T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

January

31,

2022

(Unaudited)

1

Portfolio

of

Investments

‡

Shares/Par

$

Value

(

Cost

and

value

in

$000s)

‡

ARGENTINA

0.1%

Common

Stocks

0.0%

MercadoLibre

(USD) (1)

71‌

80‌

80‌

Corporate

Bonds

0.1%

MercadoLibre,

3.125%,

1/14/31

(USD) 

200,000‌

180‌

180‌

Government

Bonds

0.0%

Republic

of

Argentina,

0.00%,

12/15/35

(USD) (1)

900,000‌

11‌

11‌

Total

Argentina

(Cost

$307

)

271‌

AUSTRALIA

0.0%

Common

Stocks

0.0%

ALS 

2,348‌

20‌

BHP

Group 

2,595‌

83‌

Goodman

Group 

1,702‌

28‌

IGO 

4,513‌

38‌

Northern

Star

Resources 

2,399‌

14‌

OZ

Minerals 

1,315‌

23‌

Total

Australia

(Cost

$203

)

206‌

AUSTRIA

0.0%

Common

Stocks

0.0%

BAWAG

Group 

801‌

48‌

Erste

Group

Bank 

619‌

29‌

Mayr

Melnhof

Karton 

108‌

21‌

Total

Austria

(Cost

$90

)

98‌

BAHAMAS

0.0%

Government

Bonds

0.0%

Commonwealth

of

Bahamas,

8.95%,

10/15/32

(USD) 

250,000‌

219‌

Total

Bahamas

(Cost

$245

)

219‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

2

Shares/Par

$

Value

(Cost

and

value

in

$000s)

BELGIUM

0.0%

Common

Stocks

0.0%

Azelis

Group (1)

370‌

9‌

Total

Belgium

(Cost

$11

)

9‌

BRAZIL

1.5%

Common

Stocks

0.3%

B3 

73,500‌

203‌

Magazine

Luiza 

278,953‌

368‌

NU

Holdings,

Class

A

(USD) (1)

24,745‌

183‌

Unifique

Telecomunicacoes 

231,524‌

294‌

XP,

Class

A

(USD) (1)

3,000‌

100‌

1,148‌

Corporate

Bonds

0.5%

Braskem

Netherlands

Finance,

5.875%,

1/31/50

(USD) (2)(3)

200,000‌

218‌

ERO

Copper,

6.50%,

2/15/30

(USD) (2)

440,000‌

436‌

Globo

Comunicacao

e

Participacoes,

4.875%,

1/22/30

(USD) (2)

700,000‌

651‌

Globo

Comunicacao

e

Participacoes,

5.50%,

1/14/32

(USD) (2)

280,000‌

269‌

Minerva

Luxembourg,

4.375%,

3/18/31

(USD) 

500,000‌

465‌

2,039‌

Government

Bonds

0.7%

Brazil

Notas

do

Tesouro

Nacional,

Series

F,

10.00%,

1/1/27 

14,050,000‌

2,540‌

2,540‌

Total

Brazil

(Cost

$6,341

)

5,727‌

CANADA

0.5%

Bank

Loans

0.1%

(4)

Navacord,

FRN,

1M

CAD

CDOR

+

4.25%,

5.00%,

3/27/28 (5)

425,000‌

327‌

Navacord,

FRN,

1M

CAD

CDOR

+

7.50%,

8.235%,

3/26/29 

25,000‌

20‌

347‌

Common

Stocks

0.3%

Brookfield

Asset

Management,

Class

A

(USD) 

535‌

29‌

Canadian

Natural

Resources 

615‌

31‌

Canadian

Pacific

Railway

(USD) 

1,389‌

99‌

Enbridge

(USD) 

510‌

22‌

Enerflex 

2,527‌

14‌

ERO

Copper (1)

1,371‌

17‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

3

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Magna

International

(USD) 

946‌

76‌

MDA (1)(3)

6,629‌

49‌

Shopify,

Class

A

(USD) (1)

862‌

831‌

Summit

Industrial

Income

REIT 

1,708‌

29‌

Sun

Life

Financial

(USD) 

930‌

53‌

TC

Energy

(USD) 

672‌

35‌

Wesdome

Gold

Mines (1)

2,182‌

19‌

1,304‌

Corporate

Bonds

0.0%

1011778

BC

ULC,

5.75%,

4/15/25

(USD) (2)

105,000‌

108‌

108‌

Government

Bonds

0.1%

Government

of

Canada

Real

Return

Bond,

Inflation-Indexed,

4.00%,

12/1/31 

268,257‌

297‌

297‌

Total

Canada

(Cost

$2,380

)

2,056‌

CAYMAN

ISLANDS

0.2%

Common

Stocks

0.2%

Ahren

Acquisition

(USD) (1)

72,251‌

721‌

Total

Cayman

Islands

(Cost

$723

)

721‌

CHILE

0.7%

Corporate

Bonds

0.2%

Empresa

de

Transporte

de

Pasajeros

Metro,

3.693%,

9/13/61

(USD) (2)

865,000‌

787‌

787‌

Government

Bonds

0.5%

Bonos

de

la

Tesoreria

de

la

Republica,

4.50%,

3/1/26 

1,500,000,000‌

1,798‌

1,798‌

Total

Chile

(Cost

$2,855

)

2,585‌

CHINA

2.3%

Common

Stocks

0.9%

58.com

(USD) (1)(5)

22,100‌

—‌

Alibaba

Group

Holding

(HKD) (1)

9,600‌

151‌

BeiGene,

ADR

(USD) (1)

99‌

24‌

Beijing

Capital

International

Airport,

Class

H

(HKD) (1)

58,000‌

39‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

4

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Huazhu

Group,

ADR

(USD) (1)

13,850‌

547‌

I-Mab,

ADR

(USD) (1)

4,769‌

120‌

JD.com,

Class

A

(HKD) (1)

885‌

30‌

Kanzhun,

ADR

(USD) (1)

7,324‌

222‌

Li

Ning

(HKD) 

5,000‌

49‌

Meituan,

Class

B

(HKD) (1)

22,700‌

677‌

Shanghai

MicroPort

MedBot

Group

(HKD) (1)(3)

7,000‌

43‌

Tencent

Holdings

(HKD) 

20,400‌

1,278‌

Trip.com

Group,

ADR

(USD) (1)

5,059‌

135‌

Wuxi

Biologics

Cayman

(HKD) (1)

3,000‌

30‌

Zai

Lab,

ADR

(USD) (1)

210‌

10‌

Zhongsheng

Group

Holdings

(HKD) 

6,000‌

46‌

3,401‌

Common

Stocks

-

China

A

Shares

0.1%

Deppon

Logistics,

A

Shares

(CNH) 

25,700‌

46‌

Gree

Electric

Appliances

of

Zhuhai,

A

Shares

(CNH) 

14,000‌

84‌

Huayu

Automotive

Systems,

A

Shares

(CNH) 

18,600‌

82‌

Kweichow

Moutai,

A

Shares

(CNH) 

200‌

60‌

NARI

Technology,

A

Shares

(CNH) 

10,740‌

60‌

332‌

Convertible

Bonds

0.1%

Vnet

Group,

Zero

Coupon,

2/1/26

(USD) (3)

530,000‌

460‌

460‌

Corporate

Bonds

1.2%

Agile

Group

Holdings,

6.05%,

10/13/25

(USD) 

385,000‌

162‌

Kaisa

Group

Holdings,

11.95%,

10/22/22

(USD) 

480,000‌

134‌

KWG

Group

Holdings,

7.875%,

9/1/23

(USD) 

1,300,000‌

826‌

Longfor

Group

Holdings,

3.85%,

1/13/32

(USD) 

200,000‌

189‌

Shimao

Group

Holdings,

3.45%,

1/11/31

(USD) 

1,260,000‌

526‌

Shimao

Group

Holdings,

4.60%,

7/13/30

(USD) 

320,000‌

136‌

Shimao

Group

Holdings,

4.75%,

7/3/22

(USD) 

400,000‌

258‌

Shimao

Group

Holdings,

6.125%,

2/21/24

(USD) (3)

1,900,000‌

926‌

Times

China

Holdings,

6.20%,

3/22/26

(USD) 

340,000‌

156‌

Times

China

Holdings,

6.75%,

7/16/23

(USD) 

1,500,000‌

776‌

Times

China

Holdings,

6.75%,

7/8/25

(USD) 

700,000‌

333‌

Yanlord

Land

HK,

5.125%,

5/20/26

(USD) 

200,000‌

188‌

Yuzhou

Group

Holdings,

6.35%,

1/13/27

(USD) 

350,000‌

80‌

4,690‌

Total

China

(Cost

$11,574

)

8,883‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

5

Shares/Par

$

Value

(Cost

and

value

in

$000s)

COLOMBIA

0.2%

Corporate

Bonds

0.2%

GCM

Mining,

6.875%,

8/9/26

(USD) (2)

640,000‌

623‌

Total

Colombia

(Cost

$631

)

623‌

CYPRUS

0.2%

Government

Bonds

0.2%

Republic

of

Cyprus,

0.95%,

1/20/32 

751,000‌

832‌

Total

Cyprus

(Cost

$856

)

832‌

DENMARK

0.2%

Common

Stocks

0.1%

Ascendis

Pharma,

ADR

(USD) (1)

1,583‌

193‌

Genmab (1)

72‌

24‌

217‌

Corporate

Bonds

0.1%

DKT

Finance,

9.375%,

6/17/23

(USD) (2)

600,000‌

603‌

603‌

Total

Denmark

(Cost

$837

)

820‌

ECUADOR

0.1%

Government

Bonds

0.1%

Ecuador

Government

International

Bond,

STEP,

1.00%,

7/31/35

(USD) 

545,000‌

388‌

Total

Ecuador

(Cost

$383

)

388‌

FINLAND

0.0%

Common

Stocks

0.0%

Kojamo 

1,174‌

27‌

Sampo,

Class

A 

967‌

48‌

Stora

Enso,

Class

R 

1,622‌

33‌

UPM-Kymmene 

1,150‌

42‌

Total

Finland

(Cost

$151

)

150‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

6

Shares/Par

$

Value

(Cost

and

value

in

$000s)

FRANCE

0.7%

Common

Stocks

0.7%

Air

Liquide 

211‌

36‌

Airbus (1)

13,332‌

1,702‌

Alstom 

3,669‌

119‌

Legrand 

241‌

24‌

LVMH

Moet

Hennessy

Louis

Vuitton 

270‌

222‌

Pernod

Ricard 

396‌

85‌

Safran 

659‌

80‌

Schneider

Electric 

218‌

37‌

Thales 

418‌

39‌

TotalEnergies 

3,203‌

182‌

Valeo 

1,777‌

50‌

Verallia 

1,152‌

36‌

2,612‌

Convertible

Preferred

Stocks

0.0%

DNA

Script,

Series

C,

Acquisition

Date:

12/16/21,

Cost $7 (1)

(5)(6)

8‌

7‌

7‌

Corporate

Bonds

0.0%

Altice

France

Holding,

4.00%,

2/15/28 

100,000‌

102‌

102‌

Total

France

(Cost

$2,805

)

2,721‌

GERMANY

2.6%

Bank

Loans

0.2%

(4)

TK

Elevator

U.S.

Newco,

FRN,

1M

USD

LIBOR

+

3.50%,

4.00%,

7/30/27

(USD) 

595,515‌

596‌

596‌

Common

Stocks

0.2%

BioNTech,

ADR

(USD) (1)

331‌

57‌

Delivery

Hero (1)

323‌

25‌

Infineon

Technologies 

9,388‌

390‌

KION

Group 

448‌

41‌

Merck 

144‌

32‌

Siemens 

1,649‌

262‌

Zalando (1)

442‌

35‌

842‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

7

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Corporate

Bonds

0.1%

TK

Elevator

Holdco,

7.625%,

7/15/28

(USD) (2)

400,000‌

419‌

419‌

Government

Bonds

2.0%

Deutsche

Bundesrepublik,

Inflation-Indexed,

0.10%,

4/15/26 

3,771,953‌

4,695‌

Deutsche

Bundesrepublik,

Inflation-Indexed,

0.50%,

4/15/30 

2,103,539‌

2,885‌

7,580‌

Preferred

Stocks

0.1%

Sartorius 

826‌

446‌

Volkswagen 

598‌

124‌

570‌

Total

Germany

(Cost

$10,375

)

10,007‌

GHANA

0.1%

Corporate

Bonds

0.1%

Kosmos

Energy,

7.75%,

5/1/27

(USD) (2)

260,000‌

254‌

Total

Ghana

(Cost

$260

)

254‌

HONG

KONG

0.0%

Common

Stocks

0.0%

Samsonite

International (1)

16,800‌

35‌

Sun

Hung

Kai

Properties 

2,500‌

31‌

Total

Hong

Kong

(Cost

$67

)

66‌

HUNGARY

0.0%

Common

Stocks

0.0%

Wizz

Air

Holdings

(GBP) (1)

742‌

41‌

Total

Hungary

(Cost

$51

)

41‌

INDIA

0.6%

Common

Stocks

0.3%

Axis

Bank (1)

64,894‌

678‌

HDFC

Bank 

25,846‌

519‌

Voltas 

2,756‌

44‌

1,241‌

Government

Bonds

0.3%

Republic

of

India,

6.45%,

10/7/29 

32,000,000‌

425‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

8

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Republic

of

India,

7.59%,

1/11/26 

50,000,000‌

711‌

1,136‌

Total

India

(Cost

$2,373

)

2,377‌

INDONESIA

0.3%

Common

Stocks

0.1%

Bank

Central

Asia 

719,800‌

383‌

Sarana

Menara

Nusantara 

252,500‌

18‌

401‌

Government

Bonds

0.2%

Republic

of

Indonesia,

8.25%,

5/15/29 

11,825,000,000‌

911‌

911‌

Total

Indonesia

(Cost

$1,251

)

1,312‌

IRELAND

0.2%

Corporate

Bonds

0.2%

AerCap

Ireland

Capital,

3.00%,

10/29/28

(USD) 

150,000‌

147‌

AerCap

Ireland

Capital,

3.30%,

1/30/32

(USD) 

150,000‌

146‌

AerCap

Ireland

Capital,

3.50%,

1/15/25

(USD) 

225,000‌

231‌

AerCap

Ireland

Capital,

FRN,

SOFRRATE

+

0.68%,

0.73%,

9/29/23

(USD) 

150,000‌

150‌

Avolon

Holdings

Funding,

2.75%,

2/21/28

(USD) (2)

40,000‌

38‌

Total

Ireland

(Cost

$727

)

712‌

ISRAEL

0.7%

Common

Stocks

0.0%

Monday.com

(USD) (1)

525‌

110‌

110‌

Government

Bonds

0.7%

State

of

Israel,

3.75%,

3/31/47 

6,505,000‌

2,507‌

2,507‌

Total

Israel

(Cost

$2,779

)

2,617‌

ITALY

0.4%

Common

Stocks

0.3%

Davide

Campari-Milano 

6,075‌

76‌

Ferrari

(USD) 

3,243‌

749‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

9

Shares/Par

$

Value

(Cost

and

value

in

$000s)

GVS 

2,246‌

25‌

PRADA

(HKD) 

58,500‌

358‌

1,208‌

Corporate

Bonds

0.1%

International

Game

Technology,

4.125%,

4/15/26

(USD) (2)

250,000‌

251‌

251‌

Total

Italy

(Cost

$1,485

)

1,459‌

JAPAN

2.2%

Common

Stocks

0.8%

Asics 

1,900‌

37‌

Bridgestone 

900‌

39‌

Daiichi

Sankyo 

17,600‌

395‌

Daikin

Industries 

300‌

63‌

Fancl 

12,900‌

329‌

Hamamatsu

Photonics 

1,500‌

77‌

Harmonic

Drive

Systems (3)

7,000‌

277‌

Hoshizaki 

1,700‌

126‌

Industrial

&

Infrastructure

Fund

Investment 

7‌

12‌

Istyle (1)

9,800‌

16‌

Keyence 

200‌

103‌

Komatsu 

3,700‌

93‌

MatsukiyoCocokara 

400‌

14‌

Mitsui

Fudosan 

2,300‌

49‌

Miura 

1,800‌

53‌

Panasonic 

6,400‌

70‌

Recruit

Holdings 

10,700‌

529‌

Seven

&

i

Holdings 

900‌

46‌

Shin-Etsu

Chemical 

200‌

33‌

SMC 

200‌

112‌

Sompo

Holdings 

400‌

19‌

Sony

Group 

3,800‌

425‌

Stanley

Electric 

2,600‌

61‌

SUMCO 

1,100‌

20‌

Suzuki

Motor 

2,900‌

123‌

3,121‌

Government

Bonds

1.4%

Japan

Government

Five

Year

Bond,

0.005%,

9/20/26 

126,900,000‌

1,104‌

Japan

Government

Two

Year

Bond,

0.10%,

10/1/22 

500,000,000‌

4,350‌

5,454‌

Total

Japan

(Cost

$9,065

)

8,575‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

10

Shares/Par

$

Value

(Cost

and

value

in

$000s)

LUXEMBOURG

1.0%

Bank

Loans

0.9%

(4)

Intelsat

Jackson

Holdings,

8.625%,

1/2/24

(USD) 

60,000‌

60‌

Intelsat

Jackson

Holdings,

FRN,

1M

USD

LIBOR

+

4.75%,

5.75%,

7/13/22

(USD) 

2,905,809‌

2,906‌

Intelsat

Jackson

Holdings,

FRN,

PRIME

+

5.50%,

8.75%,

1/2/24

(USD) 

720,000‌

718‌

3,684‌

Corporate

Bonds

0.1%

Intelsat

Jackson

Holdings,

9.50%,

9/30/22

(USD) (2)

195,000‌

226‌

226‌

Total

Luxembourg

(Cost

$3,923

)

3,910‌

MACAO

0.1%

Corporate

Bonds

0.1%

Wynn

Macau,

5.625%,

8/26/28

(USD) (3)

500,000‌

458‌

Total

Macao

(Cost

$472

)

458‌

MALAYSIA

0.1%

Government

Bonds

0.1%

Government

of

Malaysia,

4.921%,

7/6/48 

1,350,000‌

346‌

Total

Malaysia

(Cost

$345

)

346‌

MEXICO

0.7%

Bank

Loans

0.2%

(4)

Playa

Resorts

Holding,

FRN,

3M

USD

LIBOR

+

2.75%,

4/29/24

(USD) (7)

1,000,000‌

982‌

982‌

Corporate

Bonds

0.2%

Petroleos

Mexicanos,

6.70%,

2/16/32

(USD) (2)

835,000‌

828‌

828‌

Government

Bonds

0.3%

Mexican

Bonos,

5.75%,

3/5/26 

15,800,000‌

718‌

Mexican

Udibonos,

Inflation-Indexed,

4.00%,

11/30/28 

6,555,496‌

332‌

1,050‌

Total

Mexico

(Cost

$2,899

)

2,860‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

11

Shares/Par

$

Value

(Cost

and

value

in

$000s)

NETHERLANDS

0.4%

Bank

Loans

0.0%

(4)

T-Mobile

Netherlands,

FRN,

3M

EURIBOR

+

4.00%,

11/19/28 (7)

160,000‌

180‌

180‌

Common

Stocks

0.4%

Adyen (1)

118‌

240‌

Akzo

Nobel 

465‌

48‌

Argenx,

ADR

(USD) (1)

257‌

69‌

ASML

Holding 

1,202‌

814‌

Heineken 

383‌

41‌

ING

Groep 

3,088‌

46‌

Koninklijke

DSM 

171‌

32‌

TKH

Group,

CVA 

1,206‌

70‌

Universal

Music

Group 

1,798‌

44‌

1,404‌

Total

Netherlands

(Cost

$1,729

)

1,584‌

NEW

ZEALAND

0.2%

Government

Bonds

0.2%

Government

of

New

Zealand,

2.75%,

5/15/51 

1,191,000‌

752‌

Total

New

Zealand

(Cost

$826

)

752‌

NORWAY

0.0%

Common

Stocks

0.0%

Aker

BP 

1,274‌

44‌

Equinor 

3,719‌

103‌

Total

Norway

(Cost

$111

)

147‌

PANAMA

0.0%

Corporate

Bonds

0.0%

Aeropuerto

Internacional

de

Tocumen,

4.00%,

8/11/41

(USD) (2)

200,000‌

194‌

Total

Panama

(Cost

$200

)

194‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

12

Shares/Par

$

Value

(Cost

and

value

in

$000s)

PERU

0.1%

Common

Stocks

0.0%

Southern

Copper

(USD) 

704‌

45‌

45‌

Corporate

Bonds

0.1%

Minsur,

4.50%,

10/28/31

(USD) (2)

200,000‌

201‌

201‌

Total

Peru

(Cost

$242

)

246‌

PHILIPPINES

0.1%

Government

Bonds

0.1%

Republic

of

Philippines,

6.25%,

1/14/36 

23,000,000‌

501‌

Total

Philippines

(Cost

$548

)

501‌

PORTUGAL

0.0%

Common

Stocks

0.0%

Galp

Energia 

6,622‌

73‌

Jeronimo

Martins 

1,589‌

38‌

Total

Portugal

(Cost

$98

)

111‌

QATAR

0.1%

Corporate

Bonds

0.1%

Qatar

Petroleum,

2.25%,

7/12/31

(USD) 

270,000‌

261‌

Total

Qatar

(Cost

$272

)

261‌

ROMANIA

0.3%

Government

Bonds

0.3%

Republic

of

Romania,

5.00%,

2/12/29 

4,500,000‌

1,014‌

Total

Romania

(Cost

$1,192

)

1,014‌

RUSSIA

0.3%

Government

Bonds

0.3%

Russian

Federation,

7.65%,

4/10/30 

90,000,000‌

1,056‌

Total

Russia

(Cost

$1,298

)

1,056‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

13

Shares/Par

$

Value

(Cost

and

value

in

$000s)

SAUDI

ARABIA

0.0%

Corporate

Bonds

0.0%

Riyad

Sukuk,

VR,

3.174%,

2/25/30

(USD) (8)

200,000‌

201‌

Total

Saudi

Arabia

(Cost

$205

)

201‌

SERBIA

0.3%

Government

Bonds

0.3%

Republic

of

Serbia,

4.50%,

8/20/32 

100,000,000‌

1,015‌

Total

Serbia

(Cost

$1,117

)

1,015‌

SINGAPORE

0.1%

Common

Stocks

0.1%

Sea,

ADR

(USD) (1)

2,498‌

375‌

Total

Singapore

(Cost

$617

)

375‌

SOUTH

AFRICA

0.8%

Government

Bonds

0.8%

Republic

of

South

Africa,

8.00%,

1/31/30 

17,425,000‌

1,048‌

Republic

of

South

Africa,

8.75%,

2/28/48 

10,714,000‌

586‌

Republic

of

South

Africa,

10.50%,

12/21/26 

20,186,000‌

1,453‌

Total

South

Africa

(Cost

$3,149

)

3,087‌

SOUTH

KOREA

0.2%

Government

Bonds

0.2%

Korea

Treasury

Bond,

2.00%,

6/10/31 

798,000,000‌

628‌

Total

South

Korea

(Cost

$655

)

628‌

SPAIN

0.2%

Common

Stocks

0.2%

Amadeus

IT

Group,

Class

A (1)

10,647‌

732‌

Cellnex

Telecom 

1,143‌

52‌

Total

Spain

(Cost

$761

)

784‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

14

Shares/Par

$

Value

(Cost

and

value

in

$000s)

SURINAME

0.2%

Government

Bonds

0.2%

Republic

of

Suriname,

9.25%,

10/26/26

(USD) (1)(3)(9)

800,000‌

611‌

Total

Suriname

(Cost

$559

)

611‌

SWEDEN

0.6%

Bank

Loans

0.2%

(4)

Seren

Bidco,

FRN,

1M

USD

LIBOR

+

3.50%,

4.00%,

11/16/28

(USD) (7)

600,000‌

600‌

Seren

Bidco,

FRN,

1M

USD

LIBOR

+

4.00%,

11/16/28

(USD) (5)

(7)

100,000‌

100‌

700‌

Common

Stocks

0.3%

Alfa

Laval 

1,877‌

63‌

Atlas

Copco,

Class

B 

360‌

18‌

Boliden 

2,258‌

91‌

Epiroc,

Class

B 

2,384‌

43‌

Hexpol 

1,486‌

18‌

Lundin

Energy 

1,329‌

54‌

Sandvik 

1,284‌

34‌

Spotify

Technology

(USD) (1)

372‌

73‌

Svenska

Cellulosa,

Class

B 

25,468‌

444‌

Swedbank,

Class

A 

1,991‌

39‌

Swedish

Match 

2,952‌

23‌

900‌

Corporate

Bonds

0.0%

Verisure

Holding,

FRN,

3M

EURIBOR

+

5.00%,

5.00%,

4/15/25

(EUR) (2)

100,000‌

113‌

113‌

Government

Bonds

0.1%

Sweden

Government

Bond,

3.50%,

3/30/39 

3,200,000‌

503‌

503‌

Total

Sweden

(Cost

$2,270

)

2,216‌

SWITZERLAND

0.1%

Common

Stocks

0.1%

Cie

Financiere

Richemont,

Class

A 

484‌

70‌

Julius

Baer

Group 

659‌

43‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

15

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Montana

Aerospace (1)

3,301‌

123‌

Nestle 

1,065‌

138‌

Roche

Holding 

156‌

60‌

Sophia

Genetics

(USD) (1)

9,365‌

110‌

Zurich

Insurance

Group 

111‌

53‌

Total

Switzerland

(Cost

$609

)

597‌

TAIWAN

0.3%

Common

Stocks

0.3%

Taiwan

Semiconductor

Manufacturing 

52,000‌

1,202‌

Total

Taiwan

(Cost

$1,119

)

1,202‌

THAILAND

0.1%

Government

Bonds

0.1%

Kingdom

of

Thailand,

3.60%,

6/17/67 

10,500,000‌

341‌

Total

Thailand

(Cost

$388

)

341‌

TURKEY

0.1%

Government

Bonds

0.1%

Republic

of

Turkey,

11.70%,

11/13/30 

9,100,000‌

410‌

Total

Turkey

(Cost

$827

)

410‌

UNITED

KINGDOM

2.7%

Bank

Loans

0.2%

(4)

Motion

Finco,

FRN,

1M

USD

LIBOR

+

3.25%,

3.474%,

11/12/26

(USD) 

907,725‌

894‌

894‌

Common

Stocks

1.1%

Abcam (1)

906‌

16‌

Ashtead

Group 

14,744‌

1,055‌

ASOS (1)

541‌

16‌

AstraZeneca,

ADR

(USD) 

2,188‌

128‌

Compass

Group 

4,448‌

101‌

Croda

International 

287‌

31‌

Derwent

London 

14,324‌

662‌

Direct

Line

Insurance

Group 

6,881‌

29‌

Experian 

13,648‌

570‌

Farfetch,

Class

A

(USD) (1)

1,951‌

42‌

Genuit

Group 

6,384‌

50‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

16

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Helios

Towers (1)

6,217‌

13‌

London

Stock

Exchange

Group 

10,165‌

995‌

Melrose

Industries 

35,436‌

72‌

Mondi 

1,773‌

44‌

Next 

225‌

23‌

Novocure

(USD) (1)

235‌

16‌

Rentokil

Initial 

8,048‌

56‌

Smiths

Group 

4,378‌

92‌

Trainline (1)

60,386‌

183‌

Unilever

(EUR) 

1,443‌

74‌

UNITE

Group 

811‌

11‌

Weir

Group 

4,111‌

97‌

Whitbread (1)

498‌

21‌

4,397‌

Corporate

Bonds

0.2%

eG

Global

Finance,

8.50%,

10/30/25

(USD) (2)

600,000‌

606‌

606‌

Government

Bonds

1.2%

United

Kingdom

Inflation-Linked

Gilt,

0.125%,

3/22/24 

3,059,764‌

4,492‌

4,492‌

Total

United

Kingdom

(Cost

$10,726

)

10,389‌

UNITED

STATES

44.1%

Asset-Backed

Securities

1.3%

Amur

Equipment

Finance

Receivables

X,

Series

2022-1A,

Class

E,

5.02%,

12/20/28 (2)

465,000‌

465‌

Blackbird

Capital

Aircraft

Lease

Securitization,

Series

2016-1A,

Class

A,

STEP,

4.213%,

12/16/41 (2)

433,125‌

424‌

Cologix

Data

Centers

U.S.

