NPORT-EX 2 70LDTRPDynamicCreditFd.htm ldtrowedynamiccreditfund9302.htm - Generated by SEC Publisher for SEC Filing

T. ROWE PRICE DYNAMIC CREDIT FUND
September 30, 2020 (Unaudited)

Portfolio of Investments‡  Par/Shares  $ Value 
(Cost and value in $000s)     
ARGENTINA 0.3%     
Government Bonds 0.3%     
YPF, 8.50%, 3/23/21 (USD)  130,000  122 
Total Argentina (Cost $101)    122 
BRAZIL 1.9%     
Corporate Bonds 1.9%     
Braskem Netherlands Finance, 4.50%, 1/31/30 (USD) (1)  415,000  388 
Globo Comunicacao E Participacoes, 4.875%, 1/22/30 (USD)  480,000  475 
Total Brazil (Cost $776)    863 
CANADA 2.9%     
Corporate Bonds 2.9%     
Air Canada PTT, Series 2020-2, Class A, 5.25%, 4/1/29 (USD)     
(2)  625,000  640 
Methanex, 5.25%, 12/15/29 (USD)  700,000  693 
Total Canada (Cost $1,263)    1,333 
CHILE 0.6%     
Convertible Bonds 0.6%     
Liberty Latin America, 2.00%, 7/15/24 (USD)  313,000  258 
Total Chile (Cost $272)    258 
CHINA 3.0%     
Convertible Bonds 0.4%     
Huazhu Group, 3.00%, 5/1/26 (USD) (2)  165,000  205 
    205 
Corporate Bonds 2.6%     
Times China Holdings, 6.75%, 7/16/23 (USD)  400,000  410 
Yanlord Land HK, 6.80%, 2/27/24 (USD)  400,000  425 


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

 

T. ROWE PRICE DYNAMIC CREDIT FUND

  Par/Shares  $ Value 
(Cost and value in $000s)     
Yuzhou Group Holdings, 7.70%, 2/20/25 (USD)  350,000  349 
    1,184 
Total China (Cost $1,333)    1,389 
COLOMBIA 1.0%     
Corporate Bonds 1.0%     
Bancolombia, VR, 4.625%, 12/18/29 (USD) (3)  490,000  477 
Total Colombia (Cost $467)    477 
ECUADOR 0.4%     
Government Bonds 0.4%     
Republic of Ecuador, STEP, 0.50%, 7/31/30 (2)  62,370  43 
Republic of Ecuador, STEP, 0.50%, 7/31/35 (2)  163,449  91 
Republic of Ecuador, STEP, 0.50%, 7/31/40 (2)  74,910  38 
Republic of Ecuador, Zero Coupon, 7/31/30 (2)  13,391  6 
Total Ecuador (Cost $204)    178 
EGYPT 0.5%     
Government Bonds 0.5%     
Arab Republic of Egypt, 5.25%, 10/6/25 (USD) (2)  250,000  251 
Total Egypt (Cost $250)    251 
FRANCE 0.1%     
Common Stocks 0.1%     
Constellium (USD) (4)  9,057  71 
Total France (Cost $87)    71 
GERMANY 0.9%     
Corporate Bonds 0.9%     
Consus Real Estate, 9.625%, 5/15/24  100,000  125 

 

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

 

T. ROWE PRICE DYNAMIC CREDIT FUND

  Par/Shares  $ Value 
(Cost and value in $000s)     
Consus Real Estate, 9.625%, 5/15/24 (2)  250,000  311 
Total Germany (Cost $368)    436 
INDIA 1.8%     
Corporate Bonds 1.8%     
Neerg Energy, 6.00%, 2/13/22 (USD)  550,000  552 
TML Holdings, 5.75%, 5/7/21 (USD)  300,000  299 
Total India (Cost $851)    851 
IRELAND 2.5%     
Corporate Bonds 2.5%     
AerCap Ireland Capital, 6.50%, 7/15/25 (USD)  195,000  210 
Avolon Holdings Funding, 5.50%, 1/15/26 (USD) (2)  955,000  961 
Total Ireland (Cost $1,147)    1,171 
JAPAN 1.8%     
Corporate Bonds 1.8%     
Nissan Motor, 4.81%, 9/17/30 (USD) (2)  815,000  817 
Total Japan (Cost $815)    817 
MEXICO 4.1%     
Corporate Bonds 4.1%     
BBVA Bancomer, 1.875%, 9/18/25 (USD) (2)  385,000  377 
BBVA Bancomer, VR, 5.875%, 9/13/34 (USD) (1)(3)  470,000  478 
Cometa Energia, 6.375%, 4/24/35 (USD)  437,000  480 
Mexico City Airport Trust, 4.25%, 10/31/26 (USD)  650,000  577 
Total Mexico (Cost $1,886)    1,912 

