T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
July 31, 2020 (Unaudited)
Portfolio of Investments‡ | Par/Shares | $ Value | ||
(Cost and value in $000s) | ||||
ARGENTINA 0.0% | ||||
Government Bonds 0.0% | ||||
Republic of Argentina, 0.00%, 12/15/35 (USD) | 900,000 | 4 | ||
Total Argentina (Cost $12) | 4 | |||
BRAZIL 0.7% | ||||
Corporate Bonds 0.7% | ||||
Braskem Netherlands Finance, VR, 8.50%, 1/23/81 (USD) | ||||
(1)(2)(3) | 200,000 | 202 | ||
Globo Comunicacao e Participacoes, 4.843%, 6/8/25 (USD) | 400,000 | 400 | ||
Total Brazil (Cost $572) | 602 | |||
CANADA 1.2% | ||||
Bank Loans 0.5% (4) | ||||
Stars Group Holdings, FRN, 3M USD LIBOR + 3.50%, 3.808%, | ||||
7/10/25 (USD) | 435,756 | 435 | ||
435 | ||||
Corporate Bonds 0.6% | ||||
1011778 BC ULC, 5.75%, 4/15/25 (USD) (2) | 105,000 | 113 | ||
Enbridge, Series 16-A, VR, 6.00%, 1/15/77 (USD) (1) | 125,000 | 124 | ||
GFL Environmental, 5.125%, 12/15/26 (USD) (2) | 50,000 | 53 | ||
Transcanada Trust, Series 16-A, VR, 5.875%, 8/15/76 (USD) | ||||
(1)(3) | 175,000 | 186 | ||
476 | ||||
Preferred Stocks 0.1% | ||||
Enbridge, VR, 6.375%, 4/15/78 (USD) (1) | 2,793 | 70 | ||
70 | ||||
Total Canada (Cost $962) | 981 | |||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND | ||
| ||
Par/Shares | $ Value | |
(Cost and value in $000s) | ||
CHILE 0.3% | ||
Corporate Bonds 0.3% | ||
VTR Finance, 6.375%, 7/15/28 (USD) (2) | 200,000 | 214 |
Total Chile (Cost $200) | 214 | |
CHINA 1.6% | ||
Common Stocks 0.1% | ||
Hygeia Healthcare Holdings (5) | 9,717 | 40 |
40 | ||
Corporate Bonds 1.5% | ||
China Evergrande Group, 6.25%, 6/28/21 (USD) (3) | 400,000 | 391 |
Ronshine China Holdings, 8.10%, 6/9/23 (USD) | 200,000 | 209 |
Times China Holdings, 7.85%, 6/4/21 (USD) | 400,000 | 406 |
Times China Holdings, 6.75%, 7/16/23 (USD) | 200,000 | 206 |
1,212 | ||
Total China (Cost $1,235) | 1,252 | |
GERMANY 0.3% | ||
Corporate Bonds 0.3% | ||
Vertical Holdco, 7.625%, 7/15/28 (USD) (2) | 200,000 | 210 |
Total Germany (Cost $200) | 210 | |
GUATEMALA 0.3% | ||
Government Bonds 0.3% | ||
Republic of Guatemala, 6.125%, 6/1/50 (USD) (2) | 205,000 | 251 |
Total Guatemala (Cost $205) | 251 |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND | ||||
| ||||
Par/Shares | $ Value | |||
(Cost and value in $000s) | ||||
HUNGARY 0.1% | ||||
Common Stocks 0.1% | ||||
OTP Bank (5) | 3,200 | 115 | ||
Total Hungary (Cost $119) | 115 | |||
INDIA 0.7% | ||||
Common Stocks 0.2% | ||||
Kotak Mahindra Bank | 10,417 | 190 | ||
190 | ||||
Corporate Bonds 0.5% | ||||
Shriram Transport Finance, 5.10%, 7/16/23 (USD) | 400,000 | 375 | ||
375 | ||||
Total India (Cost $532) | 565 | |||
INDONESIA 0.2% | ||||
Common Stocks 0.2% | ||||
Bank Central Asia | 80,000 | 171 | ||
Total Indonesia (Cost $166) | 171 | |||
JERSEY 0.5% | ||||
Bank Loans 0.5% (4) | ||||
Capri Acquisitions Bidco, FRN, 3M USD LIBOR + 3.25%, | ||||
11/30/24 (USD) (6) | 400,000 | 399 | ||
Total Jersey (Cost $400) | 399 | |||
SWEDEN 0.1% | ||||
Corporate Bonds 0.1% | ||||
Verisure Holding, FRN, 3M EURIBOR + 5.00%, 5.00%, 4/15/25 | ||||
(EUR)(2) | 100,000 | 120 | ||
Total Sweden (Cost $108) | 120 | |||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND | ||
| ||
Par/Shares | $ Value | |
(Cost and value in $000s) | ||
THAILAND 0.5% | ||
Corporate Bonds 0.5% | ||
Bangkok Bank, VR, 3.733%, 9/25/34 (USD) (1) | 400,000 | 402 |
Total Thailand (Cost $321) | 402 | |
UKRAINE 0.4% | ||
Corporate Bonds 0.4% | ||
Ukraine Government Bond, 9.79%, 5/26/27 | 10,000,000 | 329 |
Total Ukraine (Cost $382) | 329 | |
UNITED ARAB EMIRATES 0.0% | ||
Common Stocks 0.0% | ||
Network International Holdings (GBP) (5) | 4,600 | 24 |
Total United Arab Emirates (Cost $24) | 24 | |
UNITED KINGDOM 0.3% | ||
Common Stocks 0.0% | ||
Polypipe Group | 5,762 | 30 |
30 | ||
Corporate Bonds 0.3% | ||
Cabot Financial Luxembourg, 7.50%, 10/1/23 | 200,000 | 263 |
263 | ||
Total United Kingdom (Cost $269) | 293 | |
UNITED STATES 73.8% | ||
Corporate Bonds 8.9% | ||
American Airlines PTT, Series 2019-1, Class AA, 3.15%, | ||
2/15/32 | 98,460 | 91 |
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND | ||
| ||
Par/Shares | $ Value | |
(Cost and value in $000s) | ||
Ardagh Packaging Finance, 5.25%, 4/30/25 (2)(3) | 400,000 | 425 |
Broadcom, 4.70%, 4/15/25 (2) | 185,000 | 212 |
Burlington Coat Factory Warehouse, 6.25%, 4/15/25 (2) | 225,000 | 239 |
Cincinnati Bell, 8.00%, 10/15/25 (2) | 250,000 | 265 |
DaVita, 4.625%, 6/1/30 (2) | 300,000 | 320 |
Energizer Holdings, 6.375%, 7/15/26 (2) | 145,000 | 155 |
GCI, 6.875%, 4/15/25 (3) | 370,000 | 384 |
Genesis Energy, 6.00%, 5/15/23 | 400,000 | 386 |
Graphic Packaging International, 4.75%, 4/15/21 (3) | 400,000 | 404 |
Intelsat Jackson Holdings, 9.50%, 9/30/22 (2) | 195,000 | 215 |
Jaguar Holding II, 5.00%, 6/15/28 (2)(3) | 115,000 | 122 |
Lamar Media, 4.875%, 1/15/29 (2) | 400,000 | 420 |
Microchip Technology, 4.25%, 9/1/25 (2) | 170,000 | 178 |
NBCUniversal Enterprise, 5.25% (2)(7) | 200,000 | 201 |
New Albertsons, 3.50%, 2/15/23 (2) | 155,000 | 158 |
Nielsen Finance, 5.00%, 4/15/22 (2) | 100,000 | 100 |
Nielsen Luxembourg, 5.50%, 10/1/21 (2) | 194,000 | 194 |
NMI Holdings, 7.375%, 6/1/25 (2) | 70,000 | 76 |
NuStar Logistics, 4.80%, 9/1/20 | 200,000 | 200 |
Pattern Energy Group, 5.875%, 2/1/24 (2) | 400,000 | 412 |
Qorvo, 4.375%, 10/15/29 (2) | 300,000 | 321 |
Solera, 10.50%, 3/1/24 (2)(3) | 150,000 | 159 |
T-Mobile USA, 3.50%, 4/15/25 (2) | 55,000 | 61 |
T-Mobile USA, 6.375%, 3/1/25 (3) | 750,000 | 769 |
Teleflex, 4.25%, 6/1/28 (2) | 175,000 | 187 |
United Airlines PTT, Series 2018-1, Class AA, 3.50%, 3/1/30 | 186,605 | 173 |
USA Compression Partners, 6.875%, 9/1/27 | 270,000 | 275 |
Yum! Brands, 7.75%, 4/1/25 (2) | 40,000 | 44 |
7,146 |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND | |||
| |||
Par/Shares | $ Value | ||
(Cost and value in $000s) | |||
Bank Loans 8.9% (4) | |||
Advanced Disposal Services, FRN, 3M USD LIBOR + 2.25%, | |||
2.359%, 11/10/23 | 579,247 | 575 | |
Airbnb, FRN, 1M USD LIBOR + 7.50%, 8.50%, 4/17/25 | 250,000 | 262 | |
Asurion, FRN, 3M USD LIBOR + 6.50%, 6.661%, 8/4/25 | 192,576 | 194 | |
B&G Foods, FRN, 1M USD LIBOR + 2.50%, 2.661%, 10/10/26 | 64,326 | 63 | |
Charter NEX U. S. , FRN, 3M USD LIBOR + 3.25%, 3.411%, | |||
5/16/24 | 33,997 | 33 | |
Cincinnati Bell, FRN, 3M USD LIBOR + 3.25%, 4.25%, 10/2/24 | 299,239 | 298 | |
Citadel Securities, FRN, 1M USD LIBOR + 2.75%, 2.911%, | |||
2/27/26 | 34,825 | 34 | |
Edelman Financial Center, FRN, 3M USD LIBOR + 6.75%, | |||
6.922%, 7/20/26 | 205,000 | 188 | |
Epicor Software, FRN, 1M USD LIBOR + 7.75%, 7/30/28 (6) | 105,000 | 107 | |
Fleet U. S. Bidco, FRN, 1M USD LIBOR + 3.25%, 4.322%, | |||
10/7/26 (8) | 89,138 | 87 | |
Froneri U. S. , FRN, 1M USD LIBOR + 5.75%, 5.911%, 1/31/28 | 105,000 | 101 | |
Graham Packaging, FRN, 1M USD LIBOR + 3.75%, 7/28/27 (6) | 300,000 | 299 | |
Hostess Brands, FRN, 1M USD LIBOR + 2.25%, 3.00%, 8/3/25 | 149,248 | 146 | |
Ingersoll-Rand Services, FRN, 1M USD LIBOR + 1.75%, 1.911%, | |||
3/1/27 | 199,500 | 192 | |
Intelsat Jackson Holdings, FRN, 1M USD LIBOR + 5.50%, | |||
7/13/22 (6)(9) | 276,030 | 281 | |
Intelsat Jackson Holdings, FRN, 3M USD LIBOR + 6.50%, | |||
8.75%, 1/2/24 | 180,000 | 181 | |
Jaguar Holding II, FRN, 3M USD LIBOR + 2.50%, 3.50%, | |||
8/18/22 | 299,213 | 298 | |
K-MAC Holdings, FRN, 3M USD LIBOR + 6.75%, 6.911%, | |||
3/16/26 | 373,667 | 335 | |
Lions Gate Capital Holdings, FRN, 3M USD LIBOR + 2.25%, | |||
2.411%, 3/24/25 | 148,997 | 143 | |
PetSmart, FRN, 1M USD LIBOR + 3.00%, 3/11/22 (6) | 300,000 | 298 | |
PQ, FRN, 1M USD LIBOR + 3.00%, 2/7/27 (6) | 200,000 | 199 | |
Refinitiv U.S. Holdings, FRN, 1M USD LIBOR + 3.25%, 10/1/25 | |||
(6) | 596,484 | 592 | |
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND | ||||
| ||||
Par/Shares | $ Value | |||
(Cost and value in $000s) | ||||
Rent-A-Center, FRN, 3M USD LIBOR + 4.50%, 4.688%, 8/5/26 | 148,502 | 145 | ||
Reynolds Group Holdings, FRN, 3M USD LIBOR + 2.75%, | ||||
2.911%, 2/5/23 | 300,000 | 294 | ||
S2P Acquisition Borrower, FRN, 3M USD LIBOR + 4.00%, | ||||
5.072%, 8/14/26 | 84,176 | 82 | ||
Solera, FRN, 3M USD LIBOR + 2.75%, 2.911%, 3/3/23 | 196,905 | 193 | ||
T-Mobile USA, FRN, 1M USD LIBOR + 3.00%, 3.161%, 4/1/27 | 315,000 | 316 | ||
Tacala Investment, FRN, 1M USD LIBOR + 7.50%, 7.661%, | ||||
2/4/28 | 430,000 | 392 | ||
Tiger Merger Sub, FRN, 1M USD LIBOR + 3.50%, 3.667%, | ||||
6/30/25 | 200,000 | 200 | ||
Tiger Merger Sub, FRN, 1M USD LIBOR + 5.50%, 5.667%, | ||||
6/30/25 | 100,000 | 95 | ||
Uber Technologies, FRN, 3M USD LIBOR + 4.00%, 5.00%, | ||||
4/4/25 | 193,015 | 190 | ||
Vertical U. S. Newco, FRN, 1M USD LIBOR + 4.25%, 6/30/27 (6) | 200,000 | 197 | ||
Vungle, FRN, 1M USD LIBOR + 5.50%, 5.661%, 9/30/26 | 143,539 | 143 | ||
Wand NewCo 3, FRN, 1M USD LIBOR + 3.00%, 4.072%, 2/5/26 | 24,875 | 24 | ||
7,177 | ||||
Common Stocks 0.6% | ||||
Accolade (3)(5) | 294 | 10 | ||
Becton Dickinson & Company | 392 | 110 | ||
Bristol-Myers Squibb, CVR (5) | 1,900 | 7 | ||
Collier Creek Holdings (5) | 6,440 | 93 | ||
Conyers Park II Acquisition (5) | 3,442 | 42 | ||
Generation Bio (5) | 323 | 6 | ||
nCino(5) | 130 | 10 | ||
Open Lending, Class A (5) | 11,500 | 195 | ||
Tradeweb Markets, Class A | 169 | 9 | ||
482 | ||||
Convertible Preferred Stocks 1.8% | ||||
2020 Cash Mandatory Exchangeable Trust, 5.25%, 6/1/23 (2) | 214 | 220 | ||
American Electric Power, 6.125%, 3/15/22 (3) | 1,889 | 97 | ||
Assurant, Series D, 6.50%, 3/15/21 | 800 | 86 | ||
Becton Dickinson & Company, Series B, 6.00%, 6/1/23 (3) | 3,960 | 238 | ||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND | ||||
| ||||
Par/Shares | $ Value | |||
(Cost and value in $000s) | ||||
Broadcom, Series A, 8.00%, 9/30/22 (3) | 194 | 220 | ||
Danaher, Series A, 4.75%, 4/15/22 | 160 | 227 | ||
DTE Energy, 6.25%, 11/1/22 (3) | 1,266 | 56 | ||
Sempra Energy, Series A, 6.00%, 1/15/21 | 1,200 | 123 | ||
Sempra Energy, Series B, 6.75%, 7/15/21 (3) | 375 | 39 | ||
Southern, Series A, 6.75%, 8/1/22 | 2,593 | 120 | ||
1,426 | ||||
Preferred Stocks 0.4% | ||||
Federal National Mortgage Association, 7.625% (7) | 6,000 | 44 | ||
NuStar Logistics, VR, 7.009%, 1/15/43 | 12,500 | 252 | ||
296 | ||||
Bond Mutual Funds 38.1% | ||||
T. Rowe Price Dynamic Credit Fund - I Class, 5.13% (10)(11) | 1,192,023 | 11,360 | ||
T. Rowe Price Dynamic Global Bond Fund - I Class, 2.24% | ||||
(10)(11) | 682,408 | 6,701 | ||
T. Rowe Price Ultra Short-Term Bond Fund - I Class, 1.38% | ||||
(10)(11) | 2,493,782 | 12,694 | ||
30,755 | ||||
Equity Mutual Funds 14.4% | ||||
T. Rowe Price Global Stock Fund (10) | 211,353 | 11,610 | ||
11,610 | ||||
Convertible Bonds 0.7% | ||||
Air Transport Services Group, 1.125%, 10/15/24 | 200,000 | 202 | ||
Wright Medical Group, 1.625%, 6/15/23 | 340,000 | 355 | ||
557 | ||||
Total United States (Cost $55,666) | 59,449 | |||
SHORT-TERM INVESTMENTS 15.1% | ||||
Money Market Funds 15.1% | ||||
T. Rowe Price Government Reserve Fund, 0.13% (10)(12) | 12,210,276 | 12,210 | ||
Total Short-Term Investments (Cost $12,210) | 12,210 | |||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND | |||
| |||
Par/Shares | $ Value | ||
(Cost and value in $000s) | |||
SECURITIES LENDING COLLATERAL 2.7% | |||
Investments in a Pooled Account through Securities Lending | |||
Program with JPMorgan Chase Bank 0.4% | |||
Short-Term Funds 0.4% | |||
T. Rowe Price Short-Term Fund, 0.25% (10)(12) | 30,150 | 302 | |
Total Investments in a Pooled Account through Securities Lending Program with | |||
JPMorgan Chase Bank | 302 | ||
Investments in a Pooled Account through Securities Lending | |||
Program with State Street Bank and Trust Company 2.3% | |||
Short-Term Funds 2.3% | |||
T. Rowe Price Short-Term Fund, 0.25% (10)(12) | 188,242 | 1,882 | |
Total Investments in a Pooled Account through Securities Lending Program with | |||
State Street Bank and Trust Company | 1,882 | ||
Total Securities Lending Collateral (Cost $2,184) | 2,184 | ||
(Amounts in 000s, except for contracts) | |||
OPTIONS PURCHASED 0.1% | |||
Exchange-Traded Options Purchased 0.1% | |||
Description | Contracts | Notional Amount | $ Value |
Cincinnati Bell, Put, 8/21/20 @ $10.00 (5) | 200 | 300 | 1 |
Continental Resources, Call, 1/15/21 @ $27.50 (5) | 70 | 121 | 7 |
Devon Energy, Call, 1/15/21 @ $18.00 (5) | 170 | 178 | 5 |
Halliburton, Call, 1/15/21 @ $20.00 (5) | 180 | 258 | 10 |
Helmerich & Payne, Call, 1/15/21 @ $30.00 (5) | 100 | 178 | 4 |
National Oilwell Varco, Call, 1/15/21 @ $20.00 (5) | 250 | 288 | 5 |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
SPDR S&P 500 ETF Trust, Put, 9/30/20 @ $300.00 | ||||
(5) | 40 | 1,306 | 20 | |
SPDR S&P 500 ETF Trust, Put, 9/18/20 @ $285.00 | ||||
(5) | 40 | 1,306 | 9 | |
SPDR S&P 500 ETF Trust, Put, 8/21/20 @ $285.00 | ||||
(5) | 70 | 2,286 | 3 | |
Total Options Purchased (Cost $115) | 64 | |||
Total Investments in Securities 98.9% | ||||
(Cost $75,882) | $ | 79,839 | ||
Other Assets Less Liabilities 1.1% | 851 | |||
Net Assets 100.0% | $ | 80,690 |
‡ | Country classifications are generally based on MSCI categories or another | |
unaffiliated third party data provider; Par/Shares and Notional Amount are | ||
denominated in the currency of the country presented unless otherwise noted. | ||
(1 | ) | 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. | ||
(2 | ) | 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 $5,847 and represents 7.2% of net assets. | ||
(3 | ) | All or a portion of this security is on loan at July 31, 2020. |
(4 | ) | Bank loan positions may involve multiple underlying tranches. In those |
instances, the position presented reflects the aggregate of those respective | ||
underlying tranches and the rate presented reflects the weighted average rate | ||
of the settled positions. | ||
(5 | ) | Non-income producing |
(6 | ) | All or a portion of this loan is unsettled as of July 31, 2020. The interest rate for |
unsettled loans will be determined upon settlement after period end. | ||
(7 | ) | Perpetual security with no stated maturity date. |
(8 | ) | Level 3 in fair value hierarchy. |
(9 | ) | A portion of the position represents an unfunded commitment; a liability to |
fund the commitment has been recognized. The fund's total unfunded | ||
commitment at July 31, 2020, was $38 and was valued at $38 (0.04% of net | ||
assets) . | ||
(10 | ) | Affiliated Companies |
(11 | ) | SEC 30-day yield |
(12 | ) | Seven-day yield |
1M ADBB | One month AUD bank bill | |
1M CAD CDOR | One month CAD CDOR (Canadian Dollar offered rate) | |
1M CHF LIBOR | One month CHF LIBOR (London interbank offered rate) | |
1M CNH HIBOR | One month CNH HIBOR (Hong Kong interbank offered rate) | |
1M DKK CIBOR | One month DKK CIBOR (Copenhagen interbank offered rate) | |
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
1M EURIBOR | One month EURIBOR (Euro interbank offered rate) |
1M GBP LIBOR | One month GBP LIBOR (London interbank offered rate) |
1M HKD HIBOR | One month HKD HIBOR (Hong Kong interbank offered rate) |
1M JPY LIBOR | One month JPY LIBOR (London interbank offered rate) |
1M NOK NIBOR | One month NOK NIBOR (Norwegian interbank offered rate) |
1M SEK STIBOR | One month SEK STIBOR (Stockholm interbank offered rate) |
1M USD LIBOR | One month USD LIBOR (London interbank offered rate) |
1M ZAR JIBOR | One month ZAR JIBOR (Johannesburg Interbank average rate) |
3M EURIBOR | Three month EURIBOR (Euro interbank offered rate) |
3M USD LIBOR | Three month USD LIBOR (London interbank offered rate) |
ADBB | AUD bank bill |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CHF | Swiss Franc |
CNH | Offshore China Renminbi |
CPI | Consumer Price Index |
CVR | Contingent Value Rights |
ETF | Exchange-Traded Fund |
EUR | Euro |
