0000858581-23-000289.txt : 20231027
0000858581-23-000289.hdr.sgml : 20231027
20231027101159
ACCESSION NUMBER: 0000858581-23-000289
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 2
CONFORMED PERIOD OF REPORT: 20230831
FILED AS OF DATE: 20231027
DATE AS OF CHANGE: 20231027
PERIOD START: 20240531
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: T. Rowe Price Index Trust, Inc.
CENTRAL INDEX KEY: 0000858581
IRS NUMBER: 000000000
STATE OF INCORPORATION: MD
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-05986
FILM NUMBER: 231353024
BUSINESS ADDRESS:
STREET 1: 100 EAST PRATT STREET
CITY: BALTIMORE
STATE: MD
ZIP: 21202
BUSINESS PHONE: 410-345-2000
MAIL ADDRESS:
STREET 1: 100 EAST PRATT STREET
CITY: BALTIMORE
STATE: MD
ZIP: 21202
FORMER COMPANY:
FORMER CONFORMED NAME: PRICE T ROWE INDEX TRUST INC
DATE OF NAME CHANGE: 19920703
FORMER COMPANY:
FORMER CONFORMED NAME: PRICE T ROWE INSTITUTIONAL EQUITY FUNDS INC
DATE OF NAME CHANGE: 19900227
0000858581
S000069930
T. Rowe Price U.S. Limited Duration TIPS Index Fund
C000222750
T. Rowe Price U.S. Limited Duration TIPS Index Fund-Z Class
TLDZX
C000222751
T. Rowe Price U.S. Limited Duration TIPS Index Fund
TLDTX
C000222752
T. Rowe Price U.S. Limited Duration TIPS Index Fund-I Class
TLDUX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000858581
XXXXXXXX
S000069930
C000222751
C000222750
C000222752
T. ROWE PRICE INDEX TRUST, INC.
811-05986
0000858581
549300DT5TB0WREU3681
100 East Pratt Street
Baltimore
21202
410-345-2000
T. Rowe Price U.S. Limited Duration TIPS Index Fund
S000069930
549300H9945456GGYS20
2024-05-31
2023-08-31
N
1591689014.520000
1086649.240000
1590602365.280000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
686.320000
USD
N
Bloomberg Barclays US Treasury TIPS 1-5 Years TR Index Value Unhedged USD (Returns)
BUT5TRUU
CITIBANK N A
E57ODZWZ7FF32TWEFA76
USD/AUD FWD 20231020 CITIGB2L
000000000
1.000000
NC
USD
-47508.520000
-0.0029868257
N/A
DFE
CORP
US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-9277500.000000
AUD
5974909.710000
USD
2023-10-20
-47508.520000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
USD/CAD FWD 20231020 CHASGB2L
000000000
1.000000
NC
USD
4603.430000
0.0002894143
N/A
DFE
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-4002086.120000
USD
5410000.000000
CAD
2023-10-20
4603.430000
N
N
N
Health Care Service Corp A Mutual Legal Reserve Co
549300TMJ1FKCKECR148
HEALTH CARE SERVICE CORP A MUTUAL LEGAL RESERVE CO
42218SAD0
4455000.000000
PA
USD
4114651.370000
0.2586851032
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
1.5
N
N
N
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
USD/JPY FWD 20231020 BOFAUS6N
000000000
1.000000
NC
USD
-114815.490000
-0.0072183654
N/A
DFE
CORP
US
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
-3390192.740000
USD
472720000.000000
JPY
2023-10-20
-114815.490000
N
N
N
T Rowe Price Government Reserve Investment Fund
5493007QR86JJLYO6D96
T ROWE PRICE GOVERNMENT RESERVE INVESTMENT FUND
76105Y109
12253621.510000
NS
USD
12253621.510000
0.7703761655
Long
STIV
RF
US
N
1
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
UNITED STATES TREASURY INFLATION INDEXED BONDS
912828H45
4747679.352000
PA
USD
4562223.130000
0.2868236103
Long
DBT
UST
US
N
2
2025-01-15
Fixed
0.25
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