 

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

 

T. ROWE PRICE DYNAMIC CREDIT FUND

  Par/Shares  $ Value 
(Cost and value in $000s)     
MOROCCO 0.8%     
Corporate Bonds 0.8%     
Vivo Energy Investments, 5.125%, 9/24/27 (USD) (2)  355,000  360 
Total Morocco (Cost $355)    360 
NETHERLANDS 1.4%     
Corporate Bonds 1.4%     
OCI, 4.625%, 10/15/25 (USD) (2)  630,000  630 
Total Netherlands (Cost $630)    630 
PERU 0.4%     
Corporate Bonds 0.4%     
Hudbay Minerals, 6.125%, 4/1/29 (USD) (2)  175,000  174 
Total Peru (Cost $175)    174 
SRI LANKA 1.0%     
Government Bonds 1.0%     
Republic of Sri Lanka, 6.125%, 6/3/25 (USD)  325,000  231 
Republic of Sri Lanka, 6.825%, 7/18/26 (USD)  360,000  254 
Total Sri Lanka (Cost $532)    485 
TRINIDAD AND TOBAGO 0.4%     
Government Bonds 0.4%     
Republic of Trinidad & Tobago, 4.50%, 6/26/30 (USD) (2)  200,000  197 
Total Trinidad and Tobago (Cost $200)    197 
UNITED STATES 68.1%     
Asset-Backed Securities 3.7%     
Allegany Park, Series 2019-1A, Class D, CLO, FRN, 3M USD     
LIBOR + 3.70%, 3.972%, 1/20/33 (2)  250,000  248 

 

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

 

T. ROWE PRICE DYNAMIC CREDIT FUND

    Par/Shares  $ Value 
(Cost and value in $000s)      
Applebee's Funding, Series 2019-1A, Class A2I, 4.194%, 6/7/49      
(2)  240,000  222 
Applebee's Funding, Series 2019-1A, Class A2II, 4.723%,      
6/7/49 (2)  440,000  382 
Elara HGV Timeshare Issuer, Series 2019-A, Class C, 3.45%,      
1/25/34 (2)  250,177  249 
ExteNet, Series 2019-1A, Class B, 4.14%, 7/26/49 (2)   500,000  503 
Hilton Grand Vacations Trust, Series 2020-AA, Class C, 6.42%,      
2/25/39 (2)  91,099  100 
      1,704 
Bank Loans 11.5% (5)      
American Airlines, FRN, 1M USD LIBOR + 1.75%, 1/29/27 (6)   300,000  218 
Applied Systems, FRN, 3M USD LIBOR + 3.25%, 4.25%,      
9/19/24   277,221  275 
Applied Systems, FRN, 3M USD LIBOR + 7.00%, 8.00%,      
9/19/25   195,000  197 
Asurion, FRN, 3M USD LIBOR + 6.50%, 6.647%, 8/4/25   294,697  295 
BCP Raptor, FRN, 3M USD LIBOR + 4.25%, 5.25%, 6/24/24   396,291  309 
Bellring Brands, FRN, 1M USD LIBOR + 5.00%, 6.00%,      
10/21/24   274,313  274 
Citgo Holding, FRN, 1M USD LIBOR + 7.00%, 8.00%, 8/1/23   128,700  120 
Cologix Holdings, FRN, 3M USD LIBOR + 3.00%, 4.00%,      
3/20/24   246,173  240 
Epicor Software, FRN, 1M USD LIBOR + 7.75%, 8.75%, 7/31/28   145,000  149 
GrafTech Finance, FRN, 3M USD LIBOR + 3.50%, 4.50%,      
2/12/25   451,376  445 
Intelsat Jackson Holdings, 8.625%, 1/2/24 (6)   300,000  303 
Intelsat Jackson Holdings, FRN, 1M USD LIBOR + 5.50%,      
6.50%, 7/13/22 (7)   116,020  118 
Keane Group Holdings, FRN, 3M USD LIBOR + 3.50%, 4.50%,      
5/25/25   346,456  305 
MH Sub I, FRN, 3M USD LIBOR + 7.50%, 7.647%, 9/15/25   70,000  69 
Mileage Plus Holdings, FRN, 1M USD LIBOR + 5.25%, 6.25%,      
6/21/27   230,000  233 
Mitchell International, FRN, 3M USD LIBOR + 7.25%, 7.397%,      
12/1/25   300,000  284 

