T. ROWE PRICE LIMITED-TERM BOND PORTFOLIO
September 30, 2020 (Unaudited)
| Portfolio of Investments‡ | Par/Shares | $ Value | Par/Shares | $ Value | ||
| (Amounts in 000s) | (Amounts in 000s) | |||||
| CORPORATE BONDS 51.0% | Credit Suisse | |||||
| 1.00%, 5/5/23 | 635 | 641 | ||||
| FINANCIAL INSTITUTIONS 17.0% | Credit Suisse | |||||
| 2.80%, 4/8/22 | 450 | 466 | ||||
| Banking 11.9% | Danske Bank | |||||
| Banco Bilbao Vizcaya Argentaria | 5.00%, 1/12/22 (1) | 385 | 404 | |||
| 0.875%, 9/18/23 | 400 | 399 | Danske Bank, VR, | |||
| Bank of America | 3.001%, 9/20/22 (1)(2) | 550 | 561 | |||
| 2.503%, 10/21/22 | 175 | 179 | Deutsche Bank | |||
| Bank of America, FRN, | 3.15%, 1/22/21 | 310 | 312 | |||
| 3M USD LIBOR + 0.65%, 0.875%, | Deutsche Bank | |||||
| 6/25/22 | 240 | 241 | 3.375%, 5/12/21 | 100 | 101 | |
| Bank of America, FRN, | Deutsche Bank, FRN, | |||||
| 3M USD LIBOR + 1.16%, 1.432%, | 3M USD LIBOR + 1.29%, 1.539%, | |||||
| 1/20/23 | 400 | 404 | 2/4/21 | 350 | 350 | |
| Banque Federative du Credit Mutuel | First Niagara Financial Group | |||||
| 2.125%, 11/21/22 (1) | 520 | 536 | 7.25%, 12/15/21 | 145 | 157 | |
| Barclays Bank | Goldman Sachs Group | |||||
| 1.70%, 5/12/22 | 365 | 371 | 3.50%, 4/1/25 | 250 | 276 | |
| Barclays Bank | Goldman Sachs Group | |||||
| 2.65%, 1/11/21 | 385 | 386 | 5.75%, 1/24/22 | 490 | 523 | |
| BDO Unibank | Goldman Sachs Group, FRN, | |||||
| 2.95%, 3/6/23 | 1,200 | 1,248 | 3M USD LIBOR + 0.78%, 1.041%, | |||
| BPCE, FRN, | 10/31/22 | 300 | 301 | |||
| 3M USD LIBOR + 1.22%, 1.476%, | Goldman Sachs Group, FRN, | |||||
| 5/22/22 (1) | 400 | 404 | 3M USD LIBOR + 1.11%, 1.355%, | |||
| Capital One Financial | 4/26/22 | 300 | 301 | |||
| 2.40%, 10/30/20 | 230 | 230 | HSBC Holdings, VR, | |||
| Capital One Financial | 1.645%, 4/18/26 (2) | 460 | 457 | |||
| 3.20%, 1/30/23 | 195 | 206 | HSBC Holdings, VR, | |||
| Capital One Financial | 2.099%, 6/4/26 (2) | 590 | 597 | |||
| 3.50%, 6/15/23 | 140 | 150 | ING Groep, FRN, | |||
| Capital One Financial | 3M USD LIBOR + 1.15%, 1.368%, | |||||
| 3.90%, 1/29/24 | 145 | 158 | 3/29/22 | 275 | 278 | |
| Citigroup | JPMorgan Chase, VR, | |||||
| 2.90%, 12/8/21 | 400 | 410 | 2.083%, 4/22/26 (2) | 460 | 481 | |
| Citigroup, VR, | Lloyds Banking Group, VR, | |||||
| 2.312%, 11/4/22 (2) | 330 | 336 | 1.326%, 6/15/23 (2) | 200 | 201 | |
| Citigroup, VR, | Mitsubishi UFJ Financial Group | |||||
| 3.106%, 4/8/26 (2) | 240 | 258 | 3.218%, 3/7/22 | 330 | 342 | |
| Citizens Bank | Mitsubishi UFJ Financial Group, | |||||
| 3.25%, 2/14/22 | 435 | 451 | FRN, | |||
| Cooperatieve Rabobank | 3M USD LIBOR + 0.92%, 1.176%, | |||||
| 3.95%, 11/9/22 | 540 | 573 | 2/22/22 | 230 | 232 | |
| Credicorp | Morgan Stanley | |||||
| 2.75%, 6/17/25 (1) | 200 | 203 | 2.75%, 5/19/22 | 280 | 290 | |
| Credit Agricole, FRN, | Natwest Group | |||||
| 3M USD LIBOR + 1.02%, 1.284%, | 3.875%, 9/12/23 | 380 | 408 | |||
| 4/24/23 (1) | 470 | 473 | NatWest Markets | |||
| 2.375%, 5/21/23 (1) | 465 | 480 | ||||
| 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) | ||||||
| PNC Bank | Avolon Holdings Funding | ||||||
| 2.95%, 1/30/23 | 425 | 447 | 5.125%, 10/1/23 (1) | 325 | 326 | ||
| Santander U.K. | Park Aerospace Holdings | ||||||
| 2.10%, 1/13/23 | 460 | 473 | 5.25%, 8/15/22 (1) | 215 | 215 | ||
| Standard Chartered, FRN, | SMBC Aviation Capital Finance | ||||||
| 3M USD LIBOR + 1.15%, 1.422%, | 3.55%, 4/15/24 (1) | 235 | 246 | ||||
| 1/20/23 (1) | 365 | 366 | SMBC Aviation Capital Finance | ||||
| Standard Chartered, VR, | 4.125%, 7/15/23 (1) | 200 | 212 | ||||
| 2.744%, 9/10/22 (1)(2) | 315 | 319 | |||||
| State Street, VR, | 3,226 | ||||||
| 2.825%, 3/30/23 (1)(2) | 45 | 47 | Financial Other 0.5% | ||||
| Swedbank | DAE Funding | ||||||
| 1.30%, 6/2/23 (1) | 365 | 371 | 5.25%, 11/15/21 (1) | 950 | 964 | ||
| Synchrony Financial | |||||||
| 2.85%, 7/25/22 | 897 | 923 | 964 | ||||
| Synchrony Financial | Insurance 1.6% | ||||||
| 3.75%, 8/15/21 | 310 | 316 | |||||
| Truist Bank | AIA Group, FRN, | ||||||
| 3M USD LIBOR + 0.52%, 0.747%, | |||||||
| 2.80%, 5/17/22 | 280 | 290 | 9/20/21 (1) | 515 | 514 | ||
| UBS | AIG Global Funding | ||||||
| 1.75%, 4/21/22 (1) | 400 | 408 | 2.30%, 7/1/22 (1) | 180 | 186 | ||
| UBS Group, FRN, | American International Group | ||||||
| 3M USD LIBOR + 1.22%, 1.476%, | 2.50%, 6/30/25 | 330 | 352 | ||||
| 5/23/23 (1) | 340 | 343 | |||||
| Wells Fargo | American International Group | ||||||
| 3.50%, 3/8/22 | 190 | 198 | 4.875%, 6/1/22 | 195 | 209 | ||
| Aon | |||||||
| Wells Fargo, VR, | 2.20%, 11/15/22 | 105 | 109 | ||||
| 1.654%, 6/2/24 (2) | 215 | 219 | |||||
| Wells Fargo, VR, | Aon | ||||||
| 2.188%, 4/30/26 (2) | 205 | 213 | 2.80%, 3/15/21 | 390 | 394 | ||
| Humana | |||||||
| 20,708 | 2.90%, 12/15/22 | 45 | 47 | ||||
| Humana | |||||||
| Finance Companies 1.8% | 3.15%, 12/1/22 | 85 | 89 | ||||
| AerCap Ireland Capital | Humana | ||||||
| 3.95%, 2/1/22 | 455 | 460 | 3.85%, 10/1/24 | 145 | 160 | ||
| AerCap Ireland Capital | Humana | ||||||
| 4.45%, 12/16/21 | 380 | 388 | 4.50%, 4/1/25 | 145 | 166 | ||
| AerCap Ireland Capital | Lincoln National | ||||||
| 4.50%, 9/15/23 | 250 | 257 | 4.00%, 9/1/23 | 75 | 82 | ||
| Air Lease | Marsh & McLennan | ||||||
| 2.25%, 1/15/23 | 205 | 205 | 3.875%, 3/15/24 | 205 | 227 | ||
| Air Lease | Trinity Acquisition | ||||||
| 2.50%, 3/1/21 | 80 | 80 | 3.50%, 9/15/21 | 180 | 184 | ||
| Air Lease | |||||||
| 3.50%, 1/15/22 | 155 | 159 | 2,719 | ||||
| Avolon Holdings Funding | Real Estate Investment Trusts 1.2% | ||||||
| 2.875%, 2/15/25 (1) | 250 | 229 | |||||
| Avolon Holdings Funding | Brixmor Operating Partnership | ||||||
| 3.625%, 5/1/22 (1) | 385 | 378 | 3.25%, 9/15/23 | 310 | 321 | ||
| Brixmor Operating Partnership | |||||||
| Avolon Holdings Funding | 3.875%, 8/15/22 | 45 | 47 | ||||
| 3.95%, 7/1/24 (1) | 75 | 71 | |||||
| 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) | ||||
| Highwoods Realty | Roper Technologies | ||||
| 3.625%, 1/15/23 | 145 | 151 | 2.35%, 9/15/24 | 90 | 95 |
| Simon Property Group | Roper Technologies | ||||
| 2.625%, 6/15/22 | 255 | 262 | 2.80%, 12/15/21 | 210 | 216 |
| Simon Property Group | Roper Technologies | ||||
| 3.375%, 10/1/24 | 280 | 302 | 3.00%, 12/15/20 | 140 | 140 |
| Simon Property Group | Roper Technologies | ||||
| 3.50%, 9/1/25 | 65 | 71 | 3.125%, 11/15/22 | 380 | 399 |
| Starwood Property Trust | Roper Technologies | ||||
| 3.625%, 2/1/21 | 750 | 749 | 3.65%, 9/15/23 | 75 | 81 |
| Ventas Realty | Vulcan Materials, FRN, | ||||
| 3.10%, 1/15/23 | 50 | 52 | 3M USD LIBOR + 0.65%, 0.896%, | ||
| Ventas Realty | 3/1/21 | 460 | 460 | ||
| 3.25%, 8/15/22 | 85 | 88 | Yongda Investment | ||
| 2,043 | 2.25%, 6/16/25 | 600 | 614 | ||
| Total Financial Institutions | 29,660 | 4,386 | |||
| INDUSTRIAL 29.9% | Communications 2.3% | ||||
| CC Holdings GS V | |||||
| Basic Industry 1.4% | 3.849%, 4/15/23 | 485 | 522 | ||
| Anglo American Capital | Charter Communications Operating | ||||
