0001752724-21-227311.txt : 20211026
0001752724-21-227311.hdr.sgml : 20211026
20211026162539
ACCESSION NUMBER: 0001752724-21-227311
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 2
CONFORMED PERIOD OF REPORT: 20210831
FILED AS OF DATE: 20211026
PERIOD START: 20220531
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: T. Rowe Price Limited-Duration Inflation Focused Bond Fund, Inc.
CENTRAL INDEX KEY: 0001368135
IRS NUMBER: 510593985
FISCAL YEAR END: 0531
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-21919
FILM NUMBER: 211348890
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: T. Rowe Price Inflation Focused Bond Fund, Inc.
DATE OF NAME CHANGE: 20100706
FORMER COMPANY:
FORMER CONFORMED NAME: T. Rowe Price Short-Term Income Fund, Inc.
DATE OF NAME CHANGE: 20060629
0001368135
S000013369
T. Rowe Price Limited Duration Inflation Focused Bond Fund, Inc.
C000036131
T. Rowe Price Limited Duration Inflation Focused Bond Fund, Inc.
TRBFX
C000161061
T. Rowe Price Limited Duration Inflation Focused Bond Fund-I Class
TRLDX
C000219321
T. Rowe Price Limited-Duration Inflation Focused Bond Fund-Z Class
TRPZX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001368135
XXXXXXXX
S000013369
C000219321
C000161061
C000036131
T. ROWE PRICE LIMITED-DURATION INFLATION FOCUSED BOND FUND, INC.
811-21919
0001368135
5493009ZRV6DHHWWGU69
100 East Pratt Street
Baltimore
21202
410-345-2000
T. Rowe Price Limited-Duration Inflation Focused Bond Fund, Inc.
S000013369
FLEHC3SRPQOO4TMXE569
2022-05-31
2021-08-31
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0.00000000
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0.00000000
0.00000000
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UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
ZCS IFS USD
000000000
1.00000000
NC
USD
143354.18000000
0.001562991130
N/A
DO
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-08-03
250.00000000
USD
0.00000000
USD
-61134000.00000000
USD
143104.18000000
N
N
N
ECOPETROL SA
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Ecopetrol SA
279158AC3
19000000.00000000
PA
USD
20507650.00000000
0.223594980377
Long
DBT
CORP
CO
N
2
2023-09-18
Fixed
5.87500000
N
N
N
N
N
N
Towd Point Mortgage Trust
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Towd Point Mortgage Trust 2017-6
89175JAA8
13363824.42000000
PA
USD
13610537.99000000
0.148395743774
Long
ABS-MBS
CORP
US
N
2
2057-10-25
Variable
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N
N
N
N
N
N
CALIFORNIA ST UNIV REVENUE
N/A
California State University
13077DQC9
4220000.00000000
PA
USD
4223338.86000000
0.046047078506
Long
DBT
MUN
US
N
2
2024-11-01
Fixed
0.56300000
N
N
N
N
N
N
Citibank, National Association
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AUD/USD FORWARD
000000000
1.00000000
NC
USD
-80060.26000000
-0.00087289729
N/A
DFE
CORP
US
N
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Citibank, National Association
E57ODZWZ7FF32TWEFA76
-12805000.00000000
AUD
9290138.90000000
USD
2021-10-22
-80060.26000000
N
N
N
Freddie Mac
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Freddie Mac Non Gold Pool
3128JRBQ8
1446.14000000
PA
USD
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0.000015980859
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Floating
2.36200000
N
N
N
N
N
N
BANK OF MONTREAL
NQQ6HPCNCCU6TUTQYE16
Bank of Montreal
06367TQW3
18550000.00000000
PA
USD
18536050.40000000
0.202098622975
Long
DBT
CORP
CA
N
2
2024-07-09
Fixed
0.62500000
N
N
N
N
N
N
FannieMae Whole Loan
N/A
Fannie Mae REMIC Trust 2001-W4
3139216U7
315.58000000
PA
USD
337.70000000
0.000003681944
Long
ABS-MBS
USGSE
US
N
2
2032-01-25
Variable
5.11000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36205UTC4
9258.46000000
PA
USD
9519.28000000
0.000103788743
Long
ABS-MBS
USGA
US
N
2
2024-09-15
Fixed
8.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402Q2N0
1240.10000000
PA
USD
1241.95000000
0.000013540985
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Floating
2.01300000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2020-3
03066PAE9
4965000.00000000
PA
USD
5010448.12000000
0.054628933548
Long
ABS-O
CORP
US
N
2
2026-08-18
Fixed
1.06000000
N
N
N
N
N
N
Oceanview Mortgage Trust
N/A
Bayview MSR Opportunity Master Fund Trust 2021-INV2
07336LAE3
13717949.33000000
PA
USD
14107621.40000000
0.153815445948
Long
ABS-MBS
CORP
US
N
2
2051-06-25
Variable
2.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/EUR FORWARD
000000000
1.00000000
NC
USD
98420.80000000
0.001073082329
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-9161234.68000000
USD
7830000.00000000
EUR
2021-11-19
98420.80000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202CTA1
4817.07000000
PA
USD
5346.02000000
0.000058287674
Long
ABS-MBS
USGA
US
N
2
2026-12-20
Fixed
8.50000000
N
N
N
N
N
N
MICHIGAN ST FIN AUTH REVENUE
54930022O46HOX5J1D14
Michigan Finance Authority
59447TH63
3425000.00000000
PA
USD
3463425.08000000
0.037761735879
Long
DBT
MUN
US
N
2
2024-06-01
Fixed
1.37600000
N
N
N
N
N
N
ATLANTA GA WTR & WSTWTR REVENU
N/A
City of Atlanta GA Water & Wastewater Revenue
047870SG6
670000.00000000
PA
USD
671222.28000000
0.007318338889
Long
DBT
MUN
US
N
2
2024-11-01
Fixed
0.61600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31365EBN2
451.21000000
PA
USD
469.24000000
0.000005116125
Long
ABS-MBS
USGSE
US
N
2
2023-10-01
Fixed
7.00000000
N
N
N
N
N
N
ARES CLO Ltd
N/A
Ares LVIII CLO Ltd
04018AAC3
4080000.00000000
PA
USD
4082714.67000000
0.044513852466
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Floating
1.34613000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202CSP9
5279.10000000
PA
USD
5848.51000000
0.000063766325
Long
ABS-MBS
USGA
US
N
2
2026-11-20
Fixed
8.50000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2020-1
92536PAE4
7983074.13000000
PA
USD
8076076.94000000
0.088053495399
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
2.72400000
N
N
N
N
N
N
Magnetite CLO Ltd
549300WFCL37N4TDUR08
Magnetite XXV Ltd
55955GAA1
8400000.00000000
PA
USD
8410916.72000000
0.091704254703
Long
ABS-CBDO
CORP
KY
N
2
2032-01-25
Floating
1.32525000
N
N
N
N
N
N
ATLANTA GA WTR & WSTWTR REVENU
N/A
City of Atlanta GA Water & Wastewater Revenue
047870SD3
670000.00000000
PA
USD
670063.45000000
0.007305704161
Long
DBT
MUN
US
N
2
2021-11-01
Fixed
0.19100000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 YEAR US TREASURY NOTE
000000000
1476.00000000
NC
USD
113209.20000000
0.001234320307
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2021-12-31
182495665.80000000
USD
113209.20000000
N
N
N
ABU DHABI NATIONAL ENERG
213800UNJSVQFNUYYW03
Abu Dhabi National Energy Co PJSC
000000000
8200000.00000000
PA
USD
8876672.20000000
0.096782388346
Long
DBT
CORP
AE
N
2
2024-05-06
Fixed
3.87500000
N
N
N
N
N
N
Symphony CLO Ltd
54930001DQI1CFLYVB48
Symphony CLO XXIII Ltd
87167NAC9
6025000.00000000
PA
USD
6035808.43000000
0.065808440629
Long
ABS-CBDO
CORP
KY
N
2
2034-01-15
Floating
1.44613000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
IRS IFS USD
000000000
1.00000000
NC
USD
962299.42000000
0.010491953974
N/A
DO
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Y
2022-08-29
0.00000000
USD
0.00000000
USD
-20000000.00000000
USD
962299.42000000
N
N
N
HAWAII ST
N/A
State of Hawaii
419792ZJ8
2885000.00000000
PA
USD
2901098.30000000
0.031630685010
Long
DBT
MUN
US
N
2
2023-10-01
Fixed
0.57100000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2016-2
89172PAJ8
1039931.41000000
PA
USD
1045378.15000000
0.011397761661
Long
ABS-MBS
CORP
US
N
2
2055-08-25
Variable
2.75000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0QP7
891412.19000000
PA
USD
891412.10000000
0.009719069274
Long
ABS-MBS
CORP
US
N
2
2030-03-25
Floating
0.83438000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2020-EXP1 Trust
67448TBE4
1789688.42000000
PA
USD
1788598.50000000
0.019501095762
Long
ABS-MBS
CORP
US
N
2
2060-02-25
Floating
0.83438000
N
N
N
N
N
N
Metlife Securitization Trust
N/A
METLIFE SECURITIZATION TRUST 2018-1
59166DAA5
9551047.70000000
PA
USD
9878212.15000000
0.107702181958
Long
ABS-MBS
CORP
US
N
2
2057-03-25
Variable
3.75000000
N
N
N
N
N
N
SAUDI ARABIAN OIL CO
5586006WD91QHB7J4X50
Saudi Arabian Oil Co
80414L2G9
1150000.00000000
PA
USD
1161321.75000000
0.012661895141
Long
DBT
CORP
SA
N
2
2023-11-24
Fixed
1.25000000
N
N
N
N
N
N
Bluemountain CLO Ltd
549300WSX4P5CXVKVR97
BLUEMOUNTAIN CLO 2012-2 Ltd
09626RAW5
4071301.03000000
PA
USD
4071322.04000000
0.044389638581
Long
ABS-CBDO
CORP
KY
N
2
2028-11-20
Floating
1.18088000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAL7
24956000.00000000
PA
USD
26016630.00000000
0.283659408774
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
4.25000000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2019-3 Receivables Funding LLC
82652NAA6
3057270.28000000
PA
USD
3122574.18000000
0.034045437312
Long
ABS-O
CORP
US
N
2
2036-08-20
Fixed
2.34000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
IRS IFS USD
000000000
1.00000000
NC
USD
6896367.66000000
0.075191120953
N/A
DO
CORP
US
N
2
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
Y
2023-02-21
0.00000000
USD
0.00000000
USD
-148955000.00000000
USD
6896367.66000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 2 YEAR US TREASURY NOTE
000000000
91.00000000
NC
USD
11956.80000000
0.000130365032
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2021-12-31
20037902.67000000
USD
11956.80000000
N
N
N
SG Capital Partners
N/A
SG Residential Mortgage Trust 2019-3
78432BAC3
5292012.82000000
PA
USD
5316403.71000000
0.057964768426
Long
ABS-MBS
CORP
US
N
2
2059-09-25
Variable
3.08200000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204Y7H0
2630.91000000
PA
USD
2641.59000000
0.000028801265
Long
ABS-MBS
USGA
US
N
2
2024-10-15
Fixed
8.50000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2021-3
92539LAA8
17837342.31000000
PA
USD
17858520.59000000
0.194711513064
Long
ABS-MBS
CORP
US
N
2
2066-06-25
Variable
1.04600000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
IRS IFS USD
000000000
1.00000000
NC
USD
5654400.40000000
0.061649947531
N/A
DO
