0001752724-21-206945.txt : 20210924 0001752724-21-206945.hdr.sgml : 20210924 20210924125117 ACCESSION NUMBER: 0001752724-21-206945 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20210730 FILED AS OF DATE: 20210924 PERIOD START: 20211031 FILER: COMPANY DATA: COMPANY CONFORMED NAME: T. Rowe Price Multi-Strategy Total Return Fund, Inc. CENTRAL INDEX KEY: 0001707770 IRS NUMBER: 821995650 FISCAL YEAR END: 1031 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-23261 FILM NUMBER: 211276362 BUSINESS ADDRESS: STREET 1: 100 EAST PRATT STREET CITY: BALTIMORE STATE: MD ZIP: 21202 BUSINESS PHONE: 410-345-4981 MAIL ADDRESS: STREET 1: 100 EAST PRATT STREET CITY: BALTIMORE STATE: MD ZIP: 21202 0001707770 S000058608 T. Rowe Price Multi-Strategy Total Return Fund C000192517 T. Rowe Price Multi-Strategy Total Return Fund TMSRX C000192519 T. 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LLC 9R7GPTSO7KV3UQJZQ078 Seagate Technology Holdings PL Seagate Technology Holdings PLC Y Equity - Performance Leg 2022-01-20 0.00000000 USD 0.00000000 USD -16540.64000000 USD -1039.84000000 N N N Equitable Holdings Inc 549300FIBAKMNHPZ4009 Equitable Holdings Inc 29452E101 985.00000000 NS USD 30406.95000000 0.014766657614 Long EC CORP US N 1 N N N IG INVESTMENT HOLDINGS 549300E2BEZMEPIYGU19 IG Investments Holdings LLC 44958AAJ6 104800.45000000 PA USD 104762.72000000 0.050876369285 Long LON CORP US N 2 2025-05-23 Floating 4.75000000 N N N N N N Centene Corp 549300Z7JJ4TQSQGT333 Centene Corp 15135B101 725.00000000 NS USD 49742.25000000 0.024156542327 Long EC CORP US N 1 N N N MetLife Inc C4BXATY60WC6XEOZDX54 MetLife Inc 59156R108 777.00000000 NS USD 44832.90000000 0.021772393619 Long EC CORP US N 1 N N N GOLDMAN SACHS & CO LLC FOR8UP27PHTHYVLBNG30 TRS EXXON MOBIL CORP 000000000 1.00000000 NC USD 403.36000000 0.000195885447 N/A DE CORP US N 2 GOLDMAN SACHS & CO LLC FOR8UP27PHTHYVLBNG30 Exxon Mobil Corp Exxon Mobil Corp Y Equity - Performance Leg 2022-01-20 0.00000000 USD 0.00000000 USD -17331.30000000 USD 403.36000000 N N N BECTON DICKINSON AND CO ICE2EP6D98PQUILVRZ91 Becton Dickinson and Co 075887406 4291.00000000 NS USD 239173.19000000 0.116150702631 Long EP CORP US N 2 N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 TRS EXPEDITORS INTERNATIONAL OF WASHINGTON INC 000000000 1.00000000 NC USD -282.78000000 -0.00013732766 N/A DE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Expeditors International of Wa Expeditors International of Washington Inc Y Equity - Performance Leg 2022-01-20 0.00000000 USD 0.00000000 USD -43326.20000000 USD -282.78000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 TRS COLGATE-PALMOLIVE CO 000000000 1.00000000 NC USD 6018.92000000 0.002922993948 N/A DE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Colgate-Palmolive Co Colgate-Palmolive Co Y Equity - Performance Leg 2022-01-20 0.00000000 USD 0.00000000 USD -137069.57000000 USD 6018.92000000 N N N Unifique Telecomunicacoes S/A N/A Unifique Telecomunicacoes S/A 000000000 104024.00000000 NS 176760.41000000 0.085840916445 Long EC CORP BR N 2 N N N Huntington Bancshares Inc/OH 549300XTVCVV9I7B5T19 Huntington Bancshares Inc/OH 446150104 5213.00000000 NS USD 73399.04000000 0.035645090774 Long EC CORP US N 1 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 TRS SSP GROUP PLC 000000000 1.00000000 NC 511.93000000 0.000248610762 N/A DE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 SSP Group Plc SSP Group Plc Y Equity - Performance Leg 2022-01-19 0.00000000 USD 0.00000000 USD 4786.95000000 GBP 511.93000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 TRS SPDR S&P 500 ETF TRUST 000000000 1.00000000 NC USD -28502.76000000 -0.01384191765 N/A DE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 SPDR S&P 500 ETF Trust SPDR S&P 500 ETF Trust Y Equity - Performance Leg 2022-01-20 0.00000000 USD 0.00000000 USD -3262798.75000000 USD -28502.76000000 N N N JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 TRS ZALANDO SE 000000000 1.00000000 NC -12610.28000000 -0.00612398439 N/A DE CORP US N 2 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 Zalando SE Zalando SE Y Equity - Performance Leg 2022-01-19 0.00000000 USD 0.00000000 USD 204821.90000000 EUR -12610.28000000 N N N MORGAN STANLEY & COMPANY LLC 9R7GPTSO7KV3UQJZQ078 TRS ALPHABET INC 000000000 1.00000000 NC USD 769.37000000 0.000373632454 N/A DE CORP US N 2 MORGAN STANLEY & COMPANY LLC 9R7GPTSO7KV3UQJZQ078 Alphabet Inc Alphabet Inc Y Equity - Performance Leg 2022-01-20 0.00000000 USD 0.00000000 USD 12700.49700000 USD 769.37000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 TRS LIVE NATION ENTERTAINMENT INC 000000000 1.00000000 NC USD -172.85000000 -0.00008394188 N/A DE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Live Nation Entertainment Inc Live Nation Entertainment Inc Y Equity - Performance Leg 2022-01-20 0.00000000 USD 0.00000000 USD 13108.52000000 USD -172.85000000 N N N AMERICAN ELECTRIC POWER 1B4S6S7G0TW5EE83BO58 American Electric Power Co Inc 02557T307 2370.00000000 NS USD 124855.06000000 0.060633898582 Long EP CORP US N 2 N N N HOME POINT CAPITAL INC 549300DQF6YN0E43PM71 Home Point Capital Inc 43734LAA4 185000.00000000 PA USD 170200.00000000 0.082654956384 Long DBT CORP US N 2 2026-02-01 Fixed 5.00000000 N N N N N N Amadeus IT Group SA 9598004A3FTY3TEHHN09 Amadeus IT Group SA 000000000 4339.00000000 NS 284555.15000000 0.138189738615 Long EC CORP ES N 2 N N N BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 TRS FRESENIUS MEDICAL CARE AG & CO KGAA 000000000 1.00000000 NC 5791.58000000 0.002812589848 N/A DE CORP US N 2 BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 Fresenius Medical Care AG & Co KGaA Fresenius Medical Care AG & Co KGaA Y Equity - Performance Leg 2022-01-19 0.00000000 USD 0.00000000 USD -118048.00000000 EUR 5791.58000000 N N N MONTREAL EXCHANGE N/A 10 YEAR CANADIAN BOND 000000000 -11.00000000 NC -36960.78000000 -0.01794942220 N/A DIR CORP CA N 1 MONTREAL EXCHANGE N/A Short CANADIAN GOVERNMENT Canadian Government Bond 2021-09-21 -1310631.48000000 USD -36960.78000000 N N N Linde PLC 8945002PAZHZLBGKGF02 Linde PLC 000000000 394.00000000 NS USD 121111.66000000 0.058815975176 Long EC CORP GB N 1 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 TRS CADENCE BANCORP 000000000 1.00000000 NC USD -2227.03000000 -0.00108152213 N/A DE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Cadence BanCorp Cadence BanCorp Y Equity - Performance Leg 2022-01-20 0.00000000 USD 0.00000000 USD 40220.00000000 USD -2227.03000000 N N N Middleby Corp/The JDFO86U9VQRBKW5KYA35 Middleby Corp/The 596278101 304.00000000 NS USD 58212.96000000 0.028270209575 Long EC CORP US N 1 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 TRS LIVE NATION ENTERTAINMENT INC 000000000 1.00000000 NC USD -231.87000000 -0.00011260402 N/A DE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Live Nation Entertainment Inc Live Nation Entertainment Inc Y Equity - Performance Leg 2022-01-20 0.00000000 USD 0.00000000 USD 17584.60000000 USD -231.87000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 TRS CARNEY TECHNOLOGY ACQUISITION CORP II 000000000 1.00000000 NC USD 53.99000000 0.000026219395 N/A DE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Carney Technology Acquisition Carney Technology Acquisition Corp II Y Equity - Performance Leg 2022-01-20 0.00000000 USD 0.00000000 USD 62985.00000000 USD 53.99000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 TRS TESLA INC 000000000 1.00000000 NC USD -7955.18000000 -0.00386330820 N/A DE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Tesla Inc Tesla Inc Y Equity - Performance Leg 2022-01-20 0.00000000 USD 0.00000000 USD -141180.20000000 USD -7955.18000000 N N N Magna International Inc 95RWVLFZX6VGDZNNTN43 Magna International Inc 559222401 578.00000000 NS USD 48453.74000000 0.023530797687 Long EC CORP CA N 1 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 TRS FIFTH THIRD BANCORP 000000000 1.00000000 NC USD -930.61000000 -0.00045193612 N/A DE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Fifth Third Bancorp Fifth Third Bancorp Y Equity - Performance Leg 2022-01-20 0.00000000 USD 0.00000000 USD 23644.02000000 USD -930.61000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 TRS ZHEJIANG RUNTU CO LTD 000000000 1.00000000 NC 1844.79000000 0.000895893284 N/A DE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Zhejiang Runtu Co Ltd Zhejiang Runtu Co Ltd Y Equity - Performance Leg 2022-01-20 0.00000000 USD 0.00000000 USD 557094.93000000 CNY 1844.79000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 TRS FIRST TRUST EXCHANGE-TRADED FUND-FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX SM 000000000 1.00000000 NC USD -2545.81000000 -0.00123633263 N/A DE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 FIRST TRUST NASDQ 100 EQ WEI FIRST TRUST NASDQ 100 EQ WEI Y Equity - Performance Leg 2022-01-20 0.00000000 USD 0.00000000 USD -95795.40000000 USD -2545.81000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 TRS ENBRIDGE INC 000000000 1.00000000 NC 693.38000000 0.000336729104 N/A DE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Enbridge Inc Enbridge Inc Y Equity - Performance Leg 2022-01-19 0.00000000 USD 0.00000000 USD -186473.34000000 CAD 693.38000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 TRS BANCORPSOUTH BANK 000000000 1.00000000 NC USD 3715.69000000 0.001804466479 N/A DE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 BancorpSouth Bank BancorpSouth Bank Y Equity - Performance Leg 2022-01-20 0.00000000 USD 0.00000000 USD -69047.64000000 USD 3715.69000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 TRS SPDR S&P OIL & GAS EXPLORATION & PRODUCTION ETF 000000000 1.00000000 NC USD -380.61000000 -0.00018483726 N/A DE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 SPDR S&P Oil & Gas Exploration & Production ETF SPDR S&P Oil & Gas Exploration & Production ETF Y Equity - Performance Leg 2022-01-20 0.00000000 USD 0.00000000 USD -16180.24000000 USD -380.61000000 N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 TRS UNILEVER PLC 000000000 1.00000000 NC -5192.84000000 -0.00252182117 N/A DE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Unilever PLC Unilever PLC Y Equity - Performance Leg 2022-01-19 0.00000000 USD 0.00000000 USD 117450.10000000 GBP -5192.84000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 TRS CME GROUP INC 000000000 1.00000000 NC USD 5351.00000000 0.002598629092 N/A DE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 CME Group Inc CME Group Inc Y Equity - Performance Leg 2022-01-20 0.00000000 USD 0.00000000 USD 672923.16000000 USD 5351.00000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 TRS MALACCA STRAITS ACQUISITION CO LTD 000000000 1.00000000 NC USD -11.24000000 -0.00000545852 N/A DE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Malacca Straits Acquisition Co Ltd MALACCA STRAITS ACQUISI-CL A Y Equity - Performance Leg 2022-01-20 0.00000000 USD 0.00000000 USD 64350.00000000 USD -11.24000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 E-MINI STANDARD & POOR'S 500 INDEX 000000000 -60.00000000 NC USD -122826.98000000 -0.05964899338 N/A DE CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Short STANDARD & POOR'S FINANCIAL SERVICES LLC STANDARD & POORS'S 500 2021-09-17 -13045673.02000000 USD -122826.98000000 N N N Marqeta Inc N/A Marqeta Inc 57142B104 832.00000000 NS USD 22322.56000000 0.010840600606 Long EC CORP US N 1 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 TRS ISHARES MSCI EMERGING MARKETS ETF 000000000 1.00000000 NC USD 3848.05000000 0.001868745034 N/A DE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 iShares MSCI Emerging Markets ETF iShares MSCI Emerging Markets ETF Y Equity - Performance Leg 2022-01-20 0.00000000 USD 0.00000000 USD -86416.00000000 USD 3848.05000000 N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 TRS OTIS WORLDWIDE CORP 000000000 1.00000000 NC USD 4069.05000000 0.001976070213 N/A DE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Otis Worldwide Corp Otis Worldwide Corp Y Equity - Performance Leg 2022-01-20 0.00000000 USD 0.00000000 USD 80627.58000000 USD 4069.05000000 N N N Coupa Software Inc 549300Q95ICR2GFL2K37 Coupa Software Inc 22266L106 336.00000000 NS USD 72912.00000000 0.035408567449 Long EC CORP US N 1 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 TRS PAYCHEX INC 000000000 1.00000000 NC USD -39274.51000000 -0.01907304883 N/A DE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Paychex Inc Paychex Inc Y Equity - Performance Leg 2022-01-20 0.00000000 USD 0.00000000 USD -1144940.12000000 USD -39274.51000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 TRS POSCO 000000000 1.00000000 NC USD -125.13000000 -0.00006076741 N/A DE CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 POSCO POSCO Y Equity - Performance Leg 2022-01-20 0.00000000 USD 0.00000000 USD -39370.10000000 USD -125.13000000 N N N 2021-09-23 T. ROWE PRICE MULTI-STRATEGY TOTAL RETURN FUND, INC. Alan S. Dupski Alan S. Dupski Treasurer & Vice President XXXX NPORT-EX 2 70JDTRPMuListratTotalRd.htm
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
July
31,
2021
(Unaudited)
1
Portfolio
of
Investments
‡
Par/Shares
$
Value
(
Cost
and
value
in
$000s)
‡
ARGENTINA
0.0%
Common
Stocks
0.0%
MercadoLibre
(USD) (1)
41‌
64‌
Tenaris
(EUR) 
1,442‌
15‌
79‌
Government
Bonds
0.0%
Republic
of
Argentina,
0.00%,
12/15/35
(USD) 
900,000‌
6‌
6‌
Total
Argentina
(Cost
$85
)
85‌
AUSTRALIA
0.1%
Common
Stocks
0.1%
ALS 
2,272‌
21‌
BHP
Group 
1,176‌
46‌
IGO 
3,009‌
21‌
Northern
Star
Resources 
2,068‌
16‌
OZ
Minerals 
900‌
15‌
Total
Australia
(Cost
$118
)
119‌
AUSTRIA
0.0%
Common
Stocks
0.0%
BAWAG
Group 
579‌
33‌
Erste
Group
Bank 
606‌
23‌
Mayr
Melnhof
Karton 
61‌
13‌
Total
Austria
(Cost
$69
)
69‌
BRAZIL
0.5%
Common
Stocks
0.3%
Boa
Vista
Servicos 
7,037‌
15‌
Magazine
Luiza 
47,249‌
187‌
Rede
D'Or
Sao
Luiz 
2,934‌
39‌
StoneCo,
Class
A
(USD) (1)
3,418‌
201‌
Unifique
Telecomunicacoes (1)
104,024‌
177‌
619‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
2
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Corporate
Bonds
0.2%
BRF,
5.75%,
9/21/50
(USD) (2)
400,000‌
407‌
407‌
Total
Brazil
(Cost
$1,035
)
1,026‌
CANADA
0.4%
Common
Stocks
0.4%
Brookfield
Asset
Management,
Class
A
(USD) (3)
381‌
21‌
Canadian
Pacific
Railway
(USD) 
587‌
44‌
Enbridge
(USD) 
540‌
21‌
Enerflex 
1,800‌
10‌
ERO
Copper (1)
981‌
20‌
Magna
International
(USD) 
578‌
48‌
MDA (1)(3)
1,864‌
24‌
Pan
American
Silver
(USD) 
526‌
15‌
Shopify,
Class
A
(USD) (1)
317‌
475‌
Summit
Industrial
Income
REIT 
1,269‌
19‌
Sun
Life
Financial
(USD) 
656‌
34‌
TC
Energy
(USD) 
419‌
20‌
Wesdome
Gold
Mines (1)
1,757‌
18‌
769‌
Corporate
Bonds
0.0%
1011778
BC
ULC,
5.75%,
4/15/25
(USD) (2)
105,000‌
111‌
111‌
Total
Canada
(Cost
$808
)
880‌
CHINA
1.6%
Common
Stocks
0.5%
58.com
(USD) (1)(4)
22,100‌
—‌
Alibaba
Group
Holding
(HKD) (1)
4,500‌
110‌
Alibaba
Group
Holding,
ADR
(USD) (1)
321‌
63‌
BeiGene,
ADR
(USD) (1)
50‌
16‌
Beijing
Capital
International
Airport,
H
Shares
(HKD) (1)
34,000‌
20‌
Bilibili,
ADR
(USD) (1)
825‌
71‌
China
Mengniu
Dairy
(HKD) 
5,000‌
27‌
Huazhu
Group,
ADR
(USD) (1)
5,335‌
240‌
I-Mab,
ADR
(USD) (1)
835‌
65‌
Kanzhun,
ADR
(USD) (1)
1,574‌
54‌
Li
Ning
(HKD) 
2,500‌
26‌
Pinduoduo,
ADR
(USD) (1)
695‌
64‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
3
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Renrui
Human
Resources
Technology
Holdings
(HKD) (3)
6,300‌
8‌
Tencent
Holdings
(HKD) 
1,600‌
96‌
Trip.com
Group,
ADR
(USD) (1)
4,401‌
114‌
Zai
Lab,
ADR
(USD) (1)
97‌
14‌
Zhongsheng
Group
Holdings
(HKD) 
4,000‌
37‌
1,025‌
Common
Stocks
-
China
A
Shares
0.2%
Deppon
Logistics,
A
Shares
(CNH) 
9,400‌
14‌
Gree
Electric
Appliances
of
Zhuhai,
A
Shares
(CNH) 
26,700‌
196‌
Huayu
Automotive
Systems,
A
Shares
(CNH) 
7,000‌
21‌
NARI
Technology,
A
Shares
(CNH) 
11,440‌
56‌
287‌
Corporate
Bonds
0.9%
Guangzhou
Metro
Investment
Finance
BVI,
2.31%,
9/17/30
(USD) 
600,000‌
582‌
Kaisa
Group
Holdings,
11.50%,
1/30/23
(USD) 
200,000‌
172‌
Shimao
Group
Holdings,
3.45%,
1/11/31
(USD) (3)
400,000‌
371‌
Times
China
Holdings,
5.75%,
1/14/27
(USD) (3)
718,000‌
646‌
Yuzhou
Group
Holdings,
6.00%,
10/25/23
(USD) 
200,000‌
159‌
1,930‌
Total
China
(Cost
$3,572
)
3,242‌
DENMARK
0.1%
Common
Stocks
0.1%
Ascendis
Pharma,
ADR
(USD) (1)
737‌
87‌
Genmab (1)
45‌
20‌
Total
Denmark
(Cost
$115
)
107‌
FINLAND
0.0%
Common
Stocks
0.0%
Kojamo 
585‌
14‌
Sampo,
A
Shares 
447‌
22‌
Stora
Enso,
R
Shares 
857‌
17‌
UPM-Kymmene 
807‌
33‌
Total
Finland
(Cost
$81
)
86‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
4
Par/Shares
$
Value
(Cost
and
value
in
$000s)
FRANCE
0.6%
Common
Stocks
0.6%
Air
Liquide 
133‌
23‌
Airbus (1)
4,458‌
612‌
Alstom (1)(3)
1,882‌
78‌
Imerys 
306‌
14‌
Legrand 
82‌
9‌
LVMH
Moet
Hennessy
Louis
Vuitton 
123‌
99‌
Pernod
Ricard 
121‌
27‌
Safran 
286‌
37‌
Schneider
Electric 
110‌
18‌
Teleperformance 
128‌
54‌
Thales 
370‌
39‌
TotalEnergies 
1,827‌
80‌
Valeo 
970‌
28‌
Verallia 
563‌
21‌
Total
France
(Cost
$1,164
)
1,139‌
GERMANY
0.6%
Bank
Loans
0.1%
(5)
TK
Elevator
U.S.
