-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, IE17mPzmD4ticHIn6i8qV0TctLgtY3r62D7pqGmtFGzqyVEzGmkWLrBlH9Zt1ijF iaOpQbp8sL32Jmb7GGadLg== 0000080249-05-000012.txt : 20050428 0000080249-05-000012.hdr.sgml : 20050428 20050428121505 ACCESSION NUMBER: 0000080249-05-000012 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20050228 FILED AS OF DATE: 20050428 DATE AS OF CHANGE: 20050428 EFFECTIVENESS DATE: 20050428 FILER: COMPANY DATA: COMPANY CONFORMED NAME: PRICE T ROWE NEW INCOME FUND INC CENTRAL INDEX KEY: 0000080249 IRS NUMBER: 520980581 FISCAL YEAR END: 0531 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-02396 FILM NUMBER: 05779239 BUSINESS ADDRESS: STREET 1: 100 EAST PRATT ST CITY: BALTIMORE STATE: MD ZIP: 21202 BUSINESS PHONE: 4105472000 N-Q 1 poi_nif.txt N-Q~NEW INCOME FUND Item 1. Schedule of Investments T. Rowe Price New Income Fund Unaudited February 28, 2005 PORTFOLIO OF INVESTMENTS (1) (Amounts in 000s) $ Par/Shares Value CORPORATE BONDS AND NOTES 22.2% Automobiles and Related 1.5% DaimlerChrysler 6.50%, 11/15/13 5,945 6,421 VR, 2.94%, 9/10/07 4,300 4,318 Ford Motor Credit 5.80%, 1/12/09 15,500 15,493 VR, 3.75%, 11/16/06 2,900 2,905 GM, 8.375%, 7/15/33 8,905 8,750 GMAC, 7.25%, 3/2/11 5,900 5,998 Lear, 144A, 5.75%, 8/1/14 2,000 2,006 45,891 Banking 1.5% Bank of America Capital Trust, 5.625%, 3/8/35 6,000 5,914 Bank One, 5.25%, 1/30/13 5,300 5,390 Capital One Bank, 6.50%, 6/13/13 3,520 3,842 First Union, 6.40%, 4/1/08 2,215 2,357 HBOS, 144A, 6.00%, 11/1/33 4,300 4,577 Huntington National Bank, 4.375%, 1/15/10 5,600 5,544 MBNA America Bank 4.625%, 8/3/09 5,100 5,108 7.125%, 11/15/12 2,200 2,482 U.S. Bank, 2.87%, 2/1/07 4,000 3,913 Wells Fargo, VR, 2.59%, 3/23/07 5,900 5,905 45,032 Beverages 0.2% Miller Brewing, 144A, 5.50%, 8/15/13 6,200 6,408 6,408 Broadcasting 0.5% AOL Time Warner, 7.625%, 4/15/31 5,915 7,222 Chancellor Media, 8.00%, 11/1/08 2,615 2,888 Hearst-Argyle, 7.00%, 1/15/18 3,685 4,097 14,207 Building and Real Estate 0.7% Centex, 4.55%, 11/1/10 4,000 3,934 Lennar, 144A, 5.50%, 9/1/14 3,850 3,893 NVR, 5.00%, 6/15/10 4,085 4,116 Pulte Homes, 7.875%, 8/1/11 5,000 5,719 Ryland Group, 5.375%, 1/15/15 2,055 2,047 19,709 Building Products 0.2% Masco, 5.875%, 7/15/12 5,190 5,540 5,540 Cable Operators 0.1% Rogers Cable, 5.50%, 3/15/14 4,120 3,966 3,966 Computer Service & Software 0.1% SunGard Data Systems, 3.75%, 1/15/09 2,750 2,654 2,654 Conglomerates 0.5% General Electric Capital 6.00%, 6/15/12 5,290 5,697 6.125%, 2/22/11 5,700 6,160 Hutchison Whampoa, 144A, 5.45%, 11/24/10 3,235 3,332 15,189 Container 0.2% Sealed Air, 144A, 5.375%, 4/15/08 5,200 5,323 5,323 Diversified Chemicals 0.1% Dow Chemical, 6.125%, 2/1/11 3,225 3,482 3,482 Drugs 0.3% Amgen, 144A, 4.00%, 11/18/09 3,285 3,226 GlaxoSmithKline, 5.375%, 4/15/34 3,355 3,358 Wyeth, 6.50%, 2/1/34 3,125 3,450 10,034 Electric Utilities 2.5% Alabama Power, VR, 3.063%, 8/25/09 3,980 3,985 Appalachian Power, 4.80%, 6/15/05 5,115 5,138 Black Hills, 6.50%, 5/15/13 5,160 5,387 CE Electric UK Funding, 144A, 6.995%, 12/30/07 3,835 4,005 Centerpoint Energy, 7.25%, 9/1/10 3,675 4,068 Dominion Resources, 5.00%, 3/15/13 4,350 4,362 Exelon Generation, 5.35%, 1/15/14 3,900 3,964 PG&E 6.05%, 3/1/34 4,035 4,259 VR, 3.26%, 4/3/06 1,140 1,140 Pinnacle West Capital, 6.40%, 4/1/06 4,285 4,394 PPL Capital Funding, 4.33%, 3/1/09 5,075 5,018 Progress Energy, 6.75%, 3/1/06 3,348 3,444 Public Service of New Mexico, 4.40%, 9/15/08 4,735 4,727 Puget Sound Energy, VR, 2.96%, 7/14/06 5,135 5,133 Sempra Energy, 6.00%, 2/1/13 4,780 5,071 Tri-State Generation, 144A, 6.04%, 1/31/18 2,850 3,013 TXU Energy, VR, 3.42%, 1/17/06 1,163 1,163 Westar Energy, 7.875%, 5/1/07 2,724 2,934 Western Power Distribution Holdings 144A, 6.875%, 12/15/07 2,690 2,803 74,008 Electronic Components 0.2% Motorola, 5.80%, 10/15/08 5,000 5,206 5,206 Energy 0.6% Pioneer Natural Resource, 5.875%, 7/15/16 2,445 2,541 Plains All