1/15/29 (1) | 200 | 206 |
Bristol-Myers Squibb, 5.50%, 2/22/44 | 45 | 46 |
Bristol-Myers Squibb, 5.55%, 2/22/54 | 35 | 35 |
Bristol-Myers Squibb, 5.65%, 2/22/64 (4) | 45 | 46 |
CVS Health, 5.625%, 2/21/53 | 55 | 53 |
Darling Ingredients, 6.00%, 6/15/30 (1) | 7 | 7 |
HCA, 3.125%, 3/15/27 | 10 | 9 |
IQVIA, 6.25%, 2/1/29 | 65 | 67 |
LifePoint Health, 9.875%, 8/15/30 (1)(4) | 40 | 42 |
LifePoint Health, 11.00%, 10/15/30 (1) | 50 | 53 |
Medline Borrower, 5.25%, 10/1/29 (1)(4) | 70 | 65 |
Pfizer Investment Enterprises, 5.34%, 5/19/63 | 160 | 154 |
Solventum, 5.40%, 3/1/29 (1) | 75 | 75 |
Solventum, 5.45%, 3/13/31 (1) | 175 | 173 |
Solventum, 5.60%, 3/23/34 (1) | 125 | 124 |
Solventum, 5.90%, 4/30/54 (1) | 120 | 119 |
Tenet Healthcare, 6.125%, 10/1/28 (4) | 40 | 40 |
Tenet Healthcare, 6.125%, 6/15/30 | 50 | 49 |
Tenet Healthcare, 6.875%, 11/15/31 | 50 | 51 |
Teva Pharmaceutical Finance Netherlands III, 8.125%, 9/15/31 | 200 | 216 |
Utah Acquisition Sub, 3.95%, 6/15/26 | 85 | 82 |
Utah Acquisition Sub, 5.25%, 6/15/46 | 425 | 346 |
2,755 | ||
Energy 3.1% | ||
Aethon United Finance, 8.25%, 2/15/26 (1) | 45 | 45 |
Amerada Hess, 7.125%, 3/15/33 | 5 | 6 |
Chesapeake Energy, 5.875%, 2/1/29 (1) | 30 | 29 |
Chesapeake Energy, 6.75%, 4/15/29 (1) | 40 | 40 |
Civitas Resources, 8.375%, 7/1/28 (1) | 45 | 47 |
Columbia Pipelines Holding, 6.042%, 8/15/28 (1) | 30 | 31 |
Comstock Resources, 6.75%, 3/1/29 (1)(4) | 60 | 55 |
Continental Resources, 4.90%, 6/1/44 (4) | 10 | 8 |
T. ROWE PRICE TOTAL RETURN ETF
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Crescent Energy Finance, 9.25%, 2/15/28 (1) | 95 | 99 |
Crestwood Mid Partner, 5.625%, 5/1/27 (1) | 225 | 223 |
Enbridge, 6.20%, 11/15/30 | 35 | 37 |
Energean Israel Finance, 4.875%, 3/30/26 (1) | 129 | 121 |
Ferrellgas, 5.375%, 4/1/26 (1) | 50 | 49 |
Greensaif Pipelines Bidco, 6.51%, 2/23/42 | 200 | 205 |
Hess, 7.30%, 8/15/31 (4) | 5 | 6 |
Hilcorp Energy, 5.75%, 2/1/29 (1) | 5 | 5 |
Hilcorp Energy, 6.00%, 4/15/30 (1) | 70 | 68 |
Hilcorp Energy, 6.00%, 2/1/31 (1) | 5 | 5 |
Hilcorp Energy, 8.375%, 11/1/33 (1) | 95 | 102 |
Kinetik Holdings, 5.875%, 6/15/30 (1) | 65 | 63 |
Kinetik Holdings, 6.625%, 12/15/28 (1) | 144 | 146 |
Leviathan Bond, 6.125%, 6/30/25 (1) | 42 | 41 |
Magnolia Oil & Gas Operating, 6.00%, 8/1/26 (1) | 105 | 103 |
Matador Resources, 5.875%, 9/15/26 | 20 | 20 |
NGL Energy Operating / NGL Energy Finance, 8.125%, 2/15/29 (1)(4) | 15 | 15 |
NGL Energy Operating / NGL Energy Finance, 8.375%, 2/15/32 (1) | 15 | 15 |
Northriver Midstream Finance, 5.625%, 2/15/26 (1) | 45 | 44 |
NuStar Logistics, 6.00%, 6/1/26 | 35 | 35 |
Occidental Petroleum, 6.20%, 3/15/40 | 160 | 162 |
Occidental Petroleum, 6.45%, 9/15/36 | 10 | 11 |
Occidental Petroleum, 7.50%, 5/1/31 | 10 | 11 |
Occidental Petroleum, 7.95%, 6/15/39 | 10 | 12 |
Occidental Petroleum, 8.875%, 7/15/30 | 140 | 161 |
Patterson-UTI Energy, 7.15%, 10/1/33 (4) | 35 | 37 |
Permian Resources Operating, 9.875%, 7/15/31 (1) | 50 | 55 |
Prairie Acquiror, 3M TSFR + 4.75%, 9.00%, 8/1/29 (1) | 20 | 20 |
Raizen Fuels Finance, 6.45%, 3/5/34 (1) | 200 | 202 |
Range Resources, 4.75%, 2/15/30 (1)(4) | 45 | 42 |
Seadrill Finance, 8.375%, 8/1/30 (1) | 200 | 205 |
SilverBow Resources, 3M TSFR + 7.75%, 13.135%, 12/15/28 (1) | 155 | 151 |
Southwestern Energy, 4.75%, 2/1/32 | 50 | 45 |
Southwestern Energy, 5.375%, 3/15/30 | 30 | 29 |
Tallgrass Energy Partners, 6.00%, 3/1/27 (1) | 72 | 71 |
Tallgrass Energy Partners / Tallgrass Energy Finance, 7.375%, 2/15/29 (1) | 40 | 40 |
Targa Resources Partners, 5.50%, 3/1/30 | 12 | 12 |
TER Finance Jersey Zero Coupon, 1/2/25 (1) | 100 | 94 |
Transocean, 8.75%, 2/15/30 (1) | 20 | 21 |
Transocean, 11.50%, 1/30/27 (1) | 16 | 17 |
Transocean Aquila, 8.00%, 9/30/28 (1) | 35 | 36 |
Venture Global Calcasieu, 4.125%, 8/15/31 (1) | 60 | 52 |
Venture Global Calcasieu, 6.25%, 1/15/30 (1) | 70 | 70 |
Venture Global LNG, 8.375%, 6/1/31 (1) | 55 | 56 |
Venture Global LNG, 9.50%, 2/1/29 (1) | 180 | 192 |
Vermilion Energy, 6.875%, 5/1/30 (1) | 65 | 62 |
3,529 |
T. ROWE PRICE TOTAL RETURN ETF
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Industrial Other 0.1% | ||
