T.
ROWE
PRICE
GNMA
Fund
February
28,
2022
(Unaudited)
1
Portfolio
of
Investments
‡
Par/Shares
$
Value
(Amounts
in
000s)
‡
NON-U.S.
GOVERNMENT
MORTGAGE-BACKED
SECURITIES
3.9%
Home
Equity
Loans
Backed
0.9%
Flagstar
Mortgage
Trust
Series
2021-5INV,
Class
A16,
CMO,
ARM
2.50%,
7/25/51 (1)
5,610
5,360
Flagstar
Mortgage
Trust
Series
2021-5INV,
Class
A2,
CMO,
ARM
2.50%,
7/25/51 (1)
4,296
4,122
9,482
Whole
Loans
Backed
3.0%
CIM
Trust
Series
2021-INV1,
Class
A29,
CMO,
ARM
2.50%,
7/1/51 (1)
2,441
2,316
GS
Mortgage-Backed
Securities
Trust
Series
2021-GR1,
Class
A4,
CMO,
ARM
2.50%,
11/25/51 (1)
10,201
9,656
GS
Mortgage-Backed
Securities
Trust
Series
2021-GR2,
Class
A4,
CMO,
ARM
2.50%,
2/25/52 (1)
6,010
5,690
UWM
Mortgage
Trust
Series
2021-INV5,
Class
A14,
CMO,
ARM
3.00%,
1/25/52 (1)
2,387
2,342
Verus
Securitization
Trust
Series
2020-2,
Class
A2,
CMO,
ARM
2.989%,
5/25/60 (1)
9,132
9,003
Vista
Point
Securitization
Trust
Series
2020-1,
Class
A2,
CMO,
ARM
2.77%,
3/25/65 (1)
4,000
4,008
33,015
Total
Non-U.S.
Government
Mortgage-Backed
Securities
(Cost
$44,490)
42,497
U.S.
GOVERNMENT
&
AGENCY
MORTGAGE-BACKED
SECURITIES
119.5%
U.S.
Government
Agency
Obligations
14.7%
Federal
Home
Loan
Mortgage
6.50%,
8/1/36
20
22
7.00%,
11/1/30
-
4/1/32
380
423
Federal
Home
Loan
Mortgage,
UMBS,
2.50%,
1/1/52
8,199
8,118
Federal
National
Mortgage
Assn.
3.50%,
7/1/48
-
11/1/48
1,469
1,506
Federal
National
Mortgage
Assn.,
ARM,
12M
USD
LIBOR
+
1.586%,
1.836%,
11/1/35
4
4
T.
ROWE
PRICE
GNMA
Fund
2
Par/Shares
$
Value
(Amounts
in
000s)
Federal
National
Mortgage
Assn.,
CMO,
5.50%,
12/25/36
727
814
Federal
National
Mortgage
Assn.,
CMO,
IO,
3.00%,
2/25/28
5,039
260
Federal
National
Mortgage
Assn.,
UMBS
2.00%,
12/1/51
19,544
18,776
2.50%,
6/1/51
-
1/1/52
23,494
23,238
3.50%,
5/1/50
1,650
1,705
5.00%,
1/1/49
2,439
2,685
UMBS,
TBA (2)
1.50%,
3/1/37
1,311
1,276
2.00%,
3/1/37
-
3/1/52
49,951
49,377
2.50%,
3/1/37
-
3/1/52
18,267
18,108
3.00%,
3/1/52
8,334
8,417
3.50%,
3/1/52
23,228
23,921
4.00%,
3/1/52
990
1,034
4.50%,
3/1/52
486
513
160,197
U.S.
Government
Obligations
104.8%
Government
National
Mortgage
Assn.
