NPORT-EX 2 70LDTRPDynamicCreditFd.htm trowepricedynamiccreditfund3.htm - Generated by SEC Publisher for SEC Filing

T. ROWE PRICE DYNAMIC CREDIT FUND
March 31, 2020 (Unaudited)

Portfolio of Investments‡  Shares/Par  $ Value 
(Cost and value in $000s)     
AUSTRIA 0.1%     
Common Stocks 0.1%     
BAWAG Group  819  23 
Total Austria (Cost $34)    23 
BRAZIL 1.4%     
Common Stocks 0.4%     
StoneCo, Class A (USD) (1)  3,000  65 
XP, Class A (USD) (1)  4,053  78 
    143 
Corporate Bonds 1.0%     
Centrais Eletricas Brasileiras, 3.625%, 2/4/25 (USD) (2)  350,000  312 
    312 
Total Brazil (Cost $504)    455 
CANADA 1.5%     
Corporate Bonds 1.5%     
Hudbay Minerals, 7.25%, 1/15/23 (USD) (2)  525,000  467 
Total Canada (Cost $534)    467 
CHILE 0.3%     
Corporate Bonds 0.3%     
Liberty Latin America, 2.00%, 7/15/24 (USD) (2)  130,000  103 
Total Chile (Cost $124)    103 
CHINA 5.6%     
Corporate Bonds 5.6%     
China Evergrande Group, 6.25%, 6/28/21 (USD)  260,000  226 
Kaisa Group Holdings, 6.75%, 2/18/21 (USD)  200,000  188 
Times China Holdings, 6.75%, 7/16/23 (USD)  400,000  363 
 
   
The accompanying notes are an integral part of this Portfolio of Investments.     

 

 

T. ROWE PRICE DYNAMIC CREDIT FUND
 
 
  Shares/Par  $ Value 
(Cost and value in $000s)     
Yanlord Land HK, 6.80%, 2/27/24 (USD)  400,000  359 
Yuzhou Properties, 7.70%, 2/20/25 (USD)  350,000  291 
Yuzhou Properties, 8.375%, 10/30/24 (USD)  400,000  352 
Total China (Cost $2,044)    1,779 
FRANCE 2.8%     
Bank Loans 1.3% (3)     
Altice France, FRN, 3M USD LIBOR + 4.00%, 4.705%, 8/14/26     
(USD)  423,927  402 
    402 
Corporate Bonds 1.5%     
Banijay Entertainment SASU, 5.375%, 3/1/25 (USD) (2)  510,000  472 
    472 
Total France (Cost $928)    874 
GERMANY 0.7%     
Corporate Bonds 0.7%     
Consus Real Estate, 9.625%, 5/15/24 (2)  250,000  222 
Total Germany (Cost $269)    222 
INDIA 1.8%     
Corporate Bonds 1.8%     
Shriram Transport Finance, 5.10%, 7/16/23 (USD) (2)  400,000  280 
TML Holdings, 5.75%, 5/7/21 (USD)  300,000  290 
Total India (Cost $700)    570 
INDONESIA 2.6%     
Corporate Bonds 2.6%     
Tower Bersama Infrastructure, 4.25%, 1/21/25 (USD)  900,000  810 
Total Indonesia (Cost $904)    810 
 
The accompanying notes are an integral part of this Portfolio of Investments.     

 

 

T. ROWE PRICE DYNAMIC CREDIT FUND

  Shares/Par  $ Value 
(Cost and value in $000s)     
ISRAEL 1.7%     
Government Bonds 1.7%     
State of Israel, 3.875%, 7/3/50 (USD)  200,000  200 
State of Israel, 4.50%, 4/3/2120 (USD)  335,000  335 
Total Israel (Cost $535)    535 
LUXEMBOURG 1.1%     
Corporate Bonds 1.1%     
Altice Financing, 5.00%, 1/15/28 (USD) (2)  395,000  353 
Total Luxembourg (Cost $395)    353 
OMAN 0.7%     
Corporate Bonds 0.7%     
OmGrid Funding, 5.196%, 5/16/27 (USD)  325,000  240 
Total Oman (Cost $334)    240 
SERBIA 1.5%     
Corporate Bonds 1.5%     
United Group, 3.125%, 2/15/26 (EUR) (2)  215,000  201 
United Group, 3.25%, 2/15/26 (EUR) (2)  300,000  262 
Total Serbia (Cost $569)    463 
SOUTH AFRICA 1.1%     
Corporate Bonds 1.1%     
Eskom Holdings SOC, 5.75%, 1/26/21 (USD)  400,000  342 
Total South Africa (Cost $397)    342 
UKRAINE 0.9%     
Corporate Bonds 0.9%     
VF Ukraine PAT via VFU Funding, 6.20%, 2/11/25 (USD) (2)  350,000  294 
Total Ukraine (Cost $333)    294 
The accompanying notes are an integral part of this Portfolio of Investments.     

 

 

T. ROWE PRICE DYNAMIC CREDIT FUND
 
 
 
    Shares/Par  $ Value 
(Cost and value in $000s)      
 
UNITED ARAB EMIRATES 2.2%      
Corporate Bonds 2.2%      
Emirates Airline, 4.50%, 2/6/25 (USD)   714,270  685 
Total United Arab Emirates (Cost $729)     685 
 
UNITED KINGDOM 0.5%      
Corporate Bonds 0.5%      
Jerrold Finco, 4.875%, 1/15/26 (2)   140,000  149 
Total United Kingdom (Cost $183)     149 
 
UNITED STATES 62.0%      
Asset-Backed Securities 7.2%      
Applebee's Funding, Series 2019-1A, Class A2I, 4.194%, 6/7/49      
(2)  240,000  218 
Applebee's Funding, Series 2019-1A, Class A2II, 4.723%,      
6/7/49 (2)  440,000  380 
Driven Brands Funding, Series 2019-1A, Class A2, 4.641%,      
4/20/49 (2)  212,850  204 
Elara HGV Timeshare Issuer, Series 2019-A, Class C, 3.45%,      
1/25/34 (2)  292,013  281 
ExteNet, Series 2019-1A, Class B, 4.14%, 7/26/49 (2)   500,000  424 
Jack In the Box Funding, Series 2019-1A, Class A23, 4.97%,      
8/25/49 (2)  498,750  413 
Pretium Mortgage Credit Partners I, Series 2020-NPL1, Class      
A1, STEP , 2.858%, 5/27/59 (2)  491,270  346 
      2,266 
Bank Loans 20.7% (3)      
Aldevron, FRN, 1M USD LIBOR + 4.25%, 5.70%, 10/12/26   485,000  451 
Aleris International, FRN, 3M USD LIBOR + 4.75%, 5.739%,      
2/27/23   596,714  530 
Applied Systems, FRN, 3M USD LIBOR + 3.25%, 4.70%,      
9/19/24   278,650  256 
 
The accompanying notes are an integral part of this Portfolio of Investments.      

