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, 2024
Item 1. Reports to Shareholders
(a) Report pursuant to Rule 30e-1
Semi-Annual Shareholder Report
November 30, 2024
This semi-annual shareholder report contains important information about New Income Fund (the "fund") for the period of June 1, 2024 to November 30, 2024. You can find the fund’s prospectus, financial information on Form N‑CSR (which includes required tax information for dividends), holdings, proxy voting information, and other information atwww.troweprice.com/prospectus. You can also request this information without charge by contacting T. Rowe Price at 1‑800‑638‑5660 or info@troweprice.com or contacting your intermediary.
What were the fund costs for the last six months? (based on a hypothetical $10,000 investment)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| New Income Fund - Investor Class | $23 | 0.44% |
|---|
What are some fund statistics?
| Total Net Assets (000s) | $17,446,762 |
|---|
| Number of Portfolio Holdings | 1,725 |
|---|
| |
|---|
| Portfolio Turnover Rate | 57.0% |
|---|
What did the fund invest in?
Credit Quality Allocation*(as a % of Net Assets)
| AAA Rated | 8.2% |
| AA Rated | 4.1 |
| A Rated | 8.7 |
| BBB Rated | 18.5 |
| BB Rated and Below | 2.9 |
| Not Rated | 0.7 |
| U.S. Government Agency Securities | 25.0 |
| U.S. Treasury Securities | 30.4 |
| Reserves | 1.5 |
*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 ratings agencies differ, the highest rating is applied to the security. If a rating is not available, the security is classified as Not Rated. The rating of the underlying investment vehicle is used to determine the creditworthiness of credit default swaps and sovereign securities. The Fund is not rated by any agency.
Top Ten Holdings (as a % of Net Assets)
| U.S. Treasury Notes | 20.8% |
| Federal National Mortgage Assn. | 13.2 |
| U.S. Treasury Bonds | 9.6 |
| Government National Mortgage Assn. | 6.0 |
| Federal Home Loan Mortgage | 5.1 |
| Santander Drive Auto Receivables Trust | 1.2 |
| Bank of America | 0.9 |
| JPMorgan Chase | 0.8 |
| UMBS | 0.6 |
| Goldman Sachs Group | 0.6 |
If you invest directly with T. Rowe Price, you can elect to receive future shareholder reports or other important documents through electronic delivery by enrolling at www.troweprice.com/paperless. If you invest through a financial intermediary such as an investment advisor, a bank, retirement plan sponsor or a brokerage firm, please contact that organization and ask if it can provide electronic delivery.
Visit www.troweprice.com/en/us/market-data-disclosures for additional legal notices & disclaimers.
New Income Fund
Investor Class (PRCIX)
T. Rowe Price Investment Services, Inc.
100 East Pratt Street
Baltimore, MD 21202
Semi-Annual Shareholder Report
November 30, 2024
This semi-annual shareholder report contains important information about New Income Fund (the "fund") for the period of June 1, 2024 to November 30, 2024. You can find the fund’s prospectus, financial information on Form N‑CSR (which includes required tax information for dividends), holdings, proxy voting information, and other information atwww.troweprice.com/prospectus. You can also request this information without charge by contacting T. Rowe Price at 1‑800‑638‑5660 or info@troweprice.com or contacting your intermediary.
What were the fund costs for the last six months? (based on a hypothetical $10,000 investment)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| New Income Fund - Advisor Class | $47 | 0.92% |
|---|
What are some fund statistics?
| Total Net Assets (000s) | $17,446,762 |
|---|
| Number of Portfolio Holdings | 1,725 |
|---|
| |
|---|
| Portfolio Turnover Rate | 57.0% |
|---|
What did the fund invest in?
Credit Quality Allocation*(as a % of Net Assets)
| AAA Rated | 8.2% |
| AA Rated | 4.1 |
| A Rated | 8.7 |
| BBB Rated | 18.5 |
| BB Rated and Below | 2.9 |
| Not Rated | 0.7 |
| U.S. Government Agency Securities | 25.0 |
| U.S. Treasury Securities | 30.4 |
| Reserves | 1.5 |
*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 ratings agencies differ, the highest rating is applied to the security. If a rating is not available, the security is classified as Not Rated. The rating of the underlying investment vehicle is used to determine the creditworthiness of credit default swaps and sovereign securities. The Fund is not rated by any agency.
Top Ten Holdings (as a % of Net Assets)
| U.S. Treasury Notes | 20.8% |
| Federal National Mortgage Assn. | 13.2 |
| U.S. Treasury Bonds | 9.6 |
| Government National Mortgage Assn. | 6.0 |
| Federal Home Loan Mortgage | 5.1 |
| Santander Drive Auto Receivables Trust | 1.2 |
| Bank of America | 0.9 |
| JPMorgan Chase | 0.8 |
| UMBS | 0.6 |
| Goldman Sachs Group | 0.6 |
If you invest directly with T. Rowe Price, you can elect to receive future shareholder reports or other important documents through electronic delivery by enrolling at www.troweprice.com/paperless. If you invest through a financial intermediary such as an investment advisor, a bank, retirement plan sponsor or a brokerage firm, please contact that organization and ask if it can provide electronic delivery.
Visit www.troweprice.com/en/us/market-data-disclosures for additional legal notices & disclaimers.
New Income Fund
Advisor Class (PANIX)
T. Rowe Price Investment Services, Inc.
100 East Pratt Street
Baltimore, MD 21202
Semi-Annual Shareholder Report
November 30, 2024
This semi-annual shareholder report contains important information about New Income Fund (the "fund") for the period of June 1, 2024 to November 30, 2024. You can find the fund’s prospectus, financial information on Form N‑CSR (which includes required tax information for dividends), holdings, proxy voting information, and other information atwww.troweprice.com/prospectus. You can also request this information without charge by contacting T. Rowe Price at 1‑800‑638‑5660 or info@troweprice.com or contacting your intermediary.
What were the fund costs for the last six months? (based on a hypothetical $10,000 investment)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| New Income Fund - R Class | $55 | 1.08% |
|---|
What are some fund statistics?
| Total Net Assets (000s) | $17,446,762 |
|---|
| Number of Portfolio Holdings | 1,725 |
|---|
| |
|---|
| Portfolio Turnover Rate | 57.0% |
|---|
What did the fund invest in?
Credit Quality Allocation*(as a % of Net Assets)
| AAA Rated | 8.2% |
| AA Rated | 4.1 |
| A Rated | 8.7 |
| BBB Rated | 18.5 |
| BB Rated and Below | 2.9 |
| Not Rated | 0.7 |
| U.S. Government Agency Securities | 25.0 |
| U.S. Treasury Securities | 30.4 |
| Reserves | 1.5 |
*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 ratings agencies differ, the highest rating is applied to the security. If a rating is not available, the security is classified as Not Rated. The rating of the underlying investment vehicle is used to determine the creditworthiness of credit default swaps and sovereign securities. The Fund is not rated by any agency.
Top Ten Holdings (as a % of Net Assets)
| U.S. Treasury Notes | 20.8% |
| Federal National Mortgage Assn. | 13.2 |
| U.S. Treasury Bonds | 9.6 |
| Government National Mortgage Assn. | 6.0 |
| Federal Home Loan Mortgage | 5.1 |
| Santander Drive Auto Receivables Trust | 1.2 |
| Bank of America | 0.9 |
| JPMorgan Chase | 0.8 |
| UMBS | 0.6 |
| Goldman Sachs Group | 0.6 |
If you invest directly with T. Rowe Price, you can elect to receive future shareholder reports or other important documents through electronic delivery by enrolling at www.troweprice.com/paperless. If you invest through a financial intermediary such as an investment advisor, a bank, retirement plan sponsor or a brokerage firm, please contact that organization and ask if it can provide electronic delivery.
Visit www.troweprice.com/en/us/market-data-disclosures for additional legal notices & disclaimers.
New Income Fund
R Class (RRNIX)
T. Rowe Price Investment Services, Inc.
100 East Pratt Street
Baltimore, MD 21202
Semi-Annual Shareholder Report
November 30, 2024
This semi-annual shareholder report contains important information about New Income Fund (the "fund") for the period of June 1, 2024 to November 30, 2024. You can find the fund’s prospectus, financial information on Form N‑CSR (which includes required tax information for dividends), holdings, proxy voting information, and other information atwww.troweprice.com/prospectus. You can also request this information without charge by contacting T. Rowe Price at 1‑800‑638‑5660 or info@troweprice.com or contacting your intermediary.
What were the fund costs for the last six months? (based on a hypothetical $10,000 investment)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| New Income Fund - I Class | $18 | 0.35% |
|---|
What are some fund statistics?
| Total Net Assets (000s) | $17,446,762 |
|---|
| Number of Portfolio Holdings | 1,725 |
|---|
| |
|---|
| Portfolio Turnover Rate | 57.0% |
|---|
What did the fund invest in?
Credit Quality Allocation*(as a % of Net Assets)
| AAA Rated | 8.2% |
| AA Rated | 4.1 |
| A Rated | 8.7 |
| BBB Rated | 18.5 |
| BB Rated and Below | 2.9 |
| Not Rated | 0.7 |
| U.S. Government Agency Securities | 25.0 |
| U.S. Treasury Securities | 30.4 |
| Reserves | 1.5 |
*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 ratings agencies differ, the highest rating is applied to the security. If a rating is not available, the security is classified as Not Rated. The rating of the underlying investment vehicle is used to determine the creditworthiness of credit default swaps and sovereign securities. The Fund is not rated by any agency.
Top Ten Holdings (as a % of Net Assets)
| U.S. Treasury Notes | 20.8% |
| Federal National Mortgage Assn. | 13.2 |
| U.S. Treasury Bonds | 9.6 |
| Government National Mortgage Assn. | 6.0 |
| Federal Home Loan Mortgage | 5.1 |
| Santander Drive Auto Receivables Trust | 1.2 |
| Bank of America | 0.9 |
| JPMorgan Chase | 0.8 |
| UMBS | 0.6 |
| Goldman Sachs Group | 0.6 |
If you invest directly with T. Rowe Price, you can elect to receive future shareholder reports or other important documents through electronic delivery by enrolling at www.troweprice.com/paperless. If you invest through a financial intermediary such as an investment advisor, a bank, retirement plan sponsor or a brokerage firm, please contact that organization and ask if it can provide electronic delivery.
Visit www.troweprice.com/en/us/market-data-disclosures for additional legal notices & disclaimers.
New Income Fund
I Class (PRXEX)
T. Rowe Price Investment Services, Inc.
100 East Pratt Street
Baltimore, MD 21202
Semi-Annual Shareholder Report
November 30, 2024
This semi-annual shareholder report contains important information about New Income Fund (the "fund") for the period of June 1, 2024 to November 30, 2024. You can find the fund’s prospectus, financial information on Form N‑CSR (which includes required tax information for dividends), holdings, proxy voting information, and other information atwww.troweprice.com/prospectus. You can also request this information without charge by contacting T. Rowe Price at 1‑800‑638‑5660 or info@troweprice.com or contacting your intermediary.
What were the fund costs for the last six months? (based on a hypothetical $10,000 investment)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| New Income Fund - Z Class | $0 | 0.00% |
|---|
What are some fund statistics?
| Total Net Assets (000s) | $17,446,762 |
|---|
| Number of Portfolio Holdings | 1,725 |
|---|
| |
|---|
| Portfolio Turnover Rate | 57.0% |
|---|
What did the fund invest in?
Credit Quality Allocation*(as a % of Net Assets)
| AAA Rated | 8.2% |
| AA Rated | 4.1 |
| A Rated | 8.7 |
| BBB Rated | 18.5 |
| BB Rated and Below | 2.9 |
| Not Rated | 0.7 |
| U.S. Government Agency Securities | 25.0 |
| U.S. Treasury Securities | 30.4 |
| Reserves | 1.5 |
*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 ratings agencies differ, the highest rating is applied to the security. If a rating is not available, the security is classified as Not Rated. The rating of the underlying investment vehicle is used to determine the creditworthiness of credit default swaps and sovereign securities. The Fund is not rated by any agency.
Top Ten Holdings (as a % of Net Assets)
| U.S. Treasury Notes | 20.8% |
| Federal National Mortgage Assn. | 13.2 |
| U.S. Treasury Bonds | 9.6 |
| Government National Mortgage Assn. | 6.0 |
| Federal Home Loan Mortgage | 5.1 |
| Santander Drive Auto Receivables Trust | 1.2 |
| Bank of America | 0.9 |
| JPMorgan Chase | 0.8 |
| UMBS | 0.6 |
| Goldman Sachs Group | 0.6 |
If you invest directly with T. Rowe Price, you can elect to receive future shareholder reports or other important documents through electronic delivery by enrolling at www.troweprice.com/paperless. If you invest through a financial intermediary such as an investment advisor, a bank, retirement plan sponsor or a brokerage firm, please contact that organization and ask if it can provide electronic delivery.
Visit www.troweprice.com/en/us/market-data-disclosures for additional legal notices & disclaimers.
New Income Fund
Z Class (TRVZX)
T. Rowe Price Investment Services, Inc.
100 East Pratt Street
Baltimore, MD 21202
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 7 of this Form N-CSR.
(b) Not applicable.
Item 7. Financial Statements and Financial Highlights for Open-End Management Investment Companies.
(a – b) Report pursuant to Regulation S-X.
Financial
Highlights
Portfolio
of
Investments
Financial
Statements
and
Notes
Financial
Statements
and
Other
Information
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
(Unaudited)
For
a
share
outstanding
throughout
each
period
Investor
Class
6
Months
.
Ended
11/30/24
..
Year
..
..
Ended
.
5/31/24
5/31/23
5/31/22
5/31/21
5/31/20
NET
ASSET
VALUE
Beginning
of
period
$
7.84
$
8.11
$
8.66
$
9.71
$
9.70
$
9.51
Investment
activities
Net
investment
income
(1)(2)
0.18
0.33
0.26
0.15
0.19
0.26
Net
realized
and
unrealized
gain/
loss
0.18
(0.27)
(0.55)
(0.96)
0.11
0.20
Total
from
investment
activities
0.36
0.06
(0.29)
(0.81)
0.30
0.46
Distributions
Net
investment
income
(0.18)
(0.33)
(0.26)
(0.14)
(0.20)
(0.27)
Net
realized
gain
—
—
—
(0.10)
(0.09)
—
Total
distributions
(0.18)
(0.33)
(0.26)
(0.24)
(0.29)
(0.27)
NET
ASSET
VALUE
End
of
period
$
8.02
$
7.84
$
8.11
$
8.66
$
9.71
$
9.70
T.
ROWE
PRICE
New
Income
Fund
(Unaudited)
For
a
share
outstanding
throughout
each
period
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Investor
Class
6
Months
.
Ended
11/30/24
..
Year
..
..
Ended
.
5/31/24
5/31/23
5/31/22
5/31/21
5/31/20
Ratios/Supplemental
Data
Total
return
(2)(3)
4.57%
0.86%
(3.35)%
(8.50)%
3.08%
4.85%
Ratios
to
average
net
assets:
(2)
Gross
expenses
before
waivers/
payments
by
Price
Associates
0.55%
(4)
0.54%
0.53%
0.45%
0.47%
0.51%
Net
expenses
after
waivers/
payments
by
Price
Associates
0.44%
(4)
0.44%
0.44%
0.45%
0.47%
0.49%
Net
investment
income
4.37%
(4)
4.17%
3.13%
1.51%
1.96%
2.68%
Portfolio
turnover
rate
(5)
57.0%
179.3%
171.6%
229.1%
126.4%
153.7%
Portfolio
turnover
rate,
excluding
mortgage
dollar
roll
transactions
38.5%
90.7%
111.9%
93.1%
74.6%
69.5%
Net
assets,
end
of
period
(in
millions)
$634
$715
$819
$1,000
$2,911
$4,430
0%
0%
0%
0%
0%
0%
(1)
Per
share
amounts
calculated
using
average
shares
outstanding
method.
(2)
Includes
the
impact
of
expense-related
arrangements
with
Price
Associates.
(3)
Total
return
reflects
the
rate
that
an
investor
would
have
earned
on
an
investment
in
the
fund
during
each
period,
assuming
reinvestment
of
all
distributions,
and
payment
of
no
redemption
or
account
fees,
if
applicable.
Total
return
is
not
annualized
for
periods
less
than
one
year.
(4)
Annualized
(5)
The
portfolio
turnover
rate
calculation
includes
purchases
and
sales
from
the
mortgage
dollar
roll
transactions.
T.
ROWE
PRICE
New
Income
Fund
(Unaudited)
For
a
share
outstanding
throughout
each
period
Advisor
Class
6
Months
.
Ended
11/30/24
..
Year
..
..
Ended
.
5/31/24
5/31/23
5/31/22
5/31/21
5/31/20
NET
ASSET
VALUE
Beginning
of
period
$
7.82
$
8.09
$
8.64
$
9.69
$
9.68
$
9.49
Investment
activities
Net
investment
income
(1)(2)
0.16
0.29
0.25
0.06
0.16
0.22
Net
realized
and
unrealized
gain/
loss
0.18
(0.26)
(0.55)
(0.95)
0.11
0.21
Total
from
investment
activities
0.34
0.03
(0.30)
(0.89)
0.27
0.43
Distributions
Net
investment
income
(0.16)
(0.30)
(0.25)
(0.06)
(0.17)
(0.24)
Net
realized
gain
—
—
—
(0.10)
(0.09)
—
Total
distributions
(0.16)
(0.30)
(0.25)
(0.16)
(0.26)
(0.24)
NET
ASSET
VALUE
End
of
period
$
8.00
$
7.82
$
8.09
$
8.64
$
9.69
$
9.68
T.
ROWE
PRICE
New
Income
Fund
(Unaudited)
For
a
share
outstanding
throughout
each
period
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Advisor
Class
6
Months
.
Ended
11/30/24
..
Year
..
..
Ended
.
5/31/24
5/31/23
5/31/22
5/31/21
5/31/20
Ratios/Supplemental
Data
Total
return
(2)(3)
4.33%
0.36%
(3.43)%
(9.31)%
2.75%
4.52%
Ratios
to
average
net
assets:
(2)
Gross
expenses
before
waivers/
payments
by
Price
Associates
1.36%
(4)
1.29%
0.52%
1.31%
0.80%
0.83%
Net
expenses
after
waivers/
payments
by
Price
Associates
0.92%
(4)
0.92%
0.52%
1.31%
0.80%
0.82%
Net
investment
income
3.89%
(4)
3.69%
2.99%
0.65%
1.62%
2.32%
Portfolio
turnover
rate
(5)
57.0%
179.3%
171.6%
229.1%
126.4%
153.7%
Portfolio
turnover
rate,
excluding
mortgage
dollar
roll
transactions
38.5%
90.7%
111.9%
93.1%
74.6%
69.5%
Net
assets,
end
of
period
(in
thousands)
$7,562
$7,769
$9,209
$14,228
$20,183
$45,409
0%
0%
0%
0%
0%
0%
(1)
Per
share
amounts
calculated
using
average
shares
outstanding
method.
(2)
Includes
the
impact
of
expense-related
arrangements
with
Price
Associates.
(3)
Total
return
reflects
the
rate
that
an
investor
would
have
earned
on
an
investment
in
the
fund
during
each
period,
assuming
reinvestment
of
all
distributions,
and
payment
of
no
redemption
or
account
fees,
if
applicable.
Total
return
is
not
annualized
for
periods
less
than
one
year.
(4)
Annualized
(5)
The
portfolio
turnover
rate
calculation
includes
purchases
and
sales
from
the
mortgage
dollar
roll
transactions.
T.
ROWE
PRICE
New
Income
Fund
(Unaudited)
For
a
share
outstanding
throughout
each
period
R
Class
6
Months
.
Ended
11/30/24
..
Year
..
..
Ended
.
