T. ROWE PRICE LIMITED-TERM BOND PORTFOLIO
March 31, 2020 (Unaudited)
Portfolio of Investments‡ | Par/Shares | $ Value | Par/Shares | $ Value | |||
(Amounts in 000s) | (Amounts in 000s) | ||||||
CORPORATE BONDS 49.1% | Capital One | ||||||
2.25%, 9/13/21 | 470 | 461 | |||||
Financial Institutions 17.2% | Capital One Financial | ||||||
2.40%, 10/30/20 | 575 | 574 | |||||
Banking 12.7% | Capital One Financial | ||||||
ABN AMRO Bank, FRN, | 2.50%, 5/12/20 | 250 | 250 | ||||
3M USD LIBOR + 0.57%, 2.208%, | Capital One Financial | ||||||
8/27/21(1) | 1,105 | 1,069 | 3.20%, 1/30/23 | 490 | 485 | ||
American Express | Capital One Financial | ||||||
3.00%, 2/22/21 | 780 | 778 | 3.50%, 6/15/23 | 350 | 349 | ||
Banco Santander | Capital One Financial | ||||||
2.50%, 12/15/20 (1) | 1,285 | 1,287 | 3.90%, 1/29/24 | 360 | 366 | ||
Banco Santander, FRN, | Citibank | ||||||
3M USD LIBOR + 1.12%, 2.968%, | 2.125%, 10/20/20 | 1,080 | 1,081 | ||||
4/12/23 | 600 | 568 | Citibank, VR, | ||||
Banco Santander Mexico Institucion | 2.844%, 5/20/22 (2) | 890 | 895 | ||||
De Banca Multiple Grupo | Citigroup | ||||||
Financiero Santand | 2.90%, 12/8/21 | 990 | 999 | ||||
4.125%, 11/9/22 | 1,200 | 1,172 | Citigroup, VR, | ||||
Bank of America | 2.312%, 11/4/22 (2) | 825 | 823 | ||||
2.503%, 10/21/22 | 435 | 439 | Citizens Bank | ||||
Bank of America | 2.25%, 10/30/20 | 250 | 249 | ||||
2.625%, 4/19/21 | 535 | 538 | Citizens Bank | ||||
Bank of America, FRN, | 2.55%, 5/13/21 | 390 | 390 | ||||
3M USD LIBOR + 0.65%, 1.866%, | Citizens Bank | ||||||
6/25/22 | 590 | 576 | 3.25%, 2/14/22 | 435 | 441 | ||
Bank of America, FRN, | Cooperatieve Rabobank | ||||||
3M USD LIBOR + 0.38%, 2.186%, | 3.95%, 11/9/22 | 935 | 934 | ||||
1/23/22 | 610 | 580 | Credit Agricole, FRN, | ||||
Bank of America, FRN, | 3M USD LIBOR + 1.02%, 2.821%, | ||||||
3M USD LIBOR + 1.16%, 2.979%, | 4/24/23(1) | 470 | 420 | ||||
1/20/23 | 995 | 930 | Credit Suisse | ||||
Bank of Montreal, FRN, | 2.10%, 11/12/21 | 920 | 915 | ||||
3M USD LIBOR + 0.46%, 2.308%, | Danske Bank | ||||||
4/13/21 | 730 | 703 | 5.00%, 1/12/22 (1) | 670 | 682 | ||
Banque Federative du Credit Mutuel | Danske Bank, VR, | ||||||
2.125%, 11/21/22 (1) | 900 | 875 | 3.001%, 9/20/22 (1)(2) | 955 | 938 | ||
Banque Federative du Credit Mutuel | Deutsche Bank | ||||||
2.20%, 7/20/20 (1) | 625 | 624 | 2.95%, 8/20/20 | 595 | 578 | ||
Barclays, FRN, | Deutsche Bank | ||||||
3M USD LIBOR + 1.625%, 3.459%, | 3.15%, 1/22/21 | 760 | 749 | ||||
1/10/23 | 475 | 456 | Deutsche Bank | ||||
Barclays Bank | 3.375%, 5/12/21 | 100 | 96 | ||||
2.65%, 1/11/21 | 665 | 670 | Deutsche Bank, FRN, | ||||
BDO Unibank | 3M USD LIBOR + 1.29%, 3.041%, | ||||||
2.95%, 3/6/23 | 1,200 | 1,191 | 2/4/21 | 610 | 586 | ||
BPCE, FRN, | Discover Bank | ||||||
3M USD LIBOR + 1.22%, 2.903%, | 3.10%, 6/4/20 | 310 | 310 | ||||
5/22/22(1) | 400 | 395 | Discover Bank | ||||
Capital One | 7.00%, 4/15/20 | 1,555 | 1,557 | ||||
2.15%, 9/6/22 | 765 | 746 | |||||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE LIMITED-TERM BOND PORTFOLIO
Par/Shares | $ Value | Par/Shares | $ Value | |||
(Amounts in 000s) | (Amounts in 000s) | |||||
First Niagara Financial Group | Standard Chartered, FRN, | |||||
7.25%, 12/15/21 | 370 | 379 | 3M USD LIBOR + 1.15%, 2.969%, | |||
Goldman Sachs Group | 1/20/23(1) | 635 | 613 | |||
5.75%, 1/24/22 | 1,210 | 1,285 | Standard Chartered, VR, | |||
Goldman Sachs Group | 2.744%, 9/10/22 (1)(2) | 545 | 538 | |||
6.00%, 6/15/20 | 90 | 91 | State Street, VR, | |||
Goldman Sachs Group, FRN, | 2.825%, 3/30/23 (1)(2) | 120 | 121 | |||
3M USD LIBOR + 0.78%, 2.557%, | Svenska Handelsbanken | |||||
10/31/22 | 750 | 722 | 3.35%, 5/24/21 | 760 | 769 | |
Goldman Sachs Group, FRN, | Swedbank | |||||
3M USD LIBOR + 1.11%, 2.904%, | 2.65%, 3/10/21 (1) | 1,405 | 1,412 | |||
4/26/22 | 750 | 731 | Synchrony Financial | |||
HSBC Holdings, FRN, | 2.85%, 7/25/22 | 2,217 | 2,111 | |||
3M USD LIBOR + 0.60%, 2.292%, | Synchrony Financial | |||||
5/18/21 | 805 | 779 | 3.75%, 8/15/21 | 770 | 758 | |
ING Groep, FRN, | Truist Bank | |||||
3M USD LIBOR + 1.15%, 2.525%, | 1.25%, 3/9/23 | 1,590 | 1,540 | |||
3/29/22 | 480 | 470 | Truist Bank | |||
JPMorgan Chase | 2.80%, 5/17/22 | 690 | 699 | |||
4.25%, 10/15/20 | 275 | 278 | Truist Financial | |||
KeyBank | 2.15%, 2/1/21 | 860 | 859 | |||
3.30%, 2/1/22 | 440 | 449 | UBS Group | |||
Mitsubishi UFJ Financial Group | 2.95%, 9/24/20 (1) | 1,015 | 1,016 | |||
3.218%, 3/7/22 | 820 | 832 | UBS Group, FRN, | |||
Mitsubishi UFJ Financial Group, | 3M USD LIBOR + 1.22%, 2.903%, | |||||
FRN, | 5/23/23(1) | 590 | 556 | |||
3M USD LIBOR + 0.65%, 2.444%, | US Bank, FRN, | |||||
7/26/21 | 280 | 261 | 3M USD LIBOR + 0.32%, 2.114%, | |||
Mitsubishi UFJ Financial Group, | 4/26/21 | 1,080 | 1,067 | |||
FRN, | Wells Fargo | |||||
3M USD LIBOR + 0.92%, 2.599%, | 2.55%, 12/7/20 | 70 | 70 | |||
2/22/22 | 570 | 547 | Wells Fargo | |||
Mitsubishi UFJ Financial Group, | 3.50%, 3/8/22 | 470 | 478 | |||
FRN, | Wells Fargo Bank, VR, | |||||
3M USD LIBOR + 0.86%, 2.654%, | 2.082%, 9/9/22 (2) | 700 | 697 | |||
7/26/23 | 460 | 430 | ||||
Morgan Stanley | Wells Fargo Bank, VR, | |||||
2.75%, 5/19/22 | 690 | 698 | 3.325%, 7/23/21 (2) | 1,335 | 1,335 | |
Morgan Stanley | 55,474 | |||||
5.50%, 7/24/20 | 355 | 358 | ||||
PNC Bank | Brokerage Asset Managers Exchanges 0.1% | |||||
2.45%, 11/5/20 | 650 | 657 | Charles Schwab, FRN, | |||
Regions Bank, FRN, | 3M USD LIBOR + 0.32%, 2.016%, | |||||
3M USD LIBOR + 0.50%, 2.207%, | 5/21/21 | 680 | 668 | |||
8/13/21 | 285 | 285 | 668 | |||
Regions Bank, FRN, | ||||||
3M USD LIBOR + 0.38%, 2.289%, | Finance Companies 2.0% | |||||
4/1/21 | 980 | 962 | AerCap Ireland Capital | |||
Regions Bank, VR, | 3.95%, 2/1/22 | 785 | 684 | |||
3.374%, 8/13/21 (2) | 1,120 | 1,126 | AerCap Ireland Capital | |||
Santander UK | 4.45%, 12/16/21 | 660 | 592 | |||
2.10%, 1/13/23 | 795 | 770 | ||||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE LIMITED-TERM BOND PORTFOLIO
Par/Shares | $ Value | Par/Shares | $ Value | ||||
(Amounts in 000s) | (Amounts in 000s) | ||||||
AerCap Ireland Capital | Humana | ||||||
4.625%, 10/30/20 | 440 | 429 | 2.90%, 12/15/22 | 120 | 118 | ||
Air Lease | Humana | ||||||
2.25%, 1/15/23 | 515 | 435 | 3.15%, 12/1/22 | 220 | 218 | ||
Air Lease | Humana | ||||||
2.50%, 3/1/21 | 200 | 182 | 3.85%, 10/1/24 | 40 | 41 | ||
Air Lease | Lincoln National | ||||||
3.50%, 1/15/22 | 390 | 355 | 4.00%, 9/1/23 | 195 | 198 | ||
Avolon Holdings Funding | Marsh & McLennan | ||||||
2.875%, 2/15/25 (1) | 615 | 468 | 3.50%, 12/29/20 | 535 | 535 | ||
Avolon Holdings Funding | Marsh & McLennan | ||||||
3.625%, 5/1/22 (1) | 955 | 852 | 3.875%, 3/15/24 | 505 | 514 | ||
Avolon Holdings Funding | New York Life Global Funding, FRN, | ||||||
3.95%, 7/1/24 (1) | 190 | 153 | 3M USD LIBOR + 0.32%, 2.057%, | ||||
Avolon Holdings Funding | 8/6/21(1) | 850 | 834 | ||||
5.125%, 10/1/23 (1) | 810 | 680 | Reinsurance Group of America | ||||
GE Capital International Funding | 5.00%, 6/1/21 | 90 | 93 | ||||
2.342%, 11/15/20 | 2,760 | 2,748 | Trinity Acquisition | ||||
Park Aerospace Holdings | 3.50%, 9/15/21 | 450 | 438 | ||||
5.25%, 8/15/22 (1) | 535 | 471 | 7,389 | ||||
SMBC Aviation Capital Finance | |||||||
3.55%, 4/15/24 (1) | 235 | 251 | Real Estate Investment Trusts 0.4% | ||||
SMBC Aviation Capital Finance | Brixmor Operating Partnership | ||||||
4.125%, 7/15/23 (1) | 200 | 210 | 3.875%, 8/15/22 | 115 | 109 | ||
8,510 | Highwoods Realty | ||||||
3.625%, 1/15/23 | 360 | 358 | |||||
Financial Other 0.3% | Starwood Property Trust | ||||||
DAE Funding | 3.625%, 2/1/21 | 1,070 | 998 | ||||
5.25%, 11/15/21 (1) | 1,360 | 1,244 | Ventas Realty | ||||
1,244 | 3.10%, 1/15/23 | 125 | 123 | ||||
1,588 | |||||||
Insurance 1.7% | |||||||
AIA Group, FRN, | Total Financial Institutions | 74,873 | |||||
3M USD LIBOR + 0.52%, 1.636%, | Industrial 28.7% | ||||||
9/20/21(1) | 890 | 878 | |||||
AIG Global Funding | Basic Industry 0.9% | ||||||
2.30%, 7/1/22 (1) | 440 | 437 | Anglo American Capital | ||||
AIG Global Funding | 3.75%, 4/10/22 (1) | 200 | 197 | ||||
3.35%, 6/25/21 (1) | 525 | 529 | Anglo American Capital | ||||
American International Group | 4.125%, 9/27/22 (1) | 430 | 422 | ||||
4.875%, 6/1/22 | 485 | 501 | DuPont de Nemours | ||||
American International Group | 3.766%, 11/15/20 | 765 | 767 | ||||
6.40%, 12/15/20 | 260 | 267 | International Flavors & Fragrances | ||||
Anthem | 3.40%, 9/25/20 | 285 | 286 | ||||
2.50%, 11/21/20 | 475 | 473 | LyondellBasell Industries | ||||
Aon | 6.00%, 11/15/21 | 1,060 | 1,081 | ||||
2.20%, 11/15/22 | 265 | 262 | POSCO | ||||
Aon | 2.375%, 11/12/22 (1) | 1,175 | 1,180 | ||||
2.80%, 3/15/21 | 970 | 957 | |||||
Aon | |||||||
5.00%, 9/30/20 | 95 | 96 | |||||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE LIMITED-TERM BOND PORTFOLIO
Par/Shares | $ Value | Par/Shares | $ Value | |||
(Amounts in 000s) | (Amounts in 000s) | |||||
Southern Copper | Roper Technologies | |||||
5.375%, 4/16/20 | 145 | 144 | 3.65%, 9/15/23 | 195 | 201 | |
4,077 | Vulcan Materials, FRN, | |||||
3M USD LIBOR + 0.60%, 1.341%, | ||||||
Capital Goods 3.0% | 6/15/20 | 520 | 519 | |||
3M | Vulcan Materials, FRN, | |||||
2.65%, 4/15/25 | 75 | 77 | 3M USD LIBOR + 0.65%, 2.23%, | |||
Boral Finance | 3/1/21 | 1,130 | 1,084 | |||
3.00%, 11/1/22 (1) | 100 | 101 | 12,975 | |||
Carrier Global | ||||||
2.242%, 2/15/25 (1) | 1,125 | 1,085 | Communications 2.5% | |||
Caterpillar Financial Services | Charter Communications Operating | |||||
2.95%, 2/26/22 | 740 | 753 | 3.579%, 7/23/20 | 920 | 918 | |
Caterpillar Financial Services, FRN, | Charter Communications Operating | |||||
3M USD LIBOR + 0.28%, 1.279%, | 4.464%, 7/23/22 | 2,175 | 2,248 | |||
9/7/21 | 415 | 408 | Charter Communications Operating | |||
CNH Industrial Capital | 4.908%, 7/23/25 | 1,305 | 1,382 | |||
3.875%, 10/15/21 | 680 | 657 | Comcast | |||
CNH Industrial Capital | 3.70%, 4/15/24 | 645 | 693 | |||
4.375%, 11/6/20 | 1,775 | 1,803 | Crown Castle International | |||
General Dynamics, FRN, | 2.25%, 9/1/21 | 385 | 378 | |||
3M USD LIBOR + 0.38%, 2.111%, | Crown Castle International | |||||
5/11/21 | 380 | 371 | 3.40%, 2/15/21 | 600 | 592 | |
