T.
ROWE
PRICE
New
Income
Fund
August
31,
2022
(Unaudited)
1
Portfolio
of
Investments
‡
Par/Shares
$
Value
(Amounts
in
000s)
‡
ASSET-BACKED
SECURITIES
6.7%
Car
Loan
1.5%
AmeriCredit
Automobile
Receivables
Trust
Series
2021-1,
Class
C
0.89%,
10/19/26
13,100
12,345
AmeriCredit
Automobile
Receivables
Trust
Series
2021-1,
Class
D
1.21%,
12/18/26
13,530
12,627
AmeriCredit
Automobile
Receivables
Trust
Series
2022-1,
Class
D
3.23%,
2/18/28
36,840
34,854
CarMax
Auto
Owner
Trust
Series
2022-1,
Class
C
2.20%,
11/15/27
11,750
10,881
Carvana
Auto
Receivables
Trust
Series
2022-N1,
Class
C
3.32%,
12/11/28 (1)
5,665
5,507
Carvana
Auto
Receivables
Trust
Series
2022-P1,
Class
C
3.30%,
4/10/28
13,955
12,970
Exeter
Automobile
Receivables
Trust
Series
2021-2A,
Class
D
1.40%,
4/15/27
8,374
7,800
Exeter
Automobile
Receivables
Trust
Series
2022-1A,
Class
D
3.02%,
6/15/28
35,405
32,763
Exeter
Automobile
Receivables
Trust
Series
2022-2A,
Class
C
3.85%,
7/17/28
17,900
17,350
Exeter
Automobile
Receivables
Trust
Series
2022-3A,
Class
C
5.30%,
9/15/27
19,445
19,387
GM
Financial
Automobile
Leasing
Trust
Series
2021-1,
Class
D
1.01%,
7/21/25
6,650
6,423
Santander
Bank
Series
2021-1A,
Class
B
1.833%,
12/15/31 (1)
5,355
5,182
Santander
Drive
Auto
Receivables
Trust
Series
2021-3,
Class
D
1.33%,
9/15/27
29,300
27,728
Santander
Drive
Auto
Receivables
Trust
Series
2022-2,
Class
C
3.76%,
7/16/29
17,240
16,719
T.
ROWE
PRICE
New
Income
Fund
1
T.
ROWE
PRICE
New
Income
Fund
2
Par/Shares
$
Value
(Amounts
in
000s)
Santander
Retail
Auto
Lease
Trust
Series
2021-A,
Class
D
1.38%,
3/22/27 (1)
23,480
21,890
244,426
Other
Asset-Backed
Securities
4.2%
522
Funding
Series
2019-5A,
Class
AR,
CLO,
FRN
3M
TSFR
+
1.33%,
3.658%,
4/15/35 (1)
28,800
28,082
522
Funding
Series
2019-5A,
Class
BR,
CLO,
FRN
3M
TSFR
+
1.85%,
4.178%,
4/15/35 (1)
16,085
15,260
AGL
Series
2021-14A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.15%,
3.882%,
12/2/34 (1)
35,905
35,040
AGL
Series
2022-17A,
Class
A,
CLO,
FRN
3M
TSFR
+
1.33%,
3.803%,
1/21/35 (1)
22,400
21,859
Applebee's
Funding
Series
2019-1A,
Class
A2I
4.194%,
6/5/49 (1)
37,863
36,360
Benefit
Street
Partners
XI
Series
2017-11A,
Class
A2R,
CLO,
FRN
3M
USD
LIBOR
+
1.50%,
4.012%,
4/15/29 (1)
16,090
15,667
Benefit
Street
Partners
XX
Series
2020-20A,
Class
AR,
CLO,
FRN
3M
USD
LIBOR
+
1.17%,
3.682%,
7/15/34 (1)
15,245
14,865
Carlyle
U.S.
Series
2019-4A,
Class
A11R,
CLO,
FRN
3M
TSFR
+
1.32%,
3.648%,
4/15/35 (1)
29,195
28,469
CBAM
Series
2019-9A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.28%,
3.792%,
2/12/30 (1)
4,538
4,517
Cedar
Funding
XIV
Series
2021-14A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.10%,
3.612%,
7/15/33 (1)
9,385
9,230
CIFC
Funding
Series
2019-5A,
Class
A2RS,
CLO,
FRN
3M
USD
LIBOR
+
1.75%,
4.262%,
1/15/35 (1)
11,000
10,437
CIFC
Funding
Series
2020-3A,
Class
A1R,
CLO,
FRN
3M
USD
LIBOR
+
1.13%,
3.84%,
10/20/34 (1)
20,305
19,844
CIFC
Funding
Series
2021-3A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.14%,
3.652%,
7/15/36 (1)
30,055
29,414
Driven
Brands
Funding
Series
2019-1A,
Class
A2
4.641%,
4/20/49 (1)
15,493
14,731
T.
ROWE
PRICE
New
Income
Fund
3
Par/Shares
$
Value
(Amounts
in
000s)
Driven
Brands
Funding
Series
2021-1A,
Class
A2
2.791%,
10/20/51 (1)
14,272
11,718
Dryden
Series
2020-86A,
Class
A1R,
CLO,
FRN
3M
USD
LIBOR
+
1.10%,
3.84%,
7/17/34 (1)
21,235
20,740
Hardee's
Funding
Series
2018-1A,
Class
A2II
4.959%,
6/20/48 (1)
27,802
26,830
Hpefs
Equipment
Trust
Series
2022-2A,
Class
C
4.43%,
9/20/29 (1)
4,445
4,373
HPEFS
Equipment
Trust
Series
2022-1A,
Class
C
1.96%,
5/21/29 (1)
11,735
11,038
HPEFS
Equipment
Trust
Series
2022-1A,
Class
D
2.40%,
11/20/29 (1)
12,510
11,621
HPS
Loan
Management
Series
11A-17,
Class
BR,
CLO,
FRN
3M
USD
LIBOR
+
1.55%,
4.413%,
5/6/30 (1)
12,070
11,721
Invesco
Series
2021-2A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.12%,
3.632%,
7/15/34
33,910
32,988
Jack
in
the
Box
Funding
Series
2022-1A,
Class
A2I
3.445%,
2/26/52 (1)
35,187
31,860
KKR
Series
36A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.18%,
3.692%,
10/15/34 (1)
3,315
3,247
Morgan
Stanley
Eaton
Vance
Series
2021-1A,
Class
B,
CLO,
FRN
3M
USD
LIBOR
+
1.65%,
4.433%,
10/20/34 (1)
14,730
14,095
Neuberger
Berman
Loan
Advisers
Series
2019-32A,
Class
AR,
CLO,
FRN
3M
USD
LIBOR
+
0.99%,
3.728%,
1/20/32 (1)
49,995
49,097
Neuberger
Berman
Loan
Advisers
Series
2021-43A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.13%,
3.87%,
7/17/35 (1)
15,105
14,812
OZLM
VII
Series
2014-7RA,
Class
A1R,
CLO,
FRN
3M
USD
LIBOR
+
1.01%,
3.75%,
7/17/29 (1)
31,832
31,589
Palmer
Square
Series
2022-1A,
Class
A,
CLO,
FRN
3M
TSFR
+
1.32%,
1.786%,
4/20/35 (1)
40,630
39,536
Planet
Fitness
Master
Issuer
Series
2018-1A,
Class
A2II
4.666%,
9/5/48 (1)
24,828
23,928
T.
ROWE
PRICE
New
Income
Fund
4
Par/Shares
$
Value
(Amounts
in
000s)
Planet
Fitness
Master
Issuer
Series
2022-1A,
Class
A2I
3.251%,
12/5/51 (1)
21,920
19,689
Regatta
XIX
Funding
Series
2022-1A,
Class
B,
CLO,
FRN
3M
TSFR
+
1.85%,
2.929%,
4/20/35 (1)
15,065
14,266
Symphony
XXVI
Series
2021-26A,
Class
AR,
CLO,
FRN
3M
USD
LIBOR
+
1.08%,
3.79%,
4/20/33 (1)
14,640
14,387
Symphony
XXXI
Series
2022-31A,
Class
B,
CLO,
FRN
3M
TSFR
+
1.85%,
2.155%,
4/22/35 (1)
14,150
13,424
Wellfleet
Series
2021-3A,
Class
B,
CLO,
FRN
3M
USD
LIBOR
+
1.80%,
4.312%,
1/15/35 (1)
8,845
8,475
693,209
Student
Loan
1.0%
Navient
Private
Education
Loan
Trust
Series
2017-A,
Class
B
3.91%,
12/16/58 (1)
8,525
8,016
Navient
Private
Education
Refi
Loan
Trust
Series
2019-FA,
Class
A2
2.60%,
8/15/68 (1)
10,464
9,895
Navient
Private
Education
Refi
Loan
Trust
Series
2019-GA,
Class
A
2.40%,
10/15/68 (1)
9,687
9,243
Navient
Private
Education
Refi
Loan
Trust
Series
2020-BA,
Class
A2
2.12%,
1/15/69 (1)
13,718
12,790
Navient
Private
Education
Refi
Loan
Trust
Series
2020-CA,
Class
B
2.83%,
11/15/68 (1)
20,755
17,577
Navient
Private
Education
Refi
Loan
Trust
Series
2020-HA,
Class
A
1.31%,
1/15/69 (1)
7,000
6,454
Navient
Private
Education
Refi
Loan
Trust
Series
2022-A,
Class
A
2.23%,
7/15/70 (1)
35,120
32,005
SMB
Private
Education
Loan
Trust
Series
2016-A,
Class
A2A
2.70%,
5/15/31 (1)
2,711
2,645
SMB
Private
Education
Loan
Trust
Series
2016-B,
Class
A2A
2.43%,
2/17/32 (1)
7,098
6,890
SMB
Private
Education
Loan
Trust
Series
2016-C,
Class
A2A
2.34%,
9/15/34 (1)
5,844
5,631
T.
ROWE
PRICE
New
Income
Fund
5
Par/Shares
$
Value
(Amounts
in
000s)
SMB
Private
Education
Loan
Trust
Series
2018-B,
Class
A2A
3.60%,
1/15/37 (1)
7,493
7,310
SMB
Private
Education
Loan
Trust
Series
2018-C,
Class
A2A
3.63%,
11/15/35 (1)
16,511
16,050
SMB
Private
Education
Loan
Trust
Series
2021-A,
Class
APT1
1.07%,
1/15/53 (1)
28,111
24,968
159,474
Total
Asset-Backed
Securities
(Cost
$1,150,760)
1,097,109
BANK
LOANS
1.4%
(2)
FINANCIAL
INSTITUTIONS
0.2%
Insurance
0.2%
Asurion,
FRN
1M
USD
LIBOR
+
3.250%,
5.774%,
12/23/26
5,869
5,366
Asurion,
FRN
1M
USD
LIBOR
+
5.250%,
7.774%,
1/31/28
5,985
5,117
HUB
International,
FRN
1M
USD
LIBOR
+
3.250%,
5.782%,
4/25/25
17,888
17,596
Total
Financial
Institutions
28,079
INDUSTRIAL
1.2%
Airlines
0.0%
Mileage
Plus
Holdings,
FRN
1M
USD
LIBOR
+
5.250%,
7.313%,
6/21/27
5,645
5,725
5,725
Capital
Goods
0.1%
Charter
Next
Generation,
FRN
1M
USD
LIBOR
+
3.750%,
6.556%,
12/1/27
9,815
9,517
9,517
Communications
0.2%
Clear
Channel
Outdoor
Holdings,
FRN
1M
USD
LIBOR
+
3.500%,
6.306%,
8/21/26
9,043
8,356
Lamar
Media,
FRN
1M
USD
LIBOR
+
1.500%,
3.868%,
2/5/27
14,435
14,025
Mission
Broadcasting,
FRN
1M
USD
LIBOR
+
2.500%,
4.873%,
6/2/28
6,242
6,096
28,477
Consumer
Cyclical
0.4%
Caesars
Resort
Collection,
FRN
1M
USD
LIBOR
+
3.500%,
6.024%,
7/21/25
5,076
5,028
Churchill
Downs,
FRN
1M
USD
LIBOR
+
2.000%,
4.53%,
3/17/28
19,363
18,976
T.
