T. Rowe Price New Income Fund (PRCIX) NPORT-P T. Rowe Price New Income Fund, Inc. (Feb 2021 report)

T.

ROWE

PRICE

New

Income

Fund

February

28,

2021

(Unaudited)

1

Portfolio

of

Investments

‡

Par/Shares

$

Value

(Amounts

in

000s)

‡

ASSET-BACKED

SECURITIES

8.0%

Car

Loan

1.4%

AmeriCredit

Automobile

Receivables

Trust

Series

2018-3,

Class

D

4.04%,

11/18/24 

7,315‌

7,807‌

AmeriCredit

Automobile

Receivables

Trust

Series

2019-1,

Class

B

3.13%,

2/18/25 

7,140‌

7,365‌

AmeriCredit

Automobile

Receivables

Trust

Series

2020-1,

Class

C

1.59%,

10/20/25 

13,295‌

13,538‌

AmeriCredit

Automobile

Receivables

Trust

Series

2020-1,

Class

D

1.80%,

12/18/25 

12,745‌

13,031‌

Avis

Budget

Rental

Car

Funding

AESOP

Series

2018-1A,

Class

A

3.70%,

9/20/24 (1)

18,960‌

20,254‌

Avis

Budget

Rental

Car

Funding

AESOP

Series

2018-2A,

Class

A

4.00%,

3/20/25 (1)

75,700‌

82,513‌

Avis

Budget

Rental

Car

Funding

AESOP

Series

2019-1A,

Class

A

3.45%,

3/20/23 (1)

10,835‌

11,109‌

Avis

Budget

Rental

Car

Funding

AESOP

Series

2019-2A,

Class

A

3.35%,

9/22/25 (1)

24,415‌

26,422‌

Avis

Budget

Rental

Car

Funding

AESOP

Series

2020-1A,

Class

A

2.33%,

8/20/26 (1)

13,740‌

14,366‌

Avis

Budget

Rental

Car

Funding

AESOP

Series

2020-1A,

Class

B

2.68%,

8/20/26 (1)

6,500‌

6,797‌

Exeter

Automobile

Receivables

Trust

Series

2017-1A,

Class

D

6.20%,

11/15/23 (1)

6,000‌

6,174‌

GM

Financial

Automobile

Leasing

Trust

Series

2020-3,

Class

C

1.11%,

10/21/24 

11,310‌

11,419‌

GM

Financial

Leasing

Trust

Series

2021-1,

Class

D

1.01%,

7/21/25 

6,650‌

6,636‌

Santander

Drive

Auto

Receivables

Trust

Series

2018-3,

Class

D

4.07%,

8/15/24 

13,090‌

13,564‌

T.

ROWE

PRICE

New

Income

Fund

2

Par/Shares

$

Value

(Amounts

in

000s)

Santander

Drive

Auto

Receivables

Trust

Series

2019-2,

Class

D

3.22%,

7/15/25 

6,785‌

7,051‌

Santander

Drive

Auto

Receivables

Trust

Series

2020-1,

Class

C

4.11%,

12/15/25 

9,920‌

10,587‌

Santander

Drive

Auto

Receivables

Trust

Series

2020-4,

Class

D

1.48%,

1/15/27 

9,460‌

9,594‌

Santander

Retail

Auto

Lease

Trust

Series

2020-B,

Class

C

1.18%,

12/20/24 (1)

9,500‌

9,554‌

277,781‌

Other

Asset-Backed

Securities

5.3%

Applebee's

Funding

Series

2019-1A,

Class

A2I

4.194%,

6/7/49 (1)

38,149‌

39,244‌

Ares

LVII

Series

2020-57A,

Class

A,

CLO,

FRN

3M

USD

LIBOR

+

1.32%,

10/25/31 (1)(2)

27,170‌

27,168‌

Ares

LVIII

Series

2020-58A,

Class

A,

CLO,

FRN

3M

USD

LIBOR

+

1.22%,

1/15/33 (1)(2)

11,035‌

11,029‌

Barings

Series

2013-IA,

Class

AR,

CLO,

FRN

3M

USD

LIBOR

+

0.80%,

1.024%,

1/20/28 (1)

30,536‌

30,536‌

Barings

Series

2016-2A,

Class

AR,

CLO,

FRN

3M

USD

LIBOR

+

1.08%,

1.304%,

7/20/28 (1)

28,187‌

28,197‌

Benefit

Street

Partners

XI

Series

2017-11A,

Class

A2R,

CLO,

FRN

3M

USD

LIBOR

+

1.50%,

1.741%,

4/15/29 (1)

16,090‌

15,975‌

BlueMountain

Series

2012-2A,

Class

AR2,

CLO,

FRN

3M

USD

LIBOR

+

1.05%,

1.232%,

11/20/28 (1)

18,711‌

18,715‌

BlueMountain

Series

2015-2A,

Class

A1R,

CLO,

FRN

3M

USD

LIBOR

+

0.93%,

1.153%,

7/18/27 (1)

2,423‌

2,422‌

BlueMountain

Series

2015-2A,

Class

BR,

CLO,

FRN

3M

USD

LIBOR

+

1.50%,

1.723%,

7/18/27 (1)

5,146‌

5,147‌

BRE

Grand

Islander

Timeshare

Issuer

Series

2019-A,

Class

A

3.28%,

9/26/33 (1)

9,312‌

9,776‌

CBAM

Series

2019-9A,

Class

A,

CLO,

FRN

3M

USD

LIBOR

+

1.28%,

1.521%,

2/12/30 (1)

4,815‌

4,822‌

T.

ROWE

PRICE

New

Income

Fund

3

Par/Shares

$

Value

(Amounts

in

000s)

CIFC

Funding

Series

2015-4A,

Class

A1R,

CLO,

FRN

3M

USD

LIBOR

+

1.15%,

1.374%,

10/20/27 (1)

26,693‌

26,696‌

CIFC

Funding

Series

2015-5A,

Class

A1R,

CLO,

FRN

3M

USD

LIBOR

+

0.86%,

1.078%,

10/25/27 (1)

43,323‌

43,316‌

CIFC

Funding

Series

2020-3A,

Class

A1,

CLO,

FRN

3M

USD

LIBOR

+

1.35%,

1.555%,

10/20/31 (1)

21,990‌

22,053‌

CNH

Equipment

Trust

Series

2017-C,

Class

B

2.54%,

5/15/25 

1,095‌

1,109‌

Cole

Park

Series

2015-1A,

Class

AR,

CLO,

FRN

3M

USD

LIBOR

+

1.05%,

1.274%,

10/20/28 (1)

34,139‌

34,144‌

Driven

Brands

Funding

Series

2019-1A,

Class

A2

4.641%,

4/20/49 (1)

15,734‌

16,645‌

Dryden

Series

2020-86A,

Class

A,

CLO,

FRN

3M

USD

LIBOR

+

1.65%,

1.873%,

7/17/30 (1)

27,670‌

27,750‌

Elara

HGV

Timeshare

Issuer

Series

2014-A,

Class

A

2.53%,

2/25/27 (1)

1,342‌

1,343‌

Elara

HGV

Timeshare

Issuer

Series

2017-A,

Class

A

2.69%,

3/25/30 (1)

2,829‌

2,916‌

Elara

HGV

Timeshare

Issuer

Series

2019-A,

Class

A

2.61%,

1/25/34 (1)

5,929‌

6,118‌

Galaxy

XXIX

Series

2018-29A,

Class

B,

CLO,

FRN

3M

USD

LIBOR

+

1.40%,

1.594%,

11/15/26 (1)

13,100‌

13,104‌

Golub

Capital

Partners

Series

2018-39A,

Class

A1,

CLO,

FRN

3M

USD

LIBOR

+

1.15%,

1.374%,

10/20/28 (1)

26,388‌

26,394‌

GreatAmerica

Leasing

Receivables

Funding

Series

2018-1,

Class

A4

2.83%,

6/17/24 (1)

3,331‌

3,362‌

Hardee's

Funding

Series

2018-1A,

Class

A2II

4.959%,

6/20/48 (1)

28,235‌

30,084‌

Hilton

Grand

Vacations

Trust

Series

2017-AA,

Class

A

2.66%,

12/26/28 (1)

2,829‌

2,905‌

Hilton

Grand

Vacations

Trust

Series

2017-AA,

Class

B

2.96%,

12/26/28 (1)

1,203‌

1,226‌

T.

ROWE

PRICE

New

Income

Fund

4

Par/Shares

$

Value

(Amounts

in

000s)

HPS

Loan

Management

Series

11A-17,

Class

BR,

CLO,

FRN

3M

USD

LIBOR

+

1.55%,

1.743%,

5/6/30 (1)

12,070‌

11,998‌

Jack

in

the

Box

Funding

Series

2019-1A,

Class

A2I

3.982%,

8/25/49 (1)

28,108‌

28,857‌

KKR

Series

13,

Class

A1R,

CLO,

FRN

3M

USD

LIBOR

+

0.80%,

1.023%,

1/16/28 (1)

34,190‌

34,078‌

KKR

Series

13,

Class

B1R,

CLO,

FRN

3M

USD

LIBOR

+

1.15%,

1.373%,

1/16/28 (1)

11,320‌

11,260‌

Madison

Park

Funding

XXXVII

Series

2019-37A,

Class

A1,

CLO,

FRN

3M

USD

LIBOR

+

1.30%,

1.541%,

7/15/32 (1)

5,795‌

5,797‌

Magnetite

XXIII

Series

2019-23A,

Class

A,

CLO,

FRN

3M

USD

LIBOR

+

1.30%,

1.518%,

10/25/32 (1)

9,735‌

9,759‌

Magnetite

XXV

Series

2020-25A,

Class

B,

CLO,

FRN

3M

USD

LIBOR

+

1.55%,

1/25/32 (1)(2)

10,705‌

10,692‌

MVW

Series

2020-1A,

Class

A

1.74%,

10/20/37 (1)

9,455‌

9,640‌

MVW

Owner

Trust

Series

2014-1A,

Class

A

2.25%,

9/22/31 (1)

3,152‌

3,161‌

MVW

Owner

Trust

Series

2017-1A,

Class

B

2.75%,

12/20/34 (1)

1,434‌

1,466‌

MVW

Owner

Trust

Series

2019-1A,

Class

A

2.89%,

11/20/36 (1)

10,469‌

10,769‌

Neuberger

Berman

Loan

Advisers

Series

2019-32A,

Class

AR,

CLO,

FRN

3M

USD

LIBOR

+

0.99%,

1/20/32 (1)(2)

49,995‌

49,995‌

Neuberger

Berman

Loan

Advisers

Series

2020-38A,

Class

A,

CLO,

FRN

3M

USD

LIBOR

+

1.30%,

1.524%,

10/20/32 (1)

27,735‌

27,776‌

Neuberger

Berman

XIX

Series

2015-19A,

Class

A1R2,

CLO,

FRN

3M

USD

LIBOR

+

0.80%,

1.041%,

7/15/27 (1)

5,650‌

5,642‌

Neuberger

Berman

XVI

Series

2017-16SA,

Class

A,

CLO,

FRN

3M

USD

LIBOR

+

0.85%,

1.091%,

1/15/28 (1)

34,860‌

34,858‌

Neuberger

Berman

XVII

Series

2014-17A,

Class

BR2,

CLO,

FRN

3M

USD

LIBOR

+

1.50%,

1.722%,

4/22/29 (1)

16,785‌

16,680‌

T.

ROWE

PRICE

New

Income

Fund

5

Par/Shares

$

Value

(Amounts

in

000s)

Neuberger

Berman

XVII

Series

2014-17A,

Class

CR2,

CLO,

FRN

3M

USD

LIBOR

+

2.00%,

2.222%,

4/22/29 (1)

12,440‌

12,408‌

OCP

Series

2020-19A,

Class

A1,

CLO,

FRN

3M

USD

LIBOR

+

1.75%,

1.974%,

7/20/31 (1)

26,060‌

26,124‌

Octagon

Investment

Partners

XXIII

Series

2015-1A,

Class

A1R,

CLO,

FRN

3M

USD

LIBOR

+

0.85%,

1.091%,

7/15/27 (1)

20,289‌

20,266‌

Octagon

Investment

Partners

XXIII

Series

2015-1A,

Class

BR,

CLO,

FRN

3M

USD

LIBOR

+

1.20%,

1.441%,

7/15/27 (1)

23,930‌

23,667‌

OZLM

VII

Series

2014-7RA,

Class

A1R,

CLO,

FRN

3M

USD

LIBOR

+

1.01%,

1.233%,

7/17/29 (1)

39,618‌

39,619‌

OZLM

VIII

Series

2014-8A,

Class

A1RR,

CLO,

FRN

3M

USD

LIBOR

+

1.17%,

1.393%,

10/17/29 (1)

21,347‌

21,337‌

OZLM

VIII

Series

2014-8A,

Class

A2RR,

CLO,

FRN

3M

USD

LIBOR

+

1.80%,

2.023%,

10/17/29 (1)

21,030‌

21,007‌

Palmer

Square

Series

2020-2A,

Class

A1A,

CLO,

FRN

3M

USD

LIBOR

+

1.70%,

1.941%,

7/15/31 (1)

6,490‌

6,503‌

Planet

Fitness

Master

Issuer

Series

2018-1A,

Class

A2I

4.262%,

9/5/48 (1)

16,197‌

16,219‌

Planet

Fitness

Master

Issuer

Series

2018-1A,

Class

A2II

4.666%,

9/5/48 (1)

25,215‌

25,353‌

Reese

Park

Series

2020-1A,

Class

A1,

CLO,

FRN

3M

USD

LIBOR

+

1.32%,

1.561%,

10/15/32 (1)

25,490‌

25,487‌

Sierra

Timeshare

Receivables

Funding

Series

2017-1A,

Class

A

2.91%,

3/20/34 (1)

1,724‌

1,752‌

Sierra

Timeshare

Receivables

Funding

Series

2019-2A,

Class

A

2.59%,

5/20/36 (1)

5,803‌

5,986‌

Sierra

Timeshare

Receivables

Funding

Series

2020-2A,

Class

B

2.32%,

7/20/37 (1)

8,357‌

8,515‌

Symphony

XVII

Series

2016-17A,

Class

AR,

CLO,

FRN

3M

USD

LIBOR

+

0.88%,

1.121%,

4/15/28 (1)

36,406‌

36,357‌

Symphony

XXIII

Series

2020-23A,

Class

A,

CLO,

FRN

3M

USD

LIBOR

+

1.32%,

1.487%,

1/15/34 (1)

9,560‌

9,596‌

T.