| 3.75%, 4/10/22 (1) | 200 | 207 | 4.464%, 7/23/22 | 880 | 931 |
| DuPont de Nemours | Charter Communications Operating | ||||
| 3.766%, 11/15/20 | 310 | 311 | 4.908%, 7/23/25 | 530 | 612 |
| LyondellBasell Industries | Crown Castle Towers | ||||
| 6.00%, 11/15/21 | 610 | 639 | 3.72%, 7/15/23 (1) | 155 | 162 |
| Nucor | Fox | ||||
| 2.00%, 6/1/25 | 80 | 84 | 3.666%, 1/25/22 | 70 | 73 |
| POSCO | Fox | ||||
| 2.375%, 11/12/22 (1) | 1,175 | 1,205 | 4.03%, 1/25/24 | 85 | 94 |
| Interpublic Group | |||||
| 2,446 | 3.50%, 10/1/20 | 80 | 80 | ||
| Capital Goods 2.5% | RELX Capital | ||||
| Amphenol | 3.50%, 3/16/23 | 160 | 170 | ||
| 2.05%, 3/1/25 | 220 | 231 | SBA Tower Trust | ||
| Boral Finance | 1.884%, 1/15/26 (1) | 85 | 86 | ||
| 3.00%, 11/1/22 (1) | 40 | 41 | SBA Tower Trust | ||
| Carrier Global | 2.836%, 1/15/25 (1) | 255 | 268 | ||
| 2.242%, 2/15/25 (1) | 455 | 474 | SBA Tower Trust | ||
| CNH Industrial Capital | 3.168%, 4/11/22 (1) | 95 | 96 | ||
| 3.875%, 10/15/21 | 275 | 283 | SBA Tower Trust | ||
| CNH Industrial Capital | 3.448%, 3/15/23 (1) | 250 | 263 | ||
| 4.375%, 11/6/20 | 715 | 717 | T-Mobile USA | ||
| General Electric | 3.50%, 4/15/25 (1) | 120 | 132 | ||
| 3.15%, 9/7/22 | 250 | 261 | Verizon Communications | ||
| General Electric | 5.15%, 9/15/23 | 190 | 215 | ||
| 3.45%, 5/15/24 | 135 | 145 | Vodafone Group | ||
| Republic Services | 3.75%, 1/16/24 | 185 | 202 | ||
| 2.50%, 8/15/24 | 215 | 229 | |||
| 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) | ||||
| WPP Finance 2010 | Nissan Motor Acceptance | ||||
| 3.625%, 9/7/22 | 75 | 79 | 3.65%, 9/21/21 (1) | 120 | 122 |
| 3,985 | O'Reilly Automotive | ||||
| 3.80%, 9/1/22 | 115 | 121 | |||
| Consumer Cyclical 5.3% | QVC | ||||
| AutoZone | 4.375%, 3/15/23 | 170 | 177 | ||
| 3.625%, 4/15/25 | 120 | 134 | Ralph Lauren | ||
| Booking Holdings | 1.70%, 6/15/22 | 50 | 51 | ||
| 4.10%, 4/13/25 | 205 | 231 | Ross Stores | ||
| Daimler Finance North America | 4.60%, 4/15/25 | 550 | 631 | ||
| 1.75%, 3/10/23 (1) | 435 | 443 | TJX | ||
| DR Horton | 3.50%, 4/15/25 | 185 | 206 | ||
| 2.55%, 12/1/20 | 145 | 145 | Volkswagen Group of America | ||
| Expedia Group | Finance | ||||
| 3.60%, 12/15/23 (1) | 305 | 312 | 2.50%, 9/24/21 (1) | 200 | 204 |
| Ford Motor Credit | Volkswagen Group of America | ||||
| 3.47%, 4/5/21 | 290 | 290 | Finance | ||
| Ford Motor Credit | 2.70%, 9/26/22 (1) | 415 | 430 | ||
| 3.813%, 10/12/21 | 320 | 320 | Volkswagen Group of America | ||
| Ford Motor Credit | Finance | ||||
| 5.875%, 8/2/21 | 200 | 204 | 2.90%, 5/13/22 (1) | 215 | 222 |
| General Motors | Volkswagen Group of America | ||||
| 4.875%, 10/2/23 | 180 | 196 | Finance | ||
| 3.125%, 5/12/23 (1) | 200 | 211 | |||
| General Motors | Volkswagen Group of America | ||||
| 5.40%, 10/2/23 | 450 | 496 | Finance | ||
| General Motors Financial | 3.875%, 11/13/20 (1) | 395 | 396 | ||
| 2.90%, 2/26/25 | 485 | 500 | Walgreen | ||
| General Motors Financial | 3.10%, 9/15/22 | 105 | 110 | ||
| 3.20%, 7/6/21 | 145 | 147 | Western Union | ||
| General Motors Financial | 2.85%, 1/10/25 | 295 | 311 | ||
| 4.20%, 3/1/21 | 60 | 61 | Western Union | ||
| General Motors Financial, FRN, | 3.60%, 3/15/22 | 195 | 202 | ||
| 3M USD LIBOR + 0.85%, 1.118%, | |||||
| 4/9/21 | 205 | 205 | 9,209 | ||
| Harley-Davidson Financial Services | |||||
| 2.55%, 6/9/22 (1) | 95 | 96 | Consumer Non-Cyclical 9.2% | ||
| Harley-Davidson Financial Services | AbbVie | ||||
| 4.05%, 2/4/22 (1) | 330 | 341 | 2.60%, 11/21/24 (1) | 715 | 757 |
| Hyundai Capital America | AbbVie | ||||
| 2.375%, 2/10/23 (1) | 470 | 482 | 2.90%, 11/6/22 | 450 | 472 |
| Hyundai Capital America | AbbVie | ||||
| 2.45%, 6/15/21 (1) | 180 | 182 | 3.20%, 11/6/22 | 45 | 47 |
| Hyundai Capital America | AbbVie | ||||
| 2.85%, 11/1/22 (1) | 131 | 136 | 3.25%, 10/1/22 (1) | 80 | 83 |
| Hyundai Capital America | AbbVie | ||||
| 3.00%, 6/20/22 (1) | 270 | 278 | 3.45%, 3/15/22 (1) | 260 | 270 |
| Hyundai Capital America | Altria Group | ||||
| 3.95%, 2/1/22 (1) | 335 | 347 | 3.49%, 2/14/22 | 273 | 284 |
| Nissan Motor | Altria Group | ||||
| 3.043%, 9/15/23 (1) | 265 | 269 | 3.80%, 2/14/24 | 370 | 404 |
| 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) | ||||
| BAT Capital | CVS Health | ||||
| 2.764%, 8/15/22 | 913 | 946 | 2.625%, 8/15/24 | 85 | 90 |
| BAT International Finance | CVS Health | ||||
| 1.668%, 3/25/26 | 225 | 225 | 3.70%, 3/9/23 | 263 | 281 |
| Baxalta | EMD Finance | ||||
| 3.60%, 6/23/22 | 190 | 198 | 2.95%, 3/19/22 (1) | 110 | 113 |
| Bayer U.S. Finance II | Express Scripts Holding, FRN, | ||||
| 3.50%, 6/25/21 (1) | 450 | 459 | 3M USD LIBOR + 0.75%, 1.006%, | ||
| Becton Dickinson & Company | 11/30/20 | 445 | 445 | ||
| 2.894%, 6/6/22 | 675 | 698 | Gilead Sciences | ||
| Becton Dickinson & Company | 0.75%, 9/29/23 | 525 | 525 | ||
| 3.363%, 6/6/24 | 310 | 334 | Hasbro | ||
| Bristol-Myers Squibb | 2.60%, 11/19/22 | 225 | 233 | ||
| 2.60%, 5/16/22 | 120 | 124 | Hasbro | ||
| Bristol-Myers Squibb | 3.00%, 11/19/24 | 310 | 329 | ||
| 2.75%, 2/15/23 | 175 | 184 | Imperial Brands Finance | ||
| Bristol-Myers Squibb | 3.50%, 2/11/23 (1) | 200 | 209 | ||
| 3.25%, 2/20/23 | 50 | 53 | Imperial Brands Finance | ||
| Bristol-Myers Squibb | 3.75%, 7/21/22 (1) | 660 | 689 | ||
| 3.625%, 5/15/24 | 45 | 50 | Pernod Ricard | ||
| Bunge Finance | 4.45%, 1/15/22 (1) | 440 | 461 | ||
| 3.00%, 9/25/22 | 680 | 707 | Perrigo Finance Unlimited | ||
| Bunge Finance | 3.90%, 12/15/24 | 680 | 737 | ||
| 3.50%, 11/24/20 | 1,220 | 1,225 | Philip Morris International | ||
| Bunge Finance | 1.125%, 5/1/23 | 110 | 112 | ||
| 4.35%, 3/15/24 | 30 | 33 | Reynolds American | ||
| Cardinal Health | 4.00%, 6/12/22 | 30 | 32 | ||
| 2.616%, 6/15/22 | 55 | 57 | Royalty Pharma | ||
| Cardinal Health | 0.75%, 9/2/23 (1) | 215 | 214 | ||
| 3.079%, 6/15/24 | 180 | 193 | Shire Acquisitions Investments | ||
| Cardinal Health | Ireland | ||||
| 3.20%, 3/15/23 | 185 | 196 | 2.875%, 9/23/23 | 30 | 32 |
| Cardinal Health | Takeda Pharmaceutical | ||||
| 3.50%, 11/15/24 | 215 | 235 | 4.00%, 11/26/21 | 645 | 669 |
| Cargill | 16,028 | ||||
| 1.375%, 7/23/23 (1) | 155 | 159 | |||
| China Mengniu Dairy | Energy 6.1% | ||||
| 1.875%, 6/17/25 | 650 | 652 | Aker BP | ||
| Cigna | 3.00%, 1/15/25 (1) | 360 | 361 | ||
| 3.00%, 7/15/23 | 180 | 191 | Apache | ||
| Cigna | 3.625%, 2/1/21 | 350 | 349 | ||
| 3.40%, 9/17/21 | 100 | 103 | BP Capital Markets America | ||
| Cigna | 2.937%, 4/6/23 | 170 | 180 | ||
| 3.75%, 7/15/23 | 192 | 207 | Canadian Natural Resources | ||
| Cigna | 2.05%, 7/15/25 | 335 | 340 | ||
| 3.90%, 2/15/22 | 140 | 146 | Cenovus Energy | ||
| Cigna, FRN, | 3.00%, 8/15/22 | 320 | 310 | ||
| 3M USD LIBOR + 0.65%, 0.896%, | Cheniere Corpus Christi Holdings | ||||
| 9/17/21 | 180 | 180 | 5.875%, 3/31/25 | 325 | 370 |
| CK Hutchison International 17 II | Cheniere Corpus Christi Holdings | ||||
| 2.75%, 3/29/23 | 950 | 985 | 7.00%, 6/30/24 | 465 | 535 |
