Ginnie Mae II Pool

0001752724-22-239627.txt : 20221027 0001752724-22-239627.hdr.sgml : 20221027 20221027142018 ACCESSION NUMBER: 0001752724-22-239627 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20220831 FILED AS OF DATE: 20221027 DATE AS OF CHANGE: 20221027 PERIOD START: 20230531 FILER: COMPANY DATA: COMPANY CONFORMED NAME: T. Rowe Price GNMA Fund, Inc. CENTRAL INDEX KEY: 0000779785 IRS NUMBER: 521426953 STATE OF INCORPORATION: MD FISCAL YEAR END: 0531 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-04441 FILM NUMBER: 221336694 BUSINESS ADDRESS: STREET 1: 100 EAST PRATT STREET CITY: BALTIMORE STATE: MD ZIP: 21202 BUSINESS PHONE: 410-345-2000 MAIL ADDRESS: STREET 1: 100 EAST PRATT STREET CITY: BALTIMORE STATE: MD ZIP: 21202 FORMER COMPANY: FORMER CONFORMED NAME: T. Rowe Price GNMA Fund DATE OF NAME CHANGE: 20051028 FORMER COMPANY: FORMER CONFORMED NAME: PRICE T ROWE GNMA FUND DATE OF NAME CHANGE: 19920703

0000779785 S000002131 T. Rowe Price GNMA Fund

C000005523 T. Rowe Price GNMA Fund PRGMX

C000190558 T. Rowe Price GNMA Fund-I Class PRXAX

C000225814 T. Rowe Price GNMA Fund-Z Class TRZGX

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0.007362347060 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225AWN6 142.08000000 PA USD 148.26000000 0.000015390249 Long ABS-MBS USGA US N 2 2027-10-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36241KBA5 12976.85000000 PA USD 13581.71000000 0.001409860391 Long ABS-MBS USGA US N 2 2034-11-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140LNC47 15286828.31000000 PA USD 13685500.18000000 1.420634415385 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208X5S6 1898.85000000 PA USD 1981.50000000 0.000205691210 Long ABS-MBS USGA US N 2 2029-01-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DZF1 833677.95000000 PA USD 876289.27000000 0.090963916438 Long ABS-MBS USGA US N 2 2033-09-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EDP1 880144.98000000 PA USD 925097.99000000 0.096030545096 Long ABS-MBS USGA US N 2 2035-05-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380CCN1 419637.71000000 PA USD 33062.33000000 0.003432061907 Long ABS-MBS USGA US N 2 2046-02-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FJP2 351587.62000000 PA USD 353727.87000000 0.036719007649 Long ABS-MBS USGA US N 2 2040-08-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202D6T3 10462.51000000 PA USD 10994.83000000 0.001141327221 Long ABS-MBS USGA US N 2 2034-07-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EC31 21439.70000000 PA USD 22535.57000000 0.002339323071 Long ABS-MBS USGA US N 2 2035-03-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36213SFQ3 8817.56000000 PA USD 8904.81000000 0.000924371004 Long ABS-MBS USGA US N 2 2031-07-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179MNJ5 47110.15000000 PA USD 47398.29000000 0.004920217830 Long ABS-MBS USGA US N 2 2042-09-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3622A2TS1 1040017.08000000 PA USD 1125875.69000000 0.116872436638 Long ABS-MBS USGA US N 2 2039-04-20 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210AS24 20325.65000000 PA USD 20448.16000000 0.002122637787 Long ABS-MBS USGA US N 2 2028-11-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36206NJZ9 287.45000000 PA USD 294.00000000 0.000030518907 Long ABS-MBS USGA US N 2 2026-03-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225BFU7 978.13000000 PA USD 1045.87000000 0.000108567381 Long ABS-MBS USGA US N 2 2029-08-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36295GVX7 11631.65000000 PA USD 11906.17000000 0.001235929606 Long ABS-MBS USGA US N 2 2037-07-15 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208HMH6 1233.89000000 PA USD 1287.60000000 0.000133660359 Long ABS-MBS USGA US N 2 2027-08-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133KNLC5 7949588.74000000 PA USD 7136955.94000000 0.740857483913 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TKR5 76353.90000000 PA USD 72445.43000000 0.007520256456 Long ABS-MBS USGA US N 2 2032-11-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3620AWTJ9 21229.55000000 PA USD 21535.73000000 0.002235533871 Long ABS-MBS USGA US N 2 2030-05-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179VHG8 348990.44000000 PA USD 326285.69000000 0.033870349959 Long ABS-MBS USGA US N 2 2050-03-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617WGX36 11066064.61000000 PA USD 10078311.11000000 1.046187236382 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XCR75 17492809.67000000 PA USD 16232103.93000000 1.684986677415 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179RGD5 2514.81000000 PA USD 2691.51000000 0.000279394372 Long ABS-MBS USGA US N 2 2045-06-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36212YML4 1463.02000000 PA USD 1485.57000000 0.000154210795 Long ABS-MBS USGA US N 2 2031-02-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179MCZ1 148281.45000000 PA USD 145815.08000000 0.015136452318 Long ABS-MBS USGA US N 2 2042-05-20 Fixed 3.50000000 N N N N N N Vista Point Securitization Tru N/A Vista Point Securitization Trust 2020-1 92838WAB0 3401804.49000000 PA USD 3382457.75000000 0.351118762561 Long ABS-MBS CORP US N 2 2065-03-25 Variable 2.77000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FJQ0 56638.39000000 PA USD 58375.19000000 0.006059683813 Long ABS-MBS USGA US N 2 2040-08-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208UKT3 23910.19000000 PA USD 24950.96000000 0.002590054583 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617JHMH0 299887.07000000 PA USD 297351.73000000 0.030866836838 Long ABS-MBS USGA US N 2 2049-07-20 Fixed 4.00000000 N N N N N N 2022-10-26 T. ROWE PRICE GNMA FUND, INC. Alan S. Dupski Alan S. Dupski Treasurer & Vice President XXXX NPORT-EX 2 7020TRP103122.htm