ROWE
PRICE
New
Income
Fund
6
Par/Shares
$
Value
(Amounts
in
000s)
Delta
2,
FRN
3M
USD
LIBOR
+
2.500%,
5.024%,
2/1/24
7,925
7,849
KFC
Holding,
FRN
1M
USD
LIBOR
+
1.750%,
4.127%,
3/15/28
17,020
16,884
UFC
Holdings,
FRN
1M
USD
LIBOR
+
2.750%,
5.52%,
4/29/26 (3)
8,173
7,928
56,665
Consumer
Products
0.0%
Sunshine
Luxembourg
VII,
FRN
1M
USD
LIBOR
+
3.750%,
6.00%,
10/1/26
2,985
2,871
2,871
Diversified
Manufacturing
0.0%
TK
Elevator
U.S.
Newco,
FRN
6M
USD
LIBOR
+
3.500%,
6.871%,
7/30/27
5,900
5,720
5,720
Health
Care
0.1%
Catalent
Pharma
Solutions,
FRN
1M
USD
LIBOR
+
2.000%,
4.375%,
2/22/28
3,346
3,301
Medline
Borrower,
FRN
1M
USD
LIBOR
+
3.250%,
5.774%,
10/23/28
12,294
11,708
15,009
Pharmaceuticals
0.0%
Perrigo
Investments,
FRN
1M
TSFR
+
2.500%,
4.907%,
4/20/29 (4)
4,515
4,470
4,470
Technology
0.4%
Applied
Systems,
FRN
1M
USD
LIBOR
+
3.000%,
5.25%,
9/19/24
12,550
12,431
Ascend
Learning,
FRN
1M
USD
LIBOR
+
3.500%,
6.024%,
12/11/28
10,507
10,000
AthenaHealth
Group,
FRN
1M
TSFR
+
3.500%,
5.80%,
2/15/29 (5)
11,065
10,567
Central
Parent,
FRN
1M
TSFR
+
4.500%,
6.61%,
6/9/29
2,280
2,219
Entegris,
FRN
1M
TSFR
+
3.000%,
5.597%,
3/2/29
9,080
9,051
RealPage,
FRN
1M
USD
LIBOR
+
3.000%,
5.524%,
4/24/28
5,412
5,199
UKG,
FRN
1M
USD
LIBOR
+
3.250%,
5.535%,
5/4/26
17,691
17,113
UKG,
FRN
1M
USD
LIBOR
+
5.250%,
7.535%,
5/3/27
3,930
3,819
70,399
Total
Industrial
198,853
Total
Bank
Loans
(Cost
$232,540)
226,932
T.
ROWE
PRICE
New
Income
Fund
7
Par/Shares
$
Value
(Amounts
in
000s)
BOND
MUTUAL
FUNDS
1.4%
Trusts
&
Mutual
Funds
1.4%
T.
Rowe
Price
Institutional
Floating
Rate
Fund
-
Z
Class,
6.46% (6)(7)
19,794
184,683
T.
Rowe
Price
Institutional
High
Yield
Fund
-
Z
Class,
7.96% (6)(7)
6,043
45,628
Total
Bond
Mutual
Funds
(Cost
$233,059)
230,311
CORPORATE
BONDS
28.6%
FINANCIAL
INSTITUTIONS
12.8%
Banking
9.8%
AIB
Group,
VR,
4.263%,
4/10/25 (1)(8)
11,685
11,387
Ally
Financial,
4.75%,
6/9/27
23,765
23,240
Banco
Santander,
3.49%,
5/28/30
11,400
9,897
Banco
Santander,
VR,
1.722%,
9/14/27 (8)
21,200
18,254
Banco
Santander,
VR,
4.175%,
3/24/28 (8)
5,200
4,897
Bank
Leumi
Le-Israel,
VR,
3.275%,
1/29/31 (1)(8)
23,000
20,364
Bank
of
America,
4.45%,
3/3/26
18,903
18,824
Bank
of
America,
VR,
1.734%,
7/22/27 (8)
20,116
17,825
Bank
of
America,
VR,
1.898%,
7/23/31 (8)
73,896
58,575
Bank
of
America,
VR,
2.299%,
7/21/32 (8)
32,003
25,650
Bank
of
America,
VR,
2.496%,
2/13/31 (8)
22,900
19,160
Bank
of
America,
VR,
2.592%,
4/29/31 (8)(9)
38,880
32,768
Bank
of
America,
VR,
2.972%,
2/4/33 (8)
30,180
25,448
Bank
of
America,
VR,
3.419%,
12/20/28 (8)
22,458
20,815
Bank
of
America,
VR,
3.559%,
4/23/27 (8)
11,450
10,956
Bank
of
America,
VR,
4.271%,
7/23/29 (8)
42,340
40,529
Barclays,
VR,
2.279%,
11/24/27 (8)
30,800
26,974
Barclays,
VR,
2.852%,
5/7/26 (8)(9)
24,674
23,104
Barclays,
VR,
3.932%,
5/7/25 (8)
19,911
19,475
BNP
Paribas,
VR,
1.323%,
1/13/27 (1)(8)
10,950
9,605
BNP
Paribas,
VR,
2.591%,
1/20/28 (1)(8)
37,030
32,910
Capital
One
Financial,
3.65%,
5/11/27 (9)
11,559
11,051
Capital
One
Financial,
3.75%,
3/9/27
19,858
19,060
Capital
One
Financial,
VR,
3.273%,
3/1/30 (8)
9,245
8,131
Capital
One
Financial,
VR,
5.247%,
7/26/30 (8)
3,235
3,188
Citigroup,
VR,
2.561%,
5/1/32 (8)
10,298
8,485
Citigroup,
VR,
3.057%,
1/25/33 (8)
20,440
17,299
Citigroup,
VR,
3.106%,
4/8/26 (8)(9)
23,226
22,314
Citigroup,
Series
VAR,
VR,
3.07%,
2/24/28 (8)
20,140
18,659
Credit
Suisse
Group,
VR,
3.091%,
5/14/32 (1)(8)
10,031
7,605
Credit
Suisse
Group,
VR,
4.194%,
4/1/31 (1)(8)
3,450
2,907
Danske
Bank,
5.375%,
1/12/24 (1)
20,461
20,610
Danske
Bank,
VR,
3.244%,
12/20/25 (1)(8)(9)
21,957
20,863
T.
ROWE
PRICE
New
Income
Fund
8
Par/Shares
$
Value
(Amounts
in
000s)
Danske
Bank,
VR,
3.773%,
3/28/25 (1)(8)
12,760
12,425
Discover
Financial
Services,
4.10%,
2/9/27
58,694
56,310
Fifth
Third
Bancorp,
VR,
4.772%,
7/28/30 (8)
3,235
3,211
Goldman
Sachs
Group,
3.50%,
11/16/26
11,635
11,166
Goldman
Sachs
Group,
VR,
1.542%,
9/10/27 (8)
31,264
27,512
Goldman
Sachs
Group,
VR,
2.383%,
7/21/32 (8)
17,287
13,960
Goldman
Sachs
Group,
VR,
2.615%,
4/22/32 (8)
45,548
37,398
Goldman
Sachs
Group,
VR,
2.65%,
10/21/32 (8)
17,735
14,680
Goldman
Sachs
Group,
VR,
3.615%,
3/15/28 (8)
19,610
18,550
Goldman
Sachs
Group,
VR,
4.482%,
8/23/28 (8)
12,805
12,495
HSBC
Holdings,
VR,
1.645%,
4/18/26 (8)
10,575
9,628
HSBC
Holdings,
VR,
2.099%,
6/4/26 (8)(9)
20,767
19,086
HSBC
Holdings,
VR,
2.999%,
3/10/26 (8)
20,080
18,992
HSBC
Holdings,
VR,
4.292%,
9/12/26 (8)
2,175
2,112
HSBC
Holdings,
VR,
4.755%,
6/9/28 (8)
36,120
34,811
HSBC
Holdings,
VR,
5.21%,
8/11/28 (8)
16,945
16,577
ING
Groep,
VR,
1.726%,
4/1/27 (8)
9,137
8,109
ING
Groep,
VR,
3.869%,
3/28/26 (8)
8,084
7,876
JPMorgan
Chase,
VR,
1.578%,
4/22/27 (8)
35,303
31,449
JPMorgan
Chase,
VR,
1.764%,
11/19/31 (8)
41,300
32,542
JPMorgan
Chase,
VR,
2.182%,
6/1/28 (8)
32,197
28,610
JPMorgan
Chase,
VR,
2.545%,
11/8/32 (8)
31,065
25,615
JPMorgan
Chase,
VR,
2.739%,
10/15/30 (8)
19,897
17,256
JPMorgan
Chase,
VR,
2.947%,
2/24/28 (8)
20,020
18,493
JPMorgan
Chase,
VR,
2.956%,
5/13/31 (8)
59,518
50,979
Kookmin
Bank,
2.50%,
11/4/30 (1)
2,465
2,053
Kookmin
Bank,
2.50%,
11/4/30 (9)
1,410
1,175
Morgan
Stanley,
VR,
1.512%,
7/20/27 (8)(9)
25,000
22,081
Morgan
Stanley,
VR,
1.593%,
5/4/27 (8)(9)
13,695
12,187
Morgan
Stanley,
VR,
2.239%,
7/21/32 (8)
15,751
12,694
Morgan
Stanley,
VR,
2.802%,
1/25/52 (8)
10,785
7,346
Morgan
Stanley,
VR,
2.943%,
1/21/33 (8)
8,645
7,362
Morgan
Stanley,
VR,
3.217%,
4/22/42 (8)
5,725
4,464
Morgan
Stanley,
VR,
4.679%,
7/17/26 (8)(9)
8,415
8,420
Nationwide
Building
Society,
VR,
2.972%,
2/16/28 (1)(8)(9)
8,705
7,855
PNC
Financial
Services
Group,
2.55%,
1/22/30
3,650
3,195
PNC
Financial
Services
Group,
VR,
4.626%,
6/6/33 (8)
12,080
11,432
Santander
Holdings
USA,
VR,
2.49%,
1/6/28 (8)
12,500
10,848
Santander
UK
Group
Holdings,
VR,
1.532%,
8/21/26 (8)
48,133
43,107
Shinhan
Bank,
3.875%,
3/24/26
5,830
5,645
Standard
Chartered,
VR,
1.456%,
1/14/27 (1)(8)
10,354
9,077
Standard
Chartered,
VR,
2.608%,
1/12/28 (1)(8)
17,245
15,266
Standard
Chartered,
VR,
2.819%,
1/30/26 (1)(8)
16,707
15,721
Standard
Chartered,
VR,
3.971%,
3/30/26 (1)(8)
10,485
10,118
Standard
Chartered,
VR,
4.644%,
4/1/31 (1)(8)(9)
36,236
34,178
Toronto-Dominion
Bank,
4.456%,
6/8/32 (9)
3,105
3,045
T.
