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.