T.

ROWE

PRICE

GNMA

Fund

August

31,

2022

(Unaudited)

1

Portfolio

of

Investments

‡

Par/Shares

$

Value

(Amounts

in

000s)

‡

NON-U.S.

GOVERNMENT

MORTGAGE-BACKED

SECURITIES

3.8%

Home

Equity

Loans

Backed

0.8%

Flagstar

Mortgage

Trust

Series

2021-5INV,

Class

A16,

CMO,

ARM

2.50%,

7/25/51 (1)

5,291‌

4,355‌

Flagstar

Mortgage

Trust

Series

2021-5INV,

Class

A2,

CMO,

ARM

2.50%,

7/25/51 (1)

4,052‌

3,436‌

7,791‌

Whole

Loans

Backed

3.0%

CIM

Trust

Series

2021-INV1,

Class

A29,

CMO,

ARM

2.50%,

7/1/51 (1)

2,324‌

1,951‌

GS

Mortgage-Backed

Securities

Trust

Series

2021-GR1,

Class

A4,

CMO,

ARM

2.50%,

11/25/51 (1)

9,654‌

7,931‌

GS

Mortgage-Backed

Securities

Trust

Series

2021-GR2,

Class

A4,

CMO,

ARM

2.50%,

2/25/52 (1)

5,672‌

4,711‌

UWM

Mortgage

Trust

Series

2021-INV5,

Class

A14,

CMO,

ARM

3.00%,

1/25/52 (1)

2,283‌

1,951‌

Verus

Securitization

Trust

Series

2020-2,

Class

A2,

CMO,

ARM

2.989%,

5/25/60 (1)

9,132‌

8,959‌

Vista

Point

Securitization

Trust

Series

2020-1,

Class

A2,

CMO,

ARM

2.77%,

3/25/65 (1)

3,402‌

3,383‌

28,886‌

Total

Non-U.S.

Government

Mortgage-Backed

Securities

(Cost

$42,200)

36,677‌

U.S.

GOVERNMENT

&

AGENCY

MORTGAGE-BACKED

SECURITIES

116.4%

U.S.

Government

Agency

Obligations

10.3%

Federal

Home

Loan

Mortgage

6.50%,

8/1/36

18‌

18‌

7.00%,

11/1/30

-

4/1/32

335‌

357‌

Federal

Home

Loan

Mortgage,

UMBS

2.50%,

1/1/52

7,950‌

7,137‌

5.00%,

10/1/51

2,086‌

2,122‌

Federal

National

Mortgage

Assn.