5/31/24
5/31/23
5/31/22
5/31/21
5/31/20
NET
ASSET
VALUE
Beginning
of
period
$
7.84
$
8.11
$
8.65
$
9.70
$
9.69
$
9.50
Investment
activities
Net
investment
income
(1)(2)
0.15
0.28
0.20
0.08
0.12
0.20
Net
realized
and
unrealized
gain/
loss
0.18
(0.27)
(0.53)
(0.95)
0.11
0.20
Total
from
investment
activities
0.33
0.01
(0.33)
(0.87)
0.23
0.40
Distributions
Net
investment
income
(0.15)
(0.28)
(0.21)
(0.08)
(0.13)
(0.21)
Net
realized
gain
—
—
—
(0.10)
(0.09)
—
Total
distributions
(0.15)
(0.28)
(0.21)
(0.18)
(0.22)
(0.21)
NET
ASSET
VALUE
End
of
period
$
8.02
$
7.84
$
8.11
$
8.65
$
9.70
$
9.69
T.
ROWE
PRICE
New
Income
Fund
(Unaudited)
For
a
share
outstanding
throughout
each
period
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
R
Class
6
Months
.
Ended
11/30/24
..
Year
..
..
Ended
.
5/31/24
5/31/23
5/31/22
5/31/21
5/31/20
Ratios/Supplemental
Data
Total
return
(2)(3)
4.24%
0.21%
(3.86)%
(9.10)%
2.38%
4.19%
Ratios
to
average
net
assets:
(2)
Gross
expenses
before
waivers/
payments
by
Price
Associates
1.30%
(4)
1.25%
1.08%
1.16%
1.30%
1.31%
Net
expenses
after
waivers/
payments
by
Price
Associates
1.08%
(4)
1.08%
1.08%
1.11%
1.15%
1.14%
Net
investment
income
3.74%
(4)
3.54%
2.47%
0.84%
1.26%
2.03%
Portfolio
turnover
rate
(5)
57.0%
179.3%
171.6%
229.1%
126.4%
153.7%
Portfolio
turnover
rate,
excluding
mortgage
dollar
roll
transactions
38.5%
90.7%
111.9%
93.1%
74.6%
69.5%
Net
assets,
end
of
period
(in
thousands)
$916
$1,043
$1,012
$1,407
$2,024
$2,927
0%
0%
0%
0%
0%
0%
(1)
Per
share
amounts
calculated
using
average
shares
outstanding
method.
(2)
Includes
the
impact
of
expense-related
arrangements
with
Price
Associates.
(3)
Total
return
reflects
the
rate
that
an
investor
would
have
earned
on
an
investment
in
the
fund
during
each
period,
assuming
reinvestment
of
all
distributions,
and
payment
of
no
redemption
or
account
fees,
if
applicable.
Total
return
is
not
annualized
for
periods
less
than
one
year.
(4)
Annualized
(5)
The
portfolio
turnover
rate
calculation
includes
purchases
and
sales
from
the
mortgage
dollar
roll
transactions.
T.
ROWE
PRICE
New
Income
Fund
(Unaudited)
For
a
share
outstanding
throughout
each
period
I
Class
6
Months
.
Ended
11/30/24
..
Year
..
..
Ended
.
5/31/24
5/31/23
5/31/22
5/31/21
5/31/20
NET
ASSET
VALUE
Beginning
of
period
$
7.83
$
8.11
$
8.65
$
9.70
$
9.69
$
9.50
Investment
activities
Net
investment
income
(1)(2)
0.18
0.34
0.27
0.16
0.20
0.27
Net
realized
and
unrealized
gain/
loss
0.19
(0.28)
(0.54)
(0.96)
0.11
0.20
Total
from
investment
activities
0.37
0.06
(0.27)
(0.80)
0.31
0.47
Distributions
Net
investment
income
(0.18)
(0.34)
(0.27)
(0.15)
(0.21)
(0.28)
Net
realized
gain
—
—
—
(0.10)
(0.09)
—
Total
distributions
(0.18)
(0.34)
(0.27)
(0.25)
(0.30)
(0.28)
NET
ASSET
VALUE
End
of
period
$
8.02
$
7.83
$
8.11
$
8.65
$
9.70
$
9.69
T.
ROWE
PRICE
New
Income
Fund
(Unaudited)
For
a
share
outstanding
throughout
each
period
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
I
Class
6
Months
.
Ended
11/30/24
..
Year
..
..
Ended
.
5/31/24
5/31/23
5/31/22
5/31/21
5/31/20
Ratios/Supplemental
Data
Total
return
(2)(3)
4.75%
0.81%
(3.16)%
(8.42)%
3.16%
4.98%
Ratios
to
average
net
assets:
(2)
Gross
expenses
before
waivers/
payments
by
Price
Associates
0.35%
(4)
0.36%
0.36%
0.36%
0.39%
0.39%
Net
expenses
after
waivers/
payments
by
Price
Associates
0.35%
(4)
0.36%
0.36%
0.36%
0.39%
0.37%
Net
investment
income
4.46%
(4)
4.26%
3.22%
1.67%
2.04%
2.79%
Portfolio
turnover
rate
(5)
57.0%
179.3%
171.6%
229.1%
126.4%
153.7%
Portfolio
turnover
rate,
excluding
mortgage
dollar
roll
transactions
38.5%
90.7%
111.9%
93.1%
74.6%
69.5%
Net
assets,
end
of
period
(in
millions)
$2,597
$2,561
$2,663
$3,015
$2,543
$3,695
0%
0%
0%
0%
0%
0%
(1)
Per
share
amounts
calculated
using
average
shares
outstanding
method.
(2)
Includes
the
impact
of
expense-related
arrangements
with
Price
Associates.
(3)
Total
return
reflects
the
rate
that
an
investor
would
have
earned
on
an
investment
in
the
fund
during
each
period,
assuming
reinvestment
of
all
distributions,
and
payment
of
no
redemption
or
account
fees,
if
applicable.
Total
return
is
not
annualized
for
periods
less
than
one
year.
(4)
Annualized
(5)
The
portfolio
turnover
rate
calculation
includes
purchases
and
sales
from
the
mortgage
dollar
roll
transactions.
T.
ROWE
PRICE
New
Income
Fund
(Unaudited)
For
a
share
outstanding
throughout
each
period
Z
Class
(1)
6
Months
.
Ended
11/30/24
..
Year
..
..
Ended
.
3/16/20
(1)
Through
5/31/20
5/31/24
5/31/23
5/31/22
5/31/21
NET
ASSET
VALUE
Beginning
of
period
$
7.84
$
8.11
$
8.65
$
9.70
$
9.69
$
9.60
Investment
activities
Net
investment
income
(2)(3)
0.19
0.36
0.29
0.18
0.23
0.06
Net
realized
and
unrealized
gain/
loss
0.18
(0.26)
(0.54)
(0.94)
0.12
0.09
Total
from
investment
activities
0.37
0.10
(0.25)
(0.76)
0.35
0.15
Distributions
Net
investment
income
(0.19)
(0.37)
(0.29)
(0.19)
(0.25)
(0.06)
Net
realized
gain
—
—
—
(0.10)
(0.09)
—
Total
distributions
(0.19)
(0.37)
(0.29)
(0.29)
(0.34)
(0.06)
NET
ASSET
VALUE
End
of
period
$
8.02
$
7.84
$
8.11
$
8.65
$
9.70
$
9.69
T.
ROWE
PRICE
New
Income
Fund
(Unaudited)
For
a
share
outstanding
throughout
each
period
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Z
Class
(1)
6
Months
.
Ended
11/30/24
..
Year
..
..
Ended
.
3/16/20
(1)
Through
5/31/20
5/31/24
5/31/23
5/31/22
5/31/21
Ratios/Supplemental
Data
Total
return
(3)(4)
4.80%
1.30%
(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%
0.32%
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%
0.00%
(5)
Net
investment
income
4.81%
(5)
4.63%
3.58%
1.93%
2.37%
3.01%
(5)
Portfolio
turnover
rate
(6)
57.0%
179.3%
171.6%
229.1%
126.4%
153.7%
Portfolio
turnover
rate,
excluding
mortgage
dollar
roll
transactions
38.5%
90.7%
111.9%
93.1%
74.6%
69.5%
Net
assets,
end
of
period
(in
millions)
$14,207
$13,302
$12,355
$13,847
$15,804
$13,684
0%
0%
0%
0%
0%
0%
(1)
Inception
date
(2)
Per
share
amounts
calculated
using
average
shares
outstanding
method.
(3)
Includes
the
impact
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)
The
portfolio
turnover
rate
calculation
includes
purchases
and
sales
from
the
mortgage
dollar
roll
transactions.
T.
ROWE
PRICE
New
Income
Fund
November
30,
2024
(Unaudited)
Par/Shares
$
Value
(Amounts
in
000s)
‡
ASSET-BACKED
SECURITIES
9.2%
Car
Loan
3.6%
AmeriCredit
Automobile
Receivables
Trust
Series
2021-1,
Class
C
0.89%,
10/19/26
6,616
6,547
AmeriCredit
Automobile
Receivables
Trust
Series
2021-1,
Class
D
1.21%,
12/18/26
10,301
10,085
AmeriCredit
Automobile
Receivables
Trust
Series
2022-1,
Class
D
3.23%,
2/18/28
36,840
35,693
AmeriCredit
Automobile
Receivables
Trust
Series
2023-1,
Class
C
5.80%,
12/18/28
10,995
11,207
Bayview
Opportunity
Master
Fund
VII
Series
2024-CAR1,
Class
A,
FRN
SOFR30A
+
1.10%,
5.834%,
12/26/31 (1)
8,517
8,530
Bayview
Opportunity
Master
Fund
VII
Series
2024-CAR1,
Class
C,
FRN
SOFR30A
+
1.50%,
6.234%,
12/26/31 (1)
185
186
CarMax
Auto
Owner
Trust
Series
2022-1,
Class
C
2.20%,
11/15/27
11,975
11,571
CarMax
Auto
Owner
Trust
Series
2023-3,
Class
B
5.47%,
2/15/29
8,750
8,861
CarMax
Auto
Owner
Trust
Series
2024-1,
Class
B
5.17%,
8/15/29
2,585
2,607
CarMax
Auto
Owner
Trust
Series
2024-3,
Class
A3
4.89%,
7/16/29
10,260
10,343
CarMax
Auto
Owner
Trust
Series
2024-3,
Class
A4
4.85%,
1/15/30
4,305
4,335
CarMax
Select
Receivables
Trust
Series
2024-A,
Class
A3
5.40%,
11/15/28
5,115
5,178
CarMax
Select
Receivables
Trust
Series
2024-A,
Class
B
5.35%,
1/15/30
5,895
5,972
Carvana
Auto
Receivables
Trust
Series
2022-N1,
Class
C
3.32%,
12/11/28 (1)
931
910
Par/Shares
$
Value
(Amounts
in
000s)
Carvana
Auto
Receivables
Trust
Series
2022-P1,
Class
C
3.30%,
4/10/28
13,955
13,375
Carvana
Auto
Receivables
Trust
Series
2023-N3,
Class
A
6.41%,
9/10/27 (1)
1,188
1,195
Carvana
Auto
Receivables
Trust
Series
2024-N1,
Class
A3
5.60%,
3/10/28 (1)
6,580
6,626
Carvana
Auto
Receivables
Trust
Series
2024-N1,
Class
B
5.63%,
5/10/30 (1)
7,995
8,080
Carvana
Auto
Receivables
Trust
Series
2024-N2,
Class
A3
5.71%,
7/10/28 (1)
14,610
14,790
Carvana
Auto
Receivables
Trust
Series
2024-P2,
Class
A4
5.21%,
6/10/30
13,890
14,139
Enterprise
Fleet
Financing
Series
2024-1,
Class
A2
5.23%,
3/20/30 (1)
12,994
13,075
Enterprise
Fleet
Financing
Series
2024-1,
Class
A3
5.16%,
9/20/30 (1)
10,280
10,414
Enterprise
Fleet
Financing
Series
2024-3,
Class
A3
4.98%,
8/21/28 (1)
6,525
6,579
Enterprise
Fleet
Financing
Series
2024-3,
Class
A4
5.06%,
3/20/31 (1)
4,495
4,543
Exeter
Automobile
Receivables
Trust
Series
2022-1A,
Class
D
3.02%,
6/15/28
35,405
34,721
Exeter
Automobile
Receivables
Trust
Series
2022-3A,
Class
C
5.30%,
9/15/27
19,445
19,468
Exeter
Automobile
Receivables
Trust
Series
2023-1A,
Class
D
6.69%,
6/15/29
3,250
3,306
Ford
Credit
Auto
Lease
Trust
Series
2023-B,
Class
B
6.20%,
2/15/27
2,545
2,582
Ford
Credit
Auto
Lease
Trust
Series
2023-B,
Class
C
6.43%,
4/15/27
9,545
9,726
Par/Shares
$
Value
(Amounts
in
000s)
Ford
Credit
Auto
Lease
Trust
Series
2023-B,
Class
D
6.97%,
6/15/28
7,830
7,992
Ford
Credit
Auto
Lease
Trust
Series
2024-A,
Class
A4
5.05%,
6/15/27
4,465
4,493
Ford
Credit
Auto
Owner
Trust
Series
2023-1,
Class
A
4.85%,
8/15/35 (1)
33,720
34,033
Ford
Credit
Floorplan
Master
Owner
Trust
Series
2024-3,
Class
A1
4.30%,
9/15/29 (1)
5,160
5,125
Ford
Credit
Floorplan
Master
Owner
Trust
Series
2024-3,
Class
B
4.50%,
9/15/29 (1)
3,480
3,444
GM
Financial
Automobile
Leasing
Trust
Series
2023-1,
Class
C
5.76%,
1/20/27
6,550
6,580
Huntington
Bank
Auto
Credit-Linked
Notes
Series
2024-1,
Class
B1
6.153%,
5/20/32 (1)
11,581
11,703
Hyundai
Auto
Lease
Securitization
Trust
Series
2024-A,
Class
A4
5.07%,
2/15/28 (1)
5,515
5,549
Navistar
Financial
Dealer
Note
Master
Owner
Trust
Series
2024-1,
Class
A
5.59%,
4/25/29 (1)
10,780
10,898
Nissan
Auto
Lease
Trust
Series
2024-A,
Class
A4
4.97%,
9/15/28
5,945
5,965
Porsche
Innovative
Lease
Owner
Trust
Series
2024-2A,
Class
A4
4.26%,
9/20/30 (1)
3,720
3,699
Santander
Bank
Series
2021-1A,
Class
B
1.833%,
12/15/31 (1)
124
124
Santander
Bank
Auto
Credit-Linked
Notes
Series
2023-B,
Class
B
5.64%,
12/15/33 (1)
512
515
Santander
Drive
Auto
Receivables
Trust
Series
2020-4,
Class
E
2.85%,
4/17/28 (1)
41,920
41,347
Santander
Drive
Auto
Receivables
Trust
Series
2021-1,
Class
E
2.51%,
12/15/28
55,325
53,922
Par/Shares
$
Value
(Amounts
in
000s)
Santander
Drive
Auto
Receivables
Trust
Series
2021-3,
Class
E
2.70%,
10/16/28 (1)
55,750
53,433
Santander
Drive
Auto
Receivables
Trust
Series
2021-4,
Class
E
4.03%,
3/15/29 (1)
34,950
34,470
Santander
Drive
Auto
Receivables
Trust
Series
2022-2,
Class
C
3.76%,
7/16/29
17,240
17,020
SBNA
Auto
Lease
Trust
Series
2024-A,
Class
A3
5.39%,
11/20/26 (1)
6,285
6,318
SBNA
Auto
Lease
Trust
Series
2024-A,
Class
A4
5.24%,
1/22/29 (1)
6,020
6,053
SFS
Auto
Receivables
Securitization
Trust
Series
2024-1A,
Class
A4
4.94%,
1/21/31 (1)
4,615
4,650
SFS
Auto
Receivables
Securitization
Trust
Series
2024-1A,
Class
C
5.51%,
1/20/32 (1)
2,340
2,366
SFS
Auto
Receivables
Securitization
Trust
Series
2024-2A,
Class
A3
5.33%,
11/20/29 (1)
13,590
13,765
SFS
Auto
Receivables
Securitization
Trust
Series
2024-2A,
Class
B
5.41%,
8/20/30 (1)
2,920
2,963
U.S.
Bank
Series
2023-1,
Class
B
6.789%,
8/25/32 (1)
4,339
4,399
625,470
Other
Asset-Backed
Securities
5.4%
522
Funding
Series
2019-5A,
Class
BR,
CLO,
FRN
3M
TSFR
+
1.85%,
6.506%,
4/15/35 (1)
16,085
16,103
Amur
Equipment
Finance
Receivables
XIII
Series
2024-1A,
Class
A2
5.38%,
1/21/31 (1)
12,922
13,025
Amur
Equipment
Finance
Receivables
XIV
Series
2024-2A,
Class
A2
5.19%,
7/21/31 (1)
16,550
16,691
Applebee's
Funding
Series
2023-1A,
Class
A2
7.824%,
3/5/53 (1)
7,880
8,129
Auxilior
Term
Funding
Series
2024-1A,
Class
A2
5.84%,
3/15/27 (1)
6,905
6,953
Par/Shares
$
Value
(Amounts
in
000s)
Auxilior
Term
Funding
Series
2024-1A,
Class
A3
5.49%,
7/15/31 (1)
5,580
5,656
BRE
Grand
Islander
Timeshare
Issuer
Series
2019-A,
Class
A
3.28%,
9/26/33 (1)
3,835
3,751
CCG
Receivables
Trust
Series
2024-1,
Class
A2
4.99%,
3/15/32 (1)
16,200
16,280
CIFC
Funding
Series
2018-1A,
Class
A1R,
CLO,
FRN
3M
TSFR
+
1.32%,
1/18/38 (1)(2)
18,615
18,615
Clarus
Capital
Funding
Series
2024-1A,
Class
A2
4.71%,
8/20/32 (1)
8,400
8,360
Crossroads
Asset
Trust
Series
2024-A,
Class
A2
5.90%,
8/20/30 (1)
9,050
9,157
Crown
Point
Series
2018-7A,
Class
AR,
CLO,
FRN
3M
TSFR
+
1.23%,
5.847%,
10/20/31 (1)
16,805
16,821
CyrusOne
Data
Centers
Issuer
I
Series
2024-2A,
Class
A2
4.50%,
5/20/49 (1)
32,015
30,781
CyrusOne
Data
Centers
Issuer
I
Series
2024-3A,
Class
A2
4.65%,
5/20/49 (1)
15,975
15,078
Dell
Equipment
Finance
Trust
Series
2023-3,
Class
C
6.17%,
4/23/29 (1)
4,328
4,400
Dell
Equipment
Finance
Trust
Series
2024-1,
Class
C
5.73%,
3/22/30 (1)
100
101
Dell
Equipment
Finance
Trust
Series
2024-2,
Class
A3
4.59%,
8/22/30 (1)
11,640
11,644
Dell
Equipment
Finance
Trust
Series
2024-2,
Class
B
4.82%,
8/22/30 (1)
1,465
1,463
DLLST
Series
2024-1A,
Class
A3
5.05%,
8/20/27 (1)
6,895
6,919
DLLST
Series
2024-1A,
Class
A4
4.93%,
4/22/30 (1)
1,630
1,633
Par/Shares
$
Value
(Amounts
in
000s)
Driven
Brands
Funding
Series
2019-1A,
Class
A2
4.641%,
4/20/49 (1)
5,377
5,304
Driven
Brands
Funding
Series
2021-1A,
Class
A2
2.791%,
10/20/51 (1)
13,612
12,258
Dryden
Series
2016-45A,
Class
A1RR,
CLO,
FRN
3M
TSFR
+
1.08%,
5.736%,
10/15/30 (1)
5,410
5,418
Elara
HGV
Timeshare
Issuer
Series
2023-A,
Class
A
6.16%,
2/25/38 (1)
5,487
5,593
Elara
HGV
Timeshare
Issuer
Series
2023-A,
Class
B
6.53%,
2/25/38 (1)
4,405
4,486
Elmwood
Series
2022-7A,
Class
AR,
CLO,
FRN
3M
TSFR
+
1.50%,
6.147%,
1/17/37 (1)
10,910
10,984
Elmwood
VIII
Series
2021-1A,
Class
AR,
CLO,
FRN
3M
TSFR
+
1.55%,
6.167%,
4/20/37 (1)
7,690
7,754
Fortress
Credit
BSL
XXVI
Series
2024-4A,
Class
B,
CLO,
FRN
3M
TSFR
+
1.90%,
1/15/38 (1)(2)
2,445
2,445
Golub
Capital
Partners
Series
2019-43A,
Class
A1R,
CLO,
FRN
3M
TSFR
+
1.34%,
5.889%,
10/20/37 (1)
10,875
10,875
Hardee's
Funding
Series
2021-1A,
Class
A2
2.865%,
6/20/51 (1)
4,073
3,638
Hardee's
Funding
Series
2024-1A,
Class
A2
7.253%,
3/20/54 (1)
22,203
22,706
Highbridge
Loan
Management
Series
5A-2015,
Class
A1R3,
CLO,
FRN
3M
TSFR
+
1.06%,
6.068%,
10/15/30 (1)
10,515
10,508
HPEFS
Equipment
Trust
Series
2022-1A,
Class
C
1.96%,
5/21/29 (1)
2,229
2,220
HPEFS
Equipment
Trust
Series
2022-1A,
Class
D
2.40%,
11/20/29 (1)
12,510
12,359
HPEFS
Equipment
Trust
Series
2022-2A,
Class
C
4.43%,
9/20/29 (1)
4,445
4,432
Par/Shares
$
Value
(Amounts
in
000s)
HPEFS
Equipment
Trust
Series
2023-2A,
Class
B
6.25%,
1/21/31 (1)
1,285
1,301
HPEFS
Equipment
Trust
Series
2023-2A,
Class
C
6.48%,
1/21/31 (1)
5,005
5,077
HPEFS
Equipment
Trust
Series
2023-2A,
Class
D
6.97%,
7/21/31 (1)
3,320
3,397
HPEFS
Equipment
Trust
Series
2024-2A,
Class
A3
5.36%,
10/20/31 (1)
6,085
6,147
HPEFS
Equipment
Trust
Series
2024-2A,
Class
B
5.35%,
10/20/31 (1)
2,730
2,761
Invesco
U.S.