Issuer,

Series

2021-1A,

Class

A2,

3.30%,

12/26/51 (2)

125,000‌

125‌

Elara

HGV

Timeshare

Issuer,

Series

2019-A,

Class

C,

3.45%,

1/25/34 (2)

80,292‌

79‌

ExteNet,

Series

2019-1A,

Class

B,

4.14%,

7/26/49 (2)

260,000‌

264‌

FOCUS

Brands

Funding,

Series

2018-1,

Class

A2,

5.184%,

10/30/48 (2)

766,300‌

793‌

Hardee's

Funding,

Series

2021-1A,

Class

A2,

2.865%,

6/20/51 (2)

268,650‌

262‌

JPMorgan

Chase

Bank,

Series

2021-3,

Class

E,

2.102%,

2/26/29 (2)

450,969‌

446‌

Morgan

Stanley

Eaton

Vance,

Series

2021-1A,

Class

D,

CLO,

FRN,

3M

USD

LIBOR

+

3.10%,

3.233%,

10/20/34 (2)

285,000‌

283‌

Neuberger

Berman

Loan

Advisers,

Series

2019-32A,

Class

ER,

CLO,

FRN,

3M

USD

LIBOR

+

6.10%,

6.348%,

1/20/32 (2)

350,000‌

347‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

17

Shares/Par

$

Value

(Cost

and

value

in

$000s)

OCP,

Series

2021-21A,

Class

D,

CLO,

FRN,

3M

USD

LIBOR

+

2.95%,

3.204%,

7/20/34 (2)

150,000‌

149‌

Octane

Receivables

Trust,

Series

2021-2A,

Class

A,

1.21%,

9/20/28 (2)

91,816‌

91‌

Octane

Receivables

Trust,

Series

2021-2A,

Class

C,

2.53%,

5/21/29 (2)

320,000‌

317‌

Palmer

Square,

Series

2021-3A,

Class

E,

CLO,

FRN,

3M

USD

LIBOR

+

6.15%,

6.382%,

1/15/35 (2)

250,000‌

249‌

Peace

Park,

Series

2021-1A,

Class

D,

CLO,

FRN,

3M

USD

LIBOR

+

2.95%,

3.204%,

10/20/34 (2)

510,000‌

505‌

Stonepeak

ABS,

Series

2021-1A,

Class

B,

3.821%,

2/28/33 (2)

383,713‌

376‌

5,175‌

Bank

Loans

12.4%

(4)

Agiliti

Health,

FRN,

1M

USD

LIBOR

+

2.75%,

3.50%,

1/4/26 (5)

392,232‌

391‌

Applied

Systems,

FRN,

1M

USD

LIBOR

+

3.00%,

3.50%,

9/19/24 

798,385‌

797‌

Applied

Systems,

FRN,

1M

USD

LIBOR

+

5.50%,

6.25%,

9/19/25 

375,000‌

377‌

Aretec

Group,

FRN,

3M

USD

LIBOR

+

4.25%,

4.355%,

10/1/25 

89,769‌

90‌

ASP

Chromaflo

Intermediate

Holdings,

FRN,

3M

USD

LIBOR

+

3.50%,

4.50%,

11/20/23 (5)

759,928‌

759‌

Asurion,

FRN,

1M

USD

LIBOR

+

3.13%,

3.23%,

11/3/23 

1,269,489‌

1,266‌

Asurion,

FRN,

1M

USD

LIBOR

+

5.25%,

5.355%,

1/31/28 

101,879‌

102‌

Asurion,

FRN,

1M

USD

LIBOR

+

5.25%,

5.355%,

1/20/29 

700,000‌

700‌

Bausch

Health

Americas,

FRN,

3M

USD

LIBOR

+

2.75%,

2.855%,

11/27/25 (7)

753,333‌

752‌

Camelot

U.S.

Acquisition,

FRN,

1M

USD

LIBOR

+

3.00%,

4.00%,

10/30/26 

595,492‌

594‌

Cano

Health,

FRN,

1M

USD

LIBOR

+

4.50%,

5.25%,

11/23/27 

109,724‌

110‌

Catalent

Pharma

Solutions,

FRN,

1M

USD

LIBOR

+

2.00%,

2.50%,

2/22/28 

333,321‌

333‌

Charter

Next

Generation,

FRN,

1M

USD

LIBOR

+

3.75%,

4.50%,

12/1/27 

610,545‌

611‌

CNT

Holdings

I,

FRN,

1M

USD

LIBOR

+

3.50%,

4.25%,

11/8/27 

596,992‌

597‌

ConnectWise,

FRN,

1M

USD

LIBOR

+

3.50%,

4.00%,

9/29/28 

1,200,000‌

1,197‌

Cvent,

FRN,

3M

USD

LIBOR

+

3.75%,

3.855%,

11/29/24 

276,416‌

276‌

Delta

Topco,

FRN,

1M

USD

LIBOR

+

7.25%,

8.00%,

12/1/28 

110,000‌

110‌

Diamond,

FRN,

1M

USD

LIBOR

+

3.00%,

3.50%,

9/29/28 

520,000‌

518‌

ECI

Macola,

FRN,

1M

USD

LIBOR

+

3.75%,

4.50%,

11/9/27 

432,167‌

432‌

Edelman

Financial

Engines

Center,

FRN,

3M

USD

LIBOR

+

6.75%,

6.855%,

7/20/26 

805,000‌

807‌

Engineered

Machinery

Holdings,

FRN,

1M

USD

LIBOR

+

3.75%,

4.50%,

5/19/28 

703,979‌

705‌

Engineered

Machinery

Holdings,

FRN,

1M

USD

LIBOR

+

6.00%,

6.75%,

5/21/29 

465,000‌

468‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

18

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Engineered

Machinery

Holdings,

FRN,

1M

USD

LIBOR

+

6.50%,

7.25%,

5/21/29 

145,000‌

146‌

Epicor

Software,

FRN,

1M

USD

LIBOR

+

7.75%,

8.75%,

7/31/28 

330,000‌

336‌

Fertitta

Entertainment,

FRN,

SOFRRATE

+

4.00%,

1/12/29 (7)

500,000‌

501‌

Filtration

Group,

FRN,

1M

USD

LIBOR

+

3.50%,

3.605%,

10/21/28 

847,875‌

846‌

Fleet

U.S.

Bidco,

FRN,

1M

USD

LIBOR

+

3.00%,

3.105%,

10/7/26 (5)

87,791‌

87‌

Forterra

Finance,

FRN,

3M

USD

LIBOR

+

3.00%,

4.00%,

10/25/23 

984,692‌

983‌

Heartland

Dental,

FRN,

3M

USD

LIBOR

+

3.50%,

3.605%,

4/30/25 

994,850‌

988‌

Hyland

Software,

FRN,

1M

USD

LIBOR

+

3.50%,

4.25%,

7/1/24 

693,363‌

693‌

Infinite

Bidco,

FRN,

1M

USD

LIBOR

+

3.75%,

4.25%,

3/2/28 

398,000‌

397‌

Infinite

Bidco,

FRN,

1M

USD

LIBOR

+

7.00%,

7.50%,

3/2/29 

400,000‌

400‌

IRB

Holding,

FRN,

1M

USD

LIBOR

+

3.25%,

4.25%,

12/15/27 

535,222‌

535‌

Loyalty

Ventures,

FRN,

1M

USD

LIBOR

+

4.50%,

5.00%,

11/3/27 

480,000‌

479‌

McAfee,

FRN,

3M

USD

LIBOR

+

3.75%,

3.859%,

9/30/24 

2,990,211‌

2,987‌

MED

ParentCo,

FRN,

1M

USD

LIBOR

+

4.25%,

4.355%,

8/31/26 

621,819‌

621‌

MH

Sub

I,

FRN,

1M

USD

LIBOR

+

3.75%,

4.75%,

9/13/24 

657,239‌

654‌

MH

Sub

I,

FRN,

1M

USD

LIBOR

+

6.25%,

6.355%,

2/23/29 

300,000‌

301‌

MH

Sub

I,

FRN,

3M

USD

LIBOR

+

3.50%,

3.605%,

9/13/24 

593,814‌

591‌

MIC

Glen,

FRN,

1M

USD

LIBOR

+

3.50%,

4.00%,

7/21/28 

200,000‌

199‌

MIC

Glen,

FRN,

1M

USD

LIBOR

+

6.75%,

7.25%,

7/20/29 

800,000‌

796‌

Mitchell

International,

FRN,

1M

USD

LIBOR

+

6.50%,

7.00%,

10/15/29 (7)

810,000‌

815‌

Mozart

Borrower,

FRN,

1M

USD

LIBOR

+

3.25%,

3.75%,

10/23/28 

1,035,000‌

1,030‌

Mozart

Borrower,

FRN,

3M

EURIBOR

+

3.50%,

3.50%,

10/23/28

(EUR) (7)

135,000‌

152‌

Option

Care

Health,

FRN,

1M

USD

LIBOR

+

2.75%,

3.25%,

10/27/28 

250,000‌

249‌

Osmose

Utilities

Services,

FRN,

1M

USD

LIBOR

+

3.25%,

3.75%,

6/23/28 

598,500‌

595‌

PAE,

FRN,

1M

USD

LIBOR

+

4.50%,

10/19/27 (7)

1,994,962‌

1,994‌

PetSmart,

FRN,

1M

USD

LIBOR

+

3.75%,

4.50%,

2/11/28 

597,000‌

596‌

Planview

Parent,

FRN,

1M

USD

LIBOR

+

4.00%,

4.75%,

12/17/27 

769,240‌

770‌

Pro

Mach

Group,

FRN,

1M

USD

LIBOR

+

4.00%,

4.00%,

8/31/28 

85,916‌

86‌

Pro

Mach

Group,

FRN,

1M

USD

LIBOR

+

4.00%,

5.00%,

8/31/28 

529,085‌

530‌

Project

Ruby

Ultimate

Parent,

FRN,

1M

USD

LIBOR

+

3.25%,

4.00%,

3/10/28 

596,246‌

594‌

Quest

Software

U.S.

Holdings,

FRN,

3M

USD

LIBOR

+

3.25%,

6.50%,

5/16/25 

999,076‌

992‌

RealPage,

FRN,

1M

USD

LIBOR

+

3.25%,

3.75%,

4/24/28 

1,610,963‌

1,602‌

RealPage,

FRN,

3M

USD

LIBOR

+

6.50%,

7.25%,

4/23/29 

795,000‌

803‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

19

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Rent-A-Center,

FRN,

1M

USD

LIBOR

+

3.25%,

3.75%,

2/17/28 

436,800‌

435‌

Rising

Tide

Holdings,

FRN,

1M

USD

LIBOR

+

8.25%,

9.00%,

6/1/29 (5)

400,000‌

392‌

S2P

Acquisition

Borrower,

FRN,

3M

USD

LIBOR

+

4.00%,

4.105%,

8/14/26 

281,886‌

282‌

Scientific

Games

International,

FRN,

1M

USD

LIBOR

+

2.75%,

2.855%,

8/14/24 

2,489,657‌

2,481‌

Sophia,

FRN,

1M

USD

LIBOR

+

3.50%,

4.00%,

10/7/27 

1,007,357‌

1,006‌

Sotera

Health

Holdings,

FRN,

1M

USD

LIBOR

+

2.75%,

3.25%,

12/11/26 

800,000‌

797‌

Sovos

Compliance,

FRN,

1M

USD

LIBOR

+

4.50%,

4.803%,

8/11/28 

435,000‌

437‌

Tacala

Investment,

FRN,

1M

USD

LIBOR

+

3.50%,

4.25%,

2/5/27 

497,416‌

497‌

Tacala

Investment,

FRN,

1M

USD

LIBOR

+

7.50%,

8.25%,

2/4/28 

495,000‌

495‌

Travel

Leaders

Group,

FRN,

3M

USD

LIBOR

+

4.00%,

4.105%,

1/25/24 

343,222‌

328‌

Triton

Water

Holdings,

FRN,

1M

USD

LIBOR

+

3.50%,

4.00%,

3/31/28 

796,000‌

789‌

Wand

NewCo

3,

FRN,

1M

USD

LIBOR

+

3.00%,

3.175%,

2/5/26 

919,428‌

905‌

Waystar

Technologies,

FRN,

1M

USD

LIBOR

+

4.00%,

4.105%,

10/22/26 

253,709‌

253‌

Welbilt,

FRN,

3M

USD

LIBOR

+

2.50%,

2.605%,

10/23/25 

1,600,000‌

1,595‌

William

Morris

Endeavor

Entertainment,

FRN,

3M

USD

LIBOR

+

2.75%,

2.86%,

5/18/25 (7)

775,805‌

761‌

Woof

Holdings,

FRN,

1M

USD

LIBOR

+

3.75%,

4.50%,

12/21/27 

516,846‌

516‌

Woof

Holdings,

FRN,

1M

USD

LIBOR

+

7.25%,

8.00%,

12/21/28 (7)

580,000‌

583‌

Xplornet

Communications,

FRN,

1M

USD

LIBOR

+

4.00%,

4.50%,

10/2/28 

164,588‌

164‌

Xplornet

Communications,

FRN,

1M

USD

LIBOR

+

7.00%,

7.50%,

10/1/29 (5)

110,000‌

110‌

48,166‌

Common

Stocks

16.1%

10X

Genomics,

Class

A (1)

181‌

17‌

7

Acquisition (1)

49,900‌

497‌

AbbVie 

771‌

106‌

Acadia

Realty

Trust,

REIT 

1,359‌

27‌

Advanced

Micro

Devices (1)

3,535‌

404‌

AGCO 

218‌

26‌

Agilent

Technologies 

677‌

94‌

Air

Lease 

2,201‌

88‌

Air

Products

&

Chemicals 

175‌

49‌

Airbnb,

Class

A (1)

160‌

25‌

Akoya

Biosciences (1)

1,837‌

21‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

20

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Alamo

Group 

98‌

14‌

Alexandria

Real

Estate

Equities,

REIT 

143‌

28‌

Allbirds,

Class

A (1)(3)

34,489‌

426‌

Allegiant

Travel (1)

220‌

39‌

Alnylam

Pharmaceuticals (1)

354‌

49‌

Alphabet,

Class

A (1)

421‌

1,139‌

Alphabet,

Class

C (1)

172‌

467‌

Amazon.com (1)

1,002‌

2,997‌

Ameren 

435‌

39‌

American

Campus

Communities,

REIT 

502‌

26‌

American

International

Group 

1,894‌

109‌

American

Tower,

REIT 

689‌

173‌

Amgen 

234‌

53‌

Amphenol,

Class

A 

581‌

46‌

Anthem 

248‌

109‌

Apellis

Pharmaceuticals (1)

545‌

22‌

Apollo

Global

Management 

740‌

52‌

Apple 

7,607‌

1,330‌

Apple

Hospitality

REIT 

1,577‌

25‌

Arena

Fortify

Acquisition,

Warrants,

12/31/28 (1)

24,620‌

10‌

Arena

Fortify

Acquisition,

Class

A (1)

49,240‌

486‌

Armstrong

World

Industries 

446‌

44‌

Assurant 

1,986‌

303‌

Atlassian,

Class

A (1)

3,207‌

1,040‌

Aurora

Innovation (1)(3)

258‌

1‌

AvalonBay

Communities,

REIT 

1,657‌

405‌

Avantor (1)

1,122‌

42‌

Avery

Dennison 

175‌

36‌

Axis

Capital

Holdings 

893‌

51‌

Ball 

1,125‌

109‌

Bank

of

America 

3,508‌

162‌

Bank

of

New

York

Mellon 

1,269‌

75‌

BankUnited 

874‌

36‌

Barings

BDC 

1,330‌

14‌

Battery

Future

Acquisition (1)

73,400‌

734‌

Beard

Energy

Transition

Acquisition (1)

74,100‌

742‌

Becton

Dickinson

&

Company 

377‌

96‌

Belden 

1,568‌

88‌

Bill.com

Holdings (1)

1,807‌

340‌

Biogen (1)

104‌

24‌

Black

Knight (1)

324‌

24‌

Block,

Class

A (1)

1,701‌

208‌

Blueprint

Medicines (1)

274‌

21‌

Boeing (1)

431‌

86‌

Booking

Holdings (1)

54‌

133‌

Bright

Horizons

Family

Solutions (1)

1,890‌

243‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

21

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Bruker 

657‌

44‌

Bullpen

Parlay

Acquisition (1)

72,300‌

721‌

Burlington

Stores (1)

418‌

99‌

C4

Therapeutics (1)

832‌

20‌

Cactus,

Class

A 

761‌

37‌

Camden

Property

Trust,

REIT 

201‌

32‌

Canva,

Acquisition

Date:

8/16/21

-

12/22/21,

Cost $245 (1)(5)(6)

144‌

245‌

Capital

One

Financial 

566‌

83‌

Capitalworks

Emerging

Markets

Acquisition (1)

72,800‌

728‌

Capri

Holdings (1)

758‌

46‌

Carvana (1)

237‌

38‌

Catalent (1)

336‌

35‌

Caterpillar 

137‌

28‌

Cboe

Global

Markets 

295‌

35‌

CC

Neuberger

Principal

Holdings

III,

Warrants,

12/31/27 (1)

8,398‌

6‌

CC

Neuberger

Principal

Holdings

III,

Class

A (1)

41,992‌

409‌

Cedar

Fair (1)

1,057‌

53‌

Centene (1)

1,188‌

92‌

Ceridian

HCM

Holding (1)

355‌

27‌

CF

Industries

Holdings 

205‌

14‌

ChampionX (1)

1,065‌

24‌

Charles

Schwab 

20,932‌

1,836‌

Charter

Communications,

Class

A (1)

311‌

185‌

Chevron 

921‌

121‌

Chipotle

Mexican

Grill (1)

41‌

61‌

Chubb 

634‌

125‌

Cigna 

250‌

58‌

Citigroup 

994‌

65‌

Citizens

Financial

Group 

1,014‌

52‌

CME

Group 

949‌

218‌

CMS

Energy 

550‌

35‌

CNA

Financial 

798‌

37‌

Coca-Cola 

2,533‌

155‌

Comcast,

Class

A 

3,062‌

153‌

Concord

Acquisition

Corp

III (1)

49,500‌

498‌

Confluent,

Class

A (1)(3)

1,190‌

78‌

ConocoPhillips 

2,101‌

186‌

Cooper 

72‌

29‌

Copart (1)

2,199‌

284‌

Costco

Wholesale 

287‌

145‌

Coupa

Software (1)

958‌

129‌

Crown

Castle

International,

REIT 

744‌

136‌

CubeSmart,

REIT 

610‌

31‌

Cummins 

663‌

146‌

Danaher 

711‌

203‌

Darling

Ingredients (1)

504‌

32‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

22

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Datadog,

Class

A (1)

706‌

103‌

Deere 

95‌

36‌

Definitive

Healthcare (1)

411‌

9‌

Denali

Therapeutics (1)

390‌

13‌

Devon

Energy 

1,760‌

89‌

Dexcom (1)

86‌

37‌

Dime

Community

Bancshares 

819‌

29‌

Dollar

General 

352‌

73‌

Dominion

Energy 

375‌

30‌

DoorDash,

Class

A (1)

3,090‌

351‌

Douglas

Emmett,

REIT 

638‌

20‌

Doximity,

Class

A (1)

2,158‌

98‌

DraftKings,

Class

A (1)(3)

600‌

13‌

East

West

Bancorp 

653‌

56‌

Element

Solutions 

1,433‌

32‌

elf

Beauty (1)

1,162‌

34‌

Eli

Lilly 

4,011‌

984‌

Encore

Capital

Group (1)

754‌

49‌

Entegris 

522‌

63‌

EOG

Resources 

1,112‌

124‌

EQRx,

Warrants,

12/31/28 (1)

2,200‌

2‌

Equinix,

REIT 

176‌

128‌

Equitable

Holdings 

1,467‌

49‌

Equity

LifeStyle

Properties,

REIT 

394‌

31‌

Equity

Residential,

REIT 

4,576‌

406‌

Essex

Property

Trust,

REIT 

103‌

34‌

Estee

Lauder,

Class

A 

1,920‌

599‌

Etsy (1)

725‌

114‌

Eucrates

Biomedical

Acquisition (1)

9,800‌

96‌

Eucrates

Biomedical

Acquisition,

Warrants,

12/14/25 (1)

3,266‌

1‌

Euronet

Worldwide (1)

509‌

68‌

Exact

Sciences (1)

7,239‌

553‌

Exelixis (1)

1,258‌

23‌

Expedia

Group (1)

4,368‌

801‌

Fate

Therapeutics (1)

364‌

15‌

FedEx 

609‌

150‌

Fifth

Third

Bancorp 

1,811‌

81‌

Figs,

Class

A (1)

1,600‌

36‌

First

American

Financial 

302‌

23‌

Fiserv (1)

217‌

23‌

Five9 (1)

861‌

108‌

Floor

&

Decor

Holdings,

Class

A (1)

290‌

32‌

Fortive 

949‌

67‌

Freshpet (1)

3,012‌

280‌

Games

&

Esports

Experience

Acquisition (1)

72,400‌

728‌

General

Electric 

19,962‌

1,886‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

23

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Goldman

Sachs

Group 

252‌

89‌

Green

Visor

Financial

Technology

Acquisition

I,

Warrants,

5/8/23 (1)

24,900‌

11‌

Green

Visor

Financial

Technology

Acquisition

I,

Class

A (1)

49,800‌

493‌

Guardant

Health (1)

317‌

22‌

Hanover

Insurance

Group 

263‌

36‌

Hartford

Financial

Services

Group 

1,007‌

72‌

HashiCorp,

Class

A (1)

564‌

37‌

HCA

Healthcare 

314‌

75‌

Hess 

524‌

48‌

Hilton

Worldwide

Holdings (1)

559‌

81‌

Hologic (1)

911‌

64‌

Home

BancShares 

542‌

13‌

Home

Depot 

795‌

292‌

Honeywell

International 

377‌

77‌

Hubbell 

172‌

32‌

HubSpot (1)

1,419‌

694‌

Humana 

237‌

93‌

Huntington

Bancshares 

6,154‌

93‌

IHS

Markit 

7,752‌

905‌

Incyte (1)

777‌

58‌

Infinite

Acquisition (1)

74,909‌

749‌

Ingersoll

Rand 

2,445‌

137‌

Insmed (1)

758‌

17‌

Insulet (1)

106‌

26‌

Intellia

Therapeutics (1)

173‌

16‌

International

Paper 

1,155‌

56‌

Intuit 

251‌

139‌

Intuitive

Surgical (1)

1,563‌

444‌

Ionis

Pharmaceuticals (1)

868‌

28‌

JB

Hunt

Transport

Services 

326‌

63‌

JBG

SMITH

Properties,

REIT 

789‌

22‌

Kadant 

89‌

19‌

Kemper 

434‌

26‌

Keurig

Dr

Pepper 

1,237‌

47‌

Kilroy

Realty,

REIT 

141‌

9‌

KKR 

700‌

50‌

Kodiak

Sciences (1)

1,537‌

90‌

Leidos

Holdings 

622‌

56‌

Liberty

Media

Acquisition,

Class

A (1)

10,040‌

101‌

Liberty

Media

Acquisition,

Class

A,

Warrants,

12/31/27 (1)

2,008‌

3‌

Liberty

Media-Liberty

Formula

One,

Class

C (1)

8,771‌

528‌

Linde 

481‌

153‌

Littelfuse 

267‌

72‌

Live

Nation

Entertainment (1)

683‌

75‌

Lululemon

Athletica (1)

147‌

49‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

24

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Magnolia

Oil

&

Gas,

Class

A 

1,651‌

36‌

Marriott

International,

Class

A (1)

96‌

15‌

Marsh

&

McLennan 

353‌

54‌

Martin

Marietta

Materials 

82‌

32‌

Mastercard,

Class

A 

2,796‌

1,080‌

McDonald's 

461‌

120‌

McLaren

Technology

Acquisition,

Warrants,

3/3/23 (1)

24,800‌

8‌

McLaren

Technology

Acquisition,

Class

A (1)

49,600‌

491‌

Merck 

1,219‌

99‌

Meta

Platforms,

Class

A (1)

2,745‌

860‌

MetLife 

928‌

62‌

Mettler-Toledo

International (1)

20‌

29‌

MGM

Resorts

International 

1,015‌

43‌

Microsoft 

4,468‌

1,389‌

Middleby (1)

549‌

102‌

Mirati

Therapeutics (1)

273‌

33‌

Moderna (1)

352‌

60‌

Molina

Healthcare (1)

196‌

57‌

Mondelez

International,

Class

A 

1,263‌

85‌

MongoDB (1)

831‌

337‌

Monster

Beverage (1)

586‌

51‌

Monte

Rosa

Therapeutics (1)(3)

1,188‌

15‌

Morgan

Stanley 

744‌

76‌

Nabors

Energy

Transition (1)

50,400‌

510‌

nCino (1)

20‌

1‌

Netflix (1)

282‌

120‌

Neurocrine

Biosciences (1)

106‌

8‌

Nextdoor

Holdings (1)

323‌

2‌

NextEra

Energy 

310‌

24‌

NexTier

Oilfield

Solutions (1)

3,461‌

21‌

NIKE,

Class

B 

3,705‌

549‌

Norfolk

Southern 

610‌

166‌

NVIDIA 

1,976‌

484‌

Occidental

Petroleum 

6,500‌

245‌

Okta (1)

2,270‌

449‌

Olaplex

Holdings (1)

4,675‌

102‌

Old

Dominion

Freight

Line 

78‌

24‌

Ollie's

Bargain

Outlet

Holdings (1)

495‌

24‌

Onyx

Acquisition

I,

Warrants,

1/7/23 (1)

24,800‌

9‌

Onyx

Acquisition

I,

Class

A (1)

49,600‌

492‌

Opendoor

Technologies,

Class

A (1)

1,641‌

16‌

O'Reilly

Automotive (1)

87‌

57‌

Ortho

Clinical

Diagnostics

Holdings (1)

1,239‌

22‌

Outset

Medical (1)

280‌

10‌

PACCAR 

489‌

45‌

Pacific

Biosciences

of

California (1)

805‌

9‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

25

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Pacific

Premier

Bancorp 

742‌

28‌

Packaging

Corp.

of

America 

554‌

83‌

Patreon,

Acquisition

Date:

10/14/21,

Cost $9 (1)(5)(6)

165‌

9‌

Paycom

Software (1)

240‌

80‌

Paycor

HCM (1)(3)

1,335‌

35‌

Paylocity

Holding (1)

629‌

128‌

PayPal

Holdings (1)

286‌

49‌

Penumbra (1)

167‌

38‌

Pfizer 

3,550‌

187‌

Phreesia (1)

