T. Rowe Price Multi-Sector Account Portfolios Inc.
04/24/2024 | Press release | Distributed by Public on 04/24/2024 08:27
Annual Report by Investment Company - Form N-CSR
Mortgage-Backed Securities Multi-Sector Account Portfolio_MBS
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-22620
T. Rowe Price Multi-Sector Account Portfolios, Inc.
(Exact name of registrant as specified in charter)
100 East Pratt Street, Baltimore, MD 21202
(Address of principal executive offices)
David Oestreicher
100 East Pratt Street, Baltimore, MD 21202
(Name and address of agent for service)
Registrant's telephone number, including area code: (410) 345-2000
Date of fiscal year end: February 29
Date of reporting period: February 29, 2024
Item 1. Reports to Shareholders
(a) Report pursuant to Rule 30e-1
Annual
REPORT
February
29,
2024
Mortgage-Backed
Securities
Multi-Sector
Account
Portfolio
T.
ROWE
PRICE
For
more
insights
from
T.
Rowe
Price
investment
professionals,
go
to
troweprice.com
.
Highlights
and
Market
Commentary
Management's
Discussion
of
Fund
Performance
Performance
and
Expenses
Financial
Highlights
Portfolio
of
Investments
Financial
Statements
and
Notes
Additional
Fund
Information
T.
ROWE
PRICE
Mortgage-Backed
Securities
Multi-Sector
Account
Portfolio
HIGHLIGHTS
The
Mortgage-Backed
Securities
Multi-Sector
Account
Portfolio
produced
positive
returns
but
underperformed
its
benchmark
during
the
12-month
period
ended
February
29,
2024.
Mortgage-backed
securities
(MBS)
benefited
from
an
impressive
rally
in
the
second
half
of
the
reporting
period
after
the
Federal
Reserve
turned
less
hawkish
and
investor
demand
for
bonds
increased.
Security
selection
was
the
largest
detractor
from
relative
performance,
while
interest
rate
management
and
asset
allocation
modestly
hurt
results.
With
spreads
at
tight
levels,
we
have
a
cautious
outlook
on
the
agency
MBS
sector
in
the
near
term.
Log
in
to
your
account
at
troweprice.com
for
more
information.
*
An
account
service
fee
will
be
charged
annually
for
each
T.
Rowe
Price
mutual
fund
account
unless
you
meet
criteria
for
a
fee
waiver.
Go
to
troweprice.
com/personal-investing/help/fees-and-minimums.html
to
learn
more
about
this
account
service
fee,
including
other
ways
to
waive
it.
T.
ROWE
PRICE
Mortgage-Backed
Securities
Multi-Sector
Account
Portfolio
Market
Commentary
1
Dear
Investor
Global
stock
and
bond
indexes
were
broadly
positive
during
your
fund's
fiscal
year,
the
12-month
period
ended
February 29,
2024,
as
the
U.S.
economy
remained
healthy
despite
tighter
monetary
policy.
Technology
companies
benefited
from
investor
enthusiasm
for
artificial
intelligence
developments
and
led
the
equity
rally,
while
fixed
income
benchmarks
delivered
positive
results
even
though
there
were
headwinds
from
rising
longer-term
interest
rates.
The
S&P
500
Index,
Nasdaq
Composite
Index,
and
Dow
Jones
Industrial
Average
all
reached
record
highs
during
the
period.
Growth
stocks
outperformed
value
shares,
and
developed
market
stocks
generally
outpaced
their
emerging
markets
counterparts.
Within
the
S&P
500,
the
information
technology,
communication
services,
and
consumer
discretionary
sectors
were
all
lifted
by
the
tech
rally
and
recorded
significant
gains.
Conversely,
the
defensive
utilities
sector
had
the
weakest
returns.
Meanwhile,
the
financials
sector
bounced
back
from
the
failure
of
three
large
regional
banks
in
the
spring
of
2023
and
produced
solid
results
in
the
second
half
of
the
period.
The
U.S.
economy
was
the
strongest
among
the
major
markets.
Jobs
growth
remained
solid
over
the
12-month
period,
helping
to
fuel
consumer
spending.
Corporate
fundamentals
were
also
broadly
supportive.
Year-over-year
earnings
growth
contracted
in
the
first
half
of
2023,
but
earnings
rebounded
in
the
third
and
fourth
quarters.
Markets
remained
resilient
despite
a
debt
ceiling
standoff
in
the
U.S.,
the
outbreak
of
war
in
the
Middle
East,
the
continuing
conflict
between
Russia
and
Ukraine,
and
a
sluggish
economic
recovery
in
China.
Inflation,
as
measured
by
the
consumer
price
index,
fell
from
6.0%
to
3.1%
by
the
end
of
the
period
but
remained
above
the
Federal
Reserve's
long-term
2%
goal.
In
response
to
the
above-
target
inflation
readings,
the
Fed
raised
its
short-term
lending
benchmark
rate
to
a
target
range
of
5.25%
to
5.50%
in
July,
the
highest
level
since
March
2001,
but
then
held
rates
steady
over
the
remainder
of
the
period.
At
its
final
meeting
of
the
period,
in
late
January,
the
central
bank
removed
language
from
its
post-meeting
statement
that
pointed
to
additional
policy
tightening,
but
subsequent
communications
from
Fed
Chair
Jerome
Powell
in
February
indicated
that
policymakers
are
in
no
hurry
to
begin
cutting
rates.
U.S.
Treasury
yields
were
volatile
during
the
period
as
investors
adjusted
their
expectations
for
the
path
of
monetary
policy.
After
starting
the
period
at
3.92%,
the
benchmark
10-year
Treasury
note
yield
briefly
reached
5.00%
in
October
for
the
first
time
since
late
2007
before
falling
back
to
3.88%
by
the
end
of
2023.
However,
more
hawkish
Fed
communications
in
early
2024
pressured
Treasury
bond
prices,
driving
the
10-year
yield
back
up
to
4.25%
by
period-end.
Municipal
bonds
outperformed
Treasuries
during
the
period,
supported
by
new
issuance
levels
that
remained
below
longer-
term
averages.
The
sector
continued
to
see
outflows
in
2023
but
at
a
significantly
lower
level
than
in
2022.
Elsewhere
in
the
fixed
income
market,
high
yield
corporate
bonds
produced
strong
returns,
supported
by
the
higher
coupons
that
have
become
available
since
the
Fed
began
hiking
rates
about
two
years
ago
as
well
as
by
increasing
hopes
that
the
economy
might
be
able
to
avoid
a
recession.
Global
economies
and
markets
showed
surprising
resilience
in
2023,
but
considerable
uncertainty
remains
as
we
look
ahead.
Geopolitical
events,
the
path
of
monetary
policy,
and
the
impact
of
the
Fed's
rate
hikes
on
the
economy
all
raise
the
potential
for
additional
volatility.
We
believe
this
environment
makes
skilled
active
management
a
critical
tool
for
identifying
risks
and
opportunities,
and
our
investment
teams
will
continue
to
use
fundamental
research
to
help
identify
securities
that
can
add
value
to
your
portfolio
over
the
long
term.
Thank
you
for
your
continued
confidence
in
T.
Rowe
Price.
Sincerely,
Robert
Sharps
CEO
and
President
T.
ROWE
PRICE
Mortgage-Backed
Securities
Multi-Sector
Account
Portfolio
Management's
Discussion
of
Fund
Performance
2
INVESTMENT
OBJECTIVE
The
fund
seeks
high
current
income
and,
secondarily,
capital
appreciation.
FUND
COMMENTARY
How
did
the
fund
perform
in
the
past
12
months?
The
Mortgage-Backed
Securities
Multi-Sector
Account
Portfolio
returned
1.90%
for
the
12
months
through
February
29,
2024,
underperforming
its
benchmark,
the
Bloomberg
U.S.
Mortgage
Backed
Securities
Index.
Past
performance
cannot
guarantee
future
results
.
What
factors
influenced
the
fund's
performance?
During
the
12-month
reporting
period,
mortgage-backed
securities
(MBS)
produced
positive
returns
and
performed
roughly
in
line
with
Treasuries
on
a
total
return
basis.
Agency
MBS
spreads
were
volatile
but
ended
the
fiscal
year
only
marginally
higher
following
an
impressive
rally
in
the
second
half
of
the
reporting
period
after
the
Federal
Reserve
turned
less
hawkish
and
investor
demand
for
bonds
increased.
In
terms
of
subsectors,
shorter-duration
15-year
conventional
MBS
were
the
top-performing
area.
Performance
was
much
weaker
in
the
30-year
space,
where
GNMAs
slightly
outperformed
conventional
mortgages.
To-be-announced
securities
(TBAs)
struggled
versus
specified
MBS
pools
as
investors
paid
a
premium
for
prepayment
protection
with
rates
likely
having
peaked.
In
the
portfolio,
security
selection
weighed
on
results.
Underperformance
by
liquid
TBAs
relative
to
comparable
pools
in
the
benchmark
was
the
driving
factor.
Sector
allocation
was
negative
to
a
lesser
extent.
This
was
due
in
part
to
overweights
to
higher-coupon
GNMAs,
which
underperformed
on
concerns
that
lower
mortgage
rates
would
spur
faster
prepayments.
On
the
positive
side,
interest-only
collateralized
mortgage
obligation
(CMO)
positions
benefited
from
higher
longer-term
rates.
Interest
rate
management,
which
is
a
byproduct
of
the
portfolio's
sector
allocation
and
security
selection
decisions,
was
a
modest
detractor
from
relative
performance.
Yield
curve
positioning
was
positive,
aided
by
the
steepening
of
the
curve,
and
curve
positioning
along
with
the
portfolio's
cash
holdings
helped
the
portfolio
generate
more
yield
than
the
benchmark,
boosting
relative
returns.
However,
our
duration
positioning
was
longer
than
the
benchmark,
which
weighed
on
the
benchmark
as
yields
rose.
In
terms
of
derivative
exposure,
the
fund
maintained
meaningful
holdings
in
TBAs.
How
is
the
fund
positioned?
At
period-end,
the
fund
had
an
overweight
allocation
to
GNMA
30-year
MBS
while
holding
an
underweight
to
30-year
conventional
MBS.
This
positioning
is
based
on
our
expectation
that
demand
from
banks
should
support
GNMAs.
Within
the
GNMA
allocation,
we
favored
higher
current
coupons.
These
securities
offer
relatively
attractive
spreads
to
compensate
for
prepayment
risk,
which
we
believe
will
remain
low
in
the
near
term.
By
contrast,
within
conventionals
we
favored
lower
coupons.
These
bonds
have
already
taken
a
price
hit
from
rising
rates,
and,
in
our
view,
they
have
more
upside
potential
if
rates
fall.
We
had
a
relatively
neutral
weight
in
15-year
MBS
and
very
low
exposure
to
20-year
MBS.
The
fund
held
fewer
TBAs
and
new
production
pools
than
it
did
over
the
past
year,
as
these
areas
appear
less
attractive
with
rates
likely
to
head
lower.
Instead,
we
favored
seasoned
pools
that
should
experience
a
slower
pace
of
principal
prepayments
because
they
include
mortgages
that
date
from
the
pandemic
period,
when
rates
were
much
lower.
We
also
held
pools
with
low
loan
balances,
a
characteristic
that
reduces
the
incentive
for
mortgagors
to
refinance.
PERFORMANCE
COMPARISON
Total
Return
Periods
Ended
2/29/24
6
Months
12
Months
Mortgage-Backed
Securities
Multi-
Sector
Account
Portfolio
1.72%
1.90%
Bloomberg
U.S.
