T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

July

31,

2022

(Unaudited)

1

Portfolio

of

Investments

‡

Shares/Par

$

Value

(

Cost

and

value

in

$000s)

‡

ALBANIA

0.1%

Government

Bonds

0.1%

Republic

of

Albania,

3.50%,

11/23/31

(EUR) 

260,000‌

215‌

Total

Albania

(Cost

$244

)

215‌

ARGENTINA

0.0%

Common

Stocks

0.0%

MercadoLibre

(USD) (1)

43‌

35‌

Total

Argentina

(Cost

$40

)

35‌

AUSTRALIA

0.2%

Common

Stocks

0.0%

BHP

Group 

1,948‌

53‌

Goodman

Group 

1,051‌

16‌

IGO 

1,420‌

11‌

Northern

Star

Resources 

2,589‌

14‌

OZ

Minerals 

1,432‌

19‌

113‌

Government

Bonds

0.2%

Commonwealth

of

Australia,

1.75%,

6/21/51 

1,108,000‌

535‌

535‌

Total

Australia

(Cost

$566

)

648‌

AUSTRIA

0.3%

Common

Stocks

0.0%

BAWAG

Group 

192‌

9‌

Mayr

Melnhof

Karton 

74‌

12‌

21‌

Government

Bonds

0.3%

Republic

of

Austria,

0.85%,

6/30/2120 (2)

1,549,000‌

939‌

939‌

Total

Austria

(Cost

$843

)

960‌

BAHAMAS

0.1%

Government

Bonds

0.1%

Commonwealth

of

Bahamas,

6.00%,

11/21/28

(USD) (2)

310,000‌

203‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

1

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

2

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Commonwealth

of

Bahamas,

8.95%,

10/15/32

(USD) 

250,000‌

158‌

Total

Bahamas

(Cost

$481

)

361‌

BENIN

0.1%

Government

Bonds

0.1%

Republic

of

Benin,

4.875%,

1/19/32

(EUR) 

270,000‌

196‌

Total

Benin

(Cost

$253

)

196‌

BRAZIL

1.3%

Common

Stocks

0.2%

B3 

221,061‌

474‌

Magazine

Luiza (1)

11,347‌

6‌

XP,

Class

A

(USD) (1)

8,109‌

171‌

651‌

Corporate

Bonds

0.5%

Braskem

Netherlands

Finance,

5.875%,

1/31/50

(USD) (2)(3)

200,000‌

174‌

ERO

Copper,

6.50%,

2/15/30

(USD) (2)

440,000‌

312‌

Globo

Comunicacao

e

Participacoes,

4.875%,

1/22/30

(USD) (2)

700,000‌

565‌

Globo

Comunicacao

e

Participacoes,

5.50%,

1/14/32

(USD) (2)

280,000‌

226‌

Globo

Comunicacao

e

Participacoes,

5.50%,

1/14/32

(USD) 

310,000‌

250‌

MercadoLibre,

3.125%,

1/14/31

(USD) (3)

200,000‌

155‌

Suzano

Austria,

3.125%,

1/15/32

(USD) 

300,000‌

244‌

1,926‌

Government

Bonds

0.6%

Brazil

Notas

do

Tesouro

Nacional,

10.00%,

1/1/25 

1,700,000‌

310‌

Brazil

Notas

do

Tesouro

Nacional,

10.00%,

1/1/27 

8,355,000‌

1,476‌

Brazil

Notas

do

Tesouro

Nacional,

10.00%,

1/1/31 

1,688,000‌

280‌

2,066‌

Total

Brazil

(Cost

$5,374

)

4,643‌

CANADA

0.8%

Asset-Backed

Securities

0.0%

Cologix

Canadian

Issuer,

Series

2022-1CAN,

Class

A2,

4.94%,

1/25/52 (2)

305,000‌

229‌

229‌

Bank

Loans

0.1%

(4)

Jones

Deslauriers

Insurance

Management,

FRN,

3M

CAD

CDOR

+

4.25%,

7.748%,

3/27/28 

421,806‌

301‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

3

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Jones

Deslauriers

Insurance

Management,

FRN,

3M

CAD

CDOR

+

7.50%,

10.998%,

3/26/29 (5)

25,000‌

18‌

319‌

Common

Stocks

0.3%

Brookfield

Asset

Management,

Class

A

(USD) 

465‌

23‌

Canadian

Natural

Resources 

438‌

24‌

Canadian

Pacific

Railway

(USD) 

941‌

74‌

Constellation

Software 

22‌

37‌

Descartes

Systems

Group

(USD) (1)

310‌

21‌

ERO

Copper (1)

1,092‌

11‌

Magna

International

(USD) 

337‌

21‌

MDA (1)

7,549‌

50‌

Nutrien

(USD) 

5,554‌

476‌

Shopify,

Class

A

(USD) (1)

8,859‌

308‌

Summit

Industrial

Income

REIT 

1,212‌

18‌

Sun

Life

Financial

(USD) 

510‌

24‌

TC

Energy

(USD) 

575‌

31‌

Wesdome

Gold

Mines (1)

1,583‌

13‌

1,131‌

Corporate

Bonds

0.3%

1011778

BC

ULC,

5.75%,

4/15/25

(USD) (2)(3)

1,005,000‌

1,016‌

1,016‌

Government

Bonds

0.1%

Government

of

Canada

Real

Return

Bond,

Inflation-Indexed,

4.00%,

12/1/31 

282,581‌

291‌

291‌

Total

Canada

(Cost

$3,218

)

2,986‌

CAYMAN

ISLANDS

0.2%

Common

Stocks

0.2%

Ahren

Acquisition

(USD) (1)

72,251‌

725‌

Total

Cayman

Islands

(Cost

$723

)

725‌

CHILE

0.7%

Corporate

Bonds

0.4%

AES

Andes,

VR,

7.125%,

3/26/79

(USD) (6)

310,000‌

283‌

Agrosuper,

4.60%,

1/20/32

(USD) 

230,000‌

200‌

Empresa

de

los

Ferrocarriles

del

Estado,

3.068%,

8/18/50

(USD) 

300,000‌

186‌

Empresa

de

Transporte

de

Pasajeros

Metro,

3.65%,

5/7/30

(USD) 

300,000‌

273‌

Mercury

Chile

Holdco,

6.50%,

1/24/27

(USD) 

310,000‌

273‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

4

Shares/Par

$

Value

(Cost

and

value

in

$000s)

VTR

Comunicaciones,

5.125%,

1/15/28

(USD) 

310,000‌

227‌

1,442‌

Government

Bonds

0.3%

Bonos

de

la

Tesoreria

de

la

Republica,

4.50%,

3/1/26 

1,055,000,000‌

1,077‌

1,077‌

Total

Chile

(Cost

$2,976

)

2,519‌

CHINA

1.3%

Common

Stocks

0.6%

58.com

(USD) (1)(5)

22,100‌

—‌

Alibaba

Group

Holding

(HKD) (1)

6,600‌

74‌

BeiGene,

ADR

(USD) (1)

47‌

8‌

Beijing

Capital

International

Airport,

Class

H

(HKD) (1)

44,000‌

26‌

H

World

Group,

ADR

(USD) 

14,534‌

557‌

Kanzhun,

ADR

(USD) (1)

9,235‌

217‌

Li

Ning

(HKD) 

3,000‌

24‌

Meituan,

Class

B

(HKD) (1)

16,800‌

377‌

Shanghai

MicroPort

MedBot

Group

(HKD) (1)(3)

7,000‌

30‌

Tencent

Holdings

(HKD) 

19,709‌

762‌

Tsingtao

Brewery,

Class

H

(HKD) 

4,000‌

39‌

Wuxi

Biologics

Cayman

(HKD) (1)

500‌

5‌

Zai

Lab,

ADR

(USD) (1)

99‌

4‌

Zhongsheng

Group

Holdings

(HKD) 

2,500‌

14‌

2,137‌

Common

Stocks

-

China

A

Shares

0.0%

Kweichow

Moutai,

A

Shares

(CNH) 

100‌

28‌

NARI

Technology,

A

Shares

(CNH) 

8,828‌

39‌

Shenzhen

Inovance

Technology,

A

Shares

(CNH) 

4,900‌

48‌

115‌

Convertible

Bonds

0.1%

Vnet

Group,

Zero

Coupon,

2/1/26

(USD) 

530,000‌

429‌

429‌

Corporate

Bonds

0.6%

CNAC

HK

Finbridge,

3.00%,

9/22/30

(USD) 

310,000‌

269‌

Huarong

Finance,

4.95%,

11/7/47

(USD) 

380,000‌

252‌

Kaisa

Group

Holdings,

11.95%,

10/22/22

(USD) (1)(7)

1,515,000‌

163‌

Meituan,

3.05%,

10/28/30

(USD) (2)

422,000‌

305‌

Shimao

Group

Holdings,

3.45%,

1/11/31

(USD) (7)

200,000‌

17‌

Tencent

Holdings,

3.29%,

6/3/60

(USD) (2)

619,000‌

403‌

Times

China

Holdings,

6.75%,

7/8/25

(USD) 

200,000‌

23‌

Yunda

Holding

Investment,

2.25%,

8/19/25

(USD) 

310,000‌

282‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

5

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Zhongsheng

Group

Holdings,

3.00%,

1/13/26

(USD) 

310,000‌

279‌

1,993‌

Total

China

(Cost

$5,537

)

4,674‌

COLOMBIA

0.5%

Corporate

Bonds

0.4%

Banco

de

Bogota,

6.25%,

5/12/26

(USD) 

310,000‌

296‌

Canacol

Energy,

5.75%,

11/24/28

(USD) 

310,000‌

256‌

Ecopetrol,

6.875%,

4/29/30

(USD) 

300,000‌

286‌

GCM

Mining,

6.875%,

8/9/26

(USD) (2)

640,000‌

479‌

1,317‌

Government

Bonds

0.1%

Republic

of

Colombia,

3.875%,

4/25/27

(USD) 

300,000‌

275‌

Republic

of

Colombia,

7.50%,

8/26/26 

1,230,000,000‌

251‌

526‌

Private

Investment

Company

0.0%

Bona

Fide

Investments

Feeder

LLC,

Acquisition

date:

6/1/22,

Cost $30

(USD) (1)(8)

†

29‌

29‌

Total

Colombia

(Cost

$2,151

)

1,872‌

DENMARK

0.2%

Common

Stocks

0.1%

Ascendis

Pharma,

ADR

(USD) (1)

1,938‌

166‌

Genmab (1)

66‌

23‌

ROCKWOOL,

Class

B 

63‌

16‌

205‌

Corporate

Bonds

0.1%

DKT

Finance,

9.375%,

6/17/23

(USD) (2)

400,000‌

382‌

382‌

Total

Denmark

(Cost

$653

)

587‌

DOMINICAN

REPUBLIC

0.5%

Government

Bonds

0.5%

Dominican

Republic,

5.875%,

1/30/60

(USD) 

600,000‌

457‌

Dominican

Republic,

5.95%,

1/25/27

(USD) 

310,000‌

306‌

Dominican

Republic,

6.00%,

7/19/28

(USD) 

230,000‌

223‌

Dominican

Republic,

6.00%,

2/22/33

(USD) (2)

925,000‌

842‌

Total

Dominican

Republic

(Cost

$1,959

)

1,828‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

6

Shares/Par

$

Value

(Cost

and

value

in

$000s)

EGYPT

0.1%

Government

Bonds

0.1%

Arab

Republic

of

Egypt,

3.875%,

2/16/26

(USD) 

300,000‌

208‌

Total

Egypt

(Cost

$233

)

208‌

FINLAND

0.0%

Common

Stocks

0.0%

Kojamo 

669‌

12‌

Sampo,

Class

A 

632‌

27‌

UPM-Kymmene 

816‌

26‌

Total

Finland

(Cost

$66

)

65‌

FRANCE

0.6%

Common

Stocks

0.6%

Air

Liquide 

169‌

23‌

Airbus 

15,366‌

1,657‌

Alstom (3)

2,169‌

52‌

Legrand 

200‌

16‌

LVMH

Moet

Hennessy

Louis

Vuitton 

182‌

126‌

Pernod

Ricard 

287‌

56‌

Safran 

717‌

79‌

Schneider

Electric 

506‌

70‌

TotalEnergies 

2,024‌

104‌

Verallia 

722‌

19‌

2,202‌

Convertible

Preferred

Stocks

0.0%

DNA

Script,

Series

C,

Acquisition

Date:

12/16/21,

Cost $7 (1)

(5)(8)

8‌

6‌

6‌

Corporate

Bonds

0.0%

Altice

France

Holding,

4.00%,

2/15/28 

100,000‌

76‌

76‌

Total

France

(Cost

$2,470

)

2,284‌

GEORGIA

0.1%

Corporate

Bonds

0.1%

Georgian

Railway,

4.00%,

6/17/28

(USD) 

310,000‌

264‌

Total

Georgia

(Cost

$270

)

264‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

7

Shares/Par

$

Value

(Cost

and

value

in

$000s)

GERMANY

1.9%

Bank

Loans

0.2%

(4)

TK

Elevator

U.S.

Newco,

FRN,

6M

USD

LIBOR

+

3.50%,

6.857%,

7/30/27

(USD) 

592,541‌

571‌

571‌

Common

Stocks

0.1%

BioNTech,

ADR

(USD) 

202‌

33‌

Delivery

Hero (1)

303‌

15‌

Infineon

Technologies 

5,739‌

157‌

Siemens 

1,344‌

150‌

Zalando (1)(3)

350‌

10‌

365‌

Corporate

Bonds

0.1%

TK

Elevator

Holdco,

7.625%,

7/15/28

(USD) (2)

400,000‌

362‌

362‌

Government

Bonds

1.3%

Deutsche

Bundesrepublik,

Inflation-Indexed,

0.10%,

4/15/26 

3,573,971‌

4,005‌

Deutsche

Bundesrepublik,

Inflation-Indexed,

0.50%,

4/15/30 

568,451‌

683‌

4,688‌

Preferred

Stocks

0.2%

Sartorius 

1,470‌

657‌

Volkswagen 

400‌

57‌

714‌

Total

Germany

(Cost

$7,235

)

6,700‌

GHANA

0.3%

Corporate

Bonds

0.3%

Kosmos

Energy,

7.125%,

4/4/26

(USD) 

1,206,000‌

1,064‌

Total

Ghana

(Cost

$1,169

)

1,064‌

GUATEMALA

0.2%

Corporate

Bonds

0.1%

CT

Trust,

5.125%,

2/3/32

(USD) 

300,000‌

269‌

269‌

Government

Bonds

0.1%

Republic

of

Guatemala,

4.875%,

2/13/28

(USD) 

300,000‌

299‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

8

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Republic

of

Guatemala,

4.90%,

6/1/30

(USD) 

300,000‌

295‌

594‌

Total

Guatemala

(Cost

$888

)

863‌

HONG

KONG

0.0%

Common

Stocks

0.0%

Samsonite

International (1)

11,400‌

24‌

Total

Hong

Kong

(Cost

$22

)

24‌

HUNGARY

0.2%

Common

Stocks

0.0%

Wizz

Air

Holdings

(GBP) (1)

859‌

23‌

23‌

Government

Bonds

0.2%

Republic

of

Hungary,

2.25%,

4/20/33 

169,080,000‌

255‌

Republic

of

Hungary,

3.00%,

10/27/27 

128,000,000‌

241‌

Republic

of

Hungary,

4.75%,

11/24/32 

94,290,000‌

182‌

678‌

Total

Hungary

(Cost

$988

)

701‌

INDIA

0.7%

Common

Stocks

0.2%

Axis

Bank 

47,552‌

437‌

HDFC

Bank 

19,072‌

349‌

Voltas 

1,522‌

19‌

805‌

Corporate

Bonds

0.3%

ABJA

Investment,

5.45%,

1/24/28

(USD) 

300,000‌

291‌

Adani

International

Container

Terminal,

3.00%,

2/16/31

(USD) 

297,600‌

247‌

Adani

Renewable

Energy

RJ,

4.625%,

10/15/39

(USD) 

275,250‌

199‌

Azure

Power

Energy,

3.575%,

8/19/26

(USD) (3)

289,110‌

254‌

CA

Magnum

Holdings,

5.375%,

10/31/26

(USD) (3)

300,000‌

265‌

1,256‌

Government

Bonds

0.2%

Export-Import

Bank

of

India,

2.25%,

1/13/31

(USD) 

300,000‌

247‌

Republic

of

India,

6.45%,

10/7/29 

32,000,000‌

386‌

633‌

Total

India

(Cost

$2,877

)

2,694‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

9

Shares/Par

$

Value

(Cost

and

value

in

$000s)

INDONESIA

0.5%

Corporate

Bonds

0.5%

Bank

Negara

Indonesia

Persero,

3.75%,

3/30/26

(USD) 

310,000‌

281‌

Bank

Negara

Indonesia

Persero,

VR,

4.30%

(USD) (6)(9)

310,000‌

265‌

Freeport

Indonesia,

5.315%,

4/14/32

(USD) (2)

460,000‌

433‌

Freeport

Indonesia,

6.20%,

4/14/52

(USD) (2)

200,000‌

177‌

Minejesa

Capital,

4.625%,

8/10/30

(USD) 

300,000‌

276‌

Pertamina

Persero,

1.40%,

2/9/26

(USD) 

300,000‌

270‌

Total

Indonesia

(Cost

$1,789

)

1,702‌

IRELAND

0.2%

Corporate

Bonds

0.2%

AerCap

Ireland

Capital,

3.00%,

10/29/28

(USD) 

150,000‌

131‌

AerCap

Ireland

Capital,

3.30%,

1/30/32

(USD) 

310,000‌

260‌

AerCap

Ireland

Capital,

3.50%,

1/15/25

(USD) 

225,000‌

217‌

AerCap

Ireland

Capital,

FRN,

SOFR

+

0.68%,

2.705%,

9/29/23

(USD) 

150,000‌

148‌

Avolon

Holdings

Funding,

2.75%,

2/21/28

(USD) (2)

40,000‌

33‌

Total

Ireland

(Cost

$871

)

789‌

ISRAEL

0.6%

Corporate

Bonds

0.3%

Bank

Hapoalim,

VR,

3.255%,

1/21/32

(USD) (2)(6)

300,000‌

258‌

Bank

Leumi

Le-Israel,

VR,

3.275%,

1/29/31

(USD) (2)(6)

325,000‌

290‌

ICL

Group,

6.375%,

5/31/38

(USD) (2)

310,000‌

309‌

Leviathan

Bond,

6.125%,

6/30/25

(USD) (2)

310,000‌

305‌

1,162‌

Government

Bonds

0.3%

State

of

Israel,

3.75%,

3/31/47 

2,944,000‌

955‌

955‌

Total

Israel

(Cost

$2,369

)

2,117‌

ITALY

0.4%

Common

Stocks

0.4%

Davide

Campari-Milano 

3,666‌

41‌

Ferrari

(USD) 

3,944‌

833‌

GVS (1)

2,406‌

23‌

PRADA

(HKD) 

72,000‌

416‌

Total

Italy

(Cost

$1,343

)

1,313‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

10

Shares/Par

$

Value

(Cost

and

value

in

$000s)

IVORY

COAST

0.1%

Government

Bonds

0.1%

Republic

of

Ivory

Coast,

4.875%,

1/30/32

(EUR) 

160,000‌

122‌

Republic

of

Ivory

Coast,

6.375%,

3/3/28

(USD) 

310,000‌

281‌

Total

Ivory

Coast

(Cost

$465

)

403‌

JAPAN

0.6%

Common

Stocks

0.6%

Asics 

1,300‌

25‌

Daiichi

Sankyo 

39,100‌

1,037‌

Hamamatsu

Photonics 

1,200‌

54‌

Harmonic

Drive

Systems 

9,900‌

377‌

Hoshizaki 

2,400‌

72‌

Industrial

&

Infrastructure

Fund

Investment 

9‌

12‌

Istyle (1)

2,800‌

6‌

Keyence 

500‌

198‌

Komatsu 

500‌

12‌

MatsukiyoCocokara 

400‌

15‌

Mitsui

Fudosan 

700‌

16‌

Miura 

1,600‌

39‌

Nippon

Sanso

Holdings 

1,700‌

29‌

Panasonic 

5,000‌

41‌

Recruit

Holdings 

5,000‌

187‌

Seven

&

i

Holdings 

800‌

33‌

Sompo

Holdings 

100‌

4‌

Sony

Group 

600‌

51‌

Stanley

Electric 

1,500‌

26‌

Suzuki

Motor 

1,600‌

52‌

Total

Japan

(Cost

$2,220

)

2,286‌

JORDAN

0.1%

Government

Bonds

0.1%

Kingdom

of

Jordan,

5.85%,

7/7/30

(USD) 

300,000‌

255‌

Kingdom

of

Jordan,

7.75%,

1/15/28

(USD) (2)

200,000‌

195‌

Total

Jordan

(Cost

$473

)

450‌

KAZAKHSTAN

0.1%

Corporate

Bonds

0.1%

KazMunayGas

National,

5.375%,

4/24/30

(USD) 

310,000‌

285‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

11

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Tengizchevroil

Finance

International,

3.25%,

8/15/30

(USD) 

300,000‌

221‌

Total

Kazakhstan

(Cost

$552

)

506‌

LUXEMBOURG

0.2%

Bank

Loans

0.2%

(4)

Delta

2,

FRN,

3M

USD

LIBOR

+

2.50%,

4.872%,

2/1/24

(USD) (10)

895,000‌

884‌

Total

Luxembourg

(Cost

$877

)

884‌

MACAO

0.1%

Corporate

Bonds

0.1%

Wynn

Macau,

5.625%,

8/26/28

(USD) 

500,000‌

391‌

Total

Macao

(Cost

$474

)

391‌

MALAYSIA

0.1%

Government

Bonds

0.1%

Government

of

Malaysia,

4.921%,

7/6/48 

1,350,000‌

318‌

Total

Malaysia

(Cost

$345

)

318‌

MAURITIUS

0.1%

Corporate

Bonds

0.1%

Axian

Telecom,

7.375%,

2/16/27

(USD) (2)

230,000‌

213‌

Axian

Telecom,

7.375%,

2/16/27

(USD) 

310,000‌

286‌

Total

Mauritius

(Cost

$535

)

499‌

MEXICO

1.3%

Bank

Loans

0.3%

(4)

Playa

Resorts

Holding,

FRN,

3M

USD

LIBOR

+

2.75%,

5.12%,

4/29/24

(USD) 

1,161,888‌

1,115‌

1,115‌

Corporate

Bonds

0.9%

Banco

Mercantil

del

Norte,

VR,

6.75%

(USD) (6)(9)

310,000‌

293‌

BBVA

Bancomer,

VR,

5.125%,

1/18/33

(USD) (6)

310,000‌

269‌

Cemex,

5.45%,

11/19/29

(USD) 

300,000‌

275‌

Electricidad

Firme

de

Mexico

Holdings,

4.90%,

11/20/26

(USD) 

300,000‌

237‌

Mexico

City

Airport

Trust,

3.875%,

4/30/28

(USD) 

330,000‌

294‌

Mexico

City

Airport

Trust,

5.50%,

7/31/47

(USD) (2)

400,000‌

305‌

Mexico

City

Airport

Trust,

5.50%,

7/31/47

(USD) 

310,000‌

236‌

Petroleos

Mexicanos,

5.35%,

2/12/28

(USD) 

310,000‌

260‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

12

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Petroleos

Mexicanos,

5.50%,

6/27/44

(USD) 

310,000‌

197‌

Petroleos

Mexicanos,

6.70%,

2/16/32

(USD) 

835,000‌

671‌

Sigma

Finance

Netherlands,

4.875%,

3/27/28

(USD) 

300,000‌

290‌

3,327‌

Government

Bonds

0.1%

Mexican

Bonos,

8.00%,

11/7/47 

5,700,000‌

258‌

258‌

Total

Mexico

(Cost

$5,074

)

4,700‌

MOROCCO

0.2%

Corporate

Bonds

0.1%

Vivo

Energy

Investments,

5.125%,

9/24/27

(USD) 

310,000‌

294‌

294‌

Government

Bonds

0.1%

Kingdom

of

Morocco,

3.00%,

12/15/32

(USD) 

310,000‌

245‌

Kingdom

of

Morocco,

4.00%,

12/15/50

(USD) 

400,000‌

271‌

516‌

Total

Morocco

(Cost

$819

)

810‌

NETHERLANDS

0.3%

Common

Stocks

0.3%

Adyen (1)

114‌

205‌

Akzo

Nobel 

346‌

23‌

Argenx,

ADR

(USD) (1)

161‌

59‌

ASML

Holding 

1,161‌

667‌

Heineken 

346‌

34‌

ING

Groep 

1,156‌

11‌

Koninklijke

DSM 

48‌

8‌

TKH

Group,

CVA 

1,040‌

43‌

Universal

Music

Group 

1,607‌

36‌

1,086‌

Corporate

Bonds

0.0%

NXP,

5.00%,

1/15/33

(USD) 

105,000‌

107‌

107‌

Total

Netherlands

(Cost

$1,237

)

1,193‌

NEW

ZEALAND

0.2%

Government

Bonds

0.2%

Government

of

New

Zealand,

2.75%,

5/15/51 

1,656,000‌

859‌

Total

New

Zealand

(Cost

$1,052

)

859‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

13

Shares/Par

$

Value

(Cost

and

value

in

$000s)

NORWAY

0.0%

Common

Stocks

0.0%

Aker

BP (3)

286‌

10‌

Aker

BP,

SDR

(SEK) (1)(3)

413‌

14‌

Equinor 

2,140‌

83‌

Total

Norway

(Cost

$79

)

107‌

OMAN

0.2%

Corporate

Bonds

0.1%

OmGrid

Funding,

5.196%,

5/16/27

(USD) 

300,000‌

287‌

Oryx

Funding,

5.80%,

2/3/31

(USD) 

300,000‌

281‌

568‌

Government

Bonds

0.1%

Sultanate

of

Oman,

6.25%,

1/25/31

(USD) 

310,000‌

310‌

310‌

Total

Oman

(Cost

$916

)

878‌

PANAMA

0.3%

Corporate

Bonds

0.3%

Aeropuerto

Internacional

de

Tocumen,

4.00%,

8/11/41

(USD) (2)

200,000‌

166‌

Aeropuerto

Internacional

de

Tocumen,

4.00%,

8/11/41

(USD) 

300,000‌

250‌

Banco

General,

VR,

5.25%

(USD) (6)(9)

300,000‌

270‌

Banco

Nacional

de

Panama,

2.50%,

8/11/30

(USD) 

310,000‌

249‌

Total

Panama

(Cost

$1,031

)

935‌

PARAGUAY

0.1%

Government

Bonds

0.1%

Republic

of

Paraguay,

2.739%,

1/29/33

(USD) 

370,000‌

303‌

Total

Paraguay

(Cost

$302

)

303‌

PERU

0.3%

Common

Stocks

0.0%

Southern

Copper

(USD) 

580‌

29‌

29‌

Corporate

Bonds

0.3%

Banco

de

Credito

del

Peru,

VR,

3.125%,

7/1/30

(USD) (6)

310,000‌

283‌

Consorcio

Transmantaro,

5.20%,

4/11/38

(USD) (2)

200,000‌

184‌

InRetail

Consumer,

3.25%,

3/22/28

(USD) 

300,000‌

250‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

14

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Minsur,

4.50%,

10/28/31

(USD) (2)

200,000‌

169‌

886‌

Total

Peru

(Cost

$989

)

915‌

PHILIPPINES

0.2%

Corporate

Bonds

0.1%

Globe

Telecom,

VR,

4.20%

(USD) (6)(9)

300,000‌

279‌

279‌

Government

Bonds

0.1%

Republic

of

Philippines,

6.25%,

1/14/36 

23,000,000‌

401‌

401‌

Total

Philippines

(Cost

$838

)

680‌

PORTUGAL

0.0%

Common

Stocks

0.0%

Galp

Energia 

2,981‌

32‌

Jeronimo

Martins 

1,302‌

30‌

Total

Portugal

(Cost

$58

)

62‌

QATAR

0.1%

Corporate

Bonds

0.1%

Qatar

Energy,

2.25%,

7/12/31

(USD) 

270,000‌

240‌

Total

Qatar

(Cost

$272

)

240‌

ROMANIA

0.3%

Government

Bonds

0.3%

Republic

of

Romania,

2.125%,

3/7/28

(EUR) 

220,000‌

192‌

Republic

of

Romania,

3.00%,

2/27/27

(USD) 

260,000‌

238‌

Republic

of

Romania,

5.00%,

2/12/29 

4,500,000‌

789‌

Total

Romania

(Cost

$1,657

)

1,219‌

SAUDI

ARABIA

0.1%

Corporate

Bonds

0.1%

Dar

Al-Arkan

Sukuk,

6.75%,

2/15/25

(USD) 

