GNMA Fund_GMA_F70-051
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-04441
T. Rowe Price GNMA Fund, Inc.
(Exact name of registrant as specified in charter)
100 East Pratt Street, Baltimore, MD 21202
(Address of principal executive
offices)
David Oestreicher
100 East Pratt Street, Baltimore, MD 21202
(Name and address of agent for service)
Registrant’s telephone number, including area code: (410) 345-2000
Date of fiscal year end: May 31
Date
of reporting period: November 30, 2022
Item 1. Reports to Shareholders
(a) Report pursuant to Rule 30e-1
Highlights
and
Market
Commentary
Management’s
Discussion
of
Fund
Performance
Performance
and
Expenses
Financial
Highlights
Portfolio
of
Investments
Financial
Statements
and
Notes
Additional
Fund
Information
For
more
insights
from
T.
Rowe
Price
investment
professionals,
go
to
troweprice.com
.
T.
ROWE
PRICE
PRGMX
GNMA
Fund
–
.
PRXAX
GNMA
Fund–
.
I
Class
TRZGX
GNMA
Fund–
.
Z Class
HIGHLIGHTS
The
GNMA
Fund
outperformed
its
benchmark
and
its
Lipper
peer
group
average
during
the
six-month
period
ended
November
30,
2022.
Mortgage-backed
securities,
including
GNMAs,
faced
headwinds
during
the
period
as
the
Federal
Reserve
began
reducing
its
holdings
in
the
mortgage
sector.
Asset
allocation
and
interest
rate
management
aided
the
fund’s
relative
results,
while
security
selection
detracted.
We
are
still
finding
value
within
the
GNMA
sector,
and
we
believe
that
additional
market
volatility
could
provide
opportunities
to
add
securities
at
attractive
valuations.
Log
in
to
your
account
at
troweprice.com
for
more
information.
*
Certain
mutual
fund
accounts
that
are
assessed
an
annual
account
service
fee
can
also
save
money
by
switching
to
e-delivery.
T.
ROWE
PRICE
GNMA
Fund
Market
Commentary
Dear
Shareholder
Global
stock
markets
generally
produced
negative
returns
during
the
first
half
of
your
fund’s
fiscal
year,
the
six-month
period
ended
November
30,
2022,
while
rising
bond
yields
weighed
on
returns
for
fixed
income
investors.
Investors
contended
with
tightening
financial
conditions
and
slowing
economic
and
corporate
earnings
growth,
but
hopes
that
persistently
high
inflation
might
be
easing
helped
spark
a
rally
late
in
the
period
that
partially
offset
earlier
losses.
In
the
U.S.,
equity
results
were
mixed.
The
Dow
Jones
Industrial
Average
recorded
positive
results
and
mid-cap
growth
stocks
also
performed
well,
while
most
other
benchmarks
finished
in
negative
territory.
The
S&P
500
Index
was
modestly
negative
for
the
period,
but
results
varied
widely
at
the
sector
level,
with
industrials
and
energy
shares
delivering
strong
gains
while
communication
services
stocks
struggled.
Outside
the
U.S.,
most
major
country
and
regional
benchmarks
lost
ground.
Emerging
markets
stocks
generally
underperformed
shares
in
developed
markets.
Meanwhile,
the
U.S.
dollar
strengthened
versus
most
currencies
during
the
period,
which
weighed
on
returns
for
U.S.
investors
in
international
securities.
Elevated
inflation
remained
a
leading
concern
for
investors
throughout
the
period,
although
hopes
that
inflation
may
have
peaked
led
to
rallies
during
the
summer
and
again
in
November.
The
October
consumer
price
index
report,
which
was
released
in
mid-November,
was
better
than
expected
and
showed
price
increases
easing
from
recent
40-year
highs.
However,
the
7.7%
year-over-
year
increase
in
the
headline
inflation
number
remained
well
above
the
Fed’s
2%
target.
In
response
to
the
high
inflation
readings,
global
central
banks
continued
to
tighten
monetary
policy,
and
investors
focused
on
communications
from
central
bank
officials
on
how
high
rates
would
have
to
go.
The
Federal
Reserve
delivered
four
historically
large
75-basis-point
(0.75
percentage
point)
rate
hikes
during
the
period,
which
lifted
its
short-term
lending
benchmark
to
a
target
range
of
3.75%
to
4.00%
by
early
November,
the
highest
level
since
2008.
As
our
reporting
period
came
to
an
end,
Fed
officials
signaled
that
they
were
likely
to
dial
back
the
pace
of
rate
increases.
Bond
yields
increased
considerably
across
the
Treasury
yield
curve
as
the
Fed
tightened
monetary
policy,
with
the
yield
on
the
benchmark
10-year
U.S.
Treasury
note
climbing
from
2.85%
at
the
start
of
the
period
to
3.68%
at
the
end
of
November.
Significant
inversions
in
the
Treasury
curve,
which
are
often
considered
a
warning
sign
of
a
coming
recession,
occurred
during
the
period
as
shorter-maturity
Treasuries
experienced
the
largest
yield
increases.
The
sharp
increase
in
yields
led
to
generally
negative
results
across
the
fixed
income
market
as
bond
prices
and
yields
move
in
opposite
directions.
On
a
positive
note,
the
U.S.
jobs
market
remained
resilient
during
the
period,
and
overall
economic
growth
turned
positive
in
the
third
quarter
after
two
slightly
negative
quarters.
However,
recession
fears
also
grew
as
corporate
earnings
slowed
and
manufacturing
gauges
drifted
toward
contraction
levels.
In
addition,
the
housing
market
began
to
weaken
as
mortgage
rates
climbed
to
the
highest
level
in
more
than
20
years.
The
past
year
has
been
a
trying
time
for
investors
as
few
sectors
remained
untouched
by
the
broad
headwinds
that
markets
faced,
and
volatility
may
continue
in
the
near
term
as
central
banks
tighten
policy
amid
slowing
economic
growth.
However,
in
our
view,
valuations
have
become
more
attractive
across
many
market
sectors
during
the
downturn,
which
provides
potential
opportunities
for
selective
investors
focused
on
fundamentals.
We
believe
this
environment
makes
skilled
active
management
a
critical
tool
for
identifying
risks
and
opportunities,
and
our
investment
teams
will
continue
to
use
fundamental
research
to
identify
securities
that
can
add
value
to
your
portfolio
over
the
long
term.
Thank
you
for
your
continued
confidence
in
T.
Rowe
Price.
Sincerely,
Robert
Sharps
CEO
and
President
T.
ROWE
PRICE
GNMA
Fund
Management’s
Discussion
of
Fund
Performance
INVESTMENT
OBJECTIVE
The
fund
seeks
high
current
income
consistent
with
high
overall
credit
quality
and
moderate
price
fluctuation
by
investing
at
least
80%
of
its
total
assets
in
Government
National
Mortgage
Association
securities
backed
by
the
full
faith
and
credit
of
the
U.S.
government.
FUND
COMMENTARY
How
did
the
fund
perform
in
the
past six
months?
The
GNMA
Fund
returned
-3.96%
for
the
six
months
through
November
30,
2022,
outperforming
its
benchmark,
the
Bloomberg
U.S.
GNMA
Index,
and
its
Lipper
peer
group
average.
(Returns
for
I
and
Z
Class
shares
may
vary,
reflecting
their
different
fee
structures.
Past
performance
cannot
guarantee
future
results
.
)
What
factors
influenced
the
fund’s
performance?
Mortgage-backed
securities
(MBS),
including
GNMAs,
faced
a
challenging
environment
over
the
six-month
period
as
the
Federal
Reserve
continued
to
raise
interest
rates
and
began
reducing
its
holdings
in
the
mortgage
sector
as
part
of
its
campaign
to
battle
elevated
inflation.
However,
the
sector
staged
a
strong
rally
in
November,
partially
offsetting
earlier
losses,
after
valuations
became
more
attractive.
In
this
environment,
the
fund
produced
negative
returns
and
modestly
outperformed
its
benchmark.
Asset
allocation
was
a
sizable
contributor
to
the
fund’s
relative
performance,
highlighted
by
our
decision
to
overweight
higher-
coupon
30-year
GNMAs
and
underweight
lower
coupons.
Lower
coupons,
which
make
up
the
bulk
of
outstanding
supply
in
the
market,
weighed
on
the
sector,
while
higher-coupon
GNMAs
produced
positive
(or
less
negative)
returns
relative
to
Treasuries.
With
longer
durations,
lower-coupon
securities
were
harder
hit
by
rising
rates
and
by
the
Fed’s
quantitative
tightening
program,
which
reached
full
speed
in
September.
PERFORMANCE
COMPARISON
Six-Month
Period
Ended
11/30/22
Total
Return
GNMA
Fund
–
.
-3.96%
GNMA
Fund–
.
I
Class
-3.97
GNMA
Fund–
.
Z
Class
-3.66
Bloomberg
U.S.
GNMA
Index
-4.14
Lipper
GNMA
Funds
Average
-4.19
Outside
of
mortgages,
a
trade
that
aimed
to
profit
from
a
normalization
in
inflation
expectations
using
inflation-linked
derivatives
added
value.
Short-
term
inflation
expectations,
as
measured
by
break-even
spreads,
were
extremely
elevated
early
in
the
period
relative
to
longer-term
inflation
expectations.
However,
they
dropped
to
levels
more
in
line
with
longer-term
inflation
expectations,
aided
by
declining
oil
prices
and
improving
supply
chains.
We
exited
the
trade
following
the
October
consumer
price
index
report,
which
showed
softening,
though
still
high,
inflation
pressures.
On
the
downside,
a
modest
out-of-benchmark
allocation
to
conventional
MBS
detracted
as
GNMAs,
with
their
explicit
government
guarantee,
outperformed
in
an
environment
of
generally
increased
risk
aversion.
Out-of-benchmark
positions
in
interest-only
GNMA
collateralized
mortgage
obligations
also
hampered
results.
These
structured
securities
fared
relatively
well
with
Treasury
rates
rising
over
most
of
the
period.
But
the
decline
in
yields
in
the
final
weeks
of
the
period
weighed
on
their
performance
as
mortgage
rates
fell
from
their
highs,
which
could
reduce
income
streams
if
prepayments
pick
up
from
low
levels.
Interest
rate
management
aided
the
portfolio’s
overall
relative
performance.
Our
slightly
longer-than-benchmark
duration
posture,
on
average,
helped
provide
incremental
yield
versus
the
benchmark.
While
this
duration
overweight
was
a
headwind
for
much
of
the
period,
extending
duration
further
near
the
end
of
the
period,
when
interest
rates
pulled
back
from
their
highs,
reversed
most
of
the
detraction
that
had
occurred
earlier
in
the
period.
However,
the
fund’s
yield
curve
positioning,
which
is
largely
a
byproduct
of
our
MBS
coupon
positioning,
detracted
as
the
term
structure
meaningfully
flattened.
Security
selection
was
an
overall
detractor
from
relative
results.
We
like
to-be-announced
(TBA)
positions
because
of
their
strong
liquidity,
but
these
positions,
which
are
selected
by
the
seller
and
delivered
at
a
later
date,
underperformed
comparable
mortgage
pools
in
several
coupon
segments.
How
is
the
fund
positioned?
We
reduced
the
portfolio’s
overall
GNMA
allocation,
primarily
in
the
30-year
sector,
where
we
shifted
to
a
modest
underweight
relative
to
the
benchmark.
We
added
slightly
to
15-year
GNMAs
and
finished
the
period
with
an
overweight
position.
Within
our
GNMA
allocation,
we
maintained
an
underweight
to
lower
coupons
(2%
to
3%),
held
a
relatively
neutral
allocation
in
the
middle
of
the
coupon
structure
(3.5%
to
5%),
and
generally
favored
higher
coupons
(5.5%
and
above)
in
the
30-year
segment.
In
the
15-year
space,
most
of
the
fund’s
exposure
was
in
lower
coupons
(1.5%)
that
are
trading
at
discounted
prices
and
offer
an
asymmetric
risk/return
profile.
The
fund’s
conventional
MBS
allocation
ended
the
period
just
below
5%,
little
changed
from
where
it
started
the
period.
With
the
reduction
in
GNMAs,
we
added
a
small
allocation
to
short-term
Treasuries,
which
offered
attractive
yields
and
limited
duration
risk.
We
also
built
a
small
position
in
10-year
Treasury
inflation
protected
securities
as
real
(inflation-
adjusted)
yields
pushed
further
into
positive
territory.
We
trimmed
the
fund’s
out-
of-benchmark
allocation
to
non-agency
residential
MBS.
Liquidity
in
that
sector
was
particularly
challenged,
and
while
the
fund’s
holdings
were
high
quality,
credit
concerns
began
to
infiltrate
the
sector
with
the
housing
market
weakening.
In
terms
of
duration,
we
ended
the
period
longer
than
the
benchmark,
though
down
slightly
from
the
period’s
highest
levels
following
the
strong
rally
in
November
that
pushed
down
yields.
This
positioning
helps
to
offset
some
of
the
risk
from
the
fund’s
preference
for
shorter-duration,
higher-coupon
MBS.
Sources:
Credit
ratings
for
the
securities
held
in
the
fund
are
provided
by
Moody’s,
Standard
&
Poor’s,
and
Fitch
and
are
converted
to
the
Standard
&
Poor’s
nomenclature.
A
rating
of
AAA
represents
the
highest-
rated
securities,
and
a
rating
of
D
represents
the
lowest-
rated
securities.