| 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) | ||||
| Diamondback Energy | Sunoco Logistics Partners | ||||
| 2.875%, 12/1/24 | 695 | 704 | Operations | ||
| Diamondback Energy | 3.45%, 1/15/23 | 30 | 31 | ||
| 4.75%, 5/31/25 | 205 | 221 | Sunoco Logistics Partners | ||
| Energy Transfer Operating | Operations | ||||
| 2.90%, 5/15/25 | 65 | 65 | 4.25%, 4/1/24 | 15 | 16 |
| Energy Transfer Operating | Sunoco Logistics Partners | ||||
| 4.20%, 9/15/23 | 65 | 68 | Operations | ||
| Energy Transfer Operating | 4.40%, 4/1/21 | 30 | 30 | ||
| 4.25%, 3/15/23 | 235 | 244 | Valero Energy | ||
| Energy Transfer Operating | 1.20%, 3/15/24 | 195 | 195 | ||
| 5.875%, 1/15/24 | 610 | 670 | Valero Energy | ||
| Eni, Series X-R | 2.70%, 4/15/23 | 355 | 368 | ||
| 4.00%, 9/12/23 (1) | 270 | 293 | Valero Energy | ||
| Enterprise Products Operating | 3.65%, 3/15/25 | 55 | 59 | ||
| 3.50%, 2/1/22 | 285 | 296 | Western Midstream Operating | ||
| EOG Resources | 4.00%, 7/1/22 | 465 | 465 | ||
| 2.625%, 3/15/23 | 74 | 77 | Williams | ||
| EQT | 3.35%, 8/15/22 | 55 | 57 | ||
| 3.00%, 10/1/22 | 555 | 541 | Williams | ||
| EQT | 3.70%, 1/15/23 | 570 | 602 | ||
| 4.875%, 11/15/21 | 67 | 68 | Williams | ||
| Gray Oak Pipeline | 4.30%, 3/4/24 | 75 | 82 | ||
| 2.00%, 9/15/23 (1) | 30 | 30 | 10,635 | ||
| Gray Oak Pipeline | |||||
| 2.60%, 10/15/25 (1) | 105 | 105 | Technology 2.3% | ||
| Kinder Morgan | Avnet | ||||
| 5.00%, 2/15/21 (1) | 170 | 172 | 3.75%, 12/1/21 | 220 | 225 |
| Kinder Morgan Energy Partners | Equifax, FRN, | ||||
| 3.95%, 9/1/22 | 30 | 32 | 3M USD LIBOR + 0.87%, 1.15%, | ||
| Marathon Oil | 8/15/21 | 170 | 171 | ||
| 2.80%, 11/1/22 | 497 | 508 | Fiserv | ||
| MPLX, FRN, | 2.75%, 7/1/24 | 460 | 492 | ||
| 3M USD LIBOR + 1.10%, 1.342%, | Global Payments | ||||
| 9/9/22 | 215 | 214 | 2.65%, 2/15/25 | 195 | 207 |
| Occidental Petroleum | Microchip Technology | ||||
| 2.60%, 8/13/21 | 240 | 236 | 2.67%, 9/1/23 (1) | 250 | 259 |
| Phillips 66, FRN, | Microchip Technology | ||||
| 3M USD LIBOR + 0.60%, 0.834%, | 3.922%, 6/1/21 | 565 | 577 | ||
| 2/26/21 | 200 | 200 | Micron Technology | ||
| Sabine Pass Liquefaction | 2.497%, 4/24/23 | 635 | 659 | ||
| 5.625%, 4/15/23 | 320 | 350 | Micron Technology | ||
| Sabine Pass Liquefaction | 4.64%, 2/6/24 | 75 | 83 | ||
| 6.25%, 3/15/22 | 600 | 636 | NXP | ||
| Schlumberger Finance Canada | 2.70%, 5/1/25 (1) | 45 | 48 | ||
| 1.40%, 9/17/25 | 80 | 81 | NXP | ||
| Schlumberger Holdings | 3.875%, 9/1/22 (1) | 440 | 465 | ||
| 3.75%, 5/1/24 (1) | 340 | 368 | NXP | ||
| Schlumberger Holdings | 4.625%, 6/1/23 (1) | 430 | 470 | ||
| 4.00%, 12/21/25 (1) | 95 | 106 | Panasonic | ||
| 2.536%, 7/19/22 (1) | 275 | 283 | |||
| 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) | ||||
| Texas Instruments | PNM Resources | ||||
| 1.375%, 3/12/25 | 135 | 140 | 3.25%, 3/9/21 | 280 | 283 |
| 4,079 | San Diego Gas & Electric | ||||
| 1.914%, 2/1/22 | 58 | 58 | |||
| Transportation 0.8% | Sinosing Services Pte | ||||
| American Airlines PTT, Series 2017- | 2.25%, 2/20/25 | 1,400 | 1,441 | ||
| 2, Class B | Vistra Operations | ||||
| 3.70%, 10/15/25 | 443 | 288 | 3.55%, 7/15/24 (1) | 780 | 827 |
| Delta Air Lines | 5,994 | ||||
| 2.60%, 12/4/20 | 110 | 110 | |||
| FedEx | Natural Gas 0.6% | ||||
| 3.80%, 5/15/25 | 195 | 220 | CenterPoint Energy Resources | ||
| Heathrow Funding | 4.50%, 1/15/21 | 180 | 180 | ||
| 4.875%, 7/15/21 (1) | 340 | 348 | Sempra Energy | ||
| Penske Truck Leasing | 2.85%, 11/15/20 | 460 | 460 | ||
| 3.30%, 4/1/21 (1) | 275 | 278 | Sempra Energy | ||
| Penske Truck Leasing | 2.875%, 10/1/22 | 155 | 161 | ||
| 3.65%, 7/29/21 (1) | 65 | 67 | Sempra Energy, FRN, | ||
| United Airlines PTT, Series 2019-2, | 3M USD LIBOR + 0.50%, 0.775%, | ||||
| Class B | 1/15/21 | 295 | 295 | ||
| 3.50%, 5/1/28 | 260 | 192 | 1,096 | ||
| 1,503 | Total Utility | 7,090 | |||
| Total Industrial | 52,271 | Total Corporate Bonds | |||
| UTILITY 4.1% | (Cost $86,801) | 89,021 | |||
| Electric 3.5% | ASSET-BACKED SECURITIES 15.5% | ||||
| AES | |||||
| 3.30%, 7/15/25 (1) | 190 | 203 | |||
| American Electric Power, Series I | Car Loan 7.8% | ||||
| 3.65%, 12/1/21 | 50 | 52 | Ally Auto Receivables Trust, | ||
| CenterPoint Energy | Series 2017-2, Class D | ||||
| 3.60%, 11/1/21 | 125 | 129 | 2.93%, 11/15/23 | 135 | 135 |
| Edison International | AmeriCredit Automobile | ||||
| 2.95%, 3/15/23 | 110 | 113 | Receivables Trust, Series | ||
| 2016-3, Class C | |||||
| Edison International | 2.24%, 4/8/22 | 204 | 205 | ||
| 3.125%, 11/15/22 | 170 | 175 | |||
| Enel Finance International | AmeriCredit Automobile | ||||
| Receivables Trust, Series | |||||
| 2.875%, 5/25/22 (1) | 690 | 712 | 2017-1, Class C | ||
| Enel Finance International | 2.71%, 8/18/22 | 204 | 206 | ||
| 4.25%, 9/14/23 (1) | 335 | 366 | AmeriCredit Automobile | ||
| FirstEnergy | Receivables Trust, Series | ||||
| 2.85%, 7/15/22 | 235 | 241 | 2017-3, Class B | ||
| NextEra Energy Capital Holdings, | 2.24%, 6/19/23 | 199 | 199 | ||
| FRN, | AmeriCredit Automobile | ||||
| 3M USD LIBOR + 0.55%, 0.806%, | Receivables Trust, Series | ||||
| 8/28/21 | 360 | 360 | 2017-3, Class C | ||
| NRG Energy | 2.69%, 6/19/23 | 280 | 285 | ||
| 3.75%, 6/15/24 (1) | 155 | 165 | |||
| Pacific Gas & Electric | |||||
| 1.75%, 6/16/22 | 870 | 869 | |||
| 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 | Capital Auto Receivables Asset | ||||
| Receivables Trust, Series | Trust, Series 2018-2, Class C | ||||
| 2020-1, Class C | 3.69%, 12/20/23 (1) | 320 | 327 | ||
| 1.59%, 10/20/25 | 435 | 441 | CarMax Auto Owner Trust, | ||
| AmeriCredit Automobile | Series 2017-4, Class C | ||||
| Receivables Trust, Series | 2.70%, 10/16/23 | 150 | 153 | ||
| 2020-1, Class D | Enterprise Fleet Financing, | ||||
| 1.80%, 12/18/25 | 415 | 418 | Series 2017-3, Class A2 | ||
| AmeriCredit Automobile | 2.13%, 5/22/23 (1) | 14 | 14 | ||
| Receivables Trust, Series | Enterprise Fleet Financing, | ||||
| 2020-2, Class B | Series 2018-2, Class A2 | ||||
| 0.97%, 2/18/26 | 100 | 100 | 3.14%, 2/20/24 (1) | 224 | 226 |
| ARI Fleet Lease Trust, Series | Enterprise Fleet Financing, | ||||
| 2018-A, Class A2 | Series 2019-1, Class A2 | ||||
| 2.55%, 10/15/26 (1) | 79 | 80 | 2.98%, 10/20/24 (1) | 245 | 249 |
| ARI Fleet Lease Trust, Series | Ford Credit Floorplan Master | ||||
| 2020-A, Class B | Owner Trust A, Series 2020-1, | ||||
| 2.06%, 11/15/28 (1) | 475 | 480 | Class C | ||
| Avis Budget Rental Car Funding | 1.42%, 9/15/25 | 220 | 220 | ||
| AESOP, Series 2017-1A, Class | GM Financial Consumer | ||||
| B | Automobile Receivables Trust, | ||||
| 3.41%, 9/20/23 (1) | 390 | 394 | Series 2020-2, Class A3 | ||
| Avis Budget Rental Car Funding | 1.49%, 12/16/24 | 210 | 214 | ||
| AESOP, Series 2018-2A, Class | GMF Floorplan Owner Revolving | ||||
| C | Trust, Series 2020-1, Class B | ||||
| 4.95%, 3/20/25 (1) | 260 | 272 | 1.03%, 8/15/25 (1) | 405 | 405 |
| Avis Budget Rental Car Funding | Hyundai Auto Receivables Trust, | ||||
