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T. Rowe Price New Income Fund (PRCIX) NPORT-PT. Rowe Price New Income Fund, Inc. (Aug 2023 report)

Filed: 27 Oct 23, 10:10am

T.

ROWE

PRICE

New

Income

Fund

August

31,

2023

(Unaudited)

1

Portfolio

of

Investments

‡

Par/Shares

$

Value

(Amounts

in

000s)

‡

ASSET-BACKED

SECURITIES

4.7%

Car

Loan

1.7%

AmeriCredit

Automobile

Receivables

Trust

Series

2021-1,

Class

C

0.89%,

10/19/26

10,299‌

9,615‌

AmeriCredit

Automobile

Receivables

Trust

Series

2021-1,

Class

D

1.21%,

12/18/26

10,301‌

9,416‌

AmeriCredit

Automobile

Receivables

Trust

Series

2022-1,

Class

D

3.23%,

2/18/28

36,840‌

33,841‌

AmeriCredit

Automobile

Receivables

Trust

Series

2023-1,

Class

C

5.80%,

12/18/28

10,995‌

10,925‌

CarMax

Auto

Owner

Trust

Series

2022-1,

Class

C

2.20%,

11/15/27

11,750‌

10,765‌

CarMax

Auto

Owner

Trust

Series

2023-3,

Class

B

5.47%,

2/15/29

8,750‌

8,724‌

Carvana

Auto

Receivables

Trust

Series

2022-N1,

Class

C

3.32%,

12/11/28 (1)

4,561‌

4,433‌

Carvana

Auto

Receivables

Trust

Series

2022-P1,

Class

C

3.30%,

4/10/28

13,955‌

12,541‌

Exeter

Automobile

Receivables

Trust

Series

2021-2A,

Class

D

1.40%,

4/15/27

8,374‌

7,764‌

Exeter

Automobile

Receivables

Trust

Series

2022-1A,

Class

D

3.02%,

6/15/28

35,405‌

32,964‌

Exeter

Automobile

Receivables

Trust

Series

2022-2A,

Class

C

3.85%,

7/17/28

17,900‌

17,371‌

Exeter

Automobile

Receivables

Trust

Series

2022-3A,

Class

C

5.30%,

9/15/27

19,445‌

19,046‌

Exeter

Automobile

Receivables

Trust

Series

2023-1A,

Class

D

6.69%,

6/15/29

3,250‌

3,251‌

Ford

Credit

Auto

Owner

Trust

Series

2023-1,

Class

A

4.85%,

8/15/35 (1)

33,720‌

33,239‌

GM

Financial

Automobile

Leasing

Trust

Series

2023-1,

Class

C

5.76%,

1/20/27

6,550‌

6,464‌

T.

ROWE

PRICE

New

Income

Fund

2

Par/Shares

$

Value

(Amounts

in

000s)

Santander

Bank

Series

2021-1A,

Class

B

1.833%,

12/15/31 (1)

2,501‌

2,433‌

Santander

Drive

Auto

Receivables

Trust

Series

2022-2,

Class

C

3.76%,

7/16/29

17,240‌

16,499‌

Santander

Retail

Auto

Lease

Trust

Series

2021-A,

Class

D

1.38%,

3/22/27 (1)

23,480‌

22,655‌

261,946‌

Credit

Card

0.0%

Synchrony

Card

Funding

Series

2023-A1,

Class

A

5.54%,

7/15/29

6,345‌

6,374‌

6,374‌

Other

Asset-Backed

Securities

2.7%

522

Funding

Series

2019-5A,

Class

BR,

CLO,

FRN

3M

TSFR

+

1.85%,

7.158%,

4/15/35 (1)

16,085‌

15,723‌

AGL

Series

2022-17A,

Class

A,

CLO,

FRN

3M

TSFR

+

1.33%,

6.664%,

1/21/35 (1)

22,400‌

22,206‌

Applebee's

Funding

Series

2023-1A,

Class

A2

7.824%,

3/5/53 (1)

15,945‌

15,828‌

Carlyle

U.S.

Series

2019-4A,

Class

A11R,

CLO,

FRN

3M

TSFR

+

1.32%,

6.628%,

4/15/35 (1)

29,195‌

28,818‌

Cedar

Funding

XIV

Series

2021-14A,

Class

A,

CLO,

FRN

3M

TSFR

+

1.362%,

6.67%,

7/15/33 (1)

9,385‌

9,338‌

CIFC

Funding

Series

2021-3A,

Class

A,

CLO,

FRN

3M

TSFR

+

1.402%,

6.71%,

7/15/36 (1)

30,055‌

29,860‌

Driven

Brands

Funding

Series

2021-1A,

Class

A2

2.791%,

10/20/51 (1)

14,128‌

11,721‌

Dryden

Series

2020-86A,

Class

A1R,

CLO,

FRN

3M

TSFR

+

1.362%,

6.67%,

7/17/34 (1)

21,235‌

21,002‌

Hardee's

Funding

Series

2018-1A,

Class

A2II

4.959%,

6/20/48 (1)

27,513‌

25,878‌

Hilton

Grand

Vacations

Trust

Series

2023-1A,

Class

A

5.72%,

1/25/38 (1)

23,680‌

23,710‌

T.

ROWE

PRICE

New

Income

Fund

3

Par/Shares

$

Value

(Amounts

in

000s)

Hpefs

Equipment

Trust

Series

2022-2A,

Class

C

4.43%,

9/20/29 (1)

4,445‌

4,305‌

HPEFS

Equipment

Trust

Series

2022-1A,

Class

C

1.96%,

5/21/29 (1)

5,736‌

5,465‌

HPEFS

Equipment

Trust

Series

2022-1A,

Class

D

2.40%,

11/20/29 (1)

12,510‌

11,684‌

HPS

Loan

Management

Series

2021-16A,

Class

A1,

CLO,

FRN

3M

TSFR

+

1.402%,

6.747%,

1/23/35 (1)

11,822‌

11,674‌

Kubota

Credit

Owner

Trust

Series

2023-1A,

Class

A4

5.07%,

2/15/29 (1)

5,255‌

5,205‌

MVW

Series

2023-1A,

Class

A

4.93%,

10/20/40 (1)

27,343‌

26,728‌

Neuberger

Berman

Loan

Advisers

Series

2019-32A,

Class

AR,

CLO,

FRN

3M

TSFR

+

1.252%,

6.572%,

1/20/32 (1)

49,995‌

49,624‌

Neuberger

Berman

Loan

Advisers

Series

2021-43A,

Class

A,

CLO,

FRN

3M

TSFR

+

1.392%,

6.70%,

7/17/35 (1)

15,105‌

14,974‌

Octane

Receivables

Trust

Series

2023-1A,

Class

A

5.87%,

5/21/29 (1)

4,866‌

4,848‌

OZLM

VII

Series

2014-7RA,

Class

A1R,

CLO,

FRN

3M

TSFR

+

1.272%,

6.58%,

7/17/29 (1)

14,695‌

14,672‌

Palmer

Square

Series

2022-1A,

Class

A,

CLO,

FRN

3M

TSFR

+

1.32%,

6.646%,

4/20/35 (1)

40,630‌

40,220‌

Sierra

Timeshare

Receivables

Funding

Series

2022-3A,

Class

B

6.32%,

7/20/39 (1)

2,227‌

2,208‌

Symphony

XXXI

Series

2022-31A,

Class

B,

CLO,

FRN

3M

TSFR

+

1.85%,

7.196%,

4/22/35 (1)

14,150‌

13,884‌

Verizon

Master

Trust

Series

2023-1,

Class

C

4.98%,

1/22/29

9,270‌

9,049‌

418,624‌

Student

Loan

0.3%

Navient

Private

Education

Loan

Trust

Series

2017-A,

Class

B

3.91%,

12/16/58 (1)

8,525‌

8,153‌

T.

ROWE

PRICE

New

Income

Fund

4

Par/Shares

$

Value

(Amounts

in

000s)

Navient

Private

Education

Refi

Loan

Trust

Series

2020-CA,

Class

B

2.83%,

11/15/68 (1)

20,755‌

17,008‌

SMB

Private

Education

Loan

Trust

Series

2018-C,

Class

A2A

3.63%,

11/15/35 (1)

6,181‌

5,910‌

SMB

Private

Education

Loan

Trust

Series

2021-A,

Class

APT1

1.07%,

1/15/53 (1)

15,224‌

13,119‌

44,190‌

Total

Asset-Backed

Securities

(Cost

$758,867)

731,134‌

BANK

LOANS

1.2%

(2)

FINANCIAL

INSTITUTIONS

0.5%

Brokerage

Asset

Managers

Exchanges

0.3%

Citadel

Securities,

FRN

1M

TSFR

+

2.50%,

7.946%,

7/29/30

45,775‌

45,546‌

45,546‌

Insurance

0.2%

Asurion,

FRN

1M

TSFR

+

3.25%,

8.788%,

12/23/26

3,492‌

3,392‌

Asurion,

FRN

1M

TSFR

+

4.25%,

9.681%,

8/19/28

8,501‌

8,199‌

Asurion,

FRN

1M

TSFR

+

5.25%,

10.696%,

1/31/28

7,435‌

6,638‌

Asurion,

FRN

1M

TSFR

+

5.25%,

10.696%,

1/20/29

3,580‌

3,130‌

HUB

International,

FRN

1M

TSFR

+

4.25%,

9.584%,

6/20/30

14,930‌

14,971‌

HUB

International,

FRN

3M

TSFR

+

4.00%,

9.365%,

11/10/29

701‌

702‌

37,032‌

Total

Financial

Institutions

82,578‌

INDUSTRIAL

0.7%

Aerospace/Defense

0.0%

TransDigm,

FRN

1M

TSFR

+

3.25%,

8.492%,

2/22/27

90‌

90‌

90‌

Airlines

0.0%

Mileage

Plus

Holdings,

FRN

3M

TSFR

+

5.25%,

10.764%,

6/21/27

2,251‌

2,345‌

2,345‌

T.