If
the
rating
agencies
differ,
the
highest
rating
is
applied
to
the
security.
If
a
rating
is
not
available,
the
security
is
classified
as
Not
Rated.
T.
Rowe
Price
uses
the
rating
of
the
underlying
investment
vehicle
to
determine
the
creditworthiness
of
credit
default
swaps.
The
fund
is
not
rated
by
any
agency.
*
U.S.
government
agency
securities
are
issued
or
guaranteed
by
a
U.S.
government
agency
and
may
include
conventional
pass-through
securities
and
collateralized
mortgage
obligations;
unlike
Treasuries,
government
agency
securities
are
not
issued
directly
by
the
U.S.
government
and
are
generally
unrated
but
may
have
credit
support
from
the
U.S.
Treasury
(e.g.,
FHLMC
and
FNMA
issues)
or
a
direct
government
guarantee
(e.g.,
GNMA
issues).
Therefore,
this
category
may
include
rated
and
unrated
securities.
**
U.S.
Treasury
securities
are
issued
by
the
U.S.
Treasury
and
are
backed
by
the
full
faith
and
credit
of
the
U.S.
government.
The
ratings
of
U.S.
Treasury
securities
are
derived
from
the
ratings
on
the
U.S.
government.
CREDIT
QUALITY
DIVERSIFICATION
U.S.
Government
Agency
Securities*
110%
U.S.
Treasury
Securities**
4
AA
2
Reserves
-16
Total
100%
Based
on
net
assets
as
of
11/30/22.
What
is
portfolio
management’s
outlook?
The
agency
MBS
sector
experienced
its
best
month
on
record
in
November,
benefiting
from
improved
valuations
and
a
favorable
technical
backdrop
that
included
a
drop
in
the
supply
of
mortgages
as
the
housing
market
weakened.
Following
that
historic
rally,
valuations
have
returned
to
long-term
averages,
and
the
sector’s
risk/reward
profile
appears
to
be
more
balanced.
As
the
Fed
has
shifted
from
quantitative
easing
to
quantitative
tightening,
we
believe
that
the
MBS
sector
will
be
less
driven
by
momentum
and
that
finding
relative
value
opportunities
will
become
more
important.
The
technical
backdrop
will
be
a
key
factor.
Net
supply
is
expected
to
drop
as
higher
rates
have
led
to
a
slowdown
in
new
mortgages;
however,
the
supply
available
to
private
investors
could
remain
relatively
high
as
the
Fed
reduces
its
holdings
in
the
sector.
Although
valuations
relative
to
the
broader
market
are
less
favorable
than
they
were
in
September
and
October,
we
are
still
finding
value
within
the
GNMA
sector,
and
we
believe
that
additional
market
volatility
could
provide
opportunities
to
add
securities
at
attractive
valuations.
We
are
continuing
to
use
our
research
capabilities
to
identify
parts
of
the
market
with
the
potential
to
outperform.
Security
selection
remains
critical,
and
we
will
continue
to
rely
heavily
on
our
extensive
team
of
analysts,
who
provide
careful
fundamental
and
quantitative
research
on
individual
bonds.
The
views
expressed
reflect
the
opinions
of
T.
Rowe
Price
as
of
the
date
of
this
report
and
are
subject
to
change
based
on
changes
in
market,
economic,
or
other
conditions.
These
views
are
not
intended
to
be
a
forecast
of
future
events
and
are
no
guarantee
of
future
results.
Risk
of
GNMA
Fund
Investing
Even
though
principal
and
interest
payments
on
GNMAs
are
guaranteed,
an
increase
in
interest
rates
can
cause
the
share
price
to
decline,
resulting
in
a
loss
of
principal.
Investors
in
bond
funds
are
also
subject
to
several
other
types
of
risk—interest
rate
risk,
credit
risk,
prepayment
risk,
extension
risk,
and
derivatives
risk.
Since
the
fund
invests
primarily
in
GNMAs,
which
are
backed
by
the
full
faith
and
credit
of
the
U.S.
government,
its
exposure
to
credit
risk
is
low.
A
mortgage-backed
bond,
unlike
most
other
bonds,
can
be
hurt
when
interest
rates
fall
because
homeowners
tend
to
refinance
and
prepay
principal.
Prepayments
can
cause
the
average
maturity
of
the
portfolio
to
shorten,
require
the
fund
to
reinvest
proceeds
at
lower
interest
rates,
or
even
cause
certain
bonds’
prices
to
fall
below
what
the
fund
paid
for
them,
resulting
in
a
capital
loss.
Increased
interest
rates
can
cause
the
fund’s
average
maturity
to
lengthen
unexpectedly
due
to
a
drop
in
mortgage
prepayments.
Shareholders
are
also
exposed
to
derivatives
risk,
the
potential
that
our
investments
in
these
complex
and
volatile
instruments
could
affect
the
fund’s
share
price.
BENCHMARK
INFORMATION
Note:
Bloomberg
®
and the
Bloomberg
U.S.
GNMA
Index
are
service
marks
of
Bloomberg
Finance
L.P.
and
its
affiliates,
including
Bloomberg
Index
Services
Limited
(“BISL”),
the
administrator
of
the
index
(collectively,
“Bloomberg”)
and
have
been
licensed
for
use
for
certain
purposes
by
T.
Rowe
Price.
Bloomberg
is
not
affiliated
with
T.
Rowe
Price,
and
Bloomberg
does
not
approve,
endorse,
review,
or
recommend
its
products.
Bloomberg
does
not
guarantee
the
timeliness,
accurateness,
or
completeness
of
any
data
or
information
relating
to
its
products.
Note:
Copyright
©
2022
Fitch
Ratings,
Inc.,
Fitch
Ratings
Ltd.
and
its
subsidiaries.
Note:
Portions
of
the
mutual
fund
information
contained
in
this
report
were
supplied
by
Lipper,
a
Refinitiv
Company,
subject
to
the
following:
Copyright
2022
©
Refinitiv.
All
rights
reserved.
Any
copying,
republication
or
redistribution
of
Lipper
content
is
expressly
prohibited
without
the
prior
written
consent
of
Lipper.
Lipper
shall
not
be
liable
for
any
errors
or
delays
in
the
content,
or
for
any
actions
taken
in
reliance
thereon.
Note:
©
2022,
Moody’s
Corporation,
Moody’s
Investors
Service,
Inc.,
Moody’s
Analytics,
Inc.
and/or
their
licensors
and
affiliates
(collectively,
“Moody’s”).
All
rights
reserved.
Moody’s
ratings
and
other
information
(“Moody’s
Information”)
are
proprietary
to
Moody’s
and/or
its
licensors
and
are
protected
by
copyright
and
other
intellectual
property
laws.
Moody’s
Information
is
licensed
to
Client
by
Moody’s.
MOODY’S
INFORMATION
MAY
NOT
BE
COPIED
OR
OTHERWISE
REPRODUCED,
REPACKAGED,
FURTHER
TRANSMITTED,
TRANSFERRED,
DISSEMINATED,
REDISTRIBUTED
OR
RESOLD,
OR
STORED
FOR
SUBSEQUENT
USE
FOR
ANY
SUCH
PURPOSE,
IN
WHOLE
OR
IN
PART,
IN
ANY
FORM
OR
MANNER
OR
BY
ANY
MEANS
WHATSOEVER,
BY
ANY
PERSON
WITHOUT
MOODY’S
PRIOR
WRITTEN
CONSENT.
Moody's
®
is
a
registered
trademark.
Note:
Copyright
©
2022,
S&P
Global
Market
Intelligence
(and
its
affiliates,
as
applicable).
Reproduction
of
any
information,
data
or
material,
including
ratings
("Content")
in
any
form
is
prohibited
except
with
the
prior
written
permission
of
the
relevant
party. Such
party,
its
affiliates
and
suppliers
("Content
Providers")
do
not
guarantee
the
accuracy,
adequacy,
completeness,
timeliness
or
availability
of
any
Content
and
are
not
responsible
for
any
errors
or
omissions
(negligent
or
otherwise),
regardless
of
the
cause,
or
for
the
results
obtained
from
the
use
of
such
Content.
In
no
event
shall
Content
Providers
be
liable
for
any
damages,
costs,
expenses,
legal
fees,
or
losses
(including
lost
income
or
lost
profit
and
opportunity
costs)
in
connection
with
any
use
of
the
Content.
A
reference
to
a
particular
investment
or
security,
a
rating
or
any
observation
concerning
an
investment
that
is
part
of
the
Content
is
not
a
recommendation
to
buy,
sell
or
hold
such
investment
or
security,
does
not
address
the
appropriateness
of
an
investment
or
security
and
should
not
be
relied
on
as
investment
advice.
Credit
ratings
are
statements
of
opinions
and
are
not
statements
of
fact.
BENCHMARK
INFORMATION
(continued)
GROWTH
OF
$10,000
This
chart
shows
the
value
of
a
hypothetical
$10,000
investment
in
the
fund
over
the
past
10
fiscal
year
periods
or
since
inception
(for funds
lacking
10-year
records).
The
result
is
compared
with
benchmarks,
which
include
a
broad-based
market
index
and
may
also
include
a
peer
group
average
or
index.
Market
indexes
do
not
include
expenses,
which
are
deducted
from
fund
returns
as
well
as
mutual fund
averages
and
indexes.
GNMA
FUND
Note:
Performance
for
the
I
and
Z Class
shares
will
vary
due
to
their
differing
fee
structures.
See
the
Average
Annual
Compound
Total
Return
table.
AVERAGE
ANNUAL
COMPOUND
TOTAL
RETURN
Periods
Ended
11/30/22
1
Year
5
Years
10
Years
Since
Inception
Inception
Date
GNMA
Fund
–
.
-10.44%
-0.65%
0.35%
–
–
GNMA
Fund–
.
I
Class
-10.36
-0.55
–
-0.39%
5/3/17
GNMA
Fund–
.
Z
Class
-9.89
–
–
-6.34
2/22/21
This
table
shows
how
the
fund
would
have
performed
each
year
if
its
actual
(or
cumulative)
returns
for
the
periods
shown
had
been
earned
at
a
constant
rate.
Returns
do
not
reflect
taxes
that
the
shareholder
may
pay
on
fund
distributions
or
the
redemption
of
fund
shares.
Past
performance
cannot
guarantee
future
results.
EXPENSE
RATIO
FUND
EXPENSE
EXAMPLE
As
a
mutual
fund
shareholder,
you
may
incur
two
types
of
costs:
(1)
transaction
costs,
such
as
redemption
fees
or
sales
loads,
and
(2)
ongoing
costs,
including
management
fees,
distribution
and
service
(12b-1)
fees,
and
other
fund
expenses.
The
following
example
is
intended
to
help
you
understand
your
ongoing
costs
(in
dollars)
of
investing
in
the
fund
and
to
compare
these
costs
with
the
ongoing
costs
of
investing
in
other
mutual
funds.
The
example
is
based
on
an
investment
of
$1,000
invested
at
the
beginning
of
the
most
recent
six-month
period
and
held
for
the
entire
period.
Please
note
that
the
fund
has
three
share
classes:
The
original
share
class
(Investor
Class)
charges
no
distribution
and
service
(12b-1)
fee,
I
Class
shares
are
also
available
to
institutionally
oriented
clients
and
impose
no
12b-1
or
administrative
fee
payment,
and
Z
Class
shares
are
offered
only
to
funds
advised
by
T.
Rowe
Price
and
other
advisory
clients
of
T.
Rowe
Price
or
its
affiliates
that
are
subject
to
a
contractual
fee
for
investment
management
services
and
impose
no
12b-1
fee
or
administrative
fee
payment.
Each
share
class
is
presented
separately
in
the
table.
Actual
Expenses
The
first
line
of
the
following
table
(Actual)
provides
information
about
actual
account
values
and
expenses
based
on
the
fund’s
actual
returns.
You
may
use
the
information
on
this
line,
together
with
your
account
balance,
to
estimate
the
expenses
that
you
paid
over
the
period.
Simply
divide
your
account
value
by
$1,000
(for
example,
an
$8,600
account
value
divided
by
$1,000
=
8.6),
then
multiply
the
result
by
the
number
on
the
first
line
under
the
heading
“Expenses
Paid
During
Period”
to
estimate
the
expenses
you
paid
on
your
account
during
this
period.
Hypothetical
Example
for
Comparison
Purposes
The
information
on
the
second
line
of
the
table
(Hypothetical)
is
based
on
hypothetical
account
values
and
expenses
derived
from
the
fund’s
actual
expense
ratio
and
an
assumed
5%
per
year
rate
of
return
before
expenses
(not
the
fund’s
actual
return).
You
may
compare
the
ongoing
costs
of
investing
in
the
fund
with
other
funds
by
contrasting
this
5%
hypothetical
example
and
the
5%
hypothetical
examples
that
appear
in
the
shareholder
reports
of
the
other
funds.
The
hypothetical
account
values
and
expenses
may
not
be
used
to
estimate
the
actual
ending
account
balance
or
expenses
you
paid
for
the
period.
GNMA
Fund
0.56%
GNMA
Fund–I
Class
0.41
GNMA
Fund–Z
Class
0.39
The
expense
ratio
shown
is
as
of
the
fund’s
most
recent
prospectus.
This
number
may
vary
from
the
expense
ratio
shown
elsewhere
in
this
report
because
it
is
based
on
a
different
time
period
and,
if
applicable,
includes
acquired
fund
fees
and
expenses
but
does
not
include
fee
or
expense
waivers.