| AESOP, Series 2019-1A, Class | Series 2017-A, Class B | ||||
| B | 2.38%, 4/17/23 | 220 | 222 | ||
| 3.70%, 3/20/23 (1) | 646 | 660 | Hyundai Auto Receivables Trust, | ||
| Avis Budget Rental Car Funding | Series 2019-A, Class B | ||||
| AESOP, Series 2019-2A, Class | 2.94%, 5/15/25 | 460 | 482 | ||
| A | Hyundai Auto Receivables Trust, | ||||
| 3.35%, 9/22/25 (1) | 475 | 502 | Series 2020-B, Class C | ||
| Avis Budget Rental Car Funding | 1.60%, 12/15/26 | 175 | 178 | ||
| AESOP, Series 2019-2A, Class | Navistar Financial Dealer Note | ||||
| B | Master Trust, Series 2020-1, | ||||
| 3.55%, 9/22/25 (1) | 415 | 434 | Class A, FRN, | ||
| Avis Budget Rental Car Funding | 1M USD LIBOR + 0.95%, | ||||
| AESOP, Series 2020-1A, Class | 1.098%, 7/25/25 (1) | 220 | 221 | ||
| A | Navistar Financial Dealer Note | ||||
| 2.33%, 8/20/26 (1) | 340 | 350 | Master Trust, Series 2020-1, | ||
| Capital Auto Receivables Asset | Class B, FRN, | ||||
| Trust, Series 2017-1, Class B | 1M USD LIBOR + 1.35%, | ||||
| 2.43%, 5/20/22 (1) | 110 | 111 | 1.498%, 7/25/25 (1) | 230 | 231 |
| Capital Auto Receivables Asset | Nissan Auto Receivables Owner | ||||
| Trust, Series 2017-1, Class C | Trust, Series 2020-A, Class A3 | ||||
| 2.70%, 9/20/22 (1) | 175 | 178 | 1.38%, 12/16/24 | 265 | 270 |
| Capital Auto Receivables Asset | Santander Drive Auto | ||||
| Trust, Series 2018-2, Class B | Receivables Trust, Series | ||||
| 3.48%, 10/20/23 (1) | 255 | 258 | 2018-1, Class C | ||
| 2.96%, 3/15/24 | 110 | 110 | |||
| 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 | ||||||
| Receivables Trust, Series | Other Asset-Backed Securities 5.9% | |||||
| 2018-2, Class C | Applebee's Funding, Series | |||||
| 3.35%, 7/17/23 | 241 | 243 | 2019-1A, Class A2I | |||
| Santander Drive Auto | 4.194%, 6/7/49 (1) | 430 | 398 | |||
| Receivables Trust, Series | Ascentium Equipment | |||||
| 2018-4, Class B | Receivables Trust, Series | |||||
| 3.27%, 1/17/23 | 28 | 28 | 2017-1A, Class A3 | |||
| Santander Drive Auto | 2.29%, 6/10/21 (1) | 29 | 29 | |||
| Receivables Trust, Series | Barings, Series 2013-IA, Class | |||||
| 2019-1, Class B | AR, CLO, FRN, | |||||
| 3.21%, 9/15/23 | 242 | 244 | 3M USD LIBOR + 0.80%, | |||
| Santander Drive Auto | 1.072%, 1/20/28 (1) | 1,054 | 1,045 | |||
| Receivables Trust, Series | BRE Grand Islander Timeshare | |||||
| 2019-2, Class B | Issuer, Series 2019-A, Class A | |||||
| 2.79%, 1/16/24 | 390 | 396 | 3.28%, 9/26/33 (1) | 199 | 204 | |
| Santander Drive Auto | Cayuga Park, Series 2020-1A, | |||||
| Receivables Trust, Series | Class A, CLO, FRN, | |||||
| 2020-3, Class B | 3M USD LIBOR + 1.60%, | |||||
| 0.69%, 3/17/25 | 335 | 335 | 1.832%, 7/17/31 (1) | 260 | 260 | |
| Santander Retail Auto Lease | CIFC Funding, Series 2020-3A, | |||||
| Trust, Series 2019-C, Class A3 | Class A1, CLO, FRN, | |||||
| 1.86%, 2/21/23 (1) | 380 | 388 | 3M USD LIBOR + 1.35%, | |||
| Santander Retail Auto Lease | 10/20/31 (1)(10) | 475 | 475 | |||
| Trust, Series 2019-C, Class C | CNH Equipment Trust, Series | |||||
| 2.39%, 11/20/23 (1) | 515 | 525 | 2018-A, Class B | |||
| Santander Retail Auto Lease | 3.47%, 10/15/25 | 275 | 285 | |||
| Trust, Series 2019-C, Class D | Daimler Trucks Retail Trust, | |||||
| 2.88%, 6/20/24 (1) | 525 | 534 | Series 2018-1, Class A4 | |||
| Santander Retail Auto Lease | 3.03%, 11/15/24 (1) | 226 | 227 | |||
| Trust, Series 2020-A, Class D | Elara HGV Timeshare Issuer, | |||||
| 2.52%, 11/20/24 (1) | 435 | 444 | Series 2014-A, Class A | |||
| World Omni Auto Receivables | 2.53%, 2/25/27 (1) | 10 | 10 | |||
| Trust, Series 2019-C, Class C | Elara HGV Timeshare Issuer, | |||||
| 2.40%, 6/15/26 | 460 | 475 | Series 2016-A, Class A | |||
| World Omni Auto Receivables | 2.73%, 4/25/28 (1) | 404 | 409 | |||
| Trust, Series 2020-A, Class C | Elara HGV Timeshare Issuer, | |||||
| 1.64%, 8/17/26 | 295 | 300 | Series 2017-A, Class A | |||
| World Omni Automobile Lease | 2.69%, 3/25/30 (1) | 122 | 125 | |||
| Securitization Trust, Series | Elara HGV Timeshare Issuer, | |||||
| 2018-A, Class B | Series 2019-A, Class A | |||||
| 3.06%, 5/15/23 | 200 | 200 | 2.61%, 1/25/34 (1) | 533 | 544 | |
| World Omni Select Auto Trust, | Golub Capital Partners, Series | |||||
| Series 2020-A, Class C | 2018-39A, Class A1, CLO, | |||||
| 1.25%, 10/15/26 | 160 | 160 | FRN, | |||
| World Omni Select Auto Trust | 3M USD LIBOR + 1.15%, | |||||
| 2020-a, Series 2020-A, Class B | 1.422%, 10/20/28 (1) | 640 | 638 | |||
| 0.84%, 6/15/26 | 140 | 140 | GreatAmerica Leasing | |||
| Receivables Funding, Series | ||||||
| 13,642 | 2018-1, Class A3 | |||||
| 2.60%, 6/15/21 (1) | 47 | 47 | ||||
| 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) | |||||
| Hilton Grand Vacations Trust, | Sierra Timeshare Receivables | |||||
| Series 2017-AA, Class A | Funding, Series 2015-3A, | |||||
| 2.66%, 12/26/28 (1) | 114 | 117 | Class A | |||
| Hilton Grand Vacations Trust, | 2.58%, 9/20/32 (1) | 63 | 63 | |||
| Series 2017-AA, Class B | Sierra Timeshare Receivables | |||||
| 2.96%, 12/26/28 (1) | 40 | 40 | Funding, Series 2016-2A, | |||
| John Deere Owner Trust, Series | Class A | |||||
| 2020-B, Class A4 | 2.33%, 7/20/33 (1) | 45 | 45 | |||
| 0.72%, 6/15/27 | 385 | 388 | Sierra Timeshare Receivables | |||
| Kubota Credit Owner Trust, | Funding, Series 2017-1A, | |||||
| Series 2020-1A, Class A3 | Class A | |||||
| 1.96%, 3/15/24 (1) | 230 | 237 | 2.91%, 3/20/34 (1) | 70 | 71 | |
| MVW, Series 2020-1A, Class B | Sierra Timeshare Receivables | |||||
| 2.73%, 10/20/37 (1) | 102 | 104 | Funding, Series 2019-1A, | |||
| MVW Owner Trust, Series 2014- | Class A | |||||
| 1A, Class A | 3.20%, 1/20/36 (1) | 191 | 197 | |||
| 2.25%, 9/22/31 (1) | 20 | 20 | Volvo Financial Equipment, | |||
| MVW Owner Trust, Series 2015- | Series 2018-1A, Class B | |||||
| 1A, Class A | 2.91%, 1/17/23 (1) | 315 | 322 | |||
| 2.52%, 12/20/32 (1) | 130 | 131 | Volvo Financial Equipment | |||
| MVW Owner Trust, Series 2017- | Master Owner Trust, Series | |||||
| 1A, Class B | 2017-A, Class A, FRN, | |||||
| 2.75%, 12/20/34 (1) | 34 | 34 | 1M USD LIBOR + 0.50%, | |||
| MVW Owner Trust, Series 2017- | 0.652%, 11/15/22 (1) | 175 | 175 | |||
| 1A, Class C | 10,341 | |||||
| 2.99%, 12/20/34 (1) | 55 | 56 | ||||
| Neuberger Berman Loan | Student Loan 1.8% | |||||
| Advisers, Series 2020-38A, | Navient Private Education Refi | |||||
| Class A, CLO, FRN, | Loan Trust, Series 2019-CA, | |||||
| 3M USD LIBOR + 1.30%, | Class A1 | |||||
| 10/20/32 (1)(10) | 250 | 250 | 2.82%, 2/15/68 (1) | 239 | 240 | |
| Neuberger Berman XIX, Series | Navient Private Education Refi | |||||
| 2015-19A, Class A1R2, CLO, | Loan Trust, Series 2019-EA, | |||||
| FRN, | Class A1 | |||||
| 3M USD LIBOR + 0.80%, | 2.39%, 5/15/68 (1) | 162 | 163 | |||
| 1.075%, 7/15/27 (1) | 1,058 | 1,050 | Navient Private Education Refi | |||
| Neuberger Berman XVI, Series | Loan Trust, Series 2020-DA, | |||||
| 2017-16SA, Class A, CLO, | Class A | |||||
