T. Rowe Price New Income Fund (PRCIX) N-CSRS Certified semi-annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number: 811-02396

T. Rowe Price New Income Fund, Inc.

(Exact name of registrant as specified in charter)

100 East Pratt Street, Baltimore, MD 21202

(Address of principal executive offices)

David Oestreicher

100 East Pratt Street, Baltimore, MD 21202

(Name and address of agent for service)

Registrant’s telephone number, including area code: (410) 345-2000

Date of fiscal year end: May 31

Date of reporting period: November 30, 2023

Item 1. Reports to Shareholders

(a) Report pursuant to Rule 30e-1

Market

Commentary

Portfolio

Summary

Fund

Expense

Example

Financial

Highlights

Portfolio

of

Investments

Financial

Statements

and

Notes

Additional

Fund

Information

November

30,

2023

SemiAnnual

Report

For

more

insights

from

T.

Rowe

Price

investment

professionals,

go

to

troweprice.com

.

T.

ROWE

PRICE

PRCIX

New

Income

Fund

–

.

PANIX

New

Income

Fund–

.

Advisor  Class

RRNIX

New

Income

Fund–

.

R  Class

PRXEX

New

Income

Fund–

.

I  Class

TRVZX

New

Income

Fund–

.

Z Class

T.

ROWE

PRICE

New

Income

Fund

Log

in

to

your

account

at

troweprice.com

for

more

information.

*

An

account

service

fee

will

be

charged

annually

for

each

T.

Rowe

Price

mutual

fund

account

unless

you

meet

criteria

for

a

fee

waiver.

Go

to

troweprice.com/personal-investing/help/fees-and-

minimums.html

to

learn

more

about

this

account

service

fee,

including

other

ways

to

waive

it.

T.

ROWE

PRICE

New

Income

Fund

Market

Commentary

1

Dear

Shareholder

Major

global

stock

and

bond

indexes

produced

mixed

returns

during

the

first

half

of

your

fund’s

fiscal

year,

the

six-month

period

ended

November

30,

2023.

Nearly

all

equity

benchmarks

finished

the

period

with

positive

results

after

a

strong

rally

in

November;

however,

rising

U.S.

Treasury

yields

left

some

fixed

income

sectors

in

negative

territory.

Within

the

S&P

500

Index,

the

financials

sector

recovered

from

the

failure

of

three

large

regional

banks

earlier

in

the

year and

recorded

the

best

results

for

the

period.

The

information

technology

sector

also

delivered

strong

gains

as

technology

companies

benefited

from

investor

enthusiasm

for

artificial

intelligence

developments.

Outside

the

U.S.,

stocks

in

developed

markets

generally

outpaced

their

counterparts

in

emerging

markets,

although

emerging

Europe

and

Latin

America

produced

very

strong

returns

at

the

regional

level.

The

U.S.

economy

was

the

strongest

among

the

major

markets

during

the

period,

with

gross

domestic

product

growth

coming

in

at

5.2%

in

the

third

quarter’s

revised

estimate,

the

highest

since

the

end

of

2021.

Corporate

fundamentals

were

also

broadly

supportive.

Although

year-over-year

earnings

growth

contracted

in

the

first

and

second

quarters

of

2023,

results

were

better

than

expected,

and

earnings

growth

turned

positive

again

in

the

third

quarter.

Inflation

remained

a

concern

for

both

investors

and

policymakers,

but

lower-

than-expected

inflation

data

in

November

helped

spur

a

rally

late

in

the

period

as

many

investors

concluded

that

the

Federal

Reserve

had

reached

the

end

of

its

hiking

cycle.

The

Fed

raised

its

short-term

lending

benchmark

rate

to

a

target

range

of

5.25%

to

5.50%

in

July,

the

highest

level

since

March

2001,

and

then

held

rates

steady

for

the

remainder

of

the

period.

Despite

a

drop

in

yields

as

investor

sentiment

shifted

in

November,

intermediate-

and

longer-term

U.S.

Treasury

yields

finished

the

period

notably

higher.

After

starting

the

period

at

3.64%,

the

yield

on

the

benchmark

10-year

Treasury

note

briefly

reached

5.00%

in

October

for

the

first

time

since

late

2007

before

falling to

4.37%

by

the

end

of

November.

The

rise

in

yields

led

to

negative

returns

in

some

fixed

income

sectors,

but

both

investment-grade

and

high

yield

corporate

bonds

produced

solid

returns,

supported

by

the

higher

coupons

that

have

become

available

over

the

past

year

as

well

as

by increasing

hopes

that

the

economy

might

be

able

to

avoid

a

recession.

Global

economies

and

markets

showed

surprising

resilience

in

2023,

but

considerable

uncertainty

remains

as

we

look

ahead.

Geopolitical

events,

the

path

of

monetary

policy,

and

the

impact

of

the

Fed’s

rate

hikes

on

the

economy

all

raise

the

potential

for

additional

volatility.

We

believe

this

environment

T.

ROWE

PRICE

New

Income

Fund

2

makes

skilled

active

management

a

critical

tool

for

identifying

risks

and

opportunities,

and

our

investment

teams

will

continue

to

use

fundamental

research

to

help

identify

securities

that

can

add

value

to

your

portfolio

over

the

long

term.

You

may

notice

that

this

report

no

longer

contains

the

commentary

on

your

fund’s

performance

and

positioning

that

we

previously

included

in

the

semiannual

shareholder

letters.

The

Securities

and

Exchange

Commission

adopted

new

rules

recently

that

will

require

fund

reports

to

transition

to

a

new

format

known

as

a

Tailored

Shareholder

Report.

This

change

will

require

a

much

more

concise

summary

of

performance

rather

than

the

level

of

detail

we

have

provided

historically

while

also

aiming

to

be

more

visually

engaging.

As

we

prepare

to

make

changes

to

the

annual

reports

to

meet

the

new regulatory

requirements

by

mid-2024,

we

felt

the

time

was

right

to

discontinue

the

optional

six-month

semiannual

fund

letter

to

focus

on

the

changes

to

come.

Although

semiannual

fund

letters

will

no

longer

be

produced,

you

may

continue

to

access

current

fund

information

as

well

as

insights

and

perspectives

from

our

investment

team

on

our

personal

investing

website.

Thank

you

for

your

continued

confidence

in

T.

Rowe

Price.

Sincerely, 

Robert

Sharps

CEO

and

President

T.

ROWE

PRICE

New

Income

Fund

Portfolio

Summary

3

Note:

Copyright

©

2023

Fitch

Ratings,

Inc.,

Fitch

Ratings

Ltd.

and

its

subsidiaries.

CREDIT

QUALITY

DIVERSIFICATION

New

Income

Fund

Sources:

Credit

ratings

for

the

securities

held

in

the

fund

are

provided

by

Moody’s,

Standard

&

Poor’s,

and

Fitch

and

are

converted

to

the

Standard

&

Poor’s

nomenclature.

A

rating

of

AAA

represents

the

highest-

rated

securities,

and

a

rating

of

D

represents

the

lowest-

rated

securities.

If

the

rating

agencies

differ,

the

highest

rating

is

applied

to

the

security.

If

a

rating

is

not

available,

the

security

is

classified

as

Not

Rated.

T.

Rowe

Price

uses

the

rating

of

the

underlying

investment

vehicle

to

determine

the

creditworthiness

of

credit

default

swaps.

The

fund

is

not

rated

by

any

agency.

Securities

that

have

not

been

rated

by

any

rating

agency

totaled

0.24%

of

the

portfolio

at

the

end

of

the

reporting

period.

*

U.S.

government

agency

securities

are

issued

or

guaranteed

by

a

U.S.

government

agency

and

may

include

conventional

pass-through

securities

and

collateralized

mortgage

obligations;

unlike

Treasuries,

government

agency

securities

are

not

issued

directly

by

the

U.S.

government

and

are

generally

unrated

but

may

have

credit

support

from

the

U.S.

Treasury

(e.g.,

FHLMC

and

FNMA

issues)

or

a

direct

government

guarantee

(e.g.,

GNMA

issues).

Therefore,

this

category

may

include

rated

and

unrated

securities.

**

U.S.

Treasury

securities

are

issued

by

the

U.S.

Treasury

and

are

backed

by

the

full

faith

and

credit

of

the

U.S.

government.

The

ratings

of

U.S.

Treasury

securities

are

derived

from

the

ratings

on

the

U.S.

government.

T.

ROWE

PRICE

New

Income

Fund

4

Note:

©

2023,

Moody’s

Corporation,

Moody’s

Investors

Service,

Inc.,

Moody’s

Analytics,

Inc.

and/or

their

licensors

and

affiliates

(collectively,

“Moody’s”).

All

rights

reserved.

Moody’s

ratings

and

other

information

(“Moody’s

Information”)

are

proprietary

to

Moody’s

and/or

its

licensors

and

are

protected

by

copyright

and

other

intellectual

property

laws.

Moody’s

Information

is

licensed

to

Client

by

Moody’s.

MOODY’S

INFORMATION

MAY

NOT

BE

COPIED

OR

OTHERWISE

REPRODUCED,

REPACKAGED,

FURTHER

TRANSMITTED,

TRANSFERRED,

DISSEMINATED,

REDISTRIBUTED

OR

RESOLD,

OR

STORED

FOR

SUBSEQUENT

USE

FOR

ANY

SUCH

PURPOSE,

IN

WHOLE

OR

IN

PART,

IN

ANY

FORM

OR

MANNER

OR

BY

ANY

MEANS

WHATSOEVER,

BY

ANY

PERSON

WITHOUT

MOODY’S

PRIOR

WRITTEN

CONSENT.

Moody's

®

is

a

registered

trademark.

Note:

Copyright

©

2023,

S&P

Global

Market

Intelligence

(and

its

affiliates,

as

applicable).

Reproduction

of

any

information,

data

or

material,

including

ratings

(“Content”)

in

any

form

is

prohibited

except

with

the

prior

written

permission

of

the

relevant

party. Such

party,

its

affiliates

and

suppliers

(“Content

Providers”)

do

not

guarantee

the

accuracy,

adequacy,

completeness,

timeliness

or

availability

of

any

Content

and

are

not

responsible

for

any

errors

or

omissions

(negligent

or

otherwise),

regardless

of

the

cause,

or

for

the

results

obtained

from

the

use

of

such

Content.

In

no

event

shall

Content

Providers

be

liable

for

any

damages,

costs,

expenses,

legal

fees,

or

losses

(including

lost

income

or

lost

profit

and

opportunity

costs)

in

connection

with

any

use

of

the

Content.

A

reference

to

a

particular

investment

or

security,

a

rating

or

any

observation

concerning

an

investment

that

is

part

of

the

Content

is

not

a

recommendation

to

buy,

sell

or

hold

such

investment

or

security,

does

not

address

the

appropriateness

of

an

investment

or

security

and

should

not

be

relied

on

as

investment

advice.

Credit

ratings

are

statements

of

opinions

and

are

not

statements

of

fact.

T.

ROWE

PRICE

New

Income

Fund

5

FUND

EXPENSE

EXAMPLE

As

a

mutual

fund

shareholder,

you

may

incur

two

types

of

costs:

(1)

transaction

costs,

such

as

redemption

fees

or

sales

loads,

and

(2)

ongoing

costs,

including

management

fees,

distribution

and

service

(12b-1)

fees,

and

other

fund

expenses.

The

following

example

is

intended

to

help

you

understand

your

ongoing

costs

(in

dollars)

of

investing

in

the

fund

and

to

compare

these

costs

with

the

ongoing

costs

of

investing

in

other

mutual

funds.

The

example

is

based

on

an

investment

of

$1,000

invested

at

the

beginning

of

the

most

recent

six-month

period

and

held

for

the

entire

period.

Please

note

that

the

fund

has

five

share

classes:

The

original

share

class

(Investor

Class)

charges

no

distribution

and

service

(12b-1)

fee,

Advisor

Class

shares

are

offered

only

through

unaffiliated

brokers

and

other

financial

intermediaries

and

charge

a

0.25%

12b-1

fee,

R

Class

shares

are

available

to

retirement

plans

serviced

by

intermediaries

and

charge

a

0.50%

12b-1

fee,

I

Class

shares

are

available

to

institutionally

oriented

clients

and

impose

no

12b-1

or

administrative

fee

payment,

and

Z

Class

shares

are

offered

only

to

funds

advised

by

T.

Rowe

Price

and

other

advisory

clients

of

T.

Rowe

Price

or

its

affiliates

that

are

subject

to

a

contractual

fee

for

investment

management

services

and

impose

no

12b-1

fee

or

administrative

fee

payment.

Each

share

class

is

presented

separately

in

the

table.

Actual

Expenses

The

first

line

of

the

following

table

(Actual)

provides

information

about

actual

account

values

and

expenses

based

on

the

fund’s

actual

returns.

You

may

use

the

information

on

this

line,

together

with

your

account

balance,

to

estimate

the

expenses

that

you

paid

over

the

period.

Simply

divide

your

account

value

by

$1,000

(for

example,

an

$8,600

account

value

divided

by

$1,000

=

8.6),

then

multiply

the

result

by

the

number

on

the

first

line

under

the

heading “Expenses

Paid

During

Period”

to

estimate

the

expenses

you

paid

on

your

account

during

this

period. 

Hypothetical

Example

for

Comparison

Purposes

The

information

on

the

second

line

of

the

table

(Hypothetical)

is

based

on

hypothetical

account

values

and

expenses

derived

from

the

fund’s

actual

expense

ratio

and

an

assumed

5%

per

year

rate

of

return

before

expenses

(not

the

fund’s

actual

return).

You

may

compare

the

ongoing

costs

of

investing

in

the

fund

with

other

funds

by

contrasting

this

5%

hypothetical

example

and

the

5%

hypothetical

examples

that

appear

in

the

shareholder

reports

of

the

other

funds.

The

hypothetical

account

values

and

expenses

may

not

be

used

to

estimate

the

actual

ending

account

balance

or

expenses

you

paid

for

the

period.

Note:

T.

Rowe

Price

charges

an

annual

account

service

fee

of

$20,

generally

for

accounts

with

less

than

$10,000.

The

fee

is

waived

for

any

investor

whose

T.

Rowe

Price

mutual

fund

accounts

total

$50,000

or

more;

accounts

electing

to

receive

electronic

delivery

of

account

statements,

transaction

confirmations,

prospectuses,

and

shareholder

reports;

or

accounts

of

an

investor

who

is

a

T.

Rowe

Price

Personal

Services

or

Enhanced

Personal

Services

client

(enrollment

in

these

programs

generally

requires

T.

Rowe

Price

assets

of

at

least

$250,000).

This

fee

is

not

included

in

the

accompanying

table.

If

you

are

subject

to

the

fee,

keep

it

in

mind

when

you

are

estimating

the

ongoing

expenses

of

investing

in

the

fund

and

when

comparing

the

expenses

of

this

fund

with

other

funds.

You

should

also

be

aware

that

the

expenses

shown

in

the

table

highlight

only

your

ongoing

costs

and

do

not

reflect

any

transaction

costs,

such

as

redemption

fees

or

sales

loads.

Therefore,

the

second

line

of

the

table

is

useful

in

comparing

ongoing

costs

only

and

will

not

help

you

determine

the

relative

total

costs

of

owning

different

funds.

To

the

extent

a

fund

charges

transaction

costs,

however,

the

total

cost

of

owning

that

fund

is

higher.

T.

ROWE

PRICE

New

Income

Fund

6

NEW

INCOME

FUND

Beginning

Account

Value

6/1/23

Ending

Account

Value

11/30/23

Expenses

Paid

During

Period*

6/1/23

to

11/30/23

Investor

Class

Actual

$1,000.00

$986.60

$2.19

Hypothetical

(assumes

5%

return

before

expenses)

 1,000.00

  1,022.80

  2.23

Advisor

Class

Actual

  1,000.00

  984.20

  4.56

Hypothetical

(assumes

5%

return

before

expenses)

 1,000.00

  1,020.40

  4.65

R

Class

Actual

  1,000.00

  983.50

  5.36

Hypothetical

(assumes

5%

return

before

expenses)

 1,000.00

  1,019.60

  5.45

I

Class

Actual

  1,000.00

  987.00

  1.79

Hypothetical

(assumes

5%

return

before

expenses)

 1,000.00

  1,023.20

  1.82

Z

Class

Actual

  1,000.00

  988.80

  0.00

Hypothetical

(assumes

5%

return

before

expenses)

 1,000.00

  1,025.00

  0.00

*

Expenses

are

equal

to

the

fund’s

annualized

expense

ratio

for

the

6-month

period,

multiplied

by

the

average

account

value

over

the

period,

multiplied

by

the

number

of

days

in

the

most

recent

fiscal

half

year

(183),

and

divided

by

the

days

in

the

year

(366)

to

reflect

the

half-year

period.

The

annualized

expense

ratio

of

the

1

Investor

Class

was

0.44%,

the

2

Advisor Class

was

0.92%,

the

3

R

Class

was

1.08%,

the

4

I Class

was

0.36%,

and

the

5

Z Class

was

0.00%.

FUND

EXPENSE

EXAMPLE

(CONTINUED)

T.

ROWE

PRICE

New

Income

Fund

(Unaudited)

Financial

Highlights

7

For

a

share

outstanding

throughout

each

period

Investor

Class

6

Months

.

Ended

11/30/23

..

Year

..

..

Ended

.

5/31/23

5/31/22

5/31/21

5/31/20

5/31/19

NET

ASSET

VALUE

Beginning

of

period

$

8.11‌

$

8.66‌

$

9.71‌

$

9.70‌

$

9.51‌

$

9.22‌

Investment

activities

Net

investment

income

(1)(2)

0.16‌

0.26‌

0.15‌

0.19‌

0.26‌

0.27‌

Net

realized

and

unrealized

gain/loss

(0.27‌)

(0.55‌)

(0.96‌)

0.11‌

0.20‌

0.31‌

Total

from

investment

activities

(0.11‌)

(0.29‌)

(0.81‌)

0.30‌

0.46‌

0.58‌

Distributions

Net

investment

income

(0.16‌)

(0.26‌)

(0.14‌)

(0.20‌)

(0.27‌)

(0.29‌)

Net

realized

gain

—‌

—‌

(0.10‌)

(0.09‌)

—‌

—‌

Total

distributions

(0.16‌)

(0.26‌)

(0.24‌)

(0.29‌)

(0.27‌)

(0.29‌)

NET

ASSET

VALUE

End

of

period

$

7.84‌

$

8.11‌

$

8.66‌

$

9.71‌

$

9.70‌

$

9.51‌

T.

ROWE

PRICE

New

Income

Fund

(Unaudited)

Financial

Highlights

8

For

a

share

outstanding

throughout

each

period

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Investor

Class

6

Months

.

Ended

11/30/23

..

Year

..

..

Ended

.

5/31/23

5/31/22

5/31/21

5/31/20

5/31/19

Ratios/Supplemental

Data

Total

return

(2)(3)

(1.34‌)%

(3.35‌)%

(8.50‌)%

3.08‌%

4.85‌%

6.38‌%

Ratios

to

average

net

assets:

(2)

Gross

expenses

before

waivers/

payments

by

Price

Associates

(4)

0.54‌%

(5)

0.53‌%

0.45‌%

0.47‌%

0.51‌%

0.51‌%

Net

expenses

after

waivers/payments

by

Price

Associates

0.44‌%

(5)

0.44‌%

0.45‌%

0.47‌%

0.49‌%

0.50‌%

Net

investment

income

4.06‌%

(5)

3.13‌%

1.51‌%

1.96‌%

2.68‌%

2.97‌%

Portfolio

turnover

rate

(6)

113.7‌%

171.6‌%

229.1‌%

126.4‌%

153.7‌%

139.4‌%

Portfolio

turnover

rate,

excluding

mortgage

dollar

roll

transactions

40.2‌%

111.9‌%

93.1‌%

74.6‌%

69.5‌%

86.4‌%

Net

assets,

end

of

period

(in

millions)

$746

$819

$1,000

$2,911

$4,430

$17,423

0‌%

0‌%

0‌%

0‌%

0‌%

0‌%

(1)

Per

share

amounts

calculated

using

average

shares

outstanding

method.

(2)

See

Note

6

for

details

of

expense-related

arrangements

with

Price

Associates.

(3)

Total

return

reflects

the

rate

that

an

investor

would

have

earned

on

an

investment

in

the

fund

during

each

period,

assuming

reinvestment

of

all

distributions,

and

payment

of

no

redemption

or

account

fees,

if

applicable.

Total

return

is

not

annualized

for

periods

less

than

one

year.

(4)

See

Note

6

.

Prior

to

5/31/20,

the

gross

expense

ratios

presented

are

net

of

a

management

fee

waiver

in

effect

during

the

period,

as

applicable.

(5)

Annualized

(6)

See

Note

4

.

The

portfolio

turnover

rate

calculation

includes

purchases

and

sales

from

the

mortgage

dollar

roll

transactions.

T.

ROWE

PRICE

New

Income

Fund

(Unaudited)

Financial

Highlights

9

For

a

share

outstanding

throughout

each

period

Advisor

Class

6

Months

.

Ended

11/30/23

..

Year

..

..

Ended

.

5/31/23

5/31/22

5/31/21

5/31/20

5/31/19

NET

ASSET

VALUE

Beginning

of

period

$

8.09‌

$

8.64‌

$

9.69‌

$

9.68‌

$

9.49‌

$

9.20‌

Investment

activities

Net

investment

income

(1)(2)

0.14‌

0.25‌

0.06‌

0.16‌

0.22‌

0.24‌

Net

realized

and

unrealized

gain/loss

(0.27‌)

(0.55‌)

(0.95‌)

0.11‌

0.21‌

0.30‌

Total

from

investment

activities

(0.13‌)

(0.30‌)

(0.89‌)

0.27‌

0.43‌

0.54‌

Distributions

Net

investment

income

(0.14‌)

(0.25‌)

(0.06‌)

(0.17‌)

(0.24‌)

(0.25‌)

Net

realized

gain

—‌

—‌

(0.10‌)

(0.09‌)

—‌

—‌

Total

distributions

(0.14‌)

(0.25‌)

(0.16‌)

(0.26‌)

(0.24‌)

(0.25‌)

NET

ASSET

VALUE

End

of

period

$

7.82‌

$

8.09‌

$

8.64‌

$

9.69‌

$

9.68‌

$

9.49‌

T.

ROWE

PRICE

New

Income

Fund

(Unaudited)

Financial

Highlights

10

For

a

share

outstanding

throughout

each

period

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Advisor

Class

6

Months

.

Ended

11/30/23

..

Year

..

..

Ended

.

5/31/23

5/31/22

5/31/21

5/31/20

5/31/19

Ratios/Supplemental

Data

Total

return

(2)(3)

(1.58‌)%

(3.43‌)%

(9.31‌)%

2.75‌%

4.52‌%

6.04‌%

Ratios

to

average

net

assets:

(2)

Gross

expenses

before

waivers/

payments

by

Price

Associates

(4)

1.25‌%

(5)

0.52‌

%

1.31‌%

0.80‌%

0.83‌%

0.84‌%

Net

expenses

after

waivers/payments

by

Price

Associates

0.92‌%

(5)

0.52‌

%

1.31‌%

0.80‌%

0.82‌%

0.82‌%

Net

investment

income

3.58‌%

(5)

2.99‌

%

0.65‌%

1.62‌%

2.32‌%

2.65‌%

Portfolio

turnover

rate

(6)

113.7‌%

171.6‌%

229.1‌%

126.4‌%

153.7‌%

139.4‌%

Portfolio

turnover

rate,

excluding

mortgage

dollar

roll

transactions

40.2‌%

111.9‌%

93.1‌%

74.6‌%

69.5‌%

86.4‌%

Net

assets,

end

of

period

(in

thousands)

$8,438

$9,209

$14,228

$20,183

$45,409

$51,936

0‌%

0‌%

0‌%

0‌%

0‌%

0‌%

(1)

Per

share

amounts

calculated

using

average

shares

outstanding

method.

(2)

See

Note

6

for

details

of

expense-related

arrangements

with

Price

Associates.

(3)

Total

return

reflects

the

rate

that

an

investor

would

have

earned

on

an

investment

in

the

fund

during

each

period,

assuming

reinvestment

of

all

distributions,

and

payment

of

no

redemption

or

account

fees,

if

applicable.

Total

return

is

not

annualized

for

periods

less

than

one

year.

(4)

See

Note

6

.

Prior

to

5/31/20,

the

gross

expense

ratios

presented

are

net

of

a

management

fee

waiver

in

effect

during

the

period,

as

applicable.

(5)

Annualized

(6)

See

Note

4

.

The

portfolio

turnover

rate

calculation

includes

purchases

and

sales

from

the

mortgage

dollar

roll

transactions.

T.

ROWE

PRICE

New

Income

Fund

(Unaudited)

Financial

Highlights

11

For

a

share

outstanding

throughout

each

period

R

Class

6

Months

.

Ended

11/30/23

..

Year

..

..

Ended

.

5/31/23

5/31/22

5/31/21

5/31/20

5/31/19

NET

ASSET

VALUE

Beginning

of

period

$

8.11‌

$

8.65‌

$

9.70‌

$

9.69‌

$

9.50‌

$

9.21‌

Investment

activities

Net

investment

income

(1)(2)

0.13‌

0.20‌

0.08‌

0.12‌

0.20‌

0.21‌

Net

realized

and

unrealized

gain/loss

(0.26‌)

(0.53‌)

(0.95‌)

0.11‌

0.20‌

0.31‌

Total

from

investment

activities

(0.13‌)

(0.33‌)

(0.87‌)

0.23‌

0.40‌

0.52‌

Distributions

Net

investment

income

(0.14‌)

(0.21‌)

(0.08‌)

(0.13‌)

(0.21‌)

(0.23‌)

Net

realized

gain

—‌

—‌

(0.10‌)

(0.09‌)

—‌

—‌

Total

distributions

(0.14‌)

(0.21‌)

(0.18‌)

(0.22‌)

(0.21‌)

(0.23‌)

NET

ASSET

VALUE

End

of

period

$

7.84‌

$

8.11‌

$

8.65‌

$

9.70‌

$

9.69‌

$

9.50‌

T.