American Pipeline, 7.75%, 10/15/12 2,255 2,616 Transocean, 7.50%, 4/15/31 2,960 3,676 XTO Energy, 6.25%, 4/15/13 3,240 3,517 YPF Sociedad Anonima, 10.00%, 11/2/28 4,660 5,592 17,942 Entertainment and Leisure 0.1% International Speedway, 4.20%, 4/15/09 2,300 2,262 2,262 Exploration and Production 0.7% Canadian Natural Resources, 7.20%, 1/15/32 5,200 6,178 Diamond Offshore Drilling, 144A, 5.15%, 9/1/14 3,500 3,506 Encana Holdings Finance, 5.80%, 5/1/14 5,150 5,428 Kaneb Pipe Line Operations, 7.75%, 2/15/12 5,430 6,209 21,321 Finance and Credit 1.4% CIT Group, 5.00%, 2/1/15 9,000 8,884 Colonial Bank, 9.375%, 6/1/11 3,980 4,724 Countrywide Home Loans, 4.125%, 9/15/09 5,450 5,354 Household Finance, 6.375%, 11/27/12 4,475 4,899 International Lease Finance, 6.375%, 3/15/09 5,020 5,363 Northern Trust, 4.60%, 2/1/13 3,075 3,032 SLM Corporation, VR 2.90%, 1/26/09 5,600 5,610 4.38%, 4/1/09 3,840 3,803 41,669 Food Processing 0.6% Bunge Limited Finance, 4.375%, 12/15/08 5,290 5,261 Kraft Foods, 5.625%, 11/1/11 4,700 4,950 McCormick, 6.40%, 2/1/06 7,300 7,469 17,680 Food/Tobacco 0.3% Philip Morris, 7.20%, 2/1/07 1,860 1,965 UST, 6.625%, 7/15/12 5,400 5,971 7,936 Gaming 0.2% GTECH, 144A, 4.50%, 12/1/09 3,500 3,453 Harrah's Operating, 5.50%, 7/1/10 2,700 2,778 6,231 Gas & Gas Transmission 0.8% Atmos Energy, 4.00%, 10/15/09 5,775 5,643 Buckeye Partners, 5.30%, 10/15/14 1,430 1,439 Duke Capital 4.302%, 5/18/06 3,450 3,463 6.25%, 2/15/13 4,350 4,686 Kinder Morgan, 6.50%, 9/1/12 5,000 5,462 Panhandle Eastern Pipeline, 4.80%, 8/15/08 3,600 3,607 TGT Pipeline, 144A, 5.50%, 2/1/17 1,380 1,379 25,679 Healthcare Services 0.3% Highmark, 144A, 6.80%, 8/15/13 4,005 4,298 Hospira, 4.95%, 6/15/09 4,800 4,849 9,147 Insurance 2.4% ACE INA Holdings, 5.875%, 6/15/14 3,945 4,093 AIG Sunamerica Global Financing XII 144A, 5.30%, 5/30/07 6,070 6,226 Allstate Financial Global Funding 144A, 5.25%, 2/1/07 5,200 5,329 Cigna, 7.40%, 5/15/07 2,000 2,127 Fund American Companies, 5.875%, 5/15/13 4,735 4,836 Genworth Financial, 5.75%, 6/15/14 4,700 4,939 Jefferson Pilot, 144A, 8.14%, 1/15/46 3,000 3,419 Mangrove Bay Trust, 144A, VR, 6.102%, 7/15/33 2,500 2,510 Nationwide Financial Services, 5.90%, 7/1/12 5,170 5,482 Nationwide Mutual Insurance, 144A, 6.60%, 4/15/34 2,735 2,750 NLV Financial, 144A, 7.50%, 8/15/33 3,375 3,694 Principal Life Global Funding I, 144A, 5.25%, 1/15/13 4,900 4,957 Prudential Financial, 3.75%, 5/1/08 4,520 4,453 Security Benefit Life Insurance, 144A, 7.45%, 10/1/33 2,150 2,433 Sun Life of Canada (U.S.) Capital Trust 144A, 8.526%, 5/29/49 7,000 7,766 Transamerica Capital II, 144A, 7.65%, 12/1/26 2,500 2,894 XL Capital, 6.50%, 1/15/12 4,070 4,427 72,335 Investment Dealers 0.7% Franklin Resources, 3.70%, 4/15/08 1,650 1,621 Goldman Sachs Capital I, 6.345%, 2/15/34 10,000 10,646 Morgan Stanley, 3.625%, 4/1/08 7,880 7,766 20,033 Long Distance 0.4% AT&T Broadband, 8.375%, 3/15/13 5,395 6,565 Sprint Capital, 6.90%, 5/1/19 6,115 6,861 13,426 Manufacturing 0.2% John Deere Capital, 7.00%, 3/15/12 5,250 5,997 5,997 Media and Communications 0.3% Belo, 8.00%, 11/1/08 2,380 2,648 News America 6.75%, 1/9/38 1,705 1,934 7.625%, 11/30/28 2,160 2,598 144A, 6.20%, 12/15/34 3,185 3,283 10,463 Metals 0.1% Alcan Aluminum, 6.125%, 12/15/33 4,250 4,575 4,575 Oil Field Services 0.2% Halliburton, 144A, VR, 3.45%, 1/26/07 5,000 4,998 4,998 Paper and Paper Products 0.4% Celulosa Arauco Y Constitucion, 8.625%, 8/15/10 7,500 8,710 Weyerhaeuser 6.75%, 3/15/12 2,425 2,711 7.375%, 3/15/32 1,085 1,309 12,730 Petroleum 0.9% Amerada Hess, 7.875%, 10/1/29 4,800 5,922 ConocoPhillips, 5.90%, 10/15/32 4,560 4,900 Devon Financing, 7.875%, 9/30/31 4,035 5,177 Pemex Project Funding Master Trust 7.375%, 12/15/14 3,280 3,649 144A, VR, 3.79%, 6/15/10 4,700 4,801 PF Export Receivables Master Trust 144A, 6.436%, 6/1/15 2,491 2,498 26,947 Railroads 0.4% Canadian National Railway, 6.25%, 8/1/34 5,110 5,627 Norfolk