T.
ROWE
PRICE
New
Income
Fund
August
31,
2021
(Unaudited)
1
Portfolio
of
Investments
‡
Par/Shares
$
Value
(Amounts
in
000s)
‡
ASSET-BACKED
SECURITIES
6.3%
Car
Loan
0.4%
AmeriCredit
Automobile
Receivables
Trust
Series
2021-1,
Class
C
0.89%,
10/19/26
13,100
13,094
AmeriCredit
Automobile
Receivables
Trust
Series
2021-1,
Class
D
1.21%,
12/18/26
13,530
13,570
Avis
Budget
Rental
Car
Funding
AESOP
Series
2020-1A,
Class
B
2.68%,
8/20/26 (1)
6,500
6,797
GM
Financial
Automobile
Leasing
Trust
Series
2020-3,
Class
C
1.11%,
10/21/24
11,310
11,401
GM
Financial
Leasing
Trust
Series
2021-1,
Class
D
1.01%,
7/21/25
6,650
6,654
Santander
Retail
Auto
Lease
Trust
Series
2021-A,
Class
D
1.38%,
3/22/27 (1)
23,480
23,492
75,008
Other
Asset-Backed
Securities
4.9%
Applebee's
Funding
Series
2019-1A,
Class
A2I
4.194%,
6/7/49 (1)
37,958
38,589
Ares
LVII
Series
2020-57A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.32%,
1.445%,
10/25/31 (1)
27,170
27,177
Ares
LVIII
Series
2020-58A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.22%,
1.346%,
1/15/33 (1)
11,035
11,042
Ballyrock
Series
2021-1A,
Class
A1,
CLO,
FRN
3M
USD
LIBOR
+
1.06%,
1.226%,
4/15/34 (1)
12,715
12,708
Barings
Series
2016-2A,
Class
AR,
CLO,
FRN
3M
USD
LIBOR
+
1.08%,
1.214%,
7/20/28 (1)
22,823
22,826
Benefit
Street
Partners
XI
Series
2017-11A,
Class
A2R,
CLO,
FRN
3M
USD
LIBOR
+
1.50%,
1.626%,
4/15/29 (1)
16,090
15,965
Benefit
Street
Partners
XX
Series
2020-20A,
Class
AR,
CLO,
FRN
3M
USD
LIBOR
+
1.17%,
1.313%,
7/15/34 (1)
15,245
15,245
BlueMountain
Series
2012-2A,
Class
AR2,
CLO,
FRN
3M
USD
LIBOR
+
1.05%,
1.181%,
11/20/28 (1)
13,265
13,265
T.
ROWE
PRICE
New
Income
Fund
2
Par/Shares
$
Value
(Amounts
in
000s)
BlueMountain
Series
2015-2A,
Class
A1R,
CLO,
FRN
3M
USD
LIBOR
+
0.93%,
1.064%,
7/18/27 (1)
1,786
1,786
BlueMountain
Series
2015-2A,
Class
BR,
CLO,
FRN
3M
USD
LIBOR
+
1.50%,
1.634%,
7/18/27 (1)
5,146
5,143
BRE
Grand
Islander
Timeshare
Issuer
Series
2019-A,
Class
A
3.28%,
9/26/33 (1)
8,137
8,534
CBAM
Series
2019-9A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.28%,
1.406%,
2/12/30 (1)
4,815
4,833
Cedar
Funding
XIV
Series
2021-14A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.10%,
1.188%,
7/15/33 (1)
9,385
9,374
CIFC
Funding
Series
2020-3A,
Class
A1,
CLO,
FRN
3M
USD
LIBOR
+
1.35%,
1.484%,
10/20/31 (1)
21,990
22,005
CIFC
Funding
Series
2021-3A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.14%,
1.288%,
7/15/36 (1)
30,055
30,017
Driven
Brands
Funding
Series
2019-1A,
Class
A2
4.641%,
4/20/49 (1)
15,654
16,888
Dryden
Series
2020-86A,
Class
A1R,
CLO,
FRN
3M
USD
LIBOR
+
1.10%,
1.234%,
7/17/34 (1)
21,235
21,209
Elara
HGV
Timeshare
Issuer
Series
2017-A,
Class
A
2.69%,
3/25/30 (1)
2,391
2,459
Elara
HGV
Timeshare
Issuer
Series
2019-A,
Class
A
2.61%,
1/25/34 (1)
4,957
5,067
Golub
Capital
Partners
Series
2018-39A,
Class
A1,
CLO,
FRN
3M
USD
LIBOR
+
1.15%,
1.284%,
10/20/28 (1)
22,479
22,493
Hardee's
Funding
Series
2018-1A,
Class
A2II
4.959%,
6/20/48 (1)
28,091
30,026
Hilton
Grand
Vacations
Trust
Series
2017-AA,
Class
A
2.66%,
12/26/28 (1)
2,316
2,368
Hilton
Grand
Vacations
Trust
Series
2017-AA,
Class
B
2.96%,
12/26/28 (1)
984
1,004
HPS
Loan
Management
Series
11A-17,
Class
BR,
CLO,
FRN
3M
USD
LIBOR
+
1.55%,
1.672%,
5/6/30 (1)
12,070
11,965
T.
ROWE
PRICE
New
Income
Fund
3
Par/Shares
$
Value
(Amounts
in
000s)
Invesco
Series
2021-2A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.12%,
1.20%,
7/15/34
33,910
33,870
Jack
in
the
Box
Funding
Series
2019-1A,
Class
A2I
3.982%,
8/25/49 (1)
28,108
28,743
KKR
Series
13,
Class
B1R,
CLO,
FRN
3M
USD
LIBOR
+
1.15%,
1.276%,
1/16/28 (1)
11,320
11,286
Magnetite
XXIII
Series
2019-23A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.30%,
1.425%,
10/25/32 (1)
9,735
9,741
Magnetite
XXV
Series
2020-25A,
Class
B,
CLO,
FRN
3M
USD
LIBOR
+
1.55%,
1.675%,
1/25/32 (1)
10,705
10,718
MVW
Owner
Trust
Series
2017-1A,
Class
B
2.75%,
12/20/34 (1)
1,140
1,161
MVW
Owner
Trust
Series
2019-1A,
Class
A
2.89%,
11/20/36 (1)
8,228
8,508
Neuberger
Berman
Loan
Advisers
Series
2019-32A,
Class
AR,
CLO,
FRN
3M
USD
LIBOR
+
0.99%,
1.124%,
1/20/32 (1)
49,995
49,981
Neuberger
Berman
Loan
Advisers
Series
2020-38A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.30%,
1.434%,
10/20/32 (1)
27,735
27,759
Neuberger
Berman
Loan
Advisers
Series
2021-43A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.13%,
1.241%,
7/17/35 (1)
15,105
15,086
Neuberger
Berman
XVI
Series
2017-16SA,
Class
AR,
CLO,
FRN
3M
USD
LIBOR
+
1.04%,
1.166%,
4/15/34 (1)
26,325
26,262
Neuberger
Berman
XVII
Series
2014-17A,
Class
BR2,
CLO,
FRN
3M
USD
LIBOR
+
1.50%,
1.638%,
4/22/29 (1)
16,785
16,815
Neuberger
Berman
XVII
Series
2014-17A,
Class
CR2,
CLO,
FRN
3M
USD
LIBOR
+
2.00%,
2.138%,
4/22/29 (1)
12,440
12,352
OCP
Series
2020-19A,
Class
A1,
CLO,
FRN
3M
USD
LIBOR
+
1.75%,
1.884%,
7/20/31 (1)
26,060
26,093
OCP
Series
2020-19A,
Class
AR,
CLO,
FRN
3M
USD
LIBOR
+
1.15%,
10/20/34 (1)(2)
31,830
31,830
OHA
Credit
Funding
3
Series
2019-3A,
Class
AR,
CLO,
FRN
3M
USD
LIBOR
+
1.14%,
1.288%,
7/2/35 (1)
17,405
17,384
T.
ROWE
PRICE
New
Income
Fund
4
Par/Shares
$
Value
(Amounts
in
000s)
OHA
Credit
Partners
XVI
Series
2021-16A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.15%,
10/18/34 (1)(2)
30,760
30,722
OZLM
VII
Series
2014-7RA,
Class
A1R,
CLO,
FRN
3M
USD
LIBOR
+
1.01%,
1.144%,
7/17/29 (1)
39,618
39,625
OZLM
VIII
Series
2014-8A,
Class
A1RR,
CLO,
FRN
3M
USD
LIBOR
+
1.17%,
1.304%,
10/17/29 (1)
21,347
21,347
OZLM
VIII
Series
2014-8A,
Class
A2RR,
CLO,
FRN
3M
USD
LIBOR
+
1.80%,
1.934%,
10/17/29 (1)
21,030
21,026
Palmer
Square
Series
2020-2A,
Class
A1A,
CLO,
FRN
3M
USD
LIBOR
+
1.70%,
1.826%,
7/15/31 (1)
6,490
6,497
Palmer
Square
Series
2021-2A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.15%,
1.256%,
7/15/34 (1)
23,820
23,812
Peace
Park
Series
2021-1A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.13%,
10/20/34 (1)(2)
34,650
34,650
Planet
Fitness
Master
Issuer
Series
2018-1A,
Class
A2I
4.262%,
9/5/48 (1)
16,114
16,158
Planet
Fitness
Master
Issuer
Series
2018-1A,
Class
A2II
4.666%,
9/5/48 (1)
25,086
25,939
Reese
Park
Series
2020-1A,
Class
A1,
CLO,
FRN
3M
USD
LIBOR
+
1.32%,
1.446%,
10/15/32 (1)
25,490
25,497
Santander
Drive
Auto
Receivables
Trust
Series
2021-3,
Class
D
1.33%,
9/15/27
29,300
29,397
Sierra
Timeshare
Receivables
Funding
Series
2017-1A,
Class
A
2.91%,
3/20/34 (1)
1,383
1,394
Sierra
Timeshare
Receivables
Funding
Series
2019-2A,
Class
A
2.59%,
5/20/36 (1)
4,544
4,664
Sierra
Timeshare
Receivables
Funding
Series
2020-2A,
Class
B
2.32%,
7/20/37 (1)
6,412
6,516
Symphony
XVII
Series
2016-17A,
Class
AR,
CLO,
FRN
3M
USD
LIBOR
+
0.88%,
1.006%,
4/15/28 (1)
31,489
31,422
Symphony
XXIII
Series
2020-23A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.32%,
1.446%,
1/15/34 (1)
9,560
9,577
T.