3.50%,

7/1/48

-

11/1/48

1,016‌

969‌

T.

ROWE

PRICE

GNMA

Fund

1

T.

ROWE

PRICE

GNMA

Fund

2

Par/Shares

$

Value

(Amounts

in

000s)

Federal

National

Mortgage

Assn.,

ARM,

12M

USD

LIBOR

+

1.587%,

2.174%,

11/1/35

3‌

3‌

Federal

National

Mortgage

Assn.,

CMO,

5.50%,

12/25/36

634‌

665‌

Federal

National

Mortgage

Assn.,

CMO,

IO,

3.00%,

2/25/28

4,117‌

200‌

Federal

National

Mortgage

Assn.,

UMBS

2.50%,

3/1/42

-

1/1/52

24,407‌

21,930‌

3.00%,

9/1/51

17,493‌

16,232‌

3.50%,

5/1/50

1,423‌

1,369‌

5.00%,

10/1/51

2,585‌

2,623‌

UMBS,

TBA (2)

1.50%,

9/1/37

1,342‌

1,206‌

2.00%,

9/1/37

-

9/1/52

29,037‌

25,113‌

2.50%,

9/1/37

-

9/1/52

5,550‌

5,151‌

3.00%,

9/1/52

1,563‌

1,447‌

3.50%,

9/1/37

-

9/1/52

10,863‌

10,441‌

4.00%,

9/1/52

1,139‌

1,112‌

4.50%,

9/1/52

1,339‌

1,331‌

5.00%,

9/1/52

60‌

61‌

99,487‌

U.S.

Government

Obligations

106.1%

Government

National

Mortgage

Assn.

1.50%,

9/20/36

-

4/20/52

43,264‌

37,539‌

2.00%,

11/20/50

-

4/20/52

181,296‌

160,864‌

2.50%,

8/20/50

-

12/20/51

164,897‌

150,530‌

3.00%,

11/20/26

-

10/20/51

155,110‌

146,647‌

3.50%,

1/20/27

-

1/20/50

137,962‌

134,533‌

4.00%,

3/20/39

-

10/20/50

80,320‌

80,107‌

4.50%,

5/20/30

-

6/20/50

43,704‌

44,859‌

5.00%,

5/15/33

-

6/20/49

29,082‌

30,204‌

5.50%,

5/20/31

-

3/20/49

22,759‌

24,201‌

6.00%,

6/20/31

-

11/20/48

5,873‌

6,374‌

6.50%,

12/15/23

-

4/20/39

1,885‌

2,011‌

7.00%,

1/20/28

-

1/20/34

377‌

398‌

7.50%,

9/15/22

-

6/15/32

540‌

556‌

8.00%,

10/20/24

-

3/15/30

301‌

309‌

8.50%,

1/20/23

-

9/15/24

1‌

1‌

9.00%,

5/15/24

-

3/20/25

7‌

7‌

9.50%,

9/15/24

-

12/15/24

4‌

5‌

Government

National

Mortgage

Assn.,

CMO

3.50%,

6/20/47

-

10/20/50

7,209‌

6,870‌

Government

National

Mortgage

Assn.,

CMO,

ARM,

IO,

2.675%,

2/16/51

7,016‌

1,095‌

Government

National

Mortgage

Assn.,

CMO,

IO

3.00%,

6/20/37

-

1/20/50

5,178‌

321‌

3.50%,

8/20/29

-

2/16/51

27,925‌

3,677‌

4.00%,

5/20/37

-

6/20/49

21,044‌

3,592‌

T.

ROWE

PRICE

GNMA

Fund

3

Par/Shares

$

Value

(Amounts

in

000s)

4.50%,

4/20/39

-

6/20/49

9,387‌

1,104‌

5.00%,

2/16/40

20,325‌

3,901‌

Government

National

Mortgage

Assn.,

TBA (2)

2.00%,

9/20/51

17,587‌

15,530‌

2.50%,

9/20/52

862‌

785‌

3.00%,

9/20/52

9,554‌

8,967‌

3.50%,

9/20/52

3,427‌

3,304‌

4.00%,

9/20/52

6,239‌

6,148‌

4.50%,

9/20/52

27,447‌

27,451‌

5.00%,

9/20/52

65,100‌

65,960‌

5.50%,

9/20/52

54,500‌

55,880‌

1,023,730‌

Total

U.S.

