ANNual REPORT May 31, 2017 PRWBX PASHX TBSIX T. Rowe Price Short-Term Bond Fund Short-Term Bond Fund Advisor Class Short-Term Bond Fund I Class The fund invests in high-quality short- and intermediate-term bonds for current income and minimal principal fluctuation.
HIGHLIGHTS Before moderating somewhat by the end of the reporting period, Treasury yields spiked dramatically higher in late 2016 as investors priced in an aggressive policy agenda following Donald Trump s victory in the November 2016 U.S. presidential election. The Short-Term Bond Fund outperformed the Bloomberg Barclays 1 3 Year U.S. Government/Credit Bond Index but underperformed its Lipper peer group average during the 12-month reporting period. We increased our exposure to corporate bonds and asset-backed securities during the 12-month period and reduced exposure to mortgage-backed securities. The failure of the Republican-led effort to repeal and replace the Affordable Care Act, along with tax reform and infrastructure spending legislation delays, has left us with a significant degree of uncertainty about the direction of the U.S. economy and various sectors of the market. The views and opinions in this report were current as of May 31, 2017. They are not guarantees of performance or investment results and should not be taken as investment advice. Investment decisions reflect a variety of factors, and the managers reserve the right to change their views about individual stocks, sectors, and the markets at any time. As a result, the views expressed should not be relied upon as a forecast of the fund s future investment intent. The report is certified under the Sarbanes-Oxley Act, which requires mutual funds and other public companies to affirm that, to the best of their knowledge, the information in their financial reports is fairly and accurately stated in all material respects. REPORTS ON THE WEB Sign up for our Email Program, and you can begin to receive updated fund reports and prospectuses online rather than through the mail. Log in to your account at troweprice.com for more information.
Manager s Letter Fellow Shareholders Before moderating somewhat by the end of the reporting period, Treasury yields spiked dramatically in late 2016 as investors priced in an aggressive policy agenda following Donald Trump s victory in the November 2016 U.S. presidential election. Since the election, we have increased exposure to riskier market segments given the possibility that economic growth may get a boost from increased spending and deregulation. Our security selection helped your fund outperform its benchmark. PERFORMANCE Your fund returned 1.44% during the 12 months ended May 31, 2017, outperforming its benchmark, the Bloomberg Barclays 1 3 Performance Comparison Total Return Periods Ended 5/31/17 6 Months 12 Months Short-Term Bond Fund 0.85% 1.44% Short-Term Bond Fund Advisor Class 0.91 1.12 Short-Term Bond Fund I Class 1.11 1.75 Bloomberg Barclays 1 3 Year U.S. Government/ Credit Bond Index 0.82 0.99 Lipper Short Investment Grade Debt Funds Average 1.32 2.02 Year U.S. Government/ Credit Bond Index, which returned 0.99%. However, the fund underperformed the Lipper Short Investment Grade Debt Funds Average of 2.02% for the same period. The fund s net asset value ended the reporting period at $4.72, down from $4.73 at the end of May 2016. Dividends contributed $0.08 per share during the 12-month period. (Performance for the Advisor Class and I Class will vary, reflecting their different fee structures.) The fund s investment objective is to provide greater income than a money market fund but with a higher degree of principal risk. 1
What Rising Rates Mean for Bonds With the Federal Reserve expected to continue its measured approach to interest rate hikes, yields on U.S. Treasuries and other fixed income securities have slowly increased from the low levels of the recent past. We expect the Fed to pause after each increase in the federal funds rate and to carefully analyze incoming U.S. economic data to be sure that economic activity is strong enough to withstand further incremental moves toward normalization of monetary policy. The Fed s more gradual approach to interest rate increases than in previous cycles nonetheless brings the risk of rising rates to the forefront for bond investors. Higher interest rates weigh on the prices of most types of bonds. Importantly, investors also need to understand that not all bonds or bond funds respond uniformly in such an environment. In particular, the duration of a bond or bond fund, which is tied in part to its maturity, provides important information about how the asset will perform when rates change. Also, some bond sectors and bonds of varying quality are better insulated from rate changes and may even perform well as rates rise. A bond fund s duration (shown in the Portfolio Characteristics exhibit) is the most precise indicator of how the fund will respond to rising rates. If a bond fund has a duration of 5.3 years, for example, the fund s net asset value (NAV) would be expected to fall about 5.3% for every one-percentage-point rise in rates. Even this is only part of the picture, however rising rates will also generally mean higher dividends per share as the fund invests in new, higher-yielding bonds. As a result, the fund s total return (change in NAV plus dividend income) is unlikely to fall as steeply as the duration indicates. Generally, bond funds with a shorter weighted average maturity in other words, those with holdings that come due sooner have lower durations and should fare better than funds with longer average maturities when rates rise. This is because investors in the bonds will not be locked into lower yields, or coupon payments, for long. When the fund receives principal payments from maturing bonds, it can reinvest them at a higher yield. Indeed, for investors in a bond fund with a low duration and a low weighted average maturity, higher rates can mean an increase in income potential. Some fixed income sectors offer an added degree of protection from rising rates. Floating rate funds invest in bank loans where the interest rate on the loan is periodically reset, meaning that investors face very