General Electric | Crown Castle Towers | |||||
2.70%, 10/9/22 | 700 | 688 | 3.72%, 7/15/23 (1) | 385 | 387 | |
General Electric | Fox | |||||
3.15%, 9/7/22 | 355 | 356 | 3.05%, 4/7/25 | 115 | 115 | |
General Electric | Fox | |||||
3.45%, 5/15/24 | 340 | 340 | 3.666%, 1/25/22 | 180 | 184 | |
General Electric | Fox | |||||
4.65%, 10/17/21 | 490 | 504 | 4.03%, 1/25/24 | 215 | 223 | |
General Electric | Interpublic Group | |||||
5.30%, 2/11/21 | 85 | 86 | 3.50%, 10/1/20 | 205 | 204 | |
Martin Marietta Materials, FRN, | RELX Capital | |||||
3M USD LIBOR + 0.65%, 2.333%, | 3.50%, 3/16/23 | 400 | 417 | |||
5/22/20 | 215 | 214 | SBA Tower Trust | |||
Northrop Grumman | 2.836%, 1/15/25 (1) | 630 | 605 | |||
2.55%, 10/15/22 | 500 | 500 | SBA Tower Trust | |||
Otis Worldwide | 3.168%, 4/11/22 (1) | 235 | 237 | |||
2.056%, 4/5/25 (1) | 650 | 639 | SBA Tower Trust | |||
Republic Services | 3.448%, 3/15/23 (1) | 620 | 626 | |||
2.50%, 8/15/24 | 540 | 545 | Verizon Communications | |||
Roper Technologies | 3.376%, 2/15/25 | 290 | 311 | |||
2.35%, 9/15/24 | 230 | 224 | Verizon Communications | |||
Roper Technologies | 5.15%, 9/15/23 | 470 | 525 | |||
2.80%, 12/15/21 | 520 | 521 | Vodafone Group | |||
Roper Technologies | 3.75%, 1/16/24 | 465 | 476 | |||
3.00%, 12/15/20 | 345 | 346 | WPP Finance 2010 | |||
Roper Technologies | 3.625%, 9/7/22 | 195 | 194 | |||
3.125%, 11/15/22 | 945 | 953 | 10,715 | |||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE LIMITED-TERM BOND PORTFOLIO
Par/Shares | $ Value | Par/Shares | $ Value | ||||
(Amounts in 000s) | (Amounts in 000s) | ||||||
Harley-Davidson Financial Services | |||||||
Consumer Cyclical 6.0% | 4.05%, 2/4/22 (1) | 815 | 798 | ||||
AutoZone | Harley-Davidson Financial Services, | ||||||
3.625%, 4/15/25 | 295 | 300 | FRN, | ||||
BMW U. S. Capital, FRN, | 3M USD LIBOR + 0.50%, 2.196%, | ||||||
3M USD LIBOR + 0.50%, 2.207%, | 5/21/20(1) | 550 | 550 | ||||
8/13/21(1) | 575 | 551 | Harley-Davidson Financial Services, | ||||
BMW U. S. Capital, FRN, | FRN, | ||||||
3M USD LIBOR + 0.41%, 2.258%, | 3M USD LIBOR + 0.94%, 2.52%, | ||||||
4/12/21(1) | 770 | 749 | 3/2/21(1) | 695 | 699 | ||
Daimler Finance North America | Hyundai Capital America | ||||||
1.75%, 3/10/23 (1) | 1,085 | 1,020 | 2.375%, 2/10/23 (1) | 1,170 | 1,104 | ||
Daimler Finance North America | Hyundai Capital America | ||||||
2.30%, 2/12/21 (1) | 1,090 | 1,065 | 2.45%, 6/15/21 (1) | 455 | 448 | ||
Dollar Tree, FRN, | Hyundai Capital America | ||||||
3M USD LIBOR + 0.70%, 2.536%, | 2.85%, 11/1/22 (1) | 326 | 315 | ||||
4/17/20 | 289 | 289 | Hyundai Capital America | ||||
DR Horton | 3.00%, 6/20/22 (1) | 670 | 632 | ||||
2.55%, 12/1/20 | 365 | 364 | Hyundai Capital America | ||||
eBay | 3.95%, 2/1/22 (1) | 835 | 847 | ||||
2.15%, 6/5/20 | 540 | 538 | JD. com | ||||
Expedia Group | 3.125%, 4/29/21 | 1,610 | 1,613 | ||||
5.95%, 8/15/20 | 233 | 229 | McDonald's | ||||
Ford Motor Credit | 1.45%, 9/1/25 | 365 | 349 | ||||
3.087%, 1/9/23 | 745 | 670 | McDonald's | ||||
Ford Motor Credit | 3.35%, 4/1/23 | 445 | 460 | ||||
3.35%, 11/1/22 | 885 | 825 | NIKE | ||||
Ford Motor Credit | 2.40%, 3/27/25 | 155 | 161 | ||||
3.47%, 4/5/21 | 290 | 278 | Nissan Motor Acceptance | ||||
Ford Motor Credit | 2.15%, 9/28/20 (1) | 755 | 756 | ||||
3.813%, 10/12/21 | 320 | 306 | Nissan Motor Acceptance | ||||
Ford Motor Credit | 3.65%, 9/21/21 (1) | 295 | 289 | ||||
5.875%, 8/2/21 | 200 | 196 | O'Reilly Automotive | ||||
Ford Motor Credit, FRN, | 3.80%, 9/1/22 | 285 | 288 | ||||
3M USD LIBOR + 0.93%, 2.134%, | PACCAR Financial | ||||||
9/24/20 | 1,340 | 1,259 | 3.10%, 5/10/21 | 865 | 864 | ||
General Motors | QVC | ||||||
4.875%, 10/2/23 | 440 | 392 | 4.375%, 3/15/23 | 420 | 403 | ||
General Motors Financial | QVC | ||||||
2.90%, 2/26/25 | 1,190 | 1,018 | 5.125%, 7/2/22 | 850 | 706 | ||
General Motors Financial | Starbucks | ||||||
3.20%, 7/13/20 | 1,080 | 1,075 | 2.70%, 6/15/22 | 295 | 299 | ||
General Motors Financial | Target | ||||||
3.20%, 7/6/21 | 240 | 225 | 2.25%, 4/15/25 | 345 | 351 | ||
General Motors Financial | TJX | ||||||
4.20%, 3/1/21 | 60 | 58 | 3.50%, 4/15/25 | 465 | 475 | ||
General Motors Financial, FRN, | Volkswagen Group of America | ||||||
3M USD LIBOR + 0.85%, 2.728%, | Finance | ||||||
4/9/21 | 515 | 495 | 2.50%, 9/24/21 (1) | 200 | 195 | ||
Harley-Davidson Financial Services | |||||||
2.55%, 6/9/22 (1) | 240 | 234 | |||||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE LIMITED-TERM BOND PORTFOLIO
Par/Shares | $ Value | Par/Shares | $ Value | |||
(Amounts in 000s) | (Amounts in 000s) | |||||
Volkswagen Group of America | Bristol-Myers Squibb | |||||
Finance | 2.75%, 2/15/23 (1) | 435 | 442 | |||
2.70%, 9/26/22 (1) | 415 | 398 | Bristol-Myers Squibb | |||
Volkswagen Group of America | 2.875%, 2/19/21 (1) | 800 | 806 | |||
Finance | Bristol-Myers Squibb | |||||
3.875%, 11/13/20 (1) | 685 | 682 | 2.90%, 7/26/24 (1) | 610 | 640 | |
Walgreen | Bristol-Myers Squibb | |||||
3.10%, 9/15/22 | 265 | 265 | 3.25%, 2/20/23 (1) | 135 | 139 | |
26,083 | Bristol-Myers Squibb | |||||
3.55%, 8/15/22 (1) | 430 | 445 | ||||
Consumer Non-Cyclical 8.8% | Bristol-Myers Squibb | |||||
AbbVie | 3.625%, 5/15/24 (1) | 115 | 122 | |||
2.30%, 5/14/21 | 640 | 640 | Bunge Finance | |||
AbbVie | 3.00%, 9/25/22 | 1,675 | 1,652 | |||
2.60%, 11/21/24 (1) | 1,760 | 1,762 | Bunge Finance | |||
AbbVie | 3.50%, 11/24/20 | 1,745 | 1,761 | |||
2.90%, 11/6/22 | 1,120 | 1,135 | Bunge Finance | |||
AbbVie | 4.35%, 3/15/24 | 80 | 82 | |||
3.20%, 11/6/22 | 120 | 123 | Cardinal Health | |||
Allergan Finance | 2.616%, 6/15/22 | 140 | 140 | |||
3.25%, 10/1/22 | 115 | 115 | Cardinal Health | |||
Allergan Funding | 3.079%, 6/15/24 | 445 | 441 | |||
3.45%, 3/15/22 | 375 | 374 | Cardinal Health | |||
Altria Group | 3.20%, 3/15/23 | 460 | 459 | |||
3.49%, 2/14/22 | 673 | 683 | Cardinal Health | |||
Altria Group | 3.50%, 11/15/24 | 540 | 556 | |||
3.80%, 2/14/24 | 920 | 926 | Cigna | |||
AmerisourceBergen | 3.00%, 7/15/23 (1) | 455 | 458 | |||
3.50%, 11/15/21 | 440 | 443 | Cigna | |||
Archer-daniels-midland | 3.40%, 9/17/21 | 255 | 258 | |||
2.75%, 3/27/25 | 175 | 179 | Cigna | |||
BAT Capital | 3.75%, 7/15/23 | 472 | 486 | |||
2.764%, 8/15/22 | 2,253 | 2,214 | Cigna | |||
Baxalta | 3.90%, 2/15/22 (1) | 350 | 361 | |||
3.60%, 6/23/22 | 190 | 199 | Cigna | |||
Bayer U. S. Finance II | 4.125%, 9/15/20 (1) | 515 | 518 | |||
3.50%, 6/25/21 (1) | 450 | 451 | Cigna, FRN, | |||
Bayer U. S. Finance II, FRN, | 3M USD LIBOR + 0.65%, 1.493%, | |||||
3M USD LIBOR + 0.63%, 1.846%, | 9/17/21 | 455 | 437 | |||
6/25/21(1) | 850 | 822 | CK Hutchison International 17 II | |||
Becton Dickinson & Company | 2.75%, 3/29/23 | 950 | 958 | |||
2.404%, 6/5/20 | 785 | 783 | Conagra Brands, FRN, | |||
Becton Dickinson & Company | 3M USD LIBOR + 0.75%, 2.552%, | |||||
2.894%, 6/6/22 | 1,172 | 1,172 | 10/22/20 | 165 | 163 | |
Becton Dickinson & Company, FRN, | CVS Health | |||||
3M USD LIBOR + 0.875%, 2.25%, | 2.625%, 8/15/24 | 210 | 209 | |||
12/29/20 | 236 | 228 | CVS Health | |||
Biogen | 3.35%, 3/9/21 | 494 | 497 | |||
2.90%, 9/15/20 | 445 | 446 | CVS Health | |||
Bristol-Myers Squibb | 3.70%, 3/9/23 | 1,445 | 1,498 | |||
2.60%, 5/16/22 (1) | 300 | 306 | ||||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE LIMITED-TERM BOND PORTFOLIO
Par/Shares | $ Value | Par/Shares | $ Value | ||
(Amounts in 000s) | (Amounts in 000s) | ||||
CVS Health, FRN, | Energy Transfer Operating | ||||
3M USD LIBOR + 0.72%, 1.719%, | 4.25%, 3/15/23 | 440 | 399 | ||
3/9/21 | 475 | 463 | Energy Transfer Operating | ||
EMD Finance | 5.875%, 1/15/24 | 1,515 | 1,472 | ||
2.95%, 3/19/22 (1) | 275 | 277 | Eni, Series X-R | ||
Express Scripts Holding, FRN, | 4.00%, 9/12/23 (1) | 270 | 268 | ||
3M USD LIBOR + 0.75%, 2.33%, | Enterprise Products Operating | ||||
11/30/20 | 1,100 | 1,084 | 2.80%, 2/15/21 | 720 | 716 |
General Mills, FRN, | Enterprise Products Operating | ||||
3M USD LIBOR + 0.54%, 2.383%, | 3.50%, 2/1/22 | 715 | 728 | ||
4/16/21 | 670 | 660 | EOG Resources | ||
Hasbro | 2.625%, 3/15/23 | 184 | 180 | ||
2.60%, 11/19/22 | 565 | 557 | EQT | ||
Hasbro | 3.00%, 10/1/22 | 1,375 | 1,148 | ||
3.00%, 11/19/24 | 760 | 770 | EQT | ||
Imperial Brands Finance | 4.875%, 11/15/21 | 172 | 138 | ||
2.95%, 7/21/20 (1) | 265 | 264 | Marathon Oil | ||
Imperial Brands Finance | 2.80%, 11/1/22 | 1,222 | 938 | ||
3.75%, 7/21/22 (1) | 1,145 | 1,145 | MPLX, FRN, | ||
Keurig Dr Pepper | 3M USD LIBOR + 0.90%, 1.899%, | ||||
3.551%, 5/25/21 | 670 | 677 | 9/9/21 | 175 | 175 |
Kraft Heinz Foods | MPLX, FRN, | ||||
3.50%, 6/6/22 | 620 | 610 | 3M USD LIBOR + 1.10%, 2.099%, | ||
McKesson | 9/9/22 | 540 | 541 | ||
3.65%, 11/30/20 | 965 | 966 | Occidental Petroleum | ||
Pernod Ricard | 2.60%, 8/13/21 | 615 | 492 | ||
4.45%, 1/15/22 (1) | 765 | 787 | Occidental Petroleum | ||
Perrigo Finance Unlimited | 2.70%, 8/15/22 | 580 | 413 | ||
3.50%, 12/15/21 | 600 | 614 | Phillips 66, FRN, | ||
Perrigo Finance Unlimited | 3M USD LIBOR + 0.60%, 2.247%, | ||||
3.90%, 12/15/24 | 1,175 | 1,131 | 2/26/21 | 495 | 463 |
Shire Acquisitions Investments | Sabine Pass Liquefaction | ||||
Ireland | 5.625%, 2/1/21 | 1,885 | 1,847 | ||
2.875%, 9/23/23 | 80 | 82 | Sabine Pass Liquefaction | ||
Takeda Pharmaceutical | 6.25%, 3/15/22 | 1,475 | 1,431 | ||
4.00%, 11/26/21 | 1,120 | 1,135 | Schlumberger Holdings | ||
Tyson Foods | 3.75%, 5/1/24 (1) | 440 | 415 | ||
2.25%, 8/23/21 | 405 | 403 | Western Midstream Operating | ||
38,154 | 4.00%, 7/1/22 | 1,155 | 745 | ||
Williams | |||||
Energy 4.0% | 3.35%, 8/15/22 | 140 | 133 | ||
Aker BP | Williams | ||||
3.00%, 1/15/25 (1) | 625 | 495 | 3.70%, 1/15/23 | 1,410 | 1,303 |
Cenovus Energy | 17,142 | ||||
3.00%, 8/15/22 | 790 | 565 | |||
Columbia Pipeline Group | Technology 2.9% | ||||
3.30%, 6/1/20 | 785 | 783 | Amphenol | ||
Diamondback Energy | 2.05%, 3/1/25 | 550 | 524 | ||
2.875%, 12/1/24 | 1,715 | 1,218 | Apple | ||
Energy Transfer Operating | 2.40%, 5/3/23 | 470 | 488 | ||
2.90%, 5/15/25 | 160 | 136 | |||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE LIMITED-TERM BOND PORTFOLIO
Par/Shares | $ Value | Par/Shares | $ Value | ||
(Amounts in 000s) | (Amounts in 000s) | ||||
Avnet | Penske Truck Leasing | ||||