Government

&

Agency

Mortgage-Backed

Securities

(Cost

$1,198,082)

1,123,217‌

SHORT-TERM

INVESTMENTS

3.0%

Money

Market

Funds

3.0%

T.

Rowe

Price

Government

Reserve

Fund,

2.36% (3)(4)

29,203‌

29,203‌

Total

Short-Term

Investments

(Cost

$29,203)

29,203‌

Total

Investments

in

Securities

123.2%

(Cost

$1,269,485)

$

1,189,097‌

Other

Assets

Less

Liabilities

(23.2)%

(

224,210‌

)

Net

Assets

100.0%

$

964,887‌

‡

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

$36,677

and

represents

3.8%

of

net

assets.

(2)

To-Be-Announced

purchase

commitment.

Total

value

of

such

securities

at

period-end

amounts

to

$229,887

and

represents

23.8%

of

net

assets.

(3)

Seven-day

yield

(4)

Affiliated

Companies

T.

ROWE

PRICE

GNMA

Fund

4

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

CPI

Consumer

Price

Index

IO

Interest-only

security

for

which

the

fund

receives

interest

on

notional

principal

TBA

To-Be-Announced

UMBS

Uniform

Mortgage-Backed

Securities

T.

ROWE

PRICE

GNMA

Fund

5

Par

$

Value

(Amounts

in

000s)

TBA

SALES

COMMITMENTS

(13.6)%

U.S.

GOVERNMENT

&

AGENCY

MORTGAGE-BACKED

SECURITIES

(13.6)%

U.S.

Government

Agency

Obligations

(5.6)%

UMBS,

TBA

2.00%,

8/1/52

-

9/1/52

37,283

(

32,083‌

)

2.50%,

9/1/52

3,438

(

3,070‌

)

3.00%,

9/1/37

-

9/1/52

6,485

(

6,138‌

)

4.00%,

9/1/52

3,857

(

3,765‌

)

4.50%,

9/1/52

6,189

(

6,151‌

)

5.00%,

9/1/52

3,052

(

3,080‌

)

(

54,287‌

)

U.S.

Government

Obligations

(8.0)%

Government

National

Mortgage

Assn.,

TBA

2.50%,

9/20/52

3,369

(

3,070‌

)

3.00%,

9/20/52

25,000

(

23,464‌

)

3.50%,

9/20/52

50,000

(

48,209‌

)

5.00%,

9/20/52

2,385

(

2,416‌

)

(

77,159‌

)

Total

TBA

Sales

Commitments

(Proceeds

$(133,967))

(

131,446‌

)

T.

ROWE

PRICE

GNMA

Fund

6

(Amounts

in

000s)

SWAPS

(0.2)%

Description

Notional

Amount

$

Value

Initial

$

Value

Unrealized

$

Gain/(Loss)

CENTRALLY

CLEARED

SWAPS

(0.2)%

Zero-Coupon

Inflation

Swaps

(0.2)%

5

Year

Zero-Coupon

Inflation

Swap

Receive

Fixed

2.978%

at

Maturity,

Pay

Variable

(Change

in

CPI)

at

Maturity,

12/2/26

59,000

(3,081)

1

(

3,082‌

)

5

Year

Zero-Coupon

Inflation

Swap

Receive

Fixed

3.080%

at

Maturity,

Pay

Variable

(Change

in

CPI)

at

Maturity,

11/30/26

5,700

(271)

—

(

271‌

)

5

Year

Zero-Coupon

Inflation

Swap

Receive

Fixed

3.295%

at

Maturity,

Pay

Variable

(Change

in

CPI)

at

Maturity,

11/17/26

30,200

(1,129)

—

(

1,129‌

)