ROWE

PRICE

New

Income

Fund

5

Par/Shares

$

Value

(Amounts

in

000s)

Capital

Goods

0.1%

Charter

Next

Generation,

FRN

1M

TSFR

+

3.75%,

9.196%,

12/1/27

8,565‌

8,499‌

8,499‌

Communications

0.1%

Lamar

Media,

FRN

1M

TSFR

+

1.50%,

6.92%,

2/5/27

14,435‌

14,204‌

14,204‌

Consumer

Cyclical

0.1%

Delta

2,

FRN

1M

TSFR

+

3.00%,

8.331%,

1/15/30

8,755‌

8,777‌

UFC

Holdings,

FRN

1M

TSFR

+

2.75%,

8.369%,

4/29/26

11,179‌

11,176‌

19,953‌

Health

Care

0.0%

Medline

Borrower,

FRN

1M

TSFR

+

3.25%,

10/23/28 (3)

3,071‌

3,068‌

PetVet

Care

Centers,

FRN

1M

TSFR

+

5.00%,

10.431%,

2/14/25

4,096‌

4,084‌

7,152‌

Technology

0.4%

Applied

Systems,

FRN

3M

TSFR

+

4.50%,

9.742%,

9/18/26

21,840‌

21,912‌

Ascend

Learning,

FRN

1M

TSFR

+

3.50%,

8.931%,

12/11/28

6,070‌

5,829‌

AthenaHealth

Group,

FRN

1M

TSFR

+

3.50%,

8.82%,

2/15/29

5,029‌

4,964‌

Epicor

Software,

FRN

1M

TSFR

+

3.75%,

7/31/27 (3)

530‌

530‌

Gen

Digital,

FRN

1M

TSFR

+

1.50%,

6.931%,

9/10/27

4,661‌

4,599‌

UKG,

FRN

3M

TSFR

+

3.25%,

8.618%,

5/4/26

15,866‌

15,848‌

UKG,

FRN

3M

TSFR

+

5.25%,

10.618%,

5/3/27

5,525‌

5,487‌

59,169‌

Total

Industrial

111,412‌

Total

Bank

Loans

(Cost

$193,856)

193,990‌

T.

ROWE

PRICE

New

Income

Fund

6

Par/Shares

$

Value

(Amounts

in

000s)

BOND

MUTUAL

FUNDS

0.0%

Trusts

&

Mutual

Funds

0.0%

T.

Rowe

Price

Institutional

Floating

Rate

Fund

-

Z

Class,

9.53% (4)(5)

32‌

298‌

Total

Bond

Mutual

Funds

(Cost

$278)

298‌

CORPORATE

BONDS

22.8%

FINANCIAL

INSTITUTIONS

12.2%

Banking

8.3%

Ally

Financial,

4.75%,

6/9/27 (6)

23,765‌

22,206‌

Banca

Transilvania,

VR,

8.875%,

4/27/27

(EUR) (7)

12,795‌

14,443‌

Banco

Bilbao

Vizcaya

Argentaria,

VR,

5.862%,

9/14/26 (7)

16,200‌

16,071‌

Banco

Santander,

6.921%,

8/8/33 (6)

8,200‌

8,201‌

Bank

Leumi

Le-Israel,

VR,

3.275%,

1/29/31 (1)(7)

23,000‌

20,621‌

Bank

of

America,

4.45%,

3/3/26

11,908‌

11,553‌

Bank

of

America,

VR,

1.734%,

7/22/27 (7)

20,116‌

17,910‌

Bank

of

America,

VR,

1.898%,

7/23/31 (7)

70,021‌

55,137‌

Bank

of

America,

VR,

2.299%,

7/21/32 (7)

12,708‌

10,020‌

Bank

of

America,

VR,

2.496%,

2/13/31 (7)

22,900‌

19,051‌

Bank

of

America,

VR,

2.592%,

4/29/31 (7)

38,880‌

32,174‌

Bank

of

America,

VR,

3.419%,

12/20/28 (7)

22,458‌

20,576‌

Bank

of

America,

VR,

3.559%,

4/23/27 (7)

10,705‌

10,141‌

Bank

of

America,

VR,

4.271%,

7/23/29 (7)

37,939‌

35,672‌

Bank

of

Ireland

Group,

VR,

6.253%,

9/16/26 (1)(7)

4,030‌

4,023‌

Barclays,

VR,

6.224%,

5/9/34 (7)

11,650‌

11,471‌

CaixaBank,

VR,

6.208%,

1/18/29 (1)(7)

18,645‌

18,524‌

Capital

One

Financial,

3.65%,

5/11/27

11,559‌

10,747‌

Capital

One

Financial,

3.75%,

3/9/27

19,858‌

18,466‌

Capital

One

Financial,

VR,

3.273%,

3/1/30 (7)

9,245‌

7,900‌

Capital

One

Financial,

VR,

5.247%,

7/26/30 (7)

3,235‌

3,065‌

Capital

One

Financial,

VR,

5.817%,

2/1/34 (6)(7)

16,350‌

15,448‌

Citigroup,

VR,

2.561%,

5/1/32 (7)

10,298‌

8,289‌

Citigroup,

VR,

3.106%,

4/8/26 (7)

11,910‌

11,406‌

Citigroup,

VR,

5.61%,

9/29/26 (7)

21,672‌

21,570‌

Citigroup,

VR,

6.174%,

5/25/34 (7)

13,325‌

13,313‌

Citigroup,

Series

VAR,

VR,

3.07%,

2/24/28 (6)(7)

20,140‌

18,402‌

Credit

Suisse,

1.25%,

8/7/26

9,630‌

8,439‌

Danske

Bank,

VR,

3.244%,

12/20/25 (1)(7)

21,957‌

21,030‌

Danske

Bank,

VR,

3.773%,

3/28/25 (1)(7)

12,760‌

12,515‌

Fifth

Third

Bancorp,

2.375%,

1/28/25

3,260‌

3,102‌

Fifth

Third

Bancorp,

2.55%,

5/5/27

1,950‌

1,752‌

Fifth

Third

Bancorp,

VR,

4.772%,

7/28/30 (6)(7)

3,235‌

3,027‌

Fifth

Third

Bancorp,

VR,

6.339%,

7/27/29 (7)

8,785‌

8,853‌

T.

ROWE

PRICE

New

Income

Fund

7

Par/Shares

$

Value

(Amounts

in

000s)

Fifth

Third

Bancorp,

VR,

6.361%,

10/27/28 (7)

2,780‌

2,803‌

Fifth

Third

Bank,

2.25%,

2/1/27 (6)

830‌

733‌

Fifth

Third

Bank,

3.85%,

3/15/26

2,345‌

2,184‌

Fifth

Third

Bank,

3.95%,

7/28/25

1,630‌

1,576‌

Fifth

Third

Bank,

VR,

5.852%,

10/27/25 (7)

5,950‌

5,863‌

Goldman

Sachs

Group,

3.50%,

11/16/26

6,050‌

5,680‌

Goldman

Sachs

Group,

VR,

1.542%,

9/10/27 (7)

31,264‌

27,614‌

Goldman

Sachs

Group,

VR,

2.383%,

7/21/32 (7)

17,287‌

13,663‌

Goldman

Sachs

Group,

VR,

3.615%,

3/15/28 (6)(7)

19,610‌

18,334‌

Goldman

Sachs

Group,

VR,

4.482%,

8/23/28 (7)

22,105‌

21,178‌

HSBC

Holdings,

VR,

4.755%,

6/9/28 (7)

31,555‌

30,252‌

HSBC

Holdings,

VR,

5.21%,

8/11/28 (7)

16,945‌

16,530‌

HSBC

Holdings,

VR,

6.254%,

3/9/34 (7)

26,500‌

26,815‌

Huntington

National

Bank,

VR,

5.699%,

11/18/25 (7)

3,130‌

3,074‌

Intesa

Sanpaolo,

6.625%,

6/20/33 (1)

15,475‌

15,301‌

JPMorgan

Chase,

VR,

1.578%,

4/22/27 (7)

26,203‌

23,524‌

JPMorgan

Chase,

VR,

1.764%,

11/19/31 (7)

41,300‌

32,234‌

JPMorgan

Chase,

VR,

2.182%,

6/1/28 (6)(7)

32,197‌

28,594‌

JPMorgan

Chase,

VR,

2.522%,

4/22/31 (7)

4,275‌

3,582‌

JPMorgan

Chase,

VR,

2.739%,

10/15/30 (7)

11,998‌

10,280‌

JPMorgan

Chase,

VR,

2.956%,

5/13/31 (7)

33,858‌

28,822‌

KBC

Group,

VR,

5.796%,

1/19/29 (1)(7)

23,420‌

23,115‌

Morgan

Stanley,

VR,

1.512%,

7/20/27 (7)

21,500‌

19,012‌

Morgan

Stanley,

VR,

1.593%,

5/4/27 (7)

13,695‌

12,294‌

Morgan

Stanley,

VR,

5.123%,

2/1/29 (7)

24,810‌

24,319‌

Nationwide

Building

Society,

VR,

2.972%,

2/16/28 (1)(7)

8,705‌

7,837‌

Nordea

Bank,

5.375%,

9/22/27 (1)(6)

12,665‌

12,537‌

PNC

Financial

Services

Group,

2.55%,

1/22/30

3,650‌

3,057‌

PNC

Financial

Services

Group,

VR,

6.037%,

10/28/33 (7)

17,380‌

17,582‌

Santander

Holdings

USA,

VR,

2.49%,

1/6/28 (7)

5,895‌

5,176‌

Santander

Holdings

USA,

VR,

6.499%,

3/9/29 (7)

3,735‌

3,708‌

Santander

UK

Group

Holdings,

VR,

1.532%,

8/21/26 (7)

48,133‌

43,688‌

Standard

Chartered,

VR,

1.456%,

1/14/27 (1)(7)

10,354‌

9,275‌

Standard

Chartered,

VR,

2.608%,

1/12/28 (1)(7)

17,245‌

15,380‌

Standard

Chartered,

VR,

2.819%,

1/30/26 (1)(7)

16,707‌

15,894‌

Standard

Chartered,

VR,

3.971%,

3/30/26 (1)(7)

10,485‌

10,138‌

Standard

Chartered,

VR,

4.644%,

4/1/31 (1)(6)(7)

10,801‌

9,954‌

Truist

Financial,

VR,

4.123%,

6/6/28 (6)(7)

19,620‌

18,539‌

UBS

Group,

3.75%,

3/26/25

1,285‌

1,240‌

UBS

Group,

4.55%,

4/17/26

3,670‌

3,553‌

UBS

Group,

VR,

1.305%,

2/2/27 (1)(7)

15,710‌

13,930‌

UBS

Group,

VR,

1.364%,

1/30/27 (1)(7)

14,633‌

13,081‌

UBS

Group,

VR,

2.193%,

6/5/26 (1)(7)

14,635‌

13,601‌

UBS

Group,

VR,

2.746%,

2/11/33 (1)(7)

7,079‌

5,548‌

UBS

Group,

VR,

4.751%,

5/12/28 (1)(7)

4,085‌

3,908‌

UBS

Group,

VR,

5.711%,

1/12/27 (1)(6)(7)

4,035‌

4,020‌

T.