UNITED STATES TREASURY INFLATION INDEXED BONDS
912828N71
75868890.729000
PA
USD
72336245.500000
4.5477265141
Long
DBT
UST
US
N
2
2026-01-15
Fixed
0.625
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
UNITED STATES TREASURY INFLATION INDEXED BONDS
912828S50
112652813.610000
PA
USD
105770430.780000
6.6497091347
Long
DBT
UST
US
N
2
2026-07-15
Fixed
0.125
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
UNITED STATES TREASURY INFLATION INDEXED BONDS
912828V49
89470271.800000
PA
USD
83766541.970000
5.2663408403
Long
DBT
UST
US
N
2
2027-01-15
Fixed
0.375
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
UNITED STATES TREASURY INFLATION INDEXED BONDS
912828YL8
238989111.966000
PA
USD
230997913.530000
14.5226688060
Long
DBT
UST
US
N
2
2024-10-15
Fixed
0.125
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
UNITED STATES TREASURY INFLATION INDEXED BONDS
912828ZJ2
220729502.154000
PA
USD
210520762.680000
13.2352854035
Long
DBT
UST
US
N
2
2025-04-15
Fixed
0.125
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
UNITED STATES TREASURY INFLATION INDEXED BONDS
91282CAQ4
55764466.648000
PA
USD
52923964.130000
3.3272906721
Long
DBT
UST
US
N
2
2025-10-15
Fixed
0.125
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
UNITED STATES TREASURY INFLATION INDEXED BONDS
91282CCA7
83455393.446000
PA
USD
78265511.170000
4.9204950828
Long
DBT
UST
US
N
2
2026-04-15
Fixed
0.125
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
UNITED STATES TREASURY INFLATION INDEXED BONDS
91282CDC2
149975557.608000
PA
USD
140227146.360000
8.8159774826
Long
DBT
UST
US
N
2
2026-10-15
Fixed
0.125
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
UNITED STATES TREASURY INFLATION INDEXED BONDS
91282CEJ6
149732003.944000
PA
USD
138455312.400000
8.7045835856
Long
DBT
UST
US
N
2
2027-04-15
Fixed
0.125
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
UNITED STATES TREASURY INFLATION INDEXED BONDS
91282CFR7
178801953.050000
PA
USD
175421478.630000
11.0286192489
Long
DBT
UST
US
N
2
2027-10-15
Fixed
1.625
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
UNITED STATES TREASURY INFLATION INDEXED BONDS - WHEN ISSUED
91282CGW5
270875477.440000
PA
USD
260802295.620000
16.3964483716
Long
DBT
UST
US
N
2
2028-04-15
Fixed
1.125
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
UNITED STATES TREASURY INFLATION INDEXED BONDS
91282CHP9
18713875.080000
PA
USD
17918535.390000
1.1265251317
Long
DBT
UST
US
N
2
2033-07-15
Fixed
1.375
N
N
N
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
EUR/USD FWD 20231124 UBSWGB2L
000000000
1.000000
NC
USD
-13156.710000
-0.0008271527
N/A
DFE
CORP
US
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-3655000.000000
EUR
3966471.790000
USD
2023-11-24
-13156.710000
N
N
N
US 10YR FUT OPTN Nov23C 112
N/A
TYX3C 112 PIT
000000000
-289.000000
NC
USD
-221265.630000
-0.0139108073
N/A
DIR
CORP
US
N
1
MERRILL LYNCH PIERCE FENNER & SMITH INCORPORATED
8NAV47T0Y26Q87Y0QP81
Call
Written
MERRILL LYNCH PIERCE FENNER & SMITH INCORPORATED
8NAV47T0Y26Q87Y0QP81
US 10YR FUT OPTN Nov23C 112
N/A
TYZ3 UST 10YR FUT DEC 23
000000000
0.000000
NC
USD
0.000000
N/A
DIR
CORP
US
Long
US 10YR FUT OPTN Nov23C 112
TYZ3 UST 10YR FUT DEC 23
2023-12-19
N/A
USD
100000
112
USD
2023-10-27
XXXX
-77182.660000
N
N
N
US 10YR FUT OPTN Nov23P 108
N/A
TYX3P 108 PIT
000000000
-289.000000
NC
USD
-81281.250000
