T.
ROWE
PRICE
New
Income
Fund
February
28,
2022
(Unaudited)
1
Portfolio
of
Investments
‡
Par/Shares
$
Value
(Amounts
in
000s)
‡
ASSET-BACKED
SECURITIES
7.4%
Car
Loan
0.8%
AmeriCredit
Automobile
Receivables
Trust
Series
2021-1,
Class
C
0.89%,
10/19/26
13,100
12,750
AmeriCredit
Automobile
Receivables
Trust
Series
2021-1,
Class
D
1.21%,
12/18/26
13,530
13,156
Avis
Budget
Rental
Car
Funding
AESOP
Series
2020-1A,
Class
B
2.68%,
8/20/26 (1)
6,500
6,494
CarMax
Auto
Owner
Trust
Series
2022-1,
Class
C
2.20%,
11/15/27
11,750
11,624
Exeter
Automobile
Receivables
Trust
Series
2021-2A,
Class
D
1.40%,
4/15/27
8,374
8,183
Exeter
Automobile
Receivables
Trust
Series
2022-1A,
Class
D
3.02%,
6/15/28
35,405
35,357
GM
Financial
Automobile
Leasing
Trust
Series
2020-3,
Class
C
1.11%,
10/21/24
11,310
11,235
GM
Financial
Leasing
Trust
Series
2021-1,
Class
D
1.01%,
7/21/25
6,650
6,532
Santander
Bank
Series
2021-1A,
Class
B
1.833%,
12/15/31 (1)
7,377
7,313
Santander
Drive
Auto
Receivables
Trust
Series
2021-3,
Class
D
1.33%,
9/15/27
29,300
28,496
Santander
Retail
Auto
Lease
Trust
Series
2021-A,
Class
D
1.38%,
3/22/27 (1)
23,480
22,860
164,000
Other
Asset-Backed
Securities
5.6%
522
Funding
Series
2019-5A,
Class
AR,
CLO,
FRN
3M
SOFR
+
1.33%,
1.552%,
4/15/35 (1)
28,800
28,800
522
Funding
Series
2019-5A,
Class
BR,
CLO,
FRN
3M
SOFR
+
1.85%,
2.072%,
4/15/35 (1)
16,085
16,085
AGL
Series
2021-14A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.15%,
1.267%,
12/2/34 (1)
35,905
35,862
T.
ROWE
PRICE
New
Income
Fund
2
Par/Shares
$
Value
(Amounts
in
000s)
AGL
Series
2022-17A,
Class
A,
CLO,
FRN
3M
SOFR
+
1.33%,
1.574%,
1/21/35 (1)
22,400
22,400
Applebee's
Funding
Series
2019-1A,
Class
A2I
4.194%,
6/5/49 (1)
37,863
37,761
Ballyrock
Series
2021-1A,
Class
A1,
CLO,
FRN
3M
USD
LIBOR
+
1.06%,
1.301%,
4/15/34 (1)
12,715
12,676
Benefit
Street
Partners
XI
Series
2017-11A,
Class
A2R,
CLO,
FRN
3M
USD
LIBOR
+
1.50%,
1.741%,
4/15/29 (1)
16,090
15,930
Benefit
Street
Partners
XX
Series
2020-20A,
Class
AR,
CLO,
FRN
3M
USD
LIBOR
+
1.17%,
1.411%,
7/15/34 (1)
15,245
15,260
Benefit
Street
Partners
XXV
Series
2021-25A,
Class
B,
CLO,
FRN
3M
USD
LIBOR
+
1.70%,
1.943%,
1/15/35 (1)
9,160
9,144
BRE
Grand
Islander
Timeshare
Issuer
Series
2019-A,
Class
A
3.28%,
9/26/33 (1)
7,078
7,160
Carlyle
U.S.
Series
2019-4A,
Class
A11R,
CLO,
FRN
3M
SOFR
+
1.32%,
1.553%,
4/15/35 (1)
29,195
29,158
CBAM
Series
2019-9A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.28%,
1.521%,
2/12/30 (1)
4,815
4,819
Cedar
Funding
XIV
Series
2021-14A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.10%,
1.341%,
7/15/33 (1)
9,385
9,342
CIFC
Funding
Series
2019-5A,
Class
A2RS,
CLO,
FRN
3M
USD
LIBOR
+
1.75%,
1.987%,
1/15/35 (1)
11,000
10,981
CIFC
Funding
Series
2020-3A,
Class
A1R,
CLO,
FRN
3M
USD
LIBOR
+
1.13%,
1.384%,
10/20/34 (1)
20,305
20,226
CIFC
Funding
Series
2021-3A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.14%,
1.381%,
7/15/36 (1)
30,055
30,058
DB
Master
Finance
Series
2021-1A,
Class
A2I
2.045%,
11/20/51 (1)
21,082
20,389
Driven
Brands
Funding
Series
2019-1A,
Class
A2
4.641%,
4/20/49 (1)
15,573
16,067
Driven
Brands
Funding
Series
2021-1A,
Class
A2
2.791%,
10/20/51 (1)
14,344
13,429
T.
ROWE
PRICE
New
Income
Fund
3
Par/Shares
$
Value
(Amounts
in
000s)
Dryden
Series
2020-86A,
Class
A1R,
CLO,
FRN
3M
USD
LIBOR
+
1.10%,
1.341%,
7/17/34 (1)
21,235
21,235
Elara
HGV
Timeshare
Issuer
Series
2017-A,
Class
A
2.69%,
3/25/30 (1)
1,974
1,986
Elara
HGV
Timeshare
Issuer
Series
2019-A,
Class
A
2.61%,
1/25/34 (1)
4,096
4,048
Hardee's
Funding
Series
2018-1A,
Class
A2II
4.959%,
6/20/48 (1)
27,946
28,862
Hilton
Grand
Vacations
Trust
Series
2017-AA,
Class
A
2.66%,
12/26/28 (1)
1,854
1,867
Hilton
Grand
Vacations
Trust
Series
2017-AA,
Class
B
2.96%,
12/26/28 (1)
788
792
HPEFS
Equipment
Trust
Series
2022-1A,
Class
C
1.96%,
5/21/29 (1)
11,735
11,615
HPEFS
Equipment
Trust
Series
2022-1A,
Class
D
2.40%,
11/20/29 (1)
12,510
12,378
HPS
Loan
Management
Series
11A-17,
Class
BR,
CLO,
FRN
3M
USD
LIBOR
+
1.55%,
1.865%,
5/6/30 (1)
12,070
11,978
Invesco
Series
2021-2A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.12%,
1.361%,
7/15/34
33,910
33,899
Jack
in
the
Box
Funding
Series
2022-1A,
Class
A2I
3.445%,
2/26/52 (1)
42,015
42,015
Kings
Park
Series
2021-1A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.13%,
1.478%,
1/21/35 (1)
20,835
20,810
KKR
Series
13,
Class
B1R,
CLO,
FRN
3M
USD
LIBOR
+
1.15%,
1.391%,
1/16/28 (1)
11,320
11,207
KKR
Series
36A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.18%,
1.294%,
10/15/34 (1)
28,155
28,044
KKR
Series
36A,
Class
B,
CLO,
FRN
3M
USD
LIBOR
+
1.70%,
1.814%,
10/15/34 (1)
20,495
20,249
Magnetite
XXV
Series
2020-25A,
Class
B,
CLO,
FRN
3M
USD
LIBOR
+
1.55%,
1.808%,
1/25/32 (1)
10,705
10,704
T.
ROWE
PRICE
New
Income
Fund
4
Par/Shares
$
Value
(Amounts
in
000s)
Morgan
Stanley
Eaton
Vance
Series
2021-1A,
Class
B,
CLO,
FRN
3M
USD
LIBOR
+
1.65%,
1.783%,
10/20/34 (1)
14,730
14,706
MVW
Owner
Trust
Series
2017-1A,
Class
B
2.75%,
12/20/34 (1)
926
925
MVW
Owner
Trust
Series
2019-1A,
Class
A
2.89%,
11/20/36 (1)
6,702
6,754
Neuberger
Berman
Loan
Advisers
Series
2019-32A,
Class
AR,
CLO,
FRN
3M
USD
LIBOR
+
0.99%,
1.238%,
1/20/32 (1)
49,995
49,906
Neuberger
Berman
Loan
Advisers
Series
2021-43A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.13%,
1.371%,
7/17/35 (1)
15,105
15,068
Neuberger
Berman
XVI
Series
2017-16SA,
Class
AR,
CLO,
FRN
3M
USD
LIBOR
+
1.04%,
1.281%,
4/15/34 (1)
26,325
26,210
Neuberger
Berman
XVII
Series
2014-17A,
Class
BR2,
CLO,
FRN
3M
USD
LIBOR
+
1.50%,
1.759%,
4/22/29 (1)
16,785
16,782
New
Economy
Assets
Phase
1
Sponsor
Series
2021-1,
Class
A1
1.91%,
10/20/61 (1)
29,770
28,622
OCP
Series
2020-19A,
Class
AR,
CLO,
FRN
3M
USD
LIBOR
+
1.15%,
1.404%,
10/20/34 (1)
31,830
31,783
OZLM
VII
Series
2014-7RA,
Class
A1R,
CLO,
FRN
3M
USD
LIBOR
+
1.01%,
1.251%,
7/17/29 (1)
35,562
35,498
Palmer
Square
Series
2021-2A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.15%,
1.391%,
7/15/34 (1)
27,385
27,409
Palmer
Square
Series
2021-3A,
Class
B,
CLO,
FRN
3M
USD
LIBOR
+
1.65%,
1.882%,
1/15/35 (1)
7,500
7,473
Palmer
Square
Series
2022-1A,
Class
A,
CLO,
FRN
3M
SOFR
+
1.32%,
1.786%,
4/20/35 (1)
40,630
40,630
Peace
Park
Series
2021-1A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.13%,
1.384%,
10/20/34 (1)
34,650
34,735
Planet
Fitness
Master
Issuer
Series
2018-1A,
Class
A2II
4.666%,
9/5/48 (1)
24,957
25,325
Planet
Fitness
Master
Issuer
Series
2022-1A,
Class
A2I
3.251%,
12/5/51 (1)
21,975
21,975
T.
ROWE
PRICE
New
Income
Fund
5
Par/Shares
$
Value
(Amounts
in
000s)
Regatta
XIX
Funding
Series
2022-1A,
Class
B,
CLO,
FRN
TSFR3M
+
1.85%,
4/20/35 (1)
15,065
15,065
Sierra
Timeshare
Receivables
Funding
Series
2019-2A,
Class
A
2.59%,
5/20/36 (1)
3,586
3,571
Sierra
Timeshare
Receivables
Funding
Series
2020-2A,
Class
B
2.32%,
7/20/37 (1)
4,992
4,961
Symphony
XVII
Series
2016-17A,
Class
AR,
CLO,
FRN
3M
USD
LIBOR
+
0.88%,
1.121%,
4/15/28 (1)
21,922
21,828
Symphony
XXVI
Series
2021-26A,
Class
AR,
CLO,
FRN
3M
USD
LIBOR
+
1.08%,
1.334%,
4/20/33 (1)
14,640
14,640
Symphony
XXXI
Series
2022-31A,
Class
B,
CLO,
FRN
3M
SOFR
+
1.85%,
4/22/35 (1)
14,150
14,150
Wellfleet
Series
2021-3A,
Class
B,
CLO,
FRN
3M
USD
LIBOR
+
1.80%,
1.91%,
1/15/35 (1)
8,845
8,832
Wind
River
Series
2016-1A,
Class
BR,
CLO,
FRN
3M
USD
LIBOR
+
1.65%,
1.889%,
7/15/28 (1)
12,980
12,982
1,097,066
Student
Loan
1.0%
Navient
Private
Education
Loan
Trust
Series
2017-A,
Class
A2A
2.88%,
12/16/58 (1)
1,610
1,620
Navient
Private
Education
Loan
Trust
Series
2017-A,
Class
B
3.91%,
12/16/58 (1)
8,525
8,476
Navient
Private
Education
Refi
Loan
Trust
Series
2019-FA,
Class
A2
2.60%,
8/15/68 (1)
12,389
12,406
Navient
Private
Education
Refi
Loan
Trust
Series
2019-GA,
Class
A
2.40%,
10/15/68 (1)
11,669
11,683
Navient
Private
Education
Refi
Loan
Trust
Series
2020-BA,
Class
A2
2.12%,
1/15/69 (1)
16,318
16,229
Navient
Private
Education
Refi
Loan
Trust
Series
2020-CA,
Class
B
2.83%,
11/15/68 (1)
20,755
20,474
Navient
Private
Education
Refi
Loan
Trust
Series
2020-HA,
Class
A
1.31%,
1/15/69 (1)
8,483
8,311
T.