 

 

T. ROWE PRICE DYNAMIC CREDIT FUND
 
 
 
    Shares/Par  $ Value 
(Cost and value in $000s)      
Applied Systems, FRN, 3M USD LIBOR + 7.00%, 8.45%,      
9/19/25   195,000  176 
Asurion, FRN, 3M USD LIBOR + 6.50%, 7.489%, 8/4/25   500,000  456 
BCP Raptor, FRN, 3M USD LIBOR + 4.25%, 5.25%, 6/24/24   348,210  146 
Bellring Brands, FRN, 1M USD LIBOR + 5.00%, 6.00%,      
10/21/24   281,438  262 
CCC Information Services, FRN, 3M USD LIBOR + 2.75%,      
3.74%, 4/29/24   332,603  302 
Chobani, FRN, 3M USD LIBOR + 3.50%, 4.50%, 10/10/23   246,814  219 
Citadel Securities, FRN, 3M USD LIBOR + 2.75%, 3.739%,      
2/27/26 (4)  212,854  189 
Citgo Holding, FRN, 1M USD LIBOR + 7.00%, 8.00%, 8/1/23   129,350  104 
CITGO Petroleum, FRN, 3M USD LIBOR + 4.50%, 5.50%,      
7/29/21 (4)  446,457  413 
Cologix Holdings, FRN, 3M USD LIBOR + 3.00%, 4.00%,      
3/20/24   247,449  211 
GrafTech Finance, FRN, 3M USD LIBOR + 3.50%, 4.50%,      
2/12/25 (4)  500,000  430 
Keane Group Holdings, FRN, 3M USD LIBOR + 3.50%, 4.50%,      
5/25/25 (4)  348,228  226 
MH Sub I, FRN, 3M USD LIBOR + 3.75%, 4.822%, 9/15/24   348,214  293 
Prairie ECI Acquiror, FRN, 1M USD LIBOR + 4.75%, 3/11/26 (5)   420,000  210 
Solera, FRN, 3M USD LIBOR + 2.75%, 4.363%, 3/3/23   381,210  356 
Tacala Investment, FRN, 1M USD LIBOR + 3.50%, 4.489%,      
2/5/27   358,173  284 
Tacala Investment, FRN, 1M USD LIBOR + 7.50%, 8.489%,      
2/4/28   175,000  131 
Terrier Media Buyer, FRN, 1M USD LIBOR + 4.25%, 5.70%,      
12/17/26   309,225  273 
Uber Technologies, FRN, 3M USD LIBOR + 3.50%, 4.489%,      
7/13/23   520,767  483 
WW International, FRN, 3M USD LIBOR + 4.75%, 6.72%,      
11/29/24   147,457  137 
      6,538 

 

The accompanying notes are an integral part of this Portfolio of Investments.

 

T. ROWE PRICE DYNAMIC CREDIT FUND
 
 
 
  Shares/Par  $ Value 
(Cost and value in $000s)     
Common Stocks 0.1%     
iHeartMedia, Class A (1)  3,844  28 
    28 
Convertible Preferred Stocks 2.1%     
Elanco Animal Health, 5.00%, 2/1/23  214  9 
NextEra Energy, 4.872%, 9/1/22  5,100  255 
NextEra Energy, 5.279%, 3/1/23  7,000  310 
Southern, Series A, 6.75%, 8/1/22  1,856  86 
    660 
Corporate Bonds 17.7%     
Allied Universal Holdco, 6.625%, 7/15/26 (2)  350,000  343 
Arconic, 6.125%, 2/15/28 (2)  70,000  71 
Cargo Aircraft Management, 4.75%, 2/1/28 (2)  485,000  449 
Diamond Sports Group, 5.375%, 8/15/26 (2)  425,000  344 
Edison International, 4.95%, 4/15/25  75,000  75 
EnLink Midstream Partners, 4.15%, 6/1/25  350,000  170 
EQM Midstream Partners, 4.75%, 7/15/23  330,000  238 
EQT, 3.00%, 10/1/22  150,000  125 
Hecla Mining, 7.25%, 2/15/28  520,000  458 
Icahn Enterprises, 5.25%, 5/15/27  350,000  324 
Marriott International, 2.30%, 1/15/22  290,000  272 
NGL Energy Partners, 6.125%, 3/1/25  350,000  117 
Novelis, 4.75%, 1/30/30 (2)  225,000  201 
Occidental Petroleum, 2.60%, 8/13/21  700,000  560 
Range Resources, 5.00%, 3/15/23  275,000  201 
Teekay Offshore Partners, 8.50%, 7/15/23 (2)  325,000  287 
TJX, 4.50%, 4/15/50  1,060,000  1,151 
Yum! Brands, 7.75%, 4/1/25 (2)  180,000  189 
    5,575 
Municipal Securities 4.4%     
Michigan Tobacco Settlement Finance Authority, Zero Coupon,     
6/1/46  55,000  5 
The accompanying notes are an integral part of this Portfolio of Investments.     

 

 

T. ROWE PRICE DYNAMIC CREDIT FUND
 
 
 