little interest rate risk. However, the bank loans usually have a credit profile that is below investment quality, which means these investments may have greater exposure to default risk than investment-grade bonds. Mortgage-backed securities typically fare better than other bonds of similar maturity when rates rise modestly, as fewer homeowners will refinance and pay off their loans early. In addition, lower-quality bonds with a price that is highly sensitive to the issuer s credit rating (shown in the Quality Diversification exhibit) may perform better as rates increase. Rising rates often accompany a strengthening economy, which can lead to credit upgrades for lower-rated issuers. Also, the higher yields offered by lower-quality bonds provide an additional cushion to total return if bond prices fall as interest rates increase. However, lower-quality bonds are generally exposed to greater credit risk than other bonds because the securities carry a higher risk of default. 2
2.0 1.5 1.0 0.5 0.0 ECONOMY AND INTEREST RATES After growing 1.6% in 2016, U.S. gross domestic product growth slowed to a 1.2% annual pace in the first three months of 2017, according to the Commerce Department s second estimate. While first-quarter growth was weak, the underlying trend of moderate U.S. economic expansion seems to remain in place. The pace of employment growth has moderated compared with the last few years as the unemployment rate has declined, but the labor market remains strong and wage growth has picked up. Inflation is higher than 12 months ago, but any further increases are likely to be gradual as energy prices have leveled off. Citing an improving labor market and rising inflation, the Fed raised interest rates by 25 basis points in December 2016 and March 2017. (A basis point is 0.01 percentage point.) After the pair of hikes, the range for the fed funds target rate was 0.75% to 1.00%. (The Fed also raised rates in June, shortly after the end of the reporting period.) Treasury yields rose over the 12-month reporting period as the market anticipated the Fed s moves. While U.S. Treasury yields fell to near record lows in July, they climbed higher through the end of the year amid expectations of accelerating inflation and economic growth stemming from Donald Trump s campaign proposals to cut taxes and increase infrastructure spending. The yield on the two-year Treasury note began the fiscal year at 0.87% and finished at 1.28%, whereas the yield on the five-year Treasury note began at 1.37% and ended at 1.75%. (Bond prices and yields move in opposite directions.) Interest Rate Levels 4.0% 2-Year Treasury Note 5-Year Treasury Note 3.5 3.0 2.5 5/31/16 8/16 11/16 2/17 5/31/17 Source: Federal Reserve Board. Companies, looking to take advantage of historically low rates, issued investment-grade debt at a record pace. However, technical conditions remained healthy, with strong demand, especially from foreign buyers, absorbing the supply. Corporate bonds outpaced U.S. Treasuries of similar maturities as corporate spreads measured by 3
the Bloomberg Barclays 1 3 Year U.S. Government/Credit Bond Index compressed, ending the period at 0.18 percentage points from 0.26 percentage points at the beginning of the period. Asset-backed securities (ABS) and mortgage-backed securities (MBS) gained modestly amid the increase in Treasury yields. While ABS were supported by strong consumer fundamentals, uncertainty about the Fed s plans for winding down its holdings of MBS weighed on that market. PORTFOLIO REVIEW Portfolio Characteristics Periods Ended 11/30/16 5/31/17 Short-Term Bond Fund Share Price $4.72 $4.72 Dividends Per Share For 6 Months 0.04 0.04 For 12 Months 0.07 0.08 SEC Yield (30-day) 1.30% 1.55% Short-Term Bond Fund Advisor Class Share Price $4.71 $4.72 Dividends Per Share For 6 Months 0.03 0.03 For 12 Months 0.06 0.06 SEC Yield (30-day) 1.03% 1.23% Short-Term Bond Fund I Class Share Price $4.72 $4.73 Dividends Per Share For 6 Months 0.04 0.04 For 12 Months 0.08 SEC Yield (30-day) 1.39% 1.65% Weighted Average Maturity (years) 2.1 1.9 Weighted Average Effective Duration (years) 1.9 1.8 12-month dividends may not equal the combined 6-month figures due to rounding. We saw continued high demand for corporate bonds from yield-hungry investors as well as an increased level of risk tolerance in the wake of the U.S. elections and the rapid increase in yields. Our strategic underweight to U.S. Treasuries and corresponding overweight to investmentgrade corporate debt benefited results in this environment. Typically, we underweight loweryielding Treasury securities and overweight investment-grade corporates for their incremental yield advantage. We have also added out-ofbenchmark exposure in the securitized sector, which benefited from the strength in the consumer and housing markets during the period. 4
Credit Ratings in a Nutshell Credit rating agencies assign letter ratings to bonds after analyzing the issuer s financial situation, although some issuers choose not to be rated. The chart below shows the range of ratings used by Moody s Investors Service, Standard & Poor s, and Fitch Ratings. Bonds within the four highest rating categories are considered to be investment grade; those with lower ratings are considered noninvestment grade and are often called high yield or junk bonds. There are also intermediate gradations called split ratings; these occur when two of the rating agencies do not agree on a rating. For example, one agency may rate a bond BB and another B, creating a BB/B split rating. Moody s and Standard & Poor s/fitch Rating Codes Investment-Grade Bonds Moody s S&P/Fitch Meaning Aaa AAA Highest-quality bonds. Issuers are considered extremely stable and dependable. Aa AA High-quality bonds. The long-term investment risk is slightly higher than on AAA bonds. A A Bonds with many favorable attributes. Baa BBB Medium-grade bonds. Quality is adequate at present but less certain for the long term. Noninvestment-Grade Bonds Ba BB Bonds with a speculative element. B B Security of payments is not well safeguarded. Caa CCC Ca CC Bonds are extremely speculative. The danger of a default is high. C C D In default. 5