 

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

 

T. ROWE PRICE DYNAMIC CREDIT FUND

    Par/Shares  $ Value 
(Cost and value in $000s)      
Scientific Games International, FRN, 1M USD LIBOR + 2.75%,      
8/14/24 (6)  548,593  515 
SkyMiles IP, FRN, 1M USD LIBOR + 3.75%, 9/16/27 (6)   330,000  332 
Tacala Investment, FRN, 1M USD LIBOR + 3.25%, 3.397%,      
2/5/27   356,345  343 
Tacala Investment, FRN, 1M USD LIBOR + 7.50%, 7.647%,      
2/4/28   175,000  164 
WW International, FRN, 3M USD LIBOR + 4.75%, 5.50%,      
11/29/24   142,976  142 
      5,330 
Common Stocks 1.0%      
Domtar   3,300  87 
JPMorgan Chase   770  74 
MyoKardia (4)   1,800  245 
Vistra   4,100  77 
      483 
Convertible Bonds 3.5%      
Apollo Commercial Real Estate Finance, 5.375%, 10/15/23   700,000  628 
Cheniere Energy, 4.25%, 3/15/45 (1)   405,000  292 
Liberty Broadband, 2.75%, 9/30/50 (2)   27,000  29 
Radius Health, 3.00%, 9/1/24   365,000  304 
SEACOR Holdings, 3.25%, 5/15/30   490,000  372 
      1,625 
Convertible Preferred Stocks 0.3%      
2020 Cash Mandatory Exchangeable Trust, 5.25%, 6/1/23 (1)(2)   30  33 
Southern, Series A, 6.75%, 8/1/22   1,856  85 
      118 
Corporate Bonds 27.8%      
American Airlines PTT, Series 2016-3, Class AA, 3.00%,      
10/15/28   199,003  188 
American Airlines PTT, Series 2017-2, Class AA, 3.35%,      
10/15/29   289,821  271 
Caesars Resort Collection, 5.25%, 10/15/25 (1)(2)   475,000  457 
Carvana, 5.625%, 10/1/25 (2)   585,000  577 

 

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

 

T. ROWE PRICE DYNAMIC CREDIT FUND

  Par/Shares  $ Value 
(Cost and value in $000s)     
Carvana, 5.875%, 10/1/28 (2)  465,000  459 
CD&R Smokey Buyer, 6.75%, 7/15/25 (2)  60,000  63 
Cleveland-Cliffs, 9.875%, 10/17/25 (2)  85,000  95 
Consolidated Communications, 6.50%, 10/1/28 (2)  385,000  392 
Delta Air Lines, 4.75%, 10/20/28 (2)  150,000  156 
Domtar, 6.75%, 2/15/44  550,000  625 
Energy Transfer Operating, 6.25%, 4/15/49  535,000  552 
Genworth Mortgage Holdings, 6.50%, 8/15/25 (2)  290,000  304 
Howard Hughes, 5.375%, 8/1/28 (1)(2)  340,000  337 
Intelsat Jackson Holdings, 9.50%, 9/30/22 (2)  445,000  485 
Joseph T. Ryerson & Son, 8.50%, 8/1/28 (2)  285,000  300 
L Brands, 5.25%, 2/1/28  535,000  518 
L Brands, 6.625%, 10/1/30 (2)  90,000  92 
Logan Merger Sub, 5.50%, 9/1/27 (2)  385,000  390 
MDC Partners, 6.50%, 5/1/24 (2)  484,000  443 
MGIC Investment, 5.25%, 8/15/28  130,000  134 
NGL Energy Partners, 6.125%, 3/1/25 (1)  350,000  212 
Occidental Petroleum, 6.625%, 9/1/30 (1)  280,000  258 
Occidental Petroleum, 8.00%, 7/15/25 (1)  195,000  195 
Occidental Petroleum, 8.50%, 7/15/27 (1)  255,000  257 
Orlando Health Obligated Group, 3.327%, 10/1/50  580,000  580 
Park Intermediate Holdings, 5.875%, 10/1/28 (2)  450,000  449 
PRA Group, 7.375%, 9/1/25 (1)(2)  725,000  756 
Sabre GLBL, 9.25%, 4/15/25 (2)  170,000  187 
SeaWorld Parks & Entertainment, 9.50%, 8/1/25 (2)  375,000  387 
Specialty Building Products Holdings, 6.375%, 9/30/26 (2)  375,000  381 
Summit Materials, 5.25%, 1/15/29 (2)  320,000  333 
Tallgrass Energy Partners, 7.50%, 10/1/25 (2)  220,000  220 
Teekay Offshore Partners, 8.50%, 7/15/23 (2)  325,000  279 
Tenneco, 5.375%, 12/15/24  295,000  231 
Townsquare Media, 6.50%, 4/1/23 (1)(2)  555,000  508 