Mortgage
Backed
Securities
Index
1.89
2.28
T.
ROWE
PRICE
Mortgage-Backed
Securities
Multi-Sector
Account
Portfolio
3
What
is
portfolio
management's
outlook?
We
have
a
cautious
outlook
on
agency
MBS
in
2024.
Spreads
in
the
sector
have
tightened
significantly
since
late
October
as
a
result
of
the
Fed's
dovish
pivot
that
caused
interest
rate
volatility
to
moderate
somewhat.
Based
on
our
analysis
of
historical
performance
data,
we
believe
that
the
spread
levels
available
as
we
entered
March
point
to
potentially
limited
excess
returns
over
the
next
12
months.
Moreover,
the
sector
could
be
vulnerable
to
an
upturn
in
Treasury
yields
if
the
market
further
tempers
its
expectations
for
rate
cuts
this
year.
Conversely,
if
recession
risk
increases,
agency
MBS
could
look
more
attractive
for
investors
compared
with
credit
sectors,
and
we
also
believe
that
improving
demand
from
banks
could
be
a
positive
for
the
sector
in
2024.
Within
the
sector,
we
favor
older-vintage
specified
mortgage
pools
that
have
lower
prepayment
risk
than
new
production
or
to-be-announced
mortgage
pools.
Security
selection
remains
critically
important
in
our
investment
approach,
and
we
will
continue
to
rely
heavily
on
our
extensive
fundamental
and
quantitative
research
on
the
mortgage
market
and
individual
bonds
when
positioning
the
portfolio.
The
views
expressed
reflect
the
opinions
of
T.
Rowe
Price
as
of
the
date
of
this
report
and
are
subject
to
change
based
on
changes
in
market,
economic,
or
other
conditions.
These
views
are
not
intended
to
be
a
forecast
of
future
events
and
are
no
guarantee
of
future
results.
CREDIT
QUALITY
DIVERSIFICATION
U.S.
Government
Agency
Securities*
102%
Reserves
-2
Total
100%
Based
on
net
assets
as
of
2/29/24.
Sources:
Credit
ratings
for
the
securities
held
in
the
fund
are
provided
by
Moody's,
Standard
&
Poor's,
and
Fitch
and
are
converted
to
the
Standard
&
Poor's
nomenclature.
A
rating
of
AAA
represents
the
highest-rated
securities,
and
a
rating
of
D
represents
the
lowest-rated
securities.
If
the
rating
agencies
differ,
the
highest
rating
is
applied
to
the
security.
If
a
rating
is
not
available,
the
security
is
classified
as
Not
Rated.
T.
Rowe
Price
uses
the
rating
of
the
underlying
investment
vehicle
to
determine
the
creditworthiness
of
credit
default
swaps.
The
fund
is
not
rated
by
any
agency.
*
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.
T.
ROWE
PRICE
Mortgage-Backed
Securities
Multi-Sector
Account
Portfolio
4
RISK
OF
MBS
INVESTING
A
mortgage-backed
bond,
unlike
most
other
bonds,
can
be
hurt
when
interest
rates
fall
because
homeowners
tend
to
refinance
and
prepay
principal.
Prepayments
can
cause
the
average
maturity
of
the
portfolio
to
shorten,
require
the
fund
to
reinvest
proceeds
at
lower
interest
rates,
or
even
cause
certain
bonds'
prices
to
fall
below
what
the
fund
paid
for
them,
resulting
in
a
capital
loss.
Increased
interest
rates
can
cause
the
fund's
average
maturity
to
lengthen
unexpectedly
due
to
a
drop
in
mortgage
prepayments.
Shareholders
are
also
exposed
to
derivatives
risk,
the
potential
that
our
investments
in
these
complex
and
potentially
volatile
instruments
could
affect
the
fund's
share
price.
BENCHMARK
INFORMATION
Note:
Bloomberg
®
and the
Bloomberg
U.S.
Mortgage
Backed
Securities
Index
are
service
marks
of
Bloomberg
Finance
L.P.
and
its
affiliates,
including
Bloomberg
Index
Services
Limited
("BISL"),
the
administrator
of
the
index
(collectively,
"Bloomberg")
and
have
been
licensed
for
use
for
certain
purposes
by
T.
Rowe
Price.
Bloomberg
is
not
affiliated
with
T.
Rowe
Price,
and
Bloomberg
does
not
approve,
endorse,
review,
or
recommend
its
products.
Bloomberg
does
not
guarantee
the
timeliness,
accurateness,
or
completeness
of
any
data
or
information
relating
to
its
products.
Note:
Copyright
©
2024
Fitch
Ratings,
Inc.,
Fitch
Ratings
Ltd.
and
its
subsidiaries.
Note:
©
2024,
Moody's
Corporation,
Moody's
Investors
Service,
Inc.,
Moody's
Analytics,
Inc.
and/or
their
licensors
and
affiliates
(collectively,
"Moody's").
All
rights
reserved.
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ratings
and
other
information
("Moody's
Information")
are
proprietary
to
Moody's
and/or
its
licensors
and
are
protected
by
copyright
and
other
intellectual
property
laws.
Moody's
Information
is
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by
Moody's.
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except
with
the
prior
written
permission
of
the
relevant
party. Such
party,
its
affiliates
and
suppliers
("Content
Providers")
do
not
guarantee
the
accuracy,
adequacy,
completeness,
timeliness
or
availability
of
any
Content
and
are
not
responsible
for
any
errors
or
omissions
(negligent
or
otherwise),
regardless
of
the
cause,
or
for
the
results
obtained
from
the
use
of
such
Content.
In
no
event
shall
Content
Providers
be
liable
for
any
damages,
costs,
expenses,
legal
fees,
or
losses
(including
lost
income
or
lost
profit
and
opportunity
costs)
in
connection
with
any
use
of
the
Content.
A
reference
to
a
particular
investment
or
security,
a
rating
or
any
observation
concerning
an
investment
that
is
part
of
the
Content
is
not
a
recommendation
to
buy,
sell
or
hold
such
investment
or
security,
does
not
address
the
appropriateness
of
an
investment
or
security
and
should
not
be
relied
on
as
investment
advice.
Credit
ratings
are
statements
of
opinions
and
are
not
statements
of
fact.
T.
ROWE
PRICE
Mortgage-Backed
Securities
Multi-Sector
Account
Portfolio
5
GROWTH
OF
$10,000
This
chart
shows
the
value
of
a
hypothetical
$10,000
investment
in
the
portfolio
over
the
past
10
fiscal
year
periods
or
since
inception
(for portfolios
lacking
10-year
records).
The
result
is
compared
with
benchmarks,
which
include
a
broad-based
market
index
and
may
also
include
a
peer
group
average
or
index.
Market
indexes
do
not
include
expenses,
which
are
deducted
from
fund returns
as
well
as
mutual portfolio
averages
and
indexes.
MORTGAGE-BACKED
SECURITIES
MULTI-SECTOR
ACCOUNT
PORTFOLIO
AVERAGE
ANNUAL
COMPOUND
TOTAL
RETURN
EXPENSE
RATIO
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.
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.
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.
MORTGAGE-BACKED
SECURITIES
MULTI-SECTOR
ACCOUNT
PORTFOLIO
Periods
Ended
2/29/24
1
Year
5
Years
10
Years
Mortgage-Backed
Securities
Multi-
Sector
Account
Portfolio
1.90%
-0.47%
0.94%
This
table
shows
how
the
portfolio
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
portfolio
distributions
or
the
redemption
of
portfolio
shares.
Past
performance
cannot
guarantee
future
results.
Mortgage-Backed
Securities
Multi-Sector
Account
Portfolio
0.02%
The
expense
ratio
shown
is
as
of
the
portfolio's
most
recent
prospectus.
This
number
may
vary
from
the
expense
ratio
shown
elsewhere
in
this
report
because
it
is
based
on
a
different
time
period
and,
if
applicable,
includes
acquired
fund
fees
and
expenses
but
does
not
include
fee
or
expense
waivers.
Beginning
Account
Value
9/1/23
Ending
Account
Value
2/29/24
Expenses
Paid
During
Period*
9/1/23
to
2/29/24
Actual
$1,000.00
$1,017.20
$0.10
Hypothetical
(assumes
5%
return
before
expenses)
1,000.00
1,024.76
0.10
*
Expenses
are
equal
to
the
fund's
annualized
expense
ratio
for
the
6-month
period
(0.02%),
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
(366)
to
reflect
the
half-year
period.
T.
ROWE
PRICE
Mortgage-Backed
Securities
Multi-Sector
Account
Portfolio
6
QUARTER-END
RETURNS
Periods
Ended
12/31/23
1
Year
5
Years
10
Years
Mortgage-Backed
Securities
Multi-Sector
Account
Portfolio
4.74%
0.12%
1.37%
The
fund's
performance
information
represents
only
past
performance
and
is
not
necessarily
an
indication
of
future
results.
Current
performance
may
be
lower
or
higher
than
the
performance
data
cited.
Share
price,
principal
value,
and
return
will
vary,
and
you
may
have
a
gain
or
loss
when
you
sell
your
shares.
This
table
provides
returns
net
of
expenses
through
the
most
recent
calendar
quarter-end
rather
than
through
the
end
of
the
portfolio's
fiscal
period.
It
shows
how
the
portfolio
would
have
performed
each
year
if
its
actual
(or
cumulative)
returns
for
the
periods
shown
had
been
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
portfolio
distributions
or
the
redemption
of
portfolio
shares.
When
assessing
performance,
investors
should
consider
both
short-
and
long-term
returns.
T.
ROWE
PRICE
Mortgage-Backed
Securities
Multi-Sector
Account
Portfolio
Financial
Highlights
7
For
a
share
outstanding
throughout
each
period
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
..
Year
..
..
Ended
.
2/29/24
2/28/23
2/28/22
2/28/21
2/29/20
NET
ASSET
VALUE
Beginning
of
period
$
8
.10
$
9
.20
$
9
.60
$
9
.53
$
9
.13
Investment
activities
Net
investment
income
(1)(2)
0
.32
0
.23
0
.08
0
.13
0
.25
Net
realized
and
unrealized
gain/loss
(
0
.17
)
(
1
.11
)
(
0
.40
)
0
.07
0
.42
Total
from
investment
activities
0
.15
(
0
.88
)
(
0
.32
)
0
.20
0
.67
Distributions
Net
investment
income
(
0
.32
)
(
0
.22
)
(
0
.08
)
(
0
.11
)
(
0
.27
)
Tax
return
of
capital
-
-
-
(
0
.02
)
-
Total
distributions
(
0
.32
)
(
0
.22
)
(
0
.08
)
(
0
.13
)
(
0
.27
)
NET
ASSET
VALUE
End
of
period
$
7
.93
$
8
.10
$
9
.20
$
9
.60
$
9
.53
Ratios/Supplemental
Data
Total
return
(2)(3)
1
.90
%
(
9
.55
)
%
(
3
.37
)
%
2
.13
%
7
.38
%
Ratios
to
average
net
assets:
(2)
Gross
expenses
before
waivers/payments
by
Price
Associates
0
.06
%
0
.03
%
0
.04
%
0
.02
%
0
.03
%
Net
expenses
after
waivers/payments
by
Price
Associates
0
.02
%
0
.02
%
0
.02
%
0
.02
%
0
.02
%
Net
investment
income
4
.02
%
2
.70
%
0
.88
%
1
.38
%
2
.68
%
Portfolio
turnover
rate
552
.5
%
775
.5
%
916
.0
%
500
.2
%
344
.9
%
Net
assets,
end
of
period
(in
thousands)
$
110,603
$
105,683
$
132,340
$
132,924
$
157,468
(1)
Per
share
amounts
calculated
using
average
shares
outstanding
method.