Note:
T.
Rowe
Price
charges
an
annual
account
service
fee
of
$20,
generally
for
accounts
with
less
than
$10,000.
The
fee
is
waived
for
any
investor
whose
T.
Rowe
Price
mutual
fund
accounts
total
$50,000
or
more;
accounts
electing
to
receive
electronic
delivery
of
account
statements,
transaction
confirmations,
prospectuses,
and
shareholder
reports;
or
accounts
of
an
investor
who
is
a
T.
Rowe
Price
Personal
Services
or
Enhanced
Personal
Services
client
(enrollment
in
these
programs
generally
requires
T.
Rowe
Price
assets
of
at
least
$250,000).
This
fee
is
not
included
in
the
accompanying
table.
If
you
are
subject
to
the
fee,
keep
it
in
mind
when
you
are
estimating
the
ongoing
expenses
of
investing
in
the
fund
and
when
comparing
the
expenses
of
this
fund
with
other
funds.
You
should
also
be
aware
that
the
expenses
shown
in
the
table
highlight
only
your
ongoing
costs
and
do
not
reflect
any
transaction
costs,
such
as
redemption
fees
or
sales
loads.
Therefore,
the
second
line
of
the
table
is
useful
in
comparing
ongoing
costs
only
and
will
not
help
you
determine
the
relative
total
costs
of
owning
different
funds.
To
the
extent
a
fund
charges
transaction
costs,
however,
the
total
cost
of
owning
that
fund
is
higher.
GNMA
FUND
Beginning
Account
Value
6/1/22
Ending
Account
Value
11/30/22
Expenses
Paid
During
Period*
6/1/22
to
11/30/22
Investor
Class
Actual
$1,000.00
$960.40
$3.05
Hypothetical
(assumes
5%
return
before
expenses)
1,000.00
1,021.96
3.14
I
Class
Actual
1,000.00
960.30
2.01
Hypothetical
(assumes
5%
return
before
expenses)
1,000.00
1,023.01
2.08
Z
Class
Actual
1,000.00
963.40
0.00
Hypothetical
(assumes
5%
return
before
expenses)
1,000.00
1,025.07
0.00
*
Expenses
are
equal
to
the
fund’s
annualized
expense
ratio
for
the
6-month
period,
multiplied
by
the
average
account
value
over
the
period,
multiplied
by
the
number
of
days
in
the
most
recent
fiscal
half
year
(183),
and
divided
by
the
days
in
the
year
(365)
to
reflect
the
half-year
period.
The
annualized
expense
ratio
of
the
1
Investor
Class
was
0.62%,
the
2
I Class
was
0.41%,
and
the
3
Z Class
was
0.00%.
FUND
EXPENSE
EXAMPLE
(CONTINUED)
QUARTER-END
RETURNS
Periods
Ended
9/30/22
1
Year
5
Years
10
Years
Since
Inception
Inception
Date
GNMA
Fund
–
.
-13.41%
-1.26%
0.04%
–
–
GNMA
Fund–
.
I
Class
-13.35
-1.17
–
-0.92%
5/3/17
GNMA
Fund–
.
Z
Class
-12.89
–
–
-8.63
2/22/21
The
fund’s
performance
information
represents
only
past
performance
and
is
not
necessarily
an
indication
of
future
results.
Current
performance
may
be
lower
or
higher
than
the
performance
data
cited.
Share
price,
principal
value,
and
return
will
vary,
and
you
may
have
a
gain
or
loss
when
you
sell
your
shares.
For
the
most
recent
month-end
performance,
please
visit
our
website
(troweprice.com)
or
contact
a
T.
Rowe
Price
representative
at
1
-
800
-
225
-
5132
or,
for
2
I
and
3
Z
Class
shares,
1-800-638-8790
.
This
table
provides
returns
through
the
most
recent
calendar
quarter-end
rather
than
through
the
end
of
the
fund’s
fiscal
period.
It
shows
how
the
fund
would
have
performed
each
year
if
its
actual
(or
cumulative)
returns
for
the
periods
shown
had
been
earned
at
a
constant
rate.
Average
annual
total
return
figures
include
changes
in
principal
value,
reinvested
dividends,
and
capital
gain
distributions.
Returns
do
not
reflect
taxes
that
the
shareholder
may
pay
on
fund
distributions
or
the
redemption
of
fund
shares.
When
assessing
performance,
investors
should
consider
both
short-
and
long-term
returns.
T.
ROWE
PRICE
GNMA
Fund
(Unaudited)
For
a
share
outstanding
throughout
each
period
Investor
Class
6
Months
.
Ended
11/30/22
..
Year
..
..
Ended
.
5/31/22
5/31/21
5/31/20
5/31/19
5/31/18
NET
ASSET
VALUE
Beginning
of
period
$
8
.55
$
9
.32
$
9
.48
$
9
.10
$
8
.98
$
9
.32
Investment
activities
Net
investment
income
(1)(2)
0
.10
0
.08
0
.07
0
.19
0
.20
0
.18
Net
realized
and
unrealized
gain/loss
(
0
.44
)
(
0
.77
)
(
0
.16
)
0
.38
0
.17
(
0
.25
)
Total
from
investment
activities
(
0
.34
)
(
0
.69
)
(
0
.09
)
0
.57
0
.37
(
0
.07
)
Distributions
Net
investment
income
(
0
.09
)
(
0
.08
)
(
0
.07
)
(
0
.19
)
(
0
.25
)
(
0
.27
)
NET
ASSET
VALUE
End
of
period
$
8
.12
$
8
.55
$
9
.32
$
9
.48
$
9
.10
$
8
.98
T.
ROWE
PRICE
GNMA
Fund
(Unaudited)
For
a
share
outstanding
throughout
each
period
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Investor
Class
6
Months
.
Ended
11/30/22
..
Year
..
..
Ended
.
5/31/22
5/31/21
5/31/20
5/31/19
5/31/18
Ratios/Supplemental
Data
Total
return
(2)(3)
(
3
.96
)
%
(
7
.44
)
%
(
0
.95
)
%
6
.36
%
4
.22
%
(
0
.75
)
%
Ratios
to
average
net
assets:
(2)
Gross
expenses
before
waivers/
payments
by
Price
Associates
0
.66
%
(4)
0
.58
%
0
.58
%
0
.58
%
0
.59
%
0
.60
%
Net
expenses
after
waivers/payments
by
Price
Associates
0
.62
%
(4)
0
.58
%
0
.58
%
0
.58
%
0
.59
%
0
.60
%
Net
investment
income
2
.33
%
(4)
0
.92
%
0
.70
%
2
.05
%
2
.29
%
1
.92
%
Portfolio
turnover
rate
(5)
418
.0
%
954
.9
%
996
.6
%
853
.3
%
508
.5
%
753
.7
%
Portfolio
turnover
rate,
excluding
mortgage
dollar
roll
transactions
135
.8
%
291
.6
%
303
.5
%
248
.6
%
69
.6
%
199
.3
%
Net
assets,
end
of
period
(in
millions)
$291
$330
$655
$1,218
$1,288
$1,289
0
%
0
%
0
%
0
%
0
%
0
%
(1)
Per
share
amounts
calculated
using
average
shares
outstanding
method.
(2)
See
Note
6
for
details
of
expense-related
arrangements
with
Price
Associates.
(3)
Total
return
reflects
the
rate
that
an
investor
would
have
earned
on
an
investment
in
the
fund
during
each
period,
assuming
reinvestment
of
all
distributions,
and
payment
of
no
redemption
or
account
fees,
if
applicable.
Total
return
is
not
annualized
for
periods
less
than
one
year.
(4)
Annualized
(5)
See
Note
4
.
The
portfolio
turnover
rate
calculation
includes
purchases
and
sales
from
the
mortgage
dollar
roll
transactions.
T.
ROWE
PRICE
GNMA
Fund
(Unaudited)
For
a
share
outstanding
throughout
each
period
I
Class
6
Months
.
Ended
11/30/22
..
Year
..
..
Ended
.
5/31/22
5/31/21
5/31/20
5/31/19
5/31/18
NET
ASSET
VALUE
Beginning
of
period
$
8
.55
$
9
.32
$
9
.48
$
9
.10
$
8
.98
$
9
.32
Investment
activities
Net
investment
income
(1)(2)
0
.11
0
.13
0
.07
0
.20
0
.21
0
.18
Net
realized
and
unrealized
gain/loss
(
0
.45
)
(
0
.81
)
(
0
.15
)
0
.38
0
.17
(
0
.24
)
Total
from
investment
activities
(
0
.34
)
(
0
.68
)
(
0
.08
)
0
.58
0
.38
(
0
.06
)
Distributions
Net
investment
income
(
0
.10
)
(
0
.09
)
(
0
.08
)
(
0
.20
)
(
0
.26
)
(
0
.28
)
NET
ASSET
VALUE
End
of
period
$
8
.11
$
8
.55
$
9
.32
$
9
.48
$
9
.10
$
8
.98
T.
ROWE
PRICE
GNMA
Fund
(Unaudited)
For
a
share
outstanding
throughout
each
period
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
I
Class
6
Months
.
Ended
11/30/22
..
Year
..
..
Ended
.
5/31/22
5/31/21
5/31/20
5/31/19
5/31/18
Ratios/Supplemental
Data
Total
return
(2)(3)
(
3
.97
)
%
(
7
.29
)
%
(
0
.85
)
%
6
.47
%
4
.32
%
(
0
.64
)
%
Ratios
to
average
net
assets:
(2)
Gross
expenses
before
waivers/
payments
by
Price
Associates
0
.46
%
(4)
0
.42
%
0
.47
%
0
.48
%
0
.49
%
0
.58
%
Net
expenses
after
waivers/payments
by
Price
Associates
0
.41
%
(4)
0
.42
%
0
.47
%
0
.48
%
0
.49
%
0
.49
%
Net
investment
income
2
.55
%
(4)
1
.48
%
0
.79
%
2
.16
%
2
.39
%
2
.02
%
Portfolio
turnover
rate
(5)
418
.0
%
954
.9
%
996
.6
%
853
.3
%
508
.5
%
753
.7
%
Portfolio
turnover
rate,
excluding
mortgage
dollar
roll
transactions
135
.8
%
291
.6
%
303
.5
%
248
.6
%
69
.6
%
199
.3
%
Net
assets,
end
of
period
(in
thousands)
$176,542
$191,392
$33,171
$26,675
$25,344
$25,168
0
%
0
%
0
%
0
%
0
%
0
%
(1)
Per
share
amounts
calculated
using
average
shares
outstanding
method.
(2)
See
Note
6
for
details
of
expense-related
arrangements
with
Price
Associates.
(3)
Total
return
reflects
the
rate
that
an
investor
would
have
earned
on
an
investment
in
the
fund
during
each
period,
assuming
reinvestment
of
all
distributions,
and
payment
of
no
redemption
or
account
fees,
if
applicable.
Total
return
is
not
annualized
for
periods
less
than
one
year.
(4)
Annualized
(5)
See
Note
4
.
The
portfolio
turnover
rate
calculation
includes
purchases
and
sales
from
the
mortgage
dollar
roll
transactions.
T.
ROWE
PRICE
GNMA
Fund
(Unaudited)
For
a
share
outstanding
throughout
each
period
Z
Class
(1)
6
Months
.
Ended
11/30/22
.
.
Year
Ended
5/31/22
2/22/21
(1)
Through
5/31/21
NET
ASSET
VALUE
Beginning
of
period
$
8
.55
$
9
.32
$
9
.41
Investment
activities
Net
investment
income
(2)(3)
0
.12
0
.14
0
.02
Net
realized
and
unrealized
gain/loss
(
0
.43
)
(
0
.78
)
(
0
.09
)
Total
from
investment
activities
(
0
.31
)
(
0
.64
)
(
0
.07
)
Distributions
Net
investment
income
(
0
.12
)
(
0
.13
)
(
0
.02
)
NET
ASSET
VALUE
End
of
period
$
8
.12
$
8
.55
$
9
.32
T.
ROWE
PRICE
GNMA
Fund
(Unaudited)
For
a
share
outstanding
throughout
each
period
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Z
Class
(1)
6
Months
.
Ended
11/30/22
.
.
Year
Ended
5/31/22
2/22/21
(1)
Through
5/31/21
Ratios/Supplemental
Data
Total
return
(3)(4)
(
3
.66
)
%
(
6
.89
)
%
(
0
.72
)
%
Ratios
to
average
net
assets:
(3)
Gross
expenses
before
waivers/payments
by
Price
Associates
0
.41
%
(5)
0
.41
%
0
.47
%
(5)
Net
expenses
after
waivers/payments
by
Price
Associates
0
.00
%
(5)
0
.00
%
0
.00
%
(5)
Net
investment
income
2
.97
%
(5)
1
.58
%
0
.96
%
(5)
Portfolio
turnover
rate
(6)
418
.0
%
954
.9
%
996
.6
%
Portfolio
turnover
rate,
excluding
mortgage
dollar
roll
transactions
135
.8
%
291
.6
%
303
.5
%
Net
assets,
end
of
period
(in
thousands)
$533,766
$483,259
$471,146
0
%
0
%
0
%
(1)
Inception
date
(2)
Per
share
amounts
calculated
using
average
shares
outstanding
method.
(3)
See
Note
6
for
details
of
expense-related
arrangements
with
Price
Associates.