    Shares/Par  $ Value 
(Cost and value in $000s)      
Port Beaumont Navigation District, 6.00%, 1/1/25 (2)   435,000  435 
Puerto Rico Commonwealth Aqueduct & Sewer Auth. , Series B,      
5.35%, 7/1/27   700,000  635 
Tobacco Settlement Financing, Series TXB-A-1, 6.706%, 6/1/46   350,000  303 
      1,378 
Non-U. S. Government Mortgage-Backed Securities 9.8%      
Barclays Commercial Mortgage Trust, Series 2019-BWAY, Class      
E, ARM, 1M USD LIBOR + 2.85%, 3.555%, 11/25/34 (2)   250,000  235 
Cantor Commercial Real Estate Lending, Series 2019-CF1,      
Class 65C, ARM, 4.123%, 5/15/52 (2)   240,000  187 
Cantor Commercial Real Estate Lending, Series 2019-CF1,      
Class 65D, ARM, 4.66%, 5/15/52 (2)   150,000  147 
Commercial Mortgage Trust, Series 2014-CCRE19, Class E,      
ARM, 4.231%, 8/10/47 (2)   340,000  240 
Deephaven Residential Mortgage Trust, Series 2019-1A, Class      
B1, CMO, ARM , 5.252%, 1/25/59 (2)  300,000  284 
Great Wolf Trust, Series 2019-WOLF, Class F, ARM, 1M USD      
LIBOR + 3.131%, 3.836%, 12/15/36 (2)   350,000  229 
Homeward Opportunities Fund I Trust, Series 2019-2, Class B1,      
CMO, ARM, 4.087%, 9/25/59 (2)   500,000  416 
New Orleans Hotel Trust, Series 2019-HNLA, Class E, ARM, 1M      
USD LIBOR + 2.689%, 3.393%, 4/15/32 (2)   150,000  121 
Starwood Mortgage Residential Trust, Series 2018-IMC1, Class      
A1, CMO, ARM , 3.793%, 3/25/48 (2)  125,002  122 
Structured Agency Credit Risk Debt Notes, Series 2019-DNA3,      
Class M2, CMO, ARM, 1M USD LIBOR + 2.05%, 2.997%,      
7/25/49 (2)  237,509  194 
Structured Agency Credit Risk Debt Notes, Series 2020-HQA2,      
Class M2, CMO, ARM, 1M USD LIBOR + 3.10%, 3.911%,      
3/25/50 (2)  190,000  122 
Verus Securitization Trust, Series 2019-3, Class B1, CMO, ARM,      
4.043%, 7/25/59 (2)   500,000  431 
Verus Securitization Trust, Series 2019-4, Class B1, CMO, ARM,      
3.86%, 11/25/59 (2)   340,000  285 
Verus Securitization Trust, Series 2019-INV3, Class B2, CMO,      
ARM, 4.791%, 11/25/59 (2)   100,000  85 
      3,098 
 
The accompanying notes are an integral part of this Portfolio of Investments.      

 

 

T. ROWE PRICE DYNAMIC CREDIT FUND
 
 
 
          Shares/Par  $ Value 
(Cost and value in $000s)        
Preferred Stocks 0.0%        
Altera Infrastructure, 7.25% (6)     995  14 
            14 
Total United States (Cost $22,481)       19,557 
 
SHORT-TERM INVESTMENTS 6.4%        
Money Market Funds 6.4%        
T. Rowe Price Government Reserve Fund, 0.95% (7)(8)     2,028,579  2,028 
Total Short-Term Investments (Cost $2,028)       2,028 
 
(Amounts in 000s, except for contracts)        
 
OPTIONS PURCHASED 0.2%        
Exchange-Traded Options Purchased 0.0%        
Description        Contracts Notional Amount $ Value 
S&P 500 Index, Call, 4/17/20 @ $3,500.00 (1)   12  3,102  — 
S&P 500 Index, Call, 12/18/20 @ $3,250.00 (1)   3  775  8 
Total Exchange-Traded Options Purchased (Cost $58)       8 
OTC Options Purchased 0.2%        
Counterparty    Description   Contracts Notional Amount $ Value 
Morgan    EUR Put / USD Call, 4/29/20 @ $1.15        
Stanley  (USD) (1)  2  535  23 
Standard    USD Call / KRW Put, 8/3/20 @        
Chartered    1,173.85 (KRW) (1)  1  620  29 
Total OTC Options Purchased (Cost $29)       52 
Total Options Purchased (Cost $87)       60 
 
 
 
 
The accompanying notes are an integral part of this Portfolio of Investments.     

 

 

T. ROWE PRICE DYNAMIC CREDIT FUND

    $ Value 
(Cost and value in $000s)     
Total Investments in Securities 95.1%     
(Cost $34,112)  $  30,009 
Other Assets Less Liabilities 4.9%    1,540 
Net Assets 100.0%  $  31,549 

 

‡   Country classifications are generally based on MSCI categories or another 
    unaffiliated third party data provider; Shares/Par and Notional Amount are 
    denominated in the currency of the country presented unless otherwise 
    noted. 
(1 )  Non-income producing 
(2 )  Security was purchased pursuant to Rule 144A under the Securities Act of 
    1933 and may be resold in transactions exempt from registration only to 
    qualified institutional buyers. Total value of such securities at period-end 
amounts to $10,798 and represents 34.2% of net assets.
(3 )  Bank loan positions may involve multiple underlying tranches. In those 
    instances, the position presented reflects the aggregate of those respective 
    underlying tranches and the rate presented reflects the weighted average rate 
    of the settled positions. 
(4 )  Level 3 in fair value hierarchy. 
(5 )  All or a portion of this loan is unsettled as of March 31, 2020. The interest rate 
    for unsettled loans will be determined upon settlement after period end. 
(6 )  Perpetual security with no stated maturity date. 
(7 )  Affiliated Companies 
(8 )  Seven-day yield 
1M USD LIBOR   One month USD LIBOR (London interbank offered rate) 
3M CAD CDOR   Three month CAD CDOR (Canadian Dollar offered rate) 
3M USD LIBOR   Three month USD LIBOR (London interbank offered rate) 
6M CZK PRIBOR   Six month CZK PRIBOR (Prague interbank offered rate) 
ADBB   AUD bank bill 
ARM   Adjustable Rate Mortgage (ARM); rate shown is effective rate at period-end. 
    The rates for certain ARMs are not based on a published reference rate and 
    spread but may be determined using a formula-based on the rates of the 
    underlying loans. 
AUD   Australian Dollar 
BRL   Brazilian Real 
CAD   Canadian Dollar 
CHF   Swiss Franc 
CLP   Chilean Peso 
CMO   Collateralized Mortgage Obligation 
CZK   Czech Koruna 
EGP   Egyptian Pound 
EUR   Euro
FRN   Floating Rate Note 
GBP   British Pound 
IDR   Indonesian Rupiah 
INR   Indian Rupee 
JPY   Japanese Yen 
The accompanying notes are an integral part of this Portfolio of Investments. 

 

 

T. ROWE PRICE DYNAMIC CREDIT FUND

KRW  South Korean Won 
NZD  New Zealand Dollar 
OTC Over-the-counter
RUB  Russian Ruble 
STEP  Stepped coupon bond for which the coupon rate of interest adjusts on 
  specified date(s); rate shown is effective rate at period-end. 
TWD  Taiwan Dollar 
USD  U. S. Dollar 

 

The accompanying notes are an integral part of this Portfolio of Investments.