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Y
2023-02-21
0.00000000
USD
0.00000000
USD
-122539000.00000000
USD
5654400.40000000
N
N
N
NEW YORK ST TRANSPRTN DEV CORP
N/A
New York Transportation Development Corp
650116DZ6
715000.00000000
PA
USD
723928.92000000
0.007892999571
Long
DBT
MUN
US
N
2
2022-12-01
Fixed
1.61000000
N
N
N
N
N
N
Ellington Financial Mortgage T
N/A
Ellington Financial Mortgage Trust 2019-2
31573TAA6
2865161.34000000
PA
USD
2912095.55000000
0.031750588066
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.73900000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2020-EXP1 Trust
67448TAQ8
4012983.16000000
PA
USD
4106315.12000000
0.044771168255
Long
ABS-MBS
CORP
US
N
2
2060-02-25
Variable
3.50000000
N
N
N
N
N
N
BRE Grand Islander Timeshare I
N/A
BRE Grand Islander Timeshare Issuer 2019-A LLC
05588UAA0
2703107.02000000
PA
USD
2835099.74000000
0.030911102478
Long
ABS-O
CORP
US
N
2
2033-09-26
Fixed
3.28000000
N
N
N
N
N
N
ATLANTA GA WTR & WSTWTR REVENU
N/A
City of Atlanta GA Water & Wastewater Revenue
047870SE1
670000.00000000
PA
USD
670742.76000000
0.007313110681
Long
DBT
MUN
US
N
2
2022-11-01
Fixed
0.27100000
N
N
N
N
N
N
Metlife Securitization Trust
N/A
METLIFE SECURITIZATION TRUST
59166BAA9
3367847.59000000
PA
USD
3445214.46000000
0.037563185425
Long
ABS-MBS
CORP
US
N
2
2055-04-25
Variable
3.00000000
N
N
N
N
N
N
DENVER CITY & CNTY CO ARPT REV
N/A
City & County of Denver CO Airport System Revenue
249182PL4
1225000.00000000
PA
USD
1240451.54000000
0.013524647521
Long
DBT
MUN
US
N
2
2024-11-15
Fixed
1.11500000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Trust
36250BAE6
189711.24000000
PA
USD
191082.07000000
0.002083368484
Long
ABS-MBS
CORP
US
N
2
2044-07-25
Variable
1.65965500
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust I LLC 2019-2
03463WAA1
2760327.32000000
PA
USD
2788231.19000000
0.030400094511
Long
ABS-MBS
CORP
US
N
2
2049-03-25
Variable
3.62800000
N
N
N
N
N
N
HPEFS Equipment Trust
N/A
HPEFS Equipment Trust 2021-2
40441JAE1
11555000.00000000
PA
USD
11551261.96000000
0.125943449946
Long
ABS-O
CORP
US
N
2
2028-09-20
Fixed
0.88000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-RPL6 Trust
12657GAA3
12744328.89000000
PA
USD
12994585.45000000
0.141680011055
Long
ABS-MBS
CORP
US
N
2
2060-10-25
Variable
2.00000000
N
N
N
N
N
N
YMCA OF GREATER NY
N/A
YMCA of Greater New York
98425BAU0
2240000.00000000
PA
USD
2265527.04000000
0.024701049318
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
2.30300000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202CG56
2259.51000000
PA
USD
2298.07000000
0.000025055865
Long
ABS-MBS
USGA
US
N
2
2025-06-20
Fixed
8.50000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
IRS IFS USD
000000000
1.00000000
NC
USD
5439208.38000000
0.059303708177
N/A
DO
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2021-10-09
0.00000000
USD
0.00000000
USD
-147826138.00000000
USD
5439208.38000000
N
N
N
MICHIGAN ST FIN AUTH REVENUE
54930022O46HOX5J1D14
Michigan Finance Authority
59447TH48
1350000.00000000
PA
USD
1351621.35000000
0.014736732352
Long
DBT
MUN
US
N
2
2022-06-01
Fixed
0.89700000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABQ9
6500000.00000000
PA
USD
6540579.50000000
0.071311961388
Long
DBT
CORP
US
N
2
2022-11-10
Fixed
1.15000000
N
N
N
N
N
N
Freddie Mac - STACR
549300BL200YC56BUV20
STACR Trust 2018-DNA3
35563WAQ7
8860000.00000000
PA
USD
8869388.94000000
0.096702978937
Long
ABS-MBS
CORP
US
N
2
2048-09-25
Floating
0.98438000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
IRS IFS USD
000000000
1.00000000
NC
USD
4342031.78000000
0.047341187832
N/A
DO
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
Y
2023-02-25
0.00000000
USD
0.00000000
USD
-91720000.00000000
USD
4342031.78000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
313617NN8
371.55000000
PA
USD
373.91000000
0.000004076742
Long
ABS-MBS
USGSE
US
N
2
2027-07-01
Floating
2.21500000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
IRS IFS USD
000000000
1.00000000
NC
USD
7437585.95000000
0.081092025880
N/A
DO
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2022-10-07
0.00000000
USD
0.00000000
USD
-147805000.00000000
USD
7437585.95000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
GBP/USD FORWARD
000000000
1.00000000
NC
USD
-27749.20000000
-0.00030254962
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-6710000.00000000
GBP
9198762.49000000
USD
2021-11-19
-27749.20000000
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2020-4
80286WAF3
8070000.00000000
PA
USD
8132806.39000000
0.088672016793
Long
ABS-O
CORP
US
N
2
2026-01-15
Fixed
1.01000000
N
N
N
N
N
N
Mill City Mortgage Trust
N/A
Mill City Mortgage Loan Trust 2017-2
59980AAA5
3082894.72000000
PA
USD
3122960.02000000
0.034049644127
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
2.75000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828WU0
359291360.00000000
PA
USD
385339983.60000000
4.201363202116
Long
DBT
UST
US
N
2
2024-07-15
Fixed
0.12500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H020691
46935000.00000000
PA
USD
47908534.69000000
0.522346922926
Long
ABS-MBS
USGA
US
N
2
2051-09-20
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XHT4
14313616.56000000
PA
USD
14405329.63000000
0.157061359831
Long
ABS-MBS
CORP
US
N
2
2029-09-25
Floating
1.43438000
N
N
N
N
N
N
GRAY OAK PIPELINE LLC
N/A
Gray Oak Pipeline LLC
38937LAA9
1320000.00000000
PA
USD
1344833.16000000
0.014662720693
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31336SLR7
138.02000000
PA
USD
137.62000000
0.000001500471
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Floating
2.33600000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36206EGT6
256.41000000
PA
USD
257.51000000
0.000002807632
Long
ABS-MBS
USGA
US
N
2
2025-05-15
Fixed
8.50000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2019-EXP3 Trust
67113ABC3
3147471.24000000
PA
USD
3190566.10000000
0.034786753456
Long
ABS-MBS
CORP
US
N
2
2059-10-25
Floating
1.18438000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36205CX96
469.88000000
PA
USD
470.85000000
0.000005133679
Long
ABS-MBS
USGA
US
N
2
2024-10-15
Fixed
8.50000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABV8
17855000.00000000
PA
USD
17810291.08000000
0.194185666546
Long
DBT
CORP
US
N
2
2024-06-14
Fixed
0.87500000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31391A3V9
772.07000000
PA
USD
773.57000000
0.000008434236
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Floating
2.22600000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYE8
25000000.00000000
PA
USD
24969850.00000000
0.272246362737
Long
DBT
CORP
US
N
2
2024-09-10
Fixed
0.65700000
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
ZCS IFS USD
000000000
1.00000000
NC
USD
88553.03000000
0.000965493998
N/A
DO
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-08-03
250.00000000
USD
0.00000000
USD
-30566000.00000000
USD
88303.03000000
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Trust
36262LAJ9
24491470.56000000
PA
USD
25118109.33000000
0.273862834735
Long
ABS-MBS
CORP
US
N
2
2051-11-25
Variable
2.50000000
N
N
N
N
N
N
TOBACCO SETTLEMENT FIN AUTH WV
N/A
Tobacco Settlement Finance Authority
88880LAD5
1330000.00000000
PA
USD
1335070.23000000
0.014556275432
Long
DBT
MUN
US
N
2
2022-06-01
Fixed
0.94700000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828VM9
215553678.70000000
PA
USD
227712253.39000000
2.482747502934
Long
DBT
UST
US
N
2
2023-07-15
Fixed
0.37500000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XXXVII Ltd
55817EAN6
6780000.00000000
PA
USD
6772045.43000000
0.073835635240
Long
ABS-CBDO
CORP
KY
N
2
2033-07-15
Floating
1.21034000
N
N
N
N
N
N
KKR Financial CLO Ltd
635400ZS4BDP68TETX94
KKR CLO 13 Ltd
48250VAW7
3420000.00000000
PA
USD
3409740.00000000
0.037176407262
Long
ABS-CBDO
CORP
KY
N
2
2028-01-16
Floating
1.27638000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XQA5
9704682.32000000
PA
USD
9470620.13000000
0.103258204725
Long
ABS-MBS
CORP
US
N
2
2030-01-25
Floating
1.28438000
N
N
N
N
N
N
BAYVIEW OPPORTUNITY MASTER FUN
549300ZGMKIELA840327
Bayview Mortgage Fund IVc Trust 2017-RT3
07326TAA6
9414279.62000000
PA
USD
9512736.98000000
0.103717404889
Long
ABS-MBS
CORP
US
N
2
2058-01-28
Variable
3.50000000
N
N
N
N
N
N
InTown Hotel Portfolio Trust
N/A
InTown Hotel Portfolio Trust 2018-STAY
46117MAJ3
1855000.00000000
PA
USD
1860347.78000000
0.020283378415
Long
ABS-MBS
CORP
US
N
2
2033-01-15
Floating
1.39600000
N
N
N
N
N
N
Freddie Mac Whole Loan Securit
S6XOOCT0IEG5ABCC6L87
Freddie Mac Whole Loan Securities Trust
3137G1BM8
1927754.31000000
PA
USD
1946003.20000000
0.021217279762
Long
ABS-MBS
USGSE
US
N
2
2046-12-25
Variable
3.61872900
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36223YXQ8
44.26000000
PA
USD
44.37000000
0.000000483766
Long
ABS-MBS
USGA
US
N
2
2022-04-15
Fixed
8.50000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828N71
712150951.05000000
PA
USD
792601753.80000000
8.641739720955
Long
DBT
UST
US
N
2
2026-01-15
Fixed
0.62500000
N
N
N
N
N
N
Exeter Automobile Receivables
N/A
Exeter Automobile Receivables Trust 2020-1
30167HAC2
3948120.57000000
PA
USD
3961490.09000000
0.043192140442
Long
ABS-O
CORP
US
N
2
2024-04-15
Fixed
2.26000000
N
N
N
N
N
N
BRIGHTHSE FIN GL
549300BLFX3KJ2IFOA78
Brighthouse Financial Global Funding
10921U2D9
9000000.00000000
PA
USD
9001062.00000000
0.098138610775
Long
DBT
CORP
US
N
2
2023-06-28
Fixed
0.60000000
N
N
N
N
N
N
InTown Hotel Portfolio Trust
N/A
InTown Hotel Portfolio Trust 2018-STAY
46117MAA2
3310000.00000000
PA
USD
3318193.91000000
0.036178279919
Long
ABS-MBS
CORP
US
N
2
2033-01-15
Floating
1.04600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403VLM9
5193.21000000
PA
USD
5190.24000000
0.000056589205
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Floating
2.15500000
N
N
N
N
N
N
MAF SUKUK LTD
549300IS9H0W5N2N4K34
MAF Sukuk Ltd
000000000
13510000.00000000
PA
USD
14973322.14000000
0.163254184174
Long
DBT
CORP
KY
N
2
2025-11-03
Fixed
4.50000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAA3
5750000.00000000
PA
USD
5859704.25000000
0.063888376132