ROWE

PRICE

New

Income

Fund

6

Par/Shares

$

Value

(Amounts

in

000s)

Symphony

XXVI

Series

2021-26A,

Class

AR,

CLO,

FRN

3M

USD

LIBOR

+

1.08%,

4/20/33 (1)(2)

14,640‌

14,640‌

Taco

Bell

Funding

Series

2018-1A,

Class

A2I

4.318%,

11/25/48 (1)

37,448‌

37,769‌

Taconic

Park

Series

2016-1A,

Class

BR,

CLO,

FRN

3M

USD

LIBOR

+

1.90%,

2.124%,

1/20/29 (1)

11,645‌

11,533‌

Wind

River

Series

2016-1A,

Class

BR,

CLO,

FRN

3M

USD

LIBOR

+

1.65%,

1.891%,

7/15/28 (1)

12,980‌

12,937‌

1,101,699‌

Student

Loan

1.3%

Navient

Private

Education

Loan

Trust

Series

2017-A,

Class

A2A

2.88%,

12/16/58 (1)

3,174‌

3,228‌

Navient

Private

Education

Loan

Trust

Series

2017-A,

Class

B

3.91%,

12/16/58 (1)

8,525‌

8,730‌

Navient

Private

Education

Refi

Loan

Trust

Series

2019-FA,

Class

A2

2.60%,

8/15/68 (1)

21,923‌

22,606‌

Navient

Private

Education

Refi

Loan

Trust

Series

2019-GA,

Class

A

2.40%,

10/15/68 (1)

21,761‌

22,395‌

Navient

Private

Education

Refi

Loan

Trust

Series

2020-BA,

Class

A2

2.12%,

1/15/69 (1)

23,758‌

24,311‌

Navient

Private

Education

Refi

Loan

Trust

Series

2020-CA,

Class

B

2.83%,

11/15/68 (1)

20,755‌

20,200‌

Navient

Private

Education

Refi

Loan

Trust

Series

2020-HA,

Class

A

1.31%,

1/15/69 (1)

14,940‌

15,075‌

Nelnet

Student

Loan

Trust

Series

2020-1A,

Class

A,

FRN

1M

USD

LIBOR

+

0.74%,

0.858%,

3/26/68 (1)

12,391‌

12,361‌

SMB

Private

Education

Loan

Trust

Series

2015-B,

Class

A2A

2.98%,

7/15/27 (1)

5,810‌

5,907‌

SMB

Private

Education

Loan

Trust

Series

2016-A,

Class

A2A

2.70%,

5/15/31 (1)

5,063‌

5,246‌

SMB

Private

Education

Loan

Trust

Series

2016-B,

Class

A2A

2.43%,

2/17/32 (1)

12,678‌

13,074‌

T.

ROWE

PRICE

New

Income

Fund

7

Par/Shares

$

Value

(Amounts

in

000s)

SMB

Private

Education

Loan

Trust

Series

2016-C,

Class

A2A

2.34%,

9/15/34 (1)

10,507‌

10,800‌

SMB

Private

Education

Loan

Trust

Series

2018-B,

Class

A2A

3.60%,

1/15/37 (1)

11,591‌

12,491‌

SMB

Private

Education

Loan

Trust

Series

2018-B,

Class

A2B,

FRN

1M

USD

LIBOR

+

0.72%,

0.832%,

1/15/37 (1)

17,114‌

17,184‌

SMB

Private

Education

Loan

Trust

Series

2018-C,

Class

A2A

3.63%,

11/15/35 (1)

25,325‌

26,812‌

SMB

Private

Education

Loan

Trust

Series

2021-A,

Class

APT1

1.07%,

1/15/53 (1)

53,230‌

52,525‌

272,945‌

Total

Asset-Backed

Securities

(Cost

$1,629,899)

1,652,425‌

BANK

LOANS

0.5%

(3)

INDUSTRIAL

0.5%

Communications

0.1%

Clear

Channel

Outdoor

Holdings,

FRN

1M

USD

LIBOR

+

3.50%,

3.711%,

8/21/26 

7,112‌

6,912‌

Lamar

Media,

FRN

1M

USD

LIBOR

+

1.50%,

1.624%,

2/5/27��

14,435‌

14,304‌

21,216‌

Consumer

Cyclical

0.2%

Caesars

Resort

Collection,

FRN

1M

USD

LIBOR

+

4.50%,

4.615%,

7/21/25 

8,888‌

8,909‌

KFC

Holding,

FRN

3M

USD

LIBOR

+

1.75%,

1.858%,

4/3/25 

29,630‌

29,586‌

38,495‌

Energy

0.1%

Buckeye

Partners,

FRN

1M

USD

LIBOR

+

2.25%,

2.37%,

11/1/26 

18,962‌

18,935‌

18,935‌

Technology

0.1%

Western

Digital,

FRN

1M

USD

LIBOR

+

1.50%,

1.615%,

2/27/23 

6,565‌

6,550‌

T.

ROWE

PRICE

New

Income

Fund

8

Par/Shares

$

Value

(Amounts

in

000s)

Western

Digital,

FRN

1M

USD

LIBOR

+

1.75%,

1.865%,

4/29/23 

14,960‌

14,955‌

21,505‌

Total

Industrial

100,151‌

Total

Bank

Loans

(Cost

$99,763)

100,151‌

BOND

MUTUAL

FUNDS

3.1%

T.

Rowe

Price

Institutional

Floating

Rate

Fund

-

Z

Class,

3.70% (4)

(5)

53,143‌

518,678‌

T.

Rowe

Price

Institutional

High

Yield

Fund

-

Z

Class,

3.95% (4)(5)

13,946‌

122,586‌

Total

Bond

Mutual

Funds

(Cost

$628,075)

641,264‌

CONVERTIBLE

PREFERRED

STOCKS

0.1%

INDUSTRIAL

0.1%

Energy

0.1%

Targa

Resources,

Series

A,

9.50%,

Acquisition

Date:

2/10/21,

Cost

$9,215 (6)(7)

9‌

9,105‌

Total

Industrial

9,105‌

Total

Convertible

Preferred

Stocks

(Cost

$9,215)

9,105‌

CORPORATE

BONDS

32.2%

FINANCIAL

INSTITUTIONS

11.9%

Banking

6.3%

AIB

Group,

VR,

4.263%,

4/10/25 (1)(8)

24,875‌

27,228‌

Banco

Santander,

3.49%,

5/28/30 (9)

11,800‌

12,747‌

Bangkok

Bank,

4.45%,

9/19/28 

5,665‌

6,560‌

Bank

Leumi

Le-Israel,

VR,

3.275%,

1/29/31 (1)(8)

23,000‌

23,618‌

Bank

of

America,

VR,

1.898%,

7/23/31 (8)

63,430‌

61,332‌

Bank

of

America,

VR,

2.496%,

2/13/31 (8)

23,560‌

24,121‌

Bank

of

America,

VR,

2.592%,

4/29/31 (8)

40,000‌

41,178‌

Bank

of

America,

VR,

3.419%,

12/20/28 (8)

23,105‌

25,485‌

Bank

of

America,

VR,

3.559%,

4/23/27 (8)

11,780‌

12,991‌

Bank

of

America,

VR,

4.271%,

7/23/29 (8)

43,560‌

50,420‌

Barclays,

VR,

2.852%,

5/7/26 (8)(9)

25,385‌

26,785‌

Barclays,

VR,

3.932%,

5/7/25 (8)

20,485‌

22,283‌

BBVA

Bancomer

,

VR,

5.125%,

1/18/33 (8)

14,050‌

14,830‌

BBVA

Bancomer

,

VR,

5.875%,

9/13/34 (8)(9)

1,935‌

2,159‌

T.

ROWE

PRICE

New

Income

Fund

9

Par/Shares

$

Value

(Amounts

in

000s)

BNP

Paribas,

VR,

1.323%,

1/13/27 (1)(8)

11,265‌

11,200‌

Capital

One

Financial,

3.75%,

3/9/27 

17,285‌

19,359‌

Citigroup,

VR,

3.106%,

4/8/26 (8)

23,895‌

25,701‌

Credit

Suisse

Group,

VR,

2.193%,

6/5/26 (1)(8)

22,165‌

22,952‌

Credit

Suisse

Group,

VR,

2.593%,

9/11/25 (1)(8)

28,155‌

29,645‌

Credit

Suisse

Group,

VR,

4.194%,

4/1/31 (1)(8)

42,515‌

48,145‌

Danske

Bank,

3.875%,

9/12/23 (1)

12,821‌

13,808‌

Danske

Bank,

5.375%,

1/12/24 (1)

21,050‌

23,657‌

Danske

Bank,

VR,

3.001%,

9/20/22 (1)(8)

7,575‌

7,661‌

Danske

Bank,

VR,

3.244%,

12/20/25 (1)(8)

22,590‌

24,207‌

Discover

Financial

Services,

3.75%,

3/4/25 (9)

18,180‌

19,849‌

Discover

Financial

Services,

4.10%,

2/9/27 

49,385‌

55,748‌

Goldman

Sachs

Group,

3.50%,

11/16/26 

11,970‌

13,153‌

HSBC

Holdings,

3.90%,

5/25/26 

9,845‌

10,998‌

HSBC

Holdings,

VR,

1.645%,

4/18/26 (8)(9)

10,880‌

10,997‌

HSBC

Holdings,

VR,

2.099%,

6/4/26 (8)

21,365‌

22,073‌

HSBC

Holdings,

VR,

4.292%,

9/12/26 (8)

2,375‌

2,663‌

JPMorgan

Chase,

VR,

1.764%,

11/19/31 (8)(9)

73,070‌

70,126‌

JPMorgan

Chase,

VR,

2.182%,

6/1/28 (8)

33,125‌

34,111‌

JPMorgan

Chase,

VR,

2.739%,

10/15/30 (8)

20,470‌

21,468‌

JPMorgan

Chase,

VR,

2.956%,

5/13/31 (8)

61,233‌

63,920‌

Kookmin

Bank,

2.50%,

11/4/30 (1)(9)

21,350‌

21,223‌

Morgan

Stanley,

VR,

1.794%,

2/13/32 (8)

32,467‌

30,971‌

Morgan

Stanley,

VR,

1.928%,

4/28/32 (8)

7,260‌

7,040‌

Natwest

Group,

3.875%,

9/12/23 

13,898‌

14,970‌

Natwest

Group,

5.125%,

5/28/24 

22,657‌

25,359‌

Santander

UK

Group

Holdings,

VR,

1.532%,

8/21/26 (8)

28,505‌

28,674‌

Shinhan

Bank,

3.875%,

3/24/26 

5,830‌

6,458‌

Standard

Chartered,

VR,

4.644%,

4/1/31 (1)(8)

45,875‌

53,491‌

Synchrony

Financial,

4.25%,

8/15/24 

5,540‌

6,066‌

UBS

Group,

VR,

1.364%,

1/30/27 (1)(8)

15,055‌

15,043‌

Wells

Fargo,

4.30%,

7/22/27 

11,980‌

13,842‌

Wells

Fargo,

VR,

2.188%,

4/30/26 (8)(9)

16,835‌

17,505‌

Wells

Fargo,

VR,

2.393%,

6/2/28 (8)

32,145‌

33,373‌

Wells

Fargo,

VR,

2.572%,

2/11/31 (8)

54,100‌

55,777‌

Wells

Fargo,

VR,

2.879%,

10/30/30 (8)

55,105‌

58,143‌

Wells

Fargo,

VR,

4.478%,

4/4/31 (8)(9)

16,395‌

19,336‌

1,310,449‌

Brokerage

Asset

Managers

Exchanges

0.3%

Intercontinental

Exchange,

1.85%,

9/15/32 

51,255‌

48,638‌

Intercontinental

Exchange,

2.10%,

6/15/30 (9)

10,000‌

9,960‌

58,598‌

Finance

Companies

1.0%

AerCap

Ireland

Capital,

3.50%,

5/26/22 

1,385‌

1,427‌

AerCap

Ireland

Capital,

3.50%,

1/15/25 

4,085‌

4,310‌

T.

ROWE

PRICE

New

Income

Fund

10

Par/Shares

$

Value

(Amounts

in

000s)

AerCap

Ireland

Capital,

4.625%,

7/1/22 

9,300‌

9,764‌

AerCap

Ireland

Capital,

4.875%,

1/16/24 

30,027‌

32,765‌

AerCap

Ireland

Capital,

6.50%,

7/15/25 

4,515‌

5,289‌

Avolon

Holdings

Funding,

3.95%,

7/1/24 (1)

7,215‌

7,549‌

Avolon

Holdings

Funding,

4.375%,

5/1/26 (1)

15,400‌

16,305‌

Avolon

Holdings

Funding,

5.125%,

10/1/23 (1)

39,095‌

41,896‌

Avolon

Holdings

Funding,

5.50%,

1/15/26 (1)

13,130‌

14,525‌

GE

Capital

International

Funding,

3.373%,

11/15/25 (9)

53,835‌

58,709‌

SMBC

Aviation

Capital

Finance,

3.55%,

4/15/24 (1)

15,190‌

16,165‌

SMBC

Aviation

Capital

Finance,

4.125%,

7/15/23 (1)

5,951‌

6,362‌

215,066‌

Insurance

1.1%

AIA

Group,

3.90%,

4/6/28 (1)

42,045‌

47,005‌

American

International

Group,

3.90%,

4/1/26 

587‌

657‌

Centene

,

2.50%,

3/1/31 

11,800‌

11,474‌

Centene

,

3.375%,

2/15/30 

23,860‌

24,397‌

Centene

,

4.25%,

12/15/27 

27,329‌

28,285‌

Centene

,

4.625%,

12/15/29 

32,440‌

34,873‌

Centene

,

5.375%,

6/1/26 (1)

16,545‌

17,310‌

CNO

Financial

Group,

5.25%,

5/30/25 

14,510‌

16,614‌

Humana,

3.95%,

3/15/27 

6,250‌

7,072‌

Humana,

4.875%,

4/1/30 

18,429‌

22,151‌

Marsh

&

McLennan,

2.25%,

11/15/30 (9)

9,175‌

9,266‌

219,104‌

Real

Estate

Investment

Trusts

3.2%

Alexandria

Real

Estate

Equities,

2.75%,

12/15/29 

17,305‌

18,103‌

Alexandria

Real

Estate

Equities,

3.95%,

1/15/27 

26,345‌

29,693‌

Alexandria

Real

Estate

Equities,

3.95%,

1/15/28 

16,220‌

18,310‌

American

Campus

Communities

Operating

Partnership,

2.85%,

2/1/30 

37,652‌

38,602‌

American

Campus

Communities

Operating

Partnership,

3.30%,

7/15/26 

16,895‌

18,422‌

American

Campus

Communities

Operating

Partnership,

3.625%,

11/15/27 

18,040‌

19,986‌

Boston

Properties,

3.25%,

1/30/31 

10,455‌

11,049‌

Brixmor

Operating

Partnership,

3.65%,

6/15/24 

43,450‌

47,082‌

Brixmor

Operating

Partnership,

3.85%,

2/1/25 

6,175‌

6,717‌

Brixmor

Operating

Partnership,

3.90%,

3/15/27 (9)

31,087‌

34,539‌

Brixmor

Operating

Partnership,

4.125%,

6/15/26 

57,211‌

64,298‌

Essex

Portfolio,

1.65%,

1/15/31 

10,390‌

9,769‌

Essex

Portfolio,

3.625%,

5/1/27 (9)

11,045‌

12,222‌

Healthpeak

Properties,

2.875%,

1/15/31 

3,585‌

3,736‌

Healthpeak

Properties,

3.25%,

7/15/26 

3,455‌

3,802‌

Healthpeak

Properties,

3.50%,

7/15/29 (9)

3,910‌

4,299‌

Highwoods

Realty,

4.125%,

3/15/28 

17,905‌

19,888‌

Highwoods

Realty,

4.20%,

4/15/29 

12,180‌

13,544‌

T.