(2)
Includes
the
impact
of
expense-related
arrangements
with
Price
Associates.
(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,
and
payment
of
no
redemption
or
account
fees,
if
applicable.
T.
ROWE
PRICE
Mortgage-Backed
Securities
Multi-Sector
Account
Portfolio
February
29,
2024
8
Portfolio
of
Investments
‡
Par/Shares
$
Value
(Amounts
in
000s)
‡
U.S.
GOVERNMENT
&
AGENCY
MORTGAGE-BACKED
SECURITIES
103.3%
U.S.
Government
Agency
Obligations
76.5%
Federal
Home
Loan
Mortgage
2.50%,
4/1/30
42
39
3.00%,
5/1/27
-
2/1/47
434
385
3.50%,
12/1/41
-
6/1/43
329
301
4.00%,
8/1/40
-
12/1/41
284
263
4.50%,
6/1/39
-
5/1/42
191
188
5.00%,
11/1/33
-
12/1/40
101
102
5.50%,
6/1/35
-
10/1/38
59
60
6.00%,
12/1/33
-
10/1/39
25
27
6.50%,
9/1/34
-
9/1/39
32
33
Federal
Home
Loan
Mortgage,
ARM
1Y
CMT
+
2.245%,
6.37%,
1/1/36
-
-
1Y
CMT
+
2.25%,
6.34%,
10/1/36
-
-
1Y
CMT
+
2.347%,
6.472%,
11/1/34
6
6
RFUCCT1Y
+
1.625%,
4.849%,
4/1/37
1
1
RFUCCT1Y
+
1.774%,
5.549%,
6/1/37
1
1
RFUCCT1Y
+
1.842%,
6.091%,
1/1/37
1
1
RFUCCT1Y
+
1.917%,
6.292%,
2/1/37
-
-
RFUCCT1Y
+
1.93%,
6.187%,
12/1/36
1
1
RFUCCT1Y
+
2.031%,
6.276%,
11/1/36
1
1
RFUCCT1Y
+
2.22%,
6.558%,
2/1/37
1
1
Federal
Home
Loan
Mortgage,
CMO,
6.00%,
3/15/32
13
13
Federal
Home
Loan
Mortgage,
CMO,
IO
3.00%,
12/15/32
117
5
4.50%,
5/25/50
513
99
Federal
Home
Loan
Mortgage,
UMBS
1.50%,
2/1/36
-
4/1/37
394
341
2.00%,
8/1/36
-
5/1/52
7,191
5,742
2.50%,
3/1/42
-
9/1/52
9,171
7,600
3.00%,
5/1/31
-
6/1/52
1,915
1,674
3.50%,
5/1/31
-
3/1/48
1,387
1,263
4.00%,
6/1/37
-
9/1/52
787
730
4.50%,
9/1/37
-
12/1/52
1,728
1,639
5.00%,
10/1/48
-
5/1/53
750
734
5.50%,
8/1/53
-
9/1/53
878
870
6.00%,
12/1/52
217
220
6.50%,
10/1/53
142
145
Federal
National
Mortgage
Assn.
3.50%,
6/1/42
-
5/1/46
798
727
4.00%,
11/1/40
162
155
Federal
National
Mortgage
Assn.,
ARM
RFUCCT1Y
+
1.34%,
5.59%,
12/1/35
1
1
RFUCCT1Y
+
1.70%,
5.95%,
11/1/37
2
2
RFUCCT1Y
+
1.87%,
6.12%,
8/1/36
2
2
Federal
National
Mortgage
Assn.,
UMBS
1.50%,
4/1/37
-
1/1/42
1,687
1,431
2.00%,
5/1/36
-
5/1/52
23,044
18,670
2.50%,
8/1/31
-
5/1/52
11,680
9,878
3.00%,
2/1/30
-
8/1/52
10,201
9,017
Par/Shares
$
Value
(Amounts
in
000s)
3.50%,
11/1/25
-
1/1/52
4,600
4,205
4.00%,
12/1/30
-
8/1/52
4,122
3,863
4.50%,
7/1/39
-
8/1/52
2,339
2,258
5.00%,
9/1/24
-
9/1/53
2,930
2,864
5.50%,
12/1/33
-
10/1/53
1,374
1,365
6.00%,
3/1/33
-
1/1/54
2,468
2,496
6.50%,
2/1/32
-
11/1/53
802
820
UMBS,
TBA (1)
1.50%,
3/1/39
215
185
2.00%,
3/1/39
-
3/1/54
889
715
2.50%,
3/1/39
-
3/1/54
797
663
3.00%,
3/1/54
415
355
3.50%,
3/1/54
651
579
4.00%,
3/1/54
210
193
5.00%,
3/1/54
560
543
5.50%,
3/1/54
558
552
6.00%,
3/1/54
418
420
6.50%,
3/1/54
162
165
84,609
U.S.
Government
Obligations
26.8%
Government
National
Mortgage
Assn.
1.50%,
12/20/36
-
5/20/37
253
217
2.00%,
1/20/51
-
3/20/52
5,662
4,611
2.50%,
8/20/50
-
3/20/52
5,249
4,445
3.00%,
9/15/42
-
6/20/52
4,448
3,925
3.50%,
9/15/41
-
2/20/52
3,356
3,075
4.00%,
2/20/40
-
10/20/52
2,968
2,779
4.50%,
6/15/39
-
10/20/52
1,907
1,835
5.00%,
1/20/33
-
8/20/52
1,159
1,151
5.50%,
2/20/33
-
3/20/49
637
647
6.00%,
9/20/34
-
11/20/53
275
278
Government
National
Mortgage
Assn.,
ARM,
1Y
CMT
+
1.50%,
3.875%,
5/20/34
9
9
Government
National
Mortgage
Assn.,
CMO
3.00%,
11/20/47
-
12/20/47
13
11
3.50%,
5/20/49
-
10/20/50
400
341
4.00%,
7/20/40
18
18
Government
National
Mortgage
Assn.,
CMO,
IO
3.50%,
5/20/43
38
6
4.00%,
2/20/43
17
2
Government
National
Mortgage
Assn.,
TBA (1)
2.00%,
3/20/54
168
137
2.50%,
3/20/54
263
223
3.00%,
3/20/54
133
117
3.50%,
3/20/54
159
144
4.00%,
3/20/54
758
705
5.00%,
3/20/54
645
630
5.50%,
3/20/54
2,345
2,329
6.00%,
3/20/54
1,275
1,281
6.50%,
3/20/54
770
780
29,696
Total
U.S.
Government
&
Agency
Mortgage-Backed
Securities
(Cost
$121,737)
114,305
T.
ROWE
PRICE
Mortgage-Backed
Securities
Multi-Sector
Account
Portfolio
9
Par/Shares
$
Value
(Amounts
in
000s)
SHORT-TERM
INVESTMENTS
21.9%
Money
Market
Funds
21.9%
T.
Rowe
Price
Government
Reserve
Fund,
5.39% (2)(3)
24,205
24,205
Total
Short-Term
Investments
(Cost
$24,205)
24,205
Total
Investments
in
Securities
125.2%
of
Net
Assets
(Cost
$145,942)
$
138,510
‡
Par/Shares
are
denominated
in
U.S.
dollars
unless
otherwise
noted.
(1)
See
Note
3
.
To-Be-Announced
purchase
commitment.
Total
value
of
such
securities
at
period-end
amounts
to
$10,716
and
represents
9.7%
of
net
assets.
(2)
Seven-day
yield
(3)
Affiliated
Companies
1Y
CMT
One
year
U.S.
Treasury
note
constant
maturity
ARM
Adjustable
Rate
Mortgage
(ARM);
rate
shown
is
effective
rate
at
period-end.
The
rates
for
certain
ARMs
are
not
based
on
a
published
reference
rate
and
spread
but
may
be
determined
using
a
formula
based
on
the
rates
of
the
underlying
loans.
CMO
Collateralized
Mortgage
Obligation
IO
Interest-only
security
for
which
the
fund
receives
interest
on
notional
principal
RFUCCT1Y
Twelve
month
Refinitiv
USD
IBOR
Consumer
Cash
Fallback
TBA
To-Be-Announced
UMBS
Uniform
Mortgage-Backed
Securities
T.
ROWE
PRICE
Mortgage-Backed
Securities
Multi-Sector
Account
Portfolio
10
Par
$
Value
(Amounts
in
000s)
TBA
SALES
COMMITMENTS
(1.3)%
U.S.
GOVERNMENT
&
AGENCY
MORTGAGE-BACKED
SECURITIES
(1.3)%
U.S.
Government
Agency
Obligations
(1.1)%
UMBS,
TBA
3.50%,
3/1/39
101
(95)
4.00%,
3/1/54
667
(614)
4.50%,
3/1/54
584
(553)
(1,262)
U.S.
Government
Obligations
(0.2)%
Government
National
Mortgage
Assn.,
TBA,
4.50%,
3/20/54
215
(205)
(205)
Total
TBA
Sales
Commitments
(Proceeds
$(1,487))
(1,467)
T.
ROWE
PRICE
Mortgage-Backed
Securities
Multi-Sector
Account
Portfolio
11
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
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
year
ended
February
29,
2024.
Net
realized
gain
(loss),
investment
income,
change
in
net
unrealized
gain/loss,
and
purchase
and
sales
cost
reflect
all
activity
for
the
period
then
ended.
Affiliate
Net
Realized
Gain
(Loss)
Change
in
Net
Unrealized
Gain/Loss
Investment
Income
T.
Rowe
Price
Government
Reserve
Fund,
5.39%
$
-#
$
-
$
818+
Supplementary
Investment
Schedule
Affiliate
Value
02/28/23
Purchase
Cost
Sales
Cost
Value
02/29/24
T.
Rowe
Price
Government
Reserve
Fund,
5.39%
$
5,978
¤
¤
$
24,205^
#
Capital
gain
distributions
from
underlying
Price
funds
represented
$0
of
the
net
realized
gain
(loss).
+
Investment
income
comprised
$818
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
$24,205.
T.
ROWE
PRICE
Mortgage-Backed
Securities
Multi-Sector
Account
Portfolio
February
29,
2024
Statement
of
Assets
and
Liabilities
12
($000s,
except
shares
and
per
share
amounts)
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Assets
Investments
in
securities,
at
value
(cost
$145,942)
$
138,510
Receivable
for
investment
securities
sold
7,516
Interest
receivable
298
Due
from
affiliates
2
Total
assets
146,326
Liabilities
Payable
for
investment
securities
purchased
34,230
TBA
Sales
Commitments
(proceeds
$1,487)
1,467
Other
liabilities
26
Total
liabilities
35,723
NET
ASSETS
$
110,603
Net
Assets
Consist
of:
Total
distributable
earnings
(loss)
$
(21,406)
Paid-in
capital
applicable
to
13,940,729
shares
of
$0.0001
par
value
capital
stock
outstanding;
1,000,000,000
shares
of
the
Corporation
authorized
132,009
NET
ASSETS
$
110,603
NET
ASSET
VALUE
PER
SHARE
$
7.93
T.