ROWE
PRICE
New
Income
Fund
5
Par/Shares
$
Value
(Amounts
in
000s)
Symphony
XXVI
Series
2021-26A,
Class
AR,
CLO,
FRN
3M
USD
LIBOR
+
1.08%,
1.214%,
4/20/33 (1)
14,640
14,640
Taconic
Park
Series
2016-1A,
Class
BR,
CLO,
FRN
3M
USD
LIBOR
+
1.90%,
2.034%,
1/20/29 (1)
11,645
11,645
Wind
River
Series
2016-1A,
Class
BR,
CLO,
FRN
3M
USD
LIBOR
+
1.65%,
1.776%,
7/15/28 (1)
12,980
12,983
1,047,088
Student
Loan
1.0%
Navient
Private
Education
Loan
Trust
Series
2017-A,
Class
A2A
2.88%,
12/16/58 (1)
2,267
2,298
Navient
Private
Education
Loan
Trust
Series
2017-A,
Class
B
3.91%,
12/16/58 (1)
8,525
8,696
Navient
Private
Education
Refi
Loan
Trust
Series
2019-FA,
Class
A2
2.60%,
8/15/68 (1)
16,228
16,589
Navient
Private
Education
Refi
Loan
Trust
Series
2019-GA,
Class
A
2.40%,
10/15/68 (1)
15,546
15,870
Navient
Private
Education
Refi
Loan
Trust
Series
2020-BA,
Class
A2
2.12%,
1/15/69 (1)
21,088
21,399
Navient
Private
Education
Refi
Loan
Trust
Series
2020-CA,
Class
B
2.83%,
11/15/68 (1)
20,755
21,239
Navient
Private
Education
Refi
Loan
Trust
Series
2020-HA,
Class
A
1.31%,
1/15/69 (1)
11,154
11,242
Nelnet
Student
Loan
Trust
Series
2020-1A,
Class
A,
FRN
1M
USD
LIBOR
+
0.74%,
0.824%,
3/26/68 (1)
11,855
11,829
SMB
Private
Education
Loan
Trust
Series
2015-B,
Class
A2A
2.98%,
7/15/27 (1)
3,180
3,208
SMB
Private
Education
Loan
Trust
Series
2016-A,
Class
A2A
2.70%,
5/15/31 (1)
4,306
4,413
SMB
Private
Education
Loan
Trust
Series
2016-B,
Class
A2A
2.43%,
2/17/32 (1)
10,959
11,225
SMB
Private
Education
Loan
Trust
Series
2016-C,
Class
A2A
2.34%,
9/15/34 (1)
9,047
9,219
T.
ROWE
PRICE
New
Income
Fund
6
Par/Shares
$
Value
(Amounts
in
000s)
SMB
Private
Education
Loan
Trust
Series
2018-B,
Class
A2A
3.60%,
1/15/37 (1)
10,188
10,790
SMB
Private
Education
Loan
Trust
Series
2018-C,
Class
A2A
3.63%,
11/15/35 (1)
22,326
23,485
SMB
Private
Education
Loan
Trust
Series
2021-A,
Class
APT1
1.07%,
1/15/53 (1)
37,830
37,532
209,034
Total
Asset-Backed
Securities
(Cost
$1,320,941)
1,331,130
BANK
LOANS
0.6%
(3)
INDUSTRIAL
0.6%
Communications
0.1%
Clear
Channel
Outdoor
Holdings,
FRN
1M
USD
LIBOR
+
3.50%,
3.629%,
8/21/26
7,076
6,904
Lamar
Media,
FRN
1M
USD
LIBOR
+
1.50%,
1.597%,
2/5/27
14,435
14,255
Mission
Broadcasting,
FRN
1M
USD
LIBOR
+
2.50%,
2.596%,
6/2/28
6,305
6,226
27,385
Consumer
Cyclical
0.3%
Caesars
Resort
Collection,
FRN
1M
USD
LIBOR
+
4.50%,
4.585%,
7/21/25
8,843
8,855
Churchill
Downs,
FRN
1M
USD
LIBOR
+
2.00%,
2.09%,
3/17/28
19,559
19,339
KFC
Holding,
FRN
1M
USD
LIBOR
+
1.75%,
1.839%,
3/15/28
27,112
27,059
55,253
Energy
0.1%
Buckeye
Partners,
FRN
1M
USD
LIBOR
+
2.25%,
2.346%,
11/1/26
18,867
18,649
18,649
Health
Care
0.0%
HCA,
FRN
3M
USD
LIBOR
+
1.75%,
1.835%,
6/30/28
5,205
5,229
5,229
T.
ROWE
PRICE
New
Income
Fund
7
Par/Shares
$
Value
(Amounts
in
000s)
Technology
0.1%
Western
Digital,
FRN
1M
USD
LIBOR
+
1.75%,
1.838%,
4/29/23
10,129
10,118
10,118
Total
Industrial
116,634
Total
Bank
Loans
(Cost
$116,681)
116,634
BOND
MUTUAL
FUNDS
3.4%
T.
Rowe
Price
Institutional
Floating
Rate
Fund
-
Z
Class,
3.97% (4)(5)
63,166
615,867
T.
Rowe
Price
Institutional
High
Yield
Fund
-
Z
Class,
4.32% (4)(5)
12,033
107,093
Total
Bond
Mutual
Funds
(Cost
$710,045)
722,960
CONVERTIBLE
PREFERRED
STOCKS
0.0%
INDUSTRIAL
0.0%
Energy
0.0%
Targa
Resources,
Series
A,
9.50%,
Acquisition
Date:
2/10/21,
Cost $9,215 (6)(7)
9
9,243
Total
Industrial
9,243
Total
Convertible
Preferred
Stocks
(Cost
$9,215)
9,243
CORPORATE
BONDS
30.0%
FINANCIAL
INSTITUTIONS
11.1%
Banking
6.7%
AIB
Group,
VR,
4.263%,
4/10/25 (1)(8)
20,670
22,191
Banco
Santander,
3.49%,
5/28/30
11,400
12,397
Bangkok
Bank,
4.45%,
9/19/28
5,665
6,568
Bank
Leumi
Le-Israel,
VR,
3.275%,
1/29/31 (1)(8)
23,000
23,358
Bank
of
America,
4.45%,
3/3/26
18,903
21,291
Bank
of
America,
VR,
1.734%,
7/22/27 (8)
20,116
20,403
Bank
of
America,
VR,
1.898%,
7/23/31 (8)
73,896
72,219
Bank
of
America,
VR,
2.299%,
7/21/32 (8)
32,003
32,184
Bank
of
America,
VR,
2.496%,
2/13/31 (8)(9)
22,900
23,575
Bank
of
America,
VR,
2.592%,
4/29/31 (8)
38,880
40,272
Bank
of
America,
VR,
3.419%,
12/20/28 (8)
22,458
24,654
Bank
of
America,
VR,
3.559%,
4/23/27 (8)
11,450
12,570
Bank
of
America,
VR,
4.271%,
7/23/29 (8)
42,340
48,656
Barclays,
VR,
2.852%,
5/7/26 (8)
24,674
26,051
T.
ROWE
PRICE
New
Income
Fund
8
Par/Shares
$
Value
(Amounts
in
000s)
Barclays,
VR,
3.932%,
5/7/25 (8)
19,911
21,435
BNP
Paribas,
VR,
1.323%,
1/13/27 (1)(8)
10,950
10,806
Capital
One
Financial,
3.65%,
5/11/27
11,559
12,874
Capital
One
Financial,
3.75%,
3/9/27
19,858
22,187
Citigroup,
VR,
2.561%,
5/1/32 (8)
10,298
10,605
Citigroup,
VR,
3.106%,
4/8/26 (8)
23,226
24,851
Credit
Suisse
Group,
VR,
3.091%,
5/14/32 (1)(8)
10,031
10,394
Credit
Suisse
Group,
VR,
4.194%,
4/1/31 (1)(8)
18,871
21,373
Danske
Bank,
5.375%,
1/12/24 (1)
20,461
22,529
Danske
Bank,
VR,
3.001%,
9/20/22 (1)(8)
7,363
7,417
Danske
Bank,
VR,
3.244%,
12/20/25 (1)(8)
21,957
23,342
Discover
Financial
Services,
4.10%,
2/9/27
58,694
66,033
Goldman
Sachs
Group,
3.50%,
11/16/26
11,635
12,657
Goldman
Sachs
Group,
VR,
1.542%,
9/10/27 (8)
31,264
31,428
Goldman
Sachs
Group,
VR,
2.383%,
7/21/32 (8)
17,287
17,501
Goldman
Sachs
Group,
VR,
2.615%,
4/22/32 (8)
45,548
46,988
HSBC
Holdings,
3.90%,
5/25/26
9,569
10,615
HSBC
Holdings,
VR,
1.645%,
4/18/26 (8)
10,575
10,701
HSBC
Holdings,
VR,
2.099%,
6/4/26 (8)
20,767
21,354
HSBC
Holdings,
VR,
4.292%,
9/12/26 (8)
2,175
2,415
ING
Groep,
VR,
1.726%,
4/1/27 (8)
9,137
9,250
JPMorgan
Chase,
VR,
1.578%,
4/22/27 (8)
35,303
35,556
JPMorgan
Chase,
VR,
1.764%,
11/19/31 (8)
41,300
39,938
JPMorgan
Chase,
VR,
2.182%,
6/1/28 (8)
32,197
33,206
JPMorgan
Chase,
VR,
2.739%,
10/15/30 (8)
19,897
20,933
JPMorgan
Chase,
VR,
2.956%,
5/13/31 (8)
59,518
62,833
Kookmin
Bank,
2.50%,
11/4/30 (1)
21,350
21,585
Kookmin
Bank,
2.50%,
11/4/30
6,800
6,875
Morgan
Stanley,
VR,
1.512%,
7/20/27 (8)
25,000
25,072
Morgan
Stanley,
VR,
1.593%,
5/4/27 (8)
13,695
13,837
Morgan
Stanley,
VR,
1.928%,
4/28/32 (8)
27,901
27,271
Morgan
Stanley,
VR,
2.239%,
7/21/32 (8)
15,751
15,812
Morgan
Stanley,
VR,
3.217%,
4/22/42 (8)
5,725
6,136
Santander
UK
Group
Holdings,
VR,
1.532%,
8/21/26 (8)
48,133
48,339
Shinhan
Bank,
3.875%,
3/24/26
5,830
6,409
Standard
Chartered,
VR,
2.819%,
1/30/26 (1)(8)
16,707
17,461
Standard
Chartered,
VR,
4.644%,
4/1/31 (1)(8)
36,236
42,430
UBS
Group,
VR,
1.364%,
1/30/27 (1)(8)
14,633
14,497
Wells
Fargo,
4.30%,
7/22/27
11,645
13,368
Wells
Fargo,
VR,
2.393%,
6/2/28 (8)
31,245
32,523
Wells
Fargo,
VR,
2.572%,
2/11/31 (8)
52,585
54,495
Wells
Fargo,
VR,
2.879%,
10/30/30 (8)
53,562
56,976
Wells
Fargo,
VR,
4.478%,
4/4/31 (8)
15,936
18,881
1,417,577
T.
ROWE
PRICE
New
Income
Fund
9
Par/Shares
$
Value
(Amounts
in
000s)
Brokerage
Asset
Managers
Exchanges
0.6%
Intercontinental
Exchange,
1.85%,
9/15/32 (9)
49,820
48,002
Intercontinental
Exchange,
2.10%,
6/15/30
9,720
9,776
LSEGA
Financing,
2.00%,
4/6/28 (1)
41,004
41,714
LSEGA
Financing,
2.50%,
4/6/31 (1)
14,998
15,426
LSEGA
Financing,
3.20%,
4/6/41 (1)
6,705
7,102
122,020
Finance
Companies
0.6%
AerCap
Ireland
Capital,
3.50%,
5/26/22
1,235
1,258
AerCap
Ireland
Capital,
3.50%,
1/15/25
3,935
4,152
AerCap
Ireland
Capital,
4.875%,
1/16/24
29,186
31,629
AerCap
Ireland
Capital,
6.50%,
7/15/25
4,365
5,091
Avolon
Holdings
Funding,
2.528%,
11/18/27 (1)
41,202
41,138
Avolon
Holdings
Funding,
3.95%,
7/1/24 (1)
7,013
7,320
Avolon
Holdings
Funding,
4.375%,
5/1/26 (1)
14,969
16,279
Avolon
Holdings
Funding,
5.50%,
1/15/26 (1)
12,762
14,453
SMBC
Aviation
Capital
Finance,
3.55%,
4/15/24 (1)
14,765
15,670
136,990
Insurance
1.0%
AIA
Group,
3.90%,
4/6/28 (1)(9)
40,868
46,194
Centene,
2.45%,
7/15/28
8,320
8,414
Centene,
2.50%,
3/1/31
11,800
11,750
Centene,
2.625%,
8/1/31
10,805
10,940
Centene,
3.375%,
2/15/30
23,192
24,207
Centene,
4.25%,
12/15/27 (9)
19,954
21,051
Centene,
4.625%,
12/15/29
31,532
34,606
CNO
Financial
Group,
5.25%,
5/30/25
9,438
10,677
Humana,
2.15%,
2/3/32
7,055
7,038
Humana,
3.95%,
3/15/27
6,075
6,820
Humana,
4.875%,
4/1/30
17,913
21,706
Marsh
&
McLennan,
2.25%,
11/15/30
8,918
9,138
212,541
Real
Estate
Investment
Trusts
2.2%
Alexandria
Real
Estate
Equities,
2.75%,
12/15/29
16,820
17,707
Alexandria
Real
Estate
Equities,
3.95%,
1/15/27
25,607
28,679
Alexandria
Real
Estate
Equities,
3.95%,
1/15/28
15,766
17,870
American
Campus
Communities
Operating
Partnership,
2.85%,
2/1/30
36,598
38,000
American
Campus
Communities
Operating
Partnership,
3.30%,
7/15/26
16,422
17,697
American
Campus
Communities
Operating
Partnership,
3.625%,
11/15/27
31,094
34,035
Boston
Properties,
3.25%,
1/30/31
10,162
10,947
Brixmor
Operating
Partnership,
3.90%,
3/15/27
30,217
33,352
Brixmor
Operating
Partnership,
4.125%,
6/15/26
55,609
62,065
Essex
Portfolio,
1.65%,
1/15/31
10,099
9,627
T.