1.50%,
4/20/51
-
11/20/51
15,687
14,732
2.00%,
3/20/51
-
7/20/51
28,425
27,864
2.50%,
8/20/50
-
12/20/51
175,909
176,102
3.00%,
11/20/26
-
10/20/51
152,885
156,538
3.50%,
1/20/27
-
8/20/51
181,167
190,127
4.00%,
3/20/39
-
10/20/50
96,244
101,614
4.50%,
5/20/30
-
6/20/50
49,638
54,035
5.00%,
5/15/33
-
6/20/49
33,106
36,403
5.50%,
5/20/31
-
3/20/49
25,395
28,288
6.00%,
6/20/31
-
11/20/48
6,157
6,971
6.50%,
12/15/23
-
4/20/39
19,429
21,812
7.00%,
1/20/28
-
1/20/34
323
359
7.50%,
6/15/22
-
6/15/32
618
654
8.00%,
10/20/24
-
3/15/30
348
366
8.50%,
4/20/22
-
9/15/24
1
1
9.00%,
5/15/22
-
3/20/25
10
10
9.50%,
9/15/24
-
12/15/24
6
5
Government
National
Mortgage
Assn.,
CMO,
3.50%,
6/20/47
5,790
5,927
Government
National
Mortgage
Assn.,
CMO,
ARM,
IO,
2.683%,
2/16/51
7,510
986
Government
National
Mortgage
Assn.,
CMO,
IO
3.00%,
6/20/37
-
1/20/50
6,705
361
3.50%,
8/20/29
-
2/16/51
33,158
3,663
4.00%,
5/20/37
-
6/20/49
23,923
3,513
4.50%,
4/20/39
-
6/20/49
10,933
1,117
5.00%,
2/16/40
23,034
4,018
T.
ROWE
PRICE
GNMA
Fund
3
Par/Shares
$
Value
(Amounts
in
000s)
Government
National
Mortgage
Assn.,
TBA (2)
1.50%,
3/20/52
32,125
30,116
2.00%,
2/20/52
-
3/20/52
126,960
124,151
2.50%,
3/20/52
1,076
1,075
3.00%,
3/20/52
64,046
65,109
3.50%,
3/20/52
37,821
39,021
4.00%,
3/20/52
45,495
47,269
1,142,207
Total
U.S.
Government
&
Agency
Mortgage-Backed
Securities
(Cost
$1,320,938)
1,302,404
U.S.
GOVERNMENT
AGENCY
OBLIGATIONS
(EXCLUDING
MORTGAGE-BACKED)
6.8%
U
S
Treasury
Obligations
6.8%
U.S.
Treasury
Notes,
0.75%,
12/31/23
75,000
74,074
Total
U.S.
Government
Agency
Obligations
(Excluding
Mortgage-Backed)
(Cost
$74,981)
74,074
SHORT-TERM
INVESTMENTS
1.7%
Money
Market
Funds
1.7%
T.
Rowe
Price
Government
Reserve
Fund,
0.12% (3)(4)
18,833
18,833
Total
Short-Term
Investments
(Cost
$18,833)
18,833
Total
Investments
in
Securities
131.9%
(Cost
$1,459,242)
$
1,437,808
Other
Assets
Less
Liabilities
(31.9)%
(
347,816
)
Net
Assets
100.0%
$
1,089,992
‡
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
$42,497
and
represents
3.9%
of
net
assets.
(2)
To-Be-Announced
purchase
commitment.
Total
value
of
such
securities
at
period-end
amounts
to
$409,387
and
represents
37.6%
of
net
assets.
(3)
Seven-day
yield
(4)
Affiliated
Companies
12M
USD
LIBOR
Twelve
month
USD
LIBOR
(London
interbank
offered
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
CPI
Consumer
Price
Index
IO
Interest-only
security
for
which
the
fund
receives
interest
on
notional
principal
TBA
To-Be-Announced
UMBS
Uniform
Mortgage-Backed
Securities
T.
ROWE
PRICE
GNMA
Fund
5
Par
$
Value
(Amounts
in
000s)
TBA
SALES
COMMITMENTS
(8.3)%
U.S.
GOVERNMENT
&
AGENCY
MORTGAGE-BACKED
SECURITIES
(8.3)%
U.S.
Government
Agency
Obligations
(3.8)%
UMBS,
TBA
1.50%,
3/1/37
1,978
(
1,925
)
2.00%,
3/1/52
14,454
(
13,864
)
3.00%,
3/1/37
3,023
(
3,099
)
3.50%,
3/1/52
15,575
(
16,040
)
4.00%,
3/1/52
2,959
(
3,089
)
4.50%,
3/1/52
2,920
(
3,083
)
(
41,100
)
U.S.
Government
Obligations
(4.5)%
Government
National
Mortgage
Assn.,
TBA
2.00%,
2/20/52
-
3/20/52
25,950
(
25,398
)
2.50%,
3/20/52
20,542
(
20,525
)
4.00%,
3/20/52
250
(
260
)
4.50%,
3/20/52
2,951
(
3,090
)
(
49,273
)
Total
TBA
Sales
Commitments
(Proceeds
$(90,923))
(
90,373
)
T.