| FRN, | 1.69%, 5/15/69 (1) | 138 | 140 | |||
| 3M USD LIBOR + 0.85%, | Navient Private Education Refi | |||||
| 1.125%, 1/15/28 (1) | 622 | 619 | Loan Trust, Series 2020-FA, | |||
| OCP, Series 2015-10A, Class | Class A | |||||
| A1R, CLO, FRN, | 1.22%, 7/15/69 (1) | 399 | 400 | |||
| 3M USD LIBOR + 0.82%, | Navient Private Education Refi | |||||
| 1.065%, 10/26/27 (1) | 701 | 697 | Loan Trust, Series 2020-GA, | |||
| OZLM VIII, Series 2014-8A, | Class A | |||||
| Class A1RR, CLO, FRN, | 1.17%, 9/16/69 (1) | 190 | 190 | |||
| 3M USD LIBOR + 1.17%, | Navient Student Loan Trust, | |||||
| 1.443%, 10/17/29 (1) | 705 | 696 | Series 2019-2A, Class A1, | |||
| Planet Fitness Master Issuer, | FRN, | |||||
| Series 2018-1A, Class A2I | 1M USD LIBOR + 0.27%, | |||||
| 4.262%, 9/5/48 (1) | 333 | 333 | 0.418%, 2/27/68 (1) | 203 | 203 | |
| 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) | |||||
| Nelnet Student Loan Trust, | Bayview Opportunity Master | |||||
| Series 2005-4, Class A4, FRN, | Fund IVb Trust, Series 2017- | |||||
| 3M USD LIBOR + 0.18%, | SPL4, Class A, CMO, ARM, | |||||
| 0.405%, 3/22/32 | 492 | 463 | 3.50%, 1/28/55 (1) | 192 | 196 | |
| Nelnet Student Loan Trust, | CIM Trust, Series 2020-INV1, | |||||
| Series 2020-1A, Class A, FRN, | Class A2, CMO, ARM, | |||||
| 1M USD LIBOR + 0.74%, | 2.50%, 4/25/50 (1) | 225 | 231 | |||
| 0.888%, 3/26/68 (1) | 228 | 226 | Citigroup Mortgage Loan Trust, | |||
| SLM Student Loan Trust, Series | Series 2019-IMC1, Class A1, | |||||
| 2008-5, Class A4, FRN, | CMO, ARM, | |||||
| 3M USD LIBOR + 1.70%, | 2.72%, 7/25/49 (1) | 423 | 430 | |||
| 1.945%, 7/25/23 | 136 | 134 | COLT Mortgage Loan Trust, | |||
| SLM Student Loan Trust, Series | Series 2018-4, Class A1, CMO, | |||||
| 2008-9, Class A, FRN, | ARM, | |||||
| 3M USD LIBOR + 1.50%, | 4.006%, 12/28/48 (1) | 188 | 191 | |||
| 1.745%, 4/25/23 | 97 | 95 | COLT Mortgage Loan Trust, | |||
| SLM Student Loan Trust, Series | Series 2019-2, Class A1, CMO, | |||||
| 2010-1, Class A, FRN, | ARM, | |||||
| 1M USD LIBOR + 0.40%, | 3.337%, 5/25/49 (1) | 220 | 222 | |||
| 0.548%, 3/25/25 | 548 | 523 | Connecticut Avenue Securities, | |||
| SMB Private Education Loan | Series 2017-C02, Class 2ED3, | |||||
| Trust, Series 2014-A, Class | CMO, ARM, | |||||
| A2 A | 1M USD LIBOR + 1.35%, | |||||
| 3.05%, 5/15/26 (1) | 145 | 147 | 1.498%, 9/25/29 | 362 | 359 | |
| SMB Private Education Loan | Connecticut Avenue Securities, | |||||
| Trust, Series 2015-A, Class | Series 2017-C05, Class 1ED3, | |||||
| A2B, FRN, | CMO, ARM, | |||||
| 1M USD LIBOR + 1.00%, | 1M USD LIBOR + 1.20%, | |||||
| 1.152%, 6/15/27 (1) | 115 | 115 | 1.348%, 1/25/30 | 373 | 364 | |
| 3,039 | Deephaven Residential | |||||
| Mortgage Trust, Series 2017- | ||||||
| Total Asset-Backed Securities | 1A, Class A3, CMO, ARM, | |||||
| (Cost $26,882) | 27,022 | 3.485%, 12/26/46 (1) | 24 | 25 | ||
| Deephaven Residential | ||||||
| NON-U.S. GOVERNMENT MORTGAGE-BACKED | Mortgage Trust, Series 2017- | |||||
| SECURITIES 14.8% | 3A, Class A1, CMO, ARM, | |||||
| 2.577%, 10/25/47 (1) | 115 | 117 | ||||
| Deephaven Residential | ||||||
| Collateralized Mortgage Obligations 10.1% | Mortgage Trust, Series 2017- | |||||
| Angel Oak Mortgage Trust, | 3A, Class A2, CMO, ARM, | |||||
| Series 2020-5, Class A2, CMO, | 2.711%, 10/25/47 (1) | 12 | 12 | |||
| ARM, | Deephaven Residential | |||||
| 1.579%, 5/25/65 (1) | 169 | 169 | Mortgage Trust, Series 2017- | |||
| Angel Oak Mortgage Trust, | 3A, Class A3, CMO, ARM, | |||||
| Series 2020-6, Class A1, CMO, | 2.813%, 10/25/47 (1) | 12 | 12 | |||
| ARM, | Deephaven Residential | |||||
| 1.261%, 5/25/65 (1) | 219 | 219 | Mortgage Trust, Series 2018- | |||
| Angel Oak Mortgage Trust I, | 1A, Class A1, CMO, ARM, | |||||
| Series 2019-2, Class M1, | 2.976%, 12/25/57 (1) | 134 | 135 | |||
| CMO, ARM, | Deephaven Residential | |||||
| 4.065%, 3/25/49 (1) | 400 | 414 | Mortgage Trust, Series 2018- | |||
| 3A, Class A3, CMO, ARM, | ||||||
| 3.963%, 8/25/58 (1) | 33 | 33 | ||||
| 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) | |||||
| Deephaven Residential | GS Mortgage-Backed Securities | |||||
| Mortgage Trust, Series 2019- | Trust, Series 2014-EB1A, | |||||
| 1A, Class A1, CMO, ARM, | Class 2A1, CMO, ARM, | |||||
| 3.743%, 1/25/59 (1) | 378 | 381 | 2.44%, 7/25/44 (1) | 18 | 18 | |
| Deephaven Residential | Homeward Opportunities Fund I | |||||
| Mortgage Trust, Series 2019- | Trust, Series 2018-1, Class A1, | |||||
| 2A, Class A3, CMO, ARM, | CMO, ARM, | |||||
| 3.763%, 4/25/59 (1) | 273 | 276 | 3.766%, 6/25/48 (1) | 289 | 290 | |
| Deephaven Residential | Homeward Opportunities Fund I | |||||
| Mortgage Trust, Series 2019- | Trust, Series 2018-1, Class A2, | |||||
| 2A, Class M1, CMO, ARM, | CMO, ARM, | |||||
| 3.921%, 4/25/59 (1) | 280 | 281 | 3.897%, 6/25/48 (1) | 254 | 253 | |
| Deephaven Residential | Homeward Opportunities Fund I | |||||
| Mortgage Trust, Series 2019- | Trust, Series 2019-1, Class A3, | |||||
| 3A, Class A1, CMO, ARM, | CMO, ARM, | |||||
| 2.964%, 7/25/59 (1) | 258 | 261 | 3.606%, 1/25/59 (1) | 402 | 408 | |
| Ellington Financial Mortgage | JPMorgan Mortgage Trust, | |||||
| Trust, Series 2019-2, Class A1, | Series 2020-1INV, Class A15, | |||||
| CMO, ARM, | CMO, ARM, | |||||
| 2.739%, 11/25/59 (1) | 342 | 348 | 3.50%, 8/25/50 (1) | 394 | 403 | |
| Flagstar Mortgage Trust, Series | Mill City Mortgage Loan Trust, | |||||
| 2020-1INV, Class A11, CMO, | Series 2016-1, Class A1, CMO, | |||||
| ARM, | ARM, | |||||
| 1M USD LIBOR + 0.85%, | 2.50%, 4/25/57 (1) | 54 | 54 | |||
| 0.998%, 3/25/50 (1) | 407 | 406 | New Residential Mortgage Loan | |||
| Freddie Mac Whole Loan | Trust, Series 2019-NQM3, | |||||
| Securities Trust, Series 2017- | Class A3, CMO, ARM, | |||||
| SC01, Class M1, CMO, ARM, | 3.086%, 7/25/49 (1) | 246 | 249 | |||
| 3.592%, 12/25/46 (1) | 165 | 165 | New Residential Mortgage Loan | |||
| Freddie Mac Whole Loan | Trust, Series 2020-NQM1, | |||||
| Securities Trust, Series 2017- | Class A1, CMO, ARM, | |||||
| SC02, Class M1, CMO, ARM, | 2.464%, 1/26/60 (1) | 407 | 411 | |||
| 3.82%, 5/25/47 (1) | 50 | 50 | OBX Trust, Series 2019-EXP2, | |||
| Galton Funding Mortgage Trust, | Class 2A2, CMO, ARM, | |||||
| Series 2018-1, Class A33, | 1M USD LIBOR + 1.20%, | |||||
| CMO, ARM, | 1.348%, 6/25/59 (1) | 134 | 133 | |||
| 3.50%, 11/25/57 (1) | 258 | 263 | OBX Trust, Series 2020-EXP1, | |||
| Galton Funding Mortgage Trust, | Class 2A2, CMO, ARM, | |||||
| Series 2019-1, Class A32, | 1M USD LIBOR + 0.95%, | |||||
| CMO, ARM, | 1.098%, 2/25/60 (1) | 158 | 156 | |||
| 4.00%, 2/25/59 (1) | 204 | 210 | OBX Trust, Series 2020-EXP2, | |||
| Galton Funding Mortgage Trust, | Class A8, CMO, ARM, | |||||
| Series 2019-H1, Class M1, | 3.00%, 5/25/60 (1) | 355 | 364 | |||
| CMO, ARM, | OBX Trust, Series 2020-EXP2, | |||||
| 3.339%, 10/25/59 (1) | 230 | 227 | Class A9, CMO, ARM, | |||
| Galton Funding Mortgage Trust, | 3.00%, 5/25/60 (1) | 93 | 95 | |||