ROWE

PRICE

New

Income

Fund

8

Par/Shares

$

Value

(Amounts

in

000s)

UBS

Group,

VR,

5.959%,

1/12/34 (1)(7)

12,525‌

12,579‌

Wells

Fargo,

4.30%,

7/22/27

11,645‌

11,153‌

Wells

Fargo,

VR,

2.393%,

6/2/28 (7)

31,245‌

27,802‌

Wells

Fargo,

VR,

2.572%,

2/11/31 (7)

52,585‌

43,886‌

Wells

Fargo,

VR,

2.879%,

10/30/30 (6)(7)

53,562‌

45,884‌

Wells

Fargo,

VR,

4.478%,

4/4/31 (7)

15,936‌

14,917‌

1,300,361‌

Brokerage

Asset

Managers

Exchanges

0.5%

Intercontinental

Exchange,

4.35%,

6/15/29

17,650‌

16,915‌

LSEGA

Financing,

2.00%,

4/6/28 (1)

41,724‌

35,921‌

LSEGA

Financing,

2.50%,

4/6/31 (1)

14,998‌

12,396‌

LSEGA

Financing,

3.20%,

4/6/41 (1)

6,705‌

4,923‌

Nasdaq,

6.10%,

6/28/63

4,575‌

4,524‌

74,679‌

Finance

Companies

0.4%

AerCap

Ireland

Capital,

2.45%,

10/29/26 (6)

18,080‌

16,266‌

AerCap

Ireland

Capital,

4.875%,

1/16/24

29,186‌

29,041‌

Navient,

9.375%,

7/25/30

4,375‌

4,386‌

OneMain

Finance,

7.125%,

3/15/26

3,450‌

3,390‌

OneMain

Finance,

9.00%,

1/15/29 (6)

4,720‌

4,785‌

57,868‌

Financial

Other

0.0%

Howard

Hughes,

5.375%,

8/1/28 (1)

4,795‌

4,339‌

4,339‌

Insurance

2.1%

Alliant

Holdings

Intermediate,

6.75%,

4/15/28 (1)

11,570‌

11,368‌

AmWINS

Group,

4.875%,

6/30/29 (1)

5,245‌

4,701‌

Aon,

2.80%,

5/15/30 (6)

3,635‌

3,125‌

Berkshire

Hathaway

Finance,

2.50%,

1/15/51

21,995‌

13,646‌

Berkshire

Hathaway

Finance,

2.85%,

10/15/50

7,005‌

4,674‌

Berkshire

Hathaway

Finance,

3.85%,

3/15/52

6,960‌

5,535‌

Centene,

2.50%,

3/1/31

22,480‌

17,929‌

Centene,

3.00%,

10/15/30

8,035‌

6,719‌

Centene,

3.375%,

2/15/30

9,155‌

7,828‌

Centene,

4.625%,

12/15/29

24,625‌

22,624‌

CNO

Financial

Group,

5.25%,

5/30/25

9,438‌

9,214‌

Corebridge

Financial,

3.90%,

4/5/32

3,540‌

3,082‌

Elevance

Health,

5.125%,

2/15/53

8,085‌

7,588‌

Equitable

Holdings,

4.35%,

4/20/28 (6)

36,732‌

34,734‌

HUB

International,

7.25%,

6/15/30 (1)(6)

10,810‌

10,999‌

Humana,

3.95%,

3/15/27

6,075‌

5,834‌

Humana,

4.875%,

4/1/30

15,220‌

14,762‌

Humana,

5.50%,

3/15/53

26,830‌

25,947‌

Jones

Deslauriers

Insurance

Management,

8.50%,

3/15/30 (1)

5,350‌

5,457‌

Marsh

&

McLennan,

2.25%,

11/15/30

8,918‌

7,360‌

T.

ROWE

PRICE

New

Income

Fund

9

Par/Shares

$

Value

(Amounts

in

000s)

Metropolitan

Life

Global

Funding

I,

5.15%,

3/28/33 (1)

9,035‌

8,789‌

Molina

Healthcare,

4.375%,

6/15/28 (1)(6)

2,820‌

2,584‌

UnitedHealth

Group,

4.50%,

4/15/33

15,605‌

15,028‌

UnitedHealth

Group,

5.05%,

4/15/53 (6)

46,920‌

44,631‌

UnitedHealth

Group,

5.875%,

2/15/53

27,690‌

29,644‌

323,802‌

Real

Estate

Investment

Trusts

0.9%

Alexandria

Real

Estate

Equities,

3.95%,

1/15/27

25,607‌

24,200‌

Brixmor

Operating

Partnership,

3.90%,

3/15/27

30,217‌

27,992‌

Brixmor

Operating

Partnership,

4.05%,

7/1/30

3,745‌

3,383‌

Brixmor

Operating

Partnership,

4.125%,

6/15/26

55,609‌

52,635‌

Essex

Portfolio,

1.65%,

1/15/31

10,099‌

7,634‌

Essex

Portfolio,

3.625%,

5/1/27 (6)

5,006‌

4,663‌

Public

Storage

Operating,

5.35%,

8/1/53 (6)

3,690‌

3,593‌

Realty

Income,

3.95%,

8/15/27

10,020‌

9,520‌

Regency

Centers,

4.125%,

3/15/28

9,817‌

9,178‌

142,798‌

Total

Financial

Institutions

1,903,847‌

INDUSTRIAL

8.8%

Basic

Industry

0.2%

Celanese

U.S.

Holdings,

6.05%,

3/15/25

2,408‌

2,410‌

Celanese

U.S.

Holdings,

6.35%,

11/15/28

6,940‌

6,961‌

Celulosa

Arauco

y

Constitucion,

3.875%,

11/2/27

13,972‌

12,828‌

Methanex,

5.125%,

10/15/27

4,980‌

4,669‌

Westlake,

1.625%,

7/17/29

(EUR)

11,421‌

10,457‌

37,325‌

Capital

Goods

0.2%

Ardagh

Metal

Packaging

Finance

USA,

6.00%,

6/15/27 (1)

3,875‌

3,768‌

Ball,

6.875%,

3/15/28 (6)

3,015‌

3,060‌

Boeing,

5.805%,

5/1/50

2,195‌

2,139‌

Emerald

Debt

Merger

Sub,

6.625%,

12/15/30 (1)

4,775‌

4,691‌

Ritchie

Bros

Holdings,

6.75%,

3/15/28 (1)

755‌

762‌

Ritchie

Bros

Holdings,

7.75%,

3/15/31 (1)

510‌

526‌

Sealed

Air,

5.00%,

4/15/29 (1)(6)

3,050‌

2,825‌

Sealed

Air,

6.125%,

2/1/28 (1)

745‌

729‌

TransDigm,

6.75%,

8/15/28 (1)

3,100‌

3,112‌

TransDigm,

6.875%,

12/15/30 (1)

1,960‌

1,975‌

23,587‌

Communications

2.2%

Altice

France,

5.50%,

1/15/28 (1)

6,485‌

4,815‌

AT&T,

3.50%,

9/15/53

42,025‌

27,549‌

CCO

Holdings,

6.375%,

9/1/29 (1)(6)

8,250‌

7,817‌

CCO

Holdings,

7.375%,

3/1/31 (1)

940‌

933‌

Charter

Communications

Operating,

5.125%,

7/1/49

7,698‌

5,903‌

Charter

Communications

Operating,

6.484%,

10/23/45

5,555‌

5,093‌

T.

ROWE

PRICE

New

Income

Fund

10

Par/Shares

$

Value

(Amounts

in

000s)

Comcast,

3.25%,

11/1/39

22,623‌

17,414‌

Crown

Castle

Towers,

3.663%,

5/15/25 (1)

50,986‌

48,447‌

DISH

Network,

11.75%,

11/15/27 (1)

3,210‌

3,258‌

Lamar

Media,

4.875%,

1/15/29

3,080‌

2,872‌

Meta

Platforms,

5.60%,

5/15/53 (6)

25,215‌

25,325‌

Netflix,

4.625%,

5/15/29

(EUR)

7,605‌

8,407‌

Rogers

Communications,

3.20%,

3/15/27

6,654‌

6,159‌

Rogers

Communications,

3.80%,

3/15/32

10,375‌

8,878‌

Rogers

Communications,

4.35%,

5/1/49

1,365‌

1,030‌

Rogers

Communications,

4.55%,

3/15/52

46,513‌

35,924‌

SBA

Tower

Trust,

1.84%,

4/15/27 (1)

21,685‌

18,663‌

SBA

Tower

Trust,

2.593%,

10/15/31 (1)

17,515‌

13,676‌

Sirius

XM

Radio,

4.00%,

7/15/28 (1)

4,295‌

3,704‌

Sprint

Capital,

6.875%,

11/15/28

2,675‌

2,822‌

Sprint

Capital,

8.75%,

3/15/32

12,865‌

15,325‌

T-Mobile

USA,

5.75%,

1/15/54

33,110‌

32,667‌

Verizon

Communications,

2.55%,

3/21/31

7,343‌

6,044‌

Verizon

Communications,

2.65%,

11/20/40

37,223‌

24,854‌

Warnermedia

Holdings,

3.755%,

3/15/27

20,840‌

19,532‌

347,111‌

Consumer

Cyclical

1.3%

Bath

&

Body

Works,

6.625%,

10/1/30 (1)

10,110‌

9,832‌

Caesars

Entertainment,

7.00%,

2/15/30 (1)

4,045‌

4,055‌

Carnival,

7.00%,

8/15/29 (1)

3,510‌

3,558‌

Carnival,

10.50%,

6/1/30 (1)(6)

9,445‌

10,047‌

CBRE

Services,

5.95%,

8/15/34

15,760‌

15,573‌

Churchill

Downs,

6.75%,

5/1/31 (1)

1,410‌

1,378‌

Clarios

Global,

6.75%,

5/15/28 (1)

5,298‌

5,285‌

Daimler

Truck

Finance

North

America,

5.125%,

1/19/28 (1)(6)