FRN | Floating Rate Note |
GBP | British Pound |
INR | Indian Rupee |
KRW | South Korean Won |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PTT | Pass-Through Trust |
RUB | Russian Ruble |
TRY | Turkish Lira |
USD | U. S. Dollar |
VR | Variable Rate; rate shown is effective rate at period-end. The rates for certain |
variable rate securities are not based on a published reference rate and | |
spread but are determined by the issuer or agent and based on current market | |
conditions. |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in 000s, except for contracts) | |||||
OPTIONS WRITTEN (0.2)% | |||||
Exchange-Traded Options Written (0.2)% | |||||
Description | Contracts | Notional Amount | $ Value | ||
iShares iBoxx High Yield Corporate Bond ETF, Put, | |||||
9/18/20 @ $82.00 | 266 | 2,271 | (17) | ||
iShares iBoxx High Yield Corporate Bond ETF, Put, | |||||
10/16/20 @ $82.00 | 117 | 999 | (13) | ||
S&P 500 Index, Call, 8/21/20 @ $3,250.00 | 5 | 1,636 | (34) | ||
S&P 500 Index, Call, 9/18/20 @ $3,400.00 | 3 | 981 | (9) | ||
S&P 500 Index, Call, 10/16/20 @ $3,425.00 | 5 | 1,636 | (25) | ||
S&P 500 Index, Put, 8/21/20 @ $2,800.00 | 5 | 1,636 | (2) | ||
S&P 500 Index, Put, 9/18/20 @ $2,900.00 | 3 | 981 | (8) | ||
S&P 500 Index, Put, 9/18/20 @ $2,800.00 | 7 | 2,290 | (12) | ||
S&P 500 Index, Put, 10/16/20 @ $2,875.00 | 5 | 1,636 | (23) | ||
U.S. Treasury Long Bond futures contracts, Call, | |||||
9/25/20 @ $185.00 | 10 | 1,801 | (9) | ||
U.S. Treasury Long Bond futures contracts, Put, | |||||
9/25/20 @ $175.00 | 10 | 1,801 | (7) | ||
Total Options Written (Premiums $(223)) | $ | (159) |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | |||||||
SWAPS 0.3% | |||||||
Upfront | |||||||
Notional | Payments/ | Unrealized | |||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | |||
BILATERAL SWAPS 0.3% | |||||||
Credit Default Swaps, Protection Bought (0.0)% | |||||||
Sweden (0.0)% | |||||||
Goldman Sachs, Protection Bought (Relevant | |||||||
Credit: Stena, 7.00% 2/1/24), Pay 5.00% | |||||||
Quarterly, Receive upon credit default, 6/20/21 | |||||||
(EUR) | 100 | (1 | ) | (1 | ) | — | |
Total Sweden | (1 | ) | — | ||||
Total Bilateral Credit Default Swaps, Protection Bought | (1 | ) | — | ||||
Total Return Swaps 0.3% | |||||||
Australia (0.0)% | |||||||
UBS Securities, Receive Underlying Reference: | |||||||
ALS Monthly, Pay Variable 0.49% (1M ADBB + | |||||||
0.40%) Monthly, 1/19/22 | 87 | (2 | ) | — | (2 | ) | |
Total Australia | — | (2 | ) | ||||
Austria (0.0)% | |||||||
UBS Securities, Receive Underlying Reference: | |||||||
Erste Group Bank Monthly, Pay Variable | |||||||
(0.163)% (1M EURIBOR + 0.35%) Monthly, | |||||||
1/19/22 | 74 | (15 | ) | — | (15 | ) | |
Total Austria | — | (15 | ) | ||||
Belgium (0.0)% | |||||||
Goldman Sachs, Receive Underlying Reference: | |||||||
Umicore Monthly, Pay Variable (0.113)% (1M | |||||||
EURIBOR + 0.40%) Monthly, 1/20/22 | 58 | (4 | ) | — | (4 | ) |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Groupe Bruxelles Lambert Monthly, Pay Variable | ||||||
0.037% (1M EURIBOR + 0.55%) Monthly, | ||||||
1/19/22 | 254 | (10 | ) | — | (10 | ) |
Total Belgium | — | (14 | ) | |||
Bermuda (0.0)% | ||||||
Goldman Sachs, Receive Underlying Reference: | ||||||
Credicorp Monthly, Pay Variable 0.576% (1M | ||||||
USD LIBOR + 0.40%) Monthly, 1/20/22 | 26 | (1 | ) | — | (1 | ) |
Goldman Sachs, Receive Underlying Reference: | ||||||
Credicorp Monthly, Pay Variable 0.581% (1M | ||||||
USD LIBOR + 0.40%) Monthly, 1/20/22 | 104 | (2 | ) | — | (2 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Marvell Technology Group Monthly, Pay Variable | ||||||
0.481% (1M USD LIBOR + 0.30%) Monthly, | ||||||
1/20/22 | 90 | (2 | ) | — | (2 | ) |
Total Bermuda | — | (5 | ) | |||
Brazil 0.0% | ||||||
Morgan Stanley, Receive Underlying Reference: | ||||||
Magazine Luiza Monthly, Pay Variable 0.631% | ||||||
(1M USD LIBOR + 0.45%) Monthly, 1/20/22 | 213 | 4 | — | 4 | ||
Total Brazil | — | 4 | ||||
Canada 0.0% | ||||||
Citibank, Receive Underlying Reference: Sprott | ||||||
Physical Gold and Silver Trust Monthly, Pay | ||||||
Variable 0.481% (1M CAD CDOR + 0.30%) | ||||||
Monthly, 1/20/22 | 26 | 3 | — | 3 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Enbridge Monthly, Pay Variable 0.481% (1M CAD | ||||||
CDOR + 0.30%) Monthly, 1/20/22 | 217 | 7 | — | 7 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
ERO Monthly, Pay Variable 1.063% (1M CAD | ||||||
CDOR + 0.55%) Monthly, 1/19/22 | 273 | (18 | ) | — | (18 | ) |
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
ERO Monthly, Pay Variable 1.063% (1M CAD | ||||||
CDOR + 0.55%) Monthly, 1/20/22 | 35 | (2 | ) | — | (2 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Franco-Nevada Monthly, Pay Variable 0.481% | ||||||
(1M CAD CDOR + 0.30%) Monthly, 1/20/22 | 223 | 17 | — | 17 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Magna International Monthly, Pay Variable | ||||||
0.481% (1M CAD CDOR + 0.30%) Monthly, | ||||||
1/20/22 | 248 | (5 | ) | — | (5 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Sprott Physical Gold and Silver Trust Monthly, | ||||||
Pay Variable 0.481% (1M CAD CDOR + 0.30%) | ||||||
Monthly, 1/20/22 | 78 | 9 | — | 9 | ||
Total Canada | — | 11 | ||||
Cayman Islands 0.0% | ||||||
Morgan Stanley, Pay Underlying Reference: | ||||||
Alibaba Group Holding Monthly, Receive | ||||||
Variable (0.128)% (1M USD LIBOR + (0.30)%) | ||||||
Monthly, 1/20/22 | 59 | — | — | — | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Alibaba Group Holding Monthly, Receive | ||||||
Variable (0.124)% (1M USD LIBOR + (0.30)%) | ||||||
Monthly, 1/20/22 | 119 | 2 | — | 2 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Sogou Monthly, Receive Variable (3.539)% (1M | ||||||
USD LIBOR + (3.70)%) Monthly, 1/20/22 | 60 | (1 | ) | — | (1 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Sogou Monthly, Receive Variable (3.533)% (1M | ||||||
USD LIBOR + (3.70)%) Monthly, 1/20/22 | 60 | (1 | ) | — | (1 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
58.com Monthly, Pay Variable 0.476% (1M USD | ||||||
LIBOR + 0.30%) Monthly, 1/20/22 | 122 | — | — | — | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
58.com Monthly, Pay Variable 0.481% (1M USD | ||||||
LIBOR + 0.30%) Monthly, 1/20/22 | 488 | 1 | — | 1 | ||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Renrui Human Resources Technology Holdings | ||||||
Monthly, Pay Variable 0.844% (1M HKD HIBOR + | ||||||
0.55%) Monthly, 1/19/22 | 171 | 5 | — | 5 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Sohu. com Monthly, Pay Variable 0.461% (1M | ||||||
USD LIBOR + 0.30%) Monthly, 1/20/22 | 39 | 10 | — | 10 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Sohu. com Monthly, Pay Variable 0.467% (1M | ||||||
USD LIBOR + 0.30%) Monthly, 1/20/22 | 36 | 13 | — | 13 | ||
Total Cayman Islands | — | 29 | ||||
Chile 0.0% | ||||||
Goldman Sachs, Receive Underlying Reference: | ||||||
Banco Santander Chile Monthly, Pay Variable | ||||||
0.576% (1M USD LIBOR + 0.40%) Monthly, | ||||||
1/20/22 | 25 | 1 | — | 1 | ||
Goldman Sachs, Receive Underlying Reference: | ||||||
Banco Santander Chile Monthly, Pay Variable | ||||||
0.581% (1M USD LIBOR + 0.40%) Monthly, | ||||||
1/20/22 | 118 | 1 | — | 1 | ||
Total Chile | — | 2 | ||||
China (0.0)% | ||||||
UBS Securities, Receive Underlying Reference: | ||||||
BTG Hotels Group, Class A Monthly, Pay | ||||||
Variable 3.032% (1M CNH HIBOR + 0.75%) | ||||||
Monthly, 1/20/22 | 1,132 | (10 | ) | — | (10 | ) |
UBS Securities, Receive Underlying Reference: | ||||||
Deppon Logistics, Class A Monthly, Pay Variable | ||||||
2.388% (1M CNH HIBOR + 0.00%) Monthly, | ||||||
1/20/22 | 735 | (4 | ) | — | (4 | ) |
Total China | — | (14 | ) |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Curacao (0.0)% | ||||||
Morgan Stanley, Receive Underlying Reference: | ||||||
Schlumberger Monthly, Pay Variable 0.481% (1M | ||||||
USD LIBOR + 0.30%) Monthly, 1/20/22 | 81 | (3 | ) | — | (3 | ) |
Total Curacao | — | (3 | ) | |||
Denmark (0.0)% | ||||||
Citibank, Pay Underlying Reference: Vestas Wind | ||||||
Systems Monthly, Receive Variable (0.613)% (1M | ||||||
DKK CIBOR + (0.35)%) Monthly, 1/20/22 | 783 | (5 | ) | — | (5 | ) |
Goldman Sachs, Pay Underlying Reference: AP | ||||||
Moller - Maersk, Class B Monthly, Receive | ||||||
Variable (0.663)% (1M DKK CIBOR + (0.40)%) | ||||||
Monthly, 1/19/22 | 184 | 1 | — | 1 | ||
Goldman Sachs, Pay Underlying Reference: AP | ||||||
Moller - Maersk, Class B Monthly, Receive | ||||||
Variable (0.663)% (1M DKK CIBOR + (0.40)%) | ||||||
Monthly, 1/20/22 | 368 | 2 | — | 2 | ||
JPMorgan Chase, Receive Underlying | ||||||
Reference: Ascendis Pharma Monthly, Pay | ||||||
Variable 0.531% (1M USD LIBOR + 0.35%) | ||||||
Monthly, 1/20/22 | 98 | (1 | ) | — | (1 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Coloplast, Class B Monthly, Receive Variable | ||||||
(0.663)% (1M DKK CIBOR + (0.40)%) Monthly, | ||||||
1/20/22 | 1,361 | (2 | ) | — | (2 | ) |
Morgan Stanley, Pay Underlying Reference: GN | ||||||
Store Nord Monthly, Receive Variable (0.663)% | ||||||
(1M DKK CIBOR + (0.40)%) Monthly, 1/19/22 | 1,219 | (1 | ) | — | (1 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Vestas Wind Systems Monthly, Receive Variable | ||||||
(0.663)% (1M DKK CIBOR + (0.40)%) Monthly, | ||||||
1/19/22 | 374 | (2 | ) | — | (2 | ) |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND | ||||||
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Vestas Wind Systems Monthly, Receive Variable | ||||||
(0.663)% (1M DKK CIBOR + (0.40)%) Monthly, | ||||||
1/20/22 | 986 | (6 | ) | — | (6 | ) |
UBS Securities, Pay Underlying Reference: | ||||||
Vestas Wind Systems Monthly, Receive Variable | ||||||
(0.663)% (1M DKK CIBOR + (0.40)%) Monthly, | ||||||
1/20/22 | 649 | (4 | ) | — | (4 | ) |
UBS Securities, Receive Underlying Reference: | ||||||
Novo Nordisk, Class B Monthly, Pay Variable | ||||||
0.137% (1M DKK CIBOR + 0.40%) Monthly, | ||||||
1/19/22 | 1,170 | (7 | ) | — | (7 | ) |
Total Denmark | — | (25 | ) | |||
Finland (0.0)% | ||||||
JPMorgan Chase, Receive Underlying | ||||||
Reference: Metso Outotec Monthly, Pay Variable | ||||||
(0.163)% (1M EURIBOR + 0.35%) Monthly, | ||||||
1/19/22 | 102 | 21 | — | 21 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Nokia Monthly, Receive Variable (0.913)% (1M | ||||||
EURIBOR + (0.40)%) Monthly, 1/19/22 | 71 | (6 | ) | — | (6 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Stora Enso, R Shares Monthly, Pay Variable | ||||||
(0.113)% (1M EURIBOR + 0.40%) Monthly, | ||||||
1/19/22 | 65 | — | — | — | ||
UBS Securities, Receive Underlying Reference: | ||||||
Sampo, A Shares Monthly, Pay Variable (0.163)% | ||||||
(1M EURIBOR + 0.35%) Monthly, 1/19/22 | 177 | (17 | ) | — | (17 | ) |
Total Finland | — | (2 | ) | |||
France 0.1% | ||||||
Citibank, Pay Underlying Reference: Dassault | ||||||
Systemes Monthly, Receive Variable (0.863)% | ||||||
(1M EURIBOR + (0.35)%) Monthly, 1/19/22 | 108 | (1 | ) | — | (1 | ) |
Citibank, Pay Underlying Reference: Klepierre | ||||||
Monthly, Receive Variable (0.863)% (1M | ||||||
EURIBOR + (0.35)%) Monthly, 1/19/22 | 45 | 6 | — | 6 | ||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Citibank, Pay Underlying Reference: Natixis | ||||||
Monthly, Receive Variable (0.863)% (1M | ||||||
EURIBOR + (0.35)%) Monthly, 1/19/22 | 45 | 8 | — | 8 | ||
Citibank, Pay Underlying Reference: Natixis | ||||||
Monthly, Receive Variable (0.863)% (1M | ||||||
EURIBOR + (0.35)%) Monthly, 1/20/22 | 28 | 5 | — | 5 | ||
Citibank, Receive Underlying Reference: AXA | ||||||
Monthly, Pay Variable (0.163)% (1M EURIBOR + | ||||||
0.35%) Monthly, 1/19/22 | 74 | (8 | ) | — | (8 | ) |
Citibank, Receive Underlying Reference: AXA | ||||||
Monthly, Pay Variable (0.163)% (1M EURIBOR + | ||||||
0.35%) Monthly, 1/20/22 | 183 | (20 | ) | — | (20 | ) |
Citibank, Receive Underlying Reference: Engie | ||||||
Monthly, Pay Variable (0.163)% (1M EURIBOR + | ||||||
0.35%) Monthly, 1/19/22 | 70 | 1 | — | 1 | ||
Citibank, Receive Underlying Reference: | ||||||
Sartorius Stedim Biotech Monthly, Pay Variable | ||||||
(0.163)% (1M EURIBOR + 0.35%) Monthly, | ||||||
1/20/22 | 73 | 8 | — | 8 | ||
Goldman Sachs, Receive Underlying Reference: | ||||||
Safran Monthly, Pay Variable (0.113)% (1M | ||||||
EURIBOR + 0.40%) Monthly, 1/19/22 | 136 | (10 | ) | — | (10 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Arkema Monthly, Receive Variable (0.913)% (1M | ||||||
EURIBOR + (0.40)%) Monthly, 1/20/22 | 177 | 10 | — | 10 | ||
Morgan Stanley, Pay Underlying Reference: BNP | ||||||
Paribas Monthly, Receive Variable (0.913)% (1M | ||||||
EURIBOR + (0.40)%) Monthly, 1/19/22 | 223 | 30 | — | 30 | ||
Morgan Stanley, Pay Underlying Reference: Cie | ||||||
de Saint-Gobain Monthly, Receive Variable | ||||||
(0.913)% (1M EURIBOR + (0.40)%) Monthly, | ||||||
1/19/22 | 40 | 3 | — | 3 | ||
Morgan Stanley, Pay Underlying Reference: Cie | ||||||
de Saint-Gobain Monthly, Receive Variable | ||||||
(0.913)% (1M EURIBOR + (0.40)%) Monthly, | ||||||
1/20/22 | 133 | 8 | — | 8 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Kering Monthly, Receive Variable (0.915)% (1M | ||||||
EURIBOR + (0.40)%) Monthly, 1/19/22 | 50 | — | — | — | ||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Kering Monthly, Receive Variable (0.913)% (1M | ||||||
EURIBOR + (0.40)%) Monthly, 1/19/22 | 73 | 7 | — | 7 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Klepierre Monthly, Receive Variable (0.913)% | ||||||
(1M EURIBOR + (0.40)%) Monthly, 1/19/22 | 34 | 5 | — | 5 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Unibail-Rodamco-Westfield Monthly, Receive | ||||||
Variable (3.603)% (1M EURIBOR + (3.09)%) | ||||||
Monthly, 1/19/22 | 81 | 13 | — | 13 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Valeo Monthly, Pay Variable 0.037% (1M | ||||||
EURIBOR + 0.55%) Monthly, 1/19/22 | 111 | (13 | ) | — | (13 | ) |
UBS Securities, Pay Underlying Reference: | ||||||
LVMH Moet Hennessy Louis Vuitton Monthly, | ||||||
Receive Variable (0.913)% (1M EURIBOR + | ||||||
(0.40)%) Monthly, 1/20/22 | 112 | 14 | — | 14 | ||
UBS Securities, Receive Underlying Reference: | ||||||
Sanofi Monthly, Pay Variable (0.163)% (1M | ||||||
EURIBOR + 0.35%) Monthly, 1/19/22 | 216 | (14 | ) | — | (14 | ) |
Total France | — | 52 | ||||
Germany 0.1% | ||||||
Citibank, Pay Underlying Reference: Allianz | ||||||
Monthly, Receive Variable (0.863)% (1M | ||||||
EURIBOR + (0.35)%) Monthly, 1/19/22 | 96 | 7 | — | 7 | ||
Citibank, Pay Underlying Reference: Deutsche | ||||||
Bank Monthly, Receive Variable (0.863)% (1M | ||||||
EURIBOR + (0.35)%) Monthly, 1/19/22 | 159 | 27 | — | 27 | ||
Citibank, Pay Underlying Reference: HelloFresh | ||||||
Monthly, Receive Variable (0.856)% (1M | ||||||
EURIBOR + (0.35)%) Monthly, 1/19/22 | 64 | 1 | — | 1 | ||
Citibank, Receive Underlying Reference: Infineon | ||||||
Technologies Monthly, Pay Variable (0.163)% | ||||||
(1M EURIBOR + 0.35%) Monthly, 1/19/22 | 126 | (9 | ) | — | (9 | ) |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Citibank, Receive Underlying Reference: KION | ||||||
Group Monthly, Pay Variable (0.163)% (1M | ||||||
EURIBOR + 0.35%) Monthly, 1/19/22 | 102 | (6 | ) | — | (6 | ) |
Goldman Sachs, Pay Underlying Reference: | ||||||
Deutsche Telekom Monthly, Receive Variable | ||||||
(0.913)% (1M EURIBOR + (0.40)%) Monthly, | ||||||
1/20/22 | 71 | 6 | — | 6 | ||
Goldman Sachs, Pay Underlying Reference: | ||||||
Merck Monthly, Receive Variable (0.913)% (1M | ||||||
EURIBOR + (0.40)%) Monthly, 1/20/22 | 223 | 13 | — | 13 | ||
Goldman Sachs, Pay Underlying Reference: | ||||||
Vonovia Monthly, Receive Variable (0.913)% (1M | ||||||
EURIBOR + (0.40)%) Monthly, 1/20/22 | 136 | — | — | — | ||