581‌

18‌

Pinnacle

Financial

Partners 

574‌

56‌

Pinterest,

Class

A (1)

207‌

6‌

Pioneer

Natural

Resources 

442‌

97‌

PNC

Financial

Services

Group 

303‌

62‌

Popular 

675‌

60‌

Power

&

Digital

Infrastructure

Acquisition

II (1)

73,800‌

742‌

PPG

Industries 

199‌

31‌

PRA

Group (1)

577‌

27‌

PROCEPT

BioRobotics (1)

888‌

16‌

Procter

&

Gamble 

833‌

134‌

Prologis,

REIT 

416‌

65‌

PROOF

Acquisition

I (1)

72,800‌

731‌

Quaker

Chemical 

501‌

105‌

Quanta

Services 

260‌

27‌

Rapid

Micro

Biosystems,

Class

A (1)

2,365‌

17‌

Raymond

James

Financial 

319‌

34‌

RCF

Acquisition (1)

49,700‌

498‌

RealReal (1)

1,376‌

13‌

Regency

Centers,

REIT 

158‌

11‌

Regeneron

Pharmaceuticals (1)

123‌

75‌

RenaissanceRe

Holdings 

306‌

48‌

Rent

the

Runway,

Class

A (1)

832‌

5‌

Rivian

Automotive,

Class

A (1)

7,789‌

512‌

ROBLOX,

Class

A (1)

5,188‌

342‌

Roper

Technologies 

275‌

120‌

RPM

International 

710‌

63‌

salesforce.com (1)

522‌

121‌

Sanderson

Farms 

28‌

5‌

Sandy

Spring

Bancorp 

306‌

14‌

SBA

Communications,

REIT 

609‌

198‌

Sculptor

Acquisition

I (1)

72,241‌

722‌

Seacoast

Banking 

1,154‌

42‌

Seagen (1)

323‌

43‌

Sealed

Air 

1,407‌

96‌

Seaport

Global

Acquisition

II (1)

49,251‌

493‌

Seer (1)(3)

1,983‌

31‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

26

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Selective

Insurance

Group 

443‌

35‌

Sempra

Energy 

840‌

116‌

ServiceNow (1)

1,245‌

729‌

Sherwin-Williams 

331‌

95‌

Shoals

Technologies

Group,

Class

A (1)

1,164‌

20‌

Shockwave

Medical (1)

294‌

43‌

Signature

Bank 

2,754‌

839‌

SilverBox

Engaged

Merger

I,

Warrants,

12/31/27 (1)

2,221‌

3‌

SilverBox

Engaged

Merger

I,

Class

A (1)

6,663‌

66‌

Simon

Property

Group,

REIT 

163‌

24‌

SL

Green

Realty,

REIT 

262‌

19‌

Snap,

Class

A (1)

3,436‌

112‌

Snowflake,

Class

A (1)

520‌

143‌

Socure,

Acquisition

Date:

12/22/21,

Cost $1 (1)(5)(6)

89‌

1‌

Starbucks 

902‌

89‌

State

Street 

998‌

94‌

Stericycle (1)

1,251‌

73‌

Stoneridge (1)

785‌

15‌

Stryker 

502‌

125‌

Sun

Country

Airlines

Holdings (1)

1,405‌

37‌

Sunstone

Hotel

Investors,

REIT (1)

1,763‌

20‌

Sweetgreen,

Class

A (1)(3)

2,308‌

70‌

Synopsys (1)

351‌

109‌

T-Mobile

U.S. (1)

7,372‌

797‌

Teleflex 

134‌

42‌

Terreno

Realty,

REIT 

340‌

25‌

Tesla (1)

827‌

775‌

Textron 

1,009‌

69‌

Thermo

Fisher

Scientific 

421‌

245‌

Thermon

Group

Holdings (1)

1,609‌

28‌

Timken 

325‌

22‌

Toast,

Class

A (1)

2,053‌

47‌

Trade

Desk,

Class

A (1)

550‌

38‌

Trinity

Capital 

886‌

15‌

Twilio,

Class

A (1)

829‌

171‌

UiPath,

Class

A (1)

5,080‌

186‌

Ultragenyx

Pharmaceutical (1)

2,130‌

149‌

United

Parcel

Service,

Class

B 

1,122‌

227‌

UnitedHealth

Group 

3,974‌

1,878‌

UTA

Acquisition (1)

48,300‌

480‌

Veeva

Systems,

Class

A (1)

248‌

59‌

Velocity

Acquisition,

Warrants,

2/26/27 (1)

8,054‌

4‌

Velocity

Acquisition,

Class

A (1)

24,163‌

234‌

VeriSign (1)

287‌

62‌

Vertex

Pharmaceuticals (1)

410‌

100‌

Virtus

Investment

Partners 

120‌

31‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

27

Shares/Par

$

Value

(Cost

and

value

in

$000s)

VMG

Consumer

Acquisition (1)

49,232‌

495‌

Voya

Financial 

653‌

44‌

Vulcan

Materials 

168‌

32‌

Walt

Disney (1)

584‌

83‌

Warby

Parker,

Class

A (1)

710‌

26‌

Warner

Music

Group,

Class

A 

727‌

31‌

Wayfair,

Class

A (1)(3)

100‌

16‌

Webster

Financial 

753‌

43‌

Wells

Fargo 

3,236‌

174‌

Welltower,

REIT 

532‌

46‌

West

Pharmaceutical

Services 

244‌

96‌

Western

Alliance

Bancorp 

7,455‌

739‌

Westrock 

533‌

25‌

Wingstop 

220‌

34‌

Xcel

Energy 

443‌

31‌

Xometry,

Class

A (1)(3)

680‌

35‌

Zentalis

Pharmaceuticals (1)

610‌

35‌

Zoom

Video

Communications,

Class

A (1)

2,389‌

369‌

62,456‌

Convertible

Bonds

0.3%

Air

Transport

Services

Group,

1.125%,

10/15/24 

455,000‌

490‌

Apellis

Pharmaceuticals,

3.50%,

9/15/26 

145,000‌

199‌

DISH

Network,

3.375%,

8/15/26 

97,000‌

90‌

Liberty

Broadband,

2.75%,

9/30/50 (2)

45,000‌

46‌

Radius

Health,

3.00%,

9/1/24 

375,000‌

363‌

1,188‌

Convertible

Preferred

Stocks

0.8%

ABL

Space

Systems,

Series

B-2,

Acquisition

Date:

10/22/21,

Cost $91 (1)(5)(6)

1,345‌

91‌

American

Electric

Power,

6.125%,

8/15/23 

4,356‌

232‌

Becton

Dickinson

&

Company,

Series

B,

6.00%,

6/1/23 (3)

9,719‌

509‌

Canva,

Series

A,

Acquisition

Date:

11/4/21

-

12/17/21,

Cost $13 (1)(5)(6)

8‌

14‌

Canva,

Series

A-3,

Acquisition

Date:

12/17/21,

Cost $2 (1)(5)(6)

1‌

2‌

CELLINK,

Series

D,

Acquisition

Date:

1/20/22,

Cost $9 (1)(5)(6)

423‌

9‌

Coalition,

Series

E,

Acquisition

Date:

9/7/21,

Cost $23 (1)(5)(6)

1,376‌

23‌

Databricks,

Series

H,

Acquisition

Date:

8/31/21,

Cost $60 (1)(5)

(6)

272‌

60‌

Dominion

Energy,

Series

A,

7.25%,

6/1/22 

1,784‌

180‌

DTE

Energy,

6.25%,

11/1/22 

5,355‌

274‌

Eikon

Therapeutics,

Series

B,

Acquisition

Date:

12/3/21,

Cost $6 (1)(5)(6)

330‌

6‌

Epirus,

Series

C-2,

Acquisition

Date:

1/28/22,

Cost $11 (1)(5)(6)

1,889‌

11‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

28

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Formagrid,

Series

F,

Acquisition

Date:

12/8/21,

Cost $42 (1)(5)

(6)

222‌

42‌

Freenome

Holdings,

Series

D,

Acquisition

Date:

11/22/21,

Cost $26 (1)(5)(6)

3,412‌

26‌

Generate

Bio,

Series

B,

Acquisition

Date:

9/2/21,

Cost $8 (1)(5)

(6)

666‌

8‌

Kobold

Metals,

Series

B-1,

Acquisition

Date:

1/10/22,

Cost $11 (1)(5)(6)

384‌

11‌

Laronde,

Series

B,

Acquisition

Date:

7/28/21,

Cost $5 (1)(5)(6)

162‌

5‌

Lilac

Solutions,

Series

B,

Acquisition

Date:

9/8/21,

Cost $15 (1)

(5)(6)

1,156‌

15‌

NextEra

Energy,

5.279%,

3/1/23 

1,569‌

79‌

Nuro,

Series

D,

Acquisition

Date:

10/29/21,

Cost $26 (1)(5)(6)

1,232‌

26‌

Patreon,

Series

D,

Acquisition

Date:

10/21/21,

Cost $13 (1)(5)(6)

238‌

13‌

Rappi,

Series

E,

Acquisition

Date:

9/8/20,

Cost $109 (1)(5)(6)

1,822‌

103‌

Rappi,

Series

F,

Acquisition

Date:

7/8/21,

Cost $34 (1)(5)(6)

534‌

30‌

RBC

Bearings,

Series

A,

5.00%,

10/15/24 

3,630‌

348‌

Socure,

Series

A,

Acquisition

Date:

12/22/21,

Cost $2 (1)(5)(6)

109‌

2‌

Socure,

Series

A-1,

Acquisition

Date:

12/22/21,

Cost $1 (1)(5)(6)

89‌

1‌

Socure,

Series

B,

Acquisition

Date:

12/22/21,

Cost $— (1)(5)(6)

2‌

—‌

Socure,

Series

E,

Acquisition

Date:

10/27/21,

Cost $3 (1)(5)(6)

207‌

3‌

Southern,

Series

2019,

6.75%,

8/1/22 

6,710‌

358‌

Spire,

Series

A,

7.50%,

3/1/24 

7,797‌

390‌

UGI,

7.25%,

6/1/24 

3,962‌

413‌

3,284‌

Corporate

Bonds

7.4%

AdaptHealth,

5.125%,

3/1/30 (2)

220,000‌

216‌

Altera

Infrastructure,

8.50%,

7/15/23 (2)

170,000‌

90‌

American

Airlines,

5.50%,

4/20/26 (2)

500,000‌

511‌

American

Airlines,

5.75%,

4/20/29 (2)

280,000‌

287‌

American

Airlines,

11.75%,

7/15/25 (2)

240,000‌

291‌

Ardagh

Packaging

Finance,

5.25%,

4/30/25 (2)

2,400,000‌

2,445‌

Bausch

Health,

6.125%,

4/15/25 (2)

2,136,000‌

2,173‌

Bausch

Health

Americas,

9.25%,

4/1/26 (2)

800,000‌

826‌

Calpine,

3.75%,

3/1/31 (2)

915,000‌

830‌

Cano

Health,

6.25%,

10/1/28 (2)

200,000‌

192‌

Carnival,

6.00%,

5/1/29 (2)

410,000‌

391‌

CD&R

Smokey

Buyer,

6.75%,

7/15/25 (2)

170,000‌

176‌

Change

Healthcare

Holdings,

5.75%,

3/1/25 (2)

2,400,000‌

2,406‌

DISH

DBS,

5.125%,

6/1/29 

795,000‌

694‌

Exterran

Energy

Solutions,

8.125%,

5/1/25 

375,000‌

374‌

Forterra

Finance,

6.50%,

7/15/25 (2)

800,000‌

835‌

FXI

Holdings,

12.25%,

11/15/26 (2)

800,000‌

874‌

Global

Net

Lease,

3.75%,

12/15/27 (2)

800,000‌

768‌

GPD,

10.125%,

4/1/26 (2)

450,000‌

475‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

29

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Hightower

Holding,

6.75%,

4/15/29 (2)

245,000‌

247‌

Home

Point

Capital,

5.00%,

2/1/26 (2)(3)

285,000‌

246‌

Jane

Street

Group,

4.50%,

11/15/29 (2)

520,000‌

508‌

LCPR

Senior

Secured

Financing,

5.125%,

7/15/29 (2)

430,000‌

421‌

LSF9

Atlantis

Holdings,

7.75%,

2/15/26 (2)

290,000‌

278‌

Mozart

Debt

Merger,

5.25%,

10/1/29 (2)

405,000‌

393‌

NGL

Energy

Operating,

7.50%,

2/1/26 (2)

415,000‌

418‌

NGL

Energy

Partners,

7.50%,

11/1/23 

35,000‌

34‌

Option

Care

Health,

4.375%,

10/31/29 (2)

815,000‌

795‌

Pacific

Gas

&

Electric,

4.95%,

7/1/50 

155,000‌

158‌

Papa

John's

International,

3.875%,

9/15/29 (2)

405,000‌

386‌

PetSmart,

7.75%,

2/15/29 (2)

500,000‌

536‌

PG&E,

5.00%,

7/1/28 

40,000‌

40‌

Photo

Holdings

Merger

Sub,

8.50%,

10/1/26 (2)

530,000‌

531‌

Plantronics,

4.75%,

3/1/29 (2)(3)

650,000‌

588‌

PRA

Group,

7.375%,

9/1/25 (2)

395,000‌

417‌

Rivian

Holdings,

FRN,

6M

USD

LIBOR

+

5.625%,

6.625%,

10/15/26 (2)(5)

810,000‌

821‌

Scientific

Games

International,

8.25%,

3/15/26 (2)

400,000‌

417‌

Service

Properties

Trust,

4.65%,

3/15/24 (3)

300,000‌

292‌

Service

Properties

Trust,

7.50%,

9/15/25 

600,000‌

630‌

Southwestern

Energy,

4.75%,

2/1/32 

355,000‌

354‌

Tenneco,

5.125%,

4/15/29 (2)

405,000‌

378‌

Transocean

Phoenix

2,

7.75%,

10/15/24 (2)

55,000‌

55‌

Transocean

Pontus,

6.125%,

8/1/25 (2)

26,800‌

26‌

Transocean

Proteus,

6.25%,

12/1/24 (2)

212,500‌

210‌

Tronox,

6.50%,

5/1/25 (2)

600,000‌

621‌

Tutor

Perini,

6.875%,

5/1/25 (2)(3)

500,000‌

494‌

U.S.

Airways

PTT,

Series

2013-1,

Class

A,

3.95%,

11/15/25 

53,509‌

53‌

UAL

PTT,

Series

2007-1,

6.636%,

7/2/22 

219,619‌

224‌

United

Airlines,

4.375%,

4/15/26 (2)

600,000‌

594‌

United

Airlines,

4.625%,

4/15/29 (2)

150,000‌

149‌

Verizon

Communications,

3.55%,

3/22/51 

150,000‌

151‌

Verscend

Escrow,

EC,

9.75%,

8/15/26 (2)

1,000,000‌

1,050‌

Vistra,

VR,

7.00% (2)(8)(10)

115,000‌

114‌

Vistra,

VR,

8.00% (2)(8)(10)

205,000‌

215‌

Welbilt,

9.50%,

2/15/24 (3)

800,000‌

803‌

WeWork,

7.875%,

5/1/25 (2)

235,000‌

217‌

28,718‌

Equity

Mutual

Funds

0.7%

Invesco

Senior

Loan

ETF (3)

125,000‌

2,747‌

2,747‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

30

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Municipal

Securities

0.6%

Colorado

HFA,

Covenant

Living

Community,

Series

B,

4.48%,

12/1/40 

250,000‌

269‌

Illinois,

Build

America,

GO,

7.10%,

7/1/35 

165,000‌

209‌

Michigan

Tobacco

Settlement

Fin.

Auth.,

Series

B,

Zero

Coupon,

6/1/46 

30,000‌

4‌

Port

Beaumont

Navigation

Dist.,

Jefferson

Gulf

Coast,

Series

B,

6.00%,

1/1/25 (2)

225,000‌

232‌

Puerto

Rico

Commonwealth,

Public

Improvement,

Series

A,

GO,

5.25%,

7/1/37 (1)(11)

240,000‌

242‌

Puerto

Rico

Commonwealth,

Public

Improvement,

Series

A-PSA,

GO,

8.00%,

7/1/35 (1)(11)

225,000‌

203‌

Puerto

Rico

Commonwealth,

Public

Improvement,

Series

C,

GO,

6.00%,

7/1/39 (1)(11)

340,000‌

340‌

Puerto

Rico

Commonwealth,

Public

Improvement,

Series

E,

GO,

5.50%,

7/1/31 (1)(11)

215,000‌

215‌

Puerto

Rico

Commonwealth,

Public

Improvement,

Unrefunded

Balance,

Series

A,

GO,

5.125%,

7/1/31 (1)(11)

105,000‌

105‌

Tobacco

Settlement

Fin.,

Series

A-1,

6.706%,

6/1/46 

290,000‌

301‌

Tobacco

Settlement

Fin.

Auth.,

Series

B,

4.875%,

6/1/49 

115,000‌

119‌

Tobacco

Settlement

Fin.

Auth.,

Series

B,

Zero

Coupon,

6/1/47 

500,000‌

53‌

2,292‌

Non-U.S.

Government

Mortgage-Backed

Securities

1.5%

BAMLL

Commercial

Mortgage

Securities

Trust,

Series

2021-

JACX,

Class

D,

ARM,

1M

USD

LIBOR

+

2.75%,

2.856%,

9/15/38 (2)

515,000‌

515‌

BAMLL

Commercial

Mortgage

Securities

Trust,

Series

2021-

JACX,

Class

E,

ARM,

1M

USD

LIBOR

+

3.75%,

3.856%,

9/15/38 (2)

100,000‌

100‌

BBCMS

Mortgage

Trust,

Series

2019-BWAY,

Class

E,

ARM,

1M

USD

LIBOR

+

2.85%,

2.956%,

11/15/34 (2)

130,000‌

123‌

BFLD,

Series

2019-DPLO,

Class

F,

ARM,

1M

USD

LIBOR

+

2.54%,

2.646%,

10/15/34 (2)

85,000‌

82‌

BPR

Trust,

Series

2021-NRD,

Class

E,

ARM,

SOFR30A

+

5.621%,

5.671%,

12/15/23 (2)

175,000‌

175‌

BX

Commercial

Mortgage

Trust,

Series

2019-IMC,

Class

E,

ARM,

1M

USD

LIBOR

+

2.15%,

2.256%,

4/15/34 (2)

160,000‌

158‌

BX

Trust,

Series

2021-VIEW,

Class

F,

ARM,

1M

USD

LIBOR

+

3.93%,

4.036%,

6/15/23 (2)

160,000‌

160‌

CAFL,

Series

2021-RTL1,

Class

A2,

CMO,

STEP,

3.104%,

3/28/29 (2)

830,000‌

809‌

Cantor

Commercial

Real

Estate

Lending,

Series

2019-CF1,

Class

65C,

ARM,

4.123%,

5/15/52 (2)

125,000‌

120‌

Cantor

Commercial

Real

Estate

Lending,

Series

2019-CF1,

Class

65D,

ARM,

4.66%,

5/15/52 (2)

80,000‌

71‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

31

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Commercial

Mortgage

Trust,

Series

2014-CR19,

Class

E,

ARM,

4.203%,

8/10/47 (2)

175,000‌

161‌

Connecticut

Avenue

Securities,

Series

2022-R01,

Class

1B1,

CMO,

ARM,

SOFR30A

+

3.15%,

3.20%,

12/25/41 (2)

480,000‌

476‌

Credit

Suisse

Mortgage

Trust,

Series

2020-TMIC,

Class

C,

ARM,

1M

USD

LIBOR

+

6.75%,

7.00%,

12/15/35 (2)

100,000‌

102‌

Deephaven

Residential

Mortgage

Trust,

Series

2021-2,

Class

B1,

CMO,

ARM,

3.174%,

4/25/66 (2)

135,000‌

132‌

Ellington

Financial

Mortgage

Trust,

Series

2021-2,

Class

B1,

CMO,

ARM,

3.202%,

6/25/66 (2)

265,000‌

257‌

Great

Wolf

Trust,

Series

2019-WOLF,

Class

F,

ARM,

1M

USD

LIBOR

+

3.131%,

3.237%,

12/15/36 (2)

180,000‌

173‌

SLIDE,

Series

2018-FUN,

Class

E,

ARM,

1M

USD

LIBOR

+

2.55%,

2.656%,

6/15/31 (2)

998,181‌

968‌

ZH

Trust,

Series

2021-2,

Class

A,

CMO,

2.349%,

10/17/27 (2)

805,000‌

792‌

ZH

Trust,

Series

2021-2,

Class

B,

CMO,

3.506%,

10/17/27 (2)

390,000‌

370‌

5,744‌

U.S.

Government

Agency

Obligations

(Excluding

Mortgage-Backed)

3.0%

U.S.

Treasury

Bonds,

1.875%,

11/15/51 

2,915,000‌

2,764‌

U.S.

Treasury

Bonds,

7.25%,

8/15/22 

4,250,000‌

4,398‌

U.S.

Treasury

Notes,

1.625%,

11/15/22 

4,490,000‌

4,522‌

11,684‌

Total

United

States

(Cost

$173,033

)

171,454‌

SHORT-TERM

INVESTMENTS

26.0%

Money

Market

Funds

26.0%

T.

Rowe

Price

Government

Reserve

Fund,

0.09% (12)(13)

100,813,954‌

100,814‌

Total

Short-Term

Investments

(Cost

$100,814)

100,814‌

SECURITIES

LENDING

COLLATERAL

1.9%

INVESTMENTS

IN

A

POOLED

ACCOUNT

THROUGH

SECURITIES

LENDING

PROGRAM

WITH

JPMORGAN

CHASE

BANK

0.3%

Money

Market

Funds

0.3%

T.

Rowe

Price

Government

Reserve

Fund,

0.09% (12)(13)

1,143,836‌

1,144‌

Total

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

JPMorgan

Chase

Bank

1,144‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

32

Shares/Par

$

Value

(Cost

and

value

in

$000s)

INVESTMENTS

IN

A

POOLED

ACCOUNT

THROUGH

SECURITIES

LENDING

PROGRAM

WITH

STATE

STREET

BANK

AND

TRUST

COMPANY

1.6%

Money

Market

Funds

1.6%

T.

Rowe

Price

Government

Reserve

Fund,

0.09% (12)(13)

6,090,485‌

6,090‌

Total

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

State

Street

Bank

and

Trust

Company

6,090‌

Total

Securities

Lending

Collateral

(Cost

$7,234)

7,234‌

(Amounts

in

000s,

except

for

contracts)

OPTIONS

PURCHASED

0.2%

Exchange-Traded

Options

Purchased

0

.1

%

Description

Contracts

Notional

Amount

$

Value

Cloudflare,

Put,

4/14/22

@

$65.00 (1)

167‌

1,610‌

41‌

GameStop,

Put,

4/14/22

@

$70.00 (1)

75‌

817‌

47‌

GameStop,

Put,

5/20/22

@

$55.00 (1)

97‌

1,057‌

47‌

iShares

5-10

Year

Investment

Grade

Corporate

Bond

ETF,

Put,

7/15/22

@

$54.87 (1)

2,087‌

12,067‌

84‌

NVIDIA,

Put,

4/14/22

@

$170.00 (1)

156‌

3,820‌

40‌

U.S.

Treasury

10-Year

Notes

Futures,

Call,

2/18/22

@

$130.00 (1)

36‌

4,607‌

2‌

U.S.

Treasury

Long-Term

Bonds

Futures,

Call,

2/18/22

@

$158.00 (1)

43‌

6,692‌

21‌

Total

Exchange-Traded

Options

Purchased

(Cost

$563)

282‌

OTC

Options

Purchased

0

.1

%

Counterparty

Description

Contracts

Notional

Amount

$

Value

Bank

of

America

5

Year

Interest

Rate

Swap,

11/17/27

Pay

Fixed

2.00%

Semi-

Annually,

Receive

Variable

0.309%

(3M

USD

LIBOR)

Quarterly,

11/15/22

@

2.00%* (1)

1‌

6,175‌

70‌

Citibank

10

Year

Interest

Rate

Swap,

8/8/32

Pay

Fixed

2.00%

Semi-

Annually,

Receive

Variable

0.309%

(3M

USD

LIBOR)

Quarterly,

8/4/22

@

2.00%* (1)

1‌

5,500‌

103‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

33

(Amounts

in

000s,

except

for

contracts)

Counterparty

Description

Contracts

Notional

Amount

$

Value

Credit

Suisse

Credit

Default

Swap,

Protection

Bought

(Relevant

Credit:

Markit

CDX.

NA.IG-S37,

5

Year

Index,

12/20/26),

Pay

1.00%

Quarterly,

Received

upon

credit

default,

4/20/22

@

0.80%* (1)

1‌

5,450‌

9‌

Credit

Suisse

Credit

Default

Swap,

Protection

Bought

(Relevant

Credit:

Markit

CDX.

NA.IG-S37,

5

Year

Index,

12/20/26),

Pay

1.00%

Quarterly,

Received

upon

credit

default,

5/18/22

@

0.90%* (1)

1‌

5,450‌

9‌

HSBC

Bank

USD

Call

/

KRW

Put,

5/2/22

@

1,225.00

(KRW) (1)

1‌

2,070‌

19‌

JPMorgan

Chase

iShares

iBoxx

High

Yield

Corporate

Bond

ETF,

Put,

4/14/22

@

$81.00 (1)

380‌

3,219‌

36‌

Morgan

Stanley

30

Year

Interest

Rate

Swap,

11/16/52

Pay

Fixed

2.20%

Semi-

Annually,

Receive

Variable

0.309%

(3M

USD

LIBOR)

Quarterly,

11/14/22

@

2.20%* (1)

2‌

1,995‌

80‌

Morgan

Stanley

30

Year

Interest

Rate

Swap,

11/17/52

Pay

Fixed

2.20%

Semi-

Annually,

Receive

Variable

0.309%

(3M

USD

LIBOR)

Quarterly,

11/15/22

@

2.20%* (1)

1‌

725‌

29‌

Morgan

Stanley

NASDAQ

100

Index,

Call,

2/18/22

@

$16,475.00 (1)

5‌

7,465‌

3‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

34

(Amounts

in

000s,

except

for

contracts)

Counterparty

Description

Contracts

Notional

Amount

$

Value

Morgan

Stanley

NASDAQ

100

Index,

Put,

6/17/22

@

$12,400.00 (1)

1‌

1,493‌

31‌

Morgan

Stanley

NASDAQ

100

Index,

Put,

6/17/22

@

$13,000.00 (1)

2‌

2,986‌

72‌

Morgan

Stanley

NASDAQ

100

Index,

Put,

6/17/22

@

$14,600.00 (1)

1‌

1,493‌

83‌

Morgan

Stanley

Russell

2000

Index,

Put,

2/28/22

@

$1,900.00 (1)

15‌

3,043‌

42‌

Total

OTC

Options

Purchased

(Cost

$612)

586‌

Total

Options

Purchased

(Cost

$1,175)

868‌

Total

Investments

in

Securities

95.1%

(Cost

$378,238)

$

369,395‌

Other

Assets

Less

Liabilities

4.9%

19,037

Net

Assets

100.0%

$

388,432‌

‡

Country

classifications

are

generally

based

on

MSCI

categories

or

another

unaffiliated

third

party

data

provider;

Shares/Par

and

Notional

Amount

are

denominated

in

the

currency

of

the

country

presented

unless

otherwise

noted.

*

Exercise

Spread

(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

$42,933

and

represents

11.1%

of

net

assets.