ROWE

PRICE

New

Income

Fund

(Unaudited)

Financial

Highlights

12

For

a

share

outstanding

throughout

each

period

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

R

Class

6

Months

.

Ended

11/30/23

..

Year

..

..

Ended

.

5/31/23

5/31/22

5/31/21

5/31/20

5/31/19

Ratios/Supplemental

Data

Total

return

(2)(3)

(1.65‌)%

(3.86‌)%

(9.10‌)%

2.38‌%

4.19‌%

5.71‌%

Ratios

to

average

net

assets:

(2)

Gross

expenses

before

waivers/

payments

by

Price

Associates

(4)

1.26‌%

(5)

1.08‌%

1.16‌%

1.30‌%

1.31‌%

1.25‌%

Net

expenses

after

waivers/payments

by

Price

Associates

1.08‌%

(5)

1.08‌%

1.11‌%

1.15‌%

1.14‌%

1.14‌%

Net

investment

income

3.42‌%

(5)

2.47‌%

0.84‌%

1.26‌%

2.03‌%

2.34‌%

Portfolio

turnover

rate

(6)

113.7‌%

171.6‌%

229.1‌%

126.4‌%

153.7‌%

139.4‌%

Portfolio

turnover

rate,

excluding

mortgage

dollar

roll

transactions

40.2‌%

111.9‌%

93.1‌%

74.6‌%

69.5‌%

86.4‌%

Net

assets,

end

of

period

(in

thousands)

$980

$1,012

$1,407

$2,024

$2,927

$3,808

0‌%

0‌%

0‌%

0‌%

0‌%

0‌%

(1)

Per

share

amounts

calculated

using

average

shares

outstanding

method.

(2)

See

Note

6

for

details

of

expense-related

arrangements

with

Price

Associates.

(3)

Total

return

reflects

the

rate

that

an

investor

would

have

earned

on

an

investment

in

the

fund

during

each

period,

assuming

reinvestment

of

all

distributions,

and

payment

of

no

redemption

or

account

fees,

if

applicable.

Total

return

is

not

annualized

for

periods

less

than

one

year.

(4)

See

Note

6

.

Prior

to

5/31/20,

the

gross

expense

ratios

presented

are

net

of

a

management

fee

waiver

in

effect

during

the

period,

as

applicable.

(5)

Annualized

(6)

See

Note

4

.

The

portfolio

turnover

rate

calculation

includes

purchases

and

sales

from

the

mortgage

dollar

roll

transactions.

T.

ROWE

PRICE

New

Income

Fund

(Unaudited)

Financial

Highlights

13

For

a

share

outstanding

throughout

each

period

I

Class

6

Months

.

Ended

11/30/23

..

Year

..

..

Ended

.

5/31/23

5/31/22

5/31/21

5/31/20

5/31/19

NET

ASSET

VALUE

Beginning

of

period

$

8.11‌

$

8.65‌

$

9.70‌

$

9.69‌

$

9.50‌

$

9.21‌

Investment

activities

Net

investment

income

(1)(2)

0.16‌

0.27‌

0.16‌

0.20‌

0.27‌

0.28‌

Net

realized

and

unrealized

gain/loss

(0.27‌)

(0.54‌)

(0.96‌)

0.11‌

0.20‌

0.31‌

Total

from

investment

activities

(0.11‌)

(0.27‌)

(0.80‌)

0.31‌

0.47‌

0.59‌

Distributions

Net

investment

income

(0.16‌)

(0.27‌)

(0.15‌)

(0.21‌)

(0.28‌)

(0.30‌)

Net

realized

gain

—‌

—‌

(0.10‌)

(0.09‌)

—‌

—‌

Total

distributions

(0.16‌)

(0.27‌)

(0.25‌)

(0.30‌)

(0.28‌)

(0.30‌)

NET

ASSET

VALUE

End

of

period

$

7.84‌

$

8.11‌

$

8.65‌

$

9.70‌

$

9.69‌

$

9.50‌

T.

ROWE

PRICE

New

Income

Fund

(Unaudited)

Financial

Highlights

14

For

a

share

outstanding

throughout

each

period

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

I

Class

6

Months

.

Ended

11/30/23

..

Year

..

..

Ended

.

5/31/23

5/31/22

5/31/21

5/31/20

5/31/19

Ratios/Supplemental

Data

Total

return

(2)(3)

(1.30‌)%

(3.16‌)%

(8.42‌)%

3.16‌%

4.98‌%

6.52‌%

Ratios

to

average

net

assets:

(2)

Gross

expenses

before

waivers/

payments

by

Price

Associates

(4)

0.36‌%

(5)

0.36‌%

0.36‌%

0.39‌%

0.39‌%

0.39‌%

Net

expenses

after

waivers/payments

by

Price

Associates

0.36‌%

(5)

0.36‌%

0.36‌%

0.39‌%

0.37‌%

0.37‌%

Net

investment

income

4.14‌%

(5)

3.22‌%

1.67‌%

2.04‌%

2.79‌%

3.10‌%

Portfolio

turnover

rate

(6)

113.7‌%

171.6‌%

229.1‌%

126.4‌%

153.7‌%

139.4‌%

Portfolio

turnover

rate,

excluding

mortgage

dollar

roll

transactions

40.2‌%

111.9‌%

93.1‌%

74.6‌%

69.5‌%

86.4‌%

Net

assets,

end

of

period

(in

millions)

$2,492

$2,663

$3,015

$2,543

$3,695

$8,136

0‌%

0‌%

0‌%

0‌%

0‌%

0‌%

(1)

Per

share

amounts

calculated

using

average

shares

outstanding

method.

(2)

See

Note

6

for

details

of

expense-related

arrangements

with

Price

Associates.

(3)

Total

return

reflects

the

rate

that

an

investor

would

have

earned

on

an

investment

in

the

fund

during

each

period,

assuming

reinvestment

of

all

distributions,

and

payment

of

no

redemption

or

account

fees,

if

applicable.

Total

return

is

not

annualized

for

periods

less

than

one

year.

(4)

See

Note

6

.

Prior

to

5/31/20,

the

gross

expense

ratios

presented

are

net

of

a

management

fee

waiver

in

effect

during

the

period,

as

applicable.

(5)

Annualized

(6)

See

Note

4

.

The

portfolio

turnover

rate

calculation

includes

purchases

and

sales

from

the

mortgage

dollar

roll

transactions.

T.

ROWE

PRICE

New

Income

Fund

(Unaudited)

Financial

Highlights

15

For

a

share

outstanding

throughout

each

period

Z

Class

(1)

6

Months

.

Ended

11/30/23

..

Year

..

..

Ended

.

3/16/20

(1)

Through

5/31/20

5/31/23

5/31/22

5/31/21

NET

ASSET

VALUE

Beginning

of

period

$

8.11‌

$

8.65‌

$

9.70‌

$

9.69‌

$

9.60‌

Investment

activities

Net

investment

income

(2)(3)

0.18‌

0.29‌

0.18‌

0.23‌

0.06‌

Net

realized

and

unrealized

gain/

loss

(0.27‌)

(0.54‌)

(0.94‌)

0.12‌

0.09‌

Total

from

investment

activities

(0.09‌)

(0.25‌)

(0.76‌)

0.35‌

0.15‌

Distributions

Net

investment

income

(0.18‌)

(0.29‌)

(0.19‌)

(0.25‌)

(0.06‌)

Net

realized

gain

—‌

—‌

(0.10‌)

(0.09‌)

—‌

Total

distributions

(0.18‌)

(0.29‌)

(0.29‌)

(0.34‌)

(0.06‌)

NET

ASSET

VALUE

End

of

period

$

7.84‌

$

8.11‌

$

8.65‌

$

9.70‌

$

9.69‌

T.

ROWE

PRICE

New

Income

Fund

(Unaudited)

Financial

Highlights

16

For

a

share

outstanding

throughout

each

period

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Z

Class

(1)

6

Months

.

Ended

11/30/23

..

Year

..

..

Ended

.

3/16/20

(1)

Through

5/31/20

5/31/23

5/31/22

5/31/21

Ratios/Supplemental

Data

Total

return

(3)(4)

(1.12‌)%

(2.81‌)%

(8.09‌)%

3.56‌%

1.60‌%

Ratios

to

average

net

assets:

(3)

Gross

expenses

before

waivers/

payments

by

Price

Associates

0.32‌%

(5)

0.32‌%

0.34‌%

0.38‌%

0.38‌%

(5)

Net

expenses

after

waivers/

payments

by

Price

Associates

0.00‌%

(5)

0.00‌%

0.00‌%

0.00‌%

0.00‌%

(5)

Net

investment

income

4.50‌%

(5)

3.58‌%

1.93‌%

2.37‌%

3.01‌%

(5)

Portfolio

turnover

rate

(6)

113.7‌%

171.6‌%

229.1‌%

126.4‌%

153.7‌%

Portfolio

turnover

rate,

excluding

mortgage

dollar

roll

transactions

40.2‌%

111.9‌%

93.1‌%

74.6‌%

69.5‌%

Net

assets,

end

of

period

(in

millions)

$12,933

$12,355

$13,847

$15,804

$13,684

0‌%

0‌%

0‌%

0‌%

0‌%

(1)

Inception

date

(2)

Per

share

amounts

calculated

using

average

shares

outstanding

method.

(3)

See

Note

6

for

details

of

expense-related

arrangements

with

Price

Associates.

(4)

Total

return

reflects

the

rate

that

an

investor

would

have

earned

on

an

investment

in

the

fund

during

each

period,

assuming

reinvestment

of

all

distributions,

and

payment

of

no

redemption

or

account

fees,

if

applicable.

Total

return

is

not

annualized

for

periods

less

than

one

year.

(5)

Annualized

(6)

See

Note

4

.

The

portfolio

turnover

rate

calculation

includes

purchases

and

sales

from

the

mortgage

dollar

roll

transactions.

T.

ROWE

PRICE

New

Income

Fund

November

30,

2023

(Unaudited)

17

Portfolio

of

Investments

‡

Par/Shares

$

Value

(Amounts

in

000s)

‡

ASSET-BACKED

SECURITIES

5.5%

Car

Loan

2.0%

AmeriCredit

Automobile

Receivables

Trust

Series

2021-1,

Class

C

0.89%,

10/19/26 

11,618‌

10,999‌

AmeriCredit

Automobile

Receivables

Trust

Series

2021-1,

Class

D

1.21%,

12/18/26 

10,301‌

9,507‌

AmeriCredit

Automobile

Receivables

Trust

Series

2022-1,

Class

D

3.23%,

2/18/28 

36,840‌

33,974‌

AmeriCredit

Automobile

Receivables

Trust

Series

2023-1,

Class

C

5.80%,

12/18/28 

10,995‌

10,869‌

CarMax

Auto

Owner

Trust

Series

2022-1,

Class

C

2.20%,

11/15/27 

11,975‌

11,017‌

CarMax

Auto

Owner

Trust

Series

2023-3,

Class

B

5.47%,

2/15/29 

8,750‌

8,643‌

Carvana

Auto

Receivables

Trust

Series

2022-N1,

Class

C

3.32%,

12/11/28  (1)

3,109‌

3,030‌

Carvana

Auto

Receivables

Trust

Series

2022-P1,

Class

C

3.30%,

4/10/28 

13,955‌

12,685‌

Carvana

Auto

Receivables

Trust

Series

2023-N3,

Class

A

6.41%,

9/10/27  (1)

3,048‌

3,054‌

Exeter

Automobile

Receivables

Trust

Series

2021-2A,

Class

D

1.40%,

4/15/27 

8,374‌

7,819‌

Exeter

Automobile

Receivables

Trust

Series

2022-1A,

Class

D

3.02%,

6/15/28 

35,405‌

33,176‌

Exeter

Automobile

Receivables

Trust

Series

2022-2A,

Class

C

3.85%,

7/17/28 

17,900‌

17,456‌

Exeter

Automobile

Receivables

Trust

Series

2022-3A,

Class

C

5.30%,

9/15/27 

19,445‌

19,229‌

Exeter

Automobile

Receivables

Trust

Series

2023-1A,

Class

D

6.69%,

6/15/29 

3,250‌

3,221‌

Ford

Credit

Auto

Lease

Trust

Series

2023-B,

Class

B

6.20%,

2/15/27 

2,545‌

2,556‌

T.

ROWE

PRICE

New

Income

Fund

18

Par/Shares

$

Value

(Amounts

in

000s)

Ford

Credit

Auto

Lease

Trust

Series

2023-B,

Class

C

6.43%,

4/15/27 

9,545‌

9,573‌

Ford

Credit

Auto

Lease

Trust

Series

2023-B,

Class

D

6.97%,

6/15/28 

7,830‌

7,860‌

Ford

Credit

Auto

Owner

Trust

Series

2023-1,

Class

A

4.85%,

8/15/35  (1)

33,720‌

33,068‌

GM

Financial

Automobile

Leasing

Trust

Series

2023-1,

Class

C

5.76%,

1/20/27 

6,550‌

6,478‌

Santander

Bank

Series

2021-1A,

Class

B

1.833%,

12/15/31  (1)

1,930‌

1,886‌

Santander

Drive

Auto

Receivables

Trust

Series

2020-4,

Class

E

2.85%,

4/17/28  (1)

41,920‌

40,176‌

Santander

Drive

Auto

Receivables

Trust

Series

2022-2,

Class

C

3.76%,

7/16/29 

17,240‌

16,465‌

Santander

Retail

Auto

Lease

Trust

Series

2021-A,

Class

D

1.38%,

3/22/27  (1)

23,480‌

22,912‌

325,653‌

Credit

Card

0.0%

Synchrony

Card

Funding

Series

2023-A1,

Class

A

5.54%,

7/15/29 

6,345‌

6,376‌

6,376‌

Other

Asset-Backed

Securities

3.2%

522

Funding

Series

2019-5A,

Class

BR,

CLO,

FRN

3M

TSFR

+

1.85%,

7.244%,

4/15/35  (1)

16,085‌

15,771‌

AGL

Series

2022-17A,

Class

A,

CLO,

FRN

3M

TSFR

+

1.33%,

6.742%,

1/21/35  (1)

22,400‌

22,232‌

Applebee's

Funding

Series

2023-1A,

Class

A2

7.824%,

3/5/53  (1)

15,945‌

16,020‌

Carlyle

U.S.

Series

2019-4A,

Class

A11R,

CLO,

FRN

3M

TSFR

+

1.32%,

6.714%,

4/15/35  (1)

29,195‌

28,903‌

Cedar

Funding

XIV

Series

2021-14A,

Class

A,

CLO,

FRN

3M

TSFR

+

1.362%,

6.755%,

7/15/33  (1)

9,385‌

9,372‌

T.

ROWE

PRICE

New

Income

Fund

19

Par/Shares

$

Value

(Amounts

in

000s)

CIFC

Funding

Series

2021-3A,

Class

A,

CLO,

FRN

3M

TSFR

+

1.402%,

6.795%,

7/15/36  (1)

30,055‌

29,944‌

Dell

Equipment

Finance

Trust

Series

2023-3,

Class

A3

5.93%,

4/23/29  (1)

14,765‌

14,861‌

Dell

Equipment

Finance

Trust

Series

2023-3,

Class

C

6.17%,

4/23/29  (1)

4,328‌

4,361‌

Driven

Brands

Funding

Series

2021-1A,

Class

A2

2.791%,

10/20/51  (1)

14,092‌

11,712‌

Dryden

Series

2020-86A,

Class

A1R,

CLO,

FRN

3M

TSFR

+

1.362%,

6.764%,

7/17/34  (1)

21,235‌

21,097‌

Elara

HGV

Timeshare

Issuer

Series

2023-A,

Class

A

6.16%,

2/25/38  (1)

12,233‌

12,327‌

Elara

HGV

Timeshare

Issuer

Series

2023-A,

Class

B

6.53%,

2/25/38  (1)

6,210‌

6,249‌

Hardee's

Funding

Series

2018-1A,

Class

A2II

4.959%,

6/20/48  (1)

29,255‌

27,810‌

Hilton

Grand

Vacations

Trust

Series

2023-1A,

Class

A

5.72%,

1/25/38  (1)

21,972‌

21,900‌

Hpefs

Equipment

Trust

Series

2022-2A,

Class

C

4.43%,

9/20/29  (1)

4,445‌

4,332‌

HPEFS

Equipment

Trust

Series

2022-1A,

Class

C

1.96%,

5/21/29  (1)

5,736‌

5,527‌

HPEFS

Equipment

Trust

Series

2022-1A,

Class

D

2.40%,

11/20/29  (1)

12,510‌

11,839‌

HPEFS

Equipment

Trust

Series

2023-2A,

Class

B

6.25%,

1/21/31  (1)

1,285‌

1,292‌

HPEFS

Equipment

Trust

Series

2023-2A,

Class

C

6.48%,

1/21/31  (1)

5,005‌

5,032‌

HPEFS

Equipment

Trust

Series

2023-2A,

Class

D

6.97%,

7/21/31  (1)

3,320‌

3,345‌

HPS

Loan

Management

Series

2021-16A,

Class

A1,

CLO,

FRN

3M

TSFR

+

1.402%,

6.814%,

1/23/35  (1)

11,822‌

11,740‌

T.

ROWE

PRICE

New

Income

Fund

20

Par/Shares

$

Value

(Amounts

in

000s)

Kubota

Credit

Owner

Trust

Series

2023-1A,

Class

A4

5.07%,

2/15/29  (1)

5,255‌

5,171‌

MidOcean

Credit

XI

Series

2022-11A,

Class

A1R,

CLO,

FRN

3M

TSFR

+

1.73%,

10/18/33  (1)

16,090‌

16,090‌

MVW

Series

2023-1A,

Class

A

4.93%,

10/20/40  (1)

25,395‌

24,927‌

MVW

Series

2023-2A,

Class

A

6.18%,

11/20/40  (1)

21,225‌

21,384‌

MVW

Series

2023-2A,

Class

B

6.33%,

11/20/40  (1)

4,570‌

4,603‌

Neuberger

Berman

Loan

Advisers

Series

2019-32A,

Class

AR,

CLO,

FRN

3M

TSFR

+

1.252%,

6.648%,

1/20/32  (1)

33,715‌

33,679‌

Neuberger

Berman

Loan

Advisers

Series

2021-43A,

Class

A,

CLO,

FRN

3M

TSFR

+

1.392%,

6.794%,

7/17/35  (1)

15,105‌

14,990‌

Octane

Receivables

Trust

Series

2023-1A,

Class

A

5.87%,

5/21/29  (1)

4,234‌

4,221‌

Octane

Receivables

Trust

Series

2023-3A,

Class

B

6.48%,

7/20/29  (1)

3,023‌

3,040‌

Octane

Receivables

Trust

Series

2023-3A,

Class

C

6.74%,

8/20/29  (1)

1,160‌

1,171‌

Octane

Receivables

Trust

Series

2023-3A,

Class

D

7.58%,

9/20/29  (1)

1,415‌

1,433‌

OZLM

VII

Series

2014-7RA,

Class

A1R,

CLO,

FRN

3M

TSFR

+

1.272%,

6.674%,

7/17/29  (1)

13,039‌

13,022‌

Palmer

Square

Series

2022-1A,

Class

A,

CLO,

FRN

3M

TSFR

+

1.32%,

6.736%,

4/20/35  (1)

40,630‌

40,263‌

Progress

Residential

Trust

Series

2023-SFR2,

Class

A

4.50%,

10/17/28  (1)

17,200‌

16,141‌

SCF

Equipment

Leasing

Series

2023-1A,

Class

A2

6.56%,

1/22/30  (1)

9,250‌

9,275‌

Sierra

Timeshare

Receivables

Funding

Series

2022-3A,

Class

B

6.32%,

7/20/39  (1)

1,959‌

1,949‌

T.

ROWE

PRICE

New

Income

Fund

21

Par/Shares

$

Value

(Amounts

in

000s)

Symphony

XXXI

Series

2022-31A,

Class

B,

CLO,

FRN

3M

TSFR

+

1.85%,

7.262%,

4/22/35  (1)

14,150‌

13,856‌

Verizon

Master

Trust

Series

2023-1,

Class

C

4.98%,

1/22/29 

9,270‌

9,117‌

519,998‌

Student

Loan

0.3%

Navient

Private

Education

Loan

Trust

Series

2017-A,

Class

B

3.91%,

12/16/58  (1)

8,525‌

8,203‌

Navient

Private

Education

Refi

Loan

Trust

Series

2020-CA,

Class

B

2.83%,

11/15/68  (1)

20,755‌

16,907‌

SMB

Private

Education

Loan

Trust

Series

2018-C,

Class

A2A

3.63%,

11/15/35  (1)

5,543‌

5,330‌

SMB

Private

Education

Loan

Trust

Series

2021-A,

Class

APT1

1.07%,

1/15/53  (1)

14,471‌

12,436‌

42,876‌

Total

Asset-Backed

Securities

(Cost

$918,490)

894,903‌

BANK

LOANS

1.6%

(2)

FINANCIAL

INSTITUTIONS

0.6%

Brokerage

Asset

Managers

Exchanges

0.3%

Citadel

Securities,

FRN

1M

TSFR

+

2.50%,

7.963%,

7/29/30 

45,661‌

45,636‌

45,636‌

Financial

Other

0.1%

GTCR

W

Merger,

FRN

1M

TSFR

+

3.00%,

9/21/30  (3)

7,935‌

7,925‌

7,925‌

Insurance

0.2%

Asurion,

FRN

1M

TSFR

+

3.25%,

8.713%,

12/23/26 

3,483‌

3,433‌

Asurion,

FRN

1M

TSFR

+

4.25%,

9.698%,

8/19/28 

8,479‌

8,331‌

Asurion,

FRN

1M

TSFR

+

5.25%,

10.713%,

1/31/28 

7,435‌

6,657‌

Asurion,

FRN

1M

TSFR

+

5.25%,

10.713%,

1/20/29 

3,580‌

3,161‌

HUB

International,

FRN

1M

TSFR

+

4.25%,

9.662%,

6/20/30 

14,930‌

14,985‌

T.

ROWE

PRICE

New

Income

Fund

22

Par/Shares

$

Value

(Amounts

in

000s)

HUB

International,

FRN

3M

TSFR

+

4.00%,

9.369%,

11/10/29 

700‌

702‌

37,269‌

Total

Financial

Institutions

90,830‌

INDUSTRIAL

1.0%

Capital

Goods

0.1%

Charter

Next

Generation,

FRN

1M

TSFR

+

3.75%,

9.213%,

12/1/27 

8,543‌

8,504‌

Summit

Materials,

FRN

1M

TSFR

+

2.50%,

11/30/28  (3)(4)

5,485‌

5,485‌

TransDigm,

FRN

1M

TSFR

+

3.25%,

8.64%,

2/22/27 

89‌

89‌

14,078‌

Communications

0.1%

Lamar

Media,

FRN

1M

TSFR

+

1.50%,

6.948%,

2/5/27 

14,435‌

14,352‌

14,352‌

Consumer

Cyclical

0.4%

Delta

2,

FRN

1M

TSFR

+

2.25%,

7.598%,

1/15/30 

8,755‌

8,758‌

Hilton

Domestic

Operating,

FRN

1M

TSFR

+

1.75%,

7.193%,

6/21/28 

26,840‌

26,812‌

Hilton

Domestic

Operating,

FRN

1M

TSFR

+

2.00%,

7.443%,

11/8/30 

26,840‌

26,854‌

UFC

Holdings,

FRN

1M

TSFR

+

2.75%,

8.399%,

4/29/26 

11,147‌

11,160‌

73,584‌

Consumer

Non-Cyclical

0.0%

Medline

Borrower,

FRN

1M

TSFR

+

3.00%,

8.463%,

10/23/28  (3)

7,878‌

7,877‌

7,877‌

Technology

0.4%

Applied

Systems,

FRN

3M

TSFR

+

4.50%,

9.89%,

9/18/26 

21,786‌

21,854‌

Ascend

Learning,

FRN

1M

TSFR

+

3.50%,

8.948%,

12/11/28 

6,054‌

5,909‌

AthenaHealth

Group,

FRN

1M

TSFR

+

3.25%,

8.598%,

2/15/29 

5,017‌

4,919‌

Epicor

Software,

FRN

1M

TSFR

+

3.75%,

9.098%,

7/30/27 

530‌

533‌

Gen

Digital,

FRN

1M

TSFR

+

1.50%,

6.948%,

9/10/27 

4,601‌

4,582‌

UKG,

FRN

3M

TSFR

+

3.25%,

8.764%,

5/4/26 

15,826‌

15,826‌

T.

ROWE

PRICE

New

Income

Fund

23

Par/Shares

$

Value

(Amounts

in

000s)

UKG,

FRN

3M

TSFR

+

5.25%,

10.764%,

5/3/27 

5,525‌

5,521‌

59,144‌

Transportation

0.0%

Mileage

Plus

Holdings,

FRN

3M

TSFR

+

5.25%,

10.798%,

6/21/27 

2,110‌

2,173‌

2,173‌

Total

Industrial

171,208‌

Total

Bank

Loans

(Cost

$261,066)

262,038‌

BOND

MUTUAL

FUNDS

0.0%

Trusts

&

Mutual

Funds

0.0%

T.