 

T. ROWE PRICE DYNAMIC CREDIT FUND

(Amounts In 000s)               
 
SWAPS 1.8%               
 
        Upfront      
  Notional      Payments/   Unrealized  
Description  Amount  $ Value   $ (Receipts)    $ Gain/(Loss)  
 
BILATERAL SWAPS 1.3%               
 
Credit Default Swaps, Protection Bought 4.1%               
 
United States 4.1%               
 
Bank of America, Protection Bought (Relevant               
Credit: Newell Brands, 4.10%, 4/1/23), Pay               
1.00% Quarterly, Receive upon credit default,               
12/20/24  290  9   1   8  
 
Barclays Bank, Protection Bought (Relevant               
Credit: Realogy Group, 4.88%, 6/1/23), Pay               
5.00% Quarterly, Receive upon credit default,               
6/20/24  600  77   77   —  
 
Barclays Bank, Protection Bought (Relevant               
Credit: Transdigm, 6.00%, 7/15/22), Pay 5.00%               
Quarterly, Receive upon credit default, 6/20/24  575  (13 )  (80 )  67  
 
BNP Paribas, Protection Bought (Relevant               
Credit: Marriott International, 2.30%, 1/15/22),               
Pay 1.00% Quarterly, Receive Upon credit               
default, 12/20/21  300  4   5   (1 ) 
 
BNP Paribas, Protection Bought (Relevant               
Credit: Newell Brands, 4.10%, 4/1/23), Pay               
1.00% Quarterly, Receive upon credit default,               
12/20/24  410  15   3   12  
 
BNP Paribas, Protection Bought (Relevant               
Credit: Societe Generale, 4.00%, 6/7/23), Pay               
1.00% Quarterly, Receive upon credit default,               
12/20/23 (EUR)  400  15   11   4  
 
Citibank, Protection Bought (Relevant Credit:               
DaVita, 5.00%, 5/1/25), Pay 5.00% Quarterly,               
Receive upon credit default, 12/20/24  650  (97 )  (130 )  33  
 
Citibank, Protection Bought (Relevant Credit:               
Targa Resources, 4.25%, 11/15/23), Pay 1.00%               
Quarterly, Receive upon credit default, 12/20/24  1,000  239   (13 )  252  
 
Credit Suisse, Protection Bought (Relevant               
Credit: Beazer Homes USA, 6.75%, 3/15/25),               
Pay 5.00% Quarterly, Receive upon credit               
default, 6/20/24  525  39   1   38  
 
 
 
The accompanying notes are an integral part of this Portfolio of Investments.          

 

 

T. ROWE PRICE DYNAMIC CREDIT FUND

(Amounts In 000s)               
        Upfront      
  Notional      Payments/   Unrealized  
Description  Amount  $ Value   $ (Receipts)   $ Gain/(Loss)  
 
Credit Suisse, Protection Bought (Relevant               
Credit: TEGNA, 4.88%, 9/15/21), Pay 5.00%               
Quarterly, Receive upon credit default, 12/20/24  575  (71 )  (100 )  29  
 
Goldman Sachs, Protection Bought (Relevant               
Credit: Caterpillar, 3.90%, 5/27/21), Pay 1.00%               
Quarterly, Receive Upon credit default, 6/20/25  875  (25 )  (14 )  (11 ) 
 
Goldman Sachs, Protection Bought (Relevant               
Credit: CenturyLink, 7.50%, 4/1/24), Pay 1.00%               
Quarterly, Receive upon credit default, 6/20/24  550  42   35   7  
 
Goldman Sachs, Protection Bought (Relevant               
Credit: DaVita, 5.00%, 5/1/25), Pay 5.00%               
Quarterly, Receive upon credit default, 12/20/24  750  (112 )  (144 )  32  
 
Goldman Sachs, Protection Bought (Relevant               
Credit: HCA, 7.50%, 2/15/22), Pay 5.00%               
Monthly, Receive Upon credit default, 12/20/24  700  (71 )  (135 )  64  
 
Goldman Sachs, Protection Bought (Relevant               
Credit: iStar, 5.25%, 9/15/22), Pay 5.00%               
Quarterly, Receive upon credit default, 6/20/24  500  9   (61 )  70  
 
Goldman Sachs, Protection Bought (Relevant               
Credit: Markit CMBX. NA. BBB-S10, 40 Year               
Index), Pay 3.00% Monthly, Receive upon credit               
default, 11/17/59  130  36   5   31  
 
Goldman Sachs, Protection Bought (Relevant               
Credit: MGIC Investment, 5.75%, 8/15/23), Pay               
5.00% Quarterly, Receive upon credit default,               
6/20/24  475  (42 )  (79 )  37  
 
Goldman Sachs, Protection Bought (Relevant               
Credit: Newell Brands, 4.10%, 4/1/23), Pay               
1.00% Quarterly, Receive upon credit default,               
12/20/24  180  6   1   5  
 
Goldman Sachs, Protection Bought (Relevant               
Credit: Radian Group, 4.50%, 10/01/24), Pay               
5.00% Quarterly, Receive upon credit default,               
6/20/24  475  (38 )  (76 )  38  
 
Goldman Sachs, Protection Bought (Relevant               
Credit: Springleaf Finance, 7.75%, 10/01/21),               
Pay 5.00% Quarterly, Receive upon credit               
default, 6/20/24  500  26   (64 )  90  

 

The accompanying notes are an integral part of this Portfolio of Investments.

 

T. ROWE PRICE DYNAMIC CREDIT FUND

(Amounts In 000s, except Market Price)               
        Upfront      
  Notional      Payments/   Unrealized  
Description  Amount  $ Value   $ (Receipts)   $ Gain/(Loss)  
 
Morgan Stanley, Protection Bought (Relevant               
Credit: Markit CMBX. NA. BBB-S10, 40 Year               
Index), Pay 3.00% Monthly, Receive Upon credit               
default, 11/17/59  3,400  946   168   778  
 
Morgan Stanley, Protection Bought (Relevant               
Credit: Markit CMBX. NA. BBB-S11, 35 Year               
Index), Pay 3.00% Monthly, Receive upon credit               
default, 11/18/54  1,000  319   39   280  
 
Morgan Stanley, Protection Bought (Relevant               
Credit: Newell Brands, 4.10%, 4/1/23), Pay               
1.00% Quarterly, Receive upon credit default,               
12/20/24  80  3   1   2  
 
Total Bilateral Credit Default Swaps, Protection Bought      (549 )  1,865  
 
 
Credit Default Swaps, Protection Sold (2.8)%               
 
Egypt (0.2)%               
 
Barclays Bank, Protection Sold (Relevant Credit:               
Arab Republic of Egypt, 5.75%, 4/29/20,               
$99.88*), Receive 1.00% Quarterly, Pay upon               
credit default, 12/20/24 (USD)  335  (62 )  (28 )  (34 ) 
 
Total Egypt        (28 )  (34 ) 
 
 
Mexico (0.3)%               
 
Barclays Bank, Protection Sold (Relevant Credit:               
Petroleos Mexicanos, 6.63%, 6/15/35, $69.80*),               
Receive 1.00% Quarterly, Pay upon credit               
default, 12/20/24 (USD)  350  (89 )  (31 )  (58 ) 
 
Total Mexico        (31 )  (58 ) 
 
 
Turkey (0.1)%               
 
Citibank, Protection Sold (Relevant Credit:               
Republic of Turkey, 11.88%, 1/15/30, $123.01*),               
Receive 1.00% Quarterly, Pay upon credit               
default, 12/20/24 (USD)  175  (31 )  (15 )  (16 ) 
 
Total Turkey        (15 )  (16 ) 

 

The accompanying notes are an integral part of this Portfolio of Investments.