Long
DBT
CORP
IE
N
2
2022-05-26
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XQU1
8159089.00000000
PA
USD
8216685.64000000
0.089586552552
Long
ABS-MBS
CORP
US
N
2
2030-02-25
Floating
2.73438000
N
N
N
N
N
N
POSCO
988400E5HRVX81AYLM04
POSCO
000000000
7025000.00000000
PA
USD
7177933.48000000
0.078261034083
Long
DBT
CORP
KR
N
2
2023-01-17
Fixed
2.37500000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128284H0
561724479.31600000
PA
USD
589547394.93000000
6.427837329057
Long
DBT
UST
US
N
2
2023-04-15
Fixed
0.62500000
N
N
N
N
N
N
Freddie Mac - STACR
5493005RUXPCBST1N217
Freddie Mac Stacr Trust 2018-HQA2
35563XAA0
1374022.47000000
PA
USD
1374022.33000000
0.014980970316
Long
ABS-MBS
USGSE
US
N
2
2048-10-25
Floating
0.83438000
N
N
N
N
N
N
SA GLOBAL SUKUK LTD
5493007DFAVKU7UOGR47
SA Global Sukuk Ltd
78397PAA9
24247000.00000000
PA
USD
24166742.43000000
0.263490078065
Long
DBT
CORP
KY
N
2
2024-06-17
Fixed
0.94600000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202CBS1
23.39000000
PA
USD
23.49000000
0.000000256111
Long
ABS-MBS
USGA
US
N
2
2024-08-20
Fixed
8.50000000
N
N
N
N
N
N
Atrium Hotel Portfolio Trust
N/A
Atrium Hotel Portfolio Trust 2017-ATRM
04965JAE3
3860000.00000000
PA
USD
3851642.71000000
0.041994474070
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
1.74600000
N
N
N
N
N
N
Magnetite CLO Ltd
549300Z3WHVYABE20I45
Magnetite XVI Ltd
55953RAL5
27166200.57000000
PA
USD
27170356.46000000
0.296238492442
Long
ABS-CBDO
CORP
KY
N
2
2028-01-18
Floating
0.93388000
N
N
N
N
N
N
Galton Funding Mortgage Trust
N/A
Galton Funding Mortgage Trust 2020-H1
36418HAC6
6188076.08000000
PA
USD
6218949.63000000
0.067805229779
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
2.61700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202CUX9
198.50000000
PA
USD
199.34000000
0.000002173404
Long
ABS-MBS
USGA
US
N
2
2027-03-20
Fixed
8.50000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2018-CH2
81747EAC1
1899249.91000000
PA
USD
1921033.93000000
0.020945039723
Long
ABS-MBS
CORP
US
N
2
2048-06-25
Variable
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202CRF2
111.66000000
PA
USD
113.52000000
0.000001237708
Long
ABS-MBS
USGA
US
N
2
2026-09-20
Fixed
8.50000000
N
N
N
N
N
N
TRANSMANTARO
549300NL65DC6HVEJX96
Consorcio Transmantaro SA
000000000
11300000.00000000
PA
USD
11749288.00000000
0.128102528559
Long
DBT
CORP
PE
N
2
2023-05-07
Fixed
4.37500000
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
NZD/USD FORWARD
000000000
1.00000000
NC
USD
-130439.22000000
-0.00142217927
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-13405000.00000000
NZD
9314062.10000000
USD
2021-10-22
-130439.22000000
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-LTV1
46591NAF4
1244344.01000000
PA
USD
1244250.06000000
0.013566062798
Long
ABS-MBS
CORP
US
N
2
2050-06-25
Variable
3.50000000
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
Ally Financial Inc
02005NBL3
6710000.00000000
PA
USD
6804490.22000000
0.074189380900
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
1.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128JPP46
15723.94000000
PA
USD
15909.48000000
0.000173461116
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Floating
1.87500000
N
N
N
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
ZCS IFS USD
000000000
1.00000000
NC
USD
4574246.07000000
0.049873021056
N/A
DO
CORP
US
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
Y
2023-06-05
0.00000000
USD
0.00000000
USD
-201300000.00000000
USD
4574246.07000000
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2016-3
89172YAA8
914794.86000000
PA
USD
917399.56000000
0.010002410642
Long
ABS-MBS
CORP
US
N
2
2056-04-25
Variable
2.25000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABM8
12140000.00000000
PA
USD
12253217.64000000
0.133596875204
Long
DBT
CORP
US
N
2
2023-09-18
Fixed
1.25000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-1
89173FAA8
2130293.40000000
PA
USD
2160598.31000000
0.023557011004
Long
ABS-MBS
CORP
US
N
2
2056-10-25
Variable
2.75000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828ZJ2
1095934932.53400000
PA
USD
1181897328.80000000
12.88623075007
Long
DBT
UST
US
N
2
2025-04-15
Fixed
0.12500000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0NW5
2010917.31000000
PA
USD
2010916.91000000
0.021925034171
Long
ABS-MBS
CORP
US
N
2
2029-10-25
Floating
1.28438000
N
N
N
N
N
N
DALLAS TX AREA RAPID TRANSIT S
75YWM81F2R6UQGJIEW47
Dallas Area Rapid Transit
235241VD5
905000.00000000
PA
USD
905321.55000000
0.009870724057
Long
DBT
MUN
US
N
2
2021-12-01
Fixed
0.29700000
N
N
N
N
N
N
TOBACCO SETTLEMENT FIN AUTH WV
N/A
Tobacco Settlement Finance Authority
88880LAE3
2000000.00000000
PA
USD
2017407.40000000
0.021995800007
Long
DBT
MUN
US
N
2
2023-06-01
Fixed
1.19300000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust 2019-INV1
85572JAA5
4077292.97000000
PA
USD
4122459.18000000
0.044947186999
Long
ABS-MBS
CORP
US
N
2
2049-09-27
Variable
2.61000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2018-5
89176VAK8
3732093.12000000
PA
USD
3799768.28000000
0.041428886976
Long
ABS-MBS
CORP
US
N
2
2058-07-25
Variable
3.25000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2019-EXP3 Trust
67113ABB5
3465141.71000000
PA
USD
3469854.65000000
0.037831837503
Long
ABS-MBS
CORP
US
N
2
2059-10-25
Floating
0.98438000
N
N
N
N
N
N
DENVER CITY & CNTY CO ARPT REV
N/A
City & County of Denver CO Airport System Revenue
249182PK6
785000.00000000
PA
USD
791527.90000000
0.008630031489
Long
DBT
MUN
US
N
2
2023-11-15
Fixed
0.87700000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XE26
5118037.99000000
PA
USD
5038462.22000000
0.054934371379
Long
ABS-MBS
CORP
US
N
2
2030-08-25
Floating
0.98438000
N
N
N
N
N
N
Wells Fargo Mortgage Backed Se
N/A
Wells Fargo Mortgage Backed Securities 2021-RR1 Trust
95003JAC9
12612698.10000000
PA
USD
12903874.85000000
0.140690993062
Long
ABS-MBS
CORP
US
N
2
2050-12-25
Variable
2.50000000
N
N
N
N
N
N
Sequoia Mortgage Trust
549300ZUG1L9OO3W6B29
Sequoia Mortgage Trust 2018-CH1
81747DAB5
2111013.26000000
PA
USD
2124773.69000000
0.023166415046
Long
ABS-MBS
CORP
US
N
2
2048-02-25
Variable
3.50000000
N
N
N
N
N
N
T. ROWE PRICE SHORT-TERM FUND
549300YTML4H25P65J89
T. ROWE PRICE SHORT-TERM FUND
000000000
16180507.49500000
NS
USD
161805074.95000000
1.764161303635
Long
STIV
RF
US
N
1
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36205KXU1
743.36000000
PA
USD
746.44000000
0.000008138437
Long
ABS-MBS
USGA
US
N
2
2024-09-15
Fixed
8.50000000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RCU6
13111000.00000000
PA
USD
13565897.94000000
0.147909033151
Long
ABS-O
CORP
US
N
2
2024-03-20
Fixed
2.97000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2016-1
89172EBJ2
901485.42000000
PA
USD
907600.20000000
0.009895568186
Long
ABS-MBS
CORP
US
N
2
2055-02-25
Variable
3.00000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
IRS IFS USD
000000000
1.00000000
NC
USD
5475869.41000000
0.059703423516
N/A
DO
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2021-10-07
0.00000000
USD
0.00000000
USD
-147826138.00000000
USD
5475869.41000000
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822BW3
23360000.00000000
PA
USD
23424590.40000000
0.255398391861
Long
DBT
CORP
JP
N
2
2025-07-19
Fixed
0.95300000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2019-IMC
05608BAJ9
11895000.00000000
PA
USD
11858719.06000000
0.129295655793
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Floating
1.69600000
N
N
N
N
N
N
Onslow Bay Financial LLC
549300ELWOCL265HSB73
OBX 2019-EXP1 Trust
67448QAC5
4753636.25000000
PA
USD
4830501.60000000
0.052666976004
Long
ABS-MBS
CORP
US
N
2
2059-01-25
Variable
4.00000000
N
N
N
N
N
N
HPHT FINANCE 17 LTD
549300TYU0354ZWXG128
HPHT Finance 17 Ltd
000000000
18800000.00000000
PA
USD
19151748.00000000
0.208811576083
Long
DBT
CORP
KY
N
2
2022-09-11
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XMZ4
15234645.69000000
PA
USD
15047224.36000000
0.164059940340
Long
ABS-MBS
CORP
US
N
2
2029-11-25
Floating
1.18438000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
ZCS IFS USD
000000000
1.00000000
NC
USD
379461.01000000
0.004137264732
N/A
DO
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-08-02
250.00000000
USD
0.00000000
USD
-158669000.00000000
USD
379211.01000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828H45
574780379.46000000
PA
USD
621032238.12000000
6.771116685555
Long
DBT
UST
US
N
2
2025-01-15
Fixed
0.25000000
N
N
N
N
N
N
New Orleans Hotel Trust
N/A
New Orleans Hotel Trust 2019-HNLA
647622AE9
5220000.00000000
PA
USD
5168873.23000000
0.056356243081
Long
ABS-MBS
CORP
US
N
2
2032-04-15
Floating
1.68471000
N
N
N
N
N
N
NORDSTROM INC
549300S3IZB5P35KNV16
Nordstrom Inc
655664AX8
1895000.00000000
PA
USD
1902291.96000000
0.020740695958
Long
DBT
CORP
US
N
2
2024-04-08
Fixed
2.30000000
N
N
N
N
N
N
HCL AMERICA INC
549300CBM0L7W7N2EB94
HCL America Inc
40480HAA5
19900000.00000000
PA
USD
19863975.43000000
0.216576994267
Long
DBT
CORP
US
N
2
2026-03-10
Fixed
1.37500000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31388RNR4
15436.02000000
PA
USD
15623.50000000
0.000170343075
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Floating
2.09000000
N
N
N
N
N
N
CN HUANENG GP HK TREASUR
254900S9905REJFRBF91
China Huaneng Group Hong Kong Treasury Management Holding Ltd
000000000
12015000.00000000
PA
USD
12124544.60000000
0.132193952594
Long
DBT
CORP
VG
N
2
2026-01-20
Fixed
1.60000000
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 YEAR US TREASURY NOTE
000000000
2773.00000000
NC
USD
104431.18000000
0.001138613524
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2021-12-21
369961098.31000000
USD
104431.18000000
N
N
N
NEW YORK ST TRANSPRTN DEV CORP
N/A
New York Transportation Development Corp
650116DY9
840000.00000000
PA
USD
841877.99000000
0.009178998698
Long
DBT
MUN
US
N
2
2021-12-01
Fixed
1.36000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202CVH3
300.47000000
PA
USD
331.56000000
0.000003614999
Long
ABS-MBS
USGA
US
N
2
2027-04-20
Fixed
8.50000000
N
N
N
N
N
N
Mill City Mortgage Trust
N/A
Mill City Mortgage Loan Trust 2016-1