3.75%, 12/1/21 | 545 | 555 | 3.30%, 4/1/21 (1) | 680 | 683 |
Baidu | Penske Truck Leasing | ||||
2.875%, 7/6/22 | 570 | 570 | 3.65%, 7/29/21 (1) | 160 | 160 |
Baidu | Union Pacific | ||||
3.50%, 11/28/22 | 495 | 504 | 3.20%, 6/8/21 | 830 | 838 |
Broadcom | United Airlines PTT, Series 2019-2, | ||||
3.00%, 1/15/22 | 1,040 | 1,030 | Class B | ||
Equifax | 3.50%, 5/1/28 | 260 | 272 | ||
2.30%, 6/1/21 | 690 | 670 | 2,779 | ||
Equifax | |||||
3.60%, 8/15/21 | 390 | 384 | Total Industrial | 124,610 | |
Equifax, FRN, | Utility 3.2% | ||||
3M USD LIBOR + 0.87%, 2.562%, | |||||
8/15/21 | 420 | 422 | Electric 2.6% | ||
Fiserv | American Electric Power | ||||
2.75%, 7/1/24 | 1,145 | 1,138 | 3.65%, 12/1/21 | 125 | 121 |
Global Payments | CenterPoint Energy | ||||
2.65%, 2/15/25 | 485 | 478 | 3.60%, 11/1/21 | 315 | 314 |
International Business Machines | Dominion Energy | ||||
2.50%, 1/27/22 | 330 | 338 | 2.579%, 7/1/20 | 1,661 | 1,659 |
International Business Machines | Duke Energy | ||||
2.85%, 5/13/22 | 510 | 524 | 3.55%, 9/15/21 | 225 | 227 |
International Business Machines | Edison International | ||||
2.875%, 11/9/22 | 100 | 103 | 2.125%, 4/15/20 | 805 | 805 |
Jabil | Edison International | ||||
5.625%, 12/15/20 | 350 | 359 | 3.125%, 11/15/22 | 415 | 430 |
Microchip Technology | Enel Finance International | ||||
3.922%, 6/1/21 | 1,395 | 1,351 | 2.875%, 5/25/22 (1) | 1,195 | 1,156 |
NXP | Enel Finance International | ||||
3.875%, 9/1/22 (1) | 440 | 428 | 4.25%, 9/14/23 (1) | 585 | 599 |
NXP | FirstEnergy | ||||
4.125%, 6/1/21 (1) | 450 | 454 | 2.85%, 7/15/22 | 585 | 583 |
NXP | NextEra Energy Capital Holdings, | ||||
4.625%, 6/1/23 (1) | 750 | 766 | FRN, | ||
Oracle | 3M USD LIBOR + 0.55%, 2.163%, | ||||
2.50%, 4/1/25 | 790 | 807 | 8/28/21 | 890 | 889 |
Panasonic | NRG Energy | ||||
2.536%, 7/19/22 (1) | 475 | 466 | 3.75%, 6/15/24 (1) | 385 | 381 |
Texas Instruments | PNM Resources | ||||
1.375%, 3/12/25 | 330 | 326 | 3.25%, 3/9/21 | 690 | 692 |
12,685 | San Diego Gas & Electric | ||||
1.914%, 2/1/22 | 77 | 77 | |||
Transportation 0.6% | Sinosing Services Pte | ||||
American Airlines PTT, Series 2017- | 2.25%, 2/20/25 | 1,400 | 1,391 | ||
2, Class B | Southern | ||||
3.70%, 10/15/25 | 471 | 419 | 2.35%, 7/1/21 | 210 | 210 |
Delta Air Lines | Vistra Operations | ||||
2.60%, 12/4/20 | 280 | 267 | 3.55%, 7/15/24 (1) | 1,930 | 1,817 |
Penske Truck Leasing | |||||
3.20%, 7/15/20 (1) | 140 | 140 | 11,351 | ||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE LIMITED-TERM BOND PORTFOLIO
Par/Shares | $ Value | Par/Shares | $ Value | ||
(Amounts in 000s) | (Amounts in 000s) | ||||
AmeriCredit Automobile | |||||
Natural Gas 0.6% | Receivables Trust, Series | ||||
CenterPoint Energy Resources | 2017-1, Class D | ||||
4.50%, 1/15/21 | 445 | 449 | 3.13%, 1/18/23 | 925 | 913 |
Sempra Energy | AmeriCredit Automobile | ||||
2.85%, 11/15/20 | 1,135 | 1,131 | Receivables Trust, Series | ||
Sempra Energy | 2017-3, Class B | ||||
2.875%, 10/1/22 | 390 | 384 | 2.24%, 6/19/23 | 265 | 263 |
Sempra Energy, FRN, | AmeriCredit Automobile | ||||
3M USD LIBOR + 0.50%, 2.331%, | Receivables Trust, Series | ||||
1/15/21 | 740 | 699 | 2017-3, Class C | ||
2.69%, 6/19/23 | 280 | 277 | |||
2,663 | AmeriCredit Automobile | ||||
Total Utility | 14,014 | Receivables Trust, Series | |||
Total Corporate Bonds | 2017-3, Class D | ||||
(Cost $219,880) | 213,497 | 3.18%, 7/18/23 | 970 | 963 | |
AmeriCredit Automobile | |||||
Receivables Trust, Series | |||||
ASSET-BACKED SECURITIES 15.8% | 2018-1, Class D | ||||
3.82%, 3/18/24 | 1,195 | 1,158 | |||
Car Loan 7.2% | AmeriCredit Automobile | ||||
Ally Auto Receivables Trust, | Receivables Trust, Series | ||||
Series 2017-2, Class C | 2018-3, Class A3 | ||||
2.46%, 9/15/22 | 505 | 503 | 3.38%, 7/18/23 | 1,120 | 1,123 |
Ally Auto Receivables Trust, | AmeriCredit Automobile | ||||
Series 2017-2, Class D | Receivables Trust, Series | ||||
2.93%, 11/15/23 | 135 | 135 | 2019-3, Class B | ||
Ally Master Owner Trust, Series | 2.13%, 7/18/25 | 690 | 704 | ||
2018-2, Class A | AmeriCredit Automobile | ||||
3.29%, 5/15/23 | 945 | 954 | Receivables Trust, Series | ||
AmeriCredit Automobile | 2020-1, Class C | ||||
Receivables Trust, Series | 1.59%, 10/20/25 | 435 | 406 | ||
2016-1, Class C | AmeriCredit Automobile | ||||
2.89%, 1/10/22 | 185 | 185 | Receivables Trust, Series | ||
AmeriCredit Automobile | 2020-1, Class D | ||||
Receivables Trust, Series | 1.80%, 12/18/25 | 415 | 386 | ||
2016-3, Class C | ARI Fleet Lease Trust, Series | ||||
2.24%, 4/8/22 | 554 | 549 | 2017-A, Class A2 | ||
AmeriCredit Automobile | 1.91%, 4/15/26 (1) | 16 | 16 | ||
Receivables Trust, Series | ARI Fleet Lease Trust, Series | ||||
2016-3, Class D | 2018-A, Class A2 | ||||
2.71%, 9/8/22 | 545 | 524 | 2.55%, 10/15/26 (1) | 223 | 222 |
AmeriCredit Automobile | ARI Fleet Lease Trust, Series | ||||
Receivables Trust, Series | 2020-A, Class B | ||||
2016-4, Class D | 2.06%, 11/15/28 (1) | 475 | 475 | ||
2.74%, 12/8/22 | 1,365 | 1,345 | Avis Budget Rental Car Funding | ||
AmeriCredit Automobile | AESOP, Series 2015-1A, Class | ||||
Receivables Trust, Series | A | ||||
2017-1, Class C | 2.50%, 7/20/21 (1) | 400 | 399 | ||
2.71%, 8/18/22 | 225 | 223 | Avis Budget Rental Car Funding | ||
AESOP, Series 2015-2A, Class | |||||
A | |||||
2.63%, 12/20/21 (1) | 935 | 927 | |||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE LIMITED-TERM BOND PORTFOLIO
Par/Shares | $ Value | Par/Shares | $ Value | ||
(Amounts in 000s) | (Amounts in 000s) | ||||
Avis Budget Rental Car Funding | Enterprise Fleet Financing, | ||||
AESOP, Series 2017-1A, | Series 2019-1, Class A2 | ||||
Class B | 2.98%, 10/20/24 (1) | 345 | 345 | ||
3.41%, 9/20/23 (1) | 390 | 379 | Enterprise Fleet Financing, | ||
Avis Budget Rental Car Funding | Series 2019-3, Class A2 | ||||
AESOP, Series 2017-2A, | 2.06%, 5/20/25 (1) | 530 | 528 | ||
Class B | Ford Credit Floorplan Master | ||||
3.33%, 3/20/24 (1) | 720 | 695 | Owner Trust, Series 2017-2, | ||
Avis Budget Rental Car Funding | Class B | ||||
AESOP, Series 2018-2A, | 2.34%, 9/15/22 | 2,260 | 2,212 | ||
Class C | GM Financial Automobile | ||||
4.95%, 3/20/25 (1) | 260 | 169 | Leasing Trust, Series 2017-3, | ||
Avis Budget Rental Car Funding | Class C | ||||
AESOP, Series 2019-1A, | 2.73%, 9/20/21 | 200 | 200 | ||
Class B | GM Financial Automobile | ||||
3.70%, 3/20/23 (1) | 646 | 634 | Leasing Trust, Series 2018-1, | ||
Avis Budget Rental Car Funding | Class C | ||||
AESOP, Series 2019-2A, | 3.11%, 12/20/21 | 295 | 295 | ||
Class A | GM Financial Automobile | ||||
3.35%, 9/22/25 (1) | 475 | 449 | Leasing Trust, Series 2018-1, | ||
Avis Budget Rental Car Funding | Class D | ||||
AESOP, Series 2019-2A, | 3.37%, 10/20/22 | 720 | 718 | ||
Class B | GM Financial Automobile | ||||
3.55%, 9/22/25 (1) | 415 | 390 | Leasing Trust, Series 2018-2, | ||
Avis Budget Rental Car Funding | Class C | ||||
AESOP, Series 2020-1A, | 3.50%, 4/20/22 | 325 | 326 | ||
Class A | GM Financial Automobile | ||||
2.33%, 8/20/26 (1) | 340 | 299 | Leasing Trust, Series 2019-1, | ||
Capital Auto Receivables Asset | Class C | ||||
Trust, Series 2017-1, Class B | 3.56%, 12/20/22 | 595 | 599 | ||
2.43%, 5/20/22 (1) | 110 | 109 | GM Financial Consumer | ||
Capital Auto Receivables Asset | Automobile Receivables Trust, | ||||
Trust, Series 2017-1, Class C | Series 2017-3A, Class C | ||||
2.70%, 9/20/22 (1) | 175 | 173 | 2.52%, 3/16/23 (1) | 895 | 891 |
Capital Auto Receivables Asset | GMF Floorplan Owner Revolving | ||||
Trust, Series 2018-2, Class B | Trust, Series 2019-1, Class A | ||||
3.48%, 10/20/23 (1) | 255 | 255 | 2.70%, 4/15/24 (1) | 510 | 508 |
Capital Auto Receivables Asset | Hyundai Auto Receivables Trust, | ||||
Trust, Series 2018-2, Class C | Series 2017-A, Class B | ||||
3.69%, 12/20/23 (1) | 320 | 321 | 2.38%, 4/17/23 | 220 | 221 |
CarMax Auto Owner Trust, | Hyundai Auto Receivables Trust, | ||||
Series 2017-4, Class C | Series 2019-A, Class B | ||||
2.70%, 10/16/23 | 150 | 149 | 2.94%, 5/15/25 | 460 | 462 |
Enterprise Fleet Financing, | Nissan Master Owner Trust | ||||
Series 2017-1, Class A2 | Receivables, Series 2019-B, | ||||
2.13%, 7/20/22 (1) | 4 | 4 | Class A, FRN, | ||
Enterprise Fleet Financing, | 1M USD LIBOR + 0.43%, | ||||
Series 2017-3, Class A2 | 1.135%, 11/15/23 | 895 | 851 | ||
2.13%, 5/22/23 (1) | 312 | 310 | Santander Drive Auto | ||
Enterprise Fleet Financing, | Receivables Trust, Series | ||||
Series 2018-2, Class A2 | 2016-1, Class D | ||||
3.14%, 2/20/24 (1) | 381 | 379 | 4.02%, 4/15/22 | 358 | 358 |
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE LIMITED-TERM BOND PORTFOLIO
Par/Shares | $ Value | Par/Shares | $ Value | ||
(Amounts in 000s) | (Amounts in 000s) | ||||
Santander Drive Auto | World Omni Auto Receivables | ||||
Receivables Trust, Series | Trust, Series 2020-A, Class C | ||||
2016-3, Class C | 1.64%, 8/17/26 | 295 | 286 | ||
2.46%, 3/15/22 | 52 | 51 | World Omni Automobile Lease | ||
Santander Drive Auto | Securitization Trust, Series | ||||
Receivables Trust, Series | 2018-A, Class B | ||||
2017-1, Class C | 3.06%, 5/15/23 | 200 | 197 | ||
2.58%, 5/16/22 | 20 | 20 | |||
Santander Drive Auto | 31,541 | ||||
Receivables Trust, Series | Credit Card 0.7% | ||||
2018-1, Class C | Synchrony Card Funding, Series | ||||
2.96%, 3/15/24 | 185 | 184 | 2019-A2, Class A | ||
Santander Drive Auto | 2.34%, 6/15/25 | 1,195 | 1,179 | ||
Receivables Trust, Series | Synchrony Card Issuance Trust, | ||||
2018-2, Class C | Series 2018-A1, Class A | ||||
3.35%, 7/17/23 | 295 | 294 | 3.38%, 9/15/24 | 1,075 | 1,078 |
Santander Drive Auto | Synchrony Credit Card Master | ||||
Receivables Trust, Series | Note Trust, Series 2016-2, | ||||
2018-4, Class B | Class C | ||||
3.27%, 1/17/23 | 356 | 356 | 2.95%, 5/15/24 | 815 | 813 |
Santander Drive Auto | |||||
Receivables Trust, Series | 3,070 | ||||
2019-1, Class B | Other Asset-Backed Securities 5.5% | ||||
3.21%, 9/15/23 | 265 | 265 | |||
Santander Drive Auto | Allegro III, Series 2015-1A, Class | ||||
Receivables Trust, Series | AR, CLO, FRN, | ||||
2019-2, Class B | 3M USD LIBOR + 0.84%, | ||||
2.79%, 1/16/24 | 390 | 386 | 2.634%, 7/25/27 (1) | 512 | 505 |