ROWE
PRICE
New
Income
Fund
9
Par/Shares
$
Value
(Amounts
in
000s)
Truist
Financial,
VR,
4.123%,
6/6/28 (8)
19,620
19,247
UBS
Group,
VR,
1.364%,
1/30/27 (1)(8)
14,633
12,920
UBS
Group,
VR,
2.746%,
2/11/33 (1)(8)
13,590
10,929
UBS
Group,
VR,
4.751%,
5/12/28 (1)(8)
4,085
4,000
Wells
Fargo,
4.30%,
7/22/27
11,645
11,454
Wells
Fargo,
VR,
2.393%,
6/2/28 (8)(9)
31,245
27,917
Wells
Fargo,
VR,
2.572%,
2/11/31 (8)
52,585
44,742
Wells
Fargo,
VR,
2.879%,
10/30/30 (8)(9)
53,562
46,952
Wells
Fargo,
VR,
4.478%,
4/4/31 (8)
15,936
15,306
1,601,407
Brokerage
Asset
Managers
Exchanges
0.4%
Charles
Schwab,
2.90%,
3/3/32
3,570
3,153
Intercontinental
Exchange,
4.60%,
3/15/33
9,655
9,565
LSEGA
Financing,
2.00%,
4/6/28 (1)
41,724
36,391
LSEGA
Financing,
2.50%,
4/6/31 (1)
14,998
12,902
LSEGA
Financing,
3.20%,
4/6/41 (1)(9)
6,705
5,333
67,344
Finance
Companies
0.5%
AerCap
Ireland
Capital,
2.45%,
10/29/26
18,080
15,970
AerCap
Ireland
Capital,
3.00%,
10/29/28
9,075
7,698
AerCap
Ireland
Capital,
3.30%,
1/30/32
4,390
3,534
AerCap
Ireland
Capital,
3.50%,
1/15/25
3,935
3,769
AerCap
Ireland
Capital,
4.875%,
1/16/24
29,186
29,007
AerCap
Ireland
Capital,
6.50%,
7/15/25
4,365
4,477
SMBC
Aviation
Capital
Finance,
3.55%,
4/15/24 (1)
14,765
14,335
78,790
Insurance
0.9%
AIA
Group,
3.90%,
4/6/28 (1)
40,868
39,705
Aon,
2.80%,
5/15/30
3,635
3,168
Berkshire
Hathaway
Finance,
2.50%,
1/15/51
13,080
8,972
CNO
Financial
Group,
5.25%,
5/30/25
9,438
9,473
Corebridge
Financial,
3.90%,
4/5/32 (1)
3,540
3,179
Equitable
Holdings,
4.35%,
4/20/28
36,732
36,069
Humana,
2.15%,
2/3/32
3,945
3,197
Humana,
3.70%,
3/23/29
6,040
5,704
Humana,
3.95%,
3/15/27
6,075
5,897
Humana,
4.875%,
4/1/30
17,913
18,038
Marsh
&
McLennan,
2.25%,
11/15/30
8,918
7,606
UnitedHealth
Group,
2.90%,
5/15/50
2,535
1,868
142,876
Real
Estate
Investment
Trusts
1.2%
Alexandria
Real
Estate
Equities,
3.95%,
1/15/27
25,607
25,038
Alexandria
Real
Estate
Equities,
3.95%,
1/15/28 (9)
15,766
15,167
Brixmor
Operating
Partnership,
3.90%,
3/15/27
30,217
28,624
Brixmor
Operating
Partnership,
4.05%,
7/1/30
3,745
3,329
Brixmor
Operating
Partnership,
4.125%,
6/15/26
55,609
53,905
T.
ROWE
PRICE
New
Income
Fund
10
Par/Shares
$
Value
(Amounts
in
000s)
Essex
Portfolio,
1.65%,
1/15/31
10,099
7,833
Essex
Portfolio,
3.625%,
5/1/27 (9)
5,006
4,785
Extra
Space
Storage,
2.35%,
3/15/32
26,250
20,660
Highwoods
Realty,
4.125%,
3/15/28
17,404
16,394
Highwoods
Realty,
4.20%,
4/15/29
11,839
10,965
Realty
Income,
3.95%,
8/15/27 (9)
10,020
9,765
Regency
Centers,
4.125%,
3/15/28
9,817
9,429
205,894
Total
Financial
Institutions
2,096,311
INDUSTRIAL
13.8%
Basic
Industry
0.5%
Anglo
American
Capital,
4.125%,
9/27/22 (1)
10,182
10,178
Avient,
7.125%,
8/1/30 (1)
1,800
1,775
Celanese
U.S.
Holdings,
6.05%,
3/15/25
10,305
10,342
Celanese
U.S.
Holdings,
6.165%,
7/15/27
11,105
11,125
Celulosa
Arauco
y
Constitucion,
3.875%,
11/2/27 (9)
20,227
18,674
Ecolab,
4.80%,
3/24/30
1,388
1,429
Methanex,
5.125%,
10/15/27 (9)
9,230
8,399
Nucor,
3.125%,
4/1/32
3,535
3,101
Sherwin-Williams,
2.95%,
8/15/29
3,540
3,177
Westlake,
1.625%,
7/17/29
(EUR)
11,421
9,174
77,374
Capital
Goods
0.3%
Boral
Finance,
3.00%,
11/1/22 (1)(9)
5,545
5,532
Boral
Finance,
3.75%,
5/1/28 (1)
13,160
12,150
Martin
Marietta
Materials,
2.40%,
7/15/31
3,940
3,257
Parker-Hannifin,
4.25%,
9/15/27
9,625
9,540
Parker-Hannifin,
4.50%,
9/15/29
6,555
6,458
Waste
Connections,
4.20%,
1/15/33
9,635
9,251
46,188
Communications
3.1%
Altice
France,
5.50%,
1/15/28 (1)
10,315
8,523
CCO
Holdings,
6.375%,
9/1/29 (1)(9)
8,250
8,013
Charter
Communications
Operating,
2.25%,
1/15/29
12,175
10,010
Charter
Communications
Operating,
2.80%,
4/1/31
4,070
3,289
Charter
Communications
Operating,
5.125%,
7/1/49
7,698
6,232
Charter
Communications
Operating,
6.484%,
10/23/45
5,555
5,334
Comcast,
2.887%,
11/1/51
19,220
13,512
Comcast,
3.25%,
11/1/39
22,623
18,440
Crown
Castle,
2.10%,
4/1/31
3,955
3,151
Crown
Castle,
2.90%,
3/15/27
4,860
4,501
Crown
Castle
Towers,
3.663%,
5/15/25 (1)
50,986
50,359
Magallanes,
3.755%,
3/15/27 (1)
20,840
19,469
Magallanes,
4.054%,
3/15/29 (1)
9,190
8,368
Magallanes,
4.279%,
3/15/32 (1)
3,555
3,077
T.
ROWE
PRICE
New
Income
Fund
11
Par/Shares
$
Value
(Amounts
in
000s)
Netflix,
4.625%,
5/15/29
(EUR)
13,335
13,148
NTT
Finance,
1.591%,
4/3/28 (1)(9)
26,137
22,597
NTT
Finance,
2.065%,
4/3/31 (1)
3,650
3,058
Rogers
Communications,
3.20%,
3/15/27 (1)
6,654
6,324
Rogers
Communications,
3.80%,
3/15/32 (1)
10,375
9,416
Rogers
Communications,
4.55%,
3/15/52 (1)
5,020
4,405
SBA
Tower
Trust,
1.84%,
4/15/27 (1)
21,685
18,862
SBA
Tower
Trust,
2.593%,
10/15/31 (1)
17,515
14,378
T-Mobile
USA,
2.05%,
2/15/28
12,155
10,536
T-Mobile
USA,
2.70%,
3/15/32 (9)
3,680
3,066
T-Mobile
USA,
3.75%,
4/15/27
79,092
75,557
Verizon
Communications,
2.10%,
3/22/28 (9)
12,383
10,937
Verizon
Communications,
2.355%,
3/15/32
21,941
17,890
Verizon
Communications,
2.55%,
3/21/31 (9)
10,940
9,196
Verizon
Communications,
2.65%,
11/20/40
37,223
26,723
Verizon
Communications,
2.875%,
11/20/50
42,403
29,035
Verizon
Communications,
2.987%,
10/30/56
12,890
8,656
Vodafone
Group,
4.375%,
5/30/28
27,950
27,529
Vodafone
Group,
4.875%,
6/19/49
3,886
3,459
Vodafone
Group,
5.00%,
5/30/38
17,214
16,309
Vodafone
Group,
5.25%,
5/30/48
11,713
10,935
504,294
Consumer
Cyclical
2.0%
Aptiv,
3.10%,
12/1/51
3,545
2,247
AutoZone,
4.75%,
8/1/32
3,360
3,340
Bath
&
Body
Works,
6.625%,
10/1/30 (1)
17,135
15,550
Ford
Motor,
6.10%,
8/19/32
9,230
9,000
Ford
Motor,
9.625%,
4/22/30
4,100
4,784
Ford
Motor
Credit,
4.95%,
5/28/27
1,705
1,606
General
Motors,
4.20%,
10/1/27 (9)
3,675
3,528
General
Motors,
5.60%,
10/15/32
3,275
3,151
General
Motors
Financial,
4.00%,
10/6/26
20,869
20,090
General
Motors
Financial,
4.30%,
7/13/25
8,846
8,728
General
Motors
Financial,
4.30%,
4/6/29
15,025
13,882
General
Motors
Financial,
4.35%,
4/9/25
20,528
20,278
General
Motors
Financial,
5.10%,
1/17/24
27,464
27,632
GLP
Capital,
3.35%,
9/1/24
6,162
5,878
Home
Depot,
2.375%,
3/15/51 (9)
12,383
8,200
Hyundai
Capital
America,
1.80%,
10/15/25 (1)(9)
11,183
10,166
Hyundai
Capital
America,
2.10%,
9/15/28 (1)(9)
16,150
13,406
Las
Vegas
Sands,
3.50%,
8/18/26
10,677
9,584
Lowe's,
3.35%,
4/1/27
1,675
1,615
Lowe's,
3.75%,
4/1/32 (9)
10,490
9,682
Marriott
International,
3.75%,
3/15/25
11,053
10,895
Marriott
International,
3.75%,
10/1/25
3,043
2,974
Marriott
International,
Series
EE,
5.75%,
5/1/25
4,435
4,566
T.