Series
2023-1A,
Class
AR,
CLO,
FRN
3M
TSFR
+
1.57%,
6.202%,
4/22/37 (1)
7,800
7,847
Jersey
Mike's
Funding
Series
2019-1A,
Class
A2
4.433%,
2/15/50 (1)
3,572
3,532
Jersey
Mike's
Funding
Series
2021-1A,
Class
A2I
2.891%,
2/15/52 (1)
457
437
KKR
Series
2022-43A,
Class
A1R,
CLO,
FRN
3M
TSFR
+
1.75%,
6.406%,
1/15/36 (1)
11,620
11,686
KKR
Series
40A,
Class
AR,
CLO,
FRN
3M
TSFR
+
1.30%,
5.917%,
10/20/34 (1)
7,130
7,167
Kubota
Credit
Owner
Trust
Series
2023-1A,
Class
A4
5.07%,
2/15/29 (1)
5,255
5,292
Kubota
Credit
Owner
Trust
Series
2024-2A,
Class
A3
5.26%,
11/15/28 (1)
11,160
11,338
Kubota
Credit
Owner
Trust
Series
2024-2A,
Class
A4
5.19%,
5/15/30 (1)
5,895
5,984
Madison
Park
Funding
LX
Series
2022-60A,
Class
BR,
CLO,
FRN
3M
TSFR
+
1.75%,
6.376%,
10/25/37 (1)
6,270
6,254
Madison
Park
Funding
LXI
Series
2023-61A,
Class
A,
CLO,
FRN
3M
TSFR
+
1.73%,
6.347%,
1/20/37 (1)
11,305
11,388
Par/Shares
$
Value
(Amounts
in
000s)
Madison
Park
Funding
XLVII
Series
2020-47A,
Class
A1R,
CLO,
FRN
3M
TSFR
+
1.54%,
6.157%,
4/19/37 (1)
5,495
5,513
Madison
Park
Funding
XLVII
Series
2020-47A,
Class
BR,
CLO,
FRN
3M
TSFR
+
1.95%,
6.567%,
4/19/37 (1)
4,000
4,036
MidOcean
Credit
VI
Series
2016-6A,
Class
ARRR,
CLO,
FRN
3M
TSFR
+
1.23%,
5.847%,
4/20/33 (1)
6,860
6,873
MidOcean
Credit
XI
Series
2022-11A,
Class
A1R,
CLO,
FRN
3M
TSFR
+
1.73%,
6.362%,
10/18/33 (1)
16,090
16,130
MMAF
Equipment
Finance
Series
2021-A,
Class
A5
1.19%,
11/13/43 (1)
5,020
4,798
MMAF
Equipment
Finance
Series
2024-A,
Class
A3
4.95%,
7/14/31 (1)
23,220
23,454
MVW
Series
2023-1A,
Class
A
4.93%,
10/20/40 (1)
17,127
17,071
MVW
Series
2023-2A,
Class
A
6.18%,
11/20/40 (1)
5,145
5,252
MVW
Series
2023-2A,
Class
B
6.33%,
11/20/40 (1)
3,447
3,511
Neuberger
Berman
XXI
Series
2016-21A,
Class
A1R3,
CLO,
FRN
3M
TSFR
+
1.32%,
1/20/39 (1)(2)
17,895
17,895
Northwoods
Capital
XII-B
Series
2018-12BA,
Class
BR,
CLO,
FRN
3M
TSFR
+
1.70%,
6.647%,
6/15/31 (1)
10,175
10,183
Northwoods
Capital
XIV-B
Series
2018-14BA,
Class
AR,
CLO,
FRN
3M
TSFR
+
1.25%,
5.766%,
11/13/31 (1)
20,463
20,493
OCP
Series
2017-13A,
Class
AR2,
CLO,
FRN
3M
TSFR
+
1.34%,
5.887%,
11/26/37 (1)
10,370
10,370
OCP
Series
2017-13A,
Class
B1R2,
CLO,
FRN
3M
TSFR
+
1.70%,
6.247%,
11/26/37 (1)
7,015
7,015
Octagon
Investment
Partners
49
Series
2020-5A,
Class
AR,
CLO,
FRN
3M
TSFR
+
1.52%,
6.176%,
4/15/37 (1)
13,935
13,980
Par/Shares
$
Value
(Amounts
in
000s)
Octane
Receivables
Trust
Series
2023-1A,
Class
A
5.87%,
5/21/29 (1)
1,942
1,950
Octane
Receivables
Trust
Series
2023-3A,
Class
B
6.48%,
7/20/29 (1)
3,023
3,087
Octane
Receivables
Trust
Series
2023-3A,
Class
C
6.74%,
8/20/29 (1)
1,160
1,193
Octane
Receivables
Trust
Series
2024-1A,
Class
A2
5.68%,
5/20/30 (1)
8,091
8,160
OZLM
Funding
II
Series
2012-2A,
Class
A1A2,
CLO,
FRN
3M
TSFR
+
1.20%,
5.789%,
7/30/31 (1)
5,472
5,476
Palmer
Square
Series
2020-3A,
Class
A1R2,
CLO,
FRN
3M
TSFR
+
1.65%,
6.173%,
11/15/36 (1)
17,485
17,570
Post
Road
Equipment
Finance
Series
2024-1A,
Class
A2
5.59%,
11/15/29 (1)
4,381
4,409
Progress
Residential
Trust
Series
2021-SFR8,
Class
B
1.681%,
10/17/38 (1)
4,920
4,646
Progress
Residential
Trust
Series
2024-SFR5,
Class
A
3.00%,
8/9/29 (1)
22,025
20,192
Rockford
Tower
Series
2019-2A,
Class
AR2,
CLO,
FRN
3M
TSFR
+
1.13%,
5.651%,
8/20/32 (1)
12,168
12,134
RR
28
Series
2024-28RA,
Class
A1R,
CLO,
FRN
3M
TSFR
+
1.55%,
6.206%,
4/15/37 (1)
21,300
21,389
RR
34
Series
2024-34RA,
Class
A2AR,
CLO,
FRN
3M
TSFR
+
1.70%,
6.262%,
10/15/39 (1)
8,260
8,260
SCF
Equipment
Leasing
Series
2024-1A,
Class
A3
5.52%,
1/20/32 (1)
13,355
13,628
SEB
Funding
Series
2024-1A,
Class
A2
7.386%,
4/30/54 (1)
26,380
27,067
Sierra
Timeshare
Receivables
Funding
Series
2022-3A,
Class
B
6.32%,
7/20/39 (1)
1,209
1,227
Par/Shares
$
Value
(Amounts
in
000s)
Signal
Peak
Series
2018-5A,
Class
A1R,
CLO,
FRN
3M
TSFR
+
1.55%,
6.176%,
4/25/37 (1)
29,505
29,663
Sound
Point
XXII
Series
2019-1A,
Class
BRR,
CLO,
FRN
3M
TSFR
+
1.65%,
1/20/32 (1)(2)
5,045
5,045
Symphony
XVI
Series
2015-16A,
Class
ARR,
CLO,
FRN
3M
TSFR
+
1.20%,
5.856%,
10/15/31 (1)
34,291
34,362
Symphony
XXXI
Series
2022-31A,
Class
B,
CLO,
FRN
3M
TSFR
+
1.85%,
6.482%,
4/22/35 (1)
14,150
14,166
THL
Credit
Wind
River
Series
2018-2A,
Class
A1R,
CLO,
FRN
3M
TSFR
+
1.20%,
5.856%,
7/15/30 (1)
15,348
15,372
TIAA
Series
2016-1A,
Class
ARR,
CLO,
FRN
3M
TSFR
+
1.25%,
5.867%,
7/20/31 (1)
18,155
18,171
Tricon
Residential
Trust
Series
2024-SFR2,
Class
A
4.75%,
6/17/40 (1)
24,020
23,797
Tricon
Residential
Trust
Series
2024-SFR3,
Class
A
4.50%,
8/17/41 (1)
20,642
20,194
Tricon
Residential
Trust
Series
2024-SFR4,
Class
A
4.30%,
11/17/29 (1)
8,845
8,529
Trinitas
IX
Series
2018-9A,
Class
ARRR,
CLO,
FRN
3M
TSFR
+
1.20%,
5.817%,
1/20/32 (1)
4,173
4,179
Verdant
Receivables
Series
2024-1A,
Class
A2
5.68%,
12/12/31 (1)
5,520
5,594
Verizon
Master
Trust
Series
2023-1,
Class
C
4.98%,
1/22/29
9,270
9,263
Wellfleet
Series
2018-2A,
Class
A1R,
CLO,
FRN
3M
TSFR
+
0.818%,
5.436%,
10/20/31 (1)
14,155
14,154
941,599
Student
Loan
0.2%
Navient
Private
Education
Loan
Trust
Series
2017-A,
Class
B
3.91%,
12/16/58 (1)
5,919
5,832
Navient
Private
Education
Refi
Loan
Trust
Series
2020-CA,
Class
B
2.83%,
11/15/68 (1)
20,755
17,843
Par/Shares
$
Value
(Amounts
in
000s)
SMB
Private
Education
Loan
Trust
Series
2018-C,
Class
A2A
3.63%,
11/15/35 (1)
3,572
3,506
SMB
Private
Education
Loan
Trust
Series
2021-A,
Class
APT1
1.07%,
1/15/53 (1)
11,961
10,646
37,827
Total
Asset-Backed
Securities
(Cost
$1,601,705)
1,604,896
BANK
LOANS
2.4%
(3)
FINANCIAL
INSTITUTIONS
0.6%
Brokerage
Asset
Managers
Exchanges
0.3%
Citadel
Securities,
FRN
1M
TSFR
+
2.00%,
6.573%,
10/31/31
54,078
54,284
54,284
Insurance
0.3%
Alliant
Holdings
Intermediate,
FRN
1M
TSFR
+
2.75%,
7.349%,
9/19/31
8,585
8,633
AssuredPartners,
FRN
1M
TSFR
+
3.50%,
8.073%,
2/14/31
10,317
10,382
Asurion,
FRN
1M
TSFR
+
4.25%,
8.923%,
8/19/28
4,982
4,999
Asurion,
FRN
1M
TSFR
+
5.25%,
9.937%,
1/31/28
5,993
5,876
Asurion,
FRN
1M
TSFR
+
5.25%,
9.937%,
1/20/29
7,210
7,013
HUB
International,
FRN
3M
TSFR
+
2.75%,
7.367%,
6/20/30
14,973
15,078
TIH
Insurance
Holdings,
FRN
3M
TSFR
+
3.25%,
7.854%,
5/6/31
6,281
6,296
58,277
Total
Financial
Institutions
112,561
INDUSTRIAL
1.4%
Capital
Goods
0.2%
Charter
Next
Generation,
FRN
1M
TSFR
+
3.00%,
7.685%,
12/2/30
8,455
8,518
Summit
Materials,
FRN
3M
TSFR
+
1.75%,
6.359%,
1/12/29
16,058
16,089
TransDigm,
FRN
3M
TSFR
+
2.75%,
7.354%,
3/22/30
89
89
24,696
Par/Shares
$
Value
(Amounts
in
000s)
Communications
0.1%
Lamar
Media,
FRN
1M
TSFR
+
1.50%,
6.173%,
2/5/27
14,435
14,381
14,381
Consumer
Cyclical
0.4%
Belron
Finance,
FRN
1M
TSFR
+
2.75%,
7.273%,
10/16/31
2,220
2,243
Caesars
Entertainment,
FRN
1M
TSFR
+
2.25%,
6.823%,
2/6/31
2,363
2,372
Delta
2,
FRN
3M
TSFR
+
2.00%,
6.604%,
9/10/31 (2)
6,600
6,625
Hilton
Domestic
Operating,
FRN
1M
TSFR
+
1.75%,
6.338%,
11/8/30
53,680
53,995
UFC
Holdings,
FRN
1M
TSFR
+
2.25%,
6.77%,
11/14/31
2,423
2,440
67,675
Consumer
Non-Cyclical
0.3%
ICON
Luxembourg,
FRN
3M
TSFR
+
2.00%,
6.604%,
7/3/28
1,410
1,418
IQVIA,
FRN
3M
TSFR
+
2.00%,
6.604%,
1/2/31
40,816
41,035
Medline
Borrower,
FRN
1M
TSFR
+
2.25%,
6.823%,
10/23/28
7,104
7,145
49,598
Energy
0.0%
EPIC
Crude
Services,
FRN
3M
TSFR
+
3.00%,
7.656%,
10/15/31
5,180
5,214
5,214
Technology
0.4%
Applied
Systems,
FRN
3M
TSFR
+
3.00%,
7.604%,
2/24/31
22,849
23,032
Applied
Systems,
FRN
3M
TSFR
+
5.25%,
9.854%,
2/23/32
323
332
Ascend
Learning,
FRN
1M
TSFR
+
3.50%,
8.173%,
12/11/28
5,993
6,017
AthenaHealth
Group,
FRN
1M
TSFR
+
3.25%,
7.823%,
2/15/29
4,966
4,978
Boost
Newco
Borrower,
FRN
3M
TSFR
+
2.50%,
7.104%,
1/31/31
7,935
8,000
Ellucian
Holdings,
FRN
1M
TSFR
+
3.00%,
10/29/29 (2)
2,505
2,531
Epicor
Software,
FRN
1M
TSFR
+
3.25%,
7.823%,
5/30/31 (2)
11,022
11,101
Gen
Digital,
FRN
1M
TSFR
+
1.50%,
6.173%,
9/10/27
4,362
4,360
Par/Shares
$
Value
(Amounts
in
000s)
UKG,
FRN
3M
TSFR
+
3.25%,
7.926%,
2/10/31
16,050
16,153
76,504
Transportation
0.0%
AAdvantage
Loyalty
IP,
FRN
3M
TSFR
+
4.75%,
9.629%,
4/20/28 (2)
4,699
4,848
4,848
Total
Industrial
242,916
UTILITY
0.4%
Electric
0.4%
NRG
Energy,
FRN
3M
TSFR
+
1.75%,
6.339%,
4/16/31
66,524
66,673
Vistra
Zero
Operating,
FRN
1M
TSFR
+
2.75%,
7.323%,
4/30/31
1,527
1,539
Total
Utility
68,212
Total
Bank
Loans
(Cost
$420,617)
423,689
BOND
MUTUAL
FUNDS
0.0%
Trusts
&
Mutual
Funds
0.0%
T.