Goldman Sachs, Receive Underlying Reference: | ||||||
Brenntag Monthly, Pay Variable (0.113)% (1M | ||||||
EURIBOR + 0.40%) Monthly, 1/20/22 | 128 | 4 | — | 4 | ||
Goldman Sachs, Receive Underlying Reference: | ||||||
Muenchener Rueckversicherungs-Gesellschaft | ||||||
Monthly, Pay Variable (0.113)% (1M EURIBOR + | ||||||
0.40%) Monthly, 1/19/22 | 252 | (16 | ) | — | (16 | ) |
JPMorgan Chase, Pay Underlying Reference: | ||||||
Volkswagen Monthly, Receive Variable (0.863)% | ||||||
(1M EURIBOR + (0.35)%) Monthly, 1/19/22 | 290 | 37 | — | 37 | ||
JPMorgan Chase, Receive Underlying | ||||||
Reference: Porsche Automobil Holding Monthly, | ||||||
Pay Variable (0.163)% (1M EURIBOR + 0.35%) | ||||||
Monthly, 1/19/22 | 206 | (28 | ) | — | (28 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Bayerische Motoren Werke Monthly, Receive | ||||||
Variable (0.913)% (1M EURIBOR + (0.40)%) | ||||||
Monthly, 1/19/22 | 245 | 19 | — | 19 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Deutsche Post Monthly, Receive Variable | ||||||
(0.913)% (1M EURIBOR + (0.40)%) Monthly, | ||||||
1/19/22 | 39 | 1 | — | 1 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Deutsche Post Monthly, Receive Variable | ||||||
(0.913)% (1M EURIBOR + (0.40)%) Monthly, | ||||||
1/20/22 | 198 | 3 | — | 3 | ||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Deutsche Telekom Monthly, Receive Variable | ||||||
(0.913)% (1M EURIBOR + (0.40)%) Monthly, | ||||||
1/19/22 | 46 | 3 | — | 3 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Deutsche Telekom Monthly, Receive Variable | ||||||
(0.913)% (1M EURIBOR + (0.40)%) Monthly, | ||||||
1/20/22 | 146 | 11 | — | 11 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Fresenius Medical Care Monthly, Receive | ||||||
Variable (0.913)% (1M EURIBOR + (0.40)%) | ||||||
Monthly, 1/19/22 | 26 | — | — | — | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Hannover Rueck Monthly, Receive Variable | ||||||
(0.913)% (1M EURIBOR + (0.40)%) Monthly, | ||||||
1/20/22 | 80 | 8 | — | 8 | ||
Morgan Stanley, Pay Underlying Reference: MTU | ||||||
Aero Engines Monthly, Receive Variable | ||||||
(0.913)% (1M EURIBOR + (0.40)%) Monthly, | ||||||
1/19/22 | 113 | 12 | — | 12 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Covestro Monthly, Pay Variable 0.037% (1M | ||||||
EURIBOR + 0.55%) Monthly, 1/19/22 | 122 | (12 | ) | — | (12 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Deutsche Boerse Monthly, Pay Variable 0.037% | ||||||
(1M EURIBOR + 0.55%) Monthly, 1/19/22 | 225 | (15 | ) | — | (15 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Infineon Technologies Monthly, Pay Variable | ||||||
0.037% (1M EURIBOR + 0.55%) Monthly, | ||||||
1/19/22 | 108 | (7 | ) | — | (7 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Sartorius Monthly, Pay Variable 0.037% (1M | ||||||
EURIBOR + 0.55%) Monthly, 1/20/22 | 62 | 4 | — | 4 | ||
UBS Securities, Pay Underlying Reference: | ||||||
Fresenius Medical Care Monthly, Receive | ||||||
Variable (0.913)% (1M EURIBOR + (0.40)%) | ||||||
Monthly, 1/20/22 | 42 | — | — | — | ||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
UBS Securities, Pay Underlying Reference: | ||||||
Hannover Rueck Monthly, Receive Variable | ||||||
(0.913)% (1M EURIBOR + (0.40)%) Monthly, | ||||||
1/19/22 | 14 | 1 | — | 1 | ||
UBS Securities, Pay Underlying Reference: | ||||||
Hannover Rueck Monthly, Receive Variable | ||||||
(0.913)% (1M EURIBOR + (0.40)%) Monthly, | ||||||
1/20/22 | 145 | 15 | — | 15 | ||
UBS Securities, Pay Underlying Reference: | ||||||
Siemens Healthineers Monthly, Receive Variable | ||||||
(0.913)% (1M EURIBOR + (0.40)%) Monthly, | ||||||
1/20/22 | 68 | (1 | ) | — | (1 | ) |
UBS Securities, Receive Underlying Reference: | ||||||
Bayer Monthly, Pay Variable (0.163)% (1M | ||||||
EURIBOR + 0.35%) Monthly, 1/19/22 | 172 | (25 | ) | — | (25 | ) |
UBS Securities, Receive Underlying Reference: | ||||||
Daimler Monthly, Pay Variable (0.163)% (1M | ||||||
EURIBOR + 0.35%) Monthly, 1/19/22 | 85 | (1 | ) | — | (1 | ) |
UBS Securities, Receive Underlying Reference: | ||||||
Daimler Monthly, Pay Variable (0.163)% (1M | ||||||
EURIBOR + 0.35%) Monthly, 1/20/22 | 26 | — | — | — | ||
UBS Securities, Receive Underlying Reference: | ||||||
Telefonica Deutschland Holding Monthly, Pay | ||||||
Variable (0.163)% (1M EURIBOR + 0.35%) | ||||||
Monthly, 1/19/22 | 70 | (7 | ) | — | (7 | ) |
UBS Securities, Receive Underlying Reference: | ||||||
Telefonica Deutschland Holding Monthly, Pay | ||||||
Variable (0.163)% (1M EURIBOR + 0.35%) | ||||||
Monthly, 1/20/22 | 13 | (1 | ) | — | (1 | ) |
Total Germany | — | 44 | ||||
Hong Kong (0.0)% | ||||||
Morgan Stanley, Receive Underlying Reference: | ||||||
Galaxy Entertainment Group Monthly, Pay | ||||||
Variable 0.844% (1M HKD HIBOR + 0.55%) | ||||||
Monthly, 1/19/22 | 488 | (2 | ) | — | (2 | ) |
Total Hong Kong | — | (2 | ) | |||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Ireland 0.1% | ||||||
Bank of America, Pay Underlying Reference: | ||||||
Pentair Monthly, Receive Variable (0.219)% (1M | ||||||
USD LIBOR + (0.40)%) Monthly, 1/20/22 | 127 | (2 | ) | — | (2 | ) |
JPMorgan Chase, Receive Underlying | ||||||
Reference: Linde Monthly, Pay Variable 0.481% | ||||||
(1M USD LIBOR + 0.30%) Monthly, 1/20/22 | 114 | 3 | — | 3 | ||
Morgan Stanley, Pay Underlying Reference: Aon, | ||||||
Class A Monthly, Receive Variable (0.119)% (1M | ||||||
USD LIBOR + (0.30)%) Monthly, 1/20/22 | 218 | (5 | ) | — | (5 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Seagate Technology Monthly, Receive Variable | ||||||
(0.119)% (1M USD LIBOR + (0.30)%) Monthly, | ||||||
1/20/22 | 323 | 20 | — | 20 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Johnson Controls International Monthly, Pay | ||||||
Variable 0.481% (1M USD LIBOR + 0.30%) | ||||||
Monthly, 1/20/22 | 223 | 12 | — | 12 | ||
UBS Securities, Pay Underlying Reference: CRH | ||||||
Monthly, Receive Variable (0.334)% (1M GBP | ||||||
LIBOR + (0.40)%) Monthly, 1/20/22 | 139 | 15 | — | 15 | ||
Total Ireland | — | 43 | ||||
Israel 0.0% | ||||||
Morgan Stanley, Receive Underlying Reference: | ||||||
Wix.com Monthly, Pay Variable 0.481% (1M USD | ||||||
LIBOR + 0.30%) Monthly, 1/20/22 | 219 | 13 | — | 13 | ||
Total Israel | — | 13 | ||||
Italy 0.0% | ||||||
JPMorgan Chase, Receive Underlying | ||||||
Reference: DiaSorin Monthly, Pay Variable | ||||||
(0.163)% (1M EURIBOR + 0.35%) Monthly, | ||||||
1/19/22 | 109 | (7 | ) | — | (7 | ) |
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Telecom Italia Monthly, Receive Variable | ||||||
(0.913)% (1M EURIBOR + (0.40)%) Monthly, | ||||||
1/19/22 | 40 | 4 | — | 4 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Telecom Italia Monthly, Receive Variable | ||||||
(0.913)% (1M EURIBOR + (0.40)%) Monthly, | ||||||
1/20/22 | 26 | 3 | — | 3 | ||
Total Italy | — | — | ||||
Japan (0.3)% | ||||||
Citibank, Pay Underlying Reference: Ajinomoto | ||||||
Monthly, Receive Variable (0.474)% (1M JPY | ||||||
LIBOR + (0.40)%) Monthly, 1/20/22 | 6,183 | (5 | ) | — | (5 | ) |
Citibank, Pay Underlying Reference: Calbee | ||||||
Monthly, Receive Variable (0.474)% (1M JPY | ||||||
LIBOR + (0.40)%) Monthly, 1/20/22 | 7,107 | (6 | ) | — | (6 | ) |
Citibank, Pay Underlying Reference: Kakaku. com | ||||||
Monthly, Receive Variable (0.474)% (1M JPY | ||||||
LIBOR + (0.40)%) Monthly, 1/20/22 | 5,248 | 4 | — | 4 | ||
Citibank, Pay Underlying Reference: Sysmex | ||||||
Monthly, Receive Variable (0.474)% (1M JPY | ||||||
LIBOR + (0.40)%) Monthly, 1/20/22 | 8,817 | (1 | ) | — | (1 | ) |
Citibank, Receive Underlying Reference: | ||||||
Keyence Monthly, Pay Variable 0.326% (1M JPY | ||||||
LIBOR + 0.40%) Monthly, 1/19/22 | 9,170 | (3 | ) | — | (3 | ) |
Citibank, Receive Underlying Reference: | ||||||
Keyence Monthly, Pay Variable 0.326% (1M JPY | ||||||
LIBOR + 0.40%) Monthly, 1/20/22 | 9,170 | (3 | ) | — | (3 | ) |
Citibank, Receive Underlying Reference: Mitsui | ||||||
Fudosan Monthly, Pay Variable 0.326% (1M JPY | ||||||
LIBOR + 0.40%) Monthly, 1/19/22 | 11,340 | (14 | ) | — | (14 | ) |
Citibank, Receive Underlying Reference: | ||||||
Sumitomo Metal Mining Monthly, Pay Variable | ||||||
0.326% (1M JPY LIBOR + 0.40%) Monthly, | ||||||
1/20/22 | 6,019 | (4 | ) | — | (4 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Ajinomoto Monthly, Receive Variable (0.474)% | ||||||
(1M JPY LIBOR + (0.40)%) Monthly, 1/19/22 | 6,183 | (5 | ) | — | (5 | ) |
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Calbee Monthly, Receive Variable (0.474)% (1M | ||||||
JPY LIBOR + (0.40)%) Monthly, 1/19/22 | 5,253 | (4 | ) | — | (4 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Canon Monthly, Receive Variable (0.474)% (1M | ||||||
JPY LIBOR + (0.40)%) Monthly, 1/19/22 | 4,971 | 10 | — | 10 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Canon Monthly, Receive Variable (0.474)% (1M | ||||||
JPY LIBOR + (0.40)%) Monthly, 1/20/22 | 3,891 | 8 | — | 8 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Daifuku Monthly, Receive Variable (0.474)% (1M | ||||||
JPY LIBOR + (0.40)%) Monthly, 1/20/22 | 19,399 | 13 | — | 13 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Daikin Industries Monthly, Receive Variable | ||||||
(0.474)% (1M JPY LIBOR + (0.40)%) Monthly, | ||||||
1/19/22 | 11,499 | 4 | — | 4 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Honda Motor Monthly, Receive Variable | ||||||
(0.474)% (1M JPY LIBOR + (0.40)%) Monthly, | ||||||
1/20/22 | 33,577 | 35 | — | 35 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Japan Post Holdings Monthly, Receive Variable | ||||||
(0.474)% (1M JPY LIBOR + (0.40)%) Monthly, | ||||||
1/19/22 | 17,875 | 14 | — | 14 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Kakaku. com Monthly, Receive Variable (0.474)% | ||||||
(1M JPY LIBOR + (0.40)%) Monthly, 1/19/22 | 3,591 | 3 | — | 3 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Kubota Monthly, Receive Variable (0.474)% (1M | ||||||
JPY LIBOR + (0.40)%) Monthly, 1/19/22 | 8,544 | 5 | — | 5 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Kyocera Monthly, Receive Variable (0.474)% (1M | ||||||
JPY LIBOR + (0.40)%) Monthly, 1/19/22 | 27,735 | 2 | — | 2 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Lasertec Monthly, Receive Variable (0.474)% (1M | ||||||
JPY LIBOR + (0.40)%) Monthly, 1/19/22 | 10,890 | 16 | — | 16 | ||
Morgan Stanley, Pay Underlying Reference: NEC | ||||||
Monthly, Receive Variable (0.474)% (1M JPY | ||||||
LIBOR + (0.40)%) Monthly, 1/19/22 | 17,546 | (7 | ) | — | (7 | ) |
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) ) | $ Gain/(Loss) | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Nidec Monthly, Receive Variable (0.474)% (1M | ||||||
JPY LIBOR + (0.40)%) Monthly, 1/19/22 | 16,859 | (23 | ) | — | (23 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Nihon M&A Center Monthly, Receive Variable | ||||||
(0.474)% (1M JPY LIBOR + (0.40)%) Monthly, | ||||||
1/19/22 | 6,539 | (1 | ) | — | (1 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Nitori Holdings Monthly, Receive Variable | ||||||
(0.474)% (1M JPY LIBOR + (0.40)%) Monthly, | ||||||
1/19/22 | 9,040 | (2 | ) | — | (2 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Sega Sammy Holdings Monthly, Receive | ||||||
Variable (0.474)% (1M JPY LIBOR + (0.40)%) | ||||||
Monthly, 1/19/22 | 9,925 | 7 | — | 7 | ||
Morgan Stanley, Pay Underlying Reference: SG | ||||||
Holdings Monthly, Receive Variable (0.474)% | ||||||
(1M JPY LIBOR + (0.40)%) Monthly, 1/19/22 | 7,550 | (2 | ) | — | (2 | ) |
Morgan Stanley, Pay Underlying Reference: SG | ||||||
Holdings Monthly, Receive Variable (0.474)% | ||||||
(1M JPY LIBOR + (0.40)%) Monthly, 1/20/22 | 7,928 | (2 | ) | — | (2 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Shimano Monthly, Receive Variable (0.474)% | ||||||
(1M JPY LIBOR + (0.40)%) Monthly, 1/19/22 | 12,852 | (9 | ) | — | (9 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Shiseido Monthly, Receive Variable (0.474)% (1M | ||||||
JPY LIBOR + (0.40)%) Monthly, 1/19/22 | 21,065 | 27 | — | 27 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
SUMCO Monthly, Receive Variable (0.474)% (1M | ||||||
JPY LIBOR + (0.40)%) Monthly, 1/20/22 | 5,386 | — | — | — | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Sysmex Monthly, Receive Variable (0.474)% (1M | ||||||
JPY LIBOR + (0.40)%) Monthly, 1/20/22 | 3,206 | — | — | — | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Asahi Group Holdings Monthly, Pay Variable | ||||||
0.476% (1M JPY LIBOR + 0.55%) Monthly, | ||||||
1/19/22 | 8,581 | (6 | ) | — | (6 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Asics Monthly, Pay Variable 0.476% (1M JPY | ||||||
LIBOR + 0.55%) Monthly, 1/19/22 | 7,131 | (4 | ) | — | (4 | ) |
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Astellas Pharma Monthly, Pay Variable 0.476% | ||||||
(1M JPY LIBOR + 0.55%) Monthly, 1/19/22 | 8,446 | (5 | ) | — | (5 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Bridgestone Monthly, Pay Variable 0.476% (1M | ||||||
JPY LIBOR + 0.55%) Monthly, 1/19/22 | 30,693 | (30 | ) | — | (30 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Denso Monthly, Pay Variable 0.476% (1M JPY | ||||||
LIBOR + 0.55%) Monthly, 1/20/22 | 30,072 | (28 | ) | — | (28 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Fancl Monthly, Pay Variable 0.476% (1M JPY | ||||||
LIBOR + 0.55%) Monthly, 1/19/22 | 9,353 | (6 | ) | — | (6 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Fast Retailing Monthly, Pay Variable 0.476% (1M | ||||||
JPY LIBOR + 0.55%) Monthly, 1/19/22 | 11,946 | (7 | ) | — | (7 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Hitachi Metals Monthly, Pay Variable 0.476% (1M | ||||||
JPY LIBOR + 0.55%) Monthly, 1/19/22 | 8,762 | 2 | — | 2 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Keyence Monthly, Pay Variable 0.476% (1M JPY | ||||||
LIBOR + 0.55%) Monthly, 1/19/22 | 4,585 | (2 | ) | — | (2 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Keyence Monthly, Pay Variable 0.476% (1M JPY | ||||||
LIBOR + 0.55%) Monthly, 1/20/22 | 9,170 | (3 | ) | — | (3 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Kusuri no Aoki Holdings Monthly, Pay Variable | ||||||
0.476% (1M JPY LIBOR + 0.55%) Monthly, | ||||||
1/19/22 | 16,080 | (3 | ) | — | (3 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Nippon Telegraph & Telephone Monthly, Pay | ||||||
Variable 0.476% (1M JPY LIBOR + 0.55%) | ||||||
Monthly, 1/19/22 | 33,547 | (16 | ) | — | (16 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Nissan Motor Monthly, Pay Variable 0.476% (1M | ||||||
JPY LIBOR + 0.55%) Monthly, 1/19/22 | 8,958 | (11 | ) | — | (11 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
ORIX Monthly, Pay Variable 0.476% (1M JPY | ||||||
LIBOR + 0.55%) Monthly, 1/20/22 | 8,977 | (11 | ) | — | (11 | ) |
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Pan Pacific International Holdings Monthly, Pay | ||||||
Variable 0.476% (1M JPY LIBOR + 0.55%) | ||||||
Monthly, 1/19/22 | 8,662 | — | — | — | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Panasonic Monthly, Pay Variable 0.476% (1M | ||||||
JPY LIBOR + 0.55%) Monthly, 1/20/22 | 8,003 | (8 | ) | — | (8 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Persol Holdings Monthly, Pay Variable 0.476% | ||||||
(1M JPY LIBOR + 0.55%) Monthly, 1/19/22 | 2,920 | (2 | ) | — | (2 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Recruit Holdings Monthly, Pay Variable 0.476% | ||||||
(1M JPY LIBOR + 0.55%) Monthly, 1/19/22 | 10,491 | (13 | ) | — | (13 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Seven & i Holdings Monthly, Pay Variable 0.476% | ||||||
(1M JPY LIBOR + 0.55%) Monthly, 1/19/22 | 14,200 | (13 | ) | — | (13 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