ROWE
PRICE
New
Income
Fund
6
Par/Shares
$
Value
(Amounts
in
000s)
Navient
Private
Education
Refi
Loan
Trust
Series
2022-A,
Class
A
2.23%,
7/15/70 (1)
37,780
37,451
Nelnet
Student
Loan
Trust
Series
2020-1A,
Class
A,
FRN
1M
USD
LIBOR
+
0.74%,
0.927%,
3/26/68 (1)
10,830
10,751
SMB
Private
Education
Loan
Trust
Series
2015-B,
Class
A2A
2.98%,
7/15/27 (1)
185
186
SMB
Private
Education
Loan
Trust
Series
2016-A,
Class
A2A
2.70%,
5/15/31 (1)
3,626
3,644
SMB
Private
Education
Loan
Trust
Series
2016-B,
Class
A2A
2.43%,
2/17/32 (1)
9,294
9,300
SMB
Private
Education
Loan
Trust
Series
2016-C,
Class
A2A
2.34%,
9/15/34 (1)
7,648
7,624
SMB
Private
Education
Loan
Trust
Series
2018-B,
Class
A2A
3.60%,
1/15/37 (1)
8,784
8,920
SMB
Private
Education
Loan
Trust
Series
2018-C,
Class
A2A
3.63%,
11/15/35 (1)
19,287
19,693
SMB
Private
Education
Loan
Trust
Series
2021-A,
Class
APT1
1.07%,
1/15/53 (1)
32,794
30,772
207,540
Total
Asset-Backed
Securities
(Cost
$1,475,869)
1,468,606
BANK
LOANS
1.0%
(2)
FINANCIAL
INSTITUTIONS
0.1%
Insurance
0.1%
Asurion,
FRN
1M
USD
LIBOR
+
5.25%,
1/31/28 (3)
4,000
3,949
HUB
International,
FRN
1M
USD
LIBOR
+
3.25%,
4.00%,
4/25/25
12,582
12,481
Total
Financial
Institutions
16,430
INDUSTRIAL
0.9%
Capital
Goods
0.0%
Charter
Next
Generation,
FRN
1M
USD
LIBOR
+
3.75%,
12/1/27 (3)
6,000
5,968
5,968
T.
ROWE
PRICE
New
Income
Fund
7
Par/Shares
$
Value
(Amounts
in
000s)
Communications
0.2%
Clear
Channel
Outdoor
Holdings,
FRN
1M
USD
LIBOR
+
3.50%,
3.709%,
8/21/26
9,090
8,909
Lamar
Media,
FRN
1M
USD
LIBOR
+
1.50%,
1.637%,
2/5/27
14,435
14,304
Mission
Broadcasting,
FRN
1M
USD
LIBOR
+
2.50%,
2.606%,
6/2/28
6,273
6,213
29,426
Consumer
Cyclical
0.3%
Caesars
Resort
Collection,
FRN
1M
USD
LIBOR
+
3.50%,
3.709%,
7/21/25
8,903
8,855
Churchill
Downs,
FRN
1M
USD
LIBOR
+
2.00%,
2.21%,
3/17/28
19,461
19,193
Delta
2,
FRN
3M
USD
LIBOR
+
2.50%,
3.50%,
2/1/24 (3)
6,265
6,202
KFC
Holding,
FRN
1M
USD
LIBOR
+
1.75%,
1.887%,
3/15/28
26,976
26,871
UFC
Holdings,
FRN
1M
USD
LIBOR
+
2.75%,
3.50%,
4/29/26
6,383
6,290
67,411
Energy
0.1%
Buckeye
Partners,
FRN
1M
USD
LIBOR
+
2.25%,
2.356%,
11/1/26
18,772
18,548
18,548
Health
Care
0.1%
Catalent
Pharma
Solutions,
FRN
1M
USD
LIBOR
+
2.00%,
2.50%,
2/22/28
3,363
3,350
HCA,
FRN
1M
USD
LIBOR
+
1.75%,
1.959%,
6/30/28
5,179
5,177
Mozart
Borrower,
FRN
1M
USD
LIBOR
+
3.25%,
3.75%,
10/23/28 (3)
10,340
10,232
18,759
Technology
0.2%
Applied
Systems,
FRN
1M
USD
LIBOR
+
3.00%,
9/19/24 (3)
3,420
3,397
Ascend
Learning,
FRN
1M
USD
LIBOR
+
3.50%,
4.00%,
12/11/28 (3)
10,560
10,413
athenahealth,
FRN
SOFR
+
3.50%,
4.00%,
1/27/29 (3)
11,065
10,952
RealPage,
FRN
1M
USD
LIBOR
+
3.25%,
3.75%,
4/24/28 (3)
3,339
3,299
UKG,
FRN
1M
USD
LIBOR
+
3.25%,
3.75%,
5/4/26
16,005
15,885
T.
ROWE
PRICE
New
Income
Fund
8
Par/Shares
$
Value
(Amounts
in
000s)
UKG,
FRN
1M
USD
LIBOR
+
5.25%,
5.75%,
5/3/27
1,635
1,627
45,573
Total
Industrial
185,685
Total
Bank
Loans
(Cost
$202,939)
202,115
BOND
MUTUAL
FUNDS
2.9%
T.
Rowe
Price
Institutional
Floating
Rate
Fund
-
Z
Class,
4.02% (4)(5)
53,092
513,402
T.
Rowe
Price
Institutional
High
Yield
Fund
-
Z
Class,
5.74% (4)(5)
5,851
49,442
Total
Bond
Mutual
Funds
(Cost
$558,750)
562,844
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
9,310
Total
Industrial
9,310
Total
Convertible
Preferred
Stocks
(Cost
$9,215)
9,310
CORPORATE
BONDS
28.2%
FINANCIAL
INSTITUTIONS
12.0%
Banking
8.4%
AIB
Group,
VR,
4.263%,
4/10/25 (1)(8)
11,685
11,981
Banco
Santander,
3.49%,
5/28/30
11,400
11,374
Banco
Santander,
VR,
1.722%,
9/14/27 (8)
21,200
19,938
Bangkok
Bank,
4.45%,
9/19/28 (9)
5,665
6,251
Bank
Leumi
Le-Israel,
VR,
3.275%,
1/29/31 (1)(8)
23,000
22,023
Bank
of
America,
4.45%,
3/3/26 (9)
18,903
20,079
Bank
of
America,
VR,
1.734%,
7/22/27 (8)(9)
20,116
19,149
Bank
of
America,
VR,
1.898%,
7/23/31 (8)
73,896
66,870
Bank
of
America,
VR,
2.299%,
7/21/32 (8)(9)
32,003
29,611
Bank
of
America,
VR,
2.496%,
2/13/31 (8)
22,900
21,774
Bank
of
America,
VR,
2.592%,
4/29/31 (8)
38,880
37,264
Bank
of
America,
VR,
2.972%,
2/4/33 (8)
30,180
29,586
Bank
of
America,
VR,
3.419%,
12/20/28 (8)(9)
22,458
22,944
Bank
of
America,
VR,
3.559%,
4/23/27 (8)
11,450
11,761
Bank
of
America,
VR,
4.271%,
7/23/29 (8)
42,340
45,140
Barclays,
VR,
2.279%,
11/24/27 (8)
30,800
29,801
T.
ROWE
PRICE
New
Income
Fund
9
Par/Shares
$
Value
(Amounts
in
000s)
Barclays,
VR,
2.852%,
5/7/26 (8)
24,674
24,636
Barclays,
VR,
3.932%,
5/7/25 (8)
19,911
20,440
BNP
Paribas,
VR,
1.323%,
1/13/27 (1)(8)
10,950
10,334
BNP
Paribas,
VR,
2.159%,
9/15/29 (1)(8)
11,915
11,033
BNP
Paribas,
VR,
2.591%,
1/20/28 (1)(8)
37,030
35,923
Capital
One
Financial,
3.65%,
5/11/27
11,559
11,980
Capital
One
Financial,
3.75%,
3/9/27
19,858
20,715
Citigroup,
VR,
2.561%,
5/1/32 (8)
10,298
9,750
Citigroup,
VR,
3.057%,
1/25/33 (8)
20,440
20,155
Citigroup,
VR,
3.106%,
4/8/26 (8)
23,226
23,539
Citigroup,
Series
VAR,
VR,
3.07%,
2/24/28 (8)(9)
20,140
20,254
Credit
Suisse
Group,
VR,
3.091%,
5/14/32 (1)(8)(9)
10,031
9,504
Credit
Suisse
Group,
VR,
4.194%,
4/1/31 (1)(8)
18,871
19,556
Danske
Bank,
5.375%,
1/12/24 (1)
20,461
21,531
Danske
Bank,
VR,
3.244%,
12/20/25 (1)(8)
21,957
22,212
Discover
Financial
Services,
4.10%,
2/9/27
58,694
61,421
Goldman
Sachs
Group,
3.50%,
11/16/26
11,635
11,920
Goldman
Sachs
Group,
VR,
1.542%,
9/10/27 (8)
31,264
29,447
Goldman
Sachs
Group,
VR,
2.383%,
7/21/32 (8)
17,287
15,971
Goldman
Sachs
Group,
VR,
2.615%,
4/22/32 (8)
45,548
42,947
Goldman
Sachs
Group,
VR,
2.65%,
10/21/32 (8)
17,735
16,769
Goldman
Sachs
Group,
VR,
3.102%,
2/24/33 (8)(9)
24,480
23,972
HSBC
Holdings,
3.90%,
5/25/26
9,569
9,939
HSBC
Holdings,
VR,
1.645%,
4/18/26 (8)
10,575
10,187
HSBC
Holdings,
VR,
2.099%,
6/4/26 (8)
20,767
20,264
HSBC
Holdings,
VR,
4.292%,
9/12/26 (8)
2,175
2,269
ING
Groep,
VR,
1.726%,
4/1/27 (8)
9,137
8,723
JPMorgan
Chase,
VR,
1.578%,
4/22/27 (8)
35,303
33,742
JPMorgan
Chase,
VR,
1.764%,
11/19/31 (8)
41,300
37,132
JPMorgan
Chase,
VR,
2.182%,
6/1/28 (8)
32,197
31,163
JPMorgan
Chase,
VR,
2.545%,
11/8/32 (8)
31,065
29,574
JPMorgan
Chase,
VR,
2.739%,
10/15/30 (8)
19,897
19,428
JPMorgan
Chase,
VR,
2.947%,
2/24/28 (8)(9)
20,020
20,088
JPMorgan
Chase,
VR,
2.956%,
5/13/31 (8)
59,518
57,807
JPMorgan
Chase,
VR,
2.963%,
1/25/33 (8)(9)
13,735
13,561
Kookmin
Bank,
2.50%,
11/4/30 (1)
21,350
20,119
Kookmin
Bank,
2.50%,
11/4/30
6,800
6,408
Morgan
Stanley,
VR,
1.512%,
7/20/27 (8)
25,000
23,608
Morgan
Stanley,
VR,
1.593%,
5/4/27 (8)(9)
13,695
13,074
Morgan
Stanley,
VR,
1.928%,
4/28/32 (8)
27,901
25,077
Morgan
Stanley,
VR,
2.239%,
7/21/32 (8)
15,751
14,553
Morgan
Stanley,
VR,
2.943%,
1/21/33 (8)
8,645
8,452
Morgan
Stanley,
VR,
3.217%,
4/22/42 (8)
5,725
5,446
Nationwide
Building
Society,
VR,
2.972%,
2/16/28 (1)(8)(9)
14,775
14,708
Santander
Holdings
USA,
VR,
2.49%,
1/6/28 (8)
12,500
12,143
Santander
UK
Group
Holdings,
VR,
1.532%,
8/21/26 (8)
48,133
45,875
T.