| Series 2020-H1, Class A1, | OBX Trust, Series 2020-INV, | |||||
| CMO, ARM, | Class A5, CMO, ARM, | |||||
| 2.31%, 1/25/60 (1) | 363 | 370 | 3.50%, 12/25/49 (1) | 256 | 264 | |
| Galton Funding Mortgage Trust, | Sequoia Mortgage Trust, Series | |||||
| Series 2020-H1, Class M1, | 2018-CH1, Class A11, CMO, | |||||
| CMO, ARM, | ARM, | |||||
| 2.832%, 1/25/60 (1) | 380 | 367 | 3.50%, 2/25/48 (1) | 283 | 285 | |
| 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 A21, CMO, | Debt Notes, Series 2018- | ||||
| ARM, | DNA3, Class M1, CMO, ARM, | ||||
| 4.00%, 6/25/48 (1) | 220 | 225 | 1M USD LIBOR + 0.75%, | ||
| Sequoia Mortgage Trust, Series | 0.898%, 9/25/48 (1) | 1 | 1 | ||
| 2018-CH3, Class A19, CMO, | Structured Agency Credit Risk | ||||
| ARM, | Debt Notes, Series 2018- | ||||
| 4.50%, 8/25/48 (1) | 119 | 124 | DNA3, Class M2AS, CMO, | ||
| Sequoia Mortgage Trust, Series | ARM, | ||||
| 2018-CH4, Class A2, CMO, | 1M USD LIBOR + 0.90%, | ||||
| ARM, | 1.048%, 9/25/48 (1) | 455 | 452 | ||
| 4.00%, 10/25/48 (1) | 186 | 191 | Structured Agency Credit Risk | ||
| Starwood Mortgage Residential | Debt Notes, Series 2018- | ||||
| Trust, Series 2019-1, Class A3, | HQA2, Class M1, CMO, ARM, | ||||
| CMO, ARM, | 1M USD LIBOR + 0.75%, | ||||
| 3.299%, 6/25/49 (1) | 340 | 344 | 0.898%, 10/25/48 (1) | 58 | 58 |
| Starwood Mortgage Residential | Structured Agency Credit Risk | ||||
| Trust, Series 2019-IMC1, Class | Debt Notes, Series 2018- | ||||
| A1, CMO, ARM, | HRP2, Class M2, CMO, ARM, | ||||
| 3.468%, 2/25/49 (1) | 277 | 284 | 1M USD LIBOR + 1.25%, | ||
| Starwood Mortgage Residential | 1.398%, 2/25/47 (1) | 330 | 320 | ||
| Trust, Series 2019-INV1, Class | Structured Agency Credit Risk | ||||
| A1, CMO, ARM, | Debt Notes, Series 2020- | ||||
| 2.61%, 9/27/49 (1) | 88 | 89 | HQA3, Class M1, CMO, ARM, | ||
| Starwood Mortgage Residential | 1M USD LIBOR + 1.55%, | ||||
| Trust, Series 2019-INV1, Class | 1.698%, 7/25/50 (1) | 120 | 120 | ||
| A3, CMO, ARM, | Structured Agency Credit Risk | ||||
| 2.916%, 9/27/49 (1) | 236 | 239 | Debt Notes, Series 2020- | ||
| Structured Agency Credit Risk | HQA4, Class M1, CMO, ARM, | ||||
| Debt Notes, Series 2017- | 1M USD LIBOR + 1.30%, | ||||
| DNA2, Class M1, CMO, ARM, | 1.452%, 9/25/50 (1) | 290 | 290 | ||
| 1M USD LIBOR + 1.20%, | Towd Point Mortgage Trust, | ||||
| 1.348%, 10/25/29 | 170 | 170 | Series 2015-4, Class A1B, | ||
| Structured Agency Credit Risk | CMO, ARM, | ||||
| Debt Notes, Series 2017- | 2.75%, 4/25/55 (1) | 117 | 118 | ||
| DNA3, Class M1, CMO, ARM, | Towd Point Mortgage Trust, | ||||
| 1M USD LIBOR + 0.75%, | Series 2015-5, Class A1B, | ||||
| 0.898%, 3/25/30 | 252 | 252 | CMO, ARM, | ||
| Structured Agency Credit Risk | 2.75%, 5/25/55 (1) | 120 | 121 | ||
| Debt Notes, Series 2018- | Towd Point Mortgage Trust, | ||||
| DNA2, Class M1, CMO, ARM, | Series 2016-1, Class A1B, | ||||
| 1M USD LIBOR + 0.80%, | CMO, ARM, | ||||
| 0.948%, 12/25/30 (1) | 161 | 160 | 2.75%, 2/25/55 (1) | 78 | 79 |
| Structured Agency Credit Risk | Towd Point Mortgage Trust, | ||||
| Debt Notes, Series 2018- | Series 2016-1, Class A3B, | ||||
| DNA2, Class M2AS, CMO, | CMO, ARM, | ||||
| ARM, | 3.00%, 2/25/55 (1) | 131 | 134 | ||
| 1M USD LIBOR + 0.95%, | Towd Point Mortgage Trust, | ||||
| 1.098%, 12/25/30 (1) | 275 | 273 | Series 2016-2, Class A1A, | ||
| CMO, ARM, | |||||
| 2.75%, 8/25/55 (1) | 88 | 90 | |||
| 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) | ||||
| Towd Point Mortgage Trust, | |||||
| Series 2017-1, Class A1, CMO, | Commercial Mortgage-Backed Securities 4.6% | ||||
| ARM, | Banc of America Commercial | ||||
| 2.75%, 10/25/56 (1) | 336 | 344 | Mortgage Trust, Series 2017- | ||
| Towd Point Mortgage Trust, | BNK3, Class A1 | ||||
| Series 2017-2, Class A1, CMO, | 1.957%, 2/15/50 | 58 | 59 | ||
| ARM, | BX Commercial Mortgage Trust, | ||||
| 2.75%, 4/25/57 (1) | 212 | 218 | Series 2019-XL, Class B, ARM, | ||
| Towd Point Mortgage Trust, | 1M USD LIBOR + 1.08%, | ||||
| Series 2017-4, Class A1, CMO, | 1.232%, 10/15/36 (1) | 456 | 455 | ||
| ARM, | CD Commercial Mortgage Trust, | ||||
| 2.75%, 6/25/57 (1) | 348 | 360 | Series 2017-CD3, Class A1 | ||
| Towd Point Mortgage Trust, | 1.965%, 2/10/50 | 48 | 48 | ||
| Series 2018-1, Class A1, CMO, | Citigroup Commercial Mortgage | ||||
| ARM, | Trust, Series 2013-375P, Class | ||||
| 3.00%, 1/25/58 (1) | 206 | 215 | C, ARM, | ||
| Verus Securitization Trust, | 3.635%, 5/10/35 (1) | 150 | 151 | ||
| Series 2018-2, Class A1, CMO, | Commercial Mortgage Trust, | ||||
| ARM, | Series 2014-CR19, Class D, | ||||
| 3.677%, 6/1/58 (1) | 363 | 368 | ARM, | ||
| Verus Securitization Trust, | 4.868%, 8/10/47 (1) | 250 | 221 | ||
| Series 2018-2, Class A2, CMO, | Commercial Mortgage Trust, | ||||
| ARM, | Series 2014-UBS2, Class A5 | ||||
| 3.779%, 6/1/58 (1) | 115 | 116 | 3.961%, 3/10/47 | 280 | 306 |
| Verus Securitization Trust, | Commercial Mortgage Trust, | ||||
| Series 2018-2, Class A3, CMO, | Series 2014-UBS2, Class B | ||||
| ARM, | 4.701%, 3/10/47 | 340 | 361 | ||
| 3.83%, 6/1/58 (1) | 73 | 74 | Commercial Mortgage Trust, | ||
| Verus Securitization Trust, | Series 2020-CBM, Class D, | ||||
| Series 2019-4, Class A3, CMO, | ARM, | ||||
| STEP, | 3.754%, 2/10/37 (1) | 340 | 313 | ||
| 3.00%, 11/25/59 (1) | 405 | 411 | Credit Suisse Mortgage Trust, | ||
| Verus Securitization Trust, | Series 2020-NET, Class A | ||||
| Series 2019-INV1, Class A1, | 2.257%, 8/15/37 (1) | 115 | 119 | ||
| CMO, ARM, | Fontainebleau Miami Beach | ||||
| 3.402%, 12/25/59 (1) | 222 | 228 | Trust, Series 2019-FBLU, | ||
| Verus Securitization Trust, | Class C | ||||
| Series 2019-INV1, Class M1, | 3.75%, 12/10/36 (1) | 895 | 882 | ||
| CMO, ARM, | Great Wolf Trust, Series 2019- | ||||
| 4.034%, 12/25/59 (1) | 140 | 142 | WOLF, Class A, ARM, | ||
| Verus Securitization Trust, | 1M USD LIBOR + 1.034%, | ||||
| Series 2019-INV3, Class A3, | 1.186%, 12/15/36 (1) | 325 | 313 | ||
| CMO, ARM, | Great Wolf Trust, Series 2019- | ||||
| 3.10%, 11/25/59 (1) | 436 | 443 | WOLF, Class C, ARM, | ||
| Verus Securitization Trust, | 1M USD LIBOR + 1.633%, | ||||
| Series 2020-1, Class A3, CMO, | 1.785%, 12/15/36 (1) | 390 | 359 | ||
| STEP, | GS Mortgage Securities Trust, | ||||
| 2.724%, 1/25/60 (1) | 423 | 431 | Series 2016-GS3, Class A1 | ||
| 17,601 | 1.429%, 10/10/49 | 11 | 11 | ||
| 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) | |||||
| GS Mortgage Securities Trust, | SLIDE, Series 2018-FUN, Class | |||||
| Series 2019-SOHO, Class A, | D, ARM, | |||||
| ARM, | 1M USD LIBOR + 1.85%, | |||||
| 1M USD LIBOR + 0.90%, | 2.002%, 6/15/31 (1) | 544 | 492 | |||
| 1.052%, 6/15/36 (1) | 495 | 491 | Wells Fargo Commercial | |||
| InTown Hotel Portfolio Trust, | Mortgage Trust, Series 2013- | |||||
| Series 2018-STAY, Class A, | LC12, Class | A1 | ||||
| ARM, | 1.676%, 7/15/46 | 106 | 106 | |||
| 1M USD LIBOR + 0.70%, | Wells Fargo Commercial | |||||