Southern, 6.00%, 4/30/08 6,175 6,419 12,046 Real Estate Investment Trust Securities 0.5% Developers Diversified Realty, 3.875%, 1/30/09 3,565 3,441 EOP Operating, 4.65%, 10/1/10 4,100 4,072 Reckson Operating Partnership, 5.15%, 1/15/11 2,500 2,487 Simon Property Group, 3.75%, 1/30/09 4,650 4,513 14,513 Retail 0.1% CVS, 4.00%, 9/15/09 2,985 2,941 2,941 Savings and Loan 0.2% Webster Financial, 5.125%, 4/15/14 5,310 5,241 5,241 Specialty Chemicals 0.1% Lubrizol, 5.50%, 10/1/14 3,800 3,877 3,877 Supermarkets 0.2% Kroger, 8.05%, 2/1/10 4,855 5,557 5,557 Telecommunications 0.2% Telus, 8.00%, 6/1/11 4,250 4,969 4,969 Telephones 0.8% Deutsche Telekom International Finance STEP, 8.75%, 6/15/30 4,550 6,132 France Telecom, STEP, 8.50%, 3/1/11 4,360 5,104 Telecom Italia Capital, 5.25%, 11/15/13 4,500 4,544 Telefonos De Mexico, 144A, 4.75%, 1/27/10 3,985 3,971 Verizon Global Funding, 7.75%, 12/1/30 4,155 5,161 24,912 Wireless Communications 0.5% America Movil 5.50%, 3/1/14 3,255 3,262 6.375%, 3/1/35 3,000 2,990 AT&T Wireless, 8.75%, 3/1/31 4,500 6,128 U.S. Cellular, 6.70%, 12/15/33 2,695 2,883 15,263 Total Corporate Bonds and Notes (Cost $647,314) 667,339 ASSET-BACKED SECURITIES 3.3% Auto-Backed 0.8% Capital Auto Receivables Asset Trust Series 2002-2, Class CERT, 4.18%, 10/15/07 2,300 2,308 Chase Manhattan Auto Owner Trust Series 2001-B, Class CTFS, 3.75%, 5/15/08 1,402 1,401 Series 2003-A, Class A4, 2.06%, 12/15/09 9,125 8,848 GS Auto Loan Trust, Series 2004-1 Class C, 2.68%, 12/15/06 1,750 1,733 Hyundai Auto Receivables Trust Series 2003-A, Class A4, 3.02%, 10/15/10 4,950 4,854 Series 2003-A, Class D, 4.06%, 10/15/10 2,050 2,051 Morgan Stanley Auto Loan Trust Series 2004-HB1, Class C, VR, 2.88%, 10/15/11 2,625 2,602 SSB Auto Loan Trust, Series 2002-1 Class C, 4.13%, 2/15/09 210 211 24,008 Credit Card-Backed 1.3% Citibank Credit Card Issuance Trust Series 2001-C1, Class C1, VR, 2.68%, 1/15/10 6,035 6,129 Series 2004-C1, Class C1, VR, 3.05%, 7/15/13 13,000 13,027 MBNA Master Credit Card Trust II Series 2000-D, Class C, 144A, 8.40%, 9/15/09 10,075 10,924 World Financial Network Series 2003-A, Class A2, VR, 2.96%, 3/15/12 10,925 10,972 41,052 Home Equity Loans-Backed 0.5% BankBoston Home Equity Loan Trust Series 1998-1, Class A6, 6.35%, 2/25/13 2,967 3,086 Chase Funding Mortgage Loan Series 1998-1, Class 1M1, 6.59%, 5/25/28 1,264 1,272 Series 2002-2, Class 1M1, 5.599%, 9/25/31 1,750 1,758 Countrywide Asset-Backed Certificates Series 2003-5, Class AF3, 3.613%, 4/25/30 7,925 7,885 14,001 Stranded Asset 0.7% Peco Energy Transition Trust Series 2001-A, Class A1, 6.52%, 12/31/10 11,475 12,581 Reliant Energy Transition Bond Series 2001-1, Class A4, 5.63%, 9/15/15 8,572 9,071 21,652 Total Asset-Backed Securities (Cost $100,416) 100,713 NON-U.S. GOVERNMENT MORTGAGE-BACKED SECURITIES 6.4% Commercial Mortgage Backed Securities 5.0% Banc of America Commercial Mortgage Series 2003-1, Class A2, CMO, 4.648%, 9/11/36 11,450 11,344 Series 2004-6, Class A1, CMO, 3.801%, 12/10/42 2,702 2,676 Bear Stearns Commercial Mortgage Securities Series 2004-PWR6, Class A1, CMO, 3.688%, 11/11/41 2,139 2,122 Series 2002-TOP8, Class A2, CMO, 4.83%, 8/15/38 8,210 8,235 Citigroup Commercial Mortgage Trust Series 2004-C2, Class A1, CMO, 3.787%, 10/15/41 2,020 2,002 Credit Suisse First Boston Series 2004-C5, Class A4, CMO, 4.829%, 11/15/37 13,975 13,805 DLJ Commercial Mortgage Series 1999-CG2, Class A1B, CMO, 7.30%, 6/10/32 13,000 14,302 GE Capital Commercial Mortgage Series 2001-1, Class A2, CMO, 6.531%, 3/15/11 11,300 12,267 Greenwich Capital Commercial Funding Series 2004-GG1A, Class A2, CMO, 3.835%, 10/8/08 9,181 9,084 Series 2005-GG3, Class AAB, CMO, 4.619%, 8/10/42 3,745 3,705 GS Mortgage Securities Corp. II Series 2004-GG2, Class A2, CMO, 4.293%, 8/1/38 6,050 6,032 J.P. Morgan Chase Commercial Mortgage Series 2001-CIB2, Class A2, CMO, 6.244%, 4/15/35 6,750 7,070 Series 2001-CIBC, Class