NPORT-EX 2 7003TRP083123.htm T. ROWE PRICE NEW INCOME FUND, INC.
T.
ROWE
PRICE
New
Income
Fund
August
31,
2023
(Unaudited)
1
Portfolio
of
Investments
‡
Par/Shares
$
Value
(Amounts
in
000s)
‡
ASSET-BACKED
SECURITIES
4.7%
Car
Loan
1.7%
AmeriCredit
Automobile
Receivables
Trust
Series
2021-1,
Class
C
0.89%,
10/19/26 
10,299‌
9,615‌
AmeriCredit
Automobile
Receivables
Trust
Series
2021-1,
Class
D
1.21%,
12/18/26 
10,301‌
9,416‌
AmeriCredit
Automobile
Receivables
Trust
Series
2022-1,
Class
D
3.23%,
2/18/28 
36,840‌
33,841‌
AmeriCredit
Automobile
Receivables
Trust
Series
2023-1,
Class
C
5.80%,
12/18/28 
10,995‌
10,925‌
CarMax
Auto
Owner
Trust
Series
2022-1,
Class
C
2.20%,
11/15/27 
11,750‌
10,765‌
CarMax
Auto
Owner
Trust
Series
2023-3,
Class
B
5.47%,
2/15/29 
8,750‌
8,724‌
Carvana
Auto
Receivables
Trust
Series
2022-N1,
Class
C
3.32%,
12/11/28 (1)
4,561‌
4,433‌
Carvana
Auto
Receivables
Trust
Series
2022-P1,
Class
C
3.30%,
4/10/28 
13,955‌
12,541‌
Exeter
Automobile
Receivables
Trust
Series
2021-2A,
Class
D
1.40%,
4/15/27 
8,374‌
7,764‌
Exeter
Automobile
Receivables
Trust
Series
2022-1A,
Class
D
3.02%,
6/15/28 
35,405‌
32,964‌
Exeter
Automobile
Receivables
Trust
Series
2022-2A,
Class
C
3.85%,
7/17/28 
17,900‌
17,371‌
Exeter
Automobile
Receivables
Trust
Series
2022-3A,
Class
C
5.30%,
9/15/27 
19,445‌
19,046‌
Exeter
Automobile
Receivables
Trust
Series
2023-1A,
Class
D
6.69%,
6/15/29 
3,250‌
3,251‌
Ford
Credit
Auto
Owner
Trust
Series
2023-1,
Class
A
4.85%,
8/15/35 (1)
33,720‌
33,239‌
GM
Financial
Automobile
Leasing
Trust
Series
2023-1,
Class
C
5.76%,
1/20/27 
6,550‌
6,464‌
T.
ROWE
PRICE
New
Income
Fund
2
Par/Shares
$
Value
(Amounts
in
000s)
Santander
Bank
Series
2021-1A,
Class
B
1.833%,
12/15/31 (1)
2,501‌
2,433‌
Santander
Drive
Auto
Receivables
Trust
Series
2022-2,
Class
C
3.76%,
7/16/29 
17,240‌
16,499‌
Santander
Retail
Auto
Lease
Trust
Series
2021-A,
Class
D
1.38%,
3/22/27 (1)
23,480‌
22,655‌
261,946‌
Credit
Card
0.0%
Synchrony
Card
Funding
Series
2023-A1,
Class
A
5.54%,
7/15/29 
6,345‌
6,374‌
6,374‌
Other
Asset-Backed
Securities
2.7%
522
Funding
Series
2019-5A,
Class
BR,
CLO,
FRN
3M
TSFR
+
1.85%,
7.158%,
4/15/35 (1)
16,085‌
15,723‌
AGL
Series
2022-17A,
Class
A,
CLO,
FRN
3M
TSFR
+
1.33%,
6.664%,
1/21/35 (1)
22,400‌
22,206‌
Applebee's
Funding
Series
2023-1A,
Class
A2
7.824%,
3/5/53 (1)
15,945‌
15,828‌
Carlyle
U.S.
Series
2019-4A,
Class
A11R,
CLO,
FRN
3M
TSFR
+
1.32%,
6.628%,
4/15/35 (1)
29,195‌
28,818‌
Cedar
Funding
XIV
Series
2021-14A,
Class
A,
CLO,
FRN
3M
TSFR
+
1.362%,
6.67%,
7/15/33 (1)
9,385‌
9,338‌
CIFC
Funding
Series
2021-3A,
Class
A,
CLO,
FRN
3M
TSFR
+
1.402%,
6.71%,
7/15/36 (1)
30,055‌
29,860‌
Driven
Brands
Funding
Series
2021-1A,
Class
A2
2.791%,
10/20/51 (1)
14,128‌
11,721‌
Dryden
Series
2020-86A,
Class
A1R,
CLO,
FRN
3M
TSFR
+
1.362%,
6.67%,
7/17/34 (1)
21,235‌
21,002‌
Hardee's
Funding
Series
2018-1A,
Class
A2II
4.959%,
6/20/48 (1)
27,513‌
25,878‌
Hilton
Grand
Vacations
Trust
Series
2023-1A,
Class
A
5.72%,
1/25/38 (1)
23,680‌
23,710‌
T.
ROWE
PRICE
New
Income
Fund
3
Par/Shares
$
Value
(Amounts
in
000s)
Hpefs
Equipment
Trust
Series
2022-2A,
Class
C
4.43%,
9/20/29 (1)
4,445‌
4,305‌
HPEFS
Equipment
Trust
Series
2022-1A,
Class
C
1.96%,
5/21/29 (1)
5,736‌
5,465‌
HPEFS
Equipment
Trust
Series
2022-1A,
Class
D
2.40%,
11/20/29 (1)
12,510‌
11,684‌
HPS
Loan
Management
Series
2021-16A,
Class
A1,
CLO,
FRN
3M
TSFR
+
1.402%,
6.747%,
1/23/35 (1)
11,822‌
11,674‌
Kubota
Credit
Owner
Trust
Series
2023-1A,
Class
A4
5.07%,
2/15/29 (1)
5,255‌
5,205‌
MVW
Series
2023-1A,
Class
A
4.93%,
10/20/40 (1)
27,343‌
26,728‌
Neuberger
Berman
Loan
Advisers
Series
2019-32A,
Class
AR,
CLO,
FRN
3M
TSFR
+
1.252%,
6.572%,
1/20/32 (1)
49,995‌
49,624‌
Neuberger
Berman
Loan
Advisers
Series
2021-43A,
Class
A,
CLO,
FRN
3M
TSFR
+
1.392%,
6.70%,
7/17/35 (1)
15,105‌
14,974‌
Octane
Receivables
Trust
Series
2023-1A,
Class
A
5.87%,
5/21/29 (1)
4,866‌
4,848‌
OZLM
VII
Series
2014-7RA,
Class
A1R,
CLO,
FRN
3M
TSFR
+
1.272%,
6.58%,
7/17/29 (1)
14,695‌
14,672‌
Palmer
Square
Series
2022-1A,
Class
A,
CLO,
FRN
3M
TSFR
+
1.32%,
6.646%,
4/20/35 (1)
40,630‌
40,220‌
Sierra
Timeshare
Receivables
Funding
Series
2022-3A,
Class
B
6.32%,
7/20/39 (1)
2,227‌
2,208‌
Symphony
XXXI
Series
2022-31A,
Class
B,
CLO,
FRN
3M
TSFR
+
1.85%,
7.196%,
4/22/35 (1)
14,150‌
13,884‌
Verizon
Master
Trust
Series
2023-1,
Class
C
4.98%,
1/22/29 
9,270‌
9,049‌
418,624‌
Student
Loan
0.3%
Navient
Private
Education
Loan
Trust
Series
2017-A,
Class
B
3.91%,
12/16/58 (1)
8,525‌
8,153‌
T.
ROWE
PRICE
New
Income
Fund
4
Par/Shares
$
Value
(Amounts
in
000s)
Navient
Private
Education
Refi
Loan
Trust
Series
2020-CA,
Class
B
2.83%,
11/15/68 (1)
20,755‌
17,008‌
SMB
Private
Education
Loan
Trust
Series
2018-C,
Class
A2A
3.63%,
11/15/35 (1)
6,181‌
5,910‌
SMB
Private
Education
Loan
Trust
Series
2021-A,
Class
APT1
1.07%,
1/15/53 (1)
15,224‌
13,119‌
44,190‌
Total
Asset-Backed
Securities
(Cost
$758,867)
731,134‌
BANK
LOANS
1.2%
(2)
FINANCIAL
INSTITUTIONS
0.5%
Brokerage
Asset
Managers
Exchanges
0.3%
Citadel
Securities,
FRN
1M
TSFR
+
2.50%,
7.946%,
7/29/30 
45,775‌
45,546‌
45,546‌
Insurance
0.2%
Asurion,
FRN
1M
TSFR
+
3.25%,
8.788%,
12/23/26 
3,492‌
3,392‌
Asurion,
FRN
1M
TSFR
+
4.25%,
9.681%,
8/19/28 
8,501‌
8,199‌
Asurion,
FRN
1M
TSFR
+
5.25%,
10.696%,
1/31/28 
7,435‌
6,638‌
Asurion,
FRN
1M
TSFR
+
5.25%,
10.696%,
1/20/29 
3,580‌
3,130‌
HUB
International,
FRN
1M
TSFR
+
4.25%,
9.584%,
6/20/30 
14,930‌
14,971‌
HUB
International,
FRN
3M
TSFR
+
4.00%,
9.365%,
11/10/29 
701‌
702‌
37,032‌
Total
Financial
Institutions
82,578‌
INDUSTRIAL
0.7%
Aerospace/Defense
0.0%
TransDigm,
FRN
1M
TSFR
+
3.25%,
8.492%,
2/22/27 
90‌
90‌
90‌
Airlines
0.0%
Mileage
Plus
Holdings,
FRN
3M
TSFR
+
5.25%,
10.764%,
6/21/27 
2,251‌
2,345‌
2,345‌
T.