-0.0051100924
N/A
DIR
CORP
US
N
1
MERRILL LYNCH PIERCE FENNER & SMITH INCORPORATED
8NAV47T0Y26Q87Y0QP81
Put
Written
MERRILL LYNCH PIERCE FENNER & SMITH INCORPORATED
8NAV47T0Y26Q87Y0QP81
US 10YR FUT OPTN Nov23P 108
N/A
TYZ3 UST 10YR FUT DEC 23
000000000
0.000000
NC
USD
0.000000
N/A
DIR
CORP
US
Long
US 10YR FUT OPTN Nov23P 108
TYZ3 UST 10YR FUT DEC 23
2023-12-19
N/A
USD
100000
108
USD
2023-10-27
XXXX
62897.960000
N
N
N
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
USD/CAD FWD 20231020 ROYCGB2L
000000000
1.000000
NC
USD
94017.490000
0.0059108104
N/A
DFE
CORP
US
N
2
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
-13030000.000000
CAD
9744140.390000
USD
2023-10-20
94017.490000
N
N
N
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
CAD/USD FWD 20231020 ROYCGB2L
000000000
1.000000
NC
USD
-45633.950000
-0.0028689728
N/A
DFE
CORP
CA
N
2
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
-1682377.740000
USD
2210000.000000
CAD
2023-10-20
-45633.950000
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
USD/AUD FWD 20231020 UBSWGB2L
000000000
1.000000
NC
USD
-19818.400000
-0.0012459682
N/A
DFE
CORP
US
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-3112500.000000
AUD
2000637.190000
USD
2023-10-20
-19818.400000
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
AUD/USD FWD 20231020 UBSWGB2L
000000000
1.000000
NC
USD
-18594.490000
-0.0011690219
N/A
DFE
CORP
AU
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-1990364.400000
USD
3037500.000000
AUD
2023-10-20
-18594.490000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
EUR/USD FWD 20231124 BOFAUS6N
000000000
1.000000
NC
USD
-30827.560000
-0.0019381060
N/A
DFE
CORP
US
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
-4010456.060000
USD
3655000.000000
EUR
2023-11-24
-30827.560000
N
N
N
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
USD/AUD FWD 20231020 MRMDUS33
000000000
1.000000
NC
USD
-19790.350000
-0.0012442047
N/A
DFE
CORP
US
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
-1991560.260000
USD
3037500.000000
AUD
2023-10-20
-19790.350000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
USD/AUD FWD 20231020 GSILGB2X
000000000
1.000000
NC
USD
118223.400000
0.0074326181
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-6075000.000000
AUD
4061763.230000
USD
2023-10-20
118223.400000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
GBP/USD FWD 20231124 BOFAUS6N
000000000
1.000000
NC
USD
-14033.670000
-0.0008822865
N/A
DFE
CORP
GB
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
-3979691.710000
USD
3130000.000000
GBP
2023-11-24
-14033.670000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
USD/GBP FWD 20231124 BOFAUS6N
000000000
1.000000
NC
USD
-14627.740000
-0.0009196352
N/A
DFE
CORP
US
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
-3130000.000000
GBP
3951030.300000
USD
2023-11-24
-14627.740000
N
N
N
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
USD/JPY FWD 20231020 MRMDUS33
000000000
1.000000
NC
USD
49832.120000
0.0031329087
N/A
DFE
CORP
US
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
-222795000.000000
JPY
1593531.720000
USD
2023-10-20
49832.120000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
CAD/USD FWD 20231020 GSILGB2X
000000000
1.000000
NC
USD
-29344.260000
-0.0018448520
N/A
DFE
CORP
CA
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-4036033.810000