 

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

 

T. ROWE PRICE DYNAMIC CREDIT FUND

  Par/Shares  $ Value 
(Cost and value in $000s)     
Univision Communications, 9.50%, 5/1/25 (2)  280,000  300 
Watco Finance, 6.50%, 6/15/27 (2)  480,000  488 
    12,859 
Municipal Securities 5.0%     
Illinois, GO, Build America Bonds, 7.10%, 7/1/35  315,000  359 
Metropolitan Pier & Exposition Auth. , Series C, McCormick     
Place Expansion, 4.105%, 12/15/27  450,000  450 
Michigan Tobacco Settlement Finance Auth. , Series B, Zero     
Coupon, 6/1/46  55,000  6 
Port Beaumont Navigation District, Series B, 6.00%, 1/1/25 (2)  435,000  432 
Puerto Rico Commonwealth Aqueduct & Sewer Auth. , Series B,     
5.35%, 7/1/27  700,000  674 
Tobacco Settlement Finance Auth. , Series B, Zero Coupon,     
6/1/47  960,000  52 
Tobacco Settlement Financing, Series A-1, 6.706%, 6/1/46  345,000  356 
    2,329 
Non-U. S. Government Mortgage-Backed Securities 7.8%     
Barclays Commercial Mortgage Trust, Series 2019-BWAY, Class     
E, ARM, 1M USD LIBOR + 2.85%, 3.002%, 11/25/34 (2)  250,000  215 
Barclays Commercial Mortgage Trust, Series 2020-C7, Class D,     
ARM, 3.605%, 4/15/53 (2)  350,000  312 
BX Commercial Mortgage Trust, Series 2019-IMC, Class E,     
ARM, 1M USD LIBOR + 2.15%, 2.302%, 4/15/34 (2)  310,000  275 
Cantor Commercial Real Estate Lending, Series 2019-CF1,     
Class 65C, ARM, 4.123%, 5/15/52 (2)  240,000  228 
Cantor Commercial Real Estate Lending, Series 2019-CF1,     
Class 65D, ARM, 4.66%, 5/15/52 (2)  150,000  130 
Commercial Mortgage Trust, Series 2014-CR19, Class C, ARM,     
4.868%, 8/10/47  140,000  143 
Commercial Mortgage Trust, Series 2014-CR19, Class E, ARM,     
4.368%, 8/10/47 (2)  340,000  197 
Great Wolf Trust, Series 2019-WOLF, Class F, ARM, 1M USD     
LIBOR + 3.131%, 3.283%, 12/15/36 (2)  350,000  303 
New Orleans Hotel Trust, Series 2019-HNLA, Class E, ARM, 1M     
USD LIBOR + 2.689%, 2.841%, 4/15/32 (2)  150,000  126 

 

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

 