 

T. ROWE PRICE DYNAMIC CREDIT FUND

(Amounts In 000s, except Market Price)                
          Upfront      
    Notional      Payments/   Unrealized  
Description   Amount  $ Value   $ (Receipts)    $ Gain/(Loss)  
 
United States (2.2)%                
 
Barclays Bank, Protection Sold (Relevant Credit:                
ArcelorMittal, 2.88%, 7/06/20, 100.06 EUR*),                
Receive 5.00% Quarterly, Pay Upon credit                
default, 12/20/24 (EUR)   325  6   45   (39 ) 
 
Barclays Bank, Protection Sold (Relevant Credit:                
AT&T, 3.80%, 2/15/27, $104.37*), Receive                
1.00% Quarterly, Pay Upon credit default,                
6/20/25   830  (44 )  (45 )  1  
 
Barclays Bank, Protection Sold (Relevant Credit:                
General Electric, 2.70%, 10/09/22, $97.06*),                
Receive 1.00% Monthly, Pay Upon credit default,                
12/20/20   380  (1 )  1   (2 ) 
 
BNP Paribas, Protection Sold (Relevant Credit:                
Apache, 3.25%, 4/15/22, $76.50*), Receive                
1.00% Quarterly, Pay upon credit default,                
12/20/24   350  (88 )  (8 )  (80 ) 
 
BNP Paribas, Protection Sold (Relevant Credit:                
Hess, 3.50%, 7/15/24, $76.50*), Receive 1.00%                
Quarterly, Pay Upon credit default, 12/20/24   235  (38 )  (41 )  3  
 
BNP Paribas, Protection Sold (Relevant Credit:                
United Airlines Holdings, 5.00%, 2/01/24,                
$87.50 *), Receive 5.00% Quarterly, Pay Upon               
credit default, 12/20/24   700  (77 )  44   (121 ) 
 
Credit Suisse, Protection Sold (Relevant Credit:                
Jaguar Land Rover Automotive, 5.00%, 2/15/22,                
84.75 GBP*), Receive 5.00% Quarterly, Pay                
Upon credit default, 12/20/24 (EUR)   325  (66 )  6   (72 ) 
 
Goldman Sachs, Protection Sold (Relevant                
Credit: General Electric, 2.70%, 10/09/22,                
$97.06 *), Receive 1.00% Monthly, Pay Upon               
credit default, 12/20/20   470  (1 )  2   (3 ) 
 
Goldman Sachs, Protection Sold (Relevant                
Credit: Mattel, 2.35%, 8/15/21, $100.35*),                
Receive 1.00% Quarterly, Pay upon credit                
default, 12/20/24   500  (82 )  (51 )  (31 ) 

 

The accompanying notes are an integral part of this Portfolio of Investments.

 

T. ROWE PRICE DYNAMIC CREDIT FUND

(Amounts In 000s, except Market Price)                
          Upfront      
    Notional      Payments/   Unrealized  
Description   Amount  $ Value   $ (Receipts))    $ Gain/(Loss)  
 
Goldman Sachs, Protection Sold (Relevant                
Credit: Occidental Petroleum, 5.55%, 3/15/26,                
$53.50 *), Receive 1.00% Quarterly, Pay upon               
credit default, 12/20/24   300  (126 )  (1 )  (125 ) 
 
Goldman Sachs, Protection Sold (Relevant                
Credit: Sempra Energy, 4.75%, 3/11/21, 102.34                
EUR*), Receive 1.00% Monthly, Pay Upon credit                
default, 12/20/24 (EUR)   300  (6 )  3   (9 ) 
 
Goldman Sachs, Protection Sold (Relevant                
Credit: Sempra Energy, 4.75%, 3/11/21, 102.34                
EUR*), Receive 1.00% Quarterly, Pay upon credit                
default, 12/20/24 (EUR)   600  (11 )  3   (14 ) 
 
Goldman Sachs, Protection Sold (Relevant                
Credit: Teva Pharmaceutical Finance, 3.65%,                
11/10/21 , $95.00*), Receive 1.00% Quarterly,               
Pay Upon credit default, 12/20/24   700  (95 )  (90 )  (5 ) 
 
JPMorgan Chase, Protection Sold (Relevant                
Credit: Banco Comercial Portugues, 4.50%,                
12/07/27, 73.88 EUR*), Receive 5.00%                
Quarterly, Pay Upon credit default, 12/20/24                
(EUR)   575  12   51   (39 ) 
 
Morgan Stanley, Protection Sold (Relevant                
Credit: Mattel, 6.75%, 12/31/25, $99.63*),                
Receive 1.00% Quarterly, Pay Upon credit                
default, 12/20/24   265  (44 )  (23 )  (21 ) 
 
Morgan Stanley, Protection Sold (Relevant                
Credit: Williams, 4.55%, 6/24/24, $88.50*),                
Receive 1.00% Quarterly, Pay Upon credit                
default, 12/20/24   700  (50 )  8   (58 ) 
 
Total United States         (96 )  (615 ) 
 
 
Total Bilateral Credit Default Swaps, Protection Sold         (170 )  (723 ) 
 
 
Total Bilateral Swaps         (719 )  1,142  
 
* Market price at March 31, 2020                

 

The accompanying notes are an integral part of this Portfolio of Investments.