Rowe

Price

Institutional

Floating

Rate

Fund

-

Z

Class,

9.39%  (5)(6)

32‌

304‌

Total

Bond

Mutual

Funds

(Cost

$284)

304‌

CORPORATE

BONDS

26.6%

FINANCIAL

INSTITUTIONS

13.7%

Banking

9.8%

AIB

Group,

VR,

6.608%,

9/13/29  (1)(7)

5,740‌

5,868‌

Ally

Financial,

4.75%,

6/9/27  (8)

17,172‌

16,192‌

Ally

Financial,

Series

C,

VR,

4.70%  (7)(9)

11,321‌

7,302‌

Banca

Transilvania,

VR,

8.875%,

4/27/27

(EUR)  (7)

12,795‌

14,554‌

Banco

Bilbao

Vizcaya

Argentaria,

VR,

5.862%,

9/14/26  (7)

9,800‌

9,758‌

Banco

Santander,

6.921%,

8/8/33  (8)

8,800‌

8,753‌

Bank

of

America,

4.45%,

3/3/26 

12,308‌

11,998‌

Bank

of

America,

VR,

1.898%,

7/23/31  (7)

72,021‌

55,974‌

Bank

of

America,

VR,

2.299%,

7/21/32  (7)

13,098‌

10,263‌

Bank

of

America,

VR,

2.496%,

2/13/31  (7)

23,595‌

19,490‌

Bank

of

America,

VR,

2.592%,

4/29/31  (7)

39,880‌

32,951‌

Bank

of

America,

VR,

3.419%,

12/20/28  (7)

23,153‌

21,152‌

Bank

of

America,

VR,

3.559%,

4/23/27  (7)

11,110‌

10,573‌

Bank

of

America,

VR,

4.271%,

7/23/29  (7)

38,939‌

36,545‌

Bank

of

America,

VR,

5.819%,

9/15/29  (7)(8)

33,445‌

33,767‌

Bank

of

Montreal,

5.717%,

9/25/28 

3,185‌

3,226‌

Bank

of

New

York

Mellon,

VR,

6.317%,

10/25/29  (7)

15,925‌

16,476‌

Bank

of

New

York

Mellon,

VR,

6.474%,

10/25/34  (7)

18,245‌

19,295‌

Barclays,

VR,

6.224%,

5/9/34  (7)(8)

12,050‌

11,846‌

Barclays,

VR,

6.496%,

9/13/27  (7)

6,325‌

6,384‌

Barclays,

VR,

6.692%,

9/13/34  (7)

25,860‌

26,279‌

Barclays,

VR,

9.625%  (7)(9)

12,830‌

12,926‌

CaixaBank,

VR,

6.208%,

1/18/29  (1)(7)

18,645‌

18,490‌

T.

ROWE

PRICE

New

Income

Fund

24

Par/Shares

$

Value

(Amounts

in

000s)

CaixaBank,

VR,

6.684%,

9/13/27  (1)(7)

16,185‌

16,318‌

CaixaBank,

VR,

6.84%,

9/13/34  (1)(7)

19,295‌

19,376‌

Capital

One

Financial,

3.65%,

5/11/27  (8)

15,364‌

14,175‌

Capital

One

Financial,

3.75%,

3/9/27  (8)

23,993‌

22,286‌

Capital

One

Financial,

VR,

3.273%,

3/1/30  (7)

9,245‌

7,895‌

Capital

One

Financial,

VR,

5.247%,

7/26/30  (7)

3,340‌

3,126‌

Capital

One

Financial,

VR,

5.817%,

2/1/34  (7)

17,000‌

15,872‌

Citigroup,

4.45%,

9/29/27 

5,040‌

4,826‌

Citigroup,

VR,

2.561%,

5/1/32  (7)

10,603‌

8,482‌

Citigroup,

VR,

3.106%,

4/8/26  (7)

12,300‌

11,865‌

Citigroup,

VR,

4.658%,

5/24/28  (7)

4,855‌

4,719‌

Citigroup,

VR,

5.61%,

9/29/26  (7)(8)

22,322‌

22,250‌

Citigroup,

VR,

6.174%,

5/25/34  (7)

13,825‌

13,726‌

Citigroup,

Series

VAR,

VR,

3.07%,

2/24/28  (7)(8)

20,740‌

19,239‌

Credit

Suisse,

7.50%,

2/15/28 

4,460‌

4,762‌

Danske

Bank,

VR,

3.244%,

12/20/25  (1)(7)

21,957‌

21,219‌

Danske

Bank,

VR,

3.773%,

3/28/25  (1)(7)

12,760‌

12,642‌

Fifth

Third

Bancorp,

2.375%,

1/28/25  (8)

3,260‌

3,129‌

Fifth

Third

Bancorp,

2.55%,

5/5/27  (8)

2,040‌

1,841‌

Fifth

Third

Bancorp,

VR,

4.772%,

7/28/30  (7)

3,340‌

3,116‌

Fifth

Third

Bancorp,

VR,

6.339%,

7/27/29  (7)

9,285‌

9,377‌

Fifth

Third

Bancorp,

VR,

6.361%,

10/27/28  (7)

2,875‌

2,884‌

Fifth

Third

Bank,

2.25%,

2/1/27  (8)

830‌

746‌

Fifth

Third

Bank,

3.85%,

3/15/26  (8)

2,345‌

2,220‌

Fifth

Third

Bank,

3.95%,

7/28/25 

1,630‌

1,577‌

Fifth

Third

Bank,

VR,

5.852%,

10/27/25  (7)

5,950‌

5,868‌

Goldman

Sachs

Group,

3.50%,

11/16/26  (8)

6,250‌

5,968‌

Goldman

Sachs

Group,

VR,

1.542%,

9/10/27  (7)

32,259‌

28,602‌

Goldman

Sachs

Group,

VR,

2.383%,

7/21/32  (7)(8)

17,802‌

14,025‌

Goldman

Sachs

Group,

VR,

3.615%,

3/15/28  (7)

20,205‌

19,017‌

Goldman

Sachs

Group,

VR,

3.691%,

6/5/28  (7)

6,770‌

6,333‌

Goldman

Sachs

Group,

VR,

4.482%,

8/23/28  (7)

22,790‌

21,976‌

HSBC

Holdings,

VR,

4.755%,

6/9/28  (7)

35,820‌

34,606‌

HSBC

Holdings,

VR,

5.21%,

8/11/28  (7)

20,700‌

20,338‌

HSBC

Holdings,

VR,

6.254%,

3/9/34  (7)(8)

27,300‌

27,748‌

HSBC

Holdings,

VR,

7.399%,

11/13/34  (7)

17,270‌

17,918‌

Huntington

National

Bank,

VR,

5.699%,

11/18/25  (7)

3,380‌

3,304‌

ING

Groep,

VR,

6.114%,

9/11/34  (7)

9,190‌

9,199‌

Intesa

Sanpaolo,

7.20%,

11/28/33  (1)(8)

20,110‌

20,369‌

Intesa

Sanpaolo,

7.80%,

11/28/53  (1)

24,135‌

24,483‌

JPMorgan

Chase,

VR,

1.578%,

4/22/27  (7)

26,978‌

24,418‌

JPMorgan

Chase,

VR,

1.764%,

11/19/31  (7)(8)

42,600‌

33,226‌

JPMorgan

Chase,

VR,

2.182%,

6/1/28  (7)

33,202‌

29,757‌

JPMorgan

Chase,

VR,

2.522%,

4/22/31  (7)

4,475‌

3,751‌

JPMorgan

Chase,

VR,

2.739%,

10/15/30  (7)

12,398‌

10,692‌

JPMorgan

Chase,

VR,

2.956%,

5/13/31  (7)

35,058‌

29,684‌

T.

ROWE

PRICE

New

Income

Fund

25

Par/Shares

$

Value

(Amounts

in

000s)

JPMorgan

Chase,

VR,

3.96%,

1/29/27  (7)

4,920‌

4,742‌

JPMorgan

Chase,

VR,

6.254%,

10/23/34  (7)

13,505‌

14,066‌

KBC

Group,

VR,

5.796%,

1/19/29  (1)(7)

23,420‌

23,206‌

KBC

Group,

VR,

6.324%,

9/21/34  (1)(7)

18,945‌

18,973‌

Morgan

Stanley,

VR,

1.512%,

7/20/27  (7)(8)

22,190‌

19,901‌

Morgan

Stanley,

VR,

5.123%,

2/1/29  (7)

25,560‌

25,206‌

PNC

Financial

Services

Group,

2.55%,

1/22/30 

3,900‌

3,297‌

PNC

Financial

Services

Group,

VR,

6.037%,

10/28/33  (7)

17,980‌

17,940‌

PNC

Financial

Services

Group,

VR,

6.615%,

10/20/27  (7)

3,100‌

3,154‌

PNC

Financial

Services

Group,

Series

T,

VR,

3.40%  (7)(9)

963‌

739‌

Santander

Holdings

USA,

VR,

2.49%,

1/6/28  (7)

9,640‌

8,641‌

Santander

Holdings

USA,

VR,

6.499%,

3/9/29  (7)

3,885‌

3,899‌

Santander

UK

Group

Holdings,

VR,

1.532%,

8/21/26  (7)

48,133‌

44,215‌

Santander

UK

Group

Holdings,

VR,

2.469%,

1/11/28  (7)

3,605‌

3,212‌

Standard

Chartered,

VR,

1.456%,

1/14/27  (1)(7)

10,354‌

9,361‌

Standard

Chartered,

VR,

2.608%,

1/12/28  (1)(7)

17,245‌

15,478‌

Standard

Chartered,

VR,

2.819%,

1/30/26  (1)(7)

16,707‌

16,022‌

Standard

Chartered,

VR,

3.971%,

3/30/26  (1)(7)

10,485‌

10,154‌

Standard

Chartered,

VR,

4.644%,

4/1/31  (1)(7)

6,929‌

6,342‌

Toronto-Dominion

Bank,

5.523%,

7/17/28  (8)

3,090‌

3,104‌

Truist

Financial,

VR,

4.123%,

6/6/28  (7)

5,798‌

5,452‌

U.S.

Bancorp,

VR,

3.70%  (7)(9)

2,111‌

1,604‌

U.S.

Bancorp,

VR,

6.787%,

10/26/27  (7)

3,105‌

3,195‌

UBS,

5.65%,

9/11/28 

4,755‌

4,810‌

UBS

Group,

3.75%,

3/26/25 

1,285‌

1,246‌

UBS

Group,

4.55%,

4/17/26 

3,670‌

3,570‌

UBS

Group,

VR,

1.305%,

2/2/27  (1)(7)

16,210‌

14,564‌

UBS

Group,

VR,

1.364%,

1/30/27  (1)(7)

14,633‌

13,202‌

UBS

Group,

VR,

2.193%,

6/5/26  (1)(7)

15,135‌

14,206‌

UBS

Group,

VR,

2.746%,

2/11/33  (1)(7)

7,329‌

5,672‌

UBS

Group,

VR,

4.751%,

5/12/28  (1)(7)(8)

4,085‌

3,933‌

UBS

Group,

VR,

5.711%,

1/12/27  (1)(7)(8)

4,035‌

4,008‌

UBS

Group,

VR,

5.959%,

1/12/34  (1)(7)

13,025‌

12,820‌

UBS

Group,

VR,

6.301%,

9/22/34  (1)(7)

12,855‌

12,975‌

UBS

Group,

VR,

9.25%  (1)(7)(9)

4,910‌

5,205‌

UBS

Group,

VR,

9.25%  (1)(7)(9)

2,250‌

2,351‌

Wells

Fargo,

4.30%,

7/22/27 

11,990‌

11,511‌

Wells

Fargo,

VR,

2.393%,

6/2/28  (7)

32,245‌

28,814‌

Wells

Fargo,

VR,

2.572%,

2/11/31  (7)

54,180‌

45,327‌

Wells

Fargo,

VR,

2.879%,

10/30/30  (7)

55,162‌

47,148‌

Wells

Fargo,

VR,

3.196%,

6/17/27  (7)

5,050‌

4,759‌

Wells

Fargo,

VR,

4.478%,

4/4/31  (7)

16,431‌

15,234‌

Wells

Fargo,

VR,

6.491%,

10/23/34  (7)(8)

15,070‌

15,751‌

1,578,021‌

Brokerage

Asset

Managers

Exchanges

0.5%

Intercontinental

Exchange,

4.35%,

6/15/29  (8)

18,145‌

17,481‌

T.

ROWE

PRICE

New

Income

Fund

26

Par/Shares

$

Value

(Amounts

in

000s)

LSEGA

Financing,

2.00%,

4/6/28  (1)(8)

41,724‌

36,044‌

LSEGA

Financing,

2.50%,

4/6/31  (1)(8)

14,998‌

12,367‌

LSEGA

Financing,

3.20%,

4/6/41  (1)

6,705‌

4,891‌

70,783‌

Finance

Companies

0.5%

AerCap

Ireland

Capital,

2.45%,

10/29/26 

18,780‌

17,112‌

AerCap

Ireland

Capital,

3.30%,

1/30/32 

10,508‌

8,710‌

AerCap

Ireland

Capital,

4.875%,

1/16/24 

29,186‌

29,100‌

Navient,

9.375%,

7/25/30 

6,025‌

6,183‌

Navient,

11.50%,

3/15/31 

3,430‌

3,687‌

OneMain

Finance,

7.125%,

3/15/26 

3,450‌

3,472‌

OneMain

Finance,

9.00%,

1/15/29 

6,660‌

6,860‌

75,124‌

Financial

Other

0.0%

Howard

Hughes,

5.375%,

8/1/28  (1)

4,795‌

4,477‌

4,477‌

Insurance

2.1%

Alliant

Holdings

Intermediate,

6.75%,

4/15/28  (1)

11,570‌

11,512‌

AmWINS

Group,

4.875%,

6/30/29  (1)

5,245‌

4,721‌

Aon,

2.80%,

5/15/30 

3,835‌

3,308‌

Centene,

2.50%,

3/1/31 

23,230‌

18,465‌

Centene,

3.00%,

10/15/30 

8,330‌

6,950‌

Centene,

3.375%,

2/15/30 

9,455‌

8,179‌

Centene,

4.25%,

12/15/27 

3,340‌

3,160‌

Centene,

4.625%,

12/15/29 

25,425‌

23,677‌

CNO

Financial

Group,

5.25%,

5/30/25 

9,713‌

9,616‌

Corebridge

Financial,

3.65%,

4/5/27 

3,425‌

3,205‌

Corebridge

Financial,

3.90%,

4/5/32 

3,640‌

3,190‌

Elevance

Health,

5.125%,

2/15/53  (8)

8,335‌

7,681‌

Equitable

Financial

Life

Global

Funding,

1.00%,

1/9/26  (1)

16,275‌

14,688‌

Equitable

Holdings,

4.35%,

4/20/28  (8)

37,932‌

36,067‌

HUB

International,

7.25%,

6/15/30  (1)

10,810‌

11,053‌

Humana,

3.95%,

3/15/27 

6,275‌

6,023‌

Humana,

4.875%,

4/1/30 

15,720‌

15,286‌

Humana,

5.50%,

3/15/53  (8)

12,300‌

11,718‌

Humana,

5.95%,

3/15/34 

9,325‌

9,519‌

Jones

Deslauriers

Insurance

Management,

8.50%,

3/15/30  (1)

6,293‌

6,513‌

Marsh

&

McLennan,

2.25%,

11/15/30  (8)

9,218‌

7,671‌

Marsh

&

McLennan,

5.70%,

9/15/53 

20,305‌

20,681‌

Metropolitan

Life

Global

Funding

I,

5.15%,

3/28/33  (1)

9,335‌

9,056‌

Molina

Healthcare,

4.375%,

6/15/28  (1)(8)

2,820‌

2,609‌

UnitedHealth

Group,

4.50%,

4/15/33  (8)

16,060‌

15,368‌

UnitedHealth

Group,

5.05%,

4/15/53  (8)

48,420‌

45,413‌

UnitedHealth

Group,

5.875%,

2/15/53  (8)

28,585‌

30,409‌

345,738‌

T.

ROWE

PRICE

New

Income

Fund

27

Par/Shares

$

Value

(Amounts

in

000s)

Real

Estate

Investment

Trusts

0.8%

Alexandria

Real

Estate

Equities,

3.95%,

1/15/27 

25,607‌

24,399‌

Brixmor

Operating

Partnership,

3.90%,

3/15/27 

30,217‌

28,353‌

Brixmor

Operating

Partnership,

4.05%,

7/1/30 

1,984‌

1,782‌

Brixmor

Operating

Partnership,

4.125%,

6/15/26 

55,609‌

53,080‌

Essex

Portfolio,

1.65%,

1/15/31  (8)

10,099‌

7,690‌

Essex

Portfolio,

3.625%,

5/1/27  (8)

5,006‌

4,705‌

Public

Storage

Operating,

5.35%,

8/1/53  (8)

3,690‌

3,538‌

Regency

Centers,

4.125%,

3/15/28 

9,817‌

9,241‌

132,788‌

Total

Financial

Institutions

2,206,931‌

INDUSTRIAL

10.7%

Basic

Industry

0.3%

AngloGold

Ashanti

Holdings,

3.375%,

11/1/28 

3,725‌

3,245‌

Axalta

Coating

Systems

Dutch

Holding

B,

7.25%,

2/15/31  (1)

845‌

869‌

Celanese

U.S.

Holdings,

6.05%,

3/15/25 

2,508‌

2,512‌

Celanese

U.S.

Holdings,

6.165%,

7/15/27 

3,120‌

3,142‌

Celulosa

Arauco

y

Constitucion,

3.875%,

11/2/27 

13,972‌

12,775‌

Freeport-McMoRan,

4.375%,

8/1/28 

1,616‌

1,517‌

Freeport-McMoRan,

5.00%,

9/1/27 

142‌

139‌

Freeport-McMoRan,

5.45%,

3/15/43 

9,470‌

8,476‌

Methanex,

5.125%,

10/15/27 

4,980‌

4,687‌

Westlake,

1.625%,

7/17/29

(EUR) 

11,421‌

10,695‌

48,057‌

Capital

Goods

0.4%

Ball,

6.875%,

3/15/28 

3,015‌

3,071‌

Boeing,

3.25%,

2/1/28 

3,405‌

3,161‌

Boeing,

5.04%,

5/1/27  (8)

8,010‌

7,934‌

Boeing,

5.805%,

5/1/50  (8)

12,690‌

12,381‌

Carrier

Global,

2.493%,

2/15/27  (8)

3,500‌

3,206‌

Carrier

Global,

5.80%,

11/30/25  (1)

4,495‌

4,523‌

Emerald

Debt

Merger

Sub,

6.625%,

12/15/30  (1)

4,775‌

4,763‌

Ritchie

Bros

Holdings,

6.75%,

3/15/28  (1)

755‌

769‌

Ritchie

Bros

Holdings,

7.75%,

3/15/31  (1)

5,237‌

5,433‌

Sealed

Air,

6.125%,

2/1/28  (1)

2,245‌

2,214‌

Sealed

Air,

7.25%,

2/15/31  (1)

825‌

845‌

Summit

Materials,

7.25%,

1/15/31  (1)

1,375‌

1,384‌

TransDigm,

6.75%,

8/15/28  (1)

3,100‌

3,100‌

TransDigm,

6.875%,

12/15/30  (1)

9,145‌

9,145‌

TransDigm,

7.125%,

12/1/31  (1)

3,062‌

3,116‌

65,045‌

Communications

2.7%

Altice

Financing,

5.00%,

1/15/28  (1)(8)

9,510‌

8,083‌

American

Tower,

5.25%,

7/15/28 

3,130‌

3,105‌

AT&T,

3.50%,

9/15/53  (8)

24,195‌

16,020‌

T.

ROWE

PRICE

New

Income

Fund

28

Par/Shares

$

Value

(Amounts

in

000s)

CCO

Holdings,

6.375%,

9/1/29  (1)

8,250‌

7,941‌

CCO

Holdings,

7.375%,

3/1/31  (1)

2,600‌

2,600‌

Charter

Communications

Operating,

3.75%,

2/15/28 

5,125‌

4,754‌

Charter

Communications

Operating,

5.125%,

7/1/49 

7,698‌

5,968‌

Charter

Communications

Operating,

5.75%,

4/1/48 

5,150‌

4,343‌

Charter

Communications

Operating,

6.484%,

10/23/45 

5,900‌

5,469‌

Charter

Communications

Operating,

6.65%,

2/1/34 

19,440‌

19,854‌

Comcast,

3.25%,

11/1/39 

23,223‌

17,599‌

Crown

Castle,

3.80%,

2/15/28 

3,445‌

3,222‌

Crown

Castle,

4.80%,

9/1/28 

16,000‌

15,443‌

Crown

Castle

Towers,

3.663%,

5/15/25  (1)

50,986‌

49,145‌

DISH

Network,

11.75%,

11/15/27  (1)

4,820‌

4,784‌

Interpublic

Group,

4.65%,

10/1/28 

7,525‌

7,222‌

Lamar

Media,

4.875%,

1/15/29  (8)

3,080‌

2,911‌

Meta

Platforms,

5.60%,

5/15/53  (8)

26,215‌

26,650‌

Netflix,

4.625%,

5/15/29

(EUR) 

7,605‌

8,585‌

Rogers

Communications,

3.20%,

3/15/27 

10,104‌

9,381‌

Rogers

Communications,

3.80%,

3/15/32 

10,875‌

9,440‌

Rogers

Communications,

4.35%,

5/1/49 

1,365‌

1,051‌

Rogers

Communications,

4.55%,

3/15/52  (8)

56,583‌

44,536‌

SBA

Tower

Trust,

1.84%,

4/15/27  (1)

21,685‌

18,855‌

SBA

Tower

Trust,

2.593%,

10/15/31  (1)

17,515‌

13,610‌

Sirius

XM

Radio,

4.00%,

7/15/28  (1)

6,195‌

5,513‌

Sirius

XM

Radio,

5.00%,

8/1/27  (1)

4,168‌

3,960‌

Sprint

Capital,

6.875%,

11/15/28 

24,540‌

25,920‌

Sprint

Capital,

8.75%,

3/15/32 

12,865‌

15,374‌

T-Mobile

USA,

5.75%,

1/15/54 

34,110‌

33,693‌

T-Mobile

USA,

6.00%,

6/15/54 

9,255‌

9,457‌

Walt

Disney,

3.60%,

1/13/51 

9,955‌

7,527‌

Warnermedia

Holdings,

3.755%,

3/15/27  (8)

21,465‌

20,202‌

432,217‌

Consumer

Cyclical

1.7%

American

Honda

Finance,

5.65%,

11/15/28 

13,860‌

14,152‌

Bath

&

Body

Works,

6.625%,

10/1/30  (1)(8)

10,110‌

10,009‌

Caesars

Entertainment,

7.00%,

2/15/30  (1)

5,700‌

5,693‌

Carnival,

7.00%,

8/15/29  (1)

5,185‌

5,263‌

Carnival,

10.50%,

6/1/30  (1)(8)

9,445‌

10,059‌

CBRE

Services,

5.95%,

8/15/34  (8)

16,260‌

16,143‌

Churchill

Downs,

6.75%,

5/1/31  (1)

4,845‌

4,760‌

Clarios

Global,

6.75%,

5/15/28  (1)

4,857‌

4,881‌

Daimler

Truck

Finance

North

America,

5.125%,

1/19/28  (1)(8)

3,425‌

3,373‌

Dollar

General,

3.875%,

4/15/27 

3,325‌

3,176‌

Dollar

General,

5.45%,

7/5/33  (8)

14,446‌

14,084‌

Ford

Motor,

9.625%,

4/22/30 

5,500‌

6,309‌

Ford

Motor

Credit,

4.95%,

5/28/27 

3,520‌

3,358‌

Ford

Motor

Credit,

6.798%,

11/7/28 

5,070‌

5,170‌

T.

ROWE

PRICE

New

Income

Fund

29

Par/Shares

$

Value

(Amounts

in

000s)

Ford

Motor

Credit,

6.80%,

5/12/28  (8)

4,760‌

4,842‌

Ford

Motor

Credit,

7.122%,

11/7/33 

5,050‌

5,258‌

Ford

Motor

Credit,

7.35%,

11/4/27 

1,255‌

1,291‌

General

Motors

Financial,

4.00%,

10/6/26 

3,370‌

3,216‌

General

Motors

Financial,

5.80%,

6/23/28 

3,180‌

3,173‌

GLP

Capital,

3.35%,

9/1/24 

6,162‌

6,031‌

Goodyear

Tire

&

Rubber,

5.00%,

7/15/29  (8)

4,220‌

3,851‌

Hyundai

Capital

America,

5.50%,

3/30/26  (1)(8)

5,370‌

5,331‌

Hyundai

Capital

America,

6.50%,

1/16/29  (1)(8)

3,510‌

3,593‌

Las

Vegas

Sands,

3.50%,

8/18/26 

10,677‌

10,032‌

Life

Time,

5.75%,

1/15/26  (1)

4,810‌

4,714‌

Lowe's,

4.25%,

4/1/52 

10,388‌

8,150‌

Lowe's,

5.625%,

4/15/53  (8)

6,080‌

5,911‌

Lowe's,

5.75%,

7/1/53  (8)

5,950‌

5,834‌

Marriott

International,

5.00%,

10/15/27  (8)

12,776‌

12,711‌

Match

Group

Holdings

II,

5.00%,

12/15/27  (1)

4,992‌

4,767‌

Nissan

Motor

Acceptance,

1.85%,

9/16/26  (1)

5,960‌

5,262‌

O'Reilly

Automotive,

5.75%,

11/20/26 

4,875‌

4,931‌

Rivian

Holdings,

FRN,

6M

USD

LIBOR

+

5.625%,

11.493%,

10/15/26  (1)

(8)

1,050‌

1,050‌

Ross

Stores,

1.875%,

4/15/31 

20,720‌

16,231‌

Royal

Caribbean

Cruises,

8.25%,

1/15/29  (1)

7,470‌

7,816‌

Royal

Caribbean

Cruises,

11.625%,

8/15/27  (1)

1,490‌

1,615‌

VF,

2.95%,

4/23/30  (8)

9,995‌

8,086‌

Volkswagen

Group

of

America

Finance,

3.20%,

9/26/26  (1)

15,868‌

14,854‌

Volkswagen

Group

of

America

Finance,

4.75%,

11/13/28  (1)(8)

13,610‌

13,073‌

Yum!