ROWE
PRICE
Mortgage-Backed
Securities
Multi-Sector
Account
Portfolio
Statement
of
Operations
13
($000s)
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Year
Ended
2/29/24
Investment
Income
(Loss)
Income
Interest
$
3,781
Dividend
818
Total
income
4,599
Expenses
Custody
59
Interest
and
borrowing-related
4
Waived
/
paid
by
Price
Associates
(36)
Total
expenses
27
Net
investment
income
4,572
Realized
and
Unrealized
Gain
/
Loss
-
Net
realized
loss
on
securities
(4,711)
Change
in
net
unrealized
gain
/
loss
Securities
1,945
TBA
Sales
Commitments
(11)
11
Change
in
net
unrealized
gain
/
loss
1,956
Net
realized
and
unrealized
gain
/
loss
(2,755)
INCREASE
IN
NET
ASSETS
FROM
OPERATIONS
$
1,817
T.
ROWE
PRICE
Mortgage-Backed
Securities
Multi-Sector
Account
Portfolio
Statement
of
Changes
in
Net
Assets
14
($000s)
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Year
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
Ended
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
2/29/24
2/28/23
Increase
(Decrease)
in
Net
Assets
Operations
Net
investment
income
$
4,572
$
2,956
Net
realized
loss
(
4,711
)
(
5,137
)
Change
in
net
unrealized
gain
/
loss
1,956
(
8,361
)
Increase
(decrease)
in
net
assets
from
operations
1,817
(
10,542
)
Distributions
to
shareholders
Net
earnings
(
4,555
)
(
2,901
)
Capital
share
transactions
*
Shares
sold
51,873
27,735
Distributions
reinvested
4,550
2,901
Shares
redeemed
(
48,765
)
(
43,850
)
Increase
(decrease)
in
net
assets
from
capital
share
transactions
7,658
(
13,214
)
Net
Assets
Increase
(decrease)
during
period
4,920
(
26,657
)
Beginning
of
period
105,683
132,340
End
of
period
$
110,603
$
105,683
*Share
information
(000s)
Shares
sold
6,475
3,441
Distributions
reinvested
570
350
Shares
redeemed
(
6,145
)
(
5,139
)
Increase
(decrease)
in
shares
outstanding
900
(
1,348
)
T.
ROWE
PRICE
Mortgage-Backed
Securities
Multi-Sector
Account
Portfolio
15
NOTES
TO
FINANCIAL
STATEMENTS
T.
Rowe
Price
Multi-Sector
Account
Portfolios,
Inc.
(the
corporation) is
registered
under
the
Investment
Company
Act
of
1940
(the
1940
Act).
The
Mortgage-Backed
Securities
Multi-Sector
Account
Portfolio
(the
fund)
is a
diversified, open-end
management
investment
company
established
by
the
corporation. The
fund
seeks
high
current
income
and,
secondarily,
capital
appreciation.
The
fund
is
available
for
investment
only
to
institutional
accounts
managed
by
T.
Rowe
Price
Associates,
Inc.,
and
is
not
available
for
direct
purchase
by
members
of
the
public.
NOTE
1
-
SIGNIFICANT
ACCOUNTING
POLICIES
Basis
of
Preparation
The fund
is
an
investment
company
and
follows
accounting
and
reporting
guidance
in
the
Financial
Accounting
Standards
Board
(FASB)
Accounting
Standards
Codification
Topic
946
(ASC
946).
The
accompanying
financial
statements
were
prepared
in
accordance
with
accounting
principles
generally
accepted
in
the
United
States
of
America
(GAAP),
including,
but
not
limited
to,
ASC
946.
GAAP
requires
the
use
of
estimates
made
by
management.
Management
believes
that
estimates
and
valuations
are
appropriate;
however,
actual
results
may
differ
from
those
estimates,
and
the
valuations
reflected
in
the
accompanying
financial
statements
may
differ
from
the
value
ultimately
realized
upon
sale
or
maturity.
Investment
Transactions,
Investment
Income,
and
Distributions
Investment
transactions
are
accounted
for
on
the
trade
date
basis.
Income
and
expenses
are
recorded
on
the
accrual
basis.
Realized
gains
and
losses
are
reported
on
the
identified
cost
basis. Premiums
and
discounts
on
debt
securities
are
amortized
for
financial
reporting
purposes. Paydown
gains
and
losses
are
recorded
as
an
adjustment
to
interest
income. Income
tax-related
interest
and
penalties,
if
incurred,
are
recorded
as
income
tax
expense. Dividends
received
from other
investment
companies are
reflected
as
dividend income;
capital
gain
distributions
are
reflected
as
realized
gain/
loss. Dividend
income and
capital
gain
distributions
are
recorded
on
the
ex-dividend
date. Non-cash
dividends,
if
any,
are
recorded
at
the
fair
market
value
of
the
asset
received. Distributions
to
shareholders
are
recorded
on
the
ex-dividend
date. Income
distributions,
if
any, are
declared daily
and
paid
monthly. A
capital
gain
distribution,
if
any, may
also
be
declared
and
paid
by
the
fund
annually.
Capital
Transactions
Each
investor's
interest
in
the
net
assets
of the
fund
is
represented
by
fund
shares. The
fund's
net
asset
value
(NAV)
per
share
is
computed
at
the
close
of
the
New
York
Stock
Exchange
(NYSE),
normally
4
p.m.
ET,
each
day
the
NYSE
is
open
for
business.
However,
the
NAV
per
share
may
be
calculated
at
a
time
other
than
the
normal
close
of
the
NYSE
if
trading
on
the
NYSE
is
restricted,
if
the
NYSE
closes
earlier,
or
as
may
be
permitted
by
the
SEC.
Purchases
and
redemptions
of
fund
shares
are
transacted
at
the
next-computed
NAV
per
share,
after
receipt
of
the
transaction
order
by
T.
Rowe
Price
Associates,
Inc.,
or
its
agents.
New
Accounting
Guidance
The
FASB
issued
Accounting
Standards
Update
(ASU),
ASU
2020-04,
Reference
Rate
Reform
(Topic
848) -
Facilitation
of
the
Effects
of
Reference
Rate
Reform
on
Financial
Reporting
in
March
2020
and
ASU
2021-01
in
January
2021
which
provided
further
amendments
and
clarifications
to
Topic
848.
These
ASUs provide
optional,
temporary
relief
with
respect
to
the
financial
reporting
of
contracts
subject
to
certain
types
of
modifications
due
to
the
planned
discontinuation
of
the
London
Interbank
Offered
Rate
(LIBOR),
and
other
interbank-offered
based
reference
rates,
through December
31,
2022.
In
December
2022,
FASB
issued
ASU
2022-06
which
defers
the
sunset
date
of
Topic
848
from
December
31,
2022
to
December
31,
2024,
after
which
entities
will
no
longer
be
permitted
to
apply
the
relief
in
Topic
848.
Management
intends
to
rely
upon
the
relief
provided
under
Topic
848,
which
is
not
expected to
have
a
material
impact
on
the fund's
financial statements.
Indemnification
In
the
normal
course
of
business, the
fund
may
provide
indemnification
in
connection
with
its
officers
and
directors,
service
providers,
and/or
private
company
investments. The
fund's
maximum
exposure
under
these
arrangements
is
unknown;
however,
the
risk
of
material
loss
is
currently
considered
to
be
remote.
NOTE
2
-
VALUATION
Fair
Value
The
fund's
financial
instruments
are
valued
at
the
close
of
the
NYSE
and
are
reported
at
fair
value,
which
GAAP
defines
as
the
price
that
would
be
received
to
sell
an
asset
or
paid
to
transfer
a
liability
in
an
orderly
transaction
between
market
participants
at
the
measurement
date. The fund's
Board
of
Directors
(the
Board)
has
designated
T.
Rowe
Price
Associates,
Inc.
as
the
fund's
valuation
designee
(Valuation
Designee).
Subject
to
oversight
by
the
Board,
the
Valuation
Designee
performs
the
following
functions
in
performing
fair
value
determinations:
assesses
and
manages
valuation
risks;
establishes
and
applies
fair
value
methodologies;
tests
fair
T.
ROWE
PRICE
Mortgage-Backed
Securities
Multi-Sector
Account
Portfolio
16
value
methodologies;
and
evaluates
pricing
vendors
and
pricing
agents.
The
duties
and
responsibilities
of
the
Valuation
Designee
are
performed
by
its
Valuation
Committee. The
Valuation
Designee provides
periodic
reporting
to
the
Board
on
valuation
matters.
Various
valuation
techniques
and
inputs
are
used
to
determine
the
fair
value
of
financial
instruments.
GAAP
establishes
the
following
fair
value
hierarchy
that
categorizes
the
inputs
used
to
measure
fair
value:
Level
1
-
quoted
prices
(unadjusted)
in
active
markets
for
identical
financial
instruments
that
the
fund
can
access
at
the
reporting
date
Level
2
-
inputs
other
than
Level
1
quoted
prices
that
are
observable,
either
directly
or
indirectly
(including,
but
not
limited
to,
quoted
prices
for
similar
financial
instruments
in
active
markets,
quoted
prices
for
identical
or
similar
financial
instruments
in
inactive
markets,
interest
rates
and
yield
curves,
implied
volatilities,
and
credit
spreads)
Level
3
-
unobservable
inputs
(including
the Valuation
Designee's assumptions
in
determining
fair
value)
Observable
inputs
are
developed
using
market
data,
such
as
publicly
available
information
about
actual
events
or
transactions,
and
reflect
the
assumptions
that
market
participants
would
use
to
price
the
financial
instrument.
Unobservable
inputs
are
those
for
which
market
data
are
not
available
and
are
developed
using
the
best
information
available
about
the
assumptions
that
market
participants
would
use
to
price
the
financial
instrument.
GAAP
requires
valuation
techniques
to
maximize
the
use
of
relevant
observable
inputs
and
minimize
the
use
of
unobservable
inputs.
When
multiple
inputs
are
used
to
derive
fair
value,
the
financial
instrument
is
assigned
to
the
level
within
the
fair
value
hierarchy
based
on
the
lowest-level
input
that
is
significant
to
the
fair
value
of
the
financial
instrument.
Input
levels
are
not
necessarily
an
indication
of
the
risk
or
liquidity
associated
with
financial
instruments
at
that
level
but
rather
the
degree
of
judgment
used
in
determining
those
values.
Valuation
Techniques
Debt
securities
generally
are
traded
in
the over-the-counter
(OTC)
market
and
are
valued
at
prices
furnished
by
independent
pricing
services
or
by
broker
dealers
who
make
markets
in
such
securities.
When
valuing
securities,
the
independent
pricing
services
consider
factors
such
as,
but
not
limited
to,
the
yield
or
price
of
bonds
of
comparable
quality,
coupon,
maturity,
and
type,
as
well
as
prices
quoted
by
dealers
who
make
markets
in
such
securities.
Investments
in
mutual
funds
are
valued
at
the
mutual
fund's
closing
NAV
per
share
on
the
day
of
valuation.
Assets
and
liabilities
other
than
financial
instruments,
including
short-term
receivables
and
payables,
are
carried
at
cost,
or
estimated
realizable
value,
if
less,
which
approximates
fair
value.
Investments
for
which
market
quotations are
not
readily
available
or
deemed
unreliable
are
valued
at
fair
value
as
determined
in
good
faith
by
the
Valuation
Designee.
The
Valuation
Designee
has
adopted
methodologies
for
determining
the
fair
value
of
investments
for
which
market
quotations
are
not
readily
available
or
deemed
unreliable,
including
the
use
of
other
pricing
sources.
Factors
used
in
determining
fair
value
vary
by
type
of
investment
and
may
include
market
or
investment
specific
considerations.
The
Valuation
Designee typically
will
afford
greatest
weight
to
actual
prices
in
arm's
length
transactions,
to
the
extent
they
represent
orderly
transactions
between
market
participants,
transaction
information
can
be
reliably
obtained,
and
prices
are
deemed
representative
of
fair
value.