ROWE
PRICE
New
Income
Fund
10
Par/Shares
$
Value
(Amounts
in
000s)
Essex
Portfolio,
3.625%,
5/1/27
10,736
11,875
Healthpeak
Properties,
2.875%,
1/15/31
3,485
3,680
Healthpeak
Properties,
3.50%,
7/15/29
3,801
4,221
Highwoods
Realty,
4.125%,
3/15/28
17,404
19,591
Highwoods
Realty,
4.20%,
4/15/29
11,839
13,382
Regency
Centers,
3.70%,
6/15/30
12,150
13,598
Regency
Centers,
4.125%,
3/15/28
9,817
11,124
Simon
Property
Group,
2.65%,
7/15/30 (9)
17,901
18,628
Ventas
Realty,
3.25%,
10/15/26
27,238
29,418
VEREIT
Operating
Partnership,
2.20%,
6/15/28
4,257
4,359
VEREIT
Operating
Partnership,
2.85%,
12/15/32
20,540
21,747
VEREIT
Operating
Partnership,
3.40%,
1/15/28
10,060
10,937
VEREIT
Operating
Partnership,
3.95%,
8/15/27
28,396
31,971
464,510
Total
Financial
Institutions
2,353,638
INDUSTRIAL
16.7%
Basic
Industry
0.3%
Anglo
American
Capital,
4.125%,
9/27/22 (1)
10,182
10,521
Celulosa
Arauco
y
Constitucion,
3.875%,
11/2/27
20,227
21,750
Ecolab,
4.80%,
3/24/30
1,983
2,429
Methanex,
5.125%,
10/15/27
18,855
20,458
Westlake
Chemical,
1.625%,
7/17/29
(EUR)
11,421
14,300
69,458
Capital
Goods
0.6%
Boral
Finance,
3.00%,
11/1/22 (1)
5,545
5,655
Boral
Finance,
3.75%,
5/1/28 (1)
50,753
54,705
Martin
Marietta
Materials,
2.40%,
7/15/31
21,068
21,492
Siemens
Financieringsmaatschappij,
1.70%,
3/11/28 (1)
8,075
8,152
Siemens
Financieringsmaatschappij,
2.15%,
3/11/31 (1)
27,065
27,568
117,572
Communications
4.2%
Altice
France,
5.50%,
1/15/28 (1)
10,315
10,573
AT&T,
2.25%,
2/1/32
69,916
69,271
AT&T,
2.55%,
12/1/33 (1)
21,631
21,663
AT&T,
2.75%,
6/1/31
21,228
22,247
AT&T,
4.30%,
2/15/30
13,637
15,866
Charter
Communications
Operating,
2.30%,
2/1/32
24,315
23,661
Charter
Communications
Operating,
2.80%,
4/1/31
47,400
48,530
Charter
Communications
Operating,
4.80%,
3/1/50
5,020
5,863
Charter
Communications
Operating,
5.125%,
7/1/49
7,698
9,244
Charter
Communications
Operating,
5.75%,
4/1/48
1,536
1,978
Charter
Communications
Operating,
6.484%,
10/23/45
5,555
7,758
Comcast,
2.887%,
11/1/51 (1)
7,645
7,596
Comcast,
3.25%,
11/1/39
22,623
24,567
Crown
Castle
Towers,
3.663%,
5/15/25 (1)
50,986
53,861
T.
ROWE
PRICE
New
Income
Fund
11
Par/Shares
$
Value
(Amounts
in
000s)
HKT
Capital
No.
2,
3.625%,
4/2/25
2,714
2,918
HKT
Capital
No.
4,
3.00%,
7/14/26
22,686
24,139
Netflix,
4.625%,
5/15/29
(EUR)
19,830
29,438
NTT
Finance,
1.591%,
4/3/28 (1)
26,137
26,114
NTT
Finance,
2.065%,
4/3/31 (1)
3,650
3,734
SBA
Tower
Trust,
1.631%,
11/15/26 (1)
11,030
11,039
SBA
Tower
Trust,
2.836%,
1/15/25 (1)
11,922
12,439
SBA
Tower
Trust,
Series
2014-2A,
Class
C,
3.869%,
10/8/24 (1)
39,860
41,986
T-Mobile
USA,
2.05%,
2/15/28
12,155
12,347
T-Mobile
USA,
3.75%,
4/15/27
79,092
87,561
Verizon
Communications,
2.10%,
3/22/28
12,383
12,716
Verizon
Communications,
2.55%,
3/21/31
19,144
19,693
Verizon
Communications,
2.65%,
11/20/40
37,223
36,180
Verizon
Communications,
2.875%,
11/20/50
42,403
40,729
Verizon
Communications,
2.987%,
10/30/56 (9)
40,751
39,245
Verizon
Communications,
4.329%,
9/21/28
29,811
34,703
Verizon
Communications,
4.522%,
9/15/48
9,283
11,651
Verizon
Communications,
4.75%,
11/1/41
9,939
12,443
Vodafone
Group,
4.375%,
5/30/28
27,950
32,397
Vodafone
Group,
4.875%,
6/19/49
24,543
31,412
Vodafone
Group,
5.00%,
5/30/38
17,214
21,944
Vodafone
Group,
5.25%,
5/30/48
11,713
15,583
883,089
Consumer
Cyclical
1.8%
Alibaba
Group
Holding,
3.40%,
12/6/27 (9)
11,715
12,768
Bath
&
Body
Works,
6.625%,
10/1/30 (1)
17,135
19,898
Daimler
Finance
North
America,
2.45%,
3/2/31 (1)(9)
8,996
9,292
General
Motors
Financial,
4.00%,
10/6/26
20,869
23,061
General
Motors
Financial,
4.30%,
7/13/25
8,846
9,762
General
Motors
Financial,
4.35%,
4/9/25
20,528
22,633
General
Motors
Financial,
5.10%,
1/17/24
27,464
30,073
GLP
Capital,
3.35%,
9/1/24
6,162
6,514
Hyundai
Capital
America,
1.80%,
10/15/25 (1)
11,183
11,334
JMH,
2.50%,
4/9/31
20,558
21,079
Las
Vegas
Sands,
3.20%,
8/8/24
6,495
6,755
Las
Vegas
Sands,
3.50%,
8/18/26
10,677
11,215
Marriott
International,
3.75%,
3/15/25
11,053
11,875
Marriott
International,
3.75%,
10/1/25 (9)
3,043
3,289
Marriott
International,
Series
EE,
5.75%,
5/1/25
42,111
48,371
QVC,
4.375%,
3/15/23
39,881
41,775
Ross
Stores,
1.875%,
4/15/31
17,885
17,481
TJX,
1.60%,
5/15/31 (9)
9,297
9,072
Volkswagen
Bank,
2.50%,
7/31/26
(EUR)
20,000
26,259
Volkswagen
Group
of
America
Finance,
1.625%,
11/24/27 (1)
6,720
6,708
Volkswagen
Group
of
America
Finance,
3.20%,
9/26/26 (1)
15,868
17,148
T.
ROWE
PRICE
New
Income
Fund
12
Par/Shares
$
Value
(Amounts
in
000s)
Volkswagen
Group
of
America
Finance,
4.75%,
11/13/28 (1)
21,055
24,919
391,281
Consumer
Non-Cyclical
4.0%
AbbVie,
2.95%,
11/21/26 (9)
50,782
54,723
AbbVie,
3.20%,
11/21/29
14,750
16,091
AbbVie,
4.05%,
11/21/39 (9)
12,709
14,899
AbbVie,
4.25%,
11/21/49
13,924
16,918
AbbVie,
4.70%,
5/14/45
27,592
34,600
AbbVie,
4.875%,
11/14/48 (9)
36,241
47,401
Anheuser-Busch
InBev
Worldwide,
4.439%,
10/6/48
4,370
5,292
Anheuser-Busch
InBev
Worldwide,
4.50%,
6/1/50
49,277
60,878
AstraZeneca,
1.375%,
8/6/30
5,937
5,694
Astrazeneca
Finance,
1.75%,
5/28/28
15,129
15,334
Astrazeneca
Finance,
2.25%,
5/28/31
4,894
5,044
BAT
Capital,
3.557%,
8/15/27
39,483
42,672
BAT
International
Finance,
1.668%,
3/25/26
21,719
21,749
Bayer
U.S.
Finance
II,
4.375%,
12/15/28 (1)
10,245
11,766
Becton
Dickinson
&
Company,
1.957%,
2/11/31
21,734
21,337
Becton
Dickinson
&
Company,
2.823%,
5/20/30 (9)
13,423
14,206
Becton
Dickinson
&
Company,
3.70%,
6/6/27
58,991
65,629
Becton
Dickinson
&
Company,
3.794%,
5/20/50 (9)
17,895
20,321
Becton
Dickinson
&
Company,
4.669%,
6/6/47
25,598
32,325
Cardinal
Health,
4.50%,
11/15/44
4,690
5,401
Cardinal
Health,
4.90%,
9/15/45
5,050
6,137
China
Mengniu
Dairy,
2.50%,
6/17/30
5,955
6,017
Cigna,
2.375%,
3/15/31
11,528
11,846
Cigna,
2.40%,
3/15/30
9,287
9,538
Cigna,
3.40%,
3/1/27
6,153
6,781
Cigna,
4.375%,
10/15/28
9,603
11,207
Cigna,
4.80%,
8/15/38
16,956
21,237
CVS
Health,
1.875%,
2/28/31
14,118
13,789
CVS
Health,
2.70%,
8/21/40 (9)
4,570
4,466
CVS
Health,
3.625%,
4/1/27
5,001
5,543
CVS
Health,
4.25%,
4/1/50
17,394
21,107
CVS
Health,
5.05%,
3/25/48
51,682
68,450
Hasbro,
3.55%,
11/19/26
11,722
12,849
Mondelez
International,
2.75%,
4/13/30 (9)
9,720
10,292
PerkinElmer,
3.30%,
9/15/29
9,984
10,827
Perrigo
Finance
Unlimited,
3.15%,
6/15/30
8,242
8,503
Perrigo
Finance
Unlimited,
3.90%,
12/15/24
26,244
28,054
Perrigo
Finance
Unlimited,
4.375%,
3/15/26
25,743
28,035
Reynolds
American,
4.45%,
6/12/25
35,794
39,641
Yili
Holding
Investment,
1.625%,
11/19/25
21,007
21,047
857,646
T.