SMS Monthly, Pay Variable 0.476% (1M JPY | ||||||
LIBOR + 0.55%) Monthly, 1/19/22 | 7,188 | 6 | — | 6 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
SoftBank Group Monthly, Pay Variable 0.476% | ||||||
(1M USD LIBOR + 0.30%) Monthly, 1/20/22 | 119 | 8 | — | 8 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
SoftBank Group Monthly, Pay Variable 0.479% | ||||||
(1M USD LIBOR + 0.30%) Monthly, 1/20/22 | 62 | 2 | — | 2 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
SoftBank Monthly, Pay Variable 0.476% (1M JPY | ||||||
LIBOR + 0.55%) Monthly, 1/19/22 | 7,730 | (1 | ) | — | (1 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Sumitomo Electric Industries Monthly, Pay | ||||||
Variable 0.476% (1M JPY LIBOR + 0.55%) | ||||||
Monthly, 1/19/22 | 8,956 | (9 | ) | — | (9 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Suzuki Motor Monthly, Pay Variable 0.476% (1M | ||||||
JPY LIBOR + 0.55%) Monthly, 1/20/22 | 14,220 | (16 | ) | — | (16 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Taiyo Yuden Monthly, Pay Variable 0.476% (1M | ||||||
JPY LIBOR + 0.55%) Monthly, 1/19/22 | 8,575 | (3 | ) | — | (3 | ) |
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Tokyo Electron Monthly, Pay Variable 0.476% | ||||||
(1M JPY LIBOR + 0.55%) Monthly, 1/19/22 | 17,512 | (2 | ) | — | (2 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Tokyo Tatemono Monthly, Pay Variable 0.476% | ||||||
(1M JPY LIBOR + 0.55%) Monthly, 1/19/22 | 6,354 | (4 | ) | — | (4 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Unicharm Monthly, Pay Variable 0.476% (1M JPY | ||||||
LIBOR + 0.55%) Monthly, 1/19/22 | 22,588 | (2 | ) | — | (2 | ) |
UBS Securities, Pay Underlying Reference: | ||||||
Japan Tobacco Monthly, Receive Variable | ||||||
(0.474)% (1M JPY LIBOR + (0.40)%) Monthly, | ||||||
1/19/22 | 11,155 | 4 | — | 4 | ||
UBS Securities, Pay Underlying Reference: Kirin | ||||||
Holdings Monthly, Receive Variable (0.47)% (1M | ||||||
JPY LIBOR + (0.40)%) Monthly, 1/19/22 | 21,995 | 10 | — | 10 | ||
UBS Securities, Pay Underlying Reference: | ||||||
Kubota Monthly, Receive Variable (0.474)% (1M | ||||||
JPY LIBOR + (0.40)%) Monthly, 1/19/22 | 3,385 | 2 | — | 2 | ||
UBS Securities, Pay Underlying Reference: | ||||||
Nissan Chemical Monthly, Receive Variable | ||||||
(0.474)% (1M JPY LIBOR + (0.40)%) Monthly, | ||||||
1/19/22 | 15,606 | 6 | — | 6 | ||
UBS Securities, Pay Underlying Reference: | ||||||
Nomura Holdings Monthly, Receive Variable | ||||||
(0.474)% (1M JPY LIBOR + (0.40)%) Monthly, | ||||||
1/20/22 | 7,544 | 1 | — | 1 | ||
UBS Securities, Pay Underlying Reference: Ono | ||||||
Pharmaceutical Monthly, Receive Variable | ||||||
(0.474)% (1M JPY LIBOR + (0.40)%) Monthly, | ||||||
1/20/22 | 25,217 | 3 | — | 3 | ||
UBS Securities, Pay Underlying Reference: | ||||||
SUMCO Monthly, Receive Variable (0.474)% (1M | ||||||
JPY LIBOR + (0.40)%) Monthly, 1/20/22 | 12,403 | — | — | — | ||
UBS Securities, Pay Underlying Reference: | ||||||
Sumitomo Realty & Development Monthly, | ||||||
Receive Variable (0.474)% (1M JPY LIBOR + | ||||||
(0.40)%) Monthly, 1/19/22 | 8,310 | 5 | — | 5 | ||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
UBS Securities, Pay Underlying Reference: | ||||||
ZOZO Monthly, Receive Variable (0.474)% (1M | ||||||
JPY LIBOR + (0.40)%) Monthly, 1/19/22 | 13,000 | (10 | ) | — | (10 | ) |
UBS Securities, Receive Underlying Reference: | ||||||
Heiwa Real Estate Monthly, Pay Variable 0.276% | ||||||
(1M JPY LIBOR + 0.35%) Monthly, 1/19/22 | 12,474 | (16 | ) | — | (16 | ) |
UBS Securities, Receive Underlying Reference: | ||||||
Mercari Monthly, Pay Variable 0.276% (1M JPY | ||||||
LIBOR + 0.35%) Monthly, 1/19/22 | 11,381 | 5 | — | 5 | ||
UBS Securities, Receive Underlying Reference: | ||||||
Mitsui Fudosan Monthly, Pay Variable 0.276% | ||||||
(1M JPY LIBOR + 0.35%) Monthly, 1/19/22 | 17,766 | (22 | ) | — | (22 | ) |
UBS Securities, Receive Underlying Reference: | ||||||
NTT Data Monthly, Pay Variable 0.276% (1M JPY | ||||||
LIBOR + 0.35%) Monthly, 1/19/22 | 16,536 | (5 | ) | — | (5 | ) |
UBS Securities, Receive Underlying Reference: | ||||||
Persol Holdings Monthly, Pay Variable 0.276% | ||||||
(1M JPY LIBOR + 0.35%) Monthly, 1/19/22 | 10,512 | (8 | ) | — | (8 | ) |
UBS Securities, Receive Underlying Reference: | ||||||
Recruit Holdings Monthly, Pay Variable 0.276% | ||||||
(1M JPY LIBOR + 0.35%) Monthly, 1/19/22 | 2,998 | (4 | ) | — | (4 | ) |
UBS Securities, Receive Underlying Reference: | ||||||
Relo Group Monthly, Pay Variable 0.276% (1M | ||||||
JPY LIBOR + 0.35%) Monthly, 1/19/22 | 10,984 | (11 | ) | — | (11 | ) |
UBS Securities, Receive Underlying Reference: | ||||||
Seven & i Holdings Monthly, Pay Variable 0.276% | ||||||
(1M JPY LIBOR + 0.35%) Monthly, 1/19/22 | 5,680 | (5 | ) | — | (5 | ) |
UBS Securities, Receive Underlying Reference: | ||||||
Sumitomo Metal Mining Monthly, Pay Variable | ||||||
0.276% (1M JPY LIBOR + 0.35%) Monthly, | ||||||
1/19/22 | 3,678 | (2 | ) | — | (2 | ) |
UBS Securities, Receive Underlying Reference: | ||||||
Sumitomo Metal Mining Monthly, Pay Variable | ||||||
0.276% (1M JPY LIBOR + 0.35%) Monthly, | ||||||
1/20/22 | 1,672 | (1 | ) | — | (1 | ) |
UBS Securities, Receive Underlying Reference: | ||||||
Tokyo Tatemono Monthly, Pay Variable 0.276% | ||||||
(1M JPY LIBOR + 0.35%) Monthly, 1/19/22 | 14,664 | (9 | ) | — | (9 | ) |
Total Japan | — | (187 | ) | |||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Jersey 0.0% | ||||||
Citibank, Receive Underlying Reference: boohoo | ||||||
Group Monthly, Pay Variable 0.415% (1M GBP | ||||||
LIBOR + 0.35%) Monthly, 1/19/22 | 58 | 16 | — | 16 | ||
Citibank, Receive Underlying Reference: boohoo | ||||||
Group Monthly, Pay Variable 0.42% (1M GBP | ||||||
LIBOR + 0.35%) Monthly, 1/19/22 | 31 | 1 | — | 1 | ||
JPMorgan Chase, Receive Underlying | ||||||
Reference: boohoo Group Monthly, Pay Variable | ||||||
0.418% (1M GBP LIBOR + 0.35%) Monthly, | ||||||
1/19/22 | 64 | 2 | — | 2 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Experian Monthly, Receive Variable (0.334)% | ||||||
(1M GBP LIBOR + (0.40)%) Monthly, 1/19/22 | 64 | 5 | — | 5 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Ferguson Monthly, Receive Variable (0.334)% | ||||||
(1M GBP LIBOR + (0.40)%) Monthly, 1/19/22 | 173 | 3 | — | 3 | ||
Total Jersey | — | 27 | ||||
Luxembourg (0.0)% | ||||||
UBS Securities, Receive Underlying Reference: | ||||||
Samsonite International Monthly, Pay Variable | ||||||
0.644% (1M HKD HIBOR + 0.35%) Monthly, | ||||||
1/19/22 | 474 | (1 | ) | — | (1 | ) |
Total Luxembourg | — | (1 | ) | |||
Netherlands 0.0% | ||||||
Citibank, Pay Underlying Reference: Wolters | ||||||
Kluwer Monthly, Receive Variable (0.863)% (1M | ||||||
EURIBOR + (0.35)%) Monthly, 1/19/22 | 26 | 1 | — | 1 | ||
Citibank, Receive Underlying Reference: Adyen | ||||||
Monthly, Pay Variable (0.163)% (1M EURIBOR + | ||||||
0.35%) Monthly, 1/19/22 | 109 | 3 | — | 3 | ||
Citibank, Receive Underlying Reference: Akzo | ||||||
Nobel Monthly, Pay Variable (0.163)% (1M | ||||||
EURIBOR + 0.35%) Monthly, 1/19/22 | 178 | (10 | ) | — | (10 | ) |
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Citibank, Receive Underlying Reference: | ||||||
QIAGEN Monthly, Pay Variable 0.481% (1M USD | ||||||
LIBOR + 0.30%) Monthly, 1/20/22 | 254 | 17 | — | 17 | ||
JPMorgan Chase, Pay Underlying Reference: | ||||||
Wright Medical Group Monthly, Receive Variable | ||||||
(0.119)% (1M USD LIBOR + (0.30)%) Monthly, | ||||||
1/20/22 | 168 | — | — | — | ||
JPMorgan Chase, Receive Underlying | ||||||
Reference: ING Groep Monthly, Pay Variable | ||||||
(0.163)% (1M EURIBOR + 0.35%) Monthly, | ||||||
1/19/22 | 180 | (23 | ) | — | (23 | ) |
Morgan Stanley, Pay Underlying Reference: Just | ||||||
Eat Takeaway.com Monthly, Receive Variable | ||||||
(0.334)% (1M GBP LIBOR + (0.40)%) Monthly, | ||||||
1/19/22 | 183 | 4 | — | 4 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Wolters Kluwer Monthly, Receive Variable | ||||||
(0.913)% (1M EURIBOR + (0.40)%) Monthly, | ||||||
1/19/22 | 220 | 13 | — | 13 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Euronext Monthly, Pay Variable 0.037% (1M | ||||||
EURIBOR + 0.55%) Monthly, 1/19/22 | 99 | 7 | — | 7 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Fiat Chrysler Automobiles Monthly, Pay Variable | ||||||
0.481% (1M USD LIBOR + 0.30%) Monthly, | ||||||
1/20/22 | 209 | (6 | ) | — | (6 | ) |
Total Netherlands | — | 6 | ||||
Norway 0.0% | ||||||
Citibank, Pay Underlying Reference: Telenor | ||||||
Monthly, Receive Variable (0.17)% (1M NOK | ||||||
NIBOR + (0.35)%) Monthly, 1/19/22 | 1,015 | 8 | — | 8 | ||
Citibank, Pay Underlying Reference: Telenor | ||||||
Monthly, Receive Variable (0.17)% (1M NOK | ||||||
NIBOR + (0.35)%) Monthly, 1/20/22 | 223 | 2 | — | 2 |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Telenor Monthly, Receive Variable (0.22)% (1M | ||||||
NOK NIBOR + (0.40)%) Monthly, 1/19/22 | 410 | 3 | — | 3 | ||
Total Norway | — | 13 | ||||
Portugal (0.0)% | ||||||
Morgan Stanley, Receive Underlying Reference: | ||||||
Galp Energia Monthly, Pay Variable 0.037% (1M | ||||||
EURIBOR + 0.55%) Monthly, 1/19/22 | 58 | (10 | ) | — | (10 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Galp Energia Monthly, Pay Variable 0.037% (1M | ||||||
EURIBOR + 0.55%) Monthly, 1/20/22 | 58 | (10 | ) | — | (10 | ) |
Total Portugal | — | (20 | ) | |||
Russia 0.0% | ||||||
Morgan Stanley, Receive Underlying Reference: | ||||||
Sberbank of Russia Monthly, Pay Variable | ||||||
0.729% (1M USD LIBOR + 0.55%) Monthly, | ||||||
1/20/22 | 24 | (1 | ) | — | (1 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Sberbank of Russia Monthly, Pay Variable | ||||||
0.731% (1M USD LIBOR + 0.55%) Monthly, | ||||||
1/20/22 | 106 | 1 | — | 1 | ||
Total Russia | — | — | ||||
South Africa (0.0)% | ||||||
Goldman Sachs, Pay Underlying Reference: | ||||||
Capitec Bank Holdings Monthly, Receive | ||||||
Variable 2.958% (1M ZAR JIBOR + (0.75)%) | ||||||
Monthly, 1/20/22 | 749 | (1 | ) | — | (1 | ) |
Goldman Sachs, Pay Underlying Reference: PSG | ||||||
Konsult Monthly, Receive Variable 2.958% (1M | ||||||
ZAR JIBOR + (0.75)%) Monthly, 1/20/22 | 143 | — | — | — |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Goldman Sachs, Receive Underlying Reference: | ||||||
PSG Group Monthly, Pay Variable 4.458% (1M | ||||||
ZAR JIBOR + 0.75%) Monthly, 1/20/22 | 865 | (2 | ) | — | (2 | ) |
Total South Africa | — | (3 | ) | |||
South Korea 0.0% | ||||||
UBS Securities, Receive Underlying Reference: | ||||||
Samsung Electronics Monthly, Pay Variable | ||||||
0.681% (1M USD LIBOR + 0.50%) Monthly, | ||||||
1/20/22 | 142 | 10 | — | 10 | ||
Total South Korea | — | 10 | ||||
Spain 0.0% | ||||||
Citibank, Pay Underlying Reference: Banco | ||||||
Santander Monthly, Receive Variable (0.863)% | ||||||
(1M EURIBOR + (0.35)%) Monthly, 1/19/22 | 205 | 48 | — | 48 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Banco Santander Monthly, Receive Variable | ||||||
(0.913)% (1M EURIBOR + (0.40)%) Monthly, | ||||||
1/19/22 | 28 | 7 | — | 7 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Amadeus IT Group Monthly, Pay Variable | ||||||
0.037% (1M EURIBOR + 0.55%) Monthly, | ||||||
1/19/22 | 82 | (14 | ) | — | (14 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Telefonica Monthly, Pay Variable 0.044% (1M | ||||||
EURIBOR + 0.55%) Monthly, 1/20/22 | — | 2 | — | 2 | ||
UBS Securities, Receive Underlying Reference: | ||||||
Telefonica Monthly, Pay Variable (0.163)% (1M | ||||||
EURIBOR + 0.35%) Monthly, 1/20/22 | 68 | (11 | ) | — | (11 | ) |
Total Spain | — | 32 | ||||
Sweden (0.0)% | ||||||
Citibank, Receive Underlying Reference: Assa | ||||||
Abloy, Class B Monthly, Pay Variable 0.30% (1M | ||||||
SEK STIBOR + 0.35%) Monthly, 1/19/22 | 576 | (5 | ) | — | (5 | ) |
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Goldman Sachs, Receive Underlying Reference: | ||||||
Atlas, B Shares Monthly, Pay Variable 0.35% (1M | ||||||
SEK STIBOR + 0.40%) Monthly, 1/19/22 | 1,871 | (23 | ) | — | (23 | ) |
Goldman Sachs, Receive Underlying Reference: | ||||||
Hexagon, B Shares Monthly, Pay Variable 0.35% | ||||||
(1M SEK STIBOR + 0.40%) Monthly, 1/19/22 | 408 | (1 | ) | — | (1 | ) |
Goldman Sachs, Receive Underlying Reference: | ||||||
Hexagon, B Shares Monthly, Pay Variable 0.35% | ||||||
(1M SEK STIBOR + 0.40%) Monthly, 1/20/22 | 1,107 | (2 | ) | — | (2 | ) |
JPMorgan Chase, Receive Underlying | ||||||
Reference: Swedbank, A Shares Monthly, Pay | ||||||
Variable 0.35% (1M SEK STIBOR + 0.40%) | ||||||
Monthly, 1/19/22 | 1,023 | 3 | — | 3 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Trelleborg, B Shares Monthly, Pay Variable | ||||||
0.50% (1M SEK STIBOR + 0.55%) Monthly, | ||||||
1/19/22 | 1,189 | (9 | ) | — | (9 | ) |
UBS Securities, Pay Underlying Reference: SKF, | ||||||
B Shares Monthly, Receive Variable (0.45)% (1M | ||||||
SEK STIBOR + (0.40)%) Monthly, 1/19/22 | 806 | 15 | — | 15 | ||
UBS Securities, Receive Underlying Reference: | ||||||
Boliden Monthly, Pay Variable 0.30% (1M SEK | ||||||
STIBOR + 0.35%) Monthly, 1/19/22 | 1,789 | — | — | — | ||
Total Sweden | — | (22 | ) | |||
Switzerland (0.1)% | ||||||
Citibank, Pay Underlying Reference: Credit | ||||||
Suisse Group Monthly, Receive Variable | ||||||
(1.126)% (1M CHF LIBOR + (0.35)%) Monthly, | ||||||
1/20/22 | 47 | 2 | — | 2 | ||
Citibank, Pay Underlying Reference: Geberit | ||||||
Monthly, Receive Variable (1.126)% (1M CHF | ||||||
LIBOR + (0.35)%) Monthly, 1/19/22 | 178 | (7 | ) | — | (7 | ) |
Citibank, Pay Underlying Reference: SGS | ||||||
Monthly, Receive Variable (1.126)% (1M CHF | ||||||
LIBOR + (0.35)%) Monthly, 1/20/22 | 208 | 2 | — | 2 | ||
Citibank, Pay Underlying Reference: Straumann | ||||||
Holding Monthly, Receive Variable (1.126)% (1M | ||||||
CHF LIBOR + (0.35)%) Monthly, 1/19/22 | 176 | 2 | — | 2 | ||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Citibank, Pay Underlying Reference: Swiss | ||||||
Monthly, Receive Variable (1.126)% (1M CHF | ||||||
LIBOR + (0.35)%) Monthly, 1/19/22 | 77 | 5 | — | 5 | ||
Citibank, Receive Underlying Reference: Cie | ||||||
Financiere Richemont Monthly, Pay Variable | ||||||
(0.426)% (1M CHF LIBOR + 0.35%) Monthly, | ||||||
1/20/22 | 28 | (4 | ) | — | (4 | ) |
Citibank, Receive Underlying Reference: | ||||||
Partners Group Holding Monthly, Pay Variable | ||||||
(0.434)% (1M CHF LIBOR + 0.35%) Monthly, | ||||||
1/19/22 | 30 | — | — | — | ||
Citibank, Receive Underlying Reference: | ||||||
Partners Group Holding Monthly, Pay Variable | ||||||
(0.426)% (1M CHF LIBOR + 0.35%) Monthly, | ||||||
1/19/22 | 214 | (2 | ) | — | (2 | ) |
Goldman Sachs, Receive Underlying Reference: | ||||||
TE Connectivity Monthly, Pay Variable 0.581% | ||||||
(1M USD LIBOR + 0.40%) Monthly, 1/20/22 | 252 | 11 | — | 11 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Credit Suisse Group Monthly, Receive Variable | ||||||
(1.176)% (1M CHF LIBOR + (0.40)%) Monthly, | ||||||
1/19/22 | 41 | 2 | — | 2 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Geberit Monthly, Receive Variable (1.176)% (1M | ||||||
CHF LIBOR + (0.40)%) Monthly, 1/19/22 | 87 | (3 | ) | — | (3 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Swiss Monthly, Receive Variable (1.176)% (1M | ||||||
CHF LIBOR + (0.40)%) Monthly, 1/19/22 | 34 | 2 | — | 2 | ||
Morgan Stanley, Pay Underlying Reference: UBS | ||||||
Group Monthly, Receive Variable (1.176)% (1M | ||||||
CHF LIBOR + (0.40)%) Monthly, 1/19/22 | 235 | 16 | — | 16 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Alcon Monthly, Pay Variable (0.226)% (1M CHF | ||||||