ROWE
PRICE
New
Income
Fund
10
Par/Shares
$
Value
(Amounts
in
000s)
Shinhan
Bank,
3.875%,
3/24/26
5,830
6,093
Standard
Chartered,
VR,
1.456%,
1/14/27 (1)(8)
10,354
9,684
Standard
Chartered,
VR,
2.608%,
1/12/28 (1)(8)
17,245
16,689
Standard
Chartered,
VR,
2.819%,
1/30/26 (1)(8)
16,707
16,605
Standard
Chartered,
VR,
4.644%,
4/1/31 (1)(8)
36,236
38,732
UBS
Group,
VR,
1.364%,
1/30/27 (1)(8)
14,633
13,791
UBS
Group,
VR,
2.746%,
2/11/33 (1)(8)
31,160
29,714
Wells
Fargo,
4.30%,
7/22/27
11,645
12,422
Wells
Fargo,
VR,
2.393%,
6/2/28 (8)
31,245
30,584
Wells
Fargo,
VR,
2.572%,
2/11/31 (8)(9)
52,585
50,525
Wells
Fargo,
VR,
2.879%,
10/30/30 (8)
53,562
52,595
Wells
Fargo,
VR,
4.478%,
4/4/31 (8)
15,936
17,352
1,667,681
Brokerage
Asset
Managers
Exchanges
0.4%
Intercontinental
Exchange,
1.85%,
9/15/32 (9)
10,284
9,166
Intercontinental
Exchange,
2.10%,
6/15/30
9,720
9,146
LSEGA
Financing,
2.00%,
4/6/28 (1)
41,004
39,093
LSEGA
Financing,
2.50%,
4/6/31 (1)
14,998
14,300
LSEGA
Financing,
3.20%,
4/6/41 (1)
6,705
6,345
78,050
Finance
Companies
0.6%
AerCap
Ireland
Capital,
2.45%,
10/29/26
18,080
17,350
AerCap
Ireland
Capital,
3.00%,
10/29/28
9,075
8,747
AerCap
Ireland
Capital,
3.30%,
1/30/32
9,790
9,282
AerCap
Ireland
Capital,
3.50%,
5/26/22
1,235
1,239
AerCap
Ireland
Capital,
3.50%,
1/15/25 (9)
3,935
3,988
AerCap
Ireland
Capital,
4.875%,
1/16/24
29,186
30,351
AerCap
Ireland
Capital,
6.50%,
7/15/25
4,365
4,806
Avolon
Holdings
Funding,
2.528%,
11/18/27 (1)
9,475
8,805
Avolon
Holdings
Funding,
3.95%,
7/1/24 (1)
7,013
7,162
Avolon
Holdings
Funding,
5.50%,
1/15/26 (1)
12,762
13,623
SMBC
Aviation
Capital
Finance,
3.55%,
4/15/24 (1)
14,765
15,079
120,432
Financial
Other
0.1%
Sun
Hung
Kai
Properties
Capital
Market,
2.875%,
1/21/30 (9)
14,100
13,838
13,838
Insurance
0.7%
AIA
Group,
3.90%,
4/6/28 (1)(9)
40,868
43,486
CNO
Financial
Group,
5.25%,
5/30/25 (9)
9,438
10,051
Equitable
Holdings,
4.35%,
4/20/28
36,732
39,342
Humana,
2.15%,
2/3/32
7,055
6,485
Humana,
3.95%,
3/15/27 (9)
6,075
6,405
Humana,
4.875%,
4/1/30
17,913
20,099
Marsh
&
McLennan,
2.25%,
11/15/30
8,918
8,401
134,269
T.
ROWE
PRICE
New
Income
Fund
11
Par/Shares
$
Value
(Amounts
in
000s)
Real
Estate
Investment
Trusts
1.8%
Alexandria
Real
Estate
Equities,
2.75%,
12/15/29
16,820
16,669
Alexandria
Real
Estate
Equities,
3.95%,
1/15/27
25,607
27,231
Alexandria
Real
Estate
Equities,
3.95%,
1/15/28 (9)
15,766
16,751
American
Campus
Communities
Operating
Partnership,
2.85%,
2/1/30
36,598
35,712
American
Campus
Communities
Operating
Partnership,
3.30%,
7/15/26
16,422
16,905
American
Campus
Communities
Operating
Partnership,
3.625%,
11/15/27
31,094
32,179
Brixmor
Operating
Partnership,
3.90%,
3/15/27
30,217
31,406
Brixmor
Operating
Partnership,
4.125%,
6/15/26
55,609
58,683
Essex
Portfolio,
1.65%,
1/15/31 (9)
10,099
8,927
Essex
Portfolio,
3.625%,
5/1/27
10,736
11,234
Extra
Space
Storage,
2.35%,
3/15/32
26,250
24,150
Highwoods
Realty,
4.125%,
3/15/28
17,404
18,224
Highwoods
Realty,
4.20%,
4/15/29
11,839
12,521
Realty
Income,
3.95%,
8/15/27
20,416
21,627
Regency
Centers,
3.70%,
6/15/30
12,150
12,673
Regency
Centers,
4.125%,
3/15/28
9,817
10,433
355,325
Total
Financial
Institutions
2,369,595
GOVERNMENT
RELATED
0.1%
Owned
No
Guarantee
0.1%
Ooredoo
International
Finance,
2.625%,
4/8/31 (1)
21,040
20,179
Total
Government
Related
20,179
INDUSTRIAL
14.6%
Basic
Industry
0.3%
Anglo
American
Capital,
4.125%,
9/27/22 (1)
10,182
10,351
Celulosa
Arauco
y
Constitucion,
3.875%,
11/2/27
20,227
20,709
Ecolab,
4.80%,
3/24/30 (9)
1,983
2,274
Methanex,
5.125%,
10/15/27
18,855
19,161
Westlake,
1.625%,
7/17/29
(EUR)
11,421
12,476
64,971
Capital
Goods
0.6%
Boral
Finance,
3.00%,
11/1/22 (1)(9)
5,545
5,582
Boral
Finance,
3.75%,
5/1/28 (1)
50,753
52,905
Martin
Marietta
Materials,
2.40%,
7/15/31
21,068
19,807
Siemens
Financieringsmaatschappij,
1.70%,
3/11/28 (1)
8,075
7,654
Siemens
Financieringsmaatschappij,
2.15%,
3/11/31 (1)
27,065
25,625
Waste
Connections,
2.20%,
1/15/32 (9)
14,095
13,089
124,662
Communications
4.1%
Altice
France,
5.50%,
1/15/28 (1)
10,315
9,645
American
Tower,
2.30%,
9/15/31 (9)
10,785
9,798
T.
ROWE
PRICE
New
Income
Fund
12
Par/Shares
$
Value
(Amounts
in
000s)
American
Tower,
2.95%,
1/15/51
12,025
9,841
AT&T,
2.25%,
2/1/32
69,916
64,301
AT&T,
2.75%,
6/1/31
21,228
20,601
AT&T,
4.30%,
2/15/30
13,637
14,837
Charter
Communications
Operating,
2.25%,
1/15/29
12,175
11,314
Charter
Communications
Operating,
2.30%,
2/1/32
24,315
21,545
Charter
Communications
Operating,
2.80%,
4/1/31
47,400
44,225
Charter
Communications
Operating,
4.80%,
3/1/50
5,020
4,923
Charter
Communications
Operating,
5.125%,
7/1/49
7,698
7,844
Charter
Communications
Operating,
5.75%,
4/1/48
1,536
1,701
Charter
Communications
Operating,
6.484%,
10/23/45
5,555
6,643
Comcast,
2.887%,
11/1/51 (1)
38,715
33,461
Comcast,
3.25%,
11/1/39
22,623
21,801
Crown
Castle
Towers,
3.663%,
5/15/25 (1)
50,986
52,146
HKT
Capital
No.
2,
3.625%,
4/2/25
2,714
2,793
HKT
Capital
No.
4,
3.00%,
7/14/26 (9)
22,686
23,001
Netflix,
4.625%,
5/15/29
(EUR)
19,830
25,333
NTT
Finance,
1.591%,
4/3/28 (1)
26,137
24,574
NTT
Finance,
2.065%,
4/3/31 (1)
3,650
3,446
SBA
Tower
Trust,
1.84%,
10/15/51 (1)
21,685
20,937
SBA
Tower
Trust,
2.593%,
10/15/56 (1)
17,515
17,344
T-Mobile
USA,
2.05%,
2/15/28
12,155
11,542
T-Mobile
USA,
3.75%,
4/15/27
79,092
82,167
Verizon
Communications,
2.10%,
3/22/28
12,383
11,910
Verizon
Communications,
2.55%,
3/21/31
19,144
18,232
Verizon
Communications,
2.65%,
11/20/40 (9)
37,223
32,249
Verizon
Communications,
2.875%,
11/20/50 (9)
42,403
35,481
Verizon
Communications,
2.987%,
10/30/56
40,751
34,709
Verizon
Communications,
4.329%,
9/21/28
29,811
32,425
Verizon
Communications,
4.75%,
11/1/41
9,939
11,206
Vodafone
Group,
4.375%,
5/30/28
27,950
30,242
Vodafone
Group,
4.875%,
6/19/49
24,543
27,024
Vodafone
Group,
5.00%,
5/30/38
17,214
19,482
Vodafone
Group,
5.25%,
5/30/48
11,713
13,345
812,068
Consumer
Cyclical
1.6%
Bath
&
Body
Works,
6.625%,
10/1/30 (1)
17,135
18,506
Daimler
Finance
North
America,
2.45%,
3/2/31 (1)(9)
8,996
8,584
Ford
Motor,
9.00%,
4/22/25
3,815
4,417
Ford
Motor,
9.625%,
4/22/30
4,100
5,645
General
Motors
Financial,
4.00%,
10/6/26
20,869
21,728
General
Motors
Financial,
4.30%,
7/13/25
8,846
9,231
General
Motors
Financial,
4.35%,
4/9/25 (9)
20,528
21,442
General
Motors
Financial,
5.10%,
1/17/24
27,464
28,795
GLP
Capital,
3.35%,
9/1/24
6,162
6,248
T.
ROWE
PRICE
New
Income
Fund
13
Par/Shares
$
Value
(Amounts
in
000s)
Home
Depot,
2.375%,
3/15/51
4,990
4,092
Hyundai
Capital
America,
1.80%,
10/15/25 (1)
11,183
10,820
Hyundai
Capital
America,
2.10%,
9/15/28 (1)
16,150
14,973
JMH,
2.50%,
4/9/31
20,558
19,599
Las
Vegas
Sands,
3.20%,
8/8/24
4,695
4,634
Las
Vegas
Sands,
3.50%,
8/18/26
10,677
10,316
Marriott
International,
3.75%,
3/15/25
11,053
11,388
Marriott
International,
3.75%,
10/1/25
3,043
3,152
Marriott
International,
Series
EE,
5.75%,
5/1/25
4,435
4,858
QVC,
4.375%,
3/15/23
6,321
6,400
Ross
Stores,
1.875%,
4/15/31 (9)
17,885
16,177
TJX,
1.60%,
5/15/31 (9)
9,297
8,394
Volkswagen
Bank,
2.50%,
7/31/26
(EUR)
20,000
23,656
Volkswagen
Group
of
America
Finance,
1.625%,
11/24/27 (1)
6,720
6,327
Volkswagen
Group
of
America
Finance,
3.20%,
9/26/26 (1)
15,868
16,163
Volkswagen
Group
of
America
Finance,
4.75%,
11/13/28 (1)
21,055
23,317
308,862
Consumer
Non-Cyclical
3.5%
AbbVie,
2.95%,
11/21/26 (9)
50,782
51,467
AbbVie,
3.20%,
11/21/29
14,750
14,845
AbbVie,
4.05%,
11/21/39
12,709
13,338
AbbVie,
4.25%,
11/21/49
13,924
14,780
AbbVie,
4.70%,
5/14/45
27,592
30,534
AbbVie,
4.875%,
11/14/48
36,241
41,582
Anheuser-Busch
InBev
Worldwide,
4.439%,
10/6/48
4,370
4,678
Anheuser-Busch
InBev
Worldwide,
4.50%,
6/1/50
31,827
34,977
AstraZeneca,
1.375%,
8/6/30
5,937
5,343
Astrazeneca
Finance,
1.75%,
5/28/28
15,129
14,410
Astrazeneca
Finance,
2.25%,
5/28/31
4,894
4,706
BAT
Capital,
3.557%,
8/15/27
39,483
39,736
BAT
International
Finance,
1.668%,
3/25/26
21,719
20,562
Baxter
International,
2.272%,
12/1/28 (1)
11,915
11,486
Baxter
International,
2.539%,
2/1/32 (1)
16,345
15,659
Bayer
U.S.