Rowe
Price
Institutional
Floating
Rate
Fund
-
Z
Class,
7.97% (4)
(5)
36
338
Total
Bond
Mutual
Funds
(Cost
$314)
338
CORPORATE
BONDS
27.2%
FINANCIAL
INSTITUTIONS
9.6%
Banking
6.2%
AIB
Group,
VR,
5.75%,
2/16/29
(EUR) (6)
1,500
1,719
Arion
Banki,
4.625%,
11/21/28
(EUR)
1,500
1,660
Banco
Bilbao
Vizcaya
Argentaria,
VR,
5.75%,
9/15/33
(EUR) (6)
1,500
1,698
Banco
Bilbao
Vizcaya
Argentaria,
VR,
6.033%,
3/13/35 (6)
24,400
24,819
Banco
de
Sabadell,
VR,
4.25%,
9/13/30
(EUR) (6)(7)
3,000
3,309
Banco
de
Sabadell,
VR,
5.00%,
6/7/29
(EUR) (6)
2,900
3,268
Banco
de
Sabadell,
VR,
5.50%,
9/8/29
(EUR) (6)
2,900
3,306
Banco
Santander,
VR,
0.625%,
6/24/29
(EUR) (6)
1,700
1,662
Banco
Santander,
VR,
5.00%,
4/22/34
(EUR) (6)
1,500
1,666
Banco
Santander,
VR,
5.75%,
8/23/33
(EUR) (6)
1,500
1,696
Bank
of
America,
VR,
1.898%,
7/23/31 (6)
76,106
64,841
Bank
of
America,
VR,
2.299%,
7/21/32 (6)(7)
13,098
11,118
Bank
of
America,
VR,
2.496%,
2/13/31 (6)
23,595
21,015
Par/Shares
$
Value
(Amounts
in
000s)
Bank
of
America,
VR,
5.518%,
10/25/35 (6)(7)
25,965
25,962
Bank
of
America,
VR,
5.819%,
9/15/29 (6)
25,037
25,921
Bank
of
Ireland
Group,
VR,
4.625%,
11/13/29
(EUR) (6)
1,450
1,623
Bank
of
New
York
Mellon,
VR,
5.188%,
3/14/35 (6)
15,100
15,292
Bank
of
New
York
Mellon,
VR,
6.474%,
10/25/34 (6)
18,245
20,078
BNP
Paribas,
VR,
0.875%,
8/31/33
(EUR) (6)
1,800
1,719
BPCE,
VR,
4.625%,
3/2/30
(EUR) (6)
1,500
1,672
CaixaBank,
VR,
0.50%,
2/9/29
(EUR) (6)
3,500
3,421
CaixaBank,
VR,
4.125%,
2/9/32
(EUR) (6)
3,000
3,321
CaixaBank,
VR,
5.375%,
11/14/30
(EUR) (6)
2,800
3,270
CaixaBank,
VR,
6.037%,
6/15/35 (1)(6)(7)
19,705
20,238
CaixaBank,
VR,
6.125%,
5/30/34
(EUR) (6)
2,900
3,348
CaixaBank,
VR,
6.208%,
1/18/29 (1)(6)
21,910
22,512
CaixaBank,
VR,
6.684%,
9/13/27 (1)(6)
16,185
16,647
Capital
One
Financial,
3.75%,
3/9/27
23,993
23,412
Capital
One
Financial,
VR,
5.70%,
2/1/30 (6)(7)
3,361
3,433
Capital
One
Financial,
VR,
6.051%,
2/1/35 (6)(7)
9,260
9,712
Capital
One
Financial,
VR,
7.624%,
10/30/31 (6)(7)
3,005
3,360
Ceska
sporitelna,
VR,
4.57%,
7/3/31
(EUR) (6)
1,500
1,660
Ceska
sporitelna,
VR,
4.824%,
1/15/30
(EUR) (6)
1,500
1,666
Ceska
sporitelna,
VR,
5.737%,
3/8/28
(EUR) (6)
1,500
1,670
Citigroup,
4.45%,
9/29/27 (7)
5,040
4,983
Citigroup,
VR,
2.561%,
5/1/32 (6)
10,603
9,167
Citigroup,
VR,
5.827%,
2/13/35 (6)
57,900
58,906
Commerzbank,
VR,
4.00%,
7/16/32
(EUR) (6)
1,500
1,632
Commerzbank,
VR,
4.625%,
1/17/31
(EUR) (6)
1,500
1,678
Commerzbank,
VR,
4.875%,
10/16/34
(EUR) (6)
1,500
1,645
Cooperatieve
Rabobank,
VR,
4.233%,
4/25/29
(EUR) (6)
1,500
1,654
Danske
Bank,
VR,
3.244%,
12/20/25 (1)(6)(7)
21,957
21,922
Danske
Bank,
VR,
4.613%,
10/2/30 (1)(6)
15,580
15,298
Danske
Bank,
VR,
4.625%,
5/14/34
(EUR) (6)
3,010
3,328
Danske
Bank,
VR,
5.705%,
3/1/30 (1)(6)
12,075
12,364
Deutsche
Bank,
VR,
4.999%,
9/11/30 (6)
8,645
8,527
Erste
Group
Bank,
VR,
4.25%,
5/30/30
(EUR) (6)
1,500
1,673
Fifth
Third
Bancorp,
VR,
4.895%,
9/6/30 (6)
6,995
6,959
Fifth
Third
Bancorp,
VR,
5.631%,
1/29/32 (6)(7)
5,270
5,418
Fifth
Third
Bancorp,
VR,
6.339%,
7/27/29 (6)(7)
12,345
12,911
Fifth
Third
Bancorp,
VR,
6.361%,
10/27/28 (6)
2,875
2,984
Goldman
Sachs
Group,
VR,
2.383%,
7/21/32 (6)
17,802
15,143
Goldman
Sachs
Group,
VR,
3.615%,
3/15/28 (6)
20,205
19,668
Goldman
Sachs
Group,
VR,
3.691%,
6/5/28 (6)
6,770
6,586
Goldman
Sachs
Group,
VR,
4.482%,
8/23/28 (6)
22,790
22,606
Goldman
Sachs
Group,
VR,
4.692%,
10/23/30 (6)(7)
17,765
17,579
Par/Shares
$
Value
(Amounts
in
000s)
Goldman
Sachs
Group,
VR,
5.016%,
10/23/35 (6)
18,865
18,183
HSBC
Holdings,
VR,
4.599%,
3/22/35
(EUR) (6)
1,500
1,653
HSBC
Holdings,
VR,
4.856%,
5/23/33
(EUR) (6)
1,440
1,677
ING
Groep,
VR,
0.25%,
2/18/29
(EUR) (6)
1,700
1,646
ING
Groep,
VR,
4.375%,
8/15/34
(EUR) (6)
1,500
1,637
Intesa
Sanpaolo,
4.875%,
5/19/30
(EUR)
2,880
3,317
JPMorgan
Chase,
VR,
1.764%,
11/19/31 (6)(7)
42,600
35,826
JPMorgan
Chase,
VR,
2.522%,
4/22/31 (6)
4,475
3,981
JPMorgan
Chase,
VR,
2.739%,
10/15/30 (6)
12,398
11,265
JPMorgan
Chase,
VR,
2.956%,
5/13/31 (6)
38,833
35,076
JPMorgan
Chase,
VR,
4.603%,
10/22/30 (6)
17,695
17,531
JPMorgan
Chase,
VR,
4.946%,
10/22/35 (6)(7)
12,805
12,701
JPMorgan
Chase,
VR,
5.04%,
1/23/28 (6)
9,645
9,700
JPMorgan
Chase,
VR,
5.336%,
1/23/35 (6)
8,860
9,008
KBC
Group,
VR,
4.75%,
4/17/35
(EUR) (6)
1,500
1,660
M&T
Bank,
VR,
6.082%,
3/13/32 (6)(7)
16,590
17,127
Morgan
Stanley,
VR,
1.512%,
7/20/27 (6)
22,190
21,046
Morgan
Stanley,
VR,
5.173%,
1/16/30 (6)(7)
15,220
15,414
Nationwide
Building
Society,
0.25%,
9/14/28
(EUR)
1,760
1,689
Regions
Financial,
VR,
5.722%,
6/6/30 (6)
8,300
8,491
Santander
Consumer
Finance,
3.75%,
1/17/29
(EUR)
1,500
1,637
Santander
Holdings
USA,
VR,
6.342%,
5/31/35 (6)
26,710
27,546
Skandinaviska
Enskilda
Banken,
4.375%,
11/6/28
(EUR)
2,905
3,242
Skandinaviska
Enskilda
Banken,
VR,
5.00%,
8/17/33
(EUR) (6)
3,005
3,346
Societe
Generale,
VR,
5.519%,
1/19/28 (1)(6)
13,513
13,588
Standard
Chartered,
VR,
1.456%,
1/14/27 (1)(6)
10,354
9,944
Standard
Chartered,
VR,
4.196%,
3/4/32
(EUR) (6)
2,985
3,300
Standard
Chartered,
VR,
5.905%,
5/14/35 (1)(6)(7)
28,730
29,519
Swedbank,
4.125%,
11/13/28
(EUR)
1,460
1,626
Toronto-Dominion
Bank,
3.631%,
12/13/29
(EUR)
1,505
1,636
U.S.
Bancorp,
VR,
4.009%,
5/21/32
(EUR) (6)
1,520
1,679
U.S.
Bancorp,
VR,
5.384%,
1/23/30 (6)(7)
6,380
6,480
U.S.
Bancorp,
VR,
5.678%,
1/23/35 (6)(7)
9,122
9,419
U.S.
Bancorp,
VR,
5.85%,
10/21/33 (6)
4,860
5,084
UBS
Group,
VR,
2.193%,
6/5/26 (1)(6)
15,135
14,934
UBS
Group,
VR,
2.746%,
2/11/33 (1)(6)
7,329
6,248
UBS
Group,
VR,
2.875%,
4/2/32
(EUR) (6)
1,615
1,677
UBS
Group,
VR,
3.091%,
5/14/32 (1)(6)
15,685
13,860
UBS
Group,
VR,
4.751%,
5/12/28 (1)(6)
4,085
4,048
UBS
Group,
VR,
6.246%,
9/22/29 (1)(6)(7)
3,135
3,267
UBS
Group,
VR,
6.537%,
8/12/33 (1)(6)
1,600
1,727
Wells
Fargo,
VR,
2.572%,
2/11/31 (6)
49,550
44,241
Wells
Fargo,
VR,
4.478%,
4/4/31 (6)
16,431
16,089
Par/Shares
$
Value
(Amounts
in
000s)
Wells
Fargo,
VR,
4.611%,
4/25/53 (6)
18,795
16,905
1,074,015
Brokerage
Asset
Managers
Exchanges
0.4%
HA
Sustainable
Infrastructure
Capital,
6.375%,
7/1/34 (1)
35,845
35,890
HAT
Holdings
I,
8.00%,
6/15/27 (1)
10,245
10,693
Jane
Street
Group,
6.125%,
11/1/32 (1)
4,355
4,366
Jane
Street
Group,
7.125%,
4/30/31 (1)
12,112
12,581
LSEGA
Financing,
2.50%,
4/6/31 (1)(7)
14,998
13,001
Nasdaq,
4.50%,
2/15/32
(EUR)
1,445
1,649
78,180
Finance
Companies
0.2%
AerCap
Ireland
Capital,
3.30%,
1/30/32
10,508
9,313
Navient,
9.375%,
7/25/30
11,215
12,308
Navient,
11.50%,
3/15/31
6,165
7,013
OneMain
Finance,
9.00%,
1/15/29
11,155
11,838
40,472
Financial
Other
0.0%
Blackstone
Property
Partners
Europe
Holdings,
1.75%,
3/12/29
(EUR)
3,420
3,365
Howard
Hughes,
5.375%,
8/1/28 (1)
3,050
2,989
6,354
Insurance
2.4%
AIA
Group,
4.95%,
3/30/35 (1)
10,890
10,816
Alliant
Holdings
Intermediate,
6.50%,
10/1/31 (1)
6,600
6,600
Alliant
Holdings
Intermediate,
6.75%,
4/15/28 (1)
8,570
8,645
Alliant
Holdings
Intermediate,
7.00%,
1/15/31 (1)
2,450
2,481
AmWINS
Group,
6.375%,
2/15/29 (1)
4,935
4,972
Arthur
J
Gallagher,
5.75%,
7/15/54 (7)
3,148
3,225
Arthur
J
Gallagher,
6.75%,
2/15/54
17,645
20,390
Athene
Global
Funding,
0.625%,
1/12/28
(EUR)
1,715
1,686
Athene
Global
Funding,
5.526%,
7/11/31 (1)
18,015
18,390
Athene
Global
Funding,
5.684%,
2/23/26 (1)
22,515
22,693
Centene,
2.50%,
3/1/31
23,230
19,437
Centene,
3.00%,
10/15/30
8,330
7,247
Centene,
3.375%,
2/15/30 (7)
9,455
8,498
Centene,
4.25%,
12/15/27
3,340
3,236
Centene,
4.625%,
12/15/29
41,038
39,243
CNO
Financial
Group,
5.25%,
5/30/25
9,713
9,713
CNO
Global
Funding,
4.95%,
9/9/29 (1)
3,885
3,885
Corebridge
Financial,
3.85%,
4/5/29
3,495
3,374
Corebridge
Financial,
3.90%,
4/5/32 (7)
16,445
15,197
Corebridge
Global
Funding,
5.20%,
1/12/29 (1)
3,270
3,303
Elevance
Health,
4.75%,
2/15/30 (7)
6,955
6,942
Elevance
Health,
4.95%,
11/1/31
9,295
9,290
Par/Shares
$
Value
(Amounts
in
000s)
Elevance
Health,
5.125%,
2/15/53
8,335
7,797
First
American
Financial,
2.40%,
8/15/31
15,000
12,459
Health
Care
Service
A
Mutual
Legal
Reserve,
5.20%,
6/15/29 (1)
6,825
6,948
Health
Care
Service
A
Mutual
Legal
Reserve,
5.45%,
6/15/34 (1)
8,635
8,747
Health
Care
Service
A
Mutual
Legal
Reserve,
5.875%,
6/15/54 (1)
17,935
18,203
HUB
International,
7.25%,
6/15/30 (1)
13,485
13,957
Humana,
3.95%,
3/15/27 (7)
6,275
6,160
Humana,
4.875%,
4/1/30
15,720
15,610
Humana,
5.375%,
4/15/31 (7)
11,080
11,163
Jones
Deslauriers
Insurance
Management,
8.50%,
3/15/30 (1)
7,898
8,362
Metropolitan
Life
Global
Funding
I,
0.50%,
5/25/29
(EUR)
1,765
1,690
Metropolitan
Life
Global
Funding
I,
4.00%,
4/5/28
(EUR)
1,500
1,651
Molina
Healthcare,
6.25%,
1/15/33 (1)
4,080
4,111
New
York
Life
Global
Funding,
3.45%,
1/30/31
(EUR)
1,515
1,656
Panther
Escrow
Issuer,
7.125%,
6/1/31 (1)
4,685
4,784
UnitedHealth
Group,
4.50%,
4/15/33 (7)
16,060
15,623
UnitedHealth
Group,
5.00%,
4/15/34
22,045
22,143
UnitedHealth
Group,
5.05%,
4/15/53
24,469
23,335
413,662
Real
Estate
Investment
Trusts
0.4%
Aedifica,
0.75%,
9/9/31
(EUR)
3,800
3,347
Alexandria
Real
Estate
Equities,
5.25%,
5/15/36
2,525
2,520
Brixmor
Operating
Partnership,
3.90%,
3/15/27
30,217
29,573
Brixmor
Operating
Partnership,
4.05%,
7/1/30 (7)
1,984
1,888
Essex
Portfolio,
1.65%,
1/15/31 (7)
10,099
8,316
Goodman
U.S.
Finance
Six,
5.125%,
10/7/34 (1)(7)
1,865
1,850
Invitation
Homes
Operating
Partnership,
2.00%,
8/15/31
4,175
3,442
Invitation
Homes
Operating
Partnership,
4.875%,
2/1/35
3,870
3,752
Invitation
Homes
Operating
Partnership,
5.45%,
8/15/30
4,206
4,306
Praemia
Healthcare
SACA,
0.875%,
11/4/29
(EUR)
3,600
3,371
Segro
Capital,
1.875%,
3/23/30
(EUR)
1,685
1,681
Service
Properties
Trust,
8.625%,
11/15/31 (1)
1,660
1,759
65,805
Total
Financial
Institutions
1,678,488
INDUSTRIAL
15.0%
Basic
Industry
0.5%
AngloGold
Ashanti
Holdings,
3.375%,
11/1/28
3,725
3,422
Celanese
U.S.
Holdings,
6.33%,
7/15/29
4,505
4,651
Celanese
U.S.
Holdings,
6.379%,
7/15/32 (7)
14,369
14,942
Celanese
U.S.
Holdings,
6.80%,
11/15/30 (7)
5,389
5,648
Freeport-McMoRan,
4.25%,
3/1/30
7,398
7,180
Freeport-McMoRan,
4.375%,
8/1/28
6,681
6,553
Freeport-McMoRan,
4.625%,
8/1/30
2,715
2,657
Par/Shares
$
Value
(Amounts
in
000s)
Freeport-McMoRan,
5.00%,
9/1/27
1,558
1,561
Freeport-McMoRan,
5.45%,
3/15/43
7,215
7,001
Smurfit
Westrock
Financing,
5.418%,
1/15/35 (1)
3,205
3,260
Sociedad
Quimica
y
Minera
de
Chile,
5.50%,
9/10/34 (1)
14,270
13,784
Westlake,
1.625%,
7/17/29
(EUR)
20,686
20,514
91,173
Capital
Goods
1.0%
AGCO,
5.80%,
3/21/34 (7)
4,170
4,269
BAE
Systems,
5.30%,
3/26/34 (1)
10,970
11,176
Boeing,
2.196%,
2/4/26
4,920
4,752
Boeing,
2.75%,
2/1/26
5,020
4,879
Boeing,
3.25%,
2/1/28
3,405
3,215
Boeing,
3.75%,
2/1/50
9,233
6,497
Boeing,
5.04%,
5/1/27 (7)
8,010
7,992
Boeing,
6.388%,
5/1/31 (1)
8,645
9,072
Boeing,
6.528%,
5/1/34 (1)(7)
6,672
7,060
Boeing,
6.858%,
5/1/54 (1)
27,575
29,798
Cie
de
Saint-Gobain,
3.25%,
8/9/29
(EUR)
3,100
3,327
Ferguson
Enterprises,
5.00%,
10/3/34
2,245
2,200
Fortive,
3.70%,
8/15/29
(EUR)
3,105
3,371
Huntington
Ingalls
Industries,
5.353%,
1/15/30
2,395
2,411
Huntington
Ingalls
Industries,
5.749%,
1/15/35
4,085
4,153
Ingersoll
Rand,
5.314%,
6/15/31
8,185
8,364
Ingersoll
Rand,
5.45%,
6/15/34
6,700
6,858
Owens
Corning,
5.70%,
6/15/34 (7)
8,985
9,330
Owens
Corning,
5.95%,
6/15/54 (7)
9,090
9,535
Regal
Rexnord,
6.05%,
4/15/28
16,795
17,269
Ritchie
Bros
Holdings,
7.75%,
3/15/31 (1)
5,237
5,518
Stanley
Black
&
Decker,
2.75%,
11/15/50 (7)
8,693
5,288
TransDigm,
6.875%,
12/15/30 (1)
4,195
4,316
TransDigm,
7.125%,
12/1/31 (1)
7,965
8,274
178,924
Communications
3.1%
Altice
Financing,
5.00%,
1/15/28 (1)(7)
3,861
3,079
Altice
Financing,
9.625%,
7/15/27 (1)(7)
7,260
6,752
American
Tower,
4.625%,
5/16/31
(EUR)
1,460
1,666
AppLovin,
5.375%,
12/1/31
5,870
5,923
CCO
Holdings,
4.25%,
2/1/31 (1)
9,640
8,580
CCO
Holdings,
6.375%,
9/1/29 (1)
3,400
3,409
CCO
Holdings,
7.375%,
3/1/31 (1)
8,300
8,590
Cellnex
Finance,
2.00%,
9/15/32
(EUR)
12,400
11,953
Cellnex
Finance,
2.00%,
2/15/33
(EUR)
9,200
8,749
Cellnex
Telecom,
1.75%,
10/23/30
(EUR) (7)
8,800
8,616
Charter
Communications
Operating,
2.80%,
4/1/31
20,830
17,824
Par/Shares
$
Value
(Amounts
in
000s)
Charter
Communications
Operating,
3.75%,
2/15/28
8,600
8,253
Charter
Communications
Operating,
5.25%,
4/1/53 (7)
2,030
1,719
Charter
Communications
Operating,
6.384%,
10/23/35
6,815
6,989
Charter
Communications
Operating,
6.55%,
6/1/34
4,309
4,509
Charter
Communications
Operating,
6.65%,
2/1/34 (7)
19,440
20,449
Chorus,
3.625%,
9/7/29
(EUR)
3,115
3,386
Comcast,
3.25%,
11/1/39
23,223
18,295
Comcast,
5.65%,
6/1/54 (7)
21,930
22,547
Cox
Communications,
5.70%,
6/15/33 (1)
8,586
8,671
Cox
Communications,
5.80%,
12/15/53 (1)
6,215
5,961
Crown
Castle,
5.80%,
3/1/34
8,360
8,651
Crown
Castle
Towers,
3.663%,
5/15/25 (1)
50,986
50,594
CSC
Holdings,
11.75%,
1/31/29 (1)
4,965
4,922
Directv
Financing,
5.875%,
8/15/27 (1)
5,370
5,263
Elisa,
4.00%,
1/27/29
(EUR)
1,480
1,626
Interpublic
Group,
4.65%,
10/1/28
7,525
7,494
Level
3
Financing,
10.75%,
12/15/30 (1)
690
776
Meta
Platforms,
5.40%,
8/15/54
4,775
4,877
Meta
Platforms,
5.60%,
5/15/53 (7)
26,215
27,534
Netflix,
3.875%,
11/15/29
(EUR)
3,015
3,337
Netflix,
4.625%,
5/15/29
(EUR)
7,605
8,646
Prosus,
2.085%,
1/19/30
(EUR)
1,710
1,669
Rogers
Communications,
3.80%,
3/15/32
10,875
9,975
Rogers
Communications,
4.35%,
5/1/49
1,365
1,135
Rogers
Communications,
4.55%,
3/15/52
16,328
13,803
Rogers
Communications,
5.00%,
2/15/29
18,431
18,485
Rogers
Communications,
5.30%,
2/15/34
20,675
20,647
SBA
Tower
Trust,
1.84%,
4/15/27 (1)
21,685
20,000
SBA
Tower
Trust,
2.593%,
10/15/31 (1)
17,515
14,605
SBA
Tower
Trust,
4.831%,
10/15/29 (1)
17,915
17,441
Sirius
XM
Radio,
4.00%,
7/15/28 (1)
4,365
4,092
Sirius
XM
Radio,
5.00%,
8/1/27 (1)
4,168
4,095
Sitios
Latinoamerica,
5.375%,
4/4/32
8,935
8,527
Sprint
Capital,
6.875%,
11/15/28 (7)
24,540
26,288
Sprint
Capital,
8.75%,
3/15/32
15,530
18,752
T-Mobile
USA,
3.70%,
5/8/32
(EUR)
1,525
1,676
TDC
Net,
5.618%,
2/6/30
(EUR)
2,895
3,258
TDC
Net,
6.50%,
6/1/31
(EUR)
5,340
6,292
Telstra
Group,
3.75%,
5/4/31
(EUR)
1,500
1,671
Time
Warner
Cable,
6.75%,
6/15/39
3,958
3,994
Time
Warner
Cable,
7.30%,
7/1/38
2,193
2,308
Universal
Music
Group,
4.00%,
6/13/31
(EUR)
2,980
3,318
Videotron,
5.70%,
1/15/35 (1)
17,405
17,622
Par/Shares
$
Value
(Amounts
in
000s)
Vmed
O2
U.K.
