T. Rowe Price GNMA Fund (PRGMX) NPORT-P T. Rowe Price GNMA Fund, Inc. (Aug 2024 report)

T.

ROWE

PRICE

GNMA

Fund

August

31,

2024

(Unaudited)

1

Portfolio

of

Investments

‡

Par/Shares

$

Value

(Amounts

in

000s)

‡

ASSET-BACKED

SECURITIES

 0.0%

Equipment

Lease

Heavy

Duty

 0.0%

SCF

Equipment

Leasing

Series

2024-1A,

Class

A3

5.52%,

1/20/32 (1)

400‌

410‌

Total

Asset-Backed

Securities

(Cost

$400)

410‌

NON-U.S.

GOVERNMENT

MORTGAGE-BACKED

SECURITIES

 0.7%

Commercial

Mortgage

Backed

Securities

 0.0%

TX

Trust

Series

2024-HOU,

Class

A,

ARM

1M

TSFR

+

1.591%,

6.928%,

6/15/39 (1)

230‌

228‌

228‌

Whole

Loans

Backed

 0.7%

Arroyo

Mortgage

Trust

Series

2021-1R,

Class

A1,

CMO,

ARM

1.175%,

10/25/48 (1)

1,178‌

1,042‌

OBX

Trust

Series

2020-EXP1,

Class

2A1B,

CMO,

ARM

1M

TSFR

+

0.864%,

6.142%,

2/25/60 (1)

1,640‌

1,585‌

Tricon

American

Homes

Trust

Series

2020-SFR2,

Class

B

1.832%,

11/17/39 (1)

1,895‌

1,730‌

Tricon

Residential

Trust

Series

2024-SFR2,

Class

A

4.75%,

6/17/40 (1)

1,404‌

1,399‌

Tricon

Residential

Trust

Series

2024-SFR3,

Class

A

4.50%,

8/17/41 (1)

1,200‌

1,178‌

6,934‌

Total

Non-U.S.

Government

Mortgage-Backed

Securities

(Cost

$6,974)

7,162‌

U.S.

GOVERNMENT

&

AGENCY

MORTGAGE-BACKED

SECURITIES

 104.3%

U.S.

Government

Agency

Obligations

 7.8%

Federal

Home

Loan

Mortgage 

6.50%,

8/1/36 

13‌

13‌

7.00%,

11/1/30

-

4/1/32 

205‌

215‌

T.

ROWE

PRICE

GNMA

Fund

2

Par/Shares

$

Value

(Amounts

in

000s)

Federal

Home

Loan

Mortgage,

UMBS 

5.00%,

10/1/51

-

3/1/53 

6,208‌

6,179‌

5.50%,

9/1/52

-

6/1/54 

8,478‌

8,572‌

6.00%,

6/1/54 

2,370‌

2,426‌

7.00%,

6/1/54 

1,193‌

1,247‌

Federal

National

Mortgage

Assn. 

3.50%,

7/1/48

-

11/1/48 

965‌

905‌

Federal

National

Mortgage

Assn.,

ARM,

RFUCCT1Y

+

1.642%,

6.035%,

11/1/35 

2‌

2‌

Federal

National

Mortgage

Assn.,

CMO,

5.50%,

12/25/36 

480‌

499‌

Federal

National

Mortgage

Assn.,

CMO,

IO,

3.00%,

2/25/28 

1,789‌

53‌

Federal

National

Mortgage

Assn.,

UMBS 

3.50%,

5/1/50 

1,210‌

1,127‌

5.00%,

10/1/51 

1,261‌

1,257‌

5.50%,

10/1/53 

4,677‌

4,726‌

6.00%,

8/1/53

-

6/1/54 

22,056‌

22,582‌

6.50%,

10/1/53

-

1/1/54 

19,352‌

19,997‌

7.00%,

3/1/54

-

6/1/54 

2,052‌

2,137‌

UMBS,

TBA (2)

2.50%,

9/1/39 

2,329‌

2,162‌

3.00%,

9/1/39 

2,954‌

2,804‌

3.50%,

9/1/39 

2,896‌

2,809‌

4.00%,

9/1/54 

379‌

360‌

80,072‌

U.S.

Government

Obligations

 96.5%

Government

National

Mortgage

Assn. 

1.50%,

3/20/36

-

4/20/52 

24,934‌

20,511‌

2.00%,

11/20/50

-

12/20/52 

194,085‌

163,522‌

2.50%,

8/20/50

-

9/20/52 

225,426‌

196,903‌

3.00%,

11/20/26

-

11/20/51 

140,747‌

128,277‌

3.50%,

7/20/27

-

5/20/51 

103,484‌

97,602‌

4.00%,

3/20/39

-

10/20/52 

74,720‌

72,343‌

4.50%,

5/20/30

-

4/20/53 

71,916‌

71,169‌

5.00%,

5/15/33

-

2/20/54 

67,293‌

67,654‌

5.50%,

5/20/31

-

6/20/53 

49,236‌

50,095‌

6.00%,

6/20/31

-

6/20/54 

22,426‌

22,971‌

6.50%,

3/15/26

-

3/20/54 

3,000‌

3,093‌

7.00%,

1/20/28

-

1/20/34 

233‌

240‌

7.50%,

9/15/25

-

6/15/32 

298‌

305‌

8.00%,

1/15/25

-

3/15/30 

138‌

140‌

9.00%,

3/20/25 

—‌

—‌

Government

National

Mortgage

Assn.,

CMO 

3.00%,

2/20/46

-

11/20/47 

3,031‌

2,498‌

T.