T. ROWE PRICE DYNAMIC CREDIT FUND

    Par/Shares  $ Value 
(Cost and value in $000s)      
Structured Agency Credit Risk Debt Notes, Series 2019-HQA1,      
Class M2, CMO, ARM, 1M USD LIBOR + 2.35%, 2.498%,      
2/25/49 (2)  112,208  111 
Structured Agency Credit Risk Debt Notes, Series 2019-HQA2,      
Class M2, CMO, ARM, 1M USD LIBOR + 2.05%, 2.198%,      
4/25/49 (2)  186,631  184 
Structured Agency Credit Risk Debt Notes, Series 2019-HQA4,      
Class M2, CMO, ARM, 1M USD LIBOR + 2.05%, 2.198%,      
11/25/49 (2)  230,503  227 
Structured Agency Credit Risk Debt Notes, Series 2020-DNA3,      
Class B1, CMO, ARM, 1M USD LIBOR + 5.10%, 5.248%,      
6/25/50 (2)  250,000  255 
Structured Agency Credit Risk Debt Notes, Series 2020-HQA2,      
Class M2, CMO, ARM, 1M USD LIBOR + 3.10%, 3.248%,      
3/25/50 (2)  190,000  187 
Structured Agency Credit Risk Debt Notes, Series 2020-HQA4,      
Class B1, CMO, ARM, 1M USD LIBOR + 5.25%, 5.402%,      
9/25/50 (2)  400,000  400 
Vista Point Securitization Trust, Series 2020-1, Class B1, CMO,      
ARM, 5.375%, 3/25/65 (2)   170,000  172 
Vista Point Securitization Trust, Series 2020-2, Class B1, CMO,      
ARM, 4.90%, 4/25/65 (2)   160,000  161 
      3,626 
Preferred Stocks 0.0%      
Altera Infrastructure, 7.25% (8)   995  17 
      17 
U. S. Government Agency Obligations (Excluding Mortgage-      
Backed) 7.5%      
U. S. Treasury Bills, 0.12%, 6/17/21   3,500,000  3,497 
      3,497 
Total United States (Cost $31,525)     31,588 
SHORT-TERM INVESTMENTS 9.6%      
MONEY MARKET FUNDS 9.6%      
T. Rowe Price Government Reserve Fund, 0.09% (9)(10)   4,443,721  4,444 
Total Short-Term Investments (Cost $4,444)     4,444 

 

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

 

T. ROWE PRICE DYNAMIC CREDIT FUND

      Par/Shares  $ Value 
(Cost and value in $000s)       
SECURITIES LENDING COLLATERAL 5.9%       
INVESTMENTS IN A POOLED ACCOUNT THROUGH       
SECURITIES LENDING PROGRAM WITH STATE STREET     
BANK AND TRUST COMPANY 5.9%       
Short-Term Funds 5.9%       
T. Rowe Price Short-term Fund, 0.13% (9)(10)    272,237  2,722
Total Investments in a Pooled Account through Securities Lending Program with   
State Street Bank and Trust Company      2,722
Total Securities Lending Collateral (Cost $2,722)      2,722 
 
(Amounts in 000s, except for contracts)       
 
OPTIONS PURCHASED 0.1%       
 
OTC Options Purchased 0.1%       
Counterparty  Description  Contracts  Notional Amount  $ Value 
Goldman  USD Call / CNH Put, 5/17/21 @ 7.20       
Sachs  (CNH) (4)  1 1,336  11 
  USD Call / ZAR Put, 2/1/21 @ 19.25       
Citibank  (ZAR) (4)  1 1,120  13 
Total Options Purchased (Cost $55)      24 
Total Investments in Securities 109.5%       
(Cost $50,458)    $  50,753
Other Assets Less Liabilities (9.5)%      (4,423) 
Net Assets 100.0%    $  46,330 

 

‡   Country classifications are generally based on MSCI categories or another 
    unaffiliated third party data provider; Par/Shares and Notional Amount are 
    denominated in the currency of the country presented unless otherwise noted. 
(1 )  All or a portion of this security is on loan at September 30, 2020. 
(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 $19,620 and represents 42.3% of net assets. 
(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 )  Non-income producing 

 

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

 