However,
the
Valuation
Designee may
also
consider
other
valuation
methods
such
as
market-based
valuation
multiples;
a
discount
or
premium
from
market
value
of
a
similar,
freely
traded
security
of
the
same
issuer;
discounted
cash
flows;
yield
to
maturity;
or
some
combination.
Fair
value
determinations
are
reviewed
on
a
regular
basis.
Because
any
fair
value
determination
involves
a
significant
amount
of
judgment,
there
is
a
degree
of
subjectivity
inherent
in
such
pricing
decisions. Fair
value
prices
determined
by
the
Valuation
Designee could
differ
from
those
of
other
market
participants,
and
it
is
possible
that
the
fair
value
determined
for
a
security
may
be
materially
different
from
the
value
that
could
be
realized
upon
the
sale
of
that
security.
T.
ROWE
PRICE
Mortgage-Backed
Securities
Multi-Sector
Account
Portfolio
17
Valuation
Inputs
The
following
table
summarizes
the
fund's
financial
instruments,
based
on
the
inputs
used
to
determine
their
fair
values
on
February
29,
2024
(for
further
detail
by
category,
please
refer
to
the
accompanying
Portfolio
of
Investments):
NOTE
3
-
OTHER
INVESTMENT
TRANSACTIONS
Consistent
with
its
investment
objective,
the
fund
engages
in
the
following
practices
to
manage
exposure
to
certain
risks
and/or
to
enhance
performance.
The
investment
objective,
policies,
program,
and
risk
factors
of
the
fund
are
described
more
fully
in
the
fund's
prospectus
and
Statement
of
Additional
Information.
Mortgage-Backed
Securities
The
fund
invests
in
mortgage-backed
securities
(MBS
or
pass-through
certificates)
that
represent
an
interest
in
a
pool
of
specific
underlying
mortgage
loans
and
entitle
the
fund
to
the
periodic
payments
of
principal
and
interest
from
those
mortgages.
MBS
may
be
issued
by
government
agencies
or
corporations,
or
private
issuers.
Most
MBS
issued
by
government
agencies
are
guaranteed;
however,
the
degree
of
protection
differs
based
on
the
issuer.
The
fund
also
invests
in
stripped
MBS,
created
when
a
traditional
MBS
is
split
into
an
interest-only
(IO)
and
a
principal-only
(PO)
strip.
MBS,
including
IOs
and
POs, are
sensitive
to
changes
in
economic
conditions
that
affect
the
rate
of
prepayments
and
defaults
on
the
underlying
mortgages;
accordingly,
the
value,
income,
and
related
cash
flows
from
MBS
may
be
more
volatile
than
other
debt
instruments.
IOs
also
risk
loss
of
invested
principal
from
faster-than-anticipated
prepayments.
TBA
Purchase,
Sale
Commitments
and
Forward
Settling
Mortgage
Obligations
The
fund
enters
into
to-be-announced
(TBA)
purchase
or
sale
commitments
(collectively,
TBA
transactions),
pursuant
to
which
it
agrees
to
purchase
or
sell,
respectively,
mortgage-
backed
securities
for
a
fixed
unit
price,
with
payment
and
delivery
at
a
scheduled
future
date
beyond
the
customary
settlement
period
for
such
securities.
With
TBA
transactions,
the
particular
securities
to
be
received
or
delivered
by
the
fund
are
not
identified
at
the
trade
date;
however,
the
securities
must
meet
specified
terms,
including
rate
and
mortgage
term,
and
be
within
industry-accepted
"good
delivery"
standards.
The
fund
may
enter
into
TBA
transactions
with
the
intention
of
taking
possession
of
or
relinquishing
the
underlying
securities,
may
elect
to
extend
the
settlement
by
"rolling"
the
transaction,
and/or
may
use
TBA
transactions
to
gain
or
reduce
interim
exposure
to
underlying
securities.
To
mitigate
counterparty
risk,
the
fund
has
entered
into
Master
Securities
Forward
Transaction
Agreements
(MSFTA)
with
counterparties
that
provide
for
collateral
and
the
right
to
offset
amounts
due
to
or
from
those
counterparties
under
specified
conditions.
Subject
to
minimum
transfer
amounts,
collateral
requirements
are
determined
and
transfers
made
based
on
the
net
aggregate
unrealized
gain
or
loss
on
all
TBA
commitments
and
other
forward
settling
mortgage
obligations
with
a
particular
counterparty
(collectively,
MSFTA
Transactions).
At
any
time,
the
fund's
risk
of
loss
from
a
particular
counterparty
related
to
its
MSFTA
Transactions
is
the
aggregate
unrealized
gain
on
appreciated
MSFTA
Transactions
in
excess
of
unrealized
loss
on
depreciated
MSFTA
Transactions
and
collateral
received,
if
any,
from
such
counterparty. As
of
February
29,
2024,
no
collateral
was
pledged
by
the
fund
or
counterparties
for
MSFTA
Transactions.
Other
Purchases
and
sales
of
U.S.
government
securities
aggregated
$676,695,000 and
$674,663,000,
respectively,
for
the
year ended
February
29,
2024.
($000s)
Level
1
Level
2
Level
3
Total
Value
Assets
U.S.
Government
&
Agency
Mortgage-Backed
Securities
$
-
$
114,305
$
-
$
114,305
Short-Term
Investments
24,205
-
-
24,205
Total
$
24,205
$
114,305
$
-
$
138,510
Liabilities
TBA
Sales
Commitments
$
-
$
1,467
$
-
$
1,467
T.
ROWE
PRICE
Mortgage-Backed
Securities
Multi-Sector
Account
Portfolio
18
NOTE
4
-
FEDERAL
INCOME
TAXES
Generally,
no
provision
for
federal
income
taxes
is
required
since
the
fund
intends
to continue
to
qualify
as
a
regulated
investment
company
under
Subchapter
M
of
the
Internal
Revenue
Code
and
distribute
to
shareholders
all
of
its taxable
income
and
gains.
Distributions
determined
in
accordance
with
federal
income
tax
regulations
may
differ
in
amount
or
character
from
net
investment
income
and
realized
gains
for
financial
reporting
purposes.
The
fund
files
U.S.
federal,
state,
and
local
tax
returns
as
required.
The
fund's
tax
returns
are
subject
to
examination
by
the
relevant
tax
authorities
until
expiration
of
the
applicable
statute
of
limitations,
which
is
generally
three
years
after
the
filing
of
the
tax
return
but
which
can
be
extended
to
six
years
in
certain
circumstances.
Tax
returns
for
open
years
have
incorporated
no
uncertain
tax
positions
that
require
a
provision
for
income
taxes.
Capital
accounts
within
the
financial
reporting
records
are
adjusted
for
permanent
book/tax
differences
to
reflect
tax
character
but
are
not
adjusted
for
temporary
differences.
The
permanent
book/tax
adjustments,
if
any,
have
no
impact
on
results
of
operations
or
net
assets.
The
tax
character
of
distributions
paid
for
the
periods
presented
was
as
follows:
At
February
29,
2024,
the
tax-basis
cost
of
investments
(including
derivatives,
if
any)
and
gross
unrealized
appreciation
and
depreciation
were as
follows:
At
February
29,
2024,
the
tax-basis
components
of
accumulated
net
earnings
(loss)
were
as
follows:
Temporary
differences
between
book-basis
and
tax-basis
components
of
total
distributable
earnings
(loss)
arise
when
certain
items
of
income,
gain,
or
loss
are
recognized
in
different
periods
for
financial
statement
purposes
versus
for
tax
purposes;
these
differences
will
reverse
in
a
subsequent
reporting
period.
The
temporary
differences
relate
primarily
to
the
deferral
of
losses
from
wash
sales.
The
loss
carryforwards
and
deferrals
primarily
relate
to
capital
loss
carryforwards.
Capital
loss
carryforwards
are
available
indefinitely
to
offset
future
realized
capital
gains.
NOTE
5
-
RELATED
PARTY
TRANSACTIONS
The
fund
is
managed
by
T.
Rowe
Price
Associates,
Inc.
(Price
Associates),
a
wholly
owned
subsidiary
of
T.
Rowe
Price
Group,
Inc.
(Price
Group).
The
investment
management
agreement
between
the
fund
and
Price
Associates
provides
for
no
investment
management
fee;
however,
the
manager
will
earn
fees
from
managing
the
institutional
accounts
invested
in
the
fund.
Further,
the
manager
will
be
required
to
bear
all
expenses
of
the
fund,
including
custody
expense
in
excess
of
a
specified
custody
fee
limitation
but
excluding
($000s)
February
29,
2024
February
28,
2023
Ordinary
income
(including
short-term
capital
gains,
if
any)
$
4,555
$
2,901
($000s)
Cost
of
investments
$
146,240
Unrealized
appreciation
$
204
Unrealized
depreciation
(7,915)
Net
unrealized
appreciation
(depreciation)
$
(7,711)
($000s)
Undistributed
ordinary
income
$
43
Net
unrealized
appreciation
(depreciation)
(7,711)
Loss
carryforwards
and
deferrals
(13,738)
Total
distributable
earnings
(loss)
$
(21,406)
T.
ROWE
PRICE
Mortgage-Backed
Securities
Multi-Sector
Account
Portfolio
19
interest
and
borrowing-related
charges;
taxes;
brokerage
fees
and
commissions
(including
dealer
markups
and
spreads),
transfer
taxes,
and
other
charges
incident
to
the
purchase,
sale,
or
lending
of
the
fund's
portfolio
securities
and
other
holdings; and
non-recurring,
extraordinary expenses.
The
agreement
provides
that
the
fund
will
bear
custody
expense
up
to
the
custody
fee
limitation,
equal
to
0.02%
of
the
fund's
average
daily
net
assets.
Expenses
of
the
fund
paid
by
the
manager
are
not
subject
to
later
repayment
by
the
fund.
The fund
may
invest
its
cash
reserves
in
certain
open-end
management
investment
companies
managed
by
Price
Associates
and
considered
affiliates
of
the
fund:
the
T.
Rowe
Price
Government
Reserve
Fund
or
the
T.
Rowe
Price
Treasury
Reserve
Fund,
organized
as
money
market
funds
(together,
the
Price
Reserve
Funds).
The
Price
Reserve
Funds
are
offered
as
short-term
investment
options
to
mutual
funds,
trusts,
and
other
accounts
managed
by
Price
Associates
or
its
affiliates
and
are
not
available
for
direct
purchase
by
members
of
the
public.
Cash
collateral
from
securities
lending,
if
any,
is
invested
in
the
T.
Rowe
Price
Government
Reserve Fund. The
Price
Reserve
Funds
pay
no
investment
management
fees.
The
fund may
participate
in
securities
purchase
and
sale
transactions
with
other
funds
or
accounts
advised
by
Price
Associates
(cross
trades),
in
accordance
with
procedures
adopted
by the
fund's
Board
and
Securities
and
Exchange
Commission
rules,
which
require,
among
other
things,
that
such
purchase
and
sale
cross
trades
be
effected
at
the
independent
current
market
price
of
the
security.
During
the
year
ended
February
29,
2024,
the
fund
had
no
purchases
or
sales
cross
trades
with
other
funds
or
accounts
advised
by
Price
Associates.
NOTE
6
-
OTHER
MATTERS
Unpredictable
events
such
as
environmental
or
natural
disasters,
war
and
conflict,
terrorism,
geopolitical
events,
and
public
health
epidemics and
similar
public
health
threats
may
significantly
affect
the
economy
and
the
markets
and
issuers
in
which
the fund
invests.