3,425‌

3,382‌

Ford

Motor,

6.10%,

8/19/32 (6)

4,255‌

4,027‌

Ford

Motor,

9.625%,

4/22/30

5,500‌

6,338‌

Ford

Motor

Credit,

4.95%,

5/28/27

3,520‌

3,301‌

Ford

Motor

Credit,

7.35%,

11/4/27

1,255‌

1,274‌

Ford

Motor

Credit,

7.35%,

3/6/30

2,780‌

2,822‌

GLP

Capital,

3.35%,

9/1/24

6,162‌

5,978‌

Goodyear

Tire

&

Rubber,

5.00%,

7/15/29 (6)

4,220‌

3,745‌

Hyundai

Capital

America,

5.50%,

3/30/26 (1)

5,220‌

5,187‌

Las

Vegas

Sands,

3.50%,

8/18/26

10,677‌

9,900‌

Life

Time,

5.75%,

1/15/26 (1)

4,810‌

4,678‌

Lowe's,

4.25%,

4/1/52

10,088‌

7,950‌

Lowe's,

5.625%,

4/15/53

5,880‌

5,707‌

Lowe's,

5.75%,

7/1/53

5,750‌

5,687‌

Marriott

International,

4.90%,

4/15/29 (6)

3,800‌

3,701‌

Marriott

International,

5.00%,

10/15/27

12,905‌

12,784‌

Match

Group

Holdings

II,

5.00%,

12/15/27 (1)

4,992‌

4,680‌

Nissan

Motor

Acceptance,

1.85%,

9/16/26 (1)

5,960‌

5,165‌

T.

ROWE

PRICE

New

Income

Fund

11

Par/Shares

$

Value

(Amounts

in

000s)

Rivian

Holdings,

FRN,

6M

USD

LIBOR

+

5.625%,

10.931%,

10/15/26 (1)

375‌

375‌

Ross

Stores,

1.875%,

4/15/31

20,720‌

16,240‌

Royal

Caribbean

Cruises,

8.25%,

1/15/29 (1)

7,470‌

7,788‌

Royal

Caribbean

Cruises,

11.625%,

8/15/27 (1)

1,490‌

1,620‌

Volkswagen

Group

of

America

Finance,

3.20%,

9/26/26 (1)

15,868‌

14,843‌

Volkswagen

Group

of

America

Finance,

4.75%,

11/13/28 (1)(6)

13,210‌

12,769‌

Yum!

Brands,

5.375%,

4/1/32

4,970‌

4,653‌

ZF

North

America

Capital,

6.875%,

4/14/28 (1)

505‌

503‌

ZF

North

America

Capital,

7.125%,

4/14/30 (1)

1,105‌

1,111‌

205,936‌

Consumer

Non-Cyclical

3.3%

AbbVie,

3.20%,

11/21/29

18,145‌

16,352‌

AbbVie,

4.05%,

11/21/39

12,709‌

10,916‌

AbbVie,

4.25%,

11/21/49

13,924‌

11,751‌

AbbVie,

4.70%,

5/14/45

27,592‌

24,701‌

AbbVie,

4.875%,

11/14/48

27,641‌

25,450‌

Anheuser-Busch

InBev

Worldwide,

4.50%,

6/1/50

18,140‌

16,128‌

Anheuser-Busch

InBev

Worldwide,

5.55%,

1/23/49

21,865‌

22,322‌

Avantor

Funding,

4.625%,

7/15/28 (1)

3,120‌

2,890‌

BAT

Capital,

7.079%,

8/2/43

7,980‌

7,900‌

BAT

Capital,

7.081%,

8/2/53

12,380‌

12,147‌

BAT

International

Finance,

1.668%,

3/25/26

9,605‌

8,695‌

Becton

Dickinson

&

Company,

2.823%,

5/20/30

10,263‌

8,871‌

Becton

Dickinson

&

Company,

3.70%,

6/6/27

16,274‌

15,412‌

Becton

Dickinson

&

Company,

4.669%,

6/6/47

20,995‌

18,547‌

Charles

River

Laboratories

International,

4.25%,

5/1/28 (1)

3,465‌

3,175‌

CSL

Finance,

4.05%,

4/27/29 (1)(6)

9,480‌

8,966‌

CVS

Health,

3.25%,

8/15/29

3,360‌

3,001‌

CVS

Health,

5.05%,

3/25/48 (6)

36,669‌

32,233‌

CVS

Health,

5.625%,

2/21/53

16,020‌

15,144‌

CVS

Health,

5.875%,

6/1/53

8,560‌

8,361‌

Darling

Ingredients,

6.00%,

6/15/30 (1)(6)

5,145‌

5,004‌

Hasbro,

3.55%,

11/19/26

5,680‌

5,335‌

HCA,

3.125%,

3/15/27

8,360‌

7,674‌

HCA,

3.375%,

3/15/29

9,695‌

8,610‌

HCA,

3.50%,

9/1/30

13,940‌

12,145‌

HCA,

5.375%,

9/1/26

6,529‌

6,480‌

HCA,

5.875%,

2/15/26 (6)

6,375‌

6,383‌

IQVIA,

6.50%,

5/15/30 (1)

435‌

438‌

Mars,

4.75%,

4/20/33 (1)

16,110‌

15,828‌

Mattel,

5.875%,

12/15/27 (1)

11,909‌

11,641‌

Merck,

5.00%,

5/17/53 (6)

10,660‌

10,403‌

Mondelez

International,

2.75%,

4/13/30

4,464‌

3,867‌

Pfizer

Investment

Enterprises,

4.75%,

5/19/33

10,395‌

10,231‌

Pfizer

Investment

Enterprises,

5.30%,

5/19/53

10,120‌

10,083‌

Pfizer

Investment

Enterprises,

5.34%,

5/19/63 (6)

16,125‌

15,877‌

T.

ROWE

PRICE

New

Income

Fund

12

Par/Shares

$

Value

(Amounts

in

000s)

Philip

Morris

International,

5.125%,

2/15/30 (6)

10,390‌

10,269‌

Revvity,

1.90%,

9/15/28

13,950‌

11,843‌

Revvity,

2.25%,

9/15/31

7,580‌

5,985‌

Revvity,

3.30%,

9/15/29

6,315‌

5,599‌

Reynolds

American,

4.45%,

6/12/25

4,944‌

4,839‌

Sutter

Health,

5.164%,

8/15/33

5,265‌

5,184‌

Sutter

Health,

5.547%,

8/15/53

4,675‌

4,739‌

Teva

Pharmaceutical

Finance

Netherlands

III,

7.875%,

9/15/29

460‌

478‌

Teva

Pharmaceutical

Finance

Netherlands

III,

8.125%,

9/15/31 (6)

3,100‌

3,286‌

Utah

Acquisition

Sub,

3.95%,

6/15/26

39,035‌

36,909‌

Utah

Acquisition

Sub,

5.25%,

6/15/46 (6)

1,628‌

1,288‌

Viatris,

3.85%,

6/22/40

12,713‌

8,871‌

Viatris,

4.00%,

6/22/50

8,020‌

5,277‌

507,528‌

Energy

1.3%

Boardwalk

Pipelines,

3.40%,

2/15/31

15,531‌

13,196‌

Boardwalk

Pipelines,

4.45%,

7/15/27

16,799‌

15,919‌

Boardwalk

Pipelines,

5.95%,

6/1/26

11,000‌

10,990‌

Cheniere

Corpus

Christi

Holdings,

5.125%,

6/30/27

6,741‌

6,657‌

Chesapeake

Energy,

6.75%,

4/15/29 (1)

3,660‌

3,623‌

Columbia

Pipelines

Holding,

6.042%,

8/15/28 (1)

10,855‌

10,944‌

Energy

Transfer,

2.90%,

5/15/25

8,447‌

8,030‌

Enterprise

Products

Operating,

3.20%,

2/15/52

10,729‌

7,202‌

Kinetik

Holdings,

5.875%,

6/15/30 (1)

2,861‌

2,757‌

NuStar

Logistics,

6.00%,

6/1/26

3,044‌

2,991‌

Occidental

Petroleum,

6.20%,

3/15/40

3,595‌

3,550‌

Occidental

Petroleum,

6.45%,

9/15/36

3,005‌

3,069‌

Occidental

Petroleum,

8.50%,

7/15/27 (6)

5,135‌

5,526‌

Occidental

Petroleum,

8.875%,

7/15/30

12,920‌

14,810‌

ONEOK,

5.80%,

11/1/30

6,105‌

6,099‌

ONEOK,

6.05%,

9/1/33

9,015‌

9,056‌

Pioneer

Natural

Resources,

5.10%,

3/29/26

5,715‌

5,671‌

Tallgrass

Energy

Partners,

7.50%,

10/1/25 (1)

1,290‌

1,290‌

Targa

Resources

Partners,

5.50%,

3/1/30

5,557‌

5,328‌

Targa

Resources

Partners,

6.875%,

1/15/29

3,817‌

3,860‌

Transcontinental

Gas

Pipe

Line,

4.60%,

3/15/48

2,806‌

2,321‌

Venture

Global

Calcasieu

Pass,

3.875%,

11/1/33 (1)

2,855‌

2,313‌

Venture

Global

Calcasieu

Pass,

6.25%,

1/15/30 (1)

4,440‌

4,312‌

Venture

Global

LNG,

8.125%,

6/1/28 (1)

7,730‌

7,788‌

Venture

Global

LNG,

8.375%,

6/1/31 (1)

20,960‌

21,091‌

Williams,

2.60%,

3/15/31

29,160‌

23,910‌

Williams,

3.75%,

6/15/27

7,096‌

6,670‌

208,973‌

Industrial

Other

0.0%

Booz

Allen

Hamilton,

5.95%,

8/4/33 (6)

7,040‌

7,093‌

7,093‌

T.