ROWE
PRICE
New
Income
Fund
5
Par/Shares
$
Value
(Amounts
in
000s)
Capital
Goods
0.1%
Charter
Next
Generation,
FRN
1M
TSFR
+
3.75%,
9.196%,
12/1/27 
8,565‌
8,499‌
8,499‌
Communications
0.1%
Lamar
Media,
FRN
1M
TSFR
+
1.50%,
6.92%,
2/5/27 
14,435‌
14,204‌
14,204‌
Consumer
Cyclical
0.1%
Delta
2,
FRN
1M
TSFR
+
3.00%,
8.331%,
1/15/30 
8,755‌
8,777‌
UFC
Holdings,
FRN
1M
TSFR
+
2.75%,
8.369%,
4/29/26 
11,179‌
11,176‌
19,953‌
Health
Care
0.0%
Medline
Borrower,
FRN
1M
TSFR
+
3.25%,
10/23/28 (3)
3,071‌
3,068‌
PetVet
Care
Centers,
FRN
1M
TSFR
+
5.00%,
10.431%,
2/14/25 
4,096‌
4,084‌
7,152‌
Technology
0.4%
Applied
Systems,
FRN
3M
TSFR
+
4.50%,
9.742%,
9/18/26 
21,840‌
21,912‌
Ascend
Learning,
FRN
1M
TSFR
+
3.50%,
8.931%,
12/11/28 
6,070‌
5,829‌
AthenaHealth
Group,
FRN
1M
TSFR
+
3.50%,
8.82%,
2/15/29 
5,029‌
4,964‌
Epicor
Software,
FRN
1M
TSFR
+
3.75%,
7/31/27 (3)
530‌
530‌
Gen
Digital,
FRN
1M
TSFR
+
1.50%,
6.931%,
9/10/27 
4,661‌
4,599‌
UKG,
FRN
3M
TSFR
+
3.25%,
8.618%,
5/4/26 
15,866‌
15,848‌
UKG,
FRN
3M
TSFR
+
5.25%,
10.618%,
5/3/27 
5,525‌
5,487‌
59,169‌
Total
Industrial
111,412‌
Total
Bank
Loans
(Cost
$193,856)
193,990‌
T.
ROWE
PRICE
New
Income
Fund
6
Par/Shares
$
Value
(Amounts
in
000s)
BOND
MUTUAL
FUNDS
0.0%
Trusts
&
Mutual
Funds
0.0%
T.
Rowe
Price
Institutional
Floating
Rate
Fund
-
Z
Class,
9.53% (4)(5)
32‌
298‌
Total
Bond
Mutual
Funds
(Cost
$278)
298‌
CORPORATE
BONDS
22.8%
FINANCIAL
INSTITUTIONS
12.2%
Banking
8.3%
Ally
Financial,
4.75%,
6/9/27 (6)
23,765‌
22,206‌
Banca
Transilvania,
VR,
8.875%,
4/27/27
(EUR) (7)
12,795‌
14,443‌
Banco
Bilbao
Vizcaya
Argentaria,
VR,
5.862%,
9/14/26 (7)
16,200‌
16,071‌
Banco
Santander,
6.921%,
8/8/33 (6)
8,200‌
8,201‌
Bank
Leumi
Le-Israel,
VR,
3.275%,
1/29/31 (1)(7)
23,000‌
20,621‌
Bank
of
America,
4.45%,
3/3/26 
11,908‌
11,553‌
Bank
of
America,
VR,
1.734%,
7/22/27 (7)
20,116‌
17,910‌
Bank
of
America,
VR,
1.898%,
7/23/31 (7)
70,021‌
55,137‌
Bank
of
America,
VR,
2.299%,
7/21/32 (7)
12,708‌
10,020‌
Bank
of
America,
VR,
2.496%,
2/13/31 (7)
22,900‌
19,051‌
Bank
of
America,
VR,
2.592%,
4/29/31 (7)
38,880‌
32,174‌
Bank
of
America,
VR,
3.419%,
12/20/28 (7)
22,458‌
20,576‌
Bank
of
America,
VR,
3.559%,
4/23/27 (7)
10,705‌
10,141‌
Bank
of
America,
VR,
4.271%,
7/23/29 (7)
37,939‌
35,672‌
Bank
of
Ireland
Group,
VR,
6.253%,
9/16/26 (1)(7)
4,030‌
4,023‌
Barclays,
VR,
6.224%,
5/9/34 (7)
11,650‌
11,471‌
CaixaBank,
VR,
6.208%,
1/18/29 (1)(7)
18,645‌
18,524‌
Capital
One
Financial,
3.65%,
5/11/27 
11,559‌
10,747‌
Capital
One
Financial,
3.75%,
3/9/27 
19,858‌
18,466‌
Capital
One
Financial,
VR,
3.273%,
3/1/30 (7)
9,245‌
7,900‌
Capital
One
Financial,
VR,
5.247%,
7/26/30 (7)
3,235‌
3,065‌
Capital
One
Financial,
VR,
5.817%,
2/1/34 (6)(7)
16,350‌
15,448‌
Citigroup,
VR,
2.561%,
5/1/32 (7)
10,298‌
8,289‌
Citigroup,
VR,
3.106%,
4/8/26 (7)
11,910‌
11,406‌
Citigroup,
VR,
5.61%,
9/29/26 (7)
21,672‌
21,570‌
Citigroup,
VR,
6.174%,
5/25/34 (7)
13,325‌
13,313‌
Citigroup,
Series
VAR,
VR,
3.07%,
2/24/28 (6)(7)
20,140‌
18,402‌
Credit
Suisse,
1.25%,
8/7/26 
9,630‌
8,439‌
Danske
Bank,
VR,
3.244%,
12/20/25 (1)(7)
21,957‌
21,030‌
Danske
Bank,
VR,
3.773%,
3/28/25 (1)(7)
12,760‌
12,515‌
Fifth
Third
Bancorp,
2.375%,
1/28/25 
3,260‌
3,102‌
Fifth
Third
Bancorp,
2.55%,
5/5/27 
1,950‌
1,752‌
Fifth
Third
Bancorp,
VR,
4.772%,
7/28/30 (6)(7)
3,235‌
3,027‌
Fifth
Third
Bancorp,
VR,
6.339%,
7/27/29 (7)
8,785‌
8,853‌
T.
ROWE
PRICE
New
Income
Fund
7
Par/Shares
$
Value
(Amounts
in
000s)
Fifth
Third
Bancorp,
VR,
6.361%,
10/27/28 (7)
2,780‌
2,803‌
Fifth
Third
Bank,
2.25%,
2/1/27 (6)
830‌
733‌
Fifth
Third
Bank,
3.85%,
3/15/26 
2,345‌
2,184‌
Fifth
Third
Bank,
3.95%,
7/28/25 
1,630‌
1,576‌
Fifth
Third
Bank,
VR,
5.852%,
10/27/25 (7)
5,950‌
5,863‌
Goldman
Sachs
Group,
3.50%,
11/16/26 
6,050‌
5,680‌
Goldman
Sachs
Group,
VR,
1.542%,
9/10/27 (7)
31,264‌
27,614‌
Goldman
Sachs
Group,
VR,
2.383%,
7/21/32 (7)
17,287‌
13,663‌
Goldman
Sachs
Group,
VR,
3.615%,
3/15/28 (6)(7)
19,610‌
18,334‌
Goldman
Sachs
Group,
VR,
4.482%,
8/23/28 (7)
22,105‌
21,178‌
HSBC
Holdings,
VR,
4.755%,
6/9/28 (7)
31,555‌
30,252‌
HSBC
Holdings,
VR,
5.21%,
8/11/28 (7)
16,945‌
16,530‌
HSBC
Holdings,
VR,
6.254%,
3/9/34 (7)
26,500‌
26,815‌
Huntington
National
Bank,
VR,
5.699%,
11/18/25 (7)
3,130‌
3,074‌
Intesa
Sanpaolo,
6.625%,
6/20/33 (1)
15,475‌
15,301‌
JPMorgan
Chase,
VR,
1.578%,
4/22/27 (7)
26,203‌
23,524‌
JPMorgan
Chase,
VR,
1.764%,
11/19/31 (7)
41,300‌
32,234‌
JPMorgan
Chase,
VR,
2.182%,
6/1/28 (6)(7)
32,197‌
28,594‌
JPMorgan
Chase,
VR,
2.522%,
4/22/31 (7)
4,275‌
3,582‌
JPMorgan
Chase,
VR,
2.739%,
10/15/30 (7)
11,998‌
10,280‌
JPMorgan
Chase,
VR,
2.956%,
5/13/31 (7)
33,858‌
28,822‌
KBC
Group,
VR,
5.796%,
1/19/29 (1)(7)
23,420‌
23,115‌
Morgan
Stanley,
VR,
1.512%,
7/20/27 (7)
21,500‌
19,012‌
Morgan
Stanley,
VR,
1.593%,
5/4/27 (7)
13,695‌
12,294‌
Morgan
Stanley,
VR,
5.123%,
2/1/29 (7)
24,810‌
24,319‌
Nationwide
Building
Society,
VR,
2.972%,
2/16/28 (1)(7)
8,705‌
7,837‌
Nordea
Bank,
5.375%,
9/22/27 (1)(6)
12,665‌
12,537‌
PNC
Financial
Services
Group,
2.55%,
1/22/30 
3,650‌
3,057‌
PNC
Financial
Services
Group,
VR,
6.037%,
10/28/33 (7)
17,380‌
17,582‌
Santander
Holdings
USA,
VR,
2.49%,
1/6/28 (7)
5,895‌
5,176‌
Santander
Holdings
USA,
VR,
6.499%,
3/9/29 (7)
3,735‌
3,708‌
Santander
UK
Group
Holdings,
VR,
1.532%,
8/21/26 (7)
48,133‌
43,688‌
Standard
Chartered,
VR,
1.456%,
1/14/27 (1)(7)
10,354‌
9,275‌
Standard
Chartered,
VR,
2.608%,
1/12/28 (1)(7)
17,245‌
15,380‌
Standard
Chartered,
VR,
2.819%,
1/30/26 (1)(7)
16,707‌
15,894‌
Standard
Chartered,
VR,
3.971%,
3/30/26 (1)(7)
10,485‌
10,138‌
Standard
Chartered,
VR,
4.644%,
4/1/31 (1)(6)(7)
10,801‌
9,954‌
Truist
Financial,
VR,
4.123%,
6/6/28 (6)(7)
19,620‌
18,539‌
UBS
Group,
3.75%,
3/26/25 
1,285‌
1,240‌
UBS
Group,
4.55%,
4/17/26 
3,670‌
3,553‌
UBS
Group,
VR,
1.305%,
2/2/27 (1)(7)
15,710‌
13,930‌
UBS
Group,
VR,
1.364%,
1/30/27 (1)(7)
14,633‌
13,081‌
UBS
Group,
VR,
2.193%,
6/5/26 (1)(7)
14,635‌
13,601‌
UBS
Group,
VR,
2.746%,
2/11/33 (1)(7)
7,079‌
5,548‌
UBS
Group,
VR,
4.751%,
5/12/28 (1)(7)
4,085‌
3,908‌
UBS
Group,
VR,
5.711%,
1/12/27 (1)(6)(7)
4,035‌
4,020‌
T.