Our exposure to securities with a yield advantage over Treasuries is at an all-time high, with corporate debt composing 52% of the portfolio and securitized debt accounting for 38%. To take advantage of the growing risk tolerance over the period, we increased our exposure to short-duration BBB rated corporate debt. This combination of lower-quality but shorter-duration debt enabled us to earn a higher yield but gave us needed protection to withstand any new rounds of risk-related selling. We also found good opportunities in high-quality short-duration paper, including Yankee (U.S. dollar-denominated) bonds in China. We were able to leverage the insights of our Asiabased analysts and added to our holdings in Zheijang Provincial Energy, an electric power company; China Shenua Overseas Capital Company, the finance arm of Shenua Energy, the world s largest coal miner; and China Vanke, Security Diversification Commercial Mortgage- Backed Securities 6% U.S. Treasury Bonds and Notes 8% Mortgage- Backed Securities 10% Based on net assets as of 5/31/17. Government Related 2% Corporate Bonds and Notes 52% Asset-Backed Securities 22% the country s largest property developer. (Please refer to the portfolio of investments for a complete list of holdings and the amount each represents in the portfolio.) At the end of May, as noted above, corporate bonds and notes accounted for 52% of the portfolio s assets, followed by ABS and MBS at 22% and 10%, respectively. Commercial mortgage-backed securities, government-related securities, and U.S. Treasury bonds and notes composed the remaining 16%. The portfolio has 95% of net assets invested in securities rated BBB or higher, including those guaranteed by the U.S. Treasury and various U.S. government agencies. 6
Quality Diversification Reserves 1% BB and Below 4% BBB 37% A 15% U.S. Government Agency Securities* 7% U.S. Treasury Securities** 8% AAA 23% AA 5% Based on net assets as of 5/31/17. *U.S. government agency securities are issued or guaranteed by a U.S. government agency and may include conventional pass-through securities and collateralized mortgage obligations; unlike Treasuries, government agency securities are not issued directly by the U.S. government and are generally unrated but may have credit support from the U.S. Treasury (e.g., FHLMC and FNMA issues) or a direct government guarantee (e.g., GNMA issues). Therefore, this category may include rated and unrated securities. Our yield curve positioning detracted from results. The portfolio ended the period with a duration of 1.8 years, shorter than the benchmark s 1.95-year duration. We expect this defensive duration stance to benefit the portfolio in a rising rate environment. While we are primarily a cash bond manager, we occasionally employ the limited use of derivatives in our strategy for hedging purposes. Derivatives may include futures, options, and interestonly mortgages, as well as credit-default and interest-rates swaps. **U.S. Treasury securities are issued by the U.S. Treasury and are backed by the full faith and credit of the U.S. government. The ratings of U.S. Treasury securities are OUTLOOK derived from the ratings on the U.S. government. Sources: Moody s Investors Service; if Moody s does not We believe that the rate a security, then Standard & Poor s (S&P) is used as Fed will continue to a secondary source. When available, Fitch will be used tighten monetary policy for securities that are not rated by Moody s or S&P. at a gradual pace to T. Rowe Price does not evaluate these ratings but simply ensure that it does not assigns them to the appropriate credit quality category as determined by the rating agency. Securities that have derail the economic not been rated by any rating agency totaled 0.22% of expansion and that it the portfolio at the end of the reporting period. will clearly telegraph its moves to investors. While the backdrop for U.S. corporate credit remains constructive buoyed by decent earnings and expectations of economic growth the lack of clarity and proposed policy changes have left investors with a significant 7
degree of uncertainty about the direction of the U.S. economy and various sectors of the market. We will watch for signs of economic growth and credit expansion as well as potential risk-off events. As always, we strive to find value and seek out securities offering reasonable yields without taking on an inordinate level of risk. We remain committed to a risk-conscious, fundamentally based investment approach and long-term perspective. Thank you for investing with T. Rowe Price. Respectfully submitted, Michael Reinartz President and chairman of the fund s Investment Advisory Committee June 19, 2017 The committee chairman has day-to-day responsibility for managing the portfolio and works with committee members in developing and executing the fund s investment program. 8
Risks of Fixed Income Investing Bonds are subject to interest rate risk (the decline in bond prices that usually accompanies a rise in interest rates) and credit risk (the chance that any fund holding could have its credit rating downgraded or that a bond issuer will default by failing to make timely payments of interest or principal), potentially reducing the fund s income level and share price. Mortgage-backed securities are subject to prepayment risk, particularly if falling rates lead to heavy refinancing activity, and extension risk, which is an increase in interest rates that causes a fund s average maturity to lengthen unexpectedly due to a drop in mortgage prepayments. This could increase the fund s sensitivity to rising interest rates and its potential for price declines. Glossary Bloomberg Barclays 1 3 Year U.S. Government/Credit Bond Index: An index that measures the performance of U.S. government, investment-grade corporate, and investment-grade international dollar-denominated bonds that have maturities of between 1 and 3 years and are publicly issued. Credit spread: The difference between the yield on a corporate bond and a Treasury of a similar maturity. Duration: A measure of a bond fund s sensitivity to changes in interest rates. For example, a fund with a duration of two years would fall about 2% in price in response to a