USD
5410000.000000
CAD
2023-10-20
-29344.260000
N
N
N
N/A
N/A
LCH - USD ZCIS 8/22/24 REC CPI
000000000
1.000000
NC
USD
-49976.260000
-0.0031419707
N/A
DO
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
N/A
70NZ_USA-CPI-U-1M
Y
2024-08-22
250.000000
USD
0.000000
USD
-10408000.000000
USD
-50226.260000
N
N
N
N/A
N/A
LCH - USD ZCIS 8/22/24 REC CPI
000000000
1.000000
NC
USD
-46611.770000
-0.0029304477
N/A
DO
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
N/A
70NZ_USA-CPI-U-1M
Y
2024-08-22
250.000000
USD
0.000000
USD
-10408000.000000
USD
-46861.770000
N
N
N
N/A
N/A
ICE_CDX IG CDSI S40 5Y 06/20/2028
000000000
1.000000
NC
USD
140152.190000
0.0088112650
N/A
DCR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
N/A
MARKIT CDX NA IG
Y
Default Event
2028-06-20
116829.140000
USD
0.000000
USD
8000000.000000
USD
23323.050000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
USD/JPY FWD 20231020 CITIGB2L
000000000
1.000000
NC
USD
95830.710000
0.0060248062
N/A
DFE
CORP
US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-249925000.000000
JPY
1827508.360000
USD
2023-10-20
95830.710000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
AUD/USD FWD 20231020 BOFAUS6N
000000000
1.000000
NC
USD
-34910.580000
-0.0021948025
N/A
DFE
CORP
AU
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
-8077784.400000
USD
12390000.000000
AUD
2023-10-20
-34910.580000
N
N
N
N/A
N/A
US 10YR ULTRA FUT DEC23
000000000
255.000000
NC
USD
17373.150000
0.0010922372
N/A
DIR
CORP
US
N
1
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Long
United States Treasury Note/Bond
US TREASURY N/B
2023-12-19
29590518.750000
USD
17373.150000
N
N
N
N/A
N/A
US 10YR ULTRA FUT DEC23
000000000
170.000000
NC
USD
11582.100000
0.0007281581
N/A
DIR
CORP
US
N
1
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
Long
United States Treasury Note/Bond
US TREASURY N/B
2023-12-19
19727012.500000
USD
11582.100000
N
N
N
2023-10-03
T. ROWE PRICE INDEX TRUST, INC.
/s/ Alan Dupski
Alan Dupski
Treasurer & Vice President
XXXX
NPORT-EX
2
70NZTRP083123.htm
T. ROWE PRICE INDEX TRUST, INC.
T.
ROWE
PRICE
U.S.
Limited
Duration
TIPS
Index
Fund
August
31,
2023
(Unaudited)
Portfolio
of
Investments
‡
Par/Shares
$
Value
(Amounts
in
000s)
‡
CORPORATE
BONDS
0.3%
Health
Care
0.3%
Health
Care
Service
Corp
A
Mutual
Legal
Reserve,
1.50%,
6/1/25 (1)
4,455
4,115
Total
Corporate
Bonds
(Cost
$4,240)
4,115
U.S.
GOVERNMENT
AGENCY
OBLIGATIONS
(EXCLUDING
MORTGAGE-BACKED)
98.8%
U.S.
Treasury
Obligations
98.8%
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
10/15/24
238,989
230,998
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
4/15/25
220,730
210,521
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
10/15/25
55,764
52,924
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
4/15/26
83,455
78,266
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
7/15/26
112,653
105,770
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
10/15/26
149,976
140,227
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
4/15/27
149,732
138,455
U.S.
Treasury
Inflation-Indexed
Notes,
0.25%,
1/15/25
4,748
4,562
U.S.
Treasury
Inflation-Indexed
Notes,
0.375%,
1/15/27
89,470
83,767
U.S.
Treasury
Inflation-Indexed
Notes,
0.625%,
1/15/26
75,869
72,336
U.S.
Treasury
Inflation-Indexed
Notes,
1.25%,
4/15/28
270,875
260,802
U.S.