ROWE

PRICE

New

Income

Fund

11

Par/Shares

$

Value

(Amounts

in

000s)

Regency

Centers,

3.70%,

6/15/30 

12,500‌

13,706‌

Regency

Centers,

4.125%,

3/15/28 

10,100‌

11,255‌

Simon

Property

Group,

2.65%,

7/15/30 (9)

18,417‌

18,701‌

Simon

Property

Group,

3.30%,

1/15/26 

7,155‌

7,762‌

Ventas

Realty,

3.25%,

10/15/26 

51,880‌

56,262‌

VEREIT

Operating

Partnership,

2.20%,

6/15/28 

4,380‌

4,348‌

VEREIT

Operating

Partnership,

2.85%,

12/15/32 

21,132‌

21,082‌

VEREIT

Operating

Partnership,

3.40%,

1/15/28 

10,350‌

11,126‌

VEREIT

Operating

Partnership,

3.95%,

8/15/27 

29,214‌

32,846‌

VEREIT

Operating

Partnership,

4.60%,

2/6/24 

42,230‌

46,389‌

VEREIT

Operating

Partnership,

4.875%,

6/1/26 

47,755‌

55,477‌

653,015‌

Total

Financial

Institutions

2,456,232‌

INDUSTRIAL

18.1%

Basic

Industry

0.3%

Anglo

American

Capital,

4.125%,

9/27/22 (1)

10,475‌

11,037‌

Celulosa

Arauco

y

Constitucion

,

3.875%,

11/2/27 

20,810‌

22,558‌

Ecolab,

4.80%,

3/24/30 

2,040‌

2,497‌

Methanex

,

5.125%,

10/15/27 (9)

18,855‌

19,491‌

Westlake

Chemical,

1.625%,

7/17/29

(EUR) 

11,421‌

14,135‌

69,718‌

Capital

Goods

0.4%

Boral

Finance,

3.00%,

11/1/22 (1)

5,705‌

5,842‌

Boral

Finance,

3.75%,

5/1/28 (1)

52,215‌

55,216‌

General

Electric,

5.55%,

1/5/26 

20,985‌

24,937‌

General

Electric,

Series

D,

VR,

3.554% (6)(9)

6,256‌

5,959‌

91,954‌

Communications

4.7%

Altice

Financing,

7.50%,

5/15/26 (1)

12,800‌

13,344‌

Altice

France,

5.50%,

1/15/28 (1)

10,315‌

10,508‌

AT&T,

2.25%,

2/1/32 (9)

71,930‌

68,874‌

AT&T,

2.55%,

12/1/33 (1)

22,254‌

21,372‌

AT&T,

2.75%,

6/1/31 (9)

21,840‌

22,170‌

AT&T,

3.80%,

12/1/57 (1)

32,975‌

31,373‌

AT&T,

4.30%,

2/15/30 

14,030‌

16,062‌

Charter

Communications

Operating,

2.30%,

2/1/32 

35,945‌

35,148‌

Charter

Communications

Operating,

2.80%,

4/1/31 

48,765‌

49,442‌

Charter

Communications

Operating,

4.80%,

3/1/50 

5,165‌

5,677‌

Charter

Communications

Operating,

5.125%,

7/1/49 

7,920‌

9,145‌

Charter

Communications

Operating,

5.75%,

4/1/48 (9)

1,580‌

1,950‌

Charter

Communications

Operating,

6.484%,

10/23/45 

5,715‌

7,696‌

Comcast,

3.25%,

11/1/39 

23,275‌

24,693‌

Crown

Castle

Towers,

3.222%,

5/15/22 (1)

4,785‌

4,816‌

Crown

Castle

Towers,

3.663%,

5/15/25 (1)

52,455‌

56,088‌

HKT

Capital

No.

2,

3.625%,

4/2/25 

2,714‌

2,912‌

T.

ROWE

PRICE

New

Income

Fund

12

Par/Shares

$

Value

(Amounts

in

000s)

HKT

Capital

No.

4,

3.00%,

7/14/26 

22,686‌

24,016‌

Netflix,

4.625%,

5/15/29

(EUR) 

19,830‌

29,668‌

NTT

Finance,

1.591%,

4/3/28 (1)

26,890‌

26,715‌

NTT

Finance,

2.065%,

4/3/31 (1)

3,850‌

3,834‌

SBA

Tower

Trust,

2.836%,

1/15/25 (1)(9)

12,265‌

13,053‌

SBA

Tower

Trust,

3.168%,

4/11/22 (1)

57,965‌

58,139‌

SBA

Tower

Trust,

Series

2014-2A,

Class

C,

STEP,

3.869%,

10/15/49 (1)

50,250‌

52,988‌

T-Mobile

USA,

2.05%,

2/15/28 (1)(9)

12,505‌

12,457‌

T-Mobile

USA,

3.75%,

4/15/27 (1)

61,370‌

67,649‌

Verizon

Communications,

2.65%,

11/20/40 

38,295‌

35,672‌

Verizon

Communications,

2.875%,

11/20/50 

43,625‌

39,578‌

Verizon

Communications,

2.987%,

10/30/56 (1)(9)

41,925‌

37,904‌

Verizon

Communications,

4.329%,

9/21/28 

30,670‌

35,530‌

Verizon

Communications,

4.522%,

9/15/48 

9,550‌

11,246‌

Verizon

Communications,

4.75%,

11/1/41 (9)

10,225‌

12,492‌

Vodafone

Group,

4.375%,

5/30/28 

28,755‌

33,625‌

Vodafone

Group,

4.875%,

6/19/49 

25,250‌

30,482‌

Vodafone

Group,

5.00%,

5/30/38 

17,710‌

21,747‌

Vodafone

Group,

5.25%,

5/30/48 

12,050‌

15,589‌

WPP

Finance

2010,

3.75%,

9/19/24 

18,332‌

20,154‌

963,808‌

Consumer

Cyclical

2.4%

Alibaba

Group

Holding,

3.40%,

12/6/27 (9)

11,715‌

12,833‌

Booking

Holdings,

4.10%,

4/13/25 

8,995‌

10,028‌

Booking

Holdings,

4.50%,

4/13/27 

9,480‌

11,090‌

Booking

Holdings,

4.625%,

4/13/30 

13,000‌

15,513‌

Daimler

Finance

North

America,

1.45%,

3/2/26 (1)

24,200‌

24,238‌

Daimler

Finance

North

America,

2.45%,

3/2/31 (1)

9,255‌

9,344‌

Expedia

Group,

5.00%,

2/15/26 (9)

27,226‌

30,792‌

General

Motors

Financial,

4.00%,

10/6/26 

21,470‌

23,908‌

General

Motors

Financial,

4.30%,

7/13/25 

9,101‌

10,101‌

General

Motors

Financial,

4.35%,

4/9/25 

21,119‌

23,326‌

General

Motors

Financial,

5.10%,

1/17/24 

28,255‌

31,453‌

GLP

Capital,

3.35%,

9/1/24 

6,340‌

6,745‌

Hyundai

Capital

America,

1.80%,

10/15/25 (1)

11,505‌

11,634‌

Hyundai

Capital

America,

2.375%,

2/10/23 (1)

23,640‌

24,372‌

L

Brands,

6.625%,

10/1/30 (1)

17,135‌

19,191‌

Las

Vegas

Sands,

3.20%,

8/8/24 (9)

6,682‌

7,020‌

Las

Vegas

Sands,

3.50%,

8/18/26 

10,985‌

11,611‌

Marriott

International,

3.75%,

10/1/25 

3,131‌

3,367‌

Marriott

International,

5.75%,

5/1/25 

43,324‌

49,877‌

QVC,

4.375%,

3/15/23 

41,030‌

43,030‌

Ross

Stores,

1.875%,

4/15/31 (9)

18,400‌

17,716‌

TJX,

1.60%,

5/15/31 

9,565‌

9,229‌

Volkswagen

Bank,

2.50%,

7/31/26

(EUR) 

20,000‌

26,662‌

T.

ROWE

PRICE

New

Income

Fund

13

Par/Shares

$

Value

(Amounts

in

000s)

Volkswagen

Group

of

America

Finance,

1.625%,

11/24/27 (1)(9)

6,920‌

6,862‌

Volkswagen

Group

of

America

Finance,

2.85%,

9/26/24 (1)

14,545‌

15,480‌

Volkswagen

Group

of

America

Finance,

3.20%,

9/26/26 (1)

16,325‌

17,746‌

Volkswagen

Group

of

America

Finance,

4.75%,

11/13/28 (1)

21,662‌

25,491‌

498,659‌

Consumer

Non-Cyclical

3.7%

AbbVie,

2.95%,

11/21/26 (9)

17,145‌

18,581‌

AbbVie,

3.20%,

11/21/29 

15,175‌

16,481‌

AbbVie,

4.05%,

11/21/39 

13,075‌

15,018‌

AbbVie,

4.25%,

11/21/49 

14,325‌

16,613‌

AbbVie,

4.70%,

5/14/45 

28,387‌

34,205‌

AbbVie,

4.875%,

11/14/48 

37,285‌

47,713‌

BAT

Capital,

3.557%,

8/15/27 

40,620‌

44,010‌

BAT

International

Finance,

1.668%,

3/25/26 

7,875‌

7,913‌

Bayer

U.S.

Finance

II,

4.375%,

12/15/28 (1)

10,540‌

12,127‌

Becton

Dickinson

&

Company,

1.957%,

2/11/31 

22,360‌

22,020‌

Becton

Dickinson

&

Company,

2.823%,

5/20/30 

13,810‌

14,477‌

Becton

Dickinson

&

Company,

3.70%,

6/6/27 

69,095‌

77,329‌

Becton

Dickinson

&

Company,

3.794%,

5/20/50 

18,410‌

20,331‌

Becton

Dickinson

&

Company,

4.669%,

6/6/47 

26,335‌

32,545‌

Cardinal

Health,

3.75%,

9/15/25 

2,075‌

2,292‌

Cardinal

Health,

4.50%,

11/15/44 

4,825‌

5,271‌

Cardinal

Health,

4.90%,

9/15/45 

5,195‌

6,049‌

China

Mengniu

Dairy,

2.50%,

6/17/30 

5,955‌

5,841‌

Cigna,

2.40%,

3/15/30 

9,555‌

9,689‌

Cigna,

3.40%,

3/1/27 (9)

6,330‌

6,940‌

Cigna,

3.40%,

3/15/50 (9)

30,675‌

31,264‌

Cigna,

4.375%,

10/15/28 

9,880‌

11,477‌

Cigna,

4.50%,

2/25/26 

43,040‌

49,310‌

Cigna,

4.80%,

8/15/38 

17,444‌

21,514‌

CVS

Health,

1.875%,

2/28/31 

14,525‌

13,985‌

CVS

Health,

2.70%,

8/21/40 (9)

7,485‌

7,083‌

CVS

Health,

3.625%,

4/1/27 

5,145‌

5,716‌

CVS

Health,

4.25%,

4/1/50 (9)

15,925‌

18,454‌

CVS

Health,

5.05%,

3/25/48 (9)

43,761‌

55,371‌

CVS

Health,

5.125%,

7/20/45 

1,305‌

1,649‌

Hasbro,

3.55%,

11/19/26 

12,060‌

13,196‌

PerkinElmer,

3.30%,

9/15/29 

10,272‌

11,009‌

Perrigo

Finance

Unlimited,

3.15%,

6/15/30 (9)

3,640‌

3,740‌

Perrigo

Finance

Unlimited,

3.90%,

12/15/24 

6,275‌

6,877‌

Perrigo

Finance

Unlimited,

4.375%,

3/15/26 

26,485‌

29,772‌

Reynolds

American,

4.45%,

6/12/25 

36,825‌

41,069‌

Yili

Holding

Investment,

1.625%,

11/19/25 

21,007‌

20,823‌

757,754‌

T.

ROWE

PRICE

New

Income

Fund

14

Par/Shares

$

Value

(Amounts

in

000s)

Energy

4.5%

Aker,

2.875%,

1/15/26 (1)(9)

7,245‌

7,504‌

Boardwalk

Pipelines,

3.375%,

2/1/23 

15,250‌

15,827‌

Boardwalk

Pipelines,

3.40%,

2/15/31 

18,725‌

19,314‌

Boardwalk

Pipelines,

4.45%,

7/15/27 

31,635‌

35,769‌

Boardwalk

Pipelines,

4.95%,

12/15/24 

10,000‌

11,315‌

Boardwalk

Pipelines,

5.95%,

6/1/26 

11,317‌

13,349‌

Cameron

LNG,

2.902%,

7/15/31 (1)

8,690‌

9,204‌

Cameron

LNG,

3.302%,

1/15/35 (1)

9,505‌

10,263‌

Cameron

LNG,

3.701%,

1/15/39 (1)

7,080‌

7,741‌

Cheniere

Corpus

Christi

Holdings,

3.70%,

11/15/29 (9)

22,400‌

24,214‌

Cheniere

Corpus

Christi

Holdings,

5.125%,

6/30/27 

6,935‌

8,062‌

Cheniere

Corpus

Christi

Holdings,

7.00%,

6/30/24 

14,235‌

16,498‌

Cheniere

Energy,

4.625%,

10/15/28 (1)

22,665‌

23,572‌

DCP

Midstream

Operating,

6.75%,

9/15/37 (1)

4,310‌

4,806‌

DCP

Midstream

Operating,

VR,

5.85%,

5/21/43 (1)(8)(9)

8,155‌

7,156‌

Diamondback

Energy,

3.25%,

12/1/26 

26,195‌

27,636‌

Diamondback

Energy,

5.375%,

5/31/25 

42,365‌

43,848‌

Energy

Transfer

Operating,

2.90%,

5/15/25 

8,690‌

9,135‌

Energy

Transfer

Operating,

4.20%,

4/15/27 

2,735‌

2,933‌

Energy

Transfer

Operating,

4.50%,

4/15/24 

6,465‌

7,071‌

Energy

Transfer

Operating,

4.95%,

6/15/28 

19,529‌

21,995‌

Energy

Transfer

Operating,

5.00%,

5/15/50 

4,295‌

4,504‌

Energy

Transfer

Operating,

5.25%,

4/15/29 

14,145‌

16,320‌

Energy

Transfer

Operating,

5.50%,

6/1/27 

3,820‌

4,446‌

Energy

Transfer

Operating,

5.875%,

1/15/24 

14,050‌

15,701‌

Energy

Transfer

Operating,

6.00%,

6/15/48 

42,120‌

48,017‌

Energy

Transfer

Operating,

6.25%,

4/15/49 

4,100‌

4,807‌

Eni,

Series

X-R,

4.75%,

9/12/28 (1)

30,945‌

36,062‌

Gray

Oak

Pipeline,

2.00%,

9/15/23 (1)

2,160‌

2,196‌

Gray

Oak

Pipeline,

2.60%,

10/15/25 (1)(9)

6,745‌

6,885‌

Gray

Oak

Pipeline,

3.45%,

10/15/27 (1)

2,820‌

2,915‌

Occidental

Petroleum,

2.90%,

8/15/24 (9)

34,015‌

33,122‌

Occidental

Petroleum,

8.00%,

7/15/25 (9)

5,110‌

5,928‌

Occidental

Petroleum,

8.50%,

7/15/27 

3,940‌

4,713‌

Plains

All

American

Pipeline,

3.85%,

10/15/23 

6,130‌

6,526‌

Reliance

Industries,

3.667%,

11/30/27 

18,280‌

20,365‌

Reliance

Industries,

4.125%,

1/28/25 (9)

6,120‌

6,737‌

Sabine

Pass

Liquefaction,

4.50%,

5/15/30 

4,625‌

5,290‌

Sabine

Pass

Liquefaction,

5.00%,

3/15/27 

73,603‌

85,103‌

Sabine

Pass

Liquefaction,

5.75%,

5/15/24 

7,013‌

7,960‌

Sabine

Pass

Liquefaction,

5.875%,

6/30/26 

15,135‌

18,029‌

Seven

Generations

Energy,

5.375%,

9/30/25 (1)

15,260‌

15,832‌

Sunoco

Logistics

Partners

Operations,

4.25%,

4/1/24 (9)

14,265‌

15,317‌

Tengizchevroil

Finance

International,

4.00%,

8/15/26 

39,000‌

42,395‌

Thaioil

Treasury

Center,

4.625%,

11/20/28 (9)

4,595‌

5,209‌

T.