one-percentage-point rise in interest rates, and vice versa. Fed funds rate: The interest rate charged on overnight loans of reserves by one financial institution to another in the United States. The Federal Reserve sets a target federal funds rate to affect the direction of interest rates. Lipper averages: The averages of available mutual fund performance returns for specified time periods in defined categories as tracked by Lipper Inc. SEC yield (30-day): A method of calculating a fund s yield that assumes all portfolio securities are held until maturity. Yield will vary and is not guaranteed. Yield curve: A graphic depiction of the relationship between yields and maturity dates for a set of similar securities. A security with a longer maturity usually has a higher yield. If a short-term security offers a higher yield, then the curve is said to be inverted. If shortand long-term bonds are offering equivalent yields, then the curve is said to be flat. Note: Bloomberg Index Services Ltd. Copyright 2017, Bloomberg Index Services Ltd. Used with permission. 9
Performance and Expenses Growth of $10,000 This chart shows the value of a hypothetical $10,000 investment in the fund over the past 10 fiscal year periods or since inception (for funds lacking 10-year records). The result is compared with benchmarks, which may include a broad-based market index and a peer group average or index. Market indexes do not include expenses, which are deducted from fund returns as well as mutual fund averages and indexes. SHORT-TERM BOND FUND $20,000 18,000 16,000 14,000 12,000 10,000 As of 5/31/17 Short-Term Bond Fund $12,826 Bloomberg Barclays 1 3 Year U.S. Government/Credit Bond Index $12,609 Lipper Short Investment Grade Debt Funds Average $12,567 5/07 5/08 5/09 5/10 5/11 Note: Performance for the Advisor and I Classes will vary due to their differing fee structures. See returns table below. 5/12 5/13 5/14 5/15 5/16 5/17 Average Annual Compound Total Return Since Inception Periods Ended 5/31/17 1 Year 5 Years 10 Years Inception Date Short-Term Bond Fund 1.44% 1.07% 2.52% Short-Term Bond Fund Advisor Class 1.12 0.76 2.22 Short-Term Bond Fund I Class 1.75 2.02% 12/17/15 This table shows how the fund would have performed each year if its actual (or cumulative) returns for the periods shown had been earned at a constant rate. Returns do not reflect taxes that the shareholder may pay on fund distributions or the redemption of fund shares. Past performance cannot guarantee future results. 10
Fund Expense Example As a mutual fund shareholder, you may incur two types of costs: (1) transaction costs, such as redemption fees or sales loads, and (2) ongoing costs, including management fees, distribution and service (12b-1) fees, and other fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the most recent six-month period and held for the entire period. Please note that the fund has three share classes: The original share class (Investor Class) charges no distribution and service (12b-1) fee, the Advisor Class shares are offered only through unaffiliated brokers and other financial intermediaries and charge a 0.25% 12b-1 fee, and I Class shares are available to institutionally oriented clients and impose no 12b-1 or administrative fee payment. Each share class is presented separately in the table. Actual Expenses The first line of the following table (Actual) provides information about actual account values and expenses based on the fund s actual returns. You may use the information on this line, together with your account balance, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number on the first line under the heading Expenses Paid During Period to estimate the expenses you paid on your account during this period. Hypothetical Example for Comparison Purposes The information on the second line of the table (Hypothetical) is based on hypothetical account values and expenses derived from the fund s actual expense ratio and an assumed 5% per year rate of return before expenses (not the fund s actual return). You may compare the ongoing costs of investing in the fund with other funds by contrasting this 5% hypothetical example and the 5% hypothetical examples that appear in the shareholder reports of the other funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. Note: T. Rowe Price charges an annual account service fee of $20, generally for accounts with less than $10,000. The fee is waived for any investor whose T. Rowe Price mutual fund accounts total $50,000 or more; accounts electing to receive electronic delivery of account statements, transaction confirmations, prospectuses, and shareholder reports; or accounts of an investor who is a T. Rowe Price Personal Services or Enhanced Personal Services client (enrollment in these programs generally requires T. Rowe Price assets of at least $250,000). This fee is not included in the accompanying table. If you are subject to the fee, keep it in mind when you are estimating the ongoing expenses of investing in the fund and when comparing the expenses of this fund with other funds. You should also be aware that the expenses shown in the table highlight only your ongoing costs and do not reflect any transaction costs, such as redemption fees or sales loads. Therefore, the second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. To the extent a fund charges transaction costs, however, the total cost of owning that fund is higher. 11
Fund Expense Example (continued) Short-Term Bond Fund Beginning Ending Expenses Paid Account Value Account Value During Period* 12/1/16 5/31/17 12/1/16 to 5/31/17 Investor Class Actual $1,000.00 $1,008.50 $2.30 Hypothetical (assumes 5% return before expenses) 1,000.00 1,022.64 2.32 Advisor Class Actual 1,000.00 1,009.10 3.91 Hypothetical (assumes 5% return before expenses) 1,000.00 1,021.04 3.93 I Class Actual 1,000.00 1,011.10 1.86 Hypothetical (assumes 5% return before expenses) 1,000.00 1,023.09 1.87 * Expenses are equal to the fund s annualized expense ratio for the 6-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half year (182), and divided by the days in the year (365) to reflect the half-year period. The annualized expense ratio of the Investor Class was 0.46%, the Advisor Class was 0.78%, and the I Class was 0.37%. 12