Booz Allen Hamilton, 5.95%, 8/4/33 | 45 | 46 |
46 | ||
Technology 1.1% | ||
Athenahealth Group, 6.50%, 2/15/30 (1)(4) | 50 | 45 |
Capstone Borrower, 8.00%, 6/15/30 (1) | 45 | 46 |
Central Parent, 7.25%, 6/15/29 (1) | 35 | 35 |
Central Parent/CDK Global II/CDK Financing, 8.00%, 6/15/29 (1) | 40 | 41 |
Cloud Software Group, 9.00%, 9/30/29 (1) | 150 | 139 |
Entegris Escrow, 5.95%, 6/15/30 (1) | 40 | 39 |
Fiserv, 5.45%, 3/15/34 | 215 | 214 |
Gen Digital, 7.125%, 9/30/30 (1)(4) | 25 | 25 |
GTCR W-2 Merger Sub, 7.50%, 1/15/31 (1) | 200 | 209 |
Micron Technology, 5.30%, 1/15/31 | 75 | 74 |
Neptune Bidco, 9.29%, 4/15/29 (1) | 20 | 19 |
Presidio Holdings, 8.25%, 2/1/28 (1) | 25 | 25 |
Sensata Technologies, 5.875%, 9/1/30 (1) | 200 | 194 |
UKG, 6.875%, 2/1/31 (1) | 145 | 147 |
1,252 | ||
Transportation 0.2% | ||
American Airlines/AAdvantage, 5.50%, 4/20/26 (1) | 23 | 22 |
Autostrade per l'Italia, 2.00%, 1/15/30 (EUR) | 175 | 167 |
United Airlines, 4.625%, 4/15/29 (1) | 5 | 5 |
Watco, 6.50%, 6/15/27 (1) | 42 | 41 |
235 | ||
Total Industrial | 16,197 | |
UTILITY 1.0% | ||
Electric 1.0% | ||
Exelon, 5.45%, 3/15/34 | 50 | 50 |
Georgia Power, 5.25%, 3/15/34 | 100 | 99 |
NRG Energy, 10.25% (1)(5)(6) | 16 | 17 |
Pacific Gas & Electric, 2.50%, 2/1/31 | 45 | 37 |
Pacific Gas & Electric, 6.70%, 4/1/53 | 125 | 134 |
Pacific Gas and Electric, 6.95%, 3/15/34 | 65 | 70 |
PG&E, 5.00%, 7/1/28 (4) | 50 | 48 |
Southern, 5.70%, 3/15/34 | 80 | 82 |
Talen Energy Supply, 8.625%, 6/1/30 (1) | 125 | 132 |
Terraform Global Operating, 6.125%, 3/1/26 (1) | 40 | 39 |
Vistra, 8.00% (1)(5)(6) | 309 | 309 |
Vistra, 8.875% (1)(5)(6) | 45 | 46 |
Vistra Operations, 5.125%, 5/13/25 (1) | 60 | 59 |
Vistra Operations, 7.75%, 10/15/31 (1) | 50 | 52 |
1,174 |
T. ROWE PRICE TOTAL RETURN ETF
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Natural Gas 0.0% | ||
Boston Gas, 6.119%, 7/20/53 (1) | 35 | 35 |
35 | ||
Total Utility | 1,209 | |
Total Corporate Bonds (Cost $24,884) | 25,071 | |
EXCHANGE-TRADED FUNDS 3.0% | ||
Exchange-Traded Funds 3.0% | ||
Invesco Senior Loan ETF (4) | 159 | 3,360 |
Total Exchange-Traded Funds (Cost $3,357) | 3,360 | |
FOREIGN GOVERNMENT OBLIGATIONS & MUNICIPALITIES 2.9% | ||
Owned No Guarantee 0.2% | ||
Bank Negara Indonesia Persero, 3.75%, 3/30/26 | 200 | 191 |
191 | ||
Sovereign 1.7% | ||
Albania Government International Bonds, 3.50%, 11/23/31 (EUR) | 355 | 346 |
Bulgaria Government International Bond, 4.50%, 1/27/33 (EUR) | 580 | 656 |
Ivory Coast Government International Bonds, 8.25%, 1/30/37 (1) | 200 | 195 |
Panama Government International Bonds, 7.50%, 3/1/31 | 200 | 205 |
Saudi Government International Bonds, 5.75%, 1/16/54 (1) | 200 | 193 |
Serbia International Bonds, 6.50%, 9/26/33 | 325 | 330 |
1,925 | ||
Treasuries 1.0% | ||
Brazil Notas do Tesouro Nacional, 10.00%, 1/1/31 (BRL) | 5,800 | 1,131 |
1,131 | ||
Total Foreign Government Obligations & Municipalities (Cost $3,232) | 3,247 | |
MUNICIPAL SECURITIES 0.0% | ||
Puerto Rico 0.0% | ||
Puerto Rico Commonwealth, Series A1, 5.375%, 7/1/25 | 4 | 4 |
Puerto Rico Commonwealth, Series A1, 5.625%, 7/1/27 | 4 | 4 |
Puerto Rico Commonwealth, Series A1, 5.625%, 7/1/29 | 4 | 4 |
Puerto Rico Commonwealth, Series A1, 4.00%, 7/1/33 | 3 | 3 |
Puerto Rico Commonwealth, Series A1, 4.00%, 7/1/35 | 3 | 3 |
Puerto Rico Commonwealth, Series A1, 4.00%, 7/1/37 | 2 | 2 |
Puerto Rico Commonwealth, Series A1, 4.00%, 7/1/41 | 3 | 3 |
Puerto Rico Commonwealth, Series A, 0.01%, 7/1/24 | 1 | 0 |
Puerto Rico Commonwealth, Series A, Zero Coupon, 7/1/33 | 4 | 3 |
T. ROWE PRICE TOTAL RETURN ETF
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Puerto Rico Commonwealth, Series CW, Zero Coupon, 11/1/43 (7) | 74 | 43 |
69 | ||
Total Municipal Securities (Cost $62) | 69 | |
NON-U.S. GOVERNMENT MORTGAGE-BACKED SECURITIES 7.3% | ||
Collateralized Mortgage Obligations 3.9% | ||
Angel Oak Mortgage Trust, Series 2021-1, Class A3, CMO, ARM, 1.217%, 1/25/66 (1) | 154 | 129 |
Angel Oak Mortgage Trust, Series 2022-2, Class A1, CMO, ARM, 3.353%, 1/25/67 (1) | 247 | 226 |