Finance
II,
4.375%,
12/15/28 (1)
10,245
10,926
Becton
Dickinson
&
Company,
1.957%,
2/11/31
21,734
19,799
Becton
Dickinson
&
Company,
2.823%,
5/20/30
13,423
13,195
Becton
Dickinson
&
Company,
3.70%,
6/6/27 (9)
58,991
61,877
Becton
Dickinson
&
Company,
3.794%,
5/20/50 (9)
17,895
17,733
Becton
Dickinson
&
Company,
4.669%,
6/6/47
25,598
28,547
Cardinal
Health,
4.50%,
11/15/44
4,690
4,884
Cardinal
Health,
4.90%,
9/15/45
5,050
5,481
Cigna,
3.40%,
3/1/27 (9)
5,131
5,293
Cigna,
4.375%,
10/15/28
9,603
10,386
CVS
Health,
1.875%,
2/28/31 (9)
14,118
12,829
CVS
Health,
2.70%,
8/21/40 (9)
4,570
3,961
T.
ROWE
PRICE
New
Income
Fund
14
Par/Shares
$
Value
(Amounts
in
000s)
CVS
Health,
4.25%,
4/1/50
9,184
9,825
CVS
Health,
5.05%,
3/25/48
51,682
60,110
Eli
Lilly,
2.25%,
5/15/50
480
397
Hasbro,
3.55%,
11/19/26
11,722
12,103
Mondelez
International,
2.75%,
4/13/30
9,720
9,585
Mozart
Debt
Merger
Sub,
3.875%,
4/1/29 (1)
17,720
16,745
PerkinElmer,
1.90%,
9/15/28
13,950
13,093
PerkinElmer,
2.25%,
9/15/31
7,580
6,937
PerkinElmer,
3.30%,
9/15/29
9,984
9,997
Reynolds
American,
4.45%,
6/12/25
35,794
37,404
Teva
Pharmaceutical
Finance
Netherlands
III,
7.125%,
1/31/25
3,840
4,013
693,223
Energy
3.8%
Aker,
2.875%,
1/15/26 (1)
7,042
7,081
Boardwalk
Pipelines,
3.40%,
2/15/31
17,281
16,886
Boardwalk
Pipelines,
4.45%,
7/15/27
30,749
32,460
Boardwalk
Pipelines,
4.95%,
12/15/24
9,720
10,253
Boardwalk
Pipelines,
5.95%,
6/1/26 (9)
11,000
12,227
Cameron
LNG,
2.902%,
7/15/31 (1)
1,747
1,716
Cameron
LNG,
3.302%,
1/15/35 (1)
9,239
9,087
Cameron
LNG,
3.701%,
1/15/39 (1)
6,882
6,870
Cheniere
Corpus
Christi
Holdings,
3.70%,
11/15/29
21,773
22,100
Cheniere
Corpus
Christi
Holdings,
5.125%,
6/30/27 (9)
6,741
7,334
Cheniere
Corpus
Christi
Holdings,
7.00%,
6/30/24
13,836
14,960
Cheniere
Energy,
4.625%,
10/15/28 (9)
22,665
23,090
DCP
Midstream
Operating,
6.75%,
9/15/37 (1)(9)
4,310
5,258
DCP
Midstream
Operating,
VR,
5.85%,
5/21/43 (1)(8)(9)
8,155
7,605
Diamondback
Energy,
3.25%,
12/1/26
25,462
25,876
Energy
Transfer,
2.90%,
5/15/25
8,447
8,479
Energy
Transfer,
4.20%,
4/15/27 (9)
2,658
2,754
Energy
Transfer,
4.25%,
4/1/24 (9)
13,866
14,230
Energy
Transfer,
4.50%,
4/15/24 (9)
6,284
6,543
Energy
Transfer,
4.95%,
6/15/28
18,982
20,453
Energy
Transfer,
5.00%,
5/15/50 (9)
4,175
4,311
Energy
Transfer,
5.25%,
4/15/29
13,749
15,055
Energy
Transfer,
5.50%,
6/1/27
3,713
4,098
Energy
Transfer,
5.875%,
1/15/24
13,657
14,374
Energy
Transfer,
6.00%,
6/15/48
40,941
45,700
Energy
Transfer,
6.25%,
4/15/49
3,985
4,638
Eni,
Series
X-R,
4.75%,
9/12/28 (1)
30,079
32,912
Gray
Oak
Pipeline,
2.00%,
9/15/23 (1)
2,100
2,094
Gray
Oak
Pipeline,
2.60%,
10/15/25 (1)
6,556
6,473
Gray
Oak
Pipeline,
3.45%,
10/15/27 (1)
2,741
2,760
Occidental
Petroleum,
8.00%,
7/15/25
14,410
16,229
Occidental
Petroleum,
8.50%,
7/15/27
9,330
11,243
T.
ROWE
PRICE
New
Income
Fund
15
Par/Shares
$
Value
(Amounts
in
000s)
Occidental
Petroleum,
8.875%,
7/15/30
11,375
14,660
Reliance
Industries,
3.667%,
11/30/27
18,280
18,938
Sabine
Pass
Liquefaction,
4.50%,
5/15/30
4,495
4,810
Sabine
Pass
Liquefaction,
5.00%,
3/15/27
71,542
77,623
Sabine
Pass
Liquefaction,
5.75%,
5/15/24
6,817
7,252
Sabine
Pass
Liquefaction,
5.875%,
6/30/26
14,711
16,329
Tengizchevroil
Finance
International,
4.00%,
8/15/26
30,325
30,158
Thaioil
Treasury
Center,
4.625%,
11/20/28 (9)
4,595
4,900
Transcontinental
Gas
Pipe
Line,
3.25%,
5/15/30
7,309
7,328
Transcontinental
Gas
Pipe
Line,
4.00%,
3/15/28
10,600
11,163
Transcontinental
Gas
Pipe
Line,
4.60%,
3/15/48
2,806
3,036
Venture
Global
Calcasieu
Pass,
3.875%,
11/1/33 (1)
8,505
8,144
Williams,
2.60%,
3/15/31 (9)
29,160
27,463
Williams,
3.75%,
6/15/27
7,096
7,390
Woodside
Finance,
3.65%,
3/5/25 (1)
12,830
13,153
Woodside
Finance,
3.70%,
9/15/26 (1)
41,929
43,307
Woodside
Finance,
3.70%,
3/15/28 (1)
34,813
35,640
746,443
Technology
0.4%
Apple,
2.40%,
8/20/50
4,660
3,960
Micron
Technology,
4.185%,
2/15/27
7,035
7,405
NXP,
2.70%,
5/1/25 (1)(9)
2,279
2,291
NXP,
3.15%,
5/1/27 (1)
4,632
4,691
NXP,
5.35%,
3/1/26 (1)(9)
10,055
11,046
Oracle,
2.30%,
3/25/28
12,072
11,488
TSMC
Global,
1.00%,
9/28/27 (1)
23,860
21,896
Visa,
2.00%,
8/15/50
11,391
9,019
71,796
Transportation
0.3%
Canadian
Pacific
Railway,
3.10%,
12/2/51
12,835
11,570
Mileage
Plus
Holdings,
6.50%,
6/20/27 (1)
18,492
19,509
Transurban
Finance,
2.45%,
3/16/31 (1)
12,184
11,452
Transurban
Finance,
3.375%,
3/22/27 (1)(9)
10,230
10,486
United
Airlines
PTT,
Series
2019-2,
Class
AA,
2.70%,
5/1/32
4,665
4,623
United
Airlines
PTT,
Series
2019-2,
Class
A,
Class
A,
2.90%,
5/1/28
7,495
7,170
64,810
Total
Industrial
2,886,835
UTILITY
1.5%
Electric
1.2%
Ausgrid
Finance,
3.85%,
5/1/23 (1)(9)
14,852
15,092
Ausgrid
Finance,
4.35%,
8/1/28 (1)
23,381
25,039
Edison
International,
4.95%,
4/15/25
1,409
1,479
Enel
Finance
International,
1.875%,
7/12/28 (1)(9)
18,162
16,906
Enel
Finance
International,
2.25%,
7/12/31 (1)
23,114
20,838
Enel
Finance
International,
3.50%,
4/6/28 (1)
11,261
11,546
T.
ROWE
PRICE
New
Income
Fund
16
Par/Shares
$
Value
(Amounts
in
000s)
NextEra
Energy
Capital
Holdings,
2.44%,
1/15/32
20,625
19,254
NextEra
Energy
Capital
Holdings,
3.00%,
1/15/52 (9)
18,905
16,345
NRG
Energy,
4.45%,
6/15/29 (1)
12,942
13,492
Pacific
Gas
&
Electric,
2.10%,
8/1/27
10,318
9,568
Pacific
Gas
&
Electric,
2.50%,
2/1/31
20,828
18,478
Pacific
Gas
&
Electric,
3.95%,
12/1/47
10,551
9,138
Pacific
Gas
&
Electric,
4.55%,
7/1/30
13,652
13,968
Vistra
Operations,
3.55%,
7/15/24 (1)
44,076
44,352
Vistra
Operations,
4.375%,
5/1/29 (1)
8,695
8,423
243,918
Natural
Gas
0.3%
APT
Pipelines,
4.25%,
7/15/27 (1)
4,605
4,878
NiSource,
1.70%,
2/15/31
14,959
13,090
NiSource,
3.60%,
5/1/30 (9)
24,407
24,731
Sempra
Energy,
3.80%,
2/1/38
8,243
8,351
51,050
Total
Utility
294,968
Total
Corporate
Bonds
(Cost
$5,681,004)
5,571,577
FOREIGN
GOVERNMENT
OBLIGATIONS
&
MUNICIPALITIES
0.5%
Government
Sponsored
0.0%
Equate
Petrochemical,
4.25%,
11/3/26
7,737
8,008
8,008
Owned
No
Guarantee
0.5%
Korea
National
Oil,
1.625%,
10/5/30 (1)
18,020
16,408
Korea
National
Oil,
2.625%,
4/18/32 (1)
4,400
4,195
NBN,
2.625%,
5/5/31 (1)
16,981
16,233
PTTEP
Treasury
Center,
2.587%,
6/10/27
18,300
18,164
QNB
Finance,
2.75%,
2/12/27
21,028
20,935
TNB
Global
Ventures
Capital,
3.244%,
10/19/26
13,470
13,774
89,709
Total
Foreign
Government
Obligations
&
Municipalities
(Cost
$102,144)
97,717
NON-U.S.
GOVERNMENT
MORTGAGE-BACKED
SECURITIES
9.2%
Collateralized
Mortgage
Obligations
5.3%
Angel
Oak
Mortgage
Trust
Series
2021-3,
Class
A1,
CMO,
ARM
1.068%,
5/25/66 (1)
11,951
11,764
T.
ROWE
PRICE
New
Income
Fund
17
Par/Shares
$
Value
(Amounts
in
000s)
Angel
Oak
Mortgage
Trust
Series
2021-4,
Class
A3,
CMO,
ARM
1.446%,
1/20/65 (1)
6,981
6,808
Angel
Oak
Mortgage
Trust
I
Series
2019-1,
Class
A1,
CMO,
ARM
3.92%,
11/25/48 (1)
4,886��
4,904
Angel
Oak
Mortgage
Trust
I
Series
2019-1,
Class
A2,
CMO,
ARM
4.022%,
11/25/48 (1)
1,820
1,826
Barclays
Mortgage
Loan
Trust
Series
2021-NQM1,
Class
A1,
CMO,
ARM
1.747%,
9/25/51 (1)
7,310
7,155
Bayview
MSR
Opportunity
Master
Fund
Trust
Series
2022-2,
Class
A5,
CMO,
ARM
2.50%,
12/25/51 (1)
20,096
19,787
Bayview
Opportunity
Master
Fund
IVa
Trust
Series
2017-RT1,
Class
A1,
ARM
3.00%,
3/28/57 (1)
1,998
1,990
Bayview
Opportunity
Master
Fund
IVa
Trust
Series
2017-SPL5,
Class
A,
ARM
3.50%,
6/28/57 (1)
716
720
Bayview
Opportunity
Master
Fund
IVb
Trust
Series
2017-RT2,
Class
A,
ARM
3.50%,
8/28/57 (1)
2,257
2,216
BINOM
Securitization
Trust
Series
2021-INV1,
Class
A1,
CMO,
ARM
2.034%,
6/25/56 (1)
12,831
12,529
BRAVO
Residential
Funding
Trust
Series
2021-NQM3,
Class
A1,
CMO,
ARM
1.699%,
4/25/60 (1)
22,838
22,649
CIM
Trust
Series
2019-INV3,
Class
A15,
CMO,
ARM
3.50%,
8/25/49 (1)
4,267
4,289
CIM
Trust
Series
2020-INV1,
Class
A2,
CMO,
ARM
2.50%,
4/25/50 (1)
7,183
7,114
CIM
Trust
Series
2021-INV1,
Class
A8,
CMO,
ARM
2.50%,
7/1/51 (1)
12,788
12,548
Citigroup
Mortgage
Loan
Trust
Series
2022-INV1,
Class
A4B,
CMO,
ARM
3.00%,
11/27/51 (1)
8,715
8,591
COLT
Mortgage
Loan
Trust
Series
2020-3,
Class
A1,
CMO,
ARM
1.506%,
4/27/65 (1)
3,438
3,427
COLT
Mortgage
Loan
Trust
Series
2021-1,
Class
A1,
CMO,
ARM
0.91%,
6/25/66 (1)
18,878
18,271
T.