Treasury
Inflation-Indexed
Notes,
1.375%,
7/15/33
18,714
17,919
U.S.
Treasury
Inflation-Indexed
Notes,
1.625%,
10/15/27 (2)
178,802
175,421
Total
U.S.
Government
Agency
Obligations
(Excluding
Mortgage-Backed)
(Cost
$1,616,716)
1,571,968
SHORT-TERM
INVESTMENTS
0.8%
Money
Market
Funds
0.8%
T.
Rowe
Price
Government
Reserve
Fund,
5.40% (3)(4)
12,303
12,303
Total
Short-Term
Investments
(Cost
$12,303)
12,303
Total
Investments
in
Securities
99.9%
(Cost
$1,633,259)
$
1,588,386
Other
Assets
Less
Liabilities
0.1%
2,173
Net
Assets
100.0%
$
1,590,559
‡
Par/Shares
and
Notional
Amount
are
denominated
in
U.S.
dollars
unless
otherwise
noted.
T.
ROWE
PRICE
U.S.
Limited
Duration
TIPS
Index
Fund
.
.
.
.
.
.
.
.
.
.
(1)
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
$4,115
and
represents
0.3%
of
net
assets.
(2)
At
August
31,
2023,
all
or
a
portion
of
this
security
is
pledged
as
collateral
and/
or
margin
deposit
to
cover
future
funding
obligations.
(3)
Seven-day
yield
(4)
Affiliated
Companies
AUD
Australian
Dollar
CAD
Canadian
Dollar
CPI
Consumer
Price
Index
EUR
Euro
GBP
British
Pound
JPY
Japanese
Yen
USD
U.S.
Dollar
T.
ROWE
PRICE
U.S.
Limited
Duration
TIPS
Index
Fund
(Amounts
in
000s,
except
for
contracts)
OPTIONS
WRITTEN
(0.0)%
Exchange-Traded
Options
Written
(0.0)%
Description
Contracts
Notional
Amount
$
Value
U.S.
Treasury
10-Year
Notes
Futures,
Call,
10/27/23
@
$112.00
289
32,088
(221)
U.S.
Treasury
10-Year
Notes
Futures,
Put,
10/27/23
@
$108.00
289
32,088
(81)
Total
Options
Written
(Premiums
$(288))
$
(302)
T.
ROWE
PRICE
U.S.
Limited
Duration
TIPS
Index
Fund
(Amounts
in
000s)
SWAPS
0.0%
Description
Notional
Amount
$
Value
Initial
$
Value
**
Unrealized
$
Gain/(Loss)
CENTRALLY
CLEARED
SWAPS
0.0%
Credit
Default
Swaps,
Protection
Sold
0.0%
Protection
Sold
(Relevant
Credit:
Markit
CDX.NA.IG-S40,
5
Year
Index),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
6/20/28
8,000
140
132
8
Total
Centrally
Cleared
Credit
Default
Swaps,
Protection
Sold
8
Zero-Coupon
Inflation
Swaps
(0.0)%
2
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
3.113%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
8/22/24
10,408
(47)
—
(47)
2
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
3.129%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
8/22/24
10,408
(50)
—
(50)
Total
Centrally
Cleared
Zero-Coupon
Inflation
Swaps
(97)
Total
Centrally
Cleared
Swaps
(89)
Net
payments
(receipts)
of
variation
margin
to
date
91
Variation
margin
receivable
(payable)
on
centrally
cleared
swaps
$
2
**
Includes
interest
purchased
or
sold
but
not
yet
collected
of
$15.
T.
ROWE
PRICE
U.S.