(4)
Total
return
reflects
the
rate
that
an
investor
would
have
earned
on
an
investment
in
the
fund
during
each
period,
assuming
reinvestment
of
all
distributions,
and
payment
of
no
redemption
or
account
fees,
if
applicable.
Total
return
is
not
annualized
for
periods
less
than
one
year.
(5)
Annualized
(6)
See
Note
4
.
The
portfolio
turnover
rate
calculation
includes
purchases
and
sales
from
the
mortgage
dollar
roll
transactions.
T.
ROWE
PRICE
GNMA
Fund
November
30,
2022
(Unaudited)
Portfolio
of
Investments
‡
Par/Shares
$
Value
(Amounts
in
000s)
‡
NON-U.S.
GOVERNMENT
MORTGAGE-BACKED
SECURITIES
2.2%
Home
Equity
Loans
Backed
0.4%
Flagstar
Mortgage
Trust
Series
2021-5INV,
Class
A16,
CMO,
ARM
2.50%,
7/25/51
(1)
5,179
4,092
4,092
Whole
Loans
Backed
1.8%
CIM
Trust
Series
2021-INV1,
Class
A29,
CMO,
ARM
2.50%,
7/1/51
(1)
2,289
1,802
GS
Mortgage-Backed
Securities
Trust
Series
2021-GR1,
Class
A4,
CMO,
ARM
2.50%,
11/25/51
(1)
9,520
7,522
GS
Mortgage-Backed
Securities
Trust
Series
2021-GR2,
Class
A4,
CMO,
ARM
2.50%,
2/25/52
(1)
5,579
4,392
UWM
Mortgage
Trust
Series
2021-INV5,
Class
A14,
CMO,
ARM
3.00%,
1/25/52
(1)
2,249
1,829
Vista
Point
Securitization
Trust
Series
2020-1,
Class
A2,
CMO,
ARM
2.77%,
3/25/65
(1)
2,615
2,584
18,129
Total
Non-U.S.
Government
Mortgage-Backed
Securities
(Cost
$27,663)
22,221
U.S.
GOVERNMENT
&
AGENCY
MORTGAGE-BACKED
SECURITIES
112.8%
U.S.
Government
Agency
Obligations
6.2%
Federal
Home
Loan
Mortgage
6.50%,
8/1/36
17
18
7.00%,
11/1/30
-
4/1/32
315
330
Federal
Home
Loan
Mortgage,
UMBS
2.50%,
1/1/52
7,770
6,695
5.00%,
10/1/51
2,077
2,075
Federal
National
Mortgage
Assn.
3.50%,
7/1/48
-
11/1/48
1,010
928
Federal
National
Mortgage
Assn.,
ARM,
12M
USD
LIBOR
+
1.587%,
3.566%,
11/1/35
3
3
Federal
National
Mortgage
Assn.,
CMO,
5.50%,
12/25/36
616
628
Federal
National
Mortgage
Assn.,
CMO,
IO,
3.00%,
2/25/28
3,764
176
Federal
National
Mortgage
Assn.,
UMBS
2.50%,
3/1/42
6,216
5,477
Par/Shares
$
Value
(Amounts
in
000s)
3.00%,
9/1/51
16,891
14,996
3.50%,
5/1/50
1,394
1,290
5.00%,
10/1/51
2,344
2,340
UMBS,
TBA
(2)
1.50%,
12/1/37
1,806
1,583
2.00%,
12/1/37
-
12/1/52
6,103
5,327
2.50%,
12/1/37
-
12/1/52
8,683
7,645
3.00%,
12/1/52
1,604
1,419
3.50%,
12/1/52
6,840
6,261
4.00%,
12/1/52
2,437
2,304
4.50%,
12/1/52
575
560
5.00%,
12/1/52
1,742
1,733
61,788
U.S.
Government
Obligations
106.6%
Government
National
Mortgage
Assn.
1.50%,
7/20/36
-
4/20/52
52,207
44,129
2.00%,
11/20/50
-
9/20/52
210,824
180,110
2.50%,
8/20/50
-
9/20/52
192,822
169,222
3.00%,
11/20/26
-
10/20/51
169,313
154,491
3.50%,
1/20/27
-
5/20/51
139,619
131,754
4.00%,
3/20/39
-
10/20/50
80,195
77,627
4.50%,
5/20/30
-
6/20/50
42,848
43,015
5.00%,
5/15/33
-
6/20/49
29,795
30,453
5.50%,
5/20/31
-
3/20/49
21,683
22,584
6.00%,
6/20/31
-
11/20/48
5,537
5,867
6.50%,
12/15/23
-
4/20/39
1,829
1,920
7.00%,
1/20/28
-
1/20/34
359
372
7.50%,
2/15/23
-
6/15/32
506
517
8.00%,
10/20/24
-
3/15/30
283
287
9.00%,
5/15/24
-
3/20/25
6
7
9.50%,
9/15/24
-
12/15/24
4
4
Government
National
Mortgage
Assn.,
CMO
3.00%,
2/20/46
3,000
2,481
3.50%,
6/20/47
-
10/20/50
7,031
6,281
Government
National
Mortgage
Assn.,
CMO,
ARM,
IO,
2.667%,
2/16/51
6,492
655
Government
National
Mortgage
Assn.,
CMO,
IO
3.00%,
6/20/37
-
1/20/50
4,869
458
3.50%,
8/20/29
-
11/20/51
29,313
3,396
4.00%,
5/20/37
-
6/20/49
20,184
3,302
4.50%,
4/20/39
-
6/20/49
8,867
1,045
5.00%,
2/16/40
19,602
3,690
Government
National
Mortgage
Assn.,
TBA
(2)
2.00%,
10/20/52
-
12/20/52
4,329
3,590
2.50%,
12/20/52
1,536
1,350
3.00%,
12/20/52
11,135
10,056
Par/Shares
$
Value
(Amounts
in
000s)
3.50%,
12/20/52
39,095
36,291
4.00%,
12/20/52
12,390
11,826
4.50%,
12/20/52
14,320
14,025
5.00%,
10/20/52
10,000
9,734
6.00%,
12/20/52
81,350
83,021
6.50%,
1/20/53
13,345
13,675
1,067,235
Total
U.S.
Government
&
Agency
Mortgage-Backed
Securities
(Cost
$1,220,929)
1,129,023
U.S.
GOVERNMENT
AGENCY
OBLIGATIONS
(EXCLUDING
MORTGAGE-BACKED)
3.8%
U
S
Treasury
Obligations
3.8%
U.S.
Treasury
Inflation-Indexed
Notes,
0.625%,
7/15/32
20,934
19,682
U.S.
Treasury
Notes,
4.375%,
10/31/24
18,235
18,232
Total
U.S.
Government
Agency
Obligations
(Excluding
Mortgage-Backed)
(Cost
$37,447)
37,914
SHORT-TERM
INVESTMENTS
1.7%
Money
Market
Funds
1.7%
T.
Rowe
Price
Government
Reserve
Fund,
3.86%
(3)(4)
17,479
17,479
Total
Short-Term
Investments
(Cost
$17,479)
17,479
Total
Investments
in
Securities
120.5%
of
Net
Assets
(Cost
$1,303,518)
$
1,206,637
‡
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
$22,221
and
represents
2.2%
of
net
assets.
(2)
See
Note
4
.
To-Be-Announced
purchase
commitment.
Total
value
of
such
securities
at
period-end
amounts
to
$210,400
and
represents
21.0%
of
net
assets.
(3)
Seven-day
yield
(4)
Affiliated
Companies
12M
USD
LIBOR
Twelve
month
USD
LIBOR
(London
interbank
offered
rate)
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.
CMO
Collateralized
Mortgage
Obligation
IO
Interest-only
security
for
which
the
fund
receives
interest
on
notional
principal
TBA
To-Be-Announced
UMBS
Uniform
Mortgage-Backed
Securities
Par
$
Value
(Amounts
in
000s)
TBA
SALES
COMMITMENTS
(3.5)%
U.S.
GOVERNMENT
&
AGENCY
MORTGAGE-BACKED
SECURITIES
(3.5)%
U.S.
Government
Obligations
(3.5)%
Government
National
Mortgage
Assn.,
TBA
2.00%,
10/20/52
-
12/20/52
10,295
(
8,666
)
3.00%,
12/20/52
3,131
(
2,828
)
3.50%,
12/20/52
3,048
(
2,829
)
4.00%,
12/20/52
5,927
(
5,657
)
4.50%,
12/20/52
2,888
(
2,829
)
5.00%,
10/20/52
-
12/20/52
12,825
(
12,556
)
Total
TBA
Sales
Commitments
(Proceeds
$(35,646))
(
35,365
)
FUTURES
CONTRACTS
($000s)
Expiration
Date
Notional
Amount
Value
and
Unrealized
Gain
(Loss)
Long,
269
U.S.
Treasury
Notes
two
year
contracts
3/23
55,242
$
147
Long,
73
Ultra
U.S.
Treasury
Bonds
contracts
3/23
9,948
164
Short,
326
Ultra
U.S.
Treasury
Notes
ten
year
contracts
3/23
(39,008)
(
393
)
Net
payments
(receipts)
of
variation
margin
to
date
32
Variation
margin
receivable
(payable)
on
open
futures
contracts
$
(
50
)
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
AFFILIATED
COMPANIES
($000s)
The
fund
may
invest
in
certain
securities
that
are
considered
affiliated
companies.
As
defined
by
the
1940
Act,
an
affiliated
company
is
one
in
which
the
fund
owns
5%
or
more
of
the
outstanding
voting
securities,
or
a
company
that
is
under
common
ownership
or
control.
The
following
securities
were
considered
affiliated
companies
for
all
or
some
portion
of
the
six
months
ended
November
30,
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
Government
Reserve
Fund,
3.86%
$
—
#
$
—
$
447
+
Supplementary
Investment
Schedule
Affiliate
Value
05/31/22
Purchase
Cost
Sales
Cost
Value
11/30/22
T.
Rowe
Price
Government
Reserve
Fund,
3.86%
$
35,727
¤
¤
$
17,479
^
#
Capital
gain
distributions
from
underlying
Price
funds
represented
$0
of
the
net
realized
gain
(loss).
+
Investment
income
comprised
$447
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
$17,479.
T.
ROWE
PRICE
GNMA
Fund
November
30,
2022
(Unaudited)
Statement
of
Assets
and
Liabilities
($000s,
except
shares
and
per
share
amounts)
Assets
Investments
in
securities,
at
value
(cost
$1,303,518)
$
1,206,637
Receivable
for
investment
securities
sold
228,928
Interest
receivable
3,489
Cash
2,483
Cash
deposits
on
futures
contracts
686
Receivable
for
shares
sold
323
Due
from
affiliates
98
Other
assets
221
Total
assets
1,442,865
Liabilities
Payable
for
investment
securities
purchased
405,062
TBA
Sales
Commitments
(proceeds
$35,646)
35,365
Investment
management
fees
payable
288
Payable
for
shares
redeemed
213
Variation
margin
payable
on
futures
contracts
50
Other
liabilities
337
Total
liabilities
441,315
NET
ASSETS
$
1,001,550
T.
ROWE
PRICE
GNMA
Fund
November
30,
2022
(Unaudited)
Statement
of
Assets
and
Liabilities
($000s,
except
shares
and
per
share
amounts)
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Net
Assets
Consist
of:
Total
distributable
earnings
(loss)
$
(
208,201
)
Paid-in
capital
applicable
to
123,404,883
no
par
value
shares
of
beneficial
interest
outstanding;
1,000,000,000
shares
authorized
1,209,751
NET
ASSETS
$
1,001,550
NET
ASSET
VALUE
PER
SHARE
Investor
Class
($291,242,405
/
35,882,930
shares
outstanding)
$
8.12
I
Class
($176,541,582
/
21,763,130
shares
outstanding)
$
8.11
Z
Class
($533,766,324
/
65,758,823
shares
outstanding)
$
8.12
T.
ROWE
PRICE
GNMA
Fund
(Unaudited)
6
Months
Ended
11/30/22
Investment
Income
(Loss)
Interest
income
$
14,352
Expenses
Investment
management
1,717
Shareholder
servicing
Investor
Class
$
376
I
Class
46
422
Prospectus
and
shareholder
reports
Investor
Class
13
I
Class
1
Z
Class
2
16
Custody
and
accounting
121
Interest
65
Registration
32
Legal
and
audit
17
Directors
1
Miscellaneous
9
Waived
/
paid
by
Price
Associates
(
1,014
)
Total
expenses
1,386
Net
investment
income
12,966
T.
ROWE
PRICE
GNMA
Fund
(Unaudited)
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
6
Months
Ended
11/30/22
Realized
and
Unrealized
Gain
/
Loss
–
Net
realized
gain
(loss)
Securities
(
5,441
)
Futures
(
616
)
Swaps
(
1,466
)
Net
realized
loss
(
7,523
)
Change
in
net
unrealized
gain
/
loss
Securities
(
42,355
)
Futures
(
82
)
Swaps
1,755
TBA
Sales
Commitments
163
Change
in
net
unrealized
gain
/
loss
(
40,519
)
Net
realized
and
unrealized
gain
/
loss
(
48,042
)
DECREASE
IN
NET
ASSETS
FROM
OPERATIONS
$
(
35,076
)
T.