| 0.852%, 1/15/33 (1) | 175 | 171 | Mortgage Trust, Series 2015- | |||
| InTown Hotel Portfolio Trust, | NXS2, Class A2 | |||||
| Series 2018-STAY, Class C, | 3.02%, 7/15/58 | 181 | 183 | |||
| ARM, | WFRBS Commercial Mortgage | |||||
| 1M USD LIBOR + 1.25%, | Trust, Series 2014-C23, Class | |||||
| 1.402%, 1/15/33 (1) | 145 | 140 | A5 | |||
| JPMorgan Chase Commercial | 3.917%, 10/15/57 | 435 | 481 | |||
| Mortgage Securities Trust, | WFRBS Commercial Mortgage | |||||
| Series 2011-C4, Class A4 | Trust, Series 2014-LC14, Class | |||||
| 4.388%, 7/15/46 (1) | 122 | 123 | A5 | |||
| JPMorgan Chase Commercial | 4.045%, 3/15/47 | 440 | 481 | |||
| Mortgage Securities Trust, | ||||||
| Series 2019-BKWD, Class C, | 8,012 | |||||
| ARM, | Residential Mortgage 0.1% | |||||
| 1M USD LIBOR + 1.60%, | ||||||
| 1.752%, 9/15/29 (1) | 355 | 339 | MetLife Securitization Trust, | |||
| Series 2017-1A, Class A, | ||||||
| Merit, Series 2020-HILL, Class B, | CMO, ARM, | |||||
| ARM, | 3.00%, 4/25/55 (1) | 275 | 290 | |||
| 1M USD LIBOR + 1.40%, | ||||||
| 1.552%, 8/15/37 (1) | 105 | 105 | 290 | |||
| Merit, Series 2020-HILL, Class C, | Total Non-U.S. Government Mortgage-Backed | |||||
| ARM, | Securities | |||||
| 1M USD LIBOR + 1.70%, | (Cost $26,069) | 25,903 | ||||
| 1.852%, 8/15/37 (1) | 100 | 100 | ||||
| Merit, Series 2020-HILL, Class D, | ||||||
| ARM, | U.S. GOVERNMENT & AGENCY MORTGAGE-BACKED | |||||
| 1M USD LIBOR + 2.35%, | SECURITIES 4.0% | |||||
| 2.502%, 8/15/37 (1) | 130 | 130 | ||||
| Morgan Stanley Bank of America | U.S. GOVERNMENT AGENCY OBLIGATIONS 3.5% (3) | |||||
| Merrill Lynch Trust, Series | Federal Home Loan Mortgage | |||||
| 2016-C30, Class A1 | 3.50%, 3/1/46 | 178 | 195 | |||
| 1.389%, 9/15/49 | 61 | 61 | 5.00%, 12/1/23 - 7/1/25 | 40 | 42 | |
| Morgan Stanley Capital I Trust, | 5.50%, 4/1/23 - 10/1/38 | 14 | 16 | |||
| Series 2014-150E, Class A | ||||||
| 3.912%, 9/9/32 (1) | 340 | 363 | 6.00%, 10/1/21 - 1/1/38 | 119 | 140 | |
| Morgan Stanley Capital I Trust, | 7.00%, 3/1/39 | 99 | 115 | |||
| Series 2019-MEAD, Class D, | 7.50%, 6/1/38 | 103 | 121 | |||
| ARM, | Federal Home Loan Mortgage, ARM | |||||
| 3.283%, 11/10/36 (1) | 710 | 577 | 12M USD LIBOR + 1.591%, | |||
| RETL, Series 2019-RVP, Class A, | 2.216%, 9/1/35 | 4 | 4 | |||
| ARM, | 12M USD LIBOR + 1.625%, | |||||
| 1M USD LIBOR + 1.15%, | 2.504%, 7/1/38 | 16 | 17 | |||
| 1.302%, 3/15/36 (1) | 71 | 71 | 12M USD LIBOR + 1.726%, | |||
| 2.721%, 7/1/35 | 4 | 4 | ||||
| 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 + 1.625%, 2.94%, | 12M USD LIBOR + 1.892%, | ||||
| 6/1/38 | 26 | 27 | 3.852%, 12/1/35 | 2 | 2 |
| 12M USD LIBOR + 1.733%, | 12M USD LIBOR + 1.78%, 3.905%, | ||||
| 2.945%, 10/1/36 | 11 | 12 | 1/1/34 | 7 | 7 |
| 1Y CMT + 2.25%, 3.146%, 10/1/36 | 3 | 3 | 12M USD LIBOR + 2.04%, 4.08%, | ||
| 12M USD LIBOR + 1.72%, 3.195%, | 12/1/36 | 2 | 2 | ||
| 5/1/38 | 10 | 10 | Federal National Mortgage Assn., | ||
| 12M USD LIBOR + 1.775%, | CMO, | ||||
| 3.377%, 5/1/37 | 6 | 6 | 4.00%, 6/25/44 | 368 | 376 |
| 12M USD LIBOR + 1.625%, 3.47%, | Federal National Mortgage Assn., UMBS | ||||
| 4/1/37 | 11 | 11 | 3.00%, 1/1/27 | 228 | 240 |
| 12M USD LIBOR + 1.746%, | 3.50%, 3/1/28 - 1/1/48 | 199 | 211 | ||
| 3.746%, 2/1/37 | 5 | 5 | 4.00%, 11/1/49 - 1/1/50 | 448 | 477 |
| 12M USD LIBOR + 1.75%, 3.75%, | 4.50%, 11/1/20 - 1/1/50 | 1,272 | 1,387 | ||
| 2/1/35 | 10 | 10 | 5.00%, 9/1/22 - 6/1/35 | 336 | 383 |
| 12M USD LIBOR + 1.831%, 3.88%, | 5.50%, 3/1/21 - 5/1/40 | 413 | 480 | ||
| 1/1/37 | 3 | 3 | 6.00%, 9/1/21 - 4/1/40 | 703 | 825 |
| 1Y CMT + 2.245%, 3.927%, 1/1/36 | 10 | 11 | 6.50%, 7/1/32 - 12/1/32 | 86 | 99 |
| 12M USD LIBOR + 2.029%, | UMBS, TBA, | ||||
| 4.049%, 11/1/36 | 3 | 3 | 2.00%, 10/1/50 (4) | 80 | 83 |
| 12M USD LIBOR + 2.082%, | |||||
| 4.082%, 2/1/38 | 12 | 13 | 6,156 | ||
| Federal Home Loan Mortgage, CMO | U.S. GOVERNMENT OBLIGATIONS 0.5% | ||||
| 2.00%, 2/15/40 | 166 | 170 | Government National Mortgage Assn. | ||
| 4.00%, 11/15/36 | 54 | 55 | 3.50%, 2/20/48 | 24 | 26 |
| Federal Home Loan Mortgage, UMBS | 5.00%, 12/20/34 - 11/20/47 | 510 | 577 | ||
| 3.00%, 11/1/34 | 302 | 328 | 5.50%, 3/20/48 - 3/20/49 | 108 | 118 |
| 4.00%, 12/1/49 | 74 | 81 | Government National Mortgage | ||
| 4.50%, 5/1/50 | 96 | 105 | Assn., TBA, | ||
| Federal National Mortgage Assn., ARM | 4.00%, 10/20/50 (4) | 68 | 72 | ||
| 12M USD LIBOR + 1.655%, | |||||
| 2.577%, 8/1/37 | 4 | 4 | 793 | ||
| 12M USD LIBOR + 1.626%, | Total U.S. Government & Agency Mortgage- | ||||
| 2.632%, 7/1/35 | 2 | 2 | Backed Securities | ||
| 12M USD LIBOR + 1.853%, | (Cost $6,674) | 6,949 | |||
| 2.692%, 8/1/38 | 10 | 11 | |||
| 12M USD LIBOR + 1.616%, | U.S. GOVERNMENT AGENCY OBLIGATIONS (EXCLUDING | ||||
| 2.942%, 7/1/36 | 12 | 12 | MORTGAGE-BACKED) 10.0% | ||
| 12M USD LIBOR + 1.569%, 3.23%, | |||||
| 12/1/35 | 7 | 7 | |||
| 12M USD LIBOR + 1.34%, 3.34%, | U.S. TREASURY OBLIGATIONS 10.0% | ||||
| 12/1/35 | 2 | 2 | U.S. Treasury Notes | ||
| 0.125%, 6/30/22 | 6,065 | 6,064 | |||
| 12M USD LIBOR + 1.83%, 3.615%, | U.S. Treasury Notes | ||||
| 4/1/38 | 20 | 21 | 0.125%, 5/15/23 | 1,425 | 1,424 |
| 12M USD LIBOR + 1.86%, 3.635%, | |||||
| 5/1/38 | 11 | 11 | U.S. Treasury Notes | ||
| 0.125%, 7/15/23 | 2,300 | 2,298 | |||
| 12M USD LIBOR + 1.77%, 3.77%, | U.S. Treasury Notes | ||||
| 12/1/35 | 1 | 1 | 0.125%, 8/15/23 | 6,330 | 6,324 |
| 12M USD LIBOR + 1.788%, | |||||
| 3.788%, 5/1/38 | 6 | 6 | U.S. Treasury Notes | ||
| 1.75%, 7/15/22 | 900 | 926 | |||
| 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 | ||||||
| 2.375%, 3/15/22 (5) | 305 | 315 | Illinois 0.0% | |||
| Chicago Transit Auth. Sales Tax | ||||||
| 17,351 | Receipts Fund, Series B, 1.708%, | |||||
| Total U.S. Government Agency Obligations | 12/1/22 | 10 | 10 | |||
| (Excluding Mortgage-Backed) | Chicago Transit Auth. Sales Tax | |||||
| (Cost $17,338) | 17,351 | Receipts Fund, Series B, 1.838%, | ||||
| 12/1/23 | 10 | 10 | ||||
| FOREIGN GOVERNMENT OBLIGATIONS & | Chicago Transit Auth. Sales Tax | |||||
| MUNICIPALITIES 2.3% | Receipts Fund, Series B, 2.064%, | |||||
| 12/1/24 | 25 | 26 | ||||
| Government Sponsored 0.3% | 46 | |||||
| Equate Petrochemical | New York 0.3% | |||||
| 3.00%, 3/3/22 | 600 | 608 | Long Island Power Auth., Series C, | |||
| 608 | 0.764%, 3/1/23 | 85 | 85 | |||
| Port Auth. of New York & New | ||||||
| Owned No Guarantee 2.0% | Jersey, Series AAA, 1.086%, | |||||
| Axiata SPV2 | 7/1/23 | 335 | 340 | |||
| 3.466%, 11/19/20 | 475 | 476 | ||||
| Saudi Arabian Oil | 425 | |||||
| 2.75%, 4/16/22 (1) | 1,155 | 1,184 | Texas 0.1% | |||
| Shanghai Electric Group Global | Dallas Fort Worth Int'l. Airport, Series | |||||
| Investment | C, 1.329%, 11/1/25 | 55 | 55 | |||
| 2.65%, 11/21/24 | 1,350 | 1,401 | Houston TX Airport System | |||
| Syngenta Finance | Revenue, Series C, 0.883%, | |||||
| 3.933%, 4/23/21 (1) | 385 | 389 | 7/1/22 (6) | 20 | 20 | |
| 3,450 | Houston TX Airport System | |||||
| Revenue, Series C, 1.054%, | ||||||