ROWE

PRICE

New

Income

Fund

15

Par/Shares

$

Value

(Amounts

in

000s)

Transcontinental

Gas

Pipe

Line,

3.25%,

5/15/30 

7,520‌

8,076‌

Transcontinental

Gas

Pipe

Line,

4.00%,

3/15/28 (9)

10,905‌

12,238‌

Transcontinental

Gas

Pipe

Line,

4.60%,

3/15/48 

14,965‌

17,156‌

Valero

Energy,

2.15%,

9/15/27 (9)

8,270‌

8,257‌

Williams,

3.90%,

1/15/25 

22,215‌

24,197‌

Williams,

4.00%,

9/15/25 

6,920‌

7,647‌

Woodside

Finance,

3.65%,

3/5/25 (1)

13,200‌

14,100‌

Woodside

Finance,

3.70%,

9/15/26 (1)

43,137‌

46,781‌

Woodside

Finance,

3.70%,

3/15/28 (1)

35,816‌

37,696‌

917,739‌

Technology

1.2%

Avnet,

4.875%,

12/1/22 

30,360‌

32,365‌

Baidu,

2.875%,

7/6/22 (9)

31,475‌

32,241‌

Baidu,

3.625%,

7/6/27 

6,360‌

7,004‌

Baidu,

3.875%,

9/29/23 (9)

20,211‌

21,767‌

Baidu,

4.375%,

5/14/24 

12,910‌

14,224‌

Baidu,

4.375%,

3/29/28 

7,975‌

9,006‌

Keysight

Technologies,

4.60%,

4/6/27 

2,648‌

3,102‌

Micron

Technology,

4.185%,

2/15/27 

30,185‌

34,184‌

NXP,

2.70%,

5/1/25 (1)

2,345‌

2,478‌

NXP,

3.15%,

5/1/27 (1)

4,765‌

5,163‌

NXP,

5.35%,

3/1/26 (1)

10,345‌

12,192‌

Tencent

Holdings,

1.81%,

1/26/26 

25,688‌

25,901‌

Tencent

Holdings,

3.575%,

4/11/26 

19,482‌

21,274‌

TSMC

Global,

1.00%,

9/28/27 (1)(9)

23,860‌

23,277‌

244,178‌

Transportation

0.9%

Brambles

USA,

4.125%,

10/23/25 (1)

13,445‌

14,961‌

Heathrow

Funding,

4.875%,

7/15/21 (1)(9)

26,640‌

27,055‌

Mileage

Plus

Holdings,

6.50%,

6/20/27 (1)

36,880‌

40,107‌

SF

Holding

Investment,

2.875%,

2/20/30 

9,820‌

10,007‌

Shanghai

Port

Group

BVI

Development,

2.85%,

9/11/29 (9)

14,625‌

14,975‌

Shanghai

Port

Group

BVI

Development,

3.375%,

6/18/29 (9)

3,890‌

4,167‌

Shanghai

Port

Group

BVI

Development

2,

2.375%,

7/13/30 

21,110‌

20,792‌

Transurban

Finance,

2.45%,

3/16/31 (1)(9)

12,535‌

12,713‌

Transurban

Finance,

3.375%,

3/22/27 (1)(9)

10,525‌

11,579‌

Transurban

Finance,

4.125%,

2/2/26 (1)(9)

7,105‌

8,002‌

U.S.

Airways

PTT,

Series

2013-1,

Class

A,

3.95%,

11/15/25 

13,316‌

12,949‌

United

Airlines

PTT,

Series

2019-2,

Class

A,

2.90%,

5/1/28 

8,135‌

7,915‌

United

Airlines

PTT,

Series

2019-2,

Class

AA,

2.70%,

5/1/32 

5,054‌

4,995‌

190,217‌

Total

Industrial

3,734,027‌

UTILITY

2.2%

Electric

1.8%

Ausgrid

Finance,

3.85%,

5/1/23 (1)(9)

15,280‌

16,093‌

T.

ROWE

PRICE

New

Income

Fund

16

Par/Shares

$

Value

(Amounts

in

000s)

Ausgrid

Finance,

4.35%,

8/1/28 (1)

24,055‌

27,186‌

China

Southern

Power

Grid

International

Finance

BVI

2018,

4.25%,

9/18/28 

5,400‌

6,079‌

Edison

International,

4.95%,

4/15/25 

1,450‌

1,629‌

Enel

Finance

International,

3.50%,

4/6/28 (1)

11,585‌

12,785‌

Enel

Finance

International,

3.625%,

5/25/27 (1)

41,755‌

46,087‌

FirstEnergy

Transmission,

4.35%,

1/15/25 (1)

61,885‌

67,421‌

NRG

Energy,

4.45%,

6/15/29 (1)

13,315‌

14,680‌

Pacific

Gas

&

Electric,

2.10%,

8/1/27 

23,845‌

23,722‌

Pacific

Gas

&

Electric,

2.50%,

2/1/31 

27,580‌

26,782‌

Pacific

Gas

&

Electric,

3.30%,

8/1/40 

22,880‌

21,758‌

Pacific

Gas

&

Electric,

3.95%,

12/1/47 

15,405‌

14,941‌

Pacific

Gas

&

Electric,

4.55%,

7/1/30 (9)

41,980‌

46,729‌

Vistra

Operations,

3.55%,

7/15/24 (1)

45,346‌

48,634‌

374,526‌

Natural

Gas

0.4%

APT

Pipelines,

3.875%,

10/11/22 (1)

19,635‌

20,487‌

APT

Pipelines,

4.25%,

7/15/27 (1)

4,738‌

5,365‌

NiSource,

1.70%,

2/15/31 

15,390‌

14,638‌

NiSource,

3.60%,

5/1/30 

25,110‌

27,944‌

Sempra

Energy,

3.80%,

2/1/38 

8,480‌

9,374‌

77,808‌

Total

Utility

452,334‌

Total

Corporate

Bonds

(Cost

$6,313,259)

6,642,593‌

FOREIGN

GOVERNMENT

OBLIGATIONS

&

MUNICIPALITIES

1.1%

Government

Sponsored

0.0%

Equate

Petrochemical,

4.25%,

11/3/26 

7,737‌

8,433‌

8,433‌

Owned

No

Guarantee

1.1%

Export-Import

Bank

of

Thailand,

1.457%,

10/15/25 

13,925‌

13,902‌

Korea

National

Oil,

1.625%,

10/5/30 (1)

18,020‌

17,370‌

Korea

South-East

Power,

1.00%,

2/3/26 

5,765‌

5,723‌

Perusahaan

Listrik

Negara,

5.45%,

5/21/28 (1)(9)

60,500‌

70,549‌

PTTEP

Treasury

Center,

2.587%,

6/10/27 (9)

18,300‌

19,099‌

QNB

Finance,

2.625%,

5/12/25 

10,572‌

11,069‌

QNB

Finance,

2.75%,

2/12/27 

21,028‌

22,123‌

State

Grid

Overseas

Investment,

3.50%,

5/4/27 

24,000‌

26,641‌

Syngenta

Finance,

3.933%,

4/23/21 (1)

18,290‌

18,350‌

T.

ROWE

PRICE

New

Income

Fund

17

Par/Shares

$

Value

(Amounts

in

000s)

TNB

Global

Ventures

Capital,

3.244%,

10/19/26 

13,470‌

14,438‌

219,264‌

Total

Foreign

Government

Obligations

&

Municipalities

(Cost

$217,882)

227,697‌

NON-U.S.

GOVERNMENT

MORTGAGE-BACKED

SECURITIES

11.8%

Collateralized

Mortgage

Obligations

6.3%

Angel

Oak

Mortgage

Trust

Series

2020-3,

Class

A1,

CMO,

ARM

1.691%,

4/25/65 (1)

19,027‌

19,236‌

Angel

Oak

Mortgage

Trust

I

Series

2019-1,

Class

A1,

CMO,

ARM

3.92%,

11/25/48 (1)

18,124‌

18,539‌

Angel

Oak

Mortgage

Trust

I

Series

2019-1,

Class

A2,

CMO,

ARM

4.022%,

11/25/48 (1)

6,745‌

6,894‌

Bayview

Opportunity

Master

Fund

IVa

Trust

Series

2017-RT1,

Class

A1,

CMO,

ARM

3.00%,

3/28/57 (1)

3,335‌

3,390‌

Bayview

Opportunity

Master

Fund

IVa

Trust

Series

2017-SPL5,

Class

A,

CMO,

ARM

3.50%,

6/28/57 (1)

1,095‌

1,122‌

Bayview

Opportunity

Master

Fund

IVb

Trust

Series

2017-RT2,

Class

A,

CMO,

ARM

3.50%,

8/28/57 (1)

3,324‌

3,364‌

CIM

Trust

Series

2019-INV3,

Class

A15,

CMO,

ARM

3.50%,

8/25/49 (1)

9,139‌

9,339‌

CIM

Trust

Series

2020-INV1,

Class

A2,

CMO,

ARM

2.50%,

4/25/50 (1)

13,654‌

14,029‌

COLT

Mortgage

Loan

Trust

Series

2020-3,

Class

A1,

CMO,

ARM

1.506%,

4/27/65 (1)

11,906‌

11,999‌

Connecticut

Avenue

Securities

Series

2016-C05,

Class

2M2,

CMO,

ARM

1M

USD

LIBOR

+

4.45%,

4.568%,

1/25/29 

9,922‌

10,343‌

Connecticut

Avenue

Securities

Series

2017-C02,

Class

2ED3,

CMO,

ARM

1M

USD

LIBOR

+

1.35%,

1.468%,

9/25/29 

31,700‌

31,771‌

Connecticut

Avenue

Securities

Series

2017-C04,

Class

2ED2,

CMO,

ARM

1M

USD

LIBOR

+

1.10%,

1.218%,

11/25/29 

36,143‌

35,691‌

T.

ROWE

PRICE

New

Income

Fund

18

Par/Shares

$

Value

(Amounts

in

000s)

Connecticut

Avenue

Securities

Series

2017-C06,

Class

2ED1,

CMO,

ARM

1M

USD

LIBOR

+

1.00%,

1.118%,

2/25/30 

9,954‌

9,874‌

Connecticut

Avenue

Securities

Series

2018-C01,

Class

1ED2,

CMO,

ARM

1M

USD

LIBOR

+

0.85%,

0.968%,

7/25/30 

30,265‌

29,932‌

Connecticut

Avenue

Securities

Series

2018-C02,

Class

2EB2,

CMO,

ARM

1M

USD

LIBOR

+

0.90%,

1.018%,

8/25/30 

14,796‌

14,511‌

Deephaven

Residential

Mortgage

Trust

Series

2019-2A,

Class

A1,

CMO,

ARM

3.558%,

4/25/59 (1)

10,452‌

10,493‌

Deephaven

Residential

Mortgage

Trust

Series

2019-3A,

Class

M1,

CMO,

ARM

3.405%,

7/25/59 (1)

9,060‌

8,912‌

Ellington

Financial

Mortgage

Trust

Series

2019-2,

Class

A1,

CMO,

ARM

2.739%,

11/25/59 (1)

8,828‌

9,013‌

Ellington

Financial

Mortgage

Trust

Series

2020-1,

Class

A1,

CMO,

ARM

2.006%,

5/25/65 (1)

8,116‌

8,249‌

Flagstar

Mortgage

Trust

Series

2018-6RR,

Class

2A4,

CMO,

ARM

4.00%,

9/25/48 (1)

6,326‌

6,451‌

Flagstar

Mortgage

Trust

Series

2019-1INV,

Class

A3,

CMO,

ARM

3.50%,

10/25/49 (1)

7,987‌

8,174‌

Flagstar

Mortgage

Trust

Series

2020-1INV,

Class

A11,

CMO,

ARM

1M

USD

LIBOR

+

0.85%,

0.968%,

3/25/50 (1)

9,007‌

9,038‌

FWD

Securitization

Trust

Series

2020-INV1,

Class

A3,

CMO,

ARM

2.44%,

1/25/50 (1)

3,671‌

3,694‌

Galton

Funding

Mortgage

Trust

Series

2018-1,

Class

A23,

CMO,

ARM

3.50%,

11/25/57 (1)

3,994‌

4,118‌

Galton

Funding

Mortgage

Trust

Series

2018-2,

Class

A22,

CMO,

ARM

4.00%,

10/25/58 (1)

13,630‌

14,110‌

Galton

Funding

Mortgage

Trust

Series

2018-2,

Class

A31,

CMO,

ARM

4.50%,

10/25/58 (1)

6,704‌

6,910‌

Galton

Funding

Mortgage

Trust

Series

2019-1,

Class

A22,

CMO,

ARM

4.00%,

2/25/59 (1)

4,013‌

4,140‌

Galton

Funding

Mortgage

Trust

Series

2019-1,

Class

A42,

CMO,

ARM

4.00%,

2/25/59 (1)

1,802‌

1,814‌

T.

ROWE

PRICE

New

Income

Fund

19

Par/Shares

$

Value

(Amounts

in

000s)

Galton

Funding

Mortgage

Trust

Series

2019-2,

Class

A42,

CMO,

ARM

3.50%,

6/25/59 (1)

4,906‌

4,943‌

Galton

Funding

Mortgage

Trust

Series

2019-H1,

Class

A1,

CMO,

ARM

2.657%,

10/25/59 (1)

13,757‌

14,030‌

Galton

Funding

Mortgage

Trust

Series

2020-H1,

Class

A1,

CMO,

ARM

2.31%,

1/25/60 (1)

19,426‌

19,813‌

GS

Mortgage-Backed

Securities

Trust

Series

2014-EB1A,

Class

2A1,

CMO,

ARM

1.964%,

7/25/44 (1)

1,124‌

1,136‌

GS

Mortgage-Backed

Securities

Trust

Series

2020-INV1,

Class

A14,

CMO,

ARM

3.00%,

10/25/50 (1)

38,373‌

39,207‌

Homeward

Opportunities

Fund

I

Trust

Series

2019-1,

Class

A1,

CMO,

ARM

3.454%,

1/25/59 (1)

14,284‌

14,447‌

Homeward

Opportunities

Fund

I

Trust

Series

2019-2,

Class

M1,

CMO,

ARM

3.287%,

9/25/59 (1)

17,361‌

17,592‌

Homeward

Opportunities

Fund

I

Trust

Series

2019-3,

Class

A1,

CMO,

ARM

2.675%,

11/25/59 (1)

19,540‌

19,904‌

Homeward

Opportunities

Fund

I

Trust

Series

2020-2,

Class

A1,

CMO,

ARM

1.657%,

5/25/65 (1)

10,619‌

10,724‌

JPMorgan

Mortgage

Trust

Series

2019-INV2,

Class

A3,

CMO,

ARM

3.50%,

2/25/50 (1)

8,896‌

9,228‌

JPMorgan

Mortgage

Trust

Series

2019-INV3,

Class

A3,

CMO,

ARM

3.50%,

5/25/50 (1)

15,365‌

15,868‌

JPMorgan

Mortgage

Trust

Series

2020-INV1,

Class

A11,

CMO,

ARM

1M

USD

LIBOR

+

0.83%,

0.96%,

8/25/50 (1)

7,528‌

7,579‌

JPMorgan

Mortgage

Trust

Series

2020-INV1,

Class

A3,

CMO,

ARM

3.50%,

8/25/50 (1)

12,730‌

13,155‌

JPMorgan

Mortgage

Trust

Series

2020-LTV1,

Class

A15,

CMO,

ARM

3.50%,

6/25/50 (1)

7,248‌

7,417‌

JPMorgan

Mortgage

Trust

Series

2020-LTV1,

Class

A3,

CMO,

ARM

3.50%,

6/25/50 (1)

17,930‌

18,377‌

MetLife

Securitization

Trust

Series

2018-1A,

Class

A,

CMO,

ARM

3.75%,

3/25/57 (1)

20,885‌

22,044‌

T.