Limited
Duration
TIPS
Index
Fund
(Amounts
in
000s)
FORWARD
CURRENCY
EXCHANGE
CONTRACTS
Counterparty
Settlement
Receive
Deliver
Unrealized
Gain/(Loss)
Bank
of
America
10/20/23
AUD
12,390
USD
8,078
$
(35)
Bank
of
America
10/20/23
JPY
472,720
USD
3,390
(115)
Bank
of
America
11/24/23
EUR
3,655
USD
4,010
(31)
Bank
of
America
11/24/23
GBP
3,130
USD
3,980
(14)
Bank
of
America
11/24/23
USD
3,951
GBP
3,130
(15)
Citibank
10/20/23
USD
5,975
AUD
9,278
(47)
Citibank
10/20/23
USD
1,828
JPY
249,925
96
Goldman
Sachs
10/20/23
CAD
5,410
USD
4,036
(29)
Goldman
Sachs
10/20/23
USD
4,062
AUD
6,075
118
HSBC
Bank
10/20/23
AUD
3,037
USD
1,992
(20)
HSBC
Bank
10/20/23
USD
1,594
JPY
222,795
50
JPMorgan
Chase
10/20/23
CAD
5,410
USD
4,002
5
RBC
Dominion
Securities
10/20/23
CAD
2,210
USD
1,682
(46)
RBC
Dominion
Securities
10/20/23
USD
9,744
CAD
13,030
94
UBS
Investment
Bank
10/20/23
AUD
3,037
USD
1,990
(19)
UBS
Investment
Bank
10/20/23
USD
2,001
AUD
3,113
(20)
UBS
Investment
Bank
11/24/23
USD
3,966
EUR
3,655
(13)
Net
unrealized
gain
(loss)
on
open
forward
currency
exchange
contracts
$
(41)
T.
ROWE
PRICE
U.S.
Limited
Duration
TIPS
Index
Fund
FUTURES
CONTRACTS
($000s)
Expiration
Date
Notional
Amount
Value
and
Unrealized
Gain
(Loss)
Long,
425
Ultra
U.S.
Treasury
Notes
ten
year
contracts
12/23
49,347
$
29
Net
payments
(receipts)
of
variation
margin
to
date
(7)
Variation
margin
receivable
(payable)
on
open
futures
contracts
$
22
T.
ROWE
PRICE
U.S.
Limited
Duration
TIPS
Index
Fund
The
accompanying
notes
are
an
integral
part
of
this
Portfolio
of
Investments.
AFFILIATED
COMPANIES
($000s)
The
fund
may
invest
in
certain
securities
that
are
considered
affiliated
companies.
As
defined
by
the
1940
Act,
an
affiliated
company
is
one
in
which
the
fund
owns
5%
or
more
of
the
outstanding
voting
securities,
or
a
company
that
is
under
common
ownership
or
control.
The
following
securities
were
considered
affiliated
companies
for
all
or
some
portion
of
the
three
months
ended
August
31,
2023.
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,
5.40%
$
—
$
—
$
587++
Totals
$
—#
$
—
$
587+
Supplementary
Investment
Schedule
Affiliate
Value
05/31/23
Purchase
Cost
Sales
Cost
Value
08/31/23
T.
Rowe
Price
Government
Reserve
Fund,
5.40%
$
55,853
¤
¤
$
12,303
Total
$
12,303^
#
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
$587
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
$12,303.
T.
ROWE
PRICE
U.S.
Limited
Duration
TIPS
Index
Fund
Unaudited
Notes
to
Portfolio
of
Investments
T.
Rowe
Price
U.S.
Limited
Duration
TIPS
Index
Fund (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 fund’s
Board
of
Directors
(the
Board)
has
designated
T.
Rowe
Price
Associates,
Inc.
as
the
fund’s
valuation
designee
(Valuation
Designee).
Subject
to
oversight
by
the
Board,
the
Valuation
Designee
performs
the
following
functions
in
performing
fair
value
determinations:
assesses
and
manages
valuation
risks;
establishes
and
applies
fair
value
methodologies;
tests
fair
value
methodologies;
and
evaluates
pricing
vendors
and
pricing
agents.
The
duties
and
responsibilities
of
the
Valuation
Designee
are
performed
by
its
Valuation
Committee. The
Valuation
Designee 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
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)
T.
ROWE
PRICE
U.S.