59980TAA4
305685.92000000
PA
USD
306819.28000000
0.003345251693
Long
ABS-MBS
CORP
US
N
2
2057-04-25
Variable
2.50000000
N
N
N
N
N
N
SG Capital Partners
N/A
SG Residential Mortgage Trust 2021-1
784212AA0
18228759.21000000
PA
USD
18216908.69000000
0.198619019784
Long
ABS-MBS
CORP
US
N
2
2061-07-25
Variable
1.16000000
N
N
N
N
N
N
DAE FUNDING LLC
635400SZTPQL3Y1P2C76
DAE Funding LLC
23371DAJ3
5500000.00000000
PA
USD
5495875.00000000
0.059921544535
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
1.55000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XL28
18162699.00000000
PA
USD
18066142.46000000
0.196975215046
Long
ABS-MBS
CORP
US
N
2
2030-10-25
Floating
0.93438000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00912XBE3
9867000.00000000
PA
USD
9975803.41000000
0.108766219811
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
3.50000000
N
N
N
N
N
N
Santander Retail Auto Lease Tr
N/A
Santander Retail Auto Lease Trust 2019-C
80284NAG3
9515000.00000000
PA
USD
9685614.42000000
0.105602288228
Long
ABS-O
CORP
US
N
2
2023-11-20
Fixed
2.39000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408DT95
12906.12000000
PA
USD
13152.03000000
0.000143396629
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Floating
2.04300000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225ACK4
34.74000000
PA
USD
34.87000000
0.000000380187
Long
ABS-MBS
USGA
US
N
2
2022-12-15
Fixed
9.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36205LZ86
2370.22000000
PA
USD
2404.50000000
0.000026216271
Long
ABS-MBS
USGA
US
N
2
2024-07-15
Fixed
8.50000000
N
N
N
N
N
N
Sequoia Mortgage Trust
549300FECQ7XLTBL1027
Sequoia Mortgage Trust 2018-CH3
81746WAB4
1984416.72000000
PA
USD
2017004.61000000
0.021991408386
Long
ABS-MBS
CORP
US
N
2
2048-08-25
Variable
4.00000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CAQ4
770239482.48000000
PA
USD
840042435.58000000
9.158985641951
Long
DBT
UST
US
N
2
2025-10-15
Fixed
0.12500000
N
N
N
N
N
N
PERUSAHAAN LISTRIK NEGAR
254900OYVDRYS9J51J61
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
71568QAA5
18900000.00000000
PA
USD
19112625.00000000
0.208385017876
Long
DBT
CORP
ID
N
2
2021-11-22
Fixed
5.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJY6
25000000.00000000
PA
USD
24975475.00000000
0.272307692132
Long
DBT
CORP
US
N
2
2024-06-14
Fixed
0.52300000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CCA7
731976827.75400000
PA
USD
799570312.94000000
8.717717945870
Long
DBT
UST
US
N
2
2026-04-15
Fixed
0.12500000
N
N
N
N
N
Atrium Hotel Portfolio Trust
N/A
Atrium Hotel Portfolio Trust 2017-ATRM
04965JAA1
8480000.00000000
PA
USD
8480222.18000000
0.092459892378
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
1.02600000
N
N
N
N
N
N
OKLAHOMA ST TURNPIKE AUTH
549300J83EP2PBDYH615
Oklahoma Turnpike Authority
679111ZP2
1340000.00000000
PA
USD
1341426.03000000
0.014625572742
Long
DBT
MUN
US
N
2
2022-01-01
Fixed
0.49100000
N
N
N
N
N
N
MICHIGAN ST FIN AUTH REVENUE
54930022O46HOX5J1D14
Michigan Finance Authority
59447TH55
1450000.00000000
PA
USD
1457156.19000000
0.015887379085
Long
DBT
MUN
US
N
2
2023-06-01
Fixed
1.08600000
N
N
N
N
N
N
OZLM Ltd
N/A
OZLM VIII Ltd
67107FBC0
6340101.01000000
PA
USD
6340180.20000000
0.069127007112
Long
ABS-CBDO
CORP
KY
N
2
2029-10-17
Floating
1.30388000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2018-1
89176EAA8
2687480.65000000
PA
USD
2746926.92000000
0.029949753910
Long
ABS-MBS
CORP
US
N
2
2058-01-25
Variable
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402A5W2
177.50000000
PA
USD
176.94000000
0.000001929177
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Floating
2.12500000
N
N
N
N
N
N
PLAINS ALL AMER PIPELINE
N/A
Plains All American Pipeline LP / PAA Finance Corp
72650RBD3
8952000.00000000
PA
USD
9435237.91000000
0.102872432255
Long
DBT
CORP
US
N
2
2023-10-15
Fixed
3.85000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-4
89173UAA5
8902542.12000000
PA
USD
9104936.96000000
0.099271159831
Long
ABS-MBS
CORP
US
N
2
2057-06-25
Variable
2.75000000
N
N
N
N
N
N
Canadian Imperial Bank of Commerce
2IGI19DL77OX0HC3ZE78
CAD/USD FORWARD
000000000
1.00000000
NC
USD
173006.52000000
0.001886290698
N/A
DFE
CORP
US
N
2
Canadian Imperial Bank of Commerce
2IGI19DL77OX0HC3ZE78
-9135474.54000000
USD
11745000.00000000
CAD
2021-10-22
173006.52000000
N
N
N
GMRF Mortgage Acquisition Co.,
N/A
Galton Funding Mortgage Trust 2018-2
36418GAN4
3029991.14000000
PA
USD
3085986.59000000
0.033646522689
Long
ABS-MBS
CORP
US
N
2
2058-10-25
Variable
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415AY70
8322.94000000
PA
USD
8318.21000000
0.000090693473
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Floating
2.15600000
N
N
N
N
N
N
PERRIGO FINANCE UNLIMITD
549300E86RB6YCTMRM83
Perrigo Finance Unlimited Co
714295AC6
22385000.00000000
PA
USD
23928759.14000000
0.260895345413
Long
DBT
CORP
IE
N
2
2024-12-15
Fixed
3.90000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAH8
9380000.00000000
PA
USD
9462159.42000000
0.103165957574
Long
DBT
CORP
IE
N
2
2021-12-16
Fixed
4.45000000
N
N
N
N
N
N
DALLAS TX AREA RAPID TRANSIT S
75YWM81F2R6UQGJIEW47
Dallas Area Rapid Transit
235241VF0
485000.00000000
PA
USD
486471.34000000
0.005303998738
Long
DBT
MUN
US
N
2
2023-12-01
Fixed
0.54100000
N
N
N
N
N
N
SAUDI ELEC GLB SUKUK
549300KSEZC1HOYC2778
Saudi Electricity Global Sukuk Co 4
000000000
4100000.00000000
PA
USD
4427795.00000000
0.048276264522
Long
DBT
CORP
KY
N
2
2024-01-27
Fixed
4.22200000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36205SVE2
3758.39000000
PA
USD
3774.03000000
0.000041148262
Long
ABS-MBS
USGA
US
N
2
2024-09-15
Fixed
8.50000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2016-1
89172EAU8
114392.11000000
PA
USD
114377.58000000
0.001247059158
Long
ABS-MBS
CORP
US
N
2
2055-02-25
Variable
2.75000000
N
N
N
N
N
N
Freddie Mac - STACR
549300BL200YC56BUV20
STACR Trust 2018-DNA3
35563WAA2
26713.60000000
PA
USD
26713.60000000
0.000291258475
Long
ABS-MBS
CORP
US
N
2
2048-09-25
Floating
0.83438000
N
N
N
N
N
N
BHARAT PETROLEUM CORP
8GRDBX1TJ0PU5NCSHT72
Bharat Petroleum Corp Ltd
000000000
13495000.00000000
PA
USD
13679679.08000000
0.149149589322
Long
DBT
CORP
IN
N
2
2022-01-24
Fixed
4.37500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
ZCS IFS USD
000000000
1.00000000
NC
USD
183873.70000000
0.002004775600
N/A
DO
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-08-03
250.00000000
USD
0.00000000
USD
-63468000.00000000
USD
183623.70000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128286N5
522675999.03900000
PA
USD
560570008.97000000
6.111896787594
Long
DBT
UST
US
N
2
2024-04-15
Fixed
0.50000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
IRS IFS USD
000000000
1.00000000
NC
USD
3697478.46000000
0.040313620707
N/A
DO
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2022-10-08
0.00000000
USD
0.00000000
USD
-73902500.00000000
USD
3697478.46000000
N
N
N
Freddie Mac - STACR
549300L8K4CLYS7FCQ06
Freddie Mac STACR Trust 2018-DNA2
35563TAA9
3039432.83000000
PA
USD
3039432.53000000
0.033138943609
Long
ABS-MBS
CORP
US
N
2
2030-12-25
Floating
0.88438000
N
N
N
N
N
N
CHINA MERCHANTS FINANCE
5493009Q07FRBW4O2I15
China Merchants Finance Co Ltd
000000000
920000.00000000
PA
USD
944305.66000000
0.010295767946
Long
DBT
CORP
VG
N
2
2022-05-04
Fixed
5.00000000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust 2020-1
85573AAC9
4721562.63000000
PA
USD
4763927.80000000
0.051941121628
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Variable
2.56200000
N
N
N
N
N
N
Homeward Opportunities Fund I
N/A
Homeward Opportunities Fund I Trust 2019-3
43800KAC1
4917485.94000000
PA
USD
5008882.83000000
0.054611867185
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
3.03100000
N
N
N
N
N
N
POSCO
988400E5HRVX81AYLM04
POSCO
000000000
10895000.00000000
PA
USD
11555840.91000000
0.125993374254
Long
DBT
CORP
KR
N
2
2023-08-01
Fixed
4.00000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-INV3
92537MAE0
8105875.09000000
PA
USD
8218603.49000000
0.089607462877
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
3.10000000
N
N
N
N
N
N
ELARA HGV TIMESHARE ISSUER
N/A
Elara HGV Timeshare Issuer 2017-A LLC
28416DAA8
1708487.35000000
PA
USD
1756991.14000000
0.019156480604
Long
ABS-O
CORP
US
N
2
2030-03-25
Fixed
2.69000000
N
N
N
N
N
N
Canadian Imperial Bank of Commerce
2IGI19DL77OX0HC3ZE78
CAD/USD FORWARD
000000000
1.00000000
NC
USD
-6807.47000000
-0.00007422186
N/A
DFE
CORP
US
N
2
Canadian Imperial Bank of Commerce
2IGI19DL77OX0HC3ZE78
-11745000.00000000
CAD
9301673.59000000
USD
2021-10-22
-6807.47000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415LL96
6541.30000000
PA
USD
6924.14000000
0.000075493922
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Floating
2.10300000
N
N
N
N
N
N
Atrium Hotel Portfolio Trust
N/A
Atrium Hotel Portfolio Trust 2017-ATRM
04965JAC7
12725000.00000000
PA
USD
12713908.89000000
0.138619793530
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
1.59600000
N
N
N
N
N
N
Reese Park CLO, Ltd.
N/A
REESE PARK CLO LTD
758465AC2
9245000.00000000
PA
USD
9247399.26000000
0.100824426791
Long
ABS-CBDO
CORP
KY
N
2
2032-10-15
Floating
1.44613000
N
N
N
N
N
N
ATLANTA GA WTR & WSTWTR REVENU
N/A
City of Atlanta GA Water & Wastewater Revenue
047870SF8
670000.00000000
PA
USD
670987.51000000
0.007315779191
Long
DBT
MUN
US
N
2
2023-11-01
Fixed
0.40700000
N
N
N
N
N
N
TEXAS ST TRANSPRTN COMMISSION
N/A
Central Texas Turnpike System
88283KBK3
6275000.00000000
PA
USD
6360433.50000000
0.069347828913
Long
DBT
MUN
US
N
2
2042-08-15
Variable
1.98000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31400BYV2
524.86000000
PA
USD
523.51000000
0.000005707831
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Floating
2.05000000
N
N
N
N
N
N
NISSAN MOTOR CO
353800DRBDH1LUTNAY26
Nissan Motor Co Ltd
654744AA9
7705000.00000000
PA
USD
8024410.78000000
0.087490179074
Long
DBT
CORP
JP
N
2
2023-09-15
Fixed
3.04300000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
IRS IFS USD
000000000
1.00000000
NC
USD
5462332.06000000
0.059555825741
N/A
DO
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
