T. ROWE PRICE GNMA FUND
February 29, 2020 (Unaudited)
Portfolio of Investments‡	Par/Shares	$ Value
(Amounts in 000s)
ASSET-BACKED SECURITIES 0.1%
Other Asset-Backed Securities 0.1%
Halcyon Loan Advisors Funding
Series 2014-3A, Class B1R, CLO, FRN
3M USD LIBOR + 1.70%, 3.502%, 10/22/25 (1)	1,725	1,726
Total Asset-Backed Securities (Cost $1,725)		1,726
U. S. GOVERNMENT & AGENCY MORTGAGE-BACKED
SECURITIES 122.0%
U. S. Government Agency Obligations 14.8%(2)
Federal Home Loan Mortgage
6.50%, 8/1/36	34	39
7.00%, 11/1/30 - 4/1/32	610	709
Federal National Mortgage Assn. , 3.50%, 7/1/48-11/1/48	5,211	5,417
Federal National Mortgage Assn. , ARM, 12M USD LIBOR +
1.595%, 3.819%, 11/1/35	6	6
Federal National Mortgage Assn. , CMO, 5.50%, 12/25/36	1,071	1,248
Federal National Mortgage Assn. , CMO, IO
3.00%, 2/25/28	10,234	687
Federal National Mortgage Assn. , UMBS
3.00%, 2/1/50	11,808	12,178
3.50%, 1/1/50	9,664	10,089
4.00%, 10/1/49	11,874	12,567
4.50%, 10/1/49 - 1/1/50	81,107	87,069
UMBS, TBA
2.50%, 3/1/35 - 4/1/50 (3)	50,442	51,759
3.00%, 4/1/35 - 4/1/50 (3)	2,265	2,330
3.50%, 4/1/35 - 4/1/50 (3)	1,479	1,538
4.00%, 3/1/50 - 4/1/50 (3)	10,823	11,400
4.50%, 4/1/50 (3)	758	808
5.00%, 4/1/50 (3)	904	978
		198,822
The accompanying notes are an integral part of this Portfolio of Investments.

T. ROWE PRICE GNMA FUND
	Par/Shares	$ Value
(Amounts in 000s)
U. S. Government Obligations 107.2%
Government National Mortgage Assn.
3.00%, 11/20/26 - 1/20/50	174,333	180,930
3.50%, 1/20/27 - 12/20/49	325,418	344,577
4.00%, 3/20/39 - 9/20/49	288,594	305,669
4.50%, 5/20/30 - 7/20/49 (4)	132,350	142,291
5.00%, 4/15/20 - 8/20/48	51,774	57,280
5.50%, 10/20/32 - 3/20/49	45,237	50,254
6.00%, 7/15/20 - 7/20/45	9,866	11,293
6.50%, 12/15/23 - 12/20/40	31,918	37,403
7.00%, 1/20/28 - 1/15/39	7,959	9,374
7.50%, 11/15/21 - 6/15/32	1,050	1,166
8.00%, 12/15/21 - 3/15/30	509	551
8.50%, 3/15/21 - 3/15/27	35	35
9.00%, 4/15/20 - 3/20/25	27	27
9.50%, 7/15/20 - 12/15/24	12	12
9.75%, 2/15/21	5	6
10.00%, 9/20/20 - 3/15/26	4	4
Government National Mortgage Assn. , CMO
3.50%, 9/20/41 - 6/20/47	7,980	8,935
4.50%, 9/20/38	37	37
Government National Mortgage Assn. , CMO, IO
3.00%, 6/20/37 - 1/20/50	59,684	4,401
3.50%, 8/20/29 - 4/20/46	73,676	6,649
4.00%, 5/20/37 - 6/20/49	49,809	7,438
4.50%, 11/20/38 - 4/20/39	1,182	76
5.00%, 2/16/40	42,333	8,435
Government National Mortgage Assn. , TBA
2.50%, 4/20/50 (3)	1,270	1,303
3.00%, 3/20/50 - 4/20/50 (3)	45,990	47,517
3.50%, 3/20/50 - 4/20/50 (3)	202,407	209,720
4.00%, 4/20/50 (3)	230	240
The accompanying notes are an integral part of this Portfolio of Investments.