ROWE
PRICE
GNMA
Fund
(Unaudited)
Statement
of
Changes
in
Net
Assets
6
Months
Ended
11/30/22
Year
Ended
5/31/22
Increase
(Decrease)
in
Net
Assets
Operations
Net
investment
income
$
12,966
$
14,027
Net
realized
loss
(
7,523
)
(
31,770
)
Change
in
net
unrealized
gain
/
loss
(
40,519
)
(
62,824
)
Decrease
in
net
assets
from
operations
(
35,076
)
(
80,567
)
Distributions
to
shareholders
Net
earnings
Investor
Class
(
3,401
)
(
4,437
)
I
Class
(
2,245
)
(
981
)
Z
Class
(
6,797
)
(
7,482
)
Decrease
in
net
assets
from
distributions
(
12,443
)
(
12,900
)
Capital
share
transactions
*
Shares
sold
Investor
Class
12,458
28,105
I
Class
6,632
184,574
Z
Class
84,197
73,572
Distributions
reinvested
Investor
Class
3,135
3,958
I
Class
1,981
869
Z
Class
6,797
7,482
Shares
redeemed
Investor
Class
(
37,191
)
(
318,108
)
I
Class
(
13,612
)
(
17,172
)
Z
Class
(
19,655
)
(
25,214
)
Increase
(decrease)
in
net
assets
from
capital
share
transactions
44,742
(
61,934
)
T.
ROWE
PRICE
GNMA
Fund
(Unaudited)
Statement
of
Changes
in
Net
Assets
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
6
Months
Ended
11/30/22
Year
Ended
5/31/22
Net
Assets
Decrease
during
period
(
2,777
)
(
155,401
)
Beginning
of
period
1,004,327
1,159,728
End
of
period
$
1,001,550
$
1,004,327
*Share
information
(000s)
Shares
sold
Investor
Class
1,505
3,088
I
Class
807
20,679
Z
Class
10,818
7,955
Distributions
reinvested
Investor
Class
383
438
I
Class
242
100
Z
Class
831
832
Shares
redeemed
Investor
Class
(
4,544
)
(
35,318
)
I
Class
(
1,670
)
(
1,955
)
Z
Class
(
2,384
)
(
2,847
)
Increase
(decrease)
in
shares
outstanding
5,988
(
7,028
)
T.
ROWE
PRICE
GNMA
Fund
Unaudited
NOTES
TO
FINANCIAL
STATEMENTS
T.
Rowe
Price
GNMA
Fund,
Inc.
(the
fund) is
registered
under
the
Investment
Company
Act
of
1940
(the
1940
Act)
as a
diversified,
open-end
management
investment
company. The
fund
seeks
high
current
income
consistent
with
high
overall
credit
quality
and
moderate
price
fluctuation
by
investing
at
least
80%
of
its
total
assets
in
Government
National
Mortgage
Association
securities
backed
by
the
full
faith
and
credit
of
the
U.S.
government.
The
fund
has
three classes
of
shares:
the
GNMA
Fund
(Investor
Class),
the
GNMA
Fund–I
Class
(I
Class)
and
the
GNMA
Fund–Z
Class
(Z
Class).
I
Class
shares
require
a
$500,000
initial
investment
minimum,
although
the
minimum
generally
is
waived
or
reduced
for
financial
intermediaries,
eligible
retirement
plans,
and
certain
other
accounts.
Prior
to
November
15,
2021,
the
initial
investment
minimum
was
$1
million
and
was
generally
waived
for
financial
intermediaries,
eligible
retirement
plans,
and
other
certain
accounts.
As
a
result
of
the
reduction
in
the
I
Class
minimum,
certain
assets
transferred
from
the
Investor
Class
to
the
I
Class.
This
transfer
of
shares
from
Investor
Class
to
I
Class
is
reflected
in
the
Statement
of
Changes
in
Net
Assets
within
the
Capital
shares
transactions
as
Shares
redeemed
and
Shares
sold,
respectively.
The
Z
Class
is
only
available
to
funds
advised
by
T.
Rowe
Price
Associates,
Inc.
and
its
affiliates
and
other
clients
that
are
subject
to
a
contractual
fee
for
investment
management
services. Each
class
has
exclusive
voting
rights
on
matters
related
solely
to
that
class;
separate
voting
rights
on
matters
that
relate
to
all
classes;
and,
in
all
other
respects,
the
same
rights
and
obligations
as
the
other
classes.
NOTE
1
-
SIGNIFICANT
ACCOUNTING
POLICIES
Basis
of
Preparation
The fund
is
an
investment
company
and
follows
accounting
and
reporting
guidance
in
the
Financial
Accounting
Standards
Board
(FASB)
Accounting
Standards
Codification
Topic
946
(ASC
946).
The
accompanying
financial
statements
were
prepared
in
accordance
with
accounting
principles
generally
accepted
in
the
United
States
of
America
(GAAP),
including,
but
not
limited
to,
ASC
946.
GAAP
requires
the
use
of
estimates
made
by
management.
Management
believes
that
estimates
and
valuations
are
appropriate;
however,
actual
results
may
differ
from
those
estimates,
and
the
valuations
reflected
in
the
accompanying
financial
statements
may
differ
from
the
value
ultimately
realized
upon
sale
or
maturity.
Investment
Transactions,
Investment
Income,
and
Distributions
Investment
transactions
are
accounted
for
on
the
trade
date
basis.
Income
and
expenses
are
recorded
on
the
accrual
basis.
Realized
gains
and
losses
are
reported
on
the
identified
cost
basis.
Premiums
and
discounts
on
debt
securities
are
amortized
for
financial
reporting
purposes.
Paydown
gains
and
losses
are
recorded
as
an
adjustment
to
interest
income.
Inflation
adjustments
to
the
principal
amount
of
inflation-indexed
bonds
are
reflected
as
interest
income.
Income
tax-related
interest
and
penalties,
if
incurred,
are
recorded
as
income
tax
expense.
Dividends
received
from
mutual
fund
investments
are
reflected
as
dividend
income;
capital
gain
distributions
are
reflected
as
realized
gain/
loss.
Dividend
income
and
capital
gain
distributions
are
recorded
on
the
ex-dividend
date.
Non-cash
dividends,
if
any,
are
recorded
at
the
fair
market
value
of
the
asset
received.
Distributions
to
shareholders
are
recorded
on
the
ex-dividend
date.
Income
distributions,
if
any, are
declared
by
each
class daily
and
paid
monthly.
A
capital
gain
distribution,
if
any, may
also
be
declared
and
paid
by
the
fund
annually.
Class
Accounting
Shareholder
servicing,
prospectus,
and
shareholder
report
expenses
incurred
by
each
class
are
charged
directly
to
the
class
to
which
they
relate.
Expenses
common
to all classes
and
investment
income
are
allocated
to
the
classes
based
upon
the
relative
daily
net
assets
of
each
class’s
settled
shares;
realized
and
unrealized
gains
and
losses
are
allocated
based
upon
the
relative
daily
net
assets
of
each
class’s
outstanding
shares.
Capital
Transactions
Each
investor’s
interest
in
the
net
assets
of the
fund
is
represented
by
fund
shares. The
fund’s
net
asset
value
(NAV)
per
share
is
computed
at
the
close
of
the
New
York
Stock
Exchange
(NYSE),
normally
4
p.m.
ET,
each
day
the
NYSE
is
open
for
business.
However,
the
NAV
per
share
may
be
calculated
at
a
time
other
than
the
normal
close
of
the
NYSE
if
trading
on
the
NYSE
is
restricted,
if
the
NYSE
closes
earlier,
or
as
may
be
permitted
by
the
SEC.
Purchases
and
redemptions
of
fund
shares
are
transacted
at
the
next-computed
NAV
per
share,
after
receipt
of
the
transaction
order
by
T.
Rowe
Price
Associates,
Inc.,
or
its
agents.
New
Accounting
Guidance
The
FASB
issued
Accounting
Standards
Update
(ASU),
ASU
2020–04,
Reference
Rate
Reform
(Topic
848) –
Facilitation
of
the
Effects
of
Reference
Rate
Reform
on
Financial
Reporting
in
March
2020
and
ASU
2021-01
in
January
2021
which
provided
further
amendments
and
clarifications
to
Topic
848.
These
ASUs provide
optional,
temporary
relief
with
respect
to
the
financial
reporting
of
contracts
subject
to
certain
types
of
modifications
due
to
the
planned
discontinuation
of
the
London
Interbank
Offered
Rate
(LIBOR),
and
other
interbank-offered
based
reference
rates,
through December
31,
2022.
Management
intends
to
rely
upon
the
relief
provided
under
Topic
848,
which
is
not
expected to
have
a
material
impact
on
the fund's
financial statements.
Indemnification
In
the
normal
course
of
business, the
fund
may
provide
indemnification
in
connection
with
its
officers
and
directors,
service
providers,
and/or
private
company
investments. The
fund’s
maximum
exposure
under
these
arrangements
is
unknown;
however,
the
risk
of
material
loss
is
currently
considered
to
be
remote.
NOTE
2
-
VALUATION
Fair
Value
The
fund’s
financial
instruments
are
valued
at
the
close
of
the
NYSE
and
are
reported
at
fair
value,
which
GAAP
defines
as
the
price
that
would
be
received
to
sell
an
asset
or
paid
to
transfer
a
liability
in
an
orderly
transaction
between
market
participants
at
the
measurement
date. The fund’s
Board
of
Directors
(the
Board)
has
designated
T.
Rowe
Price
Associates,
Inc.
as
the
fund’s
valuation
designee
(Valuation
Designee).
Subject
to
oversight
by
the
Board,
the
Valuation
Designee
performs
the
following
functions
in
performing
fair
value
determinations:
assesses
and
manages
valuation
risks;
establishes
and
applies
fair
value
methodologies;
tests
fair
value
methodologies;
and
evaluates
pricing
vendors
and
pricing
agents.
The
duties
and
responsibilities
of
the
Valuation
Designee
are
performed
by
its
Valuation
Committee. The
Valuation
Designee provides
periodic
reporting
to
the
Board
on
valuation
matters.
Various
valuation
techniques
and
inputs
are
used
to
determine
the
fair
value
of
financial
instruments.
GAAP
establishes
the
following
fair
value
hierarchy
that
categorizes
the
inputs
used
to
measure
fair
value:
Level
1
–
quoted
prices
(unadjusted)
in
active
markets
for
identical
financial
instruments
that
the
fund
can
access
at
the
reporting
date
Level
2
–
inputs
other
than
Level
1
quoted
prices
that
are
observable,
either
directly
or
indirectly
(including,
but
not
limited
to,
quoted
prices
for
similar
financial
instruments
in
active
markets,
quoted
prices
for
identical
or
similar
financial
instruments
in
inactive
markets,
interest
rates
and
yield
curves,
implied
volatilities,
and
credit
spreads)
Level
3
–
unobservable
inputs
(including
the Valuation
Designee’s assumptions
in
determining
fair
value)
Observable
inputs
are
developed
using
market
data,
such
as
publicly
available
information
about
actual
events
or
transactions,
and
reflect
the
assumptions
that
market
participants
would
use
to
price
the
financial
instrument.
Unobservable
inputs
are
those
for
which
market
data
are
not
available
and
are
developed
using
the
best
information
available
about
the
assumptions
that
market
participants
would
use
to
price
the
financial
instrument.
GAAP
requires
valuation
techniques
to
maximize
the
use
of
relevant
observable
inputs
and
minimize
the
use
of
unobservable
inputs.
When
multiple
inputs
are
used
to
derive
fair
value,
the
financial
instrument
is
assigned
to
the
level
within
the
fair
value
hierarchy
based
on
the
lowest-level
input
that
is
significant
to
the
fair
value
of
the
financial
instrument.
Input
levels
are
not
necessarily
an
indication
of
the
risk
or
liquidity
associated
with
financial
instruments
at
that
level
but
rather
the
degree
of
judgment
used
in
determining
those
values.
Valuation
Techniques
Debt
securities
generally
are
traded
in
the over-the-counter
(OTC)
market
and
are
valued
at
prices
furnished
by
independent
pricing
services
or
by
broker
dealers
who
make
markets
in
such
securities.
When
valuing
securities,
the
independent
pricing
services
consider
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
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.
Assets
and
liabilities
other
than
financial
instruments,
including
short-term
receivables
and
payables,
are
carried
at
cost,
or
estimated
realizable
value,
if
less,
which
approximates
fair
value.
Investments
for
which
market
quotations are
not
readily
available
or
deemed
unreliable
are
valued
at
fair
value
as
determined
in
good
faith
by
the
Valuation
Designee.
The
Valuation
Designee
has
adopted
methodologies
for
determining
the
fair
value
of
investments
for
which
market
quotations
are
not
readily
available
or
deemed
unreliable,
including
the
use
of
other
pricing
sources.
Factors
used
in
determining
fair
value
vary
by
type
of
investment
and
may
include
market
or
investment
specific
considerations.
The
Valuation
Designee typically
will
afford
greatest
weight
to
actual
prices
in
arm’s
length
transactions,
to
the
extent
they
represent
orderly
transactions
between
market
participants,
transaction
information
can
be
reliably
obtained,
and
prices
are
deemed
representative
of
fair
value.
However,
the
Valuation
Designee may
also
consider
other
valuation
methods
such
as
market-based
valuation
multiples;
a
discount
or
premium
from
market
value
of
a
similar,
freely
traded
security
of
the
same
issuer;
discounted
cash
flows;
yield
to
maturity;
or
some
combination.