ROWE
PRICE
GNMA
Fund
6
(Amounts
in
000s)
SWAPS
(0.1)%
Description
Notional
Amount
$
Value
Initial
$
Value
Unrealized
$
Gain/(Loss)
CENTRALLY
CLEARED
SWAPS
(0.1)%
Zero-Coupon
Inflation
Swaps
(0.1)%
5
Year
Zero-Coupon
Inflation
Swap
Receive
Fixed
2.978%
at
Maturity,
Pay
Variable
(Change
in
CPI)
at
Maturity,
12/2/26
59,000
(1,758)
—
(
1,758
)
5
Year
Zero-Coupon
Inflation
Swap
Receive
Fixed
3.080%
at
Maturity,
Pay
Variable
(Change
in
CPI)
at
Maturity,
11/30/26
5,700
(142)
—
(
142
)
5
Year
Zero-Coupon
Inflation
Swap
Receive
Fixed
3.295%
at
Maturity,
Pay
Variable
(Change
in
CPI)
at
Maturity,
11/17/26
30,200
(421)
1
(
422
)
10
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.723%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
12/2/31
28,500
1,058
—
1,058
10
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.769%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
11/30/31
5,700
186
—
186
10
Year
Zero-Coupon
Inflation
Swap
Pay
Fixed
2.947%
at
Maturity,
Receive
Variable
(Change
in
CPI)
at
Maturity,
11/17/31
11,400
154
—
154
Total
Centrally
Cleared
Zero-Coupon
Inflation
Swaps
(
924
)
Total
Centrally
Cleared
Swaps
(
924
)
Net
payments
(receipts)
of
variation
margin
to
date
1,021
Variation
margin
receivable
(payable)
on
centrally
cleared
swaps
$
97
T.
ROWE
PRICE
GNMA
Fund
7
FUTURES
CONTRACTS
($000s)
Expiration
Date
Notional
Amount
Value
and
Unrealized
Gain
(Loss)
Short,
94
U.S.
Treasury
Notes
ten
year
contracts
6/22
(13,285)
$
(
118
)
Long,
608
U.S.
Treasury
Notes
two
year
contracts
6/22
130,858
218
Short,
182
Ultra
U.S.
Treasury
Bonds
contracts
6/22
(33,841)
(
351
)
Net
payments
(receipts)
of
variation
margin
to
date
(
185
)
Variation
margin
receivable
(payable)
on
open
futures
contracts
$
(
436
)
T.
ROWE
PRICE
GNMA
Fund
8
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
nine
months
ended
February
28,
2022.
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,
0.12%
$
—
#
$
—
$
49
+
Supplementary
Investment
Schedule
Affiliate
Value
05/31/21
Purchase
Cost
Sales
Cost
Value
02/28/22
T.
Rowe
Price
Government
Reserve
Fund,
0.12%
$
56,249
¤
¤
$
18,833
^
#
Capital
gain
distributions
from
mutual
funds
represented
$0
of
the
net
realized
gain
(loss).
+
Investment
income
comprised
$49
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
$18,833.
T.
ROWE
PRICE
GNMA
Fund
Unaudited
Notes
to
Portfolio
of
Investments
9
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
T.
Rowe
Price
Valuation
Committee
(the
Valuation
Committee)
is
an
internal
committee
that
has
been
delegated
certain
responsibilities
by
the
fund’s
Board
of
Directors
(the
Board)
to
ensure
that
financial
instruments
are
appropriately
priced
at
fair
value
in
accordance
with
GAAP
and
the
1940
Act.
Subject
to
oversight
by
the
Board,
the
Valuation
Committee
develops
and
oversees
pricing-related
policies
and
procedures
and
approves
all
fair
value
determinations.
Specifically,
the
Valuation
Committee
establishes
policies
and
procedures
used
in
valuing
financial
instruments,
including
those
which
cannot
be
valued
in
accordance
with
normal
procedures
or
using
pricing
vendors;
determines
pricing
techniques,
sources,
and
persons
eligible
to
effect
fair
value
pricing
actions;
evaluates
the
services
and
performance
of
the
pricing
vendors;
oversees
the
pricing
process
to
ensure
policies
and
procedures
are
being
followed;
and
provides
guidance
on
internal
controls
and
valuation-related
matters.
The
Valuation
Committee
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
10
Level
3
–
unobservable
inputs
(including
the fund’s
own
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
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.
Swaps
are
valued
at
prices
furnished
by
an
independent
pricing
service
or
independent
swap
dealers.