300,000‌

293‌

Riyad

Sukuk,

VR,

3.174%,

2/25/30

(USD) (6)

200,000‌

192‌

Total

Saudi

Arabia

(Cost

$510

)

485‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

15

Shares/Par

$

Value

(Cost

and

value

in

$000s)

SENEGAL

0.1%

Government

Bonds

0.1%

Republic

of

Senegal,

6.25%,

5/23/33

(USD) (3)

310,000‌

249‌

Total

Senegal

(Cost

$289

)

249‌

SERBIA

0.3%

Government

Bonds

0.3%

Republic

of

Serbia,

2.125%,

12/1/30

(USD) 

310,000‌

230‌

Republic

of

Serbia,

4.50%,

8/20/32 

100,000,000‌

698‌

Total

Serbia

(Cost

$1,361

)

928‌

SINGAPORE

0.0%

Common

Stocks

0.0%

Sea,

ADR

(USD) (1)

1,592‌

122‌

Total

Singapore

(Cost

$140

)

122‌

SOUTH

AFRICA

0.9%

Corporate

Bonds

0.1%

Eskom

Holdings

SOC,

6.75%,

8/6/23

(USD) 

300,000‌

298‌

298‌

Government

Bonds

0.8%

Republic

of

South

Africa,

4.85%,

9/30/29

(USD) 

300,000‌

276‌

Republic

of

South

Africa,

5.375%,

7/24/44

(USD) 

300,000‌

227‌

Republic

of

South

Africa,

7.00%,

2/28/31 

5,400,000‌

259‌

Republic

of

South

Africa,

8.00%,

1/31/30 

4,900,000‌

259‌

Republic

of

South

Africa,

8.75%,

2/28/48 

12,849,000‌

613‌

Republic

of

South

Africa,

10.50%,

12/21/26 

20,780,000‌

1,320‌

2,954‌

Total

South

Africa

(Cost

$3,550

)

3,252‌

SOUTH

KOREA

0.0%

Common

Stocks

0.0%

Hyundai

Mobis 

228‌

40‌

40‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

16

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Convertible

Bonds

0.0%

POSCO

Holdings,

Zero

Coupon,

9/1/26

(EUR) 

100,000‌

96‌

96‌

Total

South

Korea

(Cost

$135

)

136‌

SPAIN

0.2%

Common

Stocks

0.2%

Amadeus

IT

Group (1)

12,949‌

755‌

Cellnex

Telecom 

836‌

37‌

Total

Spain

(Cost

$855

)

792‌

SRI

LANKA

0.1%

Government

Bonds

0.1%

Republic

of

Sri

Lanka,

6.825%,

7/18/26

(USD) (7)

310,000‌

98‌

Republic

of

Sri

Lanka,

6.85%,

11/3/25

(USD) (1)(7)

560,000‌

179‌

Total

Sri

Lanka

(Cost

$374

)

277‌

SURINAME

0.3%

Government

Bonds

0.3%

Republic

of

Suriname,

9.25%,

10/26/26

(USD) (1)(7)

1,495,000‌

1,226‌

Total

Suriname

(Cost

$1,133

)

1,226‌

SWEDEN

0.6%

Bank

Loans

0.2%

(4)

Anticimex

Global,

FRN,

1M

USD

LIBOR

+

3.50%,

5.098%,

11/16/28

(USD) 

597,000‌

573‌

Anticimex

Global,

FRN,

1M

USD

LIBOR

+

4.00%,

5.598%,

11/16/28

(USD) 

99,500‌

96‌

669‌

Common

Stocks

0.1%

Alfa

Laval 

1,701‌

51‌

Boliden 

1,344‌

45‌

Epiroc,

Class

B 

1,137‌

18‌

Sandvik 

517‌

10‌

Spotify

Technology

(USD) (1)

323‌

36‌

Svenska

Cellulosa,

Class

B 

21,602‌

316‌

Swedish

Match 

2,324‌

24‌

500‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

17

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Corporate

Bonds

0.0%

Verisure

Holding,

FRN,

3M

EURIBOR

+

5.00%,

5.00%,

4/15/25

(EUR) (2)

100,000‌

101‌

101‌

Government

Bonds

0.3%

Kingdom

of

Sweden,

2.25%,

6/1/32 

4,745,000‌

506‌

Kingdom

of

Sweden,

3.50%,

3/30/39 

3,200,000‌

411‌

917‌

Total

Sweden

(Cost

$2,402

)

2,187‌

SWITZERLAND

0.1%

Common

Stocks

0.1%

Cie

Financiere

Richemont,

Class

A 

392‌

47‌

Julius

Baer

Group 

450‌

23‌

Montana

Aerospace (1)

2,094‌

42‌

Nestle 

855‌

105‌

Roche

Holding 

65‌

22‌

Total

Switzerland

(Cost

$232

)

239‌

TAIWAN

0.2%

Common

Stocks

0.2%

Taiwan

Semiconductor

Manufacturing 

40,000‌

686‌

Total

Taiwan

(Cost

$797

)

686‌

THAILAND

0.7%

Corporate

Bonds

0.4%

Bangkok

Bank,

VR,

3.733%,

9/25/34

(USD) (6)

310,000‌

274‌

Indorama

Ventures

Global

Services,

4.375%,

9/12/24

(USD) 

300,000‌

296‌

Kasikornbank,

VR,

3.343%,

10/2/31

(USD) (6)

310,000‌

279‌

Thaioil

Treasury

Center,

2.50%,

6/18/30

(USD) 

310,000‌

253‌

Thaioil

Treasury

Center,

3.50%,

10/17/49

(USD) 

310,000‌

196‌

1,298‌

Government

Bonds

0.3%

Kingdom

of

Thailand,

3.60%,

6/17/67 

10,500,000‌

234‌

Kingdom

of

Thailand,

Inflation-Indexed,

1.25%,

3/12/28 

31,223,360‌

874‌

1,108‌

Total

Thailand

(Cost

$2,692

)

2,406‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

18

Shares/Par

$

Value

(Cost

and

value

in

$000s)

TRINIDAD

AND

TOBAGO

0.1%

Government

Bonds

0.1%

Republic

of

Trinidad

&

Tobago,

4.50%,

8/4/26

(USD) 

300,000‌

294‌

Total

Trinidad

and

Tobago

(Cost

$299

)

294‌

UNITED

ARAB

EMIRATES

0.2%

Corporate

Bonds

0.2%

DAE

Sukuk

Difc,

3.75%,

2/15/26

(USD) 

300,000‌

285‌

Emirates

NBD

Bank,

VR,

6.125%

(USD) (6)(9)

310,000‌

306‌

Total

United

Arab

Emirates

(Cost

$607

)

591‌

UNITED

KINGDOM

2.6%

Bank

Loans

0.2%

(4)

Motion

Finco,

FRN,

1M

USD

LIBOR

+

3.25%,

5.50%,

11/12/26

(USD) 

744,389‌

685‌

685‌

Common

Stocks

0.9%

Ashtead

Group 

14,273‌

803‌

AstraZeneca,

ADR

(USD) 

1,406‌

93‌

Compass

Group 

1,863‌

44‌

Derwent

London 

16,777‌

586‌

Direct

Line

Insurance

Group 

5,668‌

14‌

Experian 

656‌

23‌

Farfetch,

Class

A

(USD) (1)

942‌

8‌

London

Stock

Exchange

Group 

12,238‌

1,194‌

Mondi 

967‌

18‌

Next 

232‌

19‌

Novocure

(USD) (1)

274‌

19‌

Rentokil

Initial 

6,253‌

41‌

Smiths

Group 

1,680‌

32‌

Trainline (1)

68,122‌

330‌

Unilever

(EUR) 

1,022‌

50‌

UNITE

Group 

615‌

9‌

Weir

Group 

2,932‌

60‌

3,343‌

Corporate

Bonds

0.3%

Clear

Channel

International,

6.625%,

8/1/25

(USD) (2)

800,000‌

790‌

eG

Global

Finance,

8.50%,

10/30/25

(USD) (2)

200,000‌

195‌

985‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

19

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Government

Bonds

1.2%

United

Kingdom

Inflation-Linked

Gilt,

0.125%,

3/22/24 

3,281,745‌

4,245‌

4,245‌

Total

United

Kingdom

(Cost

$9,981

)

9,258‌

UNITED

STATES

40.8%

Asset-Backed

Securities

1.7%

Amur

Equipment

Finance

Receivables

X,

Series

2022-1A,

Class

E,

5.02%,

12/20/28 (2)

465,000‌

439‌

Blackbird

Capital

Aircraft

Lease

Securitization,

Series

2016-1A,

Class

A,

STEP,

4.213%,

12/16/41 (2)

424,189‌

375‌

Cologix

Data

Centers

U.S.

Issuer,

Series

2021-1A,

Class

A2,

3.30%,

12/26/51 (2)

43,895‌

41‌

Elara

HGV

Timeshare

Issuer,

Series

2019-A,

Class

C,

3.45%,

1/25/34 (2)

71,018‌

67‌

Exeter

Automobile

Receivables

Trust,

Series

2022-2A,

Class

D,

4.56%,

7/17/28 

340,000‌

328‌

ExteNet,

Series

2019-1A,

Class

B,

4.14%,

7/26/49 (2)

260,000‌

252‌

FOCUS

Brands

Funding,

Series

2018-1,

Class

A2,

5.184%,

10/30/48 (2)

760,375‌

730‌

FOCUS

Brands

Funding,

Series

2022-1,

Class

A2,

7.206%,

7/30/52 (2)

250,000‌

255‌

Hardee's

Funding,

Series

2021-1A,

Class

A2,

2.865%,

6/20/51 (2)

267,300‌

232‌

JPMorgan

Chase

Bank,

Series

2021-3,

Class

E,

2.102%,

2/26/29 (2)

347,120‌

334‌

Morgan

Stanley

Eaton

Vance,

Series

2021-1A,

Class

D,

CLO,

FRN,

3M

USD

LIBOR

+

3.10%,

5.883%,

10/20/34 (2)

285,000‌

256‌

Octane

Receivables

Trust,

Series

2021-2A,

Class

A,

1.21%,

9/20/28 (2)

68,850‌

67‌

Octane

Receivables

Trust,

Series

2021-2A,

Class

C,

2.53%,

5/21/29 (2)

320,000‌

278‌

Octane

Receivables

Trust,

Series

2022-1A,

Class

C,

5.21%,

8/21/28 (2)

610,000‌

604‌

Palmer

Square,

Series

2021-3A,

Class

E,

CLO,

FRN,

3M

USD

LIBOR

+

6.15%,

8.662%,

1/15/35 (2)

250,000‌

220‌

Peace

Park,

Series

2021-1A,

Class

D,

CLO,

FRN,

3M

USD

LIBOR

+

2.95%,

5.66%,

10/20/34 (2)

510,000‌

472‌

Progress

Residential

Trust,

Series

2020-SFR2,

Class

B,

2.578%,

6/17/37 (2)

260,000‌

250‌

Progress

Residential

Trust,

Series

2022-SFR5,

Class

D,

5.734%,

6/17/39 (2)

100,000‌

101‌

Santander

Bank

Auto

Credit-Linked

Notes,

Series

2022-A,

Class

B,

5.281%,

5/15/32 (2)

602,593‌

597‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

20

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Stonepeak,

Series

2021-1A,

Class

B,

3.821%,

2/28/33 (2)

365,997‌

336‌

6,234‌

Bank

Loans

7.8%

(4)

Applied

Systems,

FRN,

1M

USD

LIBOR

+

3.00%,

5.25%,

9/19/24 

798,385‌

783‌

Applied

Systems,

FRN,

1M

USD

LIBOR

+

5.50%,

7.75%,

9/19/25 

375,000‌

364‌

Aretec

Group,

FRN,

3M

USD

LIBOR

+

4.25%,

6.622%,

10/1/25 

89,306‌

86‌

Asurion,

FRN,

1M

USD

LIBOR

+

3.13%,

5.497%,

11/3/23 

1,269,489‌

1,246‌

Asurion,

FRN,

1M

USD

LIBOR

+

5.25%,

7.622%,

1/31/28 

101,879‌

87‌

Asurion,

FRN,

1M

USD

LIBOR

+

5.25%,

7.622%,

1/20/29 

700,000‌

598‌

Cano

Health,

FRN,

1M

TSFR

+

4.00%,

6.427%,

11/23/27 

109,175‌

102‌

Charter

Next

Generation,

FRN,

1M

USD

LIBOR

+

3.75%,

6.556%,

12/1/27 

607,461‌

582‌

CNT

Holdings

I,

FRN,

1M

USD

LIBOR

+

3.50%,

5.372%,

11/8/27 

593,985‌

574‌

ConnectWise,

FRN,

1M

USD

LIBOR

+

3.50%,

5.75%,

9/29/28 

597,000‌

569‌

Delta

Topco,

FRN,

1M

USD

LIBOR

+

7.25%,

9.336%,

12/1/28 

310,000‌

270‌

Diamond,

FRN,

1M

USD

LIBOR

+

2.75%,

5.556%,

9/29/28 

517,400‌

493‌

Edelman

Financial

Engines

Center,

FRN,

3M

USD

LIBOR

+

6.75%,

9.122%,

7/20/26 

805,000‌

736‌

Engineered

Machinery

Holdings,

FRN,

1M

USD

LIBOR

+

6.50%,

8.75%,

5/21/29 

145,000‌

138‌

Engineered

Machinery

Holdings,

FRN,

3M

USD

LIBOR

+

6.00%,

8.25%,

5/21/29 

465,000‌

443‌

Epicor

Software,

FRN,

1M

USD

LIBOR

+

7.75%,

10.122%,

7/31/28 

605,000‌

595‌

Fertitta

Entertainment,

FRN,

1M

TSFR

+

4.00%,

6.327%,

1/12/29 

498,750‌

475‌

Fleet

U.S.

Bidco,

FRN,

1M

USD

LIBOR

+

3.00%,

5.372%,

10/7/26 (5)

87,342‌

86‌

Heartland

Dental,

FRN,

3M

USD

LIBOR

+

3.50%,

5.872%,

4/30/25 

989,699‌

931‌

Hyland

Software,

FRN,

1M

USD

LIBOR

+

3.50%,

5.872%,

7/1/24 

689,780‌

676‌

Infinite

Bidco,

FRN,

1M

USD

LIBOR

+

3.25%,

5.50%,

3/2/28 

396,000‌

369‌

Infinite

Bidco,

FRN,

1M

USD

LIBOR

+

7.00%,

9.25%,

3/2/29 

400,000‌

369‌

IRB

Holding,

FRN,

1M

TSFR

+

3.00%,

4.238%,

12/15/27 

532,519‌

510‌

Loyalty

Ventures,

FRN,

1M

USD

LIBOR

+

4.50%,

6.872%,

11/3/27 

101,185‌

75‌

Medline

Borrower,

FRN,

1M

USD

LIBOR

+

3.25%,

5.622%,

10/23/28 

832,913‌

794‌

Medline

Borrower,

FRN,

3M

EURIBOR

+

3.50%,

3.50%,

10/23/28

(EUR) 

85,000‌

81‌

MH

Sub

I,

FRN,

1M

USD

LIBOR

+

3.75%,

6.122%,

9/13/24 

653,903‌

634‌

MH

Sub

I,

FRN,

1M

USD

LIBOR

+

6.25%,

8.622%,

2/23/29 

300,000‌

284‌

MH

Sub

I,

FRN,

3M

USD

LIBOR

+

3.75%,

5.846%,

9/13/24 

889,147‌

862‌

MIC

Glen,

FRN,

1M

USD

LIBOR

+

3.50%,

5.872%,

7/21/28 

197,750‌

185‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

21

Shares/Par

$

Value

(Cost

and

value

in

$000s)

MIC

Glen,

FRN,

1M

USD

LIBOR

+

6.75%,

9.122%,

7/20/29 (5)

800,000‌

732‌

Mitchell

International,

FRN,

1M

USD

LIBOR

+

6.50%,

8.662%,

10/15/29 

810,000‌

744‌

Peloton

Interactive,

FRN,

1M

TSFR

+

6.60%,

8.346%,

5/17/27 

215,000‌

204‌

PetSmart,

FRN,

1M

USD

LIBOR

+

3.75%,

6.12%,

2/11/28 

594,000‌

571‌

Plantronics,

FRN,

3M

USD

LIBOR

+

2.50%,

4.872%,

7/2/25 (10)

2,000,000‌

1,987‌

Planview

Parent,

FRN,

1M

USD

LIBOR

+

4.00%,

6.372%,

12/17/27 

765,355‌

734‌

Project

Ruby

Ultimate

Parent,

FRN,

1M

USD

LIBOR

+

3.25%,

5.622%,

3/10/28 

593,242‌

566‌

RealPage,

FRN,

1M

USD

LIBOR

+

3.00%,

5.372%,

4/24/28 

858,513‌

825‌

RealPage,

FRN,

3M

USD

LIBOR

+

6.50%,

8.166%,

4/23/29 

795,000‌

763‌

Rent-A-Center,

FRN,

1M

USD

LIBOR

+

3.25%,

6.063%,

2/17/28 

434,599‌

391‌

Rising

Tide

Holdings,

FRN,

1M

USD

LIBOR

+

8.25%,

10.622%,

6/1/29 (5)

400,000‌

368‌

S2P

Acquisition

Borrower,

FRN,

3M

USD

LIBOR

+

3.75%,

6.122%,

8/14/26 

280,444‌

266‌

Sophia,

FRN,

1M

USD

LIBOR

+

3.25%,

5.50%,

10/7/27 

1,002,307‌

963‌

Tacala

Investment,

FRN,

1M

USD

LIBOR

+

3.50%,

5.872%,

2/5/27 

494,832‌

464‌

Tacala

Investment,

FRN,

1M

USD

LIBOR

+

7.50%,

9.872%,

2/4/28 

495,000‌

461‌

Talen

Energy

Supply,

FRN,

1M

TSFR

+

4.75%,

11/11/23 (10)

500,000‌

496‌

Triton

Water

Holdings,

FRN,

1M

USD

LIBOR

+

3.50%,

5.75%,

3/31/28 

792,001‌

700‌

Univision

Communications,

FRN,

3M

USD

LIBOR

+

2.75%,

5.122%,

3/15/24 

485,317‌

480‌

Wand

NewCo

3,

FRN,

1M

USD

LIBOR

+

3.00%,

5.372%,

2/5/26 

417,288‌

400‌

William

Morris

Endeavor

Entertainment,

FRN,

3M

USD

LIBOR

+

2.75%,

5.13%,

5/18/25 

771,609‌

738‌

Woof

Holdings,

FRN,

1M

USD

LIBOR

+

3.75%,

5.813%,

12/21/27 (5)

514,242‌

497‌

Woof

Holdings,

FRN,

1M

USD

LIBOR

+

7.25%,

9.313%,

12/21/28 (5)

580,000‌

545‌

Xplornet

Communications,

FRN,

1M

USD

LIBOR

+

4.00%,

6.372%,

10/2/28 

163,763‌

145‌

Xplornet

Communications,

FRN,

1M

USD

LIBOR

+

7.00%,

9.367%,

10/1/29 (5)

110,000‌

96‌

28,133‌

Common

Stocks

13.6%

10X

Genomics,

Class

A (1)

134‌

5‌

7

Acquisition (1)

49,900‌

502‌

AbbVie 

327‌

47‌

Acadia

Realty

Trust,

REIT 

612‌

11‌

Advanced

Micro

Devices (1)

7,528‌

711‌

AGCO 

92‌

10‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

22

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Agilent

Technologies 

395‌

53‌

Air

Lease 

1,884‌

70‌

Air

Products

&

Chemicals 

126‌

31‌

Airbnb,

Class

A (1)

152‌

17‌

Alamo

Group 

85‌

11‌

Albemarle 

84‌

21‌

Alexandria

Real

Estate

Equities,

REIT 

55‌

9‌

Allegiant

Travel (1)

196‌

23‌

Alnylam

Pharmaceuticals (1)

204‌

29‌

Alphabet,

Class

A (1)

5,805‌

675‌

Alphabet,

Class

C (1)

2,371‌

277‌

Amazon.com (1)

20,402‌

2,753‌

Ameren 

203‌

19‌

American

International

Group 

1,211‌

63‌

American

Tower,

REIT 

484‌

131‌

Ameriprise

Financial 

125‌

34‌

Apellis

Pharmaceuticals (1)

248‌

14‌

Apollo

Global

Management 

627‌

36‌

Apple 

4,303‌

699‌

Apple

Hospitality

REIT,

REIT 

645‌

11‌

Arch

Capital

Group (1)

627‌

28‌

Arena

Fortify

Acquisition,

Warrants,

12/31/28 (1)

24,620‌

4‌

Arena

Fortify

Acquisition,

Class

A (1)

49,240‌

495‌

Armstrong

World

Industries 

453‌

40‌

Arthur

J

Gallagher 

142‌

25‌

Atlassian,

Class

A (1)

3,069‌

642‌

AvalonBay

Communities,

REIT 

461‌

99‌

Avantor (1)

864‌

25‌

Avery

Dennison 

105‌

20‌

Axis

Capital

Holdings 

571‌

29‌

Baker

Hughes 

449‌

12‌

Ball 

1,055‌

77‌

Bank

of

America 

2,284‌

77‌

Bank

of

New

York

Mellon 

1,213‌

53‌

BankUnited 

502‌

20‌

Barings

BDC 

1,443‌

14‌

Battery

Future

Acquisition (1)

73,400‌

736‌

Beard

Energy

Transition

Acquisition (1)

74,100‌

743‌

Becton

Dickinson

&

Company 

209‌

51‌

Belden 

966‌

63‌

Berkshire

Hathaway,

Class

B (1)

44‌

13‌

Bill.com

Holdings (1)

1,194‌

161‌

Biogen (1)

68‌

15‌

Black

Knight (1)

294‌

19‌

Block (1)

2,381‌

181‌

Blueprint

Medicines (1)

207‌

11‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

23

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Boeing (1)

594‌

95‌

Booking

Holdings (1)

44‌

85‌

BRC,

Class

A (1)(3)

801‌

8‌

Bright

Horizons

Family

Solutions (1)

3,516‌

329‌

Bruker 

378‌

26‌

Bullpen

Parlay

Acquisition (1)

72,300‌

723‌

Burlington

Stores (1)

1,790‌

253‌

C4

Therapeutics (1)

95‌

1‌

Cactus,

Class

A 

488‌

20‌

Camden

Property

Trust,

REIT 

76‌

11‌

Canva,

Acquisition

Date:

8/16/21

-

12/22/21,

Cost $245 (1)(5)(8)

144‌

138‌

Capital

One

Financial 

627‌

69‌

Capitalworks

Emerging

Markets

Acquisition (1)

72,800‌

733‌

Capri

Holdings (1)

147‌

7‌

Carvana (1)(3)

311‌

9‌

Catalent (1)

207‌

23‌

Caterpillar 

93‌

18‌

Cboe

Global

Markets 

233‌

29‌

CC

Neuberger

Principal

Holdings

III,

Warrants,

12/31/27 (1)

8,398‌

2‌

CC

Neuberger

Principal

Holdings

III,

Class

A (1)

41,992‌

416‌

Cedar

Fair (1)

502‌

21‌

Centene (1)

773‌

72‌

Cerevel

Therapeutics

Holdings (1)

403‌

11‌

Ceridian

HCM

Holding (1)

185‌

10‌

CF

Industries

Holdings 

257‌

25‌

ChampionX 

808‌

17‌

Charles

Schwab 

23,799‌

1,643‌

Charter

Communications,

Class

A (1)

102‌

44‌

Chevron 

479‌

78‌

Chipotle

Mexican

Grill (1)

33‌

52‌

Chubb 

495‌

93‌

Cigna 

119‌

33‌

Citigroup 

1,430‌

74‌

Citizens

Financial

Group 

674‌

26‌

CME

Group 

1,577‌

315‌

CMS

Energy 

224‌

15‌

CNA

Financial 

140‌

6‌

Coca-Cola 

1,743‌

112‌

Comcast,

Class

A 

909‌

34‌

Concord

Acquisition

Corp

III (1)

49,500‌

499‌

Confluent,

Class

A (1)

1,285‌

33‌

ConocoPhillips 

4,589‌

447‌

Cooper 

47‌

15‌

Costco

Wholesale 

202‌

109‌

Crowdstrike

Holdings,

Class

A (1)

421‌

77‌

Crown

Castle

International,

REIT 

460‌

83‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

24

Shares/Par

$

Value

(Cost

and

value

in

$000s)

CubeSmart,

REIT 

418‌

19‌

Cummins 

542‌

120‌

Danaher 

401‌

117‌

Darling

Ingredients (1)

461‌

32‌

Datadog,

Class

A (1)

537‌

55‌

Deere 

53‌

18‌

Denali

Therapeutics (1)

320‌

11‌

Devon

Energy 

1,072‌

67‌

Dexcom (1)

225‌

18‌

Dime

Community

Bancshares 

586‌

20‌

Dollar

General 

272‌

68‌

Dollar

Tree (1)

175‌

29‌

Dominion

Energy 

211‌

17‌

DoorDash,

Class

A (1)

2,255‌

157‌

Douglas

Emmett,

REIT 

243‌

6‌

Doximity,

Class

A (1)

370‌

16‌

DraftKings,

Class

A (1)

648‌

9‌

East

West

Bancorp 

523‌

38‌

Element

Solutions 

921‌

18‌

Elevance

Health 

165‌

79‌

Eli

Lilly 

2,187‌

721‌

Encore

Capital

Group (1)

411‌

30‌

Entegris 

84‌

9‌

EOG

Resources 

4,572‌

509‌

EQRx,

Warrants,

12/31/28 (1)

2,200‌

2‌

Equinix,

REIT 

155‌

109‌

Equitable

Holdings 

1,193‌

34‌

Equity

LifeStyle

Properties,

REIT 

137‌

10‌

Equity

Residential,

REIT 

1,200‌

94‌

Essex

Property

Trust,

REIT 

41‌

12‌

Estee

Lauder,

Class

A 

2,293‌

626‌

Eucrates

Biomedical

Acquisition (1)

9,800‌

97‌

Eucrates

Biomedical

Acquisition,

Warrants,

12/14/25 (1)

3,266‌

—‌

Exact

Sciences (1)

5,509‌

248‌

Exelixis (1)

581‌

12‌

Expedia

Group (1)

1,847‌

196‌

Fate

Therapeutics (1)

180‌

6‌

FedEx 

369‌

86‌

Fifth

Third

Bancorp 

1,217‌

42‌

Figs,

Class

A (1)

1,185‌

13‌

First

American

Financial 

279‌

16‌

Fiserv (1)

225‌

24‌

Five9 (1)

865‌

94‌

Floor

&

Decor

Holdings,

Class

A (1)

288‌

23‌

FMC 

279‌

31‌

Freshpet (1)

2,618‌

140‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

25

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Games

&

Esports

Experience

Acquisition (1)

72,400‌

728‌

Generac

Holdings (1)

202‌

54‌

General

Electric 

10,946‌

809‌

Goldman

Sachs

Group 

237‌

79‌

Green

Visor

Financial

Technology

Acquisition

I,

Warrants,

5/8/23 (1)

24,900‌

5‌

Green

Visor

Financial

Technology

Acquisition

I,

Class

A (1)

49,800‌

501‌

Guardant

Health (1)

247‌

12‌

Hanover

Insurance

Group 

56‌

8‌

Hartford

Financial

Services

Group 

1,003‌

65‌

HashiCorp,

Class

A (1)(3)

652‌

24‌

HCA

Healthcare 

65‌

14‌

Hess 

1,583‌

178‌

Hilton

Worldwide

Holdings 

518‌

66‌

Hologic (1)

432‌

31‌

Home

BancShares 

549‌

13‌

Home

Depot 

561‌

169‌

Honeywell

International 

598‌

115‌

Hubbell 

106‌

23‌

HubSpot (1)

932‌

287‌

Humana 

132‌

64‌

Huntington

Bancshares 

4,770‌

63‌

Incyte (1)

179‌

14‌

Infinite

Acquisition (1)

74,909‌

747‌

Ingersoll

Rand 

1,959‌

98‌

Insmed (1)

555‌

12‌

Insulet (1)

81‌

20‌

Intellia

Therapeutics (1)

74‌

5‌

International

Paper 

619‌

26‌

Intuit 

140‌

64‌

Intuitive

Surgical (1)

1,815‌

418‌

Ionis

Pharmaceuticals (1)

344‌

13‌

JB

Hunt

Transport

Services 

343‌

63‌

JPMorgan

Chase 

348‌

40‌

Kemper 

366‌

17‌

Keurig

Dr

Pepper 

804‌

31‌

Kilroy

Realty,

REIT 

74‌

4‌

KKR 

651‌

36‌

Liberty

Media

Acquisition,

Class

A (1)