ROWE
PRICE
New
Income
Fund
18
Par/Shares
$
Value
(Amounts
in
000s)
COLT
Mortgage
Loan
Trust
Series
2021-6,
Class
A1,
CMO,
ARM
1.907%,
12/25/66 (1)
20,924
20,549
Connecticut
Avenue
Securities
Series
2016-C05,
Class
2M2,
CMO,
ARM
1M
USD
LIBOR
+
4.45%,
4.637%,
1/25/29
9,469
9,786
Connecticut
Avenue
Securities
Series
2017-C02,
Class
2ED3,
CMO,
ARM
1M
USD
LIBOR
+
1.35%,
1.537%,
9/25/29
2,462
2,477
Connecticut
Avenue
Securities
Series
2017-C04,
Class
2ED2,
CMO,
ARM
1M
USD
LIBOR
+
1.10%,
1.287%,
11/25/29
34,126
34,164
Connecticut
Avenue
Securities
Series
2017-C06,
Class
2ED1,
CMO,
ARM
1M
USD
LIBOR
+
1.00%,
1.187%,
2/25/30
9,265
9,245
Connecticut
Avenue
Securities
Series
2018-C01,
Class
1ED2,
CMO,
ARM
1M
USD
LIBOR
+
0.85%,
1.037%,
7/25/30
25,187
25,102
Connecticut
Avenue
Securities
Series
2021-R03,
Class
1M2,
CMO,
ARM
SOFR30A
+
1.65%,
1.699%,
12/25/41 (1)
11,825
11,489
Connecticut
Avenue
Securities
Series
2022-R01,
Class
1M2,
CMO,
ARM
SOFR30A
+
1.90%,
1.949%,
12/25/41 (1)
17,740
17,356
Connecticut
Avenue
Securities
Series
2022-R02,
Class
2M1,
CMO,
ARM
SOFR30A
+
1.20%,
1.249%,
1/25/42 (1)
47,218
47,128
Deephaven
Residential
Mortgage
Trust
Series
2021-2,
Class
A1,
CMO,
ARM
0.899%,
4/25/66 (1)
9,622
9,311
Ellington
Financial
Mortgage
Trust
Series
2019-2,
Class
A1,
CMO,
ARM
2.739%,
11/25/59 (1)
4,112
4,096
Ellington
Financial
Mortgage
Trust
Series
2020-1,
Class
A1,
CMO,
ARM
2.006%,
5/25/65 (1)
2,814
2,814
Ellington
Financial
Mortgage
Trust
Series
2021-3,
Class
A1,
CMO,
ARM
1.241%,
9/25/66 (1)
12,904
12,327
Flagstar
Mortgage
Trust
Series
2018-6RR,
Class
2A4,
CMO,
ARM
4.00%,
9/25/48 (1)
1,654
1,658
Flagstar
Mortgage
Trust
Series
2019-1INV,
Class
A3,
CMO,
ARM
3.50%,
10/25/49 (1)
3,517
3,526
Flagstar
Mortgage
Trust
Series
2020-1INV,
Class
A11,
CMO,
ARM
1M
USD
LIBOR
+
0.85%,
1.037%,
3/25/50 (1)
4,779
4,757
T.
ROWE
PRICE
New
Income
Fund
19
Par/Shares
$
Value
(Amounts
in
000s)
Flagstar
Mortgage
Trust
Series
2021-5INV,
Class
A16,
CMO,
ARM
2.50%,
7/25/51 (1)
11,107
10,611
Flagstar
Mortgage
Trust
Series
2021-8INV,
Class
A18,
CMO,
ARM
2.50%,
9/25/51 (1)
10,096
9,645
FWD
Securitization
Trust
Series
2020-INV1,
Class
A3,
CMO,
ARM
2.44%,
1/25/50 (1)
1,823
1,799
Galton
Funding
Mortgage
Trust
Series
2018-1,
Class
A23,
CMO,
ARM
3.50%,
11/25/57 (1)
1,410
1,412
Galton
Funding
Mortgage
Trust
Series
2018-2,
Class
A22,
CMO,
ARM
4.00%,
10/25/58 (1)
3,782
3,804
Galton
Funding
Mortgage
Trust
Series
2018-2,
Class
A31,
CMO,
ARM
4.50%,
10/25/58 (1)
1,860
1,876
Galton
Funding
Mortgage
Trust
Series
2019-1,
Class
A22,
CMO,
ARM
4.00%,
2/25/59 (1)
1,194
1,201
Galton
Funding
Mortgage
Trust
Series
2020-H1,
Class
A1,
CMO,
ARM
2.31%,
1/25/60 (1)
2,170
2,170
GCAT
Trust
Series
2022-INV1,
Class
A26,
CMO,
ARM
3.00%,
12/25/51 (1)
10,140
10,005
GS
Mortgage-Backed
Securities
Trust
Series
2014-EB1A,
Class
2A1,
CMO,
ARM
1.625%,
7/25/44 (1)
535
539
GS
Mortgage-Backed
Securities
Trust
Series
2020-INV1,
Class
A14,
CMO,
ARM
2.959%,
10/25/50 (1)
20,440
20,242
GS
Mortgage-Backed
Securities
Trust
Series
2021-GR2,
Class
A6,
CMO,
ARM
2.50%,
2/25/52 (1)
30,377
29,872
GS
Mortgage-Backed
Securities
Trust
Series
2021-PJ6,
Class
A4,
CMO,
ARM
2.50%,
11/25/51 (1)
11,528
11,006
GS
Mortgage-Backed
Securities
Trust
Series
2021-PJ6,
Class
A8,
CMO,
ARM
2.50%,
11/25/51 (1)
19,422
19,051
Homeward
Opportunities
Fund
I
Trust
Series
2020-2,
Class
A1,
CMO,
ARM
1.657%,
5/25/65 (1)
2,950
2,941
Imperial
Fund
Mortgage
Trust
Series
2021-NQM2,
Class
A1,
CMO,
ARM
1.073%,
9/25/56 (1)
16,119
15,200
T.
ROWE
PRICE
New
Income
Fund
20
Par/Shares
$
Value
(Amounts
in
000s)
JPMorgan
Mortgage
Trust
Series
2019-INV2,
Class
A3,
CMO,
ARM
3.50%,
2/25/50 (1)
3,341
3,347
JPMorgan
Mortgage
Trust
Series
2019-INV3,
Class
A3,
CMO,
ARM
3.50%,
5/25/50 (1)
6,880
6,909
JPMorgan
Mortgage
Trust
Series
2020-INV1,
Class
A11,
CMO,
ARM
1M
USD
LIBOR
+
0.83%,
0.938%,
8/25/50 (1)
3,551
3,547
JPMorgan
Mortgage
Trust
Series
2020-INV1,
Class
A3,
CMO,
ARM
3.50%,
8/25/50 (1)
6,005
6,042
JPMorgan
Mortgage
Trust
Series
2020-LTV1,
Class
A15,
CMO,
ARM
3.50%,
6/25/50 (1)
1,071
1,073
JPMorgan
Mortgage
Trust
Series
2020-LTV1,
Class
A3,
CMO,
ARM
3.50%,
6/25/50 (1)
2,650
2,653
Mello
Mortgage
Capital
Acceptance
Series
2021-INV3,
Class
A15,
CMO,
ARM
2.50%,
10/25/51 (1)
9,848
9,387
MetLife
Securitization
Trust
Series
2018-1A,
Class
A,
CMO,
ARM
3.75%,
3/25/57 (1)
14,090
14,394
MFA
Trust
Series
2021-AEI2,
Class
A15,
CMO,
ARM
2.50%,
10/25/51 (1)
8,627
8,500
MFA
Trust
Series
2021-NQM2,
Class
A1,
CMO,
ARM
1.029%,
11/25/64 (1)
9,404
9,162
Mill
City
Mortgage
Loan
Trust
Series
2018-1,
Class
A1,
ARM
3.25%,
5/25/62 (1)
7,666
7,724
New
Residential
Mortgage
Loan
Trust
Series
2019-NQM5,
Class
A1,
CMO,
ARM
2.71%,
11/25/59 (1)
7,050
7,070
New
Residential
Mortgage
Loan
Trust
Series
2021-INV1,
Class
A4,
CMO,
ARM
2.50%,
6/25/51 (1)
6,879
6,529
New
Residential
Mortgage
Loan
Trust
Series
2021-INV1,
Class
A6,
CMO,
ARM
2.50%,
6/25/51 (1)
17,266
16,947
New
Residential
Mortgage
Loan
Trust
Series
2021-INV2,
Class
A2,
CMO,
ARM
2.50%,
9/25/51 (1)
16,226
15,567
New
Residential
Mortgage
Loan
Trust
Series
2021-INV2,
Class
A4,
CMO,
ARM
2.50%,
9/25/51 (1)
12,585
12,039
T.
ROWE
PRICE
New
Income
Fund
21
Par/Shares
$
Value
(Amounts
in
000s)
OBX
Trust
Series
2019-EXP2,
Class
1A3,
CMO,
ARM
4.00%,
6/25/59 (1)
6,342
6,358
OBX
Trust
Series
2019-EXP2,
Class
2A1A,
CMO,
ARM
1M
USD
LIBOR
+
0.90%,
1.087%,
6/25/59 (1)
71
71
OBX
Trust
Series
2019-EXP3,
Class
1A8,
CMO,
ARM
3.50%,
10/25/59 (1)
4,817
4,808
OBX
Trust
Series
2019-INV2,
Class
A25,
CMO,
ARM
4.00%,
5/27/49 (1)
1,460
1,467
OBX
Trust
Series
2019-INV2,
Class
A5,
CMO,
ARM
4.00%,
5/27/49 (1)
3,953
3,970
OBX
Trust
Series
2020-EXP1,
Class
1A8,
CMO,
ARM
3.50%,
2/25/60 (1)
8,721
8,671
OBX
Trust
Series
2020-EXP1,
Class
2A1,
CMO,
ARM
1M
USD
LIBOR
+
0.75%,
0.937%,
2/25/60 (1)
1,741
1,736
OBX
Trust
Series
2020-EXP2,
Class
A8,
CMO,
ARM
3.00%,
5/25/60 (1)
16,014
16,035
OBX
Trust
Series
2020-INV1,
Class
A5,
CMO,
ARM
3.50%,
12/25/49 (1)
2,695
2,700
OBX
Trust
Series
2021-NQM1,
Class
A1,
CMO,
ARM
1.072%,
2/25/66 (1)
12,266
12,004
OBX
Trust
Series
2021-NQM3,
Class
A1,
CMO,
ARM
1.054%,
7/25/61 (1)
12,652
12,209
Sequoia
Mortgage
Trust
Series
2018-CH1,
Class
A2,
CMO,
ARM
3.50%,
3/25/48 (1)
1,322
1,325
Sequoia
Mortgage
Trust
Series
2018-CH2,
Class
A3,
CMO,
ARM
4.00%,
6/25/48 (1)
4,720
4,743
Sequoia
Mortgage
Trust
Series
2018-CH3,
Class
A2,
CMO,
ARM
4.00%,
8/25/48 (1)
2,575
2,587
Sequoia
Mortgage
Trust
Series
2018-CH4,
Class
A2,
CMO,
ARM
4.00%,
10/25/48 (1)
2,719
2,732
SG
Residential
Mortgage
Trust
Series
2019-3,
Class
A1,
CMO,
ARM
2.703%,
9/25/59 (1)
1,843
1,828
T.