Financing
I,
7.75%,
4/15/32 (1)
8,469
8,620
WPP
Finance,
4.125%,
5/30/28
(EUR)
1,515
1,663
WPP
Finance
2013,
3.625%,
9/12/29
(EUR)
1,555
1,686
541,262
Consumer
Cyclical
2.2%
Alibaba
Group
Holding,
5.25%,
5/26/35 (1)(7)
14,660
14,704
Alibaba
Group
Holding,
5.625%,
11/26/54 (1)
8,290
8,494
American
Honda
Finance,
3.65%,
4/23/31
(EUR)
1,545
1,684
Aptiv,
4.65%,
9/13/29
6,615
6,449
Autoliv,
3.625%,
8/7/29
(EUR)
3,125
3,346
Belron
U.K.
Finance,
5.75%,
10/15/29 (1)
2,810
2,814
Caesars
Entertainment,
7.00%,
2/15/30 (1)
5,700
5,871
Carnival,
7.00%,
8/15/29 (1)
3,575
3,740
Carnival,
10.50%,
6/1/30 (1)
7,385
7,930
Clarios
Global,
6.75%,
5/15/28 (1)
4,857
4,966
Daimler
Truck
Finance
North
America,
5.375%,
1/18/34 (1)
2,275
2,314
Ford
Motor,
9.625%,
4/22/30
8,295
9,708
Ford
Motor
Credit,
4.95%,
5/28/27
6,895
6,848
Ford
Motor
Credit,
5.80%,
3/5/27
6,545
6,620
Ford
Motor
Credit,
6.054%,
11/5/31 (7)
14,345
14,576
Ford
Motor
Credit,
6.798%,
11/7/28
5,070
5,315
Ford
Motor
Credit,
6.80%,
5/12/28
4,760
4,950
Ford
Motor
Credit,
7.122%,
11/7/33
5,050
5,415
Ford
Motor
Credit,
7.35%,
11/4/27
1,255
1,321
General
Motors
Financial,
4.90%,
10/6/29 (7)
13,095
13,049
General
Motors
Financial,
5.55%,
7/15/29
12,735
12,992
Hilton
Domestic
Operating,
6.125%,
4/1/32 (1)
4,605
4,657
Home
Depot,
4.95%,
6/25/34 (7)
17,415
17,579
Hyatt
Hotels,
5.375%,
12/15/31
12,170
12,293
Hyundai
Capital
America,
4.55%,
9/26/29 (1)(7)
11,135
10,931
Hyundai
Capital
America,
4.75%,
9/26/31 (1)(7)
7,295
7,133
Hyundai
Capital
America,
5.35%,
3/19/29 (1)
5,630
5,722
Hyundai
Capital
America,
5.40%,
1/8/31 (1)
3,290
3,350
Hyundai
Capital
America,
5.50%,
3/30/26 (1)
5,370
5,409
Hyundai
Capital
America,
6.50%,
1/16/29 (1)
6,620
6,992
Las
Vegas
Sands,
3.50%,
8/18/26 (7)
10,677
10,391
Las
Vegas
Sands,
5.90%,
6/1/27
3,795
3,850
LKQ
Dutch
Bond,
4.125%,
3/13/31
(EUR)
1,530
1,664
Lowe's,
4.25%,
4/1/52
4,402
3,616
Lowe's,
5.75%,
7/1/53
5,950
6,121
Match
Group
Holdings
II,
5.00%,
12/15/27 (1)
4,992
4,836
RCI
Banque,
3.875%,
1/12/29
(EUR) (7)
1,525
1,641
Rivian
Holdings,
FRN,
6M
TSFR
+
6.053%,
10.502%,
10/15/26 (1)
5,145
5,151
Par/Shares
$
Value
(Amounts
in
000s)
Ross
Stores,
1.875%,
4/15/31
20,720
17,322
Royal
Caribbean
Cruises,
6.00%,
2/1/33 (1)
3,560
3,605
Royal
Caribbean
Cruises,
6.25%,
3/15/32 (1)
1,990
2,032
Six
Flags
Entertainment,
6.625%,
5/1/32 (1)
7,020
7,178
Uber
Technologies,
4.30%,
1/15/30 (7)
19,620
19,180
Uber
Technologies,
4.50%,
8/15/29 (1)
17,774
17,374
Uber
Technologies,
4.80%,
9/15/34 (7)
6,510
6,370
Uber
Technologies,
5.35%,
9/15/54
13,145
12,807
VF,
2.95%,
4/23/30 (7)
16,259
14,005
Volkswagen
Group
of
America
Finance,
4.75%,
11/13/28 (1)(7)
13,610
13,371
Volkswagen
Group
of
America
Finance,
4.95%,
8/15/29 (1)(7)
5,075
5,005
Volkswagen
Leasing,
3.875%,
10/11/28
(EUR)
3,035
3,261
Yum!
Brands,
5.375%,
4/1/32 (7)
4,970
4,871
ZF
North
America
Capital,
6.75%,
4/23/30 (1)
3,395
3,297
ZF
North
America
Capital,
7.125%,
4/14/30 (1)
1,435
1,422
385,542
Consumer
Non-Cyclical
3.1%
AbbVie,
2.125%,
11/17/28
(EUR)
1,585
1,643
AbbVie,
4.05%,
11/21/39
13,104
11,560
AbbVie,
4.25%,
11/21/49
14,924
12,785
AbbVie,
4.50%,
5/14/35
20,682
19,803
AbbVie,
4.875%,
11/14/48
28,471
26,689
AbbVie,
5.05%,
3/15/34
22,365
22,646
Anheuser-Busch
InBev,
3.45%,
9/22/31
(EUR)
1,540
1,682
Anheuser-Busch
InBev
Worldwide,
5.55%,
1/23/49
22,565
23,521
Astrazeneca
Finance,
3.121%,
8/5/30
(EUR)
3,105
3,340
Astrazeneca
Finance,
5.00%,
2/26/34
25,165
25,296
BAT
Capital,
4.39%,
8/15/37
11,900
10,579
BAT
Capital,
4.54%,
8/15/47
4,173
3,466
BAT
Capital,
7.081%,
8/2/53
26,775
30,521
Bayer
U.S.
Finance,
6.375%,
11/21/30 (1)
11,085
11,508
Bayer
U.S.
Finance
II,
4.25%,
12/15/25 (1)
8,165
8,101
Becton
Dickinson
&
Company,
2.823%,
5/20/30
10,563
9,541
Becton
Dickinson
Euro
Finance,
0.334%,
8/13/28
(EUR)
1,740
1,684
Becton
Dickinson
Euro
Finance,
3.553%,
9/13/29
(EUR)
1,545
1,680
Bimbo
Bakeries
USA,
5.375%,
1/9/36 (1)
3,410
3,362
Bimbo
Bakeries
USA,
6.40%,
1/15/34 (1)
3,390
3,617
CVS
Health,
5.05%,
3/25/48 (7)
37,769
33,352
CVS
Health,
5.625%,
2/21/53
16,520
15,657
CVS
Health,
5.875%,
6/1/53
9,060
8,940
Eli
Lilly,
4.70%,
2/9/34
25,605
25,398
HCA,
3.50%,
9/1/30 (7)
18,270
16,840
HCA,
5.45%,
9/15/34
8,450
8,449
Par/Shares
$
Value
(Amounts
in
000s)
Icon
Investments
Six,
5.849%,
5/8/29
4,535
4,671
Icon
Investments
Six,
6.00%,
5/8/34
5,710
5,878
IQVIA,
6.25%,
2/1/29
13,440
14,011
IQVIA,
6.50%,
5/15/30 (1)
435
446
Mars,
4.75%,
4/20/33 (1)
16,610
16,416
Mattel,
5.875%,
12/15/27 (1)
16,405
16,496
Medline
Borrower,
6.25%,
4/1/29 (1)
13,365
13,616
Mondelez
International,
2.75%,
4/13/30
4,714
4,273
Pfizer
Investment
Enterprises,
5.34%,
5/19/63
17,625
17,026
Revvity,
1.90%,
9/15/28 (7)
13,950
12,561
Revvity,
2.25%,
9/15/31 (7)
7,580
6,317
Revvity,
3.30%,
9/15/29 (7)
10,440
9,701
Sartorius
Finance,
4.375%,
9/14/29
(EUR)
3,000
3,344
Sartorius
Finance,
4.50%,
9/14/32
(EUR)
3,000
3,374
Sartorius
Finance,
4.875%,
9/14/35
(EUR)
14,300
16,429
Solventum,
5.40%,
3/1/29 (1)
15,605
15,793
Solventum,
5.60%,
3/23/34 (1)
16,310
16,569
Solventum,
5.90%,
4/30/54 (1)(7)
16,480
16,781
Sutter
Health,
5.164%,
8/15/33 (7)
5,265
5,337
Teva
Pharmaceutical
Finance
Netherlands
III,
8.125%,
9/15/31
4,195
4,709
UCB,
4.25%,
3/20/30
(EUR)
3,100
3,396
548,804
Energy
3.7%
Aker
BP,
4.00%,
5/29/32
(EUR)
1,540
1,669
Boardwalk
Pipelines,
3.40%,
2/15/31
15,531
14,084
Cheniere
Energy,
4.625%,
10/15/28
6,820
6,743
Cheniere
Energy,
5.65%,
4/15/34 (7)
16,590
16,963
Cheniere
Energy
Partners,
4.50%,
10/1/29
4,379
4,275
Cheniere
Energy
Partners,
5.75%,
8/15/34 (1)
25,305
25,754
Cheniere
Energy
Partners,
5.95%,
6/30/33 (7)
13,221
13,738
Columbia
Pipelines
Holding,
5.681%,
1/15/34 (1)(7)
16,685
16,879
Continental
Resources,
4.375%,
1/15/28
3,430
3,345
Diamondback
Energy,
5.15%,
1/30/30 (7)
5,650
5,711
Diamondback
Energy,
5.40%,
4/18/34
25,974
26,198
Diamondback
Energy,
5.75%,
4/18/54
10,495
10,434
Diamondback
Energy,
5.90%,
4/18/64
11,060
10,984
Diamondback
Energy,
6.25%,
3/15/53
3,420
3,609
Enbridge,
5.625%,
4/5/34 (7)
13,535
13,945
Enbridge,
6.70%,
11/15/53
8,130
9,283
Energy
Transfer,
5.55%,
5/15/34 (7)
8,960
9,103
Energy
Transfer,
5.95%,
5/15/54
5,935
6,010
Energy
Transfer,
6.40%,
12/1/30 (7)
11,100
11,853
Energy
Transfer,
6.55%,
12/1/33 (7)
5,350
5,799
Par/Shares
$
Value
(Amounts
in
000s)
Eni,
5.50%,
5/15/34 (1)
12,625
12,761
Eni,
5.95%,
5/15/54 (1)
15,730
15,957
Expand
Energy,
4.75%,
2/1/32
10,540
10,032
Expand
Energy,
5.375%,
2/1/29
10,745
10,601
Expand
Energy,
5.375%,
3/15/30
11,229
11,167
Greensaif
Pipelines
Bidco,
5.853%,
2/23/36 (1)
12,530
12,575
Hilcorp
Energy
I,
7.25%,
2/15/35 (1)
2,870
2,816
Hilcorp
Energy
I,
8.375%,
11/1/33 (1)
8,416
8,868
Kinetik
Holdings,
5.875%,
6/15/30 (1)
2,861
2,850
Kinetik
Holdings,
6.625%,
12/15/28 (1)
593
606
Occidental
Petroleum,
5.55%,
10/1/34 (7)
7,840
7,814
Occidental
Petroleum,
6.05%,
10/1/54
6,840
6,804
Occidental
Petroleum,
6.125%,
1/1/31
13,454
13,942
Occidental
Petroleum,
6.20%,
3/15/40
3,705
3,774
Occidental
Petroleum,
6.375%,
9/1/28 (7)
4,630
4,821
Occidental
Petroleum,
6.45%,
9/15/36
3,105
3,260
Occidental
Petroleum,
6.625%,
9/1/30
4,570
4,839
Occidental
Petroleum,
7.50%,
5/1/31
12,010
13,421
Occidental
Petroleum,
8.50%,
7/15/27
5,295
5,686
Occidental
Petroleum,
8.875%,
7/15/30
26,910
31,014
ONEOK,
4.40%,
10/15/29 (7)
8,565
8,415
ONEOK,
4.75%,
10/15/31 (7)
11,695
11,501
ONEOK,
5.05%,
11/1/34 (7)
14,015
13,780
ONEOK,
5.65%,
11/1/28
3,150
3,248
ONEOK,
5.80%,
11/1/30
9,460
9,866
ONEOK,
6.05%,
9/1/33
9,310
9,816
Raizen
Fuels
Finance,
5.70%,
1/17/35 (1)
14,250
13,724
Raizen
Fuels
Finance,
6.45%,
3/5/34 (1)
5,330
5,470
Raizen
Fuels
Finance,
6.95%,
3/5/54 (1)(7)
4,930
5,103
Sabine
Pass
Liquefaction,
4.20%,
3/15/28 (7)
3,320
3,267
South
Bow
Canadian
Infrastructure
Holdings,
VR,
7.50%,
3/1/55 (1)
(6)
4,905
5,132
South
Bow
USA
Infrastructure
Holdings,
5.026%,
10/1/29 (1)
3,870
3,831
South
Bow
USA
Infrastructure
Holdings,
5.584%,
10/1/34 (1)(7)
4,665
4,651
Sunoco,
7.00%,
5/1/29 (1)
1,950
2,018
Sunoco,
7.25%,
5/1/32 (1)
3,641
3,805
Targa
Resources,
6.15%,
3/1/29
15,155
15,920
Targa
Resources
Partners,
5.00%,
1/15/28
3,285
3,281
Targa
Resources
Partners,
5.50%,
3/1/30
5,907
5,966
Targa
Resources
Partners,
6.875%,
1/15/29
3,817
3,914
TER
Finance
Jersey,
Series
21,
Zero
Coupon,
1/2/25 (1)(8)
23,600
23,484
Var
Energi,
5.50%,
5/4/29
(EUR)
3,914
4,469
Venture
Global
Calcasieu
Pass,
4.125%,
8/15/31 (1)
3,730
3,404
Par/Shares
$
Value
(Amounts
in
000s)
Venture
Global
Calcasieu
Pass,
6.25%,
1/15/30 (1)
3,960
4,054
Venture
Global
LNG,
8.375%,
6/1/31 (1)
3,230
3,392
Venture
Global
LNG,
9.50%,
2/1/29 (1)
15,710
17,517
Venture
Global
LNG,
9.875%,
2/1/32 (1)
3,035
3,357
Venture
Global
LNG,
VR,
9.00% (1)(6)(9)
5,045
5,228
Western
Midstream
Operating,
4.50%,
3/1/28
3,365
3,312
Western
Midstream
Operating,
6.35%,
1/15/29
3,190
3,331
Williams,
2.60%,
3/15/31
29,960
26,156
Williams,
5.15%,
3/15/34
6,175
6,139
Wintershall
Dea
Finance,
1.332%,
9/25/28
(EUR)
1,700
1,668
Wintershall
Dea
Finance,
1.823%,
9/25/31
(EUR)
1,800
1,655
Wintershall
Dea
Finance,
3.83%,
10/3/29
(EUR)
1,861
1,981
641,842
Industrial
Other
0.0%
Booz
Allen
Hamilton,
5.95%,
8/4/33
6,800
7,043
7,043
Technology
1.0%
AP
Grange
Holdings,
6.50%,
3/20/45,
Acquisition
Date:
6/12/24,
Cost $16,600 (8)(10)(11)
16,600
16,600
Atlassian,
5.25%,
5/15/29
5,055
5,132
Boost
Newco
Borrower,
7.50%,
1/15/31 (1)
4,410
4,658
Broadcom,
3.419%,
4/15/33 (1)
16,816
14,984
Broadcom,
4.35%,
2/15/30 (7)
21,850
21,381
Broadcom,
4.55%,
2/15/32
8,245
8,074
Broadcom,
5.15%,
11/15/31
13,255
13,462
Cadence
Design
Systems,
4.30%,
9/10/29
7,965
7,856
Cadence
Design
Systems,
4.70%,
9/10/34
4,650
4,554
Ellucian
Holdings,
6.50%,
12/1/29 (1)(7)
2,460
2,503
Fiserv,
1.625%,
7/1/30
(EUR)
1,715
1,688
Fiserv,
4.50%,
5/24/31
(EUR)
1,470
1,673
Intel,
3.25%,
11/15/49
29,633
19,322
Micron
Technology,
6.75%,
11/1/29
11,330
12,185
Motorola
Solutions,
5.40%,
4/15/34 (7)
7,860
8,015
Oracle,
3.60%,
4/1/50
11,998
8,861
Oracle,
3.95%,
3/25/51
13,463
10,517
RELX
Finance,
3.75%,
6/12/31
(EUR)
1,510
1,667
Teleperformance,
5.25%,
11/22/28
(EUR)
2,900
3,243
UKG,
6.875%,
2/1/31 (1)
4,875
5,009
171,384
Transportation
0.4%
Autostrade
per
l'Italia,
1.875%,
11/4/25
(EUR)
3,165
3,312
Autostrade
per
l'Italia,
2.00%,
12/4/28
(EUR)
3,285
3,330
Autostrade
per
l'Italia,
2.00%,
1/15/30
(EUR)
17,020
16,906
Autostrade
per
l'Italia,
4.25%,
6/28/32
(EUR)
3,065
3,364
Par/Shares
$
Value
(Amounts
in
000s)
Autostrade
per
l'Italia,
4.75%,
1/24/31
(EUR)
2,910
3,279
Burlington
Northern
Santa
Fe,
5.50%,
3/15/55 (7)
14,325
14,819
Fraport
Frankfurt
Airport
Services
Worldwide,
4.25%,
6/11/32
(EUR)
3,025
3,355
Genesee
&
Wyoming,
6.25%,
4/15/32 (1)
5,025
5,057
Holding
d'Infrastructures
de
Transport,
0.625%,
9/14/28
(EUR)
1,700
1,643
Holding
d'Infrastructures
de
Transport,
4.25%,
3/18/30
(EUR)
1,500
1,657
Sydney
Airport
Finance,
3.75%,
4/30/32
(EUR)
1,525
1,674
Transurban
Finance,
1.45%,
5/16/29
(EUR)
1,695
1,682
Transurban
Finance,
3.713%,
3/12/32
(EUR)
1,520
1,655
61,733
Total
Industrial
2,627,707
UTILITY
2.6%
Electric
2.4%
Alpha
Generation,
6.75%,
10/15/32 (1)
5,150
5,201
American
Electric
Power,
5.20%,
1/15/29
7,263
7,386
Appalachian
Power,
5.65%,
4/1/34
4,090
4,224
Ausgrid
Finance,
0.875%,
10/7/31
(EUR)
3,740
3,364
Chile
Electricity
Mpc
II,
5.58%,
10/20/35 (1)
7,480
7,375
Constellation
Energy
Generation,
5.75%,
3/15/54
7,612
7,785
DTE
Energy,
4.875%,
6/1/28
3,220
3,235
DTE
Energy,
5.10%,
3/1/29
22,930
23,183
Duke
Energy,
5.00%,
8/15/52
21,270
19,550
EDP
Finance,
3.875%,
3/11/30
(EUR) (7)
1,500
1,650
EDP
Servicios
Financieros
Espana,
3.50%,
7/16/30
(EUR)
1,550
1,677
Eversource
Energy,
5.85%,
4/15/31
12,870
13,412
Eversource
Energy,
5.95%,
7/15/34 (7)
24,805
26,011
Exelon,
5.60%,
3/15/53
8,178
8,236
FirstEnergy,
2.65%,
3/1/30
15,341
13,710
FirstEnergy,
Series
B,
2.25%,
9/1/30
2,840
2,463
FirstEnergy,
Series
C,
3.40%,
3/1/50
19,676
14,031
FirstEnergy
Transmission,
4.55%,
1/15/30 (1)
3,600
3,540
FirstEnergy
Transmission,
5.00%,
1/15/35 (1)
5,680
5,623
Indianapolis
Power
&
Light,
5.70%,
4/1/54 (1)
5,430
5,602
IPALCO
Enterprises,
5.75%,
4/1/34
9,230
9,457
National
Grid,
0.163%,
1/20/28
(EUR)
1,740
1,694
National
Grid
Electricity
Distribution
East
Midlands,
3.949%,
9/20/32
(EUR)
3,070
3,420
Niagara
Mohawk
Power,
5.664%,
1/17/54 (1)
9,190
9,297
NRG
Energy,
4.45%,
6/15/29 (1)
9,592
9,258
Pacific
Gas
&
Electric,
2.10%,
8/1/27 (7)
7,517
7,007
Pacific
Gas
&
Electric,
2.50%,
2/1/31
21,478
18,586
Pacific
Gas
&
Electric,
3.30%,
12/1/27 (7)
3,550
3,391
Pacific
Gas
&
Electric,
3.50%,
8/1/50
8,790
6,276
Par/Shares
$
Value
(Amounts
in
000s)
Pacific
Gas
&
Electric,
3.95%,
12/1/47
10,551
8,111
Pacific
Gas
&
Electric,
5.80%,
5/15/34 (7)
12,560
13,022
Pacific
Gas
&
Electric,
6.70%,
4/1/53
5,775
6,504
Pacific
Gas
&
Electric,
6.75%,
1/15/53
12,830
14,369
Pacific
Gas
&
Electric,
6.95%,
3/15/34 (7)
9,445
10,563
Palomino
Funding
Trust
I,
7.233%,
5/17/28 (1)
9,700
10,240
Southern,
5.70%,
3/15/34 (7)
27,500
28,784
Talen
Energy
Supply,
8.625%,
6/1/30 (1)
12,143
13,054
Vistra,
VR,
8.00% (1)(6)(9)
16,305
16,733
Vistra,
Series
C,
VR,
8.875% (1)(6)(9)
16,440
17,714
Vistra
Operations,
6.00%,
4/15/34 (1)
5,820
6,056
Vistra
Operations,
6.95%,
10/15/33 (1)
7,385
8,137
Vistra
Operations,
7.75%,
10/15/31 (1)
8,110
8,607
407,538
Natural
Gas
0.2%
APA
Infrastructure,
0.75%,
3/15/29
(EUR)
3,520
3,365
APA
Infrastructure,
5.125%,
9/16/34 (1)(7)
3,250
3,185
APA
Infrastructure,
5.75%,
9/16/44 (1)(7)
4,400
4,434
Boston
Gas,
6.119%,
7/20/53 (1)
5,860
6,013
Engie,
5.25%,
4/10/29 (1)
6,335
6,449
Engie,
5.625%,
4/10/34 (1)
7,835
8,065
NiSource,
5.25%,
3/30/28 (7)
3,395
3,447
Sempra,
3.40%,
2/1/28
3,450
3,316
38,274
Utility
Other
0.0%
Veolia
Environnement,
1.94%,
1/7/30
(EUR)
1,600
1,614
1,614
Total
Utility
447,426
Total
Corporate
Bonds
(Cost
$4,795,703)
4,753,621
FOREIGN
GOVERNMENT
OBLIGATIONS
&
MUNICIPALITIES
1.6%
Owned
No
Guarantee
1.3%
Comision
Federal
de
Electricidad,
5.70%,
1/24/30 (1)(7)
5,770
5,644
Comision
Federal
de
Electricidad,
6.45%,
1/24/35 (1)
21,609
20,800
Corp.