Brands,

5.375%,

4/1/32 

4,970‌

4,684‌

ZF

North

America

Capital,

6.875%,

4/14/28  (1)

3,380‌

3,414‌

ZF

North

America

Capital,

7.125%,

4/14/30  (1)

2,765‌

2,827‌

278,978‌

Consumer

Non-Cyclical

3.3%

AbbVie,

3.20%,

11/21/29 

18,145‌

16,443‌

AbbVie,

4.05%,

11/21/39 

13,104‌

11,267‌

AbbVie,

4.25%,

11/21/49  (8)

14,924‌

12,564‌

AbbVie,

4.70%,

5/14/45 

28,417‌

25,469‌

AbbVie,

4.875%,

11/14/48 

28,471‌

26,151‌

Anheuser-Busch

InBev

Worldwide,

4.50%,

6/1/50 

18,740‌

16,528‌

Anheuser-Busch

InBev

Worldwide,

5.55%,

1/23/49 

22,565‌

23,019‌

Avantor

Funding,

4.625%,

7/15/28  (1)

3,120‌

2,913‌

BAT

Capital,

2.259%,

3/25/28 

5,565‌

4,860‌

BAT

Capital,

7.079%,

8/2/43 

8,280‌

8,394‌

BAT

Capital,

7.081%,

8/2/53 

12,780‌

12,969‌

BAT

International

Finance,

1.668%,

3/25/26 

9,905‌

9,083‌

Bayer

U.S.

Finance,

6.125%,

11/21/26  (1)

3,275‌

3,283‌

Bayer

U.S.

Finance,

6.25%,

1/21/29  (1)

4,441‌

4,456‌

Becton

Dickinson

&

Company,

2.823%,

5/20/30 

10,563‌

9,100‌

T.

ROWE

PRICE

New

Income

Fund

30

Par/Shares

$

Value

(Amounts

in

000s)

Becton

Dickinson

&

Company,

3.70%,

6/6/27 

16,974‌

16,122‌

Bimbo

Bakeries

USA,

6.40%,

1/15/34  (1)

3,390‌

3,610‌

Charles

River

Laboratories

International,

4.25%,

5/1/28  (1)

3,465‌

3,201‌

CVS

Health,

3.25%,

8/15/29 

3,560‌

3,201‌

CVS

Health,

4.30%,

3/25/28 

3,265‌

3,153‌

CVS

Health,

5.05%,

3/25/48 

37,769‌

33,021‌

CVS

Health,

5.625%,

2/21/53 

16,520‌

15,598‌

CVS

Health,

5.875%,

6/1/53  (8)

9,060‌

8,801‌

Darling

Ingredients,

6.00%,

6/15/30  (1)(8)

5,145‌

4,952‌

Hasbro,

3.55%,

11/19/26 

3,907‌

3,651‌

HCA,

3.125%,

3/15/27 

8,660‌

8,009‌

HCA,

3.375%,

3/15/29 

9,695‌

8,688‌

HCA,

3.50%,

9/1/30 

14,640‌

12,865‌

HCA,

4.50%,

2/15/27 

3,300‌

3,201‌

HCA,

5.375%,

9/1/26 

6,729‌

6,686‌

HCA,

5.875%,

2/15/26 

6,575‌

6,575‌

IQVIA,

6.25%,

2/1/29  (1)

10,260‌

10,374‌

IQVIA,

6.50%,

5/15/30  (1)

435‌

439‌

Mars,

4.75%,

4/20/33  (1)

16,610‌

16,097‌

Mattel,

5.875%,

12/15/27  (1)(8)

16,405‌

16,118‌

Mondelez

International,

2.75%,

4/13/30  (8)

4,714‌

4,096‌

Mylan,

4.55%,

4/15/28 

3,435‌

3,227‌

Pfizer

Investment

Enterprises,

4.75%,

5/19/33  (8)

10,395‌

10,094‌

Pfizer

Investment

Enterprises,

5.30%,

5/19/53  (8)

10,425‌

10,098‌

Pfizer

Investment

Enterprises,

5.34%,

5/19/63 

17,625‌

16,882‌

Philip

Morris

International,

5.125%,

2/15/30  (8)

10,740‌

10,599‌

Revvity,

1.90%,

9/15/28 

13,950‌

11,766‌

Revvity,

2.25%,

9/15/31  (8)

7,580‌

5,904‌

Revvity,

3.30%,

9/15/29 

6,815‌

5,983‌

Reynolds

American,

4.45%,

6/12/25 

5,094‌

5,008‌

Sutter

Health,

5.164%,

8/15/33 

5,265‌

5,149‌

Teva

Pharmaceutical

Finance

Netherlands

III,

7.875%,

9/15/29 

3,580‌

3,728‌

Teva

Pharmaceutical

Finance

Netherlands

III,

8.125%,

9/15/31 

4,195‌

4,415‌

Thermo

Fisher

Scientific,

5.20%,

1/31/34 

7,575‌

7,588‌

Utah

Acquisition

Sub,

3.95%,

6/15/26 

42,360‌

40,303‌

Utah

Acquisition

Sub,

5.25%,

6/15/46 

2,128‌

1,649‌

Viatris,

3.85%,

6/22/40 

12,713‌

8,727‌

Viatris,

4.00%,

6/22/50 

8,520‌

5,472‌

531,549‌

Energy

1.9%

Boardwalk

Pipelines,

3.40%,

2/15/31 

15,531‌

13,437‌

Boardwalk

Pipelines,

4.45%,

7/15/27  (8)

17,539‌

16,844‌

Boardwalk

Pipelines,

5.95%,

6/1/26 

11,500‌

11,562‌

Cheniere

Corpus

Christi

Holdings,

5.125%,

6/30/27 

10,066‌

9,978‌

Cheniere

Energy,

4.625%,

10/15/28 

3,415‌

3,253‌

Chesapeake

Energy,

6.75%,

4/15/29  (1)

3,660‌

3,651‌

T.

ROWE

PRICE

New

Income

Fund

31

Par/Shares

$

Value

(Amounts

in

000s)

Columbia

Pipelines

Holding,

6.042%,

8/15/28  (1)

11,205‌

11,309‌

Diamondback

Energy,

6.25%,

3/15/53 

3,420‌

3,457‌

Enbridge,

4.25%,

12/1/26  (8)

3,270‌

3,166‌

Enbridge,

6.20%,

11/15/30  (8)

5,155‌

5,358‌

Enbridge,

6.70%,

11/15/53  (8)

8,130‌

8,893‌

Energy

Transfer,

2.90%,

5/15/25  (8)

8,697‌

8,358‌

Energy

Transfer,

6.40%,

12/1/30 

7,990‌

8,291‌

Energy

Transfer,

6.55%,

12/1/33 

5,350‌

5,605‌

Hilcorp

Energy

I,

8.375%,

11/1/33  (1)

8,416‌

8,668‌

Kinder

Morgan,

4.30%,

3/1/28  (8)

3,265‌

3,143‌

Kinetik

Holdings,

5.875%,

6/15/30  (1)

2,861‌

2,733‌

Marathon

Oil,

4.40%,

7/15/27  (8)

3,315‌

3,177‌

MPLX,

4.125%,

3/1/27 

3,330‌

3,200‌

NuStar

Logistics,

6.00%,

6/1/26 

3,044‌

3,029‌

Occidental

Petroleum,

6.20%,

3/15/40 

3,705‌

3,649‌

Occidental

Petroleum,

6.375%,

9/1/28 

4,630‌

4,763‌

Occidental

Petroleum,

6.45%,

9/15/36 

3,105‌

3,179‌

Occidental

Petroleum,

6.625%,

9/1/30 

1,500‌

1,552‌

Occidental

Petroleum,

8.50%,

7/15/27  (8)

5,295‌

5,719‌

Occidental

Petroleum,

8.875%,

7/15/30 

24,065‌

27,494‌

ONEOK,

5.65%,

11/1/28 

3,150‌

3,165‌

ONEOK,

5.80%,

11/1/30 

6,305‌

6,344‌

ONEOK,

6.05%,

9/1/33 

9,310‌

9,457‌

Ovintiv,

5.65%,

5/15/28 

3,180‌

3,166‌

Pioneer

Natural

Resources,

5.10%,

3/29/26 

6,015‌

5,986‌

Sabine

Pass

Liquefaction,

4.20%,

3/15/28 

3,320‌

3,171‌

Targa

Resources

Partners,

5.00%,

1/15/28 

3,285‌

3,178‌

Targa

Resources

Partners,

5.50%,

3/1/30  (8)

5,907‌

5,708‌

Targa

Resources

Partners,

6.875%,

1/15/29 

3,817‌

3,874‌

Venture

Global

Calcasieu

Pass,

3.875%,

11/1/33  (1)

2,855‌

2,320‌

Venture

Global

Calcasieu

Pass,

6.25%,

1/15/30  (1)

6,170‌

6,062‌

Venture

Global

LNG,

8.375%,

6/1/31  (1)

16,155‌

15,872‌

Venture

Global

LNG,

9.50%,

2/1/29  (1)

15,710‌

16,201‌

Western

Midstream

Operating,

4.50%,

3/1/28 

3,365‌

3,197‌

Williams,

2.60%,

3/15/31 

29,960‌

24,617‌

Williams,

3.75%,

6/15/27 

10,751‌

10,192‌

305,978‌

Industrial

Other

0.1%

Booz

Allen

Hamilton,

5.95%,

8/4/33 

7,290‌

7,408‌

7,408‌

Technology

0.3%

Broadcom,

3.875%,

1/15/27 

3,320‌

3,184‌

Central

Parent,

7.25%,

6/15/29  (1)

2,855‌

2,848‌

Central

Parent,

8.00%,

6/15/29  (1)

4,350‌

4,453‌

Equifax,

5.10%,

12/15/27 

6,243‌

6,176‌

Fiserv,

4.20%,

10/1/28 

3,380‌

3,225‌

T.

ROWE

PRICE

New

Income

Fund

32

Par/Shares

$

Value

(Amounts

in

000s)

Gen

Digital,

7.125%,

9/30/30  (1)(8)

1,130‌

1,154‌

GTCR

W-2

Merger,

7.50%,

1/15/31  (1)

7,070‌

7,203‌

Intuit,

5.50%,

9/15/53 

9,305‌

9,582‌

Micron

Technology,

4.185%,

2/15/27  (8)

4,965‌

4,779‌

Micron

Technology,

6.75%,

11/1/29  (8)

8,280‌

8,653‌

Sensata

Technologies,

5.875%,

9/1/30  (1)

2,820‌

2,707‌

53,964‌

Transportation

0.0%

American

Airlines,

5.50%,

4/20/26  (1)

2,946‌

2,898‌

American

Airlines,

5.75%,

4/20/29  (1)

3,535‌

3,376‌

6,274‌

Total

Industrial

1,729,470‌

UTILITY

2.2%

Electric

2.1%

AES,

5.45%,

6/1/28 

3,140‌

3,114‌

Baltimore

Gas

&

Electric,

5.40%,

6/1/53  (8)

7,960‌

7,682‌

DTE

Energy,

4.875%,

6/1/28 

3,220‌

3,165‌

Duke

Energy,

5.00%,

8/15/52 

21,270‌

18,479‌

Duke

Energy,

6.10%,

9/15/53 

23,015‌

23,283‌

Edison

International,

4.95%,

4/15/25 

1,306‌

1,289‌

EDP

Finance,

6.30%,

10/11/27  (1)

5,865‌

6,040‌

Enel

Finance

America,

7.10%,

10/14/27  (1)

3,075‌

3,217‌

Enel

Finance

International,

1.875%,

7/12/28  (1)

18,162‌

15,364‌

Exelon,

5.15%,

3/15/28 

3,215‌

3,205‌

Exelon,

5.60%,

3/15/53  (8)

12,690‌

12,118‌

Georgia

Power,

4.95%,

5/17/33 

17,255‌

16,706‌

Indiana

Michigan

Power,

5.625%,

4/1/53 

1,450‌

1,411‌

MidAmerican

Energy,

5.85%,

9/15/54 

6,460‌

6,601‌

NextEra

Energy

Capital

Holdings,

2.44%,

1/15/32 

15,465‌

12,434‌

NextEra

Energy

Capital

Holdings,

3.00%,

1/15/52  (8)

13,796‌

8,557‌

NextEra

Energy

Capital

Holdings,

5.25%,

2/28/53 

6,955‌

6,311‌

NextEra

Energy

Capital

Holdings,

5.749%,

9/1/25 

11,275‌

11,284‌

NRG

Energy,

4.45%,

6/15/29  (1)

9,592‌

8,717‌

Pacific

Gas

&

Electric,

2.10%,

8/1/27 

8,641‌

7,617‌

Pacific

Gas

&

Electric,

2.50%,

2/1/31 

21,478‌

17,113‌

Pacific

Gas

&

Electric,

3.30%,

12/1/27  (8)

3,550‌

3,225‌

Pacific

Gas

&

Electric,

3.95%,

12/1/47  (8)

10,551‌

7,125‌

Pacific

Gas

&

Electric,

4.55%,

7/1/30  (8)

14,152‌

12,982‌

Pacific

Gas

&

Electric,

6.70%,

4/1/53 

5,775‌

5,843‌

Pacific

Gas

&

Electric,

6.95%,

3/15/34  (8)

9,445‌

9,962‌

Palomino

Funding

Trust

I,

7.233%,

5/17/28  (1)

9,700‌

9,958‌

Public

Service

Enterprise

Group,

5.875%,

10/15/28 

3,090‌

3,149‌

Southern,

5.70%,

3/15/34  (8)

12,120‌

12,323‌

Southern

California

Edison,

5.70%,

3/1/53 

8,250‌

7,972‌

Southern

California

Edison,

Series

D,

4.70%,

6/1/27 

13,000‌

12,800‌

T.

ROWE

PRICE

New

Income

Fund

33

Par/Shares

$

Value

(Amounts

in

000s)

Talen

Energy

Supply,

8.625%,

6/1/30  (1)

7,652‌

7,996‌

Vistra,

VR,

8.00%  (1)(7)(9)

16,305‌

15,938‌

Vistra

Operations,

5.125%,

5/13/25  (1)

17,905‌

17,594‌

Vistra

Operations,

6.95%,

10/15/33  (1)

7,385‌

7,536‌

Vistra

Operations,

7.75%,

10/15/31  (1)

11,850‌

12,117‌

340,227‌

Natural

Gas

0.1%

Boston

Gas,

6.119%,

7/20/53  (1)(8)

5,860‌

5,745‌

NiSource,

3.49%,

5/15/27 

3,365‌

3,176‌

NiSource,

5.25%,

3/30/28  (8)

3,395‌

3,388‌

Sempra,

3.40%,

2/1/28 

3,450‌

3,206‌

Sempra,

3.70%,

4/1/29 

5,350‌

4,920‌

20,435‌

Total

Utility

360,662‌

Total

Corporate

Bonds

(Cost

$4,553,460)

4,297,063‌

FOREIGN

GOVERNMENT

OBLIGATIONS

&

MUNICIPALITIES

0.2%

Sovereign

0.2%

Republic

of

Bulgaria,

4.375%,

5/13/31

(EUR)  (8)

12,065‌

13,332‌

Republic

of

Bulgaria,

4.875%,

5/13/36

(EUR) 

13,651‌

15,038‌

Total

Foreign

Government

Obligations

&

Municipalities

(Cost

$27,062)

28,370‌

NON-U.S.

GOVERNMENT

MORTGAGE-BACKED

SECURITIES

2.7%

Collateralized

Mortgage

Obligations

1.0%

Angel

Oak

Mortgage

Trust

Series

2021-3,

Class

A1,

CMO,

ARM

1.068%,

5/25/66  (1)

7,743‌

6,308‌

BINOM

Securitization

Trust

Series

2021-INV1,

Class

A1,

CMO,

ARM

2.034%,

6/25/56  (1)

9,405‌

7,879‌

Citigroup

Mortgage

Loan

Trust

Series

2022-INV1,

Class

A4B,

CMO,

ARM

3.00%,

11/27/51  (1)

7,499‌

5,907‌

Connecticut

Avenue

Securities

Series

2017-C06,

Class

2ED1,

CMO,

ARM

SOFR30A

+

1.114%,

6.443%,

2/25/30 

195‌

195‌

Connecticut

Avenue

Securities

Series

2022-R01,

Class

1M2,

CMO,

ARM

SOFR30A

+

1.90%,

7.228%,

12/25/41  (1)

19,620‌

19,548‌

T.

ROWE

PRICE

New

Income

Fund

34

Par/Shares

$

Value

(Amounts

in

000s)

Flagstar

Mortgage

Trust

Series

2018-6RR,

Class

2A4,

CMO,

ARM

4.00%,

9/25/48  (1)

846‌

804‌

Flagstar

Mortgage

Trust

Series

2020-1INV,

Class

A11,

CMO,

ARM

1M

TSFR

+

0.964%,

6.00%,

3/25/50  (1)

3,641‌

3,359‌

Flagstar

Mortgage

Trust

Series

2021-5INV,

Class

A16,

CMO,

ARM

2.50%,

7/25/51  (1)

9,646‌

7,276‌

Flagstar

Mortgage

Trust

Series

2021-8INV,

Class

A18,

CMO,

ARM

2.50%,

9/25/51  (1)

8,807‌

6,643‌

FWD

Securitization

Trust

Series

2020-INV1,

Class

A3,

CMO,

ARM

2.44%,

1/25/50  (1)

1,128‌

1,001‌

Galton

Funding

Mortgage

Trust

Series

2018-1,

Class

A23,

CMO,

ARM

3.50%,

11/25/57  (1)

742‌

654‌

Galton

Funding

Mortgage

Trust

Series

2018-2,

Class

A22,

CMO,

ARM

4.00%,

10/25/58  (1)

1,703‌

1,531‌

GS

Mortgage-Backed

Securities

Trust

Series

2014-EB1A,

Class

2A1,

CMO,

ARM

4.154%,

7/25/44  (1)

351‌

350‌

GS

Mortgage-Backed

Securities

Trust

Series

2020-INV1,

Class

A14,

CMO,

ARM

2.925%,

10/25/50  (1)

16,145‌

13,040‌

Imperial

Fund

Mortgage

Trust

Series

2021-NQM2,

Class

A1,

CMO,

ARM

1.073%,

9/25/56  (1)

11,820‌

9,125‌

JPMorgan

Mortgage

Trust

Series

2019-INV3,

Class

A3,

CMO,

ARM

3.50%,

5/25/50  (1)

4,524‌

3,869‌

JPMorgan

Mortgage

Trust

Series

2020-INV1,

Class

A11,

CMO,

ARM

1M

TSFR

+

0.944%,

6.00%,

8/25/50  (1)

2,313‌

2,172‌

JPMorgan

Mortgage

Trust

Series

2020-INV1,

Class

A3,

CMO,

ARM

3.50%,

8/25/50  (1)

3,911‌

3,336‌

JPMorgan

Mortgage

Trust

Series

2020-LTV1,

Class

A15,

CMO,

ARM

3.50%,

6/25/50  (1)

351‌

337‌

JPMorgan

Mortgage

Trust

Series

2020-LTV1,

Class

A3,

CMO,

ARM

3.50%,

6/25/50  (1)

868‌

834‌

Morgan

Stanley

Residential

Mortgage

Loan

Trust

Series

2023-NQM1,

Class

A2,

CMO,

STEP

7.53%,

9/25/68  (1)

5,866‌

5,911‌

T.

ROWE

PRICE

New

Income

Fund

35

Par/Shares

$

Value

(Amounts

in

000s)

New

Residential

Mortgage

Loan

Trust

Series

2021-INV1,

Class

A4,

CMO,

ARM

2.50%,

6/25/51  (1)

5,993‌

4,521‌

New

Residential

Mortgage

Loan

Trust

Series

2021-INV2,

Class

A4,

CMO,

ARM

2.50%,

9/25/51  (1)

11,071‌

8,351‌

OBX

Trust

Series

2019-INV2,

Class

A25,

CMO,

ARM

4.00%,

5/27/49  (1)

939‌

836‌

OBX

Trust

Series

2019-INV2,

Class

A5,

CMO,

ARM

4.00%,

5/27/49  (1)

2,541‌

2,268‌

OBX

Trust

Series

2020-EXP1,

Class

1A8,

CMO,

ARM

3.50%,

2/25/60  (1)

6,592‌

5,706‌

OBX

Trust

Series

2023-NQM9,

Class

A2,

CMO,

STEP

7.513%,

10/25/63  (1)

1,415‌

1,432‌

Sequoia

Mortgage

Trust

Series

2018-CH1,

Class

A2,

CMO,

ARM

3.50%,

3/25/48  (1)

687‌

600‌

Sequoia

Mortgage

Trust

Series

2018-CH2,

Class

A3,

CMO,

ARM

4.00%,

6/25/48  (1)

3,081‌

2,800‌

Sequoia

Mortgage

Trust

Series

2018-CH3,

Class

A2,

CMO,

ARM

4.00%,

8/25/48  (1)

616‌

596‌

SG

Residential

Mortgage

Trust

Series

2019-3,

Class

A1,

CMO,

ARM

2.703%,

9/25/59  (1)

453‌

441‌

Structured

Agency

Credit

Remic

Trust

Series

2023-HQA3,

Class

A1,

CMO,

ARM

SOFR30A

+

1.85%,

7.172%,

11/25/43  (1)

6,985‌

7,023‌

Structured

Agency

Credit

Risk

Debt

Notes

Series

2021-DNA2,

Class

M2,

CMO,

ARM

SOFR30A

+

2.30%,

7.628%,

8/25/33  (1)

8,127‌

8,187‌

Towd

Point

Mortgage

Trust

Series

2019-HY3,

Class

A1A,

CMO,

ARM

1M

TSFR

+

1.114%,

6.457%,

10/25/59  (1)

3,560‌

3,553‌

Verus

Securitization

Trust

Series

2019-INV2,

Class

A3,

CMO,

ARM

4.219%,

7/25/59  (1)

2,651‌

2,560‌

Verus

Securitization

Trust

Series

2019-INV3,

Class

A3,

CMO,

ARM

4.10%,

11/25/59  (1)

3,600‌

3,481‌

Verus

Securitization

Trust

Series

2020-INV1,

Class

A1,

CMO,

ARM

1.977%,

3/25/60  (1)

347‌

342‌

T.

ROWE

PRICE

New

Income

Fund

36

Par/Shares

$

Value

(Amounts

in

000s)

Verus

Securitization

Trust

Series

2022-1,

Class

A1,

CMO,

STEP

2.724%,

1/25/67  (1)

5,501‌

4,778‌

Vista

Point

Securitization

Trust

Series

2020-2,

Class

A1,

CMO,

ARM

1.475%,

4/25/65  (1)

1,945‌

1,746‌

159,300‌

Commercial

Mortgage-Backed

Securities

1.7%

Austin

Fairmont

Hotel

Trust

Series

2019-FAIR,

Class

B,

ARM

1M

TSFR

+

1.297%,

6.62%,

9/15/32  (1)

6,970‌

6,864‌

Aventura

Mall

Trust

Series

2018-AVM,

Class

A,

ARM

4.249%,

7/5/40  (1)

39,170‌

36,061‌

BAMLL

Commercial

Mortgage

Securities

Trust

Series

2018-DSNY,

Class

A,

ARM

1M

TSFR

+

1.147%,

6.47%,

9/15/34  (1)

35,456‌

35,290‌

BANK

Series

2017-BNK8,

Class

AS

3.731%,

11/15/50 

2,705‌

2,374‌

BBCMS

Mortgage

Trust

Series

2019-BWAY,

Class

D,

ARM

1M

TSFR

+

2.274%,

7.597%,

11/15/34  (1)

10,230‌

3,586‌

BX

Commercial

Mortgage

Trust

Series

2022-CSMO,

Class

B,

ARM

1M

TSFR

+

3.141%,

8.464%,

6/15/27  (1)

8,275‌

8,259‌

BX

Trust

Series

2021-ARIA,

Class

B,

ARM

1M

TSFR

+

1.411%,

6.734%,

10/15/36  (1)

6,815‌

6,537‌

Cantor

Commercial

Real

Estate

Lending

Series

2019-CF2,

Class

B

3.267%,

11/15/52 

9,752‌

7,404‌

Citigroup

Commercial

Mortgage

Trust

Series

2019-C7,

Class

805A,

ARM

3.917%,

12/15/72  (1)

12,000‌

6,947‌

Citigroup

Commercial

Mortgage

Trust

Series

2020-555,

Class

C

3.031%,

12/10/41  (1)

8,370‌

6,442‌

Citigroup

Commercial

Mortgage

Trust

Series

2020-555,

Class

D

3.233%,

12/10/41  (1)

5,500‌

4,112‌

Cold

Storage

Trust

Series

2020-ICE5,

Class

B,

ARM

1M

TSFR

+

1.414%,

6.736%,

11/15/37  (1)

11,083‌

10,930‌

Eleven

Madison

Mortgage

Trust

Series

2015-11MD,

Class

A,

ARM

3.673%,

9/10/35  (1)

23,679‌

21,077‌

T.