10,040‌

99‌

Liberty

Media

Acquisition,

Class

A,

Warrants,

12/31/27 (1)

2,008‌

1‌

Liberty

Media-Liberty

Formula

One,

Class

C (1)

10,099‌

684‌

Linde 

289‌

87‌

Live

Nation

Entertainment (1)

664‌

62‌

Lululemon

Athletica (1)

118‌

37‌

Magnolia

Oil

&

Gas,

Class

A 

1,175‌

28‌

Marsh

&

McLennan 

304‌

50‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

26

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Martin

Marietta

Materials 

52‌

18‌

Mastercard,

Class

A 

4,032‌

1,426‌

McDonald's 

326‌

86‌

McLaren

Technology

Acquisition,

Warrants,

3/3/23 (1)

24,800‌

3‌

McLaren

Technology

Acquisition,

Class

A (1)

49,600‌

499‌

Merck 

671‌

60‌

Meta

Platforms,

Class

A (1)

681‌

108‌

MetLife 

842‌

53‌

Mettler-Toledo

International (1)

7‌

9‌

MGM

Resorts

International 

710‌

23‌

Microsoft 

4,139‌

1,162‌

Middleby (1)

402‌

58‌

Mirati

Therapeutics (1)

57‌

4‌

Moderna (1)

295‌

48‌

Molina

Healthcare (1)

134‌

44‌

Mondelez

International,

Class

A 

874‌

56‌

MongoDB (1)

1,316‌

411‌

Monster

Beverage (1)

464‌

46‌

Morgan

Stanley 

736‌

62‌

Mueller

Water

Products,

Class

A 

3,722‌

48‌

Nabors

Energy

Transition (1)

50,400‌

511‌

Netflix (1)

122‌

27‌

Neurocrine

Biosciences (1)

103‌

10‌

NextEra

Energy 

229‌

19‌

NIKE,

Class

B 

652‌

75‌

Norfolk

Southern 

108‌

27‌

NVIDIA 

1,579‌

287‌

Occidental

Petroleum 

3,250‌

214‌

Okta (1)

862‌

85‌

Olaplex

Holdings (1)

5,964‌

103‌

Onyx

Acquisition

I,

Warrants,

1/7/23 (1)

24,800‌

3‌

Onyx

Acquisition

I,

Class

A (1)

49,600‌

498‌

Opendoor

Technologies,

Class

A (1)(3)

2,665‌

13‌

O'Reilly

Automotive (1)

60‌

42‌

Pacific

Biosciences

of

California (1)(3)

551‌

2‌

Packaging

Corp.

of

America 

269‌

38‌

Patreon,

Acquisition

Date:

10/14/21,

Cost $9 (1)(5)(8)

165‌

7‌

Paycom

Software (1)

195‌

64‌

Paylocity

Holding (1)

514‌

106‌

Penumbra (1)

130‌

18‌

Pfizer 

1,512‌

76‌

Pinnacle

Financial

Partners 

234‌

19‌

Pioneer

Natural

Resources 

260‌

62‌

PNC

Financial

Services

Group 

90‌

15‌

Popular 

545‌

42‌

Power

&

Digital

Infrastructure

Acquisition

II (1)

73,800‌

733‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

27

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Procter

&

Gamble 

675‌

94‌

Prologis,

REIT 

330‌

44‌

PROOF

Acquisition

I (1)

72,800‌

729‌

Public

Storage,

REIT 

94‌

31‌

Quaker

Chemical 

356‌

58‌

Quanta

Services 

120‌

17‌

QuidelOrtho (1)

146‌

15‌

Raymond

James

Financial 

409‌

40‌

RCF

Acquisition (1)

49,700‌

502‌

Regency

Centers,

REIT 

224‌

14‌

Regeneron

Pharmaceuticals (1)

100‌

58‌

RenaissanceRe

Holdings 

218‌

28‌

Rent

the

Runway,

Class

A (1)

1,847‌

8‌

Rexford

Industrial

Realty,

REIT 

259‌

17‌

Rivian

Automotive,

Class

A (1)(3)

2,683‌

92‌

ROBLOX,

Class

A (1)

7,658‌

329‌

Roper

Technologies 

156‌

68‌

Royalty

Pharma,

Class

A 

348‌

15‌

RPM

International 

377‌

34‌

Saia (1)

106‌

25‌

Salesforce (1)

4,657‌

857‌

Sandy

Spring

Bancorp 

339‌

14‌

SBA

Communications,

REIT 

453‌

152‌

Sculptor

Acquisition

I (1)

72,241‌

725‌

Seagen (1)

1,227‌

221‌

Sealed

Air 

870‌

53‌

Seaport

Global

Acquisition

II (1)

49,251‌

496‌

Seer (1)

190‌

2‌

Selective

Insurance

Group 

96‌

7‌

Sempra

Energy 

2,117‌

351‌

ServiceNow (1)

1,371‌

612‌

Sherwin-Williams 

2,738‌

662‌

Shoals

Technologies

Group,

Class

A (1)

845‌

20‌

Shockwave

Medical (1)

154‌

32‌

Signature

Bank 

2,484‌

461‌

Simon

Property

Group,

REIT 

170‌

18‌

SL

Green

Realty,

REIT 

83‌

4‌

Snap,

Class

A (1)

5,262‌

52‌

Snowflake,

Class

A (1)

1,850‌

277‌

Socure,

Acquisition

Date:

12/22/21,

Cost $1 (1)(5)(8)

89‌

1‌

Southwest

Airlines (1)

857‌

33‌

Starbucks 

637‌

54‌

State

Street 

761‌

54‌

Stericycle (1)

339‌

16‌

Stryker 

284‌

61‌

Sun

Country

Airlines

Holdings (1)

1,426‌

29‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

28

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Synopsys (1)

306‌

112‌

T-Mobile

U.S. (1)

8,593‌

1,229‌

Teleflex 

73‌

18‌

Terreno

Realty,

REIT 

221‌

14‌

Tesla (1)

701‌

625‌

Textron 

425‌

28‌

Thermo

Fisher

Scientific 

257‌

154‌

Thermon

Group

Holdings (1)

560‌

9‌

Toast,

Class

A (1)

871‌

14‌

Trade

Desk,

Class

A (1)

590‌

27‌

Travelers 

93‌

15‌

Trinity

Capital 

941‌

14‌

Ultragenyx

Pharmaceutical (1)

2,428‌

129‌

Union

Pacific 

69‌

16‌

United

Parcel

Service,

Class

B 

617‌

120‌

UnitedHealth

Group 

2,818‌

1,528‌

UTA

Acquisition (1)

48,300‌

490‌

Veeva

Systems,

Class

A (1)

970‌

217‌

Velocity

Acquisition,

Warrants,

2/26/27 (1)

8,054‌

1‌

Velocity

Acquisition,

Class

A (1)

24,163‌

237‌

VeriSign (1)

193‌

37‌

Verizon

Communications 

775‌

36‌

Vertex

Pharmaceuticals (1)

1,366‌

383‌

Virtus

Investment

Partners 

107‌

22‌

Visa,

Class

A 

154‌

33‌

VMG

Consumer

Acquisition (1)

49,232‌

492‌

Voya

Financial 

512‌

31‌

Vulcan

Materials 

120‌

20‌

Walt

Disney (1)

482‌

51‌

Warby

Parker,

Class

A (1)

510‌

6‌

Warner

Music

Group,

Class

A 

596‌

18‌

Webster

Financial 

630‌

29‌

Wells

Fargo 

2,605‌

114‌

Welltower,

REIT 

298‌

26‌

West

Pharmaceutical

Services 

107‌

37‌

Western

Alliance

Bancorp 

8,259‌

631‌

Westrock 

358‌

15‌

Wingstop 

192‌

24‌

Xcel

Energy 

182‌

13‌

Xometry,

Class

A (1)

368‌

14‌

Zentalis

Pharmaceuticals (1)

146‌

4‌

Zoetis 

65‌

12‌

Zoom

Video

Communications,

Class

A (1)

588‌

61‌

48,824‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

29

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Convertible

Bonds

0.2%

Liberty

Broadband,

2.75%,

9/30/50 (2)

200,000‌

191‌

Radius

Health,

3.00%,

9/1/24 

375,000‌

368‌

559‌

Convertible

Preferred

Stocks

0.1%

ABL

Space

Systems,

Series

B-2,

Acquisition

Date:

10/22/21,

Cost $91 (1)(5)(8)

1,345‌

91‌

Canva,

Series

A,

Acquisition

Date:

11/4/21

-

12/17/21,

Cost $13 (1)(5)(8)

8‌

8‌

Canva,

Series

A-3,

Acquisition

Date:

12/17/21,

Cost $2 (1)(5)(8)

1‌

1‌

CELLINK,

Series

D,

Acquisition

Date:

1/20/22,

Cost $9 (1)(5)(8)

423‌

9‌

Coalition,

Series

E,

Acquisition

Date:

9/7/21,

Cost $23 (1)(5)(8)

1,376‌

30‌

Databricks,

Series

H,

Acquisition

Date:

8/31/21,

Cost $60 (1)(5)

(8)

272‌

45‌

Eikon

Therapeutics,

Series

B,

Acquisition

Date:

12/3/21,

Cost $6 (1)(5)(8)

330‌

6‌

Epirus,

Series

C-2,

Acquisition

Date:

1/28/22,

Cost $11 (1)(5)(8)

1,889‌

11‌

Formagrid,

Series

F,

Acquisition

Date:

12/8/21,

Cost $41 (1)(5)

(8)

222‌

23‌

Freenome

Holdings,

Series

D,

Acquisition

Date:

11/22/21,

Cost $26 (1)(5)(8)

3,412‌

40‌

Generate

Bio,

Series

B,

Acquisition

Date:

9/2/21,

Cost $8 (1)(5)

(8)

666‌

8‌

Kobold

Metals,

Series

B-1,

Acquisition

Date:

1/10/22,

Cost $11 (1)(5)(8)

384‌

11‌

Laronde,

Series

B,

Acquisition

Date:

7/28/21,

Cost $5 (1)(5)(8)

162‌

5‌

Lilac

Solutions,

Series

B,

Acquisition

Date:

9/8/21,

Cost $15 (1)

(5)(8)

1,156‌

15‌

NextEra

Energy,

5.279%,

3/1/23 

676‌

35‌

Nuro,

Series

D,

Acquisition

Date:

10/29/21,

Cost $26 (1)(5)(8)

1,232‌

26‌

Patreon,

Series

D,

Acquisition

Date:

10/21/21,

Cost $13 (1)(5)(8)

238‌

10‌

Rappi,

Series

E,

Acquisition

Date:

9/8/20,

Cost $109 (1)(5)(8)

1,822‌

94‌

Rappi,

Series

F,

Acquisition

Date:

7/8/21,

Cost $34 (1)(5)(8)

534‌

27‌

Socure,

Series

A,

Acquisition

Date:

12/22/21,

Cost $2 (1)(5)(8)

109‌

1‌

Socure,

Series

A-1,

Acquisition

Date:

12/22/21,

Cost $1 (1)(5)(8)

89‌

1‌

Socure,

Series

B,

Acquisition

Date:

12/22/21,

Cost $— (1)(5)(8)

2‌

—‌

Socure,

Series

E,

Acquisition

Date:

10/27/21,

Cost $3 (1)(5)(8)

207‌

2‌

Southern,

Series

2019,

6.75%,

8/1/22 

461‌

25‌

524‌

Corporate

Bonds

9.9%

Advanced

Drainage

Systems,

6.375%,

6/15/30 (2)

230,000‌

232‌

AEP

Texas,

5.25%,

5/15/52 

110,000‌

117‌

Alphabet,

2.05%,

8/15/50 

774,000‌

549‌

Ardagh

Metal

Packaging

Finance

USA,

6.00%,

6/15/27 (2)

260,000‌

266‌

Ardagh

Packaging

Finance,

5.25%,

4/30/25 (2)

2,400,000‌

2,343‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

30

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Berkshire

Hathaway

Finance,

2.50%,

1/15/51 

809,000‌

576‌

Burlington

Northern

Santa

Fe,

4.45%,

1/15/53 

200,000‌

203‌

Calpine,

3.75%,

3/1/31 (2)

915,000‌

807‌

Cano

Health,

6.25%,

10/1/28 (2)(3)

150,000‌

134‌

Carpenter

Technology,

7.625%,

3/15/30 

255,000‌

239‌

CD&R

Smokey

Buyer,

6.75%,

7/15/25 (2)

170,000‌

160‌

Cedar

Fair,

5.50%,

5/1/25 (2)

600,000‌

601‌

Celanese

U.S.

Holdings,

6.33%,

7/15/29 

800,000‌

821‌

Celanese

U.S.

Holdings,

6.379%,

7/15/32 

800,000‌

819‌

Central

Parent,

7.25%,

6/15/29 (2)

660,000‌

671‌

Change

Healthcare

Holdings,

5.75%,

3/1/25 (2)

2,128,000‌

2,112‌

Chubb

INA

Holdings,

2.85%,

12/15/51 

754,000‌

574‌

Citigroup,

VR,

4.91%,

5/24/33 (6)

220,000‌

226‌

Citrix

Systems,

1.25%,

3/1/26 

125,000‌

122‌

Citrix

Systems,

3.30%,

3/1/30 

1,200,000‌

1,188‌

Darling

Ingredients,

6.00%,

6/15/30 (2)

245,000‌

254‌

Global

Net

Lease,

3.75%,

12/15/27 (2)

410,000‌

358‌

GPD,

10.125%,

4/1/26 (2)

450,000‌

415‌

Hightower

Holding,

6.75%,

4/15/29 (2)(3)

245,000‌

192‌

Home

Depot,

2.375%,

3/15/51 

785,000‌

558‌

Home

Point

Capital,

5.00%,

2/1/26 (2)

285,000‌

196‌

Jackson

Financial,

5.67%,

6/8/32 

635,000‌

630‌

Jane

Street

Group,

4.50%,

11/15/29 (2)

520,000‌

480‌

KeyCorp,

VR,

4.789%,

6/1/33 (6)

130,000‌

132‌

LCPR

Senior

Secured

Financing,

5.125%,

7/15/29 (2)

430,000‌

379‌

Lions

Gate

Capital

Holdings,

5.50%,

4/15/29 (2)(3)

115,000‌

95‌

Marsh

&

McLennan,

2.90%,

12/15/51 

700,000‌

521‌

Medline

Borrower,

5.25%,

10/1/29 (2)(3)

405,000‌

366‌

NextEra

Energy

Capital

Holdings,

5.00%,

7/15/32 

85,000‌

91‌

NGL

Energy

Operating,

7.50%,

2/1/26 (2)

415,000‌

380‌

NGL

Energy

Partners,

7.50%,

11/1/23 (3)

35,000‌

33‌

Nielsen

Luxembourg,

5.00%,

2/1/25 (2)

500,000‌

491‌

Option

Care

Health,

4.375%,

10/31/29 (2)

815,000‌

745‌

Pacific

Gas

&

Electric,

4.95%,

7/1/50 

155,000‌

129‌

Papa

John's

International,

3.875%,

9/15/29 (2)

405,000‌

354‌

Peninsula

Pacific

Entertainment,

8.50%,

11/15/27 (2)

1,400,000‌

1,512‌

PetSmart,

7.75%,

2/15/29 (2)

500,000‌

482‌

PG&E,

5.00%,

7/1/28 

40,000‌

37‌

Photo

Holdings

Merger

Sub,

8.50%,

10/1/26 (2)

498,000‌

366‌

PNC

Financial

Services

Group,

VR,

4.626%,

6/6/33 (6)

850,000‌

840‌

PRA

Group,

7.375%,

9/1/25 (2)

395,000‌

393‌

Rivian

Holdings,

FRN,

6M

USD

LIBOR

+

5.625%,

7.177%,

10/15/26 (2)

810,000‌

745‌

Royal

Caribbean

Cruises,

10.875%,

6/1/23 (2)

800,000‌

820‌

Sabre

GLBL,

7.375%,

9/1/25 (2)

295,000‌

292‌

Salesforce,

3.05%,

7/15/61 

746,000‌

585‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

31

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Service

Properties

Trust,

4.50%,

6/15/23 

500,000‌

485‌

Service

Properties

Trust,

4.65%,

3/15/24 

700,000‌

639‌

Service

Properties

Trust,

7.50%,

9/15/25 

600,000‌

588‌

Taylor

Morrison

Communities,

5.875%,

4/15/23 (2)

1,200,000‌

1,206‌

Teekay

Offshore

Partners,

8.50%,

7/15/23 (2)

170,000‌

89‌

Tenneco,

5.125%,

4/15/29 (2)

405,000‌

397‌

Tenneco,

7.875%,

1/15/29 (2)

500,000‌

495‌

Transocean

Phoenix

2,

7.75%,

10/15/24 (2)

49,500‌

48‌

Transocean

Pontus,

6.125%,

8/1/25 (2)

24,600‌

23‌

Transocean

Proteus,

6.25%,

12/1/24 (2)

123,750‌

117‌

Tutor

Perini,

6.875%,

5/1/25 (2)(3)

500,000‌

445‌

U.S.

Airways

PTT,

Series

2013-1,

Class

A,

3.95%,

11/15/25 

50,007‌

45‌

United

Airlines,

4.375%,

4/15/26 (2)

375,000‌

360‌

UnitedHealth

Group,

4.75%,

5/15/52 

115,000‌

123‌

Verizon

Communications,

3.55%,

3/22/51 

150,000‌

126‌

Verscend

Escrow,

9.75%,

8/15/26 (2)

1,000,000‌

1,002‌

VICI

Properties,

5.625%,

5/1/24 (2)

400,000‌

399‌

Visa,

2.00%,

8/15/50 

815,000‌

571‌

Vistra,

VR,

7.00% (2)(6)(9)

197,000‌

180‌

Vistra,

VR,

8.00% (2)(6)(9)

205,000‌

199‌

Vistra

Operations,

5.125%,

5/13/25 (2)

525,000‌

524‌

Welbilt,

9.50%,

2/15/24 

800,000‌

801‌

Yum!

Brands,

5.375%,

4/1/32 

1,140,000‌

1,100‌

35,593‌

Municipal

Securities

0.7%

Colorado

HFA,

Covenant

Living

Community,

Series

B,

4.48%,

12/1/40 

250,000‌

241‌

Illinois,

Build

America,

GO,

7.10%,

7/1/35 

165,000‌

185‌

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

227‌

Puerto

Rico

Commonwealth,

VR,

11/1/43 (1)(11)

1,071,652‌

572‌

Puerto

Rico

Commonwealth,

Restructured,

Series

A,

GO,

Zero

Coupon,

7/1/24 

15,243‌

14‌

Puerto

Rico

Commonwealth,

Restructured,

Series

A,

GO,

Zero

Coupon,

7/1/33 

58,668‌

35‌

Puerto

Rico

Commonwealth,

Restructured,

Series

A-1,

GO,

4.00%,

7/1/33 

45,589‌

44‌

Puerto

Rico

Commonwealth,

Restructured,

Series

A-1,

GO,

4.00%,

7/1/35 

40,979‌

39‌

Puerto

Rico

Commonwealth,

Restructured,

Series

A-1,

GO,

4.00%,

7/1/37 

35,170‌

33‌

Puerto

Rico

Commonwealth,

Restructured,

Series

A-1,

GO,

4.00%,

7/1/41 

47,818‌

44‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

32

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Puerto

Rico

Commonwealth,

Restructured,

Series

A-1,

GO,

4.00%,

7/1/46 

49,730‌

45‌

Puerto

Rico

Commonwealth,

Restructured,

Series

A-1,

GO,

5.25%,

7/1/23 

25,458‌

26‌

Puerto

Rico

Commonwealth,

Restructured,

Series

A-1,

GO,

5.375%,

7/1/25 

50,774‌

53‌

Puerto

Rico

Commonwealth,

Restructured,

Series

A-1,

GO,

5.625%,

7/1/27 

50,314‌

54‌

Puerto

Rico

Commonwealth,

Restructured,

Series

A-1,

GO,

5.625%,

7/1/29 

49,497‌

55‌

Puerto

Rico

Commonwealth,

Restructured,

Series

A-1,

GO,

5.75%,

7/1/31 

48,077‌

54‌

Puerto

Rico

Electric

Power

Auth.,

Build

America,

5.95%,

7/1/30 (1)(12)

45,000‌

34‌

Puerto

Rico

Electric

Power

Auth.,

Build

America,

6.05%,

7/1/32 (1)(12)

370,000‌

285‌

Tobacco

Settlement

Fin.,

Series

A-1,

6.706%,

6/1/46 

285,000‌

275‌

Tobacco

Settlement

Fin.

Auth.,

Series

B,

4.875%,

6/1/49 

115,000‌

106‌

Tobacco

Settlement

Fin.

Auth.,

Series

B,

Zero

Coupon,

6/1/47 

500,000‌

45‌

2,470‌

Non-U.S.

Government

Mortgage-Backed

Securities

2.6%

BAMLL

Commercial

Mortgage

Securities

Trust,

Series

2021-

JACX,

Class

D,

ARM,

1M

USD

LIBOR

+

2.75%,

4.749%,

9/15/38 (2)

515,000‌

483‌

BAMLL

Commercial

Mortgage

Securities

Trust,

Series

2021-

JACX,

Class

E,

ARM,

1M

USD

LIBOR

+

3.75%,

5.749%,

9/15/38 (2)

100,000‌

92‌

BBCMS

Mortgage

Trust,

Series

2019-BWAY,

Class

E,

ARM,

1M

USD

LIBOR

+

2.85%,

4.849%,

11/15/34 (2)

130,000‌

120‌

BFLD,

Series

2019-DPLO,

Class

F,

ARM,

1M

USD

LIBOR

+

2.54%,

4.539%,

10/15/34 (2)

85,000‌

79‌

BIG

Commercial

Mortgage

Trust,

Series

2022-BIG,

Class

C,

ARM,

1M

TSFR

+

2.34%,

4.299%,

2/15/39 (2)

315,000‌

301‌

BPR

Trust,

Series

2021-NRD,

Class

E,

ARM,

1M

TSFR

+

5.621%,

7.722%,

12/15/23 (2)

175,000‌

166‌

BX

Commercial

Mortgage

Trust,

Series

2019-IMC,

Class

E,

ARM,

1M

USD

LIBOR

+

2.15%,

4.149%,

4/15/34 (2)

160,000‌

149‌

BX

Trust,

Series

2021-VIEW,

Class

F,

ARM,

1M

USD

LIBOR

+

3.93%,

5.929%,

6/15/36 (2)

160,000‌

150‌

CAFL,

Series

2021-RTL1,

Class

A2,

CMO,

STEP,

3.104%,

3/28/29 (2)

830,000‌

752‌

Cantor

Commercial

Real

Estate

Lending,

Series

2019-CF1,

Class

65C,

ARM,

4.123%,

5/15/52 (2)

125,000‌

113‌

Cantor

Commercial

Real

Estate

Lending,

Series

2019-CF1,

Class

65D,

ARM,

4.66%,

5/15/52 (2)

80,000‌

71‌

Commercial

Mortgage

Trust,

Series

2014-CR19,

Class

E,

ARM,

4.197%,

8/10/47 (2)

175,000‌

151‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

33

Shares/Par

$

Value

(Cost

and

value

in

$000s)

Connecticut

Avenue

Securities

Trust,

Series

2022-R01,

Class

1B1,

CMO,

ARM,

SOFR30A

+

3.15%,

4.664%,

12/25/41 (2)

480,000‌

436‌

Connecticut

Avenue

Securities

Trust,

Series

2022-R01,

Class

1M1,

CMO,

ARM,

SOFR30A

+

1.00%,

2.514%,

12/25/41 (2)

171,254‌

168‌

Connecticut

Avenue

Securities

Trust,

Series

2022-R02,

Class

2B1,

CMO,

ARM,

SOFR30A

+

4.50%,

6.014%,

1/25/42 (2)

540,000‌

502‌

Connecticut

Avenue

Securities

Trust,

Series

2022-R03,

Class

1M1,

CMO,

ARM,

SOFR30A

+

2.10%,

3.614%,

3/25/42 (2)

340,812‌

338‌

Connecticut

Avenue

Securities

Trust,

Series

2022-R04,

Class

1M1,

CMO,

ARM,

SOFR30A

+

2.00%,

3.514%,

3/25/42 (2)

304,446‌

301‌

Connecticut

Avenue

Securities

Trust,

Series

2022-R04,

Class

1M2,

CMO,

ARM,

SOFR30A

+

3.10%,

4.614%,

3/25/42 (2)

60,000‌

58‌

Connecticut

Avenue

Securities

Trust,

Series

2022-R05,

Class

2M1,

CMO,

ARM,

SOFR30A

+

1.90%,

3.414%,

4/25/42 (2)

330,415‌

328‌

Connecticut

Avenue

Securities

Trust,

Series

2022-R06,

Class

1M1,

CMO,

ARM,

SOFR30A

+

2.75%,

4.264%,

5/25/42 (2)

71,613‌

72‌

Credit

Suisse

Mortgage

Trust,

Series

2020-TMIC,

Class

C,

ARM,

1M

USD

LIBOR

+

6.75%,

8.749%,

12/15/35 (2)

100,000‌

99‌

Ellington

Financial

Mortgage

Trust,

Series

2021-2,

Class

B1,

CMO,

ARM,

3.202%,

6/25/66 (2)

265,000‌

195‌

Finance

of

America

HECM

Buyout,

Series

2022-HB1,

Class

M3,

ARM,

5.084%,

2/25/32 (2)

460,000‌

444‌

GCAT

Trust,

Series

2022-NQM3,

Class

A1,

CMO,

ARM,

4.348%,

4/25/67 (2)

122,312‌

120‌

Great

Wolf

Trust,

Series

2019-WOLF,

Class

F,

ARM,

1M

USD

LIBOR

+

3.131%,

5.13%,

12/15/36 (2)

180,000‌

167‌

SLIDE,

Series

2018-FUN,

Class

E,

ARM,

1M

USD

LIBOR

+

2.55%,

4.549%,

6/15/31 (2)

989,245‌

947‌

Structured

Agency

Credit

Risk

Debt

Notes,

Series

2022-DNA2,

Class

M1A,

CMO,

ARM,

SOFR30A

+

1.30%,

2.814%,

2/25/42 (2)

132,148‌

130‌

Structured

Agency

Credit

Risk

Debt

Notes,

Series

2022-DNA2,

Class

M2,

CMO,

ARM,

SOFR30A

+

3.75%,

5.264%,

2/25/42 (2)

665,000‌

625‌

Structured

Agency

Credit

Risk

Debt

Notes,

Series

2022-DNA3,

Class

M1B,

CMO,

ARM,

SOFR30A

+

2.90%,

4.414%,

4/25/42 (2)

195,000‌

189‌

Structured

Agency

Credit

Risk

Debt

Notes,

Series

2022-DNA4,

Class

M1A,

CMO,

ARM,

SOFR30A

+

2.20%,

3.714%,

5/25/42 (2)

387,090‌

386‌

Structured

Agency

Credit

Risk

Debt

Notes,

Series

2022-HQA1,

Class

M1A,

CMO,

ARM,

SOFR30A

+

2.10%,

3.614%,

3/25/42 (2)

605,822‌

603‌

TRK

Trust,

Series

2022-INV1,

Class

A1,

CMO,

ARM,

2.577%,

2/25/57 (2)

185,907‌

175‌

Verus

Securitization

Trust,

Series

2022-1,

Class

A1,

CMO,

STEP,

2.724%,

1/25/67 (2)

206,516‌

191‌

Verus

Securitization

Trust,

Series

2022-4,

Class

A2,

CMO,

ARM,

4.74%,

4/25/67 (2)

334,450‌

325‌

9,426‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

34

Shares/Par

$

Value

(Cost

and

value

in

$000s)

U.S.

Government

Agency

Obligations

(Excluding

Mortgage-Backed)

4.2%

U.S.

Treasury

Bonds,

7.25%,

8/15/22 

2,750,000‌

2,751‌

U.S.

Treasury

Inflation-Indexed

Notes,

0.125%,

1/15/23 

1,608,239‌

1,622‌

U.S.

Treasury

Inflation-Indexed

Notes,

0.625%,

4/15/23 

1,353,274‌

1,366‌

U.S.

Treasury

Notes,

0.125%,

6/30/23 

4,600,000‌

4,481‌

U.S.