LIBOR + 0.55%) Monthly, 1/20/22 | 117 | (3 | ) | — | (3 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Cie Financiere Richemont Monthly, Pay Variable | ||||||
(0.226)% (1M CHF LIBOR + 0.55%) Monthly, | ||||||
1/19/22 | 29 | (4 | ) | — | (4 | ) |
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Cie Financiere Richemont Monthly, Pay Variable | ||||||
(0.226)% (1M CHF LIBOR + 0.55%) Monthly, | ||||||
1/20/22 | 76 | (10 | ) | — | (10 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Nestle Monthly, Pay Variable (0.226)% (1M CHF | ||||||
LIBOR + 0.55%) Monthly, 1/19/22 | 146 | (1 | ) | — | (1 | ) |
UBS Securities, Receive Underlying Reference: | ||||||
Julius Baer Group Monthly, Pay Variable | ||||||
(0.426)% (1M CHF LIBOR + 0.35%) Monthly, | ||||||
1/19/22 | 116 | (6 | ) | — | (6 | ) |
UBS Securities, Receive Underlying Reference: | ||||||
Novartis Monthly, Pay Variable (0.426)% (1M | ||||||
CHF LIBOR + 0.35%) Monthly, 1/19/22 | 180 | (18 | ) | — | (18 | ) |
UBS Securities, Receive Underlying Reference: | ||||||
Zurich Insurance Group Monthly, Pay Variable | ||||||
(0.426)% (1M CHF LIBOR + 0.35%) Monthly, | ||||||
1/19/22 | 289 | (12 | ) | — | (12 | ) |
Total Switzerland | — | (28 | ) | |||
United Kingdom 0.0% | ||||||
Citibank, Pay Underlying Reference: Aviva | ||||||
Monthly, Receive Variable (0.284)% (1M GBP | ||||||
LIBOR + (0.35)%) Monthly, 1/19/22 | 84 | 11 | — | 11 | ||
Citibank, Pay Underlying Reference: Compass | ||||||
Group Monthly, Receive Variable (0.35)% (1M | ||||||
GBP LIBOR + (0.35)%) Monthly, 1/19/22 | 64 | 2 | — | 2 | ||
Citibank, Pay Underlying Reference: Compass | ||||||
Group Monthly, Receive Variable (0.284)% (1M | ||||||
GBP LIBOR + (0.35)%) Monthly, 1/19/22 | 93 | 14 | — | 14 | ||
Citibank, Pay Underlying Reference: HSBC | ||||||
Holdings Monthly, Receive Variable (0.284)% | ||||||
(1M GBP LIBOR + (0.35)%) Monthly, 1/19/22 | 123 | 18 | — | 18 | ||
Citibank, Pay Underlying Reference: Prudential | ||||||
Monthly, Receive Variable (0.284)% (1M GBP | ||||||
LIBOR + (0.35)%) Monthly, 1/19/22 | 14 | 2 | — | 2 |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Citibank, Pay Underlying Reference: Standard | ||||||
Life Aberdeen Monthly, Receive Variable | ||||||
(0.284)% (1M GBP LIBOR + (0.35)%) Monthly, | ||||||
1/20/22 | 56 | 5 | — | 5 | ||
Citibank, Receive Underlying Reference: IMI | ||||||
Monthly, Pay Variable 0.416% (1M GBP LIBOR + | ||||||
0.35%) Monthly, 1/19/22 | 117 | 9 | — | 9 | ||
Citibank, Receive Underlying Reference: | ||||||
InterContinental Hotels Group Monthly, Pay | ||||||
Variable 0.416% (1M GBP LIBOR + 0.35%) | ||||||
Monthly, 1/19/22 | 91 | (13 | ) | — | (13 | ) |
Citibank, Receive Underlying Reference: London | ||||||
Stock Exchange Group Monthly, Pay Variable | ||||||
0.416% (1M GBP LIBOR + 0.35%) Monthly, | ||||||
1/19/22 | 161 | 5 | — | 5 | ||
Goldman Sachs, Receive Underlying Reference: | ||||||
Informa Monthly, Pay Variable 0.466% (1M GBP | ||||||
LIBOR + 0.40%) Monthly, 1/19/22 | 79 | (15 | ) | — | (15 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Intertek Group Monthly, Receive Variable | ||||||
(0.334)% (1M GBP LIBOR + (0.40)%) Monthly, | ||||||
1/19/22 | 166 | 7 | — | 7 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Prudential Monthly, Receive Variable (0.334)% | ||||||
(1M GBP LIBOR + (0.40)%) Monthly, 1/19/22 | 74 | 12 | — | 12 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Standard Life Aberdeen Monthly, Receive | ||||||
Variable (0.334)% (1M GBP LIBOR + (0.40)%) | ||||||
Monthly, 1/19/22 | 35 | 3 | — | 3 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Standard Life Aberdeen Monthly, Receive | ||||||
Variable (0.334)% (1M GBP LIBOR + (0.40)%) | ||||||
Monthly, 1/20/22 | 73 | 6 | — | 6 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Bunzl Monthly, Pay Variable 0.616% (1M GBP | ||||||
LIBOR + 0.55%) Monthly, 1/19/22 | 93 | (3 | ) | — | (3 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Derwent London Monthly, Pay Variable 0.616% | ||||||
(1M GBP LIBOR + 0.55%) Monthly, 1/19/22 | 70 | (1 | ) | — | (1 | ) |
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
LivaNova Monthly, Pay Variable 0.481% (1M USD | ||||||
LIBOR + 0.30%) Monthly, 1/20/22 | 87 | (14 | ) | — | (14 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
London Stock Exchange Group Monthly, Pay | ||||||
Variable 0.616% (1M GBP LIBOR + 0.55%) | ||||||
Monthly, 1/19/22 | 100 | 2 | — | 2 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Network International Holdings Monthly, Pay | ||||||
Variable 0.616% (1M GBP LIBOR + 0.55%) | ||||||
Monthly, 1/19/22 | 46 | (7 | ) | — | (7 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Network International Holdings Monthly, Pay | ||||||
Variable 0.616% (1M GBP LIBOR + 0.55%) | ||||||
Monthly, 1/20/22 | 32 | (4 | ) | — | (4 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Polypipe Group Monthly, Pay Variable 0.616% | ||||||
(1M GBP LIBOR + 0.55%) Monthly, 1/19/22 | 61 | (4 | ) | — | (4 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Segro Monthly, Pay Variable 0.616% (1M GBP | ||||||
LIBOR + 0.55%) Monthly, 1/19/22 | 174 | 7 | — | 7 | ||
UBS Securities, Receive Underlying Reference: | ||||||
ASOS Monthly, Pay Variable 0.416% (1M GBP | ||||||
LIBOR + 0.35%) Monthly, 1/19/22 | 140 | (7 | ) | — | (7 | ) |
UBS Securities, Receive Underlying Reference: | ||||||
Howden Joinery Group Monthly, Pay Variable | ||||||
0.415% (1M GBP LIBOR + 0.35%) Monthly, | ||||||
1/19/22 | 93 | (7 | ) | — | (7 | ) |
UBS Securities, Receive Underlying Reference: | ||||||
Imperial Brands Monthly, Pay Variable 0.415% | ||||||
(1M GBP LIBOR + 0.35%) Monthly, 1/19/22 | 62 | (8 | ) | — | (8 | ) |
UBS Securities, Receive Underlying Reference: | ||||||
RELX Monthly, Pay Variable 0.416% (1M GBP | ||||||
LIBOR + 0.35%) Monthly, 1/19/22 | 61 | (8 | ) | — | (8 | ) |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
UBS Securities, Receive Underlying Reference: | ||||||
Trainline Monthly, Pay Variable 0.416% (1M GBP | ||||||
LIBOR + 0.35%) Monthly, 1/19/22 | 100 | (8 | ) | — | (8 | ) |
Total United Kingdom | — | 4 | ||||
United States 0.4% | ||||||
Bank of America, Pay Underlying Reference: | ||||||
Apartment Investment and Management, Class A | ||||||
Monthly, Receive Variable (0.219)% (1M USD | ||||||
LIBOR + (0.40)%) Monthly, 1/20/22 | 58 | (1 | ) | — | (1 | ) |
Bank of America, Pay Underlying Reference: | ||||||
Duke Energy Monthly, Receive Variable (0.219)% | ||||||
(1M USD LIBOR + (0.40)%) Monthly, 1/20/22 | 92 | (5 | ) | — | (5 | ) |
Bank of America, Pay Underlying Reference: | ||||||
FMC Monthly, Receive Variable (0.219)% (1M | ||||||
USD LIBOR + (0.40)%) Monthly, 1/20/22 | 119 | 2 | — | 2 | ||
Bank of America, Pay Underlying Reference: | ||||||
UDR Monthly, Receive Variable (0.219)% (1M | ||||||
USD LIBOR + (0.40)%) Monthly, 1/20/22 | 75 | 2 | — | 2 | ||
Bank of America, Pay Underlying Reference: | ||||||
ViaSat Monthly, Receive Variable (0.688)% (1M | ||||||
USD LIBOR + (0.869)%) Monthly, 1/20/22 | 38 | — | — | — | ||
Bank of America, Pay Underlying Reference: | ||||||
ViaSat Monthly, Receive Variable (0.219)% (1M | ||||||
USD LIBOR + (0.40)%) Monthly, 1/20/22 | 43 | — | — | — | ||
Bank of America, Receive Underlying Reference: | ||||||
Avery Dennison Monthly, Pay Variable 0.581% | ||||||
(1M USD LIBOR + 0.40%) Monthly, 1/20/22 | 137 | (7 | ) | — | (7 | ) |
Bank of America, Receive Underlying Reference: | ||||||
Cognizant Technology Solutions, Class A | ||||||
Monthly, Pay Variable 0.581% (1M USD LIBOR + | ||||||
0.40%) Monthly, 1/20/22 | 132 | 19 | — | 19 | ||
Bank of America, Receive Underlying Reference: | ||||||
United Parcel Service, Class B Monthly, Pay | ||||||
Variable 0.581% (1M USD LIBOR + 0.40%) | ||||||
Monthly, 1/20/22 | 158 | 31 | — | 31 | ||
Citibank, Pay Underlying Reference: BlackRock | ||||||
Monthly, Receive Variable (0.119)% (1M USD | ||||||
LIBOR + (0.30)%) Monthly, 1/20/22 | 251 | (2 | ) | — | (2 | ) |
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND | ||||||
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Citibank, Pay Underlying Reference: Franklin | ||||||
Electric Monthly, Receive Variable (0.119)% (1M | ||||||
USD LIBOR + (0.30)%) Monthly, 1/20/22 | 32 | (1 | ) | — | (1 | ) |
Citibank, Pay Underlying Reference: IQVIA | ||||||
Holdings Monthly, Receive Variable (0.119)% | ||||||
(1M USD LIBOR + (0.30)%) Monthly, 1/20/22 | 140 | (6 | ) | — | (6 | ) |
Citibank, Receive Underlying Reference: NextEra | ||||||
Energy Monthly, Pay Variable 0.481% (1M USD | ||||||
LIBOR + 0.30%) Monthly, 1/20/22 | 233 | 19 | — | 19 | ||
Citibank, Receive Underlying Reference: RPM | ||||||
International Monthly, Pay Variable 0.481% (1M | ||||||
USD LIBOR + 0.30%) Monthly, 1/20/22 | 120 | 7 | — | 7 | ||
Citibank, Receive Underlying Reference: Stanley | ||||||
Black & Decker Monthly, Pay Variable 0.481% | ||||||
(1M USD LIBOR + 0.30%) Monthly, 1/20/22 | 145 | 2 | — | 2 | ||
Citibank, Receive Underlying Reference: Stanley | ||||||
Black & Decker Monthly, Pay Variable 0.581% | ||||||
(1M USD LIBOR + 0.40%) Monthly, 1/20/22 | 65 | 1 | — | 1 | ||
Citibank, Receive Underlying Reference: | ||||||
VeriSign Monthly, Pay Variable 0.481% (1M USD | ||||||
LIBOR + 0.30%) Monthly, 1/20/22 | 132 | 8 | — | 8 | ||
Goldman Sachs, Pay Underlying Reference: | ||||||
Acacia Monthly, Receive Variable (0.219)% (1M | ||||||
USD LIBOR + (0.40)%) Monthly, 1/20/22 | 34 | — | — | — | ||
Goldman Sachs, Pay Underlying Reference: | ||||||
American Express Monthly, Receive Variable | ||||||
(0.219)% (1M USD LIBOR + (0.40)%) Monthly, | ||||||
1/20/22 | 46 | 2 | — | 2 | ||
Goldman Sachs, Pay Underlying Reference: | ||||||
Charles Schwab Monthly, Receive Variable | ||||||
(0.219)% (1M USD LIBOR + (0.40)%) Monthly, | ||||||
1/20/22 | 64 | 4 | — | 4 | ||
Goldman Sachs, Pay Underlying Reference: | ||||||
Citigroup Monthly, Receive Variable (0.219)% | ||||||
(1M USD LIBOR + (0.40)%) Monthly, 1/20/22 | 36 | 1 | — | 1 | ||
Goldman Sachs, Pay Underlying Reference: | ||||||
Citizens Financial Group Monthly, Receive | ||||||
Variable (0.219)% (1M USD LIBOR + (0.40)%) | ||||||
Monthly, 1/20/22 | 27 | — | — | — | ||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Goldman Sachs, Pay Underlying Reference: | ||||||
Digital Realty Trust Monthly, Receive Variable | ||||||
(0.224)% (1M USD LIBOR + (0.40)%) Monthly, | ||||||
1/20/22 | 78 | (9 | ) | — | (9 | ) |
Goldman Sachs, Pay Underlying Reference: DTE | ||||||
Energy Monthly, Receive Variable (0.219)% (1M | ||||||
USD LIBOR + (0.40)%) Monthly, 1/20/22 | 82 | (5 | ) | — | (5 | ) |
Goldman Sachs, Pay Underlying Reference: | ||||||
Exxon Mobil Monthly, Receive Variable (0.219)% | ||||||
(1M USD LIBOR + (0.40)%) Monthly, 1/20/22 | 49 | 3 | — | 3 | ||
Goldman Sachs, Pay Underlying Reference: Ford | ||||||
Motor Monthly, Receive Variable (0.219)% (1M | ||||||
USD LIBOR + (0.40)%) Monthly, 1/20/22 | 195 | 4 | — | 4 | ||
Goldman Sachs, Pay Underlying Reference: | ||||||
HollyFrontier Monthly, Receive Variable (0.219)% | ||||||
(1M USD LIBOR + (0.40)%) Monthly, 1/20/22 | 73 | 3 | — | 3 | ||
Goldman Sachs, Pay Underlying Reference: | ||||||
Hormel Foods Monthly, Receive Variable | ||||||
(0.219)% (1M USD LIBOR + (0.40)%) Monthly, | ||||||
1/20/22 | 69 | (3 | ) | — | (3 | ) |
Goldman Sachs, Pay Underlying Reference: Intel | ||||||
Monthly, Receive Variable (0.219)% (1M USD | ||||||
LIBOR + (0.40)%) Monthly, 1/20/22 | 118 | 23 | — | 23 | ||
Goldman Sachs, Pay Underlying Reference: | ||||||
Interpublic Group Monthly, Receive Variable | ||||||
(0.219)% (1M USD LIBOR + (0.40)%) Monthly, | ||||||
1/20/22 | 15 | — | — | — | ||
Goldman Sachs, Pay Underlying Reference: | ||||||
Kellogg Monthly, Receive Variable (0.219)% (1M | ||||||
USD LIBOR + (0.40)%) Monthly, 1/20/22 | 91 | (1 | ) | — | (1 | ) |
Goldman Sachs, Pay Underlying Reference: Kraft | ||||||
Heinz Monthly, Receive Variable (0.219)% (1M | ||||||
USD LIBOR + (0.40)%) Monthly, 1/20/22 | 17 | (1 | ) | — | (1 | ) |
Goldman Sachs, Pay Underlying Reference: | ||||||
Morgan Stanley Monthly, Receive Variable | ||||||
(0.219)% (1M USD LIBOR + (0.40)%) Monthly, | ||||||
1/20/22 | 323 | 12 | — | 12 | ||
Goldman Sachs, Pay Underlying Reference: | ||||||
Starbucks Monthly, Receive Variable (0.219)% | ||||||
(1M USD LIBOR + (0.40)%) Monthly, 1/20/22 | 153 | (2 | ) | — | (2 | ) |
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Goldman Sachs, Pay Underlying Reference: | ||||||
Walgreens Boots Alliance Monthly, Receive | ||||||
Variable (0.219)% (1M USD LIBOR + (0.40)%) | ||||||
Monthly, 1/20/22 | 28 | — | — | — | ||
Goldman Sachs, Pay Underlying Reference: | ||||||
Zimmer Biomet Holdings Monthly, Receive | ||||||
Variable (0.219)% (1M USD LIBOR + (0.40)%) | ||||||
Monthly, 1/20/22 | 83 | (2 | ) | — | (2 | ) |
Goldman Sachs, Receive Underlying Reference: | ||||||
Bank of America Monthly, Pay Variable 0.581% | ||||||
(1M USD LIBOR + 0.40%) Monthly, 1/20/22 | 281 | 3 | — | 3 | ||
Goldman Sachs, Receive Underlying Reference: | ||||||
Cummins Monthly, Pay Variable 0.581% (1M | ||||||
USD LIBOR + 0.40%) Monthly, 1/20/22 | 244 | 15 | — | 15 | ||
Goldman Sachs, Receive Underlying Reference: | ||||||
Dollar Tree Monthly, Pay Variable 0.581% (1M | ||||||
USD LIBOR + 0.40%) Monthly, 1/20/22 | 100 | (3 | ) | — | (3 | ) |
Goldman Sachs, Receive Underlying Reference: | ||||||
E*TRADE Financial Monthly, Pay Variable | ||||||
0.581% (1M USD LIBOR + 0.40%) Monthly, | ||||||
1/20/22 | 318 | (13 | ) | — | (13 | ) |
Goldman Sachs, Receive Underlying Reference: | ||||||
Encore Capital Group Monthly, Pay Variable | ||||||
0.581% (1M USD LIBOR + 0.40%) Monthly, | ||||||
1/20/22 | 173 | 5 | — | 5 | ||
Goldman Sachs, Receive Underlying Reference: | ||||||
Fortive Monthly, Pay Variable 0.581% (1M USD | ||||||
LIBOR + 0.40%) Monthly, 1/20/22 | 87 | (2 | ) | — | (2 | ) |
Goldman Sachs, Receive Underlying Reference: | ||||||
International Paper Monthly, Pay Variable | ||||||
0.581% (1M USD LIBOR + 0.40%) Monthly, | ||||||
1/20/22 | 117 | (5 | ) | — | (5 | ) |
Goldman Sachs, Receive Underlying Reference: | ||||||
Intuit Monthly, Pay Variable 0.581% (1M USD | ||||||
LIBOR + 0.40%) Monthly, 1/20/22 | 220 | 13 | — | 13 | ||
Goldman Sachs, Receive Underlying Reference: | ||||||
McDonald's Monthly, Pay Variable 0.581% (1M | ||||||
USD LIBOR + 0.40%) Monthly, 1/20/22 | 200 | 3 | — | 3 | ||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Goldman Sachs, Receive Underlying Reference: | ||||||
Otis Worldwide Monthly, Pay Variable 0.556% | ||||||
(1M USD LIBOR + 0.40%) Monthly, 1/20/22 | 104 | (3 | ) | — | (3 | ) |
Goldman Sachs, Receive Underlying Reference: | ||||||
Packaging Monthly, Pay Variable 0.581% (1M | ||||||
USD LIBOR + 0.40%) Monthly, 1/20/22 | 108 | (7 | ) | — | (7 | ) |
Goldman Sachs, Receive Underlying Reference: | ||||||
United Rentals Monthly, Pay Variable 0.581% | ||||||
(1M USD LIBOR + 0.40%) Monthly, 1/20/22 | 85 | (3 | ) | — | (3 | ) |
Goldman Sachs, Receive Underlying Reference: | ||||||
WESCO International Monthly, Pay Variable | ||||||
0.581% (1M USD LIBOR + 0.40%) Monthly, | ||||||
1/20/22 | 11 | — | — | — | ||
JPMorgan Chase, Pay Underlying Reference: | ||||||
AmerisourceBergen Monthly, Receive Variable | ||||||
(0.119)% (1M USD LIBOR + (0.30)%) Monthly, | ||||||
1/20/22 | 146 | 3 | — | 3 | ||
JPMorgan Chase, Pay Underlying Reference: CH | ||||||
Robinson Worldwide Monthly, Receive Variable | ||||||
(0.119)% (1M USD LIBOR + (0.30)%) Monthly, | ||||||
1/20/22 | 102 | (11 | ) | — | (11 | ) |
JPMorgan Chase, Pay Underlying Reference: | ||||||
Citigroup Monthly, Receive Variable (0.119)% | ||||||
(1M USD LIBOR + (0.30)%) Monthly, 1/20/22 | 70 | 2 | — | 2 | ||
JPMorgan Chase, Pay Underlying Reference: | ||||||
Citizens Financial Group Monthly, Receive | ||||||
Variable (0.119)% (1M USD LIBOR + (0.30)%) | ||||||