Certain
events
may
cause
instability
across
global
markets,
including
reduced
liquidity
and
disruptions
in
trading
markets,
while
some
events
may
affect
certain
geographic
regions,
countries,
sectors,
and
industries
more
significantly
than
others,
and
exacerbate
other
pre-
existing
political,
social,
and
economic
risks.
The
global
outbreak
of
COVID-19
and
the
related
governmental
and
public
responses
have
led
and
may
continue
to
lead
to
increased
market
volatility
and
the
potential
for
illiquidity
in
certain
classes
of
securities
and
sectors
of
the
market
either
in
specific
countries
or
worldwide.
In
February
2022,
Russian
forces
entered
Ukraine
and
commenced
an
armed
conflict,
leading
to
economic
sanctions imposed
on
Russia
that
target certain
of
its
citizens
and
issuers
and
sectors
of
the
Russian
economy,
creating
impacts
on
Russian-related
stocks
and
debt
and
greater
volatility
in
global
markets.
In
March
2023,
the
banking
industry
experienced
heightened
volatility,
which
sparked
concerns
of
potential
broader
adverse
market
conditions.
The
extent
of
impact
of
these
events
on
the
US
and
global
markets
is
highly
uncertain.
These
are
recent
examples
of
global
events
which
may
have
a
negative
impact
on
the
values
of
certain
portfolio
holdings
or
the
fund's
overall
performance.
Management
is
actively
monitoring
the
risks
and
financial
impacts
arising
from
these
events.
T.
ROWE
PRICE
Mortgage-Backed
Securities
Multi-Sector
Account
Portfolio
20
Report
of
Independent
Registered
Public
Accounting
Firm
To
the
Board
of
Directors
of
T.
Rowe
Price
Multi-Sector
Account
Portfolios,
Inc.
and
Shareholders
of
T.
Rowe
Price
Mortgage-Backed
Securities
Multi-Sector
Account
Portfolio
Opinion
on
the
Financial
Statements
We
have
audited
the
accompanying
statement
of
assets
and
liabilities,
including
the
portfolio
of
investments,
of
T.
Rowe
Price
Mortgage-
Backed
Securities
Multi-Sector
Account
Portfolio
(one
of
the
portfolios
constituting
T.
Rowe
Price
Multi-Sector
Account
Portfolios,
Inc.,
referred
to
hereafter
as
the
"Fund")
as
of
February
29,
2024,
the
related
statement
of
operations
for
the
year
ended
February
29,
2024,
the
statement
of
changes
in
net
assets
for
each
of
the
two
years
in
the
period
ended
February
29,
2024,
including
the
related
notes,
and
the
financial
highlights
for
each
of
the
five
years
in
the
period
ended
February
29,
2024
(collectively
referred
to
as
the
"financial
statements").
In
our
opinion,
the
financial
statements
present
fairly,
in
all
material
respects,
the
financial
position
of
the
Fund
as
of
February
29,
2024,
the
results
of
its
operations
for
the
year
then
ended,
the
changes
in
its
net
assets
for
each
of
the
two
years
in
the
period
ended
February
29,
2024
and
the
financial
highlights
for
each
of
the
five
years
in
the
period
ended
February
29,
2024
in
conformity
with
accounting
principles
generally
accepted
in
the
United
States
of
America.
Basis
for
Opinion
These
financial
statements
are
the
responsibility
of
the
Fund's
management.
Our
responsibility
is
to
express
an
opinion
on
the
Fund's
financial
statements
based
on
our
audits.
We
are
a
public
accounting
firm
registered
with
the
Public
Company
Accounting
Oversight
Board
(United
States)
(PCAOB)
and
are
required
to
be
independent
with
respect
to
the
Fund
in
accordance
with
the
U.S.
federal
securities
laws
and
the
applicable
rules
and
regulations
of
the
Securities
and
Exchange
Commission
and
the
PCAOB.
We
conducted
our
audits
of
these
financial
statements
in
accordance
with
the
standards
of
the
PCAOB.
Those
standards
require
that
we
plan
and
perform
the
audit
to
obtain
reasonable
assurance
about
whether
the
financial
statements
are
free
of
material
misstatement,
whether
due
to
error
or
fraud.
Our
audits
included
performing
procedures
to
assess
the
risks
of
material
misstatement
of
the
financial
statements,
whether
due
to
error
or
fraud,
and
performing
procedures
that
respond
to
those
risks.
Such
procedures
included
examining,
on
a
test
basis,
evidence
regarding
the
amounts
and
disclosures
in
the
financial
statements.
Our
audits
also
included
evaluating
the
accounting
principles
used
and
significant
estimates
made
by
management,
as
well
as
evaluating
the
overall
presentation
of
the
financial
statements.
Our
procedures
included
confirmation
of
securities
owned
as
of
February
29,
2024
by
correspondence
with
the
custodian,
transfer
agent
and
brokers;
when
replies
were
not
received
from
brokers,
we
performed
other
auditing
procedures.
We
believe
that
our
audits
provide
a
reasonable
basis
for
our
opinion.
/s/
PricewaterhouseCoopers
LLP
Baltimore,
Maryland
April
18,
2024
We
have
served
as
the
auditor
of
one
or
more
investment
companies
in
the
T.
Rowe
Price
group
of
investment
companies
since
1973.
T.
ROWE
PRICE
Mortgage-Backed
Securities
Multi-Sector
Account
Portfolio
21
TAX
INFORMATION
(UNAUDITED)
FOR
THE
TAX
YEAR
ENDED 2/29/24
We
are
providing
this
information
as
required
by
the
Internal
Revenue
Code.
The
amounts
shown
may
differ
from
those
elsewhere
in
this
report
because
of
differences
between
tax
and
financial
reporting
requirements.
For
shareholders
subject
to
interest
expense
deduction
limitation
under
Section
163(j),
$3,717,000
of
the
fund's
income
qualifies
as
a
Section
163(j)
interest
dividend
and
can
be
treated
as
interest
income
for
purposes
of
Section
163(j),
subject
to
holding
period
requirements
and
other
limitations.
INFORMATION
ON
PROXY
VOTING
POLICIES,
PROCEDURES,
AND
RECORDS
A
description
of
the
policies
and
procedures
used
by
T.
Rowe
Price
funds
to
determine
how
to
vote
proxies
relating
to
portfolio
securities
is
available
in
each
fund's
Statement
of
Additional
Information.
You
may
request
this
document
by
calling
1-800-225-5132
or
by
accessing
the
SEC's
website,
sec.gov.
The
description
of
our
proxy
voting
policies
and
procedures
is
also
available
on
our
corporate
website.
To
access
it,
please
visit
the
following
Web
page:
https://www.troweprice.com/corporate/us/en/utility/policies.html
Scroll
down
to
the
section
near
the
bottom
of
the
page
that
says,
"Proxy
Voting
Guidelines."
Click
on
the
links
in
the
shaded
box.
Each
fund's
most
recent
annual
proxy
voting
record
is
available
on
our
website
and
through
the
SEC's
website.
To
access
it
through
T.
Rowe
Price,
visit
the
website
location
shown
above,
and
scroll
down
to
the
section
near
the
bottom
of
the
page
that
says,
"Proxy
Voting
Records."
Click
on
the
Proxy
Voting
Records
link
in
the
shaded
box.
HOW
TO
OBTAIN
QUARTERLY
PORTFOLIO
HOLDINGS
The
fund
files
a
complete
schedule
of
portfolio
holdings
with
the
Securities
and
Exchange
Commission
(SEC)
for
the
first
and
third
quarters
of
each
fiscal
year
as
an
exhibit
to
its
reports
on
Form
N-PORT.
The
fund's
reports
on
Form
N-PORT
are
available
electronically
on
the
SEC's
website
(sec.gov).
In
addition,
most
T.
Rowe
Price
funds
disclose
their
first
and
third
fiscal
quarter-end
holdings
on
troweprice.com
.
TAILORED
SHAREHOLDER
REPORTS
FOR
MUTUAL
FUNDS
AND
EXCHANGE
TRADED
FUNDS
In
October
2022,
the
Securities
and
Exchange
Commission
(SEC)
adopted
rule
and
form
amendments
requiring
Mutual
Funds
and
Exchange-Traded
Funds
to
transmit
concise
and
visually
engaging
streamlined
annual
and
semiannual
reports
that
highlight
key
information
to
shareholders.
Other
information,
including
financial
statements,
will
no
longer
appear
in
the
funds'
shareholder
reports
but
will
be
available
online,
delivered
free
of
charge
upon
request,
and
filed
on
a
semiannual
basis
on
Form
N-CSR.
The
rule
and
form
amendments
have
a
compliance
date
of
July
24,
2024.
T.
ROWE
PRICE
Mortgage-Backed
Securities
Multi-Sector
Account
Portfolio
22
ABOUT
THE
PORTFOLIO'S
DIRECTORS
AND
OFFICERS
Your
fund
is
overseen
by
a
Board
of
Directors
(Board)
that
meets
regularly
to
review
a
wide
variety
of
matters
affecting
or
potentially
affecting
the
fund,
including
performance,
investment
programs,
compliance
matters,
advisory
fees
and
expenses,
service
providers,
and
business
and
regulatory
affairs.
The
Board
elects
the
fund's
officers,
who
are
listed
in
the
final
table.
The
directors
who
are
also
employees
or
officers
of
T.
Rowe
Price
are
considered
to
be
"interested"
directors
as
defined
in
Section
2(a)(19)
of
the
1940
Act
because
of
their
relationships
with
T.
Rowe
Price
Associates,
Inc. (T.
Rowe
Price),
and
its
affiliates.
The
business
address
of
each
director
and
officer
is
100
East
Pratt
Street,
Baltimore,
Maryland
21202.
The
Statement
of
Additional
Information
includes
additional
information
about
the
fund
directors
and
is
available
without
charge
by
calling
a
T.
Rowe
Price
representative
at
1-800-638-5660.
INDEPENDENT
DIRECTORS
(a)
Name
(Year
of
Birth)
Year
Elected
[Number
of
T.
Rowe
Price
Portfolios
Overseen]
Principal
Occupation(s)
and
Directorships
of
Public
Companies
and
Other
Investment
Companies
During
the
Past
Five
Years
Teresa
Bryce
Bazemore
(1959)
2018
[193]
President
and
Chief
Executive
Officer,
Federal
Home
Loan
Bank
of
San
Francisco
(2021
to
present),
and
Director
of
the
FHLBanks
Office
of
Finance;
Chief
Executive
Officer,
Bazemore
Consulting
LLC
(2018
to
2021);
Director,
Chimera
Investment
Corporation
(2017
to
2021);
Director,
First
Industrial
Realty
Trust
(2020
to
present);
Director,
Federal
Home
Loan
Bank
of
Pittsburgh
(2017
to
2019)
Melody
Bianchetto
(1966)
2023
[193]
Vice
President
for
Finance,
University
of
Virginia
(2015
to
2023)
Bruce
W.
Duncan
(1951)
2013
[193]
President,
Chief
Executive
Officer,
and
Director,
CyrusOne,
Inc.
(2020
to
2021);
Chair
of
the
Board
(2016
to
2020)
and
President
(2009
to
2016),
First
Industrial
Realty
Trust,
owner
and
operator
of
industrial
properties;
Member,
Investment
Company
Institute
Board
of
Governors
(2017
to
2019);
Member,
Independent
Directors
Council
Governing
Board
(2017
to
2019);
Senior
Advisor,
KKR
(2018
to
2022);
Director,
Boston
Properties
(2016
to
present);
Director,
Marriott
International,
Inc.