Angel Oak Mortgage Trust, Series 2022-6, Class A1, CMO, ARM, 4.30%, 7/25/67 (1) | 289 | 276 |
Angel Oak Mortgage Trust, Series 2023-6, Class A2, CMO, ARM, 6.50%, 12/25/67 (1) | 116 | 116 |
Bayview Opportunity Master Funding, Series 2020-1, Class A3, CMO, ARM, 3.285%, 5/28/50 (1) | 100 | 82 |
Citigroup Mortgage Loan Trust, Series 2020-EXP2, Class A3, CMO, ARM, 2.50%, 8/25/50 (1) | 101 | 84 |
Ellington Financial Mortgage Trust, Series 2021-3, Class M1, CMO, ARM, 2.53%, 9/25/66 (1) | 200 | 120 |
Flagstar Mortgage Trust, Series 2021-11IN, Class A18, CMO, ARM, 2.50%, 11/25/51 (1) | 87 | 69 |
GCAT, Series 2021-NQM5, Class A3, CMO, ARM, 1.57%, 7/25/66 (1) | 132 | 105 |
GS Mortgage-Backed Securities Trust, Series 2021-GR2, Class A4, CMO, ARM, 2.50%, 2/25/52 (1) | 437 | 342 |
JP Morgan Mortgage Trust, Series 2016-3, Class B3, CMO, ARM, 3.285%, 10/25/46 (1) | 92 | 84 |
JP Morgan Mortgage Trust, Series 2017-2, Class B5, CMO, ARM, 3.649%, 5/25/47 (1) | 369 | 305 |
JP Morgan Mortgage Trust, Series 2017-5, Class B2, CMO, ARM, 3.951%, 10/26/48 (1) | 218 | 207 |
JP Morgan Mortgage Trust, Series 2020-5, Class B2, CMO, ARM, 3.572%, 12/25/50 (1) | 184 | 155 |
JP Morgan Mortgage Trust, Series 2020-LTV1, Class B1A, CMO, ARM, 3.255%, 6/25/50 (1) | 181 | 151 |
JP Morgan Mortgage Trust, Series 2022-LTV1, Class A2, CMO, ARM, 3.518%, 7/25/52 (1) | 60 | 50 |
JP Morgan Mortgage Trust, Series 2023-DSC2, Class A1, CMO, ARM, 5.25%, 11/25/63 (1) | 209 | 204 |
MFA 2023-INV2 Trust, Series 2023-INV2, Class A2, CMO, ARM, 7.177%, 10/25/58 (1) | 98 | 99 |
MFA Trust, Series 2022-INV2, Class A1, CMO, ARM, 4.95%, 7/25/57 (1) | 391 | 386 |
OBX Trust, Series 2019-INV1, Class A3, CMO, ARM, 4.50%, 11/25/48 (1) | 241 | 227 |
OBX Trust, Series 2023-NQM10, Class A2, CMO, ARM, 6.92%, 10/25/63 (1) | 1 | 2 |
OBX Trust, Series 2024-HYB1, Class A1, CMO, ARM, 3.539%, 3/25/53 (1) | 99 | 94 |
Radnor RE, Series 2021-2, Class M1A, CMO, ARM, SOFR30A + 1.85%, 7.172%, 11/25/31 (1) | 31 | 31 |
Sequoia Mortgage Trust, Series 2019-5, Class B3, CMO, ARM, 3.71%, 12/25/49 (1) | 446 | 381 |
Verus Securitization Trust, Series 2020-1, Class A3, CMO, ARM, 3.724%, 1/25/60 (1) | 72 | 69 |
Verus Securitization Trust, Series 2021-1, Class A3, CMO, ARM, 1.155%, 1/25/66 (1) | 119 | 104 |
Verus Securitization Trust, Series 2021-R3, Class A1, CMO, ARM, 1.02%, 4/25/64 (1) | 42 | 37 |
Verus Securitization Trust, Series 2022-4, Class A1, CMO, ARM, 4.474%, 4/25/67 (1) | 78 | 76 |
Verus Securitization Trust, Series 2023-1, Class A1, CMO, ARM, 5.85%, 12/25/67 (1) | 86 | 85 |
Verus Securitization Trust, Series 2023-3, Class A2, CMO, ARM, 6.438%, 3/25/68 (1) | 86 | 86 |
Vista Point Securitization Trust, Series 2020-2, Class A1, CMO, ARM, 1.475%, 4/25/65 (1) | 20 | 18 |
4,400 | ||
Commercial Mortgage-Backed Securities 3.2% | ||
Alen Mortgage Trust, Series 2021-ACEN, Class AS, ARM, FRN, 1M TSFR + 1.26%, 6.582%, 4/15/34 (1) | 265 | 241 |
T. ROWE PRICE TOTAL RETURN ETF
Par/Shares | $ Value | |
(Amounts in 000s) | ||
BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, Class D, ARM, 1M TSFR + 2.86%, 8.183%, 9/15/38 (1) | 200 | 161 |
Bank, Series 2019-BN23, Class A3, ARM, 2.92%, 12/15/52 | 415 | 369 |
BBCMS Mortgage Trust, Series 2020-BID, Class A, ARM, 1M TSFR + 2.25%, 7.573%, 10/15/37 (1) | 50 | 50 |
Benchmark Mortgage Trust, Series 2021-B24, Class A5, ARM, 2.584%, 3/15/54 | 105 | 86 |
Benchmark Mortgage Trust, Series 2023-V3, Class A3, ARM, 6.363%, 7/15/56 | 215 | 225 |
BSREP Commercial Mortgage Trust, Series 2021-DC, Class C, ARM, FRN, 1M TSFR + 1.66%, 6.982%, 8/15/38 (1) | 147 | 124 |
Cantor Commercial Real Estate Lending, Series 2019-CF1, Class A5, ARM, 3.786%, 5/15/52 | 270 | 245 |
Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class AS, ARM, 3.571%, 2/10/48 | 110 | 107 |
Citigroup Commercial Mortgage Trust, Series 2019-GC43, Class A4, ARM, 3.038%, 11/10/52 | 435 | 379 |
COMM Mortgage Trust, Series 2015-CR25, Class A4, ARM, 3.759%, 8/10/48 | 183 | 178 |
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 | 37 |
CSAIL Commercial Mortgage Trust, Series 2016-C6, Class A5, ARM, 3.09%, 1/15/49 | 113 | 107 |