Monthly, 1/20/22 | 72 | 1 | — | 1 | ||
JPMorgan Chase, Pay Underlying Reference: | ||||||
DTE Energy Monthly, Receive Variable (0.119)% | ||||||
(1M USD LIBOR + (0.30)%) Monthly, 1/20/22 | 112 | (7 | ) | — | (7 | ) |
JPMorgan Chase, Pay Underlying Reference: | ||||||
Ecolab Monthly, Receive Variable (0.119)% (1M | ||||||
USD LIBOR + (0.30)%) Monthly, 1/20/22 | 87 | 9 | — | 9 | ||
JPMorgan Chase, Pay Underlying Reference: | ||||||
Expeditors International of Washington Monthly, | ||||||
Receive Variable (0.119)% (1M USD LIBOR + | ||||||
(0.30)%) Monthly, 1/20/22 | 231 | (14 | ) | — | (14 | ) |
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
JPMorgan Chase, Pay Underlying Reference: | ||||||
General Motors Monthly, Receive Variable | ||||||
(0.119)% (1M USD LIBOR + (0.30)%) Monthly, | ||||||
1/20/22 | 63 | 5 | — | 5 | ||
JPMorgan Chase, Pay Underlying Reference: | ||||||
Hershey Monthly, Receive Variable (0.119)% (1M | ||||||
USD LIBOR + (0.30)%) Monthly, 1/20/22 | 108 | (11 | ) | — | (11 | ) |
JPMorgan Chase, Pay Underlying Reference: | ||||||
Hewlett Packard Enterprise Monthly, Receive | ||||||
Variable (0.119)% (1M USD LIBOR + (0.30)%) | ||||||
Monthly, 1/20/22 | 135 | (3 | ) | — | (3 | ) |
JPMorgan Chase, Pay Underlying Reference: | ||||||
Intel Monthly, Receive Variable (0.119)% (1M | ||||||
USD LIBOR + (0.30)%) Monthly, 1/20/22 | 177 | 33 | — | 33 | ||
JPMorgan Chase, Pay Underlying Reference: | ||||||
International Business Machines Monthly, | ||||||
Receive Variable (0.119)% (1M USD LIBOR + | ||||||
(0.30)%) Monthly, 1/20/22 | 41 | — | — | — | ||
JPMorgan Chase, Pay Underlying Reference: L | ||||||
Brands Monthly, Receive Variable (0.119)% (1M | ||||||
USD LIBOR + (0.30)%) Monthly, 1/20/22 | 73 | (25 | ) | — | (25 | ) |
JPMorgan Chase, Pay Underlying Reference: | ||||||
Lowe's Monthly, Receive Variable (0.119)% (1M | ||||||
USD LIBOR + (0.30)%) Monthly, 1/20/22 | 219 | (13 | ) | — | (13 | ) |
JPMorgan Chase, Pay Underlying Reference: | ||||||
Oracle Monthly, Receive Variable (0.119)% (1M | ||||||
USD LIBOR + (0.30)%) Monthly, 1/20/22 | 212 | 4 | — | 4 | ||
JPMorgan Chase, Pay Underlying Reference: | ||||||
Republic Services Monthly, Receive Variable | ||||||
(0.119)% (1M USD LIBOR + (0.30)%) Monthly, | ||||||
1/20/22 | 149 | (5 | ) | — | (5 | ) |
JPMorgan Chase, Pay Underlying Reference: | ||||||
Twitter Monthly, Receive Variable (0.119)% (1M | ||||||
USD LIBOR + (0.30)%) Monthly, 1/20/22 | 107 | (2 | ) | — | (2 | ) |
JPMorgan Chase, Pay Underlying Reference: | ||||||
Verizon Monthly, Receive Variable (0.119)% (1M | ||||||
USD LIBOR + (0.30)%) Monthly, 1/20/22 | 78 | (5 | ) | — | (5 | ) |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
JPMorgan Chase, Receive Underlying | ||||||
Reference: Carvana Monthly, Pay Variable | ||||||
0.481% (1M USD LIBOR + 0.30%) Monthly, | ||||||
1/20/22 | 219 | 29 | — | 29 | ||
JPMorgan Chase, Receive Underlying | ||||||
Reference: Comcast, Class A Monthly, Pay | ||||||
Variable 0.481% (1M USD LIBOR + 0.30%) | ||||||
Monthly, 1/20/22 | 71 | 1 | — | 1 | ||
JPMorgan Chase, Receive Underlying | ||||||
Reference: CVS Health Monthly, Pay Variable | ||||||
0.481% (1M USD LIBOR + 0.30%) Monthly, | ||||||
1/20/22 | 64 | (1 | ) | — | (1 | ) |
JPMorgan Chase, Receive Underlying | ||||||
Reference: Entergy Monthly, Pay Variable | ||||||
0.481% (1M USD LIBOR + 0.30%) Monthly, | ||||||
1/20/22 | 136 | 13 | — | 13 | ||
JPMorgan Chase, Receive Underlying | ||||||
Reference: Juniper Networks Monthly, Pay | ||||||
Variable 0.481% (1M USD LIBOR + 0.30%) | ||||||
Monthly, 1/20/22 | 138 | 13 | — | 13 | ||
JPMorgan Chase, Receive Underlying | ||||||
Reference: Kimberly-Clark Monthly, Pay Variable | ||||||
0.481% (1M USD LIBOR + 0.30%) Monthly, | ||||||
1/20/22 | 80 | 5 | — | 5 | ||
JPMorgan Chase, Receive Underlying | ||||||
Reference: McKesson Monthly, Pay Variable | ||||||
0.481% (1M USD LIBOR + 0.30%) Monthly, | ||||||
1/20/22 | 78 | (2 | ) | — | (2 | ) |
JPMorgan Chase, Receive Underlying | ||||||
Reference: Netflix Monthly, Pay Variable 0.481% | ||||||
(1M USD LIBOR + 0.30%) Monthly, 1/20/22 | 80 | (5 | ) | — | (5 | ) |
JPMorgan Chase, Receive Underlying | ||||||
Reference: Philip Morris International Monthly, | ||||||
Pay Variable 0.514% (1M USD LIBOR + 0.33%) | ||||||
Monthly, 1/20/22 | 83 | 2 | — | 2 | ||
JPMorgan Chase, Receive Underlying | ||||||
Reference: Wells Fargo Monthly, Pay Variable | ||||||
0.481% (1M USD LIBOR + 0.30%) Monthly, | ||||||
1/20/22 | 227 | (10 | ) | — | (10 | ) |
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
ABIOMED Monthly, Receive Variable (0.119)% | ||||||
(1M USD LIBOR + (0.30)%) Monthly, 1/20/22 | 109 | (9 | ) | — | (9 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Acacia Monthly, Receive Variable (0.119)% (1M | ||||||
USD LIBOR + (0.30)%) Monthly, 1/20/22 | 102 | — | — | — | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Activision Blizzard Monthly, Receive Variable | ||||||
(0.119)% (1M USD LIBOR + (0.30)%) Monthly, | ||||||
1/20/22 | 117 | (5 | ) | — | (5 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Adobe Monthly, Receive Variable (0.119)% (1M | ||||||
USD LIBOR + (0.30)%) Monthly, 1/20/22 | 110 | (3 | ) | — | (3 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Albemarle Monthly, Receive Variable (0.119)% | ||||||
(1M USD LIBOR + (0.30)%) Monthly, 1/20/22 | 342 | 17 | — | 17 | ||
Morgan Stanley, Pay Underlying Reference: AMC | ||||||
Networks, Class A Monthly, Receive Variable | ||||||
(0.119)% (1M USD LIBOR + (0.30)%) Monthly, | ||||||
1/20/22 | 197 | 18 | — | 18 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
American Express Monthly, Receive Variable | ||||||
(0.119)% (1M USD LIBOR + (0.30)%) Monthly, | ||||||
1/20/22 | 169 | 6 | — | 6 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
AMETEK Monthly, Receive Variable (0.119)% | ||||||
(1M USD LIBOR + (0.30)%) Monthly, 1/20/22 | 95 | — | — | — | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Analog Devices Monthly, Receive Variable | ||||||
(0.144)% (1M USD LIBOR + (0.30)%) Monthly, | ||||||
1/20/22 | 127 | 1 | — | 1 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Analog Devices Monthly, Receive Variable | ||||||
(0.134)% (1M USD LIBOR + (0.30)%) Monthly, | ||||||
1/20/22 | 50 | (1 | ) | — | (1 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Analog Devices Monthly, Receive Variable | ||||||
(0.119)% (1M USD LIBOR + (0.30)%) Monthly, | ||||||
1/20/22 | 78 | 2 | — | 2 | ||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
AT&T Monthly, Receive Variable (0.119)% (1M | ||||||
USD LIBOR + (0.30)%) Monthly, 1/20/22 | 162 | — | — | — | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Avaya Holdings Monthly, Receive Variable | ||||||
(0.119)% (1M USD LIBOR + (0.30)%) Monthly, | ||||||
1/20/22 | 221 | (14 | ) | — | (14 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Bristol-Myers Squibb Monthly, Receive Variable | ||||||
(0.119)% (1M USD LIBOR + (0.30)%) Monthly, | ||||||
1/20/22 | 225 | 1 | — | 1 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Cabot Oil & Gas Monthly, Receive Variable | ||||||
(0.119)% (1M USD LIBOR + (0.30)%) Monthly, | ||||||
1/20/22 | 96 | (5 | ) | — | (5 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Caterpillar Monthly, Receive Variable (0.119)% | ||||||
(1M USD LIBOR + (0.30)%) Monthly, 1/20/22 | 353 | 11 | — | 11 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Charles Schwab Monthly, Receive Variable | ||||||
(0.119)% (1M USD LIBOR + (0.30)%) Monthly, | ||||||
1/20/22 | 416 | 29 | — | 29 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Corning Monthly, Receive Variable (0.119)% (1M | ||||||
USD LIBOR + (0.30)%) Monthly, 1/20/22 | 84 | (9 | ) | — | (9 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Deere Monthly, Receive Variable (0.119)% (1M | ||||||
USD LIBOR + (0.30)%) Monthly, 1/20/22 | 154 | (4 | ) | — | (4 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Discovery, Class A Monthly, Receive Variable | ||||||
(0.119)% (1M USD LIBOR + (0.30)%) Monthly, | ||||||
1/20/22 | 183 | 6 | — | 6 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Donaldson Monthly, Receive Variable (0.119)% | ||||||
(1M USD LIBOR + (0.30)%) Monthly, 1/20/22 | 86 | (1 | ) | — | (1 | ) |
Morgan Stanley, Pay Underlying Reference: Dow | ||||||
Monthly, Receive Variable (0.119)% (1M USD | ||||||
LIBOR + (0.30)%) Monthly, 1/20/22 | 143 | 7 | — | 7 | ||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Morgan Stanley, Pay Underlying Reference: DTE | ||||||
Energy Monthly, Receive Variable (0.119)% (1M | ||||||
USD LIBOR + (0.30)%) Monthly, 1/20/22 | 43 | (3 | ) | — | (3 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Eastman Chemical Monthly, Receive Variable | ||||||
(0.119)% (1M USD LIBOR + (0.30)%) Monthly, | ||||||
1/20/22 | 203 | 1 | — | 1 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
EchoStar, Class A Monthly, Receive Variable | ||||||
(0.119)% (1M USD LIBOR + (0.30)%) Monthly, | ||||||
1/20/22 | 79 | (3 | ) | — | (3 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Ecolab Monthly, Receive Variable (0.119)% (1M | ||||||
USD LIBOR + (0.30)%) Monthly, 1/20/22 | 148 | 15 | — | 15 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Emerson Electric Monthly, Receive Variable | ||||||
(0.119)% (1M USD LIBOR + (0.30)%) Monthly, | ||||||
1/20/22 | 240 | 6 | — | 6 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Eversource Energy Monthly, Receive Variable | ||||||
(0.119)% (1M USD LIBOR + (0.30)%) Monthly, | ||||||
1/20/22 | 108 | (6 | ) | — | (6 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Exxon Mobil Monthly, Receive Variable (0.119)% | ||||||
(1M USD LIBOR + (0.30)%) Monthly, 1/20/22 | 256 | 14 | — | 14 | ||
Morgan Stanley, Pay Underlying Reference: FLIR | ||||||
Systems Monthly, Receive Variable (0.119)% (1M | ||||||
USD LIBOR + (0.30)%) Monthly, 1/20/22 | 111 | 2 | — | 2 | ||
Morgan Stanley, Pay Underlying Reference: Ford | ||||||
Motor Monthly, Receive Variable (0.119)% (1M | ||||||
USD LIBOR + (0.30)%) Monthly, 1/20/22 | 43 | 1 | — | 1 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Fortune Brands Home & Security Monthly, | ||||||
Receive Variable (0.119)% (1M USD LIBOR + | ||||||
(0.30)%) Monthly, 1/20/22 | 94 | (11 | ) | — | (11 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Franklin Electric Monthly, Receive Variable | ||||||
(0.119)% (1M USD LIBOR + (0.30)%) Monthly, | ||||||
1/20/22 | 53 | (1 | ) | — | (1 | ) |
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Gartner Monthly, Receive Variable (0.119)% (1M | ||||||
USD LIBOR + (0.30)%) Monthly, 1/20/22 | 124 | 2 | — | 2 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
General Motors Monthly, Receive Variable | ||||||
(0.119)% (1M USD LIBOR + (0.30)%) Monthly, | ||||||
1/20/22 | 198 | 14 | — | 14 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Hewlett Packard Enterprise Monthly, Receive | ||||||
Variable (0.119)% (1M USD LIBOR + (0.30)%) | ||||||
Monthly, 1/20/22 | 63 | (1 | ) | — | (1 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
HollyFrontier Monthly, Receive Variable (0.119)% | ||||||
(1M USD LIBOR + (0.30)%) Monthly, 1/20/22 | 42 | 2 | — | 2 | ||
Morgan Stanley, Pay Underlying Reference: HP | ||||||
Monthly, Receive Variable (0.119)% (1M USD | ||||||
LIBOR + (0.30)%) Monthly, 1/20/22 | 230 | 3 | — | 3 | ||
Morgan Stanley, Pay Underlying Reference: Intel | ||||||
Monthly, Receive Variable (0.119)% (1M USD | ||||||
LIBOR + (0.30)%) Monthly, 1/20/22 | 89 | 17 | — | 17 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
International Business Machines Monthly, | ||||||
Receive Variable (0.119)% (1M USD LIBOR + | ||||||
(0.30)%) Monthly, 1/20/22 | 363 | — | — | — | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Interpublic Group Monthly, Receive Variable | ||||||
(0.119)% (1M USD LIBOR + (0.30)%) Monthly, | ||||||
1/20/22 | 270 | — | — | — | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Invesco QQQ Trust, Series 1 Monthly, Receive | ||||||
Variable (0.119)% (1M USD LIBOR + (0.30)%) | ||||||
Monthly, 1/20/22 | 2,023 | (39 | ) | — | (39 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
iShares Russell 2000 ETF Monthly, Receive | ||||||
Variable (0.919)% (1M USD LIBOR + (1.10)%) | ||||||
Monthly, 1/20/22 | 294 | (1 | ) | — | (1 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Johnson & Johnson Monthly, Receive Variable | ||||||
(0.119)% (1M USD LIBOR + (0.30)%) Monthly, | ||||||
1/20/22 | 114 | 2 | — | 2 | ||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Juniper Networks Monthly, Receive Variable | ||||||
(0.119)% (1M USD LIBOR + (0.30)%) Monthly, | ||||||
1/20/22 | 102 | (10 | ) | — | (10 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Kimco Realty Monthly, Receive Variable | ||||||
(0.119)% (1M USD LIBOR + (0.30)%) Monthly, | ||||||
1/20/22 | 67 | 5 | — | 5 | ||
Morgan Stanley, Pay Underlying Reference: Kraft | ||||||
Heinz Monthly, Receive Variable (0.119)% (1M | ||||||
USD LIBOR + (0.30)%) Monthly, 1/20/22 | 56 | (2 | ) | — | (2 | ) |
Morgan Stanley, Pay Underlying Reference: L | ||||||
Brands Monthly, Receive Variable (0.144)% (1M | ||||||
USD LIBOR + (0.30)%) Monthly, 1/20/22 | 62 | 1 | — | 1 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Livent Monthly, Receive Variable (0.119)% (1M | ||||||
USD LIBOR + (0.30)%) Monthly, 1/20/22 | 141 | 7 | — | 7 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Martin Marietta Materials Monthly, Receive | ||||||
Variable (0.119)% (1M USD LIBOR + (0.30)%) | ||||||
Monthly, 1/20/22 | 78 | 5 | — | 5 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
McCormick Monthly, Receive Variable (0.119)% | ||||||
(1M USD LIBOR + (0.30)%) Monthly, 1/20/22 | 103 | (3 | ) | — | (3 | ) |
Morgan Stanley, Pay Underlying Reference: Mid- | ||||||
America Apartment Monthly, Receive Variable | ||||||
(0.119)% (1M USD LIBOR + (0.30)%) Monthly, | ||||||
1/20/22 | 85 | (5 | ) | — | (5 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Mohawk Industries Monthly, Receive Variable | ||||||
(0.12)% (1M USD LIBOR + (0.30)%) Monthly, | ||||||
1/20/22 | 31 | — | — | — | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Mohawk Industries Monthly, Receive Variable | ||||||
(0.119)% (1M USD LIBOR + (0.30)%) Monthly, | ||||||
1/20/22 | 44 | (2 | ) | — | (2 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
MSCI Monthly, Receive Variable (0.119)% (1M | ||||||
USD LIBOR + (0.30)%) Monthly, 1/20/22 | 175 | — | — | — | ||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Newmont Monthly, Receive Variable (0.119)% | ||||||
(1M USD LIBOR + (0.30)%) Monthly, 1/20/22 | 87 | (10 | ) | — | (10 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Paychex Monthly, Receive Variable (0.119)% (1M | ||||||
USD LIBOR + (0.30)%) Monthly, 1/20/22 | 267 | 4 | — | 4 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Planet Fitness, Class A Monthly, Receive | ||||||
Variable (0.119)% (1M USD LIBOR + (0.30)%) | ||||||
Monthly, 1/20/22 | 150 | 20 | — | 20 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Prospect Capital Monthly, Receive Variable | ||||||
(9.669)% (1M USD LIBOR + (9.85)%) Monthly, | ||||||
1/20/22 | 85 | (2 | ) | — | (2 | ) |
Morgan Stanley, Pay Underlying Reference: PTC | ||||||
Therapeutics Monthly, Receive Variable (0.119)% | ||||||
(1M USD LIBOR + (0.30)%) Monthly, 1/20/22 | 128 | 21 | — | 21 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
ResMed Monthly, Receive Variable (0.119)% (1M | ||||||
USD LIBOR + (0.30)%) Monthly, 1/20/22 | 146 | (4 | ) | — | (4 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Robert Half International Monthly, Receive | ||||||
Variable (0.119)% (1M USD LIBOR + (0.30)%) | ||||||