ROWE
PRICE
New
Income
Fund
12
Par/Shares
$
Value
(Amounts
in
000s)
Marriott
International,
Series
HH,
2.85%,
4/15/31
3,905
3,251
O'Reilly
Automotive,
4.70%,
6/15/32
3,345
3,314
Ross
Stores,
1.875%,
4/15/31 (9)
20,720
16,498
Starbucks,
3.00%,
2/14/32 (9)
3,590
3,149
TJX,
1.60%,
5/15/31 (9)
9,297
7,465
Volkswagen
Bank,
2.50%,
7/31/26
(EUR)
20,000
19,272
Volkswagen
Group
of
America
Finance,
1.625%,
11/24/27 (1)
6,720
5,713
Volkswagen
Group
of
America
Finance,
3.20%,
9/26/26 (1)(9)
15,868
15,092
Volkswagen
Group
of
America
Finance,
4.60%,
6/8/29 (1)
8,145
7,860
Volkswagen
Group
of
America
Finance,
4.75%,
11/13/28 (1)
21,055
20,648
Yum!
Brands,
5.375%,
4/1/32
9,270
8,528
321,572
Consumer
Non-Cyclical
3.5%
AbbVie,
2.95%,
11/21/26
50,782
47,844
AbbVie,
3.20%,
11/21/29
18,145
16,544
AbbVie,
4.05%,
11/21/39
12,709
11,162
AbbVie,
4.25%,
11/21/49
13,924
12,272
AbbVie,
4.70%,
5/14/45
27,592
25,692
AbbVie,
4.875%,
11/14/48
27,641
26,826
Anheuser-Busch
InBev
Worldwide,
4.50%,
6/1/50 (9)
23,575
21,396
Astrazeneca
Finance,
1.75%,
5/28/28
15,129
13,365
BAT
Capital,
3.557%,
8/15/27
39,483
36,206
BAT
Capital,
4.742%,
3/16/32 (9)
3,295
2,971
BAT
International
Finance,
1.668%,
3/25/26
21,719
19,318
Becton
Dickinson
&
Company,
1.957%,
2/11/31
25,674
20,978
Becton
Dickinson
&
Company,
2.823%,
5/20/30
10,263
9,059
Becton
Dickinson
&
Company,
3.70%,
6/6/27
58,991
57,166
Becton
Dickinson
&
Company,
3.794%,
5/20/50
7,995
6,625
Becton
Dickinson
&
Company,
4.669%,
6/6/47
14,362
13,678
Cardinal
Health,
4.50%,
11/15/44 (9)
4,360
3,737
Cardinal
Health,
4.90%,
9/15/45 (9)
5,050
4,561
Cigna,
3.40%,
3/1/27
2,141
2,039
CSL
Finance,
4.05%,
4/27/29 (1)
9,480
9,219
CSL
Finance,
4.25%,
4/27/32 (1)
8,335
8,120
CVS
Health,
3.25%,
8/15/29 (9)
3,360
3,073
CVS
Health,
5.05%,
3/25/48
34,959
33,687
Darling
Ingredients,
6.00%,
6/15/30 (1)
1,915
1,915
Eli
Lilly,
2.25%,
5/15/50 (9)
6,455
4,435
Hasbro,
3.55%,
11/19/26 (9)
11,507
10,991
HCA,
3.125%,
3/15/27 (1)
8,360
7,720
HCA,
3.375%,
3/15/29 (1)
9,695
8,604
HCA,
3.50%,
9/1/30
3,445
3,010
HCA,
5.375%,
9/1/26
4,455
4,483
HCA,
5.875%,
2/15/26
20,542
20,978
Mondelez
International,
2.75%,
4/13/30 (9)
4,464
3,949
Mondelez
International,
3.00%,
3/17/32 (9)
3,565
3,128
T.
ROWE
PRICE
New
Income
Fund
13
Par/Shares
$
Value
(Amounts
in
000s)
Mozart
Debt
Merger
Sub,
3.875%,
4/1/29 (1)
17,720
14,973
PerkinElmer,
1.90%,
9/15/28
13,950
11,804
PerkinElmer,
2.25%,
9/15/31
7,580
6,068
PerkinElmer,
3.30%,
9/15/29
9,984
8,906
Reynolds
American,
4.45%,
6/12/25
35,794
35,420
Tenet
Healthcare,
6.125%,
6/15/30 (1)
2,090
2,001
Teva
Pharmaceutical
Finance
Netherlands
III,
7.125%,
1/31/25
3,840
3,802
Utah
Acquisition
Sub,
3.95%,
6/15/26
26,418
24,793
582,518
Energy
3.5%
Aker
BP,
2.875%,
1/15/26 (1)
7,042
6,573
Boardwalk
Pipelines,
3.40%,
2/15/31
17,281
14,631
Boardwalk
Pipelines,
4.45%,
7/15/27
30,749
29,511
Boardwalk
Pipelines,
4.95%,
12/15/24 (9)
9,720
9,780
Boardwalk
Pipelines,
5.95%,
6/1/26
11,000
11,342
Cheniere
Corpus
Christi
Holdings,
3.70%,
11/15/29
21,773
20,004
Cheniere
Corpus
Christi
Holdings,
5.125%,
6/30/27
6,741
6,724
Cheniere
Corpus
Christi
Holdings,
7.00%,
6/30/24
13,836
14,182
Cheniere
Energy,
4.625%,
10/15/28
22,665
21,758
Diamondback
Energy,
3.25%,
12/1/26
25,462
24,444
Energy
Transfer,
2.90%,
5/15/25
8,447
8,004
Energy
Transfer,
4.20%,
4/15/27
2,658
2,548
Energy
Transfer,
4.25%,
4/1/24
13,866
13,710
Energy
Transfer,
4.50%,
4/15/24
6,284
6,268
Energy
Transfer,
5.875%,
1/15/24
13,657
13,811
Energy
Transfer,
6.00%,
6/15/48
29,736
28,398
Energy
Transfer,
6.25%,
4/15/49
3,985
3,925
Eni,
Series
X-R,
4.75%,
9/12/28 (1)
30,079
29,753
Enterprise
Products
Operating,
2.80%,
1/31/30
3,635
3,199
Gray
Oak
Pipeline,
2.00%,
9/15/23 (1)
2,100
2,047
Gray
Oak
Pipeline,
2.60%,
10/15/25 (1)
6,556
6,012
Gray
Oak
Pipeline,
3.45%,
10/15/27 (1)
2,741
2,490
MPLX,
4.95%,
9/1/32
3,275
3,185
Occidental
Petroleum,
8.00%,
7/15/25
14,410
15,653
Occidental
Petroleum,
8.50%,
7/15/27 (9)
9,330
10,403
Occidental
Petroleum,
8.875%,
7/15/30
11,375
13,252
Sabine
Pass
Liquefaction,
4.50%,
5/15/30
4,495
4,298
Sabine
Pass
Liquefaction,
5.00%,
3/15/27
71,542
71,453
Sabine
Pass
Liquefaction,
5.75%,
5/15/24
6,817
6,914
Sabine
Pass
Liquefaction,
5.875%,
6/30/26
14,711
15,161
Targa
Resources,
4.95%,
4/15/52
1,477
1,278
Targa
Resources
Partners,
5.50%,
3/1/30
5,557
5,404
Targa
Resources
Partners,
6.875%,
1/15/29
6,175
6,329
Transcontinental
Gas
Pipe
Line,
3.25%,
5/15/30
7,309
6,537
Transcontinental
Gas
Pipe
Line,
4.00%,
3/15/28
10,600
10,192
Transcontinental
Gas
Pipe
Line,
4.60%,
3/15/48
2,806
2,565
T.
ROWE
PRICE
New
Income
Fund
14
Par/Shares
$
Value
(Amounts
in
000s)
Venture
Global
Calcasieu
Pass,
3.875%,
11/1/33 (1)
8,505
7,059
Williams,
2.60%,
3/15/31
29,160
24,268
Williams,
3.75%,
6/15/27 (9)
7,096
6,839
Woodside
Finance,
3.65%,
3/5/25 (1)
12,830
12,462
Woodside
Finance,
3.70%,
9/15/26 (1)
41,929
40,199
Woodside
Finance,
3.70%,
3/15/28 (1)
34,813
32,246
574,811
Technology
0.6%
Alphabet,
2.05%,
8/15/50
22,095
14,550
Apple,
2.40%,
8/20/50 (9)
4,660
3,228
Broadcom,
4.11%,
9/15/28
3,360
3,195
Central
Parent,
7.25%,
6/15/29 (1)(9)
3,570
3,409
Entegris
Escrow,
5.95%,
6/15/30 (1)(9)
6,830
6,523
Fiserv,
3.50%,
7/1/29
3,530
3,238
Micron
Technology,
4.185%,
2/15/27
6,615
6,466
NXP,
2.70%,
5/1/25
2,279
2,172
NXP,
3.15%,
5/1/27
4,632
4,315
NXP,
5.35%,
3/1/26
10,055
10,228
Oracle,
2.30%,
3/25/28
12,072
10,498
Sensata
Technologies,
5.875%,
9/1/30 (1)(9)
4,690
4,590
Visa,
2.00%,
8/15/50 (9)
21,201
13,866
Workday,
3.50%,
4/1/27
4,940
4,719
Workday,
3.70%,
4/1/29
3,910
3,672
94,669
Transportation
0.3%
Mileage
Plus
Holdings,
6.50%,
6/20/27 (1)
18,492
18,538
Transurban
Finance,
2.45%,
3/16/31 (1)(9)
12,184
9,932
Transurban
Finance,
3.375%,
3/22/27 (1)(9)
10,230
9,654
United
Airlines
PTT,
Series
2019-2,
Class
A,
2.90%,
5/1/28
7,288
6,056
United
Airlines
PTT,
Series
2019-2,
Class
AA,
2.70%,
5/1/32
4,538
3,831
48,011
Total
Industrial
2,249,437
UTILITY
2.0%
Electric
1.9%
Ausgrid
Finance,
3.85%,
5/1/23 (1)
14,852
14,795
Ausgrid
Finance,
4.35%,
8/1/28 (1)
23,381
22,448
Duke
Energy,
4.50%,
8/15/32
34,640
33,340
Edison
International,
4.95%,
4/15/25
1,409
1,412
Enel
Finance
International,
1.875%,
7/12/28 (1)
18,162
14,941
Enel
Finance
International,
2.25%,
7/12/31 (1)(9)
23,114
17,509
Enel
Finance
International,
3.50%,
4/6/28 (1)(9)
11,261
10,210
NextEra
Energy
Capital
Holdings,
2.44%,
1/15/32
20,625
17,144
NextEra
Energy
Capital
Holdings,
3.00%,
1/15/52 (9)
18,905
13,531
NextEra
Energy
Capital
Holdings,
5.00%,
7/15/32
3,010
3,061
NRG
Energy,
4.45%,
6/15/29 (1)
12,942
11,713
T.