Santander Drive Auto | Applebee's Funding, Series | ||||
Receivables Trust, Series | 2019-1A, Class A2I | ||||
2019-3, Class B | 4.194%, 6/7/49 (1) | 430 | 391 | ||
2.28%, 9/15/23 | 690 | 674 | Ascentium Equipment | ||
Santander Retail Auto Lease | Receivables Trust, Series | ||||
Trust, Series 2017-A, Class C | 2017-1A, Class A3 | ||||
2.96%, 11/21/22 (1) | 240 | 240 | 2.29%, 6/10/21 (1) | 71 | 70 |
Santander Retail Auto Lease | Barings, Series 2013-IA, Class | ||||
Trust, Series 2019-A, Class B | AR, CLO, FRN, | ||||
3.01%, 5/22/23 (1) | 505 | 508 | 3M USD LIBOR + 0.80%, | ||
2.619%, 1/20/28 (1) | 1,125 | 1,093 | |||
Santander Retail Auto Lease | BlueMountain, Series 2015-2A, | ||||
Trust, Series 2019-C, Class B | |||||
2.17%, 11/20/23 (1) | 310 | 304 | Class A1R, CLO, FRN, | ||
3M USD LIBOR + 0.93%, | |||||
Santander Retail Auto Lease | 2.749%, 7/18/27 (1) | 1,100 | 1,077 | ||
Trust, Series 2019-C, Class C | |||||
2.39%, 11/20/23 (1) | 515 | 506 | BRE Grand Islander Timeshare | ||
Issuer, Series 2019-A, Class A | |||||
Santander Retail Auto Lease | 3.28%, 9/26/33 (1) | 228 | 225 | ||
Trust, Series 2019-C, Class D | |||||
2.88%, 6/20/24 (1) | 525 | 518 | Carlyle Global Market Strategies, | ||
Series 2015-3A, Class A1R, | |||||
Santander Retail Auto Lease | CLO, FRN, | ||||
Trust, Series 2020-A, Class D | 3M USD LIBOR + 1.00%, | ||||
2.52%, 11/20/24 (1) | 435 | 420 | 2.795%, 7/28/28 (1) | 1,115 | 1,082 |
World Omni Auto Receivables | |||||
Trust, Series 2019-C, Class C | |||||
2.40%, 6/15/26 | 460 | 453 | |||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE LIMITED-TERM BOND PORTFOLIO
Par/Shares | $ Value | Par/Shares | $ Value | ||
(Amounts in 000s) | (Amounts in 000s) | ||||
CNH Equipment Trust, Series | Madison Park Funding XVIII, | ||||
2018-A, Class B | Series 2015-18A, Class A1R, | ||||
3.47%, 10/15/25 | 275 | 274 | CLO, FRN, | ||
Cole Park, Series 2015-1A, Class | 3M USD LIBOR + 1.19%, | ||||
AR, CLO, FRN, | 3.009%, 10/21/30 (1) | 1,175 | 1,122 | ||
3M USD LIBOR + 1.05%, | Magnetite XVI, Series 2015-16A, | ||||
2.869%, 10/20/28 (1) | 1,120 | 1,096 | Class AR, CLO, FRN, | ||
Daimler Trucks Retail Trust, | 3M USD LIBOR + 0.80%, | ||||
Series 2018-1, Class A4 | 2.619%, 1/18/28 (1) | 1,510 | 1,482 | ||
3.03%, 11/15/24 (1) | 260 | 260 | MVW Owner Trust, Series 2013- | ||
Daimler Trucks Retail Trust, | 1A, Class A | ||||
Series 2020-1, Class A4 | 2.15%, 4/22/30 (1) | 185 | 185 | ||
1.37%, 6/15/27 | 680 | 687 | MVW Owner Trust, Series 2014- | ||
Elara HGV Timeshare Issuer, | 1A, Class A | ||||
Series 2014-A, Class A | 2.25%, 9/22/31 (1) | 24 | 24 | ||
2.53%, 2/25/27 (1) | 13 | 13 | MVW Owner Trust, Series 2015- | ||
Elara HGV Timeshare Issuer, | 1A, Class A | ||||
Series 2016-A, Class A | 2.52%, 12/20/32 (1) | 159 | 157 | ||
2.73%, 4/25/28 (1) | 472 | 461 | MVW Owner Trust, Series 2017- | ||
Elara HGV Timeshare Issuer, | 1A, Class A | ||||
Series 2017-A, Class A | 2.42%, 12/20/34 (1) | 549 | 534 | ||
2.69%, 3/25/30 (1) | 141 | 138 | MVW Owner Trust, Series 2017- | ||
Elara HGV Timeshare Issuer, | 1A, Class B | ||||
Series 2019-A, Class A | 2.75%, 12/20/34 (1) | 40 | 39 | ||
2.61%, 1/25/34 (1) | 622 | 597 | MVW Owner Trust, Series 2017- | ||
Golub Capital Partners, Series | 1A, Class C | ||||
2018-39A, Class A1, CLO, | 2.99%, 12/20/34 (1) | 66 | 64 | ||
FRN, | Neuberger Berman XIX, Series | ||||
3M USD LIBOR + 1.15%, | 2015-19A, Class A1R2, CLO, | ||||
2.969%, 10/20/28 (1) | 640 | 623 | FRN, | ||
GreatAmerica Leasing | 3M USD LIBOR + 0.80%, | ||||
Receivables Funding, Series | 2.631%, 7/15/27 (1) | 1,099 | 1,065 | ||
2018-1, Class A3 | Neuberger Berman XVI, Series | ||||
2.60%, 6/15/21 (1) | 169 | 169 | 2017-16SA, Class A, CLO, | ||
Halcyon Loan Advisors Funding, | FRN, | ||||
Series 2014-3A, Class B1R, | 3M USD LIBOR + 0.85%, | ||||
CLO, FRN, | 2.681%, 1/15/28 (1) | 675 | 654 | ||
3M USD LIBOR + 1.70%, | OCP, Series 2014-7A, Class | ||||
3.502%, 10/22/25 (1) | 505 | 491 | A1RR, CLO, FRN, | ||
Hardee's Funding, Series 2018- | 3M USD LIBOR + 1.12%, | ||||
1A, Class A2I | 2.939%, 7/20/29 (1) | 1,750 | 1,682 | ||
4.25%, 6/20/48 (1) | 644 | 618 | OCP, Series 2015-10A, Class | ||
Hilton Grand Vacations Trust, | A1R, CLO, FRN, | ||||
Series 2014-AA, Class A | 3M USD LIBOR + 0.82%, | ||||
1.77%, 11/25/26 (1) | 257 | 255 | 2.614%, 10/26/27 (1) | 851 | 828 |
Hilton Grand Vacations Trust, | OZLM VIII, Series 2014-8A, | ||||
Series 2017-AA, Class A | Class A1RR, CLO, FRN, | ||||
2.66%, 12/26/28 (1) | 134 | 132 | 3M USD LIBOR + 1.17%, | ||
Hilton Grand Vacations Trust, | 3.006%, 10/17/29 (1) | 710 | 682 | ||
Series 2017-AA, Class B | Planet Fitness Master Issuer, | ||||
2.96%, 12/26/28 (1) | 47 | 46 | Series 2018-1A, Class A2I | ||
4.262%, 9/5/48 (1) | 813 | 766 | |||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE LIMITED-TERM BOND PORTFOLIO
Par/Shares | $ Value | Par/Shares | $ Value | |||
(Amounts in 000s) | (Amounts in 000s) | |||||
Sierra Timeshare Receivables | Navient Private Education Refi | |||||
Funding, Series 2015-3A, | Loan Trust, Series 2019-EA, | |||||
Class A | Class A1 | |||||
2.58%, 9/20/32 (1) | 75 | 74 | 2.39%, 5/15/68 (1) | 329 | 329 | |
Sierra Timeshare Receivables | Navient Private Education Refi | |||||
Funding, Series 2016-2A, | Loan Trust, Series 2019-EA, | |||||
Class A | Class A2A | |||||
2.33%, 7/20/33 (1) | 55 | 54 | 2.64%, 5/15/68 (1) | 980 | 998 | |
Sierra Timeshare Receivables | Navient Private Education Refi | |||||
Funding, Series 2017-1A, | Loan Trust, Series 2019-GA, | |||||
Class A | Class A | |||||
2.91%, 3/20/34 (1) | 85 | 84 | 2.40%, 10/15/68 (1) | 1,323 | 1,333 | |
Sierra Timeshare Receivables | Navient Private Education Refi | |||||
Funding, Series 2019-1A, | Loan Trust, Series 2020-A, | |||||
Class A | Class A2A | |||||
3.20%, 1/20/36 (1) | 233 | 231 | 2.46%, 11/15/68 (1) | 530 | 536 | |
Verizon Owner Trust, Series | Navient Private Education Refi | |||||
2017-1A, Class C | Loan Trust, Series 2020-CA, | |||||
2.65%, 9/20/21 (1) | 215 | 214 | Class A2A | |||
Verizon Owner Trust, Series | 2.15%, 11/15/68 (1) | 1,610 | 1,607 | |||
2017-2A, Class C | Navient Student Loan Trust, | |||||
2.38%, 12/20/21 (1) | 1,235 | 1,234 | Series 2019-2A, Class A1, | |||
Verizon Owner Trust, Series | FRN, | |||||
2017-3A, Class C | 1M USD LIBOR + 0.27%, | |||||
2.53%, 4/20/22 (1) | 865 | 836 | 1.217%, 2/27/68 (1) | 339 | 336 | |
Verizon Owner Trust, Series | Nelnet Student Loan Trust, | |||||
2018-1A, Class C | Series 2005-4, Class A4, FRN, | |||||
3.20%, 9/20/22 (1) | 340 | 335 | 3M USD LIBOR + 0.18%, | |||
Verizon Owner Trust, Series | 1.375%, 3/22/32 | 528 | 495 | |||
2018-A, Class C | Nelnet Student Loan Trust, | |||||
3.55%, 4/20/23 | 720 | 698 | Series 2020-1A, Class A, FRN, | |||
Volvo Financial Equipment, | 1M USD LIBOR + 0.74%, | |||||
Series 2018-1A, Class B | 2.39%, 3/26/68 (1) | 240 | 232 | |||
2.91%, 1/17/23 (1) | 315 | 310 | SLM Student Loan Trust, Series | |||
Volvo Financial Equipment | 2008-5, Class A4, FRN, | |||||
Master Owner Trust, Series | 3M USD LIBOR + 1.70%, | |||||
2017-A, Class A, FRN, | 3.494%, 7/25/23 | 148 | 139 | |||
1M USD LIBOR + 0.50%, | SLM Student Loan Trust, Series | |||||
1.205%, 11/15/22 (1) | 175 | 169 | 2008-9, Class A, FRN, | |||
3M USD LIBOR + 1.50%, | ||||||
23,826 | 3.294%, 4/25/23 | 105 | 104 | |||
Student Loan 2.4% | SLM Student Loan Trust, Series | |||||
2010-1, Class A, FRN, | ||||||
Navient Private Education Refi | 1M USD LIBOR + 0.40%, | |||||
Loan Trust, Series 2018-A, | 1.347%, 3/25/25 | 584 | 555 | |||
Class A1 | ||||||
2.53%, 2/18/42 (1) | 79 | 79 | SMB Private Education Loan | |||
Trust, Series 2014-A, Class | ||||||
Navient Private Education Refi | A2A | |||||
Loan Trust, Series 2019-CA, | 3.05%, 5/15/26 (1) | 217 | 218 | |||
Class A1 | ||||||
2.82%, 2/15/68 (1) | 534 | 534 | ||||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE LIMITED-TERM BOND PORTFOLIO
Par/Shares | $ Value | Par/Shares | $ Value | ||
(Amounts in 000s) | (Amounts in 000s) | ||||
SMB Private Education Loan | COLT Mortgage Loan Trust, | ||||
Trust, Series 2014-A, Class | Series 2018-2, Class A1, CMO, | ||||
A3, FRN, | ARM, | ||||
1M USD LIBOR + 1.50%, | 3.47%, 7/27/48 (1) | 375 | 370 | ||
2.205%, 4/15/32 (1) | 965 | 963 | COLT Mortgage Loan Trust, | ||
SMB Private Education Loan | Series 2018-2, Class A2, CMO, | ||||
Trust, Series 2015-A, Class | ARM, | ||||
A2B, FRN, | 3.542%, 7/27/48 (1) | 183 | 180 | ||
1M USD LIBOR + 1.00%, | COLT Mortgage Loan Trust, | ||||
1.705%, 6/15/27 (1) | 155 | 151 | Series 2018-3, Class A2, CMO, | ||
SMB Private Education Loan | ARM, | ||||
Trust, Series 2016-C, Class | 3.763%, 10/26/48 (1) | 146 | 144 | ||
A2B, FRN, | COLT Mortgage Loan Trust, | ||||
1M USD LIBOR + 1.10%, | Series 2018-4, Class A1, CMO, | ||||
1.805%, 9/15/34 (1) | 721 | 705 | ARM, | ||
SMB Private Education Loan | 4.006%, 12/28/48 (1) | 272 | 269 | ||
Trust, Series 2018-B, Class | COLT Mortgage Loan Trust, | ||||
A2B, FRN, | Series 2019-2, Class A1, CMO, | ||||
1M USD LIBOR + 0.72%, | ARM, | ||||
1.425%, 1/15/37 (1) | 1,346 | 1,224 | 3.337%, 5/25/49 (1) | 304 | 298 |
10,538 | COLT Mortgage Loan Trust, | ||||
Series 2019-3, Class A1, CMO, | |||||
Total Asset-Backed Securities | ARM, | ||||
(Cost $70,556) | 68,975 | 2.764%, 8/25/49 (1) | 762 | 737 | |
Connecticut Avenue Securities, | |||||
NON-U. S. GOVERNMENT MORTGAGE-BACKED | Series 2017-C02, Class 2ED3, | ||||
SECURITIES 13.9% | CMO, ARM, | ||||
1M USD LIBOR + 1.35%, | |||||
2.297%, 9/25/29 | 565 | 460 | |||
Collateralized Mortgage Obligations 10.7% | Connecticut Avenue Securities, | ||||
Angel Oak Mortgage Trust I, | Series 2017-C02, Class 2M1, | ||||
Series 2019-2, Class A1, CMO, | CMO, ARM, | ||||
ARM, | 1M USD LIBOR + 1.15%, | ||||
3.628%, 3/25/49 (1) | 509 | 512 | 2.097%, 9/25/29 | 14 | 14 |
Angel Oak Mortgage Trust I, | Connecticut Avenue Securities, | ||||
Series 2019-2, Class M1, | Series 2017-C03, Class 1M1, | ||||
CMO, ARM, | CMO, ARM, | ||||
4.065%, 3/25/49 (1) | 400 | 376 | 1M USD LIBOR + 0.95%, | ||
Bayview Mortgage Fund IVc | 1.897%, 10/25/29 | 225 | 218 | ||
Trust, Series 2017-RT3, Class | Connecticut Avenue Securities, | ||||
A, CMO, ARM, | Series 2017-C04, Class 2ED2, | ||||