Investments
for
which
market
quotations
or
market-based
valuations
are
not
readily
available
or
deemed
unreliable
are
valued
at
fair
value
as
determined
in
good
faith
by
the
Valuation
Committee,
in
accordance
with
fair
valuation
policies
and
procedures.
The
objective
of
any
fair
value
pricing
determination
is
to
arrive
at
a
price
that
could
reasonably
be
expected
from
a
current
sale.
Financial
instruments
fair
valued
by
the
Valuation
Committee
are
primarily
private
placements,
restricted
securities,
warrants,
rights,
and
other
securities
that
are
not
publicly
traded.
Factors
used
in
determining
fair
value
vary
by
type
of
investment
and
may
include
market
or
investment
specific
considerations.
The
Valuation
Committee
typically
will
afford
greatest
weight
to
actual
prices
in
arm’s
length
transactions,
to
the
extent
they
represent
orderly
transactions
between
market
participants,
transaction
information
can
be
reliably
obtained,
and
prices
are
deemed
representative
of
fair
value.
However,
the
Valuation
Committee
may
also
consider
other
valuation
methods
such
as
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
T.
ROWE
PRICE
GNMA
Fund
11
determinations
are
reviewed
on
a
regular
basis
and
updated
as
information
becomes
available,
including
actual
purchase
and
sale
transactions
of
the
investment.
Because
any
fair
value
determination
involves
a
significant
amount
of
judgment,
there
is
a
degree
of
subjectivity
inherent
in
such
pricing
decisions,
and
fair
value
prices
determined
by
the
Valuation
Committee
could
differ
from
those
of
other
market
participants.
Valuation
Inputs
The
following
table
summarizes
the
fund’s
financial
instruments,
based
on
the
inputs
used
to
determine
their
fair
values
on
February
28,
2022
(for
further
detail
by
category,
please
refer
to
the
accompanying
Portfolio
of
Investments):
OTHER
MATTERS
Unpredictable
events
such
as
environmental
or
natural
disasters,
war,
terrorism,
pandemics,
outbreaks
of
infectious
diseases,
and
similar
public
health
threats
may
significantly
affect
the
economy
and
the
markets
and
issuers
in
which
a
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
($000s)
Level
1
Level
2
Level
3
Total
Value
Assets
Fixed
Income
Securities
1
$
—
$
1,418,975
$
—
$
1,418,975
Short-Term
Investments
18,833
—
—
18,833
Total
Securities
18,833
1,418,975
—
1,437,808
Swaps*
—
1,398
—
1,398
Futures
Contracts*
218
—
—
218
Total
$
19,051
$
1,420,373
$
—
$
1,439,424
Liabilities
TBA
Sales
Commitments
$
—
$
90,373
$
—
$
90,373
Swaps*
—
2,322
—
2,322
Futures
Contracts*
469
—
—
469
Total
$
469
$
92,695
$
—
$
93,164
1
Includes
Non-U.S.
Government
Mortgage-Backed
Securities,
U.S.
Government
&
Agency
Mortgage-Backed
Securities
and
U.S.
Government
Agency
Obligations
(Excluding
Mortgage-Backed).
*
The
fair
value
presented
includes
cumulative
gain
(loss)
on
open
futures
contracts
and
centrally
cleared
swaps;
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
12
other
pre-existing
political,
social,
and
economic
risks.
Since
2020,
a
novel
strain
of
coronavirus
(COVID-19)
has
resulted
in
disruptions
to
global
business
activity
and
caused
significant
volatility
and
declines
in
global
financial
markets.
In
February
2022,
Russian
forces
entered
Ukraine
and
commenced
an
armed
conflict.
Economic
sanctions
have
since
been
imposed
on
Russia
and
certain
of
its
citizens,
including
the
exclusion
of
Russia
from
the
SWIFT
global
payments
network.
As
a
result,
Russia’s
central
bank
closed
the
country’s
stock
market
on
February
28,
2022,
and
Russian-related
stocks
and
debt
have
since
suffered
significant
declines
in
value.
The
duration
of
the
coronavirus
outbreak
and
the
Russian-Ukraine
conflict,
and
their
effects
on
the
financial
markets,
cannot
be
determined
with
certainty.
The fund’s
performance
could
be
negatively
impacted
if
the
value
of
a
portfolio
holding
were
harmed
by
these
and
such
other
events.
Management
is
actively
monitoring
these
events.
F70-054Q3
02/22