ROWE

PRICE

New

Income

Fund

20

Par/Shares

$

Value

(Amounts

in

000s)

Mill

City

Mortgage

Loan

Trust

Series

2016-1,

Class

A1,

CMO,

ARM

2.50%,

4/25/57 (1)

2,779‌

2,803‌

Mill

City

Mortgage

Loan

Trust

Series

2018-1,

Class

A1,

CMO,

ARM

3.25%,

5/25/62 (1)

12,751‌

13,133‌

New

Residential

Mortgage

Loan

Trust

Series

2019-NQM2,

Class

A1,

CMO,

ARM

3.60%,

4/25/49 (1)

14,367‌

14,503‌

New

Residential

Mortgage

Loan

Trust

Series

2019-NQM3,

Class

A1,

CMO,

ARM

2.802%,

7/25/49 (1)

13,418‌

13,503‌

New

Residential

Mortgage

Loan

Trust

Series

2019-NQM5,

Class

A1,

CMO,

ARM

2.71%,

11/25/59 (1)

14,786‌

15,181‌

OBX

Trust

Series

2019-EXP2,

Class

1A3,

CMO,

ARM

4.00%,

6/25/59 (1)

14,019‌

14,620‌

OBX

Trust

Series

2019-EXP2,

Class

2A1A,

CMO,

ARM

1M

USD

LIBOR

+

0.90%,

1.018%,

6/25/59 (1)

4,452‌

4,468‌

OBX

Trust

Series

2019-EXP3,

Class

1A8,

CMO,

ARM

3.50%,

10/25/59 (1)

9,595‌

9,793‌

OBX

Trust

Series

2019-INV1,

Class

A10,

CMO,

ARM

4.00%,

11/25/48 (1)

16,378‌

16,498‌

OBX

Trust

Series

2019-INV2,

Class

A25,

CMO,

ARM

4.00%,

5/27/49 (1)

3,932‌

4,017‌

OBX

Trust

Series

2019-INV2,

Class

A5,

CMO,

ARM

4.00%,

5/27/49 (1)

10,642‌

10,903‌

OBX

Trust

Series

2020-EXP1,

Class

1A8,

CMO,

ARM

3.50%,

2/25/60 (1)

15,160‌

15,635‌

OBX

Trust

Series

2020-EXP1,

Class

2A1,

CMO,

ARM

1M

USD

LIBOR

+

0.75%,

0.868%,

2/25/60 (1)

4,247‌

4,284‌

OBX

Trust

Series

2020-EXP2,

Class

A8,

CMO,

ARM

3.00%,

5/25/60 (1)

32,966‌

33,896‌

OBX

Trust

Series

2020-INV1,

Class

A5,

CMO,

ARM

3.50%,

12/25/49 (1)

6,534‌

6,687‌

Sequoia

Mortgage

Trust

Series

2018-CH1,

Class

A2,

CMO,

ARM

3.50%,

2/25/48 (1)

3,869‌

3,955‌

T.

ROWE

PRICE

New

Income

Fund

21

Par/Shares

$

Value

(Amounts

in

000s)

Sequoia

Mortgage

Trust

Series

2018-CH2,

Class

A3,

CMO,

ARM

4.00%,

6/25/48 (1)

15,787‌

16,124‌

Sequoia

Mortgage

Trust

Series

2018-CH3,

Class

A2,

CMO,

ARM

4.00%,

8/25/48 (1)

12,239‌

12,587‌

Sequoia

Mortgage

Trust

Series

2018-CH4,

Class

A2,

CMO,

ARM

4.00%,

10/25/48 (1)

12,273‌

12,537‌

SG

Residential

Mortgage

Trust

Series

2019-3,

Class

A1,

CMO,

ARM

2.703%,

9/25/59 (1)

11,698‌

11,880‌

Starwood

Mortgage

Residential

Trust

Series

2018-IMC2,

Class

A1,

CMO,

ARM

4.121%,

10/25/48 (1)

7,067‌

7,343‌

Starwood

Mortgage

Residential

Trust

Series

2019-1,

Class

A1,

CMO,

ARM

2.941%,

6/25/49 (1)

23,143‌

23,488‌

Starwood

Mortgage

Residential

Trust

Series

2019-1,

Class

A2,

CMO,

ARM

3.146%,

6/25/49 (1)

9,845‌

10,005‌

Starwood

Mortgage

Residential

Trust

Series

2019-IMC1,

Class

A1,

CMO,

ARM

3.468%,

2/25/49 (1)

10,723‌

10,802‌

Starwood

Mortgage

Residential

Trust

Series

2019-IMC1,

Class

A3,

CMO,

ARM

3.754%,

2/25/49 (1)

9,262‌

9,294‌

Starwood

Mortgage

Residential

Trust

Series

2019-INV1,

Class

A1,

CMO,

ARM

2.61%,

9/27/49 (1)

19,990‌

20,376‌

Structured

Agency

Credit

Risk

Debt

Notes

Series

2017-DNA3,

Class

M1,

CMO,

ARM

1M

USD

LIBOR

+

0.75%,

0.868%,

3/25/30 

1,149‌

1,150‌

Structured

Agency

Credit

Risk

Debt

Notes

Series

2017-DNA3,

Class

M2AS,

CMO,

ARM

1M

USD

LIBOR

+

1.10%,

1.218%,

3/25/30 

30,119‌

30,344‌

Structured

Agency

Credit

Risk

Debt

Notes

Series

2017-HQA2,

Class

M2AS,

CMO,

ARM

1M

USD

LIBOR

+

1.05%,

1.168%,

12/25/29 

17,405‌

17,416‌

Structured

Agency

Credit

Risk

Debt

Notes

Series

2018-DNA1,

Class

M2AT,

CMO,

ARM

1M

USD

LIBOR

+

1.05%,

1.168%,

7/25/30 

22,853‌

22,756‌

Structured

Agency

Credit

Risk

Debt

Notes

Series

2018-DNA2,

Class

M1,

CMO,

ARM

1M

USD

LIBOR

+

0.80%,

0.918%,

12/25/30 (1)

6,937‌

6,939‌

Structured

Agency

Credit

Risk

Debt

Notes

Series

2018-DNA3,

Class

M1,

CMO,

ARM

1M

USD

LIBOR

+

0.75%,

0.868%,

9/25/48 (1)

26‌

26‌

T.

ROWE

PRICE

New

Income

Fund

22

Par/Shares

$

Value

(Amounts

in

000s)

Structured

Agency

Credit

Risk

Debt

Notes

Series

2018-HQA1,

Class

M2AS,

CMO,

ARM

1M

USD

LIBOR

+

1.10%,

1.218%,

9/25/30 

16,527‌

16,518‌

Structured

Agency

Credit

Risk

Debt

Notes

Series

2018-HQA2,

Class

M1,

CMO,

ARM

1M

USD

LIBOR

+

0.75%,

0.868%,

10/25/48 (1)

3,642‌

3,642‌

Structured

Agency

Credit

Risk

Debt

Notes

Series

2018-HRP2,

Class

M2,

CMO,

ARM

1M

USD

LIBOR

+

1.25%,

1.368%,

2/25/47 (1)

14,344‌

14,383‌

Structured

Agency

Credit

Risk

Debt

Notes

Series

2020-DNA2,

Class

M1,

CMO,

ARM

1M

USD

LIBOR

+

0.75%,

0.868%,

2/25/50 (1)

5,963‌

5,963‌

Structured

Agency

Credit

Risk

Debt

Notes

Series

2020-DNA5,

Class

M2,

CMO,

ARM

SOFR30A

+

2.80%,

2.845%,

10/25/50 (1)

14,000‌

14,132‌

Structured

Agency

Credit

Risk

Debt

Notes

Series

2020-HQA3,

Class

M1,

CMO,

ARM

1M

USD

LIBOR

+

1.55%,

1.668%,

7/25/50 (1)

2,265‌

2,266‌

Structured

Agency

Credit

Risk

Debt

Notes

Series

2020-HQA5,

Class

M1,

CMO,

ARM

SOFR30A

+

1.10%,

1.145%,

11/25/50 (1)

10,993‌

11,003‌

Towd

Point

Mortgage

Trust

Series

2015-3,

Class

A1B,

CMO,

ARM

3.00%,

3/25/54 (1)

659‌

659‌

Towd

Point

Mortgage

Trust

Series

2015-4,

Class

A1B,

CMO,

ARM

2.75%,

4/25/55 (1)

1,273‌

1,274‌

Towd

Point

Mortgage

Trust

Series

2015-4,

Class

M1,

CMO,

ARM

3.75%,

4/25/55 (1)

14,707‌

15,414‌

Towd

Point

Mortgage

Trust

Series

2015-5,

Class

A1B,

CMO,

ARM

2.75%,

5/25/55 (1)

2,351‌

2,359‌

Towd

Point

Mortgage

Trust

Series

2016-1,

Class

A1B,

CMO,

ARM

2.75%,

2/25/55 (1)

2,889‌

2,908‌

Towd

Point

Mortgage

Trust

Series

2016-1,

Class

A3B,

CMO,

ARM

3.00%,

2/25/55 (1)

6,038‌

6,154‌

Towd

Point

Mortgage

Trust

Series

2016-2,

Class

A1A,

CMO,

ARM

2.75%,

8/25/55 (1)

4,347‌

4,407‌

Towd

Point

Mortgage

Trust

Series

2016-3,

Class

A1,

CMO,

ARM

2.25%,

4/25/56 (1)

2,837‌

2,860‌

Towd

Point

Mortgage

Trust

Series

2016-4,

Class

A1,

CMO,

ARM

2.25%,

7/25/56 (1)

5,655‌

5,730‌

T.

ROWE

PRICE

New

Income

Fund

23

Par/Shares

$

Value

(Amounts

in

000s)

Towd

Point

Mortgage

Trust

Series

2017-1,

Class

A1,

CMO,

ARM

2.75%,

10/25/56 (1)

7,144‌

7,273‌

Towd

Point

Mortgage

Trust

Series

2017-2,

Class

A1,

CMO,

ARM

2.75%,

4/25/57 (1)

2,913‌

2,959‌

Towd

Point

Mortgage

Trust

Series

2017-5,

Class

A1,

CMO,

ARM

1M

USD

LIBOR

+

0.60%,

0.718%,

2/25/57 (1)

7,514‌

7,514‌

Towd

Point

Mortgage

Trust

Series

2018-1,

Class

A1,

CMO,

ARM

3.00%,

1/25/58 (1)

11,944‌

12,321‌

Verus

Securitization

Trust

Series

2019-1,

Class

A3,

CMO,

ARM

4.04%,

2/25/59 (1)

15,592‌

15,627‌

Verus

Securitization

Trust

Series

2019-2,

Class

A1,

CMO,

ARM

3.211%,

5/25/59 (1)

12,321‌

12,382‌

Verus

Securitization

Trust

Series

2019-2,

Class

A3,

CMO,

ARM

3.448%,

5/25/59 (1)

16,405‌

16,466‌

Verus

Securitization

Trust

Series

2019-3,

Class

A3,

CMO,

STEP

3.04%,

7/25/59 (1)

12,763‌

13,047‌

Verus

Securitization

Trust

Series

2019-4,

Class

A1,

CMO,

STEP

2.642%,

11/25/59 (1)

14,531‌

14,838‌

Verus

Securitization

Trust

Series

2019-4,

Class

M1,

CMO,

ARM

3.207%,

11/25/59 (1)

5,200‌

5,367‌

Verus

Securitization

Trust

Series

2019-INV1,

Class

A1,

CMO,

ARM

3.402%,

12/25/59 (1)

9,343‌

9,463‌

Verus

Securitization

Trust

Series

2019-INV1,

Class

A3,

CMO,

ARM

3.658%,

12/25/59 (1)

8,309‌

8,403‌

Verus

Securitization

Trust

Series

2019-INV2,

Class

A3,

CMO,

ARM

3.219%,

7/25/59 (1)

11,313‌

11,589‌

Verus

Securitization

Trust

Series

2019-INV3,

Class

A1,

CMO,

ARM

2.692%,

11/25/59 (1)

14,435‌

14,821‌

Verus

Securitization

Trust

Series

2019-INV3,

Class

A3,

CMO,

ARM

3.10%,

11/25/59 (1)

11,106‌

11,361‌

Verus

Securitization

Trust

Series

2020-1,

Class

A1,

CMO,

STEP

2.417%,

1/25/60 (1)

16,717‌

17,029‌

T.

ROWE

PRICE

New

Income

Fund

24

Par/Shares

$

Value

(Amounts

in

000s)

Verus

Securitization

Trust

Series

2020-2,

Class

A3,

CMO,

ARM

3.995%,

5/25/60 (1)

7,815‌

8,264‌

Verus

Securitization

Trust

Series

2020-INV1,

Class

A1,

CMO,

ARM

1.977%,

3/25/60 (1)

5,578‌

5,675‌

Vista

Point

Securitization

Trust

Series

2020-1,

Class

A1,

CMO,

ARM

1.763%,

3/25/65 (1)

13,953‌

14,080‌

Vista

Point

Securitization

Trust

Series

2020-1,

Class

A3,

CMO,

ARM

3.201%,

3/25/65 (1)

17,346‌

17,862‌

Vista

Point

Securitization

Trust

Series

2020-2,

Class

A1,

CMO,

ARM

1.475%,

4/25/65 (1)

15,680‌

15,770‌

1,299,343‌

Commercial

Mortgage-Backed

Securities

5.5%

225

Liberty

Street

Trust

Series

2016-225L,

Class

A

3.597%,

2/10/36 (1)

13,535‌

14,932‌

Ashford

Hospitality

Trust

Series

2018-ASHF,

Class

B,

ARM

1M

USD

LIBOR

+

1.25%,

1.362%,

4/15/35 (1)

21,605‌

21,445‌

Austin

Fairmont

Hotel

Trust

Series

2019-FAIR,

Class

B,

ARM

1M

USD

LIBOR

+

1.25%,

1.362%,

9/15/32 (1)

11,890‌

11,875‌

Austin

Fairmont

Hotel

Trust

Series

2019-FAIR,

Class

D,

ARM

1M

USD

LIBOR

+

1.80%,

1.912%,

9/15/32 (1)

4,935‌

4,861‌

Aventura

Mall

Trust

Series

2018-AVM,

Class

A,

ARM

4.112%,

7/5/40 (1)

39,170‌

44,146‌

BAMLL

Commercial

Mortgage-Backed

Securities

Trust

Series

2018-DSNY,

Class

A,

ARM

1M

USD

LIBOR

+

0.85%,

0.962%,

9/15/34 (1)

35,456‌

35,444‌

BANK

Series

2017-BNK8,

Class

AS

3.731%,

11/15/50 

2,705‌

3,014‌

Barclays

Commercial

Mortgage

Trust

Series

2018-CBM,

Class

A,

ARM

1M

USD

LIBOR

+

1.00%,

1.112%,

7/15/37 (1)

10,463‌

10,444‌

Barclays

Commercial

Mortgage

Trust

Series

2019-BWAY,

Class

D,

ARM

1M

USD

LIBOR

+

2.16%,

2.272%,

11/15/34 (1)

10,230‌

10,077‌

Barclays

Commercial

Mortgage

Trust

Series

2019-C5,

Class

C

3.71%,

11/15/52 

13,525‌

13,682‌

T.