ROWE
PRICE
New
Income
Fund
22
Par/Shares
$
Value
(Amounts
in
000s)
Starwood
Mortgage
Residential
Trust
Series
2019-INV1,
Class
A1,
CMO,
ARM
2.61%,
9/27/49 (1)
3,465
3,478
Starwood
Mortgage
Residential
Trust
Series
2021-3,
Class
A1,
CMO,
ARM
1.127%,
6/25/56 (1)
8,145
7,894
Starwood
Mortgage
Residential
Trust
Series
2021-4,
Class
A2,
CMO,
ARM
1.369%,
8/25/56 (1)
16,536
16,161
Structured
Agency
Credit
Risk
Debt
Notes
Series
2018-DNA2,
Class
M1,
CMO,
ARM
1M
USD
LIBOR
+
0.80%,
0.987%,
12/25/30 (1)
2,950
2,950
Structured
Agency
Credit
Risk
Debt
Notes
Series
2018-HQA1,
Class
M2AS,
CMO,
ARM
1M
USD
LIBOR
+
1.10%,
1.287%,
9/25/30
15,011
14,967
Structured
Agency
Credit
Risk
Debt
Notes
Series
2018-HQA2,
Class
M1,
CMO,
ARM
1M
USD
LIBOR
+
0.75%,
0.937%,
10/25/48 (1)
3,642
3,640
Structured
Agency
Credit
Risk
Debt
Notes
Series
2018-HRP2,
Class
M2,
CMO,
ARM
1M
USD
LIBOR
+
1.25%,
1.437%,
2/25/47 (1)
9,370
9,358
Structured
Agency
Credit
Risk
Debt
Notes
Series
2020-DNA5,
Class
M2,
CMO,
ARM
SOFR30A
+
2.80%,
2.849%,
10/25/50 (1)
8,613
8,667
Structured
Agency
Credit
Risk
Debt
Notes
Series
2021-DNA2,
Class
M2,
CMO,
ARM
SOFR30A
+
2.30%,
2.349%,
8/25/33 (1)
9,106
9,209
Structured
Agency
Credit
Risk
Debt
Notes
Series
2021-DNA7,
Class
M2,
CMO,
ARM
SOFR30A
+
1.80%,
1.849%,
11/25/41 (1)
22,435
21,650
Structured
Agency
Credit
Risk
Debt
Notes
Series
2021-HQA3,
Class
M1,
CMO,
ARM
SOFR30A
+
0.85%,
0.899%,
9/25/41 (1)
12,500
12,371
Structured
Agency
Credit
Risk
Debt
Notes
Series
2021-HQA4,
Class
M1,
CMO,
ARM
SOFR30A
+
0.95%,
0.999%,
12/25/41 (1)
24,640
24,299
Structured
Agency
Credit
Risk
Debt
Notes
Series
2022-DNA1,
Class
M1B,
CMO,
ARM
SOFR30A
+
1.85%,
1.899%,
1/25/42 (1)
18,780
18,488
Structured
Agency
Credit
Risk
Debt
Notes
Series
2022-DNA2,
Class
M1B,
CMO,
ARM
SOFR30A
+
2.40%,
2.449%,
2/25/42 (1)
46,570
46,337
Towd
Point
Mortgage
Trust
Series
2015-4,
Class
M1,
ARM
3.75%,
4/25/55 (1)
12,232
12,299
Towd
Point
Mortgage
Trust
Series
2016-1,
Class
A3B,
ARM
3.00%,
2/25/55 (1)
1,657
1,662
T.
ROWE
PRICE
New
Income
Fund
23
Par/Shares
$
Value
(Amounts
in
000s)
Towd
Point
Mortgage
Trust
Series
2016-2,
Class
A1A,
ARM
2.75%,
8/25/55 (1)
608
608
Towd
Point
Mortgage
Trust
Series
2016-4,
Class
A1,
ARM
2.25%,
7/25/56 (1)
1,479
1,482
Towd
Point
Mortgage
Trust
Series
2017-1,
Class
A1,
ARM
2.75%,
10/25/56 (1)
3,130
3,149
Towd
Point
Mortgage
Trust
Series
2017-2,
Class
A1,
ARM
2.75%,
4/25/57 (1)
1,275
1,280
Towd
Point
Mortgage
Trust
Series
2017-5,
Class
A1,
ARM
1M
USD
LIBOR
+
0.60%,
0.787%,
2/25/57 (1)
4,137
4,131
Towd
Point
Mortgage
Trust
Series
2018-1,
Class
A1,
ARM
3.00%,
1/25/58 (1)
7,214
7,259
UWM
Mortgage
Trust
Series
2021-INV5,
Class
A14,
CMO,
ARM
3.00%,
1/25/52 (1)
10,338
10,143
Verus
Securitization
Trust
Series
2019-3,
Class
A3,
CMO,
STEP
3.04%,
7/25/59 (1)
8,255
8,268
Verus
Securitization
Trust
Series
2019-4,
Class
A1,
CMO,
STEP
2.642%,
11/25/59 (1)
4,250
4,256
Verus
Securitization
Trust
Series
2019-4,
Class
M1,
CMO,
ARM
3.207%,
11/25/59 (1)
5,200
5,182
Verus
Securitization
Trust
Series
2019-INV2,
Class
A3,
CMO,
ARM
3.219%,
7/25/59 (1)
7,398
7,419
Verus
Securitization
Trust
Series
2019-INV3,
Class
A1,
CMO,
ARM
2.692%,
11/25/59 (1)
6,645
6,658
Verus
Securitization
Trust
Series
2019-INV3,
Class
A3,
CMO,
ARM
3.10%,
11/25/59 (1)
8,065
8,079
Verus
Securitization
Trust
Series
2020-1,
Class
A1,
CMO,
STEP
2.417%,
1/25/60 (1)
3,949
3,945
Verus
Securitization
Trust
Series
2020-2,
Class
A3,
CMO,
ARM
3.995%,
5/25/60 (1)
7,815
7,753
Verus
Securitization
Trust
Series
2020-INV1,
Class
A1,
CMO,
ARM
1.977%,
3/25/60 (1)
2,387
2,376
T.
ROWE
PRICE
New
Income
Fund
24
Par/Shares
$
Value
(Amounts
in
000s)
Verus
Securitization
Trust
Series
2022-1,
Class
A1,
CMO,
STEP
2.724%,
1/25/67 (1)
6,570
6,527
Vista
Point
Securitization
Trust
Series
2020-1,
Class
A1,
CMO,
ARM
1.763%,
3/25/65 (1)
2,967
2,963
Vista
Point
Securitization
Trust
Series
2020-1,
Class
A3,
CMO,
ARM
3.201%,
3/25/65 (1)
17,346
17,376
Vista
Point
Securitization
Trust
Series
2020-2,
Class
A1,
CMO,
ARM
1.475%,
4/25/65 (1)
3,947
3,891
Wells
Fargo
Mortgage
Backed
Securities
Trust
Series
2021-RR1,
Class
A1,
CMO,
ARM
2.50%,
12/25/50 (1)
15,678
15,042
1,059,098
Commercial
Mortgage-Backed
Securities
3.9%
225
Liberty
Street
Trust
Series
2016-225L,
Class
A
3.597%,
2/10/36 (1)
13,535
13,815
Austin
Fairmont
Hotel
Trust
Series
2019-FAIR,
Class
B,
ARM
1M
USD
LIBOR
+
1.25%,
1.441%,
9/15/32 (1)
11,890
11,725
Austin
Fairmont
Hotel
Trust
Series
2019-FAIR,
Class
D,
ARM
1M
USD
LIBOR
+
1.80%,
1.991%,
9/15/32 (1)
4,935
4,824
Aventura
Mall
Trust
Series
2018-AVM,
Class
A,
ARM
4.112%,
7/5/40 (1)
39,170
41,511
BAMLL
Commercial
Mortgage-Backed
Securities
Trust
Series
2018-DSNY,
Class
A,
ARM
1M
USD
LIBOR
+
0.85%,
1.041%,
9/15/34 (1)
35,456
35,058
BANK
Series
2017-BNK8,
Class
AS
3.731%,
11/15/50
2,705
2,805
BBCMS
Mortgage
Trust
Series
2019-BWAY,
Class
D,
ARM
1M
USD
LIBOR
+
2.16%,
2.351%,
11/15/34 (1)
10,230
9,944
BX
Commercial
Mortgage
Trust
Series
2021-21M,
Class
C,
ARM
1M
USD
LIBOR
+
1.177%,
1.368%,
10/15/36 (1)
11,330
10,791
BX
Trust
Series
2021-ARIA,
Class
B,
ARM
1M
USD
LIBOR
+
1.297%,
1.488%,
10/15/36 (1)
15,280
14,974
BX
Trust
Series
2021-ARIA,
Class
C,
ARM
1M
USD
LIBOR
+
1.646%,
1.837%,
10/15/36 (1)
16,295
15,928
T.
ROWE
PRICE
New
Income
Fund
25
Par/Shares
$
Value
(Amounts
in
000s)
BX
Trust
Series
2021-LGCY,
Class
C,
ARM
1M
USD
LIBOR
+
1.004%,
1.195%,
10/15/23 (1)
13,125
12,513
Cantor
Commercial
Real
Estate
Lending
Series
2019-CF2,
Class
B
3.267%,
11/15/52
9,752
9,554
Citigroup
Commercial
Mortgage
Trust
Series
2013-375P,
Class
D,
ARM
3.518%,
5/10/35 (1)
14,725
14,583
Citigroup
Commercial
Mortgage
Trust
Series
2015-GC27,
Class
AS
3.571%,
2/10/48
9,880
10,018
Citigroup
Commercial
Mortgage
Trust
Series
2015-GC33,
Class
AS
4.114%,
9/10/58
8,061
8,384
Citigroup
Commercial
Mortgage
Trust
Series
2016-P4,
Class
AS
3.075%,
7/10/49
11,205
11,128
Citigroup
Commercial
Mortgage
Trust
Series
2017-P7,
Class
AS
3.915%,
4/14/50
27,657
28,460
Citigroup
Commercial
Mortgage
Trust
Series
2019-C7,
Class
805A,
ARM
3.79%,
12/15/72 (1)
12,000
10,842
Citigroup
Commercial
Mortgage
Trust
Series
2020-555,
Class
A
2.647%,
12/10/41 (1)
19,685
19,334
Citigroup
Commercial
Mortgage
Trust
Series
2020-555,
Class
C
3.031%,
12/10/41 (1)
8,370
7,931
Citigroup
Commercial
Mortgage
Trust
Series
2020-555,
Class
D
3.233%,
12/10/41 (1)
5,500
5,087
Cold
Storage
Trust
Series
2020-ICE5,
Class
B,
ARM
1M
USD
LIBOR
+
1.30%,
1.491%,
11/15/37 (1)
11,083
10,944
Cold
Storage
Trust
Series
2020-ICE5,
Class
C,
ARM
1M
USD
LIBOR
+
1.65%,
1.841%,
11/15/37 (1)
23,705
23,439
Commercial
Mortgage
Trust
Series
2013-CR6,
Class
AM
3.147%,
3/10/46 (1)
6,715
6,727
Commercial
Mortgage
Trust
Series
2015-CR24,
Class
A5
3.696%,
8/10/48
7,340
7,562
Commercial
Mortgage
Trust
Series
2015-CR24,
Class
AM,
ARM
4.028%,
8/10/48
5,745
5,937
T.