T. ROWE PRICE GNMA FUND
	Par/Shares		$ Value
(Amounts in 000s)
4.50%, 4/20/50 (3)	655		690
5.00%, 4/20/50 (3)	843		900
			1,437,213
Total U. S. Government & Agency Mortgage-Backed Securities (Cost $1,614,843)			1,636,035
SHORT-TERM INVESTMENTS 3.0%
Money Market Funds 3.0%
T. Rowe Price Government Reserve Fund, 1.59% (5)(6)	40,404		40,404
Total Short-Term Investments (Cost $40,404)			40,404
Total Investments in Securities 125.1%
(Cost $1,656,972)		$	1,678,165
Other Assets Less Liabilities (25.1)%			(336,600)
Net Assets 100.0%		$	1,341,565

‡ 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 $1,726 and represents 0.1% of net assets.
(2) Issuer operates under a Congressional charter; its securities are neither issued
nor guaranteed by the U.S. government. The Federal National Mortgage
Association and the Federal Home Loan Mortgage Corporation, including
UMBS, currently operate under a federal conservatorship.
(3) To-Be-Announced purchase commitment. Total value of such securities at
period-end amounts to $329,183 and represents 24.5% of net assets.
(4) At February 29, 2020, all or a portion of this security is pledged as collateral
and/or margin deposit to cover future funding obligations.
(5) Seven-day yield
(6) Affiliated Companies
12M USD LIBOR Twelve month USD LIBOR (London interbank offered rate)
3M USD LIBOR Three 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.
CLO Collateralized Loan Obligation
CMO Collateralized Mortgage Obligation

The accompanying notes are an integral part of this Portfolio of Investments.

T. ROWE PRICE GNMA FUND

FRN	Floating Rate Note
IO	Interest-only security for which the fund receives interest on notional principal
TBA	To-Be-Announced
UMBS	Uniform Mortgage-Backed Securities

The accompanying notes are an integral part of this Portfolio of Investments.

T. ROWE PRICE GNMA FUND

	Par/Shares	$ Value
(Amounts in 000s)
TBA SALES COMMITMENTS (13.5)%
U. S. GOVERNMENT & AGENCY MORTGAGE-BACKED
SECURITIES (13.5)%
U. S. Government Agency Obligations (7.3)% (2)
UMBS, TBA, 2.50%, 3/1/50	57,500	(58,639)
UMBS, TBA, 3.00%, 3/1/35	15,460	(16,013)
UMBS, TBA, 3.50%, 3/1/50	6,598	(6,852)
UMBS, TBA, 4.50%, 3/1/50	15,000	(16,008)
		(97,512)
U. S. Government Obligations (6.2)%
Government National Mortgage Assn. , TBA, 2.50%, 3/20/50	51,250	(52,623)
Government National Mortgage Assn. , TBA, 4.00%, 3/20/50	30,105	(31,343)
		(83,966)
Total TBA Sales Commitments (Proceeds $(180,040))		(181,478)

The accompanying notes are an integral part of this Portfolio of Investments.

	T. ROWE PRICE GNMA FUND
	FUTURES CONTRACTS
($	000 s)
						Value and
		Expiration	Notional			Unrealized Gain
		Date	Amount			(Loss)
	Long, 2 U.S. Treasury Long Bonds contracts	6/20	341	$		6
	Long, 229 U. S. Treasury Notes five year contracts	6/20	28,110			24
	Long, 27 U. S. Treasury Notes ten year contracts	6/20	3,638			41
	Long, 943 U. S. Treasury Notes two year contracts	6/20	205,883			862
	Net payments (receipts) of variation margin to date					(265)
	Variation margin receivable (payable) on open futures contracts				$	668

The accompanying notes are an integral part of this Portfolio of Investments.

T. ROWE PRICE GNMA FUND

Affiliated Companies
($000s)

The fund may invest in certain securities that are considered affiliated companies. As defined
by the 1940 Act, an affiliated company is one in which the fund owns 5% or more of the
outstanding voting securities, or a company that is under common ownership or control. The
following securities were considered affiliated companies for all or some portion of the nine
months ended February 29, 2020. 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.

				Change in Net
		Net Realized Gain			Unrealized		Investment
Affiliate			(Loss)		Gain/Loss		Income
T. Rowe Price Government
Reserve Fund		$	—#	$	—	$	786	+
Supplementary Investment Schedule
		Value	Purchase		Sales		Value
Affiliate		5/31/19	Cost		Cost		2/29/20
T. Rowe Price Government
Reserve Fund	$	11,095		¤	¤$		40,404	^

# Capital gain distributions from mutual funds represented $0 of the net realized gain (loss).
+ Investment income comprised $786 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 $40,404.

The accompanying notes are an integral part of this Portfolio of Investments.