3.50%, 1/28/58 (1) | 743 | 729 | CMO, ARM, | ||
Bayview Opportunity Master | 1M USD LIBOR + 1.10%, | ||||
Fund IVa Trust, Series 2017- | 2.047%, 11/25/29 | 1,095 | 979 | ||
SPL5, Class A, CMO, ARM, | Connecticut Avenue Securities, | ||||
3.50%, 6/28/57 (1) | 644 | 629 | Series 2017-C04, Class 2M1, | ||
Bayview Opportunity Master | CMO, ARM, | ||||
Fund IVb Trust, Series 2017- | 1M USD LIBOR + 0.85%, | ||||
SPL4, Class A, CMO, ARM, | 1.797%, 11/25/29 | 51 | 51 | ||
3.50%, 1/28/55 (1) | 221 | 219 | |||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE LIMITED-TERM BOND PORTFOLIO
Par/Shares | $ Value | Par/Shares | $ Value | |||
(Amounts in 000s) | (Amounts in 000s) | |||||
Connecticut Avenue Securities, | Deephaven Residential | |||||
Series 2017-C05, Class 1ED3, | Mortgage Trust, Series 2018- | |||||
CMO, ARM, | 1A, Class A1, CMO, ARM, | |||||
1M USD LIBOR + 1.20%, | 2.976%, 12/25/57 (1) | 171 | 169 | |||
2.147%, 1/25/30 | 584 | 531 | Deephaven Residential | |||
Connecticut Avenue Securities, | Mortgage Trust, Series 2018- | |||||
Series 2018-C01, Class 1ED2, | 3A, Class A3, CMO, ARM, | |||||
CMO, ARM, | 3.963%, 8/25/58 (1) | 44 | 43 | |||
1M USD LIBOR + 0.85%, | Deephaven Residential | |||||
1.797%, 7/25/30 | 975 | 974 | Mortgage Trust, Series 2019- | |||
Connecticut Avenue Securities, | 1A, Class A1, CMO, ARM, | |||||
Series 2018-C03, Class 1M1, | 3.743%, 1/25/59 (1) | 522 | 509 | |||
CMO, ARM, | Deephaven Residential | |||||
1M USD LIBOR + 0.68%, | Mortgage Trust, Series 2019- | |||||
1.627%, 10/25/30 | 161 | 158 | 2A, Class A3, CMO, ARM, | |||
Connecticut Avenue Securities | 3.763%, 4/25/59 (1) | 342 | 333 | |||
Trust, Series 2019-R04, Class | Deephaven Residential | |||||
2M1, CMO, ARM, | Mortgage Trust, Series 2019- | |||||
1M USD LIBOR + 0.75%, | 2A, Class M1, CMO, ARM, | |||||
1.697%, 6/25/39 (1) | 113 | 110 | 3.921%, 4/25/59 (1) | 280 | 264 | |
Connecticut Avenue Securities | Deephaven Residential | |||||
Trust, Series 2019-R05, Class | Mortgage Trust, Series 2019- | |||||
1M1, CMO, ARM, | 3A, Class A1, CMO, ARM, | |||||
1M USD LIBOR + 0.75%, | 2.964%, 7/25/59 (1) | 324 | 310 | |||
1.697%, 7/25/39 (1) | 4 | 4 | Ellington Financial Mortgage | |||
Connecticut Avenue Securities | Trust, Series 2019-2, Class A1, | |||||
Trust, Series 2019-R06, Class | CMO, ARM, | |||||
2M1, CMO, ARM, | 2.739%, 11/25/59 (1) | 394 | 378 | |||
1M USD LIBOR + 0.75%, | Flagstar Mortgage Trust, Series | |||||
1.697%, 9/25/39 (1) | 385 | 375 | 2020-1INV, Class A11, CMO, | |||
Connecticut Avenue Securities | ARM, | |||||
Trust, Series 2020-R01, Class | 1M USD LIBOR + 0.85%, | |||||
1M1, CMO, ARM, | 1.797%, 3/25/50 (1) | 467 | 434 | |||
1M USD LIBOR + 0.80%, | Freddie Mac Whole Loan | |||||
1.747%, 1/25/40 (1) | 520 | 497 | Securities Trust, Series 2017- | |||
Deephaven Residential | SC01, ClassM1, CMO, ARM, | |||||
Mortgage Trust, Series 2017- | 3.587%, 12/25/46 (1) | 205 | 200 | |||
1A, Class A3, CMO, ARM, | Freddie Mac Whole Loan | |||||
3.485%, 12/26/46 (1) | 41 | 40 | Securities Trust, Series 2017- | |||
Deephaven Residential | SC02, ClassM1, CMO, ARM, | |||||
Mortgage Trust, Series 2017- | 3.811%, 5/25/47 (1) | 80 | 78 | |||
3A, Class A1, CMO, ARM, | FWD Securitization Trust, Series | |||||
2.577%, 10/25/47 (1) | 181 | 181 | 2020-INV1, Class A1, CMO, | |||
Deephaven Residential | ARM, | |||||
Mortgage Trust, Series 2017- | 2.24%, 1/25/50 (1) | 1,041 | 1,021 | |||
3A, Class A2, CMO, ARM, | Galton Funding Mortgage Trust, | |||||
2.711%, 10/25/47 (1) | 19 | 19 | Series 2018-1, Class A33, | |||
Deephaven Residential | CMO, ARM, | |||||
Mortgage Trust, Series 2017- | 3.50%, 11/25/57 (1) | 336 | 332 | |||
3A, Class A3, CMO, ARM, | Galton Funding Mortgage Trust, | |||||
2.813%, 10/25/47 (1) | 19 | 19 | Series 2019-1, Class A32, | |||
CMO, ARM, | ||||||
4.00%, 2/25/59 (1) | 261 | 259 | ||||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE LIMITED-TERM BOND PORTFOLIO
Par/Shares | $ Value | Par/Shares | $ Value | ||
(Amounts in 000s) | (Amounts in 000s) | ||||
Galton Funding Mortgage Trust, | Mill City Mortgage Loan Trust, | ||||
Series 2019-H1, Class M1, | Series 2017-2, Class A1, CMO, | ||||
CMO, ARM, | ARM, | ||||
3.339%, 10/25/59 (1) | 230 | 194 | 2.75%, 7/25/59 (1) | 455 | 453 |
Galton Funding Mortgage Trust, | New Residential Mortgage Loan | ||||
Series 2020-H1, Class A1, | Trust, Series 2018-NQM1, | ||||
CMO, ARM, | Class A1, CMO, ARM, | ||||
2.31%, 1/25/60 (1) | 442 | 426 | 3.986%, 11/25/48 (1) | 680 | 676 |
Galton Funding Mortgage Trust, | New Residential Mortgage Loan | ||||
Series 2020-H1, Class M1, | Trust, Series 2019-NQM3, | ||||
CMO, ARM, | Class A1, CMO, ARM, | ||||
2.832%, 1/25/60 (1) | 380 | 298 | 2.802%, 7/25/49 (1) | 696 | 683 |
GS Mortgage-Backed Securities | New Residential Mortgage Loan | ||||
Trust, Series 2014-EB1A, | Trust, Series 2019-NQM3, | ||||
Class 2A1, CMO, ARM, | Class A3, CMO, ARM, | ||||
2.46%, 7/25/44 (1) | 33 | 30 | 3.086%, 7/25/49 (1) | 275 | 270 |
Homeward Opportunities Fund I | New Residential Mortgage Loan | ||||
Trust, Series 2018-1, Class A1, | Trust, Series 2019-NQM5, | ||||
CMO, ARM, | Class A1, CMO, ARM, | ||||
3.766%, 6/25/48 (1) | 370 | 357 | 2.71%, 11/25/59 (1) | 777 | 768 |
Homeward Opportunities Fund I | New Residential Mortgage Loan | ||||
Trust, Series 2018-1, Class A2, | Trust, Series 2020-NQM1, | ||||
CMO, ARM, | Class A1, CMO, ARM, | ||||
3.897%, 6/25/48 (1) | 298 | 288 | 2.464%, 1/26/60 (1) | 454 | 448 |
Homeward Opportunities Fund I | OBX Trust, Series 2019-EXP2, | ||||
Trust, Series 2019-1, Class A1, | Class 2A2, CMO, ARM, | ||||
CMO, ARM, | 1M USD LIBOR + 1.20%, | ||||
3.454%, 1/25/59 (1) | 671 | 645 | 2.147%, 6/25/59 (1) | 170 | 161 |
Homeward Opportunities Fund I | OBX Trust, Series 2019-EXP3, | ||||
Trust, Series 2019-1, Class A3, | Class 2A1, CMO, ARM, | ||||
CMO, ARM, | 1M USD LIBOR + 0.90%, | ||||
3.606%, 1/25/59 (1) | 445 | 428 | 1.847%, 10/25/59 (1) | 830 | 786 |
Homeward Opportunities Fund I | OBX Trust, Series 2020-EXP1, | ||||
Trust, Series 2019-3, Class A1, | Class 1A8, CMO, ARM, | ||||
CMO, ARM, | 3.50%, 2/25/60 (1) | 682 | 664 | ||
2.675%, 11/25/59 (1) | 644 | 613 | OBX Trust, Series 2020-EXP1, | ||
JPMorgan Mortgage Trust, | Class 2A2, CMO, ARM, | ||||
Series 2020-1INV, Class A15, | 1M USD LIBOR + 0.95%, | ||||
CMO, ARM, | 1.897%, 2/25/60 (1) | 194 | 183 | ||
3.50%, 8/25/50 (1) | 462 | 477 | OBX Trust, Series 2020-INV, | ||
JPMorgan Mortgage Trust, | Class A5, CMO, ARM, | ||||
Series 2020-LTV1, Class A4, | 3.50%, 12/25/49 (1) | 319 | 325 | ||
CMO, ARM, | Sequoia Mortgage Trust, Series | ||||
3.50%, 6/25/50 (1) | 1,147 | 1,149 | 2018-CH1, Class A11, CMO, | ||
MetLife Securitization Trust, | ARM, | ||||
Series 2017-1A, Class A, | 3.50%, 2/25/48 (1) | 467 | 462 | ||
CMO, ARM, | Sequoia Mortgage Trust, Series | ||||
3.00%, 4/25/55 (1) | 315 | 312 | 2018-CH2, Class A21, CMO, | ||
Mill City Mortgage Loan Trust, | ARM, | ||||
Series 2016-1, Class A1, CMO, | 4.00%, 6/25/48 (1) | 284 | 286 | ||
ARM, | |||||
2.50%, 4/25/57 (1) | 73 | 72 | |||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE LIMITED-TERM BOND PORTFOLIO
Par/Shares | $ Value | Par/Shares | $ Value | ||
(Amounts in 000s) | (Amounts in 000s) | ||||
Sequoia Mortgage Trust, Series | Structured Agency Credit Risk | ||||
2018-CH2, Class A3, CMO, | Debt Notes, Series 2017- | ||||
ARM, | HQA1, Class M1, CMO, ARM, | ||||
4.00%, 6/25/48 (1) | 726 | 732 | 1M USD LIBOR + 1.20%, | ||
Sequoia Mortgage Trust, Series | 2.147%, 8/25/29 | 4 | 4 | ||
2018-CH3, Class A19, CMO, | Structured Agency Credit Risk | ||||
ARM, | Debt Notes, Series 2017- | ||||
4.50%, 8/25/48 (1) | 163 | 164 | HQA2, Class M1, CMO, ARM, | ||
Sequoia Mortgage Trust, Series | 1M USD LIBOR + 0.80%, | ||||
2018-CH4, Class A2, CMO, | 1.747%, 12/25/29 | 31 | 30 | ||
ARM, | Structured Agency Credit Risk | ||||
4.00%, 10/25/48 (1) | 244 | 243 | Debt Notes, Series 2017-SPI1, | ||
SG Residential Mortgage Trust, | Class M1, CMO, ARM, | ||||
Series 2019-3, Class A2, CMO, | 3.98%, 9/25/47 (1) | 25 | 24 | ||
ARM, | Structured Agency Credit Risk | ||||
2.877%, 9/25/59 (1) | 612 | 590 | Debt Notes, Series 2018- | ||
Starwood Mortgage Residential | DNA1, Class M1, CMO, ARM, | ||||
Trust, Series 2019-1, Class A1, | 1M USD LIBOR + 0.45%, | ||||
CMO, ARM, | 1.397%, 7/25/30 | 68 | 67 | ||
2.941%, 6/25/49 (1) | 551 | 547 | Structured Agency Credit Risk | ||
Starwood Mortgage Residential | Debt Notes, Series 2018- | ||||
Trust, Series 2019-1, Class A3, | DNA2, Class M1, CMO, ARM, | ||||
CMO, ARM, | 1M USD LIBOR + 0.80%, | ||||
3.299%, 6/25/49 (1) | 380 | 378 | 1.747%, 12/25/30 (1) | 580 | 571 |
Starwood Mortgage Residential | Structured Agency Credit Risk | ||||
Trust, Series 2019-IMC1, Class | Debt Notes, Series 2018- | ||||
A1, CMO, ARM, | DNA2, Class M2AS, CMO, | ||||
3.468%, 2/25/49 (1) | 340 | 338 | ARM, | ||
Starwood Mortgage Residential | 1M USD LIBOR + 0.95%, | ||||
Trust, Series 2019-INV1, Class | 1.897%, 12/25/30 (1) | 275 | 275 | ||
A1, CMO, ARM, | Structured Agency Credit Risk | ||||
2.61%, 9/27/49 (1) | 102 | 98 | Debt Notes, Series 2018- | ||
Starwood Mortgage Residential | DNA3, Class M1, CMO, ARM, | ||||
Trust, Series 2019-INV1, Class | 1M USD LIBOR + 0.75%, | ||||
A3, CMO, ARM, | 1.697%, 9/25/48 (1) | 188 | 185 | ||
2.916%, 9/27/49 (1) | 243 | 232 | Structured Agency Credit Risk | ||
Structured Agency Credit Risk | Debt Notes, Series 2018- | ||||
Debt Notes, Series 2017- | DNA3, Class M2AS, CMO, | ||||
DNA1, Class M1, CMO, ARM, | ARM, | ||||
1M USD LIBOR + 1.20%, | 1M USD LIBOR + 0.90%, | ||||
2.147%, 7/25/29 | 125 | 124 | 1.847%, 9/25/48 (1) | 455 | 455 |
Structured Agency Credit Risk | Structured Agency Credit Risk | ||||
Debt Notes, Series 2017- | Debt Notes, Series 2018- | ||||
DNA2, Class M1, CMO, ARM, | HQA2, Class M1, CMO, ARM, | ||||
1M USD LIBOR + 1.20%, | 1M USD LIBOR + 0.75%, | ||||
2.147%, 10/25/29 | 431 | 420 | 1.697%, 10/25/48 (1) | 377 | 367 |
Structured Agency Credit Risk | Structured Agency Credit Risk | ||||
Debt Notes, Series 2017- | Debt Notes, Series 2018- | ||||
DNA3, Class M1, CMO, ARM, | HRP2, Class M2, CMO, ARM, | ||||
1M USD LIBOR + 0.75%, | 1M USD LIBOR + 1.25%, | ||||
1.697%, 3/25/30 | 703 | 691 | 2.197%, 2/25/47 (1) | 460 | 436 |