ROWE
PRICE
New
Income
Fund
13
Par/Shares
$
Value
(Amounts
in
000s)
Energy
3.9%
Aker,
2.875%,
1/15/26 (1)
7,042
7,441
Boardwalk
Pipelines,
3.40%,
2/15/31
18,201
19,374
Boardwalk
Pipelines,
4.45%,
7/15/27
30,749
34,673
Boardwalk
Pipelines,
4.95%,
12/15/24
9,720
10,801
Boardwalk
Pipelines,
5.95%,
6/1/26
11,000
12,967
Cameron
LNG,
2.902%,
7/15/31 (1)
8,447
9,071
Cameron
LNG,
3.302%,
1/15/35 (1)
9,239
9,946
Cameron
LNG,
3.701%,
1/15/39 (1)
6,882
7,595
Cheniere
Corpus
Christi
Holdings,
3.70%,
11/15/29
21,773
23,869
Cheniere
Corpus
Christi
Holdings,
5.125%,
6/30/27
6,741
7,836
Cheniere
Corpus
Christi
Holdings,
7.00%,
6/30/24
13,836
15,711
Cheniere
Energy,
4.625%,
10/15/28
22,665
23,912
DCP
Midstream
Operating,
6.75%,
9/15/37 (1)
4,310
5,366
DCP
Midstream
Operating,
VR,
5.85%,
5/21/43 (1)(8)
8,155
7,584
Diamondback
Energy,
3.25%,
12/1/26
25,462
27,244
Energy
Transfer,
2.90%,
5/15/25 (9)
8,447
8,869
Energy
Transfer,
4.20%,
4/15/27
2,658
2,934
Energy
Transfer,
4.25%,
4/1/24
13,866
14,767
Energy
Transfer,
4.50%,
4/15/24
6,284
6,810
Energy
Transfer,
4.95%,
6/15/28
18,982
21,948
Energy
Transfer,
5.00%,
5/15/50
4,175
4,885
Energy
Transfer,
5.25%,
4/15/29
13,749
16,189
Energy
Transfer,
5.50%,
6/1/27
3,713
4,377
Energy
Transfer,
5.875%,
1/15/24
13,657
15,023
Energy
Transfer,
6.00%,
6/15/48
40,941
51,987
Energy
Transfer,
6.25%,
4/15/49
3,985
5,305
Eni,
Series
X-R,
4.75%,
9/12/28 (1)
30,079
35,293
Gray
Oak
Pipeline,
2.00%,
9/15/23 (1)
2,100
2,140
Gray
Oak
Pipeline,
2.60%,
10/15/25 (1)
6,556
6,758
Gray
Oak
Pipeline,
3.45%,
10/15/27 (1)
2,741
2,908
Occidental
Petroleum,
8.00%,
7/15/25 (9)
14,410
17,292
Occidental
Petroleum,
8.50%,
7/15/27
9,330
11,756
Occidental
Petroleum,
8.875%,
7/15/30
11,375
15,555
Reliance
Industries,
3.667%,
11/30/27
18,280
20,099
Reliance
Industries,
4.125%,
1/28/25
6,120
6,682
Sabine
Pass
Liquefaction,
4.50%,
5/15/30
4,495
5,203
Sabine
Pass
Liquefaction,
5.00%,
3/15/27
71,542
82,631
Sabine
Pass
Liquefaction,
5.75%,
5/15/24
6,817
7,592
Sabine
Pass
Liquefaction,
5.875%,
6/30/26
14,711
17,359
Tengizchevroil
Finance
International,
4.00%,
8/15/26
39,000
42,367
Thaioil
Treasury
Center,
4.625%,
11/20/28 (9)
4,595
5,134
Transcontinental
Gas
Pipe
Line,
3.25%,
5/15/30
7,309
7,895
Transcontinental
Gas
Pipe
Line,
4.00%,
3/15/28
10,600
11,979
Transcontinental
Gas
Pipe
Line,
4.60%,
3/15/48
14,546
17,713
T.
ROWE
PRICE
New
Income
Fund
14
Par/Shares
$
Value
(Amounts
in
000s)
Valero
Energy,
2.15%,
9/15/27 (9)
8,038
8,169
Williams,
2.60%,
3/15/31
29,160
29,743
Williams,
3.75%,
6/15/27
7,096
7,858
Woodside
Finance,
3.65%,
3/5/25 (1)
12,830
13,715
Woodside
Finance,
3.70%,
9/15/26 (1)
41,929
45,664
Woodside
Finance,
3.70%,
3/15/28 (1)
34,813
37,685
835,674
Industrial
Other
0.1%
Sun
Hung
Kai
Properties
Capital
Market,
2.875%,
1/21/30
14,100
14,863
14,863
Technology
1.2%
Avnet,
4.875%,
12/1/22
29,510
31,059
Baidu,
2.875%,
7/6/22
30,594
31,153
Baidu,
3.625%,
7/6/27 (9)
6,160
6,828
Baidu,
3.875%,
9/29/23
19,645
20,838
Baidu,
4.375%,
5/14/24
12,549
13,664
Baidu,
4.375%,
3/29/28
7,975
9,081
Keysight
Technologies,
4.60%,
4/6/27
703
819
Micron
Technology,
4.185%,
2/15/27
29,340
33,228
NXP,
2.70%,
5/1/25 (1)
2,279
2,399
NXP,
3.15%,
5/1/27 (1)
4,632
4,974
NXP,
5.35%,
3/1/26 (1)
10,055
11,706
Oracle,
2.30%,
3/25/28
12,072
12,433
Tencent
Holdings,
1.81%,
1/26/26
25,688
26,016
Tencent
Holdings,
3.575%,
4/11/26
19,482
21,205
TSMC
Global,
1.00%,
9/28/27 (1)
23,860
23,152
248,555
Transportation
0.6%
Mileage
Plus
Holdings,
6.50%,
6/20/27 (1)
35,847
38,939
SF
Holding
Investment,
2.875%,
2/20/30 (9)
19,700
20,242
Shanghai
Port
Group
BVI
Development,
2.85%,
9/11/29
14,625
15,414
Shanghai
Port
Group
BVI
Development,
3.375%,
6/18/29
3,890
4,240
Shanghai
Port
Group
BVI
Development
2,
2.375%,
7/13/30
21,110
21,541
Transurban
Finance,
2.45%,
3/16/31 (1)
12,184
12,407
Transurban
Finance,
3.375%,
3/22/27 (1)
10,230
11,163
United
Airlines
PTT,
Series
2019-2,
Class
A,
2.90%,
5/1/28
7,701
7,668
United
Airlines
PTT,
Series
2019-2,
Class
AA,
2.70%,
5/1/32
4,792
4,783
136,397
Total
Industrial
3,554,535
UTILITY
2.2%
Electric
1.9%
Ausgrid
Finance,
3.85%,
5/1/23 (1)(9)
14,852
15,465
Ausgrid
Finance,
4.35%,
8/1/28 (1)
23,381
26,644
China
Southern
Power
Grid
International
Finance
BVI,
3.50%,
5/8/27
10,000
11,032
T.
ROWE
PRICE
New
Income
Fund
15
Par/Shares
$
Value
(Amounts
in
000s)
China
Southern
Power
Grid
International
Finance
BVI
2018,
4.25%,
9/18/28 (9)
5,400
6,244
Edison
International,
4.95%,
4/15/25
1,409
1,553
Enel
Finance
International,
1.875%,
7/12/28 (1)
18,162
18,184
Enel
Finance
International,
2.25%,
7/12/31 (1)
23,114
23,024
Enel
Finance
International,
3.50%,
4/6/28 (1)
11,261
12,431
Enel
Finance
International,
3.625%,
5/25/27 (1)
40,586
45,051
FirstEnergy
Transmission,
4.35%,
1/15/25 (1)
60,152
66,237
NRG
Energy,
4.45%,
6/15/29 (1)
12,942
14,495
Pacific
Gas
&
Electric,
2.10%,
8/1/27
10,318
9,983
Pacific
Gas
&
Electric,
2.50%,
2/1/31
26,808
25,198
Pacific
Gas
&
Electric,
3.30%,
8/1/40
22,239
20,527
Pacific
Gas
&
Electric,
3.95%,
12/1/47 (9)
10,551
9,969
Pacific
Gas
&
Electric,
4.55%,
7/1/30
45,572
48,462
Vistra
Operations,
3.55%,
7/15/24 (1)
44,076
46,522
Vistra
Operations,
4.375%,
5/1/29 (1)
6,775
6,877
407,898
Natural
Gas
0.3%
APT
Pipelines,
4.25%,
7/15/27 (1)
4,605
5,252
NiSource,
1.70%,
2/15/31
14,959
14,326
NiSource,
3.60%,
5/1/30
24,407
27,057
Sempra
Energy,
3.80%,
2/1/38
8,243
9,225
55,860
Total
Utility
463,758
Total
Corporate
Bonds
(Cost
$6,047,818)
6,371,931
FOREIGN
GOVERNMENT
OBLIGATIONS
&
MUNICIPALITIES
1.2%
Government
Sponsored
0.0%
Equate
Petrochemical,
4.25%,
11/3/26
7,737
8,614
8,614
Owned
No
Guarantee
1.2%
Export-Import
Bank
of
Thailand,
1.457%,
10/15/25
13,925
14,020
Korea
Electric
Power,
7.00%,
2/1/27
4,505
5,759
Korea
National
Oil,
1.625%,
10/5/30 (1)
18,020
17,382
Korea
South-East
Power,
1.00%,
2/3/26
5,765
5,740
NBN,
2.625%,
5/5/31 (1)
16,981
17,539
Ooredoo
International
Finance,
2.625%,
4/8/31 (1)
21,040
21,726
Perusahaan
Listrik
Negara,
5.45%,
5/21/28 (1)
60,500
71,165
PTTEP
Treasury
Center,
2.587%,
6/10/27
18,300
19,185
QNB
Finance,
2.625%,
5/12/25
10,572
11,083
QNB
Finance,
2.75%,
2/12/27
21,028
22,133
State
Grid
Overseas
Investment
2016,
3.50%,
5/4/27
24,000
26,540
T.
ROWE
PRICE
New
Income
Fund
16
Par/Shares
$
Value
(Amounts
in
000s)
TNB
Global
Ventures
Capital,
3.244%,
10/19/26
13,470
14,450
246,722
Total
Foreign
Government
Obligations
&
Municipalities
(Cost
$242,902)
255,336
NON-U.S.
GOVERNMENT
MORTGAGE-BACKED
SECURITIES
9.1%
Collateralized
Mortgage
Obligations
4.8%
Angel
Oak
Mortgage
Trust
Series
2021-3,
Class
A1,
CMO,
ARM
1.068%,
5/25/66 (1)
15,731
15,758
Angel
Oak
Mortgage
Trust
Series
2021-4,
Class
A3,
CMO,
ARM
1.446%,
1/20/65 (1)
9,535
9,554
Angel
Oak
Mortgage
Trust
I
Series
2019-1,
Class
A1,
CMO,
ARM
3.92%,
11/25/48 (1)
10,016
10,116
Angel
Oak
Mortgage
Trust
I
Series
2019-1,
Class
A2,
CMO,
ARM
4.022%,
11/25/48 (1)
3,728
3,761
Bayview
Opportunity
Master
Fund
IVa
Trust
Series
2017-RT1,
Class
A1,
CMO,
ARM
3.00%,
3/28/57 (1)
2,569
2,601
Bayview
Opportunity
Master
Fund
IVa
Trust
Series
2017-SPL5,
Class
A,
CMO,
ARM
3.50%,
6/28/57 (1)
891
911
Bayview
Opportunity
Master
Fund
IVb
Trust
Series
2017-RT2,
Class
A,
CMO,
ARM
3.50%,
8/28/57 (1)
2,793
2,788
CIM
Trust
Series
2019-INV3,
Class
A15,
CMO,
ARM
3.50%,
8/25/49 (1)
5,801
5,895
CIM
Trust
Series
2020-INV1,
Class
A2,
CMO,
ARM
2.50%,
4/25/50 (1)
9,443
9,645
CIM
Trust
Series
2021-INV1,
Class
A8,
CMO,
ARM
2.50%,
7/1/51 (1)
14,080
14,422
COLT
Mortgage
Loan
Trust
Series
2020-3,
Class
A1,
CMO,
ARM
1.506%,
4/27/65 (1)
6,676
6,689
COLT
Mortgage
Loan
Trust
Series
2021-1,
Class
A1,
CMO,
ARM
0.91%,
6/25/66 (1)
22,368
22,290
T.