Newco,
FRN,
1M
USD
LIBOR
+
4.25%,
4.404%,
7/30/27
(USD) 
198,504‌
198‌
198‌
Common
Stocks
0.3%
BioNTech,
ADR
(USD) (1)
247‌
81‌
Covestro 
227‌
15‌
Delivery
Hero (1)
198‌
29‌
Infineon
Technologies 
5,015‌
192‌
KION
Group 
584‌
62‌
Merck 
97‌
20‌
Siemens 
882‌
138‌
Zalando (1)
234‌
26‌
563‌
Corporate
Bonds
0.1%
Vertical
Holdco,
7.625%,
7/15/28
(USD) (2)
200,000‌
216‌
216‌
Preferred
Stocks
0.1%
Sartorius 
349‌
211‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
5
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Volkswagen 
263‌
64‌
275‌
Total
Germany
(Cost
$1,194
)
1,252‌
GREECE
0.2%
Common
Stocks
0.2%
Alpha
Services
and
Holdings (1)
48,866‌
63‌
Eurobank
Ergasias
Services
&
Holdings (1)
113,728‌
107‌
National
Bank
of
Greece (1)
33,296‌
94‌
Piraeus
Financial
Holdings (1)
56,039‌
97‌
Total
Greece
(Cost
$347
)
361‌
HONG
KONG
0.0%
Common
Stocks
0.0%
Samsonite
International (1)
15,600‌
29‌
Sun
Hung
Kai
Properties 
1,500‌
22‌
Total
Hong
Kong
(Cost
$60
)
51‌
HUNGARY
0.2%
Common
Stocks
0.2%
OTP
Bank (1)
6,190‌
334‌
Wizz
Air
Holdings
(GBP) (1)
546‌
37‌
Total
Hungary
(Cost
$261
)
371‌
INDIA
0.5%
Common
Stocks
0.5%
Axis
Bank (1)
32,942‌
315‌
HDFC
Bank 
13,674‌
263‌
Housing
Development
Finance 
6,666‌
219‌
Kotak
Mahindra
Bank (1)
12,397‌
277‌
Voltas 
1,553‌
22‌
Total
India
(Cost
$1,021
)
1,096‌
INDONESIA
0.1%
Common
Stocks
0.1%
Bank
Central
Asia 
103,000‌
213‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
6
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Sarana
Menara
Nusantara 
235,900‌
24‌
Total
Indonesia
(Cost
$236
)
237‌
ISRAEL
0.1%
Common
Stocks
0.1%
Monday.com
(USD) (1)
191‌
42‌
Riskified,
Class
A
(USD) (1)
8,650‌
237‌
Total
Israel
(Cost
$217
)
279‌
ITALY
0.3%
Common
Stocks
0.3%
Davide
Campari-Milano 
2,410‌
34‌
Ferrari
(USD) 
1,582‌
345‌
GVS 
1,409‌
22‌
PRADA
(HKD) 
20,200‌
158‌
Total
Italy
(Cost
$532
)
559‌
JAPAN
0.9%
Common
Stocks
0.9%
Asics 
700‌
16‌
Bridgestone 
800‌
35‌
Daikin
Industries 
200‌
42‌
Fancl 
5,300‌
169‌
Hamamatsu
Photonics 
2,800‌
156‌
Harmonic
Drive
Systems (3)
2,500‌
138‌
Hoshizaki 
700‌
59‌
Industrial
&
Infrastructure
Fund
Investment (3)
11‌
21‌
Istyle (1)
3,600‌
15‌
Keyence 
100‌
56‌
Komatsu 
2,300‌
58‌
Matsumotokiyoshi
Holdings 
400‌
18‌
Mitsui
Fudosan 
1,000‌
23‌
Miura 
1,000‌
44‌
Recruit
Holdings 
10,400‌
539‌
Seven
&
i
Holdings 
700‌
31‌
Shin-Etsu
Chemical 
100‌
16‌
SMC 
100‌
59‌
Sompo
Holdings 
200‌
8‌
Sony
Group 
2,900‌
303‌
Stanley
Electric 
1,300‌
34‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
7
Par/Shares
$
Value
(Cost
and
value
in
$000s)
SUMCO 
600‌
14‌
Suzuki
Motor 
1,800‌
73‌
Total
Japan
(Cost
$1,932
)
1,927‌
NETHERLANDS
0.3%
Common
Stocks
0.3%
Adyen (1)
47‌
127‌
Akzo
Nobel 
250‌
31‌
Argenx,
ADR
(USD) (1)
166‌
51‌
ASML
Holding 
402‌
307‌
Heineken 
273‌
32‌
ING
Groep 
2,493‌
32‌
Koninklijke
DSM 
119‌
24‌
TKH
Group,
CVA 
758‌
40‌
Total
Netherlands
(Cost
$592
)
644‌
NORWAY
0.0%
Common
Stocks
0.0%
Aker
BP 
638‌
17‌
Borregaard 
727‌
19‌
Equinor 
2,021‌
40‌
Total
Norway
(Cost
$82
)
76‌
PERU
0.0%
Common
Stocks
0.0%
Southern
Copper
(USD) 
323‌
21‌
Total
Peru
(Cost
$21
)
21‌
PORTUGAL
0.0%
Common
Stocks
0.0%
Galp
Energia 
3,619‌
35‌
Jeronimo
Martins 
1,021‌
21‌
Total
Portugal
(Cost
$62
)
56‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
8
Par/Shares
$
Value
(Cost
and
value
in
$000s)
SINGAPORE
0.3%
Common
Stocks
0.3%
Sea,
ADR
(USD) (1)
2,158‌
596‌
Total
Singapore
(Cost
$569
)
596‌
SOUTH
AFRICA
0.2%
Government
Bonds
0.2%
Republic
of
South
Africa,
8.00%,
1/31/30 
5,775,000‌
375‌
Total
South
Africa
(Cost
$340
)
375‌
SOUTH
KOREA
0.1%
Common
Stocks
0.1%
Coupang
(USD) (1)(3)
2,660‌
97‌
Total
South
Korea
(Cost
$103
)
97‌
SPAIN
0.2%
Common
Stocks
0.2%
Amadeus
IT
Group,
A
Shares (1)
4,339‌
284‌
Cellnex
Telecom 
580‌
38‌
Total
Spain
(Cost
$365
)
322‌
SWEDEN
0.5%
Bank
Loans
0.2%
(5)
All-Star
Bidco,
FRN,
1M
USD
LIBOR
+
3.50%,
7/21/28
(USD) (6)
300,000‌
299‌
299‌
Common
Stocks
0.2%
Alfa
Laval 
1,396‌
58‌
Atlas
Copco,
B
Shares 
418‌
24‌
Boliden 
1,427‌
56‌
Epiroc,
Class
B 
1,080‌
22‌
Hexagon,
B
Shares 
1,693‌
28‌
Hexpol 
1,140‌
15‌
Lundin
Energy 
678‌
21‌
Sandvik 
641‌
17‌
Spotify
Technology
(USD) (1)
142‌
32‌
Svenska
Cellulosa,
Class
B 
10,107‌
188‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
9
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Swedbank,
A
Shares 
1,069‌
21‌
Swedish
Match 
1,854‌
16‌
498‌
Corporate
Bonds
0.1%
Verisure
Holding,
FRN,
3M
EURIBOR
+
5.00%,
5.00%,
4/15/25
(EUR) (2)
100,000‌
121‌
121‌
Total
Sweden
(Cost
$879
)
918‌
SWITZERLAND
0.2%
Common
Stocks
0.2%
Cie
Financiere
Richemont 
267‌
34‌
Montana
Aerospace (1)
2,840‌
108‌
Nestle 
550‌
70‌
Roche
Holding 
103‌
40‌
Sophia
Genetics
(USD) (1)
4,296‌
67‌
Zurich
Insurance
Group 
52‌
21‌
Total
Switzerland
(Cost
$326
)
340‌
TAIWAN
0.2%
Common
Stocks
0.2%
Taiwan
Semiconductor
Manufacturing 
24,000‌
502‌
Total
Taiwan
(Cost
$511
)
502‌
TURKEY
0.0%
Common
Stocks
0.0%
D-MARKET
Elektronik
Hizmetler
ve
Ticaret,
ADR
(USD) (1)
3,106‌
41‌
Total
Turkey
(Cost
$37
)
41‌
UNITED
KINGDOM
1.3%
Common
Stocks
1.3%
Ashtead
Group 
5,463‌
409‌
ASOS (1)
245‌
13‌
AstraZeneca,
ADR
(USD) 
912‌
52‌
Atotech
(USD) (1)
1,389‌
34‌
Aviva 
1,664‌
9‌
Baltic
Classifieds
Group (1)
64,814‌
198‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
10
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Croda
International 
178‌
21‌
Derwent
London 
5,097‌
257‌
Direct
Line
Insurance
Group 
5,465‌
23‌
Dr.
Martens (1)
2,387‌
14‌
Experian 
6,525‌
287‌
Farfetch,
Class
A
(USD) (1)
1,275‌
64‌
Genuit
Group 
6,384‌
57‌
Hargreaves
Lansdown 
613‌
14‌
Helios
Towers (1)
6,505‌
15‌
HomeServe 
2,502‌
32‌
IMI 
541‌
13‌
London
Stock
Exchange
Group 
6,000‌
626‌
Melrose
Industries 
18,537‌
41‌
Mondi 
1,243‌
34‌
Next (1)
135‌
15‌
Novocure
(USD) (1)
110‌
17‌
Prudential 
684‌
13‌
Smiths
Group 
3,009‌
65‌
THG (1)
2,544‌
21‌
Trainline (1)
24,478‌
115‌
Unilever
(EUR) 
974‌
56‌
UNITE
Group 
1,042‌
17‌
Weir
Group (1)
2,279‌
55‌
Whitbread (1)
600‌
25‌
Total
United
Kingdom
(Cost
$2,534
)
2,612‌
UNITED
STATES
60.0%
Bank
Loans
11.8%
(5)
Agiliti
Health,
FRN,
1M
USD
LIBOR
+
2.75%,
3.50%,
1/4/26 
192,232‌
191‌
Alphabet
Holding,
FRN,
3M
USD
LIBOR
+
7.75%,
7.842%,
9/26/25 
218,750‌
219‌
Applied
Systems,
FRN,
1M
USD
LIBOR
+
3.25%,
3.75%,
9/19/24 
298,385‌
297‌
Applied
Systems,
FRN,
1M
USD
LIBOR
+
5.50%,
6.25%,
9/19/25 
175,000‌
177‌
ASP
Chromaflo
Intermediate
Holdings,
FRN,
3M
USD
LIBOR
+
3.50%,
4.50%,
11/20/23 (4)
394,014‌
393‌
Asurion,
FRN,
1M
USD
LIBOR
+
3.13%,
3.217%,
11/3/23 (6)
543,358‌
537‌
Asurion,
FRN,
1M
USD
LIBOR
+
5.25%,
1/30/29 (6)
300,000‌
298‌
Asurion,
FRN,
1M
USD
LIBOR
+
5.25%,
5.342%,
1/31/28 
101,879‌
101‌
Bausch
Health
Americas,
FRN,
3M
USD
LIBOR
+
2.75%,
11/27/25 (6)
400,000‌
396‌
BY
Crown
Parent,
FRN,
1M
USD
LIBOR
+
3.00%,
4.00%,
2/2/26 
1,196,977‌
1,189‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
11
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Camelot
Finance,
FRN,
1M
USD
LIBOR
+
3.00%,
4.00%,
10/30/26 
298,500‌
298‌
Charter
Next
Generation,
FRN,
1M
USD
LIBOR
+
3.75%,
4.50%,
12/1/27 (6)
163,628‌
163‌
Cincinnati
Bell,
FRN,
3M
USD
LIBOR
+
3.25%,
4.25%,
10/2/24 
494,157‌
493‌
City
Brewing,
FRN,
1M
USD
LIBOR
+
3.50%,
4.25%,
4/5/28 
175,000‌
173‌
CommerceHub,
FRN,
1M
USD
LIBOR
+
4.00%,
4.75%,
12/29/27 
497,500‌
498‌
CommerceHub,
FRN,
1M
USD
LIBOR
+
7.00%,
7.75%,
12/29/28 
100,000‌
101‌
Cvent,
FRN,
3M
USD
LIBOR
+
3.75%,
3.842%,
11/29/24 (6)
398,653‌
397‌
Delta
Topco,
FRN,
1M
USD
LIBOR
+
7.25%,
8.00%,
12/1/28 
110,000‌
111‌
Diamond
Resorts
International,
FRN,
3M
USD
LIBOR
+
3.75%,
6.00%,
9/2/23 
497,429‌
497‌
ECI
Macola,
FRN,
1M
USD
LIBOR
+
3.75%,
4.50%,
11/9/27 
129,350‌
129‌
Edelman
Financial
Center,
FRN,
3M
USD
LIBOR
+
6.75%,
6.837%,
7/20/26 (6)
405,000‌
406‌
Engineered
Machinery
Holdings,
FRN,
1M
USD
LIBOR
+
3.25%,
4.25%,
7/19/24 
393,979‌
393‌
Epicor
Software,
FRN,
1M
USD
LIBOR
+
7.75%,
8.75%,
7/31/28 
130,000‌
134‌
Filtration
Group,
FRN,
1M
USD
LIBOR
+
3.75%,
4.50%,
3/29/25 
397,000‌
397‌
Fleet
U.S.
Bidco,
FRN,
1M
USD
LIBOR
+
3.00%,
3.092%,
10/7/26 
88,240‌
87‌
Fort
Dearborn
Holding,
FRN,
3M
USD
LIBOR
+
4.00%,
10/19/23 (6)
300,000‌
300‌
Golden
Nugget,
FRN,
1M
USD
LIBOR
+
2.50%,
3.25%,
10/4/23 (6)
795,486‌
787‌
Hertz,
FRN,
1M
USD
LIBOR
+
7.25%,
12/31/21 
118,182‌
118‌
Hyland
Software,
FRN,
1M
USD
LIBOR
+
3.50%,
4.25%,
7/1/24 
296,947‌
297‌
IG
Investments
Holdings,
FRN,
1M
USD
LIBOR
+
3.75%,
4.75%,
5/23/25 
104,800‌
105‌
Infinite
Bidco,
FRN,
1M
USD
LIBOR
+
3.75%,
4.25%,
3/2/28 
200,000‌
199‌
Infinite
Bidco,
FRN,
1M
USD
LIBOR
+
7.00%,
7.50%,
3/2/29 
200,000‌
201‌
Intelsat
Jackson
Holdings,
Fixed
+
8.63%,
8.625%,
1/2/24 
60,000‌
61‌
Intelsat
Jackson
Holdings,
FRN,
1M
USD
LIBOR
+
4.75%,
8.00%,
11/27/23 (6)
185,000‌
188‌
Intelsat
Jackson
Holdings,
FRN,
1M
USD
LIBOR
+
5.50%,
6.50%,
7/13/22 
276,030‌
278‌
Intelsat
Jackson
Holdings,
FRN,
3M
USD
LIBOR
+
6.50%,
8.75%,
1/2/24 
220,000‌
224‌
IRB
Holding,
FRN,
1M
USD
LIBOR
+
3.25%,
4.25%,
12/15/27 
412,925‌
411‌
Jane
Street
Group,
FRN,
1M
USD
LIBOR
+
2.75%,
2.842%,
1/26/28 
487,550‌
480‌
LABL,
FRN,
1M
USD
LIBOR
+
4.00%,
7/2/26 (6)
300,000‌
299‌
MH
Sub
I,
FRN,
1M
USD
LIBOR
+
3.75%,
4.75%,
9/13/24 
89,386‌
89‌
MH
Sub
I,
FRN,
1M
USD
LIBOR
+
6.25%,
6.337%,
2/23/29 
300,000‌
304‌
MH
Sub
I,
FRN,
3M
USD
LIBOR
+
3.50%,
3.592%,
9/13/24 
296,915‌
295‌
MIC
GLEN,
FRN,
1M
USD
LIBOR
+
6.75%,
6/18/29 (6)
400,000‌
401‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
12
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Mitchell
International,
FRN,
3M
USD
LIBOR
+
3.25%,
3.342%,
11/29/24 
299,227‌
295‌
New
Trojan
Parent,
FRN,
1M
USD
LIBOR
+
3.25%,
3.75%,
1/6/28 
90,000‌
89‌
New
Trojan
Parent,
FRN,
1M
USD
LIBOR
+
7.25%,
7.75%,
1/5/29 
300,000‌
297‌
Onvoy,
FRN,
3M
USD
LIBOR
+
4.50%,
5.50%,
2/10/24 
663,306‌
662‌
Option
Care
Health,
FRN,
1M
USD
LIBOR
+
3.75%,
3.842%,
8/6/26 
497,475‌
495‌
Osmose
Utilities
Services,
FRN,
1M
USD
LIBOR
+
3.25%,
6/23/28 (6)
300,000‌
297‌
Pactiv
Evergreen
Group
Holdings,
FRN,
1M
USD
LIBOR
+
2.75%,
2.842%,
2/5/23 
307,682‌
307‌
PetSmart,
FRN,
1M
USD
LIBOR
+
3.75%,
4.50%,
2/11/28 
300,000‌
300‌
Planview
Parent,
FRN,
1M
USD
LIBOR
+
4.00%,
4.75%,
12/17/27 
373,125‌
373‌
PPD,
FRN,
1M
USD
LIBOR
+
2.00%,
2.50%,
1/13/28 
399,000‌
398‌
Project
Ruby
Ultimate
Parent,
FRN,
1M
USD
LIBOR
+
3.25%,
4.00%,
3/10/28 
299,250‌
297‌
RealPage,
FRN,
1M
USD
LIBOR
+
3.25%,
3.75%,
4/24/28 
365,000‌
363‌
RealPage,
FRN,
1M
USD
LIBOR
+
6.50%,
7.25%,
4/23/29 
195,000‌
201‌
Rent-A-Center,
FRN,
1M
USD
LIBOR
+
4.00%,
4.75%,
2/17/28 
399,000‌
400‌
Rising
Tide
Holdings,
FRN,
1M
USD
LIBOR
+
8.25%,
9.00%,
6/1/29 
200,000‌
200‌
S2P
Acquisition
Borrower,
FRN,
3M
USD
LIBOR
+
3.75%,
3.842%,
8/14/26 
83,328‌
83‌
Scientific
Games
International,
FRN,
1M
USD
LIBOR
+
2.75%,
8/14/24 (6)
300,000‌
295‌
Sophia,
FRN,
1M
USD
LIBOR
+
3.75%,
4.50%,
10/7/27 
512,425‌
512‌
Sotera
Health
Holdings,
FRN,
1M
USD
LIBOR
+
2.75%,
3.25%,
12/11/26 
400,000‌
398‌
Sovos
Compliance,
FRN,
1M
USD
LIBOR
+
4.50%,
7/29/28 (4)
(6)
135,000‌
135‌
Tacala
Investment,
FRN,
1M
USD
LIBOR
+
7.50%,
8.25%,
2/4/28 
495,000‌
493‌
Tech
Data,
FRN,
1M
USD
LIBOR
+
3.50%,
3.592%,
6/30/25 
198,500‌
198‌
Tech
Data,
FRN,
1M
USD
LIBOR
+
5.50%,
5.592%,
6/30/25 
596,744‌
597‌
Transplace
Holdings,
FRN,
1M
USD
LIBOR
+
3.75%,
10/10/24 (6)
400,000‌
400‌
Uber
Technologies,
FRN,
1M
USD
LIBOR
+
3.50%,
3.592%,
4/4/25 
149,231‌
149‌
Wand
NewCo
3,
FRN,
1M
USD
LIBOR
+
3.00%,
3.092%,
2/5/26 (6)
224,119‌
221‌
Welbilt,
FRN,
3M
USD
LIBOR
+
2.50%,
2.592%,
10/23/25 
800,000‌
792‌
WideOpenWest
Finance,
FRN,
3M
USD
LIBOR
+
3.25%,
4.25%,
8/18/23 
1,500,000‌
1,495‌
Woof
Holdings,
FRN,
1M
USD
LIBOR
+
3.75%,
4.50%,
12/21/27 
219,450‌
219‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
13
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Woof
Holdings,
FRN,
1M
USD
LIBOR
+
7.25%,
8.00%,
12/21/28 
300,000‌
302‌
24,375‌
Bond
Mutual
Funds
30.3%
T.
Rowe
Price
Dynamic
Credit
Fund
-
I
Class,
3.62% (7)(8)
3,025,750‌
30,893‌
T.