A3, CMO, 6.26%, 3/15/33 7,275 7,844 LB-UBS Commercial Mortgage Trust Series 2004-C2, Class A2, CMO, , 3.246%, 3/15/29 5,975 5,715 Series 2004-C4, Class A2, CMO, VR, 4.567%, 5/15/29 11,750 11,788 Series 2005-C1, Class A4, CMO, 4.742%, 2/15/30 10,385 10,236 Morgan Stanley Capital Trust Series 2005-TOP17, Class A5, CMO, 4.78%, 12/13/41 7,200 7,107 Morgan Stanley Dean Witter Capital Series 2002-TOP7, Class A2, CMO, 5.98%, 1/15/39 9,400 10,083 Prudential Securities Secured Financing Series 1999-NRF1, Class A1, CMO, 6.074%, 11/15/08 789 794 Wachovia Bank Commercial Mortgage Trust Series 2005-C16, Class A4, CMO, 4.847%, 10/15/41 3,615 3,585 149,796 Whole Loans-Backed 1.4% Bank of America Mortgage Securities Series 2003-L, Class 2A2, CMO, VR, 4.29%, 1/25/34 15,136 15,080 Series 2004-1, Class 3A2, CMO, VR, 5.00%, 10/25/34 5,722 5,698 Series 2004-A, Class 2A2, CMO, VR, 4.144%, 2/25/34 8,486 8,480 Series 2004-D, Class 2A2, CMO, VR, 4.22%, 5/25/34 4,402 4,370 Series 2004-H, Class 2A2, CMO, VR, 4.807%, 9/25/34 5,357 5,365 Washington Mutual Series 2004-AR1, Class A, CMO, VR, 4.229%, 3/25/34 4,800 4,672 43,665 Total Non-U.S. Government Mortgage-Backed Securities 193,461 (Cost $196,836) U.S. GOVERNMENT & AGENCY MORTGAGE-BACKED SECURITIES 33.5% U.S. Government Agency Obligations +/- 25.8% Federal Home Loan Mortgage 4.50%, 11/1/18 - 6/1/19 33,410 33,068 5.00%, 1/1/09 - 4/1/34 61,985 62,458 5.50%, 4/1/29 628 637 6.00%, 10/1/16 - 12/1/33 36,850 38,186 6.50%, 5/1/17 - 5/1/24 5,457 5,745 7.00%, 2/1/24 - 6/1/32 3,759 3,974 7.50%, 5/1 - 6/1/24 281 301 10.50%, 3/1/13 - 8/1/20 26 28 11.00%, 11/1/17 - 7/1/20 17 19 ARM, 4.58%, 9/1/32 3,212 3,231 CMO 4.50%, 3/15/16 31,450 30,969 5.00%, 10/15 - 11/15/27 27,283 27,361 5.50%, 4/15/28 21,750 22,355 6.50%, 3/15/23 10,651 10,776 CMO, IO, 4.50%, 6/15/11 - 4/15/18 28,204 2,656 CMO, Principal Only, 8/1/28 517 442 Federal National Mortgage Assn. 4.50%, 5/1/18 - 1/1/19 40,929 40,503 5.00%, 1/1/09 - 4/1/34 141,240 139,832 5.50%, 4/1/16 - 12/1/34 155,020 157,679 6.00%, 4/1/14 - 11/1/34 61,901 63,553 6.50%, 6/1/13 - 7/1/32 49,728 51,875 7.00%, 10/1/29 - 11/1/30 143 151 CMO 2.91%, 11/25/33 5,930 5,909 3.50%, 4/25/13 7,250 7,195 5.00%, 3/25/15 15,800 15,884 CMO, IO 5.50%, 11/25/28 6,815 489 6.50%, 2/1/32 2,033 415 TBA 4.50%, 1/1/19 29,300 28,915 5.50%, 1/1/18 20,376 20,892 775,498 U.S. Government Obligations 7.7% Government National Mortgage Assn. 5.00%, 7/15 - 9/20/33 65,958 65,733 5.50%, 1/20 - 4/20/34 50,511 51,335 6.00%, 2/15/14 - 1/20/35 77,908 80,555 6.50%, 8/15/25 - 9/20/34 4,083 4,289 7.00%, 3/15/13 - 11/20/28 8,533 9,060 7.50%, 8/15/16 - 8/15/28 1,608 1,723 8.00%, 7/15/16 - 10/15/27 5,551 6,021 8.50%, 9/15/16 - 9/20/26 1,007 1,100 9.00%, 1/15/09 - 11/15/19 237 260 9.50%, 6/15/09 - 2/15/25 55 59 10.25%, 9/15/19 - 11/15/20 199 223 11.00%, 12/15/09 - 6/15/19 1,679 1,877 11.50%, 3/15/10 - 10/15/15 244 276 CMO, 2.946%, 3/16/19 7,050 6,769 CMO, Principal Only, 3/16/28 1,012 924 TBA 5.50%, 1/1/33 570 578 6.00%, 1/1/34 678 700 231,482 Total U.S. Government & Agency Mortgage-Backed Securities (Cost $1,007,578) 1,006,980 U.S. GOVERNMENT & AGENCY OBLIGATIONS (EXCLUDING MORTGAGE-BACKED) 21.8% U.S. Government Agency Obligations +/- 7.2% Federal Home Loan Banks, 2.77%, 6/6/05 60,000 59,552 Federal Home Loan Mortgage 2.75%, 3/15/08 ss. 32,182 31,048 4.75%, 10/11/12 ss. 10,000 9,849 5.125%, 7/15/12 ss. 34,258 35,585 Federal National Mortgage Assn. 3.25%, 8/15/08 520 507 4.25%, 7/15/07 ss. 20,000 20,172 4.375%, 9/15/12 ss. 10,650 10,545 4.625%, 10/15/14 ss. 20,000 19,914 5.75%, 2/15/08 ss. 15,045 15,771 7.125%, 1/15/30 11,300 14,527 217,470 U.S. Treasury Obligations 14.6% U.S. Treasury Bonds 5.375%, 2/15/31 ss. 24,065 26,457 5.50%, 8/15/28 ss. 7,500 8,248 6.00%, 2/15/26 ss. 12,855 14,882 6.25%, 8/15/23 - 5/15/30 ss.++ 47,110 56,774 6.50%, 11/15/26 ss. 29,650 36,423 7.50%, 11/15/16 ss.