ROWE
PRICE
New
Income
Fund
17
Par/Shares
$
Value
(Amounts
in
000s)
Connecticut
Avenue
Securities
Series
2016-C05,
Class
2M2,
CMO,
ARM
1M
USD
LIBOR
+
4.45%,
4.534%,
1/25/29
9,695
10,062
Connecticut
Avenue
Securities
Series
2017-C02,
Class
2ED3,
CMO,
ARM
1M
USD
LIBOR
+
1.35%,
1.434%,
9/25/29
30,659
30,855
Connecticut
Avenue
Securities
Series
2017-C04,
Class
2ED2,
CMO,
ARM
1M
USD
LIBOR
+
1.10%,
1.184%,
11/25/29
35,142
34,710
Connecticut
Avenue
Securities
Series
2017-C06,
Class
2ED1,
CMO,
ARM
1M
USD
LIBOR
+
1.00%,
1.084%,
2/25/30
9,609
9,564
Connecticut
Avenue
Securities
Series
2018-C01,
Class
1ED2,
CMO,
ARM
1M
USD
LIBOR
+
0.85%,
0.934%,
7/25/30
29,286
29,286
Connecticut
Avenue
Securities
Series
2018-C02,
Class
2EB2,
CMO,
ARM
1M
USD
LIBOR
+
0.90%,
0.984%,
8/25/30
14,341
14,118
Deephaven
Residential
Mortgage
Trust
Series
2021-2,
Class
A1,
CMO,
ARM
0.899%,
4/25/66 (1)
11,987
11,980
Ellington
Financial
Mortgage
Trust
Series
2019-2,
Class
A1,
CMO,
ARM
2.739%,
11/25/59 (1)
6,599
6,707
Ellington
Financial
Mortgage
Trust
Series
2020-1,
Class
A1,
CMO,
ARM
2.006%,
5/25/65 (1)
5,111
5,150
Flagstar
Mortgage
Trust
Series
2018-6RR,
Class
2A4,
CMO,
ARM
4.00%,
9/25/48 (1)
3,858
3,911
Flagstar
Mortgage
Trust
Series
2019-1INV,
Class
A3,
CMO,
ARM
3.50%,
10/25/49 (1)
5,291
5,404
Flagstar
Mortgage
Trust
Series
2020-1INV,
Class
A11,
CMO,
ARM
1M
USD
LIBOR
+
0.85%,
0.934%,
3/25/50 (1)
6,598
6,586
Flagstar
Mortgage
Trust
Series
2021-5INV,
Class
A16,
CMO,
ARM
2.50%,
5/25/33 (1)
12,040
12,215
Flagstar
Mortgage
Trust
Series
2021-8INV,
Class
A18,
CMO,
ARM
2.50%,
9/25/51 (1)
10,705
10,871
FWD
Securitization
Trust
Series
2020-INV1,
Class
A3,
CMO,
ARM
2.44%,
1/25/50 (1)
2,830
2,842
Galton
Funding
Mortgage
Trust
Series
2018-1,
Class
A23,
CMO,
ARM
3.50%,
11/25/57 (1)
2,272
2,298
T.
ROWE
PRICE
New
Income
Fund
18
Par/Shares
$
Value
(Amounts
in
000s)
Galton
Funding
Mortgage
Trust
Series
2018-2,
Class
A22,
CMO,
ARM
4.00%,
10/25/58 (1)
7,535
7,657
Galton
Funding
Mortgage
Trust
Series
2018-2,
Class
A31,
CMO,
ARM
4.50%,
10/25/58 (1)
3,706
3,775
Galton
Funding
Mortgage
Trust
Series
2019-1,
Class
A22,
CMO,
ARM
4.00%,
2/25/59 (1)
2,123
2,145
Galton
Funding
Mortgage
Trust
Series
2019-2,
Class
A42,
CMO,
ARM
3.50%,
6/25/59 (1)
693
693
Galton
Funding
Mortgage
Trust
Series
2019-H1,
Class
A1,
CMO,
ARM
2.657%,
10/25/59 (1)
4,152
4,211
Galton
Funding
Mortgage
Trust
Series
2020-H1,
Class
A1,
CMO,
ARM
2.31%,
1/25/60 (1)
8,620
8,757
GS
Mortgage-Backed
Securities
Trust
Series
2014-EB1A,
Class
2A1,
CMO,
ARM
1.66%,
7/25/44 (1)
781
786
GS
Mortgage-Backed
Securities
Trust
Series
2020-INV1,
Class
A14,
CMO,
ARM
2.983%,
10/25/50 (1)
26,593
27,120
GS
Mortgage-Backed
Securities
Trust
Series
2021-GR2,
Class
A6,
CMO,
ARM
2.50%,
2/25/52 (1)
32,770
33,553
GS
Mortgage-Backed
Securities
Trust
Series
2021-PJ6,
Class
A4,
CMO,
ARM
2.50%,
11/25/51 (1)
12,264
12,377
GS
Mortgage-Backed
Securities
Trust
Series
2021-PJ6,
Class
A8,
CMO,
ARM
2.50%,
11/25/51 (1)
21,120
21,660
Homeward
Opportunities
Fund
I
Trust
Series
2020-2,
Class
A1,
CMO,
ARM
1.657%,
5/25/65 (1)
7,043
7,079
Imperial
Fund
Mortgage
Trust
Series
2021-NQM2,
Class
A1,
CMO,
ARM
1.073%,
9/25/56 (1)
17,420
17,426
JPMorgan
Mortgage
Trust
Series
2019-INV2,
Class
A3,
CMO,
ARM
3.50%,
2/25/50 (1)
5,505
5,598
JPMorgan
Mortgage
Trust
Series
2019-INV3,
Class
A3,
CMO,
ARM
3.50%,
5/25/50 (1)
10,303
10,506
JPMorgan
Mortgage
Trust
Series
2020-INV1,
Class
A11,
CMO,
ARM
1M
USD
LIBOR
+
0.83%,
0.919%,
8/25/50 (1)
4,949
4,977
T.
ROWE
PRICE
New
Income
Fund
19
Par/Shares
$
Value
(Amounts
in
000s)
JPMorgan
Mortgage
Trust
Series
2020-INV1,
Class
A3,
CMO,
ARM
3.50%,
8/25/50 (1)
8,368
8,535
JPMorgan
Mortgage
Trust
Series
2020-LTV1,
Class
A15,
CMO,
ARM
3.50%,
6/25/50 (1)
3,546
3,604
JPMorgan
Mortgage
Trust
Series
2020-LTV1,
Class
A3,
CMO,
ARM
3.50%,
6/25/50 (1)
8,772
8,945
MetLife
Securitization
Trust
Series
2018-1A,
Class
A,
CMO,
ARM
3.75%,
3/25/57 (1)
16,851
17,429
MFA
Trust
Series
2021-NQM2,
Class
A1,
CMO,
ARM
1.029%,
11/25/64 (1)
12,519
12,505
Mill
City
Mortgage
Loan
Trust
Series
2016-1,
Class
A1,
CMO,
ARM
2.50%,
4/25/57 (1)
1,273
1,278
Mill
City
Mortgage
Loan
Trust
Series
2018-1,
Class
A1,
CMO,
ARM
3.25%,
5/25/62 (1)
9,638
9,826
New
Residential
Mortgage
Loan
Trust
Series
2019-NQM5,
Class
A1,
CMO,
ARM
2.71%,
11/25/59 (1)
10,355
10,490
New
Residential
Mortgage
Loan
Trust
Series
2021-INV1,
Class
A4,
CMO,
ARM
2.50%,
6/25/51 (1)
7,336
7,475
New
Residential
Mortgage
Loan
Trust
Series
2021-INV1,
Class
A6,
CMO,
ARM
2.50%,
6/25/51 (1)
18,830
19,300
OBX
Trust
Series
2019-EXP2,
Class
1A3,
CMO,
ARM
4.00%,
6/25/59 (1)
9,762
10,106
OBX
Trust
Series
2019-EXP2,
Class
2A1A,
CMO,
ARM
1M
USD
LIBOR
+
0.90%,
0.984%,
6/25/59 (1)
1,812
1,818
OBX
Trust
Series
2019-EXP3,
Class
1A8,
CMO,
ARM
3.50%,
10/25/59 (1)
6,560
6,674
OBX
Trust
Series
2019-INV2,
Class
A25,
CMO,
ARM
4.00%,
5/27/49 (1)
2,182
2,219
OBX
Trust
Series
2019-INV2,
Class
A5,
CMO,
ARM
4.00%,
5/27/49 (1)
5,905
6,031
OBX
Trust
Series
2020-EXP1,
Class
1A8,
CMO,
ARM
3.50%,
2/25/60 (1)
12,039
12,359
T.
ROWE
PRICE
New
Income
Fund
20
Par/Shares
$
Value
(Amounts
in
000s)
OBX
Trust
Series
2020-EXP1,
Class
2A1,
CMO,
ARM
1M
USD
LIBOR
+
0.75%,
0.834%,
2/25/60 (1)
2,778
2,776
OBX
Trust
Series
2020-EXP2,
Class
A8,
CMO,
ARM
3.00%,
5/25/60 (1)
23,281
23,574
OBX
Trust
Series
2020-INV1,
Class
A5,
CMO,
ARM
3.50%,
12/25/49 (1)
3,892
3,971
OBX
Trust
Series
2021-NQM1,
Class
A1,
CMO,
ARM
1.072%,
2/25/66 (1)
17,087
17,084
OBX
Trust
Series
2021-NQM3,
Class
A1,
CMO,
ARM
1.054%,
7/25/61 (1)
14,400
14,408
Sequoia
Mortgage
Trust
Series
2018-CH1,
Class
A2,
CMO,
ARM
3.50%,
2/25/48 (1)
2,271
2,286
Sequoia
Mortgage
Trust
Series
2018-CH2,
Class
A3,
CMO,
ARM
4.00%,
6/25/48 (1)
8,569
8,668
Sequoia
Mortgage
Trust
Series
2018-CH3,
Class
A2,
CMO,
ARM
4.00%,
8/25/48 (1)
6,518
6,626
Sequoia
Mortgage
Trust
Series
2018-CH4,
Class
A2,
CMO,
ARM
4.00%,
10/25/48 (1)
6,634
6,708
SG
Residential
Mortgage
Trust
Series
2019-3,
Class
A1,
CMO,
ARM
2.703%,
9/25/59 (1)
4,474
4,490
Starwood
Mortgage
Residential
Trust
Series
2018-IMC2,
Class
A1,
CMO,
ARM
4.121%,
10/25/48 (1)
4,138
4,185
Starwood
Mortgage
Residential
Trust
Series
2019-INV1,
Class
A1,
CMO,
ARM
2.61%,
9/27/49 (1)
11,325
11,451
Starwood
Mortgage
Residential
Trust
Series
2021-3,
Class
A1,
CMO,
ARM
1.127%,
6/25/56 (1)
10,651
10,660
Structured
Agency
Credit
Risk
Debt
Notes
Series
2017-DNA3,
Class
M1,
CMO,
ARM
1M
USD
LIBOR
+
0.75%,
0.834%,
3/25/30
845
845
Structured
Agency
Credit
Risk
Debt
Notes
Series
2017-DNA3,
Class
M2AS,
CMO,
ARM
1M
USD
LIBOR
+
1.10%,
1.184%,
3/25/30
30,119
30,232
Structured
Agency
Credit
Risk
Debt
Notes
Series
2017-HQA2,
Class
M2AS,
CMO,
ARM
1M
USD
LIBOR
+
1.05%,
1.134%,
12/25/29
16,694
16,745
T.