Fair
value
determinations
are
reviewed
on
a
regular
basis.
Because
any
fair
value
determination
involves
a
significant
amount
of
judgment,
there
is
a
degree
of
subjectivity
inherent
in
such
pricing
decisions. Fair
value
prices
determined
by
the
Valuation
Designee could
differ
from
those
of
other
market
participants,
and
it
is
possible
that
the
fair
value
determined
for
a
security
may
be
materially
different
from
the
value
that
could
be
realized
upon
the
sale
of
that
security.
Valuation
Inputs
The
following
table
summarizes
the
fund’s
financial
instruments,
based
on
the
inputs
used
to
determine
their
fair
values
on
November
30,
2022
(for
further
detail
by
category,
please
refer
to
the
accompanying
Portfolio
of
Investments):
NOTE
3
-
DERIVATIVE
INSTRUMENTS
During
the
six
months ended
November
30,
2022,
the
fund
invested
in
derivative
instruments.
As
defined
by
GAAP,
a
derivative
is
a
financial
instrument
whose
value
is
derived
from
an
underlying
security
price,
foreign
exchange
rate,
interest
rate,
index
of
prices
or
rates,
or
other
variable;
it
requires
little
or
no
initial
investment
and
permits
or
requires
net
settlement.
The
fund
invests
in
derivatives
only
if
the
expected
risks
and
rewards
are
consistent
with
its
investment
objectives,
policies,
and
overall
risk
profile,
as
described
in
its
prospectus
and
Statement
of
Additional
Information.
The
fund
may
use
derivatives
for
a
variety
of
purposes
and
may
use
them
to
establish
both
long
and
short
positions
within
the
fund’s
portfolio.
Potential
uses
include
to
hedge
against
declines
in
principal
value,
increase
yield,
invest
in
an
asset
with
greater
efficiency
and
at
($000s)
Level
1
Level
2
Level
3
Total
Value
Assets
Fixed
Income
Securities
1
$
—
$
1,189,158
$
—
$
1,189,158
Short-Term
Investments
17,479
—
—
17,479
Total
Securities
17,479
1,189,158
—
1,206,637
Futures
Contracts*
311
—
—
311
Total
$
17,790
$
1,189,158
$
—
$
1,206,948
Liabilities
TBA
Sales
Commitments
$
—
$
35,365
$
—
$
35,365
Futures
Contracts*
393
—
—
393
Total
$
393
$
35,365
$
—
$
35,758
1
Includes
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;
however,
the
net
value
reflected
on
the
accompanying
Portfolio
of
Investments
is
only
the
unsettled
variation
margin
receivable
(payable)
at
that
date.
a
lower
cost
than
is
possible
through
direct
investment,
to
enhance
return,
or
to
adjust
portfolio
duration
and
credit
exposure.
The
risks
associated
with
the
use
of
derivatives
are
different
from,
and
potentially
much
greater
than,
the
risks
associated
with
investing
directly
in
the
instruments
on
which
the
derivatives
are
based.
The
fund
values
its
derivatives
at
fair
value
and
recognizes
changes
in
fair
value
currently
in
its
results
of
operations.
Accordingly,
the
fund
does
not
follow
hedge
accounting,
even
for
derivatives
employed
as
economic
hedges.
Generally,
the
fund
accounts
for
its
derivatives
on
a
gross
basis.
It
does
not
offset
the
fair
value
of
derivative
liabilities
against
the
fair
value
of
derivative
assets
on
its
financial
statements,
nor
does
it
offset
the
fair
value
of
derivative
instruments
against
the
right
to
reclaim
or
obligation
to
return
collateral.
The
following
table
summarizes
the
fair
value
of
the
fund’s
derivative
instruments
held
as
of
November
30,
2022,
and
the
related
location
on
the
accompanying
Statement
of
Assets
and
Liabilities,
presented
by
primary
underlying
risk
exposure:
($000s)
Location
on
Statement
of
Assets
and
Liabilities
Fair
Value*
Assets
Interest
rate
derivatives
Futures
$
311
*
Total
$
311
*
Liabilities
Interest
rate
derivatives
Futures
$
393
Total
$
393
*
The
fair
value
presented
includes
cumulative
gain
(loss)
on
open
futures
contracts;
however,
the
value
reflected
on
the
accompanying
Statement
of
Assets
and
Liabilities
is
only
the
unsettled
variation
margin
receivable
(payable)
at
that
date.
Additionally,
the
amount
of
gains
and
losses
on
derivative
instruments
recognized
in
fund
earnings
during
the
six
months ended
November
30,
2022,
and
the
related
location
on
the
accompanying
Statement
of
Operations
is
summarized
in
the
following
table
by
primary
underlying
risk
exposure:
Counterparty
Risk
and
Collateral
The
fund
invests
in
exchange-traded
and/or
centrally
cleared
derivative
contracts,
such
as
futures,
exchange-traded
options,
and
centrally
cleared
swaps.
Counterparty
risk
on
such
derivatives
is
minimal
because
the
clearinghouse
provides
protection
against
counterparty
defaults.
For
futures
and
centrally
cleared
swaps,
the
fund
is
required
to
deposit
collateral
in
an
amount
specified
by
the
clearinghouse
and
the
clearing
firm
(margin
requirement),
and
the
margin
requirement
must
be
maintained
over
the
life
of
the
contract.
Each
clearinghouse
and
clearing
firm,
in
its
sole
discretion,
may
adjust
the
margin
requirements
applicable
to
the
fund.
Collateral may
be
in
the
form
of
cash
or
debt
securities
issued
by
the
U.S.
government
or
related
agencies.
Cash
posted
by
the
fund
is
reflected
as
cash
deposits
in
the
accompanying
financial
statements
and
generally
is
restricted
from
withdrawal
by
the
fund;
securities
posted
by
the
fund
are
so
noted
in
the
accompanying
Portfolio
of
Investments;
both
remain
in
the
fund’s
assets.
While
typically
not
sold
in
the
same
manner
as
equity
or
fixed
income
securities,
exchange-traded
or
centrally
cleared
derivatives
may
be
closed
out
only
on
the
exchange
or
clearinghouse
where
the
contracts
($000s)
Location
of
Gain
(Loss)
on
Statement
of
Operations
Futures
Swaps
Total
Realized
Gain
(Loss)
Inflation
derivatives
$
—
$
(1,466
)
$
(1,466
)
Interest
rate
derivatives
(616
)
—
(616
)
Total
$
(616
)
$
(1,466
)
$
(2,082
)
Change
in
Unrealized
Gain
(Loss)
Inflation
derivatives
$
—
$
1,755
$
1,755
Interest
rate
derivatives
(82
)
—
(82
)
Total
$
(82
)
$
1,755
$
1,673
were
cleared.
This
ability
is
subject
to
the
liquidity
of
underlying
positions. As
of
November
30,
2022,
cash
of $686,000 had
been
posted
by
the
fund
for
exchange-traded
and/or
centrally
cleared
derivatives.
Futures
Contracts
The
fund
is
subject
to interest
rate
risk in
the
normal
course
of
pursuing
its
investment
objectives
and
uses
futures
contracts
to
help
manage
such
risk.
The
fund
may
enter
into
futures
contracts
to
manage
exposure
to
interest
rate
and
yield
curve
movements,
security
prices,
foreign
currencies,
credit
quality,
and
mortgage
prepayments;
as
an
efficient
means
of
adjusting
exposure
to
all
or
part
of
a
target
market;
to
enhance
income;
as
a
cash
management
tool;
or
to
adjust
portfolio
duration
and
credit
exposure. A
futures
contract
provides
for
the
future
sale
by
one
party
and
purchase
by
another
of
a
specified
amount
of
a
specific
underlying
financial
instrument
at
an
agreed-upon
price,
date,
time,
and
place.
The
fund
currently
invests
only
in
exchange-traded
futures,
which
generally
are
standardized
as
to
maturity
date,
underlying
financial
instrument,
and
other
contract
terms.
Payments
are
made
or
received
by
the
fund
each
day
to
settle
daily
fluctuations
in
the
value
of
the
contract
(variation
margin),
which
reflect
changes
in
the
value
of
the
underlying
financial
instrument.
Variation
margin
is
recorded
as
unrealized
gain
or
loss
until
the
contract
is
closed.
The
value
of
a
futures
contract
included
in
net
assets
is
the
amount
of
unsettled
variation
margin;
net
variation
margin
receivable
is
reflected
as
an
asset
and
net
variation
margin
payable
is
reflected
as
a
liability
on
the
accompanying
Statement
of
Assets
and
Liabilities.
Risks
related
to
the
use
of
futures
contracts
include
possible
illiquidity
of
the
futures
markets,
contract
prices
that
can
be
highly
volatile
and
imperfectly
correlated
to
movements
in
hedged
security
values
and/or
interest
rates,
and
potential
losses
in
excess
of
the
fund’s
initial
investment.
During
the
six
months ended
November
30,
2022,
the
volume
of
the
fund’s
activity
in
futures,
based
on
underlying
notional
amounts,
was
generally
between
0%
and
24%
of
net
assets.
Swaps
The
fund
is
subject
to
inflation
risk in
the
normal
course
of
pursuing
its
investment
objectives
and
uses
swap
contracts
to
help
manage
such
risk.
The
fund
may
use
swaps
in
an
effort
to
manage
both
long
and
short
exposure
to
changes
in
interest
rates,
inflation
rates,
and
credit
quality;
to
adjust
overall
exposure
to
certain
markets;
to
enhance
total
return
or
protect
the
value
of
portfolio
securities;
to
serve
as
a
cash
management
tool;
or
to
adjust
portfolio
duration
and
credit
exposure.
Swap
agreements
can
be
settled
either
directly
with
the
counterparty
(bilateral
swap)
or
through
a
central
clearinghouse
(centrally
cleared
swap).
Fluctuations
in
the
fair
value
of
a
contract
are
reflected
in
unrealized
gain
or
loss
and
are
reclassified
to
realized
gain
or
loss
upon
contract
termination
or
cash
settlement.
Net
periodic
receipts
or
payments
required
by
a
contract
increase
or
decrease,
respectively,
the
value
of
the
contract
until
the
contractual
payment
date,
at
which
time
such
amounts
are
reclassified
from
unrealized
to
realized
gain
or
loss.
For
bilateral
swaps,
cash
payments
are
made
or
received
by
the
fund
on
a
periodic
basis
in
accordance
with
contract
terms;
unrealized
gain
on
contracts
and
premiums
paid
are
reflected
as
assets
and
unrealized
loss
on
contracts
and
premiums
received
are
reflected
as
liabilities
on
the
accompanying
Statement
of
Assets
and
Liabilities.
For
bilateral
swaps,
premiums
paid
or
received
are
amortized
over
the
life
of
the
swap
and
are
recognized
as
realized
gain
or
loss
in
the
Statement
of
Operations.
For
centrally
cleared
swaps,
payments
are
made
or
received
by
the
fund
each
day
to
settle
the
daily
fluctuation
in
the
value
of
the
contract
(variation
margin).
Accordingly,
the
value
of
a
centrally
cleared
swap
included
in
net
assets
is
the
unsettled
variation
margin;
net
variation
margin
receivable
is
reflected
as
an
asset
and
net
variation
margin
payable
is
reflected
as
a
liability
on
the
accompanying
Statement
of
Assets
and
Liabilities.
Zero-coupon
inflation
swaps
are
agreements
to
exchange
cash
flows,
on
the
contract’s
maturity
date,
based
on
the
difference
between
a
predetermined
fixed
rate
and
the
cumulative
change
in
the
consumer
price
index,
both
applied
to
a
notional
principal
amount
for
a
specified
period
of
time.
Risks
related
to
the
use
of
zero-coupon
inflation
swaps
include
the
potential
for
unanticipated
movements
in
inflation
rates,
the
possible
failure
of
a
counterparty
to
perform
in
accordance
with
the
terms
of
the
swap
agreements,
potential
government
regulation
that
could
adversely
affect
the
fund’s
swap
investments,
and
potential
losses
in
excess
of
the
fund’s
initial
investment.
During
the
six
months ended
November
30,
2022,
the
volume
of
the
fund’s
activity
in
swaps,
based
on
underlying
notional
amounts,
was
generally
between
0%
and
15%
of
net
assets.
NOTE
4
-
OTHER
INVESTMENT
TRANSACTIONS
Consistent
with
its
investment
objective,
the
fund
engages
in
the
following
practices
to
manage
exposure
to
certain
risks
and/or
to
enhance
performance.
The
investment
objective,
policies,
program,
and
risk
factors
of
the
fund
are
described
more
fully
in
the
fund’s
prospectus
and
Statement
of
Additional
Information.
Restricted
Securities
The
fund
invests
in
securities
that
are
subject
to
legal
or
contractual
restrictions
on
resale.
Prompt
sale
of
such
securities
at
an
acceptable
price
may
be
difficult
and
may
involve
substantial
delays
and
additional
costs.
Mortgage-Backed
Securities
The
fund
invests
in
mortgage-backed
securities
(MBS
or
pass-through
certificates)
that
represent
an
interest
in
a
pool
of
specific
underlying
mortgage
loans
and
entitle
the
fund
to
the
periodic
payments
of
principal
and
interest
from
those
mortgages.
MBS
may
be
issued
by
government
agencies
or
corporations,
or
private
issuers.
Most
MBS
issued
by
government
agencies
are
guaranteed;
however,
the
degree
of
protection
differs
based
on
the
issuer.