T. ROWE PRICE DYNAMIC CREDIT FUND

(5 )  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. 
(6 )  All or a portion of this loan is unsettled as of September 30, 2020. The interest 
    rate for unsettled loans will be determined upon settlement after period end. 
(7 )  A portion of the position represents an unfunded commitment; a liability to 
    fund the commitment has been recognized. The fund's total unfunded 
    commitment at September 30, 2020, was $58 and was valued at $58 (0.1% of 
    net assets) . 
(8 )  Perpetual security with no stated maturity date. 
(9 )  Seven-day yield 
(10 )  Affiliated Companies 
1M USD LIBOR   One month USD LIBOR (London interbank offered rate) 
3M USD LIBOR   Three month USD LIBOR (London interbank offered rate) 
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 
CLO   Collateralized Loan Obligation 
CMO   Collateralized Mortgage Obligation 
CNH   Offshore China Renminbi 
COP   Colombian Peso 
CZK   Czech Koruna 
EUR   Euro 
FRN   Floating Rate Note 
GBP   British Pound 
GO   General Obligation 
JPY   Japanese Yen 
NZD   New Zealand Dollar 
OTC   Over-the-counter 
PTT   Pass-Through Trust 
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 
VR   Variable Rate; rate shown is effective rate at period-end. The rates for certain 
    variable rate securities are not based on a published reference rate and 
    spread but are determined by the issuer or agent and based on current market 
    conditions. 
ZAR   South African Rand 

 

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

 

T. ROWE PRICE DYNAMIC CREDIT FUND

(Amounts in 000s, except for contracts)       
OPTIONS WRITTEN (0.0)%       
OTC Options Written (0.0)%       
Counterparty  Description  Contracts Notional Amount  $ Value 
  USD Call / ZAR Put, 2/1/21 @ 16.90       
Citibank  (ZAR)  1 370  (16) 
Total Options Written (Premiums $(21))    $  (16) 

 

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

 

T. ROWE PRICE DYNAMIC CREDIT FUND

(Amounts In 000s)               
SWAPS 0.4%               
        Upfront      
  Notional      Payments/   Unrealized  
Description  Amount  $ Value   $ (Receipts)   $ Gain/(Loss)  
BILATERAL SWAPS 1.4%               
Credit Default Swaps, Protection Bought 1.6%               
United States 1.6%               
Bank of America, N. A. , Protection Bought               
(Relevant Credit: Dell, 7.10%, 4/15/28), Pay               
1.00% Quarterly, Receive upon credit default,               
6/20/25  550  32   24   8  
Bank of America, N. A. , Protection Bought               
(Relevant Credit: Packaging Corp. of America,               
3.00%, 12/15/29), Pay 1.00% Quarterly, Receive               
upon credit default, 6/20/25  50  (2 )  (2 )  —  
Barclays Bank, Protection Bought (Relevant               
Credit: Boeing, 8.75%, 8/15/21), Pay 1.00%               
Quarterly, Receive upon credit default, 6/20/25  550  48   40   8  
Barclays Bank, Protection Bought (Relevant               
Credit: Transdigm, 6.00%, 7/15/22), Pay 5.00%               
Quarterly, Receive upon credit default, 6/20/24  575  (44 )  (70 )  26  
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  —   3   (3 ) 
BNP Paribas, Protection Bought (Relevant               
Credit: Packaging Corp. of America, 3.00%,               
12/15/29), Pay 1.00% Quarterly, Receive upon               
credit default, 6/20/25  160  (5 )  (6 )  1  
BNP Paribas, Protection Bought (Relevant               
Credit: Quest Diagnostics, 4.20%, 6/30/29), Pay               
1.00% Quarterly, Receive upon credit default,               
6/20/25  475  (17 )  (18 )  1  
BNP Paribas, Protection Bought (Relevant               
Credit: Sanofi, 0.88%, 9/22/21), Pay 1.00%               
Quarterly, Receive upon credit default, 6/20/25               
(EUR)  276  (13 )  (13 )  —  
Citibank, Protection Bought (Relevant Credit:               
DaVita, 5.00%, 5/1/25), Pay 5.00% Quarterly,               
Receive upon credit default, 12/20/24  650  (113 )  (116 )  3  

 

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)  
Goldman Sachs, Protection Bought (Relevant               
Credit: Caterpillar, 3.90%, 5/27/21), Pay 1.00%               
Quarterly, Receive Upon credit default, 6/20/25  875  (31 )  (12 )  (19 ) 
Goldman Sachs, Protection Bought (Relevant               
Credit: CenturyLink, 7.50%, 4/1/24), Pay 1.00%               
Quarterly, Receive upon credit default, 6/20/24  550  31   31   —  
Goldman Sachs, Protection Bought (Relevant               
Credit: DaVita, 5.00%, 5/1/25), Pay 5.00%               
Quarterly, Receive upon credit default, 12/20/24  750  (130 )  (129 )  (1 ) 
Goldman Sachs, Protection Bought (Relevant               
Credit: iStar, 5.25%, 9/15/22), Pay 5.00%               
Quarterly, Receive upon credit default, 6/20/24  500  (18 )  (54 )  36  
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  31   5   26  
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  (55 )  (69 )  14  
Goldman Sachs, Protection Bought (Relevant               
Credit: Packaging Corp. of America, 3.00%,               
12/15/29), Pay 1.00% Quarterly, Receive upon               
credit default, 6/20/25  115  (4 )  (4 )  —  
Goldman Sachs, Protection Bought (Relevant               
Credit: Prudential Financial, 3.50%, 5/15/24),               
Pay 1.00% Quarterly, Receive upon credit               
default, 6/20/25  650  (16 )  (11 )  (5 ) 
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  833   166   667  
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  226   38   188  
 