ROWE
PRICE
New
Income
Fund
8
Par/Shares
$
Value
(Amounts
in
000s)
UBS
Group,
VR,
5.959%,
1/12/34 (1)(7)
12,525‌
12,579‌
Wells
Fargo,
4.30%,
7/22/27 
11,645‌
11,153‌
Wells
Fargo,
VR,
2.393%,
6/2/28 (7)
31,245‌
27,802‌
Wells
Fargo,
VR,
2.572%,
2/11/31 (7)
52,585‌
43,886‌
Wells
Fargo,
VR,
2.879%,
10/30/30 (6)(7)
53,562‌
45,884‌
Wells
Fargo,
VR,
4.478%,
4/4/31 (7)
15,936‌
14,917‌
1,300,361‌
Brokerage
Asset
Managers
Exchanges
0.5%
Intercontinental
Exchange,
4.35%,
6/15/29 
17,650‌
16,915‌
LSEGA
Financing,
2.00%,
4/6/28 (1)
41,724‌
35,921‌
LSEGA
Financing,
2.50%,
4/6/31 (1)
14,998‌
12,396‌
LSEGA
Financing,
3.20%,
4/6/41 (1)
6,705‌
4,923‌
Nasdaq,
6.10%,
6/28/63 
4,575‌
4,524‌
74,679‌
Finance
Companies
0.4%
AerCap
Ireland
Capital,
2.45%,
10/29/26 (6)
18,080‌
16,266‌
AerCap
Ireland
Capital,
4.875%,
1/16/24 
29,186‌
29,041‌
Navient,
9.375%,
7/25/30 
4,375‌
4,386‌
OneMain
Finance,
7.125%,
3/15/26 
3,450‌
3,390‌
OneMain
Finance,
9.00%,
1/15/29 (6)
4,720‌
4,785‌
57,868‌
Financial
Other
0.0%
Howard
Hughes,
5.375%,
8/1/28 (1)
4,795‌
4,339‌
4,339‌
Insurance
2.1%
Alliant
Holdings
Intermediate,
6.75%,
4/15/28 (1)
11,570‌
11,368‌
AmWINS
Group,
4.875%,
6/30/29 (1)
5,245‌
4,701‌
Aon,
2.80%,
5/15/30 (6)
3,635‌
3,125‌
Berkshire
Hathaway
Finance,
2.50%,
1/15/51 
21,995‌
13,646‌
Berkshire
Hathaway
Finance,
2.85%,
10/15/50 
7,005‌
4,674‌
Berkshire
Hathaway
Finance,
3.85%,
3/15/52 
6,960‌
5,535‌
Centene,
2.50%,
3/1/31 
22,480‌
17,929‌
Centene,
3.00%,
10/15/30 
8,035‌
6,719‌
Centene,
3.375%,
2/15/30 
9,155‌
7,828‌
Centene,
4.625%,
12/15/29 
24,625‌
22,624‌
CNO
Financial
Group,
5.25%,
5/30/25 
9,438‌
9,214‌
Corebridge
Financial,
3.90%,
4/5/32 
3,540‌
3,082‌
Elevance
Health,
5.125%,
2/15/53 
8,085‌
7,588‌
Equitable
Holdings,
4.35%,
4/20/28 (6)
36,732‌
34,734‌
HUB
International,
7.25%,
6/15/30 (1)(6)
10,810‌
10,999‌
Humana,
3.95%,
3/15/27 
6,075‌
5,834‌
Humana,
4.875%,
4/1/30 
15,220‌
14,762‌
Humana,
5.50%,
3/15/53 
26,830‌
25,947‌
Jones
Deslauriers
Insurance
Management,
8.50%,
3/15/30 (1)
5,350‌
5,457‌
Marsh
&
McLennan,
2.25%,
11/15/30 
8,918‌
7,360‌
T.
ROWE
PRICE
New
Income
Fund
9
Par/Shares
$
Value
(Amounts
in
000s)
Metropolitan
Life
Global
Funding
I,
5.15%,
3/28/33 (1)
9,035‌
8,789‌
Molina
Healthcare,
4.375%,
6/15/28 (1)(6)
2,820‌
2,584‌
UnitedHealth
Group,
4.50%,
4/15/33 
15,605‌
15,028‌
UnitedHealth
Group,
5.05%,
4/15/53 (6)
46,920‌
44,631‌
UnitedHealth
Group,
5.875%,
2/15/53 
27,690‌
29,644‌
323,802‌
Real
Estate
Investment
Trusts
0.9%
Alexandria
Real
Estate
Equities,
3.95%,
1/15/27 
25,607‌
24,200‌
Brixmor
Operating
Partnership,
3.90%,
3/15/27 
30,217‌
27,992‌
Brixmor
Operating
Partnership,
4.05%,
7/1/30 
3,745‌
3,383‌
Brixmor
Operating
Partnership,
4.125%,
6/15/26 
55,609‌
52,635‌
Essex
Portfolio,
1.65%,
1/15/31 
10,099‌
7,634‌
Essex
Portfolio,
3.625%,
5/1/27 (6)
5,006‌
4,663‌
Public
Storage
Operating,
5.35%,
8/1/53 (6)
3,690‌
3,593‌
Realty
Income,
3.95%,
8/15/27 
10,020‌
9,520‌
Regency
Centers,
4.125%,
3/15/28 
9,817‌
9,178‌
142,798‌
Total
Financial
Institutions
1,903,847‌
INDUSTRIAL
8.8%
Basic
Industry
0.2%
Celanese
U.S.
Holdings,
6.05%,
3/15/25 
2,408‌
2,410‌
Celanese
U.S.
Holdings,
6.35%,
11/15/28 
6,940‌
6,961‌
Celulosa
Arauco
y
Constitucion,
3.875%,
11/2/27 
13,972‌
12,828‌
Methanex,
5.125%,
10/15/27 
4,980‌
4,669‌
Westlake,
1.625%,
7/17/29
(EUR) 
11,421‌
10,457‌
37,325‌
Capital
Goods
0.2%
Ardagh
Metal
Packaging
Finance
USA,
6.00%,
6/15/27 (1)
3,875‌
3,768‌
Ball,
6.875%,
3/15/28 (6)
3,015‌
3,060‌
Boeing,
5.805%,
5/1/50 
2,195‌
2,139‌
Emerald
Debt
Merger
Sub,
6.625%,
12/15/30 (1)
4,775‌
4,691‌
Ritchie
Bros
Holdings,
6.75%,
3/15/28 (1)
755‌
762‌
Ritchie
Bros
Holdings,
7.75%,
3/15/31 (1)
510‌
526‌
Sealed
Air,
5.00%,
4/15/29 (1)(6)
3,050‌
2,825‌
Sealed
Air,
6.125%,
2/1/28 (1)
745‌
729‌
TransDigm,
6.75%,
8/15/28 (1)
3,100‌
3,112‌
TransDigm,
6.875%,
12/15/30 (1)
1,960‌
1,975‌
23,587‌
Communications
2.2%
Altice
France,
5.50%,
1/15/28 (1)
6,485‌
4,815‌
AT&T,
3.50%,
9/15/53 
42,025‌
27,549‌
CCO
Holdings,
6.375%,
9/1/29 (1)(6)
8,250‌
7,817‌
CCO
Holdings,
7.375%,
3/1/31 (1)
940‌
933‌
Charter
Communications
Operating,
5.125%,
7/1/49 
7,698‌
5,903‌
Charter
Communications
Operating,
6.484%,
10/23/45 
5,555‌
5,093‌
T.
ROWE
PRICE
New
Income
Fund
10
Par/Shares
$
Value
(Amounts
in
000s)
Comcast,
3.25%,
11/1/39 
22,623‌
17,414‌
Crown
Castle
Towers,
3.663%,
5/15/25 (1)
50,986‌
48,447‌
DISH
Network,
11.75%,
11/15/27 (1)
3,210‌
3,258‌
Lamar
Media,
4.875%,
1/15/29 
3,080‌
2,872‌
Meta
Platforms,
5.60%,
5/15/53 (6)
25,215‌
25,325‌
Netflix,
4.625%,
5/15/29
(EUR) 
7,605‌
8,407‌
Rogers
Communications,
3.20%,
3/15/27 
6,654‌
6,159‌
Rogers
Communications,
3.80%,
3/15/32 
10,375‌
8,878‌
Rogers
Communications,
4.35%,
5/1/49 
1,365‌
1,030‌
Rogers
Communications,
4.55%,
3/15/52 
46,513‌
35,924‌
SBA
Tower
Trust,
1.84%,
4/15/27 (1)
21,685‌
18,663‌
SBA
Tower
Trust,
2.593%,
10/15/31 (1)
17,515‌
13,676‌
Sirius
XM
Radio,
4.00%,
7/15/28 (1)
4,295‌
3,704‌
Sprint
Capital,
6.875%,
11/15/28 
2,675‌
2,822‌
Sprint
Capital,
8.75%,
3/15/32 
12,865‌
15,325‌
T-Mobile
USA,
5.75%,
1/15/54 
33,110‌
32,667‌
Verizon
Communications,
2.55%,
3/21/31 
7,343‌
6,044‌
Verizon
Communications,
2.65%,
11/20/40 
37,223‌
24,854‌
Warnermedia
Holdings,
3.755%,
3/15/27 
20,840‌
19,532‌
347,111‌
Consumer
Cyclical
1.3%
Bath
&
Body
Works,
6.625%,
10/1/30 (1)
10,110‌
9,832‌
Caesars
Entertainment,
7.00%,
2/15/30 (1)
4,045‌
4,055‌
Carnival,
7.00%,
8/15/29 (1)
3,510‌
3,558‌
Carnival,
10.50%,
6/1/30 (1)(6)
9,445‌
10,047‌
CBRE
Services,
5.95%,
8/15/34 
15,760‌
15,573‌
Churchill
Downs,
6.75%,
5/1/31 (1)
1,410‌
1,378‌
Clarios
Global,
6.75%,
5/15/28 (1)
5,298‌
5,285‌
Daimler
Truck
Finance
North
America,
5.125%,
1/19/28 (1)(6)
3,425‌
3,382‌
Ford
Motor,
6.10%,
8/19/32 (6)
4,255‌
4,027‌
Ford
Motor,
9.625%,
4/22/30 
5,500‌
6,338‌
Ford
Motor
Credit,
4.95%,
5/28/27 
3,520‌
3,301‌
Ford
Motor
Credit,
7.35%,
11/4/27 
1,255‌
1,274‌
Ford
Motor
Credit,
7.35%,
3/6/30 
2,780‌
2,822‌
GLP
Capital,
3.35%,
9/1/24 
6,162‌
5,978‌
Goodyear
Tire
&
Rubber,
5.00%,
7/15/29 (6)
4,220‌
3,745‌
Hyundai
Capital
America,
5.50%,
3/30/26 (1)
5,220‌
5,187‌
Las
Vegas
Sands,
3.50%,
8/18/26 
10,677‌
9,900‌
Life
Time,
5.75%,
1/15/26 (1)
4,810‌
4,678‌
Lowe's,
4.25%,
4/1/52 
10,088‌
7,950‌
Lowe's,
5.625%,
4/15/53 
5,880‌
5,707‌
Lowe's,
5.75%,
7/1/53 
5,750‌
5,687‌
Marriott
International,
4.90%,
4/15/29 (6)
3,800‌
3,701‌
Marriott
International,
5.00%,
10/15/27 
12,905‌
12,784‌
Match
Group
Holdings
II,
5.00%,
12/15/27 (1)
4,992‌
4,680‌
Nissan
Motor
Acceptance,
1.85%,
9/16/26 (1)
5,960‌
5,165‌
T.