(3)

All

or

a

portion

of

this

security

is

on

loan

at

January

31,

2022.

(4)

Bank

loan

positions

may

involve

multiple

underlying

tranches.

In

those

instances,

the

position

presented

reflects

the

aggregate

of

those

respective

underlying

tranches

and

the

rate

presented

reflects

the

weighted

average

rate

of

the

settled

positions.

(5)

Level

3

in

fair

value

hierarchy.

(6)

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

$763

and

represents

0.2%

of

net

assets.

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

35

.

.

.

.

.

.

.

.

.

.

(7)

All

or

a

portion

of

this

loan

is

unsettled

as

of

January

31,

2022.

The

interest

rate

for

unsettled

loans

will

be

determined

upon

settlement

after

period

end.

(8)

Security

is

a

fix-to-float

security,

which

carries

a

fixed

coupon

until

a

certain

date,

upon

which

it

switches

to

a

floating

rate.

Reference

rate

and

spread

are

provided

if

the

rate

is

currently

floating.

(9)

Security

is

in

default

or

has

failed

to

make

a

scheduled

interest

and/or

principal

payment.

(10)

Perpetual

security

with

no

stated

maturity

date.

(11)

Issuer

is

currently

in

a

bankruptcy

reorganization

proceeding;

the

amount

and

timing

of

future

distributions

is

uncertain.

(12)

Seven-day

yield

(13)

Affiliated

Companies

1M

CAD

CDOR

One

month

CAD

CDOR

(Canadian

Dollar

offered

rate)

1M

CHF

LIBOR

One

month

CHF

LIBOR

(London

interbank

offered

rate)

1M

CNH

HIBOR

One

month

CNH

HIBOR

(Hong

Kong

interbank

offered

rate)

1M

DKK

CIBOR

One

month

DKK

CIBOR

(Copenhagen

interbank

offered

rate)

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

NDBB

One

month

NZD

bank

bill

1M

NOK

NIBOR

One

month

NOK

NIBOR

(Norwegian

interbank

offered

rate)

1M

SEK

STIBOR

One

month

SEK

STIBOR

(Stockholm

interbank

offered

rate)

1M

USD

LIBOR

One

month

USD

LIBOR

(London

interbank

offered

rate)

3M

CAD

CDOR

Three

month

CAD

CDOR

(Canadian

Dollar

offered

rate)

3M

EURIBOR

Three

month

EURIBOR

(Euro

interbank

offered

rate)

3M

HKD

HIBOR

Three

month

HKD

HIBOR

(Hong

Kong

interbank

offered

rate)

3M

KWCDC

Three

month

KRW

certificate

of

deposit

3M

USD

LIBOR

Three

month

USD

LIBOR

(London

interbank

offered

rate)

6M

BBSW

Six

month

AUD

bank

bill

swap

rate

6M

PLN

WIBOR

Six

month

PLN

WIBOR

(Warsaw

interbank

offered

rate)

6M

USD

LIBOR

Six

month

USD

LIBOR

(London

interbank

offered

rate)

1M

ADBB

One

month

AUD

bank

bill

ADR

American

Depositary

Receipts

ARM

Adjustable

Rate

Mortgage

(ARM);

rate

shown

is

effective

rate

at

period-end.

The

rates

for

certain

ARMs

are

not

based

on

a

published

reference

rate

and

spread

but

may

be

determined

using

a

formula

based

on

the

rates

of

the

underlying

loans. 

AUD

Australian

Dollar

BRL

Brazilian

Real

BRL

CDI

One

day

Brazilian

interbank

deposit

rate

CAD

Canadian

Dollar

CHF

Swiss

Franc

CLO

Collateralized

Loan

Obligation

CLP

Chilean

Peso

CMO

Collateralized

Mortgage

Obligation

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

36

.

.

.

.

.

.

.

.

.

.

CNH

Offshore

China

Renminbi

COP

Colombian

Peso

CPI

Consumer

Price

Index

CVA

Dutch

Certificate

(Certificaten

Van

Aandelen)

CZK

Czech

Koruna

EC

Escrow

CUSIP;

represents

a

beneficial

interest

in

a

residual

pool

of

assets;

the

amount

and

timing

of

future

distributions,

if

any,

is

uncertain;

when

presented,

interest

rate

and

maturity

date

are

those

of

the

original

security.

EGP

Egyptian

Pound

ESTR

Euro

short-term

rate

ETF

Exchange-Traded

Fund

EUR

Euro

FRN

Floating

Rate

Note

GBP

British

Pound

GBP

SONIA

Sterling

Overnight

Index

Average

GO

General

Obligation

HFA

Health

Facility

Authority

HKD

Hong

Kong

Dollar

HUF

Hungarian

Forint

IDR

Indonesian

Rupiah

ILS

Israeli

Shekel

INR

Indian

Rupee

JPY

Japanese

Yen

KRW

South

Korean

Won

MXIBTIIE

Mexican

Interbank

28

day

interest

rate

MXN

Mexican

Peso

MYR

Malaysian

Ringgit

NOK

Norwegian

Krone

NZD

New

Zealand

Dollar

OTC

Over-the-counter

PHP

Philippines

Peso

PLN

Polish

Zloty

PRIME

Prime

rate

PTT

Pass-Through

Trust

REIT

A

domestic

Real

Estate

Investment

Trust

whose

distributions

pass-through

with

original

tax

character

to

the

shareholder

RSD

Serbian

Dinar

RUB

Russian

Ruble

SEK

Swedish

Krona

SOFR

Secured

overnight

financing

rate

SOFR30A

30-day

Average

SOFR

(Secured

overnight

financing

rate)

STEP

Stepped

coupon

bond

for

which

the

coupon

rate

of

interest

adjusts

on

specified

date(s);

rate

shown

is

effective

rate

at

period-end.

THB

Thai

Baht

TONA

Tokyo

overnight

average

rate

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

37

.

.

.

.

.

.

.

.

.

.

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

38

(Amounts

in

000s,

except

for

contracts)

OPTIONS

WRITTEN

(0.8)%

Exchange-Traded

Options

Written

(0.7)%

Description

Contracts

Notional

Amount

$

Value

iShares

iBoxx

High

Yield

Corporate

Bond

ETF,

Put,

2/18/22

@

$85.00

2,676

22,666

(

293‌

)

S&P

500

Index,

Call,

3/18/22

@

$4,450.00

134

60,508

(

2,205‌

)

U.S.

Treasury

Long-Term

Bonds

Futures,

Call,

2/18/22

@

$162.00

52

8,093

(

4‌

)

U.S.

Treasury

Long-Term

Bonds

Futures,

Put,

2/18/22

@

$162.00

52

8,093

(

336‌

)

Total

Exchange-Traded

Options

Written

(Premiums

$(2,356))

$

(

2,838‌

)

OTC

Options

Written

(0.1)%

Counterparty

Description

Contracts

Notional

Amount

$

Value

Barclays

Bank

NASDAQ

100

Index,

Put,

6/17/22

@

$16,000.00

1

1,493

(

150‌

)

Morgan

Stanley

S&P

500

Index,

Put,

6/17/22

@

$4,700.00

1

452

(

32‌

)

Total

OTC

Options

Written

(Premiums

$(127))

$

(

182‌

)

Total

Options

Written

(Premiums

$(2,483))

$

(

3,020‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

39

(Amounts

in

000s)

SWAPS

0.4%

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)

**

Unrealized

$

Gain/(Loss)

BILATERAL

SWAPS

0.4%

Credit

Default

Swaps,

Protection

Bought

0.1%

France

(0.0)%

BNP

Paribas,

Protection

Bought

(Relevant

Credit:

Sanofi),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

6/20/26

190

(8)

(8)

—‌

Total

France

(8)

—‌

United

States

0.1%

Bank

of

America,

Protection

Bought

(Relevant

Credit:

Markit

CDX.NA.HY-S37,

5

Year

Index),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/20/26

250

(33)

(30)

(

3‌

)

Bank

of

America,

Protection

Bought

(Relevant

Credit:

Markit

CDX.NA.HY-S37,

5

Year

Index),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/21/26

1,675

(224)

(236)

12‌

BNP

Paribas,

Protection

Bought

(Relevant

Credit:

Netflix),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/20/26

50

(10)

(10)

—‌

Citibank,

Protection

Bought

(Relevant

Credit:

Netflix),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/20/26

30

30

(6)

36‌

Goldman

Sachs,

Protection

Bought

(Relevant

Credit:

Markit

CMBX.

NA.BBB-S14,

50

Year

Index),

Pay

3.00%

Monthly,

Receive

upon

credit

default,

12/16/72

1,000

67

48

19‌

JPMorgan

Chase,

Protection

Bought

(Relevant

Credit:

Markit

CDX.NA.HY-S37,

5

Year

Index),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/20/26

300

298

(39)

337‌

Morgan

Stanley,

Protection

Bought

(Relevant

Credit:

Markit

CMBX.

NA.BBB-S14,

50

Year

Index),

Pay

3.00%

Monthly,

Receive

upon

credit

default,

12/16/72

2,500

167

87

80‌

Total

United

States

(186)

481‌

Total

Bilateral

Credit

Default

Swaps,

Protection

Bought

(194)

481‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

40

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Credit

Default

Swaps,

Protection

Sold

0.0%

Luxembourg

0.0%

JPMorgan

Chase,

Protection

Sold

(Relevant

Credit:

ArcelorMittal,

Baa3*),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

12/20/25

345

58

63

(

5‌

)

Total

Luxembourg

63

(

5‌

)

Total

Bilateral

Credit

Default

Swaps,

Protection

Sold

63

(

5‌

)

Total

Return

Swaps

0.3%

Australia

(0.1)%

Morgan

Stanley,

Pay

Underlying

Reference:

Westpac

Banking

Monthly,

Receive

Variable

(0.389)%

(1M

ADBB

+

(0.40)%)

Monthly,

1/17/24

3,985

146

—

146‌

Morgan

Stanley,

Receive

Underlying

Reference:

ALS

Monthly,

Pay

Variable

0.561%

(1M

ADBB

+

0.55%)

Monthly,

1/17/24

155

(10)

—

(

10‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Australia

&

New

Zealand

Banking

Group

Monthly,

Pay

Variable

0.561%

(1M

ADBB

+

0.55%)

Monthly,

1/17/24

3,007

(164)

—

(

164‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

IGO

Monthly,

Pay

Variable

0.561%

(1M

ADBB

+

0.55%)

Monthly,

1/17/24

583

(37)

—

(

37‌

)

UBS

Investment

Bank,

Receive

Underlying

Reference:

ALS

Monthly,

Pay

Variable

0.414%

(1M

ADBB

+

0.40%)

Monthly,

1/17/24

486

(33)

—

(

33‌

)

UBS

Investment

Bank,

Receive

Underlying

Reference:

Challenger

Monthly,

Pay

Variable

0.414%

(1M

ADBB

+

0.40%)

Monthly,

1/17/24

466

(41)

—

(

41‌

)

Total

Australia

—

(

139‌

)

Austria

(0.0)%

Citibank,

Receive

Underlying

Reference:

BAWAG

Group

Monthly,

Pay

Variable

(0.177)%

(1M

EURIBOR

+

0.40%)

Monthly,

1/17/24

336

(4)

—

(

4‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

41

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

UBS

Investment

Bank,

Receive

Underlying

Reference:

BAWAG

Group

Monthly,

Pay

Variable

(0.227)%

(1M

EURIBOR

+

0.35%)

Monthly,

1/17/24

270

(4)

—

(

4‌

)

Total

Austria

—

(

8‌

)

Bermuda

(0.0)%

Morgan

Stanley,

Pay

Underlying

Reference:

Signet

Jewelers

Monthly,

Receive

Variable

(0.160)%

(SOFR

+

(0.20)%)

Monthly,

1/18/24

286

(7)

—

(

7‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

IHS

Markit

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

1,042

(24)

—

(

24‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

RenaissanceRe

Holdings

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

1,170

(90)

—

(

90‌

)

Total

Bermuda

—

(

121‌

)

Brazil

0.0%

Morgan

Stanley,

Receive

Underlying

Reference:

Magazine

Luiza

Monthly,

Pay

Variable

0.490%

(SOFR

+

0.45%)

Monthly,

1/18/24

45

1

—

1‌

Morgan

Stanley,

Receive

Underlying

Reference:

Magazine

Luiza

Monthly,

Pay

Variable

0.497%

(SOFR

+

0.45%)

Monthly,

1/18/24

97

5

—

5‌

Morgan

Stanley,

Receive

Underlying

Reference:

Magazine

Luiza

Monthly,

Pay

Variable

0.498%

(SOFR

+

0.45%)

Monthly,

1/18/24

95

11

—

11‌

Morgan

Stanley,

Receive

Underlying

Reference:

Magazine

Luiza

Monthly,

Pay

Variable

0.500%

(SOFR

+

0.45%)

Monthly,

1/18/24

50

(1)

—

(

1‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Magazine

Luiza

Monthly,

Pay

Variable

0.840%

(SOFR

+

0.80%)

Monthly,

1/18/24

99

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Unifique

Telecomunicacoes

Monthly,

Pay

Variable

0.490%

(SOFR

+

0.45%)

Monthly,

1/18/24

47

3

—

3‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

42

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

Unifique

Telecomunicacoes

Monthly,

Pay

Variable

0.496%

(SOFR

+

0.45%)

Monthly,

1/18/24

100

6

—

6‌

Total

Brazil

—

25‌

Canada

0.0%

Bank

of

America,

Pay

Underlying

Reference:

First

Quantum

Minerals

Monthly,

Receive

Variable

0.263%

(1M

CAD

CDOR

+

(0.30)%)

Monthly,

1/17/24

41

3

—

3‌

Citibank,

Receive

Underlying

Reference:

Sprott

Physical

Gold

and

Silver

Trust

Monthly,

Pay

Variable

0.468%

(1M

CAD

CDOR

+

0.42%)

Monthly,

1/18/24

171

—

—

—‌

Citibank,

Receive

Underlying

Reference:

Waste

Connections

Monthly,

Pay

Variable

0.468%

(1M

CAD

CDOR

+

0.42%)

Monthly,

1/18/24

664

(17)

—

(

17‌

)

Goldman

Sachs,

Pay

Underlying

Reference:

Bank

of

Montreal

Monthly,

Receive

Variable

0.263%

(1M

CAD

CDOR

+

(0.30)%)

Monthly,

1/17/24

332

8

—

8‌

Goldman

Sachs,

Pay

Underlying

Reference:

First

Quantum

Minerals

Monthly,

Receive

Variable

0.263%

(1M

CAD

CDOR

+

(0.30)%)

Monthly,

1/17/24

1,080

75

—

75‌

Goldman

Sachs,

Pay

Underlying

Reference:

Royal

Bank

of

Canada

Monthly,

Receive

Variable

0.263%

(1M

CAD

CDOR

+

(0.30)%)

Monthly,

1/17/24

670

13

—

13‌

Goldman

Sachs,

Pay

Underlying

Reference:

Suncor

Energy

Monthly,

Receive

Variable

0.263%

(1M

CAD

CDOR

+

(0.30)%)

Monthly,

1/17/24

302

(4)

—

(

4‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Agnico

Eagle

Mines

Monthly,

Receive

Variable

(0.160)%

(1M

CAD

CDOR

+

(0.20)%)

Monthly,

1/18/24

998

50

—

50‌

Morgan

Stanley,

Pay

Underlying

Reference:

Agnico

Eagle

Mines

Monthly,

Receive

Variable

(0.160)%

(SOFR

+

(0.20)%)

Monthly,

1/18/24

1,008

50

—

50‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

43

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Pay

Underlying

Reference:

Bank

of

Montreal

Monthly,

Receive

Variable

0.263%

(1M

CAD

CDOR

+

(0.30)%)

Monthly,

1/17/24

148

4

—

4‌

Morgan

Stanley,

Pay

Underlying

Reference:

Canadian

Imperial

Bank

of

Commerce

Monthly,

Receive

Variable

0.263%

(1M

CAD

CDOR

+

(0.30)%)

Monthly,

1/17/24

459

12

—

12‌

Morgan

Stanley,

Pay

Underlying

Reference:

Canadian

Natural

Resources

Monthly,

Receive

Variable

0.263%

(1M

CAD

CDOR

+

(0.30)%)

Monthly,

1/17/24

2,159

37

—

37‌

Morgan

Stanley,

Pay

Underlying

Reference:

Enbridge

Monthly,

Receive

Variable

0.263%

(1M

CAD

CDOR

+

(0.30)%)

Monthly,

1/17/24

430

(6)

—

(

6‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

First

Quantum

Minerals

Monthly,

Receive

Variable

0.263%

(1M

CAD

CDOR

+

(0.30)%)

Monthly,

1/17/24

493

34

—

34‌

Morgan

Stanley,

Pay

Underlying

Reference:

Franco-Nevada

Monthly,

Receive

Variable

0.263%

(1M

CAD

CDOR

+

(0.30)%)

Monthly,

1/17/24

913

(23)

—

(

23‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Royal

Bank

of

Canada

Monthly,

Receive

Variable

0.263%

(1M

CAD

CDOR

+

(0.30)%)

Monthly,

1/17/24

913

18

—

18‌

Morgan

Stanley,

Pay

Underlying

Reference:

Suncor

Energy

Monthly,

Receive

Variable

0.263%

(1M

CAD

CDOR

+

(0.30)%)

Monthly,

1/17/24

381

(5)

—

(

5‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

BRP

Monthly,

Pay

Variable

1.113%

(1M

CAD

CDOR

+

0.55%)

Monthly,

1/17/24

338

12

—

12‌

Morgan

Stanley,

Receive

Underlying

Reference:

Constellation

Software

Monthly,

Pay

Variable

1.213%

(1M

CAD

CDOR

+

0.65%)

Monthly,

1/17/24

852

(19)

—

(

19‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Franco-Nevada

Monthly,

Pay

Variable

0.447%

(1M

CAD

CDOR

+

0.40%)

Monthly,

1/18/24

660

11

—

11‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

44

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

Kirkland

Lake

Gold

Monthly,

Pay

Variable

0.447%

(1M

CAD

CDOR

+

0.40%)

Monthly,

1/18/24

991

(49)

—

(

49‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Kirkland

Lake

Gold

Monthly,

Pay

Variable

0.447%

(SOFR

+

0.40%)

Monthly,

1/18/24

1,001

(50)

—

(

50‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

National

Bank

of

Canada

Monthly,

Pay

Variable

1.133%

(1M

CAD

CDOR

+

0.57%)

Monthly,

1/17/24

2,357

(12)

—

(

12‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Sprott

Physical

Gold

and

Silver

Trust

Monthly,

Pay

Variable

0.447%

(1M

CAD

CDOR

+

0.40%)

Monthly,

1/18/24

88

(2)

—

(

2‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Sun

Life

Financial

Monthly,

Pay

Variable

1.113%

(1M

CAD

CDOR

+

0.55%)

Monthly,

1/17/24

870

(5)

—

(

5‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

TMX

Group

Monthly,

Pay

Variable

1.113%

(1M

CAD

CDOR

+

0.55%)

Monthly,

1/17/24

384

7

—

7‌

Morgan

Stanley,

Receive

Underlying

Reference:

West

Fraser

Timber

Monthly,

Pay

Variable

0.447%

(1M

CAD

CDOR

+

0.40%)

Monthly,

1/18/24

342

(15)

—

(

15‌

)

Total

Canada

—

127‌

Cayman

Islands

0.1%

Goldman

Sachs,

Receive

Underlying

Reference:

Country

Garden

Services

Holdings

Monthly,

Pay

Variable

0.555%

(1M

HKD

HIBOR

+

0.40%)

Monthly,

1/17/24

(HKD)

2,548

55

—

55‌

Morgan

Stanley,

Receive

Underlying

Reference:

Budweiser

Brewing

Co

APAC

Monthly,

Pay

Variable

0.705%

(1M

HKD

HIBOR

+

0.55%)

Monthly,

1/17/24

(HKD)

2,337

12

—

12‌

Morgan

Stanley,

Receive

Underlying

Reference:

Health

Sciences

Acquisitions

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

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:

Helix

Acquisition,

Class

A

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

133

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Huazhu

Group

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

212

33

—

33‌

Morgan

Stanley,

Receive

Underlying

Reference:

Meituan,

Class

B

Monthly,

Pay

Variable

0.710%

(1M

HKD

HIBOR

+

0.55%)

Monthly,

1/17/24

(HKD)

727

5

—

5‌

Morgan

Stanley,

Receive

Underlying

Reference:

Meituan,

Class

B

Monthly,

Pay

Variable

0.715%

(1M

HKD

HIBOR

+

0.55%)

Monthly,

1/17/24

(HKD)

2,897

3

—

3‌

Morgan

Stanley,

Receive

Underlying

Reference:

Social

Capital

Hedosophia

Holdings

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

4

(1)

—

(

1‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Social

Capital

Hedosophia

Holdings,

Class

A

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

110

(2)

—

(

2‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Sports

Ventures

Acquisition

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

3

1

—

1‌

Morgan

Stanley,

Receive

Underlying

Reference:

Sports

Ventures

Acquisition,

Class

A

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

145

1

—

1‌

Morgan

Stanley,

Receive

Underlying

Reference:

Tencent

Holdings

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

460

40

—

40‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Budweiser

Brewing

Co

APAC

Monthly,

Pay

Variable

0.485%

(1M

HKD

HIBOR

+

0.35%)

Monthly,

1/17/24

(HKD)

1,196

(4)

—

(

4‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

46

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

UBS

Investment

Bank,

Receive

Underlying

Reference:

China

Overseas

Property

Holdings

Monthly,

Pay

Variable

0.485%

(1M

HKD

HIBOR

+

0.35%)

Monthly,

1/17/24

(HKD)

4,605

62

—

62‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

China

Resources

Mixc

Lifestyle

Services

Monthly,

Pay

Variable

0.485%

(1M

HKD

HIBOR

+

0.35%)

Monthly,

1/17/24

(HKD)

3,474

89

—

89‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Country

Garden

Services

Holdings

Monthly,

Pay

Variable

0.485%

(1M

HKD

HIBOR

+

0.35%)

Monthly,

1/17/24

(HKD)

656

4

—

4‌

Total

Cayman

Islands

—

298‌

China

0.0%

Morgan

Stanley,

Receive

Underlying

Reference:

Jinke

Smart

Services

Group,

Class

H

Monthly,

Pay

Variable

0.705%

(1M

HKD

HIBOR

+

0.55%)

Monthly,

1/17/24

(HKD)

3,148

114

—

114‌

Morgan

Stanley,

Receive

Underlying

Reference:

TravelSky

Technology,

Class

H

Monthly,

Pay

Variable

0.705%

(1M

HKD

HIBOR

+

0.55%)

Monthly,

1/17/24

(HKD)

4,735

(4)

—

(

4‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Zhejiang

Runtu,

Class

A

Monthly,

Pay

Variable

3.775%

(1M

CNH

HIBOR

+

1.15%)

Monthly,

1/17/24

3,369

(47)

—

(

47‌

)

Total

China

—

63‌

Cyprus

(0.0)%

Morgan

Stanley,

Receive

Underlying

Reference:

TCS

Group

Holding

Monthly,

Pay

Variable

0.450%

(SOFR

+

0.40%)

Monthly,

1/18/24

102

2

—

2‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

TCS

Group

Holding

Monthly,

Pay

Variable

0.398%

(1M

USD

LIBOR

+

0.35%)

Monthly,

1/18/24

635

(48)

—

(

48‌

)

Total

Cyprus

—

(

46‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

47

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Denmark

(0.0)%

Bank

of

America,

Receive

Underlying

Reference:

Coloplast,

Class

B

Monthly,

Pay

Variable

0.043%

(1M

DKK

CIBOR

+

0.40%)

Monthly,

1/17/24

1,665

(3)

—

(

3‌

)

Citibank,

Pay

Underlying

Reference:

AP

Moller

-

Maersk,

Class

B

Monthly,

Receive

Variable

(0.707)%

(1M

DKK

CIBOR

+

(0.35)%)

Monthly,

1/17/24

1,678

(4)

—

(

4‌

)

Citibank,

Pay

Underlying

Reference:

Tryg

Monthly,

Receive

Variable

(0.707)%

(1M

DKK

CIBOR

+

(0.35)%)

Monthly,

1/17/24

2,359

15

—

15‌

Goldman

Sachs,

Pay

Underlying

Reference:

AP

Moller

-

Maersk,

Class

B

Monthly,

Receive

Variable

(0.707)%

(1M

DKK

CIBOR

+

(0.35)%)

Monthly,

1/17/24

963

(5)

—

(

5‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

GN

Store

Nord

Monthly,

Receive

Variable

(0.707)%

(1M

DKK

CIBOR

+

(0.35)%)

Monthly,

1/17/24

2,391

(15)

—

(

15‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Vestas

Wind

Systems

Monthly,

Receive

Variable

(0.707)%

(1M

DKK

CIBOR

+

(0.35)%)

Monthly,

1/17/24

852

4

—

4‌

Morgan

Stanley,

Receive

Underlying

Reference:

Genmab

Monthly,

Pay

Variable

(0.007)%

(1M

DKK

CIBOR

+

0.35%)

Monthly,

1/17/24

4,499

(18)

—

(

18‌

)

UBS

Investment

Bank,

Pay

Underlying

Reference:

DSV

Monthly,

Receive

Variable

(0.757)%

(1M

DKK

CIBOR

+

(0.40)%)

Monthly,

1/17/24

5,341

25

—

25‌

UBS

Investment

Bank,

Pay

Underlying

Reference:

Vestas

Wind

Systems

Monthly,

Receive

Variable

(0.757)%

(1M

DKK

CIBOR

+

(0.40)%)

Monthly,

1/17/24

1,606

4

—

4‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Royal

Unibrew

Monthly,

Pay

Variable

0.043%

(1M

DKK

CIBOR

+

0.40%)

Monthly,

1/17/24

2,928

(14)

—

(

14‌

)

Total

Denmark

—

(

11‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

48

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Finland

0.0%

Citibank,

Pay

Underlying

Reference:

Nordea

Bank

Monthly,

Receive

Variable

(0.414)%

(1M

SEK

STIBOR

+

(0.35)%)

Monthly,

1/17/24

(SEK)

4,221

11

—

11‌

Morgan

Stanley,

Receive

Underlying

Reference:

Stora

Enso,

R

Shares

Monthly,

Pay

Variable

(0.226)%

(1M

EURIBOR

+

0.35%)

Monthly,

1/17/24

266

21

—

21‌

Total

Finland

—

32‌

France

0.0%

Bank

of

America,

Receive

Underlying

Reference:

Legrand

Monthly,

Pay

Variable

(0.226)%

(1M

EURIBOR

+

0.35%)

Monthly,

1/17/24

415

(27)

—

(

27‌

)

Bank

of

America,

Receive

Underlying

Reference:

Thales

Monthly,

Pay

Variable

(0.226)%

(1M

EURIBOR

+

0.35%)

Monthly,

1/17/24

254

(6)

—

(

6‌

)

Citibank,

Pay

Underlying

Reference:

Air

Liquide

Monthly,

Receive

Variable

(0.920)%

(1M

EURIBOR

+

(0.35)%)

Monthly,

1/17/24

286

9

—

9‌

Citibank,

Pay

Underlying

Reference:

Hermes

International

Monthly,

Receive

Variable

(0.920)%

(1M

EURIBOR

+

(0.35)%)

Monthly,

1/17/24

315

14

—

14‌

Citibank,

Receive

Underlying

Reference:

TotalEnergies

Monthly,

Pay

Variable

(0.177)%

(1M

EURIBOR

+

0.40%)