Total Bilateral Credit Default Swaps, Protection Bought      (197 )  950  

 

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)  
Credit Default Swaps, Protection Sold (0.2)%               
Mexico (0.2)%               
Barclays Bank, Protection Sold (Relevant Credit:               
Petroleos Mexicanos, 6.63%, 6/15/35, $81.03*),               
Receive 1.00% Quarterly, Pay upon credit               
default, 12/20/24 (USD)  175  (31 )  (14 )  (17 ) 
Morgan Stanley, Protection Sold (Relevant               
Credit: Petroleos Mexicanos, 6.63%, 6/15/35,               
$81.03*), Receive 1.00% Quarterly, Pay upon               
credit default, 6/20/25 (USD)  225  (43 )  (56 )  13  
Total Mexico        (70 )  (4 ) 
Ukraine (0.0)%               
Barclays Bank, Protection Sold (Relevant Credit:               
Government of Ukraine, 7.75%, 9/1/23,               
$102.49*), Receive 5.00% Quarterly, Pay upon               
credit default, 6/20/25 (USD)  535  (18 )  (35 )  17  
Total Ukraine        (35 )  17  
United States 0.0%               
Barclays Bank, Protection Sold (Relevant Credit:               
Jaguar Land Rover Automotive, 5.00%, 2/15/22,               
97.74 GBP*), Receive 5.00% Quarterly, Pay               
upon credit default, 6/20/25 (EUR)  210  (30 )  (35 )  5  
Barclays Bank, Protection Sold (Relevant Credit:               
MGM Resorts International, 5.75%, 6/15/25,               
$104.5*), Receive 5.00% Quarterly, Pay upon               
credit default, 6/20/25  460  39   32   7  
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  90  (7 )  (8 )  1  
JPMorgan Chase, Protection Sold (Relevant               
Credit: Banco Comercial Portugues, 4.50%,               
12/7/27, 96.13 EUR*), Receive 5.00% Quarterly,               
Pay Upon credit default, 12/20/24 (EUR)  575  28   45   (17 ) 

 

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 Sold (Relevant           
Credit: Mattel, 6.75%, 12/31/25, $104.50*),           
Receive 1.00% Quarterly, Pay Upon credit           
default, 12/20/24  265  (20 )  (20)  —
Total United States        14  (4) 
Total Bilateral Credit Default Swaps, Protection Sold        (91)  9
Total Bilateral Swaps        (288)  959
 
* Market price at September 30, 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 (1.0)%               
Credit Default Swaps, Protection Bought (1.1)%               
United States (1.1)%               
Protection Bought (Relevant Credit: Markit               
CDX. NA. HY-S34, 5 Year Index), Pay 5.00%               
Quarterly, Receive upon credit default, 6/20/25  5,561  (285 )  (314 )  29  
Protection Bought (Relevant Credit: Markit iTraxx               
Crossover-S33, 5 Year Index), Pay 5.00%               
Quarterly, Receive upon credit default, 6/20/25               
(EUR)  2,905  (221 )  (3 )  (218 ) 
Total Centrally Cleared Credit Default Swaps, Protection Bought          (189 ) 
Interest Rate Swaps 0.1%               
United States 0.1%               
5 Year Interest Rate Swap, Receive Fixed               
0.412% Semi-Annually, Pay Variable 0.233% (3M               
USD LIBOR) Quarterly, 6/18/25  7,330  36   —   36  
30 Year Interest Rate Swap, Pay Fixed 1.073%               
Semi-Annually, Receive Variable 0.233% (3M               
USD LIBOR) Quarterly, 6/18/50  1,350  13   1   12  
30 Year Interest Rate Swap, Pay Fixed 1.146%               
Semi-Annually, Receive Variable 0.234% (3M               
USD LIBOR) Quarterly, 10/2/50  441  (3 )  —   (3 ) 
Total Centrally Cleared Interest Rate Swaps            45  
Total Centrally Cleared Swaps            (144 ) 
Net payments (receipts) of variation margin to date            135  
Variation margin receivable (payable) on centrally cleared             
swaps        $   (9 ) 