++ 25,100 31,857 8.50%, 2/15/20 ss. 4,100 5,778 U.S. Treasury Inflation-Indexed Bonds 2.375%, 1/15/25 ss. 34,789 37,197 U.S. Treasury Notes 1.25%, 5/31/05 54,560 54,366 1.625%, 4/30/05 ss. 30,000 29,944 3.375%, 11/15/08 ss. 11,000 10,808 3.50%, 2/15/10 15,000 14,658 4.00%, 6/15/09 ss. 18,800 18,856 4.25%, 8/15 - 11/15/13 ss. 21,610 21,497 4.75%, 5/15/14 ss. 9,000 9,267 5.00%, 8/15/11 ss. 19,050 19,976 5.75%, 8/15/10 ss. 12,000 12,997 U.S. Treasury Inflation-Indexed Notes, 2.00%, 7/15/14 11,854 12,197 U.S. Treasury Stripped Interest Payment Zero Coupon, 5/15/20 32,250 15,505 437,687 Total U.S. Government & Agency Obligations (excluding Mortgage-Backed) (Cost $639,689) 655,157 FOREIGN GOVERNMENT OBLIGATIONS & AGENCY OBLIGATIONS 5.5% Federal Republic of Germany, 5.00%, 5/20/05 (EUR) 9,100 12,140 Government of Canada 4.25%, 9/1/08 (CAD) 32,325 26,966 6.00%, 9/1/05 (CAD) 34,650 28,604 Government of United Kingdom, 5.00%, 9/7/14 (GBP) 6,750 13,257 Republic of Italy, 1.65%, 9/15/08 (EUR) 22,607 30,768 Republic of South Africa, 6.50%, 6/2/14 ss. 7,295 7,962 United Mexican States 8.00%, 12/28/06 - 12/19/13 (MXN) 500,000 40,817 VR, 3.33%, 1/13/09 ss. 3,500 3,547 Total Foreign Government Obligations & Agency 164,061 Obligations (Cost $153,619) MUNICIPAL BONDS 2.0% California, GO 5.25%, 4/1/34 2,570 2,722 5.50%, 11/1/33 2,500 2,715 Economic Recovery, 5.00%, 7/1/16 3,475 3,742 Clark County School Dist., GO 5.00%, 6/15/18 (MBIA Insured) 5,520 5,950 Kansas Dev. Fin. Auth., Public Employee Retirement 5.501%, 5/1/34 (FSA Insured) 3,175 3,275 New York State Urban Dev. Corp., Corrections & Youth Fac., 5.25%, 1/1/21 (Tender 1/1/09) 5,675 6,095 New York City, GO, 5.00%, 3/1/14 3,000 3,240 North Carolina, GO, 5.25%, 3/1/13 15,740 17,704 Oregon, GO, Taxable Pension, 5.892%, 6/1/27 1,640 1,786 Puerto Rico Public Fin. Corp. 5.25%, 8/1/29 (MBIA Insured) (Tender 2/1/12) 11,050 12,201 Total Municipal Bonds (Cost $58,583) 59,430 COMMON STOCKS 0.8% Bank and Trust 0.2% KeyCorp ss. 38 1,247 U.S. Bancorp ss. 55 1,636 Washington Mutual ss. 39 1,616 4,499 Building and Real Estate 0.1% CarrAmerica Realty, REIT ss. 60 1,875 Weingarten Realty Investors, REIT ss. 59 2,155 4,030 Electric Utilities 0.2% Duke Energy ss. 59 1,587 FirstEnergy ss. 39 1,587 NiSource ss. 70 1,585 Teco Energy ss. 100 1,589 6,348 Financial Services 0.0% Citigroup 30 1,432 1,432 Integrated Petroleum - International 0.2% BP ADR ss. 34 2,207 ChevronTexaco ss. 38 2,359 Royal Dutch Petroleum ADS ss. 35 2,208 6,774 Telecommunications 0.1% Telus (Non-voting shares) ss. 61 1,825 1,825 Total Common Stocks (Cost $21,024) 24,908 PREFERRED STOCKS 0.1% Real Estate 0.1% Roslyn Real Estate Asset * 0 2,010 Total Preferred Stocks (Cost $2,046) 2,010 INTEREST RATE SWAP AGREEMENTS 0.0% Citigroup Capital Services, Pay 4.413% Fixed Receive 3 month LIBOR (Currently 2.92%), 3/2/10 0 0 Citigroup Capital Services, Pay 4.435% Fixed Receive 3 month LIBOR (Currently 2.92%), 5/11/09 0 84 Morgan Stanley Capital Services, Pay 3.955% Fixed Receive 3 month LIBOR (Currently 2.92%), 11/12/08 0 (19) Morgan Stanley Capital Services, Pay 4.213% Fixed Receive 3 month LIBOR (Currently 2.92%), 5/10/09 0 (40) Total Interest Rate Swaps (Premium Paid $0) 25 SHORT-TERM INVESTMENTS 10.6% Money Market Funds 10.6% T. Rowe Price Reserve Investment Fund, 2.55% +# 318,965 318,965 Total Short-Term Investments (Cost $318,965) 318,965 FORWARD CURRENCY EXCHANGE CONTRACTS 0.0% Unrealized Gain (Loss) on Forward Currency Exchange Contracts (2) (300) Total Forward Currency Exchange Contracts (300) FUTURES CONTRACTS 0.0% Variation margin receivable (payable) on Futures Contracts (3) 324 Total Futures Contracts 324 SECURITIES LENDING COLLATERAL 14.3% Money Market Trust 14.3% State Street Bank and Trust Company of New Hampshire N.A. Securities Lending Quality Trust units, 2.519% # 431,191 431,191 Total Securities Lending Collateral (Cost $431,191) 431,191 Total Investments in Securities 120.5% of Net Assets (Cost $3,577,261) $ 3,624,264 (1) Denominated in U.S. dollars unless otherwise noted # Seven-day yield * Non-income producing ss. All or a portion of this security is on loan at February 28, 2005 - See Note 2 +/- The issuer is a publicly-traded company that operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government. ++ All or a portion of this security is pledged to cover margin requirements on futures contracts at February 28, 2005. + Affiliated company - See Note 4 144A 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 $123,675 and represents 4.1% of net assets ADR American Depository Receipts ADS American Depository Shares ARM Adjustable Rate Mortgage CAD Canadian dollar CMO Collateralized Mortgage Obligation EUR Euro FSA Financial Security Assurance Inc. GBP British pound GO General Obligation IO Interest Only security for which the fund receives interest on notional principal (par) MBIA MBIA Insurance Corp. MXN Mexican peso REIT Real Estate Investment Trust STEP Stepped coupon bond for which the coupon rate of interest will adjust on specified future date(s) TBA To Be Announced security was purchased on a forward commitment basis VR Variable Rate; rate shown is effective rate at period-end (2) Open Forward Currency Exchange Contracts at February 28, 2005 were as follows: Amounts in (000s) Unrealized Counterparty Settlement Receive Deliver Gain (Loss) Royal Bank of Canada 4/18/05 USD 27,823 CAD 33,720 $ 442 Royal Bank of Canada 4/29/05 USD 15,478 CAD 19,165 (86) CS First Boston 5/9/05 USD 16,841 EUR 13,000 (423) Morgan Stanley 6/1/05 USD 30,854 EUR 23,330 (147) JP Morgan 3/23/05 USD 13,618 GBP 7,130 (86) Net unrealized gain (loss) on open forward currency exchange contracts $ (300) (3) Open Futures Contracts at February 28, 2005 were as follows: ($ 000s) Contract Unrealized Expiration Value Gain (Loss) Short, 419 U.S. Treasury five year contract $350 par of 6.25% U.S. Treasury Bonds pledged as initial margin 6/05 $(45,075) $ 152 Short, 325 U.S. Treasury ten year contracts $1,575 par of 7.50% U.S. Treasury Bonds pledged as initial margin 6/05 (35,709) 186 Long, 80 Federal Republic of Germany five year contracts 3/05 12,029 (56) Long, 105 Federal Republic of Germany ten year contracts 3/05 16,577 (10) Net payments (receipts) of variation margin to date 52 Variation margin receivable (payable) on open futures contracts $ 324 The accompanying notes are an integral part of this Portfolio of Investments. T. Rowe Price New Income Fund Unaudited February 28, 2005 Notes To Portfolio of Investments NOTE 1 - SIGNIFICANT ACCOUNTING POLICIES T. Rowe Price New Income 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 the highest level of income consistent with the preservation of capital over time by investing primarily in marketable debt securities. Valuation The fund values its investments and computes its net asset value per share at the close of the New York Stock Exchange (NYSE), normally 4 p.m. ET, each day that the NYSE is open for business. Debt securities are generally traded in the over-the-counter market. Securities with original maturities of one year or more are valued at prices furnished by dealers who make markets in such securities or by an independent pricing service, which considers 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. Securities with original maturities of less than one year are stated at fair value, which is determined by using a matrix system that establishes a value for each security based on bid-side money market yields. Equity securities listed or regularly traded on a securities exchange or in the over-the-counter market are valued at the last quoted sale price or, for certain markets, the official closing price at the time the valuations are made, except for OTC Bulletin Board securities, which are valued at the mean of the latest bid and asked prices. A security that is listed or traded on more than