ROWE

PRICE

New

Income

Fund

25

Par/Shares

$

Value

(Amounts

in

000s)

Benchmark

Mortgage

Trust

Series

2018-B3,

Class

AS,

ARM

4.195%,

4/10/51 

14,540‌

16,624‌

BX

Commercial

Mortgage

Trust

Series

2019-IMC,

Class

E,

ARM

1M

USD

LIBOR

+

2.15%,

2.262%,

4/15/34 (1)

32,870‌

32,045‌

BX

Trust

Series

2018-GW,

Class

B,

ARM

1M

USD

LIBOR

+

1.02%,

1.132%,

5/15/35 (1)

9,610‌

9,607‌

Cantor

Commercial

Real

Estate

Lending

Series

2019-CF2,

Class

B

3.267%,

11/15/52 

9,752‌

10,099‌

Cantor

Commercial

Real

Estate

Lending

Series

2019-CF2,

Class

C,

ARM

3.662%,

11/15/52 

3,875‌

4,016‌

Citigroup

Commercial

Mortgage

Trust

Series

2013-375P,

Class

D,

ARM

3.518%,

5/10/35 (1)

14,725‌

14,909‌

Citigroup

Commercial

Mortgage

Trust

Series

2015-GC27,

Class

AS

3.571%,

2/10/48 

9,880‌

10,649‌

Citigroup

Commercial

Mortgage

Trust

Series

2015-GC33,

Class

AS

4.114%,

9/10/58 

8,061‌

8,885‌

Citigroup

Commercial

Mortgage

Trust

Series

2016-P4,

Class

AS

3.075%,

7/10/49 

11,205‌

11,699‌

Citigroup

Commercial

Mortgage

Trust

Series

2017-P7,

Class

AS

3.915%,

4/14/50 

27,657‌

30,746‌

Citigroup

Commercial

Mortgage

Trust

Series

2018-B2,

Class

C,

ARM

4.672%,

3/10/51 

3,320‌

3,376‌

Citigroup

Commercial

Mortgage

Trust

Series

2019-C7,

Class

805A,

ARM

3.79%,

12/15/72 (1)

12,000‌

11,745‌

Citigroup

Commercial

Mortgage

Trust

Series

2020-555,

Class

A

2.647%,

12/10/41 (1)

19,685‌

20,520‌

Citigroup

Commercial

Mortgage

Trust

Series

2020-555,

Class

C

3.031%,

12/10/41 (1)

8,370‌

8,194‌

Citigroup

Commercial

Mortgage

Trust

Series

2020-555,

Class

D

3.233%,

12/10/41 (1)

5,500‌

5,287‌

Cold

Storage

Trust

Series

2020-ICE5,

Class

B,

ARM

1M

USD

LIBOR

+

1.30%,

1.412%,

11/15/37 (1)

11,083‌

11,101‌

T.

ROWE

PRICE

New

Income

Fund

26

Par/Shares

$

Value

(Amounts

in

000s)

Cold

Storage

Trust

Series

2020-ICE5,

Class

C,

ARM

1M

USD

LIBOR

+

1.65%,

1.762%,

11/15/37 (1)

23,705‌

23,749‌

Commercial

Mortgage

Trust

Series

2013-CR6,

Class

AM

3.147%,

3/10/46 (1)

6,715‌

6,972‌

Commercial

Mortgage

Trust

Series

2015-CR24,

Class

A5

3.696%,

8/10/48 

7,340‌

8,131‌

Commercial

Mortgage

Trust

Series

2015-CR24,

Class

AM,

ARM

4.028%,

8/10/48 

5,745‌

6,332‌

Commercial

Mortgage

Trust

Series

2015-DC1,

Class

AM

3.724%,

2/10/48 

5,360‌

5,784‌

Commercial

Mortgage

Trust

Series

2015-LC21,

Class

AM,

ARM

4.043%,

7/10/48 

21,415‌

23,589‌

Commercial

Mortgage

Trust

Series

2015-LC21,

Class

B,

ARM

4.335%,

7/10/48 

28,450‌

30,822‌

Commercial

Mortgage

Trust

Series

2015-PC1,

Class

B,

ARM

4.32%,

7/10/50 

13,560‌

14,441‌

CSAIL

Commercial

Mortgage

Trust

Series

2016-C5,

Class

AS

4.01%,

11/15/48 

5,000‌

5,527‌

CSAIL

Commercial

Mortgage

Trust

Series

2016-C6,

Class

A5

3.09%,

1/15/49 

5,000‌

5,395‌

CSAIL

Commercial

Mortgage

Trust

Series

2016-C7,

Class

AS,

ARM

3.958%,

11/15/49 

22,584‌

24,843‌

CSAIL

Commercial

Mortgage

Trust

Series

2019-C17,

Class

AS

3.278%,

9/15/52 

14,473‌

15,630‌

CSAIL

Commercial

Mortgage

Trust

Series

2019-C17,

Class

B

3.48%,

9/15/52 

16,560‌

17,217‌

Eleven

Madison

Mortgage

Trust

Series

2015-11MD,

Class

A,

ARM

3.555%,

9/10/35 (1)

23,679‌

25,917‌

FREMF

Mortgage

Trust

Series

2018-K731,

Class

B,

ARM

3.932%,

2/25/25 (1)

8,375‌

9,092‌

FREMF

Mortgage

Trust

Series

2019-K100,

Class

B,

ARM

3.49%,

11/25/52 (1)

11,325‌

12,107‌

T.

ROWE

PRICE

New

Income

Fund

27

Par/Shares

$

Value

(Amounts

in

000s)

FREMF

Mortgage

Trust

Series

2019-K103,

Class

B,

ARM

3.453%,

12/25/51 (1)

9,280‌

9,893‌

FREMF

Mortgage

Trust

Series

2019-K92,

Class

B,

ARM

4.193%,

5/25/52 (1)

11,400‌

12,783‌

FREMF

Mortgage

Trust

Series

2019-K94,

Class

B,

ARM

3.965%,

7/25/52 (1)

6,610‌

7,329‌

FREMF

Mortgage

Trust

Series

2019-K94,

Class

C,

ARM

3.965%,

7/25/52 (1)

8,000‌

8,403‌

FREMF

Mortgage

Trust

Series

2019-K97,

Class

B,

ARM

3.764%,

9/25/51 (1)

9,820‌

10,780‌

FREMF

Mortgage

Trust

Series

2019-K98,

Class

B,

ARM

3.737%,

10/25/52 (1)

15,125‌

16,451‌

Great

Wolf

Trust

Series

2019-WOLF,

Class

D,

ARM

1M

USD

LIBOR

+

1.933%,

2.045%,

12/15/36 (1)

18,025‌

17,665‌

GS

Mortgage

Securities

Trust

Series

2019-GC40,

Class

B

3.543%,

7/10/52 

12,730‌

13,629‌

GS

Mortgage

Securities

Trust

Series

2019-SOHO,

Class

D,

ARM

1M

USD

LIBOR

+

1.60%,

1.712%,

6/15/36 (1)

36,850‌

36,811‌

Hilton

Orlando

Trust

Series

2018-ORL,

Class

A,

ARM

1M

USD

LIBOR

+

0.92%,

1.032%,

12/15/34 (1)

25,314‌

25,306‌

Hilton

Orlando

Trust

Series

2018-ORL,

Class

B,

ARM

1M

USD

LIBOR

+

1.20%,

1.312%,

12/15/34 (1)

5,540‌

5,533‌

Independence

Plaza

Trust

Series

2018-INDP,

Class

B

3.911%,

7/10/35 (1)

12,220‌

12,857‌

InTown

Hotel

Portfolio

Trust

Series

2018-STAY,

Class

B,

ARM

1M

USD

LIBOR

+

1.30%,

1.413%,

1/15/33 (1)

3,510‌

3,506‌

JPMorgan

Chase

Commercial

Mortgage

Securities

Trust

Series

2016-NINE,

Class

B,

ARM

2.854%,

9/6/38 (1)

11,320‌

11,931‌

JPMorgan

Chase

Commercial

Mortgage

Securities

Trust

Series

2018-WPT,

Class

AFX

4.248%,

7/5/33 (1)

9,825‌

10,436‌

JPMorgan

Chase

Commercial

Mortgage

Securities

Trust

Series

2018-WPT,

Class

BFX

4.549%,

7/5/33 (1)

7,620‌

8,077‌

T.

ROWE

PRICE

New

Income

Fund

28

Par/Shares

$

Value

(Amounts

in

000s)

JPMorgan

Chase

Commercial

Mortgage

Securities

Trust

Series

2018-WPT,

Class

CFX

4.95%,

7/5/33 (1)

11,395‌

12,059‌

JPMorgan

Deutsche

Bank

Commercial

Mortgage

Securities

Trust

Series

2016-C1,

Class

AM

3.539%,

5/10/49 

4,820‌

5,225‌

JPMorgan

Deutsche

Bank

Commercial

Mortgage

Securities

Trust

Series

2016-C4,

Class

AS

3.385%,

12/15/49 

15,210‌

16,463‌

JPMorgan

Deutsche

Bank

Commercial

Mortgage

Securities

Trust

Series

2017-C5,

Class

AS,

ARM

3.858%,

3/15/50 

15,745‌

17,375‌

Morgan

Stanley

Bank

of

America

Merrill

Lynch

Trust

Series

2014-C17,

Class

B,

ARM

4.464%,

8/15/47 

20,470‌

22,185‌

Morgan

Stanley

Capital

I

Trust

Series

2015-MS1,

Class

AS,

ARM

4.031%,

5/15/48 

3,355‌

3,697‌

Morgan

Stanley

Capital

I

Trust

Series

2017-H1,

Class

AS

3.773%,

6/15/50 

20,075‌

22,091‌

Morgan

Stanley

Capital

I

Trust

Series

2017-H1,

Class

B

4.075%,

6/15/50 

9,225‌

9,838‌

Morgan

Stanley

Capital

I

Trust

Series

2017-H1,

Class

C,

ARM

4.281%,

6/15/50 

4,520‌

4,756‌

Palisades

Center

Trust

Series

2016-PLSD,

Class

A

2.713%,

4/13/33 (1)

11,362‌

10,497‌

SLIDE

Series

2018-FUN,

Class

B,

ARM

1M

USD

LIBOR

+

1.25%,

1.362%,

6/15/31 (1)

9,108‌

9,027‌

UBS

Commercial

Mortgage

Trust

Series

2018-C9,

Class

AS,

ARM

4.318%,

3/15/51 

12,230‌

14,035‌

VNDO

Trust

Series

2016-350P,

Class

D,

ARM

3.903%,

1/10/35 (1)

10,909‌

11,151‌

Wells

Fargo

Commercial

Mortgage

Trust

Series

2014-LC18,

Class

AS

3.808%,

12/15/47 

5,860‌

6,358‌

Wells

Fargo

Commercial

Mortgage

Trust

Series

2015-C29,

Class

AS,

ARM

4.013%,

6/15/48 

6,250‌

6,875‌

Wells

Fargo

Commercial

Mortgage

Trust

Series

2015-NXS2,

Class

AS,

ARM

4.121%,

7/15/58 

6,215‌

6,873‌

T.

ROWE

PRICE

New

Income

Fund

29

Par/Shares

$

Value

(Amounts

in

000s)

Wells

Fargo

Commercial

Mortgage

Trust

Series

2015-NXS2,

Class

C,

ARM

4.293%,

7/15/58 

4,900‌

5,240‌

Wells

Fargo

Commercial

Mortgage

Trust

Series

2017-C39,

Class

B

4.025%,

9/15/50 

5,750‌

6,270‌

Wells

Fargo

Commercial

Mortgage

Trust

Series

2017-C41,

Class

AS,

ARM

3.785%,

11/15/50 

15,000‌

16,508‌

Wells

Fargo

Commercial

Mortgage

Trust

Series

2019-C50,

Class

D

3.00%,

5/15/52 (1)

12,000‌

10,229‌

Wells

Fargo

Commercial

Mortgage

Trust

Series

2019-C52,

Class

B

3.375%,

8/15/52 

13,765‌

14,501‌

Wells

Fargo

Commercial

Mortgage

Trust

Series

2019-JWDR,

Class

A,

ARM

2.501%,

9/15/31 (1)

36,095‌

36,939‌

Worldwide

Plaza

Trust

Series

2017-WWP,

Class

A

3.526%,

11/10/36 (1)

33,185‌

36,349‌

Worldwide

Plaza

Trust

Series

2017-WWP,

Class

C,

ARM

3.596%,

11/10/36 (1)

6,005‌

6,155‌

1,137,056‌

Total

Non-U.S.

Government

Mortgage-Backed

Securities

(Cost

$2,377,571)

2,436,399‌

U.S.

GOVERNMENT

&

AGENCY

MORTGAGE-BACKED

SECURITIES

18.6%

U.S.

Government

Agency

Obligations

14.0%

(10)

Federal

Home

Loan

Mortgage

2.50%,

5/1/30 

35,455‌

37,447‌

3.00%,

12/1/42

-

4/1/47 

24,425‌

26,358‌

3.50%,

9/1/42

-

3/1/46 

134,375‌

146,530‌

4.00%,

10/1/40

-

8/1/45 

15,814‌

17,431‌

4.50%,

6/1/39

-

5/1/42 

24,275‌

27,259‌

5.00%,

7/1/25

-

8/1/40 

6,150‌

7,149‌

5.50%,

11/1/21

-

12/1/39 

6,021‌

7,055‌

6.00%,

8/1/21

-

8/1/38 

3,559‌

4,234‌

6.50%,

2/1/24

-

9/1/39 

1,426‌

1,634‌

7.00%,

2/1/24

-

6/1/32 

28‌

30‌

7.50%,

5/1/24

-

6/1/24 

5‌

5‌

Federal

Home

Loan

Mortgage,

ARM

12M

USD

LIBOR

+

1.725%,

2.725%,

7/1/35 

42‌

42‌

T.

ROWE

PRICE

New

Income

Fund

30

Par/Shares

$

Value

(Amounts

in

000s)

12M

USD

LIBOR

+

1.735%,

2.109%,

2/1/37 

186‌

195‌

12M

USD

LIBOR

+

1.78%,

2.285%,

9/1/32 

8‌

8‌

12M

USD

LIBOR

+

1.81%,

2.287%,

3/1/36 

168‌

178‌

12M

USD

LIBOR

+

1.831%,

2.205%,

1/1/37 

172‌

173‌

12M

USD

LIBOR

+

1.93%,

2.314%,

12/1/36 

93‌

99‌

12M

USD

LIBOR

+

2.03%,

2.448%,

11/1/36 

131‌

132‌

1Y

CMT

+

2.25%,

2.567%,

10/1/36 

98‌

105‌

Federal

Home

Loan

Mortgage,

CMO,

4.00%,

11/15/36 

27‌

27‌

Federal

Home

Loan

Mortgage,

CMO,

IO,

4.50%,

5/25/50 

20,435‌

3,182‌

Federal

Home

Loan

Mortgage,

CMO,

PO,

Zero

Coupon,

8/15/28 

12‌

11‌

Federal

Home

Loan

Mortgage,

UMBS

3.00%,

11/1/34

-

12/1/50 

50,843‌

54,131‌

3.50%,

7/1/50 

7,396‌

7,859‌

4.00%,

1/1/50

-

2/1/50 

50,785‌

54,635‌

4.50%,

5/1/50 

7,284‌

7,975‌

Federal

National

Mortgage

Assn.