10

Year

Zero-Coupon

Inflation

Swap

Pay

Fixed

2.723%

at

Maturity,

Receive

Variable

(Change

in

CPI)

at

Maturity,

12/2/31

28,500

1,589

—

1,589‌

10

Year

Zero-Coupon

Inflation

Swap

Pay

Fixed

2.769%

at

Maturity,

Receive

Variable

(Change

in

CPI)

at

Maturity,

11/30/31

5,700

294

—

294‌

10

Year

Zero-Coupon

Inflation

Swap

Pay

Fixed

2.947%

at

Maturity,

Receive

Variable

(Change

in

CPI)

at

Maturity,

11/17/31

11,400

395

—

395‌

Total

Centrally

Cleared

Zero-Coupon

Inflation

Swaps

(

2,204‌

)

Total

Centrally

Cleared

Swaps

(

2,204‌

)

Net

payments

(receipts)

of

variation

margin

to

date

2,333‌

Variation

margin

receivable

(payable)

on

centrally

cleared

swaps

$

129‌

T.

ROWE

PRICE

GNMA

Fund

7

FUTURES

CONTRACTS

($000s)

Expiration

Date

Notional

Amount

Value

and

Unrealized

Gain

(Loss)

Short,

356

U.S.

Treasury

Notes

ten

year

contracts

12/22

(41,619)

$

155‌

Long,

713

U.S.

Treasury

Notes

two

year

contracts

12/22

148,538

(

218‌

)

Long,

114

Ultra

U.S.

Treasury

Bonds

contracts

12/22

17,043

200‌

Short,

357

Ultra

U.S.

Treasury

Notes

ten

year

contracts

12/22

(44,692)

84‌

Net

payments

(receipts)

of

variation

margin

to

date

(

154‌

)

Variation

margin

receivable

(payable)

on

open

futures

contracts

$

67‌

T.

ROWE

PRICE

GNMA

Fund

8

The

accompanying

notes

are

an

integral

part

of

this

Portfolio

of

Investments.

AFFILIATED

COMPANIES

($000s)

The

fund

may

invest

in

certain

securities

that

are

considered

affiliated

companies.

As

defined

by

the

1940

Act,

an

affiliated

company

is

one

in

which

the

fund

owns

5%

or

more

of

the

outstanding

voting

securities,

or

a

company

that

is

under

common

ownership

or

control.

The

following

securities

were

considered

affiliated

companies

for

all

or

some

portion

of

the

three

months

ended

August

31,

2022.

Net

realized

gain

(loss),

investment

income,

change

in

net

unrealized

gain/loss,

and

purchase

and

sales

cost

reflect

all

activity

for

the

period

then

ended.

Affiliate

Net

Realized

Gain

(Loss)

Change

in

Net

Unrealized

Gain/Loss

Investment

Income

T.

Rowe

Price

Government

Reserve

Fund,

2.36%

$

—‌

#

$

—‌

$

90‌

+

Supplementary

Investment

Schedule

Affiliate

Value

05/31/22

Purchase

Cost

Sales

Cost

Value

08/31/22

T.

Rowe

Price

Government

Reserve

Fund,

2.36%

$

35,727‌

¤

¤

$

29,203‌

^

#

Capital

gain

distributions

from

mutual

funds

represented

$0

of

the

net

realized

gain

(loss).

+

Investment

income

comprised

$90

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

$29,203.

T.

ROWE

PRICE

GNMA

Fund

Unaudited

Notes

to

Portfolio

of

Investments

9

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

Fair

Value

The

fund’s

financial

instruments

are

valued

at

the

close

of

the

New

York

Stock

Exchange

(NYSE),

normally

4

p.m.

ET,

each

day

the

NYSE

is

open

for

business,

and

are

reported

at

fair

value,

which

GAAP

defines

as

the

price

that

would

be

received

to

sell

an

asset

or

paid

to

transfer

a

liability

in

an

orderly

transaction

between

market

participants

at

the

measurement

date. The

T.

Rowe

Price

Valuation

Committee

(the

Valuation

Committee)

is

an

internal

committee

that

has

been

delegated

certain

responsibilities

by

the

fund’s

Board

of

Directors

(the

Board)

to

ensure

that

financial

instruments

are

appropriately

priced

at

fair

value

in

accordance

with

GAAP

and

the

1940

Act.