one exchange is valued at the quotation on the exchange determined to be the primary market for such security. Listed securities not traded on a particular day are valued at the mean of the latest bid and asked prices for domestic securities and the last quoted sale price for international securities. Investments in mutual funds are valued at the mutual fund's closing net asset value per share on the day of valuation. Financial futures contracts are valued at closing settlement prices. Swap agreements are valued at prices furnished by dealers who make markets in such securities. Other investments 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 T. Rowe Price Valuation Committee, established by the fund's Board of Directors. Most foreign markets close before the close of trading on the NYSE. If the fund determines that developments between the close of a foreign market and the close of the NYSE will, in its judgment, materially affect the value of some or all of its portfolio securities, which in turn will affect the fund's share price, the fund will adjust the previous closing prices to reflect the fair value of the securities as of the close of the NYSE, as determined in good faith by the T. Rowe Price Valuation Committee, established by the fund's Board of Directors. A fund may also fair value securities in other situations, such as when a particular foreign market is closed but the fund is open. In deciding whether to make fair value adjustments, the fund reviews a variety of factors, including developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in U. S. markets that represent foreign securities and baskets of foreign securities. The fund uses outside pricing services to provide it with closing market prices and information used for adjusting those prices. The fund cannot predict how often it will use closing prices and how often it will adjust those prices. As a means of evaluating its fair value process, the fund routinely compares closing market prices, the next day's opening prices in the same markets, and adjusted prices. Investment Transactions Investment transactions are accounted for on the trade date. Unsettled variation margin on futures contracts is included in investments in securities. Unrealized gains or losses on forward currency exchange contracts are included in investments in securities. NOTE 2 - INVESTMENT TRANSACTIONS Consistent with its investment objective, the fund engages in the following practices to manage exposure to certain risks or 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 may invest in securities that are subject to legal or contractual restrictions on resale. Although certain of these securities may be readily sold, for example, under Rule 144A, others may be illiquid, and their sale may involve substantial delays and additional costs, and prompt sale at an acceptable price may be difficult. Forward Currency Exchange Contracts The fund may invest in forward currency exchange contracts under which it is obligated to exchange currencies at specified future dates and exchange rates. Risks arise from the possible inability of counterparties to meet the terms of their agreements and from movements in currency values. Futures Contracts The fund may invest in futures contracts, which provide for the future sale by one party and purchase by another of a specified amount of a specific financial instrument at an agreed upon price, date, time, and place. Risks arise from possible illiquidity of the futures market and from movements in security values and/or interest rates. Swap Agreements The fund may invest in interest rate swap agreements under which it is obligated to exchange cash flows based on the difference between specified interest rates applied to a notional principal amount for a specified period of time. Risks arise from the possible inability of counterparties to meet the terms of