The
fund
also
invests
in
stripped
MBS,
created
when
a
traditional
MBS
is
split
into
an
interest-only
(IO)
and
a
principal-
only
(PO)
strip.
MBS,
including
IOs
and
POs, are
sensitive
to
changes
in
economic
conditions
that
affect
the
rate
of
prepayments
and
defaults
on
the
underlying
mortgages;
accordingly,
the
value,
income,
and
related
cash
flows
from
MBS
may
be
more
volatile
than
other
debt
instruments.
IOs
also
risk
loss
of
invested
principal
from
faster-
than-anticipated
prepayments.
TBA
Purchase,
Sale
Commitments
and
Forward
Settling
Mortgage
Obligations
The
fund
enters
into
to-be-announced
(TBA)
purchase
or
sale
commitments
(collectively,
TBA
transactions),
pursuant
to
which
it
agrees
to
purchase
or
sell,
respectively,
mortgage-backed
securities
for
a
fixed
unit
price,
with
payment
and
delivery
at
a
scheduled
future
date
beyond
the
customary
settlement
period
for
such
securities.
With
TBA
transactions,
the
particular
securities
to
be
received
or
delivered
by
the
fund
are
not
identified
at
the
trade
date;
however,
the
securities
must
meet
specified
terms,
including
rate
and
mortgage
term,
and
be
within
industry-accepted
“good
delivery”
standards.
The
fund
may
enter
into
TBA
transactions
with
the
intention
of
taking
possession
of
or
relinquishing
the
underlying
securities,
may
elect
to
extend
the
settlement
by
“rolling”
the
transaction,
and/or
may
use
TBA
transactions
to
gain
or
reduce
interim
exposure
to
underlying
securities.
Until
settlement,
the
fund
maintains
liquid
assets
sufficient
to
settle
its
commitment
to
purchase
a
TBA
or,
in
the
case
of
a
sale
commitment,
the
fund
maintains
an
entitlement
to
the
security
to
be
sold.
To
mitigate
counterparty
risk,
the
fund
has
entered
into
Master
Securities
Forward
Transaction
Agreements
(MSFTA)
with
counterparties
that
provide
for
collateral
and
the
right
to
offset
amounts
due
to
or
from
those
counterparties
under
specified
conditions.
Subject
to
minimum
transfer
amounts,
collateral
requirements
are
determined
and
transfers
made
based
on
the
net
aggregate
unrealized
gain
or
loss
on
all
TBA
commitments
and
other
forward
settling
mortgage
obligations
with
a
particular
counterparty
(collectively,
MSFTA
Transactions).
At
any
time,
the
fund’s
risk
of
loss
from
a
particular
counterparty
related
to
its
MSFTA
Transactions
is
the
aggregate
unrealized
gain
on
appreciated
MSFTA
Transactions
in
excess
of
unrealized
loss
on
depreciated
MSFTA
Transactions
and
collateral
received,
if
any,
from
such
counterparty. As
of
November
30,
2022,
no
collateral
had
been
posted
by
the
fund
to
counterparties
for
MSFTA
Transactions. Collateral
pledged
by
counterparties
to
the
fund
for
MSFTA
Transactions
consisted
of $2,384,000
cash
as
of
November
30,
2022.
Dollar
Rolls
The
fund
enters
into
dollar
roll
transactions,
pursuant
to
which
it
sells
a
mortgage-backed
TBA
or
security
and
simultaneously
agrees
to
purchase
a
similar,
but
not
identical,
TBA
with
the
same
issuer,
rate,
and
terms
on
a
later
date
at
a
set
price
from
the
same
counterparty.
The
fund
may
execute
a
“roll”
to
obtain
better
underlying
mortgage
securities
or
to
enhance
returns.
While
the
fund
may
enter
into
dollar
roll
transactions
with
the
intention
of
taking
possession
of
the
underlying
mortgage
securities,
it
may
also
close
a
contract
prior
to
settlement
or
“roll”
settlement
to
a
later
date
if
deemed
to
be
in
the
best
interest
of
shareholders.
Actual
mortgages
received
by
the
fund
may
be
less
favorable
than
those
anticipated.
The
fund
accounts
for
dollar
roll
transactions
as
purchases
and
sales,
which
has
the
effect
of
increasing
its
portfolio
turnover
rate.
LIBOR
Transition
The fund
may
invest
in
instruments
that
are
tied
to
reference
rates,
including
LIBOR.
Over
the
course
of
the
last
several
years,
global
regulators
have
indicated
an
intent
to
phase
out
the
use
of
LIBOR
and
similar
interbank
offered
rates
(IBOR).
While
publication
for
most
LIBOR
currencies
and
lesser-used
USD
LIBOR
settings
ceased
immediately
after
December
31,
2021,
remaining
USD
LIBOR
settings
will
continue
to
be
published
until
June
30,
2023.
There
remains
uncertainty
regarding
the
future
utilization
of
LIBOR
and
the
nature
of
any
replacement
rate.
Any
potential
effects
of
the
transition
away
from
LIBOR
on
the fund,
or
on
certain
instruments
in
which
the fund
invests,
cannot
yet
be
determined.
The
transition
process
may
result
in,
among
other
things,
an
increase
in
volatility
or
illiquidity
of
markets
for
instruments
that
currently
rely
on
LIBOR,
a
reduction
in
the
value
of
certain
instruments
held
by
the fund,
or
a
reduction
in
the
effectiveness
of
related
fund
transactions
such
as
hedges.
Any
such
effects
could
have
an
adverse
impact
on
the fund's
performance.
Other
Purchases
and
sales
of
portfolio
securities
other
than
short-term and
U.S.
government
securities
aggregated $– and
$13,311,000,
respectively,
for
the
six
months ended
November
30,
2022.
Purchases
and
sales
of
U.S.
government
securities
aggregated
$5,035,380,000 and
$5,034,522,000,
respectively,
for
the
six
months ended
November
30,
2022.
NOTE
5
-
FEDERAL
INCOME
TAXES
No
provision
for
federal
income
taxes
is
required
since
the
fund
intends
to
continue
to
qualify
as
a
regulated
investment
company
under
Subchapter
M
of
the
Internal
Revenue
Code
and
distribute
to
shareholders
all
of
its
taxable
income
and
gains.
Distributions
determined
in
accordance
with
federal
income
tax
regulations
may
differ
in
amount
or
character
from
net
investment
income
and
realized
gains
for
financial
reporting
purposes.
Financial
reporting
records
are
adjusted
for
permanent
book/tax
differences
to
reflect
tax
character
but
are
not
adjusted
for
temporary
differences.
The
amount
and
character
of
tax-basis
distributions
and
composition
of
net
assets
are
finalized
at
fiscal
year-end;
accordingly,
tax-basis
balances
have
not
been
determined
as
of
the
date
of
this
report.
The
fund
intends
to
retain
realized
gains
to
the
extent
of
available
capital
loss
carryforwards.
Net
realized
capital
losses
may
be
carried
forward
indefinitely
to
offset
future
realized
capital
gains.
As
of
May
31,
2022,
the
fund
had
$104,119,000 of
available
capital
loss
carryforwards.
At
November
30,
2022,
the
cost
of
investments
for
federal
income
tax
purposes
was
$1,268,237,000.
Net
unrealized
loss
aggregated
$97,047,000
at
period-end,
of
which $4,269,000
related
to
appreciated
investments
and $101,316,000
related
to
depreciated
investments.
NOTE
6
-
RELATED
PARTY
TRANSACTIONS
The
fund
is
managed
by
T.
Rowe
Price
Associates,
Inc.
(Price
Associates),
a
wholly
owned
subsidiary
of
T.
Rowe
Price
Group,
Inc.
(Price
Group).
The
investment
management
agreement
between
the
fund
and
Price
Associates
provides
for
an
annual
investment
management
fee,
which
is
computed
daily
and
paid
monthly. The
fee
consists
of
an
individual
fund
fee,
equal
to
0.07%
of
the
fund’s
average
daily
net
assets,
and
a
group
fee.
The
group
fee
rate
is
calculated
based
on
the
combined
net
assets
of
certain
mutual
funds
sponsored
by
Price
Associates
(the
group)
applied
to
a
graduated
fee
schedule,
with
rates
ranging
from
0.48%
for
the
first
$1
billion
of
assets
to
0.260%
for
assets
in
excess
of
$845
billion.
The
fund’s
group
fee
is
determined
by
applying
the
group
fee
rate
to
the
fund’s
average
daily
net
assets. At
November
30,
2022,
the
effective
annual
group
fee
rate
was
0.29%.
The Investor Class
is
subject
to
a
contractual
expense
limitation
through
the
expense
limitation
date
indicated
in
the
table
below.
During
the
limitation
period,
Price
Associates
is
required
to
waive
its
management
fee
or
pay
any
expenses
(excluding
interest;
expenses
related
to
borrowings,
taxes,
and
brokerage;
non-recurring,
extraordinary expenses;
and
acquired
fund
fees
and
expenses) that
would
otherwise
cause
the
class’s
ratio
of
annualized
total
expenses
to
average
net
assets
(net
expense
ratio)
to
exceed
its
expense
limitation.
The
class
is
required
to
repay
Price
Associates
for
expenses
previously
waived/paid
to
the
extent
the
class’s
net
assets
grow
or
expenses
decline
sufficiently
to
allow
repayment
without
causing
the
class’s
net
expense
ratio
(after
the
repayment
is
taken
into
account)
to
exceed
the
lesser
of:
(1)
the
expense
limitation
in
place
at
the
time
such
amounts
were
waived;
or
(2)
the
class’s
current
expense
limitation.
However,
no
repayment
will
be
made
more
than
three
years
after
the
date
of
a
payment
or
waiver.
The
I
Class
is
also
subject
to
an
operating
expense
limitation
(I
Class
Limit)
pursuant
to
which
Price
Associates
is
contractually
required
to
pay
all
operating
expenses
of
the
I
Class,
excluding
management
fees;
interest;
expenses
related
to
borrowings,
taxes,
and
brokerage; non-recurring,
extraordinary expenses; and
acquired
fund
fees
and
expenses, to
the
extent
such
operating
expenses,
on
an
annualized
basis,
exceed
the
I
Class
Limit. This
agreement
will
continue
through
the
expense
limitation
date
indicated
in
the
table
below,
and
may
be
renewed,
revised,
or
revoked
only
with
approval
of
the
fund’s
Board.
The
I
Class
is
required
to
repay
Price
Associates
for
expenses
previously
paid
to
the
extent
the
class’s
net
assets
grow
or
expenses
decline
sufficiently
to
allow
repayment
without
causing
the
class’s
operating
expenses
(after
the
repayment
is
taken
into
account)
to
exceed
the
lesser
of:
(1)
the
I
Class
Limit
in
place
at
the
time
such
amounts
were
paid;
or
(2)
the
current
I
Class
Limit.
However,
no
repayment
will
be
made
more
than
three
years
after
the
date
of
a
payment
or
waiver.
The
Z
Class
is
also
subject
to
a
contractual
expense
limitation
agreement
whereby
Price
Associates
has
agreed
to
waive
and/or
bear
all
of
the
Z
Class’
expenses
(excluding
interest;
expenses
related
to
borrowings,
taxes,
and
brokerage;
non-recurring,
extraordinary
expenses;
and
acquired
fund
fees
and
expenses)
in
their
entirety.
This
fee
waiver
and/or
expense
reimbursement
arrangement
is
expected
to
remain
in
place
indefinitely,
and
the
agreement
may
only
be
amended
or
terminated
with
approval
by
the
fund’s
Board.
Expenses
of
the
fund
waived/paid
by
the
manager
are
not
subject
to
later
repayment
by
the
fund.
Pursuant
to
these
agreements,
expenses
were
waived/paid
by
and/or
repaid
to
Price
Associates
during
the
six
months ended November
30,
2022
as
indicated
in
the
table
below.
Including these
amounts,
expenses
previously
waived/paid
by
Price
Associates
in
the
amount
of $82,000 remain
subject
to
repayment
by
the
fund
at
November
30,
2022.
Any
repayment
of
expenses
previously
waived/paid
by
Price
Associates
during
the
period
would
be
included
in
the
net
investment
income
and
expense
ratios
presented
on
the
accompanying
Financial
Highlights.
In
addition,
the
fund
has
entered
into
service
agreements
with
Price
Associates
and
two
wholly
owned
subsidiaries
of
Price
Associates,
each
an
affiliate
of
the
fund
(collectively,
Price).
Price
Associates
provides
certain
accounting
and
administrative
services
to
the
Investor
Class
I
Class
Z
Class
Expense
limitation/I
Class
Limit
0.62%
0.05%
0.00%
Expense
limitation
date
09/30/23
09/30/23
N/A
(Waived)/repaid
during
the
period
($000s)
$(44)
$(35)
$(935)
fund.
T.
Rowe
Price
Services,
Inc.
provides
shareholder
and
administrative
services
in
its
capacity
as
the
fund’s
transfer
and
dividend-disbursing
agent.
T.
Rowe
Price
Retirement
Plan
Services,
Inc.
provides
subaccounting
and
recordkeeping
services
for
certain
retirement
accounts
invested
in
the
Investor
Class.
For
the
six
months ended
November
30,
2022,
expenses
incurred
pursuant
to
these
service
agreements
were
$50,000 for
Price
Associates;
$301,000 for
T.
Rowe
Price
Services,
Inc.;
and
$12,000 for
T.