ROWE

PRICE

GNMA

Fund

3

Par/Shares

$

Value

(Amounts

in

000s)

3.50%,

10/20/50 

2,560‌

2,193‌

Government

National

Mortgage

Assn.,

CMO,

IO 

3.00%,

2/20/46

-

1/20/50 

4,027‌

520‌

3.50%,

8/20/29

-

4/20/46 

13,297‌

1,452‌

4.00%,

10/20/42

-

6/20/49 

16,616‌

2,872‌

4.50%,

4/20/39

-

6/20/49 

6,464‌

760‌

Government

National

Mortgage

Assn.,

TBA (2)

2.00%,

9/20/54 

3,335‌

2,809‌

2.50%,

9/20/54 

3,213‌

2,809‌

3.00%,

9/20/54 

351‌

318‌

3.50%,

9/20/54 

22,864‌

21,293‌

5.00%,

9/20/54 

19,595‌

19,559‌

5.50%,

9/20/54 

19,385‌

19,512‌

6.00%,

9/20/54 

19,905‌

20,199‌

991,619‌

Total

U.S.

Government

&

Agency

Mortgage-Backed

Securities

(Cost

$1,129,805)

1,071,691‌

SHORT-TERM

INVESTMENTS

 3.8%

Money

Market

Funds

 3.8%

T.

Rowe

Price

Government

Reserve

Fund,

5.34% (3)(4)

39,230‌

39,230‌

Total

Short-Term

Investments

(Cost

$39,230)

39,230‌

Total

Investments

in

Securities

 108.8%

(Cost

$1,176,409)

$

1,118,493‌

Other

Assets

Less

Liabilities

(8.8)%

(90,498‌)

Net

Assets

100.0%

$

1,027,995‌

‡

Par/Shares

and

Notional

Amount

are

denominated

in

U.S.

dollars

unless

otherwise

noted.

(1)

Security

was

purchased

pursuant

to

Rule

144A

under

the

Securities

Act

of

1933

and

may

be

resold

in

transactions

exempt

from

registration

only

to

qualified

institutional

buyers.

Total

value

of

such

securities

at

period-end

amounts

to

$7,572

and

represents

0.7%

of

net

assets.

(2)

To-Be-Announced

purchase

commitment.

Total

value

of

such

securities

at

period-end

amounts

to

$94,634

and

represents

9.2%

of

net

assets.

(3)

Seven-day

yield

(4)

Affiliated

Companies

1M

TSFR

One

month

term

SOFR

(Secured

overnight

financing

rate)

T.

ROWE

PRICE

GNMA

Fund

4

.

.

.

.

.

.

.

.

.

.

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

GNMA

Fund

5

Par

$

Value

(Amounts

in

000s)

TBA

SALES

COMMITMENTS

 (1.6)%

U.S.

GOVERNMENT

&

AGENCY

MORTGAGE-BACKED

SECURITIES

 (1.6)%

U.S.

Government

Agency

Obligations

 (0.8)% 

UMBS,

TBA

3.00%,

9/1/54 

788

(699‌)

3.50%,

9/1/54 

6,088

(5,605‌)

5.00%,

9/1/54 

2,628

(2,609‌)

(8,913‌)

U.S.

Government

Obligations

 (0.8)% 

Government

National

Mortgage

Assn.,

TBA

4.00%,

9/20/54 

5,359

(5,122‌)

5.00%,

9/20/54 

2,818

(2,813‌)

(7,935‌)

Total

TBA

Sales

Commitments

(Proceeds

$(16,804))

(16,848‌)

T.

ROWE

PRICE

GNMA

Fund

6

FUTURES

CONTRACTS

($000s)

Expiration

Date

Notional

Amount

Value

and

Unrealized

Gain

(Loss)

Short,

38

U.S.

Treasury

Long

Bond

contracts

12/24

(4,679)

$

61‌

Short,

244

U.S.

Treasury

Notes

five

year

contracts

12/24

(26,693)

76‌

Short,

56

U.S.

Treasury

Notes

two

year

contracts

12/24

(11,623)

10‌

Short,

32

Ultra

U.S.

Treasury

Bonds

contracts

12/24

(4,222)

49‌

Short,

198

Ultra

U.S.

Treasury

Notes

ten

year

contracts

12/24

(23,252)

182‌

Net

payments

(receipts)

of

variation

margin

to

date

(174‌)

Variation

margin

receivable

(payable)

on

open

futures

contracts

$

204‌

T.

ROWE

PRICE

GNMA

Fund

7

The

accompanying

notes

are

an

integral

part

of

this

Portfolio

of

Investments.