their agreements and from movements in interest rates. Securities Lending The fund lends its securities to approved brokers to earn additional income. It receives as collateral cash and U.S. government securities valued at 102% to 105% of the value of the securities on loan. Cash collateral is invested in a money market pooled trust managed by the fund's lending agent in accordance with investment guidelines approved by fund management. Collateral is maintained over the life of the loan in an amount not less than the value of loaned securities, as determined at the close of fund business each day; any additional collateral required due to changes in security values is delivered to the fund the next business day. Although risk is mitigated by the collateral, the fund could experience a delay in recovering its securities and a possible loss of income or value if the borrower fails to return the securities. At February 28, 2005, the value of loaned securities was $465,557,000; aggregate collateral consisted of $431,191,000 in the money market pooled trust and U.S. government securities valued at $50,444,000. NOTE 3 - FEDERAL INCOME TAXES At February 28, 2005, the cost of investments for federal income tax purposes was $3,577,261,000. Net unrealized gain aggregated $46,977,000 at period-end, of which $112,893,000 related to appreciated investments and $65,916,000 related to depreciated investments. 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 February 28, 2005. NOTE 4 - RELATED PARTY TRANSACTIONS The fund may invest in the T. Rowe Price Reserve Investment Fund and the T. Rowe Price Government Reserve Investment Fund (collectively, the Reserve Funds), open-end management investment companies managed by Price Associates and affiliates of the fund. The Reserve Funds are offered as cash management options to mutual funds, trusts, and other accounts managed by Price Associates and/or its affiliates, and are not available for direct purchase by members of the public. The Reserve Funds pay no investment management fees. During the nine months ended February 28, 2005, dividend income from the Reserve Funds totaled $2,698,000, and the value of shares of the Reserve Funds held at February 28, 2005 and May 31, 2004 was $318,965,000 and $406,318,000, respectively. Item 2. 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-Q 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 registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. Item 3. Exhibits. Separate certifications by the registrant's principal executive officer and principal financial officer, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(a) under the Investment Company Act of 1940, are attached. 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 New Income Fund, Inc. By /s/ James S. Riepe ----------------------------------- James S. Riepe Principal Executive Officer Date April 22, 2005 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/ James S. Riepe ----------------------------------- James S. Riepe Principal Executive Officer Date April 22, 2005 By /s/ Joseph A. Carrier ----------------------------------- Joseph A. Carrier Principal Financial Officer Date April 22, 2005 EX-99.CERT 2 cer_nif.txt 302 CERTIFICATION~NEW INCOME FUND Item 3. CERTIFICATIONS I, James S. Riepe, certify that: 1. I have reviewed this report on Form N-Q of T. Rowe Price New Income Fund, Inc.; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: April 22, 2005 /s/ James S. Riepe -------------------------------- James S. Riepe Principal Executive Officer CERTIFICATIONS I, Joseph A. Carrier, certify that: 1. I have reviewed this report on Form N-Q of T. Rowe Price New Income Fund, Inc.; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: April 22, 2005 /s/ Joseph A. Carrier -------------------------------- Joseph A. Carrier Principal Financial Officer <> -----END PRIVACY-ENHANCED MESSAGE-----