ROWE

PRICE

New

Income

Fund

13

Par/Shares

$

Value

(Amounts

in

000s)

Technology

0.2%

Central

Parent,

7.25%,

6/15/29 (1)

2,855‌

2,809‌

Central

Parent,

8.00%,

6/15/29 (1)

4,350‌

4,388‌

Equifax,

5.10%,

12/15/27

11,795‌

11,635‌

Gen

Digital,

7.125%,

9/30/30 (1)(6)

1,130‌

1,134‌

Micron

Technology,

6.75%,

11/1/29

7,780‌

8,081‌

Sensata

Technologies,

5.875%,

9/1/30 (1)

2,820‌

2,665‌

30,712‌

Transportation

0.1%

American

Airlines,

5.50%,

4/20/26 (1)

3,240‌

3,180‌

American

Airlines,

5.75%,

4/20/29 (1)

3,535‌

3,372‌

American

Airlines,

11.75%,

7/15/25 (1)

2,980‌

3,259‌

9,811‌

Total

Industrial

1,378,076‌

UTILITY

1.8%

Electric

1.7%

Baltimore

Gas

&

Electric,

5.40%,

6/1/53 (6)

7,660‌

7,560‌

Duke

Energy,

5.00%,

8/15/52

40,545‌

35,490‌

Duke

Energy

Indiana,

5.40%,

4/1/53

6,330‌

6,146‌

Edison

International,

4.95%,

4/15/25

1,306‌

1,285‌

EDP

Finance,

6.30%,

10/11/27 (1)

5,865‌

6,001‌

Enel

Finance

International,

1.875%,

7/12/28 (1)

18,162‌

15,336‌

Exelon,

5.60%,

3/15/53

12,290‌

11,790‌

Georgia

Power,

4.95%,

5/17/33

16,755‌

16,171‌

Indiana

Michigan

Power,

5.625%,

4/1/53

1,405‌

1,404‌

NextEra

Energy

Capital

Holdings,

2.44%,

1/15/32 (6)

15,015‌

11,993‌

NextEra

Energy

Capital

Holdings,

3.00%,

1/15/52 (6)

14,640‌

9,258‌

NextEra

Energy

Capital

Holdings,

5.00%,

7/15/32 (6)

3,010‌

2,896‌

NextEra

Energy

Capital

Holdings,

5.25%,

2/28/53

6,560‌

6,068‌

NextEra

Energy

Capital

Holdings,

5.749%,

9/1/25

10,875‌

10,894‌

NRG

Energy,

4.45%,

6/15/29 (1)(6)

9,592‌

8,513‌

Pacific

Gas

&

Electric,

2.10%,

8/1/27 (6)

10,318‌

8,919‌

Pacific

Gas

&

Electric,

2.50%,

2/1/31

20,828‌

16,207‌

Pacific

Gas

&

Electric,

3.95%,

12/1/47

10,551‌

6,981‌

Pacific

Gas

&

Electric,

4.55%,

7/1/30

13,652‌

12,250‌

Pacific

Gas

&

Electric,

6.70%,

4/1/53

5,525‌

5,345‌

Palomino

Funding

Trust

I,

7.233%,

5/17/28 (1)

14,825‌

14,965‌

Southern

California

Edison,

5.70%,

3/1/53

8,250‌

7,973‌

Southern

California

Edison,

Series

D,

4.70%,

6/1/27

12,650‌

12,416‌

Talen

Energy

Supply,

8.625%,

6/1/30 (1)

1,565‌

1,630‌

Vistra,

VR,

8.00% (1)(7)(8)

11,320‌

10,828‌

Vistra

Operations,

5.125%,

5/13/25 (1)

17,905‌

17,415‌

265,734‌

Natural

Gas

0.1%

Boston

Gas,

6.119%,

7/20/53 (1)

5,665‌

5,609‌

T.

ROWE

PRICE

New

Income

Fund

14

Par/Shares

$

Value

(Amounts

in

000s)

NiSource,

5.25%,

3/30/28

3,295‌

3,279‌

Sempra,

3.70%,

4/1/29

5,155‌

4,704‌

13,592‌

Total

Utility

279,326‌

Total

Corporate

Bonds

(Cost

$3,884,535)

3,561,249‌

FOREIGN

GOVERNMENT

OBLIGATIONS

&

MUNICIPALITIES

0.4%

Treasuries

0.4%

State

of

Israel,

Series

0347,

3.75%,

3/31/47

(ILS)

248,720‌

61,258‌

Total

Foreign

Government

Obligations

&

Municipalities

(Cost

$65,480)

61,258‌

NON-U.S.

GOVERNMENT

MORTGAGE-BACKED

SECURITIES

3.7%

Collateralized

Mortgage

Obligations

1.7%

Angel

Oak

Mortgage

Trust

Series

2021-3,

Class

A1,

CMO,

ARM

1.068%,

5/25/66 (1)

8,040‌

6,658‌

BINOM

Securitization

Trust

Series

2021-INV1,

Class

A1,

CMO,

ARM

2.034%,

6/25/56 (1)

9,717‌

8,279‌

Citigroup

Mortgage

Loan

Trust

Series

2022-INV1,

Class

A4B,

CMO,

ARM

3.00%,

11/27/51 (1)

7,616‌

5,989‌

Connecticut

Avenue

Securities

Series

2017-C06,

Class

2ED1,

CMO,

ARM

SOFR30A

+

1.114%,

6.402%,

2/25/30

267‌

267‌

Connecticut

Avenue

Securities

Series

2021-R03,

Class

1M2,

CMO,

ARM

SOFR30A

+

1.65%,

6.938%,

12/25/41 (1)

11,825‌

11,529‌

Connecticut

Avenue

Securities

Series

2022-R01,

Class

1M2,

CMO,

ARM

SOFR30A

+

1.90%,

7.188%,

12/25/41 (1)

19,620‌

19,252‌

Connecticut

Avenue

Securities

Trust

Series

2023-R01,

Class

1M1,

CMO,

ARM

SOFR30A

+

2.40%,

7.696%,

12/25/42 (1)

17,814‌

18,081‌

Connecticut

Avenue

Securities

Trust

Series

2023-R02,

Class

1M1,

CMO,

ARM

SOFR30A

+

2.30%,

7.588%,

1/25/43 (1)

19,972‌

20,222‌

Deephaven

Residential

Mortgage

Trust

Series

2021-2,

Class

A1,

CMO,

ARM

0.899%,

4/25/66 (1)

6,423‌

5,516‌

T.

ROWE

PRICE

New

Income

Fund

15

Par/Shares

$

Value

(Amounts

in

000s)

Flagstar

Mortgage

Trust

Series

2018-6RR,

Class

2A4,

CMO,

ARM

4.00%,

9/25/48 (1)

868‌

828‌

Flagstar

Mortgage

Trust

Series

2020-1INV,

Class

A11,

CMO,

ARM

1M

TSFR

+

0.964%,

6.00%,

3/25/50 (1)

3,721‌

3,445‌

Flagstar

Mortgage

Trust

Series

2021-5INV,

Class

A16,

CMO,

ARM

2.50%,

7/25/51 (1)

9,808‌

7,447‌

Flagstar

Mortgage

Trust

Series

2021-8INV,

Class

A18,

CMO,

ARM

2.50%,

9/25/51 (1)

8,984‌

6,821‌

FWD

Securitization

Trust

Series

2020-INV1,

Class

A3,

CMO,

ARM

2.44%,

1/25/50 (1)

1,170‌

1,048‌

Galton

Funding

Mortgage

Trust

Series

2018-1,

Class

A23,

CMO,

ARM

3.50%,

11/25/57 (1)

773‌

688‌

Galton

Funding

Mortgage

Trust

Series

2018-2,

Class

A22,

CMO,

ARM

4.00%,

10/25/58 (1)

1,777‌

1,636‌

GCAT

Trust

Series

2023-INV1,

Class

A1,

CMO,

ARM

6.00%,

8/25/53 (1)

31,530‌

30,752‌

GS

Mortgage-Backed

Securities

Trust

Series

2014-EB1A,

Class

2A1,

CMO,

ARM

3.928%,

7/25/44 (1)

388‌

386‌

GS

Mortgage-Backed

Securities

Trust

Series

2020-INV1,

Class

A14,

CMO,

ARM

2.926%,

10/25/50 (1)

16,387‌

13,541‌

Imperial

Fund

Mortgage

Trust

Series

2021-NQM2,

Class

A1,

CMO,

ARM

1.073%,

9/25/56 (1)

12,279‌

9,636‌

JPMorgan

Mortgage

Trust

Series

2019-INV3,

Class

A3,

CMO,

ARM

3.50%,

5/25/50 (1)

4,770‌

4,185‌

JPMorgan

Mortgage

Trust

Series

2020-INV1,

Class

A11,

CMO,

ARM

1M

TSFR

+

0.944%,

6.00%,

8/25/50 (1)

2,425‌

2,284‌

JPMorgan

Mortgage

Trust

Series

2020-INV1,

Class

A3,

CMO,

ARM

3.50%,

8/25/50 (1)

4,100‌

3,565‌

JPMorgan

Mortgage

Trust

Series

2020-LTV1,

Class

A15,

CMO,

ARM

3.50%,

6/25/50 (1)

407‌

389‌

JPMorgan

Mortgage

Trust

Series

2020-LTV1,

Class

A3,

CMO,

ARM

3.50%,

6/25/50 (1)

1,007‌

962‌

T.

ROWE

PRICE

New

Income

Fund

16

Par/Shares

$

Value

(Amounts

in

000s)

New

Residential

Mortgage

Loan

Trust

Series

2021-INV1,

Class

A4,

CMO,

ARM

2.50%,

6/25/51 (1)

6,091‌

4,625‌

New

Residential

Mortgage

Loan

Trust

Series

2021-INV2,

Class

A4,

CMO,

ARM

2.50%,

9/25/51 (1)

11,215‌

8,514‌

OBX

Trust

Series

2019-INV2,

Class

A25,

CMO,

ARM

4.00%,

5/27/49 (1)

957‌

873‌

OBX

Trust

Series

2019-INV2,

Class

A5,

CMO,

ARM

4.00%,

5/27/49 (1)

2,590‌

2,373‌

OBX

Trust

Series

2020-EXP1,

Class

1A8,

CMO,

ARM

3.50%,

2/25/60 (1)

6,707‌

5,865‌

Sequoia

Mortgage

Trust

Series

2018-CH1,

Class

A2,

CMO,

ARM

3.50%,

3/25/48 (1)

727‌

646‌

Sequoia

Mortgage

Trust

Series

2018-CH2,

Class

A3,

CMO,

ARM

4.00%,

6/25/48 (1)

3,198‌

2,943‌

Sequoia

Mortgage

Trust

Series

2018-CH3,

Class

A2,

CMO,

ARM

4.00%,

8/25/48 (1)

622‌

601‌

SG

Residential

Mortgage

Trust

Series

2019-3,

Class

A1,

CMO,

ARM

2.703%,

9/25/59 (1)

511‌

496‌

Structured

Agency

Credit

Risk

Debt

Notes

Series

2021-DNA2,

Class

M2,

CMO,

ARM

SOFR30A

+

2.30%,

7.588%,

8/25/33 (1)

8,522‌

8,538‌

Towd

Point

Mortgage

Trust

Series

2019-HY3,

Class

A1A,

CMO,

ARM

1M

TSFR

+

1.114%,

6.429%,

10/25/59 (1)

3,750‌

3,740‌

Verus

Securitization

Trust

Series

2019-INV2,

Class

A3,

CMO,

ARM

4.219%,

7/25/59 (1)

3,154‌

3,043‌

Verus

Securitization

Trust

Series

2019-INV3,

Class

A3,

CMO,

ARM

3.10%,

11/25/59 (1)

3,813‌

3,654‌

Verus

Securitization

Trust

Series

2020-1,

Class

A1,

CMO,

STEP

2.417%,

1/25/60 (1)

2,249‌

2,151‌

Verus

Securitization

Trust

Series

2020-2,

Class

A3,

CMO,

ARM

3.995%,

5/25/60 (1)

7,815‌

7,523‌

Verus

Securitization

Trust

Series

2020-INV1,

Class

A1,

CMO,

ARM

1.977%,

3/25/60 (1)

563‌

550‌

T.