ROWE
PRICE
New
Income
Fund
11
Par/Shares
$
Value
(Amounts
in
000s)
Rivian
Holdings,
FRN,
6M
USD
LIBOR
+
5.625%,
10.931%,
10/15/26 (1)
375‌
375‌
Ross
Stores,
1.875%,
4/15/31 
20,720‌
16,240‌
Royal
Caribbean
Cruises,
8.25%,
1/15/29 (1)
7,470‌
7,788‌
Royal
Caribbean
Cruises,
11.625%,
8/15/27 (1)
1,490‌
1,620‌
Volkswagen
Group
of
America
Finance,
3.20%,
9/26/26 (1)
15,868‌
14,843‌
Volkswagen
Group
of
America
Finance,
4.75%,
11/13/28 (1)(6)
13,210‌
12,769‌
Yum!
Brands,
5.375%,
4/1/32 
4,970‌
4,653‌
ZF
North
America
Capital,
6.875%,
4/14/28 (1)
505‌
503‌
ZF
North
America
Capital,
7.125%,
4/14/30 (1)
1,105‌
1,111‌
205,936‌
Consumer
Non-Cyclical
3.3%
AbbVie,
3.20%,
11/21/29 
18,145‌
16,352‌
AbbVie,
4.05%,
11/21/39 
12,709‌
10,916‌
AbbVie,
4.25%,
11/21/49 
13,924‌
11,751‌
AbbVie,
4.70%,
5/14/45 
27,592‌
24,701‌
AbbVie,
4.875%,
11/14/48 
27,641‌
25,450‌
Anheuser-Busch
InBev
Worldwide,
4.50%,
6/1/50 
18,140‌
16,128‌
Anheuser-Busch
InBev
Worldwide,
5.55%,
1/23/49 
21,865‌
22,322‌
Avantor
Funding,
4.625%,
7/15/28 (1)
3,120‌
2,890‌
BAT
Capital,
7.079%,
8/2/43 
7,980‌
7,900‌
BAT
Capital,
7.081%,
8/2/53 
12,380‌
12,147‌
BAT
International
Finance,
1.668%,
3/25/26 
9,605‌
8,695‌
Becton
Dickinson
&
Company,
2.823%,
5/20/30 
10,263‌
8,871‌
Becton
Dickinson
&
Company,
3.70%,
6/6/27 
16,274‌
15,412‌
Becton
Dickinson
&
Company,
4.669%,
6/6/47 
20,995‌
18,547‌
Charles
River
Laboratories
International,
4.25%,
5/1/28 (1)
3,465‌
3,175‌
CSL
Finance,
4.05%,
4/27/29 (1)(6)
9,480‌
8,966‌
CVS
Health,
3.25%,
8/15/29 
3,360‌
3,001‌
CVS
Health,
5.05%,
3/25/48 (6)
36,669‌
32,233‌
CVS
Health,
5.625%,
2/21/53 
16,020‌
15,144‌
CVS
Health,
5.875%,
6/1/53 
8,560‌
8,361‌
Darling
Ingredients,
6.00%,
6/15/30 (1)(6)
5,145‌
5,004‌
Hasbro,
3.55%,
11/19/26 
5,680‌
5,335‌
HCA,
3.125%,
3/15/27 
8,360‌
7,674‌
HCA,
3.375%,
3/15/29 
9,695‌
8,610‌
HCA,
3.50%,
9/1/30 
13,940‌
12,145‌
HCA,
5.375%,
9/1/26 
6,529‌
6,480‌
HCA,
5.875%,
2/15/26 (6)
6,375‌
6,383‌
IQVIA,
6.50%,
5/15/30 (1)
435‌
438‌
Mars,
4.75%,
4/20/33 (1)
16,110‌
15,828‌
Mattel,
5.875%,
12/15/27 (1)
11,909‌
11,641‌
Merck,
5.00%,
5/17/53 (6)
10,660‌
10,403‌
Mondelez
International,
2.75%,
4/13/30 
4,464‌
3,867‌
Pfizer
Investment
Enterprises,
4.75%,
5/19/33 
10,395‌
10,231‌
Pfizer
Investment
Enterprises,
5.30%,
5/19/53 
10,120‌
10,083‌
Pfizer
Investment
Enterprises,
5.34%,
5/19/63 (6)
16,125‌
15,877‌
T.
ROWE
PRICE
New
Income
Fund
12
Par/Shares
$
Value
(Amounts
in
000s)
Philip
Morris
International,
5.125%,
2/15/30 (6)
10,390‌
10,269‌
Revvity,
1.90%,
9/15/28 
13,950‌
11,843‌
Revvity,
2.25%,
9/15/31 
7,580‌
5,985‌
Revvity,
3.30%,
9/15/29 
6,315‌
5,599‌
Reynolds
American,
4.45%,
6/12/25 
4,944‌
4,839‌
Sutter
Health,
5.164%,
8/15/33 
5,265‌
5,184‌
Sutter
Health,
5.547%,
8/15/53 
4,675‌
4,739‌
Teva
Pharmaceutical
Finance
Netherlands
III,
7.875%,
9/15/29 
460‌
478‌
Teva
Pharmaceutical
Finance
Netherlands
III,
8.125%,
9/15/31 (6)
3,100‌
3,286‌
Utah
Acquisition
Sub,
3.95%,
6/15/26 
39,035‌
36,909‌
Utah
Acquisition
Sub,
5.25%,
6/15/46 (6)
1,628‌
1,288‌
Viatris,
3.85%,
6/22/40 
12,713‌
8,871‌
Viatris,
4.00%,
6/22/50 
8,020‌
5,277‌
507,528‌
Energy
1.3%
Boardwalk
Pipelines,
3.40%,
2/15/31 
15,531‌
13,196‌
Boardwalk
Pipelines,
4.45%,
7/15/27 
16,799‌
15,919‌
Boardwalk
Pipelines,
5.95%,
6/1/26 
11,000‌
10,990‌
Cheniere
Corpus
Christi
Holdings,
5.125%,
6/30/27 
6,741‌
6,657‌
Chesapeake
Energy,
6.75%,
4/15/29 (1)
3,660‌
3,623‌
Columbia
Pipelines
Holding,
6.042%,
8/15/28 (1)
10,855‌
10,944‌
Energy
Transfer,
2.90%,
5/15/25 
8,447‌
8,030‌
Enterprise
Products
Operating,
3.20%,
2/15/52 
10,729‌
7,202‌
Kinetik
Holdings,
5.875%,
6/15/30 (1)
2,861‌
2,757‌
NuStar
Logistics,
6.00%,
6/1/26 
3,044‌
2,991‌
Occidental
Petroleum,
6.20%,
3/15/40 
3,595‌
3,550‌
Occidental
Petroleum,
6.45%,
9/15/36 
3,005‌
3,069‌
Occidental
Petroleum,
8.50%,
7/15/27 (6)
5,135‌
5,526‌
Occidental
Petroleum,
8.875%,
7/15/30 
12,920‌
14,810‌
ONEOK,
5.80%,
11/1/30 
6,105‌
6,099‌
ONEOK,
6.05%,
9/1/33 
9,015‌
9,056‌
Pioneer
Natural
Resources,
5.10%,
3/29/26 
5,715‌
5,671‌
Tallgrass
Energy
Partners,
7.50%,
10/1/25 (1)
1,290‌
1,290‌
Targa
Resources
Partners,
5.50%,
3/1/30 
5,557‌
5,328‌
Targa
Resources
Partners,
6.875%,
1/15/29 
3,817‌
3,860‌
Transcontinental
Gas
Pipe
Line,
4.60%,
3/15/48 
2,806‌
2,321‌
Venture
Global
Calcasieu
Pass,
3.875%,
11/1/33 (1)
2,855‌
2,313‌
Venture
Global
Calcasieu
Pass,
6.25%,
1/15/30 (1)
4,440‌
4,312‌
Venture
Global
LNG,
8.125%,
6/1/28 (1)
7,730‌
7,788‌
Venture
Global
LNG,
8.375%,
6/1/31 (1)
20,960‌
21,091‌
Williams,
2.60%,
3/15/31 
29,160‌
23,910‌
Williams,
3.75%,
6/15/27 
7,096‌
6,670‌
208,973‌
Industrial
Other
0.0%
Booz
Allen
Hamilton,
5.95%,
8/4/33 (6)
7,040‌
7,093‌
7,093‌
T.