Limited
Duration
TIPS
Index
Fund
Level
3
–
unobservable
inputs
(including
the Valuation
Designee’s 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
factors
such
as,
but
not
limited
to,
the
yield
or
price
of
bonds
of
comparable
quality,
coupon,
maturity,
and
type,
as
well
as
prices
quoted
by
dealers
who
make
markets
in
such
securities.
Investments
in
mutual
funds
are
valued
at
the
mutual
fund’s
closing
NAV
per
share
on
the
day
of
valuation.
Listed
options,
and
OTC
options
with
a
listed
equivalent,
are
valued
at
the
mean
of
the
closing
bid
and
asked
prices
and
exchange-traded
options
on
futures
contracts
are
valued
at
closing
settlement
prices.
Futures
contracts
are
valued
at
closing
settlement
prices.
Forward
currency
exchange
contracts
are
valued
using
the
prevailing
forward
exchange
rate.
Swaps
are
valued
at
prices
furnished
by
an
independent
pricing
service
or
independent
swap
dealers.
Investments
for
which
market
quotations are
not
readily
available
or
deemed
unreliable
are
valued
at
fair
value
as
determined
in
good
faith
by
the
Valuation
Designee.
The
Valuation
Designee
has
adopted
methodologies
for
determining
the
fair
value
of
investments
for
which
market
quotations
are
not
readily
available
or
deemed
unreliable,
including
the
use
of
other
pricing
sources.
Factors
used
in
determining
fair
value
vary
by
type
of
investment
and
may
include
market
or
investment
specific
considerations.
The
Valuation
Designee 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
Designee may
also
consider
other
T.
ROWE
PRICE
U.S.
Limited
Duration
TIPS
Index
Fund
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.
Because
any
fair
value
determination
involves
a
significant
amount
of
judgment,
there
is
a
degree
of
subjectivity
inherent
in
such
pricing
decisions. Fair
value
prices
determined
by
the
Valuation
Designee could
differ
from
those
of
other
market
participants,
and
it
is
possible
that
the
fair
value
determined
for
a
security
may
be
materially
different
from
the
value
that
could
be
realized
upon
the
sale
of
that
security.
Valuation
Inputs
The
following
table
summarizes
the
fund’s
financial
instruments,
based
on
the
inputs
used
to
determine
their
fair
values
on
August
31,
2023
(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
$
—
$
1,576,083
$
—
$
1,576,083
Short-Term
Investments
12,303
—
—
12,303
Total
Securities
12,303
1,576,083
—
1,588,386
Swaps*
—
8
—
8
Forward
Currency
Exchange
Contracts
—
363
—
363
Futures
Contracts*
29
—
—
29
Total
$
12,332
$
1,576,454
$
—
$
1,588,786
Liabilities
Options
Written
$
302
$
—
$
—
$
302
Swaps*
—
97
—
97
Forward
Currency
Exchange
Contracts
—
404
—
404
Total
$
302
$
501
$
—
$
803
1
Includes
Corporate
Bonds
and
U.S.
Government
Agency
Obligations
(Excluding
Mortgage-Backed).
*
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.
T.
ROWE
PRICE
U.S.
Limited
Duration
TIPS
Index
Fund
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
the 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.
In
March
2023,
the
collapse
of
some
US
regional
and
global
banks
as
well
as
overall
concerns
around
the
soundness
and
stability
of
the
global
banking
sector
has
sparked
concerns
of
a
broader
financial
crisis
impacting
the
overall
global
banking
sector.
In
certain
cases,
government
agencies
have
assumed
control
or
otherwise
intervened
in
the
operations
of
certain
banks
due
to
liquidity
and
solvency
concerns.
The
extent
of
impact
of
these
events
on
the
US
and
global
markets
is
highly
uncertain.
These
are
recent
examples
of
global
events
which
may
have
a
negative
impact
on
the
values
of
certain
portfolio
holdings
or
the
fund’s
overall
performance.
Management
is
actively
monitoring
the
risks
and
financial
impacts
arising
from
these
events.
F1367-054Q1
08/23