ROWE

PRICE

New

Income

Fund

17

Par/Shares

$

Value

(Amounts

in

000s)

Verus

Securitization

Trust

Series

2022-1,

Class

A1,

CMO,

STEP

2.724%,

1/25/67 (1)

5,668‌

4,956‌

Vista

Point

Securitization

Trust

Series

2020-1,

Class

A3,

CMO,

ARM

3.201%,

3/25/65 (1)

17,346‌

16,300‌

Vista

Point

Securitization

Trust

Series

2020-2,

Class

A1,

CMO,

ARM

1.475%,

4/25/65 (1)

2,067‌

1,869‌

262,666‌

Commercial

Mortgage-Backed

Securities

2.0%

Austin

Fairmont

Hotel

Trust

Series

2019-FAIR,

Class

B,

ARM

1M

TSFR

+

1.297%,

6.608%,

9/15/32 (1)

6,970‌

6,917‌

Aventura

Mall

Trust

Series

2018-AVM,

Class

A,

ARM

4.249%,

7/5/40 (1)

39,170‌

35,632‌

BAMLL

Commercial

Mortgage-Backed

Securities

Trust

Series

2018-DSNY,

Class

A,

ARM

1M

TSFR

+

0.897%,

6.208%,

9/15/34 (1)

35,456‌

35,278‌

BANK

Series

2017-BNK8,

Class

AS

3.731%,

11/15/50

2,705‌

2,377‌

BBCMS

Mortgage

Trust

Series

2019-BWAY,

Class

D,

ARM

1M

TSFR

+

2.274%,

7.584%,

11/15/34 (1)

10,230‌

4,240‌

BX

Commercial

Mortgage

Trust

Series

2022-CSMO,

Class

B,

ARM

1M

TSFR

+

3.141%,

8.451%,

6/15/27 (1)

8,275‌

8,257‌

BX

Trust

Series

2021-ARIA,

Class

B,

ARM

1M

TSFR

+

1.411%,

6.721%,

10/15/36 (1)

6,815‌

6,576‌

BXSC

Commercial

Mortgage

Trust

Series

2022-WSS,

Class

B,

ARM

1M

TSFR

+

2.092%,

7.403%,

3/15/35 (1)

12,194‌

12,018‌

Cantor

Commercial

Real

Estate

Lending

Series

2019-CF2,

Class

B

3.267%,

11/15/52

9,752‌

7,498‌

Citigroup

Commercial

Mortgage

Trust

Series

2013-375P,

Class

D,

ARM

3.635%,

5/10/35 (1)

14,725‌

12,920‌

Citigroup

Commercial

Mortgage

Trust

Series

2019-C7,

Class

805A,

ARM

3.917%,

12/15/72 (1)

12,000‌

7,270‌

Citigroup

Commercial

Mortgage

Trust

Series

2020-555,

Class

C

3.031%,

12/10/41 (1)

8,370‌

6,410‌

T.

ROWE

PRICE

New

Income

Fund

18

Par/Shares

$

Value

(Amounts

in

000s)

Citigroup

Commercial

Mortgage

Trust

Series

2020-555,

Class

D

3.233%,

12/10/41 (1)

5,500‌

4,088‌

Cold

Storage

Trust

Series

2020-ICE5,

Class

B,

ARM

1M

TSFR

+

1.414%,

6.725%,

11/15/37 (1)

11,083‌

10,979‌

Eleven

Madison

Mortgage

Trust

Series

2015-11MD,

Class

A,

ARM

3.673%,

9/10/35 (1)

23,679‌

21,111‌

GS

Mortgage

Securities

Trust

Series

2019-GC40,

Class

B

3.543%,

7/10/52

12,730‌

10,132‌

JPMorgan

Chase

Commercial

Mortgage

Securities

Trust

Series

2018-WPT,

Class

AFX

4.248%,

7/5/33 (1)

9,825‌

8,884‌

JPMorgan

Chase

Commercial

Mortgage

Securities

Trust

Series

2018-WPT,

Class

BFX

4.549%,

7/5/33 (1)

7,620‌

6,520‌

JPMorgan

Chase

Commercial

Mortgage

Securities

Trust

Series

2018-WPT,

Class

CFX

4.95%,

7/5/33 (1)

11,395‌

9,523‌

LUXE

Trust

Series

2021-TRIP,

Class

B,

ARM

1M

TSFR

+

1.514%,

6.834%,

10/15/38 (1)

7,283‌

7,190‌

Morgan

Stanley

Bank

of

America

Merrill

Lynch

Trust

Series

2014-C17,

Class

B,

ARM

4.464%,

8/15/47

20,470‌

19,626‌

UBS

Commercial

Mortgage

Trust

Series

2018-C9,

Class

AS,

ARM

4.318%,

3/15/51

7,230‌

6,359‌

VNDO

Trust

Series

2016-350P,

Class

D,

ARM

4.033%,

1/10/35 (1)

8,849‌

7,719‌

Wells

Fargo

Commercial

Mortgage

Trust

Series

2015-NXS2,

Class

AS,

ARM

4.121%,

7/15/58

6,215‌

5,836‌

Wells

Fargo

Commercial

Mortgage

Trust

Series

2017-C39,

Class

B

4.025%,

9/15/50

5,750‌

5,017‌

Wells

Fargo

Commercial

Mortgage

Trust

Series

2019-JWDR,

Class

A,

ARM

2.584%,

9/15/31 (1)

26,355‌

23,689‌

T.

ROWE

PRICE

New

Income

Fund

19

Par/Shares

$

Value

(Amounts

in

000s)

Worldwide

Plaza

Trust

Series

2017-WWP,

Class

A

3.526%,

11/10/36 (1)

24,455‌

20,525‌

312,591‌

Total

Non-U.S.

Government

Mortgage-Backed

Securities

(Cost

$647,632)

575,257‌

U.S.

GOVERNMENT

&

AGENCY

MORTGAGE-BACKED

SECURITIES

31.8%

U.S.

Government

Agency

Obligations

24.6%

Federal

Home

Loan

Mortgage

2.50%,

5/1/30

4,915‌

4,574‌

3.00%,

12/1/42

-

4/1/47

16,025‌

14,194‌

3.50%,

9/1/42

-

3/1/46

75,311‌

69,188‌

4.00%,

10/1/40

-

8/1/45

8,066‌

7,650‌

4.50%,

6/1/39

-

5/1/42

12,296‌

11,986‌

5.00%,

7/1/25

-

8/1/40

3,364‌

3,362‌

5.50%,

4/1/26

-

12/1/39

3,282‌

3,342‌

6.00%,

10/1/32

-

8/1/38

2,138‌

2,200‌

6.50%,

4/1/24

-

9/1/39

823‌

843‌

7.00%,

2/1/24

-

6/1/32

19‌

19‌

7.50%,

5/1/24

-

6/1/24

—‌

—‌

Federal

Home

Loan

Mortgage,

ARM

12M

USD

LIBOR

+

1.725%,

5.975%,

7/1/35

19‌

19‌

12M

USD

LIBOR

+

1.823%,

4.072%,

3/1/36

86‌

85‌

12M

USD

LIBOR

+

1.842%,

4.091%,

1/1/37

124‌

122‌

12M

USD

LIBOR

+

1.915%,

4.29%,

2/1/37

86‌

85‌

12M

USD

LIBOR

+

1.93%,

4.187%,

12/1/36

79‌

78‌

12M

USD

LIBOR

+

2.03%,

4.276%,

11/1/36

114‌

112‌

1Y

CMT

+

2.25%,

5.10%,

10/1/36

49‌

50‌

Federal

Home

Loan

Mortgage,

CMO,

IO,

4.50%,

5/25/50

11,551‌

2,253‌

Federal

Home

Loan

Mortgage,

CMO,

PO,

Zero

Coupon,

8/15/28

5‌

5‌

Federal

Home

Loan

Mortgage,

UMBS

1.50%,

2/1/36

-

4/1/37

43,391‌

37,214‌

2.00%,

8/1/36

-

5/1/52

278,467‌

225,849‌

2.50%,

4/1/37

-

9/1/52

419,132‌

350,875‌

3.00%,

1/1/33

-

8/1/52

128,508‌

113,255‌

3.50%,

6/1/47

-

11/1/52

39,300‌

35,790‌

4.00%,

6/1/37

-

2/1/50

29,727‌

28,083‌

4.50%,

9/1/37

-

11/1/52

18,925‌

18,014‌

5.00%,

8/1/52

-

11/1/52

15,803‌

15,329‌

Federal

National

Mortgage

Assn.

3.00%,

6/1/33

-

8/1/46

6,014‌

5,311‌

3.50%,

6/1/42

-

5/1/46

45,494‌

41,536‌

4.00%,

11/1/40

7,999‌

7,484‌

T.