ROWE
PRICE
New
Income
Fund
13
Par/Shares
$
Value
(Amounts
in
000s)
Technology
0.2%
Central
Parent,
7.25%,
6/15/29 (1)
2,855‌
2,809‌
Central
Parent,
8.00%,
6/15/29 (1)
4,350‌
4,388‌
Equifax,
5.10%,
12/15/27 
11,795‌
11,635‌
Gen
Digital,
7.125%,
9/30/30 (1)(6)
1,130‌
1,134‌
Micron
Technology,
6.75%,
11/1/29 
7,780‌
8,081‌
Sensata
Technologies,
5.875%,
9/1/30 (1)
2,820‌
2,665‌
30,712‌
Transportation
0.1%
American
Airlines,
5.50%,
4/20/26 (1)
3,240‌
3,180‌
American
Airlines,
5.75%,
4/20/29 (1)
3,535‌
3,372‌
American
Airlines,
11.75%,
7/15/25 (1)
2,980‌
3,259‌
9,811‌
Total
Industrial
1,378,076‌
UTILITY
1.8%
Electric
1.7%
Baltimore
Gas
&
Electric,
5.40%,
6/1/53 (6)
7,660‌
7,560‌
Duke
Energy,
5.00%,
8/15/52 
40,545‌
35,490‌
Duke
Energy
Indiana,
5.40%,
4/1/53 
6,330‌
6,146‌
Edison
International,
4.95%,
4/15/25 
1,306‌
1,285‌
EDP
Finance,
6.30%,
10/11/27 (1)
5,865‌
6,001‌
Enel
Finance
International,
1.875%,
7/12/28 (1)
18,162‌
15,336‌
Exelon,
5.60%,
3/15/53 
12,290‌
11,790‌
Georgia
Power,
4.95%,
5/17/33 
16,755‌
16,171‌
Indiana
Michigan
Power,
5.625%,
4/1/53 
1,405‌
1,404‌
NextEra
Energy
Capital
Holdings,
2.44%,
1/15/32 (6)
15,015‌
11,993‌
NextEra
Energy
Capital
Holdings,
3.00%,
1/15/52 (6)
14,640‌
9,258‌
NextEra
Energy
Capital
Holdings,
5.00%,
7/15/32 (6)
3,010‌
2,896‌
NextEra
Energy
Capital
Holdings,
5.25%,
2/28/53 
6,560‌
6,068‌
NextEra
Energy
Capital
Holdings,
5.749%,
9/1/25 
10,875‌
10,894‌
NRG
Energy,
4.45%,
6/15/29 (1)(6)
9,592‌
8,513‌
Pacific
Gas
&
Electric,
2.10%,
8/1/27 (6)
10,318‌
8,919‌
Pacific
Gas
&
Electric,
2.50%,
2/1/31 
20,828‌
16,207‌
Pacific
Gas
&
Electric,
3.95%,
12/1/47 
10,551‌
6,981‌
Pacific
Gas
&
Electric,
4.55%,
7/1/30 
13,652‌
12,250‌
Pacific
Gas
&
Electric,
6.70%,
4/1/53 
5,525‌
5,345‌
Palomino
Funding
Trust
I,
7.233%,
5/17/28 (1)
14,825‌
14,965‌
Southern
California
Edison,
5.70%,
3/1/53 
8,250‌
7,973‌
Southern
California
Edison,
Series
D,
4.70%,
6/1/27 
12,650‌
12,416‌
Talen
Energy
Supply,
8.625%,
6/1/30 (1)
1,565‌
1,630‌
Vistra,
VR,
8.00% (1)(7)(8)
11,320‌
10,828‌
Vistra
Operations,
5.125%,
5/13/25 (1)
17,905‌
17,415‌
265,734‌
Natural
Gas
0.1%
Boston
Gas,
6.119%,
7/20/53 (1)
5,665‌
5,609‌
T.
ROWE
PRICE
New
Income
Fund
14
Par/Shares
$
Value
(Amounts
in
000s)
NiSource,
5.25%,
3/30/28 
3,295‌
3,279‌
Sempra,
3.70%,
4/1/29 
5,155‌
4,704‌
13,592‌
Total
Utility
279,326‌
Total
Corporate
Bonds
(Cost
$3,884,535)
3,561,249‌
FOREIGN
GOVERNMENT
OBLIGATIONS
&
MUNICIPALITIES
0.4%
Treasuries
0.4%
State
of
Israel,
Series
0347,
3.75%,
3/31/47
(ILS) 
248,720‌
61,258‌
Total
Foreign
Government
Obligations
&
Municipalities
(Cost
$65,480)
61,258‌
NON-U.S.
GOVERNMENT
MORTGAGE-BACKED
SECURITIES
3.7%
Collateralized
Mortgage
Obligations
1.7%
Angel
Oak
Mortgage
Trust
Series
2021-3,
Class
A1,
CMO,
ARM
1.068%,
5/25/66 (1)
8,040‌
6,658‌
BINOM
Securitization
Trust
Series
2021-INV1,
Class
A1,
CMO,
ARM
2.034%,
6/25/56 (1)
9,717‌
8,279‌
Citigroup
Mortgage
Loan
Trust
Series
2022-INV1,
Class
A4B,
CMO,
ARM
3.00%,
11/27/51 (1)
7,616‌
5,989‌
Connecticut
Avenue
Securities
Series
2017-C06,
Class
2ED1,
CMO,
ARM
SOFR30A
+
1.114%,
6.402%,
2/25/30 
267‌
267‌
Connecticut
Avenue
Securities
Series
2021-R03,
Class
1M2,
CMO,
ARM
SOFR30A
+
1.65%,
6.938%,
12/25/41 (1)
11,825‌
11,529‌
Connecticut
Avenue
Securities
Series
2022-R01,
Class
1M2,
CMO,
ARM
SOFR30A
+
1.90%,
7.188%,
12/25/41 (1)
19,620‌
19,252‌
Connecticut
Avenue
Securities
Trust
Series
2023-R01,
Class
1M1,
CMO,
ARM
SOFR30A
+
2.40%,
7.696%,
12/25/42 (1)
17,814‌
18,081‌
Connecticut
Avenue
Securities
Trust
Series
2023-R02,
Class
1M1,
CMO,
ARM
SOFR30A
+
2.30%,
7.588%,
1/25/43 (1)
19,972‌
20,222‌
Deephaven
Residential
Mortgage
Trust
Series
2021-2,
Class
A1,
CMO,
ARM
0.899%,
4/25/66 (1)
6,423‌
5,516‌
T.
ROWE
PRICE
New
Income
Fund
15
Par/Shares
$
Value
(Amounts
in
000s)
Flagstar
Mortgage
Trust
Series
2018-6RR,
Class
2A4,
CMO,
ARM
4.00%,
9/25/48 (1)
868‌
828‌
Flagstar
Mortgage
Trust
Series
2020-1INV,
Class
A11,
CMO,
ARM
1M
TSFR
+
0.964%,
6.00%,
3/25/50 (1)
3,721‌
3,445‌
Flagstar
Mortgage
Trust
Series
2021-5INV,
Class
A16,
CMO,
ARM
2.50%,
7/25/51 (1)
9,808‌
7,447‌
Flagstar
Mortgage
Trust
Series
2021-8INV,
Class
A18,
CMO,
ARM
2.50%,
9/25/51 (1)
8,984‌
6,821‌
FWD
Securitization
Trust
Series
2020-INV1,
Class
A3,
CMO,
ARM
2.44%,
1/25/50 (1)
1,170‌
1,048‌
Galton
Funding
Mortgage
Trust
Series
2018-1,
Class
A23,
CMO,
ARM
3.50%,
11/25/57 (1)
773‌
688‌
Galton
Funding
Mortgage
Trust
Series
2018-2,
Class
A22,
CMO,
ARM
4.00%,
10/25/58 (1)
1,777‌
1,636‌
GCAT
Trust
Series
2023-INV1,
Class
A1,
CMO,
ARM
6.00%,
8/25/53 (1)
31,530‌
30,752‌
GS
Mortgage-Backed
Securities
Trust
Series
2014-EB1A,
Class
2A1,
CMO,
ARM
3.928%,
7/25/44 (1)
388‌
386‌
GS
Mortgage-Backed
Securities
Trust
Series
2020-INV1,
Class
A14,
CMO,
ARM
2.926%,
10/25/50 (1)
16,387‌
13,541‌
Imperial
Fund
Mortgage
Trust
Series
2021-NQM2,
Class
A1,
CMO,
ARM
1.073%,
9/25/56 (1)
12,279‌
9,636‌
JPMorgan
Mortgage
Trust
Series
2019-INV3,
Class
A3,
CMO,
ARM
3.50%,
5/25/50 (1)
4,770‌
4,185‌
JPMorgan
Mortgage
Trust
Series
2020-INV1,
Class
A11,
CMO,
ARM
1M
TSFR
+
0.944%,
6.00%,
8/25/50 (1)
2,425‌
2,284‌
JPMorgan
Mortgage
Trust
Series
2020-INV1,
Class
A3,
CMO,
ARM
3.50%,
8/25/50 (1)
4,100‌
3,565‌
JPMorgan
Mortgage
Trust
Series
2020-LTV1,
Class
A15,
CMO,
ARM
3.50%,
6/25/50 (1)
407‌
389‌
JPMorgan
Mortgage
Trust
Series
2020-LTV1,
Class
A3,
CMO,
ARM
3.50%,
6/25/50 (1)
1,007‌
962‌
T.
ROWE
PRICE
New
Income
Fund
16
Par/Shares
$
Value
(Amounts
in
000s)
New
Residential
Mortgage
Loan
Trust
Series
2021-INV1,
Class
A4,
CMO,
ARM
2.50%,
6/25/51 (1)
6,091‌
4,625‌
New
Residential
Mortgage
Loan
Trust
Series
2021-INV2,
Class
A4,
CMO,
ARM
2.50%,
9/25/51 (1)
11,215‌
8,514‌
OBX
Trust
Series
2019-INV2,
Class
A25,
CMO,
ARM
4.00%,
5/27/49 (1)
957‌
873‌
OBX
Trust
Series
2019-INV2,
Class
A5,
CMO,
ARM
4.00%,
5/27/49 (1)
2,590‌
2,373‌
OBX
Trust
Series
2020-EXP1,
Class
1A8,
CMO,
ARM
3.50%,
2/25/60 (1)
6,707‌
5,865‌
Sequoia
Mortgage
Trust
Series
2018-CH1,
Class
A2,
CMO,
ARM
3.50%,
3/25/48 (1)
727‌
646‌
Sequoia
Mortgage
Trust
Series
2018-CH2,
Class
A3,
CMO,
ARM
4.00%,
6/25/48 (1)
3,198‌
2,943‌
Sequoia
Mortgage
Trust
Series
2018-CH3,
Class
A2,
CMO,
ARM
4.00%,
8/25/48 (1)
622‌
601‌
SG
Residential
Mortgage
Trust
Series
2019-3,
Class
A1,
CMO,
ARM
2.703%,
9/25/59 (1)
511‌
496‌
Structured
Agency
Credit
Risk
Debt
Notes
Series
2021-DNA2,
Class
M2,
CMO,
ARM
SOFR30A
+
2.30%,
7.588%,
8/25/33 (1)
8,522‌
8,538‌
Towd
Point
Mortgage
Trust
Series
2019-HY3,
Class
A1A,
CMO,
ARM
1M
TSFR
+
1.114%,
6.429%,
10/25/59 (1)
3,750‌
3,740‌
Verus
Securitization
Trust
Series
2019-INV2,
Class
A3,
CMO,
ARM
4.219%,
7/25/59 (1)
3,154‌
3,043‌
Verus
Securitization
Trust
Series
2019-INV3,
Class
A3,
CMO,
ARM
3.10%,
11/25/59 (1)
3,813‌
3,654‌
Verus
Securitization
Trust
Series
2020-1,
Class
A1,
CMO,
STEP
2.417%,
1/25/60 (1)
2,249‌
2,151‌
Verus
Securitization
Trust
Series
2020-2,
Class
A3,
CMO,
ARM
3.995%,
5/25/60 (1)
7,815‌
7,523‌
Verus
Securitization
Trust
Series
2020-INV1,
Class
A1,
CMO,
ARM
1.977%,
3/25/60 (1)
563‌
550‌
T.