ROWE
PRICE
New
Income
Fund
15
Par/Shares
$
Value
(Amounts
in
000s)
Pacific
Gas
&
Electric,
2.10%,
8/1/27
10,318
8,726
Pacific
Gas
&
Electric,
2.50%,
2/1/31
20,828
15,933
Pacific
Gas
&
Electric,
3.95%,
12/1/47 (9)
10,551
7,334
Pacific
Gas
&
Electric,
4.55%,
7/1/30
13,652
12,108
Southern
California
Edison,
Series
D,
4.70%,
6/1/27
12,650
12,670
Vistra,
VR,
8.00% (1)(8)(10)
9,640
9,254
Vistra
Operations,
3.55%,
7/15/24 (1)
44,076
42,423
Vistra
Operations,
4.375%,
5/1/29 (1)
8,695
7,576
Vistra
Operations,
5.125%,
5/13/25 (1)
17,905
17,815
Xcel
Energy,
4.60%,
6/1/32 (9)
6,250
6,181
300,124
Natural
Gas
0.1%
APA
Infrastructure,
4.25%,
7/15/27 (1)
4,605
4,453
Sempra
Energy,
3.70%,
4/1/29
5,155
4,808
Sempra
Energy,
3.80%,
2/1/38
8,243
7,084
16,345
Total
Utility
316,469
Total
Corporate
Bonds
(Cost
$5,180,298)
4,662,217
FOREIGN
GOVERNMENT
OBLIGATIONS
&
MUNICIPALITIES
0.1%
Owned
No
Guarantee
0.1%
NBN,
2.625%,
5/5/31 (1)
16,981
14,350
Total
Foreign
Government
Obligations
&
Municipalities
(Cost
$16,973)
14,350
NON-U.S.
GOVERNMENT
MORTGAGE-BACKED
SECURITIES
7.9%
Collateralized
Mortgage
Obligations
4.2%
Angel
Oak
Mortgage
Trust
Series
2021-3,
Class
A1,
CMO,
ARM
1.068%,
5/25/66 (1)
9,805
8,700
Angel
Oak
Mortgage
Trust
Series
2021-4,
Class
A3,
CMO,
ARM
1.446%,
1/20/65 (1)
5,668
4,675
Angel
Oak
Mortgage
Trust
I
Series
2019-1,
Class
A1,
CMO,
ARM
3.92%,
11/25/48 (1)
1,158
1,151
Angel
Oak
Mortgage
Trust
I
Series
2019-1,
Class
A2,
CMO,
ARM
4.022%,
11/25/48 (1)
445
443
Barclays
Mortgage
Loan
Trust
Series
2021-NQM1,
Class
A1,
CMO,
ARM
1.747%,
9/25/51 (1)
6,147
5,674
T.
ROWE
PRICE
New
Income
Fund
16
Par/Shares
$
Value
(Amounts
in
000s)
BINOM
Securitization
Trust
Series
2021-INV1,
Class
A1,
CMO,
ARM
2.034%,
6/25/56 (1)
11,234
10,245
Citigroup
Mortgage
Loan
Trust
Series
2022-INV1,
Class
A4B,
CMO,
ARM
3.00%,
11/27/51 (1)
8,120
7,086
COLT
Mortgage
Loan
Trust
Series
2020-3,
Class
A1,
CMO,
ARM
1.506%,
4/27/65 (1)
2,486
2,392
COLT
Mortgage
Loan
Trust
Series
2021-1,
Class
A1,
CMO,
ARM
0.91%,
6/25/66 (1)
15,903
13,901
COLT
Mortgage
Loan
Trust
Series
2021-6,
Class
A1,
CMO,
ARM
1.907%,
12/25/66 (1)
13,216
11,870
Connecticut
Avenue
Securities
Series
2016-C05,
Class
2M2,
CMO,
ARM
1M
USD
LIBOR
+
4.45%,
6.894%,
1/25/29
6,993
7,222
Connecticut
Avenue
Securities
Series
2017-C02,
Class
2ED3,
CMO,
ARM
1M
USD
LIBOR
+
1.35%,
3.794%,
9/25/29
1,589
1,586
Connecticut
Avenue
Securities
Series
2017-C04,
Class
2ED2,
CMO,
ARM
1M
USD
LIBOR
+
1.10%,
3.544%,
11/25/29
24,893
24,746
Connecticut
Avenue
Securities
Series
2017-C06,
Class
2ED1,
CMO,
ARM
1M
USD
LIBOR
+
1.00%,
3.444%,
2/25/30
618
615
Connecticut
Avenue
Securities
Series
2021-R03,
Class
1M2,
CMO,
ARM
SOFR30A
+
1.65%,
3.833%,
12/25/41 (1)
11,825
11,113
Connecticut
Avenue
Securities
Series
2022-R01,
Class
1M2,
CMO,
ARM
SOFR30A
+
1.90%,
4.083%,
12/25/41 (1)
19,620
18,303
Connecticut
Avenue
Securities
Trust
Series
2022-R01,
Class
1M1,
CMO,
ARM
SOFR30A
+
1.00%,
3.183%,
12/25/41 (1)
7,131
7,044
Connecticut
Avenue
Securities
Trust
Series
2022-R02,
Class
2M1,
CMO,
ARM
SOFR30A
+
1.20%,
3.383%,
1/25/42 (1)
38,032
37,772
Connecticut
Avenue
Securities
Trust
Series
2022-R03,
Class
1M1,
CMO,
ARM
SOFR30A
+
2.10%,
4.283%,
3/25/42 (1)
23,682
23,671
Connecticut
Avenue
Securities
Trust
Series
2022-R04,
Class
1M1,
CMO,
ARM
SOFR30A
+
2.00%,
4.183%,
3/25/42 (1)
15,675
15,658
Deephaven
Residential
Mortgage
Trust
Series
2021-2,
Class
A1,
CMO,
ARM
0.899%,
4/25/66 (1)
7,864
6,887
T.
ROWE
PRICE
New
Income
Fund
17
Par/Shares
$
Value
(Amounts
in
000s)
Ellington
Financial
Mortgage
Trust
Series
2021-3,
Class
A1,
CMO,
ARM
1.241%,
9/25/66 (1)
11,679
9,987
Flagstar
Mortgage
Trust
Series
2018-6RR,
Class
2A4,
CMO,
ARM
4.00%,
9/25/48 (1)
1,470
1,433
Flagstar
Mortgage
Trust
Series
2020-1INV,
Class
A11,
CMO,
ARM
1M
USD
LIBOR
+
0.85%,
3.294%,
3/25/50 (1)
4,206
3,966
Flagstar
Mortgage
Trust
Series
2021-5INV,
Class
A16,
CMO,
ARM
2.50%,
7/25/51 (1)
10,475
8,621
Flagstar
Mortgage
Trust
Series
2021-8INV,
Class
A18,
CMO,
ARM
2.50%,
9/25/51 (1)
9,593
7,896
FWD
Securitization
Trust
Series
2020-INV1,
Class
A3,
CMO,
ARM
2.44%,
1/25/50 (1)
1,417
1,347
Galton
Funding
Mortgage
Trust
Series
2018-1,
Class
A23,
CMO,
ARM
3.50%,
11/25/57 (1)
1,032
973
Galton
Funding
Mortgage
Trust
Series
2018-2,
Class
A22,
CMO,
ARM
4.00%,
10/25/58 (1)
2,424
2,351
Galton
Funding
Mortgage
Trust
Series
2018-2,
Class
A31,
CMO,
ARM
4.50%,
10/25/58 (1)
1,192
1,159
Galton
Funding
Mortgage
Trust
Series
2019-1,
Class
A22,
CMO,
ARM
4.00%,
2/25/59 (1)
692
678
GCAT
Trust
Series
2022-INV1,
Class
A26,
CMO,
ARM
3.00%,
12/25/51 (1)
9,410
8,042
GS
Mortgage-Backed
Securities
Trust
Series
2014-EB1A,
Class
2A1,
CMO,
ARM
1.945%,
7/25/44 (1)
482
482
GS
Mortgage-Backed
Securities
Trust
Series
2020-INV1,
Class
A14,
CMO,
ARM
2.942%,
10/25/50 (1)
18,293
16,204
GS
Mortgage-Backed
Securities
Trust
Series
2021-PJ6,
Class
A4,
CMO,
ARM
2.50%,
11/25/51 (1)
11,038
9,226
GS
Mortgage-Backed
Securities
Trust
Series
2021-PJ6,
Class
A8,
CMO,
ARM
2.50%,
11/25/51 (1)
18,291
16,394
Imperial
Fund
Mortgage
Trust
Series
2021-NQM2,
Class
A1,
CMO,
ARM
1.073%,
9/25/56 (1)
13,582
11,359
T.
ROWE
PRICE
New
Income
Fund
18
Par/Shares
$
Value
(Amounts
in
000s)
JPMorgan
Mortgage
Trust
Series
2019-INV3,
Class
A3,
CMO,
ARM
3.50%,
5/25/50 (1)
5,543
5,218
JPMorgan
Mortgage
Trust
Series
2020-INV1,
Class
A11,
CMO,
ARM
1M
USD
LIBOR
+
0.83%,
3.089%,
8/25/50 (1)
2,758
2,636
JPMorgan
Mortgage
Trust
Series
2020-INV1,
Class
A3,
CMO,
ARM
3.50%,
8/25/50 (1)
4,664
4,369
JPMorgan
Mortgage
Trust
Series
2020-LTV1,
Class
A15,
CMO,
ARM
3.50%,
6/25/50 (1)
591
580
JPMorgan
Mortgage
Trust
Series
2020-LTV1,
Class
A3,
CMO,
ARM
3.50%,
6/25/50 (1)
1,463
1,432
Mello
Mortgage
Capital
Acceptance
Series
2021-INV3,
Class
A15,
CMO,
ARM
2.50%,
10/25/51 (1)
9,424
7,756
New
Residential
Mortgage
Loan
Trust
Series
2019-NQM5,
Class
A1,
CMO,
ARM
2.71%,
11/25/59 (1)
5,441
5,134
New
Residential
Mortgage
Loan
Trust
Series
2021-INV1,
Class
A4,
CMO,
ARM
2.50%,
6/25/51 (1)
6,503
5,352
New
Residential
Mortgage
Loan
Trust
Series
2021-INV1,
Class
A6,
CMO,
ARM
2.50%,
6/25/51 (1)
15,978
14,392
New
Residential
Mortgage
Loan
Trust
Series
2021-INV2,
Class
A2,
CMO,
ARM
2.50%,
9/25/51 (1)
15,482
13,130
New
Residential
Mortgage
Loan
Trust
Series
2021-INV2,
Class
A4,
CMO,
ARM
2.50%,
9/25/51 (1)
12,009
9,884
OBX
Trust
Series
2019-EXP2,
Class
1A3,
CMO,
ARM
4.00%,
6/25/59 (1)
4,583
4,318
OBX
Trust
Series
2019-EXP3,
Class
1A8,
CMO,
ARM
3.50%,
10/25/59 (1)
2,762
2,624
OBX
Trust
Series
2019-INV2,
Class
A25,
CMO,
ARM
4.00%,
5/27/49 (1)
1,146
1,104
OBX
Trust
Series
2019-INV2,
Class
A5,
CMO,
ARM
4.00%,
5/27/49 (1)
3,103
2,988
OBX
Trust
Series
2020-EXP1,
Class
1A8,
CMO,
ARM
3.50%,
2/25/60 (1)
7,955
7,396
T.