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE LIMITED-TERM BOND PORTFOLIO
Par/Shares | $ Value | Par/Shares | $ Value | ||
(Amounts in 000s) | (Amounts in 000s) | ||||
Structured Agency Credit Risk | Towd Point Mortgage Trust, | ||||
Debt Notes, Series 2018-SPI2, | Series 2017-4, Class A1, CMO, | ||||
Class M1, CMO, ARM, | ARM, | ||||
3.811%, 5/25/48 (1) | 139 | 134 | 2.75%, 6/25/57 (1) | 395 | 383 |
Structured Agency Credit Risk | Towd Point Mortgage Trust, | ||||
Debt Notes, Series 2018-SPI3, | Series 2017-6, Class A1, CMO, | ||||
Class M1, CMO, ARM, | ARM, | ||||
4.148%, 8/25/48 (1) | 71 | 69 | 2.75%, 10/25/57 (1) | 1,197 | 1,198 |
Structured Agency Credit Risk | Towd Point Mortgage Trust, | ||||
Debt Notes, Series 2019- | Series 2018-1, Class A1, CMO, | ||||
HQA4, Class M1, CMO, ARM, | ARM, | ||||
1M USD LIBOR + 0.77%, | 3.00%, 1/25/58 (1) | 231 | 232 | ||
1.717%, 11/25/49 (1) | 245 | 237 | Towd Point Mortgage Trust, | ||
Structured Agency Credit Risk | Series 2018-2, Class A1, CMO, | ||||
Debt Notes, Series 2020- | ARM, | ||||
HQA2, Class M1, CMO, ARM, | 3.25%, 3/25/58 (1) | 1,273 | 1,287 | ||
1M USD LIBOR + 1.10%, | Towd Point Mortgage Trust, | ||||
1.911%, 3/25/50 (1) | 1,065 | 1,028 | Series 2018-5, Class A1A, | ||
Towd Point Mortgage Trust, | CMO, ARM, | ||||
Series 2015-4, Class A1B, | 3.25%, 7/25/58 (1) | 1,041 | 1,053 | ||
CMO, ARM, | Verus Securitization Trust, | ||||
2.75%, 4/25/55 (1) | 201 | 200 | Series 2018-1, Class A1, CMO, | ||
Towd Point Mortgage Trust, | ARM, | ||||
Series 2015-5, Class A1B, | 2.929%, 2/25/48 (1) | 94 | 89 | ||
CMO, ARM, | Verus Securitization Trust, | ||||
2.75%, 5/25/55 (1) | 189 | 188 | Series 2018-2, Class A1, CMO, | ||
Towd Point Mortgage Trust, | ARM, | ||||
Series 2016-1, Class A1B, | 3.677%, 6/1/58 (1) | 458 | 445 | ||
CMO, ARM, | Verus Securitization Trust, | ||||
2.75%, 2/25/55 (1) | 110 | 110 | Series 2018-2, Class A2, CMO, | ||
Towd Point Mortgage Trust, | ARM, | ||||
Series 2016-1, Class A3B, | 3.779%, 6/1/58 (1) | 121 | 118 | ||
CMO, ARM, | Verus Securitization Trust, | ||||
3.00%, 2/25/55 (1) | 165 | 164 | Series 2018-2, Class A3, CMO, | ||
Towd Point Mortgage Trust, | ARM, | ||||
Series 2016-2, Class A1A, | 3.83%, 6/1/58 (1) | 77 | 75 | ||
CMO, ARM, | Verus Securitization Trust, | ||||
2.75%, 8/25/55 (1) | 111 | 109 | Series 2018-3, Class A1, CMO, | ||
Towd Point Mortgage Trust, | ARM, | ||||
Series 2017-1, Class A1, CMO, | 4.108%, 10/25/58 (1) | 600 | 588 | ||
ARM, | Verus Securitization Trust, | ||||
2.75%, 10/25/56 (1) | 404 | 404 | Series 2019-1, Class A1, CMO, | ||
Towd Point Mortgage Trust, | �� | ARM, | |||
Series 2017-2, Class A1, CMO, | 3.836%, 2/25/59 (1) | 635 | 616 | ||
ARM, | Verus Securitization Trust, | ||||
2.75%, 4/25/57 (1) | 249 | 244 | Series 2019-2, Class A1, CMO, | ||
Towd Point Mortgage Trust, | ARM, | ||||
Series 2017-3, Class A1, CMO, | 3.211%, 5/25/59 (1) | 494 | 483 | ||
ARM, | Verus Securitization Trust, | ||||
2.75%, 7/25/57 (1) | 555 | 544 | Series 2019-3, Class A3, CMO, | ||
STEP, | |||||
3.04%, 7/25/59 (1) | 547 | 527 | |||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE LIMITED-TERM BOND PORTFOLIO
Par/Shares | $ Value | Par/Shares | $ Value | ||
(Amounts in 000s) | (Amounts in 000s) | ||||
Verus Securitization Trust, | BX Commercial Mortgage Trust, | ||||
Series 2019-4, Class A3, CMO, | Series 2020-BXLP, Class C, | ||||
STEP, | ARM, | ||||
3.00%, 11/25/59 (1) | 426 | 430 | 1M USD LIBOR + 1.12%, | ||
Verus Securitization Trust, | 1.825%, 12/15/36 (1) | 505 | 454 | ||
Series 2019-INV1, Class A1, | BX Commercial Mortgage Trust, | ||||
CMO, ARM, | Series 2020-BXLP, Class D, | ||||
3.402%, 12/25/59 (1) | 281 | 269 | ARM, | ||
Verus Securitization Trust, | 1M USD LIBOR + 1.25%, | ||||
Series 2019-INV1, Class M1, | 1.955%, 12/15/36 (1) | 485 | 432 | ||
CMO, ARM, | BX Trust, Series 2018-GW, Class | ||||
4.034%, 12/25/59 (1) | 140 | 124 | A, ARM, | ||
Verus Securitization Trust, | 1M USD LIBOR + 0.80%, | ||||
Series 2019-INV2, Class A1, | 1.505%, 5/15/35 (1) | 965 | 851 | ||
CMO, ARM, | CD Commercial Mortgage Trust, | ||||
2.913%, 7/25/59 (1) | 929 | 915 | Series 2017-CD3, Class A1 | ||
Verus Securitization Trust, | 1.965%, 2/10/50 | 71 | 71 | ||
Series 2019-INV2, Class A2, | CGDB Commercial Mortgage | ||||
CMO, ARM, | Trust, Series 2019-MOB, Class | ||||
3.117%, 7/25/59 (1) | 554 | 545 | D, ARM, | ||
Verus Securitization Trust, | 1M USD LIBOR + 1.65%, | ||||
Series 2019-INV3, Class A3, | 2.355%, 11/15/36 (1) | 950 | 773 | ||
CMO, ARM, | Commercial Mortgage Trust, | ||||
3.10%, 11/25/59 (1) | 442 | 428 | Series 2014-CR19, Class D, | ||
Verus Securitization Trust, | ARM, | ||||
Series 2020-1, Class A1, CMO, | 4.731%, 8/10/47 (1) | 250 | 209 | ||
ARM, | Commercial Mortgage Trust, | ||||
2.417%, 1/25/60 (1) | 1,086 | 1,042 | Series 2014-UBS2, Class B | ||
Verus Securitization Trust, | 4.701%, 3/10/47 | 340 | 340 | ||
Series 2020-1, Class A3, CMO, | Commercial Mortgage Trust, | ||||
ARM, | Series 2015-LC23, Class A2 | ||||
2.724%, 1/25/60 (1) | 437 | 420 | 3.221%, 10/10/48 | 1,025 | 1,026 |
46,546 | Commercial Mortgage Trust, | ||||
Series 2016-CR28, Class A1 | |||||
Commercial Mortgage-Backed Securities 3.1% | 1.77%, 2/10/49 | 54 | 54 | ||
BAMLL Commercial Mortgage- | Commercial Mortgage Trust, | ||||
Backed Securities Trust, | Series 2020-CBM, Class D, | ||||
Series 2018-DSNY, Class A, | ARM, | ||||
ARM, | 3.633%, 2/10/37 (1) | 340 | 267 | ||
1M USD LIBOR + 0.85%, | Credit Suisse Mortgage Capital | ||||
1.555%, 9/15/34 (1) | 680 | 578 | Certificates, Series 2019-ICE4, | ||
Banc of America Commercial | Class C, ARM, | ||||
Mortgage Trust, Series 2017- | 1M USD LIBOR + 1.43%, | ||||
BNK3, Class A1 | 2.135%, 5/15/36 (1) | 735 | 669 | ||
1.957%, 2/15/50 | 77 | 77 | Credit Suisse Mortgage Capital | ||
BANK, Series 2019-BN19, Class | Certificates, Series 2019-ICE4, | ||||
A1 | Class D, ARM, | ||||
2.263%, 8/15/61 | 297 | 296 | 1M USD LIBOR + 1.60%, | ||
BANK, Series 2019-BN24, Class | 2.305%, 5/15/36 (1) | 560 | 498 | ||
A1 | Fontainebleau Miami Beach | ||||
2.056%, 11/15/62 | 345 | 344 | Trust, Series 2019-FBLU, | ||
Class C | |||||
3.75%, 12/10/36 (1) | 895 | 715 | |||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE LIMITED-TERM BOND PORTFOLIO
Par/Shares | $ Value | Par/Shares | $ Value | |||
(Amounts in 000s) | (Amounts in 000s) | |||||
Great Wolf Trust, Series 2019- | New Orleans Hotel Trust, Series | |||||
WOLF, Class C, ARM, | 2019-HNLA, Class B, ARM, | |||||
1M USD LIBOR + 1.633%, | 1M USD LIBOR + 1.289%, | |||||
2.338%, 12/15/36 (1) | 390 | 339 | 1.993%, 4/15/32 (1) | 1,140 | 963 | |
GS Mortgage Securities Trust, | RETL, Series 2019-RVP, Class A, | |||||
Series 2016-GS3, Class A1 | ARM, | |||||
1.429%, 10/10/49 | 35 | 35 | 1M USD LIBOR + 1.15%, | |||
InTown Hotel Portfolio Trust, | 1.855%, 3/15/36 (1) | 135 | 123 | |||
Series 2018-STAY, Class A, | SLIDE, Series 2018-FUN, Class | |||||
ARM, | D, ARM, | |||||
1M USD LIBOR + 0.70%, | 1M USD LIBOR + 1.85%, | |||||
1.405%, 1/15/33 (1) | 175 | 159 | 2.555%, 6/15/31 (1) | 552 | 486 | |
InTown Hotel Portfolio Trust, | Wells Fargo Commercial | |||||
Series 2018-STAY, Class C, | Mortgage Trust, Series 2013- | |||||
ARM, | LC12, ClassA1 | |||||
1M USD LIBOR + 1.25%, | 1.676%, 7/15/46 | 179 | 178 | |||
1.955%, 1/15/33 (1) | 145 | 127 | Wells Fargo Commercial | |||
JPMorgan Chase Commercial | Mortgage Trust, Series 2015- | |||||
Mortgage Securities Trust, | NXS2, Class A2 | |||||
Series 2011-C4, Class A4 | 3.02%, 7/15/58 | 181 | 181 | |||
4.388%, 7/15/46 (1) | 131 | 133 | WFRBS Commercial Mortgage | |||
JPMorgan Chase Commercial | Trust, Series 2012-C6, Class B | |||||
Mortgage Securities Trust, | 4.697%, 4/15/45 | 540 | 544 | |||
Series 2019-BKWD, Class B, | ||||||
ARM, | 13,313 | |||||
1M USD LIBOR + 1.35%, | Home Equity Loans Backed 0.1% | |||||
2.055%, 9/15/29 (1) | 1,130 | 1,037 | Citigroup Mortgage Loan Trust, | |||
JPMorgan Chase Commercial | Series 2019-IMC1, Class A1, | |||||
Mortgage Securities Trust, | CMO, ARM, | |||||
Series 2019-BKWD, Class C, | 2.72%, 7/25/49 (1) | 505 | 487 | |||
ARM, | ||||||
1M USD LIBOR + 1.60%, | 487 | |||||
2.305%, 9/15/29 (1) | 355 | 326 | Total Non-U. S. Government Mortgage-Backed | |||
Morgan Stanley Bank of America | Securities | |||||
Merrill Lynch Trust, Series | (Cost $63,337) | 60,346 | ||||
2014-C18, Class AS, ARM, | ||||||
4.11%, 10/15/47 | 265 | 271 | ||||
Morgan Stanley Bank of America | U. S. GOVERNMENT & AGENCY MORTGAGE-BACKED | |||||
Merrill Lynch Trust, Series | SECURITIES 6.3% | |||||
2015-C24, Class A1 | ||||||
1.706%, 5/15/48 | 36 | 36 | U. S. Government Agency Obligations 4.9%(3) | |||
Morgan Stanley Bank of America | Federal Home Loan Mortgage | |||||
Merrill Lynch Trust, Series | 3.50%, 3/1/46 | 1,064 | 1,142 | |||
2016-C30, Class A1 | 5.00%, 12/1/23 - 7/1/25 | 53 | 55 | |||
1.389%, 9/15/49 | 89 | 88 | 5.50%, 4/1/23 - 10/1/38 | 20 | 22 | |
Morgan Stanley Capital I Trust, | ||||||
Series 2015-MS1, Class A1 | 6.00%, 10/1/21 - 1/1/38 | 133 | 153 | |||
1.638%, 5/15/48 | 33 | 33 | 7.00%, 3/1/39 | 108 | 128 | |
Morgan Stanley Capital I Trust, | 7.50%, 6/1/38 | 118 | 139 | |||
Series 2019-MEAD, Class D | Federal Home Loan Mortgage, ARM | |||||
3.177%, 11/10/36 (1) | 710 | 600 | 12M USD LIBOR + 1.748%, | |||
3.743%, 2/1/37 | 5 | 5 | ||||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE LIMITED-TERM BOND PORTFOLIO
Par/Shares | $ Value | Par/Shares | $ Value | ||
(Amounts in 000s) | (Amounts in 000s) | ||||
12M USD LIBOR + 1.75%, 3.75%, | 12M USD LIBOR + 1.655%, | ||||
2/1/35 | 11 | 11 | 4.319%, 8/1/37 | 4 | 5 |
12M USD LIBOR + 1.591%, | 12M USD LIBOR + 1.853%, | ||||
3.841%, 9/1/35 | 4 | 4 | 4.521%, 8/1/38 | 11 | 11 |
12M USD LIBOR + 1.831%, 3.88%, | 12M USD LIBOR + 1.867%, | ||||
1/1/37 | 3 | 3 | 4.603%, 5/1/38 | 15 | 15 |
1Y CMT + 2.245%, 3.936%, 1/1/36 | 12 | 12 | 12M USD LIBOR + 1.83%, 4.604%, | ||
12M USD LIBOR + 1.979%, | 4/1/38 | 24 | 25 | ||
4.048%, 11/1/36 | 3 | 3 | Federal National Mortgage Assn. , | ||
12M USD LIBOR + 2.083%, | CMO, | ||||
4.082%, 2/1/38 | 15 | 15 | 4.00%, 6/25/44 | 580 | 600 |
12M USD LIBOR + 1.625%, | Federal National Mortgage Assn. , UMBS | ||||