CSAIL Commercial Mortgage Trust, Series 2019-C18, Class C, ARM, 3.92%, 12/15/52 | 145 | 121 |
Great Wolf Trust, Series 2019-WOLF, Class E, ARM, FRN, 1M TSFR + 3.05%, 8.364%, 12/15/36 (1) | 40 | 40 |
GS Mortgage Securities Trust, Series 2019-GC40, Class B, ARM, 3.543%, 7/10/52 | 80 | 68 |
ILPT Commercial Mortgage Trust, Series 2022-LPFX, Class C, ARM, 3.824%, 3/15/32 (1) | 100 | 82 |
Med Trust, Series 2021-MDLN, Class F, ARM, FRN, 1M TSFR + 4.11%, 9.432%, 11/15/38 (1) | 99 | 99 |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C24, Class A4, ARM, 3.732%, 5/15/48 | 160 | 155 |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C24, Class AS, ARM, FRN, 4.036%, 5/15/48 | 195 | 182 |
VNDO Trust, Series 2016-350P, Class D, ARM, 3.903%, 1/10/35 (1) | 105 | 94 |
Wells Fargo Commercial Mortgage Trust, Series 2015-C30, Class A4, ARM, 3.664%, 9/15/58 | 141 | 136 |
Wells Fargo Commercial Mortgage Trust, Series 2019-C54, Class A4, ARM, 3.146%, 12/15/52 | 295 | 264 |
3,569 | ||
Other Asset-Backed Securities 0.2% | ||
Progress Residential Trust, Series 2020-SFR3, Class B, CMO, ARM, 1.495%, 10/17/27 (1) | 255 | 238 |
Residential Mortgage 0.0% | ||
Finance of America HECM Buyout, Series 2022-HB2, Class A1A, CMO, ARM, 4.00%, 8/1/32 (1) | 43 | 41 |
Total Non-U.S. Government Mortgage-Backed Securities (Cost $8,454) | 8,248 | |
U.S. GOVERNMENT & AGENCY MORTGAGE-BACKED SECURITIES 25.4% | ||
U.S. Government Agency Obligations 19.1% | ||
Federal Home Loan Mortgage | ||
3.50%, 3/1/48 | 119 | 109 |
4.00%, 6/1/52 | 294 | 271 |
4.50%, 10/1/52 | 81 | 76 |
T. ROWE PRICE TOTAL RETURN ETF
Par/Shares | $ Value | |
(Amounts in 000s) | ||
5.00%, 7/1/53 | 230 | 223 |
Federal National Mortgage Assn. | ||
1.50%, 3/1/36 - 1/1/42 | 694 | 594 |
2.00%, 5/1/36 - 4/1/52 | 8,031 | 6,461 |
2.50%, 10/1/36 - 1/1/54 | 5,643 | 4,730 |
3.00%, 12/1/32 - 6/1/52 | 3,466 | 3,026 |
3.50%, 5/1/35 - 10/1/52 | 1,702 | 1,541 |
4.00%, 11/1/37 - 8/1/52 | 1,165 | 1,094 |
4.50%, 9/1/49 - 12/1/52 | 1,068 | 1,015 |
5.00%, 11/1/44 - 9/1/53 | 487 | 475 |
5.50%, 3/1/53 - 10/1/53 | 728 | 721 |
6.00%, 1/1/53 - 9/1/53 | 738 | 747 |
6.50%, 1/1/53 - 9/1/53 | 282 | 286 |
UMBS, TBA, 5.00%, 3/1/54 (8) | 315 | 305 |
21,674 | ||
U.S. Government Obligations 6.3% | ||
Government National Mortgage Assn. | ||
2.00%, 1/20/51 - 8/20/51 | 1,391 | 1,132 |
2.50%, 8/20/50 - 1/20/52 | 1,338 | 1,133 |
3.00%, 10/20/46 - 10/20/51 | 1,163 | 1,022 |
3.50%, 4/20/46 - 10/20/50 | 884 | 808 |
4.00%, 6/20/47 - 9/20/52 | 713 | 667 |
4.50%, 6/20/47 - 4/20/53 | 548 | 524 |
5.00%, 8/20/47 - 4/20/53 | 361 | 356 |
5.50%, 4/20/48 - 2/20/49 | 147 | 149 |
6.00%, 11/20/53 | 388 | 390 |
Government National Mortgage Assn., TBA (8) | ||
5.00%, 3/20/54 | 90 | 88 |
5.50%, 3/20/54 | 600 | 596 |
6.50%, 3/20/54 | 220 | 223 |
7,088 | ||
Total U.S. Government & Agency Mortgage-Backed Securities (Cost $29,155) | 28,762 | |
U.S. GOVERNMENT AGENCY OBLIGATIONS (EXCLUDING MORTGAGE-BACKED) 20.8% | ||
U.S. Treasury Obligations 20.8% | ||
U.S. Treasury Bonds, 1.75%, 8/15/41 | 890 | 593 |
U.S. Treasury Bonds, 2.00%, 8/15/51 | 1,420 | 875 |
U.S. Treasury Bonds, 2.375%, 2/15/42 | 80 | 59 |
U.S. Treasury Bonds, 3.25%, 5/15/42 | 130 | 109 |
U.S. Treasury Bonds, 3.625%, 2/15/53 | 30 | 26 |
U.S. Treasury Bonds, 3.625%, 5/15/53 | 1,330 | 1,164 |
U.S. Treasury Bonds, 3.875%, 2/15/43 | 115 | 105 |
U.S. Treasury Bonds, 3.875%, 5/15/43 | 2,020 | 1,847 |
U.S. Treasury Bonds, 4.00%, 11/15/42 | 155 | 145 |
U.S. Treasury Bonds, 4.00%, 11/15/52 | 280 | 262 |
T. ROWE PRICE TOTAL RETURN ETF
Par/Shares | $ Value | |
(Amounts in 000s) | ||
U.S. Treasury Notes, 1.875%, 2/28/27 | 750 | 697 |
U.S. Treasury Notes, 2.625%, 5/31/27 | 345 | 327 |
U.S. Treasury Notes, 2.75%, 7/31/27 | 320 | 304 |
U.S. Treasury Notes, 3.50%, 1/31/28 | 95 | 92 |
U.S. Treasury Notes, 3.625%, 3/31/28 | 370 | 360 |
U.S. Treasury Notes, 3.625%, 5/31/28 | 3,325 | 3,237 |
U.S. Treasury Notes, 3.75%, 6/30/30 | 500 | 485 |
U.S. Treasury Notes, 3.875%, 11/30/29 | 80 | 78 |
U.S. Treasury Notes, 3.875%, 11/30/27 | 160 | 157 |
U.S. Treasury Notes, 4.00%, 7/31/30 | 1,050 | 1,034 |
U.S. Treasury Notes, 4.00%, 6/30/28 (9) | 3,975 | 3,927 |