T. ROWE PRICE GNMA FUND
Unaudited
NOTES TO PORTFOLIO OF
INVESTMENTS

T. Rowe Price GNMA Fund, Inc. (the fund) is registered under the Investment Company Act of 1940 (the 1940 Act) as an
open-end management investment company and follows accounting and reporting guidance of the Financial Accounting
Standards Board Accounting Standards Codification Topic 946. The accompanying Portfolio of Investments was prepared
in accordance with accounting principles generally accepted in the United States of America (GAAP). For additional
information on the fund’s significant accounting policies and investment related disclosures, please refer to the fund’s most
recent semiannual or annual shareholder report and its prospectus.

VALUATION

The fund’s financial instruments are valued at the close of the New York Stock Exchange (NYSE), normally 4 p.m. ET,
each day the NYSE is open for business.

Fair Value
The fund’s financial instruments are reported at fair value, which GAAP defines as the price that would be received to sell
an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The
T. Rowe Price Valuation Committee (the Valuation Committee) is an internal committee that has been delegated certain
responsibilities by the fund’s Board of Directors (the Board) to ensure that financial instruments are appropriately priced at
fair value in accordance with GAAP and the 1940 Act. Subject to oversight by the Board, the Valuation Committee
develops and oversees pricing-related policies and procedures and approves all fair value determinations. Specifically, the
Valuation Committee establishes procedures to value securities; determines pricing techniques, sources, and persons
eligible to effect fair value pricing actions; oversees the selection, services, and performance of pricing vendors; oversees
valuation-related business continuity practices; and provides guidance on internal controls and valuation-related matters.
The Valuation Committee reports to the Board and has representation from legal, portfolio management and trading,
operations, risk management, and the fund’s treasurer.

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

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

T. ROWE PRICE GNMA FUND

well as prices quoted by dealers who make markets in such securities. Generally, debt securities are categorized in Level
2 of the fair value hierarchy; however, to the extent the valuations include significant unobservable inputs, the securities
would be categorized in Level 3.

Investments in mutual funds are valued at the mutual fund’s closing NAV per share on the day of valuation and are
categorized in Level 1 of the fair value hierarchy. Financial futures contracts are valued at closing settlement prices and
are categorized in Level 1 of the fair value hierarchy.

Thinly traded financial instruments and those for which the above valuation procedures are inappropriate or are
deemed not to reflect fair value are stated at fair value as determined in good faith by the Valuation Committee. The
objective of any fair value pricing determination is to arrive at a price that could reasonably be expected from a current
sale. Financial instruments fair valued by the Valuation Committee are primarily private placements, restricted
securities, warrants, rights, and other securities that are not publicly traded.

Subject to oversight by the Board, the Valuation Committee regularly makes good faith judgments to establish and
adjust the fair valuations of certain securities as events occur and circumstances warrant. For instance, in determining
the fair value of troubled or thinly traded debt instruments, the Valuation Committee considers a variety of factors,
which may include, but are not limited to, the issuer’s business prospects, its financial standing and performance, recent
investment transactions in the issuer, strategic events affecting the company, market liquidity for the issuer, and general
economic conditions and events. In consultation with the investment and pricing teams, the Valuation Committee will
determine an appropriate valuation technique based on available information, which may include both observable and
unobservable inputs. The Valuation Committee typically will afford greatest weight to actual prices in arm’s length
transactions, to the extent they represent orderly transactions between market participants, transaction information can
be reliably obtained, and prices are deemed representative of fair value. However, the Valuation Committee may also
consider other valuation methods such as a discount or premium from market value of a similar, freely traded security
of the same issuer; discounted cash flows; yield to maturity; or some combination. Fair value determinations are
reviewed on a regular basis and updated as information becomes available, including actual purchase and sale
transactions of the issue. Because any fair value determination involves a significant amount of judgment, there is a
degree of subjectivity inherent in such pricing decisions, and fair value prices determined by the Valuation Committee
could differ from those of other market participants. Depending on the relative significance of unobservable inputs,
including the valuation technique(s) used, fair valued securities may be categorized in Level 2 or 3 of the fair value
hierarchy.

Valuation Inputs
The following table summarizes the fund’s financial instruments, based on the inputs used to determine their fair values
on February 29, 2020 (for further detail by category, please refer to the accompanying Portfolio of Investments):

($000s)		Level 1	Level 2	Level 3	Total Value
Assets
Fixed Income Securities1	$	— $	1,637,761$	— $	1,637,761
Short-Term Investments		40,404	—	—	40,404
Total Securities		40,404	1,637,761	—	1,678,165
Futures Contracts		668	—	—	668
Total	$	41,072$	1,637,761$	— $	1,678,833
Liabilities
TBA Sales Commitments	$	— $	181,478$	— $	181,478
1 Includes Asset-Backed Securities, U. S. Government & Agency Mortgage-Backed Securities.