Quarter-End Returns Since Inception Periods Ended 3/31/17 1 Year 5 Years 10 Years Inception Date Short-Term Bond Fund 1.42% 1.08% 2.52% Short-Term Bond Fund Advisor Class 1.11 0.74 2.20 Short-Term Bond Fund I Class 1.73 1.89% 12/17/15 Current performance may be higher or lower than the quoted past performance, which cannot guarantee future results. Share price, principal value, and return will vary, and you may have a gain or loss when you sell your shares. For the most recent month-end performance, please visit our website (troweprice.com) or contact a T. Rowe Price representative at 1-800-225-5132 or, for Advisor Class and I Class shares, 1-800-638-8790. This table provides returns through the most recent calendar quarter-end rather than through the end of the fund s fiscal period. It shows how the fund would have performed each year if its actual (or cumulative) returns for the period shown were earned at a constant rate. Average annual total return figures include changes in principal value, reinvested dividends, and capital gain distributions. Returns do not reflect taxes that the shareholder may pay on fund distributions or the redemption of fund shares. When assessing performance, investors should consider both short- and long-term returns. Expense Ratio Short-Term Bond Fund 0.47% Short-Term Bond Fund Advisor Class 0.75 Short-Term Bond Fund I Class 0.36 The expense ratios shown are as of 11/1/16. These numbers may vary from the expense ratios shown elsewhere in this report because they are based on a different time period and, if applicable, include acquired fund fees and expenses but do not include fee or expense waivers. 13
Financial Highlights For a share outstanding throughout each period Investor Class Year Ended 5/31/17 5/31/16 5/31/15 5/31/14 5/31/13 NET ASSET VALUE Beginning of period $ 4.73 $ 4.77 $ 4.80 $ 4.82 $ 4.84 Investment activities Net investment income (1) 0.07 0.06 0.05 0.05 0.06 Net realized and unrealized gain / loss (2) (0.03) (0.01) (2) 0.01 Total from investment activities 0.07 0.03 0.04 0.05 0.07 Distributions Net investment income (0.08) (0.06) (0.07) (0.07) (0.09) Tax return of capital (2) (0.01) Total distributions (0.08) (0.07) (0.07) (0.07) (0.09) NET ASSET VALUE End of period $ 4.72 $ 4.73 $ 4.77 $ 4.80 $ 4.82 Ratios/Supplemental Data Total return (3) 1.44% 0.68% 0.75% 1.08% 1.40% Ratio of total expenses to average net assets 0.48% 0.52% 0.52% 0.52% 0.51% Ratio of net investment income to average net assets 1.45% 1.20% 1.09% 1.12% 1.29% Portfolio turnover rate 48.9% 44.4% 53.2% 45.9% 66.5% Net assets, end of period (in millions) $ 4,277 $ 4,667 $ 5,983 $ 6,116 $ 6,405 (1) Per share amounts calculated using average shares outstanding method. (2) Amounts round to less than $0.01 per share. (3) Total return reflects the rate that an investor would have earned on an investment in the fund during each period, assuming reinvestment of all distributions. The accompanying notes are an integral part of these financial statements. 14
Financial Highlights For a share outstanding throughout each period Advisor Class Year Ended 5/31/17 5/31/16 5/31/15 5/31/14 5/31/13 NET ASSET VALUE Beginning of period $ 4.73 $ 4.76 $ 4.80 $ 4.82 $ 4.84 Investment activities Net investment income (1) 0.05 0.04 0.04 0.04 0.07 Net realized and unrealized gain / loss (3) (0.01) (0.03) (0.01) (0.02) Total from investment activities 0.05 0.03 0.01 0.03 0.05 Distributions Net investment income (0.06) (0.05) (0.05) (0.05) (0.07) Tax return of capital (3) (0.01) Total distributions (0.06) (0.06) (0.05) (0.05) (0.07) NET ASSET VALUE End of period $ 4.72 $ 4.73 $ 4.76 $ 4.80 $ 4.82 Ratios/Supplemental Data Total return (2) 1.12% 0.60% 0.24% 0.73% 1.13% Ratio of total expenses to average net assets 0.80% 0.80% 0.81% 0.87% 0.83% Ratio of net investment income to average net assets 1.12% 0.88% 0.85% 0.76% 1.41% Portfolio turnover rate 48.9% 44.4% 53.2% 45.9% 66.5% Net assets, end of period (in thousands) $ 64,550 $ 104,424 $ 118,567 $ 188,918 $ 193,857 (1) Per share amounts calculated using average shares outstanding method. (2) Total return reflects the rate that an investor would have earned on an investment in the fund during each period, assuming reinvestment of all distributions. (3) Amounts round to less than $0.01 per share. The accompanying notes are an integral part of these financial statements. 15
Financial Highlights For a share outstanding throughout each period I Class Year Ended 5/31/17 12/17/15 (1) Through 5/31/16 NET ASSET VALUE Beginning of period $ 4.73 $ 4.71 Investment activities Net investment income (loss) (2) 0.07 (0.01) Net realized and unrealized gain / loss 0.01 0.07 Total from investment activities 0.08 0.06 Distributions Net investment income (0.08) (0.03) Tax return of capital (5) (0.01) Total distributions (0.08) (0.04) NET ASSET VALUE End of period $ 4.73 $ 4.73 Ratios/Supplemental Data Total return (3) 1.75% 1.18% Ratio of total expenses to average net assets 0.39% 0.41% (4) Ratio of net investment income (loss) to average net assets 1.54% (0.86)% (4) Portfolio turnover rate 48.9% 44.4% Net assets, end of period (in thousands) $ 592,894 $642,194 (1) Inception date (2) Per share amounts calculated using average shares outstanding method. (3) Total return reflects the rate that an investor would have earned on an investment in the fund during each period, assuming reinvestment of all distributions. Total return is not annualized for periods less than one year. (4) Annualized (5) Amount rounds to less than $0.01 per share. The accompanying notes are an integral part of these financial statements. 16