4.315%, 7/1/38 | 17 | 17 | 3.00%, 1/1/27 - 2/1/35 | 1,468 | 1,549 |
1Y CMT + 2.25%, 4.405%, 10/1/36 | 3 | 3 | 3.50%, 11/1/26 - 2/1/48 | 1,442 | 1,526 |
12M USD LIBOR + 1.726%, 4.48%, | 4.00%, 11/1/43 - 12/1/49 | 2,242 | 2,403 | ||
7/1/35 | 4 | 4 | 4.50%, 11/1/20 - 1/1/50 | 5,052 | 5,483 |
12M USD LIBOR + 1.625%, 4.50%, | 5.00%, 5/1/20 - 2/1/49 | 2,325 | 2,562 | ||
6/1/38 | 32 | 32 | 5.50%, 7/1/20 - 5/1/40 | 796 | 896 |
12M USD LIBOR + 1.733%, | 6.00%, 9/1/21 - 2/1/49 | 1,656 | 1,903 | ||
4.514%, 10/1/36 | 12 | 12 | 6.50%, 7/1/32 - 12/1/32 | 95 | 109 |
12M USD LIBOR + 1.625%, | |||||
4.553%, 4/1/37 | 13 | 13 | 21,275 | ||
12M USD LIBOR + 1.70%, 4.591%, | U. S. Government Obligations 1.4% | ||||
5/1/38 | 10 | 10 | Government National Mortgage Assn. | ||
12M USD LIBOR + 1.775%, 4.65%, | 3.50%, 3/20/43 - 2/20/48 | 195 | 209 | ||
5/1/37 | 9 | 9 | 4.00%, 2/20/48 - 11/20/49 | 1,767 | 1,885 |
Federal Home Loan Mortgage, CMO | |||||
2.00%, 2/15/40 | 193 | 197 | 5.00%, 12/20/34 - 2/20/48 | 1,907 | 2,076 |
4.00%, 11/15/36 | 113 | 117 | 5.50%, 2/20/34 - 3/20/49 | 1,380 | 1,538 |
Federal Home Loan Mortgage, UMBS | Government National Mortgage | ||||
3.00%, 11/1/34 | 333 | 351 | Assn. , CMO, ARM, | ||
1M USD LIBOR + 0.30%, 1.073%, | |||||
4.50%, 3/1/49 - 12/1/49 | 1,565 | 1,683 | 9/20/48 | 216 | 214 |
Federal National Mortgage Assn. , ARM | Government National Mortgage | ||||
12M USD LIBOR + 1.34%, 3.34%, | Assn. , TBA, | ||||
12/1/35 | 2 | 2 | 4.50%, 4/20/50 (4) | 225 | 239 |
12M USD LIBOR + 1.569%, | |||||
3.692%, 12/1/35 | 7 | 7 | 6,161 | ||
12M USD LIBOR + 1.77%, 3.77%, | Total U. S. Government & Agency Mortgage- | ||||
12/1/35 | 1 | 1 | Backed Securities | ||
12M USD LIBOR + 1.892%, | (Cost $26,801) | 27,436 | |||
3.852%, 12/1/35 | 2 | 2 | |||
12M USD LIBOR + 1.78%, 3.905%, | U. S. GOVERNMENT AGENCY OBLIGATIONS (EXCLUDING | ||||
1/1/34 | 7 | 7 | MORTGAGE-BACKED) 11.3% | ||
12M USD LIBOR + 1.788%, | |||||
4.102%, 5/1/38 | 9 | 9 | |||
12M USD LIBOR + 2.04%, 4.119%, | U. S. Treasury Obligations 11.3% | ||||
12/1/36 | 3 | 3 | U. S. Treasury Notes | ||
12M USD LIBOR + 1.604%, 4.15%, | 1.50%, 9/15/22 | 1,780 | 1,832 | ||
7/1/36 | 15 | 15 | U. S. Treasury Notes | ||
12M USD LIBOR + 1.626%, 4.27%, | 1.625%, 12/15/22 | 2,380 | 2,465 | ||
7/1/35 | 2 | 2 | |||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE LIMITED-TERM BOND PORTFOLIO
Par/Shares | $ Value | Par/Shares | $ Value | ||||
(Amounts in 000s) | (Amounts in 000s) | ||||||
U. S. Treasury Notes | Syngenta Finance | ||||||
1.75%, 6/15/22 | 4,835 | 4,988 | 3.698%, 4/24/20 (1) | 650 | 651 | ||
U. S. Treasury Notes | Syngenta Finance | ||||||
1.75%, 7/15/22 | 9,020 | 9,312 | 3.933%, 4/23/21 (1) | 385 | 368 | ||
U. S. Treasury Notes | 7,872 | ||||||
2.125%, 5/15/22 | 5,680 | 5,895 | |||||
U. S. Treasury Notes | Total Foreign Government Obligations & | ||||||
2.25%, 4/15/22 | 6,505 | 6,759 | Municipalities | ||||
U. S. Treasury Notes | (Cost $8,516) | 8,450 | |||||
2.375%, 3/15/22 (5) | 9,655 | 10,049 | |||||
U. S. Treasury Notes | SHORT-TERM INVESTMENTS 2.0% | ||||||
2.50%, 2/15/22 | 7,660 | 7,973 | |||||
49,273 | Commercial Paper 0.9% | ||||||
Total U. S. Government Agency Obligations | 4(2) 0.9%(6) | ||||||
(Excluding Mortgage-Backed) | Boeing, | ||||||
(Cost $47,820) | 49,273 | 2.185%, 11/16/20 | 915 | 881 | |||
Boeing, | |||||||
FOREIGN GOVERNMENT OBLIGATIONS & | 2.343%, 11/4/20 | 975 | 941 | ||||
MUNICIPALITIES 1.9% | Ford Motor Credit, | ||||||
2.934%, 8/4/20 | 430 | 418 | |||||
Government Sponsored 0.1% | Ford Motor Credit, | ||||||
Equate Petrochemical | 3.251%, 7/27/20 | 495 | 482 | ||||
3.00%, 3/3/22 | 600 | 578 | Syngenta Wilmington, | ||||
2.368%, 6/25/20 | 1,140 | 1,132 | |||||
578 | |||||||
3,854 | |||||||
Owned No Guarantee 1.8% | |||||||
Axiata | |||||||
3.466%, 11/19/20 | 475 | 476 | Money Market Funds 1.1% | ||||
Banco Del Estado De Chile | T. Rowe Price Government Reserve | ||||||
2.704%, 1/9/25 (1) | 360 | 337 | Fund, 0.95% (7)(8) | 4,704 | 4,704 | ||
CNAC HK Finbridge | |||||||
3.00%, 7/19/20 | 570 | 569 | 4,704 | ||||
CNAC HK Finbridge | |||||||
4.125%, 3/14/21 | 535 | 538 | Total Short-Term Investments | ||||
Eastern Creation II Investment | (Cost $8,618) | 8,558 | |||||
Holdings | |||||||
2.75%, 9/26/20 | 940 | 940 | |||||
Saudi Arabian Oil | Total Investments in Securities 100.3% | ||||||
2.75%, 4/16/22 (1) | 1,155 | 1,132 | |||||
Shanghai Electric Group Global | (Cost $445,528) | $ | 436,535 | ||||
Investment | Other Assets Less Liabilities (0.3)% | (1,431 | ) | ||||
2.65%, 11/21/24 | 1,350 | 1,375 | Net Assets 100% | $ | 435,104 | ||
State Grid Overseas Investment | |||||||
2.25%, 5/4/20 (1) | 1,485 | 1,486 |
‡ | 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 $151,147 and | ||
represents 34.7% of net assets. | ||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE LIMITED-TERM BOND PORTFOLIO | ||
(2 | ) | 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 is provided if the rate is currently floating. | ||
(3 | ) | Issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U. S. government. |
The Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation, including UMBS, currently | ||
operate under a federal conservatorship. | ||
(4 | ) | To-Be-Announced purchase commitment. Total value of such securities at period-end amounts to $239 and represents |
0.1% of net assets. | ||
(5 | ) | At March 31, 2020, all or a portion of this security is pledged as collateral and/or margin deposit to cover future funding |
obligations. | ||
(6 | ) | Commercial paper exempt from registration under Section 4(2) of the Securities Act of 1933 and may be resold in |
transactions exempt from registration only to dealers in that program or other "accredited investors". Total value of such | ||
securities at period-end amounts to $3,854 and represents 0.9% of net assets. | ||
(7 | ) | Seven-day yield |
(8 | ) | Affiliated Companies |
1M USD LIBOR | One month USD LIBOR (London interbank offered rate) | |
3M USD LIBOR | Three month USD LIBOR (London interbank offered rate) | |
12M USD LIBOR | Twelve month USD LIBOR (London interbank offered rate) | |
1Y CMT | One year U. S. Treasury note constant maturity 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. | ||
CLO | Collateralized Loan Obligation | |
CMO | Collateralized Mortgage Obligation | |
FRN | Floating Rate Note | |
PTT | Pass-Through Trust | |
STEP | Stepped coupon bond for which the coupon rate of interest adjusts on specified date(s); rate shown is effective rate at | |
period-end. | ||
TBA | To-Be-Announced | |
UMBS | Uniform Mortgage-Backed Securities | |
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. |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE LIMITED-TERM BOND PORTFOLIO
(Amounts In 000s, except Market Price) | |||||||||
SWAPS 0.0% | |||||||||
Upfront | |||||||||
Notional | Payments/ | Unrealized | |||||||
Description | Amount | $ Value | $ (Receipts)** | $ Gain/(Loss) | |||||
BILATERAL SWAPS (0.0)% | |||||||||
Credit Default Swaps, Protection Bought (0.0)% | |||||||||
Bank of America, Protection Bought (Relevant Credit: General Mills, | |||||||||
3.15%, 12/15/21), Pay 1.00% Quarterly, Receive Upon credit default, | |||||||||
12/20/24 | 417 | (14 | ) | (12 | ) | (2 | ) | ||
Barclays Bank, Protection Bought (Relevant Credit: Omnicom Group, | |||||||||
4.45%, 8/15/20), Pay 1.00% Monthly, Receive Upon credit default, | |||||||||
12/20/24 | 1,250 | (31 | ) | (38 | ) | 7 | |||
Citibank, Protection Bought (Relevant Credit: General Mills, 3.15%, | |||||||||
12/15/21), Pay 1.00% Quarterly, Receive Upon credit default, 12/20/24 | 596 | (20 | ) | (18 | ) | (2 | ) | ||
Goldman Sachs, Protection Bought (Relevant Credit: General Mills, | |||||||||
3.15%, 12/15/21), Pay 1.00% Monthly, Receive Upon credit default, | |||||||||
12/20/24 | 595 | (20 | ) | (18 | ) | (2 | ) | ||
Goldman Sachs, Protection Bought (Relevant Credit: General Mills, | |||||||||
3.15%, 12/15/21), Pay 1.00% Quarterly, Receive Upon credit default, | |||||||||
12/20/24 | 625 | (21 | ) | (19 | ) | (2 | ) | ||
Total Credit Default Swaps, Protection Bought | (105 | ) | (1 | ) | |||||
Credit Default Swaps, Protection Sold (0.0)% | |||||||||
Bank of America, Protection Sold (Relevant Credit: Boeing, 8.75%, | |||||||||
8/15/21, $101.29*), Receive 1.00% Quarterly, Pay Upon credit default, | |||||||||
12/20/21 | 2,300 | (133 | ) | 22 | (155 | ) | |||
Barclays Bank, Protection Sold (Relevant Credit: AT&T, 3.80%, 2/15/27, | |||||||||
$ | 104.37*), Receive 1.00% Quarterly, Pay Upon credit default, 6/20/25 | 1,500 | (84 | ) | (88 | ) | 4 | ||
Barclays Bank, Protection Sold (Relevant Credit: General Electric, 2.70%, | |||||||||
10/09/22, $97.06*), Receive 1.00% Monthly, Pay Upon credit default, | |||||||||
12/20/20 | 1,370 | (3 | ) | 6 | (9 | ) | |||
Barclays Bank, Protection Sold (Relevant Credit: Verizon | |||||||||
Communications, 4.13%, 3/16/27, $110.41*), Receive 1.00% Quarterly, | |||||||||
Pay Upon credit default, 6/20/25 | 1,500 | (15 | ) | (17 | ) | 2 | |||
BNP Paribas, Protection Sold (Relevant Credit: Williams, 4.55%, 6/24/24, | |||||||||
$ | 88.50*), Receive 1.00% Quarterly, Pay Upon credit default, 6/20/25 | 1,470 | (128 | ) | (116 | ) | (12 | ) | |
Citibank, Protection Sold (Relevant Credit: Devon Energy, 7.95%, 4/15/32, | |||||||||
$ | 99.61*), Receive 1.00% Quarterly, Pay Upon credit default, 12/20/24 | 165 | (22 | ) | (1 | ) | (21 | ) | |
Goldman Sachs, Protection Sold (Relevant Credit: General Electric, | |||||||||
2.70%, 10/09/22, $97.06*), Receive 1.00% Monthly, Pay Upon credit | |||||||||
default, 12/20/20 | 1,130 | (2 | ) | 5 | (7 | ) |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE LIMITED-TERM BOND PORTFOLIO | ||||||||
(Amounts In 000s, except Market Price) | ||||||||
Upfront | ||||||||
Notional | Payments/ | Unrealized | ||||||
Description | Amount | $ Value | $ (Receipts) ** | $ Gain/(Loss) | ||||
Morgan Stanley, Protection Sold (Relevant Credit: Devon Energy, 7.95%, | ||||||||
4/15/32, $99.61*), Receive 1.00% Quarterly, Pay Upon credit default, | ||||||||
12/20/24 | 140 | (18 | ) | (1 | ) | (17 | ) | |
Total Credit Default Swaps, Protection Sold | (190 | ) | (215 | ) | ||||