ROWE

PRICE

New

Income

Fund

20

Par/Shares

$

Value

(Amounts

in

000s)

Federal

National

Mortgage

Assn.,

ARM

12M

USD

LIBOR

+

1.34%,

3.59%,

12/1/35

65‌

63‌

12M

USD

LIBOR

+

1.597%,

4.899%,

7/1/36

218‌

220‌

12M

USD

LIBOR

+

1.655%,

5.905%,

8/1/37

46‌

45‌

RFUCCT1Y

+

1.869%,

6.119%,

8/1/36

119‌

118‌

Federal

National

Mortgage

Assn.,

CMO,

IO,

6.50%,

2/25/32

23‌

4‌

Federal

National

Mortgage

Assn.,

UMBS

1.50%,

2/1/37

-

1/1/42

87,851‌

73,866‌

2.00%,

11/1/35

-

7/1/52

954,956‌

771,779‌

2.50%,

5/1/30

-

9/1/52

476,263‌

402,128‌

3.00%,

6/1/27

-

7/1/52

355,175‌

315,165‌

3.50%,

11/1/32

-

3/1/52

134,492‌

123,446‌

4.00%,

7/1/35

-

9/1/52

168,708‌

159,594‌

4.50%,

7/1/39

-

5/1/50

83,691‌

81,159‌

5.00%,

3/1/25

-

10/1/52

51,571‌

51,208‌

5.50%,

9/1/23

-

9/1/41

17,438‌

17,712‌

6.00%,

11/1/32

-

6/1/53

97,002‌

98,415‌

6.50%,

8/1/27

-

3/1/41

8,012‌

8,306‌

7.00%,

10/1/29

-

4/1/37

98‌

98‌

UMBS,

TBA (9)

2.00%,

9/1/38

-

9/1/53

208,876‌

170,939‌

2.50%,

9/1/53

96,255‌

79,734‌

3.00%,

9/1/53

106,910‌

92,105‌

3.50%,

9/1/53

73,470‌

65,667‌

4.00%,

9/1/53

65,170‌

60,150‌

4.50%,

9/1/53

52,480‌

49,758‌

5.00%,

9/1/53

90,515‌

87,766‌

5.50%,

9/1/53

66,015‌

65,179‌

6.50%,

9/1/53

60,105‌

61,044‌

3,834,575‌

U.S.

Government

Obligations

7.2%

Government

National

Mortgage

Assn.

1.50%,

8/20/36

-

6/20/37

17,443‌

14,793‌

2.00%,

3/20/51

-

3/20/52

227,681‌

188,095‌

2.50%,

8/20/50

-

3/20/52

239,672‌

204,068‌

3.00%,

9/15/42

-

6/20/52

201,575‌

178,602‌

3.50%,

9/15/41

-

10/20/49

134,629‌

124,168‌

4.00%,

2/20/41

-

10/20/52

102,204‌

96,051‌

4.50%,

7/15/26

-

10/20/52

81,772‌

78,581‌

5.00%,

9/15/33

-

6/20/48

37,778‌

37,569‌

5.50%,

10/20/32

-

3/20/49

16,362‌

16,573‌

6.00%,

1/20/34

-

12/20/38

2,037‌

2,126‌

6.50%,

1/15/26

-

12/15/31

40‌

41‌

7.00%,

12/20/23

-

1/20/53

12,876‌

13,156‌

7.50%,

7/15/28

-

8/15/28

39‌

40‌

8.00%,

9/15/27

-

10/15/27

92‌

93‌

T.

ROWE

PRICE

New

Income

Fund

21

Par/Shares

$

Value

(Amounts

in

000s)

8.50%,

9/20/26

—‌

—‌

Government

National

Mortgage

Assn.,

CMO

3.00%,

11/20/47

-

12/20/47

2,959‌

2,677‌

3.50%,

10/20/50

9,510‌

7,885‌

Government

National

Mortgage

Assn.,

CMO,

IO

3.50%,

5/20/43

2,905‌

439‌

4.00%,

2/20/43

2,091‌

260‌

Government

National

Mortgage

Assn.,

TBA (9)

2.00%,

9/20/53

14,980‌

12,355‌

2.50%,

9/20/53

11,360‌

9,664‌

5.00%,

9/20/53

19,225‌

18,707‌

5.50%,

9/20/53

105,710‌

104,637‌

6.00%,

9/20/53

7,885‌

7,911‌

6.50%,

9/20/53

10,820‌

10,958‌

1,129,449‌

Total

U.S.

Government

&

Agency

Mortgage-Backed

Securities

(Cost

$5,342,299)

4,964,024‌

U.S.

GOVERNMENT

AGENCY

OBLIGATIONS

(EXCLUDING

MORTGAGE-BACKED)

31.6%

U.S.

Treasury

Obligations

31.6%

U.S.

Treasury

Bonds,

3.00%,

8/15/52

344,530‌

274,601‌

U.S.

Treasury

Bonds,

3.375%,

8/15/42

437,190‌

379,331‌

U.S.

Treasury

Bonds,

3.625%,

2/15/53

304,045‌

273,926‌

U.S.

Treasury

Bonds,

3.875%,

2/15/43

159,815‌

148,678‌

U.S.

Treasury

Bonds,

4.00%,

11/15/42 (10)

304,955‌

289,231‌

U.S.

Treasury

Bonds,

4.00%,

11/15/52

194,515‌

187,707‌

U.S.

Treasury

Notes,

0.625%,

8/15/30

249,715‌

196,729‌

U.S.

Treasury

Notes,

1.50%,

1/31/27

517,600‌

469,560‌

U.S.

Treasury

Notes,

1.875%,

2/15/32

120,165‌

100,995‌

U.S.

Treasury

Notes,

2.25%,

1/31/24

385,690‌

380,688‌

U.S.

Treasury

Notes,

3.75%,

4/15/26

230,770‌

225,758‌

U.S.

Treasury

Notes,

3.875%,

1/15/26 (10)

348,510‌

341,921‌

U.S.

Treasury

Notes,

3.875%,

11/30/27

212,795‌

208,905‌

U.S.

Treasury

Notes,

3.875%,

11/30/29

115,930‌

113,593‌

U.S.

Treasury

Notes,

4.00%,

12/15/25

630,415‌

620,171‌

U.S.

Treasury

Notes,

4.125%,

9/30/27

228,435‌

226,293‌

U.S.

Treasury

Notes,

4.125%,

10/31/27

7,870‌

7,797‌

U.S.

Treasury

Notes,

4.125%,

8/31/30

197,545‌

196,681‌

U.S.

Treasury

Notes,

4.125%,

11/15/32

298,680‌

298,493‌

Total

U.S.

Government

Agency

Obligations

(Excluding

Mortgage-

Backed)

(Cost

$5,126,908)

4,941,058‌

T.

ROWE

PRICE

New

Income

Fund

22

Par/Shares

$

Value

(Amounts

in

000s)

SHORT-TERM

INVESTMENTS

12.1%

Money

Market

Funds

12.1%

T.

Rowe

Price

Government

Reserve

Fund,

5.40% (4)(11)

1,889,414‌

1,889,414‌

Total

Short-Term

Investments

(Cost

$1,889,414)

1,889,414‌

SECURITIES

LENDING

COLLATERAL

0.4%

INVESTMENTS

IN

A

POOLED

ACCOUNT

THROUGH

SECURITIES

LENDING

PROGRAM

WITH

JPMORGAN

CHASE

BANK

0.0%

Money

Market

Funds

0.0%

T.

Rowe

Price

Government

Reserve

Fund,

5.40% (4)(11)

3,111‌

3,111‌

Total

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

JPMorgan

Chase

Bank

3,111‌

INVESTMENTS

IN

A

POOLED

ACCOUNT

THROUGH

SECURITIES

LENDING

PROGRAM

WITH

STATE

STREET

BANK

AND

TRUST

COMPANY

0.4%

Money

Market

Funds

0.4%

T.

Rowe

Price

Government

Reserve

Fund,

5.40% (4)(11)

59,513‌

59,513‌

Total

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

State

Street

Bank

and

Trust

Company

59,513‌

Total

Securities

Lending

Collateral

(Cost

$62,624)

62,624‌

Total

Investments

in

Securities

108.7%

(Cost

$17,971,893)

$

16,980,306‌

Other

Assets

Less

Liabilities

(8.7)%

(1,360,602‌)

Net

Assets

100.0%

$

15,619,704‌

‡

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

$1,818,079

and

represents

11.6%

of

net

assets.

(2)

Bank

loan

positions

may

involve

multiple

underlying

tranches.

In

those

instances,

the

position

presented

reflects

the

aggregate

of

those

respective

underlying

tranches

and

the

rate

presented

reflects

the

weighted

average

rate

of

the

settled

positions.

(3)

All

or

a

portion

of

this

loan

is

unsettled

as

of

August

31,

2023.

The

interest

rate

for

unsettled

loans

will

be

determined

upon

settlement

after

period

end.

(4)

Affiliated

Companies

(5)

SEC

30-day

yield

T.

ROWE

PRICE

New

Income

Fund

23

.

.

.

.

.

.

.

.

.

.

(6)

All

or

a

portion

of

this

security

is

on

loan

at

August

31,

2023.

(7)

Security

is

a

fix-to-float

security,

which

carries

a

fixed

coupon

until

a

certain

date,

upon

which

it

switches

to

a

floating

rate.

Reference

rate

and

spread

are

provided

if

the

rate

is

currently

floating.

(8)

Perpetual

security

with

no

stated

maturity

date.

(9)

To-Be-Announced

purchase

commitment.

Total

value

of

such

securities

at

period-end

amounts

to

$896,574

and

represents

5.7%

of

net

assets.

(10)

At

August

31,

2023,

all

or

a

portion

of

this

security

is

pledged

as

collateral

and/

or

margin

deposit

to

cover

future

funding

obligations.

(11)

Seven-day

yield

1M

TSFR

One

month

term

SOFR

(Secured

overnight

financing

rate)

1M

USD

LIBOR

One

month

USD

LIBOR

(London

interbank

offered

rate)

3M

TSFR

Three

month

term

SOFR

(Secured

overnight

financing

rate)

3M

USD

LIBOR

Three

month

USD

LIBOR

(London

interbank

offered

rate)

6M

USD

LIBOR

Six

month

USD

LIBOR

(London

interbank

offered

rate)

12M

USD

LIBOR

Twelve

month

USD

LIBOR

(London

interbank

offered

rate)

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.