Rowe
Price
Dynamic
Global
Bond
Fund
-
I
Class,
3.29% (7)(8)
3,183,734‌
31,455‌
62,348‌
Common
Stocks
12.5%
10X
Genomics,
Class
A (1)
94‌
17‌
AbbVie 
549‌
64‌
Acadia
Realty
Trust,
REIT 
791‌
17‌
Acceleron
Pharma (1)
324‌
41‌
Advanced
Micro
Devices (1)
2,264‌
240‌
AGCO 
126‌
17‌
Agilent
Technologies 
382‌
59‌
Air
Lease 
1,404‌
59‌
Air
Products
&
Chemicals 
108‌
31‌
Airbnb,
Class
A (1)
117‌
17‌
Akoya
Biosciences (1)
658‌
11‌
Alamo
Group 
107‌
16‌
Alexandria
Real
Estate
Equities,
REIT 
103‌
21‌
Alnylam
Pharmaceuticals (1)
216‌
39‌
Alphabet,
Class
A (1)
229‌
617‌
Alphabet,
Class
C (1)
79‌
214‌
Altice
USA,
Class
A (1)
517‌
16‌
Amazon.com (1)
438‌
1,457‌
Ameren 
245‌
21‌
American
Campus
Communities,
REIT 
311‌
16‌
American
International
Group 
1,375‌
65‌
American
Tower,
REIT 
324‌
92‌
Amgen 
136‌
33‌
Amphenol,
Class
A 
1,011‌
73‌
Anthem 
127‌
49‌
Apellis
Pharmaceuticals (1)
302‌
19‌
Apollo
Global
Management 
520‌
31‌
Apple 
225‌
33‌
Apple
Hospitality
REIT,
REIT 
1,074‌
16‌
Armstrong
World
Industries 
284‌
31‌
Assurant 
952‌
150‌
Atlassian,
Class
A (1)
1,229‌
400‌
AvalonBay
Communities,
REIT 
1,151‌
262‌
Avantor (1)
745‌
28‌
Avery
Dennison 
115‌
24‌
Axis
Capital
Holdings 
648‌
33‌
Ball 
786‌
64‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
14
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Bank
of
America 
11,321‌
434‌
Bank
of
New
York
Mellon 
529‌
27‌
BankUnited 
579‌
23‌
Barings
BDC 
1,200‌
13‌
Becton
Dickinson
&
Company 
166‌
42‌
Belden 
962‌
47‌
Bill.com
Holdings (1)
1,401‌
290‌
Biogen (1)
117‌
38‌
Black
Knight (1)
284‌
24‌
Blend
Labs,
Class
A (1)
6,823‌
123‌
Blueprint
Medicines (1)
205‌
18‌
Boeing (1)
145‌
33‌
Booking
Holdings (1)
30‌
65‌
Bright
Horizons
Family
Solutions (1)
553‌
83‌
Bruker 
402‌
33‌
Burlington
Stores (1)
182‌
61‌
Cactus,
Class
A 
429‌
15‌
Camden
Property
Trust,
REIT 
166‌
25‌
Capital
One
Financial 
245‌
40‌
Capri
Holdings (1)
392‌
22‌
Carvana (1)
179‌
60‌
Catalent (1)
166‌
20‌
Caterpillar 
121‌
25‌
Cboe
Global
Markets 
225‌
27‌
CC
Neuberger
Principal
Holdings
III (1)
18,421‌
184‌
Cedar
Fair (1)
755‌
32‌
Centene (1)
725‌
50‌
Ceridian
HCM
Holding (1)
175‌
17‌
CF
Industries
Holdings 
312‌
15‌
ChampionX (1)
625‌
15‌
Charles
Schwab 
9,348‌
635‌
Chart
Industries (1)
166‌
26‌
Charter
Communications,
Class
A (1)
179‌
133‌
Chevron 
432‌
44‌
Chipotle
Mexican
Grill (1)
22‌
41‌
Chubb 
481‌
81‌
Cigna 
232‌
53‌
Citizens
Financial
Group 
1,131‌
48‌
CM
Life
Sciences
III (1)
11,000‌
119‌
CME
Group 
107‌
23‌
CMS
Energy 
360‌
22‌
CNA
Financial 
619‌
27‌
Coca-Cola 
1,489‌
85‌
Cognex 
224‌
20‌
Comcast,
Class
A 
1,564‌
92‌
ConocoPhillips 
1,316‌
74‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
15
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Cooper 
41‌
17‌
Copart (1)
1,420‌
209‌
CoStar
Group (1)
550‌
49‌
Costco
Wholesale 
142‌
61‌
Coupa
Software (1)
336‌
73‌
Crowdstrike
Holdings,
Class
A (1)
385‌
98‌
Crown
Castle
International,
REIT 
370‌
71‌
CubeSmart,
REIT 
380‌
19‌
Cummins 
249‌
58‌
CVRx (1)
1,011‌
20‌
Danaher 
386‌
115‌
Darling
Ingredients (1)
304‌
21‌
Datadog,
Class
A (1)
531‌
59‌
Deere 
65‌
23‌
Denali
Therapeutics (1)
253‌
13‌
Devon
Energy 
1,021‌
26‌
Dexcom (1)
49‌
25‌
Dime
Community
Bancshares 
708‌
23‌
DocuSign (1)
80‌
24‌
Dollar
General 
163‌
38‌
Dominion
Energy 
164‌
12‌
DoorDash,
Class
A (1)
998‌
174‌
Douglas
Emmett,
REIT 
478‌
16‌
Doximity,
Class
A (1)
547‌
34‌
DT
Midstream (1)
63‌
3‌
DTE
Energy 
116‌
14‌
Duolingo (1)
15‌
2‌
East
West
Bancorp 
521‌
37‌
Element
Solutions 
922‌
22‌
elf
Beauty (1)
824‌
23‌
Eli
Lilly 
1,966‌
479‌
Encore
Capital
Group (1)
588‌
28‌
Entegris 
392‌
47‌
Envista
Holdings (1)
379‌
16‌
EOG
Resources 
687‌
50‌
Equinix,
REIT 
72‌
59‌
Equitable
Holdings 
985‌
30‌
Equity
LifeStyle
Properties,
REIT 
234‌
20‌
Equity
Residential,
REIT 
2,061‌
173‌
Essex
Property
Trust,
REIT 
56‌
18‌
Estee
Lauder,
Class
A 
865‌
289‌
Etsy (1)
342‌
63‌
Eucrates
Biomedical
Acquisition (1)
9,800‌
95‌
Eucrates
Biomedical
Acquisition,
Warrants,
12/14/25 (1)
3,266‌
3‌
Euronet
Worldwide (1)
393‌
56‌
Exact
Sciences (1)
2,793‌
301‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
16
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Exelixis (1)
908‌
15‌
Expedia
Group (1)
1,631‌
262‌
Facebook,
Class
A (1)
3,034‌
1,081‌
Fate
Therapeutics (1)
214‌
18‌
FedEx 
785‌
220‌
Fifth
Third
Bancorp 
1,533‌
56‌
First
American
Financial 
233‌
16‌
Five9 (1)
430‌
87‌
Flywire (1)
515‌
16‌
Fortive 
529‌
38‌
Freshpet (1)
735‌
108‌
General
Electric 
46,741‌
605‌
Generation
Bio (1)
323‌
7‌
Goldman
Sachs
Group 
120‌
45‌
Graphic
Packaging
Holding 
776‌
15‌
Guardant
Health (1)
146‌
16‌
Hanover
Insurance
Group 
166‌
23‌
Hartford
Financial
Services
Group 
707‌
45‌
HCA
Healthcare 
183‌
45‌
Hess 
255‌
19‌
Hilton
Worldwide
Holdings (1)
322‌
42‌
Hologic (1)
421‌
32‌
Home
BancShares 
634‌
13‌
Home
Depot 
424‌
139‌
Honeywell
International 
283‌
66‌
Hubbell 
62‌
12‌
HubSpot (1)
332‌
198‌
Humana 
122‌
52‌
Huntington
Bancshares 
5,213‌
73‌
Huntsman 
625‌
16‌
Incyte (1)
419‌
32‌
Ingersoll
Rand (1)
1,286‌
63‌
Insmed (1)
654‌
16‌
Insulet (1)
60‌
17‌
Integral
Ad
Science
Holding (1)
2,065‌
36‌
Intellia
Therapeutics (1)
150‌
21‌
International
Paper 
608‌
35‌
Intuitive
Surgical (1)
245‌
243‌
Ionis
Pharmaceuticals (1)
488‌
18‌
JB
Hunt
Transport
Services 
275‌
46‌
JBG
SMITH
Properties,
REIT 
935‌
30‌
Kadant 
120‌
22‌
Kemper 
204‌
13‌
Keurig
Dr
Pepper 
637‌
22‌
Khosla
Ventures
Acquistion
SPAC/Nextdoor
PIPE (1)(9)
2,702‌
26‌
Kilroy
Realty,
REIT 
224‌
15‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
17
Par/Shares
$
Value
(Cost
and
value
in
$000s)
KKR 
200‌
13‌
Kodiak
Sciences (1)
608‌
51‌
Kratos
Defense
&
Security
Solutions (1)
594‌
16‌
Leidos
Holdings 
392‌
42‌
Liberty
Media
Acquisition (1)
10,040‌
105‌
Liberty
Media-Liberty
Formula
One,
Class
C (1)
400‌
19‌
Linde 
394‌
121‌
Lindsay 
107‌
17‌
Littelfuse 
223‌
59‌
Live
Nation
Entertainment (1)
980‌
77‌
Lululemon
Athletica (1)
86‌
34‌
Magnolia
Oil
&
Gas,
Class
A (1)
971‌
14‌
Marqeta,
Class
A (1)
832‌
22‌
Marriott
International,
Class
A (1)
206‌
30‌
Marsh
&
McLennan 
40‌
6‌
Martin
Marietta
Materials 
40‌
15‌
Mastercard,
Class
A 
1,119‌
432‌
Match
Group (1)
332‌
53‌
McDonald's 
218‌
53‌
Merck 
646‌
50‌
MetLife 
777‌
45‌
Mettler-Toledo
International (1)
15‌
22‌
MGM
Resorts
International 
628‌
24‌
Microsoft 
258‌
73‌
Middleby (1)
304‌
58‌
Mirati
Therapeutics (1)
117‌
19‌
Moderna (1)
223‌
79‌
Molina
Healthcare (1)
103‌
28‌
Mondelez
International,
Class
A 
910‌
58‌
Monster
Beverage (1)
304‌
29‌
Monte
Rosa
Therapeutics (1)
481‌
12‌
Morgan
Stanley 
1,804‌
173‌
nCino (1)
784‌
50‌
Netflix (1)
787‌
407‌
Neurocrine
Biosciences (1)
185‌
17‌
NextEra
Energy 
194‌
15‌
NexTier
Oilfield
Solutions (1)
5,761‌
22‌
NIKE,
Class
B 
372‌
62‌
Norfolk
Southern 
274‌
71‌
NVIDIA 
264‌
51‌
Okta (1)
974‌
241‌
Old
Dominion
Freight
Line 
99‌
27‌
Ollie's
Bargain
Outlet
Holdings (1)
235‌
22‌
Open
Lending,
Class
A (1)
3,948‌
150‌
Opendoor
Technologies,
Class
A (1)
2,155‌
32‌
O'Reilly
Automotive (1)
33‌
20‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
18
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Ortho
Clinical
Diagnostics
Holdings (1)
639‌
14‌
Outset
Medical (1)
260‌
11‌
PACCAR 
392‌
33‌
Pacific
Biosciences
of
California (1)
505‌
16‌
Pacific
Premier
Bancorp 
530‌
20‌
Packaging
Corp.
of
America 
324‌
46‌
PagerDuty (1)
532‌
22‌
Parker-Hannifin 
165‌
51‌
Paycom
Software (1)
107‌
43‌
Paycor
HCM (1)
1,335‌
37‌
Paylocity
Holding (1)
196‌
41‌
Payoneer
Global,
Acquisition
Date:
3/15/21,
Cost $25 (1)(10)
2,505‌
22‌
PayPal
Holdings (1)
190‌
52‌
Peloton
Interactive,
Class
A (1)
370‌
44‌
Penumbra (1)
97‌
26‌
Phreesia (1)
251‌
17‌
Pinnacle
Financial
Partners 
442‌
40‌
Pinterest,
Class
A (1)
460‌
27‌
Pioneer
Natural
Resources 
236‌
34‌
PNC
Financial
Services
Group 
213‌
39‌
Popular 
511‌
37‌
PPG
Industries 
149‌
24‌
PRA
Group (1)
519‌
20‌
Procore
Technologies (1)
182‌
19‌
Procter
&
Gamble 
381‌
54‌
Prologis,
REIT 
234‌
30‌
Quaker
Chemical 
267‌
67‌
Rapid
Micro
Biosystems,
Class
A (1)
565‌
13‌
Raymond
James
Financial 
126‌
16‌
RealReal (1)
1,176‌
19‌
Redfin (1)
232‌
14‌
Regency
Centers,
REIT 
243‌
16‌
Regeneron
Pharmaceuticals (1)
90‌
52‌
RenaissanceRe
Holdings 
206‌
31‌
ROBLOX,
Class
A (1)
2,345‌
181‌
Roku (1)
51‌
22‌
Roper
Technologies 
151‌
74‌
Ross
Stores 
1,378‌
169‌
RPM
International 
364‌
32‌
Safety
Insurance
Group 
324‌
25‌
salesforce.com (1)
218‌
53‌
Sanderson
Farms 
120‌
22‌
Sandy
Spring
Bancorp 
371‌
15‌
SBA
Communications,
REIT 
262‌
89‌
Seacoast
Banking 
923‌
28‌
Seagen (1)
166‌
25‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
19
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Sealed
Air 
1,109‌
63‌
Seer (1)(3)
953‌
30‌
Selective
Insurance
Group 
284‌
23‌
Sempra
Energy 
277‌
36‌
SentinelOne,
Class
A (1)
713‌
35‌
ServiceNow (1)
512‌
301‌
Sherwin-Williams 
188‌
55‌
Shoals
Technologies
Group,
Class
A (1)
1,041‌
30‌
Shockwave
Medical (1)
166‌
30‌
Signature
Bank 
1,052‌
239‌
SilverBox
Engaged
Merger
Corp
I (1)
10,600‌
105‌
SL
Green
Realty,
REIT 
304‌
23‌
Snap,
Class
A (1)
3,339‌
248‌
Snowflake,
Class
A (1)
112‌
30‌
SoFi
Technologies (1)
3,209‌
50‌
Square,
Class
A (1)
1,264‌
313‌
Starbucks 
382‌
46‌
State
Street 
343‌
30‌
Stoneridge (1)
796‌
23‌
Stryker 
267‌
72‌
Sun
Country
Airlines
Holdings (1)
3,185‌
103‌
Sunstone
Hotel
Investors,
REIT (1)
1,800‌
21‌
Synopsys (1)
164‌
47‌
T-Mobile
U.S. (1)
3,877‌
558‌
Teleflex 
66‌
26‌
Terex 
331‌
16‌
Terreno
Realty,
REIT 
330‌
23‌
Tesla (1)
167‌
115‌
Textron 
549‌
38‌
Thermo
Fisher
Scientific 
226‌
122‌
Thermon
Group
Holdings (1)
976‌
16‌
Timken 
175‌
14‌
Toro 
200‌
23‌
Tradeweb
Markets,
Class
A 
169‌
15‌
Trimble (1)
294‌
25‌
Trinity
Capital 
1,200‌
17‌
Twilio,
Class
A (1)
281‌
105‌
UiPath,
Class
A (1)
42‌
3‌
Ultragenyx
Pharmaceutical (1)
1,010‌
81‌
United
Parcel
Service,
Class
B 
586‌
112‌
UnitedHealth
Group 
2,068‌
852‌
Upwork (1)
450‌
23‌
Valmont
Industries 
58‌
14‌
Veeva
Systems,
Class
A (1)
98‌
33‌
Velocity
Acquisition (1)
10,600‌
107‌
VeriSign (1)
116‌
25‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
20
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Verizon
Communications 
92‌
5‌
Vertex
Pharmaceuticals (1)
386‌
78‌
Virtus
Investment
Partners 
78‌
22‌
Visa,
Class
A 
327‌
81‌
Voya
Financial 
403‌
26‌
Vulcan
Materials 
80‌
14‌
Walt
Disney (1)
961‌
169‌
Wayfair,
Class
A (1)(3)
67‌
16‌
Webster
Financial 
491‌
24‌
WEC
Energy
Group 
165‌
16‌
Wells
Fargo 
2,616‌
120‌
Welltower,
REIT 
294‌
26‌
West
Pharmaceutical
Services 
101‌
42‌
Western
Alliance
Bancorp 
2,359‌
219‌
Westlake
Chemical 
235‌
19‌
Westrock 
372‌
18‌
Workday,
Class
A (1)
183‌
43‌
Xcel
Energy 
213‌
15‌
Xometry,
Class
A (1)
390‌
31‌
Zoom
Video
Communications,
Class
A (1)
1,689‌
639‌
25,715‌
Convertible
Bonds
0.2%
Air
Transport
Services
Group,
1.125%,
10/15/24 
250,000‌
261‌
DISH
Network,
3.375%,
8/15/26 
43,000‌
44‌
Liberty
Broadband,
2.75%,
9/30/50 (2)
19,000‌
20‌
325‌
Convertible
Preferred
Stocks
0.9%
American
Electric
Power,
6.125%,
8/15/23 
2,370‌
125‌
Becton
Dickinson
&
Company,
Series
B,
6.00%,
6/1/23 (3)
4,291‌
239‌
Broadcom,
Series
A,
8.00%,
9/30/22 
208‌
319‌
Clarivate,
Series
A,
5.25%,
6/1/24 
1,730‌
156‌
Dominion
Energy,
Series
A,
7.25%,
6/1/22 
1,000‌
99‌
DTE
Energy,
6.25%,
11/1/22 
2,719‌
139‌
Laronde,
Series
B,
Acquisition
Date:
7/28/21,
Cost $5 (1)(4)(10)
162‌
5‌
Rappi,
Series
E,
Acquisition
Date:
9/8/20,
Cost $109 (1)(4)(10)
1,822‌
117‌
Rappi,
Series
F,
Acquisition
Date:
7/8/21,
Cost $34 (1)(4)(10)
534‌
34‌
Southern,
Series
A,
6.75%,
8/1/22 
2,858‌
149‌
Spire,
Series
A,
7.50%,
3/1/24 
4,330‌
229‌
UGI,
7.25%,
6/1/24 (3)
2,140‌
226‌
1,837‌
Corporate
Bonds
4.3%
Ardagh
Packaging
Finance,
5.25%,
4/30/25 (2)
1,200,000‌
1,248‌
Bausch
Health,
6.125%,
4/15/25 (2)(3)
400,000‌
408‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
21
Par/Shares
$
Value
(Cost
and
value
in
$000s)
Bausch
Health
Americas,
9.25%,
4/1/26 (2)
800,000‌
864‌
CD&R
Smokey
Buyer,
6.75%,
7/15/25 (2)
170,000‌
181‌
Change
Healthcare
Holdings,
5.75%,
3/1/25 (2)
1,200,000‌
1,215‌
Forterra
Finance,
6.50%,
7/15/25 (2)
800,000‌
857‌
FXI
Holdings,
12.25%,
11/15/26 (2)
200,000‌
228‌
Global
Net
Lease,
3.75%,
12/15/27 (2)
400,000‌
397‌
GPD,
10.125%,
4/1/26 (2)
200,000‌
217‌
Home
Point
Capital,
5.00%,
2/1/26 (2)
185,000‌
170‌
Intelsat
Jackson
Holdings,
9.50%,
9/30/22 (2)
195,000‌
229‌
Lumen
Technologies,
Series
Y,
7.50%,
4/1/24 
600,000‌
673‌
NuStar
Logistics,
4.75%,
2/1/22 
200,000‌
201‌
PetSmart,
7.75%,
2/15/29 (2)
250,000‌
274‌
Photo
Holdings
Merger
Sub,
8.50%,
10/1/26 (2)
230,000‌
251‌
PRA
Group,
7.375%,
9/1/25 (2)
195,000‌
209‌
Stagwell,
STEP,
7.50%,
5/1/24 (2)
400,000‌
407‌
U.S.
Airways
PTT,
Series
2013-1,
Class
A,
3.95%,
11/15/25 
57,260‌
57‌
UAL
PTT,
Series
2007-1,
6.636%,
7/2/22 
257,404‌
266‌
United
Airlines,
4.375%,
4/15/26 (2)
175,000‌
180‌
Welbilt,
9.50%,
2/15/24 
400,000‌
415‌
8,947‌
Preferred
Stocks
0.0%
NuStar
Logistics,
VR,
3M
USD
LIBOR
+
6.734%,
6.86%,
1/15/43 
104‌
2‌
2‌
Total
United
States
(Cost
$120,358
)
123,549‌
URUGUAY
0.0%
Common
Stocks
0.0%
Dlocal
(USD) (1)
558‌
25‌
Total
Uruguay
(Cost
$12
)
25‌
SHORT-TERM
INVESTMENTS
26.2%
Money
Market
Funds
26.2%
T.
Rowe
Price
Government
Reserve
Fund,
0.04% (7)(11)
53,984,939‌
53,985‌
Total
Short-Term
Investments
(Cost
$53,985)
53,985‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
22
Par/Shares
$
Value
(Cost
and
value
in
$000s)
SECURITIES
LENDING
COLLATERAL
0.8%
INVESTMENTS
IN
A
POOLED
ACCOUNT
THROUGH
SECURITIES
LENDING
PROGRAM
WITH
JPMORGAN
CHASE
BANK
0.6%
Short-Term
Funds
0.6%
T.
Rowe
Price
Short-Term
Fund,
0.07% (7)(11)
117,414‌
1,174‌
Total
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
JPMorgan
Chase
Bank
1,174‌
INVESTMENTS
IN
A
POOLED
ACCOUNT
THROUGH
SECURITIES
LENDING
PROGRAM
WITH
STATE
STREET
BANK
AND
TRUST
COMPANY
0.2%
Short-Term
Funds
0.2%
T.
Rowe
Price
Short-Term
Fund,
0.07% (7)(11)
53,085‌
531‌
Total
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
State
Street
Bank
and
Trust
Company
531‌
Total
Securities
Lending
Collateral
(Cost
$1,705)
1,705‌
(Amounts
in
000s,
except
for
contracts)
Options
Purchased
0.1%
Exchange-Traded
Options
Purchased
0.1%
Description
Contracts
Notional
Amount
$
Value
Alcoa,
Put,
1/21/22
@
$30.00 (1)
110‌
442‌
18‌
Cloudflare,
Put,
11/19/21
@
$55.00 (1)
72‌
854‌
1‌
L
Brands,
Put,
11/19/21
@
$55.00 (1)
83‌
665‌
13‌
SPDR
S&P
500
ETF
Trust,
Put,
8/20/21
@
$385.00 (1)
89‌
3,565‌
4‌
SPDR
S&P
500
ETF
Trust,
Put,
10/15/21
@
$398.00 (1)
36‌
1,442‌
17‌
Total
Exchange-Traded
Options
Purchased
(Cost
$157)
53‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
23
(Amounts
in
000s,
except
for
contracts)
OTC
Options
Purchased
0.0%
Counterparty
Description
Contracts
Notional
Amount
$
Value
Morgan
Stanley
AstraZeneca,
Call,
1/21/22
@
$55.00
(USD) (1)
72‌
412‌
32‌
Total
OTC
Options
Purchased
(Cost
$21)
32‌
Total
Options
Purchased
(Cost
$178)
85‌
Total
Investments
in
Securities
96.6%
(Cost
$195,506)
$
198,835‌
Other
Assets
Less
Liabilities
3.4%
7,082
Net
Assets
100.0%
$
205,917‌
‡
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)
Non-income
producing
(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
$8,210
and
represents
4.0%
of
net
assets.
(3)
All
or
a
portion
of
this
security
is
on
loan
at
July
31,
2021.
(4)
Level
3
in
fair
value
hierarchy.
(5)
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.
(6)
All
or
a
portion
of
this
loan
is
unsettled
as
of
July
31,
2021.
The
interest
rate
for
unsettled
loans
will
be
determined
upon
settlement
after
period
end.
(7)
Affiliated
Companies
(8)
SEC
30-day
yield
(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,
2021,
was
$27
and
was
valued
at
$26
(0.0%
of
net
assets).
(10)
Security
cannot
be
offered
for
public
resale
without
first
being
registered
under
the
Securities
Act
of
1933
and
related
rules
("restricted
security").
Acquisition
date
represents
the
day
on
which
an
enforceable
right
to
acquire
such
security
is
obtained
and
is
presented
along
with
related
cost
in
the
security
description.
The
fund
has
registration
rights
for
certain
restricted
securities.
Any
costs
related
to
such
registration
are
borne
by
the
issuer.
The
aggregate
value
of
restricted
securities
(excluding
144A
holdings)
at
period
end
amounts
to
$178
and
represents
0.1%
of
net
assets.
(11)
Seven-day
yield
1M
CAD
CDOR
One
month
CAD
CDOR
(Canadian
Dollar
offered
rate)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
24
.
.
.
.
.
.
.
.
.
.
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)
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
SGD
SIBOR
One
month
SGD
SIBOR
(Singapore
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)
3M
EURIBOR
Three
month
EURIBOR
(Euro
interbank
offered
rate)
3M
USD
LIBOR
Three
month
USD
LIBOR
(London
interbank
offered
rate)
6M
CZK
PRIBOR
Six
month
CZK
PRIBOR
(Prague
interbank
offered
rate)
6M
PLN
WIBOR
Six
month
PLN
WIBOR
(Warsaw
interbank
offered
rate)
1M
ADBB
One
month
AUD
bank
bill
ADR
American
Depositary
Receipts
AUD
Australian
Dollar
BRL
Brazilian
Real
CAD
Canadian
Dollar
CHF
Swiss
Franc
CNH
Offshore
China
Renminbi
CPI
Consumer
Price
Index
CVA
Dutch
Certificate
(Certificaten
Van
Aandelen)
ETF
Exchange-Traded
Fund
EUR
Euro
FRN
Floating
Rate
Note
GBP
British
Pound
HKD
Hong
Kong
Dollar
INR
Indian
Rupee
JPY
Japanese
Yen
MXIBTIIE
Mexican
Interbank
28
day
interest
rate
MXN
Mexican
Peso
NOK
Norwegian
Krone
NZD
New
Zealand
Dollar
OTC
Over-the-counter
PIPE
Private
Investment
in
Public
Equity
PLN
Polish
Zloty
PTT
Pass-Through
Trust
REIT
A
domestic
Real
Estate
Investment
Trust
whose
distributions
pass-through
with
original
tax
character
to
the
shareholder
SEK
Swedish
Krona
SPAC
Special
Purpose
Acquisition
Company
STEP
Stepped
coupon
bond
for
which
the
coupon
rate
of
interest
adjusts
on
specified
date(s);
rate
shown
is
effective
rate
at
period-end.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
25
.
.
.
.
.
.
.
.
.
.
TRY
Turkish
Lira
TWD
Taiwan
Dollar
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.
ZAR
South
African
Rand
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
26
(Amounts
in
000s,
except
for
contracts)
OPTIONS
WRITTEN
(0.3)%
Exchange-Traded
Options
Written
(0.3)%
Description
Contracts
Notional
Amount
$
Value
iShares
iBoxx
High
Yield
Corporate
Bond
ETF,
Put,
8/20/21
@
$87.00
1,414
12,199
(43‌)
S&P
500
Index,
Call,
9/17/21
@
$4,425.00
70
30,767
(483‌)
U.S.
Treasury
Long-Term
Bonds
Futures,
Call,
8/27/21
@
$163.00
24
3,953
(65‌)
U.S.