Y
2023-02-20
0.00000000
USD
0.00000000
USD
-117403000.00000000
USD
5462332.06000000
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2016-4
89172UAA6
1124608.47000000
PA
USD
1132529.09000000
0.012347968668
Long
ABS-MBS
CORP
US
N
2
2056-07-25
Variable
2.25000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/AUD FORWARD
000000000
1.00000000
NC
USD
240138.12000000
0.002618226770
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-9130061.04000000
USD
12805000.00000000
AUD
2021-10-22
240138.12000000
N
N
N
DALLAS TX AREA RAPID TRANSIT S
75YWM81F2R6UQGJIEW47
Dallas Area Rapid Transit
235241VE3
670000.00000000
PA
USD
671365.73000000
0.007319902925
Long
DBT
MUN
US
N
2
2022-12-01
Fixed
0.39700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408BQC5
3984.06000000
PA
USD
4013.69000000
0.000043761276
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Floating
2.30700000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-INV2
46651DAC0
1883830.41000000
PA
USD
1915905.07000000
0.020889119744
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Variable
3.50000000
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd
70014LAA8
19105000.00000000
PA
USD
19845318.75000000
0.216373580420
Long
DBT
CORP
KY
N
2
2022-08-15
Fixed
5.25000000
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
IRS IFS USD
000000000
1.00000000
NC
USD
3055900.57000000
0.033318494707
N/A
DO
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
Y
2023-02-18
0.00000000
USD
0.00000000
USD
-66385000.00000000
USD
3055900.57000000
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XZZ0
10628098.07000000
PA
USD
10628097.01000000
0.115878179235
Long
ABS-MBS
CORP
US
N
2
2030-07-25
Floating
0.93438000
N
N
N
N
N
N
ILLINOIS ST
54930048FV8RWPR02D67
State of Illinois
4521527R6
20095000.00000000
PA
USD
20581226.66000000
0.224397186961
Long
DBT
MUN
US
N
2
2023-10-01
Fixed
2.84000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
IRS IFS USD
000000000
1.00000000
NC
USD
4206069.25000000
0.045858787887
N/A
DO
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
Y
2023-02-26
0.00000000
USD
0.00000000
USD
-84383000.00000000
USD
4206069.25000000
N
N
N
Santander Retail Auto Lease Tr
N/A
Santander Retail Auto Lease Trust 2019-A
80285JAN6
16470000.00000000
PA
USD
16655847.48000000
0.181598763898
Long
ABS-O
CORP
US
N
2
2023-05-22
Fixed
3.30000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128QJPK6
17181.72000000
PA
USD
17300.39000000
0.000188626213
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Floating
2.44800000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828V49
119820682.80000000
PA
USD
133712393.21000000
1.457866695407
Long
DBT
UST
US
N
2
2027-01-15
Fixed
0.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408DVP6
4733.26000000
PA
USD
4759.92000000
0.000051897424
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Floating
1.71500000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2019-G
63941JAA6
8689017.01000000
PA
USD
8870479.31000000
0.096714867245
Long
ABS-O
CORP
US
N
2
2068-10-15
Fixed
2.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408GJG3
1550.73000000
PA
USD
1558.16000000
0.000016988623
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Floating
2.14500000
N
N
N
N
N
N
VANKE REAL ESTATE HK
25490078APAXS5NZGF08
Vanke Real Estate Hong Kong Co Ltd
000000000
5005000.00000000
PA
USD
5219892.33000000
0.056912504509
Long
DBT
CORP
HK
N
2
2023-04-18
Fixed
4.15000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-2
89173HAA4
1879385.78000000
PA
USD
1903338.18000000
0.020752102898
Long
ABS-MBS
CORP
US
N
2
2057-04-25
Variable
2.75000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/NZD FORWARD
000000000
1.00000000
NC
USD
294690.68000000
0.003213013524
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-9149810.64000000
USD
13405000.00000000
NZD
2021-10-22
294690.68000000
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2019-NQM5
64830PAC0
3688963.62000000
PA
USD
3730083.76000000
0.040669116409
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
3.06527000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2020-INV1 Trust
67113CAX4
2375056.15000000
PA
USD
2411263.88000000
0.026290018599
Long
ABS-MBS
CORP
US
N
2
2049-12-25
Variable
3.50000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828YL8
671694187.19700000
PA
USD
721441537.94000000
7.865879636113
Long
DBT
UST
US
N
2
2024-10-15
Fixed
0.12500000
N
N
N
N
N
N
DALLAS TX AREA RAPID TRANSIT S
75YWM81F2R6UQGJIEW47
Dallas Area Rapid Transit
235241VG8
380000.00000000
PA
USD
381670.40000000
0.004161353719
Long
DBT
MUN
US
N
2
2024-12-01
Fixed
0.76100000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XM92
13006323.76000000
PA
USD
12945504.89000000
0.141144885536
Long
ABS-MBS
CORP
US
N
2
2030-10-25
Floating
0.93438000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
IRS IFS USD
000000000
1.00000000
NC
USD
4683763.63000000
0.051067091399
N/A
DO
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2021-12-16
0.00000000
USD
0.00000000
USD
-134000000.00000000
USD
4683763.63000000
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668BJ0
12040000.00000000
PA
USD
12115611.20000000
0.132096551702
Long
DBT
CORP
US
N
2
2023-11-22
Fixed
0.87500000
N
N
N
N
N
TOBACCO SETTLEMENT FIN AUTH WV
N/A
Tobacco Settlement Finance Authority
88880LAF0
2680000.00000000
PA
USD
2716644.44000000
0.029619583923
Long
DBT
MUN
US
N
2
2024-06-01
Fixed
1.49700000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/GBP FORWARD
000000000
1.00000000
NC
USD
87961.39000000
0.000959043345
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-9138550.30000000
USD
6710000.00000000
GBP
2021-11-19
87961.39000000
N
N
N
Barings CLO Ltd
54930079SUKCXYW8DR07
Barings CLO Ltd 2013-I
06760EAA4
11408540.38000000
PA
USD
11418808.07000000
0.124499304715
Long
ABS-CBDO
CORP
KY
N
2
2028-01-20
Floating
0.93425000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404NBE5
305.02000000
PA
USD
304.20000000
0.000003316693
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Floating
2.12500000
N
N
N
N
N
N
MARTIN MARIETTA
5299005MZ4WZECVATV08
Martin Marietta Materials Inc
573284AY2
5540000.00000000
PA
USD
5545639.72000000
0.060464129452
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
0.65000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35565TAA7
2218650.58000000
PA
USD
2220120.88000000
0.024205985795
Long
ABS-MBS
CORP
US
N
2
2050-11-25
Floating
1.15000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XF82
12113302.47000000
PA
USD
11993614.56000000
0.130766421906
Long
ABS-MBS
CORP
US
N
2
2030-08-25
Floating
0.98438000
N
N
N
N
N
N
T. ROWE PRICE GOVERNMENT RESERVE FUND
5493007QR86JJLYO6D96
T. ROWE PRICE GOVERNMENT RESERVE FUND
000000000
75795149.75000000
NS
USD
75795149.75000000
0.826394785414
Long
STIV
RF
US
N
1
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
IRS IFS USD
000000000
1.00000000
NC
USD
3699762.30000000
0.040338521423
N/A
DO
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2022-10-08
0.00000000
USD
0.00000000
USD
-73902500.00000000
USD
3699762.30000000
N
N
N
PT PERTAMINA (PERSERO)
254900NDAKGNZ2IBBL45
Pertamina Persero PT
000000000
18000000.00000000
PA
USD
18539370.00000000
0.202134816586
Long
DBT
CORP
ID
N
2
2022-05-03
Fixed
4.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31388RNM5
6479.11000000
PA
USD
6494.57000000
0.000070810319
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Floating
2.21500000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2019-IMC1
17328BAA2
3876282.49000000
PA
USD
3910922.50000000
0.042640801829
Long
ABS-MBS
CORP
US
N
2
2049-07-25
Variable
2.72000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381VKU3
5001858.76000000
PA
USD
5306498.97000000
0.057856777011
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
3.50000000
N
N
N
N
N
N
HPHT FINANCE 19 LTD
254900U58MWSWY66P584
HPHT Finance 19 Ltd
000000000
12000000.00000000
PA
USD
12631200.00000000
0.137718018210
Long
DBT
CORP
KY
N
2
2024-11-05
Fixed
2.87500000
N
N
N
N
N
N
GMRF Mortgage Acquisition Co.,
N/A
Galton Funding Mortgage Trust 2017-1
36417JAL3
1993107.35000000
PA
USD
2016129.73000000
0.021981869566
Long
ABS-MBS
CORP
US
N
2
2057-11-25
Variable
3.50000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2021-E
63942EAA6
7305000.00000000
PA
USD
7309405.65000000
0.079694475616
Long
ABS-O
CORP
US
N
2
2069-12-16
Fixed
0.97000000
N
N
N
N
N
N
Freddie Mac - STACR
549300L8K4CLYS7FCQ06
Freddie Mac STACR Trust 2018-DNA2
35563TAK7
12137000.00000000
PA
USD
12111591.19000000
0.132052721519
Long
ABS-MBS
CORP
US
N
2
2030-12-25
Floating
1.03438000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
EUR/USD FORWARD
000000000
1.00000000
NC
USD
-50503.55000000
-0.00055064038
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-7830000.00000000
EUR
9209151.93000000
USD
2021-11-19
-50503.55000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828B25
713536038.55300000
PA
USD
764263991.29000000
8.332772996226
Long
DBT
UST
US
N
2
2024-01-15
Fixed
0.62500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
ZCS IFS USD
000000000
1.00000000
NC
USD
329535.26000000
0.003592924103
N/A
DO
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2023-08-03
250.00000000
USD
0.00000000
USD
-153500000.00000000
USD
329285.26000000
N
N
N
SMBC AVIATION CAPITAL FI
549300OD7VKRVNWB2J98
SMBC Aviation Capital Finance DAC
78448TAB8
4155000.00000000
PA
USD
4237763.45000000
0.046204349862
Long
DBT
CORP
IE
N
2
2022-07-15
Fixed
3.00000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust
33851PAE5
14807020.83000000
PA
USD
15204382.04000000
0.165773431080
Long
ABS-MBS
CORP
US
N
2
2033-05-25
Variable
2.50000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828UH1
158788092.00000000
PA
USD
164643402.89000000
1.795107603189
Long
DBT
UST
US
N
2
2023-01-15
Fixed
0.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31342A6S3
92.32000000
PA
USD
92.66000000
0.000001010272
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Floating
2.34400000
N
N
N
N
N
N
KKR Financial CLO Ltd
635400ZS4BDP68TETX94
KKR CLO 13 Ltd
48250VAU1
7300555.59000000
PA
USD