Nacional
del
Cobre
de
Chile,
6.30%,
9/8/53 (1)
20,560
20,736
Corp.
Nacional
del
Cobre
de
Chile,
6.30%,
9/8/53
3,735
3,767
Corp.
Nacional
del
Cobre
de
Chile,
6.44%,
1/26/36 (1)
9,730
10,151
ESB
Finance,
4.00%,
10/3/28
(EUR)
1,470
1,616
FIEMEX
Energia
-
Banco
Actinver
Institucion
de
Banca
Multiple,
7.25%,
1/31/41 (1)
11,705
11,710
Freeport
Indonesia,
5.315%,
4/14/32 (7)
17,670
17,604
Par/Shares
$
Value
(Amounts
in
000s)
Gaci
First
Investment,
4.875%,
2/14/35 (7)
17,430
16,875
Gaci
First
Investment,
5.125%,
2/14/53
28,255
24,877
Islandsbanki,
4.625%,
3/27/28
(EUR)
1,500
1,650
Landsbankinn,
5.00%,
5/13/28
(EUR)
1,490
1,662
Logicor
Financing,
0.875%,
1/14/31
(EUR)
3,795
3,421
Logicor
Financing,
4.25%,
7/18/29
(EUR)
3,095
3,365
Logicor
Financing,
4.625%,
7/25/28
(EUR)
3,055
3,349
NBN,
4.125%,
3/15/29
(EUR)
2,965
3,296
NBN,
4.375%,
3/15/33
(EUR)
2,870
3,328
Orsted,
3.75%,
3/1/30
(EUR)
1,505
1,645
P3
Group,
4.625%,
2/13/30
(EUR)
1,490
1,647
Petroleos
Mexicanos,
6.84%,
1/23/30
18,940
17,597
Petroleos
Mexicanos,
8.75%,
6/2/29
34,670
35,201
Saudi
Arabian
Oil,
5.75%,
7/17/54 (1)
13,480
13,187
223,128
Sovereign
0.3%
Republic
of
Panama,
7.50%,
3/1/31
32,770
34,605
Republic
of
Peru,
5.375%,
2/8/35
9,820
9,735
44,340
Supranational
0.0%
International
Bank
for
Reconstruction
&
Development,
STEP,
1.745%,
7/31/33
6,400
6,382
6,382
Total
Foreign
Government
Obligations
&
Municipalities
(Cost
$272,042)
273,850
MUNICIPAL
SECURITIES
0.0%
California
0.0%
Los
Angeles
Dept.
of
Airports,
Build
America,
6.582%,
5/15/39
3,140
3,419
3,419
Illinois
0.0%
Illinois,
Build
America,
GO,
7.35%,
7/1/35
3,347
3,669
3,669
Total
Municipal
Securities
(Cost
$6,862)
7,088
NON-U.S.
GOVERNMENT
MORTGAGE-BACKED
SECURITIES
2.7%
Collateralized
Mortgage
Obligations
1.0%
Bayview
Financing
Trust
Series
2024-2F,
Class
A,
CMO,
ARM,
8.10%,
9/25/29,
Acquisition
Date:
8/29/24,
Cost $21,967 (8)(10)
21,967
21,967
Par/Shares
$
Value
(Amounts
in
000s)
BINOM
Securitization
Trust
Series
2021-INV1,
Class
A1,
CMO,
ARM,
2.034%,
6/25/56 (1)
7,900
6,933
Chase
Home
Lending
Mortgage
Trust
Series
2024-RPL4,
Class
A1B,
CMO,
ARM,
3.375%,
12/25/64 (1)
2,451
2,186
Citigroup
Mortgage
Loan
Trust
Series
2022-INV1,
Class
A4B,
CMO,
ARM,
3.00%,
11/27/51 (1)
7,023
5,950
Connecticut
Avenue
Securities
Trust
Series
2022-R01,
Class
1M2,
CMO,
ARM,
SOFR30A
+
1.90%,
6.634%,
12/25/41 (1)
19,620
19,877
Flagstar
Mortgage
Trust
Series
2018-6RR,
Class
2A4,
CMO,
ARM,
4.00%,
9/25/48 (1)
603
586
Flagstar
Mortgage
Trust
Series
2020-1INV,
Class
A11,
CMO,
ARM,
1M
TSFR
+
0.964%,
5.552%,
3/25/50 (1)
3,359
3,172
Flagstar
Mortgage
Trust
Series
2021-5INV,
Class
A16,
CMO,
ARM,
2.50%,
7/25/51 (1)
9,002
7,328
Flagstar
Mortgage
Trust
Series
2021-8INV,
Class
A18,
CMO,
ARM,
2.50%,
9/25/51 (1)
8,099
6,592
Galton
Funding
Mortgage
Trust
Series
2018-1,
Class
A23,
CMO,
ARM,
3.50%,
11/25/57 (1)
682
616
Galton
Funding
Mortgage
Trust
Series
2018-2,
Class
A22,
CMO,
ARM,
4.00%,
10/25/58 (1)
1,369
1,277
GS
Mortgage-Backed
Securities
Trust
Series
2014-EB1A,
Class
2A1,
CMO,
ARM,
5.896%,
7/25/44 (1)
286
285
GS
Mortgage-Backed
Securities
Trust
Series
2020-INV1,
Class
A14,
CMO,
ARM,
2.913%,
10/25/50 (1)
14,734
12,627
Imperial
Fund
Mortgage
Trust
Series
2021-NQM2,
Class
A1,
CMO,
ARM,
1.073%,
9/25/56 (1)
10,420
8,607
JPMorgan
Mortgage
Trust
Series
2019-INV3,
Class
A3,
CMO,
ARM,
3.50%,
5/25/50 (1)
3,966
3,559
JPMorgan
Mortgage
Trust
Series
2020-INV1,
Class
A11,
CMO,
ARM,
1M
TSFR
+
0.944%,
5.532%,
8/25/50 (1)
2,070
1,956
JPMorgan
Mortgage
Trust
Series
2020-INV1,
Class
A3,
CMO,
ARM,
3.50%,
8/25/50 (1)
3,501
3,136
JPMorgan
Mortgage
Trust
Series
2020-LTV1,
Class
A15,
CMO,
ARM,
3.50%,
6/25/50 (1)
200
197
JPMorgan
Mortgage
Trust
Series
2020-LTV1,
Class
A3,
CMO,
ARM,
3.50%,
6/25/50 (1)
496
487
New
Residential
Mortgage
Loan
Trust
Series
2021-INV1,
Class
A4,
CMO,
ARM,
2.50%,
6/25/51 (1)
5,587
4,548
New
Residential
Mortgage
Loan
Trust
Series
2021-INV2,
Class
A4,
CMO,
ARM,
2.50%,
9/25/51 (1)
10,269
8,387
OBX
Trust
Series
2019-INV2,
Class
A25,
CMO,
ARM,
4.00%,
5/27/49 (1)
859
799
Par/Shares
$
Value
(Amounts
in
000s)
OBX
Trust
Series
2019-INV2,
Class
A5,
CMO,
ARM,
4.00%,
5/27/49 (1)
2,325
2,163
OBX
Trust
Series
2020-EXP1,
Class
1A8,
CMO,
ARM,
3.50%,
2/25/60 (1)
6,065
5,381
Sequoia
Mortgage
Trust
Series
2018-CH1,
Class
A2,
CMO,
ARM,
3.50%,
3/25/48 (1)
509
462
Sequoia
Mortgage
Trust
Series
2018-CH2,
Class
A3,
CMO,
ARM,
4.00%,
6/25/48 (1)
2,574
2,397
Sequoia
Mortgage
Trust
Series
2018-CH3,
Class
A2,
CMO,
ARM,
4.00%,
8/25/48 (1)
353
345
SG
Residential
Mortgage
Trust
Series
2019-3,
Class
A1,
CMO,
ARM,
2.703%,
9/25/59 (1)
97
97
Structured
Agency
Credit
Risk
Debt
Notes
Series
2024-DNA2,
Class
A1,
CMO,
ARM,
SOFR30A
+
1.25%,
5.984%,
5/25/44 (1)
11,945
11,957
Structured
Agency
Credit
Risk
Debt
Notes
Series
2024-HQA2,
Class
A1,
CMO,
ARM,
SOFR30A
+
1.25%,
5.984%,
8/25/44 (1)
15,580
15,605
Towd
Point
Mortgage
Trust
Series
2019-HY3,
Class
A1A,
CMO,
ARM,
1M
TSFR
+
1.114%,
5.702%,
10/25/59 (1)
2,599
2,653
Verus
Securitization
Trust
Series
2019-INV3,
Class
A3,
CMO,
ARM,
4.10%,
11/25/59 (1)
2,312
2,277
Verus
Securitization
Trust
Series
2022-1,
Class
A1,
CMO,
STEP,
2.724%,
1/25/67 (1)
5,058
4,636
Vista
Point
Securitization
Trust
Series
2020-2,
Class
A1,
CMO,
ARM,
1.475%,
4/25/65 (1)
1,536
1,435
170,480
Commercial
Mortgage-Backed
Securities
1.7%
BANK5
Series
2024-5YR10,
Class
A3,
5.302%,
10/15/57
5,050
5,120
BANK5
Series
2024-5YR10,
Class
AS,
5.637%,
10/15/57
2,590
2,633
BANK5
Series
2024-5YR12,
Class
A3,
ARM,
5.902%,
12/15/57
9,095
9,465
BANK5
Series
2024-5YR8,
Class
A3,
5.884%,
8/15/57
14,910
15,457
BBCMS
Mortgage
Trust
Series
2019-BWAY,
Class
D,
ARM,
1M
TSFR
+
2.274%,
6.883%,
11/15/34 (1)
10,230
154
BBCMS
Mortgage
Trust
Series
2024-5C27,
Class
A3,
6.014%,
7/15/57
4,935
5,137
BMO
Mortgage
Trust
Series
2024-5C5,
Class
A3,
5.857%,
2/15/57
40,445
41,819
Par/Shares
$
Value
(Amounts
in
000s)
BX
Commercial
Mortgage
Trust
Series
2024-MDHS,
Class
A,
ARM,
1M
TSFR
+
1.641%,
6.251%,
5/15/41 (1)
36,835
36,950
Cantor
Commercial
Real
Estate
Lending
Series
2019-CF2,
Class
B,
3.267%,
11/15/52
9,752
8,360
Citigroup
Commercial
Mortgage
Trust
Series
2019-C7,
Class
805A,
ARM,
3.917%,
12/15/72 (1)
12,000
5,056
Citigroup
Commercial
Mortgage
Trust
Series
2020-555,
Class
C,
3.031%,
12/10/41 (1)
8,370
7,045
Citigroup
Commercial
Mortgage
Trust
Series
2020-555,
Class
D,
3.233%,
12/10/41 (1)
5,500
4,523
CONE
Trust
Series
2024-DFW1,
Class
A,
ARM,
1M
TSFR
+
1.642%,
6.251%,
8/15/41 (1)
17,510
17,532
GS
Mortgage
Securities
Trust
Series
2019-GC40,
Class
B,
3.543%,
7/10/52
12,730
10,987
JPMorgan
Chase
Commercial
Mortgage
Securities
Trust
Series
2018-WPT,
Class
AFX,
4.248%,
7/5/33 (1)
9,825
9,182
JPMorgan
Chase
Commercial
Mortgage
Securities
Trust
Series
2018-WPT,
Class
BFX,
4.549%,
7/5/33 (1)
7,620
6,493
JPMorgan
Chase
Commercial
Mortgage
Securities
Trust
Series
2018-WPT,
Class
CFX,
4.95%,
7/5/33 (1)
11,395
9,042
MED
Commercial
Mortgage
Trust
Series
2024-MOB,
Class
A,
ARM,
1M
TSFR
+
1.592%,
6.201%,
5/15/41 (1)
13,149
13,116
NXPT
Commercial
Mortgage
Trust
Series
2024-STOR,
Class
A,
ARM,
4.455%,
11/5/41 (1)
5,070
4,886
SDR
Commercial
Mortgage
Trust
Series
2024-DSNY,
Class
A,
ARM,
1M
TSFR
+
1.392%,
6.001%,
5/15/39 (1)
24,450
24,358
TX
Trust
Series
2024-HOU,
Class
A,
ARM,
1M
TSFR
+
1.591%,
6.201%,
6/15/39 (1)
12,745
12,698
UBS
Commercial
Mortgage
Trust
Series
2018-C9,
Class
AS,
ARM,
4.318%,
3/15/51
7,230
6,729
VNDO
Trust
Series
2016-350P,
Class
D,
ARM,
4.033%,
1/10/35 (1)
8,849
8,393
WB
Commercial
Mortgage
Trust
Series
2024-HQ,
Class
A,
ARM,
6.134%,
3/15/40 (1)
13,100
13,211
Worldwide
Plaza
Trust
Series
2017-WWP,
Class
A,
3.526%,
11/10/36 (1)
19,849
13,561
291,907
Total
Non-U.S.
Government
Mortgage-Backed
Securities
(Cost
$512,632)
462,387
Par/Shares
$
Value
(Amounts
in
000s)
PREFERRED
STOCKS
0.0%
Insurance
0.0%
AH
Parent,
Series
A,
Acquisition
Date:
9/27/24,
Cost $1,719 (8)(10)
(11)
2
1,712
Total
Preferred
Stocks
(Cost
$1,719)
1,712
U.S.
GOVERNMENT
&
AGENCY
MORTGAGE-BACKED
SECURITIES
25.0%
U.S.
Government
Agency
Obligations
19.0%
Federal
Home
Loan
Mortgage
2.50%,
5/1/30
3,547
3,392
3.00%,
12/1/42
-
4/1/47
14,236
12,872
3.50%,
9/1/42
-
3/1/46
66,648
62,064
4.00%,
10/1/40
-
8/1/45
6,937
6,669
4.50%,
6/1/39
-
5/1/42
10,741
10,634
5.00%,
7/1/25
-
8/1/40
2,940
2,975
5.50%,
4/1/26
-
12/1/39
2,842
2,894
6.00%,
10/1/32
-
8/1/38
1,672
1,736
6.50%,
2/1/36
-
9/1/39
686
707
7.00%,
8/1/31
-
6/1/32
17
18
Federal
Home
Loan
Mortgage,
ARM
1Y
CMT
+
2.25%,
7.079%,
10/1/36
26
27
RFUCCT1Y
+
1.832%,
6.764%,
3/1/36
73
74
RFUCCT1Y
+
1.842%,
6.091%,
1/1/37
116
117
RFUCCT1Y
+
1.916%,
6.291%,
2/1/37
62
64
RFUCCT1Y
+
1.944%,
6.204%,
12/1/36
67
68
RFUCCT1Y
+
2.031%,
6.565%,
11/1/36
106
108
Federal
Home
Loan
Mortgage,
CMO,
IO,
2.00%,
2/25/51
44,547
5,822
Federal
Home
Loan
Mortgage,
CMO,
PO,
Zero
Coupon,
8/15/28
3
3
Federal
Home
Loan
Mortgage,
UMBS
1.50%,
2/1/36
24,393
21,410
2.00%,
8/1/36
-
5/1/52
249,088
204,674
2.50%,
4/1/37
-
9/1/52
265,520
225,960
3.00%,
7/1/34
-
8/1/52
80,568
72,797
3.50%,
11/1/47
-
11/1/52
55,215
50,532
4.00%,
6/1/37
-
2/1/50
25,981
24,835
4.50%,
9/1/37
-
11/1/52
56,297
54,194
5.00%,
8/1/52
-
7/1/54
35,386
34,779
5.50%,
8/1/53
-
9/1/54
68,002
68,201
6.00%,
6/1/54
-
9/1/54
20,308
20,666
6.50%,
1/1/54
2,208
2,261
Par/Shares
$
Value
(Amounts
in
000s)
7.00%,
6/1/54
6,004
6,266
Federal
National
Mortgage
Assn.