Treasury

Notes,

1.625%,

11/15/22 

4,740,000‌

4,726‌

14,946‌

Total

United

States

(Cost

$150,229

)

146,709‌

UZBEKISTAN

0.1%

Government

Bonds

0.1%

Republic

of

Uzbekistan,

3.70%,

11/25/30

(USD) 

300,000‌

223‌

Total

Uzbekistan

(Cost

$260

)

223‌

VIETNAM

0.1%

Corporate

Bonds

0.1%

Mong

Duong

Finance

Holdings,

5.125%,

5/7/29

(USD) 

380,000‌

313‌

Total

Vietnam

(Cost

$348

)

313‌

SHORT-TERM

INVESTMENTS

28.9%

Money

Market

Funds

28.9%

T.

Rowe

Price

Government

Reserve

Fund,

2.03% (13)(14)

103,934,916‌

103,935‌

Total

Short-Term

Investments

(Cost

$103,935)

103,935‌

SECURITIES

LENDING

COLLATERAL

0.8%

INVESTMENTS

IN

A

POOLED

ACCOUNT

THROUGH

SECURITIES

LENDING

PROGRAM

WITH

JPMORGAN

CHASE

BANK

0.2%

Money

Market

Funds

0.2%

T.

Rowe

Price

Government

Reserve

Fund,

2.03% (13)(14)

766,657‌

767‌

Total

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

JPMorgan

Chase

Bank

767‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

35

Shares/Par

$

Value

(Cost

and

value

in

$000s)

INVESTMENTS

IN

A

POOLED

ACCOUNT

THROUGH

SECURITIES

LENDING

PROGRAM

WITH

STATE

STREET

BANK

AND

TRUST

COMPANY

0.6%

Money

Market

Funds

0.6%

T.

Rowe

Price

Government

Reserve

Fund,

2.03% (13)(14)

2,118,613‌

2,118‌

Total

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

State

Street

Bank

and

Trust

Company

2,118‌

Total

Securities

Lending

Collateral

(Cost

$2,885)

2,885‌

(Amounts

in

000s,

except

for

contracts)

OPTIONS

PURCHASED

0.2%

Exchange-Traded

Options

Purchased

0

.0

%

Description

Contracts

Notional

Amount

$

Value

Invesco

Senior

Loan

ETF,

Put,

10/21/22

@

$18.00 (1)

2,920‌

6,123‌

29‌

Plantronics,

Put,

12/16/22

@

$35.00 (1)

133‌

529‌

5‌

Tenneco,

Put,

1/20/23

@

$12.00 (1)

200‌

377‌

3‌

Xtrackers

Harvest

CSI

300

China

A-Shares

ETF,

Call,

10/21/22

@

$37.00 (1)

419‌

1,312‌

6‌

Total

Exchange-Traded

Options

Purchased

(Cost

$126)

43‌

OTC

Options

Purchased

0

.2

%

Counterparty

Description

Contracts

Notional

Amount

$

Value

Bank

of

America

30

Year

Interest

Rate

Swap,

7/10/53

Pay

Fixed

2.66%

Annually,

Receive

Variable

2.27%

(SOFR)

Annually,

7/6/23

@

2.66%* (1)

1‌

3,250‌

156‌

BNP

Paribas

EUR

Call

/

USD

Put,

10/3/22

@

1.15 (1)

1‌

1,060‌

—‌

Citibank

2

Year

Interest

Rate

Swap,

10/14/24

Pay

Fixed

3.20%

Annually,

Receive

Variable

2.27%

(SOFR)

Annually,

10/12/22

@

3.20%* (1)

1‌

4,976‌

13‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

36

(Amounts

in

000s,

except

for

contracts)

Counterparty

Description

Contracts

Notional

Amount

$

Value

Goldman

Sachs

10

Year

Interest

Rate

Swap,

6/19/33

Pay

Fixed

0.62%

Annually,

Receive

Variable

(0.01)%

(JPY

TONA)

Annually,

6/15/23

@

0.62%*

(JPY) (1)

1‌

10,100‌

1‌

Goldman

Sachs

10

Year

Interest

Rate

Swap,

6/21/33

Pay

Fixed

0.69%

Annually,

Receive

Variable

(0.01)%

(JPY

TONA)

Annually,

6/19/23

@

0.69%*

(JPY) (1)

1‌

522,000‌

28‌

Goldman

Sachs

10

Year

Interest

Rate

Swap,

7/10/33

Pay

Fixed

3.00%

Annually,

Receive

Variable

2.27%

(SOFR)

Annually,

7/6/23

@

3.00%* (1)

1‌

2,525‌

40‌

Goldman

Sachs

5

Year

Interest

Rate

Swap,

6/1/28

Pay

Fixed

3.00%

Annually,

Receive

Variable

2.27%

(SOFR)

Annually,

5/30/23

@

3.00%* (1)

1‌

2,465‌

22‌

Goldman

Sachs

5

Year

Interest

Rate

Swap,

6/2/28

Pay

Fixed

3.00%

Annually,

Receive

Variable

2.27%

(SOFR)

Annually,

5/31/23

@

3.00%* (1)

1‌

2,482‌

22‌

Goldman

Sachs

S&P

500

Index,

Put,

9/16/22

@

$3,600.00 (1)

59‌

24,369‌

92‌

HSBC

Bank

USD

Call

/

INR

Put,

10/31/22

@

80.25 (1)

1‌

2,055‌

21‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

37

(Amounts

in

000s,

except

for

contracts)

Counterparty

Description

Contracts

Notional

Amount

$

Value

Morgan

Stanley

10

Year

Interest

Rate

Swap,

7/10/33

Pay

Fixed

3.00%

Annually,

Receive

Variable

2.27%

(SOFR)

Annually,

7/6/23

@

3.00%* (1)

1‌

2,525‌

40‌

Morgan

Stanley

2

Year

Interest

Rate

Swap,

10/14/24

Pay

Fixed

3.20%

Annually,

Receive

Variable

2.27%

(SOFR)

Annually,

10/12/22

@

3.20%* (1)

1‌

5,044‌

13‌

Morgan

Stanley

30

Year

Interest

Rate

Swap,

7/4/52

Pay

Fixed

2.62%

Annually,

Receive

Variable

2.27%

(SOFR)

Annually,

6/30/23

@

2.62%* (1)

1‌

880‌

45‌

Morgan

Stanley

5

Year

Interest

Rate

Swap,

7/14/28

Pay

Fixed

3.00%

Annually,

Receive

Variable

2.27%

(SOFR)

Annually,

7/12/23

@

3.00%* (1)

1‌

5,020‌

49‌

Morgan

Stanley

5

Year

Interest

Rate

Swap,

7/7/28

Pay

Fixed

3.00%

Annually,

Receive

Variable

2.27%

(SOFR)

Annually,

7/5/23

@

3.00%* (1)

1‌

5,050‌

49‌

Morgan

Stanley

EUR

Call

/

USD

Put,

10/3/22

@

1.15 (1)

1‌

1,060‌

—‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

38

(Amounts

in

000s,

except

for

contracts)

Counterparty

Description

Contracts

Notional

Amount

$

Value

Morgan

Stanley

USD

Call

/

TRY

Put,

8/16/22

@

21.00 (1)

1‌

2,330‌

6‌

Total

OTC

Options

Purchased

(Cost

$1,420)

597‌

Total

Options

Purchased

(Cost

$1,546)

640‌

Total

Investments

in

Securities

94.4%

(Cost

$352,433)

$

339,508‌

Other

Assets

Less

Liabilities

5.6%

20,310

Net

Assets

100.0%

$

359,818‌

‡

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.

†

Investment

fund

is

not

unitized.

*

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

$48,435

and

represents

13.5%

of

net

assets.

(3)

All

or

a

portion

of

this

security

is

on

loan

at

July

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

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.

(7)

Security

is

in

default

or

has

failed

to

make

a

scheduled

interest

and/or

principal

payment.

(8)

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

may

have

registration

rights

for

certain

restricted

securities.

Any

costs

related

to

such

registration

are

generally

borne

by

the

issuer.

The

aggregate

value

of

restricted

securities

(excluding

144A

holdings)

at

period

end

amounts

to

$645

and

represents

0.2%

of

net

assets.

(9)

Perpetual

security

with

no

stated

maturity

date.

(10)

All

or

a

portion

of

this

loan

is

unsettled

as

of

July

31,

2022.

The

interest

rate

for

unsettled

loans

will

be

determined

upon

settlement

after

period

end.

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

39

.

.

.

.

.

.

.

.

.

.

(11)

Contingent

value

instrument

that

only

pays

out

if

a

portion

of

the

territory's

Sales

and

Use

Tax

outperforms

the

projections

in

the

Oversight

Board’s

Certified

Fiscal

Plan.

(12)

Issuer

is

currently

in

a

bankruptcy

reorganization

proceeding;

the

amount

and

timing

of

future

distributions

is

uncertain.

(13)

Seven-day

yield

(14)

Affiliated

Companies

1

Day

INR

MIBOR

One

day

INR

MIBOR

(Mumbai

interbank

offered

rate)

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

TSFR

One

month

term

SOFR

(Secured

overnight

financing

rate)

1M

USD

LIBOR

One

month

USD

LIBOR

(London

interbank

offered

rate)

1M

ZAR

JIBOR

One

month

ZAR

JIBOR

(Johannesburg

Interbank

average

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

USD

LIBOR

Three

month

USD

LIBOR

(London

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

CNH

Offshore

China

Renminbi

COP

Colombian

Peso

CPI

Consumer

Price

Index

CVA

Dutch

Certificate

(Certificaten

Van

Aandelen)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

40

.

.

.

.

.

.

.

.

.

.

CZK

Czech

Koruna

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

INR

MIBOR

Mumbai

interbank

offered

rate

JPY

Japanese

Yen

KRW

South

Korean

Won

MXIBTIIE

Mexican

Interbank

28

day

interest

rate

MXN

Mexican

Peso

MYR

Malaysian

Ringgit

NZD

New

Zealand

Dollar

OTC

Over-the-counter

PHP

Philippines

Peso

PLN

Polish

Zloty

PTT

Pass-Through

Trust

REIT

A

domestic

Real

Estate

Investment

Trust

whose

distributions

pass-through

with

original

tax

character

to

the

shareholder

RON

New

Romanian

Leu

RSD

Serbian

Dinar

SDR

Swedish

Depository

Receipts

SEK

Swedish

Krona

SGD

Singapore

Dollar

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

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.

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

41

.

.

.

.

.

.

.

.

.

.

ZAR

South

African

Rand

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

42

(Amounts

in

000s,

except

for

contracts)

OPTIONS

WRITTEN

(0.3)%

Exchange-Traded

Options

Written

(0.3)%

Description

Contracts

Notional

Amount

$

Value

iShares

iBoxx

High

Yield

Corporate

Bond

ETF,

Put,

9/16/22

@

$77.00

1,392

10,884

(

168‌

)

S&P

500

Index,

Call,

9/16/22

@

$4,100.00

67

27,673

(

914‌

)

Total

Options

Written

(Premiums

$(975))

$

(

1,082‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

43

(Amounts

in

000s)

SWAPS

0.3%

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

(6)

(7)

1‌

Total

France

(7)

1‌

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

(22)

(27)

5‌

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

(145)

(203)

58‌

Goldman

Sachs,

Protection

Bought

(Relevant

Credit:

Markit

CDX.NA.HY-S37,

5

Year

Index),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/20/26

*

260

(23)

(22)

(

1‌

)

Goldman

Sachs,

Protection

Bought

(Relevant

Credit:

Markit

CDX.NA.HY-S37,

5

Year

Index),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/20/26

*

780

(68)

(72)

4‌

Goldman

Sachs,

Protection

Bought

(Relevant

Credit:

Markit

CMBX.

NA.BBB-S14,

40

Year

Index),

Pay

3.00%

Monthly,

Receive

upon

credit

default,

12/16/72

*

1,000

173

47

126‌

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

(26)

(33)

7‌

JPMorgan

Chase,

Protection

Bought

(Relevant

Credit:

Murphy

Oil),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

6/21/27

*

21

3

3

—‌

Morgan

Stanley,

Protection

Bought

(Relevant

Credit:

Markit

CDX.NA.HY-S37,

5

Year

Index),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/20/26

*

520

(45)

(44)

(

1‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

44

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Protection

Bought

(Relevant

Credit:

Markit

CMBX.

NA.BBB-S14,

40

Year

Index),

Pay

3.00%

Monthly,

Receive

upon

credit

default,

12/16/72

*

2,500

433

86

347‌

Total

United

States

(265)

545‌

Total

Bilateral

Credit

Default

Swaps,

Protection

Bought

(272)

546‌

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

34

56

(

22‌

)

Total

Luxembourg

56

(

22‌

)

Netherlands

0.0%

JPMorgan

Chase,

Protection

Sold

(Relevant

Credit:

EDP

Finance,

Baa3*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

12/20/22

*

470

2

1

1‌

Total

Netherlands

1

1‌

United

States

0.0%

Credit

Suisse,

Protection

Sold

(Relevant

Credit:

Calpine,

B2*),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

6/20/23

*

220

6

5

1‌

Credit

Suisse,

Protection

Sold

(Relevant

Credit:

Ford

Motor

Credit,

Ba2*),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

6/20/23

*

145

5

3

2‌

Credit

Suisse,

Protection

Sold

(Relevant

Credit:

Murphy

Oil,

Ba2*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

12/20/22

*

190

(2)

(2)

—‌

Goldman

Sachs,

Protection

Sold

(Relevant

Credit:

American

Airlines

Group,

Caa1*),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

6/20/23

*

10

—

—

—‌

Goldman

Sachs,

Protection

Sold

(Relevant

Credit:

AT&T,

Baa2*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

12/20/22

*

155

—

—

—‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

45

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Goldman

Sachs,

Protection

Sold

(Relevant

Credit:

Royal

Caribbean

Cruises,

B2*),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

6/20/23

*

46

(2)

(4)

2‌

Total

United

States

2

5‌

Total

Bilateral

Credit

Default

Swaps,

Protection

Sold

59

(

16‌

)

Total

Return

Swaps

0.3%

Australia

0.1%

Citibank,

Pay

Underlying

Reference:

Sonic

Healthcare

Monthly,

Receive

Variable

1.010%

(1M

ADBB

+

(0.40)%)

Monthly,

1/17/24

984

(20)

—

(

20‌

)

Citibank,

Pay

Underlying

Reference:

Sonic

Healthcare

Monthly,

Receive

Variable

1.310%

(1M

ADBB

+

(0.40)%)

Monthly,

1/17/24

287

1

—

1‌

Citibank,

Pay

Underlying

Reference:

Woodside

Energy

Group

Monthly,

Receive

Variable

1.010%

(1M

ADBB

+

(0.40)%)

Monthly,

1/17/24

438

(12)

—

(

12‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

BHP

Group

Monthly,

Pay

Variable

1.571%

(GBP

SONIA

+

0.38%)

Monthly,

1/17/24

(GBP)

529

55

—

55‌

Morgan

Stanley,

Pay

Underlying

Reference:

Westpac

Banking

Monthly,

Receive

Variable

1.170%

(1M

ADBB

+

(0.40)%)

Monthly,

1/17/24

1,125

(63)

—

(

63‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Australia

&

New

Zealand

Banking

Group

Monthly,

Pay

Variable

2.120%

(1M

ADBB

+

0.55%)

Monthly,

1/17/24

900

36

—

36‌

Morgan

Stanley,

Receive

Underlying

Reference:

Goodman

Group

Monthly,

Pay

Variable

2.120%

(1M

ADBB

+

0.55%)

Monthly,

1/17/24

397

27

—

27‌

Morgan

Stanley,

Receive

Underlying

Reference:

IGO

Monthly,

Pay

Variable

2.120%

(1M

ADBB

+

0.55%)

Monthly,

1/17/24

418

57

—

57‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

46

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

Telstra

Corp

Monthly,

Pay

Variable

2.120%

(1M

ADBB

+

0.55%)

Monthly,

1/17/24

449

(4)

—

(

4‌

)

UBS

Investment

Bank,

Pay

Underlying

Reference:

Insurance

Australia

Group

Monthly,

Receive

Variable

0.960%

(1M

ADBB

+

(0.45)%)

Monthly,

1/17/24

1,014

(17)

—

(

17‌

)

UBS

Investment

Bank,

Receive

Underlying

Reference:

Challenger

Monthly,

Pay

Variable

1.810%

(1M

ADBB

+

0.40%)

Monthly,

1/17/24

617

—

—

—‌

Total

Australia

—

60‌

Austria

0.0%

Citibank,

Pay

Underlying

Reference:

Erste

Group

Bank

Monthly,

Receive

Variable

(0.390)%

(EUR

ESTR

+

(0.30)%)

Monthly,

1/17/24

220

(2)

—

(

2‌

)

Citibank,

Receive

Underlying

Reference:

BAWAG

Group

Monthly,

Pay

Variable

(0.127)%

(1M

EURIBOR

+

0.40%)

Monthly,

1/17/24

248

35

—

35‌

Total

Austria

—

33‌

Belgium

0.0%

Citibank,

Pay

Underlying

Reference:

Anheuser-Busch

InBev

Monthly,

Receive

Variable

(0.390)%

(EUR

ESTR

+

(0.30)%)

Monthly,

1/17/24

1,658

72

—

72‌

Total

Belgium

—

72‌

Bermuda

(0.0)%

Morgan

Stanley,

Pay

Underlying

Reference:

Signet

Jewelers

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

222

(23)

—

(

23‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

RenaissanceRe

Holdings

Monthly,

Pay

Variable

1.989%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

943

(56)

—

(

56‌

)

Total

Bermuda

—

(

79‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

47

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Brazil

(0.0)%

Morgan

Stanley,

Receive

Underlying

Reference:

Magazine

Luiza

Monthly,

Pay

Variable

2.039%

(SOFR

+

0.45%)

Monthly,

1/18/24

242

(6)

—

(

6‌

)

Total

Brazil

—

(

6‌

)

Canada

0.1%

Bank

of

America,

Pay

Underlying

Reference:

First

Quantum

Minerals

Monthly,

Receive

Variable

2.550%

(1M

CAD

CDOR

+

(0.30)%)

Monthly,

1/17/24

313

(35)

—

(

35‌

)

Bank

of

America,

Pay

Underlying

Reference:

Lundin

Mining

Monthly,

Receive

Variable

2.550%

(1M

CAD

CDOR

+

(0.30)%)

Monthly,

1/17/24

1,553

8

—

8‌

Bank

of

America,

Pay

Underlying

Reference:

Shopify,

Class

A

Monthly,

Receive

Variable

2.550%

(1M

CAD

CDOR

+

(0.30)%)

Monthly,

1/17/24

386

(29)

—

(

29‌

)

Bank

of

America,

Receive

Underlying

Reference:

K92

Mining

Monthly,

Pay

Variable

3.150%

(1M

CAD

CDOR

+

0.30%)

Monthly,

1/17/24

205

18

—

18‌

Bank

of

America,

Receive

Underlying

Reference:

Nutrien

Monthly,

Pay

Variable

3.150%

(1M

CAD

CDOR

+

0.30%)

Monthly,

1/17/24

562

65

—

65‌

Bank

of

America,

Receive

Underlying

Reference:

Orla

Mining

Monthly,

Pay

Variable

3.150%

(1M

CAD

CDOR

+

0.30%)

Monthly,

1/17/24

136

25

—

25‌

Bank

of

America,

Receive

Underlying

Reference:

Orla

Mining

Monthly,

Pay

Variable

3.390%

(1M

CAD

CDOR

+

0.50%)

Monthly,

1/17/24

49

—

—

—‌

Citibank,

Receive

Underlying

Reference:

Waste

Connections

Monthly,

Pay

Variable

1.989%

(1M

CAD

CDOR

+

0.42%)

Monthly,

1/18/24

651

40

—

40‌

Goldman

Sachs,

Pay

Underlying

Reference:

Bank

of

Montreal

Monthly,

Receive

Variable

2.550%

(1M

CAD

CDOR

+

(0.30)%)

Monthly,

1/17/24

268

(16)

—

(

16‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

48

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Goldman

Sachs,

Pay

Underlying

Reference:

Toronto-Dominion

Bank

Monthly,

Receive

Variable

2.550%

(1M

CAD

CDOR

+

(0.30)%)

Monthly,

1/17/24

773

(32)

—

(

32‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

Magna

International

Monthly,

Pay

Variable

3.150%

(1M

CAD

CDOR

+

0.30%)

Monthly,

1/17/24

371

35

—

35‌

Goldman

Sachs,

Receive

Underlying

Reference:

Magna

International

Monthly,

Pay

Variable

3.180%

(1M

CAD

CDOR

+

0.30%)

Monthly,

1/17/24

1,469

42

—

42‌

Goldman

Sachs,

Receive

Underlying

Reference:

Parkland

Monthly,

Pay

Variable

3.150%

(1M

CAD

CDOR

+

0.30%)

Monthly,

1/17/24

419

31

—

31‌

JPMorgan

Chase,

Receive

Underlying

Reference:

BRP

Monthly,

Pay

Variable

3.250%

(1M

CAD

CDOR

+

0.40%)

Monthly,

1/17/24

556

61

—

61‌

Morgan

Stanley,

Pay

Underlying

Reference:

Agnico

Eagle

Mines

Monthly,

Receive

Variable

2.450%

(1M

CAD

CDOR

+

(0.40)%)

Monthly,

1/17/24

288

2

—

2‌

Morgan

Stanley,

Pay

Underlying

Reference:

Bank

of

Montreal

Monthly,

Receive

Variable

2.450%

(1M

CAD

CDOR

+

(0.40)%)

Monthly,

1/17/24

119

(7)

—

(

7‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Canadian

Imperial

Bank

of

Commerce

Monthly,

Receive

Variable

2.450%

(1M

CAD

CDOR

+

(0.40)%)

Monthly,

1/17/24

331

(22)

—

(

22‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Canadian

Natural

Resources

Monthly,

Receive

Variable

2.450%

(1M

CAD

CDOR

+

(0.40)%)

Monthly,

1/17/24

1,014

(117)

—

(

117‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Enbridge

Monthly,

Receive

Variable

2.450%

(1M

CAD

CDOR

+

(0.40)%)

Monthly,

1/17/24

718

(34)

—

(

34‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Thomson

Reuters

Monthly,

Receive

Variable

2.450%

(1M

CAD

CDOR

+

(0.40)%)

Monthly,

1/17/24

1,166

(33)

—

(

33‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

49

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

Canadian

Apartment

Properties

REIT

Monthly,

Pay

Variable

3.500%

(1M

CAD

CDOR

+

0.65%)

Monthly,

1/17/24

669

67

—

67‌

Morgan

Stanley,

Receive

Underlying

Reference:

Canadian

Pacific

Railway

Monthly,

Pay

Variable

3.500%

(1M

CAD

CDOR

+

0.65%)

Monthly,

1/17/24

403

28

—

28‌

Morgan

Stanley,

Receive

Underlying

Reference:

Constellation

Software

Monthly,

Pay

Variable

3.500%

(1M

CAD

CDOR

+

0.65%)

Monthly,

1/17/24

725

76

—

76‌

Morgan

Stanley,

Receive

Underlying

Reference:

Franco-Nevada

Monthly,

Pay

Variable

1.989%

(1M

CAD

CDOR

+

0.40%)

Monthly,

1/18/24

323

2

—

2‌

Morgan

Stanley,

Receive

Underlying

Reference:

Franco-Nevada

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

35

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

National

Bank

of

Canada

Monthly,

Pay

Variable

3.420%

(1M

CAD

CDOR

+

0.57%)

Monthly,

1/17/24

1,931

122

—

122‌

Morgan

Stanley,

Receive

Underlying

Reference:

Royal

Bank

of

Canada

Monthly,

Pay

Variable

3.400%

(1M

CAD

CDOR

+

0.55%)

Monthly,

1/17/24

696

34

—

34‌

Total

Canada

—

331‌

Cayman

Islands

(0.0)%

Goldman

Sachs,

Receive

Underlying

Reference:

H

World

Group

Monthly,

Pay

Variable

1.999%

(SOFR

+

0.41%)

Monthly,

1/18/24

355

(1)

—

(

1‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

Kanzhun

Monthly,

Pay

Variable

1.999%

(SOFR

+

0.41%)

Monthly,

1/18/24

258

(4)

—

(

4‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

KE

Holdings

Monthly,

Pay

Variable

1.999%

(SOFR

+

0.41%)

Monthly,

1/18/24

451

4

—

4‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

50

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

H

World

Group

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

121

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Meituan,

Class

B

Monthly,

Pay

Variable

1.411%

(1M

HKD

HIBOR

+

0.55%)

Monthly,

1/17/24

(HKD)

2,867

(6)

—

(

6‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

NU

Holdings,

Class

A

Monthly,

Pay

Variable

1.850%

(SOFR

+

0.40%)

Monthly,

1/18/24

119

8

—

8‌

Morgan

Stanley,

Receive

Underlying

Reference:

NU

Holdings,

Class

A

Monthly,

Pay

Variable

1.920%

(SOFR

+

0.40%)

Monthly,

1/18/24

38

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Social

Capital

Hedosophia

Holdings

Monthly,

Pay

Variable

1.989%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

1

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Social

Capital

Hedosophia

Holdings,

Class

A

Monthly,

Pay

Variable

1.989%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

110

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Sports

Ventures

Acquisition

Monthly,

Pay

Variable

1.989%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

—

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Sports

Ventures

Acquisition,

Class

A

Monthly,

Pay

Variable

1.989%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

146

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Sunny

Optical

Technology

Group

Monthly,

Pay

Variable

1.411%

(1M

HKD

HIBOR

+

0.55%)

Monthly,

1/17/24

(HKD)

3,617

(10)

—

(

10‌

)

UBS

Investment

Bank,

Receive

Underlying

Reference:

GDS

Holdings,

Class

A

Monthly,

Pay

Variable

1.079%

(1M

HKD

HIBOR

+

0.35%)

Monthly,

1/17/24

(HKD)

3,052

(66)

—

(

66‌

)

Total

Cayman

Islands

—

(

75‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

51

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

China

0.0%

Morgan

Stanley,

Receive

Underlying

Reference:

Great

Wall

Motor,

Class

H

Monthly,

Pay

Variable

1.411%

(1M

HKD

HIBOR

+

0.55%)

Monthly,

1/17/24

(HKD)

3,365

(15)

—

(

15‌

)

UBS

Investment

Bank,

Receive

Underlying

Reference:

Sungrow

Power

Supply,

Class

A

Monthly,

Pay

Variable

1.895%

(1M

CHF

LIBOR

+

0%)

Monthly,

1/17/24

552

16

—

16‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Sungrow

Power

Supply,

Class

A

Monthly,

Pay

Variable

1.895%

(1M

CNH

HIBOR

+

0%)

Monthly,

1/17/24

2,313

65

—

65‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Tsingtao

Brewery,

Class

H

Monthly,

Pay

Variable

1.079%

(1M

HKD

HIBOR

+

0.35%)

Monthly,

1/17/24

(HKD)

3,494

10

—

10‌

Total

China

—

76‌

Cyprus

0.0%

UBS

Investment

Bank,

Receive

Underlying

Reference:

TCS

Group

Holding

Monthly,

Pay

Variable

1.919%

(SOFR

+

0.35%)

Monthly,

1/18/24

—

—

—

—‌

Total

Cyprus

—

—‌

Denmark

(0.0)%

Bank

of

America,

Pay

Underlying

Reference:

Demant

Monthly,

Receive

Variable

(0.483)%

(1M

DKK

CIBOR

+

(0.35)%)

Monthly,

1/17/24

8,561

(32)

—

(

32‌

)

Citibank,

Pay

Underlying

Reference:

AP

Moller

-

Maersk,

Class

B

Monthly,

Receive

Variable

(0.567)%

(1M

DKK

CIBOR

+

(0.35)%)

Monthly,

1/17/24

1,275

(21)

—

(

21‌

)

Goldman

Sachs,

Pay

Underlying

Reference:

AP

Moller

-

Maersk,

Class

B

Monthly,

Receive

Variable

(0.483)%

(1M

DKK

CIBOR

+

(0.35)%)

Monthly,

1/17/24

737

(13)

—

(

13‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

Novo

Nordisk,

Class

B

Monthly,

Pay

Variable

0.217%

(1M

DKK

CIBOR

+

0.35%)

Monthly,

1/17/24

8,356

23

—

23‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

52

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

JPMorgan

Chase,

Receive

Underlying

Reference:

Carlsberg,

Class

B

Monthly,

Pay

Variable

0.267%

(1M

DKK

CIBOR

+

0.40%)

Monthly,

1/17/24

9,282

(14)

—

(

14‌

)

UBS

Investment

Bank,

Pay

Underlying

Reference:

DSV

Monthly,

Receive

Variable

(0.617)%

(1M

DKK

CIBOR

+

(0.40)%)

Monthly,

1/17/24

2,082

(47)

—

(

47‌

)

Total

Denmark

—

(

104‌

)

Finland

0.0%

Citibank,

Pay

Underlying

Reference:

Kesko,

Class

B

Monthly,

Receive

Variable

(0.390)%

(EUR

ESTR

+

(0.30)%)