ROWE

PRICE

New

Income

Fund

37

Par/Shares

$

Value

(Amounts

in

000s)

GS

Mortgage

Securities

Trust

Series

2019-GC40,

Class

B

3.543%,

7/10/52 

12,730‌

10,020‌

JPMorgan

Chase

Commercial

Mortgage

Securities

Trust

Series

2018-WPT,

Class

AFX

4.248%,

7/5/33  (1)

9,825‌

8,550‌

JPMorgan

Chase

Commercial

Mortgage

Securities

Trust

Series

2018-WPT,

Class

BFX

4.549%,

7/5/33  (1)

7,620‌

6,174‌

JPMorgan

Chase

Commercial

Mortgage

Securities

Trust

Series

2018-WPT,

Class

CFX

4.95%,

7/5/33  (1)

11,395‌

8,662‌

LUXE

Trust

Series

2021-TRIP,

Class

B,

ARM

1M

TSFR

+

1.514%,

6.844%,

10/15/38  (1)

7,283‌

7,210‌

Morgan

Stanley

Bank

of

America

Merrill

Lynch

Trust

Series

2014-C17,

Class

B,

ARM

4.464%,

8/15/47 

20,470‌

19,264‌

SCG

Mortgage

Trust

Series

2023-NASH,

Class

A,

ARM

1M

TSFR

+

2.391%,

7.722%,

12/15/40  (1)

23,405‌

23,376‌

UBS

Commercial

Mortgage

Trust

Series

2018-C9,

Class

AS,

ARM

4.318%,

3/15/51 

7,230‌

6,284‌

VNDO

Trust

Series

2016-350P,

Class

D,

ARM

4.033%,

1/10/35  (1)

8,849‌

7,810‌

Wells

Fargo

Commercial

Mortgage

Trust

Series

2015-NXS2,

Class

AS,

ARM

4.121%,

7/15/58 

6,215‌

5,863‌

Wells

Fargo

Commercial

Mortgage

Trust

Series

2017-C39,

Class

B

4.025%,

9/15/50 

5,750‌

4,903‌

Worldwide

Plaza

Trust

Series

2017-WWP,

Class

A

3.526%,

11/10/36  (1)

24,455‌

18,670‌

282,669‌

Total

Non-U.S.

Government

Mortgage-Backed

Securities

(Cost

$512,716)

441,969‌

U.S.

GOVERNMENT

&

AGENCY

MORTGAGE-BACKED

SECURITIES

26.5%

U.S.

Government

Agency

Obligations

19.9%

Federal

Home

Loan

Mortgage 

2.50%,

5/1/30 

4,652‌

4,362‌

3.00%,

12/1/42

-

4/1/47 

15,709‌

13,868‌

T.

ROWE

PRICE

New

Income

Fund

38

Par/Shares

$

Value

(Amounts

in

000s)

3.50%,

9/1/42

-

3/1/46 

73,607‌

67,148‌

4.00%,

10/1/40

-

8/1/45 

7,864‌

7,371‌

4.50%,

6/1/39

-

5/1/42 

11,951‌

11,563‌

5.00%,

7/1/25

-

8/1/40 

3,236‌

3,234‌

5.50%,

4/1/26

-

12/1/39 

3,172‌

3,224‌

6.00%,

10/1/32

-

8/1/38 

2,051‌

2,112‌

6.50%,

4/1/24

-

9/1/39 

796‌

819‌

7.00%,

2/1/24

-

6/1/32 

19‌

20‌

7.50%,

5/1/24

-

6/1/24 

—‌

—‌

Federal

Home

Loan

Mortgage,

ARM 

1Y

CMT

+

2.25%,

5.926%,

10/1/36 

49‌

50‌

RFUCCT1Y

+

1.725%,

5.975%,

7/1/35 

19‌

19‌

RFUCCT1Y

+

1.823%,

5.624%,

3/1/36 

84‌

84‌

RFUCCT1Y

+

1.842%,

4.091%,

1/1/37 

122‌

121‌

RFUCCT1Y

+

1.918%,

4.292%,

2/1/37 

68‌

67‌

RFUCCT1Y

+

1.93%,

4.187%,

12/1/36 

78‌

78‌

RFUCCT1Y

+

2.031%,

5.049%,

11/1/36 

112‌

111‌

Federal

Home

Loan

Mortgage,

CMO,

IO,

4.50%,

5/25/50 

11,210‌

2,202‌

Federal

Home

Loan

Mortgage,

CMO,

PO,

Zero

Coupon,

8/15/28 

5‌

4‌

Federal

Home

Loan

Mortgage,

UMBS 

1.50%,

2/1/36

-

4/1/37 

32,555‌

27,764‌

2.00%,

8/1/36

-

5/1/52 

263,906‌

209,828‌

2.50%,

4/1/37

-

9/1/52 

326,153‌

267,535‌

3.00%,

11/1/34

-

6/1/52 

80,397‌

69,624‌

3.50%,

6/1/47

-

11/1/52 

38,338‌

34,464‌

4.00%,

6/1/37

-

2/1/50 

29,017‌

27,175‌

4.50%,

9/1/37

-

11/1/52 

67,594‌

63,422‌

5.00%,

8/1/52

-

5/1/53 

19,520‌

18,814‌

5.50%,

8/1/53 

38,820‌

38,278‌

Federal

National

Mortgage

Assn. 

3.00%,

6/1/33

-

8/1/46 

5,949‌

5,140‌

3.50%,

6/1/42

-

5/1/46 

44,479‌

40,552‌

4.00%,

11/1/40 

7,767‌

7,362‌

Federal

National

Mortgage

Assn.,

ARM 

RFUCCT1Y

+

1.34%,

3.59%,

12/1/35 

64‌

63‌

RFUCCT1Y

+

1.594%,

4.95%,

7/1/36 

210‌

213‌

RFUCCT1Y

+

1.655%,

5.905%,

8/1/37 

45‌

44‌

RFUCCT1Y

+

1.869%,

6.119%,

8/1/36 

118‌

117‌

Federal

National

Mortgage

Assn.,

CMO,

IO,

6.50%,

2/25/32 

21‌

4‌

Federal

National

Mortgage

Assn.,

UMBS 

1.50%,

2/1/37

-

1/1/42 

63,205‌

52,344‌

2.00%,

11/1/35

-

7/1/52 

887,043‌

702,037‌

2.50%,

5/1/30

-

9/1/52 

498,881‌

412,768‌

3.00%,

6/1/27

-

7/1/52 

402,812‌

351,895‌

3.50%,

11/1/32

-

3/1/52 

130,679‌

118,843‌

4.00%,

7/1/35

-

11/1/52 

171,605‌

160,243‌

T.

ROWE

PRICE

New

Income

Fund

39

Par/Shares

$

Value

(Amounts

in

000s)

4.50%,

7/1/39

-

2/1/51 

89,097‌

85,575‌

5.00%,

3/1/25

-

9/1/53 

67,409‌

66,276‌

5.50%,

4/1/34

-

10/1/53 

37,704‌

37,660‌

6.00%,

11/1/32

-

9/1/53 

104,191‌

105,580‌

6.50%,

8/1/27

-

3/1/41 

7,644‌

7,946‌

7.00%,

10/1/29

-

4/1/37 

97‌

100‌

UMBS,

TBA  (10)

2.00%,

12/1/38 

50,025‌

43,684‌

5.00%,

12/1/53 

55,185‌

53,102‌

5.50%,

12/1/53 

26,345‌

25,958‌

6.00%,

12/1/53 

22,780‌

22,843‌

6.50%,

12/1/53 

49,215‌

49,992‌

3,223,702‌

U.S.

Government

Obligations

6.6%

Government

National

Mortgage

Assn. 

1.50%,

8/20/36

-

6/20/37 

16,852‌

14,216‌

2.00%,

3/20/51

-

3/20/52 

215,978‌

174,360‌

2.50%,

8/20/50

-

3/20/52 

220,960‌

184,571‌

3.00%,

9/15/42

-

6/20/52 

195,814‌

170,420‌

3.50%,

9/15/41

-

7/20/52 

130,633‌

118,407‌

4.00%,

2/20/41

-

10/20/52 

108,490‌

100,894‌

4.50%,

7/15/26

-

10/20/52 

80,061‌

76,323‌

5.00%,

9/15/33

-

6/20/48 

36,654‌

36,380‌

5.50%,

10/20/32

-

3/20/49 

15,752‌

16,006‌

6.00%,

1/20/34

-

12/20/38 

1,975‌

2,061‌

6.50%,

1/15/26

-

12/15/31 

38‌

39‌

7.00%,

5/20/28

-

9/20/53 

12,568‌

12,910‌

7.50%,

7/15/28

-

8/15/28 

37‌

38‌

8.00%,

9/15/27

-

10/15/27 

86‌

87‌

8.50%,

9/20/26 

—‌

—‌

Government

National

Mortgage

Assn.,

CMO 

3.00%,

11/20/47

-

12/20/47 

2,886‌

2,571‌

3.50%,

10/20/50 

9,510‌

7,556‌

Government

National

Mortgage

Assn.,

CMO,

IO 

3.50%,

5/20/43 

2,824‌

424‌

4.00%,

2/20/43 

2,035‌

247‌

Government

National

Mortgage

Assn.,

TBA  (10)

2.00%,

12/20/53 

14,980‌

12,086‌

4.50%,

12/20/53 

10,305‌

9,745‌

5.00%,

12/20/53 

19,225‌

18,673‌

5.50%,

12/20/53 

81,265‌

80,667‌

6.00%,

12/20/53 

19,170‌

19,307‌

T.

ROWE

PRICE

New

Income

Fund

40

Par/Shares

$

Value

(Amounts

in

000s)

6.50%,

12/20/53 

1,340‌

1,363‌

1,059,351‌

Total

U.S.

Government

&

Agency

Mortgage-Backed

Securities

(Cost

$4,675,745)

4,283,053‌

U.S.

GOVERNMENT

AGENCY

OBLIGATIONS

(EXCLUDING

MORTGAGE-BACKED)

33.2%

U.S.

Treasury

Obligations

33.2%

U.S.

Treasury

Bonds,

3.00%,

8/15/52 

344,530‌

259,905‌

U.S.

Treasury

Bonds,

3.375%,

8/15/42 

437,190‌

363,687‌

U.S.

Treasury

Bonds,

3.625%,

2/15/53 

304,045‌

259,436‌

U.S.

Treasury

Bonds,

3.625%,

5/15/53 

19,900‌

16,993‌

U.S.

Treasury

Bonds,

3.875%,

2/15/43 

159,815‌

142,585‌

U.S.

Treasury

Bonds,

4.00%,

11/15/42 

304,955‌

277,271‌

U.S.

Treasury

Bonds,

4.00%,

11/15/52 

194,515‌

177,799‌

U.S.

Treasury

Notes,

0.625%,

12/31/27 

280,185‌

241,309‌

U.S.

Treasury

Notes,

0.625%,

8/15/30 

440,715‌

345,755‌

U.S.

Treasury

Notes,

1.50%,

1/31/27 

308,150‌

281,717‌

U.S.

Treasury

Notes,

1.875%,

2/15/32 

120,165‌

99,718‌

U.S.

Treasury

Notes,

2.25%,

1/31/24  (8)

385,690‌

383,701‌

U.S.

Treasury

Notes,

3.25%,

6/30/27 

234,665‌

225,792‌

U.S.

Treasury

Notes,

3.875%,

11/30/27 

212,795‌

208,905‌

U.S.

Treasury

Notes,

3.875%,

11/30/29 

115,930‌

112,905‌

U.S.

Treasury

Notes,

4.125%,

6/15/26 

158,200‌

156,618‌

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  (8)

197,545‌

194,736‌

U.S.

Treasury

Notes,

4.125%,

11/15/32 

298,680‌

293,266‌

U.S.

Treasury

Notes,

4.625%,

9/15/26  (11)

737,622‌

740,158‌

U.S.

Treasury

Notes,

4.625%,

10/15/26  (11)

346,295‌

347,594‌

Total

U.S.

Government

Agency

Obligations

(Excluding

Mortgage-

Backed)

(Cost

$5,595,398)

5,363,940‌

SHORT-TERM

INVESTMENTS

5.1%

Money

Market

Funds

5.1%

T.

Rowe

Price

Government

Reserve

Fund,

5.42%  (6)(12)

827,232‌

827,232‌

Total

Short-Term

Investments

(Cost

$827,232)

827,232‌

T.

ROWE

PRICE

New

Income

Fund

41

Par/Shares

$

Value

(Amounts

in

000s)

SECURITIES

LENDING

COLLATERAL

3.5%

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,

5.42%  (6)(12)

2,608‌

2,608‌

Total

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

JPMorgan

Chase

Bank

2,608‌

INVESTMENTS

IN

A

POOLED

ACCOUNT

THROUGH

SECURITIES

LENDING

PROGRAM

WITH

STATE

STREET

BANK

AND

TRUST

COMPANY

3.5%

Money

Market

Funds

3.5%

T.

Rowe

Price

Government

Reserve

Fund,

5.42%  (6)(12)

570,483‌

570,483‌

Total

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

State

Street

Bank

and

Trust

Company

570,483‌

Total

Securities

Lending

Collateral

(Cost

$573,091)

573,091‌

(Amounts

in

000s,

except

for

contracts)

OPTIONS

PURCHASED

0.0%

Exchange-Traded

Options

Purchased

0.0%

Description

Contracts

Notional

Amount

$

Value

U.S.

Treasury

10-Year

Notes

Futures,

Put,

12/22/23

@

$110.00  (13)

5,524‌

606,518‌

5,179‌

Total

Exchange-Traded

Options

Purchased

(Cost

$4,929)

5,179‌

OTC

Options

Purchased

0.0%

Counterparty

Description

Contracts

Notional

Amount

$

Value

JPMorgan

Chase

USD

/

EUR,

Call,

12/14/23

@

EUR1.09  (13)

1‌

417,000‌

2,396‌

Total

OTC

Options

Purchased

(Cost

$3,113)

2,396‌

Total

Options

Purchased

(Cost

$8,042)

7,575‌

Total

Investments

in

Securities

104.9%

of

Net

Assets

(Cost

$17,952,586)

$

16,979,538‌

T.

ROWE

PRICE

New

Income

Fund

42

‡

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

$2,018,839

and

represents

12.5%

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

November

30,

2023.

The

interest

rate

for

unsettled

loans

will

be

determined

upon

settlement

after

period

end.

(4)

See

Note

2.

Level

3

in

fair

value

hierarchy.

(5)

SEC

30-day

yield

(6)

Affiliated

Companies

(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)

See

Note

4

.

All

or

a

portion

of

this

security

is

on

loan

at

November

30,

2023.

(9)

Perpetual

security

with

no

stated

maturity

date.

(10)

See

Note

4

.

To-Be-Announced

purchase

commitment.

Total

value

of

such

securities

at

period-end

amounts

to

$337,420

and

represents

2.1%

of

net

assets.

(11)

At

November

30,

2023,

all

or

a

portion

of

this

security

is

pledged

as

collateral

and/or

margin

deposit

to

cover

future

funding

obligations.

(12)

Seven-day

yield

(13)

Non-income

producing

1M

TSFR

One

month

term

SOFR

(Secured

overnight

financing

rate)

3M

TSFR

Three

month

term

SOFR

(Secured

overnight

financing

rate)

6M

EURIBOR

Six

month

EURIBOR

(Euro

interbank

offered

rate)

6M

USD

LIBOR

Six

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. 

AUD

Australian

Dollar

CAD

Canadian

Dollar

CLO

Collateralized

Loan

Obligation

CMO

Collateralized

Mortgage

Obligation

EUR

Euro

FRN

Floating

Rate

Note

IO

Interest-only

security

for

which

the

fund

receives

interest

on

notional

principal

JPY

Japanese

Yen

KRW

South

Korean

Won

NZD

New

Zealand

Dollar

OTC

Over-the-counter

T.

ROWE

PRICE

New

Income

Fund

43

.

.

.

.

.

.

.

.

.

.

PHP

Philippines

Peso

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

THB

Thai

Baht

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

44

(Amounts

in

000s)

SWAPS

0.2%

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)

**

Unrealized

$

Gain/(Loss)

BILATERAL

SWAPS

0.1%

Credit

Default

Swaps,

Protection

Bought

0.1%

Goldman

Sachs,

Protection

Bought

(Relevant

Credit:

Markit

CMBX.

NA.AAA-S15,

40

Year

Index),

Pay

0.50%

Monthly,

Receive

upon

credit

default,

11/18/64

2,883

71

73

(2‌)

Goldman

Sachs,

Protection

Bought

(Relevant

Credit:

Markit

CMBX.

NA.AAA-S16,

40

Year

Index),

Pay

0.50%

Monthly,

Receive

upon

credit

default,

4/17/65

2,883

87

87

—‌

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

412,749

10,202

10,937

(735‌)

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

24,083

595

581

14‌

Morgan

Stanley,

Protection

Bought

(Relevant

Credit:

Markit

CMBX.

NA.AAA-S16,

40

Year

Index),

Pay

0.50%

Monthly,

Receive

upon

credit

default,

4/17/65

24,083

729

716

13‌

Total

Bilateral

Credit

Default

Swaps,

Protection

Bought

12,394

(710‌)

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

28

2‌

Total

Bilateral

Credit

Default

Swaps,

Protection

Sold

28

2‌

Total

Bilateral

Swaps

12,422

(708‌)

T.

ROWE

PRICE

New

Income

Fund

45

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Initial

$

Value

**

Unrealized

$

Gain/(Loss)

CENTRALLY

CLEARED

SWAPS

0.1%

Credit

Default

Swaps,

Protection

Sold

0.1%

Protection

Sold

(Relevant

Credit:

Markit

CDX.NA.HY-S41,

5

Year

Index),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

12/20/28

*

117,174

5,721

324

5,397‌

Protection

Sold

(Relevant

Credit:

Markit

CDX.NA.IG-S41,

5

Year

Index),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

12/20/28

*

717,301

13,481

9,620

3,861‌

Protection

Sold

(Relevant

Credit:

United

Mexican

States,

Baa2*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

12/20/28

*

96,396

211

(984)

1,195‌

Total

Centrally

Cleared

Credit

Default

Swaps,

Protection

Sold

10,453‌

Interest

Rate

Swaps

0.0%

5

Year

Interest

Rate

Swap,

Receive

Fixed

3.049%

Annually,

Pay

Variable

4.071%

(6M

EURIBOR)

Semi-Annually,

11/20/28

(EUR)

918,188

5,112

—

5,112‌

5

Year

Interest

Rate

Swap,

Receive

Fixed

3.111%

Annually,

Pay

Variable

4.076%

(6M

EURIBOR)

Semi-Annually,

11/17/28

(EUR)

802,044

6,855

—

6,855‌

30

Year

Interest

Rate

Swap,

Pay

Fixed

2.843%

Annually,

Receive

Variable

4.071%

(6M

EURIBOR)

Semi-Annually,

11/20/53

(EUR)

196,893

(4,182)

—

(4,182‌)

30

Year

Interest

Rate

Swap,

Pay

Fixed

2.898%

Annually,

Receive

Variable

4.076%

(6M

EURIBOR)

Semi-Annually,

11/17/53

(EUR)

186,578

(6,151)

—

(6,151‌)

Total

Centrally

Cleared

Interest

Rate

Swaps

1,634‌

Total

Centrally

Cleared

Swaps

12,087‌

Net

payments

(receipts)

of

variation

margin

to

date

(12,630‌)

Variation

margin

receivable

(payable)

on

centrally

cleared

swaps

$

(543‌)

*

Credit

ratings

as

of

November

30,

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.

**

Includes

interest

purchased

or

sold

but

not

yet

collected

of

$1,166.

T.

ROWE

PRICE

New

Income

Fund

46

(Amounts

in

000s)

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

Counterparty

Settlement

Receive

Deliver

Unrealized

Gain/(Loss)

Bank

of

America

1/19/24

CAD

215,605‌

USD

159,029‌

$

(12‌)

Bank

of

America

1/19/24

JPY

17,473,542‌

USD

117,889‌

937‌

Bank

of

America

1/19/24

NZD

66,610‌

USD

39,993‌

1,033‌

Bank

of

America

1/19/24

USD

26,181‌

CAD

36,059‌

(414‌)

Canadian

Imperial

Bank

of

Commerce

1/19/24

USD

103,669‌

CAD

143,486‌

(2,157‌)

Citibank

12/8/23

THB

1,408,350‌

USD

39,847‌

217‌

Citibank

1/17/24

USD

40,355‌

KRW

53,507,705‌

(912‌)

Citibank

1/19/24

AUD

124,750‌

USD

79,821‌

2,739‌

Citibank

1/19/24

USD

26,181‌

CAD

36,059‌

(414‌)

Citibank

1/19/24

USD

39,330‌

NZD

66,610‌

(1,696‌)

Deutsche

Bank

1/17/24

USD

39,916‌

KRW

53,361,590‌

(1,238‌)

Deutsche

Bank

1/19/24

JPY

17,473,542‌

USD

117,942‌

884‌

Deutsche

Bank

1/19/24

USD

78,674‌

AUD

124,750‌

(3,887‌)

Goldman

Sachs

1/19/24

USD

51,995‌

JPY

7,681,414‌

(241‌)

HSBC

Bank

12/7/23

PHP

2,220,320‌

USD

39,830‌

182‌

JPMorgan

Chase

1/19/24

USD

103,983‌

JPY

15,365,132‌

(505‌)

Morgan

Stanley

12/8/23

USD

38,968‌

THB

1,408,350‌

(1,097‌)

Standard

Chartered

1/17/24

KRW

106,869,295‌

USD

82,082‌

339‌

State

Street

1/19/24

USD

79,715‌

JPY

11,900,540‌

(1,213‌)

UBS

Investment

Bank

12/7/23

PHP

2,229,220‌

USD

39,975‌

197‌

UBS

Investment

Bank

12/7/23

USD

78,134‌

PHP

4,449,540‌

(2,051‌)

UBS

Investment

Bank

2/23/24

USD

62,002‌

EUR

56,821‌

(78‌)

Net

unrealized

gain

(loss)

on

open

forward

currency

exchange

contracts

$

(9,387‌)

T.

ROWE

PRICE

New

Income

Fund

47

FUTURES

CONTRACTS

($000s)

Expiration

Date

Notional

Amount

Value

and

Unrealized

Gain

(Loss)

Long,

26,157

U.S.

Treasury

Notes

five

year

contracts

3/24

2,794,916

$

20,401‌

Long,

15,589

U.S.

Treasury

Notes

two

year

contracts

3/24

3,187,341

(661‌)

Short,

2,835

Ultra

U.S.

Treasury

Bonds

contracts

3/24

(348,705)

(6,604‌)

Short,

2,605

Ultra

U.S.

Treasury

Notes

ten

year

contracts

3/24

(295,708)

444‌

Net

payments

(receipts)

of

variation

margin

to

date

(21,045‌)

Variation

margin

receivable

(payable)

on

open

futures

contracts

$

(7,465‌)

T.

ROWE

PRICE

New

Income

Fund

48

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AFFILIATED

COMPANIES

($000s)

The

fund

may

invest

in

certain

securities

that

are

considered

affiliated

companies.

As

defined

by

the

1940

Act,

an

affiliated

company

is

one

in

which

the

fund

owns

5%

or

more

of

the

outstanding

voting

securities,

or

a

company

that

is

under

common

ownership

or

control.

The

following

securities

were

considered

affiliated

companies

for

all

or

some

portion

of

the

six

months

ended

November

30,

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,

9.39% 

$

—‌

$

6‌

$

14‌

T.

Rowe

Price

Government

Reserve

Fund,

5.42%

—‌

—‌

42,969‌++

Totals

$

—‌#

$

6‌

$

42,983‌+

Supplementary

Investment

Schedule

Affiliate

Value

05/31/23

Purchase

Cost

Sales

Cost

Value

11/30/23

T.

Rowe

Price

Institutional

Floating

Rate

Fund

-

Z

Class,

9.39% 

$

284‌

$

14‌

$

—‌

$

304‌

T.

Rowe

Price

Government

Reserve

Fund,

5.42%

2,018,913‌

  ¤

  ¤

1,400,323‌

Total

$

1,400,627‌^

#

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

as

described

in

Note

4

.

+

Investment

income

comprised

$42,983

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

$1,400,607.

T.

ROWE

PRICE

New

Income

Fund

November

30,

2023

(Unaudited)

Statement

of

Assets

and

Liabilities

49

($000s,

except

shares

and

per

share

amounts)

Assets

Investments

in

securities,

at

value

(cost

$17,952,586)

$

16,979,538‌

Receivable

for

investment

securities

sold

545,060‌

Interest

receivable

107,248‌

Bilateral

swap

premiums

paid

12,422‌

Cash

9,465‌

Unrealized

gain

on

forward

currency

exchange

contracts

6,528‌

Due

from

affiliates

3,131‌

Receivable

for

shares

sold

2,117‌

Foreign

currency

(cost

$217)

217‌

Unrealized

gain

on

bilateral

swaps

29‌

Other

assets

171‌

Total

assets

17,665,926‌

Liabilities

Payable

for

investment

securities

purchased

863,599‌

Obligation

to

return

securities

lending

collateral

573,091‌

Payable

for

shares

redeemed

18,630‌

Unrealized

loss

on

forward

currency

exchange

contracts

15,915‌

Variation

margin

payable

on

futures

contracts

7,465‌

Investment

management

fees

payable

4,137‌

Unrealized

loss

on

bilateral

swaps

737‌

Variation

margin

payable

on

centrally

cleared

swaps

543‌

Payable

to

directors

9‌

Other

liabilities

1,076‌

Total

liabilities

1,485,202‌

NET

ASSETS

$

16,180,724‌

T.

ROWE

PRICE

New

Income

Fund

November

30,

2023

(Unaudited)

Statement

of

Assets

and

Liabilities

50

($000s,

except

shares

and

per

share

amounts)

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Net

Assets

Consist

of:

Total

distributable

earnings

(loss)

$

(3,397,133‌)

Paid-in

capital

applicable

to

2,063,922,011

shares

of

$1.00

par

value

capital

stock

outstanding;

12,000,000,000

shares

authorized

19,577,857‌

NET

ASSETS

$

16,180,724‌

NET

ASSET

VALUE

PER

SHARE

Investor

Class

(Net

assets:

$746,168;

Shares

outstanding:

95,135,959)

$

7.84‌

Advisor

Class

(Net

assets:

$8,438;

Shares

outstanding:

1,078,335)

$

7.82‌

R

Class

(Net

assets:

$980;

Shares

outstanding:

125,022)

$

7.84‌

I

Class

(Net

assets:

$2,492,301;

Shares

outstanding:

317,927,809)

$

7.84‌

Z

Class

(Net

assets:

$12,932,837;

Shares

outstanding:

1,649,654,886)

$

7.84‌

T.