Treasury
Long-Term
Bonds
Futures,
Put,
8/27/21
@
$163.00
24
3,953
(24‌)
Total
Options
Written
(Premiums
$(794))
$
(615‌)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
27
(Amounts
in
000s)
SWAPS
(0.0)%
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
BILATERAL
SWAPS
(0.0)%
Total
Return
Swaps
(0.0)%
Australia
(0.0)%
Citibank,
Pay
Underlying
Reference:
Commonwealth
Bank
of
Australia
Monthly,
Receive
Variable
(0.390)%
(1M
ADBB
+
(0.40)%)
Monthly,
1/19/22
—
—
—
—‌
Citibank,
Receive
Underlying
Reference:
BHP
Group
Monthly,
Pay
Variable
0.410%
(1M
ADBB
+
0.40%)
Monthly,
1/19/22
13
13
—
13‌
Citibank,
Receive
Underlying
Reference:
Cochlear
Monthly,
Pay
Variable
0.410%
(1M
ADBB
+
0.40%)
Monthly,
1/19/22
—
(1)
—
(1‌)
Citibank,
Receive
Underlying
Reference:
Worley
Monthly,
Pay
Variable
0.410%
(1M
ADBB
+
0.40%)
Monthly,
1/19/22
3
(3)
—
(3‌)
Morgan
Stanley,
Receive
Underlying
Reference:
ALS
Monthly,
Pay
Variable
0.560%
(1M
ADBB
+
0.55%)
Monthly,
1/19/22
5
4
—
4‌
Morgan
Stanley,
Receive
Underlying
Reference:
IGO
Monthly,
Pay
Variable
0.560%
(1M
ADBB
+
0.55%)
Monthly,
1/19/22
11
11
—
11‌
Morgan
Stanley,
Receive
Underlying
Reference:
Ramsay
Health
Care
Monthly,
Pay
Variable
0.560%
(1M
ADBB
+
0.55%)
Monthly,
1/19/22
1
(1)
—
(1‌)
UBS
Securities,
Pay
Underlying
Reference:
CSL
Monthly,
Receive
Variable
(0.440)%
(1M
ADBB
+
(0.45)%)
Monthly,
1/19/22
7
(7)
—
(7‌)
UBS
Securities,
Pay
Underlying
Reference:
Dexus
Monthly,
Receive
Variable
(0.440)%
(1M
ADBB
+
(0.45)%)
Monthly,
1/19/22
9
(3)
—
(3‌)
UBS
Securities,
Pay
Underlying
Reference:
Fortescue
Metals
Group
Monthly,
Receive
Variable
(0.440)%
(1M
ADBB
+
(0.45)%)
Monthly,
1/19/22
13
(14)
—
(14‌)
UBS
Securities,
Pay
Underlying
Reference:
Newcrest
Mining
Monthly,
Receive
Variable
(0.440)%
(1M
ADBB
+
(0.45)%)
Monthly,
1/19/22
4
(4)
—
(4‌)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
28
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
UBS
Securities,
Pay
Underlying
Reference:
Rio
Tinto
Monthly,
Receive
Variable
(0.440)%
(1M
ADBB
+
(0.45)%)
Monthly,
1/19/22
6
(6)
—
(6‌)
UBS
Securities,
Receive
Underlying
Reference:
ALS
Monthly,
Pay
Variable
0.410%
(1M
ADBB
+
0.40%)
Monthly,
1/19/22
—
—
—
—‌
UBS
Securities,
Receive
Underlying
Reference:
Qantas
Airways
Monthly,
Pay
Variable
0.408%
(1M
ADBB
+
0.40%)
Monthly,
1/19/22
2
(2)
—
(2‌)
UBS
Securities,
Receive
Underlying
Reference:
Transurban
Group
Monthly,
Pay
Variable
0.410%
(1M
ADBB
+
0.40%)
Monthly,
1/19/22
3
(1)
—
(1‌)
Total
Australia
—
(14‌)
Austria
0.0%
Bank
of
America,
Receive
Underlying
Reference:
BAWAG
Group
Monthly,
Pay
Variable
(0.157)%
(1M
EURIBOR
+
0.40%)
Monthly,
1/19/22
10
10
—
10‌
Citibank,
Receive
Underlying
Reference:
BAWAG
Group
Monthly,
Pay
Variable
(0.206)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
10
10
—
10‌
UBS
Securities,
Receive
Underlying
Reference:
BAWAG
Group
Monthly,
Pay
Variable
(0.206)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
11
11
—
11‌
Total
Austria
—
31‌
Belgium
0.0%
Morgan
Stanley,
Receive
Underlying
Reference:
Groupe
Bruxelles
Lambert
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
7
7
—
7‌
Total
Belgium
—
7‌
Bermuda
0.0%
Citibank,
Pay
Underlying
Reference:
Man
Wah
Holdings
Monthly,
Receive
Variable
(0.311)%
(1M
HKD
HIBOR
+
(0.40)%)
Monthly,
1/19/22
(HKD)
8
8
—
8‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
29
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Goldman
Sachs,
Pay
Underlying
Reference:
Man
Wah
Holdings
Monthly,
Receive
Variable
(0.321)%
(1M
HKD
HIBOR
+
(0.40)%)
Monthly,
1/19/22
(HKD)
7
7
—
7‌
Morgan
Stanley,
Receive
Underlying
Reference:
Brookfield
Property
Partners
Monthly,
Pay
Variable
0.639%
(1M
USD
LIBOR
+
0.55%)
Monthly,
1/20/22
10
(10)
—
(10‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Credicorp
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
18
(18)
—
(18‌)
Morgan
Stanley,
Receive
Underlying
Reference:
IHS
Markit
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
27
28
—
28‌
Morgan
Stanley,
Receive
Underlying
Reference:
RenaissanceRe
Holdings
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
3
5
—
5‌
Total
Bermuda
—
20‌
Brazil
(0.0)%
Morgan
Stanley,
Receive
Underlying
Reference:
Magazine
Luiza
Monthly,
Pay
Variable
0.539%
(1M
USD
LIBOR
+
0.45%)
Monthly,
1/20/22
32
(31)
—
(31‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Rede
D'Or
Sao
Luiz
Monthly,
Pay
Variable
0.539%
(1M
USD
LIBOR
+
0.45%)
Monthly,
1/20/22
3
(3)
—
(3‌)
Total
Brazil
—
(34‌)
Canada
0.0%
Citibank,
Receive
Underlying
Reference:
Sprott
Physical
Gold
and
Silver
Trust
Monthly,
Pay
Variable
0.400%
(1M
CAD
CDOR
+
0.30%)
Monthly,
1/20/22
—
—
—
—‌
Goldman
Sachs,
Pay
Underlying
Reference:
Bank
of
Montreal
Monthly,
Receive
Variable
0.116%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/19/22
5
3
—
3‌
Goldman
Sachs,
Pay
Underlying
Reference:
Canadian
Natural
Resources
Monthly,
Receive
Variable
0.116%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/19/22
10
9
—
9‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
30
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Goldman
Sachs,
Pay
Underlying
Reference:
First
Quantum
Minerals
Monthly,
Receive
Variable
0.116%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/19/22
5
6
—
6‌
Goldman
Sachs,
Pay
Underlying
Reference:
Royal
Bank
of
Canada
Monthly,
Receive
Variable
0.116%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/19/22
11
7
—
7‌
Goldman
Sachs,
Pay
Underlying
Reference:
Suncor
Energy
Monthly,
Receive
Variable
0.116%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/19/22
19
18
—
18‌
Morgan
Stanley,
Pay
Underlying
Reference:
Brookfield
Asset
Management,
Class
A
Monthly,
Receive
Variable
(0.211)%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/20/22
14
(14)
—
(14‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Cameco
Monthly,
Receive
Variable
(0.211)%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/20/22
6
(6)
—
(6‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Canadian
Imperial
Bank
of
Commerce
Monthly,
Receive
Variable
0.016%
(1M
CAD
CDOR
+
(0.40)%)
Monthly,
1/19/22
2
(2)
—
(2‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Canadian
National
Railway
Monthly,
Receive
Variable
0.016%
(1M
CAD
CDOR
+
(0.40)%)
Monthly,
1/19/22
32
(32)
—
(32‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Canadian
Pacific
Railway
Monthly,
Receive
Variable
(0.211)%
(1M
CAD
CDOR
+
(0.30)%)
Monthly,
1/20/22
2
(2)
—
(2‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Enbridge
Monthly,
Receive
Variable
0.016%
(1M
CAD
CDOR
+
(0.40)%)
Monthly,
1/19/22
1
1
—
1‌
Morgan
Stanley,
Pay
Underlying
Reference:
Fairfax
Financial
Holdings
Monthly,
Receive
Variable
0.016%
(1M
CAD
CDOR
+
(0.40)%)
Monthly,
1/19/22
3
3
—
3‌
Morgan
Stanley,
Pay
Underlying
Reference:
First
Quantum
Minerals
Monthly,
Receive
Variable
0.016%
(1M
CAD
CDOR
+
(0.40)%)
Monthly,
1/19/22
5
5
—
5‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
31
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Franco-Nevada
Monthly,
Receive
Variable
0.016%
(1M
CAD
CDOR
+
(0.40)%)
Monthly,
1/19/22
13
(13)
—
(13‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Turquoise
Hill
Resources
Monthly,
Receive
Variable
(0.511)%
(1M
CAD
CDOR
+
(0.60)%)
Monthly,
1/20/22
8
(7)
—
(7‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Canadian
Pacific
Railway
Monthly,
Pay
Variable
0.966%
(1M
CAD
CDOR
+
0.55%)
Monthly,
1/19/22
9
9
—
9‌
Morgan
Stanley,
Receive
Underlying
Reference:
ERO
Monthly,
Pay
Variable
0.966%
(1M
CAD
CDOR
+
0.55%)
Monthly,
1/19/22
3
3
—
3‌
Morgan
Stanley,
Receive
Underlying
Reference:
Franco-Nevada
Monthly,
Pay
Variable
0.389%
(1M
CAD
CDOR
+
0.30%)
Monthly,
1/20/22
14
15
—
15‌
Morgan
Stanley,
Receive
Underlying
Reference:
National
Bank
of
Canada
Monthly,
Pay
Variable
0.966%
(1M
CAD
CDOR
+
0.55%)
Monthly,
1/19/22
2
6
—
6‌
Morgan
Stanley,
Receive
Underlying
Reference:
Sprott
Physical
Gold
and
Silver
Trust
Monthly,
Pay
Variable
0.389%
(1M
CAD
CDOR
+
0.30%)
Monthly,
1/20/22
3
(3)
—
(3‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Sun
Life
Financial
Monthly,
Pay
Variable
0.966%
(1M
CAD
CDOR
+
0.55%)
Monthly,
1/19/22
6
6
—
6‌
Morgan
Stanley,
Receive
Underlying
Reference:
Wesdome
Gold
Mines
Monthly,
Pay
Variable
0.966%
(1M
CAD
CDOR
+
0.55%)
Monthly,
1/19/22
1
(2)
—
(2‌)
Total
Canada
—
10‌
Cayman
Islands
(0.0)%
Morgan
Stanley,
Receive
Underlying
Reference:
Broadstone
Acquisition,
Class
A
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
—
—
—
—‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
32
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Health
Sciences
Acquisitions
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
—
—
—
—‌
Morgan
Stanley,
Receive
Underlying
Reference:
Helix
Acquisition,
Class
A
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
1
(2)
—
(2‌)
Morgan
Stanley,
Receive
Underlying
Reference:
L&F
Acquisition,
Class
A
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
—
—
—
—‌
Morgan
Stanley,
Receive
Underlying
Reference:
Malacca
Straits
Acquisition,
Class
A
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
—
—
—
—‌
Morgan
Stanley,
Receive
Underlying
Reference:
Payoneer
Global
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
8
(8)
—
(8‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Social
Capital
Hedosophia
Holdings
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
6
(6)
—
(6‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Sports
Ventures
Acquisition
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
—
—
—
—‌
Morgan
Stanley,
Receive
Underlying
Reference:
Sports
Ventures
Acquisition,
Class
A
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
—
—
—
—‌
UBS
Securities,
Pay
Underlying
Reference:
Geely
Automobile
Holdings
Monthly,
Receive
Variable
(0.311)%
(1M
HKD
HIBOR
+
(0.40)%)
Monthly,
1/19/22
(HKD)
9
(9)
—
(9‌)
Total
Cayman
Islands
—
(25‌)
China
(0.0)%
Morgan
Stanley,
Receive
Underlying
Reference:
Zhejiang
Runtu,
Class
A
Monthly,
Pay
Variable
4.105%
(1M
CNH
HIBOR
+
1.15%)
Monthly,
1/20/22
4
4
—
4‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
33
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
UBS
Securities,
Pay
Underlying
Reference:
Weichai
Power,
Class
H
Monthly,
Receive
Variable
(0.319)%
(1M
HKD
HIBOR
+
(0.40)%)
Monthly,
1/19/22
(HKD)
—
(1)
—
(1‌)
UBS
Securities,
Pay
Underlying
Reference:
Weichai
Power,
Class
H
Monthly,
Receive
Variable
(0.311)%
(1M
HKD
HIBOR
+
(0.40)%)
Monthly,
1/19/22
(HKD)
11
(14)
—
(14‌)
UBS
Securities,
Pay
Underlying
Reference:
Zoomlion
Heavy
Industry
Science
and
Technology,
Class
H
Monthly,
Receive
Variable
(0.319)%
(1M
HKD
HIBOR
+
(0.40)%)
Monthly,
1/19/22
(HKD)
5
5
—
5‌
UBS
Securities,
Pay
Underlying
Reference:
Zoomlion
Heavy
Industry
Science
and
Technology,
Class
H
Monthly,
Receive
Variable
(0.311)%
(1M
HKD
HIBOR
+
(0.40)%)
Monthly,
1/19/22
(HKD)
8
8
—
8‌
UBS
Securities,
Receive
Underlying
Reference:
Deppon
Logistics,
Class
A
Monthly,
Pay
Variable
3.743%
(1M
CNH
HIBOR
+
0.75%)
Monthly,
1/20/22
15
(16)
—
(16‌)
Total
China
—
(14‌)
Cyprus
(0.0)%
UBS
Securities,
Receive
Underlying
Reference:
TCS
Group
Holding
Monthly,
Pay
Variable
0.450%
(1M
USD
LIBOR
+
0.35%)
Monthly,
1/20/22
10
(10)
—
(10‌)
Total
Cyprus
—
(10‌)
Denmark
0.0%
Bank
of
America,
Receive
Underlying
Reference:
Coloplast,
Class
B
Monthly,
Pay
Variable
0.137%
(1M
DKK
CIBOR
+
0.40%)
Monthly,
1/19/22
15
15
—
15‌
Citibank,
Pay
Underlying
Reference:
AP
Moller
-
Maersk,
Class
B
Monthly,
Receive
Variable
(0.613)%
(1M
DKK
CIBOR
+
(0.35)%)
Monthly,
1/19/22
3
3
—
3‌
Goldman
Sachs,
Pay
Underlying
Reference:
AP
Moller
-
Maersk,
Class
B
Monthly,
Receive
Variable
(0.613)%
(1M
DKK
CIBOR
+
(0.35)%)
Monthly,
1/19/22
1
(1)
—
(1‌)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
34
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Goldman
Sachs,
Pay
Underlying
Reference:
AP
Moller
-
Maersk,
Class
B
Monthly,
Receive
Variable
(0.613)%
(1M
DKK
CIBOR
+
(0.35)%)
Monthly,
1/20/22
1
—
—
—‌
JPMorgan
Chase,
Receive
Underlying
Reference:
Ascendis
Pharma
Monthly,
Pay
Variable
0.435%
(1M
USD
LIBOR
+
0.35%)
Monthly,
1/20/22
3
(3)
—
(3‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Ambu,
Class
B
Monthly,
Receive
Variable
(0.613)%
(1M
DKK
CIBOR
+
(0.35)%)
Monthly,
1/19/22
1
(1)
—
(1‌)
Morgan
Stanley,
Pay
Underlying
Reference:
GN
Store
Nord
Monthly,
Receive
Variable
(0.613)%
(1M
DKK
CIBOR
+
(0.35)%)
Monthly,
1/19/22
7
7
—
7‌
Morgan
Stanley,
Pay
Underlying
Reference:
Novo
Nordisk,
Class
B
Monthly,
Receive
Variable
(0.613)%
(1M
DKK
CIBOR
+
(0.35)%)
Monthly,
1/19/22
15
(15)
—
(15‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Vestas
Wind
Systems
Monthly,
Receive
Variable
(0.613)%
(1M
DKK
CIBOR
+
(0.35)%)
Monthly,
1/19/22
1
(1)
—
(1‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Vestas
Wind
Systems
Monthly,
Receive
Variable
(0.613)%
(1M
DKK
CIBOR
+
(0.35)%)
Monthly,
1/20/22
1
(1)
—
(1‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Genmab
Monthly,
Pay
Variable
0.087%
(1M
DKK
CIBOR
+
0.35%)
Monthly,
1/19/22
12
12
—
12‌
UBS
Securities,
Pay
Underlying
Reference:
DSV
PANALPINA
Monthly,
Receive
Variable
(0.663)%
(1M
DKK
CIBOR
+
(0.40)%)
Monthly,
1/19/22
21
(22)
—
(22‌)
UBS
Securities,
Pay
Underlying
Reference:
Vestas
Wind
Systems
Monthly,
Receive
Variable
(0.663)%
(1M
DKK
CIBOR
+
(0.40)%)
Monthly,
1/19/22
8
8
—
8‌
Total
Denmark
—
1‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
35
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Finland
0.0%
Bank
of
America,
Receive
Underlying
Reference:
Kojamo
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
1
1
—
1‌
Citibank,
Pay
Underlying
Reference:
Nordea
Bank
Monthly,
Receive
Variable
(0.409)%
(1M
SEK
STIBOR
+
(0.35)%)
Monthly,
1/19/22
(SEK)
19
(19)
—
(19‌)
Goldman
Sachs,
Receive
Underlying
Reference:
Kojamo
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
3
3
—
3‌
Morgan
Stanley,
Pay
Underlying
Reference:
Neste
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
7
7
—
7‌
Morgan
Stanley,
Receive
Underlying
Reference:
Stora
Enso,
R
Shares
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
11
11
—
11‌
Total
Finland
—
3‌
France
(0.1)%
Bank
of
America,
Pay
Underlying
Reference:
BNP
Paribas
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
1
(1)
—
(1‌)
Bank
of
America,
Pay
Underlying
Reference:
BNP
Paribas
Monthly,
Receive
Variable
0.210%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
13
(13)
—
(13‌)
Bank
of
America,
Pay
Underlying
Reference:
Eutelsat
Communications
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
12
12
—
12‌
Bank
of
America,
Pay
Underlying
Reference:
LVMH
Moet
Hennessy
Louis
Vuitton
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
4
(4)
—
(4‌)
Bank
of
America,
Receive
Underlying
Reference:
Thales
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
2
2
—
2‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
36
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Bank
of
America,
Receive
Underlying
Reference:
Vivendi
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
3
4
—
4‌
Citibank,
Pay
Underlying
Reference:
Credit
Agricole
Monthly,
Receive
Variable
(0.906)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
2
(3)
—
(3‌)
Citibank,
Pay
Underlying
Reference:
Sodexo
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
24
24
—
24‌
Citibank,
Pay
Underlying
Reference:
Sodexo
Monthly,
Receive
Variable
(0.350)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
1
(1)
—
(1‌)
Citibank,
Receive
Underlying
Reference:
TOTAL
Monthly,
Pay
Variable
(0.206)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
2
(2)
—
(2‌)
JPMorgan
Chase,
Pay
Underlying
Reference:
BNP
Paribas
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
8
(9)
—
(9‌)
JPMorgan
Chase,
Receive
Underlying
Reference:
Edenred
Monthly,
Pay
Variable
(0.208)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
16
(16)
—
(16‌)
JPMorgan
Chase,
Receive
Underlying
Reference:
Edenred
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
2
(2)
—
(2‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Arkema
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/20/22
—
—
—
—‌
Morgan
Stanley,
Pay
Underlying
Reference:
Cie
de
Saint-Gobain
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
3
(3)
—
(3‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Cie
de
Saint-Gobain
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/20/22
4
(4)
—
(4‌)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
37
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Eutelsat
Communications
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
1
1
—
1‌
Morgan
Stanley,
Pay
Underlying
Reference:
Kering
Monthly,
Receive
Variable
0.210%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
3
(3)
—
(3‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Constellium
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
12
11
—
11‌
UBS
Securities,
Pay
Underlying
Reference:
LVMH
Moet
Hennessy
Louis
Vuitton
Monthly,
Receive
Variable
(0.957)%
(1M
EURIBOR
+
(0.40)%)
Monthly,
1/19/22
2
(2)
—
(2‌)
UBS
Securities,
Pay
Underlying
Reference:
LVMH
Moet
Hennessy
Louis
Vuitton
Monthly,
Receive
Variable
(0.956)%
(1M
EURIBOR
+
(0.40)%)
Monthly,
1/19/22
30
(30)
—
(30‌)
UBS
Securities,
Receive
Underlying
Reference:
Sanofi
Monthly,
Pay
Variable
(0.206)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
3
3
—
3‌
Total
France
—
(36‌)
Germany
(0.0)%
Bank
of
America,
Pay
Underlying
Reference:
Brenntag
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
13
(13)
—
(13‌)
Bank
of
America,
Pay
Underlying
Reference:
Fresenius
Medical
Care
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
6
6
—
6‌
Bank
of
America,
Receive
Underlying
Reference:
Deutsche
Post
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
11
(11)
—
(11‌)
Citibank,
Pay
Underlying
Reference:
Allianz
Monthly,
Receive
Variable
(0.906)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
8
(8)
—
(8‌)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
38
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Citibank,
Pay
Underlying
Reference:
HelloFresh
Monthly,
Receive
Variable
(0.906)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
16
16
—
16‌
Citibank,
Pay
Underlying
Reference:
STRATEC
Monthly,
Receive
Variable
(0.890)%
(1M
EURIBOR
+
(0.334)%)
Monthly,
1/19/22
10
(10)
—
(10‌)
Citibank,
Receive
Underlying
Reference:
KION
Group
Monthly,
Pay
Variable
(0.206)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
3
(4)
—
(4‌)
Goldman
Sachs,
Pay
Underlying
Reference:
STRATEC
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
14
(15)
—
(15‌)
Goldman
Sachs,
Receive
Underlying
Reference:
Merck
Monthly,
Pay
Variable
(0.157)%
(1M
EURIBOR
+
0.40%)
Monthly,
1/19/22
2
2
—
2‌
JPMorgan
Chase,
Receive
Underlying
Reference:
Symrise
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
10
10
—
10‌
JPMorgan
Chase,
Receive
Underlying
Reference:
Zalando
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
21
(20)
—
(20‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Carl
Zeiss
Meditec,
Class
BR
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
24
(24)
—
(24‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Hannover
Rueck
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/20/22
2
2
—
2‌
Morgan
Stanley,
Pay
Underlying
Reference:
HelloFresh
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
3
3
—
3‌
Morgan
Stanley,
Pay
Underlying
Reference:
MTU
Aero
Engines
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
5
(5)
—
(5‌)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
39
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
RWE
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
9
8
—
8‌
Morgan
Stanley,
Receive
Underlying
Reference:
Covestro
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
7
(7)
—
(7‌)
Morgan
Stanley,
Receive
Underlying
Reference:
CTS
Eventim
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
15
14
—
14‌
Morgan
Stanley,
Receive
Underlying
Reference:
Infineon
Technologies
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
5
(5)
—
(5‌)
UBS
Securities,
Pay
Underlying
Reference:
Hannover
Rueck
Monthly,
Receive
Variable
(0.956)%
(1M
EURIBOR
+
(0.40)%)
Monthly,
1/19/22
2
2
—
2‌
UBS
Securities,
Receive
Underlying
Reference:
CTS
Eventim
Monthly,
Pay
Variable
(0.206)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
9
10
—
10‌
UBS
Securities,
Receive
Underlying