 

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  12/18/20  USD  359    CZK  8,055  $      10
Barclays Bank  12/2/20  USD  773    TWD  22,515  (12) 
Barclays Bank  12/18/20  USD  795    EUR  680  (3) 
BNP Paribas  12/2/20  USD  1,301    JPY  136,595  5
BNP Paribas  12/18/20  USD  879    CAD  1,170  — 
Citibank  12/18/20  USD  613    AUD  845  7
Goldman Sachs  12/2/20  USD  771    BRL  4,280  10 
JPMorgan Chase  12/2/20  COP  830    USD  —  — 
JPMorgan Chase  12/2/20  JPY  9,064    USD  86  —
JPMorgan Chase  12/2/20  USD  153    BRL  835  5
JPMorgan Chase  12/2/20  USD  147    TWD  4,258  (1) 
JPMorgan Chase  12/18/20  GBP  45    USD  58  —
JPMorgan Chase  12/18/20  USD  83    AUD  113  2
JPMorgan Chase  12/18/20  USD  127    AUD      180  (2) 
JPMorgan Chase  12/18/20  USD  809    EUR  679  11
JPMorgan Chase  12/18/20  USD  58    GBP  45  — 
JPMorgan Chase  12/18/20  USD  649    NZD  964  11 
RBC Dominion Securities  12/2/20  JPY  127,531    USD  1,202  8 
State Street  12/18/20  USD  593    AUD  816  8 
UBS Investment Bank  12/18/20  CZK  8,055    USD  359  (9) 
Net unrealized gain (loss) on open forward         
currency exchange contracts        $  50 

 

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

 

T. ROWE PRICE DYNAMIC CREDIT FUND

  FUTURES CONTRACTS            
($ 000s)           
            Value and 
      Expiration  Notional   Unrealized Gain 
      Date  Amount   (Loss) 
  Short, 18 Russell 2000 E-Mini Index contracts   12/20  (1,354 )   $  10
  Short, 8 S&P 500 E-Mini Index contracts   12/20  (1,341 )    (2) 
  Net payments (receipts) of variation margin to date           (13) 
  Variation margin receivable (payable) on open futures contracts      $  (5) 

 

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 nine
months ended September 30, 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    $  —  $  —  $  5 
T. Rowe Price Short-Term Fund    —    —    —++ 
Totals    $  —#  $  —  $  5+ 
 
Supplementary Investment Schedule           
    Value  Purchase  Sales    Value 
Affiliate    12/31/19  Cost  Cost    9/30/20 
T. Rowe Price Government             
Reserve Fund  $  1,346    ¤  ¤   $  4,444 
T. Rowe Price Short-Term             
Fund    —    ¤  ¤    2,722 
Total            $  7,166^ 

 

# 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 $5 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 $7,166.

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 September 30, 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  $  — $                       42,874  $                —   $          42,874 
Common Stocks    554  —  —  554 
Convertible Preferred Stocks    —  118  —  118 
Preferred Stocks    17  —  —  17 
Short-Term Investments    4,444  —  —  4,444 
Securities Lending Collateral    2,722  —  —  2,722 
Options Purchased    —  24  —  24 
Total Securities    7,737  43,016  —  50,753 
Swaps    —  1,268  —  1,268 
Forward Currency Exchange Contracts    —  77  —  77 
Total  $  7,737  $                        44,361  $             —   $         52,098 
Liabilities           
Options Written  $  —   $                        16  $             —   $         16 
Swaps    —  606  —  606 
Forward Currency Exchange Contracts    —  27  —  27 
Futures Contracts    5  —  —  5 
Total  $  5  $                       649  $            —  $        654 

 

1 Includes Asset-Backed Securities, Bank Loans, Convertible Bonds, Corporate Bonds, Government Bonds,
Municipal Securities, Non-U.S. Government Mortgage-Backed Securities, U.S. Government Agency
Obligations (Excluding Mortgage-Backed).