ROWE

PRICE

New

Income

Fund

(Unaudited)

Statement

of

Operations

51

($000s)

6

Months

Ended

11/30/23

Investment

Income

(Loss)

Income

    Interest

$

311,666‌

Dividend

42,983‌

Securities

lending

217‌

Other

11‌

Total

income

354,877‌

Expenses

Investment

management

24,929‌

Shareholder

servicing

Investor

Class

$

796‌

Advisor

Class

29‌

R

Class

2‌

I

Class

475‌

1,302‌

Rule

12b-1

fees

Advisor

Class

11‌

R

Class

2‌

13‌

Prospectus

and

shareholder

reports

Investor

Class

44‌

Advisor

Class

1‌

I

Class

12‌

Z

Class

3‌

60‌

Custody

and

accounting

289‌

Registration

60‌

Proxy

and

annual

meeting

50‌

Directors

28‌

Legal

and

audit

20‌

Miscellaneous

100‌

Waived

/

paid

by

Price

Associates

(20,493‌)

Total

expenses

6,358‌

Net

investment

income

348,519‌

T.

ROWE

PRICE

New

Income

Fund

(Unaudited)

Statement

of

Operations

52

($000s)

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

6

Months

Ended

11/30/23

Realized

and

Unrealized

Gain

/

Loss

–

Net

realized

gain

(loss)

Securities

(278,714‌)

Futures

(110,810‌)

Swaps

1,491‌

Forward

currency

exchange

contracts

7,949‌

Foreign

currency

transactions

431‌

Net

realized

loss

(379,653‌)

Change

in

net

unrealized

gain

/

loss

Securities

(168,136‌)

Futures

19,953‌

Swaps

5,874‌

Forward

currency

exchange

contracts

(6,566‌)

Other

assets

and

liabilities

denominated

in

foreign

currencies

(1‌)

Change

in

net

unrealized

gain

/

loss

(148,876‌)

Net

realized

and

unrealized

gain

/

loss

(528,529‌)

DECREASE

IN

NET

ASSETS

FROM

OPERATIONS

$

(180,010‌)

T.

ROWE

PRICE

New

Income

Fund

(Unaudited)

Statement

of

Changes

in

Net

Assets

53

($000s)

6

Months

Ended

11/30/23

Year

Ended

5/31/23

Increase

(Decrease)

in

Net

Assets

Operations

Net

investment

income

$

348,519‌

$

554,808‌

Net

realized

loss

(379,653‌)

(1,247,623‌)

Change

in

net

unrealized

gain

/

loss

(148,876‌)

178,559‌

Decrease

in

net

assets

from

operations

(180,010‌)

(514,256‌)

Distributions

to

shareholders

Net

earnings

Investor

Class

(15,794‌)

(27,221‌)

Advisor

Class

(156‌)

(332‌)

R

Class

(17‌)

(30‌)

I

Class

(52,255‌)

(87,651‌)

Z

Class

(282,308‌)

(438,273‌)

Decrease

in

net

assets

from

distributions

(350,530‌)

(553,507‌)

Capital

share

transactions

*

Shares

sold

Investor

Class

38,801‌

82,621‌

Advisor

Class

359‌

857‌

R

Class

68‌

119‌

I

Class

286,988‌

472,373‌

Z

Class

1,443,459‌

1,093,418‌

Distributions

reinvested

Investor

Class

15,057‌

25,930‌

Advisor

Class

152‌

327‌

R

Class

17‌

30‌

I

Class

50,274‌

84,613‌

Z

Class

282,307‌

438,273‌

Shares

redeemed

Investor

Class

(98,689‌)

(230,029‌)

Advisor

Class

(976‌)

(5,277‌)

R

Class

(81‌)

(463‌)

I

Class

(421,475‌)

(727,108‌)

Z

Class

(732,518‌)

(2,198,371‌)

Increase

(decrease)

in

net

assets

from

capital

share

transactions

863,743‌

(962,687‌)

T.

ROWE

PRICE

New

Income

Fund

(Unaudited)

Statement

of

Changes

in

Net

Assets

54

($000s)

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

6

Months

Ended

11/30/23

Year

Ended

5/31/23

Net

Assets

Increase

(decrease)

during

period

333,203‌

(2,030,450‌)

Beginning

of

period

15,847,521‌

17,877,971‌

End

of

period

$

16,180,724‌

$

15,847,521‌

*Share

information

(000s)

Shares

sold

Investor

Class

4,925‌

10,027‌

Advisor

Class

45‌

104‌

R

Class

9‌

14‌

I

Class

36,529‌

57,367‌

Z

Class

183,623‌

133,534‌

Distributions

reinvested

Investor

Class

1,920‌

3,166‌

Advisor

Class

19‌

40‌

R

Class

2‌

4‌

I

Class

6,417‌

10,336‌

Z

Class

36,060‌

53,524‌

Shares

redeemed

Investor

Class

(12,589‌)

(27,871‌)

Advisor

Class

(124‌)

(654‌)

R

Class

(11‌)

(56‌)

I

Class

(53,435‌)

(87,780‌)

Z

Class

(93,443‌)

(263,861‌)

Increase

(decrease)

in

shares

outstanding

109,947‌

(112,106‌)

T.

ROWE

PRICE

New

Income

Fund

Unaudited

NOTES

TO

FINANCIAL

STATEMENTS

55

T.

Rowe

Price

New

Income

Fund,

Inc.

(the

fund) is

registered

under

the

Investment

Company

Act

of

1940

(the

1940

Act)

as a

diversified, open-end

management

investment

company. The

fund

seeks

to

maximize

total

return

through

income

and

capital

appreciation.

The

fund

has

five classes

of

shares:

the

New

Income

Fund

(Investor

Class),

the

New

Income

Fund–Advisor

Class

(Advisor

Class),

the

New

Income

Fund–R

Class

(R

Class),

the

New

Income

Fund–I

Class

(I

Class),

and

the

New

Income

Fund–Z

Class

(Z

Class).

Advisor

Class

shares

are

sold

only

through

various

brokers

and

other

financial

intermediaries,

and

R

Class

shares

are

available

through

financial

intermediaries

for

employer-sponsored

defined

contribution

retirement

plans

and

certain

other

retirement

accounts.

I

Class

shares

require

a

$500,000

initial

investment

minimum,

although

the

minimum

generally

is

waived

or

reduced

for

financial

intermediaries,

eligible

retirement

plans,

and

certain

other

accounts.

The

Z

Class

is

only

available

to

funds

advised

by

T.

Rowe

Price

Associates,

Inc.

and

its

affiliates

and

other

clients

that

are

subject

to

a

contractual

fee

for

investment

management

services.

The

Advisor

Class

and

R

Class

each

operate

under

separate

Board-approved

Rule

12b-1

plans,

pursuant

to

which

each

class

compensates

financial

intermediaries

for

distribution,

shareholder

servicing,

and/

or

certain

administrative

services;

the

Investor,

I

and

Z

Classes

do

not

pay

Rule

12b-1

fees. Each

class

has

exclusive

voting

rights

on

matters

related

solely

to

that

class;

separate

voting

rights

on

matters

that

relate

to

all

classes;

and,

in

all

other

respects,

the

same

rights

and

obligations

as

the

other

classes.

NOTE

1

-

SIGNIFICANT

ACCOUNTING

POLICIES 

Basis

of

Preparation

 The fund

is

an

investment

company

and

follows

accounting

and

reporting

guidance

in

the

Financial

Accounting

Standards

Board

(FASB)

Accounting

Standards

Codification

Topic

946

(ASC

946).

The

accompanying

financial

statements

were

prepared

in

accordance

with

accounting

principles

generally

accepted

in

the

United

States

of

America

(GAAP),

including,

but

not

limited

to,

ASC

946.

GAAP

requires

the

use

of

estimates

made

by

management.

Management

believes

that

estimates

and

valuations

are

appropriate;

however,

actual

results

may

differ

from

those

estimates,

and

the

valuations

reflected

in

the

accompanying

financial

statements

may

differ

from

the

value

ultimately

realized

upon

sale

or

maturity.

Investment

Transactions,

Investment

Income,

and

Distributions

 Investment

transactions

are

accounted

for

on

the

trade

date

basis.

Income

and

expenses

are

recorded

on

the

accrual

basis.

Realized

gains

and

losses

are

reported

on

the

identified

cost

basis. Premiums

and

discounts

on

debt

securities

are

amortized

for

financial

reporting

purposes. Paydown

gains

and

losses

are

recorded

as

an

adjustment

to

interest

T.

ROWE

PRICE

New

Income

Fund

56

income. Income

tax-related

interest

and

penalties,

if

incurred,

are

recorded

as

income

tax

expense. Dividends

received

from other

investment

companies are

reflected

as

dividend

income;

capital

gain

distributions

are

reflected

as

realized

gain/loss. Dividend

income and

capital

gain

distributions

are

recorded

on

the

ex-dividend

date. Non-cash

dividends,

if

any,

are

recorded

at

the

fair

market

value

of

the

asset

received. Proceeds

from

litigation

payments,

if

any,

are

included

in

either

net

realized

gain

(loss)

or

change

in

net

unrealized

gain/loss

from

securities. Distributions

to

shareholders

are

recorded

on

the

ex-dividend

date. Income

distributions,

if

any, are

declared

by

each

class daily

and

paid

monthly. A

capital

gain

distribution,

if

any, may

also

be

declared

and

paid

by

the

fund

annually.

Currency

Translation

 Assets,

including

investments,

and

liabilities

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.

Purchases

and

sales

of

securities,

income,

and

expenses

are

translated

into

U.S.

dollars

at

the

prevailing

exchange

rate

on

the

respective

date

of

such

transaction.

The

effect

of

changes

in

foreign

currency

exchange

rates

on

realized

and

unrealized

security

gains

and

losses

is

not

bifurcated

from

the

portion

attributable

to

changes

in

market

prices.

Class

Accounting

 Shareholder

servicing,

prospectus,

and

shareholder

report

expenses

incurred

by

each

class

are

charged

directly

to

the

class

to

which

they

relate.

Expenses

common

to

all

classes

and

investment

income

are

allocated

to

the

classes

based

upon

the

relative

daily

net

assets

of

each

class’s

settled

shares;

realized

and

unrealized

gains

and

losses

are

allocated

based

upon

the

relative

daily

net

assets

of

each

class’s

outstanding

shares.

The

Advisor

Class

and

R

Class

each

pay

Rule

12b-1

fees,

in

an

amount

not

exceeding

0.25%

and

0.50%,

respectively,

of

the

class’s

average

daily

net

assets.

Capital

Transactions

 Each

investor’s

interest

in

the

net

assets

of the

fund

is

represented

by

fund

shares. The

fund’s

net

asset

value

(NAV)

per

share

is

computed

at

the

close

of

the

New

York

Stock

Exchange

(NYSE),

normally

4

p.m.

ET,

each

day

the

NYSE

is

open

for

business.

However,

the

NAV

per

share

may

be

calculated

at

a

time

other

than

the

normal

close

of

the

NYSE

if

trading

on

the

NYSE

is

restricted,

if

the

NYSE

closes

earlier,

or

as

may

be

permitted

by

the

SEC.

Purchases

and

redemptions

of

fund

shares

are

transacted

at

the

next-computed

NAV

per

share,

after

receipt

of

the

transaction

order

by

T.

Rowe

Price

Associates,

Inc.,

or

its

agents.

New

Accounting

Guidance

The

FASB

issued

Accounting

Standards

Update

(ASU),

ASU

2020–04,

Reference

Rate

Reform

(Topic

848) –

Facilitation

of

the

Effects

of

Reference

Rate

Reform

on

Financial

Reporting

in

March

2020

and

ASU

2021-01

in

January

2021

which

provided

further

amendments

and

clarifications

to

Topic

848.

These

ASUs provide

optional,

temporary

relief

with

respect

to

the

financial

reporting

of

T.

ROWE

PRICE

New

Income

Fund

57

contracts

subject

to

certain

types

of

modifications

due

to

the

planned

discontinuation

of

the

London

Interbank

Offered

Rate

(LIBOR),

and

other

interbank-offered

based

reference

rates,

through December

31,

2022.

In

December

2022,

FASB

issued

ASU

2022-

06

which

defers

the

sunset

date

of

Topic

848

from

December

31,

2022

to

December

31,

2024,

after

which

entities

will

no

longer

be

permitted

to

apply

the

relief

in

Topic

848.

Management

intends

to

rely

upon

the

relief

provided

under

Topic

848,

which

is

not

expected to

have

a

material

impact

on

the fund's

financial  statements.

Indemnification

 In

the

normal

course

of

business, the

fund

may

provide

indemnification

in

connection

with

its

officers

and

directors,

service

providers,

and/or

private

company

investments. The

fund’s

maximum

exposure

under

these

arrangements

is

unknown;

however,

the

risk

of

material

loss

is

currently

considered

to

be

remote.

NOTE

2

-

VALUATION 

Fair

Value

  The

fund’s

financial

instruments

are

valued

at

the

close

of

the

NYSE

and

are

reported

at

fair

value,

which

GAAP

defines

as

the

price

that

would

be

received

to

sell

an

asset

or

paid

to

transfer

a

liability

in

an

orderly

transaction

between

market

participants

at

the

measurement

date. The fund’s

Board

of

Directors

(the

Board)

has

designated

T.

Rowe

Price

Associates,

Inc.

as

the

fund’s

valuation

designee

(Valuation

Designee).

Subject

to

oversight

by

the

Board,

the

Valuation

Designee

performs

the

following

functions

in

performing

fair

value

determinations:

assesses

and

manages

valuation

risks;

establishes

and

applies

fair

value

methodologies;

tests

fair

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

58

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.

Listed

options,

and

OTC

options

with

a

listed

equivalent,

are

valued

at

the

mean

of

the

closing

bid

and

asked

prices

and

exchange-traded

options

on

futures

contracts

are

valued

at

closing

settlement

prices.

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.

Assets

and

liabilities

other

than

financial

instruments,

including

short-term

receivables

and

payables,

are

carried

at

cost,

or

estimated

realizable

value,

if

less,

which

approximates

fair

value. 

Investments

for

which

market

quotations are

not

readily

available

or

deemed

unreliable

are

valued

at

fair

value

as

determined

in

good

faith

by

the

Valuation

Designee.

The

Valuation

Designee

has

adopted

methodologies

for

determining

the

fair

value

of

investments

for

which

market

quotations

are

not

readily

available

or

deemed

unreliable,

including

the

use

of

other

pricing

sources.

Factors

used

in

determining

fair

value

vary

by

type

of

investment

and

may

include

market

or

investment

specific

considerations.

The

Valuation

Designee typically

will

afford

greatest

weight

to

actual

prices

in

arm’s

length

transactions,

to

the

extent

they

represent

orderly

transactions

between

market

participants,

transaction

information

can

be

reliably

obtained,

and

prices

are

deemed

representative

of

fair

value.

However,

the

Valuation

Designee may

also

consider

other

valuation

methods

such

as

market-based

valuation

multiples;

a

discount

or

premium

T.

ROWE

PRICE

New

Income

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59

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

November

30,

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

$

—‌

$

15,309,298‌

$

—‌

$

15,309,298‌

Bank

Loans

—‌

256,553‌

5,485‌

262,038‌

Bond

Mutual

Funds

304‌

—‌

—‌

304‌

Short-Term

Investments

827,232‌

—‌

—‌

827,232‌

Securities

Lending

Collateral

573,091‌

—‌

—‌

573,091‌

Options

Purchased

5,179‌

2,396‌

—‌

7,575‌

Total

Securities

1,405,806‌

15,568,247‌

5,485‌

16,979,538‌

Swaps*

—‌

34,134‌

—‌

34,134‌

Forward

Currency

Exchange

Contracts

—‌

6,528‌

—‌

6,528‌

Futures

Contracts*

20,845‌

—‌

—‌

20,845‌

Total

$

1,426,651‌

$

15,608,909‌

$

5,485‌

$

17,041,045‌

Liabilities

Swaps*

$

—‌

$

10,333‌

$

—‌

$

10,333‌

Forward

Currency

Exchange

Contracts

—‌

15,915‌

—‌

15,915‌

Futures

Contracts*

7,265‌

—‌

—‌

7,265‌

Total

$

7,265‌

$

26,248‌

$

—‌

$

33,513‌

T.

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60

NOTE

3

-

DERIVATIVE

INSTRUMENTS 

During

the

six

months ended

November

30,

2023,

the

fund

invested

in

derivative

instruments.

As

defined

by

GAAP,

a

derivative

is

a

financial

instrument

whose

value

is

derived

from

an

underlying

security

price,

foreign

exchange

rate,

interest

rate,

index

of

prices

or

rates,

or

other

variable;

it

requires

little

or

no

initial

investment

and

permits

or

requires

net

settlement.

The

fund

invests

in

derivatives

only

if

the

expected

risks

and

rewards

are

consistent

with

its

investment

objectives,

policies,

and

overall

risk

profile,

as

described

in

its

prospectus

and

Statement

of

Additional

Information.

The

fund

may

use

derivatives

for

a

variety

of

purposes

and

may

use

them

to

establish

both

long

and

short

positions

within

the

fund’s

portfolio.

Potential

uses

include

to

hedge

against

declines

in

principal

value,

increase

yield,

invest

in

an

asset

with

greater

efficiency

and

at

a

lower

cost

than

is

possible

through

direct

investment,

to

enhance

return,

or

to

adjust

portfolio

duration

and

credit

exposure.

The

risks

associated

with

the

use

of

derivatives

are

different

from,

and

potentially

much

greater

than,

the

risks

associated

with

investing

directly

in

the

instruments

on

which

the

derivatives

are

based.

The

fund

values

its

derivatives

at

fair

value

and

recognizes

changes

in

fair

value

currently

in

its

results

of

operations.

Accordingly,

the

fund

does

not

follow

hedge

accounting,

even

for

derivatives

employed

as

economic

hedges.

Generally,

the

fund

accounts

for

its

derivatives

on

a

gross

basis.

It

does

not

offset

the

fair

value

of

derivative

liabilities

against

the

fair

value

of

derivative

assets

on

its

financial

statements,

nor

does

it

offset

the

fair

value

of

derivative

instruments

against

the

right

to

reclaim

or

obligation

to

return

collateral.

The

following

table

summarizes

the

fair

value

of

the

fund’s

derivative

instruments

held

as

of

November

30,

2023,

and

the

related

location

on

the

accompanying

Statement

of

Assets

and

Liabilities,

presented

by

primary

underlying

risk

exposure:

1

Includes

Asset-Backed

Securities,

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).

*

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.

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New

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Fund

61

($000s)

Location

on

Statement

of

Assets

and

Liabilities

Fair

Value*

Assets

Interest

rate

derivatives

Centrally

Cleared

Swaps

,

Futures

,

Securities^

$

37,991‌

Foreign

exchange

derivatives

Forwards

,

Securities^

8,924‌

Credit

derivatives

Bilateral

Swaps

and

Premiums

,

Centrally

Cleared

Swaps

22,167‌

^

,*

Total

$

69,082‌

^

,*

Liabilities

Interest

rate

derivatives

Centrally

Cleared

Swaps,

Futures

$

17,598‌

Foreign

exchange

derivatives

Forwards

15,915‌

Total

$

33,513‌

*

The

fair

value

presented

includes

cumulative

gain

(loss)

on

open

futures

contracts

and

centrally

cleared

swaps;

however,

the

value

reflected

on

the

accompanying

Statement

of

Assets

and

Liabilities

is

only

the

unsettled

variation

margin

receivable

(payable)

at

that

date.

^

Options

purchased

are

reported

as

securities

and

are

reflected

in

the

accompanying

Portfolio

of

Investments.

T.

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PRICE

New

Income

Fund

62

Additionally,

the

amount

of

gains

and

losses

on

derivative

instruments

recognized

in

fund

earnings

during

the

six

months ended

November

30,

2023,

and

the

related

location

on

the

accompanying

Statement

of

Operations

is

summarized

in

the

following

table

by

primary

underlying

risk

exposure: 

Counterparty

Risk

and

Collateral

 The

fund

invests

in

derivatives

in

various

markets,

which

expose

it

to

differing

levels

of

counterparty

risk.

Counterparty

risk

on

exchange-

traded

and

centrally

cleared

derivative

contracts,

such

as

futures,

exchange-traded

options,

and

centrally

cleared

swaps,

is

minimal

because

the

clearinghouse

provides

protection

against

counterparty

defaults.

For

futures

and

centrally

cleared

swaps,

the

fund

is

required

to

deposit

collateral

in

an

amount

specified

by

the

clearinghouse

and

the

clearing

firm

(margin

requirement),

and

the

margin

requirement

must

be

maintained

over

the

life

of

the

contract.

Each

clearinghouse

and

clearing

firm,

in

its

sole

discretion,

may

adjust

the

margin

requirements

applicable

to

the

fund.

($000s)                                              

Location

of

Gain

(Loss)

on

Statement

of

Operations

Securities^

Futures

Forward

Currency

Exchange

Contracts

Swaps

Total

Realized

Gain

(Loss)

Interest

rate

derivatives

$

114‌

$

(110,810‌)

$

—‌

$

(8,716‌)

$

(119,412‌)

Foreign

exchange

derivatives

(7,133‌)

—‌

7,949‌

—‌

816‌

Credit

derivatives

(267‌)

—‌

—‌

10,207‌

9,940‌

Total

$

(7,286‌)

$

(110,810‌)

$

7,949‌

$

1,491‌

$

(108,656‌)

Change

in

Unrealized

Gain

(Loss)

Interest

rate

derivatives

$

250‌

$

19,953‌

$

—‌

$

1,634‌

$

21,837‌

Foreign

exchange

derivatives

2,673‌

—‌

(6,566‌)

—‌

(3,893‌)

Credit

derivatives

—‌

—‌

—‌

4,240‌

4,240‌

Total

$

2,923‌

$

19,953‌

$

(6,566‌)

$

5,874‌

$

22,184‌

^

Options

purchased

are

reported

as

securities.

T.

ROWE

PRICE

New

Income

Fund

63

Derivatives,

such

as

non-cleared bilateral

swaps,

forward

currency

exchange

contracts,

and

OTC

options,

that

are

transacted

and

settle

directly

with

a

counterparty

(bilateral

derivatives)

may

expose

the

fund

to

greater

counterparty

risk.

To

mitigate

this

risk,

the

fund

has

entered

into

master

netting

arrangements

(MNAs)

with

certain

counterparties

that

permit

net

settlement

under

specified

conditions

and,

for

certain

counterparties,

also

require

the

exchange

of

collateral

to

cover

mark-to-market

exposure.

MNAs

may

be

in

the

form

of

International

Swaps

and

Derivatives

Association

master

agreements

(ISDAs)

or

foreign

exchange

letter

agreements

(FX

letters).

MNAs

provide

the

ability

to

offset

amounts

the

fund

owes

a

counterparty

against

amounts

the

counterparty

owes

the

fund

(net

settlement).

Both

ISDAs

and

FX

letters

generally

allow

termination

of

transactions

and

net

settlement

upon

the

occurrence

of

contractually

specified

events,

such

as

failure

to

pay

or

bankruptcy.

In

addition,

ISDAs

specify

other

events,

the

occurrence

of

which

would

allow

one

of

the

parties

to

terminate.

For

example,

a

downgrade

in

credit

rating

of

a

counterparty

below

a

specified

rating

would

allow

the

fund

to

terminate,

while

a

decline

in

the

fund’s

net

assets

of

more

than

a

specified

percentage

would

allow

the

counterparty

to

terminate.

Upon

termination,

all

transactions

with

that

counterparty

would

be

liquidated

and

a

net

termination

amount

settled.

ISDAs

typically

include

collateral

agreements

whereas

FX

letters

do

not.

Collateral

requirements

are

determined

daily

based

on

the

net

aggregate

unrealized

gain

or

loss

on

all

bilateral

derivatives

with

a

counterparty,

subject

to

minimum

transfer

amounts

that

typically

range

from

$100,000

to

$250,000.

Any

additional

collateral

required

due

to

changes

in

security

values

is

typically

transferred

the

next

business

day.

Collateral

may

be

in

the

form

of

cash

or

debt

securities

issued

by

the

U.S.

government

or

related

agencies,

although

other

securities

may

be

used

depending

on

the

terms

outlined

in

the

applicable

MNA.

Cash

posted

by

the

fund

is

reflected

as

cash

deposits

in

the

accompanying

financial

statements

and

generally

is

restricted

from

withdrawal

by

the

fund;

securities

posted

by

the

fund

are

so

noted

in

the

accompanying

Portfolio

of

Investments;

both

remain

in

the

fund’s

assets.

Collateral

pledged

by

counterparties

is

not

included

in

the

fund’s

assets

because

the

fund

does

not

obtain

effective

control

over

those

assets.

For

bilateral

derivatives,

collateral

posted

or

received

by

the

fund

is

held

in

a

segregated

account

at

the

fund’s

custodian.

While

typically

not

sold

in

the

same

manner

as

equity

or

fixed

income

securities,

exchange-traded

or

centrally

cleared

derivatives

may

be

closed

out

only

on

the

exchange

or

clearinghouse

where

the

contracts

were

cleared,

and

OTC

and

bilateral

derivatives

may

be

unwound

with

counterparties

or

transactions

assigned

to

other

counterparties

to

allow

the

fund

to

exit

the

transaction.

This

ability

is

subject

to

the

liquidity

of

underlying

positions. As

of

November

30,

2023,

securities

valued

at $10,564,000 had

been

pledged

or

posted

by

the

fund

to

counterparties

for

bilateral

derivatives. As

of

November

30,

2023,

collateral

pledged

T.