Reference:
Siemens
Healthineers
Monthly,
Pay
Variable
(0.206)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
8
8
—
8‌
Total
Germany
—
(41‌)
Greece
0.0%
UBS
Securities,
Receive
Underlying
Reference:
LAMDA
Development
Monthly,
Pay
Variable
0.192%
(1M
EURIBOR
+
0.75%)
Monthly,
1/19/22
—
—
—
—‌
UBS
Securities,
Receive
Underlying
Reference:
LAMDA
Development
Monthly,
Pay
Variable
0.193%
(1M
EURIBOR
+
0.75%)
Monthly,
1/19/22
2
3
—
3‌
UBS
Securities,
Receive
Underlying
Reference:
LAMDA
Development
Monthly,
Pay
Variable
0.194%
(1M
EURIBOR
+
0.75%)
Monthly,
1/19/22
11
11
—
11‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
40
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
UBS
Securities,
Receive
Underlying
Reference:
LAMDA
Development
Monthly,
Pay
Variable
0.198%
(1M
EURIBOR
+
0.75%)
Monthly,
1/19/22
5
5
—
5‌
Total
Greece
—
19‌
Hong
Kong
(0.0)%
Morgan
Stanley,
Receive
Underlying
Reference:
AIA
Group
Monthly,
Pay
Variable
0.629%
(1M
HKD
HIBOR
+
0.55%)
Monthly,
1/19/22
8
(8)
—
(8‌)
Morgan
Stanley,
Receive
Underlying
Reference:
HKT
Trust
&
HKT
Monthly,
Pay
Variable
0.629%
(1M
HKD
HIBOR
+
0.55%)
Monthly,
1/19/22
3
(4)
—
(4‌)
Total
Hong
Kong
—
(12‌)
Ireland
(0.0)%
Bank
of
America,
Pay
Underlying
Reference:
Pentair
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
11
(11)
—
(11‌)
Citibank,
Pay
Underlying
Reference:
iShares
Core
FTSE
100
UCITS
ETF
Monthly,
Receive
Variable
(0.299)%
(1M
GBP
LIBOR
+
(0.35)%)
Monthly,
1/19/22
(GBP)
1
(1)
—
(1‌)
Citibank,
Pay
Underlying
Reference:
iShares
Core
FTSE
100
UCITS
ETF
Monthly,
Receive
Variable
(0.296)%
(1M
GBP
LIBOR
+
(0.35)%)
Monthly,
1/19/22
(GBP)
13
(12)
—
(12‌)
Goldman
Sachs,
Pay
Underlying
Reference:
Allegion
plc
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
3
2
—
2‌
Morgan
Stanley,
Pay
Underlying
Reference:
Seagate
Technology
Holdings
Monthly,
Receive
Variable
(0.216)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
1
(1)
—
(1‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Seagate
Technology
Holdings
Monthly,
Receive
Variable
(0.214)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
1
(1)
—
(1‌)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
41
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Seagate
Technology
Holdings
Monthly,
Receive
Variable
(0.213)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
2
(2)
—
(2‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Seagate
Technology
Holdings
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
4
(4)
—
(4‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Linde
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
8
8
—
8‌
UBS
Securities,
Receive
Underlying
Reference:
Cairn
Homes
Monthly,
Pay
Variable
0.401%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
10/12/21
(GBP)
2
2
—
2‌
UBS
Securities,
Receive
Underlying
Reference:
Greencore
Group
Monthly,
Pay
Variable
0.401%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
10/12/21
(GBP)
7
7
—
7‌
Total
Ireland
—
(13‌)
Israel
0.0%
Morgan
Stanley,
Receive
Underlying
Reference:
Nice
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
21
21
—
21‌
Total
Israel
—
21‌
Italy
0.0%
Citibank,
Receive
Underlying
Reference:
Atlantia
Monthly,
Pay
Variable
(0.206)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
1
1
—
1‌
JPMorgan
Chase,
Receive
Underlying
Reference:
DiaSorin
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
6
6
—
6‌
Morgan
Stanley,
Pay
Underlying
Reference:
Intesa
Sanpaolo
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
7
(8)
—
(8‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Telecom
Italia
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
4
4
—
4‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
42
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Telecom
Italia
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/20/22
1
1
—
1‌
UBS
Securities,
Receive
Underlying
Reference:
Atlantia
Monthly,
Pay
Variable
(0.206)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
—
1
—
1‌
Total
Italy
—
5‌
Japan
(0.0)%
Citibank,
Pay
Underlying
Reference:
Ajinomoto
Monthly,
Receive
Variable
(0.478)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
2
2
—
2‌
Citibank,
Pay
Underlying
Reference:
Fast
Retailing
Monthly,
Receive
Variable
(0.478)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
27
27
—
27‌
Citibank,
Pay
Underlying
Reference:
Fast
Retailing
Monthly,
Receive
Variable
(0.468)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
6
6
—
6‌
Citibank,
Pay
Underlying
Reference:
Fast
Retailing
Monthly,
Receive
Variable
(0.400)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
—
—
—
—‌
Citibank,
Pay
Underlying
Reference:
iShares
Core
TOPIX
ETF
Monthly,
Receive
Variable
(0.758)%
(1M
JPY
LIBOR
+
(0.68)%)
Monthly,
1/19/22
12
(12)
—
(12‌)
Citibank,
Pay
Underlying
Reference:
iShares
Core
TOPIX
ETF
Monthly,
Receive
Variable
(0.748)%
(1M
JPY
LIBOR
+
(0.68)%)
Monthly,
1/19/22
4
(4)
—
(4‌)
Citibank,
Pay
Underlying
Reference:
SoftBank
Group
Monthly,
Receive
Variable
(0.478)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
32
31
—
31‌
Citibank,
Pay
Underlying
Reference:
Takeda
Pharmaceutical
Monthly,
Receive
Variable
(0.478)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
10
(10)
—
(10‌)
Citibank,
Receive
Underlying
Reference:
Asics
Monthly,
Pay
Variable
0.322%
(1M
JPY
LIBOR
+
0.40%)
Monthly,
1/19/22
30
(28)
—
(28‌)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
43
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Citibank,
Receive
Underlying
Reference:
Benefit
One
Monthly,
Pay
Variable
0.322%
(1M
JPY
LIBOR
+
0.40%)
Monthly,
1/19/22
23
23
—
23‌
Citibank,
Receive
Underlying
Reference:
Eisai
Monthly,
Pay
Variable
0.322%
(1M
JPY
LIBOR
+
0.40%)
Monthly,
1/19/22
35
(36)
—
(36‌)
Citibank,
Receive
Underlying
Reference:
Hamamatsu
Photonics
Monthly,
Pay
Variable
0.322%
(1M
JPY
LIBOR
+
0.40%)
Monthly,
1/19/22
14
(14)
—
(14‌)
Citibank,
Receive
Underlying
Reference:
Hino
Motors
Monthly,
Pay
Variable
0.322%
(1M
JPY
LIBOR
+
0.40%)
Monthly,
1/19/22
—
—
—
—‌
Citibank,
Receive
Underlying
Reference:
Istyle
Monthly,
Pay
Variable
0.322%
(1M
JPY
LIBOR
+
0.40%)
Monthly,
1/19/22
10
(10)
—
(10‌)
Citibank,
Receive
Underlying
Reference:
Kobe
Bussan
Monthly,
Pay
Variable
0.322%
(1M
JPY
LIBOR
+
0.40%)
Monthly,
1/19/22
4
(5)
—
(5‌)
Citibank,
Receive
Underlying
Reference:
Mitsui
Fudosan
Monthly,
Pay
Variable
0.322%
(1M
JPY
LIBOR
+
0.40%)
Monthly,
1/19/22
1
(1)
—
(1‌)
Citibank,
Receive
Underlying
Reference:
Recruit
Holdings
Monthly,
Pay
Variable
0.322%
(1M
JPY
LIBOR
+
0.40%)
Monthly,
1/19/22
2
2
—
2‌
Citibank,
Receive
Underlying
Reference:
Sega
Sammy
Holdings
Monthly,
Pay
Variable
0.322%
(1M
JPY
LIBOR
+
0.40%)
Monthly,
1/19/22
12
(12)
—
(12‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Ajinomoto
Monthly,
Receive
Variable
(0.477)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
3
3
—
3‌
Morgan
Stanley,
Pay
Underlying
Reference:
Chugai
Pharmaceutical
Monthly,
Receive
Variable
(0.477)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
4
3
—
3‌
Morgan
Stanley,
Pay
Underlying
Reference:
Daifuku
Monthly,
Receive
Variable
(0.477)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/20/22
2
2
—
2‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
44
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Denso
Monthly,
Receive
Variable
(0.468)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
6
(6)
—
(6‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Kubota
Monthly,
Receive
Variable
(0.477)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
—
(1)
—
(1‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Kyocera
Monthly,
Receive
Variable
(0.477)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
7
7
—
7‌
Morgan
Stanley,
Pay
Underlying
Reference:
Nidec
Monthly,
Receive
Variable
(0.477)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
21
21
—
21‌
Morgan
Stanley,
Pay
Underlying
Reference:
SG
Holdings
Monthly,
Receive
Variable
(0.477)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
—
—
—
—‌
Morgan
Stanley,
Pay
Underlying
Reference:
Yamato
Holdings
Monthly,
Receive
Variable
(0.477)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
4
4
—
4‌
Morgan
Stanley,
Receive
Underlying
Reference:
Amada
Monthly,
Pay
Variable
0.473%
(1M
JPY
LIBOR
+
0.55%)
Monthly,
1/19/22
12
(12)
—
(12‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Astellas
Pharma
Monthly,
Pay
Variable
0.473%
(1M
JPY
LIBOR
+
0.55%)
Monthly,
1/19/22
18
(18)
—
(18‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Kirin
Holdings
Monthly,
Pay
Variable
0.473%
(1M
JPY
LIBOR
+
0.55%)
Monthly,
1/19/22
9
(6)
—
(6‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Mitsubishi
Electric
Monthly,
Pay
Variable
0.483%
(1M
JPY
LIBOR
+
0.55%)
Monthly,
1/19/22
3
(3)
—
(3‌)
Morgan
Stanley,
Receive
Underlying
Reference:
NET
One
Systems
Monthly,
Pay
Variable
0.473%
(1M
JPY
LIBOR
+
0.55%)
Monthly,
1/19/22
6
(6)
—
(6‌)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
45
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Nippon
Steel
Monthly,
Pay
Variable
0.486%
(1M
JPY
LIBOR
+
0.55%)
Monthly,
1/19/22
—
—
—
—‌
Morgan
Stanley,
Receive
Underlying
Reference:
Recruit
Holdings
Monthly,
Pay
Variable
0.473%
(1M
JPY
LIBOR
+
0.55%)
Monthly,
1/19/22
—
—
—
—‌
Morgan
Stanley,
Receive
Underlying
Reference:
Sanrio
Monthly,
Pay
Variable
0.473%
(1M
JPY
LIBOR
+
0.55%)
Monthly,
1/19/22
11
(11)
—
(11‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Seven
&
i
Holdings
Monthly,
Pay
Variable
0.473%
(1M
JPY
LIBOR
+
0.55%)
Monthly,
1/19/22
12
(13)
—
(13‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Shiseido
Monthly,
Pay
Variable
0.473%
(1M
JPY
LIBOR
+
0.55%)
Monthly,
1/19/22
9
(9)
—
(9‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Sony
Group
Monthly,
Pay
Variable
0.483%
(1M
JPY
LIBOR
+
0.55%)
Monthly,
1/19/22
16
16
—
16‌
Morgan
Stanley,
Receive
Underlying
Reference:
Toyota
Motor
Monthly,
Pay
Variable
0.323%
(1M
JPY
LIBOR
+
0.40%)
Monthly,
1/19/22
2
(2)
—
(2‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Toyota
Motor
Monthly,
Pay
Variable
0.473%
(1M
JPY
LIBOR
+
0.55%)
Monthly,
1/19/22
—
(1)
—
(1‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Yakult
Honsha
Monthly,
Pay
Variable
0.483%
(1M
JPY
LIBOR
+
0.55%)
Monthly,
1/19/22
1
1
—
1‌
UBS
Securities,
Pay
Underlying
Reference:
Kubota
Monthly,
Receive
Variable
(0.478)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
1
(2)
—
(2‌)
UBS
Securities,
Pay
Underlying
Reference:
Nissan
Chemical
Monthly,
Receive
Variable
(0.478)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
3
(3)
—
(3‌)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
46
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
UBS
Securities,
Pay
Underlying
Reference:
Ono
Pharmaceutical
Monthly,
Receive
Variable
(0.478)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
2
(2)
—
(2‌)
UBS
Securities,
Pay
Underlying
Reference:
SMC
Monthly,
Receive
Variable
(0.478)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
5
4
—
4‌
UBS
Securities,
Pay
Underlying
Reference:
Sumitomo
Realty
&
Development
Monthly,
Receive
Variable
(0.478)%
(1M
JPY
LIBOR
+
(0.40)%)
Monthly,
1/19/22
13
13
—
13‌
UBS
Securities,
Receive
Underlying
Reference:
Hoshizaki
Monthly,
Pay
Variable
0.272%
(1M
JPY
LIBOR
+
0.35%)
Monthly,
1/19/22
5
(5)
—
(5‌)
UBS
Securities,
Receive
Underlying
Reference:
Keyence
Monthly,
Pay
Variable
0.272%
(1M
JPY
LIBOR
+
0.35%)
Monthly,
1/19/22
43
42
—
42‌
UBS
Securities,
Receive
Underlying
Reference:
Mitsui
Fudosan
Monthly,
Pay
Variable
0.272%
(1M
JPY
LIBOR
+
0.35%)
Monthly,
1/19/22
9
(9)
—
(9‌)
UBS
Securities,
Receive
Underlying
Reference:
Nippon
Sanso
Holdings
Monthly,
Pay
Variable
0.272%
(1M
JPY
LIBOR
+
0.35%)
Monthly,
1/19/22
10
9
—
9‌
UBS
Securities,
Receive
Underlying
Reference:
Sumitomo
Metal
Mining
Monthly,
Pay
Variable
0.272%
(1M
JPY
LIBOR
+
0.35%)
Monthly,
1/19/22
10
10
—
10‌
UBS
Securities,
Receive
Underlying
Reference:
Tokyo
Tatemono
Monthly,
Pay
Variable
0.272%
(1M
JPY
LIBOR
+
0.35%)
Monthly,
1/19/22
2
1
—
1‌
Total
Japan
—
(14‌)
Jersey
(0.0)%
Citibank,
Pay
Underlying
Reference:
WisdomTree
Copper
Monthly,
Receive
Variable
(0.250)%
(1M
USD
LIBOR
+
(0.35)%)
Monthly,
1/20/22
5
(5)
—
(5‌)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
47
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Citibank,
Receive
Underlying
Reference:
boohoo
Group
Monthly,
Pay
Variable
0.401%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
16
(16)
—
(16‌)
Goldman
Sachs,
Receive
Underlying
Reference:
boohoo
Group
Monthly,
Pay
Variable
0.452%
(1M
GBP
LIBOR
+
0.40%)
Monthly,
1/19/22
3
(2)
—
(2‌)
Morgan
Stanley,
Receive
Underlying
Reference:
boohoo
Group
Monthly,
Pay
Variable
0.402%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
5
(5)
—
(5‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Experian
Monthly,
Pay
Variable
0.402%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
7
7
—
7‌
Total
Jersey
—
(21‌)
Luxembourg
(0.1)%
Bank
of
America,
Pay
Underlying
Reference:
ArcelorMittal
Monthly,
Receive
Variable
(0.215)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
37
(37)
—
(37‌)
Bank
of
America,
Pay
Underlying
Reference:
ArcelorMittal
Monthly,
Receive
Variable
(0.213)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
3
(3)
—
(3‌)
Bank
of
America,
Pay
Underlying
Reference:
ArcelorMittal
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
9
(8)
—
(8‌)
JPMorgan
Chase,
Receive
Underlying
Reference:
Tenaris
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
3
(3)
—
(3‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Samsonite
International
Monthly,
Pay
Variable
0.400%
(1M
HKD
HIBOR
+
0.40%)
Monthly,
1/19/22
(HKD)
—
—
—
—‌
UBS
Securities,
Receive
Underlying
Reference:
Samsonite
International
Monthly,
Pay
Variable
0.439%
(1M
HKD
HIBOR
+
0.35%)
Monthly,
1/19/22
(HKD)
14
(14)
—
(14‌)
Total
Luxembourg
—
(65‌)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
48
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Mexico
0.0%
Morgan
Stanley,
Pay
Underlying
Reference:
Alpek
Monthly,
Receive
Variable
4.022%
(MXIBTIIE
+
(0.50)%)
Monthly,
1/19/22
3
3
—
3‌
Morgan
Stanley,
Pay
Underlying
Reference:
Axtel
Monthly,
Receive
Variable
4.022%
(MXIBTIIE
+
(0.50)%)
Monthly,
1/19/22
2
2
—
2‌
Morgan
Stanley,
Receive
Underlying
Reference:
Alfa,
Class
A
Monthly,
Pay
Variable
5.072%
(MXIBTIIE
+
0.55%)
Monthly,
1/19/22
2
(2)
—
(2‌)
Total
Mexico
—
3‌
Netherlands
0.1%
Citibank,
Pay
Underlying
Reference:
NN
Group
Monthly,
Receive
Variable
(0.906)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
8
(8)
—
(8‌)
Citibank,
Receive
Underlying
Reference:
Adyen
Monthly,
Pay
Variable
(0.206)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
20
20
—
20‌
Goldman
Sachs,
Receive
Underlying
Reference:
Ferrari
Monthly,
Pay
Variable
(0.157)%
(1M
EURIBOR
+
0.40%)
Monthly,
1/19/22
9
9
—
9‌
Goldman
Sachs,
Receive
Underlying
Reference:
Stellantis
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
2
2
—
2‌
JPMorgan
Chase,
Receive
Underlying
Reference:
ING
Groep
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
3
3
—
3‌
Morgan
Stanley,
Pay
Underlying
Reference:
LyondellBasell
Industries,
Class
A
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
4
4
—
4‌
Morgan
Stanley,
Pay
Underlying
Reference:
Wolters
Kluwer
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
20
(20)
—
(20‌)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
49
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
AerCap
Holdings
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
13
14
—
14‌
Morgan
Stanley,
Receive
Underlying
Reference:
Airbus
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
8
9
—
9‌
Morgan
Stanley,
Receive
Underlying
Reference:
Ferrari
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
12
12
—
12‌
Morgan
Stanley,
Receive
Underlying
Reference:
ING
Groep
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
8
8
—
8‌
Morgan
Stanley,
Receive
Underlying
Reference:
NXP
Semiconductors
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
8
8
—
8‌
UBS
Securities,
Pay
Underlying
Reference:
Koninklijke
Ahold
Delhaize
Monthly,
Receive
Variable
(0.956)%
(1M
EURIBOR
+
(0.40)%)
Monthly,
1/19/22
6
(6)
—
(6‌)
UBS
Securities,
Receive
Underlying
Reference:
ASML
Holding
Monthly,
Pay
Variable
(0.206)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
19
19
—
19‌
Total
Netherlands
—
74‌
Norway
(0.0)%
Bank
of
America,
Pay
Underlying
Reference:
Norsk
Hydro
Monthly,
Receive
Variable
(0.210)%
(1M
NOK
NIBOR
+
(0.35)%)
Monthly,
1/19/22
2
(2)
—
(2‌)
Citibank,
Pay
Underlying
Reference:
Telenor
Monthly,
Receive
Variable
(0.220)%
(1M
NOK
NIBOR
+
(0.35)%)
Monthly,
1/19/22
3
(3)
—
(3‌)
Citibank,
Pay
Underlying
Reference:
Yara
International
Monthly,
Receive
Variable
(0.220)%
(1M
NOK
NIBOR
+
(0.35)%)
Monthly,
1/19/22
1
1
—
1‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
50
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
JPMorgan
Chase,
Receive
Underlying
Reference:
Equinor
Monthly,
Pay
Variable
0.540%
(1M
NOK
NIBOR
+
0.40%)
Monthly,
1/19/22
2
(2)
—
(2‌)
Total
Norway
—
(6‌)
Portugal
(0.0)%
JPMorgan
Chase,
Receive
Underlying
Reference:
EDP
-
Energias
de
Portugal
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
8
(8)
—
(8‌)
Total
Portugal
—
(8‌)
Puerto
Rico
(0.0)%
Goldman
Sachs,
Receive
Underlying
Reference:
Popular
Monthly,
Pay
Variable
0.489%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/20/22
1
(1)
—
(1‌)
Total
Puerto
Rico
—
(1‌)
Singapore
(0.0)%
Citibank,
Receive
Underlying
Reference:
ComfortDelGro
Monthly,
Pay
Variable
0.667%
(1M
SGD
SIBOR
+
0.40%)
Monthly,
1/19/22
—
—
—
—‌
Citibank,
Receive
Underlying
Reference:
ComfortDelGro
Monthly,
Pay
Variable
0.667%
(1M
SGD
SIBOR
+
0.40%)
Monthly,
1/20/22
5
(5)
—
(5‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Yangzijiang
Shipbuilding
Holdings
Monthly,
Pay
Variable
0.817%
(1M
SGD
SIBOR
+
0.55%)
Monthly,
1/19/22
1
(2)
—
(2‌)
Total
Singapore
—
(7‌)
South
Korea
(0.0)%
Morgan
Stanley,
Pay
Underlying
Reference:
POSCO
Monthly,
Receive
Variable
(0.210)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
2
(3)
—
(3‌)
Morgan
Stanley,
Pay
Underlying
Reference:
POSCO
Monthly,
Receive
Variable
(0.208)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
—
—
—
—‌
Total
South
Korea
—
(3‌)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
51
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Spain
0.0%
Citibank,
Pay
Underlying
Reference:
Banco
Santander
Monthly,
Receive
Variable
(0.906)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
3
(4)
—
(4‌)
Citibank,
Receive
Underlying
Reference:
Amadeus
IT
Group
Monthly,
Pay
Variable
(0.206)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
8
(7)
—
(7‌)
JPMorgan
Chase,
Receive
Underlying
Reference:
Banco
Bilbao
Vizcaya
Argentaria
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
39
40
—
40‌
Morgan
Stanley,
Pay
Underlying
Reference:
Banco
Santander
Monthly,
Receive
Variable
(0.907)%
(1M
EURIBOR
+
(0.35)%)
Monthly,
1/19/22
2
2
—
2‌
Morgan
Stanley,
Receive
Underlying
Reference:
Amadeus
IT
Group
Monthly,
Pay
Variable
(0.207)%
(1M
EURIBOR
+
0.35%)
Monthly,
1/19/22
3
3
—
3‌
Total
Spain
—
34‌
Sweden
(0.1)%
Bank
of
America,
Receive
Underlying
Reference:
Telefonaktiebolaget
LM
Ericsson,
B
Shares
Monthly,
Pay
Variable
0.291%
(1M
SEK
STIBOR
+
0.35%)
Monthly,
1/19/22
45
(45)
—
(45‌)
Citibank,
Pay
Underlying
Reference:
Volvo,
B
Shares
Monthly,
Receive
Variable
(0.409)%
(1M
SEK
STIBOR
+
(0.35)%)
Monthly,
1/19/22
3
3
—
3‌
Citibank,
Receive
Underlying
Reference:
Assa
Abloy,
Class
B
Monthly,
Pay
Variable
0.291%
(1M
SEK
STIBOR
+
0.35%)
Monthly,
1/19/22
7
7
—
7‌
Goldman
Sachs,
Receive
Underlying
Reference:
Atlas,
B
Shares
Monthly,
Pay
Variable
0.341%
(1M
SEK
STIBOR
+
0.40%)
Monthly,
1/19/22
8
8
—
8‌
JPMorgan
Chase,
Receive
Underlying
Reference:
Boliden
Monthly,
Pay
Variable
0.341%
(1M
SEK
STIBOR
+
0.40%)
Monthly,
1/19/22
7
(8)
—
(8‌)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
52
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Kinnevik,
Class
B
Monthly,
Receive
Variable
(0.409)%
(1M
SEK
STIBOR
+
(0.35)%)
Monthly,
1/19/22
14
(15)
—
(15‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Skandinaviska
Enskilda
Banken,
Class
A
Monthly,
Receive
Variable
(0.409)%
(1M
SEK
STIBOR
+
(0.35)%)
Monthly,
1/19/22
—
—
—
—‌
Morgan
Stanley,
Receive
Underlying
Reference:
Alfa
Laval
Monthly,
Pay
Variable
0.291%