U.S. Treasury Notes, 4.125%, 9/30/27 | 225 | 223 |
U.S. Treasury Notes, 4.125%, 8/15/53 | 610 | 584 |
U.S. Treasury Notes, 4.125%, 8/31/30 | 1,375 | 1,363 |
U.S. Treasury Notes, 4.375%, 8/15/43 | 440 | 431 |
U.S. Treasury Notes, 4.50%, 11/15/33 | 1,130 | 1,152 |
U.S. Treasury Notes, 4.625%, 6/30/25 | 1,130 | 1,126 |
U.S. Treasury Notes, 4.75%, 11/15/53 | 200 | 213 |
U.S. Treasury Notes, 4.875%, 10/31/30 | 360 | 372 |
United States Treasury, 1.375%, 7/15/33 | 1,325 | 1,269 |
United States Treasury, 4.75%, 11/15/43 | 920 | 947 |
23,563 | ||
Total U.S. Government Agency Obligations (Excluding Mortgage-Backed) (Cost $24,695) | 23,563 | |
SHORT-TERM INVESTMENTS 1.9% | ||
Money Market Funds 1.9% | ||
T. Rowe Price Government Reserve Fund, 5.39% (10)(11) | 2,124 | 2,124 |
Total Short-Term Investments (Cost $2,124) | 2,124 | |
SECURITIES LENDING COLLATERAL 1.7% | ||
Investments in a Pooled Account through Securities Lending Program with State Street Bank 1.7% | ||
Money Market Funds 1.7% | ||
T. Rowe Price Government Reserve Fund, 5.39% (10)(11) | 1,929 | 1,929 |
Total Investments in a Pooled Account through Securities Lending Program with State Street Bank | 1,929 | |
Total Securities Lending Collateral (Cost $1,929) | 1,929 |
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 |
Royal Bank of Canada | Credit Default Swap, Protection Bought (Relevant Credit: Markit CDX.NA.HY-S41, 5 Year Index, 12/20/28), Pay 5.00% Quarterly, Receive upon credit default, 04/17/24 @ 1.04% *(12) | 2 | 5,700 | 13 |
Citibank N.A. | Credit Default Swap, Protection Bought (Relevant Credit: Markit CDX.NA.IG-S41, 5 Year Index, 12/20/28), Pay 1.00% Quarterly, Receive upon credit default, 03/20/24 @ 0.60% *(12) | 1 | 27,400 | 4 |
Morgan Stanley | SPDR S&P 500 Index, Put, 6/21/24 @ $ 4,700 (12) | 4 | 2,039 | 14 |
Morgan Stanley | SPDR S&P 500 Index, Put, 6/21/24 @ $4,650 (12) | 7 | 3,567 | 21 |
Total OTC Options Purchased (Cost $113) | 52 | |||
Total Options Purchased (Cost $113) | 52 |
Total Investments 103.0% of Net Assets (Cost $118,161) | $116,714 | |
Other Assets Less Liabilities (3.0%) | (3,364) | |
Net Assets 100.0% | $113,350 |
‡ | 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 $33,097 and represents 29.2% of net assets. |
(2) | All or a portion of this loan is unsettled as of February 29, 2024. The interest rate for unsettled loans will be determined upon settlement after period end. |
(3) | Level 3 in fair value hierarchy. |
(4) | All or a portion of this security is on loan at February 29, 2024. |
(5) | 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. |
(6) | Perpetual security with no stated maturity date. |
(7) | 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. |
(8) | To-Be-Announced purchase commitment. Total value of such securities at period-end amounts to $1,212 and represents 1.1% of net assets. |
(9) | At February 29, 2024, all or a portion of this security is pledged as collateral and/or margin deposit to cover future funding obligations. |
(10) | Seven-day yield |
(11) | Affiliated Companies |
(12) | Non-income producing. |
1M TSFR | One month term SOFR (Secured overnight financing rate) |
3M TSFR | Three month term SOFR (Secured overnight financing rate) |
T. ROWE PRICE TOTAL RETURN ETF
6M TSFR | Six month term SOFR (Secured overnight financing rate) |
6M USD LIBOR | Six month USD LIBOR (London interbank offered rate) |
AR | Auction Rate security with an interest rate reset feature through a modified Dutch auction at predetermined short-term intervals; rate shown is effective rate at period-end. |
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 |
CPI | Consumer Price Index |
ETF | Exchange-Traded Fund |
EUR | Euro |
FRN | Floating Rate Note |
JPY | Japanese Yen |
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. |
T. ROWE PRICE TOTAL RETURN ETF
Par | $ Value | |
(Amounts in 000s) | ||
TBA Sales Commitments (0.6)% | ||
U.S. Government & Agency Mortgage-Backed Securities (0.6)% | ||
U.S. Government Agency Obligations (0.6)% | ||
UMBS, TBA | ||
2.50%, 3/1/54 | 230 | (189) |
3.00%, 3/1/54 | 215 | (184) |
2.00%, 3/1/54 | 415 | (326) |