Rowe
Price
Retirement
Plan
Services,
Inc.
All
amounts
due
to
and
due
from
Price,
exclusive
of
investment
management
fees
payable,
are
presented
net
on
the
accompanying
Statement
of
Assets
and
Liabilities.
Mutual
funds,
trusts,
and
other
accounts
managed
by
Price
Associates
or
its
affiliates
(collectively,
Price
Funds
and
accounts)
may
invest
in
the
fund.
No
Price
fund
or
account
may
invest
for
the
purpose
of
exercising
management
or
control
over
the
fund.
At
November
30,
2022,
approximately
100%
of
the
Z
Class’s
outstanding
shares
were
held
by
Price
Funds
and
accounts.
The fund
may
invest
its
cash
reserves
in
certain
open-end
management
investment
companies
managed
by
Price
Associates
and
considered
affiliates
of
the
fund:
the
T.
Rowe
Price
Government
Reserve
Fund
or
the
T.
Rowe
Price
Treasury
Reserve
Fund,
organized
as
money
market
funds (together,
the
Price
Reserve
Funds).
The
Price
Reserve
Funds
are
offered
as
short-term
investment
options
to
mutual
funds,
trusts,
and
other
accounts
managed
by
Price
Associates
or
its
affiliates
and
are
not
available
for
direct
purchase
by
members
of
the
public.
Cash
collateral
from
securities
lending,
if
any,
is
invested
in
the
T.
Rowe
Price
Government
Reserve Fund. The
Price
Reserve
Funds
pay
no
investment
management
fees.
The
fund may
participate
in
securities
purchase
and
sale
transactions
with
other
funds
or
accounts
advised
by
Price
Associates
(cross
trades),
in
accordance
with
procedures
adopted
by the
fund’s
Board
and
Securities
and
Exchange
Commission
rules,
which
require,
among
other
things,
that
such
purchase
and
sale
cross
trades
be
effected
at
the
independent
current
market
price
of
the
security.
During
the
six
months ended
November
30,
2022,
the
fund
had
no
purchases
or
sales
cross
trades
with
other
funds
or
accounts
advised
by
Price
Associates.
NOTE
7
-
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
a
negative
impact
on
the
values
of
certain
portfolio
holdings
or
the
fund’s
overall
performance.
Management
is
actively
monitoring
the
risks
and
financial
impacts
arising
from
these
events.
INFORMATION
ON
PROXY
VOTING
POLICIES,
PROCEDURES,
AND
RECORDS
A
description
of
the
policies
and
procedures
used
by
T.
Rowe
Price
funds
to
determine
how
to
vote
proxies
relating
to
portfolio
securities
is
available
in
each
fund’s
Statement
of
Additional
Information.
You
may
request
this
document
by
calling
1-800-225-5132
or
by
accessing
the
SEC’s
website,
sec.gov.
The
description
of
our
proxy
voting
policies
and
procedures
is
also
available
on
our
corporate
website.
To
access
it,
please
visit
the
following
Web
page:
https://www.troweprice.com/corporate/us/en/utility/policies.html
Scroll
down
to
the
section
near
the
bottom
of
the
page
that
says,
“Proxy
Voting
Guidelines.”
Click
on
the
links
in
the
shaded
box.
Each
fund’s
most
recent
annual
proxy
voting
record
is
available
on
our
website
and
through
the
SEC’s
website.
To
access
it
through
T.
Rowe
Price,
visit
the
website
location
shown
above,
and
scroll
down
to
the
section
near
the
bottom
of
the
page
that
says,
“Proxy
Voting
Records.”
Click
on
the
Proxy
Voting
Records
link
in
the
shaded
box.
HOW
TO
OBTAIN
QUARTERLY
PORTFOLIO
HOLDINGS
The
fund
files
a
complete
schedule
of
portfolio
holdings
with
the
Securities
and
Exchange
Commission
(SEC)
for
the
first
and
third
quarters
of
each
fiscal
year
as
an
exhibit
to
its
reports
on
Form
N-PORT.
The
fund’s
reports
on
Form
N-PORT
are
available
electronically
on
the
SEC’s
website
(sec.gov).
In
addition,
most
T.
Rowe
Price
funds
disclose
their
first
and
third
fiscal
quarter-end
holdings
on
troweprice.com
.
LIQUIDITY
RISK
MANAGEMENT
PROGRAM
In
accordance
with
Rule
22e-4
(Liquidity
Rule)
under
the
Investment
Company
Act
of
1940,
as
amended,
the
fund
has
established
a
liquidity
risk
management
program
(Liquidity
Program)
reasonably
designed
to
assess
and
manage
the
fund’s
liquidity
risk,
which
generally
represents
the
risk
that
the
fund
would
not
be
able
to
meet
redemption
requests
without
significant
dilution
of
remaining
investors’
interests
in
the
fund.
The
fund’s
Board
of
Directors
(Board)
has
appointed
the
fund’s
investment
adviser,
T.
Rowe
Price
Associates,
Inc.
(Adviser),
as
the
administrator
of
the
Liquidity
Program.
As
administrator,
the
Adviser
is
responsible
for
overseeing
the
day-to-day
operations
of
the
Liquidity
Program
and,
among
other
things,
is
responsible
for
assessing,
managing,
and
reviewing
with
the
Board
at
least
annually
the
liquidity
risk
of
each
T.
Rowe
Price
fund.
The
Adviser
has
delegated
oversight
of
the
Liquidity
Program
to
a
Liquidity
Risk
Committee
(LRC),
which
is
a
cross-functional
committee
composed
of
personnel
from
multiple
departments
within
the
Adviser.
The
Liquidity
Program’s
principal
objectives
include
supporting
the
T.
Rowe
Price
funds’
compliance
with
limits
on
investments
in
illiquid
assets
and
mitigating
the
risk
that
the
fund
will
be
unable
to
timely
meet
its
redemption
obligations.
The
Liquidity
Program
also
includes
a
number
of
elements
that
support
the
management
and
assessment
of
liquidity
risk,
including
an
annual
assessment
of
factors
that
influence
the
fund’s
liquidity
and
the
periodic
classification
and
reclassification
of
a
fund’s
investments
into
categories
that
reflect
the
LRC’s
assessment
of
their
relative
liquidity
under
current
market
conditions.
Under
the
Liquidity
Program,
every
investment
held
by
the
fund
is
classified
at
least
monthly
into
one
of
four
liquidity
categories
based
on
estimations
of
the
investment’s
ability
to
be
sold
during
designated
time
frames
in
current
market
conditions
without
significantly
changing
the
investment’s
market
value.
As
required
by
the
Liquidity
Rule,
at
a
meeting
held
on
July
25,
2022,
the
Board
was
presented
with
an
annual
assessment
prepared
by
the
LRC,
on
behalf
of
the
Adviser,
that
addressed
the
operation
of
the
Liquidity
Program
and
assessed
its
adequacy
and
effectiveness
of
implementation,
including
any
material
changes
to
the
Liquidity
Program
and
the
determination
of
each
fund’s
Highly
Liquid
Investment
Minimum
(HLIM).
The
annual
assessment
included
consideration
of
the
following
factors,
as
applicable:
the
fund’s
investment
strategy
and
liquidity
of
portfolio
investments
during
normal
and
reasonably
foreseeable
stressed
conditions,
including
whether
the
investment
strategy
is
appropriate
for
an
open-end
fund,
the
extent
to
which
the
strategy
involves
a
relatively
concentrated
portfolio
or
large
positions
in
particular
issuers,
and
the
use
of
borrowings
for
investment
purposes
and
derivatives;
short-term
and
long-term
cash
flow
projections
covering
both
normal
and
reasonably
foreseeable
stressed
conditions;
and
holdings
of
cash
and
cash
equivalents,
as
well
as
available
borrowing
arrangements.
For
the
fund
and
other
T.
Rowe
Price
funds,
the
annual
assessment
incorporated
a
report
related
to
a
fund’s
holdings,
shareholder
and
portfolio
concentration,
any
borrowings
during
the
period,
cash
flow
projections,
and
other
relevant
data
for
the
period
of
April
1,
2021,
through
March
31,
2022.
The
report
described
the
methodology
for
classifying
a
fund’s
investments
(including
any
derivative
transactions)
into
one
of
four
liquidity
categories,
as
well
as
the
percentage
of
a
fund’s
investments
assigned
to
each
category.
It
also
explained
the
methodology
for
establishing
a
fund’s
HLIM
and
noted
that
the
LRC
reviews
the
HLIM
assigned
to
each
fund
no
less
frequently
than
annually.
During
the
period
covered
by
the
annual
assessment,
the
LRC
has
concluded,
and
reported
to
the
Board,
that
the
Liquidity
Program
continues
to
operate
adequately
and
effectively
and
is
reasonably
designed
to
assess
and
manage
the
fund’s
liquidity
risk.
LIQUIDITY
RISK
MANAGEMENT
PROGRAM
(continued)
T.
Rowe
Price
Investment
Services,
Inc.
|
100
East
Pratt
Street
|
Baltimore,
MD
21202-1009
You
have
many
investment
goals.
Explore
products
and
services
that
can
help
you
achieve
them.
Whether
you
want
to
put
away
more
money
for
retirement,
for
a
child’s
education,
or
for
other
priorities,
we
have
solutions
for
you.
See
how
we
can
help
you
accomplish
the
investment
goals
that
are
important
to
you.
RETIREMENT
IRAs:
Traditional,
Roth,
Rollover/Transfer,
or
Brokerage
Small
Business
Plans
help
minimize
taxes,
maximize
savings
T.
Rowe
Price
®
ActivePlus
Portfolios
1
for
online
investing
powered
by
experts
GENERAL
INVESTING
Individual
or
Joint
Tenant
Brokerage
2
offers
access
to
stocks,
ETFs,
bonds,
and
more
Gifts
and
transfers
to
a
child
(UGMA/UTMAs)
Trust
Transfer
on
Death
COLLEGE
SAVINGS
T.
Rowe
Price-managed
529
plans
offer
tax-
advantaged
solutions
for
families
saving
money
for
college
tuition
and
education-
related
expenses
Visit
troweprice.com/broadrange
Call
1-800-225-5132
to
request
a
prospectus
or
summary
prospectus;
each
includes
investment
objectives,
risks,
fees,
expenses,
and
other
information
that
you
should
read
and
consider
carefully
before
investing.
All
mutual
funds
are
subject
to
market
risk,
including
possible
loss
of
principal.
Investing
internationally
involves
special
risks
including
economic
and
political
uncertainty
and
currency
fluctuation.
1
The
T.
Rowe
Price
®
ActivePlus
Portfolios
is
a
discretionary
investment
management
program
provided
by
T.
Rowe
Price
Advisory
Services,
Inc.,
a
registered
investment
adviser
under
the
Investment
Advisers
Act
of
1940.
Brokerage
services
are
provided
by
T.
Rowe
Price
Investment
Services,
Inc.,
member
FINRA/SIPC.
Brokerage
accounts
are
carried
by
Pershing
LLC,
a
BNY
Mellon
Company,
member
NYSE/FINRA/SIPC.
T.
Rowe
Price
Advisory
Services,
Inc.,
and
T.
Rowe
Price
Investment
Services,
Inc.,
are
affiliated
companies.
2
Brokerage
services
are
provided
by
T.
Rowe
Price
Investment
Services,
Inc.,
member
FINRA/SIPC.
Brokerage
accounts
are
carried
by
Pershing
LLC,
a
BNY
Mellon
Company,
member
NYSE/FINRA/SIPC.
202301
-
2568110
F70-051
1/23
Item 1. (b) Notice pursuant to Rule 30e-3.
Not applicable.
Item 2. Code of
Ethics.
A code of ethics, as defined in Item 2 of Form N-CSR, applicable to its principal
executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions is filed as an exhibit to the registrant’s annual Form N-CSR. No
substantive amendments were approved or waivers were granted to this code of ethics during the registrant’s most recent fiscal half-year.
Item 3. Audit Committee Financial Expert.
Disclosure required in registrant’s annual Form N-CSR.
Item 4. Principal Accountant Fees and Services.
Disclosure required in registrant’s annual Form N-CSR.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) Not applicable. The complete schedule of investments is included in Item 1 of this Form
N-CSR.
(b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8.
Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10.
Submission of Matters to a Vote of Security Holders.
There has been no change to the procedures by which shareholders may recommend
nominees to the registrant’s board of directors.
Item 11. Controls and Procedures.
(a) The registrant’s principal executive officer and principal financial officer have evaluated the
registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be
disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported timely.
(b) The registrant’s principal executive officer and principal financial officer are aware of no change in the
registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial
reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment
Companies.
Not applicable.
Item 13. Exhibits.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused
this report to be signed on its behalf by the undersigned, thereunto duly authorized.
T. Rowe Price GNMA Fund, Inc.
|
|
|
| By |
|
/s/ David Oestreicher |
|
|
David Oestreicher |
|
|
Principal Executive Officer |
|
|
| Date |
|
January 19, 2023 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940,
this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
|
|
|
|
|
| By |
|
/s/ David Oestreicher |
|
|
David Oestreicher |
|
|
Principal Executive Officer |
|
|
| Date |
|
January 19, 2023 |
|
|
|
|
|
| By |
|
/s/ Alan S. Dupski |
|
|
Alan S. Dupski |
|
|
Principal Financial Officer |
|
|
| Date |
|
January 19, 2023 |