(1M
SEK
STIBOR
+
0.35%)
Monthly,
1/19/22
38
39
—
39‌
Morgan
Stanley,
Receive
Underlying
Reference:
Trelleborg,
B
Shares
Monthly,
Pay
Variable
0.291%
(1M
SEK
STIBOR
+
0.35%)
Monthly,
1/19/22
3
3
—
3‌
UBS
Securities,
Pay
Underlying
Reference:
ICA
Gruppen
Monthly,
Receive
Variable
(0.459)%
(1M
SEK
STIBOR
+
(0.40)%)
Monthly,
1/19/22
8
(9)
—
(9‌)
UBS
Securities,
Pay
Underlying
Reference:
SKF,
B
Shares
Monthly,
Receive
Variable
(0.459)%
(1M
SEK
STIBOR
+
(0.40)%)
Monthly,
1/19/22
8
(8)
—
(8‌)
Total
Sweden
—
(25‌)
Switzerland
0.1%
Bank
of
America,
Pay
Underlying
Reference:
Givaudan
Monthly,
Receive
Variable
(1.153)%
(1M
CHF
LIBOR
+
(0.35)%)
Monthly,
1/19/22
6
(6)
—
(6‌)
Bank
of
America,
Receive
Underlying
Reference:
ABB
Monthly,
Pay
Variable
(0.453)%
(1M
CHF
LIBOR
+
0.35%)
Monthly,
1/19/22
3
3
—
3‌
Bank
of
America,
Receive
Underlying
Reference:
Flughafen
Zurich
Monthly,
Pay
Variable
(0.450)%
(1M
CHF
LIBOR
+
0.35%)
Monthly,
1/19/22
2
(2)
—
(2‌)
Citibank,
Pay
Underlying
Reference:
Geberit
Monthly,
Receive
Variable
(1.153)%
(1M
CHF
LIBOR
+
(0.35)%)
Monthly,
1/19/22
1
(1)
—
(1‌)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
53
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Citibank,
Pay
Underlying
Reference:
SGS
Monthly,
Receive
Variable
(1.153)%
(1M
CHF
LIBOR
+
(0.35)%)
Monthly,
1/19/22
2
(2)
—
(2‌)
Citibank,
Pay
Underlying
Reference:
Straumann
Holding
Monthly,
Receive
Variable
(1.153)%
(1M
CHF
LIBOR
+
(0.35)%)
Monthly,
1/19/22
15
(15)
—
(15‌)
Citibank,
Receive
Underlying
Reference:
Cie
Financiere
Richemont
Monthly,
Pay
Variable
(0.453)%
(1M
CHF
LIBOR
+
0.35%)
Monthly,
1/19/22
3
4
—
4‌
Citibank,
Receive
Underlying
Reference:
Partners
Group
Holding
Monthly,
Pay
Variable
(0.453)%
(1M
CHF
LIBOR
+
0.35%)
Monthly,
1/19/22
41
41
—
41‌
Goldman
Sachs,
Receive
Underlying
Reference:
TE
Connectivity
Monthly,
Pay
Variable
0.489%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/20/22
22
22
—
22‌
JPMorgan
Chase,
Receive
Underlying
Reference:
Montana
Aerospace
Monthly,
Pay
Variable
(0.397)%
(1M
CHF
LIBOR
+
0.40%)
Monthly,
1/19/22
1
(1)
—
(1‌)
JPMorgan
Chase,
Receive
Underlying
Reference:
Montana
Aerospace
Monthly,
Pay
Variable
0.400%
(1M
CHF
LIBOR
+
0.40%)
Monthly,
1/19/22
1
(1)
—
(1‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Geberit
Monthly,
Receive
Variable
(1.153)%
(1M
CHF
LIBOR
+
(0.35)%)
Monthly,
1/19/22
5
(4)
—
(4‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Kuehne
+
Nagel
International
Monthly,
Receive
Variable
(1.153)%
(1M
CHF
LIBOR
+
(0.35)%)
Monthly,
1/19/22
11
11
—
11‌
Morgan
Stanley,
Pay
Underlying
Reference:
Kuehne
+
Nagel
International
Monthly,
Receive
Variable
(0.350)%
(1M
CHF
LIBOR
+
(0.35)%)
Monthly,
1/19/22
—
—
—
—‌
Morgan
Stanley,
Pay
Underlying
Reference:
Sonova
Holding
Monthly,
Receive
Variable
(1.146)%
(1M
CHF
LIBOR
+
(0.35)%)
Monthly,
1/19/22
1
(2)
—
(2‌)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
54
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Tecan
Group
Monthly,
Receive
Variable
(1.153)%
(1M
CHF
LIBOR
+
(0.35)%)
Monthly,
1/19/22
19
(19)
—
(19‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Alcon
Monthly,
Pay
Variable
(0.453)%
(1M
CHF
LIBOR
+
0.35%)
Monthly,
1/20/22
6
7
—
7‌
Morgan
Stanley,
Receive
Underlying
Reference:
Cie
Financiere
Richemont
Monthly,
Pay
Variable
(0.453)%
(1M
CHF
LIBOR
+
0.35%)
Monthly,
1/19/22
2
2
—
2‌
Morgan
Stanley,
Receive
Underlying
Reference:
Cie
Financiere
Richemont
Monthly,
Pay
Variable
(0.453)%
(1M
CHF
LIBOR
+
0.35%)
Monthly,
1/20/22
5
5
—
5‌
UBS
Securities,
Receive
Underlying
Reference:
Julius
Baer
Group
Monthly,
Pay
Variable
(0.453)%
(1M
CHF
LIBOR
+
0.35%)
Monthly,
1/19/22
9
9
—
9‌
Total
Switzerland
—
51‌
Taiwan
(0.0)%
Morgan
Stanley,
Receive
Underlying
Reference:
Taiwan
Semiconductor
Manufacturing
Monthly,
Pay
Variable
0.839%
(1M
USD
LIBOR
+
0.75%)
Monthly,
1/21/22
10
(10)
—
(10‌)
UBS
Securities,
Receive
Underlying
Reference:
Taiwan
Semiconductor
Manufacturing
Monthly,
Pay
Variable
0.600%
(1M
USD
LIBOR
+
0.50%)
Monthly,
1/18/22
3
(3)
—
(3‌)
Total
Taiwan
—
(13‌)
United
Kingdom
0.1%
Bank
of
America,
Receive
Underlying
Reference:
AstraZeneca
Monthly,
Pay
Variable
0.402%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
3
(3)
—
(3‌)
Bank
of
America,
Receive
Underlying
Reference:
Great
Portland
Estates
Monthly,
Pay
Variable
0.402%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
3
3
—
3‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
55
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Bank
of
America,
Receive
Underlying
Reference:
UNITE
Group
Monthly,
Pay
Variable
0.402%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
16
15
—
15‌
Citibank,
Pay
Underlying
Reference:
Admiral
Group
Monthly,
Receive
Variable
(0.298)%
(1M
GBP
LIBOR
+
(0.35)%)
Monthly,
1/19/22
6
(6)
—
(6‌)
Citibank,
Pay
Underlying
Reference:
BP
Monthly,
Receive
Variable
(0.299)%
(1M
GBP
LIBOR
+
(0.35)%)
Monthly,
1/19/22
42
42
—
42‌
Citibank,
Pay
Underlying
Reference:
HSBC
Holdings
Monthly,
Receive
Variable
(0.298)%
(1M
GBP
LIBOR
+
(0.35)%)
Monthly,
1/19/22
4
4
—
4‌
Citibank,
Pay
Underlying
Reference:
Standard
Life
Aberdeen
Monthly,
Receive
Variable
(0.299)%
(1M
GBP
LIBOR
+
(0.35)%)
Monthly,
1/19/22
1
(2)
—
(2‌)
Citibank,
Receive
Underlying
Reference:
ASOS
Monthly,
Pay
Variable
0.350%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
—
—
—
—‌
Citibank,
Receive
Underlying
Reference:
ASOS
Monthly,
Pay
Variable
0.350%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
—
(1)
—
(1‌)
Citibank,
Receive
Underlying
Reference:
ASOS
Monthly,
Pay
Variable
0.401%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
26
(26)
—
(26‌)
Citibank,
Receive
Underlying
Reference:
Burberry
Group
Monthly,
Pay
Variable
0.401%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
1
1
—
1‌
Citibank,
Receive
Underlying
Reference:
Derwent
London
Monthly,
Pay
Variable
0.401%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
13
12
—
12‌
Citibank,
Receive
Underlying
Reference:
Great
Portland
Estates
Monthly,
Pay
Variable
0.401%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
7
7
—
7‌
Citibank,
Receive
Underlying
Reference:
SSP
Group
Monthly,
Pay
Variable
0.401%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
1
(1)
—
(1‌)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
56
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Citibank,
Receive
Underlying
Reference:
Trainline
Monthly,
Pay
Variable
0.401%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
3
3
—
3‌
Citibank,
Receive
Underlying
Reference:
Whitbread
Monthly,
Pay
Variable
0.401%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
8
(8)
—
(8‌)
Goldman
Sachs,
Receive
Underlying
Reference:
Fresnillo
Monthly,
Pay
Variable
0.402%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
—
—
—
—‌
Goldman
Sachs,
Receive
Underlying
Reference:
Informa
Monthly,
Pay
Variable
0.452%
(1M
GBP
LIBOR
+
0.40%)
Monthly,
1/19/22
1
1
—
1‌
Goldman
Sachs,
Receive
Underlying
Reference:
Meggitt
Monthly,
Pay
Variable
0.402%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
30
29
—
29‌
Goldman
Sachs,
Receive
Underlying
Reference:
Unilever
Monthly,
Pay
Variable
0.452%
(1M
GBP
LIBOR
+
0.40%)
Monthly,
1/19/22
5
(6)
—
(6‌)
JPMorgan
Chase,
Receive
Underlying
Reference:
Auto
Trader
Group
Monthly,
Pay
Variable
0.402%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
—
—
—
—‌
JPMorgan
Chase,
Receive
Underlying
Reference:
Compass
Group
Monthly,
Pay
Variable
0.403%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
9
9
—
9‌
JPMorgan
Chase,
Receive
Underlying
Reference:
Compass
Group
Monthly,
Pay
Variable
0.404%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
15
14
—
14‌
JPMorgan
Chase,
Receive
Underlying
Reference:
Diageo
Monthly,
Pay
Variable
0.402%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
4
4
—
4‌
JPMorgan
Chase,
Receive
Underlying
Reference:
Greggs
Monthly,
Pay
Variable
0.402%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
19
18
—
18‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
57
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
JPMorgan
Chase,
Receive
Underlying
Reference:
Hargreaves
Lansdown
Monthly,
Pay
Variable
0.402%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
6
6
—
6‌
JPMorgan
Chase,
Receive
Underlying
Reference:
Smith
&
Nephew
Monthly,
Pay
Variable
0.400%
(1M
GBP
LIBOR
+
0.40%)
Monthly,
1/19/22
—
—
—
—‌
JPMorgan
Chase,
Receive
Underlying
Reference:
Smith
&
Nephew
Monthly,
Pay
Variable
0.402%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
6
(6)
—
(6‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Antofagasta
Monthly,
Receive
Variable
(0.298)%
(1M
GBP
LIBOR
+
(0.35)%)
Monthly,
1/19/22
19
(18)
—
(18‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Halma
Monthly,
Receive
Variable
(0.298)%
(1M
GBP
LIBOR
+
(0.35)%)
Monthly,
1/19/22
12
(13)
—
(13‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Intertek
Group
Monthly,
Receive
Variable
(0.298)%
(1M
GBP
LIBOR
+
(0.35)%)
Monthly,
1/19/22
16
16
—
16‌
Morgan
Stanley,
Pay
Underlying
Reference:
Standard
Life
Aberdeen
Monthly,
Receive
Variable
(0.298)%
(1M
GBP
LIBOR
+
(0.35)%)
Monthly,
1/19/22
9
(9)
—
(9‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Standard
Life
Aberdeen
Monthly,
Receive
Variable
(0.298)%
(1M
GBP
LIBOR
+
(0.35)%)
Monthly,
1/20/22
1
(1)
—
(1‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Burberry
Group
Monthly,
Pay
Variable
0.402%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
—
5
—
5‌
Morgan
Stanley,
Receive
Underlying
Reference:
Derwent
London
Monthly,
Pay
Variable
0.402%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
3
3
—
3‌
Morgan
Stanley,
Receive
Underlying
Reference:
Direct
Line
Insurance
Group
Monthly,
Pay
Variable
0.402%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
4
4
—
4‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
58
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
London
Stock
Exchange
Group
Monthly,
Pay
Variable
0.402%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
1
(2)
—
(2‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Polypipe
Group
Monthly,
Pay
Variable
0.402%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
1
2
—
2‌
Morgan
Stanley,
Receive
Underlying
Reference:
Segro
Monthly,
Pay
Variable
0.402%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
7
7
—
7‌
Morgan
Stanley,
Receive
Underlying
Reference:
SSP
Group
Monthly,
Pay
Variable
0.402%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
1/19/22
12
11
—
11‌
UBS
Securities,
Receive
Underlying
Reference:
ASOS
Monthly,
Pay
Variable
0.401%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
10/12/21
44
(44)
—
(44‌)
UBS
Securities,
Receive
Underlying
Reference:
Aviva
Monthly,
Pay
Variable
0.401%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
10/12/21
10
(11)
—
(11‌)
UBS
Securities,
Receive
Underlying
Reference:
Big
Yellow
Group
Monthly,
Pay
Variable
0.401%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
10/12/21
30
30
—
30‌
UBS
Securities,
Receive
Underlying
Reference:
Bridgepoint
Group
Monthly,
Pay
Variable
0.350%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
10/12/21
5
(5)
—
(5‌)
UBS
Securities,
Receive
Underlying
Reference:
Derwent
London
Monthly,
Pay
Variable
0.401%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
10/12/21
20
21
—
21‌
UBS
Securities,
Receive
Underlying
Reference:
London
Stock
Exchange
Group
Monthly,
Pay
Variable
0.401%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
10/12/21
2
(2)
—
(2‌)
UBS
Securities,
Receive
Underlying
Reference:
Trainline
Monthly,
Pay
Variable
0.401%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
10/12/21
27
27
—
27‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
59
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
UBS
Securities,
Receive
Underlying
Reference:
Whitbread
Monthly,
Pay
Variable
0.401%
(1M
GBP
LIBOR
+
0.35%)
Monthly,
10/12/21
1
(1)
—
(1‌)
Total
United
Kingdom
—
129‌
United
States
(0.0)%
Bank
of
America,
Pay
Underlying
Reference:
FMC
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
—
—
—
—‌
Bank
of
America,
Pay
Underlying
Reference:
Knight-Swift
Transportation
Holdings
Monthly,
Receive
Variable
(0.214)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
1
(1)
—
(1‌)
Bank
of
America,
Pay
Underlying
Reference:
Knight-Swift
Transportation
Holdings
Monthly,
Receive
Variable
(0.213)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
1
(1)
—
(1‌)
Bank
of
America,
Pay
Underlying
Reference:
Knight-Swift
Transportation
Holdings
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
3
(4)
—
(4‌)
Bank
of
America,
Pay
Underlying
Reference:
Knight-Swift
Transportation
Holdings
Monthly,
Receive
Variable
(0.204)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
—
—
—
—‌
Bank
of
America,
Pay
Underlying
Reference:
UDR
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
7
(8)
—
(8‌)
Bank
of
America,
Receive
Underlying
Reference:
Cintas
Monthly,
Pay
Variable
0.385%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
12
12
—
12‌
Bank
of
America,
Receive
Underlying
Reference:
United
Parcel
Service,
Class
B
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
36
(36)
—
(36‌)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
60
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Citibank,
Pay
Underlying
Reference:
BlackRock
Monthly,
Receive
Variable
(0.200)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
4
4
—
4‌
Citibank,
Pay
Underlying
Reference:
Franklin
Electric
Monthly,
Receive
Variable
(0.200)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
1
(1)
—
(1‌)
Citibank,
Pay
Underlying
Reference:
IQVIA
Holdings
Monthly,
Receive
Variable
(0.200)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
1
1
—
1‌
Citibank,
Pay
Underlying
Reference:
Werner
Enterprises
Monthly,
Receive
Variable
(0.214)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
1
(1)
—
(1‌)
Citibank,
Pay
Underlying
Reference:
Werner
Enterprises
Monthly,
Receive
Variable
(0.213)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
1
(1)
—
(1‌)
Citibank,
Pay
Underlying
Reference:
Werner
Enterprises
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
3
(3)
—
(3‌)
Citibank,
Pay
Underlying
Reference:
Werner
Enterprises
Monthly,
Receive
Variable
(0.204)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
—
—
—
—‌
Citibank,
Receive
Underlying
Reference:
NextEra
Energy
Monthly,
Pay
Variable
0.400%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
8
8
—
8‌
Citibank,
Receive
Underlying
Reference:
Paycor
HCM
Monthly,
Pay
Variable
0.386%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
1
1
—
1‌
Citibank,
Receive
Underlying
Reference:
RPM
International
Monthly,
Pay
Variable
0.400%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
4
(4)
—
(4‌)
Citibank,
Receive
Underlying
Reference:
VeriSign
Monthly,
Pay
Variable
0.400%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
10
(10)
—
(10‌)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
61
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Goldman
Sachs,
Pay
Underlying
Reference:
Apple
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
11
11
—
11‌
Goldman
Sachs,
Pay
Underlying
Reference:
AT&T
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
1
—
—
—‌
Goldman
Sachs,
Pay
Underlying
Reference:
Atmos
Energy
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
8
8
—
8‌
Goldman
Sachs,
Pay
Underlying
Reference:
Bristol-Myers
Squibb
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
—
(1)
—
(1‌)
Goldman
Sachs,
Pay
Underlying
Reference:
Citigroup
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
3
1
—
1‌
Goldman
Sachs,
Pay
Underlying
Reference:
Digital
Realty
Trust
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
3
3
—
3‌
Goldman
Sachs,
Pay
Underlying
Reference:
Donaldson
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
—
—
—
—‌
Goldman
Sachs,
Pay
Underlying
Reference:
Duke
Realty
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
2
(2)
—
(2‌)
Goldman
Sachs,
Pay
Underlying
Reference:
Exxon
Mobil
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
1
1
—
1‌
Goldman
Sachs,
Pay
Underlying
Reference:
Financial
Select
Sector
SPDR
Fund
Monthly,
Receive
Variable
(0.215)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
6
(6)
—
(6‌)
Goldman
Sachs,
Pay
Underlying
Reference:
Freeport-McMoRan
Monthly,
Receive
Variable
(0.214)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
2
(2)
—
(2‌)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
62
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Goldman
Sachs,
Pay
Underlying
Reference:
Freeport-McMoRan
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
23
(25)
—
(25‌)
Goldman
Sachs,
Pay
Underlying
Reference:
Gray
Television
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
3
(3)
—
(3‌)
Goldman
Sachs,
Pay
Underlying
Reference:
Kraft
Heinz
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
1
—
—
—‌
Goldman
Sachs,
Pay
Underlying
Reference:
Pfizer
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
4
(5)
—
(5‌)
Goldman
Sachs,
Pay
Underlying
Reference:
SPDR
S&P
500
ETF
Trust
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
6
(6)
—
(6‌)
Goldman
Sachs,
Pay
Underlying
Reference:
Teucrium
Corn
Fund
Monthly,
Receive
Variable
(2.485)%
(1M
USD
LIBOR
+
(2.574)%)
Monthly,
1/20/22
1
4
—
4‌
Goldman
Sachs,
Pay
Underlying
Reference:
Teucrium
Soybean
Fund
Monthly,
Receive
Variable
(4.968)%
(1M
USD
LIBOR
+
(5.057)%)
Monthly,
1/20/22
2
3
—
3‌
Goldman
Sachs,
Pay
Underlying
Reference:
Tupperware
Brands
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
—
(1)
—
(1‌)
Goldman
Sachs,
Pay
Underlying
Reference:
ViacomCBS,
Class
B
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
1
1
—
1‌
Goldman
Sachs,
Pay
Underlying
Reference:
Weyerhaeuser
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
7
6
—
6‌
Goldman
Sachs,
Pay
Underlying
Reference:
Zimmer
Biomet
Holdings
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
9
(10)
—
(10‌)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
63
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Goldman
Sachs,
Receive
Underlying
Reference:
Apartment
Income
REIT
Monthly,
Pay
Variable
0.489%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/20/22
—
—
—
—‌
Goldman
Sachs,
Receive
Underlying
Reference:
Bank
of
America
Monthly,
Pay
Variable
0.489%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/20/22
7
(7)
—
(7‌)
Goldman
Sachs,
Receive
Underlying
Reference:
Cedar
Fair
Monthly,
Pay
Variable
0.386%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
—
—
—
—‌
Goldman
Sachs,
Receive
Underlying
Reference:
Cedar
Fair
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
4
(5)
—
(5‌)
Goldman
Sachs,
Receive
Underlying
Reference:
Dollar
Tree
Monthly,
Pay
Variable
0.489%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/20/22
1
1
—
1‌
Goldman
Sachs,
Receive
Underlying
Reference:
FirstCash
Monthly,
Pay
Variable
0.387%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
1
1
—
1‌
Goldman
Sachs,
Receive
Underlying
Reference:
International
Paper
Monthly,
Pay
Variable
0.489%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/20/22
7
(7)
—
(7‌)
Goldman
Sachs,
Receive
Underlying
Reference:
Intuit
Monthly,
Pay
Variable
0.489%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/20/22
11
11
—
11‌
Goldman
Sachs,
Receive
Underlying
Reference:
Live
Nation
Entertainment
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
3
(3)
—
(3‌)
Goldman
Sachs,
Receive
Underlying
Reference:
Microsoft
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
9
9
—
9‌
Goldman
Sachs,
Receive
Underlying
Reference:
Monster
Beverage
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
3
3
—
3‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
64
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Goldman
Sachs,
Receive
Underlying
Reference:
Otis
Worldwide
Monthly,
Pay
Variable
0.489%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/20/22
16
16
—
16‌
Goldman
Sachs,
Receive
Underlying
Reference:
Packaging
Monthly,
Pay
Variable
0.489%
(1M
USD
LIBOR
+
0.40%)
Monthly,
1/20/22
5
5
—
5‌
Goldman
Sachs,
Receive
Underlying
Reference:
salesforce.com
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
5
5
—
5‌
Goldman
Sachs,
Receive
Underlying
Reference:
Southwest
Airlines
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
7
(6)
—
(6‌)
Goldman
Sachs,
Receive
Underlying
Reference:
T-Mobile
U.S.