ROWE
PRICE
New
Income
Fund
17
Par/Shares
$
Value
(Amounts
in
000s)
Verus
Securitization
Trust
Series
2022-1,
Class
A1,
CMO,
STEP
2.724%,
1/25/67 (1)
5,668‌
4,956‌
Vista
Point
Securitization
Trust
Series
2020-1,
Class
A3,
CMO,
ARM
3.201%,
3/25/65 (1)
17,346‌
16,300‌
Vista
Point
Securitization
Trust
Series
2020-2,
Class
A1,
CMO,
ARM
1.475%,
4/25/65 (1)
2,067‌
1,869‌
262,666‌
Commercial
Mortgage-Backed
Securities
2.0%
Austin
Fairmont
Hotel
Trust
Series
2019-FAIR,
Class
B,
ARM
1M
TSFR
+
1.297%,
6.608%,
9/15/32 (1)
6,970‌
6,917‌
Aventura
Mall
Trust
Series
2018-AVM,
Class
A,
ARM
4.249%,
7/5/40 (1)
39,170‌
35,632‌
BAMLL
Commercial
Mortgage-Backed
Securities
Trust
Series
2018-DSNY,
Class
A,
ARM
1M
TSFR
+
0.897%,
6.208%,
9/15/34 (1)
35,456‌
35,278‌
BANK
Series
2017-BNK8,
Class
AS
3.731%,
11/15/50 
2,705‌
2,377‌
BBCMS
Mortgage
Trust
Series
2019-BWAY,
Class
D,
ARM
1M
TSFR
+
2.274%,
7.584%,
11/15/34 (1)
10,230‌
4,240‌
BX
Commercial
Mortgage
Trust
Series
2022-CSMO,
Class
B,
ARM
1M
TSFR
+
3.141%,
8.451%,
6/15/27 (1)
8,275‌
8,257‌
BX
Trust
Series
2021-ARIA,
Class
B,
ARM
1M
TSFR
+
1.411%,
6.721%,
10/15/36 (1)
6,815‌
6,576‌
BXSC
Commercial
Mortgage
Trust
Series
2022-WSS,
Class
B,
ARM
1M
TSFR
+
2.092%,
7.403%,
3/15/35 (1)
12,194‌
12,018‌
Cantor
Commercial
Real
Estate
Lending
Series
2019-CF2,
Class
B
3.267%,
11/15/52 
9,752‌
7,498‌
Citigroup
Commercial
Mortgage
Trust
Series
2013-375P,
Class
D,
ARM
3.635%,
5/10/35 (1)
14,725‌
12,920‌
Citigroup
Commercial
Mortgage
Trust
Series
2019-C7,
Class
805A,
ARM
3.917%,
12/15/72 (1)
12,000‌
7,270‌
Citigroup
Commercial
Mortgage
Trust
Series
2020-555,
Class
C
3.031%,
12/10/41 (1)
8,370‌
6,410‌
T.
ROWE
PRICE
New
Income
Fund
18
Par/Shares
$
Value
(Amounts
in
000s)
Citigroup
Commercial
Mortgage
Trust
Series
2020-555,
Class
D
3.233%,
12/10/41 (1)
5,500‌
4,088‌
Cold
Storage
Trust
Series
2020-ICE5,
Class
B,
ARM
1M
TSFR
+
1.414%,
6.725%,
11/15/37 (1)
11,083‌
10,979‌
Eleven
Madison
Mortgage
Trust
Series
2015-11MD,
Class
A,
ARM
3.673%,
9/10/35 (1)
23,679‌
21,111‌
GS
Mortgage
Securities
Trust
Series
2019-GC40,
Class
B
3.543%,
7/10/52 
12,730‌
10,132‌
JPMorgan
Chase
Commercial
Mortgage
Securities
Trust
Series
2018-WPT,
Class
AFX
4.248%,
7/5/33 (1)
9,825‌
8,884‌
JPMorgan
Chase
Commercial
Mortgage
Securities
Trust
Series
2018-WPT,
Class
BFX
4.549%,
7/5/33 (1)
7,620‌
6,520‌
JPMorgan
Chase
Commercial
Mortgage
Securities
Trust
Series
2018-WPT,
Class
CFX
4.95%,
7/5/33 (1)
11,395‌
9,523‌
LUXE
Trust
Series
2021-TRIP,
Class
B,
ARM
1M
TSFR
+
1.514%,
6.834%,
10/15/38 (1)
7,283‌
7,190‌
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
Series
2014-C17,
Class
B,
ARM
4.464%,
8/15/47 
20,470‌
19,626‌
UBS
Commercial
Mortgage
Trust
Series
2018-C9,
Class
AS,
ARM
4.318%,
3/15/51 
7,230‌
6,359‌
VNDO
Trust
Series
2016-350P,
Class
D,
ARM
4.033%,
1/10/35 (1)
8,849‌
7,719‌
Wells
Fargo
Commercial
Mortgage
Trust
Series
2015-NXS2,
Class
AS,
ARM
4.121%,
7/15/58 
6,215‌
5,836‌
Wells
Fargo
Commercial
Mortgage
Trust
Series
2017-C39,
Class
B
4.025%,
9/15/50 
5,750‌
5,017‌
Wells
Fargo
Commercial
Mortgage
Trust
Series
2019-JWDR,
Class
A,
ARM
2.584%,
9/15/31 (1)
26,355‌
23,689‌
T.
ROWE
PRICE
New
Income
Fund
19
Par/Shares
$
Value
(Amounts
in
000s)
Worldwide
Plaza
Trust
Series
2017-WWP,
Class
A
3.526%,
11/10/36 (1)
24,455‌
20,525‌
312,591‌
Total
Non-U.S.
Government
Mortgage-Backed
Securities
(Cost
$647,632)
575,257‌
U.S.
GOVERNMENT
&
AGENCY
MORTGAGE-BACKED
SECURITIES
31.8%
U.S.
Government
Agency
Obligations
24.6%
Federal
Home
Loan
Mortgage 
2.50%,
5/1/30 
4,915‌
4,574‌
3.00%,
12/1/42
-
4/1/47 
16,025‌
14,194‌
3.50%,
9/1/42
-
3/1/46 
75,311‌
69,188‌
4.00%,
10/1/40
-
8/1/45 
8,066‌
7,650‌
4.50%,
6/1/39
-
5/1/42 
12,296‌
11,986‌
5.00%,
7/1/25
-
8/1/40 
3,364‌
3,362‌
5.50%,
4/1/26
-
12/1/39 
3,282‌
3,342‌
6.00%,
10/1/32
-
8/1/38 
2,138‌
2,200‌
6.50%,
4/1/24
-
9/1/39 
823‌
843‌
7.00%,
2/1/24
-
6/1/32 
19‌
19‌
7.50%,
5/1/24
-
6/1/24 
—‌
—‌
Federal
Home
Loan
Mortgage,
ARM 
12M
USD
LIBOR
+
1.725%,
5.975%,
7/1/35 
19‌
19‌
12M
USD
LIBOR
+
1.823%,
4.072%,
3/1/36 
86‌
85‌
12M
USD
LIBOR
+
1.842%,
4.091%,
1/1/37 
124‌
122‌
12M
USD
LIBOR
+
1.915%,
4.29%,
2/1/37 
86‌
85‌
12M
USD
LIBOR
+
1.93%,
4.187%,
12/1/36 
79‌
78‌
12M
USD
LIBOR
+
2.03%,
4.276%,
11/1/36 
114‌
112‌
1Y
CMT
+
2.25%,
5.10%,
10/1/36 
49‌
50‌
Federal
Home
Loan
Mortgage,
CMO,
IO,
4.50%,
5/25/50 
11,551‌
2,253‌
Federal
Home
Loan
Mortgage,
CMO,
PO,
Zero
Coupon,
8/15/28 
5‌
5‌
Federal
Home
Loan
Mortgage,
UMBS 
1.50%,
2/1/36
-
4/1/37 
43,391‌
37,214‌
2.00%,
8/1/36
-
5/1/52 
278,467‌
225,849‌
2.50%,
4/1/37
-
9/1/52 
419,132‌
350,875‌
3.00%,
1/1/33
-
8/1/52 
128,508‌
113,255‌
3.50%,
6/1/47
-
11/1/52 
39,300‌
35,790‌
4.00%,
6/1/37
-
2/1/50 
29,727‌
28,083‌
4.50%,
9/1/37
-
11/1/52 
18,925‌
18,014‌
5.00%,
8/1/52
-
11/1/52 
15,803‌
15,329‌
Federal
National
Mortgage
Assn. 
3.00%,
6/1/33
-
8/1/46 
6,014‌
5,311‌
3.50%,
6/1/42
-
5/1/46 
45,494‌
41,536‌
4.00%,
11/1/40 
7,999‌
7,484‌
T.
ROWE
PRICE
New
Income
Fund
20
Par/Shares
$
Value
(Amounts
in
000s)
Federal
National
Mortgage
Assn.,
ARM 
12M
USD
LIBOR
+
1.34%,
3.59%,
12/1/35 
65‌
63‌
12M
USD
LIBOR
+
1.597%,
4.899%,
7/1/36 
218‌
220‌
12M
USD
LIBOR
+
1.655%,
5.905%,
8/1/37 
46‌
45‌
RFUCCT1Y
+
1.869%,
6.119%,
8/1/36 
119‌
118‌
Federal
National
Mortgage
Assn.,
CMO,
IO,
6.50%,
2/25/32 
23‌
4‌
Federal
National
Mortgage
Assn.,
UMBS 
1.50%,
2/1/37
-
1/1/42 
87,851‌
73,866‌
2.00%,
11/1/35
-
7/1/52 
954,956‌
771,779‌
2.50%,
5/1/30
-
9/1/52 
476,263‌
402,128‌
3.00%,
6/1/27
-
7/1/52 
355,175‌
315,165‌
3.50%,
11/1/32
-
3/1/52 
134,492‌
123,446‌
4.00%,
7/1/35
-
9/1/52 
168,708‌
159,594‌
4.50%,
7/1/39
-
5/1/50 
83,691‌
81,159‌
5.00%,
3/1/25
-
10/1/52 
51,571‌
51,208‌
5.50%,
9/1/23
-
9/1/41 
17,438‌
17,712‌
6.00%,
11/1/32
-
6/1/53 
97,002‌
98,415‌
6.50%,
8/1/27
-
3/1/41 
8,012‌
8,306‌
7.00%,
10/1/29
-
4/1/37 
98‌
98‌
UMBS,
TBA (9)
2.00%,
9/1/38
-
9/1/53 
208,876‌
170,939‌
2.50%,
9/1/53 
96,255‌
79,734‌
3.00%,
9/1/53 
106,910‌
92,105‌
3.50%,
9/1/53 
73,470‌
65,667‌
4.00%,
9/1/53 
65,170‌
60,150‌
4.50%,
9/1/53 
52,480‌
49,758‌
5.00%,
9/1/53 
90,515‌
87,766‌
5.50%,
9/1/53 
66,015‌
65,179‌
6.50%,
9/1/53 
60,105‌
61,044‌
3,834,575‌
U.S.
