NPORT-EX 2 70JDTRPMultiStratTotalRetFd.htm jdtrowepricemultistrategyret.htm - Generated by SEC Publisher for SEC Filing

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.