First Page Footer T. Rowe Price Short-Term Bond Fund May 31, 2017 Portfolio of Investments Par/Shares $ Value (Amounts in 000s) CORPORATE BONDS 50.5% FINANCIAL INSTITUTIONS 18.9% Banking 14.8% ABN Amro Bank, 2.10%, 1/18/19 (1) 14,260 14,292 American Express, 2.20%, 3/3/20 12,825 12,904 Banco de Credito del Peru, 2.25%, 10/25/19 (1) 2,450 2,450 Banco Santander, VR, 2.718%, 4/11/22 7,400 7,575 Bank of America, 2.00%, 1/11/18 6,955 6,972 Bank of America, 2.503%, 10/21/22 5,545 5,471 Bank of America, 2.625%, 4/19/21 7,010 7,039 Bank of America, 5.625%, 7/1/20 3,565 3,905 Bank of America, 5.65%, 5/1/18 5,045 5,217 Bank of America, VR, 2.316%, 1/20/23 12,500 12,539 Banque Federale Credit Mutuel, 2.50%, 10/29/18 (1) 15,785 15,885 Barclays, VR, 2.78%, 1/10/23 11,735 11,954 Barclays Bank, 6.05%, 12/4/17 (1) 15,560 15,886 BPCE, 2.50%, 12/10/18 21,020 21,179 BPCE, VR, 2.392%, 5/22/22 (1) 4,865 4,878 Capital One National Association, 1.85%, 9/13/19 13,095 12,981 Capital One National Association, 2.35%, 8/17/18 5,290 5,317 Capital One National Association, 2.35%, 1/31/20 10,010 10,023 Citigroup, 1.55%, 8/14/17 18,060 18,065 Citigroup, 1.70%, 4/27/18 1,915 1,914 Citigroup, 1.80%, 2/5/18 12,870 12,876 Citigroup, 1.85%, 11/24/17 5,585 5,594 Citigroup, 2.05%, 6/7/19 6,100 6,092 Citigroup, 2.90%, 12/8/21 13,095 13,249 Citigroup, VR, 1.945%, 1/10/20 13,000 13,073 Citizens Bank Rhode Island, 2.25%, 3/2/20 5,140 5,146 Citizens Bank Rhode Island, 2.30%, 12/3/18 1,395 1,400 17
(Amounts in 000s) Par/Shares $ Value Citizens Bank Rhode Island, 2.45%, 12/4/19 1,920 1,932 Citizens Bank Rhode Island, 2.50%, 3/14/19 11,980 12,071 Citizens Bank Rhode Island, 2.55%, 5/13/21 5,020 5,035 Danske Bank, 2.20%, 3/2/20 (1) 11,445 11,477 Discover Bank, 2.00%, 2/21/18 1,623 1,625 Discover Bank, 7.00%, 4/15/20 16,180 18,019 Discover Financial Services, 6.45%, 6/12/17 12,793 12,808 Goldman Sachs, 2.30%, 12/13/19 6,985 7,007 Goldman Sachs, 6.15%, 4/1/18 34,165 35,374 Goldman Sachs, VR, 2.277%, 4/26/22 9,220 9,262 HSBC Bank, VR, 1.822%, 5/15/18 (1) 16,120 16,180 Huntington National Bank, 2.20%, 11/6/18 9,125 9,159 ING Groep, VR, 2.302%, 3/29/22 6,030 6,105 JPMorgan Chase, 6.30%, 4/23/19 915 987 JPMorgan Chase, VR, 1.656%, 3/9/21 12,365 12,324 JPMorgan Chase, VR, 2.383%, 10/24/23 11,785 11,919 Merrill Lynch, 6.40%, 8/28/17 19,420 19,643 Merrill Lynch, 6.875%, 4/25/18 15,485 16,170 Mistubishi UFJ Financial Group, VR, 2.092%, 2/22/22 7,060 7,101 Mizuho Bank, 1.70%, 9/25/17 (1) 11,555 11,543 Morgan Stanley, 2.45%, 2/1/19 2,345 2,360 Morgan Stanley, VR, 2.003%, 1/24/19 41,265 41,565 National Bank of Canada, 1.45%, 11/7/17 23,730 23,730 Nationwide Building Society, 2.35%, 1/21/20 (1) 9,050 9,072 Regions Bank, 2.25%, 9/14/18 5,855 5,870 Regions Bank, 7.50%, 5/15/18 3,455 3,632 Santander Bank, 8.75%, 5/30/18 3,505 3,734 Santander UK, 2.875%, 10/16/20 5,820 5,872 Skandinaviska Enskilda Banken, 1.50%, 9/13/19 13,675 13,542 Standard Chartered, 1.50%, 9/8/17 (1) 16,710 16,681 18
(Amounts in 000s) Par/Shares $ Value Standard Chartered, 2.10%, 8/19/19 (1) 3,575 3,553 Sumitomo Mitsui Banking, 1.762%, 10/19/18 3,805 3,796 Sumitomo Mitsui Trust Bank, 1.80%, 3/28/18 (1) 21,655 21,629 SunTrust Banks, 2.35%, 11/1/18 7,250 7,287 Swedbank, 1.75%, 3/12/18 (1) 32,085 32,121 UBS Group Funding, 3.00%, 4/15/21 (1) 14,810 15,041 UBS Group Funding, VR, 2.406%, 5/23/23 (1) 9,665 9,763 Union Bank of California, 2.125%, 6/16/17 16,350 16,355 Wells Fargo, VR, 2.263%, 1/24/23 14,115 14,220 729,440 Brokerage Asset Managers Exchanges 0.1% Legg Mason, 2.70%, 7/15/19 2,270 2,287 2,287 Finance Companies 0.9% AerCap Ireland Capital Limited, 3.50%, 5/26/22 1,575 1,616 AerCap Ireland Capital Limited, 3.95%, 2/1/22 10,295 10,745 Air Lease, 2.125%, 1/15/18 2,645 2,651 Air Lease, 2.125%, 1/15/20 11,220 11,194 GATX, 2.375%, 7/30/18 10,250 10,302 GATX, 2.50%, 7/30/19 1,840 1,855 GATX, 2.60%, 3/30/20 7,815 7,927 46,290 Insurance 1.6% AIA Group, 2.25%, 3/11/19 (1) 4,084 4,089 Anthem, 2.30%, 7/15/18 10,045 10,095 AON, 2.80%, 3/15/21 13,495 13,594 CNA Financial, 6.95%, 1/15/18 2,535 2,610 CNA Financial, 7.35%, 11/15/19 4,140 4,636 Humana, 2.625%, 10/1/19 5,090 5,152 19
(Amounts in 000s) Par/Shares $ Value Marsh & McLennan Companies, 2.55%, 10/15/18 6,465 6,529 Principal Life Global Funding II, 1.50%, 4/18/19 (1) 5,450 5,402 Principal Life Global Funding II, 2.20%, 4/8/20 (1) 11,630 11,643 Provident Companies, 7.00%, 7/15/18 2,115 2,228 Reinsurance Group of America, 6.45%, 11/15/19 2,430 2,670 Trinity Acquisition, 3.50%, 9/15/21 3,310 3,385 XLIT, 2.30%, 12/15/18 7,820 7,859 79,892 Real Estate Investment Trusts 1.5% American Campus Communities, 3.35%, 10/1/20 8,765 9,039 Brixmor Operating Partnership, 3.875%, 8/15/22 1,410 1,456 DDR, 4.75%, 4/15/18 4,190 4,268 Kimco Realty, 6.875%, 10/1/19 3,555 3,937 Simon Property Group, 2.35%, 1/30/22 5,695 5,652 Ventas Realty, 2.00%, 2/15/18 5,030 5,030 Ventas Realty, 4.00%, 4/30/19 1,120 1,155 Vereit Operating Partner, 3.00%, 2/6/19 21,139 21,403 WEA Finance, 1.75%, 9/15/17 (1) 9,235 9,234 WEA Finance, 2.70%, 9/17/19 (1) 12,328 12,418 WEA Finance, 3.25%, 10/5/20 (1) 2,515 2,561 76,153 Total Financial Institutions 934,062 INDUSTRIAL 28.1% Basic Industry 1.5% Eastman Chemical, 2.70%, 1/15/20 1,821 1,849 GoldCorp, 2.125%, 3/15/18 14,040 14,063 Invista Finance, 4.25%, 10/15/19 (1) 12,970 13,261 LyondellBasell, 5.00%, 4/15/19 2,292 2,399 20
(Amounts in 000s) Par/Shares $ Value LyondellBasell, 6.00%, 11/15/21 5,369 6,100 Sherwin Williams, 2.25%, 5/15/20 24,560 24,654 Solvay Finance, 3.40%, 12/3/20 (1) 9,715 10,030 72,356 Capital Goods 1.7% Fortive, 1.80%, 6/15/19 (1) 1,355 1,348 Harris, 1.999%, 4/27/18 14,553 14,590 Martin Marietta Material, VR, 1.822%, 5/22/20 2,645 2,654 Martin Marietta Material, VR, 2.252%, 6/30/17 9,645 9,651 Rockwell Collins, 1.95%, 7/15/19 3,665 3,673 Roper Industries, 1.85%, 11/15/17 2,860 2,865 Roper Industries, 2.05%, 10/1/18 15,310 15,354 Roper Technologies, 2.80%, 12/15/21 3,915 3,968 Roper Technologies, 3.00%, 12/15/20 1,865 1,911 Stanley Black & Decker, 2.451%, 11/17/18 27,105 27,376 83,390 Communications 2.7% AT&T, 2.30%, 3/11/19 13,610 13,702 Charter Communications Operating, 3.579%, 7/23/20 17,105 17,770 Crown Castle International, 2.25%, 9/1/21 11,630 11,494 Crown Castle International, 3.40%, 2/15/21 8,425 8,696 Crown Castle Towers, 6.113%, 1/15/40 (1) 3,295 3,546 Interpublic Group of Companies, 2.25%, 11/15/17 21,964 22,015 S&P Global, 2.50%, 8/15/18 2,570 2,591 SBA Tower Trust, 2.24%, 4/15/43 (1) 9,700 9,697 SBA Tower Trust, 3.168%, 4/15/22 (1) 6,880 6,928 SBA Tower Trust, 3.598%, 4/15/18 (1) 7,530 7,523 Telefonica Emisiones, 3.192%, 4/27/18 5,755 5,820 Time Warner Cable, 6.75%, 7/1/18 4,665 4,903 21