7303097.28000000
0.079625695436
Long
ABS-CBDO
CORP
KY
N
2
2028-01-16
Floating
0.92638000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
IRS IFS USD
000000000
1.00000000
NC
USD
4161415.73000000
0.045371930401
N/A
DO
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
Y
2023-02-18
0.00000000
USD
0.00000000
USD
-90615000.00000000
USD
4161415.73000000
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
IRS IFS USD
000000000
1.00000000
NC
USD
5441842.36000000
0.059332426470
N/A
DO
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2021-10-09
0.00000000
USD
0.00000000
USD
-147897724.00000000
USD
5441842.36000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202CWF6
997.82000000
PA
USD
1031.07000000
0.000011241759
Long
ABS-MBS
USGA
US
N
2
2027-06-20
Fixed
8.50000000
N
N
N
N
N
N
BAYVIEW OPPORTUNITY MASTER FUN
N/A
Bayview Opportunity Master Fund IVb Trust 2017-SPL4
07331YAA8
2799563.33000000
PA
USD
2852292.55000000
0.031098555746
Long
ABS-MBS
CORP
US
N
2
2055-01-28
Variable
3.50000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAL5
4990000.00000000
PA
USD
5408077.17000000
0.058964284484
Long
DBT
CORP
KY
N
2
2026-04-15
Fixed
4.25000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2020-NQM1
64830VAA1
4571958.06000000
PA
USD
4613481.50000000
0.050300805088
Long
ABS-MBS
CORP
US
N
2
2060-01-26
Variable
2.46413000
N
N
N
N
N
N
2021-10-25
T. ROWE PRICE LIMITED-DURATION INFLATION FOCUSED BOND FUND, INC.
Alan S. Dupski
Alan S. Dupski
Treasurer & Vice President
XXXX
NPORT-EX
2
70U8TRPLTDurInflFocBdFd.htm
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
August
31,
2021
(Unaudited)
Portfolio
of
Investments
‡
Par/Shares
$
Value
(Amounts
in
000s)
‡
ASSET-BACKED
SECURITIES
2.0%
Auto
Backed
0.6%
AmeriCredit
Automobile
Receivables
Trust
Series 2020-3,
Class
C
1.06%,
8/18/26
4,965
5,010
Avis
Budget
Rental
Car
Funding
AESOP
Series 2017-2A,
Class
A
2.97%,
3/20/24 (1)
13,111
13,566
Exeter
Automobile
Receivables
Trust
Series 2020-1A,
Class
B
2.26%,
4/15/24 (1)
3,948
3,961
Santander
Drive
Auto
Receivables
Trust
Series 2020-4,
Class
C
1.01%,
1/15/26
8,070
8,133
Santander
Retail
Auto
Lease
Trust
Series 2019-A,
Class
C
3.30%,
5/22/23 (1)
16,470
16,656
Santander
Retail
Auto
Lease
Trust
Series 2019-C,
Class
C
2.39%,
11/20/23 (1)
9,515
9,686
57,012
Collaterized
Debt
Obligation
1.0%
Ares
LVIII
Series 2020-58A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.22%,
1.346%,
1/15/33 (1)
4,080
4,083
Barings
Series 2013-IA,
Class
AR,
CLO,
FRN
3M
USD
LIBOR
+
0.80%,
0.934%,
1/20/28 (1)
11,409
11,419
BlueMountain
Series 2012-2A,
Class
AR2,
CLO,
FRN
3M
USD
LIBOR
+
1.05%,
1.181%,
11/20/28 (1)
4,071
4,071
KKR
Series 13,
Class
A1R,
CLO,
FRN
3M
USD
LIBOR
+
0.80%,
0.926%,
1/16/28 (1)
7,301
7,303
KKR
Series 13,
Class
B1R,
CLO,
FRN
3M
USD
LIBOR
+
1.15%,
1.276%,
1/16/28 (1)
3,420
3,410
Madison
Park
Funding
XXXVII
Series 2019-37A,
Class
AR,
CLO,
FRN
3M
USD
LIBOR
+
1.07%,
1.21%,
7/15/33 (1)
6,780
6,772
Magnetite
XVI
Series 2015-16A,
Class
AR,
CLO,
FRN
3M
USD
LIBOR
+
0.80%,
0.934%,
1/18/28 (1)
27,166
27,170
Magnetite
XXV
Series 2020-25A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.20%,
1.325%,
1/25/32 (1)
8,400
8,411
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
Par/Shares
$
Value
(Amounts
in
000s)
‡
OZLM
VIII
Series 2014-8A,
Class
A1RR,
CLO,
FRN
3M
USD
LIBOR
+
1.17%,
1.304%,
10/17/29 (1)
6,340
6,340
Reese
Park
Series 2020-1A,
Class
A1,
CLO,
FRN
3M
USD
LIBOR
+
1.32%,
1.446%,
10/15/32 (1)
9,245
9,247
Symphony
XXIII
Series 2020-23A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.32%,
1.446%,
1/15/34 (1)
6,025
6,036
94,262
Other
Asset-Backed
Securities
0.2%
BRE
Grand
Islander
Timeshare
Issuer
Series 2019-A,
Class
A
3.28%,
9/26/33 (1)
2,703
2,835
Elara
HGV
Timeshare
Issuer
Series 2017-A,
Class
A
2.69%,
3/25/30 (1)
1,708
1,757
HPEFS
Equipment
Trust
Series 2021-2A,
Class
C
0.88%,
9/20/28 (1)
11,555
11,551
Sierra
Timeshare
Receivables
Funding
Series 2019-3A,
Class
A
2.34%,
8/20/36 (1)
3,057
3,123
19,266
Student
Loan
0.2%
Navient
Private
Education
Refi
Loan
Trust
Series 2019-GA,
Class
A
2.40%,
10/15/68 (1)
8,689
8,871
Navient
Private
Education
Refi
Loan
Trust
Series 2021-EA,
Class
A
0.97%,
12/16/69 (1)
7,305
7,309
16,180
Total
Asset-Backed
Securities
(Cost
$185,367)
186,720
CORPORATE
BONDS
5.7%
Airlines
0.0%
SMBC
Aviation
Capital
Finance,
3.00%,
7/15/22 (1)
4,155
4,238
4,238
Automotive
0.6%
Hyundai
Capital
America,
0.875%,
6/14/24 (1)(2)
17,855
17,810
Hyundai
Capital
America,
1.15%,
11/10/22 (1)
6,500
6,541
Hyundai
Capital
America,
1.25%,
9/18/23 (1)
12,140
12,253
Nissan
Motor,
3.043%,
9/15/23 (1)
7,705
8,024
Volkswagen
Group
of
America
Finance,
0.875%,
11/22/23 (1)(2)
12,040
12,116
56,744
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
Par/Shares
$
Value
(Amounts
in
000s)
‡
Banking
1.0%
Bank
of
America,
VR,
0.523%,
6/14/24 (3)
25,000
24,975
Bank
of
Montreal,
0.625%,
7/9/24
18,550
18,536
Goldman
Sachs
Group,
VR,
0.657%,
9/10/24 (2)(3)
25,000
24,970
Mitsubishi
UFJ
Financial
Group,
VR,
0.953%,
7/19/25 (3)
23,360
23,425
91,906
Building
Products
0.1%
Martin
Marietta
Materials,
0.65%,
7/15/23
5,540
5,546
5,546
Consumer
Products
0.0%
YMCA
of
Greater
New
York,
2.303%,
8/1/26
2,240
2,265
2,265
Drugs
0.3%
Perrigo
Finance
Unlimited,
3.90%,
12/15/24
22,385
23,929
23,929
Energy
0.7%
Abu
Dhabi
National
Energy,
3.875%,
5/6/24
8,200
8,877
Global
Sukuk,
0.946%,
6/17/24 (1)
24,247
24,167
Gray
Oak
Pipeline,
2.00%,
9/15/23 (1)
1,320
1,345
Perusahaan
Listrik
Negara,
5.50%,
11/22/21
18,900
19,112
Plains
All
American
Pipeline,
3.85%,
10/15/23
8,952
9,435
62,936
Financial
0.9%
AerCap
Ireland
Capital,
3.50%,
5/26/22
5,750
5,860
AerCap
Ireland
Capital,
4.45%,
12/16/21
9,380
9,462
Air
Lease,
3.50%,
1/15/22
9,867
9,976
Ally
Financial,
1.45%,
10/2/23
6,710
6,805
Avolon
Holdings
Funding,
4.25%,
4/15/26 (1)
4,990
5,408
DAE
Funding,
1.55%,
8/1/24 (1)
5,500
5,496
MAF
Sukuk,
4.50%,
11/3/25
13,510
14,973
Park
Aerospace
Holdings,
5.25%,
8/15/22 (1)(2)
19,105
19,845
77,825
Information
Technology
0.2%
HCL
America,
1.375%,
3/10/26 (1)(2)
19,900
19,864
19,864
Insurance
0.1%
Brighthouse
Financial
Global
Funding,
0.60%,
6/28/23 (1)
9,000
9,001
9,001
Metals
&
Mining
0.2%
POSCO,
2.375%,
1/17/23
7,025
7,178
POSCO,
4.00%,
8/1/23
10,895
11,556
18,734
Oil
Field
Services
0.3%
Energy
Transfer,
4.25%,
3/15/23
24,956
26,017
26,017
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
Par/Shares
$
Value
(Amounts
in
000s)
‡
Petroleum
0.6%
Bharat
Petroleum,
4.375%,
1/24/22
13,495
13,680
Ecopetrol,
5.875%,
9/18/23
19,000
20,508
Pertamina
Persero,
4.875%,
5/3/22
18,000
18,539
52,727
Real
Estate
Investment
Trust
Securities
0.1%
Vanke
Real
Estate
Hong
Kong,
4.15%,
4/18/23
5,005
5,220
5,220
Retail
0.0%
Nordstrom,
2.30%,
4/8/24
1,895
1,902
1,902
Transportation
(Excluding
Railroads)
0.0%
China
Merchants
Finance,
5.00%,
5/4/22
920
944
944
Transportation
Services
0.3%
HPHT
Finance,
2.75%,
9/11/22
18,800
19,152
HPHT
Finance,
2.875%,
11/5/24
12,000
12,631
31,783
Utilities
0.3%
China
Huaneng
Group
Hong
Kong
Treasury
Management
Holding,
1.60%,
1/20/26 (2)
12,015
12,124
Consorcio
Transmantaro,
4.375%,
5/7/23 (2)
11,300
11,749
Saudi
Electricity
Global
Sukuk,
4.222%,
1/27/24
4,100
4,428
28,301
Total
Corporate
Bonds
(Cost
$515,187)
519,882
FOREIGN
GOVERNMENT
OBLIGATIONS
&
MUNICIPALITIES
0.0%
Foreign
Government
&
Municipalities
(Excluding
Canadian)
0.0%
Saudi
Arabian
Oil,
1.25%,
11/24/23 (1)
1,150
1,161
Total
Foreign
Government
Obligations
&
Municipalities
(Cost
$1,148)
1,161
MUNICIPAL
SECURITIES
0.6%
California
0.1%
California
State
Univ.,
Series B,
0.563%,
11/1/24
4,220
4,223
4,223
Colorado
0.0%
Denver
City
&
County
Airport
System,
Series C,
0.877%,
11/15/23
785
792
Denver
City
&
County
Airport
System,
Series C,
1.115%,
11/15/24
1,225
1,240
2,032
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
Par/Shares
$
Value
(Amounts
in
000s)
‡
Georgia
0.0%
Atlanta
Water
&
Wastewater,
0.191%,
11/1/21
670
670
Atlanta
Water
&
Wastewater,
0.271%,
11/1/22
670
671
Atlanta
Water
&
Wastewater,
0.407%,
11/1/23
670
671
Atlanta
Water
&
Wastewater,
0.616%,
11/1/24
670
671
2,683
Hawaii
0.0%
Hawaii,
Series GB,
GO,
0.571%,
10/1/23
2,885
2,901
2,901
Illinois
0.2%
Illinois,
Series A,
GO,
2.84%,
10/1/23
20,095
20,581
20,581
Michigan
0.1%
Michigan
Fin.
Auth.,
Series A-1,
0.897%,
6/1/22
1,350
1,352
Michigan
Fin.
Auth.,
Series A-1,
1.086%,
6/1/23
1,450
1,457
Michigan
Fin.
Auth.,
Series A-1,
1.376%,
6/1/24
3,425
3,463
6,272
New
York
0.0%
New
York
Transportation
Dev.,
Terminal
4
JFK
Int'l.
Airport,
Series B,
1.36%,
12/1/21
840
842
New
York
Transportation
Dev.,
Terminal
4
JFK
Int'l.
Airport,
Series B,
1.61%,
12/1/22
715
724
1,566
Oklahoma
0.0%
Oklahoma
Turnpike
Auth.,
Series B,
0.491%,
1/1/22
1,340
1,342
1,342
Texas
0.1%
Central
Texas
Turnpike
System,
Series B,
VRDN,
1.98%,
8/15/42
(Tender
8/15/22)
6,275
6,360
Dallas
Area
Rapid
Transit,
0.297%,
12/1/21
905
905
Dallas
Area
Rapid
Transit,
0.397%,
12/1/22
670
671
Dallas
Area
Rapid
Transit,
0.541%,
12/1/23
485
487
Dallas
Area
Rapid
Transit,
0.761%,
12/1/24
380
382
8,805
West
Virginia
0.1%
Tobacco
Settlement
Fin.
Auth.,
Class
1
Senior
Bonds,
Series A,
0.947%,
6/1/22
1,330
1,335
Tobacco
Settlement
Fin.
Auth.,
Class
1
Senior
Bonds,
Series A,
1.193%,
6/1/23
2,000
2,017
Tobacco
Settlement
Fin.
Auth.,
Class
1
Senior
Bonds,
Series A,
1.497%,
6/1/24
2,680
2,717
6,069
Total
Municipal
Securities
(Cost
$55,735)
56,474
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
Par/Shares
$
Value
(Amounts
in
000s)
‡
NON-U.S.
GOVERNMENT
MORTGAGE-BACKED
SECURITIES
5.1%
Commercial
Mortgage-Backed
Securities
0.5%
Atrium
Hotel
Portfolio
Trust
Series 2017-ATRM,
Class
A,
ARM
1M
USD
LIBOR
+
0.93%,
1.026%,
12/15/36 (1)
8,480
8,480
Atrium
Hotel
Portfolio
Trust
Series 2017-ATRM,
Class
B,
ARM
1M
USD
LIBOR
+
1.50%,
1.596%,
12/15/36 (1)
12,725
12,714
Atrium
Hotel
Portfolio
Trust
Series 2017-ATRM,
Class
C,
ARM
1M
USD
LIBOR
+
1.65%,
1.746%,
12/15/36 (1)
3,860
3,852
BX
Commercial
Mortgage
Trust
Series 2019-IMC,
Class
C,
ARM
1M
USD
LIBOR
+
1.60%,
1.696%,
4/15/34 (1)
11,895
11,859
InTown
Hotel
Portfolio
Trust
Series 2018-STAY,
Class
A,
ARM
1M