Monthly,

1/17/24

290

(10)

—

(

10‌

)

Citibank,

Receive

Underlying

Reference:

Valmet

Monthly,

Pay

Variable

(0.127)%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

549

60

—

60‌

Goldman

Sachs,

Receive

Underlying

Reference:

Kojamo

Monthly,

Pay

Variable

0.149%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

282

14

—

14‌

Goldman

Sachs,

Receive

Underlying

Reference:

Sampo,

Class

A

Monthly,

Pay

Variable

(0.092)%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

509

28

—

28‌

Total

Finland

—

92‌

France

(0.1)%

Bank

of

America,

Pay

Underlying

Reference:

Credit

Agricole

Monthly,

Receive

Variable

(0.440)%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

202

(19)

—

(

19‌

)

Bank

of

America,

Pay

Underlying

Reference:

L'Oreal

Monthly,

Receive

Variable

(0.440)%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

1,055

(88)

—

(

88‌

)

Bank

of

America,

Receive

Underlying

Reference:

Legrand

Monthly,

Pay

Variable

(0.142)%

(1M

EURIBOR

+

0.35%)

Monthly,

1/17/24

319

30

—

30‌

Bank

of

America,

Receive

Underlying

Reference:

Thales

Monthly,

Pay

Variable

(0.142)%

(1M

EURIBOR

+

0.35%)

Monthly,

1/17/24

374

(4)

—

(

4‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

53

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Citibank,

Pay

Underlying

Reference:

Air

Liquide

Monthly,

Receive

Variable

(0.435)%

(EUR

ESTR

+

(0.345)%)

Monthly,

1/17/24

259

(12)

—

(

12‌

)

Citibank,

Receive

Underlying

Reference:

AXA

Monthly,

Pay

Variable

(0.127)%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

1,104

44

—

44‌

Citibank,

Receive

Underlying

Reference:

TotalEnergies

Monthly,

Pay

Variable

(0.127)%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

932

10

—

10‌

Morgan

Stanley,

Pay

Underlying

Reference:

BNP

Paribas

Monthly,

Receive

Variable

(0.440)%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

245

(27)

—

(

27‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Remy

Cointreau

Monthly,

Receive

Variable

(0.440)%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

565

(60)

—

(

60‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Unibail-Rodamco-Westfield

Monthly,

Receive

Variable

(0.440)%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

276

(38)

—

(

38‌

)

UBS

Investment

Bank,

Receive

Underlying

Reference:

Sanofi

Monthly,

Pay

Variable

(0.177)%

(EUR

ESTR

+

0.35%)

Monthly,

1/17/24

392

(8)

—

(

8‌

)

Total

France

—

(

172‌

)

Germany

0.0%

Bank

of

America,

Pay

Underlying

Reference:

Infineon

Technologies

Monthly,

Receive

Variable

(0.440)%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

676

(99)

—

(

99‌

)

Bank

of

America,

Pay

Underlying

Reference:

SAP

Monthly,

Receive

Variable

(0.440)%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

484

(20)

—

(

20‌

)

Citibank,

Pay

Underlying

Reference:

E.ON

Monthly,

Receive

Variable

(0.440)%

(1M

EURIBOR

+

(0.35)%)

Monthly,

1/17/24

212

(16)

—

(

16‌

)

Citibank,

Pay

Underlying

Reference:

HelloFresh

Monthly,

Receive

Variable

(0.390)%

(EUR

ESTR

+

(0.30)%)

Monthly,

1/17/24

237

51

—

51‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

54

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Citibank,

Pay

Underlying

Reference:

Puma

Monthly,

Receive

Variable

(0.390)%

(EUR

ESTR

+

(0.30)%)

Monthly,

1/17/24

782

38

—

38‌

Citibank,

Pay

Underlying

Reference:

Rheinmetall

Monthly,

Receive

Variable

(0.390)%

(EUR

ESTR

+

(0.30)%)

Monthly,

1/17/24

789

66

—

66‌

Citibank,

Receive

Underlying

Reference:

KION

Group

Monthly,

Pay

Variable

(0.127)%

(1M

EURIBOR

+

0.40%)

Monthly,

1/17/24

130

4

—

4‌

Citibank,

Receive

Underlying

Reference:

KION

Group

Monthly,

Pay

Variable

(0.127)%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

116

4

—

4‌

Goldman

Sachs,

Receive

Underlying

Reference:

Bayer

Monthly,

Pay

Variable

(0.092)%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

309

8

—

8‌

Goldman

Sachs,

Receive

Underlying

Reference:

Deutsche

Telekom

Monthly,

Pay

Variable

(0.092)%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

1,369

(42)

—

(

42‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

Sartorius

Monthly,

Pay

Variable

(0.092)%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

116

17

—

17‌

Goldman

Sachs,

Receive

Underlying

Reference:

Sartorius

Monthly,

Pay

Variable

0.149%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

36

3

—

3‌

Morgan

Stanley,

Pay

Underlying

Reference:

Hannover

Rueck

Monthly,

Receive

Variable

(0.440)%

(1M

EURIBOR

+

(0.35)%)

Monthly,

1/17/24

70

(1)

—

(

1‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

HelloFresh

Monthly,

Receive

Variable

(0.440)%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

10

2

—

2‌

Morgan

Stanley,

Pay

Underlying

Reference:

HUGO

BOSS

Monthly,

Receive

Variable

(0.440)%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

328

(15)

—

(

15‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

55

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Pay

Underlying

Reference:

Mercedes-Benz

Group

Monthly,

Receive

Variable

(0.440)%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

253

(21)

—

(

21‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Daimler

Truck

Holding

Monthly,

Pay

Variable

(0.142)%

(EUR

ESTR

+

0.35%)

Monthly,

1/17/24

438

41

—

41‌

Morgan

Stanley,

Receive

Underlying

Reference:

Vonovia

Monthly,

Pay

Variable

(0.142)%

(1M

EURIBOR

+

0.35%)

Monthly,

1/17/24

427

66

—

66‌

UBS

Investment

Bank,

Pay

Underlying

Reference:

Hannover

Rueck

Monthly,

Receive

Variable

(0.490)%

(1M

EURIBOR

+

(0.40)%)

Monthly,

1/17/24

675

3

—

3‌

Total

Germany

—

89‌

Hong

Kong

(0.0)%

Morgan

Stanley,

Receive

Underlying

Reference:

AIA

Group

Monthly,

Pay

Variable

1.411%

(1M

HKD

HIBOR

+

0.55%)

Monthly,

1/17/24

3,245

(15)

—

(

15‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Galaxy

Entertainment

Group

Monthly,

Pay

Variable

1.411%

(1M

HKD

HIBOR

+

0.55%)

Monthly,

1/17/24

3,616

15

—

15‌

Total

Hong

Kong

—

—‌

Ireland

0.1%

Bank

of

America,

Receive

Underlying

Reference:

Trane

Technologies

Monthly,

Pay

Variable

1.889%

(SOFR

+

0.30%)

Monthly,

1/18/24

289

39

—

39‌

Citibank,

Pay

Underlying

Reference:

Anheuser-Busch

InBev,

Class

A

Monthly,

Receive

Variable

1.220%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

338

(21)

—

(

21‌

)

JPMorgan

Chase,

Receive

Underlying

Reference:

CRH

Monthly,

Pay

Variable

1.941%

(GBP

SONIA

+

0.75%)

Monthly,

1/17/24

(GBP)

359

34

—

34‌

JPMorgan

Chase,

Receive

Underlying

Reference:

Ryanair

Holdings

Monthly,

Pay

Variable

1.939%

(SOFR

+

0.35%)

Monthly,

1/18/24

485

28

—

28‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

56

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Pay

Underlying

Reference:

Kingspan

Group

Monthly,

Receive

Variable

(0.440)%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

175

(28)

—

(

28‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Seagate

Technology

Holdings

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

456

(14)

—

(

14‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Accenture,

Class

A

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

590

77

—

77‌

Morgan

Stanley,

Receive

Underlying

Reference:

James

Hardie

Industries

Monthly,

Pay

Variable

2.120%

(1M

ADBB

+

0.55%)

Monthly,

1/17/24

(AUD)

760

23

—

23‌

Morgan

Stanley,

Receive

Underlying

Reference:

Linde

Monthly,

Pay

Variable

1.989%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

835

74

—

74‌

Total

Ireland

—

212‌

Israel

(0.0)%

Morgan

Stanley,

Pay

Underlying

Reference:

Monday.com

Monthly,

Receive

Variable

0.540%

(SOFR

+

(0.98)%)

Monthly,

1/18/24

79

(9)

—

(

9‌

)

Total

Israel

—

(

9‌

)

Italy

(0.0)%

Bank

of

America,

Receive

Underlying

Reference:

Banca

Mediolanum

Monthly,

Pay

Variable

(0.142)%

(1M

EURIBOR

+

0.35%)

Monthly,

1/17/24

446

26

—

26‌

Goldman

Sachs,

Pay

Underlying

Reference:

Snam

Monthly,

Receive

Variable

(0.360)%

(1M

EURIBOR

+

(0.27)%)

Monthly,

1/17/24

723

(16)

—

(

16‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

Enel

Monthly,

Pay

Variable

(0.092)%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

816

(15)

—

(

15‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

57

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Pay

Underlying

Reference:

Intesa

Sanpaolo

Monthly,

Receive

Variable

(0.440)%

(1M

EURIBOR

+

(0.35)%)

Monthly,

1/17/24

188

(12)

—

(

12‌

)

Total

Italy

—

(

17‌

)

Japan

0.0%

Citibank,

Pay

Underlying

Reference:

Japan

Tobacco

Monthly,

Receive

Variable

(0.430)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

130,009

(50)

—

(

50‌

)

Citibank,

Pay

Underlying

Reference:

KDDI

Monthly,

Receive

Variable

(0.430)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

40,464

7

—

7‌

Citibank,

Pay

Underlying

Reference:

Shimano

Monthly,

Receive

Variable

(0.430)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

35,175

12

—

12‌

Citibank,

Pay

Underlying

Reference:

ZOZO

Monthly,

Receive

Variable

(0.430)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

35,388

(3)

—

(

3‌

)

Citibank,

Receive

Underlying

Reference:

Fast

Retailing

Monthly,

Pay

Variable

0.367%

(JPY

TONA

+

0.38%)

Monthly,

1/17/24

47,782

63

—

63‌

Citibank,

Receive

Underlying

Reference:

Mitsui

Fudosan

Monthly,

Pay

Variable

0.367%

(1M

JPY

LIBOR

+

0.38%)

Monthly,

1/17/24

33,891

11

—

11‌

Citibank,

Receive

Underlying

Reference:

Sumitomo

Monthly,

Pay

Variable

0.366%

(JPY

TONA

+

0.38%)

Monthly,

1/17/24

38,773

1

—

1‌

Morgan

Stanley,

Pay

Underlying

Reference:

GMO

Payment

Gateway

Monthly,

Receive

Variable

(0.430)%

(1M

JPY

LIBOR

+

(0.42)%)

Monthly,

1/17/24

27,352

(9)

—

(

9‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Honda

Motor

Monthly,

Receive

Variable

(0.430)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

151,448

(5)

—

(

5‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Kyocera

Monthly,

Receive

Variable

(0.430)%

(1M

JPY

LIBOR

+

(0.42)%)

Monthly,

1/17/24

33,375

(9)

—

(

9‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

58

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Pay

Underlying

Reference:

Nidec

Monthly,

Receive

Variable

(0.430)%

(1M

JPY

LIBOR

+

(0.42)%)

Monthly,

1/17/24

52,548

1

—

1‌

Morgan

Stanley,

Pay

Underlying

Reference:

Shimano

Monthly,

Receive

Variable

(0.430)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

43,791

(7)

—

(

7‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Sumitomo

Chemical

Monthly,

Receive

Variable

(0.430)%

(JPY

TONA

+

(0.42)%)

Monthly,

1/17/24

32,931

(10)

—

(

10‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Astellas

Pharma

Monthly,

Pay

Variable

0.516%

(1M

JPY

LIBOR

+

0.53%)

Monthly,

1/17/24

56,905

(14)

—

(

14‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Nippon

Sanso

Holdings

Monthly,

Pay

Variable

0.516%

(JPY

TONA

+

0.53%)

Monthly,

1/17/24

52,250

20

—

20‌

Morgan

Stanley,

Receive

Underlying

Reference:

NSK

Monthly,

Pay

Variable

0.516%

(1M

JPY

LIBOR

+

0.53%)

Monthly,

1/17/24

38,372

7

—

7‌

Morgan

Stanley,

Receive

Underlying

Reference:

Pan

Pacific

International

Holdings

Monthly,

Pay

Variable

0.516%

(JPY

TONA

+

0.53%)

Monthly,

1/17/24

46,250

1

—

1‌

Morgan

Stanley,

Receive

Underlying

Reference:

Stanley

Electric

Monthly,

Pay

Variable

0.516%

(1M

JPY

LIBOR

+

0.53%)

Monthly,

1/17/24

77,785

2

—

2‌

Morgan

Stanley,

Receive

Underlying

Reference:

Sumitomo

Electric

Industries

Monthly,

Pay

Variable

0.516%

(1M

JPY

LIBOR

+

0.53%)

Monthly,

1/17/24

34,075

4

—

4‌

Morgan

Stanley,

Receive

Underlying

Reference:

Suntory

Beverage

&

Food

Monthly,

Pay

Variable

0.516%

(1M

JPY

LIBOR

+

0.53%)

Monthly,

1/17/24

47,656

7

—

7‌

UBS

Investment

Bank,

Pay

Underlying

Reference:

Chugai

Pharmaceutical

Monthly,

Receive

Variable

(0.410)%

(JPY

TONA

+

(0.40)%)

Monthly,

1/17/24

41,324

(10)

—

(

10‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

59

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

UBS

Investment

Bank,

Pay

Underlying

Reference:

FANUC

Monthly,

Receive

Variable

(0.410)%

(JPY

TONA

+

(0.40)%)

Monthly,

1/17/24

67,906

(22)

—

(

22‌

)

UBS

Investment

Bank,

Pay

Underlying

Reference:

Nitori

Holdings

Monthly,

Receive

Variable

(0.410)%

(JPY

TONA

+

(0.40)%)

Monthly,

1/17/24

28,781

(6)

—

(

6‌

)

UBS

Investment

Bank,

Pay

Underlying

Reference:

SMC

Monthly,

Receive

Variable

(0.410)%

(JPY

TONA

+

(0.40)%)

Monthly,

1/17/24

80,912

(31)

—

(

31‌

)

UBS

Investment

Bank,

Pay

Underlying

Reference:

Sony

Group

Monthly,

Receive

Variable

(0.410)%

(JPY

TONA

+

(0.40)%)

Monthly,

1/17/24

67,985

(25)

—

(

25‌

)

UBS

Investment

Bank,

Pay

Underlying

Reference:

Tokyo

Electron

Monthly,

Receive

Variable

(0.410)%

(JPY

TONA

+

(0.40)%)

Monthly,

1/17/24

65,325

(28)

—

(

28‌

)

UBS

Investment

Bank,

Receive

Underlying

Reference:

Daiichi

Sankyo

Monthly,

Pay

Variable

0.337%

(JPY

TONA

+

0.35%)

Monthly,

1/17/24

118,095

20

—

20‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Daikin

Industries

Monthly,

Pay

Variable

0.337%

(JPY

TONA

+

0.35%)

Monthly,

1/17/24

35,264

14

—

14‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Hamamatsu

Photonics

Monthly,

Pay

Variable

0.337%

(JPY

TONA

+

0.35%)

Monthly,

1/17/24

157,360

86

—

86‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Hoshizaki

Monthly,

Pay

Variable

0.337%

(JPY

TONA

+

0.35%)

Monthly,

1/17/24

134,294

(12)

—

(

12‌

)

UBS

Investment

Bank,

Receive

Underlying

Reference:

M3

Monthly,

Pay

Variable

0.337%

(JPY

TONA

+

0.35%)

Monthly,

1/17/24

56,250

49

—

49‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Mitsui

Fudosan

Monthly,

Pay

Variable

0.337%

(JPY

TONA

+

0.35%)

Monthly,

1/17/24

12,246

4

—

4‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

60

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

UBS

Investment

Bank,

Receive

Underlying

Reference:

Nintendo

Monthly,

Pay

Variable

0.337%

(JPY

TONA

+

0.35%)

Monthly,

1/17/24

34,776

8

—

8‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Nippon

Steel

Monthly,

Pay

Variable

0.337%

(JPY

TONA

+

0.35%)

Monthly,

1/17/24

37,828

6

—

6‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Panasonic

Monthly,

Pay

Variable

0.337%

(JPY

TONA

+

0.35%)

Monthly,

1/17/24

48,150

(10)

—

(

10‌

)

UBS

Investment

Bank,

Receive

Underlying

Reference:

Suzuki

Motor

Monthly,

Pay

Variable

0.337%

(JPY

TONA

+

0.35%)

Monthly,

1/17/24

147,976

21

—

21‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Taiheiyo

Cement

Monthly,

Pay

Variable

0.337%

(JPY

TONA

+

0.35%)

Monthly,

1/17/24

101,776

12

—

12‌

Total

Japan

—

105‌

Jersey

(0.0)%

Citibank,

Pay

Underlying

Reference:

Glencore

Monthly,

Receive

Variable

0.880%

(GBP

SONIA

+

(0.31)%)

Monthly,

1/17/24

273

(22)

—

(

22‌

)

Goldman

Sachs,

Pay

Underlying

Reference:

Aptiv

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

444

(65)

—

(

65‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

Experian

Monthly,

Pay

Variable

1.571%

(GBP

SONIA

+

0.38%)

Monthly,

1/17/24

763

27

—

27‌

Total

Jersey

—

(

60‌

)

Luxembourg

0.0%

Morgan

Stanley,

Receive

Underlying

Reference:

Tenaris

Monthly,

Pay

Variable

(0.142)%

(EUR

ESTR

+

0.35%)

Monthly,

1/17/24

834

102

—

102‌

Morgan

Stanley,

Receive

Underlying

Reference:

Tenaris

Monthly,

Pay

Variable

0.099%

(EUR

ESTR

+

0.35%)

Monthly,

1/17/24

454

49

—

49‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

61

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

UBS

Investment

Bank,

Pay

Underlying

Reference:

Shurgard

Self

Storage

Monthly,

Receive

Variable

(0.490)%

(EUR

ESTR

+

(0.40)%)

Monthly,

1/17/24

277

(21)

—

(

21‌

)

Total

Luxembourg

—

130‌

Mexico

(0.0)%

Morgan

Stanley,

Pay

Underlying

Reference:

Alpek

Monthly,

Receive

Variable

7.520%

(MXIBTIIE

+

(0.50)%)

Monthly,

1/17/24

4,184

2

—

2‌

Morgan

Stanley,

Receive

Underlying

Reference:

Alfa,

Class

A

Monthly,

Pay

Variable

8.570%

(MXIBTIIE

+

0.55%)

Monthly,

1/17/24

6,516

(19)

—

(

19‌

)

Total

Mexico

—

(

17‌

)

Netherlands

0.1%

Bank

of

America,

Receive

Underlying

Reference:

Airbus

Monthly,

Pay

Variable

(0.142)%

(EUR

ESTR

+

0.35%)

Monthly,

1/17/24

357

4

—

4‌

Bank

of

America,

Receive

Underlying

Reference:

Airbus

Monthly,

Pay

Variable

0.260%

(EUR

ESTR

+

0.35%)

Monthly,

1/17/24

109

3

—

3‌

Citibank,

Receive

Underlying

Reference:

ING

Groep

Monthly,

Pay

Variable

(0.127)%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

805

6

—

6‌

Goldman

Sachs,

Receive

Underlying

Reference:

ASML

Holding

Monthly,

Pay

Variable

(0.092)%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

235

47

—

47‌

Goldman

Sachs,

Receive

Underlying

Reference:

ASML

Holding

Monthly,

Pay

Variable

0.149%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

565

36

—

36‌

Morgan

Stanley,

Pay

Underlying

Reference:

LyondellBasell

Industries,

Class

A

Monthly,

Receive

Variable

1.220%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

558

(29)

—

(

29‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

NXP

Semiconductors

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

788

(95)

—

(

95‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

62

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

Ferrari

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

448

41

—

41‌

Morgan

Stanley,

Receive

Underlying

Reference:

Universal

Music

Group

Monthly,

Pay

Variable

(0.142)%

(1M

EURIBOR

+

0.35%)

Monthly,

1/17/24

265

18

—

18‌

UBS

Investment

Bank,

Pay

Underlying

Reference:

Koninklijke

Ahold

Delhaize

Monthly,

Receive

Variable

(0.490)%

(EUR

ESTR

+

(0.40)%)

Monthly,

1/17/24

513

(10)

—

(

10‌

)

Total

Netherlands

—

21‌

New

Zealand

0.0%

UBS

Investment

Bank,

Pay

Underlying

Reference:

Fisher

&

Paykel

Healthcare

Monthly,

Receive

Variable

2.080%

(1M

NDBB

+

(0.45)%)

Monthly,

1/17/24

719

5

—

5‌

Total

New

Zealand

—

5‌

Norway

0.0%

Citibank,

Pay

Underlying

Reference:

Aker

BP

Monthly,

Receive

Variable

0.780%

(1M

NOK

NIBOR

+

(0.50)%)

Monthly,

1/17/24

2,975

(2)

—

(

2‌

)

Citibank,

Pay

Underlying

Reference:

Yara

International

Monthly,

Receive

Variable

0.930%

(1M

NOK

NIBOR

+

(0.35)%)

Monthly,

1/17/24

3,740

(1)

—

(

1‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

DNB

Bank

Monthly,

Pay

Variable

1.760%

(1M

NOK

NIBOR

+

0.35%)

Monthly,

1/17/24

2,590

15

—

15‌

Goldman

Sachs,

Receive

Underlying

Reference:

TOMRA

Systems

Monthly,

Pay

Variable

1.760%

(1M

NOK

NIBOR

+

0.35%)

Monthly,

1/17/24

6,156

106

—

106‌

Total

Norway

—

118‌

Portugal

0.0%

Goldman

Sachs,

Receive

Underlying

Reference:

Galp

Energia

Monthly,

Pay

Variable

(0.092)%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

466

28

—

28‌

Total

Portugal

—

28‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

63

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

South

Africa

(0.0)%

Citibank,

Pay

Underlying

Reference:

Nedbank

Group

Monthly,

Receive

Variable

4.183%

(1M

ZAR

JIBOR

+

(0.75)%)

Monthly,

1/17/24

7,591

(21)

—

(

21‌

)

Citibank,

Pay

Underlying

Reference:

Standard

Bank

Group

Monthly,

Receive

Variable

4.183%

(1M

ZAR

JIBOR

+

(0.75)%)

Monthly,

1/17/24

7,558

(17)

—

(

17‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Gold

Fields

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

171

8

—

8‌

Total

South

Africa

—

(

30‌

)

Spain

(0.0)%

Citibank,

Pay

Underlying

Reference:

Red

Electrica

Corp

Monthly,

Receive

Variable

(0.440)%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

290

(18)

—

(

18‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

Amadeus

IT

Group

Monthly,

Pay

Variable

(0.181)%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

77

(1)

—

(

1‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

Amadeus

IT

Group

Monthly,

Pay

Variable

(0.092)%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

263

10

—

10‌

Goldman

Sachs,

Receive

Underlying

Reference:

Amadeus

IT

Group

Monthly,

Pay

Variable

0.310%

(EUR

ESTR

+

0.40%)

Monthly,

1/17/24

112

—

—

—‌

Morgan

Stanley,

Pay

Underlying

Reference:

Banco

Bilbao

Vizcaya

Argentaria

Monthly,

Receive

Variable

(0.440)%

(1M

EURIBOR

+

(0.35)%)

Monthly,

1/17/24

249

(20)

—

(

20‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Banco

Bilbao

Vizcaya

Argentaria

Monthly,

Receive

Variable

(0.440)%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

155

(9)

—

(

9‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

64

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Pay

Underlying

Reference:

EDP

Renovaveis

Monthly,

Receive

Variable

(0.440)%

(EUR

ESTR

+

(0.35)%)

Monthly,

1/17/24

319

(17)

—

(

17‌

)

Total

Spain

—

(

55‌

)

Sweden

0.1%

Citibank,

Pay

Underlying

Reference:

Tele2,

Class

B

Monthly,

Receive

Variable

0.299%

(1M

SEK

STIBOR

+

(0.35)%)

Monthly,

1/17/24

12,099

54

—

54‌

Citibank,

Receive

Underlying

Reference:

Assa

Abloy,

Class

B

Monthly,

Pay

Variable

0.999%

(1M

SEK

STIBOR

+

0.35%)

Monthly,

1/17/24

3,819

13

—

13‌

Goldman

Sachs,

Receive

Underlying

Reference:

Atlas

Copco,

Class

B

Monthly,

Pay

Variable

1.021%

(1M

SEK

STIBOR

+

0.35%)

Monthly,

1/17/24

6,693

107

—

107‌

Goldman

Sachs,

Receive

Underlying

Reference:

Svenska

Cellulosa,

Class

B

Monthly,

Pay

Variable

1.140%

(1M

SEK

STIBOR

+

0.35%)

Monthly,

1/17/24

4,548

8

—

8‌

JPMorgan

Chase,

Receive

Underlying

Reference:

Telefonaktiebolaget

LM

Ericsson,

Class

B

Monthly,

Pay

Variable

1.138%

(1M

SEK

STIBOR

+

0.40%)

Monthly,

1/17/24

2,972

13

—

13‌

Morgan

Stanley,

Pay

Underlying

Reference:

Investor,

Class

A

Monthly,

Receive

Variable

0.321%

(1M

SEK

STIBOR

+

(0.35)%)

Monthly,

1/17/24

4,849

(39)

—

(

39‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Alfa

Laval

Monthly,

Pay

Variable

1.021%

(1M

SEK

STIBOR

+

0.35%)

Monthly,

1/17/24

1,956

31

—

31‌

Morgan

Stanley,

Receive

Underlying

Reference:

Alfa

Laval

Monthly,

Pay

Variable

1.140%

(1M

SEK

STIBOR

+

0.35%)

Monthly,

1/17/24

1,605

3

—

3‌

UBS

Investment

Bank,

Pay

Underlying

Reference:

Husqvarna,

Class

B

Monthly,

Receive

Variable

0.249%

(1M

SEK

STIBOR

+

(0.40)%)

Monthly,

1/17/24

11,417

16

—

16‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

65

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

UBS

Investment

Bank,

Pay

Underlying

Reference:

Husqvarna,

Class

B

Monthly,

Receive

Variable

0.270%

(1M

SEK

STIBOR

+

(0.40)%)

Monthly,

1/17/24

1,230

—

—

—‌

UBS

Investment

Bank,

Pay

Underlying

Reference:

SKF,

Class

B

Monthly,

Receive

Variable

0.249%

(1M

SEK

STIBOR

+

(0.40)%)

Monthly,

1/17/24

3,358

(9)

—

(

9‌

)

UBS

Investment

Bank,

Receive

Underlying

Reference:

Essity,

Class

B

Monthly,

Pay

Variable

0.999%

(1M

SEK

STIBOR

+

0.35%)

Monthly,

1/17/24

10,127

(60)

—

(

60‌

)

Total

Sweden

—

137‌

Switzerland

0.1%

Bank

of

America,

Pay

Underlying

Reference:

Givaudan

Monthly,

Receive

Variable

(0.540)%

(1M

CHF

LIBOR

+

(0.35)%)

Monthly,

1/17/24

276

(6)

—

(

6‌

)

Bank

of

America,

Pay

Underlying

Reference:

Roche

Holding

Monthly,

Receive

Variable

(0.540)%

(1M

CHF

LIBOR

+

(0.35)%)

Monthly,

1/17/24

1,197

57

—

57‌

Bank

of

America,

Receive

Underlying

Reference:

ABB

Monthly,

Pay

Variable

0.143%

(1M

CHF

LIBOR

+

0.35%)

Monthly,

1/17/24

226

22

—

22‌

Bank

of

America,

Receive

Underlying

Reference:

Julius

Baer

Group

Monthly,

Pay

Variable

0.143%

(1M

CHF

LIBOR

+

0.35%)

Monthly,

1/17/24

282

41

—

41‌

Citibank,

Pay

Underlying

Reference:

Kuehne

+

Nagel

International

Monthly,

Receive

Variable

(0.610)%

(1M

CHF

LIBOR

+

(0.42)%)

Monthly,

1/17/24

288

(23)

—

(

23‌

)

Citibank,

Pay

Underlying

Reference:

Nestle

Monthly,

Receive

Variable

(0.610)%

(1M

CHF

LIBOR

+

(0.42)%)