3.00%,
8/1/43
-
8/1/46
5,329
4,770
3.50%,
6/1/42
-
5/1/46
40,253
37,354
4.00%,
11/1/40
6,849
6,646
Federal
National
Mortgage
Assn.,
ARM
RFUCCT1Y
+
1.34%,
5.59%,
12/1/35
61
61
RFUCCT1Y
+
1.589%,
6.794%,
7/1/36
166
171
RFUCCT1Y
+
1.655%,
7.529%,
8/1/37
43
43
RFUCCT1Y
+
1.871%,
7.812%,
8/1/36
108
109
Federal
National
Mortgage
Assn.,
CMO,
IO
2.00%,
4/25/52
12,232
1,536
6.50%,
2/25/32
18
2
Federal
National
Mortgage
Assn.,
UMBS
1.50%,
2/1/37
-
1/1/42
52,059
44,265
2.00%,
11/1/35
-
7/1/52
864,336
710,498
2.50%,
5/1/30
-
9/1/52
472,059
403,259
3.00%,
6/1/27
-
4/1/52
323,296
292,221
3.50%,
11/1/32
-
3/1/52
93,132
86,845
4.00%,
7/1/35
-
12/1/52
156,552
149,813
4.50%,
7/1/39
-
7/1/52
91,060
89,192
5.00%,
3/1/25
-
9/1/53
98,483
97,792
5.50%,
4/1/34
-
5/1/54
113,036
113,557
6.00%,
11/1/32
-
8/1/54
200,232
204,106
6.50%,
8/1/27
-
5/1/54
57,896
59,624
7.00%,
10/1/29
-
3/1/54
5,976
6,233
UMBS,
TBA (12)
5.00%,
12/1/54
40,980
40,209
5.50%,
12/1/54
12,730
12,715
6.50%,
12/1/54
56,435
57,772
3,315,612
U.S.
Government
Obligations
6.0%
Government
National
Mortgage
Assn.
1.50%,
8/20/36
-
6/20/37
9,352
8,217
2.00%,
1/20/51
-
3/20/52
204,377
168,009
2.50%,
8/20/50
-
3/20/52
248,891
212,784
3.00%,
9/15/42
-
6/20/52
160,046
142,744
3.50%,
9/15/41
-
7/20/52
134,129
124,237
4.00%,
2/20/41
-
10/20/52
99,928
94,722
4.50%,
7/15/26
-
4/20/53
82,648
80,355
5.00%,
9/15/33
-
6/20/48
32,112
32,338
5.50%,
10/20/32
-
3/20/49
13,641
13,967
6.00%,
1/20/34
-
11/20/52
23,944
24,394
Par/Shares
$
Value
(Amounts
in
000s)
6.50%,
3/15/26
-
12/15/31
27
28
7.00%,
5/20/28
-
11/20/28
8
8
7.50%,
7/15/28
-
8/15/28
29
29
8.00%,
9/15/27
-
10/15/27
58
59
8.50%,
9/20/26
—
—
Government
National
Mortgage
Assn.,
CMO
3.00%,
11/20/47
-
12/20/47
2,690
2,459
3.50%,
10/20/50
9,510
8,021
Government
National
Mortgage
Assn.,
CMO,
IO
2.00%,
12/20/50
48,675
5,846
3.50%,
5/20/43
2,551
384
4.00%,
2/20/43
1,828
182
Government
National
Mortgage
Assn.,
TBA (12)
5.00%,
12/20/54
40,940
40,345
5.50%,
12/20/54
84,225
84,299
6.00%,
12/20/54
7,920
7,999
1,051,426
Total
U.S.
Government
&
Agency
Mortgage-Backed
Securities
(Cost
$4,599,677)
4,367,038
U.S.
GOVERNMENT
AGENCY
OBLIGATIONS
(EXCLUDING
MORTGAGE-BACKED)
30.4%
U.S.
Treasury
Obligations
30.4%
U.S.
Treasury
Bonds,
1.125%,
5/15/40
37,775
23,964
U.S.
Treasury
Bonds,
3.375%,
8/15/42
300,420
260,708
U.S.
Treasury
Bonds,
3.875%,
2/15/43
159,815
148,129
U.S.
Treasury
Bonds,
4.00%,
11/15/42
304,955
288,278
U.S.
Treasury
Bonds,
4.25%,
2/15/54
236,045
230,513
U.S.
Treasury
Bonds,
4.25%,
8/15/54
245,845
240,467
U.S.
Treasury
Bonds,
4.50%,
2/15/44
435,950
437,040
U.S.
Treasury
Bonds,
4.625%,
5/15/44
25,840
26,316
U.S.
Treasury
Bonds,
4.625%,
5/15/54
20,665
21,475
U.S.
Treasury
Notes,
0.625%,
12/31/27
106,375
95,704
U.S.
Treasury
Notes,
1.50%,
1/31/27
308,150
291,202
U.S.
Treasury
Notes,
3.25%,
6/30/27
224,195
219,396
U.S.
Treasury
Notes,
3.50%,
9/30/29 (7)
51,240
49,927
U.S.
Treasury
Notes,
3.625%,
8/31/29
153,940
150,885
U.S.
Treasury
Notes,
3.875%,
11/30/27
212,795
211,332
U.S.
Treasury
Notes,
3.875%,
8/15/34
144,010
140,320
U.S.
Treasury
Notes,
4.00%,
10/31/29
30,180
30,048
U.S.
Treasury
Notes,
4.125%,
10/31/26 (7)
271,995
271,613
U.S.
Treasury
Notes,
4.125%,
9/30/27
228,435
228,435
U.S.
Treasury
Notes,
4.125%,
10/31/27
7,870
7,872
Par/Shares
$
Value
(Amounts
in
000s)
U.S.
Treasury
Notes,
4.125%,
10/31/29 (7)(13)
283,815
284,258
U.S.
Treasury
Notes,
4.375%,
5/15/34
660,420
669,501
U.S.
Treasury
Notes,
4.50%,
5/15/27
113,000
113,901
U.S.
Treasury
Notes,
4.625%,
9/15/26 (13)
502,567
506,022
U.S.
Treasury
Notes,
4.625%,
10/15/26 (13)
346,295
348,838
Total
U.S.
Government
Agency
Obligations
(Excluding
Mortgage-Backed)
(Cost
$5,321,420)
5,296,144
SHORT-TERM
INVESTMENTS
2.5%
Money
Market
Funds
2.5%
T.
Rowe
Price
Government
Reserve
Fund,
4.67% (4)(14)
432,185
432,185
Total
Short-Term
Investments
(Cost
$432,185)
432,185
SECURITIES
LENDING
COLLATERAL
4.3%
INVESTMENTS
IN
A
POOLED
ACCOUNT
THROUGH
SECURITIES
LENDING
PROGRAM
WITH
JPMORGAN
CHASE
BANK 0.1%
Money
Market
Funds 0.1%
T.
Rowe
Price
Government
Reserve
Fund,
4.67% (4)(14)
8,359
8,359
Total
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
JPMorgan
Chase
Bank
8,359
INVESTMENTS
IN
A
POOLED
ACCOUNT
THROUGH
SECURITIES
LENDING
PROGRAM
WITH
STATE
STREET
BANK
AND
TRUST
COMPANY 4.2%
Money
Market
Funds 4.2%
T.
Rowe
Price
Government
Reserve
Fund,
4.67% (4)(14)
736,455
736,456
Total
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
State
Street
Bank
and
Trust
Company
736,456
Total
Securities
Lending
Collateral
(Cost
$744,815)
744,815
(Amounts
in
000s,
except
for
contracts)
OPTIONS
PURCHASED 0.0%
OTC
Options
Purchased 0.0%
Counterparty
Description
Contracts
Notional
Amount
$
Value
Morgan
Stanley
10
Year
Interest
Rate
Swap,
3/28/35
Pay
Fixed
4.00%
Annually,
Receive
Variable
4.59%
(SOFR)
Annually,
3/26/25
@
4.00%* (11)
1
354,000
3,031
Morgan
Stanley
30
Year
Interest
Rate
Swap,
3/17/55
Pay
Fixed
4.00%
Annually,
Receive
Variable
4.59%
(SOFR)
Annually,
3/13/25
@
4.00%* (11)
1
178,000
1,690
Total
Options
Purchased
(Cost
$3,406)
4,721
Total
Investments
in
Securities
105.3%
of
Net
Assets
(Cost
$18,713,097)
$
18,372,484
‡
Par/Shares
and
Notional
Amount
are
denominated
in
U.S.
dollars
unless
otherwise
noted.
*
Exercise
Spread
(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
$3,099,391
and
represents
17.8%
of
net
assets.
(2)
All
or
a
portion
of
this
loan
is
unsettled
as
of
November
30,
2024.
The
interest
rate
for
unsettled
loans
will
be
determined
upon
settlement
after
period
end.
(3)
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.
(4)
Affiliated
Companies
(5)
SEC
30-day
yield
(6)
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.
(7)
See
Note
4
.
All
or
a
portion
of
this
security
is
on
loan
at
November
30,
2024.
(8)
See
Note
2.
Level
3
in
fair
value
hierarchy.
(9)
Perpetual
security
with
no
stated
maturity
date.
.
.
.
.
.
.
.
.
.
.
(10)
Security
cannot
be
offered
for
public
resale
without
first
being
registered
under
the
Securities
Act
of
1933
and
related
rules
("restricted
security").
Acquisition
date
represents
the
day
on
which
an
enforceable
right
to
acquire
such
security
is
obtained
and
is
presented
along
with
related
cost
in
the
security
description.
The
fund
may
have
registration
rights
for
certain
restricted
securities.
Any
costs
related
to
such
registration
are
generally
borne
by
the
issuer.
The
aggregate
value
of
restricted
securities
(excluding
144A
holdings)
at
period
end
amounts
to
$40,279
and
represents
0.2%
of
net
assets.
(11)
Non-income
producing
(12)
See
Note
4.
To-Be-Announced
purchase
commitment.
Total
value
of
such
securities
at
period-end
amounts
to
$243,339
and
represents
1.4%
of
net
assets.
(13)
At
November
30,
2024,
all
or
a
portion
of
this
security
is
pledged
as
collateral
and/or
margin
deposit
to
cover
future
funding
obligations.
(14)
Seven-day
yield
1M
TSFR
One
month
term
SOFR
(Secured
overnight
financing
rate)
3M
TSFR
Three
month
term
SOFR
(Secured
overnight
financing
rate)
6M
TSFR
Six
month
Term
SOFR
(Secured
overnight
financing
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
CHF
Swiss
Franc
CLO
Collateralized
Loan
Obligation
CMO
Collateralized
Mortgage
Obligation
EUR
Euro
FRN
Floating
Rate
Note
GBP
British
Pound
GO
General
Obligation
IO
Interest-only
security
for
which
the
fund
receives
interest
on
notional
principal
JPY
Japanese
Yen
NOK
Norwegian
Krone
NZD
New
Zealand
Dollar
OTC
Over-the-counter
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
SEK
Swedish
Krona
SOFR
Secured
overnight
financing
rate
SOFR30A
30-day
Average
SOFR
(Secured
overnight
financing
rate)
.
.
.
.
.
.
.
.
.
.
SONIA
Sterling
Overnight
Index
Average
STEP
Stepped
coupon
bond
for
which
the
coupon
rate
of
interest
adjusts
on
specified
date(s);
rate
shown
is
effective
rate
at
period-end.
TBA
To-Be-Announced
UMBS
Uniform
Mortgage-Backed
Securities
USD
U.S.
Dollar
VR
Variable
Rate;
rate
shown
is
effective
rate
at
period-end.
The
rates
for
certain
variable
rate
securities
are
not
based
on
a
published
reference
rate
and
spread
but
are
determined
by
the
issuer
or
agent
and
based
on
current
market
conditions.
(Amounts
in
000s)
SWAPS
0.1%
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
**
Unrealized
$
Gain/(Loss)
BILATERAL
SWAPS
0.0%
Total
Return
Swaps
0.0%
JPMorgan
Chase,
Receive
Underlying
Reference:
iBoxx
USD
Liquid
High
Yield
Index
at
Maturity,
Pay
Variable
4.823%
(SOFR
+
0.00%)
at
Maturity,
12/20/24
43,500
270
(245)
515
Morgan
Stanley,
Receive
Underlying
Reference:
iBoxx
USD
Liquid
High
Yield
Index
at
Maturity,
Pay
Variable
4.823%
(SOFR
+
0.00%)
at
Maturity,
12/20/24
43,400
228
(269)
497
Morgan
Stanley,
Receive
Underlying
Reference:
iBoxx
USD
Liquid
Investment
Grade
Index
at
Maturity,
Pay
Variable
4.823%
(SOFR
+
0.00%)
at
Maturity,
12/20/24
95,211
496
(582)
1,078
Total
Bilateral
Total
Return
Swaps
(1,096)
2,090
Total
Bilateral
Swaps
(1,096)
2,090
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:
Freeport-McMoRan,
Baa2*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
6/20/29
*
27,140
341
(24)
365
Protection
Sold
(Relevant
Credit:
Markit
CDX.NA.IG-S43,
5
Year
Index),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
12/20/29
441,400
11,414
10,034
1,380
Protection
Sold
(Relevant
Credit:
Markit
iTraxx
Europe-S42,
5
Year
Index),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
12/20/29
(EUR)
160,248
3,895
3,800
95
Total
Centrally
Cleared
Credit
Default
Swaps,
Protection
Sold
1,840
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Initial
$
Value**
Unrealized
$
Gain/(Loss)
Interest
Rate
Swaps
0.0%
2
Year
Interest
Rate
Swap,
Receive
Fixed
4.253%
Annually,
Pay
Variable
4.707%
(GBP
SONIA)
Annually,
11/9/26
(GBP)
345,940
767
—
767
Total
Centrally
Cleared
Interest
Rate
Swaps
767
Total
Centrally
Cleared
Swaps
2,607
Net
payments
(receipts)
of
variation
margin
to
date
(2,155)
Variation
margin
receivable
(payable)
on
centrally
cleared
swaps
$
452
*
Credit
ratings
as
of
November
30,
2024.
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
$(636).
(Amounts
in
000s)
FORWARD
CURRENCY
EXCHANGE
CONTRACTS
Counterparty
Settlement
Receive
Deliver
Unrealized
Gain/(Loss)
Bank
of
America
1/24/25
NZD
1,160
USD
695
$
(8)
Barclays
Bank
1/24/25
CHF
883
USD
1,028
(19)
Barclays
Bank
1/24/25
JPY
157,519
USD
1,034
27
Barclays
Bank
1/24/25
JPY
1,435,710
USD
9,694
(26)
Barclays
Bank
1/24/25
NZD
5,377
USD
3,206
(20)
Barclays
Bank
1/24/25
USD
1,659
CHF
1,422
34
Barclays
Bank
2/21/25
GBP
11,961
USD
15,082
134
BNP
Paribas
2/21/25
USD
1,032
EUR
975
(3)
Citibank
1/24/25
AUD
1,886
USD
1,244
(13)
Deutsche
Bank
1/24/25
AUD
5,795
USD
3,814
(33)
Deutsche
Bank
1/24/25
JPY
269,175
USD
1,820
(8)
Deutsche
Bank
1/24/25
NOK
21,037
USD
1,905
1
Deutsche
Bank
1/24/25
NOK
125,509
USD
11,511
(142)
Deutsche
Bank
1/24/25
USD
1,452
NZD
2,428
12
Deutsche
Bank
1/24/25
USD
2,118
NZD
3,623
(29)
Deutsche
Bank
2/21/25
EUR
19,078
USD
20,206
32
Deutsche
Bank
2/21/25
USD
359,157
EUR
339,112
(573)
Goldman
Sachs
1/24/25
USD
2,332
CAD
3,250
6
Goldman
Sachs
2/21/25
USD
2,106
GBP
1,677
(27)
HSBC
Bank
1/24/25
CAD
2,532
USD
1,823
(10)
HSBC
Bank
1/24/25
USD
1,120
AUD
1,733
(11)
JPMorgan
Chase
1/24/25
AUD
1,012
USD
668
(7)
JPMorgan
Chase
1/24/25
USD
1,810
JPY
277,834
(61)
Morgan
Stanley
1/24/25
NZD
16,816
USD
10,210
(244)
Morgan
Stanley
1/24/25
USD
1,902
CHF
1,657
8
Standard
Chartered
2/28/25
USD
4,431
SEK
48,516
(46)
State
Street
2/21/25
USD
657
EUR
619
—
Toronto-Dominion
Bank
1/24/25
CAD
1,118
USD
811
(11)
UBS
Investment
Bank
1/24/25
JPY
1,071,642
USD
7,228
(12)
UBS
Investment
Bank
1/24/25
USD
1,194
AUD
1,808
15
UBS
Investment
Bank
1/24/25
USD
1,744
AUD
2,681
(5)
UBS
Investment
Bank
1/24/25
USD
807
CAD
1,118
7
UBS
Investment
Bank
1/24/25
USD
27,607
CHF
23,622
614
UBS
Investment
Bank
1/24/25
USD
1,554
JPY
234,447
(25)
UBS
Investment
Bank
1/24/25
USD
851
NOK
9,375
2
UBS
Investment
Bank
1/24/25
USD
2,339
NOK
25,864
(4)
UBS
Investment
Bank
1/24/25
USD
1,562
NZD
2,574
37
Net
unrealized
gain
(loss)
on
open
forward
currency
exchange
contracts
$
(408)
FUTURES
CONTRACTS
($000s)
Expiration
Date
Notional
Amount
Value
and
Unrealized
Gain
(Loss)
Long,
724
Commonwealth
of
Australia
ten
year
bond
contracts
12/24
53,487
$
(1,808)
Short,
2,042
Euro
BOBL
contracts
12/24
(258,622)
(3,037)
Short,
1,200
Euro
BUND
contracts
12/24
(170,915)
(2,769)
Long,
325
U.K.
Gilt
ten
year
contracts
3/25
39,655
474
Short,
101
U.S.
Treasury
Long
Bond
contracts
3/25
(12,070)
(154)
Long,
9,631
U.S.
Treasury
Notes
five
year
contracts
3/25
1,036,311
8,113
Long,
5,442
U.S.
Treasury
Notes
ten
year
contracts
3/25
605,082
4,257
Short,
608
U.S.
Treasury
Notes
two
year
contracts
3/25
(125,315)
(386)
Long,
4,184
Ultra
U.S.
Treasury
Bonds
contracts
3/25
532,153
8,470
Short,
4,628
Ultra
U.S.
Treasury
Notes
ten
year
contracts
3/25
(531,280)
(8,937)
Net
payments
(receipts)
of
variation
margin
to
date
(1,841)
Variation
margin
receivable
(payable)
on
open
futures
contracts
$
2,382
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,
2024.
Net
realized
gain
(loss),
investment
income,
change
in
net
unrealized
gain/loss,
and
purchase
and
sales
cost
reflect
all
activity
for
the
period
then
ended.
Affiliate
Net
Realized
Gain
(Loss)
Change
in
Net
Unrealized
Gain/Loss
Investment
Income
T.
Rowe
Price
Institutional
Floating
Rate
Fund
-
Z
Class,
7.97%
$
—
$
1
$
15
T.
Rowe
Price
Government
Reserve
Fund,
4.67%
—
—
14,917++
Totals
$
—#
$
1
$
14,932+
Supplementary
Investment
Schedule
Affiliate
Value
5/31/24
Purchase
Cost
Sales
Cost
Value
11/30/24
T.
Rowe
Price
Institutional
Floating
Rate
Fund
-
Z
Class,
7.97%
$
322
$
15
$
—
$
338
T.
Rowe
Price
Government
Reserve
Fund,
4.67%
691,715
¤
¤
1,177,000
Total
$
1,177,338^
#
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
$14,932
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
$1,177,314.
T.