Government
Obligations
7.2%
Government
National
Mortgage
Assn. 
1.50%,
8/20/36
-
6/20/37 
17,443‌
14,793‌
2.00%,
3/20/51
-
3/20/52 
227,681‌
188,095‌
2.50%,
8/20/50
-
3/20/52 
239,672‌
204,068‌
3.00%,
9/15/42
-
6/20/52 
201,575‌
178,602‌
3.50%,
9/15/41
-
10/20/49 
134,629‌
124,168‌
4.00%,
2/20/41
-
10/20/52 
102,204‌
96,051‌
4.50%,
7/15/26
-
10/20/52 
81,772‌
78,581‌
5.00%,
9/15/33
-
6/20/48 
37,778‌
37,569‌
5.50%,
10/20/32
-
3/20/49 
16,362‌
16,573‌
6.00%,
1/20/34
-
12/20/38 
2,037‌
2,126‌
6.50%,
1/15/26
-
12/15/31 
40‌
41‌
7.00%,
12/20/23
-
1/20/53 
12,876‌
13,156‌
7.50%,
7/15/28
-
8/15/28 
39‌
40‌
8.00%,
9/15/27
-
10/15/27 
92‌
93‌
T.
ROWE
PRICE
New
Income
Fund
21
Par/Shares
$
Value
(Amounts
in
000s)
8.50%,
9/20/26 
—‌
—‌
Government
National
Mortgage
Assn.,
CMO 
3.00%,
11/20/47
-
12/20/47 
2,959‌
2,677‌
3.50%,
10/20/50 
9,510‌
7,885‌
Government
National
Mortgage
Assn.,
CMO,
IO 
3.50%,
5/20/43 
2,905‌
439‌
4.00%,
2/20/43 
2,091‌
260‌
Government
National
Mortgage
Assn.,
TBA (9)
2.00%,
9/20/53 
14,980‌
12,355‌
2.50%,
9/20/53 
11,360‌
9,664‌
5.00%,
9/20/53 
19,225‌
18,707‌
5.50%,
9/20/53 
105,710‌
104,637‌
6.00%,
9/20/53 
7,885‌
7,911‌
6.50%,
9/20/53 
10,820‌
10,958‌
1,129,449‌
Total
U.S.
Government
&
Agency
Mortgage-Backed
Securities
(Cost
$5,342,299)
4,964,024‌
U.S.
GOVERNMENT
AGENCY
OBLIGATIONS
(EXCLUDING
MORTGAGE-BACKED)
31.6%
U.S.
Treasury
Obligations
31.6%
U.S.
Treasury
Bonds,
3.00%,
8/15/52 
344,530‌
274,601‌
U.S.
Treasury
Bonds,
3.375%,
8/15/42 
437,190‌
379,331‌
U.S.
Treasury
Bonds,
3.625%,
2/15/53 
304,045‌
273,926‌
U.S.
Treasury
Bonds,
3.875%,
2/15/43 
159,815‌
148,678‌
U.S.
Treasury
Bonds,
4.00%,
11/15/42 (10)
304,955‌
289,231‌
U.S.
Treasury
Bonds,
4.00%,
11/15/52 
194,515‌
187,707‌
U.S.
Treasury
Notes,
0.625%,
8/15/30 
249,715‌
196,729‌
U.S.
Treasury
Notes,
1.50%,
1/31/27 
517,600‌
469,560‌
U.S.
Treasury
Notes,
1.875%,
2/15/32 
120,165‌
100,995‌
U.S.
Treasury
Notes,
2.25%,
1/31/24 
385,690‌
380,688‌
U.S.
Treasury
Notes,
3.75%,
4/15/26 
230,770‌
225,758‌
U.S.
Treasury
Notes,
3.875%,
1/15/26 (10)
348,510‌
341,921‌
U.S.
Treasury
Notes,
3.875%,
11/30/27 
212,795‌
208,905‌
U.S.
Treasury
Notes,
3.875%,
11/30/29 
115,930‌
113,593‌
U.S.
Treasury
Notes,
4.00%,
12/15/25 
630,415‌
620,171‌
U.S.
Treasury
Notes,
4.125%,
9/30/27 
228,435‌
226,293‌
U.S.
Treasury
Notes,
4.125%,
10/31/27 
7,870‌
7,797‌
U.S.
Treasury
Notes,
4.125%,
8/31/30 
197,545‌
196,681‌
U.S.
Treasury
Notes,
4.125%,
11/15/32 
298,680‌
298,493‌
Total
U.S.
Government
Agency
Obligations
(Excluding
Mortgage-
Backed)
(Cost
$5,126,908)
4,941,058‌
T.
ROWE
PRICE
New
Income
Fund
22
Par/Shares
$
Value
(Amounts
in
000s)
SHORT-TERM
INVESTMENTS
12.1%
Money
Market
Funds
12.1%
T.
Rowe
Price
Government
Reserve
Fund,
5.40% (4)(11)
1,889,414‌
1,889,414‌
Total
Short-Term
Investments
(Cost
$1,889,414)
1,889,414‌
SECURITIES
LENDING
COLLATERAL
0.4%
INVESTMENTS
IN
A
POOLED
ACCOUNT
THROUGH
SECURITIES
LENDING
PROGRAM
WITH
JPMORGAN
CHASE
BANK
0.0%
Money
Market
Funds
0.0%
T.
Rowe
Price
Government
Reserve
Fund,
5.40% (4)(11)
3,111‌
3,111‌
Total
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
JPMorgan
Chase
Bank
3,111‌
INVESTMENTS
IN
A
POOLED
ACCOUNT
THROUGH
SECURITIES
LENDING
PROGRAM
WITH
STATE
STREET
BANK
AND
TRUST
COMPANY
0.4%
Money
Market
Funds
0.4%
T.
Rowe
Price
Government
Reserve
Fund,
5.40% (4)(11)
59,513‌
59,513‌
Total
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
State
Street
Bank
and
Trust
Company
59,513‌
Total
Securities
Lending
Collateral
(Cost
$62,624)
62,624‌
Total
Investments
in
Securities
108.7%
(Cost
$17,971,893)
$
16,980,306‌
Other
Assets
Less
Liabilities
(8.7)%
(1,360,602‌)
Net
Assets
100.0%
$
15,619,704‌
‡
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
$1,818,079
and
represents
11.6%
of
net
assets.
(2)
Bank
loan
positions
may
involve
multiple
underlying
tranches.
In
those
instances,
the
position
presented
reflects
the
aggregate
of
those
respective
underlying
tranches
and
the
rate
presented
reflects
the
weighted
average
rate
of
the
settled
positions.
(3)
All
or
a
portion
of
this
loan
is
unsettled
as
of
August
31,
2023.
The
interest
rate
for
unsettled
loans
will
be
determined
upon
settlement
after
period
end.
(4)
Affiliated
Companies
(5)
SEC
30-day
yield
T.
ROWE
PRICE
New
Income
Fund
23
.
.
.
.
.
.
.
.
.
.
(6)
All
or
a
portion
of
this
security
is
on
loan
at
August
31,
2023.
(7)
Security
is
a
fix-to-float
security,
which
carries
a
fixed
coupon
until
a
certain
date,
upon
which
it
switches
to
a
floating
rate.
Reference
rate
and
spread
are
provided
if
the
rate
is
currently
floating.
(8)
Perpetual
security
with
no
stated
maturity
date.
(9)
To-Be-Announced
purchase
commitment.
Total
value
of
such
securities
at
period-end
amounts
to
$896,574
and
represents
5.7%
of
net
assets.
(10)
At
August
31,
2023,
all
or
a
portion
of
this
security
is
pledged
as
collateral
and/
or
margin
deposit
to
cover
future
funding
obligations.
(11)
Seven-day
yield
1M
TSFR
One
month
term
SOFR
(Secured
overnight
financing
rate)
1M
USD
LIBOR
One
month
USD
LIBOR
(London
interbank
offered
rate)
3M
TSFR
Three
month
term
SOFR
(Secured
overnight
financing
rate)
3M
USD
LIBOR
Three
month
USD
LIBOR
(London
interbank
offered
rate)
6M
USD
LIBOR
Six
month
USD
LIBOR
(London
interbank
offered
rate)
12M
USD
LIBOR
Twelve
month
USD
LIBOR
(London
interbank
offered
rate)
1Y
CMT
One
year
U.S.
Treasury
note
constant
maturity
ARM
Adjustable
Rate
Mortgage
(ARM);
rate
shown
is
effective
rate
at
period-end.
The
rates
for
certain
ARMs
are
not
based
on
a
published
reference
rate
and
spread
but
may
be
determined
using
a
formula
based
on
the
rates
of
the
underlying
loans. 
CAD
Canadian
Dollar
CLO
Collateralized
Loan
Obligation
CMO
Collateralized
Mortgage
Obligation
EUR
Euro
FRN
Floating
Rate
Note
ILS
Israeli
Shekel
IO
Interest-only
security
for
which
the
fund
receives
interest
on
notional
principal
PO
Principal-only
security
for
which
the
fund
receives
regular
cash
flows
based
on
principal
repayments
RFUCCT1Y
Twelve
month
Refinitiv
USD
IBOR
Consumer
Cash
Fallback
SOFR30A
30-day
Average
SOFR
(Secured
overnight
financing
rate)
STEP
Stepped
coupon
bond
for
which
the
coupon
rate
of
interest
adjusts
on
specified
date(s);
rate
shown
is
effective
rate
at
period-end.
TBA
To-Be-Announced
UMBS
Uniform
Mortgage-Backed
Securities
USD
U.S.
Dollar
VR
Variable
Rate;
rate
shown
is
effective
rate
at
period-end.
The
rates
for
certain
variable
rate
securities
are
not
based
on
a
published
reference
rate
and
spread
but
are
determined
by
the
issuer
or
agent
and
based
on
current
market
conditions.
T.
ROWE
PRICE
New
Income
Fund
24
(Amounts
in
000s)
SWAPS
0.1%
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
BILATERAL
SWAPS
0.1%
Credit
Default
Swaps,
Protection
Bought
0.1%
Morgan
Stanley,
Protection
Bought
(Relevant
Credit:
Markit
CMBX.