3.00%,

6/1/33

-

8/1/46 

10,041‌

10,712‌

3.50%,

6/1/42

-

5/1/46 

83,300‌

90,956‌

4.00%,

11/1/40 

26,985‌

29,613‌

Federal

National

Mortgage

Assn.,

ARM

12M

USD

LIBOR

+

1.34%,

1.715%,

12/1/35 

76‌

76‌

12M

USD

LIBOR

+

1.61%,

2.542%,

7/1/36 

459‌

483‌

12M

USD

LIBOR

+

1.66%,

2.62%,

8/1/37 

108‌

110‌

12M

USD

LIBOR

+

1.89%,

2.638%,

8/1/36 

202‌

207‌

Federal

National

Mortgage

Assn.,

CMO,

4.00%,

6/25/44 

6,789‌

6,935‌

Federal

National

Mortgage

Assn.,

CMO,

IO,

6.50%,

2/25/32 

39‌

6‌

Federal

National

Mortgage

Assn.,

UMBS

2.50%,

5/1/30

-

12/1/50 

175,160‌

182,042‌

3.00%,

6/1/27

-

7/1/50 

593,183‌

635,769‌

3.50%,

11/1/32

-

9/1/49 

209,720‌

225,329‌

4.00%,

11/1/40

-

1/1/50 

228,928‌

251,563‌

4.50%,

4/1/26

-

5/1/50 

159,787‌

178,152‌

5.00%,

10/1/21

-

6/1/48 

38,663‌

44,715‌

5.50%,

3/1/21

-

9/1/41 

30,408‌

35,471‌

6.00%,

3/1/21

-

1/1/41 

33,946‌

40,598‌

6.50%,

8/1/27

-

3/1/41 

14,371‌

16,783‌

7.00%,

10/1/29

-

4/1/37 

110‌

121‌

UMBS,

TBA

2.00%,

4/1/36

-

3/1/51 (11)

366,890‌

372,340‌

2.50%,

3/1/51 (11)

210,080‌

217,794‌

3.00%,

3/1/51 (11)

122,400‌

128,099‌

4.00%,

3/1/51 (11)

9,915‌

10,653‌

2,882,411‌

U.S.

Government

Obligations

4.6%

Government

National

Mortgage

Assn.

T.

ROWE

PRICE

New

Income

Fund

31

Par/Shares

$

Value

(Amounts

in

000s)

2.50%,

1/20/51 

55,203‌

57,338‌

3.00%,

9/15/42

-

7/20/50 

195,516‌

206,720‌

3.50%,

9/15/41

-

4/20/48 

194,319‌

210,796‌

4.00%,

2/20/41

-

1/20/48 

91,914‌

101,013‌

4.50%,

7/15/26

-

7/20/47 

34,738‌

38,843‌

5.00%,

9/15/33

-

8/20/48 

72,703‌

82,705‌

5.50%,

10/20/32

-

3/20/49 

38,466‌

43,750‌

6.00%,

1/20/34

-

12/20/38 

3,394‌

4,006‌

6.50%,

1/15/26

-

12/20/33 

93‌

108‌

7.00%,

12/20/23

-

11/20/28 

25‌

28‌

7.50%,

2/15/22

-

8/15/28 

58‌

62‌

8.00%,

12/15/21

-

5/15/32 

194‌

215‌

8.50%,

9/15/22

-

9/20/26 

3‌

3‌

Government

National

Mortgage

Assn.,

CMO

3.00%,

11/20/47

-

12/20/47 

12,187‌

12,756‌

Government

National

Mortgage

Assn.,

CMO,

IO

3.50%,

4/20/39

-

5/20/43 

5,832‌

728‌

4.00%,

5/20/37

-

2/20/43 

11,801‌

852‌

4.50%,

5/20/39

-

12/20/39 

1,098‌

25‌

Government

National

Mortgage

Assn.,

TBA

2.00%,

3/20/51 (11)

25,735‌

26,120‌

2.50%,

3/20/51 (11)

94,995‌

98,632‌

3.00%,

4/20/51 (11)

31,415‌

32,734‌

4.00%,

3/20/51 (11)

31,125‌

33,301‌

950,735‌

Total

U.S.

Government

&

Agency

Mortgage-Backed

Securities

(Cost

$3,727,344)

3,833,146‌

U.S.

GOVERNMENT

AGENCY

OBLIGATIONS

(EXCLUDING

MORTGAGE-BACKED)

20.6%

U.S.

Treasury

Obligations

20.6%

U.S.

Treasury

Bonds,

1.375%,

11/15/40 

435,500‌

389,772‌

U.S.

Treasury

Bonds,

1.625%,

11/15/50 

219,695‌

195,460‌

U.S.

Treasury

Bonds,

1.875%,

2/15/41 

112,100‌

109,648‌

U.S.

Treasury

Bonds,

1.875%,

2/15/51 

32,525‌

30,787‌

U.S.

Treasury

Inflation-Indexed

Bonds,

0.25%,

2/15/50 

67,418‌

72,527‌

U.S.

Treasury

Inflation-Indexed

Notes,

0.125%,

1/15/31 (9)

188,640‌

205,647‌

U.S.

Treasury

Notes,

0.125%,

12/31/22 

282,770‌

282,770‌

U.S.

Treasury

Notes,

0.125%,

1/31/23 

417,345‌

417,280‌

U.S.

Treasury

Notes,

0.125%,

5/15/23 

225,080‌

224,869‌

U.S.

Treasury

Notes,

0.125%,

1/15/24 

626,940‌

624,491‌

U.S.

Treasury

Notes,

0.125%,

2/15/24 

365,930‌

364,329‌

U.S.

Treasury

Notes,

0.375%,

12/31/25 (9)

310,400‌

305,695‌

U.S.

Treasury

Notes,

1.375%,

10/15/22 (12)

333,580‌

340,304‌

T.

ROWE

PRICE

New

Income

Fund

32

Par/Shares

$

Value

(Amounts

in

000s)

U.S.

Treasury

Notes,

1.625%,

11/15/22 

414,420‌

424,975‌

U.S.

Treasury

Notes,

1.625%,

12/15/22 

246,475‌

253,061‌

Total

U.S.

Government

Agency

Obligations

(Excluding

Mortgage-Backed)

(Cost

$4,266,778)

4,241,615‌

SHORT-TERM

INVESTMENTS

9.1%

Money

Market

Funds

9.1%

T.

Rowe

Price

Government

Reserve

Fund,

0.05% (4)(13)

1,881,600‌

1,881,600‌

Total

Short-Term

Investments

(Cost

$1,881,600)

1,881,600‌

SECURITIES

LENDING

COLLATERAL

1.1%

INVESTMENTS

IN

A

POOLED

ACCOUNT

THROUGH

SECURITIES

LENDING

PROGRAM

WITH

JPMORGAN

CHASE

BANK

0.1%

Short-Term

Funds

0.1%

T.

Rowe

Price

Short-Term

Fund,

0.10% (4)(13)

2,852‌

28,524‌

Total

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

JPMorgan

Chase

Bank

28,524‌

INVESTMENTS

IN

A

POOLED

ACCOUNT

THROUGH

SECURITIES

LENDING

PROGRAM

WITH

STATE

STREET

BANK

1.0%

Short-Term

Funds

1.0%

T.

Rowe

Price

Short-Term

Fund,

0.10% (4)(13)

20,832‌

208,317‌

Total

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

State

Street

Bank

208,317‌

Total

Securities

Lending

Collateral

(Cost

$236,841)

236,841‌

Total

Investments

in

Securities

106.2%

(Cost

$21,388,227)

$

21,902,836‌

Other

Assets

Less

Liabilities

(6.2)%

(1,288,159‌)

Net

Assets

100.0%

$

20,614,677‌

T.

ROWE

PRICE

New

Income

Fund

33

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

‡

Par/Shares

and

Notional

Amount

are

denominated

in

U.S.

dollars

unless

otherwise

noted.

(1)

Security

was

purchased

pursuant

to

Rule

144A

under

the

Securities

Act

of

1933

and

may

be

resold

in

transactions

exempt

from

registration

only

to

qualified

institutional

buyers.

Total

value

of

such

securities

at

period-end

amounts

to

$5,197,459

and

represents

25.2%

of

net

assets.

(2)

All

or

a

portion

of

this

loan

is

unsettled

as

of

February

28,

2021.

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)

Perpetual

security

with

no

stated

maturity

date.

(7)

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

has

registration

rights

for

certain

restricted

securities.

Any

costs

related

to

such

registration

are

borne

by

the

issuer.

The

aggregate

value

of

restricted

securities

(excluding

144A

holdings)

at

period

end

amounts

to

$9,105

and

represents

0.0%

of

net

assets.

(8)

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

is

provided

if

the

rate

is

currently

floating.

(9)

All

or

a

portion

of

this

security

is

on

loan

at

February

28,

2021.

(10)

Issuer

operates

under

a

Congressional

charter;

its

securities

are

neither

issued

nor

guaranteed

by

the

U.S.

government.

The

Federal

National

Mortgage

Association

and

the

Federal

Home

Loan

Mortgage

Corporation,

including

UMBS,

currently

operate

under

a

federal

conservatorship.

(11)

To-Be-Announced

purchase

commitment.

Total

value

of

such

securities

at

period-end

amounts

to

$919,673

and

represents

4.5%

of

net

assets.

(12)

At

February

28,

2021,

all

or

a

portion

of

this

security

is

pledged

as

collateral

and/or

margin

deposit

to

cover

future

funding

obligations.

(13)

Seven-day

yield

1M

USD

LIBOR

One

month

USD

LIBOR

(London

interbank

offered

rate)

3M

USD

LIBOR

Three

month

USD

LIBOR

(London

interbank

offered

rate)

12M

USD

LIBOR

Twelve

month

USD

LIBOR

(London

interbank

offered

rate)

1Y

CMT

One

year

U.S.

Treasury

note

constant

maturity

ARM

Adjustable

Rate

Mortgage

(ARM);

rate

shown

is

effective

rate

at

period-end.

The

rates

for

certain

ARMs

are

not

based

on

a

published

reference

rate

and

spread

but

may

be

determined

using

a

formula

based

on

the

rates

of

the

underlying

loans. 

AUD

Australian

Dollar

CAD

Canadian

Dollar

CLO

Collateralized

Loan

Obligation

T.

ROWE

PRICE

New

Income

Fund

34

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

CMO

Collateralized

Mortgage

Obligation

EUR

Euro

FRN

Floating

Rate

Note

GBP

British

Pound

IDR

Indonesian

Rupiah

INR

Indian

Rupee

IO

Interest-only

security

for

which

the

fund

receives

interest

on

notional

principal

JPY

Japanese

Yen

MXN

Mexican

Peso

NOK

Norwegian

Krone

NZD

New

Zealand

Dollar

PEN

Peruvian

Sol

PO

Principal-only

security

for

which

the

fund

receives

regular

cash

flows

based

on

principal

repayments

PTT

Pass-Through

Trust

RON

New

Romanian

Leu

RUB

Russian

Ruble

SOFR30A

30-day

Average

SOFR

(Secured

Overnight

Financing

Rate)

STEP

Stepped

coupon

bond

for

which

the

coupon

rate

of

interest

adjusts

on

specified

date(s);

rate

shown

is

effective

rate

at

period-end.

TBA

To-Be-Announced

UMBS

Uniform

Mortgage-Backed

Securities

VR

Variable

Rate;

rate

shown

is

effective

rate

at

period-end.

The

rates

for

certain

variable

rate

securities

are

not

based

on

a

published

reference

rate

and

spread

but

are

determined

by

the

issuer

or

agent

and

based

on

current

market

conditions.

T.

ROWE

PRICE

New

Income

Fund

35

(Amounts

in

000s)

SWAPS

0.1%

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)

**

Unrealized

$

Gain/(Loss)

BILATERAL

SWAPS

0.0%

Credit

Default

Swaps,

Protection

Sold

0.0%

Bank

of

America,

Protection

Sold

(Relevant

Credit:

Boeing,

Baa2*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

12/20/21

*

50,945

325

204

121

Barclays

Bank,

Protection

Sold

(Relevant

Credit:

Devon

Energy,

Ba1*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

12/20/24

*

2,445

14

1

13

Barclays

Bank,

Protection

Sold

(Relevant

Credit:

Republic

of

Chile,

A1*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

12/20/25

*

86,490

1,968

1,109

859

Barclays

Bank,

Protection

Sold

(Relevant

Credit:

Republic

of

Indonesia,

Baa2*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

12/20/25

*

15,905

190

30

160

Barclays

Bank,

Protection

Sold

(Relevant

Credit:

United

Mexican

States,

Baa1*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

12/20/25

*

54,560

(96)

297

(393)

BNP

Paribas,

Protection

Sold

(Relevant

Credit:

Republic

of

Chile,

A1*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

12/20/25

*

48,315

1,100

822

278

Citibank,

Protection

Sold

(Relevant

Credit:

Devon

Energy,

Ba1*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

12/20/24

*

5,205

30

(20)

50

Citibank,

Protection

Sold

(Relevant

Credit:

United

Mexican

States,

Baa1*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

12/20/25

*

52,830

(93)

248

(341)

Goldman

Sachs,

Protection

Sold

(Relevant

Credit:

Republic

of

Indonesia,

Baa2*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

12/20/25

*

91,295

1,093

70

1,023

JPMorgan

Chase,

Protection

Sold

(Relevant

Credit:

Barclays

Bank,

A*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

6/20/24

(EUR)

*

5,777

160

48

112

T.

ROWE

PRICE

New

Income

Fund

36

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)**

Unrealized

$

Gain/(Loss)

Morgan

Stanley,

Protection

Sold

(Relevant

Credit:

Devon

Energy,

Ba1*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

12/20/24

*

3,075

18

(14)

32

Total

Bilateral

Credit

Default

Swaps,

Protection

Sold

2,795

1,914

Total

Bilateral

Swaps

2,795

1,914

Description

Notional

Amount

$

Value

Initial

$

Value

**

Unrealized

$

Gain/(Loss)

CENTRALLY

CLEARED

SWAPS

0.1%

Credit

Default

Swaps,

Protection

Sold

0.1%

Protection

Sold

(Relevant

Credit:

Markit

CDX.NA.HY-S35,

5

Year

Index),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

12/20/25

92,600

8,588

9,255

(667)

Protection

Sold

(Relevant

Credit:

Markit

CDX.NA.IG-S35,

5

Year

Index),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

12/20/25

416,104

9,522

8,608

914

Total

Centrally

Cleared

Credit

Default

Swaps,

Protection

Sold

247

Total

Centrally

Cleared

Swaps

247

Net

payments

(receipts)

of

variation

margin

to

date

60

Variation

margin

receivable

(payable)

on

centrally

cleared

swaps

$

307‌

*

Credit

ratings

as

of

February

28,

2021.

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

$676.

T.