USD
LIBOR
+
0.95%,
1.046%,
1/15/33 (1)
3,310
3,318
InTown
Hotel
Portfolio
Trust
Series 2018-STAY,
Class
B,
ARM
1M
USD
LIBOR
+
1.30%,
1.396%,
1/15/33 (1)
1,855
1,860
New
Orleans
Hotel
Trust
Series 2019-HNLA,
Class
C,
ARM
1M
USD
LIBOR
+
1.589%,
1.685%,
4/15/32 (1)
5,220
5,169
47,252
Home
Equity
Loans
Backed
0.2%
Citigroup
Mortgage
Loan
Trust
Series 2019-IMC1,
Class
A1,
CMO,
ARM
2.72%,
7/25/49 (1)
3,876
3,911
Flagstar
Mortgage
Trust
Series 2021-5INV,
Class
A5,
CMO,
ARM
2.50%,
5/25/33 (1)
14,807
15,204
19,115
Whole
Loans
Backed
4.4%
Angel
Oak
Mortgage
Trust
I
Series 2019-2,
Class
A1,
CMO,
ARM
3.628%,
3/25/49 (1)
2,760
2,788
Bayview
Mortgage
Fund
IVc
Trust
Series 2017-RT3,
Class
A,
CMO,
ARM
3.50%,
1/28/58 (1)
9,414
9,513
Bayview
MSR
Opportunity
Master
Fund
Trust
Series 2021-2,
Class
A5,
CMO,
ARM
2.50%,
6/25/51 (1)
13,718
14,108
Bayview
Opportunity
Master
Fund
IVb
Trust
Series 2017-SPL4,
Class
A,
CMO,
ARM
3.50%,
1/28/55 (1)
2,800
2,852
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
Par/Shares
$
Value
(Amounts
in
000s)
‡
Connecticut
Avenue
Securities
Series 2017-C02,
Class
2ED3,
CMO,
ARM
1M
USD
LIBOR
+
1.35%,
1.434%,
9/25/29
14,314
14,405
Connecticut
Avenue
Securities
Series 2017-C04,
Class
2ED2,
CMO,
ARM
1M
USD
LIBOR
+
1.10%,
1.184%,
11/25/29
15,235
15,047
Connecticut
Avenue
Securities
Series 2017-C05,
Class
1ED3,
CMO,
ARM
1M
USD
LIBOR
+
1.20%,
1.284%,
1/25/30
9,705
9,471
Connecticut
Avenue
Securities
Series 2017-C06,
Class
1M2B,
CMO,
ARM
1M
USD
LIBOR
+
2.65%,
2.734%,
2/25/30
8,159
8,217
Connecticut
Avenue
Securities
Series 2018-C01,
Class
1ED2,
CMO,
ARM
1M
USD
LIBOR
+
0.85%,
0.934%,
7/25/30
10,628
10,628
Connecticut
Avenue
Securities
Series 2018-C02,
Class
2EB2,
CMO,
ARM
1M
USD
LIBOR
+
0.90%,
0.984%,
8/25/30
5,118
5,038
Connecticut
Avenue
Securities
Series 2018-C02,
Class
2ED2,
CMO,
ARM
1M
USD
LIBOR
+
0.90%,
0.984%,
8/25/30
12,113
11,994
Connecticut
Avenue
Securities
Series 2018-C03,
Class
1EB2,
CMO,
ARM
1M
USD
LIBOR
+
0.85%,
0.934%,
10/25/30
18,163
18,066
Connecticut
Avenue
Securities
Series 2018-C03,
Class
1ED2,
CMO,
ARM
1M
USD
LIBOR
+
0.85%,
0.934%,
10/25/30
13,006
12,946
CSMC
Trust
Series 2021-RPL6,
Class
A1,
CMO,
ARM
2.00%,
10/25/60 (1)
12,744
12,995
Ellington
Financial
Mortgage
Trust
Series 2019-2,
Class
A1,
CMO,
ARM
2.739%,
11/25/59 (1)
2,865
2,912
Freddie
Mac
Whole
Loan
Securities
Trust
Series 2017-SC01,
Class
M1,
CMO,
ARM
3.619%,
12/25/46 (1)
1,928
1,946
Galton
Funding
Mortgage
Trust
Series 2018-1,
Class
A23,
CMO,
ARM
3.50%,
11/25/57 (1)
1,993
2,016
Galton
Funding
Mortgage
Trust
Series 2018-2,
Class
A31,
CMO,
ARM
4.50%,
10/25/58 (1)
3,030
3,086
Galton
Funding
Mortgage
Trust
Series 2020-H1,
Class
A3,
CMO,
ARM
2.617%,
1/25/60 (1)
6,188
6,219
GS
Mortgage-Backed
Securities
Trust
Series 2014-EB1A,
Class
2A1,
CMO,
ARM
1.66%,
7/25/44 (1)
190
191
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
Par/Shares
$
Value
(Amounts
in
000s)
‡
GS
Mortgage-Backed
Securities
Trust
Series 2021-PJ6,
Class
A8,
CMO,
ARM
2.50%,
11/25/51 (1)
24,491
25,118
Homeward
Opportunities
Fund
I
Trust
Series 2019-3,
Class
A3,
CMO,
ARM
3.031%,
11/25/59 (1)
4,917
5,009
JPMorgan
Mortgage
Trust
Series 2019-INV2,
Class
A3,
CMO,
ARM
3.50%,
2/25/50 (1)
1,884
1,916
JPMorgan
Mortgage
Trust
Series 2020-LTV1,
Class
A4,
CMO,
ARM
3.50%,
6/25/50 (1)
1,244
1,244
MetLife
Securitization
Trust
Series 2017-1A,
Class
A,
CMO,
ARM
3.00%,
4/25/55 (1)
3,368
3,445
MetLife
Securitization
Trust
Series 2018-1A,
Class
A,
CMO,
ARM
3.75%,
3/25/57 (1)
9,551
9,878
Mill
City
Mortgage
Loan
Trust
Series 2016-1,
Class
A1,
CMO,
ARM
2.50%,
4/25/57 (1)
306
307
Mill
City
Mortgage
Loan
Trust
Series 2017-2,
Class
A1,
CMO,
ARM
2.75%,
7/25/59 (1)
3,083
3,123
New
Residential
Mortgage
Loan
Trust
Series 2019-NQM5,
Class
A3,
CMO,
ARM
3.065%,
11/25/59 (1)
3,689
3,730
New
Residential
Mortgage
Loan
Trust
Series 2020-NQM1,
Class
A1,
CMO,
ARM
2.464%,
1/26/60 (1)
4,572
4,613
OBX
Trust
Series 2019-EXP1,
Class
1A3,
CMO,
ARM
4.00%,
1/25/59 (1)
4,754
4,830
OBX
Trust
Series 2019-EXP3,
Class
2A1,
CMO,
ARM
1M
USD
LIBOR
+
0.90%,
0.984%,
10/25/59 (1)
3,465
3,470
OBX
Trust
Series 2019-EXP3,
Class
2A2,
CMO,
ARM
1M
USD
LIBOR
+
1.10%,
1.184%,
10/25/59 (1)
3,147
3,191
OBX
Trust
Series 2020-EXP1,
Class
1A9,
CMO,
ARM
3.50%,
2/25/60 (1)
4,013
4,106
OBX
Trust
Series 2020-EXP1,
Class
2A1,
CMO,
ARM
1M
USD
LIBOR
+
0.75%,
0.834%,
2/25/60 (1)
1,790
1,789
OBX
Trust
Series 2020-INV1,
Class
A21,
CMO,
ARM
3.50%,
12/25/49 (1)
2,375
2,411
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
Par/Shares
$
Value
(Amounts
in
000s)
‡
Sequoia
Mortgage
Trust
Series 2018-CH1,
Class
A2,
CMO,
ARM
3.50%,
2/25/48 (1)
2,111
2,125
Sequoia
Mortgage
Trust
Series 2018-CH2,
Class
A3,
CMO,
ARM
4.00%,
6/25/48 (1)
1,899
1,921
Sequoia
Mortgage
Trust
Series 2018-CH3,
Class
A2,
CMO,
ARM
4.00%,
8/25/48 (1)
1,984
2,017
SG
Residential
Mortgage
Trust
Series 2019-3,
Class
A3,
CMO,
ARM
3.082%,
9/25/59 (1)
5,292
5,316
SG
Residential
Mortgage
Trust
Series 2021-1,
Class
A1,
CMO,
ARM
1.16%,
7/25/61 (1)
18,229
18,217
Starwood
Mortgage
Residential
Trust
Series 2019-INV1,
Class
A1,
CMO,
ARM
2.61%,
9/27/49 (1)
4,077
4,122
Starwood
Mortgage
Residential
Trust
Series 2020-1,
Class
A3,
CMO,
ARM
2.562%,
2/25/50 (1)
4,722
4,764
Structured
Agency
Credit
Risk
Debt
Notes
Series 2017-DNA2,
Class
M1,
CMO,
ARM
1M
USD
LIBOR
+
1.20%,
1.284%,
10/25/29
2,011
2,011
Structured
Agency
Credit
Risk
Debt
Notes
Series 2017-DNA3,
Class
M1,
CMO,
ARM
1M
USD
LIBOR
+
0.75%,
0.834%,
3/25/30
891
891
Structured
Agency
Credit
Risk
Debt
Notes
Series 2018-DNA2,
Class
M1,
CMO,
ARM
1M
USD
LIBOR
+
0.80%,
0.884%,
12/25/30 (1)
3,039
3,039
Structured
Agency
Credit
Risk
Debt
Notes
Series 2018-DNA2,
Class
M2AS,
CMO,
ARM
1M
USD
LIBOR
+
0.95%,
1.034%,
12/25/30 (1)
12,137
12,112
Structured
Agency
Credit
Risk
Debt
Notes
Series 2018-DNA3,
Class
M1,
CMO,
ARM
1M
USD
LIBOR
+
0.75%,
0.834%,
9/25/48 (1)
27
27
Structured
Agency
Credit
Risk
Debt
Notes
Series 2018-DNA3,
Class
M2AS,
CMO,
ARM
1M
USD
LIBOR
+
0.90%,
0.984%,
9/25/48 (1)
8,860
8,869
Structured
Agency
Credit
Risk
Debt
Notes
Series 2018-HQA2,
Class
M1,
CMO,
ARM
1M
USD
LIBOR
+
0.75%,
0.834%,
10/25/48 (1)
1,374
1,374
Structured
Agency
Credit
Risk
Debt
Notes
Series 2020-HQA5,
Class
M1,
CMO,
ARM
SOFR30A
+
1.10%,
1.15%,
11/25/50 (1)
2,219
2,220
Towd
Point
Mortgage
Trust
Series 2016-1,
Class
A1B,
CMO,
ARM
2.75%,
2/25/55 (1)
114
114
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
Par/Shares
$
Value
(Amounts
in
000s)
‡
Towd
Point
Mortgage
Trust
Series 2016-1,
Class
A3B,
CMO,
ARM
3.00%,
2/25/55 (1)
901
908
Towd
Point
Mortgage
Trust
Series 2016-2,
Class
A1A,
CMO,
ARM
2.75%,
8/25/55 (1)
1,040
1,045
Towd
Point
Mortgage
Trust
Series 2016-3,
Class
A1,
CMO,
ARM
2.25%,
4/25/56 (1)
915
917
Towd
Point
Mortgage
Trust
Series 2016-4,
Class
A1,
CMO,
ARM
2.25%,
7/25/56 (1)
1,125
1,133
Towd
Point
Mortgage
Trust
Series 2017-1,
Class
A1,
CMO,
ARM
2.75%,
10/25/56 (1)
2,130
2,161
Towd
Point
Mortgage
Trust
Series 2017-2,
Class
A1,
CMO,
ARM
2.75%,
4/25/57 (1)
1,879
1,903
Towd
Point
Mortgage
Trust
Series 2017-4,
Class
A1,
CMO,
ARM
2.75%,
6/25/57 (1)
8,903
9,105
Towd
Point
Mortgage
Trust
Series 2017-6,
Class
A1,
CMO,
ARM
2.75%,
10/25/57 (1)
13,364
13,611
Towd
Point
Mortgage
Trust
Series 2018-1,
Class
A1,
CMO,
ARM
3.00%,
1/25/58 (1)
2,687
2,747
Towd
Point
Mortgage
Trust
Series 2018-5,
Class
A1A,
CMO,
ARM
3.25%,
7/25/58 (1)
3,732
3,800
Verus
Securitization
Trust
Series 2019-INV3,
Class
A3,
CMO,
ARM
3.10%,
11/25/59 (1)
8,106
8,219
Verus
Securitization
Trust
Series 2020-1,
Class
A3,
CMO,
STEP
2.724%,
1/25/60 (1)
7,983
8,076
Verus
Securitization
Trust
Series 2021-3,
Class
A1,
CMO,
ARM
1.046%,
6/25/66 (1)
17,837
17,859
Wells
Fargo
Mortgage
Backed
Securities
Trust
Series 2021-RR1,
Class
A3,
CMO,
ARM
2.50%,
12/25/50 (1)
12,613
12,904
396,145
Total
Non-U.S.
Government
Mortgage-Backed
Securities
(Cost
$461,818)
462,512
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
Par/Shares
$
Value
(Amounts
in
000s)
‡
U.S.
GOVERNMENT
&
AGENCY
MORTGAGE-BACKED
SECURITIES
0.6%
U.S.
Government
Agency
Obligations
0.0%
Federal
Home
Loan
Mortgage,
ARM
12M
USD
LIBOR
+
1.625%,
1.875%,
7/1/38
16
16
12M
USD
LIBOR
+
1.961%,
2.336%,
2/1/33
—
—
12M
USD
LIBOR
+
1.987%,
2.362%,
2/1/34
1
2
12M
USD
LIBOR
+
2.029%,
2.448%,
11/1/36
17
17
1Y
CMT
+
2.219%,
2.344%,
10/1/33
—
—
Federal
National
Mortgage
Assn.,
ARM
12M
USD
LIBOR
+
1.34%,
1.715%,
12/1/35
5
5
12M
USD
LIBOR
+
1.59%,
1.926%,
12/1/35
13
13
12M
USD
LIBOR
+
1.674%,
2.049%,
2/1/33
1
1
12M
USD
LIBOR
+
1.676%,
2.013%,
7/1/34
1
1
12M
USD
LIBOR
+
1.715%,
2.09%,
12/1/32
15
16
12M
USD
LIBOR
+
1.715%,
2.215%,
10/1/32
6
6
12M
USD
LIBOR
+
1.726%,
2.226%,
9/1/32
1
1
12M
USD
LIBOR
+
1.77%,
2.145%,
12/1/35
2
2
12M
USD
LIBOR
+
1.78%,
2.155%,
1/1/34
5
5
12M
USD
LIBOR
+
1.83%,
2.156%,
8/1/38
8
8
12M
USD
LIBOR
+
1.853%,
2.103%,
8/1/38
7
7
12M
USD
LIBOR
+
1.892%,
2.307%,
12/1/35
4
4
1Y
CMT
+
2.00%,
2.125%,
1/1/35
—
—
1Y
CMT
+
2.125%,
2.125%,
7/1/33
—
—
COF11
+
1.25%,
2.187%,
7/1/27
—
—
Federal
National
Mortgage
Assn.,
CMO,
STEP,
5.11%,
1/25/32
—
—
Federal
National
Mortgage
Assn.,
UMBS,
7.00%,
10/1/23
—
1
105
U.S.
Government
Obligations
0.6%
Government
National
Mortgage
Assn.
8.50%,
4/15/22
-
6/20/27
34
35
9.00%,
12/15/22
—
—
Government
National
Mortgage
Assn.,
CMO,
3.50%,
5/20/49
5,002
5,307
Government
National
Mortgage
Assn.,
TBA,
2.00%,
10/20/51 (4)
46,935
47,826
53,168
Total
U.S.
Government
&
Agency
Mortgage-Backed
Securities
(Cost
$53,033)
53,273
U.S.
GOVERNMENT
AGENCY
OBLIGATIONS
(EXCLUDING
MORTGAGE-BACKED)
84.9%
U.S.
Treasury
Obligations
84.9%
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
1/15/22
3,665
3,708
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
1/15/23
158,788
164,644
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
Par/Shares
$
Value
(Amounts
in
000s)
‡
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
7/15/24
359,291
385,340
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
10/15/24
671,694
721,442
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
4/15/25 (5)
1,095,935
1,181,897
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
10/15/25
770,239
840,043
U.S.