ROWE
PRICE
New
Income
Fund
19
Par/Shares
$
Value
(Amounts
in
000s)
OBX
Trust
Series
2021-NQM1,
Class
A1,
CMO,
ARM
1.072%,
2/25/66 (1)
9,555
8,524
OBX
Trust
Series
2021-NQM3,
Class
A1,
CMO,
ARM
1.054%,
7/25/61 (1)
11,096
9,133
Sequoia
Mortgage
Trust
Series
2018-CH1,
Class
A2,
CMO,
ARM
3.50%,
3/25/48 (1)
1,031
972
Sequoia
Mortgage
Trust
Series
2018-CH2,
Class
A3,
CMO,
ARM
4.00%,
6/25/48 (1)
3,512
3,405
Sequoia
Mortgage
Trust
Series
2018-CH3,
Class
A2,
CMO,
ARM
4.00%,
8/25/48 (1)
1,141
1,127
Sequoia
Mortgage
Trust
Series
2018-CH4,
Class
A2,
CMO,
ARM
4.00%,
10/25/48 (1)
1,134
1,121
SG
Residential
Mortgage
Trust
Series
2019-3,
Class
A1,
CMO,
ARM
2.703%,
9/25/59 (1)
957
933
SG
Residential
Mortgage
Trust
Series
2022-1,
Class
A1,
CMO,
ARM
3.166%,
3/27/62 (1)
17,267
16,135
Starwood
Mortgage
Residential
Trust
Series
2021-3,
Class
A1,
CMO,
ARM
1.127%,
6/25/56 (1)
6,423
5,270
Starwood
Mortgage
Residential
Trust
Series
2021-4,
Class
A2,
CMO,
ARM
1.369%,
8/25/56 (1)
13,743
12,174
Structured
Agency
Credit
Risk
Debt
Notes
Series
2021-DNA2,
Class
M2,
CMO,
ARM
SOFR30A
+
2.30%,
4.483%,
8/25/33 (1)
9,106
8,970
Structured
Agency
Credit
Risk
Debt
Notes
Series
2021-DNA7,
Class
M2,
CMO,
ARM
SOFR30A
+
1.80%,
3.983%,
11/25/41 (1)
22,435
21,089
Structured
Agency
Credit
Risk
Debt
Notes
Series
2022-DNA1,
Class
M1B,
CMO,
ARM
SOFR30A
+
1.85%,
4.033%,
1/25/42 (1)
18,780
18,004
Structured
Agency
Credit
Risk
Debt
Notes
Series
2022-DNA2,
Class
M1B,
CMO,
ARM
SOFR30A
+
2.40%,
4.583%,
2/25/42 (1)
46,570
45,411
Structured
Agency
Credit
Risk
Debt
Notes
Series
2022-DNA3,
Class
M1A,
CMO,
ARM
SOFR30A
+
2.00%,
4.183%,
4/25/42 (1)
18,216
18,310
Structured
Agency
Credit
Risk
Debt
Notes
Series
2022-DNA5,
Class
M1A,
CMO,
ARM
SOFR30A
+
2.95%,
5.133%,
6/25/42 (1)
29,088
29,794
T.
ROWE
PRICE
New
Income
Fund
20
Par/Shares
$
Value
(Amounts
in
000s)
Towd
Point
Mortgage
Trust
Series
2016-1,
Class
A3B,
CMO,
ARM
3.00%,
2/25/55 (1)
257
256
Towd
Point
Mortgage
Trust
Series
2017-1,
Class
A1,
CMO,
ARM
2.75%,
10/25/56 (1)
1,846
1,830
Towd
Point
Mortgage
Trust
Series
2017-2,
Class
A1,
CMO,
ARM
2.75%,
4/25/57 (1)
751
745
Towd
Point
Mortgage
Trust
Series
2017-5,
Class
A1,
CMO,
ARM
1M
USD
LIBOR
+
0.60%,
3.044%,
2/25/57 (1)
3,014
2,988
Verus
Securitization
Trust
Series
2019-4,
Class
A1,
CMO,
STEP
2.642%,
11/25/59 (1)
2,744
2,694
Verus
Securitization
Trust
Series
2019-4,
Class
M1,
CMO,
ARM
3.207%,
11/25/59 (1)
5,200
4,905
Verus
Securitization
Trust
Series
2019-INV2,
Class
A3,
CMO,
ARM
3.219%,
7/25/59 (1)
4,880
4,853
Verus
Securitization
Trust
Series
2019-INV3,
Class
A3,
CMO,
ARM
3.10%,
11/25/59 (1)
5,937
5,736
Verus
Securitization
Trust
Series
2020-1,
Class
A1,
CMO,
STEP
2.417%,
1/25/60 (1)
2,827
2,753
Verus
Securitization
Trust
Series
2020-2,
Class
A3,
CMO,
ARM
3.995%,
5/25/60 (1)
7,815
7,707
Verus
Securitization
Trust
Series
2020-INV1,
Class
A1,
CMO,
ARM
1.977%,
3/25/60 (1)
1,310
1,287
Verus
Securitization
Trust
Series
2022-1,
Class
A1,
CMO,
STEP
2.724%,
1/25/67 (1)
6,102
5,650
Vista
Point
Securitization
Trust
Series
2020-1,
Class
A3,
CMO,
ARM
3.201%,
3/25/65 (1)
17,346
16,981
Vista
Point
Securitization
Trust
Series
2020-2,
Class
A1,
CMO,
ARM
1.475%,
4/25/65 (1)
2,785
2,623
Wells
Fargo
Mortgage
Backed
Securities
Trust
Series
2021-RR1,
Class
A1,
CMO,
ARM
2.50%,
12/25/50 (1)
14,932
12,655
683,220
T.
ROWE
PRICE
New
Income
Fund
21
Par/Shares
$
Value
(Amounts
in
000s)
Commercial
Mortgage-Backed
Securities
3.7%
Austin
Fairmont
Hotel
Trust
Series
2019-FAIR,
Class
B,
ARM
1M
USD
LIBOR
+
1.25%,
3.641%,
9/15/32 (1)
11,890
11,593
Aventura
Mall
Trust
Series
2018-AVM,
Class
A,
ARM
4.249%,
7/5/40 (1)
39,170
37,067
BAMLL
Commercial
Mortgage-Backed
Securities
Trust
Series
2018-DSNY,
Class
A,
ARM
1M
USD
LIBOR
+
0.85%,
3.242%,
9/15/34 (1)
35,456
34,747
BANK
Series
2017-BNK8,
Class
AS
3.731%,
11/15/50
2,705
2,522
BBCMS
Mortgage
Trust
Series
2019-BWAY,
Class
D,
ARM
1M
USD
LIBOR
+
2.16%,
4.551%,
11/15/34 (1)
10,230
9,207
BX
Commercial
Mortgage
Trust
Series
2021-21M,
Class
C,
ARM
1M
USD
LIBOR
+
1.177%,
3.568%,
10/15/36 (1)
11,330
10,643
BX
Commercial
Mortgage
Trust
Series
2022-CSMO,
Class
B,
ARM
1M
TSFR
+
3.141%,
5.448%,
6/15/27 (1)
17,850
17,693
BX
Trust
Series
2021-ARIA,
Class
B,
ARM
1M
USD
LIBOR
+
1.297%,
3.688%,
10/15/36 (1)
15,280
14,401
BX
Trust
Series
2021-ARIA,
Class
C,
ARM
1M
USD
LIBOR
+
1.646%,
4.037%,
10/15/36 (1)
16,295
15,337
BX
Trust
Series
2021-LGCY,
Class
C,
ARM
1M
USD
LIBOR
+
1.004%,
3.395%,
10/15/23 (1)
13,125
12,247
BXSC
Commercial
Mortgage
Trust
Series
2022-WSS,
Class
B,
ARM
1M
TSFR
+
2.092%,
4.40%,
3/15/35 (1)
33,195
32,199
BXSC
Commercial
Mortgage
Trust
Series
2022-WSS,
Class
C,
ARM
1M
TSFR
+
2.391%,
4.699%,
3/15/35 (1)
5,815
5,612
Cantor
Commercial
Real
Estate
Lending
Series
2019-CF2,
Class
B
3.267%,
11/15/52
9,752
8,398
Citigroup
Commercial
Mortgage
Trust
Series
2013-375P,
Class
D,
ARM
3.635%,
5/10/35 (1)
14,725
13,636
Citigroup
Commercial
Mortgage
Trust
Series
2016-P4,
Class
AS
3.075%,
7/10/49
11,205
10,317
T.
ROWE
PRICE
New
Income
Fund
22
Par/Shares
$
Value
(Amounts
in
000s)
Citigroup
Commercial
Mortgage
Trust
Series
2017-P7,
Class
AS
3.915%,
4/14/50
13,479
12,748
Citigroup
Commercial
Mortgage
Trust
Series
2019-C7,
Class
805A,
ARM
3.917%,
12/15/72 (1)
12,000
9,407
Citigroup
Commercial
Mortgage
Trust
Series
2020-555,
Class
C
3.031%,
12/10/41 (1)
8,370
6,910
Citigroup
Commercial
Mortgage
Trust
Series
2020-555,
Class
D
3.233%,
12/10/41 (1)
5,500
4,405
Cold
Storage
Trust
Series
2020-ICE5,
Class
B,
ARM
1M
USD
LIBOR
+
1.30%,
3.691%,
11/15/37 (1)
11,083
10,834
Cold
Storage
Trust
Series
2020-ICE5,
Class
C,
ARM
1M
USD
LIBOR
+
1.65%,
4.041%,
11/15/37 (1)
23,705
23,112
Commercial
Mortgage
Trust
Series
2013-CR6,
Class
AM
3.147%,
3/10/46 (1)
6,715
6,664
Commercial
Mortgage
Trust
Series
2015-CR24,
Class
A5
3.696%,
8/10/48
7,340
7,176
Commercial
Mortgage
Trust
Series
2015-CR24,
Class
AM,
ARM
4.028%,
8/10/48
5,745
5,559
Commercial
Mortgage
Trust
Series
2015-LC21,
Class
AM,
ARM
4.043%,
7/10/48
21,415
20,730
CSAIL
Commercial
Mortgage
Trust
Series
2016-C5,
Class
AS
4.01%,
11/15/48
5,000
4,790
CSAIL
Commercial
Mortgage
Trust
Series
2019-C17,
Class
AS
3.278%,
9/15/52
7,433
6,496
Eleven
Madison
Mortgage
Trust
Series
2015-11MD,
Class
A,
ARM
3.673%,
9/10/35 (1)
23,679
22,564
Great
Wolf
Trust
Series
2019-WOLF,
Class
D,
ARM
1M
USD
LIBOR
+
1.933%,
4.324%,
12/15/36 (1)
18,025
17,214
GS
Mortgage
Securities
Trust
Series
2019-GC40,
Class
B
3.543%,
7/10/52
12,730
11,229
JPMorgan
Chase
Commercial
Mortgage
Securities
Trust
Series
2016-NINE,
Class
B,
ARM
2.949%,
9/6/38 (1)
11,320
10,109
T.