ROWE
PRICE
New
Income
Fund
21
Par/Shares
$
Value
(Amounts
in
000s)
Structured
Agency
Credit
Risk
Debt
Notes
Series
2018-DNA1,
Class
M2AT,
CMO,
ARM
1M
USD
LIBOR
+
1.05%,
1.134%,
7/25/30
21,928
21,842
Structured
Agency
Credit
Risk
Debt
Notes
Series
2018-DNA2,
Class
M1,
CMO,
ARM
1M
USD
LIBOR
+
0.80%,
0.884%,
12/25/30 (1)
6,937
6,937
Structured
Agency
Credit
Risk
Debt
Notes
Series
2018-DNA3,
Class
M1,
CMO,
ARM
1M
USD
LIBOR
+
0.75%,
0.834%,
9/25/48 (1)
26
26
Structured
Agency
Credit
Risk
Debt
Notes
Series
2018-HQA1,
Class
M2AS,
CMO,
ARM
1M
USD
LIBOR
+
1.10%,
1.184%,
9/25/30
15,764
15,778
Structured
Agency
Credit
Risk
Debt
Notes
Series
2018-HQA2,
Class
M1,
CMO,
ARM
1M
USD
LIBOR
+
0.75%,
0.834%,
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%,
1.334%,
2/25/47 (1)
14,344
14,363
Structured
Agency
Credit
Risk
Debt
Notes
Series
2020-DNA5,
Class
M2,
CMO,
ARM
SOFR30A
+
2.80%,
2.85%,
10/25/50 (1)
14,000
14,158
Structured
Agency
Credit
Risk
Debt
Notes
Series
2020-HQA5,
Class
M1,
CMO,
ARM
SOFR30A
+
1.10%,
1.15%,
11/25/50 (1)
3,501
3,503
Towd
Point
Mortgage
Trust
Series
2015-4,
Class
M1,
CMO,
ARM
3.75%,
4/25/55 (1)
14,707
15,021
Towd
Point
Mortgage
Trust
Series
2016-1,
Class
A1B,
CMO,
ARM
2.75%,
2/25/55 (1)
436
436
Towd
Point
Mortgage
Trust
Series
2016-1,
Class
A3B,
CMO,
ARM
3.00%,
2/25/55 (1)
3,426
3,450
Towd
Point
Mortgage
Trust
Series
2016-2,
Class
A1A,
CMO,
ARM
2.75%,
8/25/55 (1)
2,380
2,392
Towd
Point
Mortgage
Trust
Series
2016-3,
Class
A1,
CMO,
ARM
2.25%,
4/25/56 (1)
1,194
1,198
Towd
Point
Mortgage
Trust
Series
2016-4,
Class
A1,
CMO,
ARM
2.25%,
7/25/56 (1)
3,536
3,561
Towd
Point
Mortgage
Trust
Series
2017-1,
Class
A1,
CMO,
ARM
2.75%,
10/25/56 (1)
4,921
4,991
Towd
Point
Mortgage
Trust
Series
2017-2,
Class
A1,
CMO,
ARM
2.75%,
4/25/57 (1)
2,014
2,040
T.
ROWE
PRICE
New
Income
Fund
22
Par/Shares
$
Value
(Amounts
in
000s)
Towd
Point
Mortgage
Trust
Series
2017-5,
Class
A1,
CMO,
ARM
1M
USD
LIBOR
+
0.60%,
0.684%,
2/25/57 (1)
5,502
5,506
Towd
Point
Mortgage
Trust
Series
2018-1,
Class
A1,
CMO,
ARM
3.00%,
1/25/58 (1)
9,406
9,615
Verus
Securitization
Trust
Series
2019-3,
Class
A3,
CMO,
STEP
3.04%,
7/25/59 (1)
12,763
12,828
Verus
Securitization
Trust
Series
2019-4,
Class
A1,
CMO,
STEP
2.642%,
11/25/59 (1)
7,854
7,972
Verus
Securitization
Trust
Series
2019-4,
Class
M1,
CMO,
ARM
3.207%,
11/25/59 (1)
5,200
5,287
Verus
Securitization
Trust
Series
2019-INV2,
Class
A3,
CMO,
ARM
3.219%,
7/25/59 (1)
11,313
11,436
Verus
Securitization
Trust
Series
2019-INV3,
Class
A1,
CMO,
ARM
2.692%,
11/25/59 (1)
10,020
10,159
Verus
Securitization
Trust
Series
2019-INV3,
Class
A3,
CMO,
ARM
3.10%,
11/25/59 (1)
11,106
11,261
Verus
Securitization
Trust
Series
2020-1,
Class
A1,
CMO,
STEP
2.417%,
1/25/60 (1)
9,887
10,016
Verus
Securitization
Trust
Series
2020-2,
Class
A3,
CMO,
ARM
3.995%,
5/25/60 (1)
7,815
8,021
Verus
Securitization
Trust
Series
2020-INV1,
Class
A1,
CMO,
ARM
1.977%,
3/25/60 (1)
3,901
3,932
Vista
Point
Securitization
Trust
Series
2020-1,
Class
A1,
CMO,
ARM
1.763%,
3/25/65 (1)
7,978
8,013
Vista
Point
Securitization
Trust
Series
2020-1,
Class
A3,
CMO,
ARM
3.201%,
3/25/65 (1)
17,346
17,753
Vista
Point
Securitization
Trust
Series
2020-2,
Class
A1,
CMO,
ARM
1.475%,
4/25/65 (1)
5,797
5,832
Wells
Fargo
Mortgage
Backed
Securities
Trust
Series
2021-RR1,
Class
A1,
CMO,
ARM
2.50%,
12/25/50 (1)
18,444
18,827
1,032,408
T.
ROWE
PRICE
New
Income
Fund
23
Par/Shares
$
Value
(Amounts
in
000s)
Commercial
Mortgage-Backed
Securities
4.3%
225
Liberty
Street
Trust
Series
2016-225L,
Class
A
3.597%,
2/10/36 (1)
13,535
14,727
Austin
Fairmont
Hotel
Trust
Series
2019-FAIR,
Class
B,
ARM
1M
USD
LIBOR
+
1.25%,
1.346%,
9/15/32 (1)
11,890
11,853
Austin
Fairmont
Hotel
Trust
Series
2019-FAIR,
Class
D,
ARM
1M
USD
LIBOR
+
1.80%,
1.896%,
9/15/32 (1)
4,935
4,910
Aventura
Mall
Trust
Series
2018-AVM,
Class
A,
ARM
4.249%,
7/5/40 (1)
39,170
44,731
BAMLL
Commercial
Mortgage-Backed
Securities
Trust
Series
2018-DSNY,
Class
A,
ARM
1M
USD
LIBOR
+
0.85%,
0.946%,
9/15/34 (1)
35,456
35,456
BANK
Series
2017-BNK8,
Class
AS
3.731%,
11/15/50
2,705
3,004
BBCMS
Mortgage
Trust
Series
2019-BWAY,
Class
D,
ARM
1M
USD
LIBOR
+
2.16%,
2.272%,
11/15/34 (1)
10,230
9,937
Benchmark
Mortgage
Trust
Series
2018-B3,
Class
AS,
ARM
4.195%,
4/10/51
14,540
16,621
BX
Commercial
Mortgage
Trust
Series
2019-IMC,
Class
E,
ARM
1M
USD
LIBOR
+
2.15%,
2.246%,
4/15/34 (1)
32,870
32,747
Cantor
Commercial
Real
Estate
Lending
Series
2019-CF2,
Class
B
3.267%,
11/15/52
9,752
10,293
Cantor
Commercial
Real
Estate
Lending
Series
2019-CF2,
Class
C,
ARM
3.793%,
11/15/52
3,875
4,067
Citigroup
Commercial
Mortgage
Trust
Series
2013-375P,
Class
D,
ARM
3.635%,
5/10/35 (1)
14,725
14,980
Citigroup
Commercial
Mortgage
Trust
Series
2015-GC27,
Class
AS
3.571%,
2/10/48
9,880
10,453
Citigroup
Commercial
Mortgage
Trust
Series
2015-GC33,
Class
AS
4.114%,
9/10/58
8,061
8,803
Citigroup
Commercial
Mortgage
Trust
Series
2016-P4,
Class
AS
3.075%,
7/10/49
11,205
11,688
T.
ROWE
PRICE
New
Income
Fund
24
Par/Shares
$
Value
(Amounts
in
000s)
Citigroup
Commercial
Mortgage
Trust
Series
2017-P7,
Class
AS
3.915%,
4/14/50
27,657
30,648
Citigroup
Commercial
Mortgage
Trust
Series
2018-B2,
Class
C,
ARM
4.827%,
3/10/51
3,320
3,470
Citigroup
Commercial
Mortgage
Trust
Series
2019-C7,
Class
805A,
ARM
3.917%,
12/15/72 (1)
12,000
11,870
Citigroup
Commercial
Mortgage
Trust
Series
2020-555,
Class
A
2.647%,
12/10/41 (1)
19,685
20,673
Citigroup
Commercial
Mortgage
Trust
Series
2020-555,
Class
C
3.031%,
12/10/41 (1)
8,370
8,419
Citigroup
Commercial
Mortgage
Trust
Series
2020-555,
Class
D
3.233%,
12/10/41 (1)
5,500
5,416
Cold
Storage
Trust
Series
2020-ICE5,
Class
B,
ARM
1M
USD
LIBOR
+
1.30%,
1.396%,
11/15/37 (1)
11,083
11,108
Cold
Storage
Trust
Series
2020-ICE5,
Class
C,
ARM
1M
USD
LIBOR
+
1.65%,
1.746%,
11/15/37 (1)
23,705
23,778
Commercial
Mortgage
Trust
Series
2013-CR6,
Class
AM
3.147%,
3/10/46 (1)
6,715
6,878
Commercial
Mortgage
Trust
Series
2015-CR24,
Class
A5
3.696%,
8/10/48
7,340
8,029
Commercial
Mortgage
Trust
Series
2015-CR24,
Class
AM,
ARM
4.028%,
8/10/48
5,745
6,281
Commercial
Mortgage
Trust
Series
2015-LC21,
Class
AM,
ARM
4.043%,
7/10/48
21,415
23,214
Commercial
Mortgage
Trust
Series
2015-LC21,
Class
B,
ARM
4.478%,
7/10/48
28,450
31,100
CSAIL
Commercial
Mortgage
Trust
Series
2016-C5,
Class
AS
4.01%,
11/15/48
5,000
5,478
CSAIL
Commercial
Mortgage
Trust
Series
2016-C6,
Class
A5
3.09%,
1/15/49
5,000
5,363
CSAIL
Commercial
Mortgage
Trust
Series
2019-C17,
Class
AS
3.278%,
9/15/52
14,473
15,735
T.