ROWE

PRICE

New

Income

Fund

64

by

counterparties

to

the

fund

for

bilateral

derivatives

consisted

of $10,889,000 cash

and

securities

valued

at

$2,956,000. As

of

November

30,

2023,

securities

valued

at $143,256,000

had

been

posted

by

the

fund

for

exchange-traded

and/or

centrally

cleared

derivatives.

Forward

Currency

Exchange

Contracts

 The

fund

is

subject

to

foreign

currency

exchange

rate

risk

in

the

normal

course

of

pursuing

its

investment

objectives.

It may use

forward

currency

exchange

contracts

(forwards)

primarily

to

protect

its

non-U.S.

dollar-

denominated

securities

from

adverse

currency

movements

or

to

increase

exposure

to

a

particular

foreign

currency,

to

shift

the

fund’s

foreign

currency

exposure

from

one

country

to

another,

or

to

enhance

the

fund’s

return.

A

forward

involves

an

obligation

to

purchase

or

sell

a

fixed

amount

of

a

specific

currency

on

a

future

date

at

a

price

set

at

the

time

of

the

contract.

Although

certain

forwards

may

be

settled

by

exchanging

only

the

net

gain

or

loss

on

the

contract,

most

forwards

are

settled

with

the

exchange

of

the

underlying

currencies

in

accordance

with

the

specified

terms.

Forwards

are

valued

at

the

unrealized

gain

or

loss

on

the

contract,

which

reflects

the

net

amount

the

fund

either

is

entitled

to

receive

or

obligated

to

deliver,

as

measured

by

the

difference

between

the

forward

exchange

rates

at

the

date

of

entry

into

the

contract

and

the

forward

rates

at

the

reporting

date.

Appreciated

forwards

are

reflected

as

assets

and

depreciated

forwards

are

reflected

as

liabilities

on

the

accompanying

Statement

of

Assets

and

Liabilities.

When

a

contract

is

closed,

a

realized

gain

or

loss

is

recorded

on

the

accompanying

Statement

of

Operations.

Risks

related

to

the

use

of

forwards

include

the

possible

failure

of

counterparties

to

meet

the

terms

of

the

agreements;

that

anticipated

currency

movements

will

not

occur,

thereby

reducing

the

fund’s

total

return;

and

the

potential

for

losses

in

excess

of

the

fund’s

initial

investment.

During

the

six

months ended

November

30,

2023,

the

volume

of

the

fund’s

activity

in

forwards,

based

on

underlying

notional

amounts,

was

generally

less

than

1%

of

net

assets.

Futures

Contracts

 The

fund

is

subject

to interest

rate

risk in

the

normal

course

of

pursuing

its

investment

objectives

and

uses

futures

contracts

to

help

manage

such

risk.

The

fund

may

enter

into

futures

contracts

to

manage

exposure

to

interest

rate

and

yield

curve

movements,

security

prices,

foreign

currencies,

credit

quality,

and

mortgage

prepayments;

as

an

efficient

means

of

adjusting

exposure

to

all

or

part

of

a

target

market;

to

enhance

income;

as

a

cash

management

tool;

or

to

adjust

portfolio

duration

and

credit

exposure. A

futures

contract

provides

for

the

future

sale

by

one

party

and

purchase

by

another

of

a

specified

amount

of

a

specific

underlying

financial

instrument

at

an

agreed-upon

price,

date,

time,

and

place.

The

fund

currently

invests

only

in

exchange-traded

futures,

which

generally

are

standardized

as

to

maturity

date,

underlying

financial

instrument,

and

other

contract

terms.

Payments

are

made

or

received

by

the

fund

each

day

to

settle

daily

fluctuations

in

the

value

of

the

contract

(variation

margin),

which

reflect

changes

in

the

value

of

the

underlying

financial

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instrument.

Variation

margin

is

recorded

as

unrealized

gain

or

loss

until

the

contract

is

closed.

The

value

of

a

futures

contract

included

in

net

assets

is

the

amount

of

unsettled

variation

margin;

net

variation

margin

receivable

is

reflected

as

an

asset

and

net

variation

margin

payable

is

reflected

as

a

liability

on

the

accompanying

Statement

of

Assets

and

Liabilities.

When

a

contract

is

closed,

a

realized

gain

or

loss

is

recorded

on

the

accompanying

Statement

of

Operations.

Risks

related

to

the

use

of

futures

contracts

include

possible

illiquidity

of

the

futures

markets,

contract

prices

that

can

be

highly

volatile

and

imperfectly

correlated

to

movements

in

hedged

security

values

and/or

interest

rates,

and

potential

losses

in

excess

of

the

fund’s

initial

investment.

During

the

six

months ended

November

30,

2023,

the

volume

of

the

fund’s

activity

in

futures,

based

on

underlying

notional

amounts,

was

generally

between

21%

and

39%

of

net

assets.

Options 

 The

fund

is

subject

to interest

rate

risk,

foreign

currency

exchange

rate

risk

and

credit

risk in

the

normal

course

of

pursuing

its

investment

objectives

and

uses

options

to

help

manage

such

risks.

The

fund

may

use

options

to

manage

exposure

to

security

prices,

interest

rates,

foreign

currencies,

and

credit

quality;

as

an

efficient

means

of

adjusting

exposure

to

all

or

a

part

of

a

target

market;

to

enhance

income;

as

a

cash

management

tool;

or

to

adjust

credit

exposure.

The

fund

may

buy

or

sell

options

that

can

be

settled

either

directly

with

the

counterparty

(OTC

option)

or

through

a

central

clearinghouse

(exchange-traded

option).

Options

are

included

in

net

assets

at

fair

value,

options

purchased

are

included

in

Investments

in

Securities,

and

options

written

are

separately

reflected

as

a

liability

on

the

accompanying

Statement

of

Assets

and

Liabilities.

Premiums

on

unexercised,

expired

options

are

recorded

as

realized

gains

or

losses

on

the

accompanying

Statement

of

Operations;

premiums

on

exercised

options

are

recorded

as

an

adjustment

to

the

proceeds

from

the

sale

or

cost

of

the

purchase.

The

difference

between

the

premium

and

the

amount

received

or

paid

in

a

closing

transaction

is

also

treated

as

realized

gain

or

loss

on

the

accompanying

Statement

of

Operations.

In

return

for

a

premium

paid,

currency

options

give

the

holder

the

right,

but

not

the

obligation,

to

buy

and

sell

currency

at

a

specified

exchange

rate;

although

certain

currency

options

may

be

settled

by

exchanging

only

the

net

gain

or

loss

on

the

contract.

In

return

for

a

premium

paid,

call

and

put

options

on

futures

give

the

holder

the

right,

but

not

the

obligation,

to

purchase

or

sell,

respectively,

a

position

in

a

particular

futures

contract

at

a

specified

exercise

price.

In

return

for

a

premium

paid,

options

on

swaps

give

the

holder

the

right,

but

not

the

obligation,

to

enter

a

specified

swap

contract

on

predefined

terms.

The

exercise

price

of

an

option

on

a

credit

default

swap

is

stated

in

terms

of

a

specified

spread

that

represents

the

cost

of

credit

protection

on

the

reference

asset,

including

both

the

upfront

premium

to

open

the

position

and

future

periodic

payments.

The

exercise

price

of

an

interest

rate

swap

is

stated

in

terms

of

a

fixed

interest

rate;

generally,

there

is

no

upfront

payment

to

open

the

position.

Risks related

to

the

use

of

options

include

possible

illiquidity

of

the

options

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markets;

trading

restrictions

imposed

by

an

exchange

or

counterparty;

possible

failure

of

counterparties

to

meet

the

terms

of

the

agreements;

movements

in

the

underlying

asset

values,

interest

rates,

currency

values

and

credit

ratings;

and,

for

options

written,

the

potential

for

losses

to

exceed

any

premium

received

by

the

fund.

During

the

six

months ended

November

30,

2023,

the

volume

of

the

fund’s

activity

in

options,

based

on

underlying

notional

amounts,

was

generally

between

0%

and

7%

of

net

assets.

Swaps

 The

fund

is

subject

to

interest

rate

risk

and

credit

risk in

the

normal

course

of

pursuing

its

investment

objectives

and

uses

swap

contracts

to

help

manage

such

risks.

The

fund

may

use

swaps

in

an

effort

to

manage

both

long

and

short

exposure

to

changes

in

interest

rates,

inflation

rates,

and

credit

quality;

to

adjust

overall

exposure

to

certain

markets;

to

enhance

total

return

or

protect

the

value

of

portfolio

securities;

to

serve

as

a

cash

management

tool;

or

to

adjust

portfolio

duration

and

credit

exposure.

Swap

agreements

can

be

settled

either

directly

with

the

counterparty

(bilateral

swap)

or

through

a

central

clearinghouse

(centrally

cleared

swap).

Fluctuations

in

the

fair

value

of

a

contract

are

reflected

in

unrealized

gain

or

loss

and

are

reclassified

to

realized

gain

or

loss

on

the

accompanying

Statement

of

Operations upon

contract

termination

or

cash

settlement.

Net

periodic

receipts

or

payments

required

by

a

contract

increase

or

decrease,

respectively,

the

value

of

the

contract

until

the

contractual

payment

date,

at

which

time

such

amounts

are

reclassified

from

unrealized

to

realized

gain

or

loss

on

the

accompanying

Statement

of

Operations.

For

bilateral

swaps,

cash

payments

are

made

or

received

by

the

fund

on

a

periodic

basis

in

accordance

with

contract

terms;

unrealized

gain

on

contracts

and

premiums

paid

are

reflected

as

assets

and

unrealized

loss

on

contracts

and

premiums

received

are

reflected

as

liabilities

on

the

accompanying

Statement

of

Assets

and

Liabilities.

For

bilateral

swaps,

premiums

paid

or

received

are

amortized

over

the

life

of

the

swap

and

are

recognized

as

realized

gain

or

loss

on

the

accompanying

Statement

of

Operations.

For

centrally

cleared

swaps,

payments

are

made

or

received

by

the

fund

each

day

to

settle

the

daily

fluctuation

in

the

value

of

the

contract

(variation

margin).

Accordingly,

the

value

of

a

centrally

cleared

swap

included

in

net

assets

is

the

unsettled

variation

margin;

net

variation

margin

receivable

is

reflected

as

an

asset

and

net

variation

margin

payable

is

reflected

as

a

liability

on

the

accompanying

Statement

of

Assets

and

Liabilities.

Interest

rate

swaps

are

agreements

to

exchange

cash

flows

based

on

the

difference

between

specified

interest

rates

applied

to

a

notional

principal

amount

for

a

specified

period

of

time.

Risks

related

to

the

use

of

interest

rate

swaps

include

the

potential

for

unanticipated

movements

in

interest

or

currency

rates,

the

possible

failure

of

a

counterparty

to

perform

in

accordance

with

the

terms

of

the

swap

agreements,

potential

government

regulation

that

could

adversely

affect

the

fund’s

swap

investments,

and

potential

losses

in

excess

of

the

fund’s

initial

investment. 

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Credit

default

swaps

are

agreements

where

one

party

(the

protection

buyer)

agrees

to

make

periodic

payments

to

another

party

(the

protection

seller)

in

exchange

for

protection

against

specified

credit

events,

such

as

certain

defaults

and

bankruptcies

related

to

an

underlying

credit

instrument,

or

issuer

or

index

of

such

instruments.

Upon

occurrence

of

a

specified

credit

event,

the

protection

seller

is

required

to

pay

the

buyer

the

difference

between

the

notional

amount

of

the

swap

and

the

value

of

the

underlying

credit,

either

in

the

form

of

a

net

cash

settlement

or

by

paying

the

gross

notional

amount

and

accepting

delivery

of

the

relevant

underlying

credit.

For

credit

default

swaps

where

the

underlying

credit

is

an

index,

a

specified

credit

event

may

affect

all

or

individual

underlying

securities

included

in

the

index

and

will

be

settled

based

upon

the

relative

weighting

of

the

affected

underlying

security(ies)

within

the

index. Generally,

the

payment

risk

for

the

seller

of

protection

is

inversely

related

to

the

current

market

price

or

credit

rating

of

the

underlying

credit

or

the

market

value

of

the

contract

relative

to

the

notional

amount,

which

are

indicators

of

the

markets’

valuation

of

credit

quality.

As

of

November

30,

2023,

the

notional

amount

of

protection

sold

by

the

fund

totaled $937,160,000

(5.8%

of

net

assets),

which

reflects

the

maximum

potential

amount

the

fund

could

be

required

to

pay

under

such

contracts.

Risks

related

to

the

use

of

credit

default

swaps

include

the

possible

inability

of

the

fund

to

accurately

assess

the

current

and

future

creditworthiness

of

underlying

issuers,

the

possible

failure

of

a

counterparty

to

perform

in

accordance

with

the

terms

of

the

swap

agreements,

potential

government

regulation

that

could

adversely

affect

the

fund’s

swap

investments,

and

potential

losses

in

excess

of

the

fund’s

initial

investment.

During

the

six

months ended

November

30,

2023,

the

volume

of

the

fund’s

activity

in

swaps,

based

on

underlying

notional

amounts,

was

generally

between

3%

and

23%

of

net

assets.

NOTE

4

-

OTHER

INVESTMENT

TRANSACTIONS 

Consistent

with

its

investment

objective,

the

fund

engages

in

the

following

practices

to

manage

exposure

to

certain

risks

and/or

to

enhance

performance.

The

investment

objective,

policies,

program,

and

risk

factors

of

the

fund

are

described

more

fully

in

the

fund's

prospectus

and

Statement

of

Additional

Information.

Restricted

Securities

 The

fund

invests

in

securities

that

are

subject

to

legal

or

contractual

restrictions

on

resale.

Prompt

sale

of

such

securities

at

an

acceptable

price

may

be

difficult

and

may

involve

substantial

delays

and

additional

costs.

Collateralized

Loan

Obligations 

 The

fund

invests

in

collateralized

loan

obligations

(CLOs)

which

are

entities

backed

by

a

diversified

pool

of

syndicated

bank

loans.

The

cash

flows

of

the

CLO

can

be

split

into

multiple

segments,

called

“tranches”

or

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“classes”,

which

will

vary

in

risk

profile

and

yield.

The

riskiest

segments,

which

are

the

subordinate

or

“equity”

tranches,

bear

the

greatest

risk

of

loss

from

defaults

in

the

underlying

assets

of

the

CLO

and

serve

to

protect

the

other,

more

senior,

tranches.

Senior

tranches

will

typically

have

higher

credit

ratings

and

lower

yields

than

the

securities

underlying

the

CLO.

Despite

the

protection

from

the

more

junior

tranches,

senior

tranches

can

experience

substantial

losses. 

Mortgage-Backed

Securities

 The

fund

invests

in

mortgage-backed

securities

(MBS

or

pass-through

certificates)

that

represent

an

interest

in

a

pool

of

specific

underlying

mortgage

loans

and

entitle

the

fund

to

the

periodic

payments

of

principal

and

interest

from

those

mortgages.

MBS

may

be

issued

by

government

agencies

or

corporations,

or

private

issuers.

Most

MBS

issued

by

government

agencies

are

guaranteed;

however,

the

degree

of

protection

differs

based

on

the

issuer.

The

fund

also

invests

in

stripped

MBS,

created

when

a

traditional

MBS

is

split

into

an

interest-only

(IO)

and

a

principal-

only

(PO)

strip.

MBS,

including

IOs

and

POs, are

sensitive

to

changes

in

economic

conditions

that

affect

the

rate

of

prepayments

and

defaults

on

the

underlying

mortgages;

accordingly,

the

value,

income,

and

related

cash

flows

from

MBS

may

be

more

volatile

than

other

debt

instruments.

IOs

also

risk

loss

of

invested

principal

from

faster-

than-anticipated

prepayments.

TBA

Purchase,

Sale

Commitments

and

Forward

Settling

Mortgage

Obligations

 The

fund

enters

into

to-be-announced

(TBA)

purchase

or

sale

commitments

(collectively,

TBA

transactions),

pursuant

to

which

it

agrees

to

purchase

or

sell,

respectively,

mortgage-backed

securities

for

a

fixed

unit

price,

with

payment

and

delivery

at

a

scheduled

future

date

beyond

the

customary

settlement

period

for

such

securities.

With

TBA

transactions,

the

particular

securities

to

be

received

or

delivered

by

the

fund

are

not

identified

at

the

trade

date;

however,

the

securities

must

meet

specified

terms,

including

rate

and

mortgage

term,

and

be

within

industry-accepted

“good

delivery”

standards.

The

fund

may

enter

into

TBA

transactions

with

the

intention

of

taking

possession

of

or

relinquishing

the

underlying

securities,

may

elect

to

extend

the

settlement

by

“rolling”

the

transaction,

and/or

may

use

TBA

transactions

to

gain

or

reduce

interim

exposure

to

underlying

securities.

To

mitigate

counterparty

risk,

the

fund

has

entered

into

Master

Securities

Forward

Transaction

Agreements

(MSFTA)

with

counterparties

that

provide

for

collateral

and

the

right

to

offset

amounts

due

to

or

from

those

counterparties

under

specified

conditions.

Subject

to

minimum

transfer

amounts,

collateral

requirements

are

determined

and

transfers

made

based

on

the

net

aggregate

unrealized

gain

or

loss

on

all

TBA

commitments

and

other

forward

settling

mortgage

obligations

with

a

particular

counterparty

(collectively,

MSFTA

Transactions).

At

any

time,

the

fund’s

risk

of

loss

from

a

particular

counterparty

related

to

its

MSFTA

Transactions

is

the

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aggregate

unrealized

gain

on

appreciated

MSFTA

Transactions

in

excess

of

unrealized

loss

on

depreciated

MSFTA

Transactions

and

collateral

received,

if

any,

from

such

counterparty. As

of

November

30,

2023,

securities

valued

at

$314,000 had

been

posted

by

the

fund

to

counterparties

for

MSFTA

Transactions. Collateral

pledged

by

counterparties

to

the

fund

for

MSFTA

Transactions

consisted

of $3,198,000

cash

and

securities

valued

at

$10,064,000

as

of

November

30,

2023. 

Dollar

Rolls 

 The

fund

enters

into

dollar

roll

transactions,

pursuant

to

which

it

sells

a

mortgage-backed

TBA

or

security

and

simultaneously

agrees

to

purchase

a

similar,

but

not

identical,

TBA

with

the

same

issuer,

rate,

and

terms

on

a

later

date

at

a

set

price

from

the

same

counterparty.

The

fund

may

execute

a

“roll”

to

obtain

better

underlying

mortgage

securities

or

to

enhance

returns.

While

the

fund

may

enter

into

dollar

roll

transactions

with

the

intention

of

taking

possession

of

the

underlying

mortgage

securities,

it

may

also

close

a

contract

prior

to

settlement

or

“roll”

settlement

to

a

later

date

if

deemed

to

be

in

the

best

interest

of

shareholders.

Actual

mortgages

received

by

the

fund

may

be

less

favorable

than

those

anticipated.

The

fund

accounts

for

dollar

roll

transactions

as

purchases

and

sales,

which

has

the

effect

of

increasing

its

portfolio

turnover

rate. 

Bank

Loans

 The

fund

invests

in

bank

loans,

which

represent

an

interest

in

amounts

owed

by

a

borrower

to

a

syndicate

of

lenders.

Bank

loans

are

generally

noninvestment

grade

and

often

involve

borrowers

whose

financial

condition

is

highly

leveraged.

The

fund

may

invest

in

fixed

and

floating

rate

loans,

which

may

include

senior

floating

rate

loans;

secured

and

unsecured

loans,

second

lien

or

more

junior

loans;

and

bridge

loans

or

bridge

facilities.

Certain

bank

loans

may

be

revolvers

which

are

a

form

of

senior

bank

debt,

where

the

borrower

can

draw

down

the

credit

of

the

revolver

when

it

needs

cash

and

repays

the

credit

when

the

borrower

has

excess

cash.

Certain

loans

may

be

“covenant-lite”

loans,

which

means

the

loans

contain

fewer

maintenance

covenants

than

other

loans

(in

some

cases,

none)

and

do

not

include

terms

which

allow

the

lender

to

monitor

the

performance

of

the

borrower

and

declare

a

default

if

certain

criteria

are

breached.

As

a

result

of

these

risks,

the

fund’s

exposure

to

losses

may

be

increased.

Bank

loans

may

be

in

the

form

of

either

assignments

or

participations.

A

loan

assignment

transfers

all

legal,

beneficial,

and

economic

rights

to

the

buyer,

and

transfer

typically

requires

consent

of

both

the

borrower

and

agent.

In

contrast,

a

loan

participation

generally

entitles

the

buyer

to

receive

the

cash

flows

from

principal,

interest,

and

any

fee

payments

on

a

portion

of

a

loan;

however,

the

seller

continues

to

hold

legal

title

to

that

portion

of

the

loan.

As

a

result,

the

buyer

of

a

loan

participation

generally

has

no

direct

recourse

against

the

borrower

and

is

exposed

to

credit

risk

of

both

the

borrower

and

seller

of

the

participation.

T.

ROWE

PRICE

New

Income

Fund

70

Bank

loans

often

have

extended

settlement

periods,

generally

may

be

repaid

at

any

time

at

the

option

of

the

borrower,

and

may

require

additional

principal

to

be

funded

at

the

borrowers’

discretion

at

a

later

date

(e.g.

unfunded

commitments

and

revolving

debt

instruments).

Until

settlement,

the

fund

maintains

liquid

assets

sufficient

to

settle

its

unfunded

loan

commitments.

The

fund

reflects

both

the

funded

portion

of

a

bank

loan

as

well

as

its

unfunded

commitment

in

the

Portfolio

of

Investments.

However,

if

a

credit

agreement

provides

no

initial

funding

of

a

tranche,

and

funding

of

the

full

commitment

at

a

future

date(s)

is

at

the

borrower’s

discretion

and

considered

uncertain,

a

loan

is

reflected

in

the

Portfolio

of

Investments

only

if,

and

only

to

the

extent

that,

the

fund

has

actually

settled

a

funding

commitment.

Securities

Lending

 The fund

may

lend

its

securities

to

approved

borrowers

to

earn

additional

income.

Its

securities

lending

activities

are

administered

by

a

lending

agent

in

accordance

with

a

securities

lending

agreement.

Security

loans

generally

do

not

have

stated

maturity

dates,

and

the

fund

may

recall

a

security

at

any

time.

The

fund

receives

collateral

in

the

form

of

cash

or

U.S.

government

securities.

Collateral

is

maintained

over

the

life

of

the

loan

in

an

amount

not

less

than

the

value

of

loaned

securities;

any

additional

collateral

required

due

to

changes

in

security

values

is

delivered

to

the

fund

the

next

business

day.

Cash

collateral

is

invested

in

accordance

with

investment

guidelines

approved

by

fund

management.

Additionally,

the

lending

agent

indemnifies

the

fund

against

losses

resulting

from

borrower

default.

Although

risk

is

mitigated

by

the

collateral

and

indemnification,

the

fund

could

experience

a

delay

in

recovering

its

securities

and

a

possible

loss

of

income

or

value

if

the

borrower

fails

to

return

the

securities,

collateral

investments

decline

in

value,

and

the

lending

agent

fails

to

perform.

Securities

lending

revenue

consists

of

earnings

on

invested

collateral

and

borrowing

fees,

net

of

any

rebates

to

the

borrower,

compensation

to

the

lending

agent,

and

other

administrative

costs.

In

accordance

with

GAAP,

investments

made

with

cash

collateral

are

reflected

in

the

accompanying

financial

statements,

but

collateral

received

in

the

form

of

securities

is

not.

At

November

30,

2023,

the

value

of

loaned

securities

was

$554,408,000,

including

securities

sold

but

not

yet

settled,

which

are

not

reflected

in

the

accompanying

Portfolio

of

Investments;

the

value

of

cash

collateral

and

related

investments

was

$573,091,000.

Other 

Purchases

and

sales

of

portfolio

securities

other

than

short-term and

U.S.

government

securities

aggregated $2,123,707,000 and

$1,539,632,000,

respectively,

for

the

six

months ended

November

30,

2023.

Purchases

and

sales

of

U.S.

government

securities

aggregated

$15,625,851,000 and

$15,482,541,000,

respectively,

for

the

six

months ended

November

30,

2023.

T.

ROWE

PRICE

New

Income

Fund

71

NOTE

5

-

FEDERAL

INCOME

TAXES

Generally,

no

provision

for

federal

income

taxes

is

required

since

the

fund

intends

to continue

to

qualify

as

a

regulated

investment

company

under

Subchapter

M

of

the

Internal

Revenue

Code

and

distribute

to

shareholders

all

of

its taxable

income

and

gains.

Distributions

determined

in

accordance

with

federal

income

tax

regulations

may

differ

in

amount

or

character

from

net

investment

income

and

realized

gains

for

financial

reporting

purposes.

Financial

reporting

records

are

adjusted

for

permanent

book/

tax

differences

to

reflect

tax

character

but

are

not

adjusted

for

temporary

differences.

The

amount

and

character

of

tax-basis

distributions

and

composition

of

net

assets

are

finalized

at

fiscal

year-end;

accordingly,

tax-basis

balances

have

not

been

determined

as

of

the

date

of

this

report. 

The

fund

intends

to

retain

realized

gains

to

the

extent

of

available

capital

loss

carryforwards.

Net

realized

capital

losses

may

be

carried

forward

indefinitely

to

offset

future

realized

capital

gains.

As

of

May

31,

2023,

the

fund

had

$2,085,920,000

of

available

capital

loss

carryforwards.

At

November

30,

2023,

the

cost

of

investments

(including

derivatives,

if

any)

for

federal

income

tax

purposes

was

$17,975,224,000.