Total Bilateral Swaps | (295 | ) | (216 | ) | ||||
Notional | Initial | Unrealized $ | ||||||
Description | Amount | $ Value | $ Value | Gain/(Loss) | ||||
CENTRALLY CLEARED SWAPS (0.0)% | ||||||||
Credit Default Swaps, Protection Sold (0.0)% | ||||||||
Protection Sold (Relevant Credit: Markit CDX. NA. IG-S33, 5 Year Index), | ||||||||
Receive 1.00% Quarterly, Pay upon credit default, 12/20/24 | 2,289 | (8 | ) | (18 | ) | 10 | ||
Total Credit Default Swaps, Protection Sold | (18 | ) | 10 | |||||
Total Centrally Cleared Swaps | (18 | ) | 10 | |||||
Net payments (receipts) of variation margin to date | — | |||||||
Variation margin receivable (payable) on centrally cleared swaps | 10 | |||||||
*Market Price at March 31, 2020. | ||||||||
** Includes interest purchased or sold but not yet collected of $1. | ||||||||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE LIMITED-TERM BOND PORTFOLIO
FUTURES CONTRACTS | ||||||||
($ | 000s) | |||||||
Value and | ||||||||
Expiration | Notional | Unrealized Gain | ||||||
Date | Amount | (Loss) | ||||||
Short, 96 U. S. Treasury Notes five year contracts | 6/20 | (12,034) $ | (395) | |||||
Short, 97 U. S. Treasury Notes ten year contracts | 6/20 | (13,453) | (431) | |||||
Long, 684 U. S. Treasury Notes two year contracts | 6/20 | 150,742 | 2,199 | |||||
Net payments (receipts) of variation margin to date | (1,376) | |||||||
Variation margin receivable (payable) on open futures contracts | $ | (3) |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE LIMITED-TERM BOND PORTFOLIO
Affiliated Companies
($000s)
The fund may invest in certain securities that are considered affiliated companies. As defined by the 1940 Act, an affiliated company is one in
which the fund owns 5% or more of the outstanding voting securities, or a company that is under common ownership or control. The following
securities were considered affiliated companies for all or some portion of the three months ended March 31, 2020. 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.
Change in Net | ||||||||
Net Realized Gain | Unrealized | Investment | ||||||
Affiliate | (Loss) | Gain/Loss | Income | |||||
T. Rowe Price Government Reserve Fund | $ | —# | $ | — | $ | 20+ | ||
Supplementary Investment Schedule | ||||||||
Value | Purchase | Sales | Value | |||||
Affiliate | 12/31/19 | Cost | Cost | 3/31/20 | ||||
T. Rowe Price Government Reserve Fund | $ | 7,254 | ¤ | ¤ $ | 4,704^ |
# Capital gain distributions from mutual funds represented $0 of the net realized gain (loss).
+ Investment income comprised $20 of dividend income and $0 of interest income.
¤ Purchase and sale information not shown for cash management funds.
^ The cost basis of investments in affiliated companies was $4,704.
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE LIMITED-TERM BOND PORTFOLIO
Unaudited
NOTES TO PORTFOLIO OF
INVESTMENTS
T. Rowe Price Limited-Term Bond Portfolio (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 BoardAccounting Standards CodificationTopic 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
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.
Fair Value
The fund’s financial instruments are reported at fair value, which GAAP defines as the price that would be received to
sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement
date. The T. Rowe Price Valuation Committee (the Valuation Committee) is an internal committee that has been
delegated certain responsibilities by the fund’s Board of Directors (the Board) to ensure that financial instruments are
appropriately priced at fair value in accordance with GAAP and the 1940 Act. Subject to oversight by the Board, the
Valuation Committee develops and oversees pricing-related policies and procedures and approves all fair value
determinations. Specifically, the Valuation Committee establishes procedures to value securities; determines pricing
techniques, sources, and persons eligible to effect fair value pricing actions; oversees the selection, services, and
performance of pricing vendors; oversees valuation-related business continuity practices; and provides guidance on
internal controls and valuation-related matters. The Valuation Committee reports to the Board and has representation
from legal, portfolio management and trading, operations, risk management, and the fund’s treasurer.
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
Observable inputs are developed using market data, such as publicly available information about actual events or
transactions, and reflect the assumptions that market participants would use to price the financial instrument.
Unobservable inputs are those for which market data are not available and are developed using the best information
available about the assumptions that market participants would use to price the financial instrument. GAAP requires
valuation techniques to maximize the use of relevant observable inputs and minimize the use of unobservable inputs.
When multiple inputs are used to derive fair value, the financial instrument is assigned to the level within the fair value
hierarchy based on the lowest-level input that is significant to the fair value of the financial instrument. Input levels are
not necessarily an indication of the risk or liquidity associated with financial instruments at that level but rather the
degree of judgment used in determining those values.
Valuation Techniques
Debt securities generally are traded in the over-the-counter (OTC) market and are valued at prices furnished by
independent pricing services or by broker dealers who make markets in such securities. When valuing securities, the
independent pricing services consider the yield or price of bonds of comparable quality, coupon, maturity, and type, as
T. ROWE PRICE LIMITED-TERM BOND PORTFOLIO
well as prices quoted by dealers who make markets in such securities. Generally, debt securities are categorized in Level
2 of the fair value hierarchy; however, to the extent the valuations include significant unobservable inputs, the securities
would be categorized in Level 3.
Investments in mutual funds are valued at the mutual fund’s closing NAV per share on the day of valuation and are
categorized in Level 1 of the fair value hierarchy. Financial futures contracts are valued at closing settlement prices and
are categorized in Level 1 of the fair value hierarchy. Swaps are valued at prices furnished by an independent pricing
service or independent swap dealers and generally are categorized in Level 2 of the fair value hierarchy; however, if
unobservable inputs are significant to the valuation, the swap would be categorized in Level 3.
Thinly traded financial instruments and those for which the above valuation procedures are inappropriate or are
deemed not to reflect fair value are stated at fair value as determined in good faith by the Valuation Committee. The
objective of any fair value pricing determination is to arrive at a price that could reasonably be expected from a current
sale. Financial instruments fair valued by the Valuation Committee are primarily private placements, restricted
securities, warrants, rights, and other securities that are not publicly traded.
Subject to oversight by the Board, the Valuation Committee regularly makes good faith judgments to establish and
adjust the fair valuations of certain securities as events occur and circumstances warrant. For instance, in determining
the fair value of troubled or thinly traded debt instruments, the Valuation Committee considers a variety of factors,
which may include, but are not limited to, the issuer’s business prospects, its financial standing and performance, recent
investment transactions in the issuer, strategic events affecting the company, market liquidity for the issuer, and general
economic conditions and events. In consultation with the investment and pricing teams, the Valuation Committee will
determine an appropriate valuation technique based on available information, which may include both observable and
unobservable inputs. The Valuation Committee typically will afford greatest weight to actual prices in arm’s length
transactions, to the extent they represent orderly transactions between market participants, transaction information can
be reliably obtained, and prices are deemed representative of fair value. However, the Valuation Committee may also
consider other valuation methods such as a discount or premium from market value of a similar, freely traded security
of the same issuer; discounted cash flows; yield to maturity; or some combination. Fair value determinations are
reviewed on a regular basis and updated as information becomes available, including actual purchase and sale
transactions of the issue. Because any fair value determination involves a significant amount of judgment, there is a
degree of subjectivity inherent in such pricing decisions, and fair value prices determined by the Valuation Committee
could differ from those of other market participants. Depending on the relative significance of unobservable inputs,
including the valuation technique(s) used, fair valued securities may be categorized in Level 2 or 3 of the fair value
hierarchy.
Valuation Inputs
The following table summarizes the fund’s financial instruments, based on the inputs used to determine their fair values
on March 31, 2020 (for further detail by category, please refer to the accompanying Portfolio of Investments):
($000s) | Level 1 | Level 2 | Level 3 | Total Value | |||
Assets | |||||||
Fixed Income Securities1 | $ | — $ | 427,977$ | — $ | 427,977 | ||
Short-Term Investments | 4,704 | 3,854 | — | 8,558 | |||
Total Securities | 4,704 | 431,831 | — | 436,535 | |||
Swaps | — | 10 | — | 10 | |||
Total | $ | 4,704$ | 431,841$ | — $ | 436,545 | ||
Liabilities | |||||||
Swaps | $ | — $ | 511$ | — $ | 511 | ||
Futures Contracts | 3 | — | — | 3 | |||
Total | $ | 3$ | 511$ | — $ | 514 | ||
1Includes Corporate Bonds, Asset-Backed Securities, Non-U. S. Government Mortgage-Backed Securities, | |||||||
U. S. Government & Agency Mortgage-Backed Securities, U. S. Government Agency Obligations (Excluding | |||||||
Mortgage-Backed), Foreign Government Obligations & Municipalities. |