ROWE

PRICE

New

Income

Fund

37

(Amounts

in

000s)

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

Counterparty

Settlement

Receive

Deliver

Unrealized

Gain/(Loss)

Bank

of

America

4/9/21

IDR

144,949,940‌

USD

10,244‌

$

(243‌)

Bank

of

America

4/9/21

INR

392,662‌

USD

5,306‌

(31‌)

Bank

of

America

4/16/21

MXN

210,860‌

USD

10,447‌

(425‌)

Bank

of

America

4/16/21

RON

41,985‌

USD

10,436‌

(72‌)

Bank

of

America

4/16/21

USD

20,684‌

RON

83,600‌

47‌

Bank

of

America

4/23/21

CAD

13,325‌

USD

10,409‌

62‌

Barclays

Bank

4/9/21

USD

20,638‌

PEN

75,135‌

44‌

Canadian

Imperial

Bank

of

Commerce

4/23/21

CAD

64,485‌

USD

51,096‌

(420‌)

Citibank

4/16/21

USD

20,247‌

MXN

415,115‌

516‌

Citibank

4/23/21

AUD

82,200‌

USD

63,121‌

140‌

Citibank

4/23/21

AUD

34,660‌

USD

26,999‌

(324‌)

Citibank

4/23/21

JPY

4,437,993‌

USD

42,729‌

(1,065‌)

Citibank

4/23/21

USD

51,190‌

NOK

434,130‌

1,126‌

Citibank

4/23/21

USD

52,208‌

NZD

72,460‌

(146‌)

Credit

Suisse

4/9/21

RUB

752,885‌

USD

10,155‌

(125‌)

Credit

Suisse

4/9/21

USD

20,818‌

INR

1,538,480‌

150‌

Credit

Suisse

4/23/21

NOK

427,395‌

USD

50,155‌

(868‌)

Deutsche

Bank

4/9/21

IDR

44,190,186‌

USD

3,114‌

(65‌)

Deutsche

Bank

4/9/21

USD

20,827‌

IDR

294,696,420‌

495‌

Goldman

Sachs

4/9/21

INR

392,662‌

USD

5,300‌

(25‌)

Goldman

Sachs

4/16/21

MXN

204,255‌

USD

10,262‌

(553‌)

HSBC

Bank

4/23/21

CAD

66,375‌

USD

52,022‌

138‌

HSBC

Bank

4/23/21

CAD

36,775‌

USD

29,111‌

(211‌)

HSBC

Bank

4/23/21

USD

53,012‌

CAD

67,305‌

120‌

HSBC

Bank

5/21/21

USD

24,282‌

EUR

19,989‌

117‌

JPMorgan

Chase

4/9/21

INR

753,155‌

USD

10,192‌

(74‌)

JPMorgan

Chase

4/23/21

NOK

341,565‌

USD

40,050‌

(661‌)

JPMorgan

Chase

4/23/21

NZD

145,015‌

USD

104,144‌

631‌

JPMorgan

Chase

4/23/21

USD

53,969‌

AUD

69,610‌

397‌

JPMorgan

Chase

4/23/21

USD

54,237‌

NOK

457,945‌

1,427‌

JPMorgan

Chase

5/21/21

GBP

37,350‌

USD

51,257‌

798‌

JPMorgan

Chase

5/21/21

USD

53,680‌

GBP

38,670‌

(214‌)

Morgan

Stanley

4/9/21

PEN

75,135‌

USD

20,765‌

(171‌)

Morgan

Stanley

4/23/21

NOK

560,485‌

USD

66,177‌

(1,542‌)

RBC

Dominion

Securities

4/23/21

CAD

82,235‌

USD

64,634‌

(10‌)

State

Street

5/21/21

GBP

76,010‌

USD

105,742‌

193‌

UBS

Investment

Bank

4/9/21

IDR

105,556,294‌

USD

7,401‌

(118‌)

UBS

Investment

Bank

4/9/21

RUB

789,715‌

USD

10,476‌

45‌

UBS

Investment

Bank

4/9/21

USD

20,156‌

RUB

1,542,600‌

(395‌)

UBS

Investment

Bank

4/16/21

RON

41,615‌

USD

10,345‌

(72‌)

UBS

Investment

Bank

4/23/21

AUD

86,240‌

USD

66,495‌

(125‌)

T.

ROWE

PRICE

New

Income

Fund

38

(Amounts

in

000s)

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

(CONTINUED)

Counterparty

Settlement

Receive

Deliver

Unrealized

Gain/(Loss)

UBS

Investment

Bank

4/23/21

JPY

5,274,902‌

USD

50,879‌

$

(1,358‌)

UBS

Investment

Bank

4/23/21

NZD

71,165‌

USD

51,412‌

6‌

UBS

Investment

Bank

4/23/21

USD

91,984‌

JPY

9,712,895‌

800‌

UBS

Investment

Bank

5/21/21

USD

48,072‌

EUR

39,680‌

102‌

Net

unrealized

gain

(loss)

on

open

forward

currency

exchange

contracts

$

(1,959‌)

T.

ROWE

PRICE

New

Income

Fund

39

FUTURES

CONTRACTS

($000s)

Expiration

Date

Notional

Amount

Value

and

Unrealized

Gain

(Loss)

Long,

2,757

U.S.

Treasury

Long

Bond

contracts

6/21

438,966

$

(3,316‌)

Long,

3,126

U.S.

Treasury

Notes

five

year

contracts

6/21

387,526

(3,179‌)

Long,

2,113

U.S.

Treasury

Notes

ten

year

contracts

6/21

280,435

(1,015‌)

Long,

8,893

U.S.

Treasury

Notes

two

year

contracts

6/21

1,963,269

(1,680‌)

Long,

6,509

Ultra

U.S.

Treasury

Bonds

contracts

6/21

1,230,608

(3,564‌)

Short,

5,940

Ultra

U.S.

Treasury

Notes

ten

year

contracts

6/21

(875,222)

5,895‌

Net

payments

(receipts)

of

variation

margin

to

date

26,116‌

Variation

margin

receivable

(payable)

on

open

futures

contracts

$

19,257‌

T.

ROWE

PRICE

New

Income

Fund

40

The

accompanying

notes

are

an

integral

part

of

this

Portfolio

of

Investments.

AFFILIATED

COMPANIES

($000s)

The

fund

may

invest

in

certain

securities

that

are

considered

affiliated

companies.

As

defined

by

the

1940

Act,

an

affiliated

company

is

one

in

which

the

fund

owns

5%

or

more

of

the

outstanding

voting

securities,

or

a

company

that

is

under

common

ownership

or

control.

The

following

securities

were

considered

affiliated

companies

for

all

or

some

portion

of

the

nine

months

ended

February

28,

2021.

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,

3.70%

$

(14,574‌)

$

37,067‌

$

16,957‌

T.

Rowe

Price

Institutional

High

Yield

Fund

-

Z

Class,

3.95%

6,792‌

7,032‌

8,596‌

T.

Rowe

Price

Government

Reserve

Fund,

0.05%

—‌

—‌

34‌

T.

Rowe

Price

Short-Term

Fund,

0.10%

—‌

—‌

—‌++

Totals

$

(7,782‌)#

$

44,099‌

$

25,587‌+

Supplementary

Investment

Schedule

Affiliate

Value

05/31/20

Purchase

Cost

Sales

Cost

Value

02/28/21

T.

Rowe

Price

Institutional

Floating

Rate

Fund

-

Z

Class,

3.70%

$

641,227‌

$

72,108‌

$

231,724‌

$

518,678‌

T.

Rowe

Price

Institutional

High

Yield

Fund

-

Z

Class,

3.95%

16,446‌

225,746‌

126,638‌

122,586‌

T.

Rowe

Price

Government

Reserve

Fund,

0.05%

91,936‌

 ¤

 ¤

1,881,600‌

T.

Rowe

Price

Short-Term

Fund,

0.10%

641,761‌

 ¤

 ¤

236,841‌

Total

$

2,759,705‌^

#

Capital

gain

distributions

from

mutual

funds

represented

$0

of

the

net

realized

gain

(loss).

++

Excludes

earnings

on

securities

lending

collateral,

which

are

subject

to

rebates

and

fees.

+

Investment

income

comprised

$26,276

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

$2,746,516.

T.

ROWE

PRICE

New

Income

Fund

Unaudited

Notes

to

Portfolio

of

Investments

41

T.

Rowe

Price

New

Income

Fund,

Inc.

 (the

fund)

 is

registered

under

the

Investment

Company

Act

of

1940

(the

1940

Act)

as

an

open-end

management

investment

company

and

follows

accounting

and

reporting

guidance

of

the

Financial

Accounting

Standards

Board

Accounting

Standards

Codification

Topic

946.

The

accompanying

Portfolio

of

Investments

was

prepared

in

accordance

with

accounting

principles

generally

accepted

in

the

United

States

of

America

(GAAP).

For

additional

information

on

the

fund’s

significant

accounting

policies

and

investment

related

disclosures,

please

refer

to

the

fund’s 

most

recent

semiannual

or

annual

shareholder

report

and

its

prospectus. 

VALUATION 

Fair

Value

  The

fund’s

financial

instruments

are

valued

at

the

close

of

the

New

York

Stock

Exchange

(NYSE),

normally

4

p.m.

ET,

each

day

the

NYSE

is

open

for

business,

and

are

reported

at

fair

value,

which

GAAP

defines

as

the

price

that

would

be

received

to

sell

an

asset

or

paid

to

transfer

a

liability

in

an

orderly

transaction

between

market

participants

at

the

measurement

date. The

T.

Rowe

Price

Valuation

Committee

(the

Valuation

Committee)

is

an

internal

committee

that

has

been

delegated

certain

responsibilities

by

the

fund’s

Board

of

Directors

(the

Board)

to

ensure

that

financial

instruments

are

appropriately

priced

at

fair

value

in

accordance

with

GAAP

and

the

1940

Act.

Subject

to

oversight

by

the

Board,

the

Valuation

Committee

develops

and

oversees

pricing-related

policies

and

procedures

and

approves

all

fair

value

determinations.

Specifically,

the

Valuation

Committee

establishes

policies

and

procedures

used

in

valuing

financial

instruments,

including

those

which

cannot

be

valued

in

accordance

with

normal

procedures

or

using

pricing

vendors;

determines

pricing

techniques,

sources,

and

persons

eligible

to

effect

fair

value

pricing

actions;

evaluates

the

services

and

performance

of

the

pricing

vendors;

oversees

the

pricing

process

to

ensure

policies

and

procedures

are

being

followed;

and

provides

guidance

on

internal

controls

and

valuation-related

matters.

The

Valuation

Committee

provides

periodic

reporting

to

the

Board

on

valuation

matters.

Various

valuation

techniques

and

inputs

are

used

to

determine

the

fair

value

of

financial

instruments.

GAAP

establishes

the

following

fair

value

hierarchy

that

categorizes

the

inputs

used

to

measure

fair

value:

Level

1

–

quoted

prices

(unadjusted)

in

active

markets

for

identical

financial

instruments

that

the

fund

can

access

at

the

reporting

date

T.

ROWE

PRICE

New

Income

Fund

42

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

fund's

own

assumptions

in

determining

fair

value)

Observable

inputs

are

developed

using

market

data,

such

as

publicly

available

information

about

actual

events

or

transactions,

and

reflect

the

assumptions

that

market

participants

would

use

to

price

the

financial

instrument.

Unobservable

inputs

are

those

for

which

market

data

are

not

available

and

are

developed

using

the

best

information

available

about

the

assumptions

that

market

participants

would

use

to

price

the

financial

instrument.

GAAP

requires

valuation

techniques

to

maximize

the

use

of

relevant

observable

inputs

and

minimize

the

use

of

unobservable

inputs.

When

multiple

inputs

are

used

to

derive

fair

value,

the

financial

instrument

is

assigned

to

the

level

within

the

fair

value

hierarchy

based

on

the

lowest-level

input

that

is

significant

to

the

fair

value

of

the

financial

instrument.

Input

levels

are

not

necessarily

an

indication

of

the

risk

or

liquidity

associated

with

financial

instruments

at

that

level

but

rather

the

degree

of

judgment

used

in

determining

those

values.

Valuation

Techniques 

Debt

securities

generally

are

traded

in

the over-the-counter

(OTC)

market

and

are

valued

at

prices

furnished

by

independent

pricing

services

or

by

broker

dealers

who

make

markets

in

such

securities.

When

valuing

securities,

the

independent

pricing

services

consider

the

yield

or

price

of

bonds

of

comparable

quality,

coupon,

maturity,

and

type,

as

well

as

prices

quoted

by

dealers

who

make

markets

in

such

securities.   

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.

T.

ROWE

PRICE

New

Income

Fund

43

Investments

in

mutual

funds

are

valued

at

the

mutual

fund’s

closing

NAV

per

share

on

the

day

of

valuation.

Futures

contracts

are

valued

at

closing

settlement

prices.

Forward

currency

exchange

contracts

are

valued

using

the

prevailing

forward

exchange

rate.

Swaps

are

valued

at

prices

furnished

by

an

independent

pricing

service

or

independent

swap

dealers.

Investments

for

which

market

quotations

or

market-based

valuations

are

not

readily

available

or

deemed

unreliable

are

valued

at

fair

value

as

determined

in

good

faith

by

the

Valuation

Committee,

in

accordance

with

fair

valuation

policies

and

procedures.

The

objective

of

any

fair

value

pricing

determination

is

to

arrive

at

a

price

that

could

reasonably

be

expected

from

a

current

sale.

Financial

instruments

fair

valued

by

the

Valuation

Committee

are

primarily

private

placements,

restricted

securities,

warrants,

rights,

and

other

securities

that

are

not

publicly

traded.

Factors

used

in

determining

fair

value

vary

by

type

of

investment

and

may

include

market

or

investment

specific

considerations.

The

Valuation

Committee

typically

will

afford

greatest

weight

to

actual

prices

in

arm’s

length

transactions,

to

the

extent

they

represent

orderly

transactions

between

market

participants,

transaction

information

can

be

reliably

obtained,

and

prices

are

deemed

representative

of

fair

value.

However,

the

Valuation

Committee

may

also

consider

other

valuation

methods

such

as

market-based

valuation

multiples;

a

discount

or

premium

from

market

value

of

a

similar,

freely

traded

security

of

the

same

issuer;

discounted

cash

flows;

yield

to

maturity;

or

some

combination.

Fair

value

determinations

are

reviewed

on

a

regular

basis

and

updated

as

information

becomes

available,

including

actual

purchase

and

sale

transactions

of

the

investment.

Because

any

fair

value

determination

involves

a

significant

amount

of

judgment,

there

is

a

degree

of

subjectivity

inherent

in

such

pricing

decisions,

and

fair

value

prices

determined

by

the

Valuation

Committee

could

differ

from

those

of

other

market

participants.

Valuation

Inputs

  The

following

table

summarizes

the

fund’s

financial

instruments,

based

on

the

inputs

used

to

determine

their

fair

values

on

February

28,

2021

(for

further

detail

by

category,

please

refer

to

the

accompanying

Portfolio

of

Investments):

T.

ROWE

PRICE

New

Income

Fund

44

F43-054Q3

02/21 

($000s)

Level

1

Level

2

Level

3

Total

Value

Assets

Fixed

Income

Securities

1

$

—‌

$

19,134,026‌

$

—‌

$

19,134,026‌

Bond

Mutual

Funds

641,264‌

—‌

—‌

641,264‌

Convertible

Preferred

Stocks

—‌

9,105‌

—‌

9,105‌

Short-Term

Investments

1,881,600‌

—‌

—‌

1,881,600‌

Securities

Lending

Collateral

236,841‌

—‌

—‌

236,841‌

Total

Securities

2,759,705‌

19,143,131‌

—‌

21,902,836‌

Swaps*

—‌

5,812‌

—‌

5,812‌

Forward

Currency

Exchange

Contracts

—‌

7,354‌

—‌

7,354‌

Futures

Contracts*

5,895‌

—‌

—‌

5,895‌

Total

$

2,765,600‌

$

19,156,297‌

$

—‌

$

21,921,897‌

Liabilities

Swaps*

$

—‌

$

856‌

$

—‌

$

856‌

Forward

Currency

Exchange

Contracts

—‌

9,313‌

—‌

9,313‌

Futures

Contracts*

12,754‌

—‌

—‌

12,754‌

Total

$

12,754‌

$

10,169‌

$

—‌

$

22,923‌

1

Includes

Asset-Backed

Securities,

Bank

Loans,

Corporate

Bonds,

Foreign

Government

Obligations

&

Municipalities,

Non-U.S.

Government

Mortgage-Backed

Securities,

U.S.

Government

&

Agency

Mortgage-Backed

Securities

and

U.S.

Government

Agency

Obligations

(Excluding

Mortgage-Backed).

*

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.