ROWE
PRICE
New
Income
Fund
25
Par/Shares
$
Value
(Amounts
in
000s)
CSAIL
Commercial
Mortgage
Trust
Series
2019-C17,
Class
B
3.48%,
9/15/52
16,560
17,536
Eleven
Madison
Mortgage
Trust
Series
2015-11MD,
Class
A,
ARM
3.673%,
9/10/35 (1)
23,679
25,729
FREMF
Mortgage
Trust
Series
2018-K731,
Class
B,
ARM
4.065%,
2/25/25 (1)
8,375
9,072
FREMF
Mortgage
Trust
Series
2019-K100,
Class
B,
ARM
3.61%,
11/25/52 (1)
11,325
12,304
FREMF
Mortgage
Trust
Series
2019-K103,
Class
B,
ARM
3.572%,
12/25/51 (1)
9,280
10,100
FREMF
Mortgage
Trust
Series
2019-K92,
Class
B,
ARM
4.337%,
5/25/52 (1)
11,400
12,981
FREMF
Mortgage
Trust
Series
2019-K94,
Class
B,
ARM
4.101%,
7/25/52 (1)
6,610
7,426
FREMF
Mortgage
Trust
Series
2019-K94,
Class
C,
ARM
3.965%,
7/25/52 (1)
8,000
8,690
FREMF
Mortgage
Trust
Series
2019-K97,
Class
B,
ARM
3.893%,
9/25/51 (1)
9,820
10,932
FREMF
Mortgage
Trust
Series
2019-K98,
Class
B,
ARM
3.861%,
10/25/52 (1)
15,125
16,753
Great
Wolf
Trust
Series
2019-WOLF,
Class
D,
ARM
1M
USD
LIBOR
+
1.933%,
2.029%,
12/15/36 (1)
18,025
17,958
GS
Mortgage
Securities
Trust
Series
2019-GC40,
Class
B
3.543%,
7/10/52
12,730
13,790
Hilton
Orlando
Trust
Series
2018-ORL,
Class
B,
ARM
1M
USD
LIBOR
+
1.20%,
1.296%,
12/15/34 (1)
5,540
5,540
Independence
Plaza
Trust
Series
2018-INDP,
Class
B
3.911%,
7/10/35 (1)
12,220
12,854
InTown
Hotel
Portfolio
Trust
Series
2018-STAY,
Class
B,
ARM
1M
USD
LIBOR
+
1.30%,
1.396%,
1/15/33 (1)
3,510
3,520
JPMorgan
Chase
Commercial
Mortgage
Securities
Trust
Series
2016-NINE,
Class
B,
ARM
2.949%,
9/6/38 (1)
11,320
11,999
T.
ROWE
PRICE
New
Income
Fund
26
Par/Shares
$
Value
(Amounts
in
000s)
JPMorgan
Chase
Commercial
Mortgage
Securities
Trust
Series
2018-WPT,
Class
AFX
4.248%,
7/5/33 (1)
9,825
10,397
JPMorgan
Chase
Commercial
Mortgage
Securities
Trust
Series
2018-WPT,
Class
BFX
4.549%,
7/5/33 (1)
7,620
8,015
JPMorgan
Chase
Commercial
Mortgage
Securities
Trust
Series
2018-WPT,
Class
CFX
4.95%,
7/5/33 (1)
11,395
11,984
JPMorgan
Deutsche
Bank
Commercial
Mortgage
Securities
Trust
Series
2017-C5,
Class
AS,
ARM
3.858%,
3/15/50
15,745
17,286
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
Series
2014-C17,
Class
B,
ARM
4.464%,
8/15/47
20,470
21,996
Morgan
Stanley
Capital
I
Trust
Series
2015-MS1,
Class
AS,
ARM
4.166%,
5/15/48
3,355
3,658
Morgan
Stanley
Capital
I
Trust
Series
2017-H1,
Class
AS
3.773%,
6/15/50
20,075
22,136
SLIDE
Series
2018-FUN,
Class
B,
ARM
1M
USD
LIBOR
+
1.50%,
1.596%,
6/15/31 (1)
9,027
9,010
UBS
Commercial
Mortgage
Trust
Series
2018-C9,
Class
AS,
ARM
4.318%,
3/15/51
12,230
13,951
VNDO
Trust
Series
2016-350P,
Class
D,
ARM
4.033%,
1/10/35 (1)
10,909
11,257
Wells
Fargo
Commercial
Mortgage
Trust
Series
2014-LC18,
Class
AS
3.808%,
12/15/47
5,860
6,290
Wells
Fargo
Commercial
Mortgage
Trust
Series
2015-C29,
Class
AS,
ARM
4.013%,
6/15/48
6,250
6,807
Wells
Fargo
Commercial
Mortgage
Trust
Series
2015-NXS2,
Class
AS,
ARM
4.121%,
7/15/58
6,215
6,800
Wells
Fargo
Commercial
Mortgage
Trust
Series
2015-NXS2,
Class
C,
ARM
4.435%,
7/15/58
4,900
5,226
Wells
Fargo
Commercial
Mortgage
Trust
Series
2017-C39,
Class
B
4.025%,
9/15/50
5,750
6,321
Wells
Fargo
Commercial
Mortgage
Trust
Series
2017-C41,
Class
AS,
ARM
3.785%,
11/15/50
15,000
16,459
T.
ROWE
PRICE
New
Income
Fund
27
Par/Shares
$
Value
(Amounts
in
000s)
Wells
Fargo
Commercial
Mortgage
Trust
Series
2019-JWDR,
Class
A,
ARM
2.584%,
9/15/31 (1)
36,095
36,708
Worldwide
Plaza
Trust
Series
2017-WWP,
Class
A
3.526%,
11/10/36 (1)
33,185
36,392
Worldwide
Plaza
Trust
Series
2017-WWP,
Class
C,
ARM
3.715%,
11/10/36 (1)
6,005
6,254
905,861
Total
Non-U.S.
Government
Mortgage-Backed
Securities
(Cost
$1,890,659)
1,938,269
U.S.
GOVERNMENT
&
AGENCY
MORTGAGE-BACKED
SECURITIES
21.5%
U.S.
Government
Agency
Obligations
14.5%
Federal
Home
Loan
Mortgage
2.50%,
5/1/30
8,654
9,101
3.00%,
12/1/42
-
4/1/47
21,555
23,182
3.50%,
9/1/42
-
3/1/46
109,250
118,701
4.00%,
10/1/40
-
8/1/45
12,482
13,726
4.50%,
6/1/39
-
5/1/42
19,508
21,786
5.00%,
7/1/25
-
8/1/40
5,187
5,900
5.50%,
11/1/21
-
12/1/39
5,246
6,107
6.00%,
10/1/21
-
8/1/38
2,959
3,498
6.50%,
2/1/24
-
9/1/39
1,211
1,381
7.00%,
2/1/24
-
6/1/32
26
27
7.50%,
5/1/24
-
6/1/24
4
4
Federal
Home
Loan
Mortgage,
ARM
12M
USD
LIBOR
+
1.725%,
1.975%,
7/1/35
40
41
12M
USD
LIBOR
+
1.785%,
2.285%,
9/1/32
7
7
12M
USD
LIBOR
+
1.829%,
2.203%,
2/1/37
119
124
12M
USD
LIBOR
+
1.835%,
2.289%,
3/1/36
124
131
12M
USD
LIBOR
+
1.842%,
2.216%,
1/1/37
139
140
12M
USD
LIBOR
+
1.929%,
2.314%,
12/1/36
91
97
12M
USD
LIBOR
+
2.029%,
2.448%,
11/1/36
127
128
1Y
CMT
+
2.25%,
2.326%,
10/1/36
77
82
Federal
Home
Loan
Mortgage,
CMO,
IO,
4.50%,
5/25/50
17,165
2,804
Federal
Home
Loan
Mortgage,
CMO,
PO,
Zero
Coupon,
8/15/28
10
10
Federal
Home
Loan
Mortgage,
UMBS
2.00%,
1/1/36
-
9/1/36
119,627
124,182
2.50%,
5/1/51
-
8/1/51
25,583
26,719
3.00%,
11/1/34
-
12/1/50
19,288
20,517
3.50%,
11/1/47
-
11/1/50
20,070
21,569
T.
ROWE
PRICE
New
Income
Fund
28
Par/Shares
$
Value
(Amounts
in
000s)
4.00%,
1/1/50
-
2/1/50
35,127
37,699
4.50%,
5/1/50
4,939
5,367
Federal
National
Mortgage
Assn.
3.00%,
6/1/33
-
8/1/46
8,538
9,106
3.50%,
6/1/42
-
5/1/46
67,629
73,267
4.00%,
11/1/40
21,836
23,903
Federal
National
Mortgage
Assn.,
ARM
12M
USD
LIBOR
+
1.34%,
1.715%,
12/1/35
74
74
12M
USD
LIBOR
+
1.604%,
1.927%,
7/1/36
364
384
12M
USD
LIBOR
+
1.655%,
1.905%,
8/1/37
105
107
12M
USD
LIBOR
+
1.873%,
2.123%,
8/1/36
167
170
Federal
National
Mortgage
Assn.,
CMO,
4.00%,
6/25/44
2,004
2,019
Federal
National
Mortgage
Assn.,
CMO,
IO,
6.50%,
2/25/32
35
7
Federal
National
Mortgage
Assn.,
UMBS
2.50%,
5/1/30
-
8/1/51
87,695
91,569
3.00%,
6/1/27
-
4/1/51
545,467
581,853
3.50%,
11/1/32
-
12/1/48
182,122
195,840
4.00%,
11/1/40
-
12/1/49
217,945
237,915
4.50%,
4/1/26
-
5/1/50
154,316
170,430
5.00%,
3/1/23
-
12/1/47
32,581
37,040
5.50%,
12/1/21
-
9/1/41
26,196
30,345
6.00%,
10/1/21
-
1/1/41
29,869
35,286
6.50%,
8/1/27
-
3/1/41
12,606
14,672
7.00%,
10/1/29
-
4/1/37
108
118
UMBS,
TBA(10)
2.00%,
9/1/51
536,900
544,261
2.50%,
9/1/51
397,210
412,540
3.00%,
9/1/51
86,885
90,887
4.00%,
9/1/51
39,465
42,284
4.50%,
9/1/51
38,550
41,691
3,078,798
U.S.
Government
Obligations
7.0%
Government
National
Mortgage
Assn.
2.50%,
6/20/51
-
7/20/51
156,526
162,412
3.00%,
9/15/42
-
7/20/51
250,033
262,828
3.50%,
9/15/41
-
4/20/48
184,907
198,074
4.00%,
2/20/41
-
10/20/50
97,542
105,232
4.50%,
7/15/26
-
7/20/47
28,134
31,112
5.00%,
9/15/33
-
8/20/48
56,326
63,008
5.50%,
10/20/32
-
3/20/49
48,974
55,017
6.00%,
1/20/34
-
12/20/38
2,961
3,460
6.50%,
1/15/26
-
12/20/33
84
97
7.00%,
12/20/23
-
11/20/28
21
24
7.50%,
12/15/22
-
8/15/28
54
59
8.00%,
12/15/21
-
5/15/32
177
195
T.
ROWE
PRICE
New
Income
Fund
29
Par/Shares
$
Value
(Amounts
in
000s)
8.50%,
9/15/22
-
9/20/26
2
2
Government
National
Mortgage
Assn.,
CMO
3.00%,
11/20/47
-
12/20/47
7,343
7,581
Government
National
Mortgage
Assn.,
CMO,
IO
3.50%,
4/20/39
-
5/20/43
4,530
657
4.00%,
5/20/37
-
2/20/43
8,716
528
4.50%,
12/20/39
436
8
Government
National
Mortgage
Assn.,
TBA(10)
2.00%,
10/20/51
252,755
257,553
2.50%,
9/20/51
259,827
269,449
3.50%,
9/20/51
76,985
81,021
1,498,317
Total
U.S.
Government
&
Agency
Mortgage-Backed
Securities
(Cost
$4,493,640)
4,577,115
U.S.