Monthly,

1/17/24

353

29

—

29‌

Citibank,

Receive

Underlying

Reference:

TotalEnergies

Monthly,

Pay

Variable

(0.170)%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

284

(7)

—

(

7‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

Capgemini

Monthly,

Pay

Variable

(0.176)%

(1M

EURIBOR

+

0.40%)

Monthly,

1/17/24

544

(12)

—

(

12‌

)

JPMorgan

Chase,

Receive

Underlying

Reference:

Edenred

Monthly,

Pay

Variable

(0.226)%

(1M

EURIBOR

+

0.35%)

Monthly,

1/17/24

280

(25)

—

(

25‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

49

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Pay

Underlying

Reference:

Cie

de

Saint-Gobain

Monthly,

Receive

Variable

(0.920)%

(1M

EURIBOR

+

(0.35)%)

Monthly,

1/17/24

277

28

—

28‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Kering

Monthly,

Pay

Variable

(0.227)%

(1M

EURIBOR

+

0.35%)

Monthly,

1/17/24

273

(17)

—

(

17‌

)

UBS

Investment

Bank,

Receive

Underlying

Reference:

Sanofi

Monthly,

Pay

Variable

(0.227)%

(1M

EURIBOR

+

0.35%)

Monthly,

1/17/24

641

32

—

32‌

Total

France

—

18‌

Germany

0.0%

Bank

of

America,

Pay

Underlying

Reference:

Brenntag

Monthly,

Receive

Variable

(0.920)%

(1M

EURIBOR

+

(0.35)%)

Monthly,

1/17/24

588

19

—

19‌

Citibank,

Pay

Underlying

Reference:

Allianz

Monthly,

Receive

Variable

(0.920)%

(1M

EURIBOR

+

(0.35)%)

Monthly,

1/17/24

1,263

(26)

—

(

26‌

)

Citibank,

Pay

Underlying

Reference:

E.ON

Monthly,

Receive

Variable

(0.920)%

(1M

EURIBOR

+

(0.35)%)

Monthly,

1/17/24

307

(12)

—

(

12‌

)

Citibank,

Pay

Underlying

Reference:

HelloFresh

Monthly,

Receive

Variable

(0.920)%

(1M

EURIBOR

+

(0.35)%)

Monthly,

1/17/24

375

(14)

—

(

14‌

)

Citibank,

Receive

Underlying

Reference:

KION

Group

Monthly,

Pay

Variable

(0.177)%

(1M

EURIBOR

+

0.40%)

Monthly,

1/17/24

280

(39)

—

(

39‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

Bayer

Monthly,

Pay

Variable

(0.173)%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

286

15

—

15‌

Goldman

Sachs,

Receive

Underlying

Reference:

Deutsche

Boerse

Monthly,

Pay

Variable

(0.173)%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

648

(22)

—

(

22‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

Deutsche

Boerse

Monthly,

Pay

Variable

(0.170)%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

201

3

—

3‌

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:

Muenchener

Rueckversicherungs-Gesellschaft

AG

in

Muenchen

Monthly,

Pay

Variable

(0.226)%

(1M

EURIBOR

+

0.35%)

Monthly,

1/17/24

538

14

—

14‌

Morgan

Stanley,

Pay

Underlying

Reference:

Hannover

Rueck

Monthly,

Receive

Variable

(0.920)%

(1M

EURIBOR

+

(0.35)%)

Monthly,

1/17/24

89

(2)

—

(

2‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Vonovia

Monthly,

Pay

Variable

(0.226)%

(1M

EURIBOR

+

0.35%)

Monthly,

1/17/24

722

47

—

47‌

UBS

Investment

Bank,

Pay

Underlying

Reference:

Hannover

Rueck

Monthly,

Receive

Variable

(0.970)%

(1M

EURIBOR

+

(0.40)%)

Monthly,

1/17/24

847

(21)

—

(

21‌

)

UBS

Investment

Bank,

Receive

Underlying

Reference:

Zalando

Monthly,

Pay

Variable

(0.227)%

(1M

EURIBOR

+

0.35%)

Monthly,

1/17/24

550

53

—

53‌

Total

Germany

—

15‌

Hong

Kong

(0.0)%

Morgan

Stanley,

Receive

Underlying

Reference:

AIA

Group

Monthly,

Pay

Variable

0.705%

(1M

HKD

HIBOR

+

0.55%)

Monthly,

1/17/24

3,259

(8)

—

(

8‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

HKT

Trust

&

HKT

Monthly,

Pay

Variable

0.705%

(1M

HKD

HIBOR

+

0.55%)

Monthly,

1/17/24

8,491

2

—

2‌

Total

Hong

Kong

—

(

6‌

)

Ireland

(0.0)%

Citibank,

Pay

Underlying

Reference:

Aon,

Class

A

Monthly,

Receive

Variable

(0.260)%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

347

7

—

7‌

JPMorgan

Chase,

Receive

Underlying

Reference:

Cairn

Homes

Monthly,

Pay

Variable

0.546%

(1M

GBP

LIBOR

+

0.35%)

Monthly,

1/17/24

(GBP)

260

(15)

—

(

15‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

51

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Pay

Underlying

Reference:

Flutter

Entertainment

Monthly,

Receive

Variable

(0.920)%

(1M

EURIBOR

+

(0.35)%)

Monthly,

1/17/24

313

(10)

—

(

10‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Seagate

Technology

Holdings

Monthly,

Receive

Variable

(0.160)%

(SOFR

+

(0.20)%)

Monthly,

1/18/24

197

(7)

—

(

7‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Linde

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

969

(8)

—

(

8‌

)

UBS

Investment

Bank,

Receive

Underlying

Reference:

Cairn

Homes

Monthly,

Pay

Variable

0.546%

(1M

GBP

LIBOR

+

0.35%)

Monthly,

1/17/24

(GBP)

178

16

—

16‌

Total

Ireland

—

(

17‌

)

Italy

(0.0)%

Bank

of

America,

Receive

Underlying

Reference:

Banca

Mediolanum

Monthly,

Pay

Variable

(0.226)%

(1M

EURIBOR

+

0.35%)

Monthly,

1/17/24

812

(30)

—

(

30‌

)

Citibank,

Receive

Underlying

Reference:

Atlantia

Monthly,

Pay

Variable

(0.177)%

(1M

EURIBOR

+

0.40%)

Monthly,

1/17/24

289

(2)

—

(

2‌

)

Goldman

Sachs,

Pay

Underlying

Reference:

Snam

Monthly,

Receive

Variable

(0.840)%

(1M

EURIBOR

+

(0.27)%)

Monthly,

1/17/24

1,212

28

—

28‌

Morgan

Stanley,

Pay

Underlying

Reference:

Intesa

Sanpaolo

Monthly,

Receive

Variable

(0.920)%

(1M

EURIBOR

+

(0.35)%)

Monthly,

1/17/24

296

(6)

—

(

6‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

PRADA

Monthly,

Pay

Variable

0.705%

(1M

HKD

HIBOR

+

0.55%)

Monthly,

1/17/24

(HKD)

4,622

(9)

—

(

9‌

)

UBS

Investment

Bank,

Receive

Underlying

Reference:

Atlantia

Monthly,

Pay

Variable

(0.227)%

(1M

EURIBOR

+

0.35%)

Monthly,

1/17/24

152

(1)

—

(

1‌

)

Total

Italy

—

(

20‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

52

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Japan

0.1%

Citibank,

Receive

Underlying

Reference:

Asics

Monthly,

Pay

Variable

0.358%

(1M

JPY

LIBOR

+

0.38%)

Monthly,

1/17/24

45,947

(39)

—

(

39‌

)

Citibank,

Receive

Underlying

Reference:

Fast

Retailing

Monthly,

Pay

Variable

0.358%

(1M

JPY

LIBOR

+

0.38%)

Monthly,

1/17/24

30,335

27

—

27‌

Citibank,

Receive

Underlying

Reference:

Fast

Retailing

Monthly,

Pay

Variable

0.359%

(JPY

TONA

+

0.38%)

Monthly,

1/17/24

46,606

3

—

3‌

Citibank,

Receive

Underlying

Reference:

Mitsui

Fudosan

Monthly,

Pay

Variable

0.358%

(1M

JPY

LIBOR

+

0.38%)

Monthly,

1/17/24

27,435

15

—

15‌

Citibank,

Receive

Underlying

Reference:

Pigeon

Monthly,

Pay

Variable

0.358%

(1M

JPY

LIBOR

+

0.38%)

Monthly,

1/17/24

30,901

(16)

—

(

16‌

)

Citibank,

Receive

Underlying

Reference:

Pigeon

Monthly,

Pay

Variable

0.359%

(JPY

TONA

+

0.38%)

Monthly,

1/17/24

16,250

(3)

—

(

3‌

)

Citibank,

Receive

Underlying

Reference:

Pigeon

Monthly,

Pay

Variable

0.360%

(JPY

TONA

+

0.38%)

Monthly,

1/17/24

5,206

(1)

—

(

1‌

)

Citibank,

Receive

Underlying

Reference:

Sega

Sammy

Holdings

Monthly,

Pay

Variable

0.358%

(1M

JPY

LIBOR

+

0.38%)

Monthly,

1/17/24

67,087

25

—

25‌

Morgan

Stanley,

Pay

Underlying

Reference:

Denso

Monthly,

Receive

Variable

(0.440)%

(1M

JPY

LIBOR

+

(0.42)%)

Monthly,

1/17/24

185,288

208

—

208‌

Morgan

Stanley,

Pay

Underlying

Reference:

GMO

Payment

Gateway

Monthly,

Receive

Variable

(0.440)%

(1M

JPY

LIBOR

+

(0.42)%)

Monthly,

1/17/24

28,782

28

—

28‌

Morgan

Stanley,

Pay

Underlying

Reference:

Kubota

Monthly,

Receive

Variable

(0.440)%

(1M

JPY

LIBOR

+

(0.42)%)

Monthly,

1/17/24

13,446

4

—

4‌

Morgan

Stanley,

Pay

Underlying

Reference:

Kyocera

Monthly,

Receive

Variable

(0.440)%

(1M

JPY

LIBOR

+

(0.42)%)

Monthly,

1/17/24

33,097

—

—

—‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

53

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Pay

Underlying

Reference:

Lasertec

Monthly,

Receive

Variable

(0.440)%

(1M

JPY

LIBOR

+

(0.42)%)

Monthly,

1/17/24

39,299

58

—

58‌

Morgan

Stanley,

Pay

Underlying

Reference:

Nidec

Monthly,

Receive

Variable

(0.440)%

(1M

JPY

LIBOR

+

(0.42)%)

Monthly,

1/17/24

69,540

104

—

104‌

Morgan

Stanley,

Pay

Underlying

Reference:

Sumitomo

Metal

Mining

Monthly,

Receive

Variable

(0.440)%

(1M

JPY

LIBOR

+

(0.42)%)

Monthly,

1/17/24

139,288

(44)

—

(

44‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Astellas

Pharma

Monthly,

Pay

Variable

0.509%

(1M

JPY

LIBOR

+

0.53%)

Monthly,

1/17/24

50,899

(18)

—

(

18‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

CyberAgent

Monthly,

Pay

Variable

0.509%

(1M

JPY

LIBOR

+

0.53%)

Monthly,

1/17/24

48,835

(117)

—

(

117‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

NSK

Monthly,

Pay

Variable

0.509%

(1M

JPY

LIBOR

+

0.53%)

Monthly,

1/17/24

42,665

(13)

—

(

13‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Seven

&

i

Holdings

Monthly,

Pay

Variable

0.509%

(1M

JPY

LIBOR

+

0.53%)

Monthly,

1/17/24

60,204

41

—

41‌

Morgan

Stanley,

Receive

Underlying

Reference:

Seven

&

i

Holdings

Monthly,

Pay

Variable

0.509%

(JPY

TONA

+

0.53%)

Monthly,

1/17/24

28,382

16

—

16‌

Morgan

Stanley,

Receive

Underlying

Reference:

Stanley

Electric

Monthly,

Pay

Variable

0.509%

(1M

JPY

LIBOR

+

0.53%)

Monthly,

1/17/24

157,395

(134)

—

(

134‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Sumitomo

Electric

Industries

Monthly,

Pay

Variable

0.509%

(1M

JPY

LIBOR

+

0.53%)

Monthly,

1/17/24

38,329

(24)

—

(

24‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Suntory

Beverage

&

Food

Monthly,

Pay

Variable

0.509%

(1M

JPY

LIBOR

+

0.53%)

Monthly,

1/17/24

39,146

12

—

12‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

54

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

UBS

Investment

Bank,

Pay

Underlying

Reference:

FANUC

Monthly,

Receive

Variable

(0.420)%

(1M

JPY

LIBOR

+

(0.40)%)

Monthly,

1/17/24

123,876

100

—

100‌

UBS

Investment

Bank,

Pay

Underlying

Reference:

FANUC

Monthly,

Receive

Variable

(0.420)%

(JPY

TONA

+

(0.40)%)

Monthly,

1/17/24

13,606

2

—

2‌

UBS

Investment

Bank,

Pay

Underlying

Reference:

Hitachi

Monthly,

Receive

Variable

(0.420)%

(1M

JPY

LIBOR

+

(0.40)%)

Monthly,

1/17/24

71,765

71

—

71‌

UBS

Investment

Bank,

Pay

Underlying

Reference:

Kubota

Monthly,

Receive

Variable

(0.420)%

(1M

JPY

LIBOR

+

(0.40)%)

Monthly,

1/17/24

52,381

28

—

28‌

UBS

Investment

Bank,

Pay

Underlying

Reference:

Nitori

Holdings

Monthly,

Receive

Variable

(0.420)%

(1M

JPY

LIBOR

+

(0.40)%)

Monthly,

1/17/24

36,666

19

—

19‌

UBS

Investment

Bank,

Pay

Underlying

Reference:

Ono

Pharmaceutical

Monthly,

Receive

Variable

(0.420)%

(1M

JPY

LIBOR

+

(0.40)%)

Monthly,

1/17/24

38,887

(4)

—

(

4‌

)

UBS

Investment

Bank,

Pay

Underlying

Reference:

Pola

Orbis

Holdings

Monthly,

Receive

Variable

(0.420)%

(1M

JPY

LIBOR

+

(0.40)%)

Monthly,

1/17/24

28,736

22

—

22‌

UBS

Investment

Bank,

Pay

Underlying

Reference:

SMC

Monthly,

Receive

Variable

(0.420)%

(1M

JPY

LIBOR

+

(0.40)%)

Monthly,

1/17/24

98,254

138

—

138‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Daiichi

Sankyo

Monthly,

Pay

Variable

0.328%

(1M

JPY

LIBOR

+

0.35%)

Monthly,

1/17/24

135,650

(65)

—

(

65‌

)

UBS

Investment

Bank,

Receive

Underlying

Reference:

Hoshizaki

Monthly,

Pay

Variable

0.328%

(1M

JPY

LIBOR

+

0.35%)

Monthly,

1/17/24

143,590

(29)

—

(

29‌

)

UBS

Investment

Bank,

Receive

Underlying

Reference:

Mitsui

Fudosan

Monthly,

Pay

Variable

0.328%

(1M

JPY

LIBOR

+

0.35%)

Monthly,

1/17/24

52,566

28

—

28‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

55

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

UBS

Investment

Bank,

Receive

Underlying

Reference:

NET

One

Systems

Monthly,

Pay

Variable

0.328%

(1M

JPY

LIBOR

+

0.35%)

Monthly,

1/17/24

28,489

(19)

—

(

19‌

)

UBS

Investment

Bank,

Receive

Underlying

Reference:

Nippon

Sanso

Holdings

Monthly,

Pay

Variable

0.328%

(1M

JPY

LIBOR

+

0.35%)

Monthly,

1/17/24

39,862

(38)

—

(

38‌

)

UBS

Investment

Bank,

Receive

Underlying

Reference:

Nippon

Steel

Monthly,

Pay

Variable

0.329%

(JPY

TONA

+

0.35%)

Monthly,

1/17/24

36,992

(5)

—

(

5‌

)

UBS

Investment

Bank,

Receive

Underlying

Reference:

ORIX

Monthly,

Pay

Variable

0.328%

(1M

JPY

LIBOR

+

0.35%)

Monthly,

1/17/24

43,338

(14)

—

(

14‌

)

UBS

Investment

Bank,

Receive

Underlying

Reference:

Panasonic

Monthly,

Pay

Variable

0.328%

(1M

JPY

LIBOR

+

0.35%)

Monthly,

1/17/24

107,213

(45)

—

(

45‌

)

UBS

Investment

Bank,

Receive

Underlying

Reference:

Taiheiyo

Cement

Monthly,

Pay

Variable

0.328%

(1M

JPY

LIBOR

+

0.35%)

Monthly,

1/17/24

46,400

(8)

—

(

8‌

)

UBS

Investment

Bank,

Receive

Underlying

Reference:

Terumo

Monthly,

Pay

Variable

0.328%

(1M

JPY

LIBOR

+

0.35%)

Monthly,

1/17/24

34,334

(20)

—

(

20‌

)

UBS

Investment

Bank,

Receive

Underlying

Reference:

Tokyo

Tatemono

Monthly,

Pay

Variable

0.328%

(1M

JPY

LIBOR

+

0.35%)

Monthly,

1/17/24

56,369

—

—

—‌

Total

Japan

—

293‌

Jersey

0.0%

Citibank,

Pay

Underlying

Reference:

Experian

Monthly,

Receive

Variable

(0.114)%

(GBP

SONIA

+

(0.31)%)

Monthly,

1/17/24

336

(10)

—

(

10‌

)

Citibank,

Pay

Underlying

Reference:

Glencore

Monthly,

Receive

Variable

(0.114)%

(1M

GBP

LIBOR

+

(0.31)%)

Monthly,

1/17/24

116

3

—

3‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

56

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Citibank,

Pay

Underlying

Reference:

WisdomTree

Copper

Monthly,

Receive

Variable

(0.681)%

(1M

USD

LIBOR

+

(0.721)%)

Monthly,

1/18/24

256

3

—

3‌

Morgan

Stanley,

Pay

Underlying

Reference:

Glencore

Monthly,

Receive

Variable

(0.114)%

(1M

GBP

LIBOR

+

(0.31)%)

Monthly,

1/17/24

253

25

—

25‌

Morgan

Stanley,

Receive

Underlying

Reference:

Atotech

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

305

(12)

—

(

12‌

)

Total

Jersey

—

9‌

Luxembourg

0.0%

Morgan

Stanley,

Pay

Underlying

Reference:

ArcelorMittal

Monthly,

Receive

Variable

(0.640)%

(1M

USD

LIBOR

+

(0.68)%)

Monthly,

1/18/24

493

78

—

78‌

Morgan

Stanley,

Pay

Underlying

Reference:

Ternium

Monthly,

Receive

Variable

(0.160)%

(SOFR

+

(0.20)%)

Monthly,

1/18/24

239

10

—

10‌

Morgan

Stanley,

Receive

Underlying

Reference:

Samsonite

International

Monthly,

Pay

Variable

0.705%

(1M

HKD

HIBOR

+

0.55%)

Monthly,

1/17/24

(HKD)

4,849

(42)

—

(

42‌

)

UBS

Investment

Bank,

Receive

Underlying

Reference:

Samsonite

International

Monthly,

Pay

Variable

0.485%

(1M

HKD

HIBOR

+

0.35%)

Monthly,

1/17/24

(HKD)

195

2

—

2‌

Total

Luxembourg

—

48‌

Mexico

(0.0)%

Morgan

Stanley,

Pay

Underlying

Reference:

Alpek

Monthly,

Receive

Variable

5.223%

(MXIBTIIE

+

(0.50)%)

Monthly,

1/17/24

3,444

(17)

—

(

17‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Axtel

Monthly,

Receive

Variable

5.223%

(MXIBTIIE

+

(0.50)%)

Monthly,

1/17/24

533

4

—

4‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

57

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

Alfa,

Class

A

Monthly,

Pay

Variable

6.273%

(MXIBTIIE

+

0.55%)

Monthly,

1/17/24

6,336

11

—

11‌

Total

Mexico

—

(

2‌

)

Netherlands

0.0%

Citibank,

Pay

Underlying

Reference:

IMCD

Monthly,

Receive

Variable

(0.870)%

(1M

EURIBOR

+

(0.30)%)

Monthly,

1/17/24

499

32

—

32‌

Goldman

Sachs,

Receive

Underlying

Reference:

EXOR

Monthly,

Pay

Variable

(0.176)%

(1M

EURIBOR

+

0.40%)

Monthly,

1/17/24

306

(15)

—

(

15‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

Prosus

Monthly,

Pay

Variable

(0.176)%

(1M

EURIBOR

+

0.40%)

Monthly,

1/17/24

285

(3)

—

(

3‌

)

JPMorgan

Chase,

Receive

Underlying

Reference:

ING

Groep

Monthly,

Pay

Variable

(0.226)%

(1M

EURIBOR

+

0.35%)

Monthly,

1/17/24

206

(6)

—

(

6‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

LyondellBasell

Industries,

Class

A

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

928

39

—

39‌

Morgan

Stanley,

Pay

Underlying

Reference:

LyondellBasell

Industries,

Class

A

Monthly,

Receive

Variable

(0.160)%

(SOFR

+

(0.20)%)

Monthly,

1/18/24

151

6

—

6‌

Morgan

Stanley,

Receive

Underlying

Reference:

Airbus

Monthly,

Pay

Variable

(0.226)%

(1M

EURIBOR

+

0.35%)

Monthly,

1/17/24

267

(10)

—

(

10‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

ING

Groep

Monthly,

Pay

Variable

(0.226)%

(1M

EURIBOR

+

0.35%)

Monthly,

1/17/24

948

(30)

—

(

30‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Universal

Music

Group

Monthly,

Pay

Variable

(0.226)%

(1M

EURIBOR

+

0.35%)

Monthly,

1/17/24

290

(13)

—

(

13‌

)

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:

Yandex,

Class

A

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

198

(3)

—

(

3‌

)

UBS

Investment

Bank,

Pay

Underlying

Reference:

Koninklijke

Ahold

Delhaize

Monthly,

Receive

Variable

(0.970)%

(1M

EURIBOR

+

(0.40)%)

Monthly,

1/17/24

766

50

—

50‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Airbus

Monthly,

Pay

Variable

(0.227)%

(1M

EURIBOR

+

0.35%)

Monthly,

1/17/24

390

(21)

—

(

21‌

)

Total

Netherlands

—

26‌

New

Zealand

0.0%

UBS

Investment

Bank,

Pay

Underlying

Reference:

Fisher

&

Paykel

Healthcare

Monthly,

Receive

Variable

0.230%

(1M

NDBB

+

(0.45)%)

Monthly,

1/17/24

483

25

—

25‌

Total

New

Zealand

—

25‌

Norway

(0.0)%

Bank

of

America,

Receive

Underlying

Reference:

Bakkafrost

Monthly,

Pay

Variable

1.270%

(1M

NOK

NIBOR

+

0.35%)

Monthly,

1/17/24

420

2

—

2‌

Citibank,

Pay

Underlying

Reference:

Yara

International

Monthly,

Receive

Variable

0.440%

(1M

NOK

NIBOR

+

(0.35)%)

Monthly,

1/17/24

4,117

(4)

—

(

4‌

)

JPMorgan

Chase,

Receive

Underlying

Reference:

Equinor

Monthly,

Pay

Variable

1.320%

(1M

NOK

NIBOR

+

0.40%)

Monthly,

1/17/24

14,111

(68)

—

(

68‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Bakkafrost

Monthly,

Pay

Variable

1.140%

(1M

NOK

NIBOR

+

0.35%)

Monthly,

1/17/24

414

2

—

2‌

Morgan

Stanley,

Receive

Underlying

Reference:

Bakkafrost

Monthly,

Pay

Variable

1.150%

(1M

NOK

NIBOR

+

0.35%)

Monthly,

1/17/24

825

3

—

3‌

Morgan

Stanley,

Receive

Underlying

Reference:

Bakkafrost

Monthly,

Pay

Variable

1.180%

(1M

NOK

NIBOR

+

0.35%)

Monthly,

1/17/24

399

3

—

3‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

59

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

Bakkafrost

Monthly,

Pay

Variable

1.270%

(1M

NOK

NIBOR

+

0.35%)

Monthly,

1/17/24

2,616

16

—

16‌

Morgan

Stanley,

Receive

Underlying

Reference:

Mowi

Monthly,

Pay

Variable

1.150%

(1M

NOK

NIBOR

+

0.35%)

Monthly,

1/17/24

835

3

—

3‌

Morgan

Stanley,

Receive

Underlying

Reference:

Mowi

Monthly,

Pay

Variable

1.180%

(1M

NOK

NIBOR

+

0.35%)

Monthly,

1/17/24

412

2

—

2‌

Morgan

Stanley,

Receive

Underlying

Reference:

Mowi

Monthly,

Pay

Variable

1.270%

(1M

NOK

NIBOR

+

0.35%)

Monthly,

1/17/24

3,411

17

—

17‌

Morgan

Stanley,

Receive

Underlying

Reference:

Salmar

Monthly,

Pay

Variable

1.150%

(1M

NOK

NIBOR

+

0.35%)

Monthly,

1/17/24

841

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Salmar

Monthly,

Pay

Variable

1.150%

(1M

NOK

NIBOR

+

0.35%)

Monthly,

1/17/24

406

2

—

2‌

Morgan

Stanley,

Receive

Underlying

Reference:

Salmar

Monthly,

Pay

Variable

1.180%

(1M

NOK

NIBOR

+

0.35%)

Monthly,

1/17/24

406

1

—

1‌

Morgan

Stanley,

Receive

Underlying

Reference:

Salmar

Monthly,

Pay

Variable

1.270%

(1M

NOK

NIBOR

+

0.35%)

Monthly,

1/17/24

2,592

1

—

1‌

Total

Norway

—

(

20‌

)

Portugal

(0.0)%

Goldman

Sachs,

Receive

Underlying

Reference:

Galp

Energia

Monthly,

Pay

Variable

(0.170)%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

759

(23)

—

(

23‌

)

Total

Portugal

—

(

23‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

60

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Russian

Federation

0.0%

Morgan

Stanley,

Receive

Underlying

Reference:

Sberbank

of

Russia

Monthly,

Pay

Variable

0.450%

(SOFR

+

0.40%)

Monthly,

1/18/24

103

5

—

5‌

Total

Russian

Federation

—

5‌

Spain

(0.0)%

Citibank,

Pay

Underlying

Reference:

Red

Electrica

Corp

Monthly,

Receive

Variable

(0.920)%

(1M

EURIBOR

+

(0.35)%)

Monthly,

1/17/24

286

(1)

—

(

1‌

)

Citibank,

Receive

Underlying

Reference:

Amadeus

IT

Group

Monthly,

Pay

Variable

(0.177)%

(1M

EURIBOR

+

0.40%)

Monthly,

1/17/24

374

(10)

—

(

10‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

Industria

de

Diseno

Textil

Monthly,

Pay

Variable

(0.176)%

(1M

EURIBOR

+

0.40%)

Monthly,

1/17/24

1,183

(53)

—

(

53‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Banco

Bilbao

Vizcaya

Argentaria

Monthly,

Receive

Variable

(0.920)%

(1M

EURIBOR

+

(0.35)%)

Monthly,

1/17/24

350

10

—

10‌

Morgan

Stanley,

Receive

Underlying

Reference:

Amadeus

IT

Group

Monthly,

Pay

Variable

(0.226)%

(1M

EURIBOR

+

0.35%)

Monthly,

1/17/24

297

(12)

—

(

12‌

)

