T.
ROWE
PRICE
U.S.
Limited
Duration
TIPS
Index
Fund
February
29,
2024
(Unaudited)
1
Portfolio
of
Investments
‡
Par/Shares
$
Value
(Amounts
in
000s)
‡
CORPORATE
BONDS
0.3%
Health
Care
0.3%
Health
Care
Service
A
Mutual
Legal
Reserve,
1.50%,
6/1/25 (1)
4,455
4,243
Total
Corporate
Bonds
(Cost
$4,300)
4,243
U.S.
GOVERNMENT
AGENCY
OBLIGATIONS
(EXCLUDING
MORTGAGE-BACKED)
97.0%
U.S.
Treasury
Obligations
97.0%
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
4/15/25
10,354
10,095
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
10/15/25
281,936
273,611
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
4/15/26 (2)
30,144
28,882
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
10/15/26
219,259
209,221
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
4/15/27
310,805
292,885
U.S.
Treasury
Inflation-Indexed
Notes,
0.375%,
1/15/27
28,963
27,633
U.S.
Treasury
Inflation-Indexed
Notes,
0.375%,
7/15/27
15,804
15,034
U.S.
Treasury
Inflation-Indexed
Notes,
0.625%,
1/15/26
109,102
106,102
U.S.
Treasury
Inflation-Indexed
Notes,
1.25%,
4/15/28
350,003
339,886
U.S.
Treasury
Inflation-Indexed
Notes,
1.625%,
10/15/27
175,119
173,559
U.S.
Treasury
Inflation-Indexed
Notes,
2.375%,
10/15/28
202,785
207,537
Total
U.S.
Government
Agency
Obligations
(Excluding
Mortgage-Backed)
(Cost
$1,687,870)
1,684,445
SHORT-TERM
INVESTMENTS
2.5%
Money
Market
Funds
2.5%
T.
Rowe
Price
Government
Reserve
Fund,
5.39% (3)(4)
43,650
43,650
Total
Short-Term
Investments
(Cost
$43,650)
43,650
T.
ROWE
PRICE
U.S.
Limited
Duration
TIPS
Index
Fund
2
(Amounts
in
000s,
except
for
contracts)
OPTIONS
PURCHASED
0.0%
Exchange-Traded
Options
Purchased
0.0%
Description
Contracts
Notional
Amount
$
Value
U.S.
Treasury
10-Year
Notes
Futures,
Put,
3/22/24
@
$110.00 (5)
797
88,019
448
Total
Options
Purchased
(Cost
$527)
448
Total
Investments
in
Securities
99.8%
(Cost
$1,736,347)
$
1,732,786
Other
Assets
Less
Liabilities
0.2%
4,010
Net
Assets
100.0%
$
1,736,796
‡
Par/Shares
and
Notional
Amount
are
denominated
in
U.S.
dollars
unless
otherwise
noted.
(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
$4,243
and
represents
0.2%
of
net
assets.
(2)
At
February
29,
2024,
all
or
a
portion
of
this
security
is
pledged
as
collateral
and/
or
margin
deposit
to
cover
future
funding
obligations.
(3)
Seven-day
yield
(4)
Affiliated
Companies
(5)
Non-income
producing
CPI
Consumer
Price
Index
T.
ROWE
PRICE
U.S.
Limited
Duration
TIPS
Index
Fund
3
(Amounts
in
000s)
SWAPS
0.0%
Description
Notional
Amount
$
Value
Initial
$
Value
Unrealized
$
Gain/(Loss)
CENTRALLY
CLEARED
SWAPS
0.0%
Zero-Coupon
Inflation
Swaps
0.0%
2
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
3.113%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
8/22/24
10,408
12
—
12
2
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
3.129%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
8/22/24
10,408
8
—
8
Total
Centrally
Cleared
Zero-Coupon
Inflation
Swaps
20
Total
Centrally
Cleared
Swaps
20
Net
payments
(receipts)
of
variation
margin
to
date
(24)
Variation
margin
receivable
(payable)
on
centrally
cleared
swaps
$
(4)
T.
ROWE
PRICE
U.S.
Limited
Duration
TIPS
Index
Fund
4
The
accompanying
notes
are
an
integral
part
of
this
Portfolio
of
Investments.
AFFILIATED
COMPANIES
($000s)
The
fund
may
invest
in
certain
securities
that
are
considered
affiliated
companies.
As
defined
by
the
1940
Act,
an
affiliated
company
is
one
in
which
the
fund
owns
5%
or
more
of
the
outstanding
voting
securities,
or
a
company
that
is
under
common
ownership
or
control.
The
following
securities
were
considered
affiliated
companies
for
all
or
some
portion
of
the
nine
months
ended
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)
Change
in
Net
Unrealized
Gain/Loss
Investment
Income
T.
Rowe
Price
Government
Reserve
Fund,
5.39%
$
—
$
—
$
2,356++
Totals
$
—#
$
—
$
2,356+
Supplementary
Investment
Schedule
Affiliate
Value
05/31/23
Purchase
Cost
Sales
Cost
Value
02/29/24
T.
Rowe
Price
Government
Reserve
Fund,
5.39%
$
55,853
¤
¤
$
43,650
Total
$
43,650^
#
Capital
gain
distributions
from
underlying
Price
funds
represented
$0
of
the
net
realized
gain
(loss).
++
Excludes
earnings
on
securities
lending
collateral,
which
are
subject
to
rebates
and
fees.
+
Investment
income
comprised
$2,356
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
$43,650.
T.
ROWE
PRICE
U.S.
Limited
Duration
TIPS
Index
Fund
Unaudited
Notes
to
Portfolio
of
Investments
5
T.
Rowe
Price
U.S.
Limited
Duration
TIPS
Index
Fund (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)
T.
ROWE
PRICE
U.S.
Limited
Duration
TIPS
Index
Fund
6
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.
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.
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
T.
ROWE
PRICE
U.S.
Limited
Duration
TIPS
Index
Fund
7
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):
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.
($000s)
Level
1
Level
2
Level
3
Total
Value
Assets
Fixed
Income
Securities
1
$
—
$
1,688,688
$
—
$
1,688,688
Short-Term
Investments
43,650
—
—
43,650
Options
Purchased
448
—
—
448
Total
Securities
44,098
1,688,688
—
1,732,786
Swaps*
—
20
—
20
Total
$
44,098
$
1,688,708
$
—
$
1,732,806
1
Includes
Corporate
Bonds
and
U.S.
Government
Agency
Obligations
(Excluding
Mortgage-Backed).
*
The
fair
value
presented
includes
cumulative
gain
(loss)
on
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.
T.
ROWE
PRICE
U.S.
Limited
Duration
TIPS
Index
Fund
8
In
February
2022,
Russian
forces
entered
Ukraine
and
commenced
an
armed
conflict,
leading
to
economic
sanctions 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.
F1367-054Q3
02/24