ROWE
PRICE
New
Income
Fund
23
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
9,699
JPMorgan
Chase
Commercial
Mortgage
Securities
Trust
Series
2018-WPT,
Class
BFX
4.549%,
7/5/33 (1)
7,620
7,493
JPMorgan
Chase
Commercial
Mortgage
Securities
Trust
Series
2018-WPT,
Class
CFX
4.95%,
7/5/33 (1)
11,395
11,192
LUXE
Trust
Series
2021-TRIP,
Class
B,
ARM
1M
USD
LIBOR
+
1.40%,
3.791%,
10/15/38 (1)
10,460
10,093
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
Series
2014-C17,
Class
B,
ARM
4.464%,
8/15/47
20,470
19,909
SLIDE
Series
2018-FUN,
Class
B,
ARM
1M
USD
LIBOR
+
1.50%,
3.891%,
6/15/31 (1)
8,867
8,756
SMRT
Series
2022-MINI,
Class
C,
ARM
1M
TSFR
+
1.55%,
3.858%,
1/15/39 (1)
20,450
19,581
UBS
Commercial
Mortgage
Trust
Series
2018-C9,
Class
AS,
ARM
4.318%,
3/15/51
7,230
6,870
VNDO
Trust
Series
2016-350P,
Class
D,
ARM
4.033%,
1/10/35 (1)
12,524
11,036
Wells
Fargo
Commercial
Mortgage
Trust
Series
2014-LC18,
Class
AS
3.808%,
12/15/47
5,860
5,628
Wells
Fargo
Commercial
Mortgage
Trust
Series
2015-C29,
Class
AS,
ARM
4.013%,
6/15/48
6,250
6,017
Wells
Fargo
Commercial
Mortgage
Trust
Series
2015-NXS2,
Class
AS,
ARM
4.121%,
7/15/58
6,215
6,018
Wells
Fargo
Commercial
Mortgage
Trust
Series
2017-C39,
Class
B
4.025%,
9/15/50
5,750
5,389
Wells
Fargo
Commercial
Mortgage
Trust
Series
2017-C41,
Class
AS,
ARM
3.785%,
11/15/50
15,000
14,004
Wells
Fargo
Commercial
Mortgage
Trust
Series
2019-JWDR,
Class
A,
ARM
2.584%,
9/15/31 (1)
26,355
23,691
Worldwide
Plaza
Trust
Series
2017-WWP,
Class
A
3.526%,
11/10/36 (1)
25,087
22,514
T.
ROWE
PRICE
New
Income
Fund
24
Par/Shares
$
Value
(Amounts
in
000s)
Worldwide
Plaza
Trust
Series
2017-WWP,
Class
C,
ARM
3.715%,
11/10/36 (1)
6,005
5,161
608,617
Other
Asset-Backed
Securities
0.0%
New
Economy
Assets
Phase
1
Sponsor
Series
2021-1,
Class
A1
1.91%,
10/20/61 (1)
6,040
5,240
5,240
Total
Non-U.S.
Government
Mortgage-Backed
Securities
(Cost
$1,393,802)
1,297,077
U.S.
GOVERNMENT
&
AGENCY
MORTGAGE-BACKED
SECURITIES
23.0%
Conventional
15
Yr
0.2%
Federal
Home
Loan
Mortgage,
UMBS
1.50%,
4/1/37
5,550
4,991
4.00%,
6/1/37
2,221
2,215
4.50%,
9/1/37
1,800
1,822
Federal
National
Mortgage
Assn.,
UMBS
1.50%,
4/1/37
-
5/1/37
21,701
19,516
4.00%,
6/1/37
4,467
4,463
33,007
Conventional
30
Yr
2.2%
Federal
Home
Loan
Mortgage,
UMBS
2.00%,
3/1/52
-
4/1/52
163,246
140,526
2.50%,
3/1/52
25,867
23,117
Federal
National
Mortgage
Assn.,
UMBS
2.00%,
5/1/51
91,181
78,551
2.50%,
3/1/52
3,525
3,173
3.00%,
3/1/50
26,310
24,647
5.00%,
8/1/52
3,290
3,328
UMBS,
TBA,
5.00%,
9/1/52 (11)
81,065
81,806
355,148
Gnma
30
Yr
1.9%
Government
National
Mortgage
Assn.
2.00%,
3/20/51
20,443
18,173
2.50%,
3/20/52
16,377
14,956
3.00%,
6/20/52
31,512
29,611
3.50%,
1/20/47
-
9/20/47
11,816
11,535
4.00%,
4/20/47
-
5/20/47
3,275
3,267
4.50%,
3/20/48
-
1/20/49
6,625
6,704
Government
National
Mortgage
Assn.,
TBA (11)
2.00%,
9/20/51
15,755
13,912
3.00%,
9/20/52
37,710
35,393
T.
ROWE
PRICE
New
Income
Fund
25
Par/Shares
$
Value
(Amounts
in
000s)
4.50%,
9/20/52
43,670
43,677
5.00%,
9/20/52
86,225
87,363
5.50%,
9/20/52
48,265
49,487
314,078
U.S.
Government
&
Agency
Mortgage-Backed
Securities
4.1%
Federal
Home
Loan
Mortgage,
UMBS
2.00%,
5/1/51
-
5/1/52
43,310
37,344
2.50%,
4/1/37
-
5/1/52
152,869
137,252
Federal
National
Mortgage
Assn.,
UMBS
1.50%,
2/1/37
-
1/1/42
54,190
47,523
2.00%,
4/1/42
-
3/1/52
336,916
290,957
2.50%,
3/1/37
-
2/1/52
153,701
141,127
3.50%,
1/1/52
17,936
17,117
671,320
U.S.
Government
Agency
Obligations
11.5%
Federal
Home
Loan
Mortgage
2.50%,
5/1/30
6,391
6,128
3.00%,
12/1/42
-
4/1/47
18,009
17,139
3.50%,
9/1/42
-
3/1/46
84,439
82,169
4.00%,
10/1/40
-
8/1/45
9,077
9,066
4.50%,
6/1/39
-
5/1/42
13,865
14,148
5.00%,
7/1/25
-
8/1/40
4,133
4,313
5.50%,
4/1/26
-
12/1/39
3,855
4,089
6.00%,
10/1/32
-
8/1/38
2,517
2,713
6.50%,
2/1/24
-
9/1/39
948
1,001
7.00%,
2/1/24
-
6/1/32
22
22
7.50%,
5/1/24
-
6/1/24
2
2
Federal
Home
Loan
Mortgage,
ARM
12M
USD
LIBOR
+
1.725%,
3.975%,
7/1/35
21
20
12M
USD
LIBOR
+
1.829%,
2.204%,
2/1/37
111
114
12M
USD
LIBOR
+
1.83%,
2.079%,
3/1/36
107
110
12M
USD
LIBOR
+
1.842%,
2.091%,
1/1/37
131
130
12M
USD
LIBOR
+
1.929%,
2.186%,
12/1/36
86
88
12M
USD
LIBOR
+
2.03%,
2.275%,
11/1/36
121
120
1Y
CMT
+
2.25%,
3.099%,
10/1/36
53
55
Federal
Home
Loan
Mortgage,
CMO,
IO,
4.50%,
5/25/50
13,175
2,064
Federal
Home
Loan
Mortgage,
CMO,
PO,
Zero
Coupon,
8/15/28
8
7
Federal
Home
Loan
Mortgage,
UMBS
2.00%,
3/1/42
-
12/1/51
68,885
59,981
2.50%,
5/1/51
-
1/1/52
66,271
59,533
3.00%,
11/1/34
-
12/1/50
14,974
14,135
3.50%,
11/1/47
-
11/1/50
14,201
13,695
4.00%,
1/1/50
-
2/1/50
21,933
21,632
4.50%,
5/1/50
3,047
3,052
Federal
National
Mortgage
Assn.
3.00%,
6/1/33
-
8/1/46
6,993
6,579
T.
ROWE
PRICE
New
Income
Fund
26
Par/Shares
$
Value
(Amounts
in
000s)
3.50%,
6/1/42
-
5/1/46
50,894
49,393
4.00%,
11/1/40
15,794
15,623
Federal
National
Mortgage
Assn.,
ARM
12M
USD
LIBOR
+
1.34%,
1.59%,
12/1/35
69
69
12M
USD
LIBOR
+
1.599%,
2.869%,
7/1/36
268
274
12M
USD
LIBOR
+
1.655%,
3.905%,
8/1/37
57
57
12M
USD
LIBOR
+
1.881%,
4.131%,
8/1/36
141
142
Federal
National
Mortgage
Assn.,
CMO,
IO,
6.50%,
2/25/32
27
5
Federal
National
Mortgage
Assn.,
UMBS
2.00%,
12/1/51
51,571
44,458
2.50%,
5/1/30
-
1/1/52
220,741
197,916
3.00%,
6/1/27
-
4/1/51
343,500
326,222
3.50%,
11/1/32
-
12/1/48
133,854
130,540
4.00%,
11/1/40
-
12/1/49
134,367
134,151
4.50%,
7/1/39
-
5/1/50
94,469
95,895
5.00%,
3/1/23
-
12/1/47
24,348
25,360
5.50%,
2/1/23
-
9/1/41
20,424
21,606
6.00%,
11/1/32
-
1/1/41
23,053
24,775
6.50%,
8/1/27
-
3/1/41
9,541
10,195
7.00%,
10/1/29
-
4/1/37
103
106
Government
National
Mortgage
Assn.
2.00%,
8/20/51
-
5/20/52
157,975
140,354
2.50%,
8/20/50
-
12/20/51
93,695
85,664
5.00%,
6/20/48
3,665
3,740
Government
National
Mortgage
Assn.,
CMO,
3.50%,
10/20/50
9,510
8,862
UMBS,
TBA (11)
2.00%,
9/1/52
119,040
102,400
2.50%,
9/1/52
87,810
78,398
4.00%,
9/1/52
11,615
11,336
4.50%,
9/1/52
51,593
51,279
1,880,925
U.S.
Government
Obligations
3.1%
Government
National
Mortgage
Assn.
2.50%,
10/20/51
105,927
96,809
3.00%,
9/15/42
-
10/20/51
143,016
135,291
3.50%,
9/15/41
-
4/20/48
133,523
130,242
4.00%,
2/20/41
-
10/20/50
54,592
54,448
4.50%,
7/15/26
-
7/20/47
20,543
21,145
5.00%,
9/15/33
-
5/20/48
40,043
41,620
5.50%,
10/20/32
-
3/20/49
19,146
20,199
6.00%,
1/20/34
-
12/20/38
2,355
2,568
6.50%,
1/15/26
-
12/15/31
51
53
7.00%,
12/20/23
-
11/20/28
16
17
7.50%,
12/15/22
-
8/15/28
47
48
8.00%,
9/15/27
-
5/15/32
126
131
8.50%,
1/15/23
-
9/20/26
1
1
T.
ROWE
PRICE
New
Income
Fund
27
Par/Shares
$
Value
(Amounts
in
000s)
Government
National
Mortgage
Assn.,
CMO
3.00%,
11/20/47
-
12/20/47
3,442
3,315
Government
National
Mortgage
Assn.,
CMO,
IO
3.50%,
5/20/43
3,280
538
4.00%,
5/20/37
-
2/20/43
4,102
377
4.50%,
12/20/39
4
—
506,802
Total
U.S.
Government
&
Agency
Mortgage-Backed
Securities
(Cost
$3,979,296)
3,761,280
U.S.