Monthly, 1/20/22 | 119 | 7 | — | 7 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
SPDR S&P 500 ETF Trust Monthly, Receive | ||||||
Variable (0.119)% (1M USD LIBOR + (0.30)%) | ||||||
Monthly, 1/20/22 | 10,220 | (147 | ) | — | (147 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Starbucks Monthly, Receive Variable (0.119)% | ||||||
(1M USD LIBOR + (0.30)%) Monthly, 1/20/22 | 40 | (1 | ) | — | (1 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Synchrony Financial Monthly, Receive Variable | ||||||
(0.119)% (1M USD LIBOR + (0.30)%) Monthly, | ||||||
1/20/22 | 68 | 4 | — | 4 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Teradyne Monthly, Receive Variable (0.119)% | ||||||
(1M USD LIBOR + (0.30)%) Monthly, 1/20/22 | 160 | (5 | ) | — | (5 | ) |
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Morgan Stanley, Pay Underlying Reference: US | ||||||
Bancorp Monthly, Receive Variable (0.119)% (1M | ||||||
USD LIBOR + (0.30)%) Monthly, 1/20/22 | 281 | 6 | — | 6 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Valero Energy Monthly, Receive Variable | ||||||
(0.119)% (1M USD LIBOR + (0.30)%) Monthly, | ||||||
1/20/22 | 79 | 1 | — | 1 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
VanEck Vectors Semiconductor ETF Monthly, | ||||||
Receive Variable (0.969)% (1M USD LIBOR + | ||||||
(1.15)%) Monthly, 1/20/22 | 168 | (7 | ) | — | (7 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Varian Medical Systems Monthly, Receive | ||||||
Variable (0.119)% (1M USD LIBOR + (0.30)%) | ||||||
Monthly, 1/20/22 | 67 | (9 | ) | — | (9 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Ventas Monthly, Receive Variable (0.128)% (1M | ||||||
USD LIBOR + (0.30)%) Monthly, 1/20/22 | 44 | (2 | ) | — | (2 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Ventas Monthly, Receive Variable (0.119)% (1M | ||||||
USD LIBOR + (0.30)%) Monthly, 1/20/22 | 78 | (5 | ) | — | (5 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Verizon Monthly, Receive Variable (0.124)% (1M | ||||||
USD LIBOR + (0.30)%) Monthly, 1/20/22 | 50 | (1 | ) | — | (1 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
Verizon Monthly, Receive Variable (0.119)% (1M | ||||||
USD LIBOR + (0.30)%) Monthly, 1/20/22 | 94 | (5 | ) | — | (5 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
ViacomCBS, Class B Monthly, Receive Variable | ||||||
(0.119)% (1M USD LIBOR + (0.30)%) Monthly, | ||||||
1/20/22 | 185 | (8 | ) | — | (8 | ) |
Morgan Stanley, Pay Underlying Reference: | ||||||
ViaSat Monthly, Receive Variable (0.119)% (1M | ||||||
USD LIBOR + (0.30)%) Monthly, 1/20/22 | 54 | — | — | — | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
VMware, Class A Monthly, Receive Variable | ||||||
(0.119)% (1M USD LIBOR + (0.30)%) Monthly, | ||||||
1/20/22 | 254 | — | — | — | ||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Vulcan Materials Monthly, Receive Variable | ||||||
(0.119)% (1M USD LIBOR + (0.30)%) Monthly, | ||||||
1/20/22 | 78 | 4 | — | 4 | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Walgreens Boots Alliance Monthly, Receive | ||||||
Variable (0.119)% (1M USD LIBOR + (0.30)%) | ||||||
Monthly, 1/20/22 | 48 | — | — | — | ||
Morgan Stanley, Pay Underlying Reference: | ||||||
Xylem Monthly, Receive Variable (0.119)% (1M | ||||||
USD LIBOR + (0.30)%) Monthly, 1/20/22 | 111 | 3 | — | 3 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Aimmune Therapeutics Monthly, Pay Variable | ||||||
0.481% (1M USD LIBOR + 0.30%) Monthly, | ||||||
1/20/22 | 151 | (32 | ) | — | (32 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Alexion Pharmaceuticals Monthly, Pay Variable | ||||||
0.481% (1M USD LIBOR + 0.30%) Monthly, | ||||||
1/20/22 | 167 | (13 | ) | — | (13 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Alphabet, Class A Monthly, Pay Variable 0.481% | ||||||
(1M USD LIBOR + 0.30%) Monthly, 1/20/22 | 273 | (5 | ) | — | (5 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Altaba Monthly, Pay Variable 0.481% (1M USD | ||||||
LIBOR + 0.30%) Monthly, 1/20/22 | 157 | 13 | — | 13 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Altria Group Monthly, Pay Variable 0.481% (1M | ||||||
USD LIBOR + 0.30%) Monthly, 1/20/22 | 78 | — | — | — | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Amazon. com Monthly, Pay Variable 0.481% (1M | ||||||
USD LIBOR + 0.30%) Monthly, 1/20/22 | 300 | 15 | — | 15 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Ameren Monthly, Pay Variable 0.481% (1M USD | ||||||
LIBOR + 0.30%) Monthly, 1/20/22 | 404 | 23 | — | 23 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
America's Car-Mart Monthly, Pay Variable | ||||||
0.481% (1M USD LIBOR + 0.30%) Monthly, | ||||||
1/20/22 | 188 | 2 | — | 2 | ||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||
Upfront | ||||
Notional | Payments/ | Unrealized | ||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) |
Morgan Stanley, Receive Underlying Reference: | ||||
American Electric Power Monthly, Pay Variable | ||||
0.481% (1M USD LIBOR + 0.30%) Monthly, | ||||
1/20/22 | 113 | 4 | — | 4 |
Morgan Stanley, Receive Underlying Reference: | ||||
Amphenol, Class A Monthly, Pay Variable | ||||
0.481% (1M USD LIBOR + 0.30%) Monthly, | ||||
1/20/22 | 160 | 9 | — | 9 |
Morgan Stanley, Receive Underlying Reference: | ||||
Apple Monthly, Pay Variable 0.481% (1M USD | ||||
LIBOR + 0.30%) Monthly, 1/20/22 | 81 | 7 | — | 7 |
Morgan Stanley, Receive Underlying Reference: | ||||
Applied Materials Monthly, Pay Variable 0.481% | ||||
(1M USD LIBOR + 0.30%) Monthly, 1/20/22 | 136 | 5 | — | 5 |
Morgan Stanley, Receive Underlying Reference: | ||||
Atmos Energy Monthly, Pay Variable 0.481% (1M | ||||
USD LIBOR + 0.30%) Monthly, 1/20/22 | 125 | 7 | — | 7 |
Morgan Stanley, Receive Underlying Reference: | ||||
Avalara Monthly, Pay Variable 0.481% (1M USD | ||||
LIBOR + 0.30%) Monthly, 1/20/22 | 126 | 9 | — | 9 |
Morgan Stanley, Receive Underlying Reference: | ||||
Becton Dickinson & Company Monthly, Pay | ||||
Variable 0.481% (1M USD LIBOR + 0.30%) | ||||
Monthly, 1/20/22 | 167 | 11 | — | 11 |
Morgan Stanley, Receive Underlying Reference: | ||||
Camden Property Trust Monthly, Pay Variable | ||||
0.481% (1M USD LIBOR + 0.30%) Monthly, | ||||
1/20/22 | 146 | — | — | — |
Morgan Stanley, Receive Underlying Reference: | ||||
Capital One Financial Monthly, Pay Variable | ||||
0.481% (1M USD LIBOR + 0.30%) Monthly, | ||||
1/20/22 | 168 | — | — | — |
Morgan Stanley, Receive Underlying Reference: | ||||
CarMax Monthly, Pay Variable 0.481% (1M USD | ||||
LIBOR + 0.30%) Monthly, 1/20/22 | 99 | 2 | — | 2 |
Morgan Stanley, Receive Underlying Reference: | ||||
Celanese Monthly, Pay Variable 0.481% (1M | ||||
USD LIBOR + 0.30%) Monthly, 1/20/22 | 268 | 17 | — | 17 |
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Ceridian HCM Holding Monthly, Pay Variable | ||||||
0.481% (1M USD LIBOR + 0.30%) Monthly, | ||||||
1/20/22 | 276 | (11 | ) | — | (11 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
CF Industries Holdings Monthly, Pay Variable | ||||||
0.481% (1M USD LIBOR + 0.30%) Monthly, | ||||||
1/20/22 | 92 | 2 | — | 2 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Chipotle Mexican Grill Monthly, Pay Variable | ||||||
0.481% (1M USD LIBOR + 0.30%) Monthly, | ||||||
1/20/22 | 84 | 2 | — | 2 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Concho Resources Monthly, Pay Variable | ||||||
0.481% (1M USD LIBOR + 0.30%) Monthly, | ||||||
1/20/22 | 104 | 1 | — | 1 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Credit Acceptance Monthly, Pay Variable 0.481% | ||||||
(1M USD LIBOR + 0.30%) Monthly, 1/20/22 | 79 | 3 | — | 3 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Cummins Monthly, Pay Variable 0.479% (1M | ||||||
USD LIBOR + 0.30%) Monthly, 1/20/22 | 28 | 1 | — | 1 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Cummins Monthly, Pay Variable 0.481% (1M | ||||||
USD LIBOR + 0.30%) Monthly, 1/20/22 | 137 | 8 | — | 8 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Danaher Monthly, Pay Variable 0.481% (1M USD | ||||||
LIBOR + 0.30%) Monthly, 1/20/22 | 78 | 6 | — | 6 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Dell Technologies, Class C Monthly, Pay Variable | ||||||
0.481% (1M USD LIBOR + 0.30%) Monthly, | ||||||
1/20/22 | 211 | 29 | — | 29 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
DocuSign Monthly, Pay Variable 0.481% (1M | ||||||
USD LIBOR + 0.30%) Monthly, 1/20/22 | 193 | 24 | — | 24 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Elanco Animal Health Monthly, Pay Variable | ||||||
0.481% (1M USD LIBOR + 0.30%) Monthly, | ||||||
1/20/22 | 142 | (2 | ) | — | (2 | ) |
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND | ||||||
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Eli Lilly Monthly, Pay Variable 0.481% (1M USD | ||||||
LIBOR + 0.30%) Monthly, 1/20/22 | 203 | (19 | ) | — | (19 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
EOG Resources Monthly, Pay Variable 0.481% | ||||||
(1M USD LIBOR + 0.30%) Monthly, 1/20/22 | 177 | (2 | ) | — | (2 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Equinix Monthly, Pay Variable 0.456% (1M USD | ||||||
LIBOR + 0.30%) Monthly, 1/20/22 | 28 | — | — | — | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Equinix Monthly, Pay Variable 0.473% (1M USD | ||||||
LIBOR + 0.30%) Monthly, 1/20/22 | 131 | 9 | — | 9 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Equity Residential Monthly, Pay Variable 0.481% | ||||||
(1M USD LIBOR + 0.30%) Monthly, 1/20/22 | 81 | (6 | ) | — | (6 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Essex Property Trust Monthly, Pay Variable | ||||||
0.481% (1M USD LIBOR + 0.30%) Monthly, | ||||||
1/20/22 | 74 | (2 | ) | — | (2 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Eversource Energy Monthly, Pay Variable 0.481% | ||||||
(1M USD LIBOR + 0.30%) Monthly, 1/20/22 | 90 | 6 | — | 6 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Exact Sciences Monthly, Pay Variable 0.481% | ||||||
(1M USD LIBOR + 0.30%) Monthly, 1/20/22 | 240 | (4 | ) | — | (4 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Facebook, Class A Monthly, Pay Variable 0.481% | ||||||
(1M USD LIBOR + 0.30%) Monthly, 1/20/22 | 346 | 19 | — | 19 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
FirstEnergy Monthly, Pay Variable 0.472% (1M | ||||||
USD LIBOR + 0.30%) Monthly, 1/20/22 | 37 | 1 | — | 1 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Fiserv Monthly, Pay Variable 0.481% (1M USD | ||||||
LIBOR + 0.30%) Monthly, 1/20/22 | 57 | (1 | ) | — | (1 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Five9 Monthly, Pay Variable 0.481% (1M USD | ||||||
LIBOR + 0.30%) Monthly, 1/20/22 | 202 | 14 | — | 14 |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
FleetCor Technologies Monthly, Pay Variable | ||||||
0.481% (1M USD LIBOR + 0.30%) Monthly, | ||||||
1/20/22 | 106 | (2 | ) | — | (2 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Freeport-McMoRan Monthly, Pay Variable | ||||||
0.481% (1M USD LIBOR + 0.30%) Monthly, | ||||||
1/20/22 | 217 | (10 | ) | — | (10 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Goldman Sachs Group Monthly, Pay Variable | ||||||
0.481% (1M USD LIBOR + 0.30%) Monthly, | ||||||
1/20/22 | 263 | (23 | ) | — | (23 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Grubhub Monthly, Pay Variable 0.481% (1M USD | ||||||
LIBOR + 0.30%) Monthly, 1/20/22 | 226 | 9 | — | 9 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Healthpeak Properties Monthly, Pay Variable | ||||||
0.481% (1M USD LIBOR + 0.30%) Monthly, | ||||||
1/20/22 | 79 | 1 | — | 1 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Hess Monthly, Pay Variable 0.481% (1M USD | ||||||
LIBOR + 0.30%) Monthly, 1/20/22 | 127 | 1 | — | 1 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Honeywell International Monthly, Pay Variable | ||||||
0.481% (1M USD LIBOR + 0.30%) Monthly, | ||||||
1/20/22 | 112 | (2 | ) | — | (2 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Humana Monthly, Pay Variable 0.481% (1M USD | ||||||
LIBOR + 0.30%) Monthly, 1/20/22 | 108 | (1 | ) | — | (1 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Huntington Bancshares Monthly, Pay Variable | ||||||
0.481% (1M USD LIBOR + 0.30%) Monthly, | ||||||
1/20/22 | 217 | 3 | — | 3 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Incyte Monthly, Pay Variable 0.481% (1M USD | ||||||
LIBOR + 0.30%) Monthly, 1/20/22 | 100 | (5 | ) | — | (5 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Ingersoll Rand Monthly, Pay Variable 0.481% | ||||||
(1M USD LIBOR + 0.30%) Monthly, 1/20/22 | 248 | 5 | — | 5 | ||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Intuitive Surgical Monthly, Pay Variable 0.481% | ||||||
(1M USD LIBOR + 0.30%) Monthly, 1/20/22 | 122 | 16 | — | 16 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
iRhythm Technologies Monthly, Pay Variable | ||||||
0.481% (1M USD LIBOR + 0.30%) Monthly, | ||||||
1/20/22 | 111 | 1 | — | 1 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
KKR Monthly, Pay Variable 0.731% (1M USD | ||||||
LIBOR + 0.55%) Monthly, 1/20/22 | 133 | 1 | — | 1 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
KLA Monthly, Pay Variable 0.481% (1M USD | ||||||
LIBOR + 0.30%) Monthly, 1/20/22 | 123 | 2 | — | 2 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Lam Research Monthly, Pay Variable 0.481% | ||||||
(1M USD LIBOR + 0.30%) Monthly, 1/20/22 | 155 | 15 | — | 15 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Littelfuse Monthly, Pay Variable 0.481% (1M USD | ||||||
LIBOR + 0.30%) Monthly, 1/20/22 | 138 | 4 | — | 4 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Marriott International, Class A Monthly, Pay | ||||||
Variable 0.487% (1M USD LIBOR + 0.30%) | ||||||
Monthly, 1/20/22 | 186 | (18 | ) | — | (18 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Maxim Integrated Products Monthly, Pay | ||||||
Variable 0.456% (1M USD LIBOR + 0.30%) | ||||||
Monthly, 1/20/22 | 120 | (1 | ) | — | (1 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Maxim Integrated Products Monthly, Pay | ||||||
Variable 0.466% (1M USD LIBOR + 0.30%) | ||||||
Monthly, 1/20/22 | 47 | — | — | — | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Maxim Integrated Products Monthly, Pay | ||||||
Variable 0.481% (1M USD LIBOR + 0.30%) | ||||||
Monthly, 1/20/22 | 74 | (3 | ) | — | (3 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Micron Technology Monthly, Pay Variable | ||||||
0.481% (1M USD LIBOR + 0.30%) Monthly, | ||||||
1/20/22 | 137 | (1 | ) | — | (1 | ) |
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Microsoft Monthly, Pay Variable 0.481% (1M | ||||||
USD LIBOR + 0.30%) Monthly, 1/20/22 | 250 | (3 | ) | — | (3 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Mondelez International, Class A Monthly, Pay | ||||||
Variable 0.481% (1M USD LIBOR + 0.30%) | ||||||
Monthly, 1/20/22 | 79 | 4 | — | 4 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
MyoKardia Monthly, Pay Variable 0.481% (1M | ||||||
USD LIBOR + 0.30%) Monthly, 1/20/22 | 94 | (4 | ) | — | (4 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
National Instruments Monthly, Pay Variable | ||||||
0.481% (1M USD LIBOR + 0.30%) Monthly, | ||||||
1/20/22 | 156 | (10 | ) | — | (10 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
NIKE, Class B Monthly, Pay Variable 0.481% (1M | ||||||
USD LIBOR + 0.30%) Monthly, 1/20/22 | 129 | (1 | ) | — | (1 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
NVIDIA Monthly, Pay Variable 0.481% (1M USD | ||||||
LIBOR + 0.30%) Monthly, 1/20/22 | 143 | 6 | — | 6 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
NVR Monthly, Pay Variable 0.481% (1M USD | ||||||
LIBOR + 0.30%) Monthly, 1/20/22 | 134 | 24 | — | 24 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Oportun Financial Monthly, Pay Variable 0.481% | ||||||