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
10
(10)
—
(10‌)
JPMorgan
Chase,
Pay
Underlying
Reference:
AmerisourceBergen
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
13
(13)
—
(13‌)
JPMorgan
Chase,
Pay
Underlying
Reference:
Citigroup
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
1
—
—
—‌
JPMorgan
Chase,
Pay
Underlying
Reference:
Ecolab
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
3
(3)
—
(3‌)
JPMorgan
Chase,
Pay
Underlying
Reference:
Expeditors
International
of
Washington
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
3
(3)
—
(3‌)
JPMorgan
Chase,
Pay
Underlying
Reference:
Hershey
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
—
—
—
—‌
JPMorgan
Chase,
Pay
Underlying
Reference:
Hewlett
Packard
Enterprise
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
6
(6)
—
(6‌)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
65
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
JPMorgan
Chase,
Pay
Underlying
Reference:
Intel
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
8
9
—
9‌
JPMorgan
Chase,
Pay
Underlying
Reference:
International
Business
Machines
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
—
—
—
—‌
JPMorgan
Chase,
Pay
Underlying
Reference:
Lowe's
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
6
4
—
4‌
JPMorgan
Chase,
Pay
Underlying
Reference:
Raytheon
Technologies
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
2
(2)
—
(2‌)
JPMorgan
Chase,
Pay
Underlying
Reference:
Verizon
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
4
1
—
1‌
JPMorgan
Chase,
Receive
Underlying
Reference:
Carvana
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
15
15
—
15‌
JPMorgan
Chase,
Receive
Underlying
Reference:
Entergy
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
1
(1)
—
(1‌)
JPMorgan
Chase,
Receive
Underlying
Reference:
Juniper
Networks
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
—
—
—
—‌
JPMorgan
Chase,
Receive
Underlying
Reference:
McKesson
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
12
11
—
11‌
JPMorgan
Chase,
Receive
Underlying
Reference:
Netflix
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
6
(6)
—
(6‌)
JPMorgan
Chase,
Receive
Underlying
Reference:
Wells
Fargo
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
20
20
—
20‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
66
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Activision
Blizzard
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
11
11
—
11‌
Morgan
Stanley,
Pay
Underlying
Reference:
Alliant
Energy
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
—
(3)
—
(3‌)
Morgan
Stanley,
Pay
Underlying
Reference:
AMETEK
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
4
(5)
—
(5‌)
Morgan
Stanley,
Pay
Underlying
Reference:
ANSYS
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
22
(23)
—
(23‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Applied
Materials
Monthly,
Receive
Variable
(0.215)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
10
(10)
—
(10‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Applied
Materials
Monthly,
Receive
Variable
(0.214)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
—
—
—
—‌
Morgan
Stanley,
Pay
Underlying
Reference:
Applied
Materials
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
30
(31)
—
(31‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Archer-Daniels-Midland
Monthly,
Receive
Variable
(0.214)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
1
(1)
—
(1‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Archer-Daniels-Midland
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
1
(2)
—
(2‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Arista
Networks
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
6
(6)
—
(6‌)
Morgan
Stanley,
Pay
Underlying
Reference:
AT&T
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
2
(1)
—
(1‌)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
67
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
BancorpSouth
Bank
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
10
10
—
10‌
Morgan
Stanley,
Pay
Underlying
Reference:
Berkshire
Hathaway,
Class
B
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
2
2
—
2‌
Morgan
Stanley,
Pay
Underlying
Reference:
Bristol-Myers
Squibb
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
4
(8)
—
(8‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Campbell
Soup
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
15
11
—
11‌
Morgan
Stanley,
Pay
Underlying
Reference:
CarMax
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
4
(4)
—
(4‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Caterpillar
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
9
7
—
7‌
Morgan
Stanley,
Pay
Underlying
Reference:
Cheesecake
Factory
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
16
16
—
16‌
Morgan
Stanley,
Pay
Underlying
Reference:
Cheesecake
Factory
Monthly,
Receive
Variable
(0.210)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
4
4
—
4‌
Morgan
Stanley,
Pay
Underlying
Reference:
Cisco
Systems
Monthly,
Receive
Variable
(0.214)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
—
—
—
—‌
Morgan
Stanley,
Pay
Underlying
Reference:
Cisco
Systems
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
5
(5)
—
(5‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Colgate-Palmolive
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
16
14
—
14‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
68
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Corning
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
6
(6)
—
(6‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Corteva
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
2
(2)
—
(2‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Crown
Castle
International
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
12
12
—
12‌
Morgan
Stanley,
Pay
Underlying
Reference:
Deere
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
40
(43)
—
(43‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Discovery,
Class
A
Monthly,
Receive
Variable
(1.811)%
(1M
USD
LIBOR
+
(1.90)%)
Monthly,
1/20/22
4
(4)
—
(4‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Donaldson
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
1
(1)
—
(1‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Dow
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
2
(2)
—
(2‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Ecolab
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
3
(3)
—
(3‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Emerson
Electric
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
5
(5)
—
(5‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Expeditors
International
of
Washington
Monthly,
Receive
Variable
(0.216)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
—
—
—
—‌
Morgan
Stanley,
Pay
Underlying
Reference:
Expeditors
International
of
Washington
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
1
(1)
—
(1‌)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
69
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Expeditors
International
of
Washington
Monthly,
Receive
Variable
(0.204)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
—
—
—
—‌
Morgan
Stanley,
Pay
Underlying
Reference:
Exxon
Mobil
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
12
12
—
12‌
Morgan
Stanley,
Pay
Underlying
Reference:
First
Republic
Bank
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
3
3
—
3‌
Morgan
Stanley,
Pay
Underlying
Reference:
First
Trust
Exchange-Traded
Fund-First
Trust
Nasdaq-100
Equal
Weighted
Index
SM
Monthly,
Receive
Variable
(8.711)%
(1M
USD
LIBOR
+
(8.80)%)
Monthly,
1/20/22
5
(5)
—
(5‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Fortune
Brands
Home
&
Security
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
2
(1)
—
(1‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Franklin
Electric
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
1
(1)
—
(1‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Freeport-McMoRan
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
19
(19)
—
(19‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Freeport-McMoRan
Monthly,
Receive
Variable
(0.204)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
1
1
—
1‌
Morgan
Stanley,
Pay
Underlying
Reference:
Gartner
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
11
(11)
—
(11‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Gilead
Sciences
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
—
—
—
—‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
70
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Hewlett
Packard
Enterprise
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
4
(4)
—
(4‌)
Morgan
Stanley,
Pay
Underlying
Reference:
HP
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
11
(11)
—
(11‌)
Morgan
Stanley,
Pay
Underlying
Reference:
IDEX
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
5
(5)
—
(5‌)
Morgan
Stanley,
Pay
Underlying
Reference:
IDEXX
Laboratories
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
14
(14)
—
(14‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Illinois
Tool
Works
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
2
2
—
2‌
Morgan
Stanley,
Pay
Underlying
Reference:
Intel
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
8
9
—
9‌
Morgan
Stanley,
Pay
Underlying
Reference:
International
Business
Machines
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
—
(2)
—
(2‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Interpublic
Group
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
35
(34)
—
(34‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Invesco
QQQ
Trust,
Series
1
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
2
(2)
—
(2‌)
Morgan
Stanley,
Pay
Underlying
Reference:
iShares
China
Large-Cap
ETF
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
23
22
—
22‌
Morgan
Stanley,
Pay
Underlying
Reference:
iShares
MSCI
Emerging
Markets
ETF
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
25
24
—
24‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
71
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Johnson
&
Johnson
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
16
(16)
—
(16‌)
Morgan
Stanley,
Pay
Underlying
Reference:
JPMorgan
Chase
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
22
22
—
22‌
Morgan
Stanley,
Pay
Underlying
Reference:
Juniper
Networks
Monthly,
Receive
Variable
(0.216)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
2
(2)
—
(2‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Juniper
Networks
Monthly,
Receive
Variable
(0.214)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
1
(1)
—
(1‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Juniper
Networks
Monthly,
Receive
Variable
(0.210)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
—
—
—
—‌
Morgan
Stanley,
Pay
Underlying
Reference:
KLA
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
40
(40)
—
(40‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Kraft
Heinz
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
3
3
—
3‌
Morgan
Stanley,
Pay
Underlying
Reference:
Kroger
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
7
(7)
—
(7‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Laboratory
Corp.
of
America
Holdings
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
12
(12)
—
(12‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Laboratory
Corp.
of
America
Holdings
Monthly,
Receive
Variable
(0.204)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
—
—
—
—‌
Morgan
Stanley,
Pay
Underlying
Reference:
Lam
Research
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
18
(18)
—
(18‌)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
72
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Lumen
Technologies
Monthly,
Receive
Variable
(0.214)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
—
—
—
—‌
Morgan
Stanley,
Pay
Underlying
Reference:
Lumen
Technologies
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
5
5
—
5‌
Morgan
Stanley,
Pay
Underlying
Reference:
Mettler-Toledo
International
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
5
(5)
—
(5‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Micron
Technology
Monthly,
Receive
Variable
(0.214)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
1
(1)
—
(1‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Micron
Technology
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
3
(5)
—
(5‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Mid-America
Apartment
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
10
(10)
—
(10‌)
Morgan
Stanley,
Pay
Underlying
Reference:
MSCI
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
17
(17)
—
(17‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Newmont
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
2
2
—
2‌
Morgan
Stanley,
Pay
Underlying
Reference:
NRG
Energy
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
4
(5)
—
(5‌)
Morgan
Stanley,
Pay
Underlying
Reference:
NVIDIA
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
11
(12)
—
(12‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Paychex
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
32
(39)
—
(39‌)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
73
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Paychex
Monthly,
Receive
Variable
(0.204)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
—
(1)
—
(1‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Paycom
Software
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
28
(28)
—
(28‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Pfizer
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
8
(9)
—
(9‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Pool
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
14
(14)
—
(14‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Quest
Diagnostics
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
9
(8)
—
(8‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Quest
Diagnostics
Monthly,
Receive
Variable
(0.204)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
—
—
—
—‌
Morgan
Stanley,
Pay
Underlying
Reference:
Realty
Income
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
6
(8)
—
(8‌)
Morgan
Stanley,
Pay
Underlying
Reference:
S&P
Global
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
38
(37)
—
(37‌)
Morgan
Stanley,
Pay
Underlying
Reference:
SBA
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
3
(3)
—
(3‌)
Morgan
Stanley,
Pay
Underlying
Reference:
SPDR
S&P
500
ETF
Trust
Monthly,
Receive
Variable
(0.213)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
43
(43)
—
(43‌)
Morgan
Stanley,
Pay
Underlying
Reference:
SPDR
S&P
500
ETF
Trust
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
57
(58)
—
(58‌)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
74
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
SPDR
S&P
Oil
&
Gas
Exploration
&
Production
ETF
Monthly,
Receive
Variable
(1.066)%
(1M
USD
LIBOR
+
(1.15)%)
Monthly,
1/20/22
1
1
—
1‌
Morgan
Stanley,
Pay
Underlying
Reference:
SPDR
S&P
Oil
&
Gas
Exploration
&
Production
ETF
Monthly,
Receive
Variable
(1.065)%
(1M
USD
LIBOR
+
(1.15)%)
Monthly,
1/20/22
3
(3)
—
(3‌)
Morgan
Stanley,
Pay
Underlying
Reference:
SPDR
S&P
Oil
&
Gas
Exploration
&
Production
ETF
Monthly,
Receive
Variable
(1.061)%
(1M
USD
LIBOR
+
(1.15)%)
Monthly,
1/20/22
—
—
—
—‌
Morgan
Stanley,
Pay
Underlying
Reference:
SPDR
S&P
Oil
&
Gas
Exploration
&
Production
ETF
Monthly,
Receive
Variable
(1.061)%
(1M
USD
LIBOR
+
(1.15)%)
Monthly,
1/20/22
5
5
—
5‌
Morgan
Stanley,
Pay
Underlying
Reference:
SPDR
S&P
Retail
ETF
Monthly,
Receive
Variable
(2.261)%
(1M
USD
LIBOR
+
(2.35)%)
Monthly,
1/20/22
3
(3)
—
(3‌)
Morgan
Stanley,
Pay
Underlying
Reference:
SVB
Financial
Group
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
10
10
—
10‌
Morgan
Stanley,
Pay
Underlying
Reference:
Target
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
8
(8)
—
(8‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Teradyne
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
5
(5)
—
(5‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Tesla
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
28
(28)
—
(28‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Teucrium
Corn
Fund
Monthly,
Receive
Variable
(2.811)%
(1M
USD
LIBOR
+
(2.90)%)
Monthly,
1/20/22
1
1
—
1‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
75
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Teucrium
Soybean
Fund
Monthly,
Receive
Variable
(6.761)%
(1M
USD
LIBOR
+
(6.85)%)
Monthly,
1/20/22
3
4
—
4‌
Morgan
Stanley,
Pay
Underlying
Reference:
Truist
Financial
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
19
19
—
19‌
Morgan
Stanley,
Pay
Underlying
Reference:
Tupperware
Brands
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
1
(1)
—
(1‌)
Morgan
Stanley,
Pay
Underlying
Reference:
U.S.
Bancorp
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
25
25
—
25‌
Morgan
Stanley,
Pay
Underlying
Reference:
Valero
Energy
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
—
(1)
—
(1‌)
Morgan
Stanley,
Pay
Underlying
Reference:
VanEck
Vectors
Oil
Services
ETF
Monthly,
Receive
Variable
(0.516)%
(1M
USD
LIBOR
+
(0.60)%)
Monthly,
1/20/22
—
—
—
—‌
Morgan
Stanley,
Pay
Underlying
Reference:
VanEck
Vectors
Oil
Services
ETF
Monthly,
Receive
Variable
(0.515)%
(1M
USD
LIBOR
+
(0.60)%)
Monthly,
1/20/22
4
(4)
—
(4‌)
Morgan
Stanley,
Pay
Underlying
Reference:
VanEck
Vectors
Oil
Services
ETF
Monthly,
Receive
Variable
(0.511)%
(1M
USD
LIBOR
+
(0.60)%)
Monthly,
1/20/22
1
(1)
—
(1‌)
Morgan
Stanley,
Pay
Underlying
Reference:
VanEck
Vectors
Oil
Services
ETF
Monthly,
Receive
Variable
(0.511)%
(1M
USD
LIBOR
+
(0.60)%)
Monthly,
1/20/22
2
3
—
3‌
Morgan
Stanley,
Pay
Underlying
Reference:
Ventas
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
2
(2)
—
(2‌)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
76
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Pay
Underlying
Reference:
Verisk
Analytics
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
13
(13)
—
(13‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Verizon
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
2
—
—
—‌
Morgan
Stanley,
Pay
Underlying
Reference:
Whirlpool
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
1
1
—
1‌
Morgan
Stanley,
Pay
Underlying
Reference:
Xylem
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
20
(20)
—
(20‌)
Morgan
Stanley,
Pay
Underlying
Reference:
Zebra
Technologies,
Class
A
Monthly,
Receive
Variable
(0.211)%
(1M
USD
LIBOR
+
(0.30)%)
Monthly,
1/20/22
18
(18)
—
(18‌)
Morgan
Stanley,
Receive
Underlying
Reference:
7GC
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
1
(1)
—
(1‌)
Morgan
Stanley,
Receive
Underlying
Reference:
7GC,
Class
A
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
—
—
—
—‌
Morgan
Stanley,
Receive
Underlying
Reference:
Advanced
Micro
Devices
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
142
142
—
142‌
Morgan
Stanley,
Receive
Underlying
Reference:
Air
Products
and
Chemicals
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
2
2
—
2‌
Morgan
Stanley,
Receive
Underlying
Reference:
Allegiance
Bancshares
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
—
—
—
—‌
Morgan
Stanley,
Receive
Underlying
Reference:
Alphabet,
Class
A
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
22
22
—
22‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
77
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Alphabet,
Class
C
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
12
12
—
12‌
Morgan
Stanley,
Receive
Underlying
Reference:
Altaba
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
40
(40)
—
(40‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Amazon.com
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
11
(11)
—
(11‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Ameren
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
—
—
—
—‌
Morgan
Stanley,
Receive
Underlying
Reference:
American
Tower
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
—
1
—
1‌
Morgan
Stanley,
Receive
Underlying
Reference:
Amphenol,
Class
A
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
25
25
—
25‌
Morgan
Stanley,
Receive
Underlying
Reference:
Apartment
Income
REIT
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
11
11
—
11‌
Morgan
Stanley,
Receive
Underlying
Reference:
Apollo
Global
Management
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
2
(2)
—
(2‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Atmos
Energy
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
4
(4)
—
(4‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Becton
Dickinson
&
Company
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
6
6
—
6‌
Morgan
Stanley,
Receive
Underlying
Reference:
Biogen
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
1
(1)
—
(1‌)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
78
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Black
Knight
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
15
13
—
13‌
Morgan
Stanley,
Receive
Underlying
Reference:
Burlington
Stores
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
2
2
—
2‌
Morgan
Stanley,
Receive
Underlying
Reference:
Cadence
BanCorp
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
11
(11)
—
(11‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Camden
Property
Trust
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
14
14
—
14‌
Morgan
Stanley,
Receive
Underlying
Reference:
Carney
Technology
Acquisition,
Class
A
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
—
—
—
—‌
Morgan
Stanley,
Receive
Underlying
Reference:
Cascade
Acquisition,
Class
A
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
—
—
—
—‌
Morgan
Stanley,
Receive
Underlying
Reference:
CBTX
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
5
(4)
—
(4‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Cedar
Fair
Monthly,
Pay
Variable
0.639%
(1M
USD
LIBOR
+
0.55%)
Monthly,
1/20/22
3
(3)
—
(3‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Celanese
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
—
—
—
—‌
Morgan
Stanley,
Receive
Underlying
Reference:
Charles
Schwab
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
5
(5)
—
(5‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Chipotle
Mexican
Grill
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
21
21
—
21‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
79
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Citizens
Financial
Group
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
59
(52)
—
(52‌)
Morgan
Stanley,
Receive
Underlying
Reference:
CME
Group
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
6
6
—
6‌
Morgan
Stanley,
Receive
Underlying
Reference:
Coca-Cola
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
1
1
—
1‌
Morgan
Stanley,
Receive
Underlying
Reference:
Concord
Acquisition,
Class
A
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
3
(3)
—
(3‌)
Morgan
Stanley,
Receive
Underlying
Reference:
ConocoPhillips
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
1
1
—
1‌
Morgan
Stanley,
Receive
Underlying
Reference:
ConocoPhillips
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
2
(1)
—
(1‌)
Morgan
Stanley,
Receive
Underlying
Reference:
CSX
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
2
2
—
2‌
Morgan
Stanley,
Receive
Underlying
Reference:
Danaher
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
6
7
—
7‌
Morgan
Stanley,
Receive
Underlying
Reference:
DD3
Acquisition,
Class
A
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
—
—
—
—‌
Morgan
Stanley,
Receive
Underlying
Reference:
Delwinds
Insurance
Acquisition,
Class
A
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
—
—
—
—‌
Morgan
Stanley,
Receive
Underlying
Reference:
Devon
Energy
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
4
(4)
—
(4‌)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
80
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Discovery,
Class
C
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
3
3
—
3‌
Morgan
Stanley,
Receive
Underlying
Reference:
Dominion
Energy
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
4
(4)
—
(4‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Douglas
Emmett
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
6
(6)
—
(6‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Eagle
Bancorp
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
3
(2)
—
(2‌)
Morgan
Stanley,
Receive
Underlying
Reference:
elf
Beauty
Monthly,
Pay
Variable
0.386%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
1
1
—
1‌
Morgan
Stanley,
Receive
Underlying
Reference:
elf
Beauty
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
17
17
—
17‌
Morgan
Stanley,
Receive
Underlying
Reference:
Eli
Lilly
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
39
39
—
39‌
Morgan
Stanley,
Receive
Underlying
Reference:
EOG
Resources
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
10
(10)
—
(10‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Equity
Distribution
Acquisition,
Class
A
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