Treasury
Inflation-Indexed
Notes,
0.125%,
4/15/26 (2)
731,977
799,570
U.S.
Treasury
Inflation-Indexed
Notes,
0.25%,
1/15/25
574,780
621,032
U.S.
Treasury
Inflation-Indexed
Notes,
0.375%,
7/15/23
215,554
227,712
U.S.
Treasury
Inflation-Indexed
Notes,
0.375%,
1/15/27
119,821
133,712
U.S.
Treasury
Inflation-Indexed
Notes,
0.50%,
4/15/24
522,676
560,570
U.S.
Treasury
Inflation-Indexed
Notes,
0.625%,
4/15/23
561,724
589,547
U.S.
Treasury
Inflation-Indexed
Notes,
0.625%,
1/15/24
713,536
764,264
U.S.
Treasury
Inflation-Indexed
Notes,
0.625%,
1/15/26
712,151
792,602
Total
U.S.
Government
Agency
Obligations
(Excluding
Mortgage-Backed)
(Cost
$7,543,742)
7,786,083
SHORT-TERM
INVESTMENTS
0.8%
Money
Market
Funds
0.8%
T.
Rowe
Price
Government
Reserve
Fund,
0.05% (6)(7)
75,799
75,799
Total
Short-Term
Investments
(Cost
$75,799)
75,799
SECURITIES
LENDING
COLLATERAL
1.8%
INVESTMENTS
IN
A
POOLED
ACCOUNT
THROUGH
SECURITIES
LENDING
PROGRAM
WITH
JPMORGAN
CHASE
BANK
0.0%
Short-Term
Funds
0.0%
T.
Rowe
Price
Short-Term
Fund,
0.07% (6)(7)
266
2,661
Total
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
JPMorgan
Chase
Bank
2,661
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
Par/Shares
$
Value
(Amounts
in
000s)
‡
INVESTMENTS
IN
A
POOLED
ACCOUNT
THROUGH
SECURITIES
LENDING
PROGRAM
WITH
STATE
STREET
BANK
1.8%
Short-Term
Funds
1.8%
T.
Rowe
Price
Short-Term
Fund,
0.07% (6)(7)
15,947
159,474
Total
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
State
Street
Bank
159,474
Total
Securities
Lending
Collateral
(Cost
$162,135)
162,135
Total
Investments
in
Securities
101.5%
(Cost
$9,053,964)
$
9,304,039
Other
Assets
Less
Liabilities
(1.5)%
(137,030)
Net
Assets
100.0%
$
9,167,009
‡
Par/Shares
and
Notional
Amount
are
denominated
in
U.S.
dollars
unless
otherwise
noted.
(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
$674,644
and
represents
7.4%
of
net
assets.
(2)
All
or
a
portion
of
this
security
is
on
loan
at
August
31,
2021.
(3)
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
is
provided
if
the
rate
is
currently
floating.
(4)
To-Be-Announced
purchase
commitment.
Total
value
of
such
securities
at
period-end
amounts
to
$47,826
and
represents
0.5%
of
net
assets.
(5)
At
August
31,
2021,
all
or
a
portion
of
this
security
is
pledged
as
collateral
and/
or
margin
deposit
to
cover
future
funding
obligations.
(6)
Seven-day
yield
(7)
Affiliated
Companies
1M
USD
LIBOR
One
month
USD
LIBOR
(London
interbank
offered
rate)
3M
USD
LIBOR
Three
month
USD
LIBOR
(London
interbank
offered
rate)
12M
USD
LIBOR
Twelve
month
USD
LIBOR
(London
interbank
offered
rate)
1Y
CMT
One
year
U.S.
Treasury
note
constant
maturity
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
CAD
Canadian
Dollar
CLO
Collateralized
Loan
Obligation
CMO
Collateralized
Mortgage
Obligation
COF11
The
11th
district
monthly
weighted
average
cost
of
funds
index
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
.
.
.
.
.
.
.
.
.
.
CPI
Consumer
Price
Index
EUR
Euro
FRN
Floating
Rate
Note
GBP
British
Pound
GO
General
Obligation
NZD
New
Zealand
Dollar
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.
TBA
To-Be-Announced
UMBS
Uniform
Mortgage-Backed
Securities
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.
VRDN
Variable
Rate
Demand
Note
under
which
the
holder
has
the
right
to
sell
the
security
to
the
issuer
or
the
issuer’s
agent
at
a
predetermined
price
on
specified
dates;
such
specified
dates
are
considered
the
effective
maturity
for
purposes
of
the
fund’s
weighted
average
maturity;
rate
shown
is
effective
rate
at
period-end
and
maturity
date
shown
is
final
maturity.
Certain
VRDN
rates
are
not
based
on
a
published
reference
rate
and
spread
but
may
adjust
periodically.
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
(Amounts
in
000s)
SWAPS
0.8%
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
BILATERAL
SWAPS
0.8%
Zero-Coupon
Inflation
Swaps
0.8%
Bank
of
America,
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.60%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
2/21/23
148,955
6,896
—
6,896
Barclays
Bank,
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.49%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
8/29/22
20,000
962
—
962
Citibank,
2
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.38%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
10/7/21
147,826
5,476
—
5,476
Citibank,
2
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.41%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
10/9/21
295,724
10,881
—
10,881
Citibank,
2
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.71%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
12/16/21
134,000
4,684
—
4,684
Citibank,
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.42%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
10/7/22
147,805
7,438
—
7,438
Citibank,
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.43%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
10/8/22
73,903
3,700
—
3,700
Citibank,
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.44%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
10/8/22
73,902
3,698
—
3,698
Citibank,
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.49%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
2/26/23
84,383
4,206
—
4,206
Citibank,
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.59%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
2/20/23
117,403
5,462
—
5,462
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
Citibank,
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.59%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
2/18/23
66,385
3,056
—
3,056
Citibank,
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.60%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
2/18/23
90,615
4,161
—
4,161
Goldman
Sachs,
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.61%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
2/21/23
122,539
5,654
—
5,654
UBS
Investment
Bank,
5
Year
Zero-
Coupon
Inflation
Swap,
Pay
Fixed
2.29%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
6/5/23
201,300
4,574
—
4,574
Total
Bilateral
Zero-Coupon
Inflation
Swaps
—
70,848
Total
Bilateral
Swaps
—
70,848
Description
Notional
Amount
$
Value
Initial
$
Value
Unrealized
$
Gain/(Loss)
CENTRALLY
CLEARED
SWAPS
0.0%
Zero-Coupon
Inflation
Swaps
0.0%
2
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
3.14%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
8/3/23
153,500
330
—
330
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
1.56%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
2/25/23
91,720
4,342
—
4,342
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.94%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
8/3/24
94,034
273
1
272
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.95%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
8/3/24
61,134
143
—
143
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Initial
$
Value
Unrealized
$
Gain/(Loss)
3
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.96%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
8/2/24
158,669
379
—
379
Total
Centrally
Cleared
Zero-Coupon
Inflation
Swaps
5,466
Total
Centrally
Cleared
Swaps
5,466
Net
payments
(receipts)
of
variation
margin
to
date
(6,309)
Variation
margin
receivable
(payable)
on
centrally
cleared
swaps
$
(843)
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
(Amounts
in
000s)
FORWARD
CURRENCY
EXCHANGE
CONTRACTS
Counterparty
Settlement
Receive
Deliver
Unrealized
Gain/(Loss)
Canadian
Imperial
Bank
of
Commerce
10/22/21
CAD
11,745
USD
9,135
$
173
Canadian
Imperial
Bank
of
Commerce
10/22/21
USD
9,302
CAD
11,745
(7)
Citibank
10/22/21
AUD
12,805
USD
9,130
240
Citibank
10/22/21
NZD
13,405
USD
9,150
295
Citibank
10/22/21
USD
9,290
AUD
12,805
(80)
Goldman
Sachs
10/22/21
USD
9,314
NZD
13,405
(130)
Goldman
Sachs
11/19/21
GBP
6,710
USD
9,139
88
Morgan
Stanley
11/19/21
EUR
7,830
USD
9,161
98
Morgan
Stanley
11/19/21
USD
9,209
EUR
7,830
(50)
Morgan
Stanley
11/19/21
USD
9,199
GBP
6,710
(28)
Net
unrealized
gain
(loss)
on
open
forward
currency
exchange
contracts
$
599
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
FUTURES
CONTRACTS
($000s)
Expiration
Date
Notional
Amount
Value
and
Unrealized
Gain
(Loss)
Long,
1,476
U.S.
Treasury
Notes
five
year
contracts
12/21
182,609
$
113
Long,
2,773
U.S.
Treasury
Notes
ten
year
contracts
12/21
370,065
105
Long,
91
U.S.
Treasury
Notes
two
year
contracts
12/21
20,050
12
Net
payments
(receipts)
of
variation
margin
to
date
(459)
Variation
margin
receivable
(payable)
on
open
futures
contracts
$
(229)
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
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,
2021.
Net
realized
gain
(loss),
investment
income,
change
in
net
unrealized
gain/loss,
and
purchase
and
sales
cost
reflect
all
activity
for
the
period
then
ended.
Affiliate
Net
Realized
Gain
(Loss)
Change
in
Net
Unrealized
Gain/Loss
Investment
Income
T.
Rowe
Price
Government
Reserve
Fund,
0.05%
$
—
$
—
$
14
T.
Rowe
Price
Short-Term
Fund,
0.07%
—
—
—++
Totals
$
—#
$
—
$
14+
Supplementary
Investment
Schedule
Affiliate
Value
05/31/21
Purchase
Cost
Sales
Cost
Value
08/31/21
T.
Rowe
Price
Government
Reserve
Fund,
0.05%
$
46,888
¤
¤
$
75,799
T.
Rowe
Price
Short-Term
Fund,
0.07%
23,289
¤
¤
162,135
Total
$
237,934^
#
Capital
gain
distributions
from
mutual
funds
represented
$0
of
the
net
realized
gain
(loss).
++
Excludes
earnings
on
securities
lending
collateral,
which
are
subject
to
rebates
and
fees.
+
Investment
income
comprised
$14
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
$237,934.
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
Unaudited
Notes
to
Portfolio
of
Investments
T.
Rowe
Price
Limited
Duration
Inflation
Focused
Bond
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
Limited
Duration
Inflation
Focused
Bond
Fund
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.
Investments
in
mutual
funds
are
valued
at
the
mutual
fund’s
closing
NAV
per
share
on
the
day
of
valuation.
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
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
fair
value
vary
by
type
of
investment
and
may
include
market
or
investment
specific
considerations.
The
Valuation
Committee
typically
will
afford
greatest
weight
to
actual
prices
in
arm’s
length
transactions,
to
the
extent
they
represent
orderly
transactions
between
market
participants,
transaction
information
can
be
reliably
obtained,
and
prices
are
deemed
representative
of
fair
value.
However,
the
Valuation
Committee
may
also
consider
other
valuation
methods
such
as
market-based
valuation
multiples;
a
discount
or
premium
from
market
value
of
a
similar,
freely
traded
security
of
the
same
issuer;
discounted
cash
flows;
yield
to
maturity;
or
some
combination.
Fair
value
determinations
are
reviewed
on
a
regular
basis
and
updated
as
information
becomes
available,
including
actual
purchase
and
sale
transactions
of
the
investment.
Because
any
fair
value
determination
involves
a
significant
amount
of
judgment,
there
is
a
degree
of
subjectivity
inherent
in
such
pricing
decisions,
and
fair
value
prices
determined
by
the
Valuation
Committee
could
differ
from
those
of
other
market
participants.
Valuation
Inputs
The
following
table
summarizes
the
fund’s
financial
instruments,
based
on
the
inputs
used
to
determine
their
fair
values
on
August
31,
2021
(for
further
detail
by
category,
please
refer
to
the
accompanying
Portfolio
of
Investments):
T.
ROWE
PRICE
Limited
Duration
Inflation
Focused
Bond
Fund
F161-054Q1
08/21
($000s)
Level
1
Level
2
Level
3
Total
Value
Assets
Fixed
Income
Securities
1
$
—
$
9,066,105
$
—
$
9,066,105
Short-Term
Investments
75,799
—
—
75,799
Securities
Lending
Collateral
162,135
—
—
162,135
Total
Securities
237,934
9,066,105
—
9,304,039
Swaps*
—
76,314
—
76,314
Forward
Currency
Exchange
Contracts
—
894
—
894
Futures
Contracts*
230
—
—
230
Total
$
238,164
$
9,143,313
$
—
$
9,381,477
Liabilities
Forward
Currency
Exchange
Contracts
$
—
$
295
$
—
$
295
1
Includes
Asset-Backed
Securities,
Corporate
Bonds,
Foreign
Government
Obligations
&
Municipalities,
Municipal
Securities,
Non-U.S.
Government
Mortgage-Backed
Securities,
U.S.
Government
&
Agency
Mortgage-Backed
Securities
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.