Subject

to

oversight

by

the

Board,

the

Valuation

Committee

develops

and

oversees

pricing-related

policies

and

procedures

and

approves

all

fair

value

determinations.

Specifically,

the

Valuation

Committee

establishes

policies

and

procedures

used

in

valuing

financial

instruments,

including

those

which

cannot

be

valued

in

accordance

with

normal

procedures

or

using

pricing

vendors;

determines

pricing

techniques,

sources,

and

persons

eligible

to

effect

fair

value

pricing

actions;

evaluates

the

services

and

performance

of

the

pricing

vendors;

oversees

the

pricing

process

to

ensure

policies

and

procedures

are

being

followed;

and

provides

guidance

on

internal

controls

and

valuation-related

matters.

The

Valuation

Committee

provides

periodic

reporting

to

the

Board

on

valuation

matters.

Various

valuation

techniques

and

inputs

are

used

to

determine

the

fair

value

of

financial

instruments.

GAAP

establishes

the

following

fair

value

hierarchy

that

categorizes

the

inputs

used

to

measure

fair

value:

Level

1

–

quoted

prices

(unadjusted)

in

active

markets

for

identical

financial

instruments

that

the

fund

can

access

at

the

reporting

date

Level

2

–

inputs

other

than

Level

1

quoted

prices

that

are

observable,

either

directly

or

indirectly

(including,

but

not

limited

to,

quoted

prices

for

similar

financial

instruments

in

active

markets,

quoted

prices

for

identical

or

similar

financial

T.

ROWE

PRICE

GNMA

Fund

10

instruments

in

inactive

markets,

interest

rates

and

yield

curves,

implied

volatilities,

and

credit

spreads)

Level

3

–

unobservable

inputs

(including

the fund’s

own

assumptions

in

determining

fair

value)

Observable

inputs

are

developed

using

market

data,

such

as

publicly

available

information

about

actual

events

or

transactions,

and

reflect

the

assumptions

that

market

participants

would

use

to

price

the

financial

instrument.

Unobservable

inputs

are

those

for

which

market

data

are

not

available

and

are

developed

using

the

best

information

available

about

the

assumptions

that

market

participants

would

use

to

price

the

financial

instrument.

GAAP

requires

valuation

techniques

to

maximize

the

use

of

relevant

observable

inputs

and

minimize

the

use

of

unobservable

inputs.

When

multiple

inputs

are

used

to

derive

fair

value,

the

financial

instrument

is

assigned

to

the

level

within

the

fair

value

hierarchy

based

on

the

lowest-level

input

that

is

significant

to

the

fair

value

of

the

financial

instrument.

Input

levels

are

not

necessarily

an

indication

of

the

risk

or

liquidity

associated

with

financial

instruments

at

that

level

but

rather

the

degree

of

judgment

used

in

determining

those

values.

Valuation

Techniques

Debt

securities

generally

are

traded

in

the over-the-counter

(OTC)

market

and

are

valued

at

prices

furnished

by

independent

pricing

services

or

by

broker

dealers

who

make

markets

in

such

securities.

When

valuing

securities,

the

independent

pricing

services

consider

the

yield

or

price

of

bonds

of

comparable

quality,

coupon,

maturity,

and

type,

as

well

as

prices

quoted

by

dealers

who

make

markets

in

such

securities.

Investments

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.

Swaps

are

valued

at

prices

furnished

by

an

independent

pricing

service

or

independent

swap

dealers.

Investments

for

which

market

quotations

or

market-based

valuations

are

not

readily

available

or

deemed

unreliable

are

valued

at

fair

value

as

determined

in

good

faith

by

the

Valuation

Committee,

in

accordance

with

fair

valuation

policies

and

procedures.

The

objective

of

any

fair

value

pricing

determination

is

to

arrive

at

a

price

that

could

reasonably

be

expected

from

a

current

sale.

Financial

instruments

fair

valued

by

the

Valuation

Committee

are

primarily

private

placements,

restricted

securities,

warrants,

rights,

and

other

securities

that

are

not

publicly

traded.

Factors

used

in

determining

fair

value

vary

by

type

of

investment

and

may

include

market

or

investment

specific

considerations.