AFFILIATED

COMPANIES

($000s)

The

fund

may

invest

in

certain

securities

that

are

considered

affiliated

companies.

As

defined

by

the

1940

Act,

an

affiliated

company

is

one

in

which

the

fund

owns

5%

or

more

of

the

outstanding

voting

securities,

or

a

company

that

is

under

common

ownership

or

control.

The

following

securities

were

considered

affiliated

companies

for

all

or

some

portion

of

the

three

months

ended

August

31,

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,

5.34%

$

—‌#

$

—‌

$

554‌+

Supplementary

Investment

Schedule

Affiliate

Value

05/31/24

Purchase

Cost

Sales

Cost

Value

08/31/24

T.

Rowe

Price

Government

Reserve

Fund,

5.34%

$

52,925‌

 ¤

 ¤

$

39,230‌^

#

Capital

gain

distributions

from

underlying

Price

funds

represented

$0

of

the

net

realized

gain

(loss).

+

Investment

income

comprised

$554

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

$39,230.

T.

ROWE

PRICE

GNMA

Fund

Unaudited

Notes

to

Portfolio

of

Investments

8

T.

Rowe

Price

GNMA

Fund,

Inc. (the

fund) is

registered

under

the

Investment

Company

Act

of

1940

(the

1940

Act)

as

an

open-end

management

investment

company

and

follows

accounting

and

reporting

guidance

of

the

Financial

Accounting

Standards

Board

Accounting

Standards

Codification

Topic

946.

The

accompanying

Portfolio

of

Investments

was

prepared

in

accordance

with

accounting

principles

generally

accepted

in

the

United

States

of

America

(GAAP).

For

additional

information

on

the

fund’s

significant

accounting

policies

and

investment

related

disclosures,

please

refer

to

the

fund’s most

recent

semiannual

or

annual

shareholder

report

and

its

prospectus. 

VALUATION 

Fair

Value

  The

fund’s

financial

instruments

are

valued

at

the

close

of

the

New

York

Stock

Exchange

(NYSE),

normally

4

p.m.

ET,

each

day

the

NYSE

is

open

for

business,

and

are

reported

at

fair

value,

which

GAAP

defines

as

the

price

that

would

be

received

to

sell

an

asset

or

paid

to

transfer

a

liability

in

an

orderly

transaction

between

market

participants

at

the

measurement

date. The 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

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)

T.

ROWE

PRICE

GNMA

Fund

9

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.

Futures

contracts

are

valued

at

closing

settlement

prices.

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

T.

ROWE

PRICE

GNMA

Fund

10

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.

Valuation

Inputs

  The

following

table

summarizes

the

fund’s

financial

instruments,

based

on

the

inputs

used

to

determine

their

fair

values

on

August

31,

2024

(for

further

detail

by

category,

please

refer

to

the

accompanying

Portfolio

of

Investments):

OTHER

MATTERS 

Unpredictable environmental,

political,

social

and

economic

events,

including

but

not

limited

to,

environmental

or

natural

disasters,

war

and

conflict

(including

Russia’s

military

invasion

of

Ukraine

and

the

conflict

in

Israel,

Gaza

and

surrounding

areas),

terrorism,

geopolitical

developments

(including

trading

and

tariff

arrangements,

sanctions

and

cybersecurity

attacks),

and

public

health

($000s)

Level

1

Level

2

Level

3

Total

Value

Assets

Fixed

Income

Securities

1

$

—‌

$

1,079,263‌

$

—‌

$

1,079,263‌

Short-Term

Investments

39,230‌

—‌

—‌

39,230‌

Total

Securities

39,230‌

1,079,263‌

—‌

1,118,493‌

Futures

Contracts*

378‌

—‌

—‌

378‌

Total

$

39,608‌

$

1,079,263‌

$

—‌

$

1,118,871‌

Liabilities

TBA

Sales

Commitments

$

—‌

$

16,848‌

$

—‌

$

16,848‌

1

Includes

Asset-Backed

Securities,

Non-U.S.

Government

Mortgage-Backed

Securities

and

U.S.

Government

&

Agency

Mortgage-Backed

Securities.

*

The

fair

value

presented

includes

cumulative

gain

(loss)

on

open

futures

contracts;

however,

the

net

value

reflected

on

the

accompanying

Portfolio

of

Investments

is

only

the

unsettled

variation

margin

receivable

(payable)

at

that

date.

T.

ROWE

PRICE

GNMA

Fund

11

epidemics

(including

the

global

outbreak

of

COVID-19)

and

similar

public

health

threats,

may

significantly

affect

the

economy

and

the

markets

and

issuers

in

which

a

fund

invests.

The

extent

and

duration

of

such

events

and

resulting

market

disruptions

cannot

be

predicted.

These

and

other

similar

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

fund’s

performance

could

be

negatively

impacted

if

the

value

of

a

portfolio

holding

were

harmed

by

these

or

such

events.

Management

actively

monitors

the

risks

and

financial

impacts

arising

from

such

events.

F70-054Q1

08/24