(2016
to
2020)
Robert
J.
Gerrard,
Jr.
(1952)
2013
[193]
Chair
of
the
Board,
all
funds
(July
2018
to
present)
Paul
F.
McBride
(1956)
2013
[193]
Advisory
Board
Member,
Vizzia
Technologies
(2015
to
present);
Board
Member,
Dunbar
Armored
(2012
to
2018)
Mark
J.
Parrell
(1966)
2023
[193]
Board
of
Trustees
Member
and
Chief
Executive
Officer
(2019
to
present),
President,
EQR
(2018
to
present),
Executive
Vice
President
and
Chief
Financial
Officer,
EQR
(2007
to
2018),
and
Senior
Vice
President
and
Treasurer,
EQR
(2005
to
2007);
Member,
Nareit
Dividends
Through
Diversity,
Equity
&
Inclusion
CEO
Council,
Treasurer
of
Nareit
(2023),
and
Chair,
Nareit
2021
Audit
and
Investment
Committee
(2021);
Advisory
Board,
Ross
Business
School
at
University
of
Michigan
(2015
to
2016);
Member,
National
Multifamily
Housing
Council
and
served
as
Chair
of
the
Finance
Committee
(2015
to
2016);
Member,
Economic
Club
of
Chicago;
Director,
Brookdale
Senior
Living,
Inc.
(2015
to
2017);
Director,
Aviv
REIT,
Inc.
(2013
to
2015);
Director,
Real
Estate
Roundtable
and
the
2022
Executive
Board
Nareit;
Board
of
Directors
and
Chair
of
the
Finance
Committee,
Greater
Chicago
Food
Depository
Kellye
L.
Walker
(1966)
2021
[193]
Executive
Vice
President
and
Chief
Legal
Officer,
Eastman
Chemical
Company
(April
2020
to
present);
Executive
Vice
President
and
Chief
Legal
Officer,
Huntington
Ingalls
Industries,
Inc.
(January
2015
to
March
2020);
Director,
Lincoln
Electric
Company
(October
2020
to
present)
(a)
All
information
about
the
independent
directors
was
current
as
of
December
31,
2023,
unless
otherwise
indicated,
except
for
the
number
of
portfolios
overseen,
which
is
current
as
of
the
date
of
this
report.
T.
ROWE
PRICE
Mortgage-Backed
Securities
Multi-Sector
Account
Portfolio
23
INTERESTED DIRECTORS
(a)
OFFICERS
Name
(Year
of
Birth)
Year
Elected
[Number
of
T.
Rowe
Price
Portfolios
Overseen]
Principal
Occupation(s)
and
Directorships
of
Public
Companies
and
Other
Investment
Companies
During
the
Past
Five
Years
David
Oestreicher
(1967)
2018
[193]
Director,
Vice
President,
and
Secretary,
T.
Rowe
Price,
T.
Rowe
Price
Investment
Services,
Inc.,
T.
Rowe
Price
Retirement
Plan
Services,
Inc.,
and
T.
Rowe
Price
Services,
Inc.;
Director
and
Secretary,
T.
Rowe
Price
Investment
Management,
Inc.
(Price
Investment
Management);
Vice
President
and
Secretary,
T.
Rowe
Price
International
(Price
International);
Vice
President,
T.
Rowe
Price
Australia,
T.
Rowe
Price
Hong
Kong
(Price
Hong
Kong),
T.
Rowe
Price
Japan
(Price
Japan),
and
T.
Rowe
Price
Singapore
(Price
Singapore);
General
Counsel,
Vice
President,
and
Secretary,
T.
Rowe
Price
Group,
Inc.;
Chair
of
the
Board,
Chief
Executive
Officer,
President,
and
Secretary,
T.
Rowe
Price
Trust
Company;
Principal
Executive
Officer
and
Executive
Vice
President,
all
funds
Eric
L.
Veiel,
CFA
(1972)
2022
[193]
Director
and
Vice
President,
T.
Rowe
Price;
Vice
President,
T.
Rowe
Price
Group,
Inc.,
and
T.
Rowe
Price
Trust
Company;
Vice
President,
Global
Funds
(a)
All
information
about
the
interested
directors
was
current
as
of
December
31,
2023,
unless
otherwise
indicated,
except
for
the
number
of
portfolios
overseen,
which
is
current
as
of
the
date
of
this
report.
Name
(Year
of
Birth)
Position
Held
With Multi-Sector
Account
Portfolios
Principal
Occupation(s)
Mariel
Abreu
(1981)
Vice
President
Vice
President,
T.
Rowe
Price
and
T.
Rowe
Price
Group,
Inc.
Scott
Edwin Ackerman
(1987)
Vice
President
Vice
President,
T.
Rowe
Price
Roy
H.
Adkins
(1970)
Vice
President
Vice
President,
T.
Rowe
Price
Group,
Inc.,
and
Price
International
Stephen
L.
Bartolini,
CFA
(1977)
Vice
President
Vice
President,
T.
Rowe
Price,
T.
Rowe
Price
Group,
Inc.,
and
T.
Rowe
Price
Trust
Company
Jason
A.
Bauer
(1979)
Vice
President
Vice
President,
T.
Rowe
Price
and
T.
Rowe
Price
Group,
Inc.
Steven
E.
Boothe,
CFA
(1977)
President
Vice
President,
T.
Rowe
Price
and
T.
Rowe
Price
Group,
Inc.
Derek
S.
Bosley
(1983)
Vice
President
Vice
President,
T.
Rowe
Price
Peter
I.
Botoucharov
(1965)
Vice
President
Vice
President,
T.
Rowe
Price
Group,
Inc.,
and
Price
International
Tala
Boulos
(1984)
Vice
President
Vice
President,
T.
Rowe
Price
Group,
Inc.,
and
Price
International
Christopher
P.
Brown, CFA
(1977)
Vice
President
Vice
President,
T.
Rowe
Price
and
T.
Rowe
Price
Group,
Inc.
Justin
D.
Campbell
(1992)
Vice
President
Vice
President,
T.
Rowe
Price
and
T.
Rowe
Price
Group,
Inc.
Armando
(Dino)
Capasso
(1974)
Chief
Compliance
Officer
and
Vice
President
Chief
Compliance
Officer
and
Vice
President,
T.
Rowe
Price
and
Price
Investment
Management;
Vice
President,
T.
Rowe
Price
Group,
Inc.;
formerly,
Chief
Compliance
Officer,
PGIM
Investments
LLC
and
AST
Investment
Services,
Inc.
(ASTIS)
(to
2022);
Chief
Compliance
Officer,
PGIM
Retail
Funds
complex
and
Prudential
Insurance
Funds
(to
2022);
Vice
President
and
Deputy
Chief
Compliance
Officer,
PGIM
Investments
LLC
and
ASTIS
(to
2019)
Unless
otherwise
noted,
officers
have
been
employees
of
T.
Rowe
Price
or
Price
International
for
at
least
5
years.
T.
ROWE
PRICE
Mortgage-Backed
Securities
Multi-Sector
Account
Portfolio
24
Name
(Year
of
Birth)
Position
Held
With Multi-Sector
Account
Portfolios
Principal
Occupation(s)
Shiu
Tak
(Sheldon)
Chan
(1981)
Vice
President
Vice
President,
Price
International
and
T.
Rowe
Price
Group,
Inc.
Carolyn
Hoi
Che
Chu
(1974)
Vice
President
Vice
President,
Price
Hong
Kong
and
T.
Rowe
Price
Group,
Inc.
Michael
F.
Connelly,
CFA
(1977)
Vice
President
Vice
President,
T.
Rowe
Price
and
T.
Rowe
Price
Group,
Inc.
Jean-Marc
Corredor
(1976)
Vice
President
Vice
President,
Price
International,
Price
Investment
Management,
T.
Rowe
Price
Investment
Services,
Inc.,
T.
Rowe
Price,
T.
Rowe
Price
Group,
Inc.,
and
T.
Rowe
Price
Trust
Company
Ramon
Roberto
de
Castro
(1966)
Executive
Vice
President
Vice
President,
T.
Rowe
Price
and
T.
Rowe
Price
Group,
Inc.
Michael P. Daley
(1981)
Vice
President
Vice
President,
T.
Rowe
Price
and
T.
Rowe
Price
Group,
Inc.
Alan
S.
Dupski,
CPA
(1982)
Principal
Financial
Officer,
Vice
President,
and
Treasurer
Vice
President,
Price
Investment
Management,
T.
Rowe
Price,
T.
Rowe
Price
Group,
Inc.,
and
T.
Rowe
Price
Trust
Company
Cheryl
Emory
(1963)
Assistant
Secretary
Assistant
Vice
President
and
Assistant
Secretary,
T.
Rowe
Price;
Assistant
Secretary,
T.
Rowe
Price
Group,
Inc.,
Price
Investment
Management,
Price
International,
Price
Hong
Kong,
Price
Singapore,
T.
Rowe
Price
Investment
Services,
Inc.,
T.
Rowe
Price
Retirement
Plan
Services,
Inc.,
and
T.
Rowe
Price
Trust
Company
Stephen
M.
Finamore,
CFA
(1976)
Executive
Vice
President
Vice
President,
T.
Rowe
Price, T.
Rowe
Price
Group,
Inc.,
and
T.
Rowe
Price
Trust
Company
Daniel
Fox,
CFA
(1985)
Vice
President
Vice
President,
T.
Rowe
Price
and
T.
Rowe
Price
Group,
Inc.
Justin
T.
Gerbereux,
CFA
(1975)
Vice
President
Vice
President,
T.
Rowe
Price,
T.
Rowe
Price
Group,
Inc.,
and
T.
Rowe
Price
Trust
Company
Aaron
Gifford,
CFA
(1987)
Vice
President
Vice
President,
T.
Rowe
Price
and
T.
Rowe
Price
Group,
Inc.
Michael
J.
Grogan,
CFA
(1971)
Vice
President
Vice
President,
T.
Rowe
Price
and
T.
Rowe
Price
Group,
Inc.
Shaoyu
Guo
(1992)
Vice
President
Vice
President,
Price
Hong
Kong
and
T.
Rowe
Price
Group,
Inc.;
formerly,
Economist,
JP
Morgan
(to
2020)
Richard
L.
Hall
(1979)
Vice
President
Vice
President,
T.
Rowe
Price
and
T.
Rowe
Price
Group,
Inc.
Cheryl
Hampton,
CPA
(1969)
Vice
President
Vice
President,
T.
Rowe
Price,
T.
Rowe
Price
Group,
Inc.,
and
T.
Rowe
Price
Trust
Company;
formerly,
Tax
Director,
Invesco
Ltd.
(to
2021);
Vice
President,
Oppenheimer
Funds,
Inc.
(to
2019)
Arif
Husain,
CFA
(1972)
Vice
President
Vice
President,
T.
Rowe
Price
Group,
Inc.,
and
Price
International
Andrew
J.
Keirle
(1974)
Executive
Vice
President
Vice
President,
T.
Rowe
Price
Group,
Inc.,
and
Price
International
Benjamin
Kersse,
CPA
(1989)
Vice
President
Vice
President,
T.
Rowe
Price
and
T.
Rowe
Price
Trust
Company
Paul
J.
Krug,
CPA
(1964)
Vice
President
Vice
President,
T.
Rowe
Price,
T.
Rowe
Price
Group,
Inc.,
and
T.
Rowe
Price
Trust
Company
Christopher
J.
Kushlis,
CFA
(1976)
Vice
President
Vice
President,
T.