—
—
—
—‌
Morgan
Stanley,
Receive
Underlying
Reference:
Equity
LifeStyle
Properties
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
18
18
—
18‌
Morgan
Stanley,
Receive
Underlying
Reference:
Equity
Residential
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
2
3
—
3‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
81
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Euronet
Worldwide
Monthly,
Pay
Variable
0.386%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
2
2
—
2‌
Morgan
Stanley,
Receive
Underlying
Reference:
Euronet
Worldwide
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
11
11
—
11‌
Morgan
Stanley,
Receive
Underlying
Reference:
Eversource
Energy
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
—
—
—
—‌
Morgan
Stanley,
Receive
Underlying
Reference:
Exelon
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
6
5
—
5‌
Morgan
Stanley,
Receive
Underlying
Reference:
Facebook,
Class
A
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
23
23
—
23‌
Morgan
Stanley,
Receive
Underlying
Reference:
Fifth
Third
Bancorp
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
6
(6)
—
(6‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Fiserv
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
22
22
—
22‌
Morgan
Stanley,
Receive
Underlying
Reference:
Fiserv
Monthly,
Pay
Variable
0.396%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
1
(1)
—
(1‌)
Morgan
Stanley,
Receive
Underlying
Reference:
FleetCor
Technologies
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
—
1
—
1‌
Morgan
Stanley,
Receive
Underlying
Reference:
General
Electric
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
2
3
—
3‌
Morgan
Stanley,
Receive
Underlying
Reference:
Generation
Bio
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
3
3
—
3‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
82
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Goldman
Sachs
Group
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
2
2
—
2‌
Morgan
Stanley,
Receive
Underlying
Reference:
Hartford
Financial
Services
Group
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
2
2
—
2‌
Morgan
Stanley,
Receive
Underlying
Reference:
Home
Depot
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
6
6
—
6‌
Morgan
Stanley,
Receive
Underlying
Reference:
Humana
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
11
(11)
—
(11‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Huntington
Bancshares
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
2
(2)
—
(2‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Ingersoll
Rand
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
3
3
—
3‌
Morgan
Stanley,
Receive
Underlying
Reference:
International
Flavors
&
Fragrances
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
9
9
—
9‌
Morgan
Stanley,
Receive
Underlying
Reference:
Intuit
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
12
11
—
11‌
Morgan
Stanley,
Receive
Underlying
Reference:
Intuitive
Surgical
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
14
14
—
14‌
Morgan
Stanley,
Receive
Underlying
Reference:
Kansas
City
Southern
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
1
(1)
—
(1‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Keysight
Technologies
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
9
9
—
9‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
83
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Kimberly-Clark
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
2
(3)
—
(3‌)
Morgan
Stanley,
Receive
Underlying
Reference:
KKR
Monthly,
Pay
Variable
0.639%
(1M
USD
LIBOR
+
0.55%)
Monthly,
1/20/22
19
19
—
19‌
Morgan
Stanley,
Receive
Underlying
Reference:
L3Harris
Technologies
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
8
8
—
8‌
Morgan
Stanley,
Receive
Underlying
Reference:
Liberty
Broadband,
Class
C
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
11
11
—
11‌
Morgan
Stanley,
Receive
Underlying
Reference:
Lionheart
Acquisition,
Class
A
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
2
(1)
—
(1‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Live
Nation
Entertainment
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
1
(1)
—
(1‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Lululemon
Athletica
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
10
10
—
10‌
Morgan
Stanley,
Receive
Underlying
Reference:
Marriott
International,
Class
A
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
7
6
—
6‌
Morgan
Stanley,
Receive
Underlying
Reference:
Martin
Marietta
Materials
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
4
6
—
6‌
Morgan
Stanley,
Receive
Underlying
Reference:
Mastercard,
Class
A
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
3
(2)
—
(2‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Norfolk
Southern
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
6
(6)
—
(6‌)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
84
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
NVR
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
15
15
—
15‌
Morgan
Stanley,
Receive
Underlying
Reference:
Omnichannel
Acquisition,
Class
A
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
—
—
—
—‌
Morgan
Stanley,
Receive
Underlying
Reference:
Oportun
Financial
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
9
9
—
9‌
Morgan
Stanley,
Receive
Underlying
Reference:
Outfront
Media
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
4
4
—
4‌
Morgan
Stanley,
Receive
Underlying
Reference:
Parker-Hannifin
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
6
6
—
6‌
Morgan
Stanley,
Receive
Underlying
Reference:
Paylocity
Holding
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
25
24
—
24‌
Morgan
Stanley,
Receive
Underlying
Reference:
Payoneer
Global
Monthly,
Pay
Variable
0.384%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
—
—
—
—‌
Morgan
Stanley,
Receive
Underlying
Reference:
Payoneer
Global
Monthly,
Pay
Variable
0.387%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
—
—
—
—‌
Morgan
Stanley,
Receive
Underlying
Reference:
Payoneer
Global
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
—
—
—
—‌
Morgan
Stanley,
Receive
Underlying
Reference:
Payoneer
Global
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
—
(1)
—
(1‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Pershing
Square
Tontine
Holdings,
Class
A
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
5
(6)
—
(6‌)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
85
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
PMV,
Class
A
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
—
—
—
—‌
Morgan
Stanley,
Receive
Underlying
Reference:
PNC
Financial
Services
Group
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
16
(13)
—
(13‌)
Morgan
Stanley,
Receive
Underlying
Reference:
PPD
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
2
2
—
2‌
Morgan
Stanley,
Receive
Underlying
Reference:
PropTech
Investment,
Class
A
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
—
—
—
—‌
Morgan
Stanley,
Receive
Underlying
Reference:
QUALCOMM
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
21
21
—
21‌
Morgan
Stanley,
Receive
Underlying
Reference:
RAPT
Therapeutics
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
1
1
—
1‌
Morgan
Stanley,
Receive
Underlying
Reference:
Reliance
Steel
&
Aluminum
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
14
14
—
14‌
Morgan
Stanley,
Receive
Underlying
Reference:
Republic
Services
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
10
10
—
10‌
Morgan
Stanley,
Receive
Underlying
Reference:
ResMed
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
46
46
—
46‌
Morgan
Stanley,
Receive
Underlying
Reference:
Ross
Stores
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
1
(1)
—
(1‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Scholar
Rock
Holding
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
8
8
—
8‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
86
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Sealed
Air
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
1
(1)
—
(1‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Sempra
Energy
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
2
(2)
—
(2‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Senior,
Class
A
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
—
—
—
—‌
Morgan
Stanley,
Receive
Underlying
Reference:
Sherwin-Williams
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
8
8
—
8‌
Morgan
Stanley,
Receive
Underlying
Reference:
SI-BONE
Monthly,
Pay
Variable
0.386%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
—
—
—
—‌
Morgan
Stanley,
Receive
Underlying
Reference:
SI-BONE
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
3
3
—
3‌
Morgan
Stanley,
Receive
Underlying
Reference:
Southwest
Airlines
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
6
(6)
—
(6‌)
Morgan
Stanley,
Receive
Underlying
Reference:
SPDR
S&P
500
ETF
Trust
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
5
5
—
5‌
Morgan
Stanley,
Receive
Underlying
Reference:
SPDR
S&P
500
ETF
Trust
Monthly,
Pay
Variable
0.396%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
5
(5)
—
(5‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Spirit
of
Texas
Bancshares
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
4
3
—
3‌
Morgan
Stanley,
Receive
Underlying
Reference:
State
Street
Monthly,
Pay
Variable
0.396%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
5
(5)
—
(5‌)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
87
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Sun
Country
Airlines
Holdings
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
1
(1)
—
(1‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Texas
Instruments
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
19
23
—
23‌
Morgan
Stanley,
Receive
Underlying
Reference:
Tradeweb
Markets,
Class
A
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
2
2
—
2‌
Morgan
Stanley,
Receive
Underlying
Reference:
Travelers
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
6
(6)
—
(6‌)
Morgan
Stanley,
Receive
Underlying
Reference:
VEREIT
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
8
8
—
8‌
Morgan
Stanley,
Receive
Underlying
Reference:
Vertex
Pharmaceuticals
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
—
1
—
1‌
Morgan
Stanley,
Receive
Underlying
Reference:
Visa,
Class
A
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
2
(2)
—
(2‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Vulcan
Materials
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
6
7
—
7‌
Morgan
Stanley,
Receive
Underlying
Reference:
Walt
Disney
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
13
(13)
—
(13‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Wayfair,
Class
A
Monthly,
Pay
Variable
0.300%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
—
—
—
—‌
Morgan
Stanley,
Receive
Underlying
Reference:
Wayfair,
Class
A
Monthly,
Pay
Variable
0.384%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
3
(3)
—
(3‌)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
88
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Morgan
Stanley,
Receive
Underlying
Reference:
Wayfair,
Class
A
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
9
(9)
—
(9‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Wayfair,
Class
A
Monthly,
Pay
Variable
0.390%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
5
(5)
—
(5‌)
Morgan
Stanley,
Receive
Underlying
Reference:
WEC
Energy
Group
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
1
(1)
—
(1‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Welltower
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
7
(7)
—
(7‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Workday,
Class
A
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
8
7
—
7‌
Morgan
Stanley,
Receive
Underlying
Reference:
Xilinx
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
20
20
—
20‌
Morgan
Stanley,
Receive
Underlying
Reference:
Yellowstone
Acquisition,
Class
A
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
—
—
—
—‌
Morgan
Stanley,
Receive
Underlying
Reference:
Zendesk
Monthly,
Pay
Variable
0.387%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
6
(6)
—
(6‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Zendesk
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
9
(9)
—
(9‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Zendesk
Monthly,
Pay
Variable
0.390%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
3
(3)
—
(3‌)
Morgan
Stanley,
Receive
Underlying
Reference:
Zoetis
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
2
2
—
2‌
Total
United
States
—
(47‌)
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
89
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Virgin
Islands
(British)
(0.0)%
Morgan
Stanley,
Receive
Underlying
Reference:
Eucrates
Biomedical
Acquisition
Monthly,
Pay
Variable
0.389%
(1M
USD
LIBOR
+
0.30%)
Monthly,
1/20/22
—
(1)
—
(1‌)
Total
Virgin
Islands
(British)
—
(1‌)
Total
Bilateral
Total
Return
Swaps
—
(2‌)
Total
Bilateral
Swaps
—
(2‌)
Description
Notional
Amount
$
Value
Initial
$
Value
Unrealized
$
Gain/(Loss)
CENTRALLY
CLEARED
SWAPS
(0.0)%
Interest
Rate
Swaps
0.1%
China
0.1%
5
Year
Interest
Rate
Swap,
Receive
Fixed
2.745%
Quarterly,
Pay
Variable
2.500%
(7
Day
Interbank
Repo)
Quarterly,
6/2/26
75,700
131
—
131‌
Total
China
131‌
Czech
0.0%
2
Year
Interest
Rate
Swap,
Pay
Fixed
1.315%
Annually,
Receive
Variable
0.540%
(6M
CZK
PRIBOR)
Semi-Annually,
6/3/23
220,000
48
—
48‌
Total
Czech
48‌
Poland
(0.0)%
10
Year
Interest
Rate
Swap,
Pay
Fixed
1.906%
Annually,
Receive
Variable
0.250%
(6M
PLN
WIBOR)
Semi-Annually,
6/4/31
8,500
(46)
1
(47‌)
Total
Poland
(47‌)
Total
Centrally
Cleared
Interest
Rate
Swaps
132‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
90
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Initial
$
Value
Unrealized
$
Gain/(Loss)
Zero-Coupon
Inflation
Swaps
(0.1)%
United
States
(0.1)%
5
Year
Zero-Coupon
Inflation
Swap
Receive
Fixed
2.600%
at
Maturity,
Pay
Variable
(Change
in
CPI)
at
Maturity,
6/25/26
9,500
(150)
—
(150‌)
Total
United
States
(150‌)
Total
Centrally
Cleared
Zero-Coupon
Inflation
Swaps
(150‌)
Total
Centrally
Cleared
Swaps
(18‌)
Net
payments
(receipts)
of
variation
margin
to
date
58‌
Variation
margin
receivable
(payable)
on
centrally
cleared
swaps
$
40‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
91
(Amounts
in
000s)
FORWARD
CURRENCY
EXCHANGE
CONTRACTS
Counterparty
Settlement
Receive
Deliver
Unrealized
Gain/(Loss)
Bank
of
America
8/31/21
USD
1,679‌
AUD
2,280‌
$
6‌
Bank
of
America
8/31/21
USD
2,957‌
NOK
26,072‌
6‌
Bank
of
America
8/31/21
USD
800‌
SEK
6,880‌
—‌
BNP
Paribas
8/31/21
INR
704,796‌
USD
9,435‌
7‌
BNP
Paribas
8/31/21
USD
1,811‌
EUR
1,532‌
(7‌)
Citibank
8/31/21
USD
1,573‌
CHF
1,437‌
(15‌)
Goldman
Sachs
8/3/21
BRL
6,667‌
USD
1,318‌
(38‌)
Goldman
Sachs
8/3/21
USD
1,293‌
BRL
6,667‌
14‌
Goldman
Sachs
8/6/21
TWD
25,000‌
USD
894‌
—‌
Goldman
Sachs
8/6/21
USD
896‌
TWD
25,000‌
2‌
Goldman
Sachs
8/31/21
USD
538‌
ZAR
8,060‌
(10‌)
Goldman
Sachs
8/31/21
ZAR
9,509‌
USD
635‌
12‌
Goldman
Sachs
9/2/21
BRL
3,333‌
USD
640‌
(3‌)
Goldman
Sachs
9/30/21
USD
896‌
TWD
25,000‌
(1‌)
HSBC
Bank
8/31/21
MXN
34,375‌
USD
1,707‌
13‌
Standard
Chartered
8/31/21
USD
246‌
INR
18,373‌
—‌
Standard
Chartered
8/31/21
USD
573‌
NZD
819‌
2‌
State
Street
8/31/21
TRY
31,972‌
USD
3,665‌
68‌
State
Street
8/31/21
USD
69‌
CAD
87‌
—‌
Net
unrealized
gain
(loss)
on
open
forward
currency
exchange
contracts
$
56‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
92
FUTURES
CONTRACTS
($000s)
Expiration
Date
Notional
Amount
Value
and
Unrealized
Gain
(Loss)
Long,
9
CAC40
10
Euro
Index
contracts
8/21
706
$
8‌
Long,
21
Hang
Seng
Index
contracts
8/21
3,499
(15‌)
Short,
46
OMXS30
Index
contracts
8/21
(1,267)
(25‌)
Long,
18
ASX
SPI
200
Index
contracts
9/21
2,411
—‌
Short,
6
Dax
Performance
Index
contracts
9/21
(2,767)
3‌
Long,
80
Euro
BOBL
contracts
9/21
12,846
87‌
Long,
8
Euro
BTP
contracts
9/21
1,464
36‌
Long,
30
Euro
BUND
contracts
9/21
6,284
38‌
Long,
22
Euro
BUXL
thirty
year
bond
contracts
9/21
5,612
67‌
Short,
11
FTSE
100
Index
contracts
9/21
(1,065)
2‌
Long,
18
FTSE
Index
contracts
9/21
2,707
(17‌)
Short,
11
Government
of
Canada
ten
year
bond
contracts
9/21
(1,305)
—‌
Long,
48
Long
Gilt
contracts
9/21
8,660
146‌
Long,
5
Mini
ten
year
JGB
contracts
9/21
694
2‌
Short,
54
MSCI
Emerging
Markets
Index
contracts
9/21
(3,450)
202‌
Short,
60
S&P
500
E-Mini
Index
contracts
9/21
(13,169)
(123‌)
Short,
43
Tokyo
Price
Index
contracts
9/21
(7,467)
195‌
Long,
56
U.S.
Treasury
Long
Bond
contracts
9/21
9,224
86‌
Short,
94
U.S.
Treasury
Notes
five
year
contracts
9/21
(11,698)
(85‌)
Long,
17
U.S.
Treasury
Notes
ten
year
contracts
9/21
2,286
6‌
Long,
39
U.S.
Treasury
Notes
two
year
contracts
9/21
8,606
5‌
Net
payments
(receipts)
of
variation
margin
to
date
(405‌)
Variation
margin
receivable
(payable)
on
open
futures
contracts
$
213‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
93
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,
2021.
Net
realized
gain
(loss),
investment
income,
change
in
net
unrealized
gain/loss,
and
purchase
and
sales
cost
reflect
all
activity
for
the
period
then
ended.
Affiliate
Net
Realized
Gain
(Loss)
Change
in
Net
Unrealized
Gain/Loss
Investment
Income
T.
Rowe
Price
Dynamic
Credit
Fund
-
I
Class,
3.62% 
$
(6‌)
$
1,035‌
$
701‌
T.
Rowe
Price
Dynamic
Global
Bond
Fund
-
I
Class,
3.29% 
(2‌)
301‌
566‌
T.
Rowe
Price
Government
Reserve
Fund,
0.04%
—‌
—‌
8‌
T.
Rowe
Price
Short-Term
Fund,
0.07%
—‌
—‌
—‌++
Affiliates
not
held
at
period
end
8,602‌
(3,748‌)
210‌
Totals
$
8,594‌#
$
(2,412‌)
$
1,485‌+
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
94
The
accompanying
notes
are
an
integral
part
of
this
Portfolio
of
Investments.
AFFILIATED
COMPANIES
(CONTINUED)
($000s)
Supplementary
Investment
Schedule
Affiliate
Value
10/31/20
Purchase
Cost
Sales
Cost
Value
07/31/21
T.
Rowe
Price
Communications
&
Technology
Fund
-
I
Class 
$
—‌
$
3,400‌
$
3,400‌
$
—‌
T.
Rowe
Price
Dynamic
Credit
Fund
-
I
Class,
3.62% 
18,918‌
12,886‌
1,946‌
30,893‌
T.
Rowe
Price
Dynamic
Global
Bond
Fund
-
I
Class,
3.29% 
15,037‌
18,119‌
2,002‌
31,455‌
T.
Rowe
Price
Financial
Services
Fund
-
I
Class 
—‌
1,897‌
1,897‌
—‌
T.
Rowe
Price
Global
Consumer
Fund 
—‌
2,681‌
2,681‌
—‌
T.
Rowe
Price
Global
Industrials
Fund
-
I
Class 
—‌
3,539‌
3,539‌
—‌
T.
Rowe
Price
Global
Real
Estate
Fund
-
I
Class 
—‌
501‌
501‌
—‌
T.
Rowe
Price
Global
Stock
Fund
-
I
Class 
16,031‌
6,190‌
18,951‌
—‌
T.
Rowe
Price
Global
Technology
Fund
-
I
Class 
—‌
4,829‌
4,829‌
—‌
T.
Rowe
Price
Health
Sciences
Fund
-
I
Class 
—‌
2,750‌
2,750‌
—‌
T.
Rowe
Price
New
Era
Fund
-
I
Class 
—‌
1,970‌
1,970‌
—‌
T.
Rowe
Price
Ultra
Short-Term
Bond
Fund
-
I
Class,
0.55% 
12,741‌
18,259‌
30,522‌
—‌
T.
Rowe
Price
Government
Reserve
Fund,
0.04%
29,727‌
 ¤
 ¤
53,985‌
T.
Rowe
Price
Short-Term
Fund,
0.07%
2,265‌
 ¤
 ¤
1,705‌
Total
$
118,038‌^
#
Capital
gain
distributions
from
mutual
funds
represented
$1,824
of
the
net
realized
gain
(loss).
++
Excludes
earnings
on
securities
lending
collateral,
which
are
subject
to
rebates
and
fees.
+
Investment
income
comprised
$1,485
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
$116,127.
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
Unaudited
Notes
to
Portfolio
of
Investments
95
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 
Fair
Value
  The
fund’s
financial
instruments
are
valued
at
the
close
of
the
New
York
Stock
Exchange
(NYSE),
normally
4
p.m.
ET,
each
day
the
NYSE
is
open
for
business,
and
are
reported
at
fair
value,
which
GAAP
defines
as
the
price
that
would
be
received
to
sell
an
asset
or
paid
to
transfer
a
liability
in
an
orderly
transaction
between
market
participants
at
the
measurement
date. The
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
policies
and
procedures
used
in
valuing
financial
instruments,
including
those
which
cannot
be
valued
in
accordance
with
normal
procedures
or
using
pricing
vendors;
determines
pricing
techniques,
sources,
and
persons
eligible
to
effect
fair
value
pricing
actions;
evaluates
the
services
and
performance
of
the
pricing
vendors;
oversees
the
pricing
process
to
ensure
policies
and
procedures
are
being
followed;
and
provides
guidance
on
internal
controls
and
valuation-related
matters.
The
Valuation
Committee
provides
periodic
reporting
to
the
Board
on
valuation
matters.
Various
valuation
techniques
and
inputs
are
used
to
determine
the
fair
value
of
financial
instruments.
GAAP
establishes
the
following
fair
value
hierarchy
that
categorizes
the
inputs
used
to
measure
fair
value:
Level
1
–
quoted
prices
(unadjusted)
in
active
markets
for
identical
financial
instruments
that
the
fund
can
access
at
the
reporting
date
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
96
Level
2
–
inputs
other
than
Level
1
quoted
prices
that
are
observable,
either
directly
or
indirectly
(including,
but
not
limited
to,
quoted
prices
for
similar
financial
instruments
in
active
markets,
quoted
prices
for
identical
or
similar
financial
instruments
in
inactive
markets,
interest
rates
and
yield
curves,
implied
volatilities,
and
credit
spreads)
Level
3
–
unobservable
inputs
(including
the fund’s
own
assumptions
in
determining
fair
value)
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 
Equity
securities,
including
exchange-traded
funds, listed
or
regularly
traded
on
a
securities
exchange
or
in
the
over-the-counter
(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.
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.
Each
business
day,
the
fund
uses
information
from
outside
pricing
services
to
evaluate
and,
if
appropriate,
decide whether
it
is
necessary
to
adjust
quoted
prices
to
reflect
fair
value
by
reviewing
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
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
97
foreign
securities
and
baskets
of
foreign
securities. 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.
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
well
as
prices
quoted
by
dealers
who
make
markets
in
such
securities.
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
provided
by
an
outside
pricing
service.
Investments
in
mutual
funds
are
valued
at
the
mutual
fund’s
closing
NAV
per
share
on
the
day
of
valuation.
Listed
options,
and
OTC
options
with
a
listed
equivalent,
are
valued
at
the
mean
of
the
closing
bid
and
asked
prices
and
exchange-traded
options
on
futures
contracts
are
valued
at
closing
settlement
prices.
Futures
contracts
are
valued
at
closing
settlement
prices.
Forward
currency
exchange
contracts
are
valued
using
the
prevailing
forward
exchange
rate.
Swaps
are
valued
at
prices
furnished
by
an
independent
pricing
service
or
independent
swap
dealers.
Investments
for
which
market
quotations
or
market-based
valuations
are
not
readily
available
or
deemed
unreliable
are
valued
at
fair
value
as
determined
in
good
faith
by
the
Valuation
Committee,
in
accordance
with
fair
valuation
policies
and
procedures.
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.
Factors
used
in
determining
fair
value
vary
by
type
of
investment
and
may
include
market
or
investment
specific
considerations.
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
market-based
valuation
multiples;
a
discount
or
premium
from
market
value
of
a
similar,
freely
traded
security
of
the
same
issuer;
discounted
cash
flows;
yield
to
maturity;
or
some
combination.
Fair
value
determinations
are
reviewed
on
a
regular
basis
and
updated
as
information
becomes
available,
including
actual
purchase
and
sale
transactions
of
the
investment.
Because
any
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
98
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.
Valuation
Inputs
  The
following
table
summarizes
the
fund’s
financial
instruments,
based
on
the
inputs
used
to
determine
their
fair
values
on
July
31,
2021
(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
Securities
1
$
—‌
$
12,438‌
$
—‌
$
12,438‌
Bank
Loans
—‌
24,344‌
528‌
24,872‌
Bond
Mutual
Funds
62,348‌
—‌
—‌
62,348‌
Common
Stocks
29,200‌
12,088‌
—‌
41,288‌
Convertible
Preferred
Stocks
—‌
1,681‌
156‌
1,837‌
Preferred
Stocks
2‌
275‌
—‌
277‌
Short-Term
Investments
53,985‌
—‌
—‌
53,985‌
Securities
Lending
Collateral
1,705‌
—‌
—‌
1,705‌
Options
Purchased
—‌
85‌
—‌
85‌
Total
Securities
147,240‌
50,911‌
684‌
198,835‌
Swaps*
—‌
2,769‌
—‌
2,769‌
Forward
Currency
Exchange
Contracts
—‌
130‌
—‌
130‌
Futures
Contracts*
883‌
—‌
—‌
883‌
Total
$
148,123‌
$
53,810‌
$
684‌
$
202,617‌
Liabilities
Options
Written
$
89‌
$
526‌
$
—‌
$
615‌
Swaps*
—‌
2,789‌
—‌
2,789‌
Forward
Currency
Exchange
Contracts
—‌
74‌
—‌
74‌
Futures
Contracts*
265‌
—‌
—‌
265‌
Total
$
354‌
$
3,389‌
$
—‌
$
3,743‌
T.
ROWE
PRICE
Multi-Strategy
Total
Return
Fund
99
F1112-054Q3
07/21 
1
Includes
Convertible
Bonds,
Corporate
Bonds
and
Government
Bonds.
*
The
fair
value
presented
includes
cumulative
gain
(loss)
on
open
futures
contracts
and
centrally
cleared
swaps;
however,
the
net
value
reflected
on
the
accompanying
Portfolio
of
Investments
is
only
the
unsettled
variation
margin
receivable
(payable)
at
that
date.