Total

Spain

—

(

66‌

)

Sweden

0.0%

Citibank,

Pay

Underlying

Reference:

EQT

Monthly,

Receive

Variable

(0.414)%

(1M

SEK

STIBOR

+

(0.35)%)

Monthly,

1/17/24

4,905

84

—

84‌

Citibank,

Receive

Underlying

Reference:

Assa

Abloy,

Class

B

Monthly,

Pay

Variable

0.286%

(1M

SEK

STIBOR

+

0.35%)

Monthly,

1/17/24

2,620

(13)

—

(

13‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

Atlas,

B

Shares

Monthly,

Pay

Variable

0.280%

(1M

SEK

STIBOR

+

0.35%)

Monthly,

1/17/24

2,661

(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,

Receive

Underlying

Reference:

Boliden

Monthly,

Pay

Variable

0.278%

(1M

SEK

STIBOR

+

0.35%)

Monthly,

1/17/24

2,763

(9)

—

(

9‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

Boliden

Monthly,

Pay

Variable

0.280%

(1M

SEK

STIBOR

+

0.35%)

Monthly,

1/17/24

8,768

(28)

—

(

28‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Investor,

A

Shares

Monthly,

Receive

Variable

(0.420)%

(1M

SEK

STIBOR

+

(0.35)%)

Monthly,

1/17/24

7,548

1

—

1‌

Morgan

Stanley,

Receive

Underlying

Reference:

Alfa

Laval

Monthly,

Pay

Variable

0.280%

(1M

SEK

STIBOR

+

0.35%)

Monthly,

1/17/24

2,430

(9)

—

(

9‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Olink

Holding

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

64

15

—

15‌

Morgan

Stanley,

Receive

Underlying

Reference:

Olink

Holding

Monthly,

Pay

Variable

0.447%

(SOFR

+

0.40%)

Monthly,

1/18/24

7

2

—

2‌

Morgan

Stanley,

Receive

Underlying

Reference:

Trelleborg,

B

Shares

Monthly,

Pay

Variable

0.280%

(1M

SEK

STIBOR

+

0.35%)

Monthly,

1/17/24

3,100

(13)

—

(

13‌

)

UBS

Investment

Bank,

Pay

Underlying

Reference:

SKF,

B

Shares

Monthly,

Receive

Variable

(0.464)%

(1M

SEK

STIBOR

+

(0.40)%)

Monthly,

1/17/24

4,488

40

—

40‌

Total

Sweden

—

60‌

Switzerland

0.0%

Bank

of

America,

Pay

Underlying

Reference:

Givaudan

Monthly,

Receive

Variable

(1.050)%

(1M

CHF

LIBOR

+

(0.35)%)

Monthly,

1/17/24

355

33

—

33‌

Bank

of

America,

Receive

Underlying

Reference:

ABB

Monthly,

Pay

Variable

(0.362)%

(1M

CHF

LIBOR

+

0.35%)

Monthly,

1/17/24

288

(16)

—

(

16‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

62

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Citibank,

Pay

Underlying

Reference:

Geberit

Monthly,

Receive

Variable

(1.050)%

(1M

CHF

LIBOR

+

(0.35)%)

Monthly,

1/17/24

139

13

—

13‌

Citibank,

Pay

Underlying

Reference:

SGS

Monthly,

Receive

Variable

(1.050)%

(1M

CHF

LIBOR

+

(0.35)%)

Monthly,

1/17/24

289

31

—

31‌

Citibank,

Pay

Underlying

Reference:

Straumann

Holding

Monthly,

Receive

Variable

(1.050)%

(1M

CHF

LIBOR

+

(0.35)%)

Monthly,

1/17/24

291

30

—

30‌

Citibank,

Receive

Underlying

Reference:

Cie

Financiere

Richemont

Monthly,

Pay

Variable

(0.431)%

(1M

CHF

LIBOR

+

0.28%)

Monthly,

1/17/24

212

—

—

—‌

Citibank,

Receive

Underlying

Reference:

Partners

Group

Holding

Monthly,

Pay

Variable

(0.431)%

(1M

CHF

LIBOR

+

0.28%)

Monthly,

1/17/24

354

(14)

—

(

14‌

)

JPMorgan

Chase,

Receive

Underlying

Reference:

Montana

Aerospace

Monthly,

Pay

Variable

(0.312)%

(1M

CHF

LIBOR

+

0.40%)

Monthly,

1/17/24

56

(1)

—

(

1‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Geberit

Monthly,

Receive

Variable

(1.110)%

(1M

CHF

LIBOR

+

(0.41)%)

Monthly,

1/17/24

115

4

—

4‌

Morgan

Stanley,

Pay

Underlying

Reference:

Kuehne

+

Nagel

International

Monthly,

Receive

Variable

(1.110)%

(1M

CHF

LIBOR

+

(0.41)%)

Monthly,

1/17/24

652

12

—

12‌

Morgan

Stanley,

Receive

Underlying

Reference:

Cie

Financiere

Richemont

Monthly,

Pay

Variable

(0.422)%

(1M

CHF

LIBOR

+

0.29%)

Monthly,

1/17/24

219

(2)

—

(

2‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Zurich

Insurance

Group

Monthly,

Pay

Variable

(0.422)%

(1M

CHF

LIBOR

+

0.29%)

Monthly,

1/17/24

1,331

7

—

7‌

UBS

Investment

Bank,

Pay

Underlying

Reference:

Schindler

Holding

Monthly,

Receive

Variable

(1.100)%

(1M

CHF

LIBOR

+

(0.40)%)

Monthly,

1/17/24

271

1

—

1‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

63

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

UBS

Investment

Bank,

Receive

Underlying

Reference:

Montana

Aerospace

Monthly,

Pay

Variable

(0.361)%

(1M

CHF

LIBOR

+

0.35%)

Monthly,

1/17/24

367

5

—

5‌

Total

Switzerland

—

103‌

Taiwan

(0.0)%

Morgan

Stanley,

Receive

Underlying

Reference:

Taiwan

Semiconductor

Manufacturing

Monthly,

Pay

Variable

0.897%

(1M

USD

LIBOR

+

0.85%)

Monthly,

1/18/24

192

(9)

—

(

9‌

)

UBS

Investment

Bank,

Receive

Underlying

Reference:

Taiwan

Semiconductor

Manufacturing

Monthly,

Pay

Variable

0.548%

(1M

USD

LIBOR

+

0.50%)

Monthly,

1/18/24

2,347

(39)

—

(

39‌

)

Total

Taiwan

—

(

48‌

)

United

Kingdom

(0.0)%

Bank

of

America,

Pay

Underlying

Reference:

Shell

Monthly,

Receive

Variable

(0.154)%

(1M

GBP

LIBOR

+

(0.35)%)

Monthly,

1/17/24

635

(6)

—

(

6‌

)

Bank

of

America,

Receive

Underlying

Reference:

AstraZeneca

Monthly,

Pay

Variable

0.546%

(1M

GBP

LIBOR

+

0.35%)

Monthly,

1/17/24

334

(6)

—

(

6‌

)

Bank

of

America,

Receive

Underlying

Reference:

Great

Portland

Estates

Monthly,

Pay

Variable

0.546%

(1M

GBP

LIBOR

+

0.35%)

Monthly,

1/17/24

51

(1)

—

(

1‌

)

Bank

of

America,

Receive

Underlying

Reference:

Lloyds

Banking

Group

Monthly,

Pay

Variable

0.546%

(1M

GBP

LIBOR

+

0.35%)

Monthly,

1/17/24

584

(48)

—

(

48‌

)

Bank

of

America,

Receive

Underlying

Reference:

Smiths

Group

Monthly,

Pay

Variable

0.546%

(1M

GBP

LIBOR

+

0.35%)

Monthly,

1/17/24

257

(15)

—

(

15‌

)

Bank

of

America,

Receive

Underlying

Reference:

SSP

Group

Monthly,

Pay

Variable

0.546%

(1M

GBP

LIBOR

+

0.35%)

Monthly,

1/17/24

316

(20)

—

(

20‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

64

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Citibank,

Pay

Underlying

Reference:

Barclays

Monthly,

Receive

Variable

(0.154)%

(1M

GBP

LIBOR

+

(0.35)%)

Monthly,

1/17/24

281

20

—

20‌

Citibank,

Pay

Underlying

Reference:

Barclays

Monthly,

Receive

Variable

(0.154)%

(GBP

SONIA

+

(0.35)%)

Monthly,

1/17/24

422

49

—

49‌

Citibank,

Pay

Underlying

Reference:

BP

Monthly,

Receive

Variable

(0.114)%

(1M

GBP

LIBOR

+

(0.31)%)

Monthly,

1/17/24

590

(43)

—

(

43‌

)

Citibank,

Pay

Underlying

Reference:

Standard

Life

Aberdeen

Monthly,

Receive

Variable

(0.154)%

(1M

GBP

LIBOR

+

(0.35)%)

Monthly,

1/17/24

571

2

—

2‌

Citibank,

Receive

Underlying

Reference:

Burberry

Group

Monthly,

Pay

Variable

0.586%

(1M

GBP

LIBOR

+

0.39%)

Monthly,

1/17/24

195

18

—

18‌

Citibank,

Receive

Underlying

Reference:

Derwent

London

Monthly,

Pay

Variable

0.586%

(1M

GBP

LIBOR

+

0.39%)

Monthly,

1/17/24

101

(1)

—

(

1‌

)

Citibank,

Receive

Underlying

Reference:

Great

Portland

Estates

Monthly,

Pay

Variable

0.586%

(1M

GBP

LIBOR

+

0.39%)

Monthly,

1/17/24

353

7

—

7‌

Citibank,

Receive

Underlying

Reference:

Greggs

Monthly,

Pay

Variable

0.586%

(GBP

SONIA

+

0.39%)

Monthly,

1/17/24

35

3

—

3‌

Citibank,

Receive

Underlying

Reference:

Greggs

Monthly,

Pay

Variable

0.586%

(GBP

SONIA

+

0.39%)

Monthly,

1/17/24

70

—

—

—‌

Citibank,

Receive

Underlying

Reference:

Polypipe

Group

Monthly,

Pay

Variable

0.586%

(1M

GBP

LIBOR

+

0.39%)

Monthly,

1/17/24

48

(5)

—

(

5‌

)

Citibank,

Receive

Underlying

Reference:

Trainline

Monthly,

Pay

Variable

0.586%

(1M

GBP

LIBOR

+

0.39%)

Monthly,

1/17/24

11

(3)

(1)

(

2‌

)

Goldman

Sachs,

Pay

Underlying

Reference:

Hargreaves

Lansdown

Monthly,

Receive

Variable

(0.154)%

(1M

GBP

LIBOR

+

(0.35)%)

Monthly,

1/17/24

447

7

—

7‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

65

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Goldman

Sachs,

Receive

Underlying

Reference:

Fresnillo

Monthly,

Pay

Variable

0.576%

(1M

GBP

LIBOR

+

0.38%)

Monthly,

1/17/24

349

(103)

—

(

103‌

)

JPMorgan

Chase,

Pay

Underlying

Reference:

Prudential

Monthly,

Receive

Variable

(0.154)%

(1M

GBP

LIBOR

+

(0.35)%)

Monthly,

1/17/24

1,538

94

—

94‌

JPMorgan

Chase,

Receive

Underlying

Reference:

Auto

Trader

Group

Monthly,

Pay

Variable

0.546%

(1M

GBP

LIBOR

+

0.35%)

Monthly,

1/17/24

241

(8)

—

(

8‌

)

JPMorgan

Chase,

Receive

Underlying

Reference:

Greggs

Monthly,

Pay

Variable

0.546%

(1M

GBP

LIBOR

+

0.35%)

Monthly,

1/17/24

263

6

—

6‌

Morgan

Stanley,

Pay

Underlying

Reference:

Bunzl

Monthly,

Receive

Variable

(0.114)%

(1M

GBP

LIBOR

+

(0.31)%)

Monthly,

1/17/24

408

(15)

—

(

15‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Prudential

Monthly,

Receive

Variable

(0.114)%

(1M

GBP

LIBOR

+

(0.31)%)

Monthly,

1/17/24

350

21

—

21‌

Morgan

Stanley,

Pay

Underlying

Reference:

Standard

Life

Aberdeen

Monthly,

Receive

Variable

(0.114)%

(1M

GBP

LIBOR

+

(0.31)%)

Monthly,

1/17/24

319

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Avast

Monthly,

Pay

Variable

0.586%

(1M

GBP

LIBOR

+

0.39%)

Monthly,

1/17/24

226

5

—

5‌

Morgan

Stanley,

Receive

Underlying

Reference:

Burberry

Group

Monthly,

Pay

Variable

0.586%

(1M

GBP

LIBOR

+

0.39%)

Monthly,

1/17/24

104

9

—

9‌

Morgan

Stanley,

Receive

Underlying

Reference:

Direct

Line

Insurance

Group

Monthly,

Pay

Variable

0.586%

(1M

GBP

LIBOR

+

0.39%)

Monthly,

1/17/24

633

(16)

—

(

16‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

InterContinental

Hotels

Group

Monthly,

Pay

Variable

0.586%

(1M

GBP

LIBOR

+

0.39%)

Monthly,

1/17/24

1,424

(13)

—

(

13‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

66

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

Polypipe

Group

Monthly,

Pay

Variable

0.586%

(1M

GBP

LIBOR

+

0.39%)

Monthly,

1/17/24

297

(23)

—

(

23‌

)

UBS

Investment

Bank,

Pay

Underlying

Reference:

Rentokil

Initial

Monthly,

Receive

Variable

(0.204)%

(1M

GBP

LIBOR

+

(0.40)%)

Monthly,

1/17/24

316

11

—

11‌

UBS

Investment

Bank,

Pay

Underlying

Reference:

Rentokil

Initial

Monthly,

Receive

Variable

(0.204)%

(GBP

SONIA

+

(0.40)%)

Monthly,

1/17/24

128

4

—

4‌

UBS

Investment

Bank,

Pay

Underlying

Reference:

Whitbread

Monthly,

Receive

Variable

(0.204)%

(1M

GBP

LIBOR

+

(0.40)%)

Monthly,

1/17/24

589

35

—

35‌

UBS

Investment

Bank,

Pay

Underlying

Reference:

Whitbread

Monthly,

Receive

Variable

(0.204)%

(GBP

SONIA

+

(0.40)%)

Monthly,

1/17/24

424

(10)

—

(

10‌

)

UBS

Investment

Bank,

Receive

Underlying

Reference:

Burberry

Group

Monthly,

Pay

Variable

0.546%

(1M

GBP

LIBOR

+

0.35%)

Monthly,

1/17/24

413

39

—

39‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Derwent

London

Monthly,

Pay

Variable

0.546%

(1M

GBP

LIBOR

+

0.35%)

Monthly,

1/17/24

475

(4)

—

(

4‌

)

UBS

Investment

Bank,

Receive

Underlying

Reference:

Meggitt

Monthly,

Pay

Variable

0.546%

(1M

GBP

LIBOR

+

0.35%)

Monthly,

1/17/24

550

(4)

—

(

4‌

)

UBS

Investment

Bank,

Receive

Underlying

Reference:

Trainline

Monthly,

Pay

Variable

0.546%

(1M

GBP

LIBOR

+

0.35%)

Monthly,

1/17/24

280

(59)

—

(

59‌

)

Total

United

Kingdom

(1)

(

72‌

)

United

States

0.2%

Bank

of

America,

Pay

Underlying

Reference:

UDR

Monthly,

Receive

Variable

(0.260)%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

340

9

—

9‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

67

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Bank

of

America,

Receive

Underlying

Reference:

United

Parcel

Service,

Class

B

Monthly,

Pay

Variable

0.347%

(1M

USD

LIBOR

+

0.30%)

Monthly,

1/18/24

347

(6)

—

(

6‌

)

Citibank,

Pay

Underlying

Reference:

Eastman

Chemical

Monthly,

Receive

Variable

(0.260)%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

768

5

—

5‌

Citibank,

Pay

Underlying

Reference:

Hormel

Foods

Monthly,

Receive

Variable

(0.260)%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

447

21

—

21‌

Citibank,

Receive

Underlying

Reference:

American

International

Group

Monthly,

Pay

Variable

0.468%

(1M

USD

LIBOR

+

0.42%)

Monthly,

1/18/24

406

(24)

—

(

24‌

)

Citibank,

Receive

Underlying

Reference:

Cedar

Fair

Monthly,

Pay

Variable

0.468%

(1M

USD

LIBOR

+

0.42%)

Monthly,

1/18/24

406

20

—

20‌

Citibank,

Receive

Underlying

Reference:

NextEra

Energy

Monthly,

Pay

Variable

0.468%

(1M

USD

LIBOR

+

0.42%)

Monthly,

1/18/24

531

(39)

—

(

39‌

)

Citibank,

Receive

Underlying

Reference:

Paycor

HCM

Monthly,

Pay

Variable

0.460%

(SOFR

+

0.42%)

Monthly,

1/18/24

97

1

—

1‌

Citibank,

Receive

Underlying

Reference:

Paycor

HCM

Monthly,

Pay

Variable

0.468%

(1M

USD

LIBOR

+

0.42%)

Monthly,

1/18/24

324

4

—

4‌

Citibank,

Receive

Underlying

Reference:

Starbucks

Monthly,

Pay

Variable

0.468%

(1M

USD

LIBOR

+

0.42%)

Monthly,

1/18/24

452

(33)

—

(

33‌

)

Citibank,

Receive

Underlying

Reference:

Ulta

Beauty

Monthly,

Pay

Variable

0.468%

(1M

USD

LIBOR

+

0.42%)

Monthly,

1/18/24

357

(16)

—

(

16‌

)

Citibank,

Receive

Underlying

Reference:

Visa,

A

Shares

Monthly,

Pay

Variable

0.468%

(1M

USD

LIBOR

+

0.42%)

Monthly,

1/18/24

283

19

—

19‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

68

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Goldman

Sachs,

Pay

Underlying

Reference:

Applied

Materials

Quarterly,

Receive

Variable

0.194%

(3M

USD

LIBOR

+

(0.005)%)

Quaterly,

3/14/22

*

851

55

(1)

56‌

Goldman

Sachs,

Pay

Underlying

Reference:

AT&T

Monthly,

Receive

Variable

(0.260)%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

361

24

—

24‌

Goldman

Sachs,

Pay

Underlying

Reference:

Duke

Realty

Monthly,

Receive

Variable

(0.260)%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

372

8

—

8‌

Goldman

Sachs,

Pay

Underlying

Reference:

Equifax

Monthly,

Receive

Variable

(0.260)%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

580

2

—

2‌

Goldman

Sachs,

Pay

Underlying

Reference:

Exxon

Mobil

Monthly,

Receive

Variable

(0.260)%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

80

(3)

—

(

3‌

)

Goldman

Sachs,

Pay

Underlying

Reference:

Freeport-McMoRan

Monthly,

Receive

Variable

(0.260)%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

831

133

—

133‌

Goldman

Sachs,

Pay

Underlying

Reference:

Morgan

Stanley

Monthly,

Receive

Variable

(0.260)%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

319

(29)

—

(

29‌

)

Goldman

Sachs,

Pay

Underlying

Reference:

Morgan

Stanley

Monthly,

Receive

Variable

(0.260)%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

987

(37)

—

(

37‌

)

Goldman

Sachs,

Pay

Underlying

Reference:

Morgan

Stanley

Monthly,

Receive

Variable

(0.150)%

(SOFR

+

(0.19)%)

Monthly,

1/18/24

175

(3)

—

(

3‌

)

Goldman

Sachs,

Pay

Underlying

Reference:

NVIDIA

Quarterly,

Receive

Variable

0.194%

(3M

USD

LIBOR

+

(0.005)%)

Quaterly,

3/14/22

968

67

(6)

73‌

Goldman

Sachs,

Pay

Underlying

Reference:

Teucrium

Corn

Fund

Monthly,

Receive

Variable

(7.926)%

(1M

USD

LIBOR

+

(7.966)%)

Monthly,

1/18/24

751

(27)

—

(

27‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

69

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Goldman

Sachs,

Pay

Underlying

Reference:

Teucrium

Soybean

Fund

Monthly,

Receive

Variable

(5.017)%

(1M

USD

LIBOR

+

(5.057)%)

Monthly,

1/18/24

619

(50)

—

(

50‌

)

Goldman

Sachs,

Pay

Underlying

Reference:

Weyerhaeuser

Monthly,

Receive

Variable

(0.260)%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

731

(21)

—

(

21‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

Carney

Technology

Acquisition,

Class

A

Monthly,

Pay

Variable

0.457%

(1M

USD

LIBOR

+

0.41%)

Monthly,

1/18/24

163

—

—

—‌

Goldman

Sachs,

Receive

Underlying

Reference:

Cedar

Fair

Monthly,

Pay

Variable

0.457%

(1M

USD

LIBOR

+

0.41%)

Monthly,

1/18/24

151

13

—

13‌

Goldman

Sachs,

Receive

Underlying

Reference:

Cummins

Monthly,

Pay

Variable

0.457%

(1M

USD

LIBOR

+

0.41%)

Monthly,

1/18/24

801

(52)

—

(

52‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

FirstCash

Holdings

Monthly,

Pay

Variable

0.457%

(1M

USD

LIBOR

+

0.41%)

Monthly,

1/18/24

532

(25)

—

(

25‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

International

Paper

Monthly,

Pay

Variable

0.557%

(1M

USD

LIBOR

+

0.51%)

Monthly,

1/18/24

273

(6)

—

(

6‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

Microsoft

Monthly,

Pay

Variable

0.457%

(1M

USD

LIBOR

+

0.41%)

Monthly,

1/18/24

914

25

—

25‌

Goldman

Sachs,

Receive

Underlying

Reference:

Monster

Beverage

Monthly,

Pay

Variable

0.457%

(1M

USD

LIBOR

+

0.41%)

Monthly,

1/18/24

334

—

—

—‌

Goldman

Sachs,

Receive

Underlying

Reference:

Otis

Worldwide

Monthly,

Pay

Variable

0.557%

(1M

USD

LIBOR

+

0.51%)

Monthly,

1/18/24

306

6

—

6‌

Goldman

Sachs,

Receive

Underlying

Reference:

Xometry,

Class

A

Monthly,

Pay

Variable

0.457%

(1M

USD

LIBOR

+

0.41%)

Monthly,

1/18/24

102

3

—

3‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

70

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

JPMorgan

Chase,

Pay

Underlying

Reference:

Hershey

Monthly,

Receive

Variable

(0.210)%

(1M

USD

LIBOR

+

(0.25)%)

Monthly,

1/18/24

355

2

—

2‌

JPMorgan

Chase,

Pay

Underlying

Reference:

Intel

Monthly,

Receive

Variable

(0.210)%

(1M

USD

LIBOR

+

(0.25)%)

Monthly,

1/18/24

636

69

—

69‌

JPMorgan

Chase,

Pay

Underlying

Reference:

iShares

iBoxx

High

Yield

Corporate

Bond

ETF

Quarterly,

Receive

Variable

0.050%

(3M

USD

LIBOR

+

0%)

Quaterly,

6/21/22

2,200

35

1

34‌

JPMorgan

Chase,

Pay

Underlying

Reference:

Lowe's

Monthly,

Receive

Variable

(0.210)%

(1M

USD

LIBOR

+

(0.25)%)

Monthly,

1/18/24

438

2

—

2‌

JPMorgan

Chase,

Pay

Underlying

Reference:

Mozart

Borrower

Quarterly,

Receive

Variable

(0.602)%

(3M

USD

LIBOR

+

(0.65)%)

Quaterly,

6/21/22

704

(2)

(11)

9‌

JPMorgan

Chase,

Pay

Underlying

Reference:

S&P

Global

Monthly,

Receive

Variable

(0.210)%

(SOFR

+

(0.25)%)

Monthly,

1/18/24

933

20

—

20‌

JPMorgan

Chase,

Pay

Underlying

Reference:

Verizon

Monthly,

Receive

Variable

(0.210)%

(1M

USD

LIBOR

+

(0.25)%)

Monthly,

1/18/24

555

2

—

2‌

JPMorgan

Chase,

Receive

Underlying

Reference:

Carvana

Monthly,

Pay

Variable

0.397%

(1M

USD

LIBOR

+

0.35%)

Monthly,

1/18/24

212

—

—

—‌

JPMorgan

Chase,

Receive

Underlying

Reference:

Wells

Fargo

Monthly,

Pay

Variable

0.397%

(1M

USD

LIBOR

+

0.35%)

Monthly,

1/18/24

2,076

(106)

—

(

106‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

3D

Systems

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

104

6

—

6‌

Morgan

Stanley,

Pay

Underlying

Reference:

ABIOMED

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

277

(3)

—

(

3‌

)

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:

Adobe

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

426

(17)

—

(

17‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Alcoa

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

486

27

—

27‌

Morgan

Stanley,

Pay

Underlying

Reference:

AMETEK

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

450

9

—

9‌

Morgan

Stanley,

Pay

Underlying

Reference:

Analog

Devices

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

1,422

22

—

22‌

Morgan

Stanley,

Pay

Underlying

Reference:

Applied

Materials

Monthly,

Receive

Variable

(0.260)%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

*

377

(24)

—

(

24‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Applied

Materials

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

1,668

155

—

155‌

Morgan

Stanley,

Pay

Underlying

Reference:

Archer-Daniels-Midland

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

542

(28)

—

(

28‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

AT&T

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

183

12

—

12‌

Morgan

Stanley,

Pay

Underlying

Reference:

Autodesk

Inc

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

286

3

—

3‌

Morgan

Stanley,

Pay

Underlying

Reference:

Bank

of

America

Monthly,

Receive

Variable

(0.160)%

(SOFR

+

(0.20)%)

Monthly,

1/18/24

316

1

—

1‌

Morgan

Stanley,

Pay

Underlying

Reference:

Berkshire

Hathaway,

Class

B

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

598

14

—

14‌

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:

Blackstone

Mortgage

Trust,

Class

A

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

606

7

—

7‌

Morgan

Stanley,

Pay

Underlying

Reference:

Blackstone

Mortgage

Trust,

Class

A

Monthly,

Receive

Variable

(0.160)%

(SOFR

+

(0.20)%)

Monthly,

1/18/24

237

(13)

—

(

13‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Bristol-Myers

Squibb

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

1,390

—

—

—‌

Morgan

Stanley,

Pay

Underlying

Reference:

Caterpillar

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

1,275

157

—

157‌

Morgan

Stanley,

Pay

Underlying

Reference:

Celanese

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

721

63

—

63‌

Morgan

Stanley,

Pay

Underlying

Reference:

Cleveland-Cliffs

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

408

68

—

68‌

Morgan

Stanley,

Pay

Underlying

Reference:

Clorox

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

489

36

—

36‌

Morgan

Stanley,

Pay

Underlying

Reference:

Colgate-Palmolive

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

455

4

—

4‌

Morgan

Stanley,

Pay

Underlying

Reference:

Consumer

Staples

Select

Sector

SPDR

Fund

Monthly,

Receive

Variable

(0.590)%

(1M

USD

LIBOR

+

(0.63)%)

Monthly,

1/18/24

311

—

—

—‌

Morgan

Stanley,

Pay

Underlying

Reference:

Consumer

Staples

Select

Sector

SPDR

Fund

Monthly,

Receive

Variable

(0.590)%

(SOFR

+

(0.63)%)

Monthly,

1/18/24

281

—

—

—‌

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:

Covenant

Logistics

Group

Monthly,

Receive

Variable

(0.160)%

(SOFR

+

(0.20)%)