ROWE
PRICE
New
Income
Fund
November
30,
2024
(Unaudited)
Statement
of
Assets
and
Liabilities
($000s,
except
shares
and
per
share
amounts)
Assets
Investments
in
securities,
at
value
(cost
$18,713,097)
$
18,372,484
Receivable
for
investment
securities
sold
430,131
Interest
receivable
128,334
Due
from
affiliates
3,496
Receivable
for
shares
sold
2,625
Variation
margin
receivable
on
futures
contracts
2,382
Unrealized
gain
on
bilateral
swaps
2,090
Cash
1,116
Unrealized
gain
on
forward
currency
exchange
contracts
929
Variation
margin
receivable
on
centrally
cleared
swaps
452
Foreign
currency
(cost
$419)
420
Other
assets
3,423
Total
assets
18,947,882
Liabilities
Obligation
to
return
securities
lending
collateral
746,287
Payable
for
investment
securities
purchased
740,483
Payable
for
shares
redeemed
6,994
Investment
management
fees
payable
4,452
Unrealized
loss
on
forward
currency
exchange
contracts
1,337
Bilateral
swap
premiums
received
1,096
Payable
to
directors
9
Other
liabilities
462
Total
liabilities
1,501,120
Commitments
and
Contingent
Liabilities
(note
6
)
NET
ASSETS
$
17,446,762
T.
ROWE
PRICE
New
Income
Fund
November
30,
2024
(Unaudited)
Statement
of
Assets
and
Liabilities
($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)
$
(3,023,968)
Paid-in
capital
applicable
to
2,175,987,450
shares
of
$1.00
par
value
capital
stock
outstanding;
12,000,000,000
shares
authorized
20,470,730
NET
ASSETS
$
17,446,762
NET
ASSET
VALUE
PER
SHARE
Investor
Class
(Net
assets:
$634,084;
Shares
outstanding:
79,052,543)
$
8.02
Advisor
Class
(Net
assets:
$7,562;
Shares
outstanding:
944,947)
$
8.00
R
Class
(Net
assets:
$916;
Shares
outstanding:
114,174)
$
8.02
I
Class
(Net
assets:
$2,597,233;
Shares
outstanding:
323,950,922)
$
8.02
Z
Class
(Net
assets:
$14,206,967;
Shares
outstanding:
1,771,924,864)
$
8.02
T.
ROWE
PRICE
New
Income
Fund
(Unaudited)
6
Months
Ended
11/30/24
Investment
Income
(Loss)
Income
.
Interest
$
400,603
Dividend
14,932
Securities
lending
193
Other
16
Total
income
415,744
Expenses
Investment
management
27,105
Shareholder
servicing
Investor
Class
$
807
Advisor
Class
31
R
Class
2
I
Class
402
1,242
Rule
12b-1
fees
Advisor
Class
10
R
Class
2
12
Prospectus
and
shareholder
reports
Investor
Class
22
I
Class
3
Z
Class
1
26
Custody
and
accounting
290
Registration
59
Directors
28
Legal
and
audit
19
Miscellaneous
36
Waived
/
paid
by
Price
Associates
(22,657)
Total
expenses
6,160
Net
investment
income
409,584
T.
ROWE
PRICE
New
Income
Fund
(Unaudited)
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
6
Months
Ended
11/30/24
Realized
and
Unrealized
Gain
/
Loss
–
Net
realized
gain
(loss)
Securities
(6,069)
Futures
(22,896)
Swaps
194
Options
written
10,857
Forward
currency
exchange
contracts
17,172
Foreign
currency
transactions
697
Net
realized
loss
(45)
Change
in
net
unrealized
gain
/
loss
Securities
344,043
Futures
11,549
Swaps
3,800
Options
written
31,605
Forward
currency
exchange
contracts
(71)
Other
assets
and
liabilities
denominated
in
foreign
currencies
(140)
Change
in
net
unrealized
gain
/
loss
390,786
Net
realized
and
unrealized
gain
/
loss
390,741
INCREASE
IN
NET
ASSETS
FROM
OPERATIONS
$
800,325
T.
ROWE
PRICE
New
Income
Fund
(Unaudited)
Statement
of
Changes
in
Net
Assets
6
Months
Ended
11/30/24
Year
Ended
5/31/24
Increase
(Decrease)
in
Net
Assets
Operations
Net
investment
income
$
409,584
$
735,798
Net
realized
loss
(45)
(623,111)
Change
in
net
unrealized
gain
/
loss
390,786
85,580
Increase
in
net
assets
from
operations
800,325
198,267
Distributions
to
shareholders
Net
earnings
Investor
Class
(15,761)
(31,917)
Advisor
Class
(154)
(312)
R
Class
(19)
(36)
I
Class
(58,530)
(108,732)
Z
Class
(339,195)
(601,311)
Decrease
in
net
assets
from
distributions
(413,659)
(742,308)
Capital
share
transactions
*
Shares
sold
Investor
Class
45,004
88,418
Advisor
Class
382
751
R
Class
75
205
I
Class
229,512
563,765
Z
Class
1,080,667
2,671,232
Distributions
reinvested
Investor
Class
14,891
30,533
Advisor
Class
151
307
R
Class
19
36
I
Class
55,832
105,199
Z
Class
337,297
605,052
Shares
redeemed
Investor
Class
(156,942)
(194,789)
Advisor
Class
(922)
(2,198)
R
Class
(249)
(173)
I
Class
(308,284)
(682,641)
Z
Class
(824,303)
(1,902,211)
Increase
in
net
assets
from
capital
share
transactions
473,130
1,283,486
T.
ROWE
PRICE
New
Income
Fund
(Unaudited)
Statement
of
Changes
in
Net
Assets
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
6
Months
Ended
11/30/24
Year
Ended
5/31/24
Net
Assets
Increase
during
period
859,796
739,445
Beginning
of
period
16,586,966
15,847,521
End
of
period
$
17,446,762
$
16,586,966
*Share
information
(000s)
Shares
sold
Investor
Class
5,585
11,176
Advisor
Class
48
95
R
Class
9
26
I
Class
28,415
71,644
Z
Class
134,983
338,515
Distributions
reinvested
Investor
Class
1,854
3,872
Advisor
Class
19
39
R
Class
2
4
I
Class
6,954
13,352
Z
Class
42,008
76,787
Shares
redeemed
Investor
Class
(19,601)
(24,713)
Advisor
Class
(115)
(279)
R
Class
(30)
(22)
I
Class
(38,451)
(86,380)
Z
Class
(102,765)
(241,018)
Increase
in
shares
outstanding
58,915
163,098
T.
ROWE
PRICE
New
Income
Fund
Unaudited
NOTES
TO
FINANCIAL
STATEMENTS
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
income. Inflation
adjustments
to
the
principal
amount
of
inflation-indexed
bonds
are
reflected
as
interest
income. Income
tax-related
interest
and
penalties,
if
incurred,
are
recorded
as
income
tax
expense. Dividends
received
from other
investment
companies are
reflected
as
dividend income;
capital
gain
distributions
are
reflected
as
realized
gain/loss. Dividend
income and
capital
gain
distributions
are
recorded
on
the
ex-dividend
date. Earnings
on
investments
recognized
as
partnerships
for
federal
income
tax
purposes
reflect
the
tax
character
of
such
earnings. 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.
Eastern
time,
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
In
November
2023,
the
FASB
issued
Accounting
Standards
Update
(ASU),
ASU
2023-07,
Segment
Reporting
(Topic
280)
–
Improvements
to
Reportable
Segment
Disclosures,
which
improves
reportable
segment
disclosure
requirements,
primarily
through
enhanced
disclosures
about
segment
expenses.
In
addition,
the
ASU
clarifies
that
a
public
entity
with
a
single
reportable
segment
provide
all
disclosures
required
by
the
ASU
and
all
existing
segment
disclosures
in
Topic
280.
The
amendments
under
this
ASU
are
effective
for
fiscal
years
beginning
after
December
15,
2023.
Management
expects
that
adoption
of
the
guidance
will
not
have
a
material
impact
on
the
fund’s
financial
statements.
In December
2023,
the
FASB
issued
Accounting
Standards
Update
(ASU),
ASU
2023-09,
Income
Taxes
(Topic
740)
–
Improvements
to
Income
Taxes
Disclosures,
which
enhances
the
transparency
of
income
tax
disclosures.
The
ASU
requires
public
entities,
on
an
annual
basis,
to
provide
disclosure
of
specific
categories
in
the
rate
reconciliation,
as
well
as
disclosure
of
income
taxes
paid
disaggregated
by
jurisdiction.
The
amendments
under
this
ASU
are
required
to
be
applied
prospectively
and
are
effective
for
fiscal
years
beginning
after
December
15,
2024.
Management
expects
that
adoption
of
the
guidance
will
not
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)
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.
Equity
securities,
including
exchange-traded
funds, listed
or
regularly
traded
on
a
securities
exchange
or
in
the
over-the-counter
(OTC)
market
are
valued
at
the
last
quoted
sale
price
or,
for
certain
markets,
the
official
closing
price
at
the
time
the
valuations
are
made.
OTC
Bulletin
Board
securities
are
valued
at
the
mean
of
the
closing
bid
and
asked
prices.
A
security
that
is
listed
or
traded
on
more
than
one
exchange
is
valued
at
the
quotation
on
the
exchange
determined
to
be
the
primary
market
for
such
security.
Listed
securities
not
traded
on
a
particular
day
are
valued
at
the
mean
of
the
closing
bid
and
asked
prices
for
domestic
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
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,
2024
(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
$
—
$
11,972,705
$
—
$
11,972,705
Bond
Mutual
Funds
338
—
—
338
Corporate
Bonds
—
4,713,537
40,084
4,753,621
Non-U.S.
Government
Mortgage-Backed
Securities
—
440,420
21,967
462,387
Preferred
Stocks
—
—
1,712
1,712
Short-Term
Investments
432,185
—
—
432,185
Securities
Lending
Collateral
744,815
—
—
744,815
Options
Purchased
—
4,721
—
4,721
Total
Securities
1,177,338
17,131,383
63,763
18,372,484
Swaps*
—
3,601
—
3,601
Forward
Currency
Exchange
Contracts
—
929
—
929
Futures
Contracts*
21,314
—
—
21,314
Total
$
1,198,652
$
17,135,913
$
63,763
$
18,398,328
Liabilities
Forward
Currency
Exchange
Contracts
—
1,337
—
1,337
Futures
Contracts*
17,091
—
—
17,091
Total
$
17,091
$
1,337
$
—
$
18,428
1
Includes
Asset-Backed
Securities,
Bank
Loans,
Foreign
Government
Obligations
&
Municipalities,
Municipal
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.
NOTE
3
-
DERIVATIVE
INSTRUMENTS
During
the
six
months ended
November
30,
2024,
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
or
delivery
of
cash
or
other
assets.
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,
2024,
and
the
related
location
on
the
accompanying
Statement
of
Assets
and
Liabilities,
presented
by
primary
underlying
risk
exposure:
($000s)
Location
on
Statement
of
Assets
and
Liabilities
Fair
Value*
Assets
Interest
rate
derivatives
Centrally
Cleared
Swaps,
Futures,
Securities^
$
26,802
Foreign
exchange
derivatives
Forwards
929
Credit
derivatives
Bilateral
Swaps
and
Premiums,
Centrally
Cleared
Swaps
2,834
^
,*
Total
$
30,565
^
,*
Liabilities
Interest
rate
derivatives
Futures
$
17,091
Foreign
exchange
derivatives
Forwards
1,337
Total
$
18,428
*
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.
Additionally,
the
amount
of
gains
and
losses
on
derivative
instruments
recognized
in
fund
earnings
during
the
six
months ended
November
30,
2024,
and
the
related
location
on
the
accompanying
Statement
of
Operations
is
summarized
in
the
following
table
by
primary
underlying
risk
exposure:
($000s)
Location
of
Gain
(Loss)
on
Statement
of
Operations
Securities^
Options
Written
Futures
Forward
Currency
Exchange
Contracts
Swaps
Total
Realized
Gain
(Loss)
Inflation
derivatives
$
—
$
—
$
—
$
—
$
1,374
$
1,374
Interest
rate
derivatives
(28,117)
9,993
(22,896)
—
—
(41,020)
Foreign
exchange
derivatives
—
—
—
17,172
—
17,172
Credit
derivatives
(2,421)
864
—
—
(1,180)
(2,737)
Total
$
(30,538)
$
10,857
$
(22,896)
$
17,172
$
194
$
(25,211)
Change
in
Unrealized
Gain
(Loss)
Interest
rate
derivatives
$
3,595
$
31,605
$
11,549
$
—
$
767
$
47,516
Foreign
exchange
derivatives
—
—
—
(71)
—
(71)
Credit
derivatives
—
—
—
—
3,033
3,033
Total
$
3,595
$
31,605
$
11,549
$
(71)
$
3,800
$
50,478
^
Options
purchased
are
reported
as
securities.
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.
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,
2024,
securities
valued
at $900,000 had
been
pledged
or
posted
by
the
fund
to
counterparties
for
bilateral
derivatives. As
of
November
30,
2024,
collateral
pledged
by
counterparties
to
the
fund
for
bilateral
derivatives
consisted
of $6,195,000 cash
and
securities
valued
at
$1,040,000. As
of
November
30,
2024,
securities
valued
at $87,869,000
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,
2024,
the
volume
of
the
fund’s
activity
in
forwards,
based
on
underlying
notional
amounts,
was
generally
between
0%
and
3%
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,
and
mortgage
prepayments;
as
an
efficient
means
of
adjusting
exposure
to
all
or
part
of
a
target
market;
as
a
cash
management
tool;
or
to
adjust
portfolio
duration. 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
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,
2024,
the
volume
of
the
fund’s
activity
in
futures,
based
on
underlying
notional
amounts,
was
generally
between
16%
and
29%
of
net
assets.
Options
The
fund
is
subject
to interest
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,
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
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
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,
2024,
the
volume
of
the
fund’s
activity
in
options,
based
on
underlying
notional
amounts,
was
generally
between
0%
and
43%
of
net
assets.
Swaps
The
fund
is
subject
to
interest
rate
risk,
credit
risk
and
inflation
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.
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,
2024,
the
notional
amount
of
protection
sold
by
the
fund
totaled $637,882,000
(3.7%
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.
Zero-coupon
inflation
swaps
are
agreements
to
exchange
cash
flows,
on
the
contract’s
maturity
date,
based
on
the
difference
between
a
predetermined
fixed
rate
and
the
cumulative
change
in
the
consumer
price
index,
both
applied
to
a
notional
principal
amount
for
a
specified
period
of
time.
Risks
related
to
the
use
of
zero-coupon
inflation
swaps
include
the
potential
for
unanticipated
movements
in
inflation
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.
Total
return
swaps
are
agreements
in
which
one
party
makes
payments
based
on
a
set
rate,
either
fixed
or
variable,
while
the
other
party
makes
payments
based
on
the
return
of
an
underlying
asset
(reference
asset),
such
as
an
index,
equity
security,
fixed
income
security
or
commodity-based
exchange-
traded
fund,
which
includes
both
the
income
it
generates
and
any
change
in
its
value.
Risks
related
to
the
use
of
total
return
swaps
include
the
potential
for
unfavorable
changes
in
the
reference
asset,
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,
2024,
the
volume
of
the
fund’s
activity
in
swaps,
based
on
underlying
notional
amounts,
was
generally
between
6%
and
16%
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
“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
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,
2024,
securities
valued
at
$1,388,000 had
been
posted
by
the
fund
to
counterparties
for
MSFTA
Transactions. Collateral
pledged
by
counterparties
to
the
fund
for
MSFTA
Transactions
consisted
of $467,000
cash
and
securities
valued
at
$2,448,000
as
of
November
30,
2024.
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.
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,
2024,
the
value
of
loaned
securities
was
$728,335,000;
the
value
of
cash
collateral
and
related
investments
was
$746,287,000.
Other
Purchases
and
sales
of
portfolio
securities
other
than
in-kind
transactions,
if
any, short-term
and
U.S.
government securities
aggregated $2,771,204,000 and
$1,980,259,000,
respectively,
for
the
six
months ended
November
30,
2024. Purchases
and
sales
of
U.S.
government
securities
aggregated $7,291,563,000 and
$7,688,102,000,
respectively,
for
the
six
months ended
November
30,
2024.
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,
2024,
the
fund
had
$2,675,411,000
of
available
capital
loss
carryforwards.
At
November
30,
2024,
the
cost
of
investments
(including
derivatives,
if
any)
for
federal
income
tax
purposes
was
$18,728,091,000.
Net
unrealized
loss
aggregated
$334,515,000
at
period-end,
of
which
$182,724,000
related
to
appreciated
investments
and
$517,239,000
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,
2024,
the
effective
annual
group
fee
rate
was
0.28%. Effective
October
1,
2023,
Price
Associates
has
contractually
agreed,
at
least
through
July
31,
2026,
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
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,
2024.
The
Investor
Class, Advisor
Class,
and R
Class are
each
subject
to
a
contractual
expense
limitation
through
the
expense
limitation
dates
indicated
in
the
table
below.
This
agreement
will
continue
through
the
expense
limitation
dates
indicated
in
the
table
below,
and
may
be
renewed,
revised,
or
revoked
only
with
approval
of
the
fund’s
Board.
During
the
limitation
period,
Price
Associates
is required
to
waive
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
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,
2024 as
indicated
in
the
table
below.
Including
these
amounts,
expenses
previously
waived/paid
by
Price
Associates
in
the
amount
of $2,195,000 remain
subject
to
repayment
by
the
fund
at
November
30,
2024. 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
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,
2024,
expenses
incurred
pursuant
to
these
service
agreements
were
$65,000
for
Price
Associates;
$821,000
for
T.
Rowe
Price
Services,
Inc.;
and
$78,000
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
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)
$(397)
$(17)
$(1)
$—
$(22,242)
the
fund.
Price
may
amend
or
terminate
this
voluntary
arrangement
at
any
time
without
prior
notice.
For
the
six
months ended
November
30,
2024,
the
fund
was
charged $117,000 for
shareholder
servicing
costs
related
to
the
college
savings
plans, of
which
$1,000
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,
2024,
approximately
28%
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,
2024, 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
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,
2024,
the
fund
had
no
purchases
or
sales
cross
trades
with
other
funds
or
accounts
advised
by
Price
Associates.
NOTE
7
-
OTHER
MATTERS
Unpredictable environmental,
political,
social
and
economic
events,
including
but
not
limited
to,
environmental
or
natural
disasters,
war
and
conflict
(including
Russia’s
military
invasion
of
Ukraine
and
the
conflict
in
Israel,
Gaza
and
surrounding
areas),
terrorism,
geopolitical
developments
(including
trading
and
tariff
arrangements,
sanctions
and
cybersecurity
attacks),
and
public
health
epidemics
(including
the
global
outbreak
of
COVID-19)
and
similar
public
health
threats,
may
significantly
affect
the
economy
and
the
markets
and
issuers
in
which
a
fund
invests.
The
extent
and
duration
of
such
events
and
resulting
market
disruptions
cannot
be
predicted.
These
and
other
similar
events
may
cause
instability
across
global
markets,
including
reduced
liquidity
and
disruptions
in
trading
markets,
while
some
events
may
affect
certain
geographic
regions,
countries,
sectors,
and
industries
more
significantly
than
others,
and
exacerbate
other
pre-existing
political,
social,
and
economic
risks.
The
fund’s
performance
could
be
negatively
impacted
if
the
value
of
a
portfolio
holding
were
harmed
by
these
or
such
events.
Management
actively
monitors
the
risks
and
financial
impacts
arising
from
such
events.
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
1/25
Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies.
Not applicable.
Item 9. Proxy Disclosures for Open-End Management Investment Companies.
Not applicable.
Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.
Remuneration paid to Directors is included in Item 7 of this Form N-CSR.
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.
If applicable, see Item 7.
Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 13. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 15. 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 16. 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 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 18. Recovery of Erroneously Awarded Compensation.
Not applicable.
Item 19. Exhibits.
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 17, 2025 | | |
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 17, 2025 | | |
| | | | |
| By | | /s/ Alan S. Dupski | | |
| | Alan S. Dupski | | |
| | Principal Financial Officer | | |
| | |
| Date | | January 17, 2025 | | |