(699) | ||
Total TBA Sales Commitments (Proceeds $(721)) | (699) |
T. ROWE PRICE TOTAL RETURN ETF
(Amounts in 000s, except for contracts)
OPTIONS WRITTEN (0.1)% | ||
OTC Options Written (0.1)% |
Counterparty | Description | Contracts | Notional Amount | $ Value |
Barclays Bank | 10 Year Interest Rate Swap, 7/10/34 Receive Fixed 3.00% Annually, Pay Variable 5.32% (SOFR) Annually, 7/8/24 @ 3.00% | 1 | 4,465 | (12) |
Goldman Sachs | iShares iBoxx High Yield Corporate Bond ETF, Call, 4/19/24 @ $77.00 | 107 | 827 | (9) |
Citibank N.A. | 10 Year Interest Rate Swap, 6/27/34 Pay Fixed 4.30% Annually, Receive Variable 5.32% (SOFR) Annually, 6/25/24 @ 4.30% | 1 | 6,370 | (40) |
Goldman Sachs | iShares iBoxx High Yield Corporate Bond ETF, Put, 4/19/24 @ $77.00 | 183 | 1,415 | (16) |
Total OTC Options Written (Premiums $(88)) | (77) |
T. ROWE PRICE TOTAL RETURN ETF
(Amounts in 000s)
SWAPS (1.7)% |
Description | Notional Amount | $ Value | Upfront Payments/ $ (Receipts) | Unrealized $ Gain/(Loss) |
BILATERAL SWAPS (0.2)% | ||||
Credit Default Swaps, Protection Sold (0.1)% | ||||
Morgan Stanley, Protection Sold (Relevant Credit: Markit CMBX.NA.AAA-S14, 50 Year Index), Receive 0.50% Monthly, Pay upon credit default, 12/16/72 | 2,700 | (33) | (76) | 43 |
Morgan Stanley, Protection Sold (Relevant Credit: Markit CMBX.NA.AAA-S14, 50 Year Index), Receive 0.50% Monthly, Pay upon credit default, 12/16/72 | 2,000 | (24) | (38) | 14 |
Total Bilateral Credit Default Swaps, Protection Sold | (114) | 57 | ||
Total Return Swaps (0.1)% | ||||
Morgan Stanley, Receive Underlying Reference: iBoxx USD Liquid Investment Grade Index At Maturity, Pay Variable 5.31% (SOFR + (0.00)%) At Maturity, 3/20/24 | 6,800 | (101) | — | (101) |
Total Bilateral Total Return Swaps | — | (101) | ||
Total Bilateral Swaps | (114) | (44) |
Description | Notional Amount | $ Value | Initial $ Value | Unrealized $ Gain/(Loss) |
CENTRALLY CLEARED SWAPS 0.2% | ||||
Credit Default Swaps, Protection Bought (0.2)% | ||||
Protection Bought (Relevant Credit: Qatar Government International Bond), Pay 1.00% Quarterly, Receive upon credit default, 12/20/28 | 1,573 | (47) | (23) | (24) |
Protection Bought (Relevant Credit: Saudi Government International Bond), Pay 1.00% Quarterly, Receive upon credit default, 12/20/28 | 1,551 | (35) | (19) | (16) |
Protection Bought (Relevant Credit: Emirate of Dubai Government International Bonds), Pay 1.00% Quarterly, Receive upon credit default, 12/20/28 | 774 | (14) | (2) | (12) |
Protection Bought (Relevant Credit: Oman Government International Bonds), Pay 1.00% Quarterly, Receive upon credit default, 12/20/28 | 800 | 2 | 25 | (23) |
Protection Bought (Relevant Credit: LANXESS AG), Pay 1.00% Quarterly, Receive upon credit default, 12/20/28 (EUR) | 222 | 7 | 11 | (4) |
Protection Bought (Relevant Credit: Beazer Homes USA, Inc.), Pay 5.00% Quarterly, Receive upon credit default, 12/20/28 | 500 | (55) | (36) | (19) |
Protection Bought (Relevant Credit: Delta Air Lines, Inc.), Pay 5.00% Quarterly, Receive upon credit default, 12/20/28 | 500 | (78) | (67) | (11) |
Protection Bought (Relevant Credit: United Airlines Holdings, Inc.), Pay 5.00% Quarterly, Receive upon credit default, 6/20/29 | 300 | (23) | 1 | (24) |
T. ROWE PRICE TOTAL RETURN ETF
(Amounts in 000s)
Description | Notional Amount | $ Value | Initial $ Value | Unrealized $ Gain/(Loss) |
Protection Bought (Relevant Credit: American Axle & Manufacturing, Inc.), Pay 5.00% Quarterly, Receive upon credit default, 6/20/29 | 300 | (12) | (8) | (4) |
Total Centrally Cleared Credit Default Swaps, Protection Bought | (137) | |||
Credit Default Swaps, Protection Sold 0.4% | ||||
Protection Sold (Relevant Credit: CHS/Community Health System, Ca*), Receive 5.00% Quarterly, Pay upon credit default, 12/20/26 | 9 | (2) | — | (2) |
Protection Sold (Relevant Credit: CHS/Community Health System, Ca*), Receive 5.00% Quarterly, Pay upon credit default, 6/20/25 | 5 | — | — | — |
Protection Sold (Relevant Credit: Markit CDX.NA.HY-S41), Receive 1.00% Quarterly, Pay upon credit default, 12/20/28 | 18,507 | 416 | 318 | 98 |