Monthly,

1/18/24

335

21

—

21‌

Morgan

Stanley,

Pay

Underlying

Reference:

Crown

Castle

International

Monthly,

Receive

Variable

(0.260)%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

922

(15)

—

(

15‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Crown

Castle

International

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

301

2

—

2‌

Morgan

Stanley,

Pay

Underlying

Reference:

Crown

Castle

International

Monthly,

Receive

Variable

(0.160)%

(SOFR

+

(0.20)%)

Monthly,

1/18/24

352

(7)

—

(

7‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Deere

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

1,512

30

—

30‌

Morgan

Stanley,

Pay

Underlying

Reference:

Discover

Financial

Services

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

765

49

—

49‌

Morgan

Stanley,

Pay

Underlying

Reference:

Dow

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

1,540

12

—

12‌

Morgan

Stanley,

Pay

Underlying

Reference:

Dow

Monthly,

Receive

Variable

(0.160)%

(SOFR

+

(0.20)%)

Monthly,

1/18/24

151

1

—

1‌

Morgan

Stanley,

Pay

Underlying

Reference:

DuPont

de

Nemours

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

1,289

110

—

110‌

Morgan

Stanley,

Pay

Underlying

Reference:

Eastman

Chemical

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

370

25

—

25‌

Morgan

Stanley,

Pay

Underlying

Reference:

Edwards

Lifesciences

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

391

22

—

22‌

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:

Expeditors

International

of

Washington

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

518

25

—

25‌

Morgan

Stanley,

Pay

Underlying

Reference:

Exxon

Mobil

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

2,208

(87)

—

(

87‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Financial

Select

Sector

SPDR

Fund

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

303

6

—

6‌

Morgan

Stanley,

Pay

Underlying

Reference:

Financial

Select

Sector

SPDR

Fund

Monthly,

Receive

Variable

(0.160)%

(SOFR

+

(0.20)%)

Monthly,

1/18/24

275

6

—

6‌

Morgan

Stanley,

Pay

Underlying

Reference:

First

Republic

Bank

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

341

12

—

12‌

Morgan

Stanley,

Pay

Underlying

Reference:

Foot

Locker

Monthly,

Receive

Variable

(0.160)%

(SOFR

+

(0.20)%)

Monthly,

1/18/24

193

5

—

5‌

Morgan

Stanley,

Pay

Underlying

Reference:

Foot

Locker

Monthly,

Receive

Variable

(0.160)%

(SOFR

+

(0.20)%)

Monthly,

1/18/24

93

(1)

—

(

1‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Fortune

Brands

Home

&

Security

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

317

14

—

14‌

Morgan

Stanley,

Pay

Underlying

Reference:

Freeport-McMoRan

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

518

83

—

83‌

Morgan

Stanley,

Pay

Underlying

Reference:

IDEX

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

779

8

—

8‌

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:

IDEXX

Laboratories

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

868

18

—

18‌

Morgan

Stanley,

Pay

Underlying

Reference:

Incyte

Monthly,

Receive

Variable

(0.260)%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

38

—

—

—‌

Morgan

Stanley,

Pay

Underlying

Reference:

Incyte

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

378

3

—

3‌

Morgan

Stanley,

Pay

Underlying

Reference:

Intel

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

1,188

129

—

129‌

Morgan

Stanley,

Pay

Underlying

Reference:

iShares

Russell

2000

Growth

ETF

Monthly,

Receive

Variable

(2.140)%

(SOFR

+

(2.18)%)

Monthly,

1/18/24

3,571

95

—

95‌

Morgan

Stanley,

Pay

Underlying

Reference:

Jack

Henry

&

Associates

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

1,373

(20)

—

(

20‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Johnson

&

Johnson

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

1,541

(48)

—

(

48‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

JPMorgan

Chase

Monthly,

Receive

Variable

(0.220)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

1,548

27

—

27‌

Morgan

Stanley,

Pay

Underlying

Reference:

Kroger

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

585

60

—

60‌

Morgan

Stanley,

Pay

Underlying

Reference:

Lam

Research

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

1,107

145

—

145‌

Morgan

Stanley,

Pay

Underlying

Reference:

Lumen

Technologies

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

286

(5)

—

(

5‌

)

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:

Match

Group

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

424

12

—

12‌

Morgan

Stanley,

Pay

Underlying

Reference:

Merck

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

780

1

—

1‌

Morgan

Stanley,

Pay

Underlying

Reference:

Mettler-Toledo

International

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

577

4

—

4‌

Morgan

Stanley,

Pay

Underlying

Reference:

Microchip

Technology

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

1,152

27

—

27‌

Morgan

Stanley,

Pay

Underlying

Reference:

Microsoft

Monthly,

Receive

Variable

(0.160)%

(SOFR

+

(0.20)%)

Monthly,

1/18/24

474

(24)

—

(

24‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Mid-America

Apartment

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

359

13

—

13‌

Morgan

Stanley,

Pay

Underlying

Reference:

MKS

Instruments

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

114

11

—

11‌

Morgan

Stanley,

Pay

Underlying

Reference:

MSCI

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

1,011

(38)

—

(

38‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

MSCI

Monthly,

Receive

Variable

(0.160)%

(SOFR

+

(0.20)%)

Monthly,

1/18/24

166

(6)

—

(

6‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

NortonLifeLock

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

30

1

—

1‌

Morgan

Stanley,

Pay

Underlying

Reference:

Nuance

Communications

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

100

—

—

—‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

77

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Pay

Underlying

Reference:

Old

Dominion

Freight

Line

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

588

22

—

22‌

Morgan

Stanley,

Pay

Underlying

Reference:

Paycom

Software

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

269

(11)

—

(

11‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

PayPal

Holdings

Monthly,

Receive

Variable

(0.160)%

(SOFR

+

(0.20)%)

Monthly,

1/18/24

331

(21)

—

(

21‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Phillips

66

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

821

36

—

36‌

Morgan

Stanley,

Pay

Underlying

Reference:

Phillips

66

Monthly,

Receive

Variable

(0.160)%

(SOFR

+

(0.20)%)

Monthly,

1/18/24

1,607

29

—

29‌

Morgan

Stanley,

Pay

Underlying

Reference:

Pool

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

380

14

—

14‌

Morgan

Stanley,

Pay

Underlying

Reference:

Procter

&

Gamble

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

377

(9)

—

(

9‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Prudential

Financial

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

335

12

—

12‌

Morgan

Stanley,

Pay

Underlying

Reference:

PTC

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

1,240

(2)

—

(

2‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Raytheon

Technologies

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

332

2

—

2‌

Morgan

Stanley,

Pay

Underlying

Reference:

Ryder

System

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

364

20

—

20‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

78

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Pay

Underlying

Reference:

Ryder

System

Monthly,

Receive

Variable

(0.160)%

(SOFR

+

(0.20)%)

Monthly,

1/18/24

140

8

—

8‌

Morgan

Stanley,

Pay

Underlying

Reference:

S&P

Global

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

1,049

22

—

22‌

Morgan

Stanley,

Pay

Underlying

Reference:

Schneider

National,

Class

B

Monthly,

Receive

Variable

(0.160)%

(SOFR

+

(0.20)%)

Monthly,

1/18/24

490

27

—

27‌

Morgan

Stanley,

Pay

Underlying

Reference:

Snap-on

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

691

20

—

20‌

Morgan

Stanley,

Pay

Underlying

Reference:

SPDR

S&P

Insurance

ETF

Monthly,

Receive

Variable

(3.040)%

(1M

USD

LIBOR

+

(3.08)%)

Monthly,

1/18/24

305

5

—

5‌

Morgan

Stanley,

Pay

Underlying

Reference:

SPDR

S&P

Insurance

ETF

Monthly,

Receive

Variable

(3.040)%

(SOFR

+

(3.08)%)

Monthly,

1/18/24

285

5

—

5‌

Morgan

Stanley,

Pay

Underlying

Reference:

Synchrony

Financial

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

789

78

—

78‌

Morgan

Stanley,

Pay

Underlying

Reference:

Target

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

603

(1)

—

(

1‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Teradyne

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

728

178

—

178‌

Morgan

Stanley,

Pay

Underlying

Reference:

Tesla

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

724

66

—

66‌

Morgan

Stanley,

Pay

Underlying

Reference:

Teucrium

Corn

Fund

Monthly,

Receive

Variable

(1.990)%

(1M

USD

LIBOR

+

(2.03)%)

Monthly,

1/18/24

109

(4)

—

(

4‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

79

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Pay

Underlying

Reference:

Teucrium

Soybean

Fund

Monthly,

Receive

Variable

(4.240)%

(1M

USD

LIBOR

+

(4.28)%)

Monthly,

1/18/24

208

(17)

—

(

17‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Truist

Financial

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

918

59

—

59‌

Morgan

Stanley,

Pay

Underlying

Reference:

United

States

Natural

Gas

Fund

Monthly,

Receive

Variable

(3.340)%

(1M

USD

LIBOR

+

(3.38)%)

Monthly,

1/18/24

186

(35)

—

(

35‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

United

States

Natural

Gas

Fund

Monthly,

Receive

Variable

(3.340)%

(SOFR

+

(3.38)%)

Monthly,

1/18/24

152

(30)

—

(

30‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

United

States

Natural

Gas

Fund

Monthly,

Receive

Variable

(2.940)%

(1M

USD

LIBOR

+

(2.98)%)

Monthly,

1/18/24

198

(37)

—

(

37‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

United

States

Natural

Gas

Fund

Monthly,

Receive

Variable

(0.160)%

(SOFR

+

(0.20)%)

Monthly,

1/18/24

94

(28)

—

(

28‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

United

States

Steel

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

470

64

—

64‌

Morgan

Stanley,

Pay

Underlying

Reference:

Valero

Energy

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

426

13

—

13‌

Morgan

Stanley,

Pay

Underlying

Reference:

Verizon

Monthly,

Receive

Variable

(0.160)%

(1M

USD

LIBOR

+

(0.20)%)

Monthly,

1/18/24

334

1

—

1‌

Morgan

Stanley,

Pay

Underlying

Reference:

VF

Monthly,

Receive

Variable

(0.160)%

(SOFR

+

(0.20)%)

Monthly,

1/18/24

664

11

—

11‌

Morgan

Stanley,

Pay

Underlying

Reference:

Werner

Enterprises

Monthly,

Receive

Variable

(0.160)%

(SOFR

+

(0.20)%)

Monthly,

1/18/24

482

23

—

23‌

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:

7GC

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

2

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

7GC,

Class

A

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

71

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Acadia

Realty

Trust

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

484

(45)

—

(

45‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Activision

Blizzard

Monthly,

Pay

Variable

0.447%

(SOFR

+

0.40%)

Monthly,

1/18/24

683

(28)

—

(

28‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Air

Products

and

Chemicals

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

1,682

(27)

—

(

27‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Allegiant

Travel

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

473

(8)

—

(

8‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Alphabet,

Class

C

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

801

(4)

—

(

4‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Altaba

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

47

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Amazon.com

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

762

(45)

—

(

45‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Ameren

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

416

5

—

5‌

Morgan

Stanley,

Receive

Underlying

Reference:

Apartment

Income

REIT

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

300

(8)

—

(

8‌

)

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:

Apple

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

1,470

43

—

43‌

Morgan

Stanley,

Receive

Underlying

Reference:

Assurant

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

168

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Atmos

Energy

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

391

7

—

7‌

Morgan

Stanley,

Receive

Underlying

Reference:

Becton

Dickinson

&

Company

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

330

(8)

—

(

8‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Black

Knight

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

549

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Broadcom

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

1,210

17

—

17‌

Morgan

Stanley,

Receive

Underlying

Reference:

Burlington

Stores

Monthly,

Pay

Variable

0.440%

(SOFR

+

0.40%)

Monthly,

1/18/24

819

28

—

28‌

Morgan

Stanley,

Receive

Underlying

Reference:

Burlington

Stores

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

209

17

—

17‌

Morgan

Stanley,

Receive

Underlying

Reference:

Cadence

Design

Systems

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

609

(6)

—

(

6‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Camden

Property

Trust

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

516

(14)

—

(

14‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Capital

One

Financial

Monthly,

Pay

Variable

0.447%

(SOFR

+

0.40%)

Monthly,

1/18/24

333

(22)

—

(

22‌

)

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:

Capital

One

Financial

Monthly,

Pay

Variable

0.447%

(SOFR

+

0.40%)

Monthly,

1/18/24

724

(3)

—

(

3‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Carney

Technology

Acquisition,

Class

A

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

127

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Cascade

Acquisition,

Class

A

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

65

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Cedar

Fair

Monthly,

Pay

Variable

0.697%

(1M

USD

LIBOR

+

0.65%)

Monthly,

1/18/24

87

7

—

7‌

Morgan

Stanley,

Receive

Underlying

Reference:

Charles

Schwab

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

624

(30)

—

(

30‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Chipotle

Mexican

Grill

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

619

3

—

3‌

Morgan

Stanley,

Receive

Underlying

Reference:

Citigroup

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

2,053

(6)

—

(

6‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Citizens

Financial

Group

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

340

(26)

—

(

26‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Citrix

Systems

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

298

3

—

3‌

Morgan

Stanley,

Receive

Underlying

Reference:

CME

Group

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

606

16

—

16‌

Morgan

Stanley,

Receive

Underlying

Reference:

Constellation

Brands,

Class

A

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

1,162

(27)

—

(

27‌

)

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:

CyrusOne

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

214

1

—

1‌

Morgan

Stanley,

Receive

Underlying

Reference:

Danaher

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

301

(3)

—

(

3‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Delwinds

Insurance

Acquisition,

Class

A

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

147

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Dollar

Tree

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

345

6

—

6‌

Morgan

Stanley,

Receive

Underlying

Reference:

Dominion

Energy

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

765

21

—

21‌

Morgan

Stanley,

Receive

Underlying

Reference:

DoorDash,

Class

A

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

284

(33)

—

(

33‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

DoorDash,

Class

A

Monthly,

Pay

Variable

0.447%

(SOFR

+

0.40%)

Monthly,

1/18/24

202

(11)

—

(

11‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Douglas

Emmett

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

470

(47)

—

(

47‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

elf

Beauty

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

413

21

—

21‌

Morgan

Stanley,

Receive

Underlying

Reference:

Eli

Lilly

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

912

(6)

—

(

6‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

EOG

Resources

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

1,212

66

—

66‌

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:

Equitable

Holdings

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

445

(18)

—

(

18‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Equitrans

Midstream

Monthly,

Pay

Variable

0.440%

(SOFR

+

0.40%)

Monthly,

1/18/24

47

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Equity

Distribution

Acquisition,

Class

A

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

146

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Equity

Residential

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

507

(9)

—

(

9‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Eversource

Energy

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

258

8

—

8‌

Morgan

Stanley,

Receive

Underlying

Reference:

EZCORP,

Class

A

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

531

(27)

—

(

27‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

FleetCor

Technologies

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

465

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Freshpet

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

442

23

—

23‌

Morgan

Stanley,

Receive

Underlying

Reference:

General

Electric

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

2,398

(196)

1

(

197‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

General

Electric

Monthly,

Pay

Variable

0.448%

(SOFR

+

0.40%)

Monthly,

1/18/24

45

2

—

2‌

Morgan

Stanley,

Receive

Underlying

Reference:

Goldman

Sachs

Group

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

568

—

—

—‌

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:

Huntington

Bancshares

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

1,021

(140)

—

(

140‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Intuitive

Surgical

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

940

(36)

—

(

36‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Kimco

Realty

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

445

(11)

—

(

11‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

KKR

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

535

25

—

25‌

Morgan

Stanley,

Receive

Underlying

Reference:

KLA

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

2,486

(143)

—

(

143‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Kymera

Therapeutics

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

67

4

—

4‌

Morgan

Stanley,

Receive

Underlying

Reference:

Las

Vegas

Sands

Monthly,

Pay

Variable

0.447%

(SOFR

+

0.40%)

Monthly,

1/18/24

682

21

—

21‌

Morgan

Stanley,

Receive

Underlying

Reference:

Lionheart

Acquisition,

Class

A

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

148

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Martin

Marietta

Materials

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

361

(7)

—

(

7‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Marvell

Technology

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

297

(24)

—

(

24‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

McAfee,

Class

A

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

513

—

—

—‌

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:

MercadoLibre

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

328

9

—

9‌

Morgan

Stanley,

Receive

Underlying

Reference:

Meta

Platforms,

Class

A

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

1,871

(29)

—

(

29‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Monte

Rosa

Therapeutics

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

32

(3)

—

(

3‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

News,

Class

A

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

406

1

—

1‌

Morgan

Stanley,

Receive

Underlying

Reference:

NextEra

Energy

Monthly,

Pay

Variable

0.440%

(SOFR

+

0.40%)

Monthly,

1/18/24

144

4

—

4‌

Morgan

Stanley,

Receive

Underlying

Reference:

NVIDIA

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

519

(29)

—

(

29‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

NVIDIA

Monthly,

Pay

Variable

0.447%

(SOFR

+

0.40%)

Monthly,

1/18/24

199

4

—

4‌

Morgan

Stanley,

Receive

Underlying

Reference:

Omnichannel

Acquisition,

Class

A

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

147

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Oportun

Financial

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

563

(28)

—

(

28‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

O'Reilly

Automotive

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

349

(7)

—

(

7‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

PACCAR

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

806

(25)

—

(

25‌

)

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:

Pershing

Square

Tontine

Holdings,

Class

A

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

926

(2)

—

(

2‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Phillips

66

Partners

Monthly,

Pay

Variable

0.690%

(SOFR

+

0.65%)

Monthly,

1/18/24

1,605

(46)

—

(

46‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Phillips

66

Partners

Monthly,

Pay

Variable

0.697%

(1M

USD

LIBOR

+

0.65%)

Monthly,

1/18/24

822

(47)

—

(

47‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Pioneer

Natural

Resources

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

986

13

—

13‌

Morgan

Stanley,

Receive

Underlying

Reference:

PMV,

Class

A

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

145

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

PNC

Financial

Services

Group

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

488

(25)

—

(

25‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

PropTech

Investment,

Class

A

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

94

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

QUALCOMM

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

859

(15)

—

(

15‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

RAPT

Therapeutics

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

53

(7)

—

(

7‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

ResMed

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

397

(20)

—

(

20‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Rivian

Automotive,

Class

A

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

285

(29)

—

(

29‌

)

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:

Ross

Stores

Monthly,

Pay

Variable

0.440%

(SOFR

+

0.40%)

Monthly,

1/18/24

411

11

—

11‌

Morgan

Stanley,

Receive

Underlying

Reference:

Ross

Stores

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

263

(4)

—

(

4‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Ross

Stores

Monthly,

Pay

Variable

0.450%

(SOFR

+

0.40%)

Monthly,

1/18/24

348

4

—

4‌

Morgan

Stanley,

Receive

Underlying

Reference:

SBA

Monthly,

Pay

Variable

0.440%

(SOFR

+

0.40%)

Monthly,

1/18/24

340

10

—

10‌

Morgan

Stanley,

Receive

Underlying

Reference:

Scholar

Rock

Holding

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

110

(6)

—

(

6‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Sealed

Air

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

367

8

—

8‌

Morgan

Stanley,

Receive

Underlying

Reference:

Sempra

Energy

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

424

8

—

8‌

Morgan

Stanley,

Receive

Underlying

Reference:

Senior

Connect

Acquisition,

Class

A

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

145

(1)

—

(

1‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

SI-BONE

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

142

(12)

—

(

12‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Southwest

Airlines

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

1,133

(17)

—

(

17‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

State

Street

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

1,149

(74)

—

(

74‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

89

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

Stryker

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

687

(33)

—

(

33‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Sun

Country

Airlines

Holdings

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

393

6

—

6‌

Morgan

Stanley,

Receive

Underlying

Reference:

Synopsys

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

855

(8)

—

(

8‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Ventas

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

339

5

—

5‌

Morgan

Stanley,

Receive

Underlying

Reference:

VeriSign

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

720

(10)

—

(

10‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Verisk

Analytics

Monthly,

Pay

Variable

0.447%

(SOFR

+

0.40%)

Monthly,

1/18/24

333

(5)

—

(

5‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Vulcan

Materials

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

625

(1)

—

(

1‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Walt

Disney

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

1,057

(65)

—

(

65‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

WEC

Energy

Group

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

350

5

—

5‌

Morgan

Stanley,

Receive

Underlying

Reference:

Wells

Fargo

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

361

(19)

—

(

19‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Welltower

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

924

(6)

—

(

6‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

90

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

Workday,

Class

A

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

270

8

—

8‌

Morgan

Stanley,

Receive

Underlying

Reference:

Wynn

Resorts

Monthly,

Pay

Variable

0.448%

(SOFR

+

0.40%)

Monthly,

1/18/24

592

(4)

—

(

4‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Xcel

Energy

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

658

12

—

12‌

Morgan

Stanley,

Receive

Underlying

Reference:

Xilinx

Monthly,

Pay

Variable

0.440%

(SOFR

+

0.40%)

Monthly,

1/18/24

631

64

—

64‌

Morgan

Stanley,

Receive

Underlying

Reference:

Zynga,

Class

A

Monthly,

Pay

Variable

0.447%

(SOFR

+

0.40%)

Monthly,

1/18/24

253

2

—

2‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Terminix

Global

Holdings

Monthly,

Pay

Variable

0.398%

(1M

USD

LIBOR

+

0.35%)

Monthly,

1/18/24

499

(3)

—

(

3‌

)

UBS

Investment

Bank,

Receive

Underlying

Reference:

Terminix

Global

Holdings

Monthly,

Pay

Variable

0.398%

(SOFR

+

0.35%)

Monthly,

1/18/24

196

(1)

—

(

1‌

)

Total

United

States

(16)

746‌

Virgin

Islands

(British)

(0.0)%

Morgan

Stanley,

Receive

Underlying

Reference:

Eucrates

Biomedical

Acquisition

Monthly,

Pay

Variable

0.447%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

39

—

—

—‌

Total

Virgin

Islands

(British)

—

—‌

Total

Bilateral

Total

Return

Swaps

(17)

1,294‌

Interest

Rate

Swaps

0.0%

Brazil

0.0%

Morgan

Stanley,

3

Year

Interest

Rate

Swap,

Receive

Fixed

10.79%

Quarterly,

Pay

Variable

0.70%,

(BRL

CDI)

Quarterly,

1/2/25

22,800

(23)

—

(

23‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

91

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

3

Year

Interest

Rate

Swap,

Receive

Fixed

11.75%

Quarterly,

Pay

Variable

1.70%,

(BRL

CDI)

Quarterly,

1/2/25

22,125

67

—

67‌

Total

Brazil

—

44‌

Total

Bilateral

Interest

Rate

Swaps

—

44‌

Total

Bilateral

Swaps

(148)

1,814‌

Description

Notional

Amount

$

Value

Initial

$

Value

**

Unrealized

$

Gain/(Loss)

CENTRALLY

CLEARED

SWAPS

(0.0)%

Credit

Default

Swaps,

Protection

Bought

(0.3)%

Foreign/Europe

(0.1)%

Protection

Bought

(Relevant

Credit:

Markit

iTraxx

Crossover-S36,

5

Year

Index),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/20/26

2,410

(271)

(304)

33‌

Total

Foreign/Europe

33‌

Luxembourg

(0.0)%

Protection

Bought

(Relevant

Credit:

Glencore

Finance

Europe),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/20/26

230

(47)

(50)

3‌

Total

Luxembourg

3‌

South

Africa

0.0%

Protection

Bought

(Relevant

Credit:

Republic

of

South

Africa),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

6/20/26

(USD)

540

20

25

(

5‌

)

Total

South

Africa

(

5‌

)

United

States

(0.2)%

Protection

Bought

(Relevant

Credit:

Bausch

Health

Cos),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

6/20/26

1,570

55

(77)

132‌

Protection

Bought

(Relevant

Credit:

Bausch

Health

Cos),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/20/26

*

110

6

(3)

9‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

92

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Initial

$

Value**

Unrealized

$

Gain/(Loss)

Protection

Bought

(Relevant

Credit:

CHS/

Community

Health

Systems),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

6/20/26

500

18

17

1‌

Protection

Bought

(Relevant

Credit:

CHS/

Community

Health

Systems),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/20/26

95

5

6

(

1‌

)

Protection

Bought

(Relevant

Credit:

iStar),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

6/20/26

675

(53)

(84)

31‌

Protection

Bought

(Relevant

Credit:

Markit

CDX.EM-S36,

5

Year

Index),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

12/20/26

6,325

311

319

(

8‌

)

Protection

Bought

(Relevant

Credit:

Markit

CDX.NA.HY-S37,

5

Year

Index),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/20/26

10,740

(806)

(842)

36‌

Protection

Bought

(Relevant

Credit:

Markit

CDX.NA.IG-S37,

5

Year

Index),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

12/20/26

16,380

(327)

(365)

38‌

Protection

Bought

(Relevant

Credit:

Prudential

Financial),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

6/20/26

220

(4)

(5)

1‌

Protection

Bought

(Relevant

Credit:

Quest

Diagnostics),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

6/20/26

220

(6)

(6)

—‌

Protection

Bought

(Relevant

Credit:

Raytheon

Technologies),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

6/20/26

220

(7)

(7)

—‌

Protection

Bought

(Relevant

Credit:

Xerox),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

12/20/26

55

5

5

—‌

Total

United

States

239‌

Total

Centrally

Cleared

Credit

Default

Swaps,

Protection

Bought

270‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

93

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Initial

$

Value**

Unrealized

$

Gain/(Loss)

Credit

Default

Swaps,

Protection

Sold

0.0%

Colombia

(0.0)%

Protection

Sold

(Relevant

Credit:

Republic

of

Colombia,

Baa2*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

6/20/26

(USD)

780

(31)

(11)

(

20‌

)

Total

Colombia

(

20‌

)

South

Africa

0.0%

Protection

Sold

(Relevant

Credit:

Anglo

American

Capital,

Baa2*),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

12/20/26

(EUR)

650

139

148

(

9‌

)

Total

South

Africa

(

9‌

)

Total

Centrally

Cleared

Credit

Default

Swaps,

Protection

Sold

(

29‌

)

Interest

Rate

Swaps

0.2%

Australia

0.0%

5

Year

Interest

Rate

Swap,

Pay

Fixed

1.774%

Semi-Annually,

Receive

Variable

0.228%

(6M

BBSW)

Semi-Annually,

1/6/27

7,070

30

1

29‌

5

Year

Interest

Rate

Swap,

Pay

Fixed

1.842%

Semi-Annually,

Receive

Variable

0.240%

(6M

BBSW)

Semi-Annually,

1/18/27

7,360

17

—

17‌

10

Year

Interest

Rate

Swap,

Pay

Fixed

2.215%

Semi-Annually,

Receive

Variable

0.235%

(6M

BBSW)

Semi-Annually,

1/20/32

5,445

(12)

1

(

13‌

)

10

Year

Interest

Rate

Swap,

Pay

Fixed

2.278%

Semi-Annually,

Receive

Variable

0.262%

(6M

BBSW)

Semi-Annually,

1/28/32

3,700

(22)

—

(

22‌

)

Total

Australia

11‌

Canada

0.0%

5

Year

Interest

Rate

Swap,

Pay

Fixed

2.098%

Semi-Annually,

Receive

Variable

0.753%

(3M

CAD

CDOR)

Semi-Annually,

1/25/27

6,625

7

—

7‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

94

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Initial

$

Value**

Unrealized

$

Gain/(Loss)

5

Year

Interest

Rate

Swap,

Pay

Fixed

2.127%

Semi-Annually,

Receive

Variable

0.563%

(3M

CAD

CDOR)