Rowe
Price
Group,
Inc.,
and
Price
International
Unless
otherwise
noted,
officers
have
been
employees
of
T.
Rowe
Price
or
Price
International
for
at
least
5
years.
OFFICERS
(CONTINUED)
T.
ROWE
PRICE
Mortgage-Backed
Securities
Multi-Sector
Account
Portfolio
25
Name
(Year
of
Birth)
Position
Held
With Multi-Sector
Account
Portfolios
Principal
Occupation(s)
Michael
Lambe,
CFA
(1977)
Vice
President
Vice
President,
T.
Rowe
Price
Group,
Inc.,
and
Price
International
Yongheon
Lee
(1975)
Vice
President
Vice
President,
T.
Rowe
Price
and
T.
Rowe
Price
Group,
Inc.
Paul
M.
Massaro,
CFA
(1975)
Vice
President
Vice
President,
T.
Rowe
Price,
T.
Rowe
Price
Group,
Inc.,
and
T.
Rowe
Price
Trust
Company
Robert
P.
McDavid
(1972)
Vice
President
Vice
President,
T.
Rowe
Price, Price
Investment
Management, T.
Rowe
Price
Investment
Services,
Inc.,
and
T.
Rowe
Price
Trust
Company
Michael
J.
McGonigle
(1966)
Vice
President
Vice
President,
T.
Rowe
Price
and
T.
Rowe
Price
Group,
Inc.
Ivan
Morozov,
CFA
(1987)
Vice
President
Vice
President,
T.
Rowe
Price
Group,
Inc.,
and
Price
International
Samy
B.
Muaddi,
CFA
(1984)
Executive
Vice
President
Vice
President,
T.
Rowe
Price,
Price
International,
T.
Rowe
Price
Group,
Inc.,
and
T.
Rowe
Price
Trust
Company
Razan
Nasser
(1985)
Vice
President
Vice
President,
T.
Rowe
Price
Group,
Inc.,
and
Price
International;
formerly,
Senior
Economist,
HSBC
Bank
Middle
East
Ltd
(to
2019)
Ka
Yi
Claire
Ng
(1984)
Vice
President
Vice
President,
T.
Rowe
Price
and
T.
Rowe
Price
Group,
Inc.
Alexander
S.
Obaza
(1981)
Vice
President
Vice
President,
T.
Rowe
Price,
T.
Rowe
Price
Group,
Inc.,
and
T.
Rowe
Price
Trust
Company
Kenneth
A. Orchard
(1975)
Vice
President
Vice
President,
T.
Rowe
Price
Group,
Inc.,
and
Price
International
John
Park
(1981)
Vice
President
Vice
President,
T.
Rowe
Price
and
T.
Rowe
Price
Group,
Inc.;
formerly,
Credit
Analyst,
JHL
Capital
Group
(to
2019)
Miso
Park,
CFA
(1982)
Vice
President
Vice
President,
T.
Rowe
Price
and
T.
Rowe
Price
Group,
Inc.
Fran
M.
Pollack-Matz
(1961)
Vice
President
and
Secretary
Vice
President,
T.
Rowe
Price,
T.
Rowe
Price
Group,
Inc.,
T.
Rowe
Price
Investment
Services,
Inc., T.
Rowe
Price
Services,
Inc.,
and
T.
Rowe
Price
Trust
Company
Rodney
M.
Rayburn,
CFA
(1970)
Executive
Vice
President
Vice
President,
T.
Rowe
Price,
T.
Rowe
Price
Group,
Inc.,
and
T.
Rowe
Price
Trust
Company
Theodore
E.
Robson,
CFA
(1965)
Vice
President
Vice
President,
T.
Rowe
Price,
T.
Rowe
Price
Group,
Inc.,
and
T.
Rowe
Price
Trust
Company
Brian
A.
Rubin,
CPA
(1974)
Vice
President
Vice
President,
T.
Rowe
Price,
T.
Rowe
Price
Group,
Inc.,
and
T.
Rowe
Price
Trust
Company
Richard
Sennett,
CPA
(1970)
Assistant
Treasurer
Vice
President,
T.
Rowe
Price,
T.
Rowe
Price
Group,
Inc.,
and
T.
Rowe
Price
Trust
Company
Jeanny
Silva
(1975)
Vice
President
Vice
President,
T.
Rowe
Price
and
T.
Rowe
Price
Group,
Inc.
David
Stanley
(1963)
Vice
President
Vice
President,
T.
Rowe
Price
Group,
Inc.,
and
Price
International
Ju
Yen
Tan
(1972)
Vice
President
Vice
President,
T.
Rowe
Price
Group,
Inc.,
and
Price
International
Robert
D.
Thomas
(1971)
Vice
President
Vice
President,
T.
Rowe
Price
Group,
Inc.,
and
Price
International
Unless
otherwise
noted,
officers
have
been
employees
of
T.
Rowe
Price
or
Price
International
for
at
least
5
years.
OFFICERS
(CONTINUED)
T.
ROWE
PRICE
Mortgage-Backed
Securities
Multi-Sector
Account
Portfolio
26
Name
(Year
of
Birth)
Position
Held
With Multi-Sector
Account
Portfolios
Principal
Occupation(s)
Siby
Thomas
(1979)
Executive
Vice
President
Vice
President,
T.
Rowe
Price
and
T.
Rowe
Price
Group,
Inc.
Michael
J.
Trivino
(1981)
Vice
President
Vice
President,
T.
Rowe
Price
and
T.
Rowe
Price
Group,
Inc.
Wesley
R. Trowbridge
(1987)
Vice
President
Vice
President,
T.
Rowe
Price
and
T.
Rowe
Price
Group,
Inc.
Willem
Visser
(1979)
Vice
President
Vice
President,
T.
Rowe
Price
Group,
Inc.,
and
Price
International
Lauren
T.
Wagandt
(1984)
Vice
President
Vice
President,
T.
Rowe
Price
and
T.
Rowe
Price
Group,
Inc.
Bineesha
Wickremarachchi,
CFA
(1980)
Vice
President
Vice
President,
T.
Rowe
Price
Group,
Inc.,
and
Price
International
Rebecca
Willey
(1987)
Vice
President
Vice
President,
T.
Rowe
Price
and
T.
Rowe
Price
Group,
Inc.
James
Woodward,
CFA
(1974)
Vice
President
Vice
President,
T.
Rowe
Price
Group,
Inc.,
and
Price
International
David
A.
Yatzeck
(1981)
Vice
President
Vice
President,
T.
Rowe
Price
and
T.
Rowe
Price
Group,
Inc.
Ellen
York
(1988)
Vice
President
Vice
President,
Price
Investment
Management
and
T.
Rowe
Price
Lei
Zhu
(1980)
Vice
President
Vice
President,
T.
Rowe
Price
and
T.
Rowe
Price
Group,
Inc.;
formerly,
Senior
Analyst/Assistant
Portfolio
Manager/Trading
Analyst,
Metacapital
Management
(to
2020)
Unless
otherwise
noted,
officers
have
been
employees
of
T.
Rowe
Price
or
Price
International
for
at
least
5
years.
OFFICERS
(CONTINUED)
100
East
Pratt
Street
Baltimore,
MD
21202
T.
Rowe
Price
Investment
Services,
Inc.
Call
1-800-225-5132
to
request
a
prospectus
or
summary
prospectus;
each
includes
investment
objectives,
risks,
fees,
expenses,
and
other
information
that
you
should
read
and
consider
carefully
before
investing.
202404-3377837
E326-050
4/24
Item 1. (b) Notice pursuant to Rule 30e-3.
Not applicable.
Item 2. Code of Ethics.
The registrant has adopted a code of ethics, as defined in Item 2 of Form N-CSR, applicable to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. A copy of this code of ethics is filed as an exhibit to this Form N-CSR. No substantive amendments were approved or waivers were granted to this code of ethics during the period covered by this report.
Item 3. Audit Committee Financial Expert.
The registrant's Board of Directors has determined that Mr. Paul F. McBride qualifies as an audit committee financial expert, as defined in Item 3 of Form N-CSR. Mr. McBride is considered independent for purposes of Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
(a) - (d) Aggregate fees billed for the last two fiscal years for professional services rendered to, or on behalf of, the registrant by the registrant's principal accountant were as follows:
|
2024 |
2023 |
|||||||
|
Audit Fees |
$ | 32,851 | $ | 30,755 | ||||
|
Audit-Related Fees |
- | - | ||||||
|
Tax Fees |
- | - | ||||||
|
All Other Fees |
- | - |
Audit fees include amounts related to the audit of the registrant's annual financial statements and services normally provided by the accountant in connection with statutory and regulatory filings. Audit-related fees include amounts reasonably related to the performance of the audit of the registrant's financial statements and specifically include the issuance of a report on internal controls and, if applicable, agreed-upon procedures related to fund acquisitions. Tax fees include amounts related to services for tax compliance, tax planning, and tax advice. The nature of these services specifically includes the review of distribution calculations and the preparation of Federal, state, and excise tax returns. All other fees include the registrant's pro-rata share of amounts for agreed-upon procedures in conjunction with service contract approvals by the registrant's Board of Directors/Trustees.
(e)(1) The registrant's audit committee has adopted a policy whereby audit and non-audit services performed by the registrant's principal accountant for the registrant, its investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant require pre-approval in advance at regularly scheduled audit committee meetings. If such a service is required between regularly scheduled audit committee meetings, pre-approval may be authorized by one audit committee member with ratification at the next scheduled audit committee meeting. Waiver of pre-approval for audit or non-audit services requiring fees of a de minimis amount is not permitted.
(2) No services included in (b) - (d) above were approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Less than 50 percent of the hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year were attributed to work performed by persons other than the principal accountant's full-time, permanent employees.
(g) The aggregate fees billed for the most recent fiscal year and the preceding fiscal year by the registrant's principal accountant for non-audit services rendered to the registrant, its investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant were $1,180,000 and $1,454,000, respectively.
(h) All non-audit services rendered in (g) above were pre-approved by the registrant's audit committee. Accordingly, these services were considered by the registrant's audit committee in maintaining the principal accountant's independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) Not applicable. The complete schedule of investments is included in Item 1 of this Form N-CSR.
(b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There has been no change to the procedures by which shareholders may recommend nominees to the registrant's board of directors.
Item 11. Controls and Procedures.
(a) The registrant's principal executive officer and principal financial officer have evaluated the registrant's disclosure controls and procedures within 90 days of this filing and have concluded that the registrant's disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported timely.
(b) The registrant's principal executive officer and principal financial officer are aware of no change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
| (a)(1) |
The registrant's code of ethics pursuant to Item 2 of Form N-CSR is attached. |
|
| (2) |
Separate certifications by the registrant's principal executive officer and principal financial officer, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(a) under the Investment Company Act of 1940, are attached. |
|
| (3) |
Written solicitation to repurchase securities issued by closed-end companies: not applicable. |
|
| (b) |
A certification by the registrant's principal executive officer and principal financial officer, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(b) under the Investment Company Act of 1940, is attached. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| T. Rowe Price Multi-Sector Account Portfolios, Inc. | ||||
| By |
/s/ David Oestreicher |
|||
| David Oestreicher | ||||
| Principal Executive Officer | ||||
| Date | April 18, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By |
/s/ David Oestreicher |
|||
| David Oestreicher | ||||
| Principal Executive Officer | ||||
| Date |
April 18, 2024 |
| By |
/s/ Alan S. Dupski |
|||
| Alan S. Dupski | ||||
| Principal Financial Officer | ||||
| Date |
April 18, 2024 |