(Amounts in 000s) Par/Shares $ Value Time Warner Cable, 8.25%, 4/1/19 16,200 17,965 132,650 Consumer Cyclical 5.3% Alibaba Group Holding, 2.50%, 11/28/19 19,100 19,225 AutoZone, 1.625%, 4/21/19 1,315 1,306 Bestgain Real Estate, 2.625%, 3/13/18 19,980 20,003 Brinker International, 2.60%, 5/15/18 9,675 9,689 Daimler Finance North America, 1.75%, 10/30/19 (1) 16,030 15,887 Daimler Finance North America, VR, 2.03%, 8/1/18 (1) 12,065 12,129 Delphi Automotive, 3.15%, 11/19/20 9,540 9,774 ebay, 2.15%, 6/5/20 6,525 6,524 Experian Finance, 2.375%, 6/15/17 (1) 7,735 7,735 Ford Motor Credit, 1.684%, 9/8/17 22,715 22,702 Ford Motor Credit, 2.021%, 5/3/19 5,570 5,542 Ford Motor Credit, 2.375%, 1/16/18 3,610 3,624 Ford Motor Credit, 2.551%, 10/5/18 11,120 11,181 Ford Motor Credit, 3.00%, 6/12/17 5,635 5,637 General Motors Financial, 3.10%, 1/15/19 4,695 4,759 General Motors Financial, 4.75%, 8/15/17 13,434 13,518 GLP Capital, 4.375%, 11/1/18 14,000 14,350 Hyundai Capital America, 1.75%, 9/27/19 (1) 1,325 1,303 Hyundai Capital America, 2.00%, 7/1/19 (1) 4,480 4,446 Hyundai Capital America, 2.40%, 10/30/18 (1) 4,485 4,496 Hyundai Capital Services America, 2.50%, 3/18/19 (1) 14,460 14,494 Hyundai Capital Services, 3.50%, 9/13/17 (1) 7,470 7,506 JD.com, 3.125%, 4/29/21 17,605 17,664 Nissan Motor Acceptance, 1.55%, 9/13/19 (1) 6,680 6,595 Nissan Motor Acceptance, 1.95%, 9/12/17 (1) 16,940 16,959 22
(Amounts in 000s) Par/Shares $ Value QVC, 3.125%, 4/1/19 7,532 7,625 264,673 Consumer Non-Cyclical 7.1% Abbott Laboratories, 2.35%, 11/22/19 21,755 21,891 Abbott Laboratories, 2.90%, 11/30/21 9,385 9,522 AbbVie, 1.80%, 5/14/18 25,975 26,009 AbbVie, 2.30%, 5/14/21 8,275 8,265 Agilent Technologies, 6.50%, 11/1/17 2,573 2,618 Allergan, 1,875%, 10/1/17 13,935 13,944 Allergan Funding, 2.35%, 3/12/18 13,905 13,958 Baxalta, 2.00%, 6/22/18 2,020 2,024 Baxalta, VR, 1.936%, 6/22/18 5,105 5,132 Becton Dickinson, 2.404%, 6/5/20 9,600 9,622 Becton Dickinson, 2.675%, 12/15/19 9,335 9,453 Biogen, 2.90%, 9/15/20 5,535 5,659 Bunge Limited Finance, 3.20%, 6/15/17 22,615 22,626 Bunge Limited Finance, 3.50%, 11/24/20 4,835 4,955 Bunge Limited Finance, 8.50%, 6/15/19 860 963 Catholic Health Initiatives, 1.60%, 11/1/17 1,740 1,739 Catholic Health Initiatives, 2.60%, 8/1/18 8,375 8,433 Celgene, 1.90%, 8/15/17 3,380 3,383 Celgene, 2.125%, 8/15/18 2,695 2,709 Celgene, 2.30%, 8/15/18 9,738 9,805 Danone, 1.691%, 10/30/19 (1) 21,250 21,035 Express Scripts Holding, 2.25%, 6/15/19 1,500 1,506 Express Scripts Holding, 3.30%, 2/25/21 2,265 2,316 HCA, 3.75%, 3/15/19 7,285 7,449 Imperial Tobacco Finance, 2.05%, 2/11/18 (1) 23,815 23,844 Mead Johnson Nutrition, 3.00%, 11/15/20 3,025 3,091 Medco Health Solutions, 4.125%, 9/15/20 6,607 6,942 23
(Amounts in 000s) Par/Shares $ Value Newell Rubbermaid, 2.05%, 12/1/17 11,110 11,137 Newell Rubbermaid, 2.15%, 10/15/18 9,555 9,611 Newell Rubbermaid, 2.60%, 3/29/19 3,054 3,092 Perrigo Finance, 3.50%, 3/15/21 2,760 2,856 Reynolds American, 2.30%, 6/12/18 8,970 9,018 Reynolds American, 8.125%, 6/23/19 3,407 3,821 Shire Acquisition Investments Ireland, 1.90%, 9/23/19 23,335 23,254 Teva Pharmaceutical Finance III, 1.40%, 7/20/18 13,530 13,462 Teva Pharmaceutical Finance III, 1.70%, 7/19/19 11,940 11,835 Teva Pharmaceutical Finance III, 2.20%, 7/21/21 10,060 9,860 Whirlpool, 1.65%, 11/1/17 5,630 5,633 352,472 Energy 4.1% Canadian Natural Resources, 1.75%, 1/15/18 4,940 4,934 Columbia Pipeline Group, 2.45%, 6/1/18 5,355 5,378 ConocoPhillips, 5.20%, 5/15/18 1,450 1,499 DCP Midstream Operating, 2.50%, 12/1/17 17,970 17,970 Enbridge, VR, 1.514%, 6/2/17 14,175 14,175 EnCana, 6.50%, 5/15/19 1,315 1,415 Energy Transfer Partners, 6.70%, 7/1/18 5,265 5,518 Enterprise Products Operations, 2.55%, 10/15/19 5,340 5,402 Enterprise Products Operations, 6.30%, 9/15/17 12,700 12,877 ExxonMobil, VR, 1.47%, 3/6/22 24,120 24,311 Kinder Morgan Energy Partners, 5.95%, 2/15/18 4,650 4,776 Kinder Morgan Finance, 6.00%, 1/15/18 (1) 6,365 6,523 Marathon Oil, 6.00%, 10/1/17 13,248 13,443 Murphy Oil, STEP, 3.50%, 12/1/17 32,053 32,138 ONEOK Partners, 3.20%, 9/15/18 13,665 13,861 Panhandle Eastern Pipeline, 6.20%, 11/1/17 2,080 2,111 Phillips 66, VR, 1.784%, 4/15/19 (1) 4,225 4,231 24
(Amounts in 000s) Par/Shares $ Value Sabine Pass Liquefaction, 5.625%, 2/1/21 16,455 17,998 Spectra Energy Partners, 2.95%, 9/25/18 9,905 10,041 Valero Energy, 9.375%, 3/15/19 2,036 2,293 200,894 Industrial Other 0.7% Hutchinson Whampoa Finance, 1.625%, 10/31/17 (1) 33,310 33,268 33,268 Technology 3.2% Anstock II, 2.125%, 7/24/17 17,230 17,230 Arrow Electronics, 6.875%, 6/1/18 7,980 8,359 Baidu, 2.75%, 6/9/19 12,940 13,098 Broadcom, 2.375%, 1/15/20 (1) 13,905 13,922 Broadcom, 3.00%, 1/15/22 (1) 13,070 13,152 Everett Spinco, 2.875%, 3/27/20 (1) 8,065 8,178 Fidelity National Information Services, 1.45%, 6/5/17 4,605 4,605 Fidelity National Information Services, 2.25%, 8/15/21 10,005 9,909 HP Enterprise, STEP, 2.45%, 10/5/17 8,605 8,627 HP Enterprise, STEP, 2.85%, 10/5/18 7,512 7,617 Keysight Technologies, 3.30%, 10/30/19 27,390 27,891 Qualcomm, 2.10%, 5/20/20 4,960 4,976 Qualcomm, 2.60%, 1/30/23 3,340 3,346 Seagate Technology, 3.75%, 11/15/18 5,390 5,525 Tencent Holdings, 2.875%, 2/11/20 (1) 4,615 4,691 Xerox, 5.625%, 12/15/19 4,930 5,291 156,417 Transportation 1.8% Delta Air Lines, 2.875%, 3/13/20 12,110 12,261 ERAC USA Finance, 2.80%, 11/1/18 (1) 1,655 1,669 ERAC USA Finance, 6.375%, 10/15/17 (1) 5,950 6,046 25
(Amounts in 000s) Par/Shares $ Value HPHT Finance, 2.25%, 3/17/18 (1) 8,562 8,562 J.B. Hunt Transportation Services, 2.40%, 3/15/19 2,830 2,841 Kansas City Southern, 2.35%, 5/15/20 14,285 14,299 Penske Truck Leasing, 2.50%, 6/15/19 (1) 7,470 7,528 Penske Truck Leasing, 2.875%, 7/17/18 (1) 14,458 14,624 Penske Truck Leasing, 3.375%, 3/15/18 (1) 12,924 13,095 Southwest Airlines, 2.75%, 11/6/19 8,015 8,147 89,072 Total Industrial 1,385,192 UTILITY 3.5% Electric 3.5% Dominion Resources, 1.50%, 9/30/18 (1) 4,795 4,761 Dominion Resources, 1.875%, 1/15/19 1,750 1,748 Dominion Resources, 2.125%, 2/15/18 (1) 14,485 14,575 Dominion Resources, STEP, 2.579%, 7/1/20 3,270 3,296 Dominion Resources, STEP, 2.962%, 7/1/19 3,155 3,202 Enel Finance International, 2.875%, 5/25/22 (1) 9,430 9,405 Exelon, 1.55%, 6/9/17 7,970 7,969 Exelon Generation, 2.95%, 1/15/20 8,485 8,623 FirstEnergy, 2.75%, 3/15/18 5,722 5,744 Great Plains Energy, 2.50%, 3/9/20 7,135 7,206 NextEra Energy Capital Holdings, 1.649%, 9/1/18 3,650 3,643 NextEra Energy Capital Holdings, 2.056%, 9/1/17 2,803 2,806 NextEra Energy Capital Holdings, 2.30%, 4/1/19 3,735 3,754 Origin Energy Finance, 3.50%, 10/9/18 (1) 14,437 14,581 PPL Capital Funding, 1.90%, 6/1/18 5,819 5,824 San Diego Gas & Electric, 1.914%, 2/1/22 4,068 4,029 Southern Company, 1.55%, 7/1/18 3,515 3,507 Southern Company, 1.85%, 7/1/19 12,725 12,693 26