ROWE
PRICE
New
Income
Fund
26
Par/Shares
$
Value
(Amounts
in
000s)
Commercial
Mortgage
Trust
Series
2015-LC21,
Class
AM,
ARM
4.043%,
7/10/48
21,415
22,125
CSAIL
Commercial
Mortgage
Trust
Series
2016-C5,
Class
AS
4.01%,
11/15/48
5,000
5,167
CSAIL
Commercial
Mortgage
Trust
Series
2019-C17,
Class
AS
3.278%,
9/15/52
14,473
14,525
Eleven
Madison
Mortgage
Trust
Series
2015-11MD,
Class
A,
ARM
3.555%,
9/10/35 (1)
23,679
24,270
FREMF
Mortgage
Trust
Series
2018-K731,
Class
B,
ARM
3.934%,
2/25/25 (1)
8,375
8,653
FREMF
Mortgage
Trust
Series
2019-K92,
Class
B,
ARM
4.194%,
5/25/52 (1)
11,400
12,142
FREMF
Mortgage
Trust
Series
2019-K94,
Class
B,
ARM
3.965%,
7/25/52 (1)
6,610
6,895
FREMF
Mortgage
Trust
Series
2019-K94,
Class
C,
ARM
3.965%,
7/25/52 (1)
8,000
8,147
FREMF
Mortgage
Trust
Series
2019-K97,
Class
B,
ARM
3.765%,
9/25/51 (1)
9,820
10,227
FREMF
Mortgage
Trust
Series
2019-K98,
Class
B,
ARM
3.737%,
10/25/52 (1)
15,125
15,675
Great
Wolf
Trust
Series
2019-WOLF,
Class
D,
ARM
1M
USD
LIBOR
+
1.933%,
2.124%,
12/15/36 (1)
18,025
17,528
GS
Mortgage
Securities
Trust
Series
2019-GC40,
Class
B
3.543%,
7/10/52
12,730
12,700
Hilton
Orlando
Trust
Series
2018-ORL,
Class
B,
ARM
1M
USD
LIBOR
+
1.20%,
1.391%,
12/15/34 (1)
5,540
5,460
InTown
Hotel
Portfolio
Trust
Series
2018-STAY,
Class
B,
ARM
1M
USD
LIBOR
+
1.45%,
1.642%,
1/15/33 (1)
3,510
3,497
JPMorgan
Chase
Commercial
Mortgage
Securities
Trust
Series
2016-NINE,
Class
B,
ARM
2.854%,
9/6/38 (1)
11,320
11,131
JPMorgan
Chase
Commercial
Mortgage
Securities
Trust
Series
2018-WPT,
Class
AFX
4.248%,
7/5/33 (1)
9,825
10,032
T.
ROWE
PRICE
New
Income
Fund
27
Par/Shares
$
Value
(Amounts
in
000s)
JPMorgan
Chase
Commercial
Mortgage
Securities
Trust
Series
2018-WPT,
Class
BFX
4.549%,
7/5/33 (1)
7,620
7,776
JPMorgan
Chase
Commercial
Mortgage
Securities
Trust
Series
2018-WPT,
Class
CFX
4.95%,
7/5/33 (1)
11,395
11,620
LUXE
Trust
Series
2021-TRIP,
Class
B,
ARM
1M
USD
LIBOR
+
1.40%,
1.591%,
10/15/38 (1)
10,460
10,315
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
Series
2014-C17,
Class
B,
ARM
4.464%,
8/15/47
20,470
20,911
Morgan
Stanley
Capital
I
Trust
Series
2015-MS1,
Class
AS,
ARM
4.031%,
5/15/48
3,355
3,472
SLIDE
Series
2018-FUN,
Class
B,
ARM
1M
USD
LIBOR
+
1.50%,
1.691%,
6/15/31 (1)
8,947
8,852
SMRT
Series
2022-MINI,
Class
C,
ARM
1M
SOFR
+
1.55%,
1.65%,
1/15/24 (1)
20,450
19,926
UBS
Commercial
Mortgage
Trust
Series
2018-C9,
Class
AS,
ARM
4.318%,
3/15/51
12,230
12,946
VNDO
Trust
Series
2016-350P,
Class
D,
ARM
3.903%,
1/10/35 (1)
12,524
12,075
Wells
Fargo
Commercial
Mortgage
Trust
Series
2014-LC18,
Class
AS
3.808%,
12/15/47
5,860
5,982
Wells
Fargo
Commercial
Mortgage
Trust
Series
2015-C29,
Class
AS,
ARM
4.013%,
6/15/48
6,250
6,439
Wells
Fargo
Commercial
Mortgage
Trust
Series
2015-NXS2,
Class
AS,
ARM
4.121%,
7/15/58
6,215
6,440
Wells
Fargo
Commercial
Mortgage
Trust
Series
2017-C39,
Class
B
4.025%,
9/15/50
5,750
5,850
Wells
Fargo
Commercial
Mortgage
Trust
Series
2017-C41,
Class
AS,
ARM
3.785%,
11/15/50
15,000
15,207
Wells
Fargo
Commercial
Mortgage
Trust
Series
2019-JWDR,
Class
A,
ARM
2.501%,
9/15/31 (1)
36,095
34,995
Worldwide
Plaza
Trust
Series
2017-WWP,
Class
A
3.526%,
11/10/36 (1)
33,185
33,903
T.
ROWE
PRICE
New
Income
Fund
28
Par/Shares
$
Value
(Amounts
in
000s)
Worldwide
Plaza
Trust
Series
2017-WWP,
Class
C,
ARM
3.596%,
11/10/36 (1)
6,005
5,737
764,438
Total
Non-U.S.
Government
Mortgage-Backed
Securities
(Cost
$1,847,883)
1,823,536
U.S.
GOVERNMENT
&
AGENCY
MORTGAGE-BACKED
SECURITIES
22.1%
U.S.
Government
Agency
Obligations
17.9%
Federal
Home
Loan
Mortgage
2.50%,
5/1/30
7,261
7,372
3.00%,
12/1/42
-
4/1/47
19,500
20,096
3.50%,
9/1/42
-
3/1/46
93,502
98,318
4.00%,
10/1/40
-
8/1/45
10,189
10,900
4.50%,
6/1/39
-
5/1/42
15,927
17,252
5.00%,
7/1/25
-
8/1/40
4,570
5,086
5.50%,
4/1/26
-
12/1/39
4,312
4,835
6.00%,
8/1/22
-
8/1/38
2,741
3,121
6.50%,
2/1/24
-
9/1/39
1,064
1,181
7.00%,
2/1/24
-
6/1/32
24
25
7.50%,
5/1/24
-
6/1/24
3
3
Federal
Home
Loan
Mortgage,
ARM
12M
USD
LIBOR
+
1.725%,
1.975%,
7/1/35
21
21
12M
USD
LIBOR
+
1.83%,
2.079%,
3/1/36
111
116
12M
USD
LIBOR
+
1.83%,
2.204%,
2/1/37
115
120
12M
USD
LIBOR
+
1.842%,
2.091%,
1/1/37
135
135
12M
USD
LIBOR
+
1.929%,
2.185%,
12/1/36
88
93
12M
USD
LIBOR
+
2.03%,
2.275%,
11/1/36
124
124
1Y
CMT
+
2.25%,
2.338%,
10/1/36
64
68
Federal
Home
Loan
Mortgage,
CMO,
IO,
4.50%,
5/25/50
14,876
2,162
Federal
Home
Loan
Mortgage,
CMO,
PO,
Zero
Coupon,
8/15/28
9
8
Federal
Home
Loan
Mortgage,
UMBS
2.00%,
3/1/42
-
12/1/51
71,068
68,706
2.50%,
5/1/51
-
1/1/52
84,133
83,286
3.00%,
11/1/34
-
12/1/50
16,559
16,957
3.50%,
11/1/47
-
11/1/50
16,236
16,892
4.00%,
1/1/50
-
2/1/50
25,718
26,955
4.50%,
5/1/50
3,713
3,932
Federal
National
Mortgage
Assn.
3.00%,
6/1/33
-
8/1/46
7,589
7,829
3.50%,
6/1/42
-
5/1/46
57,111
60,079
4.00%,
11/1/40
18,030
19,063
T.
ROWE
PRICE
New
Income
Fund
29
Par/Shares
$
Value
(Amounts
in
000s)
Federal
National
Mortgage
Assn.,
ARM
12M
USD
LIBOR
+
1.34%,
1.59%,
12/1/35
71
72
12M
USD
LIBOR
+
1.604%,
1.90%,
7/1/36
293
306
12M
USD
LIBOR
+
1.655%,
1.905%,
8/1/37
100
101
12M
USD
LIBOR
+
1.881%,
2.131%,
8/1/36
146
148
Federal
National
Mortgage
Assn.,
CMO,
IO,
6.50%,
2/25/32
30
6
Federal
National
Mortgage
Assn.,
UMBS
2.00%,
12/1/51
53,350
51,240
2.50%,
5/1/30
-
2/1/52
316,037
312,823
3.00%,
6/1/27
-
10/1/51
441,618
453,217
3.50%,
11/1/32
-
12/1/48
150,266
156,753
4.00%,
11/1/40
-
12/1/49
175,560
186,736
4.50%,
4/1/26
-
5/1/50
123,738
132,813
5.00%,
3/1/23
-
12/1/47
27,810
30,846
5.50%,
5/1/22
-
9/1/41
23,099
25,817
6.00%,
4/1/22
-
1/1/41
26,021
29,618
6.50%,
8/1/27
-
3/1/41
10,934
12,317
7.00%,
10/1/29
-
4/1/37
106
113
Government
National
Mortgage
Assn.
2.50%,
8/20/50
-
12/20/51
122,816
122,917
5.00%,
6/20/48
4,599
4,889
Government
National
Mortgage
Assn.,
TBA (10)
3.00%,
3/20/52
117,125
119,070
3.50%,
3/20/52
62,807
64,799
UMBS,
TBA (10)
2.00%,
3/1/52
764,110
732,949
2.50%,
3/1/37
-
3/1/52
411,215
407,682
3.00%,
3/1/52
66,985
67,655
3.50%,
3/1/52
63,900
65,807
4.00%,
3/1/52
39,465
41,204
4.50%,
3/1/52
38,550
40,696
3,535,329
U.S.
Government
Obligations
4.2%
Government
National
Mortgage
Assn.
2.50%,
10/20/51
111,614
111,695
3.00%,
9/15/42
-
10/20/51
184,024
188,692
3.50%,
9/15/41
-
8/20/51
183,050
191,908
4.00%,
2/20/41
-
10/20/50
75,860
80,471
4.50%,
7/15/26
-
7/20/47
23,338
25,391
5.00%,
9/15/33
-
5/20/48
45,841
50,888
5.50%,
10/20/32
-
3/20/49
37,611
41,172
6.00%,
1/20/34
-
12/20/38
2,608
2,962
6.50%,
1/15/26
-
12/15/31
55
61
7.00%,
12/20/23
-
11/20/28
19
21
7.50%,
12/15/22
-
8/15/28
51
54
T.
ROWE
PRICE
New
Income
Fund
30
Par/Shares
$
Value
(Amounts
in
000s)
8.00%,
4/15/22
-
5/15/32
143
153
8.50%,
9/15/22
-
9/20/26
1
1
Government
National
Mortgage
Assn.,
CMO
3.00%,
11/20/47
-
12/20/47
4,898
4,965
Government
National
Mortgage
Assn.,
CMO,
IO
3.50%,
5/20/43
3,630
576
4.00%,
5/20/37
-
2/20/43
5,970
399
4.50%,
12/20/39
138
2
Government
National
Mortgage
Assn.,
TBA,
2.00%,
3/20/52 (10)
129,020
126,137
825,548
Total
U.S.
Government
&
Agency
Mortgage-Backed
Securities
(Cost
$4,382,759)
4,360,877
U.S.
GOVERNMENT
AGENCY
OBLIGATIONS
(EXCLUDING
MORTGAGE-BACKED)
25.4%
U.S.
Treasury
Obligations
25.4%
U.S.
Treasury
Bonds,
1.875%,
11/15/51
243,015
226,801
U.S.
Treasury
Bonds,
2.00%,
11/15/41
394,445
377,435
U.S.
Treasury
Bonds,
2.00%,
8/15/51
208,720
200,143
U.S.
Treasury
Bonds,
2.25%,
2/15/52
182,615
186,011
U.S.
Treasury
Bonds,
2.375%,
2/15/42
101,235
103,402
U.S.
Treasury
Notes,
0.125%,
1/15/24
626,940
611,658
U.S.
Treasury
Notes,
0.125%,
2/15/24 (9)(11)
619,630
603,655
U.S.
Treasury
Notes,
0.25%,
3/15/24
428,560
417,779
U.S.
Treasury
Notes,
0.25%,
5/15/24
537,735
522,695
U.S.
Treasury
Notes,
0.625%,
8/15/54
180,530
175,989
U.S.
Treasury
Notes,
1.00%,
12/15/24
223,520
219,748
U.S.
Treasury
Notes,
1.125%,
1/15/25
186,135
183,488
U.S.