Protection Sold (Relevant Credit: Markit CDX.NA.HY.S41), Receive 5.00% Quarterly, Pay upon credit default, 12/20/28 | 802 | 58 | 46 | 12 |
Protection Sold (Relevant Credit: Altice Finco SA, Caa2*), Receive 5.00% Quarterly, Pay upon credit default, 12/20/28 (EUR) | 23 | — | (1) | 1 |
Total Centrally Cleared Credit Default Swaps, Protection Sold | 109 | |||
Zero-Coupon Inflation Swaps (0.2)% | ||||
10 Year Zero-Coupon Inflation Swap, Pay Fixed 2.643% At Maturity, Receive Variable (Change in CPI) At Maturity, 04/17/24 | 575 | 2 | — | 2 |
Total Centrally Cleared Zero-Coupon Inflation Swaps | 2 | |||
Total Centrally Cleared Swaps | (26) | |||
Net payments (receipts) of variation margin to date | $26 | |||
Variation margin receivable (payable) on centrally cleared swaps | $— |
* | Credit ratings as of February 29, 2024. 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. |
T. ROWE PRICE TOTAL RETURN ETF
(Amounts in 000s)
FORWARD CURRENCY EXCHANGE CONTRACTS |
Counterparty | Settlement | Receive | Deliver | Unrealized Gain/(Loss) | ||
BNP Paribas | 5/24/24 | USD | 172 | EUR | 158 | $1 |
Canadian Imperial Bank of Commerce | 4/19/24 | USD | 34 | CAD | 45 | — |
Goldman Sachs | 3/4/24 | USD | 591 | BRL | 2,943 | (1) |
Goldman Sachs | 6/4/24 | USD | 584 | BRL | 2,943 | (3) |
Goldman Sachs | 3/4/24 | BRL | 2,943 | USD | 590 | 2 |
Goldman Sachs | 3/4/24 | USD | 591 | BRL | 2,943 | (1) |
Goldman Sachs | 3/4/24 | BRL | 2,943 | USD | 591 | 1 |
State Street | 4/19/24 | USD | 473 | JPY | 67,553 | 19 |
State Street | 4/19/24 | USD | 474 | JPY | 67,823 | 19 |
State Street | 4/19/24 | JPY | 3,340 | USD | 23 | (1) |
State Street | 4/19/24 | JPY | 132,036 | USD | 904 | (17) |
State Street | 5/24/24 | USD | 454 | EUR | 419 | (1) |
State Street | 5/24/24 | USD | 2,279 | EUR | 2,107 | (6) |
Net unrealized gain (loss) on open forward currency exchange contracts | $12 |
T. ROWE PRICE TOTAL RETURN ETF
FUTURES CONTRACTS |
($000s) |
Expiration Date | Notional Amount | Value and Unrealized Gain (Loss) | |
Short, 4 Euro BOBL contracts | 03/24 | (511) | $7 |
Short, 35 Euro SCHATZ contracts | 03/24 | (3,998) | 17 |
Short, 16 Euro-Bund contracts | 03/24 | (2,320) | 26 |
Short, 7 S&P 500 index contracts | 03/24 | (176) | (3) |
Short, 6 Ultra U.S. Treasury Notes ten year contracts | 06/24 | (570) | (1) |
Long, 1 Commonwealth of Australia ten year bond contracts | 03/24 | 75 | — |
Long, 4 U.S. Treasury Long Bonds contracts | 06/24 | 477 | — |
Long, 5 U.S. Treasury Notes ten year contracts | 06/24 | 553 | (1) |
Long, 34 Ultra U.S. Treasury Bonds contracts | 06/24 | 4,317 | 31 |
Long, 2 Government of Canada ten year bond contracts | 06/24 | 178 | — |
Long, 3 Long Gilt contracts | 06/24 | 374 | — |
Long, 11 U.S. Treasury Notes five year contracts | 06/24 | 1,176 | — |
Long, 3 U.S. Treasury Notes two year contracts | 06/24 | 614 | — |
Net payments (receipts) of variation margin to date | — | ||
Variation margin receivable (payable) on open futures contracts | $76 |
T. ROWE PRICE TOTAL RETURN ETF
AFFILIATED COMPANIES
($000s)
The fund may invest in certain securities that are considered affiliated companies. As defined by the 1940 Act, an affiliated company is one in which the fund owns 5% or more of the outstanding voting securities, or a company that is under common ownership or control. The following securities were considered affiliated companies for all or some portion of the nine months ended February 29, 2024. 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 | $— | $— | $184++ |
Totals | $—# | $— | $184+ |
Supplementary Investment Schedule | ||||
Affiliate | Value 5/31/23 | Purchase Cost | Sales Cost | Value 2/29/24 |
T. Rowe Price Government Reserve Fund | $884 | ¤ | ¤ | $4,053 |
Total | $4,053^ |
++ | Excludes earnings on securities lending collateral, which are subject to rebates and fees. |
# | Capital gain distributions from mutual funds represented $0 of the net realized gain (loss). |
+ | Investment income comprised $184 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 $4,053. |
The accompanying notes are an integral part of this portfolio of investments.