Monthly,

1/17/24

1,875

(32)

—

(

32‌

)

Citibank,

Pay

Underlying

Reference:

SGS

Monthly,

Receive

Variable

(0.540)%

(1M

CHF

LIBOR

+

(0.35)%)

Monthly,

1/17/24

221

(9)

—

(

9‌

)

Citibank,

Pay

Underlying

Reference:

Straumann

Holding

Monthly,

Receive

Variable

(0.610)%

(1M

CHF

LIBOR

+

(0.42)%)

Monthly,

1/17/24

156

(10)

—

(

10‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

66

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Citibank,

Pay

Underlying

Reference:

Straumann

Holding

Monthly,

Receive

Variable

(0.540)%

(1M

CHF

LIBOR

+

(0.35)%)

Monthly,

1/17/24

208

(14)

—

(

14‌

)

Citibank,

Pay

Underlying

Reference:

UBS

Group

Monthly,

Receive

Variable

(0.610)%

(1M

CHF

LIBOR

+

(0.42)%)

Monthly,

1/17/24

267

3

—

3‌

Citibank,

Receive

Underlying

Reference:

Partners

Group

Holding

Monthly,

Pay

Variable

0.072%

(1M

CHF

LIBOR

+

0.28%)

Monthly,

1/17/24

240

37

—

37‌

Citibank,

Receive

Underlying

Reference:

Partners

Group

Holding

Monthly,

Pay

Variable

0.073%

(1M

CHF

LIBOR

+

0.28%)

Monthly,

1/17/24

194

38

—

38‌

Goldman

Sachs,

Receive

Underlying

Reference:

Alcon

Monthly,

Pay

Variable

0.083%

(1M

CHF

LIBOR

+

0.29%)

Monthly,

1/17/24

1,615

113

—

113‌

Morgan

Stanley,

Pay

Underlying

Reference:

CRISPR

Therapeutics

Monthly,

Receive

Variable

0.790%

(SOFR

+

(0.73)%)

Monthly,

1/18/24

144

15

—

15‌

Morgan

Stanley,

Pay

Underlying

Reference:

Kuehne

+

Nagel

International

Monthly,

Receive

Variable

(0.600)%

(1M

CHF

LIBOR

+

(0.41)%)

Monthly,

1/17/24

221

(22)

—

(

22‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Sonova

Holding

Monthly,

Receive

Variable

(0.600)%

(1M

CHF

LIBOR

+

(0.41)%)

Monthly,

1/17/24

281

(9)

—

(

9‌

)

UBS

Investment

Bank,

Pay

Underlying

Reference:

Schindler

Holding

Monthly,

Receive

Variable

(0.590)%

(1M

CHF

LIBOR

+

(0.40)%)

Monthly,

1/17/24

212

1

—

1‌

Total

Switzerland

—

202‌

Taiwan

(0.0)%

Morgan

Stanley,

Pay

Underlying

Reference:

United

Microelectronics

Monthly,

Receive

Variable

(13.110)%

(SOFR

+

(14.63)%)

Monthly,

1/18/24

328

(5)

—

(

5‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

67

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

UBS

Investment

Bank,

Pay

Underlying

Reference:

Asustek

Computer

Monthly,

Receive

Variable

1.020%

(SOFR

+

(0.50)%)

Monthly,

1/18/24

327

(18)

—

(

18‌

)

Total

Taiwan

—

(

23‌

)

United

Kingdom

(0.1)%

Bank

of

America,

Pay

Underlying

Reference:

British

American

Tobacco

Monthly,

Receive

Variable

0.840%

(GBP

SONIA

+

(0.35)%)

Monthly,

1/17/24

446

40

—

40‌

Bank

of

America,

Receive

Underlying

Reference:

AstraZeneca

Monthly,

Pay

Variable

1.541%

(1M

GBP

LIBOR

+

0.35%)

Monthly,

1/17/24

425

(13)

—

(

13‌

)

Bank

of

America,

Receive

Underlying

Reference:

AstraZeneca

Monthly,

Pay

Variable

1.541%

(GBP

SONIA

+

0.35%)

Monthly,

1/17/24

176

(5)

—

(

5‌

)

Bank

of

America,

Receive

Underlying

Reference:

Smiths

Group

Monthly,

Pay

Variable

1.541%

(1M

GBP

LIBOR

+

0.35%)

Monthly,

1/17/24

231

16

—

16‌

Citibank,

Pay

Underlying

Reference:

Barclays

Monthly,

Receive

Variable

0.864%

(GBP

SONIA

+

(0.326)%)

Monthly,

1/17/24

502

(21)

—

(

21‌

)

Citibank,

Pay

Underlying

Reference:

BP

Monthly,

Receive

Variable

0.880%

(GBP

SONIA

+

(0.31)%)

Monthly,

1/17/24

277

(12)

—

(

12‌

)

Citibank,

Pay

Underlying

Reference:

Diageo

Monthly,

Receive

Variable

0.880%

(GBP

SONIA

+

(0.31)%)

Monthly,

1/17/24

221

(26)

—

(

26‌

)

Citibank,

Pay

Underlying

Reference:

Legal

&

General

Group

Monthly,

Receive

Variable

0.880%

(GBP

SONIA

+

(0.31)%)

Monthly,

1/17/24

991

(82)

—

(

82‌

)

Citibank,

Pay

Underlying

Reference:

Next

Monthly,

Receive

Variable

0.880%

(GBP

SONIA

+

(0.31)%)

Monthly,

1/17/24

802

(104)

—

(

104‌

)

Citibank,

Receive

Underlying

Reference:

Endava

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.42%)

Monthly,

1/18/24

496

56

—

56‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

68

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Citibank,

Receive

Underlying

Reference:

London

Stock

Exchange

Group

Monthly,

Pay

Variable

1.581%

(GBP

SONIA

+

0.39%)

Monthly,

1/17/24

244

15

—

15‌

Goldman

Sachs,

Pay

Underlying

Reference:

Hargreaves

Lansdown

Monthly,

Receive

Variable

0.840%

(1M

GBP

LIBOR

+

(0.35)%)

Monthly,

1/17/24

270

(12)

—

(

12‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

Anglo

American

Monthly,

Pay

Variable

1.571%

(GBP

SONIA

+

0.38%)

Monthly,

1/17/24

231

44

—

44‌

Goldman

Sachs,

Receive

Underlying

Reference:

HSBC

Holdings

Monthly,

Pay

Variable

1.571%

(GBP

SONIA

+

0.38%)

Monthly,

1/17/24

860

(1)

—

(

1‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

Imperial

Brands

Monthly,

Pay

Variable

1.571%

(GBP

SONIA

+

0.38%)

Monthly,

1/17/24

2,180

(84)

—

(

84‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Bunzl

Monthly,

Receive

Variable

0.880%

(1M

GBP

LIBOR

+

(0.31)%)

Monthly,

1/17/24

442

(28)

—

(

28‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Burberry

Group

Monthly,

Receive

Variable

0.880%

(GBP

SONIA

+

(0.31)%)

Monthly,

1/17/24

228

(43)

—

(

43‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

JD

Sports

Fashion

Monthly,

Receive

Variable

0.880%

(GBP

SONIA

+

(0.31)%)

Monthly,

1/17/24

363

(3)

—

(

3‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Safestore

Holdings

Monthly,

Receive

Variable

0.880%

(GBP

SONIA

+

(0.31)%)

Monthly,

1/17/24

32

(2)

—

(

2‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Segro

Monthly,

Receive

Variable

0.880%

(GBP

SONIA

+

(0.31)%)

Monthly,

1/17/24

376

(30)

—

(

30‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Tritax

Big

Box

REIT

Monthly,

Receive

Variable

0.880%

(GBP

SONIA

+

(0.31)%)

Monthly,

1/17/24

201

(15)

—

(

15‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

69

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

Direct

Line

Insurance

Group

Monthly,

Pay

Variable

1.581%

(GBP

SONIA

+

0.39%)

Monthly,

1/17/24

682

(40)

—

(

40‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

InterContinental

Hotels

Group

Monthly,

Pay

Variable

1.581%

(1M

GBP

LIBOR

+

0.39%)

Monthly,

1/17/24

1,028

46

—

46‌

Morgan

Stanley,

Receive

Underlying

Reference:

SSP

Group

Monthly,

Pay

Variable

1.581%

(GBP

SONIA

+

0.39%)

Monthly,

1/17/24

315

24

—

24‌

UBS

Investment

Bank,

Pay

Underlying

Reference:

Safestore

Holdings

Monthly,

Receive

Variable

0.790%

(GBP

SONIA

+

(0.40)%)

Monthly,

1/17/24

221

(20)

—

(

20‌

)

UBS

Investment

Bank,

Receive

Underlying

Reference:

London

Stock

Exchange

Group

Monthly,

Pay

Variable

1.541%

(GBP

SONIA

+

0.35%)

Monthly,

1/17/24

184

11

—

11‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Meggitt

Monthly,

Pay

Variable

1.541%

(GBP

SONIA

+

0.35%)

Monthly,

1/17/24

1,288

2

—

2‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Prudential

Monthly,

Pay

Variable

1.541%

(GBP

SONIA

+

0.35%)

Monthly,

1/17/24

225

2

—

2‌

UBS

Investment

Bank,

Receive

Underlying

Reference:

Prudential

Monthly,

Pay

Variable

1.541%

(GBP

SONIA

+

0.35%)

Monthly,

1/17/24

250

(3)

—

(

3‌

)

Total

United

Kingdom

—

(

288‌

)

United

States

(0.1)%

Bank

of

America,

Pay

Underlying

Reference:

Aflac

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

407

(21)

—

(

21‌

)

Bank

of

America,

Pay

Underlying

Reference:

Brighthouse

Financial

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

415

(32)

—

(

32‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

70

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Bank

of

America,

Pay

Underlying

Reference:

Chevron

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

784

(148)

—

(

148‌

)

Bank

of

America,

Pay

Underlying

Reference:

Globe

Life

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

377

(7)

—

(

7‌

)

Bank

of

America,

Pay

Underlying

Reference:

Globe

Life

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

38

—

—

—‌

Bank

of

America,

Pay

Underlying

Reference:

MetLife

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

185

(11)

—

(

11‌

)

Bank

of

America,

Pay

Underlying

Reference:

Prudential

Financial

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

404

(31)

—

(

31‌

)

Bank

of

America,

Pay

Underlying

Reference:

Republic

Services

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

289

(21)

—

(

21‌

)

Bank

of

America,

Pay

Underlying

Reference:

UDR

Monthly,

Receive

Variable

1.220%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

260

(24)

—

(

24‌

)

Bank

of

America,

Pay

Underlying

Reference:

Victoria's

Secret

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

226

(65)

—

(

65‌

)

Bank

of

America,

Receive

Underlying

Reference:

American

Campus

Communities

Monthly,

Pay

Variable

2.339%

(SOFR

+

0.75%)

Monthly,

1/18/24

2,579

6

—

6‌

Bank

of

America,

Receive

Underlying

Reference:

Centene

Monthly,

Pay

Variable

1.889%

(SOFR

+

0.30%)

Monthly,

1/18/24

307

11

—

11‌

Bank

of

America,

Receive

Underlying

Reference:

Cummins

Monthly,

Pay

Variable

1.889%

(SOFR

+

0.30%)

Monthly,

1/18/24

40

5

—

5‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

71

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Bank

of

America,

Receive

Underlying

Reference:

Elevance

Health

Monthly,

Pay

Variable

1.889%

(SOFR

+

0.30%)

Monthly,

1/18/24

295

(7)

—

(

7‌

)

Bank

of

America,

Receive

Underlying

Reference:

Humana

Monthly,

Pay

Variable

1.889%

(SOFR

+

0.30%)

Monthly,

1/18/24

309

(4)

—

(

4‌

)

Bank

of

America,

Receive

Underlying

Reference:

Las

Vegas

Sands

Monthly,

Pay

Variable

1.889%

(SOFR

+

0.30%)

Monthly,

1/18/24

498

45

—

45‌

Bank

of

America,

Receive

Underlying

Reference:

Molina

Healthcare

Monthly,

Pay

Variable

1.889%

(SOFR

+

0.30%)

Monthly,

1/18/24

315

30

—

30‌

Bank

of

America,

Receive

Underlying

Reference:

Molina

Healthcare

Monthly,

Pay

Variable

1.998%

(SOFR

+

0.30%)

Monthly,

1/18/24

173

16

—

16‌

Bank

of

America,

Receive

Underlying

Reference:

Saia

Monthly,

Pay

Variable

1.889%

(SOFR

+

0.30%)

Monthly,

1/18/24

251

54

—

54‌

Bank

of

America,

Receive

Underlying

Reference:

Southwest

Airlines

Monthly,

Pay

Variable

1.889%

(SOFR

+

0.30%)

Monthly,

1/18/24

321

(12)

—

(

12‌

)

Bank

of

America,

Receive

Underlying

Reference:

UnitedHealth

Group

Monthly,

Pay

Variable

1.889%

(SOFR

+

0.30%)

Monthly,

1/18/24

300

7

—

7‌

Bank

of

America,

Receive

Underlying

Reference:

UnitedHealth

Group

Monthly,

Pay

Variable

1.998%

(SOFR

+

0.30%)

Monthly,

1/18/24

149

6

—

6‌

Bank

of

America,

Receive

Underlying

Reference:

Zendesk

Monthly,

Pay

Variable

1.889%

(SOFR

+

0.30%)

Monthly,

1/18/24

1,137

16

—

16‌

Citibank,

Pay

Underlying

Reference:

Charter

Communications,

Class

A

Monthly,

Receive

Variable

1.340%

(SOFR

+

(0.18)%)

Monthly,

1/18/24

1,054

72

—

72‌

Citibank,

Pay

Underlying

Reference:

Eastman

Chemical

Monthly,

Receive

Variable

1.220%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

463

(29)

—

(

29‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

72

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Citibank,

Receive

Underlying

Reference:

Becton

Dickinson

&

Company

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.42%)

Monthly,

1/18/24

523

(4)

—

(

4‌

)

Citibank,

Receive

Underlying

Reference:

NextEra

Energy

Monthly,

Pay

Variable

1.989%

(1M

USD

LIBOR

+

0.42%)

Monthly,

1/18/24

176

9

—

9‌

Citibank,

Receive

Underlying

Reference:

PG&E

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.42%)

Monthly,

1/18/24

800

45

—

45‌

Citibank,

Receive

Underlying

Reference:

Stanley

Black

&

Decker

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.42%)

Monthly,

1/18/24

423

(50)

—

(

50‌

)

Citibank,

Receive

Underlying

Reference:

Ulta

Beauty

Monthly,

Pay

Variable

1.989%

(1M

USD

LIBOR

+

0.42%)

Monthly,

1/18/24

357

7

—

7‌

Goldman

Sachs,

Pay

Underlying

Reference:

Comcast,

Class

A

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

1,098

92

—

92‌

Goldman

Sachs,

Pay

Underlying

Reference:

Equifax

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

464

(39)

—

(

39‌

)

Goldman

Sachs,

Pay

Underlying

Reference:

Exxon

Mobil

Monthly,

Receive

Variable

1.220%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

92

(13)

—

(

13‌

)

Goldman

Sachs,

Pay

Underlying

Reference:

Freeport-McMoRan

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

300

(61)

—

(

61‌

)

Goldman

Sachs,

Pay

Underlying

Reference:

iShares

iBoxx

High

Yield

Corporate

Bond

ETF

at

Maturity,

Receive

Variable

0.010%

(SOFR

+

0%)

at

Maturity,

9/20/22

2,030

(70)

2

(

72‌

)

Goldman

Sachs,

Pay

Underlying

Reference:

iShares

MSCI

Turkey

ETF

Monthly,

Receive

Variable

(23.019)%

(SOFR

+

-24.539%)

Monthly,

1/18/24

129

(8)

—

(

8‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

73

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Goldman

Sachs,

Pay

Underlying

Reference:

Morgan

Stanley

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

588

(53)

—

(

53‌

)

Goldman

Sachs,

Pay

Underlying

Reference:

NortonLifeLock

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

475

(20)

—

(

20‌

)

Goldman

Sachs,

Pay

Underlying

Reference:

PNC

Financial

Services

Group

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

1,043

(95)

—

(

95‌

)

Goldman

Sachs,

Pay

Underlying

Reference:

Progressive

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

279

3

—

3‌

Goldman

Sachs,

Pay

Underlying

Reference:

SPDR

S&P

Oil

&

Gas

Exploration

&

Production

ETF

Monthly,

Receive

Variable

0.670%

(SOFR

+

(0.85)%)

Monthly,

1/18/24

399

(67)

—

(

67‌

)

Goldman

Sachs,

Pay

Underlying

Reference:

VanEck

Oil

Services

ETF

Monthly,

Receive

Variable

(0.360)%

(SOFR

+

(1.88)%)

Monthly,

1/18/24

414

(69)

—

(

69‌

)

Goldman

Sachs,

Pay

Underlying

Reference:

VICI

Properties

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

348

(18)

—

(

18‌

)

Goldman

Sachs,

Pay

Underlying

Reference:

Weyerhaeuser

Monthly,

Receive

Variable

1.220%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

507

(22)

—

(

22‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

Carney

Technology

Acquisition,

Class

A

Monthly,

Pay

Variable

1.999%

(1M

USD

LIBOR

+

0.41%)

Monthly,

1/18/24

164

—

—

—‌

Goldman

Sachs,

Receive

Underlying

Reference:

Healthpeak

Properties

Monthly,

Pay

Variable

1.999%

(SOFR

+

0.41%)

Monthly,

1/18/24

308

16

—

16‌

Goldman

Sachs,

Receive

Underlying

Reference:

International

Paper

Monthly,

Pay

Variable

2.099%

(1M

USD

LIBOR

+

0.51%)

Monthly,

1/18/24

232

4

—

4‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

74

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Goldman

Sachs,

Receive

Underlying

Reference:

Microsoft

Monthly,

Pay

Variable

1.999%

(1M

USD

LIBOR

+

0.41%)

Monthly,

1/18/24

776

72

—

72‌

Goldman

Sachs,

Receive

Underlying

Reference:

Monster

Beverage

Monthly,

Pay

Variable

1.999%

(1M

USD

LIBOR

+

0.41%)

Monthly,

1/18/24

374

9

—

9‌

Goldman

Sachs,

Receive

Underlying

Reference:

Monster

Beverage

Monthly,

Pay

Variable

1.999%

(SOFR

+

0.41%)

Monthly,

1/18/24

227

6

—

6‌

Goldman

Sachs,

Receive

Underlying

Reference:

Rockwell

Automation

Monthly,

Pay

Variable

1.999%

(SOFR

+

0.41%)

Monthly,

1/18/24

311

73

—

73‌

Goldman

Sachs,

Receive

Underlying

Reference:

Sherwin-Williams

Monthly,

Pay

Variable

1.999%

(SOFR

+

0.41%)

Monthly,

1/18/24

324

(5)

—

(

5‌

)

Goldman

Sachs,

Receive

Underlying

Reference:

Thermo

Fisher

Scientific

Monthly,

Pay

Variable

1.999%

(SOFR

+

0.41%)

Monthly,

1/18/24

290

32

—

32‌

Goldman

Sachs,

Receive

Underlying

Reference:

Visa

Monthly,

Pay

Variable

1.999%

(SOFR

+

0.41%)

Monthly,

1/18/24

361

3

—

3‌

Goldman

Sachs,

Receive

Underlying

Reference:

Yum

China

Holdings

Monthly,

Pay

Variable

1.999%

(SOFR

+

0.41%)

Monthly,

1/18/24

327

19

—

19‌

JPMorgan

Chase,

Pay

Underlying

Reference:

Goodyear

Tire

&

Rubber

at

Maturity,

Receive

Variable

0.011%

(SOFR

+

(0.80)%)

Quarterly,

9/20/22

880

(8)

—

(

8‌

)

JPMorgan

Chase,

Pay

Underlying

Reference:

Halliburton

at

Maturity,

Receive

Variable

1.013%

(SOFR

+

(0.50)%)

at

Maturity,

9/20/22

527

(33)

(3)

(

30‌

)

JPMorgan

Chase,

Pay

Underlying

Reference:

iShares

iBoxx

High

Yield

Corporate

Bond

ETF

at

Maturity,

Receive

Variable

0.010%

(SOFR

+

0%)

at

Maturity,

9/20/22

700

(22)

1

(

23‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

75

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

JPMorgan

Chase,

Pay

Underlying

Reference:

iShares

iBoxx

High

Yield

Corporate

Bond

ETF

at

Maturity,

Receive

Variable

1.450%

(SOFR

+

0%)

at

Maturity,

9/20/22

1,990

(60)

3

(

63‌

)

JPMorgan

Chase,

Pay

Underlying

Reference:

Lowe's

Monthly,

Receive

Variable

1.270%

(1M

USD

LIBOR

+

(0.25)%)

Monthly,

1/18/24

340

(14)

—

(

14‌

)

JPMorgan

Chase,

Pay

Underlying

Reference:

Macy's

Retail

Holdings

at

Maturity,

Receive

Variable

0.893%

(SOFR

+

(0.62)%)

at

Maturity,

9/20/22

1,653

(31)

(34)

3‌

JPMorgan

Chase,

Pay

Underlying

Reference:

Medline

Borrower

at

Maturity,

Receive

Variable

0.863%

(SOFR

+

(0.65)%)

at

Maturity,

9/20/22

585

(60)

(8)

(

52‌

)

JPMorgan

Chase,

Pay

Underlying

Reference:

Micron

Technology

Monthly,

Receive

Variable

1.270%

(SOFR

+

(0.25)%)

Monthly,

1/18/24

283

(1)

—

(

1‌

)

JPMorgan

Chase,

Pay

Underlying

Reference:

Union

Pacific

Monthly,

Receive

Variable

1.270%

(SOFR

+

(0.25)%)

Monthly,

1/18/24

535

(46)

—

(

46‌

)

JPMorgan

Chase,

Receive

Underlying

Reference:

Apollo

Global

Management

Monthly,

Pay

Variable

1.939%

(SOFR

+

0.35%)

Monthly,

1/18/24

472

58

—

58‌

JPMorgan

Chase,

Receive

Underlying

Reference:

Honeywell

International

Monthly,

Pay

Variable

1.939%

(SOFR

+

0.35%)

Monthly,

1/18/24

1,073

121

—

121‌

JPMorgan

Chase,

Receive

Underlying

Reference:

Outfront

Media

Monthly,

Pay

Variable

1.800%

(SOFR

+

0.35%)

Monthly,

1/18/24

40

2

—

2‌

JPMorgan

Chase,

Receive

Underlying

Reference:

Outfront

Media

Monthly,

Pay

Variable

1.939%

(SOFR

+

0.35%)

Monthly,

1/18/24

426

40

—

40‌

JPMorgan

Chase,

Receive

Underlying

Reference:

Outfront

Media

Monthly,

Pay

Variable

2.014%

(SOFR

+

0.35%)

Monthly,

1/18/24

37

1

—

1‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

76

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

JPMorgan

Chase,

Receive

Underlying

Reference:

Wells

Fargo

Monthly,

Pay

Variable

1.939%

(1M

USD

LIBOR

+

0.35%)

Monthly,

1/18/24

82

5

—

5‌

JPMorgan

Chase,

Receive

Underlying

Reference:

Yum

China

Holdings

Monthly,

Pay

Variable

1.361%

(1M

HKD

HIBOR

+

0.50%)

Monthly,

1/17/24

(HKD)

3,753

10

—

10‌

Morgan

Stanley,

Pay

Underlying

Reference:

1Life

Healthcare

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

763

5

—

5‌

Morgan

Stanley,

Pay

Underlying

Reference:

Abbott

Laboratories

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

616

(2)

—

(

2‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

ABIOMED

Monthly,

Receive

Variable

1.220%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

254

(23)

—

(

23‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Academy

Sports

&

Outdoors

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

311

(25)

—

(

25‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

AMETEK

Monthly,

Receive

Variable

1.220%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

361

(38)

—

(

38‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

AMN

Healthcare

Services

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

282

12

—

12‌

Morgan

Stanley,

Pay

Underlying

Reference:

Analog

Devices

Monthly,

Receive

Variable

1.220%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

1,109

(97)

—

(

97‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Applied

Materials

Monthly,

Receive

Variable

1.220%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

406

(49)

—

(

49‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Applied

Materials

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

385

(47)

—

(

47‌

)

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:

Autodesk

Inc

Monthly,

Receive

Variable

1.220%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

200

(45)

—

(

45‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Beam

Therapeutics

Monthly,

Receive

Variable

0.790%

(SOFR

+

(0.73)%)

Monthly,

1/18/24

111

(10)

—

(

10‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Blackstone

Mortgage

Trust,

Class

A

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

296

(25)

—

(

25‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Bristol-Myers

Squibb

Monthly,

Receive

Variable

1.220%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

1,469

27

—

27‌

Morgan

Stanley,

Pay

Underlying

Reference:

Capital

One

Financial

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

1,019

(15)

—

(

15‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Caterpillar

Monthly,

Receive

Variable

1.220%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

815

(122)

—

(

122‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Celanese

Monthly,

Receive

Variable

1.220%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

284

(24)

—

(

24‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Copart

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

610

(63)

—

(

63‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Covenant

Logistics

Group

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

290

(71)

—

(

71‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Crown

Castle

International

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

914

(38)

—

(

38‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Devon

Energy

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

363

(70)

—

(

70‌

)

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:

Discover

Financial

Services

Monthly,

Receive

Variable

1.220%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

465

14

—

14‌

Morgan

Stanley,

Pay

Underlying

Reference:

Dow

Monthly,

Receive

Variable

1.220%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

659

(48)

—

(

48‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

DuPont

de

Nemours

Monthly,

Receive

Variable

1.220%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

339

(43)

—

(

43‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Edwards

Lifesciences

Monthly,

Receive

Variable

1.220%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

335

(3)

—

(

3‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Etsy

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

696

(139)

—

(

139‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Exxon

Mobil

Monthly,

Receive

Variable

1.220%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

1,240

(181)

—

(

181‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Exxon

Mobil

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

336

(49)

—

(

49‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Fate

Therapeutics

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

84

3

—

3‌

Morgan

Stanley,

Pay

Underlying

Reference:

First

Republic

Bank

Monthly,

Receive

Variable

1.220%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

295

(13)

—

(

13‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Foot

Locker

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

251

(27)

—

(

27‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Ford

Motor

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

923

(218)

—

(

218‌

)

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:

Fortinet

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

330

(3)

—

(

3‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Fortinet

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

497

9

—

9‌

Morgan

Stanley,

Pay

Underlying

Reference:

Fortune

Brands

Home

&

Security

Monthly,

Receive

Variable

1.220%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

203

(22)

—

(

22‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Gartner

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

2,359

(242)

—

(

242‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

General

Motors

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

1,470

(123)

—

(

123‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

HCA

Healthcare

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

715

(170)

—

(

170‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Henry

Schein

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

502

(15)

—

(

15‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

HP

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

186

(10)

—

(

10‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

IDEXX

Laboratories

Monthly,

Receive

Variable

1.220%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

334

(26)

—

(

26‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Incyte

Monthly,

Receive

Variable

1.220%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

441

13

—

13‌

Morgan

Stanley,

Pay

Underlying

Reference:

iShares

iBoxx

High

Yield

Corporate

Bond

ETF

at

Maturity,

Receive

Variable

0.010%

(SOFR

+

0%)

at

Maturity,

9/20/22

235

(10)

—

(

10‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

80

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Pay

Underlying

Reference:

iShares

Russell

2000

ETF

Monthly,

Receive

Variable

0.440%

(SOFR

+

(1.08)%)

Monthly,

1/18/24

346

(27)

—

(

27‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Jack

Henry

&

Associates

Monthly,

Receive

Variable

1.220%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

1,144

(106)

—

(

106‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Johnson

&

Johnson

Monthly,

Receive

Variable

1.220%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

1,041

23

—

23‌

Morgan

Stanley,

Pay

Underlying

Reference:

Kimco

Realty

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

327

(32)

—

(

32‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Kroger

Monthly,

Receive

Variable

1.220%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

347

10

—

10‌

Morgan

Stanley,

Pay

Underlying

Reference:

Lockheed

Martin

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

1,346

(51)

—

(

51‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Lumen

Technologies

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

282

(3)

—

(

3‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Materials

Select

Sector

SPDR

Fund

Monthly,

Receive

Variable

0.190%

(SOFR

+

(1.33)%)

Monthly,

1/18/24

310

(26)

—

(

26‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Mettler-Toledo

International

Monthly,

Receive

Variable

1.220%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

451

(74)

—

(

74‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Microchip

Technology

Monthly,

Receive

Variable

1.220%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

668

(69)

—

(

69‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Micron

Technology

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

282

(3)

—

(

3‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

81

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Pay

Underlying

Reference:

Mid-America

Apartment

Monthly,

Receive

Variable

1.220%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

281

(30)

—

(

30‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

ON

Semiconductor

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

268

(51)

—

(

51‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Pfizer

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

727

12

—

12‌

Morgan

Stanley,

Pay

Underlying

Reference:

Pool

Monthly,

Receive

Variable

1.220%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

288

13

—

13‌

Morgan

Stanley,

Pay

Underlying

Reference:

Prudential

Financial

Monthly,

Receive

Variable

1.220%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

267

(22)

—

(

22‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

PTC

Monthly,

Receive

Variable

1.220%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

340

(70)

—

(

70‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Quanta

Services

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

851

(71)

—

(

71‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Ryder

System

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

374

(29)

—

(

29‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

S&P

Global

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

1,363

(106)

—

(

106‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Snap-on

Monthly,

Receive

Variable

1.220%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

503

(66)

—

(

66‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Synchrony

Financial

Monthly,

Receive

Variable

1.220%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

383

(28)

—

(

28‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

82

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Pay

Underlying

Reference:

Tractor

Supply

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

484

36

—

36‌

Morgan

Stanley,

Pay

Underlying

Reference:

Trade

Desk,

Class

A

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

89

(4)

—

(

4‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Truist

Financial

Monthly,

Receive

Variable

1.220%

(1M

USD

LIBOR

+

(0.30)%)

Monthly,

1/18/24

648

(41)

—

(

41‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

Tyson

Foods,

Class

A

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

650

(48)

—

(

48‌

)

Morgan

Stanley,

Pay

Underlying

Reference:

VF

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

455

8

—

8‌

Morgan

Stanley,

Pay

Underlying

Reference:

Vir

Biotechnology

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

110

5

—

5‌

Morgan

Stanley,

Pay

Underlying

Reference:

Werner

Enterprises

Monthly,

Receive

Variable

1.220%

(SOFR

+

(0.30)%)

Monthly,

1/18/24

395

(42)

—

(

42‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

7GC

Monthly,

Pay

Variable

1.989%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

—

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

7GC,

Class

A

Monthly,

Pay

Variable

1.989%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

72

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Activision

Blizzard

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

2,012

65

—

65‌

Morgan

Stanley,

Receive

Underlying

Reference:

Advanced

Micro

Devices

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

853

140

—

140‌

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:

Air

Products

and

Chemicals

Monthly,

Pay

Variable

1.989%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

728

80

—

80‌

Morgan

Stanley,

Receive

Underlying

Reference:

Alleghany

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

1,636

3

—

3‌

Morgan

Stanley,

Receive

Underlying

Reference:

Altaba

Monthly,

Pay

Variable

1.989%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

40

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Amazon.com

Monthly,

Pay

Variable

1.850%

(SOFR

+

0.40%)

Monthly,

1/18/24

80

9

—

9‌

Morgan

Stanley,

Receive

Underlying

Reference:

Amazon.com

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

423

79

—

79‌

Morgan

Stanley,

Receive

Underlying

Reference:

Ameren

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

257

16

—

16‌

Morgan

Stanley,

Receive

Underlying

Reference:

Arista

Networks

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

520

76

—

76‌

Morgan

Stanley,

Receive

Underlying

Reference:

Ball

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

476

49

—

49‌

Morgan

Stanley,

Receive

Underlying

Reference:

Bank

of

America

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

359

17

—

17‌

Morgan

Stanley,

Receive

Underlying

Reference:

Blueprint

Medicines

Monthly,

Pay

Variable

1.920%

(SOFR

+

0.40%)

Monthly,

1/18/24

75

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Blueprint

Medicines

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

99

(5)

—

(

5‌

)

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:

Bright

Horizons

Family

Solutions

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

413

39

—

39‌

Morgan

Stanley,

Receive

Underlying

Reference:

Bright

Horizons

Family

Solutions

Monthly,

Pay

Variable

2.010%

(SOFR

+

0.40%)

Monthly,

1/18/24

25

1

—

1‌

Morgan

Stanley,

Receive

Underlying

Reference:

Bright

Horizons

Family

Solutions

Monthly,

Pay

Variable

2.064%

(SOFR

+

0.40%)

Monthly,

1/18/24

345

11

—

11‌

Morgan

Stanley,

Receive

Underlying

Reference:

Bright

Horizons

Family

Solutions

Monthly,

Pay

Variable

2.098%

(SOFR

+

0.40%)

Monthly,

1/18/24

331

13

—

13‌

Morgan

Stanley,

Receive

Underlying

Reference:

Burlington

Stores

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

291

2

—

2‌

Morgan

Stanley,

Receive

Underlying

Reference:

Carney

Technology

Acquisition,

Class

A

Monthly,

Pay

Variable

1.989%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

128

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Ceridian

HCM

Holding

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

328

33

—

33‌

Morgan

Stanley,

Receive

Underlying

Reference:

CF

Industries

Holdings

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

243

31

—

31‌

Morgan

Stanley,

Receive

Underlying

Reference:

Charles

Schwab

Monthly,

Pay

Variable

1.850%

(SOFR

+

0.40%)

Monthly,

1/18/24

39

4

—

4‌

Morgan

Stanley,

Receive

Underlying

Reference:

Charles

Schwab

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

415

45

—

45‌

Morgan

Stanley,

Receive

Underlying

Reference:

Charles

Schwab

Monthly,

Pay

Variable

2.010%

(SOFR

+

0.40%)

Monthly,

1/18/24

38

4

—

4‌

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:

Charles

Schwab

Monthly,

Pay

Variable

2.064%

(SOFR

+

0.40%)

Monthly,

1/18/24

38

4

—

4‌

Morgan

Stanley,

Receive

Underlying

Reference:

Citigroup

Monthly,

Pay

Variable

1.989%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

961

46

—

46‌

Morgan

Stanley,

Receive

Underlying

Reference:

Confluent,

Class

A

Monthly,

Pay

Variable

1.850%

(SOFR

+

0.40%)

Monthly,

1/18/24

41

1

—

1‌

Morgan

Stanley,

Receive

Underlying

Reference:

Confluent,

Class

A

Monthly,

Pay

Variable

1.920%

(SOFR

+

0.40%)

Monthly,

1/18/24

39

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Confluent,

Class

A

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

485

28

—

28‌

Morgan

Stanley,

Receive

Underlying

Reference:

Confluent,

Class

A

Monthly,

Pay

Variable

2.064%

(SOFR

+

0.40%)

Monthly,

1/18/24

39

(3)

—

(

3‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Constellation

Brands,

Class

A

Monthly,

Pay

Variable

1.989%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

971

6

—

6‌

Morgan

Stanley,

Receive

Underlying

Reference:

Corteva

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

468

50

—

50‌

Morgan

Stanley,

Receive

Underlying

Reference:

Cummins

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

454

57

—

57‌

Morgan

Stanley,

Receive

Underlying

Reference:

Danaher

Monthly,

Pay

Variable

1.989%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

267

37

—

37‌

Morgan

Stanley,

Receive

Underlying

Reference:

Danaher

Monthly,

Pay

Variable

2.010%

(SOFR

+

0.40%)

Monthly,

1/18/24

259

34

—

34‌

Morgan

Stanley,

Receive

Underlying

Reference:

Danaher

Monthly,

Pay

Variable

2.098%

(SOFR

+

0.40%)

Monthly,

1/18/24

621

42

—

42‌

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:

Dominion

Energy

Monthly,

Pay

Variable

1.989%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

336

11

—

11‌

Morgan

Stanley,

Receive

Underlying

Reference:

Elanco

Animal

Health

Monthly,

Pay

Variable

1.850%

(SOFR

+

0.40%)

Monthly,

1/18/24

76

(1)

—

(

1‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Elanco

Animal

Health

Monthly,

Pay

Variable

1.920%

(SOFR

+

0.40%)

Monthly,

1/18/24

38

(1)

—

(

1‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Elanco

Animal

Health

Monthly,

Pay

Variable

2.153%

(SOFR

+

0.40%)

Monthly,

1/18/24

191

(4)

—

(

4‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Elanco

Animal

Health

Monthly,

Pay

Variable

2.265%

(SOFR

+

0.40%)

Monthly,

1/18/24

38

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Eli

Lilly

Monthly,

Pay

Variable

1.989%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

388

(3)

—

(

3‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

EOG

Resources

Monthly,

Pay

Variable

1.989%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

342

49

—

49‌

Morgan

Stanley,

Receive

Underlying

Reference:

Equitrans

Midstream

Monthly,

Pay

Variable

1.920%

(SOFR

+

0.40%)

Monthly,

1/18/24

117

6

—

6‌

Morgan

Stanley,

Receive

Underlying

Reference:

Equitrans

Midstream

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

520

87

—

87‌

Morgan

Stanley,

Receive

Underlying

Reference:

Equity

Distribution

Acquisition,

Class

A

Monthly,

Pay

Variable

1.989%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

147

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Estee

Lauder,

Class

A

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

477

53

—

53‌

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:

Extra

Space

Storage

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

499

58

—

58‌

Morgan

Stanley,

Receive

Underlying

Reference:

EZCORP,

Class

A

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

468

44

—

44‌

Morgan

Stanley,

Receive

Underlying

Reference:

FedEx

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

483

33

—

33‌

Morgan

Stanley,

Receive

Underlying

Reference:

Fifth

Third

Bancorp

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

285

3

—

3‌

Morgan

Stanley,

Receive

Underlying

Reference:

FirstCash

Holdings

Monthly,

Pay

Variable

1.850%

(SOFR

+

0.40%)

Monthly,

1/18/24

38

5

—

5‌

Morgan

Stanley,

Receive

Underlying

Reference:

FirstCash

Holdings

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

484

59

—

59‌

Morgan

Stanley,

Receive

Underlying

Reference:

Fiserv

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

654

80

—

80‌

Morgan

Stanley,

Receive

Underlying

Reference:

Fiserv

Monthly,

Pay

Variable

2.098%

(SOFR

+

0.40%)

Monthly,

1/18/24

362

22

—

22‌

Morgan

Stanley,

Receive

Underlying

Reference:

FleetCor

Technologies

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

295

14

—

14‌

Morgan

Stanley,

Receive

Underlying

Reference:

FMC

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

792

79

—

79‌

Morgan

Stanley,

Receive

Underlying

Reference:

Freshpet

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

369

53

—

53‌

Morgan

Stanley,

Receive

Underlying

Reference:

Freshpet

Monthly,

Pay

Variable

2.064%

(SOFR

+

0.40%)

Monthly,

1/18/24

37

2

—

2‌

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:

General

Electric

Monthly,

Pay

Variable

1.850%

(SOFR

+

0.40%)

Monthly,

1/18/24

38

2

—

2‌

Morgan

Stanley,

Receive

Underlying

Reference:

General

Electric

Monthly,

Pay

Variable

1.920%

(SOFR

+

0.40%)

Monthly,

1/18/24

39

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

General

Electric

Monthly,

Pay

Variable

1.989%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

826

144

—

144‌

Morgan

Stanley,

Receive

Underlying

Reference:

General

Electric

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

287

51

—

51‌

Morgan

Stanley,

Receive

Underlying

Reference:

Global

Payments

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

243

16

—

16‌

Morgan

Stanley,

Receive

Underlying

Reference:

Goldman

Sachs

Group

Monthly,

Pay

Variable

1.989%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

471

63

—

63‌

Morgan

Stanley,

Receive

Underlying

Reference:

Hess

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

740

133

—

133‌

Morgan

Stanley,

Receive

Underlying

Reference:

Inari

Medical

Monthly,

Pay

Variable

1.920%

(SOFR

+

0.40%)

Monthly,

1/18/24

23

1

—

1‌

Morgan

Stanley,

Receive

Underlying

Reference:

Inari

Medical

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

476

24

—

24‌

Morgan

Stanley,

Receive

Underlying

Reference:

Ingersoll

Rand

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

235

50

—

50‌

Morgan

Stanley,

Receive

Underlying

Reference:

Intuit

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

893

143

—

143‌

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:

Intuitive

Surgical

Monthly,

Pay

Variable

1.850%

(SOFR

+

0.40%)

Monthly,

1/18/24

40

1

—

1‌

Morgan

Stanley,

Receive

Underlying

Reference:

Intuitive

Surgical

Monthly,

Pay

Variable

1.920%

(SOFR

+

0.40%)

Monthly,

1/18/24

76

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Intuitive

Surgical

Monthly,

Pay

Variable

1.989%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

343

31

—

31‌

Morgan

Stanley,

Receive

Underlying

Reference:

Intuitive

Surgical

Monthly,

Pay

Variable

2.098%

(SOFR

+

0.40%)

Monthly,

1/18/24

147

10

—

10‌

Morgan

Stanley,

Receive

Underlying

Reference:

Intuitive

Surgical

Monthly,

Pay

Variable

2.265%

(SOFR

+

0.40%)

Monthly,

1/18/24

37

3

—

3‌

Morgan

Stanley,

Receive

Underlying

Reference:

JB

Hunt

Transport

Services

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

445

41

—

41‌

Morgan

Stanley,

Receive

Underlying

Reference:

Kymera

Therapeutics

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

193

(10)

—

(

10‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Kymera

Therapeutics

Monthly,

Pay

Variable

2.010%

(SOFR

+

0.40%)

Monthly,

1/18/24

39

(3)

—

(

3‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Mandiant

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

387

10

—

10‌

Morgan

Stanley,

Receive

Underlying

Reference:

Marvell

Technology

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

609

94

—

94‌

Morgan

Stanley,

Receive

Underlying

Reference:

Match

Group

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

303

37

—

37‌

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:

MercadoLibre

Monthly,

Pay

Variable

1.989%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

206

37

—

37‌

Morgan

Stanley,

Receive

Underlying

Reference:

MGM

Resorts

International

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

416

49

—

49‌

Morgan

Stanley,

Receive

Underlying

Reference:

Moderna

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

629

(11)

—

(

11‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Moderna

Monthly,

Pay

Variable

1.994%

(SOFR

+

0.40%)

Monthly,

1/18/24

95

(2)

—

(

2‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

MongoDB

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

443

56

—

56‌

Morgan

Stanley,

Receive

Underlying

Reference:

Monolithic

Power

Systems

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

507

67

—

67‌

Morgan

Stanley,

Receive

Underlying

Reference:

News,

Class

A

Monthly,

Pay

Variable

1.989%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

110

10

—

10‌

Morgan

Stanley,

Receive

Underlying

Reference:

News,

Class

A

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

1,078

95

—

95‌

Morgan

Stanley,

Receive

Underlying

Reference:

NextEra

Energy

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

150

11

—

11‌

Morgan

Stanley,

Receive

Underlying

Reference:

NVIDIA

Monthly,

Pay

Variable

1.989%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

162

25

—

25‌

Morgan

Stanley,

Receive

Underlying

Reference:

NVIDIA

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

430

65

—

65‌

Morgan

Stanley,

Receive

Underlying

Reference:

O'Reilly

Automotive

Monthly,

Pay

Variable

1.989%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

358

10

—

10‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

91

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

PACCAR

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

458

65

—

65‌

Morgan

Stanley,

Receive

Underlying

Reference:

PayPal

Holdings

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

385

65

—

65‌

Morgan

Stanley,

Receive

Underlying

Reference:

Philip

Morris

International

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

636

49

—

49‌

Morgan

Stanley,

Receive

Underlying

Reference:

PMV,

Class

A

Monthly,

Pay

Variable

1.989%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

147

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

PropTech

Investment,

Class

A

Monthly,

Pay

Variable

1.989%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

95

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Public

Storage

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

276

23

—

23‌

Morgan

Stanley,

Receive

Underlying

Reference:

QUALCOMM

Monthly,

Pay

Variable

1.989%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

398

1

—

1‌

Morgan

Stanley,

Receive

Underlying

Reference:

RAPT

Therapeutics

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

188

(22)

—

(

22‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

ResMed

Monthly,

Pay

Variable

1.989%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

372

24

—

24‌

Morgan

Stanley,

Receive

Underlying

Reference:

Rexford

Industrial

Realty

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

256

25

—

25‌

Morgan

Stanley,

Receive

Underlying

Reference:

Rivian

Automotive,

Class

A

Monthly,

Pay

Variable

1.994%

(SOFR

+

0.40%)

Monthly,

1/18/24

572

22

—

22‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

92

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

Ross

Stores

Monthly,

Pay

Variable

1.989%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

207

8

—

8‌

Morgan

Stanley,

Receive

Underlying

Reference:

Ross

Stores

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

557

23

—

23‌

Morgan

Stanley,

Receive

Underlying

Reference:

Salesforce

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

580

57

—

57‌

Morgan

Stanley,

Receive

Underlying

Reference:

SBA

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

1,090

50

—

50‌

Morgan

Stanley,

Receive

Underlying

Reference:

Senior

Connect

Acquisition,

Class

A

Monthly,

Pay

Variable

1.989%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

146

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Southwest

Airlines

Monthly,

Pay

Variable

1.920%

(SOFR

+

0.40%)

Monthly,

1/18/24

38

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Southwest

Airlines

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

181

(7)

—

(

7‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

State

Street

Monthly,

Pay

Variable

1.989%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

562

45

—

45‌

Morgan

Stanley,

Receive

Underlying

Reference:

Strategic

Education

Monthly,

Pay

Variable

1.850%

(SOFR

+

0.40%)

Monthly,

1/18/24

119

(1)

—

(

1‌

)

Morgan

Stanley,

Receive

Underlying

Reference:

Strategic

Education

Monthly,

Pay

Variable

1.920%

(SOFR

+

0.40%)

Monthly,

1/18/24

76

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Strategic

Education

Monthly,

Pay

Variable

2.010%

(SOFR

+

0.40%)

Monthly,

1/18/24

117

1

—

1‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

93

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

Strategic

Education

Monthly,

Pay

Variable

2.064%

(SOFR

+

0.40%)

Monthly,

1/18/24

264

5

—

5‌

Morgan

Stanley,

Receive

Underlying

Reference:

Strategic

Education

Monthly,

Pay

Variable

2.265%

(SOFR

+

0.40%)

Monthly,

1/18/24

77

2

—

2‌

Morgan

Stanley,

Receive

Underlying

Reference:

Textron

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

516

47

—

47‌

Morgan

Stanley,

Receive

Underlying

Reference:

Turning

Point

Therapeutics

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

540

2

—

2‌

Morgan

Stanley,

Receive

Underlying

Reference:

Veeva

Systems,

Class

A

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

363

36

—

36‌

Morgan

Stanley,

Receive

Underlying

Reference:

Verisk

Analytics

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

300

19

—

19‌

Morgan

Stanley,

Receive

Underlying

Reference:

Vulcan

Materials

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

257

29

—

29‌

Morgan

Stanley,

Receive

Underlying

Reference:

Walt

Disney

Monthly,

Pay

Variable

2.001%

(SOFR

+

0.40%)

Monthly,

1/18/24

1,064

75

—

75‌

Morgan

Stanley,

Receive

Underlying

Reference:

Walt

Disney

Monthly,

Pay

Variable

2.010%

(SOFR

+

0.40%)

Monthly,

1/18/24

468

11

—

11‌

Morgan

Stanley,

Receive

Underlying

Reference:

Wells

Fargo

Monthly,

Pay

Variable

1.989%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

262

17

—

17‌

Morgan

Stanley,

Receive

Underlying

Reference:

Western

Digital

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

484

17

—

17‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

94

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Receive

Underlying

Reference:

Zimmer

Biomet

Holdings

Monthly,

Pay

Variable

2.098%

(SOFR

+

0.40%)

Monthly,

1/18/24

284

9

—

9‌

Morgan

Stanley,

Receive

Underlying

Reference:

Zoetis

Monthly,

Pay

Variable

1.989%

(SOFR

+

0.40%)

Monthly,

1/18/24

587

28

—

28‌

Total

United

States

(39)

379‌

Virgin

Islands

(British)

(0.0)%

Bank

of

America,

Receive

Underlying

Reference:

Biohaven

Pharmaceutical

Holding

Monthly,

Pay

Variable

1.889%

(SOFR

+

0.30%)

Monthly,

1/18/24

379

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Biohaven

Pharmaceutical

Holding

Monthly,

Pay

Variable

2.098%

(SOFR

+

0.40%)

Monthly,

1/18/24

573

—

—

—‌

Morgan

Stanley,

Receive

Underlying

Reference:

Eucrates

Biomedical

Acquisition

Monthly,

Pay

Variable

1.989%

(1M

USD

LIBOR

+

0.40%)

Monthly,

1/18/24

39

—

—

—‌

Total

Virgin

Islands

(British)

—

—‌

Total

Bilateral

Total

Return

Swaps

(39)

1,155‌

Interest

Rate

Swaps

(0.0)%

Brazil

(0.0)%

Goldman

Sachs,

4

Year

Interest

Rate

Swap,

Pay

Fixed

12.890%

at

Maturity,

Receive

Variable

13.15%,

(BRL

CDI)

at

Maturity,

1/4/27

3,830

(7)

—

(

7‌

)

Morgan

Stanley,

5

Year

Interest

Rate

Swap,

Pay

Fixed

12.449%

at

Maturity,

Receive

Variable

13.15%,

(BRL

CDI)

at

Maturity,

1/4/27

12,200

3

—

3‌

Total

Brazil

—

(

4‌

)

Total

Bilateral

Interest

Rate

Swaps

—

(

4‌

)

Total

Bilateral

Swaps

(252)

1,681‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

95

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Initial

$

Value

**

Unrealized

$

Gain/(Loss)

CENTRALLY

CLEARED

SWAPS

(0.1)%

Credit

Default

Swaps,

Protection

Bought

(0.1)%

Foreign/Europe

(0.0)%

Protection

Bought

(Relevant

Credit:

Markit

iTraxx

Crossover-S37,

5

Year

Index),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

6/20/27

3,775

(8)

(168)

160‌

Total

Foreign/Europe

160‌

Luxembourg

(0.0)%

Protection

Bought

(Relevant

Credit:

Glencore

Finance

Europe),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/20/26

230

(29)

(50)

21‌

Total

Luxembourg

21‌

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

31

25

6‌

Total

South

Africa

6‌

United

States

(0.1)%

Protection

Bought

(Relevant

Credit:

Apache),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

6/20/27

909

48

46

2‌

Protection

Bought

(Relevant

Credit:

Bausch

Health

Cos),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

6/20/26

495

199

(19)

218‌

Protection

Bought

(Relevant

Credit:

CHS/

Community

Health

Systems),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

6/20/26

290

122

10

112‌

Protection

Bought

(Relevant

Credit:

CHS/

Community

Health

Systems),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/20/26

55

24

3

21‌

Protection

Bought

(Relevant

Credit:

ConocoPhillips),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

6/20/27

800

(16)

(13)

(

3‌

)

Protection

Bought

(Relevant

Credit:

Delta

Air

Lines),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

6/20/27

420

(7)

(10)

3‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

96

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Initial

$

Value**

Unrealized

$

Gain/(Loss)

Protection

Bought

(Relevant

Credit:

iStar),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

6/20/26

675

(63)

(84)

21‌

Protection

Bought

(Relevant

Credit:

Macy's),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

12/20/26

260

38

25

13‌

Protection

Bought

(Relevant

Credit:

Markit

CDX.EM-S37,

5

Year

Index),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

6/21/27

1,110

104

107

(

3‌

)

Protection

Bought

(Relevant

Credit:

Markit

CDX.NA.HY-S38,

5

Year

Index),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

6/21/27

26,192

(451)

(71)

(

380‌

)

Protection

Bought

(Relevant

Credit:

Markit

CDX.NA.IG-S38,

5

Year

Index),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

6/21/27

8,908

(88)

(82)

(

6‌

)

Protection

Bought

(Relevant

Credit:

Marriott

International),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

12/20/26

1,995

(19)

(2)

(

17‌

)

Protection

Bought

(Relevant

Credit:

Occidental

Petroleum),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

6/21/27

320

8

17

(

9‌

)

Protection

Bought

(Relevant

Credit:

Quest

Diagnostics),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

6/20/26

220

(5)

(5)

—‌

Protection

Bought

(Relevant

Credit:

Raytheon

Technologies),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

6/20/26

220

(5)

(6)

1‌

Protection

Bought

(Relevant

Credit:

Realogy

Group),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

12/20/26

860

56

(37)

93‌

Protection

Bought

(Relevant

Credit:

Xerox),

Pay

1.00%

Quarterly,

Receive

upon

credit

default,

12/20/26

201

23

17

6‌

Total

United

States

72‌

Total

Centrally

Cleared

Credit

Default

Swaps,

Protection

Bought

259‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

97

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Initial

$

Value**

Unrealized

$

Gain/(Loss)

Credit

Default

Swaps,

Protection

Sold

(0.1)%

Luxembourg

0.0%

Protection

Sold

(Relevant

Credit:

ArcelorMittal,

Baa3*),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

6/21/27

25

3

2

1‌

Total

Luxembourg

1‌

United

States

(0.1)%

Protection

Sold

(Relevant

Credit:

DISH

DBS,

B3*),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

6/21/27

247

(57)

(43)

(

14‌

)

Protection

Sold

(Relevant

Credit:

FedEx,

Baa2*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

6/21/27

305

5

4

1‌

Protection

Sold

(Relevant

Credit:

Goodyear

Tire

&

Rubber,

B2*),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

6/21/27

1,250

19

45

(

26‌

)

Protection

Sold

(Relevant

Credit:

Macy's,

Ba2*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

6/21/27

2,005

(332)

(206)

(

126‌

)

Protection

Sold

(Relevant

Credit:

Markit

CDX.NA.HY-S38,

5

Year

Index),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

6/21/27

1,400

24

(10)

34‌

Protection

Sold

(Relevant

Credit:

Murphy

Oil,

Ba2*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

12/20/22

235

(3)

(6)

3‌

Total

United

States

(

128‌

)

Total

Centrally

Cleared

Credit

Default

Swaps,

Protection

Sold

(

127‌

)

Interest

Rate

Swaps

0.1%

Canada

(0.0)%

5

Year

Interest

Rate

Swap,

Pay

Fixed

2.373%

Semi-Annually,

Receive

Variable

2.295%

(3M

CAD

CDOR)

Semi-Annually,

3/15/27

1,500

26

—

26‌

5

Year

Interest

Rate

Swap,

Pay

Fixed

3.493%

Semi-Annually,

Receive

Variable

3.035%

(3M

CAD

CDOR)

Semi-Annually,

7/14/27

505

(8)

1

(

9‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

98

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Initial

$

Value**

Unrealized

$

Gain/(Loss)

5

Year

Interest

Rate

Swap,

Pay

Fixed

3.496%

Semi-Annually,

Receive

Variable

3.035%

(3M

CAD

CDOR)

Semi-Annually,

7/14/27

505

(10)

—

(

10‌

)

5

Year

Interest

Rate

Swap,

Pay

Fixed

3.510%

Semi-Annually,

Receive

Variable

3.035%

(3M

CAD

CDOR)

Semi-Annually,

7/14/27

491

(10)

—

(

10‌

)

Total

Canada

(

3‌

)

China

0.0%

5

Year

Interest

Rate

Swap,

Receive

Fixed

2.432%

Quarterly,

Pay

Variable

1.550%

(7

Day

Interbank

Repo)

Quarterly,

8/9/26

30,500

19

—

19‌

5

Year

Interest

Rate

Swap,

Receive

Fixed

2.553%

Quarterly,

Pay

Variable

1.700%

(7

Day

Interbank

Repo)

Quarterly,

7/14/27

3,550

4

1

3‌

Total

China

22‌

Hong

Kong

(0.1)%

5

Year

Interest

Rate

Swap,

Receive

Fixed

0.700%

Quarterly,

Pay

Variable

0.749%

(3M

HKD

HIBOR)

Quarterly,

8/6/26

11,000

(111)

—

(

111‌

)

Total

Hong

Kong

(

111‌

)

India

(0.0)%

2

Year

Interest

Rate

Swap,

Receive

Fixed

6.590%

Semi-Annually,

Pay

Variable

5.250%

(1

Day

INR

MIBOR)

Semi-Annually,

5/30/24

45,000

3

—

3‌

2

Year

Interest

Rate

Swap,

Receive

Fixed

6.870%

at

Maturity,

Pay

Variable

5.250%

(1

Day

INR

MIBOR)

at

Maturity,

6/24/24

44,500

7

—

7‌

5

Year

Interest

Rate

Swap,

Pay

Fixed

6.835%

Semi-Annually,

Receive

Variable

5.250%

(1

Day

INR

MIBOR)

Semi-Annually,

5/31/27

45,000

(13)

—

(

13‌

)

5

Year

Interest

Rate

Swap,

Pay

Fixed

7.068%

at

Maturity,

Receive

Variable

5.250%

(1

Day

INR

MIBOR)

at

Maturity,

6/22/27

44,500

(18)

—

(

18‌

)

Total

India

(

21‌

)

Mexico

(0.0)%

5

Year

Interest

Rate

Swap,

Receive

Fixed

7.176%

28

Days,

Pay

Variable

8.032%

(MXIBTIIE)

28

Days,

11/16/26

18,060

(36)

—

(

36‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

99

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Initial

$

Value**

Unrealized

$

Gain/(Loss)

5

Year

Interest

Rate

Swap,

Receive

Fixed

7.260%

28

Days,

Pay

Variable

8.075%

(MXIBTIIE)

28

Days,

11/13/26

6,845

(13)

—

(

13‌

)

5

Year

Interest

Rate

Swap,

Receive

Fixed

7.295%

28

Days,

Pay

Variable

8.060%

(MXIBTIIE)

28

Days,

11/12/26

18,260

(31)

1

(

32‌

)

5

Year

Interest

Rate

Swap,

Receive

Fixed

7.345%

28

Days,

Pay

Variable

8.050%

(MXIBTIIE)

28

Days,

11/11/26

11,135

(19)

—

(

19‌

)

Total

Mexico

(

100‌

)

United

Kingdom

0.2%

30

Year

Interest

Rate

Swap,

Pay

Fixed

0.912%

Annually,

Receive

Variable

0.133%

(GBP

SONIA)

Annually,

9/27/51

1,020

291

—

291‌

30

Year

Interest

Rate

Swap,

Pay

Fixed

1.442%

Annually,

Receive

Variable

0.162%

(GBP

SONIA)

Annually,

3/18/52

218

32

—

32‌

30

Year

Interest

Rate

Swap,

Pay

Fixed

1.467%

Annually,

Receive

Variable

0.162%

(GBP

SONIA)

Annually,

3/18/52

219

30

—

30‌

50

Year

Interest

Rate

Swap,

Pay

Fixed

0.742%

Annually,

Receive

Variable

0.133%

(GBP

SONIA)

Annually,

9/27/71

105

45

1

44‌

Total

United

Kingdom

397‌

United

States

(0.0)%

5

Year

Interest

Rate

Swap,

Receive

Fixed

2.429%

Annually,

Pay

Variable

2.270%

(SOFR)

Annually,

8/2/27

8,670

(8)

—

(

8‌

)

7

Year

Interest

Rate

Swap,

Pay

Fixed

2.792%

Annually,

Receive

Variable

2.270%

(SOFR)

Annually,

7/11/29

1,600

(39)

1

(

40‌

)

30

Year

Interest

Rate

Swap,

Pay

Fixed

2.443%

Annually,

Receive

Variable

2.270%

(SOFR)

Annually,

8/1/52

1,910

12

—

12‌

Total

United

States

(

36‌

)

Total

Centrally

Cleared

Interest

Rate

Swaps

148‌

Zero-Coupon

Inflation

Swaps

(0.0)%

United

States

(0.0)%

1

Year

Zero-Coupon

Inflation

Swap

Pay

Fixed

5.350%

at

Maturity,

Receive

Variable

(Change

in

CPI)

at

Maturity,

6/7/23

11,910

(46)

—

(

46‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

100

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Initial

$

Value**

Unrealized

$

Gain/(Loss)

5

Year

Zero-Coupon

Inflation

Swap

Receive

Fixed

3.315%

at

Maturity,

Pay

Variable

(Change

in

CPI)

at

Maturity,

6/7/27

4,000

13

—

13‌

10

Year

Zero-Coupon

Inflation

Swap

Receive

Fixed

2.609%

at

Maturity,

Pay

Variable

(Change

in

CPI)

at

Maturity,

2/10/32

530

(30)

—

(

30‌

)

10

Year

Zero-Coupon

Inflation

Swap

Receive

Fixed

3.098%

at

Maturity,

Pay

Variable

(Change

in

CPI)

at

Maturity,

3/10/32

515

(1)

1

(

2‌

)

Total

United

States

(

65‌

)

Total

Centrally

Cleared

Zero-Coupon

Inflation

Swaps

(

65‌

)

Total

Centrally

Cleared

Swaps

215‌

Net

payments

(receipts)

of

variation

margin

to

date

(

349‌

)

Variation

margin

receivable

(payable)

on

centrally

cleared

swaps

$

(

134‌

)

*

Credit

ratings

as

of

July

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

$(46).