CAD

Canadian

Dollar

CLO

Collateralized

Loan

Obligation

CMO

Collateralized

Mortgage

Obligation

EUR

Euro

FRN

Floating

Rate

Note

ILS

Israeli

Shekel

IO

Interest-only

security

for

which

the

fund

receives

interest

on

notional

principal

PO

Principal-only

security

for

which

the

fund

receives

regular

cash

flows

based

on

principal

repayments

RFUCCT1Y

Twelve

month

Refinitiv

USD

IBOR

Consumer

Cash

Fallback

SOFR30A

30-day

Average

SOFR

(Secured

overnight

financing

rate)

STEP

Stepped

coupon

bond

for

which

the

coupon

rate

of

interest

adjusts

on

specified

date(s);

rate

shown

is

effective

rate

at

period-end.

TBA

To-Be-Announced

UMBS

Uniform

Mortgage-Backed

Securities

USD

U.S.

Dollar

VR

Variable

Rate;

rate

shown

is

effective

rate

at

period-end.

The

rates

for

certain

variable

rate

securities

are

not

based

on

a

published

reference

rate

and

spread

but

are

determined

by

the

issuer

or

agent

and

based

on

current

market

conditions.

T.

ROWE

PRICE

New

Income

Fund

24

(Amounts

in

000s)

SWAPS

0.1%

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)

Unrealized

$

Gain/(Loss)

BILATERAL

SWAPS

0.1%

Credit

Default

Swaps,

Protection

Bought

0.1%

Morgan

Stanley,

Protection

Bought

(Relevant

Credit:

Markit

CMBX.

NA.AAA-S15,

40

Year

Index),

Pay

0.50%

Monthly,

Receive

upon

credit

default,

11/18/64

*

340,500

9,463

9,062

401‌

Total

Bilateral

Credit

Default

Swaps,

Protection

Bought

9,062

401‌

Credit

Default

Swaps,

Protection

Sold

0.0%

JPMorgan

Chase,

Protection

Sold

(Relevant

Credit:

Barclays

Bank,

Baa1*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

6/20/24

(EUR)

*

5,778

30

37

(7‌)

Total

Bilateral

Credit

Default

Swaps,

Protection

Sold

37

(7‌)

Total

Bilateral

Swaps

9,099

394‌

Description

Notional

Amount

$

Value

Initial

$

Value

Unrealized

$

Gain/(Loss)

CENTRALLY

CLEARED

SWAPS

0.0%

Credit

Default

Swaps,

Protection

Sold

0.0%

Protection

Sold

(Relevant

Credit:

Markit

CDX.NA.HY-S40,

5

Year

Index),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

6/20/28

38,540

1,480

(17)

1,497‌

Protection

Sold

(Relevant

Credit:

MetLife,

A3*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

6/20/28

3,767

32

(63)

95‌

Protection

Sold

(Relevant

Credit:

Republic

of

Indonesia,

Baa2*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

6/20/28

77,535

767

(714)

1,481‌

T.

ROWE

PRICE

New

Income

Fund

25

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Initial

$

Value

Unrealized

$

Gain/(Loss)

Protection

Sold

(Relevant

Credit:

United

Mexican

States,

Baa2*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

6/20/28

93,545

208

(1,724)

1,932‌

Total

Centrally

Cleared

Credit

Default

Swaps,

Protection

Sold

5,005‌

Total

Centrally

Cleared

Swaps

5,005‌

Net

payments

(receipts)

of

variation

margin

to

date

(5,098‌)

Variation

margin

receivable

(payable)

on

centrally

cleared

swaps

$

(93‌)

*

Credit

ratings

as

of

August

31,

2023.

Ratings

shown

are

from

Moody’s

Investors

Service

and

if

Moody’s

does

not

rate

a

security,

then

Standard

&

Poor’s

(S&P)

is

used.

Fitch

is

used

for

securities

that

are

not

rated

by

either

Moody’s

or

S&P.

T.

ROWE

PRICE

New

Income

Fund

26

(Amounts

in

000s)

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

Counterparty

Settlement

Receive

Deliver

Unrealized

Gain/(Loss)

Bank

of

America

10/19/23

ILS

77,800‌

USD

20,563‌

$

(63‌)

BNP

Paribas

11/24/23

USD

20,152‌

EUR

18,436‌

79‌

Citibank

10/19/23

ILS

49,630‌

USD

13,139‌

(63‌)

Citibank

10/19/23

USD

125,677‌

ILS

464,627‌

3,254‌

HSBC

Bank

11/24/23

USD

3,905‌

EUR

3,560‌

28‌

JPMorgan

Chase

10/19/23

ILS

40,604‌

USD

10,699‌

—‌

State

Street

11/24/23

USD

5,852‌

EUR

5,341‌

37‌

UBS

Investment

Bank

10/19/23

ILS

47,657‌

USD

12,629‌

(72‌)

Net

unrealized

gain

(loss)

on

open

forward

currency

exchange

contracts

$

3,200‌

T.

ROWE

PRICE

New

Income

Fund

27

FUTURES

CONTRACTS

($000s)

Expiration

Date

Notional

Amount

Value

and

Unrealized

Gain

(Loss)

Long,

6,902

Euro

BOBL

contracts

9/23

868,989

$

3,188‌

Short,

1,292

Euro

BUXL

thirty

year

bond

contracts

9/23

(187,451)

2,796‌

Long,

129

U.S.

Treasury

Long

Bond

contracts

12/23

15,698

32‌

Long,

13,652

U.S.

Treasury

Notes

five

year

contracts

12/23

1,459,697

2,777‌

Long,

5,131

U.S.

Treasury

Notes

ten

year

contracts

12/23

569,701

680‌

Short,

897

U.S.

Treasury

Notes

two

year

contracts

12/23

(182,813)

(541‌)

Short,

2,462

Ultra

U.S.

Treasury

Bonds

contracts

12/23

(318,752)

(1,025‌)

Long,

1,166

Ultra

U.S.

Treasury

Notes

ten

year

contracts

12/23

135,384

(15‌)

Net

payments

(receipts)

of

variation

margin

to

date

(5,024‌)

Variation

margin

receivable

(payable)

on

open

futures

contracts

$

2,868‌

T.

ROWE

PRICE

New

Income

Fund

28

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,

2023.

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

Institutional

Floating

Rate

Fund

-

Z

Class,

9.53%

$

—‌

$

6‌

$

7‌

T.

Rowe

Price

Government

Reserve

Fund,

5.40%

—‌

—‌

26,200‌++

Totals

$

—‌#

$

6‌

$

26,207‌+

Supplementary

Investment

Schedule

Affiliate

Value

05/31/23

Purchase

Cost

Sales

Cost

Value

08/31/23

T.

Rowe

Price

Institutional

Floating

Rate

Fund

-

Z

Class,

9.53%

$

284‌

$

8‌

$

—‌

$

298‌

T.

Rowe

Price

Government

Reserve

Fund,

5.40%

2,018,913‌

¤

¤

1,952,038‌

Total

$

1,952,336‌^

#

Capital

gain

distributions

from

underlying

Price

funds

represented

$0

of

the

net

realized

gain

(loss).

++

Excludes

earnings

on

securities

lending

collateral,

which

are

subject

to

rebates

and

fees.

+

Investment

income

comprised

$26,207

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

$1,952,316.

T.

ROWE

PRICE

New

Income

Fund

Unaudited

Notes

to

Portfolio

of

Investments

29

T.

Rowe

Price

New

Income

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)

Level

3

–

unobservable

inputs

(including

the Valuation

Designee’s assumptions

in

determining

fair

value)

T.

ROWE

PRICE

New

Income

Fund

30

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

denominated

in

foreign

currencies

are

translated

into

U.S.

dollar

values

each

day

at

the

prevailing

exchange

rate,

using

the

mean

of

the

bid

and

asked

prices

of

such

currencies

against

U.S.

dollars

as

provided

by

an

outside

pricing

service.

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.

Forward

currency

exchange

contracts

are

valued

using

the

prevailing

forward

exchange

rate.

Swaps

are

valued

at

prices

furnished

by

an

independent

pricing

service

or

independent

swap

dealers.

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

T.

ROWE

PRICE

New

Income

Fund

31

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.

Valuation

Inputs

The

following

table

summarizes

the

fund’s

financial

instruments,

based

on

the

inputs

used

to

determine

their

fair

values

on

August

31,

2023

(for

further

detail

by

category,

please

refer

to

the

accompanying

Portfolio

of

Investments):

($000s)

Level

1

Level

2

Level

3

Total

Value

Assets

Fixed

Income

Securities

1

$

—‌

$

15,027,970‌

$

—‌

$

15,027,970‌

Bond

Mutual

Funds

298‌

—‌

—‌

298‌

Short-Term

Investments

1,889,414‌

—‌

—‌

1,889,414‌

Securities

Lending

Collateral

62,624‌

—‌

—‌

62,624‌

Total

Securities

1,952,336‌

15,027,970‌

—‌

16,980,306‌

Swaps*

—‌

14,498‌

—‌

14,498‌

Forward

Currency

Exchange

Contracts

—‌

3,398‌

—‌

3,398‌

Futures

Contracts*

9,473‌

—‌

—‌

9,473‌

Total

$

1,961,809‌

$

15,045,866‌

$

—‌

$

17,007,675‌

Liabilities

Forward

Currency

Exchange

Contracts

$

—‌

$

198‌

$

—‌

$

198‌

Futures

Contracts*

1,581‌

—‌

—‌

1,581‌

Total

$

1,581‌

$

198‌

$

—‌

$

1,779‌

1

Includes

Asset-Backed

Securities,

Bank

Loans,

Corporate

Bonds,

Foreign

Government

Obligations

&

Municipalities,

Non-U.S.

Government

Mortgage-Backed

Securities,

U.S.

Government

&

Agency

Mortgage-Backed

Securities

and

U.S.

Government

Agency

Obligations

(Excluding

Mortgage-Backed).

T.

ROWE

PRICE

New

Income

Fund

32

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

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.

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

leading

to

economic

sanctions

being

imposed

on

Russia

and

certain

of

its

citizens,

creating

impacts

on

Russian-related

stocks

and

debt

and

greater

volatility

in

global

markets.

In

March

2023,

the

collapse

of

some

US

regional

and

global

banks

as

well

as

overall

concerns

around

the

soundness

and

stability

of

the

global

banking

sector

has

sparked

concerns

of

a

broader

financial

crisis

impacting

the

overall

global

banking

sector.

In

certain

cases,

government

agencies

have

assumed

control

or

otherwise

intervened

in

the

operations

of

certain

banks

due

to

liquidity

and

solvency

concerns.

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.

F43-054Q1

08/23

*

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.

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