 

T. ROWE PRICE DYNAMIC CREDIT FUND          
 
 
 
(Amounts In 000s)               
 
  Notional      Initial   Unrealized  
Description  Amount  $ Value   $ Value**   $ Gain/(Loss)  
CENTRALLY CLEARED SWAPS 0.5%               
Credit Default Swaps, Protection Bought 0.3%               
United States 0.3%               
Protection Bought (Relevant Credit: Markit               
CDX. EM-S33, 5 Year Index), Pay 1.00%               
Quarterly, Receive Upon credit default, 6/20/25  3,570  410   323   87  
Total United States            87  
Total Centrally Cleared Credit Default Swaps, Protection Bought          87  
 
Credit Default Swaps, Protection Sold (0.1)%               
United States (0.1)%               
Protection Sold (Relevant Credit: Markit               
CDX. NA. HY-S33, 5 Year Index), Receive 5.00%               
Quarterly, Pay Upon credit default, 12/20/24  1,568  (95 )  (77 )  (18 ) 
Total United States            (18 ) 
Total Centrally Cleared Credit Default Swaps, Protection Sold          (18 ) 
 
Interest Rate Swaps 0.3%               
Australia 0.3%               
5 Year Interest Rate Swap, Receive Fixed 0.93%               
Semi-Annually, Pay Variable 0.97% (6M ADBB)               
Semi-Annually, 11/21/24  2,700  29   1   28  
5 Year Interest Rate Swap, Receive Fixed 0.94%               
Semi-Annually, Pay Variable 0.69% (6M ADBB)               
Semi-Annually, 3/19/25  7,900  84   —   84  
Total Australia            112  

 

The accompanying notes are an integral part of this Portfolio of Investments.

 

T. ROWE PRICE DYNAMIC CREDIT FUND

(Amounts In 000s)             
 
  Notional      Initial  Unrealized  
Description  Amount  $ Value   $ Value** $ Gain/(Loss)  
 
Canada 0.3%             
 
10 Year Interest Rate Swap, Pay Fixed 1.28%             
Semi-Annually, Receive Variable 1.69% (3M CAD             
CDOR) Semi-Annually, 3/5/30  5,000  (50 )  1  (51 ) 
 
2 Year Interest Rate Swap, Receive Fixed 1.13%             
Semi-Annually, Pay Variable 1.69% (3M CAD             
CDOR) Semi-Annually, 3/5/22  27,500  141   —  141  
 
Total Canada          90  
 
 
Czech Republic 0.3%             
 
5 Year Interest Rate Swap, Receive Fixed 1.13%             
Annually, Pay Variable 2.31% (6M CZK PRIBOR)             
Semi-Annually, 3/18/25  159,000  87   —  87  
 
Total Czech Republic          87  
 
 
United States (0.6)%             
 
10 Year Interest Rate Swap, Pay Fixed 0.84%             
Semi-Annually, Receive Variable 1.05% (3M USD             
LIBOR) Quarterly, 3/19/30  3,300  (39 )  1  (40 ) 
 
10 Year Interest Rate Swap, Pay Fixed 1.68%             
Semi-Annually, Receive Variable 1.83% (3M USD             
LIBOR) Quarterly, 10/18/29  2,100  (198 )  —  (198 ) 
 
2 Year Interest Rate Swap, Receive Fixed 0.46%             
Semi-Annually, Pay Variable 0.77% (3M USD             
LIBOR) Quarterly, 3/13/22  11,850  13   —  13  
 
2 Year Interest Rate Swap, Receive Fixed 0.50%             
Semi-Annually, Pay Variable 1.05% (3M USD             
LIBOR) Quarterly, 3/19/22  17,600  23   —  23  
 
30 Year Interest Rate Swap, Pay Fixed 0.85%             
Semi-Annually, Receive Variable 1.38% (3M USD             
LIBOR) Quarterly, 4/1/50  675  6   —  6  

 

The accompanying notes are an integral part of this Portfolio of Investments.

 

T. ROWE PRICE DYNAMIC CREDIT FUND

(Amounts In 000s)           
  Notional      Initial  Unrealized 
Description  Amount  $ Value   $ Value** $ Gain/(Loss)  
30 Year Interest Rate Swap, Pay Fixed 0.88%           
Semi-Annually, Receive Variable 1.45% (3M USD           
LIBOR) Quarterly, 4/2/50  387  (1 )  —  (1) 
Total United States          (197) 
Total Centrally Cleared Interest Rate Swaps          92 
 
Total Centrally Cleared Swaps          161 
Net payments (receipts) of variation margin to date          (113) 
 
Variation margin receivable (payable) on centrally cleared         
swaps        $  48 
** Includes interest purchased or sold but not yet collected of less than $1.      
 
 
 
 
The accompanying notes are an integral part of this Portfolio of Investments.      

 

 

  T. ROWE PRICE DYNAMIC CREDIT FUND     
 
 
 
 
(Amounts In 000s)           
 
FORWARD CURRENCY EXCHANGE CONTRACTS       
 
        Unrealized 
Counterparty  Settlement Receive Deliver  Gain/(Loss) 
Bank of America  4/9/20  TWD  1,469USD  49$  — 
Bank of America  4/17/20  RUB  16,125USD  260  (55) 
Bank of America  4/17/20  USD  478RUB  31,480  77 
Bank of America  4/24/20  JPY  19,577USD  179  3 
Bank of America  4/24/20  USD  188AUD  272  21 
Barclays Bank  4/9/20  IDR  4,773,000USD  336  (44) 
Barclays Bank  4/9/20  INR  23,000USD  319  (15) 
Barclays Bank  4/9/20  USD  675TWD  20,400  (1) 
Barclays Bank  6/5/20  CLP  132,296USD  164  (9) 
BNP Paribas  4/17/20  RUB  9,980USD  162  (35) 
BNP Paribas  6/5/20  CLP  131,638USD  163  (9) 
BNP Paribas  6/5/20  USD  230CLP  185,570  12 
Citibank  4/24/20  CHF  323USD  336  — 
Citibank  4/24/20  JPY  15,600USD  143  3 
Citibank  4/24/20  USD  151AUD  218  17 
Citibank  4/24/20  USD  341CAD  445  24 
Citibank  5/22/20  EUR  95USD  108  (3) 
Credit Suisse  4/24/20  USD  329CHF  323  (7) 
Deutsche Bank  4/24/20  JPY  36,500USD  355  (15) 
Deutsche Bank  6/2/20  USD  474BRL  2,305  32 
Goldman Sachs  4/9/20  IDR  3,407,616USD  208  1 
Goldman Sachs  4/9/20  TWD  20,400USD  688  (12) 
Goldman Sachs  4/9/20  USD  515NZD  820  26 
Goldman Sachs  4/24/20  JPY  19,570USD  179  3 
Goldman Sachs  7/10/20  USD  221IDR  3,696,217  (2) 
HSBC Bank  4/9/20  TWD  17,948USD  593  1 
HSBC Bank  4/9/20  USD  846IDR  11,733,000  128 
HSBC Bank  4/24/20  USD  169AUD  244  19 
HSBC Bank  5/22/20  EUR  74USD  82  (1) 
HSBC Bank  7/10/20  USD  602TWD  17,948  — 
JPMorgan Chase  4/9/20  NZD  51USD  31  (1) 
JPMorgan Chase  4/9/20  RUB  23,250USD  299  (3) 
JPMorgan Chase  4/9/20  TWD  1,583USD  53  — 
JPMorgan Chase  4/9/20  USD  306RUB  23,250  10 
JPMorgan Chase  4/16/20  CZK  673USD  27  — 
JPMorgan Chase  4/16/20  CZK  2,641USD  106  — 
JPMorgan Chase  4/16/20  USD  129CZK  3,314  (4) 
JPMorgan Chase  4/17/20  RUB  5,375USD  86  (17) 
JPMorgan Chase  4/24/20  AUD  229USD  137  4 
JPMorgan Chase  4/24/20  AUD  137USD  86  (2) 
JPMorgan Chase  4/24/20  JPY  1,860USD  17  — 
JPMorgan Chase  4/24/20  USD  63AUD  96  4 
JPMorgan Chase  4/24/20  USD  72AUD  122  (3) 
JPMorgan Chase  4/24/20  USD  88CAD  123  — 
JPMorgan Chase  4/24/20  USD  66JPY  6,970  1 
JPMorgan Chase  4/28/20  EGP  5,460USD  332  10 
JPMorgan Chase  4/28/20  USD  44EGP  715  (1) 
 