| Total Foreign Government Obligations & | 7/1/23 (6) | 35 | 35 | |||
| Municipalities | ||||||
| (Cost $3,980) | 4,058 | Houston TX Airport System | ||||
| Revenue, Series C, 1.272%, | ||||||
| 7/1/24 (6) | 110 | 111 | ||||
| MUNICIPAL SECURITIES 0.7% | 221 | |||||
| Connecticut 0.1% | Total Municipal Securities | |||||
| Connecticut, Series A, GO, 1.998%, | (Cost $1,250) | 1,272 | ||||
| 7/1/24 | 95 | 99 | ||||
| Connecticut, Series A, GO, 2.00%, | SHORT-TERM INVESTMENTS 2.3% | |||||
| 7/1/23 | 35 | 36 | ||||
| Connecticut, Series A, GO, 2.098%, | COMMERCIAL PAPER 1.1% | |||||
| 7/1/25 | 60 | 64 | ||||
| 4 (2) 1.1% (7) | ||||||
| 199 | Boeing, | |||||
| Florida 0.2% | 2.185%, 11/16/20 | 915 | 914 | |||
| State Board of Administration | Boeing, | |||||
| Finance, Series A, 1.258%, 7/1/25 | 375 | 381 | 2.343%, 11/4/20 | 975 | 974 | |
| 381 | 1,888 | |||||
| The accompanying notes are an integral part of this Portfolio of Investments. | ||||||
T. ROWE PRICE LIMITED-TERM BOND PORTFOLIO
| Par/Shares | $ Value | $ Value | ||||
| (Amounts in 000s) | (Amounts in 000s) | |||||
| MONEY MARKET FUNDS 1.2% | Total Investments in Securities 100.6% | |||||
| T. Rowe Price Government Reserve | ||||||
| Fund, 0.09% (8)(9) | 2,117 | 2,117 | (Cost $172,997) | $ | 175,581 | |
| Other Assets Less Liabilities (0.6)% | (968) | |||||
| 2,117 | Net Assets 100% | $ | 174,613 | |||
| Total Short-Term Investments | ||||||
| (Cost $4,003) | 4,005 | |||||
| ‡ | 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 $68,010 and | ||
| represents 38.9% of net assets. | ||
| (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 $155 and represents |
| 0.1% of net assets. | ||
| (5 | ) | At September 30, 2020, all or a portion of this security is pledged as collateral and/or margin deposit to cover future |
| funding obligations. | ||
| (6 | ) | When-issued security |
| (7 | ) | 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 $1,888 and represents 1.1% of net assets. | ||
| (8 | ) | Seven-day yield |
| (9 | ) | Affiliated Companies |
| (10 | ) | All or a portion of this loan is unsettled as of September 30, 2020. The interest rate for unsettled loans will be determined |
| upon settlement after period end. | ||
| 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 | |
| GO | General Obligation | |
| 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 (0.1)% | |||||||||
| Upfront | |||||||||
| Notional | Payments/ | Unrealized | |||||||
| Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | |||||
| BILATERAL SWAPS (0.1)% | |||||||||
| Credit Default Swaps, Protection Bought (0.1)% | |||||||||
| 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 | ) | (11 | ) | (3 | ) | ||
| Barclays Bank, Protection Bought (Relevant Credit: Omnicom Group, | |||||||||
| 4.45%, 11/01/24), Pay 1.00% Quarterly, Receive upon credit default, | |||||||||
| 12/20/24 | 1,250 | (35 | ) | (34 | ) | (1 | ) | ||
| 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 | ) | (16 | ) | (4 | ) | ||
| Goldman Sachs, Protection Bought (Relevant Credit: General Mills, | |||||||||
| 3.15%, 12/15/21), Pay 1.00% Quarterly, Receive upon credit default, | |||||||||
| 12/20/24 | 1,220 | (41 | ) | (33 | ) | (8 | ) | ||
| Total Credit Default Swaps, Protection Bought | (94 | ) | (16 | ) | |||||
| Credit Default Swaps, Protection Sold (0.0)% | |||||||||
| Bank of America, Protection Sold (Relevant Credit: Boeing, 8.75%, | |||||||||
| 8/15/21 , $106.74*), Receive 1.00% Quarterly, Pay upon credit default, | |||||||||
| 12/20/21 | 2,300 | (49 | ) | 16 | (65 | ) | |||
| Barclays Bank, Protection Sold (Relevant Credit: Enbridge, 3.50%, | |||||||||
| 6/10/24 , $107.65*), Receive 1.00% Quarterly, Pay upon credit default, | |||||||||
| 6/20/23 | 1,750 | 17 | (67 | ) | 84 | ||||
| Barclays Bank, Protection Sold (Relevant Credit: General Electric, 2.70%, | |||||||||
| 10/09/22 , $103.91*), Receive 1.00% Quarterly, Pay upon credit default, | |||||||||
| 12/20/20 | 1,370 | 2 | 2 | — | |||||
| Barclays Bank, Protection Sold (Relevant Credit: General Electric, 2.70%, | |||||||||
| 10/09/22 , $103.91*), Receive 1.00% Quarterly, Pay upon credit default, | |||||||||
| 12/20/21 | 500 | 2 | — | 2 | |||||
| Citibank, Protection Sold (Relevant Credit: Devon Energy, 7.95%, 4/15/32, | |||||||||
| $128.5 *), Receive 1.00% Quarterly, Pay upon credit default, 12/20/24 | 165 | (5 | ) | (1 | ) | (4 | ) | ||
| Goldman Sachs, Protection Sold (Relevant Credit: General Electric, | |||||||||
| 2.70%, 10/09/22, $103.91*), Receive 1.00% Quarterly, Pay upon credit | |||||||||
| default, 12/20/20 | 1,130 | 1 | 1 | — | |||||
| Morgan Stanley, Protection Sold (Relevant Credit: Devon Energy, 7.95%, | |||||||||
| 4/15/32 , $128.5*), Receive 1.00% Quarterly, Pay upon credit default, | |||||||||
| 12/20/24 | 140 | (4 | ) | (1 | ) | (3 | ) | ||
| Total Credit Default Swaps, Protection Sold | (50 | ) | 14 | ||||||
| Total Bilateral Swaps | (144 | ) | (2 | ) | |||||
| * Market Price at September 30, 2020. | |||||||||
| The accompanying notes are an integral part of this Portfolio of Investments. | |||||||||
T. ROWE PRICE LIMITED-TERM BOND PORTFOLIO
| FUTURES CONTRACTS | ||||||||
| ($ | 000 s) | |||||||
| Value and | ||||||||
| Expiration | Notional | Unrealized Gain | ||||||
| Date | Amount | (Loss) | ||||||
| Short, 96 U.S. Treasury Notes five year contracts | 12/20 | (12,099) $ | (11) | |||||
| Short, 23 U.S. Treasury Notes ten year contracts | 12/20 | (3,209) | (2) | |||||
| Long, 142 U.S. Treasury Notes two year contracts | 12/20 | 31,376 | 7 | |||||
| Net payments (receipts) of variation margin to date | 20 | |||||||
| Variation margin receivable (payable) on open futures contracts | $ | 14 | ||||||
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 nine months ended September 30, 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 | $ | —# | $ | — | $ | 23+ | ||
| Supplementary Investment Schedule | ||||||||
| Value | Purchase | Sales | Value | |||||
| Affiliate | 12/31/19 | Cost | Cost | 9/30/20 | ||||
| T. Rowe Price Government Reserve Fund | $ | 7,254 | ¤ | ¤ $ | 2,117^ | |||
| # | Capital gain distributions from mutual funds represented $0 of the net realized gain (loss). |
| + | Investment income comprised $23 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 $2,117. |
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 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
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 September 30, 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 | $ | — $ | 171,576$ | — $ | 171,576 | ||
| Short-Term Investments | 2,117 | 1,888 | — | 4,005 | |||
| Total Securities | 2,117 | 173,464 | — | 175,581 | |||
| Swaps | — | 22 | — | 22 | |||
| Futures Contracts | �� | 14 | — | — | 14 | ||
| Total | $ | 2,131$ | 173,486$ | — $ | 175,617 | ||
| Liabilities | |||||||
| Swaps | $ | — $ | 168$ | — $ | 168 | ||
1 Includes 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, Municipal Securities.