The

Valuation

Committee

typically

will

afford

greatest

weight

to

actual

prices

in

arm’s

length

transactions,

to

the

extent

they

represent

orderly

transactions

between

market

participants,

transaction

information

can

be

reliably

obtained,

and

T.

ROWE

PRICE

GNMA

Fund

11

prices

are

deemed

representative

of

fair

value.

However,

the

Valuation

Committee

may

also

consider

other

valuation

methods

such

as

market-based

valuation

multiples;

a

discount

or

premium

from

market

value

of

a

similar,

freely

traded

security

of

the

same

issuer;

discounted

cash

flows;

yield

to

maturity;

or

some

combination.

Fair

value

determinations

are

reviewed

on

a

regular

basis

and

updated

as

information

becomes

available,

including

actual

purchase

and

sale

transactions

of

the

investment.

Because

any

fair

value

determination

involves

a

significant

amount

of

judgment,

there

is

a

degree

of

subjectivity

inherent

in

such

pricing

decisions,

and

fair

value

prices

determined

by

the

Valuation

Committee

could

differ

from

those

of

other

market

participants.

Valuation

Inputs

The

following

table

summarizes

the

fund’s

financial

instruments,

based

on

the

inputs

used

to

determine

their

fair

values

on

August

31,

2022

(for

further

detail

by

category,

please

refer

to

the

accompanying

Portfolio

of

Investments):

($000s)

Level

1

Level

2

Level

3

Total

Value

Assets

Fixed

Income

Securities

1

$

—‌

$

1,159,894‌

$

—‌

$

1,159,894‌

Short-Term

Investments

29,203‌

—‌

—‌

29,203‌

Total

Securities

29,203‌

1,159,894‌

—‌

1,189,097‌

Swaps*

—‌

2,278‌

—‌

2,278‌

Futures

Contracts*

439‌

—‌

—‌

439‌

Total

$

29,642‌

$

1,162,172‌

$

—‌

$

1,191,814‌

Liabilities

TBA

Sales

Commitments

$

—‌

$

131,446‌

$

—‌

$

131,446‌

Swaps*

—‌

4,482‌

—‌

4,482‌

Futures

Contracts*

218‌

—‌

—‌

218‌

Total

$

218‌

$

135,928‌

$

—‌

$

136,146‌

1

Includes

Non-U.S.

Government

Mortgage-Backed

Securities

and

U.S.

Government

&

Agency

Mortgage-Backed

Securities.

*

The

fair

value

presented

includes

cumulative

gain

(loss)

on

open

futures

contracts

and

centrally

cleared

swaps;

however,

the

net

value

reflected

on

the

accompanying

Portfolio

of

Investments

is

only

the

unsettled

variation

margin

receivable

(payable)

at

that

date.

T.

ROWE

PRICE

GNMA

Fund

12

OTHER

MATTERS

Unpredictable

events

such

as

environmental

or

natural

disasters,

war,

terrorism,

pandemics,

outbreaks

of

infectious

diseases,

and

similar

public

health

threats

may

significantly

affect

the

economy

and

the

markets

and

issuers

in

which

a

fund

invests.

Certain

events

may

cause

instability

across

global

markets,

including

reduced

liquidity

and

disruptions

in

trading

markets,

while

some

events

may

affect

certain

geographic

regions,

countries,

sectors,

and

industries

more

significantly

than

others,

and

exacerbate

other

pre-existing

political,

social,

and

economic

risks.

Since

2020,

a

novel

strain

of

coronavirus

(COVID-19)

has

resulted

in

disruptions

to

global

business

activity

and

caused

significant

volatility

and

declines

in

global

financial

markets.

In

February

2022,

Russian

forces

entered

Ukraine

and

commenced

an

armed

conflict

leading

to

economic

sanctions

being

imposed

on

Russia

and

certain

of

its

citizens,

creating

impacts

on

Russian-related

stocks

and

debt

and

greater

volatility

in

global

markets.

These

are

recent

examples

of

global

events

which

may

have

an

impact

on

the

fund’s

performance,

which

could

be

negatively

impacted

if

the

value

of

a

portfolio

holding

were

harmed

by

these

and

such

other

events.

Management

is

actively

monitoring

the

risks

and

financial

impacts

arising

from

these

events.

F70-054Q1

08/22