(1M USD LIBOR + 0.30%) Monthly, 1/20/22 | 161 | 10 | — | 10 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Outfront Media Monthly, Pay Variable 0.481% | ||||||
(1M USD LIBOR + 0.30%) Monthly, 1/20/22 | 182 | 2 | — | 2 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
PACCAR Monthly, Pay Variable 0.479% (1M USD | ||||||
LIBOR + 0.30%) Monthly, 1/20/22 | 85 | — | — | — | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Parker-Hannifin Monthly, Pay Variable 0.481% | ||||||
(1M USD LIBOR + 0.30%) Monthly, 1/20/22 | 214 | (9 | ) | — | (9 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Pioneer Natural Resources Monthly, Pay Variable | ||||||
0.481% (1M USD LIBOR + 0.30%) Monthly, | ||||||
1/20/22 | 145 | — | — | — | ||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
PNC Financial Services Group Monthly, Pay | ||||||
Variable 0.481% (1M USD LIBOR + 0.30%) | ||||||
Monthly, 1/20/22 | 246 | 8 | — | 8 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
QUALCOMM Monthly, Pay Variable 0.481% (1M | ||||||
USD LIBOR + 0.30%) Monthly, 1/20/22 | 204 | 29 | — | 29 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Rockwell Automation Monthly, Pay Variable | ||||||
0.481% (1M USD LIBOR + 0.30%) Monthly, | ||||||
1/20/22 | 136 | (2 | ) | — | (2 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Roper Technologies Monthly, Pay Variable | ||||||
0.481% (1M USD LIBOR + 0.30%) Monthly, | ||||||
1/20/22 | 98 | 8 | — | 8 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Ross Stores Monthly, Pay Variable 0.481% (1M | ||||||
USD LIBOR + 0.30%) Monthly, 1/20/22 | 167 | 12 | — | 12 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Sealed Air Monthly, Pay Variable 0.481% (1M | ||||||
USD LIBOR + 0.30%) Monthly, 1/20/22 | 106 | (1 | ) | — | (1 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Sempra Energy Monthly, Pay Variable 0.481% | ||||||
(1M USD LIBOR + 0.30%) Monthly, 1/20/22 | 120 | 1 | — | 1 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Stryker Monthly, Pay Variable 0.481% (1M USD | ||||||
LIBOR + 0.30%) Monthly, 1/20/22 | 170 | 4 | — | 4 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Tapestry Monthly, Pay Variable 0.481% (1M USD | ||||||
LIBOR + 0.30%) Monthly, 1/20/22 | 63 | (3 | ) | — | (3 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
TD Ameritrade Holding Monthly, Pay Variable | ||||||
0.481% (1M USD LIBOR + 0.30%) Monthly, | ||||||
1/20/22 | 557 | (39 | ) | — | (39 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Terreno Realty Monthly, Pay Variable 0.481% | ||||||
(1M USD LIBOR + 0.30%) Monthly, 1/20/22 | 137 | 19 | — | 19 |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Upfront | ||||||
Notional | Payments/ | Unrealized | ||||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Tradeweb Markets, Class A Monthly, Pay | ||||||
Variable 0.481% (1M USD LIBOR + 0.30%) | ||||||
Monthly, 1/20/22 | 61 | — | — | — | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Twilio, Class A Monthly, Pay Variable 0.481% | ||||||
(1M USD LIBOR + 0.30%) Monthly, 1/20/22 | 90 | 21 | — | 21 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Visa, Class A Monthly, Pay Variable 0.481% (1M | ||||||
USD LIBOR + 0.30%) Monthly, 1/20/22 | 197 | (6 | ) | — | (6 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Walt Disney Monthly, Pay Variable 0.481% (1M | ||||||
USD LIBOR + 0.30%) Monthly, 1/20/22 | 133 | (4 | ) | — | (4 | ) |
Morgan Stanley, Receive Underlying Reference: | ||||||
Wayfair, Class A Monthly, Pay Variable 0.481% | ||||||
(1M USD LIBOR + 0.30%) Monthly, 1/20/22 | 174 | 38 | — | 38 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Welltower Monthly, Pay Variable 0.466% (1M | ||||||
USD LIBOR + 0.30%) Monthly, 1/20/22 | 57 | 3 | — | 3 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Welltower Monthly, Pay Variable 0.481% (1M | ||||||
USD LIBOR + 0.30%) Monthly, 1/20/22 | 79 | 4 | — | 4 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Zendesk Monthly, Pay Variable 0.481% (1M USD | ||||||
LIBOR + 0.30%) Monthly, 1/20/22 | 167 | 5 | — | 5 | ||
Morgan Stanley, Receive Underlying Reference: | ||||||
Zoetis Monthly, Pay Variable 0.481% (1M USD | ||||||
LIBOR + 0.30%) Monthly, 1/20/22 | 156 | 10 | — | 10 | ||
Total United States | — | 298 | ||||
Total Bilateral Total Return Swaps | — | 245 | ||||
Zero-Coupon Inflation Swaps 0.0% | ||||||
United States 0.0% | ||||||
Bank of America, 5 Year Zero-Coupon Inflation | ||||||
Swap Pay Fix 1.535% at Maturity, Receive | ||||||
Variable (Change in CPI) at Maturity, 7/16/25 | 1,250 | 8 | — | 8 | ||
The accompanying notes are an integral part of this Portfolio of Investments. |
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | |||||
Upfront | |||||
Notional | Payments/ | Unrealized | |||
Description | Amount | $ Value | $ (Receipts) | $ Gain/(Loss) | |
Citibank, 5 Year Zero-Coupon Inflation Swap Pay | |||||
Fix 1.548% at Maturity, Receive Variable (Change | |||||
in CPI) at Maturity, 7/8/25 | 1,250 | 7 | — | 7 | |
Total Bilateral Zero-Coupon Inflation Swaps | — | 15 | |||
Total Bilateral Swaps | (1) | 260 |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
(Amounts in $000s) | ||||||
Notional | Initial | Unrealized | ||||
Description | Amount | $ Value | $ Value | $ Gain/(Loss) | ||
CENTRALLY CLEARED SWAPS 0.0% | ||||||
Interest Rate Swaps (0.0)% | ||||||
China (0.0)% | ||||||
5 Year Interest Rate Swap, Receive Fixed 2.55% | ||||||
Quarterly, Pay Variable 2.30% (7 Day Interbank | ||||||
Repo) Quarterly, 7/17/25 | 18,000 | (4 | ) | — | (4) | |
Total Centrally Cleared Interest Rate Swaps | (4) | |||||
Zero-Coupon Inflation Swaps 0.0% | ||||||
United States 0.0% | ||||||
5 Year Zero-Coupon Inflation Swap Pay Fix | ||||||
1.637% at Maturity, Receive Variable (Change in | ||||||
CPI) at Maturity, 7/29/25 | 2,500 | 6 | 1 | 5 | ||
Total Centrally Cleared Zero-Coupon Inflation Swaps | 5 | |||||
Total Centrally Cleared Swaps | 1 | |||||
Net payments (receipts) of variation margin to date | 1 | |||||
Variation margin receivable (payable) on centrally cleared | ||||||
swaps | $ | 2 |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND | ||||||||
(Amounts in $000s) | ||||||||
FORWARD CURRENCY EXCHANGE CONTRACTS | ||||||||
Unrealized | ||||||||
Counterparty | Settlement | Receive | Deliver | Gain/(Loss) | ||||
Bank of America | 8/31/20 | USD | 614KRW | 738,358$ | (4) | |||
Barclays Bank | 8/31/20 | TRY | 13,941USD | 2,012 | (70) | |||
BNP Paribas | 8/4/20 | BRL | 2,147USD | 414 | (2) | |||
BNP Paribas | 8/4/20 | USD | 413BRL | 2,147 | 1 | |||
BNP Paribas | 9/2/20 | USD | 413BRL | 2,147 | 2 | |||
JPMorgan Chase | 8/31/20 | RUB | 4,989USD | 69 | (2) | |||
Morgan Stanley | 8/31/20 | INR | 266,865USD | 3,559 | (9) | |||
Standard Chartered | 8/31/20 | USD | 577CHF | 528 | (1) | |||
State Street | 8/4/20 | BRL | 2,147USD | 413 | (1) | |||
State Street | 8/4/20 | USD | 399BRL | 2,147 | (12) | |||
State Street | 8/31/20 | NOK | 1,670USD | 183 | — | |||
State Street | 8/31/20 | USD | 65CAD | 87 | — | |||
State Street | 8/31/20 | USD | 746EUR | 636 | (3) | |||
State Street | 8/31/20 | USD | 151NZD | 227 | — | |||
UBS Securities | 8/31/20 | MXN | 20,388USD | 921 | (9) | |||
Net unrealized gain (loss) on open forward | ||||||||
currency exchange contracts | $ | (110) |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
FUTURES CONTRACTS | ||||||
($000s) | ||||||
Value and | ||||||
Expiration | Notional | Unrealized Gain | ||||
Date | Amount | (Loss) | ||||
Short, 3 Amsterdam Exchanges Index contracts | 8/20 | (384) $ | 22 | |||
Short, 6 Dax Performance Index contracts | 9/20 | (2,182) | (108) | |||
Long, 3 Euro BOBL contracts | 9/20 | 478 | 2 | |||
Long, 6 Euro BUND contracts | 9/20 | 1,255 | 10 | |||
Long, 7 Euro BUXL thirty year bond contracts | 9/20 | 1,854 | 49 | |||
Long, 4 Euro OAT contracts | 9/20 | 795 | 17 | |||
Long, 13 Euro SCHATZ contracts | 9/20 | 1,718 | 2 | |||
Short, 25 FTSE 100 Index contracts | 9/20 | (1,926) | 30 | |||
Short, 5 FTSE/MIB Index contracts | 9/20 | (562) | 6 | |||
Long, 13 Hang Seng Index contracts | 8/20 | 2,059 | (49) | |||
Long, 11 Long Gilt contracts | 9/20 | 1,995 | 14 | |||
Short, 8 Mini ten year JGB contracts | 9/20 | (1,152) | (5) | |||
Short, 32 MSCI Emerging Markets Index contracts | 9/20 | (1,711) | (141) | |||
Short, 8 OMXS30 Index contracts | 8/20 | (156) | 1 | |||
Short, 28 S&P 500 E-Mini Index contracts | 9/20 | (4,569) | (194) | |||
Long, 10 S&P/TSX 60 Index contracts | 9/20 | 1,441 | 65 | |||
Long, 4 SPI 200 contracts | 9/20 | 420 | 3 | |||
Short, 10 Tokyo Price Index contracts | 9/20 | (1,414) | 94 | |||
Long, 28 U.S. Treasury Long Bond contracts | 9/20 | 5,104 | 100 | |||
Short, 1 U. S. Treasury Notes five year contracts | 9/20 | (126) | (1) | |||
Long, 27 U. S. Treasury Notes ten year contracts | 9/20 | 3,782 | 33 | |||
Net payments (receipts) of variation margin to date | 66 | |||||
Variation margin receivable (payable) on open futures contracts | $ | 16 |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
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 July 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 Dynamic Credit | |||||||||
Fund - I Class | $ | 23 | $ | (81) | $ | 222 | |||
T. Rowe Price Dynamic Global | |||||||||
Bond Fund - I Class | (18) | 413 | (42) | ||||||
T. Rowe Price Global Stock | |||||||||
Fund | (140) | 2,730 | — | ||||||
T. Rowe Price Ultra Short-Term | |||||||||
Bond Fund - I Class | 109 | 349 | 246 | ||||||
T. Rowe Price Government | |||||||||
Reserve Fund | — | — | 39 | ||||||
T. Rowe Price Short-Term Fund | — | — | —++ | ||||||
Totals | $ | (26) # | $ | 3,411 | $ | 465+ |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
Supplementary Investment Schedule | |||||||||
Value | Purchase | Sales | Value | ||||||
Affiliate | 10/31/19 | Cost | Cost | 7/31/20 | |||||
T. Rowe Price Dynamic | |||||||||
Credit Fund - I Class | $ | 5,609 | $ | 5,982 | $ | (150) $ | 11,360 | ||
T. Rowe Price Dynamic | |||||||||
Global Bond Fund - I Class | 4,988 | 4,704 | (3,404) | 6,701 | |||||
T. Rowe Price Global Stock | |||||||||
Fund | — | 9,963 | (1,083) | 11,610 | |||||
T. Rowe Price Ultra Short- | |||||||||
Term Bond Fund - I Class | 19,096 | 16,513 | (23,264) | 12,694 | |||||
T. Rowe Price Government | |||||||||
Reserve Fund | 4,622 | ¤ | ¤ | 12,210 | |||||
T. Rowe Price Short-Term | |||||||||
Fund | 1,198 | ¤ | ¤ | 2,184 | |||||
Total | $ | 56,759^ |
# | Capital gain distributions from mutual funds represented $66 of the net realized gain (loss) . |
++ Excludes earnings on securities lending collateral, which are subject to rebates and fees. | |
+ | Investment income comprised $465 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 $53,328. |
The accompanying notes are an integral part of this Portfolio of Investments.
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
Unaudited
NOTES TO PORTFOLIO OF
INVESTMENTS
T. Rowe Price Multi-Strategy Total Return Fund, Inc. (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 MULTI-STRATEGY TOTAL RETURN FUND
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.
Equity securities listed or regularly traded on a securities exchange or in the OTC market are valued at the last quoted
sale price or, for certain markets, the official closing price at the time the valuations are made. OTC Bulletin Board
securities are valued at the mean of the closing bid and asked prices. A security that is listed or traded on more than one
exchange is valued at the quotation on the exchange determined to be the primary market for such security. Listed
securities not traded on a particular day are valued at the mean of the closing bid and asked prices for domestic
securities and the last quoted sale or closing price for international securities.
For valuation purposes, the last quoted prices of non-U.S. equity securities may be adjusted to reflect the fair value of
such securities at the close of the NYSE. If the fund determines that developments between the close of a foreign market
and the close of the NYSE will affect the value of some or all of its portfolio securities, the fund will adjust the previous
quoted prices to reflect what it believes to be the fair value of the securities as of the close of the NYSE. In deciding
whether it is necessary to adjust quoted prices to reflect fair value, the fund reviews a variety of factors, including
developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments
trading in U.S. markets that represent foreign securities and baskets of foreign securities. The fund may also fair value
securities in other situations, such as when a particular foreign market is closed but the fund is open. The fund uses
outside pricing services to provide it with quoted prices and information to evaluate or adjust those prices. The fund
cannot predict how often it will use quoted prices and how often it will determine it necessary to adjust those prices to
reflect fair value. As a means of evaluating its security valuation process, the fund routinely compares quoted prices, the
next day’s opening prices in the same markets, and adjusted prices.
Actively traded equity securities listed on a domestic exchange generally are categorized in Level 1 of the fair value
hierarchy. Non-U.S. equity securities generally are categorized in Level 2 of the fair value hierarchy despite the
availability of quoted prices because, as described above, the fund evaluates and determines whether those quoted prices
reflect fair value at the close of the NYSE or require adjustment. OTC Bulletin Board securities, certain preferred
securities, and equity securities traded in inactive markets generally are categorized in Level 2 of the fair value
hierarchy.
Investments denominated in foreign currencies are translated into U.S. dollar values each day at the prevailing exchange
rate, using the mean of the bid and asked prices of such currencies against U.S. dollars as quoted by a major bank.
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. Listed options, and OTC options with a listed equivalent, are valued at
the mean of the closing bid and asked prices and generally are categorized in Level 2 of the fair value hierarchy.
Exchange-traded options on futures contracts are valued at closing settlement prices and generally 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. Forward currency exchange contracts are valued using the prevailing forward
exchange rate and are categorized in Level 2 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
T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND
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 July 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 | $ | — $ | 12,161$ | — $ | 12,161 | |||
Bank Loans | — | 7,924 | 87 | 8,011 | ||||
Bond Mutual Funds | 30,755 | — | — | 30,755 | ||||
Common Stocks | 482 | 570 | — | 1,052 | ||||
Convertible Preferred Stocks | — | 1,426 | — | 1,426 | ||||
Equity Mutual Funds | 11,610 | — | — | 11,610 | ||||
Preferred Stocks | 366 | — | — | 366 | ||||
Short-Term Investments | 12,210 | — | — | 12,210 | ||||
Securities Lending Collateral | 2,184 | — | — | 2,184 | ||||
Options Purchased | — | 64 | — | 64 | ||||
Total Securities | 57,607 | 22,145 | 87 | 79,839 | ||||
Swaps | — | 2,074 | — | 2,074 | ||||
Forward Currency Exchange Contracts | — | 3 | — | 3 | ||||
Futures Contracts | 16 | — | — | 16 | ||||
Total | $ | 57,623$ | 24,222$ | 87$ | 81,932 | |||
Liabilities | ||||||||
Options Written | $ | 16$ | 143$ | — $ | 159 | |||
Swaps | — | 1,813 | — | 1,813 | ||||
Forward Currency Exchange Contracts | — | 113 | — | 113 | ||||
Total | $ | 16$ | 2,069$ | — $ | 2,085 |
1 Includes Convertible Bonds, Corporate Bonds, Government Bonds.