Treasury
Notes,
1.25%,
11/30/26
476,325
465,608
U.S.
Treasury
Notes,
1.25%,
12/31/26
320,595
313,281
U.S.
Treasury
Notes,
1.50%,
1/31/27 (9)
419,240
414,393
Total
U.S.
Government
Agency
Obligations
(Excluding
Mortgage-
Backed)
(Cost
$5,133,908)
5,022,086
SHORT-TERM
INVESTMENTS
11.8%
Money
Market
Funds
11.8%
T.
Rowe
Price
Government
Reserve
Fund,
0.12% (4)(12)
2,324,572
2,324,572
Total
Short-Term
Investments
(Cost
$2,324,572)
2,324,572
T.
ROWE
PRICE
New
Income
Fund
31
Par/Shares
$
Value
(Amounts
in
000s)
SECURITIES
LENDING
COLLATERAL
0.6%
INVESTMENTS
IN
A
POOLED
ACCOUNT
THROUGH
SECURITIES
LENDING
PROGRAM
WITH
JPMORGAN
CHASE
BANK
0.1%
Money
Market
Funds
0.1%
T.
Rowe
Price
Government
Reserve
Fund,
0.12% (4)(12)
10,950
10,950
Total
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
JPMorgan
Chase
Bank
10,950
INVESTMENTS
IN
A
POOLED
ACCOUNT
THROUGH
SECURITIES
LENDING
PROGRAM
WITH
STATE
STREET
BANK
AND
TRUST
COMPANY
0.5%
Money
Market
Funds
0.5%
T.
Rowe
Price
Government
Reserve
Fund,
0.12% (4)(12)
99,621
99,621
Total
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
State
Street
Bank
and
Trust
Company
99,621
Total
Securities
Lending
Collateral
(Cost
$110,571)
110,571
Total
Investments
in
Securities
109.2%
(Cost
$21,829,614)
$
21,553,811
Other
Assets
Less
Liabilities
(9.2)%
(
1,812,860
)
Net
Assets
100.0%
$
19,740,951
‡
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
$4,189,817
and
represents
21.2%
of
net
assets.
(2)
Bank
loan
positions
may
involve
multiple
underlying
tranches.
In
those
instances,
the
position
presented
reflects
the
aggregate
of
those
respective
underlying
tranches
and
the
rate
presented
reflects
the
weighted
average
rate
of
the
settled
positions.
(3)
All
or
a
portion
of
this
loan
is
unsettled
as
of
February
28,
2022.
The
interest
rate
for
unsettled
loans
will
be
determined
upon
settlement
after
period
end.
(4)
Affiliated
Companies
(5)
SEC
30-day
yield
T.
ROWE
PRICE
New
Income
Fund
32
.
.
.
.
.
.
.
.
.
.
(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
$9,310
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
are
provided
if
the
rate
is
currently
floating.
(9)
All
or
a
portion
of
this
security
is
on
loan
at
February
28,
2022.
(10)
To-Be-Announced
purchase
commitment.
Total
value
of
such
securities
at
period-end
amounts
to
$1,665,999
and
represents
8.4%
of
net
assets.
(11)
At
February
28,
2022,
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
SOFR
One
month
SOFR
(Secured
overnight
financing
rate)
1M
USD
LIBOR
One
month
USD
LIBOR
(London
interbank
offered
rate)
3M
SOFR
Three
month
Term
SOFR
(Secured
overnight
financing
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
CLO
Collateralized
Loan
Obligation
CMO
Collateralized
Mortgage
Obligation
EUR
Euro
FRN
Floating
Rate
Note
IO
Interest-only
security
for
which
the
fund
receives
interest
on
notional
principal
JPY
Japanese
Yen
PO
Principal-only
security
for
which
the
fund
receives
regular
cash
flows
based
on
principal
repayments
PTT
Pass-Through
Trust
SEK
Swedish
Krona
SOFR
Secured
overnight
financing
rate
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
33
.
.
.
.
.
.
.
.
.
.
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
34
(Amounts
in
000s)
SWAPS
0.0%
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
**
Unrealized
$
Gain/(Loss)
BILATERAL
SWAPS
0.0%
Credit
Default
Swaps,
Protection
Sold
0.0%
JPMorgan
Chase,
Protection
Sold
(Relevant
Credit:
Barclays
Bank,
A*),
Receive
1.00%,
6/20/24
(EUR)
5,778
104
107
(
3
)
Total
Bilateral
Credit
Default
Swaps,
Protection
Sold
107
(
3
)
Total
Bilateral
Swaps
107
(
3
)
Description
Notional
Amount
$
Value
Initial
$
Value
**
Unrealized
$
Gain/(Loss)
CENTRALLY
CLEARED
SWAPS
0.0%
Credit
Default
Swaps,
Protection
Sold
0.0%
Protection
Sold
(Relevant
Credit:
Markit
CDX.NA.HY-S37,
5
Year
Index),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
12/20/26
20,000
1,325
1,369
(
44
)
Protection
Sold
(Relevant
Credit:
Markit
CDX.NA.IG-S37,
5
Year
Index),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
12/20/26
261,875
4,403
5,801
(
1,398
)
Protection
Sold
(Relevant
Credit:
Republic
of
Chile,
A1*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
12/20/26
*
102,863
986
1,138
(
152
)
Protection
Sold
(Relevant
Credit:
Republic
of
Indonesia,
Baa2*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
12/20/26
*
152,733
(782)
1,528
(
2,310
)
T.
ROWE
PRICE
New
Income
Fund
35
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Initial
$
Value**
Unrealized
$
Gain/(Loss)
Protection
Sold
(Relevant
Credit:
United
Mexican
States,
Baa1*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
12/20/26
*
254,717
(1,288)
1,068
(
2,356
)
Total
Centrally
Cleared
Credit
Default
Swaps,
Protection
Sold
(
6,260
)
Total
Centrally
Cleared
Swaps
(
6,260
)
Net
payments
(receipts)
of
variation
margin
to
date
5,035
Variation
margin
receivable
(payable)
on
centrally
cleared
swaps
$
(
1,225
)
*
Credit
ratings
as
of
February
28,
2022.
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
$143.
T.
ROWE
PRICE
New
Income
Fund
36
(Amounts
in
000s)
FORWARD
CURRENCY
EXCHANGE
CONTRACTS
Counterparty
Settlement
Receive
Deliver
Unrealized
Gain/(Loss)
Bank
of
America
4/22/22
AUD
84,810
USD
61,745
$
(
100
)
Bank
of
America
4/22/22
USD
60,441
AUD
84,810
(
1,204
)
Citibank
5/20/22
USD
69,429
SEK
644,960
1,199
Goldman
Sachs
4/22/22
USD
88,866
JPY
10,218,235
(
120
)
State
Street
5/20/22
USD
68,905
EUR
60,479
882
UBS
Investment
Bank
5/20/22
USD
93,582
EUR
82,161
1,173
Net
unrealized
gain
(loss)
on
open
forward
currency
exchange
contracts
$
1,830
T.
ROWE
PRICE
New
Income
Fund
37
FUTURES
CONTRACTS
($000s)
Expiration
Date
Notional
Amount
Value
and
Unrealized
Gain
(Loss)
Long,
7,190
U.S.
Treasury
Long
Bond
contracts
6/22
1,126,583
$
15,441
Short,
20,233
U.S.
Treasury
Notes
five
year
contracts
6/22
(2,393,185)
(
11,728
)
Short,
3,147
U.S.
Treasury
Notes
ten
year
contracts
6/22
(401,046)
(
2,610
)
Long,
1,376
U.S.
Treasury
Notes
two
year
contracts
6/22
296,152
492
Long,
7,348
Ultra
U.S.
Treasury
Bonds
contracts
6/22
1,366,269
14,165
Long,
1,584
Ultra
U.S.
Treasury
Notes
ten
year
contracts
6/22
223,864
1,967
Net
payments
(receipts)
of
variation
margin
to
date
10,304
Variation
margin
receivable
(payable)
on
open
futures
contracts
$
28,031
T.
ROWE
PRICE
New
Income
Fund
38
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,
2022.
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,
4.02%
$
(
1,817
)
$
(
3,970
)
$
19,995
T.
Rowe
Price
Institutional
High
Yield
Fund
-
Z
Class,
5.74%
1,749
(
5,271
)
4,179
T.
Rowe
Price
Government
Reserve
Fund,
0.12%
—
—
1,176
++
T.
Rowe
Price
Short-Term
Fund
—
—
—
++
Totals
$
(
68
)
#
$
(
9,241
)
$
25,350
+
Supplementary
Investment
Schedule
Affiliate
Value
05/31/21
Purchase
Cost
Sales
Cost
Value
02/28/22
T.
Rowe
Price
Institutional
Floating
Rate
Fund
-
Z
Class,
4.02%
$
610,263
$
19,926
$
112,817
$
513,402
T.
Rowe
Price
Institutional
High
Yield
Fund
-
Z
Class,
5.74%
104,794
4,170
54,251
49,442
T.
Rowe
Price
Government
Reserve
Fund,
0.12%
2,421,133
¤
¤
2,435,143
T.
Rowe
Price
Short-Term
Fund
1,055,840
¤
¤
—
Total
$
2,997,987
^
#
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
$25,350
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
$2,993,893.
T.
ROWE
PRICE
New
Income
Fund
Unaudited
Notes
to
Portfolio
of
Investments
39
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
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)
T.
ROWE
PRICE
New
Income
Fund
40
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.
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.
T.
ROWE
PRICE
New
Income
Fund
41
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,
2022
(for
further
detail
by
category,
please
refer
to
the
accompanying
Portfolio
of
Investments):
T.
ROWE
PRICE
New
Income
Fund
42
OTHER
MATTERS
Unpredictable
events
such
as
environmental
or
natural
disasters,
war,
terrorism,
pandemics,
outbreaks
of
infectious
diseases,
and
similar
public
health
threats
may
significantly
affect
the
economy
and
the
markets
and
issuers
in
which
a
fund
invests.
Certain
events
may
cause
instability
across
global
markets,
including
reduced
liquidity
and
disruptions
in
trading
markets,
while
some
events
may
affect
certain
geographic
regions,
countries,
sectors,
and
industries
more
significantly
than
others,
and
exacerbate
other
pre-existing
political,
social,
and
economic
risks.
Since
2020,
a
novel
strain
of
($000s)
Level
1
Level
2
Level
3
Total
Value
Assets
Fixed
Income
Securities
1
$
—
$
18,546,514
$
—
$
18,546,514
Bond
Mutual
Funds
562,844
—
—
562,844
Convertible
Preferred
Stocks
—
9,310
—
9,310
Short-Term
Investments
2,324,572
—
—
2,324,572
Securities
Lending
Collateral
110,571
—
—
110,571
Total
Securities
2,997,987
18,555,824
—
21,553,811
Swaps*
—
104
—
104
Forward
Currency
Exchange
Contracts
—
3,254
—
3,254
Futures
Contracts*
32,065
—
—
32,065
Total
$
3,030,052
$
18,559,182
$
—
$
21,589,234
Liabilities
Swaps*
$
—
$
6,260
$
—
$
6,260
Forward
Currency
Exchange
Contracts
—
1,424
—
1,424
Futures
Contracts*
14,338
—
—
14,338
Total
$
14,338
$
7,684
$
—
$
22,022
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.
T.
ROWE
PRICE
New
Income
Fund
43
coronavirus
(COVID-19)
has
resulted
in
disruptions
to
global
business
activity
and
caused
significant
volatility
and
declines
in
global
financial
markets.
In
February
2022,
Russian
forces
entered
Ukraine
and
commenced
an
armed
conflict.
Economic
sanctions
have
since
been
imposed
on
Russia
and
certain
of
its
citizens,
including
the
exclusion
of
Russia
from
the
SWIFT
global
payments
network.
As
a
result,
Russia’s
central
bank
closed
the
country’s
stock
market
on
February
28,
2022,
and
Russian-related
stocks
and
debt
have
since
suffered
significant
declines
in
value.
The
duration
of
the
coronavirus
outbreak
and
the
Russian-Ukraine
conflict,
and
their
effects
on
the
financial
markets,
cannot
be
determined
with
certainty.
The fund’s
performance
could
be
negatively
impacted
if
the
value
of
a
portfolio
holding
were
harmed
by
these
and
such
other
events.
Management
is
actively
monitoring
these
events.
F43-054Q3
02/22