T. ROWE PRICE TOTAL RETURN ETF
Unaudited
NOTES TO PORTFOLIO OF INVESTMENTS
T. Rowe Price Total Return ETF (the fund) is registered under the Investment Company Act of 1940 (the 1940 Act) as an open-end management investment company and follows accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946. The accompanying Portfolio of Investments was prepared in accordance with accounting principles generally accepted in the United States of America (GAAP). For additional information on the fund’s significant accounting policies and investment related disclosures, please refer to the fund’s most recent semiannual or annual shareholder report and its prospectus.
VALUATION
Fair Value
The fund’s financial instruments are valued at the close of the New York Stock Exchange (NYSE), normally 4 p.m. ET, each day the NYSE is open for business, and are reported at fair value, which GAAP defines as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The fund’s Board of Directors (the Board) has designated T. Rowe Price Associates, Inc. as the fund’s valuation designee (Valuation Designee). Subject to oversight by the Board, the Valuation Designee performs the following functions in performing fair value determinations: assesses and manages valuation risks; establishes and applies fair value methodologies; tests fair value methodologies; and evaluates pricing vendors and pricing agents. The duties and responsibilities of the Valuation Designee are performed by its Valuation Committee. The Valuation Designee provides periodic reporting to the Board on valuation matters.
Various valuation techniques and inputs are used to determine the fair value of financial instruments. GAAP establishes the following fair value hierarchy that categorizes the inputs used to measure fair value:
Level 1 – quoted prices (unadjusted) in active markets for identical financial instruments that the fund can access at the reporting date
Level 2 – inputs other than Level 1 quoted prices that are observable, either directly or indirectly (including, but not limited to, quoted prices for similar financial instruments in active markets, quoted prices for identical or similar financial instruments in inactive markets, interest rates and yield curves, implied volatilities, and credit spreads)
Level 3 – unobservable inputs (including the Valuation Designee’s assumptions in determining fair value)
Observable inputs are developed using market data, such as publicly available information about actual events or transactions, and reflect the assumptions that market participants would use to price the financial instrument. Unobservable inputs are those for which market data are not available and are developed using the best information available about the assumptions that market participants would use to price the financial instrument. GAAP requires valuation techniques to maximize the use of relevant observable inputs and minimize the use of unobservable inputs. When multiple inputs are used to derive fair value, the financial instrument is assigned to the level within the fair value hierarchy based on the lowest-level input that is significant to the fair value of the financial instrument. Input levels are not necessarily an indication of the risk or liquidity associated with financial instruments at that level but rather the degree of judgment used in determining those values.
Valuation Techniques
Debt securities generally are traded in the over-the-counter (OTC) market and are valued at prices furnished by independent pricing services or by broker dealers who make markets in such securities. When valuing securities, the independent pricing services consider factors such as, but not limited to, the yield or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities.
Equity securities, including exchange-traded funds, listed or regularly traded on a securities exchange or in the over-the-counter (OTC) market are valued at the last quoted sale price or, for certain markets, the official closing price at the time the valuations are made. OTC Bulletin Board securities are valued at the mean of the closing bid and asked prices.
T. ROWE PRICE TOTAL RETURN ETF
A security that is listed or traded on more than one exchange is valued at the quotation on the exchange determined to be the primary market for such security. Listed securities not traded on a particular day are valued at the mean of the closing bid and asked prices for domestic securities.
Investments denominated in foreign currencies are translated into U.S. dollar values each day at the prevailing exchange rate, using the mean of the bid and asked prices of such currencies against U.S. dollars as provided by an outside pricing service.
Investments in mutual funds are valued at the mutual fund’s closing NAV per share on the day of valuation. Listed options, and OTC options with a listed equivalent, are valued at the mean of the closing bid and asked prices and exchange-traded options on futures contracts are valued at closing settlement prices. 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.
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 February 29, 2024 (for further detail by category, please refer to the accompanying Portfolio of Investments):
T. ROWE PRICE TOTAL RETURN ETF
($000s) | Level 1 | Level 2 | Level 3 | Total Value |
Assets | ||||
Fixed Income1 | $— | $103,808 | $— | $103,808 |
Bank Loans | — | 5,220 | 186 | 5,406 |
Exchange-Traded Funds | 3,360 | — | — | 3,360 |
Convertible Preferred Stocks | — | 35 | — | 35 |
Options Purchased | — | 52 | — | 52 |
Short-Term Investments | 2,124 | — | — | 2,124 |
Securities Lending Collateral | 1,929 | — | — | 1,929 |
Total Securities | 7,413 | 109,115 | 186 | 116,714 |
Swaps* | — | 113 | — | 113 |
Forward Currency Exchange Contracts | — | 42 | — | 42 |
Futures Contracts* | 81 | — | — | 81 |
Total | $7,494 | $109,270 | $186 | $116,950 |
Liabilities | ||||
TBA Sales Commitments | $— | $699 | $— | $699 |
Options Written | — | 77 | — | 77 |
Swaps* | — | 297 | — | 297 |
Forward Currency Exchange Contracts | — | 30 | — | 30 |
Futures Contracts* | 5 | — | — | 5 |
Total | $5 | $1,103 | $— | $1,108 |
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. |
OTHER MATTERS
Unpredictable events such as environmental or natural disasters, war and conflict, terrorism, geopolitical events, and public health epidemics 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.
The global outbreak of COVID-19 and the related governmental and public responses have led and may continue to lead to increased market volatility and the potential for illiquidity in certain classes of securities and sectors of the market either in specific countries or worldwide.
In February 2022, Russian forces entered Ukraine and commenced an armed conflict leading to economic sanctions being imposed on Russia that target certain of its citizens and issuers and sectors of the Russian economy, creating impacts on Russian-related stocks and debt and greater volatility in global markets.
In March 2023, the banking industry experienced heightened volatility, which sparked concerns of potential broader adverse market conditions. 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.
ETF988-054Q3
02/24