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

101

(Amounts

in

000s)

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

Counterparty

Settlement

Receive

Deliver

Unrealized

Gain/(Loss)

Bank

of

America

8/19/22

EUR

104‌

USD

110‌

$

(

3‌

)

Bank

of

America

8/19/22

USD

412‌

SEK

4,150‌

3‌

Bank

of

America

9/9/22

USD

536‌

PHP

28,475‌

23‌

Bank

of

America

10/14/22

RON

739‌

USD

150‌

2‌

Barclays

Bank

8/5/22

INR

64,606‌

USD

813‌

1‌

Barclays

Bank

8/19/22

GBP

500‌

USD

607‌

2‌

Barclays

Bank

8/19/22

SEK

6,235‌

USD

634‌

(

20‌

)

Barclays

Bank

8/19/22

USD

3,093‌

EUR

2,960‌

63‌

Barclays

Bank

8/30/22

INR

484,514‌

USD

6,041‌

50‌

Barclays

Bank

8/30/22

USD

398‌

INR

31,917‌

(

3‌

)

Barclays

Bank

9/9/22

USD

511‌

PHP

27,359‌

18‌

Barclays

Bank

10/7/22

CLP

99,496‌

USD

107‌

2‌

Barclays

Bank

10/7/22

TWD

24,733‌

USD

830‌

(

3‌

)

Barclays

Bank

10/7/22

USD

1,342‌

KRW

1,731,718‌

12‌

Barclays

Bank

10/7/22

USD

1,295‌

TWD

37,854‌

29‌

BNP

Paribas

8/12/22

PLN

1,087‌

USD

230‌

3‌

BNP

Paribas

8/19/22

EUR

121‌

USD

123‌

1‌

BNP

Paribas

8/19/22

EUR

1,206‌

USD

1,284‌

(

49‌

)

BNP

Paribas

8/19/22

GBP

57‌

USD

68‌

1‌

BNP

Paribas

8/19/22

GBP

423‌

USD

528‌

(

13‌

)

BNP

Paribas

8/19/22

SEK

652‌

USD

65‌

(

1‌

)

BNP

Paribas

8/19/22

USD

2,282‌

EUR

2,179‌

52‌

BNP

Paribas

8/19/22

USD

2,503‌

EUR

2,489‌

(

45‌

)

BNP

Paribas

8/19/22

USD

712‌

GBP

578‌

8‌

BNP

Paribas

8/19/22

USD

400‌

GBP

330‌

(

2‌

)

BNP

Paribas

9/9/22

CLP

196,415‌

USD

194‌

23‌

BNP

Paribas

9/9/22

THB

20,235‌

USD

590‌

(

39‌

)

BNP

Paribas

9/9/22

USD

1,483‌

CLP

1,230,220‌

128‌

BNP

Paribas

9/9/22

USD

105‌

MYR

462‌

2‌

BNP

Paribas

9/9/22

USD

372‌

THB

12,726‌

25‌

BNP

Paribas

9/23/22

USD

819‌

SEK

8,275‌

3‌

BNP

Paribas

10/7/22

CLP

297,215‌

USD

316‌

9‌

BNP

Paribas

10/7/22

USD

496‌

CLP

497,481‌

(

49‌

)

BNP

Paribas

10/14/22

USD

819‌

ZAR

13,512‌

13‌

BNP

Paribas

10/20/22

USD

136‌

ILS

471‌

(

3‌

)

BNP

Paribas

10/21/22

AUD

803‌

USD

551‌

11‌

BNP

Paribas

10/21/22

USD

65‌

NZD

103‌

—‌

Citibank

8/19/22

EUR

156‌

USD

167‌

(

8‌

)

Citibank

8/19/22

SEK

2,269‌

USD

230‌

(

6‌

)

Citibank

9/2/22

USD

881‌

BRL

4,385‌

42‌

Citibank

9/2/22

USD

365‌

BRL

2,007‌

(

19‌

)

Citibank

9/21/22

RSD

3,006‌

USD

26‌

—‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

102

(Amounts

in

000s)

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

(CONTINUED)

Counterparty

Settlement

Receive

Deliver

Unrealized

Gain/(Loss)

Citibank

10/7/22

USD

463‌

INR

36,519‌

$

5‌

Citibank

10/14/22

HUF

247,642‌

USD

602‌

13‌

Citibank

10/14/22

USD

10‌

HUF

4,293‌

—‌

Citibank

10/14/22

USD

425‌

RON

2,100‌

(

5‌

)

Citibank

10/20/22

USD

4,761‌

ILS

16,715‌

(

183‌

)

Deutsche

Bank

8/19/22

EUR

203‌

USD

219‌

(

11‌

)

Deutsche

Bank

8/31/22

USD

2,995‌

EUR

2,946‌

(

23‌

)

Deutsche

Bank

9/9/22

CLP

175,725‌

USD

181‌

13‌

Deutsche

Bank

9/9/22

USD

109‌

MYR

476‌

2‌

Deutsche

Bank

9/9/22

USD

560‌

THB

19,088‌

40‌

Deutsche

Bank

10/14/22

MXN

11,608‌

USD

552‌

9‌

Deutsche

Bank

10/20/22

USD

280‌

ILS

957‌

(

4‌

)

Deutsche

Bank

10/21/22

CAD

520‌

USD

404‌

2‌

Goldman

Sachs

8/2/22

BRL

14,128‌

USD

2,723‌

4‌

Goldman

Sachs

8/2/22

USD

2,625‌

BRL

14,128‌

(

102‌

)

Goldman

Sachs

8/5/22

USD

815‌

INR

64,606‌

—‌

Goldman

Sachs

8/19/22

EUR

422‌

USD

448‌

(

16‌

)

Goldman

Sachs

8/19/22

USD

223‌

EUR

218‌

(

1‌

)

Goldman

Sachs

8/19/22

USD

501‌

GBP

425‌

(

16‌

)

Goldman

Sachs

8/31/22

USD

388‌

PHP

21,798‌

(

5‌

)

Goldman

Sachs

9/2/22

BRL

15,848‌

USD

2,929‌

103‌

Goldman

Sachs

9/2/22

BRL

6,090‌

USD

1,239‌

(

74‌

)

Goldman

Sachs

9/2/22

USD

1,274‌

BRL

6,425‌

46‌

Goldman

Sachs

9/9/22

CLP

174,135‌

USD

188‌

4‌

Goldman

Sachs

9/9/22

CLP

189,280‌

USD

209‌

(

1‌

)

Goldman

Sachs

9/9/22

USD

250‌

THB

8,590‌

16‌

Goldman

Sachs

10/7/22

USD

511‌

INR

40,535‌

3‌

Goldman

Sachs

10/7/22

USD

1,488‌

TWD

43,584‌

31‌

HSBC

Bank

8/19/22

EUR

375‌

USD

378‌

6‌

HSBC

Bank

9/2/22

USD

1,013‌

BRL

5,123‌

33‌

HSBC

Bank

9/2/22

USD

935‌

BRL

5,151‌

(

50‌

)

HSBC

Bank

9/9/22

MYR

33‌

USD

8‌

—‌

HSBC

Bank

9/9/22

PHP

31,551‌

USD

582‌

(

14‌

)

HSBC

Bank

9/9/22

THB

15,351‌

USD

424‌

(

6‌

)

HSBC

Bank

9/9/22

USD

584‌

THB

20,595‌

23‌

HSBC

Bank

9/23/22

SEK

2,005‌

USD

198‌

(

1‌

)

HSBC

Bank

10/14/22

USD

802‌

CNH

5,430‌

(

3‌

)

HSBC

Bank

10/14/22

USD

235‌

ZAR

4,053‌

(

6‌

)

HSBC

Bank

10/20/22

ILS

1,893‌

USD

555‌

5‌

JPMorgan

Chase

8/19/22

EUR

35‌

USD

37‌

(

1‌

)

JPMorgan

Chase

8/19/22

GBP

175‌

USD

210‌

3‌

JPMorgan

Chase

8/19/22

USD

269‌

EUR

251‌

12‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

103

(Amounts

in

000s)

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

(CONTINUED)

Counterparty

Settlement

Receive

Deliver

Unrealized

Gain/(Loss)

JPMorgan

Chase

8/19/22

USD

324‌

EUR

318‌

$

(

2‌

)

JPMorgan

Chase

8/19/22

USD

133‌

GBP

108‌

2‌

JPMorgan

Chase

8/31/22

MXN

35,200‌

USD

1,707‌

9‌

JPMorgan

Chase

9/2/22

USD

78‌

BRL

390‌

4‌

JPMorgan

Chase

10/14/22

USD

258‌

ZAR

4,433‌

(

7‌

)

JPMorgan

Chase

10/14/22

ZAR

211‌

USD

12‌

—‌

JPMorgan

Chase

10/20/22

USD

278‌

ILS

952‌

(

4‌

)

JPMorgan

Chase

10/21/22

CAD

515‌

USD

400‌

2‌

JPMorgan

Chase

10/21/22

USD

560‌

AUD

823‌

(

16‌

)

JPMorgan

Chase

10/21/22

USD

1,605‌

CAD

2,105‌

(

38‌

)

Morgan

Stanley

8/2/22

BRL

14,128‌

USD

2,680‌

47‌

Morgan

Stanley

8/2/22

USD

2,723‌

BRL

14,128‌

(

4‌

)

Morgan

Stanley

8/19/22

GBP

165‌

USD

194‌

7‌

Morgan

Stanley

8/19/22

GBP

68‌

USD

84‌

(

1‌

)

Morgan

Stanley

8/19/22

USD

4,005‌

GBP

3,278‌

10‌

Morgan

Stanley

9/2/22

USD

372‌

BRL

1,900‌

9‌

Morgan

Stanley

9/9/22

USD

201‌

CLP

178,530‌

4‌

Morgan

Stanley

9/9/22

USD

249‌

COP

1,149,532‌

(

17‌

)

Morgan

Stanley

9/16/22

SGD

1,026‌

USD

739‌

4‌

Morgan

Stanley

9/23/22

SEK

2,600‌

USD

256‌

—‌

Morgan

Stanley

10/14/22

CNH

3,716‌

USD

551‌

—‌

Morgan

Stanley

10/14/22

USD

553‌

CNH

3,716‌

2‌

Morgan

Stanley

10/20/22

ILS

1,925‌

USD

555‌

14‌

Morgan

Stanley

10/20/22

USD

274‌

ILS

936‌

(

3‌

)

Morgan

Stanley

10/21/22

CHF

917‌

USD

948‌

22‌

Morgan

Stanley

10/21/22

USD

1,670‌

NZD

2,707‌

(

31‌

)

RBC

Dominion

Securities

8/19/22

USD

251‌

EUR

238‌

7‌

RBC

Dominion

Securities

8/19/22

USD

207‌

SEK

2,085‌

1‌

RBC

Dominion

Securities

10/21/22

AUD

823‌

USD

562‌

14‌

Standard

Chartered

8/19/22

GBP

320‌

USD

385‌

5‌

Standard

Chartered

8/19/22

USD

395‌

GBP

325‌

(

1‌

)

Standard

Chartered

8/31/22

USD

387‌

KRW

506,577‌

(

2‌

)

Standard

Chartered

8/31/22

USD

889‌

TWD

26,518‌

4‌

Standard

Chartered

9/2/22

BRL

1,795‌

USD

335‌

8‌

Standard

Chartered

9/9/22

USD

112‌

MYR

490‌

2‌

Standard

Chartered

9/16/22

USD

735‌

SGD

1,026‌

(

8‌

)

Standard

Chartered

10/7/22

IDR

12,159,125‌

USD

816‌

2‌

Standard

Chartered

10/7/22

USD

263‌

KRW

344,277‌

(

2‌

)

Standard

Chartered

10/14/22

USD

548‌

CNH

3,693‌

—‌

Standard

Chartered

10/14/22

ZAR

9,730‌

USD

575‌

6‌

Standard

Chartered

10/21/22

NZD

715‌

USD

442‌

8‌

State

Street

8/12/22

PLN

1,296‌

USD

290‌

(

11‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

104

(Amounts

in

000s)

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

(CONTINUED)

Counterparty

Settlement

Receive

Deliver

Unrealized

Gain/(Loss)

State

Street

8/19/22

GBP

33‌

USD

40‌

$

—‌

State

Street

8/19/22

SEK

107‌

USD

11‌

—‌

State

Street

8/19/22

USD

2,359‌

EUR

2,229‌

78‌

State

Street

8/19/22

USD

335‌

SEK

3,352‌

5‌

State

Street

8/31/22

USD

2,097‌

CHF

2,020‌

(

30‌

)

State

Street

9/2/22

BRL

1,933‌

USD

355‌

15‌

State

Street

9/9/22

USD

39‌

CLP

38,111‌

(

3‌

)

State

Street

9/23/22

SEK

7,995‌

USD

786‌

2‌

State

Street

10/7/22

CLP

49,111‌

USD

53‌

1‌

State

Street

10/14/22

CZK

31,612‌

USD

1,273‌

26‌

State

Street

10/14/22

USD

50‌

MXN

1,067‌

(

1‌

)

State

Street

10/14/22

ZAR

4,380‌

USD

258‌

4‌

State

Street

10/20/22

ILS

1,490‌

USD

436‌

4‌

State

Street

10/20/22

USD

30‌

ILS

103‌

(

1‌

)

State

Street

10/21/22

CAD

933‌

USD

717‌

11‌

State

Street

10/21/22

USD

227‌

CAD

298‌

(

6‌

)

UBS

Investment

Bank

8/12/22

PLN

3,650‌

USD

845‌

(

60‌

)

UBS

Investment

Bank

8/19/22

EUR

544‌

USD

570‌

(

13‌

)

UBS

Investment

Bank

8/19/22

USD

1,859‌

EUR

1,766‌

51‌

UBS

Investment

Bank

8/19/22

USD

109‌

SEK

1,089‌

2‌

UBS

Investment

Bank

9/9/22

CLP

172,885‌

USD

188‌

3‌

UBS

Investment

Bank

9/9/22

USD

827‌

CLP

729,910‌

23‌

UBS

Investment

Bank

9/23/22

USD

427‌

SEK

4,325‌

1‌

UBS

Investment

Bank

10/7/22

CLP

297,215‌

USD

324‌

2‌

UBS

Investment

Bank

10/7/22

IDR

12,612,216‌

USD

848‌

—‌

UBS

Investment

Bank

10/7/22

KRW

1,081,095‌

USD

834‌

(

4‌

)

UBS

Investment

Bank

10/7/22

USD

818‌

IDR

12,159,125‌

—‌

UBS

Investment

Bank

10/7/22

USD

429‌

INR

34,115‌

2‌

UBS

Investment

Bank

10/14/22

USD

1,980‌

ZAR

33,799‌

(

37‌

)

UBS

Investment

Bank

10/20/22

ILS

3,281‌

USD

958‌

13‌

UBS

Investment

Bank

10/20/22

USD

267‌

ILS

922‌

(

6‌

)

UBS

Investment

Bank

10/21/22

CAD

507‌

USD

388‌

8‌

UBS

Investment

Bank

10/21/22

USD

83‌

AUD

120‌

(

1‌

)

UBS

Investment

Bank

10/21/22

USD

324‌

CAD

423‌

(

7‌

)

UBS

Investment

Bank

10/21/22

USD

1,514‌

JPY

204,067‌

(

27‌

)

Net

unrealized

gain

(loss)

on

open

forward

currency

exchange

contracts

$

215‌

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

105

FUTURES

CONTRACTS

($000s)

Expiration

Date

Notional

Amount

Value

and

Unrealized

Gain

(Loss)

Long,

3

Amsterdam

IDX

contracts

8/22

445

$

38‌

Short,

7

CAC40

Index

contracts

8/22

(461)

(

20‌

)

Short,

22

Hang

Seng

Index

contracts

8/22

(2,816)

81‌

Short,

461

OMX

Swedish

Index

contracts

8/22

(9,226)

(

305‌

)

Long,

19

ASX

SPI

200

Index

contracts

9/22

2,277

125‌

Long,

16

Australian

ten

years

Treasury

Bond

Index

contracts

9/22

1,397

62‌

Short,

16

DAX

Index

contracts

9/22

(5,508)

56‌

Short,

19

Euro

BOBL

contracts

9/22

(2,483)

(

50‌

)

Short,

83

Euro

BTP

contracts

9/22

(10,716)

(

261‌

)

Short,

23

Euro

BUND

contracts

9/22

(3,706)

(

289‌

)

Short,

12

Euro

BUXL

thirty

year

bond

contracts

9/22

(2,279)

(

240‌

)

Short,

11

Euro

OAT

contracts

9/22

(1,647)

(

79‌

)

Long,

213

Euro

SCHATZ

contracts

9/22

23,976

243‌

Short,

98

Euro

STOXX

contracts

9/22

(3,708)

(

135‌

)

Short,

151

FTSE

100

Index

contracts

9/22

(13,566)

(

531‌

)

Long,

13

FTSE

MIB

Index

contracts

9/22

1,487

94‌

Short,

134

Government

of

Canada

ten

year

bond

contracts

9/22

(13,650)

(

466‌

)

Long,

113

Long

Gilt

ten

year

contracts

9/22

16,263

174‌

Long,

78

Mini

ten

year

JGB

contracts

9/22

8,797

103‌

Short,

118

MSCI

Emerging

Markets

Index

contracts

9/22

(5,891)

16‌

Long,

91

Republic

of

South

Korea

three

year

bond

contracts

9/22

7,392

167‌

Short,

4

Russell

2000

E-Mini

Index

contracts

9/22

(377)

(

12‌

)

Short,

192

S&P

500

E-Mini

Index

contracts

9/22

(39,681)

(

2,043‌

)

Short,

17

S&P

500

E-mini

Index

Industrial

Sector

contracts

9/22

(1,639)

(

9‌

)

Short,

9

S&P

500

E-mini

Index

Technology

Sector

contracts

9/22

(1,310)

(

121‌

)

Long,

2

S&P

500

E-mini

Index

Utilities

Sector

contracts

9/22

150

14‌

Short,

9

S&P

500

Index

Consumer

Discretionary

Sector

contracts

9/22

(1,483)

(

209‌

)

Long,

37

S&P

500

Index

Consumer

Staples

contracts

9/22

2,775

102‌

Long,

13

S&P/TSX

60

Index

contracts

9/22

2,410

79‌

Short,

77

TOPIX

Index

contracts

9/22

(11,188)

(

233‌

)

Short,

5

U.S.

Treasury

Long

Bond

contracts

9/22

(720)

(

22‌

)

Short,

136

U.S.

Treasury

Notes

five

year

contracts

9/22

(15,467)

(

190‌

)

Short,

133

U.S.

Treasury

Notes

ten

year

contracts

9/22

(16,112)

(

281‌

)

Short,

47

U.S.

Treasury

Notes

two

year

contracts

9/22

(9,892)

(

13‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

106

FUTURES

CONTRACTS

($000s)

Expiration

Date

Notional

Amount

Value

and

Unrealized

Gain

(Loss)

Long,

40

Ultra

U.S.

Treasury

Bonds

contracts

9/22

6,333

$

123‌

Long,

9

Ultra

U.S.

Treasury

Notes

ten

year

contracts

9/22

1,181

7‌

Net

payments

(receipts)

of

variation

margin

to

date

3,119‌

Variation

margin

receivable

(payable)

on

open

futures

contracts

$

(

906‌

)

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

107

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

nine

months

ended

July

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,

2.03%

$

—‌

$

—‌

$

412‌

++

T.

Rowe

Price

Short-Term

Fund

—‌

—‌

—‌

++

Totals

$

—‌

#

$

—‌

$

412‌

+

Supplementary

Investment

Schedule

Affiliate

Value

10/31/21

Purchase

Cost

Sales

Cost

Value

07/31/22

T.

Rowe

Price

Government

Reserve

Fund,

2.03%

$

127,142‌

¤

¤

$

106,820‌

T.

Rowe

Price

Short-Term

Fund

6,864‌

¤

¤

—‌

Total

$

106,820‌

^

#

Capital

gain

distributions

from

underlying

Price

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

$412

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

$106,820.

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

Unaudited

Notes

to

Portfolio

of

Investments

108

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

109

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

110

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.

Investments

in

private

investment

companies

are

valued

at

the

investee’s

NAV

per

share

as

of

the

valuation

date,

if

available.

If

the

investee’s

NAV

is

not

available

as

of

the

valuation

date

or

is

not

calculated

in

accordance

with

GAAP,

the

Valuation

Committee

may

adjust

the

investee’s

NAV

to

reflect

fair

value

at

the

valuation

date.

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

T.

ROWE

PRICE

Multi-Strategy

Total

Return

Fund

111

may

also

consider

other

valuation

methods

such

as

market-based

valuation

multiples;

a

discount

or

premium

from

market

value

of

a

similar,

freely

traded

security

of

the

same

issuer;

discounted

cash

flows;

yield

to

maturity;

or

some

combination.

Fair

value

determinations

are

reviewed

on

a

regular

basis

and

updated

as

information

becomes

available,

including

actual

purchase

and

sale

transactions

of

the

investment.

Because

any

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

112

Valuation

Inputs

  The

following

table

summarizes

the

fund’s

financial

instruments,

based

on

the

inputs

used

to

determine

their

fair

values

on

July

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

$

—‌

$

130,353‌

$

—‌

$

130,353‌

Bank

Loans

—‌

30,034‌

2,342‌

32,376‌

Common

Stocks

52,755‌

15,145‌

146‌

68,046‌

Convertible

Preferred

Stocks

—‌

60‌

470‌

530‌

Preferred

Stocks

—‌

714‌

—‌

714‌

Private

Investment

Company

2

—‌

—‌

—‌

29‌

Short-Term

Investments

103,935‌

—‌

—‌

103,935‌

Securities

Lending

Collateral

2,885‌

—‌

—‌

2,885‌

Options

Purchased

—‌

640‌

—‌

640‌

Total

Securities

159,575‌

176,946‌

2,958‌

339,508‌

Swaps*

—‌

10,215‌

—‌

10,215‌

Forward

Currency

Exchange

Contracts

—‌

1,343‌

—‌

1,343‌

Futures

Contracts*

1,484‌

—‌

—‌

1,484‌

Total

$

161,059‌

$

188,504‌

$

2,958‌

$

352,550‌

Liabilities

Options

Written

$

—‌

$

1,082‌

$

—‌

$

1,082‌

Swaps*

—‌

8,571‌

—‌

8,571‌

Forward

Currency

Exchange

Contracts

—‌

1,128‌

—‌

1,128‌

Futures

Contracts*

5,509‌

—‌

—‌

5,509‌

Total

$

5,509‌

$

10,781‌

$

—‌

$

16,290‌

1

Includes

Asset-Backed

Securities,

Convertible

Bonds,

Corporate

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

113

OTHER

MATTERS 

Unpredictable

events

such

as

environmental

or

natural

disasters,

war,

terrorism,

pandemics,

outbreaks

of

infectious

diseases,

and

similar

public

health

threats

may

significantly

affect

the

economy

and

the

markets

and

issuers

in

which

a

fund

invests.

Certain

events

may

cause

instability

across

global

markets,

including

reduced

liquidity

and

disruptions

in

trading

markets,

while

some

events

may

affect

certain

geographic

regions,

countries,

sectors,

and

industries

more

significantly

than

others,

and

exacerbate

other

pre-existing

political,

social,

and

economic

risks.

Since

2020,

a

novel

strain

of

coronavirus

(COVID-19)

has

resulted

in

disruptions

to

global

business

activity

and

caused

significant

volatility

and

declines

in

global

financial

markets.

In

February

2022,

Russian

forces

entered

Ukraine

and

commenced

an

armed

conflict

leading

to

economic

sanctions

being

imposed

on

Russia

and

certain

of

its

citizens,

creating

impacts

on

Russian-related

stocks

and

debt

and

greater

volatility

in

global

markets.

These

are

recent

examples

of

global

events

which

may

have

an

impact

on

the

fund’s

performance,

which

could

be

negatively

impacted

if

the

value

of

a

portfolio

holding

were

harmed

by

these

and

such

other

events.

Management

is

actively

monitoring

the

risks

and

financial

impacts

arising

from

these

events.

F1112-054Q3

07/22 

2

In

accordance

with

Subtopic

820-10,

certain

investments

that

are

measured

at

fair

value

using

the

net

asset

value

per

share

(or

its

equivalent)

practical

expedient

have

not

been

classified

in

the

fair

value

hierarchy.

The

fair

value

amounts

presented

in

this

table

are

intended

to

permit

reconciliation

of

the

fair

value

hierarchy

to

the

amounts

presented

in

the

Portfolio

of

Investments.

*

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.