Semi-Annually,

1/18/27

6,600

(3)

—

(

3‌

)

30

Year

Interest

Rate

Swap,

Pay

Fixed

2.115%

Semi-Annually,

Receive

Variable

0.480%

(3M

CAD

CDOR)

Semi-Annually,

8/4/51

920

58

—

58‌

Total

Canada

62‌

China

0.1%

5

Year

Interest

Rate

Swap,

Receive

Fixed

2.432%

Quarterly,

Pay

Variable

2.150%

(7

Day

Interbank

Repo)

Quarterly,

8/9/26

30,500

44

—

44‌

5

Year

Interest

Rate

Swap,

Receive

Fixed

2.625%

Quarterly,

Pay

Variable

2.080%

(7

Day

Interbank

Repo)

Quarterly,

12/16/26

31,800

90

—

90‌

Total

China

134‌

Hong

Kong

(0.0)%

5

Year

Interest

Rate

Swap,

Receive

Fixed

0.700%

Quarterly,

Pay

Variable

0.159%

(3M

HKD

HIBOR)

Quarterly,

8/6/26

11,000

(58)

—

(

58‌

)

Total

Hong

Kong

(

58‌

)

Mexico

(0.0)%

5

Year

Interest

Rate

Swap,

Receive

Fixed

7.176%

28

Days,

Pay

Variable

5.722%

(MXIBTIIE)

28

Days,

11/16/26

18,060

(10)

—

(

10‌

)

5

Year

Interest

Rate

Swap,

Receive

Fixed

7.260%

28

Days,

Pay

Variable

5.722%

(MXIBTIIE)

28

Days,

11/13/26

6,845

(3)

—

(

3‌

)

5

Year

Interest

Rate

Swap,

Receive

Fixed

7.295%

28

Days,

Pay

Variable

5.722%

(MXIBTIIE)

28

Days,

11/12/26

18,260

(4)

1

(

5‌

)

5

Year

Interest

Rate

Swap,

Receive

Fixed

7.345%

28

Days,

Pay

Variable

5.723%

(MXIBTIIE)

28

Days,

11/11/26

11,135

(2)

—

(

2‌

)

Total

Mexico

(

20‌

)

Poland

0.2%

10

Year

Interest

Rate

Swap,

Pay

Fixed

1.628%

Annually,

Receive

Variable

0.250%

(6M

PLN

WIBOR)

Semi-Annually,

8/6/31

15,500

687

—

687‌

Total

Poland

687‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

95

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Initial

$

Value**

Unrealized

$

Gain/(Loss)

South

Korea

(0.1)%

10

Year

Interest

Rate

Swap,

Receive

Fixed

1.949%

Quarterly,

Pay

Variable

1.280%

(3M

KWCDC)

Quarterly,

9/17/31

6,340,000

(132)

—

(

132‌

)

Total

South

Korea

(

132‌

)

United

Kingdom

0.0%

30

Year

Interest

Rate

Swap,

Pay

Fixed

0.912%

Annually,

Receive

Variable

0.090%

(GBP

SONIA)

Annually,

9/27/51

1,020

50

—

50‌

50

Year

Interest

Rate

Swap,

Pay

Fixed

0.742%

Annually,

Receive

Variable

0.090%

(GBP

SONIA)

Annually,

9/27/71

105

9

1

8‌

Total

United

Kingdom

58‌

Total

Centrally

Cleared

Interest

Rate

Swaps

742‌

Zero-Coupon

Inflation

Swaps

0.1%

United

States

0.1%

5

Year

Zero-Coupon

Inflation

Swap

Pay

Fixed

0.029%

at

Maturity,

Receive

Variable

(Change

in

CPI)

at

Maturity,

12/9/26

887

9

1

8‌

5

Year

Zero-Coupon

Inflation

Swap

Pay

Fixed

3.007%

at

Maturity,

Receive

Variable

(Change

in

CPI)

at

Maturity,

12/14/26

256

2

—

2‌

5

Year

Zero-Coupon

Inflation

Swap

Pay

Fixed

3.026%

at

Maturity,

Receive

Variable

(Change

in

CPI)

at

Maturity,

12/10/26

257

2

—

2‌

5

Year

Zero-Coupon

Inflation

Swap

Pay

Fixed

3.176%

at

Maturity,

Receive

Variable

(Change

in

CPI)

at

Maturity,

11/26/26

500

2

1

1‌

5

Year

Zero-Coupon

Inflation

Swap

Pay

Fixed

3.180%

at

Maturity,

Receive

Variable

(Change

in

CPI)

at

Maturity,

11/26/26

500

1

—

1‌

5

Year

Zero-Coupon

Inflation

Swap

Receive

Fixed

0.029%

at

Maturity,

Pay

Variable

(Change

in

CPI)

at

Maturity,

12/9/26

5,000

(51)

—

(

51‌

)

5

Year

Zero-Coupon

Inflation

Swap

Receive

Fixed

2.815%

at

Maturity,

Pay

Variable

(Change

in

CPI)

at

Maturity,

1/21/27

4,800

(42)

—

(

42‌

)

5

Year

Zero-Coupon

Inflation

Swap

Receive

Fixed

2.864%

at

Maturity,

Pay

Variable

(Change

in

CPI)

at

Maturity,

12/21/26

4,984

(65)

1

(

66‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

96

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Initial

$

Value**

Unrealized

$

Gain/(Loss)

5

Year

Zero-Coupon

Inflation

Swap

Receive

Fixed

2.875%

at

Maturity,

Pay

Variable

(Change

in

CPI)

at

Maturity,

1/11/27

4,900

(37)

—

(

37‌

)

10

Year

Zero-Coupon

Inflation

Swap

Pay

Fixed

2.525%

at

Maturity,

Receive

Variable

(Change

in

CPI)

at

Maturity,

9/29/31

680

27

1

26‌

10

Year

Zero-Coupon

Inflation

Swap

Pay

Fixed

2.558%

at

Maturity,

Receive

Variable

(Change

in

CPI)

at

Maturity,

9/29/31

208

7

—

7‌

10

Year

Zero-Coupon

Inflation

Swap

Pay

Fixed

2.560%

at

Maturity,

Receive

Variable

(Change

in

CPI)

at

Maturity,

9/22/31

1,053

38

1

37‌

10

Year

Zero-Coupon

Inflation

Swap

Pay

Fixed

2.565%

at

Maturity,

Receive

Variable

(Change

in

CPI)

at

Maturity,

9/22/31

597

21

—

21‌

10

Year

Zero-Coupon

Inflation

Swap

Pay

Fixed

2.588%

at

Maturity,

Receive

Variable

(Change

in

CPI)

at

Maturity,

10/1/31

153

5

—

5‌

10

Year

Zero-Coupon

Inflation

Swap

Pay

Fixed

2.597%

at

Maturity,

Receive

Variable

(Change

in

CPI)

at

Maturity,

9/30/31

153

4

—

4‌

10

Year

Zero-Coupon

Inflation

Swap

Pay

Fixed

2.598%

at

Maturity,

Receive

Variable

(Change

in

CPI)

at

Maturity,

9/30/31

103

3

—

3‌

10

Year

Zero-Coupon

Inflation

Swap

Pay

Fixed

2.605%

at

Maturity,

Receive

Variable

(Change

in

CPI)

at

Maturity,

9/30/31

171

5

—

5‌

30

Year

Zero-Coupon

Inflation

Swap

Pay

Fixed

2.378%

at

Maturity,

Receive

Variable

(Change

in

CPI)

at

Maturity,

8/7/51

830

58

—

58‌

Total

United

States

(

16‌

)

Total

Centrally

Cleared

Zero-Coupon

Inflation

Swaps

(

16‌

)

Total

Centrally

Cleared

Swaps

967‌

Net

payments

(receipts)

of

variation

margin

to

date

(

1,090‌

)

Variation

margin

receivable

(payable)

on

centrally

cleared

swaps

$

(

123‌

)

*

Credit

ratings

as

of

January

31,

2022.

Ratings

shown

are

from

Moody’s

Investors

Service

and

if

Moody’s

does

not

rate

a

security,

then

Standard

&

Poor’s

(S&P)

is

used.

Fitch

is

used

for

securities

that

are

not

rated

by

either

Moody’s

or

S&P.

**

Includes

interest

purchased

or

sold

but

not

yet

collected

of

$(87).

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

97

(Amounts

in

000s)

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

Counterparty

Settlement

Receive

Deliver

Unrealized

Gain/(Loss)

Bank

of

America

2/28/22

USD

1,375‌

AUD

1,917‌

$

19‌

Bank

of

America

2/28/22

USD

3,199‌

CHF

2,943‌

21‌

Bank

of

America

4/8/22

RUB

73,430‌

USD

916‌

16‌

Bank

of

America

4/8/22

USD

603‌

INR

45,080‌

4‌

Bank

of

America

4/8/22

USD

936‌

RUB

73,430‌

5‌

Bank

of

America

4/8/22

USD

915‌

RUB

73,430‌

(

16‌

)

Bank

of

America

4/13/22

MXN

11,270‌

USD

537‌

2‌

Barclays

Bank

3/18/22

ZAR

4,892‌

USD

322‌

(

5‌

)

Barclays

Bank

4/8/22

USD

115‌

IDR

1,664,125‌

—‌

Barclays

Bank

4/8/22

USD

838‌

TWD

23,033‌

5‌

Barclays

Bank

4/14/22

USD

323‌

TRY

4,767‌

(

21‌

)

BNP

Paribas

2/1/22

NZD

1,792‌

USD

1,198‌

(

19‌

)

BNP

Paribas

2/18/22

PLN

1,993‌

USD

502‌

(

14‌

)

BNP

Paribas

2/18/22

USD

172‌

PLN

686‌

4‌

BNP

Paribas

2/25/22

SEK

9,464‌

USD

1,053‌

(

38‌

)

BNP

Paribas

2/25/22

USD

1,400‌

EUR

1,234‌

12‌

BNP

Paribas

2/25/22

USD

561‌

SEK

4,953‌

30‌

BNP

Paribas

2/28/22

RUB

1,137,031‌

USD

14,376‌

206‌

BNP

Paribas

2/28/22

USD

1,197‌

NZD

1,792‌

19‌

BNP

Paribas

2/28/22

USD

10,299‌

RUB

821,205‌

(

233‌

)

BNP

Paribas

3/11/22

USD

297‌

CLP

252,295‌

(

16‌

)

BNP

Paribas

3/11/22

USD

43‌

THB

1,462‌

(

1‌

)

Canadian

Imperial

Bank

of

Commerce

4/22/22

CAD

910‌

USD

722‌

(

6‌

)

Citibank

2/1/22

USD

1,238‌

NZD

1,792‌

59‌

Citibank

2/2/22

BRL

2,855‌

USD

533‌

4‌

Citibank

2/2/22

USD

498‌

BRL

2,855‌

(

39‌

)

Citibank

2/16/22

EGP

8,866‌

USD

550‌

12‌

Citibank

2/25/22

USD

91‌

EUR

80‌

2‌

Citibank

3/11/22

USD

39‌

THB

1,296‌

—‌

Citibank

4/8/22

INR

1,898‌

USD

25‌

—‌

Citibank

4/13/22

USD

771‌

MXN

15,978‌

6‌

Citibank

4/14/22

RSD

6,188‌

USD

59‌

—‌

Citibank

4/21/22

USD

386‌

ILS

1,225‌

(

2‌

)

Citibank

4/22/22

USD

1,089‌

JPY

123,942‌

11‌

Citibank

4/22/22

USD

798‌

NZD

1,167‌

32‌

Credit

Suisse

2/2/22

BRL

2,825‌

USD

527‌

4‌

Credit

Suisse

2/2/22

USD

493‌

BRL

2,825‌

(

39‌

)

Credit

Suisse

2/25/22

USD

1,962‌

TWD

54,200‌

9‌

Deutsche

Bank

2/18/22

PLN

1,990‌

USD

489‌

(

2‌

)

Deutsche

Bank

2/25/22

EUR

355‌

USD

402‌

(

3‌

)

Deutsche

Bank

2/25/22

USD

722‌

EUR

634‌

9‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

98

(Amounts

in

000s)

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

(CONTINUED)

Counterparty

Settlement

Receive

Deliver

Unrealized

Gain/(Loss)

Deutsche

Bank

3/3/22

BRL

1,403‌

USD

244‌

$

18‌

Deutsche

Bank

3/11/22

MYR

33‌

USD

8‌

—‌

Deutsche

Bank

3/11/22

THB

19,325‌

USD

585‌

(

5‌

)

Deutsche

Bank

3/11/22

USD

539‌

PHP

27,316‌

6‌

Deutsche

Bank

3/18/22

ZAR

3,315‌

USD

205‌

9‌

Deutsche

Bank

4/8/22

USD

603‌

INR

45,080‌

4‌

Deutsche

Bank

4/8/22

USD

428‌

TWD

11,747‌

3‌

Goldman

Sachs

2/2/22

BRL

33,487‌

USD

6,120‌

183‌

Goldman

Sachs

2/2/22

USD

6,192‌

BRL

33,487‌

(

112‌

)

Goldman

Sachs

2/25/22

SEK

4,985‌

USD

546‌

(

12‌

)

Goldman

Sachs

2/25/22

USD

4,330‌

EUR

3,727‌

140‌

Goldman

Sachs

2/28/22

INR

1,312,667‌

USD

17,565‌

(

17‌

)

Goldman

Sachs

2/28/22

USD

962‌

CAD

1,232‌

(

7‌

)

Goldman

Sachs

2/28/22

USD

969‌

EUR

854‌

8‌

Goldman

Sachs

2/28/22

USD

959‌

NOK

8,709‌

(

20‌

)

Goldman

Sachs

2/28/22

USD

957‌

PHP

48,506‌

10‌

Goldman

Sachs

2/28/22

USD

1,887‌

ZAR

28,898‌

14‌

Goldman

Sachs

2/28/22

ZAR

12,430‌

USD

799‌

6‌

Goldman

Sachs

3/3/22

BRL

24,515‌

USD

4,470‌

111‌

Goldman

Sachs

3/3/22

USD

923‌

BRL

5,270‌

(

62‌

)

Goldman

Sachs

3/11/22

USD

958‌

COP

3,863,788‌

(

16‌

)

Goldman

Sachs

3/11/22

USD

238‌

THB

8,024‌

(

3‌

)

Goldman

Sachs

4/22/22

USD

1,095‌

JPY

124,220‌

14‌

Goldman

Sachs

4/29/22

RUB

74,700‌

USD

940‌

2‌

HSBC

Bank

2/2/22

BRL

11,824‌

USD

2,079‌

147‌

HSBC

Bank

2/2/22

USD

2,207‌

BRL

11,824‌

(

19‌

)

HSBC

Bank

2/25/22

EUR

2,162‌

USD

2,455‌

(

24‌

)

HSBC

Bank

2/25/22

USD

3,058‌

GBP

2,283‌

(

12‌

)

HSBC

Bank

2/28/22

USD

1,444‌

KRW

1,713,192‌

25‌

HSBC

Bank

2/28/22

USD

954‌

KRW

1,154,855‌

(

3‌

)

HSBC

Bank

3/11/22

USD

172‌

MYR

731‌

(

2‌

)

HSBC

Bank

4/22/22

USD

448‌

AUD

630‌

3‌

HSBC

Bank

4/22/22

USD

20‌

CAD

25‌

—‌

Morgan

Stanley

2/2/22

BRL

11,161‌

USD

2,078‌

23‌

Morgan

Stanley

2/2/22

USD

1,978‌

BRL

11,161‌

(

122‌

)

Morgan

Stanley

2/25/22

EUR

4,611‌

USD

5,243‌

(

60‌

)

Morgan

Stanley

2/25/22

USD

5,625‌

EUR

4,850‌

173‌

Morgan

Stanley

2/28/22

USD

6,534‌

SEK

60,479‌

47‌

Morgan

Stanley

3/3/22

USD

924‌

BRL

5,270‌

(

61‌

)

Morgan

Stanley

3/11/22

THB

190‌

USD

6‌

—‌

Morgan

Stanley

4/8/22

USD

651‌

KRW

775,693‌

9‌

Morgan

Stanley

4/8/22

USD

411‌

TWD

11,286‌

3‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

99

(Amounts

in

000s)

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

(CONTINUED)

Counterparty

Settlement

Receive

Deliver

Unrealized

Gain/(Loss)

Morgan

Stanley

4/14/22

HUF

175,658‌

USD

548‌

$

3‌

Morgan

Stanley

4/22/22

USD

1,336‌

JPY

152,728‌

7‌

RBC

Dominion

Securities

2/25/22

USD

74‌

GBP

54‌

1‌

Standard

Chartered

2/25/22

GBP

570‌

USD

763‌

4‌

Standard

Chartered

2/25/22

USD

766‌

GBP

570‌

(

1‌

)

Standard

Chartered

2/25/22

USD

957‌

INR

72,351‌

(

11‌

)

Standard

Chartered

2/28/22

USD

973‌

AUD

1,358‌

13‌

Standard

Chartered

3/11/22

USD

172‌

MYR

731‌

(

3‌

)

Standard

Chartered

4/14/22

ZAR

3,886‌

USD

252‌

(

2‌

)

Standard

Chartered

4/22/22

USD

703‌

CAD

890‌

3‌

State

Street

2/18/22

USD

949‌

PLN

3,806‌

17‌

State

Street

2/25/22

EUR

3,222‌

USD

3,659‌

(

37‌

)

State

Street

2/25/22

USD

74‌

EUR

65‌

1‌

State

Street

2/25/22

USD

135‌

EUR

121‌

(

1‌

)

State

Street

2/28/22

USD

4,210‌

EUR

3,732‌

15‌

State

Street

3/18/22

ZAR

1,510‌

USD

93‌

4‌

State

Street

4/14/22

ZAR

11,300‌

USD

726‌

2‌

State

Street

4/21/22

USD

767‌

ILS

2,384‌

12‌

State

Street

4/21/22

USD

129‌

ILS

411‌

(

1‌

)

State

Street

4/22/22

AUD

75‌

USD

53‌

—‌

State

Street

4/22/22

NOK

4,858‌

USD

553‌

(

8‌

)

State

Street

4/22/22

USD

506‌

AUD

703‌

9‌

State

Street

4/22/22

USD

64‌

AUD

91‌

(

1‌

)

State

Street

4/22/22

USD

696‌

CAD

873‌

10‌

State

Street

4/22/22

USD

2,508‌

JPY

286,626‌

15‌

UBS

Investment

Bank

2/18/22

CZK

29,578‌

USD

1,334‌

29‌

UBS

Investment

Bank

2/25/22

USD

8,370‌

EUR

7,219‌

256‌

UBS

Investment

Bank

2/25/22

USD

1,619‌

SEK

14,232‌

93‌

UBS

Investment

Bank

2/28/22

MXN

35,200‌

USD

1,702‌

(

3‌

)

UBS

Investment

Bank

3/11/22

CLP

224,886‌

USD

264‌

16‌

UBS

Investment

Bank

3/11/22

USD

902‌

CLP

756,886‌

(

38‌

)

UBS

Investment

Bank

3/11/22

USD

65‌

THB

2,182‌

(

1‌

)

UBS

Investment

Bank

3/18/22

USD

1,334‌

ZAR

21,600‌

(

62‌

)

UBS

Investment

Bank

4/8/22

RUB

111,989‌

USD

1,389‌

32‌

UBS

Investment

Bank

4/8/22

RUB

23,788‌

USD

305‌

(

3‌

)

UBS

Investment

Bank

4/8/22

USD

813‌

IDR

11,648,876‌

5‌

UBS

Investment

Bank

4/8/22

USD

1,170‌

RUB

88,201‌

51‌

UBS

Investment

Bank

4/8/22

USD

1,388‌

RUB

111,989‌

(

33‌

)

UBS

Investment

Bank

4/14/22

USD

1,158‌

ZAR

18,357‌

(

23‌

)

UBS

Investment

Bank

4/22/22

AUD

2,985‌

USD

2,147‌

(

36‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

100

(Amounts

in

000s)

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

(CONTINUED)

Counterparty

Settlement

Receive

Deliver

Unrealized

Gain/(Loss)

UBS

Investment

Bank

4/22/22

USD

563‌

JPY

64,018‌

$

7‌

Net

unrealized

gain

(loss)

on

open

forward

currency

exchange

contracts

$

779‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

101

FUTURES

CONTRACTS

($000s)

Expiration

Date

Notional

Amount

Value

and

Unrealized

Gain

(Loss)

Long,

20

Amsterdam

IDX

contracts

2/22

3,388

$

(

57‌

)

Long,

39

Hang

Seng

Index

contracts

2/22

5,968

(

87‌

)

Long,

70

Euro

BOBL

contracts

3/22

10,400

(

34‌

)

Short,

126

Euro

BTP

contracts

3/22

(20,650)

29‌

Short,

85

Euro

BUND

contracts

3/22

(16,149)

97‌

Short,

4

Euro

BUXL

thirty

year

bond

contracts

3/22

(914)

15‌

Long,

44

Euro

OAT

contracts

3/22

7,959

(

42‌

)

Long,

145

Euro

SCHATZ

contracts

3/22

18,225

(

19‌

)

Short,

104

TOPIX

Index

contracts

3/22

(17,157)

865‌

Long,

5

Mini

ten

year

JGB

contracts

3/22

655

(

6‌

)

Short,

10

Government

of

Australia

ten

year

bond

contracts

3/22

(969)

17‌

Long,

19

Republic

of

South

Korea

ten

year

bond

contracts

3/22

1,903

(

69‌

)

Long,

38

ASX

SPI

200

Index

contracts

3/22

4,613

(

289‌

)

Short,

17

Dax

Performance

Index

contracts

3/22

(7,355)

198‌

Short,

188

Euro

STOXX

contracts

3/22

(8,750)

76‌

Short,

40

FTSE

100

Index

contracts

3/22

(3,979)

25‌

Short,

130

MSCI

Emerging

Markets

Index

contracts

3/22

(7,961)

(

11‌

)

Short,

101

NASDAQ

100

E-Mini

contracts

3/22

(30,108)

887‌

Short,

94

S&P

500

E-Mini

Index

contracts

3/22

(21,170)

(

240‌

)

Short,

167

Government

of

Canada

ten

year

bond

contracts

3/22

(18,275)

16‌

Short,

30

U.S.

Treasury

Long

Bond

contracts

3/22

(4,669)

(

34‌

)

Short,

90

U.S.

Treasury

Notes

ten

year

contracts

3/22

(11,517)

18‌

Long,

5

Ultra

U.S.

Treasury

Bonds

contracts

3/22

945

(

8‌

)

Long,

88

Long

Gilt

ten

year

contracts

3/22

14,434

(

322‌

)

Short,

228

U.S.

Treasury

Notes

five

year

contracts

3/22

(27,178)

213‌

Long,

110

U.S.

Treasury

Notes

two

year

contracts

3/22

23,832

(

214‌

)

Net

payments

(receipts)

of

variation

margin

to

date

(

3,059‌

)

Variation

margin

receivable

(payable)

on

open

futures

contracts

$

(

2,035‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

102

The

accompanying

notes

are

an

integral

part

of

this

Portfolio

of

Investments.

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

three

months

ended

January

31,

2022.

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

Government

Reserve

Fund,

0.09%

$

—‌

$

—‌

$

20‌

++

T.

Rowe

Price

Short-Term

Fund

—‌

—‌

—‌

++

Totals

$

—‌

#

$

—‌

$

20‌

+

Supplementary

Investment

Schedule

Affiliate

Value

10/31/21

Purchase

Cost

Sales

Cost

Value

01/31/22

T.

Rowe

Price

Government

Reserve

Fund,

0.09%

$

127,142‌

¤

¤

$

108,048‌

T.

Rowe

Price

Short-Term

Fund

6,864‌

¤

¤

—‌

Total

$

108,048‌

^

#

Capital

gain

distributions

from

mutual

funds

represented

$0

of

the

net

realized

gain

(loss).

++

Excludes

earnings

on

securities

lending

collateral,

which

are

subject

to

rebates

and

fees.

+

Investment

income

comprised

$20

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

$108,048.

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

Unaudited

Notes

to

Portfolio

of

Investments

103

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

104

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 

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.   

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.

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

105

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

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.

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

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

106

available,

including

actual

purchase

and

sale

transactions

of

the

investment.

Because

any

fair

value

determination

involves

a

significant

amount

of

judgment,

there

is

a

degree

of

subjectivity

inherent

in

such

pricing

decisions,

and

fair

value

prices

determined

by

the

Valuation

Committee

could

differ

from

those

of

other

market

participants.

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

107

Valuation

Inputs

  The

following

table

summarizes

the

fund’s

financial

instruments,

based

on

the

inputs

used

to

determine

their

fair

values

on

January

31,

2022

(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

$

—‌

$

66,022‌

$

—‌

$

66,022‌

Bank

Loans

—‌

53,383‌

2,166‌

55,549‌

Common

Stocks

67,455‌

22,016‌

255‌

89,726‌

Convertible

Preferred

Stocks

—‌

2,783‌

508‌

3,291‌

Corporate

Bonds

—‌

41,753‌

821‌

42,574‌

Equity

Mutual

Funds

2,747‌

—‌

—‌

2,747‌

Preferred

Stocks

—‌

570‌

—‌

570‌

Short-Term

Investments

100,814‌

—‌

—‌

100,814‌

Securities

Lending

Collateral

7,234‌

—‌

—‌

7,234‌

Options

Purchased

23‌

845‌

—‌

868‌

Total

Securities

178,273‌

187,372‌

3,750‌

369,395‌

Swaps*

—‌

8,715‌

—‌

8,715‌

Forward

Currency

Exchange

Contracts

—‌

2,054‌

—‌

2,054‌

Futures

Contracts*

2,456‌

—‌

—‌

2,456‌

Total

$

180,729‌

$

198,141‌

$

3,750‌

$

382,620‌

Liabilities

Options

Written

$

340‌

$

2,680‌

$

—‌

$

3,020‌

Swaps*

—‌

6,082‌

—‌

6,082‌

Forward

Currency

Exchange

Contracts

—‌

1,275‌

—‌

1,275‌

Futures

Contracts*

1,432‌

—‌

—‌

1,432‌

Total

$

1,772‌

$

10,037‌

$

—‌

$

11,809‌

1

Includes

Asset-Backed

Securities,

Convertible

Bonds,

Government

Bonds,

Municipal

Securities,

Non-U.S.

Government

Mortgage-Backed

Securities

and

U.S.

Government

Agency

Obligations

(Excluding

Mortgage-Backed).

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

108

SUBSEQUENT

EVENT 

In

February

2022,

Russian

forces

entered

Ukraine

and

commenced

an

armed

conflict.

Economic

sanctions

have

since

been

imposed

on

Russia

and

certain

of

its

citizens,

including

the

exclusion

of

Russia

from

the

SWIFT

global

payments

network.

As

a

result,

Russia’s

central

bank

closed

the

country’s

stock

market

on

February

28,

2022,

and

Russian-related

stocks

and

debt

and

the

Russian

ruble

have

since

suffered

significant

declines

in

value.

In

addition,

this

armed

conflict

and

the

related

sanctions

may

cause

significant

disruptions

to

global

business

activity

and

volatility

in

global

financial

markets.

The

duration

of

the

conflict

and

related

economic

sanctions

and

their

effects

on

the

financial

markets

cannot

be

determined

with

certainty.

The

fund’s

performance

could

be

negatively

impacted

if

the

value

of

a

portfolio

holding

were

harmed

by

such

events.

Management

is

actively

monitoring

these

events.

F1112-054Q1

01/22 

*

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.