Net

unrealized

loss

aggregated

$958,731,000

at

period-end,

of

which

$108,383,000

related

to

appreciated

investments

and

$1,067,114,000

related

to

depreciated

investments.

NOTE

6

-

RELATED

PARTY

TRANSACTIONS

The

fund

is

managed

by

T.

Rowe

Price

Associates,

Inc.

(Price

Associates),

a

wholly

owned

subsidiary

of

T.

Rowe

Price

Group,

Inc.

(Price

Group). Price

Associates

has

entered

into

a

sub-advisory

agreement(s)

with

one

or

more

of

its

wholly

owned

subsidiaries,

to

provide

investment

advisory

services

to

the

fund. The

investment

management

agreement

between

the

fund

and

Price

Associates

provides

for

an

annual

investment

management

fee,

which

is

computed

daily

and

paid

monthly.

The

fee

consists

of

an

individual

fund

fee

equal

to

0.03%

of

the fund’s

average

daily

net

assets,

and

a

group

fee.

The

group

fee

rate

is

calculated

based

on

the

combined

net

assets

of

certain

mutual

funds

sponsored

by

Price

Associates

(the

group)

applied

to

a

graduated

fee

schedule,

with

rates

ranging

from

0.48%

for

the

first

$1

billion

of

assets

to

0.260%

for

assets

in

excess

of

$845

billion.

The

fund’s

group

fee

is

determined

by

applying

the

group

fee

rate

to

the

fund’s

average

daily

net

assets.

At November

30,

2023,

the

effective

annual

group

fee

rate

was

0.29%. Effective

October

1,

2023,

Price

Associates

has

contractually

agreed,

at

least

through

September

30,

2024,

to

waive

a

portion

of

its

management

fee

so

that

an

individual

fund

fee

of 0.0255%

is

applied

to

the

fund’s

average

daily

net

assets

that

are

equal

to

or

greater

than $20 billion.

Thereafter,

this

T.

ROWE

PRICE

New

Income

Fund

72

agreement

will

automatically

renew

for

one-year

terms

unless

terminated

by

the

fund’s

Board.

Any

fees

waived

under

this

agreement

are

not

subject

to

reimbursement

to

Price

Associates

by

the

fund. No

management

fees

were

waived

under

this

arrangement

for

the

six

months ended

November

30,

2023. 

Effective

June

1,

2023,

the Advisor Class is subject

to

a

contractual

expense

limitation

through

the

expense

limitation

date

indicated

in

the

table

below.

Prior

to

June

1,

2023,

the

Investor Class

was

not

subject

to

a

contractual

expense

limitation.

During

the

limitation

period,

Price

Associates

is required

to

waive

its

management

fee

or

pay

any

expenses

(excluding

interest;

expenses

related

to

borrowings,

taxes,

and

brokerage;

non-

recurring,

extraordinary expenses;

and

acquired

fund

fees

and

expenses) that

would

otherwise

cause

the

class’s

ratio

of

annualized

total

expenses

to

average

net

assets

(net

expense

ratio)

to

exceed

its

expense

limitation.

The

class

is

required

to

repay

Price

Associates

for

expenses

previously

waived/paid

to

the

extent

the

class’s

net

assets

grow

or

expenses

decline

sufficiently

to

allow

repayment

without

causing

the

class’s

net

expense

ratio

(after

the

repayment

is

taken

into

account)

to

exceed

the

lesser

of:

(1)

the

expense

limitation

in

place

at

the

time

such

amounts

were

waived;

or

(2)

the

class’s

current

expense

limitation.

However,

no

repayment

will

be

made

more

than

three

years

after

the

date

of

a

payment

or

waiver.

The Investor Class

and R Class

are

each

subject

to

a

contractual

expense

limitation

through

the

expense

limitation

dates

indicated

in

the

table

below.

During

the

limitation

period,

Price

Associates

is required

to

waive

its

management

fee

or

pay

any

expenses

(excluding

interest;

expenses

related

to

borrowings,

taxes,

and

brokerage;

non-recurring,

extraordinary

expenses;

and

acquired

fund

fees

and

expenses)

that

would

otherwise

cause

the

class’s

ratio

of

annualized

total

expenses

to

average

net

assets

(net

expense

ratio)

to

exceed

its

expense

limitation.

Each

class

is

required

to

repay

Price

Associates

for

expenses

previously

waived/paid

to

the

extent

the

class’s

net

assets

grow

or

expenses

decline

sufficiently

to

allow

repayment

without

causing

the

class’s

net

expense

ratio

(after

the

repayment

is

taken

into

account)

to

exceed

the

lesser

of:

(1)

the

expense

limitation

in

place

at

the

time

such

amounts

were

waived;

or

(2)

the

class’s

current

expense

limitation.

However,

no

repayment

will

be

made

more

than

three

years

after

the

date

of

a

payment

or

waiver. 

The

I

Class

is

also

subject

to

an

operating

expense

limitation

(I

Class

Limit)

pursuant

to

which

Price

Associates

is

contractually

required

to

pay

all

operating

expenses

of

the

I

Class,

excluding

management

fees;

interest;

expenses

related

to

borrowings,

taxes,

and

brokerage; non-recurring,

extraordinary expenses; and

acquired

fund

fees

and

expenses, to

the

extent

such

operating

expenses,

on

an

annualized

basis,

exceed

the

I

Class

Limit. This

agreement

will

continue

through

the

expense

limitation

date

indicated

in

the

table

below,

and

may

be

renewed,

revised,

or

revoked

only

with

T.

ROWE

PRICE

New

Income

Fund

73

approval

of

the

fund’s

Board.

The

I

Class

is

required

to

repay

Price

Associates

for

expenses

previously

paid

to

the

extent

the

class’s

net

assets

grow

or

expenses

decline

sufficiently

to

allow

repayment

without

causing

the

class’s

operating

expenses

(after

the

repayment

is

taken

into

account)

to

exceed

the

lesser

of:

(1)

the

I

Class

Limit

in

place

at

the

time

such

amounts

were

paid;

or

(2)

the

current

I

Class

Limit.

However,

no

repayment

will

be

made

more

than

three

years

after

the

date

of

a

payment

or

waiver.

The

Z

Class

is

also

subject

to

a

contractual

expense

limitation

agreement

whereby

Price

Associates

has

agreed

to

waive

and/or

bear

all

of

the

Z

Class’

expenses

(excluding

interest;

expenses

related

to

borrowings,

taxes,

and

brokerage;

non-recurring,

extraordinary

expenses;

and

acquired

fund

fees

and

expenses)

in

their

entirety.

This

fee

waiver

and/or

expense

reimbursement

arrangement

is

expected

to

remain

in

place

indefinitely,

and

the

agreement

may

only

be

amended

or

terminated

with

approval

by

the

fund’s

Board.

Expenses

of

the

fund

waived/paid

by

the

manager

are

not

subject

to

later

repayment

by

the

fund.

Pursuant

to

these

agreements,

expenses

were

waived/paid

by

and/or

repaid

to

Price

Associates

during

the

six

months ended November

30,

2023

as

indicated

in

the

table

below.

Including these

amounts,

expenses

previously

waived/paid

by

Price

Associates

in

the

amount

of $1,384,000 remain

subject

to

repayment

by

the

fund

at

November

30,

2023.

Any

repayment

of

expenses

previously

waived/paid

by

Price

Associates

during

the

period

would

be

included

in

the

net

investment

income

and

expense

ratios

presented

on

the

accompanying

Financial

Highlights.

In

addition,

the

fund

has

entered

into

service

agreements

with

Price

Associates

and

two

wholly

owned

subsidiaries

of

Price

Associates,

each

an

affiliate

of

the

fund

(collectively,

Price).

Price

Associates

provides

certain

accounting

and

administrative

services

to

the

Investor

Class

Advisor

Class

R

Class

I

Class

Z

Class

Expense

limitation/I

Class

Limit

0.44%

0.92%

1.08%

0.05%

0.00%

Expense

limitation

date

09/30/25

09/30/25

09/30/25

09/30/25

N/A

(Waived)/

repaid

during

the

period

($000s)

$(385)

$(14)

$(1)

$—

$(20,093)

T.

ROWE

PRICE

New

Income

Fund

74

fund.

T.

Rowe

Price

Services,

Inc.

provides

shareholder

and

administrative

services

in

its

capacity

as

the

fund’s

transfer

and

dividend-disbursing

agent.

T.

Rowe

Price

Retirement

Plan

Services,

Inc.

provides

subaccounting

and

recordkeeping

services

for

certain

retirement

accounts

invested

in

the

Investor

Class,

R

Class

and

Advisor

Class.

For

the

six

months

ended

November

30,

2023,

expenses

incurred

pursuant

to

these

service

agreements

were

$56,000

for

Price

Associates;

$781,000

for

T.

Rowe

Price

Services,

Inc.;

and

$77,000

for

T.

Rowe

Price

Retirement

Plan

Services,

Inc.

All

amounts

due

to

and

due

from

Price,

exclusive

of

investment

management

fees

payable,

are

presented

net

on

the

accompanying

Statement

of

Assets

and

Liabilities.

T.

Rowe

Price

Investment

Services,

Inc.

(Investment

Services)

serves

as

distributor

to

the

fund.

Pursuant

to

an

underwriting

agreement,

no

compensation

for

any

distribution

services

provided

is

paid

to

Investment

Services

by

the

fund

(except

for

12b-1

fees

under

a

Board-approved

Rule

12b-1

plan).

Additionally,

the

fund

is

one

of

several

mutual

funds

in

which

certain

college

savings

plans

managed

by

Price

Associates invests.

As

approved

by

the

fund’s

Board

of

Directors,

shareholder

servicing

costs

associated

with

each

college

savings

plan

are

borne

by

the

fund

in

proportion

to

the

average

daily

value

of

its

shares

owned

by

the

college

savings

plan.

Price

has

agreed

to waive/reimburse

shareholder

servicing

costs in

excess

of

0.05%

of

the

fund’s

average

daily

value

of

its

shares

owned

by

the

college

savings

plan.

Any

amounts

waived/paid

by

Price

under

this

voluntary

agreement

are

not

subject

to

repayment

by

the

fund.

Price

may

amend

or

terminate

this

voluntary

arrangement

at

any

time

without

prior

notice.

For

the

six

months ended

November

30,

2023,

the

fund

was

charged $212,000 for

shareholder

servicing

costs

related

to

the

college

savings

plans, of

which

$203,000

was

for

services

provided

by

Price.

All

amounts

due

to

and

due

from

Price,

exclusive

of

investment

management

fees

payable,

are

presented

net

on

the

accompanying

Statement

of

Assets

and

Liabilities. At

November

30,

2023,

approximately

27%

of

the

outstanding

shares

of

the

I

Class

were

held

by

college

savings

plans.

Mutual

funds,

trusts,

and

other

accounts

managed

by

Price

Associates

or

its

affiliates

(collectively,

Price

Funds

and

accounts)

may

invest

in

the

fund.

No

Price

fund

or

account

may

invest

for

the

purpose

of

exercising

management

or

control

over

the

fund.

At

November

30,

2023, 100%

of

the

Z

Class's

outstanding

shares

were

held

by

Price

Funds

and

accounts.

The fund

may

invest

its

cash

reserves

in

certain

open-end

management

investment

companies

managed

by

Price

Associates

and

considered

affiliates

of

the

fund:

the

T.

Rowe

Price

Government

Reserve

Fund

or

the

T.

Rowe

Price

Treasury

Reserve

Fund,

organized

as

money

market

funds

(together,

the

Price

Reserve

Funds).

The

Price

Reserve

Funds

are

offered

as

short-term

investment

options

to

mutual

funds,

trusts,

and

other

accounts

managed

by

Price

Associates

or

its

affiliates

and

are

not

available

for

direct

T.

ROWE

PRICE

New

Income

Fund

75

purchase

by

members

of

the

public.

Cash

collateral

from

securities

lending,

if

any,

is

invested

in

the

T.

Rowe

Price

Government

Reserve Fund. The

Price

Reserve

Funds

pay

no

investment

management

fees.

The

fund

may

also

invest

in

certain

other

T.

Rowe

Price

funds

(Price

Funds)

as

a

means

of

gaining

efficient

and

cost-effective

exposure

to

certain

markets.

The

fund

does

not

invest

for

the

purpose

of

exercising

management

or

control;

however,

investments

by

the

fund

may

represent

a

significant

portion

of

an

underlying

Price

Fund’s

net

assets.

Each

underlying

Price

Fund

is

an

open-end

management

investment

company

managed

by

Price

Associates

and

is

considered

an

affiliate

of

the

fund.

To

ensure

that

the

fund

does

not

incur

duplicate

management

fees

(paid

by

the

underlying

Price

Fund(s)

and

the

fund),

the

fund

invests

in

the

Z

Class

of

each

underlying

Price

Fund,

for

which

Price

Associates

is

contractually

obligated

to

waive

and/or

bear

all

of

the

Z

Class’s

expenses,

other

than

interest;

expenses

related

to

borrowings,

taxes

and

brokerage;

nonrecurring,

extraordinary

expenses;

and

acquired

fund

fees

and

expenses.

The

fund may

participate

in

securities

purchase

and

sale

transactions

with

other

funds

or

accounts

advised

by

Price

Associates

(cross

trades),

in

accordance

with

procedures

adopted

by the

fund’s

Board

and

Securities

and

Exchange

Commission

rules,

which

require,

among

other

things,

that

such

purchase

and

sale

cross

trades

be

effected

at

the

independent

current

market

price

of

the

security.

During

the

six

months

ended

November

30,

2023,

the

fund

had

no

purchases

or

sales

cross

trades

with

other

funds

or

accounts

advised

by

Price

Associates.

NOTE

7

-

OTHER

MATTERS

Unpredictable

events

such

as

environmental

or

natural

disasters,

war

and

conflict,

terrorism,

geopolitical

events,

and

public

health

epidemics and

similar

public

health

threats

may

significantly

affect

the

economy

and

the

markets

and

issuers

in

which

the fund

invests.

Certain

events

may

cause

instability

across

global

markets,

including

reduced

liquidity

and

disruptions

in

trading

markets,

while

some

events

may

affect

certain

geographic

regions,

countries,

sectors,

and

industries

more

significantly

than

others,

and

exacerbate

other

pre-existing

political,

social,

and

economic

risks.

The

global

outbreak

of

COVID-19

and

the

related

governmental

and

public

responses

have

led

and

may

continue

to

lead

to

increased

market

volatility

and

the

potential

for

illiquidity

in

certain

classes

of

securities

and

sectors

of

the

market

either

in

specific

countries

or

worldwide.

T.

ROWE

PRICE

New

Income

Fund

76

In

February

2022,

Russian

forces

entered

Ukraine

and

commenced

an

armed

conflict,

leading

to

economic

sanctions imposed

on

Russia

that

target certain

of

its

citizens

and

issuers

and

sectors

of

the

Russian

economy,

creating

impacts

on

Russian-related

stocks

and

debt

and

greater

volatility

in

global

markets.

In

March

2023,

the

banking

industry

experienced

heightened

volatility,

which

sparked

concerns

of

potential

broader

adverse

market

conditions.

The

extent

of

impact

of

these

events

on

the

US

and

global

markets

is

highly

uncertain.

These

are

recent

examples

of

global

events

which

may

have

a

negative

impact

on

the

values

of

certain

portfolio

holdings

or

the

fund’s

overall

performance.

Management

is

actively

monitoring

the

risks

and

financial

impacts

arising

from

these

events.

T.

ROWE

PRICE

New

Income

Fund

77

INFORMATION

ON

PROXY

VOTING

POLICIES,

PROCEDURES,

AND

RECORDS

A

description

of

the

policies

and

procedures

used

by

T.

Rowe

Price

funds

to

determine

how

to

vote

proxies

relating

to

portfolio

securities

is

available

in

each

fund’s

Statement

of

Additional

Information.

You

may

request

this

document

by

calling

1-800-225-5132

or

by

accessing

the

SEC’s

website,

sec.gov.

The

description

of

our

proxy

voting

policies

and

procedures

is

also

available

on

our

corporate

website.

To

access

it,

please

visit

the

following

Web

page:

https://www.troweprice.com/corporate/us/en/utility/policies.html

Scroll

down

to

the

section

near

the

bottom

of

the

page

that

says,

“Proxy

Voting

Guidelines.”

Click

on

the

links

in

the

shaded

box.

Each

fund’s

most

recent

annual

proxy

voting

record

is

available

on

our

website

and

through

the

SEC’s

website.

To

access

it

through

T.

Rowe

Price,

visit

the

website

location

shown

above,

and

scroll

down

to

the

section

near

the

bottom

of

the

page

that

says,

“Proxy

Voting

Records.”

Click

on

the

Proxy

Voting

Records

link

in

the

shaded

box.

RESULTS

OF

PROXY

VOTING

A

Special

Meeting

of

Shareholders

was

held

on

July

24,

2023

for

shareholders

of

record

on

April

7,

2023,

to

elect

the

following

director-nominees

to

serve

on

the

Board

of

all

Price

Funds.

The

newly

elected

Directors

took

office

effective

July

24,

2023.

The

results

of

the

voting

were

as

follows:

Teresa

Bryce

Bazemore,

Bruce

W.

Duncan,

Robert

J.

Gerrard,

Jr.,

Paul

F.

McBride

and

David

Oestreicher

continue

to

serve

as

Directors

on

the

Board

of

all

Price

Funds.

HOW

TO

OBTAIN

QUARTERLY

PORTFOLIO

HOLDINGS

The

fund

files

a

complete

schedule

of

portfolio

holdings

with

the

Securities

and

Exchange

Commission

(SEC)

for

the

first

and

third

quarters

of

each

fiscal

year

as

an

exhibit

to

its

reports

on

Form

N-PORT.

The

fund’s

reports

on

Form

N-PORT

are

available

electronically

on

the

SEC’s

website

(sec.gov).

In

addition,

most

T.

Rowe

Price

funds

disclose

their

first

and

third

fiscal

quarter-end

holdings

on

troweprice.com

.

Votes

For

Votes

Withheld

Melody

Bianchetto

1,751,275,454

6,085,928

Mark

J.

Parrell

1,750,322,225

7,019,746

Kellye

L.

Walker

1,752,556,823

4,856,425

Eric

L.

Veiel

1,750,326,306

6,997,996

T.

ROWE

PRICE

New

Income

Fund

78

TAILORED

SHAREHOLDER

REPORTS

FOR

MUTUAL

FUNDS

AND

EXCHANGE

TRADED

FUNDS

In

October

2022,

the

Securities

and

Exchange

Commission

(SEC)

adopted

rule

and

form

amendments

requiring

Mutual

Funds

and

Exchange-Traded

Funds

to

transmit

concise

and

visually

engaging

streamlined

annual

and

semiannual

reports

that

highlight

key

information

to

shareholders.

Other

information,

including

financial

statements,

will

no

longer

appear

in

the

funds’

shareholder

reports

but

will

be

available

online,

delivered

free

of

charge

upon

request,

and

filed

on

a

semiannual

basis

on

Form

N-CSR.

The

rule

and

form

amendments

have

a

compliance

date

of

July

24,

2024.

T.

ROWE

PRICE

New

Income

Fund

79

LIQUIDITY

RISK

MANAGEMENT

PROGRAM

In

accordance

with

Rule

22e-4

(Liquidity

Rule)

under

the

Investment

Company

Act

of

1940,

as

amended,

the

fund

has

established

a

liquidity

risk

management

program

(Liquidity

Program)

reasonably

designed

to

assess

and

manage

the

fund’s

liquidity

risk,

which

generally

represents

the

risk

that

the

fund

would

not

be

able

to

meet

redemption

requests

without

significant

dilution

of

remaining

investors’

interests

in

the

fund.

The

fund’s

Board

of

Directors

(Board)

has

appointed

the

fund’s

investment

adviser,

T.

Rowe

Price

Associates,

Inc.

(Adviser),

as

the

administrator

of

the

Liquidity

Program.

As

administrator,

the

Adviser

is

responsible

for

overseeing

the

day-to-day

operations

of

the

Liquidity

Program

and,

among

other

things,

is

responsible

for

assessing,

managing,

and

reviewing

with

the

Board

at

least

annually

the

liquidity

risk

of

each

T.

Rowe

Price

fund.

The

Adviser

has

delegated

oversight

of

the

Liquidity

Program

to

a

Liquidity

Risk

Committee

(LRC),

which

is

a

cross-functional

committee

composed

of

personnel

from

multiple

departments

within

the

Adviser.

The

Liquidity

Program’s

principal

objectives

include

supporting

the

T.

Rowe

Price

funds’

compliance

with

limits

on

investments

in

illiquid

assets

and

mitigating

the

risk

that

the

fund

will

be

unable

to

timely

meet

its

redemption

obligations.

The

Liquidity

Program

also

includes

a

number

of

elements

that

support

the

management

and

assessment

of

liquidity

risk,

including

an

annual

assessment

of

factors

that

influence

the

fund’s

liquidity

and

the

periodic

classification

and

reclassification

of

a

fund’s

investments

into

categories

that

reflect

the

LRC’s

assessment

of

their

relative

liquidity

under

current

market

conditions.

Under

the

Liquidity

Program,

every

investment

held

by

the

fund

is

classified

at

least

monthly

into

one

of

four

liquidity

categories

based

on

estimations

of

the

investment’s

ability

to

be

sold

during

designated

time

frames

in

current

market

conditions

without

significantly

changing

the

investment’s

market

value.

As

required

by

the

Liquidity

Rule,

at

a

meeting

held

on

July

25,

2022,

the

Board

was

presented

with

an

annual

assessment

prepared

by

the

LRC,

on

behalf

of

the

Adviser,

that

addressed

the

operation

of

the

Liquidity

Program

and

assessed

its

adequacy

and

effectiveness

of

implementation,

including

any

material

changes

to

the

Liquidity

Program

and

the

determination

of

each

fund’s

Highly

Liquid

Investment

Minimum

(HLIM).

The

annual

assessment

included

consideration

of

the

following

factors,

as

applicable:

the

fund’s

investment

strategy

and

liquidity

of

portfolio

investments

during

normal

and

reasonably

foreseeable

stressed

conditions,

including

whether

the

investment

strategy

is

appropriate

for

an

open-end

fund,

the

extent

to

which

the

strategy

involves

a

relatively

concentrated

portfolio

or

large

positions

in

particular

issuers,

and

the

use

of

borrowings

for

investment

purposes

and

derivatives;

short-term

and

long-term

cash

flow

projections

covering

both

normal

and

reasonably

foreseeable

stressed

conditions;

and

holdings

of

cash

and

cash

equivalents,

as

well

as

available

borrowing

arrangements.

T.

ROWE

PRICE

New

Income

Fund

80

For

the

fund

and

other

T.

Rowe

Price

funds,

the

annual

assessment

incorporated

a

report

related

to

a

fund’s

holdings,

shareholder

and

portfolio

concentration,

any

borrowings

during

the

period,

cash

flow

projections,

and

other

relevant

data

for

the

period

of

April

1,

2021,

through

March

31,

2022.

The

report

described

the

methodology

for

classifying

a

fund’s

investments

(including

any

derivative

transactions)

into

one

of

four

liquidity

categories,

as

well

as

the

percentage

of

a

fund’s

investments

assigned

to

each

category.

It

also

explained

the

methodology

for

establishing

a

fund’s

HLIM

and

noted

that

the

LRC

reviews

the

HLIM

assigned

to

each

fund

no

less

frequently

than

annually.

During

the

period

covered

by

the

annual

assessment,

the

LRC

has

concluded,

and

reported

to

the

Board,

that

the

Liquidity

Program

continues

to

operate

adequately

and

effectively

and

is

reasonably

designed

to

assess

and

manage

the

fund’s

liquidity

risk.

LIQUIDITY

RISK

MANAGEMENT

PROGRAM

(continued)

100

East

Pratt

Street

Baltimore,

MD

21202

T.

Rowe

Price

Investment

Services,

Inc.

Call

1-800-225-5132

to

request

a

prospectus

or

summary

prospectus;

each

includes

investment

objectives,

risks,

fees,

expenses,

and

other

information

that

you

should

read

and

consider

carefully

before

investing.

F43-051

1/24

Item 1. (b) Notice pursuant to Rule 30e-3.

Not applicable.

Item 2. Code of Ethics.

A code of ethics, as defined in Item 2 of Form N-CSR, applicable to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions is filed as an exhibit to the registrant’s annual Form N-CSR. No substantive amendments were approved or waivers were granted to this code of ethics during the registrant’s most recent fiscal half-year.

Item 3. Audit Committee Financial Expert.

Disclosure required in registrant’s annual Form N-CSR.

Item 4. Principal Accountant Fees and Services.

Disclosure required in registrant’s annual Form N-CSR.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

(a) Not applicable. The complete schedule of investments is included in Item 1 of this Form N-CSR.

(b) Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

There has been no change to the procedures by which shareholders may recommend nominees to the registrant’s board of directors.

Item 11. Controls and Procedures.

(a)   The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported timely.

(b)   The registrant’s principal executive officer and principal financial officer are aware of no change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.

(a)(1)	The registrant’s code of ethics pursuant to Item 2 of Form N-CSR is filed with the registrant’s annual Form N-CSR.
(2)	Separate certifications by the registrant’s principal executive officer and principal financial officer, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(a) under the Investment Company Act of 1940, are attached.
(3)	Written solicitation to repurchase securities issued by closed-end companies: not applicable.
(b)	A certification by the registrant’s principal executive officer and principal financial officer, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(b) under the Investment Company Act of 1940, is attached.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

T. Rowe Price New Income Fund, Inc.
By	/s/ David Oestreicher
	David Oestreicher
	Principal Executive Officer
Date	January 19, 2024

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By	/s/ David Oestreicher
	David Oestreicher
	Principal Executive Officer
Date	January 19, 2024

By	/s/ Alan S. Dupski
	Alan S. Dupski
	Principal Financial Officer
Date	January 19, 2024