The accompanying notes are an integral part of this Portfolio of Investments.     

 

 

T. ROWE PRICE DYNAMIC CREDIT FUND

(Amounts In 000s)           
 
FORWARD CURRENCY EXCHANGE CONTRACTS (CONTINUED)     
 
        Unrealized 
Counterparty  Settlement Receive Deliver  Gain/(Loss) 
JPMorgan Chase  5/22/20  EUR  86USD  96$  (1) 
JPMorgan Chase  5/22/20  USD  108EUR  97  1 
JPMorgan Chase  5/22/20  USD  9EUR  9  — 
JPMorgan Chase  6/5/20  CLP  132,566USD  164  (9) 
JPMorgan Chase  7/17/20  USD  73CZK  1,799  — 
JPMorgan Chase  7/17/20  USD  18CZK  458  — 
Morgan Stanley  4/24/20  JPY  17,734USD  162  3 
Morgan Stanley  4/24/20  USD  171CAD  225  11 
Standard Chartered  4/9/20  USD  693TWD  21,000  (3) 
Standard Chartered  4/24/20  USD  326JPY  36,255  (11) 
State Street  5/22/20  USD  958EUR  878  (12) 
State Street  5/22/20  USD  183GBP  140  9 
UBS Investment Bank  4/24/20  USD  188AUD  323  (10) 
Net unrealized gain (loss) on open forward         
currency exchange contracts        $  135 

 

The accompanying notes are an integral part of this Portfolio of Investments.

 

  T. ROWE PRICE DYNAMIC CREDIT FUND         
 
 
 
  FUTURES CONTRACTS            
($ 000 s)           
            Value and 
      Expiration  Notional   Unrealized Gain 
      Date  Amount   (Loss)
  Short, 8 S&P 500 E-Mini Index contracts   6/20  (1,028 ) $    (32) 
  Long, 65 U. S. Treasury Notes two year contracts   6/20  14,325     220 
  Net payments (receipts) of variation margin to date           (170) 
 
  Variation margin receivable (payable) on open futures contracts      $  18 

 

The accompanying notes are an integral part of this Portfolio of Investments.

 

T. ROWE PRICE DYNAMIC CREDIT FUND

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 March 31, 2020. 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.

        Change in Net       
    Net Realized Gain    Unrealized    Investment  
Affiliate      (Loss)    Gain/Loss    Income  
T. Rowe Price Government                 
Reserve Fund    $  —#  $  —  $  3 + 
 
 
Supplementary Investment Schedule             
    Value  Purchase  Sales    Value  
Affiliate    12/31/19  Cost  Cost    3/31/20  
T. Rowe Price Government                 
Reserve Fund  $  1,346    ¤  ¤$    2,028 ^ 

 

# Capital gain distributions from mutual funds represented $0 of the net realized gain (loss).
+ Investment income comprised $3 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 $2,028.

The accompanying notes are an integral part of this Portfolio of Investments.

 

T. ROWE PRICE DYNAMIC CREDIT FUND
Unaudited
NOTES TO PORTFOLIO OF
INVESTMENTS

T. Rowe Price Dynamic Credit Fund (the fund) is registered under the Investment Company Act of 1940 (the 1940 Act)
as an open-end management investment company and follows accounting and reporting guidance of the Financial
Accounting Standards Board Accounting Standards Codification Topic 946. The accompanying Portfolio of Investments
was prepared in accordance with accounting principles generally accepted in the United States of America (GAAP). For
additional information on the fund’s significant accounting policies and investment related disclosures, please refer to the
fund’s most recent semiannual or annual shareholder report and its prospectus.

VALUATION

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.

Fair Value
The fund’s financial instruments 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 procedures to value securities; determines pricing
techniques, sources, and persons eligible to effect fair value pricing actions; oversees the selection, services, and
performance of pricing vendors; oversees valuation-related business continuity practices; and provides guidance on
internal controls and valuation-related matters. The Valuation Committee reports to the Board and has representation
from legal, portfolio management and trading, operations, risk management, and the fund’s treasurer.

Various valuation techniques and inputs are used to determine the fair value of financial instruments. GAAP
establishes the following fair value hierarchy that categorizes the inputs used to measure fair value:

Level 1 - quoted prices (unadjusted) in active markets for identical financial instruments that the fund can access at
the reporting date

Level 2 - inputs other than Level 1 quoted prices that are observable, either directly or indirectly (including, but not
limited to, quoted prices for similar financial instruments in active markets, quoted prices for identical or
similar financial instruments in inactive markets, interest rates and yield curves, implied volatilities, and
credit spreads)

Level 3 - unobservable inputs

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

 

T. ROWE PRICE DYNAMIC CREDIT FUND

well as prices quoted by dealers who make markets in such securities. Generally, debt securities are categorized in Level
2 of the fair value hierarchy; however, to the extent the valuations include significant unobservable inputs, the securities
would be categorized in Level 3.

Equity securities listed or regularly traded on a securities exchange or in the OTC market are valued at the last quoted
sale price or, for certain markets, the official closing price at the time the valuations are made. OTC Bulletin Board
securities are valued at the mean of the closing bid and asked prices. A security that is listed or traded on more than one
exchange is valued at the quotation on the exchange determined to be the primary market for such security. Listed
securities not traded on a particular day are valued at the mean of the closing bid and asked prices for domestic
securities and the last quoted sale or closing price for international securities.