GOVERNMENT
AGENCY
OBLIGATIONS
(EXCLUDING
MORTGAGE-BACKED)
24.0%
U.S.
Treasury
Obligations
24.0%
U.S.
Treasury
Bonds,
1.875%,
2/15/41
112,100
112,993
U.S.
Treasury
Bonds,
1.875%,
2/15/51 (9)
32,525
32,134
U.S.
Treasury
Bonds,
2.00%,
8/15/51
208,720
212,471
U.S.
Treasury
Bonds,
2.25%,
5/15/41
375,965
402,341
U.S.
Treasury
Bonds,
2.375%,
5/15/51
366,170
404,446
U.S.
Treasury
Notes,
0.125%,
5/15/23
225,080
224,939
U.S.
Treasury
Notes,
0.125%,
6/30/23 (9)
186,500
186,354
U.S.
Treasury
Notes,
0.125%,
1/15/24
626,940
624,589
U.S.
Treasury
Notes,
0.125%,
2/15/24 (9)(11)
709,630
706,858
U.S.
Treasury
Notes,
0.25%,
3/15/24
428,560
427,890
U.S.
Treasury
Notes,
0.25%,
5/15/24
537,735
536,223
U.S.
Treasury
Notes,
0.625%,
7/31/26
550,260
546,477
U.S.
Treasury
Notes,
0.75%,
4/30/26
81,480
81,557
U.S.
Treasury
Notes,
0.75%,
5/31/26
210,420
210,486
U.S.
Treasury
Notes,
0.75%,
8/31/26
402,083
401,580
Total
U.S.
Government
Agency
Obligations
(Excluding
Mortgage-
Backed)
(Cost
$5,076,204)
5,111,338
T.
ROWE
PRICE
New
Income
Fund
30
Par/Shares
$
Value
(Amounts
in
000s)
SHORT-TERM
INVESTMENTS
13.2%
Money
Market
Funds
13.2%
T.
Rowe
Price
Government
Reserve
Fund,
0.05% (4)(12)
2,815,082
2,815,082
Total
Short-Term
Investments
(Cost
$2,815,082)
2,815,082
SECURITIES
LENDING
COLLATERAL
0.7%
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,
0.07% (4)(12)
2,245
22,448
Total
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
JPMorgan
Chase
Bank
22,448
INVESTMENTS
IN
A
POOLED
ACCOUNT
THROUGH
SECURITIES
LENDING
PROGRAM
WITH
STATE
STREET
BANK
AND
TRUST
COMPANY
0.6%
Short-Term
Funds
0.6%
T.
Rowe
Price
Short-Term
Fund,
0.07% (4)(12)
13,199
131,988
Total
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
State
Street
Bank
and
Trust
Company
131,988
Total
Securities
Lending
Collateral
(Cost
$154,436)
154,436
Total
Investments
in
Securities
110.0%
(Cost
$22,877,623)
$
23,403,474
Other
Assets
Less
Liabilities
(10.0)%
(2,129,730)
Net
Assets
100.0%
$
21,273,744
‡
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
$4,138,123
and
represents
19.5%
of
net
assets.
(2)
All
or
a
portion
of
this
loan
is
unsettled
as
of
August
31,
2021.
The
interest
rate
for
unsettled
loans
will
be
determined
upon
settlement
after
period
end.
T.
ROWE
PRICE
New
Income
Fund
31
.
.
.
.
.
.
.
.
.
.
(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
$9,243
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
August
31,
2021.
(10)
To-Be-Announced
purchase
commitment.
Total
value
of
such
securities
at
period-end
amounts
to
$1,739,686
and
represents
8.2%
of
net
assets.
(11)
At
August
31,
2021,
all
or
a
portion
of
this
security
is
pledged
as
collateral
and/
or
margin
deposit
to
cover
future
funding
obligations.
(12)
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.
CLO
Collateralized
Loan
Obligation
CMO
Collateralized
Mortgage
Obligation
EUR
Euro
FRN
Floating
Rate
Note
IO
Interest-only
security
for
which
the
fund
receives
interest
on
notional
principal
PO
Principal-only
security
for
which
the
fund
receives
regular
cash
flows
based
on
principal
repayments
PTT
Pass-Through
Trust
SOFR30A
30-day
Average
SOFR
(Secured
Overnight
Financing
Rate)
STEP
Stepped
coupon
bond
for
which
the
coupon
rate
of
interest
adjusts
on
specified
date(s);
rate
shown
is
effective
rate
at
period-end.
TBA
To-Be-Announced
UMBS
Uniform
Mortgage-Backed
Securities
USD
U.S.
Dollar
T.
ROWE
PRICE
New
Income
Fund
32
.
.
.
.
.
.
.
.
.
.
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
33
(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%
Barclays
Bank,
Protection
Sold
(Relevant
Credit:
Republic
of
Chile,
A1*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
6/20/26
86,490
1,721
1,870
(149)
Barclays
Bank,
Protection
Sold
(Relevant
Credit:
United
Mexican
States,
Baa1*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
6/20/26
54,982
475
(101)
576
BNP
Paribas,
Protection
Sold
(Relevant
Credit:
Republic
of
Chile,
A1*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
6/20/26
48,315
961
998
(37)
Citibank,
Protection
Sold
(Relevant
Credit:
United
Mexican
States,
Baa1*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
6/20/26
52,830
456
(74)
530
Goldman
Sachs,
Protection
Sold
(Relevant
Credit:
Republic
of
Indonesia,
Baa2*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
6/20/26
107,162
1,822
692
1,130
JPMorgan
Chase,
Protection
Sold
(Relevant
Credit:
Barclays
Bank,
A*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
6/20/24
(EUR)
5,778
152
40
112
Total
Bilateral
Credit
Default
Swaps,
Protection
Sold
3,425
2,162
Total
Bilateral
Swaps
3,425
2,162
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-S36,
5
Year
Index),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
6/20/26
*
28,494
3,093
2,435
658
Protection
Sold
(Relevant
Credit:
Markit
CDX.NA.IG-S36,
5
Year
Index),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
6/20/26
*
529,812
14,536
12,586
1,950
T.
ROWE
PRICE
New
Income
Fund
34
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Initial
$
Value**
Unrealized
$
Gain/(Loss)
Protection
Sold
(Relevant
Credit:
Republic
of
Indonesia,
Baa2*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
6/20/26
*
104,951
1,784
1,084
700
Protection
Sold
(Relevant
Credit:
United
Mexican
States,
Baa1*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
6/20/26
*
319,082
2,756
695
2,061
Total
Centrally
Cleared
Credit
Default
Swaps,
Protection
Sold
5,369
Total
Centrally
Cleared
Swaps
5,369
Net
payments
(receipts)
of
variation
margin
to
date
(5,311)
Variation
margin
receivable
(payable)
on
centrally
cleared
swaps
$
58
*
Credit
ratings
as
of
August
31,
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
$71.
T.
ROWE
PRICE
New
Income
Fund
35
(Amounts
in
000s)
FORWARD
CURRENCY
EXCHANGE
CONTRACTS
Counterparty
Settlement
Receive
Deliver
Unrealized
Gain/(Loss)
BNP
Paribas
11/19/21
USD
23,536
EUR
19,948
$
(54)
Citibank
11/19/21
USD
11,583
EUR
9,825
(36)
Morgan
Stanley
11/19/21
USD
35,161
EUR
29,772
(47)
Net
unrealized
gain
(loss)
on
open
forward
currency
exchange
contracts
$
(137)
T.
ROWE
PRICE
New
Income
Fund
36
FUTURES
CONTRACTS
($000s)
Expiration
Date
Notional
Amount
Value
and
Unrealized
Gain
(Loss)
Long,
5,446
U.S.
Treasury
Long
Bond
contracts
12/21
887,528
$
3,204
Short,
11,772
U.S.
Treasury
Notes
five
year
contracts
12/21
(1,456,417)
(1,028)
Short,
7,807
U.S.
Treasury
Notes
ten
year
contracts
12/21
(1,041,869)
(377)
Long,
2,378
U.S.
Treasury
Notes
two
year
contracts
12/21
523,940
(22)
Long,
8,702
Ultra
U.S.
Treasury
Bonds
contracts
12/21
1,716,742
11,713
Long,
790
Ultra
U.S.
Treasury
Notes
ten
year
contracts
12/21
116,932
(2)
Net
payments
(receipts)
of
variation
margin
to
date
(24,722)
Variation
margin
receivable
(payable)
on
open
futures
contracts
$
(11,234)
T.
ROWE
PRICE
New
Income
Fund
37
The
accompanying
notes
are
an
integral
part
of
this
Portfolio
of
Investments.
AFFILIATED
COMPANIES
($000s)
The
fund
may
invest
in
certain
securities
that
are
considered
affiliated
companies.
As
defined
by
the
1940
Act,
an
affiliated
company
is
one
in
which
the
fund
owns
5%
or
more
of
the
outstanding
voting
securities,
or
a
company
that
is
under
common
ownership
or
control.
The
following
securities
were
considered
affiliated
companies
for
all
or
some
portion
of
the
three
months
ended
August
31,
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,
3.97%
$
—
$
(1,251)
$
6,854
T.
Rowe
Price
Institutional
High
Yield
Fund
-
Z
Class,
4.32%
—
831
1,468
T.
Rowe
Price
Government
Reserve
Fund,
0.05%
—
—
215
T.
Rowe
Price
Short-Term
Fund,
0.07%
—
—
—++
Totals
$
—#
$
(420)
$
8,537+
Supplementary
Investment
Schedule
Affiliate
Value
05/31/21
Purchase
Cost
Sales
Cost
Value
08/31/21
T.
Rowe
Price
Institutional
Floating
Rate
Fund
-
Z
Class,
3.97%
$
610,263
$
6,855
$
—
$
615,867
T.
Rowe
Price
Institutional
High
Yield
Fund
-
Z
Class,
4.32%
104,794
1,468
—
107,093
T.
Rowe
Price
Government
Reserve
Fund,
0.05%
2,421,133
¤
¤
2,815,082
T.
Rowe
Price
Short-Term
Fund,
0.07%
1,055,840
¤
¤
154,436
Total
$
3,692,478^
#
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
$8,537
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
$3,679,563.
T.
ROWE
PRICE
New
Income
Fund
Unaudited
Notes
to
Portfolio
of
Investments
38
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
39
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.
Investments
denominated
in
foreign
currencies
are
translated
into
U.S.
dollar
values
each
day
at
the
prevailing
exchange
rate,
using
the
mean
of
the
bid
and
asked
prices
of
such
currencies
against
U.S.
dollars
as
provided
by
an
outside
pricing
service.
T.
ROWE
PRICE
New
Income
Fund
40
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
August
31,
2021
(for
further
detail
by
category,
please
refer
to
the
accompanying
Portfolio
of
Investments):
T.
ROWE
PRICE
New
Income
Fund
41
F43-054Q1
08/21
($000s)
Level
1
Level
2
Level
3
Total
Value
Assets
Fixed
Income
Securities
1
$
—
$
19,701,753
$
—
$
19,701,753
Bond
Mutual
Funds
722,960
—
—
722,960
Convertible
Preferred
Stocks
—
9,243
—
9,243
Short-Term
Investments
2,815,082
—
—
2,815,082
Securities
Lending
Collateral
154,436
—
—
154,436
Total
Securities
3,692,478
19,710,996
—
23,403,474
Swaps*
—
10,956
—
10,956
Futures
Contracts*
14,917
—
—
14,917
Total
$
3,707,395
$
19,721,952
$
—
$
23,429,347
Liabilities
Forward
Currency
Exchange
Contracts
$
—
$
137
$
—
$
137
Futures
Contracts*
1,429
—
—
1,429
Total
$
1,429
$
137
$
—
$
1,566
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.