GOVERNMENT
AGENCY
OBLIGATIONS
(EXCLUDING
MORTGAGE-BACKED)
29.5%
Treasuries
11.8%
U.S.
Treasury
Bonds,
3.00%,
8/15/52 (9)
344,530
326,657
U.S.
Treasury
Notes,
2.625%,
5/31/27
217,990
211,110
U.S.
Treasury
Notes,
2.75%,
7/31/27 (9)
400,235
389,479
U.S.
Treasury
Notes,
3.00%,
7/15/25 (12)
711,855
702,401
U.S.
Treasury
Notes,
3.25%,
6/30/27 (9)
294,770
293,296
1,922,943
U.S.
Treasury
Obligations
17.7%
U.S.
Treasury
Bonds,
1.875%,
11/15/51
39,818
29,005
U.S.
Treasury
Bonds,
2.25%,
2/15/52
406,765
325,030
U.S.
Treasury
Bonds,
2.375%,
2/15/42
101,235
83,946
U.S.
Treasury
Bonds,
2.875%,
5/15/52
308,933
284,798
U.S.
Treasury
Bonds,
3.25%,
5/15/42
321,325
307,367
U.S.
Treasury
Notes,
0.125%,
2/15/24
353,690
336,945
U.S.
Treasury
Notes,
0.25%,
3/15/24 (9)
310,037
295,068
U.S.
Treasury
Notes,
0.25%,
5/15/24
537,735
509,168
U.S.
Treasury
Notes,
0.625%,
10/15/24 (9)
180,530
170,065
U.S.
Treasury
Notes,
1.00%,
12/15/24
223,520
211,366
U.S.
Treasury
Notes,
1.125%,
1/15/25
186,135
176,159
U.S.
Treasury
Notes,
1.75%,
3/15/25
177,965
170,513
2,899,430
Total
U.S.
Government
Agency
Obligations
(Excluding
Mortgage-
Backed)
(Cost
$5,030,500)
4,822,373
SHORT-TERM
INVESTMENTS
4.9%
Money
Market
Funds
4.9%
T.
Rowe
Price
Government
Reserve
Fund,
2.36% (6)(13)
799,388
799,388
Total
Short-Term
Investments
(Cost
$799,388)
799,388
T.
ROWE
PRICE
New
Income
Fund
28
Par/Shares
$
Value
(Amounts
in
000s)
SECURITIES
LENDING
COLLATERAL
0.7%
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,
2.36% (6)(13)
18,744
18,744
Total
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
JPMorgan
Chase
Bank
18,744
INVESTMENTS
IN
A
POOLED
ACCOUNT
THROUGH
SECURITIES
LENDING
PROGRAM
WITH
STATE
STREET
BANK
AND
TRUST
COMPANY
0.6%
Money
Market
Funds
0.6%
T.
Rowe
Price
Government
Reserve
Fund,
2.36% (6)(13)
93,310
93,310
Total
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
State
Street
Bank
and
Trust
Company
93,310
Total
Securities
Lending
Collateral
(Cost
$112,054)
112,054
Total
Investments
in
Securities
104.2%
(Cost
$18,128,670)
$
17,023,091
Other
Assets
Less
Liabilities
(4.2)%
(692,601)
Net
Assets
100.0%
$
16,330,490
‡
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
$3,060,465
and
represents
18.7%
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
August
31,
2022.
The
interest
rate
for
unsettled
loans
will
be
determined
upon
settlement
after
period
end.
(4)
Level
3
in
fair
value
hierarchy.
(5)
All
or
a
portion
of
the
position
represents
an
unfunded
commitment;
a
liability
to
fund
the
commitment
has
been
recognized.
The
fund's
total
unfunded
commitment
at
August
31,
2022,
was
$1,604
and
was
valued
at
$1,597
(0.0%
of
net
assets).
(6)
Affiliated
Companies
(7)
SEC
30-day
yield
T.
ROWE
PRICE
New
Income
Fund
29
.
.
.
.
.
.
.
.
.
.
(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
August
31,
2022.
(10)
Perpetual
security
with
no
stated
maturity
date.
(11)
To-Be-Announced
purchase
commitment.
Total
value
of
such
securities
at
period-end
amounts
to
$555,051
and
represents
3.4%
of
net
assets.
(12)
At
August
31,
2022,
all
or
a
portion
of
this
security
is
pledged
as
collateral
and/
or
margin
deposit
to
cover
future
funding
obligations.
(13)
Seven-day
yield
1M
TSFR
One
month
term
SOFR
(Secured
overnight
financing
rate)
1M
USD
LIBOR
One
month
USD
LIBOR
(London
interbank
offered
rate)
3M
TSFR
Three
month
term
SOFR
(Secured
overnight
financing
rate)
3M
USD
LIBOR
Three
month
USD
LIBOR
(London
interbank
offered
rate)
6M
USD
LIBOR
Six
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
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
30
(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%
Quarterly,
Pay
upon
credit
default,
6/20/24
(EUR)
5,778
32
76
(44)
Total
Bilateral
Credit
Default
Swaps,
Protection
Sold
76
(44)
Total
Bilateral
Swaps
76
(44)
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:
Republic
of
Indonesia,
Baa2*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
6/21/27
83,179
(501)
199
(700)
Protection
Sold
(Relevant
Credit:
United
Mexican
States,
Baa2*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
6/21/27
*
209,445
(5,199)
(819)
(4,380)
Total
Centrally
Cleared
Credit
Default
Swaps,
Protection
Sold
(5,080)
Total
Centrally
Cleared
Swaps
(5,080)
Net
payments
(receipts)
of
variation
margin
to
date
4,788
Variation
margin
receivable
(payable)
on
centrally
cleared
swaps
$
(292)
*
Credit
ratings
as
of
August
31,
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.
T.
ROWE
PRICE
New
Income
Fund
31
(Amounts
in
000s)
FORWARD
CURRENCY
EXCHANGE
CONTRACTS
Counterparty
Settlement
Receive
Deliver
Unrealized
Gain/(Loss)
HSBC
Bank
11/25/22
USD
12,370
EUR
11,970
$
271
State
Street
11/25/22
USD
12,181
EUR
11,792
262
UBS
Investment
Bank
11/25/22
USD
24,688
EUR
23,881
550
Net
unrealized
gain
(loss)
on
open
forward
currency
exchange
contracts
$
1,083
T.
ROWE
PRICE
New
Income
Fund
32
FUTURES
CONTRACTS
($000s)
Expiration
Date
Notional
Amount
Value
and
Unrealized
Gain
(Loss)
Long,
4,953
U.S.
Treasury
Long
Bond
contracts
12/22
672,834
$
(223)
Long,
775
U.S.
Treasury
Notes
five
year
contracts
12/22
85,886
(298)
Long,
4,488
U.S.
Treasury
Notes
ten
year
contracts
12/22
524,675
(1,345)
Short,
2,301
U.S.
Treasury
Notes
two
year
contracts
12/22
(479,363)
692
Long,
907
Ultra
U.S.
Treasury
Bonds
contracts
12/22
135,597
1,607
Long,
5,554
Ultra
U.S.
Treasury
Notes
ten
year
contracts
12/22
695,291
(1,365)
Net
payments
(receipts)
of
variation
margin
to
date
(4,316)
Variation
margin
receivable
(payable)
on
open
futures
contracts
$
(5,248)
T.
ROWE
PRICE
New
Income
Fund
33
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,
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,
6.46%
$
5,527
$
5,044
$
2,812
T.
Rowe
Price
Institutional
High
Yield
Fund
-
Z
Class,
7.96%
—
(2,319)
756
T.
Rowe
Price
Government
Reserve
Fund,
2.36%
—
—
4,351++
Totals
$
5,527#
$
2,725
$
7,919+
Supplementary
Investment
Schedule
Affiliate
Value
05/31/22
Purchase
Cost
Sales
Cost
Value
08/31/22
T.
Rowe
Price
Institutional
Floating
Rate
Fund
-
Z
Class,
6.46%
$
294,292
$
2,864
$
117,517
$
184,683
T.
Rowe
Price
Institutional
High
Yield
Fund
-
Z
Class,
7.96%
47,190
757
—
45,628
T.
Rowe
Price
Government
Reserve
Fund,
2.36%
1,529,312
¤
¤
911,442
Total
$
1,141,753^
#
Capital
gain
distributions
from
underlying
Price
funds
represented
$0
of
the
net
realized
gain
(loss).
++
Excludes
earnings
on
securities
lending
collateral,
which
are
subject
to
rebates
and
fees.
+
Investment
income
comprised
$7,919
of
dividend
income
and
$0
of
interest
income.
¤
Purchase
and
sale
information
not
shown
for
cash
management
funds.
^
The
cost
basis
of
investments
in
affiliated
companies
was
$1,144,501.
T.
ROWE
PRICE
New
Income
Fund
Unaudited
Notes
to
Portfolio
of
Investments
34
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
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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.
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.
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,
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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.
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Valuation
Inputs
The
following
table
summarizes
the
fund’s
financial
instruments,
based
on
the
inputs
used
to
determine
their
fair
values
on
August
31,
2022
(for
further
detail
by
category,
please
refer
to
the
accompanying
Portfolio
of
Investments):
($000s)
Level
1
Level
2
Level
3
Total
Value
Assets
Fixed
Income
Securities
1
$
—
$
15,654,406
$
—
$
15,654,406
Bank
Loans
—
222,462
4,470
226,932
Bond
Mutual
Funds
230,311
—
—
230,311
Short-Term
Investments
799,388
—
—
799,388
Securities
Lending
Collateral
112,054
—
—
112,054
Total
Securities
1,141,753
15,876,868
4,470
17,023,091
Swaps*
—
32
—
32
Forward
Currency
Exchange
Contracts
—
1,083
—
1,083
Futures
Contracts*
2,299
—
—
2,299
Total
$
1,144,052
$
15,877,983
$
4,470
$
17,026,505
Liabilities
Swaps*
$
—
$
5,080
$
—
$
5,080
Futures
Contracts*
3,231
—
—
3,231
Total
$
3,231
$
5,080
$
—
$
8,311
1
Includes
Asset-Backed
Securities,
Corporate
Bonds,
Foreign
Government
Obligations
&
Municipalities,
Non-U.S.
Government
Mortgage-Backed
Securities,
U.S.
Government
&
Agency
Mortgage-Backed
Securities
and
U.S.
Government
Agency
Obligations
(Excluding
Mortgage-Backed).
*
The
fair
value
presented
includes
cumulative
gain
(loss)
on
open
futures
contracts
and
centrally
cleared
swaps;
however,
the
net
value
reflected
on
the
accompanying
Portfolio
of
Investments
is
only
the
unsettled
variation
margin
receivable
(payable)
at
that
date.
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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
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
leading
to
economic
sanctions
being
imposed
on
Russia
and
certain
of
its
citizens,
creating
impacts
on
Russian-related
stocks
and
debt
and
greater
volatility
in
global
markets.
These
are
recent
examples
of
global
events
which
may
have
an
impact
on
the
fund’s
performance,
which
could
be
negatively
impacted
if
the
value
of
a
portfolio
holding
were
harmed
by
these
and
such
other
events.
Management
is
actively
monitoring
the
risks
and
financial
impacts
arising
from
these
events.
F43-054Q1
08/22