For valuation purposes, the last quoted prices of non-U.S. equity securities may be adjusted to reflect the fair value of
such securities at the close of the NYSE. If the fund determines that developments between the close of a foreign market
and the close of the NYSE will affect the value of some or all of its portfolio securities, the fund will adjust the previous
quoted prices to reflect what it believes to be the fair value of the securities as of the close of the NYSE. In deciding
whether it is necessary to adjust quoted prices to reflect fair value, the fund reviews a variety of factors, including
developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments
trading in U.S. markets that represent foreign securities and baskets of foreign securities. The fund may also fair value
securities in other situations, such as when a particular foreign market is closed but the fund is open. The fund uses
outside pricing services to provide it with quoted prices and information to evaluate or adjust those prices. The fund
cannot predict how often it will use quoted prices and how often it will determine it necessary to adjust those prices to
reflect fair value. As a means of evaluating its security valuation process, the fund routinely compares quoted prices, the
next day’s opening prices in the same markets, and adjusted prices.

Actively traded equity securities listed on a domestic exchange generally are categorized in Level 1 of the fair value
hierarchy. Non-U.S. equity securities generally are categorized in Level 2 of the fair value hierarchy despite the
availability of quoted prices because, as described above, the fund evaluates and determines whether those quoted prices
reflect fair value at the close of the NYSE or require adjustment. OTC Bulletin Board securities, certain preferred
securities, and equity securities traded in inactive markets generally are categorized in Level 2 of the fair value
hierarchy.

Investments denominated in foreign currencies are translated into U.S. dollar values each day at the prevailing exchange
rate, using the mean of the bid and asked prices of such currencies against U.S. dollars as quoted by a major bank.

Investments in mutual funds are valued at the mutual fund’s closing NAV per share on the day of valuation and are
categorized in Level 1 of the fair value hierarchy. Listed options, and OTC options with a listed equivalent, are valued at
the mean of the closing bid and asked prices and generally are categorized in Level 2 of the fair value hierarchy.
Financial futures contracts are valued at closing settlement prices and are categorized in Level 1 of the fair value
hierarchy. Forward currency exchange contracts are valued using the prevailing forward exchange rate and are
categorized in Level 2 of the fair value hierarchy. Swaps are valued at prices furnished by an independent pricing service
or independent swap dealers and generally are categorized in Level 2 of the fair value hierarchy; however, if
unobservable inputs are significant to the valuation, the swap would be categorized in Level 3.

Thinly traded financial instruments and those for which the above valuation procedures are inappropriate or are
deemed not to reflect fair value are stated at fair value as determined in good faith by the Valuation Committee. 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.

Subject to oversight by the Board, the Valuation Committee regularly makes good faith judgments to establish and
adjust the fair valuations of certain securities as events occur and circumstances warrant. For instance, in determining
the fair value of troubled or thinly traded debt instruments, the Valuation Committee considers a variety of factors,

 

T. ROWE PRICE DYNAMIC CREDIT FUND

which may include, but are not limited to, the issuer’s business prospects, its financial standing and performance, recent
investment transactions in the issuer, strategic events affecting the company, market liquidity for the issuer, and general
economic conditions and events. In consultation with the investment and pricing teams, the Valuation Committee will
determine an appropriate valuation technique based on available information, which may include both observable and
unobservable inputs. 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 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 issue. 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. Depending on the relative significance of unobservable inputs,
including the valuation technique(s) used, fair valued securities may be categorized in Level 2 or 3 of the fair value
hierarchy.

Valuation Inputs
The following table summarizes the fund’s financial instruments, based on the inputs used to determine their fair values
on March 31, 2020 (for further detail by category, please refer to the accompanying Portfolio of Investments):

($000s)    Level 1  Level 2  Level 3  Total Value 
Assets           
Fixed Income Securities1  $  — $  20,113$  — $  20,113 
Bank Loans    —  5,682  1,258  6,940 
Common Stocks    171  23  —  194 
Convertible Preferred Stocks    —  660  —  660 
Preferred Stocks    14  —  —  14 
Short-Term Investments    2,028  —  —  2,028 
Options Purchased    —  60  —  60 
Total Securities    2,213  26,538  1,258  30,009 
Swaps    —  1,851  —  1,851 
Forward Currency Exchange Contracts    —  420  —  420 
Futures Contracts    18  —  —  18 
Total  $  2,231$  28,809$  1,258$  32,298 
Liabilities           
Swaps  $  — $  1,380$  — $  1,380 
Forward Currency Exchange Contracts    —  285  —  285 
Total  $  — $  1,665$  — $  1,665 

 

1 Includes Asset-Backed Securities, Corporate Bonds, Government Bonds, Municipal Securities, Non-U.S.
Government Mortgage-Backed Securities.

Following is a reconciliation of the fund’s Level 3 holdings for the period ended March 31, 2020. Gain (loss) reflects
both realized and change in unrealized gain/loss on Level 3 holdings during the period, if any. The change in unrealized
gain/loss on Level 3 instruments held at March 31, 2020, totaled $(236,000) for the period ended March 31, 2020.
During the period, transfers into Level 3 resulted from a lack of observable market data for the security.

($ 000 s)    Beginning    Gain (Loss)               Transfers    Ending 
        Balance    During     Total          Into    Balance 
        1/1/20    Period     Purchases    Total Sales     Level 3    3/31/20 
  Investment in Securities                         
  Bank Loans   $  –  $  (235 )  $  714  $  (3 )  $  782  $  1,258 

 

In accordance with GAAP, the following table provides quantitative information about significant unobservable inputs
used to determine the fair valuations of the fund's Level 3 assets, by class of financial instrument. Because the Valuation

 

T. ROWE PRICE DYNAMIC CREDIT FUND

Committee considers a wide variety of factors and inputs, both observable and unobservable, in determining fair value,
the unobservable inputs presented do not reflect all inputs significant to the fair value determination.

Investments in    Market  Valuation  Significant  Value or  Weighted  Impact to 
Securities    Value (000s)  Technique(s) +  Unobservable  Range of  Average of  Valuation from 
        Input(s)  Input(s)  Input(s) *  an Increase in 
              Input** 
 
Bank Loans  $  1,258  Recent  -#  -#  -#  -# 
      comparable         
      transaction price(s)         
 
      Pricing service  -#  -#  -#  -# 

 

# No quantitative unobservable inputs significant to the valuation technique were created by the fund’s management.

* Unobservable inputs were weighted by the relative fair value of the instruments.

**Represents the directional change in the fair value of the Level 3 investment(s) that would have resulted from an increase in the
Corresponding input at period end. A decrease in the unobservable input would have had the opposite effect. Significant increases
and decreases in these inputs in isolation could result in significantly higher or lower fair value measurements.
+ Valuation techniques may change in order to reflect our judgment of current market participant assumptions.