(Amounts in 000s) Par/Shares $ Value Southern Company, 2.35%, 7/1/21 2,695 2,674 Southern Power, 1.85%, 12/1/17 2,935 2,939 Teco Finance, VR, 1.755%, 4/10/18 15,210 15,210 Zhejiang Provincial Energy, 2.30%, 9/30/17 34,030 34,040 Total Utility 172,229 Total Corporate Bonds (Cost $2,481,345) 2,491,483 ASSET-BACKED SECURITIES 21.6% Car Loan 13.2% Ally Auto Receivables Trust Series 2014-1, Class C 2.04%, 12/15/19 1,295 1,300 Ally Auto Receivables Trust Series 2014-1, Class D 2.48%, 2/15/21 1,295 1,298 Ally Auto Receivables Trust Series 2015-2, Class C 2.41%, 1/15/21 (1) 9,435 9,504 Ally Auto Receivables Trust Series 2016-1, Class D 2.84%, 9/15/22 3,200 3,229 Ally Auto Receivables Trust Series 2017-2, Class C 2.46%, 9/15/22 1,225 1,232 Ally Auto Receivables Trust Series 2017-2, Class D 2.93%, 11/15/23 1,700 1,702 Ally Master Owner Trust Series 2015-3, Class A 1.63%, 5/15/20 30,630 30,645 AmeriCredit Automobile Receivables Trust Series 2013-5, Class B 1.52%, 1/8/19 29 29 AmeriCredit Automobile Receivables Trust Series 2014-1, Class E 3.58%, 8/9/21 3,075 3,128 27
(Amounts in 000s) Par/Shares $ Value AmeriCredit Automobile Receivables Trust Series 2014-2, Class B 1.60%, 7/8/19 8,235 8,237 AmeriCredit Automobile Receivables Trust Series 2014-2, Class E 3.37%, 11/8/21 6,420 6,520 AmeriCredit Automobile Receivables Trust Series 2014-3, Class C 2.58%, 9/8/20 3,030 3,057 AmeriCredit Automobile Receivables Trust Series 2014-4, Class C 2.47%, 11/9/20 4,525 4,561 AmeriCredit Automobile Receivables Trust Series 2014-4, Class D 3.07%, 11/9/20 1,675 1,697 AmeriCredit Automobile Receivables Trust Series 2015-1, Class A3 1.26%, 11/8/19 7,399 7,396 AmeriCredit Automobile Receivables Trust Series 2015-2, Class A3 1.27%, 1/8/20 6,009 6,006 AmeriCredit Automobile Receivables Trust Series 2015-2, Class D 3.00%, 6/8/21 4,490 4,542 AmeriCredit Automobile Receivables Trust Series 2015-3, Class D 3.34%, 8/8/21 5,765 5,859 AmeriCredit Automobile Receivables Trust Series 2015-4, Class A3 1.70%, 7/8/20 5,295 5,302 AmeriCredit Automobile Receivables Trust Series 2016-1, Class A3 1.81%, 10/8/20 1,780 1,784 AmeriCredit Automobile Receivables Trust Series 2016-3, Class D 2.71%, 9/8/22 2,795 2,783 AmeriCredit Automobile Receivables Trust Series 2016-4, Class A3 1.53%, 7/8/21 7,665 7,638 28
(Amounts in 000s) Par/Shares $ Value AmeriCredit Automobile Receivables Trust Series 2017-1, Class C 2.71%, 8/18/22 4,115 4,149 ARI Fleet Lease Trust Series 2015-A, Class A2 1.11%, 11/15/18 (1) 3,488 3,485 ARI Fleet Lease Trust Series 2015-A, Class A3 1.67%, 9/15/23 (1) 13,590 13,595 ARI Fleet Lease Trust Series 2016-A, Class A2 1.82%, 7/15/24 (1) 7,860 7,875 ARI Fleet Lease Trust Series 2017-A, Class A2 1.91%, 4/15/26 (1) 2,350 2,351 Avis Budget Rental Car Funding Series 2012-3A, Class A 2.10%, 3/20/19 (1) 5,128 5,139 Avis Budget Rental Car Funding Series 2013-1A, Class A 1.92%, 9/20/19 (1) 3,070 3,070 Avis Budget Rental Car Funding Series 2013-1A, Class B 2.62%, 9/20/19 (1) 6,305 6,328 Avis Budget Rental Car Funding Series 2013-2A, Class A 2.97%, 2/20/20 (1) 6,659 6,745 Avis Budget Rental Car Funding Series 2013-2A, Class B 3.66%, 2/20/20 (1) 4,405 4,482 Avis Budget Rental Car Funding Series 2014-1A, Class A 2.46%, 7/20/20 (1) 2,909 2,920 Avis Budget Rental Car Funding Series 2014-2A, Class A 2.50%, 2/20/21 (1) 13,585 13,548 BMW Vehicle Lease Trust Series 2016-2, Class A3 1.43%, 9/20/19 4,340 4,332 29
(Amounts in 000s) Par/Shares $ Value California Republic Auto Receivables Trust Series 2015-1, Class B 2.51%, 2/16/21 2,465 2,480 Capital Auto Receivables Asset Trust Series 2013-3, Class E 4.55%, 3/21/22 (1) 1,430 1,453 Capital Auto Receivables Asset Trust Series 2013-4, Class D 3.22%, 5/20/19 3,240 3,266 Capital Auto Receivables Asset Trust Series 2013-4, Class E 3.83%, 7/20/22 (1) 2,295 2,320 Capital Auto Receivables Asset Trust Series 2014-1, Class E 4.09%, 9/22/22 (1) 2,095 2,127 Capital Auto Receivables Asset Trust Series 2014-2, Class E 3.62%, 12/20/22 (1) 1,305 1,321 Capital Auto Receivables Asset Trust Series 2014-3, Class A3 1.48%, 11/20/18 1,735 1,735 Capital Auto Receivables Asset Trust Series 2015-2, Class A2 1.39%, 9/20/18 865 865 Capital Auto Receivables Asset Trust Series 2015-2, Class A3 1.73%, 9/20/19 5,215 5,223 Capital Auto Receivables Asset Trust Series 2015-4, Class A2 1.62%, 3/20/19 14,075 14,081 Capital Auto Receivables Asset Trust Series 2016-1, Class A3 1.73%, 4/20/20 5,530 5,539 Capital Auto Receivables Asset Trust Series 2016-2, Class A4 1.63%, 1/20/21 3,580 3,572 Capital Auto Receivables Asset Trust Series 2016-3, Class A3 1.54%, 8/20/20 2,455 2,454 30
(Amounts in 000s) Par/Shares $ Value CarMax Auto Owner Trust Series 2014-1, Class B 1.69%, 8/15/19 1,170 1,171 CarMax Auto Owner Trust Series 2014-1, Class C 1.93%, 11/15/19 1,695 1,698 CarMax Auto Owner Trust Series 2014-4, Class A4 1.81%, 7/15/20 5,225 5,236 CarMax Auto Owner Trust Series 2016-2, Class A3 1.52%, 2/16/21 4,785 4,780 CarMax Auto Owner Trust Series 2016-4, Class A3 1.40%, 8/15/21 8,055 8,001 Chrysler Capital Auto Receivables Trust Series 2014-BA, Class D 3.44%, 8/16/21 (1) 3,013 3,044 Chrysler Capital Auto Receivables Trust Series 2016-BA, Class A2 1.36%, 1/15/20 (1) 2,625 2,623 Chrysler Capital Auto Receivables Trust Series 2016-BA, Class A3 1.64%, 7/15/21 (1) 2,480 2,477 Enterprise Fleet Financing Series 2014-2, Class A2 1.05%, 3/20/20 (1) 3,619 3,617 Enterprise Fleet Financing Series 2015-1, Class A2 1.30%, 9/20/20 (1) 3,952 3,949 Enterprise Fleet Financing Series 2015-2, Class A2 1.59%, 2/22/21 (1) 7,595 7,597 Enterprise Fleet Financing Series 2016-1, Class A2 1.83%, 9/20/21 (1) 19,482 19,491 Enterprise Fleet Financing Series 2016-2, Class A2 1.74%, 2/22/22 (1) 5,287 5,283 31