NA.AAA-S15,
40
Year
Index),
Pay
0.50%
Monthly,
Receive
upon
credit
default,
11/18/64
*
340,500
9,463
9,062
401‌
Total
Bilateral
Credit
Default
Swaps,
Protection
Bought
9,062
401‌
Credit
Default
Swaps,
Protection
Sold
0.0%
JPMorgan
Chase,
Protection
Sold
(Relevant
Credit:
Barclays
Bank,
Baa1*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
6/20/24
(EUR)
*
5,778
30
37
(7‌)
Total
Bilateral
Credit
Default
Swaps,
Protection
Sold
37
(7‌)
Total
Bilateral
Swaps
9,099
394‌
Description
Notional
Amount
$
Value
Initial
$
Value
Unrealized
$
Gain/(Loss)
CENTRALLY
CLEARED
SWAPS
0.0%
Credit
Default
Swaps,
Protection
Sold
0.0%
Protection
Sold
(Relevant
Credit:
Markit
CDX.NA.HY-S40,
5
Year
Index),
Receive
5.00%
Quarterly,
Pay
upon
credit
default,
6/20/28
38,540
1,480
(17)
1,497‌
Protection
Sold
(Relevant
Credit:
MetLife,
A3*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
6/20/28
3,767
32
(63)
95‌
Protection
Sold
(Relevant
Credit:
Republic
of
Indonesia,
Baa2*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
6/20/28
77,535
767
(714)
1,481‌
T.
ROWE
PRICE
New
Income
Fund
25
(Amounts
in
000s)
Description
Notional
Amount
$
Value
Initial
$
Value
Unrealized
$
Gain/(Loss)
Protection
Sold
(Relevant
Credit:
United
Mexican
States,
Baa2*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
6/20/28
93,545
208
(1,724)
1,932‌
Total
Centrally
Cleared
Credit
Default
Swaps,
Protection
Sold
5,005‌
Total
Centrally
Cleared
Swaps
5,005‌
Net
payments
(receipts)
of
variation
margin
to
date
(5,098‌)
Variation
margin
receivable
(payable)
on
centrally
cleared
swaps
$
(93‌)
*
Credit
ratings
as
of
August
31,
2023.
Ratings
shown
are
from
Moody’s
Investors
Service
and
if
Moody’s
does
not
rate
a
security,
then
Standard
&
Poor’s
(S&P)
is
used.
Fitch
is
used
for
securities
that
are
not
rated
by
either
Moody’s
or
S&P.
T.
ROWE
PRICE
New
Income
Fund
26
(Amounts
in
000s)
FORWARD
CURRENCY
EXCHANGE
CONTRACTS
Counterparty
Settlement
Receive
Deliver
Unrealized
Gain/(Loss)
Bank
of
America
10/19/23
ILS
77,800‌
USD
20,563‌
$
(63‌)
BNP
Paribas
11/24/23
USD
20,152‌
EUR
18,436‌
79‌
Citibank
10/19/23
ILS
49,630‌
USD
13,139‌
(63‌)
Citibank
10/19/23
USD
125,677‌
ILS
464,627‌
3,254‌
HSBC
Bank
11/24/23
USD
3,905‌
EUR
3,560‌
28‌
JPMorgan
Chase
10/19/23
ILS
40,604‌
USD
10,699‌
—‌
State
Street
11/24/23
USD
5,852‌
EUR
5,341‌
37‌
UBS
Investment
Bank
10/19/23
ILS
47,657‌
USD
12,629‌
(72‌)
Net
unrealized
gain
(loss)
on
open
forward
currency
exchange
contracts
$
3,200‌
T.
ROWE
PRICE
New
Income
Fund
27
FUTURES
CONTRACTS
($000s)
Expiration
Date
Notional
Amount
Value
and
Unrealized
Gain
(Loss)
Long,
6,902
Euro
BOBL
contracts
9/23
868,989
$
3,188‌
Short,
1,292
Euro
BUXL
thirty
year
bond
contracts
9/23
(187,451)
2,796‌
Long,
129
U.S.
Treasury
Long
Bond
contracts
12/23
15,698
32‌
Long,
13,652
U.S.
Treasury
Notes
five
year
contracts
12/23
1,459,697
2,777‌
Long,
5,131
U.S.
Treasury
Notes
ten
year
contracts
12/23
569,701
680‌
Short,
897
U.S.
Treasury
Notes
two
year
contracts
12/23
(182,813)
(541‌)
Short,
2,462
Ultra
U.S.
Treasury
Bonds
contracts
12/23
(318,752)
(1,025‌)
Long,
1,166
Ultra
U.S.
Treasury
Notes
ten
year
contracts
12/23
135,384
(15‌)
Net
payments
(receipts)
of
variation
margin
to
date
(5,024‌)
Variation
margin
receivable
(payable)
on
open
futures
contracts
$
2,868‌
T.
ROWE
PRICE
New
Income
Fund
28
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,
2023.
Net
realized
gain
(loss),
investment
income,
change
in
net
unrealized
gain/loss,
and
purchase
and
sales
cost
reflect
all
activity
for
the
period
then
ended.
Affiliate
Net
Realized
Gain
(Loss)
Change
in
Net
Unrealized
Gain/Loss
Investment
Income
T.
Rowe
Price
Institutional
Floating
Rate
Fund
-
Z
Class,
9.53% 
$
—‌
$
6‌
$
7‌
T.
Rowe
Price
Government
Reserve
Fund,
5.40%
—‌
—‌
26,200‌++
Totals
$
—‌#
$
6‌
$
26,207‌+
Supplementary
Investment
Schedule
Affiliate
Value
05/31/23
Purchase
Cost
Sales
Cost
Value
08/31/23
T.
Rowe
Price
Institutional
Floating
Rate
Fund
-
Z
Class,
9.53% 
$
284‌
$
8‌
$
—‌
$
298‌
T.
Rowe
Price
Government
Reserve
Fund,
5.40%
2,018,913‌
 ¤
 ¤
1,952,038‌
Total
$
1,952,336‌^
#
Capital
gain
distributions
from
underlying
Price
funds
represented
$0
of
the
net
realized
gain
(loss).
++
Excludes
earnings
on
securities
lending
collateral,
which
are
subject
to
rebates
and
fees.
+
Investment
income
comprised
$26,207
of
dividend
income
and
$0
of
interest
income.
¤
Purchase
and
sale
information
not
shown
for
cash
management
funds.
^
The
cost
basis
of
investments
in
affiliated
companies
was
$1,952,316.
T.
ROWE
PRICE
New
Income
Fund
Unaudited
Notes
to
Portfolio
of
Investments
29
T.
Rowe
Price
New
Income
Fund,
Inc. (the
fund) is
registered
under
the
Investment
Company
Act
of
1940
(the
1940
Act)
as
an
open-end
management
investment
company
and
follows
accounting
and
reporting
guidance
of
the
Financial
Accounting
Standards
Board
Accounting
Standards
Codification
Topic
946.
The
accompanying
Portfolio
of
Investments
was
prepared
in
accordance
with
accounting
principles
generally
accepted
in
the
United
States
of
America
(GAAP).
For
additional
information
on
the
fund’s
significant
accounting
policies
and
investment
related
disclosures,
please
refer
to
the
fund’s most
recent
semiannual
or
annual
shareholder
report
and
its
prospectus. 
VALUATION 
Fair
Value
  The
fund’s
financial
instruments
are
valued
at
the
close
of
the
New
York
Stock
Exchange
(NYSE),
normally
4
p.m.
ET,
each
day
the
NYSE
is
open
for
business,
and
are
reported
at
fair
value,
which
GAAP
defines
as
the
price
that
would
be
received
to
sell
an
asset
or
paid
to
transfer
a
liability
in
an
orderly
transaction
between
market
participants
at
the
measurement
date. The 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)
T.
ROWE
PRICE
New
Income
Fund
30
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
factors
such
as,
but
not
limited
to,
the
yield
or
price
of
bonds
of
comparable
quality,
coupon,
maturity,
and
type,
as
well
as
prices
quoted
by
dealers
who
make
markets
in
such
securities.   
Investments
denominated
in
foreign
currencies
are
translated
into
U.S.
dollar
values
each
day
at
the
prevailing
exchange
rate,
using
the
mean
of
the
bid
and
asked
prices
of
such
currencies
against
U.S.
dollars
as
provided
by
an
outside
pricing
service.
Investments
in
mutual
funds
are
valued
at
the
mutual
fund’s
closing
NAV
per
share
on
the
day
of
valuation.
Futures
contracts
are
valued
at
closing
settlement
prices.
Forward
currency
exchange
contracts
are
valued
using
the
prevailing
forward
exchange
rate.
Swaps
are
valued
at
prices
furnished
by
an
independent
pricing
service
or
independent
swap
dealers.
Investments
for
which
market
quotations 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
T.
ROWE
PRICE
New
Income
Fund
31
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
August
31,
2023
(for
further
detail
by
category,
please
refer
to
the
accompanying
Portfolio
of
Investments):
($000s)
Level
1
Level
2
Level
3
Total
Value
Assets
Fixed
Income
Securities
1
$
—‌
$
15,027,970‌
$
—‌
$
15,027,970‌
Bond
Mutual
Funds
298‌
—‌
—‌
298‌
Short-Term
Investments
1,889,414‌
—‌
—‌
1,889,414‌
Securities
Lending
Collateral
62,624‌
—‌
—‌
62,624‌
Total
Securities
1,952,336‌
15,027,970‌
—‌
16,980,306‌
Swaps*
—‌
14,498‌
—‌
14,498‌
Forward
Currency
Exchange
Contracts
—‌
3,398‌
—‌
3,398‌
Futures
Contracts*
9,473‌
—‌
—‌
9,473‌
Total
$
1,961,809‌
$
15,045,866‌
$
—‌
$
17,007,675‌
Liabilities
Forward
Currency
Exchange
Contracts
$
—‌
$
198‌
$
—‌
$
198‌
Futures
Contracts*
1,581‌
—‌
—‌
1,581‌
Total
$
1,581‌
$
198‌
$
—‌
$
1,779‌
1
Includes
Asset-Backed
Securities,
Bank
Loans,
Corporate
Bonds,
Foreign
Government
Obligations
&
Municipalities,
Non-U.S.
Government
Mortgage-Backed
Securities,
U.S.
Government
&
Agency
Mortgage-Backed
Securities
and
U.S.
Government
Agency
Obligations
(Excluding
Mortgage-Backed).
T.
ROWE
PRICE
New
Income
Fund
32
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
the 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.
In
March
2023,
the
collapse
of
some
US
regional
and
global
banks
as
well
as
overall
concerns
around
the
soundness
and
stability
of
the
global
banking
sector
has
sparked
concerns
of
a
broader
financial
crisis
impacting
the
overall
global
banking
sector.
In
certain
cases,
government
agencies
have
assumed
control
or
otherwise
intervened
in
the
operations
of
certain
banks
due
to
liquidity
and
solvency
concerns.
The
extent
of
impact
of
these
events
on
the
US
and
global
markets
is
highly
uncertain.
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.
F43-054Q1
08/23
*
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.